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: | October 31 |
Date of reporting period: | April 30, 2007 |
Item 1. Reports to Stockholders
Fidelity
Floating Rate High Income
Fund
(A Class of Fidelity® Advisor
Floating Rate High Income Fund)
Semiannual Report
April 30, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm | ||
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com/holdings.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, redemption fees, 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 (November 1, 2006 to April 30, 2007).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
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 | $ 1,034.50 | $ 5.15 |
Hypothetical A | $ 1,000.00 | $ 1,019.74 | $ 5.11 |
Class T | |||
Actual | $ 1,000.00 | $ 1,034.40 | $ 5.35 |
Hypothetical A | $ 1,000.00 | $ 1,019.54 | $ 5.31 |
Class B | |||
Actual | $ 1,000.00 | $ 1,031.70 | $ 7.96 |
Hypothetical A | $ 1,000.00 | $ 1,016.96 | $ 7.90 |
Class C | |||
Actual | $ 1,000.00 | $ 1,031.20 | $ 8.41** |
Hypothetical A | $ 1,000.00 | $ 1,016.51 | $ 8.35** |
Floating Rate High Income | |||
Actual | $ 1,000.00 | $ 1,035.90 | $ 3.84** |
Hypothetical A | $ 1,000.00 | $ 1,021.03 | $ 3.81** |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,035.80 | $ 3.99** |
Hypothetical A | $ 1,000.00 | $ 1,020.88 | $ 3.96** |
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 | 1.02% |
Class T | 1.06% |
Class B | 1.58% |
Class C | 1.67%** |
Floating Rate High Income | .76%** |
Institutional Class | .79%** |
Semiannual Report
** If distribution fees and changes to voluntary expense limitations, effective April 1, 2007 for Class C, and management fees effective February 1, 2007 for all classes had been in effect during the entire period, the annualized expense ratios and the expenses paid in the actual and hypothetical examples above would have been as follows:
Annualized | Expenses | |
1.79% | ||
Actual | $ 9.01 | |
HypotheticalA | $ 8.95 | |
Floating Rate High Income | ||
Actual | $ 3.58 | |
HypotheticalA | $ 3.56 | |
Actual | $ 3.74 | |
HypotheticalA | $ 3.71 |
A 5% return per year before expenses
Semiannual Report
Investment Changes
Top Five Holdings as of April 30, 2007 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
HCA, Inc. | 2.4 | 0.6 |
NRG Energy, Inc. | 2.3 | 2.5 |
CSC Holdings, Inc. | 2.2 | 2.2 |
Georgia-Pacific Corp. | 1.8 | 2.1 |
UPC Broadband Holding BV | 1.7 | 1.0 |
10.4 | ||
Top Five Market Sectors as of April 30, 2007 | ||
% of fund's | % of fund's net assets | |
Healthcare | 9.4 | 7.8 |
Cable TV | 8.7 | 8.8 |
Telecommunications | 7.6 | 7.7 |
Technology | 5.5 | 5.4 |
Electric Utilities | 5.4 | 4.9 |
Quality Diversification (% of fund's net assets) | |||||||
As of April 30, 2007 | As of October 31, 2006 | ||||||
![]() | U.S.Government and U.S.Government Agency Obligations 0.0% | ![]() | U.S.Government and U.S.Government Agency Obligations 0.4% | ||||
![]() | AAA, AA, A 0.0% | ![]() | AAA, AA, A 0.0% | ||||
![]() | BBB 4.8% | ![]() | BBB 2.0% | ||||
![]() | BB 47.5% | ![]() | BB 48.5% | ||||
![]() | B 20.1% | ![]() | B 26.0% | ||||
![]() | CCC,CC,C 0.1% | ![]() | CCC,CC,C 0.2% | ||||
![]() | Not Rated 17.9% | ![]() | Not Rated 13.0% | ||||
![]() | 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. |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2007 * | As of October 31, 2006 ** | ||||||
![]() | Floating Rate | ![]() | Floating Rate | ||||
![]() | Nonconvertible | ![]() | Nonconvertible | ||||
![]() | U.S. Government | ![]() | U.S. Government | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 5.2% | ** Foreign investments | 5.9% |
Semiannual Report
Investments April 30, 2007
Showing Percentage of Net Assets
Floating Rate Loans (d) - 80.9% | ||||
Principal Amount (000s) | Value (000s) | |||
Aerospace - 0.9% | ||||
BE Aerospace, Inc. term loan B 6.88% 8/24/12 (c) | $ 5,935 | $ 5,950 | ||
DRS Technologies, Inc. term loan 6.8583% 1/31/13 (c) | 1,398 | 1,398 | ||
Mid-Western Aircraft Systems, Inc. Tranche B, term loan 7.105% 12/31/11 (c) | 11,917 | 11,992 | ||
Transdigm, Inc. term loan 7.3479% 6/23/13 (c) | 15,340 | 15,455 | ||
Wesco Aircraft Hardware Corp. Tranche 1LN, term loan 7.6% 9/29/13 (c) | 7,719 | 7,786 | ||
42,581 | ||||
Air Transportation - 0.2% | ||||
Delta Air Lines, Inc. Tranche 1LN, Revolving Credit-Linked Deposit 7.355% 4/25/14 (c) | 6,000 | 6,023 | ||
Northwest Airlines Corp. Tranche B, term loan 8.85% 12/31/13 (c) | 1,941 | 1,950 | ||
United Air Lines, Inc. Tranche B, term loan 7.375% 2/1/14 (c) | 4,000 | 3,995 | ||
11,968 | ||||
Auto Parts Distribution - 1.6% | ||||
Navistar International Corp.: | ||||
term loan 8.6099% 1/19/12 (c) | 11,000 | 11,165 | ||
8.5994% 1/19/12 (c) | 4,000 | 4,060 | ||
Oshkosh Truck Co. Tranche B, term loan 7.1% 12/6/13 (c) | 28,928 | 29,000 | ||
Tenneco, Inc. Credit-Linked Deposit 6.82% 3/16/14 (c) | 6,000 | 6,000 | ||
The Goodyear Tire & Rubber Co. Tranche 2LN, term loan 7.1% 4/30/14 (c) | 27,000 | 27,000 | ||
77,225 | ||||
Automotive - 3.3% | ||||
AM General LLC: | ||||
Tranche B, term loan 8.3808% 9/30/13 (c) | 2,855 | 2,880 | ||
8.32% 9/30/12 (c) | 97 | 98 | ||
Dana Corp. term loan 7.88% 4/13/08 (c) | 14,120 | 14,120 | ||
Delphi Corp. term loan: | ||||
7.625% 12/31/07 (c) | 14,000 | 14,035 | ||
8.125% 12/31/07 (c) | 34,000 | 34,128 | ||
Ford Motor Co. term loan 8.36% 12/15/13 (c) | 27,920 | 28,060 | ||
General Motors Corp. term loan 7.725% 11/29/13 (c) | 27,222 | 27,426 | ||
Rexnord Corp. Tranche B, term loan 7.8575% 7/19/13 (c) | 10,639 | 10,706 | ||
TRW Automotive Holdings Corp.: | ||||
Tranche B, term loan 6.9375% 6/30/12 (c) | 2,260 | 2,260 | ||
Tranche B2, term loan 6.875% 6/30/12 (c) | 1,975 | 1,975 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Automotive - continued | ||||
TRW Automotive Holdings Corp.: - continued | ||||
Tranche E, term loan 6.875% 10/31/10 (c) | $ 14,663 | $ 14,663 | ||
Visteon Corp. term loan 8.38% 6/13/13 (c) | 10,000 | 10,075 | ||
160,426 | ||||
Broadcasting - 1.7% | ||||
Cumulus Media, Inc. term loan 7.3231% 6/7/13 (c) | 1,904 | 1,913 | ||
Emmis Operating Co. Tranche B, term loan 7.35% 11/1/13 (c) | 7,000 | 7,044 | ||
Entravision Communication Corp. term loan 6.85% 3/29/13 (c) | 5,910 | 5,917 | ||
Montecito Broadcast Group LLC Tranche 1, term loan 7.86% 1/27/13 (c) | 1,975 | 1,987 | ||
Nexstar Broadcasting, Inc. Tranche B, term loan 7.1% 10/1/12 (c) | 17,863 | 18,087 | ||
Paxson Communications Corp. term loan 8.6056% 1/15/12 (c) | 6,000 | 6,120 | ||
Raycom TV Broadcasting, Inc. Tranche B, term loan 6.875% 8/28/13 (c) | 3,927 | 3,918 | ||
Spanish Broadcasting System, Inc. Tranche 1, term loan 7.1% 6/10/12 (c) | 2,840 | 2,836 | ||
VNU, Inc. term loan 7.61% 8/9/13 (c) | 33,748 | 34,043 | ||
81,865 | ||||
Building Materials - 0.2% | ||||
Goodman Global Holdings, Inc. Tranche C, term loan 7.125% 12/23/11 (c) | 2,834 | 2,834 | ||
Nortek Holdings, Inc. Tranche B, term loan 7.3649% 8/27/11 (c) | 5,726 | 5,747 | ||
8,581 | ||||
Cable TV - 8.3% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 7.35% 3/6/14 (c) | 23,000 | 22,971 | ||
CSC Holdings, Inc. Tranche B, term loan 7.0838% 3/29/13 (c) | 95,092 | 95,449 | ||
DIRECTV Holdings LLC Tranche B, term loan 6.82% 4/13/13 (c) | 34,066 | 34,193 | ||
Insight Midwest Holdings LLC Tranche B, term loan 7.35% 4/6/14 (c) | 10,000 | 10,056 | ||
Liberty Cablevision of Puerto Rico LTC term loan 7.61% 3/1/13 (c) | 4,950 | 4,962 | ||
Mediacom Broadband LLC/Mediacom Broadband Corp. Tranche D1, term loan 7.1037% 1/31/15 (c) | 3,920 | 3,916 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Cable TV - continued | ||||
Mediacom LLC Tranche C1, term loan 7.1004% 1/31/15 (c) | $ 6,808 | $ 6,799 | ||
NTL Cable PLC Tranche B, term loan 7.3556% 1/10/13 (c) | 23,680 | 23,858 | ||
PanAmSat Corp. Tranche B2, term loan 7.3494% 1/3/14 (c) | 29,850 | 30,037 | ||
San Juan Cable, Inc. Tranche 1, term loan 7.3475% 10/31/12 (c) | 5,925 | 5,918 | ||
Univision Communications, Inc.: | ||||
Tranche 1LN, term loan 7.605% 9/16/14 (c) | 74,228 | 74,135 | ||
Tranche DD 1LN, term loan 9/16/14 (e) | 4,772 | 4,766 | ||
UPC Broadband Holding BV: | ||||
Tranche J2, term loan 7.37% 3/31/13 (c) | 20,504 | 20,504 | ||
Tranche K2, term loan 7.37% 12/31/13 (c) | 20,504 | 20,504 | ||
Tranche N1, term loan 7.08% 12/31/14 (c) | 44,008 | 43,964 | ||
Wide Open West Finance LLC Tranche 1, term loan 7.6057% 5/1/13 (c) | 2,790 | 2,804 | ||
404,836 | ||||
Capital Goods - 2.2% | ||||
AGCO Corp. term loan 7.1% 7/3/09 (c) | 2,480 | 2,489 | ||
Amsted Industries, Inc.: | ||||
term loan 7.35% 4/5/13 (c) | 5,792 | 5,821 | ||
Tranche DD, term loan 7.35% 4/5/13 (c) | 3,111 | 3,127 | ||
Ashtead Group PLC term loan 7.125% 8/31/11 (c) | 5,000 | 5,000 | ||
Baldor Electric Co. term loan 7.125% 12/31/13 (c) | 10,565 | 10,605 | ||
Chart Industries, Inc. Tranche B, term loan 7.375% 10/17/12 (c) | 4,209 | 4,209 | ||
Dresser, Inc. term loan 10% 10/31/13 (c) | 9,300 | 9,300 | ||
EnergySolutions, Inc.: | ||||
Credit-Linked Deposit 7.57% 6/7/13 (c) | 189 | 190 | ||
term loan 7.63% 6/7/13 (c) | 5,654 | 5,696 | ||
Flowserve Corp. term loan 6.875% 8/10/12 (c) | 23,715 | 23,745 | ||
Hexcel Corp. Tranche B, term loan 7.12% 3/1/12 (c) | 4,040 | 4,050 | ||
Invensys International Holding Ltd.: | ||||
term loan 7.36% 12/15/10 (c) | 1,920 | 1,934 | ||
Tranche B, term loan 7.3467% 1/15/11 (c) | 2,080 | 2,096 | ||
Kinetek Industries, Inc. Tranche B, term loan 7.82% 11/10/13 (c) | 3,292 | 3,308 | ||
Mueller Group, Inc. term loan 7.3475% 10/3/12 (c) | 2,122 | 2,136 | ||
Rexnord Corp. Tranche B A0, term loan 7.64% 7/19/13 (c) | 4,938 | 4,962 | ||
Sensus Metering Systems, Inc. Tranche B term loan 7.36% 12/17/10 (c) | 1,919 | 1,924 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Capital Goods - continued | ||||
Terex Corp. term loan 7.1% 7/14/13 (c) | $ 11,900 | $ 11,915 | ||
Walter Industries, Inc. term loan 7.0897% 10/3/12 (c) | 3,171 | 3,175 | ||
105,682 | ||||
Chemicals - 4.0% | ||||
Basell USA, Inc.: | ||||
Tranche B2, term loan 7.57% 8/1/13 (c) | 1,730 | 1,741 | ||
Tranche C2, term loan 8.32% 8/1/14 (c) | 1,730 | 1,741 | ||
Celanese Holding LLC: | ||||
Revolving Credit-Linked Deposit 5.32% 4/2/13 (c) | 5,786 | 5,815 | ||
term loan 7.099% 4/2/14 (c) | 34,824 | 34,998 | ||
Georgia Gulf Corp. term loan 7.82% 10/3/13 (c) | 2,954 | 2,965 | ||
Hercules, Inc. Tranche B, term loan 6.82% 10/8/10 (c) | 4,874 | 4,874 | ||
Huntsman International LLC Tranche B, term loan 7.07% 8/16/12 (c) | 27,730 | 27,817 | ||
INEOS US Finance: | ||||
Tranche B, term loan 7.5799% 1/31/13 (c) | 4,777 | 4,819 | ||
Tranche C, term loan 8.0799% 1/31/14 (c) | 4,777 | 4,819 | ||
Innophos, Inc. Tranche B, term loan 7.57% 8/13/10 (c) | 2,820 | 2,834 | ||
ISP Chemco, Inc. Tranche B, term loan 7.125% 2/16/13 (c) | 7,920 | 7,960 | ||
Lyondell Chemical Co. term loan 6.86% 8/16/13 (c) | 31,840 | 31,959 | ||
MacDermid, Inc. Tranche B, term loan 7.32% 4/12/14 (c) | 5,240 | 5,240 | ||
Momentive Performance Materials, Inc. Tranche B1, term loan 7.625% 12/4/13 (c) | 17,955 | 18,045 | ||
Nalco Co. Tranche B, term loan 7.1959% 11/4/10 (c) | 17,259 | 17,366 | ||
Rockwood Specialties Group, Inc. Tranche E, term loan 7.355% 7/30/12 (c) | 13,411 | 13,512 | ||
The Mosaic Co. Tranche B, term loan 7.115% 12/1/13 (c) | 10,103 | 10,166 | ||
196,671 | ||||
Consumer Products - 1.0% | ||||
Central Garden & Pet Co. Tranche B, term loan 6.82% 9/12/12 (c) | 4,950 | 4,950 | ||
Chattem, Inc. term loan 7.11% 1/2/13 (c) | 1,720 | 1,728 | ||
Jarden Corp.: | ||||
term loan 7.1% 1/24/12 (c) | 5,056 | 5,062 | ||
Tranche B2, term loan 7.1% 1/24/12 (c) | 2,646 | 2,649 | ||
Jostens IH Corp. Tranche C, term loan 7.3297% 10/4/11 (c) | 12,148 | 12,208 | ||
NPI Merger Corp. term loan 7.349% 4/26/13 (c) | 1,686 | 1,678 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Consumer Products - continued | ||||
Sealy Mattress Co. Tranche E, term loan 6.8527% 8/25/12 (c) | $ 5,107 | $ 5,120 | ||
Spectrum Brands, Inc.: | ||||
Tranche B1, term loan 9.3326% 3/30/13 (c) | 1,629 | 1,654 | ||
Tranche B2, term loan 9.32% 3/30/13 (c) | 290 | 294 | ||
9.17% 3/30/13 (c) | 81 | 82 | ||
Weight Watchers International, Inc. Tranche B, term loan 6.875% 1/26/14 (c) | 7,980 | 8,020 | ||
Yankee Candle Co., Inc. term loan 7.35% 2/6/14 (c) | 5,000 | 5,025 | ||
48,470 | ||||
Containers - 1.7% | ||||
Berry Plastics Holding Corp. Tranche C, term loan 7.32% 4/3/15 (c) | 3,000 | 3,000 | ||
Bluegrass Container Co. LLC Tranche 1, term loan 7.5909% 6/30/13 (c) | 12,813 | 12,941 | ||
BWAY Corp. Tranche B, term loan 7.125% 7/17/13 (c) | 4,104 | 4,114 | ||
Crown Holdings, Inc.: | ||||
term loan B 7.11% 11/15/12 (c) | 15,345 | 15,422 | ||
Tranche B, term loan 7.11% 11/15/12 (c) | 9,697 | 9,745 | ||
Owens-Brockway Glass Container, Inc. Tranche B, term loan 6.82% 6/14/13 (c) | 25,425 | 25,488 | ||
Solo Cup Co.: | ||||
term loan 11.57% 3/31/12 (c) | 3,000 | 3,064 | ||
Tranche B1, term loan 8.847% 2/27/11 (c) | 9,248 | 9,375 | ||
83,149 | ||||
Diversified Financial Services - 1.3% | ||||
Ameritrade Holding Corp. Tranche B, term loan 6.82% 1/23/13 (c) | 14,768 | 14,787 | ||
Energy Investors Funds term loan 7.082% 4/11/14 (c) | 5,000 | 5,019 | ||
LPL Holdings, Inc. Tranche C, term loan 7.85% 6/28/13 (c) | 4,988 | 5,037 | ||
LS Power Acquisition Corp.: | ||||
Tranche 1LN, term loan 7.32% 4/30/14 (c) | 16,000 | 16,050 | ||
Tranche 2LN, term loan 8.07% 10/30/14 (c) | 3,000 | 3,034 | ||
The NASDAQ Stock Market, Inc.: | ||||
Tranche B, term loan 7.07% 4/18/12 (c) | 10,737 | 10,777 | ||
Tranche C, term loan 7.07% 4/18/12 (c) | 6,224 | 6,247 | ||
60,951 | ||||
Diversified Media - 0.7% | ||||
Lamar Media Corp. Tranche F, term loan 6.875% 3/31/14 (c) | 6,650 | 6,675 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Diversified Media - continued | ||||
LBI Media, Inc. Tranche B, term loan 6.8494% 3/31/12 (c) | $ 2,277 | $ 2,254 | ||
NextMedia Operating, Inc. Tranche 1, term loan 7.32% 11/18/12 (c) | 4,220 | 4,220 | ||
Quebecor Media, Inc. Tranche B, term loan 7.3556% 1/17/13 (c) | 4,938 | 4,968 | ||
R.H. Donnelley Corp.: | ||||
Tranche A4, term loan 6.57% 12/31/09 (c) | 545 | 545 | ||
Tranche D1, term loan 6.85% 6/30/11 (c) | 9,740 | 9,740 | ||
Thomson Media, Inc. Tranche B1, term loan 7.6% 11/8/11 (c) | 3,157 | 3,189 | ||
31,591 | ||||
Electric Utilities - 4.6% | ||||
AES Corp. term loan 7.345% 8/10/11 (c) | 8,429 | 8,460 | ||
Boston Generating LLC: | ||||
Credit-Linked Deposit 7.475% 12/20/13 (c) | 1,724 | 1,735 | ||
Tranche 1LN, revolver loan 7.475% 12/20/13 (c) | 483 | 486 | ||
Tranche B 1LN, term loan 7.6% 12/20/13 (c) | 7,774 | 7,822 | ||
Calpine Corp. Tranche D, term loan 7.57% 3/29/09 (c) | 21,500 | 21,608 | ||
Covanta Energy Corp.: | ||||
term loan 6.875% 2/9/14 (c) | 8,041 | 8,051 | ||
6.72% 2/9/14 (c) | 3,959 | 3,964 | ||
Dynegy Holdings, Inc.: | ||||
Revolving Credit-Linked Deposit 6.82% 4/2/13 (c) | 15,319 | 15,319 | ||
Tranche B, term loan 6.82% 4/2/13 (c) | 2,681 | 2,681 | ||
HCP Acquisition, Inc. Tranche 1LN, term loan 7.6% 2/13/14 (c) | 3,990 | 4,000 | ||
LSP Gen Finance Co. LLC Tranche B1, term loan 7.1% 5/4/13 (c) | 8,031 | 8,031 | ||
MACH Gen LLC: | ||||
term loan 7.36% 2/22/14 (c) | 3,616 | 3,609 | ||
7.35% 2/22/13 (c) | 375 | 374 | ||
Midwest Generation LLC term loan 6.845% 4/27/11 (c) | 895 | 895 | ||
Mirant North America LLC term loan 7.07% 1/3/13 (c) | 20,035 | 20,035 | ||
NRG Energy, Inc.: | ||||
Credit-Linked Deposit 7.35% 2/1/13 (c) | 30,566 | 30,796 | ||
term loan 7.35% 2/1/13 (c) | 71,508 | 72,044 | ||
NSG Holdings LLC: | ||||
term loan 6.86% 6/15/14 (c) | 6,286 | 6,278 | ||
6.86% 6/15/14 (c) | 714 | 713 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Electric Utilities - continued | ||||
Reliant Energy, Inc.: | ||||
term loan 7.695% 12/1/10 (c) | $ 4,560 | $ 4,600 | ||
7.5617% 12/1/10 (c) | 3,429 | 3,459 | ||
224,960 | ||||
Energy - 2.8% | ||||
Alon USA, Inc. term loan 7.605% 6/22/13 (c) | 3,970 | 3,990 | ||
Ashmore Energy International: | ||||
Revolving Credit-Linked Deposit 8.25% 3/30/12 (c) | 1,160 | 1,163 | ||
term loan 8.35% 3/30/14 (c) | 8,840 | 8,862 | ||
Citgo Petroleum Corp. Tranche B, term loan 6.695% 11/15/12 (c) | 12,051 | 12,051 | ||
Coffeyville Resources LLC: | ||||
Credit-Linked Deposit 8.2494% 12/28/13 (c) | 486 | 489 | ||
Tranche D, term loan 8.3495% 12/28/13 (c) | 2,507 | 2,520 | ||
Colonial Pipeline Co. term loan 7.359% 2/27/12 (c) | 2,490 | 2,515 | ||
Compagnie Generale de Geophysique SA term loan 7.35% 1/12/14 (c) | 9,975 | 10,050 | ||
El Paso Corp. 7.254% 7/31/11 (c) | 27,981 | 28,156 | ||
Energy Transfer Equity LP term loan 7.08% 11/1/12 (c) | 4,000 | 4,025 | ||
Energy XXI Gulf Coast, Inc. Tranche 2LN, term loan 10.875% 4/4/10 (c) | 3,000 | 3,000 | ||
MEG Energy Corp.: | ||||
term loan 7.35% 4/3/13 (c) | 2,475 | 2,494 | ||
Tranche DD, term loan 4/3/13 (e) | 2,500 | 2,494 | ||
Nebraska Energy, Inc.: | ||||
Tranche B 1LN, term loan 7.85% 11/1/13 (c) | 7,548 | 7,586 | ||
Tranche B, Credit-Linked Deposit 7.85% 11/1/13 (c) | 892 | 896 | ||
Sandridge Energy, Inc. term loan 8.975% 4/1/14 (c) | 8,000 | 8,130 | ||
Targa Resources, Inc./Targa Resources Finance Corp.: | ||||
Credit-Linked Deposit 7.225% 10/31/12 (c) | 3,290 | 3,315 | ||
term loan 7.3565% 10/31/12 (c) | 13,504 | 13,605 | ||
Vulcan/Plains Resources, Inc. term loan 6.86% 8/12/11 (c) | 2,884 | 2,887 | ||
W&T Offshore, Inc. Tranche B, term loan 7.6% 8/24/10 (c) | 4,810 | 4,846 | ||
Western Refining, Inc.: | ||||
term loan LIBOR +1.75 4/6/14 (c) | 11,877 | 11,877 | ||
Tranche DD, term loan 4/6/14 (e) | 2,903 | 2,903 | ||
137,854 | ||||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Entertainment/Film - 1.7% | ||||
Alliance Atlantis Communications, Inc. Tranche C, term loan 6.85% 12/19/11 (c) | $ 3,920 | $ 3,915 | ||
AMC Entertainment, Inc. term loan 7.07% 1/26/13 (c) | 10,369 | 10,408 | ||
Cinemark USA, Inc. term loan 7.383% 10/5/13 (c) | 13,930 | 13,965 | ||
MGM Holdings II, Inc. Tranche B, term loan 8.6% 4/8/12 (c) | 14,261 | 14,261 | ||
National CineMedia LLC term loan 7.09% 2/13/15 (c) | 14,000 | 14,000 | ||
Regal Cinemas Corp. term loan 7.1% 10/27/13 (c) | 27,203 | 27,203 | ||
83,752 | ||||
Environmental - 1.4% | ||||
Allied Waste Industries, Inc.: | ||||
Credit-Linked Deposit 7.07% 3/28/14 (c) | 17,424 | 17,511 | ||
term loan 7.0966% 3/28/14 (c) | 39,292 | 39,488 | ||
Brickman Group Holdings, Inc. Tranche B, term loan 7.3986% 1/23/14 (c) | 3,000 | 3,000 | ||
Casella Waste Systems, Inc. Tranche B, term loan 7.36% 4/28/10 (c) | 2,000 | 2,008 | ||
Synagro Technologies, Inc. Tranche 1LN, term loan 7.32% 3/30/14 (c) | 470 | 472 | ||
Waste Services, Inc. Tranche E, term loan 7.82% 3/31/11 (c) | 3,885 | 3,904 | ||
66,383 | ||||
Food and Drug Retail - 0.9% | ||||
Jean Coutu Group (PJC) USA, Inc. Tranche B, term loan 7.875% 7/30/11 (c) | 28,753 | 28,753 | ||
SUPERVALU, Inc. Tranche B, term loan 6.84% 6/2/12 (c) | 15,771 | 15,850 | ||
44,603 | ||||
Food/Beverage/Tobacco - 2.0% | ||||
B&G Foods, Inc. Tranche C, term loan 7.36% 2/26/13 (c) | 2,800 | 2,814 | ||
Bumble Bee Foods LLC Tranche B, term loan 7.1088% 5/2/12 (c) | 3,000 | 3,000 | ||
Constellation Brands, Inc. Tranche B, term loan 6.875% 6/5/13 (c) | 36,492 | 36,583 | ||
Dean Foods Co. Tranche B, term loan 6.875% 4/2/14 (c) | 24,000 | 24,030 | ||
Del Monte Corp. Tranche B, term loan 6.8379% 2/8/12 (c) | 10,248 | 10,235 | ||
Herbalife International, Inc. term loan 6.82% 7/21/13 (c) | 3,738 | 3,738 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Food/Beverage/Tobacco - continued | ||||
Michael Foods, Inc. Tranche B, term loan 7.36% 11/21/10 (c) | $ 4,020 | $ 4,040 | ||
Reddy Ice Group, Inc. term loan 7.105% 8/12/12 (c) | 2,000 | 2,005 | ||
Reynolds American, Inc. Tranche B, term loan 7.1136% 5/31/12 (c) | 11,910 | 11,970 | ||
98,415 | ||||
Gaming - 2.8% | ||||
Alliance Gaming Corp. term loan 8.61% 9/5/09 (c) | 3,651 | 3,647 | ||
Ameristar Casinos, Inc. term loan 6.82% 11/10/12 (c) | 5,974 | 5,974 | ||
Boyd Gaming Corp. term loan 6.82% 6/30/11 (c) | 13,143 | 13,160 | ||
Choctaw Resort Development Enterprise term loan 7.0738% 11/4/11 (c) | 1,876 | 1,883 | ||
Green Valley Ranch Gaming LLC Tranche 1LN, term loan 7.36% 2/16/14 (c) | 3,797 | 3,820 | ||
Greenwood Racing, Inc. term loan 7.57% 11/28/11 (c) | 1,995 | 2,005 | ||
Kerzner International Ltd.: | ||||
term loan 8.34% 9/1/13 (c) | 1,809 | 1,805 | ||
Class DD, term loan 8.3418% 9/1/13 (c)(e) | 941 | 938 | ||
Penn National Gaming, Inc. Tranche B, term loan 7.114% 10/31/12 (c) | 18,292 | 18,475 | ||
Pinnacle Entertainment, Inc. Tranche B, term loan 7.32% 12/14/11 (c) | 5,350 | 5,397 | ||
Seminole Tribe of Florida: | ||||
Tranche B1, term loan 6.875% 3/5/14 (c)(e) | 777 | 777 | ||
Tranche B2, term loan 6.875% 3/5/14 (c) | 2,623 | 2,623 | ||
Tranche B3, term loan 6.875% 3/5/14 (c) | 2,599 | 2,599 | ||
Tropicana Entertainment term loan 7.85% 7/3/08 (c) | 8,700 | 8,765 | ||
Trump Entertainment Resorts Holdings LP Tranche B, term loan 7.864% 5/20/12 (c)(e) | 14,394 | 14,484 | ||
Venetian Casino Resort LLC Tranche B, term loan 7.09% 6/15/11 (c) | 24,200 | 24,200 | ||
Venetian Macau Ltd. Tranche B, term loan: | ||||
7.6% 5/26/12 (c)(e) | 3,369 | 3,395 | ||
7.85% 5/26/13 (c) | 7,631 | 7,707 | ||
Venetian Macau US Finance, Inc. Tranche B, term loan 7.6% 5/25/13 (c) | 4,000 | 4,030 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. term loan B 7.225% 8/15/13 (c) | 9,180 | 9,255 | ||
134,939 | ||||
Healthcare - 9.4% | ||||
Advanced Medical Optics, Inc. term loan 7.093% 4/2/14 (c) | 2,540 | 2,553 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Healthcare - continued | ||||
AmeriPath, Inc. Tranche B, term loan 7.36% 10/31/12 (c) | $ 2,970 | $ 2,970 | ||
AMR HoldCo, Inc./EmCare HoldCo, Inc. term loan 7.3798% 2/7/12 (c) | 10,017 | 10,054 | ||
Community Health Systems, Inc. term loan 7.1% 8/19/11 (c) | 43,587 | 43,587 | ||
Concentra Operating Corp. term loan 7.3321% 9/30/11 (c) | 3,119 | 3,134 | ||
CONMED Corp. Tranche B, term loan 7.07% 4/12/13 (c) | 2,111 | 2,111 | ||
DaVita, Inc. Tranche B1, term loan 6.8418% 10/5/12 (c) | 45,257 | 45,313 | ||
DJO, Inc. Tranche B, term loan 6.875% 4/7/13 (c) | 2,478 | 2,478 | ||
Emdeon Business Services term loan 7.6% 11/16/13 (c) | 1,962 | 1,967 | ||
Fresenius Medical Care Holdings, Inc. Tranche B, term loan 6.7262% 3/31/12 (c) | 40,607 | 40,557 | ||
Gentiva Health Services, Inc. term loan 7.5853% 3/31/13 (c) | 1,800 | 1,809 | ||
HCA, Inc. Tranche B, term loan 7.6% 11/17/13 (c) | 116,708 | 117,870 | ||
Health Management Associates, Inc. Tranche B, term loan 7.1% 2/28/14 (c) | 26,820 | 26,921 | ||
HealthSouth Corp. term loan 7.847% 3/10/13 (c) | 27,239 | 27,409 | ||
IASIS Healthcare Corp.: | ||||
term loan 7.356% 3/15/14 (c) | 10,183 | 10,208 | ||
Tranche DD, term loan 3/15/14 (e) | 3,479 | 3,488 | ||
7.32% 3/15/14 (c) | 928 | 930 | ||
Kinetic Concepts, Inc. Tranche B2, term loan 6.85% 8/11/10 (c) | 4,126 | 4,126 | ||
LifePoint Hospitals, Inc. Tranche B, term loan 6.985% 4/15/12 (c) | 21,728 | 21,755 | ||
National Renal Institutes, Inc. term loan 7.625% 3/31/13 (c) | 3,434 | 3,430 | ||
Psychiatric Solutions, Inc. term loan 7.0881% 7/1/12 (c) | 8,314 | 8,314 | ||
PTS Acquisition Corp. term loan 7.6% 4/5/14 (c) | 14,000 | 14,018 | ||
Renal Advantage, Inc. Tranche B, term loan 7.85% 9/30/12 (c) | 6,617 | 6,658 | ||
Skilled Healthcare Group, Inc. Tranche 1, term loan 7.57% 6/15/12 (c) | 3,930 | 3,940 | ||
Sun Healthcare Group, Inc.: | ||||
Tranche B, term loan 7.355% 4/19/14 (c) | 4,276 | 4,276 | ||
Tranche DD, term loan 4/19/14 (e) | 759 | 759 | ||
5.255% 4/19/13 (c) | 966 | 966 | ||
Team Health, Inc. term loan 7.86% 11/22/12 (c) | 16,294 | 16,294 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Healthcare - continued | ||||
U.S. Oncology, Inc.: | ||||
Tranche B, term loan 7.6153% 8/20/11 (c) | $ 8,461 | $ 8,493 | ||
Tranche C, term loan 7.6% 8/20/11 (c) | 1,945 | 1,952 | ||
Vanguard Health Holding Co. I term loan 7.6% 9/23/11 (c) | 5,720 | 5,755 | ||
Vicar Operating, Inc. term loan 6.875% 5/16/11 (c) | 9,816 | 9,791 | ||
VWR Corp. Tranche B, term loan 7.61% 4/7/11 (c) | 5,819 | 5,863 | ||
459,749 | ||||
Homebuilding/Real Estate - 1.7% | ||||
Apartment Investment & Management Co. term loan 6.855% 3/22/11 (c) | 2,100 | 2,105 | ||
Blount, Inc. Tranche B1, term loan 7.0849% 8/9/10 (c) | 1,640 | 1,640 | ||
Capital Automotive (REIT) Tranche B, term loan 7.07% 12/16/10 (c) | 7,442 | 7,498 | ||
CB Richard Ellis Group, Inc. Tranche B, term loan 6.82% 12/20/13 (c) | 6,983 | 6,991 | ||
EOP Operating LP term loan 7.57% 2/28/09 (c) | 13,626 | 13,626 | ||
General Growth Properties, Inc. Tranche A1, term loan 6.57% 2/24/10 (c) | 25,803 | 25,787 | ||
LandSource Communities Development LLC Tranche B 1LN, term loan 8.07% 2/27/13 (c) | 7,980 | 8,080 | ||
Realogy Corp.: | ||||
Tranche B, term loan 8.35% 10/10/13 (c) | 9,455 | 9,478 | ||
8.32% 10/10/13 (c) | 2,545 | 2,552 | ||
Tishman Speyer Properties term loan 7.07% 12/27/12 (c) | 5,000 | 5,019 | ||
82,776 | ||||
Hotels - 0.2% | ||||
Hilton Hotels Corp. Tranche B, term loan 6.6948% 2/22/13 (c) | 7,317 | 7,317 | ||
Leisure - 1.2% | ||||
Cedar Fair LP term loan 7.32% 8/30/12 (c) | 9,925 | 10,012 | ||
London Arena & Waterfront Finance LLC Tranche A, term loan 7.84% 3/8/12 (c) | 2,970 | 2,985 | ||
Six Flags Theme Park, Inc. Tranche B1, term loan 8.6037% 6/30/09 (c) | 25,878 | 25,878 | ||
Town Sports International LLC term loan 7.125% 2/27/14 (c) | 3,990 | 4,000 | ||
Universal City Development Partners Ltd. term loan 7.3599% 6/9/11 (c) | 16,741 | 16,783 | ||
59,658 | ||||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Metals/Mining - 1.9% | ||||
Aleris International, Inc. term loan 7.375% 12/19/13 (c) | $ 3,990 | $ 3,995 | ||
Alpha National Resources LLC/Alpha National Resources Capital Corp. Tranche B, term loan 7.1% 10/26/12 (c) | 14,825 | 14,880 | ||
Compass Minerals Tranche B, term loan 6.8453% 12/22/12 (c) | 11,879 | 11,879 | ||
Freeport-McMoRan Copper & Gold, Inc. Tranche B, term loan 7.07% 3/19/14 (c) | 40,890 | 40,993 | ||
Novelis, Inc. term loan 7.61% 1/7/12 (c) | 16,178 | 16,219 | ||
Stillwater Mining Co. term loan 7.625% 7/30/10 (c) | 2,124 | 2,129 | ||
90,095 | ||||
Paper - 3.7% | ||||
Appleton Papers, Inc. term loan 7.6047% 6/11/10 (c) | 3,039 | 3,039 | ||
Boise Cascade Holdings LLC Tranche D, term loan 6.82% 10/26/11 (c) | 20,632 | 20,632 | ||
Buckeye Technologies, Inc. term loan 7.8441% 3/15/08 (c) | 1,674 | 1,676 | ||
Domtar Corp. Tranche B, term loan 6.735% 3/7/14 (c) | 4,000 | 3,990 | ||
Georgia-Pacific Corp.: | ||||
term loan 7.09% 12/29/13 (c) | 14,963 | 15,037 | ||
Tranche B1, term loan 7.3199% 12/23/12 (c) | 74,063 | 74,433 | ||
Graphic Packaging International, Inc. Tranche C, term loan 7.8325% 8/8/10 (c) | 14,663 | 14,663 | ||
NewPage Corp. term loan 7.625% 5/2/11 (c) | 4,172 | 4,203 | ||
Smurfit-Stone Container Enterprises, Inc.: | ||||
Credit-Linked Deposit 7.32% 11/1/10 (c) | 4,164 | 4,195 | ||
Tranche B, term loan 7.375% 11/1/11 (c) | 16,207 | 16,328 | ||
Tranche C, term loan 7.375% 11/1/11 (c) | 8,710 | 8,775 | ||
Tranche C1, term loan 7.375% 11/1/11 (c) | 2,795 | 2,819 | ||
Verso Paper Holdings LLC Tranche B, term loan 7.125% 8/1/13 (c) | 5,444 | 5,464 | ||
Xerium Technologies, Inc. Tranche B, term loan 8.1% 5/18/12 (c) | 4,499 | 4,494 | ||
179,748 | ||||
Publishing/Printing - 3.3% | ||||
CBD Media, Inc. Tranche D, term loan 7.82% 12/31/09 (c) | 1,747 | 1,754 | ||
Cenveo Corp.: | ||||
term loan 7.1% 6/21/13 (c) | 7,448 | 7,458 | ||
Tranche DD, term loan 7.1% 6/21/13 (c) | 248 | 249 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Publishing/Printing - continued | ||||
Dex Media East LLC/Dex Media East Finance Co.: | ||||
Tranche A, term loan 6.5956% 11/8/08 (c) | $ 1,735 | $ 1,733 | ||
Tranche B, term loan 6.8469% 5/8/09 (c) | 13,998 | 13,998 | ||
Dex Media West LLC/Dex Media West Finance Co.: | ||||
Tranche A, term loan 6.5988% 9/9/09 (c) | 3,238 | 3,238 | ||
Tranche B, term loan 6.85% 3/9/10 (c) | 12,838 | 12,838 | ||
Tranche B1, term loan 6.8593% 3/10/10 (c) | 12,959 | 12,959 | ||
Idearc, Inc. term loan 7.35% 11/17/14 (c) | 38,895 | 39,138 | ||
MediMedia USA, Inc. Tranche B, term loan 7.833% 10/5/13 (c) | 2,776 | 2,786 | ||
R.H. Donnelley Corp. Tranche D2, term loan 6.8511% 6/30/11 (c) | 27,468 | 27,434 | ||
Sun Media Corp. Canada Tranche B, term loan 7.105% 2/7/09 (c) | 1,567 | 1,567 | ||
The Reader's Digest Association, Inc. term loan 7.3391% 3/2/14 (c) | 12,610 | 12,626 | ||
Yell Group PLC Tranche B1, term loan 7.32% 2/10/13 (c) | 24,200 | 24,351 | ||
162,129 | ||||
Railroad - 0.3% | ||||
Kansas City Southern Railway Co. Tranche B, term loan 7.0731% 4/28/13 (c) | 16,873 | 16,873 | ||
Restaurants - 0.6% | ||||
Arby's Restaurant Group, Inc. Tranche B, term loan 7.2076% 7/25/12 (c) | 4,501 | 4,524 | ||
Burger King Corp. Tranche B1, term loan 6.875% 6/30/12 (c) | 17,994 | 18,039 | ||
Del Taco Tranche B, term loan 7.6% 3/29/13 (c) | 4,950 | 4,944 | ||
El Pollo Loco, Inc. Tranche B, term loan 7.855% 11/18/11 (c) | 1,969 | 1,981 | ||
29,488 | ||||
Services - 3.1% | ||||
Acosta, Inc. term loan 7.57% 7/28/13 (c) | 2,978 | 3,002 | ||
Adesa, Inc. term loan 7.57% 10/18/13 (c) | 6,000 | 6,038 | ||
Aramark Corp.: | ||||
term loan 7.475% 1/26/14 (c) | 62,067 | 62,378 | ||
7.445% 1/26/14 (c) | 4,436 | 4,458 | ||
Brand Energy & Infrastructure Services, Inc. Tranche B 1LN, term loan 7.625% 2/7/14 (c) | 4,790 | 4,790 | ||
Coinmach Corp. Tranche B1, term loan 7.875% 12/19/12 (c) | 5,970 | 6,007 | ||
Coinstar, Inc. term loan 7.35% 7/1/11 (c) | 5,520 | 5,547 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Services - continued | ||||
Education Management LLC/Education Management Finance Corp. Tranche B, term loan 7.375% 6/1/13 (c) | $ 3,963 | $ 3,977 | ||
Hertz Corp.: | ||||
Credit-Linked Deposit 7.35% 12/21/12 (c) | 1,444 | 1,453 | ||
Tranche B, term loan 7.0822% 12/21/12 (c) | 8,069 | 8,119 | ||
Iron Mountain, Inc. term loan 6.865% 4/16/14 (c) | 10,000 | 10,025 | ||
McJunkin Corp. term loan 7.6% 1/31/14 (c) | 1,995 | 2,000 | ||
RSC Equipment Rental term loan 8.9332% 11/30/12 (c) | 2,985 | 2,989 | ||
The Geo Group, Inc. term loan 6.8245% 1/24/14 (c) | 1,798 | 1,803 | ||
United Rentals, Inc.: | ||||
term loan 7.32% 2/14/11 (c) | 4,681 | 4,704 | ||
Tranche B, Credit-Linked Deposit 7.32% 2/14/11 (c) | 1,937 | 1,946 | ||
US Investigations Services, Inc.: | ||||
term loan 7.85% 10/14/12 (c) | 5,910 | 5,954 | ||
term loan D 7.85% 10/14/12 (c) | 1,990 | 2,005 | ||
West Corp. term loan 7.7497% 10/24/13 (c) | 14,663 | 14,773 | ||
151,968 | ||||
Shipping - 0.2% | ||||
Baker Tanks, Inc. Tranche B, term loan 9.5% 11/23/12 (c) | 879 | 879 | ||
Laidlaw International, Inc. Tranche B, term loan 7.09% 7/31/13 (c) | 8,955 | 8,966 | ||
9,845 | ||||
Specialty Retailing - 0.2% | ||||
GNC Corp. term loan 7.6% 9/16/13 (c) | 7,000 | 7,000 | ||
Sally Holdings LLC Tranche B, term loan 7.86% 11/16/13 (c) | 4,970 | 5,009 | ||
12,009 | ||||
Super Retail - 1.6% | ||||
Buhrmann US, Inc. Tranche D1, term loan 7.1001% 12/31/10 (c) | 5,534 | 5,547 | ||
FTD, Inc. term loan 7.36% 7/28/13 (c) | 3,661 | 3,670 | ||
Gold Toe Investment Corp. Tranche 1LN, term loan 8.109% 10/30/13 (c) | 5,985 | 6,030 | ||
J. Crew Group, Inc. term loan 7.1227% 5/15/13 (c) | 3,911 | 3,921 | ||
Michaels Stores, Inc. Tranche B, term loan 8.125% 10/31/13 (c) | 16,563 | 16,563 | ||
Neiman Marcus Group, Inc. term loan 7.3463% 4/6/13 (c) | 9,239 | 9,308 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Super Retail - continued | ||||
PETCO Animal Supplies, Inc. term loan 7.9772% 10/26/13 (c) | $ 9,925 | $ 10,000 | ||
The Pep Boys - Manny, Moe & Jack term loan 7.36% 10/27/13 (c) | 3,691 | 3,709 | ||
Toys 'R' US, Inc. term loan 8.32% 12/9/08 (c) | 19,000 | 19,166 | ||
77,914 | ||||
Technology - 4.7% | ||||
Acxiom Corp. term loan 7.0828% 9/15/12 (c) | 4,549 | 4,572 | ||
Advanced Micro Devices, Inc. term loan 7.34% 12/31/13 (c) | 8,336 | 8,347 | ||
Affiliated Computer Services, Inc.: | ||||
term loan 7.32% 3/20/13 (c) | 13,163 | 13,196 | ||
Tranche B2, term loan 7.32% 3/20/13 (c) | 7,920 | 7,940 | ||
AMI Semiconductor, Inc. term loan 6.82% 4/1/12 (c) | 1,480 | 1,473 | ||
Eastman Kodak Co.: | ||||
term loan 7.57% 10/18/12 (c) | 9,985 | 9,997 | ||
Tranche DD, term loan 7.57% 10/20/12 (c) | 1,985 | 1,988 | ||
Freescale Semiconductor, Inc. term loan 7.11% 12/1/13 (c) | 43,900 | 43,900 | ||
Global Tel*Link Corp.: | ||||
term loan 8.85% 2/14/13 (c)(e) | 1,557 | 1,569 | ||
8.76% 2/14/13 (c)(e) | 435 | 438 | ||
Itron, Inc. term loan 7.358% 4/18/14 (c) | 2,410 | 2,428 | ||
K & F Industries, Inc. term loan 7.32% 11/18/12 (c) | 7,734 | 7,734 | ||
ON Semiconductor Corp. term loan 7.1% 9/6/13 (c) | 1,286 | 1,286 | ||
Open Solutions, Inc. term loan 7.485% 1/23/14 (c) | 4,490 | 4,507 | ||
Open Text Corp. term loan 7.86% 10/2/13 (c) | 5,970 | 6,000 | ||
PGS Solutions, Inc. term loan 7.61% 2/14/13 (c) | 1,230 | 1,241 | ||
Riverdeep Interactive Learning USA, Inc. term loan: | ||||
8.1% 12/20/13 (c) | 17,127 | 17,170 | ||
11.55% 12/21/07 (c) | 9,000 | 9,000 | ||
Serena Software, Inc. term loan 7.5856% 3/10/13 (c) | 5,175 | 5,194 | ||
SunGard Data Systems, Inc. term loan 7.36% 2/28/14 (c) | 70,540 | 71,069 | ||
Verifone, Inc. Tranche B, term loan 7.109% 10/31/13 (c) | 8,978 | 9,011 | ||
228,060 | ||||
Telecommunications - 4.8% | ||||
Alaska Communications Systems Holding term loan 7.1% 2/1/12 (c) | 3,000 | 3,008 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Telecommunications - continued | ||||
American Cellular Corp.: | ||||
term loan 3/15/14 (e) | $ 774 | $ 773 | ||
Tranche B, term loan 7.32% 3/15/14 (c) | 7,226 | 7,244 | ||
Centennial Cellular Operating Co. LLC term loan 7.3507% 2/9/11 (c) | 15,635 | 15,713 | ||
Cincinnati Bell, Inc. Tranche B, term loan 6.8236% 8/31/12 (c) | 7,930 | 7,940 | ||
Consolidated Communications, Inc. Tranche D, term loan 7.1024% 10/14/11 (c) | 2,000 | 2,000 | ||
Crown Castle International Corp. Tranche B, term loan 6.89% 3/6/14 (c) | 9,000 | 9,011 | ||
Digicel International Finance Ltd. term loan 7.85% 3/23/12 (c) | 16,000 | 16,020 | ||
Intelsat Bermuda Ltd. term loan 7.855% 1/12/14 (c) | 20,000 | 20,075 | ||
Intelsat Ltd. Tranche B, term loan 7.3494% 7/3/13 (c) | 29,519 | 29,703 | ||
Iowa Telecommunication Services, Inc. Tranche B, term loan 7.0975% 11/23/11 (c) | 4,000 | 4,010 | ||
Knology, Inc. term loan 7.57% 4/6/12 (c) | 3,000 | 3,008 | ||
Leap Wireless International, Inc. Tranche B, term loan 7.6% 6/16/13 (c) | 6,948 | 6,991 | ||
Level 3 Communications, Inc. term loan 7.605% 3/13/14 (c) | 14,000 | 14,070 | ||
MetroPCS Wireless, Inc. Tranche B, term loan 7.625% 11/3/13 (c) | 17,920 | 18,010 | ||
NTELOS, Inc. Tranche B1, term loan 7.57% 8/24/11 (c) | 6,775 | 6,805 | ||
Paetec Communications, Inc. Tranche B, term loan 8.82% 2/28/13 (c) | 4,000 | 4,055 | ||
Qwest Corp. Tranche B, term loan 6.95% 6/30/10 (c) | 11,000 | 11,303 | ||
Time Warner Telecom, Inc. Tranche B, term loan 7.32% 1/7/13 (c) | 5,985 | 6,022 | ||
Triton PCS, Inc. term loan 8.57% 11/18/09 (c) | 7,768 | 7,807 | ||
Wind Telecomunicazioni Spa: | ||||
Tranche B, term loan 7.84% 9/21/13 (c) | 7,500 | 7,538 | ||
Tranche C, term loan 8.59% 9/21/14 (c) | 7,500 | 7,538 | ||
Windstream Corp. Tranche B1, term loan 6.86% 7/17/13 (c) | 23,556 | 23,673 | ||
232,317 | ||||
Textiles & Apparel - 0.7% | ||||
Hanesbrands, Inc. Tranche B 1LN, term loan 7.105% 9/5/13 (c) | 18,521 | 18,614 | ||
Levi Strauss & Co. term loan 7.59% 4/4/14 (c) | 3,000 | 2,976 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Textiles & Apparel - continued | ||||
Warnaco Group, Inc. term loan 6.84% 1/31/13 (c) | $ 4,986 | $ 4,979 | ||
William Carter Co. term loan 6.846% 6/29/12 (c) | 6,883 | 6,883 | ||
33,452 | ||||
TOTAL FLOATING RATE LOANS (Cost $3,924,239) | 3,938,300 | |||
Nonconvertible Bonds - 9.5% | ||||
Air Transportation - 0.1% | ||||
Continental Airlines, Inc. 8.4731% 6/2/13 (c) | 2,000 | 2,055 | ||
Delta Air Lines, Inc. 8.3% 12/15/29 (f) | 3,000 | 1,575 | ||
3,630 | ||||
Auto Parts Distribution - 0.0% | ||||
The Goodyear Tire & Rubber Co. 9.14% 12/1/09 (b)(c) | 2,000 | 2,010 | ||
Automotive - 1.2% | ||||
Ford Motor Credit Co.: | ||||
4.95% 1/15/08 | 2,000 | 1,978 | ||
6.18% 9/28/07 (c) | 16,000 | 16,000 | ||
8.105% 1/13/12 (c) | 31,620 | 31,264 | ||
8.36% 11/2/07 (c) | 4,000 | 4,038 | ||
General Motors Acceptance Corp. 6.3056% 7/16/07 (c) | 4,000 | 4,000 | ||
57,280 | ||||
Broadcasting - 0.2% | ||||
Radio One, Inc. 8.875% 7/1/11 | 7,000 | 7,210 | ||
Building Materials - 0.1% | ||||
General Cable Corp. 7.725% 4/1/15 (b)(c) | 5,030 | 5,080 | ||
Cable TV - 0.4% | ||||
CSC Holdings, Inc.: | ||||
7.25% 7/15/08 | 2,000 | 2,025 | ||
7.875% 12/15/07 | 8,000 | 8,092 | ||
DirecTV Holdings LLC/DirecTV Financing, Inc. 8.375% 3/15/13 | 1,963 | 2,071 | ||
EchoStar Communications Corp.: | ||||
5.75% 10/1/08 | 4,000 | 4,000 | ||
7% 10/1/13 | 3,000 | 3,116 | ||
19,304 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Capital Goods - 0.1% | ||||
Case New Holland, Inc. 9.25% 8/1/11 | $ 2,000 | $ 2,100 | ||
Esco Corp. 9.2299% 12/15/13 (b)(c) | 2,000 | 2,070 | ||
4,170 | ||||
Chemicals - 0.1% | ||||
Equistar Chemicals LP/Equistar Funding Corp. 10.625% 5/1/11 | 2,000 | 2,110 | ||
Georgia Gulf Corp. 9.5% 10/15/14 (b) | 1,360 | 1,360 | ||
3,470 | ||||
Containers - 0.3% | ||||
Impress Holdings BV 8.4806% 9/15/13 (b)(c) | 7,720 | 7,952 | ||
Owens-Brockway Glass Container, Inc. 8.875% 2/15/09 | 5,000 | 5,100 | ||
13,052 | ||||
Electric Utilities - 0.8% | ||||
AES Corp. 8.75% 6/15/08 | 3,000 | 3,090 | ||
CMS Energy Corp. 9.875% 10/15/07 | 12,000 | 12,180 | ||
NRG Energy, Inc. 7.375% 2/1/16 | 9,000 | 9,360 | ||
Reliant Energy, Inc. 9.25% 7/15/10 | 3,000 | 3,150 | ||
TECO Energy, Inc.: | ||||
6.125% 5/1/07 | 4,000 | 3,993 | ||
7.36% 5/1/10 (c) | 5,000 | 5,106 | ||
36,879 | ||||
Energy - 1.2% | ||||
Mariner Energy, Inc. 8% 5/15/17 | 3,930 | 3,950 | ||
Parker Drilling Co. 10.11% 9/1/10 (c) | 4,703 | 4,797 | ||
Pemex Project Funding Master Trust 6.6549% 6/15/10 (b)(c) | 18,000 | 18,459 | ||
Premcor Refining Group, Inc. 9.5% 2/1/13 | 2,000 | 2,165 | ||
Southern Natural Gas Co. 6.125% 9/15/08 | 2,000 | 2,015 | ||
Williams Companies, Inc. 7.3494% 10/1/10 (b)(c) | 17,000 | 17,446 | ||
Williams Companies, Inc. Credit Linked Certificate Trust IV 8.61% 5/1/09 (b)(c) | 7,000 | 7,184 | ||
56,016 | ||||
Gaming - 0.2% | ||||
Mandalay Resort Group: | ||||
9.5% 8/1/08 | 2,000 | 2,084 | ||
10.25% 8/1/07 | 2,000 | 2,020 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Gaming - continued | ||||
Mirage Resorts, Inc. 6.75% 8/1/07 | $ 3,000 | $ 3,008 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 6.625% 12/1/14 | 3,000 | 3,000 | ||
10,112 | ||||
Leisure - 0.1% | ||||
Universal City Florida Holding Co. I/II 10.11% 5/1/10 (c) | 5,140 | 5,313 | ||
Metals/Mining - 0.4% | ||||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
8.5463% 4/1/15 (c) | 12,000 | 12,630 | ||
10.125% 2/1/10 | 8,470 | 8,894 | ||
21,524 | ||||
Paper - 0.0% | ||||
Boise Cascade LLC/Boise Cascade Finance Corp. 8.2306% 10/15/12 (c) | 2,190 | 2,195 | ||
Publishing/Printing - 0.2% | ||||
Dex Media East LLC/Dex Media East Finance Co. 9.875% 11/15/09 | 6,000 | 6,270 | ||
R.H. Donnelley Corp. 8.875% 1/15/16 | 4,000 | 4,340 | ||
10,610 | ||||
Services - 0.1% | ||||
Aramark Corp. 8.86% 2/1/15 (b)(c) | 3,360 | 3,473 | ||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 7.86% 5/15/14 (b)(c) | 1,650 | 1,695 | ||
5,168 | ||||
Shipping - 0.1% | ||||
OMI Corp. 7.625% 12/1/13 | 2,000 | 2,060 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 3,620 | 3,765 | ||
5,825 | ||||
Super Retail - 0.3% | ||||
GSC Holdings Corp./Gamestop, Inc. 9.2244% 10/1/11 (c) | 16,000 | 16,540 | ||
Technology - 0.8% | ||||
Freescale Semiconductor, Inc. 9.2299% 12/15/14 (b)(c) | 10,000 | 10,025 | ||
Nortel Networks Corp. 9.6056% 7/15/11 (b)(c) | 17,380 | 18,640 | ||
NXP BV 8.1056% 10/15/13 (b)(c) | 9,000 | 9,293 | ||
37,958 | ||||
Telecommunications - 2.8% | ||||
Centennial Communications Corp. 11.0994% 1/1/13 (c) | 2,000 | 2,100 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Telecommunications - continued | ||||
Embarq Corp. 6.738% 6/1/13 | $ 7,111 | $ 7,391 | ||
Intelsat Ltd. 11.3544% 6/15/13 (c) | 2,000 | 2,130 | ||
IPCS, Inc. 7.48% 5/1/13 (b)(c) | 3,000 | 3,015 | ||
Level 3 Financing, Inc. 9.15% 2/15/15 (b)(c) | 4,000 | 4,045 | ||
Qwest Communications International, Inc. 8.86% 2/15/09 (c) | 9,000 | 9,101 | ||
Qwest Corp. 8.6049% 6/15/13 (c) | 56,150 | 61,344 | ||
Rogers Communications, Inc.: | ||||
6.375% 3/1/14 | 3,000 | 3,094 | ||
8.4799% 12/15/10 (c) | 38,450 | 39,219 | ||
Rural Cellular Corp. 8.25% 3/15/12 | 6,000 | 6,330 | ||
137,769 | ||||
TOTAL NONCONVERTIBLE BONDS (Cost $450,625) | 461,115 |
Money Market Funds - 8.5% | |||
Shares | |||
Fidelity Cash Central Fund, 5.29% (a) | 415,566,681 | 415,567 | |
Fidelity Money Market Central Fund, 5.4% (a) | 280,351 | 280 | |
TOTAL MONEY MARKET FUNDS (Cost $415,847) | 415,847 | ||
Cash Equivalents - 3.2% | |||
Maturity Amount (000s) | |||
Investments in repurchase agreements in a joint trading account at 5.12%, dated 4/30/07 due 5/1/07 (Collateralized by U.S. Treasury Obligations) # | $ 155,268 | 155,246 | |
TOTAL INVESTMENT PORTFOLIO - 102.1% (Cost $4,945,957) | 4,970,508 | ||
NET OTHER ASSETS - (2.1)% | (103,306) | ||
NET ASSETS - 100% | $ 4,867,202 |
Legend |
(a) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. |
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $111,747,000 or 2.3% of net assets. |
(c) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(d) 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. |
(e) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $26,456,000 and $26,517,000 respectively. The coupon rate will be determined at time of settlement. |
(f) Non-income producing - Issuer is in default. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$155,246,000 due 5/01/07 at 5.12% | |
Banc of America Securities LLC | $ 23,714 |
Barclays Capital, Inc. | 52,884 |
Fortis Securities LLC | 33,900 |
Lehman Brothers, Inc. | 44,748 |
$ 155,246 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 8,468 |
Fidelity Money Market Central Fund | 1,015 |
Total | $ 9,483 |
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) | April 30, 2007 | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $155,246) - See accompanying schedule: Unaffiliated issuers (cost $4,530,110) | $ 4,554,661 | |
Fidelity Central Funds (cost $415,847) | 415,847 | |
Total Investments (cost $4,945,957) | $ 4,970,508 | |
Receivable for investments sold | 66,914 | |
Receivable for fund shares sold | 18,076 | |
Interest receivable | 35,526 | |
Distributions receivable from Fidelity Central Funds | 2,003 | |
Prepaid expenses | 15 | |
Total assets | 5,093,042 | |
Liabilities | ||
Payable to custodian bank | $ 5,407 | |
Payable for investments purchased | 190,953 | |
Payable for fund shares redeemed | 21,314 | |
Distributions payable | 4,675 | |
Accrued management fee | 2,282 | |
Distribution fees payable | 558 | |
Other affiliated payables | 556 | |
Other payables and accrued expenses | 95 | |
Total liabilities | 225,840 | |
Net Assets | $ 4,867,202 | |
Net Assets consist of: | ||
Paid in capital | $ 4,839,614 | |
Undistributed net investment income | 1,622 | |
Accumulated undistributed net realized gain (loss) on investments | 1,415 | |
Net unrealized appreciation (depreciation) on investments | 24,551 | |
Net Assets | $ 4,867,202 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | April 30, 2007 | |
Calculation of Maximum Offering Price | $ 9.97 | |
Maximum offering price per share (100/97.25 of $9.97) | $ 10.25 | |
Class T: | $ 9.96 | |
Maximum offering price per share (100/97.25 of $9.96) | $ 10.24 | |
Class B: | $ 9.96 | |
Class C: | $ 9.97 | |
Floating Rate High Income: | $ 9.96 | |
Institutional Class: | $ 9.96 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Amounts in thousands | Six months ended April 30, 2007 | |
Investment Income | ||
Interest | $ 161,409 | |
Income from Fidelity Central Funds | 9,483 | |
Total income | 170,892 | |
Expenses | ||
Management fee | $ 14,478 | |
Transfer agent fees | 2,650 | |
Distribution fees | 3,011 | |
Accounting fees and expenses | 691 | |
Custodian fees and expenses | 59 | |
Independent trustees' compensation | 7 | |
Registration fees | 119 | |
Audit | 82 | |
Legal | 30 | |
Miscellaneous | 15 | |
Total expenses before reductions | 21,142 | |
Expense reductions | (53) | 21,089 |
Net investment income | 149,803 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 1,995 | |
Change in net unrealized appreciation (depreciation) on investment securities | 11,565 | |
Net gain (loss) | 13,560 | |
Net increase (decrease) in net assets resulting from operations | $ 163,363 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Amounts in thousands | Six months ended April 30, | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 149,803 | $ 258,782 |
Net realized gain (loss) | 1,995 | 3,037 |
Change in net unrealized appreciation (depreciation) | 11,565 | (12,428) |
Net increase (decrease) in net assets resulting | 163,363 | 249,391 |
Distributions to shareholders from net investment income | (151,995) | (254,554) |
Distributions to shareholders from net realized gain | (932) | - |
Total distributions | (152,927) | (254,554) |
Share transactions - net increase (decrease) | 242,986 | 327,553 |
Redemption fees | 97 | 305 |
Total increase (decrease) in net assets | 253,519 | 322,695 |
Net Assets | ||
Beginning of period | 4,613,683 | 4,290,988 |
End of period (including undistributed net investment income of $1,622 and undistributed net investment income of $3,814, respectively) | $ 4,867,202 | $ 4,613,683 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.95 | $ 9.96 | $ 9.97 | $ 9.88 | $ 9.45 | $ 9.70 |
Income from Investment Operations | ||||||
Net investment income E | .313 | .571 | .404 | .285 | .292 | .352 |
Net realized and unrealized gain (loss) | .026 | (.022) | (.008) | .098 | .447 | (.264) |
Total from investment operations | .339 | .549 | .396 | .383 | .739 | .088 |
Distributions from net investment income | (.317) | (.560) | (.397) | (.295) | (.311) | (.339) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.319) | (.560) | (.407) | (.295) | (.311) | (.339) |
Redemption fees added to paid in capitalE | - I | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.97 | $ 9.95 | $ 9.96 | $ 9.97 | $ 9.88 | $ 9.45 |
Total ReturnB, C, D | 3.45% | 5.66% | 4.05% | 3.96% | 7.95% | .90% |
Ratios to Average Net AssetsF, H | ||||||
Expenses before reductions | 1.02% A | 1.05% | 1.06% | 1.08% | 1.10% | 1.12% |
Expenses net of fee waivers, if any | 1.02% A | 1.05% | 1.06% | 1.08% | 1.10% | 1.10% |
Expenses net of all reductions | 1.01% A | 1.05% | 1.06% | 1.08% | 1.09% | 1.09% |
Net investment income | 6.33% A | 5.73% | 4.05% | 2.90% | 3.04% | 3.64% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 271 | $ 285 | $ 312 | $ 299 | $ 88 | $ 37 |
Portfolio turnover rate G | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 | $ 9.69 |
Income from Investment Operations | ||||||
Net investment income E | .311 | .564 | .396 | .276 | .285 | .342 |
Net realized and unrealized gain (loss) | .026 | (.022) | (.007) | .098 | .446 | (.263) |
Total from investment operations | .337 | .542 | .389 | .374 | .731 | .079 |
Distributions from net investment income | (.315) | (.553) | (.390) | (.286) | (.303) | (.330) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.317) | (.553) | (.400) | (.286) | (.303) | (.330) |
Redemption fees added to paid in capital E | - I | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.96 | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 |
Total Return B, C, D | 3.44% | 5.60% | 3.98% | 3.87% | 7.87% | .80% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.06% A | 1.11% | 1.13% | 1.17% | 1.18% | 1.20% |
Expenses net of fee waivers, if any | 1.06% A | 1.11% | 1.13% | 1.17% | 1.18% | 1.19% |
Expenses net of all reductions | 1.06% A | 1.11% | 1.13% | 1.17% | 1.18% | 1.19% |
Net investment income | 6.29% A | 5.67% | 3.98% | 2.81% | 2.96% | 3.54% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 414 | $ 472 | $ 511 | $ 389 | $ 113 | $ 75 |
Portfolio turnover rate G | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 | $ 9.69 |
Income from Investment Operations | ||||||
Net investment income E | .285 | .513 | .346 | .231 | .243 | .298 |
Net realized and unrealized gain (loss) | .027 | (.022) | (.008) | .096 | .444 | (.263) |
Total from investment operations | .312 | .491 | .338 | .327 | .687 | .035 |
Distributions from net investment income | (.290) | (.502) | (.339) | (.239) | (.259) | (.286) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.292) | (.502) | (.349) | (.239) | (.259) | (.286) |
Redemption fees added to paid in capital E | - I | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.96 | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 |
Total Return B, C, D | 3.17% | 5.06% | 3.46% | 3.38% | 7.38% | .35% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.58% A | 1.63% | 1.64% | 1.65% | 1.64% | 1.65% |
Expenses net of fee waivers, if any | 1.58% A | 1.63% | 1.64% | 1.65% | 1.63% | 1.64% |
Expenses net of all reductions | 1.58% A | 1.62% | 1.64% | 1.65% | 1.63% | 1.64% |
Net investment income | 5.76% A | 5.16% | 3.47% | 2.33% | 2.50% | 3.09% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 125 | $ 143 | $ 173 | $ 184 | $ 134 | $ 118 |
Portfolio turnover rate G | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.95 | $ 9.96 | $ 9.97 | $ 9.87 | $ 9.45 | $ 9.70 |
Income from Investment Operations | ||||||
Net investment income E | .281 | .508 | .341 | .224 | .235 | .290 |
Net realized and unrealized gain (loss) | .026 | (.022) | (.008) | .107 | .434 | (.263) |
Total from investment operations | .307 | .486 | .333 | .331 | .669 | .027 |
Distributions from net investment income | (.285) | (.497) | (.334) | (.233) | (.251) | (.278) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.287) | (.497) | (.344) | (.233) | (.251) | (.278) |
Redemption fees added to paid in capital E | - I | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.97 | $ 9.95 | $ 9.96 | $ 9.97 | $ 9.87 | $ 9.45 |
Total Return B, C, D | 3.12% | 5.00% | 3.40% | 3.41% | 7.18% | .26% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.67% A | 1.68% | 1.69% | 1.71% | 1.72% | 1.73% |
Expenses net of fee waivers, if any | 1.67% A | 1.68% | 1.69% | 1.71% | 1.71% | 1.73% |
Expenses net of all reductions | 1.67% A | 1.68% | 1.69% | 1.71% | 1.71% | 1.73% |
Net investment income | 5.68% A | 5.10% | 3.42% | 2.27% | 2.42% | 3.00% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 410 | $ 450 | $ 539 | $ 524 | $ 269 | $ 235 |
Portfolio turnover rate G | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Floating Rate High Income
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 I | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 | $ 9.52 |
Income from Investment Operations | ||||||
Net investment income D | .325 | .593 | .427 | .309 | .311 | .040 |
Net realized and unrealized gain (loss) | .027 | (.021) | (.008) | .099 | .450 | (.084) |
Total from investment operations | .352 | .572 | .419 | .408 | .761 | (.044) |
Distributions from net investment income | (.330) | (.583) | (.420) | (.320) | (.333) | (.037) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.332) | (.583) | (.430) | (.320) | (.333) | (.037) |
Redemption fees added to paid in capital D | - H | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.96 | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 |
Total Return B, C | 3.59% | 5.92% | 4.30% | 4.22% | 8.20% | (.45)% |
Ratios to Average Net Assets E, G | ||||||
Expenses before reductions | .76% A | .81% | .82% | .84% | .86% | 1.15% A |
Expenses net of fee waivers, if any | .76% A | .81% | .82% | .84% | .86% | .95% A |
Expenses net of all reductions | .76% A | .81% | .82% | .84% | .86% | .94% A |
Net investment income | 6.59% A | 5.97% | 4.29% | 3.14% | 3.27% | 3.99% A |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 3,332 | $ 2,989 | $ 2,471 | $ 1,982 | $ 811 | $ 18 |
Portfolio turnover rate F | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H Amount represents less than $.001 per share.
I For the period September 19, 2002 (commencement of sale of shares) to October 31, 2002.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.86 | $ 9.44 | $ 9.69 |
Income from Investment Operations | ||||||
Net investment income D | .324 | .591 | .424 | .304 | .312 | .365 |
Net realized and unrealized gain (loss) | .027 | (.021) | (.007) | .110 | .436 | (.262) |
Total from investment operations | .351 | .570 | .417 | .414 | .748 | .103 |
Distributions from net investment income | (.329) | (.581) | (.418) | (.316) | (.330) | (.354) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.331) | (.581) | (.428) | (.316) | (.330) | (.354) |
Redemption fees added to paid in capital D | - H | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.96 | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.86 | $ 9.44 |
Total Return B, C | 3.58% | 5.89% | 4.27% | 4.29% | 8.06% | 1.06% |
Ratios to Average Net Assets E, G | ||||||
Expenses before reductions | .79% A | .84% | .85% | .87% | .90% | .94% |
Expenses net of fee waivers, if any | .79% A | .84% | .85% | .87% | .89% | .94% |
Expenses net of all reductions | .78% A | .83% | .85% | .87% | .89% | .93% |
Net investment income | 6.56% A | 5.95% | 4.26% | 3.11% | 3.24% | 3.79% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 316 | $ 275 | $ 285 | $ 182 | $ 36 | $ 18 |
Portfolio turnover rate F | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2007
(Amounts in thousands except ratios)
1. Organization.
Fidelity Advisor Floating Rate High 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, Fidelity Floating Rate High Income Fund, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request. In addition, the financial statements of the Fidelity Central Funds which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
3. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. The Fund earns certain fees in connection with its floating rate loan purchasing activities. These fees are in addition to interest payments earned and may include amendment fees, consent fees and prepayment fees. These fees are recorded as Income in the accompanying financial statements.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
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. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to market discount 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 | $ 26,475 |
Unrealized depreciation | (1,661) |
Net unrealized appreciation (depreciation) | $ 24,814 |
Cost for federal income tax purposes | $ 4,945,694 |
Short-Term Trading (Redemption) Fees. Shares held in the Fund less than 60 days are subject to a redemption fee equal to 1.00% of the proceeds of the redeemed shares. All redemption fees, including any estimated redemption fees paid by FMR, are retained by the Fund and accounted for as an addition to paid in capital.
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
New Accounting Pronouncements - continued
Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including principal repayments of floating rate loans), other than short-term securities and U.S. government securities, aggregated $1,736,956 and $1,509,434, respectively.
Semiannual Report
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% (.55% prior to February 1, 2007) of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was ..62% 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% | .25% | $ 227 | $ 11 |
Class T | 0% | .25% | 545 | - |
Class B | .55% | .15% | 468 | 369 |
Class C | .75% | .25% | 1,771 | 271 |
$ 3,011 | $ 651 |
On January 18, 2007, the Board of Trustees approved an increase in Class A's service fee from 0.15% to 0.25% and an increase in Class C's distribution fee from .55% to ..75%. The new fee rates were effective April 1, 2007.
Sales Load. FDC receives a front-end sales charge of up to 2.75% for selling Class A shares (3.75% prior to April 1, 2007), and 2.75% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 3.50% to 1% for Class B, 1% for Class C, 1.00% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
6. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 66 |
Class T | 14 |
Class B* | 123 |
Class C* | 51 |
$ 254 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund, except for Fidelity Floating Rate High Income Fund. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the transfer agent for Fidelity Floating Rate High Income Fund shares. FIIOC and FSC receive 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 and FSC pay for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each class to FIIOC or FSC, were as follows:
Amount | % of | |
Class A | $ 247 | .18 |
Class T | 305 | .14 |
Class B | 141 | .21 |
Class C | 349 | .17 |
Fidelity Floating Rate High Income | 1,436 | .09 |
Institutional Class | 172 | .12 |
$ 2,650 |
* Annualized
Accounting Fees. FSC maintains the Fund's accounting records. The fee is based on the level of average net assets for the month.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to
Semiannual Report
7. Committed Line of Credit - continued
pay commitment fees on its pro rata portion of the line of credit, which amounted to $6 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expense by $37. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | |
Fidelity Floating Rate High Income | $ 3 |
9. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
In September 2006, a transfer agent of the Fund, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund. FIIOC has reimbursed the Fund for related audit and legal expenses and, beginning in June 2007, remediated affected shareholders.
On April 19, 2007, the Board of Trustees approved an Agreement and Plan of Reorganization whereby the Fund will reorganize into Fidelity Advisor Series I, effective on or about June 29, 2007. The reorganization will not impact the Fund's investment strategies or FMR's management of the Fund. All legal and other expenses associated with the reorganization will be paid by FMR.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 8,696 | $ 17,229 |
Class T | 13,820 | 27,896 |
Class B | 3,892 | 7,934 |
Class C | 12,206 | 24,590 |
Floating Rate High Income | 103,993 | 159,948 |
Institutional Class | 9,388 | 16,957 |
Total | $ 151,995 | $ 254,554 |
From net realized gain | ||
Class A | $ 56 | $ - |
Class T | 92 | - |
Class B | 28 | - |
Class C | 89 | - |
Floating Rate High Income | 612 | - |
Institutional Class | 55 | - |
Total | $ 932 | $ - |
Semiannual Report
11. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended April 30, | Year ended | Six months ended April 30, | Year ended | |
Class A | ||||
Shares sold | 4,304 | 12,422 | $ 42,940 | $ 123,689 |
Reinvestment of distributions | 628 | 1,255 | 6,265 | 12,492 |
Shares redeemed | (6,411) | (16,310) | (63,923) | (162,319) |
Net increase (decrease) | (1,479) | (2,633) | $ (14,718) | $ (26,138) |
Class T | ||||
Shares sold | 4,612 | 17,758 | $ 45,939 | $ 176,613 |
Reinvestment of distributions | 1,235 | 2,513 | 12,301 | 24,979 |
Shares redeemed | (11,824) | (24,131) | (117,744) | (239,998) |
Net increase (decrease) | (5,977) | (3,860) | $ (59,504) | $ (38,406) |
Class B | ||||
Shares sold | 517 | 1,874 | $ 5,155 | $ 18,623 |
Reinvestment of distributions | 294 | 591 | 2,924 | 5,877 |
Shares redeemed | (2,673) | (5,517) | (26,620) | (54,870) |
Net increase (decrease) | (1,862) | (3,052) | $ (18,541) | $ (30,370) |
Class C | ||||
Shares sold | 2,984 | 9,134 | $ 29,757 | $ 90,864 |
Reinvestment of distributions | 837 | 1,673 | 8,338 | 16,649 |
Shares redeemed | (7,926) | (19,730) | (79,010) | (196,393) |
Net increase (decrease) | (4,105) | (8,923) | $ (40,915) | $ (88,880) |
Floating Rate High Income | ||||
Shares sold | 79,558 | 141,867 | $ 792,537 | $ 1,411,172 |
Reinvestment of distributions | 8,908 | 13,747 | 88,735 | 136,672 |
Shares redeemed | (54,709) | (103,278) | (544,972) | (1,027,044) |
Net increase (decrease) | 33,757 | 52,336 | $ 336,300 | $ 520,800 |
Institutional Class | ||||
Shares sold | 10,879 | 16,093 | $ 108,396 | $ 159,986 |
Reinvestment of distributions | 463 | 756 | 4,613 | 7,512 |
Shares redeemed | (7,298) | (17,805) | (72,645) | (176,951) |
Net increase (decrease) | 4,044 | (956) | $ 40,364 | $ (9,453) |
Semiannual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Advisor Floating Rate High Income Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity Advisor Floating Rate High Income Fund (the Fund), a fund of Fidelity Advisor Series II, including the schedule of investments as of April 30, 2007, and the related statement of operations for the six months then ended, the statements of changes in net assets for the six months then ended and for the year ended October 31, 2006, and the financial highlights for the six months then ended and for each of the five years in the period ended October 31, 2006. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of April 30, 2007, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Advisor Floating Rate High Income Fund as of April 30, 2007, the results of its operations for the six months then ended, the changes in its net assets for the six months then ended and for the year ended October 31, 2006, and the financial highlights for the six months then ended and for each of the five years in the period ended October 31, 2006, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
June 20, 2007
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Floating Rate High Income Fund
On January 18, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve an amended and restated management contract (the Amended Contract) for the fund, effective February 1, 2007. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information. In determining whether to approve the contract, the Board considered that the Amended Contract lowered the individual fund fee component of the management fee from 55 basis points to 45 basis points of the fund's average daily net assets.
In determining whether to approve the Amended Contract for the fund, the Board was 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 that fund, managed by Fidelity.
Nature, Extent, and Quality of Services Provided by Fidelity. The Board considered staffing within the investment adviser, FMR, and the sub-advisers, including the background of the fund's portfolio manager and the fund's investment objective and discipline.
Shareholder and Administrative Services. The Board considered the nature, quality, cost and extent of administrative, distribution and shareholder services performed by the Investment Advisers and affiliated companies.
Investment Performance. The Board noted that the approval of the Amended Contract would not change the fund's portfolio manager, the investment processes, the level or nature of services provided, the resources and personnel allocated, or its trading and compliance operations.
Based on this review of services, the Board concluded that the nature, extent, and quality of services provided to the fund will benefit shareholders of the fund.
Competitiveness of Management Fees and Total Fund Expenses. In approving the Amended Contract, the Board considered the fund's proposed management fee and projected total expenses compared to similar funds offered by other fund companies. The Board noted that the lower management fee rate proposed for the fund would have ranked the fund's management fee below the median of its competitors for 2005. The Board also considered other pricing changes for certain classes of the fund and noted that the projected total expenses of each class of the fund would have ranked below the median of its competitors for 2005.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Based on this review, the Board concluded that the fund's management fee and the total expenses of each class of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. In connection with its approval of the fund's Amended Contract, the Board did not consider data regarding the impact on Fidelity's costs of services, revenues, or profitability from the new arrangement because it was approving an arrangement that reduces the management fee that the fund pays. The Board noted Fidelity's assertion that reducing the management fee for the fund would reduce Fidelity's profitability. In connection with its future renewal of the fund's management contract and sub-advisory agreements, the Board will consider 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.
Economies of Scale. 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.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Amended Contract, the Board received additional information regarding similar funds offered by other fund companies.
Based on its evaluation of all of the conclusions noted above, and after consideration of all material factors, the Board concluded that the advisory fee structure is fair and reasonable, and that the Amended Contract should be approved.
On April 19, 2007, the Board voted to approve the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund in connection with reorganizing the fund from one Trust to another. The Board reached this determination because the contractual terms of and fees payable under the fund's Advisory Contracts are identical to those in the fund's current Advisory Contracts. The Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board considered that it approved the Advisory Contracts for the fund during the past year and that it will again consider renewal of the Advisory Contracts in June 2007.
Semiannual Report
Because the Board was approving Advisory Contracts with terms identical to the current Advisory Contracts, it did not consider the fund's investment performance, competitiveness of management fee and total expenses, costs of services and profitability, or economies of scale to be significant factors in its decision.
In connection with its future renewal of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent, and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the fund's management fee and total expenses; (iii) the costs of the services and profitability, including 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; and (iv) 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.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be approved, without modification, as part of the process of reorganizing the fund from one Trust to another.
Semiannual Report
Managing Your Investments
Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.
By Phone
Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.
(phone_graphic)
Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555
Press
1 For mutual fund and brokerage trading.
2 For quotes.*
3 For account balances and holdings.
4 To review orders and mutual
fund activity.
5 To change your PIN.
*0 To speak to a Fidelity representative.
By PC
Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.
(computer_graphic)
Fidelity's Web Site
www.fidelity.com
* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Research & Analysis Company (formerly Fidelity Management & Research (Far East) Inc.)
Fidelity Investments Japan Limited
Fidelity International Investment Advisors
Fidelity International Investment Advisors (U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agent
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FAST®) (automated graphic) 1-800-544-5555
(automated graphic) Automated line for quickest service
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
FHI-USAN-0607
1.784879.104
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Floating Rate High Income
Fund - Class A, Class T, Class B
and Class C
Semiannual Report
April 30, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm | ||
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit 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.
