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, 2012 |
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, 2012
(Fidelity Cover Art)
Contents
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. © 2012 FMR LLC. All rights reserved.
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, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
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, 2012 to June 30, 2012).
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 | .99% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,044.90 | $ 5.03 |
Hypothetical A |
| $ 1,000.00 | $ 1,019.94 | $ 4.97 |
Class T | .99% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,044.90 | $ 5.03 |
Hypothetical A |
| $ 1,000.00 | $ 1,019.94 | $ 4.97 |
Class B | 1.70% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,041.10 | $ 8.63 |
Hypothetical A |
| $ 1,000.00 | $ 1,016.41 | $ 8.52 |
Class C | 1.75% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,040.20 | $ 8.88 |
Hypothetical A |
| $ 1,000.00 | $ 1,016.16 | $ 8.77 |
Institutional Class | .76% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,046.40 | $ 3.87 |
Hypothetical A |
| $ 1,000.00 | $ 1,021.08 | $ 3.82 |
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 182/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
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, 2012 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 19.8 | 19.2 |
Fannie Mae | 3.0 | 1.8 |
German Federal Republic | 2.7 | 2.3 |
Freddie Mac | 2.4 | 1.4 |
Italian Republic | 2.2 | 1.5 |
| 30.1 | |
Top Five Market Sectors as of June 30, 2012 | ||
| % of fund's | % of fund's net assets |
Financials | 8.4 | 5.8 |
Energy | 5.4 | 6.2 |
Consumer Discretionary | 5.4 | 4.9 |
Industrials | 4.7 | 4.4 |
Materials | 3.9 | 3.5 |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2012 | As of December 31, 2011 | ||||||
![]() | U.S. Government and U.S. Government |
| ![]() | U.S. Government and U.S. Government |
| ||
![]() | AAA,AA,A 13.7% |
| ![]() | AAA,AA,A 14.5% |
| ||
![]() | BBB 6.0% |
| ![]() | BBB 4.3% |
| ||
![]() | BB 15.3% |
| ![]() | BB 14.1% |
| ||
![]() | B 20.1% |
| ![]() | B 23.1% |
| ||
![]() | CCC,CC,C 5.8% |
| ![]() | CCC,CC,C 4.9% |
| ||
![]() | Not Rated 2.0% |
| ![]() | Not Rated 2.4% |
| ||
![]() | Equities 0.8% |
| ![]() | Equities 0.7% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
† Includes FDIC Guaranteed Corporate Securities and NCUA Guaranteed Notes. |
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 date indicated and do not reflect subsequent changes. |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2012* | As of December 31, 2011** | ||||||
![]() | Preferred Securities 0.2% |
| ![]() | Preferred Securities 0.3% |
| ||
![]() | Corporate Bonds 35.9% |
| ![]() | Corporate Bonds 34.7% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Foreign Government |
| ![]() | Foreign Government |
| ||
![]() | Floating Rate Loans 4.9% |
| ![]() | Floating Rate Loans 5.3% |
| ||
![]() | Stocks 0.8% |
| ![]() | Stocks 0.7% |
| ||
![]() | Other Investments 0.1% |
| ![]() | Other Investments 0.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 33.1% |
| ** Foreign investments | 33.8% |
| ||
* Futures and Swaps | 1.9% |
| ** Futures and Swaps | 1.7% |
| ||
† Includes FDIC Guaranteed Corporate Securities and NCUA Guaranteed Notes. |
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, 2012 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 35.9% | ||||
| Principal | Value | ||
Convertible Bonds - 0.2% | ||||
CONSUMER DISCRETIONARY - 0.1% | ||||
Auto Components - 0.1% | ||||
TRW Automotive, Inc. 3.5% 12/1/15 | $ 8,595 | $ 12,506 | ||
ENERGY - 0.0% | ||||
Energy Equipment & Services - 0.0% | ||||
Cal Dive International, Inc. 3.25% 12/15/25 | 2,640 | 2,627 | ||
INFORMATION TECHNOLOGY - 0.0% | ||||
Communications Equipment - 0.0% | ||||
Lucent Technologies, Inc. 2.875% 6/15/25 | 2,160 | 2,128 | ||
MATERIALS - 0.1% | ||||
Metals & Mining - 0.1% | ||||
Vedanta Resources Jersey II Ltd.: | ||||
4% 3/30/17 | 5,400 | 5,292 | ||
5.5% 7/13/16 | 3,000 | 2,760 | ||
| 8,052 | |||
TOTAL CONVERTIBLE BONDS | 25,313 | |||
Nonconvertible Bonds - 35.7% | ||||
CONSUMER DISCRETIONARY - 4.4% | ||||
Auto Components - 0.4% | ||||
Affinia Group, Inc.: | ||||
9% 11/30/14 | 5,140 | 5,185 | ||
10.75% 8/15/16 (f) | 1,611 | 1,728 | ||
Cooper Standard Auto, Inc. 8.5% 5/1/18 | 1,775 | 1,917 | ||
Dana Holding Corp.: | ||||
6.5% 2/15/19 | 3,770 | 4,015 | ||
6.75% 2/15/21 | 1,560 | 1,685 | ||
Delphi Corp.: | ||||
5.875% 5/15/19 | 5,365 | 5,714 | ||
6.125% 5/15/21 | 5,255 | 5,741 | ||
Exide Technologies 8.625% 2/1/18 | 2,135 | 1,681 | ||
International Automotive Components Group SA 9.125% 6/1/18 (f) | 5,245 | 4,812 | ||
Stoneridge, Inc. 9.5% 10/15/17 (f) | 2,330 | 2,391 | ||
Tenneco, Inc.: | ||||
6.875% 12/15/20 | 6,205 | 6,701 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Auto Components - continued | ||||
Tenneco, Inc.: - continued | ||||
7.75% 8/15/18 | $ 1,545 | $ 1,657 | ||
Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc. 10.625% 9/1/17 (f) | 4,917 | 5,237 | ||
| 48,464 | |||
Automobiles - 0.1% | ||||
Automotores Gildemeister SA 8.25% 5/24/21 (f) | 2,240 | 2,318 | ||
Ford Motor Co. 7.45% 7/16/31 | 2,365 | 2,962 | ||
General Motors Corp.: | ||||
6.75% 5/1/28 (c) | 10,670 | 0 | ||
7.125% 7/15/13 (c) | 1,605 | 0 | ||
7.2% 1/15/2011 (c) | 4,015 | 0 | ||
7.4% 9/1/25 (c) | 500 | 0 | ||
7.7% 4/15/16 (c) | 7,804 | 0 | ||
8.25% 7/15/23 (c) | 4,845 | 0 | ||
8.375% 7/15/33 (c) | 7,015 | 0 | ||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 9.5% 12/1/19 (f) | 3,970 | 4,307 | ||
| 9,587 | |||
Diversified Consumer Services - 0.0% | ||||
ServiceMaster Co. 8% 2/15/20 | 2,920 | 3,179 | ||
Hotels, Restaurants & Leisure - 1.1% | ||||
Arcos Dorados Holdings, Inc. 10.25% 7/13/16 (f) | BRL | 15,205 | 7,968 | |
Caesars Operating Escrow LLC / Caesars Escrow Corp. 8.5% 2/15/20 (f) | 20,685 | 20,840 | ||
Chester Downs & Marina LLC 9.25% 2/1/20 (f) | 1,520 | 1,573 | ||
Choice Hotels International, Inc. 5.75% 7/1/22 | 1,445 | 1,506 | ||
GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17 | 4,365 | 4,867 | ||
MCE Finance Ltd. 10.25% 5/15/18 | 7,675 | 8,730 | ||
MGM Mirage, Inc. 10.375% 5/15/14 | 1,535 | 1,740 | ||
Mohegan Tribal Gaming Authority 11% 9/15/18 pay-in-kind (f)(k) | 2,333 | 1,546 | ||
MTR Gaming Group, Inc. 11.5% 8/1/19 pay-in-kind | 12,593 | 13,108 | ||
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 8.25% 12/15/17 (f) | 2,745 | 3,047 | ||
NCL Corp. Ltd. 9.5% 11/15/18 | 1,450 | 1,584 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Palace Entertainment Holdings LLC/Corp. 8.875% 4/15/17 (f) | $ 1,135 | $ 1,172 | ||
Roadhouse Financing, Inc. 10.75% 10/15/17 | 1,550 | 1,488 | ||
Seven Seas Cruises S de RL LLC 9.125% 5/15/19 | 670 | 690 | ||
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (f) | 1,540 | 1,178 | ||
Station Casinos LLC 3.66% 6/18/18 (e)(f) | 20,450 | 15,389 | ||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 8.625% 4/15/16 (f) | 580 | 606 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 8.875% 11/15/15 | 1,970 | 2,111 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (f) | 788 | 299 | ||
Wok Acquisition Corp. 10.25% 6/30/20 (f) | 2,580 | 2,670 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | ||||
5.375% 3/15/22 (f) | 14,400 | 14,328 | ||
7.75% 8/15/20 | 22,030 | 24,233 | ||
| 130,673 | |||
Household Durables - 1.0% | ||||
Jarden Corp. 6.125% 11/15/22 | 3,220 | 3,445 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (f) | 6,915 | 7,607 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
6.875% 2/15/21 (f) | 6,200 | 6,417 | ||
7.125% 4/15/19 (f) | 12,480 | 13,042 | ||
7.875% 8/15/19 (f) | 6,920 | 7,439 | ||
8.5% 5/15/18 (e)(f) | 445 | 427 | ||
8.5% 2/15/21 (e)(f) | 21,645 | 20,292 | ||
9% 4/15/19 (f) | 24,210 | 23,605 | ||
9.875% 8/15/19 (f) | 11,055 | 11,304 | ||
9.875% 8/15/19 (f) | 3,470 | 3,600 | ||
Sealy Mattress Co. 10.875% 4/15/16 (f) | 1,292 | 1,399 | ||
Standard Pacific Corp.: | ||||
8.375% 5/15/18 | 2,255 | 2,464 | ||
8.375% 1/15/21 | 4,340 | 4,731 | ||
Toll Brothers Finance Corp. 5.875% 2/15/22 | 5,175 | 5,473 | ||
| 111,245 | |||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Leisure Equipment & Products - 0.1% | ||||
Cedar Fair LP/Magnum Management Corp. 9.125% 8/1/18 | $ 7,710 | $ 8,481 | ||
Easton-Bell Sports, Inc. 9.75% 12/1/16 | 1,505 | 1,648 | ||
| 10,129 | |||
Media - 1.2% | ||||
Bresnan Broadband Holdings LLC 8% 12/15/18 (f) | 2,255 | 2,356 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
6.5% 4/30/21 | 10,200 | 10,863 | ||
6.625% 1/31/22 | 8,220 | 8,795 | ||
7.375% 6/1/20 | 5,685 | 6,239 | ||
7.875% 4/30/18 | 2,920 | 3,176 | ||
8.125% 4/30/20 | 6,955 | 7,755 | ||
Cequel Communications Holdings I LLC/Cequel Capital Corp. 8.625% 11/15/17 (f) | 9,330 | 10,030 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 13.5% 11/30/16 | 3,718 | 4,146 | ||
Checkout Holding Corp. 0% 11/15/15 (f) | 3,225 | 1,500 | ||
DISH DBS Corp.: | ||||
5.875% 7/15/22 (f) | 14,425 | 14,569 | ||
6.75% 6/1/21 | 9,370 | 10,096 | ||
EchoStar Communications Corp. 7.125% 2/1/16 | 18,425 | 20,175 | ||
Liberty Media Corp. 8.5% 7/15/29 | 6,535 | 6,731 | ||
Livent, Inc. yankee 9.375% 10/15/04 (c) | 300 | 0 | ||
MDC Partners, Inc. 11% 11/1/16 | 845 | 900 | ||
MediMedia USA, Inc. 11.375% 11/15/14 (f) | 850 | 765 | ||
Sheridan Group, Inc. 12.5% 4/15/14 | 2,986 | 2,478 | ||
Sinclair Television Group, Inc. 8.375% 10/15/18 | 3,550 | 3,883 | ||
TV Azteca SA de CV 7.5% 5/25/18 (Reg. S) | 4,090 | 4,141 | ||
WMG Acquisition Corp. 11.5% 10/1/18 | 15,140 | 16,427 | ||
| 135,025 | |||
Specialty Retail - 0.3% | ||||
Asbury Automotive Group, Inc. 8.375% 11/15/20 | 1,455 | 1,579 | ||
Claire's Stores, Inc. 8.875% 3/15/19 | 1,770 | 1,513 | ||
Limited Brands, Inc. 5.625% 2/15/22 | 8,065 | 8,226 | ||
Office Depot, Inc. 9.75% 3/15/19 (f) | 3,730 | 3,637 | ||
Sally Holdings LLC 6.875% 11/15/19 | 3,305 | 3,586 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - continued | ||||
Sonic Automotive, Inc. 9% 3/15/18 | $ 9,150 | $ 9,905 | ||
Spencer Spirit Holdings, Inc./Spencer Gifts LLC/Spirit Halloween Superstores 11% 5/1/17 (f) | 2,770 | 2,839 | ||
| 31,285 | |||
Textiles, Apparel & Luxury Goods - 0.2% | ||||
Hanesbrands, Inc. 6.375% 12/15/20 | 7,350 | 7,754 | ||
Levi Strauss & Co. 7.625% 5/15/20 | 9,350 | 10,051 | ||
Polymer Group, Inc. 7.75% 2/1/19 | 1,575 | 1,666 | ||
| 19,471 | |||
TOTAL CONSUMER DISCRETIONARY | 499,058 | |||
CONSUMER STAPLES - 0.8% | ||||
Beverages - 0.0% | ||||
Cerveceria Nacional Dominicana C por A 8% 3/27/14 (Reg. S) | 780 | 803 | ||
Food & Staples Retailing - 0.3% | ||||
Bi-Lo LLC/Bi-Lo Finance Corp. 9.25% 2/15/19 (f) | 4,655 | 5,004 | ||
Grifols, Inc. 8.25% 2/1/18 | 4,920 | 5,277 | ||
Rite Aid Corp.: | ||||
8% 8/15/20 | 4,380 | 4,949 | ||
9.25% 3/15/20 (f) | 8,270 | 8,311 | ||
9.25% 3/15/20 (f) | 4,930 | 4,955 | ||
9.75% 6/12/16 | 590 | 652 | ||
10.25% 10/15/19 | 1,835 | 2,064 | ||
| 31,212 | |||
Food Products - 0.3% | ||||
Darling International, Inc. 8.5% 12/15/18 | 1,130 | 1,271 | ||
Dean Foods Co. 9.75% 12/15/18 | 7,250 | 8,120 | ||
Gruma SAB de CV 7.75% (Reg. S) (g) | 5,330 | 5,330 | ||
JBS USA LLC/JBS USA Finance, Inc.: | ||||
8.25% 2/1/20 (f) | 3,315 | 3,265 | ||
11.625% 5/1/14 | 5,200 | 5,928 | ||
MHP SA 10.25% 4/29/15 (f) | 4,000 | 3,820 | ||
Michael Foods, Inc. 9.75% 7/15/18 | 1,885 | 2,069 | ||
Smithfield Foods, Inc. 10% 7/15/14 | 5,540 | 6,302 | ||
| 36,105 | |||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Household Products - 0.1% | ||||
Harbinger Group, Inc. 10.625% 11/15/15 | $ 2,645 | $ 2,757 | ||
Spectrum Brands Holdings, Inc. 9.5% 6/15/18 (f) | 2,890 | 3,266 | ||
| 6,023 | |||
Personal Products - 0.1% | ||||
Elizabeth Arden, Inc. 7.375% 3/15/21 | 1,560 | 1,704 | ||
NBTY, Inc. 9% 10/1/18 | 5,005 | 5,537 | ||
Prestige Brands, Inc. 8.125% 2/1/20 (f) | 770 | 841 | ||
Revlon Consumer Products Corp. 9.75% 11/15/15 | 3,875 | 4,156 | ||
| 12,238 | |||
TOTAL CONSUMER STAPLES | 86,381 | |||
ENERGY - 5.2% | ||||
Energy Equipment & Services - 0.2% | ||||
Atwood Oceanics, Inc. 6.5% 2/1/20 | 1,120 | 1,170 | ||
Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (f) | 5,735 | 5,162 | ||
Forbes Energy Services Ltd. 9% 6/15/19 | 3,755 | 3,492 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (f) | 2,298 | 2,401 | ||
Oil States International, Inc. 6.5% 6/1/19 | 3,855 | 4,009 | ||
Pioneer Drilling Co. 9.875% 3/15/18 | 3,410 | 3,581 | ||
Precision Drilling Corp. 6.5% 12/15/21 | 940 | 959 | ||
Pride International, Inc. 6.875% 8/15/20 | 3,150 | 3,878 | ||
Trinidad Drilling Ltd. 7.875% 1/15/19 (f) | 1,615 | 1,720 | ||
| 26,372 | |||
Oil, Gas & Consumable Fuels - 5.0% | ||||
Afren PLC 11.5% 2/1/16 (f) | 2,375 | 2,512 | ||
Alpha Natural Resources, Inc.: | ||||
6% 6/1/19 | 3,615 | 3,082 | ||
6.25% 6/1/21 | 1,415 | 1,189 | ||
ATP Oil & Gas Corp. 11.875% 5/1/15 | 11,920 | 5,483 | ||
Berry Petroleum Co. 10.25% 6/1/14 | 2,220 | 2,486 | ||
Calumet Specialty Products Partners LP/Calumet Finance Corp.: | ||||
9.375% 5/1/19 | 3,750 | 3,789 | ||
9.625% 8/1/20 (f) | 4,800 | 4,800 | ||
Carrizo Oil & Gas, Inc. 8.625% 10/15/18 | 9,835 | 10,228 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Chaparral Energy, Inc. 9.875% 10/1/20 | $ 1,845 | $ 2,048 | ||
Clayton Williams Energy, Inc. 7.75% 4/1/19 | 5,160 | 5,057 | ||
Concho Resources, Inc.: | ||||
6.5% 1/15/22 | 6,135 | 6,380 | ||
7% 1/15/21 | 2,855 | 3,048 | ||
Continental Resources, Inc.: | ||||
5% 9/15/22 (f) | 9,600 | 9,732 | ||
7.125% 4/1/21 | 2,540 | 2,807 | ||
8.25% 10/1/19 | 885 | 987 | ||
Crestwood Midstream Partners LP / Finance Corp. 7.75% 4/1/19 | 2,235 | 2,218 | ||
Crosstex Energy L.P./Crosstex Energy Finance Corp. 8.875% 2/15/18 | 4,920 | 5,154 | ||
Denbury Resources, Inc.: | ||||
8.25% 2/15/20 | 3,877 | 4,236 | ||
9.75% 3/1/16 | 1,660 | 1,814 | ||
DTEK Finance BV 9.5% 4/28/15 (f) | 2,435 | 2,362 | ||
Eagle Rock Energy Partners LP / Eagle Rock Energy Finance Corp. 8.375% 6/1/19 | 5,125 | 5,112 | ||
Endeavour International Corp. 12% 3/1/18 (f) | 5,910 | 6,176 | ||
Energy Partners Ltd. 8.25% 2/15/18 | 6,600 | 6,518 | ||
Energy Transfer Equity LP 7.5% 10/15/20 | 10,210 | 11,205 | ||
Energy XXI Gulf Coast, Inc. 9.25% 12/15/17 | 12,735 | 13,626 | ||
EXCO Resources, Inc. 7.5% 9/15/18 | 8,000 | 6,600 | ||
Goodrich Petroleum Corp. 8.875% 3/15/19 | 3,485 | 3,311 | ||
KazMunaiGaz Finance Sub BV: | ||||
6.375% 4/9/21 (f) | 3,510 | 3,870 | ||
7% 5/5/20 (f) | 4,100 | 4,664 | ||
9.125% 7/2/18 (f) | 4,825 | 5,989 | ||
11.75% 1/23/15 (f) | 3,780 | 4,498 | ||
Laredo Pete, Inc. 7.375% 5/1/22 (f) | 5,910 | 6,132 | ||
LINN Energy LLC/LINN Energy Finance Corp.: | ||||
7.75% 2/1/21 | 19,190 | 20,197 | ||
8.625% 4/15/20 | 14,410 | 15,527 | ||
Markwest Energy Partners LP/Markwest Energy Finance Corp.: | ||||
6.25% 6/15/22 | 9,605 | 9,893 | ||
6.75% 11/1/20 | 1,880 | 1,988 | ||
Naftogaz of Ukraine NJSC 9.5% 9/30/14 | 4,375 | 4,173 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Newfield Exploration Co.: | ||||
5.625% 7/1/24 | $ 5,200 | $ 5,317 | ||
6.875% 2/1/20 | 12,875 | 13,648 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 10.5% 12/1/17 | 4,575 | 4,895 | ||
OGX Petroleo e Gas Participacoes SA 8.5% 6/1/18 (f) | 16,300 | 14,589 | ||
Pacific Rubiales Energy Corp. 7.25% 12/12/21 (f) | 7,674 | 8,365 | ||
Pan American Energy LLC 7.875% 5/7/21 (f) | 2,950 | 2,493 | ||
PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20 (f) | 9,325 | 9,278 | ||
Pemex Project Funding Master Trust: | ||||
5.75% 3/1/18 | 5,050 | 5,719 | ||
6.625% 6/15/35 | 13,045 | 15,654 | ||
PetroBakken Energy Ltd. 8.625% 2/1/20 (f) | 6,670 | 6,603 | ||
Petrobras International Finance Co. Ltd.: | ||||
5.375% 1/27/21 | 5,230 | 5,637 | ||
6.875% 1/20/40 | 3,175 | 3,813 | ||
8.375% 12/10/18 | 4,435 | 5,490 | ||
Petrohawk Energy Corp. 7.875% 6/1/15 | 22,900 | 23,806 | ||
Petroleos de Venezuela SA: | ||||
4.9% 10/28/14 | 22,325 | 19,200 | ||
5% 10/28/15 | 3,035 | 2,360 | ||
5.375% 4/12/27 | 16,760 | 9,595 | ||
5.5% 4/12/37 | 7,675 | 4,356 | ||
8% 11/17/13 | 4,785 | 4,761 | ||
8.5% 11/2/17 (f) | 48,355 | 39,168 | ||
9% 11/17/21 (Reg. S) | 7,745 | 5,673 | ||
12.75% 2/17/22 (f) | 18,475 | 17,367 | ||
Petroleos Mexicanos: | ||||
4.875% 1/24/22 (f) | 3,930 | 4,264 | ||
5.5% 1/21/21 | 4,720 | 5,357 | ||
5.5% 6/27/44 (f) | 3,685 | 3,786 | ||
6% 3/5/20 | 2,990 | 3,487 | ||
6.5% 6/2/41 | 2,090 | 2,440 | ||
6.5% 6/2/41 (f) | 2,185 | 2,573 | ||
6.625% (f)(g) | 14,095 | 14,377 | ||
8% 5/3/19 | 2,695 | 3,456 | ||
Petroleum Development Corp. 12% 2/15/18 | 4,390 | 4,697 | ||
Pioneer Natural Resources Co. 7.5% 1/15/20 | 8,285 | 10,273 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
PT Adaro Indonesia 7.625% 10/22/19 (f) | $ 3,859 | $ 4,071 | ||
PT Pertamina Persero: | ||||
4.875% 5/3/22 (f) | 4,240 | 4,240 | ||
5.25% 5/23/21 (f) | 3,185 | 3,281 | ||
6% 5/3/42 (f) | 4,240 | 4,187 | ||
6.5% 5/27/41 (f) | 2,470 | 2,587 | ||
Regency Energy Partners LP/Regency Energy Finance Corp. 6.875% 12/1/18 | 6,445 | 6,799 | ||
Rosetta Resources, Inc. 9.5% 4/15/18 | 3,565 | 3,819 | ||
Southern Star Central Corp. 6.75% 3/1/16 | 1,560 | 1,576 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | ||||
6.375% 8/1/22 (f) | 2,660 | 2,653 | ||
6.875% 2/1/21 | 2,785 | 2,896 | ||
11.25% 7/15/17 | 4,265 | 4,809 | ||
Teekay Corp. 8.5% 1/15/20 | 3,695 | 3,760 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 689 | ||
7.625% 4/1/37 | 1,035 | 1,272 | ||
8.375% 6/15/32 | 1,155 | 1,511 | ||
Venoco, Inc.: | ||||
8.875% 2/15/19 | 7,315 | 6,529 | ||
11.5% 10/1/17 | 5,185 | 5,444 | ||
WPX Energy, Inc. 6% 1/15/22 | 7,035 | 7,000 | ||
YPF SA 10% 11/2/28 | 2,835 | 2,778 | ||
| 561,289 | |||
TOTAL ENERGY | 587,661 | |||
FINANCIALS - 7.3% | ||||
Capital Markets - 0.1% | ||||
Equinox Holdings, Inc. 9.5% 2/1/16 (f) | 5,755 | 6,100 | ||
Lloyds TSB Bank PLC 4.875% 3/30/27 | GBP | 5,300 | 8,813 | |
Penson Worldwide, Inc. 12.5% 5/15/17 (f) | 3,580 | 465 | ||
| 15,378 | |||
Commercial Banks - 2.0% | ||||
Abbey National Treasury Services PLC 5.25% 2/16/29 | GBP | 3,400 | 5,592 | |
African Export-Import Bank 8.75% 11/13/14 | 2,145 | 2,351 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Akbank T.A.S.: | ||||
5.125% 7/22/15 (f) | $ 5,370 | $ 5,430 | ||
6.5% 3/9/18 (f) | 1,415 | 1,475 | ||
Banco Nacional de Desenvolvimento Economico e Social 6.5% 6/10/19 (f) | 1,280 | 1,526 | ||
Barclays Bank PLC 4.25% 1/12/22 | GBP | 3,850 | 6,421 | |
BBVA Paraguay SA 9.75% 2/11/16 (f) | 4,330 | 4,417 | ||
CIT Group, Inc.: | ||||
5% 5/15/17 | 12,005 | 12,305 | ||
5.25% 3/15/18 | 24,005 | 24,785 | ||
5.375% 5/15/20 | 10,385 | 10,619 | ||
5.5% 2/15/19 (f) | 35,510 | 36,487 | ||
7% 5/2/17 (f) | 9,854 | 9,866 | ||
Co-Operative Bank PLC 4.75% 11/11/21 | GBP | 4,110 | 6,841 | |
Development Bank of Philippines 8.375% (g)(k) | 6,440 | 6,923 | ||
Eastern and Southern African Trade and Development Bank 6.875% 1/9/16 (Reg. S) | 3,585 | 3,477 | ||
European Investment Bank 5.375% 6/7/21 | GBP | 4,250 | 7,938 | |
Georgia Bank Joint Stock Co. 7.75% 7/5/17 (f) | 2,845 | 2,809 | ||
HSBK (Europe) BV: | ||||
7.25% 5/3/17 (f) | 5,550 | 5,564 | ||
9.25% 10/16/13 (f) | 3,262 | 3,376 | ||
International Bank for Reconstruction & Development: | ||||
8% 6/20/13 | NGN | 290,000 | 1,638 | |
8.2% 12/12/12 | NGN | 920,000 | 5,342 | |
JSC Kazkommertsbank BV 8% 11/3/15 (f) | 4,460 | 4,126 | ||
Kazkommerts International BV 7.875% 4/7/14 | 1,675 | 1,644 | ||
Nordea Bank Finland PLC 2.25% 11/16/15 | EUR | 5,250 | 6,894 | |
Royal Bank of Scotland PLC 5.125% 1/13/24 | GBP | 4,750 | 8,375 | |
RSHB Capital SA: | ||||
6% 6/3/21 (f) | 2,155 | 2,117 | ||
9% 6/11/14 (f) | 2,120 | 2,332 | ||
SSB #1 PLC 8.25% 3/10/16 | 950 | 805 | ||
Svenska Handelsbanken AB 4.375% 10/20/21 | EUR | 50 | 71 | |
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
The State Export-Import Bank of Ukraine JSC 5.7928% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (e) | $ 5,375 | $ 4,139 | ||
Trade & Development Bank of Mongolia LLC 8.5% 10/25/13 | 3,965 | 3,965 | ||
US Bank NA 1.076% 2/28/17 (k) | EUR | 1,600 | 1,847 | |
Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) | 10,335 | 10,774 | ||
Vnesheconombank Via VEB Finance PLC 6.025% 7/5/22 (f) | 2,975 | 3,001 | ||
Yapi ve Kredi Bankasi A/S 6.75% 2/8/17 (f) | 4,205 | 4,247 | ||
| 219,519 | |||
Consumer Finance - 2.6% | ||||
Ally Financial, Inc.: | ||||
3.6669% 2/11/14 (k) | 7,265 | 7,120 | ||
5.5% 2/15/17 | 7,530 | 7,662 | ||
7.5% 9/15/20 | 41,390 | 46,564 | ||
8% 3/15/20 | 28,925 | 33,264 | ||
Ford Motor Credit Co. LLC: | ||||
4.25% 2/3/17 | 24,035 | 25,194 | ||
5.75% 2/1/21 | 2,370 | 2,601 | ||
5.875% 8/2/21 | 17,745 | 19,741 | ||
12% 5/15/15 | 12,770 | 15,899 | ||
General Motors Acceptance Corp. 8% 11/1/31 | 27,890 | 32,226 | ||
GMAC LLC: | ||||
6.75% 12/1/14 | 2,965 | 3,128 | ||
8% 11/1/31 | 64,378 | 75,161 | ||
SLM Corp.: | ||||
6% 1/25/17 | 9,240 | 9,494 | ||
7.25% 1/25/22 | 4,800 | 4,992 | ||
8% 3/25/20 | 7,185 | 7,868 | ||
| 290,914 | |||
Diversified Financial Services - 2.0% | ||||
Aquarius Investments Luxemburg 8.25% 2/18/16 | 4,705 | 4,940 | ||
Biz Finance PLC 8.375% 4/27/15 (Reg. S) | 6,450 | 5,773 | ||
BP Capital Markets PLC 3.83% 10/6/17 | EUR | 2,750 | 3,784 | |
CDW LLC/CDW Finance Corp. 8% 12/15/18 (e) | 1,590 | 1,717 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Dignity Finance PLC: | ||||
6.31% 12/31/23 (Reg. S) | GBP | 214 | $ 402 | |
8.151% 12/31/30 | GBP | 475 | 1,024 | |
European Economic Community 2.875% 4/4/28 | EUR | 6,500 | 8,120 | |
Everest Acquisition LLC / Everest Acquisition Finance, Inc.: | ||||
6.875% 5/1/19 (f) | 5,580 | 5,803 | ||
9.375% 5/1/20 (f) | 23,220 | 24,033 | ||
Fibria Overseas Finance Ltd.: | ||||
6.75% 3/3/21 (f) | 1,660 | 1,660 | ||
7.5% 5/4/20 (f) | 2,295 | 2,387 | ||
GE Capital UK Funding 4.375% 7/31/19 | GBP | 5,050 | 8,302 | |
General Motors Financial Co., Inc. 6.75% 6/1/18 | 6,140 | 6,708 | ||
Hilcorp Energy I LP/Hilcorp Finance Co. 7.625% 4/15/21 (f) | 4,195 | 4,447 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
7.75% 1/15/16 | 14,795 | 15,553 | ||
8% 1/15/18 | 37,667 | 40,021 | ||
Indo Energy Finance BV 7% 5/7/18 (f) | 3,710 | 3,617 | ||
Magnesita Finance Ltd. 8.625% (f)(g) | 2,595 | 2,582 | ||
Offshore Group Investment Ltd. 11.5% 8/1/15 | 5,870 | 6,310 | ||
Porterbrook Rail Finance Ltd. 5.5% 4/20/19 | GBP | 1,350 | 2,296 | |
Regions Financing Trust II 6.625% 5/15/47 (k) | 4,735 | 4,498 | ||
TMK Capital SA 7.75% 1/27/18 | 4,325 | 4,044 | ||
Transportation Union LLC/Transportation Union Financing Corp. 11.375% 6/15/18 | 11,580 | 13,635 | ||
TransUnion Holding Co., Inc. 9.625% 6/15/18 pay-in-kind (f)(k) | 2,910 | 3,128 | ||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 8.125% 12/1/17 (f) | 7,210 | 7,733 | ||
Vnesheconombank Via VEB Finance PLC: | ||||
5.375% 2/13/17 (f) | 3,025 | 3,131 | ||
6.8% 11/22/25 (f) | 3,065 | 3,203 | ||
6.902% 7/9/20 (f) | 7,355 | 7,980 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (f)(k) | $ 21,289 | $ 13,395 | ||
Zhaikmunai Finance BV 10.5% 10/19/15 (f) | 9,020 | 8,975 | ||
| 219,201 | |||
Insurance - 0.0% | ||||
CNO Financial Group, Inc. 9% 1/15/18 (f) | 2,935 | 3,126 | ||
USI Holdings Corp. 4.3419% 11/15/14 (f)(k) | 920 | 853 | ||
| 3,979 | |||
Real Estate Investment Trusts - 0.3% | ||||
MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21 | 7,955 | 8,273 | ||
Omega Healthcare Investors, Inc.: | ||||
5.875% 3/15/24 (f) | 13,845 | 13,810 | ||
6.75% 10/15/22 | 8,390 | 8,935 | ||
7.5% 2/15/20 | 4,860 | 5,310 | ||
| 36,328 | |||
Real Estate Management & Development - 0.3% | ||||
CB Richard Ellis Services, Inc. 6.625% 10/15/20 | 5,565 | 5,899 | ||
Realogy Corp.: | ||||
7.625% 1/15/20 (f) | 6,330 | 6,567 | ||
7.875% 2/15/19 (f) | 7,240 | 7,150 | ||
9% 1/15/20 (f) | 5,210 | 5,353 | ||
11.5% 4/15/17 | 280 | 265 | ||
12% 4/15/17 | 2,748 | 2,570 | ||
Taylor Morrison Community Monarch 7.75% 4/15/20 (f) | 3,830 | 3,974 | ||
Tesco Property Finance 5 PLC 5.6611% 10/13/41 | GBP | 2,492 | 4,015 | |
Toys 'R' Us Property Co. II LLC 8.5% 12/1/17 | 845 | 883 | ||
| 36,676 | |||
TOTAL FINANCIALS | 821,995 | |||
HEALTH CARE - 3.3% | ||||
Health Care Equipment & Supplies - 0.2% | ||||
DJO Finance LLC/DJO Finance Corp. 8.75% 3/15/18 (f) | 1,740 | 1,801 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Equipment & Supplies - continued | ||||
Kinetic Concepts, Inc./KCI (USA), Inc.: | ||||
10.5% 11/1/18 (f) | $ 14,405 | $ 15,053 | ||
12.5% 11/1/19 (f) | 9,455 | 8,462 | ||
| 25,316 | |||
Health Care Providers & Services - 2.6% | ||||
Community Health Systems, Inc. 8% 11/15/19 | 13,255 | 14,050 | ||
CRC Health Group, Inc. 10.75% 2/1/16 | 1,880 | 1,654 | ||
DaVita, Inc.: | ||||
6.375% 11/1/18 | 12,740 | 13,250 | ||
6.625% 11/1/20 | 3,875 | 4,030 | ||
Emergency Medical Services Corp. 8.125% 6/1/19 | 6,200 | 6,471 | ||
Fresenius Medical Care US Finance II, Inc.: | ||||
5.625% 7/31/19 (f) | 15,215 | 15,862 | ||
5.875% 1/31/22 (f) | 16,815 | 17,572 | ||
Gentiva Health Services, Inc. 11.5% 9/1/18 | 5,710 | 4,911 | ||
HCA Holdings, Inc. 7.75% 5/15/21 | 38,425 | 41,163 | ||
HCA, Inc.: | ||||
5.875% 3/15/22 | 19,190 | 20,030 | ||
6.5% 2/15/16 | 4,220 | 4,526 | ||
6.5% 2/15/20 | 9,920 | 10,788 | ||
7.25% 9/15/20 | 38,835 | 42,427 | ||
7.5% 2/15/22 | 12,110 | 13,170 | ||
8% 10/1/18 | 1,365 | 1,529 | ||
Health Management Associates, Inc. 7.375% 1/15/20 (f) | 2,985 | 3,172 | ||
HealthSouth Corp. 8.125% 2/15/20 | 7,395 | 8,061 | ||
IASIS Healthcare LLC/IASIS Capital Corp. 8.375% 5/15/19 | 13,245 | 13,046 | ||
InVentiv Health, Inc. 10% 8/15/18 (f) | 905 | 747 | ||
Radiation Therapy Services, Inc. 8.875% 1/15/17 (f) | 4,030 | 3,869 | ||
ResCare, Inc. 10.75% 1/15/19 | 2,735 | 3,029 | ||
Rotech Healthcare, Inc. 10.5% 3/15/18 | 2,475 | 1,238 | ||
Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18 | 1,200 | 1,290 | ||
Tenet Healthcare Corp. 6.25% 11/1/18 | 38,116 | 40,117 | ||
UHS Escrow Corp. 7% 10/1/18 | 1,020 | 1,099 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
Vanguard Health Holding Co. II LLC / Vanguard Holding Co. II, Inc. 7.75% 2/1/19 | $ 4,295 | $ 4,338 | ||
Vanguard Health Systems, Inc. 0% 2/1/16 | 241 | 166 | ||
| 291,605 | |||
Health Care Technology - 0.1% | ||||
ConvaTec Healthcare ESA 10.5% 12/15/18 (f) | 4,860 | 4,921 | ||
Thomson Reuters Healthcare, Inc. 10.625% 6/1/20 (f) | 4,285 | 4,478 | ||
| 9,399 | |||
Pharmaceuticals - 0.4% | ||||
Elan Finance PLC/Elan Finance Corp. 8.75% 10/15/16 | 5,775 | 6,295 | ||
Leiner Health Products, Inc. 11% 6/1/49 (c) | 1,885 | 0 | ||
Mylan, Inc.: | ||||
6% 11/15/18 (f) | 10,955 | 11,475 | ||
7.625% 7/15/17 (f) | 3,900 | 4,290 | ||
7.875% 7/15/20 (f) | 7,040 | 7,920 | ||
Valeant Pharmaceuticals International: | ||||
6.75% 8/15/21 (f) | 9,090 | 8,908 | ||
6.875% 12/1/18 (f) | 8,900 | 9,212 | ||
| 48,100 | |||
TOTAL HEALTH CARE | 374,420 | |||
INDUSTRIALS - 3.8% | ||||
Aerospace & Defense - 0.2% | ||||
Alion Science & Technology Corp.: | ||||
10.25% 2/1/15 | 800 | 336 | ||
12% 11/1/14 pay-in-kind | 1,491 | 1,393 | ||
Huntington Ingalls Industries, Inc.: | ||||
6.875% 3/15/18 | 18,060 | 18,828 | ||
7.125% 3/15/21 | 1,675 | 1,750 | ||
| 22,307 | |||
Air Freight & Logistics - 0.0% | ||||
Air Medical Group Holdings, Inc. 9.25% 11/1/18 (f) | 3,295 | 3,427 | ||
Airlines - 0.5% | ||||
Air Canada 9.25% 8/1/15 (f) | 7,170 | 6,955 | ||
American Airlines, Inc. equipment trust certificate 13% 8/1/16 | 3,534 | 3,763 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
American Airlines, Inc. pass-thru trust certificates 10.375% 7/2/19 | $ 5,349 | $ 5,750 | ||
Continental Airlines, Inc. pass-thru trust certificates 6.903% 4/19/22 | 782 | 804 | ||
Continental Airlines, Inc. 7.25% 11/10/19 | 4,567 | 5,173 | ||
Delta Air Lines, Inc. 9.5% 9/15/14 (f) | 1,214 | 1,287 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 8,169 | 8,781 | ||
8.021% 8/10/22 | 3,523 | 3,562 | ||
Northwest Airlines, Inc. pass-thru trust certificates: | ||||
7.027% 11/1/19 | 2,065 | 2,189 | ||
8.028% 11/1/17 | 593 | 599 | ||
United Air Lines, Inc.: | ||||
9.875% 8/1/13 (f) | 1,735 | 1,804 | ||
12% 11/1/13 (f) | 3,415 | 3,560 | ||
