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 |
|
|
Date of reporting period: | June 30, 2010 |
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, 2010
(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. |
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:
A yearlong uptrend in global equity markets came under significant pressure in May 2010 when investor sentiment turned bearish amid growing concern that Europe's debt crisis would expand and slow or derail economic recovery. Financial markets are always unpredictable, of course, but there also are several time-tested investment principles that can help put the 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,
(The chairman's signature appears here.)
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, 2010 to June 30, 2010).
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
| Annualized | Beginning | Ending | Expenses Paid |
Class A | 1.01% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,027.40 | $ 5.08 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.79 | $ 5.06 |
Class T | 1.00% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,027.40 | $ 5.03 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.84 | $ 5.01 |
Class B | 1.71% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,023.70 | $ 8.58 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.31 | $ 8.55 |
Class C | 1.75% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,023.70 | $ 8.78 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Institutional Class | .77% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,028.30 | $ 3.87 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.98 | $ 3.86 |
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, 2010 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 17.8 | 17.9 |
Fannie Mae | 3.3 | 2.8 |
Argentine Republic | 2.4 | 2.4 |
Japan Government | 2.4 | 2.3 |
Canadian Government | 2.2 | 2.3 |
| 28.1 | |
Top Five Market Sectors as of June 30, 2010 | ||
| % of fund's | % of fund's net assets |
Consumer Discretionary | 8.3 | 10.5 |
Telecommunication Services | 7.7 | 7.0 |
Financials | 7.2 | 8.0 |
Energy | 5.5 | 4.4 |
Materials | 4.3 | 5.0 |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2010 * | As of December 31, 2009 ** | ||||||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | AAA,AA,A 12.6% |
| ![]() | AAA,AA,A 13.9% |
| ||
![]() | BBB 3.8% |
| ![]() | BBB 4.7% |
| ||
![]() | BB 13.1% |
| ![]() | BB 11.5% |
| ||
![]() | B 22.4% |
| ![]() | B 20.0% |
| ||
![]() | CCC,CC,C 9.1% |
| ![]() | CCC,CC,C 12.0% |
| ||
![]() | D 0.0% |
| ![]() | D 0.5% |
| ||
![]() | Not Rated 4.8% |
| ![]() | Not Rated 4.2% |
| ||
![]() | Equities 1.2% |
| ![]() | Equities 0.7% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
† Includes FDIC Guaranteed Corporate Securities |
We have used ratings from Moody's Investors Service, 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. |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2010 * | As of December 31, 2009 ** | ||||||
![]() | Preferred Securities 0.6% |
| ![]() | Preferred Securities 0.6% |
| ||
![]() | Corporate Bonds 34.5% |
| ![]() | Corporate Bonds 36.0% |
| ||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | Foreign Government & |
| ![]() | Foreign Government & |
| ||
![]() | Floating Rate Loans 8.3% |
| ![]() | Floating Rate Loans 10.4% |
| ||
![]() | Stocks 1.2% |
| ![]() | Stocks 0.7% |
| ||
![]() | Other Investments 0.4% |
| ![]() | Other Investments 0.8% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 33.4% |
| ** Foreign investments | 32.6% |
| ||
* Swap | (0.1%) |
| ** Swaps | 0.1% |
| ||
† 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, 2010 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 34.3% | ||||
| Principal | Value (000s) | ||
Convertible Bonds - 1.2% | ||||
CONSUMER DISCRETIONARY - 0.2% | ||||
Auto Components - 0.2% | ||||
TRW Automotive, Inc. 3.5% 12/1/15 (f) | $ 11,836 | $ 13,636 | ||
ENERGY - 0.6% | ||||
Energy Equipment & Services - 0.0% | ||||
Cal Dive International, Inc. 3.25% 12/15/25 | 2,640 | 2,285 | ||
Oil, Gas & Consumable Fuels - 0.6% | ||||
Alpha Natural Resources, Inc. 2.375% 4/15/15 | 16,660 | 16,828 | ||
Chesapeake Energy Corp. 2.5% 5/15/37 | 16,670 | 13,089 | ||
Massey Energy Co. 3.25% 8/1/15 | 27,690 | 22,844 | ||
| 52,761 | |||
TOTAL ENERGY | 55,046 | |||
INFORMATION TECHNOLOGY - 0.1% | ||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Advanced Micro Devices, Inc.: | ||||
5.75% 8/15/12 | 393 | 386 | ||
6% 5/1/15 | 6,045 | 5,735 | ||
| 6,121 | |||
TELECOMMUNICATION SERVICES - 0.3% | ||||
Wireless Telecommunication Services - 0.3% | ||||
NII Holdings, Inc. 3.125% 6/15/12 | 29,220 | 27,576 | ||
TOTAL CONVERTIBLE BONDS | 102,379 | |||
Nonconvertible Bonds - 33.1% | ||||
CONSUMER DISCRETIONARY - 4.7% | ||||
Auto Components - 0.4% | ||||
Affinia Group, Inc.: | ||||
9% 11/30/14 | 2,950 | 2,950 | ||
10.75% 8/15/16 (f) | 760 | 828 | ||
Cooper-Standard Automotive, Inc. 8.5% 5/1/18 (f) | 1,775 | 1,779 | ||
Lear Corp.: | ||||
7.875% 3/15/18 | 1,380 | 1,377 | ||
8.125% 3/15/20 | 1,530 | 1,530 | ||
RSC Equipment Rental, Inc. 10% 7/15/17 (f) | 2,610 | 2,799 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Auto Components - continued | ||||
Tenneco, Inc.: | ||||
8.125% 11/15/15 | $ 1,185 | $ 1,191 | ||
8.625% 11/15/14 | 11,065 | 11,120 | ||
The Goodyear Tire & Rubber Co. 10.5% 5/15/16 | 4,795 | 5,191 | ||
TRW Automotive, Inc.: | ||||
7% 3/15/14 (f) | 335 | 332 | ||
7.25% 3/15/17 (f) | 240 | 233 | ||
8.875% 12/1/17 (f) | 1,550 | 1,589 | ||
| 30,919 | |||
Automobiles - 0.1% | ||||
General Motors Corp.: | ||||
6.75% 5/1/28 (b) | 9,670 | 2,659 | ||
7.7% 4/15/16 (b) | 5,999 | 1,770 | ||
| 4,429 | |||
Diversified Consumer Services - 0.0% | ||||
Mac-Gray Corp. 7.625% 8/15/15 | 680 | 655 | ||
Hotels, Restaurants & Leisure - 1.0% | ||||
GWR Operating Partnership LLP 10.875% 4/1/17 (f) | 4,365 | 4,321 | ||
Harrah's Escrow Corp. 12.75% 4/15/18 (f) | 7,620 | 7,220 | ||
Harrah's Operating Co., Inc. 11.25% 6/1/17 | 5,650 | 5,933 | ||
Landry's Restaurants, Inc. 11.625% 12/1/15 | 1,385 | 1,451 | ||
MCE Finance Ltd. 10.25% 5/15/18 (f) | 9,695 | 10,180 | ||
MGM Mirage, Inc.: | ||||
5.875% 2/27/14 | 3,890 | 3,093 | ||
6.625% 7/15/15 | 12,399 | 9,671 | ||
6.75% 4/1/13 | 2,220 | 1,943 | ||
6.875% 4/1/16 | 4,440 | 3,441 | ||
7.5% 6/1/16 | 7,720 | 6,099 | ||
7.625% 1/15/17 | 5,785 | 4,512 | ||
9% 3/15/20 (f) | 3,485 | 3,572 | ||
10.375% 5/15/14 | 1,535 | 1,669 | ||
11.125% 11/15/17 | 565 | 623 | ||
Mohegan Tribal Gaming Authority: | ||||
6.875% 2/15/15 | 3,533 | 2,508 | ||
11.5% 11/1/17 (f) | 7,050 | 7,226 | ||
Scientific Games Corp. 6.25% 12/15/12 | 660 | 650 | ||
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (f) | 1,540 | 1,232 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Speedway Motorsports, Inc. 6.75% 6/1/13 | $ 3,495 | $ 3,486 | ||
Station Casinos, Inc.: | ||||
6% 4/1/12 (b) | 9,620 | 571 | ||
6.5% 2/1/14 (b) | 11,643 | 15 | ||
6.625% 3/15/18 (b) | 11,970 | 15 | ||
6.875% 3/1/16 (b) | 12,803 | 16 | ||
7.75% 8/15/16 (b) | 14,415 | 910 | ||
Town Sports International Holdings, Inc. 11% 2/1/14 | 3,328 | 3,028 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 8.875% 11/15/15 (f) | 3,030 | 3,045 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
9% 1/15/12 (b) | 575 | 259 | ||
12.75% 1/15/13 (b) | 1,070 | 1 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (f) | 1,052 | 573 | ||
| 87,263 | |||
Household Durables - 0.2% | ||||
Controladora Mabe SA CV 7.875% 10/28/19 (f) | 3,020 | 3,171 | ||
K. Hovnanian Enterprises, Inc. 10.625% 10/15/16 | 6,165 | 6,165 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (f) | 6,915 | 7,192 | ||
Sealy Mattress Co. 10.875% 4/15/16 (f) | 1,508 | 1,674 | ||
| 18,202 | |||
Leisure Equipment & Products - 0.0% | ||||
Easton-Bell Sports, Inc. 9.75% 12/1/16 (f) | 1,505 | 1,561 | ||
Media - 2.6% | ||||
AMC Entertainment, Inc. 11% 2/1/16 | 8,060 | 8,423 | ||
Cablemas SA de CV 9.375% 11/15/15 (Reg. S) | 5,145 | 5,454 | ||
CanWest Media, Inc. 8% 9/15/12 (b) | 444 | 445 | ||
Cequel Communications Holdings I LLC/Cequel Capital Corp. 8.625% 11/15/17 (f) | 6,485 | 6,461 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 13.5% 11/30/16 | 19,569 | 22,871 | ||
Clear Channel Communications, Inc.: | ||||
4.9% 5/15/15 | 2,600 | 1,352 | ||
5.5% 9/15/14 | 2,000 | 1,100 | ||
5.5% 12/15/16 | 1,890 | 907 | ||
5.75% 1/15/13 | 3,145 | 2,406 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Clear Channel Communications, Inc.: - continued | ||||
6.25% 3/15/11 | $ 175 | $ 168 | ||
6.875% 6/15/18 | 1,275 | 618 | ||
10.75% 8/1/16 | 30,415 | 21,291 | ||
11.75% 8/1/16 pay-in-kind (i) | 4,473 | 2,823 | ||
Clear Channel Worldwide Holdings, Inc.: | ||||
Series A 9.25% 12/15/17 (f) | 1,490 | 1,483 | ||
Series B 9.25% 12/15/17 (f) | 5,950 | 5,980 | ||
EchoStar Communications Corp.: | ||||
6.625% 10/1/14 | 5,075 | 5,075 | ||
7% 10/1/13 | 9,095 | 9,368 | ||
7.125% 2/1/16 | 33,535 | 33,703 | ||
Gray Television, Inc. 10.5% 6/29/15 (f) | 1,985 | 1,916 | ||
Interpublic Group of Companies, Inc. 10% 7/15/17 | 2,530 | 2,789 | ||
Liberty Media Corp. 8.5% 7/15/29 | 6,535 | 6,012 | ||
Livent, Inc. yankee 9.375% 10/15/04 (b) | 300 | 0 | ||
MDC Partners, Inc. 11% 11/1/16 (f) | 845 | 900 | ||
MediMedia USA, Inc. 11.375% 11/15/14 (f) | 850 | 723 | ||
Net Servicos de Comunicacao SA 7.5% 1/27/20 (f) | 6,090 | 6,349 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
10% 8/1/14 | 3,620 | 3,720 | ||
11.5% 5/1/16 | 4,920 | 5,387 | ||
11.625% 2/1/14 | 2,535 | 2,776 | ||
Rainbow National Services LLC: | ||||
8.75% 9/1/12 (f) | 3,280 | 3,280 | ||
10.375% 9/1/14 (f) | 9,075 | 9,415 | ||
Sun Media Corp. Canada 7.625% 2/15/13 | 635 | 635 | ||
The Reader's Digest Association, Inc. 9.5% 2/15/17 (f)(i) | 13,085 | 13,052 | ||
TL Acquisitions, Inc. 10.5% 1/15/15 (f) | 24,495 | 22,842 | ||
Univision Communications, Inc. 12% 7/1/14 (f) | 7,300 | 7,829 | ||
Videotron Ltd. 6.875% 1/15/14 | 550 | 553 | ||
| 218,106 | |||
Multiline Retail - 0.2% | ||||
Matahari International Finance Co. BV 10.75% 8/7/12 | 8,425 | 8,815 | ||
The Bon-Ton Department Stores, Inc. 10.25% 3/15/14 | 6,780 | 6,661 | ||
| 15,476 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - 0.2% | ||||
Claire's Stores, Inc.: | ||||
9.25% 6/1/15 | $ 2,775 | $ 2,380 | ||
9.625% 6/1/15 pay-in-kind (i) | 4,358 | 3,699 | ||
Michaels Stores, Inc.: | ||||
0% 11/1/16 (d) | 445 | 395 | ||
10% 11/1/14 | 5,150 | 5,279 | ||
Sonic Automotive, Inc. 9% 3/15/18 | 1,970 | 1,980 | ||
| 13,733 | |||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Levi Strauss & Co.: | ||||
7.625% 5/15/20 (f) | 2,170 | 2,121 | ||
8.875% 4/1/16 | 1,650 | 1,708 | ||
| 3,829 | |||
TOTAL CONSUMER DISCRETIONARY | 394,173 | |||
CONSUMER STAPLES - 0.4% | ||||
Beverages - 0.1% | ||||
Cerveceria Nacional Dominicana C por A: | ||||
8% 3/27/14 (Reg. S) | 330 | 342 | ||
16% 3/27/12 | 150 | 138 | ||
16% 3/27/12 (f) | 4,947 | 4,557 | ||
| 5,037 | |||
Food & Staples Retailing - 0.1% | ||||
Rite Aid Corp.: | ||||
8.625% 3/1/15 | 835 | 681 | ||
9.375% 12/15/15 | 2,620 | 2,129 | ||
9.5% 6/15/17 | 3,670 | 2,890 | ||
| 5,700 | |||
Food Products - 0.2% | ||||
Hines Nurseries, Inc. 10.25% 10/1/11 (b) | 370 | 4 | ||
JBS USA LLC/JBS USA Finance, Inc. 11.625% 5/1/14 | 5,200 | 5,798 | ||
Michael Foods Group, Inc. 9.75% 7/15/18 (f) | 1,885 | 1,937 | ||
Smithfield Foods, Inc. 10% 7/15/14 (f) | 5,540 | 6,122 | ||
| 13,861 | |||
Household Products - 0.0% | ||||
Cellu Tissue Holdings, Inc. 11.5% 6/1/14 | 3,600 | 3,897 | ||
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 | $ 462 | ||
Revlon Consumer Products Corp. 9.75% 11/15/15 (f) | 3,875 | 3,962 | ||
| 4,424 | |||
TOTAL CONSUMER STAPLES | 32,919 | |||
ENERGY - 4.7% | ||||
Energy Equipment & Services - 0.2% | ||||
Complete Production Services, Inc. 8% 12/15/16 | 2,530 | 2,454 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (f) | 3,970 | 3,613 | ||
Hercules Offshore, Inc. 10.5% 10/15/17 (f) | 4,990 | 4,429 | ||
Pioneer Drilling Co. 9.875% 3/15/18 (f) | 3,410 | 3,308 | ||
| 13,804 | |||
Oil, Gas & Consumable Fuels - 4.5% | ||||
Adaro Indonesia PT 7.625% 10/22/19 (f) | 4,115 | 4,177 | ||
Atlas Energy Operating Co. LLC/Financing Corp. 10.75% 2/1/18 | 4,090 | 4,361 | ||
Atlas Pipeline Partners LP 8.125% 12/15/15 | 9,415 | 8,662 | ||
ATP Oil & Gas Corp. 11.875% 5/1/15 (f) | 32,370 | 23,630 | ||
Berry Petroleum Co.: | ||||
8.25% 11/1/16 | 2,930 | 2,871 | ||
10.25% 6/1/14 | 2,220 | 2,364 | ||
Chaparral Energy, Inc. 8.5% 12/1/15 | 4,498 | 4,183 | ||
Chesapeake Energy Corp.: | ||||
6.5% 8/15/17 | 13,550 | 13,415 | ||
6.875% 11/15/20 | 12,030 | 12,135 | ||
7.25% 12/15/18 | 1,970 | 2,034 | ||
7.625% 7/15/13 | 11,615 | 12,138 | ||
9.5% 2/15/15 | 5,630 | 6,221 | ||
Connacher Oil and Gas Ltd. 10.25% 12/15/15 (f) | 4,560 | 4,423 | ||
CONSOL Energy, Inc.: | ||||
8% 4/1/17 (f) | 6,470 | 6,696 | ||
8.25% 4/1/20 (f) | 6,645 | 6,944 | ||
Continental Resources, Inc. 8.25% 10/1/19 | 885 | 925 | ||
Crosstex Energy/Crosstex Energy Finance Corp. 8.875% 2/15/18 | 4,920 | 4,920 | ||
Denbury Resources, Inc.: | ||||
8.25% 2/15/20 | 3,877 | 4,051 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Denbury Resources, Inc.: - continued | ||||
9.75% 3/1/16 | $ 1,660 | $ 1,780 | ||
Drummond Co., Inc.: | ||||
7.375% 2/15/16 | 6,605 | 6,341 | ||
9% 10/15/14 (f) | 8,335 | 8,460 | ||
DTEK Finance BV 9.5% 4/28/15 (f) | 3,485 | 3,293 | ||
EXCO Resources, Inc. 7.25% 1/15/11 | 570 | 566 | ||
Forest Oil Corp. 8% 12/15/11 | 480 | 499 | ||
International Coal Group, Inc. 9.125% 4/1/18 | 920 | 918 | ||
InterNorth, Inc. 9.625% 3/16/06 (b) | 935 | 0 | ||
KazMunaiGaz Finance Sub BV: | ||||
7% 5/5/20 (f) | 1,950 | 1,952 | ||
8.375% 7/2/13 (f) | 3,355 | 3,607 | ||
9.125% 7/2/18 (f) | 3,735 | 4,291 | ||
11.75% 1/23/15 (f) | 4,880 | 5,966 | ||
LINN Energy LLC 8.625% 4/15/20 (f) | 9,610 | 9,838 | ||
Mariner Energy, Inc.: | ||||
7.5% 4/15/13 | 2,900 | 2,973 | ||
8% 5/15/17 | 4,870 | 5,326 | ||
11.75% 6/30/16 | 4,955 | 6,169 | ||
Naftogaz of Ukraine NJSC 9.5% 9/30/14 | 4,055 | 4,207 | ||
Nakilat, Inc. 6.267% 12/31/33 (Reg. S) | 3,360 | 3,209 | ||
Newfield Exploration Co. 6.875% 2/1/20 | 12,875 | 12,457 | ||
OPTI Canada, Inc.: | ||||
7.875% 12/15/14 | 8,955 | 7,791 | ||
8.25% 12/15/14 | 1,360 | 1,190 | ||
9% 12/15/12 (f) | 3,060 | 3,091 | ||
Pan American Energy LLC 7.875% 5/7/21 (f) | 3,170 | 3,138 | ||
Peabody Energy Corp. 7.875% 11/1/26 | 5,640 | 5,922 | ||
Pemex Project Funding Master Trust 6.625% 6/15/35 | 2,870 | 2,952 | ||
Petrobras International Finance Co. Ltd.: | ||||
6.875% 1/20/40 | 1,800 | 1,800 | ||
8.375% 12/10/18 | 635 | 746 | ||
Petrohawk Energy Corp.: | ||||
7.875% 6/1/15 | 22,900 | 22,957 | ||
9.125% 7/15/13 | 10,710 | 11,219 | ||
Petroleos de Venezuela SA: | ||||
5.25% 4/12/17 | 16,000 | 8,560 | ||
5.375% 4/12/27 | 36,245 | 16,129 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Petroleos Mexicanos 6% 3/5/20 (f) | $ 2,990 | $ 3,125 | ||
Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22 | 3,105 | 2,958 | ||
Petroleum Development Corp. 12% 2/15/18 | 4,390 | 4,533 | ||
Petroleum Export Ltd. 5.265% 6/15/11 (Reg. S) | 1,114 | 1,114 | ||
Pioneer Natural Resources Co. 7.5% 1/15/20 | 8,285 | 8,534 | ||
Plains Exploration & Production Co. 10% 3/1/16 | 10,150 | 10,759 | ||
Quicksilver Resources, Inc. 11.75% 1/1/16 | 5,045 | 5,575 | ||
Range Resources Corp. 7.375% 7/15/13 | 2,190 | 2,212 | ||
Rosetta Resources, Inc. 9.5% 4/15/18 (f) | 3,565 | 3,547 | ||
SandRidge Energy, Inc.: | ||||
8% 6/1/18 (f) | 3,010 | 2,844 | ||
8.625% 4/1/15 pay-in-kind (i) | 2,020 | 1,939 | ||
Southern Star Central Corp. 6.75% 3/1/16 | 1,560 | 1,509 | ||
Southwestern Energy Co. 7.5% 2/1/18 | 2,460 | 2,626 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 11.25% 7/15/17 (f) | 4,265 | 4,628 | ||
Teekay Corp. 8.5% 1/15/20 | 3,695 | 3,713 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 582 | ||
7.5% 4/1/17 | 7,600 | 8,679 | ||
7.625% 4/1/37 | 1,035 | 1,147 | ||
8% 2/1/16 | 1,160 | 1,349 | ||
8.375% 6/15/32 | 1,155 | 1,354 | ||
TNK-BP Finance SA 7.5% 3/13/13 (Reg. S) | 2,880 | 3,038 | ||
Venoco, Inc. 11.5% 10/1/17 | 3,335 | 3,402 | ||
W&T Offshore, Inc. 8.25% 6/15/14 (f) | 5,300 | 4,770 | ||
YPF SA 10% 11/2/28 | 6,985 | 7,317 | ||
| 382,751 | |||
TOTAL ENERGY | 396,555 | |||
FINANCIALS - 6.0% | ||||
Capital Markets - 0.2% | ||||
Equinox Holdings, Inc. 9.5% 2/1/16 (f) | 5,755 | 5,690 | ||
HSBC Bank PLC 5.75% 6/27/17 (e) | GBP | 1,130 | 1,756 | |
Penson Worldwide, Inc. 12.5% 5/15/17 (f) | 3,580 | 3,571 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
UBS AG Jersey Branch 4.125% 9/25/18 (i) | EUR | 1,200 | $ 1,458 | |
VTB Capital SA 4.25% 2/15/16 | EUR | 1,000 | 1,229 | |
| 13,704 | |||
Commercial Banks - 1.1% | ||||
African Export-Import Bank 8.75% 11/13/14 | 4,020 | 4,261 | ||
Barclays Bank PLC 0% 3/18/13 (f) | 4,245 | 4,193 | ||
CIT Group, Inc.: | ||||
7% 5/1/13 | 1,854 | 1,779 | ||
7% 5/1/14 | 2,780 | 2,600 | ||
7% 5/1/15 | 2,780 | 2,551 | ||
7% 5/1/16 | 4,634 | 4,205 | ||
7% 5/1/17 | 6,488 | 5,855 | ||
Development Bank of Philippines 8.375% (i) | 6,055 | 6,418 | ||
EXIM of Ukraine 7.65% 9/7/11 (Issued by Credit Suisse International for EXIM of Ukraine) | 23,835 | 23,477 | ||
Export-Import Bank of India 0.7438% 6/7/12 (i) | JPY | 170,000 | 1,869 | |
HSBK (Europe) B.V. 9.25% 10/16/13 (f) | 7,695 | 8,041 | ||
Intesa Sanpaolo SpA 3.75% 11/23/16 | EUR | 1,850 | 2,258 | |
Kazkommerts International BV 8.5% 4/16/13 (f) | 4,855 | 4,564 | ||
KBC IFIMA NV 0.918% 12/14/15 (i) | EUR | 1,200 | 1,333 | |
Kiev Ukraine 8.625% 7/15/11 (Issued by UniCredit Bank AG for Kiev Ukraine) | 2,910 | 2,895 | ||
Rabobank Nederland 4.125% 1/14/20 | EUR | 6,750 | 8,592 | |
RSHB Capital SA 9% 6/11/14 (f) | 1,535 | 1,723 | ||
Santander Finance Preferred SA Unipersonal 7.3% 7/29/19 (i) | GBP | 2,150 | 3,270 | |
US Bank NA 4.375% 2/28/17 (i) | EUR | 1,600 | 1,939 | |
Wells Fargo & Co. 7.98% (i) | 2,035 | 2,076 | ||
| 93,899 | |||
Consumer Finance - 1.7% | ||||
ACE Cash Express, Inc. 10.25% 10/1/14 (f) | 1,420 | 1,157 | ||
Ford Motor Credit Co. LLC: | ||||
7% 10/1/13 | 5,290 | 5,395 | ||
7.25% 10/25/11 | 12,485 | 12,826 | ||
7.375% 2/1/11 | 735 | 749 | ||
7.5% 8/1/12 | 9,230 | 9,438 | ||
8% 6/1/14 | 5,120 | 5,261 | ||
12% 5/15/15 | 12,770 | 14,717 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
General Motors Acceptance Corp.: | ||||
6.75% 12/1/14 | $ 11,870 | $ 11,395 | ||
8% 11/1/31 | 7,330 | 6,742 | ||
GMAC LLC: | ||||
6% 4/1/11 | 1,435 | 1,431 | ||
6.75% 12/1/14 | 4,285 | 4,156 | ||
8% 11/1/31 | 70,918 | 65,599 | ||
| 138,866 | |||
Diversified Financial Services - 2.3% | ||||
Azovstal Capital BV 9.125% 2/28/11 | 400 | 395 | ||
Bank of America Corp.: | ||||
4% 3/28/18 (i) | EUR | 2,950 | 3,264 | |
8% (i) | 5,365 | 5,191 | ||
8.125% (i) | 7,380 | 7,177 | ||
Bank of Georgia JSC 9% 2/8/12 (Issued by BG Finance BV for Bank of Georgia JSC) | 1,510 | 1,510 | ||
Bishopgate Asset Finance Ltd. 4.808% 8/14/44 | GBP | 1,450 | 1,637 | |
Broadgate PLC 1.4472% 10/5/25 (i) | GBP | 595 | 675 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
7.875% 4/30/18 (f) | 2,920 | 2,927 | ||
8.125% 4/30/20 (f) | 6,955 | 7,042 | ||
City of Buenos Aires 12.5% 4/6/15 (f) | 9,135 | 9,226 | ||
Dignity Finance PLC: | ||||
6.31% 12/31/23 (Reg. S) | GBP | 236 | 399 | |
8.151% 12/31/30 | GBP | 475 | 871 | |
FireKeepers Development Authority 13.875% 5/1/15 (f) | 1,600 | 1,848 | ||
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | 1,688 | 1,690 | ||
GMAC, Inc. 8% 3/15/20 (f) | 12,000 | 11,850 | ||
Greene King Finance PLC Series A1, 1.11% 6/15/31 (i) | GBP | 1,000 | 1,195 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
7.75% 1/15/16 (f) | 17,070 | 16,558 | ||
8% 1/15/18 (f) | 17,070 | 16,558 | ||
Imperial Tobacco Finance 8.375% 2/17/16 | EUR | 2,100 | 3,169 | |
Ineos Finance PLC 9% 5/15/15 (f) | 2,655 | 2,645 | ||
International Lease Finance Corp.: | ||||
5.625% 9/20/13 | 6,845 | 6,178 | ||
5.65% 6/1/14 | 8,508 | 7,551 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
International Lease Finance Corp.: - continued | ||||
6.375% 3/25/13 | $ 4,313 | $ 4,043 | ||
6.625% 11/15/13 | 17,827 | 16,401 | ||
JPMorgan Chase & Co. 6.125% 4/1/14 | EUR | 1,700 | 2,315 | |
LBI Escrow Corp. 8% 11/1/17 (f) | 7,115 | 7,311 | ||
Merck Financial Services GmbH 4.5% 3/24/20 | EUR | 5,550 | 7,189 | |
NCO Group, Inc. 11.875% 11/15/14 | 2,185 | 2,087 | ||
Pontis Ltd. 6.25% 7/20/10 (f) | 9,290 | 9,151 | ||
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (f) | 1,795 | 1,808 | ||
Red Arrow International Leasing PLC 8.375% 6/30/12 | RUB | 53,923 | 1,729 | |
TMK Capital SA 10% 7/29/11 | 6,300 | 6,511 | ||
Trans Union LLC/Trans Union Financing Corp. 11.375% 6/15/18 (f) | 4,285 | 4,472 | ||
TransCapitalInvest Ltd. 5.381% 6/27/12 (Reg. S) | EUR | 700 | 883 | |
UPC Germany GmbH 8.125% 12/1/17 (f) | 7,210 | 7,066 | ||
WaMu Covered Bond Program: | ||||
3.875% 9/27/11 | EUR | 1,090 | 1,359 | |
4.375% 5/19/14 | EUR | 2,250 | 2,889 | |
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (f)(i) | 13,370 | 12,135 | ||
| 196,905 | |||
Insurance - 0.3% | ||||
American International Group, Inc.: | ||||
4.25% 5/15/13 | 1,685 | 1,626 | ||
5.05% 10/1/15 | 2,765 | 2,540 | ||
5.45% 5/18/17 | 8,585 | 7,619 | ||
5.6% 10/18/16 | 4,760 | 4,346 | ||
5.85% 1/16/18 | 1,505 | 1,345 | ||
8.25% 8/15/18 | 5,085 | 5,149 | ||
AXA SA 5.25% 4/16/40 (i) | EUR | 4,000 | 4,550 | |
USI Holdings Corp. 4.3109% 11/15/14 (f)(i) | 920 | 752 | ||
| 27,927 | |||
Real Estate Investment Trusts - 0.1% | ||||
Omega Healthcare Investors, Inc. 7.5% 2/15/20 (f) | 4,860 | 4,775 | ||
Real Estate Management & Development - 0.3% | ||||
CB Richard Ellis Services, Inc. 11.625% 6/15/17 | 6,420 | 7,223 | ||
Realogy Corp.: | ||||
10.5% 4/15/14 | 15,000 | 12,750 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Realogy Corp.: - continued | ||||
11.75% 4/15/14 pay-in-kind (i) | $ 4,542 | $ 3,723 | ||
Toys 'R' Us Property Co. II LLC 8.5% 12/1/17 (f) | 845 | 868 | ||
Ventas Realty LP 6.5% 6/1/16 | 980 | 982 | ||
| 25,546 | |||
TOTAL FINANCIALS | 501,622 | |||
HEALTH CARE - 1.5% | ||||
Health Care Equipment & Supplies - 0.0% | ||||
Invacare Corp. 9.75% 2/15/15 | 1,530 | 1,645 | ||
Health Care Providers & Services - 1.3% | ||||
Apria Healthcare Group, Inc. 11.25% 11/1/14 (f) | 7,720 | 8,203 | ||
Capella Healthcare, Inc. 9.25% 7/1/17 (f) | 3,465 | 3,500 | ||
Cardinal Health 409, Inc. 9.5% 4/15/15 pay-in-kind (i) | 8,225 | 7,772 | ||
CRC Health Group, Inc. 10.75% 2/1/16 | 1,880 | 1,730 | ||
DASA Finance Corp. 8.75% 5/29/18 (f) | 1,865 | 2,019 | ||
Fresenius Medical Care Capital Trust IV 7.875% 6/15/11 | 1,000 | 1,030 | ||
HCA, Inc.: | ||||
5.75% 3/15/14 | 3,377 | 3,141 | ||
6.25% 2/15/13 | 1,755 | 1,724 | ||
6.375% 1/15/15 | 1,125 | 1,050 | ||
6.5% 2/15/16 | 4,220 | 3,935 | ||
6.75% 7/15/13 | 1,750 | 1,715 | ||
7.25% 9/15/20 | 23,835 | 23,716 | ||
9.125% 11/15/14 | 7,020 | 7,318 | ||
9.25% 11/15/16 | 17,055 | 17,993 | ||
HealthSouth Corp. 8.125% 2/15/20 | 7,395 | 7,274 | ||
Quintiles Transnational Holdings, Inc. 9.5% 12/30/14 (f) | 4,910 | 4,910 | ||
Rhoen-Klinikum AG 3.875% 3/11/16 | EUR | 1,400 | 1,760 | |
Skilled Healthcare Group, Inc. 11% 1/15/14 | 3,652 | 3,762 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 | 310 | 322 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13 | $ 684 | $ 718 | ||
United Surgical Partners International, Inc. 8.875% 5/1/17 | 895 | 886 | ||
| 104,478 | |||
Life Sciences Tools & Services - 0.0% | ||||
Bio-Rad Laboratories, Inc. 7.5% 8/15/13 | 1,770 | 1,790 | ||
Pharmaceuticals - 0.2% | ||||
Elan Finance PLC/Elan Finance Corp. 8.75% 10/15/16 (f) | 5,775 | 5,631 | ||
Leiner Health Products, Inc. 11% 6/1/12 (b) | 1,885 | 141 | ||
Mylan, Inc.: | ||||
7.625% 7/15/17 (f) | 3,900 | 4,007 | ||
7.875% 7/15/20 (f) | 7,040 | 7,216 | ||
Roche Holdings, Inc. 6.5% 3/4/21 | EUR | 1,950 | 3,007 | |
| 20,002 | |||
TOTAL HEALTH CARE | 127,915 | |||
INDUSTRIALS - 2.5% | ||||
Aerospace & Defense - 0.1% | ||||
Alion Science & Technology Corp.: | ||||
10.25% 2/1/15 | 800 | 616 | ||
12% 11/1/14 pay-in-kind (f) | 1,433 | 1,428 | ||
DigitalGlobe, Inc. 10.5% 5/1/14 | 2,915 | 3,134 | ||
GeoEye, Inc. 9.625% 10/1/15 (f) | 1,030 | 1,056 | ||
Hexcel Corp. 6.75% 2/1/15 | 2,350 | 2,303 | ||
| 8,537 | |||
Airlines - 0.6% | ||||
American Airlines, Inc. equipment trust certificate 13% 8/1/16 | 4,802 | 5,283 | ||
American Airlines, Inc. pass-thru trust certificates 10.375% 7/2/19 | 5,914 | 6,594 | ||