Annual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, redemption fees, 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 (November 1, 2006 to April 30, 2007).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
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 | $ 1,034.50 | $ 5.15 |
Hypothetical A | $ 1,000.00 | $ 1,019.74 | $ 5.11 |
Class T | |||
Actual | $ 1,000.00 | $ 1,034.40 | $ 5.35 |
Hypothetical A | $ 1,000.00 | $ 1,019.54 | $ 5.31 |
Class B | |||
Actual | $ 1,000.00 | $ 1,031.70 | $ 7.96 |
Hypothetical A | $ 1,000.00 | $ 1,016.96 | $ 7.90 |
Class C | |||
Actual | $ 1,000.00 | $ 1,031.20 | $ 8.41** |
Hypothetical A | $ 1,000.00 | $ 1,016.51 | $ 8.35** |
Floating Rate High Income | |||
Actual | $ 1,000.00 | $ 1,035.90 | $ 3.84** |
Hypothetical A | $ 1,000.00 | $ 1,021.03 | $ 3.81** |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,035.80 | $ 3.99** |
Hypothetical A | $ 1,000.00 | $ 1,020.88 | $ 3.96** |
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 | 1.02% |
Class T | 1.06% |
Class B | 1.58% |
Class C | 1.67%** |
Floating Rate High Income | .76%** |
Institutional Class | .79%** |
Semiannual Report
** If distribution fees and changes to voluntary expense limitations, effective April 1, 2007 for Class C, and management fees effective February 1, 2007 for all classes had been in effect during the entire period, the annualized expense ratios and the expenses paid in the actual and hypothetical examples above would have been as follows:
Annualized | Expenses | |
1.79% | ||
Actual | $ 9.01 | |
HypotheticalA | $ 8.95 | |
Floating Rate High Income | ||
Actual | $ 3.58 | |
HypotheticalA | $ 3.56 | |
Actual | $ 3.74 | |
HypotheticalA | $ 3.71 |
A 5% return per year before expenses
Semiannual Report
Investment Changes
Top Five Holdings as of April 30, 2007 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
HCA, Inc. | 2.4 | 0.6 |
NRG Energy, Inc. | 2.3 | 2.5 |
CSC Holdings, Inc. | 2.2 | 2.2 |
Georgia-Pacific Corp. | 1.8 | 2.1 |
UPC Broadband Holding BV | 1.7 | 1.0 |
10.4 | ||
Top Five Market Sectors as of April 30, 2007 | ||
% of fund's | % of fund's net assets | |
Healthcare | 9.4 | 7.8 |
Cable TV | 8.7 | 8.8 |
Telecommunications | 7.6 | 7.7 |
Technology | 5.5 | 5.4 |
Electric Utilities | 5.4 | 4.9 |
Quality Diversification (% of fund's net assets) | |||||||
As of April 30, 2007 | As of October 31, 2006 | ||||||
![]() | U.S.Government and U.S.Government Agency Obligations 0.0% | ![]() | U.S.Government and U.S.Government Agency Obligations 0.4% | ||||
![]() | AAA, AA, A 0.0% | ![]() | AAA, AA, A 0.0% | ||||
![]() | BBB 4.8% | ![]() | BBB 2.0% | ||||
![]() | BB 47.5% | ![]() | BB 48.5% | ||||
![]() | B 20.1% | ![]() | B 26.0% | ||||
![]() | CCC,CC,C 0.1% | ![]() | CCC,CC,C 0.2% | ||||
![]() | Not Rated 17.9% | ![]() | Not Rated 13.0% | ||||
![]() | 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. |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2007 * | As of October 31, 2006 ** | ||||||
![]() | Floating Rate | ![]() | Floating Rate | ||||
![]() | Nonconvertible | ![]() | Nonconvertible | ||||
![]() | U.S. Government | ![]() | U.S. Government | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 5.2% | ** Foreign investments | 5.9% |
Semiannual Report
Investments April 30, 2007
Showing Percentage of Net Assets
Floating Rate Loans (d) - 80.9% | ||||
Principal Amount (000s) | Value (000s) | |||
Aerospace - 0.9% | ||||
BE Aerospace, Inc. term loan B 6.88% 8/24/12 (c) | $ 5,935 | $ 5,950 | ||
DRS Technologies, Inc. term loan 6.8583% 1/31/13 (c) | 1,398 | 1,398 | ||
Mid-Western Aircraft Systems, Inc. Tranche B, term loan 7.105% 12/31/11 (c) | 11,917 | 11,992 | ||
Transdigm, Inc. term loan 7.3479% 6/23/13 (c) | 15,340 | 15,455 | ||
Wesco Aircraft Hardware Corp. Tranche 1LN, term loan 7.6% 9/29/13 (c) | 7,719 | 7,786 | ||
42,581 | ||||
Air Transportation - 0.2% | ||||
Delta Air Lines, Inc. Tranche 1LN, Revolving Credit-Linked Deposit 7.355% 4/25/14 (c) | 6,000 | 6,023 | ||
Northwest Airlines Corp. Tranche B, term loan 8.85% 12/31/13 (c) | 1,941 | 1,950 | ||
United Air Lines, Inc. Tranche B, term loan 7.375% 2/1/14 (c) | 4,000 | 3,995 | ||
11,968 | ||||
Auto Parts Distribution - 1.6% | ||||
Navistar International Corp.: | ||||
term loan 8.6099% 1/19/12 (c) | 11,000 | 11,165 | ||
8.5994% 1/19/12 (c) | 4,000 | 4,060 | ||
Oshkosh Truck Co. Tranche B, term loan 7.1% 12/6/13 (c) | 28,928 | 29,000 | ||
Tenneco, Inc. Credit-Linked Deposit 6.82% 3/16/14 (c) | 6,000 | 6,000 | ||
The Goodyear Tire & Rubber Co. Tranche 2LN, term loan 7.1% 4/30/14 (c) | 27,000 | 27,000 | ||
77,225 | ||||
Automotive - 3.3% | ||||
AM General LLC: | ||||
Tranche B, term loan 8.3808% 9/30/13 (c) | 2,855 | 2,880 | ||
8.32% 9/30/12 (c) | 97 | 98 | ||
Dana Corp. term loan 7.88% 4/13/08 (c) | 14,120 | 14,120 | ||
Delphi Corp. term loan: | ||||
7.625% 12/31/07 (c) | 14,000 | 14,035 | ||
8.125% 12/31/07 (c) | 34,000 | 34,128 | ||
Ford Motor Co. term loan 8.36% 12/15/13 (c) | 27,920 | 28,060 | ||
General Motors Corp. term loan 7.725% 11/29/13 (c) | 27,222 | 27,426 | ||
Rexnord Corp. Tranche B, term loan 7.8575% 7/19/13 (c) | 10,639 | 10,706 | ||
TRW Automotive Holdings Corp.: | ||||
Tranche B, term loan 6.9375% 6/30/12 (c) | 2,260 | 2,260 | ||
Tranche B2, term loan 6.875% 6/30/12 (c) | 1,975 | 1,975 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Automotive - continued | ||||
TRW Automotive Holdings Corp.: - continued | ||||
Tranche E, term loan 6.875% 10/31/10 (c) | $ 14,663 | $ 14,663 | ||
Visteon Corp. term loan 8.38% 6/13/13 (c) | 10,000 | 10,075 | ||
160,426 | ||||
Broadcasting - 1.7% | ||||
Cumulus Media, Inc. term loan 7.3231% 6/7/13 (c) | 1,904 | 1,913 | ||
Emmis Operating Co. Tranche B, term loan 7.35% 11/1/13 (c) | 7,000 | 7,044 | ||
Entravision Communication Corp. term loan 6.85% 3/29/13 (c) | 5,910 | 5,917 | ||
Montecito Broadcast Group LLC Tranche 1, term loan 7.86% 1/27/13 (c) | 1,975 | 1,987 | ||
Nexstar Broadcasting, Inc. Tranche B, term loan 7.1% 10/1/12 (c) | 17,863 | 18,087 | ||
Paxson Communications Corp. term loan 8.6056% 1/15/12 (c) | 6,000 | 6,120 | ||
Raycom TV Broadcasting, Inc. Tranche B, term loan 6.875% 8/28/13 (c) | 3,927 | 3,918 | ||
Spanish Broadcasting System, Inc. Tranche 1, term loan 7.1% 6/10/12 (c) | 2,840 | 2,836 | ||
VNU, Inc. term loan 7.61% 8/9/13 (c) | 33,748 | 34,043 | ||
81,865 | ||||
Building Materials - 0.2% | ||||
Goodman Global Holdings, Inc. Tranche C, term loan 7.125% 12/23/11 (c) | 2,834 | 2,834 | ||
Nortek Holdings, Inc. Tranche B, term loan 7.3649% 8/27/11 (c) | 5,726 | 5,747 | ||
8,581 | ||||
Cable TV - 8.3% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 7.35% 3/6/14 (c) | 23,000 | 22,971 | ||
CSC Holdings, Inc. Tranche B, term loan 7.0838% 3/29/13 (c) | 95,092 | 95,449 | ||
DIRECTV Holdings LLC Tranche B, term loan 6.82% 4/13/13 (c) | 34,066 | 34,193 | ||
Insight Midwest Holdings LLC Tranche B, term loan 7.35% 4/6/14 (c) | 10,000 | 10,056 | ||
Liberty Cablevision of Puerto Rico LTC term loan 7.61% 3/1/13 (c) | 4,950 | 4,962 | ||
Mediacom Broadband LLC/Mediacom Broadband Corp. Tranche D1, term loan 7.1037% 1/31/15 (c) | 3,920 | 3,916 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Cable TV - continued | ||||
Mediacom LLC Tranche C1, term loan 7.1004% 1/31/15 (c) | $ 6,808 | $ 6,799 | ||
NTL Cable PLC Tranche B, term loan 7.3556% 1/10/13 (c) | 23,680 | 23,858 | ||
PanAmSat Corp. Tranche B2, term loan 7.3494% 1/3/14 (c) | 29,850 | 30,037 | ||
San Juan Cable, Inc. Tranche 1, term loan 7.3475% 10/31/12 (c) | 5,925 | 5,918 | ||
Univision Communications, Inc.: | ||||
Tranche 1LN, term loan 7.605% 9/16/14 (c) | 74,228 | 74,135 | ||
Tranche DD 1LN, term loan 9/16/14 (e) | 4,772 | 4,766 | ||
UPC Broadband Holding BV: | ||||
Tranche J2, term loan 7.37% 3/31/13 (c) | 20,504 | 20,504 | ||
Tranche K2, term loan 7.37% 12/31/13 (c) | 20,504 | 20,504 | ||
Tranche N1, term loan 7.08% 12/31/14 (c) | 44,008 | 43,964 | ||
Wide Open West Finance LLC Tranche 1, term loan 7.6057% 5/1/13 (c) | 2,790 | 2,804 | ||
404,836 | ||||
Capital Goods - 2.2% | ||||
AGCO Corp. term loan 7.1% 7/3/09 (c) | 2,480 | 2,489 | ||
Amsted Industries, Inc.: | ||||
term loan 7.35% 4/5/13 (c) | 5,792 | 5,821 | ||
Tranche DD, term loan 7.35% 4/5/13 (c) | 3,111 | 3,127 | ||
Ashtead Group PLC term loan 7.125% 8/31/11 (c) | 5,000 | 5,000 | ||
Baldor Electric Co. term loan 7.125% 12/31/13 (c) | 10,565 | 10,605 | ||
Chart Industries, Inc. Tranche B, term loan 7.375% 10/17/12 (c) | 4,209 | 4,209 | ||
Dresser, Inc. term loan 10% 10/31/13 (c) | 9,300 | 9,300 | ||
EnergySolutions, Inc.: | ||||
Credit-Linked Deposit 7.57% 6/7/13 (c) | 189 | 190 | ||
term loan 7.63% 6/7/13 (c) | 5,654 | 5,696 | ||
Flowserve Corp. term loan 6.875% 8/10/12 (c) | 23,715 | 23,745 | ||
Hexcel Corp. Tranche B, term loan 7.12% 3/1/12 (c) | 4,040 | 4,050 | ||
Invensys International Holding Ltd.: | ||||
term loan 7.36% 12/15/10 (c) | 1,920 | 1,934 | ||
Tranche B, term loan 7.3467% 1/15/11 (c) | 2,080 | 2,096 | ||
Kinetek Industries, Inc. Tranche B, term loan 7.82% 11/10/13 (c) | 3,292 | 3,308 | ||
Mueller Group, Inc. term loan 7.3475% 10/3/12 (c) | 2,122 | 2,136 | ||
Rexnord Corp. Tranche B A0, term loan 7.64% 7/19/13 (c) | 4,938 | 4,962 | ||
Sensus Metering Systems, Inc. Tranche B term loan 7.36% 12/17/10 (c) | 1,919 | 1,924 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Capital Goods - continued | ||||
Terex Corp. term loan 7.1% 7/14/13 (c) | $ 11,900 | $ 11,915 | ||
Walter Industries, Inc. term loan 7.0897% 10/3/12 (c) | 3,171 | 3,175 | ||
105,682 | ||||
Chemicals - 4.0% | ||||
Basell USA, Inc.: | ||||
Tranche B2, term loan 7.57% 8/1/13 (c) | 1,730 | 1,741 | ||
Tranche C2, term loan 8.32% 8/1/14 (c) | 1,730 | 1,741 | ||
Celanese Holding LLC: | ||||
Revolving Credit-Linked Deposit 5.32% 4/2/13 (c) | 5,786 | 5,815 | ||
term loan 7.099% 4/2/14 (c) | 34,824 | 34,998 | ||
Georgia Gulf Corp. term loan 7.82% 10/3/13 (c) | 2,954 | 2,965 | ||
Hercules, Inc. Tranche B, term loan 6.82% 10/8/10 (c) | 4,874 | 4,874 | ||
Huntsman International LLC Tranche B, term loan 7.07% 8/16/12 (c) | 27,730 | 27,817 | ||
INEOS US Finance: | ||||
Tranche B, term loan 7.5799% 1/31/13 (c) | 4,777 | 4,819 | ||
Tranche C, term loan 8.0799% 1/31/14 (c) | 4,777 | 4,819 | ||
Innophos, Inc. Tranche B, term loan 7.57% 8/13/10 (c) | 2,820 | 2,834 | ||
ISP Chemco, Inc. Tranche B, term loan 7.125% 2/16/13 (c) | 7,920 | 7,960 | ||
Lyondell Chemical Co. term loan 6.86% 8/16/13 (c) | 31,840 | 31,959 | ||
MacDermid, Inc. Tranche B, term loan 7.32% 4/12/14 (c) | 5,240 | 5,240 | ||
Momentive Performance Materials, Inc. Tranche B1, term loan 7.625% 12/4/13 (c) | 17,955 | 18,045 | ||
Nalco Co. Tranche B, term loan 7.1959% 11/4/10 (c) | 17,259 | 17,366 | ||
Rockwood Specialties Group, Inc. Tranche E, term loan 7.355% 7/30/12 (c) | 13,411 | 13,512 | ||
The Mosaic Co. Tranche B, term loan 7.115% 12/1/13 (c) | 10,103 | 10,166 | ||
196,671 | ||||
Consumer Products - 1.0% | ||||
Central Garden & Pet Co. Tranche B, term loan 6.82% 9/12/12 (c) | 4,950 | 4,950 | ||
Chattem, Inc. term loan 7.11% 1/2/13 (c) | 1,720 | 1,728 | ||
Jarden Corp.: | ||||
term loan 7.1% 1/24/12 (c) | 5,056 | 5,062 | ||
Tranche B2, term loan 7.1% 1/24/12 (c) | 2,646 | 2,649 | ||
Jostens IH Corp. Tranche C, term loan 7.3297% 10/4/11 (c) | 12,148 | 12,208 | ||
NPI Merger Corp. term loan 7.349% 4/26/13 (c) | 1,686 | 1,678 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Consumer Products - continued | ||||
Sealy Mattress Co. Tranche E, term loan 6.8527% 8/25/12 (c) | $ 5,107 | $ 5,120 | ||
Spectrum Brands, Inc.: | ||||
Tranche B1, term loan 9.3326% 3/30/13 (c) | 1,629 | 1,654 | ||
Tranche B2, term loan 9.32% 3/30/13 (c) | 290 | 294 | ||
9.17% 3/30/13 (c) | 81 | 82 | ||
Weight Watchers International, Inc. Tranche B, term loan 6.875% 1/26/14 (c) | 7,980 | 8,020 | ||
Yankee Candle Co., Inc. term loan 7.35% 2/6/14 (c) | 5,000 | 5,025 | ||
48,470 | ||||
Containers - 1.7% | ||||
Berry Plastics Holding Corp. Tranche C, term loan 7.32% 4/3/15 (c) | 3,000 | 3,000 | ||
Bluegrass Container Co. LLC Tranche 1, term loan 7.5909% 6/30/13 (c) | 12,813 | 12,941 | ||
BWAY Corp. Tranche B, term loan 7.125% 7/17/13 (c) | 4,104 | 4,114 | ||
Crown Holdings, Inc.: | ||||
term loan B 7.11% 11/15/12 (c) | 15,345 | 15,422 | ||
Tranche B, term loan 7.11% 11/15/12 (c) | 9,697 | 9,745 | ||
Owens-Brockway Glass Container, Inc. Tranche B, term loan 6.82% 6/14/13 (c) | 25,425 | 25,488 | ||
Solo Cup Co.: | ||||
term loan 11.57% 3/31/12 (c) | 3,000 | 3,064 | ||
Tranche B1, term loan 8.847% 2/27/11 (c) | 9,248 | 9,375 | ||
83,149 | ||||
Diversified Financial Services - 1.3% | ||||
Ameritrade Holding Corp. Tranche B, term loan 6.82% 1/23/13 (c) | 14,768 | 14,787 | ||
Energy Investors Funds term loan 7.082% 4/11/14 (c) | 5,000 | 5,019 | ||
LPL Holdings, Inc. Tranche C, term loan 7.85% 6/28/13 (c) | 4,988 | 5,037 | ||
LS Power Acquisition Corp.: | ||||
Tranche 1LN, term loan 7.32% 4/30/14 (c) | 16,000 | 16,050 | ||
Tranche 2LN, term loan 8.07% 10/30/14 (c) | 3,000 | 3,034 | ||
The NASDAQ Stock Market, Inc.: | ||||
Tranche B, term loan 7.07% 4/18/12 (c) | 10,737 | 10,777 | ||
Tranche C, term loan 7.07% 4/18/12 (c) | 6,224 | 6,247 | ||
60,951 | ||||
Diversified Media - 0.7% | ||||
Lamar Media Corp. Tranche F, term loan 6.875% 3/31/14 (c) | 6,650 | 6,675 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Diversified Media - continued | ||||
LBI Media, Inc. Tranche B, term loan 6.8494% 3/31/12 (c) | $ 2,277 | $ 2,254 | ||
NextMedia Operating, Inc. Tranche 1, term loan 7.32% 11/18/12 (c) | 4,220 | 4,220 | ||
Quebecor Media, Inc. Tranche B, term loan 7.3556% 1/17/13 (c) | 4,938 | 4,968 | ||
R.H. Donnelley Corp.: | ||||
Tranche A4, term loan 6.57% 12/31/09 (c) | 545 | 545 | ||
Tranche D1, term loan 6.85% 6/30/11 (c) | 9,740 | 9,740 | ||
Thomson Media, Inc. Tranche B1, term loan 7.6% 11/8/11 (c) | 3,157 | 3,189 | ||
31,591 | ||||
Electric Utilities - 4.6% | ||||
AES Corp. term loan 7.345% 8/10/11 (c) | 8,429 | 8,460 | ||
Boston Generating LLC: | ||||
Credit-Linked Deposit 7.475% 12/20/13 (c) | 1,724 | 1,735 | ||
Tranche 1LN, revolver loan 7.475% 12/20/13 (c) | 483 | 486 | ||
Tranche B 1LN, term loan 7.6% 12/20/13 (c) | 7,774 | 7,822 | ||
Calpine Corp. Tranche D, term loan 7.57% 3/29/09 (c) | 21,500 | 21,608 | ||
Covanta Energy Corp.: | ||||
term loan 6.875% 2/9/14 (c) | 8,041 | 8,051 | ||
6.72% 2/9/14 (c) | 3,959 | 3,964 | ||
Dynegy Holdings, Inc.: | ||||
Revolving Credit-Linked Deposit 6.82% 4/2/13 (c) | 15,319 | 15,319 | ||
Tranche B, term loan 6.82% 4/2/13 (c) | 2,681 | 2,681 | ||
HCP Acquisition, Inc. Tranche 1LN, term loan 7.6% 2/13/14 (c) | 3,990 | 4,000 | ||
LSP Gen Finance Co. LLC Tranche B1, term loan 7.1% 5/4/13 (c) | 8,031 | 8,031 | ||
MACH Gen LLC: | ||||
term loan 7.36% 2/22/14 (c) | 3,616 | 3,609 | ||
7.35% 2/22/13 (c) | 375 | 374 | ||
Midwest Generation LLC term loan 6.845% 4/27/11 (c) | 895 | 895 | ||
Mirant North America LLC term loan 7.07% 1/3/13 (c) | 20,035 | 20,035 | ||
NRG Energy, Inc.: | ||||
Credit-Linked Deposit 7.35% 2/1/13 (c) | 30,566 | 30,796 | ||
term loan 7.35% 2/1/13 (c) | 71,508 | 72,044 | ||
NSG Holdings LLC: | ||||
term loan 6.86% 6/15/14 (c) | 6,286 | 6,278 | ||
6.86% 6/15/14 (c) | 714 | 713 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Electric Utilities - continued | ||||
Reliant Energy, Inc.: | ||||
term loan 7.695% 12/1/10 (c) | $ 4,560 | $ 4,600 | ||
7.5617% 12/1/10 (c) | 3,429 | 3,459 | ||
224,960 | ||||
Energy - 2.8% | ||||
Alon USA, Inc. term loan 7.605% 6/22/13 (c) | 3,970 | 3,990 | ||
Ashmore Energy International: | ||||
Revolving Credit-Linked Deposit 8.25% 3/30/12 (c) | 1,160 | 1,163 | ||
term loan 8.35% 3/30/14 (c) | 8,840 | 8,862 | ||
Citgo Petroleum Corp. Tranche B, term loan 6.695% 11/15/12 (c) | 12,051 | 12,051 | ||
Coffeyville Resources LLC: | ||||
Credit-Linked Deposit 8.2494% 12/28/13 (c) | 486 | 489 | ||
Tranche D, term loan 8.3495% 12/28/13 (c) | 2,507 | 2,520 | ||
Colonial Pipeline Co. term loan 7.359% 2/27/12 (c) | 2,490 | 2,515 | ||
Compagnie Generale de Geophysique SA term loan 7.35% 1/12/14 (c) | 9,975 | 10,050 | ||
El Paso Corp. 7.254% 7/31/11 (c) | 27,981 | 28,156 | ||
Energy Transfer Equity LP term loan 7.08% 11/1/12 (c) | 4,000 | 4,025 | ||
Energy XXI Gulf Coast, Inc. Tranche 2LN, term loan 10.875% 4/4/10 (c) | 3,000 | 3,000 | ||
MEG Energy Corp.: | ||||
term loan 7.35% 4/3/13 (c) | 2,475 | 2,494 | ||
Tranche DD, term loan 4/3/13 (e) | 2,500 | 2,494 | ||
Nebraska Energy, Inc.: | ||||
Tranche B 1LN, term loan 7.85% 11/1/13 (c) | 7,548 | 7,586 | ||
Tranche B, Credit-Linked Deposit 7.85% 11/1/13 (c) | 892 | 896 | ||
Sandridge Energy, Inc. term loan 8.975% 4/1/14 (c) | 8,000 | 8,130 | ||
Targa Resources, Inc./Targa Resources Finance Corp.: | ||||
Credit-Linked Deposit 7.225% 10/31/12 (c) | 3,290 | 3,315 | ||
term loan 7.3565% 10/31/12 (c) | 13,504 | 13,605 | ||
Vulcan/Plains Resources, Inc. term loan 6.86% 8/12/11 (c) | 2,884 | 2,887 | ||
W&T Offshore, Inc. Tranche B, term loan 7.6% 8/24/10 (c) | 4,810 | 4,846 | ||
Western Refining, Inc.: | ||||
term loan LIBOR +1.75 4/6/14 (c) | 11,877 | 11,877 | ||
Tranche DD, term loan 4/6/14 (e) | 2,903 | 2,903 | ||
137,854 | ||||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Entertainment/Film - 1.7% | ||||
Alliance Atlantis Communications, Inc. Tranche C, term loan 6.85% 12/19/11 (c) | $ 3,920 | $ 3,915 | ||
AMC Entertainment, Inc. term loan 7.07% 1/26/13 (c) | 10,369 | 10,408 | ||
Cinemark USA, Inc. term loan 7.383% 10/5/13 (c) | 13,930 | 13,965 | ||
MGM Holdings II, Inc. Tranche B, term loan 8.6% 4/8/12 (c) | 14,261 | 14,261 | ||
National CineMedia LLC term loan 7.09% 2/13/15 (c) | 14,000 | 14,000 | ||
Regal Cinemas Corp. term loan 7.1% 10/27/13 (c) | 27,203 | 27,203 | ||
83,752 | ||||
Environmental - 1.4% | ||||
Allied Waste Industries, Inc.: | ||||
Credit-Linked Deposit 7.07% 3/28/14 (c) | 17,424 | 17,511 | ||
term loan 7.0966% 3/28/14 (c) | 39,292 | 39,488 | ||
Brickman Group Holdings, Inc. Tranche B, term loan 7.3986% 1/23/14 (c) | 3,000 | 3,000 | ||
Casella Waste Systems, Inc. Tranche B, term loan 7.36% 4/28/10 (c) | 2,000 | 2,008 | ||
Synagro Technologies, Inc. Tranche 1LN, term loan 7.32% 3/30/14 (c) | 470 | 472 | ||
Waste Services, Inc. Tranche E, term loan 7.82% 3/31/11 (c) | 3,885 | 3,904 | ||
66,383 | ||||
Food and Drug Retail - 0.9% | ||||
Jean Coutu Group (PJC) USA, Inc. Tranche B, term loan 7.875% 7/30/11 (c) | 28,753 | 28,753 | ||
SUPERVALU, Inc. Tranche B, term loan 6.84% 6/2/12 (c) | 15,771 | 15,850 | ||
44,603 | ||||
Food/Beverage/Tobacco - 2.0% | ||||
B&G Foods, Inc. Tranche C, term loan 7.36% 2/26/13 (c) | 2,800 | 2,814 | ||
Bumble Bee Foods LLC Tranche B, term loan 7.1088% 5/2/12 (c) | 3,000 | 3,000 | ||
Constellation Brands, Inc. Tranche B, term loan 6.875% 6/5/13 (c) | 36,492 | 36,583 | ||
Dean Foods Co. Tranche B, term loan 6.875% 4/2/14 (c) | 24,000 | 24,030 | ||
Del Monte Corp. Tranche B, term loan 6.8379% 2/8/12 (c) | 10,248 | 10,235 | ||
Herbalife International, Inc. term loan 6.82% 7/21/13 (c) | 3,738 | 3,738 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Food/Beverage/Tobacco - continued | ||||
Michael Foods, Inc. Tranche B, term loan 7.36% 11/21/10 (c) | $ 4,020 | $ 4,040 | ||
Reddy Ice Group, Inc. term loan 7.105% 8/12/12 (c) | 2,000 | 2,005 | ||
Reynolds American, Inc. Tranche B, term loan 7.1136% 5/31/12 (c) | 11,910 | 11,970 | ||
98,415 | ||||
Gaming - 2.8% | ||||
Alliance Gaming Corp. term loan 8.61% 9/5/09 (c) | 3,651 | 3,647 | ||
Ameristar Casinos, Inc. term loan 6.82% 11/10/12 (c) | 5,974 | 5,974 | ||
Boyd Gaming Corp. term loan 6.82% 6/30/11 (c) | 13,143 | 13,160 | ||
Choctaw Resort Development Enterprise term loan 7.0738% 11/4/11 (c) | 1,876 | 1,883 | ||
Green Valley Ranch Gaming LLC Tranche 1LN, term loan 7.36% 2/16/14 (c) | 3,797 | 3,820 | ||
Greenwood Racing, Inc. term loan 7.57% 11/28/11 (c) | 1,995 | 2,005 | ||
Kerzner International Ltd.: | ||||
term loan 8.34% 9/1/13 (c) | 1,809 | 1,805 | ||
Class DD, term loan 8.3418% 9/1/13 (c)(e) | 941 | 938 | ||
Penn National Gaming, Inc. Tranche B, term loan 7.114% 10/31/12 (c) | 18,292 | 18,475 | ||
Pinnacle Entertainment, Inc. Tranche B, term loan 7.32% 12/14/11 (c) | 5,350 | 5,397 | ||
Seminole Tribe of Florida: | ||||
Tranche B1, term loan 6.875% 3/5/14 (c)(e) | 777 | 777 | ||
Tranche B2, term loan 6.875% 3/5/14 (c) | 2,623 | 2,623 | ||
Tranche B3, term loan 6.875% 3/5/14 (c) | 2,599 | 2,599 | ||
Tropicana Entertainment term loan 7.85% 7/3/08 (c) | 8,700 | 8,765 | ||
Trump Entertainment Resorts Holdings LP Tranche B, term loan 7.864% 5/20/12 (c)(e) | 14,394 | 14,484 | ||
Venetian Casino Resort LLC Tranche B, term loan 7.09% 6/15/11 (c) | 24,200 | 24,200 | ||
Venetian Macau Ltd. Tranche B, term loan: | ||||
7.6% 5/26/12 (c)(e) | 3,369 | 3,395 | ||
7.85% 5/26/13 (c) | 7,631 | 7,707 | ||
Venetian Macau US Finance, Inc. Tranche B, term loan 7.6% 5/25/13 (c) | 4,000 | 4,030 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. term loan B 7.225% 8/15/13 (c) | 9,180 | 9,255 | ||
134,939 | ||||
Healthcare - 9.4% | ||||
Advanced Medical Optics, Inc. term loan 7.093% 4/2/14 (c) | 2,540 | 2,553 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Healthcare - continued | ||||
AmeriPath, Inc. Tranche B, term loan 7.36% 10/31/12 (c) | $ 2,970 | $ 2,970 | ||
AMR HoldCo, Inc./EmCare HoldCo, Inc. term loan 7.3798% 2/7/12 (c) | 10,017 | 10,054 | ||
Community Health Systems, Inc. term loan 7.1% 8/19/11 (c) | 43,587 | 43,587 | ||
Concentra Operating Corp. term loan 7.3321% 9/30/11 (c) | 3,119 | 3,134 | ||
CONMED Corp. Tranche B, term loan 7.07% 4/12/13 (c) | 2,111 | 2,111 | ||
DaVita, Inc. Tranche B1, term loan 6.8418% 10/5/12 (c) | 45,257 | 45,313 | ||
DJO, Inc. Tranche B, term loan 6.875% 4/7/13 (c) | 2,478 | 2,478 | ||
Emdeon Business Services term loan 7.6% 11/16/13 (c) | 1,962 | 1,967 | ||
Fresenius Medical Care Holdings, Inc. Tranche B, term loan 6.7262% 3/31/12 (c) | 40,607 | 40,557 | ||
Gentiva Health Services, Inc. term loan 7.5853% 3/31/13 (c) | 1,800 | 1,809 | ||
HCA, Inc. Tranche B, term loan 7.6% 11/17/13 (c) | 116,708 | 117,870 | ||
Health Management Associates, Inc. Tranche B, term loan 7.1% 2/28/14 (c) | 26,820 | 26,921 | ||
HealthSouth Corp. term loan 7.847% 3/10/13 (c) | 27,239 | 27,409 | ||
IASIS Healthcare Corp.: | ||||
term loan 7.356% 3/15/14 (c) | 10,183 | 10,208 | ||
Tranche DD, term loan 3/15/14 (e) | 3,479 | 3,488 | ||
7.32% 3/15/14 (c) | 928 | 930 | ||
Kinetic Concepts, Inc. Tranche B2, term loan 6.85% 8/11/10 (c) | 4,126 | 4,126 | ||
LifePoint Hospitals, Inc. Tranche B, term loan 6.985% 4/15/12 (c) | 21,728 | 21,755 | ||
National Renal Institutes, Inc. term loan 7.625% 3/31/13 (c) | 3,434 | 3,430 | ||
Psychiatric Solutions, Inc. term loan 7.0881% 7/1/12 (c) | 8,314 | 8,314 | ||
PTS Acquisition Corp. term loan 7.6% 4/5/14 (c) | 14,000 | 14,018 | ||
Renal Advantage, Inc. Tranche B, term loan 7.85% 9/30/12 (c) | 6,617 | 6,658 | ||
Skilled Healthcare Group, Inc. Tranche 1, term loan 7.57% 6/15/12 (c) | 3,930 | 3,940 | ||
Sun Healthcare Group, Inc.: | ||||
Tranche B, term loan 7.355% 4/19/14 (c) | 4,276 | 4,276 | ||
Tranche DD, term loan 4/19/14 (e) | 759 | 759 | ||
5.255% 4/19/13 (c) | 966 | 966 | ||
Team Health, Inc. term loan 7.86% 11/22/12 (c) | 16,294 | 16,294 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Healthcare - continued | ||||
U.S. Oncology, Inc.: | ||||
Tranche B, term loan 7.6153% 8/20/11 (c) | $ 8,461 | $ 8,493 | ||
Tranche C, term loan 7.6% 8/20/11 (c) | 1,945 | 1,952 | ||
Vanguard Health Holding Co. I term loan 7.6% 9/23/11 (c) | 5,720 | 5,755 | ||
Vicar Operating, Inc. term loan 6.875% 5/16/11 (c) | 9,816 | 9,791 | ||
VWR Corp. Tranche B, term loan 7.61% 4/7/11 (c) | 5,819 | 5,863 | ||
459,749 | ||||
Homebuilding/Real Estate - 1.7% | ||||
Apartment Investment & Management Co. term loan 6.855% 3/22/11 (c) | 2,100 | 2,105 | ||
Blount, Inc. Tranche B1, term loan 7.0849% 8/9/10 (c) | 1,640 | 1,640 | ||
Capital Automotive (REIT) Tranche B, term loan 7.07% 12/16/10 (c) | 7,442 | 7,498 | ||
CB Richard Ellis Group, Inc. Tranche B, term loan 6.82% 12/20/13 (c) | 6,983 | 6,991 | ||
EOP Operating LP term loan 7.57% 2/28/09 (c) | 13,626 | 13,626 | ||
General Growth Properties, Inc. Tranche A1, term loan 6.57% 2/24/10 (c) | 25,803 | 25,787 | ||
LandSource Communities Development LLC Tranche B 1LN, term loan 8.07% 2/27/13 (c) | 7,980 | 8,080 | ||
Realogy Corp.: | ||||
Tranche B, term loan 8.35% 10/10/13 (c) | 9,455 | 9,478 | ||
8.32% 10/10/13 (c) | 2,545 | 2,552 | ||
Tishman Speyer Properties term loan 7.07% 12/27/12 (c) | 5,000 | 5,019 | ||
82,776 | ||||
Hotels - 0.2% | ||||
Hilton Hotels Corp. Tranche B, term loan 6.6948% 2/22/13 (c) | 7,317 | 7,317 | ||
Leisure - 1.2% | ||||
Cedar Fair LP term loan 7.32% 8/30/12 (c) | 9,925 | 10,012 | ||
London Arena & Waterfront Finance LLC Tranche A, term loan 7.84% 3/8/12 (c) | 2,970 | 2,985 | ||
Six Flags Theme Park, Inc. Tranche B1, term loan 8.6037% 6/30/09 (c) | 25,878 | 25,878 | ||
Town Sports International LLC term loan 7.125% 2/27/14 (c) | 3,990 | 4,000 | ||
Universal City Development Partners Ltd. term loan 7.3599% 6/9/11 (c) | 16,741 | 16,783 | ||
59,658 | ||||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Metals/Mining - 1.9% | ||||
Aleris International, Inc. term loan 7.375% 12/19/13 (c) | $ 3,990 | $ 3,995 | ||
Alpha National Resources LLC/Alpha National Resources Capital Corp. Tranche B, term loan 7.1% 10/26/12 (c) | 14,825 | 14,880 | ||
Compass Minerals Tranche B, term loan 6.8453% 12/22/12 (c) | 11,879 | 11,879 | ||
Freeport-McMoRan Copper & Gold, Inc. Tranche B, term loan 7.07% 3/19/14 (c) | 40,890 | 40,993 | ||
Novelis, Inc. term loan 7.61% 1/7/12 (c) | 16,178 | 16,219 | ||
Stillwater Mining Co. term loan 7.625% 7/30/10 (c) | 2,124 | 2,129 | ||
90,095 | ||||
Paper - 3.7% | ||||
Appleton Papers, Inc. term loan 7.6047% 6/11/10 (c) | 3,039 | 3,039 | ||
Boise Cascade Holdings LLC Tranche D, term loan 6.82% 10/26/11 (c) | 20,632 | 20,632 | ||
Buckeye Technologies, Inc. term loan 7.8441% 3/15/08 (c) | 1,674 | 1,676 | ||
Domtar Corp. Tranche B, term loan 6.735% 3/7/14 (c) | 4,000 | 3,990 | ||
Georgia-Pacific Corp.: | ||||
term loan 7.09% 12/29/13 (c) | 14,963 | 15,037 | ||
Tranche B1, term loan 7.3199% 12/23/12 (c) | 74,063 | 74,433 | ||
Graphic Packaging International, Inc. Tranche C, term loan 7.8325% 8/8/10 (c) | 14,663 | 14,663 | ||
NewPage Corp. term loan 7.625% 5/2/11 (c) | 4,172 | 4,203 | ||
Smurfit-Stone Container Enterprises, Inc.: | ||||
Credit-Linked Deposit 7.32% 11/1/10 (c) | 4,164 | 4,195 | ||
Tranche B, term loan 7.375% 11/1/11 (c) | 16,207 | 16,328 | ||
Tranche C, term loan 7.375% 11/1/11 (c) | 8,710 | 8,775 | ||
Tranche C1, term loan 7.375% 11/1/11 (c) | 2,795 | 2,819 | ||
Verso Paper Holdings LLC Tranche B, term loan 7.125% 8/1/13 (c) | 5,444 | 5,464 | ||
Xerium Technologies, Inc. Tranche B, term loan 8.1% 5/18/12 (c) | 4,499 | 4,494 | ||
179,748 | ||||
Publishing/Printing - 3.3% | ||||
CBD Media, Inc. Tranche D, term loan 7.82% 12/31/09 (c) | 1,747 | 1,754 | ||
Cenveo Corp.: | ||||
term loan 7.1% 6/21/13 (c) | 7,448 | 7,458 | ||
Tranche DD, term loan 7.1% 6/21/13 (c) | 248 | 249 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Publishing/Printing - continued | ||||
Dex Media East LLC/Dex Media East Finance Co.: | ||||
Tranche A, term loan 6.5956% 11/8/08 (c) | $ 1,735 | $ 1,733 | ||
Tranche B, term loan 6.8469% 5/8/09 (c) | 13,998 | 13,998 | ||
Dex Media West LLC/Dex Media West Finance Co.: | ||||
Tranche A, term loan 6.5988% 9/9/09 (c) | 3,238 | 3,238 | ||
Tranche B, term loan 6.85% 3/9/10 (c) | 12,838 | 12,838 | ||
Tranche B1, term loan 6.8593% 3/10/10 (c) | 12,959 | 12,959 | ||
Idearc, Inc. term loan 7.35% 11/17/14 (c) | 38,895 | 39,138 | ||
MediMedia USA, Inc. Tranche B, term loan 7.833% 10/5/13 (c) | 2,776 | 2,786 | ||
R.H. Donnelley Corp. Tranche D2, term loan 6.8511% 6/30/11 (c) | 27,468 | 27,434 | ||
Sun Media Corp. Canada Tranche B, term loan 7.105% 2/7/09 (c) | 1,567 | 1,567 | ||
The Reader's Digest Association, Inc. term loan 7.3391% 3/2/14 (c) | 12,610 | 12,626 | ||
Yell Group PLC Tranche B1, term loan 7.32% 2/10/13 (c) | 24,200 | 24,351 | ||
162,129 | ||||
Railroad - 0.3% | ||||
Kansas City Southern Railway Co. Tranche B, term loan 7.0731% 4/28/13 (c) | 16,873 | 16,873 | ||
Restaurants - 0.6% | ||||
Arby's Restaurant Group, Inc. Tranche B, term loan 7.2076% 7/25/12 (c) | 4,501 | 4,524 | ||
Burger King Corp. Tranche B1, term loan 6.875% 6/30/12 (c) | 17,994 | 18,039 | ||
Del Taco Tranche B, term loan 7.6% 3/29/13 (c) | 4,950 | 4,944 | ||
El Pollo Loco, Inc. Tranche B, term loan 7.855% 11/18/11 (c) | 1,969 | 1,981 | ||
29,488 | ||||
Services - 3.1% | ||||
Acosta, Inc. term loan 7.57% 7/28/13 (c) | 2,978 | 3,002 | ||
Adesa, Inc. term loan 7.57% 10/18/13 (c) | 6,000 | 6,038 | ||
Aramark Corp.: | ||||
term loan 7.475% 1/26/14 (c) | 62,067 | 62,378 | ||
7.445% 1/26/14 (c) | 4,436 | 4,458 | ||
Brand Energy & Infrastructure Services, Inc. Tranche B 1LN, term loan 7.625% 2/7/14 (c) | 4,790 | 4,790 | ||
Coinmach Corp. Tranche B1, term loan 7.875% 12/19/12 (c) | 5,970 | 6,007 | ||
Coinstar, Inc. term loan 7.35% 7/1/11 (c) | 5,520 | 5,547 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Services - continued | ||||
Education Management LLC/Education Management Finance Corp. Tranche B, term loan 7.375% 6/1/13 (c) | $ 3,963 | $ 3,977 | ||
Hertz Corp.: | ||||
Credit-Linked Deposit 7.35% 12/21/12 (c) | 1,444 | 1,453 | ||
Tranche B, term loan 7.0822% 12/21/12 (c) | 8,069 | 8,119 | ||
Iron Mountain, Inc. term loan 6.865% 4/16/14 (c) | 10,000 | 10,025 | ||
McJunkin Corp. term loan 7.6% 1/31/14 (c) | 1,995 | 2,000 | ||
RSC Equipment Rental term loan 8.9332% 11/30/12 (c) | 2,985 | 2,989 | ||
The Geo Group, Inc. term loan 6.8245% 1/24/14 (c) | 1,798 | 1,803 | ||
United Rentals, Inc.: | ||||
term loan 7.32% 2/14/11 (c) | 4,681 | 4,704 | ||
Tranche B, Credit-Linked Deposit 7.32% 2/14/11 (c) | 1,937 | 1,946 | ||
US Investigations Services, Inc.: | ||||
term loan 7.85% 10/14/12 (c) | 5,910 | 5,954 | ||
term loan D 7.85% 10/14/12 (c) | 1,990 | 2,005 | ||
West Corp. term loan 7.7497% 10/24/13 (c) | 14,663 | 14,773 | ||
151,968 | ||||
Shipping - 0.2% | ||||
Baker Tanks, Inc. Tranche B, term loan 9.5% 11/23/12 (c) | 879 | 879 | ||
Laidlaw International, Inc. Tranche B, term loan 7.09% 7/31/13 (c) | 8,955 | 8,966 | ||
9,845 | ||||
Specialty Retailing - 0.2% | ||||
GNC Corp. term loan 7.6% 9/16/13 (c) | 7,000 | 7,000 | ||
Sally Holdings LLC Tranche B, term loan 7.86% 11/16/13 (c) | 4,970 | 5,009 | ||
12,009 | ||||
Super Retail - 1.6% | ||||
Buhrmann US, Inc. Tranche D1, term loan 7.1001% 12/31/10 (c) | 5,534 | 5,547 | ||
FTD, Inc. term loan 7.36% 7/28/13 (c) | 3,661 | 3,670 | ||
Gold Toe Investment Corp. Tranche 1LN, term loan 8.109% 10/30/13 (c) | 5,985 | 6,030 | ||
J. Crew Group, Inc. term loan 7.1227% 5/15/13 (c) | 3,911 | 3,921 | ||
Michaels Stores, Inc. Tranche B, term loan 8.125% 10/31/13 (c) | 16,563 | 16,563 | ||
Neiman Marcus Group, Inc. term loan 7.3463% 4/6/13 (c) | 9,239 | 9,308 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Super Retail - continued | ||||
PETCO Animal Supplies, Inc. term loan 7.9772% 10/26/13 (c) | $ 9,925 | $ 10,000 | ||
The Pep Boys - Manny, Moe & Jack term loan 7.36% 10/27/13 (c) | 3,691 | 3,709 | ||
Toys 'R' US, Inc. term loan 8.32% 12/9/08 (c) | 19,000 | 19,166 | ||
77,914 | ||||
Technology - 4.7% | ||||
Acxiom Corp. term loan 7.0828% 9/15/12 (c) | 4,549 | 4,572 | ||
Advanced Micro Devices, Inc. term loan 7.34% 12/31/13 (c) | 8,336 | 8,347 | ||
Affiliated Computer Services, Inc.: | ||||
term loan 7.32% 3/20/13 (c) | 13,163 | 13,196 | ||
Tranche B2, term loan 7.32% 3/20/13 (c) | 7,920 | 7,940 | ||
AMI Semiconductor, Inc. term loan 6.82% 4/1/12 (c) | 1,480 | 1,473 | ||
Eastman Kodak Co.: | ||||
term loan 7.57% 10/18/12 (c) | 9,985 | 9,997 | ||
Tranche DD, term loan 7.57% 10/20/12 (c) | 1,985 | 1,988 | ||
Freescale Semiconductor, Inc. term loan 7.11% 12/1/13 (c) | 43,900 | 43,900 | ||
Global Tel*Link Corp.: | ||||
term loan 8.85% 2/14/13 (c)(e) | 1,557 | 1,569 | ||
8.76% 2/14/13 (c)(e) | 435 | 438 | ||
Itron, Inc. term loan 7.358% 4/18/14 (c) | 2,410 | 2,428 | ||
K & F Industries, Inc. term loan 7.32% 11/18/12 (c) | 7,734 | 7,734 | ||
ON Semiconductor Corp. term loan 7.1% 9/6/13 (c) | 1,286 | 1,286 | ||
Open Solutions, Inc. term loan 7.485% 1/23/14 (c) | 4,490 | 4,507 | ||
Open Text Corp. term loan 7.86% 10/2/13 (c) | 5,970 | 6,000 | ||
PGS Solutions, Inc. term loan 7.61% 2/14/13 (c) | 1,230 | 1,241 | ||
Riverdeep Interactive Learning USA, Inc. term loan: | ||||
8.1% 12/20/13 (c) | 17,127 | 17,170 | ||
11.55% 12/21/07 (c) | 9,000 | 9,000 | ||
Serena Software, Inc. term loan 7.5856% 3/10/13 (c) | 5,175 | 5,194 | ||
SunGard Data Systems, Inc. term loan 7.36% 2/28/14 (c) | 70,540 | 71,069 | ||
Verifone, Inc. Tranche B, term loan 7.109% 10/31/13 (c) | 8,978 | 9,011 | ||
228,060 | ||||
Telecommunications - 4.8% | ||||
Alaska Communications Systems Holding term loan 7.1% 2/1/12 (c) | 3,000 | 3,008 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Telecommunications - continued | ||||
American Cellular Corp.: | ||||
term loan 3/15/14 (e) | $ 774 | $ 773 | ||
Tranche B, term loan 7.32% 3/15/14 (c) | 7,226 | 7,244 | ||
Centennial Cellular Operating Co. LLC term loan 7.3507% 2/9/11 (c) | 15,635 | 15,713 | ||
Cincinnati Bell, Inc. Tranche B, term loan 6.8236% 8/31/12 (c) | 7,930 | 7,940 | ||
Consolidated Communications, Inc. Tranche D, term loan 7.1024% 10/14/11 (c) | 2,000 | 2,000 | ||
Crown Castle International Corp. Tranche B, term loan 6.89% 3/6/14 (c) | 9,000 | 9,011 | ||
Digicel International Finance Ltd. term loan 7.85% 3/23/12 (c) | 16,000 | 16,020 | ||
Intelsat Bermuda Ltd. term loan 7.855% 1/12/14 (c) | 20,000 | 20,075 | ||
Intelsat Ltd. Tranche B, term loan 7.3494% 7/3/13 (c) | 29,519 | 29,703 | ||
Iowa Telecommunication Services, Inc. Tranche B, term loan 7.0975% 11/23/11 (c) | 4,000 | 4,010 | ||
Knology, Inc. term loan 7.57% 4/6/12 (c) | 3,000 | 3,008 | ||
Leap Wireless International, Inc. Tranche B, term loan 7.6% 6/16/13 (c) | 6,948 | 6,991 | ||
Level 3 Communications, Inc. term loan 7.605% 3/13/14 (c) | 14,000 | 14,070 | ||
MetroPCS Wireless, Inc. Tranche B, term loan 7.625% 11/3/13 (c) | 17,920 | 18,010 | ||
NTELOS, Inc. Tranche B1, term loan 7.57% 8/24/11 (c) | 6,775 | 6,805 | ||
Paetec Communications, Inc. Tranche B, term loan 8.82% 2/28/13 (c) | 4,000 | 4,055 | ||
Qwest Corp. Tranche B, term loan 6.95% 6/30/10 (c) | 11,000 | 11,303 | ||
Time Warner Telecom, Inc. Tranche B, term loan 7.32% 1/7/13 (c) | 5,985 | 6,022 | ||
Triton PCS, Inc. term loan 8.57% 11/18/09 (c) | 7,768 | 7,807 | ||
Wind Telecomunicazioni Spa: | ||||
Tranche B, term loan 7.84% 9/21/13 (c) | 7,500 | 7,538 | ||
Tranche C, term loan 8.59% 9/21/14 (c) | 7,500 | 7,538 | ||
Windstream Corp. Tranche B1, term loan 6.86% 7/17/13 (c) | 23,556 | 23,673 | ||
232,317 | ||||
Textiles & Apparel - 0.7% | ||||
Hanesbrands, Inc. Tranche B 1LN, term loan 7.105% 9/5/13 (c) | 18,521 | 18,614 | ||
Levi Strauss & Co. term loan 7.59% 4/4/14 (c) | 3,000 | 2,976 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Textiles & Apparel - continued | ||||
Warnaco Group, Inc. term loan 6.84% 1/31/13 (c) | $ 4,986 | $ 4,979 | ||
William Carter Co. term loan 6.846% 6/29/12 (c) | 6,883 | 6,883 | ||
33,452 | ||||
TOTAL FLOATING RATE LOANS (Cost $3,924,239) | 3,938,300 | |||
Nonconvertible Bonds - 9.5% | ||||
Air Transportation - 0.1% | ||||
Continental Airlines, Inc. 8.4731% 6/2/13 (c) | 2,000 | 2,055 | ||
Delta Air Lines, Inc. 8.3% 12/15/29 (f) | 3,000 | 1,575 | ||
3,630 | ||||
Auto Parts Distribution - 0.0% | ||||
The Goodyear Tire & Rubber Co. 9.14% 12/1/09 (b)(c) | 2,000 | 2,010 | ||
Automotive - 1.2% | ||||
Ford Motor Credit Co.: | ||||
4.95% 1/15/08 | 2,000 | 1,978 | ||
6.18% 9/28/07 (c) | 16,000 | 16,000 | ||
8.105% 1/13/12 (c) | 31,620 | 31,264 | ||
8.36% 11/2/07 (c) | 4,000 | 4,038 | ||
General Motors Acceptance Corp. 6.3056% 7/16/07 (c) | 4,000 | 4,000 | ||
57,280 | ||||
Broadcasting - 0.2% | ||||
Radio One, Inc. 8.875% 7/1/11 | 7,000 | 7,210 | ||
Building Materials - 0.1% | ||||
General Cable Corp. 7.725% 4/1/15 (b)(c) | 5,030 | 5,080 | ||
Cable TV - 0.4% | ||||
CSC Holdings, Inc.: | ||||
7.25% 7/15/08 | 2,000 | 2,025 | ||
7.875% 12/15/07 | 8,000 | 8,092 | ||
DirecTV Holdings LLC/DirecTV Financing, Inc. 8.375% 3/15/13 | 1,963 | 2,071 | ||
EchoStar Communications Corp.: | ||||
5.75% 10/1/08 | 4,000 | 4,000 | ||
7% 10/1/13 | 3,000 | 3,116 | ||
19,304 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Capital Goods - 0.1% | ||||
Case New Holland, Inc. 9.25% 8/1/11 | $ 2,000 | $ 2,100 | ||
Esco Corp. 9.2299% 12/15/13 (b)(c) | 2,000 | 2,070 | ||
4,170 | ||||
Chemicals - 0.1% | ||||
Equistar Chemicals LP/Equistar Funding Corp. 10.625% 5/1/11 | 2,000 | 2,110 | ||
Georgia Gulf Corp. 9.5% 10/15/14 (b) | 1,360 | 1,360 | ||
3,470 | ||||
Containers - 0.3% | ||||
Impress Holdings BV 8.4806% 9/15/13 (b)(c) | 7,720 | 7,952 | ||
Owens-Brockway Glass Container, Inc. 8.875% 2/15/09 | 5,000 | 5,100 | ||
13,052 | ||||
Electric Utilities - 0.8% | ||||
AES Corp. 8.75% 6/15/08 | 3,000 | 3,090 | ||
CMS Energy Corp. 9.875% 10/15/07 | 12,000 | 12,180 | ||
NRG Energy, Inc. 7.375% 2/1/16 | 9,000 | 9,360 | ||
Reliant Energy, Inc. 9.25% 7/15/10 | 3,000 | 3,150 | ||
TECO Energy, Inc.: | ||||
6.125% 5/1/07 | 4,000 | 3,993 | ||
7.36% 5/1/10 (c) | 5,000 | 5,106 | ||
36,879 | ||||
Energy - 1.2% | ||||
Mariner Energy, Inc. 8% 5/15/17 | 3,930 | 3,950 | ||
Parker Drilling Co. 10.11% 9/1/10 (c) | 4,703 | 4,797 | ||
Pemex Project Funding Master Trust 6.6549% 6/15/10 (b)(c) | 18,000 | 18,459 | ||
Premcor Refining Group, Inc. 9.5% 2/1/13 | 2,000 | 2,165 | ||
Southern Natural Gas Co. 6.125% 9/15/08 | 2,000 | 2,015 | ||
Williams Companies, Inc. 7.3494% 10/1/10 (b)(c) | 17,000 | 17,446 | ||
Williams Companies, Inc. Credit Linked Certificate Trust IV 8.61% 5/1/09 (b)(c) | 7,000 | 7,184 | ||
56,016 | ||||
Gaming - 0.2% | ||||
Mandalay Resort Group: | ||||
9.5% 8/1/08 | 2,000 | 2,084 | ||
10.25% 8/1/07 | 2,000 | 2,020 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Gaming - continued | ||||
Mirage Resorts, Inc. 6.75% 8/1/07 | $ 3,000 | $ 3,008 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 6.625% 12/1/14 | 3,000 | 3,000 | ||
10,112 | ||||
Leisure - 0.1% | ||||
Universal City Florida Holding Co. I/II 10.11% 5/1/10 (c) | 5,140 | 5,313 | ||
Metals/Mining - 0.4% | ||||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
8.5463% 4/1/15 (c) | 12,000 | 12,630 | ||
10.125% 2/1/10 | 8,470 | 8,894 | ||
21,524 | ||||
Paper - 0.0% | ||||
Boise Cascade LLC/Boise Cascade Finance Corp. 8.2306% 10/15/12 (c) | 2,190 | 2,195 | ||
Publishing/Printing - 0.2% | ||||
Dex Media East LLC/Dex Media East Finance Co. 9.875% 11/15/09 | 6,000 | 6,270 | ||
R.H. Donnelley Corp. 8.875% 1/15/16 | 4,000 | 4,340 | ||
10,610 | ||||
Services - 0.1% | ||||
Aramark Corp. 8.86% 2/1/15 (b)(c) | 3,360 | 3,473 | ||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 7.86% 5/15/14 (b)(c) | 1,650 | 1,695 | ||
5,168 | ||||
Shipping - 0.1% | ||||
OMI Corp. 7.625% 12/1/13 | 2,000 | 2,060 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 3,620 | 3,765 | ||
5,825 | ||||
Super Retail - 0.3% | ||||
GSC Holdings Corp./Gamestop, Inc. 9.2244% 10/1/11 (c) | 16,000 | 16,540 | ||
Technology - 0.8% | ||||
Freescale Semiconductor, Inc. 9.2299% 12/15/14 (b)(c) | 10,000 | 10,025 | ||
Nortel Networks Corp. 9.6056% 7/15/11 (b)(c) | 17,380 | 18,640 | ||
NXP BV 8.1056% 10/15/13 (b)(c) | 9,000 | 9,293 | ||
37,958 | ||||
Telecommunications - 2.8% | ||||
Centennial Communications Corp. 11.0994% 1/1/13 (c) | 2,000 | 2,100 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Telecommunications - continued | ||||
Embarq Corp. 6.738% 6/1/13 | $ 7,111 | $ 7,391 | ||
Intelsat Ltd. 11.3544% 6/15/13 (c) | 2,000 | 2,130 | ||
IPCS, Inc. 7.48% 5/1/13 (b)(c) | 3,000 | 3,015 | ||
Level 3 Financing, Inc. 9.15% 2/15/15 (b)(c) | 4,000 | 4,045 | ||
Qwest Communications International, Inc. 8.86% 2/15/09 (c) | 9,000 | 9,101 | ||
Qwest Corp. 8.6049% 6/15/13 (c) | 56,150 | 61,344 | ||
Rogers Communications, Inc.: | ||||
6.375% 3/1/14 | 3,000 | 3,094 | ||
8.4799% 12/15/10 (c) | 38,450 | 39,219 | ||
Rural Cellular Corp. 8.25% 3/15/12 | 6,000 | 6,330 | ||
137,769 | ||||
TOTAL NONCONVERTIBLE BONDS (Cost $450,625) | 461,115 |
Money Market Funds - 8.5% | |||
Shares | |||
Fidelity Cash Central Fund, 5.29% (a) | 415,566,681 | 415,567 | |
Fidelity Money Market Central Fund, 5.4% (a) | 280,351 | 280 | |
TOTAL MONEY MARKET FUNDS (Cost $415,847) | 415,847 | ||
Cash Equivalents - 3.2% | |||
Maturity Amount (000s) | |||
Investments in repurchase agreements in a joint trading account at 5.12%, dated 4/30/07 due 5/1/07 (Collateralized by U.S. Treasury Obligations) # | $ 155,268 | 155,246 | |
TOTAL INVESTMENT PORTFOLIO - 102.1% (Cost $4,945,957) | 4,970,508 | ||
NET OTHER ASSETS - (2.1)% | (103,306) | ||
NET ASSETS - 100% | $ 4,867,202 |
Legend |
(a) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. |
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $111,747,000 or 2.3% of net assets. |
(c) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(d) 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. |
(e) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $26,456,000 and $26,517,000 respectively. The coupon rate will be determined at time of settlement. |
(f) Non-income producing - Issuer is in default. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$155,246,000 due 5/01/07 at 5.12% | |
Banc of America Securities LLC | $ 23,714 |
Barclays Capital, Inc. | 52,884 |
Fortis Securities LLC | 33,900 |
Lehman Brothers, Inc. | 44,748 |
$ 155,246 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 8,468 |
Fidelity Money Market Central Fund | 1,015 |
Total | $ 9,483 |
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) | April 30, 2007 | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $155,246) - See accompanying schedule: Unaffiliated issuers (cost $4,530,110) | $ 4,554,661 | |
Fidelity Central Funds (cost $415,847) | 415,847 | |
Total Investments (cost $4,945,957) | $ 4,970,508 | |
Receivable for investments sold | 66,914 | |
Receivable for fund shares sold | 18,076 | |
Interest receivable | 35,526 | |
Distributions receivable from Fidelity Central Funds | 2,003 | |
Prepaid expenses | 15 | |
Total assets | 5,093,042 | |
Liabilities | ||
Payable to custodian bank | $ 5,407 | |
Payable for investments purchased | 190,953 | |
Payable for fund shares redeemed | 21,314 | |
Distributions payable | 4,675 | |
Accrued management fee | 2,282 | |
Distribution fees payable | 558 | |
Other affiliated payables | 556 | |
Other payables and accrued expenses | 95 | |
Total liabilities | 225,840 | |
Net Assets | $ 4,867,202 | |
Net Assets consist of: | ||
Paid in capital | $ 4,839,614 | |
Undistributed net investment income | 1,622 | |
Accumulated undistributed net realized gain (loss) on investments | 1,415 | |
Net unrealized appreciation (depreciation) on investments | 24,551 | |
Net Assets | $ 4,867,202 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | April 30, 2007 | |
Calculation of Maximum Offering Price | $ 9.97 | |
Maximum offering price per share (100/97.25 of $9.97) | $ 10.25 | |
Class T: | $ 9.96 | |
Maximum offering price per share (100/97.25 of $9.96) | $ 10.24 | |
Class B: | $ 9.96 | |
Class C: | $ 9.97 | |
Floating Rate High Income: | $ 9.96 | |
Institutional Class: | $ 9.96 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Amounts in thousands | Six months ended April 30, 2007 | |
Investment Income | ||
Interest | $ 161,409 | |
Income from Fidelity Central Funds | 9,483 | |
Total income | 170,892 | |
Expenses | ||
Management fee | $ 14,478 | |
Transfer agent fees | 2,650 | |
Distribution fees | 3,011 | |
Accounting fees and expenses | 691 | |
Custodian fees and expenses | 59 | |
Independent trustees' compensation | 7 | |
Registration fees | 119 | |
Audit | 82 | |
Legal | 30 | |
Miscellaneous | 15 | |
Total expenses before reductions | 21,142 | |
Expense reductions | (53) | 21,089 |
Net investment income | 149,803 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 1,995 | |
Change in net unrealized appreciation (depreciation) on investment securities | 11,565 | |
Net gain (loss) | 13,560 | |
Net increase (decrease) in net assets resulting from operations | $ 163,363 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Amounts in thousands | Six months ended April 30, | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 149,803 | $ 258,782 |
Net realized gain (loss) | 1,995 | 3,037 |
Change in net unrealized appreciation (depreciation) | 11,565 | (12,428) |
Net increase (decrease) in net assets resulting | 163,363 | 249,391 |
Distributions to shareholders from net investment income | (151,995) | (254,554) |
Distributions to shareholders from net realized gain | (932) | - |
Total distributions | (152,927) | (254,554) |
Share transactions - net increase (decrease) | 242,986 | 327,553 |
Redemption fees | 97 | 305 |
Total increase (decrease) in net assets | 253,519 | 322,695 |
Net Assets | ||
Beginning of period | 4,613,683 | 4,290,988 |
End of period (including undistributed net investment income of $1,622 and undistributed net investment income of $3,814, respectively) | $ 4,867,202 | $ 4,613,683 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.95 | $ 9.96 | $ 9.97 | $ 9.88 | $ 9.45 | $ 9.70 |
Income from Investment Operations | ||||||
Net investment income E | .313 | .571 | .404 | .285 | .292 | .352 |
Net realized and unrealized gain (loss) | .026 | (.022) | (.008) | .098 | .447 | (.264) |
Total from investment operations | .339 | .549 | .396 | .383 | .739 | .088 |
Distributions from net investment income | (.317) | (.560) | (.397) | (.295) | (.311) | (.339) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.319) | (.560) | (.407) | (.295) | (.311) | (.339) |
Redemption fees added to paid in capitalE | - I | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.97 | $ 9.95 | $ 9.96 | $ 9.97 | $ 9.88 | $ 9.45 |
Total ReturnB, C, D | 3.45% | 5.66% | 4.05% | 3.96% | 7.95% | .90% |
Ratios to Average Net AssetsF, H | ||||||
Expenses before reductions | 1.02% A | 1.05% | 1.06% | 1.08% | 1.10% | 1.12% |
Expenses net of fee waivers, if any | 1.02% A | 1.05% | 1.06% | 1.08% | 1.10% | 1.10% |
Expenses net of all reductions | 1.01% A | 1.05% | 1.06% | 1.08% | 1.09% | 1.09% |
Net investment income | 6.33% A | 5.73% | 4.05% | 2.90% | 3.04% | 3.64% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 271 | $ 285 | $ 312 | $ 299 | $ 88 | $ 37 |
Portfolio turnover rate G | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 | $ 9.69 |
Income from Investment Operations | ||||||
Net investment income E | .311 | .564 | .396 | .276 | .285 | .342 |
Net realized and unrealized gain (loss) | .026 | (.022) | (.007) | .098 | .446 | (.263) |
Total from investment operations | .337 | .542 | .389 | .374 | .731 | .079 |
Distributions from net investment income | (.315) | (.553) | (.390) | (.286) | (.303) | (.330) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.317) | (.553) | (.400) | (.286) | (.303) | (.330) |
Redemption fees added to paid in capital E | - I | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.96 | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 |
Total Return B, C, D | 3.44% | 5.60% | 3.98% | 3.87% | 7.87% | .80% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.06% A | 1.11% | 1.13% | 1.17% | 1.18% | 1.20% |
Expenses net of fee waivers, if any | 1.06% A | 1.11% | 1.13% | 1.17% | 1.18% | 1.19% |
Expenses net of all reductions | 1.06% A | 1.11% | 1.13% | 1.17% | 1.18% | 1.19% |
Net investment income | 6.29% A | 5.67% | 3.98% | 2.81% | 2.96% | 3.54% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 414 | $ 472 | $ 511 | $ 389 | $ 113 | $ 75 |
Portfolio turnover rate G | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 | $ 9.69 |
Income from Investment Operations | ||||||
Net investment income E | .285 | .513 | .346 | .231 | .243 | .298 |
Net realized and unrealized gain (loss) | .027 | (.022) | (.008) | .096 | .444 | (.263) |
Total from investment operations | .312 | .491 | .338 | .327 | .687 | .035 |
Distributions from net investment income | (.290) | (.502) | (.339) | (.239) | (.259) | (.286) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.292) | (.502) | (.349) | (.239) | (.259) | (.286) |
Redemption fees added to paid in capital E | - I | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.96 | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 |
Total Return B, C, D | 3.17% | 5.06% | 3.46% | 3.38% | 7.38% | .35% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.58% A | 1.63% | 1.64% | 1.65% | 1.64% | 1.65% |
Expenses net of fee waivers, if any | 1.58% A | 1.63% | 1.64% | 1.65% | 1.63% | 1.64% |
Expenses net of all reductions | 1.58% A | 1.62% | 1.64% | 1.65% | 1.63% | 1.64% |
Net investment income | 5.76% A | 5.16% | 3.47% | 2.33% | 2.50% | 3.09% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 125 | $ 143 | $ 173 | $ 184 | $ 134 | $ 118 |
Portfolio turnover rate G | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.95 | $ 9.96 | $ 9.97 | $ 9.87 | $ 9.45 | $ 9.70 |
Income from Investment Operations | ||||||
Net investment income E | .281 | .508 | .341 | .224 | .235 | .290 |
Net realized and unrealized gain (loss) | .026 | (.022) | (.008) | .107 | .434 | (.263) |
Total from investment operations | .307 | .486 | .333 | .331 | .669 | .027 |
Distributions from net investment income | (.285) | (.497) | (.334) | (.233) | (.251) | (.278) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.287) | (.497) | (.344) | (.233) | (.251) | (.278) |
Redemption fees added to paid in capital E | - I | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.97 | $ 9.95 | $ 9.96 | $ 9.97 | $ 9.87 | $ 9.45 |
Total Return B, C, D | 3.12% | 5.00% | 3.40% | 3.41% | 7.18% | .26% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.67% A | 1.68% | 1.69% | 1.71% | 1.72% | 1.73% |
Expenses net of fee waivers, if any | 1.67% A | 1.68% | 1.69% | 1.71% | 1.71% | 1.73% |
Expenses net of all reductions | 1.67% A | 1.68% | 1.69% | 1.71% | 1.71% | 1.73% |
Net investment income | 5.68% A | 5.10% | 3.42% | 2.27% | 2.42% | 3.00% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 410 | $ 450 | $ 539 | $ 524 | $ 269 | $ 235 |
Portfolio turnover rate G | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Floating Rate High Income
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 I | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 | $ 9.52 |
Income from Investment Operations | ||||||
Net investment income D | .325 | .593 | .427 | .309 | .311 | .040 |
Net realized and unrealized gain (loss) | .027 | (.021) | (.008) | .099 | .450 | (.084) |
Total from investment operations | .352 | .572 | .419 | .408 | .761 | (.044) |
Distributions from net investment income | (.330) | (.583) | (.420) | (.320) | (.333) | (.037) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.332) | (.583) | (.430) | (.320) | (.333) | (.037) |
Redemption fees added to paid in capital D | - H | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.96 | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 |
Total Return B, C | 3.59% | 5.92% | 4.30% | 4.22% | 8.20% | (.45)% |
Ratios to Average Net Assets E, G | ||||||
Expenses before reductions | .76% A | .81% | .82% | .84% | .86% | 1.15% A |
Expenses net of fee waivers, if any | .76% A | .81% | .82% | .84% | .86% | .95% A |
Expenses net of all reductions | .76% A | .81% | .82% | .84% | .86% | .94% A |
Net investment income | 6.59% A | 5.97% | 4.29% | 3.14% | 3.27% | 3.99% A |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 3,332 | $ 2,989 | $ 2,471 | $ 1,982 | $ 811 | $ 18 |
Portfolio turnover rate F | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H Amount represents less than $.001 per share.
I For the period September 19, 2002 (commencement of sale of shares) to October 31, 2002.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.86 | $ 9.44 | $ 9.69 |
Income from Investment Operations | ||||||
Net investment income D | .324 | .591 | .424 | .304 | .312 | .365 |
Net realized and unrealized gain (loss) | .027 | (.021) | (.007) | .110 | .436 | (.262) |
Total from investment operations | .351 | .570 | .417 | .414 | .748 | .103 |
Distributions from net investment income | (.329) | (.581) | (.418) | (.316) | (.330) | (.354) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.331) | (.581) | (.428) | (.316) | (.330) | (.354) |
Redemption fees added to paid in capital D | - H | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.96 | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.86 | $ 9.44 |
Total Return B, C | 3.58% | 5.89% | 4.27% | 4.29% | 8.06% | 1.06% |
Ratios to Average Net Assets E, G | ||||||
Expenses before reductions | .79% A | .84% | .85% | .87% | .90% | .94% |
Expenses net of fee waivers, if any | .79% A | .84% | .85% | .87% | .89% | .94% |
Expenses net of all reductions | .78% A | .83% | .85% | .87% | .89% | .93% |
Net investment income | 6.56% A | 5.95% | 4.26% | 3.11% | 3.24% | 3.79% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 316 | $ 275 | $ 285 | $ 182 | $ 36 | $ 18 |
Portfolio turnover rate F | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2007
(Amounts in thousands except ratios)
1. Organization.
Fidelity Advisor Floating Rate High 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, Fidelity Floating Rate High Income Fund, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request. In addition, the financial statements of the Fidelity Central Funds which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
3. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. The Fund earns certain fees in connection with its floating rate loan purchasing activities. These fees are in addition to interest payments earned and may include amendment fees, consent fees and prepayment fees. These fees are recorded as Income in the accompanying financial statements.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
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. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to market discount 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 | $ 26,475 |
Unrealized depreciation | (1,661) |
Net unrealized appreciation (depreciation) | $ 24,814 |
Cost for federal income tax purposes | $ 4,945,694 |
Short-Term Trading (Redemption) Fees. Shares held in the Fund less than 60 days are subject to a redemption fee equal to 1.00% of the proceeds of the redeemed shares. All redemption fees, including any estimated redemption fees paid by FMR, are retained by the Fund and accounted for as an addition to paid in capital.
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
New Accounting Pronouncements - continued
Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including principal repayments of floating rate loans), other than short-term securities and U.S. government securities, aggregated $1,736,956 and $1,509,434, respectively.
Semiannual Report
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% (.55% prior to February 1, 2007) of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was ..62% 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% | .25% | $ 227 | $ 11 |
Class T | 0% | .25% | 545 | - |
Class B | .55% | .15% | 468 | 369 |
Class C | .75% | .25% | 1,771 | 271 |
$ 3,011 | $ 651 |
On January 18, 2007, the Board of Trustees approved an increase in Class A's service fee from 0.15% to 0.25% and an increase in Class C's distribution fee from .55% to ..75%. The new fee rates were effective April 1, 2007.
Sales Load. FDC receives a front-end sales charge of up to 2.75% for selling Class A shares (3.75% prior to April 1, 2007), and 2.75% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 3.50% to 1% for Class B, 1% for Class C, 1.00% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
6. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 66 |
Class T | 14 |
Class B* | 123 |
Class C* | 51 |
$ 254 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund, except for Fidelity Floating Rate High Income Fund. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the transfer agent for Fidelity Floating Rate High Income Fund shares. FIIOC and FSC receive 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 and FSC pay for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each class to FIIOC or FSC, were as follows:
Amount | % of | |
Class A | $ 247 | .18 |
Class T | 305 | .14 |
Class B | 141 | .21 |
Class C | 349 | .17 |
Fidelity Floating Rate High Income | 1,436 | .09 |
Institutional Class | 172 | .12 |
$ 2,650 |
* Annualized
Accounting Fees. FSC maintains the Fund's accounting records. The fee is based on the level of average net assets for the month.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to
Semiannual Report
7. Committed Line of Credit - continued
pay commitment fees on its pro rata portion of the line of credit, which amounted to $6 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expense by $37. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | |
Fidelity Floating Rate High Income | $ 3 |
9. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
In September 2006, a transfer agent of the Fund, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund. FIIOC has reimbursed the Fund for related audit and legal expenses and, beginning in June 2007, remediated affected shareholders.
On April 19, 2007, the Board of Trustees approved an Agreement and Plan of Reorganization whereby the Fund will reorganize into Fidelity Advisor Series I, effective on or about June 29, 2007. The reorganization will not impact the Fund's investment strategies or FMR's management of the Fund. All legal and other expenses associated with the reorganization will be paid by FMR.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 8,696 | $ 17,229 |
Class T | 13,820 | 27,896 |
Class B | 3,892 | 7,934 |
Class C | 12,206 | 24,590 |
Floating Rate High Income | 103,993 | 159,948 |
Institutional Class | 9,388 | 16,957 |
Total | $ 151,995 | $ 254,554 |
From net realized gain | ||
Class A | $ 56 | $ - |
Class T | 92 | - |
Class B | 28 | - |
Class C | 89 | - |
Floating Rate High Income | 612 | - |
Institutional Class | 55 | - |
Total | $ 932 | $ - |
Semiannual Report
11. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended April 30, | Year ended | Six months ended April 30, | Year ended | |
Class A | ||||
Shares sold | 4,304 | 12,422 | $ 42,940 | $ 123,689 |
Reinvestment of distributions | 628 | 1,255 | 6,265 | 12,492 |
Shares redeemed | (6,411) | (16,310) | (63,923) | (162,319) |
Net increase (decrease) | (1,479) | (2,633) | $ (14,718) | $ (26,138) |
Class T | ||||
Shares sold | 4,612 | 17,758 | $ 45,939 | $ 176,613 |
Reinvestment of distributions | 1,235 | 2,513 | 12,301 | 24,979 |
Shares redeemed | (11,824) | (24,131) | (117,744) | (239,998) |
Net increase (decrease) | (5,977) | (3,860) | $ (59,504) | $ (38,406) |
Class B | ||||
Shares sold | 517 | 1,874 | $ 5,155 | $ 18,623 |
Reinvestment of distributions | 294 | 591 | 2,924 | 5,877 |
Shares redeemed | (2,673) | (5,517) | (26,620) | (54,870) |
Net increase (decrease) | (1,862) | (3,052) | $ (18,541) | $ (30,370) |
Class C | ||||
Shares sold | 2,984 | 9,134 | $ 29,757 | $ 90,864 |
Reinvestment of distributions | 837 | 1,673 | 8,338 | 16,649 |
Shares redeemed | (7,926) | (19,730) | (79,010) | (196,393) |
Net increase (decrease) | (4,105) | (8,923) | $ (40,915) | $ (88,880) |
Floating Rate High Income | ||||
Shares sold | 79,558 | 141,867 | $ 792,537 | $ 1,411,172 |
Reinvestment of distributions | 8,908 | 13,747 | 88,735 | 136,672 |
Shares redeemed | (54,709) | (103,278) | (544,972) | (1,027,044) |
Net increase (decrease) | 33,757 | 52,336 | $ 336,300 | $ 520,800 |
Institutional Class | ||||
Shares sold | 10,879 | 16,093 | $ 108,396 | $ 159,986 |
Reinvestment of distributions | 463 | 756 | 4,613 | 7,512 |
Shares redeemed | (7,298) | (17,805) | (72,645) | (176,951) |
Net increase (decrease) | 4,044 | (956) | $ 40,364 | $ (9,453) |
Semiannual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Advisor Floating Rate High Income Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity Advisor Floating Rate High Income Fund (the Fund), a fund of Fidelity Advisor Series II, including the schedule of investments as of April 30, 2007, and the related statement of operations for the six months then ended, the statements of changes in net assets for the six months then ended and for the year ended October 31, 2006, and the financial highlights for the six months then ended and for each of the five years in the period ended October 31, 2006. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of April 30, 2007, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Advisor Floating Rate High Income Fund as of April 30, 2007, the results of its operations for the six months then ended, the changes in its net assets for the six months then ended and for the year ended October 31, 2006, and the financial highlights for the six months then ended and for each of the five years in the period ended October 31, 2006, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
June 20, 2007
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Floating Rate High Income Fund
On January 18, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve an amended and restated management contract (the Amended Contract) for the fund, effective February 1, 2007. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information. In determining whether to approve the contract, the Board considered that the Amended Contract lowered the individual fund fee component of the management fee from 55 basis points to 45 basis points of the fund's average daily net assets.
In determining whether to approve the Amended Contract for the fund, the Board was 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 that fund, managed by Fidelity.
Nature, Extent, and Quality of Services Provided by Fidelity. The Board considered staffing within the investment adviser, FMR, and the sub-advisers, including the background of the fund's portfolio manager and the fund's investment objective and discipline.
Shareholder and Administrative Services. The Board considered the nature, quality, cost and extent of administrative, distribution and shareholder services performed by the Investment Advisers and affiliated companies.
Investment Performance. The Board noted that the approval of the Amended Contract would not change the fund's portfolio manager, the investment processes, the level or nature of services provided, the resources and personnel allocated, or its trading and compliance operations.
Based on this review of services, the Board concluded that the nature, extent, and quality of services provided to the fund will benefit shareholders of the fund.
Competitiveness of Management Fees and Total Fund Expenses. In approving the Amended Contract, the Board considered the fund's proposed management fee and projected total expenses compared to similar funds offered by other fund companies. The Board noted that the lower management fee rate proposed for the fund would have ranked the fund's management fee below the median of its competitors for 2005. The Board also considered other pricing changes for certain classes of the fund and noted that the projected total expenses of each class of the fund would have ranked below the median of its competitors for 2005.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Based on this review, the Board concluded that the fund's management fee and the total expenses of each class of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. In connection with its approval of the fund's Amended Contract, the Board did not consider data regarding the impact on Fidelity's costs of services, revenues, or profitability from the new arrangement because it was approving an arrangement that reduces the management fee that the fund pays. The Board noted Fidelity's assertion that reducing the management fee for the fund would reduce Fidelity's profitability. In connection with its future renewal of the fund's management contract and sub-advisory agreements, the Board will consider 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.
Economies of Scale. 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.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Amended Contract, the Board received additional information regarding similar funds offered by other fund companies.
Based on its evaluation of all of the conclusions noted above, and after consideration of all material factors, the Board concluded that the advisory fee structure is fair and reasonable, and that the Amended Contract should be approved.
On April 19, 2007, the Board voted to approve the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund in connection with reorganizing the fund from one Trust to another. The Board reached this determination because the contractual terms of and fees payable under the fund's Advisory Contracts are identical to those in the fund's current Advisory Contracts. The Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board considered that it approved the Advisory Contracts for the fund during the past year and that it will again consider renewal of the Advisory Contracts in June 2007.
Semiannual Report
Because the Board was approving Advisory Contracts with terms identical to the current Advisory Contracts, it did not consider the fund's investment performance, competitiveness of management fee and total expenses, costs of services and profitability, or economies of scale to be significant factors in its decision.
In connection with its future renewal of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent, and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the fund's management fee and total expenses; (iii) the costs of the services and profitability, including 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; and (iv) 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.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be approved, without modification, as part of the process of reorganizing the fund from one Trust to another.
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Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Research & Analysis Company
(formerly 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
The Bank of New York
New York, NY
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
AFR-USAN-0607
1.784877.104
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Floating Rate High Income
Fund - Institutional Class
Semiannual Report
April 30, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm | ||
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit 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.
