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)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Marc Bryant, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | December 31 |
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Date of reporting period: | December 31, 2016 |
Item 1.
Reports to Stockholders
Fidelity Advisor® Strategic Income Fund Class A, Class T, Class C and Class I Annual Report December 31, 2016 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2017 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.institutional.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.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended December 31, 2016 | Past 1 year | Past 5 years | Past 10 years |
Class A (incl. 4.00% sales charge) | 4.08% | 3.20% | 5.15% |
Class T (incl. 4.00% sales charge) | 4.18% | 3.20% | 5.15% |
Class C (incl. contingent deferred sales charge) | 6.63% | 3.26% | 4.79% |
Class I | 8.80% | 4.30% | 5.83% |
Class C shares' contingent deferred sales charges included in the past one year, past five years and past ten years total return figures are 1%, 0% and 0%, respectively.
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Strategic Income Fund - Class A on December 31, 2006, and the current 4.00% sales charge was paid.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays U.S. Universal Bond Index performed over the same period.
Period Ending Values | ||
$16,518 | Fidelity Advisor® Strategic Income Fund - Class A | |
$15,631 | Bloomberg Barclays U.S. Universal Bond Index |
Effective August 24, 2016, all Barclays benchmark indices were co-branded as the Bloomberg Barclays Indices for a period of five years.
Management's Discussion of Fund Performance
Market Recap: For the 12 months ending December 31, 2016, the Fidelity Strategic Income Composite Index returned 9.29%. Among the asset classes that make up the Composite index, corporate high-yield debt produced the highest return; The BofA Merrill Lynch US High Yield Constrained Index rose 17.49%, reflecting strong demand for risk assets and improvement in commodity prices. Floating-rate bank loans benefited from an environment of rising interest rates, advancing 10.36%, according to the S&P/LSTA Leveraged Performing Loan Index. Despite a dip in the fourth quarter, emerging-markets (EM) debt produced a strong return for the full year. A fairly benign interest rate environment for most of 2016, along with rising commodity prices, helped to support EM debt. The Bloomberg Barclays Emerging Markets Aggregate USD Bond Index rose 9.88%. Meanwhile, foreign developed-markets debt underperformed, with the Bloomberg Barclays Global Aggregate Developed Markets GDP Weighted ex USD Index returning 1.20%. The U.K.'s vote to leave the European Union in June, the rise of the U.S. dollar, and increased trade tensions following November U.S. elections all weighed on the asset class. U.S. government bonds returned 1.05%, according to the Bloomberg Barclays U.S. Government Bond Index, held back by rising interest rates late in the period.Comments from Co-Lead Portfolio Manager Joanna Bewick: For the year, the fund’s share class (excluding sales charges, if applicable) returned roughly in the range of 8% to 9%, modestly underperforming the Composite index. Versus the benchmark, positioning within the fund’s high-yield subportfolio was by far the fund’s biggest detractor. Within high yield, both industry allocation and security selection weighed on the subportfolio's relative result, with an underweighting in the rebounding energy sector proving to be most detrimental. Picks among utilities and an underweighting in the strong-performing metals/mining group also dragged on the subportfolio's performance. Conversely, security selection within the EM debt sleeve was a notable positive. Here, positioning in Brazil, Venezuela and Ukraine supported the subportfolio’s relative performance. To a much lesser extent, choices in the floating-rate debt and U.S. government bonds sleeves also lifted relative results. On balance, the fund’s positioning was tilted toward risk assets during the past year, and our asset allocation decisions significantly contributed. Specifically, it helped to overweight high-yield bonds and underweight U.S. government bonds and foreign developed-markets debt. An overweighting in floating-rate bank loans also helped.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.Top Five Holdings as of December 31, 2016
(by issuer, excluding cash equivalents) | % of fund's net assets | % of fund's net assets 6 months ago |
U.S. Treasury Obligations | 13.1 | 13.0 |
Ginnie Mae guaranteed REMIC pass-thru certificates | 2.7 | 3.1 |
Japan Government | 2.1 | 2.4 |
Fannie Mae | 1.8 | 1.7 |
Ally Financial, Inc. | 1.7 | 1.6 |
21.4 |
Top Five Market Sectors as of December 31, 2016
% of fund's net assets | % of fund's net assets 6 months ago | |
Financials | 11.4 | 13.1 |
Consumer Discretionary | 10.7 | 10.2 |
Energy | 8.5 | 7.1 |
Telecommunication Services | 7.0 | 7.1 |
Information Technology | 5.0 | 4.4 |
Prior period industry classifications reflect the categories in place as of the date indicated and have not been adjusted to reflect current industry classifications.
Quality Diversification (% of fund's net assets)
As of December 31, 2016 | ||
U.S. Government and U.S. Government Agency Obligations* | 20.1% | |
AAA,AA,A | 9.1% | |
BBB | 7.3% | |
BB | 18.8% | |
B | 22.8% | |
CCC,CC,C | 9.0% | |
Not Rated | 3.8% | |
Equities | 5.2% | |
Short-Term Investments and Net Other Assets | 3.9% |
* Includes NCUA Guaranteed Notes
As of June 30, 2016 | ||
U.S. Government and U.S. Government Agency Obligations* | 20.4% | |
AAA,AA,A | 7.9% | |
BBB | 10.1% | |
BB | 22.1% | |
B | 20.5% | |
CCC,CC,C | 6.4% | |
Not Rated | 4.1% | |
Equities | 4.9% | |
Short-Term Investments and Net Other Assets | 3.6% |
* Includes 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 December 31, 2016*,** | ||
Preferred Securities | 3.4% | |
Corporate Bonds | 44.2% | |
U.S. Government and U.S. Government Agency Obligations*** | 20.1% | |
Foreign Government & Government Agency Obligations | 15.3% | |
Bank Loan Obligations | 7.8% | |
Stocks | 5.2% | |
Other Investments | 0.1% | |
Short-Term Investments and Net Other Assets (Liabilities) | 3.9% |
* Foreign investments - 34.7%
** Futures and Swaps - 1.2%
*** Includes NCUA Guaranteed Notes
As of June 30, 2016*,** | ||
Preferred Securities | 3.3% | |
Corporate Bonds | 45.4% | |
U.S. Government and U.S. Government Agency Obligations*** | 20.4% | |
Foreign Government & Government Agency Obligations | 15.3% | |
Bank Loan Obligations | 6.7% | |
Stocks | 4.9% | |
Other Investments | 0.4% | |
Short-Term Investments and Net Other Assets (Liabilities) | 3.6% |
* Foreign investments - 35.1%
** Futures and Swaps - 0.9%
*** Includes 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 fidelity.com and/or institutional.fidelity.com, as applicable.
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Investments December 31, 2016
Showing Percentage of Net Assets
Corporate Bonds - 44.0% | |||
Principal Amount (000s)(a) | Value (000s) | ||
Convertible Bonds - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Auto Components - 0.0% | |||
Exide Technologies 7% 4/30/25 pay-in-kind | $970 | $504 | |
Nonconvertible Bonds - 44.0% | |||
CONSUMER DISCRETIONARY - 6.7% | |||
Auto Components - 0.5% | |||
Allison Transmission, Inc. 5% 10/1/24 (b) | 4,205 | 4,247 | |
Exide Technologies 11% 4/30/20 pay-in-kind | 932 | 721 | |
IHO Verwaltungs GmbH: | |||
4.125% 9/15/21 pay-in-kind (b)(c) | 2,890 | 2,919 | |
4.5% 9/15/23 pay-in-kind (b)(c) | 1,975 | 1,931 | |
4.75% 9/15/26 pay-in-kind (b)(c) | 2,380 | 2,297 | |
International Automotive Components Group SA 9.125% 6/1/18 (b) | 3,685 | 3,593 | |
Lear Corp. 4.75% 1/15/23 | 6,305 | 6,431 | |
Metalsa SA de CV 4.9% 4/24/23 (b) | 6,994 | 6,653 | |
Tenedora Nemak SA de CV 5.5% 2/28/23 (b) | 7,794 | 7,736 | |
Tenneco, Inc. 5% 7/15/26 | 3,090 | 3,032 | |
Tupy Overseas SA 6.625% 7/17/24 (b) | 1,625 | 1,560 | |
41,120 | |||
Distributors - 0.0% | |||
American Builders & Contractors Supply Co., Inc. 5.625% 4/15/21 (b) | 1,500 | 1,545 | |
LKQ Corp. 4.75% 5/15/23 | 1,090 | 1,085 | |
2,630 | |||
Diversified Consumer Services - 0.3% | |||
Laureate Education, Inc. 10% 9/1/19 (b)(c) | 23,025 | 23,514 | |
Hotels, Restaurants & Leisure - 1.5% | |||
24 Hour Holdings III LLC 8% 6/1/22 (b) | 1,760 | 1,496 | |
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 | 28,800 | 31,049 | |
Carlson Travel, Inc. 6.75% 12/15/23 (b) | 1,505 | 1,565 | |
Choice Hotels International, Inc. 5.75% 7/1/22 | 1,445 | 1,543 | |
FelCor Lodging LP: | |||
5.625% 3/1/23 | 4,185 | 4,269 | |
6% 6/1/25 | 8,495 | 8,835 | |
KFC Holding Co./Pizza Hut Holding LLC: | |||
5% 6/1/24 (b) | 3,275 | 3,345 | |
5.25% 6/1/26 (b) | 3,275 | 3,324 | |
Landry's Acquisition Co. 6.75% 10/15/24 (b) | 3,370 | 3,421 | |
LTF Merger Sub, Inc. 8.5% 6/15/23 (b) | 2,780 | 2,877 | |
MGP Escrow Issuer LLC/MGP Escrow Co.-Issuer, Inc. 5.625% 5/1/24 (b) | 2,530 | 2,650 | |
Paris Las Vegas Holding LLC/Harrah's Las Vegas LLC/Flamingo Las Vegas Holdings, Inc.: | |||
8% 10/1/20 (c) | 14,410 | 15,094 | |
11% 10/1/21 (c) | 20,592 | 22,471 | |
Playa Resorts Holding BV 8% 8/15/20 (b) | 4,750 | 4,952 | |
Scientific Games Corp. 10% 12/1/22 | 8,300 | 8,259 | |
Studio City Co. Ltd.: | |||
5.875% 11/30/19 (b) | 2,700 | 2,774 | |
7.25% 11/30/21 (b) | 7,025 | 7,271 | |
125,195 | |||
Household Durables - 0.8% | |||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (b) | 3,165 | 3,181 | |
Brookfield Residential Properties, Inc. 6.5% 12/15/20 (b) | 2,595 | 2,653 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | |||
5.125% 7/15/23 (b) | 8,500 | 8,681 | |
5.75% 10/15/20 | 13,910 | 14,345 | |
6.875% 2/15/21 (c) | 4,018 | 4,135 | |
7% 7/15/24 (b) | 2,460 | 2,615 | |
8.25% 2/15/21 (c) | 2,400 | 2,478 | |
Springs Industries, Inc. 6.25% 6/1/21 | 1,475 | 1,527 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (b) | 3,265 | 3,314 | |
Toll Brothers Finance Corp.: | |||
4.375% 4/15/23 | 10,429 | 10,403 | |
5.625% 1/15/24 | 1,240 | 1,287 | |
TRI Pointe Homes, Inc. 5.875% 6/15/24 | 6,140 | 6,324 | |
60,943 | |||
Internet & Direct Marketing Retail - 0.4% | |||
Netflix, Inc.: | |||
4.375% 11/15/26 (b) | 4,130 | 4,006 | |
5.375% 2/1/21 (b) | 4,010 | 4,311 | |
5.75% 3/1/24 | 4,405 | 4,713 | |
5.875% 2/15/25 | 10,170 | 10,971 | |
Priceline Group, Inc. 1.8% 3/3/27 | EUR | 6,000 | 6,098 |
Zayo Group LLC/Zayo Capital, Inc. 6% 4/1/23 | 4,435 | 4,612 | |
34,711 | |||
Media - 3.0% | |||
Altice SA: | |||
7.625% 2/15/25 (b) | 11,379 | 11,948 | |
7.75% 5/15/22 (b) | 26,350 | 28,129 | |
Altice U.S. Finance SA 5.5% 5/15/26 (b) | 4,270 | 4,355 | |
AMC Entertainment Holdings, Inc. 5.875% 11/15/26 (b) | 3,440 | 3,517 | |
AMC Entertainment, Inc. 5.75% 6/15/25 | 1,220 | 1,247 | |
AMC Networks, Inc. 4.75% 12/15/22 | 3,080 | 3,099 | |
British Sky Broadcasting Group PLC 1.875% 11/24/23 (Reg. S) | EUR | 4,300 | 4,750 |
Cablevision SA 6.5% 6/15/21 (b) | 1,560 | 1,585 | |
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.: | |||
5.25% 2/15/22 | 980 | 1,017 | |
5.625% 2/15/24 | 1,060 | 1,105 | |
CBS Radio, Inc. 7.25% 11/1/24 (b) | 2,715 | 2,851 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
5.125% 2/15/23 | 6,770 | 6,956 | |
5.125% 5/1/23 (b) | 5,425 | 5,588 | |
5.375% 5/1/25 (b) | 5,425 | 5,588 | |
5.5% 5/1/26 (b) | 6,585 | 6,717 | |
5.75% 9/1/23 | 670 | 700 | |
5.75% 1/15/24 | 4,245 | 4,436 | |
5.75% 2/15/26 (b) | 7,390 | 7,649 | |
Cengage Learning, Inc. 9.5% 6/15/24 (b) | 7,455 | 6,616 | |
Clear Channel Communications, Inc.: | |||
9% 3/1/21 | 1,555 | 1,151 | |
10% 1/15/18 | 4,050 | 3,017 | |
11.25% 3/1/21 | 10,520 | 8,022 | |
14% 2/1/21 pay-in-kind (c) | 5,048 | 1,883 | |
Columbus International, Inc. 7.375% 3/30/21 (b) | 2,680 | 2,852 | |
Globo Comunicacao e Participacoes SA: | |||
4.843% 6/8/25 (b) | 5,105 | 4,888 | |
4.875% 4/11/22 (b) | 1,875 | 1,871 | |
5.307% 5/11/22 (Reg. S) (d) | 1,045 | 1,045 | |
Grupo Televisa SA de CV 6.625% 3/18/25 | 1,140 | 1,298 | |
iHeartCommunications, Inc. 10.625% 3/15/23 | 10,220 | 7,716 | |
Liberty Media Corp.: | |||
8.25% 2/1/30 | 4,120 | 4,388 | |
8.5% 7/15/29 | 8,920 | 9,834 | |
Lions Gate Entertainment Corp. 5.875% 11/1/24 (b) | 1,390 | 1,411 | |
Livent, Inc. yankee 9.375% 10/15/04 (e) | 300 | 0 | |
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 7.875% 5/15/24 (b) | 12,980 | 13,077 | |
MHGE Parent LLC/MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (b)(c) | 8,960 | 9,005 | |
Myriad International Holding BV 5.5% 7/21/25 (b) | 4,085 | 4,115 | |
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (b)(c) | 6,225 | 4,560 | |
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (b) | 2,335 | 2,379 | |
Quebecor Media, Inc. 5.75% 1/15/23 | 7,660 | 7,947 | |
RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (b) | 2,660 | 2,820 | |
Sirius XM Radio, Inc.: | |||
4.625% 5/15/23 (b) | 2,450 | 2,426 | |
5.375% 4/15/25 (b) | 4,685 | 4,662 | |
5.375% 7/15/26 (b) | 4,230 | 4,135 | |
Tegna, Inc. 5.5% 9/15/24 (b) | 3,210 | 3,242 | |
TV Azteca SA de CV: | |||
7.5% 5/25/18 (Reg. S) | 7,915 | 7,044 | |
7.625% 9/18/20 (Reg S.) | 935 | 739 | |
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (b) | 5,540 | 5,769 | |
VTR Finance BV 6.875% 1/15/24 (b) | 6,925 | 7,150 | |
Wave Holdco LLC/Wave Holdco Corp. 8.25% 7/15/19 pay-in-kind (b)(c) | 1,043 | 1,059 | |