Continental Airlines, Inc. pass-thru trust certificates 6.903% 4/19/22 | 813 | 756 | ||
Continental Airlines, Inc. 7.25% 11/10/19 | 5,065 | 5,394 | ||
Delta Air Lines, Inc.: | ||||
7.9% 12/15/09 (a) | 16,400 | 164 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
Delta Air Lines, Inc.: - continued | ||||
9.5% 9/15/14 (f) | $ 1,530 | $ 1,614 | ||
10% 8/15/08 (a) | 1,255 | 13 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 8,583 | 8,722 | ||
8.021% 8/10/22 | 4,389 | 4,213 | ||
Northwest Airlines Corp. 10% 2/1/09 (a) | 1,895 | 0 | ||
Northwest Airlines, Inc.: | ||||
7.875% 3/15/08 (a) | 1,365 | 7 | ||
8.875% 6/1/06 (a) | 1,355 | 0 | ||
Northwest Airlines, Inc. pass-thru trust certificates: | ||||
7.027% 11/1/19 | 2,211 | 2,128 | ||
8.028% 11/1/17 | 844 | 743 | ||
United Air Lines, Inc.: | ||||
9.875% 8/1/13 (f) | 2,140 | 2,213 | ||
12% 11/1/13 (f) | 3,415 | 3,577 | ||
United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17 | 8,505 | 9,037 | ||
| 50,458 | |||
Building Products - 0.2% | ||||
Nortek, Inc. 11% 12/1/13 | 11,672 | 12,168 | ||
Commercial Services & Supplies - 0.6% | ||||
ACCO Brands Corp. 10.625% 3/15/15 | 595 | 637 | ||
ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13 | 160 | 160 | ||
Browning-Ferris Industries, Inc. 9.25% 5/1/21 | 680 | 843 | ||
Casella Waste Systems, Inc. 11% 7/15/14 (f) | 1,510 | 1,631 | ||
Cenveo Corp. 10.5% 8/15/16 (f) | 2,795 | 2,844 | ||
Garda World Security Corp. 9.75% 3/15/17 (f) | 2,260 | 2,283 | ||
International Lease Finance Corp.: | ||||
4.75% 1/13/12 | 2,500 | 2,366 | ||
5% 9/15/12 | 2,715 | 2,508 | ||
8.625% 9/15/15 (f) | 7,985 | 7,546 | ||
8.75% 3/15/17 (f) | 11,970 | 11,252 | ||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 10,955 | 10,763 | ||
7.75% 1/15/15 | 4,830 | 4,866 | ||
The Geo Group, Inc. 7.75% 10/15/17 (f) | 2,845 | 2,888 | ||
| 50,587 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Construction & Engineering - 0.1% | ||||
Blount, Inc. 8.875% 8/1/12 | $ 1,250 | $ 1,253 | ||
Odebrecht Finance Ltd. 7% 4/21/20 (f) | 1,830 | 1,857 | ||
Odebrecht Overseas Ltd. 9.625% | 1,620 | 1,620 | ||
| 4,730 | |||
Electrical Equipment - 0.0% | ||||
General Cable Corp. 7.125% 4/1/17 | 680 | 673 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 900 | 882 | ||
| 1,555 | |||
Industrial Conglomerates - 0.2% | ||||
Hutchison Whampoa Finance 06 Ltd. 4.625% 9/21/16 | EUR | 2,400 | 3,051 | |
Sequa Corp.: | ||||
11.75% 12/1/15 (f) | 11,050 | 10,884 | ||
13.5% 12/1/15 pay-in-kind (f) | 4,393 | 4,459 | ||
| 18,394 | |||
Machinery - 0.2% | ||||
ArvinMeritor, Inc. 10.625% 3/15/18 | 2,115 | 2,226 | ||
Chart Industries, Inc. 9.125% 10/15/15 | 1,160 | 1,160 | ||
Cummins, Inc. 7.125% 3/1/28 | 1,870 | 2,082 | ||
Navistar International Corp. 8.25% 11/1/21 | 9,025 | 9,138 | ||
Terex Corp. 10.875% 6/1/16 | 5,025 | 5,402 | ||
| 20,008 | |||
Marine - 0.1% | ||||
Navios Maritime Holdings, Inc.: | ||||
8.875% 11/1/17 (f) | 2,510 | 2,523 | ||
9.5% 12/15/14 | 5,215 | 5,006 | ||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 2,050 | 1,968 | ||
| 9,497 | |||
Road & Rail - 0.2% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 9.625% 3/15/18 (f) | 2,465 | 2,490 | ||
Kansas City Southern de Mexico, SA de CV: | ||||
7.375% 6/1/14 | 1,670 | 1,703 | ||
7.625% 12/1/13 | 1,700 | 1,738 | ||
12.5% 4/1/16 | 5,710 | 6,823 | ||
Swift Transportation Co., Inc. 12.5% 5/15/17 (f) | 1,270 | 1,213 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Road & Rail - continued | ||||
TFM SA de CV 9.375% 5/1/12 | $ 926 | $ 947 | ||
Western Express, Inc. 12.5% 4/15/15 (f) | 3,185 | 2,922 | ||
| 17,836 | |||
Trading Companies & Distributors - 0.1% | ||||
Penhall International Corp. 12% 8/1/14 (f) | 1,515 | 1,061 | ||
VWR Funding, Inc. 10.25% 7/15/15 pay-in-kind (i) | 10,578 | 10,684 | ||
| 11,745 | |||
Transportation Infrastructure - 0.1% | ||||
Trico Shipping AS 11.875% 11/1/14 (f) | 9,180 | 8,882 | ||
TOTAL INDUSTRIALS | 214,397 | |||
INFORMATION TECHNOLOGY - 1.5% | ||||
Communications Equipment - 0.5% | ||||
Avaya, Inc.: | ||||
9.75% 11/1/15 | 7,920 | 7,405 | ||
10.125% 11/1/15 pay-in-kind (i) | 4,608 | 4,308 | ||
Brocade Communications Systems, Inc.: | ||||
6.625% 1/15/18 (f) | 1,135 | 1,126 | ||
6.875% 1/15/20 (f) | 1,135 | 1,128 | ||
Hughes Network System LLC/HNS Finance Corp. 9.5% 4/15/14 | 6,290 | 6,369 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 20,050 | 13,233 | ||
6.5% 1/15/28 | 6,570 | 4,336 | ||
ViaSat, Inc. 8.875% 9/15/16 | 1,335 | 1,358 | ||
| 39,263 | |||
Computers & Peripherals - 0.0% | ||||
Seagate Technology International 10% 5/1/14 (f) | 1,450 | 1,653 | ||
Electronic Equipment & Components - 0.1% | ||||
Reddy Ice Corp.: | ||||
11.25% 3/15/15 (f) | 4,625 | 4,764 | ||
13.25% 11/1/15 (f) | 3,266 | 3,152 | ||
| 7,916 | |||
Internet Software & Services - 0.1% | ||||
Equinix, Inc. 8.125% 3/1/18 | 8,180 | 8,303 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
IT Services - 0.2% | ||||
Ceridian Corp.: | ||||
11.25% 11/15/15 | $ 4,145 | $ 3,731 | ||
12.25% 11/15/15 pay-in-kind (i) | 932 | 843 | ||
SunGard Data Systems, Inc. 9.125% 8/15/13 | 5,280 | 5,386 | ||
Unisys Corp.: | ||||
12.5% 1/15/16 | 3,030 | 3,272 | ||
12.75% 10/15/14 (f) | 437 | 488 | ||
14.25% 9/15/15 (f) | 350 | 403 | ||
| 14,123 | |||
Semiconductors & Semiconductor Equipment - 0.6% | ||||
Advanced Micro Devices, Inc. 8.125% 12/15/17 (f) | 3,470 | 3,444 | ||
Amkor Technology, Inc. 7.375% 5/1/18 (f) | 3,485 | 3,398 | ||
Avago Technologies Finance Ltd. 11.875% 12/1/15 | 8,455 | 9,227 | ||
Freescale Semiconductor, Inc.: | ||||
9.125% 12/15/14 pay-in-kind (i) | 4,571 | 4,091 | ||
9.25% 4/15/18 (f) | 2,800 | 2,744 | ||
10.125% 3/15/18 (f) | 9,655 | 9,945 | ||
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. 10.5% 4/15/18 (f) | 2,340 | 2,381 | ||
New ASAT Finance Ltd. 9.25% 2/1/11 (b) | 2,100 | 3 | ||
NXP BV 3.0528% 10/15/13 (i) | 9,075 | 7,759 | ||
Spansion LLC 11.25% 1/15/16 (b)(f) | 4,255 | 4,371 | ||
Viasystems, Inc. 12% 1/15/15 (f) | 4,000 | 4,320 | ||
| 51,683 | |||
Software - 0.0% | ||||
Open Solutions, Inc. 9.75% 2/1/15 (f) | 870 | 653 | ||
TOTAL INFORMATION TECHNOLOGY | 123,594 | |||
MATERIALS - 3.4% | ||||
Chemicals - 0.8% | ||||
Ashland, Inc. 9.125% 6/1/17 | 2,490 | 2,720 | ||
Braskem Finance Ltd. 7% 5/7/20 (f) | 1,600 | 1,616 | ||
Chemtura Corp. 6.875% 6/1/16 (b) | 1,225 | 1,378 | ||
Georgia Gulf Corp. 9% 1/15/17 (f) | 10,825 | 11,150 | ||
MacDermid, Inc. 9.5% 4/15/17 (f) | 500 | 501 | ||
Momentive Performance Materials, Inc.: | ||||
9.75% 12/1/14 | 16,120 | 15,233 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Chemicals - continued | ||||
Momentive Performance Materials, Inc.: - continued | ||||
10.125% 12/1/14 pay-in-kind (i) | $ 7,860 | $ 7,664 | ||
11.5% 12/1/16 | 10,765 | 9,689 | ||
NOVA Chemicals Corp.: | ||||
3.7476% 11/15/13 (i) | 1,690 | 1,555 | ||
6.5% 1/15/12 | 5,775 | 5,804 | ||
Solutia, Inc.: | ||||
7.875% 3/15/20 | 2,180 | 2,180 | ||
8.75% 11/1/17 | 1,100 | 1,136 | ||
Sterling Chemicals, Inc. 10.25% 4/1/15 | 1,600 | 1,568 | ||
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 (b) | 3,430 | 3,344 | ||
| 65,538 | |||
Construction Materials - 0.0% | ||||
Headwaters, Inc. 11.375% 11/1/14 | 1,025 | 1,030 | ||
SOV Housing Capital PLC 5.705% 9/10/39 | GBP | 1,400 | 2,224 | |
| 3,254 | |||
Containers & Packaging - 0.5% | ||||
AEP Industries, Inc. 7.875% 3/15/13 | 640 | 630 | ||
Berry Plastics Holding Corp.: | ||||
4.4121% 9/15/14 (i) | 640 | 550 | ||
8.875% 9/15/14 | 10,865 | 10,512 | ||
10.25% 3/1/16 | 4,055 | 3,528 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 9,795 | 8,913 | ||
7.5% 12/15/96 | 3,685 | 2,755 | ||
Jefferson Smurfit Corp. U.S. 8.25% 10/1/12 (b) | 1,170 | 0 | ||
Smurfit-Stone Container Enterprises, Inc. 8% 3/15/17 (b) | 5,845 | 0 | ||
Temple-Inland, Inc.: | ||||
6.625% 1/15/16 | 165 | 168 | ||
7.875% 5/1/12 | 3,735 | 4,015 | ||
Vitro SAB de CV: | ||||
8.625% 2/1/12 (b) | 26,810 | 12,333 | ||
9.125% 2/1/17 (b) | 2,210 | 1,017 | ||
| 44,421 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - 2.0% | ||||
Aleris International, Inc.: | ||||
6% 6/1/20 (f) | $ 33 | $ 156 | ||
9.75% 12/15/14 pay-in-kind (b)(i) | 2,790 | 21 | ||
CSN Islands XI Corp. 6.875% 9/21/19 (f) | 5,990 | 6,092 | ||
Edgen Murray Corp. 12.25% 1/15/15 (f) | 8,545 | 7,221 | ||
Evraz Group SA 8.875% 4/24/13 (f) | 7,925 | 8,084 | ||
FMG Finance Property Ltd.: | ||||
10% 9/1/13 (f) | 4,945 | 5,217 | ||
10.625% 9/1/16 (f) | 33,980 | 37,548 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
8.25% 4/1/15 | 8,780 | 9,515 | ||
8.375% 4/1/17 | 34,820 | 38,302 | ||
International Steel Group, Inc. 6.5% 4/15/14 | 10,550 | 11,294 | ||
Metinvest BV 10.25% 5/20/15 (f) | 3,620 | 3,525 | ||
Novelis, Inc. 11.5% 2/15/15 | 1,185 | 1,268 | ||
RathGibson, Inc. 11.25% 2/15/14 (b) | 5,905 | 89 | ||
Severstal Columbus LLC 10.25% 2/15/18 (f) | 7,005 | 7,075 | ||
Southern Copper Corp. 6.75% 4/16/40 | 3,160 | 3,144 | ||
Teck Resources Ltd.: | ||||
9.75% 5/15/14 | 6,275 | 7,418 | ||
10.25% 5/15/16 | 8,000 | 9,440 | ||
10.75% 5/15/19 | 9,360 | 11,469 | ||
| 166,878 | |||
Paper & Forest Products - 0.1% | ||||
Glatfelter 7.125% 5/1/16 | 550 | 534 | ||
NewPage Corp.: | ||||
6.5944% 5/1/12 (i) | 1,770 | 1,168 | ||
11.375% 12/31/14 | 4,775 | 4,321 | ||
Solo Cup Co. 8.5% 2/15/14 | 2,140 | 1,921 | ||
Stone Container Corp. 8.375% 7/1/12 (b) | 3,005 | 0 | ||
| 7,944 | |||
TOTAL MATERIALS | 288,035 | |||
TELECOMMUNICATION SERVICES - 6.8% | ||||
Diversified Telecommunication Services - 4.4% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 | 4,520 | 4,814 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | $ 4,895 | $ 4,357 | ||
9% 8/15/31 | 3,655 | 3,390 | ||
Clearwire Communications LLC/Clearwire Finance, Inc. 12% 12/1/15 (f) | 28,617 | 28,545 | ||
Frontier Communications Corp.: | ||||
8.25% 4/15/17 (f) | 6,470 | 6,519 | ||
8.5% 4/15/20 (f) | 6,645 | 6,678 | ||
Global Crossing Ltd. 12% 9/15/15 (f) | 3,130 | 3,318 | ||
Intelsat Bermuda Ltd.: | ||||
11.25% 2/4/17 | 42,616 | 43,042 | ||
12.5% 2/4/17 pay-in-kind (i) | 41,765 | 39,792 | ||
Intelsat Corp.: | ||||
9.25% 8/15/14 | 5,215 | 5,345 | ||
9.25% 6/15/16 | 8,820 | 9,261 | ||
Intelsat Ltd. 11.25% 6/15/16 | 27,785 | 29,660 | ||
Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (f) | 5,425 | 5,588 | ||
Qwest Communications International, Inc.: | ||||
7.125% 4/1/18 (f) | 6,665 | 6,632 | ||
7.5% 2/15/14 | 7,555 | 7,574 | ||
7.5% 2/15/14 | 1,655 | 1,659 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 74,790 | 62,076 | ||
6.9% 5/1/19 | 5,935 | 5,371 | ||
8.75% 3/15/32 | 61,330 | 58,570 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 2,535 | 2,326 | ||
7.25% 9/15/25 | 535 | 515 | ||
7.25% 10/15/35 | 1,455 | 1,335 | ||
7.5% 6/15/23 | 460 | 440 | ||
Wind Acquisition Finance SA: | ||||
11.75% 7/15/17 (f) | 21,075 | 21,602 | ||
12% 12/1/15 (f) | 11,630 | 11,979 | ||
| 370,388 | |||
Wireless Telecommunication Services - 2.4% | ||||
Clearwire Escrow Corp. 12% 12/1/15 (f) | 4,260 | 4,249 | ||
Digicel Group Ltd.: | ||||
8.875% 1/15/15 (f) | 23,300 | 22,485 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Digicel Group Ltd.: - continued | ||||
9.125% 1/15/15 pay-in-kind (f)(i) | $ 7,565 | $ 7,338 | ||
10.5% 4/15/18 (f) | 20,905 | 21,428 | ||
12% 4/1/14 (f) | 9,725 | 10,843 | ||
Intelsat Jackson Holdings Ltd.: | ||||
8.5% 11/1/19 (f) | 4,220 | 4,262 | ||
9.5% 6/15/16 | 19,260 | 20,175 | ||
11.5% 6/15/16 | 8,740 | 9,286 | ||
Intelsat Subsidiary Holding Co. Ltd. 8.875% 1/15/15 | 12,125 | 12,322 | ||
Millicom International Cellular SA 10% 12/1/13 | 19,270 | 19,848 | ||
Mobile Telesystems Finance SA 8% 1/28/12 (f) | 2,336 | 2,432 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (f) | 2,565 | 2,650 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 9,445 | 8,760 | ||
7.375% 8/1/15 | 5,220 | 4,959 | ||
NII Capital Corp. 10% 8/15/16 | 17,475 | 18,392 | ||
Orascom Telecom Finance SCA 7.875% 2/8/14 (f) | 9,690 | 8,769 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (f) | 12,184 | 11,392 | ||
Sprint Nextel Corp. 6% 12/1/16 | 6,700 | 6,013 | ||
Telecom Personal SA 9.25% 12/22/10 (f) | 5,490 | 5,600 | ||
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (f) | 5,670 | 5,982 | ||
| 207,185 | |||
TOTAL TELECOMMUNICATION SERVICES | 577,573 | |||
UTILITIES - 1.6% | ||||
Electric Utilities - 0.5% | ||||
Chivor SA E.S.P. 9.75% 12/30/14 (f) | 2,355 | 2,661 | ||
Empresa Distribuidora y Comercializadora Norte SA 10.5% 10/9/17 | 1,400 | 1,428 | ||
Intergen NV 9% 6/30/17 (f) | 17,825 | 17,736 | ||
Majapahit Holding BV: | ||||
7.75% 10/17/16 (Reg. S) | 5,060 | 5,579 | ||
7.75% 1/20/20 (f) | 3,370 | 3,690 | ||
8% 8/7/19 (f) | 2,455 | 2,713 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
National Power Corp. 6.875% 11/2/16 (f) | $ 2,715 | $ 2,987 | ||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. 11.25% 11/1/16 pay-in-kind (i) | 2,198 | 1,387 | ||
| 38,181 | |||
Gas Utilities - 0.2% | ||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 3,780 | 3,780 | ||
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | 6,645 | 7,048 | ||
8% 3/1/32 | 3,550 | 4,030 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (f) | 6,345 | 6,059 | ||
| 20,917 | |||
Independent Power Producers & Energy Traders - 0.6% | ||||
Energy Future Holdings Corp.: | ||||
10% 1/15/20 (f) | 3,415 | 3,398 | ||
10.875% 11/1/17 | 50,220 | 37,163 | ||
12% 11/1/17 pay-in-kind (i) | 7,432 | 4,680 | ||
Enron Corp.: | ||||
Series A, 8.375% 5/23/05 (b) | 2,500 | 0 | ||
0% 11/17/08 (b)(i) | 684 | 0 | ||
6.4% 7/15/06 (b) | 9,815 | 0 | ||
6.625% 11/15/05 (b) | 2,200 | 0 | ||
6.75% 8/1/09 (b) | 550 | 0 | ||
6.875% 10/15/07 (b) | 1,330 | 0 | ||
6.95% 7/15/28 (b) | 1,204 | 0 | ||
7.125% 5/15/07 (b) | 235 | 0 | ||
7.375% 5/15/19 (b) | 1,400 | 0 | ||
7.875% 6/15/03 (b) | 235 | 0 | ||
9.125% 4/1/03 (b) | 50 | 0 | ||
9.875% 6/5/03 (b) | 4,720 | 0 | ||
Power Sector Assets and Liabilities Management Corp.: | ||||
7.25% 5/27/19 (f) | 2,795 | 3,085 | ||
7.39% 12/2/24 (f) | 2,880 | 3,150 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (f) | 963 | 924 | ||
| 52,400 | |||
Multi-Utilities - 0.3% | ||||
Aquila, Inc. 11.875% 7/1/12 (i) | 1,615 | 1,860 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
NiSource Finance Corp. 10.75% 3/15/16 | $ 18,183 | $ 23,313 | ||
Utilicorp United, Inc. 7.95% 2/1/11 (e) | 39 | 40 | ||
| 25,213 | |||
TOTAL UTILITIES | 136,711 | |||
TOTAL NONCONVERTIBLE BONDS | 2,793,494 | |||
TOTAL CORPORATE BONDS (Cost $2,768,415) | 2,895,873 | |||
U.S. Government and Government Agency Obligations - 23.8% | ||||
| ||||
U.S. Government Agency Obligations - 3.7% | ||||
Fannie Mae: | ||||
1.125% 7/30/12 | 41,420 | 41,703 | ||
1.25% 6/22/12 | 87,210 | 88,058 | ||
Federal Home Loan Bank: | ||||
1.5% 1/16/13 | 15,290 | 15,487 | ||
1.875% 6/21/13 | 36,440 | 37,169 | ||
3.625% 10/18/13 | 8,705 | 9,327 | ||
Freddie Mac: | ||||
1.625% 4/15/13 | 20,000 | 20,308 | ||
1.75% 6/15/12 | 73,924 | 75,389 | ||
4.125% 12/21/12 | 4,080 | 4,405 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23 | 11,210 | 13,122 | ||
Private Export Funding Corp. secured: | ||||
4.974% 8/15/13 | 1,515 | 1,680 | ||
5.685% 5/15/12 | 1,285 | 1,403 | ||
Small Business Administration guaranteed development participation certificates Series 2003-P10B, Class 1 5.136% 8/10/13 | 348 | 368 | ||
Tennessee Valley Authority 5.25% 9/15/39 | 5,600 | 6,109 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 314,528 | |||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Treasury Obligations - 17.8% | ||||
U.S. Treasury Bonds: | ||||
3.5% 2/15/39 | $ 69,782 | $ 64,974 | ||
4.25% 5/15/39 | 23,717 | 25,136 | ||
4.375% 5/15/40 | 34,272 | 37,158 | ||
4.5% 5/15/38 | 7,550 | 8,346 | ||
4.5% 8/15/39 | 16,300 | 17,996 | ||
5.25% 2/15/29 | 31,710 | 38,215 | ||
6.125% 8/15/29 | 9,487 | 12,621 | ||
6.25% 8/15/23 | 36,125 | 46,867 | ||
7.5% 11/15/16 | 2,850 | 3,736 | ||
7.5% 11/15/24 | 10,690 | 15,521 | ||
7.875% 2/15/21 | 6,800 | 9,742 | ||
8% 11/15/21 | 11,000 | 16,010 | ||
8.125% 5/15/21 | 9,286 | 13,550 | ||
9.875% 11/15/15 | 11,595 | 16,305 | ||
U.S. Treasury Notes: | ||||
0.75% 11/30/11 | 14,414 | 14,470 | ||
0.75% 5/31/12 | 56,030 | 56,201 | ||
0.875% 1/31/12 | 26,518 | 26,662 | ||
1% 9/30/11 | 12,000 | 12,083 | ||
1% 12/31/11 | 22,619 | 22,787 | ||
1% 4/30/12 | 6,468 | 6,518 | ||
1.375% 11/15/12 | 7,986 | 8,102 | ||
1.375% 2/15/13 | 82,848 | 83,955 | ||
1.5% 12/31/13 | 4,313 | 4,350 | ||
1.75% 4/15/13 | 36,755 | 37,596 | ||
1.875% 4/30/14 | 28,912 | 29,443 | ||
1.875% 6/30/15 | 19,907 | 19,993 | ||
2.375% 8/31/14 | 13,000 | 13,444 | ||
2.375% 9/30/14 | 24,851 | 25,676 | ||
2.375% 10/31/14 | 10,038 | 10,360 | ||
2.5% 3/31/15 | 120,549 | 124,950 | ||
2.5% 4/30/15 | 70,378 | 72,902 | ||
2.625% 6/30/14 | 39,248 | 41,042 | ||
2.625% 7/31/14 | 66,965 | 69,994 | ||
2.625% 4/30/16 | 3,137 | 3,225 | ||
2.75% 11/30/16 | 10,000 | 10,259 | ||
2.75% 2/15/19 | 23,501 | 23,433 | ||
3% 9/30/16 | 37,355 | 38,975 | ||
3% 2/28/17 | 66,584 | 69,164 | ||
3.125% 8/31/13 | 11,100 | 11,816 | ||
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 | $ 36,816 | ||
3.125% 10/31/16 | 41,816 | 43,894 | ||
3.125% 1/31/17 | 30,990 | 32,433 | ||
3.125% 5/15/19 | 52,907 | 54,060 | ||
3.375% 6/30/13 | 8,470 | 9,079 | ||
3.5% 5/15/20 | 24,382 | 25,544 | ||
3.625% 8/15/19 | 18,531 | 19,612 | ||
3.625% 2/15/20 | 19,848 | 20,991 | ||
3.75% 11/15/18 | 34,582 | 37,295 | ||
3.875% 5/15/18 | 2,550 | 2,789 | ||
4% 8/15/18 | 5,478 | 6,030 | ||
4.25% 11/15/17 | 28,890 | 32,476 | ||
4.5% 5/15/17 | 13,745 | 15,648 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 1,500,244 | |||
Other Government Related - 2.3% | ||||
Bank of America Corp.: | ||||
2.1% 4/30/12 (FDIC Guaranteed) (g) | 3,013 | 3,086 | ||
3.125% 6/15/12 (FDIC Guaranteed) (g) | 45 | 47 | ||
Citibank NA: | ||||
1.75% 12/28/12 (FDIC Guaranteed) (g) | 15,000 | 15,271 | ||
1.875% 5/7/12 (FDIC Guaranteed) (g) | 18,000 | 18,375 | ||
Citigroup Funding, Inc.: | ||||
1.875% 10/22/12 (FDIC Guaranteed) (g) | 29,000 | 29,616 | ||
1.875% 11/15/12 (FDIC Guaranteed) (g) | 6,937 | 7,085 | ||
2% 3/30/12 (FDIC Guaranteed) (g) | 10,000 | 10,210 | ||
2.125% 7/12/12 (FDIC Guaranteed) (g) | 2,505 | 2,570 | ||
General Electric Capital Corp.: | ||||
1.8% 3/11/11 (FDIC Guaranteed) (g) | 12,000 | 12,116 | ||
2% 9/28/12 (FDIC Guaranteed) (g) | 19,526 | 19,997 | ||
2.125% 12/21/12 (FDIC Guaranteed) (g) | 15,000 | 15,425 | ||
2.625% 12/28/12 (FDIC Guaranteed) (g) | 5,402 | 5,615 | ||
3% 12/9/11 (FDIC Guaranteed) (g) | 3,120 | 3,223 | ||
GMAC, Inc. 1.75% 10/30/12 (FDIC Guaranteed) (g) | 21,000 | 21,369 | ||
Goldman Sachs Group, Inc. 3.25% 6/15/12 (FDIC Guaranteed) (g) | 45 | 47 | ||
JPMorgan Chase & Co.: | ||||
2.125% 6/22/12 (FDIC Guaranteed) (g) | 5,240 | 5,376 | ||
2.2% 6/15/12 (FDIC Guaranteed) (g) | 5,230 | 5,375 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Other Government Related - continued | ||||
JPMorgan Chase & Co.: - continued | ||||
3.125% 12/1/11 (FDIC Guaranteed) (g) | $ 520 | $ 538 | ||
Morgan Stanley 3.25% 12/1/11 (FDIC Guaranteed) (g) | 21,887 | 22,680 | ||
TOTAL OTHER GOVERNMENT RELATED | 198,021 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,951,430) | 2,012,793 | |||
U.S. Government Agency - Mortgage Securities - 2.3% | ||||
| ||||
Fannie Mae - 0.9% | ||||
1.953% 9/1/33 (i) | 933 | 959 | ||
1.985% 4/1/36 (i) | 174 | 179 | ||
2.032% 10/1/34 (i) | 1,341 | 1,383 | ||
2.062% 11/1/35 (i) | 877 | 901 | ||
2.073% 2/1/35 (i) | 3,630 | 3,733 | ||
2.09% 7/1/35 (i) | 660 | 685 | ||
2.73% 11/1/33 (i) | 207 | 216 | ||
2.731% 5/1/35 (i) | 1,540 | 1,619 | ||
2.805% 7/1/35 (i) | 604 | 629 | ||
2.889% 2/1/35 (i) | 2,537 | 2,650 | ||
2.963% 3/1/33 (i) | 277 | 290 | ||
2.989% 10/1/35 (i) | 171 | 177 | ||
2.99% 11/1/36 (i) | 91 | 96 | ||
3.018% 1/1/35 (i) | 480 | 500 | ||
3.079% 3/1/35 (i) | 17,193 | 18,110 | ||
3.079% 7/1/35 (i) | 445 | 465 | ||
3.213% 7/1/35 (i) | 834 | 858 | ||
3.221% 7/1/35 (i) | 1,324 | 1,380 | ||
3.26% 9/1/34 (i) | 804 | 834 | ||
3.278% 4/1/36 (i) | 659 | 691 | ||
3.391% 4/1/35 (i) | 1,151 | 1,203 | ||
3.542% 2/1/37 (i) | 1,543 | 1,612 | ||
3.546% 2/1/40 (i) | 18,187 | 18,948 | ||
3.564% 11/1/36 (i) | 497 | 519 | ||
3.6% 6/1/47 (i) | 330 | 345 | ||
3.697% 6/1/36 (i) | 93 | 97 | ||
3.863% 9/1/35 (i) | 1,610 | 1,681 | ||
3.876% 5/1/35 (i) | 633 | 661 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Fannie Mae - continued | ||||
3.882% 9/1/36 (i) | $ 635 | $ 663 | ||
3.95% 10/1/37 (i) | 574 | 600 | ||
4% 9/1/13 | 358 | 368 | ||
4.031% 8/1/35 (i) | 1,576 | 1,664 | ||
4.162% 10/1/35 (i) | 2,826 | 2,938 | ||
4.777% 7/1/35 (i) | 592 | 617 | ||
5% 1/1/14 to 5/1/22 | 188 | 199 | ||
5.032% 2/1/34 (i) | 794 | 834 | ||
5.5% 5/1/15 to 7/1/40 | 810 | 869 | ||
5.544% 2/1/36 (i) | 195 | 205 | ||
5.571% 4/1/36 (i) | 1,182 | 1,238 | ||
5.707% 9/1/35 (i) | 1,139 | 1,203 | ||
5.738% 5/1/36 (i) | 256 | 269 | ||
5.883% 4/1/36 (i) | 2,946 | 3,056 | ||
6% 6/1/16 to 10/1/16 | 217 | 235 | ||
6.074% 3/1/37 (i) | 214 | 228 | ||
6.5% 12/1/12 to 9/1/32 | 3,012 | 3,324 | ||
7.5% 1/1/28 | 79 | 90 | ||
TOTAL FANNIE MAE | 80,021 | |||
Freddie Mac - 0.4% | ||||
1.791% 3/1/37 (i) | 1,182 | 1,210 | ||
1.866% 5/1/37 (i) | 204 | 210 | ||
1.903% 3/1/35 (i) | 344 | 352 | ||
2.54% 6/1/33 (i) | 555 | 576 | ||
2.613% 12/1/33 (i) | 1,115 | 1,163 | ||
2.624% 5/1/37 (i) | 1,174 | 1,224 | ||
2.994% 5/1/35 (i) | 1,083 | 1,131 | ||
3.026% 5/1/37 (i) | 1,787 | 1,870 | ||
3.086% 4/1/37 (i) | 220 | 230 | ||
3.097% 10/1/35 (i) | 729 | 759 | ||
3.188% 1/1/35 (i) | 1,432 | 1,499 | ||
3.269% 1/1/36 (i) | 1,431 | 1,505 | ||
3.392% 3/1/37 (i) | 215 | 222 | ||
3.395% 7/1/35 (i) | 632 | 658 | ||
3.558% 10/1/36 (i) | 762 | 791 | ||
3.95% 12/1/36 (i) | 2,702 | 2,825 | ||
4.021% 5/1/37 (i) | 163 | 171 | ||
4.221% 4/1/34 (i) | 5,081 | 5,250 | ||
4.439% 2/1/36 (i) | 135 | 142 | ||
4.5% 8/1/33 | 546 | 571 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Freddie Mac - continued | ||||
4.744% 4/1/35 (i) | $ 1,424 | $ 1,505 | ||
5.046% 1/1/37 (i) | 886 | 935 | ||
5.06% 9/1/35 (i) | 320 | 334 | ||
5.09% 7/1/35 (i) | 380 | 399 | ||
5.138% 4/1/35 (i) | 57 | 60 | ||
5.252% 2/1/36 (i) | 38 | 40 | ||
5.462% 6/1/37 (i) | 500 | 521 | ||
5.515% 1/1/36 (i) | 471 | 492 | ||
5.515% 1/1/36 (i) | 146 | 151 | ||
5.549% 3/1/36 (i) | 1,909 | 1,989 | ||
5.554% 10/1/35 (i) | 95 | 100 | ||
6.009% 6/1/37 (i) | 65 | 69 | ||
6.122% 7/1/36 (i) | 264 | 278 | ||
6.157% 6/1/37 (i) | 167 | 176 | ||
6.23% 8/1/37 (i) | 470 | 500 | ||
6.458% 2/1/37 (i) | 151 | 159 | ||
6.5% 10/1/10 to 3/1/22 | 4,184 | 4,505 | ||
7.22% 4/1/37 (i) | 9 | 9 | ||
8.5% 3/1/20 | 5 | 6 | ||
TOTAL FREDDIE MAC | 34,587 | |||
Government National Mortgage Association - 1.0% | ||||
5.492% 4/20/60 (m) | 8,890 | 9,854 | ||
5.5% 1/20/60 to 3/20/60 (m) | 51,583 | 57,072 | ||
5.691% 10/20/59 (m) | 13,149 | 14,555 | ||
7% 9/15/25 to 8/15/31 | 55 | 61 | ||
7.5% 2/15/22 to 8/15/28 | 102 | 115 | ||
8% 9/15/26 to 12/15/26 | 10 | 12 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 81,669 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $191,308) | 196,277 | |||
Asset-Backed Securities - 0.1% | ||||
| ||||
Amstel Corp. Loan Offering BV Series 2007-1 Class B, 1.009% 3/25/17 (i) | EUR | 1,009 | 1,073 | |
Auto ABS Compartiment Series 2006-1 Class B, 0.894% 7/25/17 (i) | EUR | 500 | 585 | |
Asset-Backed Securities - continued | ||||
| Principal | Value (000s) | ||
Clock Finance BV Series 2007-1: | ||||
Class B2, 0.915% 2/25/15 (i) | EUR | 700 | $ 735 | |
Class C2, 1.095% 2/25/15 (i) | EUR | 400 | 366 | |
Geldilux Ltd. Series 2007-TS Class C, 1.138% 9/8/14 (i) | EUR | 400 | 381 | |
Lambda Finance BV Series 2007-1X Class A2, 0.889% 9/20/31 (i) | EUR | 379 | 440 | |
Leek Finance PLC: | ||||
Series 17X Class A2A, 0.7875% 12/21/37 (i) | GBP | 182 | 265 | |
Series 18X Class BC, 1.129% 9/21/38 (i) | EUR | 600 | 625 | |
Promise K 2006-1 GmbH Series I 2006-1 Class D, 1.383% 3/10/17 (i) | EUR | 1,000 | 289 | |
Tesco Property Finance 2 PLC 6.0517% 10/13/39 | GBP | 3,539 | 5,669 | |
Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27 | GBP | 60 | 73 | |
TOTAL ASSET-BACKED SECURITIES (Cost $12,885) | 10,501 | |||
Collateralized Mortgage Obligations - 1.5% | ||||
| ||||
Private Sponsor - 0.0% | ||||
Arkle Master Issuer PLC floater Series 2006-1X Class 5M1, 0.953% 2/17/52 (i) | EUR | 800 | 930 | |
Granite Mortgages PLC 0.9675% 3/20/44 (i) | GBP | 290 | 399 | |
Shield BV Series 1 Class C, 1.034% 1/20/14 (i) | EUR | 900 | 1,045 | |