Annual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, redemption fees, 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 (November 1, 2006 to April 30, 2007).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
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 | $ 1,034.50 | $ 5.15 |
Hypothetical A | $ 1,000.00 | $ 1,019.74 | $ 5.11 |
Class T | |||
Actual | $ 1,000.00 | $ 1,034.40 | $ 5.35 |
Hypothetical A | $ 1,000.00 | $ 1,019.54 | $ 5.31 |
Class B | |||
Actual | $ 1,000.00 | $ 1,031.70 | $ 7.96 |
Hypothetical A | $ 1,000.00 | $ 1,016.96 | $ 7.90 |
Class C | |||
Actual | $ 1,000.00 | $ 1,031.20 | $ 8.41** |
Hypothetical A | $ 1,000.00 | $ 1,016.51 | $ 8.35** |
Floating Rate High Income | |||
Actual | $ 1,000.00 | $ 1,035.90 | $ 3.84** |
Hypothetical A | $ 1,000.00 | $ 1,021.03 | $ 3.81** |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,035.80 | $ 3.99** |
Hypothetical A | $ 1,000.00 | $ 1,020.88 | $ 3.96** |
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 | 1.02% |
Class T | 1.06% |
Class B | 1.58% |
Class C | 1.67%** |
Floating Rate High Income | .76%** |
Institutional Class | .79%** |
** If distribution fees and changes to voluntary expense limitations, effective April 1, 2007 for Class C, and management fees effective February 1, 2007 for all classes had been in effect during the entire period, the annualized expense ratios and the expenses paid in the actual and hypothetical examples above would have been as follows:
Annualized | Expenses | |
1.79% | ||
Actual | $ 9.01 | |
HypotheticalA | $ 8.95 | |
Floating Rate High Income | ||
Actual | $ 3.58 | |
HypotheticalA | $ 3.56 | |
Actual | $ 3.74 | |
HypotheticalA | $ 3.71 |
A 5% return per year before expenses
Semiannual Report
Investment Changes
Top Five Holdings as of April 30, 2007 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
HCA, Inc. | 2.4 | 0.6 |
NRG Energy, Inc. | 2.3 | 2.5 |
CSC Holdings, Inc. | 2.2 | 2.2 |
Georgia-Pacific Corp. | 1.8 | 2.1 |
UPC Broadband Holding BV | 1.7 | 1.0 |
10.4 | ||
Top Five Market Sectors as of April 30, 2007 | ||
% of fund's | % of fund's net assets | |
Healthcare | 9.4 | 7.8 |
Cable TV | 8.7 | 8.8 |
Telecommunications | 7.6 | 7.7 |
Technology | 5.5 | 5.4 |
Electric Utilities | 5.4 | 4.9 |
Quality Diversification (% of fund's net assets) | |||||||
As of April 30, 2007 | As of October 31, 2006 | ||||||
![]() | U.S.Government and U.S.Government Agency Obligations 0.0% | ![]() | U.S.Government and U.S.Government Agency Obligations 0.4% | ||||
![]() | AAA, AA, A 0.0% | ![]() | AAA, AA, A 0.0% | ||||
![]() | BBB 4.8% | ![]() | BBB 2.0% | ||||
![]() | BB 47.5% | ![]() | BB 48.5% | ||||
![]() | B 20.1% | ![]() | B 26.0% | ||||
![]() | CCC,CC,C 0.1% | ![]() | CCC,CC,C 0.2% | ||||
![]() | Not Rated 17.9% | ![]() | Not Rated 13.0% | ||||
![]() | 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. |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2007 * | As of October 31, 2006 ** | ||||||
![]() | Floating Rate | ![]() | Floating Rate | ||||
![]() | Nonconvertible | ![]() | Nonconvertible | ||||
![]() | U.S. Government | ![]() | U.S. Government | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 5.2% | ** Foreign investments | 5.9% |
Semiannual Report
Investments April 30, 2007
Showing Percentage of Net Assets
Floating Rate Loans (d) - 80.9% | ||||
Principal Amount (000s) | Value (000s) | |||
Aerospace - 0.9% | ||||
BE Aerospace, Inc. term loan B 6.88% 8/24/12 (c) | $ 5,935 | $ 5,950 | ||
DRS Technologies, Inc. term loan 6.8583% 1/31/13 (c) | 1,398 | 1,398 | ||
Mid-Western Aircraft Systems, Inc. Tranche B, term loan 7.105% 12/31/11 (c) | 11,917 | 11,992 | ||
Transdigm, Inc. term loan 7.3479% 6/23/13 (c) | 15,340 | 15,455 | ||
Wesco Aircraft Hardware Corp. Tranche 1LN, term loan 7.6% 9/29/13 (c) | 7,719 | 7,786 | ||
42,581 | ||||
Air Transportation - 0.2% | ||||
Delta Air Lines, Inc. Tranche 1LN, Revolving Credit-Linked Deposit 7.355% 4/25/14 (c) | 6,000 | 6,023 | ||
Northwest Airlines Corp. Tranche B, term loan 8.85% 12/31/13 (c) | 1,941 | 1,950 | ||
United Air Lines, Inc. Tranche B, term loan 7.375% 2/1/14 (c) | 4,000 | 3,995 | ||
11,968 | ||||
Auto Parts Distribution - 1.6% | ||||
Navistar International Corp.: | ||||
term loan 8.6099% 1/19/12 (c) | 11,000 | 11,165 | ||
8.5994% 1/19/12 (c) | 4,000 | 4,060 | ||
Oshkosh Truck Co. Tranche B, term loan 7.1% 12/6/13 (c) | 28,928 | 29,000 | ||
Tenneco, Inc. Credit-Linked Deposit 6.82% 3/16/14 (c) | 6,000 | 6,000 | ||
The Goodyear Tire & Rubber Co. Tranche 2LN, term loan 7.1% 4/30/14 (c) | 27,000 | 27,000 | ||
77,225 | ||||
Automotive - 3.3% | ||||
AM General LLC: | ||||
Tranche B, term loan 8.3808% 9/30/13 (c) | 2,855 | 2,880 | ||
8.32% 9/30/12 (c) | 97 | 98 | ||
Dana Corp. term loan 7.88% 4/13/08 (c) | 14,120 | 14,120 | ||
Delphi Corp. term loan: | ||||
7.625% 12/31/07 (c) | 14,000 | 14,035 | ||
8.125% 12/31/07 (c) | 34,000 | 34,128 | ||
Ford Motor Co. term loan 8.36% 12/15/13 (c) | 27,920 | 28,060 | ||
General Motors Corp. term loan 7.725% 11/29/13 (c) | 27,222 | 27,426 | ||
Rexnord Corp. Tranche B, term loan 7.8575% 7/19/13 (c) | 10,639 | 10,706 | ||
TRW Automotive Holdings Corp.: | ||||
Tranche B, term loan 6.9375% 6/30/12 (c) | 2,260 | 2,260 | ||
Tranche B2, term loan 6.875% 6/30/12 (c) | 1,975 | 1,975 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Automotive - continued | ||||
TRW Automotive Holdings Corp.: - continued | ||||
Tranche E, term loan 6.875% 10/31/10 (c) | $ 14,663 | $ 14,663 | ||
Visteon Corp. term loan 8.38% 6/13/13 (c) | 10,000 | 10,075 | ||
160,426 | ||||
Broadcasting - 1.7% | ||||
Cumulus Media, Inc. term loan 7.3231% 6/7/13 (c) | 1,904 | 1,913 | ||
Emmis Operating Co. Tranche B, term loan 7.35% 11/1/13 (c) | 7,000 | 7,044 | ||
Entravision Communication Corp. term loan 6.85% 3/29/13 (c) | 5,910 | 5,917 | ||
Montecito Broadcast Group LLC Tranche 1, term loan 7.86% 1/27/13 (c) | 1,975 | 1,987 | ||
Nexstar Broadcasting, Inc. Tranche B, term loan 7.1% 10/1/12 (c) | 17,863 | 18,087 | ||
Paxson Communications Corp. term loan 8.6056% 1/15/12 (c) | 6,000 | 6,120 | ||
Raycom TV Broadcasting, Inc. Tranche B, term loan 6.875% 8/28/13 (c) | 3,927 | 3,918 | ||
Spanish Broadcasting System, Inc. Tranche 1, term loan 7.1% 6/10/12 (c) | 2,840 | 2,836 | ||
VNU, Inc. term loan 7.61% 8/9/13 (c) | 33,748 | 34,043 | ||
81,865 | ||||
Building Materials - 0.2% | ||||
Goodman Global Holdings, Inc. Tranche C, term loan 7.125% 12/23/11 (c) | 2,834 | 2,834 | ||
Nortek Holdings, Inc. Tranche B, term loan 7.3649% 8/27/11 (c) | 5,726 | 5,747 | ||
8,581 | ||||
Cable TV - 8.3% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 7.35% 3/6/14 (c) | 23,000 | 22,971 | ||
CSC Holdings, Inc. Tranche B, term loan 7.0838% 3/29/13 (c) | 95,092 | 95,449 | ||
DIRECTV Holdings LLC Tranche B, term loan 6.82% 4/13/13 (c) | 34,066 | 34,193 | ||
Insight Midwest Holdings LLC Tranche B, term loan 7.35% 4/6/14 (c) | 10,000 | 10,056 | ||
Liberty Cablevision of Puerto Rico LTC term loan 7.61% 3/1/13 (c) | 4,950 | 4,962 | ||
Mediacom Broadband LLC/Mediacom Broadband Corp. Tranche D1, term loan 7.1037% 1/31/15 (c) | 3,920 | 3,916 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Cable TV - continued | ||||
Mediacom LLC Tranche C1, term loan 7.1004% 1/31/15 (c) | $ 6,808 | $ 6,799 | ||
NTL Cable PLC Tranche B, term loan 7.3556% 1/10/13 (c) | 23,680 | 23,858 | ||
PanAmSat Corp. Tranche B2, term loan 7.3494% 1/3/14 (c) | 29,850 | 30,037 | ||
San Juan Cable, Inc. Tranche 1, term loan 7.3475% 10/31/12 (c) | 5,925 | 5,918 | ||
Univision Communications, Inc.: | ||||
Tranche 1LN, term loan 7.605% 9/16/14 (c) | 74,228 | 74,135 | ||
Tranche DD 1LN, term loan 9/16/14 (e) | 4,772 | 4,766 | ||
UPC Broadband Holding BV: | ||||
Tranche J2, term loan 7.37% 3/31/13 (c) | 20,504 | 20,504 | ||
Tranche K2, term loan 7.37% 12/31/13 (c) | 20,504 | 20,504 | ||
Tranche N1, term loan 7.08% 12/31/14 (c) | 44,008 | 43,964 | ||
Wide Open West Finance LLC Tranche 1, term loan 7.6057% 5/1/13 (c) | 2,790 | 2,804 | ||
404,836 | ||||
Capital Goods - 2.2% | ||||
AGCO Corp. term loan 7.1% 7/3/09 (c) | 2,480 | 2,489 | ||
Amsted Industries, Inc.: | ||||
term loan 7.35% 4/5/13 (c) | 5,792 | 5,821 | ||
Tranche DD, term loan 7.35% 4/5/13 (c) | 3,111 | 3,127 | ||
Ashtead Group PLC term loan 7.125% 8/31/11 (c) | 5,000 | 5,000 | ||
Baldor Electric Co. term loan 7.125% 12/31/13 (c) | 10,565 | 10,605 | ||
Chart Industries, Inc. Tranche B, term loan 7.375% 10/17/12 (c) | 4,209 | 4,209 | ||
Dresser, Inc. term loan 10% 10/31/13 (c) | 9,300 | 9,300 | ||
EnergySolutions, Inc.: | ||||
Credit-Linked Deposit 7.57% 6/7/13 (c) | 189 | 190 | ||
term loan 7.63% 6/7/13 (c) | 5,654 | 5,696 | ||
Flowserve Corp. term loan 6.875% 8/10/12 (c) | 23,715 | 23,745 | ||
Hexcel Corp. Tranche B, term loan 7.12% 3/1/12 (c) | 4,040 | 4,050 | ||
Invensys International Holding Ltd.: | ||||
term loan 7.36% 12/15/10 (c) | 1,920 | 1,934 | ||
Tranche B, term loan 7.3467% 1/15/11 (c) | 2,080 | 2,096 | ||
Kinetek Industries, Inc. Tranche B, term loan 7.82% 11/10/13 (c) | 3,292 | 3,308 | ||
Mueller Group, Inc. term loan 7.3475% 10/3/12 (c) | 2,122 | 2,136 | ||
Rexnord Corp. Tranche B A0, term loan 7.64% 7/19/13 (c) | 4,938 | 4,962 | ||
Sensus Metering Systems, Inc. Tranche B term loan 7.36% 12/17/10 (c) | 1,919 | 1,924 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Capital Goods - continued | ||||
Terex Corp. term loan 7.1% 7/14/13 (c) | $ 11,900 | $ 11,915 | ||
Walter Industries, Inc. term loan 7.0897% 10/3/12 (c) | 3,171 | 3,175 | ||
105,682 | ||||
Chemicals - 4.0% | ||||
Basell USA, Inc.: | ||||
Tranche B2, term loan 7.57% 8/1/13 (c) | 1,730 | 1,741 | ||
Tranche C2, term loan 8.32% 8/1/14 (c) | 1,730 | 1,741 | ||
Celanese Holding LLC: | ||||
Revolving Credit-Linked Deposit 5.32% 4/2/13 (c) | 5,786 | 5,815 | ||
term loan 7.099% 4/2/14 (c) | 34,824 | 34,998 | ||
Georgia Gulf Corp. term loan 7.82% 10/3/13 (c) | 2,954 | 2,965 | ||
Hercules, Inc. Tranche B, term loan 6.82% 10/8/10 (c) | 4,874 | 4,874 | ||
Huntsman International LLC Tranche B, term loan 7.07% 8/16/12 (c) | 27,730 | 27,817 | ||
INEOS US Finance: | ||||
Tranche B, term loan 7.5799% 1/31/13 (c) | 4,777 | 4,819 | ||
Tranche C, term loan 8.0799% 1/31/14 (c) | 4,777 | 4,819 | ||
Innophos, Inc. Tranche B, term loan 7.57% 8/13/10 (c) | 2,820 | 2,834 | ||
ISP Chemco, Inc. Tranche B, term loan 7.125% 2/16/13 (c) | 7,920 | 7,960 | ||
Lyondell Chemical Co. term loan 6.86% 8/16/13 (c) | 31,840 | 31,959 | ||
MacDermid, Inc. Tranche B, term loan 7.32% 4/12/14 (c) | 5,240 | 5,240 | ||
Momentive Performance Materials, Inc. Tranche B1, term loan 7.625% 12/4/13 (c) | 17,955 | 18,045 | ||
Nalco Co. Tranche B, term loan 7.1959% 11/4/10 (c) | 17,259 | 17,366 | ||
Rockwood Specialties Group, Inc. Tranche E, term loan 7.355% 7/30/12 (c) | 13,411 | 13,512 | ||
The Mosaic Co. Tranche B, term loan 7.115% 12/1/13 (c) | 10,103 | 10,166 | ||
196,671 | ||||
Consumer Products - 1.0% | ||||
Central Garden & Pet Co. Tranche B, term loan 6.82% 9/12/12 (c) | 4,950 | 4,950 | ||
Chattem, Inc. term loan 7.11% 1/2/13 (c) | 1,720 | 1,728 | ||
Jarden Corp.: | ||||
term loan 7.1% 1/24/12 (c) | 5,056 | 5,062 | ||
Tranche B2, term loan 7.1% 1/24/12 (c) | 2,646 | 2,649 | ||
Jostens IH Corp. Tranche C, term loan 7.3297% 10/4/11 (c) | 12,148 | 12,208 | ||
NPI Merger Corp. term loan 7.349% 4/26/13 (c) | 1,686 | 1,678 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Consumer Products - continued | ||||
Sealy Mattress Co. Tranche E, term loan 6.8527% 8/25/12 (c) | $ 5,107 | $ 5,120 | ||
Spectrum Brands, Inc.: | ||||
Tranche B1, term loan 9.3326% 3/30/13 (c) | 1,629 | 1,654 | ||
Tranche B2, term loan 9.32% 3/30/13 (c) | 290 | 294 | ||
9.17% 3/30/13 (c) | 81 | 82 | ||
Weight Watchers International, Inc. Tranche B, term loan 6.875% 1/26/14 (c) | 7,980 | 8,020 | ||
Yankee Candle Co., Inc. term loan 7.35% 2/6/14 (c) | 5,000 | 5,025 | ||
48,470 | ||||
Containers - 1.7% | ||||
Berry Plastics Holding Corp. Tranche C, term loan 7.32% 4/3/15 (c) | 3,000 | 3,000 | ||
Bluegrass Container Co. LLC Tranche 1, term loan 7.5909% 6/30/13 (c) | 12,813 | 12,941 | ||
BWAY Corp. Tranche B, term loan 7.125% 7/17/13 (c) | 4,104 | 4,114 | ||
Crown Holdings, Inc.: | ||||
term loan B 7.11% 11/15/12 (c) | 15,345 | 15,422 | ||
Tranche B, term loan 7.11% 11/15/12 (c) | 9,697 | 9,745 | ||
Owens-Brockway Glass Container, Inc. Tranche B, term loan 6.82% 6/14/13 (c) | 25,425 | 25,488 | ||
Solo Cup Co.: | ||||
term loan 11.57% 3/31/12 (c) | 3,000 | 3,064 | ||
Tranche B1, term loan 8.847% 2/27/11 (c) | 9,248 | 9,375 | ||
83,149 | ||||
Diversified Financial Services - 1.3% | ||||
Ameritrade Holding Corp. Tranche B, term loan 6.82% 1/23/13 (c) | 14,768 | 14,787 | ||
Energy Investors Funds term loan 7.082% 4/11/14 (c) | 5,000 | 5,019 | ||
LPL Holdings, Inc. Tranche C, term loan 7.85% 6/28/13 (c) | 4,988 | 5,037 | ||
LS Power Acquisition Corp.: | ||||
Tranche 1LN, term loan 7.32% 4/30/14 (c) | 16,000 | 16,050 | ||
Tranche 2LN, term loan 8.07% 10/30/14 (c) | 3,000 | 3,034 | ||
The NASDAQ Stock Market, Inc.: | ||||
Tranche B, term loan 7.07% 4/18/12 (c) | 10,737 | 10,777 | ||
Tranche C, term loan 7.07% 4/18/12 (c) | 6,224 | 6,247 | ||
60,951 | ||||
Diversified Media - 0.7% | ||||
Lamar Media Corp. Tranche F, term loan 6.875% 3/31/14 (c) | 6,650 | 6,675 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Diversified Media - continued | ||||
LBI Media, Inc. Tranche B, term loan 6.8494% 3/31/12 (c) | $ 2,277 | $ 2,254 | ||
NextMedia Operating, Inc. Tranche 1, term loan 7.32% 11/18/12 (c) | 4,220 | 4,220 | ||
Quebecor Media, Inc. Tranche B, term loan 7.3556% 1/17/13 (c) | 4,938 | 4,968 | ||
R.H. Donnelley Corp.: | ||||
Tranche A4, term loan 6.57% 12/31/09 (c) | 545 | 545 | ||
Tranche D1, term loan 6.85% 6/30/11 (c) | 9,740 | 9,740 | ||
Thomson Media, Inc. Tranche B1, term loan 7.6% 11/8/11 (c) | 3,157 | 3,189 | ||
31,591 | ||||
Electric Utilities - 4.6% | ||||
AES Corp. term loan 7.345% 8/10/11 (c) | 8,429 | 8,460 | ||
Boston Generating LLC: | ||||
Credit-Linked Deposit 7.475% 12/20/13 (c) | 1,724 | 1,735 | ||
Tranche 1LN, revolver loan 7.475% 12/20/13 (c) | 483 | 486 | ||
Tranche B 1LN, term loan 7.6% 12/20/13 (c) | 7,774 | 7,822 | ||
Calpine Corp. Tranche D, term loan 7.57% 3/29/09 (c) | 21,500 | 21,608 | ||
Covanta Energy Corp.: | ||||
term loan 6.875% 2/9/14 (c) | 8,041 | 8,051 | ||
6.72% 2/9/14 (c) | 3,959 | 3,964 | ||
Dynegy Holdings, Inc.: | ||||
Revolving Credit-Linked Deposit 6.82% 4/2/13 (c) | 15,319 | 15,319 | ||
Tranche B, term loan 6.82% 4/2/13 (c) | 2,681 | 2,681 | ||
HCP Acquisition, Inc. Tranche 1LN, term loan 7.6% 2/13/14 (c) | 3,990 | 4,000 | ||
LSP Gen Finance Co. LLC Tranche B1, term loan 7.1% 5/4/13 (c) | 8,031 | 8,031 | ||
MACH Gen LLC: | ||||
term loan 7.36% 2/22/14 (c) | 3,616 | 3,609 | ||
7.35% 2/22/13 (c) | 375 | 374 | ||
Midwest Generation LLC term loan 6.845% 4/27/11 (c) | 895 | 895 | ||
Mirant North America LLC term loan 7.07% 1/3/13 (c) | 20,035 | 20,035 | ||
NRG Energy, Inc.: | ||||
Credit-Linked Deposit 7.35% 2/1/13 (c) | 30,566 | 30,796 | ||
term loan 7.35% 2/1/13 (c) | 71,508 | 72,044 | ||
NSG Holdings LLC: | ||||
term loan 6.86% 6/15/14 (c) | 6,286 | 6,278 | ||
6.86% 6/15/14 (c) | 714 | 713 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Electric Utilities - continued | ||||
Reliant Energy, Inc.: | ||||
term loan 7.695% 12/1/10 (c) | $ 4,560 | $ 4,600 | ||
7.5617% 12/1/10 (c) | 3,429 | 3,459 | ||
224,960 | ||||
Energy - 2.8% | ||||
Alon USA, Inc. term loan 7.605% 6/22/13 (c) | 3,970 | 3,990 | ||
Ashmore Energy International: | ||||
Revolving Credit-Linked Deposit 8.25% 3/30/12 (c) | 1,160 | 1,163 | ||
term loan 8.35% 3/30/14 (c) | 8,840 | 8,862 | ||
Citgo Petroleum Corp. Tranche B, term loan 6.695% 11/15/12 (c) | 12,051 | 12,051 | ||
Coffeyville Resources LLC: | ||||
Credit-Linked Deposit 8.2494% 12/28/13 (c) | 486 | 489 | ||
Tranche D, term loan 8.3495% 12/28/13 (c) | 2,507 | 2,520 | ||
Colonial Pipeline Co. term loan 7.359% 2/27/12 (c) | 2,490 | 2,515 | ||
Compagnie Generale de Geophysique SA term loan 7.35% 1/12/14 (c) | 9,975 | 10,050 | ||
El Paso Corp. 7.254% 7/31/11 (c) | 27,981 | 28,156 | ||
Energy Transfer Equity LP term loan 7.08% 11/1/12 (c) | 4,000 | 4,025 | ||
Energy XXI Gulf Coast, Inc. Tranche 2LN, term loan 10.875% 4/4/10 (c) | 3,000 | 3,000 | ||
MEG Energy Corp.: | ||||
term loan 7.35% 4/3/13 (c) | 2,475 | 2,494 | ||
Tranche DD, term loan 4/3/13 (e) | 2,500 | 2,494 | ||
Nebraska Energy, Inc.: | ||||
Tranche B 1LN, term loan 7.85% 11/1/13 (c) | 7,548 | 7,586 | ||
Tranche B, Credit-Linked Deposit 7.85% 11/1/13 (c) | 892 | 896 | ||
Sandridge Energy, Inc. term loan 8.975% 4/1/14 (c) | 8,000 | 8,130 | ||
Targa Resources, Inc./Targa Resources Finance Corp.: | ||||
Credit-Linked Deposit 7.225% 10/31/12 (c) | 3,290 | 3,315 | ||
term loan 7.3565% 10/31/12 (c) | 13,504 | 13,605 | ||
Vulcan/Plains Resources, Inc. term loan 6.86% 8/12/11 (c) | 2,884 | 2,887 | ||
W&T Offshore, Inc. Tranche B, term loan 7.6% 8/24/10 (c) | 4,810 | 4,846 | ||
Western Refining, Inc.: | ||||
term loan LIBOR +1.75 4/6/14 (c) | 11,877 | 11,877 | ||
Tranche DD, term loan 4/6/14 (e) | 2,903 | 2,903 | ||
137,854 | ||||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Entertainment/Film - 1.7% | ||||
Alliance Atlantis Communications, Inc. Tranche C, term loan 6.85% 12/19/11 (c) | $ 3,920 | $ 3,915 | ||
AMC Entertainment, Inc. term loan 7.07% 1/26/13 (c) | 10,369 | 10,408 | ||
Cinemark USA, Inc. term loan 7.383% 10/5/13 (c) | 13,930 | 13,965 | ||
MGM Holdings II, Inc. Tranche B, term loan 8.6% 4/8/12 (c) | 14,261 | 14,261 | ||
National CineMedia LLC term loan 7.09% 2/13/15 (c) | 14,000 | 14,000 | ||
Regal Cinemas Corp. term loan 7.1% 10/27/13 (c) | 27,203 | 27,203 | ||
83,752 | ||||
Environmental - 1.4% | ||||
Allied Waste Industries, Inc.: | ||||
Credit-Linked Deposit 7.07% 3/28/14 (c) | 17,424 | 17,511 | ||
term loan 7.0966% 3/28/14 (c) | 39,292 | 39,488 | ||
Brickman Group Holdings, Inc. Tranche B, term loan 7.3986% 1/23/14 (c) | 3,000 | 3,000 | ||
Casella Waste Systems, Inc. Tranche B, term loan 7.36% 4/28/10 (c) | 2,000 | 2,008 | ||
Synagro Technologies, Inc. Tranche 1LN, term loan 7.32% 3/30/14 (c) | 470 | 472 | ||
Waste Services, Inc. Tranche E, term loan 7.82% 3/31/11 (c) | 3,885 | 3,904 | ||
66,383 | ||||
Food and Drug Retail - 0.9% | ||||
Jean Coutu Group (PJC) USA, Inc. Tranche B, term loan 7.875% 7/30/11 (c) | 28,753 | 28,753 | ||
SUPERVALU, Inc. Tranche B, term loan 6.84% 6/2/12 (c) | 15,771 | 15,850 | ||
44,603 | ||||
Food/Beverage/Tobacco - 2.0% | ||||
B&G Foods, Inc. Tranche C, term loan 7.36% 2/26/13 (c) | 2,800 | 2,814 | ||
Bumble Bee Foods LLC Tranche B, term loan 7.1088% 5/2/12 (c) | 3,000 | 3,000 | ||
Constellation Brands, Inc. Tranche B, term loan 6.875% 6/5/13 (c) | 36,492 | 36,583 | ||
Dean Foods Co. Tranche B, term loan 6.875% 4/2/14 (c) | 24,000 | 24,030 | ||
Del Monte Corp. Tranche B, term loan 6.8379% 2/8/12 (c) | 10,248 | 10,235 | ||
Herbalife International, Inc. term loan 6.82% 7/21/13 (c) | 3,738 | 3,738 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Food/Beverage/Tobacco - continued | ||||
Michael Foods, Inc. Tranche B, term loan 7.36% 11/21/10 (c) | $ 4,020 | $ 4,040 | ||
Reddy Ice Group, Inc. term loan 7.105% 8/12/12 (c) | 2,000 | 2,005 | ||
Reynolds American, Inc. Tranche B, term loan 7.1136% 5/31/12 (c) | 11,910 | 11,970 | ||
98,415 | ||||
Gaming - 2.8% | ||||
Alliance Gaming Corp. term loan 8.61% 9/5/09 (c) | 3,651 | 3,647 | ||
Ameristar Casinos, Inc. term loan 6.82% 11/10/12 (c) | 5,974 | 5,974 | ||
Boyd Gaming Corp. term loan 6.82% 6/30/11 (c) | 13,143 | 13,160 | ||
Choctaw Resort Development Enterprise term loan 7.0738% 11/4/11 (c) | 1,876 | 1,883 | ||
Green Valley Ranch Gaming LLC Tranche 1LN, term loan 7.36% 2/16/14 (c) | 3,797 | 3,820 | ||
Greenwood Racing, Inc. term loan 7.57% 11/28/11 (c) | 1,995 | 2,005 | ||
Kerzner International Ltd.: | ||||
term loan 8.34% 9/1/13 (c) | 1,809 | 1,805 | ||
Class DD, term loan 8.3418% 9/1/13 (c)(e) | 941 | 938 | ||
Penn National Gaming, Inc. Tranche B, term loan 7.114% 10/31/12 (c) | 18,292 | 18,475 | ||
Pinnacle Entertainment, Inc. Tranche B, term loan 7.32% 12/14/11 (c) | 5,350 | 5,397 | ||
Seminole Tribe of Florida: | ||||
Tranche B1, term loan 6.875% 3/5/14 (c)(e) | 777 | 777 | ||
Tranche B2, term loan 6.875% 3/5/14 (c) | 2,623 | 2,623 | ||
Tranche B3, term loan 6.875% 3/5/14 (c) | 2,599 | 2,599 | ||
Tropicana Entertainment term loan 7.85% 7/3/08 (c) | 8,700 | 8,765 | ||
Trump Entertainment Resorts Holdings LP Tranche B, term loan 7.864% 5/20/12 (c)(e) | 14,394 | 14,484 | ||
Venetian Casino Resort LLC Tranche B, term loan 7.09% 6/15/11 (c) | 24,200 | 24,200 | ||
Venetian Macau Ltd. Tranche B, term loan: | ||||
7.6% 5/26/12 (c)(e) | 3,369 | 3,395 | ||
7.85% 5/26/13 (c) | 7,631 | 7,707 | ||
Venetian Macau US Finance, Inc. Tranche B, term loan 7.6% 5/25/13 (c) | 4,000 | 4,030 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. term loan B 7.225% 8/15/13 (c) | 9,180 | 9,255 | ||
134,939 | ||||
Healthcare - 9.4% | ||||
Advanced Medical Optics, Inc. term loan 7.093% 4/2/14 (c) | 2,540 | 2,553 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Healthcare - continued | ||||
AmeriPath, Inc. Tranche B, term loan 7.36% 10/31/12 (c) | $ 2,970 | $ 2,970 | ||
AMR HoldCo, Inc./EmCare HoldCo, Inc. term loan 7.3798% 2/7/12 (c) | 10,017 | 10,054 | ||
Community Health Systems, Inc. term loan 7.1% 8/19/11 (c) | 43,587 | 43,587 | ||
Concentra Operating Corp. term loan 7.3321% 9/30/11 (c) | 3,119 | 3,134 | ||
CONMED Corp. Tranche B, term loan 7.07% 4/12/13 (c) | 2,111 | 2,111 | ||
DaVita, Inc. Tranche B1, term loan 6.8418% 10/5/12 (c) | 45,257 | 45,313 | ||
DJO, Inc. Tranche B, term loan 6.875% 4/7/13 (c) | 2,478 | 2,478 | ||
Emdeon Business Services term loan 7.6% 11/16/13 (c) | 1,962 | 1,967 | ||
Fresenius Medical Care Holdings, Inc. Tranche B, term loan 6.7262% 3/31/12 (c) | 40,607 | 40,557 | ||
Gentiva Health Services, Inc. term loan 7.5853% 3/31/13 (c) | 1,800 | 1,809 | ||
HCA, Inc. Tranche B, term loan 7.6% 11/17/13 (c) | 116,708 | 117,870 | ||
Health Management Associates, Inc. Tranche B, term loan 7.1% 2/28/14 (c) | 26,820 | 26,921 | ||
HealthSouth Corp. term loan 7.847% 3/10/13 (c) | 27,239 | 27,409 | ||
IASIS Healthcare Corp.: | ||||
term loan 7.356% 3/15/14 (c) | 10,183 | 10,208 | ||
Tranche DD, term loan 3/15/14 (e) | 3,479 | 3,488 | ||
7.32% 3/15/14 (c) | 928 | 930 | ||
Kinetic Concepts, Inc. Tranche B2, term loan 6.85% 8/11/10 (c) | 4,126 | 4,126 | ||
LifePoint Hospitals, Inc. Tranche B, term loan 6.985% 4/15/12 (c) | 21,728 | 21,755 | ||
National Renal Institutes, Inc. term loan 7.625% 3/31/13 (c) | 3,434 | 3,430 | ||
Psychiatric Solutions, Inc. term loan 7.0881% 7/1/12 (c) | 8,314 | 8,314 | ||
PTS Acquisition Corp. term loan 7.6% 4/5/14 (c) | 14,000 | 14,018 | ||
Renal Advantage, Inc. Tranche B, term loan 7.85% 9/30/12 (c) | 6,617 | 6,658 | ||
Skilled Healthcare Group, Inc. Tranche 1, term loan 7.57% 6/15/12 (c) | 3,930 | 3,940 | ||
Sun Healthcare Group, Inc.: | ||||
Tranche B, term loan 7.355% 4/19/14 (c) | 4,276 | 4,276 | ||
Tranche DD, term loan 4/19/14 (e) | 759 | 759 | ||
5.255% 4/19/13 (c) | 966 | 966 | ||
Team Health, Inc. term loan 7.86% 11/22/12 (c) | 16,294 | 16,294 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Healthcare - continued | ||||
U.S. Oncology, Inc.: | ||||
Tranche B, term loan 7.6153% 8/20/11 (c) | $ 8,461 | $ 8,493 | ||
Tranche C, term loan 7.6% 8/20/11 (c) | 1,945 | 1,952 | ||
Vanguard Health Holding Co. I term loan 7.6% 9/23/11 (c) | 5,720 | 5,755 | ||
Vicar Operating, Inc. term loan 6.875% 5/16/11 (c) | 9,816 | 9,791 | ||
VWR Corp. Tranche B, term loan 7.61% 4/7/11 (c) | 5,819 | 5,863 | ||
459,749 | ||||
Homebuilding/Real Estate - 1.7% | ||||
Apartment Investment & Management Co. term loan 6.855% 3/22/11 (c) | 2,100 | 2,105 | ||
Blount, Inc. Tranche B1, term loan 7.0849% 8/9/10 (c) | 1,640 | 1,640 | ||
Capital Automotive (REIT) Tranche B, term loan 7.07% 12/16/10 (c) | 7,442 | 7,498 | ||
CB Richard Ellis Group, Inc. Tranche B, term loan 6.82% 12/20/13 (c) | 6,983 | 6,991 | ||
EOP Operating LP term loan 7.57% 2/28/09 (c) | 13,626 | 13,626 | ||
General Growth Properties, Inc. Tranche A1, term loan 6.57% 2/24/10 (c) | 25,803 | 25,787 | ||
LandSource Communities Development LLC Tranche B 1LN, term loan 8.07% 2/27/13 (c) | 7,980 | 8,080 | ||
Realogy Corp.: | ||||
Tranche B, term loan 8.35% 10/10/13 (c) | 9,455 | 9,478 | ||
8.32% 10/10/13 (c) | 2,545 | 2,552 | ||
Tishman Speyer Properties term loan 7.07% 12/27/12 (c) | 5,000 | 5,019 | ||
82,776 | ||||
Hotels - 0.2% | ||||
Hilton Hotels Corp. Tranche B, term loan 6.6948% 2/22/13 (c) | 7,317 | 7,317 | ||
Leisure - 1.2% | ||||
Cedar Fair LP term loan 7.32% 8/30/12 (c) | 9,925 | 10,012 | ||
London Arena & Waterfront Finance LLC Tranche A, term loan 7.84% 3/8/12 (c) | 2,970 | 2,985 | ||
Six Flags Theme Park, Inc. Tranche B1, term loan 8.6037% 6/30/09 (c) | 25,878 | 25,878 | ||
Town Sports International LLC term loan 7.125% 2/27/14 (c) | 3,990 | 4,000 | ||
Universal City Development Partners Ltd. term loan 7.3599% 6/9/11 (c) | 16,741 | 16,783 | ||
59,658 | ||||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Metals/Mining - 1.9% | ||||
Aleris International, Inc. term loan 7.375% 12/19/13 (c) | $ 3,990 | $ 3,995 | ||
Alpha National Resources LLC/Alpha National Resources Capital Corp. Tranche B, term loan 7.1% 10/26/12 (c) | 14,825 | 14,880 | ||
Compass Minerals Tranche B, term loan 6.8453% 12/22/12 (c) | 11,879 | 11,879 | ||
Freeport-McMoRan Copper & Gold, Inc. Tranche B, term loan 7.07% 3/19/14 (c) | 40,890 | 40,993 | ||
Novelis, Inc. term loan 7.61% 1/7/12 (c) | 16,178 | 16,219 | ||
Stillwater Mining Co. term loan 7.625% 7/30/10 (c) | 2,124 | 2,129 | ||
90,095 | ||||
Paper - 3.7% | ||||
Appleton Papers, Inc. term loan 7.6047% 6/11/10 (c) | 3,039 | 3,039 | ||
Boise Cascade Holdings LLC Tranche D, term loan 6.82% 10/26/11 (c) | 20,632 | 20,632 | ||
Buckeye Technologies, Inc. term loan 7.8441% 3/15/08 (c) | 1,674 | 1,676 | ||
Domtar Corp. Tranche B, term loan 6.735% 3/7/14 (c) | 4,000 | 3,990 | ||
Georgia-Pacific Corp.: | ||||
term loan 7.09% 12/29/13 (c) | 14,963 | 15,037 | ||
Tranche B1, term loan 7.3199% 12/23/12 (c) | 74,063 | 74,433 | ||
Graphic Packaging International, Inc. Tranche C, term loan 7.8325% 8/8/10 (c) | 14,663 | 14,663 | ||
NewPage Corp. term loan 7.625% 5/2/11 (c) | 4,172 | 4,203 | ||
Smurfit-Stone Container Enterprises, Inc.: | ||||
Credit-Linked Deposit 7.32% 11/1/10 (c) | 4,164 | 4,195 | ||
Tranche B, term loan 7.375% 11/1/11 (c) | 16,207 | 16,328 | ||
Tranche C, term loan 7.375% 11/1/11 (c) | 8,710 | 8,775 | ||
Tranche C1, term loan 7.375% 11/1/11 (c) | 2,795 | 2,819 | ||
Verso Paper Holdings LLC Tranche B, term loan 7.125% 8/1/13 (c) | 5,444 | 5,464 | ||
Xerium Technologies, Inc. Tranche B, term loan 8.1% 5/18/12 (c) | 4,499 | 4,494 | ||
179,748 | ||||
Publishing/Printing - 3.3% | ||||
CBD Media, Inc. Tranche D, term loan 7.82% 12/31/09 (c) | 1,747 | 1,754 | ||
Cenveo Corp.: | ||||
term loan 7.1% 6/21/13 (c) | 7,448 | 7,458 | ||
Tranche DD, term loan 7.1% 6/21/13 (c) | 248 | 249 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Publishing/Printing - continued | ||||
Dex Media East LLC/Dex Media East Finance Co.: | ||||
Tranche A, term loan 6.5956% 11/8/08 (c) | $ 1,735 | $ 1,733 | ||
Tranche B, term loan 6.8469% 5/8/09 (c) | 13,998 | 13,998 | ||
Dex Media West LLC/Dex Media West Finance Co.: | ||||
Tranche A, term loan 6.5988% 9/9/09 (c) | 3,238 | 3,238 | ||
Tranche B, term loan 6.85% 3/9/10 (c) | 12,838 | 12,838 | ||
Tranche B1, term loan 6.8593% 3/10/10 (c) | 12,959 | 12,959 | ||
Idearc, Inc. term loan 7.35% 11/17/14 (c) | 38,895 | 39,138 | ||
MediMedia USA, Inc. Tranche B, term loan 7.833% 10/5/13 (c) | 2,776 | 2,786 | ||
R.H. Donnelley Corp. Tranche D2, term loan 6.8511% 6/30/11 (c) | 27,468 | 27,434 | ||
Sun Media Corp. Canada Tranche B, term loan 7.105% 2/7/09 (c) | 1,567 | 1,567 | ||
The Reader's Digest Association, Inc. term loan 7.3391% 3/2/14 (c) | 12,610 | 12,626 | ||
Yell Group PLC Tranche B1, term loan 7.32% 2/10/13 (c) | 24,200 | 24,351 | ||
162,129 | ||||
Railroad - 0.3% | ||||
Kansas City Southern Railway Co. Tranche B, term loan 7.0731% 4/28/13 (c) | 16,873 | 16,873 | ||
Restaurants - 0.6% | ||||
Arby's Restaurant Group, Inc. Tranche B, term loan 7.2076% 7/25/12 (c) | 4,501 | 4,524 | ||
Burger King Corp. Tranche B1, term loan 6.875% 6/30/12 (c) | 17,994 | 18,039 | ||
Del Taco Tranche B, term loan 7.6% 3/29/13 (c) | 4,950 | 4,944 | ||
El Pollo Loco, Inc. Tranche B, term loan 7.855% 11/18/11 (c) | 1,969 | 1,981 | ||
29,488 | ||||
Services - 3.1% | ||||
Acosta, Inc. term loan 7.57% 7/28/13 (c) | 2,978 | 3,002 | ||
Adesa, Inc. term loan 7.57% 10/18/13 (c) | 6,000 | 6,038 | ||
Aramark Corp.: | ||||
term loan 7.475% 1/26/14 (c) | 62,067 | 62,378 | ||
7.445% 1/26/14 (c) | 4,436 | 4,458 | ||
Brand Energy & Infrastructure Services, Inc. Tranche B 1LN, term loan 7.625% 2/7/14 (c) | 4,790 | 4,790 | ||
Coinmach Corp. Tranche B1, term loan 7.875% 12/19/12 (c) | 5,970 | 6,007 | ||
Coinstar, Inc. term loan 7.35% 7/1/11 (c) | 5,520 | 5,547 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Services - continued | ||||
Education Management LLC/Education Management Finance Corp. Tranche B, term loan 7.375% 6/1/13 (c) | $ 3,963 | $ 3,977 | ||
Hertz Corp.: | ||||
Credit-Linked Deposit 7.35% 12/21/12 (c) | 1,444 | 1,453 | ||
Tranche B, term loan 7.0822% 12/21/12 (c) | 8,069 | 8,119 | ||
Iron Mountain, Inc. term loan 6.865% 4/16/14 (c) | 10,000 | 10,025 | ||
McJunkin Corp. term loan 7.6% 1/31/14 (c) | 1,995 | 2,000 | ||
RSC Equipment Rental term loan 8.9332% 11/30/12 (c) | 2,985 | 2,989 | ||
The Geo Group, Inc. term loan 6.8245% 1/24/14 (c) | 1,798 | 1,803 | ||
United Rentals, Inc.: | ||||
term loan 7.32% 2/14/11 (c) | 4,681 | 4,704 | ||
Tranche B, Credit-Linked Deposit 7.32% 2/14/11 (c) | 1,937 | 1,946 | ||
US Investigations Services, Inc.: | ||||
term loan 7.85% 10/14/12 (c) | 5,910 | 5,954 | ||
term loan D 7.85% 10/14/12 (c) | 1,990 | 2,005 | ||
West Corp. term loan 7.7497% 10/24/13 (c) | 14,663 | 14,773 | ||
151,968 | ||||
Shipping - 0.2% | ||||
Baker Tanks, Inc. Tranche B, term loan 9.5% 11/23/12 (c) | 879 | 879 | ||
Laidlaw International, Inc. Tranche B, term loan 7.09% 7/31/13 (c) | 8,955 | 8,966 | ||
9,845 | ||||
Specialty Retailing - 0.2% | ||||
GNC Corp. term loan 7.6% 9/16/13 (c) | 7,000 | 7,000 | ||
Sally Holdings LLC Tranche B, term loan 7.86% 11/16/13 (c) | 4,970 | 5,009 | ||
12,009 | ||||
Super Retail - 1.6% | ||||
Buhrmann US, Inc. Tranche D1, term loan 7.1001% 12/31/10 (c) | 5,534 | 5,547 | ||
FTD, Inc. term loan 7.36% 7/28/13 (c) | 3,661 | 3,670 | ||
Gold Toe Investment Corp. Tranche 1LN, term loan 8.109% 10/30/13 (c) | 5,985 | 6,030 | ||
J. Crew Group, Inc. term loan 7.1227% 5/15/13 (c) | 3,911 | 3,921 | ||
Michaels Stores, Inc. Tranche B, term loan 8.125% 10/31/13 (c) | 16,563 | 16,563 | ||
Neiman Marcus Group, Inc. term loan 7.3463% 4/6/13 (c) | 9,239 | 9,308 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Super Retail - continued | ||||
PETCO Animal Supplies, Inc. term loan 7.9772% 10/26/13 (c) | $ 9,925 | $ 10,000 | ||
The Pep Boys - Manny, Moe & Jack term loan 7.36% 10/27/13 (c) | 3,691 | 3,709 | ||
Toys 'R' US, Inc. term loan 8.32% 12/9/08 (c) | 19,000 | 19,166 | ||
77,914 | ||||
Technology - 4.7% | ||||
Acxiom Corp. term loan 7.0828% 9/15/12 (c) | 4,549 | 4,572 | ||
Advanced Micro Devices, Inc. term loan 7.34% 12/31/13 (c) | 8,336 | 8,347 | ||
Affiliated Computer Services, Inc.: | ||||
term loan 7.32% 3/20/13 (c) | 13,163 | 13,196 | ||
Tranche B2, term loan 7.32% 3/20/13 (c) | 7,920 | 7,940 | ||
AMI Semiconductor, Inc. term loan 6.82% 4/1/12 (c) | 1,480 | 1,473 | ||
Eastman Kodak Co.: | ||||
term loan 7.57% 10/18/12 (c) | 9,985 | 9,997 | ||
Tranche DD, term loan 7.57% 10/20/12 (c) | 1,985 | 1,988 | ||
Freescale Semiconductor, Inc. term loan 7.11% 12/1/13 (c) | 43,900 | 43,900 | ||
Global Tel*Link Corp.: | ||||
term loan 8.85% 2/14/13 (c)(e) | 1,557 | 1,569 | ||
8.76% 2/14/13 (c)(e) | 435 | 438 | ||
Itron, Inc. term loan 7.358% 4/18/14 (c) | 2,410 | 2,428 | ||
K & F Industries, Inc. term loan 7.32% 11/18/12 (c) | 7,734 | 7,734 | ||
ON Semiconductor Corp. term loan 7.1% 9/6/13 (c) | 1,286 | 1,286 | ||
Open Solutions, Inc. term loan 7.485% 1/23/14 (c) | 4,490 | 4,507 | ||
Open Text Corp. term loan 7.86% 10/2/13 (c) | 5,970 | 6,000 | ||
PGS Solutions, Inc. term loan 7.61% 2/14/13 (c) | 1,230 | 1,241 | ||
Riverdeep Interactive Learning USA, Inc. term loan: | ||||
8.1% 12/20/13 (c) | 17,127 | 17,170 | ||
11.55% 12/21/07 (c) | 9,000 | 9,000 | ||
Serena Software, Inc. term loan 7.5856% 3/10/13 (c) | 5,175 | 5,194 | ||
SunGard Data Systems, Inc. term loan 7.36% 2/28/14 (c) | 70,540 | 71,069 | ||
Verifone, Inc. Tranche B, term loan 7.109% 10/31/13 (c) | 8,978 | 9,011 | ||
228,060 | ||||
Telecommunications - 4.8% | ||||
Alaska Communications Systems Holding term loan 7.1% 2/1/12 (c) | 3,000 | 3,008 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Telecommunications - continued | ||||
American Cellular Corp.: | ||||
term loan 3/15/14 (e) | $ 774 | $ 773 | ||
Tranche B, term loan 7.32% 3/15/14 (c) | 7,226 | 7,244 | ||
Centennial Cellular Operating Co. LLC term loan 7.3507% 2/9/11 (c) | 15,635 | 15,713 | ||
Cincinnati Bell, Inc. Tranche B, term loan 6.8236% 8/31/12 (c) | 7,930 | 7,940 | ||
Consolidated Communications, Inc. Tranche D, term loan 7.1024% 10/14/11 (c) | 2,000 | 2,000 | ||
Crown Castle International Corp. Tranche B, term loan 6.89% 3/6/14 (c) | 9,000 | 9,011 | ||
Digicel International Finance Ltd. term loan 7.85% 3/23/12 (c) | 16,000 | 16,020 | ||
Intelsat Bermuda Ltd. term loan 7.855% 1/12/14 (c) | 20,000 | 20,075 | ||
Intelsat Ltd. Tranche B, term loan 7.3494% 7/3/13 (c) | 29,519 | 29,703 | ||
Iowa Telecommunication Services, Inc. Tranche B, term loan 7.0975% 11/23/11 (c) | 4,000 | 4,010 | ||
Knology, Inc. term loan 7.57% 4/6/12 (c) | 3,000 | 3,008 | ||
Leap Wireless International, Inc. Tranche B, term loan 7.6% 6/16/13 (c) | 6,948 | 6,991 | ||
Level 3 Communications, Inc. term loan 7.605% 3/13/14 (c) | 14,000 | 14,070 | ||
MetroPCS Wireless, Inc. Tranche B, term loan 7.625% 11/3/13 (c) | 17,920 | 18,010 | ||
NTELOS, Inc. Tranche B1, term loan 7.57% 8/24/11 (c) | 6,775 | 6,805 | ||
Paetec Communications, Inc. Tranche B, term loan 8.82% 2/28/13 (c) | 4,000 | 4,055 | ||
Qwest Corp. Tranche B, term loan 6.95% 6/30/10 (c) | 11,000 | 11,303 | ||
Time Warner Telecom, Inc. Tranche B, term loan 7.32% 1/7/13 (c) | 5,985 | 6,022 | ||
Triton PCS, Inc. term loan 8.57% 11/18/09 (c) | 7,768 | 7,807 | ||
Wind Telecomunicazioni Spa: | ||||
Tranche B, term loan 7.84% 9/21/13 (c) | 7,500 | 7,538 | ||
Tranche C, term loan 8.59% 9/21/14 (c) | 7,500 | 7,538 | ||
Windstream Corp. Tranche B1, term loan 6.86% 7/17/13 (c) | 23,556 | 23,673 | ||
232,317 | ||||
Textiles & Apparel - 0.7% | ||||
Hanesbrands, Inc. Tranche B 1LN, term loan 7.105% 9/5/13 (c) | 18,521 | 18,614 | ||
Levi Strauss & Co. term loan 7.59% 4/4/14 (c) | 3,000 | 2,976 | ||
Floating Rate Loans (d) - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Textiles & Apparel - continued | ||||
Warnaco Group, Inc. term loan 6.84% 1/31/13 (c) | $ 4,986 | $ 4,979 | ||
William Carter Co. term loan 6.846% 6/29/12 (c) | 6,883 | 6,883 | ||
33,452 | ||||
TOTAL FLOATING RATE LOANS (Cost $3,924,239) | 3,938,300 | |||
Nonconvertible Bonds - 9.5% | ||||
Air Transportation - 0.1% | ||||
Continental Airlines, Inc. 8.4731% 6/2/13 (c) | 2,000 | 2,055 | ||
Delta Air Lines, Inc. 8.3% 12/15/29 (f) | 3,000 | 1,575 | ||
3,630 | ||||
Auto Parts Distribution - 0.0% | ||||
The Goodyear Tire & Rubber Co. 9.14% 12/1/09 (b)(c) | 2,000 | 2,010 | ||
Automotive - 1.2% | ||||
Ford Motor Credit Co.: | ||||
4.95% 1/15/08 | 2,000 | 1,978 | ||
6.18% 9/28/07 (c) | 16,000 | 16,000 | ||
8.105% 1/13/12 (c) | 31,620 | 31,264 | ||
8.36% 11/2/07 (c) | 4,000 | 4,038 | ||
General Motors Acceptance Corp. 6.3056% 7/16/07 (c) | 4,000 | 4,000 | ||
57,280 | ||||
Broadcasting - 0.2% | ||||
Radio One, Inc. 8.875% 7/1/11 | 7,000 | 7,210 | ||
Building Materials - 0.1% | ||||
General Cable Corp. 7.725% 4/1/15 (b)(c) | 5,030 | 5,080 | ||
Cable TV - 0.4% | ||||
CSC Holdings, Inc.: | ||||
7.25% 7/15/08 | 2,000 | 2,025 | ||
7.875% 12/15/07 | 8,000 | 8,092 | ||
DirecTV Holdings LLC/DirecTV Financing, Inc. 8.375% 3/15/13 | 1,963 | 2,071 | ||
EchoStar Communications Corp.: | ||||
5.75% 10/1/08 | 4,000 | 4,000 | ||
7% 10/1/13 | 3,000 | 3,116 | ||
19,304 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Capital Goods - 0.1% | ||||
Case New Holland, Inc. 9.25% 8/1/11 | $ 2,000 | $ 2,100 | ||
Esco Corp. 9.2299% 12/15/13 (b)(c) | 2,000 | 2,070 | ||
4,170 | ||||
Chemicals - 0.1% | ||||
Equistar Chemicals LP/Equistar Funding Corp. 10.625% 5/1/11 | 2,000 | 2,110 | ||
Georgia Gulf Corp. 9.5% 10/15/14 (b) | 1,360 | 1,360 | ||
3,470 | ||||
Containers - 0.3% | ||||
Impress Holdings BV 8.4806% 9/15/13 (b)(c) | 7,720 | 7,952 | ||
Owens-Brockway Glass Container, Inc. 8.875% 2/15/09 | 5,000 | 5,100 | ||
13,052 | ||||
Electric Utilities - 0.8% | ||||
AES Corp. 8.75% 6/15/08 | 3,000 | 3,090 | ||
CMS Energy Corp. 9.875% 10/15/07 | 12,000 | 12,180 | ||
NRG Energy, Inc. 7.375% 2/1/16 | 9,000 | 9,360 | ||
Reliant Energy, Inc. 9.25% 7/15/10 | 3,000 | 3,150 | ||
TECO Energy, Inc.: | ||||
6.125% 5/1/07 | 4,000 | 3,993 | ||
7.36% 5/1/10 (c) | 5,000 | 5,106 | ||
36,879 | ||||
Energy - 1.2% | ||||
Mariner Energy, Inc. 8% 5/15/17 | 3,930 | 3,950 | ||
Parker Drilling Co. 10.11% 9/1/10 (c) | 4,703 | 4,797 | ||
Pemex Project Funding Master Trust 6.6549% 6/15/10 (b)(c) | 18,000 | 18,459 | ||
Premcor Refining Group, Inc. 9.5% 2/1/13 | 2,000 | 2,165 | ||
Southern Natural Gas Co. 6.125% 9/15/08 | 2,000 | 2,015 | ||
Williams Companies, Inc. 7.3494% 10/1/10 (b)(c) | 17,000 | 17,446 | ||
Williams Companies, Inc. Credit Linked Certificate Trust IV 8.61% 5/1/09 (b)(c) | 7,000 | 7,184 | ||
56,016 | ||||
Gaming - 0.2% | ||||
Mandalay Resort Group: | ||||
9.5% 8/1/08 | 2,000 | 2,084 | ||
10.25% 8/1/07 | 2,000 | 2,020 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Gaming - continued | ||||
Mirage Resorts, Inc. 6.75% 8/1/07 | $ 3,000 | $ 3,008 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 6.625% 12/1/14 | 3,000 | 3,000 | ||
10,112 | ||||
Leisure - 0.1% | ||||
Universal City Florida Holding Co. I/II 10.11% 5/1/10 (c) | 5,140 | 5,313 | ||
Metals/Mining - 0.4% | ||||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
8.5463% 4/1/15 (c) | 12,000 | 12,630 | ||
10.125% 2/1/10 | 8,470 | 8,894 | ||
21,524 | ||||
Paper - 0.0% | ||||
Boise Cascade LLC/Boise Cascade Finance Corp. 8.2306% 10/15/12 (c) | 2,190 | 2,195 | ||
Publishing/Printing - 0.2% | ||||
Dex Media East LLC/Dex Media East Finance Co. 9.875% 11/15/09 | 6,000 | 6,270 | ||
R.H. Donnelley Corp. 8.875% 1/15/16 | 4,000 | 4,340 | ||
10,610 | ||||
Services - 0.1% | ||||
Aramark Corp. 8.86% 2/1/15 (b)(c) | 3,360 | 3,473 | ||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 7.86% 5/15/14 (b)(c) | 1,650 | 1,695 | ||
5,168 | ||||
Shipping - 0.1% | ||||
OMI Corp. 7.625% 12/1/13 | 2,000 | 2,060 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 3,620 | 3,765 | ||
5,825 | ||||
Super Retail - 0.3% | ||||
GSC Holdings Corp./Gamestop, Inc. 9.2244% 10/1/11 (c) | 16,000 | 16,540 | ||
Technology - 0.8% | ||||
Freescale Semiconductor, Inc. 9.2299% 12/15/14 (b)(c) | 10,000 | 10,025 | ||
Nortel Networks Corp. 9.6056% 7/15/11 (b)(c) | 17,380 | 18,640 | ||
NXP BV 8.1056% 10/15/13 (b)(c) | 9,000 | 9,293 | ||
37,958 | ||||
Telecommunications - 2.8% | ||||
Centennial Communications Corp. 11.0994% 1/1/13 (c) | 2,000 | 2,100 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Telecommunications - continued | ||||
Embarq Corp. 6.738% 6/1/13 | $ 7,111 | $ 7,391 | ||
Intelsat Ltd. 11.3544% 6/15/13 (c) | 2,000 | 2,130 | ||
IPCS, Inc. 7.48% 5/1/13 (b)(c) | 3,000 | 3,015 | ||
Level 3 Financing, Inc. 9.15% 2/15/15 (b)(c) | 4,000 | 4,045 | ||
Qwest Communications International, Inc. 8.86% 2/15/09 (c) | 9,000 | 9,101 | ||
Qwest Corp. 8.6049% 6/15/13 (c) | 56,150 | 61,344 | ||
Rogers Communications, Inc.: | ||||
6.375% 3/1/14 | 3,000 | 3,094 | ||
8.4799% 12/15/10 (c) | 38,450 | 39,219 | ||
Rural Cellular Corp. 8.25% 3/15/12 | 6,000 | 6,330 | ||
137,769 | ||||
TOTAL NONCONVERTIBLE BONDS (Cost $450,625) | 461,115 |
Money Market Funds - 8.5% | |||
Shares | |||
Fidelity Cash Central Fund, 5.29% (a) | 415,566,681 | 415,567 | |
Fidelity Money Market Central Fund, 5.4% (a) | 280,351 | 280 | |
TOTAL MONEY MARKET FUNDS (Cost $415,847) | 415,847 | ||
Cash Equivalents - 3.2% | |||
Maturity Amount (000s) | |||
Investments in repurchase agreements in a joint trading account at 5.12%, dated 4/30/07 due 5/1/07 (Collateralized by U.S. Treasury Obligations) # | $ 155,268 | 155,246 | |
TOTAL INVESTMENT PORTFOLIO - 102.1% (Cost $4,945,957) | 4,970,508 | ||
NET OTHER ASSETS - (2.1)% | (103,306) | ||
NET ASSETS - 100% | $ 4,867,202 |
Legend |
(a) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. |
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $111,747,000 or 2.3% of net assets. |
(c) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(d) 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. |
(e) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $26,456,000 and $26,517,000 respectively. The coupon rate will be determined at time of settlement. |
(f) Non-income producing - Issuer is in default. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$155,246,000 due 5/01/07 at 5.12% | |
Banc of America Securities LLC | $ 23,714 |
Barclays Capital, Inc. | 52,884 |
Fortis Securities LLC | 33,900 |
Lehman Brothers, Inc. | 44,748 |
$ 155,246 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 8,468 |
Fidelity Money Market Central Fund | 1,015 |
Total | $ 9,483 |
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) | April 30, 2007 | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $155,246) - See accompanying schedule: Unaffiliated issuers (cost $4,530,110) | $ 4,554,661 | |
Fidelity Central Funds (cost $415,847) | 415,847 | |
Total Investments (cost $4,945,957) | $ 4,970,508 | |
Receivable for investments sold | 66,914 | |
Receivable for fund shares sold | 18,076 | |
Interest receivable | 35,526 | |
Distributions receivable from Fidelity Central Funds | 2,003 | |
Prepaid expenses | 15 | |
Total assets | 5,093,042 | |
Liabilities | ||
Payable to custodian bank | $ 5,407 | |
Payable for investments purchased | 190,953 | |
Payable for fund shares redeemed | 21,314 | |
Distributions payable | 4,675 | |
Accrued management fee | 2,282 | |
Distribution fees payable | 558 | |
Other affiliated payables | 556 | |
Other payables and accrued expenses | 95 | |
Total liabilities | 225,840 | |
Net Assets | $ 4,867,202 | |
Net Assets consist of: | ||
Paid in capital | $ 4,839,614 | |
Undistributed net investment income | 1,622 | |
Accumulated undistributed net realized gain (loss) on investments | 1,415 | |
Net unrealized appreciation (depreciation) on investments | 24,551 | |
Net Assets | $ 4,867,202 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | April 30, 2007 | |
Calculation of Maximum Offering Price | $ 9.97 | |
Maximum offering price per share (100/97.25 of $9.97) | $ 10.25 | |
Class T: | $ 9.96 | |
Maximum offering price per share (100/97.25 of $9.96) | $ 10.24 | |
Class B: | $ 9.96 | |
Class C: | $ 9.97 | |
Floating Rate High Income: | $ 9.96 | |
Institutional Class: | $ 9.96 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Amounts in thousands | Six months ended April 30, 2007 | |
Investment Income | ||
Interest | $ 161,409 | |
Income from Fidelity Central Funds | 9,483 | |
Total income | 170,892 | |
Expenses | ||
Management fee | $ 14,478 | |
Transfer agent fees | 2,650 | |
Distribution fees | 3,011 | |
Accounting fees and expenses | 691 | |
Custodian fees and expenses | 59 | |
Independent trustees' compensation | 7 | |
Registration fees | 119 | |
Audit | 82 | |
Legal | 30 | |
Miscellaneous | 15 | |
Total expenses before reductions | 21,142 | |
Expense reductions | (53) | 21,089 |
Net investment income | 149,803 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 1,995 | |
Change in net unrealized appreciation (depreciation) on investment securities | 11,565 | |
Net gain (loss) | 13,560 | |
Net increase (decrease) in net assets resulting from operations | $ 163,363 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Amounts in thousands | Six months ended April 30, | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 149,803 | $ 258,782 |
Net realized gain (loss) | 1,995 | 3,037 |
Change in net unrealized appreciation (depreciation) | 11,565 | (12,428) |
Net increase (decrease) in net assets resulting | 163,363 | 249,391 |
Distributions to shareholders from net investment income | (151,995) | (254,554) |
Distributions to shareholders from net realized gain | (932) | - |
Total distributions | (152,927) | (254,554) |
Share transactions - net increase (decrease) | 242,986 | 327,553 |
Redemption fees | 97 | 305 |
Total increase (decrease) in net assets | 253,519 | 322,695 |
Net Assets | ||
Beginning of period | 4,613,683 | 4,290,988 |
End of period (including undistributed net investment income of $1,622 and undistributed net investment income of $3,814, respectively) | $ 4,867,202 | $ 4,613,683 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.95 | $ 9.96 | $ 9.97 | $ 9.88 | $ 9.45 | $ 9.70 |
Income from Investment Operations | ||||||
Net investment income E | .313 | .571 | .404 | .285 | .292 | .352 |
Net realized and unrealized gain (loss) | .026 | (.022) | (.008) | .098 | .447 | (.264) |
Total from investment operations | .339 | .549 | .396 | .383 | .739 | .088 |
Distributions from net investment income | (.317) | (.560) | (.397) | (.295) | (.311) | (.339) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.319) | (.560) | (.407) | (.295) | (.311) | (.339) |
Redemption fees added to paid in capitalE | - I | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.97 | $ 9.95 | $ 9.96 | $ 9.97 | $ 9.88 | $ 9.45 |
Total ReturnB, C, D | 3.45% | 5.66% | 4.05% | 3.96% | 7.95% | .90% |
Ratios to Average Net AssetsF, H | ||||||
Expenses before reductions | 1.02% A | 1.05% | 1.06% | 1.08% | 1.10% | 1.12% |
Expenses net of fee waivers, if any | 1.02% A | 1.05% | 1.06% | 1.08% | 1.10% | 1.10% |
Expenses net of all reductions | 1.01% A | 1.05% | 1.06% | 1.08% | 1.09% | 1.09% |
Net investment income | 6.33% A | 5.73% | 4.05% | 2.90% | 3.04% | 3.64% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 271 | $ 285 | $ 312 | $ 299 | $ 88 | $ 37 |
Portfolio turnover rate G | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 | $ 9.69 |
Income from Investment Operations | ||||||
Net investment income E | .311 | .564 | .396 | .276 | .285 | .342 |
Net realized and unrealized gain (loss) | .026 | (.022) | (.007) | .098 | .446 | (.263) |
Total from investment operations | .337 | .542 | .389 | .374 | .731 | .079 |
Distributions from net investment income | (.315) | (.553) | (.390) | (.286) | (.303) | (.330) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.317) | (.553) | (.400) | (.286) | (.303) | (.330) |
Redemption fees added to paid in capital E | - I | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.96 | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 |
Total Return B, C, D | 3.44% | 5.60% | 3.98% | 3.87% | 7.87% | .80% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.06% A | 1.11% | 1.13% | 1.17% | 1.18% | 1.20% |
Expenses net of fee waivers, if any | 1.06% A | 1.11% | 1.13% | 1.17% | 1.18% | 1.19% |
Expenses net of all reductions | 1.06% A | 1.11% | 1.13% | 1.17% | 1.18% | 1.19% |
Net investment income | 6.29% A | 5.67% | 3.98% | 2.81% | 2.96% | 3.54% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 414 | $ 472 | $ 511 | $ 389 | $ 113 | $ 75 |
Portfolio turnover rate G | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 | $ 9.69 |
Income from Investment Operations | ||||||
Net investment income E | .285 | .513 | .346 | .231 | .243 | .298 |
Net realized and unrealized gain (loss) | .027 | (.022) | (.008) | .096 | .444 | (.263) |
Total from investment operations | .312 | .491 | .338 | .327 | .687 | .035 |
Distributions from net investment income | (.290) | (.502) | (.339) | (.239) | (.259) | (.286) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.292) | (.502) | (.349) | (.239) | (.259) | (.286) |
Redemption fees added to paid in capital E | - I | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.96 | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 |
Total Return B, C, D | 3.17% | 5.06% | 3.46% | 3.38% | 7.38% | .35% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.58% A | 1.63% | 1.64% | 1.65% | 1.64% | 1.65% |
Expenses net of fee waivers, if any | 1.58% A | 1.63% | 1.64% | 1.65% | 1.63% | 1.64% |
Expenses net of all reductions | 1.58% A | 1.62% | 1.64% | 1.65% | 1.63% | 1.64% |
Net investment income | 5.76% A | 5.16% | 3.47% | 2.33% | 2.50% | 3.09% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 125 | $ 143 | $ 173 | $ 184 | $ 134 | $ 118 |
Portfolio turnover rate G | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.95 | $ 9.96 | $ 9.97 | $ 9.87 | $ 9.45 | $ 9.70 |
Income from Investment Operations | ||||||
Net investment income E | .281 | .508 | .341 | .224 | .235 | .290 |
Net realized and unrealized gain (loss) | .026 | (.022) | (.008) | .107 | .434 | (.263) |
Total from investment operations | .307 | .486 | .333 | .331 | .669 | .027 |
Distributions from net investment income | (.285) | (.497) | (.334) | (.233) | (.251) | (.278) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.287) | (.497) | (.344) | (.233) | (.251) | (.278) |
Redemption fees added to paid in capital E | - I | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.97 | $ 9.95 | $ 9.96 | $ 9.97 | $ 9.87 | $ 9.45 |
Total Return B, C, D | 3.12% | 5.00% | 3.40% | 3.41% | 7.18% | .26% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.67% A | 1.68% | 1.69% | 1.71% | 1.72% | 1.73% |
Expenses net of fee waivers, if any | 1.67% A | 1.68% | 1.69% | 1.71% | 1.71% | 1.73% |
Expenses net of all reductions | 1.67% A | 1.68% | 1.69% | 1.71% | 1.71% | 1.73% |
Net investment income | 5.68% A | 5.10% | 3.42% | 2.27% | 2.42% | 3.00% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 410 | $ 450 | $ 539 | $ 524 | $ 269 | $ 235 |
Portfolio turnover rate G | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Floating Rate High Income
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 I | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 | $ 9.52 |
Income from Investment Operations | ||||||
Net investment income D | .325 | .593 | .427 | .309 | .311 | .040 |
Net realized and unrealized gain (loss) | .027 | (.021) | (.008) | .099 | .450 | (.084) |
Total from investment operations | .352 | .572 | .419 | .408 | .761 | (.044) |
Distributions from net investment income | (.330) | (.583) | (.420) | (.320) | (.333) | (.037) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.332) | (.583) | (.430) | (.320) | (.333) | (.037) |
Redemption fees added to paid in capital D | - H | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.96 | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.87 | $ 9.44 |
Total Return B, C | 3.59% | 5.92% | 4.30% | 4.22% | 8.20% | (.45)% |
Ratios to Average Net Assets E, G | ||||||
Expenses before reductions | .76% A | .81% | .82% | .84% | .86% | 1.15% A |
Expenses net of fee waivers, if any | .76% A | .81% | .82% | .84% | .86% | .95% A |
Expenses net of all reductions | .76% A | .81% | .82% | .84% | .86% | .94% A |
Net investment income | 6.59% A | 5.97% | 4.29% | 3.14% | 3.27% | 3.99% A |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 3,332 | $ 2,989 | $ 2,471 | $ 1,982 | $ 811 | $ 18 |
Portfolio turnover rate F | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H Amount represents less than $.001 per share.
I For the period September 19, 2002 (commencement of sale of shares) to October 31, 2002.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended April 30, | Years ended October 31, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.86 | $ 9.44 | $ 9.69 |
Income from Investment Operations | ||||||
Net investment income D | .324 | .591 | .424 | .304 | .312 | .365 |
Net realized and unrealized gain (loss) | .027 | (.021) | (.007) | .110 | .436 | (.262) |
Total from investment operations | .351 | .570 | .417 | .414 | .748 | .103 |
Distributions from net investment income | (.329) | (.581) | (.418) | (.316) | (.330) | (.354) |
Distributions from net realized gain | (.002) | - | (.010) | - | - | - |
Total distributions | (.331) | (.581) | (.428) | (.316) | (.330) | (.354) |
Redemption fees added to paid in capital D | - H | .001 | .001 | .002 | .002 | .001 |
Net asset value, end of period | $ 9.96 | $ 9.94 | $ 9.95 | $ 9.96 | $ 9.86 | $ 9.44 |
Total Return B, C | 3.58% | 5.89% | 4.27% | 4.29% | 8.06% | 1.06% |
Ratios to Average Net Assets E, G | ||||||
Expenses before reductions | .79% A | .84% | .85% | .87% | .90% | .94% |
Expenses net of fee waivers, if any | .79% A | .84% | .85% | .87% | .89% | .94% |
Expenses net of all reductions | .78% A | .83% | .85% | .87% | .89% | .93% |
Net investment income | 6.56% A | 5.95% | 4.26% | 3.11% | 3.24% | 3.79% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 316 | $ 275 | $ 285 | $ 182 | $ 36 | $ 18 |
Portfolio turnover rate F | 71% A | 61% | 66% | 61% | 55% | 77% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2007
(Amounts in thousands except ratios)
1. Organization.
Fidelity Advisor Floating Rate High 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, Fidelity Floating Rate High Income Fund, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request. In addition, the financial statements of the Fidelity Central Funds which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
3. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. The Fund earns certain fees in connection with its floating rate loan purchasing activities. These fees are in addition to interest payments earned and may include amendment fees, consent fees and prepayment fees. These fees are recorded as Income in the accompanying financial statements.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
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. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to market discount 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 | $ 26,475 |
Unrealized depreciation | (1,661) |
Net unrealized appreciation (depreciation) | $ 24,814 |
Cost for federal income tax purposes | $ 4,945,694 |
Short-Term Trading (Redemption) Fees. Shares held in the Fund less than 60 days are subject to a redemption fee equal to 1.00% of the proceeds of the redeemed shares. All redemption fees, including any estimated redemption fees paid by FMR, are retained by the Fund and accounted for as an addition to paid in capital.
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
New Accounting Pronouncements - continued
Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including principal repayments of floating rate loans), other than short-term securities and U.S. government securities, aggregated $1,736,956 and $1,509,434, respectively.
Semiannual Report
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% (.55% prior to February 1, 2007) of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was ..62% 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% | .25% | $ 227 | $ 11 |
Class T | 0% | .25% | 545 | - |
Class B | .55% | .15% | 468 | 369 |
Class C | .75% | .25% | 1,771 | 271 |
$ 3,011 | $ 651 |
On January 18, 2007, the Board of Trustees approved an increase in Class A's service fee from 0.15% to 0.25% and an increase in Class C's distribution fee from .55% to ..75%. The new fee rates were effective April 1, 2007.
Sales Load. FDC receives a front-end sales charge of up to 2.75% for selling Class A shares (3.75% prior to April 1, 2007), and 2.75% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 3.50% to 1% for Class B, 1% for Class C, 1.00% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
6. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 66 |
Class T | 14 |
Class B* | 123 |
Class C* | 51 |
$ 254 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund, except for Fidelity Floating Rate High Income Fund. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the transfer agent for Fidelity Floating Rate High Income Fund shares. FIIOC and FSC receive 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 and FSC pay for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each class to FIIOC or FSC, were as follows:
Amount | % of | |
Class A | $ 247 | .18 |
Class T | 305 | .14 |
Class B | 141 | .21 |
Class C | 349 | .17 |
Fidelity Floating Rate High Income | 1,436 | .09 |
Institutional Class | 172 | .12 |
$ 2,650 |
* Annualized
Accounting Fees. FSC maintains the Fund's accounting records. The fee is based on the level of average net assets for the month.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to
Semiannual Report
7. Committed Line of Credit - continued
pay commitment fees on its pro rata portion of the line of credit, which amounted to $6 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expense by $37. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | |
Fidelity Floating Rate High Income | $ 3 |
9. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
In September 2006, a transfer agent of the Fund, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund. FIIOC has reimbursed the Fund for related audit and legal expenses and, beginning in June 2007, remediated affected shareholders.
On April 19, 2007, the Board of Trustees approved an Agreement and Plan of Reorganization whereby the Fund will reorganize into Fidelity Advisor Series I, effective on or about June 29, 2007. The reorganization will not impact the Fund's investment strategies or FMR's management of the Fund. All legal and other expenses associated with the reorganization will be paid by FMR.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 8,696 | $ 17,229 |
Class T | 13,820 | 27,896 |
Class B | 3,892 | 7,934 |
Class C | 12,206 | 24,590 |
Floating Rate High Income | 103,993 | 159,948 |
Institutional Class | 9,388 | 16,957 |
Total | $ 151,995 | $ 254,554 |
From net realized gain | ||
Class A | $ 56 | $ - |
Class T | 92 | - |
Class B | 28 | - |
Class C | 89 | - |
Floating Rate High Income | 612 | - |
Institutional Class | 55 | - |
Total | $ 932 | $ - |
Semiannual Report
11. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended April 30, | Year ended | Six months ended April 30, | Year ended | |
Class A | ||||
Shares sold | 4,304 | 12,422 | $ 42,940 | $ 123,689 |
Reinvestment of distributions | 628 | 1,255 | 6,265 | 12,492 |
Shares redeemed | (6,411) | (16,310) | (63,923) | (162,319) |
Net increase (decrease) | (1,479) | (2,633) | $ (14,718) | $ (26,138) |
Class T | ||||
Shares sold | 4,612 | 17,758 | $ 45,939 | $ 176,613 |
Reinvestment of distributions | 1,235 | 2,513 | 12,301 | 24,979 |
Shares redeemed | (11,824) | (24,131) | (117,744) | (239,998) |
Net increase (decrease) | (5,977) | (3,860) | $ (59,504) | $ (38,406) |
Class B | ||||
Shares sold | 517 | 1,874 | $ 5,155 | $ 18,623 |
Reinvestment of distributions | 294 | 591 | 2,924 | 5,877 |
Shares redeemed | (2,673) | (5,517) | (26,620) | (54,870) |
Net increase (decrease) | (1,862) | (3,052) | $ (18,541) | $ (30,370) |
Class C | ||||
Shares sold | 2,984 | 9,134 | $ 29,757 | $ 90,864 |
Reinvestment of distributions | 837 | 1,673 | 8,338 | 16,649 |
Shares redeemed | (7,926) | (19,730) | (79,010) | (196,393) |
Net increase (decrease) | (4,105) | (8,923) | $ (40,915) | $ (88,880) |
Floating Rate High Income | ||||
Shares sold | 79,558 | 141,867 | $ 792,537 | $ 1,411,172 |
Reinvestment of distributions | 8,908 | 13,747 | 88,735 | 136,672 |
Shares redeemed | (54,709) | (103,278) | (544,972) | (1,027,044) |
Net increase (decrease) | 33,757 | 52,336 | $ 336,300 | $ 520,800 |
Institutional Class | ||||
Shares sold | 10,879 | 16,093 | $ 108,396 | $ 159,986 |
Reinvestment of distributions | 463 | 756 | 4,613 | 7,512 |
Shares redeemed | (7,298) | (17,805) | (72,645) | (176,951) |
Net increase (decrease) | 4,044 | (956) | $ 40,364 | $ (9,453) |
Semiannual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Advisor Floating Rate High Income Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity Advisor Floating Rate High Income Fund (the Fund), a fund of Fidelity Advisor Series II, including the schedule of investments as of April 30, 2007, and the related statement of operations for the six months then ended, the statements of changes in net assets for the six months then ended and for the year ended October 31, 2006, and the financial highlights for the six months then ended and for each of the five years in the period ended October 31, 2006. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of April 30, 2007, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Advisor Floating Rate High Income Fund as of April 30, 2007, the results of its operations for the six months then ended, the changes in its net assets for the six months then ended and for the year ended October 31, 2006, and the financial highlights for the six months then ended and for each of the five years in the period ended October 31, 2006, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
June 20, 2007
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Floating Rate High Income Fund
On January 18, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve an amended and restated management contract (the Amended Contract) for the fund, effective February 1, 2007. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information. In determining whether to approve the contract, the Board considered that the Amended Contract lowered the individual fund fee component of the management fee from 55 basis points to 45 basis points of the fund's average daily net assets.
In determining whether to approve the Amended Contract for the fund, the Board was 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 that fund, managed by Fidelity.
Nature, Extent, and Quality of Services Provided by Fidelity. The Board considered staffing within the investment adviser, FMR, and the sub-advisers, including the background of the fund's portfolio manager and the fund's investment objective and discipline.
Shareholder and Administrative Services. The Board considered the nature, quality, cost and extent of administrative, distribution and shareholder services performed by the Investment Advisers and affiliated companies.
Investment Performance. The Board noted that the approval of the Amended Contract would not change the fund's portfolio manager, the investment processes, the level or nature of services provided, the resources and personnel allocated, or its trading and compliance operations.
Based on this review of services, the Board concluded that the nature, extent, and quality of services provided to the fund will benefit shareholders of the fund.
Competitiveness of Management Fees and Total Fund Expenses. In approving the Amended Contract, the Board considered the fund's proposed management fee and projected total expenses compared to similar funds offered by other fund companies. The Board noted that the lower management fee rate proposed for the fund would have ranked the fund's management fee below the median of its competitors for 2005. The Board also considered other pricing changes for certain classes of the fund and noted that the projected total expenses of each class of the fund would have ranked below the median of its competitors for 2005.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Based on this review, the Board concluded that the fund's management fee and the total expenses of each class of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. In connection with its approval of the fund's Amended Contract, the Board did not consider data regarding the impact on Fidelity's costs of services, revenues, or profitability from the new arrangement because it was approving an arrangement that reduces the management fee that the fund pays. The Board noted Fidelity's assertion that reducing the management fee for the fund would reduce Fidelity's profitability. In connection with its future renewal of the fund's management contract and sub-advisory agreements, the Board will consider 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.
Economies of Scale. 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.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Amended Contract, the Board received additional information regarding similar funds offered by other fund companies.
Based on its evaluation of all of the conclusions noted above, and after consideration of all material factors, the Board concluded that the advisory fee structure is fair and reasonable, and that the Amended Contract should be approved.
On April 19, 2007, the Board voted to approve the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund in connection with reorganizing the fund from one Trust to another. The Board reached this determination because the contractual terms of and fees payable under the fund's Advisory Contracts are identical to those in the fund's current Advisory Contracts. The Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board considered that it approved the Advisory Contracts for the fund during the past year and that it will again consider renewal of the Advisory Contracts in June 2007.
Semiannual Report
Because the Board was approving Advisory Contracts with terms identical to the current Advisory Contracts, it did not consider the fund's investment performance, competitiveness of management fee and total expenses, costs of services and profitability, or economies of scale to be significant factors in its decision.
In connection with its future renewal of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent, and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the fund's management fee and total expenses; (iii) the costs of the services and profitability, including 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; and (iv) 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.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be approved, without modification, as part of the process of reorganizing the fund from one Trust to another.
Semiannual Report
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Research & Analysis Company
(formerly 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
The Bank of New York
New York, NY
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
AFRI-USAN-0607
1.784878.104
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
High Income Advantage
Fund - Class A, Class T, Class B and Class C
Semiannual Report
April 30, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit 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.
Annual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, redemption fees, 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 (November 1, 2006 to April 30, 2007).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
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 | $ 1,120.10 | $ 5.20** |
HypotheticalA | $ 1,000.00 | $ 1,019.89 | $ 4.96** |
Class T | |||
Actual | $ 1,000.00 | $ 1,119.40 | $ 5.41 |
HypotheticalA | $ 1,000.00 | $ 1,019.69 | $ 5.16 |
Class B | |||
Actual | $ 1,000.00 | $ 1,116.40 | $ 9.18 |
HypotheticalA | $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Class C | |||
Actual | $ 1,000.00 | $ 1,115.70 | $ 9.49 |
HypotheticalA | $ 1,000.00 | $ 1,015.82 | $ 9.05 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,121.50 | $ 4.31 |
HypotheticalA | $ 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 | .99%** |
Class T | 1.03% |
Class B | 1.75% |
Class C | 1.81% |
Institutional Class | .82% |
** If fees and changes to voluntary expense limitations, effective April 1, 2007 had been in effect during the entire period, the annualized expense ratio would have been 1.07% and the expenses paid in the actual and hypothetical examples above would have been $5.62 and $5.36, respectively.
Semiannual Report
Investment Changes
Top Five Holdings as of April 30, 2007 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
Charter Communications Holdings I LLC/Charter Communications Holdings I Cap Corp. | 4.3 | 2.4 |
Six Flags, Inc. | 3.0 | 4.3 |
El Paso Corp. | 2.9 | 4.6 |
Ford Motor Credit Co. | 2.8 | 3.0 |
Intelsat Ltd. | 2.8 | 3.1 |
15.8 | ||
Top Five Market Sectors as of April 30, 2007 | ||
% of fund's | % of fund's net assets | |
Energy | 10.5 | 10.6 |
Telecommunications | 8.4 | 8.5 |
Automotive | 8.1 | 8.8 |
Technology | 6.9 | 7.2 |
Healthcare | 6.7 | 8.8 |
Quality Diversification (% of fund's net assets) | |||||||
As of April 30, 2007* | As of October 31, 2006** | ||||||
![]() | AAA,AA,A 0.3% | ![]() | AAA,AA,A 0.0% | ||||
![]() | BB 8.5% | ![]() | BB 6.2% | ||||
![]() | B 26.0% | ![]() | B 32.6% | ||||
![]() | CCC,CC,C 28.0% | ![]() | CCC,CC,C 30.9% | ||||
![]() | D 1.0% | ![]() | D 1.2% | ||||
![]() | Not Rated 5.9% | ![]() | Not Rated 5.0% | ||||
![]() | Equities 22.0% | ![]() | Equities 19.2% | ||||
![]() | Short-Term | ![]() | Short-Term |
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2007* | As of October 31, 2006** | ||||||
![]() | Nonconvertible | ![]() | Nonconvertible | ||||
![]() | Convertible Bonds, Preferred Stocks 4.1% | ![]() | Convertible Bonds, Preferred Stocks 3.0% | ||||
![]() | Common Stocks 18.5% | ![]() | Common Stocks 16.7% | ||||
![]() | Floating Rate Loans 2.7% | ![]() | Floating Rate Loans 0.6% | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign | 9.6% | ** Foreign investments | 9.8% |
Semiannual Report
Investments April 30, 2007 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 67.0% | ||||
Principal Amount (000s) | Value (000s) | |||
Convertible Bonds - 0.6% | ||||
Air Transportation - 0.2% | ||||
UAL Corp. 4.5% 6/30/21 (g) | $ 5,200 | $ 6,229 | ||
Cable TV - 0.1% | ||||
Charter Communications, Inc. 5.875% 11/16/09 (g) | 2,251 | 3,265 | ||
Telecommunications - 0.3% | ||||
ICO North America, Inc. 7.5% 8/15/09 (i) | 10,695 | 10,695 | ||
TOTAL CONVERTIBLE BONDS | 20,189 | |||
Nonconvertible Bonds - 66.4% | ||||
Aerospace - 0.2% | ||||
Alion Science & Technology Corp. 10.25% 2/1/15 (g) | 1,430 | 1,502 | ||
Orbimage Holdings, Inc. 14.8669% 7/1/12 (h) | 3,710 | 4,127 | ||
5,629 | ||||
Air Transportation - 3.2% | ||||
American Airlines, Inc. pass thru trust certificates: | ||||
7.377% 5/23/19 | 12,337 | 12,121 | ||
10.18% 1/2/13 | 5,055 | 5,106 | ||
Continental Airlines, Inc. 7.339% 4/19/14 | 2,480 | 2,520 | ||
Continental Airlines, Inc.: | ||||
6.903% 4/19/22 | 1,480 | 1,497 | ||
8.4731% 6/2/13 (h) | 7,330 | 7,532 | ||
Delta Air Lines, Inc.: | ||||
7.9% 12/15/09 (j) | 35,990 | 18,715 | ||
8% 12/15/07 (g)(j) | 18,731 | 9,553 | ||
8.3% 12/15/29 (j) | 28,890 | 15,167 | ||
10% 8/15/08 (j) | 35,840 | 18,278 | ||
Delta Air Lines, Inc. pass thru trust certificates 7.779% 1/2/12 | 1,429 | 1,451 | ||
Northwest Airlines Corp. 10% 2/1/09 (j) | 1,524 | 1,173 | ||
Northwest Airlines, Inc.: | ||||
7.875% 3/15/08 (j) | 7,755 | 6,049 | ||
9.875% 3/15/07 (j) | 6,255 | 4,910 | ||
104,072 | ||||
Automotive - 7.1% | ||||
Accuride Corp. 8.5% 2/1/15 | 4,780 | 4,923 | ||
American Tire Distributors, Inc. 10.75% 4/1/13 | 6,930 | 7,086 | ||
Ford Motor Credit Co.: | ||||
7% 10/1/13 | 46,900 | 44,438 | ||
7.25% 10/25/11 | 1,335 | 1,308 | ||
7.375% 2/1/11 | 28,795 | 28,480 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Automotive - continued | ||||
Ford Motor Credit Co.: - continued | ||||
8% 12/15/16 | $ 7,110 | $ 6,932 | ||
9.75% 9/15/10 | 9,074 | 9,607 | ||
General Motors Acceptance Corp.: | ||||
6.75% 12/1/14 | 21,705 | 21,379 | ||
6.875% 9/15/11 | 4,335 | 4,351 | ||
8% 11/1/31 | 17,970 | 19,318 | ||
General Motors Corp. 8.375% 7/15/33 | 71,020 | 64,273 | ||
IdleAire Technologies Corp. 0% 12/15/12 unit (d)(g) | 16,350 | 11,200 | ||
Tenneco, Inc. 8.625% 11/15/14 | 2,870 | 3,035 | ||
United Components, Inc. 9.375% 6/15/13 | 2,225 | 2,308 | ||
228,638 | ||||
Broadcasting - 0.4% | ||||
Nexstar Finance Holdings LLC/Nexstar Finance Holdings, Inc. 0% 4/1/13 (d) | 10,005 | 9,830 | ||
Paxson Communications Corp. 11.6056% 1/15/13 (g)(h) | 3,255 | 3,410 | ||
13,240 | ||||
Building Materials - 2.2% | ||||
Belden CDT, Inc. 7% 3/15/17 (g) | 4,840 | 4,949 | ||
Goodman Global Holdings, Inc. 7.875% 12/15/12 | 13,870 | 13,974 | ||
Masonite Corp. 11% 4/6/15 (g) | 39,708 | 36,333 | ||
NTK Holdings, Inc. 0% 3/1/14 (d) | 17,240 | 12,930 | ||
U.S. Concrete, Inc. 8.375% 4/1/14 | 2,940 | 2,991 | ||
71,177 | ||||
Cable TV - 5.1% | ||||
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp.: | ||||
11% 10/1/15 | 119,339 | 126,490 | ||
11% 10/1/15 | 10,460 | 11,088 | ||
CSC Holdings, Inc.: | ||||
7.25% 4/15/12 | 22,870 | 22,870 | ||
7.625% 7/15/18 | 3,403 | 3,471 | ||
163,919 | ||||
Capital Goods - 1.5% | ||||
Baldor Electric Co. 8.625% 2/15/17 | 2,250 | 2,402 | ||
Hawk Corp. 8.75% 11/1/14 | 2,770 | 2,867 | ||
Park-Ohio Industries, Inc. 8.375% 11/15/14 | 20,525 | 20,422 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Capital Goods - continued | ||||
RBS Global, Inc. / Rexnord Corp.: | ||||
8.875% 9/1/16 | $ 1,440 | $ 1,469 | ||
9.5% 8/1/14 | 2,040 | 2,183 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 6,645 | 6,811 | ||
Thermadyne Holdings Corp. 9.25% 2/1/14 | 5,710 | 5,824 | ||
Titan International, Inc. 8% 1/15/12 (g) | 6,970 | 7,214 | ||
49,192 | ||||
Chemicals - 1.5% | ||||
Georgia Gulf Corp. 9.5% 10/15/14 (g) | 6,775 | 6,775 | ||
Huntsman LLC 11.625% 10/15/10 | 5,972 | 6,450 | ||
Lyondell Chemical Co. 8.25% 9/15/16 | 7,370 | 7,914 | ||
MacDermid, Inc. 9.5% 4/15/17 (g) | 900 | 938 | ||
Nell AF Sarl 8.375% 8/15/15 (g) | 3,990 | 4,160 | ||
Phibro Animal Health Corp.: | ||||
10% 8/1/13 (g) | 3,380 | 3,617 | ||
13% 8/1/14 (g) | 6,760 | 7,233 | ||
Reichhold Industries, Inc. 9% 8/15/14 (g) | 6,790 | 7,079 | ||
Sterling Chemicals, Inc. 10.25% 4/1/15 (g) | 705 | 721 | ||
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 | 5,110 | 5,468 | ||
50,355 | ||||
Consumer Products - 0.2% | ||||
NPI Merger Corp. 10.75% 4/15/14 (g) | 2,215 | 2,353 | ||
Simmons Bedding Co. 0% 12/15/14 (d) | 5,215 | 4,368 | ||
6,721 | ||||
Containers - 0.5% | ||||
Graham Packaging Co. LP/GPC Capital Corp. 9.875% 10/15/14 | 14,530 | 14,893 | ||
Pliant Corp. 13% 7/15/10 | 2,533 | 1,647 | ||
16,540 | ||||
Diversified Financial Services - 0.3% | ||||
Cardtronics, Inc. 9.25% 8/15/13 | 2,840 | 3,003 | ||
Triad Acquisition Corp. 11.125% 5/1/13 | 4,170 | 3,962 | ||
Yankee Acquisition Corp. 8.5% 2/15/15 (g) | 1,900 | 1,952 | ||
8,917 | ||||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Diversified Media - 0.5% | ||||
Affinion Group, Inc. 11.5% 10/15/15 | $ 6,715 | $ 7,403 | ||
Nielsen Finance LLC/Co. 0% 8/1/16 (d)(g) | 10,235 | 7,395 | ||
14,798 | ||||
Electric Utilities - 1.6% | ||||
Calpine Corp.: | ||||
8.5% 7/15/10 (g) | 16,320 | 17,136 | ||
8.75% 7/15/13 (g) | 5,865 | 6,158 | ||
Mirant Americas Generation LLC: | ||||
8.5% 10/1/21 | 6,645 | 6,844 | ||
9.125% 5/1/31 | 9,625 | 10,491 | ||
Mirant North America LLC 7.375% 12/31/13 | 10,560 | 11,167 | ||
51,796 | ||||
Energy - 4.9% | ||||
Allis-Chalmers Energy, Inc. 8.5% 3/1/17 | 2,140 | 2,151 | ||
Chaparral Energy, Inc.: | ||||
8.5% 12/1/15 | 4,490 | 4,546 | ||
8.875% 2/1/17 (g) | 3,650 | 3,732 | ||
Chesapeake Energy Corp. 6.5% 8/15/17 | 8,900 | 8,856 | ||
Compagnie Generale de Geophysique SA: | ||||
7.5% 5/15/15 | 830 | 869 | ||
7.75% 5/15/17 | 1,760 | 1,866 | ||
Complete Production Services, Inc. 8% 12/15/16 (g) | 8,260 | 8,549 | ||
Denbury Resources, Inc. 7.5% 12/15/15 | 10,000 | 10,175 | ||
El Paso Corp. 6.95% 6/1/28 | 15,800 | 16,156 | ||
El Paso Energy Corp. 7.75% 1/15/32 | 1,970 | 2,180 | ||
El Paso Production Holding Co. 7.75% 6/1/13 | 8,155 | 8,573 | ||
Energy Partners Ltd. 9.75% 4/15/14 (g) | 6,000 | 6,083 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.: | ||||
7.75% 11/1/15 (g) | 5,190 | 5,222 | ||
9% 6/1/16 (g) | 6,640 | 7,072 | ||
Inergy LP/Inergy Finance Corp. 8.25% 3/1/16 | 3,260 | 3,464 | ||
Mariner Energy, Inc. 8% 5/15/17 | 2,620 | 2,633 | ||
OPTI Canada, Inc. 8.25% 12/15/14 (g) | 7,120 | 7,556 | ||
Petrohawk Energy Corp. 9.125% 7/15/13 | 19,920 | 21,364 | ||
Pogo Producing Co.: | ||||
6.625% 3/15/15 | 6,505 | 6,359 | ||
6.875% 10/1/17 | 6,485 | 6,347 | ||
7.875% 5/1/13 | 4,790 | 4,862 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Energy - continued | ||||
Stone Energy Corp.: | ||||
6.75% 12/15/14 | $ 6,595 | $ 6,150 | ||
8.25% 12/15/11 | 3,475 | 3,466 | ||
Venoco, Inc. 8.75% 12/15/11 | 3,670 | 3,762 | ||
Williams Partners LP/Williams Partners Finance Corp. 7.25% 2/1/17 (g) | 6,820 | 7,229 | ||
159,222 | ||||
Entertainment/Film - 0.4% | ||||
Cinemark, Inc. 0% 3/15/14 (d) | 7,430 | 6,873 | ||
Livent, Inc. yankee 9.375% 10/15/04 (j) | 11,100 | 111 | ||
Marquee Holdings, Inc. 0% 8/15/14 (d) | 6,990 | 6,169 | ||
13,153 | ||||
Environmental - 1.5% | ||||
Allied Waste North America, Inc.: | ||||
7.25% 3/15/15 | 27,340 | 28,092 | ||
7.375% 4/15/14 | 21,790 | 22,117 | ||
50,209 | ||||
Food and Drug Retail - 2.6% | ||||
Ahold Finance USA, Inc. 8.25% 7/15/10 | 24,880 | 27,038 | ||
Albertsons, Inc. 8% 5/1/31 | 20,200 | 21,099 | ||
Nutritional Sourcing Corp. 10.125% 8/1/09 | 7,424 | 4,603 | ||
Rite Aid Corp.: | ||||
7.7% 2/15/27 | 12,345 | 10,617 | ||
8.625% 3/1/15 | 14,020 | 13,599 | ||
SUPERVALU, Inc. 7.5% 11/15/14 | 7,095 | 7,414 | ||
84,370 | ||||
Food/Beverage/Tobacco - 0.5% | ||||
AmeriQual Group LLC/AmeriQual Finance Corp. 9.5% 4/1/12 (g) | 3,000 | 3,105 | ||
Pierre Foods, Inc. 9.875% 7/15/12 | 2,240 | 2,330 | ||
Swift & Co. 10.125% 10/1/09 | 11,830 | 12,185 | ||
17,620 | ||||
Gaming - 0.4% | ||||
MTR Gaming Group, Inc. 9% 6/1/12 | 1,810 | 1,901 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
0% 1/15/13 (d) | 2,990 | 2,302 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Gaming - continued | ||||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: - continued | ||||
9% 1/15/12 | $ 1,760 | $ 1,822 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 6.625% 12/1/14 | 6,680 | 6,680 | ||
12,705 | ||||
Healthcare - 5.0% | ||||
Advanced Medical Optics, Inc. 7.5% 5/1/17 (g) | 1,990 | 2,042 | ||
AmeriPath Intermediate Holdings, Inc. 0% 2/15/14 pay-in-kind (g)(h) | 3,150 | 3,150 | ||
AmeriPath, Inc. 10.5% 4/1/13 | 6,900 | 7,513 | ||
Cardinal Health 409, Inc. 9.5% 4/15/15 pay-in-kind (g) | 7,080 | 7,257 | ||
Concentra Operating Corp. 9.125% 6/1/12 | 3,355 | 3,581 | ||
CRC Health Group, Inc. 10.75% 2/1/16 | 3,340 | 3,649 | ||
DaVita, Inc. 7.25% 3/15/15 | 6,105 | 6,227 | ||
Encore Medical Finance LLC 11.75% 11/15/14 (g) | 20,745 | 21,782 | ||
HCA, Inc. 6.375% 1/15/15 | 4,730 | 4,121 | ||
LifeCare Holdings, Inc. 9.25% 8/15/13 | 6,590 | 5,338 | ||
Multiplan, Inc. 10.375% 4/15/16 (g) | 3,660 | 3,907 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 (g) | 560 | 581 | ||
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13 | 9,190 | 9,741 | ||
Tenet Healthcare Corp.: | ||||
6.5% 6/1/12 | 14,200 | 13,171 | ||
7.375% 2/1/13 | 37,435 | 35,142 | ||
9.25% 2/1/15 | 11,960 | 11,945 | ||
9.875% 7/1/14 | 11,290 | 11,516 | ||
US Oncology Holdings, Inc. 9.7969% 3/15/12 pay-in-kind (g)(h) | 9,630 | 9,738 | ||
160,401 | ||||
Insurance - 1.4% | ||||
Provident Companies, Inc.: | ||||
7% 7/15/18 | 3,650 | 3,814 | ||
7.25% 3/15/28 | 17,830 | 18,748 | ||
UnumProvident Corp.: | ||||
6.75% 12/15/28 | 11,350 | 11,208 | ||
7.375% 6/15/32 | 9,190 | 9,863 | ||
USI Holdings Corp. 9.75% 5/15/15 (g) | 1,550 | 1,583 | ||
45,216 | ||||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Leisure - 3.0% | ||||
Festival Fun Parks LLC 10.875% 4/15/14 | $ 2,470 | $ 2,538 | ||
Six Flags, Inc.: | ||||
8.875% 2/1/10 | 1,355 | 1,377 | ||
9.625% 6/1/14 | 73,815 | 71,231 | ||
9.75% 4/15/13 | 23,580 | 23,108 | ||
98,254 | ||||
Metals/Mining - 2.5% | ||||
Aleris International, Inc. 9% 12/15/14 (g) | 4,910 | 5,229 | ||
Drummond Co., Inc. 7.375% 2/15/16 (g) | 9,205 | 8,906 | ||
FMG Finance Property Ltd. 10.625% 9/1/16 (g) | 13,835 | 16,152 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
8.25% 4/1/15 | 7,390 | 8,009 | ||
8.375% 4/1/17 | 21,580 | 23,630 | ||
Novelis, Inc. 7.25% 2/15/15 | 10,000 | 10,500 | ||
PNA Group, Inc. 10.75% 9/1/16 (g) | 6,790 | 7,486 | ||
79,912 | ||||
Paper - 1.3% | ||||
Georgia-Pacific Corp. 7.7% 6/15/15 | 10,645 | 10,911 | ||
Jefferson Smurfit Corp. U.S.: | ||||
7.5% 6/1/13 | 6,960 | 6,890 | ||
8.25% 10/1/12 | 5,000 | 5,075 | ||
Valassis Communications, Inc. 8.25% 3/1/15 (g) | 19,845 | 19,547 | ||
42,423 | ||||
Publishing/Printing - 0.2% | ||||
The Reader's Digest Association, Inc. 9% 2/15/17 (g) | 5,480 | 5,384 | ||
Restaurants - 0.3% | ||||
Sbarro, Inc. 10.375% 2/1/15 (g) | 1,120 | 1,173 | ||
Uno Restaurant Corp. 10% 2/15/11 (g) | 8,670 | 7,326 | ||
8,499 | ||||
Services - 2.0% | ||||
Aramark Corp. 8.5% 2/1/15 (g) | 3,640 | 3,804 | ||
Ashtead Capital, Inc. 9% 8/15/16 (g) | 5,960 | 6,422 | ||
Ashtead Holdings PLC 8.625% 8/1/15 (g) | 2,500 | 2,600 | ||
Cornell Companies, Inc. 10.75% 7/1/12 | 7,345 | 8,024 | ||
Education Management LLC/Education Management Finance Corp. 10.25% 6/1/16 | 4,020 | 4,382 | ||
H&E Equipment Services, Inc. 8.375% 7/15/16 | 3,060 | 3,312 | ||
Hydrochem Industrial Services, Inc. 9.25% 2/15/13 (g) | 5,150 | 5,227 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Services - continued | ||||
Language Line, Inc. 11.125% 6/15/12 | $ 4,610 | $ 4,910 | ||
Muzak LLC/Muzak Finance Corp. 10% 2/15/09 | 15,500 | 15,035 | ||
Neff Rent LLC/Neff Finance Corp. 11.25% 6/15/12 | 4,350 | 5,046 | ||
Rental Service Corp. 9.5% 12/1/14 (g) | 5,720 | 6,085 | ||
64,847 | ||||
Shipping - 0.7% | ||||
Navios Maritime Holdings, Inc. 9.5% 12/15/14 (g) | 8,730 | 9,167 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 11,965 | 12,444 | ||
21,611 | ||||
Specialty Retailing - 1.3% | ||||
General Nutrition Centers, Inc. 9.7875% 3/15/14 pay-in-kind (g)(h) | 14,050 | 14,032 | ||
Intcomex, Inc. 11.75% 1/15/11 | 6,260 | 6,417 | ||
Sally Holdings LLC 10.5% 11/15/16 (g) | 22,275 | 23,166 | ||
43,615 | ||||
Steels - 0.2% | ||||
Edgen Acquisition Corp. 9.875% 2/1/11 | 5,980 | 6,399 | ||
Tube City IMS Corp. 9.75% 2/1/15 (g) | 670 | 707 | ||
7,106 | ||||
Super Retail - 1.9% | ||||
Michaels Stores, Inc. 11.375% 11/1/16 (g) | 21,490 | 23,639 | ||
NBC Acquisition Corp. 0% 3/15/13 (d) | 12,830 | 10,777 | ||
Toys 'R' US, Inc.: | ||||
7.625% 8/1/11 | 7,035 | 6,815 | ||
7.875% 4/15/13 | 21,380 | 20,177 | ||
61,408 | ||||
Technology - 3.9% | ||||
Activant Solutions, Inc. 9.5% 5/1/16 | 2,310 | 2,287 | ||
Avago Technologies Finance Ltd.: | ||||
10.125% 12/1/13 | 19,280 | 21,063 | ||
11.875% 12/1/15 | 10,280 | 11,668 | ||
Conexant Systems, Inc. 9.11% 11/15/10 (h) | 4,280 | 4,387 | ||
Danka Business Systems PLC 11% 6/15/10 | 2,750 | 2,846 | ||
Freescale Semiconductor, Inc. 10.125% 12/15/16 (g) | 16,080 | 16,262 | ||
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co.: | ||||
6.875% 12/15/11 | 2,465 | 2,046 | ||
8.6049% 12/15/11 (h) | 3,840 | 3,322 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Technology - continued | ||||
Nortel Networks Corp.: | ||||
10.125% 7/15/13 (g) | $ 6,370 | $ 7,063 | ||
10.75% 7/15/16 (g) | 6,630 | 7,484 | ||
NXP BV 9.5% 10/15/15 (g) | 10,380 | 10,899 | ||
Open Solutions, Inc. 9.75% 2/1/15 (g) | 1,550 | 1,602 | ||
PGS Solutions, Inc. 9.625% 2/15/15 (g) | 2,530 | 2,562 | ||
Solectron Global Finance Ltd. 8% 3/15/16 | 2,190 | 2,212 | ||
SS&C Technologies, Inc. 11.75% 12/1/13 | 9,920 | 11,160 | ||
SunGard Data Systems, Inc. 10.25% 8/15/15 | 5,555 | 6,111 | ||
Viasystems, Inc. 10.5% 1/15/11 | 12,680 | 12,934 | ||
125,908 | ||||
Telecommunications - 6.4% | ||||
Broadview Networks Holdings, Inc. 11.375% 9/1/12 (g) | 8,660 | 9,266 | ||
Centennial Cellular Operating Co./Centennial Communications Corp. 10.125% 6/15/13 | 5,000 | 5,400 | ||
Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 | 6,680 | 6,914 | ||
Cincinnati Bell, Inc. 8.375% 1/15/14 | 3,095 | 3,157 | ||
Citizens Communications Co. 7.875% 1/15/27 (g) | 6,970 | 7,266 | ||
Cricket Communications, Inc. 9.375% 11/1/14 (g) | 6,920 | 7,396 | ||
Digicel Group Ltd. 8.875% 1/15/15 (g) | 11,500 | 11,270 | ||
Intelsat Ltd.: | ||||
6.5% 11/1/13 | 43,452 | 37,369 | ||
7.625% 4/15/12 | 30,225 | 28,412 | ||
11.25% 6/15/16 | 19,920 | 22,709 | ||
Level 3 Financing, Inc. 12.25% 3/15/13 | 6,100 | 7,130 | ||
MetroPCS Wireless, Inc. 9.25% 11/1/14 (g) | 13,840 | 14,740 | ||
Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (g) | 3,430 | 3,687 | ||
Qwest Capital Funding, Inc. 7.75% 2/15/31 | 14,425 | 14,335 | ||
Rural Cellular Corp. 9.75% 1/15/10 | 4,825 | 4,982 | ||
U.S. West Communications 6.875% 9/15/33 | 15,000 | 14,663 | ||
Windstream Corp. 8.625% 8/1/16 | 7,030 | 7,715 | ||
206,411 | ||||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Textiles & Apparel - 1.7% | ||||
Hanesbrands, Inc. 8.735% 12/15/14 (g)(h) | $ 9,940 | $ 10,213 | ||
Levi Strauss & Co. 12.25% 12/15/12 | 39,715 | 43,488 | ||
53,701 | ||||
TOTAL NONCONVERTIBLE BONDS | 2,146,969 | |||
TOTAL CORPORATE BONDS (Cost $2,081,298) | 2,167,158 |
Common Stocks - 18.5% | |||
Shares | |||
Building Materials - 0.6% | |||
Armstrong World Industries, Inc. (a) | 71,033 | 3,623 | |
Owens Corning (a) | 481,722 | 14,765 | |
18,388 | |||
Cable TV - 0.5% | |||
Charter Communications, Inc. Class A (a) | 2,032,900 | 6,139 | |
Gray Television, Inc. | 134,070 | 1,431 | |
Virgin Media, Inc. | 281,530 | 7,103 | |
Virgin Media, Inc. warrants 1/10/11 (a) | 3 | 0 | |
14,673 | |||
Chemicals - 0.9% | |||
Celanese Corp. Class A | 800,000 | 26,536 | |
Huntsman Corp. (i) | 96,480 | 1,891 | |
28,427 | |||
Consumer Products - 1.6% | |||
Revlon, Inc. Class A (sub. vtg.) (a)(f) | 41,158,562 | 53,095 | |
Containers - 0.2% | |||
Anchor Glass Container Corp. (a) | 172,857 | 6,050 | |
Pliant Corp. (a) | 2,041 | 0 | |
Trivest 1992 Special Fund Ltd. (a)(i) | 3,037,732 | 15 | |
6,065 | |||
Electric Utilities - 1.7% | |||
AES Corp. (a) | 1,392,509 | 30,621 | |
Mirant Corp. (a) | 523,570 | 23,493 | |
54,114 | |||
Common Stocks - continued | |||
Shares | Value (000s) | ||
Energy - 1.6% | |||
Chesapeake Energy Corp. | 1,150,000 | $ 38,813 | |
El Paso Corp. | 850,900 | 12,764 | |
51,577 | |||
Gaming - 0.2% | |||
Station Casinos, Inc. | 89,000 | 7,743 | |
Healthcare - 1.7% | |||
DaVita, Inc. (a) | 956,946 | 52,259 | |
Service Corp. International | 272,300 | 3,308 | |
55,567 | |||
Leisure - 0.1% | |||
Six Flags, Inc. | 343,900 | 2,050 | |
Metals/Mining - 0.6% | |||
Alpha Natural Resources, Inc. (a) | 1,198,900 | 20,825 | |
Paper - 0.2% | |||
Temple-Inland, Inc. | 100,678 | 5,964 | |
Publishing/Printing - 0.7% | |||
Cenveo, Inc. (a) | 921,258 | 23,630 | |
Shipping - 3.0% | |||
Frontline Ltd. (NY Shares) (e) | 200,000 | 7,558 | |
Overseas Shipholding Group, Inc. | 373,400 | 26,437 | |
Ship Finance International Ltd. (NY Shares) | 511,328 | 15,207 | |
Teekay Shipping Corp. | 778,100 | 46,414 | |
95,616 | |||
Steels - 0.4% | |||
Reliance Steel & Aluminum Co. | 147,400 | 8,756 | |
United States Steel Corp. | 40,000 | 4,062 | |
12,818 | |||
Technology - 3.0% | |||
Advanced Micro Devices, Inc. (a) | 300,000 | 4,146 | |
Amkor Technology, Inc. (a) | 3,500,000 | 48,965 | |
Atmel Corp. (a) | 1,000,000 | 5,320 | |
Flextronics International Ltd. (a) | 2,665,000 | 29,715 | |
Viasystems Group, Inc. (a)(i) | 1,026,780 | 9,241 | |
97,387 | |||
Telecommunications - 1.5% | |||
ICO Global Communications Holdings Ltd. Class A (a) | 43,772 | 185 | |
McLeodUSA, Inc. | 4,914,174 | 36,856 | |
One Communications (a)(i) | 925,628 | 12,265 | |
49,306 | |||
Common Stocks - continued | |||
Shares | Value (000s) | ||
Textiles & Apparel - 0.0% | |||
Arena Brands Holding Corp. Class B (a)(i) | 42,253 | $ 308 | |
Pillowtex Corp. (a) | 490,256 | 0 | |
308 | |||
TOTAL COMMON STOCKS (Cost $453,002) | 597,553 | ||
Preferred Stocks - 3.5% | |||
Convertible Preferred Stocks - 3.2% | |||
Energy - 2.9% | |||
El Paso Corp. 4.99% | 49,100 | 64,540 | |
EXCO Resources, Inc. Series A1: | |||
11.00% (a)(i) | 2,173 | 21,730 | |
7.00% (a)(i) | 527 | 5,270 | |
91,540 | |||
Metals/Mining - 0.3% | |||
Freeport-McMoRan Copper & Gold, Inc. 6.75% | 89,300 | 9,677 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | 101,217 | ||
Nonconvertible Preferred Stocks - 0.3% | |||
Broadcasting - 0.1% | |||
Spanish Broadcasting System, Inc. Class B, 10.75% | 3,671 | 3,983 | |
Containers - 0.2% | |||
Pliant Corp. Series AA 13.00% | 18,036 | 6,313 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 10,296 | ||
TOTAL PREFERRED STOCKS (Cost $113,604) | 111,513 |
Floating Rate Loans - 2.7% | ||||
Principal Amount (000s) | ||||
Aerospace - 0.0% | ||||
DeCrane Aircraft Holdings, Inc. Tranche 2LN, term loan 12.35% 2/21/14 (h) | $ 250 | 251 | ||
Air Transportation - 0.0% | ||||
Delta Air Lines, Inc. Tranche 2LN, term loan 8.605% 4/25/14 (h) | 1,100 | 1,114 | ||
Floating Rate Loans - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Automotive - 1.0% | ||||
AM General LLC term loan 11.07% 4/17/12 (h) | $ 7,670 | $ 7,737 | ||
Delphi Corp. term loan 8.125% 12/31/07 (h) | 3,920 | 3,935 | ||
Ford Motor Co. term loan 8.36% 12/15/13 (h) | 20,828 | 20,932 | ||
32,604 | ||||
Building Materials - 0.1% | ||||
Masonite International Corp. term loan 7.35391% 4/5/13 (h) | 2,557 | 2,506 | ||
Cable TV - 0.1% | ||||
Wide Open West Finance LLC Tranche 2, term loan 10.36% 5/1/14 (h) | 1,770 | 1,797 | ||
Consumer Products - 0.2% | ||||
Amscan Holdings, Inc. Tranche 2, term loan 10.39% 12/23/13 (h) | 4,550 | 4,641 | ||
Containers - 0.0% | ||||
Solo Cup Co. term loan 11.57% 3/31/12 (h) | 680 | 694 | ||
Energy - 1.1% | ||||
Antero Resources Corp. Tranche 2LN, term loan 9.82% 4/12/14 (h) | 7,670 | 7,708 | ||
Forest Alaska Operating LLC term loan 11.82% 12/8/11 (h) | 20,890 | 20,890 | ||
Sandridge Energy, Inc. term loan 8.625% 4/1/15 (h) | 7,950 | 8,119 | ||
36,717 | ||||
Services - 0.0% | ||||
Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 11.375% 2/7/15 (h) | 1,175 | 1,184 | ||
Telecommunications - 0.2% | ||||
Paetec Communications, Inc. Tranche B, term loan 8.82% 2/28/13 (h) | 850 | 862 | ||
Wind Telecomunicazioni Spa term loan 12.6088% 12/12/11 pay-in-kind (h) | 6,209 | 6,294 | ||
7,156 | ||||
TOTAL FLOATING RATE LOANS (Cost $87,905) | 88,664 |
Money Market Funds - 7.0% | |||
Shares | |||
Fidelity Cash Central Fund, 5.29% (b) | 220,036,532 | 220,037 | |
Fidelity Securities Lending Cash Central Fund, 5.31% (b)(c) | 5,737,500 | 5,738 | |
TOTAL MONEY MARKET FUNDS (Cost $225,775) | 225,775 | ||
Cash Equivalents - 0.5% | |||
Maturity Amount (000s) | Value (000s) | ||
Investments in repurchase agreements in a joint trading account at 5.12%, dated 4/30/07 due 5/1/07 (Collateralized by U.S. Treasury Obligations) # | 16,820 | $ 16,818 | |
TOTAL INVESTMENT PORTFOLIO - 99.2% (Cost $2,978,402) | 3,207,481 | ||
NET OTHER ASSETS - 0.8% | 25,735 | ||
NET ASSETS - 100% | $ 3,233,216 |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security 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) Security or a portion of the security is on loan at period end. |
(f) Affiliated company |
(g) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $523,522,000 or 16.2% of net assets. |
(h) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(i) 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 $61,415,000 or 1.9% of net assets. |
(j) Non-income producing - Issuer is in default. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Arena Brands Holding Corp. Class B | 6/18/97 - 7/13/98 | $ 1,538 |
EXCO Resources, Inc. Series A1, 11.00% | 3/28/07 | $ 21,730 |
EXCO Resources, Inc. Series A1, 7.00% | 3/28/07 | $ 5,270 |
Huntsman Corp. | 4/30/03 | $ 690 |
ICO North America, Inc. 7.5% 8/15/09 | 8/12/05 - 2/14/07 | $ 10,783 |
One Communications | 11/18/04 - 6/29/06 | $ 4,418 |
Trivest 1992 Special Fund Ltd. | 7/30/92 | $ - |
Viasystems Group, Inc. | 2/13/04 | $ 20,664 |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value (000s) |
$16,818,000 due 5/01/07 at 5.12% | |
Banc of America Securities LLC | $ 2,569 |
Barclays Capital, Inc. | 5,729 |
Fortis Securities LLC | 3,672 |
Lehman Brothers, Inc. | 4,848 |
$ 16,818 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 4,442 |
Fidelity Securities Lending Cash Central Fund | 135 |
Total | $ 4,577 |
Other Affiliated Issuers |
An affiliated company is a company in which the fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows: |
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Value, |
Revlon, Inc. Class A (sub. vtg.) | $ 44,476 | $ 8,104 | $ - | $ - | $ 53,095 |
Income Tax Information |
At October 31, 2006, the fund had a capital loss carryforward of approximately $875,850,000 of which $396,932,000 and $478,918,000 will expire on October 31, 2009 and 2010, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | April 30, 2007 (Unaudited) | |
Assets | ||
Investment in securities, at value (including securities loaned of $5,669 and repurchase agreements of $16,818) - See accompanying schedule: Unaffiliated issuers (cost $2,674,050) | $ 2,928,611 | |
Fidelity Central Funds (cost $225,775) | 225,775 | |
Other affiliated issuers (cost $78,577) | 53,095 | |
Total Investments (cost $2,978,402) | $ 3,207,481 | |
Receivable for investments sold | 7,006 | |
Receivable for fund shares sold | 10,109 | |
Dividends receivable | 32 | |
Interest receivable | 46,660 | |
Distributions receivable from Fidelity Central Funds | 990 | |
Prepaid expenses | 8 | |
Other receivables | 149 | |
Total assets | 3,272,435 | |
Liabilities | ||
Payable to custodian bank | $ 57 | |
Payable for investments purchased | 21,070 | |
Payable for fund shares redeemed | 6,909 | |
Distributions payable | 2,559 | |
Accrued management fee | 1,501 | |
Distribution fees payable | 715 | |
Other affiliated payables | 551 | |
Other payables and accrued expenses | 119 | |
Collateral on securities loaned, at value | 5,738 | |
Total liabilities | 39,219 | |
Net Assets | $ 3,233,216 | |
Net Assets consist of: | ||
Paid in capital | $ 3,827,457 | |
Undistributed net investment income | 14,070 | |
Accumulated undistributed net realized gain (loss) on investments | (837,390) | |
Net unrealized appreciation (depreciation) on investments | 229,079 | |
Net Assets | $ 3,233,216 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | April 30, 2007 (Unaudited) | |
Calculation of Maximum Offering Price | $ 10.92 | |
Maximum offering price per share (100/96.00 of $10.92) | $ 11.38 | |
Class T: | $ 10.96 | |
Maximum offering price per share (100/96.00 of $10.96) | $ 11.42 | |
Class B: | $ 10.88 | |
Class C: | $ 10.91 | |
Institutional Class: | $ 10.52 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Amounts in thousands | Six months ended April 30, 2007 (Unaudited) | |
Investment Income | ||
Dividends | $ 4,121 | |
Interest | 98,547 | |
Income from Fidelity Central Funds | 4,577 | |
Total income | 107,245 | |
Expenses | ||
Management fee | $ 8,424 | |
Transfer agent fees | 2,707 | |
Distribution fees | 3,934 | |
Accounting and security lending fees | 493 | |
Custodian fees and expenses | 24 | |
Independent trustees' compensation | 4 | |
Registration fees | 110 | |
Audit | 45 | |
Legal | 27 | |
Miscellaneous | 9 | |
Total expenses before reductions | 15,777 | |
Expense reductions | (44) | 15,733 |
Net investment income | 91,512 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 45,119 | |
Total net realized gain (loss) | 45,119 | |
Change in net unrealized appreciation (depreciation) on investment securities | 191,219 | |
Net gain (loss) | 236,338 | |
Net increase (decrease) in net assets resulting from operations | $ 327,850 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Amounts in thousands | Six months ended April 30, 2007 | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 91,512 | $ 166,022 |
Net realized gain (loss) | 45,119 | 68,572 |
Change in net unrealized appreciation (depreciation) | 191,219 | 56,134 |
Net increase (decrease) in net assets resulting | 327,850 | 290,728 |
Distributions to shareholders from net investment income | (104,274) | (158,973) |
Distributions to shareholders from net realized gain | - | (7,252) |
Total distributions | (104,274) | (166,225) |
Share transactions - net increase (decrease) | 332,332 | 279,191 |
Redemption fees | 131 | 336 |
Total increase (decrease) in net assets | 556,039 | 404,030 |
Net Assets | ||
Beginning of period | 2,677,177 | 2,273,147 |
End of period (including undistributed net investment income of $14,070 and undistributed net investment income of $26,832, respectively) | $ 3,233,216 | $ 2,677,177 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 10.14 | $ 9.63 | $ 9.67 | $ 9.52 | $ 6.42 | $ 8.18 |
Income from Investment Operations | ||||||
Net investment income E | .332 | .670 | .693 | .793 | .859 | .766 J |
Net realized and unrealized gain (loss) | .863 | .507 | .129 | .315 | 2.883 | (1.860) J |
Total from investment operations | 1.195 | 1.177 | .822 | 1.108 | 3.742 | (1.094) |
Distributions from net investment income | (.375) | (.638) | (.864) | (.960) | (.642) | (.666) |
Distributions from net realized gain | - | (.030) | - | - | - | - |
Total distributions | (.375) | (.668) | (.864) | (.960) | (.642) | (.666) |
Redemption fees added to paid in capital E | - I | .001 | .002 | .002 | - | - |
Net asset value, end of period | $ 10.96 | $ 10.14 | $ 9.63 | $ 9.67 | $ 9.52 | $ 6.42 |
Total Return B,C,D | 11.94% | 12.62% | 8.61% | 12.24% | 60.26% | (14.30)% |
Ratios to Average Net Assets F,H | ||||||
Expenses before reductions | 1.03% A | 1.04% | 1.06% | 1.06% | 1.06% | 1.08% |
Expenses net of fee waivers, if any | 1.03% A | 1.04% | 1.06% | 1.06% | 1.06% | 1.08% |
Expenses net of all reductions | 1.03% A | 1.04% | 1.06% | 1.06% | 1.06% | 1.08% |
Net investment income | 6.26% A | 6.77% | 7.02% | 8.30% | 10.38% | 10.05% J |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 1,215 | $ 1,083 | $ 1,003 | $ 1,245 | $ 1,398 | $ 1,070 |
Portfolio turnover rate G | 46% A | 51% | 53% | 67% | 111% | 85% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Amount represents less than $.001 per share. J As a result of a revision to reflect accretion of market discount using the interest method, certain amounts for the year ended October 31, 2002 have been reclassified from what was previously reported. The impact of this change was a decrease to net investment income (loss) of $0.068 per share with a corresponding increase to net realized and unrealized gain (loss) per share. The ratio of net investment income (loss) to average net assets decreased from 10.95% to 10.05%. The reclassification has no impact on the net assets of the Fund. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 10.06 | $ 9.56 | $ 9.61 | $ 9.47 | $ 6.38 | $ 8.15 |
Income from Investment Operations | ||||||
Net investment income E | .291 | .597 | .622 | .723 | .802 | .712 J |
Net realized and unrealized gain (loss) | .867 | .501 | .123 | .310 | 2.873 | (1.868) J |
Total from investment operations | 1.158 | 1.098 | .745 | 1.033 | 3.675 | (1.156) |
Distributions from net investment income | (.338) | (.569) | (.797) | (.895) | (.585) | (.614) |
Distributions from net realized gain | - | (.030) | - | - | - | - |
Total distributions | (.338) | (.599) | (.797) | (.895) | (.585) | (.614) |
Redemption fees added to paid in capital E | - I | .001 | .002 | .002 | - | - |
Net asset value, end of period | $ 10.88 | $ 10.06 | $ 9.56 | $ 9.61 | $ 9.47 | $ 6.38 |
Total Return B,C,D | 11.64% | 11.82% | 7.82% | 11.44% | 59.42% | (15.07)% |
Ratios to Average Net Assets F,H | ||||||
Expenses before reductions | 1.75% A | 1.74% | 1.75% | 1.74% | 1.75% | 1.78% |
Expenses net of fee waivers, if any | 1.75% A | 1.74% | 1.74% | 1.74% | 1.75% | 1.78% |
Expenses net of all reductions | 1.75% A | 1.74% | 1.74% | 1.74% | 1.75% | 1.77% |
Net investment income | 5.54% A | 6.06% | 6.33% | 7.62% | 9.69% | 9.36% J |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 168 | $ 202 | $ 313 | $ 498 | $ 613 | $ 426 |
Portfolio turnover rate G | 46% A | 51% | 53% | 67% | 111% | 85% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Amount represents less than $.001 per share. J As a result of a revision to reflect accretion of market discount using the interest method, certain amounts for the year ended October 31, 2002 have been reclassified from what was previously reported. The impact of this change was a decrease to net investment income (loss) of $0.068 per share with a corresponding increase to net realized and unrealized gain (loss) per share. The ratio of net investment income (loss) to average net assets decreased from 10.25% to 9.36%. The reclassification has no impact on the net assets of the Fund. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 10.09 | $ 9.59 | $ 9.63 | $ 9.49 | $ 6.40 | $ 8.16 |
Income from Investment Operations | ||||||
Net investment income E | .289 | .592 | .615 | .718 | .801 | .708 J |
Net realized and unrealized gain (loss) | .865 | .500 | .133 | .309 | 2.868 | (1.859) J |
Total from investment operations | 1.154 | 1.092 | .748 | 1.027 | 3.669 | (1.151) |
Distributions from net investment income | (.334) | (.563) | (.790) | (.889) | (.579) | (.609) |
Distributions from net realized gain | - | (.030) | - | - | - | - |
Total distributions | (.334) | (.593) | (.790) | (.889) | (.579) | (.609) |
Redemption fees added to paid in capital E | - I | .001 | .002 | .002 | - | - |
Net asset value, end of period | $ 10.91 | $ 10.09 | $ 9.59 | $ 9.63 | $ 9.49 | $ 6.40 |
Total Return B,C,D | 11.57% | 11.72% | 7.83% | 11.33% | 59.11% | (14.98)% |
Ratios to Average Net Assets F,H | ||||||
Expenses before reductions | 1.81% A | 1.80% | 1.82% | 1.81% | 1.82% | 1.84% |
Expenses net of fee waivers, if any | 1.81% A | 1.80% | 1.82% | 1.81% | 1.82% | 1.84% |
Expenses net of all reductions | 1.81% A | 1.80% | 1.82% | 1.81% | 1.82% | 1.84% |
Net investment income | 5.49% A | 6.01% | 6.26% | 7.55% | 9.62% | 9.29% J |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 232 | $ 198 | $ 182 | $ 193 | $ 219 | $ 132 |
Portfolio turnover rate G | 46% A | 51% | 53% | 67% | 111% | 85% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Amount represents less than $.001 per share. J As a result of a revision to reflect accretion of market discount using the interest method, certain amounts for the year ended October 31, 2002 have been reclassified from what was previously reported. The impact of this change was a decrease to net investment income (loss) of $0.068 per share with a corresponding increase to net realized and unrealized gain (loss) per share. The ratio of net investment income (loss) to average net assets decreased from 10.19% to 9.29%. The reclassification has no impact on the net assets of the Fund. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.74 | $ 9.28 | $ 9.35 | $ 9.24 | $ 6.24 | $ 7.97 |
Income from Investment Operations | ||||||
Net investment income D | .329 | .665 | .691 | .786 | .867 | .759 I |
Net realized and unrealized gain (loss) | .838 | .485 | .125 | .305 | 2.796 | (1.805) I |
Total from investment operations | 1.167 | 1.150 | .816 | 1.091 | 3.663 | (1.046) |
Distributions from net investment income | (.387) | (.661) | (.888) | (.983) | (.663) | (.684) |
Distributions from net realized gain | - | (.030) | - | - | - | - |
Total distributions | (.387) | (.691) | (.888) | (.983) | (.663) | (.684) |
Redemption fees added to paid in capital D | - H | .001 | .002 | .002 | - | - |
Net asset value, end of period | $ 10.52 | $ 9.74 | $ 9.28 | $ 9.35 | $ 9.24 | $ 6.24 |
Total Return B,C | 12.15% | 12.83% | 8.85% | 12.46% | 60.82% | (14.09)% |
Ratios to Average Net Assets E,G | ||||||
Expenses before reductions | .82% A | .81% | .81% | .83% | .82% | .85% |
Expenses net of fee waivers, if any | .82% A | .81% | .81% | .83% | .82% | .85% |
Expenses net of all reductions | .81% A | .81% | .81% | .83% | .82% | .85% |
Net investment income | 6.48% A | 6.99% | 7.26% | 8.53% | 10.62% | 10.28% I |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 898 | $ 610 | $ 351 | $ 245 | $ 218 | $ 82 |
Portfolio turnover rate F | 46% A | 51% | 53% | 67% | 111% | 85% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H Amount represents less than $.001 per share. I As a result of a revision to reflect accretion of market discount using the interest method, certain amounts for the year ended October 31, 2002 have been reclassified from what was previously reported. The impact of this change was a decrease to net investment income (loss) of $0.067 per share with a corresponding increase to net realized and unrealized gain (loss) per share. The ratio of net investment income (loss) to average net assets decreased from 11.18% to 10.28%. The reclassification has no impact on the net assets of the Fund. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2007 (Unaudited)
(Amounts in thousands except ratios)
1. Organization.
Fidelity Advisor High Income Advantage 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.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request. In addition, the financial statements of the Fidelity Central Funds are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
3. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Security Valuation - continued
independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. 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
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to prior period premium and discount on debt securities, defaulted bonds, market discount, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 336,918 |
Unrealized depreciation | (92,248) |
Net unrealized appreciation (depreciation) | $ 244,670 |
Cost for federal income tax purposes | $ 2,962,811 |
Short-Term Trading (Redemption) Fees. Shares held in the Fund less than 90 days are subject to a redemption fee equal to 1.00% of the proceeds of the redeemed shares. All redemption fees, including any estimated redemption fees paid by FMR, are retained by the Fund and accounted for as an addition to paid in capital.
