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, MA 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: | August 31 |
Date of reporting period: | February 28, 2017 |
Item 1.
Reports to Stockholders
Fidelity Advisor® Limited Term Bond Fund Semi-Annual Report February 28, 2017 |
![]() |
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.
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.Quality Diversification (% of fund's net assets)
As of February 28, 2017 | ||
U.S. Government and U.S. Government Agency Obligations | 12.8% | |
AAA | 12.7% | |
AA | 3.9% | |
A | 22.8% | |
BBB | 41.9% | |
BB and Below | 4.1% | |
Not Rated | 0.5% | |
Short-Term Investments and Net Other Assets | 1.3% |
As of August 31, 2016 | ||
U.S. Government and U.S. Government Agency Obligations | 14.0% | |
AAA | 11.3% | |
AA | 4.4% | |
A | 23.4% | |
BBB | 37.7% | |
BB and Below | 4.8% | |
Short-Term Investments and Net Other Assets | 4.4% |
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 February 28, 2017 *,** | ||
Corporate Bonds | 70.4% | |
U.S. Government and U.S. Government Agency Obligations | 12.8% | |
Asset-Backed Securities | 7.4% | |
CMOs and Other Mortgage Related Securities | 5.8% | |
Municipal Bonds | 0.3% | |
Other Investments | 2.0% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.3% |
* Foreign investments - 17.3%
** Futures and Swaps - 0.0%
As of August 31, 2016 *,** | ||
Corporate Bonds | 66.8% | |
U.S. Government and U.S. Government Agency Obligations | 14.0% | |
Asset-Backed Securities | 7.1% | |
CMOs and Other Mortgage Related Securities | 5.4% | |
Municipal Bonds | 0.4% | |
Other Investments | 1.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 4.4% |
* Foreign investments - 14.9%
** Futures and Swaps - 0.0%
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 shown as 0.0% may reflect amounts less than 0.05%.
Investments February 28, 2017 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 69.8% | |||
Principal Amount | Value | ||
CONSUMER DISCRETIONARY - 7.5% | |||
Automobiles - 2.8% | |||
American Honda Finance Corp.: | |||
1.2% 7/14/17 | $5,000,000 | $5,001,235 | |
1.7% 2/22/19 | 1,918,000 | 1,917,916 | |
1.7% 9/9/21 | 3,613,000 | 3,508,769 | |
2% 2/14/20 | 5,000,000 | 5,007,325 | |
2.125% 10/10/18 | 500,000 | 504,272 | |
Daimler Finance North America LLC: | |||
1.375% 8/1/17 (a) | 2,000,000 | 2,000,950 | |
1.5% 7/5/19 (a) | 5,000,000 | 4,939,085 | |
1.65% 5/18/18 (a) | 3,000,000 | 2,995,590 | |
2.25% 3/2/20 (a) | 3,020,000 | 3,018,393 | |
2.3% 1/6/20 (a) | 5,000,000 | 5,012,590 | |
2.375% 8/1/18 (a) | 1,000,000 | 1,008,037 | |
2.45% 5/18/20 (a) | 6,415,000 | 6,428,221 | |
General Motors Financial Co., Inc.: | |||
2.35% 10/4/19 | 5,000,000 | 5,004,705 | |
2.4% 4/10/18 | 3,000,000 | 3,019,227 | |
3% 9/25/17 | 3,000,000 | 3,024,663 | |
3.15% 1/15/20 | 5,000,000 | 5,095,710 | |
3.2% 7/13/20 | 5,000,000 | 5,095,875 | |
4.2% 3/1/21 | 3,000,000 | 3,143,862 | |
Volkswagen Group of America Finance LLC: | |||
1.25% 5/23/17 (a) | 1,000,000 | 999,459 | |
2.4% 5/22/20 (a) | 4,458,000 | 4,439,276 | |
Volkswagen International Finance NV: | |||
1.6% 11/20/17 (a) | 620,000 | 619,320 | |
2.125% 11/20/18 (a) | 1,500,000 | 1,501,749 | |
2.375% 3/22/17 (a) | 600,000 | 600,343 | |
73,886,572 | |||
Diversified Consumer Services - 0.0% | |||
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 | 1,020,000 | 1,095,854 | |
Hotels, Restaurants & Leisure - 0.4% | |||
McDonald's Corp.: | |||
2.1% 12/7/18 | 742,000 | 747,259 | |
2.2% 5/26/20 | 5,000,000 | 5,010,845 | |
2.75% 12/9/20 | 5,345,000 | 5,439,713 | |
11,197,817 | |||
Household Durables - 0.3% | |||
D.R. Horton, Inc.: | |||
3.75% 3/1/19 | 2,000,000 | 2,054,620 | |
4% 2/15/20 | 3,000,000 | 3,120,000 | |
Toll Brothers Finance Corp. 4% 12/31/18 | 2,500,000 | 2,565,625 | |
7,740,245 | |||
Media - 4.0% | |||
21st Century Fox America, Inc. 4.5% 2/15/21 | 13,000,000 | 13,926,614 | |
British Sky Broadcasting Group PLC 2.625% 9/16/19 (a) | 3,000,000 | 3,015,384 | |
CBS Corp. 2.3% 8/15/19 | 3,663,000 | 3,674,048 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 3.579% 7/23/20 | 15,000,000 | 15,420,000 | |
Comcast Corp.: | |||
1.625% 1/15/22 | 15,111,000 | 14,499,110 | |
6.3% 11/15/17 | 11,000,000 | 11,389,268 | |
COX Communications, Inc. 6.25% 6/1/18 (a) | 4,000,000 | 4,202,192 | |
Discovery Communications LLC 5.05% 6/1/20 | 322,000 | 347,130 | |
NBCUniversal Enterprise, Inc. 1.974% 4/15/19 (a) | 3,000,000 | 3,007,929 | |
Time Warner Cable, Inc.: | |||
5.85% 5/1/17 | 4,996,000 | 5,032,651 | |
6.75% 7/1/18 | 1,141,000 | 1,211,272 | |
8.25% 4/1/19 | 500,000 | 559,013 | |
Time Warner, Inc.: | |||
2.1% 6/1/19 | 2,000,000 | 2,006,216 | |
4.75% 3/29/21 | 3,683,000 | 3,953,520 | |
6.875% 6/15/18 | 5,095,000 | 5,433,532 | |
Viacom, Inc.: | |||
2.2% 4/1/19 | 6,000,000 | 5,992,980 | |
6.125% 10/5/17 | 3,179,000 | 3,261,819 | |
Walt Disney Co. 1.85% 5/30/19 | 6,000,000 | 6,028,110 | |
102,960,788 | |||
TOTAL CONSUMER DISCRETIONARY | 196,881,276 | ||
CONSUMER STAPLES - 5.4% | |||
Beverages - 1.4% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
1.9% 2/1/19 | 5,000,000 | 5,014,980 | |
2.15% 2/1/19 | 1,500,000 | 1,513,170 | |
2.65% 2/1/21 | 12,890,000 | 13,026,080 | |
3.3% 2/1/23 | 9,190,000 | 9,382,080 | |
Anheuser-Busch InBev Worldwide, Inc. 2.2% 8/1/18 | 2,310,000 | 2,327,422 | |
PepsiCo, Inc. 1.7% 10/6/21 | 5,000,000 | 4,869,925 | |
36,133,657 | |||
Food & Staples Retailing - 1.4% | |||
CVS Health Corp.: | |||
1.9% 7/20/18 | 1,549,000 | 1,555,871 | |
2.25% 12/5/18 | 8,376,000 | 8,456,577 | |
2.25% 8/12/19 | 10,000,000 | 10,069,140 | |
2.8% 7/20/20 | 1,496,000 | 1,520,567 | |
Kroger Co.: | |||
3.3% 1/15/21 | 5,000,000 | 5,137,750 | |
6.4% 8/15/17 | 6,827,000 | 6,978,061 | |
Walgreens Boots Alliance, Inc. 1.75% 5/30/18 | 2,997,000 | 3,002,374 | |
36,720,340 | |||
Food Products - 0.9% | |||
Cargill, Inc. 6% 11/27/17 (a) | 106,000 | 109,505 | |
General Mills, Inc. 2.2% 10/21/19 | 2,000,000 | 2,015,424 | |
Kraft Foods Group, Inc.: | |||
2.25% 6/5/17 | 610,000 | 611,103 | |
5.375% 2/10/20 | 5,000,000 | 5,422,440 | |
The J.M. Smucker Co.: | |||
1.75% 3/15/18 | 5,874,000 | 5,888,374 | |
2.5% 3/15/20 | 1,964,000 | 1,987,827 | |
Tyson Foods, Inc. 2.65% 8/15/19 | 7,000,000 | 7,088,277 | |
23,122,950 | |||
Tobacco - 1.7% | |||
Altria Group, Inc. 2.625% 1/14/20 | 5,000,000 | 5,070,710 | |
BAT International Finance PLC: | |||
1.85% 6/15/18 (a) | 10,000,000 | 10,001,550 | |
2.75% 6/15/20 (a) | 3,160,000 | 3,181,643 | |
Imperial Tobacco Finance PLC: | |||
2.05% 2/11/18 (a) | 3,906,000 | 3,915,499 | |
2.05% 7/20/18 (a) | 2,866,000 | 2,869,270 | |
2.95% 7/21/20 (a) | 3,000,000 | 3,036,066 | |
Philip Morris International, Inc.: | |||
1.875% 1/15/19 | 2,641,000 | 2,654,239 | |
1.875% 2/25/21 | 6,954,000 | 6,828,362 | |
Reynolds American, Inc.: | |||
2.3% 6/12/18 | 5,704,000 | 5,742,742 | |
3.25% 6/12/20 | 1,162,000 | 1,190,582 | |
4% 6/12/22 | 1,077,000 | 1,131,538 | |
45,622,201 | |||
TOTAL CONSUMER STAPLES | 141,599,148 | ||
ENERGY - 6.0% | |||
Energy Equipment & Services - 0.9% | |||
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20 | 768,000 | 854,611 | |
National Oilwell Varco, Inc. 1.35% 12/1/17 | 620,000 | 617,914 | |
Noble Holding International Ltd.: | |||
2.5% 3/15/17 | 2,062,000 | 2,059,423 | |
5.25% 3/16/18 | 102,000 | 102,638 | |
Petrofac Ltd. 3.4% 10/10/18 (a) | 1,000,000 | 1,010,450 | |
Schlumberger Holdings Corp.: | |||
2.35% 12/21/18 (a) | 9,662,000 | 9,739,818 | |
3% 12/21/20 (a) | 5,000,000 | 5,088,285 | |
Transocean, Inc. 4.25% 10/15/17 (b) | 3,500,000 | 3,520,650 | |
22,993,789 | |||
Oil, Gas & Consumable Fuels - 5.1% | |||
Anadarko Petroleum Corp. 4.85% 3/15/21 | 559,000 | 600,919 | |
BP Capital Markets PLC: | |||
1.375% 5/10/18 | 5,000,000 | 4,990,170 | |
1.674% 2/13/18 | 5,000,000 | 5,010,165 | |
1.676% 5/3/19 | 989,000 | 984,747 | |
2.315% 2/13/20 | 4,411,000 | 4,437,047 | |
2.521% 1/15/20 | 4,688,000 | 4,738,935 | |
Canadian Natural Resources Ltd.: | |||
1.75% 1/15/18 | 415,000 | 415,193 | |
3.45% 11/15/21 | 7,927,000 | 8,111,350 | |
Cenovus Energy, Inc. 5.7% 10/15/19 | 297,000 | 319,446 | |
Chevron Corp. 1.961% 3/3/20 | 4,000,000 | 4,002,148 | |
Columbia Pipeline Group, Inc.: | |||
2.45% 6/1/18 | 2,107,000 | 2,118,420 | |
3.3% 6/1/20 | 1,439,000 | 1,466,350 | |
ConocoPhillips Co.: | |||
1.5% 5/15/18 | 4,373,000 | 4,363,751 | |
2.2% 5/15/20 | 1,962,000 | 1,965,479 | |
DCP Midstream LLC 5.35% 3/15/20 (a) | 6,738,000 | 7,058,055 | |
DCP Midstream Operating LP: | |||
2.5% 12/1/17 | 292,000 | 292,000 | |
2.7% 4/1/19 | 821,000 | 814,843 | |
El Paso Natural Gas Co. 5.95% 4/15/17 | 21,000 | 21,116 | |
Enbridge, Inc. 1.3842% 6/2/17 (b) | 2,613,000 | 2,614,030 | |
Encana Corp. 6.5% 5/15/19 | 5,000,000 | 5,417,400 | |
Energy Transfer Partners LP 2.5% 6/15/18 | 1,332,000 | 1,341,487 | |
EnLink Midstream Partners LP 2.7% 4/1/19 | 785,000 | 788,673 | |
Enterprise Products Operating LP: | |||
1.65% 5/7/18 | 3,631,000 | 3,623,295 | |
2.55% 10/15/19 | 178,000 | 180,071 | |
2.85% 4/15/21 | 1,590,000 | 1,609,415 | |
Exxon Mobil Corp.: | |||
2.222% 3/1/21 | 3,780,000 | 3,787,976 | |
2.726% 3/1/23 | 2,954,000 | 2,959,131 | |
Kinder Morgan Energy Partners LP 2.65% 2/1/19 | 1,737,000 | 1,755,367 | |
Kinder Morgan, Inc.: | |||
2% 12/1/17 | 393,000 | 393,773 | |
3.05% 12/1/19 | 4,285,000 | 4,359,996 | |
Marathon Petroleum Corp. 2.7% 12/14/18 | 3,202,000 | 3,244,119 | |
Petro-Canada 6.05% 5/15/18 | 3,326,000 | 3,493,660 | |
Petroleos Mexicanos: | |||
3.125% 1/23/19 | 77,000 | 77,770 | |
3.5% 7/18/18 | 5,000,000 | 5,084,500 | |
3.5% 7/23/20 | 1,355,000 | 1,366,856 | |
4.625% 9/21/23 | 4,535,000 | 4,544,025 | |
5.375% 3/13/22 (a) | 1,440,000 | 1,506,168 | |
5.5% 2/4/19 | 2,000,000 | 2,102,500 | |
6.375% 2/4/21 | 2,000,000 | 2,174,500 | |
Phillips 66 Co. 2.95% 5/1/17 | 1,260,000 | 1,263,553 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
2.6% 12/15/19 | 9,900,000 | 9,922,453 | |
5.75% 1/15/20 | 962,000 | 1,043,403 | |
Shell International Finance BV 2.125% 5/11/20 | 2,287,000 | 2,293,195 | |
Southwestern Energy Co. 5.8% 1/23/20 (b) | 864,000 | 855,360 | |
Spectra Energy Capital, LLC 5.65% 3/1/20 | 28,000 | 29,929 | |
Spectra Energy Partners LP 2.95% 9/25/18 | 90,000 | 91,176 | |
Suncor Energy, Inc. 6.1% 6/1/18 | 944,000 | 994,994 | |
Total Capital International SA 2.125% 1/10/19 | 2,000,000 | 2,015,312 | |
TransCanada PipeLines Ltd.: | |||
1.625% 11/9/17 | 3,000,000 | 3,001,791 | |
1.8079% 1/12/18 (b) | 2,500,000 | 2,513,363 | |
1.875% 1/12/18 | 3,000,000 | 3,005,445 | |
3.125% 1/15/19 | 1,693,000 | 1,725,543 | |
Western Gas Partners LP: | |||
2.6% 8/15/18 | 1,257,000 | 1,261,577 | |
5.375% 6/1/21 | 600,000 | 651,211 | |
134,803,151 | |||
TOTAL ENERGY | 157,796,940 | ||
FINANCIALS - 30.9% | |||
Banks - 16.1% | |||
ABN AMRO Bank NV 2.5% 10/30/18 (a) | 4,000,000 | 4,036,392 | |
Australia & New Zealand Banking Group Ltd. 2.25% 6/13/19 | 3,250,000 | 3,271,190 | |
Banco Nacional de Desenvolvimento Economico e Social: | |||
4% 4/14/19 (a) | 2,575,000 | 2,620,964 | |
6.369% 6/16/18 (a) | 962,000 | 1,008,849 | |
Bank of America Corp.: | |||
2% 1/11/18 | 6,200,000 | 6,228,663 | |
2.25% 4/21/20 | 6,000,000 | 6,001,206 | |
2.6% 1/15/19 | 7,495,000 | 7,587,616 | |
2.625% 10/19/20 | 10,000,000 | 10,068,980 | |
2.625% 4/19/21 | 13,000,000 | 13,015,223 | |
2.65% 4/1/19 | 11,100,000 | 11,245,832 | |
Bank of Nova Scotia 2.8% 7/21/21 | 2,000,000 | 2,025,590 | |
Bank of Tokyo-Mitsubishi UFJ Ltd.: | |||
2.3% 3/5/20 (a) | 3,000,000 | 2,988,018 | |
2.35% 9/8/19 (a) | 3,050,000 | 3,058,586 | |
2.7% 9/9/18 (a) | 4,500,000 | 4,544,033 | |
Barclays PLC: | |||
2% 3/16/18 | 5,000,000 | 4,999,825 | |
2.75% 11/8/19 | 5,331,000 | 5,372,486 | |
2.875% 6/8/20 | 3,000,000 | 3,008,286 | |
3.2% 8/10/21 | 5,045,000 | 5,077,041 | |
3.25% 1/12/21 | 2,046,000 | 2,065,953 | |
BNP Paribas 2.375% 9/14/17 | 6,000,000 | 6,033,480 | |
BNP Paribas SA 2.375% 5/21/20 | 3,000,000 | 2,998,575 | |
BPCE SA: | |||
2.5% 12/10/18 | 5,000,000 | 5,038,995 | |
2.5% 7/15/19 | 2,000,000 | 2,012,392 | |
Capital One NA: | |||
2.35% 8/17/18 | 500,000 | 503,332 | |
2.35% 1/31/20 | 1,000,000 | 1,001,854 | |
2.4% 9/5/19 | 2,000,000 | 2,010,778 | |
CIT Group, Inc. 3.875% 2/19/19 | 5,090,000 | 5,207,732 | |
Citigroup, Inc.: | |||
1.7% 4/27/18 | 1,500,000 | 1,499,546 | |
1.75% 5/1/18 | 2,870,000 | 2,870,623 | |
2.05% 6/7/19 | 2,000,000 | 2,000,640 | |
2.15% 7/30/18 | 2,000,000 | 2,009,458 | |
2.35% 8/2/21 | 10,000,000 | 9,850,680 | |
2.4% 2/18/20 | 4,000,000 | 4,012,368 | |
2.45% 1/10/20 | 3,000,000 | 3,013,701 | |
2.5% 9/26/18 | 1,500,000 | 1,514,631 | |
2.5% 7/29/19 | 2,000,000 | 2,019,212 | |
2.55% 4/8/19 | 3,000,000 | 3,032,976 | |
2.65% 10/26/20 | 3,000,000 | 3,017,817 | |
2.7% 3/30/21 | 5,000,000 | 5,006,085 | |
4.4% 6/10/25 | 2,604,000 | 2,674,545 | |
Citizens Bank NA: | |||
2.45% 12/4/19 | 5,526,000 | 5,571,341 | |
2.55% 5/13/21 | 6,501,000 | 6,484,286 | |
Citizens Financial Group, Inc. 2.375% 7/28/21 | 417,000 | 411,509 | |
Comerica, Inc. 2.125% 5/23/19 | 345,000 | 344,872 | |
Commonwealth Bank of Australia: | |||
2.25% 3/13/19 | 750,000 | 754,452 | |
2.3% 9/6/19 | 2,000,000 | 2,016,924 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 1.7% 3/19/18 | 2,000,000 | 2,003,404 | |
Credit Agricole SA 2.75% 6/10/20 (a) | 8,000,000 | 8,033,736 | |
Credit Suisse Group Funding Guernsey Ltd. 3.45% 4/16/21 | 6,000,000 | 6,092,214 | |
Credit Suisse New York Branch: | |||
1.75% 1/29/18 | 2,000,000 | 2,002,984 | |
2.3% 5/28/19 | 5,750,000 | 5,785,058 | |
3% 10/29/21 | 1,500,000 | 1,515,470 | |
Discover Bank: | |||
2% 2/21/18 | 5,920,000 | 5,937,280 | |
2.6% 11/13/18 | 4,000,000 | 4,043,388 | |
Fifth Third Bancorp: | |||
2.3% 3/1/19 | 279,000 | 281,254 | |
2.875% 7/27/20 | 3,200,000 | 3,253,920 | |
4.5% 6/1/18 | 3,024,000 | 3,124,639 | |
First Horizon National Corp. 3.5% 12/15/20 | 3,000,000 | 3,069,183 | |
HBOS PLC 6.75% 5/21/18 (a) | 509,000 | 535,507 | |
HSBC Bank PLC 1.5% 5/15/18 (a) | 1,570,000 | 1,565,029 | |
HSBC Holdings PLC 2.95% 5/25/21 | 4,000,000 | 4,026,812 | |
HSBC U.S.A., Inc.: | |||
2.375% 11/13/19 | 3,000,000 | 3,007,013 | |
2.625% 9/24/18 | 262,000 | 264,590 | |
Huntington Bancshares, Inc.: | |||
2.3% 1/14/22 | 5,000,000 | 4,873,210 | |
3.15% 3/14/21 | 3,000,000 | 3,053,955 | |
7% 12/15/20 | 180,000 | 207,030 | |
Huntington National Bank 2.2% 4/1/19 | 1,000,000 | 1,001,349 | |
ING Bank NV 1.8% 3/16/18 (a) | 5,000,000 | 5,003,285 | |
JPMorgan Chase & Co.: | |||
1.625% 5/15/18 | 4,500,000 | 4,504,604 | |
2.2% 10/22/19 | 10,058,000 | 10,112,333 | |
2.25% 1/23/20 | 8,000,000 | 8,038,216 | |
2.35% 1/28/19 | 1,942,000 | 1,962,898 | |
2.55% 10/29/20 | 3,000,000 | 3,021,825 | |
2.75% 6/23/20 | 7,000,000 | 7,119,861 | |
KeyCorp. 2.3% 12/13/18 | 2,000,000 | 2,010,460 | |
La Caisse Centrale 1.75% 1/29/18 (a) | 4,000,000 | 4,006,512 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
2.19% 9/13/21 | 5,000,000 | 4,871,850 | |
2.95% 3/1/21 | 4,000,000 | 4,037,852 | |
2.998% 2/22/22 | 2,619,000 | 2,637,789 | |
Mizuho Bank Ltd.: | |||
2.45% 4/16/19 (a) | 1,400,000 | 1,407,514 | |
2.65% 9/25/19 (a) | 2,000,000 | 2,016,798 | |
Mizuho Financial Group, Inc.: | |||
2.273% 9/13/21 | 3,000,000 | 2,930,826 | |
2.632% 4/12/21 (a) | 5,180,000 | 5,143,756 | |
2.953% 2/28/22 | 6,000,000 | 6,002,298 | |
MUFG Americas Holdings Corp. 2.25% 2/10/20 | 1,241,000 | 1,239,817 | |