WMG Acquisition Corp. 5.625% 4/15/22 (b) | 859 | 889 | |
Ziggo Bond Finance BV: | |||
5.875% 1/15/25 (b) | 435 | 435 | |
6% 1/15/27 (b) | 4,190 | 4,064 | |
Ziggo Secured Finance BV 5.5% 1/15/27 (b) | 8,375 | 8,164 | |
250,910 | |||
Specialty Retail - 0.1% | |||
CST Brands, Inc. 5% 5/1/23 | 1,320 | 1,363 | |
L Brands, Inc. 6.875% 11/1/35 | 4,825 | 4,922 | |
Penske Automotive Group, Inc. 5.5% 5/15/26 | 3,185 | 3,145 | |
Sonic Automotive, Inc. 5% 5/15/23 | 800 | 778 | |
10,208 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Hanesbrands, Inc.: | |||
4.625% 5/15/24 (b) | 2,120 | 2,056 | |
4.875% 5/15/26 (b) | 2,120 | 2,072 | |
4,128 | |||
TOTAL CONSUMER DISCRETIONARY | 553,359 | ||
CONSUMER STAPLES - 2.1% | |||
Beverages - 0.0% | |||
Molson Coors Brewing Co. 1.25% 7/15/24 | EUR | 3,200 | 3,365 |
Food & Staples Retailing - 0.8% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
5.75% 3/15/25 (b) | 7,870 | 7,791 | |
6.625% 6/15/24 (b) | 5,475 | 5,708 | |
Albertsons, Inc.: | |||
7.45% 8/1/29 | 4,935 | 4,664 | |
8% 5/1/31 | 4,590 | 4,395 | |
8.7% 5/1/30 | 635 | 638 | |
Arcor SAIC 6% 7/6/23 (b) | 1,335 | 1,392 | |
BI-LO LLC/BI-LO Finance Corp.: | |||
8.625% 9/15/18 pay-in-kind (b)(c) | 5,950 | 3,749 | |
9.25% 2/15/19 (b) | 9,545 | 8,089 | |
ESAL GmbH 6.25% 2/5/23 (b) | 13,590 | 13,631 | |
FAGE International SA/FAGE U.S.A. Dairy Industry, Inc. 5.625% 8/15/26 (b) | 6,115 | 6,130 | |
Hearthside Group Holdings LLC/Hearthside Finance, Inc. 6.5% 5/1/22 (b) | 1,265 | 1,257 | |
Minerva Luxembourg SA 7.75% 1/31/23 (Reg. S) | 3,300 | 3,477 | |
Tops Holding LLC/Tops Markets II Corp. 8% 6/15/22 (b) | 4,305 | 3,702 | |
64,623 | |||
Food Products - 1.0% | |||
B&G Foods, Inc. 4.625% 6/1/21 | 5,220 | 5,324 | |
Gruma S.A.B. de CV 4.875% 12/1/24 (b) | 1,750 | 1,830 | |
H.J. Heinz Co. 2.25% 5/25/28 (Reg. S) | EUR | 8,328 | 8,932 |
JBS Investments GmbH 7.25% 4/3/24 (b) | 14,755 | 15,419 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
5.75% 6/15/25 (b) | 7,650 | 7,746 | |
5.875% 7/15/24 (b) | 2,350 | 2,426 | |
7.25% 6/1/21 (b) | 2,960 | 3,064 | |
8.25% 2/1/20 (b) | 3,315 | 3,398 | |
Kissner Holdings LP/Kissner Milling Co. Ltd./BSC Holding, Inc./Kissner U.S.A. 8.375% 12/1/22 (b) | 3,420 | 3,454 | |
Lamb Weston Holdings, Inc.: | |||
4.625% 11/1/24 (b) | 2,755 | 2,762 | |
4.875% 11/1/26 (b) | 2,785 | 2,755 | |
MHP SA 8.25% 4/2/20 (b) | 3,480 | 3,341 | |
Pilgrim's Pride Corp. 5.75% 3/15/25 (b) | 5,450 | 5,436 | |
Post Holdings, Inc.: | |||
5% 8/15/26 (b) | 6,385 | 6,114 | |
6% 12/15/22 (b) | 2,340 | 2,442 | |
7.75% 3/15/24 (b) | 3,430 | 3,807 | |
8% 7/15/25 (b) | 1,715 | 1,921 | |
TreeHouse Foods, Inc. 4.875% 3/15/22 | 1,660 | 1,702 | |
81,873 | |||
Household Products - 0.1% | |||
Edgewell Personal Care Co. 5.5% 6/15/25 (b) | 2,800 | 2,807 | |
Spectrum Brands Holdings, Inc. 5.75% 7/15/25 | 4,470 | 4,638 | |
7,445 | |||
Personal Products - 0.2% | |||
Revlon Consumer Products Corp. 5.75% 2/15/21 (c) | 18,693 | 18,786 | |
TOTAL CONSUMER STAPLES | 176,092 | ||
ENERGY - 7.8% | |||
Energy Equipment & Services - 0.6% | |||
Compressco Partners LP/Compressco Finance, Inc. 7.25% 8/15/22 | 3,100 | 2,930 | |
Ensco PLC: | |||
4.5% 10/1/24 | 4,570 | 3,919 | |
5.2% 3/15/25 | 2,830 | 2,444 | |
5.75% 10/1/44 | 4,085 | 2,962 | |
Exterran Partners LP/EXLP Finance Corp. 6% 10/1/22 | 3,200 | 3,104 | |
Forbes Energy Services Ltd. 9% 6/15/19 (e) | 3,755 | 1,333 | |
Forum Energy Technologies, Inc. 6.25% 10/1/21 | 5,850 | 5,850 | |
Gulfmark Offshore, Inc. 6.375% 3/15/22 | 145 | 72 | |
Hornbeck Offshore Services, Inc. 5.875% 4/1/20 | 3,120 | 2,231 | |
Noble Holding International Ltd.: | |||
4.625% 3/1/21 | 420 | 403 | |
6.2% 8/1/40 | 1,600 | 1,144 | |
7.2% 4/1/25 (c) | 3,580 | 3,356 | |
8.2% 4/1/45 (c) | 795 | 662 | |
Southern Gas Corridor CJSC 6.875% 3/24/26 (b) | 3,660 | 3,942 | |
Summit Midstream Holdings LLC 7.5% 7/1/21 | 2,035 | 2,142 | |
Trinidad Drilling Ltd. 7.875% 1/15/19 (b) | 1,615 | 1,611 | |
Unit Corp. 6.625% 5/15/21 | 875 | 849 | |
Weatherford International Ltd.: | |||
7.75% 6/15/21 | 4,230 | 4,272 | |
8.25% 6/15/23 | 3,595 | 3,658 | |
9.875% 2/15/24 (b) | 1,850 | 1,971 | |
48,855 | |||
Oil, Gas & Consumable Fuels - 7.2% | |||
Access Midstream Partners LP/ACMP Finance Corp.: | |||
4.875% 5/15/23 | 7,005 | 7,136 | |
4.875% 3/15/24 | 2,630 | 2,656 | |
Afren PLC: | |||
6.625% 12/9/20 (b)(e) | 2,932 | 1 | |
10.25% 4/8/19 (Reg. S) (e) | 6,109 | 1 | |
American Energy-Permian Basin LLC/AEPB Finance Corp. 13% 11/30/20 (b) | 6,670 | 7,837 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.375% 9/15/24 (b) | 1,635 | 1,651 | |
Antero Resources Corp.: | |||
5.125% 12/1/22 | 305 | 308 | |
5.625% 6/1/23 (Reg. S) | 4,216 | 4,316 | |
Antero Resources Finance Corp. 5.375% 11/1/21 | 2,120 | 2,168 | |
Callon Petroleum Co. 6.125% 10/1/24 (b) | 1,510 | 1,555 | |
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 | 2,860 | 2,932 | |
Chaparral Energy, Inc. 9.875% 10/1/20 (e) | 1,620 | 1,458 | |
Cheniere Corpus Christi Holdings LLC 7% 6/30/24 (b) | 4,875 | 5,277 | |
Chesapeake Energy Corp.: | |||
5.75% 3/15/23 | 6,330 | 5,950 | |
8% 12/15/22 (b) | 15,820 | 17,066 | |
8% 1/15/25 (b) | 5,130 | 5,233 | |
Citgo Holding, Inc. 10.75% 2/15/20 (b) | 11,977 | 12,845 | |
Concho Resources, Inc. 4.375% 1/15/25 | 4,050 | 4,042 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
6% 12/15/20 | 6,670 | 6,837 | |
6.125% 3/1/22 | 7,890 | 8,087 | |
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 | 9,690 | 9,617 | |
Denbury Resources, Inc.: | |||
4.625% 7/15/23 | 4,155 | 3,334 | |
5.5% 5/1/22 | 6,783 | 5,918 | |
6.375% 8/15/21 | 5,775 | 5,198 | |
Diamondback Energy, Inc. 4.75% 11/1/24 (b) | 2,485 | 2,435 | |
Eagle Rock Energy Partners LP/Eagle Rock Energy Finance Corp. 8.375% 6/1/19 | 5,125 | 2,678 | |
EDC Finance Ltd. 4.875% 4/17/20 (b) | 7,540 | 7,662 | |
Endeavor Energy Resources LP/EER Finance, Inc. 7% 8/15/21 (b) | 4,190 | 4,358 | |
Energy Transfer Equity LP 5.5% 6/1/27 | 6,395 | 6,235 | |
EnLink Midstream Partners LP: | |||
4.15% 6/1/25 | 3,190 | 3,092 | |
4.4% 4/1/24 | 3,185 | 3,161 | |
EP Energy LLC/Everest Acquisition Finance, Inc.: | |||
7.75% 9/1/22 | 425 | 344 | |
8% 11/29/24 (b) | 2,265 | 2,434 | |
9.375% 5/1/20 | 3,705 | 3,416 | |
EV Energy Partners LP/EV Energy Finance Corp. 8% 4/15/19 | 3,705 | 2,612 | |
Genesis Energy LP/Genesis Energy Finance Corp. 5.75% 2/15/21 | 2,400 | 2,424 | |
Georgian Oil & Gas Corp. 6.75% 4/26/21 (b) | 4,155 | 4,327 | |
Global Partners LP/GLP Finance Corp.: | |||
6.25% 7/15/22 | 1,030 | 987 | |
7% 6/15/23 | 4,305 | 4,154 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5% 12/1/24 (b) | 4,000 | 3,970 | |
5.75% 10/1/25 (b) | 4,310 | 4,364 | |
Holly Energy Partners LP/Holly Finance Corp.: | |||
6% 8/1/24 (b) | 2,650 | 2,763 | |
6.5% 3/1/20 | 4,875 | 5,033 | |
Indo Energy Finance BV 7% 5/7/18 (b) | 315 | 295 | |
Jupiter Resources, Inc. 8.5% 10/1/22 (b) | 10,415 | 8,983 | |
Kosmos Energy Ltd.: | |||
7.875% 8/1/21 (b) | 1,800 | 1,791 | |
7.875% 8/1/21 (b) | 3,030 | 3,015 | |
Laredo Petroleum, Inc. 7.375% 5/1/22 (Reg. S) | 4,500 | 4,663 | |
MPLX LP: | |||
4.875% 12/1/24 | 6,560 | 6,747 | |
5.5% 2/15/23 | 3,215 | 3,345 | |
Newfield Exploration Co.: | |||
5.375% 1/1/26 | 3,608 | 3,679 | |
5.625% 7/1/24 | 740 | 771 | |
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 | 2,245 | 2,332 | |
Nostrum Oil & Gas Finance BV 6.375% 2/14/19 (b) | 6,435 | 6,242 | |
Pacific Exploration and Production Corp.: | |||
10% 11/2/21 pay-in-kind (c) | 3,233 | 3,653 | |
10% 11/2/21 pay-in-kind (b)(c) | 470 | 531 | |
Pan American Energy LLC 7.875% 5/7/21 (b) | 7,455 | 7,828 | |
Parsley Energy LLC/Parsley 6.25% 6/1/24 (b) | 760 | 800 | |
PBF Holding Co. LLC/PBF Finance Corp.: | |||
7% 11/15/23 (b) | 7,813 | 7,774 | |
8.25% 2/15/20 | 9,325 | 9,558 | |
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 | 3,235 | 3,178 | |
PDC Energy, Inc. 6.125% 9/15/24 (b) | 1,310 | 1,339 | |
Pemex Project Funding Master Trust: | |||
6.625% 6/15/35 | 14,140 | 13,928 | |
8.625% 12/1/23 (c) | 500 | 543 | |
PetroBakken Energy Ltd. 8.625% 2/1/20 (b)(e) | 9,160 | 412 | |
Petrobras Global Finance BV: | |||
3% 1/15/19 | 8,245 | 8,036 | |
3.02% 1/15/19 (c) | 12,250 | 12,029 | |
6.25% 3/17/24 | 3,950 | 3,789 | |
8.375% 5/23/21 | 19,465 | 20,974 | |
8.75% 5/23/26 | 5,600 | 6,041 | |
Petrobras International Finance Co. Ltd.: | |||
5.75% 1/20/20 | 10,740 | 10,874 | |
6.875% 1/20/40 | 8,210 | 7,046 | |
Petroleos de Venezuela SA: | |||
5.375% 4/12/27 | 4,885 | 1,820 | |
5.5% 4/12/37 | 2,200 | 809 | |
6% 5/16/24 (b) | 5,945 | 2,326 | |
6% 11/15/26 (b) | 4,985 | 1,919 | |
8.5% 11/2/17 (b) | 4,280 | 3,392 | |
9.75% 5/17/35 (b) | 15,735 | 7,474 | |
12.75% 2/17/22 (b) | 570 | 352 | |
Petroleos Mexicanos: | |||
3.5% 1/30/23 | 1,285 | 1,180 | |
4.625% 9/21/23 (b) | 4,820 | 4,689 | |
4.875% 1/24/22 | 5,395 | 5,411 | |
4.875% 1/18/24 | 3,685 | 3,573 | |
5.5% 1/21/21 | 2,445 | 2,515 | |
5.5% 6/27/44 | 1,545 | 1,286 | |
6.375% 2/4/21 (b) | 2,185 | 2,327 | |
6.375% 1/23/45 | 5,520 | 5,023 | |
6.5% 6/2/41 | 16,510 | 15,462 | |
6.625% (b)(f) | 10,833 | 10,183 | |
6.75% 9/21/47 (b) | 9,344 | 8,828 | |
6.875% 8/4/26 (b) | 1,940 | 2,047 | |
PT Pertamina Persero: | |||
4.875% 5/3/22 (b) | 1,990 | 2,044 | |
5.25% 5/23/21 (b) | 1,135 | 1,194 | |
6.5% 5/27/41 (b) | 3,980 | 4,078 | |
QEP Resources, Inc. 5.25% 5/1/23 | 5,955 | 5,970 | |
Range Resources Corp. 5% 3/15/23 (b) | 9,130 | 9,039 | |
Rice Energy, Inc.: | |||
6.25% 5/1/22 | 7,770 | 7,984 | |
7.25% 5/1/23 | 1,695 | 1,797 | |
RSP Permian, Inc. 6.625% 10/1/22 | 1,785 | 1,888 | |
Sabine Pass Liquefaction LLC: | |||
5% 3/15/27 (b) | 6,285 | 6,340 | |
5.875% 6/30/26 (b) | 6,335 | 6,826 | |
SemGroup Corp. 7.5% 6/15/21 | 4,100 | 4,223 | |
SM Energy Co.: | |||
5.625% 6/1/25 | 2,100 | 2,027 | |
6.75% 9/15/26 | 1,680 | 1,730 | |
Southern Star Central Corp. 5.125% 7/15/22 (b) | 2,570 | 2,602 | |
Southwestern Energy Co. 4.1% 3/15/22 | 6,395 | 6,042 | |
Sunoco LP/Sunoco Finance Corp.: | |||
6.25% 4/15/21 | 6,110 | 6,225 | |
6.375% 4/1/23 | 3,040 | 3,078 | |
Teekay Corp. 8.5% 1/15/20 | 7,885 | 7,491 | |
Teine Energy Ltd. 6.875% 9/30/22 (b) | 4,615 | 4,713 | |
Tennessee Gas Pipeline Co. 7.625% 4/1/37 | 1,035 | 1,251 | |
Tesoro Logistics LP/Tesoro Logistics Finance Corp.: | |||
6.125% 10/15/21 | 1,075 | 1,129 | |
6.375% 5/1/24 | 1,695 | 1,814 | |
Transportadora de Gas del Sur SA 9.625% 5/14/20 (b) | 10,149 | 10,910 | |
Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 | 4,965 | 5,362 | |
Western Refining, Inc. 6.25% 4/1/21 | 12,210 | 12,668 | |
WPX Energy, Inc.: | |||
5.25% 9/15/24 | 3,215 | 3,119 | |
6% 1/15/22 | 9,170 | 9,399 | |
YPF SA: | |||
8.5% 3/23/21 (b) | 12,110 | 12,989 | |
8.75% 4/4/24 (b) | 13,225 | 13,708 | |
Zhaikmunai International BV 7.125% 11/13/19 (b) | 10,505 | 10,231 | |
596,555 | |||
TOTAL ENERGY | 645,410 | ||
FINANCIALS - 7.9% | |||
Banks - 3.0% | |||
ABN AMRO Bank NV 7.125% 7/6/22 | EUR | 5,250 | 7,052 |
Banco de Bogota SA 6.25% 5/12/26 (b) | 1,850 | 1,887 | |
Banco de Reservas de La Republica Dominicana 7% 2/1/23 (b) | 3,280 | 3,281 | |
Banco Hipotecario SA 9.75% 11/30/20 (b) | 12,300 | 13,100 | |
Banco Macro SA 6.75% 11/4/26 (b)(c) | 2,075 | 1,966 | |
Banco Nacional de Desenvolvimento Economico e Social: | |||
4% 4/14/19 (b) | 1,350 | 1,356 | |
6.369% 6/16/18 (b) | 3,275 | 3,422 | |
Banque Centrale de Tunisie 5.75% 1/30/25 (b) | 2,425 | 2,255 | |
BBVA Bancomer SA 7.25% 4/22/20 (b) | 2,475 | 2,716 | |
Biz Finance PLC 9.625% 4/27/22 (Reg. S) | 1,335 | 1,305 | |
CIT Group, Inc.: | |||
5% 8/15/22 | 8,305 | 8,658 | |
5.375% 5/15/20 | 10,385 | 11,034 | |
5.5% 2/15/19 (b) | 4,680 | 4,937 | |
Citigroup, Inc. 1.5% 10/26/28 | EUR | 10,000 | 10,182 |
Credit Suisse Group Funding Guernsey Ltd. 2.75% 8/8/25 (Reg. S) | GBP | 5,800 | 6,973 |
Export Credit Bank of Turkey 5.875% 4/24/19 (b) | 3,550 | 3,627 | |
Export-Import Bank of Korea 6.4% 8/7/17 (Reg. S) | INR | 140,700 | 2,059 |
GTB Finance BV 6% 11/8/18 (b) | 8,490 | 8,469 | |
HSBC Holdings PLC 3.125% 6/7/28 | EUR | 4,100 | 4,556 |
HSBK BV 7.25% 5/3/17 (b) | 2,985 | 3,013 | |
ING Bank NV 6.125% 5/29/23 (c) | EUR | 9,095 | 10,331 |
Intesa Sanpaolo SpA 1.125% 3/4/22 | EUR | 7,800 | 8,234 |
Itau Unibanco Holding SA: | |||
5.125% 5/13/23 (Reg. S) | 4,660 | 4,613 | |
5.5% 8/6/22 (b) | 3,000 | 3,034 | |
JSC BGEO Group 6% 7/26/23 (b) | 5,135 | 5,135 | |
JSC Halyk Bank of Kazakhstan 7.25% 1/28/21 (b) | 1,750 | 1,877 | |
KBC Groep NV 1.875% 3/11/27 (Reg. S) (c) | EUR | 15,800 | 16,695 |
Lloyds Banking Group PLC 1% 11/9/23 (Reg. S) | EUR | 4,450 | 4,594 |
National Westminster Bank PLC 6.5% 9/7/21 | GBP | 7,250 | 10,239 |
OJSC Russian Agricultural Bank 7.75% 5/29/18 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (b) | 2,315 | 2,454 | |
Rabobank Nederland 6.875% 3/19/20 (Reg. S) | EUR | 16,350 | 20,242 |
Royal Bank of Scotland Group PLC: | |||
1.625% 6/25/19 (Reg. S) | EUR | 3,050 | 3,283 |
2.5% 3/22/23 (Reg. S) | EUR | 5,650 | 6,060 |
Royal Bank of Scotland PLC 6.934% 4/9/18 | EUR | 4,250 | 4,800 |
RSHB Capital SA 5.298% 12/27/17 (b) | 1,890 | 1,928 | |
SB Capital SA 5.5% 2/26/24 (b)(c) | 3,240 | 3,293 | |
Turkiye Garanti Bankasi A/S 4% 9/13/17 (b) | 1,115 | 1,118 | |
Turkiye Halk Bankasi A/S: | |||
3.875% 2/5/20 (b) | 2,200 | 2,055 | |
4.75% 6/4/19 (b) | 3,250 | 3,198 | |
4.875% 7/19/17 (b) | 2,075 | 2,080 | |
Turkiye Is Bankasi A/S: | |||
3.75% 10/10/18 (b) | 1,390 | 1,369 | |
5.5% 4/21/19 (b) | 1,085 | 1,096 | |
Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (Reg. S) (c) | 3,575 | 3,433 | |
UniCredit SpA: | |||
2% 3/4/23 (Reg. S) | EUR | 8,250 | 8,931 |
6.95% 10/31/22 (Reg. S) | EUR | 1,700 | 2,054 |
Zenith Bank PLC 6.25% 4/22/19 (b) | 12,820 | 12,484 | |
246,478 | |||
Capital Markets - 0.5% | |||
Adient Global Holdings Ltd. 4.875% 8/15/26 (b) | 4,220 | 4,136 | |
BCD Acquisition, Inc. 9.625% 9/15/23 (b) | 6,335 | 6,778 | |
Goldman Sachs Group, Inc. 3% 2/12/31 (Reg. S) | EUR | 9,656 | 11,035 |
Morgan Stanley 1.75% 3/11/24 | EUR | 9,800 | 10,757 |
MSCI, Inc.: | |||
5.25% 11/15/24 (b) | 2,735 | 2,872 | |
5.75% 8/15/25 (b) | 2,685 | 2,853 | |
38,431 | |||
Consumer Finance - 2.5% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
4.25% 7/1/20 | 4,275 | 4,393 | |
4.625% 7/1/22 | 6,880 | 7,086 | |
5% 10/1/21 | 2,110 | 2,218 | |
Ally Financial, Inc.: | |||
4.125% 2/13/22 | 8,795 | 8,718 | |
4.625% 3/30/25 | 13,915 | 13,706 | |
5.125% 9/30/24 | 20,806 | 21,170 | |
8% 11/1/31 | 76,818 | 89,103 | |
Credito Real S.A.B. de CV: | |||
7.25% 7/20/23 (b) | 2,110 | 2,152 | |
7.5% 3/13/19 (b) | 3,050 | 3,177 | |
General Motors Acceptance Corp. 8% 11/1/31 | 9,006 | 10,424 | |
Navient Corp. 5.875% 10/25/24 | 11,105 | 10,550 | |
SLM Corp.: | |||
5.5% 1/25/23 | 15,840 | 15,365 | |
6.125% 3/25/24 | 3,395 | 3,297 | |
7.25% 1/25/22 | 11,200 | 11,858 | |
203,217 | |||
Diversified Financial Services - 0.8% | |||
Cimpor Financial Operations BV 5.75% 7/17/24 (b) | 3,705 | 3,076 | |
Grinding Media, Inc./MC Grinding Media Canada, Inc. 7.375% 12/15/23 (b) | 2,520 | 2,648 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
5.875% 2/1/22 | 18,530 | 18,391 | |
6% 8/1/20 | 8,545 | 8,727 | |
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 8.625% 11/15/24 (b) | 3,305 | 3,498 | |
RegionalCare Hospital Partners Holdings, Inc. 8.25% 5/1/23 (b) | 4,815 | 4,803 | |
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (b) | 11,225 | 12,628 | |
Springleaf Financial Corp.: | |||
7.75% 10/1/21 | 640 | 675 | |
8.25% 12/15/20 | 3,195 | 3,475 | |
TMK Capital SA 6.75% 4/3/20 (Reg. S) | 1,325 | 1,371 | |
Wendel SA: | |||
1% 4/20/23 (Reg. S) | EUR | 3,000 | 3,096 |
2.75% 10/2/24 (Reg. S) | EUR | 6,400 | 7,172 |
69,560 | |||
Insurance - 0.6% | |||
Alliant Holdings Co.-Issuer, Inc./Wayne Merger Sub LLC 8.25% 8/1/23 (b) | 10,645 | 10,991 | |
Assicurazioni Generali SpA 7.75% 12/12/42 (c) | EUR | 4,600 | 5,762 |
Aviva PLC 3.375% 12/4/45 (Reg. S) (c) | EUR | 4,350 | 4,497 |
Direct Line Insurance Group PLC 9.25% 4/27/42 (c) | GBP | 6,720 | 10,171 |
Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (b) | 9,770 | 10,321 | |
SCOR SE 3% 6/8/46 (Reg. S) (c) | EUR | 3,700 | 3,895 |
Zurich Insurance Co. Ltd. 3.5% 10/1/46 (c) | EUR | 5,800 | 6,308 |
51,945 | |||
Thrifts & Mortgage Finance - 0.5% | |||
Nationwide Building Society 4.125% 3/20/23 (Reg. S) (c) | EUR | 14,900 | 16,290 |
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23 (b) | 23,175 | 25,232 | |
41,522 | |||
TOTAL FINANCIALS | 651,153 | ||
HEALTH CARE - 2.1% | |||
Biotechnology - 0.1% | |||
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (b) | 2,255 | 2,255 | |
Health Care Equipment & Supplies - 0.1% | |||
Alere, Inc. 6.375% 7/1/23 (b) | 1,935 | 1,923 | |
Hill-Rom Holdings, Inc. 5.75% 9/1/23 (b) | 2,125 | 2,194 | |
Hologic, Inc. 5.25% 7/15/22 (b) | 4,650 | 4,894 | |
9,011 | |||
Health Care Providers & Services - 1.7% | |||
AmSurg Corp. 5.625% 7/15/22 | 2,640 | 2,722 | |
Community Health Systems, Inc.: | |||
6.875% 2/1/22 | 14,410 | 10,015 | |
7.125% 7/15/20 | 4,425 | 3,364 | |
Double Eagle Acquisition Sub, Inc. 7.5% 10/1/24 (b) | 2,470 | 2,587 | |
Envision Healthcare Corp. 6.25% 12/1/24 (b) | 4,120 | 4,347 | |
HCA Holdings, Inc.: | |||
4.75% 5/1/23 | 6,115 | 6,260 | |
5.25% 4/15/25 | 13,180 | 13,757 | |
5.25% 6/15/26 | 5,275 | 5,453 | |
5.375% 2/1/25 | 8,650 | 8,672 | |
5.875% 5/1/23 | 7,155 | 7,602 | |
5.875% 2/15/26 | 10,705 | 11,026 | |
7.5% 2/15/22 | 12,110 | 13,745 | |
HealthSouth Corp. 5.75% 11/1/24 | 9,180 | 9,295 | |
Jaguar Holding Co. II/Pharmaceutical Product Development LLC 6.375% 8/1/23 (b) | 4,215 | 4,510 | |
MPH Acquisition Holdings LLC 7.125% 6/1/24 (b) | 2,280 | 2,400 | |
Quintiles Transnational Corp. 4.875% 5/15/23 (b) | 3,340 | 3,390 | |
Sabra Health Care LP/Sabra Capital Corp. 5.375% 6/1/23 | 2,445 | 2,439 | |
Surgery Center Holdings, Inc. 8.875% 4/15/21 (b) | 4,265 | 4,542 | |
Tenet Healthcare Corp.: | |||
6.75% 6/15/23 | 4,740 | 4,183 | |
6.875% 11/15/31 | 11,540 | 8,900 | |
7.5% 1/1/22 (b) | 2,360 | 2,460 | |
8.125% 4/1/22 | 5,360 | 5,057 | |
Vizient, Inc. 10.375% 3/1/24 (b) | 4,615 | 5,226 | |
141,952 | |||
Pharmaceuticals - 0.2% | |||
Horizon Pharma, Inc. 8.75% 11/1/24 (b) | 2,895 | 2,931 | |
Valeant Pharmaceuticals International, Inc.: | |||
5.875% 5/15/23 (b) | 16,345 | 12,340 | |
6.75% 8/15/21 (b) | 1,935 | 1,606 | |
16,877 | |||
TOTAL HEALTH CARE | 170,095 | ||
INDUSTRIALS - 2.0% | |||
Aerospace & Defense - 0.3% | |||
Huntington Ingalls Industries, Inc. 5% 11/15/25 (b) | 3,965 | 4,119 | |
KLX, Inc. 5.875% 12/1/22 (b) | 11,260 | 11,598 | |
TransDigm, Inc. 6.375% 6/15/26 (b) | 4,050 | 4,159 | |
Triumph Group, Inc. 4.875% 4/1/21 | 4,990 | 4,681 | |
24,557 | |||
Air Freight & Logistics - 0.0% | |||
XPO Logistics, Inc. 6.125% 9/1/23 (b) | 3,300 | 3,449 | |
Airlines - 0.2% | |||
Air Canada 5.375% 11/15/22 (b) | 1,327 | 1,361 | |
Allegiant Travel Co. 5.5% 7/15/19 | 1,270 | 1,308 | |
Continental Airlines, Inc. pass-thru trust certificates 6.903% 4/19/22 | 405 | 425 | |
Delta Air Lines, Inc. pass-thru trust certificates 8.021% 8/10/22 | 2,189 | 2,515 | |
Hawaiian Airlines pass-thru certificates Series 2013-1 Class B, 4.95% 7/15/23 | 2,102 | 2,086 | |
Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17 | 421 | 443 | |
U.S. Airways pass-thru certificates: | |||
Series 2011-1 Class A, 7.125% 4/22/25 | 3,602 | 4,142 | |
Series 2012-2 Class B, 6.75% 12/3/22 | 1,542 | 1,675 | |
Series 2013-1 Class B, 5.375% 5/15/23 | 2,020 | 2,142 | |
16,097 | |||
Building Products - 0.0% | |||
Shea Homes Ltd. Partnership/Corp.: | |||
5.875% 4/1/23 (b) | 1,380 | 1,346 | |
6.125% 4/1/25 (b) | 1,380 | 1,335 | |
2,681 | |||
Commercial Services & Supplies - 0.5% | |||
ADS Waste Holdings, Inc. 5.625% 11/15/24 (b) | 3,640 | 3,622 | |
ADT Corp. 6.25% 10/15/21 | 13,075 | 14,186 | |
APX Group, Inc.: | |||
7.875% 12/1/22 | 6,680 | 7,231 | |
8.75% 12/1/20 | 7,385 | 7,440 | |
Cenveo Corp. 6% 8/1/19 (b) | 2,480 | 2,213 | |
Covanta Holding Corp. 5.875% 3/1/24 | 3,120 | 2,999 | |
Garda World Security Corp.: | |||
7.25% 11/15/21 (b) | 1,020 | 949 | |
7.25% 11/15/21 (b) | 1,825 | 1,697 | |
Ritchie Brothers Auctioneers, Inc. 5.375% 1/15/25 (b) | 1,215 | 1,239 | |
TMS International Corp. 7.625% 10/15/21 (b) | 970 | 926 | |
42,502 | |||
Construction & Engineering - 0.1% | |||
Cementos Progreso Trust 7.125% 11/6/23 (b) | 2,245 | 2,355 | |
Odebrecht Finance Ltd. 4.375% 4/25/25 (b) | 5,820 | 3,361 | |
5,716 | |||
Electrical Equipment - 0.1% | |||
Sensata Technologies BV: | |||
4.875% 10/15/23 (b) | 1,625 | 1,662 | |
5% 10/1/25 (b) | 4,355 | 4,268 | |
5,930 | |||
Industrial Conglomerates - 0.0% | |||
Alfa SA de CV 5.25% 3/25/24 (b) | 1,490 | 1,524 | |
Machinery - 0.1% | |||
Xerium Technologies, Inc. 9.5% 8/15/21 (b) | 6,385 | 6,369 | |
Marine - 0.1% | |||
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (b) | 1,065 | 905 | |
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (b) | 4,035 | 3,813 | |
Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21 (e) | 530 | 101 | |
4,819 | |||
Road & Rail - 0.1% | |||
JSC Georgian Railway 7.75% 7/11/22 (b) | 1,650 | 1,757 | |
Lima Metro Line 2 Finance Ltd. 5.875% 7/5/34 (b) | 1,870 | 1,973 | |
3,730 | |||
Trading Companies & Distributors - 0.4% | |||
Aircastle Ltd.: | |||
5% 4/1/23 | 2,405 | 2,453 | |
5.5% 2/15/22 | 4,250 | 4,505 | |
Ashtead Capital, Inc. 5.625% 10/1/24 (b) | 4,250 | 4,452 | |
International Lease Finance Corp.: | |||
4.625% 4/15/21 | 6,645 | 6,886 | |
5.875% 8/15/22 | 8,795 | 9,543 | |
8.625% 1/15/22 | 2,520 | 3,027 | |
NES Rentals Holdings, Inc. 7.875% 5/1/18 (b) | 1,505 | 1,497 | |
United Rentals North America, Inc. 5.5% 5/15/27 | 2,625 | 2,605 | |
34,968 | |||
Transportation Infrastructure - 0.1% | |||
Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (b) | 3,787 | 4,077 | |
Global Ports Finance PLC 6.872% 1/25/22 (b) | 3,375 | 3,476 | |
7,553 | |||
TOTAL INDUSTRIALS | 159,895 | ||
INFORMATION TECHNOLOGY - 2.0% | |||
Communications Equipment - 0.5% | |||
Banglalink Digital Communications Ltd. 8.625% 5/6/19 (b) | 8,880 | 9,379 | |
Brocade Communications Systems, Inc. 4.625% 1/15/23 | 3,330 | 3,297 | |
Lucent Technologies, Inc.: | |||
6.45% 3/15/29 | 23,420 | 24,415 | |
6.5% 1/15/28 | 6,255 | 6,458 | |
43,549 | |||
Electronic Equipment & Components - 0.1% | |||
Conduent Finance, Inc./Xerox Business Service LLC 10.5% 12/15/24 (b) | 4,000 | 4,280 | |
Micron Technology, Inc. 7.5% 9/15/23 (b) | 3,925 | 4,347 | |
8,627 | |||
Internet Software & Services - 0.2% | |||
Balboa Merger Sub, Inc. 11.375% 12/1/21 (b) | 4,690 | 4,690 | |
Camelot Finance SA 7.875% 10/15/24 (b) | 1,870 | 1,935 | |
CyrusOne LP/CyrusOne Finance Corp. 6.375% 11/15/22 | 3,595 | 3,784 | |
j2 Global, Inc. 8% 8/1/20 | 3,460 | 3,598 | |
14,007 | |||
IT Services - 0.1% | |||
Ceridian HCM Holding, Inc. 11% 3/15/21 (b) | 2,360 | 2,425 | |
Everi Payments, Inc. 10% 1/15/22 | 4,210 | 4,168 | |
6,593 | |||
Semiconductors & Semiconductor Equipment - 0.8% | |||
Entegris, Inc. 6% 4/1/22 (b) | 1,275 | 1,326 | |
Micron Technology, Inc.: | |||
5.25% 8/1/23 (b) | 1,740 | 1,747 | |
5.25% 1/15/24 (b) | 3,675 | 3,657 | |
5.5% 2/1/25 | 12,245 | 12,184 | |
5.625% 1/15/26 (b) | 3,250 | 3,222 | |
5.875% 2/15/22 | 2,615 | 2,726 | |
Microsemi Corp. 9.125% 4/15/23 (b) | 1,665 | 1,940 | |
NXP BV/NXP Funding LLC: | |||
4.625% 6/15/22 (b) | 1,935 | 2,027 | |
5.75% 3/15/23 (b) | 15,105 | 15,936 | |
Qorvo, Inc.: | |||
6.75% 12/1/23 | 3,135 | 3,449 | |
7% 12/1/25 | 9,580 | 10,610 | |
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (b) | 4,190 | 4,379 | |
Versum Materials, Inc. 5.5% 9/30/24 (b) | 2,170 | 2,219 | |
65,422 | |||
Software - 0.3% | |||
BMC Software Finance, Inc. 8.125% 7/15/21 (b) | 3,401 | 3,178 | |
Ensemble S Merger Sub, Inc. 9% 9/30/23 (b) | 7,070 | 7,512 | |
Greeneden U.S. Holdings II LLC 10% 11/30/24 (b) | 5,685 | 6,040 | |
JDA Escrow LLC/JDA Bond Finance, Inc. 7.375% 10/15/24 (b) | 1,490 | 1,546 | |
Nuance Communications, Inc. 5.375% 8/15/20 (b) | 2,445 | 2,515 | |
Open Text Corp. 5.875% 6/1/26 (b) | 3,195 | 3,371 | |
Parametric Technology Corp. 6% 5/15/24 | 1,295 | 1,366 | |
SS&C Technologies Holdings, Inc. 5.875% 7/15/23 | 3,370 | 3,492 | |
29,020 | |||
TOTAL INFORMATION TECHNOLOGY | 167,218 | ||
MATERIALS - 4.2% | |||
Chemicals - 1.3% | |||
Albemarle Corp. U.S. 1.875% 12/8/21 (Reg. S) | EUR | 10,400 | 11,482 |
Braskem Finance Ltd.: | |||
5.375% 5/2/22 (b) | 3,900 | 4,029 | |
5.75% 4/15/21 (b) | 2,020 | 2,126 | |
6.45% 2/3/24 | 2,220 | 2,337 | |
Kraton Polymers LLC/Kraton Polymers Capital Corp. 10.5% 4/15/23(b) | 2,715 | 3,061 | |
Mexichem S.A.B. de CV 4.875% 9/19/22 (b) | 2,000 | 2,085 | |
Momentive Performance Materials, Inc.: | |||
3.88% 10/24/21 | 44,218 | 41,565 | |
4.69% 4/24/22 | 14,170 | 12,186 | |
10% 10/15/20 (e) | 14,170 | 0 | |
MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 (e) | 44,218 | 0 | |
Nufarm Australia Ltd. 6.375% 10/15/19 (b) | 2,020 | 2,065 | |
OCP SA 5.625% 4/25/24 (b) | 1,270 | 1,313 | |
Platform Specialty Products Corp.: | |||
6.5% 2/1/22 (b) | 4,175 | 4,206 | |
10.375% 5/1/21 (b) | 1,275 | 1,412 | |
Solvay SA 2.75% 12/2/27 (Reg. S) | EUR | 3,900 | 4,575 |
TPC Group, Inc. 8.75% 12/15/20 (b) | 7,335 | 6,198 | |
Valvoline Finco Two LLC 5.5% 7/15/24 (b) | 1,550 | 1,604 | |
W. R. Grace & Co.-Conn.: | |||
5.125% 10/1/21 (b) | 1,785 | 1,861 | |
5.625% 10/1/24 (b) | 2,645 | 2,777 | |
104,882 | |||
Construction Materials - 0.2% | |||
CEMEX Finance LLC: | |||
6% 4/1/24 (b) | 2,200 | 2,261 | |
9.375% 10/12/22 (b) | 2,420 | 2,638 | |
CEMEX S.A.B. de CV 7.75% 4/16/26 (b) | 1,870 | 2,071 | |
HeidelbergCement Finance AG 2.25% 6/3/24 (Reg. S) | EUR | 4,625 | 5,195 |
Prince Mineral Holding Corp. 11.5% 12/15/19 (b)(c) | 1,685 | 1,647 | |
U.S. Concrete, Inc. 6.375% 6/1/24 | 2,070 | 2,189 | |
Union Andina de Cementos SAA 5.875% 10/30/21 (b) | 2,055 | 2,127 | |
18,128 | |||
Containers & Packaging - 0.5% | |||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.625% 5/15/23 (b) | 4,250 | 4,215 | |
6.25% 1/31/19 (b) | 2,410 | 2,449 | |
6.75% 1/31/21 (b) | 4,915 | 5,062 | |
7.25% 5/15/24 (b) | 7,590 | 7,998 | |
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (b) | 2,060 | 2,106 | |
Crown Cork & Seal, Inc.: | |||
7.375% 12/15/26 | 11,295 | 12,650 | |
7.5% 12/15/96 | 3,685 | 3,763 | |
Sealed Air Corp. 5.25% 4/1/23 (b) | 2,540 | 2,635 | |
40,878 | |||
Metals & Mining - 2.2% | |||
Alcoa Nederland Holding BV: | |||
6.75% 9/30/24 (b) | 2,825 | 3,065 | |
7% 9/30/26 (b) | 2,340 | 2,562 | |
Aleris International, Inc. 6% 6/1/20 (b) | 33 | 33 | |
Alrosa Finance SA 7.75% 11/3/20 (b) | 1,285 | 1,450 | |
Bluescope Steel Ltd./Bluescope Steel Finance 6.5% 5/15/21 (b) | 1,310 | 1,388 | |
Compania Minera Ares SAC 7.75% 1/23/21 (b) | 5,250 | 5,631 | |
EVRAZ Group SA: | |||
6.5% 4/22/20 (b) | 4,945 | 5,178 | |
8.25% 1/28/21 (Reg. S) | 6,090 | 6,692 | |
9.5% 4/24/18 (Reg. S) | 1,935 | 2,070 | |
Evraz, Inc. NA Canada 7.5% 11/15/19 (b) | 9,710 | 9,759 | |