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to
Semiannual Report
4. Operating Policies - continued
Repurchase Agreements - continued
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.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $863,695 and $636,646, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .57% 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan - continued
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% | $ 542 | $ 20 |
Class T | 0% | .25% | 1,447 | 44 |
Class B | .65% | .25% | 868 | 629 |
Class C | .75% | .25% | 1,077 | 198 |
$ 3,934 | $ 891 |
On January 18, 2007, the Board of Trustees approved an increase in Class A's Service fee from .15% to .25 %, effective April 1, 2007.
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A and Class T shares (4.75% for Class A and 3.50% for Class T shares prior to April 1, 2007), 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, 1.00% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 137 |
Class T | 45 |
Class B* | 184 |
Class C* | 16 |
$ 382 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
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 | $ 645 | .20 |
Class T | 925 | .16 |
Class B | 217 | .23 |
Class C | 190 | .18 |
Institutional Class | 730 | .19 |
$ 2,707 |
* 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.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $4 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
8. Security Lending - continued
disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Net income from lending portfolio securities during the period amounted to $135.
9. 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, including commitment fees, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
Expense | Reimbursement | |
Class B | 1.75% | $ 4 |
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $4. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | |
Class A | $ 4 |
Class T | 4 |
Class B | 1 |
Class C | 1 |
Institutional Class | 10 |
$ 20 |
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Semiannual Report
10. Other - continued
In September 2006, a transfer agent of the Fund, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund. FIIOC has reimbursed the Fund for related audit and legal expenses and, beginning in June 2007, remediated affected shareholders.
The United States Securities and Exchange Commission ("SEC") is conducting an investigation of FMR (covering the years 2002 to 2004) arising from gifts, gratuities and business entertainment provided by certain brokers to certain individuals who were employed on FMR's domestic equity trading desk during that period. FMR is in discussions with the SEC staff regarding the possible resolution of the matter, but as of period-end no final resolution has been reached.
In December 2006, the Independent Trustees completed their own investigation of the matter with the assistance of independent counsel. The Independent Trustees and FMR agree that, despite the absence of proof that the Fidelity mutual funds experienced diminished execution quality as a result of the improper receipt of gifts and business entertainment, the conduct at issue was serious and is worthy of redress. Accordingly, the Independent Trustees have requested and FMR has agreed to pay $42 million to Fidelity mutual funds, plus interest to be determined at the time that payment is made. A method of allocating this payment among the funds has not yet been determined. The total payment to the Fund is not anticipated to have a material impact on the Fund's net assets. In addition, FMR reimbursed related legal expenses which are recorded in the accompanying Statement of Operations as an expense reduction.
On April 19, 2007, the Board of Trustees approved an Agreement and Plan of Reorganization whereby the Fund will reorganize into Fidelity Advisor Series I, effective on or about June 29, 2007. The reorganization will not impact the Fund's investment strategies or FMR's management of the Fund. All legal and other expenses associated with the reorganization will be paid by FMR.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 22,639 | $ 32,695 |
Class T | 40,506 | 67,200 |
Class B | 6,244 | 15,265 |
Class C | 6,726 | 10,986 |
Institutional Class | 28,159 | 32,827 |
Total | $ 104,274 | $ 158,973 |
From net realized gain | ||
Class A | $ - | $ 1,358 |
Class T | - | 3,190 |
Class B | - | 948 |
Class C | - | 578 |
Institutional Class | - | 1,178 |
Total | $ - | $ 7,252 |
12. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended April 30, | Year ended | Six months ended April 30, | Year ended | |
Class A | ||||
Shares sold | 14,834 | 25,729 | $ 158,361 | $ 254,114 |
Reinvestment of distributions | 1,516 | 2,397 | 16,138 | 23,672 |
Shares redeemed | (8,094) | (14,626) | (86,049) | (144,291) |
Net increase (decrease) | 8,256 | 13,500 | $ 88,450 | $ 133,495 |
Class T | ||||
Shares sold | 14,592 | 29,261 | $ 156,225 | $ 288,708 |
Reinvestment of distributions | 3,180 | 5,903 | 33,953 | 58,456 |
Shares redeemed | (13,779) | (32,456) | (147,015) | (320,819) |
Net increase (decrease) | 3,993 | 2,708 | $ 43,163 | $ 26,345 |
Class B | ||||
Shares sold | 1,790 | 3,183 | $ 18,886 | $ 31,241 |
Reinvestment of distributions | 373 | 1,058 | 3,949 | 10,392 |
Shares redeemed | (6,850) | (16,913) | (72,646) | (166,272) |
Net increase (decrease) | (4,687) | (12,672) | $ (49,811) | $ (124,639) |
Semiannual Report
12. Share Transactions - continued
Shares | Dollars | |||
Six months ended April 30, | Year ended | Six months ended April 30, | Year ended | |
Class C | ||||
Shares sold | 3,744 | 5,331 | $ 39,931 | $ 52,542 |
Reinvestment of distributions | 387 | 715 | 4,116 | 7,048 |
Shares redeemed | (2,504) | (5,406) | (26,598) | (53,306) |
Net increase (decrease) | 1,627 | 640 | $ 17,449 | $ 6,284 |
Institutional Class | ||||
Shares sold | 24,264 | 37,402 | $ 249,010 | $ 357,166 |
Reinvestment of distributions | 2,477 | 3,242 | 25,411 | 30,912 |
Shares redeemed | (4,025) | (15,826) | (41,340) | (150,372) |
Net increase (decrease) | 22,716 | 24,818 | $ 233,081 | $ 237,706 |
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor High Income Advantage Fund
On April 19, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund in connection with reorganizing the fund from one Trust to another. The Board reached this determination because the contractual terms of and fees payable under the fund's Advisory Contracts are identical to those in the fund's current Advisory Contracts. The Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board considered that it approved the Advisory Contracts for the fund during the past year and that it will again consider renewal of the Advisory Contracts in June 2007.
Because the Board was approving Advisory Contracts with terms identical to the current Advisory Contracts, it did not consider the fund's investment performance, competitiveness of management fee and total expenses, costs of services and profitability, or economies of scale to be significant factors in its decision.
In connection with its future renewal of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent, and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the fund's management fee and total expenses; (iii) the costs of the services and profitability, including 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; and (iv) 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.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be approved, without modification, as part of the process of reorganizing the fund from one Trust to another.
Semiannual Report
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Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Research & Analysis Company (formerly 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
The Bank of New York
New York, NY
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
HY-USAN-0607
1.784886.104
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
High Income Advantage
Fund - Institutional Class
Semiannual Report
April 30, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit 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.
Annual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, redemption fees, 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 (November 1, 2006 to April 30, 2007).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
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 | $ 1,120.10 | $ 5.20** |
HypotheticalA | $ 1,000.00 | $ 1,019.89 | $ 4.96** |
Class T | |||
Actual | $ 1,000.00 | $ 1,119.40 | $ 5.41 |
HypotheticalA | $ 1,000.00 | $ 1,019.69 | $ 5.16 |
Class B | |||
Actual | $ 1,000.00 | $ 1,116.40 | $ 9.18 |
HypotheticalA | $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Class C | |||
Actual | $ 1,000.00 | $ 1,115.70 | $ 9.49 |
HypotheticalA | $ 1,000.00 | $ 1,015.82 | $ 9.05 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,121.50 | $ 4.31 |
HypotheticalA | $ 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 | .99%** |
Class T | 1.03% |
Class B | 1.75% |
Class C | 1.81% |
Institutional Class | .82% |
** If fees and changes to voluntary expense limitations, effective April 1, 2007 had been in effect during the entire period, the annualized expense ratio would have been 1.07% and the expenses paid in the actual and hypothetical examples above would have been $5.62 and $5.36, respectively.
Semiannual Report
Investment Changes
Top Five Holdings as of April 30, 2007 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
Charter Communications Holdings I LLC/Charter Communications Holdings I Cap Corp. | 4.3 | 2.4 |
Six Flags, Inc. | 3.0 | 4.3 |
El Paso Corp. | 2.9 | 4.6 |
Ford Motor Credit Co. | 2.8 | 3.0 |
Intelsat Ltd. | 2.8 | 3.1 |
15.8 | ||
Top Five Market Sectors as of April 30, 2007 | ||
% of fund's | % of fund's net assets | |
Energy | 10.5 | 10.6 |
Telecommunications | 8.4 | 8.5 |
Automotive | 8.1 | 8.8 |
Technology | 6.9 | 7.2 |
Healthcare | 6.7 | 8.8 |
Quality Diversification (% of fund's net assets) | |||||||
As of April 30, 2007* | As of October 31, 2006** | ||||||
![]() | AAA,AA,A 0.3% | ![]() | AAA,AA,A 0.0% | ||||
![]() | BB 8.5% | ![]() | BB 6.2% | ||||
![]() | B 26.0% | ![]() | B 32.6% | ||||
![]() | CCC,CC,C 28.0% | ![]() | CCC,CC,C 30.9% | ||||
![]() | D 1.0% | ![]() | D 1.2% | ||||
![]() | Not Rated 5.9% | ![]() | Not Rated 5.0% | ||||
![]() | Equities 22.0% | ![]() | Equities 19.2% | ||||
![]() | Short-Term | ![]() | Short-Term |
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2007* | As of October 31, 2006** | ||||||
![]() | Nonconvertible | ![]() | Nonconvertible | ||||
![]() | Convertible Bonds, Preferred Stocks 4.1% | ![]() | Convertible Bonds, Preferred Stocks 3.0% | ||||
![]() | Common Stocks 18.5% | ![]() | Common Stocks 16.7% | ||||
![]() | Floating Rate Loans 2.7% | ![]() | Floating Rate Loans 0.6% | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign | 9.6% | ** Foreign investments | 9.8% |
Semiannual Report
Investments April 30, 2007 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 67.0% | ||||
Principal Amount (000s) | Value (000s) | |||
Convertible Bonds - 0.6% | ||||
Air Transportation - 0.2% | ||||
UAL Corp. 4.5% 6/30/21 (g) | $ 5,200 | $ 6,229 | ||
Cable TV - 0.1% | ||||
Charter Communications, Inc. 5.875% 11/16/09 (g) | 2,251 | 3,265 | ||
Telecommunications - 0.3% | ||||
ICO North America, Inc. 7.5% 8/15/09 (i) | 10,695 | 10,695 | ||
TOTAL CONVERTIBLE BONDS | 20,189 | |||
Nonconvertible Bonds - 66.4% | ||||
Aerospace - 0.2% | ||||
Alion Science & Technology Corp. 10.25% 2/1/15 (g) | 1,430 | 1,502 | ||
Orbimage Holdings, Inc. 14.8669% 7/1/12 (h) | 3,710 | 4,127 | ||
5,629 | ||||
Air Transportation - 3.2% | ||||
American Airlines, Inc. pass thru trust certificates: | ||||
7.377% 5/23/19 | 12,337 | 12,121 | ||
10.18% 1/2/13 | 5,055 | 5,106 | ||
Continental Airlines, Inc. 7.339% 4/19/14 | 2,480 | 2,520 | ||
Continental Airlines, Inc.: | ||||
6.903% 4/19/22 | 1,480 | 1,497 | ||
8.4731% 6/2/13 (h) | 7,330 | 7,532 | ||
Delta Air Lines, Inc.: | ||||
7.9% 12/15/09 (j) | 35,990 | 18,715 | ||
8% 12/15/07 (g)(j) | 18,731 | 9,553 | ||
8.3% 12/15/29 (j) | 28,890 | 15,167 | ||
10% 8/15/08 (j) | 35,840 | 18,278 | ||
Delta Air Lines, Inc. pass thru trust certificates 7.779% 1/2/12 | 1,429 | 1,451 | ||
Northwest Airlines Corp. 10% 2/1/09 (j) | 1,524 | 1,173 | ||
Northwest Airlines, Inc.: | ||||
7.875% 3/15/08 (j) | 7,755 | 6,049 | ||
9.875% 3/15/07 (j) | 6,255 | 4,910 | ||
104,072 | ||||
Automotive - 7.1% | ||||
Accuride Corp. 8.5% 2/1/15 | 4,780 | 4,923 | ||
American Tire Distributors, Inc. 10.75% 4/1/13 | 6,930 | 7,086 | ||
Ford Motor Credit Co.: | ||||
7% 10/1/13 | 46,900 | 44,438 | ||
7.25% 10/25/11 | 1,335 | 1,308 | ||
7.375% 2/1/11 | 28,795 | 28,480 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Automotive - continued | ||||
Ford Motor Credit Co.: - continued | ||||
8% 12/15/16 | $ 7,110 | $ 6,932 | ||
9.75% 9/15/10 | 9,074 | 9,607 | ||
General Motors Acceptance Corp.: | ||||
6.75% 12/1/14 | 21,705 | 21,379 | ||
6.875% 9/15/11 | 4,335 | 4,351 | ||
8% 11/1/31 | 17,970 | 19,318 | ||
General Motors Corp. 8.375% 7/15/33 | 71,020 | 64,273 | ||
IdleAire Technologies Corp. 0% 12/15/12 unit (d)(g) | 16,350 | 11,200 | ||
Tenneco, Inc. 8.625% 11/15/14 | 2,870 | 3,035 | ||
United Components, Inc. 9.375% 6/15/13 | 2,225 | 2,308 | ||
228,638 | ||||
Broadcasting - 0.4% | ||||
Nexstar Finance Holdings LLC/Nexstar Finance Holdings, Inc. 0% 4/1/13 (d) | 10,005 | 9,830 | ||
Paxson Communications Corp. 11.6056% 1/15/13 (g)(h) | 3,255 | 3,410 | ||
13,240 | ||||
Building Materials - 2.2% | ||||
Belden CDT, Inc. 7% 3/15/17 (g) | 4,840 | 4,949 | ||
Goodman Global Holdings, Inc. 7.875% 12/15/12 | 13,870 | 13,974 | ||
Masonite Corp. 11% 4/6/15 (g) | 39,708 | 36,333 | ||
NTK Holdings, Inc. 0% 3/1/14 (d) | 17,240 | 12,930 | ||
U.S. Concrete, Inc. 8.375% 4/1/14 | 2,940 | 2,991 | ||
71,177 | ||||
Cable TV - 5.1% | ||||
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp.: | ||||
11% 10/1/15 | 119,339 | 126,490 | ||
11% 10/1/15 | 10,460 | 11,088 | ||
CSC Holdings, Inc.: | ||||
7.25% 4/15/12 | 22,870 | 22,870 | ||
7.625% 7/15/18 | 3,403 | 3,471 | ||
163,919 | ||||
Capital Goods - 1.5% | ||||
Baldor Electric Co. 8.625% 2/15/17 | 2,250 | 2,402 | ||
Hawk Corp. 8.75% 11/1/14 | 2,770 | 2,867 | ||
Park-Ohio Industries, Inc. 8.375% 11/15/14 | 20,525 | 20,422 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Capital Goods - continued | ||||
RBS Global, Inc. / Rexnord Corp.: | ||||
8.875% 9/1/16 | $ 1,440 | $ 1,469 | ||
9.5% 8/1/14 | 2,040 | 2,183 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 6,645 | 6,811 | ||
Thermadyne Holdings Corp. 9.25% 2/1/14 | 5,710 | 5,824 | ||
Titan International, Inc. 8% 1/15/12 (g) | 6,970 | 7,214 | ||
49,192 | ||||
Chemicals - 1.5% | ||||
Georgia Gulf Corp. 9.5% 10/15/14 (g) | 6,775 | 6,775 | ||
Huntsman LLC 11.625% 10/15/10 | 5,972 | 6,450 | ||
Lyondell Chemical Co. 8.25% 9/15/16 | 7,370 | 7,914 | ||
MacDermid, Inc. 9.5% 4/15/17 (g) | 900 | 938 | ||
Nell AF Sarl 8.375% 8/15/15 (g) | 3,990 | 4,160 | ||
Phibro Animal Health Corp.: | ||||
10% 8/1/13 (g) | 3,380 | 3,617 | ||
13% 8/1/14 (g) | 6,760 | 7,233 | ||
Reichhold Industries, Inc. 9% 8/15/14 (g) | 6,790 | 7,079 | ||
Sterling Chemicals, Inc. 10.25% 4/1/15 (g) | 705 | 721 | ||
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 | 5,110 | 5,468 | ||
50,355 | ||||
Consumer Products - 0.2% | ||||
NPI Merger Corp. 10.75% 4/15/14 (g) | 2,215 | 2,353 | ||
Simmons Bedding Co. 0% 12/15/14 (d) | 5,215 | 4,368 | ||
6,721 | ||||
Containers - 0.5% | ||||
Graham Packaging Co. LP/GPC Capital Corp. 9.875% 10/15/14 | 14,530 | 14,893 | ||
Pliant Corp. 13% 7/15/10 | 2,533 | 1,647 | ||
16,540 | ||||
Diversified Financial Services - 0.3% | ||||
Cardtronics, Inc. 9.25% 8/15/13 | 2,840 | 3,003 | ||
Triad Acquisition Corp. 11.125% 5/1/13 | 4,170 | 3,962 | ||
Yankee Acquisition Corp. 8.5% 2/15/15 (g) | 1,900 | 1,952 | ||
8,917 | ||||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Diversified Media - 0.5% | ||||
Affinion Group, Inc. 11.5% 10/15/15 | $ 6,715 | $ 7,403 | ||
Nielsen Finance LLC/Co. 0% 8/1/16 (d)(g) | 10,235 | 7,395 | ||
14,798 | ||||
Electric Utilities - 1.6% | ||||
Calpine Corp.: | ||||
8.5% 7/15/10 (g) | 16,320 | 17,136 | ||
8.75% 7/15/13 (g) | 5,865 | 6,158 | ||
Mirant Americas Generation LLC: | ||||
8.5% 10/1/21 | 6,645 | 6,844 | ||
9.125% 5/1/31 | 9,625 | 10,491 | ||
Mirant North America LLC 7.375% 12/31/13 | 10,560 | 11,167 | ||
51,796 | ||||
Energy - 4.9% | ||||
Allis-Chalmers Energy, Inc. 8.5% 3/1/17 | 2,140 | 2,151 | ||
Chaparral Energy, Inc.: | ||||
8.5% 12/1/15 | 4,490 | 4,546 | ||
8.875% 2/1/17 (g) | 3,650 | 3,732 | ||
Chesapeake Energy Corp. 6.5% 8/15/17 | 8,900 | 8,856 | ||
Compagnie Generale de Geophysique SA: | ||||
7.5% 5/15/15 | 830 | 869 | ||
7.75% 5/15/17 | 1,760 | 1,866 | ||
Complete Production Services, Inc. 8% 12/15/16 (g) | 8,260 | 8,549 | ||
Denbury Resources, Inc. 7.5% 12/15/15 | 10,000 | 10,175 | ||
El Paso Corp. 6.95% 6/1/28 | 15,800 | 16,156 | ||
El Paso Energy Corp. 7.75% 1/15/32 | 1,970 | 2,180 | ||
El Paso Production Holding Co. 7.75% 6/1/13 | 8,155 | 8,573 | ||
Energy Partners Ltd. 9.75% 4/15/14 (g) | 6,000 | 6,083 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.: | ||||
7.75% 11/1/15 (g) | 5,190 | 5,222 | ||
9% 6/1/16 (g) | 6,640 | 7,072 | ||
Inergy LP/Inergy Finance Corp. 8.25% 3/1/16 | 3,260 | 3,464 | ||
Mariner Energy, Inc. 8% 5/15/17 | 2,620 | 2,633 | ||
OPTI Canada, Inc. 8.25% 12/15/14 (g) | 7,120 | 7,556 | ||
Petrohawk Energy Corp. 9.125% 7/15/13 | 19,920 | 21,364 | ||
Pogo Producing Co.: | ||||
6.625% 3/15/15 | 6,505 | 6,359 | ||
6.875% 10/1/17 | 6,485 | 6,347 | ||
7.875% 5/1/13 | 4,790 | 4,862 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Energy - continued | ||||
Stone Energy Corp.: | ||||
6.75% 12/15/14 | $ 6,595 | $ 6,150 | ||
8.25% 12/15/11 | 3,475 | 3,466 | ||
Venoco, Inc. 8.75% 12/15/11 | 3,670 | 3,762 | ||
Williams Partners LP/Williams Partners Finance Corp. 7.25% 2/1/17 (g) | 6,820 | 7,229 | ||
159,222 | ||||
Entertainment/Film - 0.4% | ||||
Cinemark, Inc. 0% 3/15/14 (d) | 7,430 | 6,873 | ||
Livent, Inc. yankee 9.375% 10/15/04 (j) | 11,100 | 111 | ||
Marquee Holdings, Inc. 0% 8/15/14 (d) | 6,990 | 6,169 | ||
13,153 | ||||
Environmental - 1.5% | ||||
Allied Waste North America, Inc.: | ||||
7.25% 3/15/15 | 27,340 | 28,092 | ||
7.375% 4/15/14 | 21,790 | 22,117 | ||
50,209 | ||||
Food and Drug Retail - 2.6% | ||||
Ahold Finance USA, Inc. 8.25% 7/15/10 | 24,880 | 27,038 | ||
Albertsons, Inc. 8% 5/1/31 | 20,200 | 21,099 | ||
Nutritional Sourcing Corp. 10.125% 8/1/09 | 7,424 | 4,603 | ||
Rite Aid Corp.: | ||||
7.7% 2/15/27 | 12,345 | 10,617 | ||
8.625% 3/1/15 | 14,020 | 13,599 | ||
SUPERVALU, Inc. 7.5% 11/15/14 | 7,095 | 7,414 | ||
84,370 | ||||
Food/Beverage/Tobacco - 0.5% | ||||
AmeriQual Group LLC/AmeriQual Finance Corp. 9.5% 4/1/12 (g) | 3,000 | 3,105 | ||
Pierre Foods, Inc. 9.875% 7/15/12 | 2,240 | 2,330 | ||
Swift & Co. 10.125% 10/1/09 | 11,830 | 12,185 | ||
17,620 | ||||
Gaming - 0.4% | ||||
MTR Gaming Group, Inc. 9% 6/1/12 | 1,810 | 1,901 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
0% 1/15/13 (d) | 2,990 | 2,302 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Gaming - continued | ||||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: - continued | ||||
9% 1/15/12 | $ 1,760 | $ 1,822 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 6.625% 12/1/14 | 6,680 | 6,680 | ||
12,705 | ||||
Healthcare - 5.0% | ||||
Advanced Medical Optics, Inc. 7.5% 5/1/17 (g) | 1,990 | 2,042 | ||
AmeriPath Intermediate Holdings, Inc. 0% 2/15/14 pay-in-kind (g)(h) | 3,150 | 3,150 | ||
AmeriPath, Inc. 10.5% 4/1/13 | 6,900 | 7,513 | ||
Cardinal Health 409, Inc. 9.5% 4/15/15 pay-in-kind (g) | 7,080 | 7,257 | ||
Concentra Operating Corp. 9.125% 6/1/12 | 3,355 | 3,581 | ||
CRC Health Group, Inc. 10.75% 2/1/16 | 3,340 | 3,649 | ||
DaVita, Inc. 7.25% 3/15/15 | 6,105 | 6,227 | ||
Encore Medical Finance LLC 11.75% 11/15/14 (g) | 20,745 | 21,782 | ||
HCA, Inc. 6.375% 1/15/15 | 4,730 | 4,121 | ||
LifeCare Holdings, Inc. 9.25% 8/15/13 | 6,590 | 5,338 | ||
Multiplan, Inc. 10.375% 4/15/16 (g) | 3,660 | 3,907 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 (g) | 560 | 581 | ||
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13 | 9,190 | 9,741 | ||
Tenet Healthcare Corp.: | ||||
6.5% 6/1/12 | 14,200 | 13,171 | ||
7.375% 2/1/13 | 37,435 | 35,142 | ||
9.25% 2/1/15 | 11,960 | 11,945 | ||
9.875% 7/1/14 | 11,290 | 11,516 | ||
US Oncology Holdings, Inc. 9.7969% 3/15/12 pay-in-kind (g)(h) | 9,630 | 9,738 | ||
160,401 | ||||
Insurance - 1.4% | ||||
Provident Companies, Inc.: | ||||
7% 7/15/18 | 3,650 | 3,814 | ||
7.25% 3/15/28 | 17,830 | 18,748 | ||
UnumProvident Corp.: | ||||
6.75% 12/15/28 | 11,350 | 11,208 | ||
7.375% 6/15/32 | 9,190 | 9,863 | ||
USI Holdings Corp. 9.75% 5/15/15 (g) | 1,550 | 1,583 | ||
45,216 | ||||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Leisure - 3.0% | ||||
Festival Fun Parks LLC 10.875% 4/15/14 | $ 2,470 | $ 2,538 | ||
Six Flags, Inc.: | ||||
8.875% 2/1/10 | 1,355 | 1,377 | ||
9.625% 6/1/14 | 73,815 | 71,231 | ||
9.75% 4/15/13 | 23,580 | 23,108 | ||
98,254 | ||||
Metals/Mining - 2.5% | ||||
Aleris International, Inc. 9% 12/15/14 (g) | 4,910 | 5,229 | ||
Drummond Co., Inc. 7.375% 2/15/16 (g) | 9,205 | 8,906 | ||
FMG Finance Property Ltd. 10.625% 9/1/16 (g) | 13,835 | 16,152 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
8.25% 4/1/15 | 7,390 | 8,009 | ||
8.375% 4/1/17 | 21,580 | 23,630 | ||
Novelis, Inc. 7.25% 2/15/15 | 10,000 | 10,500 | ||
PNA Group, Inc. 10.75% 9/1/16 (g) | 6,790 | 7,486 | ||
79,912 | ||||
Paper - 1.3% | ||||
Georgia-Pacific Corp. 7.7% 6/15/15 | 10,645 | 10,911 | ||
Jefferson Smurfit Corp. U.S.: | ||||
7.5% 6/1/13 | 6,960 | 6,890 | ||
8.25% 10/1/12 | 5,000 | 5,075 | ||
Valassis Communications, Inc. 8.25% 3/1/15 (g) | 19,845 | 19,547 | ||
42,423 | ||||
Publishing/Printing - 0.2% | ||||
The Reader's Digest Association, Inc. 9% 2/15/17 (g) | 5,480 | 5,384 | ||
Restaurants - 0.3% | ||||
Sbarro, Inc. 10.375% 2/1/15 (g) | 1,120 | 1,173 | ||
Uno Restaurant Corp. 10% 2/15/11 (g) | 8,670 | 7,326 | ||
8,499 | ||||
Services - 2.0% | ||||
Aramark Corp. 8.5% 2/1/15 (g) | 3,640 | 3,804 | ||
Ashtead Capital, Inc. 9% 8/15/16 (g) | 5,960 | 6,422 | ||
Ashtead Holdings PLC 8.625% 8/1/15 (g) | 2,500 | 2,600 | ||
Cornell Companies, Inc. 10.75% 7/1/12 | 7,345 | 8,024 | ||
Education Management LLC/Education Management Finance Corp. 10.25% 6/1/16 | 4,020 | 4,382 | ||
H&E Equipment Services, Inc. 8.375% 7/15/16 | 3,060 | 3,312 | ||
Hydrochem Industrial Services, Inc. 9.25% 2/15/13 (g) | 5,150 | 5,227 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Services - continued | ||||
Language Line, Inc. 11.125% 6/15/12 | $ 4,610 | $ 4,910 | ||
Muzak LLC/Muzak Finance Corp. 10% 2/15/09 | 15,500 | 15,035 | ||
Neff Rent LLC/Neff Finance Corp. 11.25% 6/15/12 | 4,350 | 5,046 | ||
Rental Service Corp. 9.5% 12/1/14 (g) | 5,720 | 6,085 | ||
64,847 | ||||
Shipping - 0.7% | ||||
Navios Maritime Holdings, Inc. 9.5% 12/15/14 (g) | 8,730 | 9,167 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 11,965 | 12,444 | ||
21,611 | ||||
Specialty Retailing - 1.3% | ||||
General Nutrition Centers, Inc. 9.7875% 3/15/14 pay-in-kind (g)(h) | 14,050 | 14,032 | ||
Intcomex, Inc. 11.75% 1/15/11 | 6,260 | 6,417 | ||
Sally Holdings LLC 10.5% 11/15/16 (g) | 22,275 | 23,166 | ||
43,615 | ||||
Steels - 0.2% | ||||
Edgen Acquisition Corp. 9.875% 2/1/11 | 5,980 | 6,399 | ||
Tube City IMS Corp. 9.75% 2/1/15 (g) | 670 | 707 | ||
7,106 | ||||
Super Retail - 1.9% | ||||
Michaels Stores, Inc. 11.375% 11/1/16 (g) | 21,490 | 23,639 | ||
NBC Acquisition Corp. 0% 3/15/13 (d) | 12,830 | 10,777 | ||
Toys 'R' US, Inc.: | ||||
7.625% 8/1/11 | 7,035 | 6,815 | ||
7.875% 4/15/13 | 21,380 | 20,177 | ||
61,408 | ||||
Technology - 3.9% | ||||
Activant Solutions, Inc. 9.5% 5/1/16 | 2,310 | 2,287 | ||
Avago Technologies Finance Ltd.: | ||||
10.125% 12/1/13 | 19,280 | 21,063 | ||
11.875% 12/1/15 | 10,280 | 11,668 | ||
Conexant Systems, Inc. 9.11% 11/15/10 (h) | 4,280 | 4,387 | ||
Danka Business Systems PLC 11% 6/15/10 | 2,750 | 2,846 | ||
Freescale Semiconductor, Inc. 10.125% 12/15/16 (g) | 16,080 | 16,262 | ||
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co.: | ||||
6.875% 12/15/11 | 2,465 | 2,046 | ||
8.6049% 12/15/11 (h) | 3,840 | 3,322 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Technology - continued | ||||
Nortel Networks Corp.: | ||||
10.125% 7/15/13 (g) | $ 6,370 | $ 7,063 | ||
10.75% 7/15/16 (g) | 6,630 | 7,484 | ||
NXP BV 9.5% 10/15/15 (g) | 10,380 | 10,899 | ||
Open Solutions, Inc. 9.75% 2/1/15 (g) | 1,550 | 1,602 | ||
PGS Solutions, Inc. 9.625% 2/15/15 (g) | 2,530 | 2,562 | ||
Solectron Global Finance Ltd. 8% 3/15/16 | 2,190 | 2,212 | ||
SS&C Technologies, Inc. 11.75% 12/1/13 | 9,920 | 11,160 | ||
SunGard Data Systems, Inc. 10.25% 8/15/15 | 5,555 | 6,111 | ||
Viasystems, Inc. 10.5% 1/15/11 | 12,680 | 12,934 | ||
125,908 | ||||
Telecommunications - 6.4% | ||||
Broadview Networks Holdings, Inc. 11.375% 9/1/12 (g) | 8,660 | 9,266 | ||
Centennial Cellular Operating Co./Centennial Communications Corp. 10.125% 6/15/13 | 5,000 | 5,400 | ||
Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 | 6,680 | 6,914 | ||
Cincinnati Bell, Inc. 8.375% 1/15/14 | 3,095 | 3,157 | ||
Citizens Communications Co. 7.875% 1/15/27 (g) | 6,970 | 7,266 | ||
Cricket Communications, Inc. 9.375% 11/1/14 (g) | 6,920 | 7,396 | ||
Digicel Group Ltd. 8.875% 1/15/15 (g) | 11,500 | 11,270 | ||
Intelsat Ltd.: | ||||
6.5% 11/1/13 | 43,452 | 37,369 | ||
7.625% 4/15/12 | 30,225 | 28,412 | ||
11.25% 6/15/16 | 19,920 | 22,709 | ||
Level 3 Financing, Inc. 12.25% 3/15/13 | 6,100 | 7,130 | ||
MetroPCS Wireless, Inc. 9.25% 11/1/14 (g) | 13,840 | 14,740 | ||
Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (g) | 3,430 | 3,687 | ||
Qwest Capital Funding, Inc. 7.75% 2/15/31 | 14,425 | 14,335 | ||
Rural Cellular Corp. 9.75% 1/15/10 | 4,825 | 4,982 | ||
U.S. West Communications 6.875% 9/15/33 | 15,000 | 14,663 | ||
Windstream Corp. 8.625% 8/1/16 | 7,030 | 7,715 | ||
206,411 | ||||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
Textiles & Apparel - 1.7% | ||||
Hanesbrands, Inc. 8.735% 12/15/14 (g)(h) | $ 9,940 | $ 10,213 | ||
Levi Strauss & Co. 12.25% 12/15/12 | 39,715 | 43,488 | ||
53,701 | ||||
TOTAL NONCONVERTIBLE BONDS | 2,146,969 | |||
TOTAL CORPORATE BONDS (Cost $2,081,298) | 2,167,158 |
Common Stocks - 18.5% | |||
Shares | |||
Building Materials - 0.6% | |||
Armstrong World Industries, Inc. (a) | 71,033 | 3,623 | |
Owens Corning (a) | 481,722 | 14,765 | |
18,388 | |||
Cable TV - 0.5% | |||
Charter Communications, Inc. Class A (a) | 2,032,900 | 6,139 | |
Gray Television, Inc. | 134,070 | 1,431 | |
Virgin Media, Inc. | 281,530 | 7,103 | |
Virgin Media, Inc. warrants 1/10/11 (a) | 3 | 0 | |
14,673 | |||
Chemicals - 0.9% | |||
Celanese Corp. Class A | 800,000 | 26,536 | |
Huntsman Corp. (i) | 96,480 | 1,891 | |
28,427 | |||
Consumer Products - 1.6% | |||
Revlon, Inc. Class A (sub. vtg.) (a)(f) | 41,158,562 | 53,095 | |
Containers - 0.2% | |||
Anchor Glass Container Corp. (a) | 172,857 | 6,050 | |
Pliant Corp. (a) | 2,041 | 0 | |
Trivest 1992 Special Fund Ltd. (a)(i) | 3,037,732 | 15 | |
6,065 | |||
Electric Utilities - 1.7% | |||
AES Corp. (a) | 1,392,509 | 30,621 | |
Mirant Corp. (a) | 523,570 | 23,493 | |
54,114 | |||
Common Stocks - continued | |||
Shares | Value (000s) | ||
Energy - 1.6% | |||
Chesapeake Energy Corp. | 1,150,000 | $ 38,813 | |
El Paso Corp. | 850,900 | 12,764 | |
51,577 | |||
Gaming - 0.2% | |||
Station Casinos, Inc. | 89,000 | 7,743 | |
Healthcare - 1.7% | |||
DaVita, Inc. (a) | 956,946 | 52,259 | |
Service Corp. International | 272,300 | 3,308 | |
55,567 | |||
Leisure - 0.1% | |||
Six Flags, Inc. | 343,900 | 2,050 | |
Metals/Mining - 0.6% | |||
Alpha Natural Resources, Inc. (a) | 1,198,900 | 20,825 | |
Paper - 0.2% | |||
Temple-Inland, Inc. | 100,678 | 5,964 | |
Publishing/Printing - 0.7% | |||
Cenveo, Inc. (a) | 921,258 | 23,630 | |
Shipping - 3.0% | |||
Frontline Ltd. (NY Shares) (e) | 200,000 | 7,558 | |
Overseas Shipholding Group, Inc. | 373,400 | 26,437 | |
Ship Finance International Ltd. (NY Shares) | 511,328 | 15,207 | |
Teekay Shipping Corp. | 778,100 | 46,414 | |
95,616 | |||
Steels - 0.4% | |||
Reliance Steel & Aluminum Co. | 147,400 | 8,756 | |
United States Steel Corp. | 40,000 | 4,062 | |
12,818 | |||
Technology - 3.0% | |||
Advanced Micro Devices, Inc. (a) | 300,000 | 4,146 | |
Amkor Technology, Inc. (a) | 3,500,000 | 48,965 | |
Atmel Corp. (a) | 1,000,000 | 5,320 | |
Flextronics International Ltd. (a) | 2,665,000 | 29,715 | |
Viasystems Group, Inc. (a)(i) | 1,026,780 | 9,241 | |
97,387 | |||
Telecommunications - 1.5% | |||
ICO Global Communications Holdings Ltd. Class A (a) | 43,772 | 185 | |
McLeodUSA, Inc. | 4,914,174 | 36,856 | |
One Communications (a)(i) | 925,628 | 12,265 | |
49,306 | |||
Common Stocks - continued | |||
Shares | Value (000s) | ||
Textiles & Apparel - 0.0% | |||
Arena Brands Holding Corp. Class B (a)(i) | 42,253 | $ 308 | |
Pillowtex Corp. (a) | 490,256 | 0 | |
308 | |||
TOTAL COMMON STOCKS (Cost $453,002) | 597,553 | ||
Preferred Stocks - 3.5% | |||
Convertible Preferred Stocks - 3.2% | |||
Energy - 2.9% | |||
El Paso Corp. 4.99% | 49,100 | 64,540 | |
EXCO Resources, Inc. Series A1: | |||
11.00% (a)(i) | 2,173 | 21,730 | |
7.00% (a)(i) | 527 | 5,270 | |
91,540 | |||
Metals/Mining - 0.3% | |||
Freeport-McMoRan Copper & Gold, Inc. 6.75% | 89,300 | 9,677 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | 101,217 | ||
Nonconvertible Preferred Stocks - 0.3% | |||
Broadcasting - 0.1% | |||
Spanish Broadcasting System, Inc. Class B, 10.75% | 3,671 | 3,983 | |
Containers - 0.2% | |||
Pliant Corp. Series AA 13.00% | 18,036 | 6,313 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 10,296 | ||
TOTAL PREFERRED STOCKS (Cost $113,604) | 111,513 |
Floating Rate Loans - 2.7% | ||||
Principal Amount (000s) | ||||
Aerospace - 0.0% | ||||
DeCrane Aircraft Holdings, Inc. Tranche 2LN, term loan 12.35% 2/21/14 (h) | $ 250 | 251 | ||
Air Transportation - 0.0% | ||||
Delta Air Lines, Inc. Tranche 2LN, term loan 8.605% 4/25/14 (h) | 1,100 | 1,114 | ||
Floating Rate Loans - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Automotive - 1.0% | ||||
AM General LLC term loan 11.07% 4/17/12 (h) | $ 7,670 | $ 7,737 | ||
Delphi Corp. term loan 8.125% 12/31/07 (h) | 3,920 | 3,935 | ||
Ford Motor Co. term loan 8.36% 12/15/13 (h) | 20,828 | 20,932 | ||
32,604 | ||||
Building Materials - 0.1% | ||||
Masonite International Corp. term loan 7.35391% 4/5/13 (h) | 2,557 | 2,506 | ||
Cable TV - 0.1% | ||||
Wide Open West Finance LLC Tranche 2, term loan 10.36% 5/1/14 (h) | 1,770 | 1,797 | ||
Consumer Products - 0.2% | ||||
Amscan Holdings, Inc. Tranche 2, term loan 10.39% 12/23/13 (h) | 4,550 | 4,641 | ||
Containers - 0.0% | ||||
Solo Cup Co. term loan 11.57% 3/31/12 (h) | 680 | 694 | ||
Energy - 1.1% | ||||
Antero Resources Corp. Tranche 2LN, term loan 9.82% 4/12/14 (h) | 7,670 | 7,708 | ||
Forest Alaska Operating LLC term loan 11.82% 12/8/11 (h) | 20,890 | 20,890 | ||
Sandridge Energy, Inc. term loan 8.625% 4/1/15 (h) | 7,950 | 8,119 | ||
36,717 | ||||
Services - 0.0% | ||||
Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 11.375% 2/7/15 (h) | 1,175 | 1,184 | ||
Telecommunications - 0.2% | ||||
Paetec Communications, Inc. Tranche B, term loan 8.82% 2/28/13 (h) | 850 | 862 | ||
Wind Telecomunicazioni Spa term loan 12.6088% 12/12/11 pay-in-kind (h) | 6,209 | 6,294 | ||
7,156 | ||||
TOTAL FLOATING RATE LOANS (Cost $87,905) | 88,664 |
Money Market Funds - 7.0% | |||
Shares | |||
Fidelity Cash Central Fund, 5.29% (b) | 220,036,532 | 220,037 | |
Fidelity Securities Lending Cash Central Fund, 5.31% (b)(c) | 5,737,500 | 5,738 | |
TOTAL MONEY MARKET FUNDS (Cost $225,775) | 225,775 | ||
Cash Equivalents - 0.5% | |||
Maturity Amount (000s) | Value (000s) | ||
Investments in repurchase agreements in a joint trading account at 5.12%, dated 4/30/07 due 5/1/07 (Collateralized by U.S. Treasury Obligations) # | 16,820 | $ 16,818 | |
TOTAL INVESTMENT PORTFOLIO - 99.2% (Cost $2,978,402) | 3,207,481 | ||
NET OTHER ASSETS - 0.8% | 25,735 | ||
NET ASSETS - 100% | $ 3,233,216 |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security 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) Security or a portion of the security is on loan at period end. |
(f) Affiliated company |
(g) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $523,522,000 or 16.2% of net assets. |
(h) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(i) 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 $61,415,000 or 1.9% of net assets. |
(j) Non-income producing - Issuer is in default. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Arena Brands Holding Corp. Class B | 6/18/97 - 7/13/98 | $ 1,538 |
EXCO Resources, Inc. Series A1, 11.00% | 3/28/07 | $ 21,730 |
EXCO Resources, Inc. Series A1, 7.00% | 3/28/07 | $ 5,270 |
Huntsman Corp. | 4/30/03 | $ 690 |
ICO North America, Inc. 7.5% 8/15/09 | 8/12/05 - 2/14/07 | $ 10,783 |
One Communications | 11/18/04 - 6/29/06 | $ 4,418 |
Trivest 1992 Special Fund Ltd. | 7/30/92 | $ - |
Viasystems Group, Inc. | 2/13/04 | $ 20,664 |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value (000s) |
$16,818,000 due 5/01/07 at 5.12% | |
Banc of America Securities LLC | $ 2,569 |
Barclays Capital, Inc. | 5,729 |
Fortis Securities LLC | 3,672 |
Lehman Brothers, Inc. | 4,848 |
$ 16,818 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 4,442 |
Fidelity Securities Lending Cash Central Fund | 135 |
Total | $ 4,577 |
Other Affiliated Issuers |
An affiliated company is a company in which the fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows: |
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Value, |
Revlon, Inc. Class A (sub. vtg.) | $ 44,476 | $ 8,104 | $ - | $ - | $ 53,095 |
Income Tax Information |
At October 31, 2006, the fund had a capital loss carryforward of approximately $875,850,000 of which $396,932,000 and $478,918,000 will expire on October 31, 2009 and 2010, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | April 30, 2007 (Unaudited) | |
Assets | ||
Investment in securities, at value (including securities loaned of $5,669 and repurchase agreements of $16,818) - See accompanying schedule: Unaffiliated issuers (cost $2,674,050) | $ 2,928,611 | |
Fidelity Central Funds (cost $225,775) | 225,775 | |
Other affiliated issuers (cost $78,577) | 53,095 | |
Total Investments (cost $2,978,402) | $ 3,207,481 | |
Receivable for investments sold | 7,006 | |
Receivable for fund shares sold | 10,109 | |
Dividends receivable | 32 | |
Interest receivable | 46,660 | |
Distributions receivable from Fidelity Central Funds | 990 | |
Prepaid expenses | 8 | |
Other receivables | 149 | |
Total assets | 3,272,435 | |
Liabilities | ||
Payable to custodian bank | $ 57 | |
Payable for investments purchased | 21,070 | |
Payable for fund shares redeemed | 6,909 | |
Distributions payable | 2,559 | |
Accrued management fee | 1,501 | |
Distribution fees payable | 715 | |
Other affiliated payables | 551 | |
Other payables and accrued expenses | 119 | |
Collateral on securities loaned, at value | 5,738 | |
Total liabilities | 39,219 | |
Net Assets | $ 3,233,216 | |
Net Assets consist of: | ||
Paid in capital | $ 3,827,457 | |
Undistributed net investment income | 14,070 | |
Accumulated undistributed net realized gain (loss) on investments | (837,390) | |
Net unrealized appreciation (depreciation) on investments | 229,079 | |
Net Assets | $ 3,233,216 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | April 30, 2007 (Unaudited) | |
Calculation of Maximum Offering Price | $ 10.92 | |
Maximum offering price per share (100/96.00 of $10.92) | $ 11.38 | |
Class T: | $ 10.96 | |
Maximum offering price per share (100/96.00 of $10.96) | $ 11.42 | |
Class B: | $ 10.88 | |
Class C: | $ 10.91 | |
Institutional Class: | $ 10.52 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Amounts in thousands | Six months ended April 30, 2007 (Unaudited) | |
Investment Income | ||
Dividends | $ 4,121 | |
Interest | 98,547 | |
Income from Fidelity Central Funds | 4,577 | |
Total income | 107,245 | |
Expenses | ||
Management fee | $ 8,424 | |
Transfer agent fees | 2,707 | |
Distribution fees | 3,934 | |
Accounting and security lending fees | 493 | |
Custodian fees and expenses | 24 | |
Independent trustees' compensation | 4 | |
Registration fees | 110 | |
Audit | 45 | |
Legal | 27 | |
Miscellaneous | 9 | |
Total expenses before reductions | 15,777 | |
Expense reductions | (44) | 15,733 |
Net investment income | 91,512 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 45,119 | |
Total net realized gain (loss) | 45,119 | |
Change in net unrealized appreciation (depreciation) on investment securities | 191,219 | |
Net gain (loss) | 236,338 | |
Net increase (decrease) in net assets resulting from operations | $ 327,850 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Amounts in thousands | Six months ended April 30, 2007 | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 91,512 | $ 166,022 |
Net realized gain (loss) | 45,119 | 68,572 |
Change in net unrealized appreciation (depreciation) | 191,219 | 56,134 |
Net increase (decrease) in net assets resulting | 327,850 | 290,728 |
Distributions to shareholders from net investment income | (104,274) | (158,973) |
Distributions to shareholders from net realized gain | - | (7,252) |
Total distributions | (104,274) | (166,225) |
Share transactions - net increase (decrease) | 332,332 | 279,191 |
Redemption fees | 131 | 336 |
Total increase (decrease) in net assets | 556,039 | 404,030 |
Net Assets | ||
Beginning of period | 2,677,177 | 2,273,147 |
End of period (including undistributed net investment income of $14,070 and undistributed net investment income of $26,832, respectively) | $ 3,233,216 | $ 2,677,177 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 10.14 | $ 9.63 | $ 9.67 | $ 9.52 | $ 6.42 | $ 8.18 |
Income from Investment Operations | ||||||
Net investment income E | .332 | .670 | .693 | .793 | .859 | .766 J |
Net realized and unrealized gain (loss) | .863 | .507 | .129 | .315 | 2.883 | (1.860) J |
Total from investment operations | 1.195 | 1.177 | .822 | 1.108 | 3.742 | (1.094) |
Distributions from net investment income | (.375) | (.638) | (.864) | (.960) | (.642) | (.666) |
Distributions from net realized gain | - | (.030) | - | - | - | - |
Total distributions | (.375) | (.668) | (.864) | (.960) | (.642) | (.666) |
Redemption fees added to paid in capital E | - I | .001 | .002 | .002 | - | - |
Net asset value, end of period | $ 10.96 | $ 10.14 | $ 9.63 | $ 9.67 | $ 9.52 | $ 6.42 |
Total Return B,C,D | 11.94% | 12.62% | 8.61% | 12.24% | 60.26% | (14.30)% |
Ratios to Average Net Assets F,H | ||||||
Expenses before reductions | 1.03% A | 1.04% | 1.06% | 1.06% | 1.06% | 1.08% |
Expenses net of fee waivers, if any | 1.03% A | 1.04% | 1.06% | 1.06% | 1.06% | 1.08% |
Expenses net of all reductions | 1.03% A | 1.04% | 1.06% | 1.06% | 1.06% | 1.08% |
Net investment income | 6.26% A | 6.77% | 7.02% | 8.30% | 10.38% | 10.05% J |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 1,215 | $ 1,083 | $ 1,003 | $ 1,245 | $ 1,398 | $ 1,070 |
Portfolio turnover rate G | 46% A | 51% | 53% | 67% | 111% | 85% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Amount represents less than $.001 per share. J As a result of a revision to reflect accretion of market discount using the interest method, certain amounts for the year ended October 31, 2002 have been reclassified from what was previously reported. The impact of this change was a decrease to net investment income (loss) of $0.068 per share with a corresponding increase to net realized and unrealized gain (loss) per share. The ratio of net investment income (loss) to average net assets decreased from 10.95% to 10.05%. The reclassification has no impact on the net assets of the Fund. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 10.06 | $ 9.56 | $ 9.61 | $ 9.47 | $ 6.38 | $ 8.15 |
Income from Investment Operations | ||||||
Net investment income E | .291 | .597 | .622 | .723 | .802 | .712 J |
Net realized and unrealized gain (loss) | .867 | .501 | .123 | .310 | 2.873 | (1.868) J |
Total from investment operations | 1.158 | 1.098 | .745 | 1.033 | 3.675 | (1.156) |
Distributions from net investment income | (.338) | (.569) | (.797) | (.895) | (.585) | (.614) |
Distributions from net realized gain | - | (.030) | - | - | - | - |
Total distributions | (.338) | (.599) | (.797) | (.895) | (.585) | (.614) |
Redemption fees added to paid in capital E | - I | .001 | .002 | .002 | - | - |
Net asset value, end of period | $ 10.88 | $ 10.06 | $ 9.56 | $ 9.61 | $ 9.47 | $ 6.38 |
Total Return B,C,D | 11.64% | 11.82% | 7.82% | 11.44% | 59.42% | (15.07)% |
Ratios to Average Net Assets F,H | ||||||
Expenses before reductions | 1.75% A | 1.74% | 1.75% | 1.74% | 1.75% | 1.78% |
Expenses net of fee waivers, if any | 1.75% A | 1.74% | 1.74% | 1.74% | 1.75% | 1.78% |
Expenses net of all reductions | 1.75% A | 1.74% | 1.74% | 1.74% | 1.75% | 1.77% |
Net investment income | 5.54% A | 6.06% | 6.33% | 7.62% | 9.69% | 9.36% J |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 168 | $ 202 | $ 313 | $ 498 | $ 613 | $ 426 |
Portfolio turnover rate G | 46% A | 51% | 53% | 67% | 111% | 85% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Amount represents less than $.001 per share. J As a result of a revision to reflect accretion of market discount using the interest method, certain amounts for the year ended October 31, 2002 have been reclassified from what was previously reported. The impact of this change was a decrease to net investment income (loss) of $0.068 per share with a corresponding increase to net realized and unrealized gain (loss) per share. The ratio of net investment income (loss) to average net assets decreased from 10.25% to 9.36%. The reclassification has no impact on the net assets of the Fund. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 10.09 | $ 9.59 | $ 9.63 | $ 9.49 | $ 6.40 | $ 8.16 |
Income from Investment Operations | ||||||
Net investment income E | .289 | .592 | .615 | .718 | .801 | .708 J |
Net realized and unrealized gain (loss) | .865 | .500 | .133 | .309 | 2.868 | (1.859) J |
Total from investment operations | 1.154 | 1.092 | .748 | 1.027 | 3.669 | (1.151) |
Distributions from net investment income | (.334) | (.563) | (.790) | (.889) | (.579) | (.609) |
Distributions from net realized gain | - | (.030) | - | - | - | - |
Total distributions | (.334) | (.593) | (.790) | (.889) | (.579) | (.609) |
Redemption fees added to paid in capital E | - I | .001 | .002 | .002 | - | - |
Net asset value, end of period | $ 10.91 | $ 10.09 | $ 9.59 | $ 9.63 | $ 9.49 | $ 6.40 |
Total Return B,C,D | 11.57% | 11.72% | 7.83% | 11.33% | 59.11% | (14.98)% |
Ratios to Average Net Assets F,H | ||||||
Expenses before reductions | 1.81% A | 1.80% | 1.82% | 1.81% | 1.82% | 1.84% |
Expenses net of fee waivers, if any | 1.81% A | 1.80% | 1.82% | 1.81% | 1.82% | 1.84% |
Expenses net of all reductions | 1.81% A | 1.80% | 1.82% | 1.81% | 1.82% | 1.84% |
Net investment income | 5.49% A | 6.01% | 6.26% | 7.55% | 9.62% | 9.29% J |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 232 | $ 198 | $ 182 | $ 193 | $ 219 | $ 132 |
Portfolio turnover rate G | 46% A | 51% | 53% | 67% | 111% | 85% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Amount represents less than $.001 per share. J As a result of a revision to reflect accretion of market discount using the interest method, certain amounts for the year ended October 31, 2002 have been reclassified from what was previously reported. The impact of this change was a decrease to net investment income (loss) of $0.068 per share with a corresponding increase to net realized and unrealized gain (loss) per share. The ratio of net investment income (loss) to average net assets decreased from 10.19% to 9.29%. The reclassification has no impact on the net assets of the Fund. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.74 | $ 9.28 | $ 9.35 | $ 9.24 | $ 6.24 | $ 7.97 |
Income from Investment Operations | ||||||
Net investment income D | .329 | .665 | .691 | .786 | .867 | .759 I |
Net realized and unrealized gain (loss) | .838 | .485 | .125 | .305 | 2.796 | (1.805) I |
Total from investment operations | 1.167 | 1.150 | .816 | 1.091 | 3.663 | (1.046) |
Distributions from net investment income | (.387) | (.661) | (.888) | (.983) | (.663) | (.684) |
Distributions from net realized gain | - | (.030) | - | - | - | - |
Total distributions | (.387) | (.691) | (.888) | (.983) | (.663) | (.684) |
Redemption fees added to paid in capital D | - H | .001 | .002 | .002 | - | - |
Net asset value, end of period | $ 10.52 | $ 9.74 | $ 9.28 | $ 9.35 | $ 9.24 | $ 6.24 |
Total Return B,C | 12.15% | 12.83% | 8.85% | 12.46% | 60.82% | (14.09)% |
Ratios to Average Net Assets E,G | ||||||
Expenses before reductions | .82% A | .81% | .81% | .83% | .82% | .85% |
Expenses net of fee waivers, if any | .82% A | .81% | .81% | .83% | .82% | .85% |
Expenses net of all reductions | .81% A | .81% | .81% | .83% | .82% | .85% |
Net investment income | 6.48% A | 6.99% | 7.26% | 8.53% | 10.62% | 10.28% I |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 898 | $ 610 | $ 351 | $ 245 | $ 218 | $ 82 |
Portfolio turnover rate F | 46% A | 51% | 53% | 67% | 111% | 85% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H Amount represents less than $.001 per share. I As a result of a revision to reflect accretion of market discount using the interest method, certain amounts for the year ended October 31, 2002 have been reclassified from what was previously reported. The impact of this change was a decrease to net investment income (loss) of $0.067 per share with a corresponding increase to net realized and unrealized gain (loss) per share. The ratio of net investment income (loss) to average net assets decreased from 11.18% to 10.28%. The reclassification has no impact on the net assets of the Fund. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2007 (Unaudited)
(Amounts in thousands except ratios)
1. Organization.
Fidelity Advisor High Income Advantage 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.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request. In addition, the financial statements of the Fidelity Central Funds are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
3. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Security Valuation - continued
independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. 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
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to prior period premium and discount on debt securities, defaulted bonds, market discount, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 336,918 |
Unrealized depreciation | (92,248) |
Net unrealized appreciation (depreciation) | $ 244,670 |
Cost for federal income tax purposes | $ 2,962,811 |
Short-Term Trading (Redemption) Fees. Shares held in the Fund less than 90 days are subject to a redemption fee equal to 1.00% of the proceeds of the redeemed shares. All redemption fees, including any estimated redemption fees paid by FMR, are retained by the Fund and accounted for as an addition to paid in capital.
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to
Semiannual Report
4. Operating Policies - continued
Repurchase Agreements - continued
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.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $863,695 and $636,646, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .57% 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan - continued
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% | $ 542 | $ 20 |
Class T | 0% | .25% | 1,447 | 44 |
Class B | .65% | .25% | 868 | 629 |
Class C | .75% | .25% | 1,077 | 198 |
$ 3,934 | $ 891 |
On January 18, 2007, the Board of Trustees approved an increase in Class A's Service fee from .15% to .25 %, effective April 1, 2007.
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A and Class T shares (4.75% for Class A and 3.50% for Class T shares prior to April 1, 2007), 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, 1.00% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 137 |
Class T | 45 |
Class B* | 184 |
Class C* | 16 |
$ 382 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
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 | $ 645 | .20 |
Class T | 925 | .16 |
Class B | 217 | .23 |
Class C | 190 | .18 |
Institutional Class | 730 | .19 |
$ 2,707 |
* 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.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $4 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
8. Security Lending - continued
disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Net income from lending portfolio securities during the period amounted to $135.
9. 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, including commitment fees, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
Expense | Reimbursement | |
Class B | 1.75% | $ 4 |
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $4. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | |
Class A | $ 4 |
Class T | 4 |
Class B | 1 |
Class C | 1 |
Institutional Class | 10 |
$ 20 |
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Semiannual Report
10. Other - continued
In September 2006, a transfer agent of the Fund, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund. FIIOC has reimbursed the Fund for related audit and legal expenses and, beginning in June 2007, remediated affected shareholders.
The United States Securities and Exchange Commission ("SEC") is conducting an investigation of FMR (covering the years 2002 to 2004) arising from gifts, gratuities and business entertainment provided by certain brokers to certain individuals who were employed on FMR's domestic equity trading desk during that period. FMR is in discussions with the SEC staff regarding the possible resolution of the matter, but as of period-end no final resolution has been reached.
In December 2006, the Independent Trustees completed their own investigation of the matter with the assistance of independent counsel. The Independent Trustees and FMR agree that, despite the absence of proof that the Fidelity mutual funds experienced diminished execution quality as a result of the improper receipt of gifts and business entertainment, the conduct at issue was serious and is worthy of redress. Accordingly, the Independent Trustees have requested and FMR has agreed to pay $42 million to Fidelity mutual funds, plus interest to be determined at the time that payment is made. A method of allocating this payment among the funds has not yet been determined. The total payment to the Fund is not anticipated to have a material impact on the Fund's net assets. In addition, FMR reimbursed related legal expenses which are recorded in the accompanying Statement of Operations as an expense reduction.
On April 19, 2007, the Board of Trustees approved an Agreement and Plan of Reorganization whereby the Fund will reorganize into Fidelity Advisor Series I, effective on or about June 29, 2007. The reorganization will not impact the Fund's investment strategies or FMR's management of the Fund. All legal and other expenses associated with the reorganization will be paid by FMR.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 22,639 | $ 32,695 |
Class T | 40,506 | 67,200 |
Class B | 6,244 | 15,265 |
Class C | 6,726 | 10,986 |
Institutional Class | 28,159 | 32,827 |
Total | $ 104,274 | $ 158,973 |
From net realized gain | ||
Class A | $ - | $ 1,358 |
Class T | - | 3,190 |
Class B | - | 948 |
Class C | - | 578 |
Institutional Class | - | 1,178 |
Total | $ - | $ 7,252 |
12. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended April 30, | Year ended | Six months ended April 30, | Year ended | |
Class A | ||||
Shares sold | 14,834 | 25,729 | $ 158,361 | $ 254,114 |
Reinvestment of distributions | 1,516 | 2,397 | 16,138 | 23,672 |
Shares redeemed | (8,094) | (14,626) | (86,049) | (144,291) |
Net increase (decrease) | 8,256 | 13,500 | $ 88,450 | $ 133,495 |
Class T | ||||
Shares sold | 14,592 | 29,261 | $ 156,225 | $ 288,708 |
Reinvestment of distributions | 3,180 | 5,903 | 33,953 | 58,456 |
Shares redeemed | (13,779) | (32,456) | (147,015) | (320,819) |
Net increase (decrease) | 3,993 | 2,708 | $ 43,163 | $ 26,345 |
Class B | ||||
Shares sold | 1,790 | 3,183 | $ 18,886 | $ 31,241 |
Reinvestment of distributions | 373 | 1,058 | 3,949 | 10,392 |
Shares redeemed | (6,850) | (16,913) | (72,646) | (166,272) |
Net increase (decrease) | (4,687) | (12,672) | $ (49,811) | $ (124,639) |
Semiannual Report
12. Share Transactions - continued
Shares | Dollars | |||
Six months ended April 30, | Year ended | Six months ended April 30, | Year ended | |
Class C | ||||
Shares sold | 3,744 | 5,331 | $ 39,931 | $ 52,542 |
Reinvestment of distributions | 387 | 715 | 4,116 | 7,048 |
Shares redeemed | (2,504) | (5,406) | (26,598) | (53,306) |
Net increase (decrease) | 1,627 | 640 | $ 17,449 | $ 6,284 |
Institutional Class | ||||
Shares sold | 24,264 | 37,402 | $ 249,010 | $ 357,166 |
Reinvestment of distributions | 2,477 | 3,242 | 25,411 | 30,912 |
Shares redeemed | (4,025) | (15,826) | (41,340) | (150,372) |
Net increase (decrease) | 22,716 | 24,818 | $ 233,081 | $ 237,706 |
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor High Income Advantage Fund
On April 19, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund in connection with reorganizing the fund from one Trust to another. The Board reached this determination because the contractual terms of and fees payable under the fund's Advisory Contracts are identical to those in the fund's current Advisory Contracts. The Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board considered that it approved the Advisory Contracts for the fund during the past year and that it will again consider renewal of the Advisory Contracts in June 2007.
Because the Board was approving Advisory Contracts with terms identical to the current Advisory Contracts, it did not consider the fund's investment performance, competitiveness of management fee and total expenses, costs of services and profitability, or economies of scale to be significant factors in its decision.
In connection with its future renewal of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent, and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the fund's management fee and total expenses; (iii) the costs of the services and profitability, including 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; and (iv) 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.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be approved, without modification, as part of the process of reorganizing the fund from one Trust to another.
Semiannual Report
Semiannual Report
Investment Adviser
Fidelity Management & Research Company Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Research & Analysis Company (formerly 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
The Bank of New York
New York, NY
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
HYI-USAN-0607
1.784887.104
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
High Income
Fund - Class A, Class T, Class B
and Class C
Semiannual Report
April 30, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Board Approval of Investment Advisory Contracts and Management Fees | ||
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (November 1, 2006 to April 30, 2007).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,065.40 | $ 5.12** |
HypotheticalA | $ 1,000.00 | $ 1,019.84 | $ 5.01** |
Class T | |||
Actual | $ 1,000.00 | $ 1,065.00 | $ 5.63 |
HypotheticalA | $ 1,000.00 | $ 1,019.34 | $ 5.51 |
Class B | |||
Actual | $ 1,000.00 | $ 1,060.50 | $ 8.94 |
HypotheticalA | $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Class C | |||
Actual | $ 1,000.00 | $ 1,060.00 | $ 9.45 |
HypotheticalA | $ 1,000.00 | $ 1,015.62 | $ 9.25 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,066.10 | $ 4.35 |
HypotheticalA | $ 1,000.00 | $ 1,020.58 | $ 4.26 |
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).
** If fees and changes to voluntary expense limitations, effective April 1, 2007 had been in effect during the entire period, the annualized expense ratio would have been 1.08% and the expenses paid in the actual and hypothetical examples above would have been $5.53 and $5.41, respectively.