Nordea Bank AB 2.375% 4/4/19 (a) | 1,000,000 | 1,007,825 | |
PNC Bank NA: | |||
1.5% 2/23/18 | 2,100,000 | 2,100,395 | |
1.8% 11/5/18 | 2,000,000 | 2,003,722 | |
2.15% 4/29/21 | 5,000,000 | 4,958,005 | |
2.4% 10/18/19 | 3,000,000 | 3,032,202 | |
Regions Financial Corp. 3.2% 2/8/21 | 4,000,000 | 4,075,876 | |
Royal Bank of Canada: | |||
1.5% 7/29/19 | 5,000,000 | 4,954,235 | |
2.125% 3/2/20 | 5,350,000 | 5,346,148 | |
4.65% 1/27/26 | 1,182,000 | 1,258,629 | |
Royal Bank of Scotland Group PLC: | |||
1.9382% 3/31/17 (b) | 8,715,000 | 8,712,063 | |
3.875% 9/12/23 | 7,000,000 | 6,906,963 | |
Sumitomo Mitsui Banking Corp.: | |||
1.8% 7/18/17 | 940,000 | 941,744 | |
2.25% 7/11/19 | 3,500,000 | 3,505,866 | |
2.45% 1/10/19 | 590,000 | 594,476 | |
2.45% 1/16/20 | 3,000,000 | 3,009,465 | |
2.65% 7/23/20 | 3,000,000 | 3,001,626 | |
Sumitomo Mitsui Financial Group, Inc. 2.934% 3/9/21 | 2,449,000 | 2,471,636 | |
SunTrust Banks, Inc.: | |||
2.35% 11/1/18 | 924,000 | 931,563 | |
2.5% 5/1/19 | 550,000 | 555,708 | |
2.9% 3/3/21 | 2,828,000 | 2,864,756 | |
The Toronto-Dominion Bank: | |||
2.125% 4/7/21 | 4,000,000 | 3,957,080 | |
2.25% 11/5/19 | 2,000,000 | 2,017,460 | |
2.625% 9/10/18 | 1,200,000 | 1,217,935 | |
Wells Fargo & Co.: | |||
1.5% 1/16/18 | 1,300,000 | 1,300,164 | |
2.15% 1/15/19 | 5,500,000 | 5,542,724 | |
2.6% 7/22/20 | 13,000,000 | 13,154,362 | |
Westpac Banking Corp.: | |||
1.6% 8/19/19 | 5,000,000 | 4,951,230 | |
2.8% 1/11/22 | 5,000,000 | 5,037,360 | |
420,294,274 | |||
Capital Markets - 5.3% | |||
Credit Suisse AG 6% 2/15/18 | 3,680,000 | 3,823,546 | |
Credit Suisse Group AG 3.574% 1/9/23 (a) | 10,000,000 | 9,969,970 | |
Deutsche Bank AG London Branch: | |||
2.5% 2/13/19 | 2,250,000 | 2,251,044 | |
2.85% 5/10/19 | 10,968,000 | 11,024,101 | |
Goldman Sachs Group, Inc.: | |||
1.7634% 12/15/17 (b) | 3,000,000 | 3,009,123 | |
2.375% 1/22/18 | 8,850,000 | 8,916,065 | |
2.625% 1/31/19 | 13,000,000 | 13,159,380 | |
2.625% 4/25/21 | 2,097,000 | 2,096,805 | |
5.95% 1/18/18 | 1,693,000 | 1,757,100 | |
6.15% 4/1/18 | 402,000 | 421,055 | |
IntercontinentalExchange, Inc.: | |||
2.5% 10/15/18 | 347,000 | 351,826 | |
2.75% 12/1/20 | 2,647,000 | 2,692,397 | |
Lazard Group LLC 4.25% 11/14/20 | 543,000 | 570,090 | |
Legg Mason, Inc. 2.7% 7/15/19 | 2,000,000 | 2,023,640 | |
Merrill Lynch & Co., Inc.: | |||
6.4% 8/28/17 | 40,000 | 40,985 | |
6.875% 4/25/18 | 726,000 | 767,511 | |
Moody's Corp.: | |||
2.75% 7/15/19 | 8,000,000 | 8,109,536 | |
2.75% 12/15/21 | 647,000 | 644,834 | |
Morgan Stanley: | |||
2.375% 7/23/19 | 9,660,000 | 9,726,026 | |
2.5% 1/24/19 | 1,750,000 | 1,766,384 | |
2.5% 4/21/21 | 6,200,000 | 6,175,386 | |
2.625% 11/17/21 | 5,350,000 | 5,306,826 | |
2.65% 1/27/20 | 11,000,000 | 11,121,561 | |
4.875% 11/1/22 | 7,000,000 | 7,544,236 | |
5.5% 1/26/20 | 2,000,000 | 2,176,060 | |
5.625% 9/23/19 | 112,000 | 121,326 | |
7.3% 5/13/19 | 603,000 | 669,384 | |
S&P Global, Inc. 2.5% 8/15/18 | 1,049,000 | 1,057,857 | |
Thomson Reuters Corp. 1.65% 9/29/17 | 5,050,000 | 5,057,898 | |
UBS AG Stamford Branch: | |||
1.375% 6/1/17 | 2,832,000 | 2,833,713 | |
1.375% 8/14/17 | 6,700,000 | 6,702,760 | |
1.6971% 3/26/18 (b) | 3,000,000 | 3,014,025 | |
2.375% 8/14/19 | 2,843,000 | 2,861,696 | |
137,764,146 | |||
Consumer Finance - 4.2% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 3.5% 5/26/22 | 915,000 | 928,304 | |
Ally Financial, Inc.: | |||
3.25% 2/13/18 | 3,000,000 | 3,039,000 | |
3.25% 11/5/18 | 3,000,000 | 3,052,500 | |
4.25% 4/15/21 | 2,920,000 | 3,011,250 | |
American Express Credit Corp.: | |||
2.125% 3/18/19 | 5,520,000 | 5,554,003 | |
2.2% 3/3/20 | 5,000,000 | 4,994,800 | |
2.25% 5/5/21 | 4,000,000 | 3,969,572 | |
Capital One Financial Corp. 2.45% 4/24/19 | 5,450,000 | 5,495,715 | |
Discover Financial Services 5.2% 4/27/22 | 3,239,000 | 3,521,771 | |
Ford Motor Credit Co. LLC: | |||
1.684% 9/8/17 | 1,000,000 | 1,001,392 | |
1.897% 8/12/19 | 3,000,000 | 2,971,677 | |
2.145% 1/9/18 | 2,500,000 | 2,509,898 | |
2.24% 6/15/18 | 6,000,000 | 6,026,526 | |
2.597% 11/4/19 | 7,000,000 | 7,073,402 | |
2.681% 1/9/20 | 4,063,000 | 4,104,459 | |
2.875% 10/1/18 | 2,500,000 | 2,535,190 | |
3% 6/12/17 | 4,500,000 | 4,520,790 | |
3.157% 8/4/20 | 3,000,000 | 3,055,557 | |
Hyundai Capital America: | |||
2% 3/19/18 (a) | 1,891,000 | 1,893,169 | |
2% 7/1/19 (a) | 3,000,000 | 2,973,882 | |
2.125% 10/2/17 (a) | 2,437,000 | 2,443,080 | |
2.55% 2/6/19 (a) | 4,759,000 | 4,780,701 | |
2.6% 3/19/20 (a) | 2,000,000 | 1,997,742 | |
2.875% 8/9/18 (a) | 2,606,000 | 2,633,968 | |
Synchrony Financial: | |||
1.875% 8/15/17 | 173,000 | 173,140 | |
2.6% 1/15/19 | 5,887,000 | 5,935,097 | |
2.7% 2/3/20 | 2,500,000 | 2,512,823 | |
3% 8/15/19 | 3,000,000 | 3,045,930 | |
Toyota Motor Credit Corp.: | |||
1.55% 7/13/18 | 5,000,000 | 5,001,955 | |
1.55% 10/18/19 | 2,244,000 | 2,229,836 | |
2% 10/24/18 | 2,500,000 | 2,518,700 | |
2.6% 1/11/22 | 5,500,000 | 5,528,512 | |
111,034,341 | |||
Diversified Financial Services - 0.9% | |||
Berkshire Hathaway Finance Corp. 1.7% 3/15/19 | 1,631,000 | 1,637,185 | |
Berkshire Hathaway, Inc. 2.2% 3/15/21 | 1,436,000 | 1,441,793 | |
Brixmor Operating Partnership LP 3.875% 8/15/22 | 2,222,000 | 2,278,917 | |
GE Capital International Funding Co. 2.342% 11/15/20 | 11,630,000 | 11,723,726 | |
General Electric Capital Corp. 2.2% 1/9/20 | 2,577,000 | 2,608,027 | |
ING Bank NV 1.65% 8/15/19 (a) | 4,000,000 | 3,947,364 | |
23,637,012 | |||
Insurance - 4.4% | |||
ACE INA Holdings, Inc. 2.3% 11/3/20 | 1,173,000 | 1,177,663 | |
AFLAC, Inc. 2.4% 3/16/20 | 6,000,000 | 6,072,780 | |
AIA Group Ltd. 2.25% 3/11/19 (a) | 8,529,000 | 8,544,378 | |
American International Group, Inc.: | |||
2.3% 7/16/19 | 10,304,000 | 10,359,168 | |
3.3% 3/1/21 | 4,987,000 | 5,111,141 | |
4.875% 6/1/22 | 1,484,000 | 1,610,806 | |
5.85% 1/16/18 | 1,910,000 | 1,979,444 | |
Aon Corp. 5% 9/30/20 | 2,178,000 | 2,358,267 | |
Aon PLC 2.8% 3/15/21 | 7,000,000 | 7,013,657 | |
Assurant, Inc. 2.5% 3/15/18 | 2,000,000 | 2,016,754 | |
Great-West Life & Annuity Insurance Co. 3.5753% 5/16/46 (a)(b) | 259,000 | 230,510 | |
Hartford Financial Services Group, Inc.: | |||
5.375% 3/15/17 | 18,000 | 18,026 | |
5.5% 3/30/20 | 4,601,000 | 5,018,614 | |
Liberty Mutual Group, Inc. 5% 6/1/21 (a) | 16,714,000 | 18,160,747 | |
Marsh & McLennan Companies, Inc.: | |||
2.35% 9/10/19 | 495,000 | 499,696 | |
2.35% 3/6/20 | 5,000,000 | 5,015,945 | |
2.55% 10/15/18 | 517,000 | 523,548 | |
2.75% 1/30/22 | 2,231,000 | 2,242,010 | |
3.3% 3/14/23 | 1,731,000 | 1,764,685 | |
MassMutual Global Funding II 2.35% 4/9/19 (a) | 1,000,000 | 1,010,731 | |
MetLife, Inc. 1.756% 12/15/17 (b) | 269,000 | 269,458 | |
Metropolitan Life Global Funding I: | |||
1.5% 1/10/18 (a) | 4,431,000 | 4,435,032 | |
2% 4/14/20 (a) | 3,000,000 | 2,981,202 | |
New York Life Global Funding 1.55% 11/2/18 (a) | 3,500,000 | 3,489,987 | |
Pacific LifeCorp 6% 2/10/20 (a) | 7,000,000 | 7,613,137 | |
Pricoa Global Funding I 1.6% 5/29/18 (a) | 967,000 | 966,816 | |
Principal Life Global Funding II 2.375% 9/11/19 (a) | 2,200,000 | 2,211,484 | |
Prudential Financial, Inc. 3.5% 5/15/24 | 2,550,000 | 2,621,349 | |
TIAA Asset Management Finance LLC 2.95% 11/1/19 (a) | 5,280,000 | 5,379,607 | |
Unum Group 5.625% 9/15/20 | 2,743,000 | 3,009,823 | |
113,706,465 | |||
TOTAL FINANCIALS | 806,436,238 | ||
HEALTH CARE - 6.3% | |||
Biotechnology - 0.9% | |||
AbbVie, Inc.: | |||
1.8% 5/14/18 | 3,972,000 | 3,980,830 | |
2.5% 5/14/20 | 5,952,000 | 5,982,064 | |
Amgen, Inc.: | |||
1.4301% 5/22/17 (b) | 3,000,000 | 3,001,788 | |
2.125% 5/1/20 | 1,618,000 | 1,616,961 | |
2.2% 5/22/19 | 4,290,000 | 4,328,589 | |
5.85% 6/1/17 | 446,000 | 451,130 | |
Celgene Corp.: | |||
2.125% 8/15/18 | 1,549,000 | 1,556,764 | |
2.875% 8/15/20 | 3,000,000 | 3,045,147 | |
23,963,273 | |||
Health Care Equipment & Supplies - 0.9% | |||
Abbott Laboratories: | |||
2.35% 11/22/19 | 5,000,000 | 5,026,085 | |
2.9% 11/30/21 | 4,980,000 | 4,989,029 | |
Becton, Dickinson & Co.: | |||
1.8% 12/15/17 | 1,149,000 | 1,151,528 | |
2.675% 12/15/19 | 287,000 | 291,300 | |
Danaher Corp.: | |||
1.65% 9/15/18 | 3,976,000 | 3,977,853 | |
2.4% 9/15/20 | 619,000 | 625,062 | |
Medtronic, Inc.: | |||
1.5% 3/15/18 | 1,770,000 | 1,772,683 | |
2.5% 3/15/20 | 2,200,000 | 2,232,470 | |
Zimmer Biomet Holdings, Inc. 2% 4/1/18 | 2,702,000 | 2,710,328 | |
22,776,338 | |||
Health Care Providers & Services - 1.0% | |||
Aetna, Inc.: | |||
1.9% 6/7/19 | 3,955,000 | 3,985,461 | |
2.4% 6/15/21 | 2,720,000 | 2,748,073 | |
Cardinal Health, Inc. 1.95% 6/15/18 | 462,000 | 463,673 | |
Coventry Health Care, Inc. 5.95% 3/15/17 | 264,000 | 264,443 | |
Express Scripts Holding Co.: | |||
1.25% 6/2/17 | 1,500,000 | 1,499,829 | |
2.25% 6/15/19 | 1,000,000 | 1,003,951 | |
McKesson Corp. 2.284% 3/15/19 | 686,000 | 689,940 | |
UnitedHealth Group, Inc.: | |||
1.4% 10/15/17 | 2,128,000 | 2,129,622 | |
1.9% 7/16/18 | 3,000,000 | 3,019,443 | |
2.125% 3/15/21 | 3,000,000 | 2,974,437 | |
2.7% 7/15/20 | 1,361,000 | 1,391,405 | |
2.875% 12/15/21 | 2,000,000 | 2,033,872 | |
WellPoint, Inc.: | |||
1.875% 1/15/18 | 326,000 | 326,852 | |
2.25% 8/15/19 | 2,950,000 | 2,962,809 | |
25,493,810 | |||
Life Sciences Tools & Services - 0.4% | |||
Thermo Fisher Scientific, Inc.: | |||
2.15% 12/14/18 | 881,000 | 886,292 | |
2.4% 2/1/19 | 3,086,000 | 3,115,839 | |
3% 4/15/23 | 5,000,000 | 4,940,025 | |
8,942,156 | |||
Pharmaceuticals - 3.1% | |||
Actavis Funding SCS: | |||
2.35% 3/12/18 | 5,334,000 | 5,371,909 | |
2.45% 6/15/19 | 3,277,000 | 3,296,269 | |
3% 3/12/20 | 2,684,000 | 2,732,707 | |
Allergan PLC 1.875% 10/1/17 | 210,000 | 210,487 | |
Bayer U.S. Finance LLC 1.5% 10/6/17 (a) | 1,863,000 | 1,862,570 | |
Forest Laboratories, Inc. 4.375% 2/1/19 (a) | 4,000,000 | 4,147,444 | |
Mylan N.V.: | |||
2.5% 6/7/19 | 9,824,000 | 9,826,279 | |
3.15% 6/15/21 | 2,306,000 | 2,306,745 | |
Perrigo Co. PLC: | |||
2.3% 11/8/18 | 6,047,000 | 6,056,772 | |
3.5% 3/15/21 | 4,556,000 | 4,625,525 | |
Perrigo Finance PLC 3.5% 12/15/21 | 3,263,000 | 3,270,394 | |
Shire Acquisitions Investments Ireland DAC: | |||
1.9% 9/23/19 | 5,000,000 | 4,959,485 | |
2.4% 9/23/21 | 7,000,000 | 6,856,577 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
1.7% 7/19/19 | 8,234,000 | 8,125,550 | |
2.2% 7/21/21 | 11,726,000 | 11,290,086 | |
2.8% 7/21/23 | 1,238,000 | 1,169,549 | |
Zoetis, Inc.: | |||
1.875% 2/1/18 | 5,445,000 | 5,458,444 | |
3.45% 11/13/20 | 493,000 | 507,801 | |
82,074,593 | |||
TOTAL HEALTH CARE | 163,250,170 | ||
INDUSTRIALS - 1.5% | |||
Aerospace & Defense - 0.4% | |||
BAE Systems Holdings, Inc. 2.85% 12/15/20 (a) | 5,615,000 | 5,691,005 | |
Lockheed Martin Corp. 2.5% 11/23/20 | 2,361,000 | 2,383,517 | |
The Boeing Co. 1.65% 10/30/20 | 3,000,000 | 2,965,896 | |
11,040,418 | |||
Airlines - 0.0% | |||
Continental Airlines, Inc.: | |||
6.648% 3/15/19 | 71,828 | 72,090 | |
6.795% 2/2/20 | 1,040 | 1,061 | |
6.9% 7/2/19 | 5,585 | 5,641 | |
U.S. Airways pass-thru trust certificates: | |||
6.85% 1/30/18 | 34,279 | 34,965 | |
8.36% 1/20/19 | 42,984 | 44,703 | |
158,460 | |||
Electrical Equipment - 0.1% | |||
Fortive Corp.: | |||
1.8% 6/15/19 (a) | 910,000 | 906,787 | |
2.35% 6/15/21 (a) | 1,547,000 | 1,530,017 | |
2,436,804 | |||
Industrial Conglomerates - 0.5% | |||
Roper Technologies, Inc.: | |||
2.05% 10/1/18 | 2,919,000 | 2,933,417 | |
2.8% 12/15/21 | 3,883,000 | 3,892,789 | |
3% 12/15/20 | 5,100,000 | 5,197,145 | |
12,023,351 | |||
Machinery - 0.0% | |||
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 | 263,000 | 265,074 | |
John Deere Capital Corp. 1.6% 7/13/18 | 590,000 | 590,895 | |
855,969 | |||
Trading Companies & Distributors - 0.5% | |||
Air Lease Corp.: | |||
2.125% 1/15/18 | 414,000 | 415,382 | |
2.625% 9/4/18 | 1,628,000 | 1,643,674 | |
3.375% 6/1/21 | 8,097,000 | 8,268,851 | |
3.75% 2/1/22 | 1,228,000 | 1,267,290 | |
3.875% 4/1/21 | 500,000 | 518,750 | |
4.75% 3/1/20 | 605,000 | 642,399 | |
12,756,346 | |||
TOTAL INDUSTRIALS | 39,271,348 | ||
INFORMATION TECHNOLOGY - 1.9% | |||
Communications Equipment - 0.3% | |||
Cisco Systems, Inc.: | |||
1.65% 6/15/18 | 3,000,000 | 3,012,084 | |
2.125% 3/1/19 | 1,500,000 | 1,516,760 | |
2.45% 6/15/20 | 3,000,000 | 3,050,346 | |
7,579,190 | |||
Electronic Equipment & Components - 0.8% | |||
Amphenol Corp. 1.55% 9/15/17 | 1,426,000 | 1,426,617 | |
Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
3.48% 6/1/19 (a) | 4,200,000 | 4,293,488 | |
4.42% 6/15/21 (a) | 4,200,000 | 4,407,274 | |
Tyco Electronics Group SA: | |||
2.35% 8/1/19 | 3,000,000 | 3,017,331 | |
2.375% 12/17/18 | 4,049,000 | 4,083,906 | |
6.55% 10/1/17 | 4,476,000 | 4,605,321 | |
21,833,937 | |||
IT Services - 0.2% | |||
The Western Union Co.: | |||
2.875% 12/10/17 | 773,000 | 779,989 | |
3.65% 8/22/18 | 3,111,000 | 3,184,510 | |
3,964,499 | |||
Software - 0.3% | |||
Oracle Corp.: | |||
1.9% 9/15/21 | 5,000,000 | 4,908,760 | |
2.25% 10/8/19 | 1,552,000 | 1,573,860 | |
6,482,620 | |||
Technology Hardware, Storage & Peripherals - 0.3% | |||
Apple, Inc. 2.85% 5/6/21 | 850,000 | 871,167 | |
Hewlett Packard Enterprise Co. 2.85% 10/5/18 | 4,000,000 | 4,052,368 | |
Xerox Corp.: | |||
2.75% 3/15/19 | 2,585,000 | 2,600,293 | |
2.95% 3/15/17 | 1,057,000 | 1,057,685 | |
8,581,513 | |||
TOTAL INFORMATION TECHNOLOGY | 48,441,759 | ||
MATERIALS - 0.7% | |||
Chemicals - 0.4% | |||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (a) | 5,340,000 | 5,343,022 | |
Ecolab, Inc.: | |||
1.45% 12/8/17 | 335,000 | 334,700 | |
1.55% 1/12/18 | 2,500,000 | 2,502,580 | |
Monsanto Co. 2.125% 7/15/19 | 3,000,000 | 3,007,389 | |
Sherwin-Williams Co. 1.35% 12/15/17 | 620,000 | 619,074 | |
11,806,765 | |||
Metals & Mining - 0.3% | |||
Anglo American Capital PLC 3.625% 5/14/20 (a) | 1,513,000 | 1,537,586 | |
Corporacion Nacional del Cobre de Chile (Codelco) 3.875% 11/3/21 (a) | 630,000 | 661,978 | |
Freeport-McMoRan, Inc.: | |||
2.3% 11/14/17 | 670,000 | 668,325 | |
2.375% 3/15/18 | 4,000,000 | 3,980,000 | |
6,847,889 | |||
TOTAL MATERIALS | 18,654,654 | ||
REAL ESTATE - 2.3% | |||
Equity Real Estate Investment Trusts (REITs) - 1.2% | |||
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22 | 189,000 | 201,528 | |
American Campus Communities Operating Partnership LP 3.35% 10/1/20 | 1,272,000 | 1,294,363 | |
Boston Properties, Inc.: | |||
3.7% 11/15/18 | 1,787,000 | 1,838,178 | |
5.875% 10/15/19 | 446,000 | 485,654 | |
DDR Corp.: | |||
3.5% 1/15/21 | 360,000 | 365,268 | |
4.25% 2/1/26 | 1,865,000 | 1,871,986 | |
4.75% 4/15/18 | 1,634,000 | 1,674,234 | |
7.5% 4/1/17 | 389,000 | 390,835 | |
Duke Realty LP 6.75% 3/15/20 | 35,000 | 39,179 | |
ERP Operating LP: | |||
2.375% 7/1/19 | 1,641,000 | 1,654,965 | |
3.375% 6/1/25 | 3,000,000 | 2,994,426 | |
5.75% 6/15/17 | 442,000 | 447,549 | |
Federal Realty Investment Trust: | |||
2.55% 1/15/21 | 5,000,000 | 4,997,885 | |
5.9% 4/1/20 | 5,000 | 5,519 | |
Government Properties Income Trust 3.75% 8/15/19 | 3,000,000 | 3,029,142 | |
Health Care REIT, Inc.: | |||
2.25% 3/15/18 | 250,000 | 251,168 | |
4.7% 9/15/17 | 2,436,000 | 2,476,691 | |
HRPT Properties Trust 6.65% 1/15/18 | 95,000 | 96,666 | |
Omega Healthcare Investors, Inc. 4.375% 8/1/23 | 2,877,000 | 2,924,016 | |
Select Income REIT 2.85% 2/1/18 | 1,515,000 | 1,526,728 | |
Simon Property Group LP: | |||
2.2% 2/1/19 | 462,000 | 465,799 | |
