UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4707
Fidelity Advisor Series II
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Scott C. Goebel, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | December 31 |
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Date of reporting period: | June 30, 2008 |
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, 2008
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Proxy Voting Results |
| |
Board Approval of Investment Advisory Contracts and Management Fees |
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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 LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com 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.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Domestic and international securities markets have struggled thus far in 2008. High-grade fixed-income investments produced modestly positive results, but many stock benchmarks suffered double-digit losses through the first half of this year. Financial markets are always unpredictable, but 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, 2008 to June 30, 2008).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Semiannual Report
Shareholder Expense Example - continued
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning | Ending | Expenses Paid |
Class A |
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|
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Actual | $ 1,000.00 | $ 1,007.00 | $ 5.14 |
HypotheticalA | $ 1,000.00 | $ 1,019.74 | $ 5.17 |
Class T |
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Actual | $ 1,000.00 | $ 1,006.20 | $ 5.09 |
HypotheticalA | $ 1,000.00 | $ 1,019.79 | $ 5.12 |
Class B |
|
|
|
Actual | $ 1,000.00 | $ 1,002.50 | $ 8.71 |
HypotheticalA | $ 1,000.00 | $ 1,016.16 | $ 8.77 |
Class C |
|
|
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Actual | $ 1,000.00 | $ 1,003.20 | $ 8.97 |
HypotheticalA | $ 1,000.00 | $ 1,015.91 | $ 9.02 |
Institutional Class |
|
|
|
Actual | $ 1,000.00 | $ 1,008.10 | $ 3.94 |
HypotheticalA | $ 1,000.00 | $ 1,020.93 | $ 3.97 |
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 182/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
| Annualized |
Class A | 1.03% |
Class T | 1.02% |
Class B | 1.75% |
Class C | 1.80% |
Institutional Class | .79% |
Semiannual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each Fidelity Central Fund.
Top Five Holdings as of June 30, 2008 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 15.3 | 16.3 |
Fannie Mae | 9.1 | 11.1 |
Freddie Mac | 5.4 | 7.8 |
German Federal Republic | 4.4 | 3.2 |
Japan Government | 2.6 | 2.5 |
| 36.8 | |
Top Five Market Sectors as of June 30, 2008 | ||
| % of fund's | % of fund's net assets |
Consumer Discretionary | 7.5 | 8.1 |
Financials | 4.6 | 6.4 |
Energy | 4.7 | 4.1 |
Telecommunication Services | 4.6 | 4.5 |
Information Technology | 4.1 | 4.5 |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2008 | As of December 31, 2007 | ||||||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | AAA,AA,A 15.7% |
| ![]() | AAA,AA,A 14.6% |
| ||
![]() | BBB 5.7% |
| ![]() | BBB 5.3% |
| ||
![]() | BB 11.7% |
| ![]() | BB 14.1% |
| ||
![]() | B 17.7% |
| ![]() | B 17.6% |
| ||
![]() | CCC,CC,C 7.6% |
| ![]() | CCC,CC,C 5.9% |
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![]() | Not Rated 1.4% |
| ![]() | Not Rated 1.6% |
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![]() | Equities 0.2% |
| ![]() | Equities 0.4% |
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![]() | Short-Term Investments |
| ![]() | Short-Term Investments |
|
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, 2008* | As of December 31, 2007** | ||||||
![]() | Preferred Securities 0.8% |
| ![]() | Preferred Securities 0.8% |
| ||
![]() | Corporate Bonds 30.0% |
| ![]() | Corporate Bonds 29.5% |
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![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | Foreign Government |
| ![]() | Foreign Government |
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![]() | Floating Rate Loans 5.4% |
| ![]() | Floating Rate Loans 8.7% |
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![]() | Stocks 0.2% |
| ![]() | Stocks 0.4% |
| ||
![]() | Other Investments 1.0% |
| ![]() | Other Investments 1.2% |
| ||
![]() | Short-Term Investments |
| ![]() | Short-Term Investments |
| ||
* Foreign investments | 33.3% |
| ** Foreign investments | 30.3% |
| ||
* Swaps | 1.4% |
| ** Swaps | 4.1% |
|
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at advisor.fidelity.com.
Semiannual Report
Investments June 30, 2008 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 29.8% | ||||
| Principal | Value (000s) | ||
Convertible Bonds - 0.1% | ||||
INFORMATION TECHNOLOGY - 0.1% | ||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
ON Semiconductor Corp. 0% 4/15/24 | $ 450 | $ 497 | ||
Spansion, Inc. 2.25% 6/15/16 (g) | 4,115 | 1,441 | ||
| 1,938 | |||
Nonconvertible Bonds - 29.7% | ||||
CONSUMER DISCRETIONARY - 5.3% | ||||
Auto Components - 0.1% | ||||
Affinia Group, Inc. 9% 11/30/14 | 2,950 | 2,419 | ||
Visteon Corp. 7% 3/10/14 | 10,020 | 5,812 | ||
| 8,231 | |||
Automobiles - 0.2% | ||||
DaimlerChrysler NA Holding Corp. 4.375% 3/16/10 |
| 450 | 693 | |
General Motors Corp.: | ||||
6.75% 5/1/28 | 2,080 | 1,030 | ||
7.125% 7/15/13 | 3,400 | 2,159 | ||
7.2% 1/15/11 | 2,720 | 2,094 | ||
7.4% 9/1/25 | 3,925 | 2,002 | ||
8.25% 7/15/23 | 4,155 | 2,420 | ||
| 10,398 | |||
Diversified Consumer Services - 0.0% | ||||
Affinion Group, Inc. 11.5% 10/15/15 | 2,990 | 2,975 | ||
Hotels, Restaurants & Leisure - 1.4% | ||||
Cap Cana SA 9.625% 11/3/13 (g) | 2,175 | 1,936 | ||
Carrols Corp. 9% 1/15/13 | 4,095 | 3,542 | ||
Gaylord Entertainment Co.: | ||||
6.75% 11/15/14 | 3,690 | 3,229 | ||
8% 11/15/13 | 920 | 876 | ||
Mandalay Resort Group 6.5% 7/31/09 | 1,995 | 1,973 | ||
MGM Mirage, Inc.: | ||||
6% 10/1/09 | 1,050 | 1,036 | ||
6.625% 7/15/15 | 1,595 | 1,284 | ||
6.75% 9/1/12 | 6,020 | 5,358 | ||
6.75% 4/1/13 | 1,020 | 880 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
MGM Mirage, Inc.: - continued | ||||
6.875% 4/1/16 | $ 1,935 | $ 1,558 | ||
7.5% 6/1/16 | 1,965 | 1,601 | ||
Mohegan Tribal Gaming Authority 6.875% 2/15/15 | 2,140 | 1,691 | ||
OSI Restaurant Partners, Inc. 10% 6/15/15 | 12,740 | 8,281 | ||
Scientific Games Corp. 6.25% 12/15/12 | 660 | 632 | ||
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (g) | 1,540 | 1,278 | ||
Six Flags Operations, Inc. 12.25% 7/15/16 (g) | 5,450 | 5,041 | ||
Six Flags, Inc.: | ||||
8.875% 2/1/10 | 8,225 | 7,156 | ||
9.625% 6/1/14 | 669 | 371 | ||
Speedway Motorsports, Inc. 6.75% 6/1/13 | 3,495 | 3,408 | ||
Station Casinos, Inc.: | ||||
6% 4/1/12 | 3,615 | 2,901 | ||
6.5% 2/1/14 | 11,643 | 6,404 | ||
6.625% 3/15/18 | 11,970 | 6,344 | ||
6.875% 3/1/16 | 12,803 | 7,170 | ||
7.75% 8/15/16 | 4,220 | 3,228 | ||
Town Sports International Holdings, Inc. 0% 2/1/14 (e) | 3,328 | 2,979 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 2,555 | 2,638 | ||
Vail Resorts, Inc. 6.75% 2/15/14 | 5,060 | 4,807 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
0% 1/15/13 (e) | 1,070 | 514 | ||
9% 1/15/12 | 575 | 414 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (g) | 1,337 | 1,163 | ||
| 89,693 | |||
Household Durables - 0.1% | ||||
K. Hovnanian Enterprises, Inc. 11.5% 5/1/13 (g) | 315 | 324 | ||
Urbi, Desarrollos Urbanos, SA de CV 8.5% 4/19/16 (g) | 2,785 | 2,869 | ||
| 3,193 | |||
Leisure Equipment & Products - 0.0% | ||||
Riddell Bell Holdings, Inc. 8.375% 10/1/12 | 720 | 576 | ||
Media - 2.7% | ||||
AMC Entertainment, Inc. 11% 2/1/16 | 2,610 | 2,590 | ||
Cablemas SA de CV 9.375% 11/15/15 (Reg. S) | 7,705 | 8,321 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
CanWest Media, Inc. 8% 9/15/12 | $ 860 | $ 761 | ||
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp.: | ||||
11% 10/1/15 | 19,013 | 14,070 | ||
11% 10/1/15 | 310 | 226 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.: | ||||
Series B, 10.25% 9/15/10 | 11,055 | 10,668 | ||
10.25% 9/15/10 | 3,150 | 3,119 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 10.875% 9/15/14 (g) | 4,115 | 4,238 | ||
Clear Channel Communications, Inc.: | ||||
4.9% 5/15/15 | 4,335 | 2,558 | ||
5% 3/15/12 | 1,160 | 838 | ||
5.5% 9/15/14 | 5,515 | 3,309 | ||
5.5% 12/15/16 | 1,155 | 676 | ||
5.75% 1/15/13 | 3,145 | 2,119 | ||
6.875% 6/15/18 | 2,165 | 1,277 | ||
7.25% 10/15/27 | 3,745 | 2,172 | ||
CSC Holdings, Inc.: | ||||
6.75% 4/15/12 | 3,075 | 2,875 | ||
7.625% 7/15/18 | 4,590 | 4,223 | ||
7.875% 2/15/18 | 5,714 | 5,314 | ||
EchoStar Communications Corp.: | ||||
6.375% 10/1/11 | 3,705 | 3,585 | ||
6.625% 10/1/14 | 9,095 | 8,413 | ||
7% 10/1/13 | 3,800 | 3,624 | ||
7.125% 2/1/16 | 32,555 | 30,032 | ||
Haights Cross Communications, Inc. 0% 8/15/11 (e) | 1,550 | 1,132 | ||
iesy Repository GmbH 10.375% 2/15/15 (g) | 1,205 | 1,157 | ||
Lamar Media Corp. 6.625% 8/15/15 | 13,230 | 12,436 | ||
Liberty Media Corp. 8.5% 7/15/29 | 6,535 | 5,845 | ||
Livent, Inc. yankee 9.375% 10/15/04 (c) | 300 | 3 | ||
MediMedia USA, Inc. 11.375% 11/15/14 (g) | 850 | 850 | ||
Rainbow National LLC & RNS Co. Corp.: | ||||
8.75% 9/1/12 (g) | 3,280 | 3,346 | ||
10.375% 9/1/14 (g) | 9,610 | 10,187 | ||
Sun Media Corp. Canada 7.625% 2/15/13 | 635 | 608 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
The Reader's Digest Association, Inc. 9% 2/15/17 (g) | $ 3,000 | $ 2,250 | ||
TL Acquisitions, Inc. 10.5% 1/15/15 (g) | 21,420 | 19,278 | ||
Videotron Ltd. 6.875% 1/15/14 | 550 | 528 | ||
| 172,628 | |||
Multiline Retail - 0.0% | ||||
Matahari Finance BV 9.5% 10/6/09 | 3,170 | 3,155 | ||
Specialty Retail - 0.5% | ||||
AutoNation, Inc. 4.7131% 4/15/13 (j) | 1,000 | 855 | ||
Burlington Coat Factory Warehouse Corp. 11.125% 4/15/14 | 7,565 | 6,175 | ||
Michaels Stores, Inc.: | ||||
0% 11/1/16 (e) | 445 | 215 | ||
10% 11/1/14 | 11,185 | 9,689 | ||
11.375% 11/1/16 | 11,130 | 8,904 | ||
Toys 'R' US, Inc. 7.875% 4/15/13 | 7,080 | 5,770 | ||
| 31,608 | |||
Textiles, Apparel & Luxury Goods - 0.3% | ||||
Levi Strauss & Co.: | ||||
8.875% 4/1/16 | 7,535 | 7,347 | ||
9.75% 1/15/15 | 8,595 | 9,025 | ||
| 16,372 | |||
TOTAL CONSUMER DISCRETIONARY | 338,829 | |||
CONSUMER STAPLES - 0.4% | ||||
Beverages - 0.0% | ||||
Cerveceria Nacional Dominicana C por A: | ||||
16% 3/27/12 | 150 | 134 | ||
16% 3/27/12 (g) | 2,097 | 1,866 | ||
| 2,000 | |||
Food & Staples Retailing - 0.1% | ||||
Rite Aid Corp.: | ||||
9.375% 12/15/15 | 3,440 | 2,253 | ||
9.5% 6/15/17 | 5,710 | 3,740 | ||
| 5,993 | |||
Food Products - 0.3% | ||||
Bertin Ltda. 10.25% 10/5/16 (g) | 1,935 | 2,003 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food Products - continued | ||||
Gruma SA de CV 7.75% | $ 6,460 | $ 6,460 | ||
Hines Nurseries, Inc. 10.25% 10/1/11 | 370 | 208 | ||
Michael Foods, Inc. 8% 11/15/13 | 420 | 414 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 900 | 819 | ||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.: | ||||
9.25% 4/1/15 | 410 | 363 | ||
10.625% 4/1/17 | 1,015 | 817 | ||
Reddy Ice Holdings, Inc. 0% 11/1/12 (e) | 3,250 | 2,698 | ||
Smithfield Foods, Inc. 7.75% 7/1/17 | 2,810 | 2,389 | ||
| 16,171 | |||
Household Products - 0.0% | ||||
Central Garden & Pet Co. 9.125% 2/1/13 | 260 | 228 | ||
Personal Products - 0.0% | ||||
Elizabeth Arden, Inc. 7.75% 1/15/14 | 470 | 443 | ||
TOTAL CONSUMER STAPLES | 24,835 | |||
ENERGY - 4.1% | ||||
Energy Equipment & Services - 0.2% | ||||
CHC Helicopter Corp. 7.375% 5/1/14 | 3,185 | 3,201 | ||
Complete Production Services, Inc. 8% 12/15/16 | 2,530 | 2,530 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (g) | 3,970 | 4,074 | ||
Seabulk International, Inc. 9.5% 8/15/13 | 3,290 | 3,455 | ||
| 13,260 | |||
Oil, Gas & Consumable Fuels - 3.9% | ||||
ANR Pipeline, Inc. 7.375% 2/15/24 | 2,165 | 2,403 | ||
Atlas Energy Operating Co. LLC/Financing Corp. 10.75% 2/1/18 (g) | 4,090 | 4,264 | ||
Atlas Pipeline Partners LP 8.125% 12/15/15 | 9,415 | 9,321 | ||
Berry Petroleum Co. 8.25% 11/1/16 | 2,930 | 2,959 | ||
Chaparral Energy, Inc.: | ||||
8.5% 12/1/15 | 4,948 | 4,255 | ||
8.875% 2/1/17 | 3,780 | 3,270 | ||
Chesapeake Energy Corp.: | ||||
6.5% 8/15/17 | 8,855 | 8,235 | ||
6.875% 11/15/20 | 7,280 | 6,843 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Chesapeake Energy Corp.: - continued | ||||
7% 8/15/14 | $ 865 | $ 848 | ||
7.5% 6/15/14 | 850 | 844 | ||
7.625% 7/15/13 | 17,730 | 17,819 | ||
Colorado Interstate Gas Co. 6.8% 11/15/15 | 5,320 | 5,546 | ||
Connacher Oil and Gas Ltd. 10.25% 12/15/15 (g) | 4,560 | 4,811 | ||
Drummond Co., Inc. 7.375% 2/15/16 (g) | 4,000 | 3,600 | ||
Encore Acquisition Co. 6.25% 4/15/14 | 1,500 | 1,425 | ||
EXCO Resources, Inc. 7.25% 1/15/11 | 570 | 559 | ||
Forest Oil Corp. 8% 12/15/11 | 480 | 492 | ||
Gaz Capital SA (Luxembourg): | ||||
6.58% 10/31/13 | GBP | 900 | 1,659 | |
6.605% 2/13/18 | EUR | 1,200 | 1,722 | |
Harvest Operations Corp. 7.875% 10/15/11 | 1,170 | 1,120 | ||
InterNorth, Inc. 9.625% 3/16/06 (c) | 935 | 14 | ||
KazMunaiGaz Finance Sub BV: | ||||
8.375% 7/2/13 (g) | 2,010 | 2,028 | ||
9.125% 7/2/18 (g) | 2,015 | 2,025 | ||
Mariner Energy, Inc. 8% 5/15/17 | 1,420 | 1,377 | ||
Massey Energy Co. 6.875% 12/15/13 | 11,040 | 10,792 | ||
OPTI Canada, Inc. 7.875% 12/15/14 | 5,250 | 5,198 | ||
Peabody Energy Corp.: | ||||
7.375% 11/1/16 | 5,640 | 5,668 | ||
7.875% 11/1/26 | 5,640 | 5,640 | ||
Pemex Project Funding Master Trust: | ||||
5.5% 2/24/25 (g) | EUR | 750 | 1,008 | |
5.75% 3/1/18 (g) | 4,340 | 4,253 | ||
6.625% 6/15/35 | 2,870 | 2,823 | ||
6.625% 6/15/35 (g) | 1,320 | 1,298 | ||
PetroHawk Energy Corp.: | ||||
7.875% 6/1/15 (g) | 8,045 | 7,864 | ||
9.125% 7/15/13 | 10,710 | 10,951 | ||
Petroleos de Venezuela SA: | ||||
5.25% 4/12/17 | 39,260 | 27,286 | ||
5.375% 4/12/27 | 14,665 | 8,689 | ||
Petroleum Development Corp. 12% 2/15/18 | 4,390 | 4,653 | ||
Petrozuata Finance, Inc.: | ||||
7.63% 4/1/09 (g) | 4,804 | 4,792 | ||
8.22% 4/1/17 (g) | 8,018 | 8,299 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Range Resources Corp. 7.375% 7/15/13 | $ 2,190 | $ 2,206 | ||
SandRidge Energy, Inc. 8.625% 4/1/15 pay-in-kind (g) | 4,370 | 4,457 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 7,015 | 7,138 | ||
Southern Star Central Corp. 6.75% 3/1/16 | 1,560 | 1,482 | ||
Southwestern Energy Co. 7.5% 2/1/18 (g) | 2,460 | 2,485 | ||
Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13 | 1,220 | 1,183 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 536 | ||
7.5% 4/1/17 | 7,600 | 8,008 | ||
7.625% 4/1/37 | 1,035 | 1,077 | ||
8.375% 6/15/32 | 1,155 | 1,316 | ||
TNK-BP Finance SA: | ||||
6.125% 3/20/12 | 4,550 | 4,283 | ||
6.875% 7/18/11 (g) | 4,675 | 4,558 | ||
Transcontinental Gas Pipe Line Corp.: | ||||
7% 8/15/11 | 330 | 340 | ||
8.875% 7/15/12 | 1,455 | 1,601 | ||
Venoco, Inc. 8.75% 12/15/11 | 3,260 | 3,179 | ||
W&T Offshore, Inc. 8.25% 6/15/14 (g) | 5,300 | 5,115 | ||
YPF SA 10% 11/2/28 | 5,635 | 5,712 | ||
| 251,329 | |||
TOTAL ENERGY | 264,589 | |||
FINANCIALS - 4.1% | ||||
Capital Markets - 0.1% | ||||
Bear Stearns Companies, Inc. 5.208% 9/26/13 (j) | EUR | 1,500 | 2,180 | |
Goldman Sachs Group, Inc. 6.375% 5/2/18 | EUR | 1,000 | 1,528 | |
Mizuho Capital Investment Europe 1 Ltd. 5.02% (j) | EUR | 800 | 1,091 | |
Royal Bank of Scotland PLC 5.331% (j) | EUR | 800 | 1,044 | |
VTB Capital SA 8.25% 6/30/11 | EUR | 1,000 | 1,572 | |
| 7,415 | |||
Commercial Banks - 1.4% | ||||
Alliance & Leicester PLC 4.25% 12/30/08 | GBP | 1,250 | 2,434 | |
Banca Popolare di Lodi Investor Trust III 6.742% (j) | EUR | 1,300 | 1,826 | |
Bancaja Emisiones SA 4.625% (j) | EUR | 1,725 | 1,769 | |
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Banco de Credito Del Peru 7.17% 10/15/22 (g)(j) | PEN | 9,318 | $ 2,990 | |
Bank of Tokyo-Mitsubishi Ltd. 3.5% 12/16/15 (j) | EUR | 1,150 | 1,651 | |
Caisse Nationale des Caisses d' Epargne et de Prevoyance 6.117% (j) | EUR | 1,300 | 1,809 | |
Caja Madrid SA 5.034% 10/17/16 (j) | EUR | 1,500 | 2,234 | |
Credit Agricole SA: | ||||
4.975% 9/30/08 (j) | EUR | 1,000 | 1,574 | |
6% 6/24/13 | EUR | 1,750 | 2,747 | |
Development Bank of Philippines 8.375% (j) | 6,055 | 6,055 | ||
DnB Nor ASA 5.875% 6/20/13 | EUR | 1,000 | 1,461 | |
DnB NOR Bank ASA 3.4186% 8/11/09 (j) | CAD | 1,500 | 1,474 | |
EFG Hellas Funding Ltd. 4.565% (j) | EUR | 1,250 | 1,433 | |
Ex-Im Ukraine 7.65% 9/7/11 (Issued by Credit Suisse London Branch for Ex-Im Ukraine) | 13,335 | 12,935 | ||
EXIM of Ukraine 7.75% 9/23/09 (Issued by Dresdner Bank AG for EXIM Ukraine) | 1,685 | 1,691 | ||
Export-Import Bank of India 1.4225% 6/7/12 (j) | JPY | 320,000 | 3,002 | |
HBOS Treasury Services PLC 3.6143% 1/19/10 (j) | CAD | 1,500 | 1,474 | |
HSBK (Europe) B.V. 9.25% 10/16/13 (g) | 4,210 | 4,178 | ||
Intesa Sanpaolo SpA 6.375% 11/12/17 (j) | GBP | 1,500 | 2,842 | |
Korea Development Bank (Reg.) 0.87% 6/28/10 | JPY | 600,000 | 5,491 | |
Kyivstar GSM 7.75% 4/27/12 (Issued by Dresdner Bank AG for Kyivstar GSM) (g) | 7,810 | 7,814 | ||
National Australia Bank Ltd. 5.5% 5/20/15 | EUR | 1,000 | 1,515 | |
Natixis SA 5.087% 1/26/17 (j) | EUR | 1,100 | 1,586 | |
Royal Bank of Scotland Group PLC 5.25% 5/15/13 | EUR | 1,500 | 2,264 | |
Russian Standard Finance SA 6.825% 9/16/09 | EUR | 1,250 | 1,891 | |
St. George Bank Ltd. 6.5% 6/24/13 | EUR | 1,550 | 2,409 | |
Standard Chartered Bank: | ||||
3.625% 2/3/17 (f) | EUR | 385 | 539 | |
5.255% 3/28/18 (j) | EUR | 1,250 | 1,780 | |
Sumitomo Mitsui Banking Corp. 1.7263% (j) | JPY | 100,000 | 942 | |
UBS Luxembourg SA (Reg. S) 8.375% 10/22/11 | 6,195 | 6,257 | ||
| 88,067 | |||
Consumer Finance - 0.5% | ||||
ACE Cash Express, Inc. 10.25% 10/1/14 (g) | 1,420 | 1,065 | ||
Ford Motor Credit Co. LLC: | ||||
7.25% 10/25/11 | 4,350 | 3,371 | ||
7.8% 6/1/12 | 1,450 | 1,131 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Ford Motor Credit Co. LLC: - continued | ||||
9.875% 8/10/11 | $ 7,610 | $ 6,412 | ||
12% 5/15/15 | 3,390 | 2,992 | ||
GE Capital European Funding 4.75% 9/28/12 | EUR | 2,050 | 3,118 | |
General Motors Acceptance Corp.: | ||||
6.875% 8/28/12 | 3,380 | 2,315 | ||
7% 2/1/12 | 5,870 | 4,080 | ||
7.25% 3/2/11 | 1,450 | 1,066 | ||
GMAC LLC: | ||||
6% 4/1/11 | 4,980 | 3,535 | ||
6% 12/15/11 | 1,435 | 976 | ||
6.625% 5/15/12 | 2,180 | 1,444 | ||
SLM Corp.: | ||||
5.158% 12/15/10 (j) | EUR | 1,100 | 1,515 | |
5.288% 6/17/13 (j) | EUR | 620 | 797 | |
| 33,817 | |||
Diversified Financial Services - 0.8% | ||||
Banca Italease SpA 5.505% 6/28/16 (j) | EUR | 1,500 | 2,076 | |
BAT International Finance PLC 5.375% 6/29/17 | EUR | 900 | 1,306 | |
Broadgate PLC 6.8019% 10/5/25 (j) | GBP | 835 | 1,299 | |
CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13 | 5,610 | 5,105 | ||
CEMEX Finance Europe BV 4.75% 3/5/14 | EUR | 1,250 | 1,671 | |
Deutsche Boerse AG 7.5% 6/13/38 (j) | EUR | 1,300 | 2,008 | |
Dignity Finance PLC: | ||||
6.31% 12/31/23 (Reg. S) | GBP | 164 | 302 | |
8.151% 12/31/30 | GBP | 370 | 715 | |
FireKeepers Development Authority 13.875% 5/1/15 (g) | 1,600 | 1,560 | ||
Getin Finance PLC 6.857% 5/13/09 (j) | EUR | 650 | 999 | |
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | 2,056 | 2,015 | ||
IFIL Finanziaria di Partecipazioni SpA 5.375% 6/12/17 | EUR | 1,450 | 1,943 | |
Imperial Tobacco Finance 5.5% 11/22/16 | GBP | 950 | 1,607 | |
NCO Group, Inc. 11.875% 11/15/14 | 2,930 | 2,432 | ||
OAO TMK 8.5% 9/29/09 (Issued by TMK Capital SA for OAO TMK) | 17,000 | 17,213 | ||
Pakistan International Sukuk Co. Ltd. 5.35% 1/27/10 (j) | 3,410 | 3,171 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
ROSBANK (OJSC JSCB) 8% 9/30/09 (Issued by Dali Capital PLC for ROSBANK (OJSC JSCB)) | RUB | 26,200 | $ 1,099 | |
Sedna Finance Corp. 5.708% 3/15/16 (j) | EUR | 1,150 | 140 | |
TransCapitalInvest Ltd. 5.381% 6/27/12 (Reg. S) | EUR | 1,400 | 2,065 | |
UT2 Funding PLC 5.321% 6/30/16 | EUR | 2,570 | 3,008 | |
| 51,734 | |||
Insurance - 0.2% | ||||
Corporacion Mapfre SA 5.921% 7/24/37 (j) | EUR | 1,800 | 2,433 | |
Eureko BV 5.125% (j) | EUR | 1,500 | 1,985 | |
Fukoku Mutual Life Insurance Co. 4.5% 9/28/25 (j) | EUR | 1,200 | 1,612 | |
Groupama SA 6.298% (j) | EUR | 850 | 1,116 | |
Novae Group PLC 8.375% 4/27/17 (j) | GBP | 450 | 788 | |
Old Mutual PLC 4.5% 1/18/17 (j) | EUR | 1,000 | 1,385 | |
Wuerttembergische Lebens AG 5.375% 6/1/26 (j) | EUR | 800 | 1,144 | |
| 10,463 | |||
Real Estate Investment Trusts - 0.2% | ||||
BF Saul REIT 7.5% 3/1/14 | 3,400 | 2,992 | ||
Rouse Co. LP/TRC, Inc. 6.75% 5/1/13 (g) | 6,640 | 5,760 | ||
Senior Housing Properties Trust 7.875% 4/15/15 | 6,211 | 6,227 | ||
| 14,979 | |||
Real Estate Management & Development - 0.6% | ||||
Inversiones y Representaciones SA 8.5% 2/2/17 (g) | 2,785 | 2,005 | ||
Realogy Corp.: | ||||
10.5% 4/15/14 | 29,415 | 20,296 | ||
11% 4/15/14 pay-in-kind | 17,145 | 9,862 | ||
12.375% 4/15/15 | 8,605 | 4,216 | ||
WT Finance (Aust) Pty Ltd./Westfield Europe Finance PLC/WEA Finance 3.625% 6/27/12 | EUR | 1,250 | 1,716 | |
| 38,095 | |||
Thrifts & Mortgage Finance - 0.3% | ||||
Credit Logement SA: | ||||
4.604% (j) | EUR | 1,000 | 1,416 | |
5.558% 12/2/49 (j) | EUR | 2,000 | 2,837 | |
Nationwide Building Society 3.375% 8/17/15 (j) | EUR | 1,600 | 2,281 | |
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Thrifts & Mortgage Finance - continued | ||||
Residential Capital LLC: | ||||
8.5% 5/15/10 (g) | $ 6,188 | $ 5,198 | ||
9.625% 5/15/15 (g) | 14,244 | 6,837 | ||
| 18,569 | |||
TOTAL FINANCIALS | 263,139 | |||
HEALTH CARE - 1.5% | ||||
Health Care Equipment & Supplies - 0.2% | ||||
Bausch & Lomb, Inc. 9.875% 11/1/15 (g) | 6,840 | 6,926 | ||
Invacare Corp. 9.75% 2/15/15 | 1,530 | 1,522 | ||
| 8,448 | |||
Health Care Providers & Services - 1.2% | ||||
Cardinal Health 409, Inc. 9.5% 4/15/15 pay-in-kind | 11,685 | 10,341 | ||
CRC Health Group, Inc. 10.75% 2/1/16 | 1,880 | 1,523 | ||
DASA Finance Corp. 8.75% 5/29/18 (g) | 2,325 | 2,308 | ||
DaVita, Inc. 6.625% 3/15/13 | 5,230 | 5,034 | ||
Fresenius Medical Care Capital Trust IV 7.875% 6/15/11 | 1,000 | 1,033 | ||
HCA, Inc.: | ||||
9.125% 11/15/14 | 12,275 | 12,521 | ||
9.25% 11/15/16 | 11,640 | 11,989 | ||
9.625% 11/15/16 pay-in-kind | 1,155 | 1,190 | ||
Rural/Metro Corp. 9.875% 3/15/15 | 1,355 | 1,240 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 | 3,652 | 3,862 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 | 310 | 310 | ||
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13 | 3,040 | 3,131 | ||
Tenet Healthcare Corp.: | ||||
9.25% 2/1/15 | 1,512 | 1,482 | ||
9.875% 7/1/14 | 12,685 | 12,669 | ||
U.S. Oncology, Inc. 9% 8/15/12 | 1,300 | 1,300 | ||
Vanguard Health Holding Co. I, LLC 0% 10/1/15 (e) | 585 | 503 | ||
Vanguard Health Holding Co. II LLC 9% 10/1/14 | 7,675 | 7,848 | ||
| 78,284 | |||
Life Sciences Tools & Services - 0.0% | ||||
Bio-Rad Laboratories, Inc. 7.5% 8/15/13 | 1,770 | 1,788 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Pharmaceuticals - 0.1% | ||||
Elan Finance PLC/Elan Finance Corp. 7.75% 11/15/11 | $ 1,585 | $ 1,553 | ||
Leiner Health Products, Inc. 11% 6/1/12 (c) | 1,885 | 94 | ||
Schering-Plough Corp. 5.375% 10/1/14 | EUR | 1,940 | 2,802 | |
| 4,449 | |||
TOTAL HEALTH CARE | 92,969 | |||
INDUSTRIALS - 2.1% | ||||
Aerospace & Defense - 0.1% | ||||
Alion Science & Technology Corp. 10.25% 2/1/15 | 800 | 552 | ||
Hexcel Corp. 6.75% 2/1/15 | 2,350 | 2,280 | ||
Orbimage Holdings, Inc. 14.2175% 7/1/12 (j) | 1,720 | 1,793 | ||
| 4,625 | |||
Airlines - 0.2% | ||||
Continental Airlines, Inc. 6.903% 4/19/22 | 820 | 617 | ||
Delta Air Lines, Inc.: | ||||
7.9% 12/15/09 (a) | 16,400 | 205 | ||
10% 8/15/08 (a) | 1,255 | 16 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 9,908 | 8,273 | ||
8.021% 8/10/22 | 4,736 | 3,552 | ||
Northwest Airlines Corp. 10% 2/1/09 (a) | 1,895 | 38 | ||
Northwest Airlines, Inc.: | ||||
7.875% 3/15/49 (a) | 1,365 | 27 | ||
8.875% 6/1/06 (a) | 1,355 | 14 | ||
Northwest Airlines, Inc. pass-thru trust certificates: | ||||
7.027% 11/1/19 | 2,295 | 1,819 | ||
8.028% 11/1/17 | 1,080 | 864 | ||
| 15,425 | |||
Building Products - 0.3% | ||||
Compagnie de St. Gobain 4.994% 4/11/12 (j) | EUR | 1,250 | 1,882 | |
Nortek, Inc.: | ||||
8.5% 9/1/14 | 11,485 | 7,465 | ||
10% 12/1/13 (g) | 4,320 | 4,082 | ||
NTK Holdings, Inc. 0% 3/1/14 (e) | 6,210 | 2,763 | ||
| 16,192 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Commercial Services & Supplies - 0.4% | ||||
ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13 | $ 160 | $ 146 | ||
Allied Security Escrow Corp. 11.375% 7/15/11 | 2,255 | 1,939 | ||
Allied Waste North America, Inc.: | ||||
6.5% 11/15/10 | 830 | 830 | ||
7.125% 5/15/16 | 5,645 | 5,631 | ||
Browning-Ferris Industries, Inc.: | ||||
7.4% 9/15/35 | 3,085 | 2,900 | ||
9.25% 5/1/21 | 680 | 680 | ||
Cenveo Corp. 10.5% 8/15/16 (g) | 2,795 | 2,795 | ||
FTI Consulting, Inc.: | ||||
7.625% 6/15/13 | 720 | 742 | ||
7.75% 10/1/16 | 1,390 | 1,425 | ||
Mac-Gray Corp. 7.625% 8/15/15 | 680 | 649 | ||
Rental Service Corp. 9.5% 12/1/14 | 3,940 | 3,329 | ||
West Corp. 9.5% 10/15/14 | 8,620 | 7,758 | ||
| 28,824 | |||
Construction & Engineering - 0.0% | ||||
Blount, Inc. 8.875% 8/1/12 | 1,250 | 1,250 | ||
Obrascon Huarte Lain SA 5% 5/18/12 | EUR | 1,250 | 1,705 | |
| 2,955 | |||
