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, 2009 |
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, 2009
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | The Chairman'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, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
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/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
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_Abigail_P_Johnson)
Dear Shareholder:
Although there has been some encouraging news in the world's capital markets this spring and early summer, many economic uncertainties remain - including generally weak corporate earnings and still-sluggish consumer spending - which could call into question the sustainability and overall strength of the markets' recent forward momentum. Financial markets are always unpredictable, of course, but there also are several time-tested investment principles that can help 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 can be tax advantages and cost benefits to consider as well. 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 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 "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 by phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Abigail P. Johnson
Abigail P. Johnson
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, 2009 to June 30, 2009).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
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| Expenses Paid |
Class A | 1.03% |
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Actual |
| $ 1,000.00 | $ 1,156.90 | $ 5.51 |
Hypothetical A |
| $ 1,000.00 | $ 1,019.69 | $ 5.16 |
Class T | 1.03% |
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Actual |
| $ 1,000.00 | $ 1,155.80 | $ 5.51 |
Hypothetical A |
| $ 1,000.00 | $ 1,019.69 | $ 5.16 |
Class B | 1.75% |
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Actual |
| $ 1,000.00 | $ 1,151.30 | $ 9.33 |
Hypothetical A |
| $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Class C | 1.78% |
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Actual |
| $ 1,000.00 | $ 1,151.70 | $ 9.50 |
Hypothetical A |
| $ 1,000.00 | $ 1,015.97 | $ 8.90 |
Institutional Class | .79% |
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Actual |
| $ 1,000.00 | $ 1,156.60 | $ 4.22 |
Hypothetical A |
| $ 1,000.00 | $ 1,020.88 | $ 3.96 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Semiannual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each non-money market Fidelity Central Fund.
Top Five Holdings as of June 30, 2009 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 14.1 | 14.4 |
Fannie Mae | 5.0 | 9.4 |
Freddie Mac | 4.1 | 7.2 |
Canadian Government | 2.4 | 2.7 |
Japan Government | 2.3 | 2.5 |
| 27.9 | |
Top Five Market Sectors as of June 30, 2009 | ||
| % of fund's | % of fund's net assets |
Consumer Discretionary | 10.7 | 7.2 |
Telecommunication Services | 6.9 | 5.4 |
Financials | 6.7 | 3.4 |
Materials | 5.1 | 3.0 |
Energy | 4.5 | 3.5 |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2009 | As of December 31, 2008 | ||||||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | AAA,AA,A 11.8% |
| ![]() | AAA,AA,A 15.6% |
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![]() | BBB 4.3% |
| ![]() | BBB 4.5% |
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![]() | BB 12.1% |
| ![]() | BB 12.7% |
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![]() | B 21.9% |
| ![]() | B 16.3% |
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![]() | CCC,CC,C 11.9% |
| ![]() | CCC,CC,C 6.4% |
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![]() | D 1.4% |
| ![]() | D 0.0%† |
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![]() | Not Rated 4.5% |
| ![]() | Not Rated 1.0% |
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![]() | Equities 0.1% |
| ![]() | Equities 0.2% |
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![]() | Short-Term |
| ![]() | Short-Term |
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† Amount represents less than 0.1% †† Includes FDIC Guaranteed Corporate Securities |
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades.
Semiannual Report
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2009* | As of December 31, 2008** | ||||||
![]() | Preferred Securities 0.6% |
| ![]() | Preferred Securities 0.7% |
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![]() | Corporate Bonds 35.2% |
| ![]() | Corporate Bonds 25.8% |
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![]() | U.S. Government |
| ![]() | U.S. Government |
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![]() | Foreign Government & Government Agency Obligations 19.8% |
| ![]() | Foreign Government & Government Agency Obligations 22.7% |
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![]() | Floating Rate Loans 11.9% |
| ![]() | Floating Rate Loans 6.7% |
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![]() | Stocks 0.1% |
| ![]() | Stocks 0.2% |
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![]() | Other Investments 0.4% |
| ![]() | Other Investments 0.6% |
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![]() | Short-Term |
| ![]() | Short-Term |
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* Foreign investments | 32.7% |
| ** Foreign investments | 32.8% |
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* Swaps | 0.1% |
| ** Futures and Swaps | 2.6% |
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†† Includes FDIC Guaranteed Corporate Securities |
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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, 2009 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 34.9% | ||||
| Principal | Value (000s) | ||
Convertible Bonds - 0.6% | ||||
ENERGY - 0.1% | ||||
Energy Equipment & Services - 0.0% | ||||
Cal Dive International, Inc. 3.25% 12/15/25 | $ 2,640 | $ 1,998 | ||
Oil, Gas & Consumable Fuels - 0.1% | ||||
Massey Energy Co. 3.25% 8/1/15 | 7,790 | 5,153 | ||
TOTAL ENERGY | 7,151 | |||
INDUSTRIALS - 0.0% | ||||
Electrical Equipment - 0.0% | ||||
Sunpower Corp.: | ||||
0.75% 8/1/27 | 1,040 | 946 | ||
1.25% 2/15/27 | 890 | 682 | ||
| 1,628 | |||
INFORMATION TECHNOLOGY - 0.1% | ||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Advanced Micro Devices, Inc.: | ||||
5.75% 8/15/12 | 1,510 | 929 | ||
6% 5/1/15 | 6,045 | 2,834 | ||
ON Semiconductor Corp. 0% 4/15/24 | 450 | 429 | ||
Spansion, Inc. 2.25% 6/15/16 (d)(i) | 4,115 | 19 | ||
| 4,211 | |||
TELECOMMUNICATION SERVICES - 0.4% | ||||
Wireless Telecommunication Services - 0.4% | ||||
NII Holdings, Inc. 3.125% 6/15/12 | 29,220 | 22,464 | ||
TOTAL CONVERTIBLE BONDS | 35,454 | |||
Nonconvertible Bonds - 34.3% | ||||
CONSUMER DISCRETIONARY - 6.2% | ||||
Auto Components - 0.3% | ||||
Affinia Group, Inc. 9% 11/30/14 | 2,950 | 2,065 | ||
Robert Bosch GmbH 3.75% 6/12/13 | EUR | 1,100 | 1,563 | |
RSC Equipment Rental, Inc. 10% 7/15/17 (i) | 2,610 | 2,607 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Auto Components - continued | ||||
Tenneco, Inc.: | ||||
8.125% 11/15/15 | $ 1,185 | $ 936 | ||
8.625% 11/15/14 | 4,360 | 3,117 | ||
The Goodyear Tire & Rubber Co. 10.5% 5/15/16 | 4,795 | 4,891 | ||
TRW Automotive, Inc.: | ||||
7% 3/15/14 (i) | 335 | 241 | ||
7.25% 3/15/17 (i) | 240 | 166 | ||
Visteon Corp. 7% 3/10/14 (d) | 10,020 | 301 | ||
| 15,887 | |||
Automobiles - 0.1% | ||||
General Motors Corp.: | ||||
6.75% 5/1/28 (d) | 10,500 | 1,260 | ||
7.125% 7/15/13 (d) | 2,720 | 326 | ||
7.2% 1/15/11 (d) | 1,395 | 167 | ||
7.4% 9/1/25 (d) | 5,950 | 714 | ||
7.7% 4/15/16 (d) | 8,489 | 1,019 | ||
8.1% 6/15/24 (d) | 2,775 | 326 | ||
8.25% 7/15/23 (d) | 11,040 | 1,352 | ||
8.375% 7/15/33 (d) | 11,475 | 1,463 | ||
8.8% 3/1/21 (d) | 785 | 94 | ||
| 6,721 | |||
Diversified Consumer Services - 0.0% | ||||
Affinion Group, Inc. 11.5% 10/15/15 | 2,990 | 2,542 | ||
Mac-Gray Corp. 7.625% 8/15/15 | 680 | 647 | ||
| 3,189 | |||
Hotels, Restaurants & Leisure - 1.8% | ||||
Carrols Corp. 9% 1/15/13 | 4,095 | 3,839 | ||
Gaylord Entertainment Co.: | ||||
6.75% 11/15/14 | 3,690 | 2,768 | ||
8% 11/15/13 | 920 | 784 | ||
MGM Mirage, Inc.: | ||||
5.875% 2/27/14 | 6,920 | 4,498 | ||
6.625% 7/15/15 | 25,519 | 16,587 | ||
6.75% 9/1/12 | 6,220 | 4,354 | ||
6.75% 4/1/13 | 13,995 | 9,517 | ||
6.875% 4/1/16 | 4,440 | 2,864 | ||
7.5% 6/1/16 | 20,915 | 13,542 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
MGM Mirage, Inc.: - continued | ||||
7.625% 1/15/17 | $ 16,665 | $ 10,749 | ||
8.5% 9/15/10 | 7,065 | 6,429 | ||
10.375% 5/15/14 (i) | 2,750 | 2,915 | ||
11.125% 11/15/17 (i) | 3,890 | 4,123 | ||
Mohegan Tribal Gaming Authority 6.875% 2/15/15 | 3,533 | 2,296 | ||
Scientific Games Corp. 6.25% 12/15/12 | 660 | 627 | ||
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (i) | 1,540 | 909 | ||
Six Flags Operations, Inc. 12.25% 7/15/16 (d)(i) | 5,450 | 3,788 | ||
Six Flags, Inc.: | ||||
8.875% 2/1/10 (d) | 8,225 | 1,110 | ||
9.625% 6/1/14 (d) | 7,664 | 1,073 | ||
9.75% 4/15/13 (d) | 1,255 | 151 | ||
Speedway Motorsports, Inc. 6.75% 6/1/13 | 3,495 | 3,355 | ||
Station Casinos, Inc.: | ||||
6% 4/1/12 (d) | 9,620 | 3,271 | ||
6.5% 2/1/14 (d) | 11,643 | 233 | ||
6.625% 3/15/18 (d) | 11,970 | 239 | ||
6.875% 3/1/16 (d) | 12,803 | 256 | ||
7.75% 8/15/16 (d) | 14,415 | 4,901 | ||
Town Sports International Holdings, Inc. 11% 2/1/14 | 3,328 | 1,631 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 2,900 | 2,726 | ||
Vail Resorts, Inc. 6.75% 2/15/14 | 5,060 | 4,858 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
9% 1/15/12 (d) | 575 | 58 | ||
12.75% 1/15/13 (d) | 1,070 | 21 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (i) | 1,164 | 698 | ||
| 115,170 | |||
Household Durables - 0.1% | ||||
K. Hovnanian Enterprises, Inc. 11.5% 5/1/13 | 5,585 | 4,803 | ||
Sealy Mattress Co. 10.875% 4/15/16 (i) | 1,700 | 1,785 | ||
| 6,588 | |||
Leisure Equipment & Products - 0.0% | ||||
Riddell Bell Holdings, Inc. 8.375% 10/1/12 | 720 | 630 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - 3.3% | ||||
AMC Entertainment, Inc. 11% 2/1/16 | $ 2,610 | $ 2,532 | ||
Cablemas SA de CV 9.375% 11/15/15 (Reg. S) | 6,910 | 7,238 | ||
CanWest Media, Inc. 8% 9/15/12 (d) | 860 | 249 | ||
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp.: | ||||
11% 10/1/15 (d) | 19,013 | 2,282 | ||
11% 10/1/15 (d) | 310 | 36 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.: | ||||
Series B, 10.25% 9/15/10 (d) | 11,055 | 11,718 | ||
10.25% 9/15/10 (d) | 9,385 | 9,901 | ||
10.25% 10/1/13 (d) | 6,395 | 6,779 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | ||||
10.375% 4/30/14 (i)(m) | 8,610 | 8,244 | ||
10.875% 9/15/14 (i) | 11,090 | 11,534 | ||
Clear Channel Communications, Inc.: | ||||
4.9% 5/15/15 | 4,045 | 890 | ||
5.5% 9/15/14 | 3,445 | 758 | ||
5.5% 12/15/16 | 1,890 | 411 | ||
5.75% 1/15/13 | 3,145 | 771 | ||
6.25% 3/15/11 | 175 | 74 | ||
6.875% 6/15/18 | 2,725 | 593 | ||
10.75% 8/1/16 | 24,965 | 7,739 | ||
EchoStar Communications Corp.: | ||||
6.625% 10/1/14 | 9,095 | 8,367 | ||
7% 10/1/13 | 9,095 | 8,663 | ||
7.125% 2/1/16 | 43,770 | 40,597 | ||
Haights Cross Communications, Inc. 12.5% 8/15/11 (g) | 1,550 | 109 | ||
iesy Repository GmbH 10.375% 2/15/15 (i) | 1,205 | 1,193 | ||
Interpublic Group of Companies, Inc. 10% 7/15/17 (i) | 2,530 | 2,568 | ||
Lamar Media Corp. 6.625% 8/15/15 | 13,230 | 11,510 | ||
Liberty Media Corp. 8.5% 7/15/29 | 6,535 | 4,501 | ||
Livent, Inc. yankee 9.375% 10/15/04 (d) | 300 | 3 | ||
MediMedia USA, Inc. 11.375% 11/15/14 (i) | 850 | 553 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
0% 8/1/16 (f) | 7,095 | 4,576 | ||
10% 8/1/14 | 3,620 | 3,439 | ||
11.5% 5/1/16 (i) | 4,920 | 4,785 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Nielsen Finance LLC/Nielsen Finance Co.: - continued | ||||
11.625% 2/1/14 (i) | $ 2,535 | $ 2,516 | ||
Pearson Funding One PLC 6% 12/15/15 | GBP | 2,500 | 4,228 | |
Rainbow National Services LLC: | ||||
8.75% 9/1/12 (i) | 3,280 | 3,247 | ||
10.375% 9/1/14 (i) | 9,075 | 9,257 | ||
Sun Media Corp. Canada 7.625% 2/15/13 | 635 | 413 | ||
The Reader's Digest Association, Inc. 9% 2/15/17 | 3,000 | 128 | ||
TL Acquisitions, Inc. 10.5% 1/15/15 (i) | 22,595 | 18,076 | ||
Univision Communications, Inc. 12% 7/1/14 (i) | 4,920 | 4,828 | ||
Videotron Ltd. 6.875% 1/15/14 | 550 | 514 | ||
| 205,820 | |||
Multiline Retail - 0.2% | ||||
Matahari Finance BV 9.5% 10/6/09 | 4,120 | 4,120 | ||
Neiman Marcus Group, Inc. 9.75% 10/15/15 pay-in-kind (g) | 5,055 | 2,776 | ||
The Bon-Ton Department Stores, Inc. 10.25% 3/15/14 | 6,780 | 2,949 | ||
| 9,845 | |||
Specialty Retail - 0.3% | ||||
Burlington Coat Factory Warehouse Corp. 11.125% 4/15/14 | 1,700 | 1,352 | ||
Claire's Stores, Inc.: | ||||
9.25% 6/1/15 | 2,775 | 1,249 | ||
10.375% 6/1/15 pay-in-kind (m) | 3,939 | 1,660 | ||
Michaels Stores, Inc.: | ||||
0% 11/1/16 (f) | 445 | 185 | ||
10% 11/1/14 | 18,490 | 15,532 | ||
11.375% 11/1/16 | 900 | 590 | ||
| 20,568 | |||
Textiles, Apparel & Luxury Goods - 0.1% | ||||
Levi Strauss & Co.: | ||||
8.875% 4/1/16 | 1,650 | 1,601 | ||
9.75% 1/15/15 | 1,775 | 1,731 | ||
LVMH Moet Hennessy - Louis Vuitton 4.375% 5/12/14 | EUR | 750 | 1,072 | |
| 4,404 | |||
TOTAL CONSUMER DISCRETIONARY | 388,822 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - 0.6% | ||||
Beverages - 0.1% | ||||
Anheuser-Busch InBev NV 8.625% 1/30/17 | EUR | 1,650 | $ 2,690 | |
Cerveceria Nacional Dominicana C por A: | ||||
16% 3/27/12 | $ 150 | 123 | ||
16% 3/27/12 (i) | 3,487 | 2,849 | ||
| 5,662 | |||
Food & Staples Retailing - 0.3% | ||||
Casino Guichard Perrachon et Compagnie 6.375% 4/4/13 | EUR | 550 | 811 | |
Rite Aid Corp.: | ||||
7.5% 3/1/17 | 5,910 | 4,632 | ||
8.625% 3/1/15 | 835 | 555 | ||
9.375% 12/15/15 | 4,770 | 3,172 | ||
9.5% 6/15/17 | 5,710 | 3,754 | ||
10.375% 7/15/16 | 4,970 | 4,492 | ||
Tesco PLC 5.125% 2/24/15 | EUR | 900 | 1,317 | |
| 18,733 | |||
Food Products - 0.2% | ||||
Hines Nurseries, Inc. 10.25% 10/1/11 (d) | 370 | 37 | ||
JBS USA LLC/JBS USA Finance, Inc. 11.625% 5/1/14 (i) | 5,200 | 4,862 | ||
Michael Foods, Inc. 8% 11/15/13 | 420 | 408 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 900 | 869 | ||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.: | ||||
9.25% 4/1/15 | 410 | 371 | ||
10.625% 4/1/17 | 1,015 | 858 | ||
Reddy Ice Holdings, Inc. 10.5% 11/1/12 (g) | 3,250 | 1,788 | ||
Smithfield Foods, Inc.: | ||||
7.75% 7/1/17 | 2,810 | 2,030 | ||
10% 7/15/14 (i) | 3,000 | 2,970 | ||
Unilever PLC 4.75% 6/16/17 | GBP | 660 | 1,088 | |
| 15,281 | |||
Household Products - 0.0% | ||||
Central Garden & Pet Co. 9.125% 2/1/13 | 260 | 248 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Personal Products - 0.0% | ||||
Elizabeth Arden, Inc. 7.75% 1/15/14 | $ 470 | $ 404 | ||
TOTAL CONSUMER STAPLES | 40,328 | |||
ENERGY - 4.0% | ||||
Energy Equipment & Services - 0.1% | ||||
Complete Production Services, Inc. 8% 12/15/16 | 2,530 | 2,151 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (i) | 3,970 | 3,513 | ||
Seabulk International, Inc. 9.5% 8/15/13 | 3,290 | 3,327 | ||
| 8,991 | |||
Oil, Gas & Consumable Fuels - 3.9% | ||||
Atlas Energy Operating Co. LLC/Financing Corp. 10.75% 2/1/18 (i) | 4,090 | 3,763 | ||
Atlas Pipeline Partners LP 8.125% 12/15/15 | 9,415 | 6,732 | ||
Berry Petroleum Co.: | ||||
8.25% 11/1/16 | 2,930 | 2,505 | ||
10.25% 6/1/14 | 2,220 | 2,220 | ||
Chaparral Energy, Inc.: | ||||
8.5% 12/1/15 | 4,948 | 3,000 | ||
8.875% 2/1/17 | 3,780 | 2,287 | ||
Chesapeake Energy Corp.: | ||||
6.5% 8/15/17 | 4,990 | 4,192 | ||
6.875% 11/15/20 | 7,030 | 5,659 | ||
7.625% 7/15/13 | 11,615 | 11,034 | ||
9.5% 2/15/15 | 5,630 | 5,672 | ||
Connacher Oil and Gas Ltd. 10.25% 12/15/15 (i) | 4,560 | 2,690 | ||
Denbury Resources, Inc. 9.75% 3/1/16 | 1,660 | 1,706 | ||
DONG Energy A/S 6.5% 5/7/19 | EUR | 900 | 1,331 | |
Drummond Co., Inc. 7.375% 2/15/16 (i) | 6,605 | 4,822 | ||
Encore Acquisition Co. 6.25% 4/15/14 | 1,500 | 1,290 | ||
EXCO Resources, Inc. 7.25% 1/15/11 | 570 | 530 | ||
Forest Oil Corp. 8% 12/15/11 | 480 | 480 | ||
Gaz Capital SA (Luxembourg) 6.605% 2/13/18 | EUR | 1,200 | 1,362 | |
Harvest Operations Corp. 7.875% 10/15/11 | 1,170 | 983 | ||
InterNorth, Inc. 9.625% 3/16/06 (d) | 935 | 1 | ||
KazMunaiGaz Finance Sub BV: | ||||
8.375% 7/2/13 (i) | 2,530 | 2,328 | ||
9.125% 7/2/18 (i) | 2,835 | 2,537 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Mariner Energy, Inc.: | ||||
7.5% 4/15/13 | $ 2,900 | $ 2,639 | ||
8% 5/15/17 | 4,870 | 3,993 | ||
11.75% 6/30/16 | 4,955 | 4,955 | ||
Massey Energy Co. 6.875% 12/15/13 | 8,545 | 7,819 | ||
OPTI Canada, Inc.: | ||||
7.875% 12/15/14 | 8,955 | 5,821 | ||
8.25% 12/15/14 | 1,360 | 891 | ||
Peabody Energy Corp. 7.875% 11/1/26 | 5,640 | 5,132 | ||
Pemex Project Funding Master Trust: | ||||
5.5% 2/24/25 (i) | EUR | 750 | 802 | |
6.625% 6/15/35 | 2,870 | 2,564 | ||
Petrohawk Energy Corp.: | ||||
7.875% 6/1/15 | 12,745 | 11,789 | ||
9.125% 7/15/13 | 10,710 | 10,656 | ||
Petroleos de Venezuela SA: | ||||
5.25% 4/12/17 | 71,010 | 33,375 | ||
5.375% 4/12/27 | 13,570 | 5,360 | ||
Petroleum Development Corp. 12% 2/15/18 | 4,390 | 3,688 | ||
Plains Exploration & Production Co. 10% 3/1/16 | 10,150 | 10,404 | ||
Quicksilver Resources, Inc. 11.75% 1/1/16 | 5,045 | 5,196 | ||
Range Resources Corp. 7.375% 7/15/13 | 2,190 | 2,146 | ||
SandRidge Energy, Inc.: | ||||
8% 6/1/18 (i) | 7,400 | 6,364 | ||
8.625% 4/1/15 pay-in-kind (m) | 4,370 | 3,933 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 7,015 | 5,893 | ||
Southern Star Central Corp. 6.75% 3/1/16 | 1,560 | 1,390 | ||
Southwestern Energy Co. 7.5% 2/1/18 (i) | 2,460 | 2,374 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 11.25% 7/15/17 (i) | 4,265 | 4,051 | ||
Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13 | 1,220 | 927 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 524 | ||
7.5% 4/1/17 | 7,600 | 7,951 | ||
7.625% 4/1/37 | 1,035 | 1,048 | ||
8% 2/1/16 | 1,160 | 1,218 | ||
8.375% 6/15/32 | 1,155 | 1,256 | ||
TNK-BP Finance SA 7.5% 3/13/13 (Reg. S) | 9,105 | 8,468 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Transcontinental Gas Pipe Line Corp.: | ||||
7% 8/15/11 | $ 330 | $ 345 | ||
8.875% 7/15/12 | 1,455 | 1,586 | ||
Venoco, Inc. 8.75% 12/15/11 | 3,260 | 2,958 | ||
W&T Offshore, Inc. 8.25% 6/15/14 (i) | 5,300 | 4,081 | ||
YPF SA 10% 11/2/28 | 5,635 | 4,508 | ||
| 243,229 | |||
TOTAL ENERGY | 252,220 | |||
FINANCIALS - 5.9% | ||||
Capital Markets - 0.3% | ||||
3i Group PLC 1.46% 6/8/12 (m) | EUR | 1,600 | 1,684 | |
Credit Suisse Group Finance Guernsey Ltd. 3.625% 1/23/18 (m) | EUR | 2,600 | 3,203 | |
Lloyds TSB Bank PLC 6.375% 6/17/16 | EUR | 1,300 | 1,843 | |
Morgan Stanley 4% 11/17/15 | EUR | 1,300 | 1,586 | |
Royal Bank of Scotland PLC 5.75% 5/21/14 | EUR | 1,550 | 2,216 | |
Santander Issuances, SA Unipersonal 4.5% 9/30/19 (m) | EUR | 2,000 | 2,448 | |
UBS AG London Branch 5.625% 5/19/14 | EUR | 1,100 | 1,588 | |
VTB Capital SA 8.25% 6/30/11 | EUR | 1,000 | 1,400 | |
| 15,968 | |||
Commercial Banks - 2.0% | ||||
Banco Santander SA 3.875% 5/27/14 | EUR | 2,200 | 3,090 | |
Bank of Tokyo-Mitsubishi Ltd. 3.5% 12/16/15 (m) | EUR | 1,150 | 1,561 | |
Barclays Bank PLC 10% 5/21/21 | GBP | 1,070 | 2,072 | |
BNP Paribas Public Sector SCF 3.625% 6/16/14 | EUR | 4,600 | 6,468 | |
Caisse Nationale des Caisses d' Epargne et de Prevoyance 6.117% (m) | EUR | 350 | 252 | |
Caja Madrid SA 1.685% 10/17/16 (m) | EUR | 1,500 | 1,431 | |
Credit Agricole SA 5.875% 6/11/19 | EUR | 950 | 1,362 | |
Credit Commercial de France 4.875% 1/15/14 | EUR | 1,300 | 1,891 | |
Development Bank of Philippines 8.375% (m) | 6,055 | 5,692 | ||
DnB NOR Bank ASA: | ||||
0.6693% 8/11/09 (m) | CAD | 1,500 | 1,290 | |
4.5% 5/29/14 | EUR | 1,600 | 2,227 | |
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
EXIM of Ukraine: | ||||
7.65% 9/7/11 (Issued by Credit Suisse London Branch for EXIM Ukraine) | $ 25,160 | $ 19,373 | ||
7.75% 9/23/09 (Issued by Dresdner Bank AG for EXIM Ukraine) | 10,155 | 9,647 | ||
Export-Import Bank of India 1.0075% 6/7/12 (m) | JPY | 320,000 | 2,990 | |
HBOS Treasury Services PLC 0.8414% 1/19/10 (m) | CAD | 1,500 | 1,281 | |
HSBC Holdings PLC 6% 6/10/19 | EUR | 2,000 | 2,806 | |
HSBK (Europe) B.V. 9.25% 10/16/13 (i) | 13,110 | 9,964 | ||
Hypo Real Estate International Trust I 5.864% (m) | EUR | 50 | 7 | |
ING Bank NV 4.75% 5/27/19 | EUR | 4,400 | 6,234 | |
JPMorgan Chase Bank 4.375% 11/30/21 (m) | EUR | 3,050 | 3,617 | |
JSC Halyk Bank of Kazakhstan (Reg. S) 8.125% 10/7/09 | 5,715 | 5,486 | ||
Korea Development Bank (Reg.) 0.87% 6/28/10 | JPY | 600,000 | 5,938 | |
National Australia Bank Ltd. 5.375% 12/8/14 | GBP | 850 | 1,383 | |
Natixis SA: | ||||
1.656% 1/26/17 (m) | EUR | 1,100 | 1,003 | |
6.307% (m) | EUR | 950 | 487 | |
Nordea Bank AB 4.5% 5/12/14 | EUR | 800 | 1,140 | |
Rabobank Nederland 5.875% 5/20/19 | EUR | 5,050 | 7,407 | |
Resona Bank Ltd. 4.125% (m) | EUR | 800 | 786 | |
RSHB Capital SA 9% 6/11/14 (i) | 2,335 | 2,370 | ||
Russian Standard Finance SA 6.825% 9/16/09 | EUR | 1,250 | 1,718 | |
Societe Generale SCF 4% 7/7/16 (k) | EUR | 3,550 | 4,947 | |
Svenska Handelsbanken AB 5.5% 5/26/16 | GBP | 1,950 | 3,178 | |
US Bank NA, Cincinnati 4.375% 2/28/17 (m) | EUR | 1,600 | 1,822 | |
Vimpel Communications 8.375% 10/22/11 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) | 5,170 | 5,105 | ||
Wachovia Corp. 4.375% 8/1/16 | EUR | 1,000 | 1,253 | |
Wells Fargo & Co. 7.98% (m) | 2,035 | 1,699 | ||
| 128,977 | |||
Consumer Finance - 1.2% | ||||
ACE Cash Express, Inc. 10.25% 10/1/14 (i) | 1,420 | 639 | ||
Ford Motor Credit Co. LLC: | ||||
7% 10/1/13 | 5,290 | 4,253 | ||
7.25% 10/25/11 | 12,485 | 10,799 | ||
7.375% 2/1/11 | 735 | 665 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Ford Motor Credit Co. LLC: - continued | ||||
8% 6/1/14 | $ 5,120 | $ 4,126 | ||
8% 12/15/16 | 18,125 | 13,857 | ||
12% 5/15/15 | 12,770 | 11,876 | ||
General Motors Acceptance Corp.: | ||||
6.75% 12/1/14 | 850 | 672 | ||
8% 11/1/31 | 7,330 | 5,021 | ||
GMAC LLC: | ||||
6% 4/1/11 (i) | 1,435 | 1,248 | ||
6.75% 12/1/14 (i) | 4,285 | 3,428 | ||
8% 11/1/31 (i) | 27,203 | 19,042 | ||
SLM Corp. 1.477% 12/15/10 (m) | EUR | 1,100 | 1,307 | |
| 76,933 | |||
Diversified Financial Services - 1.4% | ||||
Banca Italease SpA 1.695% 6/28/16 (m) | EUR | 1,500 | 1,264 | |
Bank of America Corp.: | ||||
4% 3/28/18 (m) | EUR | 1,700 | 1,638 | |
4.75% 5/23/17 (m) | EUR | 2,750 | 2,662 | |
8% (m) | 5,365 | 4,426 | ||
8.125% (m) | 7,380 | 6,125 | ||
BAT International Finance PLC 5.375% 6/29/17 | EUR | 900 | 1,284 | |
BG Energy Capital PLC 5.125% 12/7/17 | GBP | 1,150 | 1,889 | |
Broadgate PLC 2.4169% 10/5/25 (m) | GBP | 715 | 494 | |
CIT Group, Inc.: | ||||
1.17% 2/13/12 (m) | 1,350 | 810 | ||
5% 2/13/14 | 3,295 | 1,957 | ||
5.4% 2/13/12 | 4,725 | 3,213 | ||
5.4% 3/7/13 | 2,925 | 1,813 | ||
5.6% 4/27/11 | 505 | 379 | ||
5.85% 9/15/16 | 1,310 | 766 | ||
7.625% 11/30/12 | 5,060 | 3,465 | ||
Dignity Finance PLC: | ||||
6.31% 12/31/23 (Reg. S) | GBP | 158 | 264 | |
8.151% 12/31/30 | GBP | 370 | 579 | |
FireKeepers Development Authority 13.875% 5/1/15 (i) | 1,600 | 1,476 | ||
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | 2,056 | 1,902 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Greene King Finance PLC Series A1, 1.6319% 6/15/31 (m) | GBP | 1,000 | $ 987 | |
IFIL Finanziaria di Partecipazioni SpA 5.375% 6/12/17 | EUR | 1,450 | 1,632 | |
Imperial Tobacco Finance: | ||||
5% 6/25/12 | EUR | 650 | 921 | |
8.375% 2/17/16 | EUR | 5,230 | 7,991 | |
Kreditanstalt fuer Wiederaufbau 3.875% 1/21/19 | EUR | 4,600 | 6,363 | |
Linde Finance BV 6.75% 12/8/15 | EUR | 1,750 | 2,754 | |
NCO Group, Inc. 11.875% 11/15/14 | 2,185 | 1,093 | ||
OAO TMK 8.5% 9/29/09 (Issued by TMK Capital SA for OAO TMK) | 6,900 | 6,797 | ||
Red Arrow International Leasing PLC 8.375% 6/30/12 | RUB | 72,406 | 2,044 | |
ROSBANK (OJSC JSCB) 8% 9/30/09 (Issued by Dali Capital PLC for ROSBANK (OJSC JSCB)) | RUB | 23,600 | 731 | |
Sedna Finance Corp.: | ||||
2.027% 3/15/16 (d)(m) | EUR | 1,150 | 0* | |
5.625% 12/23/14 (d)(m) | EUR | 500 | 0* | |
SES Global Americas Holdings GP 4.875% 7/9/14 (k) | EUR | 850 | 1,186 | |
Severn Trent Utilities Finance PLC 6% 1/22/18 | GBP | 1,150 | 1,996 | |
TMK Capital SA 10% 7/29/11 | 13,100 | 11,364 | ||
TransCapitalInvest Ltd. 5.381% 6/27/12 (Reg. S) | EUR | 700 | 933 | |
UT2 Funding PLC 5.321% 6/30/16 | EUR | 1,270 | 436 | |
Volkswagen International Finance NV 5.375% 11/15/13 | EUR | 1,300 | 1,887 | |
WaMu Covered Bond Program: | ||||
3.875% 9/27/11 | EUR | 1,090 | 1,464 | |
4.375% 5/19/14 | EUR | 650 | 849 | |
| 87,834 | |||
Insurance - 0.2% | ||||
Eureko BV: | ||||
5.125% (m) | EUR | 3,100 | 1,739 | |
7.375% 6/16/14 | EUR | 2,910 | 4,243 | |
Fukoku Mutual Life Insurance Co. 4.5% 9/28/25 (m) | EUR | 1,200 | 1,021 | |
Mapfre SA 5.921% 7/24/37 (m) | EUR | 1,800 | 1,620 | |
Royal & Sun Alliance Insurance Group PLC 9.375% 5/20/39 | GBP | 1,000 | 1,744 | |
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Society of Lloyd's 6.875% 11/17/25 (m) | GBP | 1,000 | $ 1,360 | |
Zurich Finance USA, Inc. 6.5% 10/14/15 | EUR | 2,000 | 2,975 | |
| 14,702 | |||
Real Estate Investment Trusts - 0.3% | ||||
Rouse Co. 5.375% 11/26/13 (d) | 5,135 | 3,235 | ||
Rouse Co. LP/TRC, Inc. 6.75% 5/1/13 (d)(i) | 9,470 | 5,966 | ||
Senior Housing Properties Trust 7.875% 4/15/15 | 6,211 | 5,621 | ||
Ventas Realty LP 6.5% 6/1/16 | 980 | 877 | ||
| 15,699 | |||
Real Estate Management & Development - 0.5% | ||||
CB Richard Ellis Services, Inc. 11.625% 6/15/17 (i) | 6,420 | 6,260 | ||
Hammerson PLC 4.875% 6/19/15 | EUR | 680 | 770 | |
Realogy Corp.: | ||||
10.5% 4/15/14 | 47,905 | 20,599 | ||
11.75% 4/15/14 pay-in-kind (m) | 4,052 | 1,154 | ||
WT Finance (Aust) Pty Ltd./Westfield Europe Finance PLC/WEA Finance 3.625% 6/27/12 | EUR | 1,250 | 1,564 | |
| 30,347 | |||
Thrifts & Mortgage Finance - 0.0% | ||||
Credit Logement SA: | ||||
1.877% 12/2/49 (m) | EUR | 1,000 | 642 | |
4.604% (m) | EUR | 2,000 | 1,260 | |
| 1,902 | |||
TOTAL FINANCIALS | 372,362 | |||
HEALTH CARE - 2.2% | ||||
Health Care Equipment & Supplies - 0.1% | ||||
Biomet, Inc. 10% 10/15/17 | 245 | 249 | ||
Invacare Corp. 9.75% 2/15/15 | 1,530 | 1,538 | ||
| 1,787 | |||
Health Care Providers & Services - 1.9% | ||||
Apria Healthcare Group, Inc. 11.25% 11/1/14 (i) | 7,720 | 7,546 | ||