United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17 | 7,101 | 8,077 | ||
US Airways 2011-1 Class A pass-thru trust certificates 7.125% 4/22/25 | 5,092 | 5,397 | ||
| 57,701 | |||
Building Products - 0.1% | ||||
Building Materials Corp. of America 6.75% 5/1/21 (f) | 4,665 | 4,992 | ||
HD Supply, Inc. 11% 4/15/20 (f) | 11,030 | 11,857 | ||
| 16,849 | |||
Commercial Services & Supplies - 1.9% | ||||
ADS Tactical, Inc. 11% 4/1/18 (f) | 1,640 | 1,615 | ||
American Reprographics Co. 10.5% 12/15/16 | 4,570 | 4,570 | ||
B-Corp Merger Sub, Inc. 8.25% 6/1/19 (f) | 2,915 | 2,893 | ||
Casella Waste Systems, Inc.: | ||||
7.75% 2/15/19 | 1,160 | 1,137 | ||
11% 7/15/14 | 1,510 | 1,586 | ||
Covanta Holding Corp. 7.25% 12/1/20 | 4,940 | 5,352 | ||
Garda World Security Corp. 9.75% 3/15/17 (f) | 2,260 | 2,390 | ||
International Lease Finance Corp.: | ||||
5.75% 5/15/16 | 12,000 | 12,180 | ||
5.875% 4/1/19 | 23,935 | 23,696 | ||
6.25% 5/15/19 | 24,025 | 24,475 | ||
6.75% 9/1/16 (f) | 14,655 | 15,864 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Commercial Services & Supplies - continued | ||||
International Lease Finance Corp.: - continued | ||||
7.125% 9/1/18 (f) | $ 27,064 | $ 30,041 | ||
8.25% 12/15/20 | 12,385 | 14,150 | ||
8.625% 9/15/15 | 7,985 | 8,843 | ||
8.625% 1/15/22 | 29,075 | 33,654 | ||
8.75% 3/15/17 | 18,075 | 20,334 | ||
The Geo Group, Inc. 7.75% 10/15/17 | 2,845 | 3,030 | ||
United Rentals North America, Inc. 8.375% 9/15/20 | 6,995 | 7,257 | ||
WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (f) | 3,355 | 3,254 | ||
| 216,321 | |||
Construction & Engineering - 0.1% | ||||
Odebrecht Finance Ltd. 7.5% (f)(g) | 10,580 | 10,874 | ||
Electrical Equipment - 0.1% | ||||
General Cable Corp. 7.125% 4/1/17 | 680 | 697 | ||
Sensata Technologies BV 6.5% 5/15/19 (f) | 5,310 | 5,496 | ||
| 6,193 | |||
Industrial Conglomerates - 0.0% | ||||
Sequa Corp. 13.5% 12/1/15 pay-in-kind (f) | 4,393 | 4,679 | ||
Machinery - 0.1% | ||||
Accuride Corp. 9.5% 8/1/18 | 650 | 670 | ||
ArvinMeritor, Inc. 10.625% 3/15/18 | 2,115 | 2,226 | ||
Terex Corp. 10.875% 6/1/16 | 5,025 | 5,603 | ||
| 8,499 | |||
Marine - 0.2% | ||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17 | 2,585 | 2,417 | ||
Navios Maritime Holdings, Inc.: | ||||
8.125% 2/15/19 | 4,790 | 4,191 | ||
8.875% 11/1/17 | 11,300 | 11,526 | ||
Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc. 9.25% 4/15/19 | 1,320 | 1,214 | ||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 2,050 | 1,640 | ||
| 20,988 | |||
Road & Rail - 0.3% | ||||
JSC Georgian Railway 7.75% 7/11/22 (f) | 1,900 | 1,902 | ||
Kansas City Southern de Mexico SA de CV: | ||||
6.125% 6/15/21 | 2,485 | 2,734 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Road & Rail - continued | ||||
Kansas City Southern de Mexico SA de CV: - continued | ||||
12.5% 4/1/16 | $ 7,425 | $ 8,390 | ||
NESCO LLC/NESCO Holdings Corp. 11.75% 4/15/17 (f) | 3,485 | 3,572 | ||
Swift Services Holdings, Inc. 10% 11/15/18 | 9,790 | 10,573 | ||
Western Express, Inc. 12.5% 4/15/15 (f) | 5,935 | 3,591 | ||
| 30,762 | |||
Trading Companies & Distributors - 0.2% | ||||
Aircastle Ltd.: | ||||
6.75% 4/15/17 | 6,765 | 6,833 | ||
7.625% 4/15/20 | 3,030 | 3,091 | ||
9.75% 8/1/18 | 9,000 | 9,945 | ||
| 19,869 | |||
Transportation Infrastructure - 0.1% | ||||
Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (f) | 5,258 | 4,312 | ||
Great Rolling Stock Co. Ltd. 6.25% 7/27/20 | GBP | 1,200 | 2,127 | |
| 6,439 | |||
TOTAL INDUSTRIALS | 424,908 | |||
INFORMATION TECHNOLOGY - 1.3% | ||||
Communications Equipment - 0.3% | ||||
Avaya, Inc.: | ||||
9.75% 11/1/15 | 6,165 | 4,978 | ||
10.125% 11/1/15 pay-in-kind (k) | 4,120 | 3,337 | ||
Brocade Communications Systems, Inc.: | ||||
6.625% 1/15/18 | 6,605 | 6,902 | ||
6.875% 1/15/20 | 2,095 | 2,273 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 18,705 | 12,719 | ||
6.5% 1/15/28 | 6,570 | 4,435 | ||
| 34,644 | |||
Computers & Peripherals - 0.2% | ||||
Seagate HDD Cayman: | ||||
7% 11/1/21 | 6,295 | 6,783 | ||
7.75% 12/15/18 | 9,070 | 10,000 | ||
| 16,783 | |||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Electronic Equipment & Components - 0.0% | ||||
Atkore International, Inc. 9.875% 1/1/18 | $ 2,155 | $ 2,090 | ||
Reddy Ice Corp.: | ||||
11.25% 3/15/15 | 2,645 | 2,523 | ||
13.25% 11/1/15 (c) | 3,266 | 751 | ||
| 5,364 | |||
Internet Software & Services - 0.1% | ||||
Equinix, Inc. 8.125% 3/1/18 | 8,180 | 9,059 | ||
IT Services - 0.4% | ||||
Ceridian Corp.: | ||||
8.875% 7/15/19 (f)(i) | 4,125 | 4,259 | ||
11.25% 11/15/15 | 5,555 | 5,347 | ||
Fidelity National Information Services, Inc.: | ||||
7.625% 7/15/17 | 2,935 | 3,236 | ||
7.875% 7/15/20 | 3,910 | 4,369 | ||
First Data Corp. 7.375% 6/15/19 (f) | 24,130 | 24,673 | ||
SunGard Data Systems, Inc. 7.375% 11/15/18 | 4,435 | 4,745 | ||
Unisys Corp.: | ||||
12.5% 1/15/16 | 2,226 | 2,360 | ||
12.75% 10/15/14 (f) | 201 | 219 | ||
| 49,208 | |||
Semiconductors & Semiconductor Equipment - 0.3% | ||||
Advanced Micro Devices, Inc.: | ||||
7.75% 8/1/20 | 1,640 | 1,796 | ||
8.125% 12/15/17 | 3,470 | 3,765 | ||
Freescale Semiconductor, Inc.: | ||||
8.05% 2/1/20 | 4,065 | 4,024 | ||
10.75% 8/1/20 | 4,281 | 4,602 | ||
NXP BV/NXP Funding LLC 9.75% 8/1/18 (f) | 13,190 | 15,053 | ||
Spansion LLC 11.25% 1/15/16 (c)(f) | 4,255 | 240 | ||
| 29,480 | |||
Software - 0.0% | ||||
Open Solutions, Inc. 9.75% 2/1/15 (f) | 870 | 766 | ||
TOTAL INFORMATION TECHNOLOGY | 145,304 | |||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - 3.4% | ||||
Chemicals - 0.8% | ||||
Braskem America Finance Co. 7.125% 7/22/41 (f) | $ 2,325 | $ 2,325 | ||
Ferro Corp. 7.875% 8/15/18 | 4,325 | 4,217 | ||
INEOS Finance PLC: | ||||
7.5% 5/1/20 (f) | 3,620 | 3,656 | ||
8.375% 2/15/19 (f) | 3,275 | 3,390 | ||
9% 5/15/15 (f) | 2,655 | 2,801 | ||
INEOS Group Holdings PLC 8.5% 2/15/16 (f) | 6,355 | 5,847 | ||
Inergy LP/Inergy Finance Corp. 6.875% 8/1/21 | 4,385 | 4,385 | ||
LyondellBasell Industries NV: | ||||
5% 4/15/19 (f) | 7,200 | 7,524 | ||
5.75% 4/15/24 (f) | 7,200 | 7,677 | ||
6% 11/15/21 (f) | 20,050 | 22,005 | ||
Momentive Performance Materials, Inc. 9% 1/15/21 | 14,450 | 10,946 | ||
NOVA Chemicals Corp. 3.8549% 11/15/13 (k) | 1,690 | 1,688 | ||
OMNOVA Solutions, Inc. 7.875% 11/1/18 | 3,505 | 3,523 | ||
OXEA Finance & CY S.C.A. 9.5% 7/15/17 (f) | 3,370 | 3,522 | ||
PolyOne Corp. 7.375% 9/15/20 | 1,845 | 1,956 | ||
Solutia, Inc.: | ||||
7.875% 3/15/20 | 2,180 | 2,551 | ||
8.75% 11/1/17 | 3,205 | 3,606 | ||
Taminco Global Chemical Corp. 9.75% 3/31/20 (f) | 1,245 | 1,279 | ||
TPC Group LLC 8.25% 10/1/17 | 2,195 | 2,305 | ||
| 95,203 | |||
Construction Materials - 0.6% | ||||
CEMEX Espana SA (Luxembourg): | ||||
9.25% 5/12/20 (f) | 2,860 | 2,460 | ||
9.875% 4/30/19 (f) | 5,015 | 4,488 | ||
CEMEX Finance LLC 9.5% 12/14/16 (f) | 23,525 | 23,055 | ||
CEMEX SA de CV: | ||||
5.4697% 9/30/15 (f)(k) | 12,390 | 11,275 | ||
9% 1/11/18 (f) | 17,190 | 15,342 | ||
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (f) | 3,740 | 3,927 | ||
Summit Materials LLC/Summit Materials Finance Corp. 10.5% 1/31/20 (f) | 5,240 | 5,502 | ||
| 66,049 | |||
Containers & Packaging - 0.4% | ||||
ARD Finance SA 11.125% 6/1/18 pay-in-kind (f) | 4,286 | 3,943 | ||
Berry Plastics Holding Corp. 4.3429% 9/15/14 (k) | 640 | 627 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
BWAY Parent Co., Inc. 10.875% 11/1/15 pay-in-kind (k) | $ 2,700 | $ 2,693 | ||
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (f) | 2,060 | 2,106 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 9,795 | 10,383 | ||
7.5% 12/15/96 | 3,685 | 3,114 | ||
Rock-Tenn Co.: | ||||
4.45% 3/1/19 (f) | 1,480 | 1,520 | ||
4.9% 3/1/22 (f) | 1,380 | 1,429 | ||
Sappi Papier Holding GmbH: | ||||
7.75% 7/15/17 (f)(i) | 2,600 | 2,633 | ||
8.375% 6/15/19 (f)(i) | 3,515 | 3,533 | ||
Silgan Holdings, Inc. 5% 4/1/20 (f) | 9,600 | 9,792 | ||
Tekni-Plex, Inc. 9.75% 6/1/19 (f) | 4,350 | 4,394 | ||
| 46,167 | |||
Metals & Mining - 1.3% | ||||
Aleris International, Inc.: | ||||
6% 6/1/20 (f) | 33 | 32 | ||
9% 12/15/14 pay-in-kind (c)(k) | 2,790 | 0 | ||
Alrosa Finance SA 7.75% 11/3/20 (f) | 2,685 | 2,813 | ||
Edgen Murray Corp. 12.25% 1/15/15 | 8,130 | 8,008 | ||
EVRAZ Group SA: | ||||
7.4% 4/24/17 (f) | 2,535 | 2,485 | ||
8.25% 11/10/15 (f) | 7,820 | 8,191 | ||
FMG Resources (August 2006) Pty Ltd.: | ||||
6% 4/1/17 (f) | 6,325 | 6,357 | ||
6.375% 2/1/16 (f) | 7,260 | 7,333 | ||
6.875% 2/1/18 (f) | 21,090 | 21,301 | ||
6.875% 4/1/22 (f) | 19,525 | 19,720 | ||
7% 11/1/15 (f) | 9,155 | 9,361 | ||
8.25% 11/1/19 (f) | 37,935 | 40,401 | ||
Metinvest BV 10.25% 5/20/15 (f) | 3,170 | 3,107 | ||
Midwest Vanadium Pty Ltd. 11.5% 2/15/18 (f) | 2,265 | 1,404 | ||
Mirabela Nickel Ltd. 8.75% 4/15/18 (f) | 1,135 | 777 | ||
Mongolian Mining Corp. 8.875% 3/29/17 (f) | 4,385 | 4,396 | ||
MRC Global, Inc. 9.5% 12/15/16 | 4,320 | 4,666 | ||
New Gold, Inc. 7% 4/15/20 (f) | 1,230 | 1,264 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Rain CII Carbon LLC/CII Carbon Corp. 8% 12/1/18 (f) | $ 3,435 | $ 3,469 | ||
RathGibson, Inc. 11.25% 2/15/14 (c) | 5,755 | 0 | ||
Southern Copper Corp. 6.75% 4/16/40 | 2,130 | 2,277 | ||
SunCoke Energy, Inc. 7.625% 8/1/19 | 1,315 | 1,289 | ||
Votorantim Cimentos SA 7.25% 4/5/41 (f) | 3,155 | 3,163 | ||
| 151,814 | |||
Paper & Forest Products - 0.3% | ||||
AbitibiBowater, Inc. 10.25% 10/15/18 | 12,998 | 14,428 | ||
Clearwater Paper Corp. 7.125% 11/1/18 | 1,225 | 1,299 | ||
Glatfelter 7.125% 5/1/16 | 550 | 562 | ||
NewPage Corp.: | ||||
6.7159% 5/1/49 (c)(k) | 1,770 | 62 | ||
11.375% 12/31/14 (c) | 4,775 | 3,080 | ||
Sino-Forest Corp. 6.25% 10/21/17 (c)(f) | 5,480 | 1,548 | ||
Verso Paper Holdings LLC/Verso Paper, Inc. 11.75% 1/15/19 (f) | 7,010 | 7,080 | ||
| 28,059 | |||
TOTAL MATERIALS | 387,292 | |||
TELECOMMUNICATION SERVICES - 3.3% | ||||
Diversified Telecommunication Services - 1.2% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 | 7,085 | 7,935 | ||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 4,895 | 4,308 | ||
9% 8/15/31 | 3,655 | 3,491 | ||
Clearwire Communications LLC/Clearwire Finance, Inc.: | ||||
12% 12/1/15 (f) | 6,042 | 5,498 | ||
14.75% 12/1/16 (f) | 3,940 | 3,832 | ||
Consolidated Communications Finance Co. 10.875% 6/1/20 (f) | 2,395 | 2,455 | ||
Eileme 1 AB 14.25% 8/15/20 (f) | 4,730 | 4,494 | ||
Eileme 2 AB 11.625% 1/31/20 (f) | 9,395 | 9,771 | ||
Frontier Communications Corp.: | ||||
8.5% 4/15/20 | 12,120 | 12,847 | ||
8.75% 4/15/22 | 6,585 | 6,914 | ||
Level 3 Financing, Inc.: | ||||
8.125% 7/1/19 | 3,845 | 3,941 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Level 3 Financing, Inc.: - continued | ||||
8.625% 7/15/20 | $ 8,760 | $ 9,176 | ||
10% 2/1/18 | 3,845 | 4,162 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 26,575 | 21,358 | ||
8.75% 3/15/32 | 29,406 | 26,759 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 2,535 | 2,522 | ||
7.25% 9/15/25 | 535 | 587 | ||
7.25% 10/15/35 | 1,455 | 1,491 | ||
7.5% 6/15/23 | 460 | 461 | ||
Wind Acquisition Finance SA 11.75% 7/15/17 (f) | 4,720 | 3,811 | ||
| 135,813 | |||
Wireless Telecommunication Services - 2.1% | ||||
Clearwire Escrow Corp. 12% 12/1/15 (f) | 9,205 | 8,331 | ||
Cricket Communications, Inc. 7.75% 10/15/20 | 7,758 | 7,409 | ||
Digicel Group Ltd.: | ||||
7% 2/15/20 (f) | 980 | 943 | ||
8.25% 9/1/17 (f) | 10,205 | 10,460 | ||
8.875% 1/15/15 (f) | 34,965 | 35,315 | ||
9.125% 1/15/15 pay-in-kind (f)(k) | 19,575 | 19,771 | ||
10.5% 4/15/18 (f) | 34,610 | 36,167 | ||
12% 4/1/14 (f) | 9,725 | 10,795 | ||
Intelsat Jackson Holdings SA: | ||||
7.25% 4/1/19 | 11,235 | 11,853 | ||
7.25% 10/15/20 (f) | 15,330 | 16,097 | ||
7.5% 4/1/21 | 27,065 | 28,689 | ||
8.5% 11/1/19 | 4,220 | 4,684 | ||
MetroPCS Wireless, Inc. 7.875% 9/1/18 | 3,933 | 4,080 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (f) | 9,355 | 10,735 | ||
NII Capital Corp.: | ||||
7.625% 4/1/21 | 8,685 | 7,404 | ||
8.875% 12/15/19 | 2,303 | 2,096 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (f) | 11,684 | 11,363 | ||
Telemovil Finance Co. Ltd. 8% 10/1/17 (f) | 7,050 | 7,253 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Vimpel Communications OJSC 7.748% 2/2/21 | $ 3,915 | $ 3,768 | ||
VimpelCom Holdings BV 7.5043% 3/1/22 (f) | 3,095 | 2,902 | ||
| 240,115 | |||
TOTAL TELECOMMUNICATION SERVICES | 375,928 | |||
UTILITIES - 2.9% | ||||
Electric Utilities - 0.3% | ||||
Aguila 3 SA 7.875% 1/31/18 (f) | 2,890 | 2,977 | ||
Chivor SA E.S.P. 9.75% 12/30/14 (f) | 2,355 | 2,726 | ||
Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (f) | 3,784 | 1,324 | ||
InterGen NV 9% 6/30/17 (f) | 4,155 | 4,072 | ||
Majapahit Holding BV: | ||||
7.75% 1/20/20 (f) | 3,370 | 4,019 | ||
8% 8/7/19 (f) | 1,805 | 2,166 | ||
Mirant Americas Generation LLC 9.125% 5/1/31 | 4,075 | 3,627 | ||
National Grid Electricity Transmission PLC 4% 6/8/27 | GBP | 2,000 | 3,153 | |
National Power Corp. 6.875% 11/2/16 (f) | 1,890 | 2,174 | ||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. 11.5% 10/1/20 (f) | 15,215 | 10,384 | ||
| 36,622 | |||
Gas Utilities - 0.3% | ||||
Holly Energy Partners LP/Holly Finance Corp. 6.5% 3/1/20 (f) | 4,875 | 4,924 | ||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 1,985 | 2,134 | ||
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | 6,645 | 8,059 | ||
8% 3/1/32 | 3,550 | 4,604 | ||
Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17 | 2,435 | 2,386 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (f) | 14,815 | 10,111 | ||
| 32,218 | |||
Independent Power Producers & Energy Traders - 2.2% | ||||
Atlantic Power Corp. 9% 11/15/18 (f) | 9,120 | 9,325 | ||
Calpine Corp.: | ||||
7.5% 2/15/21 (f) | 6,325 | 6,847 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
Calpine Corp.: - continued | ||||
7.875% 7/31/20 (f) | $ 16,935 | $ 18,544 | ||
7.875% 1/15/23 (f) | 26,885 | 29,506 | ||
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 (f) | 9,305 | 10,329 | ||
Energy Future Holdings Corp.: | ||||
10% 1/15/20 | 11,210 | 12,051 | ||
10.875% 11/1/17 | 3,470 | 2,941 | ||
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: | ||||
10% 12/1/20 | 53,863 | 58,980 | ||
11% 10/1/21 | 30,866 | 29,863 | ||
11.75% 3/1/22 (f) | 26,135 | 26,723 | ||
GenOn Energy, Inc.: | ||||
9.5% 10/15/18 | 3,080 | 3,045 | ||
9.875% 10/15/20 | 11,570 | 11,281 | ||
Listrindo Capital BV 6.95% 2/21/19 (f) | 2,440 | 2,513 | ||
NRG Energy, Inc.: | ||||
7.625% 5/15/19 | 3,465 | 3,526 | ||
7.875% 5/15/21 | 4,075 | 4,106 | ||
Power Sector Assets and Liabilities Management Corp. 7.39% 12/2/24 (f) | 2,880 | 3,708 | ||
TXU Corp.: | ||||
5.55% 11/15/14 | 1,860 | 1,335 | ||
6.5% 11/15/24 | 11,785 | 5,627 | ||
6.55% 11/15/34 | 30,155 | 13,796 | ||
| 254,046 | |||
Multi-Utilities - 0.1% | ||||
Centrica PLC 4.375% 3/13/29 | GBP | 2,300 | 3,733 | |
Puget Energy, Inc. 5.625% 7/15/22 (f) | 3,690 | 3,842 | ||
| 7,575 | |||
TOTAL UTILITIES | 330,461 | |||
TOTAL NONCONVERTIBLE BONDS | 4,033,408 | |||
TOTAL CORPORATE BONDS (Cost $3,833,399) |
| |||
U.S. Government and Government Agency Obligations - 22.4% | ||||
| Principal | Value | ||
U.S. Government Agency Obligations - 1.6% | ||||
Fannie Mae: | ||||
0.5% 5/27/15 | $ 4,403 | $ 4,400 | ||
0.5% 7/2/15 | 89,439 | 89,328 | ||
Federal Home Loan Bank: | ||||
0.375% 11/27/13 | 4,550 | 4,553 | ||
0.875% 8/22/12 | 4,890 | 4,895 | ||
0.875% 12/27/13 | 775 | 781 | ||
1% 6/21/17 | 8,670 | 8,681 | ||
Freddie Mac: | ||||
0.625% 12/29/14 | 5,867 | 5,890 | ||
0.75% 11/25/14 | 2,130 | 2,146 | ||
1% 7/30/14 | 5,053 | 5,115 | ||
1% 8/27/14 | 4,688 | 4,752 | ||
1.25% 5/12/17 | 27,800 | 28,181 | ||
Private Export Funding Corp. secured 4.974% 8/15/13 | 1,515 | 1,594 | ||
Small Business Administration guaranteed development participation certificates Series 2003-P10B, Class 1 5.136% 8/10/13 | 197 | 204 | ||
Tennessee Valley Authority: | ||||
5.25% 9/15/39 | 5,600 | 7,357 | ||
5.375% 4/1/56 | 7,000 | 9,612 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 177,489 | |||
U.S. Treasury Inflation Protected Obligations - 0.1% | ||||
U.S. Treasury Inflation-Indexed Bonds 0.75% 2/15/42 | 10,456 | 11,028 | ||
U.S. Treasury Obligations - 19.7% | ||||
U.S. Treasury Bonds: | ||||
3% 5/15/42 | 32,905 | 34,540 | ||
3.125% 2/15/42 | 24,786 | 26,672 | ||
3.75% 8/15/41 | 46,485 | 56,152 | ||
4.375% 5/15/41 | 105,196 | 140,709 | ||
5.25% 2/15/29 | 26,473 | 37,377 | ||
5.375% 2/15/31 | 37,677 | 54,955 | ||
6.125% 8/15/29 (j) | 14,487 | 22,398 | ||
7.5% 11/15/16 | 2,850 | 3,688 | ||
7.5% 11/15/24 | 10,690 | 17,289 | ||
7.625% 2/15/25 | 11,000 | 18,021 | ||
7.875% 2/15/21 | 6,800 | 10,409 | ||
8.125% 5/15/21 | 9,286 | 14,496 | ||
9.875% 11/15/15 | 11,595 | 15,229 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: | ||||
0.125% 8/31/13 | $ 68,900 | $ 68,784 | ||
0.125% 12/31/13 | 49,608 | 49,478 | ||
0.25% 1/31/14 | 62,366 | 62,312 | ||
0.25% 2/28/14 | 62,000 | 61,942 | ||
0.25% 4/30/14 | 134,903 | 134,750 | ||
0.25% 5/31/14 | 51,462 | 51,402 | ||
0.25% 9/15/14 | 42,885 | 42,795 | ||
0.25% 12/15/14 | 10,000 | 9,975 | ||
0.25% 2/15/15 | 28,044 | 27,948 | ||
0.25% 5/15/15 | 78,115 | 77,792 | ||
0.375% 6/30/13 | 13,766 | 13,783 | ||
0.375% 7/31/13 | 34,050 | 34,091 | ||
0.5% 8/15/14 | 47,582 | 47,746 | ||
0.625% 7/15/14 | 40,964 | 41,204 | ||
0.625% 5/31/17 | 60,724 | 60,473 | ||
0.75% 6/15/14 | 15,459 | 15,588 | ||
0.75% 6/30/17 | 20,000 | 20,030 | ||
0.875% 11/30/16 | 24,887 | 25,144 | ||
0.875% 4/30/17 | 8,941 | 9,014 | ||
1% 9/30/16 | 85,787 | 87,154 | ||
1% 10/31/16 | 38,000 | 38,591 | ||
1% 6/30/19 | 126,518 | 125,589 | ||
1.25% 10/31/15 | 13,777 | 14,121 | ||
1.375% 11/30/15 | 14,493 | 14,923 | ||
1.75% 5/15/22 | 17,078 | 17,233 | ||
1.875% 6/30/15 | 17,707 | 18,465 | ||
1.875% 8/31/17 | 7,700 | 8,127 | ||
1.875% 9/30/17 | 5,400 | 5,699 | ||
1.875% 10/31/17 | 13,764 | 14,529 | ||
2% 2/15/22 | 41,294 | 42,717 | ||
2.125% 11/30/14 | 49,092 | 51,163 | ||
2.125% 5/31/15 | 4,493 | 4,714 | ||
2.125% 8/15/21 | 28,789 | 30,285 | ||
2.375% 8/31/14 | 13,000 | 13,568 | ||
2.375% 9/30/14 | 8,471 | 8,858 | ||
2.375% 10/31/14 | 49,620 | 51,938 | ||
2.375% 2/28/15 | 55,000 | 57,888 | ||
2.375% 7/31/17 | 20,000 | 21,608 | ||
2.375% 6/30/18 | 27,978 | 30,350 | ||
2.5% 3/31/15 | 58,749 | 62,127 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
2.625% 7/31/14 | $ 12,927 | $ 13,537 | ||
2.625% 4/30/16 | 3,137 | 3,383 | ||
2.75% 11/30/16 | 10,000 | 10,913 | ||
3% 9/30/16 | 8,408 | 9,244 | ||
3% 2/28/17 | 66,584 | 73,617 | ||
3.125% 10/31/16 | 20,033 | 22,155 | ||
3.125% 1/31/17 | 30,990 | 34,399 | ||
3.125% 5/15/19 | 16,237 | 18,465 | ||
4.5% 5/15/17 | 13,745 | 16,222 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 2,227,768 | |||
Other Government Related - 1.0% | ||||
General Electric Capital Corp.: | ||||
2.125% 12/21/12 (FDIC Guaranteed) (h) | 15,000 | 15,129 | ||
2.625% 12/28/12 (FDIC Guaranteed) (h) | 5,402 | 5,463 | ||
National Credit Union Administration Guaranteed Notes: | ||||
Series 2010-A1 Class A, 0.5888% 12/7/20 (NCUA Guaranteed) (k) | 4,308 | 4,323 | ||
Series 2011-R1 Class 1A, 0.6888% 1/8/20 (NCUA Guaranteed) (k) | 6,825 | 6,839 | ||
Series 2011-R4 Class 1A, 0.6188% 3/6/20 (NCUA Guaranteed) (k) | 3,930 | 3,931 | ||
National Credit Union Administration Guaranteed Notes Master Trust: | ||||
1.4% 6/12/15 (NCUA Guaranteed) | 3,550 | 3,620 | ||
2.35% 6/12/17 (NCUA Guaranteed) | 31,000 | 32,752 | ||
3% 6/12/19 (NCUA Guaranteed) | 18,004 | 19,767 | ||
3.45% 6/12/21 (NCUA Guaranteed) | 25,300 | 28,226 | ||
TOTAL OTHER GOVERNMENT RELATED | 120,050 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,423,123) |
| |||
U.S. Government Agency - Mortgage Securities - 3.5% | ||||
| ||||
Fannie Mae - 1.4% | ||||
2.122% 10/1/35 (k) | 82 | 85 | ||
2.172% 11/1/35 (k) | 798 | 840 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value | ||
Fannie Mae - continued | ||||
2.223% 11/1/33 (k) | $ 149 | $ 158 | ||
2.293% 9/1/33 (k) | 661 | 693 | ||
2.32% 6/1/36 (k) | 53 | 57 | ||
2.384% 2/1/36 (k) | 151 | 160 | ||
2.388% 1/1/35 (k) | 371 | 395 | ||
2.393% 9/1/36 (k) | 182 | 195 | ||
2.525% 3/1/33 (k) | 182 | 194 | ||
2.609% 11/1/36 (k) | 62 | 67 | ||
2.63% 2/1/37 (k) | 712 | 763 | ||
2.63% 6/1/47 (k) | 196 | 210 | ||
2.688% 7/1/35 (k) | 330 | 353 | ||
2.763% 5/1/36 (k) | 98 | 105 | ||
2.975% 8/1/35 (k) | 1,018 | 1,088 | ||
2.996% 4/1/36 (k) | 567 | 608 | ||
3.5% 1/1/26 to 9/1/26 | 174 | 186 | ||
3.5% 7/1/42 (i) | 3,800 | 3,995 | ||
4% 6/1/42 to 7/1/42 | 17,525 | 18,915 | ||
4% 7/1/42 (i) | 79,000 | 84,089 | ||
4% 7/1/42 (i) | 18,100 | 19,266 | ||
4% 7/1/42 (i) | 18,100 | 19,266 | ||
4.5% 8/1/41 | 928 | 1,009 | ||
5% 5/1/22 | 18 | 20 | ||
5.5% 5/1/15 to 4/1/21 | 6,326 | 6,882 | ||
5.984% 3/1/37 (k) | 98 | 105 | ||
6% 6/1/16 to 10/1/38 | 1,009 | 1,106 | ||
6.5% 12/1/12 to 5/1/27 | 499 | 551 | ||
7.5% 1/1/28 | 33 | 39 | ||
TOTAL FANNIE MAE | 161,400 | |||
Freddie Mac - 0.6% | ||||
2.139% 1/1/36 (k) | 98 | 103 | ||
2.149% 3/1/35 (k) | 193 | 200 | ||
2.2% 3/1/37 (k) | 51 | 53 | ||
2.203% 6/1/33 (k) | 416 | 435 | ||
2.312% 2/1/37 (k) | 82 | 86 | ||
2.35% 7/1/35 (k) | 479 | 511 | ||
2.357% 5/1/37 (k) | 117 | 124 | ||
2.375% 5/1/37 (k) | 84 | 87 | ||
2.451% 1/1/37 (k) | 467 | 496 | ||
2.478% 6/1/37 (k) | 43 | 45 | ||
2.492% 4/1/35 (k) | 57 | 60 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value | ||
Freddie Mac - continued | ||||
2.512% 2/1/36 (k) | $ 19 | $ 20 | ||
2.638% 4/1/37 (k) | 150 | 160 | ||
2.64% 10/1/35 (k) | 409 | 435 | ||
2.651% 6/1/37 (k) | 339 | 364 | ||
2.667% 10/1/36 (k) | 512 | 545 | ||
2.712% 5/1/37 (k) | 1,387 | 1,488 | ||
2.743% 5/1/37 (k) | 754 | 807 | ||
2.795% 7/1/36 (k) | 178 | 191 | ||
2.798% 7/1/35 (k) | 348 | 372 | ||
2.865% 9/1/35 (k) | 86 | 92 | ||
2.97% 4/1/37 (k) | 9 | 9 | ||
3.446% 10/1/35 (k) | 75 | 81 | ||
3.949% 6/1/37 (k) | 84 | 90 | ||
4% 3/1/42 to 5/1/42 | 23,817 | 25,693 | ||
4.5% 8/1/33 to 10/1/41 | 6,894 | 7,423 | ||
5.5% 11/1/18 to 7/1/35 | 21,289 | 23,159 | ||
5.919% 8/1/37 (k) | 173 | 180 | ||
6.5% 2/1/13 to 3/1/22 | 1,997 | 2,177 | ||
8.5% 3/1/20 | 3 | 3 | ||
TOTAL FREDDIE MAC | 65,489 | |||
Ginnie Mae - 1.5% | ||||
4% 9/15/25 | 880 | 951 | ||
4.5% 3/15/25 to 6/15/25 | 9,837 | 10,677 | ||
4.515% 3/20/62 (p) | 12,089 | 13,484 | ||
4.55% 5/20/62 (p) | 21,715 | 24,272 | ||
4.556% 12/20/61 (p) | 12,865 | 14,332 | ||
4.604% 3/20/62 (p) | 6,272 | 7,019 | ||
4.626% 3/20/62 (p) | 4,424 | 4,949 | ||
4.65% 3/20/62 (p) | 3,944 | 4,420 | ||
4.684% 1/20/62 (p) | 13,789 | 15,441 | ||
4.751% 12/20/60 (p) | 3,434 | 3,817 | ||
4.804% 3/20/61 (p) | 8,161 | 9,113 | ||
4.834% 3/20/61 (p) | 14,204 | 15,883 | ||
5.492% 4/20/60 (p) | 9,276 | 10,513 | ||
5.5% 2/20/60 (p) | 20,089 | 22,362 | ||
5.612% 4/20/58 (p) | 5,769 | 6,144 | ||
7% 9/15/25 to 8/15/31 | 38 | 43 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value | ||
Ginnie Mae - continued | ||||
7.5% 2/15/22 to 8/15/28 | $ 78 | $ 90 | ||
8% 9/15/26 to 12/15/26 | 10 | 11 | ||
TOTAL GINNIE MAE | 163,521 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $385,372) |
| |||
Asset-Backed Securities - 0.0% | ||||
| ||||
Clock Finance BV Series 2007-1: | ||||
Class B2, 0.9% 2/25/15 (k) | EUR | 700 | 870 | |
Class C2, 1.08% 2/25/15 (k) | EUR | 400 | 492 | |
Leek Finance PLC: | ||||
Series 17X Class A2A, 1.1953% 12/21/37 (k) | GBP | 157 | 241 | |
Series 18X Class BC, 1.457% 9/21/38 (k) | EUR | 600 | 671 | |
TOTAL ASSET-BACKED SECURITIES (Cost $2,504) |
| |||
Collateralized Mortgage Obligations - 3.9% | ||||
| ||||
U.S. Government Agency - 3.9% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2008-76 Class EF, 0.7453% 9/25/23 (k) | 1,520 | 1,526 | ||
Series 2010-15 Class FJ, 1.1753% 6/25/36 (k) | 12,726 | 12,935 | ||
Series 2010-86 Class FE, 0.6953% 8/25/25 (k) | 1,863 | 1,873 | ||
Series 2011-104 Class FK, 0.6153% 3/25/39 (k) | 8,566 | 8,564 | ||
Series 2011-63 Class FL, 0.6453% 7/25/41 (k) | 14,069 | 14,144 | ||
planned amortization: | ||||
Series 2005-19 Class PA, 5.5% 7/25/34 | 3,759 | 4,143 | ||
Series 2005-64 Class PX, 5.5% 6/25/35 | 3,696 | 4,129 | ||
planned amortization class: | ||||
Series 2002-9 Class PC, 6% 3/25/17 | 61 | 65 | ||
Series 2003-113 Class PE, 4% 11/25/18 | 1,515 | 1,615 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 890 | 997 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 1,104 | 1,135 | ||
Series 2005-52 Class PB, 6.5% 12/25/34 | 587 | 623 | ||
Series 2010-118 Class PB, 4.5% 10/25/40 | 3,310 | 3,685 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 210 | 226 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
sequential payer: | ||||
Series 2004-91 Class Z, 5% 12/25/34 | $ 4,774 | $ 5,385 | ||
Series 2004-95 Class AN, 5.5% 1/25/25 | 787 | 828 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 808 | 909 | ||
Series 2005-14 Class ZB, 5% 3/25/35 | 2,076 | 2,333 | ||
Series 2005-47 Class HK, 4.5% 6/25/20 | 3,680 | 3,992 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 2,480 | 2,857 | ||
Series 2007-113 Class DB, 4.5% 12/25/22 | 5,060 | 5,628 | ||
Series 2009-14 Class EB, 4.5% 3/25/24 | 3,710 | 4,032 | ||
Series 2010-97 Class CX, 4.5% 9/25/25 | 5,300 | 6,087 | ||
Series 2009-82 Class FD, 1.0953% 10/25/39 (k) | 5,640 | 5,740 | ||
Series 2009-85 Class IB, 4.5% 8/25/24 (m) | 1,121 | 93 | ||
Series 2009-93 Class IC, 4.5% 9/25/24 (m) | 1,918 | 151 | ||
Series 2010-109 Class IM, 5.5% 9/25/40 (m) | 8,961 | 1,328 | ||
Series 2010-139 Class NI, 4.5% 2/25/40 (m) | 4,899 | 796 | ||
Series 2010-39 Class FG, 1.1653% 3/25/36 (k) | 6,925 | 7,065 | ||
Series 2010-97 Class CI, 4.5% 8/25/25 (m) | 3,918 | 306 | ||
Series 2011-67 Class AI, 4% 7/25/26 (m) | 2,201 | 219 | ||
Federal National Mortgage Association planned amortization class Series 2011-126 Class KB, 4% 12/25/41 | 3,844 | 4,192 | ||
FHMLC Multi-class participation certificates guaranteed floater Series 3835 Class FC, 0.5918% 5/15/38 (k) | 14,118 | 14,131 | ||
Freddie Mac: | ||||
floater: | ||||
Series 240 Class F30, 0.5418% 7/15/36 (k) | 10,783 | 10,789 | ||
Series 2630 Class FL, 0.7418% 6/15/18 (k) | 56 | 56 | ||
Series 2711 Class FC, 1.1418% 2/15/33 (k) | 4,670 | 4,746 | ||
Series 3419 Class FD, 1.0118% 2/15/38 (k) | 5,639 | 5,731 | ||
planned amortization class: | ||||
Series 2101 Class PD, 6% 11/15/28 | 131 | 145 | ||
Series 2115 Class PE, 6% 1/15/14 | 19 | 19 | ||
Series 2376 Class JE, 5.5% 11/15/16 | 226 | 241 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 143 | 152 | ||
Series 2425 Class JH, 6% 3/15/17 | 288 | 310 | ||
Series 2672 Class MG, 5% 9/15/23 | 3,360 | 3,872 | ||
Series 2684 Class FP, 0.7418% 1/15/33 (k) | 7,238 | 7,265 | ||
Series 2695 Class DG, 4% 10/15/18 | 3,865 | 4,092 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 366 | 408 | ||
Series 3737 Class GB, 4.5% 4/15/39 | 6,770 | 7,618 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | $ 370 | $ 411 | ||
Series 2570 Class CU, 4.5% 7/15/17 | 9 | 9 | ||
Series 2627 Class BG, 3.25% 6/15/17 | 17 | 17 | ||
Series 2877 Class ZD, 5% 10/15/34 | 6,201 | 6,952 | ||
Series 2987 Class HE, 4.5% 6/15/20 | 4,420 | 4,702 | ||
Series 3277 Class B, 4% 2/15/22 | 2,800 | 3,057 | ||
Series 3372 Class BD, 4.5% 10/15/22 | 9,606 | 10,622 | ||
Series 3578, Class B, 4.5% 9/15/24 | 3,740 | 4,089 | ||
Series 2715 Class NG, 4.5% 12/15/18 | 2,155 | 2,326 | ||
Ginnie Mae Series 2012-64 Class KB 3.035% 5/20/41 (k) | 2,979 | 3,218 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2008-2 Class FD, 0.7198% 1/20/38 (k) | 603 | 606 | ||
Series 2007-59 Class FC, 0.7398% 7/20/37 (k) | 2,223 | 2,240 | ||
Series 2008-73 Class FA, 1.0998% 8/20/38 (k) | 3,422 | 3,482 | ||
Series 2008-83 Class FB, 1.1398% 9/20/38 (k) | 3,344 | 3,404 | ||
Series 2010-14 Class QF, 0.6928% 2/16/40 (k) | 12,952 | 13,075 | ||
Series 2010-H17 Class FA, 0.5688% 7/20/60 (k)(p) | 6,519 | 6,438 | ||
Series 2010-H18 Class AF, 0.5413% 9/20/60 (k)(p) | 6,938 | 6,851 | ||
Series 2010-H19 Class FG, 0.5413% 8/20/60 (k)(p) | 8,693 | 8,584 | ||
Series 2010-H27 Series FA, 0.6213% 12/20/60 (k)(p) | 2,595 | 2,573 | ||
Series 2011-H03 Class FA, 0.7413% 1/20/61 (k)(p) | 8,547 | 8,529 | ||
Series 2011-H05 Class FA, 0.7413% 12/20/60 (k)(p) | 4,825 | 4,816 | ||
Series 2011-H07 Class FA, 0.7413% 2/20/61 (k)(p) | 7,820 | 7,804 | ||