Ferrexpo Finance PLC 10.375% 4/7/19 (b) | 4,300 | 4,300 | |
First Quantum Minerals Ltd.: | |||
6.75% 2/15/20 (b) | 5,615 | 5,601 | |
7% 2/15/21 (b) | 5,040 | 5,013 | |
7.25% 5/15/22 (b) | 2,945 | 2,901 | |
Freeport-McMoRan, Inc.: | |||
3.55% 3/1/22 | 2,130 | 1,981 | |
3.875% 3/15/23 | 6,390 | 5,863 | |
5.4% 11/14/34 | 2,000 | 1,680 | |
5.45% 3/15/43 | 13,105 | 10,845 | |
6.75% 2/1/22 (b) | 6,175 | 6,345 | |
Gerdau Trade, Inc. 5.75% 1/30/21 (b) | 1,495 | 1,533 | |
Gold Fields Orogen Holding BVI Ltd.: | |||
4.875% 10/7/20 (b) | 10,857 | 10,672 | |
4.875% 10/7/20 (Reg. S) | 400 | 393 | |
GTL Trade Finance, Inc. 5.893% 4/29/24 (b) | 3,675 | 3,657 | |
JMC Steel Group, Inc. 9.875% 6/15/23 (b) | 2,775 | 3,108 | |
Joseph T Ryerson & Son, Inc. 11% 5/15/22 (b) | 2,400 | 2,640 | |
Lundin Mining Corp.: | |||
7.5% 11/1/20 (b) | 1,465 | 1,558 | |
7.875% 11/1/22 (b) | 215 | 234 | |
Metinvest BV: | |||
8.75% 2/14/18 (Reg. S) | 2,011 | 1,830 | |
10.5% 11/28/17 (b) | 10,108 | 9,097 | |
10.5% 11/28/17 (Reg. S) | 2,303 | 2,073 | |
Mirabela Nickel Ltd. 1% 9/10/44 pay-in-kind (b)(e) | 15 | 0 | |
Murray Energy Corp. 11.25% 4/15/21 (b) | 6,005 | 4,654 | |
New Gold, Inc. 7% 4/15/20 (b) | 1,480 | 1,517 | |
Polyus Gold International Ltd.: | |||
5.625% 4/29/20 (b) | 5,335 | 5,568 | |
5.625% 4/29/20 (Reg. S) | 500 | 522 | |
Southern Copper Corp. 7.5% 7/27/35 | 3,825 | 4,417 | |
Teck Resources Ltd. 8.5% 6/1/24 (b) | 19,905 | 22,941 | |
United States Steel Corp. 8.375% 7/1/21 (b) | 9,120 | 10,082 | |
Vale Overseas Ltd.: | |||
4.375% 1/11/22 | 3,390 | 3,331 | |
5.875% 6/10/21 | 2,080 | 2,179 | |
6.875% 11/21/36 | 2,160 | 2,128 | |
Vedanta Resources PLC 6% 1/31/19 (b) | 6,425 | 6,441 | |
182,932 | |||
Paper & Forest Products - 0.0% | |||
NewPage Corp.: | |||
0% 5/1/12 (c)(e) | 1,770 | 0 | |
11.375% 12/31/14 (e) | 4,404 | 0 | |
Sino-Forest Corp. 6.25% 10/21/17 (b)(e) | 5,480 | 0 | |
0 | |||
TOTAL MATERIALS | 346,820 | ||
REAL ESTATE - 0.5% | |||
Equity Real Estate Investment Trusts (REITs) - 0.1% | |||
CTR Partnership LP/CareTrust Capital Corp. 5.875% 6/1/21 | 700 | 712 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
5.25% 8/1/26 | 1,495 | 1,465 | |
6.375% 2/15/22 | 4,335 | 4,492 | |
6,669 | |||
Real Estate Management & Development - 0.4% | |||
CBRE Group, Inc. 5% 3/15/23 | 9,605 | 9,908 | |
Grand City Properties SA 1.5% 4/17/25 (Reg. S) | EUR | 2,700 | 2,773 |
Howard Hughes Corp. 6.875% 10/1/21 (b) | 10,865 | 11,450 | |
Inversiones y Representaciones SA 11.5% 7/20/20 (Reg. S) | 15 | 17 | |
IRSA Propiedades Comerciales SA 8.75% 3/23/23 (b) | 2,120 | 2,245 | |
Mattamy Group Corp. 6.875% 12/15/23 (b) | 3,035 | 3,073 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.25% 4/15/21 (b) | 7,370 | 7,554 | |
37,020 | |||
TOTAL REAL ESTATE | 43,689 | ||
TELECOMMUNICATION SERVICES - 6.2% | |||
Diversified Telecommunication Services - 2.8% | |||
Altice Financing SA: | |||
6.5% 1/15/22 (b) | 10,799 | 11,258 | |
6.625% 2/15/23 (b) | 8,265 | 8,492 | |
7.5% 5/15/26 (b) | 8,130 | 8,455 | |
Altice Finco SA: | |||
8.125% 1/15/24 (b) | 8,730 | 9,036 | |
9.875% 12/15/20 (b) | 5,655 | 5,966 | |
Citizens Communications Co.: | |||
7.875% 1/15/27 | 4,895 | 4,051 | |
9% 8/15/31 | 3,655 | 3,116 | |
FairPoint Communications, Inc. 8.75% 8/15/19 (b) | 3,210 | 3,350 | |
Frontier Communications Corp. 11% 9/15/25 | 8,520 | 8,797 | |
GCI, Inc. 6.875% 4/15/25 | 4,240 | 4,304 | |
GTH Finance BV: | |||
6.25% 4/26/20 (b) | 3,600 | 3,773 | |
7.25% 4/26/23 (b) | 9,745 | 10,447 | |
GTT Escrow Corp. 7.875% 12/31/24 (b) | 1,925 | 2,007 | |
Level 3 Communications, Inc. 5.75% 12/1/22 | 4,685 | 4,814 | |
Level 3 Financing, Inc.: | |||
5.125% 5/1/23 | 4,340 | 4,356 | |
5.375% 5/1/25 | 4,340 | 4,427 | |
Lynx II Corp. 6.375% 4/15/23 (b) | 1,820 | 1,891 | |
Sable International Finance Ltd. 6.875% 8/1/22 (b) | 19,275 | 20,046 | |
SFR Group SA: | |||
6% 5/15/22 (b) | 36,670 | 37,633 | |
6.25% 5/15/24 (b) | 34,853 | 35,027 | |
7.375% 5/1/26 (b) | 16,760 | 17,179 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 4,765 | 4,705 | |
8.75% 3/15/32 | 3,641 | 4,005 | |
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (b) | 2,080 | 2,116 | |
U.S. West Communications: | |||
6.875% 9/15/33 | 2,155 | 2,058 | |
7.25% 9/15/25 | 535 | 574 | |
7.25% 10/15/35 | 1,455 | 1,378 | |
UPCB Finance IV Ltd. 5.375% 1/15/25 (b) | 4,635 | 4,670 | |
Virgin Media Finance PLC 4.875% 2/15/22 | 5,445 | 4,887 | |
232,818 | |||
Wireless Telecommunication Services - 3.4% | |||
America Movil S.A.B. de CV 6.45% 12/5/22 | MXN | 79,000 | 3,454 |
Comcel Trust 6.875% 2/6/24 (b) | 2,070 | 2,086 | |
Digicel Group Ltd.: | |||
6% 4/15/21 (b) | 870 | 787 | |
6.75% 3/1/23 (b) | 1,880 | 1,695 | |
7% 2/15/20 (b) | 980 | 923 | |
7.125% 4/1/22 (b) | 13,405 | 10,399 | |
8.25% 9/30/20 (b) | 10,040 | 8,614 | |
Intelsat Jackson Holdings SA: | |||
5.5% 8/1/23 | 14,385 | 9,693 | |
7.25% 10/15/20 | 22,465 | 17,410 | |
7.5% 4/1/21 | 7,635 | 5,822 | |
Millicom International Cellular SA: | |||
4.75% 5/22/20 (b) | 2,150 | 2,177 | |
6% 3/15/25 (b) | 7,780 | 7,644 | |
6.625% 10/15/21 (b) | 8,790 | 9,225 | |
MTS International Funding Ltd. 8.625% 6/22/20 (b) | 530 | 608 | |
Neptune Finco Corp.: | |||
6.625% 10/15/25 (b) | 8,175 | 8,931 | |
10.125% 1/15/23 (b) | 8,455 | 9,766 | |
10.875% 10/15/25 (b) | 20,060 | 23,871 | |
Sprint Communications, Inc. 6% 11/15/22 | 11,390 | 11,475 | |
Sprint Corp.: | |||
7.125% 6/15/24 | 21,530 | 22,176 | |
7.625% 2/15/25 | 11,980 | 12,594 | |
7.875% 9/15/23 | 10,870 | 11,604 | |
T-Mobile U.S.A., Inc.: | |||
6% 4/15/24 | 6,400 | 6,744 | |
6.375% 3/1/25 | 33,465 | 35,766 | |
6.5% 1/15/24 | 20,640 | 22,136 | |
6.625% 4/1/23 | 20,286 | 21,503 | |
6.836% 4/28/23 | 5,580 | 5,978 | |
TBG Global Pte. Ltd. 4.625% 4/3/18 (Reg. S) | 1,630 | 1,645 | |
Telesat Canada/Telesat LLC 8.875% 11/15/24 (b) | 3,245 | 3,383 | |
Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (b) | 2,140 | 2,381 | |
280,490 | |||
TOTAL TELECOMMUNICATION SERVICES | 513,308 | ||
UTILITIES - 2.5% | |||
Electric Utilities - 0.2% | |||
EDF SA 1.875% 10/13/36 (Reg. S) | EUR | 6,300 | 5,994 |
EDP Finance BV 1.125% 2/12/24 (Reg. S) | EUR | 4,200 | 4,189 |
EnBW Energie Baden-Wuerttemberg AG 3.375% 4/5/77 (c) | EUR | 4,400 | 4,642 |
InterGen NV 7% 6/30/23 (b) | 1,730 | 1,540 | |
Israel Electric Corp. Ltd. 7.75% 12/15/27 (Reg. S) | 1,350 | 1,605 | |
RJS Power Holdings LLC 4.625% 7/15/19 (b)(c) | 4,245 | 4,022 | |
21,992 | |||
Gas Utilities - 0.3% | |||
National Grid Gas Finance PLC 1.125% 9/22/21 (Reg. S) | GBP | 9,250 | 11,345 |
Southern Natural Gas Co.: | |||
7.35% 2/15/31 | 6,645 | 7,674 | |
8% 3/1/32 | 3,400 | 4,257 | |
23,276 | |||
Independent Power and Renewable Electricity Producers - 2.0% | |||
Dynegy, Inc.: | |||
7.375% 11/1/22 | 13,365 | 12,764 | |
7.625% 11/1/24 | 15,245 | 14,064 | |
8% 1/15/25 (b) | 5,195 | 4,870 | |
Energy Future Holdings Corp.: | |||
10.875% 11/1/17 (e) | 10,985 | 10,436 | |
11.25% 11/1/17 pay-in-kind (c)(e) | 8,822 | 6,903 | |
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: | |||
11% 10/1/21 (e) | 29,362 | 39,198 | |
12.25% 3/1/22 (b)(c)(e) | 35,768 | 48,733 | |
Listrindo Capital BV 4.95% 9/14/26 (b) | 2,110 | 2,057 | |
PPL Energy Supply LLC 6.5% 6/1/25 | 3,425 | 2,646 | |
TerraForm Power Operating LLC: | |||
6.375% 2/1/23 (b)(c) | 11,640 | 11,786 | |
6.625% 6/15/25 (b)(c) | 2,950 | 3,053 | |
TXU Corp.: | |||
5.55% 11/15/14 (e) | 1,864 | 242 | |
6.5% 11/15/24 (e) | 15,240 | 1,981 | |
6.55% 11/15/34 (e) | 29,755 | 3,868 | |
162,601 | |||
TOTAL UTILITIES | 207,869 | ||
TOTAL NONCONVERTIBLE BONDS | 3,634,908 | ||
TOTAL CORPORATE BONDS | |||
(Cost $3,536,366) | 3,635,412 | ||
U.S. Government and Government Agency Obligations - 13.9% | |||
U.S. Government Agency Obligations - 0.4% | |||
Tennessee Valley Authority: | |||
1.75% 10/15/18 | $15,059 | $15,185 | |
4.25% 9/15/65 | 11,229 | 11,529 | |
5.25% 9/15/39 | 1,138 | 1,427 | |
5.375% 4/1/56 | 3,247 | 4,051 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 32,192 | ||
U.S. Treasury Obligations - 13.1% | |||
U.S. Treasury Bonds: | |||
2.5% 2/15/46 | 9,500 | 8,421 | |
2.5% 5/15/46 | 4,886 | 4,331 | |
2.875% 8/15/45 | 27,219 | 26,132 | |
2.875% 11/15/46 | 15,285 | 14,721 | |
3% 11/15/44 | 5,258 | 5,182 | |
3.625% 2/15/44 | 72,443 | 80,126 | |
4.25% 5/15/39 | 26,600 | 32,237 | |
5.25% 2/15/29 (g)(h) | 14,703 | 18,762 | |
6.125% 8/15/29 (g) | 27,099 | 37,378 | |
7.5% 11/15/24 | 5,690 | 7,820 | |
7.875% 2/15/21 | 6,800 | 8,429 | |
8.125% 5/15/21 | 9,286 | 11,710 | |
U.S. Treasury Notes: | |||
0.875% 6/15/19 | 83,344 | 82,443 | |
1.125% 1/15/19 | 648 | 647 | |
1.125% 7/31/21 | 17,426 | 16,829 | |
1.125% 9/30/21 | 58,579 | 56,448 | |
1.25% 10/31/21(i) | 27,000 | 26,156 | |
1.375% 2/28/19 | 41,776 | 41,882 | |
1.375% 12/15/19 | 17,738 | 17,687 | |
1.375% 8/31/23 | 7,000 | 6,624 | |
1.5% 12/31/18 | 3,624 | 3,644 | |
1.5% 1/31/19 | 919 | 924 | |
1.5% 10/31/19 | 31,231 | 31,292 | |
1.5% 1/31/22 | 25,140 | 24,547 | |
1.5% 8/15/26 | 2,021 | 1,856 | |
1.625% 4/30/19 | 33,973 | 34,228 | |
1.625% 6/30/19 | 39,152 | 39,430 | |
1.625% 12/31/19 | 10,776 | 10,823 | |
1.625% 6/30/20 | 1,783 | 1,783 | |
1.75% 9/30/19 | 35,592 | 35,927 | |
1.75% 12/31/20 | 1,389 | 1,387 | |
1.75% 11/30/21 | 6,000 | 5,949 | |
2% 9/30/20 | 126,474 | 127,804 | |
2% 12/31/21 | 18,000 | 18,048 | |
2% 7/31/22 | 3,557 | 3,540 | |
2% 2/15/25 | 14,185 | 13,787 | |
2% 8/15/25 | 1,953 | 1,889 | |
2% 11/15/26 | 53,820 | 51,699 | |
2.125% 6/30/21 | 11,000 | 11,108 | |
2.125% 5/15/25 | 17,332 | 16,967 | |
2.25% 7/31/21 | 55,359 | 56,174 | |
2.25% 12/31/23 | 92,531 | 92,460 | |
TOTAL U.S. TREASURY OBLIGATIONS | 1,089,231 | ||
Other Government Related - 0.4% | |||
National Credit Union Administration Guaranteed Notes: | |||
Series 2010-A1 Class A, 0.9989% 12/7/20 (NCUA Guaranteed) (c) | 1,355 | 1,352 | |
Series 2011-R1 Class 1A, 0.982% 1/8/20 (NCUA Guaranteed) (c) | 3,211 | 3,213 | |
Series 2011-R4 Class 1A, 0.912% 3/6/20 (NCUA Guaranteed) (c) | 561 | 561 | |
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) | 25,300 | 26,650 | |
TOTAL OTHER GOVERNMENT RELATED | 31,776 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $1,156,694) | 1,153,199 | ||
U.S. Government Agency - Mortgage Securities - 1.7% | |||
Fannie Mae - 1.2% | |||
2.54% 6/1/42 (c) | 256 | 265 | |
2.55% 11/1/35 (c) | 330 | 342 | |
2.551% 9/1/33 (c) | 341 | 352 | |
2.6% 6/1/47 (c) | 62 | 65 | |
2.603% 1/1/35 (c) | 147 | 153 | |
2.615% 10/1/35 (c) | 20 | 20 | |
2.647% 2/1/37 (c) | 381 | 401 | |
2.69% 7/1/35 (c) | 119 | 125 | |
2.69% 3/1/37 (c) | 25 | 27 | |
2.698% 2/1/42 (c) | 1,428 | 1,485 | |
2.715% 2/1/36 (c) | 11 | 11 | |
2.769% 1/1/42 (c) | 1,068 | 1,107 | |
2.802% 6/1/36 (c) | 38 | 39 | |
2.815% 9/1/36 (c) | 35 | 36 | |
2.85% 11/1/36 (c) | 25 | 26 | |
2.852% 3/1/33 (c) | 74 | 77 | |
2.915% 11/1/33 (c) | 15 | 16 | |
2.943% 9/1/41 (c) | 150 | 156 | |
2.972% 5/1/36 (c) | 24 | 25 | |
2.973% 11/1/40 (c) | 129 | 136 | |
2.975% 10/1/41 (c) | 74 | 77 | |
3.008% 4/1/36 (c) | 184 | 197 | |
3.239% 7/1/41 (c) | 240 | 252 | |
3.272% 8/1/35 (c) | 312 | 325 | |
3.353% 10/1/41 (c) | 136 | 142 | |
3.5% 1/1/26 to 10/1/45 | 9,017 | 9,247 | |
3.5% 1/1/47 (j) | 16,700 | 17,108 | |
3.549% 7/1/41 (c) | 304 | 316 | |
4% 5/1/29 | 19,054 | 20,118 | |
4% 1/1/47 (j) | 16,200 | 17,020 | |
4.5% 11/1/25 to 4/1/39 | 17,496 | 18,851 | |
5% 5/1/22 to 7/1/35 | 3,439 | 3,776 | |
5.5% 10/1/20 to 1/1/29 | 2,171 | 2,350 | |
6.5% 5/1/17 to 8/1/36 | 3,595 | 4,123 | |
7.5% 1/1/28 | 27 | 32 | |
TOTAL FANNIE MAE | 98,798 | ||
Freddie Mac - 0.2% | |||
2.2% 3/1/37 (c) | 17 | 17 | |
2.555% 2/1/37 (c) | 50 | 52 | |
2.57% 3/1/35 (c) | 70 | 72 | |
2.571% 1/1/36 (c) | 78 | 81 | |
2.602% 6/1/33 (c) | 193 | 202 | |
2.66% 8/1/37 (c) | 77 | 80 | |
2.699% 2/1/36 (c) | 4 | 4 | |
2.813% 1/1/37 (c) | 221 | 229 | |
2.85% 7/1/35 (c) | 144 | 151 | |
2.875% 5/1/37 (c) | 34 | 36 | |
2.925% 6/1/37 (c) | 29 | 30 | |
2.936% 5/1/37 (c) | 45 | 47 | |
2.949% 6/1/37 (c) | 222 | 234 | |
2.99% 9/1/35 (c) | 21 | 22 | |
3% 2/1/31 | 4,948 | 5,087 | |
3.026% 10/1/41 (c) | 886 | 922 | |
3.035% 10/1/36 (c) | 291 | 305 | |
3.065% 10/1/35 (c) | 121 | 127 | |
3.065% 9/1/41 (c) | 1,453 | 1,509 | |
3.07% 7/1/35 (c) | 145 | 155 | |
3.076% 10/1/42 (c) | 905 | 956 | |
3.156% 4/1/37 (c) | 36 | 38 | |
3.183% 9/1/41 (c) | 183 | 191 | |
3.202% 5/1/37 (c) | 709 | 750 | |
3.22% 4/1/37 (c) | 9 | 9 | |
3.221% 5/1/37 (c) | 262 | 271 | |
3.221% 4/1/41 (c) | 162 | 168 | |
3.246% 6/1/37 (c) | 48 | 50 | |
3.28% 6/1/41 (c) | 195 | 205 | |
3.295% 7/1/36 (c) | 67 | 71 | |
3.392% 5/1/41 (c) | 143 | 151 | |
3.638% 6/1/41 (c) | 235 | 248 | |
3.672% 5/1/41 (c) | 226 | 238 | |
3.845% 10/1/35 (c) | 33 | 35 | |
6% 1/1/24 | 830 | 901 | |
6.5% 2/1/17 to 3/1/22 | 264 | 283 | |
8.5% 3/1/20 | 0 | 0 | |
TOTAL FREDDIE MAC | 13,927 | ||
Ginnie Mae - 0.3% | |||
4.3% 8/20/61 (k) | 2,519 | 2,589 | |
4.649% 2/20/62 (k) | 1,915 | 1,994 | |
4.682% 2/20/62 (k) | 2,434 | 2,534 | |
4.684% 1/20/62 (k) | 11,620 | 12,072 | |
5.47% 8/20/59 (k) | 298 | 301 | |
5.5% 11/15/35 | 1,389 | 1,591 | |
6% 6/15/36 | 2,831 | 3,265 | |
7% 9/15/25 to 8/15/31 | 19 | 21 | |
7.5% 2/15/22 to 8/15/28 | 38 | 44 | |
8% 12/15/26 | 0 | 0 | |
TOTAL GINNIE MAE | 24,411 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $136,747) | 137,136 | ||
Collateralized Mortgage Obligations - 3.6% | |||
U.S. Government Agency - 3.6% | |||
Fannie Mae: | |||
floater Series 2010-15 Class FJ, 1.6861% 6/25/36 (c) | $3,239 | $3,284 | |
planned amortization class: | |||