Cardinal Health 409, Inc. 10.25% 4/15/15 pay-in-kind (m) | 11,685 | 5,820 | ||
CRC Health Group, Inc. 10.75% 2/1/16 | 1,880 | 1,260 | ||
DASA Finance Corp. 8.75% 5/29/18 (i) | 1,545 | 1,506 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
DaVita, Inc. 6.625% 3/15/13 | $ 5,230 | $ 4,897 | ||
Fresenius Medical Care Capital Trust IV 7.875% 6/15/11 | 1,000 | 1,040 | ||
HCA, Inc.: | ||||
5.75% 3/15/14 | 3,377 | 2,676 | ||
6.25% 2/15/13 | 1,755 | 1,536 | ||
6.375% 1/15/15 | 1,125 | 920 | ||
6.5% 2/15/16 | 4,220 | 3,450 | ||
6.75% 7/15/13 | 1,750 | 1,540 | ||
8.5% 4/15/19 (i) | 6,670 | 6,503 | ||
9.125% 11/15/14 | 21,885 | 21,639 | ||
9.25% 11/15/16 | 28,994 | 28,414 | ||
9.625% 11/15/16 pay-in-kind (m) | 7,147 | 7,093 | ||
9.875% 2/15/17 (i) | 1,190 | 1,199 | ||
Rural/Metro Corp. 9.875% 3/15/15 | 1,355 | 1,165 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 | 3,652 | 3,743 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 | 310 | 307 | ||
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13 | 3,040 | 3,158 | ||
Tenet Healthcare Corp.: | ||||
9.25% 2/1/15 | 1,380 | 1,259 | ||
9.875% 7/1/14 | 13,330 | 13,330 | ||
United Surgical Partners International, Inc. 8.875% 5/1/17 | 895 | 814 | ||
| 120,815 | |||
Life Sciences Tools & Services - 0.0% | ||||
Bio-Rad Laboratories, Inc. 7.5% 8/15/13 | 1,770 | 1,746 | ||
Pharmaceuticals - 0.2% | ||||
Bayer Capital Corp. BV 4.625% 9/26/14 | EUR | 1,250 | 1,810 | |
Elan Finance PLC/Elan Finance Corp. 7.75% 11/15/11 | 1,585 | 1,454 | ||
Leiner Health Products, Inc. 11% 6/1/12 (d) | 1,885 | 5 | ||
Pfizer, Inc.: | ||||
5.75% 6/3/21 | EUR | 1,550 | 2,323 | |
6.5% 6/3/38 | GBP | 1,600 | 2,862 | |
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Roche Holdings, Inc. 6.5% 3/4/21 | EUR | 1,950 | $ 3,076 | |
Schering-Plough Corp. 5.375% 10/1/14 | EUR | 1,940 | 2,865 | |
| 14,395 | |||
TOTAL HEALTH CARE | 138,743 | |||
INDUSTRIALS - 1.9% | ||||
Aerospace & Defense - 0.1% | ||||
Alion Science & Technology Corp. 10.25% 2/1/15 | 800 | 328 | ||
DigitalGlobe, Inc. 10.5% 5/1/14 (i) | 2,915 | 2,973 | ||
Hexcel Corp. 6.75% 2/1/15 | 2,350 | 2,180 | ||
Orbimage Holdings, Inc. 12.5% 7/1/12 (m) | 1,720 | 1,757 | ||
| 7,238 | |||
Airlines - 0.3% | ||||
American Airlines pass-thru trust certificates 10.375% 7/2/19 (k) | 5,955 | 5,985 | ||
Continental Airlines, Inc. pass-thru trust certificates 6.903% 4/19/22 | 820 | 492 | ||
Delta Air Lines, Inc.: | ||||
7.9% 12/15/09 (a) | 16,400 | 164 | ||
10% 8/15/08 (a) | 1,255 | 13 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 9,244 | 7,580 | ||
8.021% 8/10/22 | 4,764 | 3,096 | ||
Northwest Airlines Corp. 10% 2/1/09 (a) | 1,895 | 14 | ||
Northwest Airlines, Inc.: | ||||
7.875% 3/15/08 (a) | 1,365 | 7 | ||
8.875% 6/1/06 (a) | 1,355 | 10 | ||
Northwest Airlines, Inc. pass-thru trust certificates: | ||||
7.027% 11/1/19 | 2,288 | 1,716 | ||
8.028% 11/1/17 | 1,016 | 681 | ||
| 19,758 | |||
Building Products - 0.3% | ||||
Compagnie de St. Gobain 8.25% 7/28/14 | EUR | 1,950 | 3,044 | |
Nortek, Inc.: | ||||
8.5% 9/1/14 | 11,485 | 3,273 | ||
10% 12/1/13 | 11,620 | 9,296 | ||
NTK Holdings, Inc. 0% 3/1/14 (f) | 6,210 | 497 | ||
| 16,110 | |||
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 | $ 140 | ||
Browning-Ferris Industries, Inc. 9.25% 5/1/21 | 680 | 712 | ||
Cenveo Corp. 10.5% 8/15/16 (i) | 2,795 | 2,096 | ||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 10,955 | 9,805 | ||
7.75% 1/15/15 | 4,830 | 4,637 | ||
West Corp. 9.5% 10/15/14 | 8,620 | 7,586 | ||
| 24,976 | |||
Construction & Engineering - 0.0% | ||||
Blount, Inc. 8.875% 8/1/12 | 1,250 | 1,253 | ||
Electrical Equipment - 0.0% | ||||
Coleman Cable, Inc. 9.875% 10/1/12 | 1,040 | 842 | ||
General Cable Corp. 7.125% 4/1/17 | 680 | 612 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 900 | 855 | ||
| 2,309 | |||
Industrial Conglomerates - 0.2% | ||||
Hutchison Whampoa Finance 06 Ltd. 4.625% 9/21/16 | EUR | 3,600 | 4,696 | |
Sequa Corp.: | ||||
11.75% 12/1/15 (i) | 10,805 | 6,240 | ||
13.5% 12/1/15 pay-in-kind (i) | 4,111 | 1,927 | ||
Siemens Financieringsmaatschappij NV 6.125% 9/14/66 (m) | GBP | 1,075 | 1,442 | |
| 14,305 | |||
Machinery - 0.1% | ||||
Chart Industries, Inc. 9.125% 10/15/15 | 1,160 | 1,044 | ||
Cummins, Inc. 7.125% 3/1/28 | 1,870 | 1,497 | ||
Terex Corp. 10.875% 6/1/16 | 5,025 | 5,025 | ||
| 7,566 | |||
Marine - 0.1% | ||||
Navios Maritime Holdings, Inc. 9.5% 12/15/14 | 5,215 | 4,276 | ||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 2,050 | 1,681 | ||
US Shipping Partners LP 13% 8/15/14 (d) | 3,185 | 32 | ||
| 5,989 | |||
Road & Rail - 0.2% | ||||
Kansas City Southern de Mexico, SA de CV: | ||||
7.375% 6/1/14 | 1,670 | 1,407 | ||
7.625% 12/1/13 | 1,700 | 1,428 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Road & Rail - continued | ||||
Kansas City Southern de Mexico, SA de CV: - continued | ||||
12.5% 4/1/16 (i) | $ 2,850 | $ 2,900 | ||
TFM SA de CV 9.375% 5/1/12 | 6,450 | 6,128 | ||
| 11,863 | |||
Trading Companies & Distributors - 0.2% | ||||
Glencore Finance (Europe) SA 7.125% 4/23/15 | EUR | 1,650 | 1,949 | |
Penhall International Corp. 12% 8/1/14 (i) | 1,515 | 576 | ||
VWR Funding, Inc. 10.25% 7/15/15 pay-in-kind | 10,015 | 7,912 | ||
| 10,437 | |||
TOTAL INDUSTRIALS | 121,804 | |||
INFORMATION TECHNOLOGY - 1.9% | ||||
Communications Equipment - 0.4% | ||||
Hughes Network System LLC/HNS Finance Corp. 9.5% 4/15/14 | 6,290 | 6,133 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 20,050 | 11,378 | ||
6.5% 1/15/28 | 6,570 | 3,679 | ||
Nortel Networks Corp.: | ||||
9.0025% 7/15/11 (d)(m) | 3,760 | 1,269 | ||
10.125% 7/15/13 (d) | 3,730 | 1,268 | ||
10.75% 7/15/16 (d) | 8,930 | 3,081 | ||
| 26,808 | |||
Computers & Peripherals - 0.0% | ||||
Seagate Technology International 10% 5/1/14 (i) | 1,450 | 1,494 | ||
Electronic Equipment & Components - 0.1% | ||||
Texas Competitive Electric Holdings Co. LLC: | ||||
Series A, 10.25% 11/1/15 | 5,985 | 3,726 | ||
Series B, 10.25% 11/1/15 | 2,620 | 1,638 | ||
11.25% 11/1/16 pay-in-kind | 1,970 | 869 | ||
| 6,233 | |||
IT Services - 0.2% | ||||
Ceridian Corp.: | ||||
11.25% 11/15/15 | 3,710 | 3,098 | ||
12.25% 11/15/15 pay-in-kind (m) | 875 | 630 | ||
SunGard Data Systems, Inc. 9.125% 8/15/13 | 5,280 | 5,016 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
IT Services - continued | ||||
Unisys Corp.: | ||||
8% 10/15/12 | $ 875 | $ 525 | ||
12.5% 1/15/16 | 3,030 | 1,788 | ||
| 11,057 | |||
Semiconductors & Semiconductor Equipment - 1.2% | ||||
Amkor Technology, Inc.: | ||||
7.125% 3/15/11 | 145 | 143 | ||
7.75% 5/15/13 | 1,040 | 962 | ||
9.25% 6/1/16 | 8,580 | 7,937 | ||
Avago Technologies Finance Ltd.: | ||||
6.1675% 6/1/13 (m) | 902 | 778 | ||
11.875% 12/1/15 | 8,455 | 8,434 | ||
Freescale Semiconductor, Inc.: | ||||
8.875% 12/15/14 | 42,915 | 21,458 | ||
9.875% 12/15/14 pay-in-kind (m) | 28,181 | 10,303 | ||
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. 5.2462% 12/15/11 (d)(m) | 735 | 0* | ||
New ASAT Finance Ltd. 9.25% 2/1/11 (d) | 2,100 | 3 | ||
NXP BV: | ||||
3.8813% 10/15/13 (m) | 18,985 | 7,214 | ||
7.875% 10/15/14 | 13,305 | 5,921 | ||
9.5% 10/15/15 | 17,060 | 5,971 | ||
Spansion LLC 11.25% 1/15/16 (d)(i) | 4,255 | 1,069 | ||
Viasystems, Inc. 10.5% 1/15/11 | 4,065 | 3,618 | ||
| 73,811 | |||
Software - 0.0% | ||||
Open Solutions, Inc. 9.75% 2/1/15 (i) | 870 | 357 | ||
TOTAL INFORMATION TECHNOLOGY | 119,760 | |||
MATERIALS - 3.9% | ||||
Chemicals - 0.7% | ||||
Ashland, Inc. 9.125% 6/1/17 (i) | 2,490 | 2,565 | ||
Chemtura Corp. 6.875% 6/1/16 (d) | 1,225 | 888 | ||
Georgia Gulf Corp.: | ||||
7.125% 12/15/13 | 1,325 | 364 | ||
9.5% 10/15/14 | 10,640 | 3,192 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Chemicals - continued | ||||
Huntsman LLC 11.625% 10/15/10 | $ 466 | $ 480 | ||
JohnsonDiversey Holdings, Inc. 10.67% 5/15/13 | 6,095 | 4,937 | ||
MacDermid, Inc. 9.5% 4/15/17 (i) | 500 | 365 | ||
Momentive Performance Materials, Inc.: | ||||
9.75% 12/1/14 | 28,265 | 12,437 | ||
10.875% 12/1/14 pay-in-kind (m) | 7,070 | 2,693 | ||
11.5% 12/1/16 | 19,830 | 5,453 | ||
NOVA Chemicals Corp.: | ||||
4.5375% 11/15/13 (m) | 1,690 | 1,394 | ||
6.5% 1/15/12 | 5,775 | 5,356 | ||
Sterling Chemicals, Inc. 10.25% 4/1/15 | 1,600 | 1,456 | ||
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 (d) | 3,430 | 549 | ||
| 42,129 | |||
Construction Materials - 0.1% | ||||
CRH Finance BV 7.375% 5/28/14 | EUR | 550 | 784 | |
Holcim GB Finance Ltd. 8.75% 4/24/17 | GBP | 300 | 519 | |
Lafarge SA: | ||||
6.625% 11/29/17 | GBP | 735 | 1,035 | |
8.75% 5/30/17 | GBP | 2,300 | 3,750 | |
| 6,088 | |||
Containers & Packaging - 0.8% | ||||
AEP Industries, Inc. 7.875% 3/15/13 | 640 | 578 | ||
Berry Plastics Holding Corp.: | ||||
4.5044% 9/15/14 (m) | 640 | 422 | ||
8.875% 9/15/14 | 19,025 | 16,029 | ||
10.25% 3/1/16 | 4,055 | 2,920 | ||
Cellu Tissue Holdings, Inc. 11.5% 6/1/14 (i) | 3,600 | 3,519 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 9,795 | 8,326 | ||
7.5% 12/15/96 | 3,685 | 2,653 | ||
8% 4/15/23 | 2,980 | 2,548 | ||
Rexam PLC 4.375% 3/15/13 | EUR | 1,150 | 1,503 | |
Temple-Inland, Inc.: | ||||
6.625% 1/15/16 | 165 | 148 | ||
7.875% 5/1/12 | 3,735 | 3,735 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Vitro SAB de CV: | ||||
8.625% 2/1/12 (d) | $ 21,240 | $ 8,071 | ||
9.125% 2/1/17 (d) | 2,210 | 840 | ||
| 51,292 | |||
Metals & Mining - 2.1% | ||||
Aleris International, Inc. 9% 12/15/14 pay-in-kind (d)(m) | 2,790 | 31 | ||
ArcelorMittal SA 8.25% 6/3/13 | EUR | 750 | 1,095 | |
Evraz Group SA 8.875% 4/24/13 (i) | 14,445 | 12,170 | ||
FMG Finance Property Ltd.: | ||||
10% 9/1/13 (i) | 4,945 | 4,722 | ||
10.625% 9/1/16 (i) | 21,290 | 20,332 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
6.875% 2/1/14 | 3,655 | 3,736 | ||
8.25% 4/1/15 | 8,780 | 8,835 | ||
8.375% 4/1/17 | 34,820 | 34,994 | ||
Gerdau AmeriSteel Corp./GUSAP Partners 10.375% 7/15/11 | 1,335 | 1,358 | ||
International Steel Group, Inc. 6.5% 4/15/14 | 10,550 | 10,102 | ||
Ispat Inland ULC 9.75% 4/1/14 | 932 | 976 | ||
RathGibson, Inc. 11.25% 2/15/14 | 5,905 | 2,126 | ||
Steel Dynamics, Inc.: | ||||
6.75% 4/1/15 | 4,545 | 4,022 | ||
7.375% 11/1/12 | 865 | 815 | ||
7.75% 4/15/16 (i) | 865 | 804 | ||
Teck Resources Ltd.: | ||||
9.75% 5/15/14 (i) | 6,275 | 6,510 | ||
10.25% 5/15/16 (i) | 8,000 | 8,420 | ||
10.75% 5/15/19 (i) | 9,360 | 9,898 | ||
| 130,946 | |||
Paper & Forest Products - 0.2% | ||||
Abitibi-Consolidated, Inc. 13.75% 4/1/11 (d)(i) | 7,070 | 6,504 | ||
Glatfelter 7.125% 5/1/16 | 550 | 501 | ||
NewPage Corp. 7.2775% 5/1/12 (m) | 1,770 | 708 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Paper & Forest Products - continued | ||||
Solo Cup Co. 8.5% 2/15/14 | $ 2,140 | $ 1,755 | ||
Verso Paper Holdings LLC/ Verso Paper, Inc. 11.5% 7/1/14 (i) | 3,840 | 3,437 | ||
| 12,905 | |||
TOTAL MATERIALS | 243,360 | |||
TELECOMMUNICATION SERVICES - 5.6% | ||||
Diversified Telecommunication Services - 3.1% | ||||
AT&T, Inc.: | ||||
5.875% 4/28/17 | GBP | 1,300 | 2,251 | |
7% 4/30/40 | GBP | 1,200 | 2,157 | |
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 4,895 | 3,843 | ||
9% 8/15/31 | 3,655 | 3,015 | ||
Deutsche Telekom International Financial BV 6.5% 4/8/22 | GBP | 600 | 1,000 | |
Global Village Telecom Finance LLC 12% 6/30/11 (i) | 8,564 | 8,778 | ||
Intelsat Bermuda Ltd. 12.5% 2/4/17 pay-in-kind (g)(i) | 25,537 | 18,968 | ||
Intelsat Corp.: | ||||
9.25% 8/15/14 (i) | 5,215 | 5,032 | ||
9.25% 6/15/16 (i) | 8,820 | 8,423 | ||
Intelsat Ltd. 11.25% 6/15/16 | 27,785 | 28,410 | ||
Koninklijke KPN NV 6.25% 2/4/14 | EUR | 1,400 | 2,125 | |
Level 3 Financing, Inc.: | ||||
8.75% 2/15/17 | 6,170 | 4,689 | ||
9.25% 11/1/14 | 4,140 | 3,395 | ||
12.25% 3/15/13 | 2,785 | 2,646 | ||
Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (i) | 5,425 | 5,235 | ||
Qwest Communications International, Inc.: | ||||
7.5% 2/15/14 | 7,555 | 6,894 | ||
7.5% 2/15/14 | 1,655 | 1,510 | ||
Sistema Capital SA 8.875% 1/28/11 (Reg. S) | 5,810 | 5,607 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 47,925 | 34,027 | ||
6.9% 5/1/19 | 5,935 | 4,911 | ||
8.75% 3/15/32 | 27,255 | 21,940 | ||
Telecom Egypt SAE 12.19% 2/4/10 (m) | EGP | 713 | 121 | |
Telecom Italia SpA 7.375% 12/15/17 | GBP | 2,750 | 4,536 | |
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Telefonica Emisiones SAU: | ||||
5.496% 4/1/16 | EUR | 1,500 | $ 2,200 | |
5.496% 4/1/16 | EUR | 1,100 | 1,613 | |
U.S. West Communications: | ||||
7.25% 9/15/25 | 535 | 407 | ||
7.25% 10/15/35 | 1,455 | 1,040 | ||
7.5% 6/15/23 | 460 | 359 | ||
Wind Acquisition Finance SA 10.75% 12/1/15 (i) | 11,630 | 11,688 | ||
| 196,820 | |||
Wireless Telecommunication Services - 2.5% | ||||
Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 | 4,545 | 4,647 | ||
Cricket Communications, Inc. 10% 7/15/15 | 2,160 | 2,144 | ||
Digicel Group Ltd.: | ||||
8.875% 1/15/15 (i) | 17,550 | 14,742 | ||
9.125% 1/15/15 pay-in-kind (i)(m) | 6,310 | 5,237 | ||
9.25% 9/1/12 (i) | 7,775 | 7,620 | ||
12% 4/1/14 (i) | 9,725 | 9,822 | ||
Intelsat Jackson Holdings Ltd.: | ||||
9.5% 6/15/16 (i) | 19,260 | 19,260 | ||
11.5% 6/15/16 (i) | 8,740 | 8,565 | ||
Intelsat Subsidiary Holding Co. Ltd. 8.875% 1/15/15 | 12,125 | 11,670 | ||
Millicom International Cellular SA 10% 12/1/13 | 11,630 | 11,790 | ||
Mobile Telesystems Finance SA 8% 1/28/12 (i) | 7,884 | 7,785 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 9,445 | 7,438 | ||
7.375% 8/1/15 | 5,220 | 4,163 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (i) | 10,459 | 7,844 | ||
Sprint Nextel Corp. 6% 12/1/16 | 6,700 | 5,477 | ||
Telecom Personal SA 9.25% 12/22/10 (i) | 13,025 | 12,895 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Verizon Wireless Capital LLC 8.75% 12/18/15 | EUR | 2,200 | $ 3,694 | |
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (i) | 15,125 | 13,972 | ||
| 158,765 | |||
TOTAL TELECOMMUNICATION SERVICES | 355,585 | |||
UTILITIES - 2.1% | ||||
Electric Utilities - 0.5% | ||||
Chivor SA E.S.P. 9.75% 12/30/14 (i) | 2,355 | 2,543 | ||
Edison Mission Energy: | ||||
7.5% 6/15/13 | 4,880 | 4,355 | ||
7.75% 6/15/16 | 1,340 | 1,089 | ||
Electricite de France: | ||||
6.25% 1/25/21 | EUR | 2,300 | 3,637 | |
6.875% 12/12/22 | GBP | 1,950 | 3,556 | |
Intergen NV 9% 6/30/17 (i) | 7,670 | 7,267 | ||
Majapahit Holding BV 7.75% 10/17/16 | 3,335 | 2,951 | ||
National Power Corp. 6.875% 11/2/16 (i) | 5,655 | 5,556 | ||
Vattenfall AB 6.25% 3/17/21 | EUR | 950 | 1,457 | |
| 32,411 | |||
Gas Utilities - 0.6% | ||||
Bord Gais Eireann 5.75% 6/16/14 | EUR | 1,400 | 2,004 | |
Intergas Finance BV: | ||||
6.375% 5/14/17 (Reg. S) | 5,020 | 3,752 | ||
6.875% 11/4/11 (Reg. S) | 13,654 | 12,562 | ||
Southern Gas Networks PLC Class A1, 1.645% 10/21/10 (m) | EUR | 1,650 | 2,249 | |
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | 7,350 | 7,146 | ||
8% 3/1/32 | 4,170 | 4,412 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (i) | 11,000 | 8,085 | ||
| 40,210 | |||
Independent Power Producers & Energy Traders - 0.5% | ||||
Energy Future Holdings: | ||||
10.875% 11/1/17 | 21,745 | 15,874 | ||
12% 11/1/17 pay-in-kind (m) | 6,614 | 3,900 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
Enron Corp.: | ||||
Series A, 8.375% 5/23/05 (d) | $ 2,500 | $ 0* | ||
6.4% 7/15/06 (d) | 9,815 | 6 | ||
6.625% 11/15/05 (d) | 2,200 | 1 | ||
6.725% 11/17/08 (d)(m) | 684 | 0* | ||
6.75% 8/1/09 (d) | 550 | 0 | ||
6.875% 10/15/07 (d) | 1,330 | 1 | ||
6.95% 7/15/28 (d) | 1,204 | 0* | ||
7.125% 5/15/07 (d) | 235 | 0* | ||
7.375% 5/15/19 (d) | 1,400 | 1 | ||
7.875% 6/15/03 (d) | 235 | 0* | ||
9.125% 4/1/03 (d) | 50 | 0* | ||
9.875% 6/5/03 (d) | 4,720 | 3 | ||
NRG Energy, Inc. 7.25% 2/1/14 | 5,545 | 5,406 | ||
RRI Energy, Inc.: | ||||
7.625% 6/15/14 | 4,300 | 3,935 | ||
7.875% 6/15/17 | 990 | 886 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (i) | 1,016 | 869 | ||
| 30,882 | |||
Multi-Utilities - 0.5% | ||||
Aquila, Inc. 11.875% 7/1/12 (m) | 1,615 | 1,785 | ||
Centrica PLC 6.375% 3/10/22 | GBP | 1,250 | 2,110 | |
NiSource Finance Corp. 10.75% 3/15/16 | 18,183 | 20,169 | ||
RWE Finance BV 6.125% 7/6/39 (k) | GBP | 1,350 | 2,263 | |
Utilicorp United, Inc. 7.95% 2/1/11 (g) | 39 | 40 | ||
Veolia Environnement 4.375% 12/11/20 | EUR | 1,900 | 2,298 | |
| 28,665 | |||
Water Utilities - 0.0% | ||||
Thames Water Utilities Cayman Finance Ltd. 6.125% 2/4/13 | EUR | 2,000 | 2,941 | |
TOTAL UTILITIES | 135,109 | |||
TOTAL NONCONVERTIBLE BONDS | 2,168,093 | |||
TOTAL CORPORATE BONDS (Cost $2,463,504) | 2,203,547 | |||
U.S. Government and Government Agency Obligations - 21.8% | ||||
| Principal | Value (000s) | ||
Other Government Related - 1.6% | ||||
Bank of America Corp. 2.1% 4/30/12 (FDIC Guaranteed) (j) | $ 1,443 | $ 1,445 | ||
Citibank NA: | ||||
1.5% 7/12/11 (FDIC Guaranteed) (j) | 4,900 | 4,913 | ||
1.875% 5/7/12 (FDIC Guaranteed) (j) | 18,000 | 17,930 | ||
Citigroup Funding, Inc.: | ||||
1.25% 6/3/11 (FDIC Guaranteed) (j) | 9,000 | 8,983 | ||
2% 3/30/12 (FDIC Guaranteed) (j) | 10,000 | 10,023 | ||
2.125% 7/12/12 (FDIC Guaranteed) (j) | 8,910 | 8,911 | ||
General Electric Capital Corp. 1.8% 3/11/11 (FDIC Guaranteed) (j) | 12,000 | 12,108 | ||
JPMorgan Chase & Co. 1.902% 12/26/12 (FDIC Guaranteed) (j) | 15,000 | 14,924 | ||
Morgan Stanley 3.25% 12/1/11 (FDIC Guaranteed) (j) | 21,887 | 22,705 | ||
TOTAL OTHER GOVERNMENT RELATED | 101,942 | |||
U.S. Government Agency Obligations - 6.1% | ||||
Fannie Mae: | ||||
1.875% 4/20/12 | 4,010 | 4,026 | ||
2% 1/9/12 | 15,000 | 15,150 | ||
2.5% 5/15/14 | 23,157 | 22,765 | ||
2.75% 3/13/14 | 32,840 | 32,770 | ||
3% 7/12/10 | 10,000 | 10,253 | ||
3.375% 5/19/11 | 34,002 | 35,396 | ||
4.75% 11/19/12 | 15,800 | 17,183 | ||
6% 5/15/11 | 7,545 | 8,200 | ||
Federal Home Loan Bank: | ||||
1.625% 7/27/11 | 17,150 | 17,244 | ||
2.25% 4/13/12 | 27,710 | 28,044 | ||
3.625% 10/18/13 | 36,405 | 37,641 | ||
Freddie Mac: | ||||
1.5% 1/7/11 | 14,705 | 14,834 | ||
1.75% 6/15/12 | 25,004 | 24,910 | ||
2.125% 3/23/12 | 830 | 838 | ||
2.5% 4/23/14 | 32,980 | 32,458 | ||
3.75% 3/27/19 | 1,050 | 1,032 | ||
5% 2/16/17 | 8,600 | 9,353 | ||
5.125% 11/17/17 | 29,108 | 31,947 | ||
5.5% 8/23/17 | 14,000 | 15,747 | ||
6.875% 9/15/10 | 15,000 | 16,055 | ||
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 | $ 5,078 | ||
Private Export Funding Corp. secured: | ||||
4.974% 8/15/13 | 1,515 | 1,642 | ||
5.685% 5/15/12 | 1,285 | 1,422 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 383,988 | |||
U.S. Treasury Inflation Protected Obligations - 0.5% | ||||
U.S. Treasury Inflation-Indexed Bonds 2.5% 1/15/29 | 16,704 | 17,701 | ||
U.S. Treasury Inflation-Indexed Notes 1.375% 7/15/18 | 15,821 | 15,339 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 33,040 | |||
U.S. Treasury Obligations - 13.6% | ||||
U.S. Treasury Bonds: | ||||
3.5% 2/15/39 | 72,430 | 62,629 | ||
4.25% 5/15/39 | 6,357 | 6,292 | ||
4.375% 2/15/38 | 2,500 | 2,525 | ||
4.5% 5/15/38 | 3,550 | 3,665 | ||
6.125% 8/15/29 | 9,487 | 11,814 | ||
6.25% 8/15/23 | 56,925 | 69,342 | ||
7.5% 11/15/16 | 2,850 | 3,635 | ||
7.5% 11/15/24 | 6,190 | 8,512 | ||
7.875% 2/15/21 | 6,800 | 9,232 | ||
9.875% 11/15/15 | 11,595 | 16,199 | ||
stripped principal 0% 2/15/29 | 40,588 | 16,943 | ||
U.S. Treasury Notes: | ||||
0.875% 3/31/11 | 6,100 | 6,092 | ||
1.125% 6/30/11 | 93,510 | 93,517 | ||
1.125% 1/15/12 | 44,914 | 44,626 | ||
1.5% 12/31/13 | 4,313 | 4,154 | ||
1.875% 6/15/12 (h) | 23,816 | 23,989 | ||
1.875% 2/28/14 | 85 | 83 | ||
1.875% 4/30/14 | 33,802 | 32,801 | ||
2% 11/30/13 | 4,841 | 4,770 | ||
2.25% 5/31/14 (h) | 47,571 | 46,932 | ||
2.625% 6/30/14 | 15,000 | 15,047 | ||
2.625% 4/30/16 | 22,737 | 21,984 | ||
2.75% 2/28/13 | 92,964 | 95,608 | ||
2.75% 2/15/19 | 8,431 | 7,896 | ||
3.125% 8/31/13 | 11,100 | 11,500 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
3.125% 9/30/13 | $ 34,572 | $ 35,766 | ||
3.125% 5/15/19 (h) | 34,077 | 32,959 | ||
3.25% 5/31/16 | 32,018 | 32,158 | ||
3.25% 6/30/16 | 15,700 | 15,749 | ||
3.375% 6/30/13 | 8,470 | 8,872 | ||
3.625% 5/15/13 | 18,692 | 19,771 | ||
3.75% 11/15/18 | 34,582 | 35,179 | ||
3.875% 5/15/18 | 2,550 | 2,627 | ||
4.25% 11/15/17 | 28,890 | 30,641 | ||
4.5% 2/28/11 | 11,301 | 11,980 | ||
4.5% 5/15/17 | 13,745 | 14,833 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 860,322 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,376,311) | 1,379,292 | |||
U.S. Government Agency - Mortgage Securities - 3.1% | ||||
| ||||
Fannie Mae - 1.8% | ||||
3.384% 5/1/35 (m) | 253 | 259 | ||
3.4% 9/1/33 (m) | 1,013 | 1,033 | ||
3.971% 7/1/35 (m) | 715 | 730 | ||
4% 9/1/13 to 5/1/20 | 3,694 | 3,781 | ||
4.025% 11/1/35 (m) | 1,152 | 1,180 | ||
4.338% 3/1/37 (m) | 3,202 | 3,304 | ||
4.398% 11/1/36 (m) | 112 | 115 | ||
4.42% 10/1/33 (m) | 741 | 764 | ||
4.471% 2/1/35 (m) | 2,242 | 2,317 | ||
4.5% 7/1/24 (k)(l) | 9,000 | 9,176 | ||
4.526% 10/1/35 (m) | 3,360 | 3,459 | ||
4.533% 11/1/33 (m) | 217 | 227 | ||
4.597% 7/1/35 (m) | 1,556 | 1,610 | ||
4.614% 10/1/35 (m) | 197 | 202 | ||
4.667% 7/1/35 (m) | 538 | 556 | ||
4.696% 2/1/35 (m) | 2,245 | 2,310 | ||
4.713% 2/1/35 (m) | 942 | 979 | ||
4.717% 11/1/35 (m) | 960 | 1,000 | ||
4.763% 7/1/35 (m) | 544 | 564 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Fannie Mae - continued | ||||
4.784% 3/1/35 (m) | $ 957 | $ 986 | ||
4.787% 7/1/35 (m) | 733 | 760 | ||
4.799% 8/1/35 (m) | 1,752 | 1,831 | ||
4.822% 6/1/35 (m) | 1,151 | 1,190 | ||
4.827% 10/1/34 (m) | 1,434 | 1,461 | ||
4.846% 3/1/33 (m) | 374 | 382 | ||
4.895% 2/1/36 (m) | 1,786 | 1,851 | ||
4.91% 1/1/35 (m) | 567 | 583 | ||
4.987% 7/1/35 (m) | 810 | 835 | ||
4.988% 2/1/34 (m) | 1,086 | 1,123 | ||
4.994% 2/1/35 (m) | 903 | 930 | ||
5% 1/1/14 to 5/1/22 | 278 | 288 | ||
5.006% 12/1/32 (m) | 796 | 814 | ||
5.018% 5/1/35 (m) | 2,199 | 2,291 | ||
5.06% 10/1/35 (m) | 933 | 959 | ||
5.069% 4/1/35 (m) | 1,498 | 1,533 | ||
5.095% 8/1/35 (m) | 7,997 | 8,302 | ||
5.102% 10/1/35 (m) | 551 | 570 | ||
5.108% 4/1/36 (m) | 749 | 782 | ||
5.124% 10/1/35 (m) | 696 | 724 | ||
5.142% 7/1/35 (m) | 2,020 | 2,096 | ||
5.152% 8/1/34 (m) | 1,010 | 1,038 | ||
5.261% 5/1/35 (m) | 770 | 804 | ||
5.305% 7/1/35 (m) | 301 | 312 | ||
5.309% 3/1/36 (m) | 5,768 | 6,026 | ||
5.344% 2/1/37 (m) | 501 | 521 | ||
5.377% 2/1/37 (m) | 2,160 | 2,238 | ||
5.466% 2/1/37 (m) | 3,093 | 3,227 | ||
5.485% 11/1/36 (m) | 611 | 632 | ||
5.498% 6/1/47 (m) | 372 | 386 | ||
5.5% 3/1/12 to 4/1/16 | 731 | 754 | ||
5.632% 4/1/36 (m) | 2,112 | 2,207 | ||
5.664% 2/1/36 (m) | 516 | 539 | ||
5.771% 3/1/36 (m) | 4,105 | 4,315 | ||
5.804% 9/1/36 (m) | 880 | 909 | ||
5.835% 6/1/35 (m) | 1,869 | 1,952 | ||
5.864% 5/1/36 (m) | 541 | 565 | ||
5.88% 12/1/36 (m) | 796 | 836 | ||
5.987% 4/1/36 (m) | 8,279 | 8,647 | ||
6% 5/1/12 to 1/1/26 | 7,221 | 7,688 | ||
6.117% 4/1/36 (m) | 815 | 852 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Fannie Mae - continued | ||||
6.22% 3/1/37 (m) | $ 280 | $ 294 | ||
6.248% 6/1/36 (m) | 137 | 142 | ||
6.5% 12/1/12 to 9/1/32 | 3,730 | 3,994 | ||
7.5% 1/1/28 | 81 | 89 | ||
TOTAL FANNIE MAE | 112,824 | |||
Freddie Mac - 1.3% | ||||
3.12% 6/1/33 (m) | 638 | 648 | ||
3.741% 5/1/35 (m) | 1,389 | 1,418 | ||
3.797% 12/1/33 (m) | 1,276 | 1,306 | ||
3.927% 7/1/33 (m) | 1,251 | 1,273 | ||
4% 5/1/19 to 11/1/20 | 4,141 | 4,240 | ||
4.143% 9/1/36 (m) | 564 | 579 | ||
4.489% 7/1/35 (m) | 895 | 908 | ||
4.5% 8/1/33 | 623 | 623 | ||
4.5% 4/1/35 (m) | 1,754 | 1,822 | ||
4.774% 3/1/35 (m) | 523 | 535 | ||
4.792% 2/1/36 (m) | 202 | 209 | ||
4.859% 1/1/35 (m) | 1,742 | 1,781 | ||
5.005% 4/1/35 (m) | 1,912 | 1,973 | ||
5.007% 10/1/35 (m) | 898 | 931 | ||
5.023% 4/1/35 (m) | 103 | 107 | ||
5.088% 10/1/36 (m) | 867 | 904 | ||
5.106% 7/1/35 (m) | 548 | 565 | ||
5.251% 2/1/36 (m) | 54 | 57 | ||
5.296% 9/1/35 (m) | 507 | 523 | ||
5.474% 3/1/37 (m) | 288 | 296 | ||
5.478% 4/1/37 (m) | 306 | 317 | ||
5.486% 1/1/36 (m) | 684 | 717 | ||
5.5% 8/1/14 to 2/1/19 | 12,122 | 12,775 | ||
5.599% 3/1/36 (m) | 3,235 | 3,357 | ||
5.692% 10/1/35 (m) | 237 | 248 | ||
5.693% 1/1/36 (m) | 272 | 283 | ||
5.737% 5/1/37 (m) | 599 | 624 | ||
5.744% 5/1/37 (m) | 3,758 | 3,925 | ||
5.775% 5/1/37 (m) | 2,148 | 2,239 | ||
5.78% 4/1/37 (m) | 1,738 | 1,806 | ||
5.781% 3/1/37 (m) | 1,564 | 1,598 | ||
5.815% 6/1/37 (m) | 1,325 | 1,384 | ||
5.846% 5/1/37 (m) | 280 | 291 | ||
5.952% 4/1/36 (m) | 5,979 | 6,215 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Freddie Mac - continued | ||||
5.954% 6/1/37 (m) | $ 300 | $ 314 | ||
6% 7/1/16 to 2/1/19 | 6,411 | 6,829 | ||
6.06% 6/1/36 (m) | 1,053 | 1,100 | ||
6.092% 12/1/36 (m) | 3,909 | 4,067 | ||
6.141% 2/1/37 (m) | 637 | 669 | ||
6.142% 12/1/36 (m) | 1,125 | 1,180 | ||
6.207% 8/1/36 (m) | 3,889 | 4,065 | ||
6.22% 7/1/36 (m) | 593 | 620 | ||
6.291% 1/1/37 (m) | 1,234 | 1,286 | ||
6.419% 6/1/37 (m) | 167 | 175 | ||
6.5% 10/1/10 to 3/1/22 | 5,933 | 6,333 | ||
6.651% 8/1/37 (m) | 1,103 | 1,159 | ||
7.347% 4/1/37 (m) | 78 | 82 | ||
8.5% 3/1/20 | 7 | 7 | ||
TOTAL FREDDIE MAC | 84,363 | |||
Government National Mortgage Association - 0.0% | ||||
6.5% 4/15/26 to 5/15/26 | 32 | 35 | ||
7% 9/15/25 to 8/15/31 | 60 | 65 | ||
7.5% 2/15/22 to 8/15/28 | 107 | 117 | ||
8% 9/15/26 to 12/15/26 | 23 | 25 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 242 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $190,791) | 197,429 | |||
Asset-Backed Securities - 0.1% | ||||
| ||||
Amstel Corp. Loan Offering BV: | ||||
Series 2006-1 Class C, 1.739% 5/25/16 (m) | EUR | 465 | 277 | |
Series 2007-1: | ||||
Class B, 1.476% 3/25/17 (m) | EUR | 1,009 | 368 | |
Class C, 1.656% 3/25/17 (m) | EUR | 734 | 226 | |
Auto ABS Compartiment Series 2006-1 Class B, 1.656% 7/25/17 (m) | EUR | 1,000 | 886 | |
Clock Finance BV Series 2007-1: | ||||
Class B2, 1.479% 2/25/15 (m) | EUR | 700 | 466 | |
Class C2, 1.759% 2/25/15 (m) | EUR | 400 | 241 | |
Geldilux Ltd. Series 2007-TS Class C, 1.966% 9/8/14 (m) | EUR | 400 | 352 | |
Asset-Backed Securities - continued | ||||
| Principal | Value (000s) | ||
GLS Ltd. Series 2006-1 Class C, 1.935% 7/15/14 (m) | EUR | 500 | $ 663 | |
Lambda Finance BV Series 2005-1X Class C1, 1.9769% 11/15/29 (m) | GBP | 500 | 458 | |
Leek Finance PLC: | ||||
Series 17X Class A2A, 0.7488% 12/21/37 (m) | GBP | 202 | 264 | |
Series 18X Class BC, 1.635% 9/21/38 (m) | EUR | 600 | 52 | |
Mermaid Secured Finance 2007-1 Series 2007-1: | ||||
Class C, 1.684% 1/30/40 (m) | EUR | 400 | 488 | |
Class D, 1.884% 1/30/40 (m) | EUR | 550 | 647 | |
Prime Bricks 2007-1 GmbH Series 2007-1: | ||||