Series 2011-H12 Class FA, 0.7313% 2/20/61 (k)(p) | 10,416 | 10,390 | ||
Series 2011-H13 Class FA, 0.7413% 4/20/61 (k)(p) | 4,311 | 4,302 | ||
Series 2011-H14: | ||||
Class FB, 0.7413% 5/20/61 (k)(p) | 4,773 | 4,763 | ||
Class FC, 0.7413% 5/20/61 (k)(p) | 4,874 | 4,864 | ||
Series 2011-H17 Class FA, 0.7713% 6/20/61 (k)(p) | 6,392 | 6,389 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: | ||||
Series 2011-H21 Class FA, 0.8413% 10/20/61 (k)(p) | $ 7,139 | $ 7,160 | ||
Series 2012-H01 Class FA, 0.9413% 11/20/61 (k)(p) | 5,701 | 5,749 | ||
Series 2012-H03 Class FA, 0.9413% 1/20/62 (k)(p) | 3,493 | 3,523 | ||
Series 2012-H06 Class FA, 0.8713% 1/20/62 (k)(p) | 5,477 | 5,503 | ||
Series 2012-H07 Class FA, 0.8713% 3/20/62 (k)(p) | 3,232 | 3,248 | ||
planned amortization Series 2011-61 Class OP, 5/20/40 (n) | 4,845 | 4,426 | ||
planned amortization class: | ||||
Series 2010-112 Class PM 3.25% 9/20/33 | 1,719 | 1,775 | ||
Series 2010-99 Class PT, 3.5% 8/20/33 | 2,089 | 2,165 | ||
Series 2011-79 Class PO, 6/20/40 (n) | 8,365 | 7,631 | ||
sequential payer Series 2011-69 Class GX, 4.5% 5/16/40 | 4,910 | 5,527 | ||
Series 2010-42 Class OP, 4/20/40 (n) | 11,023 | 10,055 | ||
Series 2010-H13 Class JA, 5.46% 10/20/59 (p) | 9,683 | 10,646 | ||
Series 2010-H15 Class TP, 5.15% 8/20/60 (p) | 11,639 | 13,106 | ||
Series 2010-H17 Class XP, 5.302% 7/20/60 (p) | 16,912 | 19,080 | ||
Series 2010-H18 Class PL, 5.01% 9/20/60 (p) | 12,768 | 14,302 | ||
Series 2011-71: | ||||
Class ZB, 5.5% 8/20/34 | 10,124 | 12,216 | ||
Class ZC, 5.5% 7/16/34 | 11,542 | 13,744 | ||
Government National Mortgage Association: | ||||
floater sequential payer Series 2011-150 Class D, 3% 4/20/37 | 2,463 | 2,529 | ||
planned amortization class Series 2011-136 Class WI, 4.5% 5/20/40 (m) | 2,667 | 530 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $436,612) |
| |||
Commercial Mortgage Securities - 0.9% | ||||
| Principal | Value | ||
Canary Wharf Finance II PLC Series 3MUK Class C2, 1.5644% 10/22/37 (k) | GBP | 1,000 | $ 952 | |
Freddie Mac: | ||||
pass-thru certificates Series K708 Class A1, 1.67% 10/25/18 | 3,550 | 3,618 | ||
sequential payer: | ||||
Series K009 Class A2, 3.808% 8/25/20 | 3,310 | 3,674 | ||
Series K006 Class A2, 4.251% 1/25/20 | 14,020 | 15,920 | ||
Series K017 Class A2, 2.873% 12/25/21 | 15,590 | 16,275 | ||
Series K705 Class A1, 1.626% 7/25/18 | 9,546 | 9,717 | ||
Series K706: | ||||
Class A1, 1.691% 6/25/18 | 7,302 | 7,440 | ||
Class A2, 2.323% 10/25/18 | 13,350 | 13,804 | ||
Series K709 Class A1, 1.56% 10/25/18 | 5,660 | 5,752 | ||
Freddie Mac Multi-Class pass-thru certificates: | ||||
floater Series K707 Class A2, 2.22% 12/25/18 | 12,110 | 12,423 | ||
Series K501 Class A2, 1.655% 11/25/16 | 5,440 | 5,550 | ||
German Residential Asset Note Distributor PLC Series 1 Class A, 0.981% 7/20/16 (k) | EUR | 1,112 | 1,288 | |
REC Plantation Place Ltd. Series 5 Class A, 1.2431% 7/25/16 (Reg. S) (k) | GBP | 861 | 1,294 | |
Skyline BV Series 2007-1 Class D, 1.547% 7/22/43 (k) | EUR | 1,100 | 1,384 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $98,742) |
| |||
Foreign Government and Government Agency Obligations - 21.8% | ||||
| ||||
Arab Republic of Egypt 6.875% 4/30/40 (f) | 1,425 | 1,226 | ||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 12,297 | 8,054 | ||
0.785% 8/3/12 (k) | 8,833 | 8,706 | ||
2.5% 12/31/38 (e) | 13,225 | 4,265 | ||
7% 9/12/13 | 28,210 | 24,858 | ||
7% 10/3/15 | 30,200 | 22,846 | ||
Bahamian Republic 6.95% 11/20/29 (f) | 3,450 | 4,002 | ||
Banco Central del Uruguay: | ||||
value recovery A rights 1/2/21 (o) | 500,000 | 0 | ||
value recovery B rights 1/2/21 (o) | 750,000 | 0 | ||
Belarus Republic: | ||||
8.75% 8/3/15 (Reg. S) | 14,210 | 13,890 | ||
8.95% 1/26/18 | 6,220 | 5,730 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Brazilian Federative Republic: | ||||
7.125% 1/20/37 | $ 7,325 | $ 10,594 | ||
8.25% 1/20/34 | 5,230 | 8,263 | ||
8.75% 2/4/25 | 1,645 | 2,550 | ||
10.125% 5/15/27 | 7,345 | 12,468 | ||
12.25% 3/6/30 | 4,560 | 9,017 | ||
Canadian Government: | ||||
1% 2/1/14 | CAD | 44,750 | 43,939 | |
1.5% 12/1/12 | CAD | 20,550 | 20,232 | |
2% 6/1/16 | CAD | 90,500 | 91,544 | |
3.25% 6/1/21 | CAD | 39,350 | 43,804 | |
5% 6/1/37 | CAD | 32,550 | 47,772 | |
Central Bank of Nigeria warrants 11/15/20 (a)(o) | 2,750 | 495 | ||
City of Buenos Aires 12.5% 4/6/15 (f) | 13,855 | 12,054 | ||
Colombian Republic: | ||||
4.375% 7/12/21 | 1,615 | 1,821 | ||
6.125% 1/18/41 | 3,890 | 5,106 | ||
7.375% 9/18/37 | 6,100 | 9,059 | ||
10.375% 1/28/33 | 6,730 | 12,013 | ||
11.75% 2/25/20 | 2,910 | 4,671 | ||
Congo Republic 3% 6/30/29 (e) | 11,015 | 8,151 | ||
Croatia Republic: | ||||
6.25% 4/27/17 (f) | 11,075 | 11,020 | ||
6.375% 3/24/21 (f) | 5,415 | 5,246 | ||
6.625% 7/14/20 (f) | 4,855 | 4,794 | ||
6.75% 11/5/19 (f) | 5,885 | 5,944 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
6.25% 10/4/20 (f) | 7,435 | 7,602 | ||
6.25% 7/27/21 (f) | 3,640 | 3,713 | ||
7.4% 1/22/15 (f) | 5,470 | 5,867 | ||
Dominican Republic: | ||||
1.2754% 8/30/24 (k) | 5,813 | 5,232 | ||
7.5% 5/6/21 (f) | 6,865 | 7,328 | ||
9.04% 1/23/18 (f) | 3,071 | 3,447 | ||
El Salvador Republic: | ||||
7.375% 12/1/19 (f) | 1,865 | 2,061 | ||
7.625% 2/1/41 (f) | 2,045 | 2,150 | ||
7.65% 6/15/35 (Reg. S) | 2,435 | 2,557 | ||
8.25% 4/10/32 (Reg. S) | 1,435 | 1,600 | ||
European Economic Community 2.75% 4/4/22 (Reg. S) | EUR | 2,375 | 3,068 | |
European Union 3.375% 5/10/19 | EUR | 7,900 | 10,935 | |
Finnish Government 2.75% 7/4/28 | EUR | 5,950 | 7,704 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
French Government: | ||||
OAT: | ||||
3% 4/25/22 | EUR | 56,150 | $ 72,862 | |
4.5% 4/25/41 | EUR | 8,535 | 12,579 | |
2.5% 7/25/16 | EUR | 13,350 | 17,758 | |
4% 4/25/18 | EUR | 19,000 | 27,012 | |
4% 4/25/55 | EUR | 5,750 | 7,891 | |
Gabonese Republic 8.2% 12/12/17 (f) | 2,000 | 2,375 | ||
Georgia Republic 6.875% 4/12/21 (f) | 6,670 | 7,104 | ||
German Federal Republic: | ||||
0.75% 2/24/17 | EUR | 62,100 | 79,157 | |
1.75% 6/14/13 | EUR | 18,150 | 23,337 | |
2.5% 2/27/15 | EUR | 64,600 | 86,733 | |
3.25% 7/4/21 | EUR | 64,615 | 94,309 | |
3.25% 7/4/42 | EUR | 15,105 | 22,866 | |
Ghana Republic: | ||||
8.5% 10/4/17 (f) | 3,040 | 3,374 | ||
14.25% 7/29/13 | GHS | 3,400 | 1,629 | |
14.99% 3/11/13 | GHS | 9,468 | 4,669 | |
15.65% 6/3/13 | GHS | 1,965 | 962 | |
Government of Bermuda 4.138% 1/3/23 (f) | 1,990 | 2,020 | ||
Guatemalan Republic 5.75% 6/6/22 (f) | 2,860 | 2,960 | ||
Hungarian Republic: | ||||
4.75% 2/3/15 | 15,585 | 14,962 | ||
7.625% 3/29/41 | 8,835 | 8,658 | ||
Indonesian Republic: | ||||
4.875% 5/5/21 (f) | 7,605 | 8,270 | ||
5.25% 1/17/42 (f) | 6,585 | 6,873 | ||
5.875% 3/13/20 (f) | 7,290 | 8,365 | ||
6.625% 2/17/37 (f) | 5,025 | 6,206 | ||
6.875% 1/17/18 (f) | 4,330 | 5,120 | ||
7.75% 1/17/38 (f) | 7,700 | 10,607 | ||
8.5% 10/12/35 (Reg. S) | 7,615 | 11,118 | ||
11.625% 3/4/19 (f) | 8,270 | 12,136 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (f) | 12,935 | 11,189 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development): | ||||
5.5% 9/18/23 | 26,802 | 35,105 | ||
5.5% 12/4/23 | 12,355 | 16,260 | ||
Italian Republic: | ||||
4% 2/1/17 | EUR | 47,000 | 57,554 | |
4.25% 8/1/14 | EUR | 48,000 | 61,250 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Italian Republic: - continued | ||||
4.25% 3/1/20 | EUR | 35,500 | $ 41,587 | |
5% 3/1/22 | EUR | 52,000 | 62,783 | |
5% 9/1/40 | EUR | 24,675 | 26,219 | |
Japan Government: | ||||
0.2% 7/15/12 | JPY | 2,949,400 | 36,898 | |
1.1% 6/20/20 | JPY | 6,300,000 | 82,000 | |
1.8% 6/20/18 | JPY | 4,455,000 | 60,564 | |
1.9% 9/20/30 | JPY | 3,730,000 | 48,906 | |
2% 9/20/40 | JPY | 1,100,000 | 14,115 | |
Jordanian Kingdom 3.875% 11/12/15 | 2,235 | 2,168 | ||
Latvian Republic 5.25% 2/22/17 (f) | 5,530 | 5,730 | ||
Lebanese Republic: | ||||
4% 12/31/17 | 11,561 | 11,330 | ||
5.15% 11/12/18 | 1,425 | 1,407 | ||
Lithuanian Republic: | ||||
6.125% 3/9/21 (f) | 5,290 | 5,806 | ||
6.625% 2/1/22 (f) | 3,795 | 4,345 | ||
7.375% 2/11/20 (f) | 5,755 | 6,820 | ||
Peruvian Republic: | ||||
3% 3/7/27 (e) | 5,671 | 5,444 | ||
5.625% 11/18/50 | 4,140 | 5,040 | ||
7.35% 7/21/25 | 2,825 | 3,955 | ||
8.75% 11/21/33 | 7,650 | 12,565 | ||
Philippine Republic: | ||||
7.5% 9/25/24 | 1,095 | 1,454 | ||
7.75% 1/14/31 | 5,875 | 8,357 | ||
9.5% 2/2/30 | 7,205 | 11,681 | ||
9.875% 1/15/19 | 2,590 | 3,665 | ||
10.625% 3/16/25 | 5,865 | 9,707 | ||
Polish Government: | ||||
5% 3/23/22 | 2,690 | 2,939 | ||
6.375% 7/15/19 | 6,950 | 8,201 | ||
Provincia de Cordoba 12.375% 8/17/17 (f) | 8,570 | 5,056 | ||
Republic of Iceland 5.875% 5/11/22 (f) | 4,145 | 4,073 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 13,970 | 11,525 | ||
Republic of Namibia 5.5% 11/3/21 (f) | 3,650 | 3,790 | ||
Republic of Nigeria: | ||||
0% 3/7/13 | NGN | 207,000 | 1,134 | |
6.75% 1/28/21 (f) | 2,705 | 2,921 | ||
Republic of Senegal 8.75% 5/13/21 (f) | 1,445 | 1,590 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Republic of Serbia 6.75% 11/1/24 (f) | $ 28,054 | $ 26,862 | ||
Romanian Republic 6.75% 2/7/22 (f) | 7,082 | 7,401 | ||
Russian Federation: | ||||
3.25% 4/4/17 (f) | 4,200 | 4,221 | ||
4.5% 4/4/22 (f) | 4,000 | 4,195 | ||
5.625% 4/4/42 (f) | 6,400 | 6,840 | ||
7.5% 3/31/30 (Reg. S) | 49,190 | 58,968 | ||
11% 7/24/18 (Reg. S) | 2,690 | 3,766 | ||
12.75% 6/24/28 (Reg. S) | 14,030 | 25,254 | ||
Slovakia Republic 4.375% 5/21/22 (f) | 4,165 | 4,061 | ||
State of Qatar 5.75% 1/20/42 (f) | 3,530 | 4,174 | ||
State Oil Company of Azerbaijan Republic 5.45% 2/9/17 | 1,495 | 1,536 | ||
Turkish Republic: | ||||
0% 5/15/13 | TRY | 6,415 | 3,293 | |
5.125% 3/25/22 | 3,795 | 3,961 | ||
5.625% 3/30/21 | 4,440 | 4,851 | ||
6% 1/14/41 | 5,940 | 6,252 | ||
6.25% 9/26/22 | 4,590 | 5,193 | ||
6.75% 4/3/18 | 6,910 | 7,938 | ||
6.75% 5/30/40 | 5,740 | 6,687 | ||
6.875% 3/17/36 | 12,320 | 14,523 | ||
7% 9/26/16 | 7,190 | 8,132 | ||
7.25% 3/15/15 | 7,380 | 8,136 | ||
7.25% 3/5/38 | 8,050 | 9,912 | ||
7.375% 2/5/25 | 11,505 | 14,266 | ||
7.5% 7/14/17 | 7,820 | 9,149 | ||
7.5% 11/7/19 | 5,465 | 6,620 | ||
8% 2/14/34 | 2,075 | 2,742 | ||
11.875% 1/15/30 | 5,715 | 10,123 | ||
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (f) | 6,750 | 5,670 | ||
Ukraine Government: | ||||
6.25% 6/17/16 (f) | 4,495 | 4,029 | ||
6.75% 11/14/17 (f) | 2,525 | 2,241 | ||
7.65% 6/11/13 (f) | 11,420 | 11,220 | ||
7.75% 9/23/20 (f) | 3,430 | 3,096 | ||
7.95% 2/23/21 (f) | 3,575 | 3,271 | ||
United Arab Emirates 7.75% 10/5/20 (Reg. S) | 2,145 | 2,416 | ||
United Kingdom, Great Britain and Northern Ireland: | ||||
1.75% 1/22/17 | GBP | 44,400 | 72,633 | |
4.25% 12/7/40 | GBP | 39,575 | 76,316 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
United Kingdom, Great Britain and Northern Ireland: - continued | ||||
4.5% 3/7/13 | GBP | 14,250 | $ 22,954 | |
United Mexican States: | ||||
4.75% 3/8/44 | 2,766 | 2,973 | ||
5.125% 1/15/20 | 6,198 | 7,264 | ||
5.75% 10/12/2110 | 6,256 | 7,147 | ||
6.05% 1/11/40 | 12,210 | 15,690 | ||
6.75% 9/27/34 | 10,355 | 14,083 | ||
7.5% 4/8/33 | 2,770 | 4,037 | ||
8.3% 8/15/31 | 2,600 | 4,024 | ||
Uruguay Republic: | ||||
7.875% 1/15/33 pay-in-kind | 5,795 | 8,432 | ||
8% 11/18/22 | 4,763 | 6,703 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (o) | 97,601 | 2,855 | ||
6% 12/9/20 | 4,800 | 3,264 | ||
7% 3/31/38 | 4,180 | 2,717 | ||
7.75% 10/13/19 (Reg. S) | 7,025 | 5,409 | ||
8.5% 10/8/14 | 5,855 | 5,782 | ||
9% 5/7/23 (Reg. S) | 19,535 | 15,042 | ||
9.25% 9/15/27 | 12,155 | 9,906 | ||
9.25% 5/7/28 (Reg. S) | 6,930 | 5,249 | ||
9.375% 1/13/34 | 6,605 | 5,053 | ||
10.75% 9/19/13 | 7,553 | 7,742 | ||
11.75% 10/21/26 (Reg. S) | 10,915 | 9,632 | ||
11.95% 8/5/31 (Reg. S) | 17,470 | 15,461 | ||
12.75% 8/23/22 | 22,615 | 21,710 | ||
13.625% 8/15/18 | 4,940 | 5,014 | ||
Vietnamese Socialist Republic: | ||||
1.5567% 3/12/16 (k) | 4,495 | 4,000 | ||
4% 3/12/28 (e) | 15,100 | 12,231 | ||
6.875% 1/15/16 (f) | 6,695 | 7,113 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,343,673) |
|
Common Stocks - 0.4% | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.1% | |||
Auto Components - 0.0% | |||
Remy International, Inc. | 122,400 | $ 1,842 | |
Automobiles - 0.0% | |||
General Motors Co. (a) | 6,679 | 132 | |
General Motors Co.: | |||
warrants 7/10/16 (a) | 133,743 | 1,474 | |
warrants 7/10/19 (a) | 133,743 | 907 | |
Motors Liquidation Co. GUC Trust (a) | 36,934 | 452 | |
| 2,965 | ||
Hotels, Restaurants & Leisure - 0.1% | |||
Station Holdco LLC (a)(q)(s) | 4,989,172 | 6,161 | |
Station Holdco LLC warrants 6/15/18 (a)(q)(s) | 198,954 | 10 | |
| 6,171 | ||
Media - 0.0% | |||
Haights Cross Communications, Inc. (a) | 8,267 | 61 | |
Haights Cross Communications, Inc. warrants 3/11/13 (a) | 11,481 | 4 | |
HMH Holdings, Inc. warrants 6/22/19 (a)(s) | 32,078 | 62 | |
HMH Holdings, Inc. warrants 3/9/17 (a)(s) | 636,272 | 0 | |
RDA Holding Co. warrants 2/19/14 (a)(s) | 9,559 | 0 | |
| 127 | ||
TOTAL CONSUMER DISCRETIONARY | 11,105 | ||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Reddy Ice Holdings, Inc. | 142,776 | 0 | |
INDUSTRIALS - 0.2% | |||
Aerospace & Defense - 0.0% | |||
Alion Science & Technology Corp. warrants 3/15/17 (a) | 1,430 | 7 | |
Airlines - 0.0% | |||
Delta Air Lines, Inc. (a) | 20,500 | 224 | |
Building Products - 0.1% | |||
Nortek, Inc. (a) | 266,722 | 13,347 | |
Nortek, Inc. warrants 12/7/14 (a) | 7,154 | 36 | |
| 13,383 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
INDUSTRIALS - continued | |||
Marine - 0.0% | |||
US Shipping Partners Corp. (a) | 12,063 | $ 0 | |
US Shipping Partners Corp. warrants 12/31/29 (a) | 112,939 | 0 | |
|
| 0 | |
Trading Companies & Distributors - 0.0% | |||
Penhall Acquisition Co.: | |||
Class A (a) | 6,088 | 487 | |
Class B (a) | 2,029 | 162 | |
| 649 | ||
Transportation Infrastructure - 0.1% | |||
DeepOcean Group Holding A/S (a)(f) | 406,682 | 5,441 | |
TOTAL INDUSTRIALS | 19,704 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
MagnaChip Semiconductor Corp. (a) | 49,030 | 467 | |
Spansion, Inc. Class A (a) | 7,866 | 86 | |
| 553 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Chemtura Corp. (a) | 112,703 | 1,634 | |
LyondellBasell Industries NV Class A | 186,249 | 7,500 | |
Tronox Ltd. Class A | 16,192 | 1,955 | |
| 11,089 | ||
Containers & Packaging - 0.0% | |||
Rock-Tenn Co. Class A | 4,139 | 226 | |
Metals & Mining - 0.0% | |||
Aleris International, Inc. (a)(s) | 38,307 | 1,796 | |
TOTAL MATERIALS | 13,111 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | 194 | |
TOTAL COMMON STOCKS (Cost $62,057) |
| ||
Preferred Stocks - 0.4% | |||
Shares | Value (000s) | ||
Convertible Preferred Stocks - 0.1% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Automobiles - 0.1% | |||
General Motors Co. 4.75% | 208,600 | $ 6,926 | |
Media - 0.0% | |||
Interpublic Group of Companies, Inc. 5.25% | 4,000 | 4,152 | |
TOTAL CONSUMER DISCRETIONARY | 11,078 | ||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Reddy Ice Holdings, Inc. 7.00% pay-in-kind | 57,438 | 410 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | 11,488 | ||
Nonconvertible Preferred Stocks - 0.3% | |||
FINANCIALS - 0.3% | |||
Consumer Finance - 0.3% | |||
Ally Financial, Inc. 7.00% (f) | 32,379 | 28,655 | |
TOTAL PREFERRED STOCKS (Cost $35,133) |
|
Floating Rate Loans - 4.2% | ||||
| Principal |
| ||
CONSUMER DISCRETIONARY - 0.5% | ||||
Diversified Consumer Services - 0.1% | ||||
ServiceMaster Co.: | ||||
term loan 2.7902% 7/24/14 (k) | $ 6,144 | 6,068 | ||
Tranche DD, term loan 2.75% 7/24/14 (k) | 633 | 625 | ||
| 6,693 | |||
Hotels, Restaurants & Leisure - 0.0% | ||||
Harrah's Entertainment, Inc. Tranche B-6, term loan 5.4952% 1/28/18 (k) | 3,600 | 3,186 | ||
Mesquite Gaming LLC term loan 8.5% 8/1/15 (k) | 288 | 244 | ||
Stockbridge SBE Holdings LLC Tranche B, term loan 13% 5/2/17 (k) | 900 | 887 | ||
Wok Acquisition Corp. Tranche B, term loan 6/22/19 (k) | 1,185 | 1,188 | ||
| 5,505 | |||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Leisure Equipment & Products - 0.0% | ||||
SRAM LLC. 2nd LN, term loan 8.5% 12/7/18 (k) | $ 1,445 | $ 1,452 | ||
Media - 0.1% | ||||
Bragg Communications, Inc. Tranche B, term loan 4% 2/28/18 (k) | 3,830 | 3,811 | ||
Kabel Deutschland GmbH Tranche F, term loan 4.25% 2/1/19 (k) | 1,400 | 1,388 | ||
Livent, Inc. Tranche A, term loan 18% 1/15/49 pay-in-kind (a) | CAD | 9 | 9 | |
PRIMEDIA, Inc. Tranche B, term loan 7.5% 1/13/18 (k) | 6,977 | 6,175 | ||
| 11,383 | |||
Specialty Retail - 0.3% | ||||
Burlington Coat Factory Warehouse Corp. Tranche B 1LN, term loan 5.5% 2/23/17 (k) | 19,675 | 19,577 | ||
Michaels Stores, Inc. Tranche B1, term loan 2.75% 10/31/13 (k) | 11,459 | 11,430 | ||
| 31,007 | |||
TOTAL CONSUMER DISCRETIONARY | 56,040 | |||
CONSUMER STAPLES - 0.2% | ||||
Food & Staples Retailing - 0.1% | ||||
Focus Brands, Inc.: | ||||
Tranche 2LN, term loan 10.25% 8/21/18 (k) | 2,365 | 2,371 | ||
Tranche B 1LN, term loan 6.2657% 2/21/18 (k) | 416 | 415 | ||
Roundy's, Inc. Tranche B, term loan 5.75% 2/13/19 (k) | 1,771 | 1,753 | ||
U.S. Foodservice term loan 5.75% 3/31/17 (k) | 8,088 | 7,724 | ||
| 12,263 | |||
Personal Products - 0.0% | ||||
Prestige Brands, Inc. Tranche B, term loan 5.25% 1/31/19 (k) | 2,391 | 2,400 | ||
Revlon Consumer Products Corp. term loan 4.7525% 11/19/17 (k) | 4,653 | 4,624 | ||
| 7,024 | |||
Tobacco - 0.1% | ||||
Reynolds Consumer Products Holdings, Inc. Tranche E, term loan 6.5% 2/9/18 (k) | 8,176 | 8,216 | ||
TOTAL CONSUMER STAPLES | 27,503 | |||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
ENERGY - 0.2% | ||||
Oil, Gas & Consumable Fuels - 0.2% | ||||
Arch Coal, Inc. Tranche B, term loan 5.75% 5/16/18 (k) | $ 3,250 | $ 3,185 | ||
Chesapeake Energy Corp. term loan 8.5% 12/2/17 (k) | 4,860 | 4,805 | ||
Crestwood Holdings Partners LLC Tranche B, term loan 9.75% 3/26/18 (k) | 6,060 | 6,090 | ||
Energy Transfer Equity LP Tranche B, term loan 3.75% 3/23/17 (k) | 11,050 | 10,829 | ||
| 24,909 | |||
FINANCIALS - 0.6% | ||||
Diversified Financial Services - 0.2% | ||||
Flying Fortress, Inc. Tranche 3, term loan 5% 6/30/17 (k) | 16,795 | 16,859 | ||
Goodman Global Group, Inc. Tranche 1 LN, term loan 5.75% 10/28/16 (k) | 3,816 | 3,816 | ||
| 20,675 | |||
Insurance - 0.3% | ||||
Asurion Corp.: | ||||
Tranche 1st LN, term loan 5.5% 5/24/18 (k) | 13,649 | 13,599 | ||
Tranche 2nd LN, term loan 9% 5/24/19 (k) | 8,175 | 8,339 | ||
Lonestar Intermediate Super Holdings LLC term loan 11% 9/2/19 (k) | 9,815 | 10,257 | ||
| 32,195 | |||
Real Estate Management & Development - 0.1% | ||||
Realogy Corp.: | ||||
Credit-Linked Deposit 3.2413% 10/10/13 (k) | 359 | 335 | ||
Credit-Linked Deposit 4.4913% 10/10/16 (k) | 683 | 645 | ||
term loan 4.4908% 10/10/16 (k) | 9,812 | 9,272 | ||
| 10,252 | |||
TOTAL FINANCIALS | 63,122 | |||
HEALTH CARE - 0.4% | ||||
Health Care Providers & Services - 0.3% | ||||
DaVita, Inc. Tranche A, term loan 2.75% 10/20/15 (k) | 7,000 | 6,948 | ||
Emergency Medical Services Corp. Tranche B, term loan 5.25% 5/25/18 (k) | 12,482 | 12,373 | ||
IASIS Healthcare LLC Tranche B, term loan 5% 5/3/18 (k) | 8,148 | 8,005 | ||
Sunquest Information Systems, Inc. Tranche 1 LN, term loan 6.25% 12/16/16 (k) | 2,505 | 2,505 | ||
| 29,831 | |||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
HEALTH CARE - continued | ||||
Life Sciences Tools & Services - 0.1% | ||||
Pharmaceutical Product Development, Inc. Tranche B, term loan 6.25% 12/5/18 (k) | $ 12,771 | $ 12,851 | ||
TOTAL HEALTH CARE | 42,682 | |||
INDUSTRIALS - 0.6% | ||||
Aerospace & Defense - 0.0% | ||||
TransDigm, Inc. Tranche B, term loan 4% 2/14/17 (k) | 1,719 | 1,719 | ||
Airlines - 0.3% | ||||
Northwest Airlines Corp. Tranche A, term loan 2.22% 12/31/18 (k) | 8,780 | 8,297 | ||
United Air Lines, Inc. Tranche B, term loan 2.25% 2/1/14 (k) | 12,076 | 11,714 | ||
US Airways Group, Inc. term loan 2.7453% 3/23/14 (k) | 10,208 | 9,698 | ||
| 29,709 | |||
Building Products - 0.0% | ||||
HD Supply, Inc. Tranche B 1LN, term loan 7.25% 10/12/17 (k) | 2,065 | 2,080 | ||
Commercial Services & Supplies - 0.1% | ||||
Delos Aircraft, Inc. Tranche T 2LN, term loan 4.75% 4/12/16 (k) | 1,095 | 1,099 | ||
KAR Auction Services, Inc. Tranche B, term loan 5% 5/19/17 (k) | 4,658 | 4,670 | ||
| 5,769 | |||
Construction & Engineering - 0.1% | ||||
Drumm Investors LLC Tranche B, term loan 5% 5/4/18 (k) | 15,218 | 14,343 | ||
Electrical Equipment - 0.0% | ||||
Sensata Technologies BV Tranche B, term loan 4% 5/12/18 (k) | 1,064 | 1,058 | ||
Industrial Conglomerates - 0.1% | ||||
Tomkins PLC Tranche B, term loan 4.25% 9/21/16 (k) | 8,873 | 8,851 | ||
Road & Rail - 0.0% | ||||
Swift Transportation Co. LLC Tranche B-2, term loan 5% 12/21/17 (k) | 4,945 | 4,963 | ||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
INDUSTRIALS - continued | ||||
Transportation Infrastructure - 0.0% | ||||
Trico Shipping A/S: | ||||
Tranche A, term loan 10% 5/13/14 (k) | $ 638 | $ 636 | ||
Tranche D, term loan 5/13/14 (r) | 1,123 | 1,119 | ||
| 1,755 | |||
TOTAL INDUSTRIALS | 70,247 | |||
INFORMATION TECHNOLOGY - 0.6% | ||||
Communications Equipment - 0.1% | ||||
Cequel Communications LLC Tranche B, term loan 4% 2/14/19 (k) | 12,648 | 12,395 | ||
Electronic Equipment & Components - 0.1% | ||||
Aeroflex, Inc. Tranche B, term loan 5.75% 5/9/18 (k) | 2,574 | 2,491 | ||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.4953% 10/1/14 (k) | 963 | 949 | ||
Tranche B A2, term loan 2.4953% 10/1/14 (k) | 2,070 | 2,039 | ||
Tranche B A3, term loan 2.4888% 10/1/14 (k) | 2,414 | 2,378 | ||
Tranche B-A, term loan 2.4891% 10/1/14 (k) | 3,353 | 3,302 | ||
| 11,159 | |||
Semiconductors & Semiconductor Equipment - 0.2% | ||||
NXP BV: | ||||
term loan 4.5% 3/4/17 (k) | 5,861 | 5,788 | ||
Tranche A 2LN, term loan 5.5% 3/4/17 (k) | 7,057 | 7,074 | ||
Tranche A6, term loan 5.25% 3/19/19 (k) | 15,127 | 15,127 | ||
| 27,989 | |||
Software - 0.2% | ||||
Kronos, Inc.: | ||||
Tranche B 1LN, term loan 5.2106% 6/11/17 (k) | 8,534 | 8,534 | ||
Tranche B 2LN, term loan 10.4606% 6/11/18 (k) | 1,790 | 1,790 | ||
Lawson Software, Inc. Tranche B, term loan 6.25% 4/5/18 (k) | 10,205 | 10,256 | ||
| 20,580 | |||
TOTAL INFORMATION TECHNOLOGY | 72,123 | |||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
MATERIALS - 0.2% | ||||
Chemicals - 0.1% | ||||
INEOS U.S. Finance LLC term loan 6.5% 4/27/18 (k) | $ 7,481 | $ 7,332 | ||
PL Propylene LLC Tranche B, term loan 7% 3/27/17 (k) | 913 | 920 | ||
| 8,252 | |||
Construction Materials - 0.1% | ||||
Fairmount Minerals Ltd. Tranche B, term loan 5.25% 3/15/17 (k) | 7,882 | 7,823 | ||
Summit Materials LLC Tranche B, term loan 6% 1/30/19 (k) | 1,581 | 1,581 | ||
| 9,404 | |||
Metals & Mining - 0.0% | ||||
Walter Energy, Inc. Tranche B, term loan 4% 4/1/18 (k) | 1,392 | 1,365 | ||
TOTAL MATERIALS | 19,021 | |||
TELECOMMUNICATION SERVICES - 0.2% | ||||
Wireless Telecommunication Services - 0.2% | ||||
Crown Castle Operating Co. Tranche B, term loan 4% 1/31/19 (k) | 4,950 | 4,870 | ||
Intelsat Jackson Holdings SA: | ||||
term loan 3.2408% 2/1/14 (k) | 7,335 | 7,115 | ||
Tranche B, term loan 5.25% 4/2/18 (k) | 11,077 | 11,077 | ||
| 23,062 | |||
UTILITIES - 0.7% | ||||
Electric Utilities - 0.5% | ||||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan 4.7408% 10/10/17 (k) | 81,866 | 48,813 | ||
Gas Utilities - 0.0% | ||||
Everest Acquisition LLC Tranche B, term loan 6.5% 4/24/18 (k) | 2,650 | 2,677 | ||
Independent Power Producers & Energy Traders - 0.2% | ||||
Calpine Corp. Tranche B, term loan 4.5% 4/1/18 (k) | 7,834 | 7,785 | ||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
LSP Madison Funding LLC Tranche 1LN, term loan 6/28/19 (k) | $ 5,830 | $ 5,743 | ||
The AES Corp. Tranche B, term loan 4.25% 5/27/18 (k) | 8,987 | 8,987 | ||
| 22,515 | |||
TOTAL UTILITIES | 74,005 | |||
TOTAL FLOATING RATE LOANS (Cost $481,106) |
| |||
Sovereign Loan Participations - 0.1% | ||||
| ||||
Indonesian Republic loan participation: | ||||
Citibank 1.25% 12/14/19 (k) | 5,622 | 5,256 | ||
Goldman Sachs 1.25% 12/14/19 (k) | 5,152 | 4,817 | ||
1.25% 12/14/19 (k) | 381 | 356 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $9,641) |
|
Fixed-Income Funds - 0.7% | |||
Shares |
| ||
Fidelity Floating Rate Central Fund (l) | 806,740 |
| |
Preferred Securities - 0.2% | |||
Principal |
| ||
CONSUMER DISCRETIONARY - 0.0% | |||
Media - 0.0% | |||
Globo Comunicacoes e Participacoes SA 6.25% (e)(f)(g) | $ 5,310 | 5,708 | |
FINANCIALS - 0.1% | |||
Commercial Banks - 0.0% | |||
Wells Fargo & Co. 7.98% (g)(k) | 2,035 | 2,286 | |
Preferred Securities - continued | |||
Principal | Value (000s) | ||
FINANCIALS - continued | |||
Diversified Financial Services - 0.1% | |||
Bank of America Corp.: | |||
8% (g)(k) | $ 6,320 | $ 6,817 | |
8.125% (g)(k) | 4,295 | 4,544 | |
| 11,361 | ||
TOTAL FINANCIALS | 13,647 | ||
MATERIALS - 0.1% | |||
Metals & Mining - 0.1% | |||
CSN Islands XII Corp. 7% (Reg. S) (g) | 7,940 | 7,893 | |
TOTAL PREFERRED SECURITIES (Cost $23,813) |
| ||
Other - 0.0% | |||
Shares |
| ||
Other - 0.0% | |||
Idearc, Inc. Claim (a) | 1,675,371 |
| |
Money Market Funds - 6.3% | |||
|
|
|
|
Fidelity Cash Central Fund, 0.17% (b) | 716,588,022 |
| |
Cash Equivalents - 0.1% | |||
Maturity Amount (000s) | Value (000s) | ||
Investments in repurchase agreements in a joint trading account at 0.15%, dated 6/29/12 due 7/2/12 (Collateralized by U.S. Treasury Obligations) # | $ 5,130 | $ 5,130 | |
TOTAL INVESTMENT PORTFOLIO - 100.8% (Cost $10,961,800) | 11,396,108 | ||
NET OTHER ASSETS (LIABILITIES) - (0.8)% | (87,143) | ||
NET ASSETS - 100% | $ 11,308,965 | ||
TBA Sale Commitments | |||
| Principal Amount (000s) |
| |
Fannie Mae | |||
3.5% 7/1/42 | $ (3,800) | (3,995) | |
4% 7/1/42 | (18,100) | (19,266) | |
4% 7/1/42 | (18,100) | (19,266) | |
4% 7/1/42 | (79,000) | (84,088) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $126,209) | $ (126,615) |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Purchased | |||||
Treasury Contracts | |||||
488 CBOT 10-Year U.S. Treasury Note | Sept. 2012 | $ 65,087 | $ 469 | ||
621 CBOT 2-Year U.S. Treasury Note | Sept. 2012 | 136,736 | (21) | ||
83 CBOT Long Term U.S. Treasury Bond Contracts | Sept. 2012 | 12,281 | 102 | ||
TOTAL TREASURY CONTRACTS | $ 214,104 | $ 550 |
|
The face value of futures purchased as a percentage of net assets is 1.9% |
Swap Agreements | |||||
|
| 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 2.4375% with JPMorgan Chase, Inc. | June 2042 | $ 2,400 | $ 38 |
Currency Abbreviations | ||
BRL | - | Brazilian real |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
GHS | - | Ghana Cedi |
JPY | - | Japanese yen |
NGN | - | Nigerian naira |
TRY | - | Turkish Lira |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) Non-income producing - Security is in default. |
(d) Principal amount is stated in United States dollars unless otherwise noted. |
(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 $1,966,145,000 or 17.4% of net assets. |
(g) Security is perpetual in nature with no stated maturity date. |
(h) 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 $20,592,000 or 0.2% of net assets. |
(i) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(j) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $1,031,000. |
(k) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(l) 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. |
(m) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(n) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(o) Quantity represents share amount. |
(p) 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. |
(q) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes which is owned by the Fund. |
(r) Position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $1,123,000 and $1,119,000, respectively. The coupon rate will be determined at time of settlement. |
(s) 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 $8,029,000 or 0.1% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Aleris International, Inc. | 6/1/10 | $ 1,341 |
HMH Holdings, Inc. warrants 3/9/17 | 3/9/10 | $ 185 |
HMH Holdings, Inc. warrants 6/22/19 | 6/22/12 | $ 62 |