Series 2002-9 Class PC, 6% 3/25/17 | 0 | 0 | |
Series 2003-70 Class BJ, 5% 7/25/33 | 333 | 366 | |
Series 2005-19 Class PA, 5.5% 7/25/34 | 907 | 957 | |
Series 2005-27 Class NE, 5.5% 5/25/34 | 527 | 534 | |
Series 2005-64 Class PX, 5.5% 6/25/35 | 974 | 1,057 | |
Series 2005-68 Class CZ, 5.5% 8/25/35 | 3,031 | 3,394 | |
Series 2010-118 Class PB, 4.5% 10/25/40 | 3,310 | 3,503 | |
sequential payer: | |||
Series 2002-57 Class BD, 5.5% 9/25/17 | 6 | 6 | |
Series 2003-117 Class MD, 5% 12/25/23 | 668 | 712 | |
Series 2004-91 Class Z, 5% 12/25/34 | 2,914 | 3,216 | |
Series 2005-117 Class JN, 4.5% 1/25/36 | 808 | 855 | |
Series 2005-14 Class ZB, 5% 3/25/35 | 1,080 | 1,192 | |
Series 2006-72 Class CY, 6% 8/25/26 | 895 | 971 | |
Series 2009-59 Class HB, 5% 8/25/39 | 1,599 | 1,765 | |
Series 2010-97 Class CX, 4.5% 9/25/25 | 3,800 | 4,101 | |
Series 2009-85 Class IB, 4.5% 8/25/24 (l) | 150 | 9 | |
Series 2009-93 Class IC, 4.5% 9/25/24 (l) | 224 | 13 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (l) | 1,827 | 223 | |
Series 2010-39 Class FG, 1.6761% 3/25/36 (c) | 2,012 | 2,053 | |
Series 2010-97 Class CI, 4.5% 8/25/25 (l) | 526 | 35 | |
Series 2011-67 Class AI, 4% 7/25/26 (l) | 532 | 57 | |
Series 2012-27 Class EZ, 4.25% 3/25/42 | 3,267 | 3,516 | |
Series 2016-26 Class CG, 3% 5/25/46 | 7,020 | 7,180 | |
Freddie Mac: | |||
floater: | |||
Series 2630 Class FL, 1.2039% 6/15/18 (c) | 4 | 4 | |
Series 2711 Class FC, 1.6039% 2/15/33 (c) | 1,055 | 1,071 | |
floater planned amortization class Series 2770 Class FH, 1.1039% 3/15/34 (c) | 1,318 | 1,321 | |
planned amortization class: | |||
Series 2101 Class PD, 6% 11/15/28 | 42 | 46 | |
Series 2425 Class JH, 6% 3/15/17 | 2 | 2 | |
Series 2996 Class MK, 5.5% 6/15/35 | 103 | 114 | |
Series 3415 Class PC, 5% 12/15/37 | 472 | 502 | |
Series 3763 Class QA, 4% 4/15/34 | 616 | 623 | |
Series 3840 Class VA, 4.5% 9/15/27 | 1,702 | 1,780 | |
sequential payer: | |||
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 5,243 | 5,852 | |
Series 2303 Class ZV, 6% 4/15/31 | 105 | 114 | |
Series 2877 Class ZD, 5% 10/15/34 | 3,531 | 3,898 | |
Series 3745 Class KV, 4.5% 12/15/26 | 3,016 | 3,254 | |
Series 3806 Class L, 3.5% 2/15/26 | 3,100 | 3,260 | |
Series 3843 Class PZ, 5% 4/15/41 | 1,115 | 1,284 | |
Freddie Mac Multi-family Structured pass-thru certificates sequential payer: | |||
Series 4335 Class AL, 4.25% 3/15/40 | 2,943 | 3,104 | |
Series 4341 Class ML, 3.5% 11/15/31 | 3,839 | 4,007 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-59 Class FC, 1.239% 7/20/37 (c) | 683 | 686 | |
Series 2008-2 Class FD, 1.219% 1/20/38 (c) | 168 | 168 | |
Series 2008-73 Class FA, 1.599% 8/20/38 (c) | 1,119 | 1,138 | |
Series 2008-83 Class FB, 1.639% 9/20/38 (c) | 996 | 1,014 | |
Series 2009-108 Class CF, 1.3073% 11/16/39 (c) | 792 | 798 | |
Series 2009-116 Class KF, 1.2373% 12/16/39 (c) | 579 | 582 | |
Series 2010-H17 Class FA, 0.9359% 7/20/60 (c)(k) | 4,203 | 4,156 | |
Series 2010-H18 Class AF, 0.8304% 9/20/60 (c)(k) | 5,129 | 5,068 | |
Series 2010-H19 Class FG, 0.8304% 8/20/60 (c)(k) | 5,611 | 5,545 | |
Series 2010-H27 Series FA, 0.9104% 12/20/60 (c)(k) | 1,924 | 1,906 | |
Series 2011-H05 Class FA, 1.0304% 12/20/60 (c)(k) | 3,215 | 3,200 | |
Series 2011-H07 Class FA, 1.0304% 2/20/61 (c)(k) | 6,168 | 6,142 | |
Series 2011-H12 Class FA, 1.0204% 2/20/61 (c)(k) | 7,564 | 7,529 | |
Series 2011-H13 Class FA, 1.0304% 4/20/61 (c)(k) | 2,786 | 2,774 | |
Series 2011-H14: | |||
Class FB, 1.0304% 5/20/61 (c)(k) | 3,276 | 3,259 | |
Class FC, 1.0304% 5/20/61 (c)(k) | 2,943 | 2,929 | |
Series 2011-H17 Class FA, 1.0604% 6/20/61 (c)(k) | 3,921 | 3,908 | |
Series 2011-H21 Class FA, 1.1304% 10/20/61 (c)(k) | 4,271 | 4,265 | |
Series 2012-H01 Class FA, 1.2304% 11/20/61 (c)(k) | 3,695 | 3,702 | |
Series 2012-H03 Class FA, 1.2304% 1/20/62 (c)(k) | 2,332 | 2,336 | |
Series 2012-H06 Class FA, 1.1604% 1/20/62 (c)(k) | 3,593 | 3,592 | |
Series 2012-H07 Class FA, 1.1604% 3/20/62 (c)(k) | 2,202 | 2,202 | |
Series 2013-H19: | |||
Class FC, 1.1304% 8/20/63 (c)(k) | 529 | 528 | |
Class FD, 1.1304% 8/20/63 (c)(k) | 1,413 | 1,411 | |
Series 2015-H13 Class FL, 0.8104% 5/20/63 (c)(k) | 10,125 | 10,112 | |
Series 2015-H19 Class FA, 0.7304% 4/20/63 (c)(k) | 9,653 | 9,631 | |
planned amortization class Series 2011-136 Class WI, 4.5% 5/20/40 (l) | 1,267 | 159 | |
sequential payer: | |||
Series 2011-69 Class GX, 4.5% 5/16/40 | 4,910 | 5,337 | |
Series 2013-H06 Class HA, 1.65% 1/20/63 (k) | 2,007 | 2,000 | |
Series 2014-H12 Class KA, 2.75% 5/20/64 (k) | 2,534 | 2,565 | |
Series 2016-H02 Class FM, 1.0304% 9/20/62 (c)(k) | 8,153 | 8,153 | |
Series 2016-H04 Class FE, 1.1804% 11/20/65 (c)(k) | 2,677 | 2,680 | |
Series 2010-169 Class Z, 4.5% 12/20/40 | 2,429 | 2,579 | |
Series 2010-H15 Class TP, 5.15% 8/20/60 (k) | 9,210 | 9,663 | |
Series 2010-H17 Class XP, 5.2995% 7/20/60 (c)(k) | 11,146 | 11,626 | |
Series 2010-H18 Class PL, 5.01% 9/20/60 (c)(k) | 9,034 | 9,459 | |
Series 2013-124: | |||
Class ES, 7.6813% 4/20/39 (c)(m) | 3,961 | 4,208 | |
Class ST, 7.8147% 8/20/39 (c)(m) | 7,676 | 8,359 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (k) | 9,140 | 9,241 | |
Series 2015-H21: | |||
Class HA, 2.5% 6/20/63 (k) | 26,896 | 27,222 | |
Class JA, 2.5% 6/20/65 (k) | 2,515 | 2,546 | |
Series 2015-H30 Class HA, 1.75% 9/20/62 (c)(k) | 18,602 | 18,490 | |
Series 2016-H13 Class FB, 1.18% 5/20/66 (c)(k) | 9,531 | 9,509 | |
Series 2090-118 Class XZ, 5% 12/20/39 | 5,390 | 6,131 | |
TOTAL U.S. GOVERNMENT AGENCY | |||
(Cost $298,255) | 297,743 | ||
Commercial Mortgage Securities - 0.9% | |||
Freddie Mac: | |||
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 | 2,480 | 2,654 | |
sequential payer: | |||
Series K006 Class A2, 4.251% 1/25/20 | 10,365 | 10,972 | |
Series K027 Class A2, 2.637% 1/25/23 | 2,736 | 2,764 | |
Series K029 Class A2, 3.32% 2/25/23 (c) | 1,343 | 1,406 | |
Series K034 Class A1, 2.669% 2/25/23 | 8,041 | 8,102 | |
Series K037 Class A2, 3.49% 1/25/24 | 4,311 | 4,538 | |
Series K713 Class A2, 2.313% 3/25/20 | 1,871 | 1,893 | |
Series K717 Class A2, 2.991% 9/25/21 | 1,559 | 1,611 | |
Series K039 Class A2, 3.303% 7/25/24 | 16,000 | 16,586 | |
Series K042 Class A2, 2.67% 12/25/24 | 13,200 | 13,081 | |
Freddie Mac Multi-family Structured pass-thru certificates Series K044 Class A2, 2.811% 1/25/25 | 12,200 | 12,202 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $76,415) | 75,809 | ||
Foreign Government and Government Agency Obligations - 15.3% | |||
Arab Republic 5.875% 6/11/25 (b) | 1,298 | 1,177 | |
Arab Republic of Egypt: | |||
5.875% 6/11/25 | 3,125 | 2,835 | |
6.875% 4/30/40 (b) | 750 | 651 | |
Argentine Republic: | |||
6.25% 4/22/19 (b) | 13,745 | 14,673 | |
6.875% 4/22/21 (b) | 30,025 | 31,977 | |
Australian Commonwealth: | |||
1.75% 11/21/20 | AUD | 19,150 | 13,631 |
3% 3/21/47 | AUD | 21,950 | 13,635 |
4.25% 4/21/26 | AUD | 20,950 | 17,021 |
Azerbaijan Republic 4.75% 3/18/24 (b) | 1,115 | 1,107 | |
Banco Central del Uruguay: | |||
value recovery A rights 1/2/21 (n) | 500,000 | 0 | |
value recovery B rights 1/2/21 (n) | 750,000 | 0 | |
Belarus Republic 8.95% 1/26/18 | 16,510 | 17,025 | |
Brazilian Federative Republic: | |||
4.25% 1/7/25 | 1,975 | 1,847 | |
5.625% 1/7/41 | 5,810 | 5,169 | |
6% 4/7/26 | 1,300 | 1,346 | |
7.125% 1/20/37 | 11,810 | 12,312 | |
8.25% 1/20/34 | 16,020 | 18,506 | |
Buenos Aires Province: | |||
9.375% 9/14/18 (b) | 2,525 | 2,778 | |
9.95% 6/9/21 (b) | 6,285 | 7,066 | |
10.875% 1/26/21 (Reg. S) | 16,821 | 19,302 | |
Buoni del Tesoro Poliennali: | |||
0.25% 5/15/18 | EUR | 8,000 | 8,468 |
0.35% 11/1/21 | EUR | 350 | 364 |
1.25% 12/1/26 | EUR | 14,500 | 14,486 |
2.7% 3/1/47(b) | EUR | 7,400 | 7,473 |
4.5% 3/1/24 | EUR | 17,675 | 22,663 |
Canadian Government: | |||
0.75% 3/1/21 | CAD | 9,475 | 6,963 |
1.5% 6/1/26 | CAD | 52,350 | 38,250 |
3.5% 12/1/45 | CAD | 15,200 | 14,062 |
Central Bank of Nigeria warrants 11/15/20 (n) | 6,250 | 495 | |
City of Buenos Aires 8.95% 2/19/21 (b) | 4,360 | 4,861 | |
Colombian Republic: | |||
4.375% 3/21/23 | COP | 26,092,000 | 7,571 |
5.625% 2/26/44 | 1,425 | 1,468 | |
7.375% 9/18/37 | 2,475 | 3,007 | |
10.375% 1/28/33 | 5,575 | 8,098 | |
Congo Republic 4% 6/30/29 (d) | 8,709 | 5,462 | |
Costa Rican Republic: | |||
4.25% 1/26/23 (b) | 850 | 776 | |
5.625% 4/30/43 (b) | 640 | 504 | |
7% 4/4/44 (b) | 4,285 | 3,916 | |
Croatia Republic: | |||
5.5% 4/4/23 (b) | 1,350 | 1,424 | |
6% 1/26/24 (b) | 1,100 | 1,192 | |
6.375% 3/24/21 (b) | 2,495 | 2,719 | |
6.625% 7/14/20 (b) | 1,755 | 1,909 | |
Danish Kingdom 1.75% 11/15/25 | DKK | 64,500 | 10,279 |
Democratic Socialist Republic of Sri Lanka: | |||
6.25% 10/4/20 (b) | 1,780 | 1,825 | |
6.25% 7/27/21 (b) | 1,190 | 1,208 | |
Dominican Republic: | |||
2.125% 8/30/24 (c) | 12,693 | 11,852 | |
6.85% 1/27/45 (b) | 1,855 | 1,752 | |
6.875% 1/29/26 (b) | 2,765 | 2,874 | |
7.45% 4/30/44 (b) | 4,565 | 4,611 | |
7.5% 5/6/21 (b) | 3,790 | 4,113 | |
Dutch Government 2% 7/15/24 | EUR | 6,150 | 7,428 |
Ecuador Republic 9.65% 12/13/26 (b) | 900 | 920 | |
El Salvador Republic 7.625% 2/1/41 (b) | 770 | 690 | |
French Government: | |||
OAT: | |||
1.75% 5/25/23 | EUR | 19,200 | 22,431 |
3.25% 5/25/45 | EUR | 9,125 | 13,218 |
0% 5/25/22 | EUR | 23,650 | 25,061 |
0.5% 5/25/26 | EUR | 33,550 | 34,966 |
1.75% 5/25/66 (b) | EUR | 4,000 | 4,095 |
German Federal Republic: | |||
0% 10/8/21 | EUR | 7,650 | 8,263 |
0% 8/15/26(Reg. S) | EUR | 41,650 | 43,027 |
Hong Kong Government SAR 1.32% 12/23/19 | HKD | 21,000 | 2,709 |
Hungarian Republic 7.625% 3/29/41 | 1,227 | 1,714 | |
Indonesian Republic: | |||
4.75% 1/8/26 (b) | 2,120 | 2,188 | |
6.625% 2/17/37 (b) | 1,470 | 1,700 | |
7.75% 1/17/38 (b) | 6,300 | 8,085 | |
8.375% 3/15/24 | IDR | 124,734,000 | 9,467 |
8.5% 10/12/35 (Reg. S) | 5,820 | 7,895 | |
Irish Republic: | |||
1% 5/15/26(Reg. S) | EUR | 10,700 | 11,507 |
2% 2/18/45 (Reg.S) | EUR | 6,329 | 7,136 |
Islamic Republic of Pakistan: | |||
7.25% 4/15/19 (b) | 6,215 | 6,578 | |
8.25% 4/15/24 (b) | 1,150 | 1,247 | |
Israeli State (guaranteed by U.S. Government through Agency for International Development): | |||
5.5% 9/18/23 | 28,730 | 33,967 | |
5.5% 12/4/23 | 12,385 | 14,717 | |
Ivory Coast 5.75% 12/31/32 | 6,296 | 5,819 | |
Japan Government: | |||
0.1% 12/20/20 | JPY | 5,760,550 | 49,716 |
0.1% 6/20/26 | JPY | 2,000,000 | 17,235 |
0.4% 3/20/56 | JPY | 1,150,000 | 8,550 |
0.9% 6/20/22 | JPY | 4,982,800 | 44,937 |
1.9% 9/20/30 | JPY | 4,785,000 | 50,273 |
Jordanian Kingdom: | |||
2.503% 10/30/20 | 25,601 | 26,243 | |
3% 6/30/25 | 8,712 | 8,874 | |
5.75% 1/31/27 (b) | 1,245 | 1,180 | |
Kazakhstan Republic 6.5% 7/21/45 (b) | 1,020 | 1,168 | |
Kingdom of Norway 3.75% 5/25/21 | NOK | 36,000 | 4,643 |
Lebanese Republic: | |||
4% 12/31/17 | 4,755 | 4,689 | |
5% 10/12/17 | 4,420 | 4,418 | |
5.45% 11/28/19 | 1,430 | 1,393 | |
6% 5/20/19 | 1,715 | 1,711 | |
9% 3/20/17 | 5,175 | 5,213 | |
New Zealand Government 6% 5/15/21 | NZD | 8,000 | 6,311 |
Panamanian Republic: | |||
8.875% 9/30/27 | 500 | 686 | |
9.375% 4/1/29 | 875 | 1,234 | |
Perusahaan Penerbit SBSN 4.55% 3/29/26 (b) | 2,110 | 2,121 | |
Peruvian Republic: | |||
4% 3/7/27 (d) | 5,671 | 5,671 | |
6.35% 8/12/28 (b) | PEN | 17,680 | 5,187 |
8.2% 8/12/26 (Reg. S) | PEN | 26,490 | 8,889 |
Provincia de Cordoba: | |||
7.125% 6/10/21 (b) | 7,565 | 7,773 | |
12.375% 8/17/17 (b) | 3,120 | 3,292 | |
Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) | 5,288 | 5,349 | |
Republic of Armenia: | |||
6% 9/30/20 (b) | 5,196 | 5,354 | |
7.15% 3/26/25 (b) | 3,580 | 3,756 | |
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 13,170 | 10,930 | |
Republic of Kenya 6.875% 6/24/24 (b) | 1,450 | 1,367 | |
Republic of Nigeria: | |||
5.125% 7/12/18 (b) | 2,330 | 2,366 | |
6.75% 1/28/21 (b) | 590 | 595 | |
Republic of Rwanda 6.625% 5/2/23 (b) | 1,250 | 1,235 | |
Republic of Serbia: | |||
4.875% 2/25/20 (b) | 725 | 737 | |
6.75% 11/1/24 (b) | 4,540 | 4,599 | |
7.25% 9/28/21 (b) | 3,750 | 4,181 | |
Republic of Singapore 3.25% 9/1/20 | SGD | 22,800 | 16,610 |
Russian Federation: | |||
4.875% 9/16/23 (b) | 1,720 | 1,812 | |
5.625% 4/4/42 (b) | 2,800 | 3,011 | |
5.875% 9/16/43 (b) | 3,200 | 3,536 | |
7.5% 3/15/18 | RUB | 417,605 | 6,759 |
12.75% 6/24/28 (Reg. S) | 16,105 | 27,348 | |
Spanish Kingdom: | |||
2.75% 10/31/24 (Reg. S) | EUR | 10,475 | 12,398 |
2.9% 10/31/46(Reg. S) (b) | EUR | 15,475 | 17,304 |
Sweden Kingdom 3.5% 6/1/22 | SEK | 125,350 | 16,460 |
Switzerland Confederation 4.25% 6/5/17 | CHF | 21,500 | 21,584 |
The Third Pakistan International Sukuk Co. Ltd. 5.5% 10/13/21 (b) | 2,375 | 2,410 | |
Turkish Republic: | |||
4.875% 10/9/26 | 1,485 | 1,374 | |
5.125% 3/25/22 | 2,195 | 2,178 | |
5.625% 3/30/21 | 3,915 | 4,014 | |
6.25% 9/26/22 | 5,090 | 5,286 | |
6.75% 5/30/40 | 3,520 | 3,543 | |
6.875% 3/17/36 | 3,290 | 3,384 | |
7% 6/5/20 | 2,995 | 3,216 | |
7.25% 3/5/38 | 2,605 | 2,778 | |
7.375% 2/5/25 | 4,105 | 4,500 | |
7.5% 11/7/19 | 2,915 | 3,170 | |
8% 2/14/34 | 2,075 | 2,368 | |
9.4% 7/8/20 | TRY | 31,105 | 8,484 |
11.875% 1/15/30 | 3,695 | 5,534 | |
Turkiye Ihracat Kredi Bankasi A/S 5.375% 2/8/21 (b) | 2,155 | 2,107 | |
Ukraine Government: | |||
0% 5/31/40 (b)(c) | 2,209 | 665 | |
1.471% 9/29/21 | 3,400 | 3,319 | |
7.75% 9/1/19 (b) | 1,281 | 1,288 | |
7.75% 9/1/20 (b) | 1,867 | 1,841 | |
7.75% 9/1/21 (b) | 1,089 | 1,063 | |
7.75% 9/1/22 (b) | 1,089 | 1,054 | |
7.75% 9/1/23 (b) | 1,089 | 1,045 | |
7.75% 9/1/24 (b) | 1,089 | 1,035 | |
7.75% 9/1/25 (b) | 1,089 | 1,023 | |