Class B, 1.684% 1/30/40 (m) | EUR | 550 | 671 | |
Class C, 1.884% 1/30/40 (m) | EUR | 450 | 538 | |
Promise K 2006-1 GmbH Series I 2006-1 Class D, 1.951% 3/10/17 (m) | EUR | 1,000 | 232 | |
Small Business Administration guaranteed development participation certificates Series 2003-P10B, Class 1 5.136% 8/10/13 | 503 | 523 | ||
Stichting Mars Series 2006 Class C, 1.576% 8/28/14 (m) | EUR | 1,000 | 882 | |
Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27 | GBP | 60 | 65 | |
Volkswagen Car Lease Series 9 Class B, 1.078% 4/21/12 (Reg. S) (m) | EUR | 125 | 166 | |
Whinstone Capital Management Ltd. Series 2005-1X Class B1, 2.375% 10/25/45 (m) | GBP | 526 | 69 | |
TOTAL ASSET-BACKED SECURITIES (Cost $15,912) | 8,534 | |||
Collateralized Mortgage Obligations - 1.2% | ||||
| ||||
Private Sponsor - 0.0% | ||||
Arkle Master Issuer PLC floater Series 2006-1X Class 5M1, 1.536% 2/17/52 (m) | EUR | 800 | 783 | |
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1X Class DC, 1.875% 4/12/56 (m) | EUR | 577 | 349 | |
EPIC PLC Series BROD Class D, 1.885% 1/22/16 (m) | EUR | 291 | 82 | |
RMAC PLC Series 2005-NS4X Class M2A, 1.7831% 12/12/43 (m) | GBP | 1,443 | 586 | |
RMAC Securities PLC 2006 floater Series 2006-NS4X Class M1A, 1.5231% 6/12/44 (m) | GBP | 1,250 | 563 | |
Shield BV Series 1 Class C, 1.8% 1/20/14 (m) | EUR | 1,500 | 1,683 | |
TOTAL PRIVATE SPONSOR | 4,046 | |||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - 1.2% | ||||
Fannie Mae floater Series 2007-95 Class A1, 0.5638% 8/27/36 (m) | $ 5,481 | $ 5,064 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
planned amortization class: | ||||
Series 2001-68 Class QZ, 5.5% 12/25/16 | 1,113 | 1,175 | ||
Series 2002-61 Class PG, 5.5% 10/25/17 | 4,712 | 4,998 | ||
Series 2002-71 Class UC, 5% 11/25/17 | 7,520 | 7,929 | ||
Series 2002-9 Class PC, 6% 3/25/17 | 170 | 181 | ||
Series 2003-113 Class PE, 4% 11/25/18 | 1,515 | 1,516 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 890 | 859 | ||
Series 2003-85 Class GD, 4.5% 9/25/18 | 3,190 | 3,303 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 1,980 | 2,023 | ||
Series 2004-81: | ||||
Class KC, 4.5% 4/25/17 | 1,343 | 1,389 | ||
Class KD, 4.5% 7/25/18 | 3,035 | 3,178 | ||
Series 2005-52 Class PB, 6.5% 12/25/34 | 2,708 | 2,898 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 594 | 626 | ||
Series 2004-95 Class AN, 5.5% 1/25/25 | 1,657 | 1,752 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 808 | 743 | ||
Series 2005-29 Class KA, 4.5% 2/25/35 | 2,285 | 2,353 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 2,480 | 2,651 | ||
Freddie Mac planned amortization class: | ||||
Series 2101 Class PD, 6% 11/15/28 | 335 | 357 | ||
Series 2115 Class PE, 6% 1/15/14 | 110 | 117 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2577 Class FW, 0.8194% 1/15/30 (m) | 3,352 | 3,361 | ||
Series 2630 Class FL, 0.8194% 6/15/18 (m) | 104 | 105 | ||
Series 2861 Class GF, 0.6194% 1/15/21 (m) | 1,421 | 1,422 | ||
planned amortization class: | ||||
Series 2376 Class JE, 5.5% 11/15/16 | 637 | 669 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 496 | 522 | ||
Series 2425 Class JH, 6% 3/15/17 | 862 | 916 | ||
Series 2628 Class OE, 4.5% 6/15/18 | 1,630 | 1,695 | ||
Series 2695 Class DG, 4% 10/15/18 | 3,865 | 3,874 | ||
Series 2831 Class PB, 5% 7/15/19 | 3,990 | 4,155 | ||
Series 2866 Class XE, 4% 12/15/18 | 4,450 | 4,555 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 690 | 722 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | $ 889 | $ 935 | ||
Series 2467 Class NB, 5% 7/15/17 | 1,610 | 1,697 | ||
Series 2570 Class CU, 4.5% 7/15/17 | 226 | 234 | ||
Series 2572 Class HK, 4% 2/15/17 | 300 | 307 | ||
Series 2617 Class GW, 3.5% 6/15/16 | 71 | 71 | ||
Series 2627: | ||||
Class BG, 3.25% 6/15/17 | 155 | 157 | ||
Class KP, 2.87% 12/15/16 | 148 | 149 | ||
Series 2860 Class CP, 4% 10/15/17 | 254 | 259 | ||
Series 2564 Class BQ, 5.5% 10/15/17 | 2,043 | 2,160 | ||
Series 2715 Class NG, 4.5% 12/15/18 | 2,155 | 2,211 | ||
Series 2863 Class DB, 4% 9/15/14 | 222 | 226 | ||
Series 2975 Class NA, 5% 7/15/23 | 419 | 424 | ||
TOTAL U.S. GOVERNMENT AGENCY | 73,938 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $79,752) | 77,984 | |||
Commercial Mortgage Securities - 0.2% | ||||
| ||||
Bruntwood Alpha PLC Series 2007-1 Class C, 2.0244% 1/15/17 (m) | GBP | 700 | 242 | |
Canary Wharf Finance II PLC Series 3MUK Class C2, 1.6506% 10/22/37 (m) | GBP | 1,000 | 494 | |
European Property Capital 4 PLC Class C, 1.7881% 7/20/14 (Reg. S) (m) | GBP | 297 | 346 | |
German Residential Asset Note Distributor PLC Series 1 Class A, 1.65% 7/20/16 (m) | EUR | 1,274 | 1,273 | |
JLOC 36 LLC Reg. S: | ||||
Class A1, 0.7963% 2/16/16 (m) | JPY | 70,170 | 699 | |
Class B, 0.9663% 2/16/16 (m) | JPY | 73,970 | 700 | |
JLOC 37 LLC (Reg. S) Series X Class B1, 0.9544% 1/15/15 (m) | JPY | 73,799 | 693 | |
London & Regional Debt Securitisation No. 1 PLC Class A, 1.7444% 10/15/14 (m) | GBP | 650 | 838 | |
Opera Finance (CMH) PLC Class B, 1.4313% 1/15/15 (m) | EUR | 1,100 | 617 | |
Opera Finance (LAKESIDE) PLC 1.7019% 7/31/13 (m) | GBP | 960 | 1,349 | |
Commercial Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Paris Prime Community Real Estate Series 2006-1 Class B, 1.655% 4/22/14 (i)(m) | EUR | 721 | $ 657 | |
Real Estate Capital Foundation Ltd. Series 3 Class A, 1.3313% 7/15/16 (m) | GBP | 1,708 | 1,935 | |
Rivoli Pan Europe PLC Series 2006-1 Class B 1.645% 8/3/18 (m) | EUR | 650 | 486 | |
Silver Maple Investment Co. Ltd. Class 2A, 1.544% 4/30/14 (m) | EUR | 700 | 838 | |
Skyline BV Series 2007-1 Class D, 2.215% 7/22/43 (m) | EUR | 1,100 | 637 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $18,979) | 11,804 | |||
Foreign Government and Government Agency Obligations - 19.8% | ||||
| ||||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 12,613 | 6,496 | ||
par 2.5% 12/31/38 (g) | 7,920 | 2,039 | ||
7% 3/28/11 | 109,625 | 76,512 | ||
7% 9/12/13 | 74,525 | 41,386 | ||
19.9757% to 28.8766% 8/3/09 | 11,587 | 11,345 | ||
Austrian Republic 5% 12/20/24 (i) | CAD | 2,000 | 1,632 | |
Banco Central del Uruguay: | ||||
value recovery A rights 1/2/21 (o) | 1,000,000 | 0* | ||
value recovery B rights 1/2/21 (o) | 750,000 | 0* | ||
Brazilian Federative Republic: | ||||
6% 9/15/13 | 1,275 | 1,272 | ||
8.25% 1/20/34 | 3,925 | 4,710 | ||
8.75% 2/4/25 | 3,540 | 4,354 | ||
10% 1/1/12 | BRL | 3,416 | 1,696 | |
12.25% 3/6/30 | 4,825 | 7,841 | ||
12.75% 1/15/20 | 1,380 | 2,084 | ||
Canadian Government: | ||||
3% 6/1/14 | CAD | 79,000 | 69,567 | |
4% 6/1/16 | CAD | 58,800 | 54,015 | |
5% 6/1/37 | CAD | 26,400 | 27,097 | |
Central Bank of Nigeria: | ||||
promissory note 5.092% 1/5/10 | 643 | 368 | ||
warrants 11/15/20 (a)(o) | 2,750 | 289 | ||
Colombian Republic 7.375% 9/18/37 | 5,125 | 5,228 | ||
Democratic Socialist Republic of Sri Lanka 8.25% 10/24/12 (i) | 5,465 | 5,082 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Dominican Republic: | ||||
2.125% 8/30/24 (m) | $ 4,323 | $ 2,853 | ||
9.04% 1/23/18 (i) | 9,651 | 8,589 | ||
9.5% 9/27/11 (Reg. S) | 9,810 | 9,712 | ||
Ecuador Republic 5% 2/28/25 | 1,580 | 837 | ||
El Salvador Republic: | ||||
7.65% 6/15/35 | 3,285 | 2,759 | ||
7.75% 1/24/23 (Reg. S) | 1,900 | 1,872 | ||
8.25% 4/10/32 (Reg. S) | 1,435 | 1,304 | ||
8.5% 7/25/11 (Reg. S) | 1,845 | 1,887 | ||
Gabonese Republic 8.2% 12/12/17 (i) | 15,100 | 13,250 | ||
Georgia Republic 7.5% 4/15/13 | 5,060 | 4,276 | ||
German Federal Republic: | ||||
4.25% 7/4/14 | EUR | 28,023 | 42,398 | |
4.75% 7/4/40 | EUR | 24,950 | 38,300 | |
5.5% 1/4/31 | EUR | 17,400 | 28,315 | |
Ghana Republic 8.5% 10/4/17 (i) | 8,950 | 7,406 | ||
Greek Government: | ||||
4.6% 9/20/40 | EUR | 17,900 | 20,771 | |
5.5% 8/20/14 | EUR | 11,050 | 16,710 | |
6% 7/19/19 | EUR | 5,000 | 7,506 | |
Indonesian Republic: | ||||
6.625% 2/17/37 (i) | 4,100 | 3,362 | ||
6.875% 3/9/17 (i) | 2,845 | 2,760 | ||
6.875% 1/17/18 (i) | 5,535 | 5,341 | ||
7.25% 4/20/15 (i) | 2,985 | 3,015 | ||
7.75% 1/17/38 (i) | 5,560 | 5,115 | ||
8.5% 10/12/35 (Reg. S) | 4,990 | 5,065 | ||
11.625% 3/4/19 (i) | 4,330 | 5,477 | ||
Irish Republic 5.9% 10/18/19 | EUR | 16,000 | 22,721 | |
Islamic Republic of Pakistan 7.125% 3/31/16 (i) | 9,515 | 6,470 | ||
Italian Republic: | ||||
3.5% 6/1/14 | EUR | 46,250 | 65,628 | |
5% 8/1/39 | EUR | 15,550 | 20,830 | |
Japan Government: | ||||
0.4% 5/15/11 | JPY | 2,350,000 | 24,448 | |
0.6% 4/15/10 | JPY | 1,300,000 | 13,540 | |
1.5% 9/20/18 | JPY | 1,190,000 | 12,599 | |
1.7% 12/20/16 | JPY | 6,850,000 | 74,599 | |
2.5% 9/20/37 | JPY | 1,525,000 | 16,883 | |
Lebanese Republic: | ||||
8.625% 6/20/13 (Reg. S) | 4,260 | 4,494 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Lebanese Republic: - continued | ||||
9% 5/2/14 | $ 2,780 | $ 2,919 | ||
Pakistan International Sukuk Co. Ltd. 3.8275% 1/27/10 (m) | 3,690 | 3,579 | ||
Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (i) | 2,160 | 2,295 | ||
Peruvian Republic 3% 3/7/27 (g) | 900 | 747 | ||
Philippine Republic: | ||||
9.5% 2/2/30 | 1,540 | 1,890 | ||
10.625% 3/16/25 | 1,465 | 1,919 | ||
Republic of Fiji 6.875% 9/13/11 | 5,010 | 4,259 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 5,300 | 3,366 | ||
Republic of Serbia 3.75% 11/1/24 (g)(i) | 18,105 | 15,887 | ||
Russian Federation: | ||||
7.5% 3/31/30 (Reg. S) | 72,480 | 71,393 | ||
12.75% 6/24/28 (Reg. S) | 7,455 | 10,698 | ||
Turkish Republic: | ||||
6.75% 4/3/18 | 5,860 | 5,816 | ||
6.875% 3/17/36 | 11,960 | 11,093 | ||
7% 9/26/16 | 3,865 | 3,952 | ||
7.25% 3/5/38 | 6,850 | 6,576 | ||
7.375% 2/5/25 | 13,680 | 13,783 | ||
UK Treasury GILT: | ||||
2.25% 3/7/14 | GBP | 26,500 | 41,896 | |
4.25% 12/7/55 | GBP | 8,895 | 14,369 | |
4.5% 3/7/19 | GBP | 2,740 | 4,804 | |
4.5% 9/7/34 | GBP | 21,800 | 36,216 | |
Ukraine Cabinet of Ministers: | ||||
5.1513% 8/5/09 (m) | 26,290 | 25,764 | ||
6.875% 3/4/11 (Reg. S) | 6,265 | 5,357 | ||
Ukraine Government: | ||||
6.385% 6/26/12 (i) | 6,515 | 5,017 | ||
6.75% 11/14/17 (i) | 20,320 | 13,818 | ||
United Mexican States: | ||||
7.5% 4/8/33 | 1,770 | 1,918 | ||
8.3% 8/15/31 | 1,710 | 2,005 | ||
Uruguay Republic: | ||||
Inflation-Indexed Bond 5% 9/14/18 | UYU | 38,067 | 1,485 | |
8% 11/18/22 | 6,062 | 6,365 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (o) | 3,260 | 62 | ||
2.1006% 4/20/11 (Reg. S) (m) | 23,800 | 19,516 | ||
5.375% 8/7/10 (Reg. S) | 4,925 | 4,617 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Venezuelan Republic: - continued | ||||
7% 3/31/38 | $ 3,450 | $ 1,682 | ||
8.5% 10/8/14 | 10,500 | 7,481 | ||
9% 5/7/23 (Reg. S) | 20,620 | 12,630 | ||
9.25% 9/15/27 | 15,820 | 10,718 | ||
9.375% 1/13/34 | 4,855 | 3,034 | ||
10.75% 9/19/13 | 32,378 | 26,712 | ||
13.625% 8/15/18 | 15,680 | 13,642 | ||
Vietnamese Socialist Republic: | ||||
4% 3/12/28 (g) | 7,625 | 5,261 | ||
6.875% 1/15/16 (i) | 2,565 | 2,565 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,284,911) | 1,251,211 | |||
Supranational Obligations - 0.1% | ||||
| ||||
European Investment Bank euro 3.5% 4/15/16 | EUR | 2,400 | 3,338 |
Common Stocks - 0.1% | |||
Shares |
| ||
CONSUMER DISCRETIONARY - 0.0% | |||
Auto Components - 0.0% | |||
Intermet Corp. (a)(p) | 113,725 | 0* | |
Remy International, Inc. (a) | 40,800 | 184 | |
Media - 0.0% | |||
Virgin Media, Inc. warrants 1/10/11 (a) | 6 | 0* | |
TOTAL CONSUMER DISCRETIONARY | 184 | ||
INDUSTRIALS - 0.1% | |||
Airlines - 0.1% | |||
Delta Air Lines, Inc. (a) | 810,325 | 4,692 | |
INFORMATION TECHNOLOGY - 0.0% | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
ASAT Holdings Ltd. warrants 2/1/11 (a)(p) | 546,000 | 3 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
MATERIALS - 0.0% | |||
Containers & Packaging - 0.0% | |||
Constar International, Inc. (a) | 25,300 | $ 380 | |
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | 142 | |
TOTAL COMMON STOCKS (Cost $17,197) | 5,401 | ||
Preferred Stocks - 0.0% | |||
|
|
|
|
Convertible Preferred Stocks - 0.0% | |||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
Celanese Corp. 4.25% | 6,600 | 207 | |
Nonconvertible Preferred Stocks - 0.0% | |||
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
Preferred Blocker, Inc. 7.00% (i) | 1,046 | 455 | |
TELECOMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
PTV, Inc. Series A, 10.00% | 119 | 0* | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 455 | ||
TOTAL PREFERRED STOCKS (Cost $500) | 662 |
Floating Rate Loans - 6.6% | ||||
| Principal |
| ||
CONSUMER DISCRETIONARY - 2.3% | ||||
Auto Components - 0.2% | ||||
TRW Automotive Holdings Corp. Tranche B1, term loan 1.875% 2/9/14 (m) | $ 2,360 | 2,100 | ||
Visteon Corp. term loan 4.426% 6/13/13 (d)(m) | 20,095 | 8,239 | ||
| 10,339 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
CONSUMER DISCRETIONARY - continued | ||||
Automobiles - 0.3% | ||||
AM General LLC: | ||||
Credit-Linked Deposit 3.3113% 9/30/12 (m) | $ 132 | $ 122 | ||
Tranche B, term loan 3.4454% 9/30/13 (m) | 2,970 | 2,733 | ||
Ford Motor Co. term loan 3.5944% 12/15/13 (m) | 21,747 | 15,929 | ||
| 18,784 | |||
Diversified Consumer Services - 0.3% | ||||
Affinion Group Holdings, Inc. term loan 8.5225% 3/1/12 (m) | 4,150 | 3,115 | ||
ServiceMaster Co.: | ||||
term loan 2.8859% 7/24/14 (m) | 6,410 | 5,128 | ||
Tranche DD, term loan 2.81% 7/24/14 (m) | 616 | 493 | ||
Thomson Learning, Inc. term loan 2.81% 7/5/14 (m) | 12,901 | 10,708 | ||
| 19,444 | |||
Hotels, Restaurants & Leisure - 0.2% | ||||
Green Valley Ranch Gaming LLC Tranche 1LN, term loan 3.4577% 2/16/14 (m) | 141 | 82 | ||
Las Vegas Sands LLC: | ||||
term loan 2.06% 5/23/14 (m) | 147 | 103 | ||
Tranche B, term loan 2.06% 5/23/14 (m) | 728 | 510 | ||
OSI Restaurant Partners, Inc.: | ||||
Credit-Linked Deposit 2.8794% 6/14/13 (m) | 41 | 29 | ||
term loan 2.625% 6/14/14 (m) | 449 | 321 | ||
Six Flags, Inc. Tranche B, term loan 3.3655% 4/30/15 (m) | 14,543 | 13,816 | ||
| 14,861 | |||
Media - 0.8% | ||||
Advanstar, Inc. Tranche 2LN, term loan 5.5975% 11/30/14 (m) | 380 | 19 | ||
Charter Communications Operating LLC Tranche B 1LN, term loan 6.25% 3/6/14 (m) | 18,792 | 16,631 | ||
Discovery Communications, Inc. term loan 2.5975% 5/14/14 (m) | 1,029 | 967 | ||
Education Media and Publishing Group Ltd.: | ||||
Tranche 1LN, term loan 7.66% 6/12/14 (m) | 14,053 | 9,837 | ||
Tranche 2LN, term loan 11.75% 12/12/14 (m) | 28,842 | 4,326 | ||
Idearc, Inc. term loan 3.4179% 11/17/14 (d)(m) | 3,747 | 1,574 | ||
Univision Communications, Inc. Tranche 1LN, term loan 2.56% 9/29/14 (m) | 25,720 | 19,097 | ||
| 52,451 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - 0.4% | ||||
Burlington Coat Factory Warehouse Corp. term loan 2.56% 5/28/13 (m) | $ 6,791 | $ 5,297 | ||
Michaels Stores, Inc. term loan 2.6762% 10/31/13 (m) | 23,133 | 18,160 | ||
Toys 'R' US, Inc. term loan 3.32% 12/8/09 (m) | 1,554 | 1,527 | ||
| 24,984 | |||
Textiles, Apparel & Luxury Goods - 0.1% | ||||
Hanesbrands, Inc. term loan 4.8419% 3/5/14 (m) | 1,650 | 1,551 | ||
Levi Strauss & Co. term loan 2.5681% 4/4/14 (m) | 1,580 | 1,304 | ||
| 2,855 | |||
TOTAL CONSUMER DISCRETIONARY | 143,718 | |||
CONSUMER STAPLES - 0.2% | ||||
Beverages - 0.0% | ||||
Constellation Brands, Inc. Tranche B, term loan 1.875% 6/5/13 (m) | 935 | 888 | ||
Food & Staples Retailing - 0.0% | ||||
Rite Aid Corp. Tranche ABL, term loan 2.0668% 6/4/14 (m) | 2,666 | 2,106 | ||
Household Products - 0.1% | ||||
Spectrum Brands, Inc.: | ||||
Tranche B1, term loan 6.5722% 3/30/13 (m) | 6,752 | 6,026 | ||
4.4613% 3/30/13 (m) | 143 | 128 | ||
| 6,154 | |||
Personal Products - 0.1% | ||||
Revlon Consumer Products Corp. term loan 4.5243% 1/15/12 (m) | 4,769 | 4,328 | ||
TOTAL CONSUMER STAPLES | 13,476 | |||
ENERGY - 0.1% | ||||
Energy Equipment & Services - 0.0% | ||||
Compagnie Generale de Geophysique SA term loan 4.4717% 1/12/14 (m) | 432 | 415 | ||
Helix Energy Solutions Group, Inc. term loan 2.8566% 7/1/13 (m) | 684 | 634 | ||
| 1,049 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - 0.1% | ||||
Coffeyville Resources LLC: | ||||
Credit-Linked Deposit 8.75% 12/28/10 (m) | $ 213 | $ 190 | ||
Tranche D, term loan 8.75% 12/28/13 (m) | 1,709 | 1,529 | ||
Venoco, Inc. Tranche 2LN, term loan 4.375% 5/7/14 (m) | 405 | 308 | ||
| 2,027 | |||
TOTAL ENERGY | 3,076 | |||
FINANCIALS - 0.5% | ||||
Consumer Finance - 0.2% | ||||
DaimlerChrysler Financial Services Tranche 1LN, term loan 4.32% 8/3/12 (m) | 15,324 | 14,404 | ||
Diversified Financial Services - 0.1% | ||||
Clear Channel Capital I LLC Tranche B, term loan 3.9575% 1/29/16 (m) | 8,645 | 5,101 | ||
MGM Holdings II, Inc. Tranche B, term loan 3.56% 4/8/12 (m) | 2,235 | 1,229 | ||
| 6,330 | |||
Real Estate Management & Development - 0.2% | ||||
Realogy Corp.: | ||||
Credit-Linked Deposit 3.5007% 10/10/13 (m) | 1,943 | 1,399 | ||
Tranche B, term loan 4.1769% 10/10/13 (m) | 7,217 | 5,196 | ||
Tranche DD, term loan 4.1586% 10/10/13 (m) | 6,982 | 5,027 | ||
| 11,622 | |||
TOTAL FINANCIALS | 32,356 | |||
HEALTH CARE - 0.0% | ||||
Health Care Providers & Services - 0.0% | ||||
Health Management Associates, Inc. Tranche B, term loan 2.3475% 2/28/14 (m) | 881 | 777 | ||
Pharmaceuticals - 0.0% | ||||
PTS Acquisition Corp. term loan 2.56% 4/10/14 (m) | 2,064 | 1,698 | ||
TOTAL HEALTH CARE | 2,475 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
INDUSTRIALS - 0.8% | ||||
Aerospace & Defense - 0.0% | ||||
DeCrane Aircraft Holdings, Inc.: | ||||
Tranche 1LN, term loan 6.3794% 2/21/13 (m) | $ 83 | $ 61 | ||
Tranche 2LN, term loan 10.6294% 2/21/14 (m) | 140 | 56 | ||
Wesco Aircraft Hardware Corp. Tranche 2LN, term loan 6.06% 3/28/14 (m) | 70 | 48 | ||
| 165 | |||
Airlines - 0.3% | ||||
Delta Air Lines, Inc. Tranche 2LN, term loan 3.5675% 4/30/14 (m) | 10,317 | 7,119 | ||
Northwest Airlines, Inc. term loan 2.32% 12/31/10 (m) | 7,181 | 6,786 | ||
United Air Lines, Inc. Tranche B, term loan 2.3309% 2/1/14 (m) | 12,615 | 7,285 | ||
| 21,190 | |||
Commercial Services & Supplies - 0.0% | ||||
Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 6.4625% 2/7/15 (m) | 650 | 384 | ||
Industrial Conglomerates - 0.1% | ||||
Sequa Corp. term loan 4.057% 12/3/14 (m) | 3,462 | 2,614 | ||
Machinery - 0.1% | ||||
Chart Industries, Inc. Tranche B, term loan 2.3125% 10/17/12 (m) | 53 | 50 | ||
Dresser, Inc.: | ||||
Tranche 2LN, term loan 6.0681% 5/4/15 pay-in-kind (m) | 4,050 | 2,876 | ||
Tranche B 1LN, term loan 3.1044% 5/4/14 (m) | 524 | 473 | ||
Navistar International Corp.: | ||||
term loan 3.56% 1/19/12 (m) | 4,026 | 3,472 | ||
Credit-Linked Deposit 3.5773% 1/19/12 (m) | 1,464 | 1,263 | ||
| 8,134 | |||
Road & Rail - 0.2% | ||||
Swift Transportation Co., Inc. term loan 8.375% 5/10/14 (m) | 15,120 | 11,227 | ||
Trading Companies & Distributors - 0.1% | ||||
Neff Corp. Tranche 2LN, term loan 3.8213% 11/30/14 (m) | 810 | 146 | ||
VWR Funding, Inc. term loan 2.81% 6/29/14 (m) | 6,140 | 5,403 | ||
| 5,549 | |||
TOTAL INDUSTRIALS | 49,263 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
INFORMATION TECHNOLOGY - 1.6% | ||||
Electronic Equipment & Components - 1.1% | ||||
Flextronics International Ltd.: | ||||
Tranche B A2, term loan 2.56% 10/1/14 (m) | $ 2,556 | $ 2,109 | ||
Tranche B A3, term loan 2.56% 10/1/14 (m) | 2,983 | 2,461 | ||
Tranche B-A, term loan 3.0366% 10/1/14 (m) | 5,167 | 4,263 | ||
Tranche B-A1, term loan 3.3813% 10/1/14 (m) | 1,485 | 1,225 | ||
Tranche B-B, term loan 3.4575% 10/1/12 (m) | 3,324 | 2,908 | ||
Texas Competitive Electric Holdings Co. LLC: | ||||
Tranche B1, term loan 3.8206% 10/10/14 (m) | 27,886 | 19,939 | ||
Tranche B2, term loan 3.8206% 10/10/14 (m) | 25,410 | 18,168 | ||
Tranche B3, term loan 3.8206% 10/10/14 (m) | 24,009 | 17,166 | ||
| 68,239 | |||
IT Services - 0.0% | ||||
Affiliated Computer Services, Inc. Tranche B2, term loan 2.3175% 3/20/13 (m) | 3,550 | 3,382 | ||
Semiconductors & Semiconductor Equipment - 0.3% | ||||
Freescale Semiconductor, Inc. term loan: | ||||
2.07% 12/1/13 (m) | 19,290 | 14,082 | ||
12.5% 12/15/14 | 4,708 | 4,096 | ||
| 18,178 | |||
Software - 0.2% | ||||
Kronos, Inc.: | ||||
Tranche 1LN, term loan 2.8475% 6/11/14 (m) | 12,082 | 10,934 | ||
Tranche 2LN, term loan 7.0975% 6/11/15 (m) | 1,790 | 1,360 | ||
Open Solutions, Inc. term loan 3.225% 1/23/14 (m) | 235 | 145 | ||
| 12,439 | |||
TOTAL INFORMATION TECHNOLOGY | 102,238 | |||
MATERIALS - 0.7% | ||||
Chemicals - 0.3% | ||||
Lyondell Chemical Co. term loan 8.6678% 12/15/09 (m)(q) | 8,635 | 8,894 | ||
Momentive Performance Materials, Inc. Tranche B1, term loan 2.625% 12/4/13 (m) | 12,622 | 9,593 | ||
| 18,487 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
MATERIALS - continued | ||||
Containers & Packaging - 0.2% | ||||
Berry Plastics Holding Corp. Tranche C, term loan 2.3213% 4/3/15 (m) | $ 10,268 | $ 8,702 | ||
Smurfit-Stone Container Enterprises, Inc. term loan 2.7377% 11/11/11 (m) | 5,764 | 5,231 | ||
| 13,933 | |||
Metals & Mining - 0.1% | ||||
Aleris International, Inc.: | ||||
Tranche 1LN, term loan 13% 2/12/10 (m)(q) | 1,162 | 1,069 | ||
Tranche B 1LN, term loan: | ||||
4.25% 12/19/13 (d)(m) | 633 | 38 | ||
12.5% 12/19/13 (m) | 1,287 | 424 | ||
Tranche C 1LN, term loan 4.25% 12/19/13 (m) | 883 | 459 | ||
Novelis Corp. term loan 2.444% 7/6/14 (m) | 4,410 | 3,881 | ||
Walter Energy, Inc. term loan 2.5905% 10/3/12 (m) | 61 | 56 | ||
| 5,927 | |||
Paper & Forest Products - 0.1% | ||||
Boise Paper Holdings LLC Tranche 2LN, term loan 9.25% 2/22/15 (m) | 7,260 | 4,901 | ||
White Birch Paper Co. Tranche 1LN, term loan 3.35% 5/8/14 (m) | 1,434 | 387 | ||
| 5,288 | |||
TOTAL MATERIALS | 43,635 | |||
TELECOMMUNICATION SERVICES - 0.4% | ||||
Diversified Telecommunication Services - 0.2% | ||||
Wind Telecomunicazioni SpA: | ||||
term loan 8.3569% 12/21/11 pay-in-kind (m) | 8,385 | 8,287 | ||
Tranche 2, term loan 7.9913% 3/21/15 (m) | 2,840 | 2,684 | ||
Tranche B, term loan 3.9913% 5/26/13 (m) | 1,280 | 1,184 | ||
Tranche C, term loan 4.9913% 5/26/14 (m) | 1,280 | 1,184 | ||
| 13,339 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - 0.2% | ||||
Intelsat Jackson Holdings Ltd. term loan 3.3188% 2/1/14 (m) | $ 17,225 | $ 14,125 | ||
TOTAL TELECOMMUNICATION SERVICES | 27,464 | |||
TOTAL FLOATING RATE LOANS (Cost $400,748) | 417,701 | |||
Sovereign Loan Participations - 0.1% | ||||
| ||||
Indonesian Republic loan participation - Citibank 2.25% 12/14/19 (m) | 5,645 | 3,895 |
Fixed-Income Funds - 6.0% | |||
Shares |
| ||
Fidelity Floating Rate Central Fund (n) | 4,492,783 | 377,843 |
Preferred Securities - 0.6% | ||||
| Principal |
| ||
CONSUMER DISCRETIONARY - 0.4% | ||||
Media - 0.4% | ||||
Globo Comunicacoes e Participacoes SA 9.375% | $ 15,975 | 15,229 | ||
Net Servicos de Comunicacao SA 9.25% (i) | 10,970 | 9,638 | ||
| 24,867 | |||
ENERGY - 0.2% | ||||
Oil, Gas & Consumable Fuels - 0.2% | ||||
Pemex Project Funding Master Trust 7.75% | 15,430 | 13,971 | ||
FINANCIALS - 0.0% | ||||
Diversified Financial Services - 0.0% | ||||
MUFG Capital Finance 3 Ltd. 2.68% (m) | JPY | 150,000 | 1,542 | |
TOTAL PREFERRED SECURITIES (Cost $43,157) | 40,380 |
Money Market Funds - 3.4% | |||
Shares | Value (000s) | ||
Fidelity Cash Central Fund, 0.40% (b) | 213,088,119 | $ 213,088 |
Other - 0.0% | ||||
| Principal |
| ||
Delta Air Lines ALPA Claim (a) | $ 8,380 | 42 |
Cash Equivalents - 3.4% | |||
Maturity Amount (000s) |
| ||
Investments in repurchase agreements in a joint trading account at: | |||
0.02%, dated 6/30/09 due 7/1/09 (Collateralized by U.S. Treasury Obligations) # | 77,828 | 77,828 | |
0.08%, dated 6/30/09 due 7/1/09 (Collateralized by U.S. Government Obligations) # (c) | 138,668 | 138,668 | |
TOTAL CASH EQUIVALENTS (Cost $216,496) | 216,496 | ||
TOTAL INVESTMENT PORTFOLIO - 101.4% (Cost $6,707,942) | 6,408,647 | ||
NET OTHER ASSETS - (1.4)% | (89,758) | ||
NET ASSETS - 100% | $ 6,318,889 |
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 4.73% with Credit Suisse First Boston | April 2038 | $ 6,000 | (627) | ||
Receive semi-annually a fixed rate equal to 3.30% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Sept. 2010 | 14,000 | 512 | ||
| $ 20,000 | $ (115) |
Currency Abbreviations | ||
BRL | - | Brazilian real |
CAD | - | Canadian dollar |
EGP | - | Egyptian pound |
EUR | - | European Monetary Unit |
GBP | - | British pound |
JPY | - | Japanese yen |
RUB | - | Russian ruble |
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) Includes investment made with cash collateral received from securities on loan. |
(d) Non-income producing - Issuer is in default. |
(e) Principal amount is stated in United States dollars unless otherwise noted. |
(f) 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. |
(g) 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. |
(h) Security or a portion of the security is on loan at period end. |
(i) 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 $606,100,000 or 9.6% of net assets. |
(j) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $101,942,000 or 1.6% of net assets. |
(k) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(l) A portion of the security is subject to a forward commitment to sell. |
(m) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(n) 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. |
(o) Quantity represents share amount. |
(p) 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 $3,000 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 |
(q) 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 $3,575,000 and $3,605,000 respectively. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value (Amounts in thousands) |
$77,828,000 due 7/01/09 at 0.02% | |
BNP Paribas Securities Corp. | $ 43,299 |
Banc of America Securities LLC | 7,552 |
Barclays Capital, Inc. | 23,031 |
Deutsche Bank Securities, Inc. | 3,946 |
| $ 77,828 |
$138,668,000 due 7/01/09 at 0.08% | |
J.P. Morgan Securities, Inc. | $ 118,538 |
Merrill Lynch Government Securities, Inc. | 20,130 |
| $ 138,668 |
* Amount represents less than $1,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 1,304 |
Fidelity Floating Rate Central Fund | 8,219 |
Total | $ 9,523 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, | % ownership, |
Fidelity Floating Rate Central Fund | $ 167,148 | $ 136,591 | $ 5,001 | $ 377,843 | 13.9% |
Other Information |
The following is a summary of the inputs used, as of June 30, 2009, involving the Fund's assets and liabilities 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: | ||||
Equities: | ||||