2.35% 1/30/22 | 1,046,000 | 1,033,068 | |
United Dominion Realty Trust, Inc. 4.25% 6/1/18 | 431,000 | 443,574 | |
30,508,421 | |||
Real Estate Management & Development - 1.1% | |||
Brandywine Operating Partnership LP: | |||
4.95% 4/15/18 | 51,000 | 52,519 | |
5.7% 5/1/17 | 369,000 | 371,411 | |
Digital Realty Trust LP: | |||
3.4% 10/1/20 | 1,735,000 | 1,774,303 | |
3.625% 10/1/22 | 1,040,000 | 1,061,768 | |
Essex Portfolio LP 5.5% 3/15/17 | 2,046,000 | 2,048,840 | |
Liberty Property LP 4.75% 10/1/20 | 1,045,000 | 1,113,151 | |
Mack-Cali Realty LP: | |||
2.5% 12/15/17 | 439,000 | 439,666 | |
4.5% 4/18/22 | 185,000 | 187,865 | |
Tanger Properties LP 6.125% 6/1/20 | 606,000 | 668,866 | |
Ventas Realty LP: | |||
1.25% 4/17/17 | 1,882,000 | 1,881,895 | |
3.125% 6/15/23 | 591,000 | 582,011 | |
Ventas Realty LP/Ventas Capital Corp.: | |||
2% 2/15/18 | 1,743,000 | 1,748,119 | |
4% 4/30/19 | 11,000,000 | 11,410,036 | |
4.25% 3/1/22 | 4,000,000 | 4,222,460 | |
Washington Prime Group LP 3.85% 4/1/20 | 2,090,000 | 2,090,635 | |
29,653,545 | |||
TOTAL REAL ESTATE | 60,161,966 | ||
TELECOMMUNICATION SERVICES - 2.9% | |||
Diversified Telecommunication Services - 2.7% | |||
American Electric Power Co., Inc. 1.65% 12/15/17 | 1,827,000 | 1,830,241 | |
AT&T, Inc.: | |||
1.4% 12/1/17 | 1,620,000 | 1,618,979 | |
2.375% 11/27/18 | 10,000,000 | 10,089,500 | |
2.45% 6/30/20 | 1,563,000 | 1,565,351 | |
2.8% 2/17/21 | 4,000,000 | 4,009,432 | |
5.875% 10/1/19 | 5,034,000 | 5,494,530 | |
BellSouth Corp. 4.4% 4/26/17 (a)(b) | 5,000,000 | 5,027,025 | |
British Telecommunications PLC 2.35% 2/14/19 | 4,296,000 | 4,324,981 | |
CenturyLink, Inc. 6.15% 9/15/19 | 592,000 | 631,960 | |
Verizon Communications, Inc.: | |||
1.1% 11/1/17 | 620,000 | 619,366 | |
1.75% 8/15/21 | 15,000,000 | 14,373,720 | |
2.625% 2/21/20 | 2,913,000 | 2,949,651 | |
3% 11/1/21 | 4,318,000 | 4,355,152 | |
3.65% 9/14/18 | 6,000,000 | 6,178,854 | |
4.5% 9/15/20 | 4,000,000 | 4,266,184 | |
6.1% 4/15/18 | 3,425,000 | 3,596,548 | |
70,931,474 | |||
Wireless Telecommunication Services - 0.2% | |||
Vodafone Group PLC: | |||
1.5% 2/19/18 | 2,625,000 | 2,622,162 | |
5.45% 6/10/19 | 2,000,000 | 2,148,556 | |
4,770,718 | |||
TOTAL TELECOMMUNICATION SERVICES | 75,702,192 | ||
UTILITIES - 4.4% | |||
Electric Utilities - 2.2% | |||
AmerenUE 6.4% 6/15/17 | 519,000 | 526,318 | |
Commonwealth Edison Co. 2.15% 1/15/19 | 188,000 | 189,426 | |
Duke Energy Corp.: | |||
1.625% 8/15/17 | 3,304,000 | 3,306,927 | |
1.8% 9/1/21 | 1,354,000 | 1,309,704 | |
2.1% 6/15/18 | 5,395,000 | 5,421,128 | |
Duquesne Light Holdings, Inc. 6.4% 9/15/20 (a) | 48,000 | 53,672 | |
Edison International: | |||
2.95% 3/15/23 | 730,000 | 732,751 | |
3.75% 9/15/17 | 431,000 | 435,835 | |
Eversource Energy: | |||
1.45% 5/1/18 | 153,000 | 152,529 | |
2.5% 3/15/21 | 896,000 | 889,879 | |
Exelon Corp. 2.85% 6/15/20 | 2,479,000 | 2,513,518 | |
FirstEnergy Corp.: | |||
2.75% 3/15/18 | 6,652,000 | 6,710,252 | |
4.25% 3/15/23 | 600,000 | 625,637 | |
FirstEnergy Solutions Corp. 6.05% 8/15/21 | 655,000 | 245,625 | |
IPALCO Enterprises, Inc. 3.45% 7/15/20 | 2,576,000 | 2,621,080 | |
LG&E and KU Energy LLC 3.75% 11/15/20 | 5,002,000 | 5,194,012 | |
Nevada Power Co.: | |||
6.5% 5/15/18 | 1,562,000 | 1,654,417 | |
6.5% 8/1/18 | 273,000 | 291,269 | |
NextEra Energy Capital Holdings, Inc.: | |||
1.586% 6/1/17 | 2,904,000 | 2,906,375 | |
1.649% 9/1/18 | 950,000 | 948,656 | |
PacifiCorp 5.5% 1/15/19 | 2,750,000 | 2,942,217 | |
Pennsylvania Electric Co. 6.05% 9/1/17 | 115,000 | 117,288 | |
PG&E Corp. 2.4% 3/1/19 | 74,000 | 74,521 | |
Public Service Electric & Gas Co. 2.3% 9/15/18 | 2,000,000 | 2,026,918 | |
Southern Co.: | |||
1.85% 7/1/19 | 3,000,000 | 2,988,780 | |
2.35% 7/1/21 | 5,250,000 | 5,181,818 | |
TECO Finance, Inc.: | |||
1.6101% 4/10/18 (b) | 3,000,000 | 3,001,698 | |
5.15% 3/15/20 | 252,000 | 269,418 | |
Xcel Energy, Inc.: | |||
1.2% 6/1/17 | 3,153,000 | 3,150,670 | |
2.4% 3/15/21 | 1,050,000 | 1,048,337 | |
57,530,675 | |||
Gas Utilities - 0.0% | |||
Texas Eastern Transmission LP 6% 9/15/17 (a) | 1,096,000 | 1,120,208 | |
Independent Power and Renewable Electricity Producers - 0.3% | |||
Emera U.S. Finance LP: | |||
2.15% 6/15/19 | 557,000 | 556,088 | |
2.7% 6/15/21 | 548,000 | 544,989 | |
Kinder Morgan Finance Co. LLC 6% 1/15/18 (a) | 2,500,000 | 2,591,483 | |
Southern Power Co.: | |||
1.85% 12/1/17 | 704,000 | 705,389 | |
2.375% 6/1/20 | 1,087,000 | 1,086,346 | |
TransAlta Corp. 1.9% 6/3/17 | 2,900,000 | 2,898,869 | |
8,383,164 | |||
Multi-Utilities - 1.9% | |||
Ameren Illinois Co. 6.125% 11/15/17 | 62,000 | 63,998 | |
Berkshire Hathaway Energy Co.: | |||
1.1% 5/15/17 | 1,000,000 | 1,000,001 | |
2% 11/15/18 | 544,000 | 545,588 | |
Consolidated Edison, Inc.: | |||
2% 3/15/20 | 1,355,000 | 1,357,182 | |
2% 5/15/21 | 1,538,000 | 1,508,034 | |
Dominion Resources, Inc.: | |||
1.4% 9/15/17 | 3,225,000 | 3,220,433 | |
1.9% 6/15/18 | 2,540,000 | 2,538,661 | |
2% 8/15/21 | 843,000 | 821,699 | |
2.5% 12/1/19 | 10,382,000 | 10,492,537 | |
3.2982% 9/30/66 (b) | 651,000 | 531,151 | |
3.8232% 6/30/66 (b) | 567,000 | 520,223 | |
NiSource Finance Corp.: | |||
3.85% 2/15/23 | 700,000 | 721,779 | |
5.45% 9/15/20 | 43,000 | 47,174 | |
6.4% 3/15/18 | 888,000 | 930,700 | |
NSTAR 4.5% 11/15/19 | 2,500,000 | 2,652,713 | |
Public Service Enterprise Group, Inc. 2% 11/15/21 | 1,782,000 | 1,723,684 | |
Puget Energy, Inc. 6.5% 12/15/20 | 991,000 | 1,113,926 | |
Sempra Energy: | |||
1.625% 10/7/19 | 4,189,000 | 4,147,969 | |
2.3% 4/1/17 | 4,935,000 | 4,939,471 | |
2.4% 3/15/20 | 1,890,000 | 1,893,557 | |
2.85% 11/15/20 | 1,392,000 | 1,413,050 | |
Wisconsin Energy Corp.: | |||
1.65% 6/15/18 | 3,006,000 | 3,004,975 | |
2.45% 6/15/20 | 2,901,000 | 2,914,545 | |
6.25% 5/15/67 (b) | 454,000 | 413,708 | |
48,516,758 | |||
TOTAL UTILITIES | 115,550,805 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $1,819,712,290) | 1,823,746,496 | ||
U.S. Treasury Obligations - 11.5% | |||
U.S. Treasury Notes: | |||
0.75% 7/15/19 | $37,726,000 | $37,204,325 | |
1.125% 7/31/21 | 45,000,000 | 43,618,365 | |
1.375% 2/15/20 | 11,830,000 | 11,791,186 | |
1.375% 3/31/20 | 69,683,000 | 69,353,593 | |
1.375% 1/31/21 | 45,000,000 | 44,363,655 | |
1.75% 12/31/20 | 20,000,000 | 20,014,840 | |
2.125% 2/29/24 | 9,915,000 | 9,873,169 | |
2.25% 3/31/21 | 55,000,000 | 56,024,815 | |
2.25% 1/31/24 | 8,287,000 | 8,322,286 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $303,390,992) | 300,566,234 | ||
U.S. Government Agency - Mortgage Securities - 0.4% | |||
Fannie Mae - 0.3% | |||
2.54% 6/1/42 (b) | 43,327 | 44,930 | |
2.699% 2/1/42 (b) | 397,870 | 412,177 | |
2.772% 1/1/42 (b) | 291,246 | 301,751 | |
2.81% 12/1/33 (b) | 523,614 | 552,237 | |
2.812% 7/1/35 (b) | 62,315 | 65,785 | |
2.943% 9/1/41 (b) | 23,888 | 24,747 | |
2.956% 11/1/36 (b) | 99,643 | 103,288 | |
2.961% 3/1/40 (b) | 88,686 | 94,113 | |
2.973% 11/1/40 (b) | 18,359 | 19,362 | |
2.975% 10/1/41 (b) | 16,401 | 17,321 | |
3.031% 1/1/40 (b) | 120,982 | 127,964 | |
3.124% 4/1/35 (b) | 289,649 | 303,980 | |
3.187% 3/1/40 (b) | 66,719 | 70,731 | |
3.241% 7/1/41 (b) | 38,472 | 40,430 | |
3.364% 10/1/41 (b) | 21,203 | 22,082 | |
3.435% 12/1/39 (b) | 27,002 | 28,713 | |
3.5% 7/1/26 to 10/1/29 | 3,273,393 | 3,436,596 | |
3.55% 7/1/41 (b) | 51,259 | 53,493 | |
4.5% 3/1/35 | 30,953 | 33,388 | |
6% 4/1/17 | 2 | 2 | |
6.5% 7/1/17 to 8/1/36 | 387,338 | 444,507 | |
7% 9/1/18 to 6/1/33 | 246,709 | 287,535 | |
7.5% 8/1/17 to 3/1/28 | 71,816 | 83,084 | |
8.5% 5/1/21 to 9/1/25 | 4,911 | 5,578 | |
9.5% 2/1/25 | 322 | 340 | |
10.5% 8/1/20 | 2,869 | 3,010 | |
TOTAL FANNIE MAE | 6,577,144 | ||
Freddie Mac - 0.1% | |||
2.916% 4/1/40 (b) | 70,928 | 75,022 | |
2.998% 2/1/40 (b) | 95,749 | 101,655 | |
3.03% 4/1/40 (b) | 69,274 | 73,536 | |
3.198% 9/1/41 (b) | 28,424 | 29,804 | |
3.231% 4/1/41 (b) | 23,760 | 24,646 | |
3.282% 6/1/41 (b) | 31,965 | 33,630 | |
3.392% 5/1/41 (b) | 24,498 | 26,053 | |
3.5% 8/1/26 | 2,280,106 | 2,388,281 | |
3.626% 5/1/41 (b) | 33,516 | 35,255 | |
3.665% 6/1/41 (b) | 36,507 | 38,415 | |
4.5% 8/1/18 | 75,057 | 76,682 | |
5% 3/1/19 | 137,087 | 140,190 | |
8.5% 9/1/24 to 8/1/27 | 26,137 | 30,681 | |
TOTAL FREDDIE MAC | 3,073,850 | ||
Ginnie Mae - 0.0% | |||
7% 7/15/28 to 11/15/28 | 61,416 | 71,052 | |
7.5% 2/15/28 to 10/15/28 | 3,297 | 3,888 | |
8% 6/15/24 | 34 | 39 | |
8.5% 10/15/21 | 19,391 | 21,450 | |
11% 7/20/19 to 8/20/19 | 689 | 725 | |
TOTAL GINNIE MAE | 97,154 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $9,689,916) | 9,748,148 | ||
Asset-Backed Securities - 7.4% | |||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1.4833% 4/25/35 (b) | $56,669 | $54,388 | |
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 2.4211% 3/25/34 (b) | 29,069 | 28,824 | |
Ally Master Owner Trust: | |||
Series 2012-4 Class A, 1.72% 7/15/19 | 292,000 | 292,491 | |
Series 2012-5 Class A, 1.54% 9/15/19 | 11,057,000 | 11,067,869 | |
Series 2014-3 Class A, 1.33% 3/15/19 | 2,425,000 | 2,425,159 | |
Series 2014-4 Class A2, 1.43% 6/17/19 | 3,870,000 | 3,872,277 | |
Series 2014-5 Class A2, 1.6% 10/15/19 | 3,000,000 | 3,003,099 | |
Series 2015-3 Class A, 1.63% 5/15/20 | 3,130,000 | 3,130,489 | |
American Express Credit Account Master Trust Series 2014-4 Class A, 1.43% 6/15/20 | 3,780,000 | 3,783,392 | |
AmeriCredit Automobile Receivables Trust: | |||
Series 2014-2 Class A3, 0.94% 2/8/19 | 230,241 | 230,187 | |
Series 2014-4 Class A3, 1.27% 7/8/19 | 269,019 | 269,017 | |
Series 2015-2 Class A3, 1.27% 1/8/20 | 2,490,593 | 2,489,258 | |
Series 2016-1 Class A3, 2.14% 10/8/20 | 1,888,000 | 1,891,640 | |
Series 2016-2 Class A2A, 1.42% 10/8/19 | 1,851,001 | 1,851,593 | |
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | |||
Series 2003-10 Class M1, 1.8283% 12/25/33 (b) | 4,390 | 4,243 | |
Series 2004-R2 Class M3, 1.6033% 4/25/34 (b) | 10,238 | 8,636 | |
Argent Securities, Inc. pass-thru certificates: | |||
Series 2003-W7 Class A2, 1.5583% 3/25/34 (b) | 4,092 | 3,890 | |
Series 2004-W11 Class M2, 1.8283% 11/25/34 (b) | 58,719 | 58,426 | |
Series 2004-W7 Class M1, 1.6033% 5/25/34 (b) | 154,693 | 149,283 | |
Series 2006-W4 Class A2C, 0.9383% 5/25/36 (b) | 125,727 | 43,895 | |
Asset Backed Securities Corp. Home Equity Loan Trust: | |||
Series 2004-HE2 Class M1, 1.5961% 4/25/34 (b) | 126,078 | 115,229 | |
Series 2006-HE2 Class M1, 1.1411% 3/25/36 (b) | 2,266 | 27 | |
Bank of America Credit Card Master Trust Series 2015-A2 Class A, 1.36% 9/15/20 | 4,899,000 | 4,895,885 | |
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1.9033% 2/25/35 (b) | 345,711 | 317,130 | |
Capital Auto Receivables Asset Trust: | |||
Series 2015-1 Class A2, 1.42% 6/20/18 | 441,271 | 441,293 | |
Series 2015-2 Class A2, 1.39% 9/20/18 | 1,238,154 | 1,238,742 | |
Capital One Multi-Asset Execution Trust: | |||
Series 2014-A5 Class A, 1.48% 7/15/20 | 2,200,000 | 2,202,766 | |
Series 2016-A4 Class A4, 1.4% 6/15/22 | 4,860,000 | 4,810,062 | |
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.9111% 12/25/36 (b) | 205,465 | 153,712 | |
Chase Issuance Trust Series 2015-A2, Class A, 1.59% 2/18/20 | 3,000,000 | 3,006,301 | |
Chrysler Capital Auto Receivables Trust: | |||
Series 2015-AA Class A3, 1.22% 7/15/19 (a) | 1,796,961 | 1,796,552 | |
Series 2016-BA Class A2, 1.6% 1/15/20 (a) | 4,201,000 | 4,198,761 | |
CIT Equipment Collateral Series 2014-VT1 Class A3, 1.5% 10/21/19 (a) | 992,104 | 992,571 | |
Citibank Credit Card Issuance Trust Series 2014-A6 Class A6, 2.15% 7/15/21 | 2,896,000 | 2,922,423 | |
Countrywide Home Loans, Inc.: | |||
Series 2003-BC1 Class B1, 6.0283% 3/25/32 (b) | 9,741 | 9,680 | |
Series 2004-3 Class M4, 2.2333% 4/25/34 (b) | 6,298 | 5,903 | |
Series 2004-4 Class M2, 1.5733% 6/25/34 (b) | 7,123 | 6,830 | |
Dell Equipment Finance Trust Series 2015-1 Class A3, 1.3% 3/23/20 (a) | 2,885,583 | 2,885,471 | |
Discover Card Master Trust: | |||
Series 2014-A5 Class A, 1.39% 4/15/20 | 1,780,000 | 1,780,943 | |
Series 2016-A1 Class A1, 1.64% 7/15/21 | 3,630,000 | 3,628,298 | |
Series 2016-A4 Class A4, 1.39% 3/15/22 | 5,019,000 | 4,969,570 | |
Enterprise Fleet Financing LLC: | |||
Series 2014-2 Class A2, 1.05% 3/20/20 (a) | 923,502 | 922,813 | |
Series 2015-1 Class A2, 1.3% 9/20/20 (a) | 1,201,224 | 1,199,990 | |
Series 2016-2 Class A2, 1.74% 2/22/22 (a) | 2,331,000 | 2,326,703 | |
Series 2017-1 Class A2, 2.13% 7/20/22 (a) | 2,568,000 | 2,568,840 | |
Fannie Mae Series 2004-T5 Class AB3, 1.5005% 5/28/35 (b) | 4,436 | 3,918 | |
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.9461% 8/25/34 (b) | 27,336 | 25,998 | |
Flagship Credit Auto Trust Series 2016-1 Class A, 2.53% 12/15/20 (a) | 2,407,874 | 2,425,869 | |
Ford Credit Auto Owner Trust: | |||
Series 2014-2 Class A, 2.31% 4/15/26 (a) | 9,142,000 | 9,224,709 | |
Series 2015-1 Class A, 2.12% 7/15/26 (a) | 2,785,000 | 2,786,335 | |
Series 2015-2 Class A, 2.44% 1/15/27 (a) | 6,181,000 | 6,232,031 | |
Series 2016-1 Class A, 2.31% 8/15/27 (a) | 5,938,000 | 5,939,357 | |
Series 2017-1 Class A, 2.62% 8/15/28 (a) | 5,415,000 | 5,413,844 | |
Ford Credit Floorplan Master Owner Trust: | |||
Series 2015-1 Class A1, 1.42% 1/15/20 | 6,000,000 | 5,997,400 | |
Series 2015-5 Class A, 2.39% 8/15/22 | 10,511,000 | 10,593,712 | |
Series 2016-3 Class A1, 1.55% 7/15/21 | 4,844,000 | 4,807,909 | |
Fremont Home Loan Trust Series 2005-A: | |||
Class M3, 1.5061% 1/25/35 (b) | 81,136 | 75,248 | |
Class M4, 1.7911% 1/25/35 (b) | 39,567 | 20,650 | |
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.4323% 2/25/47 (a)(b) | 194,023 | 163,360 | |
GE Business Loan Trust Series 2006-2A: | |||
Class A, 0.95% 11/15/34 (a)(b) | 61,314 | 58,130 | |
Class B, 1.05% 11/15/34 (a)(b) | 22,247 | 20,702 | |
Class C, 1.15% 11/15/34 (a)(b) | 36,716 | 33,859 | |
Class D, 1.52% 11/15/34 (a)(b) | 13,927 | 12,617 | |
GM Financial Automobile Leasing Trust: | |||
Series 2014-2A Class A3, 1.22% 1/22/18 (a) | 244,470 | 244,480 | |
Series 2015-1 Class A3, 1.53% 9/20/18 | 2,250,269 | 2,252,582 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2015-1 Class A1, 1.65% 5/15/20 (a) | 3,732,000 | 3,732,699 | |
Series 2016-1 Class A1, 1.86% 5/17/21 (a) | 3,160,000 | 3,157,543 | |
Series 2017-1 Class A1, 2.25% 1/18/22 (a) | 4,092,000 | 4,087,543 | |
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (a) | 19,112 | 1,526 | |
Home Equity Asset Trust: | |||
Series 2003-2 Class M1, 2.0983% 8/25/33 (b) | 29,146 | 27,455 | |
Series 2003-5 Class A2, 1.4711% 12/25/33 (b) | 2,817 | 2,700 | |
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.9683% 1/25/37 (b) | 141,116 | 101,721 | |
Hyundai Auto Lease Securitization Trust Series 2015-B Class A3, 1.4% 11/15/18 (a) | 2,966,000 | 2,967,944 | |
Hyundai Floorplan Master Owner Trust Series 2016-1A Class A2, 1.81% 3/15/21 (a) | 2,151,000 | 2,146,012 | |
KeyCorp Student Loan Trust Series 2006-A Class 2C, 2.1471% 3/27/42 (b) | 392,000 | 203,137 | |
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 1.0711% 5/25/37 (b) | 30,008 | 551 | |
Mercedes-Benz Auto Receivables Trust Series 2016-1 Class A3, 1.26% 2/16/21 | 4,798,000 | 4,758,801 | |
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.5283% 7/25/34 (b) | 11,780 | 10,432 | |
Merrill Lynch Mortgage Investors Trust: | |||
Series 2003-OPT1 Class M1, 1.7461% 7/25/34 (b) | 20,520 | 19,775 | |
Series 2006-FM1 Class A2B, 0.8883% 4/25/37 (b) | 255 | 142 | |