RDA Holding Co. warrants 2/19/14 | 2/27/07 | $ 3,000 |
Station Holdco LLC | 6/17/11 - 3/15/12 | $ 5,096 |
Station Holdco LLC warrants 6/15/18 | 4/29/08 - 11/25/08 | $ 15,268 |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$5,130,000 due 7/02/12 at 0.15% | |
Barclays Capital, Inc. | $ 1,437 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 992 |
RBS Securities, Inc. | 2,701 |
| $ 5,130 |
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 | $ 395 |
Fidelity Floating Rate Central Fund | 3,175 |
Total | $ 3,570 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, | % ownership, end of |
Fidelity Floating Rate Central Fund | $ 123,932 | $ - | $ 45,778 | $ 81,876 | 5.7% |
Other Information |
The following is a summary of the inputs used, as of June 30, 2012, involving the Fund's assets and liabilities carried at fair 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 table 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 | $ 22,183 | $ 11,733 | $ 4,152 | $ 6,298 |
Consumer Staples | 410 | - | - | 410 |
Financials | 28,655 | - | 28,655 | - |
Industrials | 19,704 | 13,571 | - | 6,133 |
Information Technology | 553 | 553 | - | - |
Materials | 13,111 | 11,315 | 1,796 | - |
Utilities | 194 | 194 | - | - |
Corporate Bonds | 4,058,721 | - | 4,058,150 | 571 |
U.S. Government and Government Agency Obligations | 2,536,335 | - | 2,536,335 | - |
U.S. Government Agency - Mortgage Securities | 390,410 | - | 390,410 | - |
Asset-Backed Securities | 2,274 | - | 2,274 | - |
Collateralized Mortgage Obligations | 444,604 | - | 444,604 | - |
Commercial Mortgage Securities | 99,091 | - | 99,091 | - |
Foreign Government and Government Agency Obligations | 2,465,878 | - | 2,465,878 | - |
Floating Rate Loans | 472,714 | - | 472,705 | 9 |
Sovereign Loan Participations | 10,429 | - | - | 10,429 |
Fixed-Income Funds | 81,876 | 81,876 | - | - |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Preferred Securities | $ 27,248 | $ - | $ 27,248 | $ - |
Other | - | - | - | - |
Money Market Funds | 716,588 | 716,588 | - | - |
Cash Equivalents | 5,130 | - | 5,130 | - |
Total Investments in Securities: | $ 11,396,108 | $ 835,830 | $ 10,536,428 | $ 23,850 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 571 | $ 571 | $ - | $ - |
Swap Agreements | 38 | - | 38 | - |
Total Assets | $ 609 | $ 571 | $ 38 | $ - |
Liabilities | ||||
Futures Contracts | $ (21) | $ (21) | $ - | $ - |
Total Derivative Instruments: | $ 588 | $ 550 | $ 38 | $ - |
Other Financial Instruments: | ||||
TBA Sale Commitments | $ (126,615) | $ - | $ (126,615) | $ - |
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, 2012. 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 | ||
Futures Contracts (a) | $ 571 | $ (21) |
Swap Agreements (b) | 38 | - |
Total Interest Rate Risk | $ 609 | $ (21) |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
(b) Value is disclosed on the Statement of Assets and Liabilities in the Swap agreements, at value line-items. |
Other Information |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows. (Unaudited) |
United States of America | 66.9% |
Germany | 2.8% |
Canada | 2.7% |
United Kingdom | 2.5% |
Italy | 2.2% |
Venezuela | 2.2% |
Japan | 2.0% |
Netherlands | 1.3% |
Bermuda | 1.3% |
Turkey | 1.3% |
France | 1.2% |
Luxembourg | 1.1% |
Australia | 1.1% |
Mexico | 1.0% |
Argentina | 1.0% |
Others (Individually Less Than 1%) | 9.4% |
| 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. |
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, 2012 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $5,130) - See accompanying schedule: Unaffiliated issuers (cost $10,190,305) | $ 10,597,644 |
|
Fidelity Central Funds (cost $771,495) | 798,464 |
|
Total Investments (cost $10,961,800) |
| $ 11,396,108 |
Cash |
| 10 |
Receivable for investments sold, regular delivery | 187,993 | |
Receivable for TBA sale commitments |
| 126,209 |
Receivable for fund shares sold | 20,142 | |
Dividends receivable | 54 | |
Interest receivable | 131,885 | |
Distributions receivable from Fidelity Central Funds | 538 | |
Swap agreements, at value | 38 | |
Total assets | 11,862,977 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 257,700 | |
Delayed delivery | 136,494 | |
TBA sale commitments, at value | 126,615 | |
Payable for fund shares redeemed | 15,420 | |
Distributions payable | 7,168 | |
Accrued management fee | 5,256 | |
Distribution and service plan fees payable | 3,211 | |
Payable for daily variation margin on futures contracts | 442 | |
Other affiliated payables | 1,469 | |
Other payables and accrued expenses | 237 | |
Total liabilities | 554,012 | |
|
|
|
Net Assets | $ 11,308,965 | |
Net Assets consist of: |
| |
Paid in capital | $ 10,808,331 | |
Undistributed net investment income | 91,294 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (22,774) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 432,114 | |
Net Assets | $ 11,308,965 |
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, 2012 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 12.37 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.37) | $ 12.89 | |
Class T: | $ 12.37 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.37) | $ 12.89 | |
Class B: | $ 12.41 | |
|
|
|
Class C: | $ 12.34 | |
|
|
|
Institutional Class: | $ 12.52 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands Six months ended June 30, 2012 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 1,550 |
Interest |
| 265,766 |
Income from Fidelity Central Funds |
| 3,570 |
Total income |
| 270,886 |
|
|
|
Expenses | ||
Management fee | $ 30,499 | |
Transfer agent fees | 7,859 | |
Distribution and service plan fees | 18,930 | |
Accounting and security lending fees | 803 | |
Custodian fees and expenses | 182 | |
Independent trustees' compensation | 18 | |
Registration fees | 362 | |
Audit | 59 | |
Legal | 23 | |
Miscellaneous | 57 | |
Total expenses before reductions | 58,792 | |
Expense reductions | (1) | 58,791 |
Net investment income (loss) | 212,095 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 19,291 | |
Fidelity Central Funds | 14,774 |
|
Foreign currency transactions | (290) | |
Futures contracts | 1,736 | |
Swap agreements | 37 |
|
Total net realized gain (loss) |
| 35,548 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 210,608 | |
Assets and liabilities in foreign currencies | (6) | |
Futures contracts | 404 | |
Swap agreements | 38 | |
Delayed delivery commitments | (404) |
|
Total change in net unrealized appreciation (depreciation) |
| 210,640 |
Net gain (loss) | 246,188 | |
Net increase (decrease) in net assets resulting from operations | $ 458,283 |
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 June 30, 2012 | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 212,095 | $ 400,169 |
Net realized gain (loss) | 35,548 | 197,810 |
Change in net unrealized appreciation (depreciation) | 210,640 | (203,634) |
Net increase (decrease) in net assets resulting | 458,283 | 394,345 |
Distributions to shareholders from net investment income | (192,868) | (430,975) |
Distributions to shareholders from net realized gain | (10,254) | (225,437) |
Total distributions | (203,122) | (656,412) |
Share transactions - net increase (decrease) | 957,289 | 1,221,796 |
Total increase (decrease) in net assets | 1,212,450 | 959,729 |
|
|
|
Net Assets | ||
Beginning of period | 10,096,515 | 9,136,786 |
End of period (including undistributed net investment income of $91,294 and undistributed net investment income of $72,067, respectively) | $ 11,308,965 | $ 10,096,515 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended June 30, 2012 | Years ended December 31, | ||||
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.07 | $ 12.38 | $ 12.13 | $ 9.77 | $ 11.62 | $ 11.76 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .249 | .536 | .622 | .681 | .600 | .616 |
Net realized and unrealized gain (loss) | .290 | .009 H | .500 | 2.345 | (1.826) | (.019) |
Total from investment operations | .539 | .545 | 1.122 | 3.026 | (1.226) | .597 |
Distributions from net investment income | (.227) | (.572) | (.582) | (.566) | (.554) | (.607) |
Distributions from net realized gain | (.012) | (.283) | (.290) | (.100) | (.070) | (.130) |
Total distributions | (.239) | (.855) | (.872) | (.666) | (.624) | (.737) |
Net asset value, end of period | $ 12.37 | $ 12.07 | $ 12.38 | $ 12.13 | $ 9.77 | $ 11.62 |
Total Return B,C,D | 4.49% | 4.47% | 9.48% | 31.74% | (10.98)% | 5.22% |
Ratios to Average Net Assets F,I |
|
|
|
|
| |
Expenses before reductions | .99% A | .99% | .99% | 1.01% | 1.02% | 1.01% |
Expenses net of fee waivers, if any | .99% A | .99% | .99% | 1.01% | 1.02% | 1.01% |
Expenses net of all reductions | .99% A | .99% | .99% | 1.01% | 1.02% | 1.01% |
Net investment income (loss) | 4.06% A | 4.29% | 5.00% | 6.14% | 5.49% | 5.27% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 5,183 | $ 4,746 | $ 4,169 | $ 3,725 | $ 2,174 | $ 1,931 |
Portfolio turnover rate G | 139% A | 221% | 207% | 202% | 255% | 149% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable 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 any 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 The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or 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 June 30, 2012 | Years ended December 31, | ||||
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.07 | $ 12.38 | $ 12.12 | $ 9.77 | $ 11.62 | $ 11.76 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .249 | .536 | .621 | .675 | .607 | .620 |
Net realized and unrealized gain (loss) | .290 | .009 H | .511 | 2.341 | (1.832) | (.021) |
Total from investment operations | .539 | .545 | 1.132 | 3.016 | (1.225) | .599 |
Distributions from net investment income | (.227) | (.572) | (.582) | (.566) | (.555) | (.609) |
Distributions from net realized gain | (.012) | (.283) | (.290) | (.100) | (.070) | (.130) |
Total distributions | (.239) | (.855) | (.872) | (.666) | (.625) | (.739) |
Net asset value, end of period | $ 12.37 | $ 12.07 | $ 12.38 | $ 12.12 | $ 9.77 | $ 11.62 |
Total Return B,C,D | 4.49% | 4.48% | 9.57% | 31.64% | (10.97)% | 5.24% |
Ratios to Average Net Assets F,I |
|
|
|
|
| |
Expenses before reductions | .99%A | .98% | .99% | 1.01% | 1.01% | .99% |
Expenses net of fee waivers, if any | .99% A | .98% | .99% | 1.01% | 1.01% | .99% |
Expenses net of all reductions | .99% A | .98% | .99% | 1.01% | 1.01% | .99% |
Net investment income (loss) | 4.06% A | 4.29% | 5.00% | 6.14% | 5.50% | 5.29% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,485 | $ 1,471 | $ 1,571 | $ 1,579 | $ 1,337 | $ 1,983 |
Portfolio turnover rate G | 139% A | 221% | 207% | 202% | 255% | 149% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable 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 any 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 The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or 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 June 30, 2012 | Years ended December 31, | ||||
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.11 | $ 12.42 | $ 12.16 | $ 9.80 | $ 11.65 | $ 11.79 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .206 | .449 | .535 | .600 | .525 | .533 |
Net realized and unrealized gain (loss) | .290 | .007 H | .509 | 2.348 | (1.831) | (.022) |
Total from investment operations | .496 | .456 | 1.044 | 2.948 | (1.306) | .511 |
Distributions from net investment income | (.184) | (.483) | (.494) | (.488) | (.474) | (.521) |
Distributions from net realized gain | (.012) | (.283) | (.290) | (.100) | (.070) | (.130) |
Total distributions | (.196) | (.766) | (.784) | (.588) | (.544) | (.651) |
Net asset value, end of period | $ 12.41 | $ 12.11 | $ 12.42 | $ 12.16 | $ 9.80 | $ 11.65 |
Total Return B,C,D | 4.11% | 3.72% | 8.77% | 30.72% | (11.60)% | 4.44% |
Ratios to Average Net Assets F,I |
|
|
|
|
| |
Expenses before reductions | 1.70% A | 1.69% | 1.70% | 1.72% | 1.76% | 1.74% |
Expenses net of fee waivers, if any | 1.70% A | 1.69% | 1.70% | 1.72% | 1.75% | 1.74% |
Expenses net of all reductions | 1.70% A | 1.69% | 1.70% | 1.72% | 1.75% | 1.74% |
Net investment income (loss) | 3.35% A | 3.59% | 4.30% | 5.43% | 4.76% | 4.54% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 220 | $ 244 | $ 307 | $ 348 | $ 267 | $ 335 |
Portfolio turnover rate G | 139% A | 221% | 207% | 202% | 255% | 149% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable 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 any 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 The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or 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 June 30, 2012 | Years ended December 31, | ||||
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.05 | $ 12.36 | $ 12.10 | $ 9.76 | $ 11.60 | $ 11.74 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .202 | .441 | .528 | .597 | .517 | .526 |
Net realized and unrealized gain (loss) | .281 | .010 H | .512 | 2.327 | (1.817) | (.020) |
Total from investment operations | .483 | .451 | 1.040 | 2.924 | (1.300) | .506 |
Distributions from net investment income | (.181) | (.478) | (.490) | (.484) | (.470) | (.516) |
Distributions from net realized gain | (.012) | (.283) | (.290) | (.100) | (.070) | (.130) |
Total distributions | (.193) | (.761) | (.780) | (.584) | (.540) | (.646) |
Net asset value, end of period | $ 12.34 | $ 12.05 | $ 12.36 | $ 12.10 | $ 9.76 | $ 11.60 |
Total Return B,C,D | 4.02% | 3.71% | 8.77% | 30.60% | (11.59)% | 4.42% |
Ratios to Average Net Assets F,I |
|
|
|
|
| |
Expenses before reductions | 1.75% A | 1.74% | 1.74% | 1.75% | 1.79% | 1.78% |
Expenses net of fee waivers, if any | 1.75% A | 1.74% | 1.74% | 1.75% | 1.79% | 1.78% |
Expenses net of all reductions | 1.75% A | 1.74% | 1.74% | 1.75% | 1.79% | 1.78% |
Net investment income (loss) | 3.31% A | 3.54% | 4.26% | 5.40% | 4.72% | 4.50% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 2,029 | $ 1,824 | $ 1,609 | $ 1,336 | $ 800 | $ 866 |
Portfolio turnover rate G | 139% A | 221% | 207% | 202% | 255% | 149% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable 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 any 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 The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or 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 June 30, 2012 | Years ended December 31, | ||||
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.21 | $ 12.52 | $ 12.25 | $ 9.87 | $ 11.72 | $ 11.86 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .266 | .570 | .657 | .710 | .635 | .652 |
Net realized and unrealized gain (loss) | .298 | .003 G | .514 | 2.361 | (1.835) | (.027) |
Total from investment operations | .564 | .573 | 1.171 | 3.071 | (1.200) | .625 |
Distributions from net investment income | (.242) | (.600) | (.611) | (.591) | (.580) | (.635) |
Distributions from net realized gain | (.012) | (.283) | (.290) | (.100) | (.070) | (.130) |
Total distributions | (.254) | (.883) | (.901) | (.691) | (.650) | (.765) |
Net asset value, end of period | $ 12.52 | $ 12.21 | $ 12.52 | $ 12.25 | $ 9.87 | $ 11.72 |
Total Return B,C | 4.64% | 4.66% | 9.80% | 31.92% | (10.67)% | 5.42% |
Ratios to Average Net Assets E,H |
|
|
|
|
| |
Expenses before reductions | .76% A | .76% | .76% | .78% | .78% | .77% |
Expenses net of fee waivers, if any | .76% A | .76% | .76% | .78% | .78% | .77% |
Expenses net of all reductions | .76% A | .76% | .76% | .78% | .78% | .76% |
Net investment income (loss) | 4.30% A | 4.52% | 5.23% | 6.37% | 5.73% | 5.52% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 2,392 | $ 1,812 | $ 1,481 | $ 1,156 | $ 750 | $ 889 |
Portfolio turnover rate F | 139% A | 221% | 207% | 202% | 255% | 149% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any 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 The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
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
Notes to Financial Statements
For the period ended June 30, 2012 (Unaudited)
(Amounts in thousands except percentages)
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 C, and Institutional Class shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Effective after the close of business on September 1, 2010, Class B shares were closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class.
2. Investments in Fidelity Central Funds.
The Fund invests 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 its 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 non-money market Fidelity Central Fund.
Semiannual Report
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
Fidelity Floating Rate | FMR Co., Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities |
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. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendor or broker to value its investments. When current market prices, quotations or rates are not readily available or reliable, securities will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by security type and 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 Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Security Valuation - continued
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)
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 third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, floating rate loans, foreign government and government agency obligations, preferred securities, U.S. government and government agency obligations and sovereign loan participations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing vendors 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 broker-supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from third party pricing vendors or broker-supplied valuations. Pricing vendors 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 methodologies which consider similar factors that would be used by third party pricing vendors. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. 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.
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
Semiannual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
a third party pricing vendor 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 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. 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 these securities are categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
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, 2012 for the Fund's investments, is included at the end of Fund's Schedule of Investments.
Foreign Currency Translation. The Fund may use 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 rates 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. 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. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. 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 under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
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 and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and 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, deferred trustee compensation 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 | $ 673,768 |
Gross unrealized depreciation | (194,216) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 479,552 |
|
|
Tax cost | $ 10,916,556 |
New Accounting Pronouncement. In December 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for interim and annual reporting periods beginning on or after January 1, 2013. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the SEC which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Operating Policies - continued
Repurchase Agreements - continued
The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in 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. 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.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount however; delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells MBS and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell MBS on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage
Semiannual Report
4. Operating Policies - continued
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls - continued
dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities.
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 invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these loans. The Fund also invests in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Fund's Schedule of Investments.
5. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow the Fund to enter into various types of derivative contracts, including futures contracts and swap agreements. Derivatives are investments whose value is derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified instrument based on specified terms, or to exchange future cash flows at periodic intervals based on a notional principal amount. The Fund used
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
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 increased or decreased 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 close out 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 OTC derivatives such as swap agreements, 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 the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party 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 on OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange traded futures contracts are not
Semiannual Report
5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
covered by the ISDA Master Agreement, however, counterparty credit risk related to exchange traded futures contracts is minimal because of the protection provided by the exchange on which they trade. Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, involves risk of loss in excess of the initial investment, if any, collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, for futures contracts, there is the risk that the change in value of the derivative contract may not correspond to the change in value of the underlying instrument.
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 as shown in the Statement of Operations.
Risk Exposure / Derivative Type | Net Realized | Change in Net Unrealized |
Interest Rate Risk |
|
|
Futures Contracts | $ 1,736 | $ 404 |
Swap Agreements | 37 | 38 |
Totals (a) | $ 1,773 | $ 442 |
(a) A summary of the value of derivatives by risk exposure as of period end is included at the end of the Schedule of Investments and is representative of activity for the period.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and to fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
5. Derivative Instruments - continued
Futures Contracts - continued
Any open futures contracts at period end are shown in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
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 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 premiums paid 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.
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 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 $3,819,380 and $3,307,920, 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 an annualized group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the
Semiannual Report
7. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
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 Fees. 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, total fees and amounts retained by FDC were as follows:
| Distribution | Service | Total Fees | Retained |
Class A | -% | .25% | $ 6,306 | $ 105 |
Class T | -% | .25% | 1,863 | 27 |
Class B | .65% | .25% | 1,052 | 762 |
Class C | .75% | .25% | 9,709 | 2,142 |
|
|
| $ 18,930 | $ 3,036 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, 1.00% 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 | $ 520 |
Class T | 101 |
Class B* | 191 |
Class C* | 125 |
| $ 937 |
* 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
7. Fees and Other Transactions with Affiliates - continued
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, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 3,547 | .14 |
Class T | 1,044 | .14 |
Class B | 234 | .20 |
Class C | 1,384 | .14 |
Institutional Class | 1,650 | .16 |
| $ 7,859 |
|
* Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 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 $15 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation
Semiannual Report
9. Security Lending - continued
to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $87.
10. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. The average loan balance during the period for which loans were outstanding amounted to $23,122. The weighted average interest rate was .66%. The interest expense amounted to four hundred twenty four dollars under the bank borrowing program. At period end, there were no bank borrowings outstanding.
11. Expense Reductions.
Many of the brokers with whom FMR places trades on behalf of the Fund provided services to the Fund in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $1 for the period.
12. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| Six months ended | Year ended |
From net investment income |
|
|
Class A | $ 93,110 | $ 205,948 |
Class T | 27,539 | 68,991 |
Class B | 3,482 | 10,324 |
Class C | 28,596 | 66,420 |
Institutional Class | 40,141 | 79,292 |
Total | $ 192,868 | $ 430,975 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
12. Distributions to Shareholders - continued
| Six months ended | Year ended |
From net realized gain |
|
|
Class A | $ 4,853 | $ 105,689 |
Class T | 1,456 | 33,932 |
Class B | 237 | 5,842 |
Class C | 1,850 | 40,648 |
Institutional Class | 1,858 | 39,326 |
Total | $ 10,254 | $ 225,437 |
13. 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 | 73,167 | 126,923 | $ 900,876 | $ 1,585,126 |
Reinvestment of distributions | 6,087 | 20,017 | 75,198 | 246,096 |
Shares redeemed | (53,461) | (90,489) | (658,330) | (1,129,354) |
Net increase (decrease) | 25,793 | 56,451 | $ 317,744 | $ 701,868 |
Class T |
|
|
|
|
Shares sold | 12,372 | 25,003 | $ 152,294 | $ 311,991 |
Reinvestment of distributions | 1,941 | 6,988 | 23,975 | 85,992 |
Shares redeemed | (16,094) | (36,994) | (198,170) | (461,831) |
Net increase (decrease) | (1,781) | (5,003) | $ (21,901) | $ (63,848) |
Class B |
|
|
|
|
Shares sold | 555 | 1,555 | $ 6,846 | $ 19,480 |
Reinvestment of distributions | 230 | 1,018 | 2,853 | 12,558 |
Shares redeemed | (3,187) | (7,166) | (39,378) | (89,747) |
Net increase (decrease) | (2,402) | (4,593) | $ (29,679) | $ (57,709) |
Class C |
|
|
|
|
Shares sold | 25,035 | 44,256 | $ 307,671 | $ 551,111 |
Reinvestment of distributions | 1,867 | 6,683 | 23,012 | 81,884 |
Shares redeemed | (13,932) | (29,665) | (171,115) | (369,130) |
Net increase (decrease) | 12,970 | 21,274 | $ 159,568 | $ 263,865 |
Semiannual Report
13. Share Transactions - continued
| Shares | Dollars | ||
| Six months ended | Year ended | Six months ended | Year ended |
Institutional Class |
|
|
|
|
Shares sold | 63,393 | 67,033 | $ 789,371 | $ 846,232 |
Reinvestment of distributions | 2,479 | 6,936 | 30,987 | 86,262 |
Shares redeemed | (23,179) | (43,944) | (288,801) | (554,874) |
Net increase (decrease) | 42,693 | 30,025 | $ 531,557 | $ 377,620 |
14. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
15. 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.
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors (U.K.) Ltd.
Fidelity Investments Money Management, Inc.
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
State Street Bank and Trust Company
Quincy, MA
(Fidelity Investment logo)(registered trademark)
SI-USAN-0812 1.787775.109
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Strategic Income
Fund - Institutional Class
Semiannual Report
June 30, 2012
(Fidelity Cover Art)
Contents
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. © 2012 FMR LLC. All rights reserved.
