UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4707
Fidelity Advisor Series II
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Eric D. Roiter, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | December 31 |
Date of reporting period: | June 30, 2007 |
Item 1. Reports to Stockholders
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Strategic Income
Fund - Class A, Class T, Class B
and Class C
Semiannual Report
June 30, 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 http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR 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 holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Stocks are currently on pace to register their fifth-straight year of positive returns, although gains could be trimmed if the U.S. economy continues to slow. 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 (January 1, 2007 to June 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
Investments - continued
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,016.40 | $ 5.05 |
HypotheticalA | $ 1,000.00 | $ 1,019.79 | $ 5.06 |
Class T | |||
Actual | $ 1,000.00 | $ 1,016.40 | $ 5.00 |
HypotheticalA | $ 1,000.00 | $ 1,019.84 | $ 5.01 |
Class B | |||
Actual | $ 1,000.00 | $ 1,012.70 | $ 8.73 |
HypotheticalA | $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Class C | |||
Actual | $ 1,000.00 | $ 1,012.50 | $ 8.98 |
HypotheticalA | $ 1,000.00 | $ 1,015.87 | $ 9.00 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,017.40 | $ 3.90 |
HypotheticalA | $ 1,000.00 | $ 1,020.93 | $ 3.91 |
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 | 1.01% |
Class T | 1.00% |
Class B | 1.75% |
Class C | 1.80% |
Institutional Class | .78% |
Semiannual Report
Investment Changes
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each Fidelity Central Fund.
Top Five Holdings as of June 30, 2007 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 12.1 | 13.2 |
Fannie Mae | 10.3 | 10.8 |
Freddie Mac | 7.3 | 4.3 |
French Republic | 3.0 | 3.7 |
Japan Government | 2.2 | 2.5 |
34.9 | ||
Top Five Market Sectors as of June 30, 2007 | ||
% of fund's | % of fund's net assets | |
Consumer Discretionary | 9.3 | 8.7 |
Financials | 7.2 | 6.0 |
Telecommunication Services | 5.4 | 5.9 |
Information Technology | 4.3 | 4.6 |
Energy | 4.1 | 5.1 |
Quality Diversification (% of fund's net assets) as of June 30, 2007 | |||||||
As of June 30, 2007* | As of December 31, 2006** | ||||||
![]() | U.S.Government | ![]() | U.S.Government | ||||
![]() | AAA,AA,A 13.7% | ![]() | AAA,AA,A 14.1% | ||||
![]() | BBB 5.0% | ![]() | BBB 4.7% | ||||
![]() | BB 15.5% | ![]() | BB 17.7% | ||||
![]() | B 17.7% | ![]() | B 19.2% | ||||
![]() | CCC,CC,C 6.1% | ![]() | CCC,CC,C 4.7% | ||||
![]() | D 0.0% | ![]() | D 0.1% | ||||
![]() | Not Rated 4.0% | ![]() | Not Rated 3.0% | ||||
![]() | Equities 0.6% | ![]() | Equities 0.5% | ||||
![]() | 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 June 30, 2007 | As of December 31, 2006 | ||||||
![]() | Preferred Securities 0.8% | ![]() | Preferred Securities 0.0% | ||||
![]() | Corporate Bonds 30.6% | ![]() | Corporate Bonds 33.9% | ||||
![]() | U.S. Government | ![]() | U.S. Government | ||||
![]() | Foreign Government & Government Agency Obligations 18.9% | ![]() | Foreign Government & Government Agency Obligations 21.9% | ||||
![]() | Floating Rate Loans 10.3% | ![]() | Floating Rate Loans 6.8% | ||||
![]() | Stocks 0.6% | ![]() | Stocks 0.5% | ||||
![]() | Other Investments 1.4% | ![]() | Other Investments 0.9% | ||||
![]() | Short-Term | ![]() | Short-Term |
* Foreign | 28.5% | ** Foreign | 32.7% | ||||
* Swaps | 1.7% | ** Swaps | 0.0% |
A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at advisor.fidelity.com.
Semiannual Report
Investments June 30, 2007 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 30.1% | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Convertible Bonds - 0.2% | ||||
CONSUMER DISCRETIONARY - 0.1% | ||||
Media - 0.1% | ||||
Liberty Media Corp. (Sprint Corp. PCS Series 1) 3.75% 2/15/30 | $ 6,685 | $ 4,153 | ||
INFORMATION TECHNOLOGY - 0.1% | ||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Advanced Micro Devices, Inc. 6% 5/1/15 (g) | 9,390 | 9,038 | ||
ON Semiconductor Corp. 0% 4/15/24 | 450 | 543 | ||
9,581 | ||||
TOTAL CONVERTIBLE BONDS | 13,734 | |||
Nonconvertible Bonds - 29.9% | ||||
CONSUMER DISCRETIONARY - 5.1% | ||||
Auto Components - 0.1% | ||||
Affinia Group, Inc. 9% 11/30/14 | 2,950 | 2,884 | ||
Delco Remy International, Inc.: | ||||
9.375% 4/15/12 (c) | 590 | 596 | ||
11% 5/1/09 (c) | 695 | 716 | ||
Visteon Corp. 7% 3/10/14 | 4,185 | 3,620 | ||
7,816 | ||||
Automobiles - 0.4% | ||||
General Motors Corp.: | ||||
8.375% 7/5/33 | EUR | 1,000 | 1,266 | |
8.375% 7/15/33 | 21,450 | 19,466 | ||
20,732 | ||||
Diversified Consumer Services - 0.1% | ||||
Affinion Group, Inc. 11.5% 10/15/15 | 2,990 | 3,229 | ||
Hotels, Restaurants & Leisure - 1.0% | ||||
Carrols Corp. 9% 1/15/13 | 4,095 | 4,023 | ||
Gaylord Entertainment Co.: | ||||
6.75% 11/15/14 | 3,690 | 3,616 | ||
8% 11/15/13 | 920 | 941 | ||
Landry's Seafood Restaurants, Inc. 7.5% 12/15/14 | 2,935 | 2,847 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Mandalay Resort Group: | ||||
6.375% 12/15/11 | $ 4,220 | $ 4,209 | ||
6.5% 7/31/09 | 1,995 | 2,005 | ||
MGM Mirage, Inc.: | ||||
6% 10/1/09 | 1,050 | 1,038 | ||
6.625% 7/15/15 | 1,595 | 1,463 | ||
6.75% 9/1/12 | 1,310 | 1,269 | ||
6.75% 4/1/13 | 1,020 | 978 | ||
6.875% 4/1/16 | 1,935 | 1,804 | ||
7.5% 6/1/16 | 1,965 | 1,847 | ||
8.5% 9/15/10 | 435 | 458 | ||
Mohegan Tribal Gaming Authority 6.875% 2/15/15 | 2,140 | 2,081 | ||
Scientific Games Corp. 6.25% 12/15/12 | 660 | 632 | ||
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (g) | 1,540 | 1,540 | ||
Six Flags, Inc.: | ||||
9.625% 6/1/14 | 1,095 | 1,013 | ||
9.75% 4/15/13 | 7,360 | 6,918 | ||
Speedway Motorsports, Inc. 6.75% 6/1/13 | 3,495 | 3,425 | ||
Town Sports International Holdings, Inc. 0% 2/1/14 (e) | 3,328 | 3,062 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 2,555 | 2,708 | ||
Vail Resorts, Inc. 6.75% 2/15/14 | 5,060 | 4,934 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
0% 1/15/13 (e) | 1,070 | 819 | ||
9% 1/15/12 | 575 | 592 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/12 (g) | 413 | 432 | ||
Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 735 | 744 | ||
55,398 | ||||
Household Durables - 0.0% | ||||
Urbi, Desarrollos Urbanos, SA de CV 8.5% 4/19/16 (g) | 1,660 | 1,746 | ||
Leisure Equipment & Products - 0.0% | ||||
Riddell Bell Holdings, Inc. 8.375% 10/1/12 | 720 | 709 | ||
Media - 2.7% | ||||
AMC Entertainment, Inc. 11% 2/1/16 | 2,610 | 2,923 | ||
Cablemas SA de CV (Reg. S) 9.375% 11/15/15 | 5,010 | 5,486 | ||
CanWest Media, Inc. 8% 9/15/12 | 860 | 860 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp. 11% 10/1/15 | $ 9,708 | $ 10,059 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.: | ||||
Series B, 10.25% 9/15/10 | 3,850 | 4,033 | ||
10.25% 9/15/10 | 2,720 | 2,836 | ||
CSC Holdings, Inc.: | ||||
7.25% 4/15/12 | 7,060 | 6,866 | ||
7.625% 4/1/11 | 2,580 | 2,561 | ||
7.625% 7/15/18 | 10,760 | 10,222 | ||
7.875% 2/15/18 | 12,905 | 12,357 | ||
EchoStar Communications Corp.: | ||||
6.375% 10/1/11 | 3,705 | 3,640 | ||
6.625% 10/1/14 | 9,095 | 8,731 | ||
7% 10/1/13 | 3,800 | 3,743 | ||
7.125% 2/1/16 | 4,615 | 4,523 | ||
Haights Cross Communications, Inc. 0% 8/15/11 (e) | 1,550 | 1,163 | ||
iesy Repository GmbH 10.375% 2/15/15 (g) | 2,090 | 2,153 | ||
Liberty Media Corp.: | ||||
8.25% 2/1/30 | 5,895 | 5,717 | ||
8.5% 7/15/29 | 13,390 | 13,372 | ||
Livent, Inc. yankee 9.375% 10/15/04 (c) | 300 | 3 | ||
MediMedia USA, Inc. 11.375% 11/15/14 (g) | 850 | 893 | ||
PanAmSat Corp.: | ||||
6.375% 1/15/08 | 490 | 488 | ||
9% 8/15/14 | 2,860 | 2,982 | ||
9% 6/15/16 | 2,240 | 2,358 | ||
Rainbow National LLC & RNS Co. Corp.: | ||||
8.75% 9/1/12 (g) | 3,280 | 3,428 | ||
10.375% 9/1/14 (g) | 14,415 | 15,857 | ||
Sun Media Corp. Canada 7.625% 2/15/13 | 635 | 640 | ||
The Reader's Digest Association, Inc. 9% 2/15/17 (g) | 3,000 | 2,805 | ||
TL Acquisitions, Inc.: | ||||
0% 7/15/15 (e)(g) | 10,390 | 7,805 | ||
10.5% 1/15/15 (g) | 10,480 | 10,166 | ||
Videotron Ltee 6.875% 1/15/14 | 550 | 534 | ||
149,204 | ||||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Multiline Retail - 0.2% | ||||
Dollar General Corp. 10.625% 7/15/15 (g) | $ 13,060 | $ 12,538 | ||
Specialty Retail - 0.4% | ||||
AutoNation, Inc. 7.3556% 4/15/13 (h) | 1,000 | 1,003 | ||
Claire's Stores, Inc. 10.5% 6/1/17 (g) | 2,110 | 1,946 | ||
Michaels Stores, Inc.: | ||||
0% 11/1/16 (e)(g) | 445 | 284 | ||
10% 11/1/14 (g) | 4,990 | 5,152 | ||
11.375% 11/1/16 (g) | 4,820 | 5,025 | ||
Sally Holdings LLC: | ||||
9.25% 11/15/14 (g) | 1,460 | 1,460 | ||
10.5% 11/15/16 (g) | 4,840 | 4,852 | ||
19,722 | ||||
Textiles, Apparel & Luxury Goods - 0.2% | ||||
Levi Strauss & Co.: | ||||
8.875% 4/1/16 | 7,535 | 7,723 | ||
9.75% 1/15/15 | 3,880 | 4,190 | ||
11,913 | ||||
TOTAL CONSUMER DISCRETIONARY | 283,007 | |||
CONSUMER STAPLES - 0.5% | ||||
Beverages - 0.0% | ||||
Cerveceria Nacional Dominicana C por A 16% 3/27/12 (g) | 1,560 | 1,728 | ||
Food & Staples Retailing - 0.1% | ||||
Rite Aid Corp.: | ||||
9.375% 12/15/15 (g) | 2,870 | 2,762 | ||
9.5% 6/15/17 (g) | 4,310 | 4,154 | ||
6,916 | ||||
Food Products - 0.3% | ||||
Bertin Ltda 10.25% 10/5/16 (g) | 1,685 | 1,849 | ||
Gruma SA de CV 7.75% | 5,310 | 5,390 | ||
Hines Nurseries, Inc. 10.25% 10/1/11 | 370 | 297 | ||
Michael Foods, Inc. 8% 11/15/13 | 420 | 422 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 900 | 927 | ||
Reddy Ice Holdings, Inc. 0% 11/1/12 (e) | 3,250 | 3,023 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food Products - continued | ||||
Smithfield Foods, Inc. 7.75% 7/1/17 | $ 2,810 | $ 2,789 | ||
Swift & Co. 10.125% 10/1/09 | 915 | 942 | ||
15,639 | ||||
Household Products - 0.0% | ||||
Central Garden & Pet Co. 9.125% 2/1/13 | 260 | 267 | ||
Personal Products - 0.0% | ||||
Elizabeth Arden, Inc. 7.75% 1/15/14 | 470 | 475 | ||
Tobacco - 0.1% | ||||
BAT Holdings BV 4.375% 9/15/14 | EUR | 1,500 | 1,925 | |
TOTAL CONSUMER STAPLES | 26,950 | |||
ENERGY - 3.3% | ||||
Energy Equipment & Services - 0.4% | ||||
Allis-Chalmers Energy, Inc. 8.5% 3/1/17 | 1,200 | 1,199 | ||
CHC Helicopter Corp. 7.375% 5/1/14 | 3,185 | 3,105 | ||
Complete Production Services, Inc. 8% 12/15/16 (g) | 4,670 | 4,717 | ||
Hanover Compressor Co.: | ||||
7.5% 4/15/13 | 530 | 531 | ||
8.625% 12/15/10 | 490 | 505 | ||
9% 6/1/14 | 4,260 | 4,505 | ||
Ocean Rig Norway AS 8.375% 7/1/13 (g) | 1,020 | 1,061 | ||
Petroliam Nasional BHD (Petronas) 7.625% 10/15/26 (Reg. S) | 2,920 | 3,432 | ||
Seabulk International, Inc. 9.5% 8/15/13 | 3,290 | 3,516 | ||
22,571 | ||||
Oil, Gas & Consumable Fuels - 2.9% | ||||
ANR Pipeline, Inc. 7.375% 2/15/24 | 2,165 | 2,306 | ||
Atlas Pipeline Partners LP 8.125% 12/15/15 | 4,710 | 4,739 | ||
Berry Petroleum Co. 8.25% 11/1/16 | 2,930 | 2,952 | ||
Chaparral Energy, Inc.: | ||||
8.5% 12/1/15 | 2,530 | 2,473 | ||
8.875% 2/1/17 (g) | 2,070 | 2,044 | ||
Chesapeake Energy Corp.: | ||||
6.5% 8/15/17 | 8,855 | 8,390 | ||
6.875% 11/15/20 | 7,280 | 6,971 | ||
7% 8/15/14 | 865 | 860 | ||
7.5% 6/15/14 | 850 | 867 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Chesapeake Energy Corp.: - continued | ||||
7.625% 7/15/13 | $ 8,300 | $ 8,508 | ||
Colorado Interstate Gas Co. 6.8% 11/15/15 | 5,320 | 5,466 | ||
Drummond Co., Inc. 7.375% 2/15/16 (g) | 4,000 | 3,760 | ||
Encore Acquisition Co. 6.25% 4/15/14 | 1,500 | 1,343 | ||
EXCO Resources, Inc. 7.25% 1/15/11 | 570 | 564 | ||
Forest Oil Corp. 8% 12/15/11 | 480 | 492 | ||
Gaz Capital SA (Luxembourg) 6.58% 10/31/13 | GBP | 900 | 1,784 | |
Harvest Operations Corp. 7.875% 10/15/11 | 1,170 | 1,147 | ||
InterNorth, Inc. 9.625% 3/16/06 (c) | 935 | 276 | ||
Mariner Energy, Inc. 8% 5/15/17 | 1,420 | 1,452 | ||
Massey Energy Co. 6.875% 12/15/13 | 6,330 | 5,760 | ||
Northwest Pipeline Corp. 6.625% 12/1/07 | 285 | 285 | ||
OPTI Canada, Inc. 7.875% 12/15/14 (g) | 5,250 | 5,263 | ||
Pan American Energy LLC 7.75% 2/9/12 (g) | 6,265 | 6,296 | ||
Peabody Energy Corp.: | ||||
7.375% 11/1/16 | 5,640 | 5,767 | ||
7.875% 11/1/26 | 5,640 | 5,866 | ||
Pemex Project Funding Master Trust: | ||||
5.5% 2/24/25 (g) | EUR | 750 | 988 | |
6.625% 6/15/35 | 6,020 | 6,110 | ||
Petrohawk Energy Corp. 9.125% 7/15/13 | 6,000 | 6,345 | ||
Petroleos de Venezuela SA 5.25% 4/12/17 | 3,385 | 2,564 | ||
Petrozuata Finance, Inc.: | ||||
7.63% 4/1/09 (g) | 7,420 | 7,291 | ||
8.22% 4/1/17 (g) | 6,748 | 6,579 | ||
Pogo Producing Co.: | ||||
6.875% 10/1/17 | 4,290 | 4,247 | ||
7.875% 5/1/13 | 2,605 | 2,664 | ||
Range Resources Corp. 7.375% 7/15/13 | 2,190 | 2,206 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 7,015 | 7,225 | ||
Southern Star Central Corp. 6.75% 3/1/16 | 1,560 | 1,513 | ||
Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13 (g) | 1,220 | 1,238 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 561 | ||
7.5% 4/1/17 | 7,600 | 8,132 | ||
7.625% 4/1/37 | 1,035 | 1,128 | ||
8.375% 6/15/32 | 1,155 | 1,346 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Transcontinental Gas Pipe Line Corp.: | ||||
7% 8/15/11 | $ 330 | $ 343 | ||
8.875% 7/15/12 | 1,455 | 1,630 | ||
Venoco, Inc. 8.75% 12/15/11 | 1,470 | 1,525 | ||
W&T Offshore, Inc. 8.25% 6/15/14 (g) | 5,300 | 5,221 | ||
YPF SA 10% 11/2/28 | 4,335 | 5,478 | ||
159,965 | ||||
TOTAL ENERGY | 182,536 | |||
FINANCIALS - 6.1% | ||||
Capital Markets - 0.2% | ||||
E*TRADE Financial Corp. 7.375% 9/15/13 | 4,570 | 4,707 | ||
Mizuho Capital Investment Europe 1 Ltd. 5.02% (h) | EUR | 800 | 1,070 | |
Morgan Stanley 4.279% 7/20/12 (h) | EUR | 2,880 | 3,891 | |
9,668 | ||||
Commercial Banks - 1.4% | ||||
Banca Popolare di Bergamo 8.364% (h) | EUR | 1,000 | 1,490 | |
Banca Popolare di Lodi Investor Trust III 6.742% (h) | EUR | 1,300 | 1,839 | |
Banco Nacional de Desenvolvimento Economico e Social 5.84% 6/16/08 (h) | 18,175 | 18,039 | ||
Bank of Tokyo-Mitsubishi Ltd. 3.5% 12/16/15 (h) | EUR | 1,150 | 1,483 | |
BBVA Bancomer SA (Cayman Islands) (Reg. S) 4.799% 5/17/17 (h) | EUR | 1,725 | 2,289 | |
Caja Madrid SA 4.24% 10/17/16 (h) | EUR | 1,500 | 2,030 | |
Credit Agricole SA 4.184% 9/30/08 (h) | EUR | 1,000 | 1,353 | |
Development Bank of Philippines 8.375% (h) | 5,155 | 5,490 | ||
DnB NOR Bank ASA 4.5971% 8/11/09 (h) | CAD | 1,500 | 1,413 | |
Export-Import Bank of India 1.1944% 6/7/12 (h) | JPY | 320,000 | 2,594 | |
HBOS Treasury Services PLC 4.5571% 1/19/10 (h) | CAD | 1,500 | 1,412 | |
JPMorgan Chase Bank 4.375% 11/30/21 (h) | EUR | 1,500 | 1,894 | |
Korea Development Bank (Reg.) 0.87% 6/28/10 | JPY | 600,000 | 4,784 | |
Kyivstar GSM: | ||||
7.75% 4/27/12 (Issued by Dresdner Bank AG for Kyivstar GSM) (g) | 3,260 | 3,309 | ||
10.375% 8/17/09 (Issued by Dresdner Bank AG for Kyivstar GSM) (g) | 7,090 | 7,551 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Santander Finance Preferred SA Unipersonal 7.005% (h) | GBP | 800 | $ 1,597 | |
Santander Issuances SA Unipersonal 5.75% 1/31/18 (h) | GBP | 800 | 1,550 | |
SMFG Finance Ltd. 6.164% (h) | GBP | 600 | 1,136 | |
Standard Chartered Bank: | ||||
3.625% 2/3/17 (f) | EUR | 385 | 491 | |
4.462% 3/28/18 (h) | EUR | 1,250 | 1,693 | |
Sumitomo Mitsui Banking Corp.: | ||||
(Reg. S) 4.375% (h) | EUR | 2,000 | 2,501 | |
1.6413% (h) | JPY | 100,000 | 819 | |
TuranAlem Finance BV 6.25% 9/27/11 | EUR | 1,750 | 2,306 | |
UniCredito Italiano Capital Trust I 4.028% (h) | EUR | 2,750 | 3,341 | |
Vimpel Communications: | ||||
8% 2/11/10 (Issued by UBS Luxembourg SA for Vimpel Communications) | 3,940 | 4,056 | ||
8.25% 5/23/16 (Issued by UBS Luxembourg SA for Vimpel Communications) | 3,170 | 3,309 | ||
79,769 | ||||
Consumer Finance - 1.3% | ||||
ACE Cash Express, Inc. 10.25% 10/1/14 (g) | 1,420 | 1,438 | ||
Ford Credit Europe PLC 5.164% 9/30/09 (h) | EUR | 1,500 | 2,002 | |
Ford Motor Credit Co. LLC 9.875% 8/10/11 | 7,610 | 7,988 | ||
General Motors Acceptance Corp.: | ||||
6.75% 12/1/14 | 9,520 | 9,092 | ||
6.875% 9/15/11 | 5,190 | 5,073 | ||
6.875% 8/28/12 | 6,460 | 6,314 | ||
8% 11/1/31 | 32,045 | 32,686 | ||
HSBC Finance Corp. 4.875% 5/30/17 | EUR | 2,450 | 3,221 | |
SLM Corp.: | ||||
4.295% 6/15/09 (h) | EUR | 550 | 726 | |
4.345% 12/15/10 (h) | EUR | 1,100 | 1,405 | |
69,945 | ||||
Diversified Financial Services - 1.9% | ||||
BA Covered Bond 4.125% 4/5/12 | EUR | 11,350 | 14,946 | |
Caisse d'Amort de la Dette Societe 4.125% 4/25/17 | EUR | 11,500 | 14,833 | |
Canada Housing Trust No.1 4.65% 9/15/09 | CAD | 16,600 | 15,561 | |
CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13 | 4,520 | 4,588 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
CEMEX Finance Europe BV 4.75% 3/5/14 | EUR | 1,250 | $ 1,627 | |
Cerro Negro Finance Ltd.: | ||||
(Reg. S) 7.33% 12/1/09 | 1,845 | 1,817 | ||
7.33% 12/1/09 (g) | 1,788 | 1,761 | ||
CHR Intermediate Holding Corp. 12.61% 6/1/13 pay-in-kind (g)(h) | 1,340 | 1,335 | ||
Citigroup, Inc. 4.25% 2/25/30 (h) | EUR | 1,500 | 1,748 | |
DaimlerChrysler NA Holding Corp. 4.375% 3/16/10 | EUR | 1,350 | 1,802 | |
ExIm Ukraine 7.65% 9/7/11 (Issued by Credit Suisse London Branch for ExIm Ukraine) | 5,305 | 5,405 | ||
Getin Finance PLC 6.036% 5/13/09 (h) | EUR | 650 | 884 | |
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | 2,056 | 2,133 | ||
Hyundai Capital Services, Inc. 1.6% 3/14/08 | JPY | 300,000 | 2,443 | |
IFIL Finanziaria di Partecipazioni SpA 5.375% 6/12/17 | EUR | 1,450 | 1,931 | |
Imperial Tobacco Finance 4.375% 11/22/13 | EUR | 900 | 1,165 | |
KAR Holdings, Inc.: | ||||
8.75% 5/1/14 (g) | 1,990 | 1,950 | ||
10% 5/1/15 (g) | 2,100 | 2,048 | ||
Pakistan International Sukuk Co. Ltd. 7.6% 1/27/10 (h) | 5,110 | 5,219 | ||
Red Arrow International Leasing PLC 8.375% 3/31/12 | RUB | 37,575 | 1,514 | |
ROSBANK (OJSC JSCB) 8% 9/30/09 (Issued by Dali Capital PLC for ROSBANK (OJSC JSCB)) | RUB | 26,200 | 1,034 | |
OAO TMK 8.5% 9/29/09 (Issued by TMK Capital SA for OAO TMK) | 12,400 | 12,710 | ||
TransCapitalInvest Ltd. (Reg. S) 5.381% 6/27/12 | EUR | 1,400 | 1,881 | |
WaMu Covered Bond Program 4.375% 5/19/14 | EUR | 3,900 | 5,141 | |
105,476 | ||||
Insurance - 0.2% | ||||
Amlin PLC 6.5% 12/19/26 (h) | GBP | 1,000 | 1,867 | |
Eureko BV 5.125% (h) | EUR | 1,500 | 1,967 | |
Fukoku Mutual Life Insurance Co. 4.5% 9/28/25 (h) | EUR | 1,200 | 1,503 | |
Muenchener Rueckversicherungs-Gesellschaft AG 5.767% (h) | EUR | 1,800 | 2,393 | |
Novae Group plc 8.375% 4/27/17 (h) | GBP | 450 | 894 | |
Old Mutual plc 4.5% 1/18/17 (h) | EUR | 1,000 | 1,313 | |
Wuerttembergische Lebens AG 5.375% 6/1/26 (h) | EUR | 800 | 1,029 | |
10,966 | ||||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - 0.3% | ||||
BF Saul REIT 7.5% 3/1/14 | $ 3,400 | $ 3,400 | ||
Rouse Co. LP/TRC, Inc. 6.75% 5/1/13 (g) | 6,640 | 6,574 | ||
Senior Housing Properties Trust 7.875% 4/15/15 | 6,211 | 6,428 | ||
16,402 | ||||
Real Estate Management & Development - 0.8% | ||||
American Real Estate Partners/American Real Estate Finance Corp.: | ||||
7.125% 2/15/13 | 3,265 | 3,126 | ||
8.125% 6/1/12 | 2,590 | 2,577 | ||
Inversiones y Representaciones SA 8.5% 2/2/17 (g) | 5,590 | 5,338 | ||
Realogy Corp.: | ||||
10.5% 4/15/14 (g) | 16,525 | 15,781 | ||
11% 4/15/14 pay-in-kind (g) | 11,595 | 10,928 | ||
12.375% 4/15/15 (g) | 5,060 | 4,624 | ||
WT Finance (Aust) Pty Ltd./Westfield Europe Finance PLC/WEA Finance 3.625% 6/27/12 | EUR | 1,250 | 1,584 | |
43,958 | ||||
Thrifts & Mortgage Finance - 0.0% | ||||
China Development Bank 5% 10/15/15 | 175 | 166 | ||
Residential Capital Corp. 6.375% 5/17/13 | GBP | 500 | 939 | |
1,105 | ||||
TOTAL FINANCIALS | 337,289 | |||
HEALTH CARE - 1.0% | ||||
Health Care Equipment & Supplies - 0.0% | ||||
Invacare Corp. 9.75% 2/15/15 (g) | 1,530 | 1,538 | ||
Health Care Providers & Services - 0.9% | ||||
Cardinal Health 409, Inc. 9.5% 4/15/15 pay-in-kind (g) | 5,520 | 5,396 | ||
CRC Health Group, Inc. 10.75% 2/1/16 | 1,880 | 2,059 | ||
Fresenius Medical Care Capital Trust IV 7.875% 6/15/11 | 1,000 | 1,028 | ||
HCA, Inc.: | ||||
9.125% 11/15/14 (g) | 4,310 | 4,536 | ||
9.25% 11/15/16 (g) | 8,660 | 9,223 | ||
9.625% 11/15/16 pay-in-kind (g) | 10,995 | 11,833 | ||
Rural/Metro Corp. 9.875% 3/15/15 | 1,355 | 1,396 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
Skilled Healthcare Group, Inc. 11% 1/15/14 | $ 3,652 | $ 4,054 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 (g) | 310 | 321 | ||
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13 | 3,040 | 3,291 | ||
U.S. Oncology, Inc. 9% 8/15/12 | 1,300 | 1,333 | ||
Vanguard Health Holding Co. II LLC 9% 10/1/14 | 7,390 | 7,279 | ||
51,749 | ||||
Life Sciences Tools & Services - 0.0% | ||||
Bio-Rad Laboratories, Inc. 7.5% 8/15/13 | 1,770 | 1,788 | ||
Pharmaceuticals - 0.1% | ||||
Elan Finance PLC/Elan Finance Corp. 7.75% 11/15/11 | 1,585 | 1,597 | ||
Leiner Health Products, Inc. 11% 6/1/12 | 1,885 | 1,772 | ||
Mylan Laboratories, Inc. 6.375% 8/15/15 | 640 | 653 | ||
4,022 | ||||
TOTAL HEALTH CARE | 59,097 | |||
INDUSTRIALS - 2.0% | ||||
Aerospace & Defense - 0.2% | ||||
Alion Science & Technology Corp. 10.25% 2/1/15 | 800 | 830 | ||
Hawker Beechcraft Acquisition Co. LLC: | ||||
8.5% 4/1/15 (g) | 2,790 | 2,888 | ||
8.875% 4/1/15 pay-in-kind (g) | 2,790 | 2,853 | ||
9.75% 4/1/17 (g) | 2,790 | 2,909 | ||
Hexcel Corp. 6.75% 2/1/15 | 2,350 | 2,268 | ||
Orbimage Holdings, Inc. 14.8669% 7/1/12 (h) | 1,720 | 1,892 | ||
13,640 | ||||
Airlines - 0.1% | ||||
Continental Airlines, Inc. 6.903% 4/19/22 | 820 | 802 | ||
Delta Air Lines, Inc.: | ||||
7.9% 12/15/09 (a) | 16,400 | 1,148 | ||
10% 8/15/08 (a) | 1,255 | 88 | ||
Northwest Airlines Corp. 10% 2/1/09 (a) | 1,895 | 237 | ||
Northwest Airlines Trust 10.23% 6/21/14 | 229 | 234 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
Northwest Airlines, Inc.: | ||||
7.875% 3/15/08 (a) | $ 1,365 | $ 177 | ||
8.875% 6/1/06 (a) | 1,355 | 166 | ||
2,852 | ||||
Building Products - 0.0% | ||||
Compagnie de St. Gobain 4.196% 4/11/12 (h) | EUR | 1,250 | 1,689 | |
Commercial Services & Supplies - 0.5% | ||||
ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13 | 160 | 159 | ||
Allied Security Escrow Corp. 11.375% 7/15/11 | 2,255 | 2,255 | ||
Allied Waste North America, Inc.: | ||||
6.5% 11/15/10 | 830 | 817 | ||
7.125% 5/15/16 | 5,645 | 5,525 | ||
Browning-Ferris Industries, Inc.: | ||||
7.4% 9/15/35 | 3,085 | 2,807 | ||
9.25% 5/1/21 | 680 | 721 | ||
FTI Consulting, Inc.: | ||||
7.625% 6/15/13 | 720 | 727 | ||
7.75% 10/1/16 | 1,390 | 1,423 | ||
Mac-Gray Corp. 7.625% 8/15/15 | 680 | 690 | ||
NCO Group, Inc. 11.875% 11/15/14 (g) | 2,930 | 2,989 | ||
R.H. Donnelley Finance Corp. I 10.875% 12/15/12 (g) | 550 | 587 | ||
West Corp.: | ||||
9.5% 10/15/14 | 5,850 | 5,974 | ||
11% 10/15/16 | 2,875 | 2,990 | ||
27,664 | ||||
Construction & Engineering - 0.0% | ||||
Blount, Inc. 8.875% 8/1/12 | 1,250 | 1,263 | ||
Electrical Equipment - 0.1% | ||||
Coleman Cable, Inc. 9.875% 10/1/12 (g) | 1,040 | 1,092 | ||
General Cable Corp. 7.125% 4/1/17 (g) | 680 | 680 | ||
Polypore International, Inc. 0% 10/1/12 (e) | 1,950 | 1,892 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 900 | 923 | ||
4,587 | ||||
Industrial Conglomerates - 0.0% | ||||
Siemens Financieringsmaatschap NV 6.125% 9/14/66 (h) | GBP | 1,075 | 2,048 | |
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Machinery - 0.3% | ||||
Chart Industries, Inc. 9.125% 10/15/15 | $ 1,160 | $ 1,218 | ||
Cummins, Inc. 7.125% 3/1/28 | 2,250 | 2,239 | ||
Invensys PLC 9.875% 3/15/11 (g) | 56 | 59 | ||
RBS Global, Inc. / Rexnord Corp.: | ||||
8.875% 9/1/16 | 800 | 824 | ||
9.5% 8/1/14 | 4,100 | 4,346 | ||
11.75% 8/1/16 | 4,895 | 5,433 | ||
14,119 | ||||
Marine - 0.2% | ||||
CMA CGM SA (Reg. S) 5.5% 5/16/12 | EUR | 875 | 1,143 | |
H-Lines Finance Holding Corp. 0% 4/1/13 (e) | 1,424 | 1,367 | ||
Navios Maritime Holdings, Inc. 9.5% 12/15/14 (g) | 4,460 | 4,683 | ||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 1,795 | 1,849 | ||
US Shipping Partners LP 13% 8/15/14 | 3,185 | 3,472 | ||
12,514 | ||||
Road & Rail - 0.3% | ||||
Kansas City Southern de Mexico, SA de CV: | ||||
7.375% 6/1/14 (g) | 3,480 | 3,445 | ||
7.625% 12/1/13 (g) | 1,700 | 1,700 | ||
Kansas City Southern Railway Co.: | ||||
7.5% 6/15/09 | 3,165 | 3,165 | ||
9.5% 10/1/08 | 1,350 | 1,404 | ||
TFM SA de CV 9.375% 5/1/12 | 6,450 | 6,885 | ||
16,599 | ||||
Trading Companies & Distributors - 0.3% | ||||
Glencore Finance (Europe) SA: | ||||
5.375% 9/30/11 | EUR | 800 | 1,085 | |
6.5% 2/27/19 | GBP | 600 | 1,152 | |
Neff Corp. 10% 6/1/15 (g) | 1,530 | 1,522 | ||
Penhall International Corp. 12% 8/1/14 (g) | 1,515 | 1,636 | ||
VWR Funding, Inc. 10.25% 7/15/15 (g) | 8,530 | 8,530 | ||
13,925 | ||||
TOTAL INDUSTRIALS | 110,900 | |||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - 3.3% | ||||
Communications Equipment - 0.7% | ||||
Hughes Network Systems LLC / HNS Finance Corp. 9.5% 4/15/14 | $ 6,290 | $ 6,573 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 17,840 | 15,432 | ||
6.5% 1/15/28 | 6,810 | 5,959 | ||
Nortel Networks Corp.: | ||||
9.6056% 7/15/11 (g)(h) | 3,760 | 3,995 | ||
10.125% 7/15/13 (g) | 3,730 | 4,000 | ||
10.75% 7/15/16 (g) | 3,760 | 4,127 | ||
40,086 | ||||
Electronic Equipment & Instruments - 0.1% | ||||
Celestica, Inc. 7.875% 7/1/11 | 2,960 | 2,849 | ||
IT Services - 0.6% | ||||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 10,955 | 10,024 | ||
7.75% 1/15/15 | 4,830 | 4,721 | ||
8.25% 7/1/11 | 535 | 535 | ||
8.625% 4/1/13 | 2,900 | 2,929 | ||
8.75% 7/15/18 | 5,160 | 5,315 | ||
SunGard Data Systems, Inc.: | ||||
9.125% 8/15/13 | 5,280 | 5,392 | ||
10.25% 8/15/15 | 3,620 | 3,810 | ||
32,726 | ||||
Office Electronics - 0.5% | ||||
Xerox Capital Trust I 8% 2/1/27 | 4,585 | 4,654 | ||
Xerox Corp.: | ||||
6.4% 3/15/16 | 8,000 | 8,032 | ||
7.2% 4/1/16 | 3,345 | 3,445 | ||
7.625% 6/15/13 | 12,425 | 12,906 | ||