TOTAL PRIVATE SPONSOR | 2,374 | |||
U.S. Government Agency - 1.5% | ||||
Fannie Mae: | ||||
floater Series 2006-56 Class PF, 0.6972% 7/25/36 (i) | 7,371 | 7,339 | ||
Series 2006-127 Class FD, 0.6272% 7/25/36 (i) | 6,814 | 6,762 | ||
Series 2006-44 Class FK, 0.7772% 6/25/36 (i) | 2,595 | 2,590 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2005-56 Class F, 0.6372% 7/25/35 (i) | 9,775 | 9,683 | ||
Series 2006-50 Class BF, 0.7472% 6/25/36 (i) | 7,729 | 7,702 | ||
Series 2006-79 Class PF, 0.7472% 8/25/36 (i) | 5,052 | 5,024 | ||
planned amortization class: | ||||
Series 2002-9 Class PC, 6% 3/25/17 | 124 | 134 | ||
Series 2003-113 Class PE, 4% 11/25/18 | 1,515 | 1,610 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 890 | 974 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - continued | ||||
Fannie Mae subordinate REMIC pass-thru certificates: - continued | ||||
planned amortization class: | ||||
Series 2003-85 Class GD, 4.5% 9/25/18 | $ 3,190 | $ 3,454 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 1,980 | 2,090 | ||
Series 2004-81 Class KD, 4.5% 7/25/18 | 3,035 | 3,260 | ||
Series 2005-52 Class PB, 6.5% 12/25/34 | 1,688 | 1,829 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 430 | 472 | ||
Series 2004-95 Class AN, 5.5% 1/25/25 | 1,417 | 1,534 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 808 | 867 | ||
Series 2005-29 Class KA, 4.5% 2/25/35 | 1,990 | 2,113 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 2,480 | 2,845 | ||
Series 2003-79 Class FC, 0.7972% 8/25/33 (i) | 5,384 | 5,384 | ||
Series 2008-76 Class EF, 0.8472% 9/25/23 (i) | 2,060 | 2,059 | ||
Freddie Mac planned amortization class: | ||||
Series 2101 Class PD, 6% 11/15/28 | 246 | 271 | ||
Series 2115 Class PE, 6% 1/15/14 | 71 | 75 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2577 Class FW, 0.8497% 1/15/30 (i) | 1,147 | 1,148 | ||
Series 2630 Class FL, 0.8497% 6/15/18 (i) | 104 | 106 | ||
Series 3346 Class FA, 0.5797% 2/15/19 (i) | 9,072 | 9,077 | ||
planned amortization class: | ||||
Series 2376 Class JE, 5.5% 11/15/16 | 469 | 508 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 340 | 368 | ||
Series 2425 Class JH, 6% 3/15/17 | 607 | 661 | ||
Series 2628 Class OE, 4.5% 6/15/18 | 1,630 | 1,777 | ||
Series 2695 Class DG, 4% 10/15/18 | 3,865 | 4,117 | ||
Series 2831 Class PB, 5% 7/15/19 | 3,990 | 4,401 | ||
Series 2866 Class XE, 4% 12/15/18 | 5,780 | 6,079 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 575 | 633 | ||
Series 3122 Class FE, 0.6497% 3/15/36 (i) | 6,779 | 6,758 | ||
Series 3147 Class PF, 0.6497% 4/15/36 (i) | 5,687 | 5,661 | ||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | 683 | 750 | ||
Series 2570 Class CU, 4.5% 7/15/17 | 140 | 146 | ||
Series 2572 Class HK, 4% 2/15/17 | 162 | 166 | ||
Series 2627: | ||||
Class BG, 3.25% 6/15/17 | 105 | 108 | ||
Class KP, 2.87% 12/15/16 | 87 | 90 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
sequential payer: | ||||
Series 2668 Class AZ, 4% 9/15/18 | $ 3,273 | $ 3,534 | ||
Series 2860 Class CP, 4% 10/15/17 | 125 | 128 | ||
Series 2715 Class NG, 4.5% 12/15/18 | 2,155 | 2,347 | ||
Series 2863 Class DB, 4% 9/15/14 | 174 | 178 | ||
Ginnie Mae guaranteed REMIC pass-thru securities: | ||||
floater 0.6475% 1/20/31 (i) | 3,717 | 3,721 | ||
Series 2003-42 Class FH, 0.7975% 5/20/33 (i) | 1,433 | 1,437 | ||
Series 2004-59 Class FC, 0.6497% 8/16/34 (i) | 2,815 | 2,805 | ||
0.6813% 8/1/60 (h)(i)(m) | 2,276 | 2,276 | ||
TOTAL U.S. GOVERNMENT AGENCY | 127,051 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $125,315) | 129,425 | |||
Commercial Mortgage Securities - 0.1% | ||||
| ||||
Bruntwood Alpha PLC Series 2007-1 Class A, 0.81% 1/15/17 (i) | GBP | 500 | 635 | |
Canary Wharf Finance II PLC Series 3MUK Class C2, 1.1644% 10/22/37 (i) | GBP | 1,000 | 822 | |
Enterprise Inns PLC 6.5% 12/6/18 | GBP | 785 | 950 | |
European Property Capital 4 PLC Class C, 0.9347% 7/20/14 (i) | GBP | 297 | 302 | |
FCC Proudreed Properties Class A, 0.914% 8/18/17 (i) | EUR | 505 | 522 | |
German Residential Asset Note Distributor PLC Series 1 Class A, 0.884% 7/20/16 (i) | EUR | 1,253 | 1,280 | |
London & Regional Debt Securitisation No. 1 PLC Class A, 0.8609% 10/15/14 (i) | GBP | 650 | 845 | |
Opera Finance (CMH) PLC Class B, 0.944% 1/15/15 (i) | EUR | 800 | 597 | |
REC Plantation Place Ltd. Series 5 Class A, 0.8938% 7/25/16 (Reg. S) (i) | GBP | 876 | 1,113 | |
Silver Maple Investment Co. Ltd. Class 2A, 0.814% 4/30/14 (i) | EUR | 700 | 803 | |
Skyline BV Series 2007-1 Class D, 1.452% 7/22/43 (i) | EUR | 1,100 | 724 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $12,275) | 8,593 | |||
Foreign Government and Government Agency Obligations - 22.0% | ||||
| Principal | Value (000s) | ||
Arab Republic of Egypt: | ||||
5.75% 4/29/20 (f) | $ 3,190 | $ 3,206 | ||
6.875% 4/30/40 (f) | 1,895 | 1,838 | ||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 9,802 | 6,592 | ||
par 2.5% 12/31/38 (e) | 7,920 | 2,812 | ||
0.389% 8/3/12 (i) | 3,746 | 3,442 | ||
7% 3/28/11 | 118,815 | 117,145 | ||
7% 9/12/13 | 82,325 | 71,650 | ||
Bahamian Republic 6.95% 11/20/29 (f) | 3,095 | 3,095 | ||
Banco Central del Uruguay: | ||||
value recovery A rights 1/2/21 (l) | 1,000,000 | 0 | ||
value recovery B rights 1/2/21 (l) | 750,000 | 0 | ||
Barbados Government 7.25% 12/15/21 (f) | 3,491 | 3,700 | ||
Brazilian Federative Republic: | ||||
6% 9/15/13 | 992 | 1,039 | ||
8.25% 1/20/34 | 2,095 | 2,765 | ||
8.75% 2/4/25 | 2,310 | 3,130 | ||
11% 8/17/40 | 8,770 | 11,774 | ||
12.25% 3/6/30 | 3,235 | 5,661 | ||
12.5% 1/5/22 | BRL | 9,215 | 5,779 | |
Canadian Government: | ||||
2.5% 6/1/15 | CAD | 93,800 | 88,817 | |
3.5% 6/1/20 | CAD | 66,650 | 64,819 | |
5% 6/1/37 | CAD | 24,700 | 28,551 | |
Cayman Island Government 5.95% 11/24/19 (f) | 1,855 | 1,855 | ||
Central Bank of Nigeria warrants 11/15/20 (a) | 2,750 | 495 | ||
Colombian Republic: | ||||
7.375% 9/18/37 | 5,300 | 6,214 | ||
10.375% 1/28/33 | 2,220 | 3,219 | ||
11.75% 2/25/20 | 2,235 | 3,313 | ||
Congo Republic 3% 6/30/29 (e) | 16,255 | 8,615 | ||
Croatia Republic 6.75% 11/5/19 (f) | 2,785 | 2,889 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
7.4% 1/22/15 (f) | 2,925 | 3,005 | ||
8.25% 10/24/12 (f) | 4,175 | 4,446 | ||
Dominican Republic: | ||||
1.5704% 8/30/24 (i) | 4,983 | 4,086 | ||
7.5% 5/6/21 (f) | 4,405 | 4,537 | ||
9.04% 1/23/18 (f) | 3,793 | 4,210 | ||
Ecuador Republic 5% 2/28/25 | 1,580 | 1,011 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
El Salvador Republic: | ||||
7.375% 12/1/19 (f) | $ 1,865 | $ 2,033 | ||
7.65% 6/15/35 (Reg. S) | 3,285 | 3,482 | ||
7.75% 1/24/23 (Reg. S) | 1,900 | 2,081 | ||
8.25% 4/10/32 (Reg. S) | 1,435 | 1,579 | ||
Finnish Government 3.375% 4/15/20 | EUR | 6,150 | 7,854 | |
French Republic: | ||||
OAT: | ||||
3.5% 4/25/20 | EUR | 53,700 | 68,034 | |
4.5% 4/25/41 | EUR | 16,900 | 23,573 | |
2% 7/12/15 | EUR | 45,800 | 56,045 | |
4% 4/25/60 | EUR | 5,750 | 7,523 | |
Gabonese Republic 8.2% 12/12/17 (f) | 5,400 | 5,731 | ||
Georgia Republic 7.5% 4/15/13 | 5,810 | 6,013 | ||
German Federal Republic: | ||||
1.25% 9/16/11 | EUR | 450 | 555 | |
2.25% 4/10/15 | EUR | 55,450 | 70,266 | |
3% 7/4/20 | EUR | 32,935 | 41,811 | |
3.5% 4/8/11 | EUR | 21,100 | 26,400 | |
4.75% 7/4/40 | EUR | 23,000 | 35,980 | |
Ghana Republic: | ||||
8.5% 10/4/17 (f) | 5,945 | 6,242 | ||
14.99% 3/11/13 | GHS | 2,630 | 1,802 | |
Hungarian Republic 6.25% 1/29/20 | 3,965 | 3,886 | ||
Indonesian Republic: | ||||
5.875% 3/13/20 (f) | 6,015 | 6,339 | ||
6.625% 2/17/37 (f) | 4,700 | 4,935 | ||
6.875% 3/9/17 (f) | 2,845 | 3,208 | ||
6.875% 1/17/18 (f) | 5,385 | 6,072 | ||
7.75% 1/17/38 (f) | 4,510 | 5,322 | ||
8.5% 10/12/35 (Reg. S) | 4,790 | 6,035 | ||
11.625% 3/4/19 (f) | 4,145 | 5,948 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (f) | 12,840 | 11,941 | ||
Italian Republic: | ||||
3.5% 6/1/14 | EUR | 29,100 | 36,549 | |
3.75% 8/1/15 | EUR | 21,150 | 26,740 | |
4% 9/1/20 | EUR | 24,200 | 29,409 | |
4.25% 8/1/13 | EUR | 15,750 | 20,244 | |
4.25% 3/1/20 | EUR | 30,350 | 37,721 | |
5% 9/1/40 | EUR | 24,500 | 29,836 | |
Japan Government: | ||||
0.4% 5/15/11 | JPY | 8,733,200 | 99,011 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Japan Government: - continued | ||||
1.3% 6/20/20 | JPY | 3,375,000 | $ 38,941 | |
2.1% 9/20/29 | JPY | 2,550,000 | 30,189 | |
2.2% 9/20/39 | JPY | 2,115,000 | 25,322 | |
Lithuanian Republic: | ||||
6.75% 1/15/15 (f) | 2,895 | 3,028 | ||
7.375% 2/11/20 (f) | 3,680 | 3,860 | ||
Ontario Province 4.4% 6/2/19 | CAD | 9,900 | 9,671 | |
Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (f) | 2,160 | 2,511 | ||
Peruvian Republic: | ||||
3% 3/7/27 (e) | 900 | 745 | ||
7.35% 7/21/25 | 2,635 | 3,158 | ||
Philippine Republic: | ||||
6.5% 1/20/20 | 2,960 | 3,256 | ||
9.5% 2/2/30 | 2,140 | 2,894 | ||
10.625% 3/16/25 | 2,040 | 2,943 | ||
Polish Government 5% 10/19/15 | 1,165 | 1,225 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 9,225 | 7,472 | ||
Republic of Serbia 6.75% 11/1/24 (f) | 19,464 | 18,637 | ||
Russian Federation: | ||||
3.625% 4/29/15 (f) | 1,600 | 1,550 | ||
5% 4/29/20 (f) | 8,000 | 7,750 | ||
7.5% 3/31/30 (Reg. S) | 62,146 | 70,147 | ||
12.75% 6/24/28 (Reg. S) | 8,740 | 14,640 | ||
Turkish Republic: | ||||
5.625% 3/30/21 | 3,170 | 3,130 | ||
6.75% 4/3/18 | 5,860 | 6,417 | ||
6.75% 5/30/40 | 4,395 | 4,408 | ||
6.875% 3/17/36 | 12,320 | 12,720 | ||
7% 9/26/16 | 7,190 | 8,008 | ||
7.25% 3/15/15 | 1,000 | 1,118 | ||
7.25% 3/5/38 | 8,050 | 8,634 | ||
7.375% 2/5/25 | 13,955 | 15,683 | ||
7.5% 7/14/17 | 7,085 | 8,077 | ||
11.875% 1/15/30 | 2,570 | 4,154 | ||
UK Treasury GILT: | ||||
2.75% 1/22/15 | GBP | 13,200 | 20,299 | |
4% 9/7/16 | GBP | 420 | 680 | |
4.25% 12/7/40 | GBP | 28,850 | 43,570 | |
4.5% 9/7/34 | GBP | 39,580 | 61,849 | |
4.75% 3/7/20 | GBP | 25,325 | 42,173 | |
Ukraine Cabinet of Ministers 6.875% 3/4/11 (Reg. S) | 18,725 | 18,725 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Ukraine Government: | ||||
6.385% 6/26/12 (f) | $ 1,845 | $ 1,827 | ||
6.75% 11/14/17 (f) | 5,725 | 5,310 | ||
United Mexican States: | ||||
5.125% 1/15/20 | 3,170 | 3,321 | ||
5.625% 1/15/17 | 3,328 | 3,661 | ||
6.05% 1/11/40 | 3,180 | 3,355 | ||
7.5% 4/8/33 | 1,770 | 2,213 | ||
8.3% 8/15/31 | 1,710 | 2,300 | ||
Uruguay Republic: | ||||
6.875% 9/28/25 | 1,675 | 1,868 | ||
8% 11/18/22 | 7,512 | 9,051 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (l) | 3,260 | 82 | ||
1.3072% 4/20/11 (Reg. S) (i) | 36,605 | 33,860 | ||
5.375% 8/7/10 (Reg. S) | 28,542 | 28,328 | ||
7% 3/31/38 | 4,180 | 2,195 | ||
8.5% 10/8/14 | 5,905 | 4,606 | ||
9% 5/7/23 (Reg. S) | 20,260 | 12,561 | ||
9.25% 9/15/27 | 13,370 | 9,192 | ||
9.375% 1/13/34 | 4,855 | 3,034 | ||
10.75% 9/19/13 | 15,498 | 13,638 | ||
13.625% 8/15/18 | 17,330 | 15,164 | ||
Vietnamese Socialist Republic: | ||||
1.2103% 3/12/16 (i) | 1,672 | 1,488 | ||
4% 3/12/28 (e) | 11,700 | 9,594 | ||
6.75% 1/29/20 (f) | 4,150 | 4,275 | ||
6.875% 1/15/16 (f) | 2,565 | 2,725 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,802,695) | 1,855,142 | |||
Supranational Obligations - 0.1% | ||||
| ||||
Eurasian Development Bank 7.375% 9/29/14 (f) | 5,370 | 5,571 | ||
European Investment Bank 11.25% 12/2/11 (f) | ZMK | 11,600,000 | 2,331 | |
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $7,911) | 7,902 |
Common Stocks - 1.0% | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.3% | |||
Auto Components - 0.0% | |||
Intermet Corp. (a)(n) | 113,725 | $ 0 | |
Remy International, Inc. (a) | 40,800 | 408 | |
Media - 0.3% | |||
Charter Communications, Inc. Class A (a) | 102,806 | 3,629 | |
Haights Cross Communications, Inc. (a) | 8,267 | 61 | |
Haights Cross Communications, Inc. warrants 3/11/13 (a) | 11,481 | 32 | |
HMH Holdings, Inc. (a)(n) | 2,590,144 | 14,893 | |
HMH Holdings, Inc. warrants 3/9/17 (a) | 636,272 | 318 | |
RDA Holding Co. (a) | 262,974 | 5,259 | |
RDA Holding Co. warrants 2/19/14 (a)(n) | 9,559 | 0 | |
SuperMedia, Inc. (a) | 7,045 | 129 | |
Virgin Media, Inc. warrants 1/10/11 (a) | 6 | 0 | |
| 24,321 | ||
TOTAL CONSUMER DISCRETIONARY | 24,729 | ||
INDUSTRIALS - 0.3% | |||
Aerospace & Defense - 0.0% | |||
Alion Science & Technology Corp. warrants 3/15/17 (a) | 1,430 | 7 | |
Airlines - 0.1% | |||
Delta Air Lines, Inc. (a) | 811,153 | 9,531 | |
Building Products - 0.2% | |||
Nortek, Inc. (a) | 266,722 | 11,202 | |
Nortek, Inc. warrants 12/7/14 (a) | 7,154 | 15 | |
| 11,217 | ||
Marine - 0.0% | |||
US Shipping Partners Corp. (a) | 12,063 | 0 | |
US Shipping Partners Corp. warrants 12/31/29 (a) | 112,939 | 0 | |
TOTAL INDUSTRIALS | 20,755 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
ASAT Holdings Ltd. warrants 2/1/11 (a)(n) | 546,000 | 0 | |
MagnaChip Semiconductor LLC (a) | 392,246 | 55 | |
Spansion, Inc. Class A (a) | 185,206 | 3,021 | |
| 3,076 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
MATERIALS - 0.4% | |||
Chemicals - 0.3% | |||
Celanese Corp. Class A | 8,316 | $ 207 | |
Georgia Gulf Corp. (a) | 591,147 | 7,886 | |
LyondellBasell Industries NV: | |||
Class A (a) | 468,693 | 7,569 | |
Class B (a) | 429,456 | 6,936 | |
| 22,598 | ||
Containers & Packaging - 0.1% | |||
Constar International, Inc. (a) | 25,200 | 198 | |
Smurfit-Stone Container Enterprises, Inc. (a) | 316,306 | 7,829 | |
| 8,027 | ||
Metals & Mining - 0.0% | |||
Aleris International, Inc. (a)(n) | 38,307 | 1,341 | |
Rathgibson Acquisition Co. LLC Class A (a)(n) | 286,500 | 2,666 | |
| 4,007 | ||
TOTAL MATERIALS | 34,632 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | 133 | |
TOTAL COMMON STOCKS (Cost $121,261) | 83,325 | ||
Preferred Stocks - 0.2% | |||
|
|
|
|
Convertible Preferred Stocks - 0.0% | |||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Chesapeake Energy Corp. 4.50% | 7,500 | 573 | |
Nonconvertible Preferred Stocks - 0.2% | |||
FINANCIALS - 0.2% | |||
Diversified Financial Services - 0.2% | |||
GMAC, Inc. 7.00% (f) | 21,976 | 17,031 | |
Preferred Stocks - continued | |||
Shares | Value (000s) | ||
Nonconvertible Preferred Stocks - continued | |||
TELECOMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
PTV, Inc. Series A, 10.00% (a) | 119 | $ 0* | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 17,031 | ||
TOTAL PREFERRED STOCKS (Cost $12,183) | 17,604 |
Floating Rate Loans - 5.4% | ||||
| Principal |
| ||
CONSUMER DISCRETIONARY - 1.6% | ||||
Auto Components - 0.3% | ||||
Visteon Corp. term loan 4.426% 6/13/13 (b)(i) | $ 20,095 | 21,502 | ||
Automobiles - 0.0% | ||||
AM General LLC: | ||||
Credit-Linked Deposit 3.3472% 9/30/12 (i) | 37 | 33 | ||
Tranche B, term loan 3.4472% 9/30/13 (i) | 700 | 616 | ||
| 649 | |||
Diversified Consumer Services - 0.2% | ||||
ServiceMaster Co.: | ||||
term loan 2.8946% 7/24/14 (i) | 6,299 | 5,732 | ||
Tranche DD, term loan 2.85% 7/24/14 (i) | 649 | 590 | ||
Thomson Learning Tranche B, term loan 3.03% 7/5/14 (i) | 12,770 | 10,982 | ||
| 17,304 | |||
Hotels, Restaurants & Leisure - 0.0% | ||||
Green Valley Ranch Gaming LLC Tranche 1LN, term loan 2.2602% 2/16/14 (b)(i) | 140 | 105 | ||
Las Vegas Sands LLC: | ||||
term loan 2.1% 5/23/14 (i) | 145 | 128 | ||
Tranche B, term loan 2.05% 5/23/14 (i) | 717 | 634 | ||
OSI Restaurant Partners, Inc.: | ||||
Credit-Linked Deposit 2.8202% 6/14/13 (i) | 41 | 35 | ||
term loan 2.8798% 6/14/14 (i) | 421 | 360 | ||
| 1,262 | |||
Media - 0.7% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 2.35% 3/6/14 (i) | 18,601 | 17,230 | ||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Education Media and Publishing Group Ltd. Tranche 1LN, term loan 5.6009% 6/12/14 (i) | $ 25,204 | $ 22,810 | ||
Idearc, Inc. term loan 11% 12/31/15 (i) | 1,422 | 1,223 | ||
Univision Communications, Inc. Tranche 1LN, term loan 2.5972% 9/29/14 (i) | 21,066 | 17,485 | ||
| 58,748 | |||
Specialty Retail - 0.4% | ||||
Burlington Coat Factory Warehouse Corp. term loan 2.6655% 5/28/13 (i) | 6,637 | 6,189 | ||
Michaels Stores, Inc.: | ||||
Tranche B1, term loan 2.7606% 10/31/13 (i) | 9,277 | 8,651 | ||
Tranche B2, term loan 5.0106% 7/31/16 (i) | 21,789 | 20,972 | ||
| 35,812 | |||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Levi Strauss & Co. term loan 2.5972% 4/4/14 (i) | 1,580 | 1,454 | ||
TOTAL CONSUMER DISCRETIONARY | 136,731 | |||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Venoco, Inc. Tranche 2LN, term loan 4.375% 5/7/14 (i) | 379 | 334 | ||
FINANCIALS - 0.8% | ||||
Commercial Banks - 0.1% | ||||
CIT Group, Inc.: | ||||
term loan 13% 1/20/12 (i) | 1,466 | 1,512 | ||
Tranche A, term loan 9.5% 1/20/12 (i) | 7,169 | 7,312 | ||
| 8,824 | |||
Diversified Financial Services - 0.2% | ||||
Clear Channel Capital I LLC Tranche B, term loan 3.9972% 1/29/16 (i) | 14,588 | 11,160 | ||
MGM Holdings II, Inc. Tranche B, term loan 20.5% 4/8/12 (b)(i) | 2,223 | 1,001 | ||
| 12,161 | |||
Real Estate Management & Development - 0.5% | ||||
Realogy Corp.: | ||||
Credit-Linked Deposit 3.2013% 10/10/13 (i) | 3,097 | 2,671 | ||
Tranche 2LN, term loan 13.5% 10/15/17 | 12,670 | 13,177 | ||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Realogy Corp.: - continued | ||||
Tranche B, term loan 3.2915% 10/10/13 (i) | $ 11,504 | $ 9,922 | ||
Tranche DD, term loan 3.2927% 10/10/13 (i) | 21,396 | 17,973 | ||
| 43,743 | |||
TOTAL FINANCIALS | 64,728 | |||
HEALTH CARE - 0.0% | ||||
Pharmaceuticals - 0.0% | ||||
PTS Acquisition Corp. term loan 2.5972% 4/10/14 (i) | 2,043 | 1,808 | ||
INDUSTRIALS - 0.9% | ||||
Aerospace & Defense - 0.0% | ||||
DeCrane Aircraft Holdings, Inc.: | ||||
Tranche 1LN, term loan 6.2878% 2/21/13 (i) | 83 | 78 | ||
Tranche 2LN, term loan 10.5378% 2/21/14 (i) | 140 | 119 | ||
Wesco Aircraft Hardware Corp. Tranche 2LN, term loan 6.1% 3/28/14 (i) | 70 | 67 | ||
| 264 | |||
Airlines - 0.4% | ||||
Delta Air Lines, Inc.: | ||||
Tranche 1LN, term loan 8.75% 9/27/13 (i) | 466 | 468 | ||
Tranche 2LN, term loan 3.5478% 4/30/14 (i) | 10,212 | 9,089 | ||
Northwest Airlines Corp. Tranche A, term loan 2.29% 12/31/18 (i) | 10,303 | 8,449 | ||
United Air Lines, Inc. Tranche B, term loan 2.3572% 2/1/14 (i) | 12,436 | 10,788 | ||
US Airways Group, Inc. term loan 2.8128% 3/23/14 (i) | 8,665 | 6,845 | ||
| 35,639 | |||
Commercial Services & Supplies - 0.1% | ||||
Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 6.45% 2/7/15 (i) | 650 | 569 | ||
International Lease Finance Corp.: | ||||
Tranche 1LN, term loan 6.75% 3/17/15 (i) | 5,740 | 5,683 | ||
Tranche 2LN, term loan 7% 3/17/16 (i) | 4,210 | 4,157 | ||
| 10,409 | |||
Industrial Conglomerates - 0.1% | ||||
Sequa Corp. term loan 3.5651% 12/3/14 (i) | 12,187 | 11,029 | ||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
INDUSTRIALS - continued | ||||
Machinery - 0.1% | ||||
Dresser, Inc. Tranche 2LN, term loan 6.1951% 5/4/15 pay-in-kind (i) | $ 4,050 | $ 3,726 | ||
Road & Rail - 0.2% | ||||
Swift Transportation Co., Inc. term loan 8.25% 5/10/14 (i) | 14,809 | 13,661 | ||
Trading Companies & Distributors - 0.0% | ||||
Neff Corp. Tranche 2LN, term loan 3.7844% 11/30/14 (b)(i) | 810 | 146 | ||
TOTAL INDUSTRIALS | 74,874 | |||
INFORMATION TECHNOLOGY - 0.6% | ||||
Electronic Equipment & Components - 0.1% | ||||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.5528% 10/1/14 (i) | 984 | 912 | ||
Tranche B A2, term loan 2.5972% 10/1/14 (i) | 2,113 | 1,960 | ||
Tranche B A3, term loan 2.6038% 10/1/14 (i) | 2,465 | 2,286 | ||
Tranche B-A, term loan 2.5417% 10/1/14 (i) | 3,423 | 3,175 | ||
Tranche B-B, term loan 2.5409% 10/1/12 (i) | 3,290 | 3,134 | ||
| 11,467 | |||
Semiconductors & Semiconductor Equipment - 0.4% | ||||
Freescale Semiconductor, Inc. term loan 4.6038% 12/1/16 (i) | 22,098 | 19,391 | ||
Spansion, Inc. term loan 7.5% 2/1/15 (i) | 11,631 | 11,485 | ||
| 30,876 | |||
Software - 0.1% | ||||
Kronos, Inc.: | ||||
Tranche 1LN, term loan 2.5334% 6/11/14 (i) | 11,772 | 11,183 | ||
Tranche 2LN, term loan 6.2834% 6/11/15 (i) | 1,790 | 1,665 | ||
Open Solutions, Inc. term loan 2.445% 1/23/14 (i) | 232 | 202 | ||
| 13,050 | |||
TOTAL INFORMATION TECHNOLOGY | 55,393 | |||
MATERIALS - 0.4% | ||||
Chemicals - 0.2% | ||||
Chemtura Corp. term loan 6% 2/1/11 (i) | 1,335 | 1,328 | ||
Momentive Performance Materials, Inc. Tranche B1, term loan 2.625% 12/4/13 (i) | 15,007 | 13,431 | ||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
MATERIALS - continued | ||||
Chemicals - continued | ||||
Tronox Worldwide LLC: | ||||
Tranche B 1LN, term loan 9% 9/20/10 (i) | $ 1,281 | $ 1,298 | ||
Tranche B 2LN, term loan 9% 9/20/10 (i) | 344 | 349 | ||
| 16,406 | |||
Containers & Packaging - 0.2% | ||||
Berry Plastics Holding Corp. Tranche C, term loan 2.3497% 4/3/15 (i) | 16,961 | 15,010 | ||
Metals & Mining - 0.0% | ||||
Aleris International, Inc. Tranche B 1LN, term loan 4.25% 12/19/13 (b)(i) | 633 | 1 | ||
Paper & Forest Products - 0.0% | ||||
White Birch Paper Co.: | ||||
term loan 12% 12/1/10 (i) | 308 | 305 | ||
Tranche 1LN, term loan 7% 5/8/14 (b)(i) | 1,487 | 149 | ||
Tranche DD, term loan 5.884% 12/1/10 (i)(o) | 107 | 106 | ||
| 560 | |||
TOTAL MATERIALS | 31,977 | |||
TELECOMMUNICATION SERVICES - 0.3% | ||||
Diversified Telecommunication Services - 0.1% | ||||
Wind Telecomunicazioni SpA: | ||||
Tranche 2LN, term loan 7.6577% 3/21/15 (i) | 2,840 | 2,826 | ||
Tranche B 1LN, term loan 3.6577% 5/26/13 (i) | 1,280 | 1,254 | ||
Tranche C 1LN, term loan 4.6577% 5/26/14 (i) | 1,280 | 1,254 | ||
| 5,334 | |||
Wireless Telecommunication Services - 0.2% | ||||
Digicel International Finance Ltd. term loan 3.0625% 3/30/12 (i) | 1,272 | 1,221 | ||
Intelsat Jackson Holdings Ltd. term loan 3.2915% 2/1/14 (i) | 17,225 | 15,847 | ||
| 17,068 | |||
TOTAL TELECOMMUNICATION SERVICES | 22,402 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
UTILITIES - 0.8% | ||||
Electric Utilities - 0.8% | ||||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc.: | ||||
Tranche B1, term loan 3.8509% 10/10/14 (i) | $ 25,118 | $ 18,525 | ||
Tranche B2, term loan 3.9754% 10/10/14 (i) | 30,795 | 22,634 | ||
Tranche B3, term loan 3.8509% 10/10/14 (i) | 35,411 | 25,850 | ||
| 67,009 | |||
TOTAL FLOATING RATE LOANS (Cost $412,636) | 455,256 | |||
Sovereign Loan Participations - 0.1% | ||||
| ||||
Indonesian Republic loan participation - Citibank 1.4375% 12/14/19 (i) | 6,864 | 6,040 |
Fixed-Income Funds - 3.3% | |||
Shares |
| ||
Fidelity Floating Rate Central Fund (j) | 2,938,290 | 274,818 | |
Preferred Securities - 0.6% | |||
Principal |
| ||
CONSUMER DISCRETIONARY - 0.4% | |||
Media - 0.4% | |||
Globo Comunicacoes e Participacoes SA 9.375% | $ 16,730 | 17,036 | |
Net Servicos de Comunicacao SA 9.25% (f) | 13,900 | 14,053 | |
| 31,089 | ||
ENERGY - 0.2% | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Pemex Project Funding Master Trust 7.75% | 17,676 | 17,754 | |
TOTAL PREFERRED SECURITIES (Cost $47,782) | 48,843 | ||
Other - 0.0% | |||
Principal | Value (000s) | ||
Other - 0.0% | |||
Delta Air Lines ALPA Claim (a) | $ 8,380 | $ 168 | |
Idearc, Inc. Claim (a) | 1,675 | 0 | |
TOTAL OTHER (Cost $91) | 168 | ||
Money Market Funds - 4.3% | |||
Shares |
| ||
Fidelity Cash Central Fund, 0.20% (k) | 364,529,325 | 364,529 | |
TOTAL INVESTMENT PORTFOLIO - 99.1% (Cost $8,058,260) | 8,367,089 | ||
NET OTHER ASSETS (LIABILITIES) - 0.9% | 79,685 | ||
NET ASSETS - 100% | $ 8,446,774 |
Swap Agreements | |||||
| Expiration Date | Notional Amount (000s) | Value (000s) | ||
Interest Rate Swaps | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 4.73% with Credit Suisse First Boston | April 2038 | $ 6,000 | (1,157) |
Currency Abbreviations | ||
BRL | - | Brazilian real |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
GHS | - | Ghana cedi |
JPY | - | Japanese yen |
RUB | - | Russian ruble |
ZMK | - | Zambian kwacha |
Legend |
(a) Non-income producing |
(b) Non-income producing - Issuer is in default. |
(c) Principal amount is stated in United States dollars unless otherwise noted. |
(d) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,104,762,000 or 13.1% of net assets. |
(g) 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 $198,021,000 or 2.3% of net assets. |
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(j) 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. |
(k) 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. |
(l) Quantity represents share amount. |
(m) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(n) 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 $18,901,000 or 0.2% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Aleris International, Inc. | 6/1/10 | $ 1,341 |