7.75% 9/1/26 (b) | 1,089 | 1,019 | |
7.75% 9/1/27 (b) | 1,089 | 1,011 | |
United Kingdom, Great Britain and Northern Ireland: | |||
1.25% 7/22/18 | GBP | 11,950 | 15,000 |
1.5% 1/22/21 | GBP | 17,750 | 22,820 |
1.5% 7/22/26(Reg. S) | GBP | 1,700 | 2,144 |
United Kingdom, Great Britain and Northern Ireland Treasury Indexed-Linked GILT 2.5% 7/22/65 (Reg. S) | GBP | 16,300 | 25,522 |
United Mexican States 6.5% 6/10/21 | MXN | 126,650 | 5,958 |
United Republic of Tanzania 7.2501% 3/9/20 (c) | 486 | 508 | |
Uruguay Republic 7.875% 1/15/33 pay-in-kind | 2,510 | 3,160 | |
Venezuelan Republic: | |||
oil recovery rights 4/15/20 (n) | 97,601 | 220 | |
9.25% 9/15/27 | 10,305 | 5,230 | |
11.95% 8/5/31 (Reg. S) | 5,065 | 2,824 | |
12.75% 8/23/22 | 2,800 | 1,736 | |
Vietnamese Socialist Republic: | |||
2.0625% 3/13/28 (c) | 530 | 462 | |
4% 3/12/28 (d) | 13,793 | 13,769 | |
4.8% 11/19/24 (b) | 590 | 581 | |
6.75% 1/29/20 (b) | 1,770 | 1,917 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $1,281,343) | 1,260,789 | ||
Shares | Value (000s) | ||
Common Stocks - 5.1% | |||
CONSUMER DISCRETIONARY - 1.6% | |||
Auto Components - 0.4% | |||
Chassix Holdings, Inc. (o) | 302,830 | 9,769 | |
Chassix Holdings, Inc. warrants 7/29/20 (o) | 16,209 | 130 | |
Delphi Automotive PLC | 99,300 | 6,688 | |
Exide Technologies (o) | 3,795 | 0 | |
Exide Technologies (o) | 12,652 | 0 | |
Lear Corp. | 69,100 | 9,147 | |
Tenneco, Inc. (o) | 117,300 | 7,328 | |
33,062 | |||
Automobiles - 0.0% | |||
General Motors Co. | 4,305 | 150 | |
Diversified Consumer Services - 0.0% | |||
Houghton Mifflin Harcourt Co. warrants 6/22/19 (o)(p) | 32,078 | 86 | |
Hotels, Restaurants & Leisure - 0.5% | |||
Extended Stay America, Inc. unit | 664,300 | 10,728 | |
International Game Technology PLC | 169,500 | 4,326 | |
Melco Crown Entertainment Ltd. sponsored ADR | 205,200 | 3,263 | |
Red Rock Resorts, Inc. (b) | 1,161,144 | 26,927 | |
45,244 | |||
Household Durables - 0.2% | |||
CalAtlantic Group, Inc. | 155,500 | 5,289 | |
Newell Brands, Inc. | 74,045 | 3,306 | |
Taylor Morrison Home Corp. (o) | 296,100 | 5,703 | |
14,298 | |||
Internet & Direct Marketing Retail - 0.1% | |||
Expedia, Inc. | 34,900 | 3,953 | |
Media - 0.4% | |||
DISH Network Corp. Class A (o) | 182,200 | 10,555 | |
Naspers Ltd. Class N | 73,600 | 10,745 | |
Sinclair Broadcast Group, Inc. Class A | 387,900 | 12,936 | |
34,236 | |||
TOTAL CONSUMER DISCRETIONARY | 131,029 | ||
CONSUMER STAPLES - 0.0% | |||
Food & Staples Retailing - 0.0% | |||
Ovation Acquisition I LLC (p) | 1,446,490 | 0 | |
Food Products - 0.0% | |||
Reddy Ice Holdings, Inc. (o) | 142,776 | 32 | |
TOTAL CONSUMER STAPLES | 32 | ||
ENERGY - 0.1% | |||
Energy Equipment & Services - 0.0% | |||
Hornbeck Offshore Services, Inc. (i)(o) | 108,700 | 785 | |
Oil, Gas & Consumable Fuels - 0.1% | |||
Crestwood Equity Partners LP | 60,500 | 1,546 | |
Goodrich Petroleum Corp. | 48,395 | 600 | |
Pacific Exploration and Production Corp. | 100,711 | 4,405 | |
Pacific Exploration and Production Corp. Class D | 80,825 | 3,535 | |
10,086 | |||
TOTAL ENERGY | 10,871 | ||
FINANCIALS - 0.1% | |||
Capital Markets - 0.0% | |||
Penson Worldwide, Inc. Class A (o) | 3,883,237 | 0 | |
Consumer Finance - 0.1% | |||
OneMain Holdings, Inc. (o) | 206,600 | 4,574 | |
Diversified Financial Services - 0.0% | |||
Tricer Holdco S.C.A. (p) | 213,632 | 1,474 | |
TOTAL FINANCIALS | 6,048 | ||
HEALTH CARE - 0.6% | |||
Biotechnology - 0.1% | |||
Alexion Pharmaceuticals, Inc. (o) | 61,600 | 7,537 | |
Health Care Providers & Services - 0.3% | |||
Envision Healthcare Corp. (o) | 108,700 | 6,880 | |
HCA Holdings, Inc. (o) | 206,800 | 15,307 | |
Rotech Healthcare, Inc. (o) | 68,276 | 770 | |
22,957 | |||
Pharmaceuticals - 0.2% | |||
Allergan PLC | 58,800 | 12,349 | |
Patheon NV | 212,000 | 6,087 | |
18,436 | |||
TOTAL HEALTH CARE | 48,930 | ||
INDUSTRIALS - 0.6% | |||
Airlines - 0.1% | |||
Air Canada (o) | 806,200 | 8,208 | |
Delta Air Lines, Inc. | 78,000 | 3,837 | |
12,045 | |||
Commercial Services & Supplies - 0.0% | |||
WP Rocket Holdings, Inc. (o)(p) | 9,383,257 | 563 | |
Construction & Engineering - 0.1% | |||
AECOM (o) | 133,900 | 4,869 | |
Marine - 0.0% | |||
U.S. Shipping Partners Corp. (o) | 12,063 | 0 | |
U.S. Shipping Partners Corp. warrants 12/31/29 (o) | 112,939 | 0 | |
0 | |||
Road & Rail - 0.0% | |||
Avis Budget Group, Inc. (o) | 66,400 | 2,436 | |
Trading Companies & Distributors - 0.4% | |||
Air Lease Corp. Class A | 123,200 | 4,229 | |
HD Supply Holdings, Inc. (o) | 281,900 | 11,984 | |
Penhall Acquisition Co.: | |||
Class A (o) | 6,088 | 495 | |
Class B (o) | 2,029 | 165 | |
United Rentals, Inc. (o) | 141,500 | 14,940 | |
31,813 | |||
TOTAL INDUSTRIALS | 51,726 | ||
INFORMATION TECHNOLOGY - 1.8% | |||
Communications Equipment - 0.1% | |||
CommScope Holding Co., Inc. (o) | 115,000 | 4,278 | |
Electronic Equipment & Components - 0.1% | |||
CDW Corp. | 221,500 | 11,538 | |
Internet Software& Services - 0.6% | |||
Alibaba Group Holding Ltd. sponsored ADR (o) | 245,200 | 21,531 | |
Alphabet, Inc. Class A (o) | 19,300 | 15,294 | |
Facebook, Inc. Class A (o) | 125,400 | 14,427 | |
51,252 | |||
IT Services - 0.2% | |||
Global Payments, Inc. | 61,200 | 4,248 | |
MasterCard, Inc. Class A | 64,900 | 6,701 | |
PayPal Holdings, Inc. (o) | 140,000 | 5,526 | |
16,475 | |||
Semiconductors & Semiconductor Equipment - 0.7% | |||
Broadcom Ltd. | 58,100 | 10,270 | |
Cypress Semiconductor Corp. | 5,171 | 59 | |
MagnaChip Semiconductor Corp. (o) | 49,030 | 304 | |
Microsemi Corp. (o) | 157,800 | 8,516 | |
NXP Semiconductors NV (o) | 116,104 | 11,379 | |
Qorvo, Inc. (o) | 249,827 | 13,173 | |
Skyworks Solutions, Inc. | 190,600 | 14,230 | |
57,931 | |||
Software - 0.1% | |||
Electronic Arts, Inc. (o) | 69,700 | 5,490 | |
TOTAL INFORMATION TECHNOLOGY | 146,964 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.0% | |||
LyondellBasell Industries NV Class A | 41,300 | 3,543 | |
Metals & Mining - 0.1% | |||
Aleris Corp. (o)(p) | 38,307 | 364 | |
Freeport-McMoRan, Inc. (o) | 348,000 | 4,590 | |
Mirabela Nickel Ltd. (o) | 2,473,165 | 148 | |
5,102 | |||
TOTAL MATERIALS | 8,645 | ||
TELECOMMUNICATION SERVICES - 0.2% | |||
Wireless Telecommunication Services - 0.2% | |||
T-Mobile U.S., Inc. (o) | 272,900 | 15,694 | |
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | 315 | |
TOTAL COMMON STOCKS | |||
(Cost $412,410) | 420,254 | ||
Preferred Stocks - 0.1% | |||
Convertible Preferred Stocks - 0.1% | |||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Reddy Ice Holdings, Inc. 7.00% pay-in-kind (o) | 57,438 | 461 | |
HEALTH CARE - 0.1% | |||
Pharmaceuticals - 0.1% | |||
Allergan PLC 5.50% | 8,700 | 6,633 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | 7,094 | ||
Nonconvertible Preferred Stocks - 0.0% | |||
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
Tricer Holdco S.C.A.(p) | 94,947,700 | 949 | |
TOTAL PREFERRED STOCKS | |||
(Cost $12,495) | 8,043 | ||
Principal Amount (000s)(a) | Value (000s) | ||
Bank Loan Obligations - 1.2% | |||
CONSUMER DISCRETIONARY - 0.4% | |||
Auto Components - 0.0% | |||
Chassix, Inc. term loan 12% 7/29/19 | 3,777 | 3,777 | |
Diversified Consumer Services - 0.1% | |||
KC Mergersub, Inc. Tranche L 2LN, term loan 10.25% 8/13/23 (c) | 1,810 | 1,785 | |
Kuehg Corp. Tranche B 1LN, term loan 5.25% 8/13/22 (c) | 4,834 | 4,882 | |
6,667 | |||
Hotels, Restaurants & Leisure - 0.3% | |||
Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 7% 10/11/20(c) | 5,293 | 5,336 | |
Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (c) | 15,330 | 15,421 | |
20,757 | |||
Media - 0.0% | |||
Livent, Inc. Tranche A, term loan 18% 1/15/49 pay-in-kind | CAD | 27 | 10 |
TOTAL CONSUMER DISCRETIONARY | 31,211 | ||
ENERGY - 0.3% | |||
Energy Equipment & Services - 0.0% | |||
Seadrill Operating LP Tranche B, term loan 4% 2/21/21 (c) | 8,425 | 5,737 | |
Oil, Gas & Consumable Fuels - 0.3% | |||
Alon U.S.A. Partners LP term loan 9.25% 11/26/18 (c) | 3,125 | 3,110 | |
California Resources Corp. Tranche 1LN, term loan 11.375% 12/31/21 (c) | 3,755 | 4,162 | |
Chesapeake Energy Corp. Tranche 1LN, term loan 8.5% 8/23/21 (c) | 5,265 | 5,723 | |
Peabody Energy Corp. Tranche B, term loan 0% 9/24/20 (e) | 10,345 | 10,048 | |
23,043 | |||
TOTAL ENERGY | 28,780 | ||
FINANCIALS - 0.0% | |||
Consumer Finance - 0.0% | |||
Sears Roebuck Acceptance Corp. Tranche B, term loan 8.5% 7/20/20 (c) | 4,260 | 4,255 | |
INFORMATION TECHNOLOGY - 0.3% | |||
Software - 0.3% | |||
Greeneden U.S. Holdings II LLC Tranche B, term loan 6.25% 12/1/23 (c) | 6,175 | 6,279 | |
Kronos, Inc. term loan 9.25% 11/1/24 (c) | 7,095 | 7,303 | |
Sophia L.P. Tranche B, term loan 4.75% 9/30/22 (c) | 8,295 | 8,372 | |
21,954 | |||
MATERIALS - 0.1% | |||
Metals & Mining - 0.1% | |||
Essar Steel Algoma, Inc. Tranche B, term loan 0% 8/16/19 (e) | 2,104 | 721 | |
Murray Energy Corp. Tranche B 2LN, term loan 8.25% 4/16/20 (c) | 8,099 | 7,719 | |
8,440 | |||
TELECOMMUNICATION SERVICES - 0.1% | |||
Diversified Telecommunication Services - 0.1% | |||
Integra Telecom Holdings, Inc. Tranche B 1LN, term loan 5.25% 8/14/20 (c) | 4,239 | 4,247 | |
Wireless Telecommunication Services - 0.0% | |||
Digicel International Finance Ltd.: | |||
Tranche D 1LN, term loan 4.5% 3/31/17 (c) | 564 | 538 | |
Tranche D 2LN, term loan 4.4982% 3/31/19 (c) | 2,821 | 2,694 | |
3,232 | |||
TOTAL TELECOMMUNICATION SERVICES | 7,479 | ||
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $98,475) | 102,119 | ||
Sovereign Loan Participations - 0.1% | |||
Indonesian Republic loan participation: | |||
Citibank 1.9375% 12/14/19 (c) | 2,326 | 2,303 | |
Goldman Sachs 1.9375% 12/14/19 (c) | 2,132 | 2,110 | |
Mizuho 1.9375% 12/14/19 (c) | 1,523 | 1,508 | |
TOTAL SOVEREIGN LOAN PARTICIPATIONS | |||
(Cost $5,653) | 5,921 | ||
Shares | Value (000s) | ||
Fixed-Income Funds - 7.1% | |||
Fidelity Floating Rate Central Fund (q) | |||
(Cost $585,119) | 5,708,237 | 590,803 | |
Principal Amount (000s)(a) | Value (000s) | ||
Preferred Securities - 3.4% | |||
CONSUMER STAPLES - 0.1% | |||
Food Products - 0.1% | |||
Cosan Overseas Ltd. 8.25% (f) | 8,065 | 8,144 | |
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Total SA 2.625% (Reg. S) (c)(f) | EUR | 1,650 | 1,671 |
FINANCIALS - 3.1% | |||
Banks - 2.7% | |||
Alfa Bond Issuance PLC 8% (Reg. S) (c)(f) | 920 | 959 | |
Banco Do Brasil SA 9% (b)(c)(f) | 2,755 | 2,599 | |
Bank of America Corp.: | |||
5.125% (c)(f) | 10,690 | 10,552 | |
5.2% (c)(f) | 23,520 | 22,654 | |
6.25% (c)(f) | 7,170 | 7,316 | |
Barclays Bank PLC 7.625% 11/21/22 | 8,780 | 9,712 | |
BBVA Bancomer SA (Cayman Islands) 6.008% 5/17/22 (b)(c) | 665 | 670 | |
Citigroup, Inc.: | |||
5.8% (c)(f) | 8,960 | 9,106 | |
5.9% (c)(f) | 13,975 | 14,444 | |
5.95% (c)(f) | 25,260 | 26,240 | |
6.25% (c)(f) | 6,405 | 6,864 | |
6.3% (c)(f) | 2,145 | 2,144 | |
Intesa Sanpaolo SpA 8.375% (c)(f) | EUR | 3,800 | 4,552 |
JPMorgan Chase & Co.: | |||
5% (c)(f) | 12,930 | 13,221 | |
5.3% (c)(f) | 6,510 | 6,702 | |
6% (c)(f) | 23,845 | 24,529 | |
6.125% (c)(f) | 5,990 | 6,083 | |
6.75% (c)(f) | 3,295 | 3,643 | |
Royal Bank of Scotland Group PLC 8.625% (c)(f) | 4,955 | 5,056 | |
Wells Fargo & Co.: | |||
5.875% (c)(f) | 19,480 | 20,506 | |
5.9% (c)(f) | 24,365 | 24,554 | |
222,106 | |||
Capital Markets - 0.4% | |||
Bank of Scotland 7.281% (c)(f) | GBP | 2,450 | 3,591 |
Goldman Sachs Group, Inc.: | |||
5.375% (c)(f) | 11,780 | 11,989 | |
5.7% (c)(f) | 13,704 | 14,156 | |
29,736 | |||
Diversified Financial Services - 0.0% | |||
Magnesita Finance Ltd.: | |||
8.625% (b)(f) | 3,035 | 2,908 | |
8.625% (Reg. S) (f) | 380 | 364 | |
3,272 | |||
Insurance - 0.0% | |||
Society of Lloyd's 7.421% (c)(f) | GBP | 2,906 | 3,758 |
TOTAL FINANCIALS | 258,872 | ||
INDUSTRIALS - 0.1% | |||
Construction & Engineering - 0.1% | |||
Odebrecht Finance Ltd.: | |||
7.5% (b)(f) | 17,445 | 10,532 | |
7.5% (Reg. S) (f) | 250 | 151 | |
10,683 | |||
MATERIALS - 0.1% | |||
Metals & Mining - 0.1% | |||
CSN Islands XII Corp. 7% (Reg. S) (f) | 6,850 | 3,471 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $287,829) | 282,841 | ||
Shares | Value (000s) | ||
Money Market Funds - 4.6% | |||
Fidelity Cash Central Fund, 0.60% (r) | 379,240,113 | 379,316 | |
Fidelity Securities Lending Cash Central Fund 0.65% (r)(s) | 403,461 | 404 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $379,693) | 379,720 | ||
Maturity Amount (000s) | Value (000s) | ||
Cash Equivalents - 0.0% | |||
Investments in repurchase agreements in a joint trading account at 0.51%, dated 12/30/16 due 1/3/17 (Collateralized by U.S. Government Obligations) #(t) | |||
(Cost $1,514) | 1,514 | 1,514 | |
TOTAL INVESTMENT PORTFOLIO - 101.0% | |||
(Cost $8,269,008) | 8,351,303 | ||
NET OTHER ASSETS (LIABILITIES) - (1.0)%(u) | (83,433) | ||
NET ASSETS - 100% | $8,267,870 |
Futures Contracts | |||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/(Depreciation) (000s) | |
Purchased | |||
Treasury Contracts | |||
282 CBOT 2-Year U.S. Treasury Note Contracts (United States) | March 2017 | 61,106 | $(60) |
269 CBOT Ultra Long Term U.S. Treasury Note Contracts (United States) | March 2017 | 43,107 | (391) |
TOTAL FUTURES CONTRACTS | $(451) |
The face value of futures purchased as a percentage of Net Assets is 1.3%
Swaps
Clearinghouse/Counterparty(1) | Expiration Date | Notional Amount (000s) | Payment Received | Payment Paid | Value (000s) | Upfront Premium Received/(Paid) (000s)(2) | Unrealized Appreciation/(Depreciation) (000s) |