Consumer Discretionary | $ 184 | $ 184 | $ - | $ - |
Financials | 455 | - | 455 | - |
Industrials | 4,692 | 4,692 | - | - |
Information Technology | 3 | - | 3 | - |
Materials | 587 | 380 | 207 | - |
Telecommunication Services | - | - | - | - |
Utilities | 142 | 142 | - | - |
Asset-Backed Securities | 8,534 | - | 4,085 | 4,449 |
Cash Equivalents | 216,496 | - | 216,496 | - |
Collateralized Mortgage Obligations | 77,984 | - | 72,838 | 5,146 |
Commercial Mortgage Securities | 11,804 | - | 10,730 | 1,074 |
Corporate Bonds | 2,203,547 | - | 2,201,112 | 2,435 |
Fixed-Income Funds | 377,843 | 377,843 | - | - |
Floating Rate Loans | 417,701 | - | 413,375 | 4,326 |
Foreign Government and Government Agency Obligations | 1,251,211 | - | 1,250,922 | 289 |
Money Market Funds | 213,088 | 213,088 | - | - |
Other | 42 | - | - | 42 |
Preferred Securities | 40,380 | - | 40,380 | - |
Sovereign Loan Participations | 3,895 | - | 3,895 | - |
Supranational Obligations | 3,338 | - | 3,338 | - |
U.S. Government Agency - Mortgage Securities | 197,429 | - | 197,429 | - |
U.S. Government and Government Agency Obligations | 1,379,292 | - | 1,379,292 | - |
Total Investments in Securities: | $ 6,408,647 | $ 596,329 | $ 5,794,557 | $ 17,761 |
Valuation Inputs at Reporting Date - continued | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Derivative Instruments: | ||||
Assets | ||||
Swap Agreements | $ 512 | $ - | $ 512 | $ - |
Liabilities | ||||
Swap Agreements | $ (627) | $ - | $ (627) | $ - |
Total Derivative Instruments: | $ (115) | $ - | $ (115) | $ - |
Other Financial Instruments: | ||||
Forward Commitments | $ (95) | $ - | $ (95) | $ - |
The following is a reconciliation of Investments in Securities for which level 3 inputs were used in determining value: | |
(Amounts in thousands) Investments in Securities: | |
Beginning Balance | $ 44,183 |
Total Realized Gain (Loss) | 3,009 |
Total Unrealized Gain (Loss) | (11,916) |
Cost of Purchases | 909 |
Proceeds of Sales | (33,149) |
Amortization/Accretion | 287 |
Transfer in/out of Level 3 | 14,438 |
Ending Balance | $ 17,761 |
Total unrealized gain (loss) on investments held at June 30, 2009 | $ (8,658) |
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. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of June 30, 2009. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Interest Rate Risk | ||
Swap Agreements (a) | $ 512 | $ (627) |
Total Value of Derivatives | $ 512 | $ (627) |
(a) Value is disclosed on the Statement of Assets and Liabilities under the Unrealized Appreciation and Unrealized Depreciation on Swap Agreements line-items. |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: (Unaudited) |
United States of America | 67.3% |
Canada | 3.2% |
United Kingdom | 2.7% |
Argentina | 2.6% |
Japan | 2.3% |
Bermuda | 2.3% |
Venezuela | 2.2% |
Germany | 2.1% |
Italy | 1.6% |
Netherlands | 1.5% |
Russia | 1.5% |
Luxembourg | 1.4% |
Others (individually less than 1%) | 9.3% |
| 100.0% |
Income Tax Information |
At December 31, 2008, the fund had a capital loss carryforward of approximately $48,738,000 all of which will expire on December 31, 2016. |
The fund intends to elect to defer to its fiscal year ending December 31, 2009 approximately $44,014,000 of losses recognized during the period November 1, 2008 to December 31, 2008. |
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, 2009 (Unaudited) | |
Assets | ||
Investment in securities, at value (including securities loaned of $136,373 and repurchase agreements of $216,496) - See accompanying schedule: Unaffiliated issuers (cost $6,115,379) | $ 5,817,716 |
|
Fidelity Central Funds (cost $592,563) | 590,931 |
|
Total Investments (cost $6,707,942) |
| $ 6,408,647 |
Commitment to sell securities on a delayed delivery basis | (13,880) | |
Receivable for securities sold on a delayed delivery basis | 13,785 | (95) |
Cash | 6,582 | |
Foreign currency held at value (cost $426) | 426 | |
Receivable for investments sold |
| 87,440 |
Delayed delivery |
| 9,054 |
Receivable for fund shares sold | 15,514 | |
Dividends receivable | 2 | |
Interest receivable | 83,809 | |
Distributions receivable from Fidelity Central Funds | 1,537 | |
Unrealized appreciation on swap agreements | 512 | |
Prepaid expenses | 27 | |
Other receivables | 40 | |
Total assets | 6,613,495 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 112,089 | |
Delayed delivery | 23,407 | |
Payable for fund shares redeemed | 10,544 | |
Distributions payable | 3,347 | |
Unrealized depreciation on swap agreements | 627 | |
Accrued management fee | 2,938 | |
Distribution fees payable | 1,884 | |
Other affiliated payables | 904 | |
Other payables and accrued expenses | 198 | |
Collateral on securities loaned, at value | 138,668 | |
Total liabilities | 294,606 | |
|
|
|
Net Assets | $ 6,318,889 | |
Net Assets consist of: |
| |
Paid in capital | $ 6,622,865 | |
Undistributed net investment income | 57,083 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (61,642) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | (299,417) | |
Net Assets | $ 6,318,889 |
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, 2009 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 11.01 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.01) | $ 11.47 | |
Class T: | $ 11.00 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.00) | $ 11.46 | |
Class B: | $ 11.03 | |
|
|
|
Class C: | $ 10.99 | |
|
|
|
Institutional Class: | $ 11.11 |
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, 2009 (Unaudited) | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 2,017 |
Interest |
| 206,191 |
Income from Fidelity Central Funds |
| 9,523 |
Total income |
| 217,731 |
|
|
|
Expenses | ||
Management fee | $ 16,022 | |
Transfer agent fees | 4,578 | |
Distribution fees | 10,175 | |
Accounting and security lending fees | 696 | |
Custodian fees and expenses | 167 | |
Independent trustees' compensation | 10 | |
Registration fees | 142 | |
Audit | 63 | |
Legal | 30 | |
Miscellaneous | 57 | |
Total expenses before reductions | 31,940 | |
Expense reductions | (5) | 31,935 |
Net investment income | 185,796 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 48,227 | |
Fidelity Central Funds | 938 |
|
Foreign currency transactions | (385) | |
Futures contracts | 344 | |
Swap agreements | 880 |
|
Total net realized gain (loss) |
| 50,004 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 591,965 | |
Assets and liabilities in foreign currencies | (36) | |
Futures contracts | (369) | |
Swap agreements | 2,526 | |
Delayed delivery commitments | 765 |
|
Total change in net unrealized appreciation (depreciation) |
| 594,851 |
Net gain (loss) | 644,855 | |
Net increase (decrease) in net assets resulting from operations | $ 830,651 |
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 | $ 185,796 | $ 326,344 |
Net realized gain (loss) | 50,004 | (130,150) |
Change in net unrealized appreciation (depreciation) | 594,851 | (915,771) |
Net increase (decrease) in net assets resulting | 830,651 | (719,577) |
Distributions to shareholders from net investment income | (145,202) | (299,025) |
Distributions to shareholders from net realized gain | - | (37,399) |
Total distributions | (145,202) | (336,424) |
Share transactions - net increase (decrease) | 305,416 | 379,487 |
Total increase (decrease) in net assets | 990,865 | (676,514) |
|
|
|
Net Assets | ||
Beginning of period | 5,328,024 | 6,004,538 |
End of period (including undistributed net investment income of $57,083 and undistributed net investment income of $16,489, respectively) | $ 6,318,889 | $ 5,328,024 |
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) | 2008 | 2007 | 2006 | 2005 | 2004 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.93 | $ 11.63 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .341 | .600 | .616 | .600 | .571 | .600 |
Net realized and unrealized gain (loss) | 1.168 | (1.826) | (.019) | .248 | (.255) | .445 |
Total from investment operations | 1.509 | (1.226) | .597 | .848 | .316 | 1.045 |
Distributions from net investment income | (.269) | (.554) | (.607) | (.583) | (.551) | (.575) |
Distributions from net realized gain | - | (.070) | (.130) | (.045) | (.155) | (.170) |
Total distributions | (.269) | (.624) | (.737) | (.628) | (.706) | (.745) |
Net asset value, end of period | $ 11.01 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.93 |
Total Return B, C, D | 15.69% | (10.98)% | 5.22% | 7.54% | 2.75% | 9.31% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.03% A | 1.02% | 1.01% | .97% | .99% | 1.00% |
Expenses net of fee waivers, if any | 1.03% A | 1.02% | 1.01% | .97% | .99% | 1.00% |
Expenses net of all reductions | 1.03% A | 1.02% | 1.01% | .97% | .99% | 1.00% |
Net investment income | 6.78% A | 5.49% | 5.27% | 5.18% | 4.92% | 5.20% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 2,677 | $ 2,174 | $ 1,931 | $ 954 | $ 647 | $ 372 |
Portfolio turnover rate G | 259% A | 255% | 149% | 81% | 109% | 94% |
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) | 2008 | 2007 | 2006 | 2005 | 2004 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.92 | $ 11.62 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .341 | .607 | .620 | .594 | .564 | .593 |
Net realized and unrealized gain (loss) | 1.158 | (1.832) | (.021) | .248 | (.245) | .443 |
Total from investment operations | 1.499 | (1.225) | .599 | .842 | .319 | 1.036 |
Distributions from net investment income | (.269) | (.555) | (.609) | (.577) | (.544) | (.566) |
Distributions from net realized gain | - | (.070) | (.130) | (.045) | (.155) | (.170) |
Total distributions | (.269) | (.625) | (.739) | (.622) | (.699) | (.736) |
Net asset value, end of period | $ 11.00 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.92 |
Total Return B, C, D | 15.58% | (10.97)% | 5.24% | 7.49% | 2.77% | 9.23% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.03% A | 1.01% | .99% | 1.02% | 1.05% | 1.07% |
Expenses net of fee waivers, if any | 1.03% A | 1.01% | .99% | 1.02% | 1.05% | 1.07% |
Expenses net of all reductions | 1.03% A | 1.01% | .99% | 1.02% | 1.05% | 1.07% |
Net investment income | 6.78% A | 5.50% | 5.29% | 5.13% | 4.86% | 5.13% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,455 | $ 1,337 | $ 1,983 | $ 2,049 | $ 1,427 | $ 808 |
Portfolio turnover rate G | 259% A | 255% | 149% | 81% | 109% | 94% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended December 31, | ||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 9.80 | $ 11.65 | $ 11.79 | $ 11.57 | $ 11.95 | $ 11.65 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .305 | .525 | .533 | .511 | .486 | .513 |
Net realized and unrealized gain (loss) | 1.157 | (1.831) | (.022) | .247 | (.249) | .441 |
Total from investment operations | 1.462 | (1.306) | .511 | .758 | .237 | .954 |
Distributions from net investment income | (.232) | (.474) | (.521) | (.493) | (.462) | (.484) |
Distributions from net realized gain | - | (.070) | (.130) | (.045) | (.155) | (.170) |
Total distributions | (.232) | (.544) | (.651) | (.538) | (.617) | (.654) |
Net asset value, end of period | $ 11.03 | $ 9.80 | $ 11.65 | $ 11.79 | $ 11.57 | $ 11.95 |
Total Return B, C, D | 15.13% | (11.60)% | 4.44% | 6.70% | 2.06% | 8.45% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.75% A | 1.76% | 1.74% | 1.76% | 1.78% | 1.78% |
Expenses net of fee waivers, if any | 1.75% A | 1.75% | 1.74% | 1.75% | 1.75% | 1.78% |
Expenses net of all reductions | 1.75% A | 1.75% | 1.74% | 1.75% | 1.75% | 1.78% |
Net investment income | 6.06% A | 4.76% | 4.54% | 4.40% | 4.16% | 4.42% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 299 | $ 267 | $ 335 | $ 342 | $ 342 | $ 319 |
Portfolio turnover rate G | 259% A | 255% | 149% | 81% | 109% | 94% |
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) | 2008 | 2007 | 2006 | 2005 | 2004 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 9.76 | $ 11.60 | $ 11.74 | $ 11.53 | $ 11.91 | $ 11.61 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .303 | .517 | .526 | .503 | .475 | .505 |
Net realized and unrealized gain (loss) | 1.158 | (1.817) | (.020) | .238 | (.246) | .444 |
Total from investment operations | 1.461 | (1.300) | .506 | .741 | .229 | .949 |
Distributions from net investment income | (.231) | (.470) | (.516) | (.486) | (.454) | (.479) |
Distributions from net realized gain | - | (.070) | (.130) | (.045) | (.155) | (.170) |
Total distributions | (.231) | (.540) | (.646) | (.531) | (.609) | (.649) |
Net asset value, end of period | $ 10.99 | $ 9.76 | $ 11.60 | $ 11.74 | $ 11.53 | $ 11.91 |
Total Return B, C, D | 15.17% | (11.59)% | 4.42% | 6.57% | 1.99% | 8.43% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.78% A | 1.79% | 1.78% | 1.81% | 1.82% | 1.82% |
Expenses net of fee waivers, if any | 1.78% A | 1.79% | 1.78% | 1.81% | 1.82% | 1.82% |
Expenses net of all reductions | 1.78% A | 1.79% | 1.78% | 1.81% | 1.82% | 1.82% |
Net investment income | 6.03% A | 4.72% | 4.50% | 4.34% | 4.09% | 4.37% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,005 | $ 800 | $ 866 | $ 683 | $ 540 | $ 405 |
Portfolio turnover rate G | 259% A | 255% | 149% | 81% | 109% | 94% |
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) | 2008 | 2007 | 2006 | 2005 | 2004 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 9.87 | $ 11.72 | $ 11.86 | $ 11.63 | $ 12.02 | $ 11.71 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .356 | .635 | .652 | .627 | .599 | .627 |
Net realized and unrealized gain (loss) | 1.164 | (1.835) | (.027) | .252 | (.262) | .449 |
Total from investment operations | 1.520 | (1.200) | .625 | .879 | .337 | 1.076 |
Distributions from net investment income | (.280) | (.580) | (.635) | (.604) | (.572) | (.596) |
Distributions from net realized gain | - | (.070) | (.130) | (.045) | (.155) | (.170) |
Total distributions | (.280) | (.650) | (.765) | (.649) | (.727) | (.766) |
Net asset value, end of period | $ 11.11 | $ 9.87 | $ 11.72 | $ 11.86 | $ 11.63 | $ 12.02 |
Total Return B, C | 15.66% | (10.67)% | 5.42% | 7.76% | 2.91% | 9.53% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .79% A | .78% | .77% | .79% | .81% | .81% |
Expenses net of fee waivers, if any | .79% A | .78% | .77% | .79% | .81% | .81% |
Expenses net of all reductions | .79% A | .78% | .76% | .79% | .80% | .81% |
Net investment income | 7.01% A | 5.73% | 5.52% | 5.36% | 5.10% | 5.38% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 883 | $ 750 | $ 889 | $ 655 | $ 520 | $ 424 |
Portfolio turnover rate F | 259% A | 255% | 149% | 81% | 109% | 94% |
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, 2009 (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 held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on 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 | Investment | Investment | Investment |
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
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. Events or transactions occurring after period end through the date that the financial statements were issued, August 19, 2009, have been evaluated in the preparation of the financial statements. 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. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are classified into three levels. Level 1 includes readily available unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes observable inputs other than quoted prices included in Level 1 that are observable either directly or indirectly. Level 3 includes unobservable inputs when market prices are not readily available or reliable. 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, 2009, for the Fund's investments ,as well as a reconciliation of assets and liabilities for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments. Valuation techniques of the Fund's major categories of assets and liabilities as presented in the Schedule of Investments are as follows.
Debt securities, including restricted securities, are valued based on quotations received from dealers who make markets in such securities or by independent pricing services. For corporate bonds, floating rate loans, foreign government and government agency obligations, preferred securities, supranational obligations, and U.S. government and government agency obligations pricing services generally utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Security Valuation - continued
supplied prices. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services generally utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and types 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 valuations from independent pricing services or 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. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions. 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 net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
Foreign Currency. The Fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
Semiannual Report
3. Significant Accounting Policies - continued
Foreign Currency - continued
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV 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. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. 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 collectability 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
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 taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swap agreements, foreign currency transactions, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 340,667 |
Unrealized depreciation | (592,205) |
Net unrealized appreciation (depreciation) | $ (251,538) |
Cost for federal income tax purposes | $ 6,660,185 |
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
Semiannual Report
4. Operating Policies - continued
Repurchase Agreements - continued
segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
5. Investments in Derivative Instruments.
Objectives and Strategies for Investing in Derivative Instruments. The Fund uses derivative instruments ("derivatives"), including futures contracts and swap agreements, in order to meet its investment objectives. The Fund's strategy is to use derivatives as a risk management tool and as an additional way to gain exposure to certain types of assets. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
While utilizing derivatives in pursuit of its investment objectives, the Fund is exposed to certain financial risks relative to those derivatives. These risks are further explained below:
Interest Rate Risk | Interest rate risk is the risk that the value of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates. |
The following notes provide more detailed information about each derivative type held by the Fund:
Futures Contracts. The Fund uses futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument.
The purchaser or seller of a futures contract is not required to pay for or deliver the instrument unless the contract is held until the delivery date. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Securities deposited to meet margin requirements are identified in each applicable Fund's Schedule of Investments. Futures contracts are marked-to-market daily and subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities and changes in value are recognized as unrealized gain (loss). Realized gain (loss) is recorded upon the expiration or closing of the futures contract. The net realized gain (loss) and change in unrealized gain (loss) on futures contracts during the period is included on the Statement of Operations. The total underlying face amount of all open futures contracts at period end is indicative of the volume of this derivative type.
Semiannual Report
5. Investments in Derivative Instruments - continued
Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Any upfront payments made or received upon entering a swap contract to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gains or losses ratably over the term of the swap in the Fund's accompanying Statement of Operations. Risks of loss may exceed amounts recognized on the Fund's Statement of Asset and Liabilities. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." The total notional amount of all open swap agreements at period end is indicative of the volume of this derivative type. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and, if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.
The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Risks of loss may include interest rate risk and the possible inability of the counterparty to fulfill its obligations under the agreement. The Fund's maximum risk of loss from counterparty credit risk is the discounted net value of cash flows to be received from/paid to the counterparty over the contract's remaining life, to the extent that amount is positive. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
5. Investments in Derivative Instruments - continued
Realized and Change in Unrealized Gain (Loss) on Derivative Instruments. A summary of the Fund's value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Fund's Schedule of Investments. The table below reflects the Fund's realized gain (loss) and change in unrealized gain (loss) for derivatives during the period.
Risk Exposure / Derivative Type |
| Change in |
Interest Rate Risk |
|
|
Futures Contracts | 344 | (369) |
Swap Agreements | 880 | 2,526 |
Total Interest Rate Risk | 1,224 | 2,157 |
Total Derivatives Realized | $ 1,224 | $ 2,157 |
(a) Total derivatives realized gain (loss) included in the Statement of Operations is comprised of $344 for futures contracts and $880 for swap agreements.
(b) Total derivatives change in unrealized gain (loss) included in the Statement of Operations is comprised of $(369) for futures contracts and $2,526 for swap agreements.
6. 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 $4,671,516 and $4,032,324, respectively.
7. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .57% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for
Semiannual Report
7. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan - continued
selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 2,918 | $ 106 |
Class T | 0% | .25% | 1,688 | 10 |
Class B | .65% | .25% | 1,237 | 898 |
Class C | .75% | .25% | 4,332 | 902 |
|
|
| $ 10,175 | $ 1,916 |
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 | $ 178 |
Class T | 53 |
Class B* | 311 |
Class C* | 75 |
| $ 617 |
* 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 respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
7. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
reports, except proxy statements. For the period, the total transfer agent fees paid by each class were as follows:
| Amount | % of |
Class A | $ 1,831 | .16 |
Class T | 1,059 | .16 |
Class B | 312 | .23 |
Class C | 671 | .16 |
Institutional Class | 705 | .18 |
| $ 4,578 |
|
* Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $16 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end is disclosed on the Fund's Statement
Semiannual Report
9. Security Lending - continued
of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net Income from lending portfolio securities during the period, presented in the Statement of Operations as a component of interest income, amounted to $69.
10. 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% | $ 3 |
In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $2.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 61,721 | $ 114,810 |
Class T | 35,764 | 85,638 |
Class B | 6,269 | 13,635 |
Class C | 19,678 | 38,561 |
Institutional Class | 21,770 | 46,381 |
Total | $ 145,202 | $ 299,025 |
From net realized gain |
|
|
Class A | $ - | $ 12,777 |
Class T | - | 11,501 |
Class B | - | 2,042 |
Class C | - | 5,537 |
Institutional Class | - | 5,542 |
Total | $ - | $ 37,399 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
12. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class A |
|
|
|
|
Shares sold | 48,674 | 114,758 | $ 496,671 | $ 1,278,238 |
Reinvestment of distributions | 5,464 | 10,676 | 55,877 | 115,815 |
Shares redeemed | (33,342) | (69,203) | (336,014) | (740,023) |
Net increase (decrease) | 20,796 | 56,231 | $ 216,534 | $ 654,030 |
Class T |
|
|
|
|
Shares sold | 14,998 | 27,141 | $ 152,123 | $ 300,576 |
Reinvestment of distributions | 3,216 | 8,275 | 32,829 | 90,618 |
Shares redeemed | (22,861) | (69,215) | (229,881) | (756,721) |
Net increase (decrease) | (4,647) | (33,799) | $ (44,929) | $ (365,527) |
Class B |
|
|
|
|
Shares sold | 3,775 | 6,688 | $ 38,416 | $ 74,372 |
Reinvestment of distributions | 461 | 1,092 | 4,720 | 11,949 |
Shares redeemed | (4,320) | (9,318) | (43,687) | (100,959) |
Net increase (decrease) | (84) | (1,538) | $ (551) | $ (14,638) |
Class C |
|
|
|
|
Shares sold | 18,503 | 30,031 | $ 189,074 | $ 331,769 |
Reinvestment of distributions | 1,413 | 2,962 | 14,421 | 32,228 |
Shares redeemed | (10,454) | (25,621) | (104,250) | (273,311) |
Net increase (decrease) | 9,462 | 7,372 | $ 99,245 | $ 90,686 |
Institutional Class |
|
|
|
|
Shares sold | 18,778 | 32,078 | $ 192,974 | $ 359,394 |
Reinvestment of distributions | 1,513 | 3,394 | 15,620 | 37,416 |
Shares redeemed | (16,861) | (35,310) | (173,477) | (381,874) |
Net increase (decrease) | 3,430 | 162 | $ 35,117 | $ 14,936 |
13. 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
Semiannual Report
13. Other - continued
claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
14. Credit Risk.
The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Strategic Income Fund
On May 21, 2009, the Board of Trustees, including the Independent Trustees (together, the Board), voted to continue the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund for four months, through September 30, 2009, in connection with the reorganization of the Board's new meeting schedule. The Board considered that the contractual terms of and fees payable under the fund's Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be renewed, without modification, through September 30, 2009, with the understanding that the Board will consider their renewal in September 2009.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
Fidelity Research & Analysis Company
Fidelity Investments Japan Limited
FIL Investment Advisors
FIL Investment Advisors (U.K.) Ltd.