ASAT Holdings Ltd. warrants 2/1/11 | 11/15/07 | $ 0 |
HMH Holdings, Inc. | 5/2/08 - 3/9/10 | $ 41,642 |
Intermet Corp. | 1/7/05 - 1/13/05 | $ 2,153 |
Rathgibson Acquisition Co. LLC Class A | 6/9/10 | $ 1,520 |
RDA Holding Co. warrants 2/19/14 | 2/27/07 | $ 3,000 |
(o) 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 $65,000 and $65,000, respectively. The coupon rate will be determined at time of settlement. |
* 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 | $ 316 |
Fidelity Floating Rate Central Fund | 5,353 |
Total | $ 5,669 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales | Value, | % ownership, |
Fidelity Floating Rate Central Fund | $ 366,878 | $ 22,010 | $ 116,003 | $ 274,818 | 10.1% |
Other Information |
The following is a summary of the inputs used, as of June 30, 2010, 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 | $ 24,729 | $ 3,758 | $ 20,152 | $ 819 |
Energy | 573 | - | 573 | - |
Financials | 17,031 | - | 17,031 | - |
Industrials | 20,755 | 20,733 | 15 | 7 |
Information Technology | 3,076 | 3,021 | - | 55 |
Materials | 34,632 | 30,625 | 1,341 | 2,666 |
Telecommunication Services | - | - | - | - |
Utilities | 133 | 133 | - | - |
Corporate Bonds | 2,895,873 | - | 2,890,581 | 5,292 |
U.S. Government and Government Agency Obligations | 2,012,793 | - | 2,012,793 | - |
U.S. Government Agency - Mortgage Securities | 196,277 | - | 196,277 | - |
Asset-Backed Securities | 10,501 | - | 10,212 | 289 |
Collateralized Mortgage Obligations | 129,425 | - | 129,425 | - |
Commercial Mortgage Securities | 8,593 | - | 7,958 | 635 |
Foreign Government and Government Agency Obligations | 1,855,142 | - | 1,854,397 | 745 |
Supranational Obligations | 7,902 | - | 7,902 | - |
Floating Rate Loans | 455,256 | - | 455,255 | 1 |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Sovereign Loan Participations | $ 6,040 | $ - | $ 6,040 | $ - |
Fixed-Income Funds | 274,818 | 274,818 | - | - |
Preferred Securities | 48,843 | - | 48,843 | - |
Other | 168 | - | - | 168 |
Money Market Funds | 364,529 | 364,529 | - | - |
Total Investments in Securities: | $ 8,367,089 | $ 697,617 | $ 7,658,795 | $ 10,677 |
Derivative Instruments: | ||||
Liabilities | ||||
Swap Agreements | $ (1,157) | $ - | $ (1,157) | $ - |
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value: |
Investments in Securities: | |
Beginning Balance | $ 12,556 |
Total Realized Gain (Loss) | 2 |
Total Unrealized Gain (Loss) | 2,296 |
Cost of Purchases | 1,935 |
Proceeds of Sales | (1,096) |
Amortization/Accretion | 216 |
Transfers in to Level 3 | 6,181 |
Transfers out of Level 3 | (11,413) |
Ending Balance | $ 10,677 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at June 30, 2010 | $ 2,296 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in 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 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations. |
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, 2010. 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) | $ - | $ (1,157) |
Total Value of Derivatives | $ - | $ (1,157) |
(a) Value is disclosed on the Statement of Assets and Liabilities in 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 | 66.6% |
Canada | 3.0% |
Bermuda | 2.9% |
Argentina | 2.8% |
United Kingdom | 2.4% |
Japan | 2.4% |
Italy | 2.3% |
Germany | 2.2% |
France | 2.0% |
Venezuela | 1.8% |
Netherlands | 1.3% |
Luxembourg | 1.1% |
Russia | 1.1% |
Turkey | 1.0% |
Others (Individually Less Than 1%) | 7.1% |
| 100.0% |
The information in the above table 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. |
Income Tax Information |
At December 31, 2009, the Fund had a capital loss carryforward of approximately $4,917,000 all of which will expire on December 31, 2016. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. |
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, 2010 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $7,471,272) | $ 7,727,742 |
|
Fidelity Central Funds (cost $586,988) | 639,347 |
|
Total Investments (cost $8,058,260) |
| $ 8,367,089 |
Cash | 11,927 | |
Foreign currency held at value (cost $43) | 42 | |
Receivable for investments sold | 234,463 | |
Receivable for fund shares sold | 20,164 | |
Dividends receivable | 2 | |
Interest receivable | 104,045 | |
Distributions receivable from Fidelity Central Funds | 990 | |
Other receivables | 54 | |
Total assets | 8,738,776 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 256,671 | |
Delayed delivery | 2,276 | |
Payable for fund shares redeemed | 17,476 | |
Distributions payable | 6,648 | |
Unrealized depreciation on swap agreements | 1,157 | |
Accrued management fee | 3,939 | |
Distribution fees payable | 2,555 | |
Other affiliated payables | 1,148 | |
Other payables and accrued expenses | 132 | |
Total liabilities | 292,002 | |
|
|
|
Net Assets | $ 8,446,774 | |
Net Assets consist of: |
| |
Paid in capital | $ 8,034,247 | |
Undistributed net investment income | 122,563 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (17,269) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 307,233 | |
Net Assets | $ 8,446,774 |
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, 2010 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 12.19 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.19) | $ 12.70 | |
Class T: | $ 12.18 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.18) | $ 12.69 | |
Class B: | $ 12.22 | |
|
|
|
Class C: | $ 12.16 | |
|
|
|
Institutional Class: | $ 12.31 |
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, 2010 (Unaudited) | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 2,938 |
Interest |
| 246,403 |
Income from Fidelity Central Funds |
| 5,669 |
Total income |
| 255,010 |
|
|
|
Expenses | ||
Management fee | $ 23,450 | |
Transfer agent fees | 6,259 | |
Distribution fees | 15,219 | |
Accounting fees and expenses | 751 | |
Custodian fees and expenses | 204 | |
Independent trustees' compensation | 14 | |
Registration fees | 249 | |
Audit | 55 | |
Legal | 52 | |
Miscellaneous | 54 | |
Total expenses before reductions | 46,307 | |
Expense reductions | (2) | 46,305 |
Net investment income | 208,705 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 27,259 | |
Fidelity Central Funds | (5,406) |
|
Foreign currency transactions | (1,403) | |
Swap agreements | 295 |
|
Total net realized gain (loss) |
| 20,745 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (13,473) | |
Assets and liabilities in foreign currencies | (201) | |
Swap agreements | (1,310) | |
Total change in net unrealized appreciation (depreciation) |
| (14,984) |
Net gain (loss) | 5,761 | |
Net increase (decrease) in net assets resulting from operations | $ 214,466 |
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 | $ 208,705 | $ 393,364 |
Net realized gain (loss) | 20,745 | 149,167 |
Change in net unrealized appreciation (depreciation) | (14,984) | 1,216,485 |
Net increase (decrease) in net assets resulting | 214,466 | 1,759,016 |
Distributions to shareholders from net investment income | (167,781) | (327,674) |
Distributions to shareholders from net realized gain | (9,927) | (66,147) |
Total distributions | (177,708) | (393,821) |
Share transactions - net increase (decrease) | 266,927 | 1,449,870 |
Total increase (decrease) in net assets | 303,685 | 2,815,065 |
|
|
|
Net Assets | ||
Beginning of period | 8,143,089 | 5,328,024 |
End of period (including undistributed net investment income of $122,563 and undistributed net investment income of $81,639, respectively) | $ 8,446,774 | $ 8,143,089 |
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) | 2009 | 2008 | 2007 | 2006 | 2005 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.13 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.93 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .315 | .681 | .600 | .616 | .600 | .571 |
Net realized and unrealized gain (loss) | .015 | 2.345 | (1.826) | (.019) | .248 | (.255) |
Total from investment operations | .330 | 3.026 | (1.226) | .597 | .848 | .316 |
Distributions from net investment income | (.255) | (.566) | (.554) | (.607) | (.583) | (.551) |
Distributions from net realized gain | (.015) | (.100) | (.070) | (.130) | (.045) | (.155) |
Total distributions | (.270) | (.666) | (.624) | (.737) | (.628) | (.706) |
Net asset value, end of period | $ 12.19 | $ 12.13 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 |
Total Return B, C, D | 2.74% | 31.74% | (10.98)% | 5.22% | 7.54% | 2.75% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.01% A | 1.01% | 1.02% | 1.01% | .97% | .99% |
Expenses net of fee waivers, if any | 1.01% A | 1.01% | 1.02% | 1.01% | .97% | .99% |
Expenses net of all reductions | 1.01% A | 1.01% | 1.02% | 1.01% | .97% | .99% |
Net investment income | 5.20% A | 6.14% | 5.49% | 5.27% | 5.18% | 4.92% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 3,826 | $ 3,725 | $ 2,174 | $ 1,931 | $ 954 | $ 647 |
Portfolio turnover rate G | 238% A | 202% | 255% | 149% | 81% | 109% |
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 reductions from 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) | 2009 | 2008 | 2007 | 2006 | 2005 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.12 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.92 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .315 | .675 | .607 | .620 | .594 | .564 |
Net realized and unrealized gain (loss) | .015 | 2.341 | (1.832) | (.021) | .248 | (.245) |
Total from investment operations | .330 | 3.016 | (1.225) | .599 | .842 | .319 |
Distributions from net investment income | (.255) | (.566) | (.555) | (.609) | (.577) | (.544) |
Distributions from net realized gain | (.015) | (.100) | (.070) | (.130) | (.045) | (.155) |
Total distributions | (.270) | (.666) | (.625) | (.739) | (.622) | (.699) |
Net asset value, end of period | $ 12.18 | $ 12.12 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 |
Total Return B, C, D | 2.74% | 31.64% | (10.97)% | 5.24% | 7.49% | 2.77% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.00% A | 1.01% | 1.01% | .99% | 1.02% | 1.05% |
Expenses net of fee waivers, if any | 1.00% A | 1.01% | 1.01% | .99% | 1.02% | 1.05% |
Expenses net of all reductions | 1.00% A | 1.01% | 1.01% | .99% | 1.02% | 1.05% |
Net investment income | 5.21% A | 6.14% | 5.50% | 5.29% | 5.13% | 4.86% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 1,509 | $ 1,579 | $ 1,337 | $ 1,983 | $ 2,049 | $ 1,427 |
Portfolio turnover rate G | 238% A | 202% | 255% | 149% | 81% | 109% |
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 reductions from 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) | 2009 | 2008 | 2007 | 2006 | 2005 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.16 | $ 9.80 | $ 11.65 | $ 11.79 | $ 11.57 | $ 11.95 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .273 | .600 | .525 | .533 | .511 | .486 |
Net realized and unrealized gain (loss) | .014 | 2.348 | (1.831) | (.022) | .247 | (.249) |
Total from investment operations | .287 | 2.948 | (1.306) | .511 | .758 | .237 |
Distributions from net investment income | (.212) | (.488) | (.474) | (.521) | (.493) | (.462) |
Distributions from net realized gain | (.015) | (.100) | (.070) | (.130) | (.045) | (.155) |
Total distributions | (.227) | (.588) | (.544) | (.651) | (.538) | (.617) |
Net asset value, end of period | $ 12.22 | $ 12.16 | $ 9.80 | $ 11.65 | $ 11.79 | $ 11.57 |
Total Return B, C, D | 2.37% | 30.72% | (11.60)% | 4.44% | 6.70% | 2.06% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.71% A | 1.72% | 1.76% | 1.74% | 1.76% | 1.78% |
Expenses net of fee waivers, if any | 1.71% A | 1.72% | 1.75% | 1.74% | 1.75% | 1.75% |
Expenses net of all reductions | 1.71% A | 1.72% | 1.75% | 1.74% | 1.75% | 1.75% |
Net investment income | 4.50% A | 5.43% | 4.76% | 4.54% | 4.40% | 4.16% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 332 | $ 348 | $ 267 | $ 335 | $ 342 | $ 342 |
Portfolio turnover rate G | 238% A | 202% | 255% | 149% | 81% | 109% |
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 reductions from 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) | 2009 | 2008 | 2007 | 2006 | 2005 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.10 | $ 9.76 | $ 11.60 | $ 11.74 | $ 11.53 | $ 11.91 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .269 | .597 | .517 | .526 | .503 | .475 |
Net realized and unrealized gain (loss) | .016 | 2.327 | (1.817) | (.020) | .238 | (.246) |
Total from investment operations | .285 | 2.924 | (1.300) | .506 | .741 | .229 |
Distributions from net investment income | (.210) | (.484) | (.470) | (.516) | (.486) | (.454) |
Distributions from net realized gain | (.015) | (.100) | (.070) | (.130) | (.045) | (.155) |
Total distributions | (.225) | (.584) | (.540) | (.646) | (.531) | (.609) |
Net asset value, end of period | $ 12.16 | $ 12.10 | $ 9.76 | $ 11.60 | $ 11.74 | $ 11.53 |
Total Return B, C, D | 2.37% | 30.60% | (11.59)% | 4.42% | 6.57% | 1.99% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.75% A | 1.75% | 1.79% | 1.78% | 1.81% | 1.82% |
Expenses net of fee waivers, if any | 1.75% A | 1.75% | 1.79% | 1.78% | 1.81% | 1.82% |
Expenses net of all reductions | 1.75% A | 1.75% | 1.79% | 1.78% | 1.81% | 1.82% |
Net investment income | 4.46% A | 5.40% | 4.72% | 4.50% | 4.34% | 4.09% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 1,467 | $ 1,336 | $ 800 | $ 866 | $ 683 | $ 540 |
Portfolio turnover rate G | 238% A | 202% | 255% | 149% | 81% | 109% |
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 reductions from 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) | 2009 | 2008 | 2007 | 2006 | 2005 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.25 | $ 9.87 | $ 11.72 | $ 11.86 | $ 11.63 | $ 12.02 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .332 | .710 | .635 | .652 | .627 | .599 |
Net realized and unrealized gain (loss) | .012 | 2.361 | (1.835) | (.027) | .252 | (.262) |
Total from investment operations | .344 | 3.071 | (1.200) | .625 | .879 | .337 |
Distributions from net investment income | (.269) | (.591) | (.580) | (.635) | (.604) | (.572) |
Distributions from net realized gain | (.015) | (.100) | (.070) | (.130) | (.045) | (.155) |
Total distributions | (.284) | (.691) | (.650) | (.765) | (.649) | (.727) |
Net asset value, end of period | $ 12.31 | $ 12.25 | $ 9.87 | $ 11.72 | $ 11.86 | $ 11.63 |
Total Return B, C | 2.83% | 31.92% | (10.67)% | 5.42% | 7.76% | 2.91% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .77% A | .78% | .78% | .77% | .79% | .81% |
Expenses net of fee waivers, if any | .77% A | .78% | .78% | .77% | .79% | .81% |
Expenses net of all reductions | .77% A | .78% | .78% | .76% | .79% | .80% |
Net investment income | 5.44% A | 6.37% | 5.73% | 5.52% | 5.36% | 5.10% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 1,312 | $ 1,156 | $ 750 | $ 889 | $ 655 | $ 520 |
Portfolio turnover rate F | 238% A | 202% | 255% | 149% | 81% | 109% |
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 reductions from 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, 2010 (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. Effective after the close of business on September 1, 2010, Class B shares will be closed to new accounts and additional purchases by existing shareholders. 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.
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 | FMR Co., Inc. (FMRC) FMRC | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments, Repurchase Agreements, Restricted Securities |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
2. Investments in Fidelity Central Funds - continued
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including security valuation policies) of those funds, are available on the SEC 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 (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. 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 market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below.
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the fund's own assumptions based on the best information available)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of June 30, 2010, for the Fund's investments, as well as a roll forward of Level 3 securities, is
Semiannual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. 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 utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. 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 and are categorized as Level 2 in the hierarchy. 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.
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). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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 and are categorized as Level 1 in the hierarchy. 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 or may be valued using the last available price and are generally categorized as
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Security Valuation - continued
Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Foreign Currency. The Fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV 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
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
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 amongst each fund in the Trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. 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 GAAP.
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
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
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 investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 609,292 |
Gross unrealized depreciation | (216,253) |
Net unrealized appreciation (depreciation) | $ 393,039 |
|
|
Tax cost | $ 7,974,050 |
4. Operating Policies.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
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
Semiannual Report
4. Operating Policies - continued
Loans and Other Direct Debt Instruments - continued
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. At the end of the period, the Fund had unfunded loan commitments of $65.
5. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund uses derivative instruments (derivatives), including swap agreements in order to meet its investment objectives. The strategy is to use derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. 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.
The Fund's use of derivatives may increase or decrease its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to sell the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives each counterparty the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified in the Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty fees in excess of any collateral pledged by the counterparty to the Fund. Risk of loss may exceed the amounts recognized in the Statement of Assets and Liabilities.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period.
Risk Exposure / Derivative Type | Net Realized | Change in |
Interest Rate Risk |
|
|
Swap Agreements | $ 295 | $ (1,310) |
Totals (a) | $ 295 | $ (1,310) |
(a) A summary of the value of derivatives by risk exposure as of period end, if any, is included at the end of the Schedule of Investments and is representative of activity for the period.
Swap Agreements. A swap agreement (swap) is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
Details of swaps open at period end, if any, are included in the Schedule of Investments under the caption "Swap Agreements." Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. Any upfront payments made or received upon entering a swap 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 gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Risks of loss may include interest rate risk. 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.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund
Semiannual Report
5. Derivative Instruments - continued
Interest Rate Swaps - continued
entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of 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.
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 $6,316,578 and $6,001,004, 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 selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | -% | .25% | $ 4,672 | $ - |
Class T | -% | .25% | 1,949 | - |
Class B | .65% | .25% | 1,551 | 1,163 |
Class C | .75% | .25% | 7,047 | 2,119 |
|
|
| $ 15,219 | $ 3,282 |
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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
7. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
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 | $ 273 |
Class T | 67 |
Class B* | 363 |
Class C* | 117 |
| $ 820 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each class were as follows:
| Amount | % of |
Class A | $ 2,768 | .15 |
Class T | 1,138 | .15 |
Class B | 343 | .20 |
Class C | 985 | .14 |
Institutional Class | 1,025 | .17 |
| $ 6,259 |
|
* Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The fee is based on the level of average net assets for the month.
Semiannual Report
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $3.75 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 expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. Expense Reductions.
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.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 78,047 | $ 145,916 |
Class T | 32,606 | 74,724 |
Class B | 5,970 | 13,400 |
Class C | 24,255 | 45,479 |
Institutional Class | 26,903 | 48,155 |
Total | $ 167,781 | $ 327,674 |
From net realized gain |
|
|
Class A | $ 4,406 | $ 30,314 |
Class T | 1,929 | 12,897 |
Class B | 429 | 2,829 |
Class C | 1,691 | 10,891 |
Institutional Class | 1,472 | 9,216 |
Total | $ 9,927 | $ 66,147 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
11. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class A |
|
|
|
|
Shares sold | 61,022 | 138,915 | $ 745,778 | $ 1,553,818 |
Reinvestment of distributions | 5,848 | 14,252 | 71,424 | 161,349 |
Shares redeemed | (60,017) | (68,424) | (731,073) | (752,938) |
Net increase (decrease) | 6,853 | 84,743 | $ 86,129 | $ 962,229 |
Class T |
|
|
|
|
Shares sold | 13,022 | 30,555 | $ 159,006 | $ 335,869 |
Reinvestment of distributions | 2,488 | 7,202 | 30,376 | 80,594 |
Shares redeemed | (21,849) | (44,403) | (266,574) | (485,844) |
Net increase (decrease) | (6,339) | (6,646) | $ (77,192) | $ (69,381) |
Class B |
|
|
|
|
Shares sold | 3,589 | 8,165 | $ 43,989 | $ 90,422 |
Reinvestment of distributions | 413 | 1,115 | 5,053 | 12,582 |
Shares redeemed | (5,464) | (7,847) | (66,931) | (85,639) |
Net increase (decrease) | (1,462) | 1,433 | $ (17,889) | $ 17,365 |
Class C |
|
|
|
|
Shares sold | 20,476 | 43,623 | $ 249,744 | $ 485,642 |
Reinvestment of distributions | 1,592 | 3,723 | 19,392 | 42,110 |
Shares redeemed | (11,809) | (18,979) | (144,084) | (205,293) |
Net increase (decrease) | 10,259 | 28,367 | $ 125,052 | $ 322,459 |
Institutional Class |
|
|
|
|
Shares sold | 26,817 | 46,051 | $ 331,005 | $ 519,754 |
Reinvestment of distributions | 1,628 | 3,632 | 20,083 | 41,290 |
Shares redeemed | (16,203) | (31,328) | (200,261) | (343,846) |
Net increase (decrease) | 12,242 | 18,355 | $ 150,827 | $ 217,198 |
12. 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
Semiannual Report
12. Other - continued
exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
13. 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
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
FIL 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-0810 1.787775.107
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Strategic Income
Fund - Institutional Class
Semiannual Report
June 30, 2010
(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. |
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:
A yearlong uptrend in global equity markets came under significant pressure in May 2010 when investor sentiment turned bearish amid growing concern that Europe's debt crisis would expand and slow or derail economic recovery. Financial markets are always unpredictable, of course, but there also are several time-tested investment principles that can help put the 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,
(The chairman's signature appears here.)