Electrical Equipment - 0.1% | ||||
Coleman Cable, Inc. 9.875% 10/1/12 | 1,040 | 957 | ||
General Cable Corp. 7.125% 4/1/17 | 680 | 646 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 900 | 855 | ||
SGL Carbon AG 6.106% 5/15/15 (j) | EUR | 1,500 | 2,161 | |
| 4,619 | |||
Industrial Conglomerates - 0.3% | ||||
Hutchison Whampoa Finance 06 Ltd. 4.625% 9/21/16 | EUR | 2,500 | 3,406 | |
Sequa Corp.: | ||||
11.75% 12/1/15 (g) | 10,805 | 9,454 | ||
13.5% 12/1/15 pay-in-kind (g) | 3,600 | 3,237 | ||
Siemens Financieringsmaatschappij NV: | ||||
5.375% 6/11/14 | EUR | 775 | 1,192 | |
6.125% 9/14/66 (j) | GBP | 1,075 | 1,902 | |
| 19,191 | |||
Machinery - 0.2% | ||||
Chart Industries, Inc. 9.125% 10/15/15 | 1,160 | 1,183 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
Cummins, Inc. 7.125% 3/1/28 | $ 2,250 | $ 2,143 | ||
RBS Global, Inc. / Rexnord Corp.: | ||||
8.875% 9/1/16 | 1,341 | 1,254 | ||
9.5% 8/1/14 | 6,310 | 6,058 | ||
11.75% 8/1/16 | 2,905 | 2,782 | ||
| 13,420 | |||
Marine - 0.2% | ||||
CMA CGM SA 5.5% 5/16/12 (Reg. S) | EUR | 2,625 | 3,434 | |
Navios Maritime Holdings, Inc. 9.5% 12/15/14 | 4,460 | 4,460 | ||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 1,795 | 1,696 | ||
US Shipping Partners LP 13% 8/15/14 | 3,185 | 1,911 | ||
| 11,501 | |||
Road & Rail - 0.2% | ||||
Kansas City Southern de Mexico, SA de CV: | ||||
7.375% 6/1/14 | 1,670 | 1,645 | ||
7.625% 12/1/13 | 1,700 | 1,666 | ||
Kansas City Southern Railway Co. 7.5% 6/15/09 | 3,165 | 3,189 | ||
TFM SA de CV 9.375% 5/1/12 | 6,450 | 6,756 | ||
| 13,256 | |||
Trading Companies & Distributors - 0.1% | ||||
Glencore Finance (Europe) SA 7.125% 4/23/15 | EUR | 1,650 | 2,506 | |
Penhall International Corp. 12% 8/1/14 (g) | 1,515 | 1,121 | ||
VWR Funding, Inc. 10.25% 7/15/15 | 4,270 | 3,992 | ||
| 7,619 | |||
TOTAL INDUSTRIALS | 137,627 | |||
INFORMATION TECHNOLOGY - 3.1% | ||||
Communications Equipment - 0.7% | ||||
Hughes Network Systems LLC / HNS Finance Corp. 9.5% 4/15/14 | 6,290 | 6,361 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 20,050 | 15,038 | ||
6.5% 1/15/28 | 6,570 | 4,928 | ||
Nortel Networks Corp.: | ||||
6.9631% 7/15/11 (j) | 3,760 | 3,572 | ||
10.125% 7/15/13 | 3,730 | 3,767 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Nortel Networks Corp.: - continued | ||||
10.75% 7/15/16 | $ 3,760 | $ 3,798 | ||
10.75% 7/15/16 (g) | 5,170 | 5,222 | ||
| 42,686 | |||
Electronic Equipment & Instruments - 0.2% | ||||
NXP BV 9.5% 10/15/15 | 9,290 | 8,082 | ||
Texas Competitive Electric Holdings Co. LLC Series A, 10.25% 11/1/15 (g) | 5,665 | 5,552 | ||
| 13,634 | |||
IT Services - 0.6% | ||||
Ceridian Corp.: | ||||
11.25% 11/15/15 (g) | 3,710 | 3,367 | ||
12.25% 11/15/15 pay-in-kind (g) | 3,375 | 3,063 | ||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 10,955 | 10,243 | ||
7.75% 1/15/15 | 4,830 | 4,806 | ||
8.25% 7/1/11 | 535 | 534 | ||
8.625% 4/1/13 | 2,900 | 2,915 | ||
8.75% 7/15/18 | 5,160 | 5,315 | ||
SunGard Data Systems, Inc. 9.125% 8/15/13 | 5,280 | 5,333 | ||
Unisys Corp.: | ||||
8% 10/15/12 | 875 | 753 | ||
12.5% 1/15/16 | 3,030 | 3,030 | ||
| 39,359 | |||
Office Electronics - 0.4% | ||||
Xerox Capital Trust I 8% 2/1/27 | 4,585 | 4,493 | ||
Xerox Corp.: | ||||
6.4% 3/15/16 | 8,000 | 8,121 | ||
7.625% 6/15/13 | 12,010 | 12,370 | ||
| 24,984 | |||
Semiconductors & Semiconductor Equipment - 1.2% | ||||
Amkor Technology, Inc. 9.25% 6/1/16 | 10,440 | 9,892 | ||
ASML Holding NV 5.75% 6/13/17 | EUR | 2,900 | 3,809 | |
Avago Technologies Finance Ltd.: | ||||
8.1819% 6/1/13 (j) | 902 | 900 | ||
11.875% 12/1/15 | 8,455 | 9,131 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
Freescale Semiconductor, Inc.: | ||||
8.875% 12/15/14 | $ 28,335 | $ 22,810 | ||
9.125% 12/15/14 pay-in-kind | 26,855 | 20,611 | ||
10.125% 12/15/16 | 6,030 | 4,583 | ||
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. 6.0263% 12/15/11 (j) | 735 | 507 | ||
New ASAT Finance Ltd. 9.25% 2/1/11 | 2,100 | 1,365 | ||
Spansion LLC 11.25% 1/15/16 (g) | 3,870 | 2,399 | ||
Viasystems, Inc. 10.5% 1/15/11 | 4,065 | 3,984 | ||
| 79,991 | |||
Software - 0.0% | ||||
Open Solutions, Inc. 9.75% 2/1/15 (g) | 870 | 705 | ||
TOTAL INFORMATION TECHNOLOGY | 201,359 | |||
MATERIALS - 3.0% | ||||
Chemicals - 0.9% | ||||
America Rock Salt Co. LLC 9.5% 3/15/14 | 3,940 | 4,137 | ||
Bayer AG 4.842% 4/10/10 (j) | EUR | 1,250 | 1,952 | |
Georgia Gulf Corp.: | ||||
7.125% 12/15/13 | 1,280 | 960 | ||
9.5% 10/15/14 | 5,515 | 4,191 | ||
Huntsman LLC 11.625% 10/15/10 | 466 | 485 | ||
JohnsonDiversey Holdings, Inc. 10.67% 5/15/13 | 6,095 | 6,065 | ||
MacDermid, Inc. 9.5% 4/15/17 (g) | 500 | 445 | ||
Momentive Performance Materials, Inc.: | ||||
9.75% 12/1/14 | 26,260 | 22,518 | ||
10.125% 12/1/14 pay-in-kind | 5,055 | 4,189 | ||
11.5% 12/1/16 | 16,205 | 12,154 | ||
Sterling Chemicals, Inc. 10.25% 4/1/15 (g) | 1,600 | 1,612 | ||
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 | 1,990 | 1,622 | ||
| 60,330 | |||
Containers & Packaging - 0.6% | ||||
AEP Industries, Inc. 7.875% 3/15/13 | 640 | 550 | ||
Berry Plastics Holding Corp.: | ||||
8.875% 9/15/14 | 5,340 | 4,592 | ||
10.25% 3/1/16 | 4,055 | 2,960 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
BWAY Corp. 10% 10/15/10 | $ 1,175 | $ 1,175 | ||
Constar International, Inc. 11% 12/1/12 | 2,530 | 1,480 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 355 | 319 | ||
7.5% 12/15/96 | 3,685 | 2,644 | ||
8% 4/15/23 | 2,980 | 2,600 | ||
Crown European Holdings SA 6.25% 9/1/11 | EUR | 2,100 | 3,088 | |
Owens-Brockway Glass Container, Inc.: | ||||
6.75% 12/1/14 | 895 | 891 | ||
8.25% 5/15/13 | 3,390 | 3,492 | ||
Tekni-Plex, Inc. 10.875% 8/15/12 | 980 | 1,005 | ||
Vitro SAB de CV: | ||||
8.625% 2/1/12 | 10,395 | 9,407 | ||
9.125% 2/1/17 | 2,210 | 1,735 | ||
| 35,938 | |||
Metals & Mining - 1.3% | ||||
Aleris International, Inc. 9% 12/15/14 | 2,790 | 2,222 | ||
CAP SA 7.375% 9/15/36 (g) | 970 | 933 | ||
Compass Minerals International, Inc. 12% 6/1/13 | 752 | 775 | ||
CSN Islands VIII Corp. 9.75% 12/16/13 (g) | 5,830 | 6,646 | ||
Evraz Group SA: | ||||
8.25% 11/10/15 (Reg. S) | 2,215 | 2,146 | ||
8.875% 4/24/13 (g) | 6,415 | 6,383 | ||
FMG Finance Property Ltd.: | ||||
10% 9/1/13 (g) | 3,805 | 4,205 | ||
10.625% 9/1/16 (g) | 8,945 | 10,466 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
5.8825% 4/1/15 (j) | 2,055 | 2,055 | ||
6.875% 2/1/14 | 4,200 | 4,295 | ||
8.25% 4/1/15 | 8,780 | 9,142 | ||
8.375% 4/1/17 | 11,870 | 12,538 | ||
Gerdau AmeriSteel Corp./GUSAP Partners 10.375% 7/15/11 | 1,335 | 1,391 | ||
Gerdau SA 8.875% (g) | 2,590 | 2,713 | ||
International Steel Group, Inc. 6.5% 4/15/14 | 10,550 | 10,819 | ||
Ispat Inland ULC 9.75% 4/1/14 | 932 | 996 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
PNA Intermediate Holding Corp. 9.6756% 2/15/13 pay-in-kind (j) | $ 1,680 | $ 1,672 | ||
RathGibson, Inc. 11.25% 2/15/14 | 5,905 | 5,654 | ||
| 85,051 | |||
Paper & Forest Products - 0.2% | ||||
Abitibi-Consolidated, Inc. 13.75% 4/1/11 (g) | 7,070 | 7,565 | ||
Glatfelter 7.125% 5/1/16 | 550 | 534 | ||
NewPage Corp. 9.1228% 5/1/12 (j) | 1,770 | 1,770 | ||
Solo Cup Co. 8.5% 2/15/14 | 2,140 | 1,905 | ||
| 11,774 | |||
TOTAL MATERIALS | 193,093 | |||
TELECOMMUNICATION SERVICES - 4.1% | ||||
Diversified Telecommunication Services - 1.5% | ||||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 6,530 | 5,746 | ||
9% 8/15/31 | 7,395 | 6,619 | ||
Embarq Corp.: | ||||
7.082% 6/1/16 | 1,116 | 1,060 | ||
7.995% 6/1/36 | 8,910 | 8,429 | ||
Indosat Finance Co. BV 7.75% 11/5/10 | 3,070 | 3,101 | ||
Intelsat Bermuda Ltd. 7.5344% 2/4/17 (f)(g) | 18,242 | 14,776 | ||
Intelsat Ltd.: | ||||
9.25% 6/15/16 | 5,045 | 5,045 | ||
11.25% 6/15/16 | 16,840 | 17,093 | ||
Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (g) | 5,425 | 5,235 | ||
Qwest Corp. 7.5% 10/1/14 | 760 | 732 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 3,315 | 2,760 | ||
8.75% 3/15/32 | 9,485 | 9,034 | ||
Telecom Egypt SAE 9.672% 2/4/10 (j) | EGP | 2,139 | 400 | |
U.S. West Communications: | ||||
6.875% 9/15/33 | 9,883 | 8,153 | ||
7.25% 10/15/35 | 580 | 492 | ||
Wind Acquisition Finance SA 10.75% 12/1/15 (g) | 7,315 | 7,608 | ||
| 96,283 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - 2.6% | ||||
American Tower Corp. 7.125% 10/15/12 | $ 10,745 | $ 10,906 | ||
Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 | 6,050 | 6,141 | ||
Cricket Communications, Inc.: | ||||
9.375% 11/1/14 | 6,460 | 6,266 | ||
10% 7/15/15 (g) | 4,325 | 4,260 | ||
10.875% 11/1/14 | 2,545 | 2,469 | ||
Digicel Group Ltd.: | ||||
8.875% 1/15/15 (g) | 4,705 | 4,423 | ||
9.125% 1/15/15 pay-in-kind (g) | 5,465 | 5,151 | ||
9.25% 9/1/12 (g) | 1,880 | 1,922 | ||
Intelsat Jackson Holdings Ltd.: | ||||
9.5% 6/15/16 (g) | 18,760 | 18,502 | ||
11.5% 6/15/16 (g) | 670 | 677 | ||
Intelsat Subsidiary Holding Co. Ltd.: | ||||
8.5% 1/15/13 (g) | 3,655 | 3,554 | ||
8.875% 1/15/15 (g) | 11,555 | 11,252 | ||
MetroPCS Wireless, Inc. 9.25% 11/1/14 | 12,930 | 12,445 | ||
Millicom International Cellular SA 10% 12/1/13 | 16,540 | 17,532 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 16,705 | 13,406 | ||
7.375% 8/1/15 | 20,880 | 17,330 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (g) | 8,140 | 6,512 | ||
Telecom Personal SA 9.25% 12/22/10 (g) | 14,370 | 14,478 | ||
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (g) | 6,540 | 6,442 | ||
| 163,668 | |||
TOTAL TELECOMMUNICATION SERVICES | 259,951 | |||
UTILITIES - 2.0% | ||||
Electric Utilities - 0.9% | ||||
AES Gener SA 7.5% 3/25/14 | 3,410 | 3,598 | ||
Chivor SA E.S.P. 9.75% 12/30/14 (g) | 3,255 | 3,694 | ||
Edison Mission Energy: | ||||
7.5% 6/15/13 | 13,680 | 13,612 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
Edison Mission Energy: - continued | ||||
7.75% 6/15/16 | $ 4,965 | $ 5,002 | ||
Energy Future Holdings: | ||||
10.875% 11/1/17 (g) | 5,420 | 5,474 | ||
11.25% 11/1/17 pay-in-kind (g) | 7,780 | 7,722 | ||
Intergen NV 9% 6/30/17 (g) | 7,670 | 7,900 | ||
Majapahit Holding BV 7.75% 10/17/16 | 2,720 | 2,502 | ||
National Power Corp. 6.875% 11/2/16 (g) | 5,930 | 5,678 | ||
| 55,182 | |||
Gas Utilities - 0.5% | ||||
Intergas Finance BV: | ||||
6.375% 5/14/17 (Reg. S) | 5,020 | 4,355 | ||
6.875% 11/4/11 (Reg. S) | 6,585 | 6,371 | ||
Southern Gas Networks PLC 6.375% 5/15/40 | GBP | 700 | 1,376 | |
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | 7,350 | 7,552 | ||
8% 3/1/32 | 4,170 | 4,595 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (g) | 10,650 | 8,147 | ||
| 32,396 | |||
Independent Power Producers & Energy Traders - 0.6% | ||||
AES Corp.: | ||||
7.75% 10/15/15 | 10,145 | 9,942 | ||
8% 10/15/17 | 13,560 | 13,289 | ||
Enron Corp.: | ||||
Series A, 8.375% 5/23/05 (c) | 2,500 | 63 | ||
6.4% 7/15/06 (c) | 9,815 | 147 | ||
6.625% 11/15/05 (c) | 2,200 | 33 | ||
6.725% 11/17/08 (c)(j) | 684 | 5 | ||
6.75% 8/1/09 (c) | 550 | 8 | ||
6.875% 10/15/07 (c) | 1,330 | 20 | ||
6.95% 7/15/28 (c) | 1,204 | 9 | ||
7.125% 5/15/07 (c) | 235 | 4 | ||
7.375% 5/15/19 (c) | 1,400 | 21 | ||
7.875% 6/15/03 (c) | 235 | 4 | ||
9.125% 4/1/03 (c) | 50 | 1 | ||
9.875% 6/5/03 (c) | 4,720 | 71 | ||
NRG Energy, Inc.: | ||||
7.25% 2/1/14 | 5,370 | 5,155 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
NRG Energy, Inc.: - continued | ||||
7.375% 2/1/16 | $ 1,200 | $ 1,140 | ||
Reliant Energy, Inc.: | ||||
7.625% 6/15/14 | 4,630 | 4,526 | ||
7.875% 6/15/17 | 3,680 | 3,588 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (g) | 1,065 | 996 | ||
| 39,022 | |||
Multi-Utilities - 0.0% | ||||
Abu Dhabi National Energy Co. PJSC 4.375% 10/28/13 | EUR | 1,000 | 1,415 | |
Aquila, Inc. 14.875% 7/1/12 | 1,615 | 1,873 | ||
Utilicorp United, Inc. 9.95% 2/1/11 (j) | 39 | 41 | ||
| 3,329 | |||
TOTAL UTILITIES | 129,929 | |||
TOTAL NONCONVERTIBLE BONDS | 1,906,320 | |||
TOTAL CORPORATE BONDS (Cost $2,002,516) | 1,908,258 | |||
U.S. Government and Government Agency Obligations - 20.3% | ||||
| ||||
U.S. Government Agency Obligations - 5.0% | ||||
Fannie Mae: | ||||
2.5% 4/9/10 | 3,580 | 3,543 | ||
3% 7/12/10 | 15,000 | 14,932 | ||
3.25% 2/10/10 | 37,409 | 37,538 | ||
3.25% 4/9/13 | 10,500 | 10,104 | ||
3.375% 5/19/11 | 12,116 | 12,056 | ||
3.625% 2/12/13 | 37,185 | 36,444 | ||
3.875% 12/10/09 | 59,500 | 60,226 | ||
4.75% 11/19/12 | 15,800 | 16,253 | ||
4.875% 5/18/12 | 8,000 | 8,271 | ||
6% 5/15/11 | 13,795 | 14,690 | ||
6.625% 9/15/09 | 15,115 | 15,771 | ||
Freddie Mac: | ||||
3.5% 5/29/13 | 67,380 | 65,472 | ||
3.875% 6/29/11 | 14,554 | 14,667 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency Obligations - continued | ||||
Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23 | $ 4,750 | $ 5,096 | ||
Private Export Funding Corp. secured: | ||||
4.974% 8/15/13 | 1,515 | 1,562 | ||
5.685% 5/15/12 | 1,285 | 1,363 | ||
Small Business Administration guaranteed development participation certificates Series 2003-P10B, Class 1 5.136% 8/10/13 | 802 | 804 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 318,792 | |||
U.S. Treasury Obligations - 15.3% | ||||
U.S. Treasury Bonds: | ||||
4.375% 2/15/38 | 14,500 | 14,133 | ||
6.125% 8/15/29 | 120,150 | 144,922 | ||
6.25% 8/15/23 | 61,500 | 73,171 | ||
U.S. Treasury Notes: | ||||
1.75% 3/31/10 | 118,160 | 116,637 | ||
2.125% 1/31/10 | 31,400 | 31,238 | ||
2.125% 4/30/10 | 75,853 | 75,302 | ||
2.625% 5/31/10 (h) | 49,595 | 49,630 | ||
2.75% 2/28/13 | 182,976 | 178,611 | ||
3.875% 5/15/18 | 2,000 | 1,983 | ||
4.25% 11/15/17 | 83,000 | 84,783 | ||
4.75% 8/15/17 | 162,002 | 171,621 | ||
5.125% 5/15/16 | 39,190 | 42,729 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 984,760 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,310,403) | 1,303,552 | |||
U.S. Government Agency - Mortgage Securities - 6.7% | ||||
| ||||
Fannie Mae - 4.1% | ||||
3.605% 9/1/33 (j) | 593 | 601 | ||
3.707% 6/1/33 (j) | 1,673 | 1,677 | ||
3.817% 6/1/33 (j) | 1,873 | 1,874 | ||
3.893% 5/1/33 (j) | 569 | 570 | ||
3.912% 5/1/34 (j) | 1,001 | 1,011 | ||
3.915% 5/1/34 (j) | 750 | 756 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Fannie Mae - continued | ||||
3.918% 9/1/33 (j) | $ 1,828 | $ 1,852 | ||
3.948% 8/1/33 (j) | 754 | 764 | ||
3.979% 9/1/33 (j) | 1,062 | 1,071 | ||
4% 9/1/13 to 5/1/20 | 4,397 | 4,252 | ||
4.023% 3/1/34 (j) | 3,744 | 3,792 | ||
4.108% 4/1/34 (j) | 2,317 | 2,336 | ||
4.113% 5/1/34 (j) | 1,857 | 1,876 | ||
4.154% 9/1/33 (j) | 1,209 | 1,222 | ||
4.209% 11/1/34 (j) | 1,860 | 1,883 | ||
4.296% 6/1/33 (j) | 1,754 | 1,771 | ||
4.341% 10/1/19 (j) | 216 | 218 | ||
4.376% 1/1/34 (j) | 2,333 | 2,357 | ||
4.389% 8/1/33 (j) | 793 | 799 | ||
4.393% 10/1/33 (j) | 929 | 930 | ||
4.416% 1/1/34 (j) | 966 | 971 | ||
4.428% 11/1/33 (j) | 230 | 232 | ||
4.457% 8/1/35 (j) | 2,859 | 2,889 | ||
4.478% 12/1/34 (j) | 106 | 107 | ||
4.492% 1/1/35 (j) | 1,040 | 1,053 | ||
4.492% 3/1/35 (j) | 4,855 | 4,916 | ||
4.5% 3/1/18 to 11/1/19 | 10,471 | 10,323 | ||
4.548% 5/1/35 (j) | 2,102 | 2,126 | ||
4.571% 1/1/35 (j) | 1,798 | 1,822 | ||
4.587% 5/1/35 (j) | 2,208 | 2,214 | ||
4.648% 10/1/34 (j) | 622 | 629 | ||
4.651% 8/1/35 (j) | 2,081 | 2,135 | ||
4.659% 6/1/35 (j) | 630 | 630 | ||
4.681% 8/1/35 (j) | 940 | 955 | ||
4.696% 2/1/35 (j) | 1,296 | 1,316 | ||
4.7% 2/1/35 (j) | 2,863 | 2,899 | ||
4.707% 2/1/36 (j) | 2,451 | 2,488 | ||
4.724% 8/1/34 (j) | 2,917 | 2,944 | ||
4.732% 12/1/35 (j) | 6,664 | 6,759 | ||
4.749% 5/1/35 (j) | 308 | 309 | ||
4.75% 7/1/35 (j) | 671 | 676 | ||
4.757% 1/1/35 (j) | 950 | 960 | ||
4.767% 7/1/35 (j) | 685 | 691 | ||
4.775% 12/1/35 (j) | 676 | 685 | ||
4.776% 3/1/35 (j) | 1,141 | 1,149 | ||
4.785% 7/1/35 (j) | 892 | 900 | ||
4.811% 6/1/35 (j) | 1,211 | 1,220 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Fannie Mae - continued | ||||
4.818% 9/1/34 (j) | $ 799 | $ 810 | ||
4.829% 1/1/35 (j) | 665 | 674 | ||
4.835% 10/1/34 (j) | 1,769 | 1,792 | ||
4.851% 4/1/35 (j) | 1,777 | 1,808 | ||
4.851% 7/1/35 (j) | 1,190 | 1,201 | ||
4.852% 7/1/34 (j) | 872 | 884 | ||
4.86% 10/1/35 (j) | 256 | 259 | ||
4.88% 5/1/35 (j) | 315 | 318 | ||
4.889% 11/1/35 (j) | 1,898 | 1,921 | ||
4.905% 3/1/33 (j) | 528 | 535 | ||
4.929% 8/1/34 (j) | 1,719 | 1,742 | ||
4.942% 8/1/34 (j) | 950 | 963 | ||
4.952% 5/1/35 (j) | 1,168 | 1,171 | ||
4.954% 3/1/35 (j) | 1,036 | 1,045 | ||
4.985% 2/1/35 (j) | 1,127 | 1,143 | ||
4.992% 2/1/34 (j) | 1,485 | 1,499 | ||
5% 1/1/14 to 5/1/23 | 13,969 | 14,008 | ||
5% 7/17/23 (h)(i) | 2,000 | 1,979 | ||
5% 7/17/23 (h)(i) | 3,000 | 2,968 | ||
5.004% 5/1/35 (j) | 2,566 | 2,592 | ||
5.019% 12/1/32 (j) | 1,470 | 1,493 | ||
5.041% 10/1/35 (j) | 1,191 | 1,206 | ||
5.082% 7/1/34 (j) | 332 | 337 | ||
5.099% 10/1/35 (j) | 710 | 719 | ||
5.131% 10/1/35 (j) | 770 | 779 | ||
5.135% 8/1/34 (j) | 1,236 | 1,258 | ||
5.168% 3/1/36 (j) | 2,423 | 2,457 | ||
5.204% 7/1/35 (j) | 2,962 | 3,001 | ||
5.228% 5/1/35 (j) | 929 | 941 | ||
5.267% 12/1/36 (j) | 474 | 483 | ||
5.271% 7/1/35 (j) | 5,426 | 5,496 | ||
5.301% 3/1/36 (j) | 6,359 | 6,459 | ||
5.318% 4/1/36 (j) | 876 | 907 | ||
5.319% 2/1/36 (j) | 148 | 150 | ||
5.336% 7/1/35 (j) | 394 | 400 | ||
5.336% 1/1/36 (j) | 2,079 | 2,116 | ||
5.355% 2/1/36 (j) | 1,449 | 1,475 | ||
5.358% 2/1/37 (j) | 525 | 537 | ||
5.364% 3/1/37 (j) | 6,650 | 6,797 | ||
5.39% 2/1/37 (j) | 2,648 | 2,700 | ||
5.448% 2/1/37 (j) | 3,581 | 3,666 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Fannie Mae - continued | ||||
5.5% 5/1/11 to 6/1/20 | $ 31,432 | $ 31,932 | ||
5.502% 6/1/47 (j) | 411 | 420 | ||
5.523% 11/1/36 (j) | 808 | 825 | ||
5.601% 4/1/37 (j) | 2,136 | 2,184 | ||
5.611% 2/1/36 (j) | 614 | 626 | ||
5.639% 4/1/36 (j) | 2,447 | 2,498 | ||
5.66% 6/1/36 (j) | 1,436 | 1,464 | ||
5.787% 5/1/36 (j) | 540 | 550 | ||
5.791% 3/1/36 (j) | 5,043 | 5,151 | ||
5.802% 1/1/36 (j) | 342 | 348 | ||
5.822% 5/1/36 (j) | 3,711 | 3,791 | ||
5.859% 9/1/36 (j) | 992 | 1,013 | ||
5.863% 6/1/35 (j) | 2,227 | 2,268 | ||
5.897% 12/1/36 (j) | 903 | 926 | ||
5.906% 5/1/36 (j) | 1,697 | 1,735 | ||
5.947% 5/1/36 (j) | 607 | 623 | ||
6% 5/1/12 to 6/1/30 | 17,074 | 17,496 | ||
6.009% 4/1/36 (j) | 9,901 | 10,139 | ||
6.095% 3/1/37 (j) | 1,060 | 1,090 | ||
6.167% 4/1/36 (j) | 1,052 | 1,079 | ||
6.226% 3/1/37 (j) | 330 | 338 | ||
6.251% 6/1/36 (j) | 158 | 161 | ||
6.5% 12/1/12 to 9/1/32 | 4,546 | 4,723 | ||
7% 9/1/25 | 4 | 4 | ||
7.5% 1/1/28 to 5/1/37 | 852 | 901 | ||
TOTAL FANNIE MAE | 260,584 | |||
Freddie Mac - 2.6% | ||||
3.431% 7/1/33 (j) | 1,539 | 1,546 | ||
4% 5/1/19 to 11/1/20 | 4,830 | 4,625 | ||
4.006% 4/1/34 (j) | 3,231 | 3,243 | ||
4.12% 7/1/35 (j) | 1,324 | 1,341 | ||
4.217% 1/1/35 (j) | 2,611 | 2,651 | ||
4.426% 5/1/33 (j) | 2,093 | 2,097 | ||
4.5% 2/1/18 to 8/1/33 | 5,924 | 5,806 | ||
4.58% 6/1/33 (j) | 751 | 748 | ||
4.683% 5/1/35 (j) | 1,678 | 1,669 | ||
4.697% 9/1/36 (j) | 630 | 638 | ||
4.786% 2/1/36 (j) | 254 | 256 | ||
4.79% 3/1/35 (j) | 585 | 590 | ||
4.858% 10/1/35 (j) | 1,087 | 1,107 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Freddie Mac - continued | ||||
4.974% 10/1/36 (j) | $ 1,203 | $ 1,233 | ||
5% 3/1/18 to 7/1/19 | 18,860 | 18,891 | ||
5.022% 4/1/35 (j) | 103 | 104 | ||
5.023% 1/1/37 (j) | 4,927 | 4,969 | ||
5.025% 4/1/35 (j) | 2,212 | 2,231 | ||
5.027% 7/1/35 (j) | 3,207 | 3,253 | ||
5.115% 4/1/35 (j) | 2,141 | 2,185 | ||
5.126% 7/1/35 (j) | 838 | 847 | ||
5.276% 2/1/36 (j) | 59 | 59 | ||
5.309% 12/1/33 (j) | 1,748 | 1,759 | ||
5.332% 9/1/35 (j) | 596 | 602 | ||
5.406% 3/1/37 (j) | 328 | 333 | ||
5.485% 1/1/36 (j) | 778 | 790 | ||
5.5% 8/1/14 to 6/1/20 | 34,127 | 34,609 | ||
5.548% 4/1/37 (j) | 457 | 466 | ||
5.592% 3/1/36 (j) | 4,122 | 4,188 | ||
5.748% 5/1/37 (j) | 4,529 | 4,607 | ||
5.749% 10/1/35 (j) | 278 | 282 | ||
5.759% 1/1/36 (j) | 350 | 356 | ||
5.782% 3/1/37 (j) | 2,204 | 2,245 | ||
5.799% 6/1/37 (j) | 1,581 | 1,611 | ||
5.802% 4/1/37 (j) | 2,059 | 2,094 | ||
5.817% 5/1/37 (j) | 2,551 | 2,596 | ||
5.825% 5/1/37 (j) | 347 | 354 | ||
5.829% 5/1/37 (j) | 714 | 726 | ||
5.941% 4/1/36 (j) | 7,174 | 7,323 | ||
6% 7/1/16 to 2/1/19 | 8,258 | 8,519 | ||
6.021% 6/1/36 (j) | 758 | 774 | ||
6.136% 6/1/37 (j) | 409 | 419 | ||
6.141% 2/1/37 (j) | 644 | 658 | ||
6.143% 1/1/37 (j) | 1,752 | 1,787 | ||
6.154% 12/1/36 (j) | 4,548 | 4,656 | ||
6.191% 7/1/36 (j) | 4,607 | 4,723 | ||
6.224% 5/1/36 (j) | 639 | 655 | ||
6.273% 12/1/36 (j) | 1,392 | 1,428 | ||
6.378% 7/1/36 (j) | 742 | 762 | ||
6.417% 6/1/37 (j) | 169 | 174 | ||
6.484% 9/1/36 (j) | 3,512 | 3,613 | ||
6.5% 10/1/10 to 3/1/36 | 13,277 | 13,795 | ||
6.656% 8/1/37 (j) | 1,182 | 1,220 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Freddie Mac - continued | ||||
7.581% 4/1/37 (j) | $ 180 | $ 186 | ||
8.5% 3/1/20 | 10 | 11 | ||
TOTAL FREDDIE MAC | 168,410 | |||
Government National Mortgage Association - 0.0% | ||||
6% 1/15/09 to 5/15/09 | 6 | 6 | ||
6.5% 4/15/26 to 5/15/26 | 42 | 44 | ||
7% 9/15/25 to 8/15/31 | 66 | 70 | ||
7.5% 2/15/22 to 8/15/28 | 123 | 132 | ||
8% 9/15/26 to 12/15/26 | 23 | 25 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 277 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $423,925) | 429,271 | |||
Asset-Backed Securities - 0.4% | ||||
| ||||
Amstel Corp. Loan Offering BV: | ||||
Series 2006-1 Class C, 5.335% 5/25/16 (j) | EUR | 500 | 700 | |
Series 2007-1: | ||||
Class B, 5.228% 3/25/17 (j) | EUR | 1,100 | 1,623 | |
Class C, 5.408% 3/25/17 (j) | EUR | 800 | 1,139 | |
Auto ABS Compartiment Series 2006-1 Class B, 5.079% 7/25/17 (j) | EUR | 1,000 | 1,408 | |
Clock Finance BV Series 2007-1: | ||||
Class B2, 5.027% 2/25/15 (j) | EUR | 700 | 960 | |
Class C2, 5.027% 2/25/15 (j) | EUR | 400 | 510 | |
FCC SPARC Series 2007-1 Class D, 6.817% 7/15/10 (j) | EUR | 500 | 786 | |
Geldilux Ltd. Series 2007-TS Class C, 5.214% 9/8/14 (j) | EUR | 400 | 540 | |
GLS Ltd. Series 2006-1 Class C, 5.427% 7/15/14 (j) | EUR | 500 | 747 | |
Greene King Finance PLC Series A1, 6.335% 6/15/31 (j) | GBP | 1,000 | 1,759 | |
Lambda Finance BV Series 2005-1X Class C1, 6.46% 11/15/29 (j) | GBP | 500 | 841 | |
Leek Finance PLC: | ||||
Series 17X Class A2A, 6.0919% 12/21/37 (j) | GBP | 300 | 567 | |
Series 18X Class BC, 5.361% 9/21/38 (j) | EUR | 600 | 759 | |
Asset-Backed Securities - continued | ||||
| Principal | Value (000s) | ||
Mermaid Secured Finance Ltd. Series 2007-1: | ||||
Class C, 5.148% 1/30/40 (j) | EUR | 400 | $ 582 | |
Class D, 5.348% 1/30/40 (j) | EUR | 550 | 787 | |
Prime Bricks Series 2007-1: | ||||
Class B, 5.148% 1/30/40 (j) | EUR | 550 | 803 | |
Class C, 5.438% 1/30/40 (j) | EUR | 450 | 643 | |
Promise K 2006-1 GmbH Series I 2006-1 Class D, 5.637% 3/10/17 (j) | EUR | 1,000 | 1,290 | |
Provide Bricks Series 2007-1 Class B, 4.738% 1/30/40 (j) | EUR | 1,400 | 2,078 | |
Sedna Finance Corp. 5.581% 12/23/14 (j) | EUR | 500 | 61 | |
Southern Gas Networks PLC Class A1, 5.024% 10/21/10 (j) | EUR | 1,050 | 1,633 | |
Stichting Mars Series 2006 Class C, 5.167% 8/28/14 (j) | EUR | 1,000 | 1,323 | |
Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27 | GBP | 60 | 100 | |
Volkswagen Car Lease Series 9 Class B, 4.624% 4/21/12 (Reg. S) (j) | EUR | 341 | 528 | |
Whinstone Capital Management Ltd. Series 2005-1X Class B1, 6.7775% 10/25/45 (j) | GBP | 526 | 840 | |
TOTAL ASSET-BACKED SECURITIES (Cost $22,530) | 23,007 | |||
Collateralized Mortgage Obligations - 3.1% | ||||
| ||||
Private Sponsor - 0.2% | ||||
Arkle Master Issuer PLC: | ||||
floater Series 2006-1X Class 5M1, 5.13% 2/17/52 (j) | EUR | 800 | 1,107 | |
Series 2006-1X Class 2C, 5.21% 2/17/52 (j) | EUR | 950 | 1,480 | |
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1X Class DC, 5.174% 4/12/56 (j) | EUR | 650 | 875 | |
EPIC PLC Series BROD Class D, 5.274% 1/22/16 (j) | EUR | 297 | 411 | |
Holmes Financing No. 8 PLC floater Series 3 Class C, 5.597% 7/15/40 (j) | EUR | 333 | 519 | |
RMAC PLC Series 2005-NS4X Class M2A, 6.48% 12/12/43 (j) | GBP | 1,541 | 2,817 | |
RMAC Securities PLC 2006 floater Series 2006-NS4X Class M1A, 6.22% 6/12/44 (j) | GBP | 1,250 | 2,032 | |
Shield BV Series 1 Class C, 5.174% 1/20/14 (j) | EUR | 1,500 | 2,192 | |
TOTAL PRIVATE SPONSOR | 11,433 | |||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - 2.9% | ||||
Fannie Mae: | ||||
floater Series 2007-95 Class A1, 2.7325% 8/27/36 (j) | $ 9,432 | $ 9,368 | ||
planned amortization class Series 2002-83 Class ME, 5% 12/25/17 | 8,925 | 8,832 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
planned amortization class: | ||||
Series 2001-68 Class QZ, 5.5% 12/25/16 | 1,371 | 1,387 | ||
Series 2002-11: | ||||
Class QC, 5.5% 3/25/17 | 3,047 | 3,077 | ||
Class UC, 6% 3/25/17 | 2,164 | 2,219 | ||
Series 2002-18 Class PC, 5.5% 4/25/17 | 4,075 | 4,128 | ||
Series 2002-61 Class PG, 5.5% 10/25/17 | 4,712 | 4,755 | ||
Series 2002-71 Class UC, 5% 11/25/17 | 7,520 | 7,488 | ||
Series 2002-9 Class PC, 6% 3/25/17 | 216 | 220 | ||
Series 2003-113: | ||||
Class PD, 4% 2/25/17 | 4,890 | 4,843 | ||
Class PE, 4% 11/25/18 | 1,515 | 1,416 | ||
Series 2003-122 Class OL, 4% 12/25/18 | 2,120 | 1,997 | ||
Series 2003-128 Class NE, 4% 12/25/16 | 2,550 | 2,520 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 890 | 830 | ||
Series 2003-85 Class GD, 4.5% 9/25/18 | 3,190 | 3,105 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 1,980 | 1,942 | ||
Series 2004-81: | ||||
Class KC, 4.5% 4/25/17 | 1,395 | 1,402 | ||
Class KD, 4.5% 7/25/18 | 3,035 | 2,991 | ||