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 Mellon
New York, NY
SI-USAN-0809 1.787775.106
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Strategic Income
Fund - Institutional Class
Semiannual Report
June 30, 2009
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | The Chairman'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, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Board Approval of Investment Advisory Contracts and Management Fees |
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
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_Abigail_P_Johnson)
Dear Shareholder:
Although there has been some encouraging news in the world's capital markets this spring and early summer, many economic uncertainties remain - including generally weak corporate earnings and still-sluggish consumer spending - which could call into question the sustainability and overall strength of the markets' recent forward momentum. Financial markets are always unpredictable, of course, but there also are several time-tested investment principles that can help 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 can be tax advantages and cost benefits to consider as well. 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 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 "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 by phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Abigail P. Johnson
Abigail P. Johnson
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, 2009 to June 30, 2009).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
|
|
|
| Expenses Paid |
Class A | 1.03% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,156.90 | $ 5.51 |
Hypothetical A |
| $ 1,000.00 | $ 1,019.69 | $ 5.16 |
Class T | 1.03% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,155.80 | $ 5.51 |
Hypothetical A |
| $ 1,000.00 | $ 1,019.69 | $ 5.16 |
Class B | 1.75% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,151.30 | $ 9.33 |
Hypothetical A |
| $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Class C | 1.78% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,151.70 | $ 9.50 |
Hypothetical A |
| $ 1,000.00 | $ 1,015.97 | $ 8.90 |
Institutional Class | .79% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,156.60 | $ 4.22 |
Hypothetical A |
| $ 1,000.00 | $ 1,020.88 | $ 3.96 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Semiannual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each non-money market Fidelity Central Fund.
Top Five Holdings as of June 30, 2009 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 14.1 | 14.4 |
Fannie Mae | 5.0 | 9.4 |
Freddie Mac | 4.1 | 7.2 |
Canadian Government | 2.4 | 2.7 |
Japan Government | 2.3 | 2.5 |
| 27.9 | |
Top Five Market Sectors as of June 30, 2009 | ||
| % of fund's | % of fund's net assets |
Consumer Discretionary | 10.7 | 7.2 |
Telecommunication Services | 6.9 | 5.4 |
Financials | 6.7 | 3.4 |
Materials | 5.1 | 3.0 |
Energy | 4.5 | 3.5 |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2009 | As of December 31, 2008 | ||||||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | AAA,AA,A 11.8% |
| ![]() | AAA,AA,A 15.6% |
| ||
![]() | BBB 4.3% |
| ![]() | BBB 4.5% |
| ||
![]() | BB 12.1% |
| ![]() | BB 12.7% |
| ||
![]() | B 21.9% |
| ![]() | B 16.3% |
| ||
![]() | CCC,CC,C 11.9% |
| ![]() | CCC,CC,C 6.4% |
| ||
![]() | D 1.4% |
| ![]() | D 0.0%† |
| ||
![]() | Not Rated 4.5% |
| ![]() | Not Rated 1.0% |
| ||
![]() | Equities 0.1% |
| ![]() | Equities 0.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
† Amount represents less than 0.1% †† Includes FDIC Guaranteed Corporate Securities |
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades.
Semiannual Report
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2009* | As of December 31, 2008** | ||||||
![]() | Preferred Securities 0.6% |
| ![]() | Preferred Securities 0.7% |
| ||
![]() | Corporate Bonds 35.2% |
| ![]() | Corporate Bonds 25.8% |
| ||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | Foreign Government & Government Agency Obligations 19.8% |
| ![]() | Foreign Government & Government Agency Obligations 22.7% |
| ||
![]() | Floating Rate Loans 11.9% |
| ![]() | Floating Rate Loans 6.7% |
| ||
![]() | Stocks 0.1% |
| ![]() | Stocks 0.2% |
| ||
![]() | Other Investments 0.4% |
| ![]() | Other Investments 0.6% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 32.7% |
| ** Foreign investments | 32.8% |
| ||
* Swaps | 0.1% |
| ** Futures and Swaps | 2.6% |
| ||
†† Includes FDIC Guaranteed Corporate Securities |
|
|
|
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at advisor.fidelity.com.
Semiannual Report
Investments June 30, 2009 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 34.9% | ||||
| Principal | Value (000s) | ||
Convertible Bonds - 0.6% | ||||
ENERGY - 0.1% | ||||
Energy Equipment & Services - 0.0% | ||||
Cal Dive International, Inc. 3.25% 12/15/25 | $ 2,640 | $ 1,998 | ||
Oil, Gas & Consumable Fuels - 0.1% | ||||
Massey Energy Co. 3.25% 8/1/15 | 7,790 | 5,153 | ||
TOTAL ENERGY | 7,151 | |||
INDUSTRIALS - 0.0% | ||||
Electrical Equipment - 0.0% | ||||
Sunpower Corp.: | ||||
0.75% 8/1/27 | 1,040 | 946 | ||
1.25% 2/15/27 | 890 | 682 | ||
| 1,628 | |||
INFORMATION TECHNOLOGY - 0.1% | ||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Advanced Micro Devices, Inc.: | ||||
5.75% 8/15/12 | 1,510 | 929 | ||
6% 5/1/15 | 6,045 | 2,834 | ||
ON Semiconductor Corp. 0% 4/15/24 | 450 | 429 | ||
Spansion, Inc. 2.25% 6/15/16 (d)(i) | 4,115 | 19 | ||
| 4,211 | |||
TELECOMMUNICATION SERVICES - 0.4% | ||||
Wireless Telecommunication Services - 0.4% | ||||
NII Holdings, Inc. 3.125% 6/15/12 | 29,220 | 22,464 | ||
TOTAL CONVERTIBLE BONDS | 35,454 | |||
Nonconvertible Bonds - 34.3% | ||||
CONSUMER DISCRETIONARY - 6.2% | ||||
Auto Components - 0.3% | ||||
Affinia Group, Inc. 9% 11/30/14 | 2,950 | 2,065 | ||
Robert Bosch GmbH 3.75% 6/12/13 | EUR | 1,100 | 1,563 | |
RSC Equipment Rental, Inc. 10% 7/15/17 (i) | 2,610 | 2,607 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Auto Components - continued | ||||
Tenneco, Inc.: | ||||
8.125% 11/15/15 | $ 1,185 | $ 936 | ||
8.625% 11/15/14 | 4,360 | 3,117 | ||
The Goodyear Tire & Rubber Co. 10.5% 5/15/16 | 4,795 | 4,891 | ||
TRW Automotive, Inc.: | ||||
7% 3/15/14 (i) | 335 | 241 | ||
7.25% 3/15/17 (i) | 240 | 166 | ||
Visteon Corp. 7% 3/10/14 (d) | 10,020 | 301 | ||
| 15,887 | |||
Automobiles - 0.1% | ||||
General Motors Corp.: | ||||
6.75% 5/1/28 (d) | 10,500 | 1,260 | ||
7.125% 7/15/13 (d) | 2,720 | 326 | ||
7.2% 1/15/11 (d) | 1,395 | 167 | ||
7.4% 9/1/25 (d) | 5,950 | 714 | ||
7.7% 4/15/16 (d) | 8,489 | 1,019 | ||
8.1% 6/15/24 (d) | 2,775 | 326 | ||
8.25% 7/15/23 (d) | 11,040 | 1,352 | ||
8.375% 7/15/33 (d) | 11,475 | 1,463 | ||
8.8% 3/1/21 (d) | 785 | 94 | ||
| 6,721 | |||
Diversified Consumer Services - 0.0% | ||||
Affinion Group, Inc. 11.5% 10/15/15 | 2,990 | 2,542 | ||
Mac-Gray Corp. 7.625% 8/15/15 | 680 | 647 | ||
| 3,189 | |||
Hotels, Restaurants & Leisure - 1.8% | ||||
Carrols Corp. 9% 1/15/13 | 4,095 | 3,839 | ||
Gaylord Entertainment Co.: | ||||
6.75% 11/15/14 | 3,690 | 2,768 | ||
8% 11/15/13 | 920 | 784 | ||
MGM Mirage, Inc.: | ||||
5.875% 2/27/14 | 6,920 | 4,498 | ||
6.625% 7/15/15 | 25,519 | 16,587 | ||
6.75% 9/1/12 | 6,220 | 4,354 | ||
6.75% 4/1/13 | 13,995 | 9,517 | ||
6.875% 4/1/16 | 4,440 | 2,864 | ||
7.5% 6/1/16 | 20,915 | 13,542 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
MGM Mirage, Inc.: - continued | ||||
7.625% 1/15/17 | $ 16,665 | $ 10,749 | ||
8.5% 9/15/10 | 7,065 | 6,429 | ||
10.375% 5/15/14 (i) | 2,750 | 2,915 | ||
11.125% 11/15/17 (i) | 3,890 | 4,123 | ||
Mohegan Tribal Gaming Authority 6.875% 2/15/15 | 3,533 | 2,296 | ||
Scientific Games Corp. 6.25% 12/15/12 | 660 | 627 | ||
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (i) | 1,540 | 909 | ||
Six Flags Operations, Inc. 12.25% 7/15/16 (d)(i) | 5,450 | 3,788 | ||
Six Flags, Inc.: | ||||
8.875% 2/1/10 (d) | 8,225 | 1,110 | ||
9.625% 6/1/14 (d) | 7,664 | 1,073 | ||
9.75% 4/15/13 (d) | 1,255 | 151 | ||
Speedway Motorsports, Inc. 6.75% 6/1/13 | 3,495 | 3,355 | ||
Station Casinos, Inc.: | ||||
6% 4/1/12 (d) | 9,620 | 3,271 | ||
6.5% 2/1/14 (d) | 11,643 | 233 | ||
6.625% 3/15/18 (d) | 11,970 | 239 | ||
6.875% 3/1/16 (d) | 12,803 | 256 | ||
7.75% 8/15/16 (d) | 14,415 | 4,901 | ||
Town Sports International Holdings, Inc. 11% 2/1/14 | 3,328 | 1,631 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 2,900 | 2,726 | ||
Vail Resorts, Inc. 6.75% 2/15/14 | 5,060 | 4,858 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
9% 1/15/12 (d) | 575 | 58 | ||
12.75% 1/15/13 (d) | 1,070 | 21 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (i) | 1,164 | 698 | ||
| 115,170 | |||
Household Durables - 0.1% | ||||
K. Hovnanian Enterprises, Inc. 11.5% 5/1/13 | 5,585 | 4,803 | ||
Sealy Mattress Co. 10.875% 4/15/16 (i) | 1,700 | 1,785 | ||
| 6,588 | |||
Leisure Equipment & Products - 0.0% | ||||
Riddell Bell Holdings, Inc. 8.375% 10/1/12 | 720 | 630 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - 3.3% | ||||
AMC Entertainment, Inc. 11% 2/1/16 | $ 2,610 | $ 2,532 | ||
Cablemas SA de CV 9.375% 11/15/15 (Reg. S) | 6,910 | 7,238 | ||
CanWest Media, Inc. 8% 9/15/12 (d) | 860 | 249 | ||
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp.: | ||||
11% 10/1/15 (d) | 19,013 | 2,282 | ||
11% 10/1/15 (d) | 310 | 36 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.: | ||||
Series B, 10.25% 9/15/10 (d) | 11,055 | 11,718 | ||
10.25% 9/15/10 (d) | 9,385 | 9,901 | ||
10.25% 10/1/13 (d) | 6,395 | 6,779 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | ||||
10.375% 4/30/14 (i)(m) | 8,610 | 8,244 | ||
10.875% 9/15/14 (i) | 11,090 | 11,534 | ||
Clear Channel Communications, Inc.: | ||||
4.9% 5/15/15 | 4,045 | 890 | ||
5.5% 9/15/14 | 3,445 | 758 | ||
5.5% 12/15/16 | 1,890 | 411 | ||
5.75% 1/15/13 | 3,145 | 771 | ||
6.25% 3/15/11 | 175 | 74 | ||
6.875% 6/15/18 | 2,725 | 593 | ||
10.75% 8/1/16 | 24,965 | 7,739 | ||
EchoStar Communications Corp.: | ||||
6.625% 10/1/14 | 9,095 | 8,367 | ||
7% 10/1/13 | 9,095 | 8,663 | ||
7.125% 2/1/16 | 43,770 | 40,597 | ||
Haights Cross Communications, Inc. 12.5% 8/15/11 (g) | 1,550 | 109 | ||
iesy Repository GmbH 10.375% 2/15/15 (i) | 1,205 | 1,193 | ||
Interpublic Group of Companies, Inc. 10% 7/15/17 (i) | 2,530 | 2,568 | ||
Lamar Media Corp. 6.625% 8/15/15 | 13,230 | 11,510 | ||
Liberty Media Corp. 8.5% 7/15/29 | 6,535 | 4,501 | ||
Livent, Inc. yankee 9.375% 10/15/04 (d) | 300 | 3 | ||
MediMedia USA, Inc. 11.375% 11/15/14 (i) | 850 | 553 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
0% 8/1/16 (f) | 7,095 | 4,576 | ||
10% 8/1/14 | 3,620 | 3,439 | ||
11.5% 5/1/16 (i) | 4,920 | 4,785 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Nielsen Finance LLC/Nielsen Finance Co.: - continued | ||||
11.625% 2/1/14 (i) | $ 2,535 | $ 2,516 | ||
Pearson Funding One PLC 6% 12/15/15 | GBP | 2,500 | 4,228 | |
Rainbow National Services LLC: | ||||
8.75% 9/1/12 (i) | 3,280 | 3,247 | ||
10.375% 9/1/14 (i) | 9,075 | 9,257 | ||
Sun Media Corp. Canada 7.625% 2/15/13 | 635 | 413 | ||
The Reader's Digest Association, Inc. 9% 2/15/17 | 3,000 | 128 | ||
TL Acquisitions, Inc. 10.5% 1/15/15 (i) | 22,595 | 18,076 | ||
Univision Communications, Inc. 12% 7/1/14 (i) | 4,920 | 4,828 | ||
Videotron Ltd. 6.875% 1/15/14 | 550 | 514 | ||
| 205,820 | |||
Multiline Retail - 0.2% | ||||
Matahari Finance BV 9.5% 10/6/09 | 4,120 | 4,120 | ||
Neiman Marcus Group, Inc. 9.75% 10/15/15 pay-in-kind (g) | 5,055 | 2,776 | ||
The Bon-Ton Department Stores, Inc. 10.25% 3/15/14 | 6,780 | 2,949 | ||
| 9,845 | |||
Specialty Retail - 0.3% | ||||
Burlington Coat Factory Warehouse Corp. 11.125% 4/15/14 | 1,700 | 1,352 | ||
Claire's Stores, Inc.: | ||||
9.25% 6/1/15 | 2,775 | 1,249 | ||
10.375% 6/1/15 pay-in-kind (m) | 3,939 | 1,660 | ||
Michaels Stores, Inc.: | ||||
0% 11/1/16 (f) | 445 | 185 | ||
10% 11/1/14 | 18,490 | 15,532 | ||
11.375% 11/1/16 | 900 | 590 | ||
| 20,568 | |||
Textiles, Apparel & Luxury Goods - 0.1% | ||||
Levi Strauss & Co.: | ||||
8.875% 4/1/16 | 1,650 | 1,601 | ||
9.75% 1/15/15 | 1,775 | 1,731 | ||
LVMH Moet Hennessy - Louis Vuitton 4.375% 5/12/14 | EUR | 750 | 1,072 | |
| 4,404 | |||
TOTAL CONSUMER DISCRETIONARY | 388,822 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - 0.6% | ||||
Beverages - 0.1% | ||||
Anheuser-Busch InBev NV 8.625% 1/30/17 | EUR | 1,650 | $ 2,690 | |
Cerveceria Nacional Dominicana C por A: | ||||
16% 3/27/12 | $ 150 | 123 | ||
16% 3/27/12 (i) | 3,487 | 2,849 | ||
| 5,662 | |||
Food & Staples Retailing - 0.3% | ||||
Casino Guichard Perrachon et Compagnie 6.375% 4/4/13 | EUR | 550 | 811 | |
Rite Aid Corp.: | ||||
7.5% 3/1/17 | 5,910 | 4,632 | ||
8.625% 3/1/15 | 835 | 555 | ||
9.375% 12/15/15 | 4,770 | 3,172 | ||
9.5% 6/15/17 | 5,710 | 3,754 | ||
10.375% 7/15/16 | 4,970 | 4,492 | ||
Tesco PLC 5.125% 2/24/15 | EUR | 900 | 1,317 | |
| 18,733 | |||
Food Products - 0.2% | ||||
Hines Nurseries, Inc. 10.25% 10/1/11 (d) | 370 | 37 | ||
JBS USA LLC/JBS USA Finance, Inc. 11.625% 5/1/14 (i) | 5,200 | 4,862 | ||
Michael Foods, Inc. 8% 11/15/13 | 420 | 408 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 900 | 869 | ||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.: | ||||
9.25% 4/1/15 | 410 | 371 | ||
10.625% 4/1/17 | 1,015 | 858 | ||
Reddy Ice Holdings, Inc. 10.5% 11/1/12 (g) | 3,250 | 1,788 | ||
Smithfield Foods, Inc.: | ||||
7.75% 7/1/17 | 2,810 | 2,030 | ||
10% 7/15/14 (i) | 3,000 | 2,970 | ||
Unilever PLC 4.75% 6/16/17 | GBP | 660 | 1,088 | |
| 15,281 | |||
Household Products - 0.0% | ||||
Central Garden & Pet Co. 9.125% 2/1/13 | 260 | 248 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Personal Products - 0.0% | ||||
Elizabeth Arden, Inc. 7.75% 1/15/14 | $ 470 | $ 404 | ||
TOTAL CONSUMER STAPLES | 40,328 | |||
ENERGY - 4.0% | ||||
Energy Equipment & Services - 0.1% | ||||
Complete Production Services, Inc. 8% 12/15/16 | 2,530 | 2,151 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (i) | 3,970 | 3,513 | ||
Seabulk International, Inc. 9.5% 8/15/13 | 3,290 | 3,327 | ||
| 8,991 | |||
Oil, Gas & Consumable Fuels - 3.9% | ||||
Atlas Energy Operating Co. LLC/Financing Corp. 10.75% 2/1/18 (i) | 4,090 | 3,763 | ||
Atlas Pipeline Partners LP 8.125% 12/15/15 | 9,415 | 6,732 | ||
Berry Petroleum Co.: | ||||
8.25% 11/1/16 | 2,930 | 2,505 | ||
10.25% 6/1/14 | 2,220 | 2,220 | ||
Chaparral Energy, Inc.: | ||||
8.5% 12/1/15 | 4,948 | 3,000 | ||
8.875% 2/1/17 | 3,780 | 2,287 | ||
Chesapeake Energy Corp.: | ||||
6.5% 8/15/17 | 4,990 | 4,192 | ||
6.875% 11/15/20 | 7,030 | 5,659 | ||
7.625% 7/15/13 | 11,615 | 11,034 | ||
9.5% 2/15/15 | 5,630 | 5,672 | ||
Connacher Oil and Gas Ltd. 10.25% 12/15/15 (i) | 4,560 | 2,690 | ||
Denbury Resources, Inc. 9.75% 3/1/16 | 1,660 | 1,706 | ||
DONG Energy A/S 6.5% 5/7/19 | EUR | 900 | 1,331 | |
Drummond Co., Inc. 7.375% 2/15/16 (i) | 6,605 | 4,822 | ||
Encore Acquisition Co. 6.25% 4/15/14 | 1,500 | 1,290 | ||
EXCO Resources, Inc. 7.25% 1/15/11 | 570 | 530 | ||
Forest Oil Corp. 8% 12/15/11 | 480 | 480 | ||
Gaz Capital SA (Luxembourg) 6.605% 2/13/18 | EUR | 1,200 | 1,362 | |
Harvest Operations Corp. 7.875% 10/15/11 | 1,170 | 983 | ||
InterNorth, Inc. 9.625% 3/16/06 (d) | 935 | 1 | ||
KazMunaiGaz Finance Sub BV: | ||||
8.375% 7/2/13 (i) | 2,530 | 2,328 | ||
9.125% 7/2/18 (i) | 2,835 | 2,537 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Mariner Energy, Inc.: | ||||
7.5% 4/15/13 | $ 2,900 | $ 2,639 | ||
8% 5/15/17 | 4,870 | 3,993 | ||
11.75% 6/30/16 | 4,955 | 4,955 | ||
Massey Energy Co. 6.875% 12/15/13 | 8,545 | 7,819 | ||
OPTI Canada, Inc.: | ||||
7.875% 12/15/14 | 8,955 | 5,821 | ||
8.25% 12/15/14 | 1,360 | 891 | ||
Peabody Energy Corp. 7.875% 11/1/26 | 5,640 | 5,132 | ||
Pemex Project Funding Master Trust: | ||||
5.5% 2/24/25 (i) | EUR | 750 | 802 | |
6.625% 6/15/35 | 2,870 | 2,564 | ||
Petrohawk Energy Corp.: | ||||
7.875% 6/1/15 | 12,745 | 11,789 | ||
9.125% 7/15/13 | 10,710 | 10,656 | ||
Petroleos de Venezuela SA: | ||||
5.25% 4/12/17 | 71,010 | 33,375 | ||
5.375% 4/12/27 | 13,570 | 5,360 | ||
Petroleum Development Corp. 12% 2/15/18 | 4,390 | 3,688 | ||
Plains Exploration & Production Co. 10% 3/1/16 | 10,150 | 10,404 | ||
Quicksilver Resources, Inc. 11.75% 1/1/16 | 5,045 | 5,196 | ||
Range Resources Corp. 7.375% 7/15/13 | 2,190 | 2,146 | ||
SandRidge Energy, Inc.: | ||||
8% 6/1/18 (i) | 7,400 | 6,364 | ||
8.625% 4/1/15 pay-in-kind (m) | 4,370 | 3,933 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 7,015 | 5,893 | ||
Southern Star Central Corp. 6.75% 3/1/16 | 1,560 | 1,390 | ||
Southwestern Energy Co. 7.5% 2/1/18 (i) | 2,460 | 2,374 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 11.25% 7/15/17 (i) | 4,265 | 4,051 | ||
Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13 | 1,220 | 927 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 524 | ||
7.5% 4/1/17 | 7,600 | 7,951 | ||
7.625% 4/1/37 | 1,035 | 1,048 | ||
8% 2/1/16 | 1,160 | 1,218 | ||
8.375% 6/15/32 | 1,155 | 1,256 | ||
TNK-BP Finance SA 7.5% 3/13/13 (Reg. S) | 9,105 | 8,468 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Transcontinental Gas Pipe Line Corp.: | ||||
7% 8/15/11 | $ 330 | $ 345 | ||
8.875% 7/15/12 | 1,455 | 1,586 | ||
Venoco, Inc. 8.75% 12/15/11 | 3,260 | 2,958 | ||
W&T Offshore, Inc. 8.25% 6/15/14 (i) | 5,300 | 4,081 | ||
YPF SA 10% 11/2/28 | 5,635 | 4,508 | ||
| 243,229 | |||
TOTAL ENERGY | 252,220 | |||
FINANCIALS - 5.9% | ||||
Capital Markets - 0.3% | ||||
3i Group PLC 1.46% 6/8/12 (m) | EUR | 1,600 | 1,684 | |
Credit Suisse Group Finance Guernsey Ltd. 3.625% 1/23/18 (m) | EUR | 2,600 | 3,203 | |
Lloyds TSB Bank PLC 6.375% 6/17/16 | EUR | 1,300 | 1,843 | |
Morgan Stanley 4% 11/17/15 | EUR | 1,300 | 1,586 | |
Royal Bank of Scotland PLC 5.75% 5/21/14 | EUR | 1,550 | 2,216 | |
Santander Issuances, SA Unipersonal 4.5% 9/30/19 (m) | EUR | 2,000 | 2,448 | |
UBS AG London Branch 5.625% 5/19/14 | EUR | 1,100 | 1,588 | |
VTB Capital SA 8.25% 6/30/11 | EUR | 1,000 | 1,400 | |
| 15,968 | |||
Commercial Banks - 2.0% | ||||
Banco Santander SA 3.875% 5/27/14 | EUR | 2,200 | 3,090 | |
Bank of Tokyo-Mitsubishi Ltd. 3.5% 12/16/15 (m) | EUR | 1,150 | 1,561 | |
Barclays Bank PLC 10% 5/21/21 | GBP | 1,070 | 2,072 | |
BNP Paribas Public Sector SCF 3.625% 6/16/14 | EUR | 4,600 | 6,468 | |
Caisse Nationale des Caisses d' Epargne et de Prevoyance 6.117% (m) | EUR | 350 | 252 | |
Caja Madrid SA 1.685% 10/17/16 (m) | EUR | 1,500 | 1,431 | |
Credit Agricole SA 5.875% 6/11/19 | EUR | 950 | 1,362 | |
Credit Commercial de France 4.875% 1/15/14 | EUR | 1,300 | 1,891 | |
Development Bank of Philippines 8.375% (m) | 6,055 | 5,692 | ||
DnB NOR Bank ASA: | ||||
0.6693% 8/11/09 (m) | CAD | 1,500 | 1,290 | |
4.5% 5/29/14 | EUR | 1,600 | 2,227 | |
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
EXIM of Ukraine: | ||||
7.65% 9/7/11 (Issued by Credit Suisse London Branch for EXIM Ukraine) | $ 25,160 | $ 19,373 | ||
7.75% 9/23/09 (Issued by Dresdner Bank AG for EXIM Ukraine) | 10,155 | 9,647 | ||
Export-Import Bank of India 1.0075% 6/7/12 (m) | JPY | 320,000 | 2,990 | |
HBOS Treasury Services PLC 0.8414% 1/19/10 (m) | CAD | 1,500 | 1,281 | |
HSBC Holdings PLC 6% 6/10/19 | EUR | 2,000 | 2,806 | |
HSBK (Europe) B.V. 9.25% 10/16/13 (i) | 13,110 | 9,964 | ||
Hypo Real Estate International Trust I 5.864% (m) | EUR | 50 | 7 | |
ING Bank NV 4.75% 5/27/19 | EUR | 4,400 | 6,234 | |
JPMorgan Chase Bank 4.375% 11/30/21 (m) | EUR | 3,050 | 3,617 | |
JSC Halyk Bank of Kazakhstan (Reg. S) 8.125% 10/7/09 | 5,715 | 5,486 | ||
Korea Development Bank (Reg.) 0.87% 6/28/10 | JPY | 600,000 | 5,938 | |
National Australia Bank Ltd. 5.375% 12/8/14 | GBP | 850 | 1,383 | |
Natixis SA: | ||||
1.656% 1/26/17 (m) | EUR | 1,100 | 1,003 | |
6.307% (m) | EUR | 950 | 487 | |
Nordea Bank AB 4.5% 5/12/14 | EUR | 800 | 1,140 | |
Rabobank Nederland 5.875% 5/20/19 | EUR | 5,050 | 7,407 | |
Resona Bank Ltd. 4.125% (m) | EUR | 800 | 786 | |
RSHB Capital SA 9% 6/11/14 (i) | 2,335 | 2,370 | ||
Russian Standard Finance SA 6.825% 9/16/09 | EUR | 1,250 | 1,718 | |
Societe Generale SCF 4% 7/7/16 (k) | EUR | 3,550 | 4,947 | |
Svenska Handelsbanken AB 5.5% 5/26/16 | GBP | 1,950 | 3,178 | |
US Bank NA, Cincinnati 4.375% 2/28/17 (m) | EUR | 1,600 | 1,822 | |
Vimpel Communications 8.375% 10/22/11 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) | 5,170 | 5,105 | ||
Wachovia Corp. 4.375% 8/1/16 | EUR | 1,000 | 1,253 | |
Wells Fargo & Co. 7.98% (m) | 2,035 | 1,699 | ||
| 128,977 | |||
Consumer Finance - 1.2% | ||||
ACE Cash Express, Inc. 10.25% 10/1/14 (i) | 1,420 | 639 | ||
Ford Motor Credit Co. LLC: | ||||
7% 10/1/13 | 5,290 | 4,253 | ||
7.25% 10/25/11 | 12,485 | 10,799 | ||
7.375% 2/1/11 | 735 | 665 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Ford Motor Credit Co. LLC: - continued | ||||
8% 6/1/14 | $ 5,120 | $ 4,126 | ||
8% 12/15/16 | 18,125 | 13,857 | ||
12% 5/15/15 | 12,770 | 11,876 | ||
General Motors Acceptance Corp.: | ||||
6.75% 12/1/14 | 850 | 672 | ||
8% 11/1/31 | 7,330 | 5,021 | ||
GMAC LLC: | ||||
6% 4/1/11 (i) | 1,435 | 1,248 | ||
6.75% 12/1/14 (i) | 4,285 | 3,428 | ||
8% 11/1/31 (i) | 27,203 | 19,042 | ||
SLM Corp. 1.477% 12/15/10 (m) | EUR | 1,100 | 1,307 | |
| 76,933 | |||
Diversified Financial Services - 1.4% | ||||
Banca Italease SpA 1.695% 6/28/16 (m) | EUR | 1,500 | 1,264 | |
Bank of America Corp.: | ||||
4% 3/28/18 (m) | EUR | 1,700 | 1,638 | |
4.75% 5/23/17 (m) | EUR | 2,750 | 2,662 | |
8% (m) | 5,365 | 4,426 | ||
8.125% (m) | 7,380 | 6,125 | ||
BAT International Finance PLC 5.375% 6/29/17 | EUR | 900 | 1,284 | |
BG Energy Capital PLC 5.125% 12/7/17 | GBP | 1,150 | 1,889 | |
Broadgate PLC 2.4169% 10/5/25 (m) | GBP | 715 | 494 | |
CIT Group, Inc.: | ||||
1.17% 2/13/12 (m) | 1,350 | 810 | ||
5% 2/13/14 | 3,295 | 1,957 | ||
5.4% 2/13/12 | 4,725 | 3,213 | ||
5.4% 3/7/13 | 2,925 | 1,813 | ||
5.6% 4/27/11 | 505 | 379 | ||
5.85% 9/15/16 | 1,310 | 766 | ||
7.625% 11/30/12 | 5,060 | 3,465 | ||
Dignity Finance PLC: | ||||
6.31% 12/31/23 (Reg. S) | GBP | 158 | 264 | |
8.151% 12/31/30 | GBP | 370 | 579 | |
FireKeepers Development Authority 13.875% 5/1/15 (i) | 1,600 | 1,476 | ||
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | 2,056 | 1,902 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Greene King Finance PLC Series A1, 1.6319% 6/15/31 (m) | GBP | 1,000 | $ 987 | |
IFIL Finanziaria di Partecipazioni SpA 5.375% 6/12/17 | EUR | 1,450 | 1,632 | |
Imperial Tobacco Finance: | ||||
5% 6/25/12 | EUR | 650 | 921 | |
8.375% 2/17/16 | EUR | 5,230 | 7,991 | |
Kreditanstalt fuer Wiederaufbau 3.875% 1/21/19 | EUR | 4,600 | 6,363 | |
Linde Finance BV 6.75% 12/8/15 | EUR | 1,750 | 2,754 | |
NCO Group, Inc. 11.875% 11/15/14 | 2,185 | 1,093 | ||
OAO TMK 8.5% 9/29/09 (Issued by TMK Capital SA for OAO TMK) | 6,900 | 6,797 | ||
Red Arrow International Leasing PLC 8.375% 6/30/12 | RUB | 72,406 | 2,044 | |
ROSBANK (OJSC JSCB) 8% 9/30/09 (Issued by Dali Capital PLC for ROSBANK (OJSC JSCB)) | RUB | 23,600 | 731 | |
Sedna Finance Corp.: | ||||
2.027% 3/15/16 (d)(m) | EUR | 1,150 | 0* | |
5.625% 12/23/14 (d)(m) | EUR | 500 | 0* | |
SES Global Americas Holdings GP 4.875% 7/9/14 (k) | EUR | 850 | 1,186 | |
Severn Trent Utilities Finance PLC 6% 1/22/18 | GBP | 1,150 | 1,996 | |
TMK Capital SA 10% 7/29/11 | 13,100 | 11,364 | ||
TransCapitalInvest Ltd. 5.381% 6/27/12 (Reg. S) | EUR | 700 | 933 | |
UT2 Funding PLC 5.321% 6/30/16 | EUR | 1,270 | 436 | |
Volkswagen International Finance NV 5.375% 11/15/13 | EUR | 1,300 | 1,887 | |
WaMu Covered Bond Program: | ||||
3.875% 9/27/11 | EUR | 1,090 | 1,464 | |
4.375% 5/19/14 | EUR | 650 | 849 | |
| 87,834 | |||
Insurance - 0.2% | ||||
Eureko BV: | ||||
5.125% (m) | EUR | 3,100 | 1,739 | |
7.375% 6/16/14 | EUR | 2,910 | 4,243 | |
Fukoku Mutual Life Insurance Co. 4.5% 9/28/25 (m) | EUR | 1,200 | 1,021 | |
Mapfre SA 5.921% 7/24/37 (m) | EUR | 1,800 | 1,620 | |
Royal & Sun Alliance Insurance Group PLC 9.375% 5/20/39 | GBP | 1,000 | 1,744 | |
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Society of Lloyd's 6.875% 11/17/25 (m) | GBP | 1,000 | $ 1,360 | |
Zurich Finance USA, Inc. 6.5% 10/14/15 | EUR | 2,000 | 2,975 | |
| 14,702 | |||
Real Estate Investment Trusts - 0.3% | ||||
Rouse Co. 5.375% 11/26/13 (d) | 5,135 | 3,235 | ||
Rouse Co. LP/TRC, Inc. 6.75% 5/1/13 (d)(i) | 9,470 | 5,966 | ||
Senior Housing Properties Trust 7.875% 4/15/15 | 6,211 | 5,621 | ||
Ventas Realty LP 6.5% 6/1/16 | 980 | 877 | ||
| 15,699 | |||
Real Estate Management & Development - 0.5% | ||||
CB Richard Ellis Services, Inc. 11.625% 6/15/17 (i) | 6,420 | 6,260 | ||
Hammerson PLC 4.875% 6/19/15 | EUR | 680 | 770 | |
Realogy Corp.: | ||||
10.5% 4/15/14 | 47,905 | 20,599 | ||
11.75% 4/15/14 pay-in-kind (m) | 4,052 | 1,154 | ||
WT Finance (Aust) Pty Ltd./Westfield Europe Finance PLC/WEA Finance 3.625% 6/27/12 | EUR | 1,250 | 1,564 | |
| 30,347 | |||
Thrifts & Mortgage Finance - 0.0% | ||||
Credit Logement SA: | ||||
1.877% 12/2/49 (m) | EUR | 1,000 | 642 | |
4.604% (m) | EUR | 2,000 | 1,260 | |
| 1,902 | |||
TOTAL FINANCIALS | 372,362 | |||
HEALTH CARE - 2.2% | ||||
Health Care Equipment & Supplies - 0.1% | ||||
Biomet, Inc. 10% 10/15/17 | 245 | 249 | ||
Invacare Corp. 9.75% 2/15/15 | 1,530 | 1,538 | ||
| 1,787 | |||
Health Care Providers & Services - 1.9% | ||||
Apria Healthcare Group, Inc. 11.25% 11/1/14 (i) | 7,720 | 7,546 | ||
Cardinal Health 409, Inc. 10.25% 4/15/15 pay-in-kind (m) | 11,685 | 5,820 | ||
CRC Health Group, Inc. 10.75% 2/1/16 | 1,880 | 1,260 | ||
DASA Finance Corp. 8.75% 5/29/18 (i) | 1,545 | 1,506 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
DaVita, Inc. 6.625% 3/15/13 | $ 5,230 | $ 4,897 | ||
Fresenius Medical Care Capital Trust IV 7.875% 6/15/11 | 1,000 | 1,040 | ||
HCA, Inc.: | ||||
5.75% 3/15/14 | 3,377 | 2,676 | ||
6.25% 2/15/13 | 1,755 | 1,536 | ||
6.375% 1/15/15 | 1,125 | 920 | ||
6.5% 2/15/16 | 4,220 | 3,450 | ||
6.75% 7/15/13 | 1,750 | 1,540 | ||
8.5% 4/15/19 (i) | 6,670 | 6,503 | ||
9.125% 11/15/14 | 21,885 | 21,639 | ||
9.25% 11/15/16 | 28,994 | 28,414 | ||
9.625% 11/15/16 pay-in-kind (m) | 7,147 | 7,093 | ||
9.875% 2/15/17 (i) | 1,190 | 1,199 | ||