Interest Rate Swaps | |||||||
LCH | Mar. 2047 | $8,800 | 3-month LIBOR | 2.25% | $(134) | $0 | $(134) |
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
Currency Abbreviations
AUD – Australian dollar
CAD – Canadian dollar
CHF – Swiss franc
COP – Colombian peso
DKK – Danish krone
EUR – European Monetary Unit
GBP – British pound
HKD – Hong Kong dollar
IDR – Indonesian rupiah
INR – Indian rupee
JPY – Japanese yen
MXN – Mexican peso
NOK – Norwegian krone
NZD – New Zealand dollar
PEN – Peruvian new sol
RUB – Russian ruble
SEK – Swedish krona
SGD – Singapore dollar
TRY – Turkish Lira
Values shown as $0 may reflect amounts less than $500.
Legend
(a) Amount is stated in United States dollars unless otherwise noted.
(b) 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 $1,923,313,000 or 23.3% of net assets.
(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(d) 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.
(e) Non-income producing - Security is in default.
(f) Security is perpetual in nature with no stated maturity date.
(g) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,804,000.
(h) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,300,000.
(i) Security or a portion of the security is on loan at period end.
(j) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(k) 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.
(l) 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.
(m) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(n) Quantity represents share amount.
(o) Non-income producing
(p) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $3,436,000 or 0.0% of net assets.
(q) Affiliated fund that is generally 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 website 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 fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(r) Affiliated fund that is generally 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(s) Investment made with cash collateral received from securities on loan.
(t) Includes investment made with cash collateral received from securities on loan.
(u) Includes cash collateral of $463,000 from securities on loan.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost (000s) |
Aleris Corp. | 6/1/10 | $1,341 |
Houghton Mifflin Harcourt Co. warrants 6/22/19 | 6/22/12 | $62 |
Ovation Acquisition I LLC | 12/23/15 | $14 |
Tricer Holdco S.C.A. | 12/19/16 | $5,239 |
Tricer Holdco S.C.A. | 12/19/16 | $3,385 |
WP Rocket Holdings, Inc. | 6/24/11 - 2/2/15 | $4,887 |
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 |
(Amounts in thousands) | |
Fidelity Cash Central Fund | $1,147 |
Fidelity Floating Rate Central Fund | 27,676 |
Fidelity Securities Lending Cash Central Fund | 5 |
Total | $28,828 |
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 (Amounts in thousands) | Value, beginning of period | Purchases | Sales Proceeds | Value, end of period | % ownership, end of period |
Fidelity Floating Rate Central Fund | $503,366 | $68,517 | $11,255 | $590,803 | 35.2% |
Total | $503,366 | $68,517 | $11,255 | $590,803 |
Investment Valuation
The following is a summary of the inputs used, as of December 31, 2016, 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 below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
(Amounts in thousands) | ||||
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $131,029 | $110,299 | $10,831 | $9,899 |
Consumer Staples | 493 | -- | -- | 493 |
Energy | 10,871 | 10,871 | -- | -- |
Financials | 6,997 | 4,574 | -- | 2,423 |
Health Care | 55,563 | 54,793 | -- | 770 |
Industrials | 51,726 | 50,503 | -- | 1,223 |
Information Technology | 146,964 | 146,964 | -- | -- |
Materials | 8,645 | 8,133 | -- | 512 |
Telecommunication Services | 15,694 | 15,694 | -- | -- |
Utilities | 315 | 315 | -- | -- |
Corporate Bonds | 3,635,412 | -- | 3,624,437 | 10,975 |
U.S. Government and Government Agency Obligations | 1,153,199 | -- | 1,153,199 | -- |
U.S. Government Agency - Mortgage Securities | 137,136 | -- | 137,136 | -- |
Collateralized Mortgage Obligations | 297,743 | -- | 297,743 | -- |
Commercial Mortgage Securities | 75,809 | -- | 75,809 | -- |
Foreign Government and Government Agency Obligations | 1,260,789 | -- | 1,254,898 | 5,891 |
Bank Loan Obligations | 102,119 | -- | 95,100 | 7,019 |
Sovereign Loan Participations | 5,921 | -- | -- | 5,921 |
Fixed-Income Funds | 590,803 | 590,803 | -- | -- |
Preferred Securities | 282,841 | -- | 282,841 | -- |
Money Market Funds | 379,720 | 379,720 | -- | -- |
Cash Equivalents | 1,514 | -- | 1,514 | -- |
Total Investments in Securities: | $8,351,303 | $1,372,669 | $6,933,508 | $45,126 |
Derivative Instruments: | ||||
Liabilities | ||||
Futures Contracts | $(451) | $(451) | $-- | $-- |
Swaps | (134) | -- | (134) | -- |
Total Liabilities | $(585) | $(451) | $(134) | $-- |
Total Derivative Instruments: | $(585) | $(451) | $(134) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of December 31, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
(Amounts in thousands) | ||
Interest Rate Risk | ||
Futures Contracts(a) | $0 | $(451) |
Swaps(b) | 0 | (134) |
Total Value of Derivatives | $0 | $(585) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin for derivative instruments, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).
(b) For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin for derivative instruments, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in net unrealized appreciation (depreciation).
Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty | Value |
$1,514,000 due 1/03/17 at 0.51% | |
J.P. Morgan Securities, Inc. | $1,514 |
$1,514 |
Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):
United States of America | 65.3% |
Netherlands | 3.0% |
United Kingdom | 2.7% |
France | 2.6% |
Canada | 2.5% |
Luxembourg | 2.3% |
Japan | 2.1% |
Argentina | 2.0% |
Cayman Islands | 1.4% |
Mexico | 1.2% |
Ireland | 1.1% |
Italy | 1.1% |
Germany | 1.0% |
Others (Individually Less Than 1%) | 11.7% |
100.0% |
The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | December 31, 2016 | |
Assets | ||
Investment in securities, at value (including securities loaned of $2,326 and repurchase agreements of $1,514) — See accompanying schedule: Unaffiliated issuers (cost $7,304,196) | $7,380,780 | |
Fidelity Central Funds (cost $964,812) | 970,523 | |
Total Investments (cost $8,269,008) | $8,351,303 | |
Cash | 487 | |
Receivable for investments sold | 15,275 | |
Receivable for fund shares sold | 10,223 | |
Dividends receivable | 695 | |
Interest receivable | 85,033 | |
Distributions receivable from Fidelity Central Funds | 2,985 | |
Receivable for daily variation margin for derivative instruments | 210 | |
Prepaid expenses | 16 | |
Total assets | 8,466,227 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $134,118 | |
Delayed delivery | 33,791 | |
Payable for fund shares redeemed | 18,984 | |
Distributions payable | 1,890 | |
Accrued management fee | 3,844 | |
Distribution and service plan fees payable | 1,999 | |
Other affiliated payables | 1,193 | |
Other payables and accrued expenses | 157 | |
Collateral on Securities Loaned | 2,381 | |
Total liabilities | 198,357 | |
Net Assets | $8,267,870 | |
Net Assets consist of: | ||
Paid in capital | $8,183,351 | |
Undistributed net investment income | 23,239 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (20,050) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 81,330 | |
Net Assets | $8,267,870 | |
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($3,098,185 ÷ 260,700 shares) | $11.88 | |
Maximum offering price per share (100/96.00 of $11.88) | $12.38 | |
Class T: | ||
Net Asset Value and redemption price per share ($967,025 ÷ 81,414 shares) | $11.88 | |
Maximum offering price per share (100/96.00 of $11.88) | $12.38 | |
Class C: | ||
Net Asset Value and offering price per share ($1,375,962 ÷ 116,080 shares)(a) | $11.85 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($2,826,698 ÷ 234,668 shares) | $12.05 |
(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.
Statement of Operations
Amounts in thousands | Year ended December 31, 2016 | |
Investment Income | ||
Dividends | $21,061 | |
Interest | 339,494 | |
Income from Fidelity Central Funds | 28,828 | |
Total income | 389,383 | |
Expenses | ||
Management fee | $46,924 | |
Transfer agent fees | 13,093 | |
Distribution and service plan fees | 24,981 | |
Accounting and security lending fees | 1,507 | |
Custodian fees and expenses | 255 | |
Independent trustees' fees and expenses | 38 | |
Registration fees | 208 | |
Audit | 250 | |
Legal | 662 | |
Miscellaneous | 610 | |
Total expenses before reductions | 88,528 | |
Expense reductions | (41) | 88,487 |
Net investment income (loss) | 300,896 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 7,155 | |
Fidelity Central Funds | (598) | |
Foreign currency transactions | (117) | |
Futures contracts | 956 | |
Swaps | (372) | |
Capital gain distributions from Fidelity Central Funds | 287 | |
Total net realized gain (loss) | 7,311 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 367,768 | |
Assets and liabilities in foreign currencies | 89 | |
Futures contracts | (780) | |
Swaps | (272) | |
Total change in net unrealized appreciation (depreciation) | 366,805 | |
Net gain (loss) | 374,116 | |
Net increase (decrease) in net assets resulting from operations | $675,012 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Year ended December 31, 2016 | Year ended December 31, 2015 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $300,896 | $320,164 |
Net realized gain (loss) | 7,311 | (113,848) |
Change in net unrealized appreciation (depreciation) | 366,805 | (373,897) |
Net increase (decrease) in net assets resulting from operations | 675,012 | (167,581) |
Distributions to shareholders from net investment income | (269,601) | (233,484) |
Distributions to shareholders from net realized gain | – | (5,484) |
Distributions to shareholders from tax return of capital | – | (58,860) |
Total distributions | (269,601) | (297,828) |
Share transactions - net increase (decrease) | (553,605) | (536,896) |
Total increase (decrease) in net assets | (148,194) | (1,002,305) |
Net Assets | ||
Beginning of period | 8,416,064 | 9,418,369 |
End of period | $8,267,870 | $8,416,064 |
Other Information | ||
Undistributed net investment income end of period | $23,239 | $4,723 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Advisor Strategic Income Fund Class A
Years ended December 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $11.32 | $11.92 | $12.10 | $12.69 | $12.07 |
Income from Investment Operations | |||||
Net investment income (loss)A | .428 | .420 | .422 | .449 | .479 |
Net realized and unrealized gain (loss) | .516 | (.629) | .005 | (.441) | .776 |
Total from investment operations | .944 | (.209) | .427 | .008 | 1.255 |
Distributions from net investment income | (.384) | (.307) | (.419) | (.431) | (.442) |
Distributions from net realized gain | – | (.007) | (.188) | (.167) | (.193) |
Tax return of capital | – | (.077) | – | – | – |
Total distributions | (.384) | (.391) | (.607) | (.598) | (.635) |
Net asset value, end of period | $11.88 | $11.32 | $11.92 | $12.10 | $12.69 |
Total ReturnB,C | 8.42% | (1.84)% | 3.52% | .08% | 10.57% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | 1.01% | 1.00% | .99% | .98% | .98% |
Expenses net of fee waivers, if any | 1.01% | 1.00% | .99% | .98% | .98% |
Expenses net of all reductions | 1.01% | 1.00% | .99% | .98% | .98% |
Net investment income (loss) | 3.64% | 3.55% | 3.42% | 3.61% | 3.83% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $3,098 | $3,274 | $3,794 | $4,205 | $5,582 |
Portfolio turnover rateF | 76% | 88% | 121% | 135% | 126% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the sales charges.
D 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. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
E 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.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Advisor Strategic Income Fund Class T
Years ended December 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $11.31 | $11.92 | $12.10 | $12.68 | $12.07 |
Income from Investment Operations | |||||
Net investment income (loss)A | .428 | .420 | .422 | .449 | .479 |
Net realized and unrealized gain (loss) | .526 | (.639) | .006 | (.431) | .766 |
Total from investment operations | .954 | (.219) | .428 | .018 | 1.245 |
Distributions from net investment income | (.384) | (.307) | (.420) | (.431) | (.442) |
Distributions from net realized gain | – | (.007) | (.188) | (.167) | (.193) |
Tax return of capital | – | (.077) | – | – | – |
Total distributions | (.384) | (.391) | (.608) | (.598) | (.635) |
Net asset value, end of period | $11.88 | $11.31 | $11.92 | $12.10 | $12.68 |
Total ReturnB,C | 8.52% | (1.93)% | 3.52% | .17% | 10.49% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | 1.01% | 1.00% | .99% | .98% | .98% |
Expenses net of fee waivers, if any | 1.00% | 1.00% | .99% | .98% | .98% |
Expenses net of all reductions | 1.00% | 1.00% | .99% | .98% | .98% |
Net investment income (loss) | 3.64% | 3.55% | 3.42% | 3.61% | 3.83% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $967 | $1,008 | $1,179 | $1,265 | $1,554 |
Portfolio turnover rateF | 76% | 88% | 121% | 135% | 126% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the sales charges.