Series 2006-OPT1 Class A1A, 1.2911% 6/25/35 (b) | 136,243 | 131,918 | |
Morgan Stanley ABS Capital I Trust: | |||
Series 2004-HE6 Class A2, 1.4583% 8/25/34 (b) | 4,895 | 4,451 | |
Series 2004-NC8 Class M6, 2.6533% 9/25/34 (b) | 47,635 | 44,937 | |
Series 2005-NC1 Class M1, 1.4383% 1/25/35 (b) | 19,732 | 18,362 | |
Series 2005-NC2 Class B1, 2.5333% 3/25/35 (b) | 15,997 | 558 | |
Nationstar HECM Loan Trust: | |||
Series 2016-1A Class A, 2.9813% 2/25/26 (a) | 1,002,360 | 1,002,723 | |
Series 2016-3A Class A, 2.0125% 8/25/26 (a) | 3,976,828 | 3,968,989 | |
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1.2883% 9/25/35 (b) | 162,650 | 154,924 | |
Nissan Master Owner Trust Receivables: | |||
Series 2015-A Class A2, 1.44% 1/15/20 | 2,500,000 | 2,499,933 | |
Series 2016-A Class A2, 1.54% 6/15/21 | 2,442,000 | 2,415,727 | |
Park Place Securities, Inc.: | |||
Series 2004-WCW1: | |||
Class M3, 2.6461% 9/25/34 (b) | 58,372 | 56,423 | |
Class M4, 2.9461% 9/25/34 (b) | 77,891 | 49,708 | |
Series 2005-WCH1 Class M4, 2.0233% 1/25/36 (b) | 126,217 | 119,608 | |
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.5783% 4/25/33 (b) | 582 | 533 | |
Santander Drive Auto Receivables Trust Series 2014-4 Class B, 1.82% 5/15/19 | 259,586 | 259,775 | |
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.5733% 3/25/35 (b) | 63,275 | 60,572 | |
Securitized Term Auto Receivables Trust Series 2016-1A Class A3, 1.76% 3/25/20 (a) | 2,886,000 | 2,871,559 | |
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.9134% 6/15/33 (b) | 33,899 | 33,702 | |
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.5033% 9/25/34 (b) | 4,016 | 3,634 | |
Synchrony Credit Card Master Note Trust Series 2016-1 Class A, 2.04% 3/15/22 | 1,000,000 | 1,004,374 | |
TCF Auto Receivables Owner Trust Series 2016-1A Class A2, 1.39% 11/15/19 (a) | 3,396,000 | 3,393,353 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.6311% 9/25/34 (b) | 2,472 | 2,329 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.4243% 4/6/42 (a)(b) | 304,000 | 147,440 | |
Verizon Owner Trust: | |||
Series 2016-1A Class A, 1.42% 1/20/21 (a) | 4,069,000 | 4,038,157 | |
Series 2016-2A Class A, 1.68% 5/20/21 (a) | 5,279,000 | 5,251,647 | |
Volkswagen Credit Auto Master Trust Series 2014-1A Class A2, 1.4% 7/22/19 (a) | 3,104,000 | 3,101,492 | |
Volvo Financial Equipment LLC Series 2015-1A Class A3, 1.51% 6/17/19 (a) | 2,037,952 | 2,038,767 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $191,754,794) | 192,280,837 | ||
Collateralized Mortgage Obligations - 1.2% | |||
Private Sponsor - 0.3% | |||
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 3.0732% 5/27/35 (a)(b) | 421,852 | 433,405 | |
CSAIL Commercial Mortgage Trust Series 2015-C2 Class ASB, 3.2241% 6/15/57 | 1,352,000 | 1,394,287 | |
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.9261% 2/25/37 (b) | 49,611 | 47,170 | |
Mortgage Repurchase Agreement Funding Trust floater Series 2016-5 Class A, 1.9417% 6/10/19 (a)(b) | 7,000,000 | 6,998,663 | |
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 2.8826% 11/25/25 (a) | 455,422 | 455,604 | |
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: | |||
Class B5, 3.1133% 6/10/35 (a)(b) | 30,697 | 22,339 | |
Class B6, 3.6133% 6/10/35 (a)(b) | 51,067 | 30,819 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 2.1999% 7/20/34 (b) | 2,368 | 2,326 | |
TOTAL PRIVATE SPONSOR | 9,384,613 | ||
U.S. Government Agency - 0.9% | |||
Fannie Mae: | |||
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27 | 249,482 | 258,640 | |
planned amortization class Series 2015-28 Class P, 2.5% 5/25/45 | 6,460,050 | 6,479,509 | |
Series 2014-57 Class A, 3% 9/25/44 | 1,750,182 | 1,769,140 | |
Series 2015-28 Class JE, 3% 5/25/45 | 4,563,014 | 4,673,911 | |
Freddie Mac: | |||
planned amortization class Series 3820 Class DA, 4% 11/15/35 | 181,452 | 186,120 | |
Series 3777 Class AC, 3.5% 12/15/25 | 391,174 | 403,071 | |
Series 3949 Class MK, 4.5% 10/15/34 | 170,099 | 180,039 | |
Series 4472 Class WL, 3% 5/15/45 | 2,070,141 | 2,120,084 | |
Ginnie Mae guaranteed REMIC pass-thru certificates Series 2015-H17 Class HA, 2.5% 5/20/65 (c) | 6,910,542 | 6,982,875 | |
TOTAL U.S. GOVERNMENT AGENCY | 23,053,389 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $32,782,782) | 32,438,002 | ||
Commercial Mortgage Securities - 5.5% | |||
7 WTC Depositor LLC Trust Series 2012-7WTC Class A, 4.0824% 3/13/31 (a) | 255,668 | 258,940 | |
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.6783% 2/14/43 (b)(d) | 22,110 | 283 | |
Banc of America Commercial Mortgage Trust sequential payer Series 2007-5 Class A4, 5.492% 2/10/51 | 2,116,198 | 2,132,720 | |
Bank of America Commercial Mortgage Trust Series 2016-UB10 Class A2, 2.612% 7/15/49 | 2,685,000 | 2,714,296 | |
Barclays Commercial Mortgage Securities LLC: | |||
floater Series 2015-RRI Class A, 1.92% 5/15/32 (a)(b) | 1,927,035 | 1,927,098 | |
Series 2015-STP Class A, 3.3228% 9/10/28 (a) | 7,408,000 | 7,595,548 | |
Bayview Commercial Asset Trust floater: | |||
Series 2003-2 Class M1, 2.0533% 12/25/33 (a)(b) | 2,766 | 2,575 | |
Series 2005-4A: | |||
Class A2, 1.1683% 1/25/36 (a)(b) | 71,524 | 62,423 | |
Class B1, 2.1783% 1/25/36 (a)(b) | 3,182 | 2,486 | |
Class M1, 1.2283% 1/25/36 (a)(b) | 23,072 | 19,403 | |
Class M2, 1.2483% 1/25/36 (a)(b) | 6,922 | 5,668 | |
Class M3, 1.2783% 1/25/36 (a)(b) | 10,109 | 8,239 | |
Class M4, 1.3883% 1/25/36 (a)(b) | 5,591 | 4,698 | |
Class M5, 1.4283% 1/25/36 (a)(b) | 5,591 | 4,195 | |
Class M6, 1.4783% 1/25/36 (a)(b) | 5,938 | 4,487 | |
Series 2006-3A Class M4, 1.2083% 10/25/36 (a)(b) | 3,044 | 2,546 | |
Series 2007-1 Class A2, 1.0483% 3/25/37 (a)(b) | 47,244 | 41,041 | |
Series 2007-2A: | |||
Class A1, 1.0261% 7/25/37 (a)(b) | 49,933 | 43,237 | |
Class A2, 1.0761% 7/25/37 (a)(b) | 46,683 | 40,071 | |
Class M1, 1.1261% 7/25/37 (a)(b) | 16,393 | 12,734 | |
Class M2, 1.1661% 7/25/37 (a)(b) | 8,856 | 6,847 | |
Class M3, 1.2461% 7/25/37 (a)(b) | 6,925 | 4,940 | |
Series 2007-3: | |||
Class A2, 1.0461% 7/25/37 (a)(b) | 43,117 | 36,333 | |
Class M1, 1.0661% 7/25/37 (a)(b) | 9,565 | 7,542 | |
Class M2, 1.0961% 7/25/37 (a)(b) | 10,262 | 7,826 | |
Class M3, 1.1261% 7/25/37 (a)(b) | 15,831 | 11,804 | |
Class M4, 1.2561% 7/25/37 (a)(b) | 25,048 | 16,803 | |
Class M5, 1.3561% 7/25/37 (a)(b) | 12,252 | 6,383 | |
Series 2007-4A Class M1, 1.7283% 9/25/37 (a)(b) | 5,844 | 1,438 | |
C-BASS Trust floater Series 2006-SC1 Class A, 1.0411% 5/25/36 (a)(b) | 3,239 | 3,226 | |
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44 | 543,325 | 550,650 | |
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 2.167% 12/15/27 (a)(b) | 4,978,314 | 4,989,211 | |
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class A, 2.808% 4/10/28 (a) | 6,819,000 | 6,926,598 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer Series 2012-GC8 Class A4, 3.024% 9/10/45 | 837,000 | 856,074 | |
Series 2015-GC29 Class A2, 2.674% 4/10/48 | 1,388,000 | 1,407,214 | |
Series 2016-P4 Class A2, 2.446% 7/10/49 | 1,073,000 | 1,076,970 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2012-LC4 Class A4, 3.288% 12/10/44 | 1,684,000 | 1,742,445 | |
Series 2015-CR23 Class ASB, 3.257% 5/10/48 | 1,587,000 | 1,642,814 | |
Series 2013-LC6 Class ASB, 2.478% 1/10/46 | 2,180,000 | 2,202,381 | |
Series 2014-CR15 Class A2, 2.928% 2/10/47 | 3,957,000 | 4,033,178 | |
Series 2014-CR17 Class A2, 3.012% 5/10/47 | 790,000 | 805,080 | |
Series 2014-CR20 Class A2, 2.801% 11/10/47 | 987,000 | 1,006,039 | |
Series 2014-UBS3 Class A2, 2.844% 6/10/47 | 1,960,000 | 1,995,264 | |
Series 2015-CR22 Class A2, 2.856% 3/10/48 | 953,000 | 973,263 | |
Commercial Mortgage Loan Trust Series 2008-LS1 Class A1A, 6.096% 12/10/49 (b) | 3,033,558 | 3,085,933 | |
Credit Suisse Commercial Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.6696% 6/15/39 (b) | 544,377 | 545,631 | |
CSMC Series 2015-TOWN: | |||
Class B, 2.6672% 3/15/28 (a)(b) | 264,000 | 263,666 | |
Class C, 3.0172% 3/15/28 (a)(b) | 257,000 | 256,827 | |
Class D, 3.9672% 3/15/28 (a)(b) | 1,003,000 | 1,003,044 | |
GAHR Commercial Mortgage Trust: | |||
floater Series 2015-NRF Class AFL1, 2.004% 12/15/34 (a)(b) | 934,453 | 938,125 | |
Series 2015-NRF: | |||
Class BFX, 3.3822% 12/15/34 (a)(b) | 2,358,850 | 2,411,790 | |
Class CFX, 3.3822% 12/15/34 (a)(b) | 1,059,000 | 1,078,495 | |
GE Capital Commercial Mortgage Corp.: | |||
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | 111,921 | 111,877 | |
Series 2007-C1 Class A1A, 5.483% 12/10/49 | 1,734,119 | 1,734,508 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2014-GSFL Class A, 1.7672% 7/15/31 (a)(b) | 165,988 | 164,668 | |
Series 2016-ICE2 Class A, 2.6972% 2/15/33 (a)(b) | 2,828,000 | 2,853,718 | |
sequential payer: | |||
Series 2012-GCJ7 Class A4, 3.377% 5/10/45 | 2,553,000 | 2,659,529 | |
Series 2012-GCJ9 Class A3, 2.773% 11/10/45 | 3,718,000 | 3,748,751 | |
Series 2013-GC10: | |||
Class A4, 2.681% 2/10/46 | 1,061,000 | 1,061,934 | |
Class A5, 2.943% 2/10/46 | 2,028,000 | 2,053,520 | |
Series 2014-GC18 Class AAB, 3.648% 1/10/47 | 702,000 | 737,342 | |
Series 2014-GC20 Class AAB, 3.655% 4/10/47 | 817,000 | 858,742 | |
Series 2015-GC28 Class AAB, 3.206% 2/10/48 | 1,764,000 | 1,819,694 | |
Series 2015-GC32 Class A2, 3.062% 7/10/48 | 2,500,000 | 2,566,337 | |
JP Morgan Chase Commercial Mortgage Securities Trust Series 2015-JP1 Class A2, 3.1438% 1/15/49 | 1,975,000 | 2,035,465 | |
JPMBB Commercial Mortgage Securities sequential payer Series 2014-C25 Class ASB, 3.4074% 11/15/47 | 1,831,000 | 1,912,557 | |
JPMBB Commercial Mortgage Securities Trust sequential payer Series 2013-C17 Class ASB, 3.705% 1/15/47 | 895,000 | 944,186 | |
JPMBB Commercial Mortgage Secutities Trust Series 2015-C29 Class A2, 2.9213% 5/15/48 | 1,567,000 | 1,602,503 | |
JPMCC Commercial Mortgage Securities Trust sequential payer Series 2016-JP4 Class A2, 2.9343% 12/15/49 | 3,027,000 | 3,100,468 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater: | |||
Series 2014-BXH Class A, 1.67% 4/15/27 (a)(b) | 1,012,823 | 1,001,243 | |
Series 2014-FL5 Class A, 1.7472% 7/15/31 (a)(b) | 1,056,206 | 1,058,546 | |
sequential payer: | |||
Series 2007-CB19 Class A4, 5.7342% 2/12/49 (b) | 1,229,212 | 1,230,601 | |
Series 2007-LD11 Class A4, 5.7592% 6/15/49 (b) | 16,194 | 16,227 | |
Series 2007-LDPX Class A3, 5.42% 1/15/49 | 357,670 | 357,387 | |
Series 2011-C3 Class A3, 4.3877% 2/15/46 (a) | 1,502,369 | 1,538,312 | |
Series 2016-WP Class TA, 2.2172% 10/15/33 (a)(b) | 1,811,000 | 1,827,959 | |
LB-UBS Commercial Mortgage Trust Series 2007-C7 Class A3, 5.866% 9/15/45 | 1,104,249 | 1,124,266 | |
Morgan Stanley BAML Trust: | |||
sequential payer Series 2012-C6 Class A4, 2.858% 11/15/45 | 4,544,000 | 4,616,954 | |
Series 2014-C14 Class A2, 2.916% 2/15/47 | 817,000 | 831,106 | |
Series 2015-C22 Class ASB, 3.04% 4/15/48 | 1,170,000 | 1,192,556 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2006-XLF Class C, 1.97% 7/15/19 (a)(b) | 40,774 | 40,815 | |
sequential payer: | |||
Series 2011-C1 Class A4, 5.033% 9/15/47 (a)(b) | 6,000,000 | 6,554,941 | |
Series 2011-C2 Class A4, 4.661% 6/15/44 (a) | 2,725,000 | 2,964,610 | |
Series 2007-IQ14 Class A4, 5.692% 4/15/49 | 728,639 | 728,034 | |
Series 2007-T27 Class A1A, 5.6411% 6/11/42 (b) | 508,833 | 512,200 | |
MSCG Trust Series 2016-SNR: | |||
Class A, 3.348% 11/15/34 (a)(b) | 2,922,000 | 2,916,932 | |
Class B, 4.181% 11/15/34 (a) | 1,031,000 | 1,031,068 | |
SCG Trust Series 2013-SRP1 Class A, 2.3539% 11/15/26 (a)(b) | 2,027,000 | 2,026,363 | |
UBS-Barclays Commercial Mortgage Trust sequential payer Series 2012-C2 Class A4, 3.525% 5/10/63 | 2,703,000 | 2,836,357 | |
Wachovia Bank Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2007-34 Class A1A, 5.608% 5/15/46 | 6,095,886 | 6,165,010 | |
Series 2007-C32 Class A3, 5.7165% 6/15/49 (b) | 1,032,233 | 1,034,807 | |
Series 2007-C33: | |||
Class A4, 5.9654% 2/15/51 (b) | 1,058,073 | 1,060,121 | |
Class A5, 5.9654% 2/15/51 (b) | 143,000 | 144,338 | |
Series 2006-C26 Class A1A, 6.009% 6/15/45 (b) | 58,284 | 58,167 | |
Waldorf Astoria Boca Raton Trust floater Series 2016-BOCA Class A, 2.1172% 6/15/29 (a)(b) | 2,645,000 | 2,654,361 | |
Wells Fargo Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2012-LC5 Class A3, 2.918% 10/15/45 | 762,000 | 775,340 | |
Series 2015-C27 Class ASB, 3.278% 2/15/48 | 1,373,000 | 1,414,674 | |
Series 2016-C35 Class A2, 2.495% 7/15/48 | 859,000 | 862,744 | |
Wells Fargo Commercial Mtg Trust 2016-C sequential payer Series 2016-C37 Class A1, 3.03% 12/15/49 | 2,128,000 | 2,190,522 | |
WF-RBS Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2011-C2 Class A4, 4.869% 2/15/44 (a)(b) | 4,245,000 | 4,615,289 | |
Series 2013-C12 Class ASB, 2.838% 3/15/48 | 541,000 | 550,462 | |
Series 2013-C16 Class ASB, 3.963% 9/15/46 | 1,101,000 | 1,166,247 | |
Series 2013-C11 Class ASB, 2.63% 3/15/45 | 1,310,000 | 1,323,979 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $144,596,471) | 143,164,859 | ||
Municipal Securities - 0.3% | |||
Illinois Gen. Oblig.: | |||
Series 2003, 4.95% 6/1/23 | $2,645,000 | $2,701,339 | |
Series 2011: | |||
5.665% 3/1/18 | 630,000 | 649,832 | |
5.877% 3/1/19 | 4,715,000 | 4,976,871 | |
Series 2013, 2.69% 12/1/17 | 500,000 | 499,720 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $8,831,811) | 8,827,762 | ||
Bank Notes - 1.9% | |||
Bank of America NA 1.75% 6/5/18 | 2,000,000 | 2,006,164 | |
Capital One Bank U.S.A. NA 2.25% 2/13/19 | 1,000,000 | 1,004,514 | |
Capital One NA: | |||
1.65% 2/5/18 | 3,000,000 | 3,001,881 | |
1.85% 9/13/19 | 3,000,000 | 2,979,096 | |
Citizens Bank NA 2.3% 12/3/18 | 1,384,000 | 1,391,503 | |
Discover Bank: | |||
(Delaware) 3.2% 8/9/21 | 2,000,000 | 2,024,584 | |
3.1% 6/4/20 | 3,590,000 | 3,653,539 | |
Fifth Third Bank: | |||
2.375% 4/25/19 | 2,000,000 | 2,021,458 | |
2.875% 10/1/21 | 2,000,000 | 2,027,362 | |
First Tennessee Bank NA, Memphis 2.95% 12/1/19 | 5,000,000 | 5,057,940 | |
KeyBank NA: | |||
1.65% 2/1/18 | 397,000 | 397,856 | |
2.35% 3/8/19 | 2,000,000 | 2,018,182 | |
2.5% 12/15/19 | 3,783,000 | 3,826,187 | |
Manufacturers & Traders Trust Co.: | |||
2.1% 2/6/20 | 3,000,000 | 3,000,759 | |
2.3% 1/30/19 | 1,100,000 | 1,111,672 | |
RBS Citizens NA 2.5% 3/14/19 | 1,153,000 | 1,162,685 | |
Regions Bank 7.5% 5/15/18 | 250,000 | 265,884 | |
Regions Financial Corp. 2.25% 9/14/18 | 4,000,000 | 4,016,548 | |
The Toronto-Dominion Bank 2.125% 7/2/19 | 5,000,000 | 5,031,545 | |
U.S. Bank NA 2.125% 10/28/19 | 2,186,000 | 2,199,577 | |
Wachovia Bank NA 6% 11/15/17 | 570,000 | 587,947 | |
TOTAL BANK NOTES | |||
(Cost $48,506,206) | 48,786,883 | ||
Commercial Paper - 0.2% | |||
Vodafone Group PLC yankee 1.6% 9/12/17 | |||
(Cost $4,956,667) | 5,000,000 | 4,958,078 | |
Shares | Value | ||
Fixed-Income Funds - 0.7% | |||
Fidelity Specialized High Income Central Fund (e) | |||
(Cost $17,887,381) | 172,450 | 17,881,321 | |
Money Market Funds - 1.1% | |||
Fidelity Cash Central Fund, 0.60% (f) | |||
(Cost $29,991,559) | 29,984,894 | 29,990,891 | |
TOTAL INVESTMENT PORTFOLIO - 100.0% | |||
(Cost $2,612,100,869) | 2,612,389,511 | ||
NET OTHER ASSETS (LIABILITIES) - 0.0% | (485,054) | ||
NET ASSETS - 100% | $2,611,904,457 |
Legend
(a) 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 $421,669,027 or 16.1% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) 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.