Annualized | |
Class A | 1.00% |
Class T | 1.10% |
Class B | 1.75% |
Class C | 1.85% |
Institutional Class | .85% |
Semiannual Report
Investment Changes
Top Five Holdings as of April 30, 2007 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
Ford Motor Credit Co. | 2.4 | 1.6 |
Level 3 Financing, Inc. | 2.1 | 1.0 |
Intelsat Ltd. | 1.9 | 2.5 |
MGM Mirage, Inc. | 1.6 | 1.2 |
Georgia-Pacific Corp. | 1.6 | 1.3 |
9.6 | ||
Top Five Market Sectors as of April 30, 2007 | ||
% of fund's | % of fund's net assets | |
Energy | 9.1 | 8.1 |
Telecommunications | 8.6 | 8.7 |
Healthcare | 6.8 | 5.3 |
Technology | 6.6 | 10.5 |
Gaming | 5.9 | 6.5 |
Quality Diversification (% of fund's net assets) | |||||||
As of April 30, 2007 * | As of October 31, 2006 ** | ||||||
![]() | AAA,AA,A 0.6% | ![]() | AAA,AA,A 0.7% | ||||
![]() | BBB 0.8% | ![]() | BBB 0.5% | ||||
![]() | BB 34.5% | ![]() | BB 35.7% | ||||
![]() | B 43.9% | ![]() | B 42.5% | ||||
![]() | CCC,CC,C 11.2% | ![]() | CCC,CC,C 13.3% | ||||
![]() | Not Rated 2.1% | ![]() | Not Rated 1.7% | ||||
![]() | Equities 0.3% | ![]() | Equities 0.0% | ||||
![]() | 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. |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2007 * | As of October 31, 2006 ** | ||||||
![]() | Nonconvertible | ![]() | Nonconvertible | ||||
![]() | Convertible Bonds, Preferred Stocks 0.3% | ![]() | Convertible Bonds, Preferred Stocks 0.0% | ||||
![]() | Foreign Government | ![]() | Foreign Government | ||||
![]() | Floating Rate Loans 8.5% | ![]() | Floating Rate Loans 5.6% | ||||
![]() | Other Investments 0.0% | ![]() | Other Investments 0.2% | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 14.8% | **Foreign investments | 16.7% |
Semiannual Report
Investments April 30, 2007 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 84.3% | ||||
Principal Amount | Value | |||
Aerospace - 0.8% | ||||
Bombardier, Inc.: | ||||
6.75% 5/1/12 (c) | $ 860,000 | $ 862,150 | ||
7.45% 5/1/34 (c) | 1,300,000 | 1,254,500 | ||
8% 11/15/14 (c) | 500,000 | 526,250 | ||
L-3 Communications Corp. 7.625% 6/15/12 | 1,770,000 | 1,831,950 | ||
4,474,850 | ||||
Air Transportation - 2.0% | ||||
American Airlines, Inc. pass thru trust certificates: | ||||
6.817% 5/23/11 | 3,100,000 | 3,157,970 | ||
7.324% 4/15/11 | 960,000 | 969,600 | ||
8.608% 10/1/12 | 200,000 | 211,500 | ||
AMR Corp. 9% 8/1/12 | 775,000 | 811,813 | ||
Continental Airlines, Inc. 7.339% 4/19/14 | 420,000 | 426,825 | ||
Continental Airlines, Inc.: | ||||
6.903% 4/19/22 | 260,000 | 262,925 | ||
7.875% 7/2/18 | 192,909 | 200,626 | ||
9.558% 9/1/19 | 232,796 | 258,985 | ||
Continental Airlines, Inc. pass thru trust certificates: | ||||
8.312% 10/2/12 | 115,174 | 117,190 | ||
8.388% 5/1/22 | 221,691 | 234,992 | ||
9.798% 4/1/21 | 3,444,668 | 3,823,581 | ||
10,476,007 | ||||
Automotive - 4.5% | ||||
Ford Motor Co.: | ||||
7.45% 7/16/31 | 1,115,000 | 882,244 | ||
9.98% 2/15/47 | 540,000 | 495,450 | ||
Ford Motor Credit Co.: | ||||
7% 10/1/13 | 4,055,000 | 3,842,113 | ||
7.25% 10/25/11 | 1,960,000 | 1,919,795 | ||
8% 12/15/16 | 1,665,000 | 1,623,375 | ||
8.105% 1/13/12 (d) | 2,130,000 | 2,106,038 | ||
9.8056% 4/15/12 (d) | 515,000 | 550,406 | ||
10.6049% 6/15/11 (d) | 2,608,000 | 2,816,640 | ||
General Motors Acceptance Corp.: | ||||
5.625% 5/15/09 | 680,000 | 670,444 | ||
6.75% 12/1/14 | 1,665,000 | 1,640,025 | ||
6.875% 9/15/11 | 770,000 | 772,888 | ||
8% 11/1/31 | 4,810,000 | 5,170,750 | ||
GMAC LLC 6% 12/15/11 | 1,050,000 | 1,019,813 | ||
23,509,981 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Banks and Thrifts - 0.6% | ||||
Western Financial Bank 9.625% 5/15/12 | $ 3,065,000 | $ 3,323,845 | ||
Broadcasting - 0.4% | ||||
Nexstar Broadcasting, Inc. 7% 1/15/14 | 1,355,000 | 1,314,350 | ||
Nexstar Finance Holdings LLC/Nexstar Finance Holdings, Inc. 0% 4/1/13 (b) | 710,000 | 697,575 | ||
2,011,925 | ||||
Building Materials - 0.5% | ||||
Anixter International, Inc. 5.95% 3/1/15 | 1,130,000 | 1,062,200 | ||
Belden CDT, Inc. 7% 3/15/17 (c) | 830,000 | 848,675 | ||
General Cable Corp.: | ||||
7.125% 4/1/17 (c) | 220,000 | 221,100 | ||
7.725% 4/1/15 (c)(d) | 550,000 | 555,500 | ||
2,687,475 | ||||
Cable TV - 3.6% | ||||
Cablevision Systems Corp. 9.82% 4/1/09 (d) | 1,525,000 | 1,612,688 | ||
Charter Communications Holdings I LLC: | ||||
9.92% 4/1/14 | 1,305,000 | 1,220,175 | ||
10% 5/15/14 | 1,320,000 | 1,227,600 | ||
11.125% 1/15/14 | 1,005,000 | 974,850 | ||
12.125% 1/15/15 | 860,000 | 860,000 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 10.25% 9/15/10 | 665,000 | 708,225 | ||
DirecTV Holdings LLC/DirecTV Financing, Inc. 6.375% 6/15/15 | 230,000 | 220,800 | ||
EchoStar Communications Corp.: | ||||
5.75% 10/1/08 | 480,000 | 480,000 | ||
6.625% 10/1/14 | 510,000 | 516,375 | ||
7% 10/1/13 | 2,190,000 | 2,274,863 | ||
7.125% 2/1/16 | 2,115,000 | 2,199,600 | ||
Kabel Deutschland GmbH 10.625% 7/1/14 | 1,475,000 | 1,652,000 | ||
NTL Cable PLC: | ||||
8.75% 4/15/14 | 970,000 | 1,018,500 | ||
9.125% 8/15/16 | 925,000 | 989,750 | ||
Umbrella Acquisition, Inc. 9.75% 3/15/15 pay-in-kind (c) | 3,105,000 | 3,124,562 | ||
19,079,988 | ||||
Capital Goods - 1.3% | ||||
Case New Holland, Inc. 7.125% 3/1/14 | 1,020,000 | 1,068,450 | ||
Leucadia National Corp.: | ||||
7% 8/15/13 | 1,840,000 | 1,849,200 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Capital Goods - continued | ||||
Leucadia National Corp.: - continued | ||||
7.125% 3/15/17 (c) | $ 3,080,000 | $ 3,064,600 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 1,045,000 | 1,071,125 | ||
7,053,375 | ||||
Chemicals - 3.7% | ||||
Chemtura Corp. 6.875% 6/1/16 | 1,385,000 | 1,378,075 | ||
Equistar Chemicals LP 7.55% 2/15/26 | 775,000 | 759,500 | ||
Equistar Chemicals LP/Equistar Funding Corp.: | ||||
8.75% 2/15/09 | 430,000 | 449,350 | ||
10.125% 9/1/08 | 420,000 | 443,625 | ||
Lyondell Chemical Co.: | ||||
8% 9/15/14 | 1,150,000 | 1,208,938 | ||
8.25% 9/15/16 | 1,150,000 | 1,234,813 | ||
Millennium America, Inc. 9.25% 6/15/08 | 970,000 | 1,006,375 | ||
Momentive Performance Materials, Inc. 9.75% 12/1/14 (c) | 3,290,000 | 3,470,950 | ||
Nalco Co. 7.75% 11/15/11 | 1,155,000 | 1,185,319 | ||
Nell AF Sarl 8.375% 8/15/15 (c) | 2,810,000 | 2,929,425 | ||
NOVA Chemicals Corp.: | ||||
7.4% 4/1/09 | 820,000 | 838,450 | ||
8.5019% 11/15/13 (d) | 865,000 | 880,138 | ||
Phibro Animal Health Corp.: | ||||
10% 8/1/13 (c) | 960,000 | 1,027,200 | ||
13% 8/1/14 (c) | 1,205,000 | 1,289,350 | ||
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 | 1,465,000 | 1,567,550 | ||
19,669,058 | ||||
Consumer Products - 0.1% | ||||
Jostens Holding Corp. 0% 12/1/13 (b) | 680,000 | 605,200 | ||
Containers - 0.9% | ||||
Berry Plastics Holding Corp. 8.875% 9/15/14 | 515,000 | 529,163 | ||
BWAY Corp. 10% 10/15/10 | 2,610,000 | 2,733,975 | ||
Greif Brothers Corp. 6.75% 2/1/17 (c) | 1,530,000 | 1,545,300 | ||
4,808,438 | ||||
Diversified Financial Services - 0.6% | ||||
E*TRADE Financial Corp.: | ||||
7.375% 9/15/13 | 515,000 | 535,600 | ||
7.875% 12/1/15 | 1,030,000 | 1,111,113 | ||
8% 6/15/11 | 1,310,000 | 1,375,500 | ||
3,022,213 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Diversified Media - 1.5% | ||||
Affinion Group, Inc. 11.5% 10/15/15 | $ 1,285,000 | $ 1,416,713 | ||
LBI Media Holdings, Inc. 0% 10/15/13 (b) | 1,240,000 | 1,134,600 | ||
LBI Media, Inc. 10.125% 7/15/12 | 1,020,000 | 1,073,550 | ||
Liberty Media Corp. 8.25% 2/1/30 | 250,000 | 250,612 | ||
Nielsen Finance LLC/Co.: | ||||
0% 8/1/16 (b)(c) | 1,625,000 | 1,174,063 | ||
10% 8/1/14 (c) | 885,000 | 969,075 | ||
Quebecor Media, Inc. 7.75% 3/15/16 | 2,040,000 | 2,131,800 | ||
8,150,413 | ||||
Electric Utilities - 2.3% | ||||
AES Corp. 9.375% 9/15/10 | 875,000 | 957,031 | ||
AES Gener SA 7.5% 3/25/14 | 2,995,000 | 3,189,675 | ||
Aquila, Inc. 14.875% 7/1/12 | 885,000 | 1,150,500 | ||
Mirant Americas Generation LLC 8.5% 10/1/21 | 465,000 | 478,950 | ||
NRG Energy, Inc.: | ||||
7.25% 2/1/14 | 430,000 | 443,975 | ||
7.375% 2/1/16 | 645,000 | 670,800 | ||
7.375% 1/15/17 | 430,000 | 448,275 | ||
NSG Holdings II, LLC 7.75% 12/15/25 (c) | 1,410,000 | 1,448,775 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (c) | 1,851,539 | 1,870,054 | ||
Utilicorp Canada Finance Corp. 7.75% 6/15/11 | 1,550,000 | 1,637,188 | ||
Utilicorp United, Inc. 9.95% 2/1/11 (d) | 29,000 | 31,755 | ||
12,326,978 | ||||
Energy - 8.4% | ||||
Atlas Pipeline Partners LP 8.125% 12/15/15 | 1,440,000 | 1,483,200 | ||
Chaparral Energy, Inc.: | ||||
8.5% 12/1/15 | 1,010,000 | 1,022,625 | ||
8.875% 2/1/17 (c) | 660,000 | 674,850 | ||
Chesapeake Energy Corp.: | ||||
6.5% 8/15/17 | 2,780,000 | 2,766,100 | ||
6.875% 1/15/16 | 1,390,000 | 1,388,263 | ||
7.625% 7/15/13 | 1,850,000 | 1,963,313 | ||
7.75% 1/15/15 | 1,225,000 | 1,280,125 | ||
Complete Production Services, Inc. 8% 12/15/16 (c) | 1,540,000 | 1,593,900 | ||
Energy Partners Ltd.: | ||||
9.75% 4/15/14 (c) | 990,000 | 1,003,613 | ||
10.48% 4/15/13 (c)(d) | 1,090,000 | 1,103,625 | ||
Forest Oil Corp.: | ||||
7.75% 5/1/14 | 540,000 | 551,475 | ||
8% 12/15/11 | 540,000 | 564,300 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Energy - continued | ||||
Hanover Compressor Co.: | ||||
8.625% 12/15/10 | $ 630,000 | $ 656,775 | ||
9% 6/1/14 | 685,000 | 738,088 | ||
Hanover Equipment Trust 8.75% 9/1/11 | 245,000 | 252,963 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.: | ||||
7.75% 11/1/15 (c) | 2,120,000 | 2,133,250 | ||
9% 6/1/16 (c) | 1,630,000 | 1,735,950 | ||
OPTI Canada, Inc. 8.25% 12/15/14 (c) | 1,595,000 | 1,692,774 | ||
Pan American Energy LLC 7.75% 2/9/12 (c) | 1,400,000 | 1,438,500 | ||
Parker Drilling Co.: | ||||
9.625% 10/1/13 | 880,000 | 954,800 | ||
10.11% 9/1/10 (d) | 1,099,000 | 1,120,980 | ||
Petrohawk Energy Corp. 9.125% 7/15/13 | 3,270,000 | 3,507,075 | ||
Pioneer Natural Resources Co. 6.65% 3/15/17 | 610,000 | 598,563 | ||
Plains Exploration & Production Co. 7% 3/15/17 | 1,530,000 | 1,535,738 | ||
Range Resources Corp.: | ||||
6.375% 3/15/15 (Reg. S) | 1,600,000 | 1,584,000 | ||
7.375% 7/15/13 | 2,515,000 | 2,565,300 | ||
7.5% 5/15/16 | 2,050,000 | 2,116,625 | ||
Seitel, Inc. 9.75% 2/15/14 (c) | 1,620,000 | 1,648,350 | ||
SESI LLC 6.875% 6/1/14 | 1,010,000 | 1,004,950 | ||
Stone Energy Corp. 6.75% 12/15/14 | 960,000 | 895,200 | ||
Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13 (c) | 900,000 | 922,500 | ||
Williams Partners LP/Williams Partners Finance Corp.: | ||||
7.25% 2/1/17 (c) | 1,060,000 | 1,123,600 | ||
7.5% 6/15/11 (c) | 515,000 | 547,188 | ||
44,168,558 | ||||
Entertainment/Film - 0.4% | ||||
AMC Entertainment, Inc. 8% 3/1/14 | 1,790,000 | 1,834,750 | ||
Environmental - 0.7% | ||||
Allied Waste North America, Inc.: | ||||
5.75% 2/15/11 | 190,000 | 186,675 | ||
6.875% 6/1/17 | 1,745,000 | 1,766,813 | ||
7.125% 5/15/16 | 1,265,000 | 1,295,044 | ||
Browning-Ferris Industries, Inc.: | ||||
6.375% 1/15/08 | 160,000 | 160,400 | ||
7.4% 9/15/35 | 220,000 | 211,200 | ||
3,620,132 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Food and Drug Retail - 1.3% | ||||
Albertsons, Inc.: | ||||
7.45% 8/1/29 | $ 855,000 | $ 860,044 | ||
7.75% 6/15/26 | 980,000 | 1,004,500 | ||
8% 5/1/31 | 630,000 | 658,044 | ||
Rite Aid Corp. 7.5% 3/1/17 | 3,250,000 | 3,233,750 | ||
SUPERVALU, Inc. 7.5% 11/15/14 | 1,120,000 | 1,170,400 | ||
6,926,738 | ||||
Food/Beverage/Tobacco - 1.3% | ||||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 1,110,000 | 1,168,275 | ||
Pierre Foods, Inc. 9.875% 7/15/12 | 1,005,000 | 1,045,200 | ||
Reynolds American, Inc.: | ||||
7.25% 6/1/13 | 1,035,000 | 1,099,688 | ||
7.3% 7/15/15 | 1,775,000 | 1,892,594 | ||
Swift & Co.: | ||||
10.125% 10/1/09 | 1,315,000 | 1,354,450 | ||
12.5% 1/1/10 | 290,000 | 300,875 | ||
6,861,082 | ||||
Gaming - 5.6% | ||||
Chukchansi Economic Development Authority: | ||||
8% 11/15/13 (c) | 795,000 | 823,819 | ||
8.8769% 11/15/12 (c)(d) | 360,000 | 368,100 | ||
Mandalay Resort Group 9.375% 2/15/10 | 2,365,000 | 2,548,288 | ||
MGM Mirage, Inc.: | ||||
6.625% 7/15/15 | 1,235,000 | 1,193,319 | ||
6.75% 9/1/12 | 3,010,000 | 3,013,763 | ||
6.75% 4/1/13 | 735,000 | 731,325 | ||
6.875% 4/1/16 | 1,460,000 | 1,430,800 | ||
7.625% 1/15/17 | 2,310,000 | 2,359,088 | ||
Mohegan Tribal Gaming Authority: | ||||
6.125% 2/15/13 | 640,000 | 627,200 | ||
6.375% 7/15/09 | 1,830,000 | 1,834,575 | ||
7.125% 8/15/14 | 585,000 | 593,044 | ||
8% 4/1/12 | 290,000 | 301,238 | ||
Park Place Entertainment Corp. 7% 4/15/13 | 1,455,000 | 1,545,938 | ||
Scientific Games Corp. 6.25% 12/15/12 | 925,000 | 913,438 | ||
Seminole Hard Rock Entertainment, Inc. 7.86% 3/15/14 (c)(d) | 575,000 | 586,500 | ||
Seneca Gaming Corp.: | ||||
Series B, 7.25% 5/1/12 | 1,450,000 | 1,475,375 | ||
7.25% 5/1/12 | 2,135,000 | 2,172,363 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Gaming - continued | ||||
Snoqualmie Entertainment Authority: | ||||
9.125% 2/1/15 (c) | $ 730,000 | $ 755,550 | ||
9.1488% 2/1/14 (c)(d) | 920,000 | 938,400 | ||
Station Casinos, Inc. 6.875% 3/1/16 | 1,155,000 | 1,087,144 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
0% 1/15/13 (b) | 590,000 | 454,300 | ||
9% 1/15/12 | 1,380,000 | 1,428,300 | ||
Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 2,305,000 | 2,339,575 | ||
29,521,442 | ||||
Healthcare - 6.6% | ||||
AmeriPath Intermediate Holdings, Inc. 0% 2/15/14 pay-in-kind (c)(d) | 550,000 | 550,000 | ||
AmeriPath, Inc. 10.5% 4/1/13 | 895,000 | 974,476 | ||
CDRV Investors, Inc. 0% 1/1/15 (b) | 2,765,000 | 2,419,375 | ||
Concentra Operating Corp.: | ||||
9.125% 6/1/12 | 1,125,000 | 1,200,938 | ||
9.5% 8/15/10 | 450,000 | 474,750 | ||
HCA, Inc.: | ||||
6.5% 2/15/16 | 1,000,000 | 868,750 | ||
9.125% 11/15/14 (c) | 1,535,000 | 1,657,800 | ||
9.25% 11/15/16 (c) | 1,580,000 | 1,722,200 | ||
9.625% 11/15/16 pay-in-kind (c) | 1,220,000 | 1,332,850 | ||
HealthSouth Corp. 10.75% 6/15/16 (c) | 1,450,000 | 1,576,875 | ||
IASIS Healthcare LLC/IASIS Capital Corp. 8.75% 6/15/14 | 1,385,000 | 1,433,475 | ||
Multiplan, Inc. 10.375% 4/15/16 (c) | 935,000 | 998,113 | ||
National Mentor Holdings, Inc. 11.25% 7/1/14 | 1,120,000 | 1,229,200 | ||
Omega Healthcare Investors, Inc.: | ||||
7% 4/1/14 | 2,840,000 | 2,879,050 | ||
7% 1/15/16 | 1,635,000 | 1,653,394 | ||
Rural/Metro Corp. 9.875% 3/15/15 | 515,000 | 547,188 | ||
Senior Housing Properties Trust 8.625% 1/15/12 | 745,000 | 819,500 | ||
Service Corp. International: | ||||
6.75% 4/1/15 (c) | 1,260,000 | 1,272,600 | ||
7.375% 10/1/14 | 680,000 | 705,500 | ||
7.5% 4/1/27 (c) | 1,530,000 | 1,522,350 | ||
7.625% 10/1/18 | 490,000 | 518,175 | ||
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13 | 1,550,000 | 1,643,000 | ||
United Surgical Partners International, Inc.: | ||||
8.875% 5/1/17 (c) | 590,000 | 606,225 | ||
9.25% 5/1/17 pay-in-kind (c) | 760,000 | 780,900 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Healthcare - continued | ||||
US Oncology Holdings, Inc. 9.7969% 3/15/12 pay-in-kind (c)(d) | $ 1,670,000 | $ 1,688,788 | ||
Ventas Realty LP: | ||||
6.5% 6/1/16 | 1,810,000 | 1,828,100 | ||
6.625% 10/15/14 | 830,000 | 838,300 | ||
6.75% 4/1/17 | 850,000 | 864,875 | ||
34,606,747 | ||||
Homebuilding/Real Estate - 2.2% | ||||
American Real Estate Partners/American Real Estate Finance Corp.: | ||||
7.125% 2/15/13 | 825,000 | 811,594 | ||
7.125% 2/15/13 (c) | 2,345,000 | 2,303,963 | ||
8.125% 6/1/12 | 2,920,000 | 2,978,400 | ||
K. Hovnanian Enterprises, Inc.: | ||||
6% 1/15/10 | 310,000 | 302,250 | ||
6.25% 1/15/15 | 785,000 | 714,350 | ||
8.875% 4/1/12 | 910,000 | 887,250 | ||
KB Home 7.75% 2/1/10 | 2,095,000 | 2,095,000 | ||
Technical Olympic USA, Inc.: | ||||
7.5% 3/15/11 | 470,000 | 350,150 | ||
7.5% 1/15/15 | 935,000 | 659,175 | ||
10.375% 7/1/12 | 495,000 | 394,763 | ||
11,496,895 | ||||
Hotels - 0.7% | ||||
Grupo Posadas SA de CV 8.75% 10/4/11 (c) | 1,020,000 | 1,065,900 | ||
Host Marriott LP 7.125% 11/1/13 | 2,415,000 | 2,493,488 | ||
3,559,388 | ||||
Insurance - 0.5% | ||||
UnumProvident Corp. 7.375% 6/15/32 | 660,000 | 708,332 | ||
UnumProvident Finance Co. PLC 6.85% 11/15/15 (c) | 760,000 | 794,200 | ||
USI Holdings Corp.: | ||||
9.23% 11/15/14 (c)(d) | 720,000 | 727,200 | ||
9.75% 5/15/15 (c) | 260,000 | 265,525 | ||
2,495,257 | ||||
Leisure - 2.1% | ||||
NCL Corp. Ltd. 10.625% 7/15/14 | 615,000 | 606,544 | ||
Royal Caribbean Cruises Ltd. yankee: | ||||
7% 6/15/13 | 2,005,000 | 2,075,554 | ||
7.25% 6/15/16 | 590,000 | 609,913 | ||
7.5% 10/15/27 | 1,680,000 | 1,671,600 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Leisure - continued | ||||
Town Sports International Holdings, Inc. 0% 2/1/14 (b) | $ 708,000 | $ 640,740 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 2,660,000 | 2,828,910 | ||
Universal City Florida Holding Co. I/II: | ||||
8.375% 5/1/10 | 225,000 | 232,875 | ||
10.11% 5/1/10 (d) | 2,180,000 | 2,253,575 | ||
10,919,711 | ||||
Metals/Mining - 4.4% | ||||
Arch Western Finance LLC 6.75% 7/1/13 | 2,260,000 | 2,243,050 | ||
Compass Minerals International, Inc.: | ||||
0% 12/15/12 (b) | 865,000 | 873,650 | ||
0% 6/1/13 (b) | 1,620,000 | 1,571,400 | ||
Drummond Co., Inc. 7.375% 2/15/16 (c) | 2,735,000 | 2,646,113 | ||
FMG Finance Property Ltd.: | ||||
9.36% 9/1/11 (c)(d) | 1,090,000 | 1,151,313 | ||
10% 9/1/13 (c) | 705,000 | 774,619 | ||
10.625% 9/1/16 (c) | 705,000 | 823,088 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
8.25% 4/1/15 | 540,000 | 585,225 | ||
8.375% 4/1/17 | 565,000 | 618,675 | ||
8.5463% 4/1/15 (d) | 1,080,000 | 1,136,700 | ||
Massey Energy Co. 6.875% 12/15/13 | 2,580,000 | 2,492,925 | ||
Peabody Energy Corp.: | ||||
7.375% 11/1/16 | 1,000,000 | 1,060,000 | ||
7.875% 11/1/26 | 1,005,000 | 1,085,400 | ||
PNA Group, Inc. 10.75% 9/1/16 (c) | 1,670,000 | 1,841,175 | ||
PNA Intermediate Holding Corp. 12.36% 2/15/13 pay-in-kind (c)(d) | 540,000 | 550,800 | ||
RathGibson, Inc. 11.25% 2/15/14 | 1,710,000 | 1,786,950 | ||
Vedanta Resources PLC 6.625% 2/22/10 (c) | 2,055,000 | 2,062,809 | ||
23,303,892 | ||||
Paper - 2.3% | ||||
Catalyst Paper Corp. 8.625% 6/15/11 | 1,060,000 | 1,067,950 | ||
Georgia-Pacific Corp.: | ||||
7% 1/15/15 (c) | 3,320,000 | 3,323,984 | ||
8% 1/15/24 | 630,000 | 633,150 | ||
8.875% 5/15/31 | 1,255,000 | 1,339,713 | ||
Jefferson Smurfit Corp. U.S. 7.5% 6/1/13 | 1,050,000 | 1,039,500 | ||
Smurfit-Stone Container Enterprises, Inc. 8% 3/15/17 (c) | 1,620,000 | 1,615,950 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Paper - continued | ||||
Stone Container Finance Co. 7.375% 7/15/14 | $ 1,745,000 | $ 1,710,100 | ||
Valassis Communications, Inc. 8.25% 3/1/15 (c) | 1,590,000 | 1,566,150 | ||
12,296,497 | ||||
Publishing/Printing - 0.5% | ||||
Dex Media West LLC/Dex Media West Finance Co. 8.5% 8/15/10 | 785,000 | 821,306 | ||
Scholastic Corp. 5% 4/15/13 | 805,000 | 710,413 | ||
The Reader's Digest Association, Inc. 9% 2/15/17 (c) | 1,245,000 | 1,223,213 | ||
2,754,932 | ||||
Railroad - 0.2% | ||||
Kansas City Southern Railway Co. 7.5% 6/15/09 | 1,100,000 | 1,124,750 | ||
Restaurants - 1.2% | ||||
Carrols Corp. 9% 1/15/13 | 2,035,000 | 2,096,050 | ||
Friendly Ice Cream Corp. 8.375% 6/15/12 | 2,070,000 | 2,038,950 | ||
Landry's Seafood Restaurants, Inc. 7.5% 12/15/14 | 2,305,000 | 2,287,713 | ||
6,422,713 | ||||
Services - 3.8% | ||||
Aramark Corp.: | ||||
8.5% 2/1/15 (c) | 910,000 | 950,950 | ||
8.86% 2/1/15 (c)(d) | 380,000 | 392,825 | ||
Ashtead Capital, Inc. 9% 8/15/16 (c) | 1,200,000 | 1,293,000 | ||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
7.625% 5/15/14 (c) | 1,735,000 | 1,778,375 | ||
7.75% 5/15/16 (c) | 1,550,000 | 1,588,750 | ||
7.86% 5/15/14 (c)(d) | 210,000 | 215,775 | ||
Education Management LLC/Education Management Finance Corp. 10.25% 6/1/16 | 980,000 | 1,068,200 | ||
FTI Consulting, Inc.: | ||||
7.625% 6/15/13 | 2,425,000 | 2,497,750 | ||
7.75% 10/1/16 | 1,000,000 | 1,043,750 | ||
Hertz Corp.: | ||||
8.875% 1/1/14 | 485,000 | 521,375 | ||
10.5% 1/1/16 | 845,000 | 967,525 | ||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 365,000 | 353,138 | ||
7.75% 1/15/15 | 365,000 | 373,213 | ||
8.25% 7/1/11 | 735,000 | 736,838 | ||
8.625% 4/1/13 | 1,110,000 | 1,137,750 | ||
Penhall International Corp. 12% 8/1/14 (c) | 1,040,000 | 1,138,800 | ||
Rental Service Corp. 9.5% 12/1/14 (c) | 1,070,000 | 1,138,213 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Services - continued | ||||
Rural/Metro Corp. 0% 3/15/16 (b) | $ 1,305,000 | $ 1,044,000 | ||
United Rentals North America, Inc. 7% 2/15/14 | 1,900,000 | 1,933,250 | ||
20,173,477 | ||||
Shipping - 2.3% | ||||
Navios Maritime Holdings, Inc. 9.5% 12/15/14 (c) | 1,825,000 | 1,916,250 | ||
OMI Corp. 7.625% 12/1/13 | 3,310,000 | 3,409,300 | ||
Overseas Shipholding Group, Inc.: | ||||
7.5% 2/15/24 | 130,000 | 133,575 | ||
8.25% 3/15/13 | 420,000 | 441,000 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 4,555,000 | 4,737,200 | ||
Teekay Shipping Corp. 8.875% 7/15/11 | 1,245,000 | 1,332,150 | ||
11,969,475 | ||||
Steels - 0.6% | ||||
Steel Dynamics, Inc. 6.75% 4/1/15 (c) | 3,060,000 | 3,063,825 | ||
Super Retail - 1.7% | ||||
Michaels Stores, Inc.: | ||||
10% 11/1/14 (c) | 1,940,000 | 2,124,300 | ||
11.375% 11/1/16 (c) | 760,000 | 836,000 | ||
NBC Acquisition Corp. 0% 3/15/13 (b) | 1,980,000 | 1,663,200 | ||
Nebraska Book Co., Inc. 8.625% 3/15/12 | 1,645,000 | 1,657,338 | ||
Sonic Automotive, Inc. 8.625% 8/15/13 | 1,605,000 | 1,673,213 | ||
Toys 'R' US, Inc. 7.625% 8/1/11 | 1,155,000 | 1,118,906 | ||
9,072,957 | ||||
Technology - 6.6% | ||||
Avago Technologies Finance Ltd.: | ||||
10.125% 12/1/13 | 1,400,000 | 1,529,500 | ||
10.86% 6/1/13 (d) | 945,000 | 987,525 | ||
11.875% 12/1/15 | 540,000 | 612,900 | ||
Celestica, Inc. 7.875% 7/1/11 | 1,605,000 | 1,568,888 | ||
Freescale Semiconductor, Inc.: | ||||
8.875% 12/15/14 (c) | 1,895,000 | 1,902,201 | ||
9.125% 12/15/14 pay-in-kind (c) | 1,425,000 | 1,421,438 | ||
9.2299% 12/15/14 (c)(d) | 1,515,000 | 1,518,788 | ||
10.125% 12/15/16 (c) | 2,030,000 | 2,052,939 | ||
IKON Office Solutions, Inc. 7.75% 9/15/15 | 1,630,000 | 1,707,425 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 3,305,000 | 3,007,550 | ||
6.5% 1/15/28 | 1,065,000 | 969,150 | ||
Nortel Networks Corp.: | ||||
9.6056% 7/15/11 (c)(d) | 1,335,000 | 1,431,788 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Technology - continued | ||||
Nortel Networks Corp.: - continued | ||||
10.125% 7/15/13 (c) | $ 1,520,000 | $ 1,685,300 | ||
NXP BV: | ||||
7.875% 10/15/14 (c) | 2,450,000 | 2,544,938 | ||
8.1056% 10/15/13 (c)(d) | 1,700,000 | 1,755,250 | ||
9.5% 10/15/15 (c) | 1,915,000 | 2,010,750 | ||
Sanmina-SCI Corp.: | ||||
6.75% 3/1/13 | 655,000 | 620,613 | ||
8.125% 3/1/16 | 745,000 | 724,513 | ||
Seagate Technology HDD Holdings 6.8% 10/1/16 | 565,000 | 560,763 | ||
STATS ChipPAC Ltd. 7.5% 7/19/10 | 345,000 | 363,561 | ||
SunGard Data Systems, Inc.: | ||||
9.125% 8/15/13 | 1,100,000 | 1,179,750 | ||
10.25% 8/15/15 | 310,000 | 341,000 | ||
Xerox Capital Trust I 8% 2/1/27 | 3,445,000 | 3,518,206 | ||
Xerox Corp. 7.625% 6/15/13 | 1,010,000 | 1,052,925 | ||
35,067,661 | ||||
Telecommunications - 7.3% | ||||
Digicel Group Ltd.: | ||||
8.875% 1/15/15 (c) | 1,540,000 | 1,509,200 | ||
9.125% 1/15/15 pay-in-kind (c) | 670,000 | 649,063 | ||
Digicel Ltd. 9.25% 9/1/12 (c) | 2,360,000 | 2,504,550 | ||
Intelsat Bermuda Ltd. 8.8719% 1/15/15 (d) | 1,065,000 | 1,088,963 | ||
Intelsat Ltd.: | ||||
6.5% 11/1/13 | 2,940,000 | 2,528,400 | ||
7.625% 4/15/12 | 2,090,000 | 1,964,600 | ||
9.25% 6/15/16 | 2,360,000 | 2,598,950 | ||
11.25% 6/15/16 | 2,305,000 | 2,627,700 | ||
Level 3 Financing, Inc.: | ||||
8.75% 2/15/17 (c) | 1,615,000 | 1,643,263 | ||
9.15% 2/15/15 (c)(d) | 1,865,000 | 1,885,888 | ||
9.25% 11/1/14 (c) | 4,960,000 | 5,146,000 | ||
12.25% 3/15/13 | 2,355,000 | 2,752,524 | ||
MetroPCS Wireless, Inc. 9.25% 11/1/14 (c) | 960,000 | 1,022,400 | ||
Mobile Telesystems Finance SA 8% 1/28/12 (c) | 1,301,000 | 1,379,060 | ||
PanAmSat Corp. 9% 8/15/14 | 919,000 | 990,223 | ||
Qwest Corp.: | ||||
7.5% 10/1/14 | 1,475,000 | 1,556,125 | ||
8.6049% 6/15/13 (d) | 3,080,000 | 3,364,900 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 1,005,000 | 982,388 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Telecommunications - continued | ||||
U.S. West Communications: - continued | ||||
7.5% 6/15/23 | $ 1,040,000 | $ 1,060,800 | ||
Windstream Corp.: | ||||
8.125% 8/1/13 | 355,000 | 385,175 | ||
8.625% 8/1/16 | 1,010,000 | 1,108,475 | ||
38,748,647 | ||||
Textiles & Apparel - 0.8% | ||||
Hanesbrands, Inc. 8.735% 12/15/14 (c)(d) | 1,025,000 | 1,053,188 | ||
Levi Strauss & Co. 8.875% 4/1/16 | 2,870,000 | 3,085,250 | ||
4,138,438 | ||||
TOTAL NONCONVERTIBLE BONDS (Cost $430,718,779) | 445,347,710 | |||
Foreign Government and Government Agency Obligations - 0.2% | ||||
Orascom Telecom Finance SCA 7.875% 2/8/14 (c) | 1,090,000 | 1,078,065 |
Nonconvertible Preferred Stocks - 0.3% | |||
Shares | |||
Telecommunications - 0.3% | |||
Rural Cellular Corp. 12.25% pay-in-kind | 1,426 | 1,682,680 |
Floating Rate Loans - 8.5% | ||||
Principal Amount | ||||
Air Transportation - 0.5% | ||||
United Air Lines, Inc. Tranche B, term loan 7.375% 2/1/14 (d) | $ 2,890,000 | 2,886,388 | ||
Auto Parts Distribution - 0.6% | ||||
Navistar International Corp.: | ||||
term loan 8.6099% 1/19/12 (d) | 726,000 | 736,890 | ||
8.5994% 1/19/12 (d) | 264,000 | 267,960 | ||
Oshkosh Truck Co. Tranche B, term loan 7.1% 12/6/13 (d) | 2,234,400 | 2,239,986 | ||
3,244,836 | ||||
Automotive - 1.1% | ||||
Ford Motor Co. term loan 8.36% 12/15/13 (d) | 5,605,950 | 5,633,938 | ||
Floating Rate Loans - continued | ||||
Principal Amount | Value | |||
Cable TV - 1.7% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 7.35% 3/6/14 (d) | $ 2,890,000 | $ 2,886,388 | ||
CSC Holdings, Inc. Tranche B, term loan 7.0838% 3/29/13 (d) | 2,544,300 | 2,553,841 | ||
Insight Midwest Holdings LLC Tranche B, term loan 7.35% 4/6/14 (d) | 1,800,000 | 1,810,125 | ||
Univision Communications, Inc.: | ||||
Tranche 1LN, term loan 7.605% 9/16/14 (d) | 1,522,148 | 1,520,245 | ||
Tranche DD 1LN, term loan 9/16/14 (d)(e) | 97,852 | 97,730 | ||
8,868,329 | ||||
Diversified Financial Services - 0.3% | ||||
LPL Holdings, Inc. Tranche C, term loan 7.85% 6/28/13 (d) | 1,795,500 | 1,813,455 | ||
Electric Utilities - 0.2% | ||||
Longview Power LLC: | ||||
Tranche B, term loan 7.625% 2/28/14 (d) | 432,000 | 434,160 | ||
Tranche DD, term loan 2/28/14 (d)(e) | 504,000 | 506,520 | ||
7.475% 2/28/14 (d) | 144,000 | 144,720 | ||
1,085,400 | ||||
Energy - 0.7% | ||||
Ashmore Energy International: | ||||
Revolving Credit-Linked Deposit 8.25% 3/30/12 (d) | 250,608 | 251,234 | ||
term loan 8.35% 3/30/14 (d) | 1,909,392 | 1,914,166 | ||
Sandridge Energy, Inc. term loan: | ||||
8.975% 4/1/14 (d) | 250,000 | 254,063 | ||
8.625% 4/1/15 (d) | 1,350,000 | 1,378,688 | ||
3,798,151 | ||||
Food/Beverage/Tobacco - 0.1% | ||||
Pierre Foods, Inc. Tranche B, term loan 7.61% 6/30/10 (d) | 324,286 | 326,313 | ||
Gaming - 0.3% | ||||
Kerzner International Ltd.: | ||||
term loan 8.34% 9/1/13 (d) | 907,592 | 905,323 | ||
Class DD, term loan 8.3418% 9/1/13 (d)(e) | 471,948 | 470,768 | ||
1,376,091 | ||||
Healthcare - 0.2% | ||||
Stiefel Laboratories, Inc. term loan: | ||||
7.605% 12/28/13 (d) | 239,400 | 241,495 | ||
10.355% 6/28/14 (d) | 830,000 | 847,638 | ||
1,089,133 | ||||
Floating Rate Loans - continued | ||||
Principal Amount | Value | |||
Metals/Mining - 0.2% | ||||
Freeport-McMoRan Copper & Gold, Inc. Tranche B, term loan 7.07% 3/19/14 (d) | $ 1,112,481 | $ 1,115,622 | ||
Paper - 0.6% | ||||
Georgia-Pacific Corp. Tranche B1, term loan 7.3199% 12/23/12 (d) | 3,367,375 | 3,384,212 | ||
Services - 0.8% | ||||
Adesa, Inc. term loan 7.57% 10/18/13 (d) | 2,220,000 | 2,233,875 | ||
NES Rentals Holdings, Inc. Tranche 2, term loan 12.125% 7/20/13 (d) | 163,943 | 165,992 | ||
Penhall International Corp. term loan 12.823% 4/1/12 (d) | 800,000 | 784,000 | ||
RSC Equipment Rental Tranche 2LN, term loan 8.8566% 11/30/13 (d) | 1,080,000 | 1,098,900 | ||
4,282,767 | ||||
Telecommunications - 1.0% | ||||
Digicel International Finance Ltd. term loan 7.85% 3/23/12 (d) | 2,390,000 | 2,392,988 | ||
Intelsat Bermuda Ltd. term loan 7.855% 1/12/14 (d) | 590,000 | 592,213 | ||
Level 3 Communications, Inc. term loan 7.605% 3/13/14 (d) | 2,300,000 | 2,311,500 | ||
5,296,701 | ||||
Textiles & Apparel - 0.2% | ||||
Levi Strauss & Co. term loan 7.59% 4/4/14 (d) | 880,000 | 872,850 | ||
TOTAL FLOATING RATE LOANS (Cost $44,837,020) | 45,074,186 |
Money Market Funds - 4.4% | |||
Shares | |||
Fidelity Cash Central Fund, 5.29% (a) | 23,081,321 | 23,081,321 | |
Cash Equivalents - 0.7% | |||
Maturity Amount | Value | ||
Investments in repurchase agreements in a joint trading account at 5.12%, dated 4/30/07 due 5/1/07 (Collateralized by U.S. Treasury Obligations) # | 3,370,479 | $ 3,370,000 | |
TOTAL INVESTMENT PORTFOLIO - 98.4% (Cost $504,716,788) | 519,633,962 | ||
NET OTHER ASSETS - 1.6% | 8,451,476 | ||
NET ASSETS - 100% | $ 528,085,438 |
Legend |
(a) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. |
(b) Security 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. |
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $132,347,833 or 25.1% of net assets. |
(d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(e) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $1,754,284 and $1,758,592, respectively. The coupon rate will be determined at time of settlement. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$3,370,000 due 5/01/07 at 5.12% | |
Banc of America Securities LLC | $ 514,761 |
Barclays Capital, Inc. | 1,147,983 |
Fortis Securities LLC | 735,886 |
Lehman Brothers, Inc. | 971,370 |
$ 3,370,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 483,988 |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 85.2% |
Bermuda | 4.1% |
Canada | 3.3% |
Marshall Islands | 1.3% |
Netherlands | 1.2% |
United Kingdom | 1.0% |
Others (individually less than 1%) | 3.9% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
April 30, 2007 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $3,370,000) - See accompanying schedule: Unaffiliated issuers (cost $481,635,467) | $ 496,552,641 | |
Fidelity Central Funds (cost $23,081,321) | 23,081,321 | |
Total Investments (cost $504,716,788) | $ 519,633,962 | |
Receivable for investments sold | 7,252,094 | |
Receivable for fund shares sold | 1,482,701 | |
Interest receivable | 9,478,607 | |
Distributions receivable from Fidelity Central Funds | 66,797 | |
Prepaid expenses | 1,599 | |
Receivable from investment adviser for expense reductions | 16,916 | |
Other receivables | 31 | |
Total assets | 537,932,707 | |
Liabilities | ||
Payable to custodian bank | $ 1,105,976 | |
Payable for investments purchased | 6,650,636 | |
Payable for fund shares redeemed | 1,073,977 | |
Distributions payable | 497,078 | |
Accrued management fee | 246,890 | |
Distribution fees payable | 124,224 | |
Other affiliated payables | 114,092 | |
Other payables and accrued expenses | 34,396 | |
Total liabilities | 9,847,269 | |
Net Assets | $ 528,085,438 | |
Net Assets consist of: | ||
Paid in capital | $ 507,657,189 | |
Undistributed net investment income | 598,829 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 4,912,246 | |
Net unrealized appreciation (depreciation) on investments | 14,917,174 | |
Net Assets | $ 528,085,438 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
April 30, 2007 (Unaudited) | ||
Calculation of Maximum Offering Price Class A: | $ 9.46 | |
Maximum offering price per share (100/96.00 of $9.46) | $ 9.85 | |
Class T: | $ 9.45 | |
Maximum offering price per share (100/96.00 of $9.45) | $ 9.84 | |
Class B: | $ 9.44 | |
Class C: | $ 9.44 | |
Institutional Class: | $ 9.47 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended April 30, 2007 (Unaudited) | ||
Investment Income | ||
Interest | $ 20,319,316 | |
Income from Fidelity Central Funds | 483,988 | |
Total income | 20,803,304 | |
Expenses | ||
Management fee | $ 1,472,014 | |
Transfer agent fees | 584,521 | |
Distribution fees | 694,991 | |
Accounting fees and expenses | 108,669 | |
Custodian fees and expenses | 11,087 | |
Independent trustees' compensation | 775 | |
Registration fees | 49,438 | |
Audit | 33,390 | |
Legal | 3,351 | |
Miscellaneous | 1,798 | |
Total expenses before reductions | 2,960,034 | |
Expense reductions | (103,013) | 2,857,021 |
Net investment income | 17,946,283 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 5,027,489 | |
Foreign currency transactions | 103 | |
Total net realized gain (loss) | 5,027,592 | |
Change in net unrealized appreciation (depreciation) on investment securities | 9,344,070 | |
Net gain (loss) | 14,371,662 | |
Net increase (decrease) in net assets resulting from operations | $ 32,317,945 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Six months ended | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 17,946,283 | $ 35,542,146 |
Net realized gain (loss) | 5,027,592 | 3,829,006 |
Change in net unrealized appreciation (depreciation) | 9,344,070 | 7,124,502 |
Net increase (decrease) in net assets resulting | 32,317,945 | 46,495,654 |
Distributions to shareholders from net investment income | (18,768,309) | (34,347,748) |
Distributions to shareholders from net realized gain | (2,796,937) | (7,477,368) |
Total distributions | (21,565,246) | (41,825,116) |
Share transactions - net increase (decrease) | 5,787,054 | 188,578 |
Redemption fees | 29,263 | 576,163 |
Total increase (decrease) in net assets | 16,569,016 | 5,435,279 |
Net Assets | ||
Beginning of period | 511,516,422 | 506,081,143 |
End of period (including undistributed net investment income of $598,829 and undistributed net investment income of $1,420,855, respectively) | $ 528,085,438 | $ 511,516,422 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.25 | $ 9.14 | $ 9.58 | $ 9.33 | $ 7.89 | $ 8.74 |
Income from Investment Operations | ||||||
Net investment income E | .325 | .624 | .607 | .668 | .717 | .695 |
Net realized and unrealized gain (loss) | .265 | .215 | (.289) | .255 | 1.359 | (.893) |
Total from investment operations | .590 | .839 | .318 | .923 | 2.076 | (.198) |
Distributions from net investment income | (.341) | (.604) | (.620) | (.674) | (.636) | (.652) |
Distributions from net realized gain | (.050) | (.135) | (.140) | - | - | - |
Total distributions | (.391) | (.739) | (.760) | (.674) | (.636) | (.652) |
Redemption fees added to paid in capital E | .001 | .010 | .002 | .001 | - | - |
Net asset value, end of period | $ 9.45 | $ 9.25 | $ 9.14 | $ 9.58 | $ 9.33 | $ 7.89 |
Total Return B, C, D | 6.50% | 9.73% | 3.43% | 10.29% | 27.11% | (2.47)% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.15% A | 1.18% | 1.19% | 1.19% | 1.19% | 1.24% |
Expenses net of fee waivers, if any | 1.10% A | 1.10% | 1.10% | 1.10% | 1.10% | 1.10% |
Expenses net of all reductions | 1.10% A | 1.10% | 1.10% | 1.10% | 1.10% | 1.10% |
Net investment income | 7.00% A | 6.85% | 6.49% | 7.11% | 8.16% | 8.32% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ 69,008 | $ 68,487 | $ 69,091 | $ 91,707 | $ 81,735 | $ 35,751 |
Portfolio turnover rate G | 74% A | 72% | 115% | 126% | 129% | 105% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.25 | $ 9.14 | $ 9.57 | $ 9.32 | $ 7.88 | $ 8.74 |
Income from Investment Operations | ||||||
Net investment income E | .295 | .565 | .546 | .606 | .658 | .641 |
Net realized and unrealized gain (loss) | .254 | .215 | (.279) | .256 | 1.361 | (.904) |
Total from investment operations | .549 | .780 | .267 | .862 | 2.019 | (.263) |
Distributions from net investment income | (.310) | (.545) | (.559) | (.613) | (.579) | (.597) |
Distributions from net realized gain | (.050) | (.135) | (.140) | - | - | - |
Total distributions | (.360) | (.680) | (.699) | (.613) | (.579) | (.597) |
Redemption fees added to paid in capital E | .001 | .010 | .002 | .001 | - | - |
Net asset value, end of period | $ 9.44 | $ 9.25 | $ 9.14 | $ 9.57 | $ 9.32 | $ 7.88 |
Total Return B, C, D | 6.05% | 9.03% | 2.87% | 9.58% | 26.32% | (3.23)% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.81% A | 1.81% | 1.81% | 1.80% | 1.80% | 1.83% |
Expenses net of fee waivers, if any | 1.75% A | 1.75% | 1.75% | 1.75% | 1.75% | 1.75% |
Expenses net of all reductions | 1.75% A | 1.75% | 1.75% | 1.75% | 1.75% | 1.75% |
Net investment income | 6.35% A | 6.20% | 5.84% | 6.46% | 7.51% | 7.67% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ 48,279 | $ 51,362 | $ 64,804 | $ 79,997 | $ 70,661 | $ 32,854 |
Portfolio turnover rate G | 74% A | 72% | 115% | 126% | 129% | 105% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.25 | $ 9.14 | $ 9.57 | $ 9.32 | $ 7.88 | $ 8.74 |
Income from Investment Operations | ||||||
Net investment income E | .290 | .556 | .536 | .597 | .651 | .635 |
Net realized and unrealized gain (loss) | .255 | .215 | (.278) | .256 | 1.359 | (.906) |
Total from investment operations | .545 | .771 | .258 | .853 | 2.010 | (.271) |
Distributions from net investment income | (.306) | (.536) | (.550) | (.604) | (.570) | (.589) |
Distributions from net realized gain | (.050) | (.135) | (.140) | - | - | - |
Total distributions | (.356) | (.671) | (.690) | (.604) | (.570) | (.589) |
Redemption fees added to paid in capital E | .001 | .010 | .002 | .001 | - | - |
Net asset value, end of period | $ 9.44 | $ 9.25 | $ 9.14 | $ 9.57 | $ 9.32 | $ 7.88 |
Total Return B, C, D | 6.00% | 8.92% | 2.77% | 9.47% | 26.19% | (3.32)% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.86% A | 1.86% | 1.87% | 1.87% | 1.88% | 1.90% |
Expenses net of fee waivers, if any | 1.85% A | 1.85% | 1.85% | 1.85% | 1.85% | 1.85% |
Expenses net of all reductions | 1.85% A | 1.85% | 1.85% | 1.85% | 1.85% | 1.85% |
Net investment income | 6.25% A | 6.10% | 5.74% | 6.36% | 7.41% | 7.57% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ 55,244 | $ 52,796 | $ 56,036 | $ 64,187 | $ 59,655 | $ 20,719 |
Portfolio turnover rate G | 74% A | 72% | 115% | 126% | 129% | 105% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended | Years ended October 31, | |||||
April 30, | (Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.27 | $ 9.16 | $ 9.60 | $ 9.34 | $ 7.90 | $ 8.75 |
Income from Investment Operations | ||||||
Net investment income D | .337 | .648 | .630 | .690 | .739 | .709 |
Net realized and unrealized gain (loss) | .264 | .214 | (.289) | .267 | 1.359 | (.886) |
Total from investment operations | .601 | .862 | .341 | .957 | 2.098 | (.177) |
Distributions from net investment income | (.352) | (.627) | (.643) | (.698) | (.658) | (.673) |
Distributions from net realized gain | (.050) | (.135) | (.140) | - | - | - |
Total distributions | (.402) | (.762) | (.783) | (.698) | (.658) | (.673) |
Redemption fees added to paid in capital D | .001 | .010 | .002 | .001 | - | - |
Net asset value, end of period | $ 9.47 | $ 9.27 | $ 9.16 | $ 9.60 | $ 9.34 | $ 7.90 |
Total Return B, C | 6.61% | 9.98% | 3.68% | 10.66% | 27.38% | (2.23)% |
Ratios to Average Net Assets E, G | ||||||
Expenses before reductions | .91% A | .91% | .91% | .90% | .96% | .96% |
Expenses net of fee waivers, if any | .85% A | .85% | .85% | .85% | .85% | .85% |
Expenses net of all reductions | .85% A | .85% | .85% | .85% | .85% | .85% |
Net investment income | 7.25% A | 7.10% | 6.73% | 7.36% | 8.41% | 8.57% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ 220,286 | $ 208,205 | $ 200,804 | $ 171,625 | $ 108,885 | $ 48,379 |
Portfolio turnover rate F | 74% A | 72% | 115% | 126% | 129% | 105% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2007 (Unaudited)
1. Organization.
Fidelity Advisor High 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 financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request. In addition, the financial statements of the Fidelity Central Funds are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM),an affiliate of FMR.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
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.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Interest income and income distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. 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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. 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. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to market discount 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 | $ 17,119,301 |
Unrealized depreciation | (1,705,672) |
Net unrealized appreciation (depreciation) | $ 15,413,629 |
Cost for federal income tax purposes | $ 504,220,333 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Short-Term Trading (Redemption) Fees. Shares held in the Fund less than 90 days are subject to a redemption fee equal to 1.00% of the proceeds of the redeemed shares. All redemption fees, including any estimated redemption fees paid by FMR, are retained by the Fund and accounted for as an addition to paid in capital.
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default 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.
Semiannual Report
4. Operating Policies - continued
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $182,294,613 and $187,252,454, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease.
For the period, the total annualized management fee rate was .57% 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan - continued
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 | -% | .25% | $ 112,563 | $ 4,080 |
Class T | -% | .25% | 85,938 | 1,699 |
Class B | .65% | .25% | 225,510 | 163,403 |
Class C | .75% | .25% | 270,980 | 44,760 |
$ 694,991 | $ 213,942 |
On January 18, 2007, the Board of Trustees approved an increase in Class A's Service fee from .15% to .25%, effective April 1, 2007.
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A and Class T shares (4.75% for Class A and 3.50% for Class T shares prior to April 1, 2007), 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, 1.00% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 22,061 |
Class T | 5,794 |
Class B* | 58,456 |
Class C* | 1,825 |
$ 88,136 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each class to FIIOC, were as follows:
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
Amount | % of | |
Class A | $ 121,559 | .18 |
Class T | 84,672 | .25 |
Class B | 61,320 | .25 |
Class C | 52,633 | .20 |
Institutional Class | 264,337 | .25 |
$ 584,521 |
* 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.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $634 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Expense Reductions.
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, including commitment fees, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
Expense | Reimbursement | |
Class T | 1.10% | $ 18,375 |
Class B | 1.75% | 14,196 |
Class C | 1.85% | 1,976 |
Institutional Class | .85% | 58,552 |
$ 93,099 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
8. Expense Reductions - continued
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 $0 for the period. In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $6,261. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | ||
Class A | $ 547 | |
Class C | 169 | |
$ 716 |
9. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
In September 2006, the Fund's transfer agent, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund. FIIOC has reimbursed the Fund for related audit and legal expenses and, beginning in June 2007, remediated affected shareholders.
The United States Securities and Exchange Commission ("SEC") is conducting an investigation of FMR (covering the years 2002 to 2004) arising from gifts, gratuities and business entertainment provided by certain brokers to certain individuals who were employed on FMR's domestic equity trading desk during that period. FMR is in discussions with the SEC staff regarding the possible resolution of the matter, but as of period-end no final resolution has been reached.
Semiannual Report
9. Other - continued
In December 2006, the Independent Trustees completed their own investigation of the matter with the assistance of independent counsel. The Independent Trustees and FMR agree that, despite the absence of proof that the Fidelity mutual funds experienced diminished execution quality as a result of the improper receipt of gifts and business entertainment, the conduct at issue was serious and is worthy of redress. Accordingly, the Independent Trustees have requested and FMR has agreed to pay $42 million to Fidelity mutual funds, plus interest to be determined at the time that payment is made. A method of allocating this payment among the funds has not yet been determined. The total payment to the Fund is not anticipated to have a material impact on the Fund's net assets. In addition, FMR reimbursed related legal expenses which are recorded in the accompanying Statement of Operations as an expense reduction.
On April 19, 2007, the Board of Trustees approved an Agreement and Plan of Reorganization whereby the Fund will reorganize into Fidelity Advisor Series I, effective on or about June 29, 2007. The reorganization will not impact the Fund's investment strategies or FMR's management of the Fund. All legal and other expenses associated with the reorganization will be paid by FMR.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 4,979,852 | $ 8,132,325 |
Class T | 2,504,061 | 4,364,476 |
Class B | 1,663,165 | 3,396,706 |
Class C | 1,768,097 | 3,076,065 |
Institutional Class | 7,853,134 | 15,378,176 |
Total | $ 18,768,309 | $ 34,347,748 |
From net realized gain | ||
Class A | $ 717,815 | $ 1,726,911 |
Class T | 372,057 | 982,007 |
Class B | 273,621 | 927,262 |
Class C | 287,733 | 811,022 |
Institutional Class | 1,145,711 | 3,030,166 |
Total | $ 2,796,937 | $ 7,477,368 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
11. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended | Year ended | Six months ended | Year ended | |
Class A | ||||
Shares sold | 2,721,105 | 4,921,122 | $ 25,527,883 | $ 44,901,425 |
Reinvestment of distributions | 494,441 | 887,253 | 4,636,675 | 8,091,586 |
Shares redeemed | (3,021,320) | (4,307,073) | (28,345,822) | (39,280,504) |
Net increase (decrease) | 194,226 | 1,501,302 | $ 1,818,736 | $ 13,712,507 |
Class T | ||||
Shares sold | 757,050 | 2,122,712 | $ 7,095,193 | $ 19,339,885 |
Reinvestment of distributions | 249,040 | 473,437 | 2,332,487 | 4,311,964 |
Shares redeemed | (1,104,087) | (2,751,537) | (10,341,107) | (25,073,627) |
Net increase (decrease) | (97,997) | (155,388) | $ (913,427) | $ (1,421,778) |
Class B | ||||
Shares sold | 400,176 | 723,865 | $ 3,747,350 | $ 6,590,070 |
Reinvestment of distributions | 124,821 | 279,486 | 1,168,051 | 2,542,733 |
Shares redeemed | (966,159) | (2,541,737) | (9,047,942) | (23,161,228) |
Net increase (decrease) | (441,162) | (1,538,386) | $ (4,132,541) | $ (14,028,425) |
Class C | ||||
Shares sold | 713,193 | 1,340,176 | $ 6,676,196 | $ 12,225,070 |
Reinvestment of distributions | 140,336 | 266,004 | 1,313,412 | 2,420,777 |
Shares redeemed | (712,177) | (2,030,012) | (6,665,564) | (18,484,174) |
Net increase (decrease) | 141,352 | (423,832) | $ 1,324,044 | $ (3,838,327) |
Institutional Class | ||||
Shares sold | 3,476,912 | 27,984,682 | $ 32,646,991 | $ 253,342,940 |
Reinvestment of distributions | 888,948 | 1,859,946 | 8,345,042 | 16,967,286 |
Shares redeemed | (3,556,568) | (29,311,604) | (33,301,791) | (264,545,625) |
Net increase (decrease) | 809,292 | 533,024 | $ 7,690,242 | $ 5,764,601 |
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor High Income Fund
On April 19, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund in connection with reorganizing the fund from one Trust to another. The Board reached this determination because the contractual terms of and fees payable under the fund's Advisory Contracts are identical to those in the fund's current Advisory Contracts. The Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board considered that it approved the Advisory Contracts for the fund during the past year and that it will again consider renewal of the Advisory Contracts in June 2007.
Because the Board was approving Advisory Contracts with terms identical to the current Advisory Contracts, it did not consider the fund's investment performance, competitiveness of management fee and total expenses, costs of services and profitability, or economies of scale to be significant factors in its decision.
In connection with its future renewal of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent, and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the fund's management fee and total expenses; (iii) the costs of the services and profitability, including 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; and (iv) 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.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be approved, without modification, as part of the process of reorganizing the fund from one Trust to another.
Semiannual Report
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Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Research & Analysis Company
(formerly 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
The Bank of New York
New York, NY
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
AHI-USAN-0607
1.784884.104
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
High Income
Fund - Institutional Class
Semiannual Report
April 30, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Board Approval of Investment Advisory Contracts and Management Fees | ||
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (November 1, 2006 to April 30, 2007).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,065.40 | $ 5.12** |
HypotheticalA | $ 1,000.00 | $ 1,019.84 | $ 5.01** |
Class T | |||
Actual | $ 1,000.00 | $ 1,065.00 | $ 5.63 |
HypotheticalA | $ 1,000.00 | $ 1,019.34 | $ 5.51 |
Class B | |||
Actual | $ 1,000.00 | $ 1,060.50 | $ 8.94 |
HypotheticalA | $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Class C | |||
Actual | $ 1,000.00 | $ 1,060.00 | $ 9.45 |
HypotheticalA | $ 1,000.00 | $ 1,015.62 | $ 9.25 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,066.10 | $ 4.35 |
HypotheticalA | $ 1,000.00 | $ 1,020.58 | $ 4.26 |
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).
** If fees and changes to voluntary expense limitations, effective April 1, 2007 had been in effect during the entire period, the annualized expense ratio would have been 1.08% and the expenses paid in the actual and hypothetical examples above would have been $5.53 and $5.41, respectively.
Annualized | |
Class A | 1.00% |
Class T | 1.10% |
Class B | 1.75% |
Class C | 1.85% |
Institutional Class | .85% |
Semiannual Report
Investment Changes
Top Five Holdings as of April 30, 2007 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
Ford Motor Credit Co. | 2.4 | 1.6 |
Level 3 Financing, Inc. | 2.1 | 1.0 |
Intelsat Ltd. | 1.9 | 2.5 |
MGM Mirage, Inc. | 1.6 | 1.2 |
Georgia-Pacific Corp. | 1.6 | 1.3 |
9.6 | ||
Top Five Market Sectors as of April 30, 2007 | ||
% of fund's | % of fund's net assets | |
Energy | 9.1 | 8.1 |
Telecommunications | 8.6 | 8.7 |
Healthcare | 6.8 | 5.3 |
Technology | 6.6 | 10.5 |
Gaming | 5.9 | 6.5 |
Quality Diversification (% of fund's net assets) | |||||||
As of April 30, 2007 * | As of October 31, 2006 ** | ||||||
![]() | AAA,AA,A 0.6% | ![]() | AAA,AA,A 0.7% | ||||
![]() | BBB 0.8% | ![]() | BBB 0.5% | ||||
![]() | BB 34.5% | ![]() | BB 35.7% | ||||
![]() | B 43.9% | ![]() | B 42.5% | ||||
![]() | CCC,CC,C 11.2% | ![]() | CCC,CC,C 13.3% | ||||
![]() | Not Rated 2.1% | ![]() | Not Rated 1.7% | ||||
![]() | Equities 0.3% | ![]() | Equities 0.0% | ||||
![]() | 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. |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2007 * | As of October 31, 2006 ** | ||||||
![]() | Nonconvertible | ![]() | Nonconvertible | ||||
![]() | Convertible Bonds, Preferred Stocks 0.3% | ![]() | Convertible Bonds, Preferred Stocks 0.0% | ||||
![]() | Foreign Government | ![]() | Foreign Government | ||||
![]() | Floating Rate Loans 8.5% | ![]() | Floating Rate Loans 5.6% | ||||
![]() | Other Investments 0.0% | ![]() | Other Investments 0.2% | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 14.8% | **Foreign investments | 16.7% |
Semiannual Report
Investments April 30, 2007 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 84.3% | ||||
Principal Amount | Value | |||
Aerospace - 0.8% | ||||
Bombardier, Inc.: | ||||
6.75% 5/1/12 (c) | $ 860,000 | $ 862,150 | ||
7.45% 5/1/34 (c) | 1,300,000 | 1,254,500 | ||
8% 11/15/14 (c) | 500,000 | 526,250 | ||
L-3 Communications Corp. 7.625% 6/15/12 | 1,770,000 | 1,831,950 | ||
4,474,850 | ||||
Air Transportation - 2.0% | ||||
American Airlines, Inc. pass thru trust certificates: | ||||
6.817% 5/23/11 | 3,100,000 | 3,157,970 | ||
7.324% 4/15/11 | 960,000 | 969,600 | ||
8.608% 10/1/12 | 200,000 | 211,500 | ||
AMR Corp. 9% 8/1/12 | 775,000 | 811,813 | ||
Continental Airlines, Inc. 7.339% 4/19/14 | 420,000 | 426,825 | ||
Continental Airlines, Inc.: | ||||
6.903% 4/19/22 | 260,000 | 262,925 | ||
7.875% 7/2/18 | 192,909 | 200,626 | ||
9.558% 9/1/19 | 232,796 | 258,985 | ||
Continental Airlines, Inc. pass thru trust certificates: | ||||
8.312% 10/2/12 | 115,174 | 117,190 | ||
8.388% 5/1/22 | 221,691 | 234,992 | ||
9.798% 4/1/21 | 3,444,668 | 3,823,581 | ||
10,476,007 | ||||
Automotive - 4.5% | ||||
Ford Motor Co.: | ||||
7.45% 7/16/31 | 1,115,000 | 882,244 | ||
9.98% 2/15/47 | 540,000 | 495,450 | ||
Ford Motor Credit Co.: | ||||
7% 10/1/13 | 4,055,000 | 3,842,113 | ||
7.25% 10/25/11 | 1,960,000 | 1,919,795 | ||
8% 12/15/16 | 1,665,000 | 1,623,375 | ||
8.105% 1/13/12 (d) | 2,130,000 | 2,106,038 | ||
9.8056% 4/15/12 (d) | 515,000 | 550,406 | ||
10.6049% 6/15/11 (d) | 2,608,000 | 2,816,640 | ||
General Motors Acceptance Corp.: | ||||
5.625% 5/15/09 | 680,000 | 670,444 | ||
6.75% 12/1/14 | 1,665,000 | 1,640,025 | ||
6.875% 9/15/11 | 770,000 | 772,888 | ||
8% 11/1/31 | 4,810,000 | 5,170,750 | ||
GMAC LLC 6% 12/15/11 | 1,050,000 | 1,019,813 | ||
23,509,981 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Banks and Thrifts - 0.6% | ||||
Western Financial Bank 9.625% 5/15/12 | $ 3,065,000 | $ 3,323,845 | ||
Broadcasting - 0.4% | ||||
Nexstar Broadcasting, Inc. 7% 1/15/14 | 1,355,000 | 1,314,350 | ||
Nexstar Finance Holdings LLC/Nexstar Finance Holdings, Inc. 0% 4/1/13 (b) | 710,000 | 697,575 | ||
2,011,925 | ||||
Building Materials - 0.5% | ||||
Anixter International, Inc. 5.95% 3/1/15 | 1,130,000 | 1,062,200 | ||
Belden CDT, Inc. 7% 3/15/17 (c) | 830,000 | 848,675 | ||
General Cable Corp.: | ||||
7.125% 4/1/17 (c) | 220,000 | 221,100 | ||
7.725% 4/1/15 (c)(d) | 550,000 | 555,500 | ||
2,687,475 | ||||
Cable TV - 3.6% | ||||
Cablevision Systems Corp. 9.82% 4/1/09 (d) | 1,525,000 | 1,612,688 | ||
Charter Communications Holdings I LLC: | ||||
9.92% 4/1/14 | 1,305,000 | 1,220,175 | ||
10% 5/15/14 | 1,320,000 | 1,227,600 | ||
11.125% 1/15/14 | 1,005,000 | 974,850 | ||
12.125% 1/15/15 | 860,000 | 860,000 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 10.25% 9/15/10 | 665,000 | 708,225 | ||
DirecTV Holdings LLC/DirecTV Financing, Inc. 6.375% 6/15/15 | 230,000 | 220,800 | ||
EchoStar Communications Corp.: | ||||
5.75% 10/1/08 | 480,000 | 480,000 | ||
6.625% 10/1/14 | 510,000 | 516,375 | ||
7% 10/1/13 | 2,190,000 | 2,274,863 | ||
7.125% 2/1/16 | 2,115,000 | 2,199,600 | ||
Kabel Deutschland GmbH 10.625% 7/1/14 | 1,475,000 | 1,652,000 | ||
NTL Cable PLC: | ||||
8.75% 4/15/14 | 970,000 | 1,018,500 | ||
9.125% 8/15/16 | 925,000 | 989,750 | ||
Umbrella Acquisition, Inc. 9.75% 3/15/15 pay-in-kind (c) | 3,105,000 | 3,124,562 | ||
19,079,988 | ||||
Capital Goods - 1.3% | ||||
Case New Holland, Inc. 7.125% 3/1/14 | 1,020,000 | 1,068,450 | ||
Leucadia National Corp.: | ||||
7% 8/15/13 | 1,840,000 | 1,849,200 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Capital Goods - continued | ||||
Leucadia National Corp.: - continued | ||||
7.125% 3/15/17 (c) | $ 3,080,000 | $ 3,064,600 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 1,045,000 | 1,071,125 | ||
7,053,375 | ||||
Chemicals - 3.7% | ||||
Chemtura Corp. 6.875% 6/1/16 | 1,385,000 | 1,378,075 | ||
Equistar Chemicals LP 7.55% 2/15/26 | 775,000 | 759,500 | ||
Equistar Chemicals LP/Equistar Funding Corp.: | ||||
8.75% 2/15/09 | 430,000 | 449,350 | ||
10.125% 9/1/08 | 420,000 | 443,625 | ||
Lyondell Chemical Co.: | ||||
8% 9/15/14 | 1,150,000 | 1,208,938 | ||
8.25% 9/15/16 | 1,150,000 | 1,234,813 | ||
Millennium America, Inc. 9.25% 6/15/08 | 970,000 | 1,006,375 | ||
Momentive Performance Materials, Inc. 9.75% 12/1/14 (c) | 3,290,000 | 3,470,950 | ||
Nalco Co. 7.75% 11/15/11 | 1,155,000 | 1,185,319 | ||
Nell AF Sarl 8.375% 8/15/15 (c) | 2,810,000 | 2,929,425 | ||
NOVA Chemicals Corp.: | ||||
7.4% 4/1/09 | 820,000 | 838,450 | ||
8.5019% 11/15/13 (d) | 865,000 | 880,138 | ||
Phibro Animal Health Corp.: | ||||
10% 8/1/13 (c) | 960,000 | 1,027,200 | ||
13% 8/1/14 (c) | 1,205,000 | 1,289,350 | ||
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 | 1,465,000 | 1,567,550 | ||
19,669,058 | ||||
Consumer Products - 0.1% | ||||
Jostens Holding Corp. 0% 12/1/13 (b) | 680,000 | 605,200 | ||
Containers - 0.9% | ||||
Berry Plastics Holding Corp. 8.875% 9/15/14 | 515,000 | 529,163 | ||
BWAY Corp. 10% 10/15/10 | 2,610,000 | 2,733,975 | ||
Greif Brothers Corp. 6.75% 2/1/17 (c) | 1,530,000 | 1,545,300 | ||
4,808,438 | ||||
Diversified Financial Services - 0.6% | ||||
E*TRADE Financial Corp.: | ||||
7.375% 9/15/13 | 515,000 | 535,600 | ||
7.875% 12/1/15 | 1,030,000 | 1,111,113 | ||
8% 6/15/11 | 1,310,000 | 1,375,500 | ||
3,022,213 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Diversified Media - 1.5% | ||||
Affinion Group, Inc. 11.5% 10/15/15 | $ 1,285,000 | $ 1,416,713 | ||
LBI Media Holdings, Inc. 0% 10/15/13 (b) | 1,240,000 | 1,134,600 | ||
LBI Media, Inc. 10.125% 7/15/12 | 1,020,000 | 1,073,550 | ||
Liberty Media Corp. 8.25% 2/1/30 | 250,000 | 250,612 | ||
Nielsen Finance LLC/Co.: | ||||
0% 8/1/16 (b)(c) | 1,625,000 | 1,174,063 | ||
10% 8/1/14 (c) | 885,000 | 969,075 | ||
Quebecor Media, Inc. 7.75% 3/15/16 | 2,040,000 | 2,131,800 | ||
8,150,413 | ||||
Electric Utilities - 2.3% | ||||
AES Corp. 9.375% 9/15/10 | 875,000 | 957,031 | ||
AES Gener SA 7.5% 3/25/14 | 2,995,000 | 3,189,675 | ||
Aquila, Inc. 14.875% 7/1/12 | 885,000 | 1,150,500 | ||
Mirant Americas Generation LLC 8.5% 10/1/21 | 465,000 | 478,950 | ||
NRG Energy, Inc.: | ||||
7.25% 2/1/14 | 430,000 | 443,975 | ||
7.375% 2/1/16 | 645,000 | 670,800 | ||
7.375% 1/15/17 | 430,000 | 448,275 | ||
NSG Holdings II, LLC 7.75% 12/15/25 (c) | 1,410,000 | 1,448,775 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (c) | 1,851,539 | 1,870,054 | ||
Utilicorp Canada Finance Corp. 7.75% 6/15/11 | 1,550,000 | 1,637,188 | ||
Utilicorp United, Inc. 9.95% 2/1/11 (d) | 29,000 | 31,755 | ||
12,326,978 | ||||
Energy - 8.4% | ||||
Atlas Pipeline Partners LP 8.125% 12/15/15 | 1,440,000 | 1,483,200 | ||
Chaparral Energy, Inc.: | ||||
8.5% 12/1/15 | 1,010,000 | 1,022,625 | ||
8.875% 2/1/17 (c) | 660,000 | 674,850 | ||
Chesapeake Energy Corp.: | ||||
6.5% 8/15/17 | 2,780,000 | 2,766,100 | ||
6.875% 1/15/16 | 1,390,000 | 1,388,263 | ||
7.625% 7/15/13 | 1,850,000 | 1,963,313 | ||
7.75% 1/15/15 | 1,225,000 | 1,280,125 | ||
Complete Production Services, Inc. 8% 12/15/16 (c) | 1,540,000 | 1,593,900 | ||
Energy Partners Ltd.: | ||||
9.75% 4/15/14 (c) | 990,000 | 1,003,613 | ||
10.48% 4/15/13 (c)(d) | 1,090,000 | 1,103,625 | ||
Forest Oil Corp.: | ||||
7.75% 5/1/14 | 540,000 | 551,475 | ||
8% 12/15/11 | 540,000 | 564,300 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Energy - continued | ||||
Hanover Compressor Co.: | ||||
8.625% 12/15/10 | $ 630,000 | $ 656,775 | ||
9% 6/1/14 | 685,000 | 738,088 | ||
Hanover Equipment Trust 8.75% 9/1/11 | 245,000 | 252,963 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.: | ||||
7.75% 11/1/15 (c) | 2,120,000 | 2,133,250 | ||
9% 6/1/16 (c) | 1,630,000 | 1,735,950 | ||
OPTI Canada, Inc. 8.25% 12/15/14 (c) | 1,595,000 | 1,692,774 | ||
Pan American Energy LLC 7.75% 2/9/12 (c) | 1,400,000 | 1,438,500 | ||
Parker Drilling Co.: | ||||
9.625% 10/1/13 | 880,000 | 954,800 | ||
10.11% 9/1/10 (d) | 1,099,000 | 1,120,980 | ||
Petrohawk Energy Corp. 9.125% 7/15/13 | 3,270,000 | 3,507,075 | ||
Pioneer Natural Resources Co. 6.65% 3/15/17 | 610,000 | 598,563 | ||
Plains Exploration & Production Co. 7% 3/15/17 | 1,530,000 | 1,535,738 | ||
Range Resources Corp.: | ||||
6.375% 3/15/15 (Reg. S) | 1,600,000 | 1,584,000 | ||
7.375% 7/15/13 | 2,515,000 | 2,565,300 | ||
7.5% 5/15/16 | 2,050,000 | 2,116,625 | ||
Seitel, Inc. 9.75% 2/15/14 (c) | 1,620,000 | 1,648,350 | ||
SESI LLC 6.875% 6/1/14 | 1,010,000 | 1,004,950 | ||
Stone Energy Corp. 6.75% 12/15/14 | 960,000 | 895,200 | ||
Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13 (c) | 900,000 | 922,500 | ||
Williams Partners LP/Williams Partners Finance Corp.: | ||||
7.25% 2/1/17 (c) | 1,060,000 | 1,123,600 | ||
7.5% 6/15/11 (c) | 515,000 | 547,188 | ||
44,168,558 | ||||
Entertainment/Film - 0.4% | ||||
AMC Entertainment, Inc. 8% 3/1/14 | 1,790,000 | 1,834,750 | ||
Environmental - 0.7% | ||||
Allied Waste North America, Inc.: | ||||
5.75% 2/15/11 | 190,000 | 186,675 | ||
6.875% 6/1/17 | 1,745,000 | 1,766,813 | ||
7.125% 5/15/16 | 1,265,000 | 1,295,044 | ||
Browning-Ferris Industries, Inc.: | ||||
6.375% 1/15/08 | 160,000 | 160,400 | ||
7.4% 9/15/35 | 220,000 | 211,200 | ||
3,620,132 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Food and Drug Retail - 1.3% | ||||
Albertsons, Inc.: | ||||
7.45% 8/1/29 | $ 855,000 | $ 860,044 | ||
7.75% 6/15/26 | 980,000 | 1,004,500 | ||
8% 5/1/31 | 630,000 | 658,044 | ||
Rite Aid Corp. 7.5% 3/1/17 | 3,250,000 | 3,233,750 | ||
SUPERVALU, Inc. 7.5% 11/15/14 | 1,120,000 | 1,170,400 | ||
6,926,738 | ||||
Food/Beverage/Tobacco - 1.3% | ||||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 1,110,000 | 1,168,275 | ||
Pierre Foods, Inc. 9.875% 7/15/12 | 1,005,000 | 1,045,200 | ||
Reynolds American, Inc.: | ||||
7.25% 6/1/13 | 1,035,000 | 1,099,688 | ||
7.3% 7/15/15 | 1,775,000 | 1,892,594 | ||
Swift & Co.: | ||||
10.125% 10/1/09 | 1,315,000 | 1,354,450 | ||
12.5% 1/1/10 | 290,000 | 300,875 | ||
6,861,082 | ||||
Gaming - 5.6% | ||||
Chukchansi Economic Development Authority: | ||||
8% 11/15/13 (c) | 795,000 | 823,819 | ||
8.8769% 11/15/12 (c)(d) | 360,000 | 368,100 | ||
Mandalay Resort Group 9.375% 2/15/10 | 2,365,000 | 2,548,288 | ||
MGM Mirage, Inc.: | ||||
6.625% 7/15/15 | 1,235,000 | 1,193,319 | ||
6.75% 9/1/12 | 3,010,000 | 3,013,763 | ||
6.75% 4/1/13 | 735,000 | 731,325 | ||
6.875% 4/1/16 | 1,460,000 | 1,430,800 | ||
7.625% 1/15/17 | 2,310,000 | 2,359,088 | ||
Mohegan Tribal Gaming Authority: | ||||
6.125% 2/15/13 | 640,000 | 627,200 | ||
6.375% 7/15/09 | 1,830,000 | 1,834,575 | ||
7.125% 8/15/14 | 585,000 | 593,044 | ||
8% 4/1/12 | 290,000 | 301,238 | ||
Park Place Entertainment Corp. 7% 4/15/13 | 1,455,000 | 1,545,938 | ||
Scientific Games Corp. 6.25% 12/15/12 | 925,000 | 913,438 | ||
Seminole Hard Rock Entertainment, Inc. 7.86% 3/15/14 (c)(d) | 575,000 | 586,500 | ||
Seneca Gaming Corp.: | ||||
Series B, 7.25% 5/1/12 | 1,450,000 | 1,475,375 | ||
7.25% 5/1/12 | 2,135,000 | 2,172,363 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Gaming - continued | ||||
Snoqualmie Entertainment Authority: | ||||
9.125% 2/1/15 (c) | $ 730,000 | $ 755,550 | ||
9.1488% 2/1/14 (c)(d) | 920,000 | 938,400 | ||
Station Casinos, Inc. 6.875% 3/1/16 | 1,155,000 | 1,087,144 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
0% 1/15/13 (b) | 590,000 | 454,300 | ||
9% 1/15/12 | 1,380,000 | 1,428,300 | ||
Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 2,305,000 | 2,339,575 | ||
29,521,442 | ||||
Healthcare - 6.6% | ||||
AmeriPath Intermediate Holdings, Inc. 0% 2/15/14 pay-in-kind (c)(d) | 550,000 | 550,000 | ||
AmeriPath, Inc. 10.5% 4/1/13 | 895,000 | 974,476 | ||
CDRV Investors, Inc. 0% 1/1/15 (b) | 2,765,000 | 2,419,375 | ||
Concentra Operating Corp.: | ||||
9.125% 6/1/12 | 1,125,000 | 1,200,938 | ||
9.5% 8/15/10 | 450,000 | 474,750 | ||
HCA, Inc.: | ||||
6.5% 2/15/16 | 1,000,000 | 868,750 | ||
9.125% 11/15/14 (c) | 1,535,000 | 1,657,800 | ||
9.25% 11/15/16 (c) | 1,580,000 | 1,722,200 | ||
9.625% 11/15/16 pay-in-kind (c) | 1,220,000 | 1,332,850 | ||
HealthSouth Corp. 10.75% 6/15/16 (c) | 1,450,000 | 1,576,875 | ||
IASIS Healthcare LLC/IASIS Capital Corp. 8.75% 6/15/14 | 1,385,000 | 1,433,475 | ||
Multiplan, Inc. 10.375% 4/15/16 (c) | 935,000 | 998,113 | ||
National Mentor Holdings, Inc. 11.25% 7/1/14 | 1,120,000 | 1,229,200 | ||
Omega Healthcare Investors, Inc.: | ||||
7% 4/1/14 | 2,840,000 | 2,879,050 | ||
7% 1/15/16 | 1,635,000 | 1,653,394 | ||
Rural/Metro Corp. 9.875% 3/15/15 | 515,000 | 547,188 | ||
Senior Housing Properties Trust 8.625% 1/15/12 | 745,000 | 819,500 | ||
Service Corp. International: | ||||
6.75% 4/1/15 (c) | 1,260,000 | 1,272,600 | ||
7.375% 10/1/14 | 680,000 | 705,500 | ||
7.5% 4/1/27 (c) | 1,530,000 | 1,522,350 | ||
7.625% 10/1/18 | 490,000 | 518,175 | ||
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13 | 1,550,000 | 1,643,000 | ||
United Surgical Partners International, Inc.: | ||||
8.875% 5/1/17 (c) | 590,000 | 606,225 | ||
9.25% 5/1/17 pay-in-kind (c) | 760,000 | 780,900 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Healthcare - continued | ||||
US Oncology Holdings, Inc. 9.7969% 3/15/12 pay-in-kind (c)(d) | $ 1,670,000 | $ 1,688,788 | ||
Ventas Realty LP: | ||||
6.5% 6/1/16 | 1,810,000 | 1,828,100 | ||
6.625% 10/15/14 | 830,000 | 838,300 | ||
6.75% 4/1/17 | 850,000 | 864,875 | ||
34,606,747 | ||||
Homebuilding/Real Estate - 2.2% | ||||
American Real Estate Partners/American Real Estate Finance Corp.: | ||||
7.125% 2/15/13 | 825,000 | 811,594 | ||
7.125% 2/15/13 (c) | 2,345,000 | 2,303,963 | ||
8.125% 6/1/12 | 2,920,000 | 2,978,400 | ||
K. Hovnanian Enterprises, Inc.: | ||||
6% 1/15/10 | 310,000 | 302,250 | ||
6.25% 1/15/15 | 785,000 | 714,350 | ||
8.875% 4/1/12 | 910,000 | 887,250 | ||
KB Home 7.75% 2/1/10 | 2,095,000 | 2,095,000 | ||
Technical Olympic USA, Inc.: | ||||
7.5% 3/15/11 | 470,000 | 350,150 | ||
7.5% 1/15/15 | 935,000 | 659,175 | ||
10.375% 7/1/12 | 495,000 | 394,763 | ||
11,496,895 | ||||
Hotels - 0.7% | ||||
Grupo Posadas SA de CV 8.75% 10/4/11 (c) | 1,020,000 | 1,065,900 | ||
Host Marriott LP 7.125% 11/1/13 | 2,415,000 | 2,493,488 | ||
3,559,388 | ||||
Insurance - 0.5% | ||||
UnumProvident Corp. 7.375% 6/15/32 | 660,000 | 708,332 | ||
UnumProvident Finance Co. PLC 6.85% 11/15/15 (c) | 760,000 | 794,200 | ||
USI Holdings Corp.: | ||||
9.23% 11/15/14 (c)(d) | 720,000 | 727,200 | ||
9.75% 5/15/15 (c) | 260,000 | 265,525 | ||
2,495,257 | ||||
Leisure - 2.1% | ||||
NCL Corp. Ltd. 10.625% 7/15/14 | 615,000 | 606,544 | ||
Royal Caribbean Cruises Ltd. yankee: | ||||
7% 6/15/13 | 2,005,000 | 2,075,554 | ||
7.25% 6/15/16 | 590,000 | 609,913 | ||
7.5% 10/15/27 | 1,680,000 | 1,671,600 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Leisure - continued | ||||
Town Sports International Holdings, Inc. 0% 2/1/14 (b) | $ 708,000 | $ 640,740 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 2,660,000 | 2,828,910 | ||
Universal City Florida Holding Co. I/II: | ||||
8.375% 5/1/10 | 225,000 | 232,875 | ||
10.11% 5/1/10 (d) | 2,180,000 | 2,253,575 | ||
10,919,711 | ||||
Metals/Mining - 4.4% | ||||
Arch Western Finance LLC 6.75% 7/1/13 | 2,260,000 | 2,243,050 | ||
Compass Minerals International, Inc.: | ||||
0% 12/15/12 (b) | 865,000 | 873,650 | ||
0% 6/1/13 (b) | 1,620,000 | 1,571,400 | ||
Drummond Co., Inc. 7.375% 2/15/16 (c) | 2,735,000 | 2,646,113 | ||
FMG Finance Property Ltd.: | ||||
9.36% 9/1/11 (c)(d) | 1,090,000 | 1,151,313 | ||
10% 9/1/13 (c) | 705,000 | 774,619 | ||
10.625% 9/1/16 (c) | 705,000 | 823,088 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
8.25% 4/1/15 | 540,000 | 585,225 | ||
8.375% 4/1/17 | 565,000 | 618,675 | ||
8.5463% 4/1/15 (d) | 1,080,000 | 1,136,700 | ||
Massey Energy Co. 6.875% 12/15/13 | 2,580,000 | 2,492,925 | ||
Peabody Energy Corp.: | ||||
7.375% 11/1/16 | 1,000,000 | 1,060,000 | ||
7.875% 11/1/26 | 1,005,000 | 1,085,400 | ||
PNA Group, Inc. 10.75% 9/1/16 (c) | 1,670,000 | 1,841,175 | ||
PNA Intermediate Holding Corp. 12.36% 2/15/13 pay-in-kind (c)(d) | 540,000 | 550,800 | ||
RathGibson, Inc. 11.25% 2/15/14 | 1,710,000 | 1,786,950 | ||
Vedanta Resources PLC 6.625% 2/22/10 (c) | 2,055,000 | 2,062,809 | ||
23,303,892 | ||||
Paper - 2.3% | ||||
Catalyst Paper Corp. 8.625% 6/15/11 | 1,060,000 | 1,067,950 | ||
Georgia-Pacific Corp.: | ||||
7% 1/15/15 (c) | 3,320,000 | 3,323,984 | ||
8% 1/15/24 | 630,000 | 633,150 | ||
8.875% 5/15/31 | 1,255,000 | 1,339,713 | ||
Jefferson Smurfit Corp. U.S. 7.5% 6/1/13 | 1,050,000 | 1,039,500 | ||
Smurfit-Stone Container Enterprises, Inc. 8% 3/15/17 (c) | 1,620,000 | 1,615,950 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Paper - continued | ||||
Stone Container Finance Co. 7.375% 7/15/14 | $ 1,745,000 | $ 1,710,100 | ||
Valassis Communications, Inc. 8.25% 3/1/15 (c) | 1,590,000 | 1,566,150 | ||
12,296,497 | ||||
Publishing/Printing - 0.5% | ||||
Dex Media West LLC/Dex Media West Finance Co. 8.5% 8/15/10 | 785,000 | 821,306 | ||
Scholastic Corp. 5% 4/15/13 | 805,000 | 710,413 | ||
The Reader's Digest Association, Inc. 9% 2/15/17 (c) | 1,245,000 | 1,223,213 | ||
2,754,932 | ||||
Railroad - 0.2% | ||||
Kansas City Southern Railway Co. 7.5% 6/15/09 | 1,100,000 | 1,124,750 | ||
Restaurants - 1.2% | ||||
Carrols Corp. 9% 1/15/13 | 2,035,000 | 2,096,050 | ||
Friendly Ice Cream Corp. 8.375% 6/15/12 | 2,070,000 | 2,038,950 | ||
Landry's Seafood Restaurants, Inc. 7.5% 12/15/14 | 2,305,000 | 2,287,713 | ||
6,422,713 | ||||
Services - 3.8% | ||||
Aramark Corp.: | ||||
8.5% 2/1/15 (c) | 910,000 | 950,950 | ||
8.86% 2/1/15 (c)(d) | 380,000 | 392,825 | ||
Ashtead Capital, Inc. 9% 8/15/16 (c) | 1,200,000 | 1,293,000 | ||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
7.625% 5/15/14 (c) | 1,735,000 | 1,778,375 | ||
7.75% 5/15/16 (c) | 1,550,000 | 1,588,750 | ||
7.86% 5/15/14 (c)(d) | 210,000 | 215,775 | ||
Education Management LLC/Education Management Finance Corp. 10.25% 6/1/16 | 980,000 | 1,068,200 | ||
FTI Consulting, Inc.: | ||||
7.625% 6/15/13 | 2,425,000 | 2,497,750 | ||
7.75% 10/1/16 | 1,000,000 | 1,043,750 | ||
Hertz Corp.: | ||||
8.875% 1/1/14 | 485,000 | 521,375 | ||
10.5% 1/1/16 | 845,000 | 967,525 | ||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 365,000 | 353,138 | ||
7.75% 1/15/15 | 365,000 | 373,213 | ||
8.25% 7/1/11 | 735,000 | 736,838 | ||
8.625% 4/1/13 | 1,110,000 | 1,137,750 | ||
Penhall International Corp. 12% 8/1/14 (c) | 1,040,000 | 1,138,800 | ||
Rental Service Corp. 9.5% 12/1/14 (c) | 1,070,000 | 1,138,213 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Services - continued | ||||
Rural/Metro Corp. 0% 3/15/16 (b) | $ 1,305,000 | $ 1,044,000 | ||
United Rentals North America, Inc. 7% 2/15/14 | 1,900,000 | 1,933,250 | ||
20,173,477 | ||||
Shipping - 2.3% | ||||
Navios Maritime Holdings, Inc. 9.5% 12/15/14 (c) | 1,825,000 | 1,916,250 | ||
OMI Corp. 7.625% 12/1/13 | 3,310,000 | 3,409,300 | ||
Overseas Shipholding Group, Inc.: | ||||
7.5% 2/15/24 | 130,000 | 133,575 | ||
8.25% 3/15/13 | 420,000 | 441,000 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 4,555,000 | 4,737,200 | ||
Teekay Shipping Corp. 8.875% 7/15/11 | 1,245,000 | 1,332,150 | ||
11,969,475 | ||||
Steels - 0.6% | ||||
Steel Dynamics, Inc. 6.75% 4/1/15 (c) | 3,060,000 | 3,063,825 | ||
Super Retail - 1.7% | ||||
Michaels Stores, Inc.: | ||||
10% 11/1/14 (c) | 1,940,000 | 2,124,300 | ||
11.375% 11/1/16 (c) | 760,000 | 836,000 | ||
NBC Acquisition Corp. 0% 3/15/13 (b) | 1,980,000 | 1,663,200 | ||
Nebraska Book Co., Inc. 8.625% 3/15/12 | 1,645,000 | 1,657,338 | ||
Sonic Automotive, Inc. 8.625% 8/15/13 | 1,605,000 | 1,673,213 | ||
Toys 'R' US, Inc. 7.625% 8/1/11 | 1,155,000 | 1,118,906 | ||
9,072,957 | ||||
Technology - 6.6% | ||||
Avago Technologies Finance Ltd.: | ||||
10.125% 12/1/13 | 1,400,000 | 1,529,500 | ||
10.86% 6/1/13 (d) | 945,000 | 987,525 | ||
11.875% 12/1/15 | 540,000 | 612,900 | ||
Celestica, Inc. 7.875% 7/1/11 | 1,605,000 | 1,568,888 | ||
Freescale Semiconductor, Inc.: | ||||
8.875% 12/15/14 (c) | 1,895,000 | 1,902,201 | ||
9.125% 12/15/14 pay-in-kind (c) | 1,425,000 | 1,421,438 | ||
9.2299% 12/15/14 (c)(d) | 1,515,000 | 1,518,788 | ||
10.125% 12/15/16 (c) | 2,030,000 | 2,052,939 | ||
IKON Office Solutions, Inc. 7.75% 9/15/15 | 1,630,000 | 1,707,425 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 3,305,000 | 3,007,550 | ||
6.5% 1/15/28 | 1,065,000 | 969,150 | ||
Nortel Networks Corp.: | ||||
9.6056% 7/15/11 (c)(d) | 1,335,000 | 1,431,788 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Technology - continued | ||||
Nortel Networks Corp.: - continued | ||||
10.125% 7/15/13 (c) | $ 1,520,000 | $ 1,685,300 | ||
NXP BV: | ||||
7.875% 10/15/14 (c) | 2,450,000 | 2,544,938 | ||
8.1056% 10/15/13 (c)(d) | 1,700,000 | 1,755,250 | ||
9.5% 10/15/15 (c) | 1,915,000 | 2,010,750 | ||
Sanmina-SCI Corp.: | ||||
6.75% 3/1/13 | 655,000 | 620,613 | ||
8.125% 3/1/16 | 745,000 | 724,513 | ||
Seagate Technology HDD Holdings 6.8% 10/1/16 | 565,000 | 560,763 | ||
STATS ChipPAC Ltd. 7.5% 7/19/10 | 345,000 | 363,561 | ||
SunGard Data Systems, Inc.: | ||||
9.125% 8/15/13 | 1,100,000 | 1,179,750 | ||
10.25% 8/15/15 | 310,000 | 341,000 | ||
Xerox Capital Trust I 8% 2/1/27 | 3,445,000 | 3,518,206 | ||
Xerox Corp. 7.625% 6/15/13 | 1,010,000 | 1,052,925 | ||
35,067,661 | ||||
Telecommunications - 7.3% | ||||
Digicel Group Ltd.: | ||||
8.875% 1/15/15 (c) | 1,540,000 | 1,509,200 | ||
9.125% 1/15/15 pay-in-kind (c) | 670,000 | 649,063 | ||
Digicel Ltd. 9.25% 9/1/12 (c) | 2,360,000 | 2,504,550 | ||
Intelsat Bermuda Ltd. 8.8719% 1/15/15 (d) | 1,065,000 | 1,088,963 | ||
Intelsat Ltd.: | ||||
6.5% 11/1/13 | 2,940,000 | 2,528,400 | ||
7.625% 4/15/12 | 2,090,000 | 1,964,600 | ||
9.25% 6/15/16 | 2,360,000 | 2,598,950 | ||
11.25% 6/15/16 | 2,305,000 | 2,627,700 | ||
Level 3 Financing, Inc.: | ||||
8.75% 2/15/17 (c) | 1,615,000 | 1,643,263 | ||
9.15% 2/15/15 (c)(d) | 1,865,000 | 1,885,888 | ||
9.25% 11/1/14 (c) | 4,960,000 | 5,146,000 | ||
12.25% 3/15/13 | 2,355,000 | 2,752,524 | ||
MetroPCS Wireless, Inc. 9.25% 11/1/14 (c) | 960,000 | 1,022,400 | ||
Mobile Telesystems Finance SA 8% 1/28/12 (c) | 1,301,000 | 1,379,060 | ||
PanAmSat Corp. 9% 8/15/14 | 919,000 | 990,223 | ||
Qwest Corp.: | ||||
7.5% 10/1/14 | 1,475,000 | 1,556,125 | ||
8.6049% 6/15/13 (d) | 3,080,000 | 3,364,900 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 1,005,000 | 982,388 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
Telecommunications - continued | ||||
U.S. West Communications: - continued | ||||
7.5% 6/15/23 | $ 1,040,000 | $ 1,060,800 | ||
Windstream Corp.: | ||||
8.125% 8/1/13 | 355,000 | 385,175 | ||
8.625% 8/1/16 | 1,010,000 | 1,108,475 | ||
38,748,647 | ||||
Textiles & Apparel - 0.8% | ||||
Hanesbrands, Inc. 8.735% 12/15/14 (c)(d) | 1,025,000 | 1,053,188 | ||
Levi Strauss & Co. 8.875% 4/1/16 | 2,870,000 | 3,085,250 | ||
4,138,438 | ||||
TOTAL NONCONVERTIBLE BONDS (Cost $430,718,779) | 445,347,710 | |||
Foreign Government and Government Agency Obligations - 0.2% | ||||
Orascom Telecom Finance SCA 7.875% 2/8/14 (c) | 1,090,000 | 1,078,065 |
Nonconvertible Preferred Stocks - 0.3% | |||
Shares | |||
Telecommunications - 0.3% | |||
Rural Cellular Corp. 12.25% pay-in-kind | 1,426 | 1,682,680 |
Floating Rate Loans - 8.5% | ||||
Principal Amount | ||||
Air Transportation - 0.5% | ||||
United Air Lines, Inc. Tranche B, term loan 7.375% 2/1/14 (d) | $ 2,890,000 | 2,886,388 | ||
Auto Parts Distribution - 0.6% | ||||
Navistar International Corp.: | ||||
term loan 8.6099% 1/19/12 (d) | 726,000 | 736,890 | ||
8.5994% 1/19/12 (d) | 264,000 | 267,960 | ||
Oshkosh Truck Co. Tranche B, term loan 7.1% 12/6/13 (d) | 2,234,400 | 2,239,986 | ||
3,244,836 | ||||
Automotive - 1.1% | ||||
Ford Motor Co. term loan 8.36% 12/15/13 (d) | 5,605,950 | 5,633,938 | ||
Floating Rate Loans - continued | ||||
Principal Amount | Value | |||
Cable TV - 1.7% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 7.35% 3/6/14 (d) | $ 2,890,000 | $ 2,886,388 | ||
CSC Holdings, Inc. Tranche B, term loan 7.0838% 3/29/13 (d) | 2,544,300 | 2,553,841 | ||
Insight Midwest Holdings LLC Tranche B, term loan 7.35% 4/6/14 (d) | 1,800,000 | 1,810,125 | ||
Univision Communications, Inc.: | ||||
Tranche 1LN, term loan 7.605% 9/16/14 (d) | 1,522,148 | 1,520,245 | ||
Tranche DD 1LN, term loan 9/16/14 (d)(e) | 97,852 | 97,730 | ||
8,868,329 | ||||
Diversified Financial Services - 0.3% | ||||
LPL Holdings, Inc. Tranche C, term loan 7.85% 6/28/13 (d) | 1,795,500 | 1,813,455 | ||
Electric Utilities - 0.2% | ||||
Longview Power LLC: | ||||
Tranche B, term loan 7.625% 2/28/14 (d) | 432,000 | 434,160 | ||
Tranche DD, term loan 2/28/14 (d)(e) | 504,000 | 506,520 | ||
7.475% 2/28/14 (d) | 144,000 | 144,720 | ||
1,085,400 | ||||
Energy - 0.7% | ||||
Ashmore Energy International: | ||||
Revolving Credit-Linked Deposit 8.25% 3/30/12 (d) | 250,608 | 251,234 | ||
term loan 8.35% 3/30/14 (d) | 1,909,392 | 1,914,166 | ||
Sandridge Energy, Inc. term loan: | ||||
8.975% 4/1/14 (d) | 250,000 | 254,063 | ||
8.625% 4/1/15 (d) | 1,350,000 | 1,378,688 | ||
3,798,151 | ||||
Food/Beverage/Tobacco - 0.1% | ||||
Pierre Foods, Inc. Tranche B, term loan 7.61% 6/30/10 (d) | 324,286 | 326,313 | ||
Gaming - 0.3% | ||||
Kerzner International Ltd.: | ||||
term loan 8.34% 9/1/13 (d) | 907,592 | 905,323 | ||
Class DD, term loan 8.3418% 9/1/13 (d)(e) | 471,948 | 470,768 | ||
1,376,091 | ||||
Healthcare - 0.2% | ||||
Stiefel Laboratories, Inc. term loan: | ||||
7.605% 12/28/13 (d) | 239,400 | 241,495 | ||
10.355% 6/28/14 (d) | 830,000 | 847,638 | ||
1,089,133 | ||||
Floating Rate Loans - continued | ||||
Principal Amount | Value | |||
Metals/Mining - 0.2% | ||||
Freeport-McMoRan Copper & Gold, Inc. Tranche B, term loan 7.07% 3/19/14 (d) | $ 1,112,481 | $ 1,115,622 | ||
Paper - 0.6% | ||||
Georgia-Pacific Corp. Tranche B1, term loan 7.3199% 12/23/12 (d) | 3,367,375 | 3,384,212 | ||
Services - 0.8% | ||||
Adesa, Inc. term loan 7.57% 10/18/13 (d) | 2,220,000 | 2,233,875 | ||
NES Rentals Holdings, Inc. Tranche 2, term loan 12.125% 7/20/13 (d) | 163,943 | 165,992 | ||
Penhall International Corp. term loan 12.823% 4/1/12 (d) | 800,000 | 784,000 | ||
RSC Equipment Rental Tranche 2LN, term loan 8.8566% 11/30/13 (d) | 1,080,000 | 1,098,900 | ||
4,282,767 | ||||
Telecommunications - 1.0% | ||||
Digicel International Finance Ltd. term loan 7.85% 3/23/12 (d) | 2,390,000 | 2,392,988 | ||
Intelsat Bermuda Ltd. term loan 7.855% 1/12/14 (d) | 590,000 | 592,213 | ||
Level 3 Communications, Inc. term loan 7.605% 3/13/14 (d) | 2,300,000 | 2,311,500 | ||
5,296,701 | ||||
Textiles & Apparel - 0.2% | ||||
Levi Strauss & Co. term loan 7.59% 4/4/14 (d) | 880,000 | 872,850 | ||
TOTAL FLOATING RATE LOANS (Cost $44,837,020) | 45,074,186 |
Money Market Funds - 4.4% | |||
Shares | |||
Fidelity Cash Central Fund, 5.29% (a) | 23,081,321 | 23,081,321 | |
Cash Equivalents - 0.7% | |||
Maturity Amount | Value | ||
Investments in repurchase agreements in a joint trading account at 5.12%, dated 4/30/07 due 5/1/07 (Collateralized by U.S. Treasury Obligations) # | 3,370,479 | $ 3,370,000 | |
TOTAL INVESTMENT PORTFOLIO - 98.4% (Cost $504,716,788) | 519,633,962 | ||
NET OTHER ASSETS - 1.6% | 8,451,476 | ||
NET ASSETS - 100% | $ 528,085,438 |
Legend |
(a) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. |
(b) Security 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. |
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $132,347,833 or 25.1% of net assets. |
(d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(e) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $1,754,284 and $1,758,592, respectively. The coupon rate will be determined at time of settlement. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$3,370,000 due 5/01/07 at 5.12% | |
Banc of America Securities LLC | $ 514,761 |
Barclays Capital, Inc. | 1,147,983 |
Fortis Securities LLC | 735,886 |
Lehman Brothers, Inc. | 971,370 |
$ 3,370,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 483,988 |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 85.2% |
Bermuda | 4.1% |
Canada | 3.3% |
Marshall Islands | 1.3% |
Netherlands | 1.2% |
United Kingdom | 1.0% |
Others (individually less than 1%) | 3.9% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
April 30, 2007 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $3,370,000) - See accompanying schedule: Unaffiliated issuers (cost $481,635,467) | $ 496,552,641 | |
Fidelity Central Funds (cost $23,081,321) | 23,081,321 | |
Total Investments (cost $504,716,788) | $ 519,633,962 | |
Receivable for investments sold | 7,252,094 | |
Receivable for fund shares sold | 1,482,701 | |
Interest receivable | 9,478,607 | |
Distributions receivable from Fidelity Central Funds | 66,797 | |
Prepaid expenses | 1,599 | |
Receivable from investment adviser for expense reductions | 16,916 | |
Other receivables | 31 | |
Total assets | 537,932,707 | |
Liabilities | ||
Payable to custodian bank | $ 1,105,976 | |
Payable for investments purchased | 6,650,636 | |
Payable for fund shares redeemed | 1,073,977 | |
Distributions payable | 497,078 | |
Accrued management fee | 246,890 | |
Distribution fees payable | 124,224 | |
Other affiliated payables | 114,092 | |
Other payables and accrued expenses | 34,396 | |
Total liabilities | 9,847,269 | |
Net Assets | $ 528,085,438 | |
Net Assets consist of: | ||
Paid in capital | $ 507,657,189 | |
Undistributed net investment income | 598,829 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 4,912,246 | |
Net unrealized appreciation (depreciation) on investments | 14,917,174 | |
Net Assets | $ 528,085,438 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
April 30, 2007 (Unaudited) | ||
Calculation of Maximum Offering Price Class A: | $ 9.46 | |
Maximum offering price per share (100/96.00 of $9.46) | $ 9.85 | |
Class T: | $ 9.45 | |
Maximum offering price per share (100/96.00 of $9.45) | $ 9.84 | |
Class B: | $ 9.44 | |
Class C: | $ 9.44 | |
Institutional Class: | $ 9.47 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended April 30, 2007 (Unaudited) | ||
Investment Income | ||
Interest | $ 20,319,316 | |
Income from Fidelity Central Funds | 483,988 | |
Total income | 20,803,304 | |
Expenses | ||
Management fee | $ 1,472,014 | |
Transfer agent fees | 584,521 | |
Distribution fees | 694,991 | |
Accounting fees and expenses | 108,669 | |
Custodian fees and expenses | 11,087 | |
Independent trustees' compensation | 775 | |
Registration fees | 49,438 | |
Audit | 33,390 | |
Legal | 3,351 | |
Miscellaneous | 1,798 | |
Total expenses before reductions | 2,960,034 | |
Expense reductions | (103,013) | 2,857,021 |
Net investment income | 17,946,283 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 5,027,489 | |
Foreign currency transactions | 103 | |
Total net realized gain (loss) | 5,027,592 | |
Change in net unrealized appreciation (depreciation) on investment securities | 9,344,070 | |
Net gain (loss) | 14,371,662 | |
Net increase (decrease) in net assets resulting from operations | $ 32,317,945 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Six months ended | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 17,946,283 | $ 35,542,146 |
Net realized gain (loss) | 5,027,592 | 3,829,006 |
Change in net unrealized appreciation (depreciation) | 9,344,070 | 7,124,502 |
Net increase (decrease) in net assets resulting | 32,317,945 | 46,495,654 |
Distributions to shareholders from net investment income | (18,768,309) | (34,347,748) |
Distributions to shareholders from net realized gain | (2,796,937) | (7,477,368) |
Total distributions | (21,565,246) | (41,825,116) |
Share transactions - net increase (decrease) | 5,787,054 | 188,578 |
Redemption fees | 29,263 | 576,163 |
Total increase (decrease) in net assets | 16,569,016 | 5,435,279 |
Net Assets | ||
Beginning of period | 511,516,422 | 506,081,143 |
End of period (including undistributed net investment income of $598,829 and undistributed net investment income of $1,420,855, respectively) | $ 528,085,438 | $ 511,516,422 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.25 | $ 9.14 | $ 9.58 | $ 9.33 | $ 7.89 | $ 8.74 |
Income from Investment Operations | ||||||
Net investment income E | .325 | .624 | .607 | .668 | .717 | .695 |
Net realized and unrealized gain (loss) | .265 | .215 | (.289) | .255 | 1.359 | (.893) |
Total from investment operations | .590 | .839 | .318 | .923 | 2.076 | (.198) |
Distributions from net investment income | (.341) | (.604) | (.620) | (.674) | (.636) | (.652) |
Distributions from net realized gain | (.050) | (.135) | (.140) | - | - | - |
Total distributions | (.391) | (.739) | (.760) | (.674) | (.636) | (.652) |
Redemption fees added to paid in capital E | .001 | .010 | .002 | .001 | - | - |
Net asset value, end of period | $ 9.45 | $ 9.25 | $ 9.14 | $ 9.58 | $ 9.33 | $ 7.89 |
Total Return B, C, D | 6.50% | 9.73% | 3.43% | 10.29% | 27.11% | (2.47)% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.15% A | 1.18% | 1.19% | 1.19% | 1.19% | 1.24% |
Expenses net of fee waivers, if any | 1.10% A | 1.10% | 1.10% | 1.10% | 1.10% | 1.10% |
Expenses net of all reductions | 1.10% A | 1.10% | 1.10% | 1.10% | 1.10% | 1.10% |
Net investment income | 7.00% A | 6.85% | 6.49% | 7.11% | 8.16% | 8.32% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ 69,008 | $ 68,487 | $ 69,091 | $ 91,707 | $ 81,735 | $ 35,751 |
Portfolio turnover rate G | 74% A | 72% | 115% | 126% | 129% | 105% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.25 | $ 9.14 | $ 9.57 | $ 9.32 | $ 7.88 | $ 8.74 |
Income from Investment Operations | ||||||
Net investment income E | .295 | .565 | .546 | .606 | .658 | .641 |
Net realized and unrealized gain (loss) | .254 | .215 | (.279) | .256 | 1.361 | (.904) |
Total from investment operations | .549 | .780 | .267 | .862 | 2.019 | (.263) |
Distributions from net investment income | (.310) | (.545) | (.559) | (.613) | (.579) | (.597) |
Distributions from net realized gain | (.050) | (.135) | (.140) | - | - | - |
Total distributions | (.360) | (.680) | (.699) | (.613) | (.579) | (.597) |
Redemption fees added to paid in capital E | .001 | .010 | .002 | .001 | - | - |
Net asset value, end of period | $ 9.44 | $ 9.25 | $ 9.14 | $ 9.57 | $ 9.32 | $ 7.88 |
Total Return B, C, D | 6.05% | 9.03% | 2.87% | 9.58% | 26.32% | (3.23)% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.81% A | 1.81% | 1.81% | 1.80% | 1.80% | 1.83% |
Expenses net of fee waivers, if any | 1.75% A | 1.75% | 1.75% | 1.75% | 1.75% | 1.75% |
Expenses net of all reductions | 1.75% A | 1.75% | 1.75% | 1.75% | 1.75% | 1.75% |
Net investment income | 6.35% A | 6.20% | 5.84% | 6.46% | 7.51% | 7.67% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ 48,279 | $ 51,362 | $ 64,804 | $ 79,997 | $ 70,661 | $ 32,854 |
Portfolio turnover rate G | 74% A | 72% | 115% | 126% | 129% | 105% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.25 | $ 9.14 | $ 9.57 | $ 9.32 | $ 7.88 | $ 8.74 |
Income from Investment Operations | ||||||
Net investment income E | .290 | .556 | .536 | .597 | .651 | .635 |
Net realized and unrealized gain (loss) | .255 | .215 | (.278) | .256 | 1.359 | (.906) |
Total from investment operations | .545 | .771 | .258 | .853 | 2.010 | (.271) |
Distributions from net investment income | (.306) | (.536) | (.550) | (.604) | (.570) | (.589) |
Distributions from net realized gain | (.050) | (.135) | (.140) | - | - | - |
Total distributions | (.356) | (.671) | (.690) | (.604) | (.570) | (.589) |
Redemption fees added to paid in capital E | .001 | .010 | .002 | .001 | - | - |
Net asset value, end of period | $ 9.44 | $ 9.25 | $ 9.14 | $ 9.57 | $ 9.32 | $ 7.88 |
Total Return B, C, D | 6.00% | 8.92% | 2.77% | 9.47% | 26.19% | (3.32)% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.86% A | 1.86% | 1.87% | 1.87% | 1.88% | 1.90% |
Expenses net of fee waivers, if any | 1.85% A | 1.85% | 1.85% | 1.85% | 1.85% | 1.85% |
Expenses net of all reductions | 1.85% A | 1.85% | 1.85% | 1.85% | 1.85% | 1.85% |
Net investment income | 6.25% A | 6.10% | 5.74% | 6.36% | 7.41% | 7.57% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ 55,244 | $ 52,796 | $ 56,036 | $ 64,187 | $ 59,655 | $ 20,719 |
Portfolio turnover rate G | 74% A | 72% | 115% | 126% | 129% | 105% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended | Years ended October 31, | |||||
April 30, | (Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.27 | $ 9.16 | $ 9.60 | $ 9.34 | $ 7.90 | $ 8.75 |
Income from Investment Operations | ||||||
Net investment income D | .337 | .648 | .630 | .690 | .739 | .709 |
Net realized and unrealized gain (loss) | .264 | .214 | (.289) | .267 | 1.359 | (.886) |
Total from investment operations | .601 | .862 | .341 | .957 | 2.098 | (.177) |
Distributions from net investment income | (.352) | (.627) | (.643) | (.698) | (.658) | (.673) |
Distributions from net realized gain | (.050) | (.135) | (.140) | - | - | - |
Total distributions | (.402) | (.762) | (.783) | (.698) | (.658) | (.673) |
Redemption fees added to paid in capital D | .001 | .010 | .002 | .001 | - | - |
Net asset value, end of period | $ 9.47 | $ 9.27 | $ 9.16 | $ 9.60 | $ 9.34 | $ 7.90 |
Total Return B, C | 6.61% | 9.98% | 3.68% | 10.66% | 27.38% | (2.23)% |
Ratios to Average Net Assets E, G | ||||||
Expenses before reductions | .91% A | .91% | .91% | .90% | .96% | .96% |
Expenses net of fee waivers, if any | .85% A | .85% | .85% | .85% | .85% | .85% |
Expenses net of all reductions | .85% A | .85% | .85% | .85% | .85% | .85% |
Net investment income | 7.25% A | 7.10% | 6.73% | 7.36% | 8.41% | 8.57% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ 220,286 | $ 208,205 | $ 200,804 | $ 171,625 | $ 108,885 | $ 48,379 |
Portfolio turnover rate F | 74% A | 72% | 115% | 126% | 129% | 105% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2007 (Unaudited)
1. Organization.
Fidelity Advisor High 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 financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request. In addition, the financial statements of the Fidelity Central Funds are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM),an affiliate of FMR.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
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.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Interest income and income distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. 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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. 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. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to market discount 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 | $ 17,119,301 |
Unrealized depreciation | (1,705,672) |
Net unrealized appreciation (depreciation) | $ 15,413,629 |
Cost for federal income tax purposes | $ 504,220,333 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Short-Term Trading (Redemption) Fees. Shares held in the Fund less than 90 days are subject to a redemption fee equal to 1.00% of the proceeds of the redeemed shares. All redemption fees, including any estimated redemption fees paid by FMR, are retained by the Fund and accounted for as an addition to paid in capital.