D 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. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
E 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.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Advisor Strategic Income Fund Class C
Years ended December 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $11.29 | $11.89 | $12.07 | $12.66 | $12.05 |
Income from Investment Operations | |||||
Net investment income (loss)A | .339 | .331 | .329 | .355 | .384 |
Net realized and unrealized gain (loss) | .516 | (.629) | .007 | (.440) | .767 |
Total from investment operations | .855 | (.298) | .336 | (.085) | 1.151 |
Distributions from net investment income | (.295) | (.236) | (.328) | (.338) | (.348) |
Distributions from net realized gain | – | (.007) | (.188) | (.167) | (.193) |
Tax return of capital | – | (.059) | – | – | – |
Total distributions | (.295) | (.302) | (.516) | (.505) | (.541) |
Net asset value, end of period | $11.85 | $11.29 | $11.89 | $12.07 | $12.66 |
Total ReturnB,C | 7.63% | (2.59)% | 2.76% | (.66)% | 9.68% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | 1.75% | 1.75% | 1.73% | 1.73% | 1.73% |
Expenses net of fee waivers, if any | 1.75% | 1.75% | 1.73% | 1.73% | 1.73% |
Expenses net of all reductions | 1.75% | 1.75% | 1.73% | 1.73% | 1.73% |
Net investment income (loss) | 2.90% | 2.80% | 2.67% | 2.86% | 3.08% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $1,376 | $1,429 | $1,664 | $1,767 | $2,238 |
Portfolio turnover rateF | 76% | 88% | 121% | 135% | 126% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the contingent deferred sales charge.
D 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. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
E 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.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Advisor Strategic Income Fund Class I
Years ended December 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $11.47 | $12.09 | $12.26 | $12.84 | $12.21 |
Income from Investment Operations | |||||
Net investment income (loss)A | .463 | .452 | .455 | .484 | .514 |
Net realized and unrealized gain (loss) | .535 | (.650) | .012 | (.437) | .779 |
Total from investment operations | .998 | (.198) | .467 | .047 | 1.293 |
Distributions from net investment income | (.418) | (.332) | (.449) | (.460) | (.470) |
Distributions from net realized gain | – | (.007) | (.188) | (.167) | (.193) |
Tax return of capital | – | (.083) | – | – | – |
Total distributions | (.418) | (.422) | (.637) | (.627) | (.663) |
Net asset value, end of period | $12.05 | $11.47 | $12.09 | $12.26 | $12.84 |
Total ReturnB | 8.80% | (1.73)% | 3.80% | .39% | 10.78% |
Ratios to Average Net AssetsC,D | |||||
Expenses before reductions | .76% | .78% | .76% | .75% | .75% |
Expenses net of fee waivers, if any | .76% | .78% | .76% | .75% | .75% |
Expenses net of all reductions | .76% | .78% | .76% | .75% | .75% |
Net investment income (loss) | 3.89% | 3.77% | 3.65% | 3.84% | 4.07% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $2,827 | $2,640 | $2,682 | $2,179 | $2,759 |
Portfolio turnover rateE | 76% | 88% | 121% | 135% | 126% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended December 31, 2016
(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 Class I shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. The Fund's investments in emerging markets can be subject to social, economic, regulatory, and political uncertainties and can be extremely volatile.
After the close of business on June 24, 2016, all outstanding Class B shares were converted to Class A shares. All current fiscal period dollar and share amounts for Class B presented in the Notes to Financial Statements are for the period January 1, 2016 through June 24, 2016.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser 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 the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Floating Rate Central Fund | 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 Restricted Securities | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
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 institutional.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) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website 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:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the investments to the Fair Value Committee (the Committee) established by the investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment 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 valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the investments and ratifies the fair value determinations of the Committee.
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. Corporate bonds, bank loan obligations, foreign government and government agency obligations, preferred securities, U.S. government and government agency obligations and sovereign loan participations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. 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. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps 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 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 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 may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be 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 (NAV) each business day and are categorized as Level 1 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 December 31, 2016 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. 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.
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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. 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 in the accompanying Statement of Operations. 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.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily 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. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. 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 U.S. Federal income taxes is required. As of December 31, 2016, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The 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. 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.
For the period ended December 31, 2015, the Fund's distributions exceeded the aggregate amount of taxable income resulting in a return of capital for tax purposes. This was due to reductions in taxable income available for distribution after certain distributions had been made.
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. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Fidelity Central Funds, futures contracts, swaps, foreign currency transactions, defaulted bonds, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards, losses deferred due to wash sales, futures contracts 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 | $381,810 |
Gross unrealized depreciation | (279,084) |
Net unrealized appreciation (depreciation) on securities | $102,726 |
Tax Cost | $8,248,577 |
The tax-based components of distributable earnings as of period end were as follows:
Capital loss carryforward | $(10,036) |
Net unrealized appreciation (depreciation) on securities and other investments | $102,207 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(10,036) |
At period end, the Fund was required to defer approximately $288 of losses on futures contracts.
The tax character of distributions paid was as follows:
December 31, 2016 | December 31, 2015 | |
Ordinary Income | $269,601 | $ 233,484 |
Long-term Capital Gains | – | 5,484 |
Tax Return of Capital | – | 58,860 |
Total | $269,601 | $ 297,828 |
Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with Fidelity Management & Research Company (FMR), or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. 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 TBA securities 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 TBA securities 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 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 as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
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 did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts and swaps. Derivatives are investments whose value is primarily 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 asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used 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. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does 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 presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Interest Rate Risk | ||
Futures Contracts | $956 | $(780) |
Swaps | (372) | (272) |
Totals | $584 | $(1,052) |
A summary of the value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Schedule of Investments.
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 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 daily 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, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.
Any open futures contracts at period end are presented 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 or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity 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). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
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.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $3,785,105 and $4,277,802, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) 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 .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annual management fee rate was .56% 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 the investment adviser, 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 Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | -% | .25% | $8,049 | $– |
Class T | -% | .25% | 2,478 | 4 |
Class B | .65% | .25% | 241 | 174 |
Class C | .75% | .25% | 14,213 | 860 |
$24,981 | $1,038 |
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 by FDC | |
Class A | $181 |
Class T | 38 |
Class B(a) | 11 |
Class C(a) | 69 |
$299 |
(a) When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, 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-Level Average Net Assets | |
Class A | $5,029 | .16 |
Class T | 1,517 | .15 |
Class B | 49 | .19 |
Class C | 2,149 | .15 |
Class I | 4,349 | .16 |
$13,093 |
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, 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.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $7 for the period.
Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser 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 $22 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. 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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, 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 income from Fidelity Central Funds. Total security lending income during the period amounted to $85. Net income from the Fidelity Securities Lending Cash Central Fund during the period, presented in the Statement of Operations as a component of income from Fidelity Central Funds, amounted to $5. During the period, there were no securities loaned to FCM.
9. Expense Reductions.
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $6 for the period.
In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $35.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Year ended December 31, 2016 | Year ended December 31, 2015 | |
From net investment income | ||
Class A | $105,285 | $94,615 |
Class T | 32,421 | 28,973 |
Class B | 693 | 1,690 |
Class C | 35,849 | 31,591 |
Class I | 95,353 | 76,615 |
Total | $269,601 | $233,484 |
From net realized gain | ||
Class A | $– | $2,214 |
Class T | – | 683 |
Class B | – | 56 |
Class C | – | 968 |
Class I | – | 1,563 |
Total | $– | $5,484 |
Tax Return of Capital | ||
Class A | $– | $23,902 |
Class T | – | 7,317 |
Class B | – | 432 |
Class C | – | 7,973 |
Class I | – | 19,236 |
Total | $– | $58,860 |
11. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Year ended December 31, 2016 | Year ended December 31, 2015 | Year ended December 31, 2016 | Year ended December 31, 2015 | |
Class A | ||||
Shares sold | 45,966 | 48,714 | $539,975 | $577,320 |
Reinvestment of distributions | 8,576 | 9,801 | 100,874 | 115,813 |
Shares redeemed | (83,137) | (87,401) | (974,275) | (1,030,441) |
Net increase (decrease) | (28,595) | (28,886) | $(333,426) | $(337,308) |
Class T | ||||
Shares sold | 10,145 | 10,166 | $119,353 | $120,194 |
Reinvestment of distributions | 2,634 | 2,998 | 30,978 | 35,402 |
Shares redeemed | (20,492) | (22,932) | (239,762) | (270,556) |
Net increase (decrease) | (7,713) | (9,768) | $(89,431) | $(114,960) |
Class B | ||||
Shares sold | 64 | 110 | $739 | $1,177 |
Reinvestment of distributions | 47 | 159 | 542 | 1,887 |
Shares redeemed | (5,773) | (2,979) | (67,637) | (35,256) |
Net increase (decrease) | (5,662) | (2,710) | $(66,356) | $(32,192) |
Class C | ||||
Shares sold | 13,190 | 14,916 | $154,715 | $176,036 |
Reinvestment of distributions | 2,669 | 2,982 | 31,318 | 35,147 |
Shares redeemed | (26,365) | (31,219) | (308,384) | (367,182) |
Net increase (decrease) | (10,506) | (13,321) | $(122,351) | $(155,999) |
Class I | ||||
Shares sold | 81,336 | 71,784 | $970,701 | $860,421 |
Reinvestment of distributions | 7,280 | 7,339 | 86,872 | 87,819 |
Shares redeemed | (84,104) | (70,846) | (999,614) | (844,677) |
Net increase (decrease) | 4,512 | 8,277 | $57,959 | $103,563 |
12. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
13. Credit Risk.
The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.
14. Litigation.
The Fund, and other entities managed by FMR or its affiliates, became aware in March 2015 that they were named as defendants in a lawsuit originally filed in the United States Bankruptcy Court for the Southern District of New York in 2009. The lawsuit was brought by creditors of Motors Liquidation Company (f/k/a General Motors), which went through Chapter 11 bankruptcy proceedings in 2009, and is captioned Official Committee of Unsecured Creditors of Motors Liquidation Company v. JPMorgan Chase Bank, N.A., et al., Adversary No. 09-00504 (REG). The plaintiffs are seeking an order that the Fund and other defendants return proceeds received in 2009 in full payment of the principal and interest on General Motors secured debt. The plaintiffs contend that the Fund and the other defendants were not secured creditors at the time of the 2009 payments and, thus, were not entitled to payment in full. In January 2015, the Court of Appeals ruled that JPMorgan, as administrative agent for all of the debtholders, released the security interest on certain collateral securing the debt prior to the 2009 payments. The parties to the dispute have commenced discovery on the value of remaining, unreleased collateral. At this time, Management cannot determine the amount of loss that may be realized, but expects the amount to be less than the $24,325 received in 2009. The Fund was not previously aware that it had been named as a defendant in this case because, in 2009, the Bankruptcy Court allowed the plaintiffs to refrain from serving any of the defendants other than JPMorgan with notice of the filing of the lawsuit. The Fund is exploring all available options for minimizing any loss and is incurring legal costs in defending the case.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Advisor Strategic Income Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity Advisor Strategic Income Fund (the Fund), a fund of Fidelity Advisor Series II, including the schedule of investments, as of December 31, 2016, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2016, by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Advisor Strategic Income Fund as of December 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for the each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 21, 2017
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Each of the Trustees oversees 243 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Abigail P. Johnson (1961)
Year of Election or Appointment: 2009
Trustee
Chairman of the Board of Trustees
Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2016
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).
John Engler (1948)
Year of Election or Appointment: 2016
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. He serves as president of the Business Roundtable (2011-present), and on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a Member of the Advisory Board of certain Fidelity® funds (2014-2016), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.
Albert R. Gamper, Jr. (1942)
Year of Election or Appointment: 2006
Trustee
Mr. Gamper also serves as Trustee of other Fidelity® funds. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity® funds and as Chairman of the Board of Governors, Rutgers University (2004-2007).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Vice Chairman of the Independent Trustees
Mr. Johnson also serves as Trustee of other Fidelity® funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991.
Marie L. Knowles (1946)
Year of Election or Appointment: 2001
Trustee
Chairman of the Independent Trustees
Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity® funds (2012-2015).
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Marc R. Bryant (1966)
Year of Election or Appointment: 2015
Secretary and Chief Legal Officer (CLO)
Mr. Bryant also serves as Secretary and CLO of other funds. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited and FMR Investment Management (UK) Limited (investment adviser firms, 2015-present) and Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006).
Jeffrey S. Christian (1961)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Christian also serves as Assistant Treasurer of other funds. Mr. Christian is an employee of Fidelity Investments (2003-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Adrien E. Deberghes (1967)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Deberghes also serves as an officer of other funds. He serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.
Stephanie J. Dorsey (1969)
Year of Election or Appointment: 2013
President and Treasurer
Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.
Howard J. Galligan III (1966)
Year of Election or Appointment: 2014
Chief Financial Officer
Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011).
Scott C. Goebel (1968)
Year of Election or Appointment: 2015
Vice President
Mr. Goebel serves as Vice President of other funds and is an employee of Fidelity Investments (2001-present). Previously, Mr. Goebel served as Senior Vice President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016), Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-2015), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-2015), and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-2015); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-2015) and FMR Co., Inc. (investment adviser firm, 2008-2015); Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-2015) and Fidelity Management & Research (U.K.) Inc. (investment adviser firm, 2008-2015); Chief Legal Officer (CLO) of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-2015); Secretary and CLO of certain Fidelity® funds (2008-2015); Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
John B. McGinty, Jr. (1962)
Year of Election or Appointment: 2016
Chief Compliance Officer
Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).
John F. Papandrea (1972)
Year of Election or Appointment: 2016
Anti-Money Laundering (AML) Officer
Mr. Papandrea also serves as AML Officer of other funds. Mr. Papandrea is Vice President of FMR LLC (diversified financial services company, 2008-present) and is an employee of Fidelity Investments (2005-present).
Jason P. Pogorelec (1975)
Year of Election or Appointment: 2015
Assistant Secretary
Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).
Nancy D. Prior (1967)
Year of Election or Appointment: 2014
Vice President
Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), Vice Chairman of FIAM LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Deputy Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).
Renee Stagnone (1975)
Year of Election or Appointment: 2016
Assistant Treasurer
Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity® funds (2013-2016).
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 (July 1, 2016 to December 31, 2016).
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.
Annualized Expense Ratio-A | Beginning Account Value July 1, 2016 | Ending Account Value December 31, 2016 | Expenses Paid During Period-B July 1, 2016 to December 31, 2016 | |
Class A | 1.00% | |||
Actual | $1,000.00 | $1,021.60 | $5.08 | |
Hypothetical-C | $1,000.00 | $1,020.11 | $5.08 | |
Class T | 1.00% | |||
Actual | $1,000.00 | $1,022.50 | $5.08 | |
Hypothetical-C | $1,000.00 | $1,020.11 | $5.08 | |
Class C | 1.74% | |||
Actual | $1,000.00 | $1,018.70 | $8.83 | |
Hypothetical-C | $1,000.00 | $1,016.39 | $8.82 | |
Class I | .75% | |||
Actual | $1,000.00 | $1,024.50 | $3.82 | |
Hypothetical-C | $1,000.00 | $1,021.37 | $3.81 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (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 each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.
C 5% return per year before expenses
Distributions (Unaudited)
A total of 5.19% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $179,025,484 of distributions paid during the period January 1, 2016 to December 31, 2016 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2017 of amounts for use in preparing 2016 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Strategic Income Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to all of the Fidelity funds.
At its September 2016 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.
Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by FMR, the sub-advisers (together with FMR, the Investment Advisers), and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) broadening eligibility requirements for certain lower-priced share classes of, and streamlining the fee structure for, certain existing equity index funds; (v) lowering expense caps for certain existing funds and classes to reduce expenses paid by shareholders; (vi) eliminating redemption fees for certain variable insurance product funds and classes; (vii) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (viii) launching a lower cost share class for use by the Freedom Index Fund product line; (ix) rationalizing product lines and gaining increased efficiencies through fund mergers and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; (xi) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (xii) accelerating the conversion of all remaining Class B shares to Class A shares, which have a lower expense structure; and (xiii) implementing changes to Fidelity's money market fund product line in response to recent regulatory reforms.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against one or more securities market indices, including a customized blended index representative of the fund's asset classes (each a "benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.Fidelity Advisor Strategic Income Fund
Proxy Voting Results
A special meeting of shareholders was held on April 13, 2016. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1
To elect a Board of Trustees. | ||
# of Votes | % of Votes | |
Elizabeth S. Acton | ||
Affirmative | 10,101,619,930.43 | 98.463 |
Withheld | 157,758,921.92 | 1.537 |
TOTAL | 10,259,378,852.35 | 100.000 |
John Engler | ||
Affirmative | 10,090,282,853.06 | 98.352 |
Withheld | 169,095,999.29 | 1.648 |
TOTAL | 10,259,378,852.35 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 10,089,041,467.11 | 98.340 |
Withheld | 170,337,385.24 | 1.660 |
TOTAL | 10,259,378,852.35 | 100.000 |
Robert F. Gartland | ||
Affirmative | 10,099,626,114.68 | 98.443 |
Withheld | 159,752,737.67 | 1.557 |
TOTAL | 10,259,378,852.35 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 10,086,662,725.59 | 98.317 |
Withheld | 172,716,126.76 | 1.683 |
TOTAL | 10,259,378,852.35 | 100.000 |
Arthur E. Johnson | ||
Affirmative | 10,096,352,195.08 | 98.411 |
Withheld | 163,026,657.27 | 1.589 |
TOTAL | 10,259,378,852.35 | 100.000 |
Michael E. Kenneally | ||
Affirmative | 10,099,945,094.73 | 98.446 |
Withheld | 159,433,757.62 | 1.554 |
TOTAL | 10,259,378,852.35 | 100.000 |
James H. Keyes | ||
Affirmative | 10,089,844,753.01 | 98.348 |
Withheld | 169,534,099.34 | 1.652 |
TOTAL | 10,259,378,852.35 | 100.000 |
Marie L. Knowles | ||
Affirmative | 10,088,735,154.35 | 98.337 |
Withheld | 170,643,698.00 | 1.663 |
TOTAL | 10,259,378,852.35 | 100.000 |
Geoffrey A. von Kuhn | ||
Affirmative | 10,091,118,196.46 | 98.360 |
Withheld | 168,260,655.89 | 1.640 |
TOTAL | 10,259,378,852.35 | 100.000 |
Proposal 1 reflects trust wide proposal and voting results. |
SI-ANN-0217
1.540220.119
Item 2.
Code of Ethics
As of the end of the period, December 31, 2016, Fidelity Advisor Series II (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Acton is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity Advisor Strategic Income Fund (the “Fund”):
Services Billed by Deloitte Entities
December 31, 2016 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Advisor Strategic Income Fund | $205,000 | $- | $7,000 | $5,600 |
December 31, 2015 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Advisor Strategic Income Fund | $102,000 | $- | $6,100 | $2,600 |
A Amounts may reflect rounding.
The following table presents fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund and that are rendered on behalf of Fidelity Management &
Research Company (“FMR”) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”):
Services Billed by Deloitte Entities
| December 31, 2016A | December 31, 2015A |
Audit-Related Fees | $35,000 | $- |
Tax Fees | $- | $10,000 |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Fund, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund are as follows:
Billed By | December 31, 2016 A | December 31, 2015 A |
Deloitte Entities | $280,000 | $45,000 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its audit of the
Fund, taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund and its related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee on a periodic basis.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s last two fiscal years relating to services provided to (i) the Fund or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund.
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 trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s 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) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(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/Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
|
|
Date: | February 24, 2017 |
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/Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
|
|
Date: | February 24, 2017 |
By: | /s/Howard J. Galligan III |
| Howard J. Galligan III |
| Chief Financial Officer |
|
|
Date: | February 24, 2017 |