29,037 | ||||
Semiconductors & Semiconductor Equipment - 1.4% | ||||
Amkor Technology, Inc. 9.25% 6/1/16 | 8,085 | 8,287 | ||
ASML Holding NV 5.75% 6/13/17 | EUR | 2,000 | 2,653 | |
Avago Technologies Finance Ltd.: | ||||
10.86% 6/1/13 (h) | 4,560 | 4,685 | ||
11.875% 12/1/15 | 8,045 | 8,950 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
Freescale Semiconductor, Inc.: | ||||
8.875% 12/15/14 (g) | $ 12,640 | $ 12,119 | ||
9.125% 12/15/14 pay-in-kind (g) | 22,855 | 21,571 | ||
10.125% 12/15/16 (g) | 14,445 | 13,578 | ||
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. 8.61% 12/15/11 (h) | 735 | 671 | ||
New ASAT Finance Ltd. 9.25% 2/1/11 | 2,100 | 1,796 | ||
Viasystems, Inc. 10.5% 1/15/11 | 4,065 | 4,126 | ||
78,436 | ||||
Software - 0.0% | ||||
Open Solutions, Inc. 9.75% 2/1/15 (g) | 870 | 870 | ||
TOTAL INFORMATION TECHNOLOGY | 184,004 | |||
MATERIALS - 2.9% | ||||
Chemicals - 0.7% | ||||
America Rock Salt Co. LLC 9.5% 3/15/14 | 3,940 | 4,009 | ||
Bayer AG: | ||||
4.044% 4/10/10 (h) | EUR | 1,250 | 1,691 | |
5.625% 5/23/18 | GBP | 750 | 1,417 | |
Huntsman LLC 11.625% 10/15/10 | 466 | 500 | ||
JohnsonDiversey Holdings, Inc. 10.67% 5/15/13 | 6,095 | 6,278 | ||
MacDermid, Inc. 9.5% 4/15/17 (g) | 500 | 503 | ||
Momentive Performance Materials, Inc.: | ||||
9.75% 12/1/14 (g) | 4,390 | 4,401 | ||
10.125% 12/1/14 pay-in-kind (g) | 4,655 | 4,643 | ||
11.5% 12/1/16 (g) | 10,895 | 10,977 | ||
Phibro Animal Health Corp. 10% 8/1/13 (g) | 685 | 716 | ||
SABIC Europe BV 4.5% 11/28/13 | EUR | 1,250 | 1,603 | |
Sterling Chemicals, Inc. 10.25% 4/1/15 (g) | 1,600 | 1,656 | ||
38,394 | ||||
Construction Materials - 0.0% | ||||
Imerys 5% 4/18/17 | EUR | 1,450 | 1,898 | |
Containers & Packaging - 0.5% | ||||
AEP Industries, Inc. 7.875% 3/15/13 | 640 | 640 | ||
BWAY Corp. 10% 10/15/10 | 1,175 | 1,218 | ||
Constar International, Inc. 11% 12/1/12 | 2,530 | 2,391 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | $ 355 | $ 339 | ||
7.5% 12/15/96 | 3,685 | 3,095 | ||
8% 4/15/23 | 2,980 | 2,920 | ||
Owens-Brockway Glass Container, Inc.: | ||||
6.75% 12/1/14 | 895 | 868 | ||
7.75% 5/15/11 | 320 | 328 | ||
8.25% 5/15/13 | 3,390 | 3,509 | ||
8.875% 2/15/09 | 1,029 | 1,042 | ||
Tekni-Plex, Inc. 10.875% 8/15/12 | 980 | 1,095 | ||
Vitro SAB de CV: | ||||
8.625% 2/1/12 (g) | 7,760 | 7,876 | ||
9.125% 2/1/17 (g) | 2,210 | 2,262 | ||
27,583 | ||||
Metals & Mining - 1.6% | ||||
Aleris International, Inc. 9% 12/15/14 (g) | 2,790 | 2,818 | ||
CAP SA 7.375% 9/15/36 (g) | 1,730 | 1,722 | ||
Compass Minerals International, Inc.: | ||||
0% 12/15/12 (e) | 1,330 | 1,370 | ||
0% 6/1/13 (e) | 2,260 | 2,249 | ||
Corporacion Nacional del Cobre (Codelco) 6.15% 10/24/36 (g) | 9,190 | 9,111 | ||
CSN Islands VIII Corp. 9.75% 12/16/13 (g) | 5,830 | 6,544 | ||
Evraz Group SA (Reg. S) 8.25% 11/10/15 | 5,200 | 5,317 | ||
Evraz Securities SA 10.875% 8/3/09 | 3,600 | 3,890 | ||
FMG Finance Property Ltd.: | ||||
10% 9/1/13 (g) | 2,285 | 2,516 | ||
10.625% 9/1/16 (g) | 2,285 | 2,688 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
6.875% 2/1/14 | 4,200 | 4,295 | ||
8.25% 4/1/15 | 4,070 | 4,284 | ||
8.375% 4/1/17 | 11,870 | 12,642 | ||
8.5463% 4/1/15 (h) | 6,945 | 7,292 | ||
Gerdau AmeriSteel Corp./GUSAP Partners 10.375% 7/15/11 | 1,335 | 1,402 | ||
Gerdau SA 8.875% (g) | 2,590 | 2,720 | ||
International Steel Group, Inc. 6.5% 4/15/14 | 10,550 | 10,946 | ||
Ispat Inland ULC 9.75% 4/1/14 | 932 | 1,025 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
PNA Intermediate Holding Corp. 12.36% 2/15/13 pay-in-kind (g)(h) | $ 1,680 | $ 1,697 | ||
RathGibson, Inc. 11.25% 2/15/14 | 5,905 | 6,215 | ||
90,743 | ||||
Paper & Forest Products - 0.1% | ||||
Glatfelter 7.125% 5/1/16 | 550 | 547 | ||
NewPage Corp. 11.6063% 5/1/12 (h) | 1,770 | 1,938 | ||
2,485 | ||||
TOTAL MATERIALS | 161,103 | |||
TELECOMMUNICATION SERVICES - 4.6% | ||||
Diversified Telecommunication Services - 3.5% | ||||
British Telecommunications plc 5.25% 6/23/14 | EUR | 1,550 | 2,094 | |
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 3,700 | 3,714 | ||
9% 8/15/31 | 8,370 | 8,621 | ||
Deutsche Telekom International Finance BV 4.5% 10/25/13 | EUR | 750 | 976 | |
Embarq Corp.: | ||||
7.082% 6/1/16 | 1,116 | 1,122 | ||
7.995% 6/1/36 | 16,780 | 17,029 | ||
Eschelon Operating Co. 8.375% 3/15/10 | 2,196 | 2,122 | ||
France Telecom SA 4.375% 2/21/12 | EUR | 550 | 724 | |
Intelsat Ltd.: | ||||
9.25% 6/15/16 | 2,240 | 2,369 | ||
11.25% 6/15/16 | 8,860 | 9,923 | ||
Level 3 Financing, Inc.: | ||||
8.75% 2/15/17 (g) | 8,590 | 8,472 | ||
12.25% 3/15/13 | 9,580 | 10,969 | ||
MobiFon Holdings BV 12.5% 7/31/10 | 7,225 | 7,695 | ||
Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (g) | 5,425 | 5,778 | ||
NTL Cable PLC: | ||||
8.75% 4/15/14 | 6,865 | 7,088 | ||
9.125% 8/15/16 | 3,065 | 3,218 | ||
PT Indosat International Finance Co. BV 7.125% 6/22/12 (g) | 1,845 | 1,859 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Qwest Capital Funding, Inc.: | ||||
7.625% 8/3/21 | $ 370 | $ 348 | ||
7.75% 2/15/31 | 370 | 357 | ||
Qwest Corp.: | ||||
7.5% 10/1/14 | 760 | 777 | ||
7.875% 9/1/11 | 2,980 | 3,107 | ||
8.61% 6/15/13 (h) | 9,470 | 10,370 | ||
8.875% 3/15/12 | 24,535 | 26,436 | ||
Telecom Egypt SAE: | ||||
9.672% 2/4/10 (h) | EGP | 3,565 | 619 | |
10.95% 2/4/10 | EGP | 3,565 | 638 | |
Telefonica de Argentina SA 9.125% 11/7/10 | 2,817 | 2,972 | ||
Telenet Group Holding NV 0% 6/15/14 (e)(g) | 6,992 | 6,590 | ||
U.S. West Capital Funding, Inc.: | ||||
6.5% 11/15/18 | 285 | 257 | ||
6.875% 7/15/28 | 1,855 | 1,621 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 27,138 | 25,510 | ||
7.125% 11/15/43 | 220 | 210 | ||
7.2% 11/10/26 | 875 | 886 | ||
7.25% 9/15/25 | 1,780 | 1,776 | ||
7.25% 10/15/35 | 5,830 | 5,619 | ||
7.5% 6/15/23 | 1,880 | 1,871 | ||
Wind Acquisition Finance SA 10.75% 12/1/15 (g) | 7,315 | 8,412 | ||
192,149 | ||||
Wireless Telecommunication Services - 1.1% | ||||
American Tower Corp. 7.125% 10/15/12 | 10,745 | 10,987 | ||
Centennial Cellular Operating Co./Centennial Communications Corp. 10.125% 6/15/13 | 7,015 | 7,524 | ||
Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 | 6,050 | 6,186 | ||
Digicel Ltd. 9.25% 9/1/12 (g) | 1,880 | 1,976 | ||
MetroPCS Wireless, Inc. 9.25% 11/1/14 (g) | 5,800 | 5,974 | ||
Millicom International Cellular SA 10% 12/1/13 | 8,835 | 9,575 | ||
Mobile Telesystems Finance SA 8.375% 10/14/10 (g) | 6,290 | 6,560 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (g) | $ 3,565 | $ 3,645 | ||
Telecom Personal SA 9.25% 12/22/10 (g) | 8,390 | 8,820 | ||
61,247 | ||||
TOTAL TELECOMMUNICATION SERVICES | 253,396 | |||
UTILITIES - 1.1% | ||||
Electric Utilities - 0.6% | ||||
Abu Dhabi National Energy Co. Pjsc 4.375% 10/28/13 | EUR | 1,250 | 1,619 | |
AES Gener SA 7.5% 3/25/14 | 3,410 | 3,546 | ||
Chivor SA E.S.P. 9.75% 12/30/14 (g) | 3,255 | 3,694 | ||
Compania de Transporte de Energia Electica de Alta Tension Transener SA 8.875% 12/15/16 (g) | 3,385 | 3,368 | ||
Edison Mission Energy: | ||||
7.5% 6/15/13 | 7,300 | 7,227 | ||
7.75% 6/15/16 | 3,710 | 3,678 | ||
National Power Corp. 6.875% 11/2/16 (g) | 1,715 | 1,706 | ||
Reliant Energy, Inc.: | ||||
7.625% 6/15/14 | 4,630 | 4,514 | ||
7.875% 6/15/17 | 3,680 | 3,588 | ||
32,940 | ||||
Gas Utilities - 0.3% | ||||
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | 7,350 | 7,718 | ||
8% 3/1/32 | 4,170 | 4,670 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (g) | 4,135 | 3,964 | ||
16,352 | ||||
Independent Power Producers & Energy Traders - 0.2% | ||||
Enron Corp.: | ||||
Series A, 8.375% 5/23/05 (c) | 2,500 | 725 | ||
6.4% 7/15/06 (c) | 9,815 | 2,895 | ||
6.625% 11/15/05 (c) | 2,200 | 649 | ||
6.725% 11/17/08 (c)(h) | 684 | 205 | ||
6.75% 8/1/09 (c) | 550 | 162 | ||
6.875% 10/15/07 (c) | 1,330 | 392 | ||
6.95% 7/15/28 (c) | 1,204 | 361 | ||
7.125% 5/15/49 (c) | 235 | 69 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
Enron Corp.: - continued | ||||
7.375% 5/15/19 (c) | $ 1,400 | $ 417 | ||
7.875% 6/15/03 (c) | 235 | 69 | ||
9.125% 4/1/03 (c) | 50 | 15 | ||
9.875% 6/5/03 (c) | 4,720 | 1,392 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (g) | 1,108 | 1,130 | ||
8,481 | ||||
Multi-Utilities - 0.0% | ||||
Aquila, Inc. 14.875% 7/1/12 | 1,615 | 2,043 | ||
Utilicorp United, Inc. 9.95% 2/1/11 (h) | 39 | 42 | ||
2,085 | ||||
TOTAL UTILITIES | 59,858 | |||
TOTAL NONCONVERTIBLE BONDS | 1,658,140 | |||
TOTAL CORPORATE BONDS (Cost $1,642,298) | 1,671,874 | |||
U.S. Government and Government Agency Obligations - 20.8% | ||||
U.S. Government Agency Obligations - 8.7% | ||||
Fannie Mae: | ||||
3.25% 1/15/08 | 89,580 | 88,580 | ||
3.25% 2/15/09 | 40 | 39 | ||
4.125% 5/15/10 | 6,500 | 6,316 | ||
4.25% 5/15/09 | 4,940 | 4,859 | ||
4.75% 12/15/10 | 71,058 | 70,057 | ||
4.875% 4/15/09 | 13,935 | 13,856 | ||
5.125% 9/2/08 | 7,695 | 7,681 | ||
5.375% 6/12/17 | 21,150 | 20,983 | ||
6% 5/15/11 | 6,400 | 6,568 | ||
6.375% 6/15/09 | 1,650 | 1,686 | ||
6.625% 9/15/09 | 12,448 | 12,814 | ||
7.25% 1/15/10 | 17,761 | 18,615 | ||
Federal Home Loan Bank: | ||||
4.5% 10/14/08 | 5,975 | 5,919 | ||
5.8% 9/2/08 | 1,680 | 1,690 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
U.S. Government Agency Obligations - continued | ||||
Freddie Mac: | ||||
3.625% 9/15/08 | $ 49,805 | $ 48,858 | ||
4% 8/17/07 | 521 | 520 | ||
4.125% 10/18/10 | 67,500 | 65,324 | ||
4.75% 3/5/09 | 49,987 | 49,612 | ||
4.875% 2/17/09 | 2,851 | 2,835 | ||
5.125% 4/18/08 | 14,000 | 13,976 | ||
5.125% 4/18/11 | 2,380 | 2,371 | ||
5.625% 3/15/11 | 15,000 | 15,200 | ||
5.75% 3/15/09 | 15,000 | 15,125 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23 | 4,750 | 4,712 | ||
Private Export Funding Corp.: | ||||
secured 5.685% 5/15/12 | 1,285 | 1,307 | ||
4.974% 8/15/13 | 1,515 | 1,488 | ||
Small Business Administration guaranteed development participation certificates Series 2003 P10B, 5.136% 8/10/13 | 1,128 | 1,107 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 482,098 | |||
U.S. Treasury Inflation Protected Obligations - 0.7% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
1.875% 7/15/13 | 17,417 | 16,700 | ||
2.375% 4/15/11 | 13,170 | 13,022 | ||
2.5% 7/15/16 | 7,674 | 7,591 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 37,313 | |||
U.S. Treasury Obligations - 11.4% | ||||
U.S. Treasury Bonds: | ||||
6.125% 8/15/29 | 100,150 | 112,340 | ||
6.25% 8/15/23 | 61,500 | 68,289 | ||
U.S. Treasury Notes: | ||||
4.25% 8/15/14 | 67,500 | 64,568 | ||
4.5% 11/15/15 | 30,500 | 29,418 | ||
4.625% 11/15/16 | 55,100 | 53,400 | ||
4.75% 2/28/09 | 63,000 | 62,808 | ||
4.75% 5/31/12 (m) | 167,602 | 166,293 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
4.875% 4/30/08 | $ 61,537 | $ 61,455 | ||
5.125% 5/15/16 | 17,000 | 17,096 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 635,667 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,171,241) | 1,155,078 | |||
U.S. Government Agency - Mortgage Securities - 7.0% | ||||
Fannie Mae - 4.8% | ||||
3.585% 9/1/33 (h) | 814 | 800 | ||
3.72% 6/1/33 (h) | 2,502 | 2,497 | ||
3.75% 4/1/34 (h) | 2,593 | 2,549 | ||
3.783% 6/1/33 (h) | 2,981 | 2,987 | ||
3.902% 5/1/34 (h) | 1,365 | 1,345 | ||
3.91% 5/1/33 (h) | 904 | 909 | ||
3.918% 9/1/33 (h) | 2,460 | 2,439 | ||
3.944% 5/1/34 (h) | 1,052 | 1,037 | ||
3.962% 9/1/33 (h) | 1,882 | 1,862 | ||
3.998% 4/1/34 (h) | 2,399 | 2,366 | ||
4% 9/1/13 to 5/1/20 | 5,040 | 4,710 | ||
4.003% 8/1/33 (h) | 1,155 | 1,141 | ||
4.031% 3/1/34 (h) | 4,503 | 4,445 | ||
4.036% 6/1/34 (h) | 1,928 | 1,901 | ||
4.068% 3/1/35 (h) | 3,537 | 3,503 | ||
4.12% 4/1/34 (h) | 2,975 | 2,941 | ||
4.126% 5/1/34 (h) | 2,377 | 2,351 | ||
4.188% 11/1/34 (h) | 2,587 | 2,599 | ||
4.205% 6/1/34 (h) | 2,112 | 2,085 | ||
4.288% 6/1/34 (h) | 2,339 | 2,318 | ||
4.355% 10/1/19 (h) | 261 | 258 | ||
4.4% 8/1/34 (h) | 5,380 | 5,403 | ||
4.419% 8/1/34 (h) | 5,588 | 5,529 | ||
4.482% 1/1/35 (h) | 1,240 | 1,223 | ||
4.484% 12/1/34 (h) | 97 | 96 | ||
4.485% 11/1/33 (h) | 304 | 302 | ||
4.5% 5/1/18 to 12/1/18 | 7,695 | 7,333 | ||
4.638% 8/1/35 (h) | 1,308 | 1,302 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Fannie Mae - continued | ||||
4.655% 10/1/34 (h) | $ 733 | $ 726 | ||
4.688% 2/1/35 (h) | 3,630 | 3,590 | ||
4.733% 12/1/35 (h) | 8,706 | 8,652 | ||
4.784% 12/1/35 (h) | 926 | 924 | ||
4.79% 6/1/35 (h) | 1,524 | 1,506 | ||
4.799% 4/1/35 (h) | 2,413 | 2,416 | ||
4.8% 7/1/35 (h) | 1,046 | 1,033 | ||
4.809% 1/1/36 (h) | 5,203 | 5,149 | ||
4.812% 11/1/35 (h) | 2,003 | 2,008 | ||
4.848% 7/1/35 (h) | 2,191 | 2,165 | ||
4.878% 7/1/34 (h) | 1,234 | 1,229 | ||
4.883% 10/1/35 (h) | 285 | 284 | ||
4.893% 5/1/35 (h) | 348 | 344 | ||
4.896% 11/1/35 (h) | 2,154 | 2,153 | ||
4.946% 8/1/34 (h) | 1,189 | 1,186 | ||
5% 1/1/14 to 7/1/35 | 31,074 | 30,124 | ||
5.004% 2/1/34 (h) | 1,839 | 1,817 | ||
5.016% 5/1/35 (h) | 2,868 | 2,847 | ||
5.047% 12/1/32 (h) | 1,763 | 1,756 | ||
5.092% 5/1/35 (h) | 373 | 376 | ||
5.102% 10/1/35 (h) | 1,640 | 1,626 | ||
5.108% 10/1/35 (h) | 884 | 877 | ||
5.114% 1/1/36 (h) | 3,241 | 3,212 | ||
5.135% 7/1/34 (h) | 453 | 452 | ||
5.136% 8/1/36 (h) | 6,221 | 6,228 | ||
5.152% 7/1/35 (h) | 3,457 | 3,436 | ||
5.167% 3/1/36 (h) | 2,797 | 2,783 | ||
5.26% 5/1/35 (h) | 1,118 | 1,114 | ||
5.263% 11/1/36 (h) | 528 | 529 | ||
5.273% 4/1/36 (h) | 1,127 | 1,137 | ||
5.311% 3/1/36 (h) | 7,478 | 7,450 | ||
5.365% 2/1/36 (h) | 1,854 | 1,859 | ||
5.371% 2/1/36 (h) | 193 | 194 | ||
5.379% 12/1/36 (h) | 712 | 711 | ||
5.394% 7/1/35 (h) | 522 | 521 | ||
5.407% 2/1/37 (h) | 688 | 688 | ||
5.439% 2/1/37 (h) | 3,260 | 3,266 | ||
5.483% 6/1/47 (h) | 540 | 541 | ||
5.5% 5/1/11 to 3/1/20 | 23,487 | 23,242 | ||
5.533% 11/1/36 (h) | 1,047 | 1,050 | ||
5.612% 2/1/36 (h) | 781 | 782 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Fannie Mae - continued | ||||
5.668% 4/1/36 (h) | $ 2,752 | $ 2,759 | ||
5.672% 6/1/36 (h) | 1,810 | 1,815 | ||
5.672% 4/1/37 (h) | 2,982 | 2,996 | ||
5.755% 4/1/36 (h) | 1,456 | 1,461 | ||
5.797% 3/1/36 (h) | 1,960 | 1,969 | ||
5.807% 5/1/36 (h) | 723 | 727 | ||
5.816% 1/1/36 (h) | 408 | 408 | ||
5.834% 3/1/36 (h) | 1,559 | 1,567 | ||
5.839% 5/1/36 (h) | 4,312 | 4,334 | ||
5.847% 6/1/35 (h) | 2,683 | 2,697 | ||
5.895% 12/1/36 (h) | 1,046 | 1,051 | ||
5.925% 6/1/36 (h) | 15,800 | 15,899 | ||
5.937% 6/1/36 (h) | 3,882 | 3,908 | ||
5.946% 5/1/36 (h) | 1,875 | 1,888 | ||
6% 10/1/08 to 1/1/26 | 2,639 | 2,655 | ||
6.044% 4/1/36 (h) | 11,302 | 11,399 | ||
6.226% 3/1/37 (h) | 330 | 333 | ||
6.5% 12/1/12 to 3/1/35 | 3,565 | 3,625 | ||
7% 9/1/25 | 4 | 4 | ||
7.5% 1/1/28 to 5/1/37 | 1,038 | 1,076 | ||
TOTAL FANNIE MAE | 262,785 | |||
Freddie Mac - 2.2% | ||||
3.378% 7/1/33 (h) | 1,862 | 1,845 | ||
4% 5/1/19 to 11/1/20 | 5,497 | 5,097 | ||
4.004% 5/1/33 (h) | 3,773 | 3,765 | ||
4.179% 1/1/35 (h) | 3,592 | 3,559 | ||
4.5% 2/1/18 to 8/1/33 | 4,527 | 4,285 | ||
4.569% 6/1/33 (h) | 1,179 | 1,179 | ||
4.663% 2/1/35 (h) | 9,011 | 8,870 | ||
4.701% 9/1/36 (h) | 749 | 745 | ||
4.705% 9/1/35 (h) | 4,517 | 4,501 | ||
4.794% 2/1/36 (h) | 315 | 310 | ||
4.842% 5/1/35 (h) | 6,127 | 6,041 | ||
4.873% 10/1/35 (h) | 1,500 | 1,501 | ||
4.924% 10/1/36 (h) | 3,780 | 3,769 | ||
5% 3/1/18 to 7/1/19 | 6,467 | 6,275 | ||
5.013% 7/1/35 (h) | 3,655 | 3,625 | ||
5.021% 4/1/35 (h) | 103 | 101 | ||
5.126% 7/1/35 (h) | 1,015 | 1,005 | ||
5.289% 2/1/36 (h) | 63 | 62 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Freddie Mac - continued | ||||
5.362% 3/1/37 (h) | $ 500 | $ 498 | ||
5.489% 2/1/37 (h) | 2,722 | 2,703 | ||
5.498% 1/1/36 (h) | 851 | 848 | ||
5.5% 8/1/14 to 11/1/19 | 7,863 | 7,765 | ||
5.586% 3/1/36 (h) | 4,614 | 4,604 | ||
5.625% 5/1/37 (h) | 2,410 | 2,383 | ||
5.673% 8/1/36 (h) | 4,824 | 4,818 | ||
5.732% 4/1/36 (h) | 11,518 | 11,526 | ||
5.806% 5/1/37 (h) | 5,606 | 5,613 | ||
5.858% 5/1/37 (h) | 540 | 542 | ||
5.863% 5/1/37 (h) | 3,355 | 3,364 | ||
6% 7/1/16 to 2/1/19 | 2,873 | 2,889 | ||
6.084% 2/1/37 (h) | 5,250 | 5,283 | ||
6.157% 12/1/36 (h) | 5,772 | 5,802 | ||
6.5% 10/1/10 to 3/1/22 | 7,591 | 7,731 | ||
8.5% 3/1/20 | 11 | 12 | ||
TOTAL FREDDIE MAC | 122,916 | |||
Government National Mortgage Association - 0.0% | ||||
6% 1/15/09 to 5/15/09 | 25 | 25 | ||
6.5% 4/15/26 to 5/15/26 | 47 | 48 | ||
7% 9/15/25 to 8/15/31 | 85 | 88 | ||
7.5% 2/15/22 to 8/15/28 | 149 | 156 | ||
8% 9/15/26 to 12/15/26 | 33 | 35 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 352 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $387,808) | 386,053 | |||
Asset-Backed Securities - 0.5% | ||||
Amstel Corp. Loan Offering BV: | ||||
Series 2006-1 Class C, 4.566% 5/25/16 (h) | EUR | 500 | 678 | |
Series 2007-1: | ||||
Class B, 4.429% 3/25/17 (h) | EUR | 1,100 | 1,489 | |
Class C, 4.609% 3/25/17 (h) | EUR | 800 | 1,083 | |
Auto ABS Compartiment Series 2006-1 Class B, 4.242% 7/25/17 (h) | EUR | 1,000 | 1,354 | |
Clock Finance BV Series 2007-1: | ||||
Class B2, 4.256% 2/25/15 (h) | EUR | 700 | 947 | |
Asset-Backed Securities - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Clock Finance BV Series 2007-1: - continued | ||||
Class C2, 4.436% 2/25/15 (h) | EUR | 400 | $ 541 | |
Driver One GmbH Series 1 Class B, 4.343% 5/21/10 (h) | EUR | 176 | 239 | |
FCC SPARC Series 2007-1 Class D, 0% 7/15/10 (h) | EUR | 500 | 677 | |
Geldilux Ltd. Series 2007-TS Class C, 4.517% 9/8/14 (h) | EUR | 400 | 541 | |
GLS Ltd. Series 2006-1 Class C, 4.257% 7/15/14 (h) | EUR | 500 | 677 | |
Greene King Finance PLC Series A1, 6.23% 6/15/31 (h) | GBP | 1,000 | 2,001 | |
Lambda Finance BV Series 2005-1X Class C1, 6.374% 11/15/29 (h) | GBP | 500 | 1,008 | |
Leek Finance PLC Series 18X Class BC, 4.292% 9/21/38 (h) | EUR | 600 | 812 | |
Mermaid Secured Finance Ltd. Series 2007-1: | ||||
Class C, 4.416% 1/30/40 (h) | EUR | 400 | 542 | |
Class D, 4.616% 1/30/40 (h) | EUR | 550 | 745 | |
Prime Bricks Series 2007-1: | ||||
Class B, 4.416% 1/30/40 (h) | EUR | 550 | 745 | |
Class C, 4.616% 1/30/40 (h) | EUR | 450 | 609 | |
Promise K 2006-1 GmbH Series I 2006-1 Class D, 4.805% 3/20/17 (h) | EUR | 1,000 | 1,354 | |
Provide Bricks Series 2007-1 Class B, 4.365% 1/30/40 (h) | EUR | 1,400 | 1,895 | |
Punch Taverns Finance PLC 5.92% 4/15/09 (h) | GBP | 410 | 822 | |
Sedna Finance Corp.: | ||||
4.779% 12/23/14 (h) | EUR | 500 | 677 | |
4.895% 3/15/16 (h) | EUR | 1,150 | 1,560 | |
Stichting Mars Series 2006 Class C, 4.163% 8/28/14 (h) | EUR | 1,000 | 1,353 | |
Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27 | GBP | 60 | 117 | |
Whinstone Capital Management Ltd. Series 2005-1X Class B1, 6.5963% 10/25/45 (h) | GBP | 1,168 | 2,356 | |
TOTAL ASSET-BACKED SECURITIES (Cost $23,720) | 24,822 | |||
Collateralized Mortgage Obligations - 2.3% | ||||
Private Sponsor - 0.2% | ||||
EPIC PLC Series BROD Class D, 4.465% 1/22/16 (h) | EUR | 400 | 541 | |
Granite Mortgages PLC 4.349% 1/20/43 (h) | EUR | 341 | 463 | |
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Private Sponsor - continued | ||||
Holmes Financing No. 8 PLC floater Series 3 Class C, 4.818% 7/15/40 (h) | EUR | 500 | $ 680 | |
RMAC PLC Series 2005-NS4X Class M2A, 6.3675% 12/12/43 (h) | GBP | 1,700 | 3,409 | |
RMAC Securities PLC 2006 floater Series 2006-NS4X Class M1A, 6.1075% 6/12/44 (h) | GBP | 1,250 | 2,509 | |
Shield BV Series 1 Class C, 4.369% 1/20/14 (h) | EUR | 1,500 | 2,037 | |
TOTAL PRIVATE SPONSOR | 9,639 | |||
U.S. Government Agency - 2.1% | ||||
Fannie Mae planned amortization class Series 2002-83 Class ME, 5% 12/25/17 | 8,925 | 8,633 | ||
Fannie Mae Grantor Trust sequential payer Series 2005-93 Class HD, 4.5% 11/25/19 | 272 | 263 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater Series 2005-45 Class XA, 5.66% 6/25/35 (h) | 7,424 | 7,417 | ||
planned amortization class: | ||||
Series 2002-11 Class UC, 6% 3/25/17 | 2,787 | 2,807 | ||
Series 2003-113: | ||||
Class PD, 4% 2/25/17 | 4,890 | 4,622 | ||
Class PE, 4% 11/25/18 | 1,515 | 1,356 | ||
Series 2003-128 Class NE, 4% 12/25/16 | 2,550 | 2,409 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 890 | 812 | ||
Series 2003-85 Class GD, 4.5% 9/25/18 | 1,225 | 1,159 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 1,980 | 1,850 | ||
Series 2004-81: | ||||
Class KC, 4.5% 4/25/17 | 1,395 | 1,360 | ||
Class KD, 4.5% 7/25/18 | 3,035 | 2,894 | ||
Series 2006-4 Class PB, 6% 9/25/35 | 6,570 | 6,570 | ||
sequential payer: | ||||
Series 2002-58 Class HC, 5.5% 9/25/17 | 13 | 13 | ||
Series 2003-18 Class EY, 5% 6/25/17 | 3,771 | 3,711 | ||
Series 2004-95 Class AN, 5.5% 1/25/25 | 2,260 | 2,240 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 808 | 692 | ||
Series 2005-29 Class KA, 4.5% 2/25/35 | 2,857 | 2,740 | ||
Series 2005-47 Class AK, 5% 6/25/20 | 7,595 | 7,237 | ||
Freddie Mac planned amortization class Series 2115 Class PE, 6% 1/15/14 | 215 | 215 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater Series 2630 Class FL, 5.82% 6/15/18 (h) | 104 | 105 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
planned amortization class: | ||||
Series 2378 Class PE, 5.5% 11/15/16 | $ 2,927 | $ 2,921 | ||
Series 2622 Class PE, 4.5% 5/15/18 | 9,410 | 8,918 | ||
Series 2628 Class OP, 3.5% 11/15/13 | 1,869 | 1,853 | ||
Series 2649 Class TQ, 3.5% 12/15/21 | 1,178 | 1,168 | ||
Series 2695 Class DG, 4% 10/15/18 | 3,865 | 3,522 | ||
Series 2743 Class HE, 4.5% 2/15/19 | 4,390 | 4,126 | ||
Series 2773 Class EG, 4.5% 4/15/19 | 14,395 | 13,553 | ||
Series 2831 Class PB, 5% 7/15/19 | 3,990 | 3,839 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 942 | 936 | ||
Series 3013 Class AF, 5.57% 5/15/35 (h) | 8,995 | 8,989 | ||
sequential payer: | ||||
Series 2570 Class CU, 4.5% 7/15/17 | 386 | 375 | ||
Series 2572 Class HK, 4% 2/15/17 | 580 | 561 | ||
Series 2617 Class GW, 3.5% 6/15/16 | 554 | 544 | ||
Series 2627: | ||||
Class BG, 3.25% 6/15/17 | 256 | 240 | ||
Class KP, 2.87% 12/15/16 | 268 | 251 | ||
Series 2685 Class ND, 4% 10/15/18 | 1,745 | 1,554 | ||
Series 2773 Class TA, 4% 11/15/17 | 3,195 | 3,058 | ||
Series 2849 Class AL, 5% 5/15/18 | 1,541 | 1,506 | ||
Series 2860 Class CP, 4% 10/15/17 | 506 | 490 | ||
Series 2937 Class HJ, 5% 10/15/19 | 1,822 | 1,787 | ||
Series 2863 Class DB, 4% 9/15/14 | 266 | 250 | ||
TOTAL U.S. GOVERNMENT AGENCY | 119,546 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $129,305) | 129,185 | |||
Commercial Mortgage Securities - 0.4% | ||||
Broadgate PLC 6.435% 10/5/25 (h) | GBP | 955 | 1,889 | |
Bruntwood Alpha PLC Series 2007-1 Class C, 6.09% 1/15/17 (h) | GBP | 700 | 1,406 | |
Canary Wharf Finance II plc Series 3MUK Class C2, 6.2244% 10/22/37 (h) | GBP | 1,000 | 2,007 | |
European Property Capital Series 4 Class C, 5.9494% 7/20/14 (h) | GBP | 442 | 888 | |
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
German Residential Asset Note Distributor PLC Series 1 Class A, 4.219% 7/20/16 (h) | EUR | 1,371 | $ 1,862 | |
JLOC 36 LLC Reg. S: | ||||
Class A1, 0.9348% 2/16/16 (h) | JPY | 100,000 | 812 | |
Class B, 1.1048% 2/16/16 (h) | JPY | 100,000 | 812 | |
JLOC 37 LLC (Reg. S) 0% 1/15/15 (h) | JPY | 110,000 | 893 | |
Opera Finance (CMH) PLC Class B, 4.268% 1/15/15 (h) | EUR | 1,100 | 1,488 | |
Opera Finance PLC 5.9763% 7/31/13 (h) | GBP | 991 | 1,992 | |
Paris Prime Community Real Estate Series 2006-1 Class B, 4.235% 4/22/14 (g)(h) | EUR | 1,000 | 1,352 | |
Real Estate Capital Foundation Ltd. Series 3 Class A, 5.8% 7/15/16 (h) | GBP | 2,000 | 4,009 | |
Rivoli Pan Europe PLC Series 2006-1 Class B 4.297% 8/3/18 (h) | EUR | 650 | 879 | |
Skyline BV Series 2007-1 Class D, 0% 7/22/43 (h) | EUR | 1,100 | 1,489 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $20,700) | 21,778 | |||
Foreign Government and Government Agency Obligations - 18.9% | ||||
Arab Republic 8.6002% 10/9/07 | EGP | 5,150 | 888 | |
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 9,218 | 8,992 | ||
5.475% 8/3/12 (h) | 13,114 | 12,458 | ||
7% 3/28/11 | 10,620 | 10,365 | ||
7% 9/12/13 | 18,845 | 17,536 | ||
10.4173% 3/5/08 (h) | ARS | 5,964 | 1,938 | |
Austrian Republic 5% 12/20/24 (g) | CAD | 2,000 | 1,894 | |
Banco Central del Uruguay: | ||||
value recovery A rights 1/2/21 (a) (j) | 1,000,000 | 0 | ||
value recovery B rights 1/2/21 (a) (j) | 750,000 | 0 | ||
Brazilian Federative Republic: | ||||
6% 9/15/13 | 1,842 | 1,840 | ||
7.125% 1/20/37 | 4,355 | 4,721 | ||
8.25% 1/20/34 | 5,500 | 6,765 | ||
8.75% 2/4/25 | 5,440 | 6,773 | ||
10% 1/1/10 | BRL | 3,682 | 1,879 | |
11% 8/17/40 | 20,355 | 26,706 | ||
12.25% 3/6/30 | 8,910 | 15,102 | ||
12.75% 1/15/20 | 4,685 | 7,262 | ||
Bulgarian Republic 8.25% 1/15/15 (Reg. S) | 180 | 207 | ||
Foreign Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Canadian Government: | ||||
4% 6/1/17 | CAD | 20,000 | $ 17,954 | |
4.5% 9/1/07 | CAD | 27,000 | 25,336 | |
5.25% 6/1/12 | CAD | 50,300 | 48,645 | |
5.5% 6/1/09 | CAD | 15,500 | 14,792 | |
5.75% 6/1/29 | CAD | 9,750 | 10,704 | |
Central Bank of Nigeria: | ||||
promissory note 5.092% 1/5/10 | 3,058 | 2,945 | ||
warrants 11/15/20 (a)(j) | 2,750 | 641 | ||
Colombian Republic: | ||||
7.375% 9/18/37 | 8,075 | 8,992 | ||
11.75% 2/25/20 | 1,825 | 2,687 | ||
Dominican Republic: | ||||
Brady 6.3125% 8/30/09 (h) | 1,603 | 1,605 | ||
6.25% 8/30/24 (h) | 12,873 | 12,854 | ||
9.04% 1/23/18 (g) | 4,585 | 5,188 | ||
9.5% 9/27/11 | 3,429 | 3,639 | ||
Ecuador Republic: | ||||
10% 8/15/30 (Reg. S) | 9,525 | 7,811 | ||
euro par 5% 2/28/25 | 1,580 | 1,130 | ||
Finnish Government 3.875% 9/15/17 | EUR | 49,700 | 63,208 | |
French Republic: | ||||
3% 1/12/10 | EUR | 800 | 1,044 | |
3.5% 7/12/11 | EUR | 88,350 | 115,057 | |
3.75% 4/25/17 | EUR | 33,730 | 42,575 | |
4% 4/25/55 | EUR | 750 | 882 | |
5.5% 4/25/29 | EUR | 4,200 | 6,256 | |
German Federal Republic: | ||||
3.75% 12/12/08 | EUR | 5,175 | 6,934 | |
4% 4/13/12 | EUR | 3,920 | 5,186 | |
4% 7/4/16 | EUR | 1,300 | 1,690 | |
Indonesian Republic: | ||||
6.625% 2/17/37 (g) | 4,125 | 3,960 | ||
6.75% 3/10/14 | 3,275 | 3,341 | ||
Islamic Republic of Pakistan: | ||||
6.75% 2/19/09 | 1,050 | 1,050 | ||
7.125% 3/31/16 (g) | 2,125 | 2,104 | ||
Japan Government: | ||||