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, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
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, 2012 to June 30, 2012).
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 | .99% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,044.90 | $ 5.03 |
Hypothetical A |
| $ 1,000.00 | $ 1,019.94 | $ 4.97 |
Class T | .99% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,044.90 | $ 5.03 |
Hypothetical A |
| $ 1,000.00 | $ 1,019.94 | $ 4.97 |
Class B | 1.70% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,041.10 | $ 8.63 |
Hypothetical A |
| $ 1,000.00 | $ 1,016.41 | $ 8.52 |
Class C | 1.75% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,040.20 | $ 8.88 |
Hypothetical A |
| $ 1,000.00 | $ 1,016.16 | $ 8.77 |
Institutional Class | .76% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,046.40 | $ 3.87 |
Hypothetical A |
| $ 1,000.00 | $ 1,021.08 | $ 3.82 |
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 182/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
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, 2012 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 19.8 | 19.2 |
Fannie Mae | 3.0 | 1.8 |
German Federal Republic | 2.7 | 2.3 |
Freddie Mac | 2.4 | 1.4 |
Italian Republic | 2.2 | 1.5 |
| 30.1 | |
Top Five Market Sectors as of June 30, 2012 | ||
| % of fund's | % of fund's net assets |
Financials | 8.4 | 5.8 |
Energy | 5.4 | 6.2 |
Consumer Discretionary | 5.4 | 4.9 |
Industrials | 4.7 | 4.4 |
Materials | 3.9 | 3.5 |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2012 | As of December 31, 2011 | ||||||
![]() | U.S. Government and U.S. Government |
| ![]() | U.S. Government and U.S. Government |
| ||
![]() | AAA,AA,A 13.7% |
| ![]() | AAA,AA,A 14.5% |
| ||
![]() | BBB 6.0% |
| ![]() | BBB 4.3% |
| ||
![]() | BB 15.3% |
| ![]() | BB 14.1% |
| ||
![]() | B 20.1% |
| ![]() | B 23.1% |
| ||
![]() | CCC,CC,C 5.8% |
| ![]() | CCC,CC,C 4.9% |
| ||
![]() | Not Rated 2.0% |
| ![]() | Not Rated 2.4% |
| ||
![]() | Equities 0.8% |
| ![]() | Equities 0.7% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
† Includes FDIC Guaranteed Corporate Securities and NCUA Guaranteed Notes. |
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 date indicated and do not reflect subsequent changes. |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2012* | As of December 31, 2011** | ||||||
![]() | Preferred Securities 0.2% |
| ![]() | Preferred Securities 0.3% |
| ||
![]() | Corporate Bonds 35.9% |
| ![]() | Corporate Bonds 34.7% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Foreign Government |
| ![]() | Foreign Government |
| ||
![]() | Floating Rate Loans 4.9% |
| ![]() | Floating Rate Loans 5.3% |
| ||
![]() | Stocks 0.8% |
| ![]() | Stocks 0.7% |
| ||
![]() | Other Investments 0.1% |
| ![]() | Other Investments 0.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 33.1% |
| ** Foreign investments | 33.8% |
| ||
* Futures and Swaps | 1.9% |
| ** Futures and Swaps | 1.7% |
| ||
† Includes FDIC Guaranteed Corporate Securities and NCUA Guaranteed Notes. |
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, 2012 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 35.9% | ||||
| Principal | Value | ||
Convertible Bonds - 0.2% | ||||
CONSUMER DISCRETIONARY - 0.1% | ||||
Auto Components - 0.1% | ||||
TRW Automotive, Inc. 3.5% 12/1/15 | $ 8,595 | $ 12,506 | ||
ENERGY - 0.0% | ||||
Energy Equipment & Services - 0.0% | ||||
Cal Dive International, Inc. 3.25% 12/15/25 | 2,640 | 2,627 | ||
INFORMATION TECHNOLOGY - 0.0% | ||||
Communications Equipment - 0.0% | ||||
Lucent Technologies, Inc. 2.875% 6/15/25 | 2,160 | 2,128 | ||
MATERIALS - 0.1% | ||||
Metals & Mining - 0.1% | ||||
Vedanta Resources Jersey II Ltd.: | ||||
4% 3/30/17 | 5,400 | 5,292 | ||
5.5% 7/13/16 | 3,000 | 2,760 | ||
| 8,052 | |||
TOTAL CONVERTIBLE BONDS | 25,313 | |||
Nonconvertible Bonds - 35.7% | ||||
CONSUMER DISCRETIONARY - 4.4% | ||||
Auto Components - 0.4% | ||||
Affinia Group, Inc.: | ||||
9% 11/30/14 | 5,140 | 5,185 | ||
10.75% 8/15/16 (f) | 1,611 | 1,728 | ||
Cooper Standard Auto, Inc. 8.5% 5/1/18 | 1,775 | 1,917 | ||
Dana Holding Corp.: | ||||
6.5% 2/15/19 | 3,770 | 4,015 | ||
6.75% 2/15/21 | 1,560 | 1,685 | ||
Delphi Corp.: | ||||
5.875% 5/15/19 | 5,365 | 5,714 | ||
6.125% 5/15/21 | 5,255 | 5,741 | ||
Exide Technologies 8.625% 2/1/18 | 2,135 | 1,681 | ||
International Automotive Components Group SA 9.125% 6/1/18 (f) | 5,245 | 4,812 | ||
Stoneridge, Inc. 9.5% 10/15/17 (f) | 2,330 | 2,391 | ||
Tenneco, Inc.: | ||||
6.875% 12/15/20 | 6,205 | 6,701 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Auto Components - continued | ||||
Tenneco, Inc.: - continued | ||||
7.75% 8/15/18 | $ 1,545 | $ 1,657 | ||
Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc. 10.625% 9/1/17 (f) | 4,917 | 5,237 | ||
| 48,464 | |||
Automobiles - 0.1% | ||||
Automotores Gildemeister SA 8.25% 5/24/21 (f) | 2,240 | 2,318 | ||
Ford Motor Co. 7.45% 7/16/31 | 2,365 | 2,962 | ||
General Motors Corp.: | ||||
6.75% 5/1/28 (c) | 10,670 | 0 | ||
7.125% 7/15/13 (c) | 1,605 | 0 | ||
7.2% 1/15/2011 (c) | 4,015 | 0 | ||
7.4% 9/1/25 (c) | 500 | 0 | ||
7.7% 4/15/16 (c) | 7,804 | 0 | ||
8.25% 7/15/23 (c) | 4,845 | 0 | ||
8.375% 7/15/33 (c) | 7,015 | 0 | ||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 9.5% 12/1/19 (f) | 3,970 | 4,307 | ||
| 9,587 | |||
Diversified Consumer Services - 0.0% | ||||
ServiceMaster Co. 8% 2/15/20 | 2,920 | 3,179 | ||
Hotels, Restaurants & Leisure - 1.1% | ||||
Arcos Dorados Holdings, Inc. 10.25% 7/13/16 (f) | BRL | 15,205 | 7,968 | |
Caesars Operating Escrow LLC / Caesars Escrow Corp. 8.5% 2/15/20 (f) | 20,685 | 20,840 | ||
Chester Downs & Marina LLC 9.25% 2/1/20 (f) | 1,520 | 1,573 | ||
Choice Hotels International, Inc. 5.75% 7/1/22 | 1,445 | 1,506 | ||
GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17 | 4,365 | 4,867 | ||
MCE Finance Ltd. 10.25% 5/15/18 | 7,675 | 8,730 | ||
MGM Mirage, Inc. 10.375% 5/15/14 | 1,535 | 1,740 | ||
Mohegan Tribal Gaming Authority 11% 9/15/18 pay-in-kind (f)(k) | 2,333 | 1,546 | ||
MTR Gaming Group, Inc. 11.5% 8/1/19 pay-in-kind | 12,593 | 13,108 | ||
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 8.25% 12/15/17 (f) | 2,745 | 3,047 | ||
NCL Corp. Ltd. 9.5% 11/15/18 | 1,450 | 1,584 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Palace Entertainment Holdings LLC/Corp. 8.875% 4/15/17 (f) | $ 1,135 | $ 1,172 | ||
Roadhouse Financing, Inc. 10.75% 10/15/17 | 1,550 | 1,488 | ||
Seven Seas Cruises S de RL LLC 9.125% 5/15/19 | 670 | 690 | ||
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (f) | 1,540 | 1,178 | ||
Station Casinos LLC 3.66% 6/18/18 (e)(f) | 20,450 | 15,389 | ||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 8.625% 4/15/16 (f) | 580 | 606 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 8.875% 11/15/15 | 1,970 | 2,111 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (f) | 788 | 299 | ||
Wok Acquisition Corp. 10.25% 6/30/20 (f) | 2,580 | 2,670 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | ||||
5.375% 3/15/22 (f) | 14,400 | 14,328 | ||
7.75% 8/15/20 | 22,030 | 24,233 | ||
| 130,673 | |||
Household Durables - 1.0% | ||||
Jarden Corp. 6.125% 11/15/22 | 3,220 | 3,445 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (f) | 6,915 | 7,607 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
6.875% 2/15/21 (f) | 6,200 | 6,417 | ||
7.125% 4/15/19 (f) | 12,480 | 13,042 | ||
7.875% 8/15/19 (f) | 6,920 | 7,439 | ||
8.5% 5/15/18 (e)(f) | 445 | 427 | ||
8.5% 2/15/21 (e)(f) | 21,645 | 20,292 | ||
9% 4/15/19 (f) | 24,210 | 23,605 | ||
9.875% 8/15/19 (f) | 11,055 | 11,304 | ||
9.875% 8/15/19 (f) | 3,470 | 3,600 | ||
Sealy Mattress Co. 10.875% 4/15/16 (f) | 1,292 | 1,399 | ||
Standard Pacific Corp.: | ||||
8.375% 5/15/18 | 2,255 | 2,464 | ||
8.375% 1/15/21 | 4,340 | 4,731 | ||
Toll Brothers Finance Corp. 5.875% 2/15/22 | 5,175 | 5,473 | ||
| 111,245 | |||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Leisure Equipment & Products - 0.1% | ||||
Cedar Fair LP/Magnum Management Corp. 9.125% 8/1/18 | $ 7,710 | $ 8,481 | ||
Easton-Bell Sports, Inc. 9.75% 12/1/16 | 1,505 | 1,648 | ||
| 10,129 | |||
Media - 1.2% | ||||
Bresnan Broadband Holdings LLC 8% 12/15/18 (f) | 2,255 | 2,356 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
6.5% 4/30/21 | 10,200 | 10,863 | ||
6.625% 1/31/22 | 8,220 | 8,795 | ||
7.375% 6/1/20 | 5,685 | 6,239 | ||
7.875% 4/30/18 | 2,920 | 3,176 | ||
8.125% 4/30/20 | 6,955 | 7,755 | ||
Cequel Communications Holdings I LLC/Cequel Capital Corp. 8.625% 11/15/17 (f) | 9,330 | 10,030 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 13.5% 11/30/16 | 3,718 | 4,146 | ||
Checkout Holding Corp. 0% 11/15/15 (f) | 3,225 | 1,500 | ||
DISH DBS Corp.: | ||||
5.875% 7/15/22 (f) | 14,425 | 14,569 | ||
6.75% 6/1/21 | 9,370 | 10,096 | ||
EchoStar Communications Corp. 7.125% 2/1/16 | 18,425 | 20,175 | ||
Liberty Media Corp. 8.5% 7/15/29 | 6,535 | 6,731 | ||
Livent, Inc. yankee 9.375% 10/15/04 (c) | 300 | 0 | ||
MDC Partners, Inc. 11% 11/1/16 | 845 | 900 | ||
MediMedia USA, Inc. 11.375% 11/15/14 (f) | 850 | 765 | ||
Sheridan Group, Inc. 12.5% 4/15/14 | 2,986 | 2,478 | ||
Sinclair Television Group, Inc. 8.375% 10/15/18 | 3,550 | 3,883 | ||
TV Azteca SA de CV 7.5% 5/25/18 (Reg. S) | 4,090 | 4,141 | ||
WMG Acquisition Corp. 11.5% 10/1/18 | 15,140 | 16,427 | ||
| 135,025 | |||
Specialty Retail - 0.3% | ||||
Asbury Automotive Group, Inc. 8.375% 11/15/20 | 1,455 | 1,579 | ||
Claire's Stores, Inc. 8.875% 3/15/19 | 1,770 | 1,513 | ||
Limited Brands, Inc. 5.625% 2/15/22 | 8,065 | 8,226 | ||
Office Depot, Inc. 9.75% 3/15/19 (f) | 3,730 | 3,637 | ||
Sally Holdings LLC 6.875% 11/15/19 | 3,305 | 3,586 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - continued | ||||
Sonic Automotive, Inc. 9% 3/15/18 | $ 9,150 | $ 9,905 | ||
Spencer Spirit Holdings, Inc./Spencer Gifts LLC/Spirit Halloween Superstores 11% 5/1/17 (f) | 2,770 | 2,839 | ||
| 31,285 | |||
Textiles, Apparel & Luxury Goods - 0.2% | ||||
Hanesbrands, Inc. 6.375% 12/15/20 | 7,350 | 7,754 | ||
Levi Strauss & Co. 7.625% 5/15/20 | 9,350 | 10,051 | ||
Polymer Group, Inc. 7.75% 2/1/19 | 1,575 | 1,666 | ||
| 19,471 | |||
TOTAL CONSUMER DISCRETIONARY | 499,058 | |||
CONSUMER STAPLES - 0.8% | ||||
Beverages - 0.0% | ||||
Cerveceria Nacional Dominicana C por A 8% 3/27/14 (Reg. S) | 780 | 803 | ||
Food & Staples Retailing - 0.3% | ||||
Bi-Lo LLC/Bi-Lo Finance Corp. 9.25% 2/15/19 (f) | 4,655 | 5,004 | ||
Grifols, Inc. 8.25% 2/1/18 | 4,920 | 5,277 | ||
Rite Aid Corp.: | ||||
8% 8/15/20 | 4,380 | 4,949 | ||
9.25% 3/15/20 (f) | 8,270 | 8,311 | ||
9.25% 3/15/20 (f) | 4,930 | 4,955 | ||
9.75% 6/12/16 | 590 | 652 | ||
10.25% 10/15/19 | 1,835 | 2,064 | ||
| 31,212 | |||
Food Products - 0.3% | ||||
Darling International, Inc. 8.5% 12/15/18 | 1,130 | 1,271 | ||
Dean Foods Co. 9.75% 12/15/18 | 7,250 | 8,120 | ||
Gruma SAB de CV 7.75% (Reg. S) (g) | 5,330 | 5,330 | ||
JBS USA LLC/JBS USA Finance, Inc.: | ||||
8.25% 2/1/20 (f) | 3,315 | 3,265 | ||
11.625% 5/1/14 | 5,200 | 5,928 | ||
MHP SA 10.25% 4/29/15 (f) | 4,000 | 3,820 | ||
Michael Foods, Inc. 9.75% 7/15/18 | 1,885 | 2,069 | ||
Smithfield Foods, Inc. 10% 7/15/14 | 5,540 | 6,302 | ||
| 36,105 | |||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Household Products - 0.1% | ||||
Harbinger Group, Inc. 10.625% 11/15/15 | $ 2,645 | $ 2,757 | ||
Spectrum Brands Holdings, Inc. 9.5% 6/15/18 (f) | 2,890 | 3,266 | ||
| 6,023 | |||
Personal Products - 0.1% | ||||
Elizabeth Arden, Inc. 7.375% 3/15/21 | 1,560 | 1,704 | ||
NBTY, Inc. 9% 10/1/18 | 5,005 | 5,537 | ||
Prestige Brands, Inc. 8.125% 2/1/20 (f) | 770 | 841 | ||
Revlon Consumer Products Corp. 9.75% 11/15/15 | 3,875 | 4,156 | ||
| 12,238 | |||
TOTAL CONSUMER STAPLES | 86,381 | |||
ENERGY - 5.2% | ||||
Energy Equipment & Services - 0.2% | ||||
Atwood Oceanics, Inc. 6.5% 2/1/20 | 1,120 | 1,170 | ||
Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (f) | 5,735 | 5,162 | ||
Forbes Energy Services Ltd. 9% 6/15/19 | 3,755 | 3,492 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (f) | 2,298 | 2,401 | ||
Oil States International, Inc. 6.5% 6/1/19 | 3,855 | 4,009 | ||
Pioneer Drilling Co. 9.875% 3/15/18 | 3,410 | 3,581 | ||
Precision Drilling Corp. 6.5% 12/15/21 | 940 | 959 | ||
Pride International, Inc. 6.875% 8/15/20 | 3,150 | 3,878 | ||
Trinidad Drilling Ltd. 7.875% 1/15/19 (f) | 1,615 | 1,720 | ||
| 26,372 | |||
Oil, Gas & Consumable Fuels - 5.0% | ||||
Afren PLC 11.5% 2/1/16 (f) | 2,375 | 2,512 | ||
Alpha Natural Resources, Inc.: | ||||
6% 6/1/19 | 3,615 | 3,082 | ||
6.25% 6/1/21 | 1,415 | 1,189 | ||
ATP Oil & Gas Corp. 11.875% 5/1/15 | 11,920 | 5,483 | ||
Berry Petroleum Co. 10.25% 6/1/14 | 2,220 | 2,486 | ||
Calumet Specialty Products Partners LP/Calumet Finance Corp.: | ||||
9.375% 5/1/19 | 3,750 | 3,789 | ||
9.625% 8/1/20 (f) | 4,800 | 4,800 | ||
Carrizo Oil & Gas, Inc. 8.625% 10/15/18 | 9,835 | 10,228 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Chaparral Energy, Inc. 9.875% 10/1/20 | $ 1,845 | $ 2,048 | ||
Clayton Williams Energy, Inc. 7.75% 4/1/19 | 5,160 | 5,057 | ||
Concho Resources, Inc.: | ||||
6.5% 1/15/22 | 6,135 | 6,380 | ||
7% 1/15/21 | 2,855 | 3,048 | ||
Continental Resources, Inc.: | ||||
5% 9/15/22 (f) | 9,600 | 9,732 | ||
7.125% 4/1/21 | 2,540 | 2,807 | ||
8.25% 10/1/19 | 885 | 987 | ||
Crestwood Midstream Partners LP / Finance Corp. 7.75% 4/1/19 | 2,235 | 2,218 | ||
Crosstex Energy L.P./Crosstex Energy Finance Corp. 8.875% 2/15/18 | 4,920 | 5,154 | ||
Denbury Resources, Inc.: | ||||
8.25% 2/15/20 | 3,877 | 4,236 | ||
9.75% 3/1/16 | 1,660 | 1,814 | ||
DTEK Finance BV 9.5% 4/28/15 (f) | 2,435 | 2,362 | ||
Eagle Rock Energy Partners LP / Eagle Rock Energy Finance Corp. 8.375% 6/1/19 | 5,125 | 5,112 | ||
Endeavour International Corp. 12% 3/1/18 (f) | 5,910 | 6,176 | ||
Energy Partners Ltd. 8.25% 2/15/18 | 6,600 | 6,518 | ||
Energy Transfer Equity LP 7.5% 10/15/20 | 10,210 | 11,205 | ||
Energy XXI Gulf Coast, Inc. 9.25% 12/15/17 | 12,735 | 13,626 | ||
EXCO Resources, Inc. 7.5% 9/15/18 | 8,000 | 6,600 | ||
Goodrich Petroleum Corp. 8.875% 3/15/19 | 3,485 | 3,311 | ||
KazMunaiGaz Finance Sub BV: | ||||
6.375% 4/9/21 (f) | 3,510 | 3,870 | ||
7% 5/5/20 (f) | 4,100 | 4,664 | ||
9.125% 7/2/18 (f) | 4,825 | 5,989 | ||
11.75% 1/23/15 (f) | 3,780 | 4,498 | ||
Laredo Pete, Inc. 7.375% 5/1/22 (f) | 5,910 | 6,132 | ||
LINN Energy LLC/LINN Energy Finance Corp.: | ||||
7.75% 2/1/21 | 19,190 | 20,197 | ||
8.625% 4/15/20 | 14,410 | 15,527 | ||
Markwest Energy Partners LP/Markwest Energy Finance Corp.: | ||||
6.25% 6/15/22 | 9,605 | 9,893 | ||
6.75% 11/1/20 | 1,880 | 1,988 | ||
Naftogaz of Ukraine NJSC 9.5% 9/30/14 | 4,375 | 4,173 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Newfield Exploration Co.: | ||||
5.625% 7/1/24 | $ 5,200 | $ 5,317 | ||
6.875% 2/1/20 | 12,875 | 13,648 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 10.5% 12/1/17 | 4,575 | 4,895 | ||
OGX Petroleo e Gas Participacoes SA 8.5% 6/1/18 (f) | 16,300 | 14,589 | ||
Pacific Rubiales Energy Corp. 7.25% 12/12/21 (f) | 7,674 | 8,365 | ||
Pan American Energy LLC 7.875% 5/7/21 (f) | 2,950 | 2,493 | ||
PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20 (f) | 9,325 | 9,278 | ||
Pemex Project Funding Master Trust: | ||||
5.75% 3/1/18 | 5,050 | 5,719 | ||
6.625% 6/15/35 | 13,045 | 15,654 | ||
PetroBakken Energy Ltd. 8.625% 2/1/20 (f) | 6,670 | 6,603 | ||
Petrobras International Finance Co. Ltd.: | ||||
5.375% 1/27/21 | 5,230 | 5,637 | ||
6.875% 1/20/40 | 3,175 | 3,813 | ||
8.375% 12/10/18 | 4,435 | 5,490 | ||
Petrohawk Energy Corp. 7.875% 6/1/15 | 22,900 | 23,806 | ||
Petroleos de Venezuela SA: | ||||
4.9% 10/28/14 | 22,325 | 19,200 | ||
5% 10/28/15 | 3,035 | 2,360 | ||
5.375% 4/12/27 | 16,760 | 9,595 | ||
5.5% 4/12/37 | 7,675 | 4,356 | ||
8% 11/17/13 | 4,785 | 4,761 | ||
8.5% 11/2/17 (f) | 48,355 | 39,168 | ||
9% 11/17/21 (Reg. S) | 7,745 | 5,673 | ||
12.75% 2/17/22 (f) | 18,475 | 17,367 | ||
Petroleos Mexicanos: | ||||
4.875% 1/24/22 (f) | 3,930 | 4,264 | ||
5.5% 1/21/21 | 4,720 | 5,357 | ||
5.5% 6/27/44 (f) | 3,685 | 3,786 | ||
6% 3/5/20 | 2,990 | 3,487 | ||
6.5% 6/2/41 | 2,090 | 2,440 | ||
6.5% 6/2/41 (f) | 2,185 | 2,573 | ||
6.625% (f)(g) | 14,095 | 14,377 | ||
8% 5/3/19 | 2,695 | 3,456 | ||
Petroleum Development Corp. 12% 2/15/18 | 4,390 | 4,697 | ||
Pioneer Natural Resources Co. 7.5% 1/15/20 | 8,285 | 10,273 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
PT Adaro Indonesia 7.625% 10/22/19 (f) | $ 3,859 | $ 4,071 | ||
PT Pertamina Persero: | ||||
4.875% 5/3/22 (f) | 4,240 | 4,240 | ||
5.25% 5/23/21 (f) | 3,185 | 3,281 | ||
6% 5/3/42 (f) | 4,240 | 4,187 | ||
6.5% 5/27/41 (f) | 2,470 | 2,587 | ||
Regency Energy Partners LP/Regency Energy Finance Corp. 6.875% 12/1/18 | 6,445 | 6,799 | ||
Rosetta Resources, Inc. 9.5% 4/15/18 | 3,565 | 3,819 | ||
Southern Star Central Corp. 6.75% 3/1/16 | 1,560 | 1,576 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | ||||
6.375% 8/1/22 (f) | 2,660 | 2,653 | ||
6.875% 2/1/21 | 2,785 | 2,896 | ||
11.25% 7/15/17 | 4,265 | 4,809 | ||
Teekay Corp. 8.5% 1/15/20 | 3,695 | 3,760 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 689 | ||
7.625% 4/1/37 | 1,035 | 1,272 | ||
8.375% 6/15/32 | 1,155 | 1,511 | ||
Venoco, Inc.: | ||||
8.875% 2/15/19 | 7,315 | 6,529 | ||
11.5% 10/1/17 | 5,185 | 5,444 | ||
WPX Energy, Inc. 6% 1/15/22 | 7,035 | 7,000 | ||
YPF SA 10% 11/2/28 | 2,835 | 2,778 | ||
| 561,289 | |||
TOTAL ENERGY | 587,661 | |||
FINANCIALS - 7.3% | ||||
Capital Markets - 0.1% | ||||
Equinox Holdings, Inc. 9.5% 2/1/16 (f) | 5,755 | 6,100 | ||
Lloyds TSB Bank PLC 4.875% 3/30/27 | GBP | 5,300 | 8,813 | |
Penson Worldwide, Inc. 12.5% 5/15/17 (f) | 3,580 | 465 | ||
| 15,378 | |||
Commercial Banks - 2.0% | ||||
Abbey National Treasury Services PLC 5.25% 2/16/29 | GBP | 3,400 | 5,592 | |
African Export-Import Bank 8.75% 11/13/14 | 2,145 | 2,351 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Akbank T.A.S.: | ||||
5.125% 7/22/15 (f) | $ 5,370 | $ 5,430 | ||
6.5% 3/9/18 (f) | 1,415 | 1,475 | ||
Banco Nacional de Desenvolvimento Economico e Social 6.5% 6/10/19 (f) | 1,280 | 1,526 | ||
Barclays Bank PLC 4.25% 1/12/22 | GBP | 3,850 | 6,421 | |
BBVA Paraguay SA 9.75% 2/11/16 (f) | 4,330 | 4,417 | ||
CIT Group, Inc.: | ||||
5% 5/15/17 | 12,005 | 12,305 | ||
5.25% 3/15/18 | 24,005 | 24,785 | ||
5.375% 5/15/20 | 10,385 | 10,619 | ||
5.5% 2/15/19 (f) | 35,510 | 36,487 | ||
7% 5/2/17 (f) | 9,854 | 9,866 | ||
Co-Operative Bank PLC 4.75% 11/11/21 | GBP | 4,110 | 6,841 | |
Development Bank of Philippines 8.375% (g)(k) | 6,440 | 6,923 | ||
Eastern and Southern African Trade and Development Bank 6.875% 1/9/16 (Reg. S) | 3,585 | 3,477 | ||
European Investment Bank 5.375% 6/7/21 | GBP | 4,250 | 7,938 | |
Georgia Bank Joint Stock Co. 7.75% 7/5/17 (f) | 2,845 | 2,809 | ||
HSBK (Europe) BV: | ||||
7.25% 5/3/17 (f) | 5,550 | 5,564 | ||
9.25% 10/16/13 (f) | 3,262 | 3,376 | ||
International Bank for Reconstruction & Development: | ||||
8% 6/20/13 | NGN | 290,000 | 1,638 | |
8.2% 12/12/12 | NGN | 920,000 | 5,342 | |
JSC Kazkommertsbank BV 8% 11/3/15 (f) | 4,460 | 4,126 | ||
Kazkommerts International BV 7.875% 4/7/14 | 1,675 | 1,644 | ||
Nordea Bank Finland PLC 2.25% 11/16/15 | EUR | 5,250 | 6,894 | |
Royal Bank of Scotland PLC 5.125% 1/13/24 | GBP | 4,750 | 8,375 | |
RSHB Capital SA: | ||||
6% 6/3/21 (f) | 2,155 | 2,117 | ||
9% 6/11/14 (f) | 2,120 | 2,332 | ||
SSB #1 PLC 8.25% 3/10/16 | 950 | 805 | ||
Svenska Handelsbanken AB 4.375% 10/20/21 | EUR | 50 | 71 | |
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
The State Export-Import Bank of Ukraine JSC 5.7928% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (e) | $ 5,375 | $ 4,139 | ||
Trade & Development Bank of Mongolia LLC 8.5% 10/25/13 | 3,965 | 3,965 | ||
US Bank NA 1.076% 2/28/17 (k) | EUR | 1,600 | 1,847 | |
Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) | 10,335 | 10,774 | ||
Vnesheconombank Via VEB Finance PLC 6.025% 7/5/22 (f) | 2,975 | 3,001 | ||
Yapi ve Kredi Bankasi A/S 6.75% 2/8/17 (f) | 4,205 | 4,247 | ||
| 219,519 | |||
Consumer Finance - 2.6% | ||||
Ally Financial, Inc.: | ||||
3.6669% 2/11/14 (k) | 7,265 | 7,120 | ||
5.5% 2/15/17 | 7,530 | 7,662 | ||
7.5% 9/15/20 | 41,390 | 46,564 | ||
8% 3/15/20 | 28,925 | 33,264 | ||
Ford Motor Credit Co. LLC: | ||||
4.25% 2/3/17 | 24,035 | 25,194 | ||
5.75% 2/1/21 | 2,370 | 2,601 | ||
5.875% 8/2/21 | 17,745 | 19,741 | ||
12% 5/15/15 | 12,770 | 15,899 | ||
General Motors Acceptance Corp. 8% 11/1/31 | 27,890 | 32,226 | ||
GMAC LLC: | ||||
6.75% 12/1/14 | 2,965 | 3,128 | ||
8% 11/1/31 | 64,378 | 75,161 | ||
SLM Corp.: | ||||
6% 1/25/17 | 9,240 | 9,494 | ||
7.25% 1/25/22 | 4,800 | 4,992 | ||
8% 3/25/20 | 7,185 | 7,868 | ||
| 290,914 | |||
Diversified Financial Services - 2.0% | ||||
Aquarius Investments Luxemburg 8.25% 2/18/16 | 4,705 | 4,940 | ||
Biz Finance PLC 8.375% 4/27/15 (Reg. S) | 6,450 | 5,773 | ||
BP Capital Markets PLC 3.83% 10/6/17 | EUR | 2,750 | 3,784 | |
CDW LLC/CDW Finance Corp. 8% 12/15/18 (e) | 1,590 | 1,717 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Dignity Finance PLC: | ||||
6.31% 12/31/23 (Reg. S) | GBP | 214 | $ 402 | |
8.151% 12/31/30 | GBP | 475 | 1,024 | |
European Economic Community 2.875% 4/4/28 | EUR | 6,500 | 8,120 | |
Everest Acquisition LLC / Everest Acquisition Finance, Inc.: | ||||
6.875% 5/1/19 (f) | 5,580 | 5,803 | ||
9.375% 5/1/20 (f) | 23,220 | 24,033 | ||
Fibria Overseas Finance Ltd.: | ||||
6.75% 3/3/21 (f) | 1,660 | 1,660 | ||
7.5% 5/4/20 (f) | 2,295 | 2,387 | ||
GE Capital UK Funding 4.375% 7/31/19 | GBP | 5,050 | 8,302 | |
General Motors Financial Co., Inc. 6.75% 6/1/18 | 6,140 | 6,708 | ||
Hilcorp Energy I LP/Hilcorp Finance Co. 7.625% 4/15/21 (f) | 4,195 | 4,447 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
7.75% 1/15/16 | 14,795 | 15,553 | ||
8% 1/15/18 | 37,667 | 40,021 | ||
Indo Energy Finance BV 7% 5/7/18 (f) | 3,710 | 3,617 | ||
Magnesita Finance Ltd. 8.625% (f)(g) | 2,595 | 2,582 | ||
Offshore Group Investment Ltd. 11.5% 8/1/15 | 5,870 | 6,310 | ||
Porterbrook Rail Finance Ltd. 5.5% 4/20/19 | GBP | 1,350 | 2,296 | |
Regions Financing Trust II 6.625% 5/15/47 (k) | 4,735 | 4,498 | ||
TMK Capital SA 7.75% 1/27/18 | 4,325 | 4,044 | ||
Transportation Union LLC/Transportation Union Financing Corp. 11.375% 6/15/18 | 11,580 | 13,635 | ||
TransUnion Holding Co., Inc. 9.625% 6/15/18 pay-in-kind (f)(k) | 2,910 | 3,128 | ||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 8.125% 12/1/17 (f) | 7,210 | 7,733 | ||
Vnesheconombank Via VEB Finance PLC: | ||||
5.375% 2/13/17 (f) | 3,025 | 3,131 | ||
6.8% 11/22/25 (f) | 3,065 | 3,203 | ||
6.902% 7/9/20 (f) | 7,355 | 7,980 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (f)(k) | $ 21,289 | $ 13,395 | ||
Zhaikmunai Finance BV 10.5% 10/19/15 (f) | 9,020 | 8,975 | ||
| 219,201 | |||
Insurance - 0.0% | ||||
CNO Financial Group, Inc. 9% 1/15/18 (f) | 2,935 | 3,126 | ||
USI Holdings Corp. 4.3419% 11/15/14 (f)(k) | 920 | 853 | ||
| 3,979 | |||
Real Estate Investment Trusts - 0.3% | ||||
MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21 | 7,955 | 8,273 | ||
Omega Healthcare Investors, Inc.: | ||||
5.875% 3/15/24 (f) | 13,845 | 13,810 | ||
6.75% 10/15/22 | 8,390 | 8,935 | ||
7.5% 2/15/20 | 4,860 | 5,310 | ||
| 36,328 | |||
Real Estate Management & Development - 0.3% | ||||
CB Richard Ellis Services, Inc. 6.625% 10/15/20 | 5,565 | 5,899 | ||
Realogy Corp.: | ||||
7.625% 1/15/20 (f) | 6,330 | 6,567 | ||
7.875% 2/15/19 (f) | 7,240 | 7,150 | ||
9% 1/15/20 (f) | 5,210 | 5,353 | ||
11.5% 4/15/17 | 280 | 265 | ||
12% 4/15/17 | 2,748 | 2,570 | ||
Taylor Morrison Community Monarch 7.75% 4/15/20 (f) | 3,830 | 3,974 | ||
Tesco Property Finance 5 PLC 5.6611% 10/13/41 | GBP | 2,492 | 4,015 | |
Toys 'R' Us Property Co. II LLC 8.5% 12/1/17 | 845 | 883 | ||
| 36,676 | |||
TOTAL FINANCIALS | 821,995 | |||
HEALTH CARE - 3.3% | ||||
Health Care Equipment & Supplies - 0.2% | ||||
DJO Finance LLC/DJO Finance Corp. 8.75% 3/15/18 (f) | 1,740 | 1,801 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Equipment & Supplies - continued | ||||
Kinetic Concepts, Inc./KCI (USA), Inc.: | ||||
10.5% 11/1/18 (f) | $ 14,405 | $ 15,053 | ||
12.5% 11/1/19 (f) | 9,455 | 8,462 | ||
| 25,316 | |||
Health Care Providers & Services - 2.6% | ||||
Community Health Systems, Inc. 8% 11/15/19 | 13,255 | 14,050 | ||
CRC Health Group, Inc. 10.75% 2/1/16 | 1,880 | 1,654 | ||
DaVita, Inc.: | ||||
6.375% 11/1/18 | 12,740 | 13,250 | ||
6.625% 11/1/20 | 3,875 | 4,030 | ||
Emergency Medical Services Corp. 8.125% 6/1/19 | 6,200 | 6,471 | ||
Fresenius Medical Care US Finance II, Inc.: | ||||
5.625% 7/31/19 (f) | 15,215 | 15,862 | ||
5.875% 1/31/22 (f) | 16,815 | 17,572 | ||
Gentiva Health Services, Inc. 11.5% 9/1/18 | 5,710 | 4,911 | ||
HCA Holdings, Inc. 7.75% 5/15/21 | 38,425 | 41,163 | ||
HCA, Inc.: | ||||
5.875% 3/15/22 | 19,190 | 20,030 | ||
6.5% 2/15/16 | 4,220 | 4,526 | ||
6.5% 2/15/20 | 9,920 | 10,788 | ||
7.25% 9/15/20 | 38,835 | 42,427 | ||
7.5% 2/15/22 | 12,110 | 13,170 | ||
8% 10/1/18 | 1,365 | 1,529 | ||
Health Management Associates, Inc. 7.375% 1/15/20 (f) | 2,985 | 3,172 | ||
HealthSouth Corp. 8.125% 2/15/20 | 7,395 | 8,061 | ||
IASIS Healthcare LLC/IASIS Capital Corp. 8.375% 5/15/19 | 13,245 | 13,046 | ||
InVentiv Health, Inc. 10% 8/15/18 (f) | 905 | 747 | ||
Radiation Therapy Services, Inc. 8.875% 1/15/17 (f) | 4,030 | 3,869 | ||
ResCare, Inc. 10.75% 1/15/19 | 2,735 | 3,029 | ||
Rotech Healthcare, Inc. 10.5% 3/15/18 | 2,475 | 1,238 | ||
Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18 | 1,200 | 1,290 | ||
Tenet Healthcare Corp. 6.25% 11/1/18 | 38,116 | 40,117 | ||
UHS Escrow Corp. 7% 10/1/18 | 1,020 | 1,099 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
Vanguard Health Holding Co. II LLC / Vanguard Holding Co. II, Inc. 7.75% 2/1/19 | $ 4,295 | $ 4,338 | ||
Vanguard Health Systems, Inc. 0% 2/1/16 | 241 | 166 | ||
| 291,605 | |||
Health Care Technology - 0.1% | ||||
ConvaTec Healthcare ESA 10.5% 12/15/18 (f) | 4,860 | 4,921 | ||
Thomson Reuters Healthcare, Inc. 10.625% 6/1/20 (f) | 4,285 | 4,478 | ||
| 9,399 | |||
Pharmaceuticals - 0.4% | ||||
Elan Finance PLC/Elan Finance Corp. 8.75% 10/15/16 | 5,775 | 6,295 | ||
Leiner Health Products, Inc. 11% 6/1/49 (c) | 1,885 | 0 | ||
Mylan, Inc.: | ||||
6% 11/15/18 (f) | 10,955 | 11,475 | ||
7.625% 7/15/17 (f) | 3,900 | 4,290 | ||
7.875% 7/15/20 (f) | 7,040 | 7,920 | ||
Valeant Pharmaceuticals International: | ||||
6.75% 8/15/21 (f) | 9,090 | 8,908 | ||
6.875% 12/1/18 (f) | 8,900 | 9,212 | ||
| 48,100 | |||
TOTAL HEALTH CARE | 374,420 | |||
INDUSTRIALS - 3.8% | ||||
Aerospace & Defense - 0.2% | ||||
Alion Science & Technology Corp.: | ||||
10.25% 2/1/15 | 800 | 336 | ||
12% 11/1/14 pay-in-kind | 1,491 | 1,393 | ||
Huntington Ingalls Industries, Inc.: | ||||
6.875% 3/15/18 | 18,060 | 18,828 | ||
7.125% 3/15/21 | 1,675 | 1,750 | ||
| 22,307 | |||
Air Freight & Logistics - 0.0% | ||||
Air Medical Group Holdings, Inc. 9.25% 11/1/18 (f) | 3,295 | 3,427 | ||
Airlines - 0.5% | ||||
Air Canada 9.25% 8/1/15 (f) | 7,170 | 6,955 | ||
American Airlines, Inc. equipment trust certificate 13% 8/1/16 | 3,534 | 3,763 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
American Airlines, Inc. pass-thru trust certificates 10.375% 7/2/19 | $ 5,349 | $ 5,750 | ||
Continental Airlines, Inc. pass-thru trust certificates 6.903% 4/19/22 | 782 | 804 | ||
Continental Airlines, Inc. 7.25% 11/10/19 | 4,567 | 5,173 | ||
Delta Air Lines, Inc. 9.5% 9/15/14 (f) | 1,214 | 1,287 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 8,169 | 8,781 | ||
8.021% 8/10/22 | 3,523 | 3,562 | ||
Northwest Airlines, Inc. pass-thru trust certificates: | ||||
7.027% 11/1/19 | 2,065 | 2,189 | ||
8.028% 11/1/17 | 593 | 599 | ||
United Air Lines, Inc.: | ||||
9.875% 8/1/13 (f) | 1,735 | 1,804 | ||
12% 11/1/13 (f) | 3,415 | 3,560 | ||
United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17 | 7,101 | 8,077 | ||
US Airways 2011-1 Class A pass-thru trust certificates 7.125% 4/22/25 | 5,092 | 5,397 | ||
| 57,701 | |||
Building Products - 0.1% | ||||