(d) 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.
(e) 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 are available on the SEC's website or upon request.
(f) 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 are available on the SEC's website or upon request.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $119,730 |
Fidelity Specialized High Income Central Fund | 474,630 |
Total | $594,360 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, end of period | % ownership, end of period |
Fidelity Specialized High Income Central Fund | $17,246,563 | $523,627 | $-- | $17,881,321 | 2.3% |
Total | $17,246,563 | $523,627 | $-- | $17,881,321 |
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2017, 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 |
Investments in Securities: | ||||
Corporate Bonds | $1,823,746,496 | $-- | $1,823,746,496 | $-- |
U.S. Government and Government Agency Obligations | 300,566,234 | -- | 300,566,234 | -- |
U.S. Government Agency - Mortgage Securities | 9,748,148 | -- | 9,748,148 | -- |
Asset-Backed Securities | 192,280,837 | -- | 192,133,370 | 147,467 |
Collateralized Mortgage Obligations | 32,438,002 | -- | 32,384,844 | 53,158 |
Commercial Mortgage Securities | 143,164,859 | -- | 143,164,859 | -- |
Municipal Securities | 8,827,762 | -- | 8,827,762 | -- |
Bank Notes | 48,786,883 | -- | 48,786,883 | -- |
Commercial Paper | 4,958,078 | -- | 4,958,078 | -- |
Fixed-Income Funds | 17,881,321 | 17,881,321 | -- | -- |
Money Market Funds | 29,990,891 | 29,990,891 | -- | -- |
Total Investments in Securities: | $2,612,389,511 | $47,872,212 | $2,564,316,674 | $200,625 |
Other Information
Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):
United States of America | 82.7% |
United Kingdom | 4.5% |
Canada | 2.6% |
Japan | 2.0% |
Netherlands | 1.9% |
Ireland | 1.4% |
France | 1.0% |
Others (Individually Less Than 1%) | 3.9% |
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
February 28, 2017 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $2,564,221,929) | $2,564,517,299 | |
Fidelity Central Funds (cost $47,878,940) | 47,872,212 | |
Total Investments (cost $2,612,100,869) | $2,612,389,511 | |
Cash | 48,029 | |
Receivable for investments sold | 30,097,098 | |
Receivable for fund shares sold | 6,132,648 | |
Interest receivable | 14,713,110 | |
Distributions receivable from Fidelity Central Funds | 14,895 | |
Total assets | 2,663,395,291 | |
Liabilities | ||
Payable for investments purchased | $42,429,706 | |
Payable for fund shares redeemed | 7,551,997 | |
Distributions payable | 295,710 | |
Accrued management fee | 670,793 | |
Distribution and service plan fees payable | 184,394 | |
Other affiliated payables | 358,223 | |
Other payables and accrued expenses | 11 | |
Total liabilities | 51,490,834 | |
Net Assets | $2,611,904,457 | |
Net Assets consist of: | ||
Paid in capital | $2,629,394,538 | |
Undistributed net investment income | 2,859,060 | |
Accumulated undistributed net realized gain (loss) on investments | (20,637,783) | |
Net unrealized appreciation (depreciation) on investments | 288,642 | |
Net Assets | $2,611,904,457 | |
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($350,392,435 ÷ 30,580,526 shares) | $11.46 | |
Maximum offering price per share (100/97.25 of $11.46) | $11.78 | |
Class T: | ||
Net Asset Value and redemption price per share ($181,220,878 ÷ 15,806,916 shares) | $11.46 | |
Maximum offering price per share (100/97.25 of $11.46) | $11.78 | |
Class C: | ||
Net Asset Value and offering price per share ($86,869,764 ÷ 7,598,862 shares)(a) | $11.43 | |
Fidelity Limited Term Bond Fund: | ||
Net Asset Value, offering price and redemption price per share ($1,440,821,686 ÷ 125,428,835 shares) | $11.49 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($552,599,694 ÷ 48,096,609 shares) | $11.49 |
(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
Six months ended February 28, 2017 (Unaudited) | ||
Investment Income | ||
Interest | $26,375,500 | |
Income from Fidelity Central Funds | 594,360 | |
Total income | 26,969,860 | |
Expenses | ||
Management fee | $4,013,226 | |
Transfer agent fees | 1,620,782 | |
Distribution and service plan fees | 1,155,471 | |
Fund wide operations fee | 520,666 | |
Independent trustees' fees and expenses | 5,323 | |
Miscellaneous | 4,125 | |
Total expenses before reductions | 7,319,593 | |
Expense reductions | (1,056) | 7,318,537 |
Net investment income (loss) | 19,651,323 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (1,306,537) | |
Fidelity Central Funds | 16,241 | |
Swaps | 11 | |
Capital gain distributions from Fidelity Central Funds | 48,996 | |
Total net realized gain (loss) | (1,241,289) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (24,358,149) | |
Swaps | 6 | |
Total change in net unrealized appreciation (depreciation) | (24,358,143) | |
Net gain (loss) | (25,599,432) | |
Net increase (decrease) in net assets resulting from operations | $(5,948,109) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2017 (Unaudited) | Year ended August 31, 2016 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $19,651,323 | $34,135,463 |
Net realized gain (loss) | (1,241,289) | 1,996,257 |
Change in net unrealized appreciation (depreciation) | (24,358,143) | 23,804,916 |
Net increase (decrease) in net assets resulting from operations | (5,948,109) | 59,936,636 |
Distributions to shareholders from net investment income | (18,244,496) | (32,385,208) |
Share transactions - net increase (decrease) | 130,592,541 | 747,404,314 |
Total increase (decrease) in net assets | 106,399,936 | 774,955,742 |
Net Assets | ||
Beginning of period | 2,505,504,521 | 1,730,548,779 |
End of period | $2,611,904,457 | $2,505,504,521 |
Other Information | ||
Undistributed net investment income end of period | $2,859,060 | $1,452,233 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class A
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.56 | $11.42 | $11.52 | $11.33 | $11.69 | $11.45 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .076 | .179 | .170 | .232 | .243 | .289 |
Net realized and unrealized gain (loss) | (.106) | .132 | (.111) | .160 | (.384) | .215 |
Total from investment operations | (.030) | .311 | .059 | .392 | (.141) | .504 |
Distributions from net investment income | (.070) | (.171) | (.159) | (.202) | (.219) | (.264) |
Total distributions | (.070) | (.171) | (.159) | (.202) | (.219) | (.264) |
Net asset value, end of period | $11.46 | $11.56 | $11.42 | $11.52 | $11.33 | $11.69 |
Total ReturnB,C,D | (.26)% | 2.75% | .51% | 3.48% | (1.24)% | 4.46% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | .76%G | .76% | .76% | .79% | .82% | .83% |
Expenses net of fee waivers, if any | .76%G | .76% | .76% | .79% | .82% | .83% |
Expenses net of all reductions | .76%G | .76% | .76% | .79% | .82% | .83% |
Net investment income (loss) | 1.34%G | 1.56% | 1.48% | 2.02% | 2.09% | 2.52% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $350,392 | $362,481 | $304,040 | $215,800 | $155,980 | $192,761 |
Portfolio turnover rateH | 39%G | 50% | 44% | 94% | 112% | 129% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E 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%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H 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 Limited Term Bond Fund Class T
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.57 | $11.42 | $11.53 | $11.34 | $11.70 | $11.45 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .076 | .178 | .170 | .234 | .246 | .292 |
Net realized and unrealized gain (loss) | (.117) | .142 | (.121) | .161 | (.384) | .225 |
Total from investment operations | (.041) | .320 | .049 | .395 | (.138) | .517 |
Distributions from net investment income | (.069) | (.170) | (.159) | (.205) | (.222) | (.267) |
Total distributions | (.069) | (.170) | (.159) | (.205) | (.222) | (.267) |
Net asset value, end of period | $11.46 | $11.57 | $11.42 | $11.53 | $11.34 | $11.70 |
Total ReturnB,C,D | (.35)% | 2.83% | .42% | 3.50% | (1.21)% | 4.57% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | .77%G | .76% | .76% | .77% | .80% | .80% |
Expenses net of fee waivers, if any | .77%G | .76% | .76% | .77% | .80% | .80% |
Expenses net of all reductions | .77%G | .76% | .76% | .77% | .80% | .80% |
Net investment income (loss) | 1.33%G | 1.56% | 1.48% | 2.04% | 2.11% | 2.54% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $181,221 | $191,505 | $193,612 | $198,510 | $210,150 | $265,426 |
Portfolio turnover rateH | 39%G | 50% | 44% | 94% | 112% | 129% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E 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%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H 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 Limited Term Bond Fund Class C
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.54 | $11.39 | $11.50 | $11.31 | $11.67 | $11.42 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .032 | .090 | .081 | .143 | .155 | .204 |
Net realized and unrealized gain (loss) | (.117) | .142 | (.121) | .162 | (.384) | .225 |
Total from investment operations | (.085) | .232 | (.040) | .305 | (.229) | .429 |
Distributions from net investment income | (.025) | (.082) | (.070) | (.115) | (.131) | (.179) |
Total distributions | (.025) | (.082) | (.070) | (.115) | (.131) | (.179) |
Net asset value, end of period | $11.43 | $11.54 | $11.39 | $11.50 | $11.31 | $11.67 |
Total ReturnB,C,D | (.73)% | 2.05% | (.35)% | 2.70% | (1.98)% | 3.79% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | 1.54%G | 1.53% | 1.54% | 1.56% | 1.58% | 1.57% |
Expenses net of fee waivers, if any | 1.54%G | 1.53% | 1.54% | 1.56% | 1.58% | 1.57% |
Expenses net of all reductions | 1.54%G | 1.53% | 1.54% | 1.56% | 1.58% | 1.57% |
Net investment income (loss) | .56%G | .79% | .71% | 1.25% | 1.34% | 1.78% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $86,870 | $97,987 | $81,929 | $64,333 | $53,096 | $65,425 |
Portfolio turnover rateH | 39%G | 50% | 44% | 94% | 112% | 129% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E 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%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H 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 Limited Term Bond Fund
Six months ended (Unaudited) February 28, | Years ended August 31, | |||
2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | ||||
Net asset value, beginning of period | $11.59 | $11.45 | $11.55 | $11.50 |
Income from Investment Operations | ||||
Net investment income (loss)B | .094 | .214 | .205 | .209 |
Net realized and unrealized gain (loss) | (.106) | .133 | (.110) | .038 |
Total from investment operations | (.012) | .347 | .095 | .247 |
Distributions from net investment income | (.088) | (.207) | (.195) | (.197) |
Total distributions | (.088) | (.207) | (.195) | (.197) |
Net asset value, end of period | $11.49 | $11.59 | $11.45 | $11.55 |
Total ReturnC,D | (.11)% | 3.06% | .83% | 2.17% |
Ratios to Average Net AssetsE,F | ||||
Expenses before reductions | .45%G | .45% | .45% | .46%G |
Expenses net of fee waivers, if any | .45%G | .45% | .45% | .46%G |
Expenses net of all reductions | .45%G | .45% | .45% | .46%G |
Net investment income (loss) | 1.64%G | 1.87% | 1.79% | 2.22%G |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $1,440,822 | $1,315,947 | $758,240 | $147,629 |
Portfolio turnover rateH | 39%G | 50% | 44% | 94% |
A For the period November 1, 2013 (commencement of sale of shares) to August 31, 2014.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H 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 Limited Term Bond Fund Class I
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.60 | $11.45 | $11.55 | $11.36 | $11.72 | $11.48 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .091 | .209 | .200 | .262 | .273 | .319 |
Net realized and unrealized gain (loss) | (.116) | .142 | (.111) | .161 | (.385) | .213 |
Total from investment operations | (.025) | .351 | .089 | .423 | (.112) | .532 |
Distributions from net investment income | (.085) | (.201) | (.189) | (.233) | (.248) | (.292) |
Total distributions | (.085) | (.201) | (.189) | (.233) | (.248) | (.292) |
Net asset value, end of period | $11.49 | $11.60 | $11.45 | $11.55 | $11.36 | $11.72 |
Total ReturnB,C | (.22)% | 3.10% | .78% | 3.74% | (.99)% | 4.71% |
Ratios to Average Net AssetsD,E | ||||||
Expenses before reductions | .50%F | .50% | .50% | .53% | .57% | .58% |
Expenses net of fee waivers, if any | .50%F | .50% | .50% | .53% | .57% | .58% |
Expenses net of all reductions | .50%F | .50% | .50% | .53% | .57% | .58% |
Net investment income (loss) | 1.60%F | 1.82% | 1.74% | 2.28% | 2.34% | 2.77% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $552,600 | $537,585 | $391,808 | $174,568 | $84,843 | $101,234 |
Portfolio turnover rateG | 39%F | 50% | 44% | 94% | 112% | 129% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D 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 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Annualized
G 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 (Unaudited)
For the period ended February 28, 2017
1. Organization.
Fidelity Advisor Limited Term Bond 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, Fidelity Limited Term Bond 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.
After the close of business on June 24, 2016, all outstanding Class B shares were converted to Class A shares. All prior fiscal period dollar and share amounts for Class B presented in the Notes to Financial Statements are for the period September 1, 2015 through June 24, 2016.
In March 2017, the Board of Trustees approved a change in the name of Class T to Class M effective after the close of business on March 24, 2017.
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 Specialized High Income Central Fund | FMR Co., Inc. (FMRC) | Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. | Delayed Delivery & When Issued 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 fidelity.com and/or institutional.fidelity.com, as applicable. 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 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 Fund's investments to the Fair Value Committee (the Committee) established by the Fund's 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 Fund's 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 Fund's 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 notes, municipal securities, U.S. government and government agency obligations and commercial paper 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. Asset backed securities, 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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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 February 28, 2017 is included at the end of the Fund's Schedule of Investments.
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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. 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. 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.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to swaps, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $16,028,851 |
Gross unrealized depreciation | (13,009,531) |
Net unrealized appreciation (depreciation) on securities | $3,019,320 |
Tax cost | $2,609,370,191 |
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 prior fiscal period end and is subject to adjustment.
Fiscal year of expiration |
2018 | $(17,480,764) |
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.
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 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:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments.
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) |
Credit Risk | ||
Swaps | $11 | $6 |
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.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
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".
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
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 $478,100,979 and $246,997,383, 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 .20% 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 annualized management fee rate was .31% 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% | $452,755 | $71,023 |
Class T | -% | .25% | 233,620 | 3,946 |
Class C | .75% | .25% | 469,096 | 75,235 |
$1,155,471 | $150,204 |
Sales Load. FDC may receive a front-end sales charge of up to 2.75% 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, and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, .75% or .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained by FDC | |
Class A | $22,655 |
Class T | 2,231 |
Class C(a) | 7,481 |
$32,367 |
(a) When 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 each respective class of the Fund, with the exception of Fidelity Limited Term Bond. FIIOC receives an asset-based fee of .10% of Fidelity Limited Term Bond's average net assets. 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(a) | |
Class A | $277,325 | .15 |
Class T | 152,463 | .16 |
Class C | 84,181 | .18 |
Fidelity Limited Term Bond Fund | 700,434 | .10 |
Class I | 406,379 | .15 |
$1,620,782 |
(a) Annualized
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% of the Fund's average net assets less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .04% of average net assets.