Series 2005-52 Class PB, 6.5% 12/25/34 | 3,863 | 4,016 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 761 | 769 | ||
Series 2003-18 Class EY, 5% 6/25/17 | 2,973 | 2,991 | ||
Series 2004-95 Class AN, 5.5% 1/25/25 | 1,958 | 1,982 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 808 | 719 | ||
Series 2005-29 Class KA, 4.5% 2/25/35 | 2,589 | 2,561 | ||
Series 2005-47 Class AK, 5% 6/25/20 | 7,595 | 7,519 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 2,480 | 2,481 | ||
Freddie Mac planned amortization class: | ||||
Series 2101 Class PD, 6% 11/15/28 | 396 | 399 | ||
Series 2115 Class PE, 6% 1/15/14 | 158 | 162 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2577 Class FW, 2.9713% 1/15/30 (j) | 5,422 | 5,390 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
Series 2630 Class FL, 2.9713% 6/15/18 (j) | $ 104 | $ 105 | ||
Series 2861 Class GF, 2.7713% 1/15/21 (j) | 3,285 | 3,271 | ||
planned amortization class: | ||||
Series 2376 Class JE, 5.5% 11/15/16 | 803 | 813 | ||
Series 2378 Class PE, 5.5% 11/15/16 | 4,542 | 4,596 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 652 | 660 | ||
Series 2390 Class CH, 5.5% 12/15/16 | 2,097 | 2,123 | ||
Series 2425 Class JH, 6% 3/15/17 | 1,106 | 1,136 | ||
Series 2628: | ||||
Class OE, 4.5% 6/15/18 | 1,630 | 1,585 | ||
Class OP, 3.5% 11/15/13 | 290 | 290 | ||
Series 2695 Class DG, 4% 10/15/18 | 3,865 | 3,646 | ||
Series 2770 Class UD, 4.5% 5/15/17 | 5,845 | 5,779 | ||
Series 2773 Class EG, 4.5% 4/15/19 | 14,395 | 13,835 | ||
Series 2831 Class PB, 5% 7/15/19 | 3,990 | 3,965 | ||
Series 2866 Class XE, 4% 12/15/18 | 4,450 | 4,370 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 812 | 824 | ||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | 1,143 | 1,162 | ||
Series 2467 Class NB, 5% 7/15/17 | 1,610 | 1,615 | ||
Series 2546 Class C, 5% 12/15/17 | 2,679 | 2,675 | ||
Series 2569 Class HB, 5% 9/15/16 | 4,694 | 4,727 | ||
Series 2570 Class CU, 4.5% 7/15/17 | 309 | 306 | ||
Series 2572 Class HK, 4% 2/15/17 | 442 | 437 | ||
Series 2617 Class GW, 3.5% 6/15/16 | 301 | 301 | ||
Series 2627: | ||||
Class BG, 3.25% 6/15/17 | 207 | 200 | ||
Class KP, 2.87% 12/15/16 | 210 | 203 | ||
Series 2685 Class ND, 4% 10/15/18 | 1,745 | 1,630 | ||
Series 2773 Class TA, 4% 11/15/17 | 2,689 | 2,652 | ||
Series 2849 Class AL, 5% 5/15/18 | 1,465 | 1,472 | ||
Series 2860 Class CP, 4% 10/15/17 | 378 | 375 | ||
Series 2930 Class KT, 4.5% 2/15/20 | 7,833 | 7,288 | ||
Series 2937 Class HJ, 5% 10/15/19 | 1,500 | 1,506 | ||
Series 3266: | ||||
Class C, 5% 2/15/20 | 1,456 | 1,467 | ||
Class D, 5% 1/15/22 | 15,423 | 15,129 | ||
Series 3401 Class EB, 5% 12/15/22 | 1,823 | 1,758 | ||
Series 2564 Class BQ, 5.5% 10/15/17 | 2,666 | 2,694 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
Series 2715 Class NG, 4.5% 12/15/18 | $ 2,155 | $ 2,074 | ||
Series 2863 Class DB, 4% 9/15/14 | 243 | 235 | ||
Series 2975 Class NA, 5% 7/15/23 | 1,121 | 1,131 | ||
TOTAL U.S. GOVERNMENT AGENCY | 189,544 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $198,892) | 200,977 | |||
Commercial Mortgage Securities - 0.3% | ||||
| ||||
Bruntwood Alpha PLC Series 2007-1 Class C, 6.4194% 1/15/17 (j) | GBP | 700 | 1,106 | |
Canary Wharf Finance II PLC Series 3MUK Class C2, 6.4338% 10/22/37 (j) | GBP | 1,000 | 1,546 | |
European Property Capital Series 4 Class C, 6.165% 7/20/14 (j) | GBP | 297 | 541 | |
German Residential Asset Note Distributor PLC Series 1 Class A, 5.024% 7/20/16 (j) | EUR | 1,300 | 1,945 | |
JLOC 36 LLC Reg. S: | ||||
Class A1, 1.1738% 2/16/16 (j) | JPY | 74,280 | 693 | |
Class B, 1.3438% 2/16/16 (j) | JPY | 76,340 | 705 | |
JLOC 37 LLC (Reg. S) Series X Class B1, 1.3125% 1/15/15 (j) | JPY | 92,653 | 863 | |
London & Regional Debt Securitisation No. 1 PLC Class A, 6.1394% 10/15/14 (j) | GBP | 650 | 1,192 | |
Opera Finance (CMH) PLC Class B, 5.047% 1/15/15 (j) | EUR | 1,100 | 1,534 | |
Opera Finance PLC 5.83% 7/31/13 (j) | GBP | 983 | 1,891 | |
Paris Prime Community Real Estate Series 2006-1 Class B, 5.044% 4/22/14 (g)(j) | EUR | 721 | 1,047 | |
Real Estate Capital Foundation Ltd. Series 3 Class A, 6.1294% 7/15/16 (j) | GBP | 2,000 | 3,559 | |
Rivoli Pan Europe PLC Series 2006-1 Class B 5.137% 8/3/18 (j) | EUR | 650 | 888 | |
Silver Maple Investment Co. Ltd. Class 2A, 4.543% 4/30/14 (j) | EUR | 700 | 1,014 | |
Skyline BV Series 2007-1 Class D, 5.604% 7/22/43 (j) | EUR | 1,100 | 1,290 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $19,770) | 19,814 | |||
Foreign Government and Government Agency Obligations - 22.6% | ||||
| Principal | Value (000s) | ||
Arab Republic of Egypt 8.75% 7/18/12 (g) | EGP | 18,200 | $ 3,184 | |
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 7,711 | 5,880 | ||
par 1.33% 12/31/38 (j) | 10,190 | 3,465 | ||
7% 3/28/11 | 88,425 | 75,704 | ||
7% 9/12/13 | 51,560 | 38,806 | ||
Austrian Republic 5% 12/20/24 (g) | CAD | 2,000 | 2,004 | |
Banco Central del Uruguay: | ||||
value recovery A rights 1/2/21 (a)(l) | 1,000,000 | 0 | ||
value recovery B rights 1/2/21 (a)(l) | 750,000 | 0 | ||
Belgian Kingdom 5% 3/28/35 | EUR | 4,125 | 6,371 | |
Brazilian Federative Republic: | ||||
6% 9/15/13 | 1,558 | 1,566 | ||
6% 1/17/17 | 2,035 | 2,078 | ||
8.25% 1/20/34 | 5,050 | 6,242 | ||
8.75% 2/4/25 | 3,340 | 4,225 | ||
10% 1/1/10 | BRL | 2,607 | 1,521 | |
12.25% 3/6/30 | 7,410 | 12,597 | ||
12.5% 1/5/16 | BRL | 1,340 | 827 | |
12.75% 1/15/20 | 2,410 | 3,826 | ||
British Columbia Province 5.7% 6/18/29 | CAD | 12,000 | 13,246 | |
Canadian Government: | ||||
3.75% 6/1/09 | CAD | 73,350 | 72,341 | |
4% 6/1/17 | CAD | 64,250 | 64,259 | |
5% 6/1/37 | CAD | 25,000 | 28,315 | |
Central Bank of Nigeria: | ||||
promissory note 5.092% 1/5/10 | 1,881 | 1,800 | ||
warrants 11/15/20 (a)(l) | 2,750 | 597 | ||
Colombian Republic 7.375% 9/18/37 | 5,225 | 5,643 | ||
Democratic Socialist Republic of Sri Lanka 8.25% 10/24/12 (g) | 4,265 | 3,828 | ||
Dominican Republic: | ||||
3.6713% 8/30/24 (j) | 4,323 | 4,210 | ||
9.04% 1/23/18 (g) | 8,356 | 8,606 | ||
9.5% 9/27/11 (Reg. S) | 4,031 | 4,152 | ||
Ecuador Republic: | ||||
5% 2/28/25 | 1,580 | 1,134 | ||
10% 8/15/30 (Reg. S) | 12,040 | 11,739 | ||
12% 11/15/12 (Reg. S) | 2,093 | 2,135 | ||
French Republic: | ||||
3.75% 1/12/13 | EUR | 20,000 | 30,163 | |
5.5% 4/25/29 | EUR | 910 | 1,521 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
French Republic: - continued | ||||
5.75% 10/25/32 | EUR | 7,150 | $ 12,375 | |
Gabonese Republic 8.2% 12/12/17 (g) | 10,285 | 10,619 | ||
Georgia Republic 7.5% 4/15/13 | 730 | 719 | ||
German Federal Republic: | ||||
Inflation-Indexed Bond 2.25% 4/15/13 | EUR | 36,784 | 58,402 | |
3.5% 4/12/13 | EUR | 48,600 | 72,783 | |
3.75% 1/4/15 | EUR | 11,000 | 16,476 | |
4% 4/13/12 | EUR | 5,650 | 8,695 | |
4.25% 1/4/14 | EUR | 40,140 | 62,000 | |
4.25% 7/4/39 | EUR | 6,785 | 9,651 | |
5.625% 1/4/28 | EUR | 31,250 | 53,310 | |
Ghana Republic 8.5% 10/4/17 (g) | 6,575 | 6,591 | ||
Greek Government: | ||||
4.5% 9/20/37 | EUR | 7,000 | 9,370 | |
4.6% 7/20/18 | EUR | 9,225 | 13,737 | |
Indonesian Republic: | ||||
6.625% 2/17/37 (g) | 3,550 | 2,938 | ||
6.75% 3/10/14 (g) | 2,030 | 1,994 | ||
7.5% 1/15/16 (g) | 1,815 | 1,820 | ||
7.75% 1/17/38 (g) | 4,235 | 3,981 | ||
8.5% 10/12/35 (Reg. S) | 2,640 | 2,713 | ||
Islamic Republic of Pakistan: | ||||
6.75% 2/19/09 | 12,055 | 11,693 | ||
7.125% 3/31/16 (g) | 3,975 | 2,902 | ||
Italian Republic 4.5% 8/1/18 | EUR | 22,200 | 34,757 | |
Japan Government: | ||||
Inflation-Indexed Bond 1.1% 12/10/16 | JPY | 5,416,580 | 51,199 | |
0.5% 7/20/20 (j) | JPY | 825,000 | 7,071 | |
0.9% 12/22/08 | JPY | 250,000 | 2,358 | |
1.1% 12/20/12 | JPY | 6,300,000 | 59,255 | |
1.3% 9/20/12 | JPY | 700,000 | 6,649 | |
1.5% 3/20/14 | JPY | 1,935,000 | 18,475 | |
2.1% 9/20/27 | JPY | 1,000,000 | 9,288 | |
2.5% 9/20/37 | JPY | 1,880,000 | 18,003 | |
Lebanese Republic: | ||||
6.1088% 11/30/09 (g)(j) | 2,180 | 2,136 | ||
6.1088% 11/30/09 (Reg. S) (j) | 9,470 | 9,281 | ||
7.125% 3/5/10 | 1,140 | 1,123 | ||
7.5% 8/2/11 | 500 | 491 | ||
7.875% 5/20/11 (Reg. S) | 4,500 | 4,466 | ||
8.625% 6/20/13 (Reg. S) | 7,310 | 7,365 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Lebanese Republic: - continued | ||||
10.125% 8/6/08 | $ 4,140 | $ 4,161 | ||
Peruvian Republic 3% 3/7/27 (f) | 900 | 704 | ||
Philippine Republic: | ||||
9.5% 2/2/30 | 5,355 | 6,520 | ||
10.625% 3/16/25 | 5,075 | 6,661 | ||
Polish Government 5.625% 6/20/18 | EUR | 9,225 | 14,504 | |
Republic of Fiji 6.875% 9/13/11 | 3,310 | 3,012 | ||
Republic of Serbia 3.75% 11/1/24 (f)(g) | 9,795 | 9,011 | ||
Russian Federation: | ||||
7.5% 3/31/30 (g) | 3,842 | 4,302 | ||
7.5% 3/31/30 (Reg. S) | 41,198 | 46,141 | ||
12.75% 6/24/28 (Reg. S) | 7,325 | 12,932 | ||
Turkish Republic: | ||||
6.75% 4/3/18 | 8,735 | 8,124 | ||
6.875% 3/17/36 | 11,960 | 9,882 | ||
7% 9/26/16 | 6,190 | 5,927 | ||
7.25% 3/15/15 | 4,320 | 4,261 | ||
7.25% 3/5/38 | 6,850 | 5,882 | ||
7.375% 2/5/25 | 10,955 | 10,106 | ||
11.875% 1/15/30 | 4,450 | 6,252 | ||
14% 1/19/11 | TRY | 4,665 | 3,243 | |
UK Treasury GILT: | ||||
4% 3/7/09 | GBP | 500 | 989 | |
4.25% 3/7/36 | GBP | 2,330 | 4,277 | |
4.5% 12/7/42 | GBP | 17,475 | 33,803 | |
5% 3/7/18 | GBP | 31,750 | 62,533 | |
5% 3/7/25 | GBP | 14,130 | 27,692 | |
8% 6/7/21 | GBP | 7,045 | 17,614 | |
Ukraine Government: | ||||
6.385% 6/26/12 (g) | 2,000 | 1,900 | ||
6.75% 11/14/17 (g) | 17,180 | 15,097 | ||
United Mexican States: | ||||
7.5% 4/8/33 | 2,845 | 3,282 | ||
8.3% 8/15/31 | 3,170 | 3,955 | ||
Uruguay Republic: | ||||
Inflation-Indexed Bond 5% 9/14/18 | UYU | 35,667 | 2,052 | |
8% 11/18/22 | 6,062 | 6,486 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (l) | 3,260 | 116 | ||
3.9075% 4/20/11 (Reg. S) (j) | 12,600 | 11,309 | ||
5.375% 8/7/10 (Reg. S) | 5,440 | 5,149 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Venezuelan Republic: - continued | ||||
7% 3/31/38 | $ 3,920 | $ 2,783 | ||
8.5% 10/8/14 | 8,575 | 8,103 | ||
9% 5/7/23 (Reg. S) | 3,535 | 3,091 | ||
9.25% 9/15/27 | 16,795 | 15,745 | ||
9.375% 1/13/34 | 4,855 | 4,406 | ||
10.75% 9/19/13 | 21,608 | 22,526 | ||
13.625% 8/15/18 | 9,480 | 11,708 | ||
Vietnamese Socialist Republic: | ||||
4% 3/12/28 (f) | 1,890 | 1,588 | ||
6.875% 1/15/16 (g) | 5,525 | 5,345 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,449,064) | 1,449,845 | |||
Supranational Obligations - 0.1% | ||||
| ||||
European Investment Bank 4.75% 10/15/17 | EUR | 2,200 | 3,398 | |
Inter-American Development Bank 6.625% 4/17/17 | PEN | 5,600 | 1,819 | |
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $5,185) | 5,217 |
Common Stocks - 0.1% | |||
Shares |
| ||
CONSUMER DISCRETIONARY - 0.0% | |||
Auto Components - 0.0% | |||
Intermet Corp. (a)(m) | 113,725 | 0 | |
Remy International, Inc. (a) | 40,800 | 1,051 | |
Hotels, Restaurants & Leisure - 0.0% | |||
Centerplate, Inc. unit | 165,925 | 801 | |
Media - 0.0% | |||
Virgin Media, Inc. warrants 1/10/11 (a) | 6 | 0 | |
TOTAL CONSUMER DISCRETIONARY | 1,852 | ||
INDUSTRIALS - 0.1% | |||
Aerospace & Defense - 0.0% | |||
DigitalGlobe, Inc. (a)(g) | 895 | 2 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
INDUSTRIALS - continued | |||
Airlines - 0.1% | |||
Delta Air Lines, Inc. (a) | 593,040 | $ 3,380 | |
Northwest Airlines Corp. (a) | 136,025 | 906 | |
| 4,286 | ||
TOTAL INDUSTRIALS | 4,288 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
ASAT Holdings Ltd. warrants 2/1/11 (a)(m) | 546,000 | 9 | |
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | 164 | |
TOTAL COMMON STOCKS (Cost $16,888) | 6,313 | ||
Preferred Stocks - 0.1% | |||
|
|
|
|
Convertible Preferred Stocks - 0.0% | |||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
Celanese Corp. 4.25% | 6,600 | 384 | |
Nonconvertible Preferred Stocks - 0.1% | |||
TELECOMMUNICATION SERVICES - 0.1% | |||
Diversified Telecommunication Services - 0.0% | |||
PTV, Inc. Series A, 10.00% | 119 | 0 | |
Wireless Telecommunication Services - 0.1% | |||
Rural Cellular Corp. 12.25% pay-in-kind | 5,078 | 6,348 | |
TOTAL PREFERRED STOCKS (Cost $5,903) | 6,732 |
Floating Rate Loans - 2.7% | ||||
| Principal | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.8% | ||||
Automobiles - 0.1% | ||||
AM General LLC: | ||||
Tranche B, term loan 5.6463% 9/30/13 (j) | $ 3,430 | $ 3,147 | ||
5.475% 9/30/12 (j) | 132 | 121 | ||
| 3,268 | |||
Diversified Consumer Services - 0.1% | ||||
Affinion Group Holdings, Inc. term loan 9.2669% 3/1/12 (j) | 4,150 | 3,465 | ||
Hotels, Restaurants & Leisure - 0.0% | ||||
Green Valley Ranch Gaming LLC Tranche 1LN, term loan 4.7021% 2/16/14 (j) | 143 | 121 | ||
OSI Restaurant Partners, Inc.: | ||||
Credit-Linked Deposit 5.0263% 6/14/13 (j) | 41 | 35 | ||
term loan 5.125% 6/14/14 (j) | 478 | 406 | ||
Six Flags, Inc. Tranche B, term loan 4.8733% 4/30/15 (j) | 723 | 636 | ||
| 1,198 | |||
Media - 0.4% | ||||
Advanstar, Inc. Tranche 2LN, term loan 7.8006% 11/30/14 (j) | 380 | 266 | ||
Discovery Communications, Inc. term loan 4.8006% 5/14/14 (j) | 1,040 | 1,019 | ||
Education Media and Publishing Group Ltd. Tranche 2LN, term loan 11.975% 12/12/14 (j) | 18,423 | 15,291 | ||
PanAmSat Corp. term loan: | ||||
9.25% 8/15/14 | 5,215 | 5,078 | ||
9.25% 6/15/16 | 4,515 | 4,368 | ||
| 26,022 | |||
Multiline Retail - 0.0% | ||||
Neiman Marcus Group, Inc. term loan 4.4219% 4/6/13 (j) | 2,008 | 1,912 | ||
Specialty Retail - 0.1% | ||||
Claire's Stores, Inc. term loan 5.4452% 5/29/14 (j) | 4,406 | 3,194 | ||
Michaels Stores, Inc. term loan 4.8716% 10/31/13 (j) | 5,098 | 4,232 | ||
Sally Holdings LLC Tranche B, term loan 5.0902% 11/16/13 (j) | 737 | 711 | ||
Toys 'R' US, Inc. term loan 5.4594% 12/9/08 (j) | 1,595 | 1,499 | ||
| 9,636 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
CONSUMER DISCRETIONARY - continued | ||||
Textiles, Apparel & Luxury Goods - 0.1% | ||||
Hanesbrands, Inc.: | ||||
term loan 6.6569% 3/5/14 (j) | $ 1,650 | $ 1,627 | ||
Tranche B 1LN, term loan 4.6377% 9/5/13 (j) | 3,703 | 3,578 | ||
| 5,205 | |||
TOTAL CONSUMER DISCRETIONARY | 50,706 | |||
CONSUMER STAPLES - 0.0% | ||||
Beverages - 0.0% | ||||
Constellation Brands, Inc. Tranche B, term loan 4.1432% 6/5/13 (j) | 1,096 | 1,058 | ||
Food & Staples Retailing - 0.0% | ||||
Rite Aid Corp. Tranche ABL, term loan 4.2266% 6/4/14 (j) | 2,693 | 2,370 | ||
TOTAL CONSUMER STAPLES | 3,428 | |||
ENERGY - 0.1% | ||||
Energy Equipment & Services - 0.0% | ||||
Compagnie Generale de Geophysique SA term loan 4.6568% 1/12/14 (j) | 566 | 556 | ||
Helix Energy Solutions Group, Inc. term loan 4.6955% 7/1/13 (j) | 691 | 670 | ||
| 1,226 | |||
Oil, Gas & Consumable Fuels - 0.1% | ||||
Coffeyville Resources LLC: | ||||
Credit-Linked Deposit 5.9475% 12/28/10 (j) | 532 | 495 | ||
Tranche D, term loan 5.4495% 12/28/13 (j) | 1,726 | 1,605 | ||
Targa Resources, Inc./Targa Resources Finance Corp.: | ||||
Credit-Linked Deposit 4.6963% 10/31/12 (j) | 540 | 528 | ||
term loan 4.6539% 10/31/12 (j) | 951 | 930 | ||
Venoco, Inc. Tranche 2LN, term loan 6.6875% 5/7/14 (j) | 410 | 398 | ||
| 3,956 | |||
TOTAL ENERGY | 5,182 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
FINANCIALS - 0.3% | ||||
Consumer Finance - 0.2% | ||||
DaimlerChrysler Financial Services Tranche 2LN, term loan 9.28% 8/3/13 (j) | $ 12,980 | $ 8,826 | ||
Diversified Financial Services - 0.0% | ||||
MGM Holdings II, Inc. Tranche B, term loan 6.0506% 4/8/12 (j) | 2,258 | 1,829 | ||
Real Estate Management & Development - 0.1% | ||||
Realogy Corp.: | ||||
Credit-Linked Deposit 5.71% 10/10/13 (j) | 1,791 | 1,514 | ||
Tranche B, term loan 5.475% 10/10/13 (j) | 6,653 | 5,622 | ||
| 7,136 | |||
TOTAL FINANCIALS | 17,791 | |||
HEALTH CARE - 0.1% | ||||
Health Care Equipment & Supplies - 0.0% | ||||
Bausch & Lomb, Inc. term loan: | ||||
6.0506% 4/26/15 (j)(n) | 176 | 172 | ||
6.0506% 4/26/15 (j) | 700 | 685 | ||
| 857 | |||
Health Care Providers & Services - 0.1% | ||||
Community Health Systems, Inc.: | ||||
term loan 4.8591% 7/25/14 (j) | 5,941 | 5,585 | ||
Tranche DD, term loan 7/25/14 (n) | 304 | 286 | ||
Health Management Associates, Inc. Tranche B, term loan 4.5506% 2/28/14 (j) | 905 | 840 | ||
| 6,711 | |||
TOTAL HEALTH CARE | 7,568 | |||
INDUSTRIALS - 0.2% | ||||
Aerospace & Defense - 0.0% | ||||
DeCrane Aircraft Holdings, Inc.: | ||||
Tranche 1LN, term loan 5.4775% 2/21/13 (j) | 85 | 78 | ||
Tranche 2LN, term loan 9.7275% 2/21/14 (j) | 140 | 131 | ||
Wesco Aircraft Hardware Corp.: | ||||
Tranche 1LN, term loan 5.06% 9/29/13 (j) | 165 | 160 | ||
Tranche 2LN, term loan 8.56% 3/28/14 (j) | 70 | 68 | ||
| 437 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
INDUSTRIALS - continued | ||||
Commercial Services & Supplies - 0.1% | ||||
Allied Waste Industries, Inc.: | ||||
Credit-Linked Deposit 6.1% 3/28/14 (j) | $ 210 | $ 208 | ||
term loan 4.2683% 3/28/14 (j) | 349 | 345 | ||
ARAMARK Corp.: | ||||
Credit-Linked Deposit 4.7213% 1/26/14 (j) | 126 | 119 | ||
term loan 4.6756% 1/26/14 (j) | 1,990 | 1,870 | ||
Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 8.8375% 2/7/15 (j) | 650 | 583 | ||
| 3,125 | |||
Industrial Conglomerates - 0.0% | ||||
Walter Industries, Inc. term loan 5.6199% 10/3/12 (j) | 62 | 60 | ||
Machinery - 0.1% | ||||
Chart Industries, Inc. Tranche B, term loan 4.4847% 10/17/12 (j) | 53 | 51 | ||
Dresser, Inc.: | ||||
Tranche 2LN, term loan 8.4688% 5/4/15 pay-in-kind (j) | 4,050 | 3,898 | ||
Tranche B 1LN, term loan 5.215% 5/4/14 (j) | 526 | 505 | ||
Navistar International Corp.: | ||||
term loan 6.2336% 1/19/12 (j) | 2,310 | 2,171 | ||
Credit-Linked Deposit 6.1494% 1/19/12 (j) | 840 | 800 | ||
| 7,425 | |||
Trading Companies & Distributors - 0.0% | ||||
Neff Corp. Tranche 2LN, term loan 6.3969% 11/30/14 (j) | 810 | 551 | ||
VWR Funding, Inc. term loan 4.9825% 6/29/14 (j) | 1,440 | 1,318 | ||
| 1,869 | |||
TOTAL INDUSTRIALS | 12,916 | |||
INFORMATION TECHNOLOGY - 0.5% | ||||
Electronic Equipment & Instruments - 0.2% | ||||
Flextronics International Ltd.: | ||||
Tranche B-A, term loan 4.947% 10/1/14 (j) | 5,232 | 4,787 | ||
Tranche B-A1, term loan 4.9631% 10/1/14 (j) | 1,500 | 1,372 | ||
Tranche B-B, term loan 4.9475% 10/1/12 (j) | 6,058 | 5,694 | ||
| 11,853 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
INFORMATION TECHNOLOGY - continued | ||||
IT Services - 0.0% | ||||
Affiliated Computer Services, Inc. Tranche B2, term loan 4.4653% 3/20/13 (j) | $ 3,591 | $ 3,475 | ||
Semiconductors & Semiconductor Equipment - 0.2% | ||||
Freescale Semiconductor, Inc. term loan 4.2094% 12/1/13 (j) | 11,812 | 10,571 | ||
Software - 0.1% | ||||
Kronos, Inc.: | ||||
Tranche 1LN, term loan 5.0506% 6/11/14 (j) | 3,892 | 3,600 | ||
Tranche 2LN, term loan 8.5506% 6/11/15 (j) | 1,790 | 1,530 | ||
Open Solutions, Inc. term loan 5.145% 1/23/14 (j) | 237 | 210 | ||
| 5,340 | |||
TOTAL INFORMATION TECHNOLOGY | 31,239 | |||
MATERIALS - 0.4% | ||||
Chemicals - 0.1% | ||||
Celanese Holding LLC: | ||||
Revolving Credit-Linked Deposit 3.9575% 4/2/13 (j) | 206 | 195 | ||
term loan 4.1881% 4/2/14 (j) | 1,123 | 1,058 | ||
Momentive Performance Materials, Inc. Tranche B1, term loan 4.75% 12/4/13 (j) | 1,016 | 917 | ||
Solutia, Inc. term loan 15.5% 2/28/09 (j) | 2,764 | 2,723 | ||
| 4,893 | |||
Containers & Packaging - 0.1% | ||||
Berry Plastics Holding Corp. Tranche C, term loan 4.7844% 4/3/15 (j) | 4,849 | 4,400 | ||
Metals & Mining - 0.1% | ||||
Aleris International, Inc. term loan 4.5661% 12/19/13 (j) | 2,778 | 2,389 | ||
Novelis Corp. term loan 4.7% 7/6/14 (j) | 4,455 | 4,255 | ||
| 6,644 | |||
Paper & Forest Products - 0.1% | ||||
Boise Paper Holdings LLC Tranche 2LN, term loan 11% 2/22/15 (j) | 7,260 | 6,879 | ||
White Birch Paper Co. Tranche 1LN, term loan 5.56% 5/8/14 (j) | 1,491 | 1,081 | ||
| 7,960 | |||
TOTAL MATERIALS | 23,897 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
TELECOMMUNICATION SERVICES - 0.2% | ||||
Diversified Telecommunication Services - 0.2% | ||||
Intelsat Bermuda Ltd. term loan 5.2% 2/1/14 (j) | $ 1,880 | $ 1,889 | ||
Paetec Communications, Inc. Tranche B, term loan 4.9825% 2/28/13 (j) | 301 | 287 | ||
Wind Telecomunicazioni SpA: | ||||
term loan 9.9838% 12/12/11 pay-in-kind (j) | 5,347 | 5,038 | ||
Tranche 2, term loan 11.3194% 3/21/15 (j) | 2,840 | 2,812 | ||
Tranche B, term loan 5.01% 9/21/13 (j) | 1,280 | 1,229 | ||
Tranche C, term loan 5.76% 9/21/14 (j) | 1,280 | 1,229 | ||
| 12,484 | |||
Wireless Telecommunication Services - 0.0% | ||||
Leap Wireless International, Inc. Tranche B, term loan 6.3006% 6/16/13 (j) | 617 | 607 | ||
MetroPCS Wireless, Inc. Tranche B, term loan 4.9886% 11/3/13 (j) | 1,434 | 1,373 | ||
| 1,980 | |||
TOTAL TELECOMMUNICATION SERVICES | 14,464 | |||
UTILITIES - 0.1% | ||||
Independent Power Producers & Energy Traders - 0.1% | ||||
NRG Energy, Inc.: | ||||
term loan 4.1963% 2/1/13 (j) | 4,196 | 3,934 | ||
4.4506% 2/1/13 (j) | 2,055 | 1,927 | ||
| 5,861 | |||
TOTAL FLOATING RATE LOANS (Cost $185,589) | 173,052 | |||
Sovereign Loan Participations - 0.0% | ||||
| ||||
Indonesian Republic loan participation - Deutsche Bank 1.407% 3/28/13 (j) | JPY | 59,176 | 502 |
Fixed-Income Funds - 3.0% | |||
Shares |
| ||
Fidelity Floating Rate Central Fund (k) | 2,074,859 | 191,406 |
Preferred Securities - 0.8% | ||||
| Principal | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.4% | ||||
Media - 0.4% | ||||
Globo Comunicacoes e Participacoes SA 9.375% | $ 14,500 | $ 14,983 | ||
Net Servicos de Comunicacao SA 9.25% (g) | 7,635 | 7,929 | ||
| 22,912 | |||
ENERGY - 0.4% | ||||
Oil, Gas & Consumable Fuels - 0.4% | ||||
Pemex Project Funding Master Trust 7.75% | 23,544 | 23,672 | ||
FINANCIALS - 0.0% | ||||
Diversified Financial Services - 0.0% | ||||
MUFG Capital Finance 2 Ltd. 4.85% (j) | EUR | 1,300 | 1,618 | |
MUFG Capital Finance 3 Ltd. 2.68% (j) | JPY | 150,000 | 1,426 | |
| 3,044 | |||
TOTAL PREFERRED SECURITIES (Cost $49,150) | 49,628 |
Other - 0.0% | |||
|
| ||
Delta AirLines ALPA (a) | 8,380 | 157 | |
Money Market Funds - 9.7% | |||
Shares |
| ||
Fidelity Cash Central Fund, 2.38% (b) | 623,267,981 | 623,268 | |
Cash Equivalents - 0.0% | |||
Maturity Amount (000s) | Value (000s) | ||
Investments in repurchase agreements in a joint trading account at 1.34%, dated 6/30/08 due 7/1/08 (Collateralized by U.S. Treasury Obligations) # | $ 2,509 | $ 2,509 | |
TOTAL INVESTMENT PORTFOLIO - 99.7% (Cost $6,521,437) | 6,393,508 | ||
NET OTHER ASSETS - 0.3% | 19,694 | ||
NET ASSETS - 100% | $ 6,413,202 |
Swap Agreements | |||||
| Expiration Date | Notional Amount (000s) |
| ||
Interest Rate Swaps | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 4.64% with JPMorgan Chase, Inc. | April 2038 | $ 8,000 | $ 385 | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 4.73% with Credit Suisse First Boston | April 2038 | 6,000 | 205 | ||
Receive semi-annually a fixed rate equal to 2.915% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | April 2011 | 34,000 | (823) | ||
Receive semi-annually a fixed rate equal to 3.1899% and pay quarterly a floating rate based on 3-month LIBOR with Goldman Sachs | April 2010 | 3,400 | (15) | ||
Receive semi-annually a fixed rate equal to 5.37% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | July 2009 | 22,000 | 914 | ||
Receive semi-annully a fixed rate equal to 2.8575% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | April 2011 | 46,000 | (1,182) | ||
| $ 119,400 | $ (516) |
Currency Abbreviations | ||
BRL | - | Brazilian real |
CAD | - | Canadian dollar |
EGP | - | Egyptian pound |
EUR | - | European Monetary Unit |
GBP | - | British pound |
JPY | - | Japanese yen |
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 $492,403,000 or 7.7% of net assets. |
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) A portion of the security is subject to a forward commitment to sell. |
(j) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(k) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request |
(l) Quantity represents share amount. |
(m) 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 $9,000 or 0.0% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
ASAT Holdings Ltd. warrants 2/1/11 | 11/15/07 | $ 0 |
Intermet Corp. | 11/9/05 | $ 2,153 |
(n) 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 $374,000 and $354,000, respectively. The coupon rate will be determined at time of settlement. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$2,509,000 due 7/01/08 at 1.34% | |
Banc of America Securities LLC | $ 496 |
Barclays Capital, Inc. | 699 |
Goldman, Sachs & Co. | 1,314 |
| $ 2,509 |
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 | $ 9,776 |
Fidelity Floating Rate Central Fund | 6,583 |
Total | $ 16,359 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales | Value, | % ownership, |
Fidelity Floating Rate Central Fund | $ 313,392 | $ 35,455 | $ 139,169 | $ 191,406 | 7.0% |
Other Information |
The following is a summary of the inputs used, as of June 30, 2008, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities | $ 6,393,508 | $ 819,925 | $ 5,570,048 | $ 3,535 |
Other Financial Instruments* | $ (516) | $ - | $ (516) | $ - |
*Other financial instruments include Swap Agreements. |
The following is a reconciliation of assets for which Level 3 inputs were used in determining value: |
(Amounts in thousands) | Investments in Securities |
Beginning Balance | $ 8,901 |
Total Realized Gain (Loss) | 121 |
Total Unrealized Gain (Loss) | (6,136) |