Rural/Metro Corp. 9.875% 3/15/15 | 1,355 | 1,165 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 | 3,652 | 3,743 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 | 310 | 307 | ||
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13 | 3,040 | 3,158 | ||
Tenet Healthcare Corp.: | ||||
9.25% 2/1/15 | 1,380 | 1,259 | ||
9.875% 7/1/14 | 13,330 | 13,330 | ||
United Surgical Partners International, Inc. 8.875% 5/1/17 | 895 | 814 | ||
| 120,815 | |||
Life Sciences Tools & Services - 0.0% | ||||
Bio-Rad Laboratories, Inc. 7.5% 8/15/13 | 1,770 | 1,746 | ||
Pharmaceuticals - 0.2% | ||||
Bayer Capital Corp. BV 4.625% 9/26/14 | EUR | 1,250 | 1,810 | |
Elan Finance PLC/Elan Finance Corp. 7.75% 11/15/11 | 1,585 | 1,454 | ||
Leiner Health Products, Inc. 11% 6/1/12 (d) | 1,885 | 5 | ||
Pfizer, Inc.: | ||||
5.75% 6/3/21 | EUR | 1,550 | 2,323 | |
6.5% 6/3/38 | GBP | 1,600 | 2,862 | |
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Roche Holdings, Inc. 6.5% 3/4/21 | EUR | 1,950 | $ 3,076 | |
Schering-Plough Corp. 5.375% 10/1/14 | EUR | 1,940 | 2,865 | |
| 14,395 | |||
TOTAL HEALTH CARE | 138,743 | |||
INDUSTRIALS - 1.9% | ||||
Aerospace & Defense - 0.1% | ||||
Alion Science & Technology Corp. 10.25% 2/1/15 | 800 | 328 | ||
DigitalGlobe, Inc. 10.5% 5/1/14 (i) | 2,915 | 2,973 | ||
Hexcel Corp. 6.75% 2/1/15 | 2,350 | 2,180 | ||
Orbimage Holdings, Inc. 12.5% 7/1/12 (m) | 1,720 | 1,757 | ||
| 7,238 | |||
Airlines - 0.3% | ||||
American Airlines pass-thru trust certificates 10.375% 7/2/19 (k) | 5,955 | 5,985 | ||
Continental Airlines, Inc. pass-thru trust certificates 6.903% 4/19/22 | 820 | 492 | ||
Delta Air Lines, Inc.: | ||||
7.9% 12/15/09 (a) | 16,400 | 164 | ||
10% 8/15/08 (a) | 1,255 | 13 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 9,244 | 7,580 | ||
8.021% 8/10/22 | 4,764 | 3,096 | ||
Northwest Airlines Corp. 10% 2/1/09 (a) | 1,895 | 14 | ||
Northwest Airlines, Inc.: | ||||
7.875% 3/15/08 (a) | 1,365 | 7 | ||
8.875% 6/1/06 (a) | 1,355 | 10 | ||
Northwest Airlines, Inc. pass-thru trust certificates: | ||||
7.027% 11/1/19 | 2,288 | 1,716 | ||
8.028% 11/1/17 | 1,016 | 681 | ||
| 19,758 | |||
Building Products - 0.3% | ||||
Compagnie de St. Gobain 8.25% 7/28/14 | EUR | 1,950 | 3,044 | |
Nortek, Inc.: | ||||
8.5% 9/1/14 | 11,485 | 3,273 | ||
10% 12/1/13 | 11,620 | 9,296 | ||
NTK Holdings, Inc. 0% 3/1/14 (f) | 6,210 | 497 | ||
| 16,110 | |||
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 | $ 140 | ||
Browning-Ferris Industries, Inc. 9.25% 5/1/21 | 680 | 712 | ||
Cenveo Corp. 10.5% 8/15/16 (i) | 2,795 | 2,096 | ||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 10,955 | 9,805 | ||
7.75% 1/15/15 | 4,830 | 4,637 | ||
West Corp. 9.5% 10/15/14 | 8,620 | 7,586 | ||
| 24,976 | |||
Construction & Engineering - 0.0% | ||||
Blount, Inc. 8.875% 8/1/12 | 1,250 | 1,253 | ||
Electrical Equipment - 0.0% | ||||
Coleman Cable, Inc. 9.875% 10/1/12 | 1,040 | 842 | ||
General Cable Corp. 7.125% 4/1/17 | 680 | 612 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 900 | 855 | ||
| 2,309 | |||
Industrial Conglomerates - 0.2% | ||||
Hutchison Whampoa Finance 06 Ltd. 4.625% 9/21/16 | EUR | 3,600 | 4,696 | |
Sequa Corp.: | ||||
11.75% 12/1/15 (i) | 10,805 | 6,240 | ||
13.5% 12/1/15 pay-in-kind (i) | 4,111 | 1,927 | ||
Siemens Financieringsmaatschappij NV 6.125% 9/14/66 (m) | GBP | 1,075 | 1,442 | |
| 14,305 | |||
Machinery - 0.1% | ||||
Chart Industries, Inc. 9.125% 10/15/15 | 1,160 | 1,044 | ||
Cummins, Inc. 7.125% 3/1/28 | 1,870 | 1,497 | ||
Terex Corp. 10.875% 6/1/16 | 5,025 | 5,025 | ||
| 7,566 | |||
Marine - 0.1% | ||||
Navios Maritime Holdings, Inc. 9.5% 12/15/14 | 5,215 | 4,276 | ||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 2,050 | 1,681 | ||
US Shipping Partners LP 13% 8/15/14 (d) | 3,185 | 32 | ||
| 5,989 | |||
Road & Rail - 0.2% | ||||
Kansas City Southern de Mexico, SA de CV: | ||||
7.375% 6/1/14 | 1,670 | 1,407 | ||
7.625% 12/1/13 | 1,700 | 1,428 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Road & Rail - continued | ||||
Kansas City Southern de Mexico, SA de CV: - continued | ||||
12.5% 4/1/16 (i) | $ 2,850 | $ 2,900 | ||
TFM SA de CV 9.375% 5/1/12 | 6,450 | 6,128 | ||
| 11,863 | |||
Trading Companies & Distributors - 0.2% | ||||
Glencore Finance (Europe) SA 7.125% 4/23/15 | EUR | 1,650 | 1,949 | |
Penhall International Corp. 12% 8/1/14 (i) | 1,515 | 576 | ||
VWR Funding, Inc. 10.25% 7/15/15 pay-in-kind | 10,015 | 7,912 | ||
| 10,437 | |||
TOTAL INDUSTRIALS | 121,804 | |||
INFORMATION TECHNOLOGY - 1.9% | ||||
Communications Equipment - 0.4% | ||||
Hughes Network System LLC/HNS Finance Corp. 9.5% 4/15/14 | 6,290 | 6,133 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 20,050 | 11,378 | ||
6.5% 1/15/28 | 6,570 | 3,679 | ||
Nortel Networks Corp.: | ||||
9.0025% 7/15/11 (d)(m) | 3,760 | 1,269 | ||
10.125% 7/15/13 (d) | 3,730 | 1,268 | ||
10.75% 7/15/16 (d) | 8,930 | 3,081 | ||
| 26,808 | |||
Computers & Peripherals - 0.0% | ||||
Seagate Technology International 10% 5/1/14 (i) | 1,450 | 1,494 | ||
Electronic Equipment & Components - 0.1% | ||||
Texas Competitive Electric Holdings Co. LLC: | ||||
Series A, 10.25% 11/1/15 | 5,985 | 3,726 | ||
Series B, 10.25% 11/1/15 | 2,620 | 1,638 | ||
11.25% 11/1/16 pay-in-kind | 1,970 | 869 | ||
| 6,233 | |||
IT Services - 0.2% | ||||
Ceridian Corp.: | ||||
11.25% 11/15/15 | 3,710 | 3,098 | ||
12.25% 11/15/15 pay-in-kind (m) | 875 | 630 | ||
SunGard Data Systems, Inc. 9.125% 8/15/13 | 5,280 | 5,016 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
IT Services - continued | ||||
Unisys Corp.: | ||||
8% 10/15/12 | $ 875 | $ 525 | ||
12.5% 1/15/16 | 3,030 | 1,788 | ||
| 11,057 | |||
Semiconductors & Semiconductor Equipment - 1.2% | ||||
Amkor Technology, Inc.: | ||||
7.125% 3/15/11 | 145 | 143 | ||
7.75% 5/15/13 | 1,040 | 962 | ||
9.25% 6/1/16 | 8,580 | 7,937 | ||
Avago Technologies Finance Ltd.: | ||||
6.1675% 6/1/13 (m) | 902 | 778 | ||
11.875% 12/1/15 | 8,455 | 8,434 | ||
Freescale Semiconductor, Inc.: | ||||
8.875% 12/15/14 | 42,915 | 21,458 | ||
9.875% 12/15/14 pay-in-kind (m) | 28,181 | 10,303 | ||
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. 5.2462% 12/15/11 (d)(m) | 735 | 0* | ||
New ASAT Finance Ltd. 9.25% 2/1/11 (d) | 2,100 | 3 | ||
NXP BV: | ||||
3.8813% 10/15/13 (m) | 18,985 | 7,214 | ||
7.875% 10/15/14 | 13,305 | 5,921 | ||
9.5% 10/15/15 | 17,060 | 5,971 | ||
Spansion LLC 11.25% 1/15/16 (d)(i) | 4,255 | 1,069 | ||
Viasystems, Inc. 10.5% 1/15/11 | 4,065 | 3,618 | ||
| 73,811 | |||
Software - 0.0% | ||||
Open Solutions, Inc. 9.75% 2/1/15 (i) | 870 | 357 | ||
TOTAL INFORMATION TECHNOLOGY | 119,760 | |||
MATERIALS - 3.9% | ||||
Chemicals - 0.7% | ||||
Ashland, Inc. 9.125% 6/1/17 (i) | 2,490 | 2,565 | ||
Chemtura Corp. 6.875% 6/1/16 (d) | 1,225 | 888 | ||
Georgia Gulf Corp.: | ||||
7.125% 12/15/13 | 1,325 | 364 | ||
9.5% 10/15/14 | 10,640 | 3,192 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Chemicals - continued | ||||
Huntsman LLC 11.625% 10/15/10 | $ 466 | $ 480 | ||
JohnsonDiversey Holdings, Inc. 10.67% 5/15/13 | 6,095 | 4,937 | ||
MacDermid, Inc. 9.5% 4/15/17 (i) | 500 | 365 | ||
Momentive Performance Materials, Inc.: | ||||
9.75% 12/1/14 | 28,265 | 12,437 | ||
10.875% 12/1/14 pay-in-kind (m) | 7,070 | 2,693 | ||
11.5% 12/1/16 | 19,830 | 5,453 | ||
NOVA Chemicals Corp.: | ||||
4.5375% 11/15/13 (m) | 1,690 | 1,394 | ||
6.5% 1/15/12 | 5,775 | 5,356 | ||
Sterling Chemicals, Inc. 10.25% 4/1/15 | 1,600 | 1,456 | ||
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 (d) | 3,430 | 549 | ||
| 42,129 | |||
Construction Materials - 0.1% | ||||
CRH Finance BV 7.375% 5/28/14 | EUR | 550 | 784 | |
Holcim GB Finance Ltd. 8.75% 4/24/17 | GBP | 300 | 519 | |
Lafarge SA: | ||||
6.625% 11/29/17 | GBP | 735 | 1,035 | |
8.75% 5/30/17 | GBP | 2,300 | 3,750 | |
| 6,088 | |||
Containers & Packaging - 0.8% | ||||
AEP Industries, Inc. 7.875% 3/15/13 | 640 | 578 | ||
Berry Plastics Holding Corp.: | ||||
4.5044% 9/15/14 (m) | 640 | 422 | ||
8.875% 9/15/14 | 19,025 | 16,029 | ||
10.25% 3/1/16 | 4,055 | 2,920 | ||
Cellu Tissue Holdings, Inc. 11.5% 6/1/14 (i) | 3,600 | 3,519 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 9,795 | 8,326 | ||
7.5% 12/15/96 | 3,685 | 2,653 | ||
8% 4/15/23 | 2,980 | 2,548 | ||
Rexam PLC 4.375% 3/15/13 | EUR | 1,150 | 1,503 | |
Temple-Inland, Inc.: | ||||
6.625% 1/15/16 | 165 | 148 | ||
7.875% 5/1/12 | 3,735 | 3,735 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Vitro SAB de CV: | ||||
8.625% 2/1/12 (d) | $ 21,240 | $ 8,071 | ||
9.125% 2/1/17 (d) | 2,210 | 840 | ||
| 51,292 | |||
Metals & Mining - 2.1% | ||||
Aleris International, Inc. 9% 12/15/14 pay-in-kind (d)(m) | 2,790 | 31 | ||
ArcelorMittal SA 8.25% 6/3/13 | EUR | 750 | 1,095 | |
Evraz Group SA 8.875% 4/24/13 (i) | 14,445 | 12,170 | ||
FMG Finance Property Ltd.: | ||||
10% 9/1/13 (i) | 4,945 | 4,722 | ||
10.625% 9/1/16 (i) | 21,290 | 20,332 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
6.875% 2/1/14 | 3,655 | 3,736 | ||
8.25% 4/1/15 | 8,780 | 8,835 | ||
8.375% 4/1/17 | 34,820 | 34,994 | ||
Gerdau AmeriSteel Corp./GUSAP Partners 10.375% 7/15/11 | 1,335 | 1,358 | ||
International Steel Group, Inc. 6.5% 4/15/14 | 10,550 | 10,102 | ||
Ispat Inland ULC 9.75% 4/1/14 | 932 | 976 | ||
RathGibson, Inc. 11.25% 2/15/14 | 5,905 | 2,126 | ||
Steel Dynamics, Inc.: | ||||
6.75% 4/1/15 | 4,545 | 4,022 | ||
7.375% 11/1/12 | 865 | 815 | ||
7.75% 4/15/16 (i) | 865 | 804 | ||
Teck Resources Ltd.: | ||||
9.75% 5/15/14 (i) | 6,275 | 6,510 | ||
10.25% 5/15/16 (i) | 8,000 | 8,420 | ||
10.75% 5/15/19 (i) | 9,360 | 9,898 | ||
| 130,946 | |||
Paper & Forest Products - 0.2% | ||||
Abitibi-Consolidated, Inc. 13.75% 4/1/11 (d)(i) | 7,070 | 6,504 | ||
Glatfelter 7.125% 5/1/16 | 550 | 501 | ||
NewPage Corp. 7.2775% 5/1/12 (m) | 1,770 | 708 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Paper & Forest Products - continued | ||||
Solo Cup Co. 8.5% 2/15/14 | $ 2,140 | $ 1,755 | ||
Verso Paper Holdings LLC/ Verso Paper, Inc. 11.5% 7/1/14 (i) | 3,840 | 3,437 | ||
| 12,905 | |||
TOTAL MATERIALS | 243,360 | |||
TELECOMMUNICATION SERVICES - 5.6% | ||||
Diversified Telecommunication Services - 3.1% | ||||
AT&T, Inc.: | ||||
5.875% 4/28/17 | GBP | 1,300 | 2,251 | |
7% 4/30/40 | GBP | 1,200 | 2,157 | |
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 4,895 | 3,843 | ||
9% 8/15/31 | 3,655 | 3,015 | ||
Deutsche Telekom International Financial BV 6.5% 4/8/22 | GBP | 600 | 1,000 | |
Global Village Telecom Finance LLC 12% 6/30/11 (i) | 8,564 | 8,778 | ||
Intelsat Bermuda Ltd. 12.5% 2/4/17 pay-in-kind (g)(i) | 25,537 | 18,968 | ||
Intelsat Corp.: | ||||
9.25% 8/15/14 (i) | 5,215 | 5,032 | ||
9.25% 6/15/16 (i) | 8,820 | 8,423 | ||
Intelsat Ltd. 11.25% 6/15/16 | 27,785 | 28,410 | ||
Koninklijke KPN NV 6.25% 2/4/14 | EUR | 1,400 | 2,125 | |
Level 3 Financing, Inc.: | ||||
8.75% 2/15/17 | 6,170 | 4,689 | ||
9.25% 11/1/14 | 4,140 | 3,395 | ||
12.25% 3/15/13 | 2,785 | 2,646 | ||
Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (i) | 5,425 | 5,235 | ||
Qwest Communications International, Inc.: | ||||
7.5% 2/15/14 | 7,555 | 6,894 | ||
7.5% 2/15/14 | 1,655 | 1,510 | ||
Sistema Capital SA 8.875% 1/28/11 (Reg. S) | 5,810 | 5,607 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 47,925 | 34,027 | ||
6.9% 5/1/19 | 5,935 | 4,911 | ||
8.75% 3/15/32 | 27,255 | 21,940 | ||
Telecom Egypt SAE 12.19% 2/4/10 (m) | EGP | 713 | 121 | |
Telecom Italia SpA 7.375% 12/15/17 | GBP | 2,750 | 4,536 | |
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Telefonica Emisiones SAU: | ||||
5.496% 4/1/16 | EUR | 1,500 | $ 2,200 | |
5.496% 4/1/16 | EUR | 1,100 | 1,613 | |
U.S. West Communications: | ||||
7.25% 9/15/25 | 535 | 407 | ||
7.25% 10/15/35 | 1,455 | 1,040 | ||
7.5% 6/15/23 | 460 | 359 | ||
Wind Acquisition Finance SA 10.75% 12/1/15 (i) | 11,630 | 11,688 | ||
| 196,820 | |||
Wireless Telecommunication Services - 2.5% | ||||
Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 | 4,545 | 4,647 | ||
Cricket Communications, Inc. 10% 7/15/15 | 2,160 | 2,144 | ||
Digicel Group Ltd.: | ||||
8.875% 1/15/15 (i) | 17,550 | 14,742 | ||
9.125% 1/15/15 pay-in-kind (i)(m) | 6,310 | 5,237 | ||
9.25% 9/1/12 (i) | 7,775 | 7,620 | ||
12% 4/1/14 (i) | 9,725 | 9,822 | ||
Intelsat Jackson Holdings Ltd.: | ||||
9.5% 6/15/16 (i) | 19,260 | 19,260 | ||
11.5% 6/15/16 (i) | 8,740 | 8,565 | ||
Intelsat Subsidiary Holding Co. Ltd. 8.875% 1/15/15 | 12,125 | 11,670 | ||
Millicom International Cellular SA 10% 12/1/13 | 11,630 | 11,790 | ||
Mobile Telesystems Finance SA 8% 1/28/12 (i) | 7,884 | 7,785 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 9,445 | 7,438 | ||
7.375% 8/1/15 | 5,220 | 4,163 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (i) | 10,459 | 7,844 | ||
Sprint Nextel Corp. 6% 12/1/16 | 6,700 | 5,477 | ||
Telecom Personal SA 9.25% 12/22/10 (i) | 13,025 | 12,895 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Verizon Wireless Capital LLC 8.75% 12/18/15 | EUR | 2,200 | $ 3,694 | |
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (i) | 15,125 | 13,972 | ||
| 158,765 | |||
TOTAL TELECOMMUNICATION SERVICES | 355,585 | |||
UTILITIES - 2.1% | ||||
Electric Utilities - 0.5% | ||||
Chivor SA E.S.P. 9.75% 12/30/14 (i) | 2,355 | 2,543 | ||
Edison Mission Energy: | ||||
7.5% 6/15/13 | 4,880 | 4,355 | ||
7.75% 6/15/16 | 1,340 | 1,089 | ||
Electricite de France: | ||||
6.25% 1/25/21 | EUR | 2,300 | 3,637 | |
6.875% 12/12/22 | GBP | 1,950 | 3,556 | |
Intergen NV 9% 6/30/17 (i) | 7,670 | 7,267 | ||
Majapahit Holding BV 7.75% 10/17/16 | 3,335 | 2,951 | ||
National Power Corp. 6.875% 11/2/16 (i) | 5,655 | 5,556 | ||
Vattenfall AB 6.25% 3/17/21 | EUR | 950 | 1,457 | |
| 32,411 | |||
Gas Utilities - 0.6% | ||||
Bord Gais Eireann 5.75% 6/16/14 | EUR | 1,400 | 2,004 | |
Intergas Finance BV: | ||||
6.375% 5/14/17 (Reg. S) | 5,020 | 3,752 | ||
6.875% 11/4/11 (Reg. S) | 13,654 | 12,562 | ||
Southern Gas Networks PLC Class A1, 1.645% 10/21/10 (m) | EUR | 1,650 | 2,249 | |
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | 7,350 | 7,146 | ||
8% 3/1/32 | 4,170 | 4,412 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (i) | 11,000 | 8,085 | ||
| 40,210 | |||
Independent Power Producers & Energy Traders - 0.5% | ||||
Energy Future Holdings: | ||||
10.875% 11/1/17 | 21,745 | 15,874 | ||
12% 11/1/17 pay-in-kind (m) | 6,614 | 3,900 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
Enron Corp.: | ||||
Series A, 8.375% 5/23/05 (d) | $ 2,500 | $ 0* | ||
6.4% 7/15/06 (d) | 9,815 | 6 | ||
6.625% 11/15/05 (d) | 2,200 | 1 | ||
6.725% 11/17/08 (d)(m) | 684 | 0* | ||
6.75% 8/1/09 (d) | 550 | 0 | ||
6.875% 10/15/07 (d) | 1,330 | 1 | ||
6.95% 7/15/28 (d) | 1,204 | 0* | ||
7.125% 5/15/07 (d) | 235 | 0* | ||
7.375% 5/15/19 (d) | 1,400 | 1 | ||
7.875% 6/15/03 (d) | 235 | 0* | ||
9.125% 4/1/03 (d) | 50 | 0* | ||
9.875% 6/5/03 (d) | 4,720 | 3 | ||
NRG Energy, Inc. 7.25% 2/1/14 | 5,545 | 5,406 | ||
RRI Energy, Inc.: | ||||
7.625% 6/15/14 | 4,300 | 3,935 | ||
7.875% 6/15/17 | 990 | 886 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (i) | 1,016 | 869 | ||
| 30,882 | |||
Multi-Utilities - 0.5% | ||||
Aquila, Inc. 11.875% 7/1/12 (m) | 1,615 | 1,785 | ||
Centrica PLC 6.375% 3/10/22 | GBP | 1,250 | 2,110 | |
NiSource Finance Corp. 10.75% 3/15/16 | 18,183 | 20,169 | ||
RWE Finance BV 6.125% 7/6/39 (k) | GBP | 1,350 | 2,263 | |
Utilicorp United, Inc. 7.95% 2/1/11 (g) | 39 | 40 | ||
Veolia Environnement 4.375% 12/11/20 | EUR | 1,900 | 2,298 | |
| 28,665 | |||
Water Utilities - 0.0% | ||||
Thames Water Utilities Cayman Finance Ltd. 6.125% 2/4/13 | EUR | 2,000 | 2,941 | |
TOTAL UTILITIES | 135,109 | |||
TOTAL NONCONVERTIBLE BONDS | 2,168,093 | |||
TOTAL CORPORATE BONDS (Cost $2,463,504) | 2,203,547 | |||
U.S. Government and Government Agency Obligations - 21.8% | ||||
| Principal | Value (000s) | ||
Other Government Related - 1.6% | ||||
Bank of America Corp. 2.1% 4/30/12 (FDIC Guaranteed) (j) | $ 1,443 | $ 1,445 | ||
Citibank NA: | ||||
1.5% 7/12/11 (FDIC Guaranteed) (j) | 4,900 | 4,913 | ||
1.875% 5/7/12 (FDIC Guaranteed) (j) | 18,000 | 17,930 | ||
Citigroup Funding, Inc.: | ||||
1.25% 6/3/11 (FDIC Guaranteed) (j) | 9,000 | 8,983 | ||
2% 3/30/12 (FDIC Guaranteed) (j) | 10,000 | 10,023 | ||
2.125% 7/12/12 (FDIC Guaranteed) (j) | 8,910 | 8,911 | ||
General Electric Capital Corp. 1.8% 3/11/11 (FDIC Guaranteed) (j) | 12,000 | 12,108 | ||
JPMorgan Chase & Co. 1.902% 12/26/12 (FDIC Guaranteed) (j) | 15,000 | 14,924 | ||
Morgan Stanley 3.25% 12/1/11 (FDIC Guaranteed) (j) | 21,887 | 22,705 | ||
TOTAL OTHER GOVERNMENT RELATED | 101,942 | |||
U.S. Government Agency Obligations - 6.1% | ||||
Fannie Mae: | ||||
1.875% 4/20/12 | 4,010 | 4,026 | ||
2% 1/9/12 | 15,000 | 15,150 | ||
2.5% 5/15/14 | 23,157 | 22,765 | ||
2.75% 3/13/14 | 32,840 | 32,770 | ||
3% 7/12/10 | 10,000 | 10,253 | ||
3.375% 5/19/11 | 34,002 | 35,396 | ||
4.75% 11/19/12 | 15,800 | 17,183 | ||
6% 5/15/11 | 7,545 | 8,200 | ||
Federal Home Loan Bank: | ||||
1.625% 7/27/11 | 17,150 | 17,244 | ||
2.25% 4/13/12 | 27,710 | 28,044 | ||
3.625% 10/18/13 | 36,405 | 37,641 | ||
Freddie Mac: | ||||
1.5% 1/7/11 | 14,705 | 14,834 | ||
1.75% 6/15/12 | 25,004 | 24,910 | ||
2.125% 3/23/12 | 830 | 838 | ||
2.5% 4/23/14 | 32,980 | 32,458 | ||
3.75% 3/27/19 | 1,050 | 1,032 | ||
5% 2/16/17 | 8,600 | 9,353 | ||
5.125% 11/17/17 | 29,108 | 31,947 | ||
5.5% 8/23/17 | 14,000 | 15,747 | ||
6.875% 9/15/10 | 15,000 | 16,055 | ||
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 | $ 5,078 | ||
Private Export Funding Corp. secured: | ||||
4.974% 8/15/13 | 1,515 | 1,642 | ||
5.685% 5/15/12 | 1,285 | 1,422 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 383,988 | |||
U.S. Treasury Inflation Protected Obligations - 0.5% | ||||
U.S. Treasury Inflation-Indexed Bonds 2.5% 1/15/29 | 16,704 | 17,701 | ||
U.S. Treasury Inflation-Indexed Notes 1.375% 7/15/18 | 15,821 | 15,339 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 33,040 | |||
U.S. Treasury Obligations - 13.6% | ||||
U.S. Treasury Bonds: | ||||
3.5% 2/15/39 | 72,430 | 62,629 | ||
4.25% 5/15/39 | 6,357 | 6,292 | ||
4.375% 2/15/38 | 2,500 | 2,525 | ||
4.5% 5/15/38 | 3,550 | 3,665 | ||
6.125% 8/15/29 | 9,487 | 11,814 | ||
6.25% 8/15/23 | 56,925 | 69,342 | ||
7.5% 11/15/16 | 2,850 | 3,635 | ||
7.5% 11/15/24 | 6,190 | 8,512 | ||
7.875% 2/15/21 | 6,800 | 9,232 | ||
9.875% 11/15/15 | 11,595 | 16,199 | ||
stripped principal 0% 2/15/29 | 40,588 | 16,943 | ||
U.S. Treasury Notes: | ||||
0.875% 3/31/11 | 6,100 | 6,092 | ||
1.125% 6/30/11 | 93,510 | 93,517 | ||
1.125% 1/15/12 | 44,914 | 44,626 | ||
1.5% 12/31/13 | 4,313 | 4,154 | ||
1.875% 6/15/12 (h) | 23,816 | 23,989 | ||
1.875% 2/28/14 | 85 | 83 | ||
1.875% 4/30/14 | 33,802 | 32,801 | ||
2% 11/30/13 | 4,841 | 4,770 | ||
2.25% 5/31/14 (h) | 47,571 | 46,932 | ||
2.625% 6/30/14 | 15,000 | 15,047 | ||
2.625% 4/30/16 | 22,737 | 21,984 | ||
2.75% 2/28/13 | 92,964 | 95,608 | ||
2.75% 2/15/19 | 8,431 | 7,896 | ||
3.125% 8/31/13 | 11,100 | 11,500 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
3.125% 9/30/13 | $ 34,572 | $ 35,766 | ||
3.125% 5/15/19 (h) | 34,077 | 32,959 | ||
3.25% 5/31/16 | 32,018 | 32,158 | ||
3.25% 6/30/16 | 15,700 | 15,749 | ||
3.375% 6/30/13 | 8,470 | 8,872 | ||
3.625% 5/15/13 | 18,692 | 19,771 | ||
3.75% 11/15/18 | 34,582 | 35,179 | ||
3.875% 5/15/18 | 2,550 | 2,627 | ||
4.25% 11/15/17 | 28,890 | 30,641 | ||
4.5% 2/28/11 | 11,301 | 11,980 | ||
4.5% 5/15/17 | 13,745 | 14,833 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 860,322 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,376,311) | 1,379,292 | |||
U.S. Government Agency - Mortgage Securities - 3.1% | ||||
| ||||
Fannie Mae - 1.8% | ||||
3.384% 5/1/35 (m) | 253 | 259 | ||
3.4% 9/1/33 (m) | 1,013 | 1,033 | ||
3.971% 7/1/35 (m) | 715 | 730 | ||
4% 9/1/13 to 5/1/20 | 3,694 | 3,781 | ||
4.025% 11/1/35 (m) | 1,152 | 1,180 | ||
4.338% 3/1/37 (m) | 3,202 | 3,304 | ||
4.398% 11/1/36 (m) | 112 | 115 | ||
4.42% 10/1/33 (m) | 741 | 764 | ||
4.471% 2/1/35 (m) | 2,242 | 2,317 | ||
4.5% 7/1/24 (k)(l) | 9,000 | 9,176 | ||
4.526% 10/1/35 (m) | 3,360 | 3,459 | ||
4.533% 11/1/33 (m) | 217 | 227 | ||
4.597% 7/1/35 (m) | 1,556 | 1,610 | ||
4.614% 10/1/35 (m) | 197 | 202 | ||
4.667% 7/1/35 (m) | 538 | 556 | ||
4.696% 2/1/35 (m) | 2,245 | 2,310 | ||
4.713% 2/1/35 (m) | 942 | 979 | ||
4.717% 11/1/35 (m) | 960 | 1,000 | ||
4.763% 7/1/35 (m) | 544 | 564 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Fannie Mae - continued | ||||
4.784% 3/1/35 (m) | $ 957 | $ 986 | ||
4.787% 7/1/35 (m) | 733 | 760 | ||
4.799% 8/1/35 (m) | 1,752 | 1,831 | ||
4.822% 6/1/35 (m) | 1,151 | 1,190 | ||
4.827% 10/1/34 (m) | 1,434 | 1,461 | ||
4.846% 3/1/33 (m) | 374 | 382 | ||
4.895% 2/1/36 (m) | 1,786 | 1,851 | ||
4.91% 1/1/35 (m) | 567 | 583 | ||
4.987% 7/1/35 (m) | 810 | 835 | ||
4.988% 2/1/34 (m) | 1,086 | 1,123 | ||
4.994% 2/1/35 (m) | 903 | 930 | ||
5% 1/1/14 to 5/1/22 | 278 | 288 | ||
5.006% 12/1/32 (m) | 796 | 814 | ||
5.018% 5/1/35 (m) | 2,199 | 2,291 | ||
5.06% 10/1/35 (m) | 933 | 959 | ||
5.069% 4/1/35 (m) | 1,498 | 1,533 | ||
5.095% 8/1/35 (m) | 7,997 | 8,302 | ||
5.102% 10/1/35 (m) | 551 | 570 | ||
5.108% 4/1/36 (m) | 749 | 782 | ||
5.124% 10/1/35 (m) | 696 | 724 | ||
5.142% 7/1/35 (m) | 2,020 | 2,096 | ||
5.152% 8/1/34 (m) | 1,010 | 1,038 | ||
5.261% 5/1/35 (m) | 770 | 804 | ||
5.305% 7/1/35 (m) | 301 | 312 | ||
5.309% 3/1/36 (m) | 5,768 | 6,026 | ||
5.344% 2/1/37 (m) | 501 | 521 | ||
5.377% 2/1/37 (m) | 2,160 | 2,238 | ||
5.466% 2/1/37 (m) | 3,093 | 3,227 | ||
5.485% 11/1/36 (m) | 611 | 632 | ||
5.498% 6/1/47 (m) | 372 | 386 | ||
5.5% 3/1/12 to 4/1/16 | 731 | 754 | ||
5.632% 4/1/36 (m) | 2,112 | 2,207 | ||
5.664% 2/1/36 (m) | 516 | 539 | ||
5.771% 3/1/36 (m) | 4,105 | 4,315 | ||
5.804% 9/1/36 (m) | 880 | 909 | ||
5.835% 6/1/35 (m) | 1,869 | 1,952 | ||
5.864% 5/1/36 (m) | 541 | 565 | ||
5.88% 12/1/36 (m) | 796 | 836 | ||
5.987% 4/1/36 (m) | 8,279 | 8,647 | ||
6% 5/1/12 to 1/1/26 | 7,221 | 7,688 | ||
6.117% 4/1/36 (m) | 815 | 852 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Fannie Mae - continued | ||||
6.22% 3/1/37 (m) | $ 280 | $ 294 | ||
6.248% 6/1/36 (m) | 137 | 142 | ||
6.5% 12/1/12 to 9/1/32 | 3,730 | 3,994 | ||
7.5% 1/1/28 | 81 | 89 | ||
TOTAL FANNIE MAE | 112,824 | |||
Freddie Mac - 1.3% | ||||
3.12% 6/1/33 (m) | 638 | 648 | ||
3.741% 5/1/35 (m) | 1,389 | 1,418 | ||
3.797% 12/1/33 (m) | 1,276 | 1,306 | ||
3.927% 7/1/33 (m) | 1,251 | 1,273 | ||
4% 5/1/19 to 11/1/20 | 4,141 | 4,240 | ||
4.143% 9/1/36 (m) | 564 | 579 | ||
4.489% 7/1/35 (m) | 895 | 908 | ||
4.5% 8/1/33 | 623 | 623 | ||
4.5% 4/1/35 (m) | 1,754 | 1,822 | ||
4.774% 3/1/35 (m) | 523 | 535 | ||
4.792% 2/1/36 (m) | 202 | 209 | ||
4.859% 1/1/35 (m) | 1,742 | 1,781 | ||
5.005% 4/1/35 (m) | 1,912 | 1,973 | ||
5.007% 10/1/35 (m) | 898 | 931 | ||
5.023% 4/1/35 (m) | 103 | 107 | ||
5.088% 10/1/36 (m) | 867 | 904 | ||
5.106% 7/1/35 (m) | 548 | 565 | ||
5.251% 2/1/36 (m) | 54 | 57 | ||
5.296% 9/1/35 (m) | 507 | 523 | ||
5.474% 3/1/37 (m) | 288 | 296 | ||
5.478% 4/1/37 (m) | 306 | 317 | ||
5.486% 1/1/36 (m) | 684 | 717 | ||
5.5% 8/1/14 to 2/1/19 | 12,122 | 12,775 | ||
5.599% 3/1/36 (m) | 3,235 | 3,357 | ||
5.692% 10/1/35 (m) | 237 | 248 | ||
5.693% 1/1/36 (m) | 272 | 283 | ||
5.737% 5/1/37 (m) | 599 | 624 | ||
5.744% 5/1/37 (m) | 3,758 | 3,925 | ||
5.775% 5/1/37 (m) | 2,148 | 2,239 | ||
5.78% 4/1/37 (m) | 1,738 | 1,806 | ||
5.781% 3/1/37 (m) | 1,564 | 1,598 | ||
5.815% 6/1/37 (m) | 1,325 | 1,384 | ||
5.846% 5/1/37 (m) | 280 | 291 | ||
5.952% 4/1/36 (m) | 5,979 | 6,215 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Freddie Mac - continued | ||||
5.954% 6/1/37 (m) | $ 300 | $ 314 | ||
6% 7/1/16 to 2/1/19 | 6,411 | 6,829 | ||
6.06% 6/1/36 (m) | 1,053 | 1,100 | ||
6.092% 12/1/36 (m) | 3,909 | 4,067 | ||
6.141% 2/1/37 (m) | 637 | 669 | ||
6.142% 12/1/36 (m) | 1,125 | 1,180 | ||
6.207% 8/1/36 (m) | 3,889 | 4,065 | ||
6.22% 7/1/36 (m) | 593 | 620 | ||
6.291% 1/1/37 (m) | 1,234 | 1,286 | ||
6.419% 6/1/37 (m) | 167 | 175 | ||
6.5% 10/1/10 to 3/1/22 | 5,933 | 6,333 | ||
6.651% 8/1/37 (m) | 1,103 | 1,159 | ||
7.347% 4/1/37 (m) | 78 | 82 | ||
8.5% 3/1/20 | 7 | 7 | ||
TOTAL FREDDIE MAC | 84,363 | |||
Government National Mortgage Association - 0.0% | ||||
6.5% 4/15/26 to 5/15/26 | 32 | 35 | ||
7% 9/15/25 to 8/15/31 | 60 | 65 | ||
7.5% 2/15/22 to 8/15/28 | 107 | 117 | ||
8% 9/15/26 to 12/15/26 | 23 | 25 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 242 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $190,791) | 197,429 | |||
Asset-Backed Securities - 0.1% | ||||
| ||||
Amstel Corp. Loan Offering BV: | ||||
Series 2006-1 Class C, 1.739% 5/25/16 (m) | EUR | 465 | 277 | |
Series 2007-1: | ||||
Class B, 1.476% 3/25/17 (m) | EUR | 1,009 | 368 | |
Class C, 1.656% 3/25/17 (m) | EUR | 734 | 226 | |
Auto ABS Compartiment Series 2006-1 Class B, 1.656% 7/25/17 (m) | EUR | 1,000 | 886 | |
Clock Finance BV Series 2007-1: | ||||
Class B2, 1.479% 2/25/15 (m) | EUR | 700 | 466 | |
Class C2, 1.759% 2/25/15 (m) | EUR | 400 | 241 | |
Geldilux Ltd. Series 2007-TS Class C, 1.966% 9/8/14 (m) | EUR | 400 | 352 | |
Asset-Backed Securities - continued | ||||
| Principal | Value (000s) | ||
GLS Ltd. Series 2006-1 Class C, 1.935% 7/15/14 (m) | EUR | 500 | $ 663 | |
Lambda Finance BV Series 2005-1X Class C1, 1.9769% 11/15/29 (m) | GBP | 500 | 458 | |
Leek Finance PLC: | ||||
Series 17X Class A2A, 0.7488% 12/21/37 (m) | GBP | 202 | 264 | |
Series 18X Class BC, 1.635% 9/21/38 (m) | EUR | 600 | 52 | |
Mermaid Secured Finance 2007-1 Series 2007-1: | ||||
Class C, 1.684% 1/30/40 (m) | EUR | 400 | 488 | |
Class D, 1.884% 1/30/40 (m) | EUR | 550 | 647 | |
Prime Bricks 2007-1 GmbH Series 2007-1: | ||||
Class B, 1.684% 1/30/40 (m) | EUR | 550 | 671 | |
Class C, 1.884% 1/30/40 (m) | EUR | 450 | 538 | |
Promise K 2006-1 GmbH Series I 2006-1 Class D, 1.951% 3/10/17 (m) | EUR | 1,000 | 232 | |
Small Business Administration guaranteed development participation certificates Series 2003-P10B, Class 1 5.136% 8/10/13 | 503 | 523 | ||
Stichting Mars Series 2006 Class C, 1.576% 8/28/14 (m) | EUR | 1,000 | 882 | |
Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27 | GBP | 60 | 65 | |
Volkswagen Car Lease Series 9 Class B, 1.078% 4/21/12 (Reg. S) (m) | EUR | 125 | 166 | |
Whinstone Capital Management Ltd. Series 2005-1X Class B1, 2.375% 10/25/45 (m) | GBP | 526 | 69 | |