0.78% 7/20/20 (h) | JPY | 825,000 | 6,261 | |
0.9% 12/22/08 | JPY | 1,370,000 | 11,121 | |
0.9% 11/20/20 (h) | JPY | 1,300,000 | 10,090 | |
1.4% 3/21/11 | JPY | 2,275,000 | 18,547 | |
Foreign Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Japan Government: - continued | ||||
1.5% 3/20/14 | JPY | 1,865,000 | $ 15,006 | |
1.8% 3/20/16 | JPY | 1,872,000 | 15,205 | |
2.4% 12/20/34 | JPY | 1,500,000 | 12,089 | |
Real Return Bond 1.1% 12/10/16 | JPY | 3,871,630 | 31,037 | |
Lebanese Republic: | ||||
7.125% 3/5/10 | 1,140 | 1,100 | ||
7.875% 5/20/11 (Reg. S) | 4,320 | 4,169 | ||
8.625% 6/20/13 | 1,540 | 1,509 | ||
8.63% 11/30/09 (g)(h) | 2,180 | 2,166 | ||
8.63% 11/30/09 (h) | 9,170 | 9,113 | ||
Peruvian Republic: | ||||
3% 3/7/27 (f) | 900 | 646 | ||
6.1425% 3/7/27 (h) | 1,545 | 1,541 | ||
euro Brady past due interest 6.125% 3/7/17 (h) | 8,497 | 8,497 | ||
Philippine Republic: | ||||
8.25% 1/15/14 | 7,120 | 7,788 | ||
8.875% 3/17/15 | 3,120 | 3,569 | ||
9% 2/15/13 | 4,645 | 5,197 | ||
9.5% 2/2/30 | 1,305 | 1,701 | ||
9.875% 1/15/19 | 6,125 | 7,733 | ||
10.625% 3/16/25 | 4,275 | 5,958 | ||
Polish Government 5% 10/19/15 | 180 | 170 | ||
Republic of Fiji 6.875% 9/13/11 | 2,635 | 2,477 | ||
Republic of Hungary 4.75% 2/3/15 | 180 | 169 | ||
Republic of Iraq 5.8% 1/15/28 (g) | 3,780 | 2,306 | ||
Republic of Serbia 3.75% 11/1/24 (f)(g) | 2,700 | 2,548 | ||
Russian Federation: | ||||
7.5% 3/31/30 (g) | 3,881 | 4,273 | ||
7.5% 3/31/30 (Reg. S) | 40,407 | 44,498 | ||
12.75% 6/24/28 (Reg. S) | 7,145 | 12,629 | ||
South African Republic 6.5% 6/2/14 | 180 | 186 | ||
Turkish Republic: | ||||
Indexed Linked CPI 10% 2/15/12 | TRY | 2,353 | 1,841 | |
6.875% 3/17/36 | 7,625 | 7,234 | ||
7% 9/26/16 | 14,275 | 14,446 | ||
7.375% 2/5/25 | 5,265 | 5,407 | ||
11% 1/14/13 | 11,625 | 13,956 | ||
11.875% 1/15/30 | 7,575 | 11,618 | ||
Ukraine Cabinet of Ministers 6.58% 11/21/16 (g) | 11,430 | 11,370 | ||
United Kingdom, Great Britain & Northern Ireland: | ||||
4.25% 3/7/11 | GBP | 5,570 | 10,618 | |
Foreign Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
United Kingdom, Great Britain & Northern Ireland: - continued | ||||
4.25% 6/7/32 | GBP | 850 | $ 1,542 | |
4.25% 3/7/36 | GBP | 18,380 | 33,599 | |
4.75% 9/7/15 | GBP | 5,145 | 9,805 | |
5% 3/7/18 | GBP | 450 | 874 | |
5% 3/7/25 | GBP | 7,370 | 14,519 | |
8% 6/7/21 | GBP | 11,790 | 29,775 | |
United Mexican States: | ||||
6.75% 9/27/34 | 1,725 | 1,841 | ||
7.5% 4/8/33 | 7,695 | 8,926 | ||
8.3% 8/15/31 | 12,285 | 15,433 | ||
9% 12/20/12 | MXN | 18,350 | 1,797 | |
Uruguay Republic: | ||||
5% 9/14/18 | UYU | 37,816 | 1,778 | |
8% 11/18/22 | 6,292 | 7,078 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (j) | 3,260 | 119 | ||
6% 12/9/20 | 3,050 | 2,471 | ||
6.355% 4/20/11 (h) | 9,110 | 8,818 | ||
7.65% 4/21/25 | 6,305 | 5,722 | ||
8.5% 10/8/14 | 3,190 | 3,238 | ||
9.25% 9/15/27 | 8,485 | 8,846 | ||
9.375% 1/13/34 | 3,730 | 3,907 | ||
10.75% 9/19/13 | 7,788 | 8,684 | ||
13.625% 8/15/18 | 6,305 | 8,638 | ||
Vietnamese Socialist Republic Brady par 4% 3/12/28 (f) | 1,890 | 1,578 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,016,291) | 1,048,313 | |||
Supranational Obligations - 0.2% | ||||
European Investment Bank: | EUR | 2,600 | 3,064 | |
4.75% 10/15/17 | EUR | 5,875 | 7,940 | |
Inter-American Development Bank 6.625% 4/17/17 | PEN | 8,000 | 2,668 | |
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $13,668) | 13,672 |
Common Stocks - 0.4% | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.2% | |||
Auto Components - 0.0% | |||
Intermet Corp. (a)(k) | 113,725 | $ 206 | |
Diversified Consumer Services - 0.1% | |||
Coinmach Service Corp. unit | 330,000 | 6,557 | |
Hotels, Restaurants & Leisure - 0.1% | |||
Centerplate, Inc. unit | 165,925 | 2,912 | |
Media - 0.0% | |||
Virgin Media, Inc. warrants 1/10/11 (a) | 6 | 0 | |
TOTAL CONSUMER DISCRETIONARY | 9,675 | ||
INDUSTRIALS - 0.2% | |||
Airlines - 0.2% | |||
Delta Air Lines, Inc. (a) | 593,040 | 11,683 | |
Northwest Airlines Corp. (a) | 113,943 | 2,530 | |
14,213 | |||
TELECOMMUNICATION SERVICES - 0.0% | |||
Wireless Telecommunication Services - 0.0% | |||
DigitalGlobe, Inc. (a)(g) | 895 | 2 | |
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | 200 | |
TOTAL COMMON STOCKS (Cost $20,287) | 24,090 | ||
Preferred Stocks - 0.2% | |||
Convertible Preferred Stocks - 0.0% | |||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
Celanese Corp. 4.25% | 6,600 | 331 | |
Nonconvertible Preferred Stocks - 0.2% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Media - 0.1% | |||
Spanish Broadcasting System, Inc. Class B, 10.75% | 1,690 | 1,834 | |
Preferred Stocks - continued | |||
Shares | Value (000s) | ||
Nonconvertible Preferred Stocks - continued | |||
HEALTH CARE - 0.0% | |||
Health Care Providers & Services - 0.0% | |||
Fresenius Medical Care Capital Trust II 7.875% (a) | 1,260 | $ 1,288 | |
TELECOMMUNICATION SERVICES - 0.1% | |||
Diversified Telecommunication Services - 0.0% | |||
PTV, Inc. Series A, 10.00% | 119 | 1 | |
Wireless Telecommunication Services - 0.1% | |||
Rural Cellular Corp. 12.25% pay-in-kind | 5,078 | 6,195 | |
TOTAL TELECOMMUNICATION SERVICES | 6,196 | ||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 9,318 | ||
TOTAL PREFERRED STOCKS (Cost $8,873) | 9,649 |
Floating Rate Loans - 4.9% | ||||
Principal Amount (000s)(d) | ||||
CONSUMER DISCRETIONARY - 1.7% | ||||
Auto Components - 0.2% | ||||
Dana Corp. term loan 7.88% 4/13/08 (h) | $ 2,390 | 2,387 | ||
Delphi Corp. term loan 8.125% 12/31/07 (h) | 2,220 | 2,220 | ||
Lear Corp. term loan: | ||||
7.832% 4/25/12 (h) | 2,463 | 2,419 | ||
The Goodyear Tire & Rubber Co. Tranche 3, term loan 8.82% 3/1/11 (h) | 3,550 | 3,550 | ||
10,576 | ||||
Automobiles - 0.6% | ||||
AM General LLC: | ||||
Tranche B, term loan 8.38% 9/30/13 (h) | 3,835 | 3,855 | ||
8.32% 9/30/12 (h) | 132 | 133 | ||
Ford Motor Co. term loan 8.36% 12/15/13 (h) | 25,004 | 25,036 | ||
General Motors Corp. term loan 7.725% 11/29/13 (h) | 978 | 980 | ||
30,004 | ||||
Diversified Consumer Services - 0.1% | ||||
Affinion Group Holdings, Inc. term loan 11.6596% 3/1/12 (h) | 4,150 | 4,109 | ||
Floating Rate Loans - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - 0.0% | ||||
Green Valley Ranch Gaming LLC Tranche 1LN, term loan 7.36% 2/16/14 (h) | $ 144 | $ 144 | ||
OSI Restaurant Partners, Inc.: | ||||
term loan 7.625% 6/14/14 (h) | 499 | 500 | ||
7.61% 6/14/13 (h) | 41 | 41 | ||
Six Flags, Inc. Tranche B, term loan 7.61% 4/30/15 (h) | 730 | 721 | ||
1,406 | ||||
Household Durables - 0.0% | ||||
Yankee Candle Co., Inc. term loan 7.36% 2/6/14 (h) | 279 | 280 | ||
Media - 0.4% | ||||
Advanstar, Inc. Tranche 2LN, term loan 10.32% 11/30/14 (h) | 380 | 380 | ||
Charter Communications Operating LLC Tranche B 1LN, term loan: | ||||
7.32% 3/6/14 (h) | 6,242 | 6,180 | ||
7.36% 3/6/14 (h) | 4,210 | 4,168 | ||
CSC Holdings, Inc. Tranche B, term loan 7.07% 3/29/13 (h) | 6,316 | 6,308 | ||
Discovery Communications, Inc. term loan 7.36% 5/14/14 (h) | 1,050 | 1,053 | ||
Riverdeep Interactive Learning USA, Inc. term loan: | ||||
8.11% 12/20/13 (h) | 816 | 817 | ||
12.06% 12/21/07 (h) | 848 | 847 | ||
19,753 | ||||
Multiline Retail - 0.0% | ||||
Neiman Marcus Group, Inc. term loan 7.3577% 4/6/13 (h) | 2,100 | 2,100 | ||
Specialty Retail - 0.3% | ||||
Claire's Stores, Inc. term loan 8.11% 5/29/14 (h) | 4,450 | 4,339 | ||
Michaels Stores, Inc. term loan 7.625% 10/31/13 (h) | 5,150 | 5,073 | ||
Sally Holdings LLC Tranche B, term loan 7.86% 11/16/13 (h) | 744 | 750 | ||
Toys 'R' US, Inc. term loan 8.32% 12/9/08 (h) | 6,110 | 6,141 | ||
16,303 | ||||
Floating Rate Loans - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
CONSUMER DISCRETIONARY - continued | ||||
Textiles, Apparel & Luxury Goods - 0.1% | ||||
Hanesbrands, Inc.: | ||||
term loan 9.105% 3/5/14 (h) | $ 1,650 | $ 1,677 | ||
Tranche B 1LN, term loan 7.105% 9/5/13 (h) | 4,917 | 4,936 | ||
6,613 | ||||
TOTAL CONSUMER DISCRETIONARY | 91,144 | |||
CONSUMER STAPLES - 0.1% | ||||
Beverages - 0.0% | ||||
Constellation Brands, Inc. Tranche B, term loan 6.875% 6/5/13 (h) | 1,142 | 1,145 | ||
Food & Staples Retailing - 0.0% | ||||
Rite Aid Corp. Tranche ABL, term loan 7.07% 6/4/14 (h) | 2,700 | 2,700 | ||
Household Products - 0.1% | ||||
Spectrum Brands, Inc.: | ||||
Tranche B1, term loan 9.3449% 3/30/13 (h) | 3,169 | 3,169 | ||
Tranche B2, term loan 9.32% 3/30/13 (h) | 564 | 564 | ||
9.17% 3/30/13 (h) | 157 | 157 | ||
3,890 | ||||
TOTAL CONSUMER STAPLES | 7,735 | |||
ENERGY - 0.2% | ||||
Energy Equipment & Services - 0.0% | ||||
Compagnie Generale de Geophysique SA term loan 7.36% 1/12/14 (h) | 573 | 576 | ||
Oil, Gas & Consumable Fuels - 0.2% | ||||
Coffeyville Resources LLC: | ||||
Credit-Linked Deposit 8.2494% 12/28/13 (h) | 532 | 535 | ||
Tranche D, term loan 8.3495% 12/28/13 (h) | 2,741 | 2,755 | ||
Helix Energy Solutions Group, Inc. term loan 7.3297% 7/1/13 (h) | 1,360 | 1,363 | ||
Sandridge Energy, Inc. term loan 8.625% 4/1/15 | 4,370 | 4,463 | ||
Targa Resources, Inc./Targa Resources Finance Corp.: | ||||
Credit-Linked Deposit 7.235% 10/31/12 (h) | 540 | 540 | ||
Floating Rate Loans - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Targa Resources, Inc./Targa Resources Finance Corp.: - continued | ||||
term loan 7.3565% 10/31/12 (h) | $ 2,211 | $ 2,211 | ||
Venoco, Inc. Tranche 2LN, term loan 9.36% 5/7/14 (h) | 410 | 410 | ||
12,277 | ||||
TOTAL ENERGY | 12,853 | |||
FINANCIALS - 0.4% | ||||
Diversified Financial Services - 0.1% | ||||
MGM Holdings II, Inc. Tranche B, term loan 8.61% 4/8/12 (h) | 2,281 | 2,281 | ||
The NASDAQ Stock Market, Inc.: | ||||
Tranche B, term loan 7.07% 4/18/12 (h) | 3,512 | 3,512 | ||
Tranche C, term loan 7.07% 4/18/12 (h) | 2,036 | 2,036 | ||
7,829 | ||||
Real Estate Investment Trusts - 0.1% | ||||
Capital Automotive (REIT) Tranche B, term loan 7.07% 12/16/10 (h) | 3,554 | 3,567 | ||
Real Estate Management & Development - 0.2% | ||||
Realogy Corp.: | ||||
Tranche B, term loan 8.35% 10/10/13 (h) | 6,721 | 6,653 | ||
8.32% 10/10/13 (h) | 1,809 | 1,791 | ||
8,444 | ||||
TOTAL FINANCIALS | 19,840 | |||
HEALTH CARE - 0.5% | ||||
Health Care Providers & Services - 0.5% | ||||
Community Health Systems, Inc.: | ||||
term loan 7.57% 6/28/14 (h) | 6,145 | 6,145 | ||
Tranche DD, term loan 6/28/14 (l) | 405 | 405 | ||
DaVita, Inc. Tranche B1, term loan 6.85% 10/5/12 (h) | 3,576 | 3,571 | ||
HCA, Inc. Tranche B, term loan 7.61% 11/17/13 (h) | 14,547 | 14,565 | ||
Health Management Associates, Inc. Tranche B, term loan 7.11% 2/28/14 (h) | 958 | 956 | ||
25,642 | ||||
Floating Rate Loans - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
INDUSTRIALS - 0.3% | ||||
Aerospace & Defense - 0.1% | ||||
DeCrane Aircraft Holdings, Inc.: | ||||
Tranche 1LN, term loan 8.104% 2/21/13 (h) | $ 90 | $ 90 | ||
Tranche 2LN, term loan 14.25% 2/21/14 (h) | 140 | 141 | ||
Hawker Beechcraft Corp.: | ||||
term loan 7.35% 3/26/14 (h) | 3,384 | 3,376 | ||
7.35% 3/26/14 (h) | 287 | 286 | ||
Wesco Aircraft Hardware Corp.: | ||||
Tranche 1LN, term loan 7.61% 9/29/13 (h) | 167 | 168 | ||
Tranche 2LN, term loan 11.11% 3/28/14 (h) | 70 | 71 | ||
4,132 | ||||
Commercial Services & Supplies - 0.1% | ||||
Allied Waste Industries, Inc.: | ||||
Credit-Linked Deposit 7.07% 3/28/14 (h) | 212 | 212 | ||
term loan 7.1006% 3/28/14 (h) | 390 | 391 | ||
Aramark Corp.: | ||||
term loan 7.36% 1/26/14 (h) | 2,021 | 2,019 | ||
7.445% 1/26/14 (h) | 158 | 158 | ||
Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 11.375% 2/7/15 (h) | 650 | 652 | ||
3,432 | ||||
Electrical Equipment - 0.0% | ||||
Baldor Electric Co. term loan 7.125% 1/31/14 (h) | 337 | 337 | ||
Industrial Conglomerates - 0.0% | ||||
Walter Industries, Inc. term loan 7.097% 10/3/12 (h) | 98 | 97 | ||
Machinery - 0.1% | ||||
Chart Industries, Inc. Tranche B, term loan 7.375% 10/17/12 (h) | 53 | 53 | ||
Dresser, Inc.: | ||||
Tranche 2LN, term loan 11.11% 5/4/15 pay-in-kind (h) | 4,050 | 4,101 | ||
Tranche B 1LN, term loan 7.86% 5/4/14 (h) | 540 | 540 | ||
Navistar International Corp.: | ||||
term loan 8.6099% 1/19/12 (h) | 2,310 | 2,322 | ||
Credit-Linked Deposit 8.5907% 1/19/12 (h) | 840 | 844 | ||
7,860 | ||||
Road & Rail - 0.0% | ||||
Laidlaw International, Inc. Tranche B, term loan 7.07% 7/31/13 (h) | 695 | 696 | ||
Floating Rate Loans - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
INDUSTRIALS - continued | ||||
Trading Companies & Distributors - 0.0% | ||||
Neff Corp. Tranche 2LN, term loan 8.895% 11/30/14 (h) | $ 810 | $ 812 | ||
VWR Funding, Inc. term loan 7.86% 6/27/14 (h) | 1,440 | 1,437 | ||
2,249 | ||||
TOTAL INDUSTRIALS | 18,803 | |||
INFORMATION TECHNOLOGY - 0.4% | ||||
IT Services - 0.2% | ||||
Affiliated Computer Services, Inc. Tranche B2, term loan 7.32% 3/20/13 (h) | 3,623 | 3,628 | ||
SunGard Data Systems, Inc. term loan 7.3556% 2/28/14 (h) | 5,536 | 5,543 | ||
9,171 | ||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Advanced Micro Devices, Inc. term loan 7.36% 12/31/13 (h) | 3,285 | 3,281 | ||
Freescale Semiconductor, Inc. term loan 7.11% 12/1/13 (h) | 5,104 | 5,015 | ||
8,296 | ||||
Software - 0.1% | ||||
Kronos, Inc. Tranche 1LN, term loan 7.61% 6/11/14 (h) | 3,960 | 3,945 | ||
Open Solutions, Inc. term loan 7.445% 1/23/14 (h) | 239 | 239 | ||
4,184 | ||||
TOTAL INFORMATION TECHNOLOGY | 21,651 | |||
MATERIALS - 0.6% | ||||
Chemicals - 0.2% | ||||
Berry Plastics Group, Inc. term loan 11.61% 6/5/14 (h) | 5,330 | 5,090 | ||
Celanese Holding LLC: | ||||
Revolving Credit-Linked Deposit 7.07% 4/2/13 (h) | 206 | 206 | ||
term loan 7.0994% 4/2/14 (h) | 1,134 | 1,134 | ||
Lyondell Chemical Co. term loan 6.8563% 8/16/13 (h) | 4,943 | 4,936 | ||
Momentive Performance Materials, Inc. Tranche B1, term loan 7.625% 12/4/13 (h) | 1,035 | 1,032 | ||
Solutia, Inc. Tranche B, term loan 8.36% 3/31/08 (h) | 180 | 180 | ||
12,578 | ||||
Floating Rate Loans - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
MATERIALS - continued | ||||
Containers & Packaging - 0.1% | ||||
Berry Plastics Holding Corp. Tranche C, term loan 7.35% 4/3/15 (h) | $ 4,898 | $ 4,861 | ||
Metals & Mining - 0.1% | ||||
Aleris International, Inc. term loan 7.375% 12/19/13 (h) | 2,813 | 2,778 | ||
Paper & Forest Products - 0.2% | ||||
Georgia-Pacific Corp. Tranche B1, term loan 7.11% 12/23/12 (h) | 11,702 | 11,702 | ||
TOTAL MATERIALS | 31,919 | |||
TELECOMMUNICATION SERVICES - 0.4% | ||||
Diversified Telecommunication Services - 0.4% | ||||
Intelsat Bermuda Ltd. term loan 7.855% 1/12/14 (h) | 1,880 | 1,880 | ||
Level 3 Communications, Inc. term loan 7.605% 3/13/14 (h) | 8,440 | 8,429 | ||
Paetec Communications, Inc. Tranche B, term loan 8.82% 2/28/13 (h) | 479 | 479 | ||
Wind Telecomunicazioni SpA: | ||||
term loan 12.6088% 12/12/11 pay-in-kind (h) | 3,535 | 3,534 | ||
Tranche 2, term loan 11.59% 3/21/15 (h) | 2,840 | 2,883 | ||
Tranche B, term loan 7.84% 9/21/13 (h) | 1,420 | 1,424 | ||
Tranche C, term loan 8.59% 9/21/14 (h) | 1,420 | 1,424 | ||
20,053 | ||||
Wireless Telecommunication Services - 0.0% | ||||
American Cellular Corp.: | ||||
term loan 3/15/14 (l) | 64 | 64 | ||
Tranche B, term loan 7.32% 3/15/14 (h) | 595 | 594 | ||
Leap Wireless International, Inc. Tranche B, term loan 7.36% 6/16/13 (h) | 624 | 624 | ||
MetroPCS Wireless, Inc. Tranche B, term loan 7.625% 11/3/13 (h) | 1,449 | 1,451 | ||
2,733 | ||||
TOTAL TELECOMMUNICATION SERVICES | 22,786 | |||
UTILITIES - 0.3% | ||||
Independent Power Producers & Energy Traders - 0.3% | ||||
Boston Generating LLC: | ||||
Credit-Linked Deposit 7.485% 12/20/13 (h) | 219 | 220 | ||
Floating Rate Loans - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
Boston Generating LLC: - continued | ||||
Tranche 1LN, revolver loan 7.485% 12/20/13 (h) | $ 61 | $ 61 | ||
Tranche 2LN, term loan 9.61% 6/20/14 (h) | 210 | 213 | ||
Tranche B 1LN, term loan 7.61% 12/20/13 (h) | 985 | 987 | ||
Calpine Corp. Tranche D, term loan 7.61% 3/29/09 (h) | 7,771 | 7,771 | ||
NRG Energy, Inc.: | ||||
term loan: | ||||
6/8/14 (l) | 1,581 | 1,573 | ||
7.07% 2/1/13 (h) | 4,951 | 4,945 | ||
7.07% 2/1/13 (h) | 2,055 | 2,053 | ||
17,823 | ||||
TOTAL FLOATING RATE LOANS (Cost $270,513) | 270,196 | |||
Sovereign Loan Participations - 0.1% | ||||
Indonesian Republic loan participation: | ||||
- Barclays Bank 6.25% 3/28/13 (h) | 174 | 172 | ||
- Citibank: | ||||
6.25% 3/28/13 (h) | 610 | 604 | ||
6.25% 12/14/19 (h) | 1,417 | 1,375 | ||
- Credit Suisse First Boston 6.25% 3/28/13 (h) | 2,739 | 2,712 | ||
- Deutsche Bank: | ||||
1.407% 3/28/13 (h) | JPY | 75,124 | 575 | |
6.25% 3/28/13 (h) | 784 | 776 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $5,887) | 6,214 | |||
Commercial Paper - 0.1% | ||||
Asscher Finance Ltd. 4.11% 7/10/07 | EUR | 3,000 | 4,055 |
Fixed-Income Funds - 5.9% | |||
Shares | |||
Fidelity Floating Rate Central Fund (i) | 3,273,798 | 328,834 | |
Preferred Securities - 0.8% | |||
Principal Amount (000s)(d) | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.4% | |||
Media - 0.4% | |||
Globo Comunicacoes e Participacoes SA 9.375% | $ 13,600 | $ 14,172 | |
Net Servicos de Comunicacao SA 9.25% (g) | 6,710 | 6,893 | |
21,065 | |||
ENERGY - 0.3% | |||
Oil, Gas & Consumable Fuels - 0.3% | |||
Pemex Project Funding Master Trust 7.75% | 17,588 | 18,079 | |
FINANCIALS - 0.1% | |||
Diversified Financial Services - 0.1% | |||
MUFG Capital Finance 2 Ltd. 4.85% (h) | 1,300 | 1,688 | |
MUFG Capital Finance 3 Ltd. 2.68% (h) | JPY 150,000 | 1,212 | |
2,900 | |||
TOTAL PREFERRED SECURITIES (Cost $41,400) | 42,044 | ||
Other - 0.0% | |||
Delta Airlines ALPA Claim (a) | 8,380 | 503 | |
Money Market Funds - 10.2% | |||
Shares | |||
Fidelity Cash Central Fund, 5.32% (b) | 567,196,409 | 567,196 | |
TOTAL INVESTMENT PORTFOLIO - 102.8% (Cost $5,652,809) | 5,703,556 | ||
NET OTHER ASSETS - (2.8)% | (156,686) | ||
NET ASSETS - 100% | $ 5,546,870 |
Swap Agreements | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Interest Rate Swaps | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed equal to 5.484% with Deutsche Bank | June 2010 | $ 30,000 | $ (70) | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.254% with Credit Suisse First Boston | June 2009 | 16,000 | 35 | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.35% with Bank of America | April 2037 | 3,875 | 152 | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.51% with Morgan Stanley, Inc. | June 2009 | 25,000 | (64) | ||
Receive semi-annually a fixed rate equal to 4.8825% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America | April 2010 | 21,000 | 272 | ||
Receive semi-annually a fixed rate equal to 5.364% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | July 2009 | 15,000 | (1) | ||
Receive semi-annually a fixed rate equal to 5.418% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | July 2010 | 27,000 | 14 | ||
Receive semi-annually a fixed rate equal to 5.467% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | July 2011 | 5,000 | 4 | ||
Receive semi-annually a fixed rate equal to 5.505% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | July 2012 | 40,000 | 23 | ||
Receive semi-annually a fixed rate equal to 5.706% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | July 2017 | 15,000 | 43 | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Interest Rate Swaps - continued | |||||
Receive semi-annually a fixed rate equal to 5.76% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | June 2016 | $ 8,000 | $ 68 | ||
Receive semi-annually a fixed rate equal to 5.79% and pay quarterly a floating rate based on 3-month LIBOR with Goldman Sachs | July 2016 | 39,770 | 425 | ||
$ 245,645 | $ 901 |
Currency Abbreviations | ||
ARS | - | Argentine peso |
BRL | - | Brazilian real |
CAD | - | Canadian dollar |
EGP | - | Egyptian pound |
EUR | - | European Monetary Unit |
GBP | - | British pound |
JPY | - | Japanese yen |
MXN | - | Mexican peso |
PEN | - | Peruvian new sol |
RUB | - | Russian ruble |
TRY | - | New Turkish Lira |
UYU | - | Uruguay peso |
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) Non-income producing - Issuer is in default. |
(d) Principal amount is stated in United States dollars unless otherwise noted. |
(e) 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. |
(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(g) Security 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 $512,242,000 or 9.2% of net assets. |
(h) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(i) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site, or upon request. |
(j) Quantity represents share amount. |
(k) 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 $206,000 or 0.0% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Intermet Corp. | 11/9/05 | $ 2,153 |
(l) 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 $2,050,000 and $2,042,000, respectively. The coupon rate will be determined at time of settlement. |
(m) Security or a portion of the security purchased on a delayed delivery or when-issued basis |
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 | $ 9,929 |
Fidelity Floating Rate Central Fund | 9,358 |
Total | $ 19,287 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, | % ownership, end of |
Fidelity Floating Rate Central Fund | $ 138,003 | $ 191,912 | $ - | $ 328,834 | 13.8% |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 71.5% |
France | 3.3% |
Canada | 2.9% |
United Kingdom | 2.9% |
Japan | 2.3% |
Brazil | 2.0% |
Argentina | 1.6% |
Venezuela | 1.4% |
Russia | 1.3% |
Finland | 1.1% |
Mexico | 1.0% |
Turkey | 1.0% |
Others (individually less than 1%) | 7.7% |
100.0% |
The information in the above table is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | June 30, 2007 (Unaudited) | |
Assets | ||
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $4,756,122) | $ 4,807,526 | |
Fidelity Central Funds (cost $896,687) | 896,030 | |
Total Investments (cost $5,652,809) | $ 5,703,556 | |
Cash | 1,213 | |
Foreign currency held at value (cost $273) | 273 | |
Receivable for investments sold | 12,078 | |
Receivable for fund shares sold | 18,725 | |
Dividends receivable | 47 | |
Interest receivable | 69,596 | |
Distributions receivable from Fidelity Central Funds | 4,168 | |
Swap agreements, at value | 901 | |
Prepaid expenses | 9 | |
Receivable from investment adviser for expense reductions | 7 | |
Other receivables | 69 | |
Total assets | 5,810,642 | |
Liabilities | ||
Payable for investments purchased: | ||
Regular delivery | $ 75,955 | |
Delayed delivery | 166,636 | |
Payable for fund shares redeemed | 12,602 | |
Distributions payable | 3,140 | |
Accrued management fee | 2,592 | |
Distribution fees payable | 1,638 | |
Other affiliated payables | 840 | |
Other payables and accrued expenses | 369 | |
Total liabilities | 263,772 | |
Net Assets | $ 5,546,870 | |
Net Assets consist of: | ||
Paid in capital | $ 5,465,721 | |
Undistributed net investment income | 13,390 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 15,841 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 51,918 | |
Net Assets | $ 5,546,870 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | June 30, 2007 (Unaudited) | |
Calculation of Maximum Offering Price | $ 11.64 | |
Maximum offering price per share (100/96.00 of $11.64) | $ 12.13 | |
Class T: | $ 11.64 | |
Maximum offering price per share (100/96.00 of $11.64) | $ 12.13 | |
Class B: | $ 11.67 | |
Class C: | $ 11.62 | |
Institutional Class: | $ 11.74 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Amounts in thousands | Six months ended June 30, 2007 (Unaudited) | |
Investment Income | ||
Dividends | $ 4,477 | |
Interest | 135,422 | |
Income from Fidelity Central Funds | 19,287 | |
Total income | 159,186 | |
Expenses | ||
Management fee | $ 14,635 | |
Transfer agent fees | 4,172 | |
Distribution fees | 9,113 | |
Accounting fees and expenses | 687 | |
Custodian fees and expenses | 152 | |
Independent trustees' compensation | 8 | |
Registration fees | 158 | |
Audit | 59 | |
Legal | 18 | |
Miscellaneous | 21 | |
Total expenses before reductions | 29,023 | |
Expense reductions | (77) | 28,946 |
Net investment income | 130,240 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 21,733 | |
Foreign currency transactions | 270 | |
Swap agreements | (96) | |
Total net realized gain (loss) | 21,907 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (78,050) | |
Assets and liabilities in foreign currencies | 104 | |
Swap agreements | 901 | |
Total change in net unrealized appreciation (depreciation) | (77,045) | |
Net gain (loss) | (55,138) | |
Net increase (decrease) in net assets resulting from operations | $ 75,102 |
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 June 30, 2007 | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 130,240 | $ 200,671 |
Net realized gain (loss) | 21,907 | 25,569 |
Change in net unrealized appreciation (depreciation) | (77,045) | 65,522 |
Net increase (decrease) in net assets resulting | 75,102 | 291,762 |
Distributions to shareholders from net investment income | (125,000) | (195,256) |
Distributions to shareholders from net realized gain | (8,244) | (17,694) |
Total distributions | (133,244) | (212,950) |
Share transactions - net increase (decrease) | 922,103 | 1,127,698 |
Total increase (decrease) in net assets | 863,961 | 1,206,510 |
Net Assets | ||
Beginning of period | 4,682,909 | 3,476,399 |
End of period (including undistributed net investment income of $13,390 and undistributed net investment income of $8,150, respectively) | $ 5,546,870 | $ 4,682,909 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended June 30, 2007 | Years ended December 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.76 | $ 11.54 | $ 11.93 | $ 11.63 | $ 10.34 | $ 10.11 |
Income from Investment Operations | ||||||
Net investment income E | .304 | .600 | .571 | .600 | .617 | .668 |
Net realized and unrealized gain (loss) | (.111) | .248 | (.255) | .445 | 1.321 | .214 |