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default 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.
Semiannual Report
4. Operating Policies - continued
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $182,294,613 and $187,252,454, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease.
For the period, the total annualized management fee rate was .57% 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan - continued
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 | -% | .25% | $ 112,563 | $ 4,080 |
Class T | -% | .25% | 85,938 | 1,699 |
Class B | .65% | .25% | 225,510 | 163,403 |
Class C | .75% | .25% | 270,980 | 44,760 |
$ 694,991 | $ 213,942 |
On January 18, 2007, the Board of Trustees approved an increase in Class A's Service fee from .15% to .25%, effective April 1, 2007.
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A and Class T shares (4.75% for Class A and 3.50% for Class T shares prior to April 1, 2007), 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, 1.00% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 22,061 |
Class T | 5,794 |
Class B* | 58,456 |
Class C* | 1,825 |
$ 88,136 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each class to FIIOC, were as follows:
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
Amount | % of | |
Class A | $ 121,559 | .18 |
Class T | 84,672 | .25 |
Class B | 61,320 | .25 |
Class C | 52,633 | .20 |
Institutional Class | 264,337 | .25 |
$ 584,521 |
* 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.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $634 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Expense Reductions.
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, including commitment fees, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
Expense | Reimbursement | |
Class T | 1.10% | $ 18,375 |
Class B | 1.75% | 14,196 |
Class C | 1.85% | 1,976 |
Institutional Class | .85% | 58,552 |
$ 93,099 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
8. Expense Reductions - continued
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 $0 for the period. In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $6,261. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | ||
Class A | $ 547 | |
Class C | 169 | |
$ 716 |
9. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
In September 2006, the Fund's transfer agent, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund. FIIOC has reimbursed the Fund for related audit and legal expenses and, beginning in June 2007, remediated affected shareholders.
The United States Securities and Exchange Commission ("SEC") is conducting an investigation of FMR (covering the years 2002 to 2004) arising from gifts, gratuities and business entertainment provided by certain brokers to certain individuals who were employed on FMR's domestic equity trading desk during that period. FMR is in discussions with the SEC staff regarding the possible resolution of the matter, but as of period-end no final resolution has been reached.
Semiannual Report
9. Other - continued
In December 2006, the Independent Trustees completed their own investigation of the matter with the assistance of independent counsel. The Independent Trustees and FMR agree that, despite the absence of proof that the Fidelity mutual funds experienced diminished execution quality as a result of the improper receipt of gifts and business entertainment, the conduct at issue was serious and is worthy of redress. Accordingly, the Independent Trustees have requested and FMR has agreed to pay $42 million to Fidelity mutual funds, plus interest to be determined at the time that payment is made. A method of allocating this payment among the funds has not yet been determined. The total payment to the Fund is not anticipated to have a material impact on the Fund's net assets. In addition, FMR reimbursed related legal expenses which are recorded in the accompanying Statement of Operations as an expense reduction.
On April 19, 2007, the Board of Trustees approved an Agreement and Plan of Reorganization whereby the Fund will reorganize into Fidelity Advisor Series I, effective on or about June 29, 2007. The reorganization will not impact the Fund's investment strategies or FMR's management of the Fund. All legal and other expenses associated with the reorganization will be paid by FMR.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 4,979,852 | $ 8,132,325 |
Class T | 2,504,061 | 4,364,476 |
Class B | 1,663,165 | 3,396,706 |
Class C | 1,768,097 | 3,076,065 |
Institutional Class | 7,853,134 | 15,378,176 |
Total | $ 18,768,309 | $ 34,347,748 |
From net realized gain | ||
Class A | $ 717,815 | $ 1,726,911 |
Class T | 372,057 | 982,007 |
Class B | 273,621 | 927,262 |
Class C | 287,733 | 811,022 |
Institutional Class | 1,145,711 | 3,030,166 |
Total | $ 2,796,937 | $ 7,477,368 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
11. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended | Year ended | Six months ended | Year ended | |
Class A | ||||
Shares sold | 2,721,105 | 4,921,122 | $ 25,527,883 | $ 44,901,425 |
Reinvestment of distributions | 494,441 | 887,253 | 4,636,675 | 8,091,586 |
Shares redeemed | (3,021,320) | (4,307,073) | (28,345,822) | (39,280,504) |
Net increase (decrease) | 194,226 | 1,501,302 | $ 1,818,736 | $ 13,712,507 |
Class T | ||||
Shares sold | 757,050 | 2,122,712 | $ 7,095,193 | $ 19,339,885 |
Reinvestment of distributions | 249,040 | 473,437 | 2,332,487 | 4,311,964 |
Shares redeemed | (1,104,087) | (2,751,537) | (10,341,107) | (25,073,627) |
Net increase (decrease) | (97,997) | (155,388) | $ (913,427) | $ (1,421,778) |
Class B | ||||
Shares sold | 400,176 | 723,865 | $ 3,747,350 | $ 6,590,070 |
Reinvestment of distributions | 124,821 | 279,486 | 1,168,051 | 2,542,733 |
Shares redeemed | (966,159) | (2,541,737) | (9,047,942) | (23,161,228) |
Net increase (decrease) | (441,162) | (1,538,386) | $ (4,132,541) | $ (14,028,425) |
Class C | ||||
Shares sold | 713,193 | 1,340,176 | $ 6,676,196 | $ 12,225,070 |
Reinvestment of distributions | 140,336 | 266,004 | 1,313,412 | 2,420,777 |
Shares redeemed | (712,177) | (2,030,012) | (6,665,564) | (18,484,174) |
Net increase (decrease) | 141,352 | (423,832) | $ 1,324,044 | $ (3,838,327) |
Institutional Class | ||||
Shares sold | 3,476,912 | 27,984,682 | $ 32,646,991 | $ 253,342,940 |
Reinvestment of distributions | 888,948 | 1,859,946 | 8,345,042 | 16,967,286 |
Shares redeemed | (3,556,568) | (29,311,604) | (33,301,791) | (264,545,625) |
Net increase (decrease) | 809,292 | 533,024 | $ 7,690,242 | $ 5,764,601 |
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor High Income Fund
On April 19, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund in connection with reorganizing the fund from one Trust to another. The Board reached this determination because the contractual terms of and fees payable under the fund's Advisory Contracts are identical to those in the fund's current Advisory Contracts. The Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board considered that it approved the Advisory Contracts for the fund during the past year and that it will again consider renewal of the Advisory Contracts in June 2007.
Because the Board was approving Advisory Contracts with terms identical to the current Advisory Contracts, it did not consider the fund's investment performance, competitiveness of management fee and total expenses, costs of services and profitability, or economies of scale to be significant factors in its decision.
In connection with its future renewal of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent, and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the fund's management fee and total expenses; (iii) the costs of the services and profitability, including 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; and (iv) 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.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be approved, without modification, as part of the process of reorganizing the fund from one Trust to another.
Semiannual Report
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Research & Analysis Company
(formerly 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
The Bank of New York
New York, NY
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
AHII-USAN-0607
1.784885.104
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Municipal Income Fund -
Class A, Class T, Class B
and Class C
Semiannual Report
April 30, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (November 1, 2006 to April 30, 2007).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
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 | $ 1,013.30 | $ 3.49** |
Hypothetical A | $ 1,000.00 | $ 1,021.32 | $ 3.51** |
Class T | |||
Actual | $ 1,000.00 | $ 1,013.60 | $ 3.94 |
Hypothetical A | $ 1,000.00 | $ 1,020.88 | $ 3.96 |
Class B | |||
Actual | $ 1,000.00 | $ 1,009.50 | $ 7.22 |
Hypothetical A | $ 1,000.00 | $ 1,017.60 | $ 7.25 |
Beginning | Ending | Expenses Paid | |
Class C | |||
Actual | $ 1,000.00 | $ 1,009.00 | $ 7.67 |
Hypothetical A | $ 1,000.00 | $ 1,017.16 | $ 7.70 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,014.10 | $ 2.70 |
Hypothetical A | $ 1,000.00 | $ 1,022.12 | $ 2.71 |
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 | .70%** |
Class T | .79% |
Class B | 1.45% |
Class C | 1.54% |
Institutional Class | .54% |
** If fees and changes to voluntary expense limitations, effective April 1, 2007 had been in effect during the entire period, the annualized expense ratio would have been .78% and the expenses paid in the actual and hypothetical examples above would have been $3.89 and $3.91, respectively.
Semiannual Report
Investment Changes
Top Five States as of April 30, 2007 | ||
% of fund's | % of fund's net assets | |
California | 12.8 | 11.2 |
New York | 12.3 | 12.0 |
Texas | 11.3 | 13.2 |
Illinois | 11.2 | 10.5 |
Washington | 7.0 | 7.1 |
Top Five Sectors as of April 30, 2007 | ||
% of fund's | % of fund's net assets | |
General Obligations | 40.2 | 37.8 |
Health Care | 11.3 | 11.0 |
Electric Utilities | 10.1 | 9.2 |
Transportation | 8.2 | 8.9 |
Water & Sewer | 8.4 | 7.4 |
Average Years to Maturity as of April 30, 2007 | ||
6 months ago | ||
Years | 15.8 | 15.2 |
Average years to maturity is based on the average time remaining to the stated maturity date of each bond, weighted by the market value of each bond. |
Duration as of April 30, 2007 | ||
6 months ago | ||
Years | 6.7 | 6.5 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Quality Diversification (% of fund's net assets) | |||||||
As of April 30, 2007 | As of October 31, 2006 | ||||||
![]() | AAA 63.4% | ![]() | AAA 61.8% | ||||
![]() | AA,A 28.5% | ![]() | AA,A 28.1% | ||||
![]() | BBB 6.3% | ![]() | BBB 8.1% | ||||
![]() | BB and Below 0.6% | ![]() | BB and Below 0.2% | ||||
![]() | Not Rated 1.1% | ![]() | Not Rated 1.0% | ||||
![]() | 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. |
Semiannual Report
Investments April 30, 2007 (Unaudited)
Showing Percentage of Net Assets
Municipal Bonds - 99.9% | ||||
Principal Amount | Value | |||
Alaska - 0.2% | ||||
Alaska Student Ln. Corp. Student Ln. Rev. Series A, 5.45% 7/1/09 (AMBAC Insured) (d) | $ 1,500,000 | $ 1,503,675 | ||
Arizona - 1.4% | ||||
Arizona Student Ln. Acquisition Auth. Student Ln. Rev. Series A1, 5.875% 5/1/18 (d) | 1,300,000 | 1,373,866 | ||
Chandler Indl. Dev. Auth. Indl. Dev. Rev. (Intel Corp. Proj.) 4.375%, tender 12/1/10 (c)(d) | 1,000,000 | 1,013,060 | ||
Glendale Indl. Dev. Auth. Hosp. Rev. (John C. Lincoln Health Network Proj.) 5% 12/1/29 | 1,575,000 | 1,614,690 | ||
Phoenix Civic Impt. Corp. Wtr. Sys. Rev. 5% 7/1/29 (MBIA Insured) | 1,000,000 | 1,059,700 | ||
Phoenix Indl. Dev. Auth. Single Family Mtg. Rev. 0% 12/1/14 (Escrowed to Maturity) (e) | 3,750,000 | 2,794,313 | ||
Univ. of Arizona Univ. Revs. Series 2005 A, 5% 6/1/17 (AMBAC Insured) | 1,000,000 | 1,079,880 | ||
8,935,509 | ||||
Arkansas - 0.2% | ||||
Little Rock School District Series 2001 C, 5.25% 2/1/33 (FSA Insured) | 1,000,000 | 1,041,950 | ||
California - 12.8% | ||||
California Dept. of Wtr. Resources Pwr. Supply Rev. Series A, 5.5% 5/1/15 (AMBAC Insured) | 1,000,000 | 1,089,250 | ||
California Gen. Oblig.: | ||||
5% 3/1/15 | 1,000,000 | 1,074,930 | ||
5% 8/1/20 | 6,600,000 | 7,061,868 | ||
5% 6/1/27 (AMBAC Insured) | 600,000 | 632,052 | ||
5% 9/1/27 | 1,410,000 | 1,487,324 | ||
5% 9/1/31 | 1,500,000 | 1,577,535 | ||
5% 12/1/31 (MBIA Insured) | 1,400,000 | 1,467,046 | ||
5% 9/1/32 | 1,600,000 | 1,681,456 | ||
5% 8/1/33 | 1,300,000 | 1,359,488 | ||
5% 9/1/33 | 1,800,000 | 1,891,638 | ||
5% 8/1/35 | 2,400,000 | 2,508,648 | ||
5% 9/1/35 | 3,600,000 | 3,780,468 | ||
5.125% 11/1/24 | 600,000 | 634,752 | ||
5.25% 2/1/15 | 1,200,000 | 1,293,768 | ||
5.25% 2/1/16 | 1,000,000 | 1,078,140 | ||
5.25% 2/1/24 | 1,000,000 | 1,062,730 | ||
5.25% 2/1/27 (MBIA Insured) | 500,000 | 531,235 | ||
5.25% 2/1/28 | 1,200,000 | 1,272,552 | ||
5.25% 2/1/33 | 2,000,000 | 2,108,160 | ||
5.25% 12/1/33 | 2,300,000 | 2,478,572 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
California - continued | ||||
California Gen. Oblig.: - continued | ||||
5.25% 4/1/34 | $ 2,200,000 | $ 2,365,924 | ||
5.5% 4/1/30 | 170,000 | 186,765 | ||
5.5% 11/1/33 | 5,400,000 | 5,865,696 | ||
5.625% 5/1/20 | 80,000 | 84,763 | ||
California Pub. Works Board Lease Rev.: | ||||
(Butterfield State Office Complex Proj.) Series 2005 A, 5.25% 6/1/30 | 2,000,000 | 2,127,040 | ||
(Richmond Lab., Phase III Office Bldg. Proj.) Series B, 5.25% 11/1/25 (XL Cap. Assurance, Inc. Insured) | 2,585,000 | 2,796,427 | ||
Series 2005 H, 5% 6/1/18 | 1,425,000 | 1,514,405 | ||
Series 2005 K, 5% 11/1/17 | 2,300,000 | 2,459,137 | ||
California Statewide Communities Dev. Auth. Poll. Cont. Rev. (Southern California Edison Co.) 4.1%, tender 4/1/13 (XL Cap. Assurance, Inc. Insured) (c) | 1,300,000 | 1,314,937 | ||
California Statewide Communities Dev. Auth. Rev. (Kaiser Fund Hosp./Health Place, Inc. Proj.) Series 2002 C, 3.85%, tender 6/1/12 (c) | 500,000 | 496,800 | ||
Clovis Pub. Fing. Auth. Wastewtr. Rev. 5% 8/1/35 (MBIA Insured) | 1,300,000 | 1,368,978 | ||
Foothill/Eastern Trans. Corridor Agcy. Toll Road Rev.: | ||||
Series A, 5% 1/1/35 (MBIA Insured) | 700,000 | 716,044 | ||
5% 1/15/16 (MBIA Insured) | 400,000 | 417,792 | ||
5.75% 1/15/40 | 600,000 | 628,308 | ||
Golden State Tobacco Securitization Corp.: | ||||
Series A, 5% 6/1/45 | 6,650,000 | 6,882,817 | ||
Series A1, 5% 6/1/33 | 400,000 | 398,328 | ||
Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev.: | ||||
Series 2001 A, 5.125% 7/1/41 | 4,000,000 | 4,125,800 | ||
Series A, 5.125% 7/1/41 (MBIA Insured) | 1,300,000 | 1,348,412 | ||
Metropolitan Wtr. District Southern California Wtrwks. Rev. Series 2005 A, 5% 7/1/35 (FSA Insured) | 800,000 | 846,168 | ||
Monterey County Ctfs. of Prtn. 5% 8/1/19 (AMBAC Insured) (b) | 1,000,000 | 1,082,440 | ||
Oxnard Fing. Auth. Wastewtr. Rev. (Redwood Trunk Swr. and Headworks Proj.) Series A, 5% 6/1/29 (FGIC Insured) | 1,000,000 | 1,049,140 | ||
Southern California Pub. Pwr. Auth. Rev. (Magnolia Pwr. Proj.) Series A, 5% 7/1/36 (AMBAC Insured) | 1,000,000 | 1,044,080 | ||
Union Elementary School District Series A, 0% 9/1/20 (FGIC Insured) | 1,000,000 | 568,700 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
California - continued | ||||
Univ. of California Revs.: | ||||
(UCLA Med. Ctr. Proj.) Series A: | ||||
5.5% 5/15/18 (AMBAC Insured) | $ 1,755,000 | $ 1,916,811 | ||
5.5% 5/15/20 (AMBAC Insured) | 2,000,000 | 2,163,300 | ||
Series K, 5% 5/15/18 (MBIA Insured) (b) | 2,470,000 | 2,670,441 | ||
82,511,065 | ||||
Colorado - 2.4% | ||||
Adams & Arapahoe Counties Joint School District #28J Aurora Series A, 5.125% 12/1/21 (FSA Insured) | 1,810,000 | 1,937,496 | ||
Colorado Health Facilities Auth. Retirement Hsg. Rev. (Liberty Heights Proj.) 0% 7/15/22 (Escrowed to Maturity) (e) | 4,565,000 | 2,376,904 | ||
Colorado Health Facilities Auth. Rev.: | ||||
(Longmont Hosp. Proj.) Series B, 5.25% 12/1/13 (Radian Asset Assurance, Inc. Insured) | 860,000 | 922,634 | ||
(Volunteers of America Care Proj.) Series A: | ||||
5% 7/1/14 | 400,000 | 399,928 | ||
5.3% 7/1/37 | 300,000 | 300,015 | ||
Colorado Wtr. Resources and Pwr. Dev. Auth. Clean Wtr. Rev. Series 2001 A: | ||||
5.625% 9/1/13 | 235,000 | 252,923 | ||
5.625% 9/1/14 | 230,000 | 247,354 | ||
Colorado Wtr. Resources and Pwr. Dev. Auth. Wtr. Resources Rev. (Parker Wtr. and Sanitation District Proj.) Series D, 5.25% 9/1/43 (MBIA Insured) | 4,600,000 | 4,910,638 | ||
Dawson Ridge Metropolitan District #1 Series 1992 A, 0% 10/1/17 (Escrowed to Maturity) (e) | 1,200,000 | 779,268 | ||
E-470 Pub. Hwy. Auth. Rev. Series 2000 A, 5.75% 9/1/29 (Pre-Refunded to 9/1/10 @ 102) (e) | 1,200,000 | 1,298,712 | ||
Mesa County Residual Rev. 0% 12/1/11 (Escrowed to Maturity) (e) | 2,275,000 | 1,905,449 | ||
15,331,321 | ||||
Connecticut - 0.5% | ||||
Eastern Connecticut Resources Recovery Auth. Solid Waste Rev. (Wheelabrator Lisbon Proj.) Series A, 5.5% 1/1/20 (d) | 3,350,000 | 3,351,809 | ||
District Of Columbia - 2.1% | ||||
District of Columbia Gen. Oblig.: | ||||
Series A, 6% 6/1/07 (Escrowed to Maturity) (e) | 10,000 | 10,018 | ||
Series B: | ||||
0% 6/1/12 (MBIA Insured) | 1,200,000 | 976,032 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
District Of Columbia - continued | ||||
District of Columbia Gen. Oblig.: - continued | ||||
Series B: | ||||
5.25% 6/1/26 (FSA Insured) | $ 6,000,000 | $ 6,138,840 | ||
District of Columbia Rev.: | ||||
(George Washington Univ. Proj.) Series A, 5.75% 9/15/20 (MBIA Insured) | 1,490,000 | 1,566,303 | ||
(Georgetown Univ. Proj.) Series A, 5.95% 4/1/14 (MBIA Insured) | 2,000,000 | 2,079,660 | ||
(Nat'l. Academy of Sciences Proj.) Series A, 5% 1/1/19 (AMBAC Insured) | 2,500,000 | 2,588,950 | ||
13,359,803 | ||||
Florida - 2.2% | ||||
Brevard County School Board Ctfs. of Prtn. Series B, 5% 7/1/24 (AMBAC Insured) | 1,000,000 | 1,057,920 | ||
Broward County School Board Series A, 5% 7/1/17 (FGIC Insured) | 1,000,000 | 1,078,440 | ||
Escambia City Health Facilities Auth. Rev. (Ascension Health Cr. Group Proj.) Series 2002 C, 5.75% 11/15/32 | 600,000 | 649,632 | ||
Florida Board of Ed. Cap. Outlay Series B, 5.5% 6/1/16 (FGIC Insured) | 1,000,000 | 1,087,510 | ||
Florida Correctional Privatization Communications Ctfs. of Prtn. Series A, 5% 8/1/15 (AMBAC Insured) | 1,000,000 | 1,067,480 | ||
Highlands County Health Facilities Auth. Rev.: | ||||
(Adventist Health Sys. - Sunbelt Proj.): | ||||
Series 06G: | ||||
5% 11/15/16 | 100,000 | 106,069 | ||
5.125% 11/15/18 | 1,000,000 | 1,060,740 | ||
3.95%, tender 9/1/12 (c) | 2,100,000 | 2,080,995 | ||
(Adventist Health Sys./Sunbelt Obligated Group Proj.) Series B, 5% 11/15/14 | 1,000,000 | 1,058,470 | ||
JEA Elec. Sys. Rev. Series 3A, 5% 10/1/41 (FSA Insured) | 1,000,000 | 1,044,440 | ||
Miami-Dade County Aviation Rev. (Miami Int'l. Arpt. Proj.) Series B, 5% 10/1/37 (FGIC Insured) | 1,000,000 | 1,043,340 | ||
Miami-Dade County School Board Ctfs. of Prtn. Series A, 5% 8/1/21 (AMBAC Insured) (b) | 2,000,000 | 2,107,060 | ||
Seminole County School Board Ctfs. of Prtn. Series A, 5% 7/1/20 (MBIA Insured) | 500,000 | 531,275 | ||
13,973,371 | ||||
Georgia - 2.8% | ||||
Atlanta Arpt. Rev. Series F, 5.25% 1/1/13 (FSA Insured) (d) | 1,000,000 | 1,064,790 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Georgia - continued | ||||
Atlanta Wtr. & Wastewtr. Rev.: | ||||
5% 11/1/37 (FSA Insured) | $ 2,400,000 | $ 2,523,936 | ||
5% 11/1/43 (FSA Insured) | 9,070,000 | 9,508,625 | ||
Augusta Wtr. & Swr. Rev. 5.25% 10/1/39 (FSA Insured) | 2,200,000 | 2,376,264 | ||
Colquitt County Dev. Auth. Rev. Series A, 0% 12/1/21 (Escrowed to Maturity) (e) | 1,100,000 | 590,777 | ||
Richmond County Dev. Auth. Rev. Series C, 0% 12/1/21 (Escrowed to Maturity) (e) | 1,190,000 | 639,113 | ||
Savannah Econ. Dev. Auth. Rev. (Southern Care Corp. Proj.) Series C, 0% 12/1/21 (Escrowed to Maturity) (e) | 2,500,000 | 1,342,675 | ||
18,046,180 | ||||
Hawaii - 0.4% | ||||
Hawaii Arpt. Sys. Rev. Series 2000 B, 8% 7/1/11 (FGIC Insured) (d) | 1,300,000 | 1,500,096 | ||
Honolulu City & County Board of Wtr. Supply Wtr. Sys. Rev. Series B, 5.25% 7/1/17 (MBIA Insured) (d) | 1,250,000 | 1,355,813 | ||
2,855,909 | ||||
Illinois - 11.2% | ||||
Chicago Board of Ed. Series A, 0% 12/1/16 (FGIC Insured) | 1,300,000 | 877,175 | ||
Chicago Gen. Oblig.: | ||||
(City Colleges Proj.): | ||||
0% 1/1/16 (FGIC Insured) | 6,125,000 | 4,287,806 | ||
0% 1/1/24 (FGIC Insured) | 6,110,000 | 2,929,989 | ||
(Neighborhoods Alive 21 Prog.) 5% 1/1/43 (AMBAC Insured) | 1,040,000 | 1,078,064 | ||
Series 2004 A, 5% 1/1/34 (FSA Insured) | 1,500,000 | 1,568,130 | ||
Series A: | ||||
5% 1/1/42 (AMBAC Insured) | 1,700,000 | 1,753,669 | ||
5.25% 1/1/33 (MBIA Insured) | 1,070,000 | 1,119,113 | ||
5.25% 1/1/33 (Pre-Refunded to 1/1/11 @ 101) (e) | 30,000 | 31,839 | ||
5.5% 1/1/38 (MBIA Insured) | 255,000 | 270,366 | ||
5.5% 1/1/38 (Pre-Refunded to 1/1/11 @ 101) (e) | 10,000 | 10,698 | ||
5.5% 1/1/40 (FGIC Insured) | 525,000 | 553,088 | ||
Chicago Midway Arpt. Rev. Series B, 6% 1/1/09 (MBIA Insured) (d) | 300,000 | 303,543 | ||
Chicago O'Hare Int'l. Arpt. Rev.: | ||||
Series A: | ||||
5.5% 1/1/16 (AMBAC Insured) (d) | 900,000 | 918,675 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Illinois - continued | ||||
Chicago O'Hare Int'l. Arpt. Rev.: - continued | ||||
Series A: | ||||
6.25% 1/1/09 (AMBAC Insured) (d) | $ 3,325,000 | $ 3,397,585 | ||
Series B, 5% 1/1/26 (MBIA Insured) (d) | 1,405,000 | 1,461,706 | ||
5.5% 1/1/09 (AMBAC Insured) (d) | 570,000 | 585,054 | ||
5.5% 1/1/09 (Escrowed to Maturity) (d)(e) | 680,000 | 698,183 | ||
Chicago Park District Series A, 5.5% 1/1/19 (FGIC Insured) | 155,000 | 163,593 | ||
Chicago Transit Auth. Cap. Grant Receipts Rev. 5% 6/1/21 (AMBAC Insured) | 1,400,000 | 1,497,790 | ||
Cook County Gen. Oblig.: | ||||
Series B: | ||||
5% 11/15/18 (MBIA Insured) (b) | 1,000,000 | 1,083,240 | ||
5.25% 11/15/26 (MBIA Insured) | 300,000 | 323,571 | ||
Series C, 5% 11/15/25 (AMBAC Insured) | 1,100,000 | 1,150,765 | ||
DuPage County Cmnty. High School District #108, Lake Park 5.6% 1/1/17 (FSA Insured) | 3,190,000 | 3,491,742 | ||
Evanston Gen. Oblig. Series C, 5.25% 1/1/20 | 1,500,000 | 1,595,985 | ||
Granite City Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) 3.85%, tender 5/1/08 (c)(d) | 2,810,000 | 2,799,968 | ||
Illinois Dev. Fin. Auth. Retirement Hsg. Regency Park Rev. 0% 7/15/23 (Escrowed to Maturity) (e) | 2,900,000 | 1,428,279 | ||
Illinois Edl. Facilities Auth. Revs. (Northwestern Univ. Proj.) 5% 12/1/38 | 900,000 | 933,642 | ||
Illinois Fin. Auth. Rev. (Newman Foundation Proj.) 5% 2/1/32 | 1,700,000 | 1,754,145 | ||
Illinois Gen. Oblig.: | ||||
First Series, 5.75% 12/1/18 (MBIA Insured) | 1,000,000 | 1,062,900 | ||
Series 2006, 5.5% 1/1/31 | 1,000,000 | 1,200,460 | ||
5.5% 4/1/17 (MBIA Insured) | 1,000,000 | 1,045,270 | ||
5.6% 4/1/21 (MBIA Insured) | 1,000,000 | 1,046,600 | ||
Illinois Health Facilities Auth. Rev.: | ||||
(Condell Med. Ctr. Proj.) 6.5% 5/15/30 | 3,000,000 | 3,172,650 | ||
(Decatur Memorial Hosp. Proj.) Series 2001, 5.75% 10/1/24 | 2,100,000 | 2,218,482 | ||
(Lake Forest Hosp. Proj.) 6% 7/1/33 | 1,000,000 | 1,070,980 | ||
(Riverside Health Sys. Proj.) 6.8% 11/15/20 (Pre-Refunded to 11/15/10 @ 101) (e) | 1,500,000 | 1,665,840 | ||
Illinois Sales Tax Rev. 6% 6/15/20 | 600,000 | 636,972 | ||
Joliet School District #86 Gen. Oblig. Cap. Appreciation 0% 11/1/19 (FSA Insured) | 2,000,000 | 1,175,360 | ||
Kane, McHenry, Cook & DeKalb Counties Cmnty. Unit School District #300, Carpentersville: | ||||
0% 12/1/17 (AMBAC Insured) | 1,000,000 | 642,920 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Illinois - continued | ||||
Kane, McHenry, Cook & DeKalb Counties Cmnty. Unit School District #300, Carpentersville: - continued | ||||
6.5% 1/1/20 (AMBAC Insured) | $ 1,100,000 | $ 1,361,118 | ||
Lake County Cmnty. High School District #117, Antioch Series B, 0% 12/1/20 (FGIC Insured) | 1,805,000 | 1,007,623 | ||
Lake County Forest Preservation District Series 2007 A, 3.939% 12/15/13 (b)(c) | 1,000,000 | 1,000,000 | ||
Lake County Warren Township High School District #121, Gurnee Series C, 5.5% 3/1/23 (AMBAC Insured) | 1,795,000 | 1,980,531 | ||
Metropolitan Pier & Exposition Auth. Dedicated State Tax Rev. (McCormick Place Expansion Proj.): | ||||
Series 2002 A, 5.75% 6/15/41 (MBIA Insured) | 3,300,000 | 3,601,224 | ||
Series A: | ||||
0% 6/15/16 (FGIC Insured) | 2,375,000 | 1,633,169 | ||
0% 6/15/19 (MBIA Insured) | 3,710,000 | 2,236,759 | ||
0% 6/15/22 (MBIA Insured) | 1,100,000 | 577,357 | ||
0% 12/15/24 (MBIA Insured) | 3,090,000 | 1,440,342 | ||
Ogle, Lee & DeKalb Counties Township High School District #212 6% 12/1/16 (MBIA Insured) | 60,000 | 65,470 | ||
Quincy Hosp. Rev. 5% 11/15/18 (b) | 1,000,000 | 1,042,410 | ||
Univ. of Illinois Auxiliary Facilities Sys. Rev. 0% 4/1/15 (MBIA Insured) | 3,700,000 | 2,681,797 | ||
Will County Forest Preservation District Series B, 0% 12/1/14 (FGIC Insured) | 1,000,000 | 736,340 | ||
72,369,977 | ||||
Indiana - 2.6% | ||||
Crown Point Multi-School Bldg. Corp. 5% 1/15/20 (FGIC Insured) | 1,260,000 | 1,344,546 | ||
Franklin Township Independent School Bldg. Corp., Marion County 5.25% 7/15/16 (MBIA Insured) | 1,790,000 | 1,960,730 | ||
Hobart Bldg. Corp. 6.5% 1/15/29 (FGIC Insured) | 2,600,000 | 3,224,468 | ||
Indiana Health & Edl. Facilities Fing. Auth. Hosp. Rev. (Clarian Health Partners, Inc. Proj.) Series B, 5% 2/15/11 | 1,500,000 | 1,552,620 | ||
Indiana Health Facility Fing. Auth. Rev. (Sisters of Saint Francis Health Svc. Proj.) 5.5% 11/1/31 (Pre-Refunded to 11/1/11 @ 101) (e) | 1,500,000 | 1,623,570 | ||
Indiana Trans. Fin. Auth. Hwy. Series A, 0% 6/1/17 (AMBAC Insured) | 1,000,000 | 655,840 | ||
Indianapolis Local Pub. Impt. Bond Bank (Indianapolis Arpt. Auth. Proj.) Series 2006 F, 5% 1/1/16 (AMBAC Insured) (d) | 1,000,000 | 1,065,000 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Indiana - continued | ||||
North Adams Cmnty. Schools Renovation Bldg. Corp. 0% 1/15/17 (FSA Insured) | $ 1,230,000 | $ 818,762 | ||
Petersburg Poll. Cont. Rev. 5.95% 12/1/29 (d) | 2,000,000 | 2,133,240 | ||
Rockport Poll. Cont. Rev. (AEP Generating Co. Proj.) Series 1995 A, 4.15%, tender 7/15/11 (AMBAC Insured) (c) | 1,000,000 | 1,014,590 | ||
South Harrison School Bldg. Corp. Series A, 5.25% 1/15/25 (FSA Insured) | 1,150,000 | 1,260,354 | ||
16,653,720 | ||||
Iowa - 0.9% | ||||
Coralville Urban Renewal Rev. Series C: | ||||
5% 6/1/13 (b) | 1,035,000 | 1,077,280 | ||
5.125% 6/1/39 (b) | 500,000 | 507,255 | ||
Tobacco Settlement Auth. Tobacco Settlement Rev. 5.3% 6/1/25 (Pre-Refunded to 6/1/11 @ 101) (e) | 4,000,000 | 4,237,400 | ||
5,821,935 | ||||
Kansas - 1.8% | ||||
Burlington Envir. Impt. Rev. (Kansas City Pwr. & Lt. Co. Proj.) Series A, 4.75%, tender 10/1/07 (c) | 1,000,000 | 1,003,370 | ||
Kansas Dev. Fin. Auth. Health Facilities Rev.: | ||||
(Hays Med. Ctr. Proj.) Series 2005 L: | ||||
5.25% 11/15/15 | 335,000 | 359,505 | ||
5.25% 11/15/16 | 955,000 | 1,023,445 | ||
(Sisters of Charity of Leavenworth Health Svcs. Corp. Proj.) Series J, 6.25% 12/1/28 | 1,500,000 | 1,620,915 | ||
Kansas Dev. Fin. Auth. Rev. (Sisters of Charity of Leavenworth Health Svcs. Corp. Proj.): | ||||
5% 12/1/13 (MBIA Insured) | 2,390,000 | 2,442,126 | ||
5% 12/1/14 (MBIA Insured) | 500,000 | 510,850 | ||
5.25% 12/1/09 (MBIA Insured) | 1,420,000 | 1,455,131 | ||
5.25% 12/1/11 (MBIA Insured) | 1,750,000 | 1,793,103 | ||
Lawrence Hosp. Rev. 5.25% 7/1/18 | 1,000,000 | 1,071,250 | ||
11,279,695 | ||||
Kentucky - 0.4% | ||||
Louisville & Jefferson County Metropolitan Swr. District Swr. & Drain Sys. Rev. Series A, 5.25% 5/15/37 (FGIC Insured) | 2,170,000 | 2,336,048 | ||
Louisiana - 0.4% | ||||
Louisiana Military Dept. 5% 8/1/14 | 1,730,000 | 1,808,975 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Louisiana - continued | ||||
New Orleans Gen. Oblig. 0% 9/1/15 (AMBAC Insured) | $ 700,000 | $ 486,388 | ||
Tobacco Settlement Fing. Corp. Series 2001 B, 5.5% 5/15/30 | 420,000 | 442,445 | ||
2,737,808 | ||||
Maine - 0.2% | ||||
Maine Tpk. Auth. Tpk. Rev. 5.25% 7/1/30 (FSA Insured) | 1,000,000 | 1,073,890 | ||
Maryland - 0.4% | ||||
Maryland Health & Higher Edl. Facilities Auth. Rev. (Good Samaritan Hosp. Proj.): | ||||
5.75% 7/1/13 (Escrowed to Maturity) (e) | 1,665,000 | 1,795,436 | ||
5.75% 7/1/13 (Escrowed to Maturity) (e) | 1,015,000 | 1,094,515 | ||
2,889,951 | ||||
Massachusetts - 4.6% | ||||
Massachusetts Gen. Oblig.: | ||||
Series 2006 D, 5% 8/1/22 | 200,000 | 213,564 | ||
Series E: | ||||
5% 11/1/23 (AMBAC Insured) | 5,100,000 | 5,457,969 | ||
5% 11/1/24 (AMBAC Insured) | 600,000 | 640,656 | ||
Massachusetts Health & Edl. Facilities Auth. Rev. (New England Med. Ctr. Hosp. Proj.) Series G, 5.375% 7/1/24 (MBIA Insured) | 500,000 | 500,250 | ||
Massachusetts Indl. Fin. Agcy. Rev. (Massachusetts Biomedical Research Corp. Proj.) Series A2: | ||||
0% 8/1/08 | 800,000 | 763,296 | ||
0% 8/1/10 | 4,500,000 | 3,939,795 | ||
Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Series A: | ||||
4.5% 8/15/35 (AMBAC Insured) | 2,100,000 | 2,096,535 | ||
5% 8/15/23 (FSA Insured) | 5,000,000 | 5,305,850 | ||
5% 8/15/30 (FSA Insured) | 4,500,000 | 4,746,150 | ||
5% 8/15/37 (AMBAC Insured) | 2,200,000 | 2,343,726 | ||
Massachusetts Wtr. Poll. Abatement Trust Wtr. Poll. Abatement Rev. (MWRA Ln. Prog.) Series A, 5.25% 8/1/13 | 10,000 | 10,281 | ||
Springfield Gen. Oblig. 5% 8/1/20 (MBIA Insured) | 3,335,000 | 3,554,977 | ||
29,573,049 | ||||
Michigan - 1.6% | ||||
Detroit Swr. Disp. Rev. Series B, 5% 7/1/36 (FGIC Insured) | 2,800,000 | 2,951,312 | ||
Ferris State Univ. Rev. 5% 10/1/19 (MBIA Insured) | 1,440,000 | 1,524,888 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Michigan - continued | ||||
Michigan State Hosp. Fin. Auth. Rev. (McLaren Health Care Corp. Proj.) Series A, 5% 6/1/19 | $ 2,000,000 | $ 2,040,200 | ||
Royal Oak Hosp. Fin. Auth. Hosp. Rev. (William Beaumont Hosp. Proj.) 6.25% 1/1/09 | 2,310,000 | 2,398,242 | ||
Willow Run Cmnty. Schools County of Washtenaw 5% 5/1/20 (FSA Insured) | 1,000,000 | 1,060,120 | ||
9,974,762 | ||||
Minnesota - 1.4% | ||||
Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (HealthSpan Corp. Proj.) Series A, 4.75% 11/15/18 (AMBAC Insured) | 1,800,000 | 1,801,548 | ||
Minneapolis Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2002 A, 6% 11/15/23 | 1,000,000 | 1,093,710 | ||
Rochester Health Care Facilities Rev. (Mayo Foundation Proj.) Series A, 5.5% 11/15/27 | 590,000 | 605,128 | ||
Saint Cloud Health Care Rev. (Saint Cloud Hosp. Group Oblig. Proj.) Series A, 5.875% 5/1/30 (FSA Insured) | 2,000,000 | 2,127,260 | ||
Saint Paul Hsg. & Redev. Auth. Health Care Facilities Rev. (HealthPartners Oblig. Group Proj.) 5.25% 5/15/22 | 1,000,000 | 1,058,400 | ||
Saint Paul Port Auth. Lease Rev.: | ||||
(HealthEast Midway Campus Proj.) Series 2003 A, 5.875% 5/1/30 | 1,400,000 | 1,462,510 | ||
Series 2003 11, 5.25% 12/1/18 | 1,000,000 | 1,074,030 | ||
9,222,586 | ||||
Missouri - 0.4% | ||||
Missouri Envir. Impt. & Energy Resources Auth. Wtr. Poll. Cont. & Drinking Wtr. Rev. (State Revolving Fund Prog.) Series 2003 A, 5.125% 1/1/21 | 1,010,000 | 1,072,782 | ||
Missouri Health & Edl. Facilities Auth. Edl. Facilities Rev. (Washington Univ. Proj.) Series A, 5% 1/15/37 | 1,700,000 | 1,808,732 | ||
2,881,514 | ||||
Montana - 0.4% | ||||
Forsyth Poll. Cont. Rev. (Portland Gen. Elec. Co. Proj.) Series A, 5.2%, tender 5/1/09 (c) | 1,500,000 | 1,535,295 | ||
Montana Board of Regents Higher Ed. Rev. (Montana State Univ. Proj.) 5% 11/15/34 (AMBAC Insured) | 1,000,000 | 1,053,830 | ||
2,589,125 | ||||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Nebraska - 0.7% | ||||
Central Plains Energy Proj. Rev. (Nebraska Gas Proj.) 4.098% 12/1/17 (c) | $ 1,100,000 | $ 1,102,662 | ||
Omaha Pub. Pwr. District Elec. Rev. Series A: | ||||
5% 2/1/34 | 1,100,000 | 1,148,521 | ||
5% 2/1/46 | 2,000,000 | 2,072,780 | ||
4,323,963 | ||||
Nevada - 0.5% | ||||
Clark County Arpt. Rev. Series C, 5.375% 7/1/22 (AMBAC Insured) (d) | 1,000,000 | 1,058,690 | ||
Las Vegas Valley Wtr. District Series B: | ||||
5.25% 6/1/16 (MBIA Insured) | 1,000,000 | 1,072,750 | ||
5.25% 6/1/17 (MBIA Insured) | 1,000,000 | 1,071,200 | ||
3,202,640 | ||||
New Hampshire - 0.2% | ||||
New Hampshire Bus. Fin. Auth. Poll. Cont. Rev. (United Illumination Co.) Series A, 3.65%, tender 2/1/10 (AMBAC Insured) (c)(d) | 1,000,000 | 985,580 | ||
New Jersey - 2.6% | ||||
Garden State Preservation Trust Open Space & Farmland Preservation Series 2005 A, 5.8% 11/1/19 (FSA Insured) | 700,000 | 795,382 | ||
New Jersey Econ. Dev. Auth. Rev. Series 2005 O: | ||||
5.25% 3/1/21 (MBIA Insured) | 1,000,000 | 1,082,550 | ||
5.25% 3/1/23 | 2,000,000 | 2,149,800 | ||
5.25% 3/1/25 | 1,500,000 | 1,609,230 | ||
5.25% 3/1/26 | 915,000 | 980,999 | ||
New Jersey Tpk. Auth. Tpk. Rev. Series A, 5% 1/1/25 (FSA Insured) | 900,000 | 953,352 | ||
New Jersey Trans. Trust Fund Auth. Series B, 5.25% 12/15/22 (AMBAC Insured) | 400,000 | 452,648 | ||
Tobacco Settlement Fing. Corp.: | ||||
4.375% 6/1/19 (Pre-Refunded to 6/1/13 @ 100) (e) | 1,990,000 | 1,994,338 | ||
6.125% 6/1/24 (Pre-Refunded to 6/1/13 @ 100) (e) | 3,500,000 | 3,744,020 | ||
6.375% 6/1/32 (Pre-Refunded to 6/1/13 @ 100) (e) | 1,400,000 | 1,588,888 | ||
Union County Impt. Auth. (Juvenile Detention Ctr. Facility Proj.) 5.5% 5/1/28 (FGIC Insured) | 1,000,000 | 1,103,210 | ||
16,454,417 | ||||
New Mexico - 1.0% | ||||
Albuquerque Arpt. Rev.: | ||||
6.7% 7/1/18 (AMBAC Insured) (d) | 3,970,000 | 4,064,883 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
New Mexico - continued | ||||
Albuquerque Arpt. Rev.: - continued | ||||
6.75% 7/1/09 (AMBAC Insured) (d) | $ 450,000 | $ 474,867 | ||
6.75% 7/1/11 (AMBAC Insured) (d) | 1,805,000 | 1,982,522 | ||
6,522,272 | ||||
New York - 12.3% | ||||
Buffalo Muni. Wtr. Fin. Auth. Series B, 5% 7/1/15 (FSA Insured) (b) | 600,000 | 638,556 | ||
Erie County Indl. Dev. Agcy. School Facility Rev.: | ||||
(Buffalo City School District Proj.): | ||||
Series 2003, 5.75% 5/1/16 (FSA Insured) | 1,500,000 | 1,655,490 | ||
Series 2004: | ||||
5.75% 5/1/17 (FSA Insured) | 1,600,000 | 1,790,064 | ||
5.75% 5/1/21 (FSA Insured) | 4,900,000 | 5,450,270 | ||
5.75% 5/1/25 (FSA Insured) | 600,000 | 665,442 | ||
(City of Buffalo Proj.) Series 2003, 5.75% 5/1/21 (FSA Insured) | 1,200,000 | 1,303,836 | ||
Hudson Yards Infrastructure Corp.: | ||||
4.5% 2/15/47 (MBIA Insured) | 1,800,000 | 1,780,146 | ||
5% 2/15/47 | 3,100,000 | 3,251,404 | ||
Long Island Pwr. Auth. Series A, 5% 12/1/26 (XL Cap. Assurance, Inc. Insured) | 1,400,000 | 1,481,592 | ||
Metropolitan Trans. Auth. Svc. Contract Rev. Series 7, 5.625% 7/1/16 (Escrowed to Maturity) (e) | 1,000,000 | 1,045,880 | ||
New York City Gen. Oblig.: | ||||
Series 2005 G: | ||||
5% 8/1/14 | 3,600,000 | 3,849,948 | ||
5% 8/1/15 | 1,000,000 | 1,073,940 | ||
Series A, 5.25% 11/1/14 (MBIA Insured) | 600,000 | 643,272 | ||
Series J, 5.5% 6/1/19 | 880,000 | 953,524 | ||
New York City Indl. Dev. Agcy. Indl. Dev. Rev. (Japan Airlines Co. Ltd. Proj.) Series 1991, 6% 11/1/15 (FSA Insured) (d) | 655,000 | 662,709 | ||
New York City Indl. Dev. Agcy. Rev. (Yankee Stadium Proj.): | ||||
5% 3/1/31 (FGIC Insured) | 1,000,000 | 1,061,160 | ||
5% 3/1/36 (MBIA Insured) | 700,000 | 742,259 | ||
New York City Indl. Dev. Agcy. Spl. Facilities Rev. (Terminal One Group Assoc. Proj.) 5% 1/1/09 (d) | 1,000,000 | 1,013,930 | ||
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: | ||||
Series 2002 A, 5.125% 6/15/34 (FSA Insured) | 500,000 | 525,065 | ||
Series 2005 D, 5% 6/15/37 | 400,000 | 420,116 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
New York - continued | ||||
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: - continued | ||||
Series A, 5.125% 6/15/34 (MBIA Insured) | $ 2,000,000 | $ 2,100,260 | ||
Series D, 5% 6/15/39 | 500,000 | 524,790 | ||
Series E, 5% 6/15/34 | 1,600,000 | 1,664,848 | ||
New York City Trust Cultural Resources Rev. (Museum of Modern Art Proj.) Series 2001 D, 5.125% 7/1/31 (AMBAC Insured) | 1,000,000 | 1,050,990 | ||
New York State Dorm. Auth. Revs.: | ||||
(City Univ. Sys. Consolidation Proj.): | ||||
Series A, 5.75% 7/1/13 | 1,500,000 | 1,620,420 | ||
Series C, 7.5% 7/1/10 | 360,000 | 379,624 | ||
Series 2002 A, 5.75% 10/1/17 (MBIA Insured) | 1,000,000 | 1,098,120 | ||
5% 7/1/14 | 1,000,000 | 1,035,200 | ||
New York State Envir. Facilities Corp. Clean Wtr. & Drinking Wtr. Rev. Series F: | ||||
4.875% 6/15/18 | 870,000 | 888,914 | ||
4.875% 6/15/20 | 795,000 | 811,496 | ||
5% 6/15/15 | 305,000 | 312,384 | ||
New York State Thruway Auth. Gen. Rev. Series 2005 G, 5.25% 1/1/27 (FSA Insured) | 1,600,000 | 1,740,320 | ||
New York Transitional Fin. Auth. Rev.: | ||||
Series 2004 C, 5% 2/1/33 (FGIC Insured) | 1,000,000 | 1,053,100 | ||
Series A, 6% 11/1/28 (a) | 2,000,000 | 2,177,640 | ||
Series B: | ||||
5% 8/1/32 | 1,300,000 | 1,360,151 | ||
5.25% 2/1/29 (a) | 2,000,000 | 2,101,640 | ||
5.75% 2/15/16 (Pre-Refunded to 2/15/10 @ 101) (e) | 10,000 | 10,655 | ||
Sales Tax Asset Receivables Corp. Series A, 5.25% 10/15/27 (AMBAC Insured) | 1,500,000 | 1,626,780 | ||
Syracuse Indl. Dev. Auth. Pilot Rev. (Carousel Ctr. Co. Proj.) 5% 1/1/36 (XL Cap. Assurance, Inc. Insured) (d) | 2,700,000 | 2,815,425 | ||
Tobacco Settlement Asset Securitization Corp. Series 1, 5.5% 7/15/24 (Pre-Refunded to 7/15/12 @ 100) (e) | 1,155,000 | 1,222,279 | ||
Tobacco Settlement Fing. Corp.: | ||||
Series A1: | ||||
5.25% 6/1/21 (AMBAC Insured) | 1,000,000 | 1,065,710 | ||
5.25% 6/1/22 (AMBAC Insured) | 950,000 | 1,011,370 | ||
5.5% 6/1/14 | 1,200,000 | 1,241,316 | ||
5.5% 6/1/16 | 4,700,000 | 4,921,511 | ||
Series C1: | ||||
5.5% 6/1/14 | 400,000 | 413,368 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
New York - continued | ||||
Tobacco Settlement Fing. Corp.: - continued | ||||
Series C1: | ||||
5.5% 6/1/15 | $ 1,700,000 | $ 1,781,634 | ||
5.5% 6/1/16 | 1,000,000 | 1,061,300 | ||
5.5% 6/1/17 | 1,600,000 | 1,695,600 | ||
5.5% 6/1/18 | 1,800,000 | 1,931,454 | ||
5.5% 6/1/19 | 1,600,000 | 1,733,680 | ||
5.5% 6/1/21 | 5,000,000 | 5,398,150 | ||
5.5% 6/1/22 | 1,500,000 | 1,616,925 | ||
79,475,657 | ||||
New York & New Jersey - 0.3% | ||||
Port Auth. of New York & New Jersey 124th Series, 5% 8/1/13 (FGIC Insured) (d) | 500,000 | 510,985 | ||
Port Auth. of New York & New Jersey Spl. Oblig. Rev. (JFK Int'l. Air Term. Spl. Proj.) Series 6, 6.25% 12/1/13 (MBIA Insured) (d) | 1,400,000 | 1,581,412 | ||
2,092,397 | ||||
North Carolina - 1.4% | ||||
Charlotte Ctfs. of Prtn. (2003 Govt. Facilities Projs.) Series G, 5% 6/1/33 | 1,000,000 | 1,039,220 | ||
Dare County Ctfs. of Prtn. 5.25% 6/1/15 (AMBAC Insured) | 1,195,000 | 1,296,981 | ||
North Carolina Cap. Facilities Fin. Agcy. Rev. (Duke Univ. Proj.) Series A, 5.125% 10/1/41 | 355,000 | 367,940 | ||
North Carolina Eastern Muni. Pwr. Agcy. Pwr. Sys. Rev.: | ||||
Series A, 5.5% 1/1/11 | 1,605,000 | 1,690,611 | ||
Series D, 6.7% 1/1/19 | 1,115,000 | 1,202,583 | ||
North Carolina Infrastructure Fin. Corp. Ctfs. of Prtn. (North Carolina Correctional Facilities Proj.) Series A, 5% 2/1/18 | 1,000,000 | 1,056,730 | ||
North Carolina Med. Care Cmnty. Health 5% 10/1/20 | 1,000,000 | 1,055,640 | ||
Union County Ctfs. of Prtn. 5% 6/1/18 (AMBAC Insured) | 1,305,000 | 1,402,457 | ||
9,112,162 | ||||
North Dakota - 0.2% | ||||
Ward County Health Care Facility Rev. (Trinity Med. Ctr. Proj.) 5.125% 7/1/17 | 1,210,000 | 1,271,758 | ||
Ohio - 0.2% | ||||
Cincinnati Student Ln. Fdg. Corp. Student Ln. Rev. Series B, 8.875% 8/1/08 (d) | 1,005,000 | 1,006,668 | ||
Plain Local School District 6% 12/1/25 (FGIC Insured) | 410,000 | 442,156 | ||
1,448,824 | ||||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Oklahoma - 1.1% | ||||
Oklahoma City Pub. Property Auth. Hotel Tax Rev.: | ||||
5.25% 10/1/29 (FGIC Insured) | $ 1,000,000 | $ 1,084,780 | ||
5.5% 10/1/21 (FGIC Insured) | 1,695,000 | 1,875,009 | ||
Oklahoma Inds. Auth. Rev. (Health Sys. Oblig. Group Proj.) Series A: | ||||
5.75% 8/15/29 (MBIA Insured) | 865,000 | 906,338 | ||
6% 8/15/19 (MBIA Insured) | 1,740,000 | 1,834,117 | ||
Tulsa County Indl. Auth. Health Care Rev. 5% 12/15/18 | 1,500,000 | 1,594,065 | ||
7,294,309 | ||||
Oregon - 0.5% | ||||
Oregon Dept. Administrative Svcs. Ctfs. of Prtn. Series A, 5.375% 5/1/15 (AMBAC Insured) | 1,715,000 | 1,838,874 | ||
Yamhill County School District #029J Newberg 5.5% 6/15/19 (FGIC Insured) | 1,000,000 | 1,147,030 | ||
2,985,904 | ||||
Pennsylvania - 3.2% | ||||
Annville-Cleona School District 5.5% 3/1/22 (FSA Insured) | 1,250,000 | 1,384,613 | ||
Canon McMillan School District: | ||||
Series 2001 B, 5.75% 12/1/33 (FGIC Insured) | 1,000,000 | 1,060,500 | ||
Series 2002 B, 5.75% 12/1/35 (FGIC Insured) | 1,595,000 | 1,737,418 | ||
Delaware County Auth. College Rev. (Haverford College Proj.) 5.75% 11/15/29 | 3,500,000 | 3,742,270 | ||
Easton Area School District Series 2006, 7.75% 4/1/25 (FSA Insured) | 700,000 | 886,683 | ||
Montgomery County Higher Ed. & Health Auth. Hosp. Rev. (Abington Memorial Hosp. Proj.) Series A, 6% 6/1/16 (AMBAC Insured) | 1,860,000 | 2,142,311 | ||
Pennsylvania Econ. Dev. Fing. Auth. Exempt Facilities Rev.: | ||||
(Amtrak Proj.) Series 2001 A, 6.25% 11/1/31 (d) | 2,000,000 | 2,147,960 | ||
(Shippingport Proj.) Series A, 4.35%, tender 6/1/10 (c)(d) | 500,000 | 502,415 | ||
Pennsylvania Higher Edl. Facilities Auth. Rev. (Lafayette College Proj.) 6% 5/1/30 | 3,065,000 | 3,249,697 | ||
Philadelphia Gas Works Rev.: | ||||
Fifth Series A1, 5% 9/1/33 (FSA Insured) | 600,000 | 629,586 | ||
Series 17, 5.375% 7/1/20 (FSA Insured) | 500,000 | 537,185 | ||
Westmoreland County Muni. Auth. Muni. Svc. Rev. Series A, 0% 8/15/21 (FGIC Insured) | 5,000,000 | 2,692,800 | ||
20,713,438 | ||||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Puerto Rico - 0.7% | ||||
Puerto Rico Govt. Dev. Bank: | ||||
Series B, 5% 12/1/12 | $ 2,500,000 | $ 2,631,450 | ||
Series C, 5.25% 1/1/15 (d) | 1,000,000 | 1,063,400 | ||
5% 12/1/10 | 1,000,000 | 1,036,030 | ||
4,730,880 | ||||
Rhode Island - 0.9% | ||||
Rhode Island Health & Edl. Bldg. Corp. Rev. Series A, 5.25% 9/15/17 (AMBAC Insured) | 1,000,000 | 1,087,670 | ||
Rhode Island Port Auth. & Econ. Dev. Corp. Arpt. Rev. Series A, 7% 7/1/14 (FSA Insured) (d) | 4,000,000 | 4,463,680 | ||
5,551,350 | ||||
South Carolina - 1.5% | ||||
Greenville County School District Installment Purp. Rev. 5% 12/1/12 | 3,750,000 | 3,966,450 | ||
Greenwood Fifty School Facilities Installment 5% 12/1/21 | 1,000,000 | 1,062,460 | ||
Lexington One School Facilities Corp. Rev. (Lexington County School District No. 1 Proj.) 5% 12/1/17 | 1,015,000 | 1,081,757 | ||
South Carolina Jobs Econ. Dev. Auth. Health Facilities Rev. (Bishop Gadsden Proj.) 5% 4/1/16 | 1,000,000 | 1,042,300 | ||
South Carolina Jobs Econ. Dev. Auth. Hosp. Facilities Rev. (Palmetto Health Alliance Proj.) Series A, 7.375% 12/15/21 (Pre-Refunded to 12/15/10 @ 102) (e) | 1,000,000 | 1,138,230 | ||
South Carolina Pub. Svc. Auth. Rev. (Santee Cooper Proj.) Series 2005 B, 5% 1/1/18 (MBIA Insured) | 1,000,000 | 1,075,570 | ||
Tobacco Settlement Rev. Mgmt. Auth. Series 2001 B, 6.375% 5/15/28 | 545,000 | 583,466 | ||
9,950,233 | ||||
Tennessee - 1.0% | ||||
Clarksville Natural Gas Acquisition Corp. Gas Rev.: | ||||
5% 12/15/13 | 1,000,000 | 1,061,770 | ||
5% 12/15/15 | 1,500,000 | 1,603,845 | ||
5% 12/15/16 | 1,500,000 | 1,608,795 | ||
Knox County Health Edl. & Hsg. Facilities Board Rev. (Univ. Health Sys. Proj.) 5% 4/1/16 | 1,805,000 | 1,881,352 | ||
6,155,762 | ||||
Texas - 11.3% | ||||
Abilene Independent School District 5% 2/15/19 | 1,090,000 | 1,161,471 | ||
Aledo Independent School District Series A, 5.125% 2/15/33 | 1,000,000 | 1,055,370 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Texas - continued | ||||
Austin Convention Enterprises, Inc. (Convention Ctr. Proj.) Series B, 5.75% 1/1/34 | $ 1,000,000 | $ 1,059,850 | ||
Austin Util. Sys. Rev. 0% 11/15/12 (AMBAC Insured) | 1,300,000 | 1,047,566 | ||
Boerne Independent School District 5.25% 2/1/35 | 1,500,000 | 1,588,185 | ||
Corpus Christi Util. Sys. Rev. 5.25% 7/15/18 (FSA Insured) | 1,000,000 | 1,107,330 | ||
Corsicana Independent School District 5.125% 2/15/28 | 1,015,000 | 1,073,961 | ||
Cypress-Fairbanks Independent School District Series A: | ||||
0% 2/15/14 | 3,200,000 | 2,436,352 | ||
0% 2/15/16 | 1,400,000 | 975,142 | ||
Dallas Area Rapid Transit Sales Tax Rev. 5% 12/1/36 (AMBAC Insured) | 1,000,000 | 1,056,860 | ||
Dallas Fort Worth Int'l. Arpt. Rev. Series A, 5.25% 11/1/12 (MBIA Insured) (d) | 1,000,000 | 1,063,140 | ||
Denton Independent School District 5% 8/15/33 | 1,600,000 | 1,657,680 | ||
Denton Util. Sys. Rev. Series A, 5% 12/1/19 (FSA Insured) | 1,280,000 | 1,344,038 | ||
Fort Worth Wtr. & Swr. Rev. 5% 2/15/16 (FSA Insured) | 1,000,000 | 1,065,560 | ||
Garland Independent School District 5.5% 2/15/19 | 2,500,000 | 2,609,075 | ||
Grand Prairie Independent School District 5.375% 2/15/16 (FSA Insured) | 1,000,000 | 1,081,020 | ||
Guadalupe-Blanco River Auth. Contract Rev. (Western Canyon Reg'l. Wtr. Supply Proj.) 5.25% 4/15/20 (MBIA Insured) | 1,000,000 | 1,069,410 | ||
Harris County Gen. Oblig.: | ||||
Series A, 5.25% 8/15/35 (FSA Insured) | 1,600,000 | 1,671,392 | ||
0% 10/1/17 (MBIA Insured) | 2,500,000 | 1,626,800 | ||
0% 8/15/24 (MBIA Insured) | 1,000,000 | 467,350 | ||
5.375% 8/15/23 (FSA Insured) | 1,000,000 | 1,066,800 | ||
Hays Consolidated Independent School District Series A, 5.125% 8/15/30 | 1,000,000 | 1,059,780 | ||
Houston Arpt. Sys. Rev.: | ||||
Series A, 5.625% 7/1/19 (FSA Insured) (d) | 1,000,000 | 1,071,670 | ||
Series B, 5.5% 7/1/30 (FSA Insured) | 1,400,000 | 1,460,858 | ||
Houston Independent School District 0% 8/15/13 | 1,300,000 | 1,011,738 | ||
Humble Independent School District: | ||||
Series 2005 B, 5.25% 2/15/20 (FGIC Insured) | 1,800,000 | 1,955,376 | ||
0% 2/15/17 | 1,000,000 | 669,080 | ||
Hurst Euless Bedford Independent School District 0% 8/15/11 | 1,000,000 | 845,740 | ||
Kermit Independent School District 5.25% 12/15/32 | 700,000 | 759,591 | ||
Lamar Consolidated Independent School District 5% 2/15/20 (b) | 1,000,000 | 1,074,380 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Texas - continued | ||||
Lewisville Independent School District 0% 8/15/19 | $ 2,340,000 | $ 1,390,919 | ||
Liberty Hill Independent School District (School Bldg. Proj.) 5.25% 8/1/35 | 1,100,000 | 1,184,557 | ||
Lower Colorado River Auth. Transmission Contract Rev. (LCRA Transmission Svcs. Corp. Proj.) Series C, 5.25% 5/15/19 (AMBAC Insured) | 1,000,000 | 1,070,280 | ||
Mansfield Independent School District: | ||||
5.375% 2/15/26 | 145,000 | 152,134 | ||
5.375% 2/15/26 (Pre-Refunded to 2/15/11 @ 100) (e) | 855,000 | 905,077 | ||
5.5% 2/15/17 | 25,000 | 26,774 | ||
Montgomery County Muni. Util. District #46 5% 3/1/21 (FSA Insured) | 1,040,000 | 1,077,263 | ||
North Central Health Facilities Dev. Corp. Rev. (Children's Med. Ctr. of Dallas Proj.) 5.5% 8/15/16 (AMBAC Insured) | 1,230,000 | 1,327,588 | ||
North Texas Tollway Auth. Dallas North Tollway Sys. Rev. Series A, 5% 1/1/28 (AMBAC Insured) | 1,000,000 | 1,041,410 | ||
Northside Independent School District 5.5% 2/15/15 | 940,000 | 996,099 | ||
Northwest Texas Independent School District 5.5% 8/15/21 | 170,000 | 183,677 | ||
Pampa Independent School District 5% 8/15/36 | 1,000,000 | 1,057,620 | ||
Prosper Independent School District 5.125% 8/15/30 | 400,000 | 423,912 | ||
Sabine River Auth. Poll. Cont. Rev. (Texas Utils. Elec. Co. Proj.) Series B, 5.75%, tender 11/1/11 (c)(d) | 4,645,000 | 4,773,945 | ||
San Marcos Consolidated Independent School District 5% 8/1/20 | 1,525,000 | 1,615,082 | ||
Spring Branch Independent School District 5.375% 2/1/18 | 345,000 | 363,530 | ||
Texas Muni. Pwr. Agcy. Rev.: | ||||
0% 9/1/11 (AMBAC Insured) | 4,715,000 | 3,995,963 | ||
0% 9/1/11 (Escrowed to Maturity) (e) | 35,000 | 29,675 | ||
0% 9/1/15 (MBIA Insured) | 1,100,000 | 784,531 | ||
Texas Pub. Fin. Auth. Bldg. Rev. (Texas Technical College Proj.) 6.25% 8/1/09 (MBIA Insured) | 640,000 | 656,787 | ||
Texas Tpk. Auth. Central Tpk. Sys. Rev.: | ||||
5.5% 8/15/39 (AMBAC Insured) | 4,100,000 | 4,394,052 | ||
5.75% 8/15/38 (AMBAC Insured) | 3,775,000 | 4,090,288 | ||
Texas Wtr. Dev. Board Rev. Series A, 5.5% 7/15/21 | 1,000,000 | 1,033,780 | ||
Tyler Health Facilities Dev. Corp. Hosp. Rev. (Mother Frances Hosp. Reg'l. Health Care Ctr. Proj.) 6% 7/1/27 | 1,000,000 | 1,070,710 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Texas - continued | ||||
White Settlement Independent School District 5.75% 8/15/34 | $ 1,440,000 | $ 1,559,563 | ||
Williamson County Gen. Oblig. 5.5% 2/15/19 (FSA Insured) | 35,000 | 37,013 | ||
72,434,794 | ||||
Utah - 0.3% | ||||
Intermountain Pwr. Agcy.: | ||||
Series A: | ||||
6.5% 7/1/09 (AMBAC Insured) | 365,000 | 385,626 | ||
6.5% 7/1/09 (Escrowed to Maturity) (e) | 635,000 | 672,376 | ||
Series B, 5.75% 7/1/16 (MBIA Insured) | 1,025,000 | 1,048,801 | ||
2,106,803 | ||||
Vermont - 0.4% | ||||
Vermont Edl. & Health Bldg. Fing. Agcy. Rev.: | ||||
(Fletcher Allen Health Care, Inc. Proj.): | ||||
Series 2000 A, 6.125% 12/1/27 (AMBAC Insured) | 1,000,000 | 1,078,830 | ||
Series 2000 A, 5.75% 12/1/18 (AMBAC Insured) | 400,000 | 426,992 | ||
(Middlebury College Proj. Series 2006 A, 5% 10/31/46 | 1,000,000 | 1,050,120 | ||
2,555,942 | ||||
Washington - 7.0% | ||||
Chelan County Pub. Util. District #1 Columbia River-Rock Island Hydro-Elec. Sys. Rev. Series A, 0% 6/1/17 (MBIA Insured) | 1,000,000 | 652,610 | ||
Clark County School District #114, Evergreen 5.375% 12/1/14 (FSA Insured) | 3,040,000 | 3,273,654 | ||
Energy Northwest Elec. Rev. (#1 Proj.) Series 2006 A, 5% 7/1/15 | 1,000,000 | 1,076,210 | ||
Grant County Pub. Util. District #2 (Priest Rapids Hydro-Elec. Proj.) Second Series B, 5.375% 1/1/16 (MBIA Insured) (d) | 1,715,000 | 1,794,182 | ||
Grant County Pub. Util. District #2 Wanapum Hydro Elec. Rev. Series B, 5.25% 1/1/22 (FGIC Insured) (d) | 1,950,000 | 2,051,517 | ||
King County Gen. Oblig. 5% 1/1/35 (FGIC Insured) | 1,000,000 | 1,047,220 | ||
King County Swr. Rev. Series B, 5.125% 1/1/33 (FSA Insured) | 2,800,000 | 2,919,280 | ||
Port of Seattle Passenger Facilities Charge Rev. Series B, 5.25% 12/1/14 (AMBAC Insured) (d) | 3,000,000 | 3,088,590 | ||
Spokane County School District #81 5.25% 12/1/18 (FSA Insured) | 1,000,000 | 1,074,070 | ||
Spokane Gen. Oblig. 5.25% 12/1/24 (AMBAC Insured) | 1,000,000 | 1,070,860 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Washington - continued | ||||
Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev. 5.75% 12/1/24 (MBIA Insured) | $ 1,000,000 | $ 1,100,910 | ||
Washington Gen. Oblig.: | ||||
Series 2001 C, 5.25% 1/1/16 | 1,000,000 | 1,048,370 | ||
Series B, 5% 7/1/28 (FSA Insured) | 1,095,000 | 1,156,484 | ||
Series 2001 C, 5.25% 1/1/26 (FSA Insured) | 1,000,000 | 1,047,680 | ||
Series E, 5% 1/1/29 (MBIA Insured) | 1,000,000 | 1,051,220 | ||
Series R 97A, 0% 7/1/19 (MBIA Insured) | 1,200,000 | 723,000 | ||
Series S5, 0% 1/1/18 (FGIC Insured) | 1,000,000 | 644,710 | ||
Washington Health Care Facilities Auth. Rev. (Providence Health Systems Proj.) Series 2001 A, 5.5% 10/1/13 (MBIA Insured) | 3,000,000 | 3,193,950 | ||
Washington Pub. Pwr. Supply Sys. Nuclear Proj. #2 Rev. 5.4% 7/1/12 | 16,000,000 | 17,180,956 | ||
45,195,473 | ||||
Wisconsin - 1.3% | ||||
Badger Tobacco Asset Securitization Corp. 6.125% 6/1/27 | 835,000 | 892,557 | ||
Douglas County Gen. Oblig. 5.5% 2/1/18 (FGIC Insured) | 335,000 | 358,738 | ||
Menasha Joint School District: | ||||
5.5% 3/1/17 (FSA Insured) | 65,000 | 69,710 | ||
5.5% 3/1/17 (Pre-Refunded to 3/1/12 @ 100) (e) | 1,095,000 | 1,171,486 | ||
Wisconsin Health & Edl. Facilities Auth. Rev.: | ||||
(Marshfield Clinic Proj.) Series B, 6% 2/15/25 | 1,500,000 | 1,601,730 | ||
(Wheaton Franciscan Svcs., Inc. Proj.): | ||||
Series A, 5.5% 8/15/16 | 1,000,000 | 1,059,740 | ||
5.75% 8/15/30 (Pre-Refunded to 2/15/12 @ 101) (e) | 1,500,000 | 1,644,090 | ||
6.25% 8/15/22 (Pre-Refunded to 2/15/12 @ 101) (e) | 600,000 | 670,668 | ||
Series A, 5.375% 2/15/34 | 1,000,000 | 1,042,920 | ||
8,511,639 |
TOTAL INVESTMENT PORTFOLIO - 99.9% (Cost $626,639,769) | 643,390,849 | ||
NET OTHER ASSETS - 0.1% | 478,501 | ||
NET ASSETS - 100% | $ 643,869,350 |
Legend |
(a) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(c) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(d) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals. |
(e) Security collateralized by an amount sufficient to pay interest and principal. |
Other Information |
The distribution of municipal securities by revenue source, as a percentage of total net assets, is as follows: |
General Obligations | 40.2% |
Health Care | 11.3% |
Electric Utilities | 10.1% |
Transportation | 8.2% |
Water & Sewer | 8.4% |
Special Tax | 7.8% |
Escrowed/Pre-Refunded | 6.1% |
Others* (individually less than 5%) | 7.9% |
100.0% |
*Includes net other assets |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
April 30, 2007 (Unaudited) | ||
Assets | ||
Investment in securities, at value - Unaffiliated issuers (cost $626,639,769) | $ 643,390,849 | |
Cash | 239,948 | |
Receivable for investments sold | 5,618,992 | |
Receivable for fund shares sold | 729,527 | |
Interest receivable | 9,437,360 | |
Prepaid expenses | 2,231 | |
Receivable from investment adviser for expense reductions | 583 | |
Other receivables | 55,123 | |
Total assets | 659,474,613 | |
Liabilities | ||
Payable for investments purchased | $ 700,000 | |
Delayed delivery | 12,308,405 | |
Payable for fund shares redeemed | 1,295,597 | |
Distributions payable | 677,811 | |
Accrued management fee | 197,087 | |
Distribution fees payable | 187,685 | |
Other affiliated payables | 212,763 | |
Other payables and accrued expenses | 25,915 | |
Total liabilities | 15,605,263 | |
Net Assets | $ 643,869,350 | |
Net Assets consist of: | ||
Paid in capital | $ 623,404,477 | |
Distributions in excess of net investment income | (185,640) | |
Accumulated undistributed net realized gain (loss) on investments | 3,899,433 | |
Net unrealized appreciation (depreciation) on investments | 16,751,080 | |
Net Assets | $ 643,869,350 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
April 30, 2007 (Unaudited) | ||
Calculation of Maximum Offering Price | $ 12.83 | |
Maximum offering price per share (100/96.00 of $12.83) | $ 13.36 | |
Class T: | $ 12.86 | |
Maximum offering price per share (100/96.00 of $12.86) | $ 13.40 | |
Class B: | $ 12.80 | |
Class C: | $ 12.85 | |
Institutional Class: | $ 12.78 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended April 30, 2007 (Unaudited) | ||
Investment Income | ||
Interest | $ 14,399,351 | |
Expenses | ||
Management fee | $ 1,182,645 | |
Transfer agent fees | 347,053 | |
Distribution fees | 1,089,862 | |
Accounting fees and expenses | 77,463 | |
Custodian fees and expenses | 4,972 | |
Independent trustees' compensation | 991 | |
Registration fees | 56,637 | |
Audit | 28,274 | |
Legal | 2,382 | |
Miscellaneous | 2,379 | |
Total expenses before reductions | 2,792,658 | |
Expense reductions | (107,612) | 2,685,046 |
Net investment income | 11,714,305 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 4,184,285 | |
Change in net unrealized appreciation (depreciation) on investment securities | (8,014,491) | |
Net gain (loss) | (3,830,206) | |
Net increase (decrease) in net assets resulting from operations | $ 7,884,099 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Six months ended | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 11,714,305 | $ 25,252,552 |
Net realized gain (loss) | 4,184,285 | 5,675,829 |
Change in net unrealized appreciation (depreciation) | (8,014,491) | 4,279,338 |
Net increase (decrease) in net assets resulting | 7,884,099 | 35,207,719 |
Distributions to shareholders from net investment income | (11,688,040) | (25,274,196) |
Distributions to shareholders from net realized gain | (4,708,165) | (8,244,683) |
Total distributions | (16,396,205) | (33,518,879) |
Share transactions - net increase (decrease) | 8,579,562 | (16,629,046) |
Total increase (decrease) in net assets | 67,456 | (14,940,206) |
Net Assets | ||
Beginning of period | 643,801,894 | 658,742,100 |
End of period (including distributions in excess of net investment income of $185,640 and distributions in excess of net investment income of $193,440, respectively) | $ 643,869,350 | $ 643,801,894 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended April 30, 2007 | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 13.00 | $ 12.97 | $ 13.28 | $ 13.00 | $ 12.87 | $ 12.70 |
Income from Investment Operations | ||||||
Net investment income E | .246 | .504 | .521 | .533 | .539 | .557 |
Net realized and unrealized gain (loss) | (.075) | .193 | (.201) | .301 | .137 | .168 |
Total from investment operations | .171 | .697 | .320 | .834 | .676 | .725 |
Distributions from net investment income | (.246) | (.505) | (.520) | (.532) | (.544) | (.555) |
Distributions from net realized gain | (.095) | (.162) | (.110) | (.022) | (.002) | - |
Total distributions | (.341) | (.667) | (.630) | (.554) | (.546) | (.555) |
Net asset value, | $ 12.83 | $ 13.00 | $ 12.97 | $ 13.28 | $ 13.00 | $ 12.87 |
Total Return B, C, D | 1.33% | 5.56% | 2.46% | 6.56% | 5.33% | 5.88% |
Ratios to Average Net Assets F | ||||||
Expenses before reductions | .70% A | .68% | .69% | .69% | .68% | .69% |
Expenses net of fee waivers, if any | .70% A | .68% | .69% | .69% | .68% | .69% |
Expenses net of all reductions | .66% A | .63% | .67% | .69% | .68% | .67% |
Net investment income | 3.85% A | 3.93% | 3.96% | 4.07% | 4.15% | 4.41% |
Supplemental Data | ||||||
Net assets, | $ 147,080 | $ 144,183 | $ 123,844 | $ 101,763 | $ 87,406 | $ 67,457 |
Portfolio turnover rate | 33% A | 26% | 22% | 17% | 26% | 20% |
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 expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended April 30, 2007 | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 13.02 | $ 13.00 | $ 13.31 | $ 13.03 | $ 12.89 | $ 12.72 |
Income from Investment Operations | ||||||
Net investment income E | .241 | .493 | .509 | .522 | .529 | .546 |
Net realized and unrealized gain (loss) | (.066) | .181 | (.202) | .299 | .144 | .166 |
Total from investment operations | .175 | .674 | .307 | .821 | .673 | .712 |
Distributions from net investment income | (.240) | (.492) | (.507) | (.519) | (.531) | (.542) |
Distributions from net realized gain | (.095) | (.162) | (.110) | (.022) | (.002) | - |
Total distributions | (.335) | (.654) | (.617) | (.541) | (.533) | (.542) |
Net asset value, | $ 12.86 | $ 13.02 | $ 13.00 | $ 13.31 | $ 13.03 | $ 12.89 |
Total Return B, C, D | 1.36% | 5.36% | 2.35% | 6.44% | 5.30% | 5.76% |
Ratios to Average Net Assets F | ||||||
Expenses before reductions | .79% A | .78% | .79% | .79% | .78% | .79% |
Expenses net of fee waivers, if any | .79% A | .78% | .79% | .79% | .78% | .79% |
Expenses net of all reductions | .75% A | .73% | .77% | .78% | .77% | .77% |
Net investment income | 3.76% A | 3.83% | 3.86% | 3.97% | 4.06% | 4.31% |
Supplemental Data | ||||||
Net assets, | $ 302,173 | $ 310,132 | $ 318,973 | $ 319,734 | $ 340,542 | $ 354,030 |
Portfolio turnover rate | 33% A | 26% | 22% | 17% | 26% | 20% |
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 expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended April 30, 2007 | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 12.97 | $ 12.94 | $ 13.25 | $ 12.98 | $ 12.85 | $ 12.67 |
Income from Investment Operations | ||||||
Net investment income E | .198 | .407 | .421 | .435 | .443 | .462 |
Net realized and unrealized gain (loss) | (.075) | .193 | (.200) | .291 | .136 | .178 |
Total from investment operations | .123 | .600 | .221 | .726 | .579 | .640 |
Distributions from net investment income | (.198) | (.408) | (.421) | (.434) | (.447) | (.460) |
Distributions from net realized gain | (.095) | (.162) | (.110) | (.022) | (.002) | - |
Total distributions | (.293) | (.570) | (.531) | (.456) | (.449) | (.460) |
Net asset value, | $ 12.80 | $ 12.97 | $ 12.94 | $ 13.25 | $ 12.98 | $ 12.85 |
Total Return B, C, D | .95% | 4.78% | 1.70% | 5.70% | 4.56% | 5.19% |
Ratios to Average Net Assets F | ||||||
Expenses before reductions | 1.45% A | 1.44% | 1.45% | 1.44% | 1.43% | 1.44% |
Expenses net of fee waivers, if any | 1.45% A | 1.44% | 1.45% | 1.44% | 1.43% | 1.44% |
Expenses net of all reductions | 1.42% A | 1.39% | 1.42% | 1.44% | 1.42% | 1.41% |
Net investment income | 3.10% A | 3.17% | 3.21% | 3.32% | 3.41% | 3.66% |
Supplemental Data | ||||||
Net assets, | $ 55,514 | $ 65,114 | $ 82,084 | $ 97,487 | $ 110,853 | $ 109,986 |
Portfolio turnover rate | 33% A | 26% | 22% | 17% | 26% | 20% |
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 expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended April 30, 2007 | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 13.02 | $ 12.99 | $ 13.30 | $ 13.02 | $ 12.89 | $ 12.71 |
Income from Investment Operations | ||||||
Net investment income E | .193 | .396 | .410 | .423 | .430 | .451 |
Net realized and unrealized gain (loss) | (.076) | .192 | (.202) | .300 | .135 | .176 |
Total from investment operations | .117 | .588 | .208 | .723 | .565 | .627 |
Distributions from net investment income | (.192) | (.396) | (.408) | (.421) | (.433) | (.447) |
Distributions from net realized gain | (.095) | (.162) | (.110) | (.022) | (.002) | - |
Total distributions | (.287) | (.558) | (.518) | (.443) | (.435) | (.447) |
Net asset value, | $ 12.85 | $ 13.02 | $ 12.99 | $ 13.30 | $ 13.02 | $ 12.89 |
Total Return B, C, D | .90% | 4.66% | 1.59% | 5.65% | 4.44% | 5.06% |
Ratios to Average Net Assets F | ||||||
Expenses before reductions | 1.54% A | 1.53% | 1.54% | 1.54% | 1.53% | 1.53% |
Expenses net of fee waivers, if any | 1.54% A | 1.53% | 1.54% | 1.54% | 1.53% | 1.53% |
Expenses net of all reductions | 1.51% A | 1.48% | 1.52% | 1.54% | 1.52% | 1.51% |
Net investment income | 3.01% A | 3.08% | 3.11% | 3.22% | 3.31% | 3.57% |
Supplemental Data | ||||||
Net assets, | $ 62,773 | $ 62,799 | $ 63,984 | $ 58,984 | $ 59,423 | $ 52,019 |
Portfolio turnover rate | 33% A | 26% | 22% | 17% | 26% | 20% |
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 expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended April 30, 2007 | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 12.95 | $ 12.92 | $ 13.24 | $ 12.96 | $ 12.83 | $ 12.66 |
Income from Investment Operations | ||||||
Net investment income D | .255 | .520 | .540 | .551 | .556 | .573 |
Net realized and unrealized gain (loss) | (.074) | .196 | (.208) | .304 | .139 | .170 |
Total from investment operations | .181 | .716 | .332 | .855 | .695 | .743 |
Distributions from net investment income | (.256) | (.524) | (.542) | (.553) | (.563) | (.573) |
Distributions from net realized gain | (.095) | (.162) | (.110) | (.022) | (.002) | - |
Total distributions | (.351) | (.686) | (.652) | (.575) | (.565) | (.573) |
Net asset value, | $ 12.78 | $ 12.95 | $ 12.92 | $ 13.24 | $ 12.96 | $ 12.83 |
Total Return B, C | 1.41% | 5.73% | 2.56% | 6.75% | 5.50% | 6.05% |
Ratios to Average Net Assets E | ||||||
Expenses before reductions | .54% A | .54% | .53% | .54% | .54% | .55% |
Expenses net of fee waivers, if any | .54% A | .54% | .53% | .54% | .54% | .55% |
Expenses net of all reductions | .51% A | .49% | .51% | .53% | .53% | .52% |
Net investment income | 4.01% A | 4.07% | 4.13% | 4.23% | 4.30% | 4.55% |
Supplemental Data | ||||||
Net assets, | $ 76,330 | $ 61,573 | $ 69,857 | $ 44,164 | $ 44,960 | $ 31,703 |
Portfolio turnover rate | 33% A | 26% | 22% | 17% | 26% | 20% |
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 expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2007 (Unaudited)
1. Organization.
Fidelity Advisor Municipal 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 financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.
2. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. Significant Accounting Policies - continued
Investment Transactions and Income - continued
sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, market discount, deferred trustees compensation and losses deferred due to wash sales and futures transactions.
The Fund purchases municipal securities whose interest, in the opinion of the issuer, is free from federal income tax. There is no assurance that the Internal Revenue Service (IRS) will agree with this opinion. In the event the IRS determines that the issuer does not comply with relevant tax requirements, interest payments from a security could become federally taxable, possibly retroactively to the date the security was issued.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 18,046,264 | |
Unrealized depreciation | (963,043) | |
Net unrealized appreciation (depreciation) | $ 17,083,221 | |
Cost for federal income tax purposes | $ 626,307,628 |
Semiannual Report
2. Significant Accounting Policies - continued
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
3. Operating Policies.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $113,579,800 and $105,119,294, respectively.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (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 .25% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .37% 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% | .25% | $ 121,348 | $ 5,299 |
Class T | 0% | .25% | 382,922 | 6,847 |
Class B | .65% | .25% | 271,301 | 197,053 |
Class C | .75% | .25% | 314,291 | 52,295 |
$ 1,089,862 | $ 261,494 |
On January 18, 2007, the Board of Trustees approved an increase in Class A's Service fee from .15% to .25%, effective April 1, 2007.
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A and Class T shares (4.75% for Class A and 3.50% for Class T shares prior to April 1, 2007), some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, ..75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
Semiannual Report
5. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 21,804 |
Class T | 14,939 |
Class B* | 71,483 |
Class C* | 1,914 |
$ 110,140 |
* 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 and Accounting Fees. Citibank, N.A. (Citibank) is the custodian, transfer agent, and shareholder servicing agent for each class of the Fund. Citibank has entered into a sub-arrangement with Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, with respect to all classes of the Fund to perform the transfer, dividend disbursing, and shareholder servicing agent functions. 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. All fees are paid to FIIOC by Citibank, which is reimbursed by each class for such payments. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, each class paid the following transfer agent fees:
Amount | % of | |
Class A | $ 74,595 | .10 |
Class T | 164,439 | .11 |
Class B | 35,144 | .12 |
Class C | 33,837 | .11 |
Institutional Class | 39,038 | .12 |
$ 347,053 |
* Annualized
Citibank also has a sub-arrangement with Fidelity Service Company, Inc. (FSC), an affiliate of FMR, under which FSC maintains the Fund's accounting records. The fee is based on the level of average net assets for the month.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $791 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
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, including commitment fees, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
Expense | Reimbursement | |
Class B | 1.50% -1.45%* | $ 429 |
Class C | 1.60% -1.55%* | 154 |
$ 583 |
* Expense limitation in effect at period end.
In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody and accounting expenses by $4,972 and $77,463, respectively. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | ||
Class A | $ 4,707 | |
Class T | 12,542 | |
Class B | 2,103 | |
Class C | 1,890 | |
Institutional Class | 2,181 | |
$ 23,423 |
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.
In September 2006, the Fund's transfer agent, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund. FIIOC has reimbursed the Fund for related audit and legal expenses and, beginning in June 2007, remediated affected shareholders.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 2,774,086 | $ 5,475,285 |
Class T | 5,696,729 | 12,053,776 |
Class B | 929,754 | 2,316,388 |
Class C | 933,105 | 1,936,779 |
Institutional Class | 1,354,366 | 3,491,968 |
Total | $ 11,688,040 | $ 25,274,196 |
From net realized gain | ||
Class A | $ 1,058,491 | $ 1,555,692 |
Class T | 2,260,434 | 3,978,415 |
Class B | 465,204 | 1,007,878 |
Class C | 456,116 | 788,459 |
Institutional Class | 467,920 | 914,239 |
Total | $ 4,708,165 | $ 8,244,683 |
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 | Year ended | Six months ended | Year ended | |
Class A | ||||
Shares sold | 1,710,769 | 4,948,217 | $ 22,043,467 | $ 63,420,086 |
Reinvestment of distributions | 199,218 | 371,154 | 2,572,303 | 4,767,130 |
Shares redeemed | (1,537,015) | (3,774,302) | (19,797,118) | (48,584,463) |
Net increase (decrease) | 372,972 | 1,545,069 | $ 4,818,652 | $ 19,602,753 |
Class T | ||||
Shares sold | 1,206,834 | 3,432,677 | $ 15,592,700 | $ 44,171,647 |
Reinvestment of distributions | 463,157 | 936,819 | 5,993,867 | 12,055,637 |
Shares redeemed | (1,974,978) | (5,102,497) | (25,505,213) | (65,624,444) |
Net increase (decrease) | (304,987) | (733,001) | $ (3,918,646) | $ (9,397,160) |
Class B | ||||
Shares sold | 124,824 | 401,486 | $ 1,604,564 | $ 5,146,784 |
Reinvestment of distributions | 63,743 | 154,058 | 821,807 | 1,974,082 |
Shares redeemed | (871,964) | (1,876,847) | (11,213,336) | (24,024,161) |
Net increase (decrease) | (683,397) | (1,321,303) | $ (8,786,965) | $ (16,903,295) |
Class C | ||||
Shares sold | 446,090 | 1,151,475 | $ 5,763,499 | $ 14,821,030 |
Reinvestment of distributions | 72,488 | 139,244 | 938,223 | 1,791,102 |
Shares redeemed | (456,958) | (1,392,566) | (5,897,472) | (17,907,457) |
Net increase (decrease) | 61,620 | (101,847) | $ 804,250 | $ (1,295,325) |
Institutional Class | ||||
Shares sold | 1,933,156 | 5,188,827 | $ 24,833,525 | $ 66,328,861 |
Reinvestment of distributions | 49,161 | 115,403 | 632,009 | 1,473,273 |
Shares redeemed | (764,053) | (5,953,881) | (9,803,263) | (76,438,153) |
Net increase (decrease) | 1,218,264 | (649,651) | $ 15,662,271 | $ (8,636,019) |
Semiannual Report
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Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Investments Money
Management, Inc.
Fidelity Research & Analysis Company
(formerly Fidelity Management &
Research (Far East) Inc.)
Fidelity International Investment Advisors
Fidelity International Investment Advisors
(U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Citibank, N.A.
New York, NY
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
HIM-USAN-0607
1.784901.104
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Municipal Income Fund -
Institutional Class
Semiannual Report
April 30, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (November 1, 2006 to April 30, 2007).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
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 | $ 1,013.30 | $ 3.49** |
Hypothetical A | $ 1,000.00 | $ 1,021.32 | $ 3.51** |
Class T | |||
Actual | $ 1,000.00 | $ 1,013.60 | $ 3.94 |
Hypothetical A | $ 1,000.00 | $ 1,020.88 | $ 3.96 |
Class B | |||
Actual | $ 1,000.00 | $ 1,009.50 | $ 7.22 |
Hypothetical A | $ 1,000.00 | $ 1,017.60 | $ 7.25 |
Beginning | Ending | Expenses Paid | |
Class C | |||
Actual | $ 1,000.00 | $ 1,009.00 | $ 7.67 |
Hypothetical A | $ 1,000.00 | $ 1,017.16 | $ 7.70 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,014.10 | $ 2.70 |
Hypothetical A | $ 1,000.00 | $ 1,022.12 | $ 2.71 |
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 | .70%** |
Class T | .79% |
Class B | 1.45% |
Class C | 1.54% |
Institutional Class | .54% |
** If fees and changes to voluntary expense limitations, effective April 1, 2007 had been in effect during the entire period, the annualized expense ratio would have been .78% and the expenses paid in the actual and hypothetical examples above would have been $3.89 and $3.91, respectively.