Cost of Purchases | - |
Proceeds of Sales | (214) |
Amortization/Accretion | 7 |
Transfer in/out of Level 3 | 856 |
Ending Balance | $ 3,535 |
The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: (Unaudited) |
United States of America | 66.7% |
Germany | 4.6% |
Canada | 3.3% |
United Kingdom | 3.2% |
Japan | 2.6% |
Argentina | 2.4% |
Venezuela | 2.1% |
Bermuda | 1.4% |
Russia | 1.3% |
France | 1.1% |
Netherlands | 1.0% |
Turkey | 1.0% |
Others (individually less than 1%) | 9.3% |
| 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, 2008 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $2,509) - See accompanying schedule: Unaffiliated issuers (cost $5,692,898) | $ 5,578,834 |
|
Fidelity Central Funds (cost $828,539) | 814,674 |
|
Total Investments (cost $6,521,437) |
| $ 6,393,508 |
Commitment to sell securities on a delayed delivery basis | (4,947) | |
Receivable for securities sold on a delayed delivery basis | 4,912 | (35) |
Receivable for investments sold, regular delivery | 134,159 | |
Cash | 540 | |
Foreign currency held at value (cost $751) | 751 | |
Receivable for fund shares sold | 14,195 | |
Dividends receivable | 2 | |
Interest receivable | 79,838 | |
Distributions receivable from Fidelity Central Funds | 2,035 | |
Prepaid expenses | 8 | |
Receivable from investment adviser for expense reductions | 6 | |
Other affiliated receivables | 6 | |
Other receivables | 129 | |
Total assets | 6,625,142 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 157,845 | |
Delayed delivery | 28,642 | |
Payable for fund shares redeemed | 15,073 | |
Distributions payable | 3,336 | |
Swap agreements, at value | 516 | |
Accrued management fee | 3,009 | |
Distribution fees payable | 1,916 | |
Other affiliated payables | 966 | |
Other payables and accrued expenses | 637 | |
Total liabilities | 211,940 | |
|
|
|
Net Assets | $ 6,413,202 | |
Net Assets consist of: |
| |
Paid in capital | $ 6,490,926 | |
Undistributed net investment income | 15,836 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 34,816 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | (128,376) | |
Net Assets | $ 6,413,202 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | June 30, 2008 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price | $ 11.36 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.36) | $ 11.83 | |
Class T: | $ 11.35 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.35) | $ 11.82 | |
Class B: | $ 11.38 | |
|
|
|
Class C: | $ 11.34 | |
|
|
|
Institutional Class: | $ 11.46 |
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, 2008 (Unaudited) | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 2,246 |
Interest |
| 169,743 |
Income from Fidelity Central Funds |
| 16,359 |
Total income |
| 188,348 |
|
|
|
Expenses | ||
Management fee | $ 17,685 | |
Transfer agent fees | 4,981 | |
Distribution fees | 11,231 | |
Accounting fees and expenses | 709 | |
Custodian fees and expenses | 180 | |
Independent trustees' compensation | 14 | |
Registration fees | 235 | |
Audit | 49 | |
Legal | 10 | |
Miscellaneous | 510 | |
Total expenses before reductions | 35,604 | |
Expense reductions | (61) | 35,543 |
Net investment income | 152,805 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 43,678 | |
Fidelity Central Funds | (20,511) |
|
Foreign currency transactions | 2,023 | |
Swap agreements | 8,501 |
|
Total net realized gain (loss) |
| 33,691 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (144,096) | |
Assets and liabilities in foreign currencies | (50) | |
Swap agreements | (5,574) | |
Delayed delivery commitments | (159) |
|
Total change in net unrealized appreciation (depreciation) |
| (149,879) |
Net gain (loss) | (116,188) | |
Net increase (decrease) in net assets resulting from operations | $ 36,617 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Amounts in thousands | Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 152,805 | $ 281,722 |
Net realized gain (loss) | 33,691 | 97,894 |
Change in net unrealized appreciation (depreciation) | (149,879) | (107,460) |
Net increase (decrease) in net assets resulting | 36,617 | 272,156 |
Distributions to shareholders from net investment income | (143,549) | (276,727) |
Distributions to shareholders from net realized gain | (37,399) | (64,264) |
Total distributions | (180,948) | (340,991) |
Share transactions - net increase (decrease) | 552,995 | 1,390,464 |
Total increase (decrease) in net assets | 408,664 | 1,321,629 |
|
|
|
Net Assets | ||
Beginning of period | 6,004,538 | 4,682,909 |
End of period (including undistributed net investment income of $15,836 and undistributed net investment income of $6,580, respectively) | $ 6,413,202 | $ 6,004,538 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended December 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data |
|
|
|
| ||
Net asset value, beginning of period | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.93 | $ 11.63 | $ 10.34 |
Income from Investment |
|
|
|
|
| |
Net investment income E | .287 | .616 | .600 | .571 | .600 | .617 |
Net realized and unrealized gain (loss) | (.206) | (.019) | .248 | (.255) | .445 | 1.321 |
Total from investment operations | .081 | .597 | .848 | .316 | 1.045 | 1.938 |
Distributions from net investment income | (.271) | (.607) | (.583) | (.551) | (.575) | (.648) |
Distributions from net realized gain | (.070) | (.130) | (.045) | (.155) | (.170) | - |
Total distributions | (.341) | (.737) | (.628) | (.706) | (.745) | (.648) |
Net asset value, end of period | $ 11.36 | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.93 | $ 11.63 |
Total Return B, C, D | .70% | 5.22% | 7.54% | 2.75% | 9.31% | 19.20% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.03% A | 1.01% | .97% | .99% | 1.00% | 1.01% |
Expenses net of fee waivers, if any | 1.03% A | 1.01% | .97% | .99% | 1.00% | 1.01% |
Expenses net of all reductions | 1.03% A | 1.01% | .97% | .99% | 1.00% | 1.00% |
Net investment income | 5.02% A | 5.27% | 5.18% | 4.92% | 5.20% | 5.58% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in | $ 2,425 | $ 1,931 | $ 954 | $ 647 | $ 372 | $ 187 |
Portfolio turnover rate G | 269% A | 149% | 81% | 109% | 94% | 153% |
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 T
| Six months ended | Years ended December 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.92 | $ 11.62 | $ 10.33 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment | .289 | .620 | .594 | .564 | .593 | .604 |
Net realized and unrealized gain (loss) | (.217) | (.021) | .248 | (.245) | .443 | 1.322 |
Total from investment operations | .072 | .599 | .842 | .319 | 1.036 | 1.926 |
Distributions from net investment income | (.272) | (.609) | (.577) | (.544) | (.566) | (.636) |
Distributions from net realized gain | (.070) | (.130) | (.045) | (.155) | (.170) | - |
Total distributions | (.342) | (.739) | (.622) | (.699) | (.736) | (.636) |
Net asset value, end of period | $ 11.35 | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.92 | $ 11.62 |
Total Return B, C, D | .62% | 5.24% | 7.49% | 2.77% | 9.23% | 19.09% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.02% A | .99% | 1.02% | 1.05% | 1.07% | 1.11% |
Expenses net of fee waivers, if any | 1.02% A | .99% | 1.02% | 1.05% | 1.07% | 1.11% |
Expenses net of all reductions | 1.02% A | .99% | 1.02% | 1.05% | 1.07% | 1.11% |
Net investment | 5.04% A | 5.29% | 5.13% | 4.86% | 5.13% | 5.47% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 1,761 | $ 1,983 | $ 2,049 | $ 1,427 | $ 808 | $ 515 |
Portfolio turnover rate G | 269% A | 149% | 81% | 109% | 94% | 153% |
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, 2008 | Years ended December 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 11.65 | $ 11.79 | $ 11.57 | $ 11.95 | $ 11.65 | $ 10.35 |
Income from Investment |
|
|
|
|
| |
Net investment | .247 | .533 | .511 | .486 | .513 | .533 |
Net realized and unrealized gain (loss) | (.217) | (.022) | .247 | (.249) | .441 | 1.330 |
Total from investment operations | .030 | .511 | .758 | .237 | .954 | 1.863 |
Distributions from net investment income | (.230) | (.521) | (.493) | (.462) | (.484) | (.563) |
Distributions from net realized gain | (.070) | (.130) | (.045) | (.155) | (.170) | - |
Total distributions | (.300) | (.651) | (.538) | (.617) | (.654) | (.563) |
Net asset value, end of period | $ 11.38 | $ 11.65 | $ 11.79 | $ 11.57 | $ 11.95 | $ 11.65 |
Total Return B, C, D | .25% | 4.44% | 6.70% | 2.06% | 8.45% | 18.38% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.77% A | 1.74% | 1.76% | 1.78% | 1.78% | 1.77% |
Expenses net of fee waivers, if any | 1.75% A | 1.74% | 1.75% | 1.75% | 1.78% | 1.77% |
Expenses net of all reductions | 1.75% A | 1.74% | 1.75% | 1.75% | 1.78% | 1.77% |
Net investment | 4.30% A | 4.54% | 4.40% | 4.16% | 4.42% | 4.81% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 331 | $ 335 | $ 342 | $ 342 | $ 319 | $ 287 |
Portfolio turnover rate G | 269% A | 149% | 81% | 109% | 94% | 153% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended December 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 11.60 | $ 11.74 | $ 11.53 | $ 11.91 | $ 11.61 | $ 10.32 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment | .243 | .526 | .503 | .475 | .505 | .525 |
Net realized and unrealized gain (loss) | (.206) | (.020) | .238 | (.246) | .444 | 1.320 |
Total from investment operations | .037 | .506 | .741 | .229 | .949 | 1.845 |
Distributions from net investment income | (.227) | (.516) | (.486) | (.454) | (.479) | (.555) |
Distributions from net realized gain | (.070) | (.130) | (.045) | (.155) | (.170) | - |
Total distributions | (.297) | (.646) | (.531) | (.609) | (.649) | (.555) |
Net asset value, end of period | $ 11.34 | $ 11.60 | $ 11.74 | $ 11.53 | $ 11.91 | $ 11.61 |
Total Return B, C, D | .32% | 4.42% | 6.57% | 1.99% | 8.43% | 18.24% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.80% A | 1.78% | 1.81% | 1.82% | 1.82% | 1.84% |
Expenses net of fee waivers, if any | 1.80% A | 1.78% | 1.81% | 1.82% | 1.82% | 1.84% |
Expenses net of all reductions | 1.80% A | 1.78% | 1.81% | 1.82% | 1.82% | 1.84% |
Net investment | 4.25% A | 4.50% | 4.34% | 4.09% | 4.37% | 4.74% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 960 | $ 866 | $ 683 | $ 540 | $ 405 | $ 277 |
Portfolio turnover rate G | 269% A | 149% | 81% | 109% | 94% | 153% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended December 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 11.72 | $ 11.86 | $ 11.63 | $ 12.02 | $ 11.71 | $ 10.40 |
Income from Investment |
|
|
|
|
| |
Net investment | .304 | .652 | .627 | .599 | .627 | .635 |
Net realized and unrealized gain (loss) | (.209) | (.027) | .252 | (.262) | .449 | 1.338 |
Total from investment operations | .095 | .625 | .879 | .337 | 1.076 | 1.973 |
Distributions from net investment income | (.285) | (.635) | (.604) | (.572) | (.596) | (.663) |
Distributions from net realized gain | (.070) | (.130) | (.045) | (.155) | (.170) | - |
Total distributions | (.355) | (.765) | (.649) | (.727) | (.766) | (.663) |
Net asset value, end of period | $ 11.46 | $ 11.72 | $ 11.86 | $ 11.63 | $ 12.02 | $ 11.71 |
Total Return B, C | .81% | 5.42% | 7.76% | 2.91% | 9.53% | 19.44% |
Ratios to Average Net Assets E,G |
|
|
|
|
| |
Expenses before reductions | .79% A | .77% | .79% | .81% | .81% | .87% |
Expenses net of fee waivers, if any | .79% A | .77% | .79% | .81% | .81% | .87% |
Expenses net of all reductions | .79% A | .76% | .79% | .80% | .81% | .87% |
Net investment | 5.26% A | 5.52% | 5.36% | 5.10% | 5.38% | 5.71% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 937 | $ 889 | $ 655 | $ 520 | $ 424 | $ 291 |
Portfolio turnover rate F | 269% A | 149% | 81% | 109% | 94% | 153% |
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, 2008 (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
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at
advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the 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. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, 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. Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). 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. Actual prices received at disposition may differ.
When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for
Semiannual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund is subject to the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:
Level 1 | Quoted prices in active markets for identical securities. |
Level 2 | Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. |
Level 3 | Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available. |
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.
The aggregate value by input level, as of June 30, 2008, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Foreign Currency - continued
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-
dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. 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.
Income Tax Information and Distributions to Shareholders. Each year, 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 is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
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 Fund's federal tax returns for the prior three fiscal years 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 short-term capital gains, swap agreements, foreign currency transactions, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, financing transactions and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 98,534 |
|
Unrealized depreciation | (217,346) |
|
Net unrealized appreciation (depreciation) | $ (118,812) |
|
Cost for federal income tax purposes | $ 6,512,320 |
|
New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for fiscal years beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance. Management is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
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
Semiannual Report
4. Operating Policies - continued
Loans and Other Direct Debt Instruments - continued
contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
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. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. 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 (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $5,063,489 and $4,772,276, 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 2,770 | $ 167 |
Class T | 0% | .25% | 2,325 | - |
Class B | .65% | .25% | 1,516 | 1,100 |
Class C | .75% | .25% | 4,620 | 1,166 |
|
|
| $ 11,231 | $ 2,433 |
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. 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 | $ 255 |
Class T | 76 |
Class B* | 261 |
Class C* | 90 |
| $ 682 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
For the period, the total transfer agent fees paid by each class were as follows:
| Amount | % of |
Class A | $ 1,710 | .16 |
Class T | 1,315 | .14 |
Class B | 400 | .24 |
Class C | 797 | .17 |
Institutional Class | 759 | .17 |
| $ 4,981 |
|
* 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% | $ 28 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
8. Expense Reductions - continued
In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $22. During the period, credits reduced each class' transfer agent expense as noted in the table below.
| Transfer Agent |
|
Class A | $ 9 |
|
Institutional Class | 2 |
|
| $ 11 |
|
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 December 2006, the Independent Trustees, with the assistance of independent counsel, completed an investigation regarding gifts, gratuities and business entertainment provided by certain brokers to certain individuals who were employed on FMR's domestic equity trading desk during the period 2002 to 2004. The Independent Trustees and FMR agreed 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 was worthy of redress. Accordingly, the Independent Trustees requested, and FMR agreed to make, a payment of $42 million plus accrued interest, which equaled approximately $7.3 million, to certain Fidelity mutual funds.
Semiannual Report
10. Other - continued
In March 2008, the Trustees approved a method for allocating this payment among the funds and, in total, FMR paid the fund one hundred and eighty-seven dollars, which is recorded in the accompanying Statement of Operations.
In a related administrative order dated March 5, 2008, the U.S. Securities and Exchange Commission ("SEC") announced a settlement with FMR and FMR Co., Inc. (an affiliate of FMR) involving the SEC's regulatory rules for investment advisers and the improper receipt of gifts, gratuities and business entertainment. Without admitting or denying the SEC's findings, FMR agreed to pay an $8 million civil penalty to the United States Treasury.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 52,033 | $ 69,443 |
Class T | 43,983 | 114,586 |
Class B | 6,706 | 14,875 |
Class C | 18,205 | 34,291 |
Institutional Class | 22,622 | 43,532 |
Total | $ 143,549 | $ 276,727 |
From net realized gain |
|
|
Class A | $ 12,777 | $ 19,657 |
Class T | 11,501 | 22,248 |
Class B | 2,042 | 3,708 |
Class C | 5,537 | 9,265 |
Institutional Class | 5,542 | 9,386 |
Total | $ 37,399 | $ 64,264 |
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 | 65,579 | 105,260 | $ 756,468 | $ 1,231,222 |
Reinvestment of distributions | 5,119 | 6,633 | 58,835 | 77,535 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
12. Share Transactions - continued
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 | |
Shares redeemed | (23,360) | (26,839) | (269,220) | (314,378) |
Net increase (decrease) | 47,338 | 85,054 | $ 546,083 | $ 994,379 |
Class T |
|
|
|
|
Shares sold | 14,802 | 61,556 | $ 170,661 | $ 723,556 |
Reinvestment of distributions | 4,536 | 11,119 | 52,148 | 130,043 |
Shares redeemed | (34,943) | (76,260) | (402,984) | (891,357) |
Net increase (decrease) | (15,605) | (3,585) | $ (180,175) | $ (37,758) |
Class B |
|
|
|
|
Shares sold | 3,644 | 5,950 | $ 42,131 | $ 69,926 |
Reinvestment of distributions | 582 | 1,194 | 6,706 | 13,990 |
Shares redeemed | (3,918) | (7,422) | (45,246) | (87,195) |
Net increase (decrease) | 308 | (278) | $ 3,591 | $ (3,279) |
Class C |
|
|
|
|
Shares sold | 16,767 | 26,139 | $ 193,015 | $ 306,154 |
Reinvestment of distributions | 1,529 | 2,725 | 17,540 | 31,803 |
Shares redeemed | (8,305) | (12,340) | (95,491) | (144,301) |
Net increase (decrease) | 9,991 | 16,524 | $ 115,064 | $ 193,656 |
Institutional Class |
|
|
|
|
Shares sold | 17,638 | 37,630 | $ 205,362 | $ 445,192 |
Reinvestment of distributions | 1,772 | 3,340 | 20,551 | 39,395 |
Shares redeemed | (13,543) | (20,371) | (157,481) | (241,121) |
Net increase (decrease) | 5,867 | 20,599 | $ 68,432 | $ 243,466 |
Semiannual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on April 16, 2008. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To elect a Board of Trustees. A | ||
| # of | % of |
James C. Curvey | ||
Affirmative | 5,702,930,355.79 | 97.148 |
Withheld | 167,419,011.13 | 2.852 |
TOTAL | 5,870,349,366.92 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 5,709,010,282.30 | 97.252 |
Withheld | 161,339,084.62 | 2.748 |
TOTAL | 5,870,349,366.92 | 100.000 |
George H. Heilmeier | ||
Affirmative | 5,704,835,115.57 | 97.181 |
Withheld | 165,514,251.35 | 2.819 |
TOTAL | 5,870,349,366.92 | 100.000 |
Arthur E. Johnson | ||
Affirmative | 5,706,699,643.22 | 97.212 |
Withheld | 163,649,723.70 | 2.788 |
TOTAL | 5,870,349,366.92 | 100.000 |
Edward C. Johnson 3d | ||
Affirmative | 5,699,509,964.40 | 97.090 |
Withheld | 170,839,402.52 | 2.910 |
TOTAL | 5,870,349,366.92 | 100.000 |
James H. Keyes | ||
Affirmative | 5,708,066,853.56 | 97.236 |
Withheld | 162,282,513.36 | 2.764 |
TOTAL | 5,870,349,366.92 | 100.000 |
Marie L. Knowles | ||
Affirmative | 5,708,358,882.98 | 97.241 |
Withheld | 161,990,483.94 | 2.759 |
TOTAL | 5,870,349,366.92 | 100.000 |
| # of | % of |
Kenneth L. Wolfe | ||
Affirmative | 5,707,638,179.43 | 97.228 |
Withheld | 162,711,187.49 | 2.772 |
TOTAL | 5,870,349,366.92 | 100.000 |
PROPOSAL 2 | ||
To amend the Declaration of Trust to reduce the required quorum for future shareholder meetings.A | ||
| # of | % of |
Affirmative | 3,675,213,378.12 | 62.606 |
Against | 496,448,961.43 | 8.457 |
Abstain | 253,235,394.26 | 4.314 |
Broker | 1,445,451,633.11 | 24.623 |
TOTAL | 5,870,349,366.92 | 100.000 |
A Denotes trust-wide proposal and voting results.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Strategic Income Fund
Each year, typically in June, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly and, acting directly and through its separate committees, requests and receives information concerning, and considers at each of its meetings factors that are relevant to, its annual consideration of the 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 a written charter outlining the structure and purposes of the committee. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts.
At its June 2008 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. 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 fund's management fee and total expenses; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its 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 agreements with foreign sub-advisers Fidelity Management & Research (U.K.) Inc., Fidelity Management & Research (Japan) Inc., and Fidelity Management & Research (Hong Kong) Limited.
In considering 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 and through the exercise of its business judgment, 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. The Board's decision to renew the Advisory Contracts was not based on any single factor noted above, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, 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
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 investment personnel 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 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 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 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 also 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 further considered that Fidelity voluntarily pays for market data out of its own resources.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
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 Fidelity has taken a number of actions over the previous year 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 fees on Fidelity's Institutional Money Market Funds and launching Class IV and Institutional Class of certain of these funds; (iii) reducing the transfer agent fees for the Fidelity Select Portfolios and Investor Class of the VIP funds; and (iv) launching Class K of 29 equity funds as a lower-fee class available to certain employer-sponsored retirement plans.
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, 2007, 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
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 all periods shown. The Board also stated that the investment performance of the fund was lower than its benchmark for all the periods shown. 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.
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.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
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 26% means that 74% 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.
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 2007.
Based on its review, the Board concluded that the fund's management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.
In its review of each class's total expenses, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered current and historical total expenses of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
Semiannual Report
The Board noted that the total expenses of each of Class A, Class T, Class B, and Institutional Class ranked below its competitive median for 2007, and the total expenses of Class C ranked equal to its competitive median for 2007.
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 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.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
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.
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. 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 certain topics, including (i) fund performance trends and actions to be taken by FMR to improve certain funds' overall performance; (ii) portfolio manager changes that have occurred during the past year; (iii) Fidelity's fund profitability methodology, the profitability of certain fund service providers, and profitability trends for certain funds; (iv) Fidelity's compensation structure for portfolio managers and key personnel, including its effects on fund profitability and the extent to which portfolio manager compensation is linked to fund performance; (v) Fidelity's fee structures; (vi) the funds' sub-advisory arrangements; and (vii) accounts managed by Fidelity other than the Fidelity funds.