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 $4,125 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. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $1,056.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2017 | Year ended August 31, 2016 | |
From net investment income | ||
Class A | $2,203,192 | $4,761,029 |
Class T | 1,129,275 | 2,871,639 |
Class B | – | 5,842 |
Class C | 207,140 | 692,331 |
Fidelity Limited Term Bond Fund | 10,652,016 | 16,082,729 |
Class I | 4,052,873 | 7,971,638 |
Total | $18,244,496 | $32,385,208 |
10. 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 | |
Six months ended February 28, 2017 | Year ended August 31, 2016 | Six months ended February 28, 2017 | Year ended August 31, 2016 | |
Class A | ||||
Shares sold | 8,791,872 | 20,292,208 | $100,926,187 | $232,299,567 |
Reinvestment of distributions | 178,454 | 383,701 | 2,047,136 | 4,391,933 |
Shares redeemed | (9,736,929) | (15,960,237) | (111,583,394) | (182,641,693) |
Net increase (decrease) | (766,603) | 4,715,672 | $(8,610,071) | $54,049,807 |
Class T | ||||
Shares sold | 1,893,817 | 5,184,484 | $21,760,157 | $59,323,000 |
Reinvestment of distributions | 91,688 | 235,748 | 1,052,153 | 2,698,835 |
Shares redeemed | (2,730,291) | (5,817,689) | (31,339,034) | (66,587,159) |
Net increase (decrease) | (744,786) | (397,457) | $(8,526,724) | $(4,565,324) |
Class B | ||||
Shares sold | – | 32,756 | $– | $373,130 |
Reinvestment of distributions | – | 438 | – | 4,985 |
Shares redeemed | – | (113,795) | – | (1,305,693) |
Net increase (decrease) | – | (80,601) | $– | $(927,578) |
Class C | ||||
Shares sold | 1,205,104 | 5,293,797 | $13,809,920 | $60,296,153 |
Reinvestment of distributions | 16,289 | 53,649 | 186,445 | 611,667 |
Shares redeemed | (2,115,727) | (4,047,030) | (24,182,450) | (46,268,973) |
Net increase (decrease) | (894,334) | 1,300,416 | $(10,186,085) | $14,638,847 |
Fidelity Limited Term Bond Fund | ||||
Shares sold | 44,943,714 | 83,235,883 | $517,100,035 | $957,055,992 |
Reinvestment of distributions | 846,599 | 1,273,968 | 9,736,363 | 14,633,176 |
Shares redeemed | (33,875,210) | (37,243,869) | (388,954,021) | (427,177,020) |
Net increase (decrease) | 11,915,103 | 47,265,982 | $137,882,377 | $544,512,148 |
Class I | ||||
Shares sold | 13,606,947 | 29,985,672 | $156,431,604 | $344,469,999 |
Reinvestment of distributions | 290,863 | 549,729 | 3,345,747 | 6,312,028 |
Shares redeemed | (12,164,360) | (18,397,774) | (139,744,307) | (211,085,613) |
Net increase (decrease) | 1,733,450 | 12,137,627 | $20,033,044 | $139,696,414 |
11. 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.
12. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
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 (September 1, 2016 to February 28, 2017).
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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. 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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. 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 September 1, 2016 | Ending Account Value February 28, 2017 | Expenses Paid During Period-B September 1, 2016 to February 28, 2017 | |
Class A | .76% | |||
Actual | $1,000.00 | $997.40 | $3.76 | |
Hypothetical-C | $1,000.00 | $1,021.03 | $3.81 | |
Class T | .77% | |||
Actual | $1,000.00 | $996.50 | $3.81 | |
Hypothetical-C | $1,000.00 | $1,020.98 | $3.86 | |
Class C | 1.54% | |||
Actual | $1,000.00 | $992.70 | $7.61 | |
Hypothetical-C | $1,000.00 | $1,017.16 | $7.70 | |
Fidelity Limited Term Bond Fund | .45% | |||
Actual | $1,000.00 | $998.90 | $2.23 | |
Hypothetical-C | $1,000.00 | $1,022.56 | $2.26 | |
Class I | .50% | |||
Actual | $1,000.00 | $997.80 | $2.48 | |
Hypothetical-C | $1,000.00 | $1,022.32 | $2.51 |
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 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in 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
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Limited Term Bond 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 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 a securities market index ("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; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; 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" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. 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 Limited Term Bond Fund
![](https://capedge.com/proxy/N-CSRS/0001379491-17-002787/img235204462.jpg)
LTB-SANN-0417
1.704556.119
Fidelity® Limited Term Bond Fund Semi-Annual Report February 28, 2017 Fidelity® Limited Term Bond Fund is a class of Fidelity Advisor® Limited Term Bond Fund |
![]() |
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 1-800-544-8544 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.
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.Quality Diversification (% of fund's net assets)
As of February 28, 2017 | ||
U.S. Government and U.S. Government Agency Obligations | 12.8% | |
AAA | 12.7% | |
AA | 3.9% | |
A | 22.8% | |
BBB | 41.9% | |
BB and Below | 4.1% | |
Not Rated | 0.5% | |
Short-Term Investments and Net Other Assets | 1.3% |
As of August 31, 2016 | ||
U.S. Government and U.S. Government Agency Obligations | 14.0% | |
AAA | 11.3% | |
AA | 4.4% | |
A | 23.4% | |
BBB | 37.7% | |
BB and Below | 4.8% | |
Short-Term Investments and Net Other Assets | 4.4% |
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 February 28, 2017 *,** | ||
Corporate Bonds | 70.4% | |
U.S. Government and U.S. Government Agency Obligations | 12.8% | |
Asset-Backed Securities | 7.4% | |
CMOs and Other Mortgage Related Securities | 5.8% | |
Municipal Bonds | 0.3% | |
Other Investments | 2.0% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.3% |
* Foreign investments - 17.3%
** Futures and Swaps - 0.0%
As of August 31, 2016 *,** | ||
Corporate Bonds | 66.8% | |
U.S. Government and U.S. Government Agency Obligations | 14.0% | |
Asset-Backed Securities | 7.1% | |
CMOs and Other Mortgage Related Securities | 5.4% | |
Municipal Bonds | 0.4% | |
Other Investments | 1.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 4.4% |
* Foreign investments - 14.9%
** Futures and Swaps - 0.0%
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 shown as 0.0% may reflect amounts less than 0.05%.
Investments February 28, 2017 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 69.8% | |||
Principal Amount | Value | ||
CONSUMER DISCRETIONARY - 7.5% | |||
Automobiles - 2.8% | |||
American Honda Finance Corp.: | |||
1.2% 7/14/17 | $5,000,000 | $5,001,235 | |
1.7% 2/22/19 | 1,918,000 | 1,917,916 | |
1.7% 9/9/21 | 3,613,000 | 3,508,769 | |
2% 2/14/20 | 5,000,000 | 5,007,325 | |
2.125% 10/10/18 | 500,000 | 504,272 | |
Daimler Finance North America LLC: | |||
1.375% 8/1/17 (a) | 2,000,000 | 2,000,950 | |
1.5% 7/5/19 (a) | 5,000,000 | 4,939,085 | |
1.65% 5/18/18 (a) | 3,000,000 | 2,995,590 | |
2.25% 3/2/20 (a) | 3,020,000 | 3,018,393 | |
2.3% 1/6/20 (a) | 5,000,000 | 5,012,590 | |
2.375% 8/1/18 (a) | 1,000,000 | 1,008,037 | |
2.45% 5/18/20 (a) | 6,415,000 | 6,428,221 | |
General Motors Financial Co., Inc.: | |||
2.35% 10/4/19 | 5,000,000 | 5,004,705 | |
2.4% 4/10/18 | 3,000,000 | 3,019,227 | |
3% 9/25/17 | 3,000,000 | 3,024,663 | |
3.15% 1/15/20 | 5,000,000 | 5,095,710 | |
3.2% 7/13/20 | 5,000,000 | 5,095,875 | |
4.2% 3/1/21 | 3,000,000 | 3,143,862 | |
Volkswagen Group of America Finance LLC: | |||
1.25% 5/23/17 (a) | 1,000,000 | 999,459 | |
2.4% 5/22/20 (a) | 4,458,000 | 4,439,276 | |
Volkswagen International Finance NV: | |||
1.6% 11/20/17 (a) | 620,000 | 619,320 | |
2.125% 11/20/18 (a) | 1,500,000 | 1,501,749 | |
2.375% 3/22/17 (a) | 600,000 | 600,343 | |
73,886,572 | |||
Diversified Consumer Services - 0.0% | |||
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 | 1,020,000 | 1,095,854 | |
Hotels, Restaurants & Leisure - 0.4% | |||
McDonald's Corp.: | |||
2.1% 12/7/18 | 742,000 | 747,259 | |
2.2% 5/26/20 | 5,000,000 | 5,010,845 | |
2.75% 12/9/20 | 5,345,000 | 5,439,713 | |
11,197,817 | |||
Household Durables - 0.3% | |||
D.R. Horton, Inc.: | |||
3.75% 3/1/19 | 2,000,000 | 2,054,620 | |
4% 2/15/20 | 3,000,000 | 3,120,000 | |
Toll Brothers Finance Corp. 4% 12/31/18 | 2,500,000 | 2,565,625 | |
7,740,245 | |||
Media - 4.0% | |||
21st Century Fox America, Inc. 4.5% 2/15/21 | 13,000,000 | 13,926,614 | |
British Sky Broadcasting Group PLC 2.625% 9/16/19 (a) | 3,000,000 | 3,015,384 | |
CBS Corp. 2.3% 8/15/19 | 3,663,000 | 3,674,048 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 3.579% 7/23/20 | 15,000,000 | 15,420,000 | |
Comcast Corp.: | |||
1.625% 1/15/22 | 15,111,000 | 14,499,110 | |
6.3% 11/15/17 | 11,000,000 | 11,389,268 | |
COX Communications, Inc. 6.25% 6/1/18 (a) | 4,000,000 | 4,202,192 | |
Discovery Communications LLC 5.05% 6/1/20 | 322,000 | 347,130 | |
NBCUniversal Enterprise, Inc. 1.974% 4/15/19 (a) | 3,000,000 | 3,007,929 | |
Time Warner Cable, Inc.: | |||
5.85% 5/1/17 | 4,996,000 | 5,032,651 | |
6.75% 7/1/18 | 1,141,000 | 1,211,272 | |
8.25% 4/1/19 | 500,000 | 559,013 | |
Time Warner, Inc.: | |||
2.1% 6/1/19 | 2,000,000 | 2,006,216 | |
4.75% 3/29/21 | 3,683,000 | 3,953,520 | |
6.875% 6/15/18 | 5,095,000 | 5,433,532 | |
Viacom, Inc.: | |||
2.2% 4/1/19 | 6,000,000 | 5,992,980 | |
6.125% 10/5/17 | 3,179,000 | 3,261,819 | |
Walt Disney Co. 1.85% 5/30/19 | 6,000,000 | 6,028,110 | |
102,960,788 | |||
TOTAL CONSUMER DISCRETIONARY | 196,881,276 | ||
CONSUMER STAPLES - 5.4% | |||
Beverages - 1.4% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
1.9% 2/1/19 | 5,000,000 | 5,014,980 | |
2.15% 2/1/19 | 1,500,000 | 1,513,170 | |
2.65% 2/1/21 | 12,890,000 | 13,026,080 | |
3.3% 2/1/23 | 9,190,000 | 9,382,080 | |
Anheuser-Busch InBev Worldwide, Inc. 2.2% 8/1/18 | 2,310,000 | 2,327,422 | |
PepsiCo, Inc. 1.7% 10/6/21 | 5,000,000 | 4,869,925 | |
36,133,657 | |||
Food & Staples Retailing - 1.4% | |||
CVS Health Corp.: | |||
1.9% 7/20/18 | 1,549,000 | 1,555,871 | |
2.25% 12/5/18 | 8,376,000 | 8,456,577 | |
2.25% 8/12/19 | 10,000,000 | 10,069,140 | |
2.8% 7/20/20 | 1,496,000 | 1,520,567 | |
Kroger Co.: | |||
3.3% 1/15/21 | 5,000,000 | 5,137,750 | |
6.4% 8/15/17 | 6,827,000 | 6,978,061 | |
Walgreens Boots Alliance, Inc. 1.75% 5/30/18 | 2,997,000 | 3,002,374 | |
36,720,340 | |||
Food Products - 0.9% | |||
Cargill, Inc. 6% 11/27/17 (a) | 106,000 | 109,505 | |
General Mills, Inc. 2.2% 10/21/19 | 2,000,000 | 2,015,424 | |
Kraft Foods Group, Inc.: | |||
2.25% 6/5/17 | 610,000 | 611,103 | |
5.375% 2/10/20 | 5,000,000 | 5,422,440 | |
The J.M. Smucker Co.: | |||
1.75% 3/15/18 | 5,874,000 | 5,888,374 | |
2.5% 3/15/20 | 1,964,000 | 1,987,827 | |
Tyson Foods, Inc. 2.65% 8/15/19 | 7,000,000 | 7,088,277 | |
23,122,950 | |||
Tobacco - 1.7% | |||
Altria Group, Inc. 2.625% 1/14/20 | 5,000,000 | 5,070,710 | |
BAT International Finance PLC: | |||
1.85% 6/15/18 (a) | 10,000,000 | 10,001,550 | |
2.75% 6/15/20 (a) | 3,160,000 | 3,181,643 | |
Imperial Tobacco Finance PLC: | |||
2.05% 2/11/18 (a) | 3,906,000 | 3,915,499 | |
2.05% 7/20/18 (a) | 2,866,000 | 2,869,270 | |
2.95% 7/21/20 (a) | 3,000,000 | 3,036,066 | |
Philip Morris International, Inc.: | |||
1.875% 1/15/19 | 2,641,000 | 2,654,239 | |
1.875% 2/25/21 | 6,954,000 | 6,828,362 | |
Reynolds American, Inc.: | |||
2.3% 6/12/18 | 5,704,000 | 5,742,742 | |
3.25% 6/12/20 | 1,162,000 | 1,190,582 | |
4% 6/12/22 | 1,077,000 | 1,131,538 | |
45,622,201 | |||
TOTAL CONSUMER STAPLES | 141,599,148 | ||
ENERGY - 6.0% | |||
Energy Equipment & Services - 0.9% | |||
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20 | 768,000 | 854,611 | |
National Oilwell Varco, Inc. 1.35% 12/1/17 | 620,000 | 617,914 | |
Noble Holding International Ltd.: | |||
2.5% 3/15/17 | 2,062,000 | 2,059,423 | |
5.25% 3/16/18 | 102,000 | 102,638 | |
Petrofac Ltd. 3.4% 10/10/18 (a) | 1,000,000 | 1,010,450 | |
Schlumberger Holdings Corp.: | |||
2.35% 12/21/18 (a) | 9,662,000 | 9,739,818 | |
3% 12/21/20 (a) | 5,000,000 | 5,088,285 | |
Transocean, Inc. 4.25% 10/15/17 (b) | 3,500,000 | 3,520,650 | |
22,993,789 | |||
Oil, Gas & Consumable Fuels - 5.1% | |||
Anadarko Petroleum Corp. 4.85% 3/15/21 | 559,000 | 600,919 | |
BP Capital Markets PLC: | |||
1.375% 5/10/18 | 5,000,000 | 4,990,170 | |
1.674% 2/13/18 | 5,000,000 | 5,010,165 | |
1.676% 5/3/19 | 989,000 | 984,747 | |
2.315% 2/13/20 | 4,411,000 | 4,437,047 | |
2.521% 1/15/20 | 4,688,000 | 4,738,935 | |
Canadian Natural Resources Ltd.: | |||
1.75% 1/15/18 | 415,000 | 415,193 | |
3.45% 11/15/21 | 7,927,000 | 8,111,350 | |
Cenovus Energy, Inc. 5.7% 10/15/19 | 297,000 | 319,446 | |
Chevron Corp. 1.961% 3/3/20 | 4,000,000 | 4,002,148 | |
Columbia Pipeline Group, Inc.: | |||
2.45% 6/1/18 | 2,107,000 | 2,118,420 | |
3.3% 6/1/20 | 1,439,000 | 1,466,350 | |
ConocoPhillips Co.: | |||
1.5% 5/15/18 | 4,373,000 | 4,363,751 | |
2.2% 5/15/20 | 1,962,000 | 1,965,479 | |
DCP Midstream LLC 5.35% 3/15/20 (a) | 6,738,000 | 7,058,055 | |
DCP Midstream Operating LP: | |||
2.5% 12/1/17 | 292,000 | 292,000 | |
2.7% 4/1/19 | 821,000 | 814,843 | |
El Paso Natural Gas Co. 5.95% 4/15/17 | 21,000 | 21,116 | |
Enbridge, Inc. 1.3842% 6/2/17 (b) | 2,613,000 | 2,614,030 | |
Encana Corp. 6.5% 5/15/19 | 5,000,000 | 5,417,400 | |
Energy Transfer Partners LP 2.5% 6/15/18 | 1,332,000 | 1,341,487 | |
EnLink Midstream Partners LP 2.7% 4/1/19 | 785,000 | 788,673 | |
Enterprise Products Operating LP: | |||
1.65% 5/7/18 | 3,631,000 | 3,623,295 | |
2.55% 10/15/19 | 178,000 | 180,071 | |
2.85% 4/15/21 | 1,590,000 | 1,609,415 | |
Exxon Mobil Corp.: | |||
2.222% 3/1/21 | 3,780,000 | 3,787,976 | |
2.726% 3/1/23 | 2,954,000 | 2,959,131 | |
Kinder Morgan Energy Partners LP 2.65% 2/1/19 | 1,737,000 | 1,755,367 | |
Kinder Morgan, Inc.: | |||
2% 12/1/17 | 393,000 | 393,773 | |
3.05% 12/1/19 | 4,285,000 | 4,359,996 | |
Marathon Petroleum Corp. 2.7% 12/14/18 | 3,202,000 | 3,244,119 | |
Petro-Canada 6.05% 5/15/18 | 3,326,000 | 3,493,660 | |
Petroleos Mexicanos: | |||
3.125% 1/23/19 | 77,000 | 77,770 | |
3.5% 7/18/18 | 5,000,000 | 5,084,500 | |
3.5% 7/23/20 | 1,355,000 | 1,366,856 | |
4.625% 9/21/23 | 4,535,000 | 4,544,025 | |
5.375% 3/13/22 (a) | 1,440,000 | 1,506,168 | |
5.5% 2/4/19 | 2,000,000 | 2,102,500 | |
6.375% 2/4/21 | 2,000,000 | 2,174,500 | |
Phillips 66 Co. 2.95% 5/1/17 | 1,260,000 | 1,263,553 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
2.6% 12/15/19 | 9,900,000 | 9,922,453 | |
5.75% 1/15/20 | 962,000 | 1,043,403 | |
Shell International Finance BV 2.125% 5/11/20 | 2,287,000 | 2,293,195 | |
Southwestern Energy Co. 5.8% 1/23/20 (b) | 864,000 | 855,360 | |
Spectra Energy Capital, LLC 5.65% 3/1/20 | 28,000 | 29,929 | |
Spectra Energy Partners LP 2.95% 9/25/18 | 90,000 | 91,176 | |
Suncor Energy, Inc. 6.1% 6/1/18 | 944,000 | 994,994 | |