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, 2010 to June 30, 2010).
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
| Annualized | Beginning | Ending | Expenses Paid |
Class A | 1.01% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,027.40 | $ 5.08 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.79 | $ 5.06 |
Class T | 1.00% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,027.40 | $ 5.03 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.84 | $ 5.01 |
Class B | 1.71% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,023.70 | $ 8.58 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.31 | $ 8.55 |
Class C | 1.75% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,023.70 | $ 8.78 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Institutional Class | .77% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,028.30 | $ 3.87 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.98 | $ 3.86 |
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, 2010 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 17.8 | 17.9 |
Fannie Mae | 3.3 | 2.8 |
Argentine Republic | 2.4 | 2.4 |
Japan Government | 2.4 | 2.3 |
Canadian Government | 2.2 | 2.3 |
| 28.1 | |
Top Five Market Sectors as of June 30, 2010 | ||
| % of fund's | % of fund's net assets |
Consumer Discretionary | 8.3 | 10.5 |
Telecommunication Services | 7.7 | 7.0 |
Financials | 7.2 | 8.0 |
Energy | 5.5 | 4.4 |
Materials | 4.3 | 5.0 |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2010 * | As of December 31, 2009 ** | ||||||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | AAA,AA,A 12.6% |
| ![]() | AAA,AA,A 13.9% |
| ||
![]() | BBB 3.8% |
| ![]() | BBB 4.7% |
| ||
![]() | BB 13.1% |
| ![]() | BB 11.5% |
| ||
![]() | B 22.4% |
| ![]() | B 20.0% |
| ||
![]() | CCC,CC,C 9.1% |
| ![]() | CCC,CC,C 12.0% |
| ||
![]() | D 0.0% |
| ![]() | D 0.5% |
| ||
![]() | Not Rated 4.8% |
| ![]() | Not Rated 4.2% |
| ||
![]() | Equities 1.2% |
| ![]() | Equities 0.7% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
† Includes FDIC Guaranteed Corporate Securities |
We have used ratings from Moody's Investors Service, 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. |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2010 * | As of December 31, 2009 ** | ||||||
![]() | Preferred Securities 0.6% |
| ![]() | Preferred Securities 0.6% |
| ||
![]() | Corporate Bonds 34.5% |
| ![]() | Corporate Bonds 36.0% |
| ||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | Foreign Government & |
| ![]() | Foreign Government & |
| ||
![]() | Floating Rate Loans 8.3% |
| ![]() | Floating Rate Loans 10.4% |
| ||
![]() | Stocks 1.2% |
| ![]() | Stocks 0.7% |
| ||
![]() | Other Investments 0.4% |
| ![]() | Other Investments 0.8% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 33.4% |
| ** Foreign investments | 32.6% |
| ||
* Swap | (0.1%) |
| ** Swaps | 0.1% |
| ||
† 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, 2010 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 34.3% | ||||
| Principal | Value (000s) | ||
Convertible Bonds - 1.2% | ||||
CONSUMER DISCRETIONARY - 0.2% | ||||
Auto Components - 0.2% | ||||
TRW Automotive, Inc. 3.5% 12/1/15 (f) | $ 11,836 | $ 13,636 | ||
ENERGY - 0.6% | ||||
Energy Equipment & Services - 0.0% | ||||
Cal Dive International, Inc. 3.25% 12/15/25 | 2,640 | 2,285 | ||
Oil, Gas & Consumable Fuels - 0.6% | ||||
Alpha Natural Resources, Inc. 2.375% 4/15/15 | 16,660 | 16,828 | ||
Chesapeake Energy Corp. 2.5% 5/15/37 | 16,670 | 13,089 | ||
Massey Energy Co. 3.25% 8/1/15 | 27,690 | 22,844 | ||
| 52,761 | |||
TOTAL ENERGY | 55,046 | |||
INFORMATION TECHNOLOGY - 0.1% | ||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Advanced Micro Devices, Inc.: | ||||
5.75% 8/15/12 | 393 | 386 | ||
6% 5/1/15 | 6,045 | 5,735 | ||
| 6,121 | |||
TELECOMMUNICATION SERVICES - 0.3% | ||||
Wireless Telecommunication Services - 0.3% | ||||
NII Holdings, Inc. 3.125% 6/15/12 | 29,220 | 27,576 | ||
TOTAL CONVERTIBLE BONDS | 102,379 | |||
Nonconvertible Bonds - 33.1% | ||||
CONSUMER DISCRETIONARY - 4.7% | ||||
Auto Components - 0.4% | ||||
Affinia Group, Inc.: | ||||
9% 11/30/14 | 2,950 | 2,950 | ||
10.75% 8/15/16 (f) | 760 | 828 | ||
Cooper-Standard Automotive, Inc. 8.5% 5/1/18 (f) | 1,775 | 1,779 | ||
Lear Corp.: | ||||
7.875% 3/15/18 | 1,380 | 1,377 | ||
8.125% 3/15/20 | 1,530 | 1,530 | ||
RSC Equipment Rental, Inc. 10% 7/15/17 (f) | 2,610 | 2,799 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Auto Components - continued | ||||
Tenneco, Inc.: | ||||
8.125% 11/15/15 | $ 1,185 | $ 1,191 | ||
8.625% 11/15/14 | 11,065 | 11,120 | ||
The Goodyear Tire & Rubber Co. 10.5% 5/15/16 | 4,795 | 5,191 | ||
TRW Automotive, Inc.: | ||||
7% 3/15/14 (f) | 335 | 332 | ||
7.25% 3/15/17 (f) | 240 | 233 | ||
8.875% 12/1/17 (f) | 1,550 | 1,589 | ||
| 30,919 | |||
Automobiles - 0.1% | ||||
General Motors Corp.: | ||||
6.75% 5/1/28 (b) | 9,670 | 2,659 | ||
7.7% 4/15/16 (b) | 5,999 | 1,770 | ||
| 4,429 | |||
Diversified Consumer Services - 0.0% | ||||
Mac-Gray Corp. 7.625% 8/15/15 | 680 | 655 | ||
Hotels, Restaurants & Leisure - 1.0% | ||||
GWR Operating Partnership LLP 10.875% 4/1/17 (f) | 4,365 | 4,321 | ||
Harrah's Escrow Corp. 12.75% 4/15/18 (f) | 7,620 | 7,220 | ||
Harrah's Operating Co., Inc. 11.25% 6/1/17 | 5,650 | 5,933 | ||
Landry's Restaurants, Inc. 11.625% 12/1/15 | 1,385 | 1,451 | ||
MCE Finance Ltd. 10.25% 5/15/18 (f) | 9,695 | 10,180 | ||
MGM Mirage, Inc.: | ||||
5.875% 2/27/14 | 3,890 | 3,093 | ||
6.625% 7/15/15 | 12,399 | 9,671 | ||
6.75% 4/1/13 | 2,220 | 1,943 | ||
6.875% 4/1/16 | 4,440 | 3,441 | ||
7.5% 6/1/16 | 7,720 | 6,099 | ||
7.625% 1/15/17 | 5,785 | 4,512 | ||
9% 3/15/20 (f) | 3,485 | 3,572 | ||
10.375% 5/15/14 | 1,535 | 1,669 | ||
11.125% 11/15/17 | 565 | 623 | ||
Mohegan Tribal Gaming Authority: | ||||
6.875% 2/15/15 | 3,533 | 2,508 | ||
11.5% 11/1/17 (f) | 7,050 | 7,226 | ||
Scientific Games Corp. 6.25% 12/15/12 | 660 | 650 | ||
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (f) | 1,540 | 1,232 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Speedway Motorsports, Inc. 6.75% 6/1/13 | $ 3,495 | $ 3,486 | ||
Station Casinos, Inc.: | ||||
6% 4/1/12 (b) | 9,620 | 571 | ||
6.5% 2/1/14 (b) | 11,643 | 15 | ||
6.625% 3/15/18 (b) | 11,970 | 15 | ||
6.875% 3/1/16 (b) | 12,803 | 16 | ||
7.75% 8/15/16 (b) | 14,415 | 910 | ||
Town Sports International Holdings, Inc. 11% 2/1/14 | 3,328 | 3,028 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 8.875% 11/15/15 (f) | 3,030 | 3,045 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
9% 1/15/12 (b) | 575 | 259 | ||
12.75% 1/15/13 (b) | 1,070 | 1 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (f) | 1,052 | 573 | ||
| 87,263 | |||
Household Durables - 0.2% | ||||
Controladora Mabe SA CV 7.875% 10/28/19 (f) | 3,020 | 3,171 | ||
K. Hovnanian Enterprises, Inc. 10.625% 10/15/16 | 6,165 | 6,165 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (f) | 6,915 | 7,192 | ||
Sealy Mattress Co. 10.875% 4/15/16 (f) | 1,508 | 1,674 | ||
| 18,202 | |||
Leisure Equipment & Products - 0.0% | ||||
Easton-Bell Sports, Inc. 9.75% 12/1/16 (f) | 1,505 | 1,561 | ||
Media - 2.6% | ||||
AMC Entertainment, Inc. 11% 2/1/16 | 8,060 | 8,423 | ||
Cablemas SA de CV 9.375% 11/15/15 (Reg. S) | 5,145 | 5,454 | ||
CanWest Media, Inc. 8% 9/15/12 (b) | 444 | 445 | ||
Cequel Communications Holdings I LLC/Cequel Capital Corp. 8.625% 11/15/17 (f) | 6,485 | 6,461 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 13.5% 11/30/16 | 19,569 | 22,871 | ||
Clear Channel Communications, Inc.: | ||||
4.9% 5/15/15 | 2,600 | 1,352 | ||
5.5% 9/15/14 | 2,000 | 1,100 | ||
5.5% 12/15/16 | 1,890 | 907 | ||
5.75% 1/15/13 | 3,145 | 2,406 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Clear Channel Communications, Inc.: - continued | ||||
6.25% 3/15/11 | $ 175 | $ 168 | ||
6.875% 6/15/18 | 1,275 | 618 | ||
10.75% 8/1/16 | 30,415 | 21,291 | ||
11.75% 8/1/16 pay-in-kind (i) | 4,473 | 2,823 | ||
Clear Channel Worldwide Holdings, Inc.: | ||||
Series A 9.25% 12/15/17 (f) | 1,490 | 1,483 | ||
Series B 9.25% 12/15/17 (f) | 5,950 | 5,980 | ||
EchoStar Communications Corp.: | ||||
6.625% 10/1/14 | 5,075 | 5,075 | ||
7% 10/1/13 | 9,095 | 9,368 | ||
7.125% 2/1/16 | 33,535 | 33,703 | ||
Gray Television, Inc. 10.5% 6/29/15 (f) | 1,985 | 1,916 | ||
Interpublic Group of Companies, Inc. 10% 7/15/17 | 2,530 | 2,789 | ||
Liberty Media Corp. 8.5% 7/15/29 | 6,535 | 6,012 | ||
Livent, Inc. yankee 9.375% 10/15/04 (b) | 300 | 0 | ||
MDC Partners, Inc. 11% 11/1/16 (f) | 845 | 900 | ||
MediMedia USA, Inc. 11.375% 11/15/14 (f) | 850 | 723 | ||
Net Servicos de Comunicacao SA 7.5% 1/27/20 (f) | 6,090 | 6,349 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
10% 8/1/14 | 3,620 | 3,720 | ||
11.5% 5/1/16 | 4,920 | 5,387 | ||
11.625% 2/1/14 | 2,535 | 2,776 | ||
Rainbow National Services LLC: | ||||
8.75% 9/1/12 (f) | 3,280 | 3,280 | ||
10.375% 9/1/14 (f) | 9,075 | 9,415 | ||
Sun Media Corp. Canada 7.625% 2/15/13 | 635 | 635 | ||
The Reader's Digest Association, Inc. 9.5% 2/15/17 (f)(i) | 13,085 | 13,052 | ||
TL Acquisitions, Inc. 10.5% 1/15/15 (f) | 24,495 | 22,842 | ||
Univision Communications, Inc. 12% 7/1/14 (f) | 7,300 | 7,829 | ||
Videotron Ltd. 6.875% 1/15/14 | 550 | 553 | ||
| 218,106 | |||
Multiline Retail - 0.2% | ||||
Matahari International Finance Co. BV 10.75% 8/7/12 | 8,425 | 8,815 | ||
The Bon-Ton Department Stores, Inc. 10.25% 3/15/14 | 6,780 | 6,661 | ||
| 15,476 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - 0.2% | ||||
Claire's Stores, Inc.: | ||||
9.25% 6/1/15 | $ 2,775 | $ 2,380 | ||
9.625% 6/1/15 pay-in-kind (i) | 4,358 | 3,699 | ||
Michaels Stores, Inc.: | ||||
0% 11/1/16 (d) | 445 | 395 | ||
10% 11/1/14 | 5,150 | 5,279 | ||
Sonic Automotive, Inc. 9% 3/15/18 | 1,970 | 1,980 | ||
| 13,733 | |||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Levi Strauss & Co.: | ||||
7.625% 5/15/20 (f) | 2,170 | 2,121 | ||
8.875% 4/1/16 | 1,650 | 1,708 | ||
| 3,829 | |||
TOTAL CONSUMER DISCRETIONARY | 394,173 | |||
CONSUMER STAPLES - 0.4% | ||||
Beverages - 0.1% | ||||
Cerveceria Nacional Dominicana C por A: | ||||
8% 3/27/14 (Reg. S) | 330 | 342 | ||
16% 3/27/12 | 150 | 138 | ||
16% 3/27/12 (f) | 4,947 | 4,557 | ||
| 5,037 | |||
Food & Staples Retailing - 0.1% | ||||
Rite Aid Corp.: | ||||
8.625% 3/1/15 | 835 | 681 | ||
9.375% 12/15/15 | 2,620 | 2,129 | ||
9.5% 6/15/17 | 3,670 | 2,890 | ||
| 5,700 | |||
Food Products - 0.2% | ||||
Hines Nurseries, Inc. 10.25% 10/1/11 (b) | 370 | 4 | ||
JBS USA LLC/JBS USA Finance, Inc. 11.625% 5/1/14 | 5,200 | 5,798 | ||
Michael Foods Group, Inc. 9.75% 7/15/18 (f) | 1,885 | 1,937 | ||
Smithfield Foods, Inc. 10% 7/15/14 (f) | 5,540 | 6,122 | ||
| 13,861 | |||
Household Products - 0.0% | ||||
Cellu Tissue Holdings, Inc. 11.5% 6/1/14 | 3,600 | 3,897 | ||
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 | $ 462 | ||
Revlon Consumer Products Corp. 9.75% 11/15/15 (f) | 3,875 | 3,962 | ||
| 4,424 | |||
TOTAL CONSUMER STAPLES | 32,919 | |||
ENERGY - 4.7% | ||||
Energy Equipment & Services - 0.2% | ||||
Complete Production Services, Inc. 8% 12/15/16 | 2,530 | 2,454 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (f) | 3,970 | 3,613 | ||
Hercules Offshore, Inc. 10.5% 10/15/17 (f) | 4,990 | 4,429 | ||
Pioneer Drilling Co. 9.875% 3/15/18 (f) | 3,410 | 3,308 | ||
| 13,804 | |||
Oil, Gas & Consumable Fuels - 4.5% | ||||
Adaro Indonesia PT 7.625% 10/22/19 (f) | 4,115 | 4,177 | ||
Atlas Energy Operating Co. LLC/Financing Corp. 10.75% 2/1/18 | 4,090 | 4,361 | ||
Atlas Pipeline Partners LP 8.125% 12/15/15 | 9,415 | 8,662 | ||
ATP Oil & Gas Corp. 11.875% 5/1/15 (f) | 32,370 | 23,630 | ||
Berry Petroleum Co.: | ||||
8.25% 11/1/16 | 2,930 | 2,871 | ||
10.25% 6/1/14 | 2,220 | 2,364 | ||
Chaparral Energy, Inc. 8.5% 12/1/15 | 4,498 | 4,183 | ||
Chesapeake Energy Corp.: | ||||
6.5% 8/15/17 | 13,550 | 13,415 | ||
6.875% 11/15/20 | 12,030 | 12,135 | ||
7.25% 12/15/18 | 1,970 | 2,034 | ||
7.625% 7/15/13 | 11,615 | 12,138 | ||
9.5% 2/15/15 | 5,630 | 6,221 | ||
Connacher Oil and Gas Ltd. 10.25% 12/15/15 (f) | 4,560 | 4,423 | ||
CONSOL Energy, Inc.: | ||||
8% 4/1/17 (f) | 6,470 | 6,696 | ||
8.25% 4/1/20 (f) | 6,645 | 6,944 | ||
Continental Resources, Inc. 8.25% 10/1/19 | 885 | 925 | ||
Crosstex Energy/Crosstex Energy Finance Corp. 8.875% 2/15/18 | 4,920 | 4,920 | ||
Denbury Resources, Inc.: | ||||
8.25% 2/15/20 | 3,877 | 4,051 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Denbury Resources, Inc.: - continued | ||||
9.75% 3/1/16 | $ 1,660 | $ 1,780 | ||
Drummond Co., Inc.: | ||||
7.375% 2/15/16 | 6,605 | 6,341 | ||
9% 10/15/14 (f) | 8,335 | 8,460 | ||
DTEK Finance BV 9.5% 4/28/15 (f) | 3,485 | 3,293 | ||
EXCO Resources, Inc. 7.25% 1/15/11 | 570 | 566 | ||
Forest Oil Corp. 8% 12/15/11 | 480 | 499 | ||
International Coal Group, Inc. 9.125% 4/1/18 | 920 | 918 | ||
InterNorth, Inc. 9.625% 3/16/06 (b) | 935 | 0 | ||
KazMunaiGaz Finance Sub BV: | ||||
7% 5/5/20 (f) | 1,950 | 1,952 | ||
8.375% 7/2/13 (f) | 3,355 | 3,607 | ||
9.125% 7/2/18 (f) | 3,735 | 4,291 | ||
11.75% 1/23/15 (f) | 4,880 | 5,966 | ||
LINN Energy LLC 8.625% 4/15/20 (f) | 9,610 | 9,838 | ||
Mariner Energy, Inc.: | ||||
7.5% 4/15/13 | 2,900 | 2,973 | ||
8% 5/15/17 | 4,870 | 5,326 | ||
11.75% 6/30/16 | 4,955 | 6,169 | ||
Naftogaz of Ukraine NJSC 9.5% 9/30/14 | 4,055 | 4,207 | ||
Nakilat, Inc. 6.267% 12/31/33 (Reg. S) | 3,360 | 3,209 | ||
Newfield Exploration Co. 6.875% 2/1/20 | 12,875 | 12,457 | ||
OPTI Canada, Inc.: | ||||
7.875% 12/15/14 | 8,955 | 7,791 | ||
8.25% 12/15/14 | 1,360 | 1,190 | ||
9% 12/15/12 (f) | 3,060 | 3,091 | ||
Pan American Energy LLC 7.875% 5/7/21 (f) | 3,170 | 3,138 | ||
Peabody Energy Corp. 7.875% 11/1/26 | 5,640 | 5,922 | ||
Pemex Project Funding Master Trust 6.625% 6/15/35 | 2,870 | 2,952 | ||
Petrobras International Finance Co. Ltd.: | ||||
6.875% 1/20/40 | 1,800 | 1,800 | ||
8.375% 12/10/18 | 635 | 746 | ||
Petrohawk Energy Corp.: | ||||
7.875% 6/1/15 | 22,900 | 22,957 | ||
9.125% 7/15/13 | 10,710 | 11,219 | ||
Petroleos de Venezuela SA: | ||||
5.25% 4/12/17 | 16,000 | 8,560 | ||
5.375% 4/12/27 | 36,245 | 16,129 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Petroleos Mexicanos 6% 3/5/20 (f) | $ 2,990 | $ 3,125 | ||
Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22 | 3,105 | 2,958 | ||
Petroleum Development Corp. 12% 2/15/18 | 4,390 | 4,533 | ||
Petroleum Export Ltd. 5.265% 6/15/11 (Reg. S) | 1,114 | 1,114 | ||
Pioneer Natural Resources Co. 7.5% 1/15/20 | 8,285 | 8,534 | ||
Plains Exploration & Production Co. 10% 3/1/16 | 10,150 | 10,759 | ||
Quicksilver Resources, Inc. 11.75% 1/1/16 | 5,045 | 5,575 | ||
Range Resources Corp. 7.375% 7/15/13 | 2,190 | 2,212 | ||
Rosetta Resources, Inc. 9.5% 4/15/18 (f) | 3,565 | 3,547 | ||
SandRidge Energy, Inc.: | ||||
8% 6/1/18 (f) | 3,010 | 2,844 | ||
8.625% 4/1/15 pay-in-kind (i) | 2,020 | 1,939 | ||
Southern Star Central Corp. 6.75% 3/1/16 | 1,560 | 1,509 | ||
Southwestern Energy Co. 7.5% 2/1/18 | 2,460 | 2,626 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 11.25% 7/15/17 (f) | 4,265 | 4,628 | ||
Teekay Corp. 8.5% 1/15/20 | 3,695 | 3,713 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 582 | ||
7.5% 4/1/17 | 7,600 | 8,679 | ||
7.625% 4/1/37 | 1,035 | 1,147 | ||
8% 2/1/16 | 1,160 | 1,349 | ||
8.375% 6/15/32 | 1,155 | 1,354 | ||
TNK-BP Finance SA 7.5% 3/13/13 (Reg. S) | 2,880 | 3,038 | ||
Venoco, Inc. 11.5% 10/1/17 | 3,335 | 3,402 | ||
W&T Offshore, Inc. 8.25% 6/15/14 (f) | 5,300 | 4,770 | ||
YPF SA 10% 11/2/28 | 6,985 | 7,317 | ||
| 382,751 | |||
TOTAL ENERGY | 396,555 | |||
FINANCIALS - 6.0% | ||||
Capital Markets - 0.2% | ||||
Equinox Holdings, Inc. 9.5% 2/1/16 (f) | 5,755 | 5,690 | ||
HSBC Bank PLC 5.75% 6/27/17 (e) | GBP | 1,130 | 1,756 | |
Penson Worldwide, Inc. 12.5% 5/15/17 (f) | 3,580 | 3,571 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
UBS AG Jersey Branch 4.125% 9/25/18 (i) | EUR | 1,200 | $ 1,458 | |
VTB Capital SA 4.25% 2/15/16 | EUR | 1,000 | 1,229 | |
| 13,704 | |||
Commercial Banks - 1.1% | ||||
African Export-Import Bank 8.75% 11/13/14 | 4,020 | 4,261 | ||
Barclays Bank PLC 0% 3/18/13 (f) | 4,245 | 4,193 | ||
CIT Group, Inc.: | ||||
7% 5/1/13 | 1,854 | 1,779 | ||
7% 5/1/14 | 2,780 | 2,600 | ||
7% 5/1/15 | 2,780 | 2,551 | ||
7% 5/1/16 | 4,634 | 4,205 | ||
7% 5/1/17 | 6,488 | 5,855 | ||
Development Bank of Philippines 8.375% (i) | 6,055 | 6,418 | ||
EXIM of Ukraine 7.65% 9/7/11 (Issued by Credit Suisse International for EXIM of Ukraine) | 23,835 | 23,477 | ||
Export-Import Bank of India 0.7438% 6/7/12 (i) | JPY | 170,000 | 1,869 | |
HSBK (Europe) B.V. 9.25% 10/16/13 (f) | 7,695 | 8,041 | ||
Intesa Sanpaolo SpA 3.75% 11/23/16 | EUR | 1,850 | 2,258 | |
Kazkommerts International BV 8.5% 4/16/13 (f) | 4,855 | 4,564 | ||
KBC IFIMA NV 0.918% 12/14/15 (i) | EUR | 1,200 | 1,333 | |
Kiev Ukraine 8.625% 7/15/11 (Issued by UniCredit Bank AG for Kiev Ukraine) | 2,910 | 2,895 | ||
Rabobank Nederland 4.125% 1/14/20 | EUR | 6,750 | 8,592 | |
RSHB Capital SA 9% 6/11/14 (f) | 1,535 | 1,723 | ||
Santander Finance Preferred SA Unipersonal 7.3% 7/29/19 (i) | GBP | 2,150 | 3,270 | |
US Bank NA 4.375% 2/28/17 (i) | EUR | 1,600 | 1,939 | |
Wells Fargo & Co. 7.98% (i) | 2,035 | 2,076 | ||
| 93,899 | |||
Consumer Finance - 1.7% | ||||
ACE Cash Express, Inc. 10.25% 10/1/14 (f) | 1,420 | 1,157 | ||
Ford Motor Credit Co. LLC: | ||||
7% 10/1/13 | 5,290 | 5,395 | ||
7.25% 10/25/11 | 12,485 | 12,826 | ||
7.375% 2/1/11 | 735 | 749 | ||
7.5% 8/1/12 | 9,230 | 9,438 | ||
8% 6/1/14 | 5,120 | 5,261 | ||
12% 5/15/15 | 12,770 | 14,717 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
General Motors Acceptance Corp.: | ||||
6.75% 12/1/14 | $ 11,870 | $ 11,395 | ||
8% 11/1/31 | 7,330 | 6,742 | ||
GMAC LLC: | ||||
6% 4/1/11 | 1,435 | 1,431 | ||
6.75% 12/1/14 | 4,285 | 4,156 | ||
8% 11/1/31 | 70,918 | 65,599 | ||
| 138,866 | |||
Diversified Financial Services - 2.3% | ||||
Azovstal Capital BV 9.125% 2/28/11 | 400 | 395 | ||
Bank of America Corp.: | ||||
4% 3/28/18 (i) | EUR | 2,950 | 3,264 | |
8% (i) | 5,365 | 5,191 | ||
8.125% (i) | 7,380 | 7,177 | ||
Bank of Georgia JSC 9% 2/8/12 (Issued by BG Finance BV for Bank of Georgia JSC) | 1,510 | 1,510 | ||
Bishopgate Asset Finance Ltd. 4.808% 8/14/44 | GBP | 1,450 | 1,637 | |
Broadgate PLC 1.4472% 10/5/25 (i) | GBP | 595 | 675 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
7.875% 4/30/18 (f) | 2,920 | 2,927 | ||
8.125% 4/30/20 (f) | 6,955 | 7,042 | ||
City of Buenos Aires 12.5% 4/6/15 (f) | 9,135 | 9,226 | ||
Dignity Finance PLC: | ||||
6.31% 12/31/23 (Reg. S) | GBP | 236 | 399 | |
8.151% 12/31/30 | GBP | 475 | 871 | |
FireKeepers Development Authority 13.875% 5/1/15 (f) | 1,600 | 1,848 | ||
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | 1,688 | 1,690 | ||
GMAC, Inc. 8% 3/15/20 (f) | 12,000 | 11,850 | ||
Greene King Finance PLC Series A1, 1.11% 6/15/31 (i) | GBP | 1,000 | 1,195 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
7.75% 1/15/16 (f) | 17,070 | 16,558 | ||
8% 1/15/18 (f) | 17,070 | 16,558 | ||
Imperial Tobacco Finance 8.375% 2/17/16 | EUR | 2,100 | 3,169 | |
Ineos Finance PLC 9% 5/15/15 (f) | 2,655 | 2,645 | ||
International Lease Finance Corp.: | ||||
5.625% 9/20/13 | 6,845 | 6,178 | ||
5.65% 6/1/14 | 8,508 | 7,551 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
International Lease Finance Corp.: - continued | ||||
6.375% 3/25/13 | $ 4,313 | $ 4,043 | ||
6.625% 11/15/13 | 17,827 | 16,401 | ||
JPMorgan Chase & Co. 6.125% 4/1/14 | EUR | 1,700 | 2,315 | |
LBI Escrow Corp. 8% 11/1/17 (f) | 7,115 | 7,311 | ||
Merck Financial Services GmbH 4.5% 3/24/20 | EUR | 5,550 | 7,189 | |
NCO Group, Inc. 11.875% 11/15/14 | 2,185 | 2,087 | ||
Pontis Ltd. 6.25% 7/20/10 (f) | 9,290 | 9,151 | ||
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (f) | 1,795 | 1,808 | ||
Red Arrow International Leasing PLC 8.375% 6/30/12 | RUB | 53,923 | 1,729 | |
TMK Capital SA 10% 7/29/11 | 6,300 | 6,511 | ||
Trans Union LLC/Trans Union Financing Corp. 11.375% 6/15/18 (f) | 4,285 | 4,472 | ||
TransCapitalInvest Ltd. 5.381% 6/27/12 (Reg. S) | EUR | 700 | 883 | |
UPC Germany GmbH 8.125% 12/1/17 (f) | 7,210 | 7,066 | ||
WaMu Covered Bond Program: | ||||
3.875% 9/27/11 | EUR | 1,090 | 1,359 | |
4.375% 5/19/14 | EUR | 2,250 | 2,889 | |
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (f)(i) | 13,370 | 12,135 | ||
| 196,905 | |||
Insurance - 0.3% | ||||
American International Group, Inc.: | ||||
4.25% 5/15/13 | 1,685 | 1,626 | ||
5.05% 10/1/15 | 2,765 | 2,540 | ||
5.45% 5/18/17 | 8,585 | 7,619 | ||
5.6% 10/18/16 | 4,760 | 4,346 | ||
5.85% 1/16/18 | 1,505 | 1,345 | ||
8.25% 8/15/18 | 5,085 | 5,149 | ||
AXA SA 5.25% 4/16/40 (i) | EUR | 4,000 | 4,550 | |
USI Holdings Corp. 4.3109% 11/15/14 (f)(i) | 920 | 752 | ||
| 27,927 | |||
Real Estate Investment Trusts - 0.1% | ||||
Omega Healthcare Investors, Inc. 7.5% 2/15/20 (f) | 4,860 | 4,775 | ||
Real Estate Management & Development - 0.3% | ||||
CB Richard Ellis Services, Inc. 11.625% 6/15/17 | 6,420 | 7,223 | ||
Realogy Corp.: | ||||
10.5% 4/15/14 | 15,000 | 12,750 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Realogy Corp.: - continued | ||||
11.75% 4/15/14 pay-in-kind (i) | $ 4,542 | $ 3,723 | ||
Toys 'R' Us Property Co. II LLC 8.5% 12/1/17 (f) | 845 | 868 | ||
Ventas Realty LP 6.5% 6/1/16 | 980 | 982 | ||
| 25,546 | |||
TOTAL FINANCIALS | 501,622 | |||
HEALTH CARE - 1.5% | ||||
Health Care Equipment & Supplies - 0.0% | ||||
Invacare Corp. 9.75% 2/15/15 | 1,530 | 1,645 | ||
Health Care Providers & Services - 1.3% | ||||
Apria Healthcare Group, Inc. 11.25% 11/1/14 (f) | 7,720 | 8,203 | ||
Capella Healthcare, Inc. 9.25% 7/1/17 (f) | 3,465 | 3,500 | ||
Cardinal Health 409, Inc. 9.5% 4/15/15 pay-in-kind (i) | 8,225 | 7,772 | ||
CRC Health Group, Inc. 10.75% 2/1/16 | 1,880 | 1,730 | ||
DASA Finance Corp. 8.75% 5/29/18 (f) | 1,865 | 2,019 | ||
Fresenius Medical Care Capital Trust IV 7.875% 6/15/11 | 1,000 | 1,030 | ||
HCA, Inc.: | ||||
5.75% 3/15/14 | 3,377 | 3,141 | ||
6.25% 2/15/13 | 1,755 | 1,724 | ||
6.375% 1/15/15 | 1,125 | 1,050 | ||
6.5% 2/15/16 | 4,220 | 3,935 | ||
6.75% 7/15/13 | 1,750 | 1,715 | ||
7.25% 9/15/20 | 23,835 | 23,716 | ||
9.125% 11/15/14 | 7,020 | 7,318 | ||
9.25% 11/15/16 | 17,055 | 17,993 | ||
HealthSouth Corp. 8.125% 2/15/20 | 7,395 | 7,274 | ||
Quintiles Transnational Holdings, Inc. 9.5% 12/30/14 (f) | 4,910 | 4,910 | ||
Rhoen-Klinikum AG 3.875% 3/11/16 | EUR | 1,400 | 1,760 | |
Skilled Healthcare Group, Inc. 11% 1/15/14 | 3,652 | 3,762 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 | 310 | 322 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13 | $ 684 | $ 718 | ||
United Surgical Partners International, Inc. 8.875% 5/1/17 | 895 | 886 | ||
| 104,478 | |||
Life Sciences Tools & Services - 0.0% | ||||
Bio-Rad Laboratories, Inc. 7.5% 8/15/13 | 1,770 | 1,790 | ||
Pharmaceuticals - 0.2% | ||||
Elan Finance PLC/Elan Finance Corp. 8.75% 10/15/16 (f) | 5,775 | 5,631 | ||
Leiner Health Products, Inc. 11% 6/1/12 (b) | 1,885 | 141 | ||
Mylan, Inc.: | ||||
7.625% 7/15/17 (f) | 3,900 | 4,007 | ||
7.875% 7/15/20 (f) | 7,040 | 7,216 | ||
Roche Holdings, Inc. 6.5% 3/4/21 | EUR | 1,950 | 3,007 | |
| 20,002 | |||
TOTAL HEALTH CARE | 127,915 | |||
INDUSTRIALS - 2.5% | ||||
Aerospace & Defense - 0.1% | ||||
Alion Science & Technology Corp.: | ||||
10.25% 2/1/15 | 800 | 616 | ||
12% 11/1/14 pay-in-kind (f) | 1,433 | 1,428 | ||
DigitalGlobe, Inc. 10.5% 5/1/14 | 2,915 | 3,134 | ||
GeoEye, Inc. 9.625% 10/1/15 (f) | 1,030 | 1,056 | ||
Hexcel Corp. 6.75% 2/1/15 | 2,350 | 2,303 | ||
| 8,537 | |||
Airlines - 0.6% | ||||
American Airlines, Inc. equipment trust certificate 13% 8/1/16 | 4,802 | 5,283 | ||
American Airlines, Inc. pass-thru trust certificates 10.375% 7/2/19 | 5,914 | 6,594 | ||
Continental Airlines, Inc. pass-thru trust certificates 6.903% 4/19/22 | 813 | 756 | ||
Continental Airlines, Inc. 7.25% 11/10/19 | 5,065 | 5,394 | ||
Delta Air Lines, Inc.: | ||||
7.9% 12/15/09 (a) | 16,400 | 164 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
Delta Air Lines, Inc.: - continued | ||||
9.5% 9/15/14 (f) | $ 1,530 | $ 1,614 | ||
10% 8/15/08 (a) | 1,255 | 13 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 8,583 | 8,722 | ||