Total from investment operations | .193 | .848 | .316 | 1.045 | 1.938 | .882 |
Distributions from net investment income | (.293) | (.583) | (.551) | (.575) | (.648) | (.652) |
Distributions from net realized gain | (.020) | (.045) | (.155) | (.170) | - | - |
Total distributions | (.313) | (.628) | (.706) | (.745) | (.648) | (.652) |
Net asset value, end of period | $ 11.64 | $ 11.76 | $ 11.54 | $ 11.93 | $ 11.63 | $ 10.34 |
Total Return B, C, D | 1.64% | 7.54% | 2.75% | 9.31% | 19.20% | 9.09% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.01% A | .97% | .99% | 1.00% | 1.01% | 1.04% |
Expenses net of fee waivers, if any | 1.01% A | .97% | .99% | 1.00% | 1.01% | 1.04% |
Expenses net of all reductions | 1.00% A | .97% | .99% | 1.00% | 1.00% | 1.04% |
Net investment income | 5.22% A | 5.18% | 4.92% | 5.20% | 5.58% | 6.65% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 1,231 | $ 954 | $ 647 | $ 372 | $ 187 | $ 57 |
Portfolio turnover rate G | 80% A | 81% | 109% | 94% | 153% | 111% |
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 T
Six months ended June 30, 2007 | Years ended December 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.76 | $ 11.54 | $ 11.92 | $ 11.62 | $ 10.33 | $ 10.11 |
Income from Investment Operations | ||||||
Net investment income E | .304 | .594 | .564 | .593 | .604 | .660 |
Net realized and unrealized gain (loss) | (.111) | .248 | (.245) | .443 | 1.322 | .203 |
Total from investment operations | .193 | .842 | .319 | 1.036 | 1.926 | .863 |
Distributions from net investment income | (.293) | (.577) | (.544) | (.566) | (.636) | (.643) |
Distributions from net realized gain | (.020) | (.045) | (.155) | (.170) | - | - |
Total distributions | (.313) | (.622) | (.699) | (.736) | (.636) | (.643) |
Net asset value, end of period | $ 11.64 | $ 11.76 | $ 11.54 | $ 11.92 | $ 11.62 | $ 10.33 |
Total Return B, C, D | 1.64% | 7.49% | 2.77% | 9.23% | 19.09% | 8.89% |
Ratios to Average Net Assets F,H | ||||||
Expenses before reductions | 1.00% A | 1.02% | 1.05% | 1.07% | 1.11% | 1.13% |
Expenses net of fee waivers, if any | 1.00% A | 1.02% | 1.05% | 1.07% | 1.11% | 1.13% |
Expenses net of all reductions | 1.00% A | 1.02% | 1.05% | 1.07% | 1.11% | 1.13% |
Net investment income | 5.22% A | 5.13% | 4.86% | 5.13% | 5.47% | 6.57% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 2,358 | $ 2,049 | $ 1,427 | $ 808 | $ 515 | $ 279 |
Portfolio turnover rate G | 80% A | 81% | 109% | 94% | 153% | 111% |
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 June 30, 2007 | Years ended December 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.79 | $ 11.57 | $ 11.95 | $ 11.65 | $ 10.35 | $ 10.12 |
Income from Investment Operations | ||||||
Net investment income E | .261 | .511 | .486 | .513 | .533 | .595 |
Net realized and unrealized gain (loss) | (.112) | .247 | (.249) | .441 | 1.330 | .212 |
Total from investment operations | .149 | .758 | .237 | .954 | 1.863 | .807 |
Distributions from net investment income | (.249) | (.493) | (.462) | (.484) | (.563) | (.577) |
Distributions from net realized gain | (.020) | (.045) | (.155) | (.170) | - | - |
Total distributions | (.269) | (.538) | (.617) | (.654) | (.563) | (.577) |
Net asset value, end of period | $ 11.67 | $ 11.79 | $ 11.57 | $ 11.95 | $ 11.65 | $ 10.35 |
Total Return B, C, D | 1.27% | 6.70% | 2.06% | 8.45% | 18.38% | 8.28% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.76% A | 1.76% | 1.78% | 1.78% | 1.77% | 1.78% |
Expenses net of fee waivers, if any | 1.75% A | 1.75% | 1.75% | 1.78% | 1.77% | 1.78% |
Expenses net of all reductions | 1.75% A | 1.75% | 1.75% | 1.78% | 1.77% | 1.78% |
Net investment income | 4.47% A | 4.40% | 4.16% | 4.42% | 4.81% | 5.91% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 333 | $ 342 | $ 342 | $ 319 | $ 287 | $ 147 |
Portfolio turnover rate G | 80% A | 81% | 109% | 94% | 153% | 111% |
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 June 30, 2007 | Years ended December 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.74 | $ 11.53 | $ 11.91 | $ 11.61 | $ 10.32 | $ 10.10 |
Income from Investment Operations | ||||||
Net investment income E | .257 | .503 | .475 | .505 | .525 | .585 |
Net realized and unrealized gain (loss) | (.111) | .238 | (.246) | .444 | 1.320 | .204 |
Total from investment operations | .146 | .741 | .229 | .949 | 1.845 | .789 |
Distributions from net investment income | (.246) | (.486) | (.454) | (.479) | (.555) | (.569) |
Distributions from net realized gain | (.020) | (.045) | (.155) | (.170) | - | - |
Total distributions | (.266) | (.531) | (.609) | (.649) | (.555) | (.569) |
Net asset value, end of period | $ 11.62 | $ 11.74 | $ 11.53 | $ 11.91 | $ 11.61 | $ 10.32 |
Total Return B, C, D | 1.25% | 6.57% | 1.99% | 8.43% | 18.24% | 8.10% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.80% A | 1.81% | 1.82% | 1.82% | 1.84% | 1.87% |
Expenses net of fee waivers, if any | 1.80% A | 1.81% | 1.82% | 1.82% | 1.84% | 1.87% |
Expenses net of all reductions | 1.80% A | 1.81% | 1.82% | 1.82% | 1.84% | 1.87% |
Net investment income | 4.42% A | 4.34% | 4.09% | 4.37% | 4.74% | 5.83% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 781 | $ 683 | $ 540 | $ 405 | $ 277 | $ 68 |
Portfolio turnover rate G | 80% A | 81% | 109% | 94% | 153% | 111% |
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 June 30,2007 | Years ended December 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.86 | $ 11.63 | $ 12.02 | $ 11.71 | $ 10.40 | $ 10.17 |
Income from Investment Operations | ||||||
Net investment income D | .320 | .627 | .599 | .627 | .635 | .685 |
Net realized and unrealized gain (loss) | (.114) | .252 | (.262) | .449 | 1.338 | .210 |
Total from investment operations | .206 | .879 | .337 | 1.076 | 1.973 | .895 |
Distributions from net investment income | (.306) | (.604) | (.572) | (.596) | (.663) | (.665) |
Distributions from net realized gain | (.020) | (.045) | (.155) | (.170) | - | - |
Total distributions | (.326) | (.649) | (.727) | (.766) | (.663) | (.665) |
Net asset value, end of period | $ 11.74 | $ 11.86 | $ 11.63 | $ 12.02 | $ 11.71 | $ 10.40 |
Total Return B, C | 1.74% | 7.76% | 2.91% | 9.53% | 19.44% | 9.17% |
Ratios to Average Net Assets E, G | ||||||
Expenses before reductions | .78% A | .79% | .81% | .81% | .87% | .92% |
Expenses net of fee waivers, if any | .78% A | .79% | .81% | .81% | .87% | .92% |
Expenses net of all reductions | .77% A | .79% | .80% | .81% | .87% | .92% |
Net investment income | 5.45% A | 5.36% | 5.10% | 5.38% | 5.71% | 6.78% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 843 | $ 655 | $ 520 | $ 424 | $ 291 | $ 120 |
Portfolio turnover rate F | 80% A | 81% | 109% | 94% | 153% | 111% |
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 June 30, 2007 (Unaudited)
(Amounts in thousands except ratios)
1. Organization.
Fidelity Advisor Strategic Income Fund (the Fund) is a fund of Fidelity Advisor Series II (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
The Fund offers Class A, Class T, Class 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.
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.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The following summarizes the Fund's investment in each Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
Fidelity Floating Rate Central Fund | Fidelity Management & Research Company, Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments, Repurchase Agreements, Restricted Securities |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
2. Investments in Fidelity Central Funds - continued
A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at advisor.fidelity.com. A complete list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. 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. 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.
Semiannual Report
3. Significant Accounting Policies - continued
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. 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. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
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. The Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund adopted the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes, on June 29, 2007. FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the three year period ended June 29, 2007, remains subject to examination by the Internal Revenue Service. 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 foreign currency transactions, prior period premium and discount on debt securities, defaulted bonds, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, financing transactions, losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 119,456 |
Unrealized depreciation | (61,879) |
Net unrealized appreciation (depreciation) | $ 57,577 |
Cost for federal income tax purposes | $ 5,645,979 |
New Accounting Pronouncement. 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.
Semiannual Report
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.
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.
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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
4. Operating Policies - continued
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk. Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements".
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $1,388,032 and $876,272, 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 selling shares of
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan - continued
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% | $ 1,074 | $ 93 |
Class T | 0% | .25% | 2,841 | 166 |
Class B | .65% | .25% | 1,524 | 1,114 |
Class C | .75% | .25% | 3,674 | 1,058 |
$ 9,113 | $ 2,431 |
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 | $ 322 |
Class T | 91 |
Class B* | 376 |
Class C* | 56 |
$ 845 |
* 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
reports, except proxy statements. For the period, the total transfer agent fees paid by each class to FIIOC, were as follows:
Amount | % of Average | |
Class A | $ 981 | .19 |
Class T | 1,545 | .14 |
Class B | 397 | .24 |
Class C | 646 | .18 |
Institutional Class | 603 | .16 |
$ 4,172 |
* 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 $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.
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% | $ 15 |
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.
Semiannual Report
8. Expense Reductions - continued
During the period, these credits reduced the Fund's custody expenses by $33. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | |
Class A | $ 9 |
Class T | 2 |
Class C | 1 |
Institutional Class | 3 |
$ 15 |
9. Credit Risk.
The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.
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, FIIOC, the Fund's transfer agent 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. 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 which did not result in a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
10. Other - continued
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.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 26,352 | $ 39,561 |
Class T | 56,593 | 85,776 |
Class B | 7,159 | 14,254 |
Class C | 15,389 | 25,171 |
Institutional Class | 19,507 | 30,494 |
Total | $ 125,000 | $ 195,256 |
From net realized gain | ||
Class A | $ 1,682 | $ 3,611 |
Class T | 3,631 | 7,750 |
Class B | 578 | 1,297 |
Class C | 1,193 | 2,586 |
Institutional Class | 1,160 | 2,450 |
Total | $ 8,244 | $ 17,694 |
Semiannual Report
12. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended June 30, | Year ended | Six months ended June 30, | Year ended | |
Class A | ||||
Shares sold | 33,858 | 40,212 | $ 397,677 | $ 466,984 |
Reinvestment of distributions | 1,979 | 3,038 | 23,267 | 35,402 |
Shares redeemed | (11,187) | (18,183) | (131,637) | (210,949) |
Net increase (decrease) | 24,650 | 25,067 | $ 289,307 | $ 291,437 |
Class T | ||||
Shares sold | 48,739 | 77,408 | $ 574,030 | $ 898,907 |
Reinvestment of distributions | 4,871 | 7,566 | 57,269 | 88,116 |
Shares redeemed | (25,208) | (34,402) | (296,044) | (398,985) |
Net increase (decrease) | 28,402 | 50,572 | $ 335,255 | $ 588,038 |
Class B | ||||
Shares sold | 3,184 | 6,165 | $ 37,558 | $ 71,729 |
Reinvestment of distributions | 486 | 980 | 5,726 | 11,432 |
Shares redeemed | (4,119) | (7,683) | (48,572) | (89,296) |
Net increase (decrease) | (449) | (538) | $ (5,288) | $ (6,135) |
Class C | ||||
Shares sold | 13,807 | 20,716 | $ 162,292 | $ 240,191 |
Reinvestment of distributions | 1,018 | 1,708 | 11,951 | 19,867 |
Shares redeemed | (5,753) | (11,121) | (67,592) | (128,793) |
Net increase (decrease) | 9,072 | 11,303 | $ 106,651 | $ 131,265 |
Institutional Class | ||||
Shares sold | 20,879 | 32,933 | $ 247,758 | $ 385,367 |
Reinvestment of distributions | 1,312 | 2,240 | 15,564 | 26,269 |
Shares redeemed | (5,656) | (24,654) | (67,144) | (288,543) |
Net increase (decrease) | 16,535 | 10,519 | $ 196,178 | $ 123,093 |
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Strategic Income Fund
Each year, typically in June, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. At the time of the renewal, the Board had 12 standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such committee, the Fixed-Income Contract Committee, meets periodically as needed throughout the year to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the Independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its June 2007 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the management fee and total expenses of the fund; (iii) the total costs of the services to be provided by and the profits to be realized by the investment adviser and its affiliates from the relationship with the fund; (iv) the extent to which economies of scale would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders. The Board also approved amendments to the fund's agreements with foreign sub-advisers to clarify that each sub-adviser provides services as an independent contractor.
In determining whether to renew the Advisory Contracts for the fund, the Board ultimately reached a determination, with the assistance of fund counsel and Independent Trustees' counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity's fiduciary duty under applicable law. In addition to evaluating the specific factors noted above, the Board, in reaching its determination, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund's shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the backgrounds of the fund's portfolio managers and the fund's investment objective and discipline. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity's analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, distribution, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the Investment Advisers' supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services. The Board also considered that Fidelity voluntarily pays for market data out of its own resources. The Board also considered the agreement reached between the Independent Trustees and Fidelity in December 2006 following an independent review of matters relating to receipt of travel, entertainment, gifts and gratuities in violation of Fidelity policies.
Semiannual Report
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 investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying a sales charge. The Board noted that, since the last Advisory Contract renewals in June 2006, Fidelity has taken a number of actions that benefited particular funds, including (i) dedicating additional resources to investment research and to restructure the investment research teams; (ii) contractually agreeing to reduce the management fee on Fidelity Advisor Floating Rate High Income Fund; (iii) contractually agreeing to reduce the management fees on Fidelity's California, Massachusetts, New Jersey, and New York AMT Tax-Free Money Market Funds, launching new Institutional Classes and Service Classes of these funds, and contractually agreeing to impose expense limitations on these funds; (iv) eliminating the exchange fee on the Fidelity Select Portfolios and reducing the pricing and bookkeeping fee rates for these funds; (v) reducing the maximum transfer agency fee rates on high income funds and certain equity funds; (vi) proposing amended management contracts that, if approved by shareholders, will add a performance adjustment component to the management fees paid by 18 Fidelity Advisor equity funds; (vii) contractually agreeing to reduce fees for Ultra-Short Central Fund and the money market Central Funds; (viii) waiving the Fidelity Advisor funds' contingent deferred sales charge on certain redemptions made through systematic withdrawal programs; and (ix) amending the management contracts for equity and fixed-income funds whose management contracts incorporate a "group fee" structure by adding four new fee "breakpoints" to the group fee rate schedules.
Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance for each class, as well as the fund's relative investment performance for each class measured against (i) a proprietary custom index, and (ii) a peer group of mutual funds deemed appropriate by the Board over multiple periods. The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2006, the cumulative total returns of Institutional Class (Class I) and Class C of the fund, the cumulative total returns of a proprietary custom index ("benchmark"), and a range of cumulative total returns of a peer group of mutual funds identified by Morningstar, Inc. as having an investment style similar to that of the fund based on underlying portfolio holdings. The returns of Institutional Class (Class I) and Class C show the performance of the highest and lowest performing classes, respectively (based on three-year performance). The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the class indicated. The fund's proprietary custom index is an index developed by FMR that represents the performance of the fund's four general investment categories according to their respective weightings in the fund's neutral mix.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Fidelity Advisor Strategic Income Fund
The Board reviewed the fund's relative investment performance against its peer group and stated that the performance of Institutional Class (Class I) of the fund was in the second quartile for the one-year period and the first quartile for the three- and five-year periods. The Board also stated that the relative investment performance of Institutional Class (Class I) of the fund compared favorably to its benchmark for the three- and five-year periods, although the fund's one-year cumulative total return was lower than its benchmark. The Board considered that the variations in performance among the fund's classes reflect the variations in class expenses, which result in lower performance for higher expense classes.
Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance, the Board concluded that the nature, extent, and quality of the services provided 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.
Semiannual Report
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable management fee characteristics. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.
The Board considered two proprietary management fee comparisons for the 12-month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a TMG % of 28% means that 72% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee ranked, is also included in the chart and considered by the Board.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Fidelity Advisor Strategic Income Fund
The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2006. Based on its review, the Board concluded that the fund's management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.
In its review of each class's total expenses, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered current and historical total expenses of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
The Board noted that the total expenses of each of Class A, Class T, and Class B ranked below its competitive median for 2006, the total expenses of Institutional Class ranked equal to its competitive median for 2006, and the total expenses of Class C ranked above its competitive median for 2006. The Board noted that the fund offers multiple classes, each of which has a different sales load and 12b-1 fee structure, and that the multiple structures are intended to offer a range of pricing options for the intermediary market. The Board also noted that the total expenses of the classes vary primarily by the level of their 12b-1 fees, although differences in transfer agent fees may also cause expenses to vary from class to class.
Semiannual Report
In its review of total expenses, the Board also considered Fidelity fee structures and other information on clients that FMR and its affiliates service in other competitive markets, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients.
Based on its review, the Board concluded that the total expenses of each class of the fund were reasonable, although in one case above the median of the universe presented for comparison, in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
On an annual basis, FMR presents to the Board Fidelity's profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of the results of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity's non-fund businesses and any fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and determined that the amount of profit is a fair entrepreneurial profit for the management of the fund.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions, including reductions that occur through operation of the transfer agent agreement. The transfer agent fee varies in part based on the number of accounts in the fund. If the number of accounts decreases or the average account size increases, the overall transfer agent fee rate decreases.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total fund assets under FMR's management increase, and for higher group fee rates as total fund assets under FMR's management decrease. FMR determines the group fee rates based on a tiered asset "breakpoint" schedule. In connection with the renewal of the fund's management contract, the Board approved amendments to the fund's management contract that added four new fee breakpoints to the group fee rate schedule for assets under FMR's management above $1,386 billion. The Board considered that the group fee rate declines under both the present and amended schedules, but that under the amended schedule, the group fee rate declines faster as assets under FMR's management exceed $1,386 billion. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will achieve a certain level of economies of scale as assets under FMR's management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
The Board further concluded that any potential economies of scale are being shared between fund shareholders and Fidelity in an appropriate manner.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on several topics, including (i) Fidelity's fund profitability methodology, profitability by investment discipline, and profitability trends within certain funds; (ii) Fidelity's compensation structure relative to competitors and its effect on profitability; (iii) funds and accounts managed by Fidelity other than the Fidelity funds, including fee arrangements; (iv) the total expenses of certain funds and classes relative to competitors; (v) fund performance trends; (vi) fall-out benefits received by certain Fidelity affiliates; and (vii) Fidelity's fee structures.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
Semiannual Report
Semiannual Report
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Research & Analysis Company
Fidelity Investments Japan Limited
Fidelity International Investment Advisors
Fidelity International Investment Advisors (U.K.) Limited
Fidelity Investments Money Management, Inc.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
SI-USAN-0807
1.787775.104
(Fidelity Investment logo)(registered trademark)
Fidelity ® Advisor
Strategic Income
Fund - Institutional Class
Semiannual Report
June 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 http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR 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 holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Stocks are currently on pace to register their fifth-straight year of positive returns, although gains could be trimmed if the U.S. economy continues to slow. 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 (January 1, 2007 to June 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
Investments - continued
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,016.40 | $ 5.05 |
HypotheticalA | $ 1,000.00 | $ 1,019.79 | $ 5.06 |
Class T | |||
Actual | $ 1,000.00 | $ 1,016.40 | $ 5.00 |
HypotheticalA | $ 1,000.00 | $ 1,019.84 | $ 5.01 |
Class B | |||
Actual | $ 1,000.00 | $ 1,012.70 | $ 8.73 |
HypotheticalA | $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Class C | |||
Actual | $ 1,000.00 | $ 1,012.50 | $ 8.98 |
HypotheticalA | $ 1,000.00 | $ 1,015.87 | $ 9.00 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,017.40 | $ 3.90 |
HypotheticalA | $ 1,000.00 | $ 1,020.93 | $ 3.91 |
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 | 1.01% |
Class T | 1.00% |
Class B | 1.75% |
Class C | 1.80% |
Institutional Class | .78% |
Semiannual Report
Investment Changes
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each Fidelity Central Fund.