Semiannual Report
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Research & Analysis Company
Fidelity Investments Japan Limited
Fidelity International Investment Advisors
Fidelity International Investment Advisors (U.K.) Limited
Fidelity Investments Money Management, Inc.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
SI-USAN-0808 1.787775.105
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Strategic Income
Fund - Institutional Class
Semiannual Report
June 30, 2008
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Proxy Voting Results |
| |
Board Approval of Investment Advisory Contracts and Management Fees |
|
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 LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com 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.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Domestic and international securities markets have struggled thus far in 2008. High-grade fixed-income investments produced modestly positive results, but many stock benchmarks suffered double-digit losses through the first half of this year. Financial markets are always unpredictable, but 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, 2008 to June 30, 2008).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Semiannual Report
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning | Ending | Expenses Paid |
Class A |
|
|
|
Actual | $ 1,000.00 | $ 1,007.00 | $ 5.14 |
HypotheticalA | $ 1,000.00 | $ 1,019.74 | $ 5.17 |
Class T |
|
|
|
Actual | $ 1,000.00 | $ 1,006.20 | $ 5.09 |
HypotheticalA | $ 1,000.00 | $ 1,019.79 | $ 5.12 |
Class B |
|
|
|
Actual | $ 1,000.00 | $ 1,002.50 | $ 8.71 |
HypotheticalA | $ 1,000.00 | $ 1,016.16 | $ 8.77 |
Class C |
|
|
|
Actual | $ 1,000.00 | $ 1,003.20 | $ 8.97 |
HypotheticalA | $ 1,000.00 | $ 1,015.91 | $ 9.02 |
Institutional Class |
|
|
|
Actual | $ 1,000.00 | $ 1,008.10 | $ 3.94 |
HypotheticalA | $ 1,000.00 | $ 1,020.93 | $ 3.97 |
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 182/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
| Annualized |
Class A | 1.03% |
Class T | 1.02% |
Class B | 1.75% |
Class C | 1.80% |
Institutional Class | .79% |
Semiannual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each Fidelity Central Fund.
Top Five Holdings as of June 30, 2008 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 15.3 | 16.3 |
Fannie Mae | 9.1 | 11.1 |
Freddie Mac | 5.4 | 7.8 |
German Federal Republic | 4.4 | 3.2 |
Japan Government | 2.6 | 2.5 |
| 36.8 | |
Top Five Market Sectors as of June 30, 2008 | ||
| % of fund's | % of fund's net assets |
Consumer Discretionary | 7.5 | 8.1 |
Financials | 4.6 | 6.4 |
Energy | 4.7 | 4.1 |
Telecommunication Services | 4.6 | 4.5 |
Information Technology | 4.1 | 4.5 |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2008 | As of December 31, 2007 | ||||||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | AAA,AA,A 15.7% |
| ![]() | AAA,AA,A 14.6% |
| ||
![]() | BBB 5.7% |
| ![]() | BBB 5.3% |
| ||
![]() | BB 11.7% |
| ![]() | BB 14.1% |
| ||
![]() | B 17.7% |
| ![]() | B 17.6% |
| ||
![]() | CCC,CC,C 7.6% |
| ![]() | CCC,CC,C 5.9% |
| ||
![]() | Not Rated 1.4% |
| ![]() | Not Rated 1.6% |
| ||
![]() | Equities 0.2% |
| ![]() | Equities 0.4% |
| ||
![]() | Short-Term Investments |
| ![]() | Short-Term Investments |
|
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, 2008* | As of December 31, 2007** | ||||||
![]() | Preferred Securities 0.8% |
| ![]() | Preferred Securities 0.8% |
| ||
![]() | Corporate Bonds 30.0% |
| ![]() | Corporate Bonds 29.5% |
| ||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | Foreign Government |
| ![]() | Foreign Government |
| ||
![]() | Floating Rate Loans 5.4% |
| ![]() | Floating Rate Loans 8.7% |
| ||
![]() | Stocks 0.2% |
| ![]() | Stocks 0.4% |
| ||
![]() | Other Investments 1.0% |
| ![]() | Other Investments 1.2% |
| ||
![]() | Short-Term Investments |
| ![]() | Short-Term Investments |
| ||
* Foreign investments | 33.3% |
| ** Foreign investments | 30.3% |
| ||
* Swaps | 1.4% |
| ** Swaps | 4.1% |
|
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at advisor.fidelity.com.
Semiannual Report
Investments June 30, 2008 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 29.8% | ||||
| Principal | Value (000s) | ||
Convertible Bonds - 0.1% | ||||
INFORMATION TECHNOLOGY - 0.1% | ||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
ON Semiconductor Corp. 0% 4/15/24 | $ 450 | $ 497 | ||
Spansion, Inc. 2.25% 6/15/16 (g) | 4,115 | 1,441 | ||
| 1,938 | |||
Nonconvertible Bonds - 29.7% | ||||
CONSUMER DISCRETIONARY - 5.3% | ||||
Auto Components - 0.1% | ||||
Affinia Group, Inc. 9% 11/30/14 | 2,950 | 2,419 | ||
Visteon Corp. 7% 3/10/14 | 10,020 | 5,812 | ||
| 8,231 | |||
Automobiles - 0.2% | ||||
DaimlerChrysler NA Holding Corp. 4.375% 3/16/10 |
| 450 | 693 | |
General Motors Corp.: | ||||
6.75% 5/1/28 | 2,080 | 1,030 | ||
7.125% 7/15/13 | 3,400 | 2,159 | ||
7.2% 1/15/11 | 2,720 | 2,094 | ||
7.4% 9/1/25 | 3,925 | 2,002 | ||
8.25% 7/15/23 | 4,155 | 2,420 | ||
| 10,398 | |||
Diversified Consumer Services - 0.0% | ||||
Affinion Group, Inc. 11.5% 10/15/15 | 2,990 | 2,975 | ||
Hotels, Restaurants & Leisure - 1.4% | ||||
Cap Cana SA 9.625% 11/3/13 (g) | 2,175 | 1,936 | ||
Carrols Corp. 9% 1/15/13 | 4,095 | 3,542 | ||
Gaylord Entertainment Co.: | ||||
6.75% 11/15/14 | 3,690 | 3,229 | ||
8% 11/15/13 | 920 | 876 | ||
Mandalay Resort Group 6.5% 7/31/09 | 1,995 | 1,973 | ||
MGM Mirage, Inc.: | ||||
6% 10/1/09 | 1,050 | 1,036 | ||
6.625% 7/15/15 | 1,595 | 1,284 | ||
6.75% 9/1/12 | 6,020 | 5,358 | ||
6.75% 4/1/13 | 1,020 | 880 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
MGM Mirage, Inc.: - continued | ||||
6.875% 4/1/16 | $ 1,935 | $ 1,558 | ||
7.5% 6/1/16 | 1,965 | 1,601 | ||
Mohegan Tribal Gaming Authority 6.875% 2/15/15 | 2,140 | 1,691 | ||
OSI Restaurant Partners, Inc. 10% 6/15/15 | 12,740 | 8,281 | ||
Scientific Games Corp. 6.25% 12/15/12 | 660 | 632 | ||
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (g) | 1,540 | 1,278 | ||
Six Flags Operations, Inc. 12.25% 7/15/16 (g) | 5,450 | 5,041 | ||
Six Flags, Inc.: | ||||
8.875% 2/1/10 | 8,225 | 7,156 | ||
9.625% 6/1/14 | 669 | 371 | ||
Speedway Motorsports, Inc. 6.75% 6/1/13 | 3,495 | 3,408 | ||
Station Casinos, Inc.: | ||||
6% 4/1/12 | 3,615 | 2,901 | ||
6.5% 2/1/14 | 11,643 | 6,404 | ||
6.625% 3/15/18 | 11,970 | 6,344 | ||
6.875% 3/1/16 | 12,803 | 7,170 | ||
7.75% 8/15/16 | 4,220 | 3,228 | ||
Town Sports International Holdings, Inc. 0% 2/1/14 (e) | 3,328 | 2,979 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 2,555 | 2,638 | ||
Vail Resorts, Inc. 6.75% 2/15/14 | 5,060 | 4,807 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
0% 1/15/13 (e) | 1,070 | 514 | ||
9% 1/15/12 | 575 | 414 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (g) | 1,337 | 1,163 | ||
| 89,693 | |||
Household Durables - 0.1% | ||||
K. Hovnanian Enterprises, Inc. 11.5% 5/1/13 (g) | 315 | 324 | ||
Urbi, Desarrollos Urbanos, SA de CV 8.5% 4/19/16 (g) | 2,785 | 2,869 | ||
| 3,193 | |||
Leisure Equipment & Products - 0.0% | ||||
Riddell Bell Holdings, Inc. 8.375% 10/1/12 | 720 | 576 | ||
Media - 2.7% | ||||
AMC Entertainment, Inc. 11% 2/1/16 | 2,610 | 2,590 | ||
Cablemas SA de CV 9.375% 11/15/15 (Reg. S) | 7,705 | 8,321 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
CanWest Media, Inc. 8% 9/15/12 | $ 860 | $ 761 | ||
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp.: | ||||
11% 10/1/15 | 19,013 | 14,070 | ||
11% 10/1/15 | 310 | 226 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.: | ||||
Series B, 10.25% 9/15/10 | 11,055 | 10,668 | ||
10.25% 9/15/10 | 3,150 | 3,119 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 10.875% 9/15/14 (g) | 4,115 | 4,238 | ||
Clear Channel Communications, Inc.: | ||||
4.9% 5/15/15 | 4,335 | 2,558 | ||
5% 3/15/12 | 1,160 | 838 | ||
5.5% 9/15/14 | 5,515 | 3,309 | ||
5.5% 12/15/16 | 1,155 | 676 | ||
5.75% 1/15/13 | 3,145 | 2,119 | ||
6.875% 6/15/18 | 2,165 | 1,277 | ||
7.25% 10/15/27 | 3,745 | 2,172 | ||
CSC Holdings, Inc.: | ||||
6.75% 4/15/12 | 3,075 | 2,875 | ||
7.625% 7/15/18 | 4,590 | 4,223 | ||
7.875% 2/15/18 | 5,714 | 5,314 | ||
EchoStar Communications Corp.: | ||||
6.375% 10/1/11 | 3,705 | 3,585 | ||
6.625% 10/1/14 | 9,095 | 8,413 | ||
7% 10/1/13 | 3,800 | 3,624 | ||
7.125% 2/1/16 | 32,555 | 30,032 | ||
Haights Cross Communications, Inc. 0% 8/15/11 (e) | 1,550 | 1,132 | ||
iesy Repository GmbH 10.375% 2/15/15 (g) | 1,205 | 1,157 | ||
Lamar Media Corp. 6.625% 8/15/15 | 13,230 | 12,436 | ||
Liberty Media Corp. 8.5% 7/15/29 | 6,535 | 5,845 | ||
Livent, Inc. yankee 9.375% 10/15/04 (c) | 300 | 3 | ||
MediMedia USA, Inc. 11.375% 11/15/14 (g) | 850 | 850 | ||
Rainbow National LLC & RNS Co. Corp.: | ||||
8.75% 9/1/12 (g) | 3,280 | 3,346 | ||
10.375% 9/1/14 (g) | 9,610 | 10,187 | ||
Sun Media Corp. Canada 7.625% 2/15/13 | 635 | 608 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
The Reader's Digest Association, Inc. 9% 2/15/17 (g) | $ 3,000 | $ 2,250 | ||
TL Acquisitions, Inc. 10.5% 1/15/15 (g) | 21,420 | 19,278 | ||
Videotron Ltd. 6.875% 1/15/14 | 550 | 528 | ||
| 172,628 | |||
Multiline Retail - 0.0% | ||||
Matahari Finance BV 9.5% 10/6/09 | 3,170 | 3,155 | ||
Specialty Retail - 0.5% | ||||
AutoNation, Inc. 4.7131% 4/15/13 (j) | 1,000 | 855 | ||
Burlington Coat Factory Warehouse Corp. 11.125% 4/15/14 | 7,565 | 6,175 | ||
Michaels Stores, Inc.: | ||||
0% 11/1/16 (e) | 445 | 215 | ||
10% 11/1/14 | 11,185 | 9,689 | ||
11.375% 11/1/16 | 11,130 | 8,904 | ||
Toys 'R' US, Inc. 7.875% 4/15/13 | 7,080 | 5,770 | ||
| 31,608 | |||
Textiles, Apparel & Luxury Goods - 0.3% | ||||
Levi Strauss & Co.: | ||||
8.875% 4/1/16 | 7,535 | 7,347 | ||
9.75% 1/15/15 | 8,595 | 9,025 | ||
| 16,372 | |||
TOTAL CONSUMER DISCRETIONARY | 338,829 | |||
CONSUMER STAPLES - 0.4% | ||||
Beverages - 0.0% | ||||
Cerveceria Nacional Dominicana C por A: | ||||
16% 3/27/12 | 150 | 134 | ||
16% 3/27/12 (g) | 2,097 | 1,866 | ||
| 2,000 | |||
Food & Staples Retailing - 0.1% | ||||
Rite Aid Corp.: | ||||
9.375% 12/15/15 | 3,440 | 2,253 | ||
9.5% 6/15/17 | 5,710 | 3,740 | ||
| 5,993 | |||
Food Products - 0.3% | ||||
Bertin Ltda. 10.25% 10/5/16 (g) | 1,935 | 2,003 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food Products - continued | ||||
Gruma SA de CV 7.75% | $ 6,460 | $ 6,460 | ||
Hines Nurseries, Inc. 10.25% 10/1/11 | 370 | 208 | ||
Michael Foods, Inc. 8% 11/15/13 | 420 | 414 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 900 | 819 | ||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.: | ||||
9.25% 4/1/15 | 410 | 363 | ||
10.625% 4/1/17 | 1,015 | 817 | ||
Reddy Ice Holdings, Inc. 0% 11/1/12 (e) | 3,250 | 2,698 | ||
Smithfield Foods, Inc. 7.75% 7/1/17 | 2,810 | 2,389 | ||
| 16,171 | |||
Household Products - 0.0% | ||||
Central Garden & Pet Co. 9.125% 2/1/13 | 260 | 228 | ||
Personal Products - 0.0% | ||||
Elizabeth Arden, Inc. 7.75% 1/15/14 | 470 | 443 | ||
TOTAL CONSUMER STAPLES | 24,835 | |||
ENERGY - 4.1% | ||||
Energy Equipment & Services - 0.2% | ||||
CHC Helicopter Corp. 7.375% 5/1/14 | 3,185 | 3,201 | ||
Complete Production Services, Inc. 8% 12/15/16 | 2,530 | 2,530 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (g) | 3,970 | 4,074 | ||
Seabulk International, Inc. 9.5% 8/15/13 | 3,290 | 3,455 | ||
| 13,260 | |||
Oil, Gas & Consumable Fuels - 3.9% | ||||
ANR Pipeline, Inc. 7.375% 2/15/24 | 2,165 | 2,403 | ||
Atlas Energy Operating Co. LLC/Financing Corp. 10.75% 2/1/18 (g) | 4,090 | 4,264 | ||
Atlas Pipeline Partners LP 8.125% 12/15/15 | 9,415 | 9,321 | ||
Berry Petroleum Co. 8.25% 11/1/16 | 2,930 | 2,959 | ||
Chaparral Energy, Inc.: | ||||
8.5% 12/1/15 | 4,948 | 4,255 | ||
8.875% 2/1/17 | 3,780 | 3,270 | ||
Chesapeake Energy Corp.: | ||||
6.5% 8/15/17 | 8,855 | 8,235 | ||
6.875% 11/15/20 | 7,280 | 6,843 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Chesapeake Energy Corp.: - continued | ||||
7% 8/15/14 | $ 865 | $ 848 | ||
7.5% 6/15/14 | 850 | 844 | ||
7.625% 7/15/13 | 17,730 | 17,819 | ||
Colorado Interstate Gas Co. 6.8% 11/15/15 | 5,320 | 5,546 | ||
Connacher Oil and Gas Ltd. 10.25% 12/15/15 (g) | 4,560 | 4,811 | ||
Drummond Co., Inc. 7.375% 2/15/16 (g) | 4,000 | 3,600 | ||
Encore Acquisition Co. 6.25% 4/15/14 | 1,500 | 1,425 | ||
EXCO Resources, Inc. 7.25% 1/15/11 | 570 | 559 | ||
Forest Oil Corp. 8% 12/15/11 | 480 | 492 | ||
Gaz Capital SA (Luxembourg): | ||||
6.58% 10/31/13 | GBP | 900 | 1,659 | |
6.605% 2/13/18 | EUR | 1,200 | 1,722 | |
Harvest Operations Corp. 7.875% 10/15/11 | 1,170 | 1,120 | ||
InterNorth, Inc. 9.625% 3/16/06 (c) | 935 | 14 | ||
KazMunaiGaz Finance Sub BV: | ||||
8.375% 7/2/13 (g) | 2,010 | 2,028 | ||
9.125% 7/2/18 (g) | 2,015 | 2,025 | ||
Mariner Energy, Inc. 8% 5/15/17 | 1,420 | 1,377 | ||
Massey Energy Co. 6.875% 12/15/13 | 11,040 | 10,792 | ||
OPTI Canada, Inc. 7.875% 12/15/14 | 5,250 | 5,198 | ||
Peabody Energy Corp.: | ||||
7.375% 11/1/16 | 5,640 | 5,668 | ||
7.875% 11/1/26 | 5,640 | 5,640 | ||
Pemex Project Funding Master Trust: | ||||
5.5% 2/24/25 (g) | EUR | 750 | 1,008 | |
5.75% 3/1/18 (g) | 4,340 | 4,253 | ||
6.625% 6/15/35 | 2,870 | 2,823 | ||
6.625% 6/15/35 (g) | 1,320 | 1,298 | ||
PetroHawk Energy Corp.: | ||||
7.875% 6/1/15 (g) | 8,045 | 7,864 | ||
9.125% 7/15/13 | 10,710 | 10,951 | ||
Petroleos de Venezuela SA: | ||||
5.25% 4/12/17 | 39,260 | 27,286 | ||
5.375% 4/12/27 | 14,665 | 8,689 | ||
Petroleum Development Corp. 12% 2/15/18 | 4,390 | 4,653 | ||
Petrozuata Finance, Inc.: | ||||
7.63% 4/1/09 (g) | 4,804 | 4,792 | ||
8.22% 4/1/17 (g) | 8,018 | 8,299 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Range Resources Corp. 7.375% 7/15/13 | $ 2,190 | $ 2,206 | ||
SandRidge Energy, Inc. 8.625% 4/1/15 pay-in-kind (g) | 4,370 | 4,457 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 7,015 | 7,138 | ||
Southern Star Central Corp. 6.75% 3/1/16 | 1,560 | 1,482 | ||
Southwestern Energy Co. 7.5% 2/1/18 (g) | 2,460 | 2,485 | ||
Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13 | 1,220 | 1,183 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 536 | ||
7.5% 4/1/17 | 7,600 | 8,008 | ||
7.625% 4/1/37 | 1,035 | 1,077 | ||
8.375% 6/15/32 | 1,155 | 1,316 | ||
TNK-BP Finance SA: | ||||
6.125% 3/20/12 | 4,550 | 4,283 | ||
6.875% 7/18/11 (g) | 4,675 | 4,558 | ||
Transcontinental Gas Pipe Line Corp.: | ||||
7% 8/15/11 | 330 | 340 | ||
8.875% 7/15/12 | 1,455 | 1,601 | ||
Venoco, Inc. 8.75% 12/15/11 | 3,260 | 3,179 | ||
W&T Offshore, Inc. 8.25% 6/15/14 (g) | 5,300 | 5,115 | ||
YPF SA 10% 11/2/28 | 5,635 | 5,712 | ||
| 251,329 | |||
TOTAL ENERGY | 264,589 | |||
FINANCIALS - 4.1% | ||||
Capital Markets - 0.1% | ||||
Bear Stearns Companies, Inc. 5.208% 9/26/13 (j) | EUR | 1,500 | 2,180 | |
Goldman Sachs Group, Inc. 6.375% 5/2/18 | EUR | 1,000 | 1,528 | |
Mizuho Capital Investment Europe 1 Ltd. 5.02% (j) | EUR | 800 | 1,091 | |
Royal Bank of Scotland PLC 5.331% (j) | EUR | 800 | 1,044 | |
VTB Capital SA 8.25% 6/30/11 | EUR | 1,000 | 1,572 | |
| 7,415 | |||
Commercial Banks - 1.4% | ||||
Alliance & Leicester PLC 4.25% 12/30/08 | GBP | 1,250 | 2,434 | |
Banca Popolare di Lodi Investor Trust III 6.742% (j) | EUR | 1,300 | 1,826 | |
Bancaja Emisiones SA 4.625% (j) | EUR | 1,725 | 1,769 | |
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Banco de Credito Del Peru 7.17% 10/15/22 (g)(j) | PEN | 9,318 | $ 2,990 | |
Bank of Tokyo-Mitsubishi Ltd. 3.5% 12/16/15 (j) | EUR | 1,150 | 1,651 | |
Caisse Nationale des Caisses d' Epargne et de Prevoyance 6.117% (j) | EUR | 1,300 | 1,809 | |
Caja Madrid SA 5.034% 10/17/16 (j) | EUR | 1,500 | 2,234 | |
Credit Agricole SA: | ||||
4.975% 9/30/08 (j) | EUR | 1,000 | 1,574 | |
6% 6/24/13 | EUR | 1,750 | 2,747 | |
Development Bank of Philippines 8.375% (j) | 6,055 | 6,055 | ||
DnB Nor ASA 5.875% 6/20/13 | EUR | 1,000 | 1,461 | |
DnB NOR Bank ASA 3.4186% 8/11/09 (j) | CAD | 1,500 | 1,474 | |
EFG Hellas Funding Ltd. 4.565% (j) | EUR | 1,250 | 1,433 | |
Ex-Im Ukraine 7.65% 9/7/11 (Issued by Credit Suisse London Branch for Ex-Im Ukraine) | 13,335 | 12,935 | ||
EXIM of Ukraine 7.75% 9/23/09 (Issued by Dresdner Bank AG for EXIM Ukraine) | 1,685 | 1,691 | ||
Export-Import Bank of India 1.4225% 6/7/12 (j) | JPY | 320,000 | 3,002 | |
HBOS Treasury Services PLC 3.6143% 1/19/10 (j) | CAD | 1,500 | 1,474 | |
HSBK (Europe) B.V. 9.25% 10/16/13 (g) | 4,210 | 4,178 | ||
Intesa Sanpaolo SpA 6.375% 11/12/17 (j) | GBP | 1,500 | 2,842 | |
Korea Development Bank (Reg.) 0.87% 6/28/10 | JPY | 600,000 | 5,491 | |
Kyivstar GSM 7.75% 4/27/12 (Issued by Dresdner Bank AG for Kyivstar GSM) (g) | 7,810 | 7,814 | ||
National Australia Bank Ltd. 5.5% 5/20/15 | EUR | 1,000 | 1,515 | |
Natixis SA 5.087% 1/26/17 (j) | EUR | 1,100 | 1,586 | |
Royal Bank of Scotland Group PLC 5.25% 5/15/13 | EUR | 1,500 | 2,264 | |
Russian Standard Finance SA 6.825% 9/16/09 | EUR | 1,250 | 1,891 | |
St. George Bank Ltd. 6.5% 6/24/13 | EUR | 1,550 | 2,409 | |
Standard Chartered Bank: | ||||
3.625% 2/3/17 (f) | EUR | 385 | 539 | |
5.255% 3/28/18 (j) | EUR | 1,250 | 1,780 | |
Sumitomo Mitsui Banking Corp. 1.7263% (j) | JPY | 100,000 | 942 | |
UBS Luxembourg SA (Reg. S) 8.375% 10/22/11 | 6,195 | 6,257 | ||
| 88,067 | |||
Consumer Finance - 0.5% | ||||
ACE Cash Express, Inc. 10.25% 10/1/14 (g) | 1,420 | 1,065 | ||
Ford Motor Credit Co. LLC: | ||||
7.25% 10/25/11 | 4,350 | 3,371 | ||
7.8% 6/1/12 | 1,450 | 1,131 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Ford Motor Credit Co. LLC: - continued | ||||
9.875% 8/10/11 | $ 7,610 | $ 6,412 | ||
12% 5/15/15 | 3,390 | 2,992 | ||
GE Capital European Funding 4.75% 9/28/12 | EUR | 2,050 | 3,118 | |
General Motors Acceptance Corp.: | ||||
6.875% 8/28/12 | 3,380 | 2,315 | ||
7% 2/1/12 | 5,870 | 4,080 | ||
7.25% 3/2/11 | 1,450 | 1,066 | ||
GMAC LLC: | ||||
6% 4/1/11 | 4,980 | 3,535 | ||
6% 12/15/11 | 1,435 | 976 | ||
6.625% 5/15/12 | 2,180 | 1,444 | ||
SLM Corp.: | ||||
5.158% 12/15/10 (j) | EUR | 1,100 | 1,515 | |
5.288% 6/17/13 (j) | EUR | 620 | 797 | |
| 33,817 | |||
Diversified Financial Services - 0.8% | ||||
Banca Italease SpA 5.505% 6/28/16 (j) | EUR | 1,500 | 2,076 | |
BAT International Finance PLC 5.375% 6/29/17 | EUR | 900 | 1,306 | |
Broadgate PLC 6.8019% 10/5/25 (j) | GBP | 835 | 1,299 | |
CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13 | 5,610 | 5,105 | ||
CEMEX Finance Europe BV 4.75% 3/5/14 | EUR | 1,250 | 1,671 | |
Deutsche Boerse AG 7.5% 6/13/38 (j) | EUR | 1,300 | 2,008 | |
Dignity Finance PLC: | ||||
6.31% 12/31/23 (Reg. S) | GBP | 164 | 302 | |
8.151% 12/31/30 | GBP | 370 | 715 | |
FireKeepers Development Authority 13.875% 5/1/15 (g) | 1,600 | 1,560 | ||
Getin Finance PLC 6.857% 5/13/09 (j) | EUR | 650 | 999 | |
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | 2,056 | 2,015 | ||
IFIL Finanziaria di Partecipazioni SpA 5.375% 6/12/17 | EUR | 1,450 | 1,943 | |
Imperial Tobacco Finance 5.5% 11/22/16 | GBP | 950 | 1,607 | |
NCO Group, Inc. 11.875% 11/15/14 | 2,930 | 2,432 | ||
OAO TMK 8.5% 9/29/09 (Issued by TMK Capital SA for OAO TMK) | 17,000 | 17,213 | ||
Pakistan International Sukuk Co. Ltd. 5.35% 1/27/10 (j) | 3,410 | 3,171 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
ROSBANK (OJSC JSCB) 8% 9/30/09 (Issued by Dali Capital PLC for ROSBANK (OJSC JSCB)) | RUB | 26,200 | $ 1,099 | |
Sedna Finance Corp. 5.708% 3/15/16 (j) | EUR | 1,150 | 140 | |
TransCapitalInvest Ltd. 5.381% 6/27/12 (Reg. S) | EUR | 1,400 | 2,065 | |
UT2 Funding PLC 5.321% 6/30/16 | EUR | 2,570 | 3,008 | |
| 51,734 | |||
Insurance - 0.2% | ||||
Corporacion Mapfre SA 5.921% 7/24/37 (j) | EUR | 1,800 | 2,433 | |
Eureko BV 5.125% (j) | EUR | 1,500 | 1,985 | |
Fukoku Mutual Life Insurance Co. 4.5% 9/28/25 (j) | EUR | 1,200 | 1,612 | |
Groupama SA 6.298% (j) | EUR | 850 | 1,116 | |
Novae Group PLC 8.375% 4/27/17 (j) | GBP | 450 | 788 | |
Old Mutual PLC 4.5% 1/18/17 (j) | EUR | 1,000 | 1,385 | |
Wuerttembergische Lebens AG 5.375% 6/1/26 (j) | EUR | 800 | 1,144 | |
| 10,463 | |||
Real Estate Investment Trusts - 0.2% | ||||
BF Saul REIT 7.5% 3/1/14 | 3,400 | 2,992 | ||
Rouse Co. LP/TRC, Inc. 6.75% 5/1/13 (g) | 6,640 | 5,760 | ||
Senior Housing Properties Trust 7.875% 4/15/15 | 6,211 | 6,227 | ||
| 14,979 | |||
Real Estate Management & Development - 0.6% | ||||
Inversiones y Representaciones SA 8.5% 2/2/17 (g) | 2,785 | 2,005 | ||
Realogy Corp.: | ||||
10.5% 4/15/14 | 29,415 | 20,296 | ||
11% 4/15/14 pay-in-kind | 17,145 | 9,862 | ||
12.375% 4/15/15 | 8,605 | 4,216 | ||
WT Finance (Aust) Pty Ltd./Westfield Europe Finance PLC/WEA Finance 3.625% 6/27/12 | EUR | 1,250 | 1,716 | |
| 38,095 | |||
Thrifts & Mortgage Finance - 0.3% | ||||
Credit Logement SA: | ||||
4.604% (j) | EUR | 1,000 | 1,416 | |
5.558% 12/2/49 (j) | EUR | 2,000 | 2,837 | |
Nationwide Building Society 3.375% 8/17/15 (j) | EUR | 1,600 | 2,281 | |
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Thrifts & Mortgage Finance - continued | ||||
Residential Capital LLC: | ||||
8.5% 5/15/10 (g) | $ 6,188 | $ 5,198 | ||
9.625% 5/15/15 (g) | 14,244 | 6,837 | ||
| 18,569 | |||
TOTAL FINANCIALS | 263,139 | |||
HEALTH CARE - 1.5% | ||||
Health Care Equipment & Supplies - 0.2% | ||||
Bausch & Lomb, Inc. 9.875% 11/1/15 (g) | 6,840 | 6,926 | ||
Invacare Corp. 9.75% 2/15/15 | 1,530 | 1,522 | ||
| 8,448 | |||
Health Care Providers & Services - 1.2% | ||||
Cardinal Health 409, Inc. 9.5% 4/15/15 pay-in-kind | 11,685 | 10,341 | ||
CRC Health Group, Inc. 10.75% 2/1/16 | 1,880 | 1,523 | ||
DASA Finance Corp. 8.75% 5/29/18 (g) | 2,325 | 2,308 | ||
DaVita, Inc. 6.625% 3/15/13 | 5,230 | 5,034 | ||
Fresenius Medical Care Capital Trust IV 7.875% 6/15/11 | 1,000 | 1,033 | ||
HCA, Inc.: | ||||
9.125% 11/15/14 | 12,275 | 12,521 | ||
9.25% 11/15/16 | 11,640 | 11,989 | ||
9.625% 11/15/16 pay-in-kind | 1,155 | 1,190 | ||
Rural/Metro Corp. 9.875% 3/15/15 | 1,355 | 1,240 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 | 3,652 | 3,862 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 | 310 | 310 | ||
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13 | 3,040 | 3,131 | ||
Tenet Healthcare Corp.: | ||||
9.25% 2/1/15 | 1,512 | 1,482 | ||
9.875% 7/1/14 | 12,685 | 12,669 | ||
U.S. Oncology, Inc. 9% 8/15/12 | 1,300 | 1,300 | ||
Vanguard Health Holding Co. I, LLC 0% 10/1/15 (e) | 585 | 503 | ||
Vanguard Health Holding Co. II LLC 9% 10/1/14 | 7,675 | 7,848 | ||
| 78,284 | |||
Life Sciences Tools & Services - 0.0% | ||||
Bio-Rad Laboratories, Inc. 7.5% 8/15/13 | 1,770 | 1,788 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Pharmaceuticals - 0.1% | ||||
Elan Finance PLC/Elan Finance Corp. 7.75% 11/15/11 | $ 1,585 | $ 1,553 | ||
Leiner Health Products, Inc. 11% 6/1/12 (c) | 1,885 | 94 | ||
Schering-Plough Corp. 5.375% 10/1/14 | EUR | 1,940 | 2,802 | |
| 4,449 | |||
TOTAL HEALTH CARE | 92,969 | |||
INDUSTRIALS - 2.1% | ||||
Aerospace & Defense - 0.1% | ||||
Alion Science & Technology Corp. 10.25% 2/1/15 | 800 | 552 | ||
Hexcel Corp. 6.75% 2/1/15 | 2,350 | 2,280 | ||
Orbimage Holdings, Inc. 14.2175% 7/1/12 (j) | 1,720 | 1,793 | ||
| 4,625 | |||
Airlines - 0.2% | ||||
Continental Airlines, Inc. 6.903% 4/19/22 | 820 | 617 | ||
Delta Air Lines, Inc.: | ||||
7.9% 12/15/09 (a) | 16,400 | 205 | ||
10% 8/15/08 (a) | 1,255 | 16 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 9,908 | 8,273 | ||
8.021% 8/10/22 | 4,736 | 3,552 | ||
Northwest Airlines Corp. 10% 2/1/09 (a) | 1,895 | 38 | ||
Northwest Airlines, Inc.: | ||||
7.875% 3/15/49 (a) | 1,365 | 27 | ||
8.875% 6/1/06 (a) | 1,355 | 14 | ||
Northwest Airlines, Inc. pass-thru trust certificates: | ||||
7.027% 11/1/19 | 2,295 | 1,819 | ||
8.028% 11/1/17 | 1,080 | 864 | ||
| 15,425 | |||
Building Products - 0.3% | ||||
Compagnie de St. Gobain 4.994% 4/11/12 (j) | EUR | 1,250 | 1,882 | |
Nortek, Inc.: | ||||
8.5% 9/1/14 | 11,485 | 7,465 | ||
10% 12/1/13 (g) | 4,320 | 4,082 | ||
NTK Holdings, Inc. 0% 3/1/14 (e) | 6,210 | 2,763 | ||
| 16,192 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Commercial Services & Supplies - 0.4% | ||||
ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13 | $ 160 | $ 146 | ||
Allied Security Escrow Corp. 11.375% 7/15/11 | 2,255 | 1,939 | ||
Allied Waste North America, Inc.: | ||||
6.5% 11/15/10 | 830 | 830 | ||
7.125% 5/15/16 | 5,645 | 5,631 | ||
Browning-Ferris Industries, Inc.: | ||||
7.4% 9/15/35 | 3,085 | 2,900 | ||
9.25% 5/1/21 | 680 | 680 | ||
Cenveo Corp. 10.5% 8/15/16 (g) | 2,795 | 2,795 | ||
FTI Consulting, Inc.: | ||||
7.625% 6/15/13 | 720 | 742 | ||
7.75% 10/1/16 | 1,390 | 1,425 | ||
Mac-Gray Corp. 7.625% 8/15/15 | 680 | 649 | ||
Rental Service Corp. 9.5% 12/1/14 | 3,940 | 3,329 | ||
West Corp. 9.5% 10/15/14 | 8,620 | 7,758 | ||
| 28,824 | |||
Construction & Engineering - 0.0% | ||||
Blount, Inc. 8.875% 8/1/12 | 1,250 | 1,250 | ||
Obrascon Huarte Lain SA 5% 5/18/12 | EUR | 1,250 | 1,705 | |
| 2,955 | |||
Electrical Equipment - 0.1% | ||||
Coleman Cable, Inc. 9.875% 10/1/12 | 1,040 | 957 | ||
General Cable Corp. 7.125% 4/1/17 | 680 | 646 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 900 | 855 | ||
SGL Carbon AG 6.106% 5/15/15 (j) | EUR | 1,500 | 2,161 | |
| 4,619 | |||
Industrial Conglomerates - 0.3% | ||||
Hutchison Whampoa Finance 06 Ltd. 4.625% 9/21/16 | EUR | 2,500 | 3,406 | |
Sequa Corp.: | ||||
11.75% 12/1/15 (g) | 10,805 | 9,454 | ||
13.5% 12/1/15 pay-in-kind (g) | 3,600 | 3,237 | ||
Siemens Financieringsmaatschappij NV: | ||||
5.375% 6/11/14 | EUR | 775 | 1,192 | |