Semiannual Report
Investment Changes
Top Five States as of April 30, 2007 | ||
% of fund's | % of fund's net assets | |
California | 12.8 | 11.2 |
New York | 12.3 | 12.0 |
Texas | 11.3 | 13.2 |
Illinois | 11.2 | 10.5 |
Washington | 7.0 | 7.1 |
Top Five Sectors as of April 30, 2007 | ||
% of fund's | % of fund's net assets | |
General Obligations | 40.2 | 37.8 |
Health Care | 11.3 | 11.0 |
Electric Utilities | 10.1 | 9.2 |
Transportation | 8.2 | 8.9 |
Water & Sewer | 8.4 | 7.4 |
Average Years to Maturity as of April 30, 2007 | ||
6 months ago | ||
Years | 15.8 | 15.2 |
Average years to maturity is based on the average time remaining to the stated maturity date of each bond, weighted by the market value of each bond. |
Duration as of April 30, 2007 | ||
6 months ago | ||
Years | 6.7 | 6.5 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Quality Diversification (% of fund's net assets) | |||||||
As of April 30, 2007 | As of October 31, 2006 | ||||||
![]() | AAA 63.4% | ![]() | AAA 61.8% | ||||
![]() | AA,A 28.5% | ![]() | AA,A 28.1% | ||||
![]() | BBB 6.3% | ![]() | BBB 8.1% | ||||
![]() | BB and Below 0.6% | ![]() | BB and Below 0.2% | ||||
![]() | Not Rated 1.1% | ![]() | Not Rated 1.0% | ||||
![]() | 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. |
Semiannual Report
Investments April 30, 2007 (Unaudited)
Showing Percentage of Net Assets
Municipal Bonds - 99.9% | ||||
Principal Amount | Value | |||
Alaska - 0.2% | ||||
Alaska Student Ln. Corp. Student Ln. Rev. Series A, 5.45% 7/1/09 (AMBAC Insured) (d) | $ 1,500,000 | $ 1,503,675 | ||
Arizona - 1.4% | ||||
Arizona Student Ln. Acquisition Auth. Student Ln. Rev. Series A1, 5.875% 5/1/18 (d) | 1,300,000 | 1,373,866 | ||
Chandler Indl. Dev. Auth. Indl. Dev. Rev. (Intel Corp. Proj.) 4.375%, tender 12/1/10 (c)(d) | 1,000,000 | 1,013,060 | ||
Glendale Indl. Dev. Auth. Hosp. Rev. (John C. Lincoln Health Network Proj.) 5% 12/1/29 | 1,575,000 | 1,614,690 | ||
Phoenix Civic Impt. Corp. Wtr. Sys. Rev. 5% 7/1/29 (MBIA Insured) | 1,000,000 | 1,059,700 | ||
Phoenix Indl. Dev. Auth. Single Family Mtg. Rev. 0% 12/1/14 (Escrowed to Maturity) (e) | 3,750,000 | 2,794,313 | ||
Univ. of Arizona Univ. Revs. Series 2005 A, 5% 6/1/17 (AMBAC Insured) | 1,000,000 | 1,079,880 | ||
8,935,509 | ||||
Arkansas - 0.2% | ||||
Little Rock School District Series 2001 C, 5.25% 2/1/33 (FSA Insured) | 1,000,000 | 1,041,950 | ||
California - 12.8% | ||||
California Dept. of Wtr. Resources Pwr. Supply Rev. Series A, 5.5% 5/1/15 (AMBAC Insured) | 1,000,000 | 1,089,250 | ||
California Gen. Oblig.: | ||||
5% 3/1/15 | 1,000,000 | 1,074,930 | ||
5% 8/1/20 | 6,600,000 | 7,061,868 | ||
5% 6/1/27 (AMBAC Insured) | 600,000 | 632,052 | ||
5% 9/1/27 | 1,410,000 | 1,487,324 | ||
5% 9/1/31 | 1,500,000 | 1,577,535 | ||
5% 12/1/31 (MBIA Insured) | 1,400,000 | 1,467,046 | ||
5% 9/1/32 | 1,600,000 | 1,681,456 | ||
5% 8/1/33 | 1,300,000 | 1,359,488 | ||
5% 9/1/33 | 1,800,000 | 1,891,638 | ||
5% 8/1/35 | 2,400,000 | 2,508,648 | ||
5% 9/1/35 | 3,600,000 | 3,780,468 | ||
5.125% 11/1/24 | 600,000 | 634,752 | ||
5.25% 2/1/15 | 1,200,000 | 1,293,768 | ||
5.25% 2/1/16 | 1,000,000 | 1,078,140 | ||
5.25% 2/1/24 | 1,000,000 | 1,062,730 | ||
5.25% 2/1/27 (MBIA Insured) | 500,000 | 531,235 | ||
5.25% 2/1/28 | 1,200,000 | 1,272,552 | ||
5.25% 2/1/33 | 2,000,000 | 2,108,160 | ||
5.25% 12/1/33 | 2,300,000 | 2,478,572 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
California - continued | ||||
California Gen. Oblig.: - continued | ||||
5.25% 4/1/34 | $ 2,200,000 | $ 2,365,924 | ||
5.5% 4/1/30 | 170,000 | 186,765 | ||
5.5% 11/1/33 | 5,400,000 | 5,865,696 | ||
5.625% 5/1/20 | 80,000 | 84,763 | ||
California Pub. Works Board Lease Rev.: | ||||
(Butterfield State Office Complex Proj.) Series 2005 A, 5.25% 6/1/30 | 2,000,000 | 2,127,040 | ||
(Richmond Lab., Phase III Office Bldg. Proj.) Series B, 5.25% 11/1/25 (XL Cap. Assurance, Inc. Insured) | 2,585,000 | 2,796,427 | ||
Series 2005 H, 5% 6/1/18 | 1,425,000 | 1,514,405 | ||
Series 2005 K, 5% 11/1/17 | 2,300,000 | 2,459,137 | ||
California Statewide Communities Dev. Auth. Poll. Cont. Rev. (Southern California Edison Co.) 4.1%, tender 4/1/13 (XL Cap. Assurance, Inc. Insured) (c) | 1,300,000 | 1,314,937 | ||
California Statewide Communities Dev. Auth. Rev. (Kaiser Fund Hosp./Health Place, Inc. Proj.) Series 2002 C, 3.85%, tender 6/1/12 (c) | 500,000 | 496,800 | ||
Clovis Pub. Fing. Auth. Wastewtr. Rev. 5% 8/1/35 (MBIA Insured) | 1,300,000 | 1,368,978 | ||
Foothill/Eastern Trans. Corridor Agcy. Toll Road Rev.: | ||||
Series A, 5% 1/1/35 (MBIA Insured) | 700,000 | 716,044 | ||
5% 1/15/16 (MBIA Insured) | 400,000 | 417,792 | ||
5.75% 1/15/40 | 600,000 | 628,308 | ||
Golden State Tobacco Securitization Corp.: | ||||
Series A, 5% 6/1/45 | 6,650,000 | 6,882,817 | ||
Series A1, 5% 6/1/33 | 400,000 | 398,328 | ||
Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev.: | ||||
Series 2001 A, 5.125% 7/1/41 | 4,000,000 | 4,125,800 | ||
Series A, 5.125% 7/1/41 (MBIA Insured) | 1,300,000 | 1,348,412 | ||
Metropolitan Wtr. District Southern California Wtrwks. Rev. Series 2005 A, 5% 7/1/35 (FSA Insured) | 800,000 | 846,168 | ||
Monterey County Ctfs. of Prtn. 5% 8/1/19 (AMBAC Insured) (b) | 1,000,000 | 1,082,440 | ||
Oxnard Fing. Auth. Wastewtr. Rev. (Redwood Trunk Swr. and Headworks Proj.) Series A, 5% 6/1/29 (FGIC Insured) | 1,000,000 | 1,049,140 | ||
Southern California Pub. Pwr. Auth. Rev. (Magnolia Pwr. Proj.) Series A, 5% 7/1/36 (AMBAC Insured) | 1,000,000 | 1,044,080 | ||
Union Elementary School District Series A, 0% 9/1/20 (FGIC Insured) | 1,000,000 | 568,700 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
California - continued | ||||
Univ. of California Revs.: | ||||
(UCLA Med. Ctr. Proj.) Series A: | ||||
5.5% 5/15/18 (AMBAC Insured) | $ 1,755,000 | $ 1,916,811 | ||
5.5% 5/15/20 (AMBAC Insured) | 2,000,000 | 2,163,300 | ||
Series K, 5% 5/15/18 (MBIA Insured) (b) | 2,470,000 | 2,670,441 | ||
82,511,065 | ||||
Colorado - 2.4% | ||||
Adams & Arapahoe Counties Joint School District #28J Aurora Series A, 5.125% 12/1/21 (FSA Insured) | 1,810,000 | 1,937,496 | ||
Colorado Health Facilities Auth. Retirement Hsg. Rev. (Liberty Heights Proj.) 0% 7/15/22 (Escrowed to Maturity) (e) | 4,565,000 | 2,376,904 | ||
Colorado Health Facilities Auth. Rev.: | ||||
(Longmont Hosp. Proj.) Series B, 5.25% 12/1/13 (Radian Asset Assurance, Inc. Insured) | 860,000 | 922,634 | ||
(Volunteers of America Care Proj.) Series A: | ||||
5% 7/1/14 | 400,000 | 399,928 | ||
5.3% 7/1/37 | 300,000 | 300,015 | ||
Colorado Wtr. Resources and Pwr. Dev. Auth. Clean Wtr. Rev. Series 2001 A: | ||||
5.625% 9/1/13 | 235,000 | 252,923 | ||
5.625% 9/1/14 | 230,000 | 247,354 | ||
Colorado Wtr. Resources and Pwr. Dev. Auth. Wtr. Resources Rev. (Parker Wtr. and Sanitation District Proj.) Series D, 5.25% 9/1/43 (MBIA Insured) | 4,600,000 | 4,910,638 | ||
Dawson Ridge Metropolitan District #1 Series 1992 A, 0% 10/1/17 (Escrowed to Maturity) (e) | 1,200,000 | 779,268 | ||
E-470 Pub. Hwy. Auth. Rev. Series 2000 A, 5.75% 9/1/29 (Pre-Refunded to 9/1/10 @ 102) (e) | 1,200,000 | 1,298,712 | ||
Mesa County Residual Rev. 0% 12/1/11 (Escrowed to Maturity) (e) | 2,275,000 | 1,905,449 | ||
15,331,321 | ||||
Connecticut - 0.5% | ||||
Eastern Connecticut Resources Recovery Auth. Solid Waste Rev. (Wheelabrator Lisbon Proj.) Series A, 5.5% 1/1/20 (d) | 3,350,000 | 3,351,809 | ||
District Of Columbia - 2.1% | ||||
District of Columbia Gen. Oblig.: | ||||
Series A, 6% 6/1/07 (Escrowed to Maturity) (e) | 10,000 | 10,018 | ||
Series B: | ||||
0% 6/1/12 (MBIA Insured) | 1,200,000 | 976,032 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
District Of Columbia - continued | ||||
District of Columbia Gen. Oblig.: - continued | ||||
Series B: | ||||
5.25% 6/1/26 (FSA Insured) | $ 6,000,000 | $ 6,138,840 | ||
District of Columbia Rev.: | ||||
(George Washington Univ. Proj.) Series A, 5.75% 9/15/20 (MBIA Insured) | 1,490,000 | 1,566,303 | ||
(Georgetown Univ. Proj.) Series A, 5.95% 4/1/14 (MBIA Insured) | 2,000,000 | 2,079,660 | ||
(Nat'l. Academy of Sciences Proj.) Series A, 5% 1/1/19 (AMBAC Insured) | 2,500,000 | 2,588,950 | ||
13,359,803 | ||||
Florida - 2.2% | ||||
Brevard County School Board Ctfs. of Prtn. Series B, 5% 7/1/24 (AMBAC Insured) | 1,000,000 | 1,057,920 | ||
Broward County School Board Series A, 5% 7/1/17 (FGIC Insured) | 1,000,000 | 1,078,440 | ||
Escambia City Health Facilities Auth. Rev. (Ascension Health Cr. Group Proj.) Series 2002 C, 5.75% 11/15/32 | 600,000 | 649,632 | ||
Florida Board of Ed. Cap. Outlay Series B, 5.5% 6/1/16 (FGIC Insured) | 1,000,000 | 1,087,510 | ||
Florida Correctional Privatization Communications Ctfs. of Prtn. Series A, 5% 8/1/15 (AMBAC Insured) | 1,000,000 | 1,067,480 | ||
Highlands County Health Facilities Auth. Rev.: | ||||
(Adventist Health Sys. - Sunbelt Proj.): | ||||
Series 06G: | ||||
5% 11/15/16 | 100,000 | 106,069 | ||
5.125% 11/15/18 | 1,000,000 | 1,060,740 | ||
3.95%, tender 9/1/12 (c) | 2,100,000 | 2,080,995 | ||
(Adventist Health Sys./Sunbelt Obligated Group Proj.) Series B, 5% 11/15/14 | 1,000,000 | 1,058,470 | ||
JEA Elec. Sys. Rev. Series 3A, 5% 10/1/41 (FSA Insured) | 1,000,000 | 1,044,440 | ||
Miami-Dade County Aviation Rev. (Miami Int'l. Arpt. Proj.) Series B, 5% 10/1/37 (FGIC Insured) | 1,000,000 | 1,043,340 | ||
Miami-Dade County School Board Ctfs. of Prtn. Series A, 5% 8/1/21 (AMBAC Insured) (b) | 2,000,000 | 2,107,060 | ||
Seminole County School Board Ctfs. of Prtn. Series A, 5% 7/1/20 (MBIA Insured) | 500,000 | 531,275 | ||
13,973,371 | ||||
Georgia - 2.8% | ||||
Atlanta Arpt. Rev. Series F, 5.25% 1/1/13 (FSA Insured) (d) | 1,000,000 | 1,064,790 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Georgia - continued | ||||
Atlanta Wtr. & Wastewtr. Rev.: | ||||
5% 11/1/37 (FSA Insured) | $ 2,400,000 | $ 2,523,936 | ||
5% 11/1/43 (FSA Insured) | 9,070,000 | 9,508,625 | ||
Augusta Wtr. & Swr. Rev. 5.25% 10/1/39 (FSA Insured) | 2,200,000 | 2,376,264 | ||
Colquitt County Dev. Auth. Rev. Series A, 0% 12/1/21 (Escrowed to Maturity) (e) | 1,100,000 | 590,777 | ||
Richmond County Dev. Auth. Rev. Series C, 0% 12/1/21 (Escrowed to Maturity) (e) | 1,190,000 | 639,113 | ||
Savannah Econ. Dev. Auth. Rev. (Southern Care Corp. Proj.) Series C, 0% 12/1/21 (Escrowed to Maturity) (e) | 2,500,000 | 1,342,675 | ||
18,046,180 | ||||
Hawaii - 0.4% | ||||
Hawaii Arpt. Sys. Rev. Series 2000 B, 8% 7/1/11 (FGIC Insured) (d) | 1,300,000 | 1,500,096 | ||
Honolulu City & County Board of Wtr. Supply Wtr. Sys. Rev. Series B, 5.25% 7/1/17 (MBIA Insured) (d) | 1,250,000 | 1,355,813 | ||
2,855,909 | ||||
Illinois - 11.2% | ||||
Chicago Board of Ed. Series A, 0% 12/1/16 (FGIC Insured) | 1,300,000 | 877,175 | ||
Chicago Gen. Oblig.: | ||||
(City Colleges Proj.): | ||||
0% 1/1/16 (FGIC Insured) | 6,125,000 | 4,287,806 | ||
0% 1/1/24 (FGIC Insured) | 6,110,000 | 2,929,989 | ||
(Neighborhoods Alive 21 Prog.) 5% 1/1/43 (AMBAC Insured) | 1,040,000 | 1,078,064 | ||
Series 2004 A, 5% 1/1/34 (FSA Insured) | 1,500,000 | 1,568,130 | ||
Series A: | ||||
5% 1/1/42 (AMBAC Insured) | 1,700,000 | 1,753,669 | ||
5.25% 1/1/33 (MBIA Insured) | 1,070,000 | 1,119,113 | ||
5.25% 1/1/33 (Pre-Refunded to 1/1/11 @ 101) (e) | 30,000 | 31,839 | ||
5.5% 1/1/38 (MBIA Insured) | 255,000 | 270,366 | ||
5.5% 1/1/38 (Pre-Refunded to 1/1/11 @ 101) (e) | 10,000 | 10,698 | ||
5.5% 1/1/40 (FGIC Insured) | 525,000 | 553,088 | ||
Chicago Midway Arpt. Rev. Series B, 6% 1/1/09 (MBIA Insured) (d) | 300,000 | 303,543 | ||
Chicago O'Hare Int'l. Arpt. Rev.: | ||||
Series A: | ||||
5.5% 1/1/16 (AMBAC Insured) (d) | 900,000 | 918,675 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Illinois - continued | ||||
Chicago O'Hare Int'l. Arpt. Rev.: - continued | ||||
Series A: | ||||
6.25% 1/1/09 (AMBAC Insured) (d) | $ 3,325,000 | $ 3,397,585 | ||
Series B, 5% 1/1/26 (MBIA Insured) (d) | 1,405,000 | 1,461,706 | ||
5.5% 1/1/09 (AMBAC Insured) (d) | 570,000 | 585,054 | ||
5.5% 1/1/09 (Escrowed to Maturity) (d)(e) | 680,000 | 698,183 | ||
Chicago Park District Series A, 5.5% 1/1/19 (FGIC Insured) | 155,000 | 163,593 | ||
Chicago Transit Auth. Cap. Grant Receipts Rev. 5% 6/1/21 (AMBAC Insured) | 1,400,000 | 1,497,790 | ||
Cook County Gen. Oblig.: | ||||
Series B: | ||||
5% 11/15/18 (MBIA Insured) (b) | 1,000,000 | 1,083,240 | ||
5.25% 11/15/26 (MBIA Insured) | 300,000 | 323,571 | ||
Series C, 5% 11/15/25 (AMBAC Insured) | 1,100,000 | 1,150,765 | ||
DuPage County Cmnty. High School District #108, Lake Park 5.6% 1/1/17 (FSA Insured) | 3,190,000 | 3,491,742 | ||
Evanston Gen. Oblig. Series C, 5.25% 1/1/20 | 1,500,000 | 1,595,985 | ||
Granite City Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) 3.85%, tender 5/1/08 (c)(d) | 2,810,000 | 2,799,968 | ||
Illinois Dev. Fin. Auth. Retirement Hsg. Regency Park Rev. 0% 7/15/23 (Escrowed to Maturity) (e) | 2,900,000 | 1,428,279 | ||
Illinois Edl. Facilities Auth. Revs. (Northwestern Univ. Proj.) 5% 12/1/38 | 900,000 | 933,642 | ||
Illinois Fin. Auth. Rev. (Newman Foundation Proj.) 5% 2/1/32 | 1,700,000 | 1,754,145 | ||
Illinois Gen. Oblig.: | ||||
First Series, 5.75% 12/1/18 (MBIA Insured) | 1,000,000 | 1,062,900 | ||
Series 2006, 5.5% 1/1/31 | 1,000,000 | 1,200,460 | ||
5.5% 4/1/17 (MBIA Insured) | 1,000,000 | 1,045,270 | ||
5.6% 4/1/21 (MBIA Insured) | 1,000,000 | 1,046,600 | ||
Illinois Health Facilities Auth. Rev.: | ||||
(Condell Med. Ctr. Proj.) 6.5% 5/15/30 | 3,000,000 | 3,172,650 | ||
(Decatur Memorial Hosp. Proj.) Series 2001, 5.75% 10/1/24 | 2,100,000 | 2,218,482 | ||
(Lake Forest Hosp. Proj.) 6% 7/1/33 | 1,000,000 | 1,070,980 | ||
(Riverside Health Sys. Proj.) 6.8% 11/15/20 (Pre-Refunded to 11/15/10 @ 101) (e) | 1,500,000 | 1,665,840 | ||
Illinois Sales Tax Rev. 6% 6/15/20 | 600,000 | 636,972 | ||
Joliet School District #86 Gen. Oblig. Cap. Appreciation 0% 11/1/19 (FSA Insured) | 2,000,000 | 1,175,360 | ||
Kane, McHenry, Cook & DeKalb Counties Cmnty. Unit School District #300, Carpentersville: | ||||
0% 12/1/17 (AMBAC Insured) | 1,000,000 | 642,920 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Illinois - continued | ||||
Kane, McHenry, Cook & DeKalb Counties Cmnty. Unit School District #300, Carpentersville: - continued | ||||
6.5% 1/1/20 (AMBAC Insured) | $ 1,100,000 | $ 1,361,118 | ||
Lake County Cmnty. High School District #117, Antioch Series B, 0% 12/1/20 (FGIC Insured) | 1,805,000 | 1,007,623 | ||
Lake County Forest Preservation District Series 2007 A, 3.939% 12/15/13 (b)(c) | 1,000,000 | 1,000,000 | ||
Lake County Warren Township High School District #121, Gurnee Series C, 5.5% 3/1/23 (AMBAC Insured) | 1,795,000 | 1,980,531 | ||
Metropolitan Pier & Exposition Auth. Dedicated State Tax Rev. (McCormick Place Expansion Proj.): | ||||
Series 2002 A, 5.75% 6/15/41 (MBIA Insured) | 3,300,000 | 3,601,224 | ||
Series A: | ||||
0% 6/15/16 (FGIC Insured) | 2,375,000 | 1,633,169 | ||
0% 6/15/19 (MBIA Insured) | 3,710,000 | 2,236,759 | ||
0% 6/15/22 (MBIA Insured) | 1,100,000 | 577,357 | ||
0% 12/15/24 (MBIA Insured) | 3,090,000 | 1,440,342 | ||
Ogle, Lee & DeKalb Counties Township High School District #212 6% 12/1/16 (MBIA Insured) | 60,000 | 65,470 | ||
Quincy Hosp. Rev. 5% 11/15/18 (b) | 1,000,000 | 1,042,410 | ||
Univ. of Illinois Auxiliary Facilities Sys. Rev. 0% 4/1/15 (MBIA Insured) | 3,700,000 | 2,681,797 | ||
Will County Forest Preservation District Series B, 0% 12/1/14 (FGIC Insured) | 1,000,000 | 736,340 | ||
72,369,977 | ||||
Indiana - 2.6% | ||||
Crown Point Multi-School Bldg. Corp. 5% 1/15/20 (FGIC Insured) | 1,260,000 | 1,344,546 | ||
Franklin Township Independent School Bldg. Corp., Marion County 5.25% 7/15/16 (MBIA Insured) | 1,790,000 | 1,960,730 | ||
Hobart Bldg. Corp. 6.5% 1/15/29 (FGIC Insured) | 2,600,000 | 3,224,468 | ||
Indiana Health & Edl. Facilities Fing. Auth. Hosp. Rev. (Clarian Health Partners, Inc. Proj.) Series B, 5% 2/15/11 | 1,500,000 | 1,552,620 | ||
Indiana Health Facility Fing. Auth. Rev. (Sisters of Saint Francis Health Svc. Proj.) 5.5% 11/1/31 (Pre-Refunded to 11/1/11 @ 101) (e) | 1,500,000 | 1,623,570 | ||
Indiana Trans. Fin. Auth. Hwy. Series A, 0% 6/1/17 (AMBAC Insured) | 1,000,000 | 655,840 | ||
Indianapolis Local Pub. Impt. Bond Bank (Indianapolis Arpt. Auth. Proj.) Series 2006 F, 5% 1/1/16 (AMBAC Insured) (d) | 1,000,000 | 1,065,000 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Indiana - continued | ||||
North Adams Cmnty. Schools Renovation Bldg. Corp. 0% 1/15/17 (FSA Insured) | $ 1,230,000 | $ 818,762 | ||
Petersburg Poll. Cont. Rev. 5.95% 12/1/29 (d) | 2,000,000 | 2,133,240 | ||
Rockport Poll. Cont. Rev. (AEP Generating Co. Proj.) Series 1995 A, 4.15%, tender 7/15/11 (AMBAC Insured) (c) | 1,000,000 | 1,014,590 | ||
South Harrison School Bldg. Corp. Series A, 5.25% 1/15/25 (FSA Insured) | 1,150,000 | 1,260,354 | ||
16,653,720 | ||||
Iowa - 0.9% | ||||
Coralville Urban Renewal Rev. Series C: | ||||
5% 6/1/13 (b) | 1,035,000 | 1,077,280 | ||
5.125% 6/1/39 (b) | 500,000 | 507,255 | ||
Tobacco Settlement Auth. Tobacco Settlement Rev. 5.3% 6/1/25 (Pre-Refunded to 6/1/11 @ 101) (e) | 4,000,000 | 4,237,400 | ||
5,821,935 | ||||
Kansas - 1.8% | ||||
Burlington Envir. Impt. Rev. (Kansas City Pwr. & Lt. Co. Proj.) Series A, 4.75%, tender 10/1/07 (c) | 1,000,000 | 1,003,370 | ||
Kansas Dev. Fin. Auth. Health Facilities Rev.: | ||||
(Hays Med. Ctr. Proj.) Series 2005 L: | ||||
5.25% 11/15/15 | 335,000 | 359,505 | ||
5.25% 11/15/16 | 955,000 | 1,023,445 | ||
(Sisters of Charity of Leavenworth Health Svcs. Corp. Proj.) Series J, 6.25% 12/1/28 | 1,500,000 | 1,620,915 | ||
Kansas Dev. Fin. Auth. Rev. (Sisters of Charity of Leavenworth Health Svcs. Corp. Proj.): | ||||
5% 12/1/13 (MBIA Insured) | 2,390,000 | 2,442,126 | ||
5% 12/1/14 (MBIA Insured) | 500,000 | 510,850 | ||
5.25% 12/1/09 (MBIA Insured) | 1,420,000 | 1,455,131 | ||
5.25% 12/1/11 (MBIA Insured) | 1,750,000 | 1,793,103 | ||
Lawrence Hosp. Rev. 5.25% 7/1/18 | 1,000,000 | 1,071,250 | ||
11,279,695 | ||||
Kentucky - 0.4% | ||||
Louisville & Jefferson County Metropolitan Swr. District Swr. & Drain Sys. Rev. Series A, 5.25% 5/15/37 (FGIC Insured) | 2,170,000 | 2,336,048 | ||
Louisiana - 0.4% | ||||
Louisiana Military Dept. 5% 8/1/14 | 1,730,000 | 1,808,975 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Louisiana - continued | ||||
New Orleans Gen. Oblig. 0% 9/1/15 (AMBAC Insured) | $ 700,000 | $ 486,388 | ||
Tobacco Settlement Fing. Corp. Series 2001 B, 5.5% 5/15/30 | 420,000 | 442,445 | ||
2,737,808 | ||||
Maine - 0.2% | ||||
Maine Tpk. Auth. Tpk. Rev. 5.25% 7/1/30 (FSA Insured) | 1,000,000 | 1,073,890 | ||
Maryland - 0.4% | ||||
Maryland Health & Higher Edl. Facilities Auth. Rev. (Good Samaritan Hosp. Proj.): | ||||
5.75% 7/1/13 (Escrowed to Maturity) (e) | 1,665,000 | 1,795,436 | ||
5.75% 7/1/13 (Escrowed to Maturity) (e) | 1,015,000 | 1,094,515 | ||
2,889,951 | ||||
Massachusetts - 4.6% | ||||
Massachusetts Gen. Oblig.: | ||||
Series 2006 D, 5% 8/1/22 | 200,000 | 213,564 | ||
Series E: | ||||
5% 11/1/23 (AMBAC Insured) | 5,100,000 | 5,457,969 | ||
5% 11/1/24 (AMBAC Insured) | 600,000 | 640,656 | ||
Massachusetts Health & Edl. Facilities Auth. Rev. (New England Med. Ctr. Hosp. Proj.) Series G, 5.375% 7/1/24 (MBIA Insured) | 500,000 | 500,250 | ||
Massachusetts Indl. Fin. Agcy. Rev. (Massachusetts Biomedical Research Corp. Proj.) Series A2: | ||||
0% 8/1/08 | 800,000 | 763,296 | ||
0% 8/1/10 | 4,500,000 | 3,939,795 | ||
Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Series A: | ||||
4.5% 8/15/35 (AMBAC Insured) | 2,100,000 | 2,096,535 | ||
5% 8/15/23 (FSA Insured) | 5,000,000 | 5,305,850 | ||
5% 8/15/30 (FSA Insured) | 4,500,000 | 4,746,150 | ||
5% 8/15/37 (AMBAC Insured) | 2,200,000 | 2,343,726 | ||
Massachusetts Wtr. Poll. Abatement Trust Wtr. Poll. Abatement Rev. (MWRA Ln. Prog.) Series A, 5.25% 8/1/13 | 10,000 | 10,281 | ||
Springfield Gen. Oblig. 5% 8/1/20 (MBIA Insured) | 3,335,000 | 3,554,977 | ||
29,573,049 | ||||
Michigan - 1.6% | ||||
Detroit Swr. Disp. Rev. Series B, 5% 7/1/36 (FGIC Insured) | 2,800,000 | 2,951,312 | ||
Ferris State Univ. Rev. 5% 10/1/19 (MBIA Insured) | 1,440,000 | 1,524,888 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Michigan - continued | ||||
Michigan State Hosp. Fin. Auth. Rev. (McLaren Health Care Corp. Proj.) Series A, 5% 6/1/19 | $ 2,000,000 | $ 2,040,200 | ||
Royal Oak Hosp. Fin. Auth. Hosp. Rev. (William Beaumont Hosp. Proj.) 6.25% 1/1/09 | 2,310,000 | 2,398,242 | ||
Willow Run Cmnty. Schools County of Washtenaw 5% 5/1/20 (FSA Insured) | 1,000,000 | 1,060,120 | ||
9,974,762 | ||||
Minnesota - 1.4% | ||||
Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (HealthSpan Corp. Proj.) Series A, 4.75% 11/15/18 (AMBAC Insured) | 1,800,000 | 1,801,548 | ||
Minneapolis Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2002 A, 6% 11/15/23 | 1,000,000 | 1,093,710 | ||
Rochester Health Care Facilities Rev. (Mayo Foundation Proj.) Series A, 5.5% 11/15/27 | 590,000 | 605,128 | ||
Saint Cloud Health Care Rev. (Saint Cloud Hosp. Group Oblig. Proj.) Series A, 5.875% 5/1/30 (FSA Insured) | 2,000,000 | 2,127,260 | ||
Saint Paul Hsg. & Redev. Auth. Health Care Facilities Rev. (HealthPartners Oblig. Group Proj.) 5.25% 5/15/22 | 1,000,000 | 1,058,400 | ||
Saint Paul Port Auth. Lease Rev.: | ||||
(HealthEast Midway Campus Proj.) Series 2003 A, 5.875% 5/1/30 | 1,400,000 | 1,462,510 | ||
Series 2003 11, 5.25% 12/1/18 | 1,000,000 | 1,074,030 | ||
9,222,586 | ||||
Missouri - 0.4% | ||||
Missouri Envir. Impt. & Energy Resources Auth. Wtr. Poll. Cont. & Drinking Wtr. Rev. (State Revolving Fund Prog.) Series 2003 A, 5.125% 1/1/21 | 1,010,000 | 1,072,782 | ||
Missouri Health & Edl. Facilities Auth. Edl. Facilities Rev. (Washington Univ. Proj.) Series A, 5% 1/15/37 | 1,700,000 | 1,808,732 | ||
2,881,514 | ||||
Montana - 0.4% | ||||
Forsyth Poll. Cont. Rev. (Portland Gen. Elec. Co. Proj.) Series A, 5.2%, tender 5/1/09 (c) | 1,500,000 | 1,535,295 | ||
Montana Board of Regents Higher Ed. Rev. (Montana State Univ. Proj.) 5% 11/15/34 (AMBAC Insured) | 1,000,000 | 1,053,830 | ||
2,589,125 | ||||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Nebraska - 0.7% | ||||
Central Plains Energy Proj. Rev. (Nebraska Gas Proj.) 4.098% 12/1/17 (c) | $ 1,100,000 | $ 1,102,662 | ||
Omaha Pub. Pwr. District Elec. Rev. Series A: | ||||
5% 2/1/34 | 1,100,000 | 1,148,521 | ||
5% 2/1/46 | 2,000,000 | 2,072,780 | ||
4,323,963 | ||||
Nevada - 0.5% | ||||
Clark County Arpt. Rev. Series C, 5.375% 7/1/22 (AMBAC Insured) (d) | 1,000,000 | 1,058,690 | ||
Las Vegas Valley Wtr. District Series B: | ||||
5.25% 6/1/16 (MBIA Insured) | 1,000,000 | 1,072,750 | ||
5.25% 6/1/17 (MBIA Insured) | 1,000,000 | 1,071,200 | ||
3,202,640 | ||||
New Hampshire - 0.2% | ||||
New Hampshire Bus. Fin. Auth. Poll. Cont. Rev. (United Illumination Co.) Series A, 3.65%, tender 2/1/10 (AMBAC Insured) (c)(d) | 1,000,000 | 985,580 | ||
New Jersey - 2.6% | ||||
Garden State Preservation Trust Open Space & Farmland Preservation Series 2005 A, 5.8% 11/1/19 (FSA Insured) | 700,000 | 795,382 | ||
New Jersey Econ. Dev. Auth. Rev. Series 2005 O: | ||||
5.25% 3/1/21 (MBIA Insured) | 1,000,000 | 1,082,550 | ||
5.25% 3/1/23 | 2,000,000 | 2,149,800 | ||
5.25% 3/1/25 | 1,500,000 | 1,609,230 | ||
5.25% 3/1/26 | 915,000 | 980,999 | ||
New Jersey Tpk. Auth. Tpk. Rev. Series A, 5% 1/1/25 (FSA Insured) | 900,000 | 953,352 | ||
New Jersey Trans. Trust Fund Auth. Series B, 5.25% 12/15/22 (AMBAC Insured) | 400,000 | 452,648 | ||
Tobacco Settlement Fing. Corp.: | ||||
4.375% 6/1/19 (Pre-Refunded to 6/1/13 @ 100) (e) | 1,990,000 | 1,994,338 | ||
6.125% 6/1/24 (Pre-Refunded to 6/1/13 @ 100) (e) | 3,500,000 | 3,744,020 | ||
6.375% 6/1/32 (Pre-Refunded to 6/1/13 @ 100) (e) | 1,400,000 | 1,588,888 | ||
Union County Impt. Auth. (Juvenile Detention Ctr. Facility Proj.) 5.5% 5/1/28 (FGIC Insured) | 1,000,000 | 1,103,210 | ||
16,454,417 | ||||
New Mexico - 1.0% | ||||
Albuquerque Arpt. Rev.: | ||||
6.7% 7/1/18 (AMBAC Insured) (d) | 3,970,000 | 4,064,883 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
New Mexico - continued | ||||
Albuquerque Arpt. Rev.: - continued | ||||
6.75% 7/1/09 (AMBAC Insured) (d) | $ 450,000 | $ 474,867 | ||
6.75% 7/1/11 (AMBAC Insured) (d) | 1,805,000 | 1,982,522 | ||
6,522,272 | ||||
New York - 12.3% | ||||
Buffalo Muni. Wtr. Fin. Auth. Series B, 5% 7/1/15 (FSA Insured) (b) | 600,000 | 638,556 | ||
Erie County Indl. Dev. Agcy. School Facility Rev.: | ||||
(Buffalo City School District Proj.): | ||||
Series 2003, 5.75% 5/1/16 (FSA Insured) | 1,500,000 | 1,655,490 | ||
Series 2004: | ||||
5.75% 5/1/17 (FSA Insured) | 1,600,000 | 1,790,064 | ||
5.75% 5/1/21 (FSA Insured) | 4,900,000 | 5,450,270 | ||
5.75% 5/1/25 (FSA Insured) | 600,000 | 665,442 | ||
(City of Buffalo Proj.) Series 2003, 5.75% 5/1/21 (FSA Insured) | 1,200,000 | 1,303,836 | ||
Hudson Yards Infrastructure Corp.: | ||||
4.5% 2/15/47 (MBIA Insured) | 1,800,000 | 1,780,146 | ||
5% 2/15/47 | 3,100,000 | 3,251,404 | ||
Long Island Pwr. Auth. Series A, 5% 12/1/26 (XL Cap. Assurance, Inc. Insured) | 1,400,000 | 1,481,592 | ||
Metropolitan Trans. Auth. Svc. Contract Rev. Series 7, 5.625% 7/1/16 (Escrowed to Maturity) (e) | 1,000,000 | 1,045,880 | ||
New York City Gen. Oblig.: | ||||
Series 2005 G: | ||||
5% 8/1/14 | 3,600,000 | 3,849,948 | ||
5% 8/1/15 | 1,000,000 | 1,073,940 | ||
Series A, 5.25% 11/1/14 (MBIA Insured) | 600,000 | 643,272 | ||
Series J, 5.5% 6/1/19 | 880,000 | 953,524 | ||
New York City Indl. Dev. Agcy. Indl. Dev. Rev. (Japan Airlines Co. Ltd. Proj.) Series 1991, 6% 11/1/15 (FSA Insured) (d) | 655,000 | 662,709 | ||
New York City Indl. Dev. Agcy. Rev. (Yankee Stadium Proj.): | ||||
5% 3/1/31 (FGIC Insured) | 1,000,000 | 1,061,160 | ||
5% 3/1/36 (MBIA Insured) | 700,000 | 742,259 | ||
New York City Indl. Dev. Agcy. Spl. Facilities Rev. (Terminal One Group Assoc. Proj.) 5% 1/1/09 (d) | 1,000,000 | 1,013,930 | ||
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: | ||||
Series 2002 A, 5.125% 6/15/34 (FSA Insured) | 500,000 | 525,065 | ||
Series 2005 D, 5% 6/15/37 | 400,000 | 420,116 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
New York - continued | ||||
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: - continued | ||||
Series A, 5.125% 6/15/34 (MBIA Insured) | $ 2,000,000 | $ 2,100,260 | ||
Series D, 5% 6/15/39 | 500,000 | 524,790 | ||
Series E, 5% 6/15/34 | 1,600,000 | 1,664,848 | ||
New York City Trust Cultural Resources Rev. (Museum of Modern Art Proj.) Series 2001 D, 5.125% 7/1/31 (AMBAC Insured) | 1,000,000 | 1,050,990 | ||
New York State Dorm. Auth. Revs.: | ||||
(City Univ. Sys. Consolidation Proj.): | ||||
Series A, 5.75% 7/1/13 | 1,500,000 | 1,620,420 | ||
Series C, 7.5% 7/1/10 | 360,000 | 379,624 | ||
Series 2002 A, 5.75% 10/1/17 (MBIA Insured) | 1,000,000 | 1,098,120 | ||
5% 7/1/14 | 1,000,000 | 1,035,200 | ||
New York State Envir. Facilities Corp. Clean Wtr. & Drinking Wtr. Rev. Series F: | ||||
4.875% 6/15/18 | 870,000 | 888,914 | ||
4.875% 6/15/20 | 795,000 | 811,496 | ||
5% 6/15/15 | 305,000 | 312,384 | ||
New York State Thruway Auth. Gen. Rev. Series 2005 G, 5.25% 1/1/27 (FSA Insured) | 1,600,000 | 1,740,320 | ||
New York Transitional Fin. Auth. Rev.: | ||||
Series 2004 C, 5% 2/1/33 (FGIC Insured) | 1,000,000 | 1,053,100 | ||
Series A, 6% 11/1/28 (a) | 2,000,000 | 2,177,640 | ||
Series B: | ||||
5% 8/1/32 | 1,300,000 | 1,360,151 | ||
5.25% 2/1/29 (a) | 2,000,000 | 2,101,640 | ||
5.75% 2/15/16 (Pre-Refunded to 2/15/10 @ 101) (e) | 10,000 | 10,655 | ||
Sales Tax Asset Receivables Corp. Series A, 5.25% 10/15/27 (AMBAC Insured) | 1,500,000 | 1,626,780 | ||
Syracuse Indl. Dev. Auth. Pilot Rev. (Carousel Ctr. Co. Proj.) 5% 1/1/36 (XL Cap. Assurance, Inc. Insured) (d) | 2,700,000 | 2,815,425 | ||
Tobacco Settlement Asset Securitization Corp. Series 1, 5.5% 7/15/24 (Pre-Refunded to 7/15/12 @ 100) (e) | 1,155,000 | 1,222,279 | ||
Tobacco Settlement Fing. Corp.: | ||||
Series A1: | ||||
5.25% 6/1/21 (AMBAC Insured) | 1,000,000 | 1,065,710 | ||
5.25% 6/1/22 (AMBAC Insured) | 950,000 | 1,011,370 | ||
5.5% 6/1/14 | 1,200,000 | 1,241,316 | ||
5.5% 6/1/16 | 4,700,000 | 4,921,511 | ||
Series C1: | ||||
5.5% 6/1/14 | 400,000 | 413,368 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
New York - continued | ||||
Tobacco Settlement Fing. Corp.: - continued | ||||
Series C1: | ||||
5.5% 6/1/15 | $ 1,700,000 | $ 1,781,634 | ||
5.5% 6/1/16 | 1,000,000 | 1,061,300 | ||
5.5% 6/1/17 | 1,600,000 | 1,695,600 | ||
5.5% 6/1/18 | 1,800,000 | 1,931,454 | ||
5.5% 6/1/19 | 1,600,000 | 1,733,680 | ||
5.5% 6/1/21 | 5,000,000 | 5,398,150 | ||
5.5% 6/1/22 | 1,500,000 | 1,616,925 | ||
79,475,657 | ||||
New York & New Jersey - 0.3% | ||||
Port Auth. of New York & New Jersey 124th Series, 5% 8/1/13 (FGIC Insured) (d) | 500,000 | 510,985 | ||
Port Auth. of New York & New Jersey Spl. Oblig. Rev. (JFK Int'l. Air Term. Spl. Proj.) Series 6, 6.25% 12/1/13 (MBIA Insured) (d) | 1,400,000 | 1,581,412 | ||
2,092,397 | ||||
North Carolina - 1.4% | ||||
Charlotte Ctfs. of Prtn. (2003 Govt. Facilities Projs.) Series G, 5% 6/1/33 | 1,000,000 | 1,039,220 | ||
Dare County Ctfs. of Prtn. 5.25% 6/1/15 (AMBAC Insured) | 1,195,000 | 1,296,981 | ||
North Carolina Cap. Facilities Fin. Agcy. Rev. (Duke Univ. Proj.) Series A, 5.125% 10/1/41 | 355,000 | 367,940 | ||
North Carolina Eastern Muni. Pwr. Agcy. Pwr. Sys. Rev.: | ||||
Series A, 5.5% 1/1/11 | 1,605,000 | 1,690,611 | ||
Series D, 6.7% 1/1/19 | 1,115,000 | 1,202,583 | ||
North Carolina Infrastructure Fin. Corp. Ctfs. of Prtn. (North Carolina Correctional Facilities Proj.) Series A, 5% 2/1/18 | 1,000,000 | 1,056,730 | ||
North Carolina Med. Care Cmnty. Health 5% 10/1/20 | 1,000,000 | 1,055,640 | ||
Union County Ctfs. of Prtn. 5% 6/1/18 (AMBAC Insured) | 1,305,000 | 1,402,457 | ||
9,112,162 | ||||
North Dakota - 0.2% | ||||
Ward County Health Care Facility Rev. (Trinity Med. Ctr. Proj.) 5.125% 7/1/17 | 1,210,000 | 1,271,758 | ||
Ohio - 0.2% | ||||
Cincinnati Student Ln. Fdg. Corp. Student Ln. Rev. Series B, 8.875% 8/1/08 (d) | 1,005,000 | 1,006,668 | ||
Plain Local School District 6% 12/1/25 (FGIC Insured) | 410,000 | 442,156 | ||
1,448,824 | ||||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Oklahoma - 1.1% | ||||
Oklahoma City Pub. Property Auth. Hotel Tax Rev.: | ||||
5.25% 10/1/29 (FGIC Insured) | $ 1,000,000 | $ 1,084,780 | ||
5.5% 10/1/21 (FGIC Insured) | 1,695,000 | 1,875,009 | ||
Oklahoma Inds. Auth. Rev. (Health Sys. Oblig. Group Proj.) Series A: | ||||
5.75% 8/15/29 (MBIA Insured) | 865,000 | 906,338 | ||
6% 8/15/19 (MBIA Insured) | 1,740,000 | 1,834,117 | ||
Tulsa County Indl. Auth. Health Care Rev. 5% 12/15/18 | 1,500,000 | 1,594,065 | ||
7,294,309 | ||||
Oregon - 0.5% | ||||
Oregon Dept. Administrative Svcs. Ctfs. of Prtn. Series A, 5.375% 5/1/15 (AMBAC Insured) | 1,715,000 | 1,838,874 | ||
Yamhill County School District #029J Newberg 5.5% 6/15/19 (FGIC Insured) | 1,000,000 | 1,147,030 | ||
2,985,904 | ||||
Pennsylvania - 3.2% | ||||
Annville-Cleona School District 5.5% 3/1/22 (FSA Insured) | 1,250,000 | 1,384,613 | ||
Canon McMillan School District: | ||||
Series 2001 B, 5.75% 12/1/33 (FGIC Insured) | 1,000,000 | 1,060,500 | ||
Series 2002 B, 5.75% 12/1/35 (FGIC Insured) | 1,595,000 | 1,737,418 | ||
Delaware County Auth. College Rev. (Haverford College Proj.) 5.75% 11/15/29 | 3,500,000 | 3,742,270 | ||
Easton Area School District Series 2006, 7.75% 4/1/25 (FSA Insured) | 700,000 | 886,683 | ||
Montgomery County Higher Ed. & Health Auth. Hosp. Rev. (Abington Memorial Hosp. Proj.) Series A, 6% 6/1/16 (AMBAC Insured) | 1,860,000 | 2,142,311 | ||
Pennsylvania Econ. Dev. Fing. Auth. Exempt Facilities Rev.: | ||||
(Amtrak Proj.) Series 2001 A, 6.25% 11/1/31 (d) | 2,000,000 | 2,147,960 | ||
(Shippingport Proj.) Series A, 4.35%, tender 6/1/10 (c)(d) | 500,000 | 502,415 | ||
Pennsylvania Higher Edl. Facilities Auth. Rev. (Lafayette College Proj.) 6% 5/1/30 | 3,065,000 | 3,249,697 | ||
Philadelphia Gas Works Rev.: | ||||
Fifth Series A1, 5% 9/1/33 (FSA Insured) | 600,000 | 629,586 | ||
Series 17, 5.375% 7/1/20 (FSA Insured) | 500,000 | 537,185 | ||
Westmoreland County Muni. Auth. Muni. Svc. Rev. Series A, 0% 8/15/21 (FGIC Insured) | 5,000,000 | 2,692,800 | ||
20,713,438 | ||||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Puerto Rico - 0.7% | ||||
Puerto Rico Govt. Dev. Bank: | ||||
Series B, 5% 12/1/12 | $ 2,500,000 | $ 2,631,450 | ||
Series C, 5.25% 1/1/15 (d) | 1,000,000 | 1,063,400 | ||
5% 12/1/10 | 1,000,000 | 1,036,030 | ||
4,730,880 | ||||
Rhode Island - 0.9% | ||||
Rhode Island Health & Edl. Bldg. Corp. Rev. Series A, 5.25% 9/15/17 (AMBAC Insured) | 1,000,000 | 1,087,670 | ||
Rhode Island Port Auth. & Econ. Dev. Corp. Arpt. Rev. Series A, 7% 7/1/14 (FSA Insured) (d) | 4,000,000 | 4,463,680 | ||
5,551,350 | ||||
South Carolina - 1.5% | ||||
Greenville County School District Installment Purp. Rev. 5% 12/1/12 | 3,750,000 | 3,966,450 | ||
Greenwood Fifty School Facilities Installment 5% 12/1/21 | 1,000,000 | 1,062,460 | ||
Lexington One School Facilities Corp. Rev. (Lexington County School District No. 1 Proj.) 5% 12/1/17 | 1,015,000 | 1,081,757 | ||
South Carolina Jobs Econ. Dev. Auth. Health Facilities Rev. (Bishop Gadsden Proj.) 5% 4/1/16 | 1,000,000 | 1,042,300 | ||
South Carolina Jobs Econ. Dev. Auth. Hosp. Facilities Rev. (Palmetto Health Alliance Proj.) Series A, 7.375% 12/15/21 (Pre-Refunded to 12/15/10 @ 102) (e) | 1,000,000 | 1,138,230 | ||
South Carolina Pub. Svc. Auth. Rev. (Santee Cooper Proj.) Series 2005 B, 5% 1/1/18 (MBIA Insured) | 1,000,000 | 1,075,570 | ||
Tobacco Settlement Rev. Mgmt. Auth. Series 2001 B, 6.375% 5/15/28 | 545,000 | 583,466 | ||
9,950,233 | ||||
Tennessee - 1.0% | ||||
Clarksville Natural Gas Acquisition Corp. Gas Rev.: | ||||
5% 12/15/13 | 1,000,000 | 1,061,770 | ||
5% 12/15/15 | 1,500,000 | 1,603,845 | ||
5% 12/15/16 | 1,500,000 | 1,608,795 | ||
Knox County Health Edl. & Hsg. Facilities Board Rev. (Univ. Health Sys. Proj.) 5% 4/1/16 | 1,805,000 | 1,881,352 | ||
6,155,762 | ||||
Texas - 11.3% | ||||
Abilene Independent School District 5% 2/15/19 | 1,090,000 | 1,161,471 | ||
Aledo Independent School District Series A, 5.125% 2/15/33 | 1,000,000 | 1,055,370 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Texas - continued | ||||
Austin Convention Enterprises, Inc. (Convention Ctr. Proj.) Series B, 5.75% 1/1/34 | $ 1,000,000 | $ 1,059,850 | ||
Austin Util. Sys. Rev. 0% 11/15/12 (AMBAC Insured) | 1,300,000 | 1,047,566 | ||
Boerne Independent School District 5.25% 2/1/35 | 1,500,000 | 1,588,185 | ||
Corpus Christi Util. Sys. Rev. 5.25% 7/15/18 (FSA Insured) | 1,000,000 | 1,107,330 | ||
Corsicana Independent School District 5.125% 2/15/28 | 1,015,000 | 1,073,961 | ||
Cypress-Fairbanks Independent School District Series A: | ||||
0% 2/15/14 | 3,200,000 | 2,436,352 | ||
0% 2/15/16 | 1,400,000 | 975,142 | ||
Dallas Area Rapid Transit Sales Tax Rev. 5% 12/1/36 (AMBAC Insured) | 1,000,000 | 1,056,860 | ||
Dallas Fort Worth Int'l. Arpt. Rev. Series A, 5.25% 11/1/12 (MBIA Insured) (d) | 1,000,000 | 1,063,140 | ||
Denton Independent School District 5% 8/15/33 | 1,600,000 | 1,657,680 | ||
Denton Util. Sys. Rev. Series A, 5% 12/1/19 (FSA Insured) | 1,280,000 | 1,344,038 | ||
Fort Worth Wtr. & Swr. Rev. 5% 2/15/16 (FSA Insured) | 1,000,000 | 1,065,560 | ||
Garland Independent School District 5.5% 2/15/19 | 2,500,000 | 2,609,075 | ||
Grand Prairie Independent School District 5.375% 2/15/16 (FSA Insured) | 1,000,000 | 1,081,020 | ||
Guadalupe-Blanco River Auth. Contract Rev. (Western Canyon Reg'l. Wtr. Supply Proj.) 5.25% 4/15/20 (MBIA Insured) | 1,000,000 | 1,069,410 | ||
Harris County Gen. Oblig.: | ||||
Series A, 5.25% 8/15/35 (FSA Insured) | 1,600,000 | 1,671,392 | ||
0% 10/1/17 (MBIA Insured) | 2,500,000 | 1,626,800 | ||
0% 8/15/24 (MBIA Insured) | 1,000,000 | 467,350 | ||
5.375% 8/15/23 (FSA Insured) | 1,000,000 | 1,066,800 | ||
Hays Consolidated Independent School District Series A, 5.125% 8/15/30 | 1,000,000 | 1,059,780 | ||
Houston Arpt. Sys. Rev.: | ||||
Series A, 5.625% 7/1/19 (FSA Insured) (d) | 1,000,000 | 1,071,670 | ||
Series B, 5.5% 7/1/30 (FSA Insured) | 1,400,000 | 1,460,858 | ||
Houston Independent School District 0% 8/15/13 | 1,300,000 | 1,011,738 | ||
Humble Independent School District: | ||||
Series 2005 B, 5.25% 2/15/20 (FGIC Insured) | 1,800,000 | 1,955,376 | ||
0% 2/15/17 | 1,000,000 | 669,080 | ||
Hurst Euless Bedford Independent School District 0% 8/15/11 | 1,000,000 | 845,740 | ||
Kermit Independent School District 5.25% 12/15/32 | 700,000 | 759,591 | ||
Lamar Consolidated Independent School District 5% 2/15/20 (b) | 1,000,000 | 1,074,380 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Texas - continued | ||||
Lewisville Independent School District 0% 8/15/19 | $ 2,340,000 | $ 1,390,919 | ||
Liberty Hill Independent School District (School Bldg. Proj.) 5.25% 8/1/35 | 1,100,000 | 1,184,557 | ||
Lower Colorado River Auth. Transmission Contract Rev. (LCRA Transmission Svcs. Corp. Proj.) Series C, 5.25% 5/15/19 (AMBAC Insured) | 1,000,000 | 1,070,280 | ||
Mansfield Independent School District: | ||||
5.375% 2/15/26 | 145,000 | 152,134 | ||
5.375% 2/15/26 (Pre-Refunded to 2/15/11 @ 100) (e) | 855,000 | 905,077 | ||
5.5% 2/15/17 | 25,000 | 26,774 | ||
Montgomery County Muni. Util. District #46 5% 3/1/21 (FSA Insured) | 1,040,000 | 1,077,263 | ||
North Central Health Facilities Dev. Corp. Rev. (Children's Med. Ctr. of Dallas Proj.) 5.5% 8/15/16 (AMBAC Insured) | 1,230,000 | 1,327,588 | ||
North Texas Tollway Auth. Dallas North Tollway Sys. Rev. Series A, 5% 1/1/28 (AMBAC Insured) | 1,000,000 | 1,041,410 | ||
Northside Independent School District 5.5% 2/15/15 | 940,000 | 996,099 | ||
Northwest Texas Independent School District 5.5% 8/15/21 | 170,000 | 183,677 | ||
Pampa Independent School District 5% 8/15/36 | 1,000,000 | 1,057,620 | ||
Prosper Independent School District 5.125% 8/15/30 | 400,000 | 423,912 | ||
Sabine River Auth. Poll. Cont. Rev. (Texas Utils. Elec. Co. Proj.) Series B, 5.75%, tender 11/1/11 (c)(d) | 4,645,000 | 4,773,945 | ||
San Marcos Consolidated Independent School District 5% 8/1/20 | 1,525,000 | 1,615,082 | ||
Spring Branch Independent School District 5.375% 2/1/18 | 345,000 | 363,530 | ||
Texas Muni. Pwr. Agcy. Rev.: | ||||
0% 9/1/11 (AMBAC Insured) | 4,715,000 | 3,995,963 | ||
0% 9/1/11 (Escrowed to Maturity) (e) | 35,000 | 29,675 | ||
0% 9/1/15 (MBIA Insured) | 1,100,000 | 784,531 | ||
Texas Pub. Fin. Auth. Bldg. Rev. (Texas Technical College Proj.) 6.25% 8/1/09 (MBIA Insured) | 640,000 | 656,787 | ||
Texas Tpk. Auth. Central Tpk. Sys. Rev.: | ||||
5.5% 8/15/39 (AMBAC Insured) | 4,100,000 | 4,394,052 | ||
5.75% 8/15/38 (AMBAC Insured) | 3,775,000 | 4,090,288 | ||
Texas Wtr. Dev. Board Rev. Series A, 5.5% 7/15/21 | 1,000,000 | 1,033,780 | ||
Tyler Health Facilities Dev. Corp. Hosp. Rev. (Mother Frances Hosp. Reg'l. Health Care Ctr. Proj.) 6% 7/1/27 | 1,000,000 | 1,070,710 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Texas - continued | ||||
White Settlement Independent School District 5.75% 8/15/34 | $ 1,440,000 | $ 1,559,563 | ||
Williamson County Gen. Oblig. 5.5% 2/15/19 (FSA Insured) | 35,000 | 37,013 | ||
72,434,794 | ||||
Utah - 0.3% | ||||
Intermountain Pwr. Agcy.: | ||||
Series A: | ||||
6.5% 7/1/09 (AMBAC Insured) | 365,000 | 385,626 | ||
6.5% 7/1/09 (Escrowed to Maturity) (e) | 635,000 | 672,376 | ||
Series B, 5.75% 7/1/16 (MBIA Insured) | 1,025,000 | 1,048,801 | ||
2,106,803 | ||||
Vermont - 0.4% | ||||
Vermont Edl. & Health Bldg. Fing. Agcy. Rev.: | ||||
(Fletcher Allen Health Care, Inc. Proj.): | ||||
Series 2000 A, 6.125% 12/1/27 (AMBAC Insured) | 1,000,000 | 1,078,830 | ||
Series 2000 A, 5.75% 12/1/18 (AMBAC Insured) | 400,000 | 426,992 | ||
(Middlebury College Proj. Series 2006 A, 5% 10/31/46 | 1,000,000 | 1,050,120 | ||
2,555,942 | ||||
Washington - 7.0% | ||||
Chelan County Pub. Util. District #1 Columbia River-Rock Island Hydro-Elec. Sys. Rev. Series A, 0% 6/1/17 (MBIA Insured) | 1,000,000 | 652,610 | ||
Clark County School District #114, Evergreen 5.375% 12/1/14 (FSA Insured) | 3,040,000 | 3,273,654 | ||
Energy Northwest Elec. Rev. (#1 Proj.) Series 2006 A, 5% 7/1/15 | 1,000,000 | 1,076,210 | ||
Grant County Pub. Util. District #2 (Priest Rapids Hydro-Elec. Proj.) Second Series B, 5.375% 1/1/16 (MBIA Insured) (d) | 1,715,000 | 1,794,182 | ||
Grant County Pub. Util. District #2 Wanapum Hydro Elec. Rev. Series B, 5.25% 1/1/22 (FGIC Insured) (d) | 1,950,000 | 2,051,517 | ||
King County Gen. Oblig. 5% 1/1/35 (FGIC Insured) | 1,000,000 | 1,047,220 | ||
King County Swr. Rev. Series B, 5.125% 1/1/33 (FSA Insured) | 2,800,000 | 2,919,280 | ||
Port of Seattle Passenger Facilities Charge Rev. Series B, 5.25% 12/1/14 (AMBAC Insured) (d) | 3,000,000 | 3,088,590 | ||
Spokane County School District #81 5.25% 12/1/18 (FSA Insured) | 1,000,000 | 1,074,070 | ||
Spokane Gen. Oblig. 5.25% 12/1/24 (AMBAC Insured) | 1,000,000 | 1,070,860 | ||
Municipal Bonds - continued | ||||
Principal Amount | Value | |||
Washington - continued | ||||
Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev. 5.75% 12/1/24 (MBIA Insured) | $ 1,000,000 | $ 1,100,910 | ||
Washington Gen. Oblig.: | ||||
Series 2001 C, 5.25% 1/1/16 | 1,000,000 | 1,048,370 | ||
Series B, 5% 7/1/28 (FSA Insured) | 1,095,000 | 1,156,484 | ||
Series 2001 C, 5.25% 1/1/26 (FSA Insured) | 1,000,000 | 1,047,680 | ||
Series E, 5% 1/1/29 (MBIA Insured) | 1,000,000 | 1,051,220 | ||
Series R 97A, 0% 7/1/19 (MBIA Insured) | 1,200,000 | 723,000 | ||
Series S5, 0% 1/1/18 (FGIC Insured) | 1,000,000 | 644,710 | ||
Washington Health Care Facilities Auth. Rev. (Providence Health Systems Proj.) Series 2001 A, 5.5% 10/1/13 (MBIA Insured) | 3,000,000 | 3,193,950 | ||
Washington Pub. Pwr. Supply Sys. Nuclear Proj. #2 Rev. 5.4% 7/1/12 | 16,000,000 | 17,180,956 | ||
45,195,473 | ||||
Wisconsin - 1.3% | ||||
Badger Tobacco Asset Securitization Corp. 6.125% 6/1/27 | 835,000 | 892,557 | ||
Douglas County Gen. Oblig. 5.5% 2/1/18 (FGIC Insured) | 335,000 | 358,738 | ||
Menasha Joint School District: | ||||
5.5% 3/1/17 (FSA Insured) | 65,000 | 69,710 | ||
5.5% 3/1/17 (Pre-Refunded to 3/1/12 @ 100) (e) | 1,095,000 | 1,171,486 | ||
Wisconsin Health & Edl. Facilities Auth. Rev.: | ||||
(Marshfield Clinic Proj.) Series B, 6% 2/15/25 | 1,500,000 | 1,601,730 | ||
(Wheaton Franciscan Svcs., Inc. Proj.): | ||||
Series A, 5.5% 8/15/16 | 1,000,000 | 1,059,740 | ||
5.75% 8/15/30 (Pre-Refunded to 2/15/12 @ 101) (e) | 1,500,000 | 1,644,090 | ||
6.25% 8/15/22 (Pre-Refunded to 2/15/12 @ 101) (e) | 600,000 | 670,668 | ||
Series A, 5.375% 2/15/34 | 1,000,000 | 1,042,920 | ||
8,511,639 |
TOTAL INVESTMENT PORTFOLIO - 99.9% (Cost $626,639,769) | 643,390,849 | ||
NET OTHER ASSETS - 0.1% | 478,501 | ||
NET ASSETS - 100% | $ 643,869,350 |
Legend |
(a) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(c) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(d) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals. |
(e) Security collateralized by an amount sufficient to pay interest and principal. |
Other Information |
The distribution of municipal securities by revenue source, as a percentage of total net assets, is as follows: |
General Obligations | 40.2% |
Health Care | 11.3% |
Electric Utilities | 10.1% |
Transportation | 8.2% |
Water & Sewer | 8.4% |
Special Tax | 7.8% |
Escrowed/Pre-Refunded | 6.1% |
Others* (individually less than 5%) | 7.9% |
100.0% |
*Includes net other assets |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
April 30, 2007 (Unaudited) | ||
Assets | ||
Investment in securities, at value - Unaffiliated issuers (cost $626,639,769) | $ 643,390,849 | |
Cash | 239,948 | |
Receivable for investments sold | 5,618,992 | |
Receivable for fund shares sold | 729,527 | |
Interest receivable | 9,437,360 | |
Prepaid expenses | 2,231 | |
Receivable from investment adviser for expense reductions | 583 | |
Other receivables | 55,123 | |
Total assets | 659,474,613 | |
Liabilities | ||
Payable for investments purchased | $ 700,000 | |
Delayed delivery | 12,308,405 | |
Payable for fund shares redeemed | 1,295,597 | |
Distributions payable | 677,811 | |
Accrued management fee | 197,087 | |
Distribution fees payable | 187,685 | |
Other affiliated payables | 212,763 | |
Other payables and accrued expenses | 25,915 | |
Total liabilities | 15,605,263 | |
Net Assets | $ 643,869,350 | |
Net Assets consist of: | ||
Paid in capital | $ 623,404,477 | |
Distributions in excess of net investment income | (185,640) | |
Accumulated undistributed net realized gain (loss) on investments | 3,899,433 | |
Net unrealized appreciation (depreciation) on investments | 16,751,080 | |
Net Assets | $ 643,869,350 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
April 30, 2007 (Unaudited) | ||
Calculation of Maximum Offering Price | $ 12.83 | |
Maximum offering price per share (100/96.00 of $12.83) | $ 13.36 | |
Class T: | $ 12.86 | |
Maximum offering price per share (100/96.00 of $12.86) | $ 13.40 | |
Class B: | $ 12.80 | |
Class C: | $ 12.85 | |
Institutional Class: | $ 12.78 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended April 30, 2007 (Unaudited) | ||
Investment Income | ||
Interest | $ 14,399,351 | |
Expenses | ||
Management fee | $ 1,182,645 | |
Transfer agent fees | 347,053 | |
Distribution fees | 1,089,862 | |
Accounting fees and expenses | 77,463 | |
Custodian fees and expenses | 4,972 | |
Independent trustees' compensation | 991 | |
Registration fees | 56,637 | |
Audit | 28,274 | |
Legal | 2,382 | |
Miscellaneous | 2,379 | |
Total expenses before reductions | 2,792,658 | |
Expense reductions | (107,612) | 2,685,046 |
Net investment income | 11,714,305 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 4,184,285 | |
Change in net unrealized appreciation (depreciation) on investment securities | (8,014,491) | |
Net gain (loss) | (3,830,206) | |
Net increase (decrease) in net assets resulting from operations | $ 7,884,099 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Six months ended | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 11,714,305 | $ 25,252,552 |
Net realized gain (loss) | 4,184,285 | 5,675,829 |
Change in net unrealized appreciation (depreciation) | (8,014,491) | 4,279,338 |
Net increase (decrease) in net assets resulting | 7,884,099 | 35,207,719 |
Distributions to shareholders from net investment income | (11,688,040) | (25,274,196) |
Distributions to shareholders from net realized gain | (4,708,165) | (8,244,683) |
Total distributions | (16,396,205) | (33,518,879) |
Share transactions - net increase (decrease) | 8,579,562 | (16,629,046) |
Total increase (decrease) in net assets | 67,456 | (14,940,206) |
Net Assets | ||
Beginning of period | 643,801,894 | 658,742,100 |
End of period (including distributions in excess of net investment income of $185,640 and distributions in excess of net investment income of $193,440, respectively) | $ 643,869,350 | $ 643,801,894 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended April 30, 2007 | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 13.00 | $ 12.97 | $ 13.28 | $ 13.00 | $ 12.87 | $ 12.70 |
Income from Investment Operations | ||||||
Net investment income E | .246 | .504 | .521 | .533 | .539 | .557 |
Net realized and unrealized gain (loss) | (.075) | .193 | (.201) | .301 | .137 | .168 |
Total from investment operations | .171 | .697 | .320 | .834 | .676 | .725 |
Distributions from net investment income | (.246) | (.505) | (.520) | (.532) | (.544) | (.555) |
Distributions from net realized gain | (.095) | (.162) | (.110) | (.022) | (.002) | - |
Total distributions | (.341) | (.667) | (.630) | (.554) | (.546) | (.555) |
Net asset value, | $ 12.83 | $ 13.00 | $ 12.97 | $ 13.28 | $ 13.00 | $ 12.87 |
Total Return B, C, D | 1.33% | 5.56% | 2.46% | 6.56% | 5.33% | 5.88% |
Ratios to Average Net Assets F | ||||||
Expenses before reductions | .70% A | .68% | .69% | .69% | .68% | .69% |
Expenses net of fee waivers, if any | .70% A | .68% | .69% | .69% | .68% | .69% |
Expenses net of all reductions | .66% A | .63% | .67% | .69% | .68% | .67% |
Net investment income | 3.85% A | 3.93% | 3.96% | 4.07% | 4.15% | 4.41% |
Supplemental Data | ||||||
Net assets, | $ 147,080 | $ 144,183 | $ 123,844 | $ 101,763 | $ 87,406 | $ 67,457 |
Portfolio turnover rate | 33% A | 26% | 22% | 17% | 26% | 20% |
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 expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended April 30, 2007 | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 13.02 | $ 13.00 | $ 13.31 | $ 13.03 | $ 12.89 | $ 12.72 |
Income from Investment Operations | ||||||
Net investment income E | .241 | .493 | .509 | .522 | .529 | .546 |
Net realized and unrealized gain (loss) | (.066) | .181 | (.202) | .299 | .144 | .166 |
Total from investment operations | .175 | .674 | .307 | .821 | .673 | .712 |
Distributions from net investment income | (.240) | (.492) | (.507) | (.519) | (.531) | (.542) |
Distributions from net realized gain | (.095) | (.162) | (.110) | (.022) | (.002) | - |
Total distributions | (.335) | (.654) | (.617) | (.541) | (.533) | (.542) |
Net asset value, | $ 12.86 | $ 13.02 | $ 13.00 | $ 13.31 | $ 13.03 | $ 12.89 |
Total Return B, C, D | 1.36% | 5.36% | 2.35% | 6.44% | 5.30% | 5.76% |
Ratios to Average Net Assets F | ||||||
Expenses before reductions | .79% A | .78% | .79% | .79% | .78% | .79% |
Expenses net of fee waivers, if any | .79% A | .78% | .79% | .79% | .78% | .79% |
Expenses net of all reductions | .75% A | .73% | .77% | .78% | .77% | .77% |
Net investment income | 3.76% A | 3.83% | 3.86% | 3.97% | 4.06% | 4.31% |
Supplemental Data | ||||||
Net assets, | $ 302,173 | $ 310,132 | $ 318,973 | $ 319,734 | $ 340,542 | $ 354,030 |
Portfolio turnover rate | 33% A | 26% | 22% | 17% | 26% | 20% |
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 expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended April 30, 2007 | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 12.97 | $ 12.94 | $ 13.25 | $ 12.98 | $ 12.85 | $ 12.67 |
Income from Investment Operations | ||||||
Net investment income E | .198 | .407 | .421 | .435 | .443 | .462 |
Net realized and unrealized gain (loss) | (.075) | .193 | (.200) | .291 | .136 | .178 |
Total from investment operations | .123 | .600 | .221 | .726 | .579 | .640 |
Distributions from net investment income | (.198) | (.408) | (.421) | (.434) | (.447) | (.460) |
Distributions from net realized gain | (.095) | (.162) | (.110) | (.022) | (.002) | - |
Total distributions | (.293) | (.570) | (.531) | (.456) | (.449) | (.460) |
Net asset value, | $ 12.80 | $ 12.97 | $ 12.94 | $ 13.25 | $ 12.98 | $ 12.85 |
Total Return B, C, D | .95% | 4.78% | 1.70% | 5.70% | 4.56% | 5.19% |
Ratios to Average Net Assets F | ||||||
Expenses before reductions | 1.45% A | 1.44% | 1.45% | 1.44% | 1.43% | 1.44% |
Expenses net of fee waivers, if any | 1.45% A | 1.44% | 1.45% | 1.44% | 1.43% | 1.44% |
Expenses net of all reductions | 1.42% A | 1.39% | 1.42% | 1.44% | 1.42% | 1.41% |
Net investment income | 3.10% A | 3.17% | 3.21% | 3.32% | 3.41% | 3.66% |
Supplemental Data | ||||||
Net assets, | $ 55,514 | $ 65,114 | $ 82,084 | $ 97,487 | $ 110,853 | $ 109,986 |
Portfolio turnover rate | 33% A | 26% | 22% | 17% | 26% | 20% |
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 expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended April 30, 2007 | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 13.02 | $ 12.99 | $ 13.30 | $ 13.02 | $ 12.89 | $ 12.71 |
Income from Investment Operations | ||||||
Net investment income E | .193 | .396 | .410 | .423 | .430 | .451 |
Net realized and unrealized gain (loss) | (.076) | .192 | (.202) | .300 | .135 | .176 |
Total from investment operations | .117 | .588 | .208 | .723 | .565 | .627 |
Distributions from net investment income | (.192) | (.396) | (.408) | (.421) | (.433) | (.447) |
Distributions from net realized gain | (.095) | (.162) | (.110) | (.022) | (.002) | - |
Total distributions | (.287) | (.558) | (.518) | (.443) | (.435) | (.447) |
Net asset value, | $ 12.85 | $ 13.02 | $ 12.99 | $ 13.30 | $ 13.02 | $ 12.89 |
Total Return B, C, D | .90% | 4.66% | 1.59% | 5.65% | 4.44% | 5.06% |
Ratios to Average Net Assets F | ||||||
Expenses before reductions | 1.54% A | 1.53% | 1.54% | 1.54% | 1.53% | 1.53% |
Expenses net of fee waivers, if any | 1.54% A | 1.53% | 1.54% | 1.54% | 1.53% | 1.53% |
Expenses net of all reductions | 1.51% A | 1.48% | 1.52% | 1.54% | 1.52% | 1.51% |
Net investment income | 3.01% A | 3.08% | 3.11% | 3.22% | 3.31% | 3.57% |
Supplemental Data | ||||||
Net assets, | $ 62,773 | $ 62,799 | $ 63,984 | $ 58,984 | $ 59,423 | $ 52,019 |
Portfolio turnover rate | 33% A | 26% | 22% | 17% | 26% | 20% |
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 expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended April 30, 2007 | Years ended October 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 12.95 | $ 12.92 | $ 13.24 | $ 12.96 | $ 12.83 | $ 12.66 |
Income from Investment Operations | ||||||
Net investment income D | .255 | .520 | .540 | .551 | .556 | .573 |
Net realized and unrealized gain (loss) | (.074) | .196 | (.208) | .304 | .139 | .170 |
Total from investment operations | .181 | .716 | .332 | .855 | .695 | .743 |
Distributions from net investment income | (.256) | (.524) | (.542) | (.553) | (.563) | (.573) |
Distributions from net realized gain | (.095) | (.162) | (.110) | (.022) | (.002) | - |
Total distributions | (.351) | (.686) | (.652) | (.575) | (.565) | (.573) |
Net asset value, | $ 12.78 | $ 12.95 | $ 12.92 | $ 13.24 | $ 12.96 | $ 12.83 |
Total Return B, C | 1.41% | 5.73% | 2.56% | 6.75% | 5.50% | 6.05% |
Ratios to Average Net Assets E | ||||||
Expenses before reductions | .54% A | .54% | .53% | .54% | .54% | .55% |
Expenses net of fee waivers, if any | .54% A | .54% | .53% | .54% | .54% | .55% |
Expenses net of all reductions | .51% A | .49% | .51% | .53% | .53% | .52% |
Net investment income | 4.01% A | 4.07% | 4.13% | 4.23% | 4.30% | 4.55% |
Supplemental Data | ||||||
Net assets, | $ 76,330 | $ 61,573 | $ 69,857 | $ 44,164 | $ 44,960 | $ 31,703 |
Portfolio turnover rate | 33% A | 26% | 22% | 17% | 26% | 20% |
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 expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2007 (Unaudited)
1. Organization.
Fidelity Advisor Municipal 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 financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.
2. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. Significant Accounting Policies - continued
Investment Transactions and Income - continued
sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, market discount, deferred trustees compensation and losses deferred due to wash sales and futures transactions.
The Fund purchases municipal securities whose interest, in the opinion of the issuer, is free from federal income tax. There is no assurance that the Internal Revenue Service (IRS) will agree with this opinion. In the event the IRS determines that the issuer does not comply with relevant tax requirements, interest payments from a security could become federally taxable, possibly retroactively to the date the security was issued.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 18,046,264 | |
Unrealized depreciation | (963,043) | |
Net unrealized appreciation (depreciation) | $ 17,083,221 | |
Cost for federal income tax purposes | $ 626,307,628 |
Semiannual Report
2. Significant Accounting Policies - continued
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
3. Operating Policies.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $113,579,800 and $105,119,294, respectively.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (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 .25% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .37% 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% | .25% | $ 121,348 | $ 5,299 |
Class T | 0% | .25% | 382,922 | 6,847 |
Class B | .65% | .25% | 271,301 | 197,053 |
Class C | .75% | .25% | 314,291 | 52,295 |
$ 1,089,862 | $ 261,494 |
On January 18, 2007, the Board of Trustees approved an increase in Class A's Service fee from .15% to .25%, effective April 1, 2007.
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A and Class T shares (4.75% for Class A and 3.50% for Class T shares prior to April 1, 2007), some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, ..75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
Semiannual Report
5. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 21,804 |
Class T | 14,939 |
Class B* | 71,483 |
Class C* | 1,914 |
$ 110,140 |
* 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 and Accounting Fees. Citibank, N.A. (Citibank) is the custodian, transfer agent, and shareholder servicing agent for each class of the Fund. Citibank has entered into a sub-arrangement with Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, with respect to all classes of the Fund to perform the transfer, dividend disbursing, and shareholder servicing agent functions. 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. All fees are paid to FIIOC by Citibank, which is reimbursed by each class for such payments. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, each class paid the following transfer agent fees:
Amount | % of | |
Class A | $ 74,595 | .10 |
Class T | 164,439 | .11 |
Class B | 35,144 | .12 |
Class C | 33,837 | .11 |
Institutional Class | 39,038 | .12 |
$ 347,053 |
* Annualized
Citibank also has a sub-arrangement with Fidelity Service Company, Inc. (FSC), an affiliate of FMR, under which FSC maintains the Fund's accounting records. The fee is based on the level of average net assets for the month.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $791 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
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, including commitment fees, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
Expense | Reimbursement | |
Class B | 1.50% -1.45%* | $ 429 |
Class C | 1.60% -1.55%* | 154 |
$ 583 |
* Expense limitation in effect at period end.
In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody and accounting expenses by $4,972 and $77,463, respectively. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | ||
Class A | $ 4,707 | |
Class T | 12,542 | |
Class B | 2,103 | |
Class C | 1,890 | |
Institutional Class | 2,181 | |
$ 23,423 |
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.
In September 2006, the Fund's transfer agent, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund. FIIOC has reimbursed the Fund for related audit and legal expenses and, beginning in June 2007, remediated affected shareholders.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 2,774,086 | $ 5,475,285 |
Class T | 5,696,729 | 12,053,776 |
Class B | 929,754 | 2,316,388 |
Class C | 933,105 | 1,936,779 |
Institutional Class | 1,354,366 | 3,491,968 |
Total | $ 11,688,040 | $ 25,274,196 |
From net realized gain | ||
Class A | $ 1,058,491 | $ 1,555,692 |
Class T | 2,260,434 | 3,978,415 |
Class B | 465,204 | 1,007,878 |
Class C | 456,116 | 788,459 |
Institutional Class | 467,920 | 914,239 |
Total | $ 4,708,165 | $ 8,244,683 |
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 | Year ended | Six months ended | Year ended | |
Class A | ||||
Shares sold | 1,710,769 | 4,948,217 | $ 22,043,467 | $ 63,420,086 |
Reinvestment of distributions | 199,218 | 371,154 | 2,572,303 | 4,767,130 |
Shares redeemed | (1,537,015) | (3,774,302) | (19,797,118) | (48,584,463) |
Net increase (decrease) | 372,972 | 1,545,069 | $ 4,818,652 | $ 19,602,753 |
Class T | ||||
Shares sold | 1,206,834 | 3,432,677 | $ 15,592,700 | $ 44,171,647 |
Reinvestment of distributions | 463,157 | 936,819 | 5,993,867 | 12,055,637 |
Shares redeemed | (1,974,978) | (5,102,497) | (25,505,213) | (65,624,444) |
Net increase (decrease) | (304,987) | (733,001) | $ (3,918,646) | $ (9,397,160) |
Class B | ||||
Shares sold | 124,824 | 401,486 | $ 1,604,564 | $ 5,146,784 |
Reinvestment of distributions | 63,743 | 154,058 | 821,807 | 1,974,082 |
Shares redeemed | (871,964) | (1,876,847) | (11,213,336) | (24,024,161) |
Net increase (decrease) | (683,397) | (1,321,303) | $ (8,786,965) | $ (16,903,295) |
Class C | ||||
Shares sold | 446,090 | 1,151,475 | $ 5,763,499 | $ 14,821,030 |
Reinvestment of distributions | 72,488 | 139,244 | 938,223 | 1,791,102 |
Shares redeemed | (456,958) | (1,392,566) | (5,897,472) | (17,907,457) |
Net increase (decrease) | 61,620 | (101,847) | $ 804,250 | $ (1,295,325) |
Institutional Class | ||||
Shares sold | 1,933,156 | 5,188,827 | $ 24,833,525 | $ 66,328,861 |
Reinvestment of distributions | 49,161 | 115,403 | 632,009 | 1,473,273 |
Shares redeemed | (764,053) | (5,953,881) | (9,803,263) | (76,438,153) |
Net increase (decrease) | 1,218,264 | (649,651) | $ 15,662,271 | $ (8,636,019) |
Semiannual Report
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Investments Money
Management, Inc.
Fidelity Research & Analysis Company
(formerly Fidelity Management &
Research (Far East) Inc.)
Fidelity International Investment Advisors
Fidelity International Investment Advisors
(U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Citibank, N.A.
New York, NY
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
HIMI-USAN-0607
1.784902.104
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Value
Fund - Class A, Class T, Class B
and Class C
Semiannual Report
April 30, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Note to Shareholders | An explanation of the changes to the fund. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Board Approval of Investment Advisory Contracts and Management Fees | ||
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Note to Shareholders:
In December 2006, the Board of Trustees approved a new management contract for Fidelity® Advisor Value Fund. It is expected that fund shareholders will be asked to vote on the new management contract at a shareholder meeting on or about May 21, 2008. If approved by shareholders, the new management contract will add a performance adjustment component to the management fee based on the fund's performance versus the Russell Midcap® Value Index and will allow the Board of Trustees to designate an alternate performance adjustment index in the future, without a shareholder vote, when permitted by applicable law.
The note above is not a solicitation of any proxy. More detailed information will be contained in the proxy statement, which is expected to be available after March 17, 2008.