Top Five Holdings as of June 30, 2007 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 12.1 | 13.2 |
Fannie Mae | 10.3 | 10.8 |
Freddie Mac | 7.3 | 4.3 |
French Republic | 3.0 | 3.7 |
Japan Government | 2.2 | 2.5 |
34.9 | ||
Top Five Market Sectors as of June 30, 2007 | ||
% of fund's | % of fund's net assets | |
Consumer Discretionary | 9.3 | 8.7 |
Financials | 7.2 | 6.0 |
Telecommunication Services | 5.4 | 5.9 |
Information Technology | 4.3 | 4.6 |
Energy | 4.1 | 5.1 |
Quality Diversification (% of fund's net assets) as of June 30, 2007 | |||||||
As of June 30, 2007* | As of December 31, 2006** | ||||||
![]() | U.S.Government | ![]() | U.S.Government | ||||
![]() | AAA,AA,A 13.7% | ![]() | AAA,AA,A 14.1% | ||||
![]() | BBB 5.0% | ![]() | BBB 4.7% | ||||
![]() | BB 15.5% | ![]() | BB 17.7% | ||||
![]() | B 17.7% | ![]() | B 19.2% | ||||
![]() | CCC,CC,C 6.1% | ![]() | CCC,CC,C 4.7% | ||||
![]() | D 0.0% | ![]() | D 0.1% | ||||
![]() | Not Rated 4.0% | ![]() | Not Rated 3.0% | ||||
![]() | Equities 0.6% | ![]() | Equities 0.5% | ||||
![]() | 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 June 30, 2007 | As of December 31, 2006 | ||||||
![]() | Preferred Securities 0.8% | ![]() | Preferred Securities 0.0% | ||||
![]() | Corporate Bonds 30.6% | ![]() | Corporate Bonds 33.9% | ||||
![]() | U.S. Government | ![]() | U.S. Government | ||||
![]() | Foreign Government & Government Agency Obligations 18.9% | ![]() | Foreign Government & Government Agency Obligations 21.9% | ||||
![]() | Floating Rate Loans 10.3% | ![]() | Floating Rate Loans 6.8% | ||||
![]() | Stocks 0.6% | ![]() | Stocks 0.5% | ||||
![]() | Other Investments 1.4% | ![]() | Other Investments 0.9% | ||||
![]() | Short-Term | ![]() | Short-Term |
* Foreign | 28.5% | ** Foreign | 32.7% | ||||
* Swaps | 1.7% | ** Swaps | 0.0% |
A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at advisor.fidelity.com.
Semiannual Report
Investments June 30, 2007 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 30.1% | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Convertible Bonds - 0.2% | ||||
CONSUMER DISCRETIONARY - 0.1% | ||||
Media - 0.1% | ||||
Liberty Media Corp. (Sprint Corp. PCS Series 1) 3.75% 2/15/30 | $ 6,685 | $ 4,153 | ||
INFORMATION TECHNOLOGY - 0.1% | ||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Advanced Micro Devices, Inc. 6% 5/1/15 (g) | 9,390 | 9,038 | ||
ON Semiconductor Corp. 0% 4/15/24 | 450 | 543 | ||
9,581 | ||||
TOTAL CONVERTIBLE BONDS | 13,734 | |||
Nonconvertible Bonds - 29.9% | ||||
CONSUMER DISCRETIONARY - 5.1% | ||||
Auto Components - 0.1% | ||||
Affinia Group, Inc. 9% 11/30/14 | 2,950 | 2,884 | ||
Delco Remy International, Inc.: | ||||
9.375% 4/15/12 (c) | 590 | 596 | ||
11% 5/1/09 (c) | 695 | 716 | ||
Visteon Corp. 7% 3/10/14 | 4,185 | 3,620 | ||
7,816 | ||||
Automobiles - 0.4% | ||||
General Motors Corp.: | ||||
8.375% 7/5/33 | EUR | 1,000 | 1,266 | |
8.375% 7/15/33 | 21,450 | 19,466 | ||
20,732 | ||||
Diversified Consumer Services - 0.1% | ||||
Affinion Group, Inc. 11.5% 10/15/15 | 2,990 | 3,229 | ||
Hotels, Restaurants & Leisure - 1.0% | ||||
Carrols Corp. 9% 1/15/13 | 4,095 | 4,023 | ||
Gaylord Entertainment Co.: | ||||
6.75% 11/15/14 | 3,690 | 3,616 | ||
8% 11/15/13 | 920 | 941 | ||
Landry's Seafood Restaurants, Inc. 7.5% 12/15/14 | 2,935 | 2,847 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Mandalay Resort Group: | ||||
6.375% 12/15/11 | $ 4,220 | $ 4,209 | ||
6.5% 7/31/09 | 1,995 | 2,005 | ||
MGM Mirage, Inc.: | ||||
6% 10/1/09 | 1,050 | 1,038 | ||
6.625% 7/15/15 | 1,595 | 1,463 | ||
6.75% 9/1/12 | 1,310 | 1,269 | ||
6.75% 4/1/13 | 1,020 | 978 | ||
6.875% 4/1/16 | 1,935 | 1,804 | ||
7.5% 6/1/16 | 1,965 | 1,847 | ||
8.5% 9/15/10 | 435 | 458 | ||
Mohegan Tribal Gaming Authority 6.875% 2/15/15 | 2,140 | 2,081 | ||
Scientific Games Corp. 6.25% 12/15/12 | 660 | 632 | ||
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (g) | 1,540 | 1,540 | ||
Six Flags, Inc.: | ||||
9.625% 6/1/14 | 1,095 | 1,013 | ||
9.75% 4/15/13 | 7,360 | 6,918 | ||
Speedway Motorsports, Inc. 6.75% 6/1/13 | 3,495 | 3,425 | ||
Town Sports International Holdings, Inc. 0% 2/1/14 (e) | 3,328 | 3,062 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 2,555 | 2,708 | ||
Vail Resorts, Inc. 6.75% 2/15/14 | 5,060 | 4,934 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
0% 1/15/13 (e) | 1,070 | 819 | ||
9% 1/15/12 | 575 | 592 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/12 (g) | 413 | 432 | ||
Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 735 | 744 | ||
55,398 | ||||
Household Durables - 0.0% | ||||
Urbi, Desarrollos Urbanos, SA de CV 8.5% 4/19/16 (g) | 1,660 | 1,746 | ||
Leisure Equipment & Products - 0.0% | ||||
Riddell Bell Holdings, Inc. 8.375% 10/1/12 | 720 | 709 | ||
Media - 2.7% | ||||
AMC Entertainment, Inc. 11% 2/1/16 | 2,610 | 2,923 | ||
Cablemas SA de CV (Reg. S) 9.375% 11/15/15 | 5,010 | 5,486 | ||
CanWest Media, Inc. 8% 9/15/12 | 860 | 860 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp. 11% 10/1/15 | $ 9,708 | $ 10,059 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.: | ||||
Series B, 10.25% 9/15/10 | 3,850 | 4,033 | ||
10.25% 9/15/10 | 2,720 | 2,836 | ||
CSC Holdings, Inc.: | ||||
7.25% 4/15/12 | 7,060 | 6,866 | ||
7.625% 4/1/11 | 2,580 | 2,561 | ||
7.625% 7/15/18 | 10,760 | 10,222 | ||
7.875% 2/15/18 | 12,905 | 12,357 | ||
EchoStar Communications Corp.: | ||||
6.375% 10/1/11 | 3,705 | 3,640 | ||
6.625% 10/1/14 | 9,095 | 8,731 | ||
7% 10/1/13 | 3,800 | 3,743 | ||
7.125% 2/1/16 | 4,615 | 4,523 | ||
Haights Cross Communications, Inc. 0% 8/15/11 (e) | 1,550 | 1,163 | ||
iesy Repository GmbH 10.375% 2/15/15 (g) | 2,090 | 2,153 | ||
Liberty Media Corp.: | ||||
8.25% 2/1/30 | 5,895 | 5,717 | ||
8.5% 7/15/29 | 13,390 | 13,372 | ||
Livent, Inc. yankee 9.375% 10/15/04 (c) | 300 | 3 | ||
MediMedia USA, Inc. 11.375% 11/15/14 (g) | 850 | 893 | ||
PanAmSat Corp.: | ||||
6.375% 1/15/08 | 490 | 488 | ||
9% 8/15/14 | 2,860 | 2,982 | ||
9% 6/15/16 | 2,240 | 2,358 | ||
Rainbow National LLC & RNS Co. Corp.: | ||||
8.75% 9/1/12 (g) | 3,280 | 3,428 | ||
10.375% 9/1/14 (g) | 14,415 | 15,857 | ||
Sun Media Corp. Canada 7.625% 2/15/13 | 635 | 640 | ||
The Reader's Digest Association, Inc. 9% 2/15/17 (g) | 3,000 | 2,805 | ||
TL Acquisitions, Inc.: | ||||
0% 7/15/15 (e)(g) | 10,390 | 7,805 | ||
10.5% 1/15/15 (g) | 10,480 | 10,166 | ||
Videotron Ltee 6.875% 1/15/14 | 550 | 534 | ||
149,204 | ||||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Multiline Retail - 0.2% | ||||
Dollar General Corp. 10.625% 7/15/15 (g) | $ 13,060 | $ 12,538 | ||
Specialty Retail - 0.4% | ||||
AutoNation, Inc. 7.3556% 4/15/13 (h) | 1,000 | 1,003 | ||
Claire's Stores, Inc. 10.5% 6/1/17 (g) | 2,110 | 1,946 | ||
Michaels Stores, Inc.: | ||||
0% 11/1/16 (e)(g) | 445 | 284 | ||
10% 11/1/14 (g) | 4,990 | 5,152 | ||
11.375% 11/1/16 (g) | 4,820 | 5,025 | ||
Sally Holdings LLC: | ||||
9.25% 11/15/14 (g) | 1,460 | 1,460 | ||
10.5% 11/15/16 (g) | 4,840 | 4,852 | ||
19,722 | ||||
Textiles, Apparel & Luxury Goods - 0.2% | ||||
Levi Strauss & Co.: | ||||
8.875% 4/1/16 | 7,535 | 7,723 | ||
9.75% 1/15/15 | 3,880 | 4,190 | ||
11,913 | ||||
TOTAL CONSUMER DISCRETIONARY | 283,007 | |||
CONSUMER STAPLES - 0.5% | ||||
Beverages - 0.0% | ||||
Cerveceria Nacional Dominicana C por A 16% 3/27/12 (g) | 1,560 | 1,728 | ||
Food & Staples Retailing - 0.1% | ||||
Rite Aid Corp.: | ||||
9.375% 12/15/15 (g) | 2,870 | 2,762 | ||
9.5% 6/15/17 (g) | 4,310 | 4,154 | ||
6,916 | ||||
Food Products - 0.3% | ||||
Bertin Ltda 10.25% 10/5/16 (g) | 1,685 | 1,849 | ||
Gruma SA de CV 7.75% | 5,310 | 5,390 | ||
Hines Nurseries, Inc. 10.25% 10/1/11 | 370 | 297 | ||
Michael Foods, Inc. 8% 11/15/13 | 420 | 422 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 900 | 927 | ||
Reddy Ice Holdings, Inc. 0% 11/1/12 (e) | 3,250 | 3,023 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food Products - continued | ||||
Smithfield Foods, Inc. 7.75% 7/1/17 | $ 2,810 | $ 2,789 | ||
Swift & Co. 10.125% 10/1/09 | 915 | 942 | ||
15,639 | ||||
Household Products - 0.0% | ||||
Central Garden & Pet Co. 9.125% 2/1/13 | 260 | 267 | ||
Personal Products - 0.0% | ||||
Elizabeth Arden, Inc. 7.75% 1/15/14 | 470 | 475 | ||
Tobacco - 0.1% | ||||
BAT Holdings BV 4.375% 9/15/14 | EUR | 1,500 | 1,925 | |
TOTAL CONSUMER STAPLES | 26,950 | |||
ENERGY - 3.3% | ||||
Energy Equipment & Services - 0.4% | ||||
Allis-Chalmers Energy, Inc. 8.5% 3/1/17 | 1,200 | 1,199 | ||
CHC Helicopter Corp. 7.375% 5/1/14 | 3,185 | 3,105 | ||
Complete Production Services, Inc. 8% 12/15/16 (g) | 4,670 | 4,717 | ||
Hanover Compressor Co.: | ||||
7.5% 4/15/13 | 530 | 531 | ||
8.625% 12/15/10 | 490 | 505 | ||
9% 6/1/14 | 4,260 | 4,505 | ||
Ocean Rig Norway AS 8.375% 7/1/13 (g) | 1,020 | 1,061 | ||
Petroliam Nasional BHD (Petronas) 7.625% 10/15/26 (Reg. S) | 2,920 | 3,432 | ||
Seabulk International, Inc. 9.5% 8/15/13 | 3,290 | 3,516 | ||
22,571 | ||||
Oil, Gas & Consumable Fuels - 2.9% | ||||
ANR Pipeline, Inc. 7.375% 2/15/24 | 2,165 | 2,306 | ||
Atlas Pipeline Partners LP 8.125% 12/15/15 | 4,710 | 4,739 | ||
Berry Petroleum Co. 8.25% 11/1/16 | 2,930 | 2,952 | ||
Chaparral Energy, Inc.: | ||||
8.5% 12/1/15 | 2,530 | 2,473 | ||
8.875% 2/1/17 (g) | 2,070 | 2,044 | ||
Chesapeake Energy Corp.: | ||||
6.5% 8/15/17 | 8,855 | 8,390 | ||
6.875% 11/15/20 | 7,280 | 6,971 | ||
7% 8/15/14 | 865 | 860 | ||
7.5% 6/15/14 | 850 | 867 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Chesapeake Energy Corp.: - continued | ||||
7.625% 7/15/13 | $ 8,300 | $ 8,508 | ||
Colorado Interstate Gas Co. 6.8% 11/15/15 | 5,320 | 5,466 | ||
Drummond Co., Inc. 7.375% 2/15/16 (g) | 4,000 | 3,760 | ||
Encore Acquisition Co. 6.25% 4/15/14 | 1,500 | 1,343 | ||
EXCO Resources, Inc. 7.25% 1/15/11 | 570 | 564 | ||
Forest Oil Corp. 8% 12/15/11 | 480 | 492 | ||
Gaz Capital SA (Luxembourg) 6.58% 10/31/13 | GBP | 900 | 1,784 | |
Harvest Operations Corp. 7.875% 10/15/11 | 1,170 | 1,147 | ||
InterNorth, Inc. 9.625% 3/16/06 (c) | 935 | 276 | ||
Mariner Energy, Inc. 8% 5/15/17 | 1,420 | 1,452 | ||
Massey Energy Co. 6.875% 12/15/13 | 6,330 | 5,760 | ||
Northwest Pipeline Corp. 6.625% 12/1/07 | 285 | 285 | ||
OPTI Canada, Inc. 7.875% 12/15/14 (g) | 5,250 | 5,263 | ||
Pan American Energy LLC 7.75% 2/9/12 (g) | 6,265 | 6,296 | ||
Peabody Energy Corp.: | ||||
7.375% 11/1/16 | 5,640 | 5,767 | ||
7.875% 11/1/26 | 5,640 | 5,866 | ||
Pemex Project Funding Master Trust: | ||||
5.5% 2/24/25 (g) | EUR | 750 | 988 | |
6.625% 6/15/35 | 6,020 | 6,110 | ||
Petrohawk Energy Corp. 9.125% 7/15/13 | 6,000 | 6,345 | ||
Petroleos de Venezuela SA 5.25% 4/12/17 | 3,385 | 2,564 | ||
Petrozuata Finance, Inc.: | ||||
7.63% 4/1/09 (g) | 7,420 | 7,291 | ||
8.22% 4/1/17 (g) | 6,748 | 6,579 | ||
Pogo Producing Co.: | ||||
6.875% 10/1/17 | 4,290 | 4,247 | ||
7.875% 5/1/13 | 2,605 | 2,664 | ||
Range Resources Corp. 7.375% 7/15/13 | 2,190 | 2,206 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 7,015 | 7,225 | ||
Southern Star Central Corp. 6.75% 3/1/16 | 1,560 | 1,513 | ||
Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13 (g) | 1,220 | 1,238 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 561 | ||
7.5% 4/1/17 | 7,600 | 8,132 | ||
7.625% 4/1/37 | 1,035 | 1,128 | ||
8.375% 6/15/32 | 1,155 | 1,346 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Transcontinental Gas Pipe Line Corp.: | ||||
7% 8/15/11 | $ 330 | $ 343 | ||
8.875% 7/15/12 | 1,455 | 1,630 | ||
Venoco, Inc. 8.75% 12/15/11 | 1,470 | 1,525 | ||
W&T Offshore, Inc. 8.25% 6/15/14 (g) | 5,300 | 5,221 | ||
YPF SA 10% 11/2/28 | 4,335 | 5,478 | ||
159,965 | ||||
TOTAL ENERGY | 182,536 | |||
FINANCIALS - 6.1% | ||||
Capital Markets - 0.2% | ||||
E*TRADE Financial Corp. 7.375% 9/15/13 | 4,570 | 4,707 | ||
Mizuho Capital Investment Europe 1 Ltd. 5.02% (h) | EUR | 800 | 1,070 | |
Morgan Stanley 4.279% 7/20/12 (h) | EUR | 2,880 | 3,891 | |
9,668 | ||||
Commercial Banks - 1.4% | ||||
Banca Popolare di Bergamo 8.364% (h) | EUR | 1,000 | 1,490 | |
Banca Popolare di Lodi Investor Trust III 6.742% (h) | EUR | 1,300 | 1,839 | |
Banco Nacional de Desenvolvimento Economico e Social 5.84% 6/16/08 (h) | 18,175 | 18,039 | ||
Bank of Tokyo-Mitsubishi Ltd. 3.5% 12/16/15 (h) | EUR | 1,150 | 1,483 | |
BBVA Bancomer SA (Cayman Islands) (Reg. S) 4.799% 5/17/17 (h) | EUR | 1,725 | 2,289 | |
Caja Madrid SA 4.24% 10/17/16 (h) | EUR | 1,500 | 2,030 | |
Credit Agricole SA 4.184% 9/30/08 (h) | EUR | 1,000 | 1,353 | |
Development Bank of Philippines 8.375% (h) | 5,155 | 5,490 | ||
DnB NOR Bank ASA 4.5971% 8/11/09 (h) | CAD | 1,500 | 1,413 | |
Export-Import Bank of India 1.1944% 6/7/12 (h) | JPY | 320,000 | 2,594 | |
HBOS Treasury Services PLC 4.5571% 1/19/10 (h) | CAD | 1,500 | 1,412 | |
JPMorgan Chase Bank 4.375% 11/30/21 (h) | EUR | 1,500 | 1,894 | |
Korea Development Bank (Reg.) 0.87% 6/28/10 | JPY | 600,000 | 4,784 | |
Kyivstar GSM: | ||||
7.75% 4/27/12 (Issued by Dresdner Bank AG for Kyivstar GSM) (g) | 3,260 | 3,309 | ||
10.375% 8/17/09 (Issued by Dresdner Bank AG for Kyivstar GSM) (g) | 7,090 | 7,551 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Santander Finance Preferred SA Unipersonal 7.005% (h) | GBP | 800 | $ 1,597 | |
Santander Issuances SA Unipersonal 5.75% 1/31/18 (h) | GBP | 800 | 1,550 | |
SMFG Finance Ltd. 6.164% (h) | GBP | 600 | 1,136 | |
Standard Chartered Bank: | ||||
3.625% 2/3/17 (f) | EUR | 385 | 491 | |
4.462% 3/28/18 (h) | EUR | 1,250 | 1,693 | |
Sumitomo Mitsui Banking Corp.: | ||||
(Reg. S) 4.375% (h) | EUR | 2,000 | 2,501 | |
1.6413% (h) | JPY | 100,000 | 819 | |
TuranAlem Finance BV 6.25% 9/27/11 | EUR | 1,750 | 2,306 | |
UniCredito Italiano Capital Trust I 4.028% (h) | EUR | 2,750 | 3,341 | |
Vimpel Communications: | ||||
8% 2/11/10 (Issued by UBS Luxembourg SA for Vimpel Communications) | 3,940 | 4,056 | ||
8.25% 5/23/16 (Issued by UBS Luxembourg SA for Vimpel Communications) | 3,170 | 3,309 | ||
79,769 | ||||
Consumer Finance - 1.3% | ||||
ACE Cash Express, Inc. 10.25% 10/1/14 (g) | 1,420 | 1,438 | ||
Ford Credit Europe PLC 5.164% 9/30/09 (h) | EUR | 1,500 | 2,002 | |
Ford Motor Credit Co. LLC 9.875% 8/10/11 | 7,610 | 7,988 | ||
General Motors Acceptance Corp.: | ||||
6.75% 12/1/14 | 9,520 | 9,092 | ||
6.875% 9/15/11 | 5,190 | 5,073 | ||
6.875% 8/28/12 | 6,460 | 6,314 | ||
8% 11/1/31 | 32,045 | 32,686 | ||
HSBC Finance Corp. 4.875% 5/30/17 | EUR | 2,450 | 3,221 | |
SLM Corp.: | ||||
4.295% 6/15/09 (h) | EUR | 550 | 726 | |
4.345% 12/15/10 (h) | EUR | 1,100 | 1,405 | |
69,945 | ||||
Diversified Financial Services - 1.9% | ||||
BA Covered Bond 4.125% 4/5/12 | EUR | 11,350 | 14,946 | |
Caisse d'Amort de la Dette Societe 4.125% 4/25/17 | EUR | 11,500 | 14,833 | |
Canada Housing Trust No.1 4.65% 9/15/09 | CAD | 16,600 | 15,561 | |
CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13 | 4,520 | 4,588 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
CEMEX Finance Europe BV 4.75% 3/5/14 | EUR | 1,250 | $ 1,627 | |
Cerro Negro Finance Ltd.: | ||||
(Reg. S) 7.33% 12/1/09 | 1,845 | 1,817 | ||
7.33% 12/1/09 (g) | 1,788 | 1,761 | ||
CHR Intermediate Holding Corp. 12.61% 6/1/13 pay-in-kind (g)(h) | 1,340 | 1,335 | ||
Citigroup, Inc. 4.25% 2/25/30 (h) | EUR | 1,500 | 1,748 | |
DaimlerChrysler NA Holding Corp. 4.375% 3/16/10 | EUR | 1,350 | 1,802 | |
ExIm Ukraine 7.65% 9/7/11 (Issued by Credit Suisse London Branch for ExIm Ukraine) | 5,305 | 5,405 | ||
Getin Finance PLC 6.036% 5/13/09 (h) | EUR | 650 | 884 | |
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | 2,056 | 2,133 | ||
Hyundai Capital Services, Inc. 1.6% 3/14/08 | JPY | 300,000 | 2,443 | |
IFIL Finanziaria di Partecipazioni SpA 5.375% 6/12/17 | EUR | 1,450 | 1,931 | |
Imperial Tobacco Finance 4.375% 11/22/13 | EUR | 900 | 1,165 | |
KAR Holdings, Inc.: | ||||
8.75% 5/1/14 (g) | 1,990 | 1,950 | ||
10% 5/1/15 (g) | 2,100 | 2,048 | ||
Pakistan International Sukuk Co. Ltd. 7.6% 1/27/10 (h) | 5,110 | 5,219 | ||
Red Arrow International Leasing PLC 8.375% 3/31/12 | RUB | 37,575 | 1,514 | |
ROSBANK (OJSC JSCB) 8% 9/30/09 (Issued by Dali Capital PLC for ROSBANK (OJSC JSCB)) | RUB | 26,200 | 1,034 | |
OAO TMK 8.5% 9/29/09 (Issued by TMK Capital SA for OAO TMK) | 12,400 | 12,710 | ||
TransCapitalInvest Ltd. (Reg. S) 5.381% 6/27/12 | EUR | 1,400 | 1,881 | |
WaMu Covered Bond Program 4.375% 5/19/14 | EUR | 3,900 | 5,141 | |
105,476 | ||||
Insurance - 0.2% | ||||
Amlin PLC 6.5% 12/19/26 (h) | GBP | 1,000 | 1,867 | |
Eureko BV 5.125% (h) | EUR | 1,500 | 1,967 | |
Fukoku Mutual Life Insurance Co. 4.5% 9/28/25 (h) | EUR | 1,200 | 1,503 | |
Muenchener Rueckversicherungs-Gesellschaft AG 5.767% (h) | EUR | 1,800 | 2,393 | |
Novae Group plc 8.375% 4/27/17 (h) | GBP | 450 | 894 | |
Old Mutual plc 4.5% 1/18/17 (h) | EUR | 1,000 | 1,313 | |
Wuerttembergische Lebens AG 5.375% 6/1/26 (h) | EUR | 800 | 1,029 | |
10,966 | ||||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - 0.3% | ||||
BF Saul REIT 7.5% 3/1/14 | $ 3,400 | $ 3,400 | ||
Rouse Co. LP/TRC, Inc. 6.75% 5/1/13 (g) | 6,640 | 6,574 | ||
Senior Housing Properties Trust 7.875% 4/15/15 | 6,211 | 6,428 | ||
16,402 | ||||
Real Estate Management & Development - 0.8% | ||||
American Real Estate Partners/American Real Estate Finance Corp.: | ||||
7.125% 2/15/13 | 3,265 | 3,126 | ||
8.125% 6/1/12 | 2,590 | 2,577 | ||
Inversiones y Representaciones SA 8.5% 2/2/17 (g) | 5,590 | 5,338 | ||
Realogy Corp.: | ||||
10.5% 4/15/14 (g) | 16,525 | 15,781 | ||
11% 4/15/14 pay-in-kind (g) | 11,595 | 10,928 | ||
12.375% 4/15/15 (g) | 5,060 | 4,624 | ||
WT Finance (Aust) Pty Ltd./Westfield Europe Finance PLC/WEA Finance 3.625% 6/27/12 | EUR | 1,250 | 1,584 | |
43,958 | ||||
Thrifts & Mortgage Finance - 0.0% | ||||
China Development Bank 5% 10/15/15 | 175 | 166 | ||
Residential Capital Corp. 6.375% 5/17/13 | GBP | 500 | 939 | |
1,105 | ||||
TOTAL FINANCIALS | 337,289 | |||
HEALTH CARE - 1.0% | ||||
Health Care Equipment & Supplies - 0.0% | ||||
Invacare Corp. 9.75% 2/15/15 (g) | 1,530 | 1,538 | ||
Health Care Providers & Services - 0.9% | ||||
Cardinal Health 409, Inc. 9.5% 4/15/15 pay-in-kind (g) | 5,520 | 5,396 | ||
CRC Health Group, Inc. 10.75% 2/1/16 | 1,880 | 2,059 | ||
Fresenius Medical Care Capital Trust IV 7.875% 6/15/11 | 1,000 | 1,028 | ||
HCA, Inc.: | ||||
9.125% 11/15/14 (g) | 4,310 | 4,536 | ||
9.25% 11/15/16 (g) | 8,660 | 9,223 | ||
9.625% 11/15/16 pay-in-kind (g) | 10,995 | 11,833 | ||
Rural/Metro Corp. 9.875% 3/15/15 | 1,355 | 1,396 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
Skilled Healthcare Group, Inc. 11% 1/15/14 | $ 3,652 | $ 4,054 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 (g) | 310 | 321 | ||
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13 | 3,040 | 3,291 | ||
U.S. Oncology, Inc. 9% 8/15/12 | 1,300 | 1,333 | ||
Vanguard Health Holding Co. II LLC 9% 10/1/14 | 7,390 | 7,279 | ||
51,749 | ||||
Life Sciences Tools & Services - 0.0% | ||||
Bio-Rad Laboratories, Inc. 7.5% 8/15/13 | 1,770 | 1,788 | ||
Pharmaceuticals - 0.1% | ||||
Elan Finance PLC/Elan Finance Corp. 7.75% 11/15/11 | 1,585 | 1,597 | ||
Leiner Health Products, Inc. 11% 6/1/12 | 1,885 | 1,772 | ||
Mylan Laboratories, Inc. 6.375% 8/15/15 | 640 | 653 | ||
4,022 | ||||
TOTAL HEALTH CARE | 59,097 | |||
INDUSTRIALS - 2.0% | ||||
Aerospace & Defense - 0.2% | ||||
Alion Science & Technology Corp. 10.25% 2/1/15 | 800 | 830 | ||
Hawker Beechcraft Acquisition Co. LLC: | ||||
8.5% 4/1/15 (g) | 2,790 | 2,888 | ||
8.875% 4/1/15 pay-in-kind (g) | 2,790 | 2,853 | ||
9.75% 4/1/17 (g) | 2,790 | 2,909 | ||
Hexcel Corp. 6.75% 2/1/15 | 2,350 | 2,268 | ||
Orbimage Holdings, Inc. 14.8669% 7/1/12 (h) | 1,720 | 1,892 | ||
13,640 | ||||
Airlines - 0.1% | ||||
Continental Airlines, Inc. 6.903% 4/19/22 | 820 | 802 | ||
Delta Air Lines, Inc.: | ||||
7.9% 12/15/09 (a) | 16,400 | 1,148 | ||
10% 8/15/08 (a) | 1,255 | 88 | ||
Northwest Airlines Corp. 10% 2/1/09 (a) | 1,895 | 237 | ||
Northwest Airlines Trust 10.23% 6/21/14 | 229 | 234 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
Northwest Airlines, Inc.: | ||||
7.875% 3/15/08 (a) | $ 1,365 | $ 177 | ||
8.875% 6/1/06 (a) | 1,355 | 166 | ||
2,852 | ||||
Building Products - 0.0% | ||||
Compagnie de St. Gobain 4.196% 4/11/12 (h) | EUR | 1,250 | 1,689 | |
Commercial Services & Supplies - 0.5% | ||||
ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13 | 160 | 159 | ||
Allied Security Escrow Corp. 11.375% 7/15/11 | 2,255 | 2,255 | ||
Allied Waste North America, Inc.: | ||||
6.5% 11/15/10 | 830 | 817 | ||
7.125% 5/15/16 | 5,645 | 5,525 | ||
Browning-Ferris Industries, Inc.: | ||||
7.4% 9/15/35 | 3,085 | 2,807 | ||
9.25% 5/1/21 | 680 | 721 | ||
FTI Consulting, Inc.: | ||||
7.625% 6/15/13 | 720 | 727 | ||
7.75% 10/1/16 | 1,390 | 1,423 | ||
Mac-Gray Corp. 7.625% 8/15/15 | 680 | 690 | ||
NCO Group, Inc. 11.875% 11/15/14 (g) | 2,930 | 2,989 | ||
R.H. Donnelley Finance Corp. I 10.875% 12/15/12 (g) | 550 | 587 | ||
West Corp.: | ||||
9.5% 10/15/14 | 5,850 | 5,974 | ||
11% 10/15/16 | 2,875 | 2,990 | ||
27,664 | ||||
Construction & Engineering - 0.0% | ||||
Blount, Inc. 8.875% 8/1/12 | 1,250 | 1,263 | ||
Electrical Equipment - 0.1% | ||||
Coleman Cable, Inc. 9.875% 10/1/12 (g) | 1,040 | 1,092 | ||
General Cable Corp. 7.125% 4/1/17 (g) | 680 | 680 | ||
Polypore International, Inc. 0% 10/1/12 (e) | 1,950 | 1,892 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 900 | 923 | ||
4,587 | ||||
Industrial Conglomerates - 0.0% | ||||
Siemens Financieringsmaatschap NV 6.125% 9/14/66 (h) | GBP | 1,075 | 2,048 | |
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Machinery - 0.3% | ||||
Chart Industries, Inc. 9.125% 10/15/15 | $ 1,160 | $ 1,218 | ||
Cummins, Inc. 7.125% 3/1/28 | 2,250 | 2,239 | ||
Invensys PLC 9.875% 3/15/11 (g) | 56 | 59 | ||
RBS Global, Inc. / Rexnord Corp.: | ||||
8.875% 9/1/16 | 800 | 824 | ||
9.5% 8/1/14 | 4,100 | 4,346 | ||
11.75% 8/1/16 | 4,895 | 5,433 | ||
14,119 | ||||
Marine - 0.2% | ||||
CMA CGM SA (Reg. S) 5.5% 5/16/12 | EUR | 875 | 1,143 | |
H-Lines Finance Holding Corp. 0% 4/1/13 (e) | 1,424 | 1,367 | ||
Navios Maritime Holdings, Inc. 9.5% 12/15/14 (g) | 4,460 | 4,683 | ||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 1,795 | 1,849 | ||
US Shipping Partners LP 13% 8/15/14 | 3,185 | 3,472 | ||
12,514 | ||||
Road & Rail - 0.3% | ||||
Kansas City Southern de Mexico, SA de CV: | ||||
7.375% 6/1/14 (g) | 3,480 | 3,445 | ||
7.625% 12/1/13 (g) | 1,700 | 1,700 | ||
Kansas City Southern Railway Co.: | ||||
7.5% 6/15/09 | 3,165 | 3,165 | ||
9.5% 10/1/08 | 1,350 | 1,404 | ||
TFM SA de CV 9.375% 5/1/12 | 6,450 | 6,885 | ||
16,599 | ||||
Trading Companies & Distributors - 0.3% | ||||
Glencore Finance (Europe) SA: | ||||
5.375% 9/30/11 | EUR | 800 | 1,085 | |
6.5% 2/27/19 | GBP | 600 | 1,152 | |
Neff Corp. 10% 6/1/15 (g) | 1,530 | 1,522 | ||
Penhall International Corp. 12% 8/1/14 (g) | 1,515 | 1,636 | ||
VWR Funding, Inc. 10.25% 7/15/15 (g) | 8,530 | 8,530 | ||
13,925 | ||||
TOTAL INDUSTRIALS | 110,900 | |||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - 3.3% | ||||
Communications Equipment - 0.7% | ||||
Hughes Network Systems LLC / HNS Finance Corp. 9.5% 4/15/14 | $ 6,290 | $ 6,573 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 17,840 | 15,432 | ||
6.5% 1/15/28 | 6,810 | 5,959 | ||
Nortel Networks Corp.: | ||||
9.6056% 7/15/11 (g)(h) | 3,760 | 3,995 | ||
10.125% 7/15/13 (g) | 3,730 | 4,000 | ||
10.75% 7/15/16 (g) | 3,760 | 4,127 | ||
40,086 | ||||
Electronic Equipment & Instruments - 0.1% | ||||
Celestica, Inc. 7.875% 7/1/11 | 2,960 | 2,849 | ||
IT Services - 0.6% | ||||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 10,955 | 10,024 | ||
7.75% 1/15/15 | 4,830 | 4,721 | ||
8.25% 7/1/11 | 535 | 535 | ||
8.625% 4/1/13 | 2,900 | 2,929 | ||
8.75% 7/15/18 | 5,160 | 5,315 | ||
SunGard Data Systems, Inc.: | ||||
9.125% 8/15/13 | 5,280 | 5,392 | ||
10.25% 8/15/15 | 3,620 | 3,810 | ||
32,726 | ||||
Office Electronics - 0.5% | ||||
Xerox Capital Trust I 8% 2/1/27 | 4,585 | 4,654 | ||
Xerox Corp.: | ||||
6.4% 3/15/16 | 8,000 | 8,032 | ||
7.2% 4/1/16 | 3,345 | 3,445 | ||
7.625% 6/15/13 | 12,425 | 12,906 | ||
29,037 | ||||
Semiconductors & Semiconductor Equipment - 1.4% | ||||
Amkor Technology, Inc. 9.25% 6/1/16 | 8,085 | 8,287 | ||
ASML Holding NV 5.75% 6/13/17 | EUR | 2,000 | 2,653 | |
Avago Technologies Finance Ltd.: | ||||
10.86% 6/1/13 (h) | 4,560 | 4,685 | ||
11.875% 12/1/15 | 8,045 | 8,950 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
Freescale Semiconductor, Inc.: | ||||
8.875% 12/15/14 (g) | $ 12,640 | $ 12,119 | ||
9.125% 12/15/14 pay-in-kind (g) | 22,855 | 21,571 | ||
10.125% 12/15/16 (g) | 14,445 | 13,578 | ||
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. 8.61% 12/15/11 (h) | 735 | 671 | ||
New ASAT Finance Ltd. 9.25% 2/1/11 | 2,100 | 1,796 | ||
Viasystems, Inc. 10.5% 1/15/11 | 4,065 | 4,126 | ||
78,436 | ||||
Software - 0.0% | ||||
Open Solutions, Inc. 9.75% 2/1/15 (g) | 870 | 870 | ||
TOTAL INFORMATION TECHNOLOGY | 184,004 | |||
MATERIALS - 2.9% | ||||
Chemicals - 0.7% | ||||
America Rock Salt Co. LLC 9.5% 3/15/14 | 3,940 | 4,009 | ||
Bayer AG: | ||||
4.044% 4/10/10 (h) | EUR | 1,250 | 1,691 | |
5.625% 5/23/18 | GBP | 750 | 1,417 | |
Huntsman LLC 11.625% 10/15/10 | 466 | 500 | ||