TOTAL ASSET-BACKED SECURITIES (Cost $15,912) | 8,534 | |||
Collateralized Mortgage Obligations - 1.2% | ||||
| ||||
Private Sponsor - 0.0% | ||||
Arkle Master Issuer PLC floater Series 2006-1X Class 5M1, 1.536% 2/17/52 (m) | EUR | 800 | 783 | |
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1X Class DC, 1.875% 4/12/56 (m) | EUR | 577 | 349 | |
EPIC PLC Series BROD Class D, 1.885% 1/22/16 (m) | EUR | 291 | 82 | |
RMAC PLC Series 2005-NS4X Class M2A, 1.7831% 12/12/43 (m) | GBP | 1,443 | 586 | |
RMAC Securities PLC 2006 floater Series 2006-NS4X Class M1A, 1.5231% 6/12/44 (m) | GBP | 1,250 | 563 | |
Shield BV Series 1 Class C, 1.8% 1/20/14 (m) | EUR | 1,500 | 1,683 | |
TOTAL PRIVATE SPONSOR | 4,046 | |||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - 1.2% | ||||
Fannie Mae floater Series 2007-95 Class A1, 0.5638% 8/27/36 (m) | $ 5,481 | $ 5,064 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
planned amortization class: | ||||
Series 2001-68 Class QZ, 5.5% 12/25/16 | 1,113 | 1,175 | ||
Series 2002-61 Class PG, 5.5% 10/25/17 | 4,712 | 4,998 | ||
Series 2002-71 Class UC, 5% 11/25/17 | 7,520 | 7,929 | ||
Series 2002-9 Class PC, 6% 3/25/17 | 170 | 181 | ||
Series 2003-113 Class PE, 4% 11/25/18 | 1,515 | 1,516 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 890 | 859 | ||
Series 2003-85 Class GD, 4.5% 9/25/18 | 3,190 | 3,303 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 1,980 | 2,023 | ||
Series 2004-81: | ||||
Class KC, 4.5% 4/25/17 | 1,343 | 1,389 | ||
Class KD, 4.5% 7/25/18 | 3,035 | 3,178 | ||
Series 2005-52 Class PB, 6.5% 12/25/34 | 2,708 | 2,898 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 594 | 626 | ||
Series 2004-95 Class AN, 5.5% 1/25/25 | 1,657 | 1,752 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 808 | 743 | ||
Series 2005-29 Class KA, 4.5% 2/25/35 | 2,285 | 2,353 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 2,480 | 2,651 | ||
Freddie Mac planned amortization class: | ||||
Series 2101 Class PD, 6% 11/15/28 | 335 | 357 | ||
Series 2115 Class PE, 6% 1/15/14 | 110 | 117 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2577 Class FW, 0.8194% 1/15/30 (m) | 3,352 | 3,361 | ||
Series 2630 Class FL, 0.8194% 6/15/18 (m) | 104 | 105 | ||
Series 2861 Class GF, 0.6194% 1/15/21 (m) | 1,421 | 1,422 | ||
planned amortization class: | ||||
Series 2376 Class JE, 5.5% 11/15/16 | 637 | 669 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 496 | 522 | ||
Series 2425 Class JH, 6% 3/15/17 | 862 | 916 | ||
Series 2628 Class OE, 4.5% 6/15/18 | 1,630 | 1,695 | ||
Series 2695 Class DG, 4% 10/15/18 | 3,865 | 3,874 | ||
Series 2831 Class PB, 5% 7/15/19 | 3,990 | 4,155 | ||
Series 2866 Class XE, 4% 12/15/18 | 4,450 | 4,555 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 690 | 722 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | $ 889 | $ 935 | ||
Series 2467 Class NB, 5% 7/15/17 | 1,610 | 1,697 | ||
Series 2570 Class CU, 4.5% 7/15/17 | 226 | 234 | ||
Series 2572 Class HK, 4% 2/15/17 | 300 | 307 | ||
Series 2617 Class GW, 3.5% 6/15/16 | 71 | 71 | ||
Series 2627: | ||||
Class BG, 3.25% 6/15/17 | 155 | 157 | ||
Class KP, 2.87% 12/15/16 | 148 | 149 | ||
Series 2860 Class CP, 4% 10/15/17 | 254 | 259 | ||
Series 2564 Class BQ, 5.5% 10/15/17 | 2,043 | 2,160 | ||
Series 2715 Class NG, 4.5% 12/15/18 | 2,155 | 2,211 | ||
Series 2863 Class DB, 4% 9/15/14 | 222 | 226 | ||
Series 2975 Class NA, 5% 7/15/23 | 419 | 424 | ||
TOTAL U.S. GOVERNMENT AGENCY | 73,938 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $79,752) | 77,984 | |||
Commercial Mortgage Securities - 0.2% | ||||
| ||||
Bruntwood Alpha PLC Series 2007-1 Class C, 2.0244% 1/15/17 (m) | GBP | 700 | 242 | |
Canary Wharf Finance II PLC Series 3MUK Class C2, 1.6506% 10/22/37 (m) | GBP | 1,000 | 494 | |
European Property Capital 4 PLC Class C, 1.7881% 7/20/14 (Reg. S) (m) | GBP | 297 | 346 | |
German Residential Asset Note Distributor PLC Series 1 Class A, 1.65% 7/20/16 (m) | EUR | 1,274 | 1,273 | |
JLOC 36 LLC Reg. S: | ||||
Class A1, 0.7963% 2/16/16 (m) | JPY | 70,170 | 699 | |
Class B, 0.9663% 2/16/16 (m) | JPY | 73,970 | 700 | |
JLOC 37 LLC (Reg. S) Series X Class B1, 0.9544% 1/15/15 (m) | JPY | 73,799 | 693 | |
London & Regional Debt Securitisation No. 1 PLC Class A, 1.7444% 10/15/14 (m) | GBP | 650 | 838 | |
Opera Finance (CMH) PLC Class B, 1.4313% 1/15/15 (m) | EUR | 1,100 | 617 | |
Opera Finance (LAKESIDE) PLC 1.7019% 7/31/13 (m) | GBP | 960 | 1,349 | |
Commercial Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Paris Prime Community Real Estate Series 2006-1 Class B, 1.655% 4/22/14 (i)(m) | EUR | 721 | $ 657 | |
Real Estate Capital Foundation Ltd. Series 3 Class A, 1.3313% 7/15/16 (m) | GBP | 1,708 | 1,935 | |
Rivoli Pan Europe PLC Series 2006-1 Class B 1.645% 8/3/18 (m) | EUR | 650 | 486 | |
Silver Maple Investment Co. Ltd. Class 2A, 1.544% 4/30/14 (m) | EUR | 700 | 838 | |
Skyline BV Series 2007-1 Class D, 2.215% 7/22/43 (m) | EUR | 1,100 | 637 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $18,979) | 11,804 | |||
Foreign Government and Government Agency Obligations - 19.8% | ||||
| ||||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 12,613 | 6,496 | ||
par 2.5% 12/31/38 (g) | 7,920 | 2,039 | ||
7% 3/28/11 | 109,625 | 76,512 | ||
7% 9/12/13 | 74,525 | 41,386 | ||
19.9757% to 28.8766% 8/3/09 | 11,587 | 11,345 | ||
Austrian Republic 5% 12/20/24 (i) | CAD | 2,000 | 1,632 | |
Banco Central del Uruguay: | ||||
value recovery A rights 1/2/21 (o) | 1,000,000 | 0* | ||
value recovery B rights 1/2/21 (o) | 750,000 | 0* | ||
Brazilian Federative Republic: | ||||
6% 9/15/13 | 1,275 | 1,272 | ||
8.25% 1/20/34 | 3,925 | 4,710 | ||
8.75% 2/4/25 | 3,540 | 4,354 | ||
10% 1/1/12 | BRL | 3,416 | 1,696 | |
12.25% 3/6/30 | 4,825 | 7,841 | ||
12.75% 1/15/20 | 1,380 | 2,084 | ||
Canadian Government: | ||||
3% 6/1/14 | CAD | 79,000 | 69,567 | |
4% 6/1/16 | CAD | 58,800 | 54,015 | |
5% 6/1/37 | CAD | 26,400 | 27,097 | |
Central Bank of Nigeria: | ||||
promissory note 5.092% 1/5/10 | 643 | 368 | ||
warrants 11/15/20 (a)(o) | 2,750 | 289 | ||
Colombian Republic 7.375% 9/18/37 | 5,125 | 5,228 | ||
Democratic Socialist Republic of Sri Lanka 8.25% 10/24/12 (i) | 5,465 | 5,082 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Dominican Republic: | ||||
2.125% 8/30/24 (m) | $ 4,323 | $ 2,853 | ||
9.04% 1/23/18 (i) | 9,651 | 8,589 | ||
9.5% 9/27/11 (Reg. S) | 9,810 | 9,712 | ||
Ecuador Republic 5% 2/28/25 | 1,580 | 837 | ||
El Salvador Republic: | ||||
7.65% 6/15/35 | 3,285 | 2,759 | ||
7.75% 1/24/23 (Reg. S) | 1,900 | 1,872 | ||
8.25% 4/10/32 (Reg. S) | 1,435 | 1,304 | ||
8.5% 7/25/11 (Reg. S) | 1,845 | 1,887 | ||
Gabonese Republic 8.2% 12/12/17 (i) | 15,100 | 13,250 | ||
Georgia Republic 7.5% 4/15/13 | 5,060 | 4,276 | ||
German Federal Republic: | ||||
4.25% 7/4/14 | EUR | 28,023 | 42,398 | |
4.75% 7/4/40 | EUR | 24,950 | 38,300 | |
5.5% 1/4/31 | EUR | 17,400 | 28,315 | |
Ghana Republic 8.5% 10/4/17 (i) | 8,950 | 7,406 | ||
Greek Government: | ||||
4.6% 9/20/40 | EUR | 17,900 | 20,771 | |
5.5% 8/20/14 | EUR | 11,050 | 16,710 | |
6% 7/19/19 | EUR | 5,000 | 7,506 | |
Indonesian Republic: | ||||
6.625% 2/17/37 (i) | 4,100 | 3,362 | ||
6.875% 3/9/17 (i) | 2,845 | 2,760 | ||
6.875% 1/17/18 (i) | 5,535 | 5,341 | ||
7.25% 4/20/15 (i) | 2,985 | 3,015 | ||
7.75% 1/17/38 (i) | 5,560 | 5,115 | ||
8.5% 10/12/35 (Reg. S) | 4,990 | 5,065 | ||
11.625% 3/4/19 (i) | 4,330 | 5,477 | ||
Irish Republic 5.9% 10/18/19 | EUR | 16,000 | 22,721 | |
Islamic Republic of Pakistan 7.125% 3/31/16 (i) | 9,515 | 6,470 | ||
Italian Republic: | ||||
3.5% 6/1/14 | EUR | 46,250 | 65,628 | |
5% 8/1/39 | EUR | 15,550 | 20,830 | |
Japan Government: | ||||
0.4% 5/15/11 | JPY | 2,350,000 | 24,448 | |
0.6% 4/15/10 | JPY | 1,300,000 | 13,540 | |
1.5% 9/20/18 | JPY | 1,190,000 | 12,599 | |
1.7% 12/20/16 | JPY | 6,850,000 | 74,599 | |
2.5% 9/20/37 | JPY | 1,525,000 | 16,883 | |
Lebanese Republic: | ||||
8.625% 6/20/13 (Reg. S) | 4,260 | 4,494 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Lebanese Republic: - continued | ||||
9% 5/2/14 | $ 2,780 | $ 2,919 | ||
Pakistan International Sukuk Co. Ltd. 3.8275% 1/27/10 (m) | 3,690 | 3,579 | ||
Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (i) | 2,160 | 2,295 | ||
Peruvian Republic 3% 3/7/27 (g) | 900 | 747 | ||
Philippine Republic: | ||||
9.5% 2/2/30 | 1,540 | 1,890 | ||
10.625% 3/16/25 | 1,465 | 1,919 | ||
Republic of Fiji 6.875% 9/13/11 | 5,010 | 4,259 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 5,300 | 3,366 | ||
Republic of Serbia 3.75% 11/1/24 (g)(i) | 18,105 | 15,887 | ||
Russian Federation: | ||||
7.5% 3/31/30 (Reg. S) | 72,480 | 71,393 | ||
12.75% 6/24/28 (Reg. S) | 7,455 | 10,698 | ||
Turkish Republic: | ||||
6.75% 4/3/18 | 5,860 | 5,816 | ||
6.875% 3/17/36 | 11,960 | 11,093 | ||
7% 9/26/16 | 3,865 | 3,952 | ||
7.25% 3/5/38 | 6,850 | 6,576 | ||
7.375% 2/5/25 | 13,680 | 13,783 | ||
UK Treasury GILT: | ||||
2.25% 3/7/14 | GBP | 26,500 | 41,896 | |
4.25% 12/7/55 | GBP | 8,895 | 14,369 | |
4.5% 3/7/19 | GBP | 2,740 | 4,804 | |
4.5% 9/7/34 | GBP | 21,800 | 36,216 | |
Ukraine Cabinet of Ministers: | ||||
5.1513% 8/5/09 (m) | 26,290 | 25,764 | ||
6.875% 3/4/11 (Reg. S) | 6,265 | 5,357 | ||
Ukraine Government: | ||||
6.385% 6/26/12 (i) | 6,515 | 5,017 | ||
6.75% 11/14/17 (i) | 20,320 | 13,818 | ||
United Mexican States: | ||||
7.5% 4/8/33 | 1,770 | 1,918 | ||
8.3% 8/15/31 | 1,710 | 2,005 | ||
Uruguay Republic: | ||||
Inflation-Indexed Bond 5% 9/14/18 | UYU | 38,067 | 1,485 | |
8% 11/18/22 | 6,062 | 6,365 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (o) | 3,260 | 62 | ||
2.1006% 4/20/11 (Reg. S) (m) | 23,800 | 19,516 | ||
5.375% 8/7/10 (Reg. S) | 4,925 | 4,617 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Venezuelan Republic: - continued | ||||
7% 3/31/38 | $ 3,450 | $ 1,682 | ||
8.5% 10/8/14 | 10,500 | 7,481 | ||
9% 5/7/23 (Reg. S) | 20,620 | 12,630 | ||
9.25% 9/15/27 | 15,820 | 10,718 | ||
9.375% 1/13/34 | 4,855 | 3,034 | ||
10.75% 9/19/13 | 32,378 | 26,712 | ||
13.625% 8/15/18 | 15,680 | 13,642 | ||
Vietnamese Socialist Republic: | ||||
4% 3/12/28 (g) | 7,625 | 5,261 | ||
6.875% 1/15/16 (i) | 2,565 | 2,565 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,284,911) | 1,251,211 | |||
Supranational Obligations - 0.1% | ||||
| ||||
European Investment Bank euro 3.5% 4/15/16 | EUR | 2,400 | 3,338 |
Common Stocks - 0.1% | |||
Shares |
| ||
CONSUMER DISCRETIONARY - 0.0% | |||
Auto Components - 0.0% | |||
Intermet Corp. (a)(p) | 113,725 | 0* | |
Remy International, Inc. (a) | 40,800 | 184 | |
Media - 0.0% | |||
Virgin Media, Inc. warrants 1/10/11 (a) | 6 | 0* | |
TOTAL CONSUMER DISCRETIONARY | 184 | ||
INDUSTRIALS - 0.1% | |||
Airlines - 0.1% | |||
Delta Air Lines, Inc. (a) | 810,325 | 4,692 | |
INFORMATION TECHNOLOGY - 0.0% | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
ASAT Holdings Ltd. warrants 2/1/11 (a)(p) | 546,000 | 3 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
MATERIALS - 0.0% | |||
Containers & Packaging - 0.0% | |||
Constar International, Inc. (a) | 25,300 | $ 380 | |
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | 142 | |
TOTAL COMMON STOCKS (Cost $17,197) | 5,401 | ||
Preferred Stocks - 0.0% | |||
|
|
|
|
Convertible Preferred Stocks - 0.0% | |||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
Celanese Corp. 4.25% | 6,600 | 207 | |
Nonconvertible Preferred Stocks - 0.0% | |||
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
Preferred Blocker, Inc. 7.00% (i) | 1,046 | 455 | |
TELECOMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
PTV, Inc. Series A, 10.00% | 119 | 0* | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 455 | ||
TOTAL PREFERRED STOCKS (Cost $500) | 662 |
Floating Rate Loans - 6.6% | ||||
| Principal |
| ||
CONSUMER DISCRETIONARY - 2.3% | ||||
Auto Components - 0.2% | ||||
TRW Automotive Holdings Corp. Tranche B1, term loan 1.875% 2/9/14 (m) | $ 2,360 | 2,100 | ||
Visteon Corp. term loan 4.426% 6/13/13 (d)(m) | 20,095 | 8,239 | ||
| 10,339 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
CONSUMER DISCRETIONARY - continued | ||||
Automobiles - 0.3% | ||||
AM General LLC: | ||||
Credit-Linked Deposit 3.3113% 9/30/12 (m) | $ 132 | $ 122 | ||
Tranche B, term loan 3.4454% 9/30/13 (m) | 2,970 | 2,733 | ||
Ford Motor Co. term loan 3.5944% 12/15/13 (m) | 21,747 | 15,929 | ||
| 18,784 | |||
Diversified Consumer Services - 0.3% | ||||
Affinion Group Holdings, Inc. term loan 8.5225% 3/1/12 (m) | 4,150 | 3,115 | ||
ServiceMaster Co.: | ||||
term loan 2.8859% 7/24/14 (m) | 6,410 | 5,128 | ||
Tranche DD, term loan 2.81% 7/24/14 (m) | 616 | 493 | ||
Thomson Learning, Inc. term loan 2.81% 7/5/14 (m) | 12,901 | 10,708 | ||
| 19,444 | |||
Hotels, Restaurants & Leisure - 0.2% | ||||
Green Valley Ranch Gaming LLC Tranche 1LN, term loan 3.4577% 2/16/14 (m) | 141 | 82 | ||
Las Vegas Sands LLC: | ||||
term loan 2.06% 5/23/14 (m) | 147 | 103 | ||
Tranche B, term loan 2.06% 5/23/14 (m) | 728 | 510 | ||
OSI Restaurant Partners, Inc.: | ||||
Credit-Linked Deposit 2.8794% 6/14/13 (m) | 41 | 29 | ||
term loan 2.625% 6/14/14 (m) | 449 | 321 | ||
Six Flags, Inc. Tranche B, term loan 3.3655% 4/30/15 (m) | 14,543 | 13,816 | ||
| 14,861 | |||
Media - 0.8% | ||||
Advanstar, Inc. Tranche 2LN, term loan 5.5975% 11/30/14 (m) | 380 | 19 | ||
Charter Communications Operating LLC Tranche B 1LN, term loan 6.25% 3/6/14 (m) | 18,792 | 16,631 | ||
Discovery Communications, Inc. term loan 2.5975% 5/14/14 (m) | 1,029 | 967 | ||
Education Media and Publishing Group Ltd.: | ||||
Tranche 1LN, term loan 7.66% 6/12/14 (m) | 14,053 | 9,837 | ||
Tranche 2LN, term loan 11.75% 12/12/14 (m) | 28,842 | 4,326 | ||
Idearc, Inc. term loan 3.4179% 11/17/14 (d)(m) | 3,747 | 1,574 | ||
Univision Communications, Inc. Tranche 1LN, term loan 2.56% 9/29/14 (m) | 25,720 | 19,097 | ||
| 52,451 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - 0.4% | ||||
Burlington Coat Factory Warehouse Corp. term loan 2.56% 5/28/13 (m) | $ 6,791 | $ 5,297 | ||
Michaels Stores, Inc. term loan 2.6762% 10/31/13 (m) | 23,133 | 18,160 | ||
Toys 'R' US, Inc. term loan 3.32% 12/8/09 (m) | 1,554 | 1,527 | ||
| 24,984 | |||
Textiles, Apparel & Luxury Goods - 0.1% | ||||
Hanesbrands, Inc. term loan 4.8419% 3/5/14 (m) | 1,650 | 1,551 | ||
Levi Strauss & Co. term loan 2.5681% 4/4/14 (m) | 1,580 | 1,304 | ||
| 2,855 | |||
TOTAL CONSUMER DISCRETIONARY | 143,718 | |||
CONSUMER STAPLES - 0.2% | ||||
Beverages - 0.0% | ||||
Constellation Brands, Inc. Tranche B, term loan 1.875% 6/5/13 (m) | 935 | 888 | ||
Food & Staples Retailing - 0.0% | ||||
Rite Aid Corp. Tranche ABL, term loan 2.0668% 6/4/14 (m) | 2,666 | 2,106 | ||
Household Products - 0.1% | ||||
Spectrum Brands, Inc.: | ||||
Tranche B1, term loan 6.5722% 3/30/13 (m) | 6,752 | 6,026 | ||
4.4613% 3/30/13 (m) | 143 | 128 | ||
| 6,154 | |||
Personal Products - 0.1% | ||||
Revlon Consumer Products Corp. term loan 4.5243% 1/15/12 (m) | 4,769 | 4,328 | ||
TOTAL CONSUMER STAPLES | 13,476 | |||
ENERGY - 0.1% | ||||
Energy Equipment & Services - 0.0% | ||||
Compagnie Generale de Geophysique SA term loan 4.4717% 1/12/14 (m) | 432 | 415 | ||
Helix Energy Solutions Group, Inc. term loan 2.8566% 7/1/13 (m) | 684 | 634 | ||
| 1,049 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - 0.1% | ||||
Coffeyville Resources LLC: | ||||
Credit-Linked Deposit 8.75% 12/28/10 (m) | $ 213 | $ 190 | ||
Tranche D, term loan 8.75% 12/28/13 (m) | 1,709 | 1,529 | ||
Venoco, Inc. Tranche 2LN, term loan 4.375% 5/7/14 (m) | 405 | 308 | ||
| 2,027 | |||
TOTAL ENERGY | 3,076 | |||
FINANCIALS - 0.5% | ||||
Consumer Finance - 0.2% | ||||
DaimlerChrysler Financial Services Tranche 1LN, term loan 4.32% 8/3/12 (m) | 15,324 | 14,404 | ||
Diversified Financial Services - 0.1% | ||||
Clear Channel Capital I LLC Tranche B, term loan 3.9575% 1/29/16 (m) | 8,645 | 5,101 | ||
MGM Holdings II, Inc. Tranche B, term loan 3.56% 4/8/12 (m) | 2,235 | 1,229 | ||
| 6,330 | |||
Real Estate Management & Development - 0.2% | ||||
Realogy Corp.: | ||||
Credit-Linked Deposit 3.5007% 10/10/13 (m) | 1,943 | 1,399 | ||
Tranche B, term loan 4.1769% 10/10/13 (m) | 7,217 | 5,196 | ||
Tranche DD, term loan 4.1586% 10/10/13 (m) | 6,982 | 5,027 | ||
| 11,622 | |||
TOTAL FINANCIALS | 32,356 | |||
HEALTH CARE - 0.0% | ||||
Health Care Providers & Services - 0.0% | ||||
Health Management Associates, Inc. Tranche B, term loan 2.3475% 2/28/14 (m) | 881 | 777 | ||
Pharmaceuticals - 0.0% | ||||
PTS Acquisition Corp. term loan 2.56% 4/10/14 (m) | 2,064 | 1,698 | ||
TOTAL HEALTH CARE | 2,475 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
INDUSTRIALS - 0.8% | ||||
Aerospace & Defense - 0.0% | ||||
DeCrane Aircraft Holdings, Inc.: | ||||
Tranche 1LN, term loan 6.3794% 2/21/13 (m) | $ 83 | $ 61 | ||
Tranche 2LN, term loan 10.6294% 2/21/14 (m) | 140 | 56 | ||
Wesco Aircraft Hardware Corp. Tranche 2LN, term loan 6.06% 3/28/14 (m) | 70 | 48 | ||
| 165 | |||
Airlines - 0.3% | ||||
Delta Air Lines, Inc. Tranche 2LN, term loan 3.5675% 4/30/14 (m) | 10,317 | 7,119 | ||
Northwest Airlines, Inc. term loan 2.32% 12/31/10 (m) | 7,181 | 6,786 | ||
United Air Lines, Inc. Tranche B, term loan 2.3309% 2/1/14 (m) | 12,615 | 7,285 | ||
| 21,190 | |||
Commercial Services & Supplies - 0.0% | ||||
Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 6.4625% 2/7/15 (m) | 650 | 384 | ||
Industrial Conglomerates - 0.1% | ||||
Sequa Corp. term loan 4.057% 12/3/14 (m) | 3,462 | 2,614 | ||
Machinery - 0.1% | ||||
Chart Industries, Inc. Tranche B, term loan 2.3125% 10/17/12 (m) | 53 | 50 | ||
Dresser, Inc.: | ||||
Tranche 2LN, term loan 6.0681% 5/4/15 pay-in-kind (m) | 4,050 | 2,876 | ||
Tranche B 1LN, term loan 3.1044% 5/4/14 (m) | 524 | 473 | ||
Navistar International Corp.: | ||||
term loan 3.56% 1/19/12 (m) | 4,026 | 3,472 | ||
Credit-Linked Deposit 3.5773% 1/19/12 (m) | 1,464 | 1,263 | ||
| 8,134 | |||
Road & Rail - 0.2% | ||||
Swift Transportation Co., Inc. term loan 8.375% 5/10/14 (m) | 15,120 | 11,227 | ||
Trading Companies & Distributors - 0.1% | ||||
Neff Corp. Tranche 2LN, term loan 3.8213% 11/30/14 (m) | 810 | 146 | ||
VWR Funding, Inc. term loan 2.81% 6/29/14 (m) | 6,140 | 5,403 | ||
| 5,549 | |||
TOTAL INDUSTRIALS | 49,263 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
INFORMATION TECHNOLOGY - 1.6% | ||||
Electronic Equipment & Components - 1.1% | ||||
Flextronics International Ltd.: | ||||
Tranche B A2, term loan 2.56% 10/1/14 (m) | $ 2,556 | $ 2,109 | ||
Tranche B A3, term loan 2.56% 10/1/14 (m) | 2,983 | 2,461 | ||
Tranche B-A, term loan 3.0366% 10/1/14 (m) | 5,167 | 4,263 | ||
Tranche B-A1, term loan 3.3813% 10/1/14 (m) | 1,485 | 1,225 | ||
Tranche B-B, term loan 3.4575% 10/1/12 (m) | 3,324 | 2,908 | ||
Texas Competitive Electric Holdings Co. LLC: | ||||
Tranche B1, term loan 3.8206% 10/10/14 (m) | 27,886 | 19,939 | ||
Tranche B2, term loan 3.8206% 10/10/14 (m) | 25,410 | 18,168 | ||
Tranche B3, term loan 3.8206% 10/10/14 (m) | 24,009 | 17,166 | ||
| 68,239 | |||
IT Services - 0.0% | ||||
Affiliated Computer Services, Inc. Tranche B2, term loan 2.3175% 3/20/13 (m) | 3,550 | 3,382 | ||
Semiconductors & Semiconductor Equipment - 0.3% | ||||
Freescale Semiconductor, Inc. term loan: | ||||
2.07% 12/1/13 (m) | 19,290 | 14,082 | ||
12.5% 12/15/14 | 4,708 | 4,096 | ||
| 18,178 | |||
Software - 0.2% | ||||
Kronos, Inc.: | ||||
Tranche 1LN, term loan 2.8475% 6/11/14 (m) | 12,082 | 10,934 | ||
Tranche 2LN, term loan 7.0975% 6/11/15 (m) | 1,790 | 1,360 | ||
Open Solutions, Inc. term loan 3.225% 1/23/14 (m) | 235 | 145 | ||
| 12,439 | |||
TOTAL INFORMATION TECHNOLOGY | 102,238 | |||
MATERIALS - 0.7% | ||||
Chemicals - 0.3% | ||||
Lyondell Chemical Co. term loan 8.6678% 12/15/09 (m)(q) | 8,635 | 8,894 | ||
Momentive Performance Materials, Inc. Tranche B1, term loan 2.625% 12/4/13 (m) | 12,622 | 9,593 | ||
| 18,487 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
MATERIALS - continued | ||||
Containers & Packaging - 0.2% | ||||
Berry Plastics Holding Corp. Tranche C, term loan 2.3213% 4/3/15 (m) | $ 10,268 | $ 8,702 | ||
Smurfit-Stone Container Enterprises, Inc. term loan 2.7377% 11/11/11 (m) | 5,764 | 5,231 | ||
| 13,933 | |||
Metals & Mining - 0.1% | ||||
Aleris International, Inc.: | ||||
Tranche 1LN, term loan 13% 2/12/10 (m)(q) | 1,162 | 1,069 | ||
Tranche B 1LN, term loan: | ||||
4.25% 12/19/13 (d)(m) | 633 | 38 | ||
12.5% 12/19/13 (m) | 1,287 | 424 | ||
Tranche C 1LN, term loan 4.25% 12/19/13 (m) | 883 | 459 | ||
Novelis Corp. term loan 2.444% 7/6/14 (m) | 4,410 | 3,881 | ||
Walter Energy, Inc. term loan 2.5905% 10/3/12 (m) | 61 | 56 | ||
| 5,927 | |||
Paper & Forest Products - 0.1% | ||||
Boise Paper Holdings LLC Tranche 2LN, term loan 9.25% 2/22/15 (m) | 7,260 | 4,901 | ||
White Birch Paper Co. Tranche 1LN, term loan 3.35% 5/8/14 (m) | 1,434 | 387 | ||
| 5,288 | |||
TOTAL MATERIALS | 43,635 | |||
TELECOMMUNICATION SERVICES - 0.4% | ||||
Diversified Telecommunication Services - 0.2% | ||||
Wind Telecomunicazioni SpA: | ||||
term loan 8.3569% 12/21/11 pay-in-kind (m) | 8,385 | 8,287 | ||
Tranche 2, term loan 7.9913% 3/21/15 (m) | 2,840 | 2,684 | ||
Tranche B, term loan 3.9913% 5/26/13 (m) | 1,280 | 1,184 | ||
Tranche C, term loan 4.9913% 5/26/14 (m) | 1,280 | 1,184 | ||
| 13,339 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - 0.2% | ||||
Intelsat Jackson Holdings Ltd. term loan 3.3188% 2/1/14 (m) | $ 17,225 | $ 14,125 | ||
TOTAL TELECOMMUNICATION SERVICES | 27,464 | |||
TOTAL FLOATING RATE LOANS (Cost $400,748) | 417,701 | |||
Sovereign Loan Participations - 0.1% | ||||
| ||||
Indonesian Republic loan participation - Citibank 2.25% 12/14/19 (m) | 5,645 | 3,895 |
Fixed-Income Funds - 6.0% | |||
Shares |
| ||
Fidelity Floating Rate Central Fund (n) | 4,492,783 | 377,843 |
Preferred Securities - 0.6% | ||||
| Principal |
| ||
CONSUMER DISCRETIONARY - 0.4% | ||||
Media - 0.4% | ||||
Globo Comunicacoes e Participacoes SA 9.375% | $ 15,975 | 15,229 | ||
Net Servicos de Comunicacao SA 9.25% (i) | 10,970 | 9,638 | ||
| 24,867 | |||
ENERGY - 0.2% | ||||
Oil, Gas & Consumable Fuels - 0.2% | ||||
Pemex Project Funding Master Trust 7.75% | 15,430 | 13,971 | ||
FINANCIALS - 0.0% | ||||
Diversified Financial Services - 0.0% | ||||
MUFG Capital Finance 3 Ltd. 2.68% (m) | JPY | 150,000 | 1,542 | |
TOTAL PREFERRED SECURITIES (Cost $43,157) | 40,380 |
Money Market Funds - 3.4% | |||
Shares | Value (000s) | ||
Fidelity Cash Central Fund, 0.40% (b) | 213,088,119 | $ 213,088 |
Other - 0.0% | ||||
| Principal |
| ||
Delta Air Lines ALPA Claim (a) | $ 8,380 | 42 |
Cash Equivalents - 3.4% | |||
Maturity Amount (000s) |
| ||
Investments in repurchase agreements in a joint trading account at: | |||
0.02%, dated 6/30/09 due 7/1/09 (Collateralized by U.S. Treasury Obligations) # | 77,828 | 77,828 | |
0.08%, dated 6/30/09 due 7/1/09 (Collateralized by U.S. Government Obligations) # (c) | 138,668 | 138,668 | |
TOTAL CASH EQUIVALENTS (Cost $216,496) | 216,496 | ||
TOTAL INVESTMENT PORTFOLIO - 101.4% (Cost $6,707,942) | 6,408,647 | ||
NET OTHER ASSETS - (1.4)% | (89,758) | ||
NET ASSETS - 100% | $ 6,318,889 |
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 4.73% with Credit Suisse First Boston | April 2038 | $ 6,000 | (627) | ||
Receive semi-annually a fixed rate equal to 3.30% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Sept. 2010 | 14,000 | 512 | ||
| $ 20,000 | $ (115) |
Currency Abbreviations | ||
BRL | - | Brazilian real |
CAD | - | Canadian dollar |
EGP | - | Egyptian pound |
EUR | - | European Monetary Unit |
GBP | - | British pound |
JPY | - | Japanese yen |
RUB | - | Russian ruble |
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) Includes investment made with cash collateral received from securities on loan. |
(d) Non-income producing - Issuer is in default. |
(e) Principal amount is stated in United States dollars unless otherwise noted. |
(f) 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. |
(g) 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. |
(h) Security or a portion of the security is on loan at period end. |
(i) 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 $606,100,000 or 9.6% of net assets. |
(j) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $101,942,000 or 1.6% of net assets. |
(k) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(l) A portion of the security is subject to a forward commitment to sell. |
(m) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(n) 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. |
(o) Quantity represents share amount. |
(p) 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 $3,000 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 |
(q) 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 $3,575,000 and $3,605,000 respectively. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value (Amounts in thousands) |
$77,828,000 due 7/01/09 at 0.02% | |
BNP Paribas Securities Corp. | $ 43,299 |
Banc of America Securities LLC | 7,552 |
Barclays Capital, Inc. | 23,031 |
Deutsche Bank Securities, Inc. | 3,946 |
| $ 77,828 |
$138,668,000 due 7/01/09 at 0.08% | |
J.P. Morgan Securities, Inc. | $ 118,538 |
Merrill Lynch Government Securities, Inc. | 20,130 |
| $ 138,668 |
* Amount represents less than $1,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 1,304 |
Fidelity Floating Rate Central Fund | 8,219 |
Total | $ 9,523 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, | % ownership, |
Fidelity Floating Rate Central Fund | $ 167,148 | $ 136,591 | $ 5,001 | $ 377,843 | 13.9% |
Other Information |
The following is a summary of the inputs used, as of June 30, 2009, involving the Fund's assets and liabilities 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: | ||||
Equities: | ||||
Consumer Discretionary | $ 184 | $ 184 | $ - | $ - |
Financials | 455 | - | 455 | - |
Industrials | 4,692 | 4,692 | - | - |
Information Technology | 3 | - | 3 | - |
Materials | 587 | 380 | 207 | - |
Telecommunication Services | - | - | - | - |
Utilities | 142 | 142 | - | - |
Asset-Backed Securities | 8,534 | - | 4,085 | 4,449 |
Cash Equivalents | 216,496 | - | 216,496 | - |
Collateralized Mortgage Obligations | 77,984 | - | 72,838 | 5,146 |
Commercial Mortgage Securities | 11,804 | - | 10,730 | 1,074 |