6.125% 9/14/66 (j) | GBP | 1,075 | 1,902 | |
| 19,191 | |||
Machinery - 0.2% | ||||
Chart Industries, Inc. 9.125% 10/15/15 | 1,160 | 1,183 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
Cummins, Inc. 7.125% 3/1/28 | $ 2,250 | $ 2,143 | ||
RBS Global, Inc. / Rexnord Corp.: | ||||
8.875% 9/1/16 | 1,341 | 1,254 | ||
9.5% 8/1/14 | 6,310 | 6,058 | ||
11.75% 8/1/16 | 2,905 | 2,782 | ||
| 13,420 | |||
Marine - 0.2% | ||||
CMA CGM SA 5.5% 5/16/12 (Reg. S) | EUR | 2,625 | 3,434 | |
Navios Maritime Holdings, Inc. 9.5% 12/15/14 | 4,460 | 4,460 | ||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 1,795 | 1,696 | ||
US Shipping Partners LP 13% 8/15/14 | 3,185 | 1,911 | ||
| 11,501 | |||
Road & Rail - 0.2% | ||||
Kansas City Southern de Mexico, SA de CV: | ||||
7.375% 6/1/14 | 1,670 | 1,645 | ||
7.625% 12/1/13 | 1,700 | 1,666 | ||
Kansas City Southern Railway Co. 7.5% 6/15/09 | 3,165 | 3,189 | ||
TFM SA de CV 9.375% 5/1/12 | 6,450 | 6,756 | ||
| 13,256 | |||
Trading Companies & Distributors - 0.1% | ||||
Glencore Finance (Europe) SA 7.125% 4/23/15 | EUR | 1,650 | 2,506 | |
Penhall International Corp. 12% 8/1/14 (g) | 1,515 | 1,121 | ||
VWR Funding, Inc. 10.25% 7/15/15 | 4,270 | 3,992 | ||
| 7,619 | |||
TOTAL INDUSTRIALS | 137,627 | |||
INFORMATION TECHNOLOGY - 3.1% | ||||
Communications Equipment - 0.7% | ||||
Hughes Network Systems LLC / HNS Finance Corp. 9.5% 4/15/14 | 6,290 | 6,361 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 20,050 | 15,038 | ||
6.5% 1/15/28 | 6,570 | 4,928 | ||
Nortel Networks Corp.: | ||||
6.9631% 7/15/11 (j) | 3,760 | 3,572 | ||
10.125% 7/15/13 | 3,730 | 3,767 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Nortel Networks Corp.: - continued | ||||
10.75% 7/15/16 | $ 3,760 | $ 3,798 | ||
10.75% 7/15/16 (g) | 5,170 | 5,222 | ||
| 42,686 | |||
Electronic Equipment & Instruments - 0.2% | ||||
NXP BV 9.5% 10/15/15 | 9,290 | 8,082 | ||
Texas Competitive Electric Holdings Co. LLC Series A, 10.25% 11/1/15 (g) | 5,665 | 5,552 | ||
| 13,634 | |||
IT Services - 0.6% | ||||
Ceridian Corp.: | ||||
11.25% 11/15/15 (g) | 3,710 | 3,367 | ||
12.25% 11/15/15 pay-in-kind (g) | 3,375 | 3,063 | ||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 10,955 | 10,243 | ||
7.75% 1/15/15 | 4,830 | 4,806 | ||
8.25% 7/1/11 | 535 | 534 | ||
8.625% 4/1/13 | 2,900 | 2,915 | ||
8.75% 7/15/18 | 5,160 | 5,315 | ||
SunGard Data Systems, Inc. 9.125% 8/15/13 | 5,280 | 5,333 | ||
Unisys Corp.: | ||||
8% 10/15/12 | 875 | 753 | ||
12.5% 1/15/16 | 3,030 | 3,030 | ||
| 39,359 | |||
Office Electronics - 0.4% | ||||
Xerox Capital Trust I 8% 2/1/27 | 4,585 | 4,493 | ||
Xerox Corp.: | ||||
6.4% 3/15/16 | 8,000 | 8,121 | ||
7.625% 6/15/13 | 12,010 | 12,370 | ||
| 24,984 | |||
Semiconductors & Semiconductor Equipment - 1.2% | ||||
Amkor Technology, Inc. 9.25% 6/1/16 | 10,440 | 9,892 | ||
ASML Holding NV 5.75% 6/13/17 | EUR | 2,900 | 3,809 | |
Avago Technologies Finance Ltd.: | ||||
8.1819% 6/1/13 (j) | 902 | 900 | ||
11.875% 12/1/15 | 8,455 | 9,131 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
Freescale Semiconductor, Inc.: | ||||
8.875% 12/15/14 | $ 28,335 | $ 22,810 | ||
9.125% 12/15/14 pay-in-kind | 26,855 | 20,611 | ||
10.125% 12/15/16 | 6,030 | 4,583 | ||
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. 6.0263% 12/15/11 (j) | 735 | 507 | ||
New ASAT Finance Ltd. 9.25% 2/1/11 | 2,100 | 1,365 | ||
Spansion LLC 11.25% 1/15/16 (g) | 3,870 | 2,399 | ||
Viasystems, Inc. 10.5% 1/15/11 | 4,065 | 3,984 | ||
| 79,991 | |||
Software - 0.0% | ||||
Open Solutions, Inc. 9.75% 2/1/15 (g) | 870 | 705 | ||
TOTAL INFORMATION TECHNOLOGY | 201,359 | |||
MATERIALS - 3.0% | ||||
Chemicals - 0.9% | ||||
America Rock Salt Co. LLC 9.5% 3/15/14 | 3,940 | 4,137 | ||
Bayer AG 4.842% 4/10/10 (j) | EUR | 1,250 | 1,952 | |
Georgia Gulf Corp.: | ||||
7.125% 12/15/13 | 1,280 | 960 | ||
9.5% 10/15/14 | 5,515 | 4,191 | ||
Huntsman LLC 11.625% 10/15/10 | 466 | 485 | ||
JohnsonDiversey Holdings, Inc. 10.67% 5/15/13 | 6,095 | 6,065 | ||
MacDermid, Inc. 9.5% 4/15/17 (g) | 500 | 445 | ||
Momentive Performance Materials, Inc.: | ||||
9.75% 12/1/14 | 26,260 | 22,518 | ||
10.125% 12/1/14 pay-in-kind | 5,055 | 4,189 | ||
11.5% 12/1/16 | 16,205 | 12,154 | ||
Sterling Chemicals, Inc. 10.25% 4/1/15 (g) | 1,600 | 1,612 | ||
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 | 1,990 | 1,622 | ||
| 60,330 | |||
Containers & Packaging - 0.6% | ||||
AEP Industries, Inc. 7.875% 3/15/13 | 640 | 550 | ||
Berry Plastics Holding Corp.: | ||||
8.875% 9/15/14 | 5,340 | 4,592 | ||
10.25% 3/1/16 | 4,055 | 2,960 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
BWAY Corp. 10% 10/15/10 | $ 1,175 | $ 1,175 | ||
Constar International, Inc. 11% 12/1/12 | 2,530 | 1,480 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 355 | 319 | ||
7.5% 12/15/96 | 3,685 | 2,644 | ||
8% 4/15/23 | 2,980 | 2,600 | ||
Crown European Holdings SA 6.25% 9/1/11 | EUR | 2,100 | 3,088 | |
Owens-Brockway Glass Container, Inc.: | ||||
6.75% 12/1/14 | 895 | 891 | ||
8.25% 5/15/13 | 3,390 | 3,492 | ||
Tekni-Plex, Inc. 10.875% 8/15/12 | 980 | 1,005 | ||
Vitro SAB de CV: | ||||
8.625% 2/1/12 | 10,395 | 9,407 | ||
9.125% 2/1/17 | 2,210 | 1,735 | ||
| 35,938 | |||
Metals & Mining - 1.3% | ||||
Aleris International, Inc. 9% 12/15/14 | 2,790 | 2,222 | ||
CAP SA 7.375% 9/15/36 (g) | 970 | 933 | ||
Compass Minerals International, Inc. 12% 6/1/13 | 752 | 775 | ||
CSN Islands VIII Corp. 9.75% 12/16/13 (g) | 5,830 | 6,646 | ||
Evraz Group SA: | ||||
8.25% 11/10/15 (Reg. S) | 2,215 | 2,146 | ||
8.875% 4/24/13 (g) | 6,415 | 6,383 | ||
FMG Finance Property Ltd.: | ||||
10% 9/1/13 (g) | 3,805 | 4,205 | ||
10.625% 9/1/16 (g) | 8,945 | 10,466 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
5.8825% 4/1/15 (j) | 2,055 | 2,055 | ||
6.875% 2/1/14 | 4,200 | 4,295 | ||
8.25% 4/1/15 | 8,780 | 9,142 | ||
8.375% 4/1/17 | 11,870 | 12,538 | ||
Gerdau AmeriSteel Corp./GUSAP Partners 10.375% 7/15/11 | 1,335 | 1,391 | ||
Gerdau SA 8.875% (g) | 2,590 | 2,713 | ||
International Steel Group, Inc. 6.5% 4/15/14 | 10,550 | 10,819 | ||
Ispat Inland ULC 9.75% 4/1/14 | 932 | 996 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
PNA Intermediate Holding Corp. 9.6756% 2/15/13 pay-in-kind (j) | $ 1,680 | $ 1,672 | ||
RathGibson, Inc. 11.25% 2/15/14 | 5,905 | 5,654 | ||
| 85,051 | |||
Paper & Forest Products - 0.2% | ||||
Abitibi-Consolidated, Inc. 13.75% 4/1/11 (g) | 7,070 | 7,565 | ||
Glatfelter 7.125% 5/1/16 | 550 | 534 | ||
NewPage Corp. 9.1228% 5/1/12 (j) | 1,770 | 1,770 | ||
Solo Cup Co. 8.5% 2/15/14 | 2,140 | 1,905 | ||
| 11,774 | |||
TOTAL MATERIALS | 193,093 | |||
TELECOMMUNICATION SERVICES - 4.1% | ||||
Diversified Telecommunication Services - 1.5% | ||||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 6,530 | 5,746 | ||
9% 8/15/31 | 7,395 | 6,619 | ||
Embarq Corp.: | ||||
7.082% 6/1/16 | 1,116 | 1,060 | ||
7.995% 6/1/36 | 8,910 | 8,429 | ||
Indosat Finance Co. BV 7.75% 11/5/10 | 3,070 | 3,101 | ||
Intelsat Bermuda Ltd. 7.5344% 2/4/17 (f)(g) | 18,242 | 14,776 | ||
Intelsat Ltd.: | ||||
9.25% 6/15/16 | 5,045 | 5,045 | ||
11.25% 6/15/16 | 16,840 | 17,093 | ||
Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (g) | 5,425 | 5,235 | ||
Qwest Corp. 7.5% 10/1/14 | 760 | 732 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 3,315 | 2,760 | ||
8.75% 3/15/32 | 9,485 | 9,034 | ||
Telecom Egypt SAE 9.672% 2/4/10 (j) | EGP | 2,139 | 400 | |
U.S. West Communications: | ||||
6.875% 9/15/33 | 9,883 | 8,153 | ||
7.25% 10/15/35 | 580 | 492 | ||
Wind Acquisition Finance SA 10.75% 12/1/15 (g) | 7,315 | 7,608 | ||
| 96,283 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - 2.6% | ||||
American Tower Corp. 7.125% 10/15/12 | $ 10,745 | $ 10,906 | ||
Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 | 6,050 | 6,141 | ||
Cricket Communications, Inc.: | ||||
9.375% 11/1/14 | 6,460 | 6,266 | ||
10% 7/15/15 (g) | 4,325 | 4,260 | ||
10.875% 11/1/14 | 2,545 | 2,469 | ||
Digicel Group Ltd.: | ||||
8.875% 1/15/15 (g) | 4,705 | 4,423 | ||
9.125% 1/15/15 pay-in-kind (g) | 5,465 | 5,151 | ||
9.25% 9/1/12 (g) | 1,880 | 1,922 | ||
Intelsat Jackson Holdings Ltd.: | ||||
9.5% 6/15/16 (g) | 18,760 | 18,502 | ||
11.5% 6/15/16 (g) | 670 | 677 | ||
Intelsat Subsidiary Holding Co. Ltd.: | ||||
8.5% 1/15/13 (g) | 3,655 | 3,554 | ||
8.875% 1/15/15 (g) | 11,555 | 11,252 | ||
MetroPCS Wireless, Inc. 9.25% 11/1/14 | 12,930 | 12,445 | ||
Millicom International Cellular SA 10% 12/1/13 | 16,540 | 17,532 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 16,705 | 13,406 | ||
7.375% 8/1/15 | 20,880 | 17,330 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (g) | 8,140 | 6,512 | ||
Telecom Personal SA 9.25% 12/22/10 (g) | 14,370 | 14,478 | ||
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (g) | 6,540 | 6,442 | ||
| 163,668 | |||
TOTAL TELECOMMUNICATION SERVICES | 259,951 | |||
UTILITIES - 2.0% | ||||
Electric Utilities - 0.9% | ||||
AES Gener SA 7.5% 3/25/14 | 3,410 | 3,598 | ||
Chivor SA E.S.P. 9.75% 12/30/14 (g) | 3,255 | 3,694 | ||
Edison Mission Energy: | ||||
7.5% 6/15/13 | 13,680 | 13,612 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
Edison Mission Energy: - continued | ||||
7.75% 6/15/16 | $ 4,965 | $ 5,002 | ||
Energy Future Holdings: | ||||
10.875% 11/1/17 (g) | 5,420 | 5,474 | ||
11.25% 11/1/17 pay-in-kind (g) | 7,780 | 7,722 | ||
Intergen NV 9% 6/30/17 (g) | 7,670 | 7,900 | ||
Majapahit Holding BV 7.75% 10/17/16 | 2,720 | 2,502 | ||
National Power Corp. 6.875% 11/2/16 (g) | 5,930 | 5,678 | ||
| 55,182 | |||
Gas Utilities - 0.5% | ||||
Intergas Finance BV: | ||||
6.375% 5/14/17 (Reg. S) | 5,020 | 4,355 | ||
6.875% 11/4/11 (Reg. S) | 6,585 | 6,371 | ||
Southern Gas Networks PLC 6.375% 5/15/40 | GBP | 700 | 1,376 | |
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | 7,350 | 7,552 | ||
8% 3/1/32 | 4,170 | 4,595 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (g) | 10,650 | 8,147 | ||
| 32,396 | |||
Independent Power Producers & Energy Traders - 0.6% | ||||
AES Corp.: | ||||
7.75% 10/15/15 | 10,145 | 9,942 | ||
8% 10/15/17 | 13,560 | 13,289 | ||
Enron Corp.: | ||||
Series A, 8.375% 5/23/05 (c) | 2,500 | 63 | ||
6.4% 7/15/06 (c) | 9,815 | 147 | ||
6.625% 11/15/05 (c) | 2,200 | 33 | ||
6.725% 11/17/08 (c)(j) | 684 | 5 | ||
6.75% 8/1/09 (c) | 550 | 8 | ||
6.875% 10/15/07 (c) | 1,330 | 20 | ||
6.95% 7/15/28 (c) | 1,204 | 9 | ||
7.125% 5/15/07 (c) | 235 | 4 | ||
7.375% 5/15/19 (c) | 1,400 | 21 | ||
7.875% 6/15/03 (c) | 235 | 4 | ||
9.125% 4/1/03 (c) | 50 | 1 | ||
9.875% 6/5/03 (c) | 4,720 | 71 | ||
NRG Energy, Inc.: | ||||
7.25% 2/1/14 | 5,370 | 5,155 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
NRG Energy, Inc.: - continued | ||||
7.375% 2/1/16 | $ 1,200 | $ 1,140 | ||
Reliant Energy, Inc.: | ||||
7.625% 6/15/14 | 4,630 | 4,526 | ||
7.875% 6/15/17 | 3,680 | 3,588 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (g) | 1,065 | 996 | ||
| 39,022 | |||
Multi-Utilities - 0.0% | ||||
Abu Dhabi National Energy Co. PJSC 4.375% 10/28/13 | EUR | 1,000 | 1,415 | |
Aquila, Inc. 14.875% 7/1/12 | 1,615 | 1,873 | ||
Utilicorp United, Inc. 9.95% 2/1/11 (j) | 39 | 41 | ||
| 3,329 | |||
TOTAL UTILITIES | 129,929 | |||
TOTAL NONCONVERTIBLE BONDS | 1,906,320 | |||
TOTAL CORPORATE BONDS (Cost $2,002,516) | 1,908,258 | |||
U.S. Government and Government Agency Obligations - 20.3% | ||||
| ||||
U.S. Government Agency Obligations - 5.0% | ||||
Fannie Mae: | ||||
2.5% 4/9/10 | 3,580 | 3,543 | ||
3% 7/12/10 | 15,000 | 14,932 | ||
3.25% 2/10/10 | 37,409 | 37,538 | ||
3.25% 4/9/13 | 10,500 | 10,104 | ||
3.375% 5/19/11 | 12,116 | 12,056 | ||
3.625% 2/12/13 | 37,185 | 36,444 | ||
3.875% 12/10/09 | 59,500 | 60,226 | ||
4.75% 11/19/12 | 15,800 | 16,253 | ||
4.875% 5/18/12 | 8,000 | 8,271 | ||
6% 5/15/11 | 13,795 | 14,690 | ||
6.625% 9/15/09 | 15,115 | 15,771 | ||
Freddie Mac: | ||||
3.5% 5/29/13 | 67,380 | 65,472 | ||
3.875% 6/29/11 | 14,554 | 14,667 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency Obligations - continued | ||||
Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23 | $ 4,750 | $ 5,096 | ||
Private Export Funding Corp. secured: | ||||
4.974% 8/15/13 | 1,515 | 1,562 | ||
5.685% 5/15/12 | 1,285 | 1,363 | ||
Small Business Administration guaranteed development participation certificates Series 2003-P10B, Class 1 5.136% 8/10/13 | 802 | 804 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 318,792 | |||
U.S. Treasury Obligations - 15.3% | ||||
U.S. Treasury Bonds: | ||||
4.375% 2/15/38 | 14,500 | 14,133 | ||
6.125% 8/15/29 | 120,150 | 144,922 | ||
6.25% 8/15/23 | 61,500 | 73,171 | ||
U.S. Treasury Notes: | ||||
1.75% 3/31/10 | 118,160 | 116,637 | ||
2.125% 1/31/10 | 31,400 | 31,238 | ||
2.125% 4/30/10 | 75,853 | 75,302 | ||
2.625% 5/31/10 (h) | 49,595 | 49,630 | ||
2.75% 2/28/13 | 182,976 | 178,611 | ||
3.875% 5/15/18 | 2,000 | 1,983 | ||
4.25% 11/15/17 | 83,000 | 84,783 | ||
4.75% 8/15/17 | 162,002 | 171,621 | ||
5.125% 5/15/16 | 39,190 | 42,729 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 984,760 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,310,403) | 1,303,552 | |||
U.S. Government Agency - Mortgage Securities - 6.7% | ||||
| ||||
Fannie Mae - 4.1% | ||||
3.605% 9/1/33 (j) | 593 | 601 | ||
3.707% 6/1/33 (j) | 1,673 | 1,677 | ||
3.817% 6/1/33 (j) | 1,873 | 1,874 | ||
3.893% 5/1/33 (j) | 569 | 570 | ||
3.912% 5/1/34 (j) | 1,001 | 1,011 | ||
3.915% 5/1/34 (j) | 750 | 756 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Fannie Mae - continued | ||||
3.918% 9/1/33 (j) | $ 1,828 | $ 1,852 | ||
3.948% 8/1/33 (j) | 754 | 764 | ||
3.979% 9/1/33 (j) | 1,062 | 1,071 | ||
4% 9/1/13 to 5/1/20 | 4,397 | 4,252 | ||
4.023% 3/1/34 (j) | 3,744 | 3,792 | ||
4.108% 4/1/34 (j) | 2,317 | 2,336 | ||
4.113% 5/1/34 (j) | 1,857 | 1,876 | ||
4.154% 9/1/33 (j) | 1,209 | 1,222 | ||
4.209% 11/1/34 (j) | 1,860 | 1,883 | ||
4.296% 6/1/33 (j) | 1,754 | 1,771 | ||
4.341% 10/1/19 (j) | 216 | 218 | ||
4.376% 1/1/34 (j) | 2,333 | 2,357 | ||
4.389% 8/1/33 (j) | 793 | 799 | ||
4.393% 10/1/33 (j) | 929 | 930 | ||
4.416% 1/1/34 (j) | 966 | 971 | ||
4.428% 11/1/33 (j) | 230 | 232 | ||
4.457% 8/1/35 (j) | 2,859 | 2,889 | ||
4.478% 12/1/34 (j) | 106 | 107 | ||
4.492% 1/1/35 (j) | 1,040 | 1,053 | ||
4.492% 3/1/35 (j) | 4,855 | 4,916 | ||
4.5% 3/1/18 to 11/1/19 | 10,471 | 10,323 | ||
4.548% 5/1/35 (j) | 2,102 | 2,126 | ||
4.571% 1/1/35 (j) | 1,798 | 1,822 | ||
4.587% 5/1/35 (j) | 2,208 | 2,214 | ||
4.648% 10/1/34 (j) | 622 | 629 | ||
4.651% 8/1/35 (j) | 2,081 | 2,135 | ||
4.659% 6/1/35 (j) | 630 | 630 | ||
4.681% 8/1/35 (j) | 940 | 955 | ||
4.696% 2/1/35 (j) | 1,296 | 1,316 | ||
4.7% 2/1/35 (j) | 2,863 | 2,899 | ||
4.707% 2/1/36 (j) | 2,451 | 2,488 | ||
4.724% 8/1/34 (j) | 2,917 | 2,944 | ||
4.732% 12/1/35 (j) | 6,664 | 6,759 | ||
4.749% 5/1/35 (j) | 308 | 309 | ||
4.75% 7/1/35 (j) | 671 | 676 | ||
4.757% 1/1/35 (j) | 950 | 960 | ||
4.767% 7/1/35 (j) | 685 | 691 | ||
4.775% 12/1/35 (j) | 676 | 685 | ||
4.776% 3/1/35 (j) | 1,141 | 1,149 | ||
4.785% 7/1/35 (j) | 892 | 900 | ||
4.811% 6/1/35 (j) | 1,211 | 1,220 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Fannie Mae - continued | ||||
4.818% 9/1/34 (j) | $ 799 | $ 810 | ||
4.829% 1/1/35 (j) | 665 | 674 | ||
4.835% 10/1/34 (j) | 1,769 | 1,792 | ||
4.851% 4/1/35 (j) | 1,777 | 1,808 | ||
4.851% 7/1/35 (j) | 1,190 | 1,201 | ||
4.852% 7/1/34 (j) | 872 | 884 | ||
4.86% 10/1/35 (j) | 256 | 259 | ||
4.88% 5/1/35 (j) | 315 | 318 | ||
4.889% 11/1/35 (j) | 1,898 | 1,921 | ||
4.905% 3/1/33 (j) | 528 | 535 | ||
4.929% 8/1/34 (j) | 1,719 | 1,742 | ||
4.942% 8/1/34 (j) | 950 | 963 | ||
4.952% 5/1/35 (j) | 1,168 | 1,171 | ||
4.954% 3/1/35 (j) | 1,036 | 1,045 | ||
4.985% 2/1/35 (j) | 1,127 | 1,143 | ||
4.992% 2/1/34 (j) | 1,485 | 1,499 | ||
5% 1/1/14 to 5/1/23 | 13,969 | 14,008 | ||
5% 7/17/23 (h)(i) | 2,000 | 1,979 | ||
5% 7/17/23 (h)(i) | 3,000 | 2,968 | ||
5.004% 5/1/35 (j) | 2,566 | 2,592 | ||
5.019% 12/1/32 (j) | 1,470 | 1,493 | ||
5.041% 10/1/35 (j) | 1,191 | 1,206 | ||
5.082% 7/1/34 (j) | 332 | 337 | ||
5.099% 10/1/35 (j) | 710 | 719 | ||
5.131% 10/1/35 (j) | 770 | 779 | ||
5.135% 8/1/34 (j) | 1,236 | 1,258 | ||
5.168% 3/1/36 (j) | 2,423 | 2,457 | ||
5.204% 7/1/35 (j) | 2,962 | 3,001 | ||
5.228% 5/1/35 (j) | 929 | 941 | ||
5.267% 12/1/36 (j) | 474 | 483 | ||
5.271% 7/1/35 (j) | 5,426 | 5,496 | ||
5.301% 3/1/36 (j) | 6,359 | 6,459 | ||
5.318% 4/1/36 (j) | 876 | 907 | ||
5.319% 2/1/36 (j) | 148 | 150 | ||
5.336% 7/1/35 (j) | 394 | 400 | ||
5.336% 1/1/36 (j) | 2,079 | 2,116 | ||
5.355% 2/1/36 (j) | 1,449 | 1,475 | ||
5.358% 2/1/37 (j) | 525 | 537 | ||
5.364% 3/1/37 (j) | 6,650 | 6,797 | ||
5.39% 2/1/37 (j) | 2,648 | 2,700 | ||
5.448% 2/1/37 (j) | 3,581 | 3,666 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Fannie Mae - continued | ||||
5.5% 5/1/11 to 6/1/20 | $ 31,432 | $ 31,932 | ||
5.502% 6/1/47 (j) | 411 | 420 | ||
5.523% 11/1/36 (j) | 808 | 825 | ||
5.601% 4/1/37 (j) | 2,136 | 2,184 | ||
5.611% 2/1/36 (j) | 614 | 626 | ||
5.639% 4/1/36 (j) | 2,447 | 2,498 | ||
5.66% 6/1/36 (j) | 1,436 | 1,464 | ||
5.787% 5/1/36 (j) | 540 | 550 | ||
5.791% 3/1/36 (j) | 5,043 | 5,151 | ||
5.802% 1/1/36 (j) | 342 | 348 | ||
5.822% 5/1/36 (j) | 3,711 | 3,791 | ||
5.859% 9/1/36 (j) | 992 | 1,013 | ||
5.863% 6/1/35 (j) | 2,227 | 2,268 | ||
5.897% 12/1/36 (j) | 903 | 926 | ||
5.906% 5/1/36 (j) | 1,697 | 1,735 | ||
5.947% 5/1/36 (j) | 607 | 623 | ||
6% 5/1/12 to 6/1/30 | 17,074 | 17,496 | ||
6.009% 4/1/36 (j) | 9,901 | 10,139 | ||
6.095% 3/1/37 (j) | 1,060 | 1,090 | ||
6.167% 4/1/36 (j) | 1,052 | 1,079 | ||
6.226% 3/1/37 (j) | 330 | 338 | ||
6.251% 6/1/36 (j) | 158 | 161 | ||
6.5% 12/1/12 to 9/1/32 | 4,546 | 4,723 | ||
7% 9/1/25 | 4 | 4 | ||
7.5% 1/1/28 to 5/1/37 | 852 | 901 | ||
TOTAL FANNIE MAE | 260,584 | |||
Freddie Mac - 2.6% | ||||
3.431% 7/1/33 (j) | 1,539 | 1,546 | ||
4% 5/1/19 to 11/1/20 | 4,830 | 4,625 | ||
4.006% 4/1/34 (j) | 3,231 | 3,243 | ||
4.12% 7/1/35 (j) | 1,324 | 1,341 | ||
4.217% 1/1/35 (j) | 2,611 | 2,651 | ||
4.426% 5/1/33 (j) | 2,093 | 2,097 | ||
4.5% 2/1/18 to 8/1/33 | 5,924 | 5,806 | ||
4.58% 6/1/33 (j) | 751 | 748 | ||
4.683% 5/1/35 (j) | 1,678 | 1,669 | ||
4.697% 9/1/36 (j) | 630 | 638 | ||
4.786% 2/1/36 (j) | 254 | 256 | ||
4.79% 3/1/35 (j) | 585 | 590 | ||
4.858% 10/1/35 (j) | 1,087 | 1,107 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Freddie Mac - continued | ||||
4.974% 10/1/36 (j) | $ 1,203 | $ 1,233 | ||
5% 3/1/18 to 7/1/19 | 18,860 | 18,891 | ||
5.022% 4/1/35 (j) | 103 | 104 | ||
5.023% 1/1/37 (j) | 4,927 | 4,969 | ||
5.025% 4/1/35 (j) | 2,212 | 2,231 | ||
5.027% 7/1/35 (j) | 3,207 | 3,253 | ||
5.115% 4/1/35 (j) | 2,141 | 2,185 | ||
5.126% 7/1/35 (j) | 838 | 847 | ||
5.276% 2/1/36 (j) | 59 | 59 | ||
5.309% 12/1/33 (j) | 1,748 | 1,759 | ||
5.332% 9/1/35 (j) | 596 | 602 | ||
5.406% 3/1/37 (j) | 328 | 333 | ||
5.485% 1/1/36 (j) | 778 | 790 | ||
5.5% 8/1/14 to 6/1/20 | 34,127 | 34,609 | ||
5.548% 4/1/37 (j) | 457 | 466 | ||
5.592% 3/1/36 (j) | 4,122 | 4,188 | ||
5.748% 5/1/37 (j) | 4,529 | 4,607 | ||
5.749% 10/1/35 (j) | 278 | 282 | ||
5.759% 1/1/36 (j) | 350 | 356 | ||
5.782% 3/1/37 (j) | 2,204 | 2,245 | ||
5.799% 6/1/37 (j) | 1,581 | 1,611 | ||
5.802% 4/1/37 (j) | 2,059 | 2,094 | ||
5.817% 5/1/37 (j) | 2,551 | 2,596 | ||
5.825% 5/1/37 (j) | 347 | 354 | ||
5.829% 5/1/37 (j) | 714 | 726 | ||
5.941% 4/1/36 (j) | 7,174 | 7,323 | ||
6% 7/1/16 to 2/1/19 | 8,258 | 8,519 | ||
6.021% 6/1/36 (j) | 758 | 774 | ||
6.136% 6/1/37 (j) | 409 | 419 | ||
6.141% 2/1/37 (j) | 644 | 658 | ||
6.143% 1/1/37 (j) | 1,752 | 1,787 | ||
6.154% 12/1/36 (j) | 4,548 | 4,656 | ||
6.191% 7/1/36 (j) | 4,607 | 4,723 | ||
6.224% 5/1/36 (j) | 639 | 655 | ||
6.273% 12/1/36 (j) | 1,392 | 1,428 | ||
6.378% 7/1/36 (j) | 742 | 762 | ||
6.417% 6/1/37 (j) | 169 | 174 | ||
6.484% 9/1/36 (j) | 3,512 | 3,613 | ||
6.5% 10/1/10 to 3/1/36 | 13,277 | 13,795 | ||
6.656% 8/1/37 (j) | 1,182 | 1,220 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Freddie Mac - continued | ||||
7.581% 4/1/37 (j) | $ 180 | $ 186 | ||
8.5% 3/1/20 | 10 | 11 | ||
TOTAL FREDDIE MAC | 168,410 | |||
Government National Mortgage Association - 0.0% | ||||
6% 1/15/09 to 5/15/09 | 6 | 6 | ||
6.5% 4/15/26 to 5/15/26 | 42 | 44 | ||
7% 9/15/25 to 8/15/31 | 66 | 70 | ||
7.5% 2/15/22 to 8/15/28 | 123 | 132 | ||
8% 9/15/26 to 12/15/26 | 23 | 25 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 277 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $423,925) | 429,271 | |||
Asset-Backed Securities - 0.4% | ||||
| ||||
Amstel Corp. Loan Offering BV: | ||||
Series 2006-1 Class C, 5.335% 5/25/16 (j) | EUR | 500 | 700 | |
Series 2007-1: | ||||
Class B, 5.228% 3/25/17 (j) | EUR | 1,100 | 1,623 | |
Class C, 5.408% 3/25/17 (j) | EUR | 800 | 1,139 | |
Auto ABS Compartiment Series 2006-1 Class B, 5.079% 7/25/17 (j) | EUR | 1,000 | 1,408 | |
Clock Finance BV Series 2007-1: | ||||
Class B2, 5.027% 2/25/15 (j) | EUR | 700 | 960 | |
Class C2, 5.027% 2/25/15 (j) | EUR | 400 | 510 | |
FCC SPARC Series 2007-1 Class D, 6.817% 7/15/10 (j) | EUR | 500 | 786 | |
Geldilux Ltd. Series 2007-TS Class C, 5.214% 9/8/14 (j) | EUR | 400 | 540 | |
GLS Ltd. Series 2006-1 Class C, 5.427% 7/15/14 (j) | EUR | 500 | 747 | |
Greene King Finance PLC Series A1, 6.335% 6/15/31 (j) | GBP | 1,000 | 1,759 | |
Lambda Finance BV Series 2005-1X Class C1, 6.46% 11/15/29 (j) | GBP | 500 | 841 | |
Leek Finance PLC: | ||||
Series 17X Class A2A, 6.0919% 12/21/37 (j) | GBP | 300 | 567 | |
Series 18X Class BC, 5.361% 9/21/38 (j) | EUR | 600 | 759 | |
Asset-Backed Securities - continued | ||||
| Principal | Value (000s) | ||
Mermaid Secured Finance Ltd. Series 2007-1: | ||||
Class C, 5.148% 1/30/40 (j) | EUR | 400 | $ 582 | |
Class D, 5.348% 1/30/40 (j) | EUR | 550 | 787 | |
Prime Bricks Series 2007-1: | ||||
Class B, 5.148% 1/30/40 (j) | EUR | 550 | 803 | |
Class C, 5.438% 1/30/40 (j) | EUR | 450 | 643 | |
Promise K 2006-1 GmbH Series I 2006-1 Class D, 5.637% 3/10/17 (j) | EUR | 1,000 | 1,290 | |
Provide Bricks Series 2007-1 Class B, 4.738% 1/30/40 (j) | EUR | 1,400 | 2,078 | |
Sedna Finance Corp. 5.581% 12/23/14 (j) | EUR | 500 | 61 | |
Southern Gas Networks PLC Class A1, 5.024% 10/21/10 (j) | EUR | 1,050 | 1,633 | |
Stichting Mars Series 2006 Class C, 5.167% 8/28/14 (j) | EUR | 1,000 | 1,323 | |
Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27 | GBP | 60 | 100 | |
Volkswagen Car Lease Series 9 Class B, 4.624% 4/21/12 (Reg. S) (j) | EUR | 341 | 528 | |
Whinstone Capital Management Ltd. Series 2005-1X Class B1, 6.7775% 10/25/45 (j) | GBP | 526 | 840 | |
TOTAL ASSET-BACKED SECURITIES (Cost $22,530) | 23,007 | |||
Collateralized Mortgage Obligations - 3.1% | ||||
| ||||
Private Sponsor - 0.2% | ||||
Arkle Master Issuer PLC: | ||||
floater Series 2006-1X Class 5M1, 5.13% 2/17/52 (j) | EUR | 800 | 1,107 | |
Series 2006-1X Class 2C, 5.21% 2/17/52 (j) | EUR | 950 | 1,480 | |
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1X Class DC, 5.174% 4/12/56 (j) | EUR | 650 | 875 | |
EPIC PLC Series BROD Class D, 5.274% 1/22/16 (j) | EUR | 297 | 411 | |
Holmes Financing No. 8 PLC floater Series 3 Class C, 5.597% 7/15/40 (j) | EUR | 333 | 519 | |
RMAC PLC Series 2005-NS4X Class M2A, 6.48% 12/12/43 (j) | GBP | 1,541 | 2,817 | |
RMAC Securities PLC 2006 floater Series 2006-NS4X Class M1A, 6.22% 6/12/44 (j) | GBP | 1,250 | 2,032 | |
Shield BV Series 1 Class C, 5.174% 1/20/14 (j) | EUR | 1,500 | 2,192 | |
TOTAL PRIVATE SPONSOR | 11,433 | |||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - 2.9% | ||||
Fannie Mae: | ||||
floater Series 2007-95 Class A1, 2.7325% 8/27/36 (j) | $ 9,432 | $ 9,368 | ||
planned amortization class Series 2002-83 Class ME, 5% 12/25/17 | 8,925 | 8,832 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
planned amortization class: | ||||
Series 2001-68 Class QZ, 5.5% 12/25/16 | 1,371 | 1,387 | ||
Series 2002-11: | ||||
Class QC, 5.5% 3/25/17 | 3,047 | 3,077 | ||
Class UC, 6% 3/25/17 | 2,164 | 2,219 | ||
Series 2002-18 Class PC, 5.5% 4/25/17 | 4,075 | 4,128 | ||
Series 2002-61 Class PG, 5.5% 10/25/17 | 4,712 | 4,755 | ||
Series 2002-71 Class UC, 5% 11/25/17 | 7,520 | 7,488 | ||
Series 2002-9 Class PC, 6% 3/25/17 | 216 | 220 | ||
Series 2003-113: | ||||
Class PD, 4% 2/25/17 | 4,890 | 4,843 | ||
Class PE, 4% 11/25/18 | 1,515 | 1,416 | ||
Series 2003-122 Class OL, 4% 12/25/18 | 2,120 | 1,997 | ||
Series 2003-128 Class NE, 4% 12/25/16 | 2,550 | 2,520 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 890 | 830 | ||
Series 2003-85 Class GD, 4.5% 9/25/18 | 3,190 | 3,105 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 1,980 | 1,942 | ||
Series 2004-81: | ||||
Class KC, 4.5% 4/25/17 | 1,395 | 1,402 | ||
Class KD, 4.5% 7/25/18 | 3,035 | 2,991 | ||
Series 2005-52 Class PB, 6.5% 12/25/34 | 3,863 | 4,016 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 761 | 769 | ||
Series 2003-18 Class EY, 5% 6/25/17 | 2,973 | 2,991 | ||
Series 2004-95 Class AN, 5.5% 1/25/25 | 1,958 | 1,982 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 808 | 719 | ||
Series 2005-29 Class KA, 4.5% 2/25/35 | 2,589 | 2,561 | ||
Series 2005-47 Class AK, 5% 6/25/20 | 7,595 | 7,519 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 2,480 | 2,481 | ||
Freddie Mac planned amortization class: | ||||
Series 2101 Class PD, 6% 11/15/28 | 396 | 399 | ||
Series 2115 Class PE, 6% 1/15/14 | 158 | 162 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2577 Class FW, 2.9713% 1/15/30 (j) | 5,422 | 5,390 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