JohnsonDiversey Holdings, Inc. 10.67% 5/15/13 | 6,095 | 6,278 | ||
MacDermid, Inc. 9.5% 4/15/17 (g) | 500 | 503 | ||
Momentive Performance Materials, Inc.: | ||||
9.75% 12/1/14 (g) | 4,390 | 4,401 | ||
10.125% 12/1/14 pay-in-kind (g) | 4,655 | 4,643 | ||
11.5% 12/1/16 (g) | 10,895 | 10,977 | ||
Phibro Animal Health Corp. 10% 8/1/13 (g) | 685 | 716 | ||
SABIC Europe BV 4.5% 11/28/13 | EUR | 1,250 | 1,603 | |
Sterling Chemicals, Inc. 10.25% 4/1/15 (g) | 1,600 | 1,656 | ||
38,394 | ||||
Construction Materials - 0.0% | ||||
Imerys 5% 4/18/17 | EUR | 1,450 | 1,898 | |
Containers & Packaging - 0.5% | ||||
AEP Industries, Inc. 7.875% 3/15/13 | 640 | 640 | ||
BWAY Corp. 10% 10/15/10 | 1,175 | 1,218 | ||
Constar International, Inc. 11% 12/1/12 | 2,530 | 2,391 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | $ 355 | $ 339 | ||
7.5% 12/15/96 | 3,685 | 3,095 | ||
8% 4/15/23 | 2,980 | 2,920 | ||
Owens-Brockway Glass Container, Inc.: | ||||
6.75% 12/1/14 | 895 | 868 | ||
7.75% 5/15/11 | 320 | 328 | ||
8.25% 5/15/13 | 3,390 | 3,509 | ||
8.875% 2/15/09 | 1,029 | 1,042 | ||
Tekni-Plex, Inc. 10.875% 8/15/12 | 980 | 1,095 | ||
Vitro SAB de CV: | ||||
8.625% 2/1/12 (g) | 7,760 | 7,876 | ||
9.125% 2/1/17 (g) | 2,210 | 2,262 | ||
27,583 | ||||
Metals & Mining - 1.6% | ||||
Aleris International, Inc. 9% 12/15/14 (g) | 2,790 | 2,818 | ||
CAP SA 7.375% 9/15/36 (g) | 1,730 | 1,722 | ||
Compass Minerals International, Inc.: | ||||
0% 12/15/12 (e) | 1,330 | 1,370 | ||
0% 6/1/13 (e) | 2,260 | 2,249 | ||
Corporacion Nacional del Cobre (Codelco) 6.15% 10/24/36 (g) | 9,190 | 9,111 | ||
CSN Islands VIII Corp. 9.75% 12/16/13 (g) | 5,830 | 6,544 | ||
Evraz Group SA (Reg. S) 8.25% 11/10/15 | 5,200 | 5,317 | ||
Evraz Securities SA 10.875% 8/3/09 | 3,600 | 3,890 | ||
FMG Finance Property Ltd.: | ||||
10% 9/1/13 (g) | 2,285 | 2,516 | ||
10.625% 9/1/16 (g) | 2,285 | 2,688 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
6.875% 2/1/14 | 4,200 | 4,295 | ||
8.25% 4/1/15 | 4,070 | 4,284 | ||
8.375% 4/1/17 | 11,870 | 12,642 | ||
8.5463% 4/1/15 (h) | 6,945 | 7,292 | ||
Gerdau AmeriSteel Corp./GUSAP Partners 10.375% 7/15/11 | 1,335 | 1,402 | ||
Gerdau SA 8.875% (g) | 2,590 | 2,720 | ||
International Steel Group, Inc. 6.5% 4/15/14 | 10,550 | 10,946 | ||
Ispat Inland ULC 9.75% 4/1/14 | 932 | 1,025 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
PNA Intermediate Holding Corp. 12.36% 2/15/13 pay-in-kind (g)(h) | $ 1,680 | $ 1,697 | ||
RathGibson, Inc. 11.25% 2/15/14 | 5,905 | 6,215 | ||
90,743 | ||||
Paper & Forest Products - 0.1% | ||||
Glatfelter 7.125% 5/1/16 | 550 | 547 | ||
NewPage Corp. 11.6063% 5/1/12 (h) | 1,770 | 1,938 | ||
2,485 | ||||
TOTAL MATERIALS | 161,103 | |||
TELECOMMUNICATION SERVICES - 4.6% | ||||
Diversified Telecommunication Services - 3.5% | ||||
British Telecommunications plc 5.25% 6/23/14 | EUR | 1,550 | 2,094 | |
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 3,700 | 3,714 | ||
9% 8/15/31 | 8,370 | 8,621 | ||
Deutsche Telekom International Finance BV 4.5% 10/25/13 | EUR | 750 | 976 | |
Embarq Corp.: | ||||
7.082% 6/1/16 | 1,116 | 1,122 | ||
7.995% 6/1/36 | 16,780 | 17,029 | ||
Eschelon Operating Co. 8.375% 3/15/10 | 2,196 | 2,122 | ||
France Telecom SA 4.375% 2/21/12 | EUR | 550 | 724 | |
Intelsat Ltd.: | ||||
9.25% 6/15/16 | 2,240 | 2,369 | ||
11.25% 6/15/16 | 8,860 | 9,923 | ||
Level 3 Financing, Inc.: | ||||
8.75% 2/15/17 (g) | 8,590 | 8,472 | ||
12.25% 3/15/13 | 9,580 | 10,969 | ||
MobiFon Holdings BV 12.5% 7/31/10 | 7,225 | 7,695 | ||
Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (g) | 5,425 | 5,778 | ||
NTL Cable PLC: | ||||
8.75% 4/15/14 | 6,865 | 7,088 | ||
9.125% 8/15/16 | 3,065 | 3,218 | ||
PT Indosat International Finance Co. BV 7.125% 6/22/12 (g) | 1,845 | 1,859 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Qwest Capital Funding, Inc.: | ||||
7.625% 8/3/21 | $ 370 | $ 348 | ||
7.75% 2/15/31 | 370 | 357 | ||
Qwest Corp.: | ||||
7.5% 10/1/14 | 760 | 777 | ||
7.875% 9/1/11 | 2,980 | 3,107 | ||
8.61% 6/15/13 (h) | 9,470 | 10,370 | ||
8.875% 3/15/12 | 24,535 | 26,436 | ||
Telecom Egypt SAE: | ||||
9.672% 2/4/10 (h) | EGP | 3,565 | 619 | |
10.95% 2/4/10 | EGP | 3,565 | 638 | |
Telefonica de Argentina SA 9.125% 11/7/10 | 2,817 | 2,972 | ||
Telenet Group Holding NV 0% 6/15/14 (e)(g) | 6,992 | 6,590 | ||
U.S. West Capital Funding, Inc.: | ||||
6.5% 11/15/18 | 285 | 257 | ||
6.875% 7/15/28 | 1,855 | 1,621 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 27,138 | 25,510 | ||
7.125% 11/15/43 | 220 | 210 | ||
7.2% 11/10/26 | 875 | 886 | ||
7.25% 9/15/25 | 1,780 | 1,776 | ||
7.25% 10/15/35 | 5,830 | 5,619 | ||
7.5% 6/15/23 | 1,880 | 1,871 | ||
Wind Acquisition Finance SA 10.75% 12/1/15 (g) | 7,315 | 8,412 | ||
192,149 | ||||
Wireless Telecommunication Services - 1.1% | ||||
American Tower Corp. 7.125% 10/15/12 | 10,745 | 10,987 | ||
Centennial Cellular Operating Co./Centennial Communications Corp. 10.125% 6/15/13 | 7,015 | 7,524 | ||
Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 | 6,050 | 6,186 | ||
Digicel Ltd. 9.25% 9/1/12 (g) | 1,880 | 1,976 | ||
MetroPCS Wireless, Inc. 9.25% 11/1/14 (g) | 5,800 | 5,974 | ||
Millicom International Cellular SA 10% 12/1/13 | 8,835 | 9,575 | ||
Mobile Telesystems Finance SA 8.375% 10/14/10 (g) | 6,290 | 6,560 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (g) | $ 3,565 | $ 3,645 | ||
Telecom Personal SA 9.25% 12/22/10 (g) | 8,390 | 8,820 | ||
61,247 | ||||
TOTAL TELECOMMUNICATION SERVICES | 253,396 | |||
UTILITIES - 1.1% | ||||
Electric Utilities - 0.6% | ||||
Abu Dhabi National Energy Co. Pjsc 4.375% 10/28/13 | EUR | 1,250 | 1,619 | |
AES Gener SA 7.5% 3/25/14 | 3,410 | 3,546 | ||
Chivor SA E.S.P. 9.75% 12/30/14 (g) | 3,255 | 3,694 | ||
Compania de Transporte de Energia Electica de Alta Tension Transener SA 8.875% 12/15/16 (g) | 3,385 | 3,368 | ||
Edison Mission Energy: | ||||
7.5% 6/15/13 | 7,300 | 7,227 | ||
7.75% 6/15/16 | 3,710 | 3,678 | ||
National Power Corp. 6.875% 11/2/16 (g) | 1,715 | 1,706 | ||
Reliant Energy, Inc.: | ||||
7.625% 6/15/14 | 4,630 | 4,514 | ||
7.875% 6/15/17 | 3,680 | 3,588 | ||
32,940 | ||||
Gas Utilities - 0.3% | ||||
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | 7,350 | 7,718 | ||
8% 3/1/32 | 4,170 | 4,670 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (g) | 4,135 | 3,964 | ||
16,352 | ||||
Independent Power Producers & Energy Traders - 0.2% | ||||
Enron Corp.: | ||||
Series A, 8.375% 5/23/05 (c) | 2,500 | 725 | ||
6.4% 7/15/06 (c) | 9,815 | 2,895 | ||
6.625% 11/15/05 (c) | 2,200 | 649 | ||
6.725% 11/17/08 (c)(h) | 684 | 205 | ||
6.75% 8/1/09 (c) | 550 | 162 | ||
6.875% 10/15/07 (c) | 1,330 | 392 | ||
6.95% 7/15/28 (c) | 1,204 | 361 | ||
7.125% 5/15/49 (c) | 235 | 69 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
Enron Corp.: - continued | ||||
7.375% 5/15/19 (c) | $ 1,400 | $ 417 | ||
7.875% 6/15/03 (c) | 235 | 69 | ||
9.125% 4/1/03 (c) | 50 | 15 | ||
9.875% 6/5/03 (c) | 4,720 | 1,392 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (g) | 1,108 | 1,130 | ||
8,481 | ||||
Multi-Utilities - 0.0% | ||||
Aquila, Inc. 14.875% 7/1/12 | 1,615 | 2,043 | ||
Utilicorp United, Inc. 9.95% 2/1/11 (h) | 39 | 42 | ||
2,085 | ||||
TOTAL UTILITIES | 59,858 | |||
TOTAL NONCONVERTIBLE BONDS | 1,658,140 | |||
TOTAL CORPORATE BONDS (Cost $1,642,298) | 1,671,874 | |||
U.S. Government and Government Agency Obligations - 20.8% | ||||
U.S. Government Agency Obligations - 8.7% | ||||
Fannie Mae: | ||||
3.25% 1/15/08 | 89,580 | 88,580 | ||
3.25% 2/15/09 | 40 | 39 | ||
4.125% 5/15/10 | 6,500 | 6,316 | ||
4.25% 5/15/09 | 4,940 | 4,859 | ||
4.75% 12/15/10 | 71,058 | 70,057 | ||
4.875% 4/15/09 | 13,935 | 13,856 | ||
5.125% 9/2/08 | 7,695 | 7,681 | ||
5.375% 6/12/17 | 21,150 | 20,983 | ||
6% 5/15/11 | 6,400 | 6,568 | ||
6.375% 6/15/09 | 1,650 | 1,686 | ||
6.625% 9/15/09 | 12,448 | 12,814 | ||
7.25% 1/15/10 | 17,761 | 18,615 | ||
Federal Home Loan Bank: | ||||
4.5% 10/14/08 | 5,975 | 5,919 | ||
5.8% 9/2/08 | 1,680 | 1,690 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
U.S. Government Agency Obligations - continued | ||||
Freddie Mac: | ||||
3.625% 9/15/08 | $ 49,805 | $ 48,858 | ||
4% 8/17/07 | 521 | 520 | ||
4.125% 10/18/10 | 67,500 | 65,324 | ||
4.75% 3/5/09 | 49,987 | 49,612 | ||
4.875% 2/17/09 | 2,851 | 2,835 | ||
5.125% 4/18/08 | 14,000 | 13,976 | ||
5.125% 4/18/11 | 2,380 | 2,371 | ||
5.625% 3/15/11 | 15,000 | 15,200 | ||
5.75% 3/15/09 | 15,000 | 15,125 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23 | 4,750 | 4,712 | ||
Private Export Funding Corp.: | ||||
secured 5.685% 5/15/12 | 1,285 | 1,307 | ||
4.974% 8/15/13 | 1,515 | 1,488 | ||
Small Business Administration guaranteed development participation certificates Series 2003 P10B, 5.136% 8/10/13 | 1,128 | 1,107 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 482,098 | |||
U.S. Treasury Inflation Protected Obligations - 0.7% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
1.875% 7/15/13 | 17,417 | 16,700 | ||
2.375% 4/15/11 | 13,170 | 13,022 | ||
2.5% 7/15/16 | 7,674 | 7,591 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 37,313 | |||
U.S. Treasury Obligations - 11.4% | ||||
U.S. Treasury Bonds: | ||||
6.125% 8/15/29 | 100,150 | 112,340 | ||
6.25% 8/15/23 | 61,500 | 68,289 | ||
U.S. Treasury Notes: | ||||
4.25% 8/15/14 | 67,500 | 64,568 | ||
4.5% 11/15/15 | 30,500 | 29,418 | ||
4.625% 11/15/16 | 55,100 | 53,400 | ||
4.75% 2/28/09 | 63,000 | 62,808 | ||
4.75% 5/31/12 (m) | 167,602 | 166,293 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
4.875% 4/30/08 | $ 61,537 | $ 61,455 | ||
5.125% 5/15/16 | 17,000 | 17,096 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 635,667 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,171,241) | 1,155,078 | |||
U.S. Government Agency - Mortgage Securities - 7.0% | ||||
Fannie Mae - 4.8% | ||||
3.585% 9/1/33 (h) | 814 | 800 | ||
3.72% 6/1/33 (h) | 2,502 | 2,497 | ||
3.75% 4/1/34 (h) | 2,593 | 2,549 | ||
3.783% 6/1/33 (h) | 2,981 | 2,987 | ||
3.902% 5/1/34 (h) | 1,365 | 1,345 | ||
3.91% 5/1/33 (h) | 904 | 909 | ||
3.918% 9/1/33 (h) | 2,460 | 2,439 | ||
3.944% 5/1/34 (h) | 1,052 | 1,037 | ||
3.962% 9/1/33 (h) | 1,882 | 1,862 | ||
3.998% 4/1/34 (h) | 2,399 | 2,366 | ||
4% 9/1/13 to 5/1/20 | 5,040 | 4,710 | ||
4.003% 8/1/33 (h) | 1,155 | 1,141 | ||
4.031% 3/1/34 (h) | 4,503 | 4,445 | ||
4.036% 6/1/34 (h) | 1,928 | 1,901 | ||
4.068% 3/1/35 (h) | 3,537 | 3,503 | ||
4.12% 4/1/34 (h) | 2,975 | 2,941 | ||
4.126% 5/1/34 (h) | 2,377 | 2,351 | ||
4.188% 11/1/34 (h) | 2,587 | 2,599 | ||
4.205% 6/1/34 (h) | 2,112 | 2,085 | ||
4.288% 6/1/34 (h) | 2,339 | 2,318 | ||
4.355% 10/1/19 (h) | 261 | 258 | ||
4.4% 8/1/34 (h) | 5,380 | 5,403 | ||
4.419% 8/1/34 (h) | 5,588 | 5,529 | ||
4.482% 1/1/35 (h) | 1,240 | 1,223 | ||
4.484% 12/1/34 (h) | 97 | 96 | ||
4.485% 11/1/33 (h) | 304 | 302 | ||
4.5% 5/1/18 to 12/1/18 | 7,695 | 7,333 | ||
4.638% 8/1/35 (h) | 1,308 | 1,302 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Fannie Mae - continued | ||||
4.655% 10/1/34 (h) | $ 733 | $ 726 | ||
4.688% 2/1/35 (h) | 3,630 | 3,590 | ||
4.733% 12/1/35 (h) | 8,706 | 8,652 | ||
4.784% 12/1/35 (h) | 926 | 924 | ||
4.79% 6/1/35 (h) | 1,524 | 1,506 | ||
4.799% 4/1/35 (h) | 2,413 | 2,416 | ||
4.8% 7/1/35 (h) | 1,046 | 1,033 | ||
4.809% 1/1/36 (h) | 5,203 | 5,149 | ||
4.812% 11/1/35 (h) | 2,003 | 2,008 | ||
4.848% 7/1/35 (h) | 2,191 | 2,165 | ||
4.878% 7/1/34 (h) | 1,234 | 1,229 | ||
4.883% 10/1/35 (h) | 285 | 284 | ||
4.893% 5/1/35 (h) | 348 | 344 | ||
4.896% 11/1/35 (h) | 2,154 | 2,153 | ||
4.946% 8/1/34 (h) | 1,189 | 1,186 | ||
5% 1/1/14 to 7/1/35 | 31,074 | 30,124 | ||
5.004% 2/1/34 (h) | 1,839 | 1,817 | ||
5.016% 5/1/35 (h) | 2,868 | 2,847 | ||
5.047% 12/1/32 (h) | 1,763 | 1,756 | ||
5.092% 5/1/35 (h) | 373 | 376 | ||
5.102% 10/1/35 (h) | 1,640 | 1,626 | ||
5.108% 10/1/35 (h) | 884 | 877 | ||
5.114% 1/1/36 (h) | 3,241 | 3,212 | ||
5.135% 7/1/34 (h) | 453 | 452 | ||
5.136% 8/1/36 (h) | 6,221 | 6,228 | ||
5.152% 7/1/35 (h) | 3,457 | 3,436 | ||
5.167% 3/1/36 (h) | 2,797 | 2,783 | ||
5.26% 5/1/35 (h) | 1,118 | 1,114 | ||
5.263% 11/1/36 (h) | 528 | 529 | ||
5.273% 4/1/36 (h) | 1,127 | 1,137 | ||
5.311% 3/1/36 (h) | 7,478 | 7,450 | ||
5.365% 2/1/36 (h) | 1,854 | 1,859 | ||
5.371% 2/1/36 (h) | 193 | 194 | ||
5.379% 12/1/36 (h) | 712 | 711 | ||
5.394% 7/1/35 (h) | 522 | 521 | ||
5.407% 2/1/37 (h) | 688 | 688 | ||
5.439% 2/1/37 (h) | 3,260 | 3,266 | ||
5.483% 6/1/47 (h) | 540 | 541 | ||
5.5% 5/1/11 to 3/1/20 | 23,487 | 23,242 | ||
5.533% 11/1/36 (h) | 1,047 | 1,050 | ||
5.612% 2/1/36 (h) | 781 | 782 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Fannie Mae - continued | ||||
5.668% 4/1/36 (h) | $ 2,752 | $ 2,759 | ||
5.672% 6/1/36 (h) | 1,810 | 1,815 | ||
5.672% 4/1/37 (h) | 2,982 | 2,996 | ||
5.755% 4/1/36 (h) | 1,456 | 1,461 | ||
5.797% 3/1/36 (h) | 1,960 | 1,969 | ||
5.807% 5/1/36 (h) | 723 | 727 | ||
5.816% 1/1/36 (h) | 408 | 408 | ||
5.834% 3/1/36 (h) | 1,559 | 1,567 | ||
5.839% 5/1/36 (h) | 4,312 | 4,334 | ||
5.847% 6/1/35 (h) | 2,683 | 2,697 | ||
5.895% 12/1/36 (h) | 1,046 | 1,051 | ||
5.925% 6/1/36 (h) | 15,800 | 15,899 | ||
5.937% 6/1/36 (h) | 3,882 | 3,908 | ||
5.946% 5/1/36 (h) | 1,875 | 1,888 | ||
6% 10/1/08 to 1/1/26 | 2,639 | 2,655 | ||
6.044% 4/1/36 (h) | 11,302 | 11,399 | ||
6.226% 3/1/37 (h) | 330 | 333 | ||
6.5% 12/1/12 to 3/1/35 | 3,565 | 3,625 | ||
7% 9/1/25 | 4 | 4 | ||
7.5% 1/1/28 to 5/1/37 | 1,038 | 1,076 | ||
TOTAL FANNIE MAE | 262,785 | |||
Freddie Mac - 2.2% | ||||
3.378% 7/1/33 (h) | 1,862 | 1,845 | ||
4% 5/1/19 to 11/1/20 | 5,497 | 5,097 | ||
4.004% 5/1/33 (h) | 3,773 | 3,765 | ||
4.179% 1/1/35 (h) | 3,592 | 3,559 | ||
4.5% 2/1/18 to 8/1/33 | 4,527 | 4,285 | ||
4.569% 6/1/33 (h) | 1,179 | 1,179 | ||
4.663% 2/1/35 (h) | 9,011 | 8,870 | ||
4.701% 9/1/36 (h) | 749 | 745 | ||
4.705% 9/1/35 (h) | 4,517 | 4,501 | ||
4.794% 2/1/36 (h) | 315 | 310 | ||
4.842% 5/1/35 (h) | 6,127 | 6,041 | ||
4.873% 10/1/35 (h) | 1,500 | 1,501 | ||
4.924% 10/1/36 (h) | 3,780 | 3,769 | ||
5% 3/1/18 to 7/1/19 | 6,467 | 6,275 | ||
5.013% 7/1/35 (h) | 3,655 | 3,625 | ||
5.021% 4/1/35 (h) | 103 | 101 | ||
5.126% 7/1/35 (h) | 1,015 | 1,005 | ||
5.289% 2/1/36 (h) | 63 | 62 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Freddie Mac - continued | ||||
5.362% 3/1/37 (h) | $ 500 | $ 498 | ||
5.489% 2/1/37 (h) | 2,722 | 2,703 | ||
5.498% 1/1/36 (h) | 851 | 848 | ||
5.5% 8/1/14 to 11/1/19 | 7,863 | 7,765 | ||
5.586% 3/1/36 (h) | 4,614 | 4,604 | ||
5.625% 5/1/37 (h) | 2,410 | 2,383 | ||
5.673% 8/1/36 (h) | 4,824 | 4,818 | ||
5.732% 4/1/36 (h) | 11,518 | 11,526 | ||
5.806% 5/1/37 (h) | 5,606 | 5,613 | ||
5.858% 5/1/37 (h) | 540 | 542 | ||
5.863% 5/1/37 (h) | 3,355 | 3,364 | ||
6% 7/1/16 to 2/1/19 | 2,873 | 2,889 | ||
6.084% 2/1/37 (h) | 5,250 | 5,283 | ||
6.157% 12/1/36 (h) | 5,772 | 5,802 | ||
6.5% 10/1/10 to 3/1/22 | 7,591 | 7,731 | ||
8.5% 3/1/20 | 11 | 12 | ||
TOTAL FREDDIE MAC | 122,916 | |||
Government National Mortgage Association - 0.0% | ||||
6% 1/15/09 to 5/15/09 | 25 | 25 | ||
6.5% 4/15/26 to 5/15/26 | 47 | 48 | ||
7% 9/15/25 to 8/15/31 | 85 | 88 | ||
7.5% 2/15/22 to 8/15/28 | 149 | 156 | ||
8% 9/15/26 to 12/15/26 | 33 | 35 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 352 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $387,808) | 386,053 | |||
Asset-Backed Securities - 0.5% | ||||
Amstel Corp. Loan Offering BV: | ||||
Series 2006-1 Class C, 4.566% 5/25/16 (h) | EUR | 500 | 678 | |
Series 2007-1: | ||||
Class B, 4.429% 3/25/17 (h) | EUR | 1,100 | 1,489 | |
Class C, 4.609% 3/25/17 (h) | EUR | 800 | 1,083 | |
Auto ABS Compartiment Series 2006-1 Class B, 4.242% 7/25/17 (h) | EUR | 1,000 | 1,354 | |
Clock Finance BV Series 2007-1: | ||||
Class B2, 4.256% 2/25/15 (h) | EUR | 700 | 947 | |
Asset-Backed Securities - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Clock Finance BV Series 2007-1: - continued | ||||
Class C2, 4.436% 2/25/15 (h) | EUR | 400 | $ 541 | |
Driver One GmbH Series 1 Class B, 4.343% 5/21/10 (h) | EUR | 176 | 239 | |
FCC SPARC Series 2007-1 Class D, 0% 7/15/10 (h) | EUR | 500 | 677 | |
Geldilux Ltd. Series 2007-TS Class C, 4.517% 9/8/14 (h) | EUR | 400 | 541 | |
GLS Ltd. Series 2006-1 Class C, 4.257% 7/15/14 (h) | EUR | 500 | 677 | |
Greene King Finance PLC Series A1, 6.23% 6/15/31 (h) | GBP | 1,000 | 2,001 | |
Lambda Finance BV Series 2005-1X Class C1, 6.374% 11/15/29 (h) | GBP | 500 | 1,008 | |
Leek Finance PLC Series 18X Class BC, 4.292% 9/21/38 (h) | EUR | 600 | 812 | |
Mermaid Secured Finance Ltd. Series 2007-1: | ||||
Class C, 4.416% 1/30/40 (h) | EUR | 400 | 542 | |
Class D, 4.616% 1/30/40 (h) | EUR | 550 | 745 | |
Prime Bricks Series 2007-1: | ||||
Class B, 4.416% 1/30/40 (h) | EUR | 550 | 745 | |
Class C, 4.616% 1/30/40 (h) | EUR | 450 | 609 | |
Promise K 2006-1 GmbH Series I 2006-1 Class D, 4.805% 3/20/17 (h) | EUR | 1,000 | 1,354 | |
Provide Bricks Series 2007-1 Class B, 4.365% 1/30/40 (h) | EUR | 1,400 | 1,895 | |
Punch Taverns Finance PLC 5.92% 4/15/09 (h) | GBP | 410 | 822 | |
Sedna Finance Corp.: | ||||
4.779% 12/23/14 (h) | EUR | 500 | 677 | |
4.895% 3/15/16 (h) | EUR | 1,150 | 1,560 | |
Stichting Mars Series 2006 Class C, 4.163% 8/28/14 (h) | EUR | 1,000 | 1,353 | |
Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27 | GBP | 60 | 117 | |
Whinstone Capital Management Ltd. Series 2005-1X Class B1, 6.5963% 10/25/45 (h) | GBP | 1,168 | 2,356 | |
TOTAL ASSET-BACKED SECURITIES (Cost $23,720) | 24,822 | |||
Collateralized Mortgage Obligations - 2.3% | ||||
Private Sponsor - 0.2% | ||||
EPIC PLC Series BROD Class D, 4.465% 1/22/16 (h) | EUR | 400 | 541 | |
Granite Mortgages PLC 4.349% 1/20/43 (h) | EUR | 341 | 463 | |
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Private Sponsor - continued | ||||
Holmes Financing No. 8 PLC floater Series 3 Class C, 4.818% 7/15/40 (h) | EUR | 500 | $ 680 | |
RMAC PLC Series 2005-NS4X Class M2A, 6.3675% 12/12/43 (h) | GBP | 1,700 | 3,409 | |
RMAC Securities PLC 2006 floater Series 2006-NS4X Class M1A, 6.1075% 6/12/44 (h) | GBP | 1,250 | 2,509 | |
Shield BV Series 1 Class C, 4.369% 1/20/14 (h) | EUR | 1,500 | 2,037 | |
TOTAL PRIVATE SPONSOR | 9,639 | |||
U.S. Government Agency - 2.1% | ||||
Fannie Mae planned amortization class Series 2002-83 Class ME, 5% 12/25/17 | 8,925 | 8,633 | ||
Fannie Mae Grantor Trust sequential payer Series 2005-93 Class HD, 4.5% 11/25/19 | 272 | 263 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater Series 2005-45 Class XA, 5.66% 6/25/35 (h) | 7,424 | 7,417 | ||
planned amortization class: | ||||
Series 2002-11 Class UC, 6% 3/25/17 | 2,787 | 2,807 | ||
Series 2003-113: | ||||
Class PD, 4% 2/25/17 | 4,890 | 4,622 | ||
Class PE, 4% 11/25/18 | 1,515 | 1,356 | ||
Series 2003-128 Class NE, 4% 12/25/16 | 2,550 | 2,409 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 890 | 812 | ||
Series 2003-85 Class GD, 4.5% 9/25/18 | 1,225 | 1,159 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 1,980 | 1,850 | ||
Series 2004-81: | ||||
Class KC, 4.5% 4/25/17 | 1,395 | 1,360 | ||
Class KD, 4.5% 7/25/18 | 3,035 | 2,894 | ||
Series 2006-4 Class PB, 6% 9/25/35 | 6,570 | 6,570 | ||
sequential payer: | ||||
Series 2002-58 Class HC, 5.5% 9/25/17 | 13 | 13 | ||
Series 2003-18 Class EY, 5% 6/25/17 | 3,771 | 3,711 | ||
Series 2004-95 Class AN, 5.5% 1/25/25 | 2,260 | 2,240 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 808 | 692 | ||
Series 2005-29 Class KA, 4.5% 2/25/35 | 2,857 | 2,740 | ||
Series 2005-47 Class AK, 5% 6/25/20 | 7,595 | 7,237 | ||
Freddie Mac planned amortization class Series 2115 Class PE, 6% 1/15/14 | 215 | 215 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater Series 2630 Class FL, 5.82% 6/15/18 (h) | 104 | 105 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
planned amortization class: | ||||
Series 2378 Class PE, 5.5% 11/15/16 | $ 2,927 | $ 2,921 | ||
Series 2622 Class PE, 4.5% 5/15/18 | 9,410 | 8,918 | ||
Series 2628 Class OP, 3.5% 11/15/13 | 1,869 | 1,853 | ||
Series 2649 Class TQ, 3.5% 12/15/21 | 1,178 | 1,168 | ||
Series 2695 Class DG, 4% 10/15/18 | 3,865 | 3,522 | ||
Series 2743 Class HE, 4.5% 2/15/19 | 4,390 | 4,126 | ||
Series 2773 Class EG, 4.5% 4/15/19 | 14,395 | 13,553 | ||
Series 2831 Class PB, 5% 7/15/19 | 3,990 | 3,839 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 942 | 936 | ||
Series 3013 Class AF, 5.57% 5/15/35 (h) | 8,995 | 8,989 | ||
sequential payer: | ||||
Series 2570 Class CU, 4.5% 7/15/17 | 386 | 375 | ||
Series 2572 Class HK, 4% 2/15/17 | 580 | 561 | ||
Series 2617 Class GW, 3.5% 6/15/16 | 554 | 544 | ||
Series 2627: | ||||
Class BG, 3.25% 6/15/17 | 256 | 240 | ||
Class KP, 2.87% 12/15/16 | 268 | 251 | ||
Series 2685 Class ND, 4% 10/15/18 | 1,745 | 1,554 | ||
Series 2773 Class TA, 4% 11/15/17 | 3,195 | 3,058 | ||
Series 2849 Class AL, 5% 5/15/18 | 1,541 | 1,506 | ||
Series 2860 Class CP, 4% 10/15/17 | 506 | 490 | ||
Series 2937 Class HJ, 5% 10/15/19 | 1,822 | 1,787 | ||
Series 2863 Class DB, 4% 9/15/14 | 266 | 250 | ||
TOTAL U.S. GOVERNMENT AGENCY | 119,546 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $129,305) | 129,185 | |||
Commercial Mortgage Securities - 0.4% | ||||
Broadgate PLC 6.435% 10/5/25 (h) | GBP | 955 | 1,889 | |
Bruntwood Alpha PLC Series 2007-1 Class C, 6.09% 1/15/17 (h) | GBP | 700 | 1,406 | |
Canary Wharf Finance II plc Series 3MUK Class C2, 6.2244% 10/22/37 (h) | GBP | 1,000 | 2,007 | |
European Property Capital Series 4 Class C, 5.9494% 7/20/14 (h) | GBP | 442 | 888 | |
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
German Residential Asset Note Distributor PLC Series 1 Class A, 4.219% 7/20/16 (h) | EUR | 1,371 | $ 1,862 | |
JLOC 36 LLC Reg. S: | ||||
Class A1, 0.9348% 2/16/16 (h) | JPY | 100,000 | 812 | |
Class B, 1.1048% 2/16/16 (h) | JPY | 100,000 | 812 | |
JLOC 37 LLC (Reg. S) 0% 1/15/15 (h) | JPY | 110,000 | 893 | |
Opera Finance (CMH) PLC Class B, 4.268% 1/15/15 (h) | EUR | 1,100 | 1,488 | |
Opera Finance PLC 5.9763% 7/31/13 (h) | GBP | 991 | 1,992 | |
Paris Prime Community Real Estate Series 2006-1 Class B, 4.235% 4/22/14 (g)(h) | EUR | 1,000 | 1,352 | |
Real Estate Capital Foundation Ltd. Series 3 Class A, 5.8% 7/15/16 (h) | GBP | 2,000 | 4,009 | |
Rivoli Pan Europe PLC Series 2006-1 Class B 4.297% 8/3/18 (h) | EUR | 650 | 879 | |
Skyline BV Series 2007-1 Class D, 0% 7/22/43 (h) | EUR | 1,100 | 1,489 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $20,700) | 21,778 | |||
Foreign Government and Government Agency Obligations - 18.9% | ||||
Arab Republic 8.6002% 10/9/07 | EGP | 5,150 | 888 | |
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 9,218 | 8,992 | ||
5.475% 8/3/12 (h) | 13,114 | 12,458 | ||
7% 3/28/11 | 10,620 | 10,365 | ||
7% 9/12/13 | 18,845 | 17,536 | ||
10.4173% 3/5/08 (h) | ARS | 5,964 | 1,938 | |
Austrian Republic 5% 12/20/24 (g) | CAD | 2,000 | 1,894 | |
Banco Central del Uruguay: | ||||
value recovery A rights 1/2/21 (a) (j) | 1,000,000 | 0 | ||
value recovery B rights 1/2/21 (a) (j) | 750,000 | 0 | ||
Brazilian Federative Republic: | ||||
6% 9/15/13 | 1,842 | 1,840 | ||
7.125% 1/20/37 | 4,355 | 4,721 | ||
8.25% 1/20/34 | 5,500 | 6,765 | ||
8.75% 2/4/25 | 5,440 | 6,773 | ||
10% 1/1/10 | BRL | 3,682 | 1,879 | |
11% 8/17/40 | 20,355 | 26,706 | ||
12.25% 3/6/30 | 8,910 | 15,102 | ||
12.75% 1/15/20 | 4,685 | 7,262 | ||
Bulgarian Republic 8.25% 1/15/15 (Reg. S) | 180 | 207 | ||
Foreign Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Canadian Government: | ||||
4% 6/1/17 | CAD | 20,000 | $ 17,954 | |
4.5% 9/1/07 | CAD | 27,000 | 25,336 | |
5.25% 6/1/12 | CAD | 50,300 | 48,645 | |
5.5% 6/1/09 | CAD | 15,500 | 14,792 | |
5.75% 6/1/29 | CAD | 9,750 | 10,704 | |
Central Bank of Nigeria: | ||||
promissory note 5.092% 1/5/10 | 3,058 | 2,945 | ||
warrants 11/15/20 (a)(j) | 2,750 | 641 | ||
Colombian Republic: | ||||
7.375% 9/18/37 | 8,075 | 8,992 | ||
11.75% 2/25/20 | 1,825 | 2,687 | ||
Dominican Republic: | ||||
Brady 6.3125% 8/30/09 (h) | 1,603 | 1,605 | ||
6.25% 8/30/24 (h) | 12,873 | 12,854 | ||
9.04% 1/23/18 (g) | 4,585 | 5,188 | ||
9.5% 9/27/11 | 3,429 | 3,639 | ||
Ecuador Republic: | ||||
10% 8/15/30 (Reg. S) | 9,525 | 7,811 | ||
euro par 5% 2/28/25 | 1,580 | 1,130 | ||
Finnish Government 3.875% 9/15/17 | EUR | 49,700 | 63,208 | |
French Republic: | ||||
3% 1/12/10 | EUR | 800 | 1,044 | |
3.5% 7/12/11 | EUR | 88,350 | 115,057 | |
3.75% 4/25/17 | EUR | 33,730 | 42,575 | |
4% 4/25/55 | EUR | 750 | 882 | |
5.5% 4/25/29 | EUR | 4,200 | 6,256 | |
German Federal Republic: | ||||
3.75% 12/12/08 | EUR | 5,175 | 6,934 | |
4% 4/13/12 | EUR | 3,920 | 5,186 | |
4% 7/4/16 | EUR | 1,300 | 1,690 | |
Indonesian Republic: | ||||
6.625% 2/17/37 (g) | 4,125 | 3,960 | ||
6.75% 3/10/14 | 3,275 | 3,341 | ||
Islamic Republic of Pakistan: | ||||
6.75% 2/19/09 | 1,050 | 1,050 | ||
7.125% 3/31/16 (g) | 2,125 | 2,104 | ||
Japan Government: | ||||
0.78% 7/20/20 (h) | JPY | 825,000 | 6,261 | |
0.9% 12/22/08 | JPY | 1,370,000 | 11,121 | |
0.9% 11/20/20 (h) | JPY | 1,300,000 | 10,090 | |
1.4% 3/21/11 | JPY | 2,275,000 | 18,547 | |
Foreign Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
Japan Government: - continued | ||||
1.5% 3/20/14 | JPY | 1,865,000 | $ 15,006 | |
1.8% 3/20/16 | JPY | 1,872,000 | 15,205 | |
2.4% 12/20/34 | JPY | 1,500,000 | 12,089 | |