Building Materials Corp. of America 6.75% 5/1/21 (f) | 4,665 | 4,992 | ||
HD Supply, Inc. 11% 4/15/20 (f) | 11,030 | 11,857 | ||
| 16,849 | |||
Commercial Services & Supplies - 1.9% | ||||
ADS Tactical, Inc. 11% 4/1/18 (f) | 1,640 | 1,615 | ||
American Reprographics Co. 10.5% 12/15/16 | 4,570 | 4,570 | ||
B-Corp Merger Sub, Inc. 8.25% 6/1/19 (f) | 2,915 | 2,893 | ||
Casella Waste Systems, Inc.: | ||||
7.75% 2/15/19 | 1,160 | 1,137 | ||
11% 7/15/14 | 1,510 | 1,586 | ||
Covanta Holding Corp. 7.25% 12/1/20 | 4,940 | 5,352 | ||
Garda World Security Corp. 9.75% 3/15/17 (f) | 2,260 | 2,390 | ||
International Lease Finance Corp.: | ||||
5.75% 5/15/16 | 12,000 | 12,180 | ||
5.875% 4/1/19 | 23,935 | 23,696 | ||
6.25% 5/15/19 | 24,025 | 24,475 | ||
6.75% 9/1/16 (f) | 14,655 | 15,864 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Commercial Services & Supplies - continued | ||||
International Lease Finance Corp.: - continued | ||||
7.125% 9/1/18 (f) | $ 27,064 | $ 30,041 | ||
8.25% 12/15/20 | 12,385 | 14,150 | ||
8.625% 9/15/15 | 7,985 | 8,843 | ||
8.625% 1/15/22 | 29,075 | 33,654 | ||
8.75% 3/15/17 | 18,075 | 20,334 | ||
The Geo Group, Inc. 7.75% 10/15/17 | 2,845 | 3,030 | ||
United Rentals North America, Inc. 8.375% 9/15/20 | 6,995 | 7,257 | ||
WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (f) | 3,355 | 3,254 | ||
| 216,321 | |||
Construction & Engineering - 0.1% | ||||
Odebrecht Finance Ltd. 7.5% (f)(g) | 10,580 | 10,874 | ||
Electrical Equipment - 0.1% | ||||
General Cable Corp. 7.125% 4/1/17 | 680 | 697 | ||
Sensata Technologies BV 6.5% 5/15/19 (f) | 5,310 | 5,496 | ||
| 6,193 | |||
Industrial Conglomerates - 0.0% | ||||
Sequa Corp. 13.5% 12/1/15 pay-in-kind (f) | 4,393 | 4,679 | ||
Machinery - 0.1% | ||||
Accuride Corp. 9.5% 8/1/18 | 650 | 670 | ||
ArvinMeritor, Inc. 10.625% 3/15/18 | 2,115 | 2,226 | ||
Terex Corp. 10.875% 6/1/16 | 5,025 | 5,603 | ||
| 8,499 | |||
Marine - 0.2% | ||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17 | 2,585 | 2,417 | ||
Navios Maritime Holdings, Inc.: | ||||
8.125% 2/15/19 | 4,790 | 4,191 | ||
8.875% 11/1/17 | 11,300 | 11,526 | ||
Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc. 9.25% 4/15/19 | 1,320 | 1,214 | ||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 2,050 | 1,640 | ||
| 20,988 | |||
Road & Rail - 0.3% | ||||
JSC Georgian Railway 7.75% 7/11/22 (f) | 1,900 | 1,902 | ||
Kansas City Southern de Mexico SA de CV: | ||||
6.125% 6/15/21 | 2,485 | 2,734 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Road & Rail - continued | ||||
Kansas City Southern de Mexico SA de CV: - continued | ||||
12.5% 4/1/16 | $ 7,425 | $ 8,390 | ||
NESCO LLC/NESCO Holdings Corp. 11.75% 4/15/17 (f) | 3,485 | 3,572 | ||
Swift Services Holdings, Inc. 10% 11/15/18 | 9,790 | 10,573 | ||
Western Express, Inc. 12.5% 4/15/15 (f) | 5,935 | 3,591 | ||
| 30,762 | |||
Trading Companies & Distributors - 0.2% | ||||
Aircastle Ltd.: | ||||
6.75% 4/15/17 | 6,765 | 6,833 | ||
7.625% 4/15/20 | 3,030 | 3,091 | ||
9.75% 8/1/18 | 9,000 | 9,945 | ||
| 19,869 | |||
Transportation Infrastructure - 0.1% | ||||
Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (f) | 5,258 | 4,312 | ||
Great Rolling Stock Co. Ltd. 6.25% 7/27/20 | GBP | 1,200 | 2,127 | |
| 6,439 | |||
TOTAL INDUSTRIALS | 424,908 | |||
INFORMATION TECHNOLOGY - 1.3% | ||||
Communications Equipment - 0.3% | ||||
Avaya, Inc.: | ||||
9.75% 11/1/15 | 6,165 | 4,978 | ||
10.125% 11/1/15 pay-in-kind (k) | 4,120 | 3,337 | ||
Brocade Communications Systems, Inc.: | ||||
6.625% 1/15/18 | 6,605 | 6,902 | ||
6.875% 1/15/20 | 2,095 | 2,273 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 18,705 | 12,719 | ||
6.5% 1/15/28 | 6,570 | 4,435 | ||
| 34,644 | |||
Computers & Peripherals - 0.2% | ||||
Seagate HDD Cayman: | ||||
7% 11/1/21 | 6,295 | 6,783 | ||
7.75% 12/15/18 | 9,070 | 10,000 | ||
| 16,783 | |||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Electronic Equipment & Components - 0.0% | ||||
Atkore International, Inc. 9.875% 1/1/18 | $ 2,155 | $ 2,090 | ||
Reddy Ice Corp.: | ||||
11.25% 3/15/15 | 2,645 | 2,523 | ||
13.25% 11/1/15 (c) | 3,266 | 751 | ||
| 5,364 | |||
Internet Software & Services - 0.1% | ||||
Equinix, Inc. 8.125% 3/1/18 | 8,180 | 9,059 | ||
IT Services - 0.4% | ||||
Ceridian Corp.: | ||||
8.875% 7/15/19 (f)(i) | 4,125 | 4,259 | ||
11.25% 11/15/15 | 5,555 | 5,347 | ||
Fidelity National Information Services, Inc.: | ||||
7.625% 7/15/17 | 2,935 | 3,236 | ||
7.875% 7/15/20 | 3,910 | 4,369 | ||
First Data Corp. 7.375% 6/15/19 (f) | 24,130 | 24,673 | ||
SunGard Data Systems, Inc. 7.375% 11/15/18 | 4,435 | 4,745 | ||
Unisys Corp.: | ||||
12.5% 1/15/16 | 2,226 | 2,360 | ||
12.75% 10/15/14 (f) | 201 | 219 | ||
| 49,208 | |||
Semiconductors & Semiconductor Equipment - 0.3% | ||||
Advanced Micro Devices, Inc.: | ||||
7.75% 8/1/20 | 1,640 | 1,796 | ||
8.125% 12/15/17 | 3,470 | 3,765 | ||
Freescale Semiconductor, Inc.: | ||||
8.05% 2/1/20 | 4,065 | 4,024 | ||
10.75% 8/1/20 | 4,281 | 4,602 | ||
NXP BV/NXP Funding LLC 9.75% 8/1/18 (f) | 13,190 | 15,053 | ||
Spansion LLC 11.25% 1/15/16 (c)(f) | 4,255 | 240 | ||
| 29,480 | |||
Software - 0.0% | ||||
Open Solutions, Inc. 9.75% 2/1/15 (f) | 870 | 766 | ||
TOTAL INFORMATION TECHNOLOGY | 145,304 | |||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - 3.4% | ||||
Chemicals - 0.8% | ||||
Braskem America Finance Co. 7.125% 7/22/41 (f) | $ 2,325 | $ 2,325 | ||
Ferro Corp. 7.875% 8/15/18 | 4,325 | 4,217 | ||
INEOS Finance PLC: | ||||
7.5% 5/1/20 (f) | 3,620 | 3,656 | ||
8.375% 2/15/19 (f) | 3,275 | 3,390 | ||
9% 5/15/15 (f) | 2,655 | 2,801 | ||
INEOS Group Holdings PLC 8.5% 2/15/16 (f) | 6,355 | 5,847 | ||
Inergy LP/Inergy Finance Corp. 6.875% 8/1/21 | 4,385 | 4,385 | ||
LyondellBasell Industries NV: | ||||
5% 4/15/19 (f) | 7,200 | 7,524 | ||
5.75% 4/15/24 (f) | 7,200 | 7,677 | ||
6% 11/15/21 (f) | 20,050 | 22,005 | ||
Momentive Performance Materials, Inc. 9% 1/15/21 | 14,450 | 10,946 | ||
NOVA Chemicals Corp. 3.8549% 11/15/13 (k) | 1,690 | 1,688 | ||
OMNOVA Solutions, Inc. 7.875% 11/1/18 | 3,505 | 3,523 | ||
OXEA Finance & CY S.C.A. 9.5% 7/15/17 (f) | 3,370 | 3,522 | ||
PolyOne Corp. 7.375% 9/15/20 | 1,845 | 1,956 | ||
Solutia, Inc.: | ||||
7.875% 3/15/20 | 2,180 | 2,551 | ||
8.75% 11/1/17 | 3,205 | 3,606 | ||
Taminco Global Chemical Corp. 9.75% 3/31/20 (f) | 1,245 | 1,279 | ||
TPC Group LLC 8.25% 10/1/17 | 2,195 | 2,305 | ||
| 95,203 | |||
Construction Materials - 0.6% | ||||
CEMEX Espana SA (Luxembourg): | ||||
9.25% 5/12/20 (f) | 2,860 | 2,460 | ||
9.875% 4/30/19 (f) | 5,015 | 4,488 | ||
CEMEX Finance LLC 9.5% 12/14/16 (f) | 23,525 | 23,055 | ||
CEMEX SA de CV: | ||||
5.4697% 9/30/15 (f)(k) | 12,390 | 11,275 | ||
9% 1/11/18 (f) | 17,190 | 15,342 | ||
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (f) | 3,740 | 3,927 | ||
Summit Materials LLC/Summit Materials Finance Corp. 10.5% 1/31/20 (f) | 5,240 | 5,502 | ||
| 66,049 | |||
Containers & Packaging - 0.4% | ||||
ARD Finance SA 11.125% 6/1/18 pay-in-kind (f) | 4,286 | 3,943 | ||
Berry Plastics Holding Corp. 4.3429% 9/15/14 (k) | 640 | 627 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
BWAY Parent Co., Inc. 10.875% 11/1/15 pay-in-kind (k) | $ 2,700 | $ 2,693 | ||
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (f) | 2,060 | 2,106 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 9,795 | 10,383 | ||
7.5% 12/15/96 | 3,685 | 3,114 | ||
Rock-Tenn Co.: | ||||
4.45% 3/1/19 (f) | 1,480 | 1,520 | ||
4.9% 3/1/22 (f) | 1,380 | 1,429 | ||
Sappi Papier Holding GmbH: | ||||
7.75% 7/15/17 (f)(i) | 2,600 | 2,633 | ||
8.375% 6/15/19 (f)(i) | 3,515 | 3,533 | ||
Silgan Holdings, Inc. 5% 4/1/20 (f) | 9,600 | 9,792 | ||
Tekni-Plex, Inc. 9.75% 6/1/19 (f) | 4,350 | 4,394 | ||
| 46,167 | |||
Metals & Mining - 1.3% | ||||
Aleris International, Inc.: | ||||
6% 6/1/20 (f) | 33 | 32 | ||
9% 12/15/14 pay-in-kind (c)(k) | 2,790 | 0 | ||
Alrosa Finance SA 7.75% 11/3/20 (f) | 2,685 | 2,813 | ||
Edgen Murray Corp. 12.25% 1/15/15 | 8,130 | 8,008 | ||
EVRAZ Group SA: | ||||
7.4% 4/24/17 (f) | 2,535 | 2,485 | ||
8.25% 11/10/15 (f) | 7,820 | 8,191 | ||
FMG Resources (August 2006) Pty Ltd.: | ||||
6% 4/1/17 (f) | 6,325 | 6,357 | ||
6.375% 2/1/16 (f) | 7,260 | 7,333 | ||
6.875% 2/1/18 (f) | 21,090 | 21,301 | ||
6.875% 4/1/22 (f) | 19,525 | 19,720 | ||
7% 11/1/15 (f) | 9,155 | 9,361 | ||
8.25% 11/1/19 (f) | 37,935 | 40,401 | ||
Metinvest BV 10.25% 5/20/15 (f) | 3,170 | 3,107 | ||
Midwest Vanadium Pty Ltd. 11.5% 2/15/18 (f) | 2,265 | 1,404 | ||
Mirabela Nickel Ltd. 8.75% 4/15/18 (f) | 1,135 | 777 | ||
Mongolian Mining Corp. 8.875% 3/29/17 (f) | 4,385 | 4,396 | ||
MRC Global, Inc. 9.5% 12/15/16 | 4,320 | 4,666 | ||
New Gold, Inc. 7% 4/15/20 (f) | 1,230 | 1,264 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Rain CII Carbon LLC/CII Carbon Corp. 8% 12/1/18 (f) | $ 3,435 | $ 3,469 | ||
RathGibson, Inc. 11.25% 2/15/14 (c) | 5,755 | 0 | ||
Southern Copper Corp. 6.75% 4/16/40 | 2,130 | 2,277 | ||
SunCoke Energy, Inc. 7.625% 8/1/19 | 1,315 | 1,289 | ||
Votorantim Cimentos SA 7.25% 4/5/41 (f) | 3,155 | 3,163 | ||
| 151,814 | |||
Paper & Forest Products - 0.3% | ||||
AbitibiBowater, Inc. 10.25% 10/15/18 | 12,998 | 14,428 | ||
Clearwater Paper Corp. 7.125% 11/1/18 | 1,225 | 1,299 | ||
Glatfelter 7.125% 5/1/16 | 550 | 562 | ||
NewPage Corp.: | ||||
6.7159% 5/1/49 (c)(k) | 1,770 | 62 | ||
11.375% 12/31/14 (c) | 4,775 | 3,080 | ||
Sino-Forest Corp. 6.25% 10/21/17 (c)(f) | 5,480 | 1,548 | ||
Verso Paper Holdings LLC/Verso Paper, Inc. 11.75% 1/15/19 (f) | 7,010 | 7,080 | ||
| 28,059 | |||
TOTAL MATERIALS | 387,292 | |||
TELECOMMUNICATION SERVICES - 3.3% | ||||
Diversified Telecommunication Services - 1.2% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 | 7,085 | 7,935 | ||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 4,895 | 4,308 | ||
9% 8/15/31 | 3,655 | 3,491 | ||
Clearwire Communications LLC/Clearwire Finance, Inc.: | ||||
12% 12/1/15 (f) | 6,042 | 5,498 | ||
14.75% 12/1/16 (f) | 3,940 | 3,832 | ||
Consolidated Communications Finance Co. 10.875% 6/1/20 (f) | 2,395 | 2,455 | ||
Eileme 1 AB 14.25% 8/15/20 (f) | 4,730 | 4,494 | ||
Eileme 2 AB 11.625% 1/31/20 (f) | 9,395 | 9,771 | ||
Frontier Communications Corp.: | ||||
8.5% 4/15/20 | 12,120 | 12,847 | ||
8.75% 4/15/22 | 6,585 | 6,914 | ||
Level 3 Financing, Inc.: | ||||
8.125% 7/1/19 | 3,845 | 3,941 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Level 3 Financing, Inc.: - continued | ||||
8.625% 7/15/20 | $ 8,760 | $ 9,176 | ||
10% 2/1/18 | 3,845 | 4,162 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 26,575 | 21,358 | ||
8.75% 3/15/32 | 29,406 | 26,759 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 2,535 | 2,522 | ||
7.25% 9/15/25 | 535 | 587 | ||
7.25% 10/15/35 | 1,455 | 1,491 | ||
7.5% 6/15/23 | 460 | 461 | ||
Wind Acquisition Finance SA 11.75% 7/15/17 (f) | 4,720 | 3,811 | ||
| 135,813 | |||
Wireless Telecommunication Services - 2.1% | ||||
Clearwire Escrow Corp. 12% 12/1/15 (f) | 9,205 | 8,331 | ||
Cricket Communications, Inc. 7.75% 10/15/20 | 7,758 | 7,409 | ||
Digicel Group Ltd.: | ||||
7% 2/15/20 (f) | 980 | 943 | ||
8.25% 9/1/17 (f) | 10,205 | 10,460 | ||
8.875% 1/15/15 (f) | 34,965 | 35,315 | ||
9.125% 1/15/15 pay-in-kind (f)(k) | 19,575 | 19,771 | ||
10.5% 4/15/18 (f) | 34,610 | 36,167 | ||
12% 4/1/14 (f) | 9,725 | 10,795 | ||
Intelsat Jackson Holdings SA: | ||||
7.25% 4/1/19 | 11,235 | 11,853 | ||
7.25% 10/15/20 (f) | 15,330 | 16,097 | ||
7.5% 4/1/21 | 27,065 | 28,689 | ||
8.5% 11/1/19 | 4,220 | 4,684 | ||
MetroPCS Wireless, Inc. 7.875% 9/1/18 | 3,933 | 4,080 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (f) | 9,355 | 10,735 | ||
NII Capital Corp.: | ||||
7.625% 4/1/21 | 8,685 | 7,404 | ||
8.875% 12/15/19 | 2,303 | 2,096 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (f) | 11,684 | 11,363 | ||
Telemovil Finance Co. Ltd. 8% 10/1/17 (f) | 7,050 | 7,253 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Vimpel Communications OJSC 7.748% 2/2/21 | $ 3,915 | $ 3,768 | ||
VimpelCom Holdings BV 7.5043% 3/1/22 (f) | 3,095 | 2,902 | ||
| 240,115 | |||
TOTAL TELECOMMUNICATION SERVICES | 375,928 | |||
UTILITIES - 2.9% | ||||
Electric Utilities - 0.3% | ||||
Aguila 3 SA 7.875% 1/31/18 (f) | 2,890 | 2,977 | ||
Chivor SA E.S.P. 9.75% 12/30/14 (f) | 2,355 | 2,726 | ||
Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (f) | 3,784 | 1,324 | ||
InterGen NV 9% 6/30/17 (f) | 4,155 | 4,072 | ||
Majapahit Holding BV: | ||||
7.75% 1/20/20 (f) | 3,370 | 4,019 | ||
8% 8/7/19 (f) | 1,805 | 2,166 | ||
Mirant Americas Generation LLC 9.125% 5/1/31 | 4,075 | 3,627 | ||
National Grid Electricity Transmission PLC 4% 6/8/27 | GBP | 2,000 | 3,153 | |
National Power Corp. 6.875% 11/2/16 (f) | 1,890 | 2,174 | ||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. 11.5% 10/1/20 (f) | 15,215 | 10,384 | ||
| 36,622 | |||
Gas Utilities - 0.3% | ||||
Holly Energy Partners LP/Holly Finance Corp. 6.5% 3/1/20 (f) | 4,875 | 4,924 | ||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 1,985 | 2,134 | ||
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | 6,645 | 8,059 | ||
8% 3/1/32 | 3,550 | 4,604 | ||
Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17 | 2,435 | 2,386 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (f) | 14,815 | 10,111 | ||
| 32,218 | |||
Independent Power Producers & Energy Traders - 2.2% | ||||
Atlantic Power Corp. 9% 11/15/18 (f) | 9,120 | 9,325 | ||
Calpine Corp.: | ||||
7.5% 2/15/21 (f) | 6,325 | 6,847 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
Calpine Corp.: - continued | ||||
7.875% 7/31/20 (f) | $ 16,935 | $ 18,544 | ||
7.875% 1/15/23 (f) | 26,885 | 29,506 | ||
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 (f) | 9,305 | 10,329 | ||
Energy Future Holdings Corp.: | ||||
10% 1/15/20 | 11,210 | 12,051 | ||
10.875% 11/1/17 | 3,470 | 2,941 | ||
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: | ||||
10% 12/1/20 | 53,863 | 58,980 | ||
11% 10/1/21 | 30,866 | 29,863 | ||
11.75% 3/1/22 (f) | 26,135 | 26,723 | ||
GenOn Energy, Inc.: | ||||
9.5% 10/15/18 | 3,080 | 3,045 | ||
9.875% 10/15/20 | 11,570 | 11,281 | ||
Listrindo Capital BV 6.95% 2/21/19 (f) | 2,440 | 2,513 | ||
NRG Energy, Inc.: | ||||
7.625% 5/15/19 | 3,465 | 3,526 | ||
7.875% 5/15/21 | 4,075 | 4,106 | ||
Power Sector Assets and Liabilities Management Corp. 7.39% 12/2/24 (f) | 2,880 | 3,708 | ||
TXU Corp.: | ||||
5.55% 11/15/14 | 1,860 | 1,335 | ||
6.5% 11/15/24 | 11,785 | 5,627 | ||
6.55% 11/15/34 | 30,155 | 13,796 | ||
| 254,046 | |||
Multi-Utilities - 0.1% | ||||
Centrica PLC 4.375% 3/13/29 | GBP | 2,300 | 3,733 | |
Puget Energy, Inc. 5.625% 7/15/22 (f) | 3,690 | 3,842 | ||
| 7,575 | |||
TOTAL UTILITIES | 330,461 | |||
TOTAL NONCONVERTIBLE BONDS | 4,033,408 | |||
TOTAL CORPORATE BONDS (Cost $3,833,399) |
| |||
U.S. Government and Government Agency Obligations - 22.4% | ||||
| Principal | Value | ||
U.S. Government Agency Obligations - 1.6% | ||||
Fannie Mae: | ||||
0.5% 5/27/15 | $ 4,403 | $ 4,400 | ||
0.5% 7/2/15 | 89,439 | 89,328 | ||
Federal Home Loan Bank: | ||||
0.375% 11/27/13 | 4,550 | 4,553 | ||
0.875% 8/22/12 | 4,890 | 4,895 | ||
0.875% 12/27/13 | 775 | 781 | ||
1% 6/21/17 | 8,670 | 8,681 | ||
Freddie Mac: | ||||
0.625% 12/29/14 | 5,867 | 5,890 | ||
0.75% 11/25/14 | 2,130 | 2,146 | ||
1% 7/30/14 | 5,053 | 5,115 | ||
1% 8/27/14 | 4,688 | 4,752 | ||
1.25% 5/12/17 | 27,800 | 28,181 | ||
Private Export Funding Corp. secured 4.974% 8/15/13 | 1,515 | 1,594 | ||
Small Business Administration guaranteed development participation certificates Series 2003-P10B, Class 1 5.136% 8/10/13 | 197 | 204 | ||
Tennessee Valley Authority: | ||||
5.25% 9/15/39 | 5,600 | 7,357 | ||
5.375% 4/1/56 | 7,000 | 9,612 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 177,489 | |||
U.S. Treasury Inflation Protected Obligations - 0.1% | ||||
U.S. Treasury Inflation-Indexed Bonds 0.75% 2/15/42 | 10,456 | 11,028 | ||
U.S. Treasury Obligations - 19.7% | ||||
U.S. Treasury Bonds: | ||||
3% 5/15/42 | 32,905 | 34,540 | ||
3.125% 2/15/42 | 24,786 | 26,672 | ||
3.75% 8/15/41 | 46,485 | 56,152 | ||
4.375% 5/15/41 | 105,196 | 140,709 | ||
5.25% 2/15/29 | 26,473 | 37,377 | ||
5.375% 2/15/31 | 37,677 | 54,955 | ||
6.125% 8/15/29 (j) | 14,487 | 22,398 | ||
7.5% 11/15/16 | 2,850 | 3,688 | ||
7.5% 11/15/24 | 10,690 | 17,289 | ||
7.625% 2/15/25 | 11,000 | 18,021 | ||
7.875% 2/15/21 | 6,800 | 10,409 | ||
8.125% 5/15/21 | 9,286 | 14,496 | ||
9.875% 11/15/15 | 11,595 | 15,229 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: | ||||
0.125% 8/31/13 | $ 68,900 | $ 68,784 | ||
0.125% 12/31/13 | 49,608 | 49,478 | ||
0.25% 1/31/14 | 62,366 | 62,312 | ||
0.25% 2/28/14 | 62,000 | 61,942 | ||
0.25% 4/30/14 | 134,903 | 134,750 | ||
0.25% 5/31/14 | 51,462 | 51,402 | ||
0.25% 9/15/14 | 42,885 | 42,795 | ||
0.25% 12/15/14 | 10,000 | 9,975 | ||
0.25% 2/15/15 | 28,044 | 27,948 | ||
0.25% 5/15/15 | 78,115 | 77,792 | ||
0.375% 6/30/13 | 13,766 | 13,783 | ||
0.375% 7/31/13 | 34,050 | 34,091 | ||
0.5% 8/15/14 | 47,582 | 47,746 | ||
0.625% 7/15/14 | 40,964 | 41,204 | ||
0.625% 5/31/17 | 60,724 | 60,473 | ||
0.75% 6/15/14 | 15,459 | 15,588 | ||
0.75% 6/30/17 | 20,000 | 20,030 | ||
0.875% 11/30/16 | 24,887 | 25,144 | ||
0.875% 4/30/17 | 8,941 | 9,014 | ||
1% 9/30/16 | 85,787 | 87,154 | ||
1% 10/31/16 | 38,000 | 38,591 | ||
1% 6/30/19 | 126,518 | 125,589 | ||
1.25% 10/31/15 | 13,777 | 14,121 | ||
1.375% 11/30/15 | 14,493 | 14,923 | ||
1.75% 5/15/22 | 17,078 | 17,233 | ||
1.875% 6/30/15 | 17,707 | 18,465 | ||
1.875% 8/31/17 | 7,700 | 8,127 | ||
1.875% 9/30/17 | 5,400 | 5,699 | ||
1.875% 10/31/17 | 13,764 | 14,529 | ||
2% 2/15/22 | 41,294 | 42,717 | ||
2.125% 11/30/14 | 49,092 | 51,163 | ||
2.125% 5/31/15 | 4,493 | 4,714 | ||
2.125% 8/15/21 | 28,789 | 30,285 | ||
2.375% 8/31/14 | 13,000 | 13,568 | ||
2.375% 9/30/14 | 8,471 | 8,858 | ||
2.375% 10/31/14 | 49,620 | 51,938 | ||
2.375% 2/28/15 | 55,000 | 57,888 | ||
2.375% 7/31/17 | 20,000 | 21,608 | ||
2.375% 6/30/18 | 27,978 | 30,350 | ||
2.5% 3/31/15 | 58,749 | 62,127 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
2.625% 7/31/14 | $ 12,927 | $ 13,537 | ||
2.625% 4/30/16 | 3,137 | 3,383 | ||
2.75% 11/30/16 | 10,000 | 10,913 | ||
3% 9/30/16 | 8,408 | 9,244 | ||
3% 2/28/17 | 66,584 | 73,617 | ||
3.125% 10/31/16 | 20,033 | 22,155 | ||
3.125% 1/31/17 | 30,990 | 34,399 | ||
3.125% 5/15/19 | 16,237 | 18,465 | ||
4.5% 5/15/17 | 13,745 | 16,222 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 2,227,768 | |||
Other Government Related - 1.0% | ||||
General Electric Capital Corp.: | ||||
2.125% 12/21/12 (FDIC Guaranteed) (h) | 15,000 | 15,129 | ||
2.625% 12/28/12 (FDIC Guaranteed) (h) | 5,402 | 5,463 | ||
National Credit Union Administration Guaranteed Notes: | ||||
Series 2010-A1 Class A, 0.5888% 12/7/20 (NCUA Guaranteed) (k) | 4,308 | 4,323 | ||
Series 2011-R1 Class 1A, 0.6888% 1/8/20 (NCUA Guaranteed) (k) | 6,825 | 6,839 | ||
Series 2011-R4 Class 1A, 0.6188% 3/6/20 (NCUA Guaranteed) (k) | 3,930 | 3,931 | ||
National Credit Union Administration Guaranteed Notes Master Trust: | ||||
1.4% 6/12/15 (NCUA Guaranteed) | 3,550 | 3,620 | ||
2.35% 6/12/17 (NCUA Guaranteed) | 31,000 | 32,752 | ||
3% 6/12/19 (NCUA Guaranteed) | 18,004 | 19,767 | ||
3.45% 6/12/21 (NCUA Guaranteed) | 25,300 | 28,226 | ||
TOTAL OTHER GOVERNMENT RELATED | 120,050 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,423,123) |
| |||
U.S. Government Agency - Mortgage Securities - 3.5% | ||||
| ||||
Fannie Mae - 1.4% | ||||
2.122% 10/1/35 (k) | 82 | 85 | ||
2.172% 11/1/35 (k) | 798 | 840 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value | ||
Fannie Mae - continued | ||||
2.223% 11/1/33 (k) | $ 149 | $ 158 | ||
2.293% 9/1/33 (k) | 661 | 693 | ||
2.32% 6/1/36 (k) | 53 | 57 | ||
2.384% 2/1/36 (k) | 151 | 160 | ||
2.388% 1/1/35 (k) | 371 | 395 | ||
2.393% 9/1/36 (k) | 182 | 195 | ||
2.525% 3/1/33 (k) | 182 | 194 | ||
2.609% 11/1/36 (k) | 62 | 67 | ||
2.63% 2/1/37 (k) | 712 | 763 | ||
2.63% 6/1/47 (k) | 196 | 210 | ||
2.688% 7/1/35 (k) | 330 | 353 | ||
2.763% 5/1/36 (k) | 98 | 105 | ||
2.975% 8/1/35 (k) | 1,018 | 1,088 | ||
2.996% 4/1/36 (k) | 567 | 608 | ||
3.5% 1/1/26 to 9/1/26 | 174 | 186 | ||
3.5% 7/1/42 (i) | 3,800 | 3,995 | ||
4% 6/1/42 to 7/1/42 | 17,525 | 18,915 | ||
4% 7/1/42 (i) | 79,000 | 84,089 | ||
4% 7/1/42 (i) | 18,100 | 19,266 | ||
4% 7/1/42 (i) | 18,100 | 19,266 | ||
4.5% 8/1/41 | 928 | 1,009 | ||
5% 5/1/22 | 18 | 20 | ||
5.5% 5/1/15 to 4/1/21 | 6,326 | 6,882 | ||
5.984% 3/1/37 (k) | 98 | 105 | ||
6% 6/1/16 to 10/1/38 | 1,009 | 1,106 | ||
6.5% 12/1/12 to 5/1/27 | 499 | 551 | ||
7.5% 1/1/28 | 33 | 39 | ||
TOTAL FANNIE MAE | 161,400 | |||
Freddie Mac - 0.6% | ||||
2.139% 1/1/36 (k) | 98 | 103 | ||
2.149% 3/1/35 (k) | 193 | 200 | ||
2.2% 3/1/37 (k) | 51 | 53 | ||
2.203% 6/1/33 (k) | 416 | 435 | ||
2.312% 2/1/37 (k) | 82 | 86 | ||
2.35% 7/1/35 (k) | 479 | 511 | ||
2.357% 5/1/37 (k) | 117 | 124 | ||
2.375% 5/1/37 (k) | 84 | 87 | ||
2.451% 1/1/37 (k) | 467 | 496 | ||
2.478% 6/1/37 (k) | 43 | 45 | ||
2.492% 4/1/35 (k) | 57 | 60 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value | ||
Freddie Mac - continued | ||||
2.512% 2/1/36 (k) | $ 19 | $ 20 | ||
2.638% 4/1/37 (k) | 150 | 160 | ||
2.64% 10/1/35 (k) | 409 | 435 | ||
2.651% 6/1/37 (k) | 339 | 364 | ||
2.667% 10/1/36 (k) | 512 | 545 | ||
2.712% 5/1/37 (k) | 1,387 | 1,488 | ||
2.743% 5/1/37 (k) | 754 | 807 | ||
2.795% 7/1/36 (k) | 178 | 191 | ||
2.798% 7/1/35 (k) | 348 | 372 | ||
2.865% 9/1/35 (k) | 86 | 92 | ||
2.97% 4/1/37 (k) | 9 | 9 | ||
3.446% 10/1/35 (k) | 75 | 81 | ||
3.949% 6/1/37 (k) | 84 | 90 | ||
4% 3/1/42 to 5/1/42 | 23,817 | 25,693 | ||
4.5% 8/1/33 to 10/1/41 | 6,894 | 7,423 | ||
5.5% 11/1/18 to 7/1/35 | 21,289 | 23,159 | ||
5.919% 8/1/37 (k) | 173 | 180 | ||
6.5% 2/1/13 to 3/1/22 | 1,997 | 2,177 | ||
8.5% 3/1/20 | 3 | 3 | ||
TOTAL FREDDIE MAC | 65,489 | |||
Ginnie Mae - 1.5% | ||||
4% 9/15/25 | 880 | 951 | ||
4.5% 3/15/25 to 6/15/25 | 9,837 | 10,677 | ||
4.515% 3/20/62 (p) | 12,089 | 13,484 | ||
4.55% 5/20/62 (p) | 21,715 | 24,272 | ||
4.556% 12/20/61 (p) | 12,865 | 14,332 | ||
4.604% 3/20/62 (p) | 6,272 | 7,019 | ||
4.626% 3/20/62 (p) | 4,424 | 4,949 | ||
4.65% 3/20/62 (p) | 3,944 | 4,420 | ||
4.684% 1/20/62 (p) | 13,789 | 15,441 | ||
4.751% 12/20/60 (p) | 3,434 | 3,817 | ||
4.804% 3/20/61 (p) | 8,161 | 9,113 | ||
4.834% 3/20/61 (p) | 14,204 | 15,883 | ||
5.492% 4/20/60 (p) | 9,276 | 10,513 | ||
5.5% 2/20/60 (p) | 20,089 | 22,362 | ||
5.612% 4/20/58 (p) | 5,769 | 6,144 | ||
7% 9/15/25 to 8/15/31 | 38 | 43 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value | ||
Ginnie Mae - continued | ||||
7.5% 2/15/22 to 8/15/28 | $ 78 | $ 90 | ||
8% 9/15/26 to 12/15/26 | 10 | 11 | ||
TOTAL GINNIE MAE | 163,521 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $385,372) |
| |||
Asset-Backed Securities - 0.0% | ||||
| ||||
Clock Finance BV Series 2007-1: | ||||
Class B2, 0.9% 2/25/15 (k) | EUR | 700 | 870 | |
Class C2, 1.08% 2/25/15 (k) | EUR | 400 | 492 | |
Leek Finance PLC: | ||||
Series 17X Class A2A, 1.1953% 12/21/37 (k) | GBP | 157 | 241 | |
Series 18X Class BC, 1.457% 9/21/38 (k) | EUR | 600 | 671 | |
TOTAL ASSET-BACKED SECURITIES (Cost $2,504) |
| |||
Collateralized Mortgage Obligations - 3.9% | ||||
| ||||
U.S. Government Agency - 3.9% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2008-76 Class EF, 0.7453% 9/25/23 (k) | 1,520 | 1,526 | ||
Series 2010-15 Class FJ, 1.1753% 6/25/36 (k) | 12,726 | 12,935 | ||
Series 2010-86 Class FE, 0.6953% 8/25/25 (k) | 1,863 | 1,873 | ||
Series 2011-104 Class FK, 0.6153% 3/25/39 (k) | 8,566 | 8,564 | ||
Series 2011-63 Class FL, 0.6453% 7/25/41 (k) | 14,069 | 14,144 | ||
planned amortization: | ||||
Series 2005-19 Class PA, 5.5% 7/25/34 | 3,759 | 4,143 | ||
Series 2005-64 Class PX, 5.5% 6/25/35 | 3,696 | 4,129 | ||
planned amortization class: | ||||
Series 2002-9 Class PC, 6% 3/25/17 | 61 | 65 | ||
Series 2003-113 Class PE, 4% 11/25/18 | 1,515 | 1,615 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 890 | 997 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 1,104 | 1,135 | ||
Series 2005-52 Class PB, 6.5% 12/25/34 | 587 | 623 | ||
Series 2010-118 Class PB, 4.5% 10/25/40 | 3,310 | 3,685 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 210 | 226 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
sequential payer: | ||||
Series 2004-91 Class Z, 5% 12/25/34 | $ 4,774 | $ 5,385 | ||
Series 2004-95 Class AN, 5.5% 1/25/25 | 787 | 828 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 808 | 909 | ||
Series 2005-14 Class ZB, 5% 3/25/35 | 2,076 | 2,333 | ||
Series 2005-47 Class HK, 4.5% 6/25/20 | 3,680 | 3,992 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 2,480 | 2,857 | ||
Series 2007-113 Class DB, 4.5% 12/25/22 | 5,060 | 5,628 | ||
Series 2009-14 Class EB, 4.5% 3/25/24 | 3,710 | 4,032 | ||
Series 2010-97 Class CX, 4.5% 9/25/25 | 5,300 | 6,087 | ||
Series 2009-82 Class FD, 1.0953% 10/25/39 (k) | 5,640 | 5,740 | ||
Series 2009-85 Class IB, 4.5% 8/25/24 (m) | 1,121 | 93 | ||
Series 2009-93 Class IC, 4.5% 9/25/24 (m) | 1,918 | 151 | ||
Series 2010-109 Class IM, 5.5% 9/25/40 (m) | 8,961 | 1,328 | ||
Series 2010-139 Class NI, 4.5% 2/25/40 (m) | 4,899 | 796 | ||
Series 2010-39 Class FG, 1.1653% 3/25/36 (k) | 6,925 | 7,065 | ||
Series 2010-97 Class CI, 4.5% 8/25/25 (m) | 3,918 | 306 | ||
Series 2011-67 Class AI, 4% 7/25/26 (m) | 2,201 | 219 | ||
Federal National Mortgage Association planned amortization class Series 2011-126 Class KB, 4% 12/25/41 | 3,844 | 4,192 | ||
FHMLC Multi-class participation certificates guaranteed floater Series 3835 Class FC, 0.5918% 5/15/38 (k) | 14,118 | 14,131 | ||
Freddie Mac: | ||||
floater: | ||||
Series 240 Class F30, 0.5418% 7/15/36 (k) | 10,783 | 10,789 | ||
Series 2630 Class FL, 0.7418% 6/15/18 (k) | 56 | 56 | ||
Series 2711 Class FC, 1.1418% 2/15/33 (k) | 4,670 | 4,746 | ||
Series 3419 Class FD, 1.0118% 2/15/38 (k) | 5,639 | 5,731 | ||
planned amortization class: | ||||
Series 2101 Class PD, 6% 11/15/28 | 131 | 145 | ||
Series 2115 Class PE, 6% 1/15/14 | 19 | 19 | ||
Series 2376 Class JE, 5.5% 11/15/16 | 226 | 241 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 143 | 152 | ||
Series 2425 Class JH, 6% 3/15/17 | 288 | 310 | ||
Series 2672 Class MG, 5% 9/15/23 | 3,360 | 3,872 | ||
Series 2684 Class FP, 0.7418% 1/15/33 (k) | 7,238 | 7,265 | ||
Series 2695 Class DG, 4% 10/15/18 | 3,865 | 4,092 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 366 | 408 | ||
Series 3737 Class GB, 4.5% 4/15/39 | 6,770 | 7,618 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | $ 370 | $ 411 | ||
Series 2570 Class CU, 4.5% 7/15/17 | 9 | 9 | ||
Series 2627 Class BG, 3.25% 6/15/17 | 17 | 17 | ||
Series 2877 Class ZD, 5% 10/15/34 | 6,201 | 6,952 | ||
Series 2987 Class HE, 4.5% 6/15/20 | 4,420 | 4,702 | ||
Series 3277 Class B, 4% 2/15/22 | 2,800 | 3,057 | ||
Series 3372 Class BD, 4.5% 10/15/22 | 9,606 | 10,622 | ||
Series 3578, Class B, 4.5% 9/15/24 | 3,740 | 4,089 | ||
Series 2715 Class NG, 4.5% 12/15/18 | 2,155 | 2,326 | ||
Ginnie Mae Series 2012-64 Class KB 3.035% 5/20/41 (k) | 2,979 | 3,218 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2008-2 Class FD, 0.7198% 1/20/38 (k) | 603 | 606 | ||
Series 2007-59 Class FC, 0.7398% 7/20/37 (k) | 2,223 | 2,240 | ||
Series 2008-73 Class FA, 1.0998% 8/20/38 (k) | 3,422 | 3,482 | ||
Series 2008-83 Class FB, 1.1398% 9/20/38 (k) | 3,344 | 3,404 | ||
Series 2010-14 Class QF, 0.6928% 2/16/40 (k) | 12,952 | 13,075 | ||
Series 2010-H17 Class FA, 0.5688% 7/20/60 (k)(p) | 6,519 | 6,438 | ||
Series 2010-H18 Class AF, 0.5413% 9/20/60 (k)(p) | 6,938 | 6,851 | ||
Series 2010-H19 Class FG, 0.5413% 8/20/60 (k)(p) | 8,693 | 8,584 | ||
Series 2010-H27 Series FA, 0.6213% 12/20/60 (k)(p) | 2,595 | 2,573 | ||
Series 2011-H03 Class FA, 0.7413% 1/20/61 (k)(p) | 8,547 | 8,529 | ||
Series 2011-H05 Class FA, 0.7413% 12/20/60 (k)(p) | 4,825 | 4,816 | ||
Series 2011-H07 Class FA, 0.7413% 2/20/61 (k)(p) | 7,820 | 7,804 | ||
Series 2011-H12 Class FA, 0.7313% 2/20/61 (k)(p) | 10,416 | 10,390 | ||
Series 2011-H13 Class FA, 0.7413% 4/20/61 (k)(p) | 4,311 | 4,302 | ||
Series 2011-H14: | ||||
Class FB, 0.7413% 5/20/61 (k)(p) | 4,773 | 4,763 | ||
Class FC, 0.7413% 5/20/61 (k)(p) | 4,874 | 4,864 | ||