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 (November 1, 2006 to April 30, 2007).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,133.30 | $ 6.61 |
HypotheticalA | $ 1,000.00 | $ 1,018.60 | $ 6.26 |
Class T | |||
Actual | $ 1,000.00 | $ 1,131.90 | $ 7.93 |
HypotheticalA | $ 1,000.00 | $ 1,017.36 | $ 7.50 |
Class B | |||
Actual | $ 1,000.00 | $ 1,129.20 | $ 10.56 |
HypotheticalA | $ 1,000.00 | $ 1,014.88 | $ 9.99 |
Class C | |||
Actual | $ 1,000.00 | $ 1,129.00 | $ 10.56 |
HypotheticalA | $ 1,000.00 | $ 1,014.88 | $ 9.99 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,135.30 | $ 5.24 |
HypotheticalA | $ 1,000.00 | $ 1,019.89 | $ 4.96 |
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 | .99% |
Semiannual Report
Investment Changes
Top Ten Stocks as of April 30, 2007 | ||
% of fund's | % of fund's net assets | |
Baxter International, Inc. | 1.4 | 2.0 |
Xerox Corp. | 1.3 | 1.5 |
Owens-Illinois, Inc. | 1.2 | 0.9 |
Tyco International Ltd. | 1.1 | 1.3 |
Avon Products, Inc. | 1.1 | 1.1 |
AT&T, Inc. | 1.0 | 0.5 |
National Oilwell Varco, Inc. | 1.0 | 0.7 |
The Brink's Co. | 0.9 | 0.6 |
Agilent Technologies, Inc. | 0.9 | 1.0 |
The Stanley Works | 0.9 | 0.7 |
10.8 | ||
Top Five Market Sectors as of April 30, 2007 | ||
% of fund's | % of fund's net assets | |
Consumer Discretionary | 18.4 | 18.6 |
Information Technology | 17.3 | 19.4 |
Financials | 14.8 | 14.1 |
Energy | 9.4 | 6.8 |
Industrials | 9.2 | 8.1 |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2007 * | As of October 31, 2006 ** | ||||||
![]() | Stocks 96.3% | ![]() | Stocks 96.3% | ||||
![]() | Bonds 0.0% | ![]() | Bonds 0.1% | ||||
![]() | Convertible | ![]() | Convertible | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 9.4% | ** Foreign investments | 10.2% |
Semiannual Report
Investments April 30, 2007 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 96.2% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 18.3% | |||
Auto Components - 0.2% | |||
Gentex Corp. | 18,151 | $ 323,088 | |
Automobiles - 1.1% | |||
Monaco Coach Corp. | 5,500 | 84,315 | |
Nissan Motor Co. Ltd. | 22,702 | 228,836 | |
Renault SA | 7,555 | 986,830 | |
Winnebago Industries, Inc. (d) | 19,102 | 612,410 | |
1,912,391 | |||
Diversified Consumer Services - 0.4% | |||
Apollo Group, Inc. Class A (non-vtg.) (a) | 800 | 37,840 | |
H&R Block, Inc. | 20,400 | 461,244 | |
Service Corp. International | 14,100 | 171,315 | |
670,399 | |||
Hotels, Restaurants & Leisure - 3.2% | |||
Aristocrat Leisure Ltd. | 17,047 | 235,001 | |
Brinker International, Inc. | 28,630 | 890,393 | |
Carnival Corp. unit | 23,500 | 1,148,915 | |
Gaylord Entertainment Co. (a) | 6,900 | 378,120 | |
OSI Restaurant Partners, Inc. | 17,950 | 714,590 | |
Rare Hospitality International, Inc. (a) | 12,696 | 369,708 | |
Royal Caribbean Cruises Ltd. | 34,360 | 1,428,345 | |
WMS Industries, Inc. (a) | 12,000 | 478,320 | |
5,643,392 | |||
Household Durables - 3.4% | |||
Beazer Homes USA, Inc. | 1,300 | 43,394 | |
Black & Decker Corp. | 9,690 | 879,077 | |
Ethan Allen Interiors, Inc. | 16,400 | 578,920 | |
Jarden Corp. (a) | 12,300 | 518,322 | |
La-Z-Boy, Inc. | 12,800 | 149,632 | |
Leggett & Platt, Inc. | 42,600 | 1,001,952 | |
Sealy Corp., Inc. (d) | 24,700 | 421,135 | |
The Stanley Works (d) | 25,760 | 1,501,293 | |
Whirlpool Corp. | 8,700 | 922,461 | |
6,016,186 | |||
Leisure Equipment & Products - 1.6% | |||
Brunswick Corp. | 40,930 | 1,340,867 | |
Eastman Kodak Co. (d) | 57,520 | 1,432,823 | |
Polaris Industries, Inc. (d) | 2,700 | 136,431 | |
2,910,121 | |||
Common Stocks - continued | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - continued | |||
Media - 3.1% | |||
Cinemark Holdings, Inc. | 4,300 | $ 81,270 | |
E.W. Scripps Co. Class A | 9,840 | 426,072 | |
Gannett Co., Inc. | 18,700 | 1,067,022 | |
Getty Images, Inc. (a) | 19,347 | 1,006,044 | |
Live Nation, Inc. (a) | 14,262 | 289,376 | |
Martha Stewart Living Omnimedia, Inc. Class A (d) | 3,230 | 61,402 | |
Omnicom Group, Inc. | 5,400 | 565,434 | |
R.H. Donnelley Corp. | 13,800 | 1,077,642 | |
Regal Entertainment Group Class A | 19,900 | 432,825 | |
The New York Times Co. Class A | 13,600 | 318,240 | |
Valassis Communications, Inc. (a) | 12,220 | 234,135 | |
5,559,462 | |||
Multiline Retail - 0.9% | |||
Family Dollar Stores, Inc. | 31,900 | 1,015,696 | |
Retail Ventures, Inc. (a) | 9,359 | 190,736 | |
Sears Holdings Corp. (a) | 1,300 | 248,183 | |
Tuesday Morning Corp. | 8,020 | 111,959 | |
1,566,574 | |||
Specialty Retail - 3.7% | |||
AnnTaylor Stores Corp. (a) | 2,100 | 80,808 | |
AutoNation, Inc. (a) | 6,402 | 130,857 | |
AutoZone, Inc. (a) | 1,700 | 226,168 | |
Best Buy Co., Inc. | 6,000 | 279,900 | |
Coldwater Creek, Inc. (a) | 4,900 | 101,430 | |
Gap, Inc. | 49,400 | 886,730 | |
Group 1 Automotive, Inc. | 8,253 | 338,373 | |
Hot Topic, Inc. (a) | 13,000 | 146,770 | |
OfficeMax, Inc. | 22,400 | 1,102,528 | |
PETsMART, Inc. | 30,600 | 1,015,614 | |
RadioShack Corp. | 7,200 | 209,304 | |
Select Comfort Corp. (a)(d) | 14,848 | 275,282 | |
Tiffany & Co., Inc. | 21,800 | 1,039,642 | |
Williams-Sonoma, Inc. | 23,500 | 827,670 | |
6,661,076 | |||
Textiles, Apparel & Luxury Goods - 0.7% | |||
Liz Claiborne, Inc. | 30,140 | 1,347,861 | |
TOTAL CONSUMER DISCRETIONARY | 32,610,550 | ||
Common Stocks - continued | |||
Shares | Value | ||
CONSUMER STAPLES - 4.8% | |||
Beverages - 0.5% | |||
Cott Corp. (a) | 29,400 | $ 475,475 | |
SABMiller PLC | 13,900 | 330,729 | |
806,204 | |||
Food & Staples Retailing - 1.0% | |||
Kroger Co. | 6,100 | 180,011 | |
Rite Aid Corp. (d) | 39,500 | 242,530 | |
Safeway, Inc. | 7,820 | 283,866 | |
Sysco Corp. | 28,100 | 919,994 | |
Winn-Dixie Stores, Inc. (a)(d) | 9,757 | 169,284 | |
1,795,685 | |||
Food Products - 1.1% | |||
Bunge Ltd. | 6,600 | 500,016 | |
Chiquita Brands International, Inc. (d) | 9,373 | 139,002 | |
Corn Products International, Inc. | 10,200 | 406,164 | |
Leroy Seafood Group ASA | 5,000 | 106,735 | |
Marine Harvest ASA (a) | 96,000 | 103,918 | |
Tyson Foods, Inc. Class A | 37,200 | 779,712 | |
2,035,547 | |||
Household Products - 0.6% | |||
Central Garden & Pet Co. | 8,000 | 118,480 | |
Central Garden & Pet Co. Class A (non-vtg.) (a) | 6,863 | 98,278 | |
Colgate-Palmolive Co. | 12,900 | 873,846 | |
1,090,604 | |||
Personal Products - 1.1% | |||
Avon Products, Inc. | 48,500 | 1,930,300 | |
Prestige Brands Holdings, Inc. (a) | 3,175 | 41,307 | |
1,971,607 | |||
Tobacco - 0.5% | |||
Altria Group, Inc. | 9,900 | 682,308 | |
British American Tobacco PLC | 6,630 | 206,392 | |
888,700 | |||
TOTAL CONSUMER STAPLES | 8,588,347 | ||
ENERGY - 9.4% | |||
Energy Equipment & Services - 5.9% | |||
Baker Hughes, Inc. | 7,500 | 602,925 | |
Cameron International Corp. (a) | 14,700 | 949,179 | |
ENSCO International, Inc. | 7,970 | 449,349 | |
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Energy Equipment & Services - continued | |||
FMC Technologies, Inc. (a) | 14,630 | $ 1,036,974 | |
GlobalSantaFe Corp. | 7,700 | 492,261 | |
Halliburton Co. | 20,300 | 644,931 | |
Hanover Compressor Co. (a) | 20,600 | 445,578 | |
Hornbeck Offshore Services, Inc. (a) | 1,200 | 37,956 | |
Key Energy Services, Inc. (a) | 27,150 | 506,348 | |
National Oilwell Varco, Inc. (a) | 20,680 | 1,754,698 | |
Noble Corp. | 5,890 | 495,997 | |
Pride International, Inc. (a) | 5,890 | 193,251 | |
Smith International, Inc. | 24,700 | 1,295,268 | |
Superior Energy Services, Inc. (a) | 10,500 | 381,465 | |
Transocean, Inc. (a) | 6,630 | 571,506 | |
Weatherford International Ltd. (a) | 14,520 | 762,155 | |
10,619,841 | |||
Oil, Gas & Consumable Fuels - 3.5% | |||
Arch Coal, Inc. | 17,730 | 639,521 | |
Cabot Oil & Gas Corp. | 17,600 | 640,992 | |
Cheniere Energy Partners LP | 3,500 | 73,955 | |
EOG Resources, Inc. | 6,900 | 506,736 | |
EXCO Resources, Inc. | 11,200 | 188,048 | |
Foundation Coal Holdings, Inc. | 19,600 | 772,044 | |
Noble Energy, Inc. | 4,800 | 282,288 | |
Petroplus Holdings AG | 1,991 | 164,838 | |
Suncor Energy, Inc. | 7,000 | 561,627 | |
Ultra Petroleum Corp. (a) | 10,400 | 589,888 | |
Valero Energy Corp. | 21,080 | 1,480,448 | |
Williams Companies, Inc. | 9,200 | 271,400 | |
6,171,785 | |||
TOTAL ENERGY | 16,791,626 | ||
FINANCIALS - 14.7% | |||
Capital Markets - 0.8% | |||
Ares Capital Corp. | 10,500 | 188,580 | |
Janus Capital Group, Inc. | 2,500 | 62,550 | |
Legg Mason, Inc. | 1,600 | 158,704 | |
Merrill Lynch & Co., Inc. | 5,500 | 496,265 | |
State Street Corp. | 3,200 | 220,384 | |
TD Ameritrade Holding Corp. (d) | 17,852 | 304,377 | |
1,430,860 | |||
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Commercial Banks - 1.7% | |||
Appalachian Bancshares, Inc. (a) | 500 | $ 9,575 | |
Boston Private Financial Holdings, Inc. | 6,105 | 169,780 | |
Colonial Bancgroup, Inc. | 4,000 | 96,240 | |
Commerce Bancorp, Inc. | 14,300 | 478,192 | |
Popular, Inc. (d) | 7,200 | 121,032 | |
UCBH Holdings, Inc. | 15,334 | 275,399 | |
UnionBanCal Corp. | 8,246 | 506,964 | |
Wachovia Corp. | 16,750 | 930,295 | |
Zions Bancorp | 6,400 | 523,520 | |
3,110,997 | |||
Consumer Finance - 0.8% | |||
Advance America Cash Advance Centers, Inc. | 3,300 | 56,562 | |
Capital One Financial Corp. | 14,800 | 1,099,048 | |
Cash America International, Inc. | 5,718 | 246,789 | |
1,402,399 | |||
Diversified Financial Services - 0.8% | |||
Bank of America Corp. | 17,968 | 914,571 | |
JPMorgan Chase & Co. | 8,800 | 458,480 | |
1,373,051 | |||
Insurance - 3.5% | |||
AFLAC, Inc. | 16,050 | 824,007 | |
AMBAC Financial Group, Inc. (d) | 9,860 | 905,148 | |
Genworth Financial, Inc. Class A (non-vtg.) | 6,300 | 229,887 | |
Marsh & McLennan Companies, Inc. | 34,069 | 1,082,031 | |
MBIA, Inc. | 15,690 | 1,091,396 | |
MetLife, Inc. | 5,160 | 339,012 | |
Montpelier Re Holdings Ltd. | 3,400 | 62,084 | |
Prudential Financial, Inc. | 5,500 | 522,500 | |
The Travelers Companies, Inc. | 13,830 | 748,203 | |
Willis Group Holdings Ltd. | 12,400 | 508,648 | |
6,312,916 | |||
Real Estate Investment Trusts - 4.4% | |||
Alexandria Real Estate Equities, Inc. | 3,300 | 349,305 | |
American Financial Realty Trust (SBI) | 15,200 | 161,120 | |
Annaly Capital Management, Inc. | 15,600 | 248,196 | |
BRE Properties, Inc. Class A | 4,500 | 270,180 | |
Developers Diversified Realty Corp. | 8,800 | 572,880 | |
Duke Realty LP | 17,590 | 758,305 | |
Education Realty Trust, Inc. | 7,100 | 101,104 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Real Estate Investment Trusts - continued | |||
Equity Residential (SBI) | 8,200 | $ 380,726 | |
General Growth Properties, Inc. | 20,419 | 1,303,753 | |
GMH Communities Trust | 7,700 | 77,308 | |
Health Care Property Investors, Inc. | 17,900 | 633,481 | |
Highwoods Properties, Inc. (SBI) | 2,400 | 97,872 | |
Kimco Realty Corp. | 11,100 | 533,577 | |
Public Storage, Inc. | 7,200 | 671,904 | |
Simon Property Group, Inc. | 2,500 | 288,200 | |
UDR, Inc. | 15,200 | 456,608 | |
Vornado Realty Trust | 8,420 | 998,865 | |
7,903,384 | |||
Thrifts & Mortgage Finance - 2.7% | |||
BankUnited Financial Corp. Class A | 800 | 17,320 | |
Countrywide Financial Corp. | 19,360 | 717,869 | |
Fannie Mae | 23,440 | 1,381,085 | |
Freddie Mac | 19,970 | 1,293,657 | |
Hudson City Bancorp, Inc. | 34,100 | 454,212 | |
New York Community Bancorp, Inc. (d) | 11,600 | 202,536 | |
People's United Financial, Inc. | 15,160 | 301,836 | |
Radian Group, Inc. | 6,200 | 360,282 | |
4,728,797 | |||
TOTAL FINANCIALS | 26,262,404 | ||
HEALTH CARE - 8.2% | |||
Biotechnology - 0.8% | |||
Amgen, Inc. (a) | 11,620 | 745,307 | |
Cephalon, Inc. (a) | 8,100 | 644,841 | |
Molecular Insight Pharmaceuticals, Inc. (d) | 1,800 | 21,276 | |
1,411,424 | |||
Health Care Equipment & Supplies - 1.9% | |||
Baxter International, Inc. | 45,164 | 2,557,633 | |
Becton, Dickinson & Co. | 8,070 | 635,028 | |
Wright Medical Group, Inc. (a) | 12,200 | 288,164 | |
3,480,825 | |||
Health Care Providers & Services - 3.7% | |||
Brookdale Senior Living, Inc. | 8,000 | 363,280 | |
Community Health Systems, Inc. (a) | 26,010 | 957,168 | |
DaVita, Inc. (a) | 12,100 | 660,781 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Health Care Providers & Services - continued | |||
Health Net, Inc. (a) | 13,600 | $ 735,216 | |
Humana, Inc. (a) | 3,921 | 247,964 | |
McKesson Corp. | 19,400 | 1,141,302 | |
Medco Health Solutions, Inc. (a) | 11,300 | 881,626 | |
Triad Hospitals, Inc. (a) | 7,870 | 418,212 | |
Universal Health Services, Inc. Class B | 18,670 | 1,133,642 | |
6,539,191 | |||
Life Sciences Tools & Services - 0.3% | |||
Charles River Laboratories International, Inc. (a) | 11,200 | 530,432 | |
Pharmaceuticals - 1.5% | |||
Alpharma, Inc. Class A | 27,130 | 659,259 | |
Schering-Plough Corp. | 41,190 | 1,306,959 | |
Teva Pharmaceutical Industries Ltd. sponsored ADR | 17,900 | 685,749 | |
2,651,967 | |||
TOTAL HEALTH CARE | 14,613,839 | ||
INDUSTRIALS - 9.2% | |||
Aerospace & Defense - 0.3% | |||
Honeywell International, Inc. | 8,340 | 451,861 | |
Air Freight & Logistics - 0.6% | |||
United Parcel Service, Inc. Class B | 14,900 | 1,049,407 | |
Airlines - 0.1% | |||
Ryanair Holdings PLC sponsored ADR (a) | 1,020 | 47,603 | |
Southwest Airlines Co. | 10,400 | 149,240 | |
196,843 | |||
Building Products - 0.6% | |||
Masco Corp. | 40,870 | 1,112,073 | |
Commercial Services & Supplies - 2.3% | |||
ACCO Brands Corp. (a) | 3,097 | 73,709 | |
Allied Waste Industries, Inc. | 104,338 | 1,394,999 | |
Cintas Corp. | 21,900 | 820,593 | |
Equifax, Inc. | 6,600 | 262,680 | |
Navigant Consulting, Inc. (a) | 1,300 | 24,934 | |
The Brink's Co. | 24,936 | 1,583,436 | |
4,160,351 | |||
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Construction & Engineering - 0.9% | |||
Fluor Corp. | 13,470 | $ 1,288,001 | |
Washington Group International, Inc. (a) | 3,253 | 217,691 | |
1,505,692 | |||
Industrial Conglomerates - 1.1% | |||
Tyco International Ltd. | 61,550 | 2,008,377 | |
Machinery - 1.8% | |||
Albany International Corp. Class A | 4,050 | 155,115 | |
Briggs & Stratton Corp. (d) | 20,900 | 620,103 | |
Bucyrus International, Inc. Class A | 2,500 | 156,850 | |
Deere & Co. | 9,300 | 1,017,420 | |
Illinois Tool Works, Inc. | 20,600 | 1,056,986 | |
Wabash National Corp. | 10,163 | 158,136 | |
3,164,610 | |||
Road & Rail - 1.3% | |||
Canadian National Railway Co. | 7,110 | 356,237 | |
Con-way, Inc. | 12,000 | 655,560 | |
CSX Corp. | 1,700 | 73,389 | |
Laidlaw International, Inc. | 35,725 | 1,223,581 | |
Ryder System, Inc. | 800 | 42,112 | |
2,350,879 | |||
Trading Companies & Distributors - 0.0% | |||
Williams Scotsman International, Inc. (a) | 2,200 | 48,466 | |
Transportation Infrastructure - 0.2% | |||
Macquarie Infrastructure Co. Trust | 8,227 | 350,306 | |
TOTAL INDUSTRIALS | 16,398,865 | ||
INFORMATION TECHNOLOGY - 17.3% | |||
Communications Equipment - 1.9% | |||
Alcatel-Lucent SA sponsored ADR | 65,710 | 870,658 | |
Andrew Corp. (a) | 24,000 | 262,080 | |
Avocent Corp. (a) | 10,776 | 301,836 | |
Dycom Industries, Inc. (a) | 20,330 | 526,750 | |
Motorola, Inc. | 47,650 | 825,775 | |
Nortel Networks Corp. (a) | 18,270 | 416,791 | |
Powerwave Technologies, Inc. (a)(d) | 27,275 | 169,923 | |
3,373,813 | |||
Computers & Peripherals - 2.6% | |||
Diebold, Inc. | 5,400 | 257,418 | |
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Computers & Peripherals - continued | |||
EMC Corp. (a) | 1,700 | $ 25,806 | |
Imation Corp. | 5,374 | 198,354 | |
Intermec, Inc. (a)(d) | 47,103 | 1,051,810 | |
NCR Corp. (a) | 9,200 | 463,680 | |
Network Appliance, Inc. (a) | 9,700 | 360,937 | |
QLogic Corp. (a) | 17,125 | 306,195 | |
SanDisk Corp. (a) | 8,000 | 347,600 | |
Seagate Technology | 52,860 | 1,170,849 | |
Sun Microsystems, Inc. (a) | 41,400 | 216,108 | |
Western Digital Corp. (a) | 9,950 | 175,916 | |
4,574,673 | |||
Electronic Equipment & Instruments - 4.6% | |||
Agilent Technologies, Inc. (a) | 45,600 | 1,567,272 | |
Arrow Electronics, Inc. (a) | 23,680 | 935,834 | |
Avnet, Inc. (a) | 36,420 | 1,489,578 | |
CDW Corp. | 10,300 | 741,703 | |
Flextronics International Ltd. (a) | 130,870 | 1,459,201 | |
Ingram Micro, Inc. Class A (a) | 18,400 | 361,008 | |
Itron, Inc. (a) | 800 | 53,872 | |
Jabil Circuit, Inc. | 27,700 | 645,410 | |
Molex, Inc. | 27,700 | 827,676 | |
Solectron Corp. (a) | 14,790 | 49,547 | |
8,131,101 | |||
Internet Software & Services - 1.0% | |||
Open Text Corp. (a) | 1,900 | 43,499 | |
ValueClick, Inc. (a) | 13,900 | 397,540 | |
VeriSign, Inc. (a) | 15,602 | 426,715 | |
Yahoo!, Inc. (a) | 35,900 | 1,006,636 | |
1,874,390 | |||
IT Services - 0.6% | |||
Hewitt Associates, Inc. Class A (a) | 6,700 | 199,325 | |
Satyam Computer Services Ltd. sponsored ADR | 13,100 | 325,928 | |
The Western Union Co. | 11,400 | 239,970 | |
Unisys Corp. (a) | 42,870 | 336,101 | |
1,101,324 | |||
Office Electronics - 1.3% | |||
Xerox Corp. (a) | 125,270 | 2,317,495 | |
Semiconductors & Semiconductor Equipment - 4.5% | |||
Advanced Micro Devices, Inc. (a) | 44,100 | 609,462 | |
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Semiconductors & Semiconductor Equipment - continued | |||
Amkor Technology, Inc. (a) | 8,300 | $ 116,117 | |
Applied Materials, Inc. | 42,900 | 824,538 | |
ASML Holding NV (NY Shares) (a) | 37,100 | 1,010,975 | |
Atmel Corp. (a) | 37,400 | 198,968 | |
Fairchild Semiconductor International, Inc. (a) | 67,390 | 1,186,064 | |
Integrated Device Technology, Inc. (a) | 30,000 | 449,400 | |
Intersil Corp. Class A | 31,800 | 947,322 | |
LSI Logic Corp. (a) | 27,300 | 232,050 | |
Maxim Integrated Products, Inc. | 13,100 | 415,532 | |
MKS Instruments, Inc. (a) | 13,352 | 359,836 | |
National Semiconductor Corp. | 56,500 | 1,485,950 | |
Standard Microsystems Corp. (a) | 5,850 | 187,551 | |
8,023,765 | |||
Software - 0.8% | |||
Fair, Isaac & Co., Inc. | 12,479 | 445,625 | |
Parametric Technology Corp. (a) | 10,400 | 184,808 | |
Quest Software, Inc. (a) | 14,600 | 248,346 | |
Symantec Corp. (a) | 35,299 | 621,262 | |
1,500,041 | |||
TOTAL INFORMATION TECHNOLOGY | 30,896,602 | ||
MATERIALS - 4.1% | |||
Chemicals - 1.8% | |||
Akzo Nobel NV | 1,700 | 135,320 | |
Arkema sponsored ADR (a) | 1,500 | 89,925 | |
Celanese Corp. Class A | 17,875 | 592,914 | |
Chemtura Corp. | 87,404 | 964,066 | |
Cytec Industries, Inc. | 14,300 | 785,070 | |
Georgia Gulf Corp. | 3,300 | 52,701 | |
H.B. Fuller Co. | 12,100 | 309,397 | |
Lubrizol Corp. | 4,900 | 293,706 | |
OMNOVA Solutions, Inc. (a) | 4,392 | 23,102 | |
3,246,201 | |||
Containers & Packaging - 1.2% | |||
Owens-Illinois, Inc. | 72,781 | 2,189,980 | |
Metals & Mining - 1.1% | |||
Alcan, Inc. | 11,350 | 668,279 | |
Alcoa, Inc. | 19,470 | 690,990 | |
Compass Minerals International, Inc. | 9,047 | 310,674 | |
Common Stocks - continued | |||
Shares | Value | ||
MATERIALS - continued | |||
Metals & Mining - continued | |||
Magma OJSC sponsored GDR (a)(e) | 5,400 | $ 68,310 | |
Titanium Metals Corp. | 4,000 | 138,120 | |
1,876,373 | |||
TOTAL MATERIALS | 7,312,554 | ||
TELECOMMUNICATION SERVICES - 2.9% | |||
Diversified Telecommunication Services - 1.8% | |||
AT&T, Inc. | 47,000 | 1,819,840 | |
CenturyTel, Inc. | 160 | 7,368 | |
Citizens Communications Co. | 13,330 | 207,548 | |
FairPoint Communications, Inc. | 3,300 | 61,908 | |
NTELOS Holding Corp. | 6,540 | 131,716 | |
Telenor ASA sponsored ADR | 6,100 | 343,247 | |
Verizon Communications, Inc. | 17,240 | 658,223 | |
3,229,850 | |||
Wireless Telecommunication Services - 1.1% | |||
ALLTEL Corp. | 5,600 | 351,064 | |
Crown Castle International Corp. (a) | 6,200 | 212,908 | |
Dobson Communications Corp. Class A | 35,700 | 325,227 | |
MTN Group Ltd. | 9,100 | 134,046 | |
Sprint Nextel Corp. | 47,200 | 945,416 | |
1,968,661 | |||
TOTAL TELECOMMUNICATION SERVICES | 5,198,511 | ||
UTILITIES - 7.3% | |||
Electric Utilities - 4.0% | |||
Allegheny Energy, Inc. (a) | 16,000 | 855,360 | |
American Electric Power Co., Inc. | 18,400 | 924,048 | |
DPL, Inc. | 22,600 | 708,510 | |
Edison International | 16,960 | 887,856 | |
Entergy Corp. | 11,470 | 1,297,716 | |
FirstEnergy Corp. | 13,500 | 923,940 | |
FPL Group, Inc. | 10,400 | 669,448 | |
PPL Corp. | 16,320 | 711,715 | |
Reliant Energy, Inc. (a) | 5,500 | 122,485 | |
7,101,078 | |||
Common Stocks - continued | |||
Shares | Value | ||
UTILITIES - continued | |||
Gas Utilities - 0.7% | |||
Energen Corp. | 9,575 | $ 536,679 | |
Equitable Resources, Inc. | 13,401 | 696,986 | |
1,233,665 | |||
Independent Power Producers & Energy Traders - 1.9% | |||
AES Corp. (a) | 20,230 | 444,858 | |
Constellation Energy Group, Inc. | 11,700 | 1,042,704 | |
NRG Energy, Inc. (d) | 11,300 | 892,248 | |
TXU Corp. | 16,780 | 1,100,432 | |
3,480,242 | |||
Multi-Utilities - 0.7% | |||
CMS Energy Corp. | 17,100 | 316,692 | |
Public Service Enterprise Group, Inc. | 10,900 | 942,305 | |
1,258,997 | |||
TOTAL UTILITIES | 13,073,982 | ||
TOTAL COMMON STOCKS (Cost $145,406,118) | 171,747,280 | ||
Preferred Stocks - 0.2% | |||
Convertible Preferred Stocks - 0.1% | |||
MATERIALS - 0.1% | |||
Containers & Packaging - 0.1% | |||
Owens-Illinois, Inc. 4.75% | 5,170 | 204,215 | |
Nonconvertible Preferred Stocks - 0.1% | |||
FINANCIALS - 0.1% | |||
Thrifts & Mortgage Finance - 0.1% | |||
Fannie Mae 7.00% | 1,300 | 68,900 | |
TOTAL PREFERRED STOCKS (Cost $260,117) | 273,115 |
Corporate Bonds - 0.1% | ||||
Principal Amount | Value | |||
Convertible Bonds - 0.1% | ||||
CONSUMER DISCRETIONARY - 0.1% | ||||
Automobiles - 0.1% | ||||
Ford Motor Co. 4.25% 12/15/36 | $ 100,000 | $ 112,370 | ||
Nonconvertible Bonds - 0.0% | ||||
CONSUMER DISCRETIONARY - 0.0% | ||||
Leisure Equipment & Products - 0.0% | ||||
K2, Inc. 7.375% 7/1/14 | 10,000 | 10,500 | ||
HEALTH CARE - 0.0% | ||||
Health Care Providers & Services - 0.0% | ||||
Tenet Healthcare Corp. 6.375% 12/1/11 | 30,000 | 28,125 | ||
INFORMATION TECHNOLOGY - 0.0% | ||||
Electronic Equipment & Instruments - 0.0% | ||||
Celestica, Inc. 7.875% 7/1/11 | 20,000 | 19,550 | ||
TOTAL NONCONVERTIBLE BONDS | 58,175 | |||
TOTAL CORPORATE BONDS (Cost $157,378) | 170,545 |
Money Market Funds - 9.0% | |||
Shares | |||
Fidelity Cash Central Fund, 5.29% (b) | 7,062,473 | 7,062,473 | |
Fidelity Securities Lending Cash Central Fund, 5.31% (b)(c) | 9,048,525 | 9,048,525 | |
TOTAL MONEY MARKET FUNDS (Cost $16,110,998) | 16,110,998 | ||
TOTAL INVESTMENT PORTFOLIO - 105.5% (Cost $161,934,611) | 188,301,938 | ||
NET OTHER ASSETS - (5.5)% | (9,736,438) | ||
NET ASSETS - 100% | $ 178,565,500 |
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 unaudited 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. |
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $68,310 or 0.0% of net assets. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 174,763 |
Fidelity Securities Lending Cash Central Fund | 11,403 |
Total | $ 186,166 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
April 30, 2007 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $8,678,623) - See accompanying schedule: Unaffiliated issuers (cost $145,823,613) | $ 172,190,940 | |
Fidelity Central Funds (cost $16,110,998) | 16,110,998 | |
Total Investments (cost $161,934,611) | $ 188,301,938 | |
Cash | 18,929 | |
Receivable for investments sold | 551,420 | |
Receivable for fund shares sold | 585,956 | |
Dividends receivable | 98,773 | |
Interest receivable | 3,136 | |
Distributions receivable from Fidelity Central Funds | 31,010 | |
Prepaid expenses | 367 | |
Other receivables | 2,897 | |
Total assets | 189,594,426 | |
Liabilities | ||
Payable for investments purchased | $ 1,418,088 | |
Payable for fund shares redeemed | 322,920 | |
Accrued management fee | 81,389 | |
Distribution fees payable | 71,486 | |
Other affiliated payables | 46,981 | |
Other payables and accrued expenses | 39,537 | |
Collateral on securities loaned, at value | 9,048,525 | |
Total liabilities | 11,028,926 | |
Net Assets | $ 178,565,500 | |
Net Assets consist of: | ||
Paid in capital | $ 146,717,439 | |
Accumulated net investment loss | (58,505) | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 5,539,269 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 26,367,297 | |
Net Assets | $ 178,565,500 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
April 30, 2007 (Unaudited) | ||
Calculation of Maximum Offering Price Class A: | $ 16.27 | |
Maximum offering price per share (100/94.25 of $16.27) | $ 17.26 | |
Class T: | $ 16.21 | |
Maximum offering price per share (100/96.50 of $16.21) | $ 16.80 | |
Class B: | $ 16.09 | |
Class C: | $ 16.06 | |
Institutional Class: | $ 16.35 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended April 30, 2007 (Unaudited) | ||
Investment Income | ||
Dividends | $ 900,261 | |
Interest | 3,955 | |
Income from Fidelity Central Funds | 186,166 | |
Total income | 1,090,382 | |
Expenses | ||
Management fee | $ 431,971 | |
Transfer agent fees | 228,292 | |
Distribution fees | 385,993 | |
Accounting and security lending fees | 30,980 | |
Custodian fees and expenses | 35,414 | |
Independent trustees' compensation | 217 | |
Registration fees | 54,802 | |
Audit | 25,506 | |
Legal | 1,022 | |
Miscellaneous | 579 | |
Total expenses before reductions | 1,194,776 | |
Expense reductions | (44,844) | 1,149,932 |
Net investment income (loss) | (59,550) | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 5,705,710 | |
Foreign currency transactions | 213 | |
Total net realized gain (loss) | 5,705,923 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 13,346,078 | |
Assets and liabilities in foreign currencies | (14) | |
Total change in net unrealized appreciation (depreciation) | 13,346,064 | |
Net gain (loss) | 19,051,987 | |
Net increase (decrease) in net assets resulting from operations | $ 18,992,437 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Six months ended April 30, 2007 | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ (59,550) | $ (53,610) |
Net realized gain (loss) | 5,705,923 | 4,077,931 |
Change in net unrealized appreciation (depreciation) | 13,346,064 | 10,142,197 |
Net increase (decrease) in net assets resulting | 18,992,437 | 14,166,518 |
Distributions to shareholders from net realized gain | (3,620,550) | (1,071,267) |
Share transactions - net increase (decrease) | 31,658,963 | 56,605,448 |
Total increase (decrease) in net assets | 47,030,850 | 69,700,699 |
Net Assets | ||
Beginning of period | 131,534,650 | 61,833,951 |
End of period (including accumulated net investment loss of $58,505 and undistributed net investment income of $1,045, respectively) | $ 178,565,500 | $ 131,534,650 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended | Years ended October 31, | |||
(Unaudited) | 2006 | 2005 | 2004 I | |
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ 14.77 | $ 12.72 | $ 11.10 | $ 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) E | .01 | .03 | .01 | (.02) H |
Net realized and unrealized gain (loss) | 1.92 | 2.25 | 1.64 | 1.12 |
Total from investment operations | 1.93 | 2.28 | 1.65 | 1.10 |
Distributions from net realized gain | (.43) | (.23) | (.03) | - |
Net asset value, end of period | $ 16.27 | $ 14.77 | $ 12.72 | $ 11.10 |
Total Return B,C,D | 13.33% | 18.11% | 14.84% | 11.00% |
Ratios to Average Net Assets F,J | ||||
Expenses before reductions | 1.30% A | 1.35% | 1.62% | 4.33% A |
Expenses net of fee waivers, if any | 1.25% A | 1.25% | 1.27% | 1.50% A |
Expenses net of all reductions | 1.24% A | 1.24% | 1.26% | 1.48% A |
Net investment income (loss) | .17% A | .24% | .04% | (.17)% A |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ 67,162 | $ 47,960 | $ 15,657 | $ 2,543 |
Portfolio turnover rate G | 46% A | 35% | 25% | 30% 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 Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Investment income per share reflects a special dividend which amounted to $.01 per share.
I For the period December 23, 2003 (commencement of operations) to October 31, 2004.
J 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended | Years ended October 31, | |||
(Unaudited) | 2006 | 2005 | 2004 I | |
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ 14.70 | $ 12.67 | $ 11.08 | $ 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) E | (.01) | - K | (.03) | (.04) H |
Net realized and unrealized gain (loss) | 1.91 | 2.23 | 1.64 | 1.12 |
Total from investment operations | 1.90 | 2.23 | 1.61 | 1.08 |
Distributions from net realized gain | (.39) | (.20) | (.02) | - |
Net asset value, end of period | $ 16.21 | $ 14.70 | $ 12.67 | $ 11.08 |
Total Return B,C,D | 13.19% | 17.78% | 14.54% | 10.80% |
Ratios to Average Net Assets F,J | ||||
Expenses before reductions | 1.54% A | 1.59% | 1.86% | 4.29% A |
Expenses net of fee waivers, if any | 1.50% A | 1.50% | 1.53% | 1.75% A |
Expenses net of all reductions | 1.49% A | 1.49% | 1.52% | 1.73% A |
Net investment income (loss) | (.08)% A | (.01)% | (.21)% | (.42)%A |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ 55,388 | $ 43,716 | $ 22,938 | $ 5,581 |
Portfolio turnover rate G | 46% A | 35% | 25% | 30% 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 Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Investment income per share reflects a special dividend which amounted to $.01 per share.
I For the period December 23, 2003 (commencement of operations) to October 31, 2004.
J 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
K Amount represents less than $.01 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended | Years ended October 31, | |||
(Unaudited) | 2006 | 2005 | 2004I | |
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ 14.57 | $ 12.57 | $ 11.03 | $ 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) E | (.04) | (.07) | (.09) | (.08)H |
Net realized and unrealized gain (loss) | 1.89 | 2.22 | 1.64 | 1.11 |
Total from investment operations | 1.85 | 2.15 | 1.55 | 1.03 |
Distributions from net realized gain | (.33) | (.15) | (.01) | - |
Net asset value, end of period | $ 16.09 | $ 14.57 | $ 12.57 | $ 11.03 |
Total ReturnB,C,D | 12.92% | 17.21% | 14.01% | 10.30% |
Ratios to Average Net AssetsF,J | ||||
Expenses before reductions | 2.07% A | 2.15% | 2.44% | 5.09% A |
Expenses net of fee waivers, if any | 2.00% A | 2.00% | 2.04% | 2.25% A |
Expenses net of all reductions | 1.99% A | 1.99% | 2.02% | 2.23% A |
Net investment income (loss) | (.57)% A | (.51)% | (.72)% | (.93)% A |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ 16,368 | $ 14,625 | $ 12,084 | $ 3,473 |
Portfolio turnover rate G | 46%A | 35% | 25% | 30%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 Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Investment income per share reflects a special dividend which amounted to $.01 per share.
I For the period December 23, 2003 (commencement of operations) to October 31, 2004.
J 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended | Years ended October 31, | |||
(Unaudited) | 2006 | 2005 | 2004I | |
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ 14.55 | $ 12.57 | $ 11.03 | $ 10.00 |
Income from Investment Operations | ||||
Net investment income (loss)E | (.04) | (.07) | (.09) | (.08)H |
Net realized and unrealized gain (loss) | 1.88 | 2.22 | 1.63 | 1.11 |
Total from investment operations | 1.84 | 2.15 | 1.54 | 1.03 |
Distributions from net realized gain | (.33) | (.17) | - | - |
Net asset value, end of period | $ 16.06 | $ 14.55 | $ 12.57 | $ 11.03 |
Total ReturnB,C,D | 12.90% | 17.22% | 13.96% | 10.30% |
Ratios to Average Net AssetsF,J | ||||
Expenses before reductions | 2.07% A | 2.13% | 2.42% | 5.11% A |
Expenses net of fee waivers, if any | 2.00% A | 2.00% | 2.03% | 2.25% A |
Expenses net of all reductions | 2.00% A | 1.99% | 2.02% | 2.23% A |
Net investment income (loss) | (.58)% A | (.51)% | (.71)% | (.93)% A |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ 26,688 | $ 19,093 | $ 9,007 | $ 2,372 |
Portfolio turnover rateG | 46%A | 35% | 25% | 30% 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 Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Investment income per share reflects a special dividend which amounted to $.01 per share.
I For the period December 23, 2003 (commencement of operations) to October 31, 2004.
J 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended | Years ended October 31, | |||
(Unaudited) | 2006 | 2005 | 2004 H | |
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ 14.85 | $ 12.79 | $ 11.13 | $ 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) D | .03 | .07 | .03 | .01 G |
Net realized and unrealized gain (loss) | 1.93 | 2.25 | 1.66 | 1.12 |
Total from investment operations | 1.96 | 2.32 | 1.69 | 1.13 |
Distributions from net realized gain | (.46) | (.26) | (.03) | - |
Net asset value, end of period | $ 16.35 | $ 14.85 | $ 12.79 | $ 11.13 |
Total ReturnB,C | 13.53% | 18.32% | 15.16% | 11.30% |
Ratios to Average Net AssetsE,I | ||||
Expenses before reductions | .99% A | 1.00% | 1.32% | 4.35% A |
Expenses net of fee waivers, if any | .99% A | 1.00% | 1.05% | 1.25% A |
Expenses net of all reductions | .99% A | .99% | 1.03% | 1.23% A |
Net investment income (loss) | .43% A | .49% | .27% | .07% A |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ 12,959 | $ 6,140 | $ 2,148 | $ 891 |
Portfolio turnover rate F | 46% A | 35% | 25% | 30% 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 Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Investment income per share reflects a special dividend which amounted to $.01 per share.
H For the period December 23, 2003 (commencement of operations) to October 31, 2004.
I 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2007 (Unaudited)
1. Organization.
Fidelity Advisor Value 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.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request. In addition, the financial statements of the Fidelity Central Funds are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
3. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value (NAV) per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. For example, when developments occur between the close of a market and the close of the NYSE that may materially affect the value of some or all of the securities, or when trading in a security is halted, those securities may be fair valued. Factors used in the determination of fair value may include monitoring news to identify significant market or security specific events such as changes in the value of U.S. securities markets, reviewing developments in foreign markets and evaluating the performance of ADRs, futures contracts and exchange-traded funds. Because the Fund's utilization of fair value pricing depends on market activity, the frequency with which fair value pricing is used cannot be predicted and may be utilized to a significant extent. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities.
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.
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.
Semiannual Report
3. Significant Accounting Policies - continued
Foreign Currency - continued
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. 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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. 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. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
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, market discount 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 | $ 28,886,619 | |
Unrealized depreciation | (2,572,448) | |
Net unrealized appreciation (depreciation) | $ 26,314,171 | |
Cost for federal income tax purposes | $ 161,987,767 |
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to
Semiannual Report
4. Operating Policies - continued
Repurchase Agreements - continued
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.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $60,250,373 and $33,903,217, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .30% of the Fund's average net assets and a group fee rate that averaged ..26% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .56% of the Fund's average net assets.
In December 2006, the Board of Trustees approved a new management contract for the Fund. Shareholders will be asked to vote on the new contract on or about May 21, 2008. If approved by the shareholders, the new contract will add a performance adjustment component to the management fee based on the Fund's performance, calculated by reference to the investment performance of the Fund's Institutional Class relative to an appropriate benchmark index.
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,
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan - continued
the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | .00% | .25% | $ 71,157 | $ 9,530 |
Class T | .25% | .25% | 124,830 | 1,614 |
Class B | .75% | .25% | 77,570 | 58,374 |
Class C | .75% | .25% | 112,436 | 42,072 |
$ 385,993 | $ 111,590 |
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, 1.00% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 35,284 |
Class T | 8,240 |
Class B* | 7,872 |
Class C* | 3,416 |
$ 54,812 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
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 | $ 85,404 | .30 |
Class T | 71,657 | .29 |
Class B | 24,752 | .32 |
Class C | 35,822 | .32 |
Institutional Class | 10,657 | .24 |
$ 228,292 |
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.
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 $108 for the period.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $178 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
8. Security Lending - continued
delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in 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. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Net income from lending portfolio securities during the period amounted to $11,403.
9. 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, including commitment fees, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
Expense | Reimbursement | |
Class A | 1.25% | $ 15,667 |
Class T | 1.50% | 11,099 |
Class B | 2.00% | 6,087 |
Class C | 2.00% | 8,159 |
$ 41,012 |
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 $993 for the period. In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $418. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | ||
Class A | $ 379 | |
Institutional Class | 66 | |
$ 445 |
Semiannual Report
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
In September 2006, the Fund's transfer agent, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund. FIIOC has reimbursed the Fund for related audit and legal expenses and, beginning in June 2007, remediated affected shareholders.
The United States Securities and Exchange Commission ("SEC") is conducting an investigation of FMR (covering the years 2002 to 2004) arising from gifts, gratuities and business entertainment provided by certain brokers to certain individuals who were employed on FMR's domestic equity trading desk during that period. FMR is in discussions with the SEC staff regarding the possible resolution of the matter, but as of period-end no final resolution has been reached.
In December 2006, the Independent Trustees completed their own investigation of the matter with the assistance of independent counsel. The Independent Trustees and FMR agree that, despite the absence of proof that the Fidelity mutual funds experienced diminished execution quality as a result of the improper receipt of gifts and business entertainment, the conduct at issue was serious and is worthy of redress. Accordingly, the Independent Trustees have requested and FMR has agreed to pay $42 million to Fidelity mutual funds, plus interest to be determined at the time that payment is made. A method of allocating this payment among the funds has not yet been determined. The total payment to the Fund is not anticipated to have a material impact on the Fund's net assets. In addition, FMR reimbursed related legal expenses which are recorded in the accompanying Statement of Operations as an expense reduction.
On April 19, 2007, the Board of Trustees approved an Agreement and Plan of Reorganization whereby the Fund will reorganize into Fidelity Advisor Series I, effective on or about June 29, 2007. The reorganization will not impact the Fund's investment strategies or FMR's management of the Fund. All legal and other expenses associated with the reorganization will be paid by FMR.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net realized gain | ||
Class A | $ 1,408,419 | $ 340,660 |
Class T | 1,212,214 | 397,148 |
Class B | 331,720 | 153,858 |
Class C | 450,092 | 136,860 |
Institutional Class | 218,105 | 42,741 |
Total | $ 3,620,550 | $ 1,071,267 |
12. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended April 30, 2007 | Year ended | Six months ended April 30, 2007 | Year ended | |
Class A | ||||
Shares sold | 1,353,934 | 2,644,989 | $ 20,780,893 | $ 36,973,471 |
Reinvestment of distributions | 89,257 | 23,516 | 1,318,328 | 315,822 |
Shares redeemed | (562,471) | (652,599) | (8,618,923) | (9,059,106) |
Net increase (decrease) | 880,720 | 2,015,906 | $ 13,480,298 | $ 28,230,187 |
Class T | ||||
Shares sold | 716,980 | 1,852,588 | $ 10,981,176 | $ 25,728,181 |
Reinvestment of distributions | 79,731 | 28,119 | 1,174,441 | 376,797 |
Shares redeemed | (353,666) | (717,416) | (5,433,743) | (9,990,794) |
Net increase (decrease) | 443,045 | 1,163,291 | $ 6,721,874 | $ 16,114,184 |
Class B | ||||
Shares sold | 163,088 | 400,725 | $ 2,479,808 | $ 5,502,291 |
Reinvestment of distributions | 20,325 | 10,801 | 297,767 | 144,088 |
Shares redeemed | (169,826) | (369,052) | (2,575,736) | (5,083,680) |
Net increase (decrease) | 13,587 | 42,474 | $ 201,839 | $ 562,699 |
Class C | ||||
Shares sold | 483,072 | 835,526 | $ 7,410,140 | $ 11,528,790 |
Reinvestment of distributions | 26,702 | 9,282 | 390,645 | 123,634 |
Shares redeemed | (160,412) | (249,048) | (2,443,753) | (3,434,887) |
Net increase (decrease) | 349,362 | 595,760 | $ 5,357,032 | $ 8,217,537 |
Institutional Class | ||||
Shares sold | 476,892 | 331,617 | $ 7,413,000 | $ 4,687,887 |
Reinvestment of distributions | 10,280 | 2,506 | 152,355 | 33,787 |
Shares redeemed | (107,763) | (88,770) | (1,667,435) | (1,240,833) |
Net increase (decrease) | 379,409 | 245,353 | $ 5,897,920 | $ 3,480,841 |
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Value Fund
On December 14, 2006, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve an amended management contract (the Amended Contract) for the fund and to submit the Amended Contract to shareholders for their approval. If approved by shareholders, the Amended Contract will add a performance adjustment component to the management fee that FMR receives from the fund under the fund's existing management contract. The performance adjustment will take effect in the twelfth month after commencement of the performance period and the index used to calculate the fund's performance adjustment will be the Russell Midcap Value Index (the Index). The Amended Contract also will allow the Board to change the fund's performance adjustment index in the future without a shareholder vote, if applicable law permits the Board to do so. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.
In determining whether to approve the Amended Contract for the fund, the Board was 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.
Nature, Extent, and Quality of Services Provided. The Board considered the nature, quality, cost and extent of advisory, administrative, distribution and shareholder services performed by the investment adviser, FMR, and the sub-advisers, and by affiliated companies.
Shareholder and Administrative Services. 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.
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 shareholder services.
Investment Performance. In determining whether to add a performance adjustment component to the fund's management fee, the Board considered the rolling returns of the fund compared to the rolling returns of the Index over the performance period commencing December 31, 203 through October 31, 2006. The Board noted that over the rolling 34-month period ended October 31, 2006, the fund generally underperformed the Index.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
The Board recognized that past performance would have no impact on performance in the future. The Board recognized that, in connection with its annual renewal of the fund's current management contract and sub-advisory agreements at its July 2006 meeting, the Board had reviewed the fund's returns and the returns of the Index over the one-year period ended December 31, 2005, and had stated that the relative investment performance of Institutional Class the fund compared favorably to the Index for the period shown.
The Board also noted that the Amended Contract would give the Board the ability to designate an alternative appropriate index for the fund without the delay and expense of having first to conduct a proxy solicitation, if applicable law would permit the Board to do so.
Based on its review, the Board concluded that the nature, extent, and quality of the services provided to the fund will benefit the fund's shareholders, particularly in light of the Board's view that the fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered that, with the proposed performance adjustment, the fund's management fee will be subject to upward or downward adjustment depending upon whether, and to what extent, the fund's investment performance (based on the performance of Institutional Class of the fund) for the performance period exceeds, or is exceeded by, the record (over the same period) of a Board-approved performance adjustment index. The Board realizes that the performance adjustment will provide FMR with a strong economic incentive to seek to achieve superior performance for the fund's shareholders and help to more closely align the interests of FMR and the fund's shareholders. The Board considered that a performance adjustment based on the performance of Institutional Class of the fund, which has lower expenses than the other classes of the fund, may result in a higher performance adjustment, and therefore a higher management fee, than a performance adjustment based on a class with higher expenses. The Board also considered that, because the addition of the performance adjustment to the calculation of the fund's management fee will be implemented prospectively, the future impact on management fees will depend solely on the fund's future performance relative to the Index.
Nonetheless, the Board considered the management fee that the fund incurred under the current management contract (without the performance adjustment) for the 12-month period ended October 31, 2006, compared to the hypothetical management fee that the fund would have incurred if the Amended Contract (with the performance adjustment) had been in effect during that period.
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The Board noted that if the Amended Contract had been in effect during the 12-month period ended October 31, 2006, the fund's basic fee would have been reduced by a negative performance adjustment of 5.0 basis points. As a result, the fund's hypothetical management fee would have been 5.0 basis points $0.1 million lower if the Amended Contract had been in effect during that period. The Board also noted that the fund generally underperformed the Index over the rolling 34-month period ended October 31, 2006.
Based on its review, the Board concluded that the fund's proposed management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.
Because the fund's management fee impacts the fund's total expenses - and because the future impact on management fees will depend solely on the fund's future performance relative to the Index - the Board will review the fund's total expenses compared to competitive fund median expenses in connection with its future renewal of the fund's management contract and sub-advisory agreements.
In its review of total expenses, the Board also noted that at previous meetings during the year it received and considered materials relating to its review of total expenses for each Fidelity fund. This information includes 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.
Costs of the Services and Profitability. Because the Board was approving an arrangement under which the management fee that the fund pays FMR will depend solely on the fund's future performance relative to the Index, it did not consider data regarding the impact on Fidelity's costs of services, revenues, or profitability from the new arrangement to be a significant factor in its decision.
In connection with its future renewal of the fund's management contract and sub-advisory agreements, the Board will consider 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.
Economies of Scale. The Board recognized that the fund's Amended Contract, like the current 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.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
In connection with its future renewal of the fund's management contract and sub-advisory agreements, the Board will consider 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.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the Amended Contract is fair and reasonable, and that the Amended Contract should be approved and submitted to shareholders for their approval.
On April 19, 2007, the Board voted to approve the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund in connection with reorganizing the fund from one Trust to another. The Board reached this determination because the contractual terms of and fees payable under the fund's Advisory Contracts are identical to those in the fund's current Advisory Contracts. The Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board considered that it approved the Advisory Contracts for the fund during the past year and that it will again consider renewal of the Advisory Contracts in July 2007. The Board considered that in December 2006, the Board voted to approve an amended management contract (the Amended Contract) for the fund and to submit the Amended Contract to shareholders for their approval. If approved by shareholders, the Amended Contract, among other things, will add a performance adjustment component to the management fee that FMR receives from the fund under the fund's existing management contract.
Because the Board was approving Advisory Contracts with terms identical to the current Advisory Contracts, it did not consider the fund's investment performance, competitiveness of management fee and total expenses, costs of services and profitability, or economies of scale to be significant factors in its decision.
In connection with its future renewal of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent, and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the fund's management fee and total expenses; (iii) the costs of the services and profitability, including 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; and (iv) 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.
Semiannual Report
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be approved, without modification, as part of the process of reorganizing the fund from one Trust to another, with the understanding that the fund will submit an Amended Contract to shareholders on November 14, 2007, following the reorganization.
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Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Research & Analysis Company
(formerly Fidelity Management &
Research (Far East) Inc.)
Fidelity Investments Japan Limited
Fidelity International
Investment Advisors
Fidelity International Investment Advisors (U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Mellon Bank, N.A.
Pittsburgh, PA
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
FAV-USAN-0607
1.800649.103
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Value
Fund - Institutional Class
Semiannual Report
April 30, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Note to Shareholders | An explanation of the changes to the fund. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Note to Shareholders:
In December 2006, the Board of Trustees approved a new management contract for Fidelity® Advisor Value Fund. It is expected that fund shareholders will be asked to vote on the new management contract at a shareholder meeting on or about May 21, 2008. If approved by shareholders, the new management contract will add a performance adjustment component to the management fee based on the fund's performance versus the Russell Midcap® Value Index and will allow the Board of Trustees to designate an alternate performance adjustment index in the future, without a shareholder vote, when permitted by applicable law.
The note above is not a solicitation of any proxy. More detailed information will be contained in the proxy statement, which is expected to be available after March 17, 2008.
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 (November 1, 2006 to April 30, 2007).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,133.30 | $ 6.61 |
HypotheticalA | $ 1,000.00 | $ 1,018.60 | $ 6.26 |
Class T | |||
Actual | $ 1,000.00 | $ 1,131.90 | $ 7.93 |
HypotheticalA | $ 1,000.00 | $ 1,017.36 | $ 7.50 |
Class B | |||
Actual | $ 1,000.00 | $ 1,129.20 | $ 10.56 |
HypotheticalA | $ 1,000.00 | $ 1,014.88 | $ 9.99 |
Class C | |||
Actual | $ 1,000.00 | $ 1,129.00 | $ 10.56 |
HypotheticalA | $ 1,000.00 | $ 1,014.88 | $ 9.99 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,135.30 | $ 5.24 |
HypotheticalA | $ 1,000.00 | $ 1,019.89 | $ 4.96 |
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 | .99% |
Semiannual Report
Investment Changes
Top Ten Stocks as of April 30, 2007 | ||
% of fund's | % of fund's net assets | |
Baxter International, Inc. | 1.4 | 2.0 |
Xerox Corp. | 1.3 | 1.5 |
Owens-Illinois, Inc. | 1.2 | 0.9 |
Tyco International Ltd. | 1.1 | 1.3 |
Avon Products, Inc. | 1.1 | 1.1 |
AT&T, Inc. | 1.0 | 0.5 |
National Oilwell Varco, Inc. | 1.0 | 0.7 |
The Brink's Co. | 0.9 | 0.6 |
Agilent Technologies, Inc. | 0.9 | 1.0 |
The Stanley Works | 0.9 | 0.7 |
10.8 | ||
Top Five Market Sectors as of April 30, 2007 | ||
% of fund's | % of fund's net assets | |
Consumer Discretionary | 18.4 | 18.6 |
Information Technology | 17.3 | 19.4 |
Financials | 14.8 | 14.1 |
Energy | 9.4 | 6.8 |
Industrials | 9.2 | 8.1 |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2007 * | As of October 31, 2006 ** | ||||||
![]() | Stocks 96.3% | ![]() | Stocks 96.3% | ||||
![]() | Bonds 0.0% | ![]() | Bonds 0.1% | ||||
![]() | Convertible | ![]() | Convertible | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 9.4% | ** Foreign investments | 10.2% |
Semiannual Report
Investments April 30, 2007 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 96.2% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 18.3% | |||
Auto Components - 0.2% | |||
Gentex Corp. | 18,151 | $ 323,088 | |
Automobiles - 1.1% | |||
Monaco Coach Corp. | 5,500 | 84,315 | |
Nissan Motor Co. Ltd. | 22,702 | 228,836 | |
Renault SA | 7,555 | 986,830 | |
Winnebago Industries, Inc. (d) | 19,102 | 612,410 | |
1,912,391 | |||
Diversified Consumer Services - 0.4% | |||
Apollo Group, Inc. Class A (non-vtg.) (a) | 800 | 37,840 | |
H&R Block, Inc. | 20,400 | 461,244 | |
Service Corp. International | 14,100 | 171,315 | |
670,399 | |||
Hotels, Restaurants & Leisure - 3.2% | |||
Aristocrat Leisure Ltd. | 17,047 | 235,001 | |
Brinker International, Inc. | 28,630 | 890,393 | |
Carnival Corp. unit | 23,500 | 1,148,915 | |
Gaylord Entertainment Co. (a) | 6,900 | 378,120 | |
OSI Restaurant Partners, Inc. | 17,950 | 714,590 | |
Rare Hospitality International, Inc. (a) | 12,696 | 369,708 | |
Royal Caribbean Cruises Ltd. | 34,360 | 1,428,345 | |
WMS Industries, Inc. (a) | 12,000 | 478,320 | |
5,643,392 | |||
Household Durables - 3.4% | |||
Beazer Homes USA, Inc. | 1,300 | 43,394 | |
Black & Decker Corp. | 9,690 | 879,077 | |
Ethan Allen Interiors, Inc. | 16,400 | 578,920 | |
Jarden Corp. (a) | 12,300 | 518,322 | |
La-Z-Boy, Inc. | 12,800 | 149,632 | |
Leggett & Platt, Inc. | 42,600 | 1,001,952 | |
Sealy Corp., Inc. (d) | 24,700 | 421,135 | |
The Stanley Works (d) | 25,760 | 1,501,293 | |
Whirlpool Corp. | 8,700 | 922,461 | |
6,016,186 | |||
Leisure Equipment & Products - 1.6% | |||
Brunswick Corp. | 40,930 | 1,340,867 | |
Eastman Kodak Co. (d) | 57,520 | 1,432,823 | |
Polaris Industries, Inc. (d) | 2,700 | 136,431 | |
2,910,121 | |||
Common Stocks - continued | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - continued | |||
Media - 3.1% | |||
Cinemark Holdings, Inc. | 4,300 | $ 81,270 | |
E.W. Scripps Co. Class A | 9,840 | 426,072 | |
Gannett Co., Inc. | 18,700 | 1,067,022 | |
Getty Images, Inc. (a) | 19,347 | 1,006,044 | |
Live Nation, Inc. (a) | 14,262 | 289,376 | |
Martha Stewart Living Omnimedia, Inc. Class A (d) | 3,230 | 61,402 | |
Omnicom Group, Inc. | 5,400 | 565,434 | |
R.H. Donnelley Corp. | 13,800 | 1,077,642 | |
Regal Entertainment Group Class A | 19,900 | 432,825 | |
The New York Times Co. Class A | 13,600 | 318,240 | |
Valassis Communications, Inc. (a) | 12,220 | 234,135 | |
5,559,462 | |||
Multiline Retail - 0.9% | |||
Family Dollar Stores, Inc. | 31,900 | 1,015,696 | |
Retail Ventures, Inc. (a) | 9,359 | 190,736 | |
Sears Holdings Corp. (a) | 1,300 | 248,183 | |
Tuesday Morning Corp. | 8,020 | 111,959 | |
1,566,574 | |||
Specialty Retail - 3.7% | |||
AnnTaylor Stores Corp. (a) | 2,100 | 80,808 | |
AutoNation, Inc. (a) | 6,402 | 130,857 | |
AutoZone, Inc. (a) | 1,700 | 226,168 | |
Best Buy Co., Inc. | 6,000 | 279,900 | |
Coldwater Creek, Inc. (a) | 4,900 | 101,430 | |
Gap, Inc. | 49,400 | 886,730 | |
Group 1 Automotive, Inc. | 8,253 | 338,373 | |
Hot Topic, Inc. (a) | 13,000 | 146,770 | |
OfficeMax, Inc. | 22,400 | 1,102,528 | |
PETsMART, Inc. | 30,600 | 1,015,614 | |
RadioShack Corp. | 7,200 | 209,304 | |
Select Comfort Corp. (a)(d) | 14,848 | 275,282 | |
Tiffany & Co., Inc. | 21,800 | 1,039,642 | |
Williams-Sonoma, Inc. | 23,500 | 827,670 | |
6,661,076 | |||
Textiles, Apparel & Luxury Goods - 0.7% | |||
Liz Claiborne, Inc. | 30,140 | 1,347,861 | |
TOTAL CONSUMER DISCRETIONARY | 32,610,550 | ||
Common Stocks - continued | |||
Shares | Value | ||
CONSUMER STAPLES - 4.8% | |||
Beverages - 0.5% | |||
Cott Corp. (a) | 29,400 | $ 475,475 | |
SABMiller PLC | 13,900 | 330,729 | |
806,204 | |||
Food & Staples Retailing - 1.0% | |||
Kroger Co. | 6,100 | 180,011 | |
Rite Aid Corp. (d) | 39,500 | 242,530 | |
Safeway, Inc. | 7,820 | 283,866 | |
Sysco Corp. | 28,100 | 919,994 | |
Winn-Dixie Stores, Inc. (a)(d) | 9,757 | 169,284 | |
1,795,685 | |||
Food Products - 1.1% | |||
Bunge Ltd. | 6,600 | 500,016 | |
Chiquita Brands International, Inc. (d) | 9,373 | 139,002 | |
Corn Products International, Inc. | 10,200 | 406,164 | |
Leroy Seafood Group ASA | 5,000 | 106,735 | |
Marine Harvest ASA (a) | 96,000 | 103,918 | |
Tyson Foods, Inc. Class A | 37,200 | 779,712 | |
2,035,547 | |||
Household Products - 0.6% | |||
Central Garden & Pet Co. | 8,000 | 118,480 | |
Central Garden & Pet Co. Class A (non-vtg.) (a) | 6,863 | 98,278 | |
Colgate-Palmolive Co. | 12,900 | 873,846 | |
1,090,604 | |||
Personal Products - 1.1% | |||
Avon Products, Inc. | 48,500 | 1,930,300 | |
Prestige Brands Holdings, Inc. (a) | 3,175 | 41,307 | |
1,971,607 | |||
Tobacco - 0.5% | |||
Altria Group, Inc. | 9,900 | 682,308 | |
British American Tobacco PLC | 6,630 | 206,392 | |
888,700 | |||
TOTAL CONSUMER STAPLES | 8,588,347 | ||
ENERGY - 9.4% | |||
Energy Equipment & Services - 5.9% | |||
Baker Hughes, Inc. | 7,500 | 602,925 | |
Cameron International Corp. (a) | 14,700 | 949,179 | |
ENSCO International, Inc. | 7,970 | 449,349 | |
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Energy Equipment & Services - continued | |||
FMC Technologies, Inc. (a) | 14,630 | $ 1,036,974 | |
GlobalSantaFe Corp. | 7,700 | 492,261 | |
Halliburton Co. | 20,300 | 644,931 | |
Hanover Compressor Co. (a) | 20,600 | 445,578 | |
Hornbeck Offshore Services, Inc. (a) | 1,200 | 37,956 | |
Key Energy Services, Inc. (a) | 27,150 | 506,348 | |
National Oilwell Varco, Inc. (a) | 20,680 | 1,754,698 | |
Noble Corp. | 5,890 | 495,997 | |
Pride International, Inc. (a) | 5,890 | 193,251 | |
Smith International, Inc. | 24,700 | 1,295,268 | |
Superior Energy Services, Inc. (a) | 10,500 | 381,465 | |
Transocean, Inc. (a) | 6,630 | 571,506 | |
Weatherford International Ltd. (a) | 14,520 | 762,155 | |
10,619,841 | |||
Oil, Gas & Consumable Fuels - 3.5% | |||
Arch Coal, Inc. | 17,730 | 639,521 | |
Cabot Oil & Gas Corp. | 17,600 | 640,992 | |
Cheniere Energy Partners LP | 3,500 | 73,955 | |
EOG Resources, Inc. | 6,900 | 506,736 | |
EXCO Resources, Inc. | 11,200 | 188,048 | |
Foundation Coal Holdings, Inc. | 19,600 | 772,044 | |
Noble Energy, Inc. | 4,800 | 282,288 | |
Petroplus Holdings AG | 1,991 | 164,838 | |
Suncor Energy, Inc. | 7,000 | 561,627 | |
Ultra Petroleum Corp. (a) | 10,400 | 589,888 | |
Valero Energy Corp. | 21,080 | 1,480,448 | |
Williams Companies, Inc. | 9,200 | 271,400 | |
6,171,785 | |||
TOTAL ENERGY | 16,791,626 | ||
FINANCIALS - 14.7% | |||
Capital Markets - 0.8% | |||
Ares Capital Corp. | 10,500 | 188,580 | |
Janus Capital Group, Inc. | 2,500 | 62,550 | |
Legg Mason, Inc. | 1,600 | 158,704 | |
Merrill Lynch & Co., Inc. | 5,500 | 496,265 | |
State Street Corp. | 3,200 | 220,384 | |
TD Ameritrade Holding Corp. (d) | 17,852 | 304,377 | |
1,430,860 | |||
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Commercial Banks - 1.7% | |||
Appalachian Bancshares, Inc. (a) | 500 | $ 9,575 | |
Boston Private Financial Holdings, Inc. | 6,105 | 169,780 | |
Colonial Bancgroup, Inc. | 4,000 | 96,240 | |
Commerce Bancorp, Inc. | 14,300 | 478,192 | |
Popular, Inc. (d) | 7,200 | 121,032 | |
UCBH Holdings, Inc. | 15,334 | 275,399 | |
UnionBanCal Corp. | 8,246 | 506,964 | |
Wachovia Corp. | 16,750 | 930,295 | |
Zions Bancorp | 6,400 | 523,520 | |
3,110,997 | |||
Consumer Finance - 0.8% | |||
Advance America Cash Advance Centers, Inc. | 3,300 | 56,562 | |
Capital One Financial Corp. | 14,800 | 1,099,048 | |
Cash America International, Inc. | 5,718 | 246,789 | |
1,402,399 | |||
Diversified Financial Services - 0.8% | |||
Bank of America Corp. | 17,968 | 914,571 | |
JPMorgan Chase & Co. | 8,800 | 458,480 | |
1,373,051 | |||
Insurance - 3.5% | |||
AFLAC, Inc. | 16,050 | 824,007 | |
AMBAC Financial Group, Inc. (d) | 9,860 | 905,148 | |
Genworth Financial, Inc. Class A (non-vtg.) | 6,300 | 229,887 | |
Marsh & McLennan Companies, Inc. | 34,069 | 1,082,031 | |
MBIA, Inc. | 15,690 | 1,091,396 | |
MetLife, Inc. | 5,160 | 339,012 | |
Montpelier Re Holdings Ltd. | 3,400 | 62,084 | |
Prudential Financial, Inc. | 5,500 | 522,500 | |
The Travelers Companies, Inc. | 13,830 | 748,203 | |
Willis Group Holdings Ltd. | 12,400 | 508,648 | |
6,312,916 | |||
Real Estate Investment Trusts - 4.4% | |||
Alexandria Real Estate Equities, Inc. | 3,300 | 349,305 | |
American Financial Realty Trust (SBI) | 15,200 | 161,120 | |
Annaly Capital Management, Inc. | 15,600 | 248,196 | |
BRE Properties, Inc. Class A | 4,500 | 270,180 | |
Developers Diversified Realty Corp. | 8,800 | 572,880 | |
Duke Realty LP | 17,590 | 758,305 | |
Education Realty Trust, Inc. | 7,100 | 101,104 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Real Estate Investment Trusts - continued | |||
Equity Residential (SBI) | 8,200 | $ 380,726 | |
General Growth Properties, Inc. | 20,419 | 1,303,753 | |
GMH Communities Trust | 7,700 | 77,308 | |
Health Care Property Investors, Inc. | 17,900 | 633,481 | |
Highwoods Properties, Inc. (SBI) | 2,400 | 97,872 | |
Kimco Realty Corp. | 11,100 | 533,577 | |
Public Storage, Inc. | 7,200 | 671,904 | |
Simon Property Group, Inc. | 2,500 | 288,200 | |
UDR, Inc. | 15,200 | 456,608 | |
Vornado Realty Trust | 8,420 | 998,865 | |
7,903,384 | |||
Thrifts & Mortgage Finance - 2.7% | |||
BankUnited Financial Corp. Class A | 800 | 17,320 | |
Countrywide Financial Corp. | 19,360 | 717,869 | |
Fannie Mae | 23,440 | 1,381,085 | |
Freddie Mac | 19,970 | 1,293,657 | |
Hudson City Bancorp, Inc. | 34,100 | 454,212 | |
New York Community Bancorp, Inc. (d) | 11,600 | 202,536 | |
People's United Financial, Inc. | 15,160 | 301,836 | |
Radian Group, Inc. | 6,200 | 360,282 | |
4,728,797 | |||
TOTAL FINANCIALS | 26,262,404 | ||
HEALTH CARE - 8.2% | |||
Biotechnology - 0.8% | |||
Amgen, Inc. (a) | 11,620 | 745,307 | |
Cephalon, Inc. (a) | 8,100 | 644,841 | |
Molecular Insight Pharmaceuticals, Inc. (d) | 1,800 | 21,276 | |
1,411,424 | |||
Health Care Equipment & Supplies - 1.9% | |||
Baxter International, Inc. | 45,164 | 2,557,633 | |
Becton, Dickinson & Co. | 8,070 | 635,028 | |
Wright Medical Group, Inc. (a) | 12,200 | 288,164 | |
3,480,825 | |||
Health Care Providers & Services - 3.7% | |||
Brookdale Senior Living, Inc. | 8,000 | 363,280 | |
Community Health Systems, Inc. (a) | 26,010 | 957,168 | |
DaVita, Inc. (a) | 12,100 | 660,781 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Health Care Providers & Services - continued | |||
Health Net, Inc. (a) | 13,600 | $ 735,216 | |
Humana, Inc. (a) | 3,921 | 247,964 | |
McKesson Corp. | 19,400 | 1,141,302 | |
Medco Health Solutions, Inc. (a) | 11,300 | 881,626 | |
Triad Hospitals, Inc. (a) | 7,870 | 418,212 | |
Universal Health Services, Inc. Class B | 18,670 | 1,133,642 | |
6,539,191 | |||
Life Sciences Tools & Services - 0.3% | |||
Charles River Laboratories International, Inc. (a) | 11,200 | 530,432 | |
Pharmaceuticals - 1.5% | |||
Alpharma, Inc. Class A | 27,130 | 659,259 | |
Schering-Plough Corp. | 41,190 | 1,306,959 | |
Teva Pharmaceutical Industries Ltd. sponsored ADR | 17,900 | 685,749 | |
2,651,967 | |||
TOTAL HEALTH CARE | 14,613,839 | ||
INDUSTRIALS - 9.2% | |||
Aerospace & Defense - 0.3% | |||
Honeywell International, Inc. | 8,340 | 451,861 | |
Air Freight & Logistics - 0.6% | |||
United Parcel Service, Inc. Class B | 14,900 | 1,049,407 | |
Airlines - 0.1% | |||
Ryanair Holdings PLC sponsored ADR (a) | 1,020 | 47,603 | |
Southwest Airlines Co. | 10,400 | 149,240 | |
196,843 | |||
Building Products - 0.6% | |||
Masco Corp. | 40,870 | 1,112,073 | |
Commercial Services & Supplies - 2.3% | |||
ACCO Brands Corp. (a) | 3,097 | 73,709 | |
Allied Waste Industries, Inc. | 104,338 | 1,394,999 | |
Cintas Corp. | 21,900 | 820,593 | |
Equifax, Inc. | 6,600 | 262,680 | |
Navigant Consulting, Inc. (a) | 1,300 | 24,934 | |
The Brink's Co. | 24,936 | 1,583,436 | |
4,160,351 | |||
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Construction & Engineering - 0.9% | |||
Fluor Corp. | 13,470 | $ 1,288,001 | |
Washington Group International, Inc. (a) | 3,253 | 217,691 | |
1,505,692 | |||
Industrial Conglomerates - 1.1% | |||
Tyco International Ltd. | 61,550 | 2,008,377 | |
Machinery - 1.8% | |||
Albany International Corp. Class A | 4,050 | 155,115 | |
Briggs & Stratton Corp. (d) | 20,900 | 620,103 | |
Bucyrus International, Inc. Class A | 2,500 | 156,850 | |
Deere & Co. | 9,300 | 1,017,420 | |
Illinois Tool Works, Inc. | 20,600 | 1,056,986 | |
Wabash National Corp. | 10,163 | 158,136 | |
3,164,610 | |||
Road & Rail - 1.3% | |||
Canadian National Railway Co. | 7,110 | 356,237 | |
Con-way, Inc. | 12,000 | 655,560 | |
CSX Corp. | 1,700 | 73,389 | |
Laidlaw International, Inc. | 35,725 | 1,223,581 | |
Ryder System, Inc. | 800 | 42,112 | |
2,350,879 | |||
Trading Companies & Distributors - 0.0% | |||
Williams Scotsman International, Inc. (a) | 2,200 | 48,466 | |
Transportation Infrastructure - 0.2% | |||
Macquarie Infrastructure Co. Trust | 8,227 | 350,306 | |
TOTAL INDUSTRIALS | 16,398,865 | ||
INFORMATION TECHNOLOGY - 17.3% | |||
Communications Equipment - 1.9% | |||
Alcatel-Lucent SA sponsored ADR | 65,710 | 870,658 | |
Andrew Corp. (a) | 24,000 | 262,080 | |
Avocent Corp. (a) | 10,776 | 301,836 | |
Dycom Industries, Inc. (a) | 20,330 | 526,750 | |
Motorola, Inc. | 47,650 | 825,775 | |
Nortel Networks Corp. (a) | 18,270 | 416,791 | |
Powerwave Technologies, Inc. (a)(d) | 27,275 | 169,923 | |
3,373,813 | |||
Computers & Peripherals - 2.6% | |||
Diebold, Inc. | 5,400 | 257,418 | |
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Computers & Peripherals - continued | |||
EMC Corp. (a) | 1,700 | $ 25,806 | |
Imation Corp. | 5,374 | 198,354 | |
Intermec, Inc. (a)(d) | 47,103 | 1,051,810 | |
NCR Corp. (a) | 9,200 | 463,680 | |
Network Appliance, Inc. (a) | 9,700 | 360,937 | |
QLogic Corp. (a) | 17,125 | 306,195 | |
SanDisk Corp. (a) | 8,000 | 347,600 | |
Seagate Technology | 52,860 | 1,170,849 | |
Sun Microsystems, Inc. (a) | 41,400 | 216,108 | |
Western Digital Corp. (a) | 9,950 | 175,916 | |
4,574,673 | |||
Electronic Equipment & Instruments - 4.6% | |||
Agilent Technologies, Inc. (a) | 45,600 | 1,567,272 | |
Arrow Electronics, Inc. (a) | 23,680 | 935,834 | |
Avnet, Inc. (a) | 36,420 | 1,489,578 | |
CDW Corp. | 10,300 | 741,703 | |
Flextronics International Ltd. (a) | 130,870 | 1,459,201 | |
Ingram Micro, Inc. Class A (a) | 18,400 | 361,008 | |
Itron, Inc. (a) | 800 | 53,872 | |
Jabil Circuit, Inc. | 27,700 | 645,410 | |
Molex, Inc. | 27,700 | 827,676 | |
Solectron Corp. (a) | 14,790 | 49,547 | |
8,131,101 | |||
Internet Software & Services - 1.0% | |||
Open Text Corp. (a) | 1,900 | 43,499 | |
ValueClick, Inc. (a) | 13,900 | 397,540 | |
VeriSign, Inc. (a) | 15,602 | 426,715 | |
Yahoo!, Inc. (a) | 35,900 | 1,006,636 | |
1,874,390 | |||
IT Services - 0.6% | |||
Hewitt Associates, Inc. Class A (a) | 6,700 | 199,325 | |
Satyam Computer Services Ltd. sponsored ADR | 13,100 | 325,928 | |
The Western Union Co. | 11,400 | 239,970 | |
Unisys Corp. (a) | 42,870 | 336,101 | |
1,101,324 | |||
Office Electronics - 1.3% | |||
Xerox Corp. (a) | 125,270 | 2,317,495 | |
Semiconductors & Semiconductor Equipment - 4.5% | |||
Advanced Micro Devices, Inc. (a) | 44,100 | 609,462 | |
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Semiconductors & Semiconductor Equipment - continued | |||
Amkor Technology, Inc. (a) | 8,300 | $ 116,117 | |
Applied Materials, Inc. | 42,900 | 824,538 | |
ASML Holding NV (NY Shares) (a) | 37,100 | 1,010,975 | |
Atmel Corp. (a) | 37,400 | 198,968 | |
Fairchild Semiconductor International, Inc. (a) | 67,390 | 1,186,064 | |
Integrated Device Technology, Inc. (a) | 30,000 | 449,400 | |
Intersil Corp. Class A | 31,800 | 947,322 | |
LSI Logic Corp. (a) | 27,300 | 232,050 | |
Maxim Integrated Products, Inc. | 13,100 | 415,532 | |
MKS Instruments, Inc. (a) | 13,352 | 359,836 | |
National Semiconductor Corp. | 56,500 | 1,485,950 | |
Standard Microsystems Corp. (a) | 5,850 | 187,551 | |
8,023,765 | |||
Software - 0.8% | |||
Fair, Isaac & Co., Inc. | 12,479 | 445,625 | |
Parametric Technology Corp. (a) | 10,400 | 184,808 | |
Quest Software, Inc. (a) | 14,600 | 248,346 | |
Symantec Corp. (a) | 35,299 | 621,262 | |
1,500,041 | |||
TOTAL INFORMATION TECHNOLOGY | 30,896,602 | ||
MATERIALS - 4.1% | |||
Chemicals - 1.8% | |||
Akzo Nobel NV | 1,700 | 135,320 | |
Arkema sponsored ADR (a) | 1,500 | 89,925 | |
Celanese Corp. Class A | 17,875 | 592,914 | |
Chemtura Corp. | 87,404 | 964,066 | |
Cytec Industries, Inc. | 14,300 | 785,070 | |
Georgia Gulf Corp. | 3,300 | 52,701 | |
H.B. Fuller Co. | 12,100 | 309,397 | |
Lubrizol Corp. | 4,900 | 293,706 | |
OMNOVA Solutions, Inc. (a) | 4,392 | 23,102 | |
3,246,201 | |||
Containers & Packaging - 1.2% | |||
Owens-Illinois, Inc. | 72,781 | 2,189,980 | |
Metals & Mining - 1.1% | |||
Alcan, Inc. | 11,350 | 668,279 | |
Alcoa, Inc. | 19,470 | 690,990 | |
Compass Minerals International, Inc. | 9,047 | 310,674 | |
Common Stocks - continued | |||
Shares | Value | ||
MATERIALS - continued | |||
Metals & Mining - continued | |||
Magma OJSC sponsored GDR (a)(e) | 5,400 | $ 68,310 | |
Titanium Metals Corp. | 4,000 | 138,120 | |
1,876,373 | |||
TOTAL MATERIALS | 7,312,554 | ||
TELECOMMUNICATION SERVICES - 2.9% | |||
Diversified Telecommunication Services - 1.8% | |||
AT&T, Inc. | 47,000 | 1,819,840 | |
CenturyTel, Inc. | 160 | 7,368 | |
Citizens Communications Co. | 13,330 | 207,548 | |
FairPoint Communications, Inc. | 3,300 | 61,908 | |
NTELOS Holding Corp. | 6,540 | 131,716 | |
Telenor ASA sponsored ADR | 6,100 | 343,247 | |
Verizon Communications, Inc. | 17,240 | 658,223 | |
3,229,850 | |||
Wireless Telecommunication Services - 1.1% | |||
ALLTEL Corp. | 5,600 | 351,064 | |
Crown Castle International Corp. (a) | 6,200 | 212,908 | |
Dobson Communications Corp. Class A | 35,700 | 325,227 | |
MTN Group Ltd. | 9,100 | 134,046 | |
Sprint Nextel Corp. | 47,200 | 945,416 | |
1,968,661 | |||
TOTAL TELECOMMUNICATION SERVICES | 5,198,511 | ||
UTILITIES - 7.3% | |||
Electric Utilities - 4.0% | |||
Allegheny Energy, Inc. (a) | 16,000 | 855,360 | |
American Electric Power Co., Inc. | 18,400 | 924,048 | |
DPL, Inc. | 22,600 | 708,510 | |
Edison International | 16,960 | 887,856 | |
Entergy Corp. | 11,470 | 1,297,716 | |
FirstEnergy Corp. | 13,500 | 923,940 | |
FPL Group, Inc. | 10,400 | 669,448 | |
PPL Corp. | 16,320 | 711,715 | |
Reliant Energy, Inc. (a) | 5,500 | 122,485 | |
7,101,078 | |||
Common Stocks - continued | |||
Shares | Value | ||
UTILITIES - continued | |||
Gas Utilities - 0.7% | |||
Energen Corp. | 9,575 | $ 536,679 | |
Equitable Resources, Inc. | 13,401 | 696,986 | |
1,233,665 | |||
Independent Power Producers & Energy Traders - 1.9% | |||
AES Corp. (a) | 20,230 | 444,858 | |
Constellation Energy Group, Inc. | 11,700 | 1,042,704 | |
NRG Energy, Inc. (d) | 11,300 | 892,248 | |
TXU Corp. | 16,780 | 1,100,432 | |
3,480,242 | |||
Multi-Utilities - 0.7% | |||
CMS Energy Corp. | 17,100 | 316,692 | |
Public Service Enterprise Group, Inc. | 10,900 | 942,305 | |
1,258,997 | |||
TOTAL UTILITIES | 13,073,982 | ||
TOTAL COMMON STOCKS (Cost $145,406,118) | 171,747,280 | ||
Preferred Stocks - 0.2% | |||
Convertible Preferred Stocks - 0.1% | |||
MATERIALS - 0.1% | |||
Containers & Packaging - 0.1% | |||
Owens-Illinois, Inc. 4.75% | 5,170 | 204,215 | |
Nonconvertible Preferred Stocks - 0.1% | |||
FINANCIALS - 0.1% | |||
Thrifts & Mortgage Finance - 0.1% | |||
Fannie Mae 7.00% | 1,300 | 68,900 | |
TOTAL PREFERRED STOCKS (Cost $260,117) | 273,115 |
Corporate Bonds - 0.1% | ||||
Principal Amount | Value | |||
Convertible Bonds - 0.1% | ||||
CONSUMER DISCRETIONARY - 0.1% | ||||
Automobiles - 0.1% | ||||
Ford Motor Co. 4.25% 12/15/36 | $ 100,000 | $ 112,370 | ||
Nonconvertible Bonds - 0.0% | ||||
CONSUMER DISCRETIONARY - 0.0% | ||||
Leisure Equipment & Products - 0.0% | ||||
K2, Inc. 7.375% 7/1/14 | 10,000 | 10,500 | ||
HEALTH CARE - 0.0% | ||||
Health Care Providers & Services - 0.0% | ||||
Tenet Healthcare Corp. 6.375% 12/1/11 | 30,000 | 28,125 | ||
INFORMATION TECHNOLOGY - 0.0% | ||||
Electronic Equipment & Instruments - 0.0% | ||||
Celestica, Inc. 7.875% 7/1/11 | 20,000 | 19,550 | ||
TOTAL NONCONVERTIBLE BONDS | 58,175 | |||
TOTAL CORPORATE BONDS (Cost $157,378) | 170,545 |
Money Market Funds - 9.0% | |||
Shares | |||
Fidelity Cash Central Fund, 5.29% (b) | 7,062,473 | 7,062,473 | |
Fidelity Securities Lending Cash Central Fund, 5.31% (b)(c) | 9,048,525 | 9,048,525 | |
TOTAL MONEY MARKET FUNDS (Cost $16,110,998) | 16,110,998 | ||
TOTAL INVESTMENT PORTFOLIO - 105.5% (Cost $161,934,611) | 188,301,938 | ||
NET OTHER ASSETS - (5.5)% | (9,736,438) | ||
NET ASSETS - 100% | $ 178,565,500 |
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 unaudited 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. |
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $68,310 or 0.0% of net assets. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 174,763 |
Fidelity Securities Lending Cash Central Fund | 11,403 |
Total | $ 186,166 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
April 30, 2007 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $8,678,623) - See accompanying schedule: Unaffiliated issuers (cost $145,823,613) | $ 172,190,940 | |
Fidelity Central Funds (cost $16,110,998) | 16,110,998 | |
Total Investments (cost $161,934,611) | $ 188,301,938 | |
Cash | 18,929 | |
Receivable for investments sold | 551,420 | |
Receivable for fund shares sold | 585,956 | |
Dividends receivable | 98,773 | |
Interest receivable | 3,136 | |
Distributions receivable from Fidelity Central Funds | 31,010 | |
Prepaid expenses | 367 | |
Other receivables | 2,897 | |
Total assets | 189,594,426 | |
Liabilities | ||
Payable for investments purchased | $ 1,418,088 | |
Payable for fund shares redeemed | 322,920 | |
Accrued management fee | 81,389 | |
Distribution fees payable | 71,486 | |
Other affiliated payables | 46,981 | |
Other payables and accrued expenses | 39,537 | |
Collateral on securities loaned, at value | 9,048,525 | |
Total liabilities | 11,028,926 | |
Net Assets | $ 178,565,500 | |
Net Assets consist of: | ||
Paid in capital | $ 146,717,439 | |
Accumulated net investment loss | (58,505) | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 5,539,269 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 26,367,297 | |
Net Assets | $ 178,565,500 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
April 30, 2007 (Unaudited) | ||
Calculation of Maximum Offering Price Class A: | $ 16.27 | |
Maximum offering price per share (100/94.25 of $16.27) | $ 17.26 | |
Class T: | $ 16.21 | |
Maximum offering price per share (100/96.50 of $16.21) | $ 16.80 | |
Class B: | $ 16.09 | |
Class C: | $ 16.06 | |
Institutional Class: | $ 16.35 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended April 30, 2007 (Unaudited) | ||
Investment Income | ||
Dividends | $ 900,261 | |
Interest | 3,955 | |
Income from Fidelity Central Funds | 186,166 | |
Total income | 1,090,382 | |
Expenses | ||
Management fee | $ 431,971 | |
Transfer agent fees | 228,292 | |
Distribution fees | 385,993 | |
Accounting and security lending fees | 30,980 | |
Custodian fees and expenses | 35,414 | |
Independent trustees' compensation | 217 | |
Registration fees | 54,802 | |
Audit | 25,506 | |
Legal | 1,022 | |
Miscellaneous | 579 | |
Total expenses before reductions | 1,194,776 | |
Expense reductions | (44,844) | 1,149,932 |
Net investment income (loss) | (59,550) | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 5,705,710 | |
Foreign currency transactions | 213 | |
Total net realized gain (loss) | 5,705,923 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 13,346,078 | |
Assets and liabilities in foreign currencies | (14) | |
Total change in net unrealized appreciation (depreciation) | 13,346,064 | |
Net gain (loss) | 19,051,987 | |
Net increase (decrease) in net assets resulting from operations | $ 18,992,437 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Six months ended April 30, 2007 | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ (59,550) | $ (53,610) |
Net realized gain (loss) | 5,705,923 | 4,077,931 |
Change in net unrealized appreciation (depreciation) | 13,346,064 | 10,142,197 |
Net increase (decrease) in net assets resulting | 18,992,437 | 14,166,518 |
Distributions to shareholders from net realized gain | (3,620,550) | (1,071,267) |
Share transactions - net increase (decrease) | 31,658,963 | 56,605,448 |
Total increase (decrease) in net assets | 47,030,850 | 69,700,699 |
Net Assets | ||
Beginning of period | 131,534,650 | 61,833,951 |
End of period (including accumulated net investment loss of $58,505 and undistributed net investment income of $1,045, respectively) | $ 178,565,500 | $ 131,534,650 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended | Years ended October 31, | |||
(Unaudited) | 2006 | 2005 | 2004 I | |
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ 14.77 | $ 12.72 | $ 11.10 | $ 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) E | .01 | .03 | .01 | (.02) H |
Net realized and unrealized gain (loss) | 1.92 | 2.25 | 1.64 | 1.12 |
Total from investment operations | 1.93 | 2.28 | 1.65 | 1.10 |
Distributions from net realized gain | (.43) | (.23) | (.03) | - |
Net asset value, end of period | $ 16.27 | $ 14.77 | $ 12.72 | $ 11.10 |
Total Return B,C,D | 13.33% | 18.11% | 14.84% | 11.00% |
Ratios to Average Net Assets F,J | ||||
Expenses before reductions | 1.30% A | 1.35% | 1.62% | 4.33% A |
Expenses net of fee waivers, if any | 1.25% A | 1.25% | 1.27% | 1.50% A |
Expenses net of all reductions | 1.24% A | 1.24% | 1.26% | 1.48% A |
Net investment income (loss) | .17% A | .24% | .04% | (.17)% A |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ 67,162 | $ 47,960 | $ 15,657 | $ 2,543 |
Portfolio turnover rate G | 46% A | 35% | 25% | 30% 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 Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Investment income per share reflects a special dividend which amounted to $.01 per share.
I For the period December 23, 2003 (commencement of operations) to October 31, 2004.
J 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended | Years ended October 31, | |||
(Unaudited) | 2006 | 2005 | 2004 I | |
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ 14.70 | $ 12.67 | $ 11.08 | $ 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) E | (.01) | - K | (.03) | (.04) H |
Net realized and unrealized gain (loss) | 1.91 | 2.23 | 1.64 | 1.12 |
Total from investment operations | 1.90 | 2.23 | 1.61 | 1.08 |
Distributions from net realized gain | (.39) | (.20) | (.02) | - |
Net asset value, end of period | $ 16.21 | $ 14.70 | $ 12.67 | $ 11.08 |
Total Return B,C,D | 13.19% | 17.78% | 14.54% | 10.80% |
Ratios to Average Net Assets F,J | ||||
Expenses before reductions | 1.54% A | 1.59% | 1.86% | 4.29% A |
Expenses net of fee waivers, if any | 1.50% A | 1.50% | 1.53% | 1.75% A |
Expenses net of all reductions | 1.49% A | 1.49% | 1.52% | 1.73% A |
Net investment income (loss) | (.08)% A | (.01)% | (.21)% | (.42)%A |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ 55,388 | $ 43,716 | $ 22,938 | $ 5,581 |
Portfolio turnover rate G | 46% A | 35% | 25% | 30% 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 Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Investment income per share reflects a special dividend which amounted to $.01 per share.
I For the period December 23, 2003 (commencement of operations) to October 31, 2004.
J 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
K Amount represents less than $.01 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended | Years ended October 31, | |||
(Unaudited) | 2006 | 2005 | 2004I | |
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ 14.57 | $ 12.57 | $ 11.03 | $ 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) E | (.04) | (.07) | (.09) | (.08)H |
Net realized and unrealized gain (loss) | 1.89 | 2.22 | 1.64 | 1.11 |
Total from investment operations | 1.85 | 2.15 | 1.55 | 1.03 |
Distributions from net realized gain | (.33) | (.15) | (.01) | - |
Net asset value, end of period | $ 16.09 | $ 14.57 | $ 12.57 | $ 11.03 |
Total ReturnB,C,D | 12.92% | 17.21% | 14.01% | 10.30% |
Ratios to Average Net AssetsF,J | ||||
Expenses before reductions | 2.07% A | 2.15% | 2.44% | 5.09% A |
Expenses net of fee waivers, if any | 2.00% A | 2.00% | 2.04% | 2.25% A |
Expenses net of all reductions | 1.99% A | 1.99% | 2.02% | 2.23% A |
Net investment income (loss) | (.57)% A | (.51)% | (.72)% | (.93)% A |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ 16,368 | $ 14,625 | $ 12,084 | $ 3,473 |
Portfolio turnover rate G | 46%A | 35% | 25% | 30%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 Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Investment income per share reflects a special dividend which amounted to $.01 per share.
I For the period December 23, 2003 (commencement of operations) to October 31, 2004.
J 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended | Years ended October 31, | |||
(Unaudited) | 2006 | 2005 | 2004I | |
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ 14.55 | $ 12.57 | $ 11.03 | $ 10.00 |
Income from Investment Operations | ||||
Net investment income (loss)E | (.04) | (.07) | (.09) | (.08)H |
Net realized and unrealized gain (loss) | 1.88 | 2.22 | 1.63 | 1.11 |
Total from investment operations | 1.84 | 2.15 | 1.54 | 1.03 |
Distributions from net realized gain | (.33) | (.17) | - | - |
Net asset value, end of period | $ 16.06 | $ 14.55 | $ 12.57 | $ 11.03 |
Total ReturnB,C,D | 12.90% | 17.22% | 13.96% | 10.30% |
Ratios to Average Net AssetsF,J | ||||
Expenses before reductions | 2.07% A | 2.13% | 2.42% | 5.11% A |
Expenses net of fee waivers, if any | 2.00% A | 2.00% | 2.03% | 2.25% A |
Expenses net of all reductions | 2.00% A | 1.99% | 2.02% | 2.23% A |
Net investment income (loss) | (.58)% A | (.51)% | (.71)% | (.93)% A |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ 26,688 | $ 19,093 | $ 9,007 | $ 2,372 |
Portfolio turnover rateG | 46%A | 35% | 25% | 30% 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 Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Investment income per share reflects a special dividend which amounted to $.01 per share.
I For the period December 23, 2003 (commencement of operations) to October 31, 2004.
J 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended | Years ended October 31, | |||
(Unaudited) | 2006 | 2005 | 2004 H | |
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ 14.85 | $ 12.79 | $ 11.13 | $ 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) D | .03 | .07 | .03 | .01 G |
Net realized and unrealized gain (loss) | 1.93 | 2.25 | 1.66 | 1.12 |
Total from investment operations | 1.96 | 2.32 | 1.69 | 1.13 |
Distributions from net realized gain | (.46) | (.26) | (.03) | - |
Net asset value, end of period | $ 16.35 | $ 14.85 | $ 12.79 | $ 11.13 |
Total ReturnB,C | 13.53% | 18.32% | 15.16% | 11.30% |
Ratios to Average Net AssetsE,I | ||||
Expenses before reductions | .99% A | 1.00% | 1.32% | 4.35% A |
Expenses net of fee waivers, if any | .99% A | 1.00% | 1.05% | 1.25% A |
Expenses net of all reductions | .99% A | .99% | 1.03% | 1.23% A |
Net investment income (loss) | .43% A | .49% | .27% | .07% A |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ 12,959 | $ 6,140 | $ 2,148 | $ 891 |
Portfolio turnover rate F | 46% A | 35% | 25% | 30% 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 Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Investment income per share reflects a special dividend which amounted to $.01 per share.
H For the period December 23, 2003 (commencement of operations) to October 31, 2004.
I 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 fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2007 (Unaudited)
1. Organization.
Fidelity Advisor Value 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.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request. In addition, the financial statements of the Fidelity Central Funds are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
3. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value (NAV) per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. For example, when developments occur between the close of a market and the close of the NYSE that may materially affect the value of some or all of the securities, or when trading in a security is halted, those securities may be fair valued. Factors used in the determination of fair value may include monitoring news to identify significant market or security specific events such as changes in the value of U.S. securities markets, reviewing developments in foreign markets and evaluating the performance of ADRs, futures contracts and exchange-traded funds. Because the Fund's utilization of fair value pricing depends on market activity, the frequency with which fair value pricing is used cannot be predicted and may be utilized to a significant extent. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities.
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.
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.
Semiannual Report
3. Significant Accounting Policies - continued
Foreign Currency - continued
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. 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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. 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. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
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, market discount 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 | $ 28,886,619 | |
Unrealized depreciation | (2,572,448) | |
Net unrealized appreciation (depreciation) | $ 26,314,171 | |
Cost for federal income tax purposes | $ 161,987,767 |
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to
Semiannual Report
4. Operating Policies - continued
Repurchase Agreements - continued
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.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $60,250,373 and $33,903,217, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .30% of the Fund's average net assets and a group fee rate that averaged ..26% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .56% of the Fund's average net assets.
In December 2006, the Board of Trustees approved a new management contract for the Fund. Shareholders will be asked to vote on the new contract on or about May 21, 2008. If approved by the shareholders, the new contract will add a performance adjustment component to the management fee based on the Fund's performance, calculated by reference to the investment performance of the Fund's Institutional Class relative to an appropriate benchmark index.
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,
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan - continued
the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | .00% | .25% | $ 71,157 | $ 9,530 |
Class T | .25% | .25% | 124,830 | 1,614 |
Class B | .75% | .25% | 77,570 | 58,374 |
Class C | .75% | .25% | 112,436 | 42,072 |
$ 385,993 | $ 111,590 |
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, 1.00% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 35,284 |
Class T | 8,240 |
Class B* | 7,872 |
Class C* | 3,416 |
$ 54,812 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
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 | $ 85,404 | .30 |
Class T | 71,657 | .29 |
Class B | 24,752 | .32 |
Class C | 35,822 | .32 |
Institutional Class | 10,657 | .24 |
$ 228,292 |
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.
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 $108 for the period.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $178 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
8. Security Lending - continued
delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in 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. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Net income from lending portfolio securities during the period amounted to $11,403.
9. 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, including commitment fees, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
Expense | Reimbursement | |
Class A | 1.25% | $ 15,667 |
Class T | 1.50% | 11,099 |
Class B | 2.00% | 6,087 |
Class C | 2.00% | 8,159 |
$ 41,012 |
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 $993 for the period. In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $418. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | ||
Class A | $ 379 | |
Institutional Class | 66 | |
$ 445 |
Semiannual Report
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
In September 2006, the Fund's transfer agent, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund. FIIOC has reimbursed the Fund for related audit and legal expenses and, beginning in June 2007, remediated affected shareholders.
The United States Securities and Exchange Commission ("SEC") is conducting an investigation of FMR (covering the years 2002 to 2004) arising from gifts, gratuities and business entertainment provided by certain brokers to certain individuals who were employed on FMR's domestic equity trading desk during that period. FMR is in discussions with the SEC staff regarding the possible resolution of the matter, but as of period-end no final resolution has been reached.
In December 2006, the Independent Trustees completed their own investigation of the matter with the assistance of independent counsel. The Independent Trustees and FMR agree that, despite the absence of proof that the Fidelity mutual funds experienced diminished execution quality as a result of the improper receipt of gifts and business entertainment, the conduct at issue was serious and is worthy of redress. Accordingly, the Independent Trustees have requested and FMR has agreed to pay $42 million to Fidelity mutual funds, plus interest to be determined at the time that payment is made. A method of allocating this payment among the funds has not yet been determined. The total payment to the Fund is not anticipated to have a material impact on the Fund's net assets. In addition, FMR reimbursed related legal expenses which are recorded in the accompanying Statement of Operations as an expense reduction.
On April 19, 2007, the Board of Trustees approved an Agreement and Plan of Reorganization whereby the Fund will reorganize into Fidelity Advisor Series I, effective on or about June 29, 2007. The reorganization will not impact the Fund's investment strategies or FMR's management of the Fund. All legal and other expenses associated with the reorganization will be paid by FMR.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net realized gain | ||
Class A | $ 1,408,419 | $ 340,660 |
Class T | 1,212,214 | 397,148 |
Class B | 331,720 | 153,858 |
Class C | 450,092 | 136,860 |
Institutional Class | 218,105 | 42,741 |
Total | $ 3,620,550 | $ 1,071,267 |
12. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended April 30, 2007 | Year ended | Six months ended April 30, 2007 | Year ended | |
Class A | ||||
Shares sold | 1,353,934 | 2,644,989 | $ 20,780,893 | $ 36,973,471 |
Reinvestment of distributions | 89,257 | 23,516 | 1,318,328 | 315,822 |
Shares redeemed | (562,471) | (652,599) | (8,618,923) | (9,059,106) |
Net increase (decrease) | 880,720 | 2,015,906 | $ 13,480,298 | $ 28,230,187 |
Class T | ||||
Shares sold | 716,980 | 1,852,588 | $ 10,981,176 | $ 25,728,181 |
Reinvestment of distributions | 79,731 | 28,119 | 1,174,441 | 376,797 |
Shares redeemed | (353,666) | (717,416) | (5,433,743) | (9,990,794) |
Net increase (decrease) | 443,045 | 1,163,291 | $ 6,721,874 | $ 16,114,184 |
Class B | ||||
Shares sold | 163,088 | 400,725 | $ 2,479,808 | $ 5,502,291 |
Reinvestment of distributions | 20,325 | 10,801 | 297,767 | 144,088 |
Shares redeemed | (169,826) | (369,052) | (2,575,736) | (5,083,680) |
Net increase (decrease) | 13,587 | 42,474 | $ 201,839 | $ 562,699 |
Class C | ||||
Shares sold | 483,072 | 835,526 | $ 7,410,140 | $ 11,528,790 |
Reinvestment of distributions | 26,702 | 9,282 | 390,645 | 123,634 |
Shares redeemed | (160,412) | (249,048) | (2,443,753) | (3,434,887) |
Net increase (decrease) | 349,362 | 595,760 | $ 5,357,032 | $ 8,217,537 |
Institutional Class | ||||
Shares sold | 476,892 | 331,617 | $ 7,413,000 | $ 4,687,887 |
Reinvestment of distributions | 10,280 | 2,506 | 152,355 | 33,787 |
Shares redeemed | (107,763) | (88,770) | (1,667,435) | (1,240,833) |
Net increase (decrease) | 379,409 | 245,353 | $ 5,897,920 | $ 3,480,841 |
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Value Fund
On December 14, 2006, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve an amended management contract (the Amended Contract) for the fund and to submit the Amended Contract to shareholders for their approval. If approved by shareholders, the Amended Contract will add a performance adjustment component to the management fee that FMR receives from the fund under the fund's existing management contract. The performance adjustment will take effect in the twelfth month after commencement of the performance period and the index used to calculate the fund's performance adjustment will be the Russell Midcap Value Index (the Index). The Amended Contract also will allow the Board to change the fund's performance adjustment index in the future without a shareholder vote, if applicable law permits the Board to do so. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.
In determining whether to approve the Amended Contract for the fund, the Board was 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.
Nature, Extent, and Quality of Services Provided. The Board considered the nature, quality, cost and extent of advisory, administrative, distribution and shareholder services performed by the investment adviser, FMR, and the sub-advisers, and by affiliated companies.
Shareholder and Administrative Services. 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.
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 shareholder services.
Investment Performance. In determining whether to add a performance adjustment component to the fund's management fee, the Board considered the rolling returns of the fund compared to the rolling returns of the Index over the performance period commencing December 31, 203 through October 31, 2006. The Board noted that over the rolling 34-month period ended October 31, 2006, the fund generally underperformed the Index.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
The Board recognized that past performance would have no impact on performance in the future. The Board recognized that, in connection with its annual renewal of the fund's current management contract and sub-advisory agreements at its July 2006 meeting, the Board had reviewed the fund's returns and the returns of the Index over the one-year period ended December 31, 2005, and had stated that the relative investment performance of Institutional Class the fund compared favorably to the Index for the period shown.
The Board also noted that the Amended Contract would give the Board the ability to designate an alternative appropriate index for the fund without the delay and expense of having first to conduct a proxy solicitation, if applicable law would permit the Board to do so.
Based on its review, the Board concluded that the nature, extent, and quality of the services provided to the fund will benefit the fund's shareholders, particularly in light of the Board's view that the fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered that, with the proposed performance adjustment, the fund's management fee will be subject to upward or downward adjustment depending upon whether, and to what extent, the fund's investment performance (based on the performance of Institutional Class of the fund) for the performance period exceeds, or is exceeded by, the record (over the same period) of a Board-approved performance adjustment index. The Board realizes that the performance adjustment will provide FMR with a strong economic incentive to seek to achieve superior performance for the fund's shareholders and help to more closely align the interests of FMR and the fund's shareholders. The Board considered that a performance adjustment based on the performance of Institutional Class of the fund, which has lower expenses than the other classes of the fund, may result in a higher performance adjustment, and therefore a higher management fee, than a performance adjustment based on a class with higher expenses. The Board also considered that, because the addition of the performance adjustment to the calculation of the fund's management fee will be implemented prospectively, the future impact on management fees will depend solely on the fund's future performance relative to the Index.
Nonetheless, the Board considered the management fee that the fund incurred under the current management contract (without the performance adjustment) for the 12-month period ended October 31, 2006, compared to the hypothetical management fee that the fund would have incurred if the Amended Contract (with the performance adjustment) had been in effect during that period.
Semiannual Report
The Board noted that if the Amended Contract had been in effect during the 12-month period ended October 31, 2006, the fund's basic fee would have been reduced by a negative performance adjustment of 5.0 basis points. As a result, the fund's hypothetical management fee would have been 5.0 basis points $0.1 million lower if the Amended Contract had been in effect during that period. The Board also noted that the fund generally underperformed the Index over the rolling 34-month period ended October 31, 2006.
Based on its review, the Board concluded that the fund's proposed management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.
Because the fund's management fee impacts the fund's total expenses - and because the future impact on management fees will depend solely on the fund's future performance relative to the Index - the Board will review the fund's total expenses compared to competitive fund median expenses in connection with its future renewal of the fund's management contract and sub-advisory agreements.
In its review of total expenses, the Board also noted that at previous meetings during the year it received and considered materials relating to its review of total expenses for each Fidelity fund. This information includes 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.
Costs of the Services and Profitability. Because the Board was approving an arrangement under which the management fee that the fund pays FMR will depend solely on the fund's future performance relative to the Index, it did not consider data regarding the impact on Fidelity's costs of services, revenues, or profitability from the new arrangement to be a significant factor in its decision.
In connection with its future renewal of the fund's management contract and sub-advisory agreements, the Board will consider 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.
Economies of Scale. The Board recognized that the fund's Amended Contract, like the current 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.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
In connection with its future renewal of the fund's management contract and sub-advisory agreements, the Board will consider 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.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the Amended Contract is fair and reasonable, and that the Amended Contract should be approved and submitted to shareholders for their approval.
On April 19, 2007, the Board voted to approve the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund in connection with reorganizing the fund from one Trust to another. The Board reached this determination because the contractual terms of and fees payable under the fund's Advisory Contracts are identical to those in the fund's current Advisory Contracts. The Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board considered that it approved the Advisory Contracts for the fund during the past year and that it will again consider renewal of the Advisory Contracts in July 2007. The Board considered that in December 2006, the Board voted to approve an amended management contract (the Amended Contract) for the fund and to submit the Amended Contract to shareholders for their approval. If approved by shareholders, the Amended Contract, among other things, will add a performance adjustment component to the management fee that FMR receives from the fund under the fund's existing management contract.
Because the Board was approving Advisory Contracts with terms identical to the current Advisory Contracts, it did not consider the fund's investment performance, competitiveness of management fee and total expenses, costs of services and profitability, or economies of scale to be significant factors in its decision.
In connection with its future renewal of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent, and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the fund's management fee and total expenses; (iii) the costs of the services and profitability, including 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; and (iv) 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.
Semiannual Report
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be approved, without modification, as part of the process of reorganizing the fund from one Trust to another, with the understanding that the fund will submit an Amended Contract to shareholders on November 14, 2007, following the reorganization.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Research & Analysis Company
(formerly Fidelity Management &
Research (Far East) Inc.)
Fidelity Investments Japan Limited
Fidelity International
Investment Advisors
Fidelity International Investment Advisors (U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Mellon Bank, N.A.
Pittsburgh, PA
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
FAVI-USAN-0607
1.800652.103
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series II's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Advisor Series II
By: | /s/Kimberley Monasterio |
Kimberley Monasterio | |
President and Treasurer | |
Date: | June 21, 2007 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Kimberley Monasterio |
Kimberley Monasterio | |
President and Treasurer | |
Date: | June 21, 2007 |
By: | /s/Joseph B. Hollis |
Joseph B. Hollis | |
Chief Financial Officer | |
Date: | June 21, 2007 |