8.021% 8/10/22 | 4,389 | 4,213 | ||
Northwest Airlines Corp. 10% 2/1/09 (a) | 1,895 | 0 | ||
Northwest Airlines, Inc.: | ||||
7.875% 3/15/08 (a) | 1,365 | 7 | ||
8.875% 6/1/06 (a) | 1,355 | 0 | ||
Northwest Airlines, Inc. pass-thru trust certificates: | ||||
7.027% 11/1/19 | 2,211 | 2,128 | ||
8.028% 11/1/17 | 844 | 743 | ||
United Air Lines, Inc.: | ||||
9.875% 8/1/13 (f) | 2,140 | 2,213 | ||
12% 11/1/13 (f) | 3,415 | 3,577 | ||
United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17 | 8,505 | 9,037 | ||
| 50,458 | |||
Building Products - 0.2% | ||||
Nortek, Inc. 11% 12/1/13 | 11,672 | 12,168 | ||
Commercial Services & Supplies - 0.6% | ||||
ACCO Brands Corp. 10.625% 3/15/15 | 595 | 637 | ||
ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13 | 160 | 160 | ||
Browning-Ferris Industries, Inc. 9.25% 5/1/21 | 680 | 843 | ||
Casella Waste Systems, Inc. 11% 7/15/14 (f) | 1,510 | 1,631 | ||
Cenveo Corp. 10.5% 8/15/16 (f) | 2,795 | 2,844 | ||
Garda World Security Corp. 9.75% 3/15/17 (f) | 2,260 | 2,283 | ||
International Lease Finance Corp.: | ||||
4.75% 1/13/12 | 2,500 | 2,366 | ||
5% 9/15/12 | 2,715 | 2,508 | ||
8.625% 9/15/15 (f) | 7,985 | 7,546 | ||
8.75% 3/15/17 (f) | 11,970 | 11,252 | ||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 10,955 | 10,763 | ||
7.75% 1/15/15 | 4,830 | 4,866 | ||
The Geo Group, Inc. 7.75% 10/15/17 (f) | 2,845 | 2,888 | ||
| 50,587 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Construction & Engineering - 0.1% | ||||
Blount, Inc. 8.875% 8/1/12 | $ 1,250 | $ 1,253 | ||
Odebrecht Finance Ltd. 7% 4/21/20 (f) | 1,830 | 1,857 | ||
Odebrecht Overseas Ltd. 9.625% | 1,620 | 1,620 | ||
| 4,730 | |||
Electrical Equipment - 0.0% | ||||
General Cable Corp. 7.125% 4/1/17 | 680 | 673 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 900 | 882 | ||
| 1,555 | |||
Industrial Conglomerates - 0.2% | ||||
Hutchison Whampoa Finance 06 Ltd. 4.625% 9/21/16 | EUR | 2,400 | 3,051 | |
Sequa Corp.: | ||||
11.75% 12/1/15 (f) | 11,050 | 10,884 | ||
13.5% 12/1/15 pay-in-kind (f) | 4,393 | 4,459 | ||
| 18,394 | |||
Machinery - 0.2% | ||||
ArvinMeritor, Inc. 10.625% 3/15/18 | 2,115 | 2,226 | ||
Chart Industries, Inc. 9.125% 10/15/15 | 1,160 | 1,160 | ||
Cummins, Inc. 7.125% 3/1/28 | 1,870 | 2,082 | ||
Navistar International Corp. 8.25% 11/1/21 | 9,025 | 9,138 | ||
Terex Corp. 10.875% 6/1/16 | 5,025 | 5,402 | ||
| 20,008 | |||
Marine - 0.1% | ||||
Navios Maritime Holdings, Inc.: | ||||
8.875% 11/1/17 (f) | 2,510 | 2,523 | ||
9.5% 12/15/14 | 5,215 | 5,006 | ||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 2,050 | 1,968 | ||
| 9,497 | |||
Road & Rail - 0.2% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 9.625% 3/15/18 (f) | 2,465 | 2,490 | ||
Kansas City Southern de Mexico, SA de CV: | ||||
7.375% 6/1/14 | 1,670 | 1,703 | ||
7.625% 12/1/13 | 1,700 | 1,738 | ||
12.5% 4/1/16 | 5,710 | 6,823 | ||
Swift Transportation Co., Inc. 12.5% 5/15/17 (f) | 1,270 | 1,213 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Road & Rail - continued | ||||
TFM SA de CV 9.375% 5/1/12 | $ 926 | $ 947 | ||
Western Express, Inc. 12.5% 4/15/15 (f) | 3,185 | 2,922 | ||
| 17,836 | |||
Trading Companies & Distributors - 0.1% | ||||
Penhall International Corp. 12% 8/1/14 (f) | 1,515 | 1,061 | ||
VWR Funding, Inc. 10.25% 7/15/15 pay-in-kind (i) | 10,578 | 10,684 | ||
| 11,745 | |||
Transportation Infrastructure - 0.1% | ||||
Trico Shipping AS 11.875% 11/1/14 (f) | 9,180 | 8,882 | ||
TOTAL INDUSTRIALS | 214,397 | |||
INFORMATION TECHNOLOGY - 1.5% | ||||
Communications Equipment - 0.5% | ||||
Avaya, Inc.: | ||||
9.75% 11/1/15 | 7,920 | 7,405 | ||
10.125% 11/1/15 pay-in-kind (i) | 4,608 | 4,308 | ||
Brocade Communications Systems, Inc.: | ||||
6.625% 1/15/18 (f) | 1,135 | 1,126 | ||
6.875% 1/15/20 (f) | 1,135 | 1,128 | ||
Hughes Network System LLC/HNS Finance Corp. 9.5% 4/15/14 | 6,290 | 6,369 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 20,050 | 13,233 | ||
6.5% 1/15/28 | 6,570 | 4,336 | ||
ViaSat, Inc. 8.875% 9/15/16 | 1,335 | 1,358 | ||
| 39,263 | |||
Computers & Peripherals - 0.0% | ||||
Seagate Technology International 10% 5/1/14 (f) | 1,450 | 1,653 | ||
Electronic Equipment & Components - 0.1% | ||||
Reddy Ice Corp.: | ||||
11.25% 3/15/15 (f) | 4,625 | 4,764 | ||
13.25% 11/1/15 (f) | 3,266 | 3,152 | ||
| 7,916 | |||
Internet Software & Services - 0.1% | ||||
Equinix, Inc. 8.125% 3/1/18 | 8,180 | 8,303 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
IT Services - 0.2% | ||||
Ceridian Corp.: | ||||
11.25% 11/15/15 | $ 4,145 | $ 3,731 | ||
12.25% 11/15/15 pay-in-kind (i) | 932 | 843 | ||
SunGard Data Systems, Inc. 9.125% 8/15/13 | 5,280 | 5,386 | ||
Unisys Corp.: | ||||
12.5% 1/15/16 | 3,030 | 3,272 | ||
12.75% 10/15/14 (f) | 437 | 488 | ||
14.25% 9/15/15 (f) | 350 | 403 | ||
| 14,123 | |||
Semiconductors & Semiconductor Equipment - 0.6% | ||||
Advanced Micro Devices, Inc. 8.125% 12/15/17 (f) | 3,470 | 3,444 | ||
Amkor Technology, Inc. 7.375% 5/1/18 (f) | 3,485 | 3,398 | ||
Avago Technologies Finance Ltd. 11.875% 12/1/15 | 8,455 | 9,227 | ||
Freescale Semiconductor, Inc.: | ||||
9.125% 12/15/14 pay-in-kind (i) | 4,571 | 4,091 | ||
9.25% 4/15/18 (f) | 2,800 | 2,744 | ||
10.125% 3/15/18 (f) | 9,655 | 9,945 | ||
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. 10.5% 4/15/18 (f) | 2,340 | 2,381 | ||
New ASAT Finance Ltd. 9.25% 2/1/11 (b) | 2,100 | 3 | ||
NXP BV 3.0528% 10/15/13 (i) | 9,075 | 7,759 | ||
Spansion LLC 11.25% 1/15/16 (b)(f) | 4,255 | 4,371 | ||
Viasystems, Inc. 12% 1/15/15 (f) | 4,000 | 4,320 | ||
| 51,683 | |||
Software - 0.0% | ||||
Open Solutions, Inc. 9.75% 2/1/15 (f) | 870 | 653 | ||
TOTAL INFORMATION TECHNOLOGY | 123,594 | |||
MATERIALS - 3.4% | ||||
Chemicals - 0.8% | ||||
Ashland, Inc. 9.125% 6/1/17 | 2,490 | 2,720 | ||
Braskem Finance Ltd. 7% 5/7/20 (f) | 1,600 | 1,616 | ||
Chemtura Corp. 6.875% 6/1/16 (b) | 1,225 | 1,378 | ||
Georgia Gulf Corp. 9% 1/15/17 (f) | 10,825 | 11,150 | ||
MacDermid, Inc. 9.5% 4/15/17 (f) | 500 | 501 | ||
Momentive Performance Materials, Inc.: | ||||
9.75% 12/1/14 | 16,120 | 15,233 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Chemicals - continued | ||||
Momentive Performance Materials, Inc.: - continued | ||||
10.125% 12/1/14 pay-in-kind (i) | $ 7,860 | $ 7,664 | ||
11.5% 12/1/16 | 10,765 | 9,689 | ||
NOVA Chemicals Corp.: | ||||
3.7476% 11/15/13 (i) | 1,690 | 1,555 | ||
6.5% 1/15/12 | 5,775 | 5,804 | ||
Solutia, Inc.: | ||||
7.875% 3/15/20 | 2,180 | 2,180 | ||
8.75% 11/1/17 | 1,100 | 1,136 | ||
Sterling Chemicals, Inc. 10.25% 4/1/15 | 1,600 | 1,568 | ||
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 (b) | 3,430 | 3,344 | ||
| 65,538 | |||
Construction Materials - 0.0% | ||||
Headwaters, Inc. 11.375% 11/1/14 | 1,025 | 1,030 | ||
SOV Housing Capital PLC 5.705% 9/10/39 | GBP | 1,400 | 2,224 | |
| 3,254 | |||
Containers & Packaging - 0.5% | ||||
AEP Industries, Inc. 7.875% 3/15/13 | 640 | 630 | ||
Berry Plastics Holding Corp.: | ||||
4.4121% 9/15/14 (i) | 640 | 550 | ||
8.875% 9/15/14 | 10,865 | 10,512 | ||
10.25% 3/1/16 | 4,055 | 3,528 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 9,795 | 8,913 | ||
7.5% 12/15/96 | 3,685 | 2,755 | ||
Jefferson Smurfit Corp. U.S. 8.25% 10/1/12 (b) | 1,170 | 0 | ||
Smurfit-Stone Container Enterprises, Inc. 8% 3/15/17 (b) | 5,845 | 0 | ||
Temple-Inland, Inc.: | ||||
6.625% 1/15/16 | 165 | 168 | ||
7.875% 5/1/12 | 3,735 | 4,015 | ||
Vitro SAB de CV: | ||||
8.625% 2/1/12 (b) | 26,810 | 12,333 | ||
9.125% 2/1/17 (b) | 2,210 | 1,017 | ||
| 44,421 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - 2.0% | ||||
Aleris International, Inc.: | ||||
6% 6/1/20 (f) | $ 33 | $ 156 | ||
9.75% 12/15/14 pay-in-kind (b)(i) | 2,790 | 21 | ||
CSN Islands XI Corp. 6.875% 9/21/19 (f) | 5,990 | 6,092 | ||
Edgen Murray Corp. 12.25% 1/15/15 (f) | 8,545 | 7,221 | ||
Evraz Group SA 8.875% 4/24/13 (f) | 7,925 | 8,084 | ||
FMG Finance Property Ltd.: | ||||
10% 9/1/13 (f) | 4,945 | 5,217 | ||
10.625% 9/1/16 (f) | 33,980 | 37,548 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
8.25% 4/1/15 | 8,780 | 9,515 | ||
8.375% 4/1/17 | 34,820 | 38,302 | ||
International Steel Group, Inc. 6.5% 4/15/14 | 10,550 | 11,294 | ||
Metinvest BV 10.25% 5/20/15 (f) | 3,620 | 3,525 | ||
Novelis, Inc. 11.5% 2/15/15 | 1,185 | 1,268 | ||
RathGibson, Inc. 11.25% 2/15/14 (b) | 5,905 | 89 | ||
Severstal Columbus LLC 10.25% 2/15/18 (f) | 7,005 | 7,075 | ||
Southern Copper Corp. 6.75% 4/16/40 | 3,160 | 3,144 | ||
Teck Resources Ltd.: | ||||
9.75% 5/15/14 | 6,275 | 7,418 | ||
10.25% 5/15/16 | 8,000 | 9,440 | ||
10.75% 5/15/19 | 9,360 | 11,469 | ||
| 166,878 | |||
Paper & Forest Products - 0.1% | ||||
Glatfelter 7.125% 5/1/16 | 550 | 534 | ||
NewPage Corp.: | ||||
6.5944% 5/1/12 (i) | 1,770 | 1,168 | ||
11.375% 12/31/14 | 4,775 | 4,321 | ||
Solo Cup Co. 8.5% 2/15/14 | 2,140 | 1,921 | ||
Stone Container Corp. 8.375% 7/1/12 (b) | 3,005 | 0 | ||
| 7,944 | |||
TOTAL MATERIALS | 288,035 | |||
TELECOMMUNICATION SERVICES - 6.8% | ||||
Diversified Telecommunication Services - 4.4% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 | 4,520 | 4,814 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | $ 4,895 | $ 4,357 | ||
9% 8/15/31 | 3,655 | 3,390 | ||
Clearwire Communications LLC/Clearwire Finance, Inc. 12% 12/1/15 (f) | 28,617 | 28,545 | ||
Frontier Communications Corp.: | ||||
8.25% 4/15/17 (f) | 6,470 | 6,519 | ||
8.5% 4/15/20 (f) | 6,645 | 6,678 | ||
Global Crossing Ltd. 12% 9/15/15 (f) | 3,130 | 3,318 | ||
Intelsat Bermuda Ltd.: | ||||
11.25% 2/4/17 | 42,616 | 43,042 | ||
12.5% 2/4/17 pay-in-kind (i) | 41,765 | 39,792 | ||
Intelsat Corp.: | ||||
9.25% 8/15/14 | 5,215 | 5,345 | ||
9.25% 6/15/16 | 8,820 | 9,261 | ||
Intelsat Ltd. 11.25% 6/15/16 | 27,785 | 29,660 | ||
Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (f) | 5,425 | 5,588 | ||
Qwest Communications International, Inc.: | ||||
7.125% 4/1/18 (f) | 6,665 | 6,632 | ||
7.5% 2/15/14 | 7,555 | 7,574 | ||
7.5% 2/15/14 | 1,655 | 1,659 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 74,790 | 62,076 | ||
6.9% 5/1/19 | 5,935 | 5,371 | ||
8.75% 3/15/32 | 61,330 | 58,570 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 2,535 | 2,326 | ||
7.25% 9/15/25 | 535 | 515 | ||
7.25% 10/15/35 | 1,455 | 1,335 | ||
7.5% 6/15/23 | 460 | 440 | ||
Wind Acquisition Finance SA: | ||||
11.75% 7/15/17 (f) | 21,075 | 21,602 | ||
12% 12/1/15 (f) | 11,630 | 11,979 | ||
| 370,388 | |||
Wireless Telecommunication Services - 2.4% | ||||
Clearwire Escrow Corp. 12% 12/1/15 (f) | 4,260 | 4,249 | ||
Digicel Group Ltd.: | ||||
8.875% 1/15/15 (f) | 23,300 | 22,485 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Digicel Group Ltd.: - continued | ||||
9.125% 1/15/15 pay-in-kind (f)(i) | $ 7,565 | $ 7,338 | ||
10.5% 4/15/18 (f) | 20,905 | 21,428 | ||
12% 4/1/14 (f) | 9,725 | 10,843 | ||
Intelsat Jackson Holdings Ltd.: | ||||
8.5% 11/1/19 (f) | 4,220 | 4,262 | ||
9.5% 6/15/16 | 19,260 | 20,175 | ||
11.5% 6/15/16 | 8,740 | 9,286 | ||
Intelsat Subsidiary Holding Co. Ltd. 8.875% 1/15/15 | 12,125 | 12,322 | ||
Millicom International Cellular SA 10% 12/1/13 | 19,270 | 19,848 | ||
Mobile Telesystems Finance SA 8% 1/28/12 (f) | 2,336 | 2,432 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (f) | 2,565 | 2,650 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 9,445 | 8,760 | ||
7.375% 8/1/15 | 5,220 | 4,959 | ||
NII Capital Corp. 10% 8/15/16 | 17,475 | 18,392 | ||
Orascom Telecom Finance SCA 7.875% 2/8/14 (f) | 9,690 | 8,769 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (f) | 12,184 | 11,392 | ||
Sprint Nextel Corp. 6% 12/1/16 | 6,700 | 6,013 | ||
Telecom Personal SA 9.25% 12/22/10 (f) | 5,490 | 5,600 | ||
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (f) | 5,670 | 5,982 | ||
| 207,185 | |||
TOTAL TELECOMMUNICATION SERVICES | 577,573 | |||
UTILITIES - 1.6% | ||||
Electric Utilities - 0.5% | ||||
Chivor SA E.S.P. 9.75% 12/30/14 (f) | 2,355 | 2,661 | ||
Empresa Distribuidora y Comercializadora Norte SA 10.5% 10/9/17 | 1,400 | 1,428 | ||
Intergen NV 9% 6/30/17 (f) | 17,825 | 17,736 | ||
Majapahit Holding BV: | ||||
7.75% 10/17/16 (Reg. S) | 5,060 | 5,579 | ||
7.75% 1/20/20 (f) | 3,370 | 3,690 | ||
8% 8/7/19 (f) | 2,455 | 2,713 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
National Power Corp. 6.875% 11/2/16 (f) | $ 2,715 | $ 2,987 | ||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. 11.25% 11/1/16 pay-in-kind (i) | 2,198 | 1,387 | ||
| 38,181 | |||
Gas Utilities - 0.2% | ||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 3,780 | 3,780 | ||
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | 6,645 | 7,048 | ||
8% 3/1/32 | 3,550 | 4,030 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (f) | 6,345 | 6,059 | ||
| 20,917 | |||
Independent Power Producers & Energy Traders - 0.6% | ||||
Energy Future Holdings Corp.: | ||||
10% 1/15/20 (f) | 3,415 | 3,398 | ||
10.875% 11/1/17 | 50,220 | 37,163 | ||
12% 11/1/17 pay-in-kind (i) | 7,432 | 4,680 | ||
Enron Corp.: | ||||
Series A, 8.375% 5/23/05 (b) | 2,500 | 0 | ||
0% 11/17/08 (b)(i) | 684 | 0 | ||
6.4% 7/15/06 (b) | 9,815 | 0 | ||
6.625% 11/15/05 (b) | 2,200 | 0 | ||
6.75% 8/1/09 (b) | 550 | 0 | ||
6.875% 10/15/07 (b) | 1,330 | 0 | ||
6.95% 7/15/28 (b) | 1,204 | 0 | ||
7.125% 5/15/07 (b) | 235 | 0 | ||
7.375% 5/15/19 (b) | 1,400 | 0 | ||
7.875% 6/15/03 (b) | 235 | 0 | ||
9.125% 4/1/03 (b) | 50 | 0 | ||
9.875% 6/5/03 (b) | 4,720 | 0 | ||
Power Sector Assets and Liabilities Management Corp.: | ||||
7.25% 5/27/19 (f) | 2,795 | 3,085 | ||
7.39% 12/2/24 (f) | 2,880 | 3,150 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (f) | 963 | 924 | ||
| 52,400 | |||
Multi-Utilities - 0.3% | ||||
Aquila, Inc. 11.875% 7/1/12 (i) | 1,615 | 1,860 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
NiSource Finance Corp. 10.75% 3/15/16 | $ 18,183 | $ 23,313 | ||
Utilicorp United, Inc. 7.95% 2/1/11 (e) | 39 | 40 | ||
| 25,213 | |||
TOTAL UTILITIES | 136,711 | |||
TOTAL NONCONVERTIBLE BONDS | 2,793,494 | |||
TOTAL CORPORATE BONDS (Cost $2,768,415) | 2,895,873 | |||
U.S. Government and Government Agency Obligations - 23.8% | ||||
| ||||
U.S. Government Agency Obligations - 3.7% | ||||
Fannie Mae: | ||||
1.125% 7/30/12 | 41,420 | 41,703 | ||
1.25% 6/22/12 | 87,210 | 88,058 | ||
Federal Home Loan Bank: | ||||
1.5% 1/16/13 | 15,290 | 15,487 | ||
1.875% 6/21/13 | 36,440 | 37,169 | ||
3.625% 10/18/13 | 8,705 | 9,327 | ||
Freddie Mac: | ||||
1.625% 4/15/13 | 20,000 | 20,308 | ||
1.75% 6/15/12 | 73,924 | 75,389 | ||
4.125% 12/21/12 | 4,080 | 4,405 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23 | 11,210 | 13,122 | ||
Private Export Funding Corp. secured: | ||||
4.974% 8/15/13 | 1,515 | 1,680 | ||
5.685% 5/15/12 | 1,285 | 1,403 | ||
Small Business Administration guaranteed development participation certificates Series 2003-P10B, Class 1 5.136% 8/10/13 | 348 | 368 | ||
Tennessee Valley Authority 5.25% 9/15/39 | 5,600 | 6,109 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 314,528 | |||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Treasury Obligations - 17.8% | ||||
U.S. Treasury Bonds: | ||||
3.5% 2/15/39 | $ 69,782 | $ 64,974 | ||
4.25% 5/15/39 | 23,717 | 25,136 | ||
4.375% 5/15/40 | 34,272 | 37,158 | ||
4.5% 5/15/38 | 7,550 | 8,346 | ||
4.5% 8/15/39 | 16,300 | 17,996 | ||
5.25% 2/15/29 | 31,710 | 38,215 | ||
6.125% 8/15/29 | 9,487 | 12,621 | ||
6.25% 8/15/23 | 36,125 | 46,867 | ||
7.5% 11/15/16 | 2,850 | 3,736 | ||
7.5% 11/15/24 | 10,690 | 15,521 | ||
7.875% 2/15/21 | 6,800 | 9,742 | ||
8% 11/15/21 | 11,000 | 16,010 | ||
8.125% 5/15/21 | 9,286 | 13,550 | ||
9.875% 11/15/15 | 11,595 | 16,305 | ||
U.S. Treasury Notes: | ||||
0.75% 11/30/11 | 14,414 | 14,470 | ||
0.75% 5/31/12 | 56,030 | 56,201 | ||
0.875% 1/31/12 | 26,518 | 26,662 | ||
1% 9/30/11 | 12,000 | 12,083 | ||
1% 12/31/11 | 22,619 | 22,787 | ||
1% 4/30/12 | 6,468 | 6,518 | ||
1.375% 11/15/12 | 7,986 | 8,102 | ||
1.375% 2/15/13 | 82,848 | 83,955 | ||
1.5% 12/31/13 | 4,313 | 4,350 | ||
1.75% 4/15/13 | 36,755 | 37,596 | ||
1.875% 4/30/14 | 28,912 | 29,443 | ||
1.875% 6/30/15 | 19,907 | 19,993 | ||
2.375% 8/31/14 | 13,000 | 13,444 | ||
2.375% 9/30/14 | 24,851 | 25,676 | ||
2.375% 10/31/14 | 10,038 | 10,360 | ||
2.5% 3/31/15 | 120,549 | 124,950 | ||
2.5% 4/30/15 | 70,378 | 72,902 | ||
2.625% 6/30/14 | 39,248 | 41,042 | ||
2.625% 7/31/14 | 66,965 | 69,994 | ||
2.625% 4/30/16 | 3,137 | 3,225 | ||
2.75% 11/30/16 | 10,000 | 10,259 | ||
2.75% 2/15/19 | 23,501 | 23,433 | ||
3% 9/30/16 | 37,355 | 38,975 | ||
3% 2/28/17 | 66,584 | 69,164 | ||
3.125% 8/31/13 | 11,100 | 11,816 | ||
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 | $ 36,816 | ||
3.125% 10/31/16 | 41,816 | 43,894 | ||
3.125% 1/31/17 | 30,990 | 32,433 | ||
3.125% 5/15/19 | 52,907 | 54,060 | ||
3.375% 6/30/13 | 8,470 | 9,079 | ||
3.5% 5/15/20 | 24,382 | 25,544 | ||
3.625% 8/15/19 | 18,531 | 19,612 | ||
3.625% 2/15/20 | 19,848 | 20,991 | ||
3.75% 11/15/18 | 34,582 | 37,295 | ||
3.875% 5/15/18 | 2,550 | 2,789 | ||
4% 8/15/18 | 5,478 | 6,030 | ||
4.25% 11/15/17 | 28,890 | 32,476 | ||
4.5% 5/15/17 | 13,745 | 15,648 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 1,500,244 | |||
Other Government Related - 2.3% | ||||
Bank of America Corp.: | ||||
2.1% 4/30/12 (FDIC Guaranteed) (g) | 3,013 | 3,086 | ||
3.125% 6/15/12 (FDIC Guaranteed) (g) | 45 | 47 | ||
Citibank NA: | ||||
1.75% 12/28/12 (FDIC Guaranteed) (g) | 15,000 | 15,271 | ||
1.875% 5/7/12 (FDIC Guaranteed) (g) | 18,000 | 18,375 | ||
Citigroup Funding, Inc.: | ||||
1.875% 10/22/12 (FDIC Guaranteed) (g) | 29,000 | 29,616 | ||
1.875% 11/15/12 (FDIC Guaranteed) (g) | 6,937 | 7,085 | ||
2% 3/30/12 (FDIC Guaranteed) (g) | 10,000 | 10,210 | ||
2.125% 7/12/12 (FDIC Guaranteed) (g) | 2,505 | 2,570 | ||
General Electric Capital Corp.: | ||||
1.8% 3/11/11 (FDIC Guaranteed) (g) | 12,000 | 12,116 | ||
2% 9/28/12 (FDIC Guaranteed) (g) | 19,526 | 19,997 | ||
2.125% 12/21/12 (FDIC Guaranteed) (g) | 15,000 | 15,425 | ||
2.625% 12/28/12 (FDIC Guaranteed) (g) | 5,402 | 5,615 | ||
3% 12/9/11 (FDIC Guaranteed) (g) | 3,120 | 3,223 | ||
GMAC, Inc. 1.75% 10/30/12 (FDIC Guaranteed) (g) | 21,000 | 21,369 | ||
Goldman Sachs Group, Inc. 3.25% 6/15/12 (FDIC Guaranteed) (g) | 45 | 47 | ||
JPMorgan Chase & Co.: | ||||
2.125% 6/22/12 (FDIC Guaranteed) (g) | 5,240 | 5,376 | ||
2.2% 6/15/12 (FDIC Guaranteed) (g) | 5,230 | 5,375 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Other Government Related - continued | ||||
JPMorgan Chase & Co.: - continued | ||||
3.125% 12/1/11 (FDIC Guaranteed) (g) | $ 520 | $ 538 | ||
Morgan Stanley 3.25% 12/1/11 (FDIC Guaranteed) (g) | 21,887 | 22,680 | ||
TOTAL OTHER GOVERNMENT RELATED | 198,021 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,951,430) | 2,012,793 | |||
U.S. Government Agency - Mortgage Securities - 2.3% | ||||
| ||||
Fannie Mae - 0.9% | ||||
1.953% 9/1/33 (i) | 933 | 959 | ||
1.985% 4/1/36 (i) | 174 | 179 | ||
2.032% 10/1/34 (i) | 1,341 | 1,383 | ||
2.062% 11/1/35 (i) | 877 | 901 | ||
2.073% 2/1/35 (i) | 3,630 | 3,733 | ||
2.09% 7/1/35 (i) | 660 | 685 | ||
2.73% 11/1/33 (i) | 207 | 216 | ||
2.731% 5/1/35 (i) | 1,540 | 1,619 | ||
2.805% 7/1/35 (i) | 604 | 629 | ||
2.889% 2/1/35 (i) | 2,537 | 2,650 | ||
2.963% 3/1/33 (i) | 277 | 290 | ||
2.989% 10/1/35 (i) | 171 | 177 | ||
2.99% 11/1/36 (i) | 91 | 96 | ||
3.018% 1/1/35 (i) | 480 | 500 | ||
3.079% 3/1/35 (i) | 17,193 | 18,110 | ||
3.079% 7/1/35 (i) | 445 | 465 | ||
3.213% 7/1/35 (i) | 834 | 858 | ||
3.221% 7/1/35 (i) | 1,324 | 1,380 | ||
3.26% 9/1/34 (i) | 804 | 834 | ||
3.278% 4/1/36 (i) | 659 | 691 | ||
3.391% 4/1/35 (i) | 1,151 | 1,203 | ||
3.542% 2/1/37 (i) | 1,543 | 1,612 | ||
3.546% 2/1/40 (i) | 18,187 | 18,948 | ||
3.564% 11/1/36 (i) | 497 | 519 | ||
3.6% 6/1/47 (i) | 330 | 345 | ||
3.697% 6/1/36 (i) | 93 | 97 | ||
3.863% 9/1/35 (i) | 1,610 | 1,681 | ||
3.876% 5/1/35 (i) | 633 | 661 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Fannie Mae - continued | ||||
3.882% 9/1/36 (i) | $ 635 | $ 663 | ||
3.95% 10/1/37 (i) | 574 | 600 | ||
4% 9/1/13 | 358 | 368 | ||
4.031% 8/1/35 (i) | 1,576 | 1,664 | ||
4.162% 10/1/35 (i) | 2,826 | 2,938 | ||
4.777% 7/1/35 (i) | 592 | 617 | ||
5% 1/1/14 to 5/1/22 | 188 | 199 | ||
5.032% 2/1/34 (i) | 794 | 834 | ||
5.5% 5/1/15 to 7/1/40 | 810 | 869 | ||
5.544% 2/1/36 (i) | 195 | 205 | ||
5.571% 4/1/36 (i) | 1,182 | 1,238 | ||
5.707% 9/1/35 (i) | 1,139 | 1,203 | ||
5.738% 5/1/36 (i) | 256 | 269 | ||
5.883% 4/1/36 (i) | 2,946 | 3,056 | ||
6% 6/1/16 to 10/1/16 | 217 | 235 | ||
6.074% 3/1/37 (i) | 214 | 228 | ||
6.5% 12/1/12 to 9/1/32 | 3,012 | 3,324 | ||
7.5% 1/1/28 | 79 | 90 | ||
TOTAL FANNIE MAE | 80,021 | |||
Freddie Mac - 0.4% | ||||
1.791% 3/1/37 (i) | 1,182 | 1,210 | ||
1.866% 5/1/37 (i) | 204 | 210 | ||
1.903% 3/1/35 (i) | 344 | 352 | ||
2.54% 6/1/33 (i) | 555 | 576 | ||
2.613% 12/1/33 (i) | 1,115 | 1,163 | ||
2.624% 5/1/37 (i) | 1,174 | 1,224 | ||
2.994% 5/1/35 (i) | 1,083 | 1,131 | ||
3.026% 5/1/37 (i) | 1,787 | 1,870 | ||
3.086% 4/1/37 (i) | 220 | 230 | ||
3.097% 10/1/35 (i) | 729 | 759 | ||
3.188% 1/1/35 (i) | 1,432 | 1,499 | ||
3.269% 1/1/36 (i) | 1,431 | 1,505 | ||
3.392% 3/1/37 (i) | 215 | 222 | ||
3.395% 7/1/35 (i) | 632 | 658 | ||
3.558% 10/1/36 (i) | 762 | 791 | ||
3.95% 12/1/36 (i) | 2,702 | 2,825 | ||
4.021% 5/1/37 (i) | 163 | 171 | ||
4.221% 4/1/34 (i) | 5,081 | 5,250 | ||
4.439% 2/1/36 (i) | 135 | 142 | ||
4.5% 8/1/33 | 546 | 571 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Freddie Mac - continued | ||||
4.744% 4/1/35 (i) | $ 1,424 | $ 1,505 | ||
5.046% 1/1/37 (i) | 886 | 935 | ||
5.06% 9/1/35 (i) | 320 | 334 | ||
5.09% 7/1/35 (i) | 380 | 399 | ||
5.138% 4/1/35 (i) | 57 | 60 | ||
5.252% 2/1/36 (i) | 38 | 40 | ||
5.462% 6/1/37 (i) | 500 | 521 | ||
5.515% 1/1/36 (i) | 471 | 492 | ||
5.515% 1/1/36 (i) | 146 | 151 | ||
5.549% 3/1/36 (i) | 1,909 | 1,989 | ||
5.554% 10/1/35 (i) | 95 | 100 | ||
6.009% 6/1/37 (i) | 65 | 69 | ||
6.122% 7/1/36 (i) | 264 | 278 | ||
6.157% 6/1/37 (i) | 167 | 176 | ||
6.23% 8/1/37 (i) | 470 | 500 | ||
6.458% 2/1/37 (i) | 151 | 159 | ||
6.5% 10/1/10 to 3/1/22 | 4,184 | 4,505 | ||
7.22% 4/1/37 (i) | 9 | 9 | ||
8.5% 3/1/20 | 5 | 6 | ||
TOTAL FREDDIE MAC | 34,587 | |||
Government National Mortgage Association - 1.0% | ||||
5.492% 4/20/60 (m) | 8,890 | 9,854 | ||
5.5% 1/20/60 to 3/20/60 (m) | 51,583 | 57,072 | ||
5.691% 10/20/59 (m) | 13,149 | 14,555 | ||
7% 9/15/25 to 8/15/31 | 55 | 61 | ||
7.5% 2/15/22 to 8/15/28 | 102 | 115 | ||
8% 9/15/26 to 12/15/26 | 10 | 12 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 81,669 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $191,308) | 196,277 | |||
Asset-Backed Securities - 0.1% | ||||
| ||||
Amstel Corp. Loan Offering BV Series 2007-1 Class B, 1.009% 3/25/17 (i) | EUR | 1,009 | 1,073 | |
Auto ABS Compartiment Series 2006-1 Class B, 0.894% 7/25/17 (i) | EUR | 500 | 585 | |
Asset-Backed Securities - continued | ||||
| Principal | Value (000s) | ||
Clock Finance BV Series 2007-1: | ||||
Class B2, 0.915% 2/25/15 (i) | EUR | 700 | $ 735 | |
Class C2, 1.095% 2/25/15 (i) | EUR | 400 | 366 | |
Geldilux Ltd. Series 2007-TS Class C, 1.138% 9/8/14 (i) | EUR | 400 | 381 | |
Lambda Finance BV Series 2007-1X Class A2, 0.889% 9/20/31 (i) | EUR | 379 | 440 | |
Leek Finance PLC: | ||||
Series 17X Class A2A, 0.7875% 12/21/37 (i) | GBP | 182 | 265 | |
Series 18X Class BC, 1.129% 9/21/38 (i) | EUR | 600 | 625 | |
Promise K 2006-1 GmbH Series I 2006-1 Class D, 1.383% 3/10/17 (i) | EUR | 1,000 | 289 | |
Tesco Property Finance 2 PLC 6.0517% 10/13/39 | GBP | 3,539 | 5,669 | |
Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27 | GBP | 60 | 73 | |
TOTAL ASSET-BACKED SECURITIES (Cost $12,885) | 10,501 | |||
Collateralized Mortgage Obligations - 1.5% | ||||
| ||||
Private Sponsor - 0.0% | ||||
Arkle Master Issuer PLC floater Series 2006-1X Class 5M1, 0.953% 2/17/52 (i) | EUR | 800 | 930 | |
Granite Mortgages PLC 0.9675% 3/20/44 (i) | GBP | 290 | 399 | |
Shield BV Series 1 Class C, 1.034% 1/20/14 (i) | EUR | 900 | 1,045 | |
TOTAL PRIVATE SPONSOR | 2,374 | |||
U.S. Government Agency - 1.5% | ||||
Fannie Mae: | ||||
floater Series 2006-56 Class PF, 0.6972% 7/25/36 (i) | 7,371 | 7,339 | ||