Series 2011-H17 Class FA, 0.7713% 6/20/61 (k)(p) | 6,392 | 6,389 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: | ||||
Series 2011-H21 Class FA, 0.8413% 10/20/61 (k)(p) | $ 7,139 | $ 7,160 | ||
Series 2012-H01 Class FA, 0.9413% 11/20/61 (k)(p) | 5,701 | 5,749 | ||
Series 2012-H03 Class FA, 0.9413% 1/20/62 (k)(p) | 3,493 | 3,523 | ||
Series 2012-H06 Class FA, 0.8713% 1/20/62 (k)(p) | 5,477 | 5,503 | ||
Series 2012-H07 Class FA, 0.8713% 3/20/62 (k)(p) | 3,232 | 3,248 | ||
planned amortization Series 2011-61 Class OP, 5/20/40 (n) | 4,845 | 4,426 | ||
planned amortization class: | ||||
Series 2010-112 Class PM 3.25% 9/20/33 | 1,719 | 1,775 | ||
Series 2010-99 Class PT, 3.5% 8/20/33 | 2,089 | 2,165 | ||
Series 2011-79 Class PO, 6/20/40 (n) | 8,365 | 7,631 | ||
sequential payer Series 2011-69 Class GX, 4.5% 5/16/40 | 4,910 | 5,527 | ||
Series 2010-42 Class OP, 4/20/40 (n) | 11,023 | 10,055 | ||
Series 2010-H13 Class JA, 5.46% 10/20/59 (p) | 9,683 | 10,646 | ||
Series 2010-H15 Class TP, 5.15% 8/20/60 (p) | 11,639 | 13,106 | ||
Series 2010-H17 Class XP, 5.302% 7/20/60 (p) | 16,912 | 19,080 | ||
Series 2010-H18 Class PL, 5.01% 9/20/60 (p) | 12,768 | 14,302 | ||
Series 2011-71: | ||||
Class ZB, 5.5% 8/20/34 | 10,124 | 12,216 | ||
Class ZC, 5.5% 7/16/34 | 11,542 | 13,744 | ||
Government National Mortgage Association: | ||||
floater sequential payer Series 2011-150 Class D, 3% 4/20/37 | 2,463 | 2,529 | ||
planned amortization class Series 2011-136 Class WI, 4.5% 5/20/40 (m) | 2,667 | 530 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $436,612) |
| |||
Commercial Mortgage Securities - 0.9% | ||||
| Principal | Value | ||
Canary Wharf Finance II PLC Series 3MUK Class C2, 1.5644% 10/22/37 (k) | GBP | 1,000 | $ 952 | |
Freddie Mac: | ||||
pass-thru certificates Series K708 Class A1, 1.67% 10/25/18 | 3,550 | 3,618 | ||
sequential payer: | ||||
Series K009 Class A2, 3.808% 8/25/20 | 3,310 | 3,674 | ||
Series K006 Class A2, 4.251% 1/25/20 | 14,020 | 15,920 | ||
Series K017 Class A2, 2.873% 12/25/21 | 15,590 | 16,275 | ||
Series K705 Class A1, 1.626% 7/25/18 | 9,546 | 9,717 | ||
Series K706: | ||||
Class A1, 1.691% 6/25/18 | 7,302 | 7,440 | ||
Class A2, 2.323% 10/25/18 | 13,350 | 13,804 | ||
Series K709 Class A1, 1.56% 10/25/18 | 5,660 | 5,752 | ||
Freddie Mac Multi-Class pass-thru certificates: | ||||
floater Series K707 Class A2, 2.22% 12/25/18 | 12,110 | 12,423 | ||
Series K501 Class A2, 1.655% 11/25/16 | 5,440 | 5,550 | ||
German Residential Asset Note Distributor PLC Series 1 Class A, 0.981% 7/20/16 (k) | EUR | 1,112 | 1,288 | |
REC Plantation Place Ltd. Series 5 Class A, 1.2431% 7/25/16 (Reg. S) (k) | GBP | 861 | 1,294 | |
Skyline BV Series 2007-1 Class D, 1.547% 7/22/43 (k) | EUR | 1,100 | 1,384 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $98,742) |
| |||
Foreign Government and Government Agency Obligations - 21.8% | ||||
| ||||
Arab Republic of Egypt 6.875% 4/30/40 (f) | 1,425 | 1,226 | ||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 12,297 | 8,054 | ||
0.785% 8/3/12 (k) | 8,833 | 8,706 | ||
2.5% 12/31/38 (e) | 13,225 | 4,265 | ||
7% 9/12/13 | 28,210 | 24,858 | ||
7% 10/3/15 | 30,200 | 22,846 | ||
Bahamian Republic 6.95% 11/20/29 (f) | 3,450 | 4,002 | ||
Banco Central del Uruguay: | ||||
value recovery A rights 1/2/21 (o) | 500,000 | 0 | ||
value recovery B rights 1/2/21 (o) | 750,000 | 0 | ||
Belarus Republic: | ||||
8.75% 8/3/15 (Reg. S) | 14,210 | 13,890 | ||
8.95% 1/26/18 | 6,220 | 5,730 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Brazilian Federative Republic: | ||||
7.125% 1/20/37 | $ 7,325 | $ 10,594 | ||
8.25% 1/20/34 | 5,230 | 8,263 | ||
8.75% 2/4/25 | 1,645 | 2,550 | ||
10.125% 5/15/27 | 7,345 | 12,468 | ||
12.25% 3/6/30 | 4,560 | 9,017 | ||
Canadian Government: | ||||
1% 2/1/14 | CAD | 44,750 | 43,939 | |
1.5% 12/1/12 | CAD | 20,550 | 20,232 | |
2% 6/1/16 | CAD | 90,500 | 91,544 | |
3.25% 6/1/21 | CAD | 39,350 | 43,804 | |
5% 6/1/37 | CAD | 32,550 | 47,772 | |
Central Bank of Nigeria warrants 11/15/20 (a)(o) | 2,750 | 495 | ||
City of Buenos Aires 12.5% 4/6/15 (f) | 13,855 | 12,054 | ||
Colombian Republic: | ||||
4.375% 7/12/21 | 1,615 | 1,821 | ||
6.125% 1/18/41 | 3,890 | 5,106 | ||
7.375% 9/18/37 | 6,100 | 9,059 | ||
10.375% 1/28/33 | 6,730 | 12,013 | ||
11.75% 2/25/20 | 2,910 | 4,671 | ||
Congo Republic 3% 6/30/29 (e) | 11,015 | 8,151 | ||
Croatia Republic: | ||||
6.25% 4/27/17 (f) | 11,075 | 11,020 | ||
6.375% 3/24/21 (f) | 5,415 | 5,246 | ||
6.625% 7/14/20 (f) | 4,855 | 4,794 | ||
6.75% 11/5/19 (f) | 5,885 | 5,944 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
6.25% 10/4/20 (f) | 7,435 | 7,602 | ||
6.25% 7/27/21 (f) | 3,640 | 3,713 | ||
7.4% 1/22/15 (f) | 5,470 | 5,867 | ||
Dominican Republic: | ||||
1.2754% 8/30/24 (k) | 5,813 | 5,232 | ||
7.5% 5/6/21 (f) | 6,865 | 7,328 | ||
9.04% 1/23/18 (f) | 3,071 | 3,447 | ||
El Salvador Republic: | ||||
7.375% 12/1/19 (f) | 1,865 | 2,061 | ||
7.625% 2/1/41 (f) | 2,045 | 2,150 | ||
7.65% 6/15/35 (Reg. S) | 2,435 | 2,557 | ||
8.25% 4/10/32 (Reg. S) | 1,435 | 1,600 | ||
European Economic Community 2.75% 4/4/22 (Reg. S) | EUR | 2,375 | 3,068 | |
European Union 3.375% 5/10/19 | EUR | 7,900 | 10,935 | |
Finnish Government 2.75% 7/4/28 | EUR | 5,950 | 7,704 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
French Government: | ||||
OAT: | ||||
3% 4/25/22 | EUR | 56,150 | $ 72,862 | |
4.5% 4/25/41 | EUR | 8,535 | 12,579 | |
2.5% 7/25/16 | EUR | 13,350 | 17,758 | |
4% 4/25/18 | EUR | 19,000 | 27,012 | |
4% 4/25/55 | EUR | 5,750 | 7,891 | |
Gabonese Republic 8.2% 12/12/17 (f) | 2,000 | 2,375 | ||
Georgia Republic 6.875% 4/12/21 (f) | 6,670 | 7,104 | ||
German Federal Republic: | ||||
0.75% 2/24/17 | EUR | 62,100 | 79,157 | |
1.75% 6/14/13 | EUR | 18,150 | 23,337 | |
2.5% 2/27/15 | EUR | 64,600 | 86,733 | |
3.25% 7/4/21 | EUR | 64,615 | 94,309 | |
3.25% 7/4/42 | EUR | 15,105 | 22,866 | |
Ghana Republic: | ||||
8.5% 10/4/17 (f) | 3,040 | 3,374 | ||
14.25% 7/29/13 | GHS | 3,400 | 1,629 | |
14.99% 3/11/13 | GHS | 9,468 | 4,669 | |
15.65% 6/3/13 | GHS | 1,965 | 962 | |
Government of Bermuda 4.138% 1/3/23 (f) | 1,990 | 2,020 | ||
Guatemalan Republic 5.75% 6/6/22 (f) | 2,860 | 2,960 | ||
Hungarian Republic: | ||||
4.75% 2/3/15 | 15,585 | 14,962 | ||
7.625% 3/29/41 | 8,835 | 8,658 | ||
Indonesian Republic: | ||||
4.875% 5/5/21 (f) | 7,605 | 8,270 | ||
5.25% 1/17/42 (f) | 6,585 | 6,873 | ||
5.875% 3/13/20 (f) | 7,290 | 8,365 | ||
6.625% 2/17/37 (f) | 5,025 | 6,206 | ||
6.875% 1/17/18 (f) | 4,330 | 5,120 | ||
7.75% 1/17/38 (f) | 7,700 | 10,607 | ||
8.5% 10/12/35 (Reg. S) | 7,615 | 11,118 | ||
11.625% 3/4/19 (f) | 8,270 | 12,136 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (f) | 12,935 | 11,189 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development): | ||||
5.5% 9/18/23 | 26,802 | 35,105 | ||
5.5% 12/4/23 | 12,355 | 16,260 | ||
Italian Republic: | ||||
4% 2/1/17 | EUR | 47,000 | 57,554 | |
4.25% 8/1/14 | EUR | 48,000 | 61,250 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Italian Republic: - continued | ||||
4.25% 3/1/20 | EUR | 35,500 | $ 41,587 | |
5% 3/1/22 | EUR | 52,000 | 62,783 | |
5% 9/1/40 | EUR | 24,675 | 26,219 | |
Japan Government: | ||||
0.2% 7/15/12 | JPY | 2,949,400 | 36,898 | |
1.1% 6/20/20 | JPY | 6,300,000 | 82,000 | |
1.8% 6/20/18 | JPY | 4,455,000 | 60,564 | |
1.9% 9/20/30 | JPY | 3,730,000 | 48,906 | |
2% 9/20/40 | JPY | 1,100,000 | 14,115 | |
Jordanian Kingdom 3.875% 11/12/15 | 2,235 | 2,168 | ||
Latvian Republic 5.25% 2/22/17 (f) | 5,530 | 5,730 | ||
Lebanese Republic: | ||||
4% 12/31/17 | 11,561 | 11,330 | ||
5.15% 11/12/18 | 1,425 | 1,407 | ||
Lithuanian Republic: | ||||
6.125% 3/9/21 (f) | 5,290 | 5,806 | ||
6.625% 2/1/22 (f) | 3,795 | 4,345 | ||
7.375% 2/11/20 (f) | 5,755 | 6,820 | ||
Peruvian Republic: | ||||
3% 3/7/27 (e) | 5,671 | 5,444 | ||
5.625% 11/18/50 | 4,140 | 5,040 | ||
7.35% 7/21/25 | 2,825 | 3,955 | ||
8.75% 11/21/33 | 7,650 | 12,565 | ||
Philippine Republic: | ||||
7.5% 9/25/24 | 1,095 | 1,454 | ||
7.75% 1/14/31 | 5,875 | 8,357 | ||
9.5% 2/2/30 | 7,205 | 11,681 | ||
9.875% 1/15/19 | 2,590 | 3,665 | ||
10.625% 3/16/25 | 5,865 | 9,707 | ||
Polish Government: | ||||
5% 3/23/22 | 2,690 | 2,939 | ||
6.375% 7/15/19 | 6,950 | 8,201 | ||
Provincia de Cordoba 12.375% 8/17/17 (f) | 8,570 | 5,056 | ||
Republic of Iceland 5.875% 5/11/22 (f) | 4,145 | 4,073 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 13,970 | 11,525 | ||
Republic of Namibia 5.5% 11/3/21 (f) | 3,650 | 3,790 | ||
Republic of Nigeria: | ||||
0% 3/7/13 | NGN | 207,000 | 1,134 | |
6.75% 1/28/21 (f) | 2,705 | 2,921 | ||
Republic of Senegal 8.75% 5/13/21 (f) | 1,445 | 1,590 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Republic of Serbia 6.75% 11/1/24 (f) | $ 28,054 | $ 26,862 | ||
Romanian Republic 6.75% 2/7/22 (f) | 7,082 | 7,401 | ||
Russian Federation: | ||||
3.25% 4/4/17 (f) | 4,200 | 4,221 | ||
4.5% 4/4/22 (f) | 4,000 | 4,195 | ||
5.625% 4/4/42 (f) | 6,400 | 6,840 | ||
7.5% 3/31/30 (Reg. S) | 49,190 | 58,968 | ||
11% 7/24/18 (Reg. S) | 2,690 | 3,766 | ||
12.75% 6/24/28 (Reg. S) | 14,030 | 25,254 | ||
Slovakia Republic 4.375% 5/21/22 (f) | 4,165 | 4,061 | ||
State of Qatar 5.75% 1/20/42 (f) | 3,530 | 4,174 | ||
State Oil Company of Azerbaijan Republic 5.45% 2/9/17 | 1,495 | 1,536 | ||
Turkish Republic: | ||||
0% 5/15/13 | TRY | 6,415 | 3,293 | |
5.125% 3/25/22 | 3,795 | 3,961 | ||
5.625% 3/30/21 | 4,440 | 4,851 | ||
6% 1/14/41 | 5,940 | 6,252 | ||
6.25% 9/26/22 | 4,590 | 5,193 | ||
6.75% 4/3/18 | 6,910 | 7,938 | ||
6.75% 5/30/40 | 5,740 | 6,687 | ||
6.875% 3/17/36 | 12,320 | 14,523 | ||
7% 9/26/16 | 7,190 | 8,132 | ||
7.25% 3/15/15 | 7,380 | 8,136 | ||
7.25% 3/5/38 | 8,050 | 9,912 | ||
7.375% 2/5/25 | 11,505 | 14,266 | ||
7.5% 7/14/17 | 7,820 | 9,149 | ||
7.5% 11/7/19 | 5,465 | 6,620 | ||
8% 2/14/34 | 2,075 | 2,742 | ||
11.875% 1/15/30 | 5,715 | 10,123 | ||
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (f) | 6,750 | 5,670 | ||
Ukraine Government: | ||||
6.25% 6/17/16 (f) | 4,495 | 4,029 | ||
6.75% 11/14/17 (f) | 2,525 | 2,241 | ||
7.65% 6/11/13 (f) | 11,420 | 11,220 | ||
7.75% 9/23/20 (f) | 3,430 | 3,096 | ||
7.95% 2/23/21 (f) | 3,575 | 3,271 | ||
United Arab Emirates 7.75% 10/5/20 (Reg. S) | 2,145 | 2,416 | ||
United Kingdom, Great Britain and Northern Ireland: | ||||
1.75% 1/22/17 | GBP | 44,400 | 72,633 | |
4.25% 12/7/40 | GBP | 39,575 | 76,316 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
United Kingdom, Great Britain and Northern Ireland: - continued | ||||
4.5% 3/7/13 | GBP | 14,250 | $ 22,954 | |
United Mexican States: | ||||
4.75% 3/8/44 | 2,766 | 2,973 | ||
5.125% 1/15/20 | 6,198 | 7,264 | ||
5.75% 10/12/2110 | 6,256 | 7,147 | ||
6.05% 1/11/40 | 12,210 | 15,690 | ||
6.75% 9/27/34 | 10,355 | 14,083 | ||
7.5% 4/8/33 | 2,770 | 4,037 | ||
8.3% 8/15/31 | 2,600 | 4,024 | ||
Uruguay Republic: | ||||
7.875% 1/15/33 pay-in-kind | 5,795 | 8,432 | ||
8% 11/18/22 | 4,763 | 6,703 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (o) | 97,601 | 2,855 | ||
6% 12/9/20 | 4,800 | 3,264 | ||
7% 3/31/38 | 4,180 | 2,717 | ||
7.75% 10/13/19 (Reg. S) | 7,025 | 5,409 | ||
8.5% 10/8/14 | 5,855 | 5,782 | ||
9% 5/7/23 (Reg. S) | 19,535 | 15,042 | ||
9.25% 9/15/27 | 12,155 | 9,906 | ||
9.25% 5/7/28 (Reg. S) | 6,930 | 5,249 | ||
9.375% 1/13/34 | 6,605 | 5,053 | ||
10.75% 9/19/13 | 7,553 | 7,742 | ||
11.75% 10/21/26 (Reg. S) | 10,915 | 9,632 | ||
11.95% 8/5/31 (Reg. S) | 17,470 | 15,461 | ||
12.75% 8/23/22 | 22,615 | 21,710 | ||
13.625% 8/15/18 | 4,940 | 5,014 | ||
Vietnamese Socialist Republic: | ||||
1.5567% 3/12/16 (k) | 4,495 | 4,000 | ||
4% 3/12/28 (e) | 15,100 | 12,231 | ||
6.875% 1/15/16 (f) | 6,695 | 7,113 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,343,673) |
|
Common Stocks - 0.4% | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.1% | |||
Auto Components - 0.0% | |||
Remy International, Inc. | 122,400 | $ 1,842 | |
Automobiles - 0.0% | |||
General Motors Co. (a) | 6,679 | 132 | |
General Motors Co.: | |||
warrants 7/10/16 (a) | 133,743 | 1,474 | |
warrants 7/10/19 (a) | 133,743 | 907 | |
Motors Liquidation Co. GUC Trust (a) | 36,934 | 452 | |
| 2,965 | ||
Hotels, Restaurants & Leisure - 0.1% | |||
Station Holdco LLC (a)(q)(s) | 4,989,172 | 6,161 | |
Station Holdco LLC warrants 6/15/18 (a)(q)(s) | 198,954 | 10 | |
| 6,171 | ||
Media - 0.0% | |||
Haights Cross Communications, Inc. (a) | 8,267 | 61 | |
Haights Cross Communications, Inc. warrants 3/11/13 (a) | 11,481 | 4 | |
HMH Holdings, Inc. warrants 6/22/19 (a)(s) | 32,078 | 62 | |
HMH Holdings, Inc. warrants 3/9/17 (a)(s) | 636,272 | 0 | |
RDA Holding Co. warrants 2/19/14 (a)(s) | 9,559 | 0 | |
| 127 | ||
TOTAL CONSUMER DISCRETIONARY | 11,105 | ||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Reddy Ice Holdings, Inc. | 142,776 | 0 | |
INDUSTRIALS - 0.2% | |||
Aerospace & Defense - 0.0% | |||
Alion Science & Technology Corp. warrants 3/15/17 (a) | 1,430 | 7 | |
Airlines - 0.0% | |||
Delta Air Lines, Inc. (a) | 20,500 | 224 | |
Building Products - 0.1% | |||
Nortek, Inc. (a) | 266,722 | 13,347 | |
Nortek, Inc. warrants 12/7/14 (a) | 7,154 | 36 | |
| 13,383 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
INDUSTRIALS - continued | |||
Marine - 0.0% | |||
US Shipping Partners Corp. (a) | 12,063 | $ 0 | |
US Shipping Partners Corp. warrants 12/31/29 (a) | 112,939 | 0 | |
|
| 0 | |
Trading Companies & Distributors - 0.0% | |||
Penhall Acquisition Co.: | |||
Class A (a) | 6,088 | 487 | |
Class B (a) | 2,029 | 162 | |
| 649 | ||
Transportation Infrastructure - 0.1% | |||
DeepOcean Group Holding A/S (a)(f) | 406,682 | 5,441 | |
TOTAL INDUSTRIALS | 19,704 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
MagnaChip Semiconductor Corp. (a) | 49,030 | 467 | |
Spansion, Inc. Class A (a) | 7,866 | 86 | |
| 553 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Chemtura Corp. (a) | 112,703 | 1,634 | |
LyondellBasell Industries NV Class A | 186,249 | 7,500 | |
Tronox Ltd. Class A | 16,192 | 1,955 | |
| 11,089 | ||
Containers & Packaging - 0.0% | |||
Rock-Tenn Co. Class A | 4,139 | 226 | |
Metals & Mining - 0.0% | |||
Aleris International, Inc. (a)(s) | 38,307 | 1,796 | |
TOTAL MATERIALS | 13,111 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | 194 | |
TOTAL COMMON STOCKS (Cost $62,057) |
| ||
Preferred Stocks - 0.4% | |||
Shares | Value (000s) | ||
Convertible Preferred Stocks - 0.1% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Automobiles - 0.1% | |||
General Motors Co. 4.75% | 208,600 | $ 6,926 | |
Media - 0.0% | |||
Interpublic Group of Companies, Inc. 5.25% | 4,000 | 4,152 | |
TOTAL CONSUMER DISCRETIONARY | 11,078 | ||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Reddy Ice Holdings, Inc. 7.00% pay-in-kind | 57,438 | 410 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | 11,488 | ||
Nonconvertible Preferred Stocks - 0.3% | |||
FINANCIALS - 0.3% | |||
Consumer Finance - 0.3% | |||
Ally Financial, Inc. 7.00% (f) | 32,379 | 28,655 | |
TOTAL PREFERRED STOCKS (Cost $35,133) |
|
Floating Rate Loans - 4.2% | ||||
| Principal |
| ||
CONSUMER DISCRETIONARY - 0.5% | ||||
Diversified Consumer Services - 0.1% | ||||
ServiceMaster Co.: | ||||
term loan 2.7902% 7/24/14 (k) | $ 6,144 | 6,068 | ||
Tranche DD, term loan 2.75% 7/24/14 (k) | 633 | 625 | ||
| 6,693 | |||
Hotels, Restaurants & Leisure - 0.0% | ||||
Harrah's Entertainment, Inc. Tranche B-6, term loan 5.4952% 1/28/18 (k) | 3,600 | 3,186 | ||
Mesquite Gaming LLC term loan 8.5% 8/1/15 (k) | 288 | 244 | ||
Stockbridge SBE Holdings LLC Tranche B, term loan 13% 5/2/17 (k) | 900 | 887 | ||
Wok Acquisition Corp. Tranche B, term loan 6/22/19 (k) | 1,185 | 1,188 | ||
| 5,505 | |||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Leisure Equipment & Products - 0.0% | ||||
SRAM LLC. 2nd LN, term loan 8.5% 12/7/18 (k) | $ 1,445 | $ 1,452 | ||
Media - 0.1% | ||||
Bragg Communications, Inc. Tranche B, term loan 4% 2/28/18 (k) | 3,830 | 3,811 | ||
Kabel Deutschland GmbH Tranche F, term loan 4.25% 2/1/19 (k) | 1,400 | 1,388 | ||
Livent, Inc. Tranche A, term loan 18% 1/15/49 pay-in-kind (a) | CAD | 9 | 9 | |
PRIMEDIA, Inc. Tranche B, term loan 7.5% 1/13/18 (k) | 6,977 | 6,175 | ||
| 11,383 | |||
Specialty Retail - 0.3% | ||||
Burlington Coat Factory Warehouse Corp. Tranche B 1LN, term loan 5.5% 2/23/17 (k) | 19,675 | 19,577 | ||
Michaels Stores, Inc. Tranche B1, term loan 2.75% 10/31/13 (k) | 11,459 | 11,430 | ||
| 31,007 | |||
TOTAL CONSUMER DISCRETIONARY | 56,040 | |||
CONSUMER STAPLES - 0.2% | ||||
Food & Staples Retailing - 0.1% | ||||
Focus Brands, Inc.: | ||||
Tranche 2LN, term loan 10.25% 8/21/18 (k) | 2,365 | 2,371 | ||
Tranche B 1LN, term loan 6.2657% 2/21/18 (k) | 416 | 415 | ||
Roundy's, Inc. Tranche B, term loan 5.75% 2/13/19 (k) | 1,771 | 1,753 | ||
U.S. Foodservice term loan 5.75% 3/31/17 (k) | 8,088 | 7,724 | ||
| 12,263 | |||
Personal Products - 0.0% | ||||
Prestige Brands, Inc. Tranche B, term loan 5.25% 1/31/19 (k) | 2,391 | 2,400 | ||
Revlon Consumer Products Corp. term loan 4.7525% 11/19/17 (k) | 4,653 | 4,624 | ||
| 7,024 | |||
Tobacco - 0.1% | ||||
Reynolds Consumer Products Holdings, Inc. Tranche E, term loan 6.5% 2/9/18 (k) | 8,176 | 8,216 | ||
TOTAL CONSUMER STAPLES | 27,503 | |||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
ENERGY - 0.2% | ||||
Oil, Gas & Consumable Fuels - 0.2% | ||||
Arch Coal, Inc. Tranche B, term loan 5.75% 5/16/18 (k) | $ 3,250 | $ 3,185 | ||
Chesapeake Energy Corp. term loan 8.5% 12/2/17 (k) | 4,860 | 4,805 | ||
Crestwood Holdings Partners LLC Tranche B, term loan 9.75% 3/26/18 (k) | 6,060 | 6,090 | ||
Energy Transfer Equity LP Tranche B, term loan 3.75% 3/23/17 (k) | 11,050 | 10,829 | ||
| 24,909 | |||
FINANCIALS - 0.6% | ||||
Diversified Financial Services - 0.2% | ||||
Flying Fortress, Inc. Tranche 3, term loan 5% 6/30/17 (k) | 16,795 | 16,859 | ||
Goodman Global Group, Inc. Tranche 1 LN, term loan 5.75% 10/28/16 (k) | 3,816 | 3,816 | ||
| 20,675 | |||
Insurance - 0.3% | ||||
Asurion Corp.: | ||||
Tranche 1st LN, term loan 5.5% 5/24/18 (k) | 13,649 | 13,599 | ||
Tranche 2nd LN, term loan 9% 5/24/19 (k) | 8,175 | 8,339 | ||
Lonestar Intermediate Super Holdings LLC term loan 11% 9/2/19 (k) | 9,815 | 10,257 | ||
| 32,195 | |||
Real Estate Management & Development - 0.1% | ||||
Realogy Corp.: | ||||
Credit-Linked Deposit 3.2413% 10/10/13 (k) | 359 | 335 | ||
Credit-Linked Deposit 4.4913% 10/10/16 (k) | 683 | 645 | ||
term loan 4.4908% 10/10/16 (k) | 9,812 | 9,272 | ||
| 10,252 | |||
TOTAL FINANCIALS | 63,122 | |||
HEALTH CARE - 0.4% | ||||
Health Care Providers & Services - 0.3% | ||||
DaVita, Inc. Tranche A, term loan 2.75% 10/20/15 (k) | 7,000 | 6,948 | ||
Emergency Medical Services Corp. Tranche B, term loan 5.25% 5/25/18 (k) | 12,482 | 12,373 | ||
IASIS Healthcare LLC Tranche B, term loan 5% 5/3/18 (k) | 8,148 | 8,005 | ||
Sunquest Information Systems, Inc. Tranche 1 LN, term loan 6.25% 12/16/16 (k) | 2,505 | 2,505 | ||
| 29,831 | |||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
HEALTH CARE - continued | ||||
Life Sciences Tools & Services - 0.1% | ||||
Pharmaceutical Product Development, Inc. Tranche B, term loan 6.25% 12/5/18 (k) | $ 12,771 | $ 12,851 | ||
TOTAL HEALTH CARE | 42,682 | |||
INDUSTRIALS - 0.6% | ||||
Aerospace & Defense - 0.0% | ||||
TransDigm, Inc. Tranche B, term loan 4% 2/14/17 (k) | 1,719 | 1,719 | ||
Airlines - 0.3% | ||||
Northwest Airlines Corp. Tranche A, term loan 2.22% 12/31/18 (k) | 8,780 | 8,297 | ||
United Air Lines, Inc. Tranche B, term loan 2.25% 2/1/14 (k) | 12,076 | 11,714 | ||
US Airways Group, Inc. term loan 2.7453% 3/23/14 (k) | 10,208 | 9,698 | ||
| 29,709 | |||
Building Products - 0.0% | ||||
HD Supply, Inc. Tranche B 1LN, term loan 7.25% 10/12/17 (k) | 2,065 | 2,080 | ||
Commercial Services & Supplies - 0.1% | ||||
Delos Aircraft, Inc. Tranche T 2LN, term loan 4.75% 4/12/16 (k) | 1,095 | 1,099 | ||
KAR Auction Services, Inc. Tranche B, term loan 5% 5/19/17 (k) | 4,658 | 4,670 | ||
| 5,769 | |||
Construction & Engineering - 0.1% | ||||
Drumm Investors LLC Tranche B, term loan 5% 5/4/18 (k) | 15,218 | 14,343 | ||
Electrical Equipment - 0.0% | ||||
Sensata Technologies BV Tranche B, term loan 4% 5/12/18 (k) | 1,064 | 1,058 | ||
Industrial Conglomerates - 0.1% | ||||
Tomkins PLC Tranche B, term loan 4.25% 9/21/16 (k) | 8,873 | 8,851 | ||
Road & Rail - 0.0% | ||||
Swift Transportation Co. LLC Tranche B-2, term loan 5% 12/21/17 (k) | 4,945 | 4,963 | ||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
INDUSTRIALS - continued | ||||
Transportation Infrastructure - 0.0% | ||||
Trico Shipping A/S: | ||||
Tranche A, term loan 10% 5/13/14 (k) | $ 638 | $ 636 | ||
Tranche D, term loan 5/13/14 (r) | 1,123 | 1,119 | ||
| 1,755 | |||
TOTAL INDUSTRIALS | 70,247 | |||
INFORMATION TECHNOLOGY - 0.6% | ||||
Communications Equipment - 0.1% | ||||
Cequel Communications LLC Tranche B, term loan 4% 2/14/19 (k) | 12,648 | 12,395 | ||
Electronic Equipment & Components - 0.1% | ||||
Aeroflex, Inc. Tranche B, term loan 5.75% 5/9/18 (k) | 2,574 | 2,491 | ||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.4953% 10/1/14 (k) | 963 | 949 | ||
Tranche B A2, term loan 2.4953% 10/1/14 (k) | 2,070 | 2,039 | ||
Tranche B A3, term loan 2.4888% 10/1/14 (k) | 2,414 | 2,378 | ||
Tranche B-A, term loan 2.4891% 10/1/14 (k) | 3,353 | 3,302 | ||
| 11,159 | |||
Semiconductors & Semiconductor Equipment - 0.2% | ||||
NXP BV: | ||||
term loan 4.5% 3/4/17 (k) | 5,861 | 5,788 | ||
Tranche A 2LN, term loan 5.5% 3/4/17 (k) | 7,057 | 7,074 | ||
Tranche A6, term loan 5.25% 3/19/19 (k) | 15,127 | 15,127 | ||
| 27,989 | |||
Software - 0.2% | ||||
Kronos, Inc.: | ||||
Tranche B 1LN, term loan 5.2106% 6/11/17 (k) | 8,534 | 8,534 | ||
Tranche B 2LN, term loan 10.4606% 6/11/18 (k) | 1,790 | 1,790 | ||
Lawson Software, Inc. Tranche B, term loan 6.25% 4/5/18 (k) | 10,205 | 10,256 | ||
| 20,580 | |||
TOTAL INFORMATION TECHNOLOGY | 72,123 | |||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
MATERIALS - 0.2% | ||||
Chemicals - 0.1% | ||||
INEOS U.S. Finance LLC term loan 6.5% 4/27/18 (k) | $ 7,481 | $ 7,332 | ||
PL Propylene LLC Tranche B, term loan 7% 3/27/17 (k) | 913 | 920 | ||
| 8,252 | |||
Construction Materials - 0.1% | ||||
Fairmount Minerals Ltd. Tranche B, term loan 5.25% 3/15/17 (k) | 7,882 | 7,823 | ||
Summit Materials LLC Tranche B, term loan 6% 1/30/19 (k) | 1,581 | 1,581 | ||
| 9,404 | |||
Metals & Mining - 0.0% | ||||
Walter Energy, Inc. Tranche B, term loan 4% 4/1/18 (k) | 1,392 | 1,365 | ||
TOTAL MATERIALS | 19,021 | |||
TELECOMMUNICATION SERVICES - 0.2% | ||||
Wireless Telecommunication Services - 0.2% | ||||
Crown Castle Operating Co. Tranche B, term loan 4% 1/31/19 (k) | 4,950 | 4,870 | ||
Intelsat Jackson Holdings SA: | ||||
term loan 3.2408% 2/1/14 (k) | 7,335 | 7,115 | ||
Tranche B, term loan 5.25% 4/2/18 (k) | 11,077 | 11,077 | ||
| 23,062 | |||
UTILITIES - 0.7% | ||||
Electric Utilities - 0.5% | ||||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan 4.7408% 10/10/17 (k) | 81,866 | 48,813 | ||
Gas Utilities - 0.0% | ||||
Everest Acquisition LLC Tranche B, term loan 6.5% 4/24/18 (k) | 2,650 | 2,677 | ||
Independent Power Producers & Energy Traders - 0.2% | ||||
Calpine Corp. Tranche B, term loan 4.5% 4/1/18 (k) | 7,834 | 7,785 | ||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
LSP Madison Funding LLC Tranche 1LN, term loan 6/28/19 (k) | $ 5,830 | $ 5,743 | ||
The AES Corp. Tranche B, term loan 4.25% 5/27/18 (k) | 8,987 | 8,987 | ||
| 22,515 | |||
TOTAL UTILITIES | 74,005 | |||
TOTAL FLOATING RATE LOANS (Cost $481,106) |
| |||
Sovereign Loan Participations - 0.1% | ||||
| ||||
Indonesian Republic loan participation: | ||||
Citibank 1.25% 12/14/19 (k) | 5,622 | 5,256 | ||
Goldman Sachs 1.25% 12/14/19 (k) | 5,152 | 4,817 | ||
1.25% 12/14/19 (k) | 381 | 356 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $9,641) |
|
Fixed-Income Funds - 0.7% | |||
Shares |
| ||
Fidelity Floating Rate Central Fund (l) | 806,740 |
| |
Preferred Securities - 0.2% | |||
Principal |
| ||
CONSUMER DISCRETIONARY - 0.0% | |||
Media - 0.0% | |||
Globo Comunicacoes e Participacoes SA 6.25% (e)(f)(g) | $ 5,310 | 5,708 | |
FINANCIALS - 0.1% | |||
Commercial Banks - 0.0% | |||
Wells Fargo & Co. 7.98% (g)(k) | 2,035 | 2,286 | |
Preferred Securities - continued | |||
Principal | Value (000s) | ||
FINANCIALS - continued | |||
Diversified Financial Services - 0.1% | |||
Bank of America Corp.: | |||
8% (g)(k) | $ 6,320 | $ 6,817 | |
8.125% (g)(k) | 4,295 | 4,544 | |
| 11,361 | ||
TOTAL FINANCIALS | 13,647 | ||
MATERIALS - 0.1% | |||
Metals & Mining - 0.1% | |||
CSN Islands XII Corp. 7% (Reg. S) (g) | 7,940 | 7,893 | |
TOTAL PREFERRED SECURITIES (Cost $23,813) |
| ||
Other - 0.0% | |||
Shares |
| ||
Other - 0.0% | |||
Idearc, Inc. Claim (a) | 1,675,371 |
| |
Money Market Funds - 6.3% | |||
|
|
|
|
Fidelity Cash Central Fund, 0.17% (b) | 716,588,022 |
| |
Cash Equivalents - 0.1% | |||
Maturity Amount (000s) | Value (000s) | ||
Investments in repurchase agreements in a joint trading account at 0.15%, dated 6/29/12 due 7/2/12 (Collateralized by U.S. Treasury Obligations) # | $ 5,130 | $ 5,130 | |
TOTAL INVESTMENT PORTFOLIO - 100.8% (Cost $10,961,800) | 11,396,108 | ||
NET OTHER ASSETS (LIABILITIES) - (0.8)% | (87,143) | ||
NET ASSETS - 100% | $ 11,308,965 | ||
TBA Sale Commitments | |||
| Principal Amount (000s) |
| |
Fannie Mae | |||
3.5% 7/1/42 | $ (3,800) | (3,995) | |
4% 7/1/42 | (18,100) | (19,266) | |
4% 7/1/42 | (18,100) | (19,266) | |
4% 7/1/42 | (79,000) | (84,088) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $126,209) | $ (126,615) |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Purchased | |||||
Treasury Contracts | |||||
488 CBOT 10-Year U.S. Treasury Note | Sept. 2012 | $ 65,087 | $ 469 | ||
621 CBOT 2-Year U.S. Treasury Note | Sept. 2012 | 136,736 | (21) | ||
83 CBOT Long Term U.S. Treasury Bond Contracts | Sept. 2012 | 12,281 | 102 | ||
TOTAL TREASURY CONTRACTS | $ 214,104 | $ 550 |
|
The face value of futures purchased as a percentage of net assets is 1.9% |
Swap Agreements | |||||
|
| 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 2.4375% with JPMorgan Chase, Inc. | June 2042 | $ 2,400 | $ 38 |
Currency Abbreviations | ||
BRL | - | Brazilian real |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
GHS | - | Ghana Cedi |
JPY | - | Japanese yen |
NGN | - | Nigerian naira |
TRY | - | Turkish Lira |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) Non-income producing - Security is in default. |
(d) Principal amount is stated in United States dollars unless otherwise noted. |
(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 $1,966,145,000 or 17.4% of net assets. |
(g) Security is perpetual in nature with no stated maturity date. |
(h) 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 $20,592,000 or 0.2% of net assets. |
(i) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(j) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $1,031,000. |
(k) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(l) 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. |
(m) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(n) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(o) Quantity represents share amount. |
(p) 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. |
(q) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes which is owned by the Fund. |
(r) Position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $1,123,000 and $1,119,000, respectively. The coupon rate will be determined at time of settlement. |
(s) 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 $8,029,000 or 0.1% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Aleris International, Inc. | 6/1/10 | $ 1,341 |
HMH Holdings, Inc. warrants 3/9/17 | 3/9/10 | $ 185 |
HMH Holdings, Inc. warrants 6/22/19 | 6/22/12 | $ 62 |
RDA Holding Co. warrants 2/19/14 | 2/27/07 | $ 3,000 |
Station Holdco LLC | 6/17/11 - 3/15/12 | $ 5,096 |
Station Holdco LLC warrants 6/15/18 | 4/29/08 - 11/25/08 | $ 15,268 |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$5,130,000 due 7/02/12 at 0.15% | |
Barclays Capital, Inc. | $ 1,437 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 992 |