Total Capital International SA 2.125% 1/10/19 | 2,000,000 | 2,015,312 | |
TransCanada PipeLines Ltd.: | |||
1.625% 11/9/17 | 3,000,000 | 3,001,791 | |
1.8079% 1/12/18 (b) | 2,500,000 | 2,513,363 | |
1.875% 1/12/18 | 3,000,000 | 3,005,445 | |
3.125% 1/15/19 | 1,693,000 | 1,725,543 | |
Western Gas Partners LP: | |||
2.6% 8/15/18 | 1,257,000 | 1,261,577 | |
5.375% 6/1/21 | 600,000 | 651,211 | |
134,803,151 | |||
TOTAL ENERGY | 157,796,940 | ||
FINANCIALS - 30.9% | |||
Banks - 16.1% | |||
ABN AMRO Bank NV 2.5% 10/30/18 (a) | 4,000,000 | 4,036,392 | |
Australia & New Zealand Banking Group Ltd. 2.25% 6/13/19 | 3,250,000 | 3,271,190 | |
Banco Nacional de Desenvolvimento Economico e Social: | |||
4% 4/14/19 (a) | 2,575,000 | 2,620,964 | |
6.369% 6/16/18 (a) | 962,000 | 1,008,849 | |
Bank of America Corp.: | |||
2% 1/11/18 | 6,200,000 | 6,228,663 | |
2.25% 4/21/20 | 6,000,000 | 6,001,206 | |
2.6% 1/15/19 | 7,495,000 | 7,587,616 | |
2.625% 10/19/20 | 10,000,000 | 10,068,980 | |
2.625% 4/19/21 | 13,000,000 | 13,015,223 | |
2.65% 4/1/19 | 11,100,000 | 11,245,832 | |
Bank of Nova Scotia 2.8% 7/21/21 | 2,000,000 | 2,025,590 | |
Bank of Tokyo-Mitsubishi UFJ Ltd.: | |||
2.3% 3/5/20 (a) | 3,000,000 | 2,988,018 | |
2.35% 9/8/19 (a) | 3,050,000 | 3,058,586 | |
2.7% 9/9/18 (a) | 4,500,000 | 4,544,033 | |
Barclays PLC: | |||
2% 3/16/18 | 5,000,000 | 4,999,825 | |
2.75% 11/8/19 | 5,331,000 | 5,372,486 | |
2.875% 6/8/20 | 3,000,000 | 3,008,286 | |
3.2% 8/10/21 | 5,045,000 | 5,077,041 | |
3.25% 1/12/21 | 2,046,000 | 2,065,953 | |
BNP Paribas 2.375% 9/14/17 | 6,000,000 | 6,033,480 | |
BNP Paribas SA 2.375% 5/21/20 | 3,000,000 | 2,998,575 | |
BPCE SA: | |||
2.5% 12/10/18 | 5,000,000 | 5,038,995 | |
2.5% 7/15/19 | 2,000,000 | 2,012,392 | |
Capital One NA: | |||
2.35% 8/17/18 | 500,000 | 503,332 | |
2.35% 1/31/20 | 1,000,000 | 1,001,854 | |
2.4% 9/5/19 | 2,000,000 | 2,010,778 | |
CIT Group, Inc. 3.875% 2/19/19 | 5,090,000 | 5,207,732 | |
Citigroup, Inc.: | |||
1.7% 4/27/18 | 1,500,000 | 1,499,546 | |
1.75% 5/1/18 | 2,870,000 | 2,870,623 | |
2.05% 6/7/19 | 2,000,000 | 2,000,640 | |
2.15% 7/30/18 | 2,000,000 | 2,009,458 | |
2.35% 8/2/21 | 10,000,000 | 9,850,680 | |
2.4% 2/18/20 | 4,000,000 | 4,012,368 | |
2.45% 1/10/20 | 3,000,000 | 3,013,701 | |
2.5% 9/26/18 | 1,500,000 | 1,514,631 | |
2.5% 7/29/19 | 2,000,000 | 2,019,212 | |
2.55% 4/8/19 | 3,000,000 | 3,032,976 | |
2.65% 10/26/20 | 3,000,000 | 3,017,817 | |
2.7% 3/30/21 | 5,000,000 | 5,006,085 | |
4.4% 6/10/25 | 2,604,000 | 2,674,545 | |
Citizens Bank NA: | |||
2.45% 12/4/19 | 5,526,000 | 5,571,341 | |
2.55% 5/13/21 | 6,501,000 | 6,484,286 | |
Citizens Financial Group, Inc. 2.375% 7/28/21 | 417,000 | 411,509 | |
Comerica, Inc. 2.125% 5/23/19 | 345,000 | 344,872 | |
Commonwealth Bank of Australia: | |||
2.25% 3/13/19 | 750,000 | 754,452 | |
2.3% 9/6/19 | 2,000,000 | 2,016,924 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 1.7% 3/19/18 | 2,000,000 | 2,003,404 | |
Credit Agricole SA 2.75% 6/10/20 (a) | 8,000,000 | 8,033,736 | |
Credit Suisse Group Funding Guernsey Ltd. 3.45% 4/16/21 | 6,000,000 | 6,092,214 | |
Credit Suisse New York Branch: | |||
1.75% 1/29/18 | 2,000,000 | 2,002,984 | |
2.3% 5/28/19 | 5,750,000 | 5,785,058 | |
3% 10/29/21 | 1,500,000 | 1,515,470 | |
Discover Bank: | |||
2% 2/21/18 | 5,920,000 | 5,937,280 | |
2.6% 11/13/18 | 4,000,000 | 4,043,388 | |
Fifth Third Bancorp: | |||
2.3% 3/1/19 | 279,000 | 281,254 | |
2.875% 7/27/20 | 3,200,000 | 3,253,920 | |
4.5% 6/1/18 | 3,024,000 | 3,124,639 | |
First Horizon National Corp. 3.5% 12/15/20 | 3,000,000 | 3,069,183 | |
HBOS PLC 6.75% 5/21/18 (a) | 509,000 | 535,507 | |
HSBC Bank PLC 1.5% 5/15/18 (a) | 1,570,000 | 1,565,029 | |
HSBC Holdings PLC 2.95% 5/25/21 | 4,000,000 | 4,026,812 | |
HSBC U.S.A., Inc.: | |||
2.375% 11/13/19 | 3,000,000 | 3,007,013 | |
2.625% 9/24/18 | 262,000 | 264,590 | |
Huntington Bancshares, Inc.: | |||
2.3% 1/14/22 | 5,000,000 | 4,873,210 | |
3.15% 3/14/21 | 3,000,000 | 3,053,955 | |
7% 12/15/20 | 180,000 | 207,030 | |
Huntington National Bank 2.2% 4/1/19 | 1,000,000 | 1,001,349 | |
ING Bank NV 1.8% 3/16/18 (a) | 5,000,000 | 5,003,285 | |
JPMorgan Chase & Co.: | |||
1.625% 5/15/18 | 4,500,000 | 4,504,604 | |
2.2% 10/22/19 | 10,058,000 | 10,112,333 | |
2.25% 1/23/20 | 8,000,000 | 8,038,216 | |
2.35% 1/28/19 | 1,942,000 | 1,962,898 | |
2.55% 10/29/20 | 3,000,000 | 3,021,825 | |
2.75% 6/23/20 | 7,000,000 | 7,119,861 | |
KeyCorp. 2.3% 12/13/18 | 2,000,000 | 2,010,460 | |
La Caisse Centrale 1.75% 1/29/18 (a) | 4,000,000 | 4,006,512 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
2.19% 9/13/21 | 5,000,000 | 4,871,850 | |
2.95% 3/1/21 | 4,000,000 | 4,037,852 | |
2.998% 2/22/22 | 2,619,000 | 2,637,789 | |
Mizuho Bank Ltd.: | |||
2.45% 4/16/19 (a) | 1,400,000 | 1,407,514 | |
2.65% 9/25/19 (a) | 2,000,000 | 2,016,798 | |
Mizuho Financial Group, Inc.: | |||
2.273% 9/13/21 | 3,000,000 | 2,930,826 | |
2.632% 4/12/21 (a) | 5,180,000 | 5,143,756 | |
2.953% 2/28/22 | 6,000,000 | 6,002,298 | |
MUFG Americas Holdings Corp. 2.25% 2/10/20 | 1,241,000 | 1,239,817 | |
Nordea Bank AB 2.375% 4/4/19 (a) | 1,000,000 | 1,007,825 | |
PNC Bank NA: | |||
1.5% 2/23/18 | 2,100,000 | 2,100,395 | |
1.8% 11/5/18 | 2,000,000 | 2,003,722 | |
2.15% 4/29/21 | 5,000,000 | 4,958,005 | |
2.4% 10/18/19 | 3,000,000 | 3,032,202 | |
Regions Financial Corp. 3.2% 2/8/21 | 4,000,000 | 4,075,876 | |
Royal Bank of Canada: | |||
1.5% 7/29/19 | 5,000,000 | 4,954,235 | |
2.125% 3/2/20 | 5,350,000 | 5,346,148 | |
4.65% 1/27/26 | 1,182,000 | 1,258,629 | |
Royal Bank of Scotland Group PLC: | |||
1.9382% 3/31/17 (b) | 8,715,000 | 8,712,063 | |
3.875% 9/12/23 | 7,000,000 | 6,906,963 | |
Sumitomo Mitsui Banking Corp.: | |||
1.8% 7/18/17 | 940,000 | 941,744 | |
2.25% 7/11/19 | 3,500,000 | 3,505,866 | |
2.45% 1/10/19 | 590,000 | 594,476 | |
2.45% 1/16/20 | 3,000,000 | 3,009,465 | |
2.65% 7/23/20 | 3,000,000 | 3,001,626 | |
Sumitomo Mitsui Financial Group, Inc. 2.934% 3/9/21 | 2,449,000 | 2,471,636 | |
SunTrust Banks, Inc.: | |||
2.35% 11/1/18 | 924,000 | 931,563 | |
2.5% 5/1/19 | 550,000 | 555,708 | |
2.9% 3/3/21 | 2,828,000 | 2,864,756 | |
The Toronto-Dominion Bank: | |||
2.125% 4/7/21 | 4,000,000 | 3,957,080 | |
2.25% 11/5/19 | 2,000,000 | 2,017,460 | |
2.625% 9/10/18 | 1,200,000 | 1,217,935 | |
Wells Fargo & Co.: | |||
1.5% 1/16/18 | 1,300,000 | 1,300,164 | |
2.15% 1/15/19 | 5,500,000 | 5,542,724 | |
2.6% 7/22/20 | 13,000,000 | 13,154,362 | |
Westpac Banking Corp.: | |||
1.6% 8/19/19 | 5,000,000 | 4,951,230 | |
2.8% 1/11/22 | 5,000,000 | 5,037,360 | |
420,294,274 | |||
Capital Markets - 5.3% | |||
Credit Suisse AG 6% 2/15/18 | 3,680,000 | 3,823,546 | |
Credit Suisse Group AG 3.574% 1/9/23 (a) | 10,000,000 | 9,969,970 | |
Deutsche Bank AG London Branch: | |||
2.5% 2/13/19 | 2,250,000 | 2,251,044 | |
2.85% 5/10/19 | 10,968,000 | 11,024,101 | |
Goldman Sachs Group, Inc.: | |||
1.7634% 12/15/17 (b) | 3,000,000 | 3,009,123 | |
2.375% 1/22/18 | 8,850,000 | 8,916,065 | |
2.625% 1/31/19 | 13,000,000 | 13,159,380 | |
2.625% 4/25/21 | 2,097,000 | 2,096,805 | |
5.95% 1/18/18 | 1,693,000 | 1,757,100 | |
6.15% 4/1/18 | 402,000 | 421,055 | |
IntercontinentalExchange, Inc.: | |||
2.5% 10/15/18 | 347,000 | 351,826 | |
2.75% 12/1/20 | 2,647,000 | 2,692,397 | |
Lazard Group LLC 4.25% 11/14/20 | 543,000 | 570,090 | |
Legg Mason, Inc. 2.7% 7/15/19 | 2,000,000 | 2,023,640 | |
Merrill Lynch & Co., Inc.: | |||
6.4% 8/28/17 | 40,000 | 40,985 | |
6.875% 4/25/18 | 726,000 | 767,511 | |
Moody's Corp.: | |||
2.75% 7/15/19 | 8,000,000 | 8,109,536 | |
2.75% 12/15/21 | 647,000 | 644,834 | |
Morgan Stanley: | |||
2.375% 7/23/19 | 9,660,000 | 9,726,026 | |
2.5% 1/24/19 | 1,750,000 | 1,766,384 | |
2.5% 4/21/21 | 6,200,000 | 6,175,386 | |
2.625% 11/17/21 | 5,350,000 | 5,306,826 | |
2.65% 1/27/20 | 11,000,000 | 11,121,561 | |
4.875% 11/1/22 | 7,000,000 | 7,544,236 | |
5.5% 1/26/20 | 2,000,000 | 2,176,060 | |
5.625% 9/23/19 | 112,000 | 121,326 | |
7.3% 5/13/19 | 603,000 | 669,384 | |
S&P Global, Inc. 2.5% 8/15/18 | 1,049,000 | 1,057,857 | |
Thomson Reuters Corp. 1.65% 9/29/17 | 5,050,000 | 5,057,898 | |
UBS AG Stamford Branch: | |||
1.375% 6/1/17 | 2,832,000 | 2,833,713 | |
1.375% 8/14/17 | 6,700,000 | 6,702,760 | |
1.6971% 3/26/18 (b) | 3,000,000 | 3,014,025 | |
2.375% 8/14/19 | 2,843,000 | 2,861,696 | |
137,764,146 | |||
Consumer Finance - 4.2% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 3.5% 5/26/22 | 915,000 | 928,304 | |
Ally Financial, Inc.: | |||
3.25% 2/13/18 | 3,000,000 | 3,039,000 | |
3.25% 11/5/18 | 3,000,000 | 3,052,500 | |
4.25% 4/15/21 | 2,920,000 | 3,011,250 | |
American Express Credit Corp.: | |||
2.125% 3/18/19 | 5,520,000 | 5,554,003 | |
2.2% 3/3/20 | 5,000,000 | 4,994,800 | |
2.25% 5/5/21 | 4,000,000 | 3,969,572 | |
Capital One Financial Corp. 2.45% 4/24/19 | 5,450,000 | 5,495,715 | |
Discover Financial Services 5.2% 4/27/22 | 3,239,000 | 3,521,771 | |
Ford Motor Credit Co. LLC: | |||
1.684% 9/8/17 | 1,000,000 | 1,001,392 | |
1.897% 8/12/19 | 3,000,000 | 2,971,677 | |
2.145% 1/9/18 | 2,500,000 | 2,509,898 | |
2.24% 6/15/18 | 6,000,000 | 6,026,526 | |
2.597% 11/4/19 | 7,000,000 | 7,073,402 | |
2.681% 1/9/20 | 4,063,000 | 4,104,459 | |
2.875% 10/1/18 | 2,500,000 | 2,535,190 | |
3% 6/12/17 | 4,500,000 | 4,520,790 | |
3.157% 8/4/20 | 3,000,000 | 3,055,557 | |
Hyundai Capital America: | |||
2% 3/19/18 (a) | 1,891,000 | 1,893,169 | |
2% 7/1/19 (a) | 3,000,000 | 2,973,882 | |
2.125% 10/2/17 (a) | 2,437,000 | 2,443,080 | |
2.55% 2/6/19 (a) | 4,759,000 | 4,780,701 | |
2.6% 3/19/20 (a) | 2,000,000 | 1,997,742 | |
2.875% 8/9/18 (a) | 2,606,000 | 2,633,968 | |
Synchrony Financial: | |||
1.875% 8/15/17 | 173,000 | 173,140 | |
2.6% 1/15/19 | 5,887,000 | 5,935,097 | |
2.7% 2/3/20 | 2,500,000 | 2,512,823 | |
3% 8/15/19 | 3,000,000 | 3,045,930 | |
Toyota Motor Credit Corp.: | |||
1.55% 7/13/18 | 5,000,000 | 5,001,955 | |
1.55% 10/18/19 | 2,244,000 | 2,229,836 | |
2% 10/24/18 | 2,500,000 | 2,518,700 | |
2.6% 1/11/22 | 5,500,000 | 5,528,512 | |
111,034,341 | |||
Diversified Financial Services - 0.9% | |||
Berkshire Hathaway Finance Corp. 1.7% 3/15/19 | 1,631,000 | 1,637,185 | |
Berkshire Hathaway, Inc. 2.2% 3/15/21 | 1,436,000 | 1,441,793 | |
Brixmor Operating Partnership LP 3.875% 8/15/22 | 2,222,000 | 2,278,917 | |
GE Capital International Funding Co. 2.342% 11/15/20 | 11,630,000 | 11,723,726 | |
General Electric Capital Corp. 2.2% 1/9/20 | 2,577,000 | 2,608,027 | |
ING Bank NV 1.65% 8/15/19 (a) | 4,000,000 | 3,947,364 | |
23,637,012 | |||
Insurance - 4.4% | |||
ACE INA Holdings, Inc. 2.3% 11/3/20 | 1,173,000 | 1,177,663 | |
AFLAC, Inc. 2.4% 3/16/20 | 6,000,000 | 6,072,780 | |
AIA Group Ltd. 2.25% 3/11/19 (a) | 8,529,000 | 8,544,378 | |
American International Group, Inc.: | |||
2.3% 7/16/19 | 10,304,000 | 10,359,168 | |
3.3% 3/1/21 | 4,987,000 | 5,111,141 | |
4.875% 6/1/22 | 1,484,000 | 1,610,806 | |
5.85% 1/16/18 | 1,910,000 | 1,979,444 | |
Aon Corp. 5% 9/30/20 | 2,178,000 | 2,358,267 | |
Aon PLC 2.8% 3/15/21 | 7,000,000 | 7,013,657 | |
Assurant, Inc. 2.5% 3/15/18 | 2,000,000 | 2,016,754 | |
Great-West Life & Annuity Insurance Co. 3.5753% 5/16/46 (a)(b) | 259,000 | 230,510 | |
Hartford Financial Services Group, Inc.: | |||
5.375% 3/15/17 | 18,000 | 18,026 | |
5.5% 3/30/20 | 4,601,000 | 5,018,614 | |
Liberty Mutual Group, Inc. 5% 6/1/21 (a) | 16,714,000 | 18,160,747 | |
Marsh & McLennan Companies, Inc.: | |||
2.35% 9/10/19 | 495,000 | 499,696 | |
2.35% 3/6/20 | 5,000,000 | 5,015,945 | |
2.55% 10/15/18 | 517,000 | 523,548 | |
2.75% 1/30/22 | 2,231,000 | 2,242,010 | |
3.3% 3/14/23 | 1,731,000 | 1,764,685 | |
MassMutual Global Funding II 2.35% 4/9/19 (a) | 1,000,000 | 1,010,731 | |
MetLife, Inc. 1.756% 12/15/17 (b) | 269,000 | 269,458 | |
Metropolitan Life Global Funding I: | |||
1.5% 1/10/18 (a) | 4,431,000 | 4,435,032 | |
2% 4/14/20 (a) | 3,000,000 | 2,981,202 | |
New York Life Global Funding 1.55% 11/2/18 (a) | 3,500,000 | 3,489,987 | |
Pacific LifeCorp 6% 2/10/20 (a) | 7,000,000 | 7,613,137 | |
Pricoa Global Funding I 1.6% 5/29/18 (a) | 967,000 | 966,816 | |
Principal Life Global Funding II 2.375% 9/11/19 (a) | 2,200,000 | 2,211,484 | |
Prudential Financial, Inc. 3.5% 5/15/24 | 2,550,000 | 2,621,349 | |
TIAA Asset Management Finance LLC 2.95% 11/1/19 (a) | 5,280,000 | 5,379,607 | |
Unum Group 5.625% 9/15/20 | 2,743,000 | 3,009,823 | |
113,706,465 | |||
TOTAL FINANCIALS | 806,436,238 | ||
HEALTH CARE - 6.3% | |||
Biotechnology - 0.9% | |||
AbbVie, Inc.: | |||
1.8% 5/14/18 | 3,972,000 | 3,980,830 | |
2.5% 5/14/20 | 5,952,000 | 5,982,064 | |
Amgen, Inc.: | |||
1.4301% 5/22/17 (b) | 3,000,000 | 3,001,788 | |
2.125% 5/1/20 | 1,618,000 | 1,616,961 | |
2.2% 5/22/19 | 4,290,000 | 4,328,589 | |
5.85% 6/1/17 | 446,000 | 451,130 | |
Celgene Corp.: | |||
2.125% 8/15/18 | 1,549,000 | 1,556,764 | |
2.875% 8/15/20 | 3,000,000 | 3,045,147 | |
23,963,273 | |||
Health Care Equipment & Supplies - 0.9% | |||
Abbott Laboratories: | |||
2.35% 11/22/19 | 5,000,000 | 5,026,085 | |
2.9% 11/30/21 | 4,980,000 | 4,989,029 | |
Becton, Dickinson & Co.: | |||
1.8% 12/15/17 | 1,149,000 | 1,151,528 | |
2.675% 12/15/19 | 287,000 | 291,300 | |
Danaher Corp.: | |||
1.65% 9/15/18 | 3,976,000 | 3,977,853 | |
2.4% 9/15/20 | 619,000 | 625,062 | |
Medtronic, Inc.: | |||
1.5% 3/15/18 | 1,770,000 | 1,772,683 | |
2.5% 3/15/20 | 2,200,000 | 2,232,470 | |
Zimmer Biomet Holdings, Inc. 2% 4/1/18 | 2,702,000 | 2,710,328 | |
22,776,338 | |||
Health Care Providers & Services - 1.0% | |||
Aetna, Inc.: | |||
1.9% 6/7/19 | 3,955,000 | 3,985,461 | |
2.4% 6/15/21 | 2,720,000 | 2,748,073 | |
Cardinal Health, Inc. 1.95% 6/15/18 | 462,000 | 463,673 | |
Coventry Health Care, Inc. 5.95% 3/15/17 | 264,000 | 264,443 | |
Express Scripts Holding Co.: | |||
1.25% 6/2/17 | 1,500,000 | 1,499,829 | |
2.25% 6/15/19 | 1,000,000 | 1,003,951 | |
McKesson Corp. 2.284% 3/15/19 | 686,000 | 689,940 | |
UnitedHealth Group, Inc.: | |||
1.4% 10/15/17 | 2,128,000 | 2,129,622 | |
1.9% 7/16/18 | 3,000,000 | 3,019,443 | |
2.125% 3/15/21 | 3,000,000 | 2,974,437 | |
2.7% 7/15/20 | 1,361,000 | 1,391,405 | |
2.875% 12/15/21 | 2,000,000 | 2,033,872 | |
WellPoint, Inc.: | |||
1.875% 1/15/18 | 326,000 | 326,852 | |
2.25% 8/15/19 | 2,950,000 | 2,962,809 | |
25,493,810 | |||
Life Sciences Tools & Services - 0.4% | |||
Thermo Fisher Scientific, Inc.: | |||
2.15% 12/14/18 | 881,000 | 886,292 | |
2.4% 2/1/19 | 3,086,000 | 3,115,839 | |
3% 4/15/23 | 5,000,000 | 4,940,025 | |
8,942,156 | |||
Pharmaceuticals - 3.1% | |||
Actavis Funding SCS: | |||
2.35% 3/12/18 | 5,334,000 | 5,371,909 | |
2.45% 6/15/19 | 3,277,000 | 3,296,269 | |
3% 3/12/20 | 2,684,000 | 2,732,707 | |
Allergan PLC 1.875% 10/1/17 | 210,000 | 210,487 | |
Bayer U.S. Finance LLC 1.5% 10/6/17 (a) | 1,863,000 | 1,862,570 | |