Series 2630 Class FL, 2.9713% 6/15/18 (j) | $ 104 | $ 105 | ||
Series 2861 Class GF, 2.7713% 1/15/21 (j) | 3,285 | 3,271 | ||
planned amortization class: | ||||
Series 2376 Class JE, 5.5% 11/15/16 | 803 | 813 | ||
Series 2378 Class PE, 5.5% 11/15/16 | 4,542 | 4,596 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 652 | 660 | ||
Series 2390 Class CH, 5.5% 12/15/16 | 2,097 | 2,123 | ||
Series 2425 Class JH, 6% 3/15/17 | 1,106 | 1,136 | ||
Series 2628: | ||||
Class OE, 4.5% 6/15/18 | 1,630 | 1,585 | ||
Class OP, 3.5% 11/15/13 | 290 | 290 | ||
Series 2695 Class DG, 4% 10/15/18 | 3,865 | 3,646 | ||
Series 2770 Class UD, 4.5% 5/15/17 | 5,845 | 5,779 | ||
Series 2773 Class EG, 4.5% 4/15/19 | 14,395 | 13,835 | ||
Series 2831 Class PB, 5% 7/15/19 | 3,990 | 3,965 | ||
Series 2866 Class XE, 4% 12/15/18 | 4,450 | 4,370 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 812 | 824 | ||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | 1,143 | 1,162 | ||
Series 2467 Class NB, 5% 7/15/17 | 1,610 | 1,615 | ||
Series 2546 Class C, 5% 12/15/17 | 2,679 | 2,675 | ||
Series 2569 Class HB, 5% 9/15/16 | 4,694 | 4,727 | ||
Series 2570 Class CU, 4.5% 7/15/17 | 309 | 306 | ||
Series 2572 Class HK, 4% 2/15/17 | 442 | 437 | ||
Series 2617 Class GW, 3.5% 6/15/16 | 301 | 301 | ||
Series 2627: | ||||
Class BG, 3.25% 6/15/17 | 207 | 200 | ||
Class KP, 2.87% 12/15/16 | 210 | 203 | ||
Series 2685 Class ND, 4% 10/15/18 | 1,745 | 1,630 | ||
Series 2773 Class TA, 4% 11/15/17 | 2,689 | 2,652 | ||
Series 2849 Class AL, 5% 5/15/18 | 1,465 | 1,472 | ||
Series 2860 Class CP, 4% 10/15/17 | 378 | 375 | ||
Series 2930 Class KT, 4.5% 2/15/20 | 7,833 | 7,288 | ||
Series 2937 Class HJ, 5% 10/15/19 | 1,500 | 1,506 | ||
Series 3266: | ||||
Class C, 5% 2/15/20 | 1,456 | 1,467 | ||
Class D, 5% 1/15/22 | 15,423 | 15,129 | ||
Series 3401 Class EB, 5% 12/15/22 | 1,823 | 1,758 | ||
Series 2564 Class BQ, 5.5% 10/15/17 | 2,666 | 2,694 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
Series 2715 Class NG, 4.5% 12/15/18 | $ 2,155 | $ 2,074 | ||
Series 2863 Class DB, 4% 9/15/14 | 243 | 235 | ||
Series 2975 Class NA, 5% 7/15/23 | 1,121 | 1,131 | ||
TOTAL U.S. GOVERNMENT AGENCY | 189,544 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $198,892) | 200,977 | |||
Commercial Mortgage Securities - 0.3% | ||||
| ||||
Bruntwood Alpha PLC Series 2007-1 Class C, 6.4194% 1/15/17 (j) | GBP | 700 | 1,106 | |
Canary Wharf Finance II PLC Series 3MUK Class C2, 6.4338% 10/22/37 (j) | GBP | 1,000 | 1,546 | |
European Property Capital Series 4 Class C, 6.165% 7/20/14 (j) | GBP | 297 | 541 | |
German Residential Asset Note Distributor PLC Series 1 Class A, 5.024% 7/20/16 (j) | EUR | 1,300 | 1,945 | |
JLOC 36 LLC Reg. S: | ||||
Class A1, 1.1738% 2/16/16 (j) | JPY | 74,280 | 693 | |
Class B, 1.3438% 2/16/16 (j) | JPY | 76,340 | 705 | |
JLOC 37 LLC (Reg. S) Series X Class B1, 1.3125% 1/15/15 (j) | JPY | 92,653 | 863 | |
London & Regional Debt Securitisation No. 1 PLC Class A, 6.1394% 10/15/14 (j) | GBP | 650 | 1,192 | |
Opera Finance (CMH) PLC Class B, 5.047% 1/15/15 (j) | EUR | 1,100 | 1,534 | |
Opera Finance PLC 5.83% 7/31/13 (j) | GBP | 983 | 1,891 | |
Paris Prime Community Real Estate Series 2006-1 Class B, 5.044% 4/22/14 (g)(j) | EUR | 721 | 1,047 | |
Real Estate Capital Foundation Ltd. Series 3 Class A, 6.1294% 7/15/16 (j) | GBP | 2,000 | 3,559 | |
Rivoli Pan Europe PLC Series 2006-1 Class B 5.137% 8/3/18 (j) | EUR | 650 | 888 | |
Silver Maple Investment Co. Ltd. Class 2A, 4.543% 4/30/14 (j) | EUR | 700 | 1,014 | |
Skyline BV Series 2007-1 Class D, 5.604% 7/22/43 (j) | EUR | 1,100 | 1,290 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $19,770) | 19,814 | |||
Foreign Government and Government Agency Obligations - 22.6% | ||||
| Principal | Value (000s) | ||
Arab Republic of Egypt 8.75% 7/18/12 (g) | EGP | 18,200 | $ 3,184 | |
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 7,711 | 5,880 | ||
par 1.33% 12/31/38 (j) | 10,190 | 3,465 | ||
7% 3/28/11 | 88,425 | 75,704 | ||
7% 9/12/13 | 51,560 | 38,806 | ||
Austrian Republic 5% 12/20/24 (g) | CAD | 2,000 | 2,004 | |
Banco Central del Uruguay: | ||||
value recovery A rights 1/2/21 (a)(l) | 1,000,000 | 0 | ||
value recovery B rights 1/2/21 (a)(l) | 750,000 | 0 | ||
Belgian Kingdom 5% 3/28/35 | EUR | 4,125 | 6,371 | |
Brazilian Federative Republic: | ||||
6% 9/15/13 | 1,558 | 1,566 | ||
6% 1/17/17 | 2,035 | 2,078 | ||
8.25% 1/20/34 | 5,050 | 6,242 | ||
8.75% 2/4/25 | 3,340 | 4,225 | ||
10% 1/1/10 | BRL | 2,607 | 1,521 | |
12.25% 3/6/30 | 7,410 | 12,597 | ||
12.5% 1/5/16 | BRL | 1,340 | 827 | |
12.75% 1/15/20 | 2,410 | 3,826 | ||
British Columbia Province 5.7% 6/18/29 | CAD | 12,000 | 13,246 | |
Canadian Government: | ||||
3.75% 6/1/09 | CAD | 73,350 | 72,341 | |
4% 6/1/17 | CAD | 64,250 | 64,259 | |
5% 6/1/37 | CAD | 25,000 | 28,315 | |
Central Bank of Nigeria: | ||||
promissory note 5.092% 1/5/10 | 1,881 | 1,800 | ||
warrants 11/15/20 (a)(l) | 2,750 | 597 | ||
Colombian Republic 7.375% 9/18/37 | 5,225 | 5,643 | ||
Democratic Socialist Republic of Sri Lanka 8.25% 10/24/12 (g) | 4,265 | 3,828 | ||
Dominican Republic: | ||||
3.6713% 8/30/24 (j) | 4,323 | 4,210 | ||
9.04% 1/23/18 (g) | 8,356 | 8,606 | ||
9.5% 9/27/11 (Reg. S) | 4,031 | 4,152 | ||
Ecuador Republic: | ||||
5% 2/28/25 | 1,580 | 1,134 | ||
10% 8/15/30 (Reg. S) | 12,040 | 11,739 | ||
12% 11/15/12 (Reg. S) | 2,093 | 2,135 | ||
French Republic: | ||||
3.75% 1/12/13 | EUR | 20,000 | 30,163 | |
5.5% 4/25/29 | EUR | 910 | 1,521 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
French Republic: - continued | ||||
5.75% 10/25/32 | EUR | 7,150 | $ 12,375 | |
Gabonese Republic 8.2% 12/12/17 (g) | 10,285 | 10,619 | ||
Georgia Republic 7.5% 4/15/13 | 730 | 719 | ||
German Federal Republic: | ||||
Inflation-Indexed Bond 2.25% 4/15/13 | EUR | 36,784 | 58,402 | |
3.5% 4/12/13 | EUR | 48,600 | 72,783 | |
3.75% 1/4/15 | EUR | 11,000 | 16,476 | |
4% 4/13/12 | EUR | 5,650 | 8,695 | |
4.25% 1/4/14 | EUR | 40,140 | 62,000 | |
4.25% 7/4/39 | EUR | 6,785 | 9,651 | |
5.625% 1/4/28 | EUR | 31,250 | 53,310 | |
Ghana Republic 8.5% 10/4/17 (g) | 6,575 | 6,591 | ||
Greek Government: | ||||
4.5% 9/20/37 | EUR | 7,000 | 9,370 | |
4.6% 7/20/18 | EUR | 9,225 | 13,737 | |
Indonesian Republic: | ||||
6.625% 2/17/37 (g) | 3,550 | 2,938 | ||
6.75% 3/10/14 (g) | 2,030 | 1,994 | ||
7.5% 1/15/16 (g) | 1,815 | 1,820 | ||
7.75% 1/17/38 (g) | 4,235 | 3,981 | ||
8.5% 10/12/35 (Reg. S) | 2,640 | 2,713 | ||
Islamic Republic of Pakistan: | ||||
6.75% 2/19/09 | 12,055 | 11,693 | ||
7.125% 3/31/16 (g) | 3,975 | 2,902 | ||
Italian Republic 4.5% 8/1/18 | EUR | 22,200 | 34,757 | |
Japan Government: | ||||
Inflation-Indexed Bond 1.1% 12/10/16 | JPY | 5,416,580 | 51,199 | |
0.5% 7/20/20 (j) | JPY | 825,000 | 7,071 | |
0.9% 12/22/08 | JPY | 250,000 | 2,358 | |
1.1% 12/20/12 | JPY | 6,300,000 | 59,255 | |
1.3% 9/20/12 | JPY | 700,000 | 6,649 | |
1.5% 3/20/14 | JPY | 1,935,000 | 18,475 | |
2.1% 9/20/27 | JPY | 1,000,000 | 9,288 | |
2.5% 9/20/37 | JPY | 1,880,000 | 18,003 | |
Lebanese Republic: | ||||
6.1088% 11/30/09 (g)(j) | 2,180 | 2,136 | ||
6.1088% 11/30/09 (Reg. S) (j) | 9,470 | 9,281 | ||
7.125% 3/5/10 | 1,140 | 1,123 | ||
7.5% 8/2/11 | 500 | 491 | ||
7.875% 5/20/11 (Reg. S) | 4,500 | 4,466 | ||
8.625% 6/20/13 (Reg. S) | 7,310 | 7,365 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Lebanese Republic: - continued | ||||
10.125% 8/6/08 | $ 4,140 | $ 4,161 | ||
Peruvian Republic 3% 3/7/27 (f) | 900 | 704 | ||
Philippine Republic: | ||||
9.5% 2/2/30 | 5,355 | 6,520 | ||
10.625% 3/16/25 | 5,075 | 6,661 | ||
Polish Government 5.625% 6/20/18 | EUR | 9,225 | 14,504 | |
Republic of Fiji 6.875% 9/13/11 | 3,310 | 3,012 | ||
Republic of Serbia 3.75% 11/1/24 (f)(g) | 9,795 | 9,011 | ||
Russian Federation: | ||||
7.5% 3/31/30 (g) | 3,842 | 4,302 | ||
7.5% 3/31/30 (Reg. S) | 41,198 | 46,141 | ||
12.75% 6/24/28 (Reg. S) | 7,325 | 12,932 | ||
Turkish Republic: | ||||
6.75% 4/3/18 | 8,735 | 8,124 | ||
6.875% 3/17/36 | 11,960 | 9,882 | ||
7% 9/26/16 | 6,190 | 5,927 | ||
7.25% 3/15/15 | 4,320 | 4,261 | ||
7.25% 3/5/38 | 6,850 | 5,882 | ||
7.375% 2/5/25 | 10,955 | 10,106 | ||
11.875% 1/15/30 | 4,450 | 6,252 | ||
14% 1/19/11 | TRY | 4,665 | 3,243 | |
UK Treasury GILT: | ||||
4% 3/7/09 | GBP | 500 | 989 | |
4.25% 3/7/36 | GBP | 2,330 | 4,277 | |
4.5% 12/7/42 | GBP | 17,475 | 33,803 | |
5% 3/7/18 | GBP | 31,750 | 62,533 | |
5% 3/7/25 | GBP | 14,130 | 27,692 | |
8% 6/7/21 | GBP | 7,045 | 17,614 | |
Ukraine Government: | ||||
6.385% 6/26/12 (g) | 2,000 | 1,900 | ||
6.75% 11/14/17 (g) | 17,180 | 15,097 | ||
United Mexican States: | ||||
7.5% 4/8/33 | 2,845 | 3,282 | ||
8.3% 8/15/31 | 3,170 | 3,955 | ||
Uruguay Republic: | ||||
Inflation-Indexed Bond 5% 9/14/18 | UYU | 35,667 | 2,052 | |
8% 11/18/22 | 6,062 | 6,486 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (l) | 3,260 | 116 | ||
3.9075% 4/20/11 (Reg. S) (j) | 12,600 | 11,309 | ||
5.375% 8/7/10 (Reg. S) | 5,440 | 5,149 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Venezuelan Republic: - continued | ||||
7% 3/31/38 | $ 3,920 | $ 2,783 | ||
8.5% 10/8/14 | 8,575 | 8,103 | ||
9% 5/7/23 (Reg. S) | 3,535 | 3,091 | ||
9.25% 9/15/27 | 16,795 | 15,745 | ||
9.375% 1/13/34 | 4,855 | 4,406 | ||
10.75% 9/19/13 | 21,608 | 22,526 | ||
13.625% 8/15/18 | 9,480 | 11,708 | ||
Vietnamese Socialist Republic: | ||||
4% 3/12/28 (f) | 1,890 | 1,588 | ||
6.875% 1/15/16 (g) | 5,525 | 5,345 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,449,064) | 1,449,845 | |||
Supranational Obligations - 0.1% | ||||
| ||||
European Investment Bank 4.75% 10/15/17 | EUR | 2,200 | 3,398 | |
Inter-American Development Bank 6.625% 4/17/17 | PEN | 5,600 | 1,819 | |
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $5,185) | 5,217 |
Common Stocks - 0.1% | |||
Shares |
| ||
CONSUMER DISCRETIONARY - 0.0% | |||
Auto Components - 0.0% | |||
Intermet Corp. (a)(m) | 113,725 | 0 | |
Remy International, Inc. (a) | 40,800 | 1,051 | |
Hotels, Restaurants & Leisure - 0.0% | |||
Centerplate, Inc. unit | 165,925 | 801 | |
Media - 0.0% | |||
Virgin Media, Inc. warrants 1/10/11 (a) | 6 | 0 | |
TOTAL CONSUMER DISCRETIONARY | 1,852 | ||
INDUSTRIALS - 0.1% | |||
Aerospace & Defense - 0.0% | |||
DigitalGlobe, Inc. (a)(g) | 895 | 2 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
INDUSTRIALS - continued | |||
Airlines - 0.1% | |||
Delta Air Lines, Inc. (a) | 593,040 | $ 3,380 | |
Northwest Airlines Corp. (a) | 136,025 | 906 | |
| 4,286 | ||
TOTAL INDUSTRIALS | 4,288 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
ASAT Holdings Ltd. warrants 2/1/11 (a)(m) | 546,000 | 9 | |
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | 164 | |
TOTAL COMMON STOCKS (Cost $16,888) | 6,313 | ||
Preferred Stocks - 0.1% | |||
|
|
|
|
Convertible Preferred Stocks - 0.0% | |||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
Celanese Corp. 4.25% | 6,600 | 384 | |
Nonconvertible Preferred Stocks - 0.1% | |||
TELECOMMUNICATION SERVICES - 0.1% | |||
Diversified Telecommunication Services - 0.0% | |||
PTV, Inc. Series A, 10.00% | 119 | 0 | |
Wireless Telecommunication Services - 0.1% | |||
Rural Cellular Corp. 12.25% pay-in-kind | 5,078 | 6,348 | |
TOTAL PREFERRED STOCKS (Cost $5,903) | 6,732 |
Floating Rate Loans - 2.7% | ||||
| Principal | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.8% | ||||
Automobiles - 0.1% | ||||
AM General LLC: | ||||
Tranche B, term loan 5.6463% 9/30/13 (j) | $ 3,430 | $ 3,147 | ||
5.475% 9/30/12 (j) | 132 | 121 | ||
| 3,268 | |||
Diversified Consumer Services - 0.1% | ||||
Affinion Group Holdings, Inc. term loan 9.2669% 3/1/12 (j) | 4,150 | 3,465 | ||
Hotels, Restaurants & Leisure - 0.0% | ||||
Green Valley Ranch Gaming LLC Tranche 1LN, term loan 4.7021% 2/16/14 (j) | 143 | 121 | ||
OSI Restaurant Partners, Inc.: | ||||
Credit-Linked Deposit 5.0263% 6/14/13 (j) | 41 | 35 | ||
term loan 5.125% 6/14/14 (j) | 478 | 406 | ||
Six Flags, Inc. Tranche B, term loan 4.8733% 4/30/15 (j) | 723 | 636 | ||
| 1,198 | |||
Media - 0.4% | ||||
Advanstar, Inc. Tranche 2LN, term loan 7.8006% 11/30/14 (j) | 380 | 266 | ||
Discovery Communications, Inc. term loan 4.8006% 5/14/14 (j) | 1,040 | 1,019 | ||
Education Media and Publishing Group Ltd. Tranche 2LN, term loan 11.975% 12/12/14 (j) | 18,423 | 15,291 | ||
PanAmSat Corp. term loan: | ||||
9.25% 8/15/14 | 5,215 | 5,078 | ||
9.25% 6/15/16 | 4,515 | 4,368 | ||
| 26,022 | |||
Multiline Retail - 0.0% | ||||
Neiman Marcus Group, Inc. term loan 4.4219% 4/6/13 (j) | 2,008 | 1,912 | ||
Specialty Retail - 0.1% | ||||
Claire's Stores, Inc. term loan 5.4452% 5/29/14 (j) | 4,406 | 3,194 | ||
Michaels Stores, Inc. term loan 4.8716% 10/31/13 (j) | 5,098 | 4,232 | ||
Sally Holdings LLC Tranche B, term loan 5.0902% 11/16/13 (j) | 737 | 711 | ||
Toys 'R' US, Inc. term loan 5.4594% 12/9/08 (j) | 1,595 | 1,499 | ||
| 9,636 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
CONSUMER DISCRETIONARY - continued | ||||
Textiles, Apparel & Luxury Goods - 0.1% | ||||
Hanesbrands, Inc.: | ||||
term loan 6.6569% 3/5/14 (j) | $ 1,650 | $ 1,627 | ||
Tranche B 1LN, term loan 4.6377% 9/5/13 (j) | 3,703 | 3,578 | ||
| 5,205 | |||
TOTAL CONSUMER DISCRETIONARY | 50,706 | |||
CONSUMER STAPLES - 0.0% | ||||
Beverages - 0.0% | ||||
Constellation Brands, Inc. Tranche B, term loan 4.1432% 6/5/13 (j) | 1,096 | 1,058 | ||
Food & Staples Retailing - 0.0% | ||||
Rite Aid Corp. Tranche ABL, term loan 4.2266% 6/4/14 (j) | 2,693 | 2,370 | ||
TOTAL CONSUMER STAPLES | 3,428 | |||
ENERGY - 0.1% | ||||
Energy Equipment & Services - 0.0% | ||||
Compagnie Generale de Geophysique SA term loan 4.6568% 1/12/14 (j) | 566 | 556 | ||
Helix Energy Solutions Group, Inc. term loan 4.6955% 7/1/13 (j) | 691 | 670 | ||
| 1,226 | |||
Oil, Gas & Consumable Fuels - 0.1% | ||||
Coffeyville Resources LLC: | ||||
Credit-Linked Deposit 5.9475% 12/28/10 (j) | 532 | 495 | ||
Tranche D, term loan 5.4495% 12/28/13 (j) | 1,726 | 1,605 | ||
Targa Resources, Inc./Targa Resources Finance Corp.: | ||||
Credit-Linked Deposit 4.6963% 10/31/12 (j) | 540 | 528 | ||
term loan 4.6539% 10/31/12 (j) | 951 | 930 | ||
Venoco, Inc. Tranche 2LN, term loan 6.6875% 5/7/14 (j) | 410 | 398 | ||
| 3,956 | |||
TOTAL ENERGY | 5,182 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
FINANCIALS - 0.3% | ||||
Consumer Finance - 0.2% | ||||
DaimlerChrysler Financial Services Tranche 2LN, term loan 9.28% 8/3/13 (j) | $ 12,980 | $ 8,826 | ||
Diversified Financial Services - 0.0% | ||||
MGM Holdings II, Inc. Tranche B, term loan 6.0506% 4/8/12 (j) | 2,258 | 1,829 | ||
Real Estate Management & Development - 0.1% | ||||
Realogy Corp.: | ||||
Credit-Linked Deposit 5.71% 10/10/13 (j) | 1,791 | 1,514 | ||
Tranche B, term loan 5.475% 10/10/13 (j) | 6,653 | 5,622 | ||
| 7,136 | |||
TOTAL FINANCIALS | 17,791 | |||
HEALTH CARE - 0.1% | ||||
Health Care Equipment & Supplies - 0.0% | ||||
Bausch & Lomb, Inc. term loan: | ||||
6.0506% 4/26/15 (j)(n) | 176 | 172 | ||
6.0506% 4/26/15 (j) | 700 | 685 | ||
| 857 | |||
Health Care Providers & Services - 0.1% | ||||
Community Health Systems, Inc.: | ||||
term loan 4.8591% 7/25/14 (j) | 5,941 | 5,585 | ||
Tranche DD, term loan 7/25/14 (n) | 304 | 286 | ||
Health Management Associates, Inc. Tranche B, term loan 4.5506% 2/28/14 (j) | 905 | 840 | ||
| 6,711 | |||
TOTAL HEALTH CARE | 7,568 | |||
INDUSTRIALS - 0.2% | ||||
Aerospace & Defense - 0.0% | ||||
DeCrane Aircraft Holdings, Inc.: | ||||
Tranche 1LN, term loan 5.4775% 2/21/13 (j) | 85 | 78 | ||
Tranche 2LN, term loan 9.7275% 2/21/14 (j) | 140 | 131 | ||
Wesco Aircraft Hardware Corp.: | ||||
Tranche 1LN, term loan 5.06% 9/29/13 (j) | 165 | 160 | ||
Tranche 2LN, term loan 8.56% 3/28/14 (j) | 70 | 68 | ||
| 437 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
INDUSTRIALS - continued | ||||
Commercial Services & Supplies - 0.1% | ||||
Allied Waste Industries, Inc.: | ||||
Credit-Linked Deposit 6.1% 3/28/14 (j) | $ 210 | $ 208 | ||
term loan 4.2683% 3/28/14 (j) | 349 | 345 | ||
ARAMARK Corp.: | ||||
Credit-Linked Deposit 4.7213% 1/26/14 (j) | 126 | 119 | ||
term loan 4.6756% 1/26/14 (j) | 1,990 | 1,870 | ||
Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 8.8375% 2/7/15 (j) | 650 | 583 | ||
| 3,125 | |||
Industrial Conglomerates - 0.0% | ||||
Walter Industries, Inc. term loan 5.6199% 10/3/12 (j) | 62 | 60 | ||
Machinery - 0.1% | ||||
Chart Industries, Inc. Tranche B, term loan 4.4847% 10/17/12 (j) | 53 | 51 | ||
Dresser, Inc.: | ||||
Tranche 2LN, term loan 8.4688% 5/4/15 pay-in-kind (j) | 4,050 | 3,898 | ||
Tranche B 1LN, term loan 5.215% 5/4/14 (j) | 526 | 505 | ||
Navistar International Corp.: | ||||
term loan 6.2336% 1/19/12 (j) | 2,310 | 2,171 | ||
Credit-Linked Deposit 6.1494% 1/19/12 (j) | 840 | 800 | ||
| 7,425 | |||
Trading Companies & Distributors - 0.0% | ||||
Neff Corp. Tranche 2LN, term loan 6.3969% 11/30/14 (j) | 810 | 551 | ||
VWR Funding, Inc. term loan 4.9825% 6/29/14 (j) | 1,440 | 1,318 | ||
| 1,869 | |||
TOTAL INDUSTRIALS | 12,916 | |||
INFORMATION TECHNOLOGY - 0.5% | ||||
Electronic Equipment & Instruments - 0.2% | ||||
Flextronics International Ltd.: | ||||
Tranche B-A, term loan 4.947% 10/1/14 (j) | 5,232 | 4,787 | ||
Tranche B-A1, term loan 4.9631% 10/1/14 (j) | 1,500 | 1,372 | ||
Tranche B-B, term loan 4.9475% 10/1/12 (j) | 6,058 | 5,694 | ||
| 11,853 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
INFORMATION TECHNOLOGY - continued | ||||
IT Services - 0.0% | ||||
Affiliated Computer Services, Inc. Tranche B2, term loan 4.4653% 3/20/13 (j) | $ 3,591 | $ 3,475 | ||
Semiconductors & Semiconductor Equipment - 0.2% | ||||
Freescale Semiconductor, Inc. term loan 4.2094% 12/1/13 (j) | 11,812 | 10,571 | ||
Software - 0.1% | ||||
Kronos, Inc.: | ||||
Tranche 1LN, term loan 5.0506% 6/11/14 (j) | 3,892 | 3,600 | ||
Tranche 2LN, term loan 8.5506% 6/11/15 (j) | 1,790 | 1,530 | ||
Open Solutions, Inc. term loan 5.145% 1/23/14 (j) | 237 | 210 | ||
| 5,340 | |||
TOTAL INFORMATION TECHNOLOGY | 31,239 | |||
MATERIALS - 0.4% | ||||
Chemicals - 0.1% | ||||
Celanese Holding LLC: | ||||
Revolving Credit-Linked Deposit 3.9575% 4/2/13 (j) | 206 | 195 | ||
term loan 4.1881% 4/2/14 (j) | 1,123 | 1,058 | ||
Momentive Performance Materials, Inc. Tranche B1, term loan 4.75% 12/4/13 (j) | 1,016 | 917 | ||
Solutia, Inc. term loan 15.5% 2/28/09 (j) | 2,764 | 2,723 | ||
| 4,893 | |||
Containers & Packaging - 0.1% | ||||
Berry Plastics Holding Corp. Tranche C, term loan 4.7844% 4/3/15 (j) | 4,849 | 4,400 | ||
Metals & Mining - 0.1% | ||||
Aleris International, Inc. term loan 4.5661% 12/19/13 (j) | 2,778 | 2,389 | ||
Novelis Corp. term loan 4.7% 7/6/14 (j) | 4,455 | 4,255 | ||
| 6,644 | |||
Paper & Forest Products - 0.1% | ||||
Boise Paper Holdings LLC Tranche 2LN, term loan 11% 2/22/15 (j) | 7,260 | 6,879 | ||
White Birch Paper Co. Tranche 1LN, term loan 5.56% 5/8/14 (j) | 1,491 | 1,081 | ||
| 7,960 | |||
TOTAL MATERIALS | 23,897 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
TELECOMMUNICATION SERVICES - 0.2% | ||||
Diversified Telecommunication Services - 0.2% | ||||
Intelsat Bermuda Ltd. term loan 5.2% 2/1/14 (j) | $ 1,880 | $ 1,889 | ||
Paetec Communications, Inc. Tranche B, term loan 4.9825% 2/28/13 (j) | 301 | 287 | ||
Wind Telecomunicazioni SpA: | ||||
term loan 9.9838% 12/12/11 pay-in-kind (j) | 5,347 | 5,038 | ||
Tranche 2, term loan 11.3194% 3/21/15 (j) | 2,840 | 2,812 | ||
Tranche B, term loan 5.01% 9/21/13 (j) | 1,280 | 1,229 | ||
Tranche C, term loan 5.76% 9/21/14 (j) | 1,280 | 1,229 | ||
| 12,484 | |||
Wireless Telecommunication Services - 0.0% | ||||
Leap Wireless International, Inc. Tranche B, term loan 6.3006% 6/16/13 (j) | 617 | 607 | ||
MetroPCS Wireless, Inc. Tranche B, term loan 4.9886% 11/3/13 (j) | 1,434 | 1,373 | ||
| 1,980 | |||
TOTAL TELECOMMUNICATION SERVICES | 14,464 | |||
UTILITIES - 0.1% | ||||
Independent Power Producers & Energy Traders - 0.1% | ||||
NRG Energy, Inc.: | ||||
term loan 4.1963% 2/1/13 (j) | 4,196 | 3,934 | ||
4.4506% 2/1/13 (j) | 2,055 | 1,927 | ||
| 5,861 | |||
TOTAL FLOATING RATE LOANS (Cost $185,589) | 173,052 | |||
Sovereign Loan Participations - 0.0% | ||||
| ||||
Indonesian Republic loan participation - Deutsche Bank 1.407% 3/28/13 (j) | JPY | 59,176 | 502 |
Fixed-Income Funds - 3.0% | |||
Shares |
| ||
Fidelity Floating Rate Central Fund (k) | 2,074,859 | 191,406 |
Preferred Securities - 0.8% | ||||
| Principal | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.4% | ||||
Media - 0.4% | ||||
Globo Comunicacoes e Participacoes SA 9.375% | $ 14,500 | $ 14,983 | ||
Net Servicos de Comunicacao SA 9.25% (g) | 7,635 | 7,929 | ||
| 22,912 | |||
ENERGY - 0.4% | ||||
Oil, Gas & Consumable Fuels - 0.4% | ||||
Pemex Project Funding Master Trust 7.75% | 23,544 | 23,672 | ||
FINANCIALS - 0.0% | ||||
Diversified Financial Services - 0.0% | ||||
MUFG Capital Finance 2 Ltd. 4.85% (j) | EUR | 1,300 | 1,618 | |
MUFG Capital Finance 3 Ltd. 2.68% (j) | JPY | 150,000 | 1,426 | |
| 3,044 | |||
TOTAL PREFERRED SECURITIES (Cost $49,150) | 49,628 |
Other - 0.0% | |||
|
| ||
Delta AirLines ALPA (a) | 8,380 | 157 | |
Money Market Funds - 9.7% | |||
Shares |
| ||
Fidelity Cash Central Fund, 2.38% (b) | 623,267,981 | 623,268 | |
Cash Equivalents - 0.0% | |||
Maturity Amount (000s) | Value (000s) | ||
Investments in repurchase agreements in a joint trading account at 1.34%, dated 6/30/08 due 7/1/08 (Collateralized by U.S. Treasury Obligations) # | $ 2,509 | $ 2,509 | |
TOTAL INVESTMENT PORTFOLIO - 99.7% (Cost $6,521,437) | 6,393,508 | ||
NET OTHER ASSETS - 0.3% | 19,694 | ||
NET ASSETS - 100% | $ 6,413,202 |
Swap Agreements | |||||
| Expiration Date | Notional Amount (000s) |
| ||
Interest Rate Swaps | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 4.64% with JPMorgan Chase, Inc. | April 2038 | $ 8,000 | $ 385 | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 4.73% with Credit Suisse First Boston | April 2038 | 6,000 | 205 | ||
Receive semi-annually a fixed rate equal to 2.915% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | April 2011 | 34,000 | (823) | ||
Receive semi-annually a fixed rate equal to 3.1899% and pay quarterly a floating rate based on 3-month LIBOR with Goldman Sachs | April 2010 | 3,400 | (15) | ||
Receive semi-annually a fixed rate equal to 5.37% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | July 2009 | 22,000 | 914 | ||
Receive semi-annully a fixed rate equal to 2.8575% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | April 2011 | 46,000 | (1,182) | ||
| $ 119,400 | $ (516) |
Currency Abbreviations | ||
BRL | - | Brazilian real |
CAD | - | Canadian dollar |
EGP | - | Egyptian pound |
EUR | - | European Monetary Unit |
GBP | - | British pound |
JPY | - | Japanese yen |
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 $492,403,000 or 7.7% of net assets. |
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) A portion of the security is subject to a forward commitment to sell. |
(j) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(k) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request |
(l) Quantity represents share amount. |
(m) 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 $9,000 or 0.0% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
ASAT Holdings Ltd. warrants 2/1/11 | 11/15/07 | $ 0 |
Intermet Corp. | 11/9/05 | $ 2,153 |
(n) 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 $374,000 and $354,000, respectively. The coupon rate will be determined at time of settlement. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$2,509,000 due 7/01/08 at 1.34% | |
Banc of America Securities LLC | $ 496 |
Barclays Capital, Inc. | 699 |
Goldman, Sachs & Co. | 1,314 |
| $ 2,509 |
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 | $ 9,776 |
Fidelity Floating Rate Central Fund | 6,583 |
Total | $ 16,359 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales | Value, | % ownership, |
Fidelity Floating Rate Central Fund | $ 313,392 | $ 35,455 | $ 139,169 | $ 191,406 | 7.0% |
Other Information |
The following is a summary of the inputs used, as of June 30, 2008, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities | $ 6,393,508 | $ 819,925 | $ 5,570,048 | $ 3,535 |
Other Financial Instruments* | $ (516) | $ - | $ (516) | $ - |
*Other financial instruments include Swap Agreements. |
The following is a reconciliation of assets for which Level 3 inputs were used in determining value: |
(Amounts in thousands) | Investments in Securities |
Beginning Balance | $ 8,901 |
Total Realized Gain (Loss) | 121 |
Total Unrealized Gain (Loss) | (6,136) |
Cost of Purchases | - |
Proceeds of Sales | (214) |
Amortization/Accretion | 7 |
Transfer in/out of Level 3 | 856 |
Ending Balance | $ 3,535 |
The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: (Unaudited) |
United States of America | 66.7% |
Germany | 4.6% |
Canada | 3.3% |
United Kingdom | 3.2% |
Japan | 2.6% |
Argentina | 2.4% |
Venezuela | 2.1% |
Bermuda | 1.4% |
Russia | 1.3% |
France | 1.1% |
Netherlands | 1.0% |
Turkey | 1.0% |
Others (individually less than 1%) | 9.3% |
| 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, 2008 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $2,509) - See accompanying schedule: Unaffiliated issuers (cost $5,692,898) | $ 5,578,834 |
|
Fidelity Central Funds (cost $828,539) | 814,674 |
|
Total Investments (cost $6,521,437) |
| $ 6,393,508 |