Series 2006-127 Class FD, 0.6272% 7/25/36 (i) | 6,814 | 6,762 | ||
Series 2006-44 Class FK, 0.7772% 6/25/36 (i) | 2,595 | 2,590 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2005-56 Class F, 0.6372% 7/25/35 (i) | 9,775 | 9,683 | ||
Series 2006-50 Class BF, 0.7472% 6/25/36 (i) | 7,729 | 7,702 | ||
Series 2006-79 Class PF, 0.7472% 8/25/36 (i) | 5,052 | 5,024 | ||
planned amortization class: | ||||
Series 2002-9 Class PC, 6% 3/25/17 | 124 | 134 | ||
Series 2003-113 Class PE, 4% 11/25/18 | 1,515 | 1,610 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 890 | 974 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - continued | ||||
Fannie Mae subordinate REMIC pass-thru certificates: - continued | ||||
planned amortization class: | ||||
Series 2003-85 Class GD, 4.5% 9/25/18 | $ 3,190 | $ 3,454 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 1,980 | 2,090 | ||
Series 2004-81 Class KD, 4.5% 7/25/18 | 3,035 | 3,260 | ||
Series 2005-52 Class PB, 6.5% 12/25/34 | 1,688 | 1,829 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 430 | 472 | ||
Series 2004-95 Class AN, 5.5% 1/25/25 | 1,417 | 1,534 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 808 | 867 | ||
Series 2005-29 Class KA, 4.5% 2/25/35 | 1,990 | 2,113 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 2,480 | 2,845 | ||
Series 2003-79 Class FC, 0.7972% 8/25/33 (i) | 5,384 | 5,384 | ||
Series 2008-76 Class EF, 0.8472% 9/25/23 (i) | 2,060 | 2,059 | ||
Freddie Mac planned amortization class: | ||||
Series 2101 Class PD, 6% 11/15/28 | 246 | 271 | ||
Series 2115 Class PE, 6% 1/15/14 | 71 | 75 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2577 Class FW, 0.8497% 1/15/30 (i) | 1,147 | 1,148 | ||
Series 2630 Class FL, 0.8497% 6/15/18 (i) | 104 | 106 | ||
Series 3346 Class FA, 0.5797% 2/15/19 (i) | 9,072 | 9,077 | ||
planned amortization class: | ||||
Series 2376 Class JE, 5.5% 11/15/16 | 469 | 508 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 340 | 368 | ||
Series 2425 Class JH, 6% 3/15/17 | 607 | 661 | ||
Series 2628 Class OE, 4.5% 6/15/18 | 1,630 | 1,777 | ||
Series 2695 Class DG, 4% 10/15/18 | 3,865 | 4,117 | ||
Series 2831 Class PB, 5% 7/15/19 | 3,990 | 4,401 | ||
Series 2866 Class XE, 4% 12/15/18 | 5,780 | 6,079 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 575 | 633 | ||
Series 3122 Class FE, 0.6497% 3/15/36 (i) | 6,779 | 6,758 | ||
Series 3147 Class PF, 0.6497% 4/15/36 (i) | 5,687 | 5,661 | ||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | 683 | 750 | ||
Series 2570 Class CU, 4.5% 7/15/17 | 140 | 146 | ||
Series 2572 Class HK, 4% 2/15/17 | 162 | 166 | ||
Series 2627: | ||||
Class BG, 3.25% 6/15/17 | 105 | 108 | ||
Class KP, 2.87% 12/15/16 | 87 | 90 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
sequential payer: | ||||
Series 2668 Class AZ, 4% 9/15/18 | $ 3,273 | $ 3,534 | ||
Series 2860 Class CP, 4% 10/15/17 | 125 | 128 | ||
Series 2715 Class NG, 4.5% 12/15/18 | 2,155 | 2,347 | ||
Series 2863 Class DB, 4% 9/15/14 | 174 | 178 | ||
Ginnie Mae guaranteed REMIC pass-thru securities: | ||||
floater 0.6475% 1/20/31 (i) | 3,717 | 3,721 | ||
Series 2003-42 Class FH, 0.7975% 5/20/33 (i) | 1,433 | 1,437 | ||
Series 2004-59 Class FC, 0.6497% 8/16/34 (i) | 2,815 | 2,805 | ||
0.6813% 8/1/60 (h)(i)(m) | 2,276 | 2,276 | ||
TOTAL U.S. GOVERNMENT AGENCY | 127,051 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $125,315) | 129,425 | |||
Commercial Mortgage Securities - 0.1% | ||||
| ||||
Bruntwood Alpha PLC Series 2007-1 Class A, 0.81% 1/15/17 (i) | GBP | 500 | 635 | |
Canary Wharf Finance II PLC Series 3MUK Class C2, 1.1644% 10/22/37 (i) | GBP | 1,000 | 822 | |
Enterprise Inns PLC 6.5% 12/6/18 | GBP | 785 | 950 | |
European Property Capital 4 PLC Class C, 0.9347% 7/20/14 (i) | GBP | 297 | 302 | |
FCC Proudreed Properties Class A, 0.914% 8/18/17 (i) | EUR | 505 | 522 | |
German Residential Asset Note Distributor PLC Series 1 Class A, 0.884% 7/20/16 (i) | EUR | 1,253 | 1,280 | |
London & Regional Debt Securitisation No. 1 PLC Class A, 0.8609% 10/15/14 (i) | GBP | 650 | 845 | |
Opera Finance (CMH) PLC Class B, 0.944% 1/15/15 (i) | EUR | 800 | 597 | |
REC Plantation Place Ltd. Series 5 Class A, 0.8938% 7/25/16 (Reg. S) (i) | GBP | 876 | 1,113 | |
Silver Maple Investment Co. Ltd. Class 2A, 0.814% 4/30/14 (i) | EUR | 700 | 803 | |
Skyline BV Series 2007-1 Class D, 1.452% 7/22/43 (i) | EUR | 1,100 | 724 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $12,275) | 8,593 | |||
Foreign Government and Government Agency Obligations - 22.0% | ||||
| Principal | Value (000s) | ||
Arab Republic of Egypt: | ||||
5.75% 4/29/20 (f) | $ 3,190 | $ 3,206 | ||
6.875% 4/30/40 (f) | 1,895 | 1,838 | ||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 9,802 | 6,592 | ||
par 2.5% 12/31/38 (e) | 7,920 | 2,812 | ||
0.389% 8/3/12 (i) | 3,746 | 3,442 | ||
7% 3/28/11 | 118,815 | 117,145 | ||
7% 9/12/13 | 82,325 | 71,650 | ||
Bahamian Republic 6.95% 11/20/29 (f) | 3,095 | 3,095 | ||
Banco Central del Uruguay: | ||||
value recovery A rights 1/2/21 (l) | 1,000,000 | 0 | ||
value recovery B rights 1/2/21 (l) | 750,000 | 0 | ||
Barbados Government 7.25% 12/15/21 (f) | 3,491 | 3,700 | ||
Brazilian Federative Republic: | ||||
6% 9/15/13 | 992 | 1,039 | ||
8.25% 1/20/34 | 2,095 | 2,765 | ||
8.75% 2/4/25 | 2,310 | 3,130 | ||
11% 8/17/40 | 8,770 | 11,774 | ||
12.25% 3/6/30 | 3,235 | 5,661 | ||
12.5% 1/5/22 | BRL | 9,215 | 5,779 | |
Canadian Government: | ||||
2.5% 6/1/15 | CAD | 93,800 | 88,817 | |
3.5% 6/1/20 | CAD | 66,650 | 64,819 | |
5% 6/1/37 | CAD | 24,700 | 28,551 | |
Cayman Island Government 5.95% 11/24/19 (f) | 1,855 | 1,855 | ||
Central Bank of Nigeria warrants 11/15/20 (a) | 2,750 | 495 | ||
Colombian Republic: | ||||
7.375% 9/18/37 | 5,300 | 6,214 | ||
10.375% 1/28/33 | 2,220 | 3,219 | ||
11.75% 2/25/20 | 2,235 | 3,313 | ||
Congo Republic 3% 6/30/29 (e) | 16,255 | 8,615 | ||
Croatia Republic 6.75% 11/5/19 (f) | 2,785 | 2,889 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
7.4% 1/22/15 (f) | 2,925 | 3,005 | ||
8.25% 10/24/12 (f) | 4,175 | 4,446 | ||
Dominican Republic: | ||||
1.5704% 8/30/24 (i) | 4,983 | 4,086 | ||
7.5% 5/6/21 (f) | 4,405 | 4,537 | ||
9.04% 1/23/18 (f) | 3,793 | 4,210 | ||
Ecuador Republic 5% 2/28/25 | 1,580 | 1,011 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
El Salvador Republic: | ||||
7.375% 12/1/19 (f) | $ 1,865 | $ 2,033 | ||
7.65% 6/15/35 (Reg. S) | 3,285 | 3,482 | ||
7.75% 1/24/23 (Reg. S) | 1,900 | 2,081 | ||
8.25% 4/10/32 (Reg. S) | 1,435 | 1,579 | ||
Finnish Government 3.375% 4/15/20 | EUR | 6,150 | 7,854 | |
French Republic: | ||||
OAT: | ||||
3.5% 4/25/20 | EUR | 53,700 | 68,034 | |
4.5% 4/25/41 | EUR | 16,900 | 23,573 | |
2% 7/12/15 | EUR | 45,800 | 56,045 | |
4% 4/25/60 | EUR | 5,750 | 7,523 | |
Gabonese Republic 8.2% 12/12/17 (f) | 5,400 | 5,731 | ||
Georgia Republic 7.5% 4/15/13 | 5,810 | 6,013 | ||
German Federal Republic: | ||||
1.25% 9/16/11 | EUR | 450 | 555 | |
2.25% 4/10/15 | EUR | 55,450 | 70,266 | |
3% 7/4/20 | EUR | 32,935 | 41,811 | |
3.5% 4/8/11 | EUR | 21,100 | 26,400 | |
4.75% 7/4/40 | EUR | 23,000 | 35,980 | |
Ghana Republic: | ||||
8.5% 10/4/17 (f) | 5,945 | 6,242 | ||
14.99% 3/11/13 | GHS | 2,630 | 1,802 | |
Hungarian Republic 6.25% 1/29/20 | 3,965 | 3,886 | ||
Indonesian Republic: | ||||
5.875% 3/13/20 (f) | 6,015 | 6,339 | ||
6.625% 2/17/37 (f) | 4,700 | 4,935 | ||
6.875% 3/9/17 (f) | 2,845 | 3,208 | ||
6.875% 1/17/18 (f) | 5,385 | 6,072 | ||
7.75% 1/17/38 (f) | 4,510 | 5,322 | ||
8.5% 10/12/35 (Reg. S) | 4,790 | 6,035 | ||
11.625% 3/4/19 (f) | 4,145 | 5,948 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (f) | 12,840 | 11,941 | ||
Italian Republic: | ||||
3.5% 6/1/14 | EUR | 29,100 | 36,549 | |
3.75% 8/1/15 | EUR | 21,150 | 26,740 | |
4% 9/1/20 | EUR | 24,200 | 29,409 | |
4.25% 8/1/13 | EUR | 15,750 | 20,244 | |
4.25% 3/1/20 | EUR | 30,350 | 37,721 | |
5% 9/1/40 | EUR | 24,500 | 29,836 | |
Japan Government: | ||||
0.4% 5/15/11 | JPY | 8,733,200 | 99,011 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Japan Government: - continued | ||||
1.3% 6/20/20 | JPY | 3,375,000 | $ 38,941 | |
2.1% 9/20/29 | JPY | 2,550,000 | 30,189 | |
2.2% 9/20/39 | JPY | 2,115,000 | 25,322 | |
Lithuanian Republic: | ||||
6.75% 1/15/15 (f) | 2,895 | 3,028 | ||
7.375% 2/11/20 (f) | 3,680 | 3,860 | ||
Ontario Province 4.4% 6/2/19 | CAD | 9,900 | 9,671 | |
Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (f) | 2,160 | 2,511 | ||
Peruvian Republic: | ||||
3% 3/7/27 (e) | 900 | 745 | ||
7.35% 7/21/25 | 2,635 | 3,158 | ||
Philippine Republic: | ||||
6.5% 1/20/20 | 2,960 | 3,256 | ||
9.5% 2/2/30 | 2,140 | 2,894 | ||
10.625% 3/16/25 | 2,040 | 2,943 | ||
Polish Government 5% 10/19/15 | 1,165 | 1,225 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 9,225 | 7,472 | ||
Republic of Serbia 6.75% 11/1/24 (f) | 19,464 | 18,637 | ||
Russian Federation: | ||||
3.625% 4/29/15 (f) | 1,600 | 1,550 | ||
5% 4/29/20 (f) | 8,000 | 7,750 | ||
7.5% 3/31/30 (Reg. S) | 62,146 | 70,147 | ||
12.75% 6/24/28 (Reg. S) | 8,740 | 14,640 | ||
Turkish Republic: | ||||
5.625% 3/30/21 | 3,170 | 3,130 | ||
6.75% 4/3/18 | 5,860 | 6,417 | ||
6.75% 5/30/40 | 4,395 | 4,408 | ||
6.875% 3/17/36 | 12,320 | 12,720 | ||
7% 9/26/16 | 7,190 | 8,008 | ||
7.25% 3/15/15 | 1,000 | 1,118 | ||
7.25% 3/5/38 | 8,050 | 8,634 | ||
7.375% 2/5/25 | 13,955 | 15,683 | ||
7.5% 7/14/17 | 7,085 | 8,077 | ||
11.875% 1/15/30 | 2,570 | 4,154 | ||
UK Treasury GILT: | ||||
2.75% 1/22/15 | GBP | 13,200 | 20,299 | |
4% 9/7/16 | GBP | 420 | 680 | |
4.25% 12/7/40 | GBP | 28,850 | 43,570 | |
4.5% 9/7/34 | GBP | 39,580 | 61,849 | |
4.75% 3/7/20 | GBP | 25,325 | 42,173 | |
Ukraine Cabinet of Ministers 6.875% 3/4/11 (Reg. S) | 18,725 | 18,725 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Ukraine Government: | ||||
6.385% 6/26/12 (f) | $ 1,845 | $ 1,827 | ||
6.75% 11/14/17 (f) | 5,725 | 5,310 | ||
United Mexican States: | ||||
5.125% 1/15/20 | 3,170 | 3,321 | ||
5.625% 1/15/17 | 3,328 | 3,661 | ||
6.05% 1/11/40 | 3,180 | 3,355 | ||
7.5% 4/8/33 | 1,770 | 2,213 | ||
8.3% 8/15/31 | 1,710 | 2,300 | ||
Uruguay Republic: | ||||
6.875% 9/28/25 | 1,675 | 1,868 | ||
8% 11/18/22 | 7,512 | 9,051 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (l) | 3,260 | 82 | ||
1.3072% 4/20/11 (Reg. S) (i) | 36,605 | 33,860 | ||
5.375% 8/7/10 (Reg. S) | 28,542 | 28,328 | ||
7% 3/31/38 | 4,180 | 2,195 | ||
8.5% 10/8/14 | 5,905 | 4,606 | ||
9% 5/7/23 (Reg. S) | 20,260 | 12,561 | ||
9.25% 9/15/27 | 13,370 | 9,192 | ||
9.375% 1/13/34 | 4,855 | 3,034 | ||
10.75% 9/19/13 | 15,498 | 13,638 | ||
13.625% 8/15/18 | 17,330 | 15,164 | ||
Vietnamese Socialist Republic: | ||||
1.2103% 3/12/16 (i) | 1,672 | 1,488 | ||
4% 3/12/28 (e) | 11,700 | 9,594 | ||
6.75% 1/29/20 (f) | 4,150 | 4,275 | ||
6.875% 1/15/16 (f) | 2,565 | 2,725 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,802,695) | 1,855,142 | |||
Supranational Obligations - 0.1% | ||||
| ||||
Eurasian Development Bank 7.375% 9/29/14 (f) | 5,370 | 5,571 | ||
European Investment Bank 11.25% 12/2/11 (f) | ZMK | 11,600,000 | 2,331 | |
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $7,911) | 7,902 |
Common Stocks - 1.0% | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.3% | |||
Auto Components - 0.0% | |||
Intermet Corp. (a)(n) | 113,725 | $ 0 | |
Remy International, Inc. (a) | 40,800 | 408 | |
Media - 0.3% | |||
Charter Communications, Inc. Class A (a) | 102,806 | 3,629 | |
Haights Cross Communications, Inc. (a) | 8,267 | 61 | |
Haights Cross Communications, Inc. warrants 3/11/13 (a) | 11,481 | 32 | |
HMH Holdings, Inc. (a)(n) | 2,590,144 | 14,893 | |
HMH Holdings, Inc. warrants 3/9/17 (a) | 636,272 | 318 | |
RDA Holding Co. (a) | 262,974 | 5,259 | |
RDA Holding Co. warrants 2/19/14 (a)(n) | 9,559 | 0 | |
SuperMedia, Inc. (a) | 7,045 | 129 | |
Virgin Media, Inc. warrants 1/10/11 (a) | 6 | 0 | |
| 24,321 | ||
TOTAL CONSUMER DISCRETIONARY | 24,729 | ||
INDUSTRIALS - 0.3% | |||
Aerospace & Defense - 0.0% | |||
Alion Science & Technology Corp. warrants 3/15/17 (a) | 1,430 | 7 | |
Airlines - 0.1% | |||
Delta Air Lines, Inc. (a) | 811,153 | 9,531 | |
Building Products - 0.2% | |||
Nortek, Inc. (a) | 266,722 | 11,202 | |
Nortek, Inc. warrants 12/7/14 (a) | 7,154 | 15 | |
| 11,217 | ||
Marine - 0.0% | |||
US Shipping Partners Corp. (a) | 12,063 | 0 | |
US Shipping Partners Corp. warrants 12/31/29 (a) | 112,939 | 0 | |
TOTAL INDUSTRIALS | 20,755 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
ASAT Holdings Ltd. warrants 2/1/11 (a)(n) | 546,000 | 0 | |
MagnaChip Semiconductor LLC (a) | 392,246 | 55 | |
Spansion, Inc. Class A (a) | 185,206 | 3,021 | |
| 3,076 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
MATERIALS - 0.4% | |||
Chemicals - 0.3% | |||
Celanese Corp. Class A | 8,316 | $ 207 | |
Georgia Gulf Corp. (a) | 591,147 | 7,886 | |
LyondellBasell Industries NV: | |||
Class A (a) | 468,693 | 7,569 | |
Class B (a) | 429,456 | 6,936 | |
| 22,598 | ||
Containers & Packaging - 0.1% | |||
Constar International, Inc. (a) | 25,200 | 198 | |
Smurfit-Stone Container Enterprises, Inc. (a) | 316,306 | 7,829 | |
| 8,027 | ||
Metals & Mining - 0.0% | |||
Aleris International, Inc. (a)(n) | 38,307 | 1,341 | |
Rathgibson Acquisition Co. LLC Class A (a)(n) | 286,500 | 2,666 | |
| 4,007 | ||
TOTAL MATERIALS | 34,632 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | 133 | |
TOTAL COMMON STOCKS (Cost $121,261) | 83,325 | ||
Preferred Stocks - 0.2% | |||
|
|
|
|
Convertible Preferred Stocks - 0.0% | |||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Chesapeake Energy Corp. 4.50% | 7,500 | 573 | |
Nonconvertible Preferred Stocks - 0.2% | |||
FINANCIALS - 0.2% | |||
Diversified Financial Services - 0.2% | |||
GMAC, Inc. 7.00% (f) | 21,976 | 17,031 | |
Preferred Stocks - continued | |||
Shares | Value (000s) | ||
Nonconvertible Preferred Stocks - continued | |||
TELECOMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
PTV, Inc. Series A, 10.00% (a) | 119 | $ 0* | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 17,031 | ||
TOTAL PREFERRED STOCKS (Cost $12,183) | 17,604 |
Floating Rate Loans - 5.4% | ||||
| Principal |
| ||
CONSUMER DISCRETIONARY - 1.6% | ||||
Auto Components - 0.3% | ||||
Visteon Corp. term loan 4.426% 6/13/13 (b)(i) | $ 20,095 | 21,502 | ||
Automobiles - 0.0% | ||||
AM General LLC: | ||||
Credit-Linked Deposit 3.3472% 9/30/12 (i) | 37 | 33 | ||
Tranche B, term loan 3.4472% 9/30/13 (i) | 700 | 616 | ||
| 649 | |||
Diversified Consumer Services - 0.2% | ||||
ServiceMaster Co.: | ||||
term loan 2.8946% 7/24/14 (i) | 6,299 | 5,732 | ||
Tranche DD, term loan 2.85% 7/24/14 (i) | 649 | 590 | ||
Thomson Learning Tranche B, term loan 3.03% 7/5/14 (i) | 12,770 | 10,982 | ||
| 17,304 | |||
Hotels, Restaurants & Leisure - 0.0% | ||||
Green Valley Ranch Gaming LLC Tranche 1LN, term loan 2.2602% 2/16/14 (b)(i) | 140 | 105 | ||
Las Vegas Sands LLC: | ||||
term loan 2.1% 5/23/14 (i) | 145 | 128 | ||
Tranche B, term loan 2.05% 5/23/14 (i) | 717 | 634 | ||
OSI Restaurant Partners, Inc.: | ||||
Credit-Linked Deposit 2.8202% 6/14/13 (i) | 41 | 35 | ||
term loan 2.8798% 6/14/14 (i) | 421 | 360 | ||
| 1,262 | |||
Media - 0.7% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 2.35% 3/6/14 (i) | 18,601 | 17,230 | ||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Education Media and Publishing Group Ltd. Tranche 1LN, term loan 5.6009% 6/12/14 (i) | $ 25,204 | $ 22,810 | ||
Idearc, Inc. term loan 11% 12/31/15 (i) | 1,422 | 1,223 | ||
Univision Communications, Inc. Tranche 1LN, term loan 2.5972% 9/29/14 (i) | 21,066 | 17,485 | ||
| 58,748 | |||
Specialty Retail - 0.4% | ||||
Burlington Coat Factory Warehouse Corp. term loan 2.6655% 5/28/13 (i) | 6,637 | 6,189 | ||
Michaels Stores, Inc.: | ||||
Tranche B1, term loan 2.7606% 10/31/13 (i) | 9,277 | 8,651 | ||
Tranche B2, term loan 5.0106% 7/31/16 (i) | 21,789 | 20,972 | ||
| 35,812 | |||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Levi Strauss & Co. term loan 2.5972% 4/4/14 (i) | 1,580 | 1,454 | ||
TOTAL CONSUMER DISCRETIONARY | 136,731 | |||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Venoco, Inc. Tranche 2LN, term loan 4.375% 5/7/14 (i) | 379 | 334 | ||
FINANCIALS - 0.8% | ||||
Commercial Banks - 0.1% | ||||
CIT Group, Inc.: | ||||
term loan 13% 1/20/12 (i) | 1,466 | 1,512 | ||
Tranche A, term loan 9.5% 1/20/12 (i) | 7,169 | 7,312 | ||
| 8,824 | |||
Diversified Financial Services - 0.2% | ||||
Clear Channel Capital I LLC Tranche B, term loan 3.9972% 1/29/16 (i) | 14,588 | 11,160 | ||
MGM Holdings II, Inc. Tranche B, term loan 20.5% 4/8/12 (b)(i) | 2,223 | 1,001 | ||
| 12,161 | |||
Real Estate Management & Development - 0.5% | ||||
Realogy Corp.: | ||||
Credit-Linked Deposit 3.2013% 10/10/13 (i) | 3,097 | 2,671 | ||
Tranche 2LN, term loan 13.5% 10/15/17 | 12,670 | 13,177 | ||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Realogy Corp.: - continued | ||||
Tranche B, term loan 3.2915% 10/10/13 (i) | $ 11,504 | $ 9,922 | ||
Tranche DD, term loan 3.2927% 10/10/13 (i) | 21,396 | 17,973 | ||
| 43,743 | |||
TOTAL FINANCIALS | 64,728 | |||
HEALTH CARE - 0.0% | ||||
Pharmaceuticals - 0.0% | ||||
PTS Acquisition Corp. term loan 2.5972% 4/10/14 (i) | 2,043 | 1,808 | ||
INDUSTRIALS - 0.9% | ||||
Aerospace & Defense - 0.0% | ||||
DeCrane Aircraft Holdings, Inc.: | ||||
Tranche 1LN, term loan 6.2878% 2/21/13 (i) | 83 | 78 | ||
Tranche 2LN, term loan 10.5378% 2/21/14 (i) | 140 | 119 | ||
Wesco Aircraft Hardware Corp. Tranche 2LN, term loan 6.1% 3/28/14 (i) | 70 | 67 | ||
| 264 | |||
Airlines - 0.4% | ||||
Delta Air Lines, Inc.: | ||||
Tranche 1LN, term loan 8.75% 9/27/13 (i) | 466 | 468 | ||
Tranche 2LN, term loan 3.5478% 4/30/14 (i) | 10,212 | 9,089 | ||
Northwest Airlines Corp. Tranche A, term loan 2.29% 12/31/18 (i) | 10,303 | 8,449 | ||
United Air Lines, Inc. Tranche B, term loan 2.3572% 2/1/14 (i) | 12,436 | 10,788 | ||
US Airways Group, Inc. term loan 2.8128% 3/23/14 (i) | 8,665 | 6,845 | ||
| 35,639 | |||
Commercial Services & Supplies - 0.1% | ||||
Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 6.45% 2/7/15 (i) | 650 | 569 | ||
International Lease Finance Corp.: | ||||
Tranche 1LN, term loan 6.75% 3/17/15 (i) | 5,740 | 5,683 | ||
Tranche 2LN, term loan 7% 3/17/16 (i) | 4,210 | 4,157 | ||
| 10,409 | |||
Industrial Conglomerates - 0.1% | ||||
Sequa Corp. term loan 3.5651% 12/3/14 (i) | 12,187 | 11,029 | ||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
INDUSTRIALS - continued | ||||
Machinery - 0.1% | ||||
Dresser, Inc. Tranche 2LN, term loan 6.1951% 5/4/15 pay-in-kind (i) | $ 4,050 | $ 3,726 | ||
Road & Rail - 0.2% | ||||
Swift Transportation Co., Inc. term loan 8.25% 5/10/14 (i) | 14,809 | 13,661 | ||
Trading Companies & Distributors - 0.0% | ||||
Neff Corp. Tranche 2LN, term loan 3.7844% 11/30/14 (b)(i) | 810 | 146 | ||
TOTAL INDUSTRIALS | 74,874 | |||
INFORMATION TECHNOLOGY - 0.6% | ||||
Electronic Equipment & Components - 0.1% | ||||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.5528% 10/1/14 (i) | 984 | 912 | ||
Tranche B A2, term loan 2.5972% 10/1/14 (i) | 2,113 | 1,960 | ||
Tranche B A3, term loan 2.6038% 10/1/14 (i) | 2,465 | 2,286 | ||
Tranche B-A, term loan 2.5417% 10/1/14 (i) | 3,423 | 3,175 | ||
Tranche B-B, term loan 2.5409% 10/1/12 (i) | 3,290 | 3,134 | ||
| 11,467 | |||
Semiconductors & Semiconductor Equipment - 0.4% | ||||
Freescale Semiconductor, Inc. term loan 4.6038% 12/1/16 (i) | 22,098 | 19,391 | ||
Spansion, Inc. term loan 7.5% 2/1/15 (i) | 11,631 | 11,485 | ||
| 30,876 | |||
Software - 0.1% | ||||
Kronos, Inc.: | ||||
Tranche 1LN, term loan 2.5334% 6/11/14 (i) | 11,772 | 11,183 | ||
Tranche 2LN, term loan 6.2834% 6/11/15 (i) | 1,790 | 1,665 | ||
Open Solutions, Inc. term loan 2.445% 1/23/14 (i) | 232 | 202 | ||
| 13,050 | |||
TOTAL INFORMATION TECHNOLOGY | 55,393 | |||
MATERIALS - 0.4% | ||||
Chemicals - 0.2% | ||||
Chemtura Corp. term loan 6% 2/1/11 (i) | 1,335 | 1,328 | ||
Momentive Performance Materials, Inc. Tranche B1, term loan 2.625% 12/4/13 (i) | 15,007 | 13,431 | ||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
MATERIALS - continued | ||||
Chemicals - continued | ||||
Tronox Worldwide LLC: | ||||
Tranche B 1LN, term loan 9% 9/20/10 (i) | $ 1,281 | $ 1,298 | ||
Tranche B 2LN, term loan 9% 9/20/10 (i) | 344 | 349 | ||
| 16,406 | |||
Containers & Packaging - 0.2% | ||||
Berry Plastics Holding Corp. Tranche C, term loan 2.3497% 4/3/15 (i) | 16,961 | 15,010 | ||
Metals & Mining - 0.0% | ||||
Aleris International, Inc. Tranche B 1LN, term loan 4.25% 12/19/13 (b)(i) | 633 | 1 | ||
Paper & Forest Products - 0.0% | ||||
White Birch Paper Co.: | ||||
term loan 12% 12/1/10 (i) | 308 | 305 | ||
Tranche 1LN, term loan 7% 5/8/14 (b)(i) | 1,487 | 149 | ||
Tranche DD, term loan 5.884% 12/1/10 (i)(o) | 107 | 106 | ||
| 560 | |||
TOTAL MATERIALS | 31,977 | |||
TELECOMMUNICATION SERVICES - 0.3% | ||||
Diversified Telecommunication Services - 0.1% | ||||
Wind Telecomunicazioni SpA: | ||||
Tranche 2LN, term loan 7.6577% 3/21/15 (i) | 2,840 | 2,826 | ||
Tranche B 1LN, term loan 3.6577% 5/26/13 (i) | 1,280 | 1,254 | ||
Tranche C 1LN, term loan 4.6577% 5/26/14 (i) | 1,280 | 1,254 | ||
| 5,334 | |||
Wireless Telecommunication Services - 0.2% | ||||
Digicel International Finance Ltd. term loan 3.0625% 3/30/12 (i) | 1,272 | 1,221 | ||
Intelsat Jackson Holdings Ltd. term loan 3.2915% 2/1/14 (i) | 17,225 | 15,847 | ||
| 17,068 | |||
TOTAL TELECOMMUNICATION SERVICES | 22,402 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
UTILITIES - 0.8% | ||||
Electric Utilities - 0.8% | ||||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc.: | ||||
Tranche B1, term loan 3.8509% 10/10/14 (i) | $ 25,118 | $ 18,525 | ||
Tranche B2, term loan 3.9754% 10/10/14 (i) | 30,795 | 22,634 | ||
Tranche B3, term loan 3.8509% 10/10/14 (i) | 35,411 | 25,850 | ||
| 67,009 | |||
TOTAL FLOATING RATE LOANS (Cost $412,636) | 455,256 | |||
Sovereign Loan Participations - 0.1% | ||||
| ||||
Indonesian Republic loan participation - Citibank 1.4375% 12/14/19 (i) | 6,864 | 6,040 |
Fixed-Income Funds - 3.3% | |||
Shares |
| ||
Fidelity Floating Rate Central Fund (j) | 2,938,290 | 274,818 | |
Preferred Securities - 0.6% | |||
Principal |
| ||
CONSUMER DISCRETIONARY - 0.4% | |||
Media - 0.4% | |||
Globo Comunicacoes e Participacoes SA 9.375% | $ 16,730 | 17,036 | |
Net Servicos de Comunicacao SA 9.25% (f) | 13,900 | 14,053 | |
| 31,089 | ||
ENERGY - 0.2% | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Pemex Project Funding Master Trust 7.75% | 17,676 | 17,754 | |
TOTAL PREFERRED SECURITIES (Cost $47,782) | 48,843 | ||
Other - 0.0% | |||
Principal | Value (000s) | ||
Other - 0.0% | |||
Delta Air Lines ALPA Claim (a) | $ 8,380 | $ 168 | |
Idearc, Inc. Claim (a) | 1,675 | 0 | |
TOTAL OTHER (Cost $91) | 168 | ||
Money Market Funds - 4.3% | |||
Shares |
| ||
Fidelity Cash Central Fund, 0.20% (k) | 364,529,325 | 364,529 | |
TOTAL INVESTMENT PORTFOLIO - 99.1% (Cost $8,058,260) | 8,367,089 | ||
NET OTHER ASSETS (LIABILITIES) - 0.9% | 79,685 | ||
NET ASSETS - 100% | $ 8,446,774 |
Swap Agreements | |||||
| Expiration Date | Notional Amount (000s) | Value (000s) | ||
Interest Rate Swaps | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 4.73% with Credit Suisse First Boston | April 2038 | $ 6,000 | (1,157) |
Currency Abbreviations | ||
BRL | - | Brazilian real |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
GHS | - | Ghana cedi |
JPY | - | Japanese yen |
RUB | - | Russian ruble |
ZMK | - | Zambian kwacha |
Legend |
(a) Non-income producing |
(b) Non-income producing - Issuer is in default. |
(c) Principal amount is stated in United States dollars unless otherwise noted. |
(d) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,104,762,000 or 13.1% of net assets. |
(g) 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 $198,021,000 or 2.3% of net assets. |
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(j) 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. |
(k) 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. |
(l) Quantity represents share amount. |