Real Return Bond 1.1% 12/10/16 | JPY | 3,871,630 | 31,037 | |
Lebanese Republic: | ||||
7.125% 3/5/10 | 1,140 | 1,100 | ||
7.875% 5/20/11 (Reg. S) | 4,320 | 4,169 | ||
8.625% 6/20/13 | 1,540 | 1,509 | ||
8.63% 11/30/09 (g)(h) | 2,180 | 2,166 | ||
8.63% 11/30/09 (h) | 9,170 | 9,113 | ||
Peruvian Republic: | ||||
3% 3/7/27 (f) | 900 | 646 | ||
6.1425% 3/7/27 (h) | 1,545 | 1,541 | ||
euro Brady past due interest 6.125% 3/7/17 (h) | 8,497 | 8,497 | ||
Philippine Republic: | ||||
8.25% 1/15/14 | 7,120 | 7,788 | ||
8.875% 3/17/15 | 3,120 | 3,569 | ||
9% 2/15/13 | 4,645 | 5,197 | ||
9.5% 2/2/30 | 1,305 | 1,701 | ||
9.875% 1/15/19 | 6,125 | 7,733 | ||
10.625% 3/16/25 | 4,275 | 5,958 | ||
Polish Government 5% 10/19/15 | 180 | 170 | ||
Republic of Fiji 6.875% 9/13/11 | 2,635 | 2,477 | ||
Republic of Hungary 4.75% 2/3/15 | 180 | 169 | ||
Republic of Iraq 5.8% 1/15/28 (g) | 3,780 | 2,306 | ||
Republic of Serbia 3.75% 11/1/24 (f)(g) | 2,700 | 2,548 | ||
Russian Federation: | ||||
7.5% 3/31/30 (g) | 3,881 | 4,273 | ||
7.5% 3/31/30 (Reg. S) | 40,407 | 44,498 | ||
12.75% 6/24/28 (Reg. S) | 7,145 | 12,629 | ||
South African Republic 6.5% 6/2/14 | 180 | 186 | ||
Turkish Republic: | ||||
Indexed Linked CPI 10% 2/15/12 | TRY | 2,353 | 1,841 | |
6.875% 3/17/36 | 7,625 | 7,234 | ||
7% 9/26/16 | 14,275 | 14,446 | ||
7.375% 2/5/25 | 5,265 | 5,407 | ||
11% 1/14/13 | 11,625 | 13,956 | ||
11.875% 1/15/30 | 7,575 | 11,618 | ||
Ukraine Cabinet of Ministers 6.58% 11/21/16 (g) | 11,430 | 11,370 | ||
United Kingdom, Great Britain & Northern Ireland: | ||||
4.25% 3/7/11 | GBP | 5,570 | 10,618 | |
Foreign Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
United Kingdom, Great Britain & Northern Ireland: - continued | ||||
4.25% 6/7/32 | GBP | 850 | $ 1,542 | |
4.25% 3/7/36 | GBP | 18,380 | 33,599 | |
4.75% 9/7/15 | GBP | 5,145 | 9,805 | |
5% 3/7/18 | GBP | 450 | 874 | |
5% 3/7/25 | GBP | 7,370 | 14,519 | |
8% 6/7/21 | GBP | 11,790 | 29,775 | |
United Mexican States: | ||||
6.75% 9/27/34 | 1,725 | 1,841 | ||
7.5% 4/8/33 | 7,695 | 8,926 | ||
8.3% 8/15/31 | 12,285 | 15,433 | ||
9% 12/20/12 | MXN | 18,350 | 1,797 | |
Uruguay Republic: | ||||
5% 9/14/18 | UYU | 37,816 | 1,778 | |
8% 11/18/22 | 6,292 | 7,078 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (j) | 3,260 | 119 | ||
6% 12/9/20 | 3,050 | 2,471 | ||
6.355% 4/20/11 (h) | 9,110 | 8,818 | ||
7.65% 4/21/25 | 6,305 | 5,722 | ||
8.5% 10/8/14 | 3,190 | 3,238 | ||
9.25% 9/15/27 | 8,485 | 8,846 | ||
9.375% 1/13/34 | 3,730 | 3,907 | ||
10.75% 9/19/13 | 7,788 | 8,684 | ||
13.625% 8/15/18 | 6,305 | 8,638 | ||
Vietnamese Socialist Republic Brady par 4% 3/12/28 (f) | 1,890 | 1,578 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,016,291) | 1,048,313 | |||
Supranational Obligations - 0.2% | ||||
European Investment Bank: | EUR | 2,600 | 3,064 | |
4.75% 10/15/17 | EUR | 5,875 | 7,940 | |
Inter-American Development Bank 6.625% 4/17/17 | PEN | 8,000 | 2,668 | |
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $13,668) | 13,672 |
Common Stocks - 0.4% | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.2% | |||
Auto Components - 0.0% | |||
Intermet Corp. (a)(k) | 113,725 | $ 206 | |
Diversified Consumer Services - 0.1% | |||
Coinmach Service Corp. unit | 330,000 | 6,557 | |
Hotels, Restaurants & Leisure - 0.1% | |||
Centerplate, Inc. unit | 165,925 | 2,912 | |
Media - 0.0% | |||
Virgin Media, Inc. warrants 1/10/11 (a) | 6 | 0 | |
TOTAL CONSUMER DISCRETIONARY | 9,675 | ||
INDUSTRIALS - 0.2% | |||
Airlines - 0.2% | |||
Delta Air Lines, Inc. (a) | 593,040 | 11,683 | |
Northwest Airlines Corp. (a) | 113,943 | 2,530 | |
14,213 | |||
TELECOMMUNICATION SERVICES - 0.0% | |||
Wireless Telecommunication Services - 0.0% | |||
DigitalGlobe, Inc. (a)(g) | 895 | 2 | |
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | 200 | |
TOTAL COMMON STOCKS (Cost $20,287) | 24,090 | ||
Preferred Stocks - 0.2% | |||
Convertible Preferred Stocks - 0.0% | |||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
Celanese Corp. 4.25% | 6,600 | 331 | |
Nonconvertible Preferred Stocks - 0.2% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Media - 0.1% | |||
Spanish Broadcasting System, Inc. Class B, 10.75% | 1,690 | 1,834 | |
Preferred Stocks - continued | |||
Shares | Value (000s) | ||
Nonconvertible Preferred Stocks - continued | |||
HEALTH CARE - 0.0% | |||
Health Care Providers & Services - 0.0% | |||
Fresenius Medical Care Capital Trust II 7.875% (a) | 1,260 | $ 1,288 | |
TELECOMMUNICATION SERVICES - 0.1% | |||
Diversified Telecommunication Services - 0.0% | |||
PTV, Inc. Series A, 10.00% | 119 | 1 | |
Wireless Telecommunication Services - 0.1% | |||
Rural Cellular Corp. 12.25% pay-in-kind | 5,078 | 6,195 | |
TOTAL TELECOMMUNICATION SERVICES | 6,196 | ||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 9,318 | ||
TOTAL PREFERRED STOCKS (Cost $8,873) | 9,649 |
Floating Rate Loans - 4.9% | ||||
Principal Amount (000s)(d) | ||||
CONSUMER DISCRETIONARY - 1.7% | ||||
Auto Components - 0.2% | ||||
Dana Corp. term loan 7.88% 4/13/08 (h) | $ 2,390 | 2,387 | ||
Delphi Corp. term loan 8.125% 12/31/07 (h) | 2,220 | 2,220 | ||
Lear Corp. term loan: | ||||
7.832% 4/25/12 (h) | 2,463 | 2,419 | ||
The Goodyear Tire & Rubber Co. Tranche 3, term loan 8.82% 3/1/11 (h) | 3,550 | 3,550 | ||
10,576 | ||||
Automobiles - 0.6% | ||||
AM General LLC: | ||||
Tranche B, term loan 8.38% 9/30/13 (h) | 3,835 | 3,855 | ||
8.32% 9/30/12 (h) | 132 | 133 | ||
Ford Motor Co. term loan 8.36% 12/15/13 (h) | 25,004 | 25,036 | ||
General Motors Corp. term loan 7.725% 11/29/13 (h) | 978 | 980 | ||
30,004 | ||||
Diversified Consumer Services - 0.1% | ||||
Affinion Group Holdings, Inc. term loan 11.6596% 3/1/12 (h) | 4,150 | 4,109 | ||
Floating Rate Loans - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - 0.0% | ||||
Green Valley Ranch Gaming LLC Tranche 1LN, term loan 7.36% 2/16/14 (h) | $ 144 | $ 144 | ||
OSI Restaurant Partners, Inc.: | ||||
term loan 7.625% 6/14/14 (h) | 499 | 500 | ||
7.61% 6/14/13 (h) | 41 | 41 | ||
Six Flags, Inc. Tranche B, term loan 7.61% 4/30/15 (h) | 730 | 721 | ||
1,406 | ||||
Household Durables - 0.0% | ||||
Yankee Candle Co., Inc. term loan 7.36% 2/6/14 (h) | 279 | 280 | ||
Media - 0.4% | ||||
Advanstar, Inc. Tranche 2LN, term loan 10.32% 11/30/14 (h) | 380 | 380 | ||
Charter Communications Operating LLC Tranche B 1LN, term loan: | ||||
7.32% 3/6/14 (h) | 6,242 | 6,180 | ||
7.36% 3/6/14 (h) | 4,210 | 4,168 | ||
CSC Holdings, Inc. Tranche B, term loan 7.07% 3/29/13 (h) | 6,316 | 6,308 | ||
Discovery Communications, Inc. term loan 7.36% 5/14/14 (h) | 1,050 | 1,053 | ||
Riverdeep Interactive Learning USA, Inc. term loan: | ||||
8.11% 12/20/13 (h) | 816 | 817 | ||
12.06% 12/21/07 (h) | 848 | 847 | ||
19,753 | ||||
Multiline Retail - 0.0% | ||||
Neiman Marcus Group, Inc. term loan 7.3577% 4/6/13 (h) | 2,100 | 2,100 | ||
Specialty Retail - 0.3% | ||||
Claire's Stores, Inc. term loan 8.11% 5/29/14 (h) | 4,450 | 4,339 | ||
Michaels Stores, Inc. term loan 7.625% 10/31/13 (h) | 5,150 | 5,073 | ||
Sally Holdings LLC Tranche B, term loan 7.86% 11/16/13 (h) | 744 | 750 | ||
Toys 'R' US, Inc. term loan 8.32% 12/9/08 (h) | 6,110 | 6,141 | ||
16,303 | ||||
Floating Rate Loans - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
CONSUMER DISCRETIONARY - continued | ||||
Textiles, Apparel & Luxury Goods - 0.1% | ||||
Hanesbrands, Inc.: | ||||
term loan 9.105% 3/5/14 (h) | $ 1,650 | $ 1,677 | ||
Tranche B 1LN, term loan 7.105% 9/5/13 (h) | 4,917 | 4,936 | ||
6,613 | ||||
TOTAL CONSUMER DISCRETIONARY | 91,144 | |||
CONSUMER STAPLES - 0.1% | ||||
Beverages - 0.0% | ||||
Constellation Brands, Inc. Tranche B, term loan 6.875% 6/5/13 (h) | 1,142 | 1,145 | ||
Food & Staples Retailing - 0.0% | ||||
Rite Aid Corp. Tranche ABL, term loan 7.07% 6/4/14 (h) | 2,700 | 2,700 | ||
Household Products - 0.1% | ||||
Spectrum Brands, Inc.: | ||||
Tranche B1, term loan 9.3449% 3/30/13 (h) | 3,169 | 3,169 | ||
Tranche B2, term loan 9.32% 3/30/13 (h) | 564 | 564 | ||
9.17% 3/30/13 (h) | 157 | 157 | ||
3,890 | ||||
TOTAL CONSUMER STAPLES | 7,735 | |||
ENERGY - 0.2% | ||||
Energy Equipment & Services - 0.0% | ||||
Compagnie Generale de Geophysique SA term loan 7.36% 1/12/14 (h) | 573 | 576 | ||
Oil, Gas & Consumable Fuels - 0.2% | ||||
Coffeyville Resources LLC: | ||||
Credit-Linked Deposit 8.2494% 12/28/13 (h) | 532 | 535 | ||
Tranche D, term loan 8.3495% 12/28/13 (h) | 2,741 | 2,755 | ||
Helix Energy Solutions Group, Inc. term loan 7.3297% 7/1/13 (h) | 1,360 | 1,363 | ||
Sandridge Energy, Inc. term loan 8.625% 4/1/15 | 4,370 | 4,463 | ||
Targa Resources, Inc./Targa Resources Finance Corp.: | ||||
Credit-Linked Deposit 7.235% 10/31/12 (h) | 540 | 540 | ||
Floating Rate Loans - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Targa Resources, Inc./Targa Resources Finance Corp.: - continued | ||||
term loan 7.3565% 10/31/12 (h) | $ 2,211 | $ 2,211 | ||
Venoco, Inc. Tranche 2LN, term loan 9.36% 5/7/14 (h) | 410 | 410 | ||
12,277 | ||||
TOTAL ENERGY | 12,853 | |||
FINANCIALS - 0.4% | ||||
Diversified Financial Services - 0.1% | ||||
MGM Holdings II, Inc. Tranche B, term loan 8.61% 4/8/12 (h) | 2,281 | 2,281 | ||
The NASDAQ Stock Market, Inc.: | ||||
Tranche B, term loan 7.07% 4/18/12 (h) | 3,512 | 3,512 | ||
Tranche C, term loan 7.07% 4/18/12 (h) | 2,036 | 2,036 | ||
7,829 | ||||
Real Estate Investment Trusts - 0.1% | ||||
Capital Automotive (REIT) Tranche B, term loan 7.07% 12/16/10 (h) | 3,554 | 3,567 | ||
Real Estate Management & Development - 0.2% | ||||
Realogy Corp.: | ||||
Tranche B, term loan 8.35% 10/10/13 (h) | 6,721 | 6,653 | ||
8.32% 10/10/13 (h) | 1,809 | 1,791 | ||
8,444 | ||||
TOTAL FINANCIALS | 19,840 | |||
HEALTH CARE - 0.5% | ||||
Health Care Providers & Services - 0.5% | ||||
Community Health Systems, Inc.: | ||||
term loan 7.57% 6/28/14 (h) | 6,145 | 6,145 | ||
Tranche DD, term loan 6/28/14 (l) | 405 | 405 | ||
DaVita, Inc. Tranche B1, term loan 6.85% 10/5/12 (h) | 3,576 | 3,571 | ||
HCA, Inc. Tranche B, term loan 7.61% 11/17/13 (h) | 14,547 | 14,565 | ||
Health Management Associates, Inc. Tranche B, term loan 7.11% 2/28/14 (h) | 958 | 956 | ||
25,642 | ||||
Floating Rate Loans - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
INDUSTRIALS - 0.3% | ||||
Aerospace & Defense - 0.1% | ||||
DeCrane Aircraft Holdings, Inc.: | ||||
Tranche 1LN, term loan 8.104% 2/21/13 (h) | $ 90 | $ 90 | ||
Tranche 2LN, term loan 14.25% 2/21/14 (h) | 140 | 141 | ||
Hawker Beechcraft Corp.: | ||||
term loan 7.35% 3/26/14 (h) | 3,384 | 3,376 | ||
7.35% 3/26/14 (h) | 287 | 286 | ||
Wesco Aircraft Hardware Corp.: | ||||
Tranche 1LN, term loan 7.61% 9/29/13 (h) | 167 | 168 | ||
Tranche 2LN, term loan 11.11% 3/28/14 (h) | 70 | 71 | ||
4,132 | ||||
Commercial Services & Supplies - 0.1% | ||||
Allied Waste Industries, Inc.: | ||||
Credit-Linked Deposit 7.07% 3/28/14 (h) | 212 | 212 | ||
term loan 7.1006% 3/28/14 (h) | 390 | 391 | ||
Aramark Corp.: | ||||
term loan 7.36% 1/26/14 (h) | 2,021 | 2,019 | ||
7.445% 1/26/14 (h) | 158 | 158 | ||
Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 11.375% 2/7/15 (h) | 650 | 652 | ||
3,432 | ||||
Electrical Equipment - 0.0% | ||||
Baldor Electric Co. term loan 7.125% 1/31/14 (h) | 337 | 337 | ||
Industrial Conglomerates - 0.0% | ||||
Walter Industries, Inc. term loan 7.097% 10/3/12 (h) | 98 | 97 | ||
Machinery - 0.1% | ||||
Chart Industries, Inc. Tranche B, term loan 7.375% 10/17/12 (h) | 53 | 53 | ||
Dresser, Inc.: | ||||
Tranche 2LN, term loan 11.11% 5/4/15 pay-in-kind (h) | 4,050 | 4,101 | ||
Tranche B 1LN, term loan 7.86% 5/4/14 (h) | 540 | 540 | ||
Navistar International Corp.: | ||||
term loan 8.6099% 1/19/12 (h) | 2,310 | 2,322 | ||
Credit-Linked Deposit 8.5907% 1/19/12 (h) | 840 | 844 | ||
7,860 | ||||
Road & Rail - 0.0% | ||||
Laidlaw International, Inc. Tranche B, term loan 7.07% 7/31/13 (h) | 695 | 696 | ||
Floating Rate Loans - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
INDUSTRIALS - continued | ||||
Trading Companies & Distributors - 0.0% | ||||
Neff Corp. Tranche 2LN, term loan 8.895% 11/30/14 (h) | $ 810 | $ 812 | ||
VWR Funding, Inc. term loan 7.86% 6/27/14 (h) | 1,440 | 1,437 | ||
2,249 | ||||
TOTAL INDUSTRIALS | 18,803 | |||
INFORMATION TECHNOLOGY - 0.4% | ||||
IT Services - 0.2% | ||||
Affiliated Computer Services, Inc. Tranche B2, term loan 7.32% 3/20/13 (h) | 3,623 | 3,628 | ||
SunGard Data Systems, Inc. term loan 7.3556% 2/28/14 (h) | 5,536 | 5,543 | ||
9,171 | ||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Advanced Micro Devices, Inc. term loan 7.36% 12/31/13 (h) | 3,285 | 3,281 | ||
Freescale Semiconductor, Inc. term loan 7.11% 12/1/13 (h) | 5,104 | 5,015 | ||
8,296 | ||||
Software - 0.1% | ||||
Kronos, Inc. Tranche 1LN, term loan 7.61% 6/11/14 (h) | 3,960 | 3,945 | ||
Open Solutions, Inc. term loan 7.445% 1/23/14 (h) | 239 | 239 | ||
4,184 | ||||
TOTAL INFORMATION TECHNOLOGY | 21,651 | |||
MATERIALS - 0.6% | ||||
Chemicals - 0.2% | ||||
Berry Plastics Group, Inc. term loan 11.61% 6/5/14 (h) | 5,330 | 5,090 | ||
Celanese Holding LLC: | ||||
Revolving Credit-Linked Deposit 7.07% 4/2/13 (h) | 206 | 206 | ||
term loan 7.0994% 4/2/14 (h) | 1,134 | 1,134 | ||
Lyondell Chemical Co. term loan 6.8563% 8/16/13 (h) | 4,943 | 4,936 | ||
Momentive Performance Materials, Inc. Tranche B1, term loan 7.625% 12/4/13 (h) | 1,035 | 1,032 | ||
Solutia, Inc. Tranche B, term loan 8.36% 3/31/08 (h) | 180 | 180 | ||
12,578 | ||||
Floating Rate Loans - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
MATERIALS - continued | ||||
Containers & Packaging - 0.1% | ||||
Berry Plastics Holding Corp. Tranche C, term loan 7.35% 4/3/15 (h) | $ 4,898 | $ 4,861 | ||
Metals & Mining - 0.1% | ||||
Aleris International, Inc. term loan 7.375% 12/19/13 (h) | 2,813 | 2,778 | ||
Paper & Forest Products - 0.2% | ||||
Georgia-Pacific Corp. Tranche B1, term loan 7.11% 12/23/12 (h) | 11,702 | 11,702 | ||
TOTAL MATERIALS | 31,919 | |||
TELECOMMUNICATION SERVICES - 0.4% | ||||
Diversified Telecommunication Services - 0.4% | ||||
Intelsat Bermuda Ltd. term loan 7.855% 1/12/14 (h) | 1,880 | 1,880 | ||
Level 3 Communications, Inc. term loan 7.605% 3/13/14 (h) | 8,440 | 8,429 | ||
Paetec Communications, Inc. Tranche B, term loan 8.82% 2/28/13 (h) | 479 | 479 | ||
Wind Telecomunicazioni SpA: | ||||
term loan 12.6088% 12/12/11 pay-in-kind (h) | 3,535 | 3,534 | ||
Tranche 2, term loan 11.59% 3/21/15 (h) | 2,840 | 2,883 | ||
Tranche B, term loan 7.84% 9/21/13 (h) | 1,420 | 1,424 | ||
Tranche C, term loan 8.59% 9/21/14 (h) | 1,420 | 1,424 | ||
20,053 | ||||
Wireless Telecommunication Services - 0.0% | ||||
American Cellular Corp.: | ||||
term loan 3/15/14 (l) | 64 | 64 | ||
Tranche B, term loan 7.32% 3/15/14 (h) | 595 | 594 | ||
Leap Wireless International, Inc. Tranche B, term loan 7.36% 6/16/13 (h) | 624 | 624 | ||
MetroPCS Wireless, Inc. Tranche B, term loan 7.625% 11/3/13 (h) | 1,449 | 1,451 | ||
2,733 | ||||
TOTAL TELECOMMUNICATION SERVICES | 22,786 | |||
UTILITIES - 0.3% | ||||
Independent Power Producers & Energy Traders - 0.3% | ||||
Boston Generating LLC: | ||||
Credit-Linked Deposit 7.485% 12/20/13 (h) | 219 | 220 | ||
Floating Rate Loans - continued | ||||
Principal Amount (000s)(d) | Value (000s) | |||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
Boston Generating LLC: - continued | ||||
Tranche 1LN, revolver loan 7.485% 12/20/13 (h) | $ 61 | $ 61 | ||
Tranche 2LN, term loan 9.61% 6/20/14 (h) | 210 | 213 | ||
Tranche B 1LN, term loan 7.61% 12/20/13 (h) | 985 | 987 | ||
Calpine Corp. Tranche D, term loan 7.61% 3/29/09 (h) | 7,771 | 7,771 | ||
NRG Energy, Inc.: | ||||
term loan: | ||||
6/8/14 (l) | 1,581 | 1,573 | ||
7.07% 2/1/13 (h) | 4,951 | 4,945 | ||
7.07% 2/1/13 (h) | 2,055 | 2,053 | ||
17,823 | ||||
TOTAL FLOATING RATE LOANS (Cost $270,513) | 270,196 | |||
Sovereign Loan Participations - 0.1% | ||||
Indonesian Republic loan participation: | ||||
- Barclays Bank 6.25% 3/28/13 (h) | 174 | 172 | ||
- Citibank: | ||||
6.25% 3/28/13 (h) | 610 | 604 | ||
6.25% 12/14/19 (h) | 1,417 | 1,375 | ||
- Credit Suisse First Boston 6.25% 3/28/13 (h) | 2,739 | 2,712 | ||
- Deutsche Bank: | ||||
1.407% 3/28/13 (h) | JPY | 75,124 | 575 | |
6.25% 3/28/13 (h) | 784 | 776 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $5,887) | 6,214 | |||
Commercial Paper - 0.1% | ||||
Asscher Finance Ltd. 4.11% 7/10/07 | EUR | 3,000 | 4,055 |
Fixed-Income Funds - 5.9% | |||
Shares | |||
Fidelity Floating Rate Central Fund (i) | 3,273,798 | 328,834 | |
Preferred Securities - 0.8% | |||
Principal Amount (000s)(d) | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.4% | |||
Media - 0.4% | |||
Globo Comunicacoes e Participacoes SA 9.375% | $ 13,600 | $ 14,172 | |
Net Servicos de Comunicacao SA 9.25% (g) | 6,710 | 6,893 | |
21,065 | |||
ENERGY - 0.3% | |||
Oil, Gas & Consumable Fuels - 0.3% | |||
Pemex Project Funding Master Trust 7.75% | 17,588 | 18,079 | |
FINANCIALS - 0.1% | |||
Diversified Financial Services - 0.1% | |||
MUFG Capital Finance 2 Ltd. 4.85% (h) | 1,300 | 1,688 | |
MUFG Capital Finance 3 Ltd. 2.68% (h) | JPY 150,000 | 1,212 | |
2,900 | |||
TOTAL PREFERRED SECURITIES (Cost $41,400) | 42,044 | ||
Other - 0.0% | |||
Delta Airlines ALPA Claim (a) | 8,380 | 503 | |
Money Market Funds - 10.2% | |||
Shares | |||
Fidelity Cash Central Fund, 5.32% (b) | 567,196,409 | 567,196 | |
TOTAL INVESTMENT PORTFOLIO - 102.8% (Cost $5,652,809) | 5,703,556 | ||
NET OTHER ASSETS - (2.8)% | (156,686) | ||
NET ASSETS - 100% | $ 5,546,870 |
Swap Agreements | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Interest Rate Swaps | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed equal to 5.484% with Deutsche Bank | June 2010 | $ 30,000 | $ (70) | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.254% with Credit Suisse First Boston | June 2009 | 16,000 | 35 | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.35% with Bank of America | April 2037 | 3,875 | 152 | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.51% with Morgan Stanley, Inc. | June 2009 | 25,000 | (64) | ||
Receive semi-annually a fixed rate equal to 4.8825% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America | April 2010 | 21,000 | 272 | ||
Receive semi-annually a fixed rate equal to 5.364% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | July 2009 | 15,000 | (1) | ||
Receive semi-annually a fixed rate equal to 5.418% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | July 2010 | 27,000 | 14 | ||
Receive semi-annually a fixed rate equal to 5.467% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | July 2011 | 5,000 | 4 | ||
Receive semi-annually a fixed rate equal to 5.505% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | July 2012 | 40,000 | 23 | ||
Receive semi-annually a fixed rate equal to 5.706% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | July 2017 | 15,000 | 43 | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Interest Rate Swaps - continued | |||||
Receive semi-annually a fixed rate equal to 5.76% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | June 2016 | $ 8,000 | $ 68 | ||
Receive semi-annually a fixed rate equal to 5.79% and pay quarterly a floating rate based on 3-month LIBOR with Goldman Sachs | July 2016 | 39,770 | 425 | ||
$ 245,645 | $ 901 |
Currency Abbreviations | ||
ARS | - | Argentine peso |
BRL | - | Brazilian real |
CAD | - | Canadian dollar |
EGP | - | Egyptian pound |
EUR | - | European Monetary Unit |
GBP | - | British pound |
JPY | - | Japanese yen |
MXN | - | Mexican peso |
PEN | - | Peruvian new sol |
RUB | - | Russian ruble |
TRY | - | New Turkish Lira |
UYU | - | Uruguay peso |
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) Non-income producing - Issuer is in default. |
(d) Principal amount is stated in United States dollars unless otherwise noted. |
(e) 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. |
(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(g) Security 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 $512,242,000 or 9.2% of net assets. |
(h) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(i) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site, or upon request. |
(j) Quantity represents share amount. |
(k) 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 $206,000 or 0.0% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Intermet Corp. | 11/9/05 | $ 2,153 |
(l) 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 $2,050,000 and $2,042,000, respectively. The coupon rate will be determined at time of settlement. |
(m) Security or a portion of the security purchased on a delayed delivery or when-issued basis |
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 | $ 9,929 |
Fidelity Floating Rate Central Fund | 9,358 |
Total | $ 19,287 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, | % ownership, end of |
Fidelity Floating Rate Central Fund | $ 138,003 | $ 191,912 | $ - | $ 328,834 | 13.8% |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 71.5% |
France | 3.3% |
Canada | 2.9% |
United Kingdom | 2.9% |
Japan | 2.3% |
Brazil | 2.0% |
Argentina | 1.6% |
Venezuela | 1.4% |
Russia | 1.3% |
Finland | 1.1% |
Mexico | 1.0% |
Turkey | 1.0% |
Others (individually less than 1%) | 7.7% |
100.0% |
The information in the above table is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | June 30, 2007 (Unaudited) | |
Assets | ||
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $4,756,122) | $ 4,807,526 | |
Fidelity Central Funds (cost $896,687) | 896,030 | |
Total Investments (cost $5,652,809) | $ 5,703,556 | |
Cash | 1,213 | |
Foreign currency held at value (cost $273) | 273 | |
Receivable for investments sold | 12,078 | |
Receivable for fund shares sold | 18,725 | |
Dividends receivable | 47 | |
Interest receivable | 69,596 | |
Distributions receivable from Fidelity Central Funds | 4,168 | |
Swap agreements, at value | 901 | |
Prepaid expenses | 9 | |
Receivable from investment adviser for expense reductions | 7 | |
Other receivables | 69 | |
Total assets | 5,810,642 | |
Liabilities | ||
Payable for investments purchased: | ||
Regular delivery | $ 75,955 | |
Delayed delivery | 166,636 | |
Payable for fund shares redeemed | 12,602 | |
Distributions payable | 3,140 | |
Accrued management fee | 2,592 | |
Distribution fees payable | 1,638 | |
Other affiliated payables | 840 | |
Other payables and accrued expenses | 369 | |
Total liabilities | 263,772 | |
Net Assets | $ 5,546,870 | |
Net Assets consist of: | ||
Paid in capital | $ 5,465,721 | |
Undistributed net investment income | 13,390 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 15,841 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 51,918 | |
Net Assets | $ 5,546,870 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | June 30, 2007 (Unaudited) | |
Calculation of Maximum Offering Price | $ 11.64 | |
Maximum offering price per share (100/96.00 of $11.64) | $ 12.13 | |
Class T: | $ 11.64 | |
Maximum offering price per share (100/96.00 of $11.64) | $ 12.13 | |
Class B: | $ 11.67 | |
Class C: | $ 11.62 | |
Institutional Class: | $ 11.74 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Amounts in thousands | Six months ended June 30, 2007 (Unaudited) | |
Investment Income | ||
Dividends | $ 4,477 | |
Interest | 135,422 | |
Income from Fidelity Central Funds | 19,287 | |
Total income | 159,186 | |
Expenses | ||
Management fee | $ 14,635 | |
Transfer agent fees | 4,172 | |
Distribution fees | 9,113 | |
Accounting fees and expenses | 687 | |
Custodian fees and expenses | 152 | |
Independent trustees' compensation | 8 | |
Registration fees | 158 | |
Audit | 59 | |
Legal | 18 | |
Miscellaneous | 21 | |
Total expenses before reductions | 29,023 | |
Expense reductions | (77) | 28,946 |
Net investment income | 130,240 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 21,733 | |
Foreign currency transactions | 270 | |
Swap agreements | (96) | |
Total net realized gain (loss) | 21,907 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (78,050) | |
Assets and liabilities in foreign currencies | 104 | |
Swap agreements | 901 | |
Total change in net unrealized appreciation (depreciation) | (77,045) | |
Net gain (loss) | (55,138) | |
Net increase (decrease) in net assets resulting from operations | $ 75,102 |
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 June 30, 2007 | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 130,240 | $ 200,671 |
Net realized gain (loss) | 21,907 | 25,569 |
Change in net unrealized appreciation (depreciation) | (77,045) | 65,522 |
Net increase (decrease) in net assets resulting | 75,102 | 291,762 |
Distributions to shareholders from net investment income | (125,000) | (195,256) |
Distributions to shareholders from net realized gain | (8,244) | (17,694) |
Total distributions | (133,244) | (212,950) |
Share transactions - net increase (decrease) | 922,103 | 1,127,698 |
Total increase (decrease) in net assets | 863,961 | 1,206,510 |
Net Assets | ||
Beginning of period | 4,682,909 | 3,476,399 |
End of period (including undistributed net investment income of $13,390 and undistributed net investment income of $8,150, respectively) | $ 5,546,870 | $ 4,682,909 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended June 30, 2007 | Years ended December 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.76 | $ 11.54 | $ 11.93 | $ 11.63 | $ 10.34 | $ 10.11 |