RBS Securities, Inc. | 2,701 |
| $ 5,130 |
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 | $ 395 |
Fidelity Floating Rate Central Fund | 3,175 |
Total | $ 3,570 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, | % ownership, end of |
Fidelity Floating Rate Central Fund | $ 123,932 | $ - | $ 45,778 | $ 81,876 | 5.7% |
Other Information |
The following is a summary of the inputs used, as of June 30, 2012, involving the Fund's assets and liabilities carried at fair 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 table 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 | $ 22,183 | $ 11,733 | $ 4,152 | $ 6,298 |
Consumer Staples | 410 | - | - | 410 |
Financials | 28,655 | - | 28,655 | - |
Industrials | 19,704 | 13,571 | - | 6,133 |
Information Technology | 553 | 553 | - | - |
Materials | 13,111 | 11,315 | 1,796 | - |
Utilities | 194 | 194 | - | - |
Corporate Bonds | 4,058,721 | - | 4,058,150 | 571 |
U.S. Government and Government Agency Obligations | 2,536,335 | - | 2,536,335 | - |
U.S. Government Agency - Mortgage Securities | 390,410 | - | 390,410 | - |
Asset-Backed Securities | 2,274 | - | 2,274 | - |
Collateralized Mortgage Obligations | 444,604 | - | 444,604 | - |
Commercial Mortgage Securities | 99,091 | - | 99,091 | - |
Foreign Government and Government Agency Obligations | 2,465,878 | - | 2,465,878 | - |
Floating Rate Loans | 472,714 | - | 472,705 | 9 |
Sovereign Loan Participations | 10,429 | - | - | 10,429 |
Fixed-Income Funds | 81,876 | 81,876 | - | - |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Preferred Securities | $ 27,248 | $ - | $ 27,248 | $ - |
Other | - | - | - | - |
Money Market Funds | 716,588 | 716,588 | - | - |
Cash Equivalents | 5,130 | - | 5,130 | - |
Total Investments in Securities: | $ 11,396,108 | $ 835,830 | $ 10,536,428 | $ 23,850 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 571 | $ 571 | $ - | $ - |
Swap Agreements | 38 | - | 38 | - |
Total Assets | $ 609 | $ 571 | $ 38 | $ - |
Liabilities | ||||
Futures Contracts | $ (21) | $ (21) | $ - | $ - |
Total Derivative Instruments: | $ 588 | $ 550 | $ 38 | $ - |
Other Financial Instruments: | ||||
TBA Sale Commitments | $ (126,615) | $ - | $ (126,615) | $ - |
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, 2012. 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 | ||
Futures Contracts (a) | $ 571 | $ (21) |
Swap Agreements (b) | 38 | - |
Total Interest Rate Risk | $ 609 | $ (21) |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
(b) Value is disclosed on the Statement of Assets and Liabilities in the Swap agreements, at value line-items. |
Other Information |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows. (Unaudited) |
United States of America | 66.9% |
Germany | 2.8% |
Canada | 2.7% |
United Kingdom | 2.5% |
Italy | 2.2% |
Venezuela | 2.2% |
Japan | 2.0% |
Netherlands | 1.3% |
Bermuda | 1.3% |
Turkey | 1.3% |
France | 1.2% |
Luxembourg | 1.1% |
Australia | 1.1% |
Mexico | 1.0% |
Argentina | 1.0% |
Others (Individually Less Than 1%) | 9.4% |
| 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. |
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, 2012 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $5,130) - See accompanying schedule: Unaffiliated issuers (cost $10,190,305) | $ 10,597,644 |
|
Fidelity Central Funds (cost $771,495) | 798,464 |
|
Total Investments (cost $10,961,800) |
| $ 11,396,108 |
Cash |
| 10 |
Receivable for investments sold, regular delivery | 187,993 | |
Receivable for TBA sale commitments |
| 126,209 |
Receivable for fund shares sold | 20,142 | |
Dividends receivable | 54 | |
Interest receivable | 131,885 | |
Distributions receivable from Fidelity Central Funds | 538 | |
Swap agreements, at value | 38 | |
Total assets | 11,862,977 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 257,700 | |
Delayed delivery | 136,494 | |
TBA sale commitments, at value | 126,615 | |
Payable for fund shares redeemed | 15,420 | |
Distributions payable | 7,168 | |
Accrued management fee | 5,256 | |
Distribution and service plan fees payable | 3,211 | |
Payable for daily variation margin on futures contracts | 442 | |
Other affiliated payables | 1,469 | |
Other payables and accrued expenses | 237 | |
Total liabilities | 554,012 | |
|
|
|
Net Assets | $ 11,308,965 | |
Net Assets consist of: |
| |
Paid in capital | $ 10,808,331 | |
Undistributed net investment income | 91,294 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (22,774) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 432,114 | |
Net Assets | $ 11,308,965 |
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, 2012 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 12.37 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.37) | $ 12.89 | |
Class T: | $ 12.37 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.37) | $ 12.89 | |
Class B: | $ 12.41 | |
|
|
|
Class C: | $ 12.34 | |
|
|
|
Institutional Class: | $ 12.52 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands Six months ended June 30, 2012 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 1,550 |
Interest |
| 265,766 |
Income from Fidelity Central Funds |
| 3,570 |
Total income |
| 270,886 |
|
|
|
Expenses | ||
Management fee | $ 30,499 | |
Transfer agent fees | 7,859 | |
Distribution and service plan fees | 18,930 | |
Accounting and security lending fees | 803 | |
Custodian fees and expenses | 182 | |
Independent trustees' compensation | 18 | |
Registration fees | 362 | |
Audit | 59 | |
Legal | 23 | |
Miscellaneous | 57 | |
Total expenses before reductions | 58,792 | |
Expense reductions | (1) | 58,791 |
Net investment income (loss) | 212,095 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 19,291 | |
Fidelity Central Funds | 14,774 |
|
Foreign currency transactions | (290) | |
Futures contracts | 1,736 | |
Swap agreements | 37 |
|
Total net realized gain (loss) |
| 35,548 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 210,608 | |
Assets and liabilities in foreign currencies | (6) | |
Futures contracts | 404 | |
Swap agreements | 38 | |
Delayed delivery commitments | (404) |
|
Total change in net unrealized appreciation (depreciation) |
| 210,640 |
Net gain (loss) | 246,188 | |
Net increase (decrease) in net assets resulting from operations | $ 458,283 |
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 June 30, 2012 | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 212,095 | $ 400,169 |
Net realized gain (loss) | 35,548 | 197,810 |
Change in net unrealized appreciation (depreciation) | 210,640 | (203,634) |
Net increase (decrease) in net assets resulting | 458,283 | 394,345 |
Distributions to shareholders from net investment income | (192,868) | (430,975) |
Distributions to shareholders from net realized gain | (10,254) | (225,437) |
Total distributions | (203,122) | (656,412) |
Share transactions - net increase (decrease) | 957,289 | 1,221,796 |
Total increase (decrease) in net assets | 1,212,450 | 959,729 |
|
|
|
Net Assets | ||
Beginning of period | 10,096,515 | 9,136,786 |
End of period (including undistributed net investment income of $91,294 and undistributed net investment income of $72,067, respectively) | $ 11,308,965 | $ 10,096,515 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended June 30, 2012 | Years ended December 31, | ||||
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.07 | $ 12.38 | $ 12.13 | $ 9.77 | $ 11.62 | $ 11.76 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .249 | .536 | .622 | .681 | .600 | .616 |
Net realized and unrealized gain (loss) | .290 | .009 H | .500 | 2.345 | (1.826) | (.019) |
Total from investment operations | .539 | .545 | 1.122 | 3.026 | (1.226) | .597 |
Distributions from net investment income | (.227) | (.572) | (.582) | (.566) | (.554) | (.607) |
Distributions from net realized gain | (.012) | (.283) | (.290) | (.100) | (.070) | (.130) |
Total distributions | (.239) | (.855) | (.872) | (.666) | (.624) | (.737) |
Net asset value, end of period | $ 12.37 | $ 12.07 | $ 12.38 | $ 12.13 | $ 9.77 | $ 11.62 |
Total Return B,C,D | 4.49% | 4.47% | 9.48% | 31.74% | (10.98)% | 5.22% |
Ratios to Average Net Assets F,I |
|
|
|
|
| |
Expenses before reductions | .99% A | .99% | .99% | 1.01% | 1.02% | 1.01% |
Expenses net of fee waivers, if any | .99% A | .99% | .99% | 1.01% | 1.02% | 1.01% |
Expenses net of all reductions | .99% A | .99% | .99% | 1.01% | 1.02% | 1.01% |
Net investment income (loss) | 4.06% A | 4.29% | 5.00% | 6.14% | 5.49% | 5.27% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 5,183 | $ 4,746 | $ 4,169 | $ 3,725 | $ 2,174 | $ 1,931 |
Portfolio turnover rate G | 139% A | 221% | 207% | 202% | 255% | 149% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable 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 any 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 The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or 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 June 30, 2012 | Years ended December 31, | ||||
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.07 | $ 12.38 | $ 12.12 | $ 9.77 | $ 11.62 | $ 11.76 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .249 | .536 | .621 | .675 | .607 | .620 |
Net realized and unrealized gain (loss) | .290 | .009 H | .511 | 2.341 | (1.832) | (.021) |
Total from investment operations | .539 | .545 | 1.132 | 3.016 | (1.225) | .599 |
Distributions from net investment income | (.227) | (.572) | (.582) | (.566) | (.555) | (.609) |
Distributions from net realized gain | (.012) | (.283) | (.290) | (.100) | (.070) | (.130) |
Total distributions | (.239) | (.855) | (.872) | (.666) | (.625) | (.739) |
Net asset value, end of period | $ 12.37 | $ 12.07 | $ 12.38 | $ 12.12 | $ 9.77 | $ 11.62 |
Total Return B,C,D | 4.49% | 4.48% | 9.57% | 31.64% | (10.97)% | 5.24% |
Ratios to Average Net Assets F,I |
|
|
|
|
| |
Expenses before reductions | .99%A | .98% | .99% | 1.01% | 1.01% | .99% |
Expenses net of fee waivers, if any | .99% A | .98% | .99% | 1.01% | 1.01% | .99% |
Expenses net of all reductions | .99% A | .98% | .99% | 1.01% | 1.01% | .99% |
Net investment income (loss) | 4.06% A | 4.29% | 5.00% | 6.14% | 5.50% | 5.29% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,485 | $ 1,471 | $ 1,571 | $ 1,579 | $ 1,337 | $ 1,983 |
Portfolio turnover rate G | 139% A | 221% | 207% | 202% | 255% | 149% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable 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 any 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 The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or 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 June 30, 2012 | Years ended December 31, | ||||
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.11 | $ 12.42 | $ 12.16 | $ 9.80 | $ 11.65 | $ 11.79 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .206 | .449 | .535 | .600 | .525 | .533 |
Net realized and unrealized gain (loss) | .290 | .007 H | .509 | 2.348 | (1.831) | (.022) |
Total from investment operations | .496 | .456 | 1.044 | 2.948 | (1.306) | .511 |
Distributions from net investment income | (.184) | (.483) | (.494) | (.488) | (.474) | (.521) |
Distributions from net realized gain | (.012) | (.283) | (.290) | (.100) | (.070) | (.130) |
Total distributions | (.196) | (.766) | (.784) | (.588) | (.544) | (.651) |
Net asset value, end of period | $ 12.41 | $ 12.11 | $ 12.42 | $ 12.16 | $ 9.80 | $ 11.65 |
Total Return B,C,D | 4.11% | 3.72% | 8.77% | 30.72% | (11.60)% | 4.44% |
Ratios to Average Net Assets F,I |
|
|
|
|
| |
Expenses before reductions | 1.70% A | 1.69% | 1.70% | 1.72% | 1.76% | 1.74% |
Expenses net of fee waivers, if any | 1.70% A | 1.69% | 1.70% | 1.72% | 1.75% | 1.74% |
Expenses net of all reductions | 1.70% A | 1.69% | 1.70% | 1.72% | 1.75% | 1.74% |
Net investment income (loss) | 3.35% A | 3.59% | 4.30% | 5.43% | 4.76% | 4.54% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 220 | $ 244 | $ 307 | $ 348 | $ 267 | $ 335 |
Portfolio turnover rate G | 139% A | 221% | 207% | 202% | 255% | 149% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable 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 any 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 The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or 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 June 30, 2012 | Years ended December 31, | ||||
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.05 | $ 12.36 | $ 12.10 | $ 9.76 | $ 11.60 | $ 11.74 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .202 | .441 | .528 | .597 | .517 | .526 |
Net realized and unrealized gain (loss) | .281 | .010 H | .512 | 2.327 | (1.817) | (.020) |
Total from investment operations | .483 | .451 | 1.040 | 2.924 | (1.300) | .506 |
Distributions from net investment income | (.181) | (.478) | (.490) | (.484) | (.470) | (.516) |
Distributions from net realized gain | (.012) | (.283) | (.290) | (.100) | (.070) | (.130) |
Total distributions | (.193) | (.761) | (.780) | (.584) | (.540) | (.646) |
Net asset value, end of period | $ 12.34 | $ 12.05 | $ 12.36 | $ 12.10 | $ 9.76 | $ 11.60 |
Total Return B,C,D | 4.02% | 3.71% | 8.77% | 30.60% | (11.59)% | 4.42% |
Ratios to Average Net Assets F,I |
|
|
|
|
| |
Expenses before reductions | 1.75% A | 1.74% | 1.74% | 1.75% | 1.79% | 1.78% |
Expenses net of fee waivers, if any | 1.75% A | 1.74% | 1.74% | 1.75% | 1.79% | 1.78% |
Expenses net of all reductions | 1.75% A | 1.74% | 1.74% | 1.75% | 1.79% | 1.78% |
Net investment income (loss) | 3.31% A | 3.54% | 4.26% | 5.40% | 4.72% | 4.50% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 2,029 | $ 1,824 | $ 1,609 | $ 1,336 | $ 800 | $ 866 |
Portfolio turnover rate G | 139% A | 221% | 207% | 202% | 255% | 149% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable 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 any 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 The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or 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 June 30, 2012 | Years ended December 31, | ||||
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.21 | $ 12.52 | $ 12.25 | $ 9.87 | $ 11.72 | $ 11.86 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .266 | .570 | .657 | .710 | .635 | .652 |
Net realized and unrealized gain (loss) | .298 | .003 G | .514 | 2.361 | (1.835) | (.027) |
Total from investment operations | .564 | .573 | 1.171 | 3.071 | (1.200) | .625 |
Distributions from net investment income | (.242) | (.600) | (.611) | (.591) | (.580) | (.635) |
Distributions from net realized gain | (.012) | (.283) | (.290) | (.100) | (.070) | (.130) |
Total distributions | (.254) | (.883) | (.901) | (.691) | (.650) | (.765) |
Net asset value, end of period | $ 12.52 | $ 12.21 | $ 12.52 | $ 12.25 | $ 9.87 | $ 11.72 |
Total Return B,C | 4.64% | 4.66% | 9.80% | 31.92% | (10.67)% | 5.42% |
Ratios to Average Net Assets E,H |
|
|
|
|
| |
Expenses before reductions | .76% A | .76% | .76% | .78% | .78% | .77% |
Expenses net of fee waivers, if any | .76% A | .76% | .76% | .78% | .78% | .77% |
Expenses net of all reductions | .76% A | .76% | .76% | .78% | .78% | .76% |
Net investment income (loss) | 4.30% A | 4.52% | 5.23% | 6.37% | 5.73% | 5.52% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 2,392 | $ 1,812 | $ 1,481 | $ 1,156 | $ 750 | $ 889 |
Portfolio turnover rate F | 139% A | 221% | 207% | 202% | 255% | 149% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any 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 The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
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
Notes to Financial Statements
For the period ended June 30, 2012 (Unaudited)
(Amounts in thousands except percentages)
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 C, and Institutional Class shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Effective after the close of business on September 1, 2010, Class B shares were closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class.
2. Investments in Fidelity Central Funds.
The Fund invests 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 its 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 non-money market Fidelity Central Fund.
Semiannual Report
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
Fidelity Floating Rate | FMR Co., Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities |
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. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendor or broker to value its investments. When current market prices, quotations or rates are not readily available or reliable, securities will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by security type and 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 Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Security Valuation - continued
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)
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 third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, floating rate loans, foreign government and government agency obligations, preferred securities, U.S. government and government agency obligations and sovereign loan participations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing vendors 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 broker-supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from third party pricing vendors or broker-supplied valuations. Pricing vendors 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 methodologies which consider similar factors that would be used by third party pricing vendors. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. 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.
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
Semiannual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
a third party pricing vendor 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 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. 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 these securities are categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
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, 2012 for the Fund's investments, is included at the end of Fund's Schedule of Investments.
Foreign Currency Translation. The Fund may use 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 rates 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. 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. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. 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 under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
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 and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and 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, deferred trustee compensation 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 | $ 673,768 |
Gross unrealized depreciation | (194,216) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 479,552 |
|
|
Tax cost | $ 10,916,556 |
New Accounting Pronouncement. In December 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for interim and annual reporting periods beginning on or after January 1, 2013. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the SEC which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements.
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Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Operating Policies - continued
Repurchase Agreements - continued
The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in 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. 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.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount however; delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells MBS and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell MBS on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage
Semiannual Report
4. Operating Policies - continued
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls - continued
dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities.
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 invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these loans. The Fund also invests in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Fund's Schedule of Investments.
5. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow the Fund to enter into various types of derivative contracts, including futures contracts and swap agreements. Derivatives are investments whose value is derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified instrument based on specified terms, or to exchange future cash flows at periodic intervals based on a notional principal amount. The Fund used
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
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 increased or decreased 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 close out 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 OTC derivatives such as swap agreements, 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 the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party 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 on OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange traded futures contracts are not
Semiannual Report
5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
covered by the ISDA Master Agreement, however, counterparty credit risk related to exchange traded futures contracts is minimal because of the protection provided by the exchange on which they trade. Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, involves risk of loss in excess of the initial investment, if any, collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, for futures contracts, there is the risk that the change in value of the derivative contract may not correspond to the change in value of the underlying instrument.
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 as shown in the Statement of Operations.
Risk Exposure / Derivative Type | Net Realized | Change in Net Unrealized |
Interest Rate Risk |
|
|
Futures Contracts | $ 1,736 | $ 404 |
Swap Agreements | 37 | 38 |
Totals (a) | $ 1,773 | $ 442 |
(a) A summary of the value of derivatives by risk exposure as of period end is included at the end of the Schedule of Investments and is representative of activity for the period.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and to fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
5. Derivative Instruments - continued
Futures Contracts - continued
Any open futures contracts at period end are shown in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
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 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 premiums paid 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.
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 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 $3,819,380 and $3,307,920, 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 an annualized group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the
Semiannual Report
7. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
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 Fees. 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, total fees and amounts retained by FDC were as follows:
| Distribution | Service | Total Fees | Retained |
Class A | -% | .25% | $ 6,306 | $ 105 |
Class T | -% | .25% | 1,863 | 27 |
Class B | .65% | .25% | 1,052 | 762 |
Class C | .75% | .25% | 9,709 | 2,142 |
|
|
| $ 18,930 | $ 3,036 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, 1.00% 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 | $ 520 |
Class T | 101 |
Class B* | 191 |
Class C* | 125 |
| $ 937 |
* 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
7. Fees and Other Transactions with Affiliates - continued
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, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 3,547 | .14 |
Class T | 1,044 | .14 |
Class B | 234 | .20 |
Class C | 1,384 | .14 |
Institutional Class | 1,650 | .16 |
| $ 7,859 |
|
* Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 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 $15 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation
Semiannual Report
9. Security Lending - continued
to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $87.
10. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. The average loan balance during the period for which loans were outstanding amounted to $23,122. The weighted average interest rate was .66%. The interest expense amounted to four hundred twenty four dollars under the bank borrowing program. At period end, there were no bank borrowings outstanding.
11. Expense Reductions.
Many of the brokers with whom FMR places trades on behalf of the Fund provided services to the Fund in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $1 for the period.
12. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| Six months ended | Year ended |
From net investment income |
|
|
Class A | $ 93,110 | $ 205,948 |
Class T | 27,539 | 68,991 |
Class B | 3,482 | 10,324 |
Class C | 28,596 | 66,420 |
Institutional Class | 40,141 | 79,292 |
Total | $ 192,868 | $ 430,975 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
12. Distributions to Shareholders - continued
| Six months ended | Year ended |
From net realized gain |
|
|
Class A | $ 4,853 | $ 105,689 |
Class T | 1,456 | 33,932 |
Class B | 237 | 5,842 |
Class C | 1,850 | 40,648 |
Institutional Class | 1,858 | 39,326 |
Total | $ 10,254 | $ 225,437 |
13. 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 | 73,167 | 126,923 | $ 900,876 | $ 1,585,126 |
Reinvestment of distributions | 6,087 | 20,017 | 75,198 | 246,096 |
Shares redeemed | (53,461) | (90,489) | (658,330) | (1,129,354) |
Net increase (decrease) | 25,793 | 56,451 | $ 317,744 | $ 701,868 |
Class T |
|
|
|
|
Shares sold | 12,372 | 25,003 | $ 152,294 | $ 311,991 |
Reinvestment of distributions | 1,941 | 6,988 | 23,975 | 85,992 |
Shares redeemed | (16,094) | (36,994) | (198,170) | (461,831) |
Net increase (decrease) | (1,781) | (5,003) | $ (21,901) | $ (63,848) |
Class B |
|
|
|
|
Shares sold | 555 | 1,555 | $ 6,846 | $ 19,480 |
Reinvestment of distributions | 230 | 1,018 | 2,853 | 12,558 |
Shares redeemed | (3,187) | (7,166) | (39,378) | (89,747) |
Net increase (decrease) | (2,402) | (4,593) | $ (29,679) | $ (57,709) |
Class C |
|
|
|
|
Shares sold | 25,035 | 44,256 | $ 307,671 | $ 551,111 |
Reinvestment of distributions | 1,867 | 6,683 | 23,012 | 81,884 |
Shares redeemed | (13,932) | (29,665) | (171,115) | (369,130) |
Net increase (decrease) | 12,970 | 21,274 | $ 159,568 | $ 263,865 |
Semiannual Report
13. Share Transactions - continued
| Shares | Dollars | ||
| Six months ended | Year ended | Six months ended | Year ended |
Institutional Class |
|
|
|
|
Shares sold | 63,393 | 67,033 | $ 789,371 | $ 846,232 |
Reinvestment of distributions | 2,479 | 6,936 | 30,987 | 86,262 |
Shares redeemed | (23,179) | (43,944) | (288,801) | (554,874) |
Net increase (decrease) | 42,693 | 30,025 | $ 531,557 | $ 377,620 |
14. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
15. 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.
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors (U.K.) Ltd.
Fidelity Investments Money Management, Inc.
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
State Street Bank and Trust Company
Quincy, MA
(Fidelity Investment logo)(registered trademark)
SII-USAN-0812 1.787776.109
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series II's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Advisor Series II
By: | /s/John R. Hebble |
| John R. Hebble |
| President and Treasurer |
|
|
Date: | August 24, 2012 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/John R. Hebble |
| John R. Hebble |
| President and Treasurer |
|
|
Date: | August 24, 2012 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
|
|
Date: | August 24, 2012 |