(m) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(n) 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 $18,901,000 or 0.2% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Aleris International, Inc. | 6/1/10 | $ 1,341 |
ASAT Holdings Ltd. warrants 2/1/11 | 11/15/07 | $ 0 |
HMH Holdings, Inc. | 5/2/08 - 3/9/10 | $ 41,642 |
Intermet Corp. | 1/7/05 - 1/13/05 | $ 2,153 |
Rathgibson Acquisition Co. LLC Class A | 6/9/10 | $ 1,520 |
RDA Holding Co. warrants 2/19/14 | 2/27/07 | $ 3,000 |
(o) 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 $65,000 and $65,000, respectively. The coupon rate will be determined at time of settlement. |
* 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 | $ 316 |
Fidelity Floating Rate Central Fund | 5,353 |
Total | $ 5,669 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales | Value, | % ownership, |
Fidelity Floating Rate Central Fund | $ 366,878 | $ 22,010 | $ 116,003 | $ 274,818 | 10.1% |
Other Information |
The following is a summary of the inputs used, as of June 30, 2010, 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 | $ 24,729 | $ 3,758 | $ 20,152 | $ 819 |
Energy | 573 | - | 573 | - |
Financials | 17,031 | - | 17,031 | - |
Industrials | 20,755 | 20,733 | 15 | 7 |
Information Technology | 3,076 | 3,021 | - | 55 |
Materials | 34,632 | 30,625 | 1,341 | 2,666 |
Telecommunication Services | - | - | - | - |
Utilities | 133 | 133 | - | - |
Corporate Bonds | 2,895,873 | - | 2,890,581 | 5,292 |
U.S. Government and Government Agency Obligations | 2,012,793 | - | 2,012,793 | - |
U.S. Government Agency - Mortgage Securities | 196,277 | - | 196,277 | - |
Asset-Backed Securities | 10,501 | - | 10,212 | 289 |
Collateralized Mortgage Obligations | 129,425 | - | 129,425 | - |
Commercial Mortgage Securities | 8,593 | - | 7,958 | 635 |
Foreign Government and Government Agency Obligations | 1,855,142 | - | 1,854,397 | 745 |
Supranational Obligations | 7,902 | - | 7,902 | - |
Floating Rate Loans | 455,256 | - | 455,255 | 1 |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Sovereign Loan Participations | $ 6,040 | $ - | $ 6,040 | $ - |
Fixed-Income Funds | 274,818 | 274,818 | - | - |
Preferred Securities | 48,843 | - | 48,843 | - |
Other | 168 | - | - | 168 |
Money Market Funds | 364,529 | 364,529 | - | - |
Total Investments in Securities: | $ 8,367,089 | $ 697,617 | $ 7,658,795 | $ 10,677 |
Derivative Instruments: | ||||
Liabilities | ||||
Swap Agreements | $ (1,157) | $ - | $ (1,157) | $ - |
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value: |
Investments in Securities: | |
Beginning Balance | $ 12,556 |
Total Realized Gain (Loss) | 2 |
Total Unrealized Gain (Loss) | 2,296 |
Cost of Purchases | 1,935 |
Proceeds of Sales | (1,096) |
Amortization/Accretion | 216 |
Transfers in to Level 3 | 6,181 |
Transfers out of Level 3 | (11,413) |
Ending Balance | $ 10,677 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at June 30, 2010 | $ 2,296 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in 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 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations. |
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, 2010. 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) | $ - | $ (1,157) |
Total Value of Derivatives | $ - | $ (1,157) |
(a) Value is disclosed on the Statement of Assets and Liabilities in 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 | 66.6% |
Canada | 3.0% |
Bermuda | 2.9% |
Argentina | 2.8% |
United Kingdom | 2.4% |
Japan | 2.4% |
Italy | 2.3% |
Germany | 2.2% |
France | 2.0% |
Venezuela | 1.8% |
Netherlands | 1.3% |
Luxembourg | 1.1% |
Russia | 1.1% |
Turkey | 1.0% |
Others (Individually Less Than 1%) | 7.1% |
| 100.0% |
The information in the above table 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. |
Income Tax Information |
At December 31, 2009, the Fund had a capital loss carryforward of approximately $4,917,000 all of which will expire on December 31, 2016. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. |
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, 2010 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $7,471,272) | $ 7,727,742 |
|
Fidelity Central Funds (cost $586,988) | 639,347 |
|
Total Investments (cost $8,058,260) |
| $ 8,367,089 |
Cash | 11,927 | |
Foreign currency held at value (cost $43) | 42 | |
Receivable for investments sold | 234,463 | |
Receivable for fund shares sold | 20,164 | |
Dividends receivable | 2 | |
Interest receivable | 104,045 | |
Distributions receivable from Fidelity Central Funds | 990 | |
Other receivables | 54 | |
Total assets | 8,738,776 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 256,671 | |
Delayed delivery | 2,276 | |
Payable for fund shares redeemed | 17,476 | |
Distributions payable | 6,648 | |
Unrealized depreciation on swap agreements | 1,157 | |
Accrued management fee | 3,939 | |
Distribution fees payable | 2,555 | |
Other affiliated payables | 1,148 | |
Other payables and accrued expenses | 132 | |
Total liabilities | 292,002 | |
|
|
|
Net Assets | $ 8,446,774 | |
Net Assets consist of: |
| |
Paid in capital | $ 8,034,247 | |
Undistributed net investment income | 122,563 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (17,269) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 307,233 | |
Net Assets | $ 8,446,774 |
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, 2010 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 12.19 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.19) | $ 12.70 | |
Class T: | $ 12.18 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.18) | $ 12.69 | |
Class B: | $ 12.22 | |
|
|
|
Class C: | $ 12.16 | |
|
|
|
Institutional Class: | $ 12.31 |
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, 2010 (Unaudited) | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 2,938 |
Interest |
| 246,403 |
Income from Fidelity Central Funds |
| 5,669 |
Total income |
| 255,010 |
|
|
|
Expenses | ||
Management fee | $ 23,450 | |
Transfer agent fees | 6,259 | |
Distribution fees | 15,219 | |
Accounting fees and expenses | 751 | |
Custodian fees and expenses | 204 | |
Independent trustees' compensation | 14 | |
Registration fees | 249 | |
Audit | 55 | |
Legal | 52 | |
Miscellaneous | 54 | |
Total expenses before reductions | 46,307 | |
Expense reductions | (2) | 46,305 |
Net investment income | 208,705 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 27,259 | |
Fidelity Central Funds | (5,406) |
|
Foreign currency transactions | (1,403) | |
Swap agreements | 295 |
|
Total net realized gain (loss) |
| 20,745 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (13,473) | |
Assets and liabilities in foreign currencies | (201) | |
Swap agreements | (1,310) | |
Total change in net unrealized appreciation (depreciation) |
| (14,984) |
Net gain (loss) | 5,761 | |
Net increase (decrease) in net assets resulting from operations | $ 214,466 |
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 | $ 208,705 | $ 393,364 |
Net realized gain (loss) | 20,745 | 149,167 |
Change in net unrealized appreciation (depreciation) | (14,984) | 1,216,485 |
Net increase (decrease) in net assets resulting | 214,466 | 1,759,016 |
Distributions to shareholders from net investment income | (167,781) | (327,674) |
Distributions to shareholders from net realized gain | (9,927) | (66,147) |
Total distributions | (177,708) | (393,821) |
Share transactions - net increase (decrease) | 266,927 | 1,449,870 |
Total increase (decrease) in net assets | 303,685 | 2,815,065 |
|
|
|
Net Assets | ||
Beginning of period | 8,143,089 | 5,328,024 |
End of period (including undistributed net investment income of $122,563 and undistributed net investment income of $81,639, respectively) | $ 8,446,774 | $ 8,143,089 |
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) | 2009 | 2008 | 2007 | 2006 | 2005 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.13 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.93 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .315 | .681 | .600 | .616 | .600 | .571 |
Net realized and unrealized gain (loss) | .015 | 2.345 | (1.826) | (.019) | .248 | (.255) |
Total from investment operations | .330 | 3.026 | (1.226) | .597 | .848 | .316 |
Distributions from net investment income | (.255) | (.566) | (.554) | (.607) | (.583) | (.551) |
Distributions from net realized gain | (.015) | (.100) | (.070) | (.130) | (.045) | (.155) |
Total distributions | (.270) | (.666) | (.624) | (.737) | (.628) | (.706) |
Net asset value, end of period | $ 12.19 | $ 12.13 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 |
Total Return B, C, D | 2.74% | 31.74% | (10.98)% | 5.22% | 7.54% | 2.75% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.01% A | 1.01% | 1.02% | 1.01% | .97% | .99% |
Expenses net of fee waivers, if any | 1.01% A | 1.01% | 1.02% | 1.01% | .97% | .99% |
Expenses net of all reductions | 1.01% A | 1.01% | 1.02% | 1.01% | .97% | .99% |
Net investment income | 5.20% A | 6.14% | 5.49% | 5.27% | 5.18% | 4.92% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 3,826 | $ 3,725 | $ 2,174 | $ 1,931 | $ 954 | $ 647 |
Portfolio turnover rate G | 238% A | 202% | 255% | 149% | 81% | 109% |
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 reductions from 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) | 2009 | 2008 | 2007 | 2006 | 2005 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.12 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 | $ 11.92 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .315 | .675 | .607 | .620 | .594 | .564 |
Net realized and unrealized gain (loss) | .015 | 2.341 | (1.832) | (.021) | .248 | (.245) |
Total from investment operations | .330 | 3.016 | (1.225) | .599 | .842 | .319 |
Distributions from net investment income | (.255) | (.566) | (.555) | (.609) | (.577) | (.544) |
Distributions from net realized gain | (.015) | (.100) | (.070) | (.130) | (.045) | (.155) |
Total distributions | (.270) | (.666) | (.625) | (.739) | (.622) | (.699) |
Net asset value, end of period | $ 12.18 | $ 12.12 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 |
Total Return B, C, D | 2.74% | 31.64% | (10.97)% | 5.24% | 7.49% | 2.77% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.00% A | 1.01% | 1.01% | .99% | 1.02% | 1.05% |
Expenses net of fee waivers, if any | 1.00% A | 1.01% | 1.01% | .99% | 1.02% | 1.05% |
Expenses net of all reductions | 1.00% A | 1.01% | 1.01% | .99% | 1.02% | 1.05% |
Net investment income | 5.21% A | 6.14% | 5.50% | 5.29% | 5.13% | 4.86% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 1,509 | $ 1,579 | $ 1,337 | $ 1,983 | $ 2,049 | $ 1,427 |
Portfolio turnover rate G | 238% A | 202% | 255% | 149% | 81% | 109% |
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 reductions from 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) | 2009 | 2008 | 2007 | 2006 | 2005 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.16 | $ 9.80 | $ 11.65 | $ 11.79 | $ 11.57 | $ 11.95 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .273 | .600 | .525 | .533 | .511 | .486 |
Net realized and unrealized gain (loss) | .014 | 2.348 | (1.831) | (.022) | .247 | (.249) |
Total from investment operations | .287 | 2.948 | (1.306) | .511 | .758 | .237 |
Distributions from net investment income | (.212) | (.488) | (.474) | (.521) | (.493) | (.462) |
Distributions from net realized gain | (.015) | (.100) | (.070) | (.130) | (.045) | (.155) |
Total distributions | (.227) | (.588) | (.544) | (.651) | (.538) | (.617) |
Net asset value, end of period | $ 12.22 | $ 12.16 | $ 9.80 | $ 11.65 | $ 11.79 | $ 11.57 |
Total Return B, C, D | 2.37% | 30.72% | (11.60)% | 4.44% | 6.70% | 2.06% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.71% A | 1.72% | 1.76% | 1.74% | 1.76% | 1.78% |
Expenses net of fee waivers, if any | 1.71% A | 1.72% | 1.75% | 1.74% | 1.75% | 1.75% |
Expenses net of all reductions | 1.71% A | 1.72% | 1.75% | 1.74% | 1.75% | 1.75% |
Net investment income | 4.50% A | 5.43% | 4.76% | 4.54% | 4.40% | 4.16% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 332 | $ 348 | $ 267 | $ 335 | $ 342 | $ 342 |
Portfolio turnover rate G | 238% A | 202% | 255% | 149% | 81% | 109% |
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 reductions from 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) | 2009 | 2008 | 2007 | 2006 | 2005 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.10 | $ 9.76 | $ 11.60 | $ 11.74 | $ 11.53 | $ 11.91 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .269 | .597 | .517 | .526 | .503 | .475 |
Net realized and unrealized gain (loss) | .016 | 2.327 | (1.817) | (.020) | .238 | (.246) |
Total from investment operations | .285 | 2.924 | (1.300) | .506 | .741 | .229 |
Distributions from net investment income | (.210) | (.484) | (.470) | (.516) | (.486) | (.454) |
Distributions from net realized gain | (.015) | (.100) | (.070) | (.130) | (.045) | (.155) |
Total distributions | (.225) | (.584) | (.540) | (.646) | (.531) | (.609) |
Net asset value, end of period | $ 12.16 | $ 12.10 | $ 9.76 | $ 11.60 | $ 11.74 | $ 11.53 |
Total Return B, C, D | 2.37% | 30.60% | (11.59)% | 4.42% | 6.57% | 1.99% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.75% A | 1.75% | 1.79% | 1.78% | 1.81% | 1.82% |
Expenses net of fee waivers, if any | 1.75% A | 1.75% | 1.79% | 1.78% | 1.81% | 1.82% |
Expenses net of all reductions | 1.75% A | 1.75% | 1.79% | 1.78% | 1.81% | 1.82% |
Net investment income | 4.46% A | 5.40% | 4.72% | 4.50% | 4.34% | 4.09% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 1,467 | $ 1,336 | $ 800 | $ 866 | $ 683 | $ 540 |
Portfolio turnover rate G | 238% A | 202% | 255% | 149% | 81% | 109% |
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 reductions from 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) | 2009 | 2008 | 2007 | 2006 | 2005 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.25 | $ 9.87 | $ 11.72 | $ 11.86 | $ 11.63 | $ 12.02 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .332 | .710 | .635 | .652 | .627 | .599 |
Net realized and unrealized gain (loss) | .012 | 2.361 | (1.835) | (.027) | .252 | (.262) |
Total from investment operations | .344 | 3.071 | (1.200) | .625 | .879 | .337 |
Distributions from net investment income | (.269) | (.591) | (.580) | (.635) | (.604) | (.572) |
Distributions from net realized gain | (.015) | (.100) | (.070) | (.130) | (.045) | (.155) |
Total distributions | (.284) | (.691) | (.650) | (.765) | (.649) | (.727) |
Net asset value, end of period | $ 12.31 | $ 12.25 | $ 9.87 | $ 11.72 | $ 11.86 | $ 11.63 |
Total Return B, C | 2.83% | 31.92% | (10.67)% | 5.42% | 7.76% | 2.91% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .77% A | .78% | .78% | .77% | .79% | .81% |
Expenses net of fee waivers, if any | .77% A | .78% | .78% | .77% | .79% | .81% |
Expenses net of all reductions | .77% A | .78% | .78% | .76% | .79% | .80% |
Net investment income | 5.44% A | 6.37% | 5.73% | 5.52% | 5.36% | 5.10% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 1,312 | $ 1,156 | $ 750 | $ 889 | $ 655 | $ 520 |
Portfolio turnover rate F | 238% A | 202% | 255% | 149% | 81% | 109% |
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 reductions from 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, 2010 (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. Effective after the close of business on September 1, 2010, Class B shares will be closed to new accounts and additional purchases by existing shareholders. 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.
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 | FMR Co., Inc. (FMRC) FMRC | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments, Repurchase Agreements, Restricted Securities |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
2. Investments in Fidelity Central Funds - continued
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including security valuation policies) of those funds, are available on the SEC 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 (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. 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 market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below.
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the fund's own assumptions based on the best information available)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of June 30, 2010, for the Fund's investments, as well as a roll forward of Level 3 securities, is
Semiannual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. 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 utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. 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 and are categorized as Level 2 in the hierarchy. 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.
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). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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 and are categorized as Level 1 in the hierarchy. 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 or may be valued using the last available price and are generally categorized as
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Security Valuation - continued
Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Foreign Currency. The Fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV 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
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
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 amongst each fund in the Trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. 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 GAAP.
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
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
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 investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 609,292 |
Gross unrealized depreciation | (216,253) |
Net unrealized appreciation (depreciation) | $ 393,039 |
|
|
Tax cost | $ 7,974,050 |
4. Operating Policies.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
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
Semiannual Report
4. Operating Policies - continued
Loans and Other Direct Debt Instruments - continued
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. At the end of the period, the Fund had unfunded loan commitments of $65.
5. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund uses derivative instruments (derivatives), including swap agreements in order to meet its investment objectives. The strategy is to use derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. 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.
The Fund's use of derivatives may increase or decrease its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to sell the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives each counterparty the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified in the Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty fees in excess of any collateral pledged by the counterparty to the Fund. Risk of loss may exceed the amounts recognized in the Statement of Assets and Liabilities.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period.
Risk Exposure / Derivative Type | Net Realized | Change in |
Interest Rate Risk |
|
|
Swap Agreements | $ 295 | $ (1,310) |
Totals (a) | $ 295 | $ (1,310) |
(a) A summary of the value of derivatives by risk exposure as of period end, if any, is included at the end of the Schedule of Investments and is representative of activity for the period.
Swap Agreements. A swap agreement (swap) is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
Details of swaps open at period end, if any, are included in the Schedule of Investments under the caption "Swap Agreements." Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. Any upfront payments made or received upon entering a swap 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 gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Risks of loss may include interest rate risk. 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.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund
Semiannual Report
5. Derivative Instruments - continued
Interest Rate Swaps - continued
entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of 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.
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 $6,316,578 and $6,001,004, 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 selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | -% | .25% | $ 4,672 | $ - |
Class T | -% | .25% | 1,949 | - |
Class B | .65% | .25% | 1,551 | 1,163 |
Class C | .75% | .25% | 7,047 | 2,119 |
|
|
| $ 15,219 | $ 3,282 |
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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
7. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
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 | $ 273 |
Class T | 67 |
Class B* | 363 |
Class C* | 117 |
| $ 820 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each class were as follows:
| Amount | % of |
Class A | $ 2,768 | .15 |
Class T | 1,138 | .15 |
Class B | 343 | .20 |
Class C | 985 | .14 |
Institutional Class | 1,025 | .17 |
| $ 6,259 |
|
* Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The fee is based on the level of average net assets for the month.
Semiannual Report
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $3.75 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 expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. Expense Reductions.
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.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 78,047 | $ 145,916 |
Class T | 32,606 | 74,724 |
Class B | 5,970 | 13,400 |
Class C | 24,255 | 45,479 |
Institutional Class | 26,903 | 48,155 |
Total | $ 167,781 | $ 327,674 |
From net realized gain |
|
|
Class A | $ 4,406 | $ 30,314 |
Class T | 1,929 | 12,897 |
Class B | 429 | 2,829 |
Class C | 1,691 | 10,891 |
Institutional Class | 1,472 | 9,216 |
Total | $ 9,927 | $ 66,147 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
11. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class A |
|
|
|
|
Shares sold | 61,022 | 138,915 | $ 745,778 | $ 1,553,818 |
Reinvestment of distributions | 5,848 | 14,252 | 71,424 | 161,349 |
Shares redeemed | (60,017) | (68,424) | (731,073) | (752,938) |
Net increase (decrease) | 6,853 | 84,743 | $ 86,129 | $ 962,229 |
Class T |
|
|
|
|
Shares sold | 13,022 | 30,555 | $ 159,006 | $ 335,869 |
Reinvestment of distributions | 2,488 | 7,202 | 30,376 | 80,594 |
Shares redeemed | (21,849) | (44,403) | (266,574) | (485,844) |
Net increase (decrease) | (6,339) | (6,646) | $ (77,192) | $ (69,381) |
Class B |
|
|
|
|
Shares sold | 3,589 | 8,165 | $ 43,989 | $ 90,422 |
Reinvestment of distributions | 413 | 1,115 | 5,053 | 12,582 |
Shares redeemed | (5,464) | (7,847) | (66,931) | (85,639) |
Net increase (decrease) | (1,462) | 1,433 | $ (17,889) | $ 17,365 |
Class C |
|
|
|
|
Shares sold | 20,476 | 43,623 | $ 249,744 | $ 485,642 |
Reinvestment of distributions | 1,592 | 3,723 | 19,392 | 42,110 |
Shares redeemed | (11,809) | (18,979) | (144,084) | (205,293) |
Net increase (decrease) | 10,259 | 28,367 | $ 125,052 | $ 322,459 |
Institutional Class |
|
|
|
|
Shares sold | 26,817 | 46,051 | $ 331,005 | $ 519,754 |
Reinvestment of distributions | 1,628 | 3,632 | 20,083 | 41,290 |
Shares redeemed | (16,203) | (31,328) | (200,261) | (343,846) |
Net increase (decrease) | 12,242 | 18,355 | $ 150,827 | $ 217,198 |
12. 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
Semiannual Report
12. Other - continued
exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
13. 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
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
FIL 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-0810 1.787776.107
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: | September 2, 2010 |
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: | September 2, 2010 |
By: | /s/ Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
|
|
Date: | September 2, 2010 |