Commitment to sell securities on a delayed delivery basis | (4,947) | |
Receivable for securities sold on a delayed delivery basis | 4,912 | (35) |
Receivable for investments sold, regular delivery | 134,159 | |
Cash | 540 | |
Foreign currency held at value (cost $751) | 751 | |
Receivable for fund shares sold | 14,195 | |
Dividends receivable | 2 | |
Interest receivable | 79,838 | |
Distributions receivable from Fidelity Central Funds | 2,035 | |
Prepaid expenses | 8 | |
Receivable from investment adviser for expense reductions | 6 | |
Other affiliated receivables | 6 | |
Other receivables | 129 | |
Total assets | 6,625,142 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 157,845 | |
Delayed delivery | 28,642 | |
Payable for fund shares redeemed | 15,073 | |
Distributions payable | 3,336 | |
Swap agreements, at value | 516 | |
Accrued management fee | 3,009 | |
Distribution fees payable | 1,916 | |
Other affiliated payables | 966 | |
Other payables and accrued expenses | 637 | |
Total liabilities | 211,940 | |
|
|
|
Net Assets | $ 6,413,202 | |
Net Assets consist of: |
| |
Paid in capital | $ 6,490,926 | |
Undistributed net investment income | 15,836 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 34,816 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | (128,376) | |
Net Assets | $ 6,413,202 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | June 30, 2008 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price | $ 11.36 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.36) | $ 11.83 | |
Class T: | $ 11.35 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.35) | $ 11.82 | |
Class B: | $ 11.38 | |
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|
|
Class C: | $ 11.34 | |
|
|
|
Institutional Class: | $ 11.46 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands | Six months ended June 30, 2008 (Unaudited) | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 2,246 |
Interest |
| 169,743 |
Income from Fidelity Central Funds |
| 16,359 |
Total income |
| 188,348 |
|
|
|
Expenses | ||
Management fee | $ 17,685 | |
Transfer agent fees | 4,981 | |
Distribution fees | 11,231 | |
Accounting fees and expenses | 709 | |
Custodian fees and expenses | 180 | |
Independent trustees' compensation | 14 | |
Registration fees | 235 | |
Audit | 49 | |
Legal | 10 | |
Miscellaneous | 510 | |
Total expenses before reductions | 35,604 | |
Expense reductions | (61) | 35,543 |
Net investment income | 152,805 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 43,678 | |
Fidelity Central Funds | (20,511) |
|
Foreign currency transactions | 2,023 | |
Swap agreements | 8,501 |
|
Total net realized gain (loss) |
| 33,691 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (144,096) | |
Assets and liabilities in foreign currencies | (50) | |
Swap agreements | (5,574) | |
Delayed delivery commitments | (159) |
|
Total change in net unrealized appreciation (depreciation) |
| (149,879) |
Net gain (loss) | (116,188) | |
Net increase (decrease) in net assets resulting from operations | $ 36,617 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Amounts in thousands | Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 152,805 | $ 281,722 |
Net realized gain (loss) | 33,691 | 97,894 |
Change in net unrealized appreciation (depreciation) | (149,879) | (107,460) |
Net increase (decrease) in net assets resulting | 36,617 | 272,156 |
Distributions to shareholders from net investment income | (143,549) | (276,727) |
Distributions to shareholders from net realized gain | (37,399) | (64,264) |
Total distributions | (180,948) | (340,991) |
Share transactions - net increase (decrease) | 552,995 | 1,390,464 |
Total increase (decrease) in net assets | 408,664 | 1,321,629 |
|
|
|
Net Assets | ||
Beginning of period | 6,004,538 | 4,682,909 |
End of period (including undistributed net investment income of $15,836 and undistributed net investment income of $6,580, respectively) | $ 6,413,202 | $ 6,004,538 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended December 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data |
|
|
|
| ||
Net asset value, beginning of period | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.93 | $ 11.63 | $ 10.34 |
Income from Investment |
|
|
|
|
| |
Net investment income E | .287 | .616 | .600 | .571 | .600 | .617 |
Net realized and unrealized gain (loss) | (.206) | (.019) | .248 | (.255) | .445 | 1.321 |
Total from investment operations | .081 | .597 | .848 | .316 | 1.045 | 1.938 |
Distributions from net investment income | (.271) | (.607) | (.583) | (.551) | (.575) | (.648) |
Distributions from net realized gain | (.070) | (.130) | (.045) | (.155) | (.170) | - |
Total distributions | (.341) | (.737) | (.628) | (.706) | (.745) | (.648) |
Net asset value, end of period | $ 11.36 | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.93 | $ 11.63 |
Total Return B, C, D | .70% | 5.22% | 7.54% | 2.75% | 9.31% | 19.20% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.03% A | 1.01% | .97% | .99% | 1.00% | 1.01% |
Expenses net of fee waivers, if any | 1.03% A | 1.01% | .97% | .99% | 1.00% | 1.01% |
Expenses net of all reductions | 1.03% A | 1.01% | .97% | .99% | 1.00% | 1.00% |
Net investment income | 5.02% A | 5.27% | 5.18% | 4.92% | 5.20% | 5.58% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in | $ 2,425 | $ 1,931 | $ 954 | $ 647 | $ 372 | $ 187 |
Portfolio turnover rate G | 269% A | 149% | 81% | 109% | 94% | 153% |
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 T
| Six months ended | Years ended December 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.92 | $ 11.62 | $ 10.33 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment | .289 | .620 | .594 | .564 | .593 | .604 |
Net realized and unrealized gain (loss) | (.217) | (.021) | .248 | (.245) | .443 | 1.322 |
Total from investment operations | .072 | .599 | .842 | .319 | 1.036 | 1.926 |
Distributions from net investment income | (.272) | (.609) | (.577) | (.544) | (.566) | (.636) |
Distributions from net realized gain | (.070) | (.130) | (.045) | (.155) | (.170) | - |
Total distributions | (.342) | (.739) | (.622) | (.699) | (.736) | (.636) |
Net asset value, end of period | $ 11.35 | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.92 | $ 11.62 |
Total Return B, C, D | .62% | 5.24% | 7.49% | 2.77% | 9.23% | 19.09% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.02% A | .99% | 1.02% | 1.05% | 1.07% | 1.11% |
Expenses net of fee waivers, if any | 1.02% A | .99% | 1.02% | 1.05% | 1.07% | 1.11% |
Expenses net of all reductions | 1.02% A | .99% | 1.02% | 1.05% | 1.07% | 1.11% |
Net investment | 5.04% A | 5.29% | 5.13% | 4.86% | 5.13% | 5.47% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 1,761 | $ 1,983 | $ 2,049 | $ 1,427 | $ 808 | $ 515 |
Portfolio turnover rate G | 269% A | 149% | 81% | 109% | 94% | 153% |
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, 2008 | Years ended December 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 11.65 | $ 11.79 | $ 11.57 | $ 11.95 | $ 11.65 | $ 10.35 |
Income from Investment |
|
|
|
|
| |
Net investment | .247 | .533 | .511 | .486 | .513 | .533 |
Net realized and unrealized gain (loss) | (.217) | (.022) | .247 | (.249) | .441 | 1.330 |
Total from investment operations | .030 | .511 | .758 | .237 | .954 | 1.863 |
Distributions from net investment income | (.230) | (.521) | (.493) | (.462) | (.484) | (.563) |
Distributions from net realized gain | (.070) | (.130) | (.045) | (.155) | (.170) | - |
Total distributions | (.300) | (.651) | (.538) | (.617) | (.654) | (.563) |
Net asset value, end of period | $ 11.38 | $ 11.65 | $ 11.79 | $ 11.57 | $ 11.95 | $ 11.65 |
Total Return B, C, D | .25% | 4.44% | 6.70% | 2.06% | 8.45% | 18.38% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.77% A | 1.74% | 1.76% | 1.78% | 1.78% | 1.77% |
Expenses net of fee waivers, if any | 1.75% A | 1.74% | 1.75% | 1.75% | 1.78% | 1.77% |
Expenses net of all reductions | 1.75% A | 1.74% | 1.75% | 1.75% | 1.78% | 1.77% |
Net investment | 4.30% A | 4.54% | 4.40% | 4.16% | 4.42% | 4.81% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 331 | $ 335 | $ 342 | $ 342 | $ 319 | $ 287 |
Portfolio turnover rate G | 269% A | 149% | 81% | 109% | 94% | 153% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended December 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 11.60 | $ 11.74 | $ 11.53 | $ 11.91 | $ 11.61 | $ 10.32 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment | .243 | .526 | .503 | .475 | .505 | .525 |
Net realized and unrealized gain (loss) | (.206) | (.020) | .238 | (.246) | .444 | 1.320 |
Total from investment operations | .037 | .506 | .741 | .229 | .949 | 1.845 |
Distributions from net investment income | (.227) | (.516) | (.486) | (.454) | (.479) | (.555) |
Distributions from net realized gain | (.070) | (.130) | (.045) | (.155) | (.170) | - |
Total distributions | (.297) | (.646) | (.531) | (.609) | (.649) | (.555) |
Net asset value, end of period | $ 11.34 | $ 11.60 | $ 11.74 | $ 11.53 | $ 11.91 | $ 11.61 |
Total Return B, C, D | .32% | 4.42% | 6.57% | 1.99% | 8.43% | 18.24% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.80% A | 1.78% | 1.81% | 1.82% | 1.82% | 1.84% |
Expenses net of fee waivers, if any | 1.80% A | 1.78% | 1.81% | 1.82% | 1.82% | 1.84% |
Expenses net of all reductions | 1.80% A | 1.78% | 1.81% | 1.82% | 1.82% | 1.84% |
Net investment | 4.25% A | 4.50% | 4.34% | 4.09% | 4.37% | 4.74% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 960 | $ 866 | $ 683 | $ 540 | $ 405 | $ 277 |
Portfolio turnover rate G | 269% A | 149% | 81% | 109% | 94% | 153% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended December 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 11.72 | $ 11.86 | $ 11.63 | $ 12.02 | $ 11.71 | $ 10.40 |
Income from Investment |
|
|
|
|
| |
Net investment | .304 | .652 | .627 | .599 | .627 | .635 |
Net realized and unrealized gain (loss) | (.209) | (.027) | .252 | (.262) | .449 | 1.338 |
Total from investment operations | .095 | .625 | .879 | .337 | 1.076 | 1.973 |
Distributions from net investment income | (.285) | (.635) | (.604) | (.572) | (.596) | (.663) |
Distributions from net realized gain | (.070) | (.130) | (.045) | (.155) | (.170) | - |
Total distributions | (.355) | (.765) | (.649) | (.727) | (.766) | (.663) |
Net asset value, end of period | $ 11.46 | $ 11.72 | $ 11.86 | $ 11.63 | $ 12.02 | $ 11.71 |
Total Return B, C | .81% | 5.42% | 7.76% | 2.91% | 9.53% | 19.44% |
Ratios to Average Net Assets E,G |
|
|
|
|
| |
Expenses before reductions | .79% A | .77% | .79% | .81% | .81% | .87% |
Expenses net of fee waivers, if any | .79% A | .77% | .79% | .81% | .81% | .87% |
Expenses net of all reductions | .79% A | .76% | .79% | .80% | .81% | .87% |
Net investment | 5.26% A | 5.52% | 5.36% | 5.10% | 5.38% | 5.71% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 937 | $ 889 | $ 655 | $ 520 | $ 424 | $ 291 |
Portfolio turnover rate F | 269% A | 149% | 81% | 109% | 94% | 153% |
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, 2008 (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
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at
advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the 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. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, 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. Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). 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. Actual prices received at disposition may differ.
When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for
Semiannual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund is subject to the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:
Level 1 | Quoted prices in active markets for identical securities. |
Level 2 | Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. |
Level 3 | Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available. |
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.
The aggregate value by input level, as of June 30, 2008, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Foreign Currency - continued
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-
dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. 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.
Income Tax Information and Distributions to Shareholders. Each year, 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 is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
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 Fund's federal tax returns for the prior three fiscal years 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 short-term capital gains, swap agreements, foreign currency transactions, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, financing transactions and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 98,534 |
|
Unrealized depreciation | (217,346) |
|
Net unrealized appreciation (depreciation) | $ (118,812) |
|
Cost for federal income tax purposes | $ 6,512,320 |
|
New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for fiscal years beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance. Management is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
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
Semiannual Report
4. Operating Policies - continued
Loans and Other Direct Debt Instruments - continued
contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
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. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. 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 (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $5,063,489 and $4,772,276, 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 2,770 | $ 167 |
Class T | 0% | .25% | 2,325 | - |
Class B | .65% | .25% | 1,516 | 1,100 |
Class C | .75% | .25% | 4,620 | 1,166 |
|
|
| $ 11,231 | $ 2,433 |
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. 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 | $ 255 |
Class T | 76 |
Class B* | 261 |
Class C* | 90 |
| $ 682 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
For the period, the total transfer agent fees paid by each class were as follows:
| Amount | % of |
Class A | $ 1,710 | .16 |
Class T | 1,315 | .14 |
Class B | 400 | .24 |
Class C | 797 | .17 |
Institutional Class | 759 | .17 |
| $ 4,981 |
|
* 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% | $ 28 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
8. Expense Reductions - continued
In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $22. During the period, credits reduced each class' transfer agent expense as noted in the table below.
| Transfer Agent |
|
Class A | $ 9 |
|
Institutional Class | 2 |
|
| $ 11 |
|
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 December 2006, the Independent Trustees, with the assistance of independent counsel, completed an investigation regarding gifts, gratuities and business entertainment provided by certain brokers to certain individuals who were employed on FMR's domestic equity trading desk during the period 2002 to 2004. The Independent Trustees and FMR agreed 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 was worthy of redress. Accordingly, the Independent Trustees requested, and FMR agreed to make, a payment of $42 million plus accrued interest, which equaled approximately $7.3 million, to certain Fidelity mutual funds.
Semiannual Report
10. Other - continued
In March 2008, the Trustees approved a method for allocating this payment among the funds and, in total, FMR paid the fund one hundred and eighty-seven dollars, which is recorded in the accompanying Statement of Operations.
In a related administrative order dated March 5, 2008, the U.S. Securities and Exchange Commission ("SEC") announced a settlement with FMR and FMR Co., Inc. (an affiliate of FMR) involving the SEC's regulatory rules for investment advisers and the improper receipt of gifts, gratuities and business entertainment. Without admitting or denying the SEC's findings, FMR agreed to pay an $8 million civil penalty to the United States Treasury.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 52,033 | $ 69,443 |
Class T | 43,983 | 114,586 |
Class B | 6,706 | 14,875 |
Class C | 18,205 | 34,291 |
Institutional Class | 22,622 | 43,532 |
Total | $ 143,549 | $ 276,727 |
From net realized gain |
|
|
Class A | $ 12,777 | $ 19,657 |
Class T | 11,501 | 22,248 |
Class B | 2,042 | 3,708 |
Class C | 5,537 | 9,265 |
Institutional Class | 5,542 | 9,386 |
Total | $ 37,399 | $ 64,264 |
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 | 65,579 | 105,260 | $ 756,468 | $ 1,231,222 |
Reinvestment of distributions | 5,119 | 6,633 | 58,835 | 77,535 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
12. Share Transactions - continued
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 | |
Shares redeemed | (23,360) | (26,839) | (269,220) | (314,378) |
Net increase (decrease) | 47,338 | 85,054 | $ 546,083 | $ 994,379 |
Class T |
|
|
|
|
Shares sold | 14,802 | 61,556 | $ 170,661 | $ 723,556 |
Reinvestment of distributions | 4,536 | 11,119 | 52,148 | 130,043 |
Shares redeemed | (34,943) | (76,260) | (402,984) | (891,357) |
Net increase (decrease) | (15,605) | (3,585) | $ (180,175) | $ (37,758) |
Class B |
|
|
|
|
Shares sold | 3,644 | 5,950 | $ 42,131 | $ 69,926 |
Reinvestment of distributions | 582 | 1,194 | 6,706 | 13,990 |
Shares redeemed | (3,918) | (7,422) | (45,246) | (87,195) |
Net increase (decrease) | 308 | (278) | $ 3,591 | $ (3,279) |
Class C |
|
|
|
|
Shares sold | 16,767 | 26,139 | $ 193,015 | $ 306,154 |
Reinvestment of distributions | 1,529 | 2,725 | 17,540 | 31,803 |
Shares redeemed | (8,305) | (12,340) | (95,491) | (144,301) |
Net increase (decrease) | 9,991 | 16,524 | $ 115,064 | $ 193,656 |
Institutional Class |
|
|
|
|
Shares sold | 17,638 | 37,630 | $ 205,362 | $ 445,192 |
Reinvestment of distributions | 1,772 | 3,340 | 20,551 | 39,395 |
Shares redeemed | (13,543) | (20,371) | (157,481) | (241,121) |
Net increase (decrease) | 5,867 | 20,599 | $ 68,432 | $ 243,466 |
Semiannual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on April 16, 2008. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To elect a Board of Trustees. A | ||
| # of | % of |
James C. Curvey | ||
Affirmative | 5,702,930,355.79 | 97.148 |
Withheld | 167,419,011.13 | 2.852 |
TOTAL | 5,870,349,366.92 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 5,709,010,282.30 | 97.252 |
Withheld | 161,339,084.62 | 2.748 |
TOTAL | 5,870,349,366.92 | 100.000 |
George H. Heilmeier | ||
Affirmative | 5,704,835,115.57 | 97.181 |
Withheld | 165,514,251.35 | 2.819 |
TOTAL | 5,870,349,366.92 | 100.000 |
Arthur E. Johnson | ||
Affirmative | 5,706,699,643.22 | 97.212 |
Withheld | 163,649,723.70 | 2.788 |
TOTAL | 5,870,349,366.92 | 100.000 |
Edward C. Johnson 3d | ||
Affirmative | 5,699,509,964.40 | 97.090 |
Withheld | 170,839,402.52 | 2.910 |
TOTAL | 5,870,349,366.92 | 100.000 |
James H. Keyes | ||
Affirmative | 5,708,066,853.56 | 97.236 |
Withheld | 162,282,513.36 | 2.764 |
TOTAL | 5,870,349,366.92 | 100.000 |
Marie L. Knowles | ||
Affirmative | 5,708,358,882.98 | 97.241 |
Withheld | 161,990,483.94 | 2.759 |
TOTAL | 5,870,349,366.92 | 100.000 |
| # of | % of |
Kenneth L. Wolfe | ||
Affirmative | 5,707,638,179.43 | 97.228 |
Withheld | 162,711,187.49 | 2.772 |
TOTAL | 5,870,349,366.92 | 100.000 |
PROPOSAL 2 | ||
To amend the Declaration of Trust to reduce the required quorum for future shareholder meetings.A | ||
| # of | % of |
Affirmative | 3,675,213,378.12 | 62.606 |
Against | 496,448,961.43 | 8.457 |
Abstain | 253,235,394.26 | 4.314 |
Broker | 1,445,451,633.11 | 24.623 |
TOTAL | 5,870,349,366.92 | 100.000 |
A Denotes trust-wide proposal and voting results.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Strategic Income Fund
Each year, typically in June, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly and, acting directly and through its separate committees, requests and receives information concerning, and considers at each of its meetings factors that are relevant to, its annual consideration of the 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 a written charter outlining the structure and purposes of the committee. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts.
At its June 2008 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. 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 fund's management fee and total expenses; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its 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 agreements with foreign sub-advisers Fidelity Management & Research (U.K.) Inc., Fidelity Management & Research (Japan) Inc., and Fidelity Management & Research (Hong Kong) Limited.
In considering 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 and through the exercise of its business judgment, 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. The Board's decision to renew the Advisory Contracts was not based on any single factor noted above, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, 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
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 investment personnel 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 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 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 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 also 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 further considered that Fidelity voluntarily pays for market data out of its own resources.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
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 Fidelity has taken a number of actions over the previous year 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 fees on Fidelity's Institutional Money Market Funds and launching Class IV and Institutional Class of certain of these funds; (iii) reducing the transfer agent fees for the Fidelity Select Portfolios and Investor Class of the VIP funds; and (iv) launching Class K of 29 equity funds as a lower-fee class available to certain employer-sponsored retirement plans.
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, 2007, 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
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 all periods shown. The Board also stated that the investment performance of the fund was lower than its benchmark for all the periods shown. 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.
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.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
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 26% means that 74% 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.
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 2007.
Based on its review, the Board concluded that the fund's management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.
In its review of each class's total expenses, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered current and historical total expenses of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
Semiannual Report
The Board noted that the total expenses of each of Class A, Class T, Class B, and Institutional Class ranked below its competitive median for 2007, and the total expenses of Class C ranked equal to its competitive median for 2007.
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 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.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
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.
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. 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 certain topics, including (i) fund performance trends and actions to be taken by FMR to improve certain funds' overall performance; (ii) portfolio manager changes that have occurred during the past year; (iii) Fidelity's fund profitability methodology, the profitability of certain fund service providers, and profitability trends for certain funds; (iv) Fidelity's compensation structure for portfolio managers and key personnel, including its effects on fund profitability and the extent to which portfolio manager compensation is linked to fund performance; (v) Fidelity's fee structures; (vi) the funds' sub-advisory arrangements; and (vii) accounts managed by Fidelity other than the Fidelity funds.
Semiannual Report
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Research & Analysis Company
Fidelity Investments Japan Limited
Fidelity International Investment Advisors
Fidelity International Investment Advisors (U.K.) Limited
Fidelity Investments Money Management, Inc.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
SII-USAN-0808 1.787776.105
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series II's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Advisor Series II
By: | /s/ John R. Hebble |
| John R. Hebble |
| President and Treasurer |
|
|
Date: | August 28, 2008 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John R. Hebble |
| John R. Hebble |
| President and Treasurer |
|
|
Date: | August 28, 2008 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
|
|
Date: | August 28, 2008 |