Income from Investment Operations | ||||||
Net investment income E | .304 | .600 | .571 | .600 | .617 | .668 |
Net realized and unrealized gain (loss) | (.111) | .248 | (.255) | .445 | 1.321 | .214 |
Total from investment operations | .193 | .848 | .316 | 1.045 | 1.938 | .882 |
Distributions from net investment income | (.293) | (.583) | (.551) | (.575) | (.648) | (.652) |
Distributions from net realized gain | (.020) | (.045) | (.155) | (.170) | - | - |
Total distributions | (.313) | (.628) | (.706) | (.745) | (.648) | (.652) |
Net asset value, end of period | $ 11.64 | $ 11.76 | $ 11.54 | $ 11.93 | $ 11.63 | $ 10.34 |
Total Return B, C, D | 1.64% | 7.54% | 2.75% | 9.31% | 19.20% | 9.09% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.01% A | .97% | .99% | 1.00% | 1.01% | 1.04% |
Expenses net of fee waivers, if any | 1.01% A | .97% | .99% | 1.00% | 1.01% | 1.04% |
Expenses net of all reductions | 1.00% A | .97% | .99% | 1.00% | 1.00% | 1.04% |
Net investment income | 5.22% A | 5.18% | 4.92% | 5.20% | 5.58% | 6.65% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 1,231 | $ 954 | $ 647 | $ 372 | $ 187 | $ 57 |
Portfolio turnover rate G | 80% A | 81% | 109% | 94% | 153% | 111% |
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 T
Six months ended June 30, 2007 | Years ended December 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.76 | $ 11.54 | $ 11.92 | $ 11.62 | $ 10.33 | $ 10.11 |
Income from Investment Operations | ||||||
Net investment income E | .304 | .594 | .564 | .593 | .604 | .660 |
Net realized and unrealized gain (loss) | (.111) | .248 | (.245) | .443 | 1.322 | .203 |
Total from investment operations | .193 | .842 | .319 | 1.036 | 1.926 | .863 |
Distributions from net investment income | (.293) | (.577) | (.544) | (.566) | (.636) | (.643) |
Distributions from net realized gain | (.020) | (.045) | (.155) | (.170) | - | - |
Total distributions | (.313) | (.622) | (.699) | (.736) | (.636) | (.643) |
Net asset value, end of period | $ 11.64 | $ 11.76 | $ 11.54 | $ 11.92 | $ 11.62 | $ 10.33 |
Total Return B, C, D | 1.64% | 7.49% | 2.77% | 9.23% | 19.09% | 8.89% |
Ratios to Average Net Assets F,H | ||||||
Expenses before reductions | 1.00% A | 1.02% | 1.05% | 1.07% | 1.11% | 1.13% |
Expenses net of fee waivers, if any | 1.00% A | 1.02% | 1.05% | 1.07% | 1.11% | 1.13% |
Expenses net of all reductions | 1.00% A | 1.02% | 1.05% | 1.07% | 1.11% | 1.13% |
Net investment income | 5.22% A | 5.13% | 4.86% | 5.13% | 5.47% | 6.57% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 2,358 | $ 2,049 | $ 1,427 | $ 808 | $ 515 | $ 279 |
Portfolio turnover rate G | 80% A | 81% | 109% | 94% | 153% | 111% |
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 June 30, 2007 | Years ended December 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.79 | $ 11.57 | $ 11.95 | $ 11.65 | $ 10.35 | $ 10.12 |
Income from Investment Operations | ||||||
Net investment income E | .261 | .511 | .486 | .513 | .533 | .595 |
Net realized and unrealized gain (loss) | (.112) | .247 | (.249) | .441 | 1.330 | .212 |
Total from investment operations | .149 | .758 | .237 | .954 | 1.863 | .807 |
Distributions from net investment income | (.249) | (.493) | (.462) | (.484) | (.563) | (.577) |
Distributions from net realized gain | (.020) | (.045) | (.155) | (.170) | - | - |
Total distributions | (.269) | (.538) | (.617) | (.654) | (.563) | (.577) |
Net asset value, end of period | $ 11.67 | $ 11.79 | $ 11.57 | $ 11.95 | $ 11.65 | $ 10.35 |
Total Return B, C, D | 1.27% | 6.70% | 2.06% | 8.45% | 18.38% | 8.28% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.76% A | 1.76% | 1.78% | 1.78% | 1.77% | 1.78% |
Expenses net of fee waivers, if any | 1.75% A | 1.75% | 1.75% | 1.78% | 1.77% | 1.78% |
Expenses net of all reductions | 1.75% A | 1.75% | 1.75% | 1.78% | 1.77% | 1.78% |
Net investment income | 4.47% A | 4.40% | 4.16% | 4.42% | 4.81% | 5.91% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 333 | $ 342 | $ 342 | $ 319 | $ 287 | $ 147 |
Portfolio turnover rate G | 80% A | 81% | 109% | 94% | 153% | 111% |
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 June 30, 2007 | Years ended December 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.74 | $ 11.53 | $ 11.91 | $ 11.61 | $ 10.32 | $ 10.10 |
Income from Investment Operations | ||||||
Net investment income E | .257 | .503 | .475 | .505 | .525 | .585 |
Net realized and unrealized gain (loss) | (.111) | .238 | (.246) | .444 | 1.320 | .204 |
Total from investment operations | .146 | .741 | .229 | .949 | 1.845 | .789 |
Distributions from net investment income | (.246) | (.486) | (.454) | (.479) | (.555) | (.569) |
Distributions from net realized gain | (.020) | (.045) | (.155) | (.170) | - | - |
Total distributions | (.266) | (.531) | (.609) | (.649) | (.555) | (.569) |
Net asset value, end of period | $ 11.62 | $ 11.74 | $ 11.53 | $ 11.91 | $ 11.61 | $ 10.32 |
Total Return B, C, D | 1.25% | 6.57% | 1.99% | 8.43% | 18.24% | 8.10% |
Ratios to Average Net Assets F, H | ||||||
Expenses before reductions | 1.80% A | 1.81% | 1.82% | 1.82% | 1.84% | 1.87% |
Expenses net of fee waivers, if any | 1.80% A | 1.81% | 1.82% | 1.82% | 1.84% | 1.87% |
Expenses net of all reductions | 1.80% A | 1.81% | 1.82% | 1.82% | 1.84% | 1.87% |
Net investment income | 4.42% A | 4.34% | 4.09% | 4.37% | 4.74% | 5.83% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 781 | $ 683 | $ 540 | $ 405 | $ 277 | $ 68 |
Portfolio turnover rate G | 80% A | 81% | 109% | 94% | 153% | 111% |
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 June 30,2007 | Years ended December 31, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.86 | $ 11.63 | $ 12.02 | $ 11.71 | $ 10.40 | $ 10.17 |
Income from Investment Operations | ||||||
Net investment income D | .320 | .627 | .599 | .627 | .635 | .685 |
Net realized and unrealized gain (loss) | (.114) | .252 | (.262) | .449 | 1.338 | .210 |
Total from investment operations | .206 | .879 | .337 | 1.076 | 1.973 | .895 |
Distributions from net investment income | (.306) | (.604) | (.572) | (.596) | (.663) | (.665) |
Distributions from net realized gain | (.020) | (.045) | (.155) | (.170) | - | - |
Total distributions | (.326) | (.649) | (.727) | (.766) | (.663) | (.665) |
Net asset value, end of period | $ 11.74 | $ 11.86 | $ 11.63 | $ 12.02 | $ 11.71 | $ 10.40 |
Total Return B, C | 1.74% | 7.76% | 2.91% | 9.53% | 19.44% | 9.17% |
Ratios to Average Net Assets E, G | ||||||
Expenses before reductions | .78% A | .79% | .81% | .81% | .87% | .92% |
Expenses net of fee waivers, if any | .78% A | .79% | .81% | .81% | .87% | .92% |
Expenses net of all reductions | .77% A | .79% | .80% | .81% | .87% | .92% |
Net investment income | 5.45% A | 5.36% | 5.10% | 5.38% | 5.71% | 6.78% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 843 | $ 655 | $ 520 | $ 424 | $ 291 | $ 120 |
Portfolio turnover rate F | 80% A | 81% | 109% | 94% | 153% | 111% |
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 June 30, 2007 (Unaudited)
(Amounts in thousands except ratios)
1. Organization.
Fidelity Advisor Strategic Income Fund (the Fund) is a fund of Fidelity Advisor Series II (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
The Fund offers Class A, Class T, Class 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.
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.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The following summarizes the Fund's investment in each Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
Fidelity Floating Rate Central Fund | Fidelity Management & Research Company, Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments, Repurchase Agreements, Restricted Securities |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
2. Investments in Fidelity Central Funds - continued
A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at advisor.fidelity.com. A complete list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. 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. 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.
Semiannual Report
3. Significant Accounting Policies - continued
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. 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. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
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. The Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund adopted the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes, on June 29, 2007. FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the three year period ended June 29, 2007, remains subject to examination by the Internal Revenue Service. 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 foreign currency transactions, prior period premium and discount on debt securities, defaulted bonds, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, financing transactions, losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 119,456 |
Unrealized depreciation | (61,879) |
Net unrealized appreciation (depreciation) | $ 57,577 |
Cost for federal income tax purposes | $ 5,645,979 |
New Accounting Pronouncement. 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.
Semiannual Report
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.
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.
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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
4. Operating Policies - continued
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk. Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements".
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $1,388,032 and $876,272, 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 selling shares of
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan - continued
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% | $ 1,074 | $ 93 |
Class T | 0% | .25% | 2,841 | 166 |
Class B | .65% | .25% | 1,524 | 1,114 |
Class C | .75% | .25% | 3,674 | 1,058 |
$ 9,113 | $ 2,431 |
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 | $ 322 |
Class T | 91 |
Class B* | 376 |
Class C* | 56 |
$ 845 |
* 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
reports, except proxy statements. For the period, the total transfer agent fees paid by each class to FIIOC, were as follows:
Amount | % of Average | |
Class A | $ 981 | .19 |
Class T | 1,545 | .14 |
Class B | 397 | .24 |
Class C | 646 | .18 |
Institutional Class | 603 | .16 |
$ 4,172 |
* 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 $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.
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% | $ 15 |
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.
Semiannual Report
8. Expense Reductions - continued
During the period, these credits reduced the Fund's custody expenses by $33. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | |
Class A | $ 9 |
Class T | 2 |
Class C | 1 |
Institutional Class | 3 |
$ 15 |
9. Credit Risk.
The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.
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, FIIOC, the Fund's transfer agent 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. 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 which did not result in a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
10. Other - continued
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.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 26,352 | $ 39,561 |
Class T | 56,593 | 85,776 |
Class B | 7,159 | 14,254 |
Class C | 15,389 | 25,171 |
Institutional Class | 19,507 | 30,494 |
Total | $ 125,000 | $ 195,256 |
From net realized gain | ||
Class A | $ 1,682 | $ 3,611 |
Class T | 3,631 | 7,750 |
Class B | 578 | 1,297 |
Class C | 1,193 | 2,586 |
Institutional Class | 1,160 | 2,450 |
Total | $ 8,244 | $ 17,694 |
Semiannual Report
12. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended June 30, | Year ended | Six months ended June 30, | Year ended | |
Class A | ||||
Shares sold | 33,858 | 40,212 | $ 397,677 | $ 466,984 |
Reinvestment of distributions | 1,979 | 3,038 | 23,267 | 35,402 |
Shares redeemed | (11,187) | (18,183) | (131,637) | (210,949) |
Net increase (decrease) | 24,650 | 25,067 | $ 289,307 | $ 291,437 |
Class T | ||||
Shares sold | 48,739 | 77,408 | $ 574,030 | $ 898,907 |
Reinvestment of distributions | 4,871 | 7,566 | 57,269 | 88,116 |
Shares redeemed | (25,208) | (34,402) | (296,044) | (398,985) |
Net increase (decrease) | 28,402 | 50,572 | $ 335,255 | $ 588,038 |
Class B | ||||
Shares sold | 3,184 | 6,165 | $ 37,558 | $ 71,729 |
Reinvestment of distributions | 486 | 980 | 5,726 | 11,432 |
Shares redeemed | (4,119) | (7,683) | (48,572) | (89,296) |
Net increase (decrease) | (449) | (538) | $ (5,288) | $ (6,135) |
Class C | ||||
Shares sold | 13,807 | 20,716 | $ 162,292 | $ 240,191 |
Reinvestment of distributions | 1,018 | 1,708 | 11,951 | 19,867 |
Shares redeemed | (5,753) | (11,121) | (67,592) | (128,793) |
Net increase (decrease) | 9,072 | 11,303 | $ 106,651 | $ 131,265 |
Institutional Class | ||||
Shares sold | 20,879 | 32,933 | $ 247,758 | $ 385,367 |
Reinvestment of distributions | 1,312 | 2,240 | 15,564 | 26,269 |
Shares redeemed | (5,656) | (24,654) | (67,144) | (288,543) |
Net increase (decrease) | 16,535 | 10,519 | $ 196,178 | $ 123,093 |
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Strategic Income Fund
Each year, typically in June, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. At the time of the renewal, the Board had 12 standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such committee, the Fixed-Income Contract Committee, meets periodically as needed throughout the year to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the Independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its June 2007 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the management fee and total expenses of the fund; (iii) the total costs of the services to be provided by and the profits to be realized by the investment adviser and its affiliates from the relationship with the fund; (iv) the extent to which economies of scale would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders. The Board also approved amendments to the fund's agreements with foreign sub-advisers to clarify that each sub-adviser provides services as an independent contractor.
In determining whether to renew the Advisory Contracts for the fund, the Board ultimately reached a determination, with the assistance of fund counsel and Independent Trustees' counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity's fiduciary duty under applicable law. In addition to evaluating the specific factors noted above, the Board, in reaching its determination, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund's shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the backgrounds of the fund's portfolio managers and the fund's investment objective and discipline. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity's analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, distribution, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the Investment Advisers' supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services. The Board also considered that Fidelity voluntarily pays for market data out of its own resources. The Board also considered the agreement reached between the Independent Trustees and Fidelity in December 2006 following an independent review of matters relating to receipt of travel, entertainment, gifts and gratuities in violation of Fidelity policies.
Semiannual Report
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 investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying a sales charge. The Board noted that, since the last Advisory Contract renewals in June 2006, Fidelity has taken a number of actions that benefited particular funds, including (i) dedicating additional resources to investment research and to restructure the investment research teams; (ii) contractually agreeing to reduce the management fee on Fidelity Advisor Floating Rate High Income Fund; (iii) contractually agreeing to reduce the management fees on Fidelity's California, Massachusetts, New Jersey, and New York AMT Tax-Free Money Market Funds, launching new Institutional Classes and Service Classes of these funds, and contractually agreeing to impose expense limitations on these funds; (iv) eliminating the exchange fee on the Fidelity Select Portfolios and reducing the pricing and bookkeeping fee rates for these funds; (v) reducing the maximum transfer agency fee rates on high income funds and certain equity funds; (vi) proposing amended management contracts that, if approved by shareholders, will add a performance adjustment component to the management fees paid by 18 Fidelity Advisor equity funds; (vii) contractually agreeing to reduce fees for Ultra-Short Central Fund and the money market Central Funds; (viii) waiving the Fidelity Advisor funds' contingent deferred sales charge on certain redemptions made through systematic withdrawal programs; and (ix) amending the management contracts for equity and fixed-income funds whose management contracts incorporate a "group fee" structure by adding four new fee "breakpoints" to the group fee rate schedules.
Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance for each class, as well as the fund's relative investment performance for each class measured against (i) a proprietary custom index, and (ii) a peer group of mutual funds deemed appropriate by the Board over multiple periods. The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2006, the cumulative total returns of Institutional Class (Class I) and Class C of the fund, the cumulative total returns of a proprietary custom index ("benchmark"), and a range of cumulative total returns of a peer group of mutual funds identified by Morningstar, Inc. as having an investment style similar to that of the fund based on underlying portfolio holdings. The returns of Institutional Class (Class I) and Class C show the performance of the highest and lowest performing classes, respectively (based on three-year performance). The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the class indicated. The fund's proprietary custom index is an index developed by FMR that represents the performance of the fund's four general investment categories according to their respective weightings in the fund's neutral mix.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Fidelity Advisor Strategic Income Fund
The Board reviewed the fund's relative investment performance against its peer group and stated that the performance of Institutional Class (Class I) of the fund was in the second quartile for the one-year period and the first quartile for the three- and five-year periods. The Board also stated that the relative investment performance of Institutional Class (Class I) of the fund compared favorably to its benchmark for the three- and five-year periods, although the fund's one-year cumulative total return was lower than its benchmark. The Board considered that the variations in performance among the fund's classes reflect the variations in class expenses, which result in lower performance for higher expense classes.
Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance, the Board concluded that the nature, extent, and quality of the services provided 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.
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Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable management fee characteristics. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.
The Board considered two proprietary management fee comparisons for the 12-month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a TMG % of 28% means that 72% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee ranked, is also included in the chart and considered by the Board.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Fidelity Advisor Strategic Income Fund
The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2006. Based on its review, the Board concluded that the fund's management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.
In its review of each class's total expenses, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered current and historical total expenses of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
The Board noted that the total expenses of each of Class A, Class T, and Class B ranked below its competitive median for 2006, the total expenses of Institutional Class ranked equal to its competitive median for 2006, and the total expenses of Class C ranked above its competitive median for 2006. The Board noted that the fund offers multiple classes, each of which has a different sales load and 12b-1 fee structure, and that the multiple structures are intended to offer a range of pricing options for the intermediary market. The Board also noted that the total expenses of the classes vary primarily by the level of their 12b-1 fees, although differences in transfer agent fees may also cause expenses to vary from class to class.
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In its review of total expenses, the Board also considered Fidelity fee structures and other information on clients that FMR and its affiliates service in other competitive markets, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients.
Based on its review, the Board concluded that the total expenses of each class of the fund were reasonable, although in one case above the median of the universe presented for comparison, in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
On an annual basis, FMR presents to the Board Fidelity's profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of the results of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity's non-fund businesses and any fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and determined that the amount of profit is a fair entrepreneurial profit for the management of the fund.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions, including reductions that occur through operation of the transfer agent agreement. The transfer agent fee varies in part based on the number of accounts in the fund. If the number of accounts decreases or the average account size increases, the overall transfer agent fee rate decreases.
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Board Approval of Investment Advisory Contracts and
Management Fees - continued
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total fund assets under FMR's management increase, and for higher group fee rates as total fund assets under FMR's management decrease. FMR determines the group fee rates based on a tiered asset "breakpoint" schedule. In connection with the renewal of the fund's management contract, the Board approved amendments to the fund's management contract that added four new fee breakpoints to the group fee rate schedule for assets under FMR's management above $1,386 billion. The Board considered that the group fee rate declines under both the present and amended schedules, but that under the amended schedule, the group fee rate declines faster as assets under FMR's management exceed $1,386 billion. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will achieve a certain level of economies of scale as assets under FMR's management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
The Board further concluded that any potential economies of scale are being shared between fund shareholders and Fidelity in an appropriate manner.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on several topics, including (i) Fidelity's fund profitability methodology, profitability by investment discipline, and profitability trends within certain funds; (ii) Fidelity's compensation structure relative to competitors and its effect on profitability; (iii) funds and accounts managed by Fidelity other than the Fidelity funds, including fee arrangements; (iv) the total expenses of certain funds and classes relative to competitors; (v) fund performance trends; (vi) fall-out benefits received by certain Fidelity affiliates; and (vii) Fidelity's fee structures.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
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Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Research & Analysis Company
Fidelity Investments Japan Limited
Fidelity International Investment Advisors
Fidelity International Investment Advisors (U.K.) Limited
Fidelity Investments Money Management, Inc.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
SII-USAN-0807
1.787776.104
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: | August 23, 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: | August 23, 2007 |
By: | /s/Joseph B. Hollis |
Joseph B. Hollis | |
Chief Financial Officer | |
Date: | August 23, 2007 |