Corporate Bonds | 2,203,547 | - | 2,201,112 | 2,435 |
Fixed-Income Funds | 377,843 | 377,843 | - | - |
Floating Rate Loans | 417,701 | - | 413,375 | 4,326 |
Foreign Government and Government Agency Obligations | 1,251,211 | - | 1,250,922 | 289 |
Money Market Funds | 213,088 | 213,088 | - | - |
Other | 42 | - | - | 42 |
Preferred Securities | 40,380 | - | 40,380 | - |
Sovereign Loan Participations | 3,895 | - | 3,895 | - |
Supranational Obligations | 3,338 | - | 3,338 | - |
U.S. Government Agency - Mortgage Securities | 197,429 | - | 197,429 | - |
U.S. Government and Government Agency Obligations | 1,379,292 | - | 1,379,292 | - |
Total Investments in Securities: | $ 6,408,647 | $ 596,329 | $ 5,794,557 | $ 17,761 |
Valuation Inputs at Reporting Date - continued | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Derivative Instruments: | ||||
Assets | ||||
Swap Agreements | $ 512 | $ - | $ 512 | $ - |
Liabilities | ||||
Swap Agreements | $ (627) | $ - | $ (627) | $ - |
Total Derivative Instruments: | $ (115) | $ - | $ (115) | $ - |
Other Financial Instruments: | ||||
Forward Commitments | $ (95) | $ - | $ (95) | $ - |
The following is a reconciliation of Investments in Securities for which level 3 inputs were used in determining value: | |
(Amounts in thousands) Investments in Securities: | |
Beginning Balance | $ 44,183 |
Total Realized Gain (Loss) | 3,009 |
Total Unrealized Gain (Loss) | (11,916) |
Cost of Purchases | 909 |
Proceeds of Sales | (33,149) |
Amortization/Accretion | 287 |
Transfer in/out of Level 3 | 14,438 |
Ending Balance | $ 17,761 |
Total unrealized gain (loss) on investments held at June 30, 2009 | $ (8,658) |
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. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of June 30, 2009. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Interest Rate Risk | ||
Swap Agreements (a) | $ 512 | $ (627) |
Total Value of Derivatives | $ 512 | $ (627) |
(a) Value is disclosed on the Statement of Assets and Liabilities under the Unrealized Appreciation and Unrealized Depreciation on Swap Agreements line-items. |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: (Unaudited) |
United States of America | 67.3% |
Canada | 3.2% |
United Kingdom | 2.7% |
Argentina | 2.6% |
Japan | 2.3% |
Bermuda | 2.3% |
Venezuela | 2.2% |
Germany | 2.1% |
Italy | 1.6% |
Netherlands | 1.5% |
Russia | 1.5% |
Luxembourg | 1.4% |
Others (individually less than 1%) | 9.3% |
| 100.0% |
Income Tax Information |
At December 31, 2008, the fund had a capital loss carryforward of approximately $48,738,000 all of which will expire on December 31, 2016. |
The fund intends to elect to defer to its fiscal year ending December 31, 2009 approximately $44,014,000 of losses recognized during the period November 1, 2008 to December 31, 2008. |
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, 2009 (Unaudited) | |
Assets | ||
Investment in securities, at value (including securities loaned of $136,373 and repurchase agreements of $216,496) - See accompanying schedule: Unaffiliated issuers (cost $6,115,379) | $ 5,817,716 |
|
Fidelity Central Funds (cost $592,563) | 590,931 |
|
Total Investments (cost $6,707,942) |
| $ 6,408,647 |
Commitment to sell securities on a delayed delivery basis | (13,880) | |
Receivable for securities sold on a delayed delivery basis | 13,785 | (95) |
Cash | 6,582 | |
Foreign currency held at value (cost $426) | 426 | |
Receivable for investments sold |
| 87,440 |
Delayed delivery |
| 9,054 |
Receivable for fund shares sold | 15,514 | |
Dividends receivable | 2 | |
Interest receivable | 83,809 | |
Distributions receivable from Fidelity Central Funds | 1,537 | |
Unrealized appreciation on swap agreements | 512 | |
Prepaid expenses | 27 | |
Other receivables | 40 | |
Total assets | 6,613,495 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 112,089 | |
Delayed delivery | 23,407 | |
Payable for fund shares redeemed | 10,544 | |
Distributions payable | 3,347 | |
Unrealized depreciation on swap agreements | 627 | |
Accrued management fee | 2,938 | |
Distribution fees payable | 1,884 | |
Other affiliated payables | 904 | |
Other payables and accrued expenses | 198 | |
Collateral on securities loaned, at value | 138,668 | |
Total liabilities | 294,606 | |
|
|
|
Net Assets | $ 6,318,889 | |
Net Assets consist of: |
| |
Paid in capital | $ 6,622,865 | |
Undistributed net investment income | 57,083 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (61,642) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | (299,417) | |
Net Assets | $ 6,318,889 |
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, 2009 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 11.01 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.01) | $ 11.47 | |
Class T: | $ 11.00 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.00) | $ 11.46 | |
Class B: | $ 11.03 | |
|
|
|
Class C: | $ 10.99 | |
|
|
|
Institutional Class: | $ 11.11 |
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, 2009 (Unaudited) | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 2,017 |
Interest |
| 206,191 |
Income from Fidelity Central Funds |
| 9,523 |
Total income |
| 217,731 |
|
|
|
Expenses | ||
Management fee | $ 16,022 | |
Transfer agent fees | 4,578 | |
Distribution fees | 10,175 | |
Accounting and security lending fees | 696 | |
Custodian fees and expenses | 167 | |
Independent trustees' compensation | 10 | |
Registration fees | 142 | |
Audit | 63 | |
Legal | 30 | |
Miscellaneous | 57 | |
Total expenses before reductions | 31,940 | |
Expense reductions | (5) | 31,935 |
Net investment income | 185,796 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 48,227 | |
Fidelity Central Funds | 938 |
|
Foreign currency transactions | (385) | |
Futures contracts | 344 | |
Swap agreements | 880 |
|
Total net realized gain (loss) |
| 50,004 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 591,965 | |
Assets and liabilities in foreign currencies | (36) | |
Futures contracts | (369) | |
Swap agreements | 2,526 | |
Delayed delivery commitments | 765 |
|
Total change in net unrealized appreciation (depreciation) |
| 594,851 |
Net gain (loss) | 644,855 | |
Net increase (decrease) in net assets resulting from operations | $ 830,651 |
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 | $ 185,796 | $ 326,344 |
Net realized gain (loss) | 50,004 | (130,150) |
Change in net unrealized appreciation (depreciation) | 594,851 | (915,771) |
Net increase (decrease) in net assets resulting | 830,651 | (719,577) |
Distributions to shareholders from net investment income | (145,202) | (299,025) |
Distributions to shareholders from net realized gain | - | (37,399) |
Total distributions | (145,202) | (336,424) |
Share transactions - net increase (decrease) | 305,416 | 379,487 |
Total increase (decrease) in net assets | 990,865 | (676,514) |
|
|
|
Net Assets | ||
Beginning of period | 5,328,024 | 6,004,538 |
End of period (including undistributed net investment income of $57,083 and undistributed net investment income of $16,489, respectively) | $ 6,318,889 | $ 5,328,024 |
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) | 2008 | 2007 | 2006 | 2005 | 2004 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.93 | $ 11.63 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .341 | .600 | .616 | .600 | .571 | .600 |
Net realized and unrealized gain (loss) | 1.168 | (1.826) | (.019) | .248 | (.255) | .445 |
Total from investment operations | 1.509 | (1.226) | .597 | .848 | .316 | 1.045 |
Distributions from net investment income | (.269) | (.554) | (.607) | (.583) | (.551) | (.575) |
Distributions from net realized gain | - | (.070) | (.130) | (.045) | (.155) | (.170) |
Total distributions | (.269) | (.624) | (.737) | (.628) | (.706) | (.745) |
Net asset value, end of period | $ 11.01 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.93 |
Total Return B, C, D | 15.69% | (10.98)% | 5.22% | 7.54% | 2.75% | 9.31% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.03% A | 1.02% | 1.01% | .97% | .99% | 1.00% |
Expenses net of fee waivers, if any | 1.03% A | 1.02% | 1.01% | .97% | .99% | 1.00% |
Expenses net of all reductions | 1.03% A | 1.02% | 1.01% | .97% | .99% | 1.00% |
Net investment income | 6.78% A | 5.49% | 5.27% | 5.18% | 4.92% | 5.20% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 2,677 | $ 2,174 | $ 1,931 | $ 954 | $ 647 | $ 372 |
Portfolio turnover rate G | 259% A | 255% | 149% | 81% | 109% | 94% |
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) | 2008 | 2007 | 2006 | 2005 | 2004 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.92 | $ 11.62 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .341 | .607 | .620 | .594 | .564 | .593 |
Net realized and unrealized gain (loss) | 1.158 | (1.832) | (.021) | .248 | (.245) | .443 |
Total from investment operations | 1.499 | (1.225) | .599 | .842 | .319 | 1.036 |
Distributions from net investment income | (.269) | (.555) | (.609) | (.577) | (.544) | (.566) |
Distributions from net realized gain | - | (.070) | (.130) | (.045) | (.155) | (.170) |
Total distributions | (.269) | (.625) | (.739) | (.622) | (.699) | (.736) |
Net asset value, end of period | $ 11.00 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.92 |
Total Return B, C, D | 15.58% | (10.97)% | 5.24% | 7.49% | 2.77% | 9.23% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.03% A | 1.01% | .99% | 1.02% | 1.05% | 1.07% |
Expenses net of fee waivers, if any | 1.03% A | 1.01% | .99% | 1.02% | 1.05% | 1.07% |
Expenses net of all reductions | 1.03% A | 1.01% | .99% | 1.02% | 1.05% | 1.07% |
Net investment income | 6.78% A | 5.50% | 5.29% | 5.13% | 4.86% | 5.13% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,455 | $ 1,337 | $ 1,983 | $ 2,049 | $ 1,427 | $ 808 |
Portfolio turnover rate G | 259% A | 255% | 149% | 81% | 109% | 94% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended December 31, | ||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 9.80 | $ 11.65 | $ 11.79 | $ 11.57 | $ 11.95 | $ 11.65 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .305 | .525 | .533 | .511 | .486 | .513 |
Net realized and unrealized gain (loss) | 1.157 | (1.831) | (.022) | .247 | (.249) | .441 |
Total from investment operations | 1.462 | (1.306) | .511 | .758 | .237 | .954 |
Distributions from net investment income | (.232) | (.474) | (.521) | (.493) | (.462) | (.484) |
Distributions from net realized gain | - | (.070) | (.130) | (.045) | (.155) | (.170) |
Total distributions | (.232) | (.544) | (.651) | (.538) | (.617) | (.654) |
Net asset value, end of period | $ 11.03 | $ 9.80 | $ 11.65 | $ 11.79 | $ 11.57 | $ 11.95 |
Total Return B, C, D | 15.13% | (11.60)% | 4.44% | 6.70% | 2.06% | 8.45% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.75% A | 1.76% | 1.74% | 1.76% | 1.78% | 1.78% |
Expenses net of fee waivers, if any | 1.75% A | 1.75% | 1.74% | 1.75% | 1.75% | 1.78% |
Expenses net of all reductions | 1.75% A | 1.75% | 1.74% | 1.75% | 1.75% | 1.78% |
Net investment income | 6.06% A | 4.76% | 4.54% | 4.40% | 4.16% | 4.42% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 299 | $ 267 | $ 335 | $ 342 | $ 342 | $ 319 |
Portfolio turnover rate G | 259% A | 255% | 149% | 81% | 109% | 94% |
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) | 2008 | 2007 | 2006 | 2005 | 2004 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 9.76 | $ 11.60 | $ 11.74 | $ 11.53 | $ 11.91 | $ 11.61 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .303 | .517 | .526 | .503 | .475 | .505 |
Net realized and unrealized gain (loss) | 1.158 | (1.817) | (.020) | .238 | (.246) | .444 |
Total from investment operations | 1.461 | (1.300) | .506 | .741 | .229 | .949 |
Distributions from net investment income | (.231) | (.470) | (.516) | (.486) | (.454) | (.479) |
Distributions from net realized gain | - | (.070) | (.130) | (.045) | (.155) | (.170) |
Total distributions | (.231) | (.540) | (.646) | (.531) | (.609) | (.649) |
Net asset value, end of period | $ 10.99 | $ 9.76 | $ 11.60 | $ 11.74 | $ 11.53 | $ 11.91 |
Total Return B, C, D | 15.17% | (11.59)% | 4.42% | 6.57% | 1.99% | 8.43% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.78% A | 1.79% | 1.78% | 1.81% | 1.82% | 1.82% |
Expenses net of fee waivers, if any | 1.78% A | 1.79% | 1.78% | 1.81% | 1.82% | 1.82% |
Expenses net of all reductions | 1.78% A | 1.79% | 1.78% | 1.81% | 1.82% | 1.82% |
Net investment income | 6.03% A | 4.72% | 4.50% | 4.34% | 4.09% | 4.37% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,005 | $ 800 | $ 866 | $ 683 | $ 540 | $ 405 |
Portfolio turnover rate G | 259% A | 255% | 149% | 81% | 109% | 94% |
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) | 2008 | 2007 | 2006 | 2005 | 2004 | |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 9.87 | $ 11.72 | $ 11.86 | $ 11.63 | $ 12.02 | $ 11.71 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .356 | .635 | .652 | .627 | .599 | .627 |
Net realized and unrealized gain (loss) | 1.164 | (1.835) | (.027) | .252 | (.262) | .449 |
Total from investment operations | 1.520 | (1.200) | .625 | .879 | .337 | 1.076 |
Distributions from net investment income | (.280) | (.580) | (.635) | (.604) | (.572) | (.596) |
Distributions from net realized gain | - | (.070) | (.130) | (.045) | (.155) | (.170) |
Total distributions | (.280) | (.650) | (.765) | (.649) | (.727) | (.766) |
Net asset value, end of period | $ 11.11 | $ 9.87 | $ 11.72 | $ 11.86 | $ 11.63 | $ 12.02 |
Total Return B, C | 15.66% | (10.67)% | 5.42% | 7.76% | 2.91% | 9.53% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .79% A | .78% | .77% | .79% | .81% | .81% |
Expenses net of fee waivers, if any | .79% A | .78% | .77% | .79% | .81% | .81% |
Expenses net of all reductions | .79% A | .78% | .76% | .79% | .80% | .81% |
Net investment income | 7.01% A | 5.73% | 5.52% | 5.36% | 5.10% | 5.38% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 883 | $ 750 | $ 889 | $ 655 | $ 520 | $ 424 |
Portfolio turnover rate F | 259% A | 255% | 149% | 81% | 109% | 94% |
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, 2009 (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 held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on 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 | Investment | Investment | Investment |
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
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. Events or transactions occurring after period end through the date that the financial statements were issued, August 19, 2009, have been evaluated in the preparation of the financial statements. 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. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are classified into three levels. Level 1 includes readily available unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes observable inputs other than quoted prices included in Level 1 that are observable either directly or indirectly. Level 3 includes unobservable inputs when market prices are not readily available or reliable. 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, 2009, for the Fund's investments ,as well as a reconciliation of assets and liabilities for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments. Valuation techniques of the Fund's major categories of assets and liabilities as presented in the Schedule of Investments are as follows.
Debt securities, including restricted securities, are valued based on quotations received from dealers who make markets in such securities or by independent pricing services. For corporate bonds, floating rate loans, foreign government and government agency obligations, preferred securities, supranational obligations, and U.S. government and government agency obligations pricing services generally utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Security Valuation - continued
supplied prices. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services generally utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and types 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 valuations from independent pricing services or 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. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions. 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 net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
Foreign Currency. The Fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
Semiannual Report
3. Significant Accounting Policies - continued
Foreign Currency - continued
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV 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. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. 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 collectability 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
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 taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swap agreements, foreign currency transactions, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 340,667 |
Unrealized depreciation | (592,205) |
Net unrealized appreciation (depreciation) | $ (251,538) |
Cost for federal income tax purposes | $ 6,660,185 |
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
Semiannual Report
4. Operating Policies - continued
Repurchase Agreements - continued
segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
5. Investments in Derivative Instruments.
Objectives and Strategies for Investing in Derivative Instruments. The Fund uses derivative instruments ("derivatives"), including futures contracts and swap agreements, in order to meet its investment objectives. The Fund's strategy is to use derivatives as a risk management tool and as an additional way to gain exposure to certain types of assets. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
While utilizing derivatives in pursuit of its investment objectives, the Fund is exposed to certain financial risks relative to those derivatives. These risks are further explained below:
Interest Rate Risk | Interest rate risk is the risk that the value of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates. |
The following notes provide more detailed information about each derivative type held by the Fund:
Futures Contracts. The Fund uses futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument.
The purchaser or seller of a futures contract is not required to pay for or deliver the instrument unless the contract is held until the delivery date. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Securities deposited to meet margin requirements are identified in each applicable Fund's Schedule of Investments. Futures contracts are marked-to-market daily and subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities and changes in value are recognized as unrealized gain (loss). Realized gain (loss) is recorded upon the expiration or closing of the futures contract. The net realized gain (loss) and change in unrealized gain (loss) on futures contracts during the period is included on the Statement of Operations. The total underlying face amount of all open futures contracts at period end is indicative of the volume of this derivative type.
Semiannual Report
5. Investments in Derivative Instruments - continued
Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Any upfront payments made or received upon entering a swap contract to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gains or losses ratably over the term of the swap in the Fund's accompanying Statement of Operations. Risks of loss may exceed amounts recognized on the Fund's Statement of Asset and Liabilities. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." The total notional amount of all open swap agreements at period end is indicative of the volume of this derivative type. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and, if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.
The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Risks of loss may include interest rate risk and the possible inability of the counterparty to fulfill its obligations under the agreement. The Fund's maximum risk of loss from counterparty credit risk is the discounted net value of cash flows to be received from/paid to the counterparty over the contract's remaining life, to the extent that amount is positive. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
5. Investments in Derivative Instruments - continued
Realized and Change in Unrealized Gain (Loss) on Derivative Instruments. A summary of the Fund's value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Fund's Schedule of Investments. The table below reflects the Fund's realized gain (loss) and change in unrealized gain (loss) for derivatives during the period.
Risk Exposure / Derivative Type |
| Change in |
Interest Rate Risk |
|
|
Futures Contracts | 344 | (369) |
Swap Agreements | 880 | 2,526 |
Total Interest Rate Risk | 1,224 | 2,157 |
Total Derivatives Realized | $ 1,224 | $ 2,157 |
(a) Total derivatives realized gain (loss) included in the Statement of Operations is comprised of $344 for futures contracts and $880 for swap agreements.
(b) Total derivatives change in unrealized gain (loss) included in the Statement of Operations is comprised of $(369) for futures contracts and $2,526 for swap agreements.
6. 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 $4,671,516 and $4,032,324, respectively.
7. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .57% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for
Semiannual Report
7. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan - continued
selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 2,918 | $ 106 |
Class T | 0% | .25% | 1,688 | 10 |
Class B | .65% | .25% | 1,237 | 898 |
Class C | .75% | .25% | 4,332 | 902 |
|
|
| $ 10,175 | $ 1,916 |
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 | $ 178 |
Class T | 53 |
Class B* | 311 |
Class C* | 75 |
| $ 617 |
* 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 respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
7. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
reports, except proxy statements. For the period, the total transfer agent fees paid by each class were as follows:
| Amount | % of |
Class A | $ 1,831 | .16 |
Class T | 1,059 | .16 |
Class B | 312 | .23 |
Class C | 671 | .16 |
Institutional Class | 705 | .18 |
| $ 4,578 |
|
* Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $16 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end is disclosed on the Fund's Statement
Semiannual Report
9. Security Lending - continued
of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net Income from lending portfolio securities during the period, presented in the Statement of Operations as a component of interest income, amounted to $69.
10. 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% | $ 3 |
In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $2.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 61,721 | $ 114,810 |
Class T | 35,764 | 85,638 |
Class B | 6,269 | 13,635 |
Class C | 19,678 | 38,561 |
Institutional Class | 21,770 | 46,381 |
Total | $ 145,202 | $ 299,025 |
From net realized gain |
|
|
Class A | $ - | $ 12,777 |
Class T | - | 11,501 |
Class B | - | 2,042 |
Class C | - | 5,537 |
Institutional Class | - | 5,542 |
Total | $ - | $ 37,399 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
12. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class A |
|
|
|
|
Shares sold | 48,674 | 114,758 | $ 496,671 | $ 1,278,238 |
Reinvestment of distributions | 5,464 | 10,676 | 55,877 | 115,815 |
Shares redeemed | (33,342) | (69,203) | (336,014) | (740,023) |
Net increase (decrease) | 20,796 | 56,231 | $ 216,534 | $ 654,030 |
Class T |
|
|
|
|
Shares sold | 14,998 | 27,141 | $ 152,123 | $ 300,576 |
Reinvestment of distributions | 3,216 | 8,275 | 32,829 | 90,618 |
Shares redeemed | (22,861) | (69,215) | (229,881) | (756,721) |
Net increase (decrease) | (4,647) | (33,799) | $ (44,929) | $ (365,527) |
Class B |
|
|
|
|
Shares sold | 3,775 | 6,688 | $ 38,416 | $ 74,372 |
Reinvestment of distributions | 461 | 1,092 | 4,720 | 11,949 |
Shares redeemed | (4,320) | (9,318) | (43,687) | (100,959) |
Net increase (decrease) | (84) | (1,538) | $ (551) | $ (14,638) |
Class C |
|
|
|
|
Shares sold | 18,503 | 30,031 | $ 189,074 | $ 331,769 |
Reinvestment of distributions | 1,413 | 2,962 | 14,421 | 32,228 |
Shares redeemed | (10,454) | (25,621) | (104,250) | (273,311) |
Net increase (decrease) | 9,462 | 7,372 | $ 99,245 | $ 90,686 |
Institutional Class |
|
|
|
|
Shares sold | 18,778 | 32,078 | $ 192,974 | $ 359,394 |
Reinvestment of distributions | 1,513 | 3,394 | 15,620 | 37,416 |
Shares redeemed | (16,861) | (35,310) | (173,477) | (381,874) |
Net increase (decrease) | 3,430 | 162 | $ 35,117 | $ 14,936 |
13. 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
Semiannual Report
13. Other - continued
claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
14. Credit Risk.
The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Strategic Income Fund
On May 21, 2009, the Board of Trustees, including the Independent Trustees (together, the Board), voted to continue the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund for four months, through September 30, 2009, in connection with the reorganization of the Board's new meeting schedule. The Board considered that the contractual terms of and fees payable under the fund's Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be renewed, without modification, through September 30, 2009, with the understanding that the Board will consider their renewal in September 2009.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
Fidelity Research & Analysis Company
Fidelity Investments Japan Limited
FIL Investment Advisors
FIL Investment Advisors (U.K.) Ltd.
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 Mellon
New York, NY
SII-USAN-0809 1.787776.106
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 31, 2009 |
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 31, 2009 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
|
|
Date: | August 31, 2009 |