Forest Laboratories, Inc. 4.375% 2/1/19 (a) | 4,000,000 | 4,147,444 | |
Mylan N.V.: | |||
2.5% 6/7/19 | 9,824,000 | 9,826,279 | |
3.15% 6/15/21 | 2,306,000 | 2,306,745 | |
Perrigo Co. PLC: | |||
2.3% 11/8/18 | 6,047,000 | 6,056,772 | |
3.5% 3/15/21 | 4,556,000 | 4,625,525 | |
Perrigo Finance PLC 3.5% 12/15/21 | 3,263,000 | 3,270,394 | |
Shire Acquisitions Investments Ireland DAC: | |||
1.9% 9/23/19 | 5,000,000 | 4,959,485 | |
2.4% 9/23/21 | 7,000,000 | 6,856,577 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
1.7% 7/19/19 | 8,234,000 | 8,125,550 | |
2.2% 7/21/21 | 11,726,000 | 11,290,086 | |
2.8% 7/21/23 | 1,238,000 | 1,169,549 | |
Zoetis, Inc.: | |||
1.875% 2/1/18 | 5,445,000 | 5,458,444 | |
3.45% 11/13/20 | 493,000 | 507,801 | |
82,074,593 | |||
TOTAL HEALTH CARE | 163,250,170 | ||
INDUSTRIALS - 1.5% | |||
Aerospace & Defense - 0.4% | |||
BAE Systems Holdings, Inc. 2.85% 12/15/20 (a) | 5,615,000 | 5,691,005 | |
Lockheed Martin Corp. 2.5% 11/23/20 | 2,361,000 | 2,383,517 | |
The Boeing Co. 1.65% 10/30/20 | 3,000,000 | 2,965,896 | |
11,040,418 | |||
Airlines - 0.0% | |||
Continental Airlines, Inc.: | |||
6.648% 3/15/19 | 71,828 | 72,090 | |
6.795% 2/2/20 | 1,040 | 1,061 | |
6.9% 7/2/19 | 5,585 | 5,641 | |
U.S. Airways pass-thru trust certificates: | |||
6.85% 1/30/18 | 34,279 | 34,965 | |
8.36% 1/20/19 | 42,984 | 44,703 | |
158,460 | |||
Electrical Equipment - 0.1% | |||
Fortive Corp.: | |||
1.8% 6/15/19 (a) | 910,000 | 906,787 | |
2.35% 6/15/21 (a) | 1,547,000 | 1,530,017 | |
2,436,804 | |||
Industrial Conglomerates - 0.5% | |||
Roper Technologies, Inc.: | |||
2.05% 10/1/18 | 2,919,000 | 2,933,417 | |
2.8% 12/15/21 | 3,883,000 | 3,892,789 | |
3% 12/15/20 | 5,100,000 | 5,197,145 | |
12,023,351 | |||
Machinery - 0.0% | |||
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 | 263,000 | 265,074 | |
John Deere Capital Corp. 1.6% 7/13/18 | 590,000 | 590,895 | |
855,969 | |||
Trading Companies & Distributors - 0.5% | |||
Air Lease Corp.: | |||
2.125% 1/15/18 | 414,000 | 415,382 | |
2.625% 9/4/18 | 1,628,000 | 1,643,674 | |
3.375% 6/1/21 | 8,097,000 | 8,268,851 | |
3.75% 2/1/22 | 1,228,000 | 1,267,290 | |
3.875% 4/1/21 | 500,000 | 518,750 | |
4.75% 3/1/20 | 605,000 | 642,399 | |
12,756,346 | |||
TOTAL INDUSTRIALS | 39,271,348 | ||
INFORMATION TECHNOLOGY - 1.9% | |||
Communications Equipment - 0.3% | |||
Cisco Systems, Inc.: | |||
1.65% 6/15/18 | 3,000,000 | 3,012,084 | |
2.125% 3/1/19 | 1,500,000 | 1,516,760 | |
2.45% 6/15/20 | 3,000,000 | 3,050,346 | |
7,579,190 | |||
Electronic Equipment & Components - 0.8% | |||
Amphenol Corp. 1.55% 9/15/17 | 1,426,000 | 1,426,617 | |
Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
3.48% 6/1/19 (a) | 4,200,000 | 4,293,488 | |
4.42% 6/15/21 (a) | 4,200,000 | 4,407,274 | |
Tyco Electronics Group SA: | |||
2.35% 8/1/19 | 3,000,000 | 3,017,331 | |
2.375% 12/17/18 | 4,049,000 | 4,083,906 | |
6.55% 10/1/17 | 4,476,000 | 4,605,321 | |
21,833,937 | |||
IT Services - 0.2% | |||
The Western Union Co.: | |||
2.875% 12/10/17 | 773,000 | 779,989 | |
3.65% 8/22/18 | 3,111,000 | 3,184,510 | |
3,964,499 | |||
Software - 0.3% | |||
Oracle Corp.: | |||
1.9% 9/15/21 | 5,000,000 | 4,908,760 | |
2.25% 10/8/19 | 1,552,000 | 1,573,860 | |
6,482,620 | |||
Technology Hardware, Storage & Peripherals - 0.3% | |||
Apple, Inc. 2.85% 5/6/21 | 850,000 | 871,167 | |
Hewlett Packard Enterprise Co. 2.85% 10/5/18 | 4,000,000 | 4,052,368 | |
Xerox Corp.: | |||
2.75% 3/15/19 | 2,585,000 | 2,600,293 | |
2.95% 3/15/17 | 1,057,000 | 1,057,685 | |
8,581,513 | |||
TOTAL INFORMATION TECHNOLOGY�� | 48,441,759 | ||
MATERIALS - 0.7% | |||
Chemicals - 0.4% | |||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (a) | 5,340,000 | 5,343,022 | |
Ecolab, Inc.: | |||
1.45% 12/8/17 | 335,000 | 334,700 | |
1.55% 1/12/18 | 2,500,000 | 2,502,580 | |
Monsanto Co. 2.125% 7/15/19 | 3,000,000 | 3,007,389 | |
Sherwin-Williams Co. 1.35% 12/15/17 | 620,000 | 619,074 | |
11,806,765 | |||
Metals & Mining - 0.3% | |||
Anglo American Capital PLC 3.625% 5/14/20 (a) | 1,513,000 | 1,537,586 | |
Corporacion Nacional del Cobre de Chile (Codelco) 3.875% 11/3/21 (a) | 630,000 | 661,978 | |
Freeport-McMoRan, Inc.: | |||
2.3% 11/14/17 | 670,000 | 668,325 | |
2.375% 3/15/18 | 4,000,000 | 3,980,000 | |
6,847,889 | |||
TOTAL MATERIALS | 18,654,654 | ||
REAL ESTATE - 2.3% | |||
Equity Real Estate Investment Trusts (REITs) - 1.2% | |||
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22 | 189,000 | 201,528 | |
American Campus Communities Operating Partnership LP 3.35% 10/1/20 | 1,272,000 | 1,294,363 | |
Boston Properties, Inc.: | |||
3.7% 11/15/18 | 1,787,000 | 1,838,178 | |
5.875% 10/15/19 | 446,000 | 485,654 | |
DDR Corp.: | |||
3.5% 1/15/21 | 360,000 | 365,268 | |
4.25% 2/1/26 | 1,865,000 | 1,871,986 | |
4.75% 4/15/18 | 1,634,000 | 1,674,234 | |
7.5% 4/1/17 | 389,000 | 390,835 | |
Duke Realty LP 6.75% 3/15/20 | 35,000 | 39,179 | |
ERP Operating LP: | |||
2.375% 7/1/19 | 1,641,000 | 1,654,965 | |
3.375% 6/1/25 | 3,000,000 | 2,994,426 | |
5.75% 6/15/17 | 442,000 | 447,549 | |
Federal Realty Investment Trust: | |||
2.55% 1/15/21 | 5,000,000 | 4,997,885 | |
5.9% 4/1/20 | 5,000 | 5,519 | |
Government Properties Income Trust 3.75% 8/15/19 | 3,000,000 | 3,029,142 | |
Health Care REIT, Inc.: | |||
2.25% 3/15/18 | 250,000 | 251,168 | |
4.7% 9/15/17 | 2,436,000 | 2,476,691 | |
HRPT Properties Trust 6.65% 1/15/18 | 95,000 | 96,666 | |
Omega Healthcare Investors, Inc. 4.375% 8/1/23 | 2,877,000 | 2,924,016 | |
Select Income REIT 2.85% 2/1/18 | 1,515,000 | 1,526,728 | |
Simon Property Group LP: | |||
2.2% 2/1/19 | 462,000 | 465,799 | |
2.35% 1/30/22 | 1,046,000 | 1,033,068 | |
United Dominion Realty Trust, Inc. 4.25% 6/1/18 | 431,000 | 443,574 | |
30,508,421 | |||
Real Estate Management & Development - 1.1% | |||
Brandywine Operating Partnership LP: | |||
4.95% 4/15/18 | 51,000 | 52,519 | |
5.7% 5/1/17 | 369,000 | 371,411 | |
Digital Realty Trust LP: | |||
3.4% 10/1/20 | 1,735,000 | 1,774,303 | |
3.625% 10/1/22 | 1,040,000 | 1,061,768 | |
Essex Portfolio LP 5.5% 3/15/17 | 2,046,000 | 2,048,840 | |
Liberty Property LP 4.75% 10/1/20 | 1,045,000 | 1,113,151 | |
Mack-Cali Realty LP: | |||
2.5% 12/15/17 | 439,000 | 439,666 | |
4.5% 4/18/22 | 185,000 | 187,865 | |
Tanger Properties LP 6.125% 6/1/20 | 606,000 | 668,866 | |
Ventas Realty LP: | |||
1.25% 4/17/17 | 1,882,000 | 1,881,895 | |
3.125% 6/15/23 | 591,000 | 582,011 | |
Ventas Realty LP/Ventas Capital Corp.: | |||
2% 2/15/18 | 1,743,000 | 1,748,119 | |
4% 4/30/19 | 11,000,000 | 11,410,036 | |
4.25% 3/1/22 | 4,000,000 | 4,222,460 | |
Washington Prime Group LP 3.85% 4/1/20 | 2,090,000 | 2,090,635 | |
29,653,545 | |||
TOTAL REAL ESTATE | 60,161,966 | ||
TELECOMMUNICATION SERVICES - 2.9% | |||
Diversified Telecommunication Services - 2.7% | |||
American Electric Power Co., Inc. 1.65% 12/15/17 | 1,827,000 | 1,830,241 | |
AT&T, Inc.: | |||
1.4% 12/1/17 | 1,620,000 | 1,618,979 | |
2.375% 11/27/18 | 10,000,000 | 10,089,500 | |
2.45% 6/30/20 | 1,563,000 | 1,565,351 | |
2.8% 2/17/21 | 4,000,000 | 4,009,432 | |
5.875% 10/1/19 | 5,034,000 | 5,494,530 | |
BellSouth Corp. 4.4% 4/26/17 (a)(b) | 5,000,000 | 5,027,025 | |
British Telecommunications PLC 2.35% 2/14/19 | 4,296,000 | 4,324,981 | |
CenturyLink, Inc. 6.15% 9/15/19 | 592,000 | 631,960 | |
Verizon Communications, Inc.: | |||
1.1% 11/1/17 | 620,000 | 619,366 | |
1.75% 8/15/21 | 15,000,000 | 14,373,720 | |
2.625% 2/21/20 | 2,913,000 | 2,949,651 | |
3% 11/1/21 | 4,318,000 | 4,355,152 | |
3.65% 9/14/18 | 6,000,000 | 6,178,854 | |
4.5% 9/15/20 | 4,000,000 | 4,266,184 | |
6.1% 4/15/18 | 3,425,000 | 3,596,548 | |
70,931,474 | |||
Wireless Telecommunication Services - 0.2% | |||
Vodafone Group PLC: | |||
1.5% 2/19/18 | 2,625,000 | 2,622,162 | |
5.45% 6/10/19 | 2,000,000 | 2,148,556 | |
4,770,718 | |||
TOTAL TELECOMMUNICATION SERVICES | 75,702,192 | ||
UTILITIES - 4.4% | |||
Electric Utilities - 2.2% | |||
AmerenUE 6.4% 6/15/17 | 519,000 | 526,318 | |
Commonwealth Edison Co. 2.15% 1/15/19 | 188,000 | 189,426 | |
Duke Energy Corp.: | |||
1.625% 8/15/17 | 3,304,000 | 3,306,927 | |
1.8% 9/1/21 | 1,354,000 | 1,309,704 | |
2.1% 6/15/18 | 5,395,000 | 5,421,128 | |
Duquesne Light Holdings, Inc. 6.4% 9/15/20 (a) | 48,000 | 53,672 | |
Edison International: | |||
2.95% 3/15/23 | 730,000 | 732,751 | |
3.75% 9/15/17 | 431,000 | 435,835 | |
Eversource Energy: | |||
1.45% 5/1/18 | 153,000 | 152,529 | |
2.5% 3/15/21 | 896,000 | 889,879 | |
Exelon Corp. 2.85% 6/15/20 | 2,479,000 | 2,513,518 | |
FirstEnergy Corp.: | |||
2.75% 3/15/18 | 6,652,000 | 6,710,252 | |
4.25% 3/15/23 | 600,000 | 625,637 | |
FirstEnergy Solutions Corp. 6.05% 8/15/21 | 655,000 | 245,625 | |
IPALCO Enterprises, Inc. 3.45% 7/15/20 | 2,576,000 | 2,621,080 | |
LG&E and KU Energy LLC 3.75% 11/15/20 | 5,002,000 | 5,194,012 | |
Nevada Power Co.: | |||
6.5% 5/15/18 | 1,562,000 | 1,654,417 | |
6.5% 8/1/18 | 273,000 | 291,269 | |
NextEra Energy Capital Holdings, Inc.: | |||
1.586% 6/1/17 | 2,904,000 | 2,906,375 | |
1.649% 9/1/18 | 950,000 | 948,656 | |
PacifiCorp 5.5% 1/15/19 | 2,750,000 | 2,942,217 | |
Pennsylvania Electric Co. 6.05% 9/1/17 | 115,000 | 117,288 | |
PG&E Corp. 2.4% 3/1/19 | 74,000 | 74,521 | |
Public Service Electric & Gas Co. 2.3% 9/15/18 | 2,000,000 | 2,026,918 | |
Southern Co.: | |||
1.85% 7/1/19 | 3,000,000 | 2,988,780 | |
2.35% 7/1/21 | 5,250,000 | 5,181,818 | |
TECO Finance, Inc.: | |||
1.6101% 4/10/18 (b) | 3,000,000 | 3,001,698 | |
5.15% 3/15/20 | 252,000 | 269,418 | |
Xcel Energy, Inc.: | |||
1.2% 6/1/17 | 3,153,000 | 3,150,670 | |
2.4% 3/15/21 | 1,050,000 | 1,048,337 | |
57,530,675 | |||
Gas Utilities - 0.0% | |||
Texas Eastern Transmission LP 6% 9/15/17 (a) | 1,096,000 | 1,120,208 | |
Independent Power and Renewable Electricity Producers - 0.3% | |||
Emera U.S. Finance LP: | |||
2.15% 6/15/19 | 557,000 | 556,088 | |
2.7% 6/15/21 | 548,000 | 544,989 | |
Kinder Morgan Finance Co. LLC 6% 1/15/18 (a) | 2,500,000 | 2,591,483 | |
Southern Power Co.: | |||
1.85% 12/1/17 | 704,000 | 705,389 | |
2.375% 6/1/20 | 1,087,000 | 1,086,346 | |
TransAlta Corp. 1.9% 6/3/17 | 2,900,000 | 2,898,869 | |
8,383,164 | |||
Multi-Utilities - 1.9% | |||
Ameren Illinois Co. 6.125% 11/15/17 | 62,000 | 63,998 | |
Berkshire Hathaway Energy Co.: | |||
1.1% 5/15/17 | 1,000,000 | 1,000,001 | |
2% 11/15/18 | 544,000 | 545,588 | |
Consolidated Edison, Inc.: | |||
2% 3/15/20 | 1,355,000 | 1,357,182 | |
2% 5/15/21 | 1,538,000 | 1,508,034 | |
Dominion Resources, Inc.: | |||
1.4% 9/15/17 | 3,225,000 | 3,220,433 | |
1.9% 6/15/18 | 2,540,000 | 2,538,661 | |
2% 8/15/21 | 843,000 | 821,699 | |
2.5% 12/1/19 | 10,382,000 | 10,492,537 | |
3.2982% 9/30/66 (b) | 651,000 | 531,151 | |
3.8232% 6/30/66 (b) | 567,000 | 520,223 | |
NiSource Finance Corp.: | |||
3.85% 2/15/23 | 700,000 | 721,779 | |
5.45% 9/15/20 | 43,000 | 47,174 | |
6.4% 3/15/18 | 888,000 | 930,700 | |
NSTAR 4.5% 11/15/19 | 2,500,000 | 2,652,713 | |
Public Service Enterprise Group, Inc. 2% 11/15/21 | 1,782,000 | 1,723,684 | |
Puget Energy, Inc. 6.5% 12/15/20 | 991,000 | 1,113,926 | |
Sempra Energy: | |||
1.625% 10/7/19 | 4,189,000 | 4,147,969 | |
2.3% 4/1/17 | 4,935,000 | 4,939,471 | |
2.4% 3/15/20 | 1,890,000 | 1,893,557 | |
2.85% 11/15/20 | 1,392,000 | 1,413,050 | |
Wisconsin Energy Corp.: | |||
1.65% 6/15/18 | 3,006,000 | 3,004,975 | |
2.45% 6/15/20 | 2,901,000 | 2,914,545 | |
6.25% 5/15/67 (b) | 454,000 | 413,708 | |
48,516,758 | |||
TOTAL UTILITIES | 115,550,805 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $1,819,712,290) | 1,823,746,496 | ||
U.S. Treasury Obligations - 11.5% | |||
U.S. Treasury Notes: | |||
0.75% 7/15/19 | $37,726,000 | $37,204,325 | |
1.125% 7/31/21 | 45,000,000 | 43,618,365 | |
1.375% 2/15/20 | 11,830,000 | 11,791,186 | |
1.375% 3/31/20 | 69,683,000 | 69,353,593 | |
1.375% 1/31/21 | 45,000,000 | 44,363,655 | |
1.75% 12/31/20 | 20,000,000 | 20,014,840 | |
2.125% 2/29/24 | 9,915,000 | 9,873,169 | |
2.25% 3/31/21 | 55,000,000 | 56,024,815 | |
2.25% 1/31/24 | 8,287,000 | 8,322,286 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $303,390,992) | 300,566,234 | ||
U.S. Government Agency - Mortgage Securities - 0.4% | |||
Fannie Mae - 0.3% | |||
2.54% 6/1/42 (b) | 43,327 | 44,930 | |
2.699% 2/1/42 (b) | 397,870 | 412,177 | |
2.772% 1/1/42 (b) | 291,246 | 301,751 | |
2.81% 12/1/33 (b) | 523,614 | 552,237 | |
2.812% 7/1/35 (b) | 62,315 | 65,785 | |
2.943% 9/1/41 (b) | 23,888 | 24,747 | |
2.956% 11/1/36 (b) | 99,643 | 103,288 | |
2.961% 3/1/40 (b) | 88,686 | 94,113 | |
2.973% 11/1/40 (b) | 18,359 | 19,362 | |
2.975% 10/1/41 (b) | 16,401 | 17,321 | |
3.031% 1/1/40 (b) | 120,982 | 127,964 | |
3.124% 4/1/35 (b) | 289,649 | 303,980 | |
3.187% 3/1/40 (b) | 66,719 | 70,731 | |
3.241% 7/1/41 (b) | 38,472 | 40,430 | |
3.364% 10/1/41 (b) | 21,203 | 22,082 | |
3.435% 12/1/39 (b) | 27,002 | 28,713 | |
3.5% 7/1/26 to 10/1/29 | 3,273,393 | 3,436,596 | |
3.55% 7/1/41 (b) | 51,259 | 53,493 | |
4.5% 3/1/35 | 30,953 | 33,388 | |
6% 4/1/17 | 2 | 2 | |
6.5% 7/1/17 to 8/1/36 | 387,338 | 444,507 | |
7% 9/1/18 to 6/1/33 | 246,709 | 287,535 | |
7.5% 8/1/17 to 3/1/28 | 71,816 | 83,084 | |
8.5% 5/1/21 to 9/1/25 | 4,911 | 5,578 | |
9.5% 2/1/25 | 322 | 340 | |
10.5% 8/1/20 | 2,869 | 3,010 | |
TOTAL FANNIE MAE | 6,577,144 | ||
Freddie Mac - 0.1% | |||
2.916% 4/1/40 (b) | 70,928 | 75,022 | |
2.998% 2/1/40 (b) | 95,749 | 101,655 | |
3.03% 4/1/40 (b) | 69,274 | 73,536 | |
3.198% 9/1/41 (b) | 28,424 | 29,804 | |
3.231% 4/1/41 (b) | 23,760 | 24,646 | |
3.282% 6/1/41 (b) | 31,965 | 33,630 | |
3.392% 5/1/41 (b) | 24,498 | 26,053 | |
3.5% 8/1/26 | 2,280,106 | 2,388,281 | |
3.626% 5/1/41 (b) | 33,516 | 35,255 | |
3.665% 6/1/41 (b) | 36,507 | 38,415 | |
4.5% 8/1/18 | 75,057 | 76,682 | |
5% 3/1/19 | 137,087 | 140,190 | |
8.5% 9/1/24 to 8/1/27 | 26,137 | 30,681 | |
TOTAL FREDDIE MAC | 3,073,850 | ||
Ginnie Mae - 0.0% | |||
7% 7/15/28 to 11/15/28 | 61,416 | 71,052 | |
7.5% 2/15/28 to 10/15/28 | 3,297 | 3,888 | |
8% 6/15/24 | 34 | 39 | |
8.5% 10/15/21 | 19,391 | 21,450 | |
11% 7/20/19 to 8/20/19 | 689 | 725 | |
TOTAL GINNIE MAE | 97,154 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $9,689,916) | 9,748,148 | ||
Asset-Backed Securities - 7.4% | |||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1.4833% 4/25/35 (b) | $56,669 | $54,388 | |
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 2.4211% 3/25/34 (b) | 29,069 | 28,824 | |
Ally Master Owner Trust: | |||
Series 2012-4 Class A, 1.72% 7/15/19 | 292,000 | 292,491 | |
Series 2012-5 Class A, 1.54% 9/15/19 | 11,057,000 | 11,067,869 | |
Series 2014-3 Class A, 1.33% 3/15/19 | 2,425,000 | 2,425,159 | |
Series 2014-4 Class A2, 1.43% 6/17/19 | 3,870,000 | 3,872,277 | |
Series 2014-5 Class A2, 1.6% 10/15/19 | 3,000,000 | 3,003,099 | |
Series 2015-3 Class A, 1.63% 5/15/20 | 3,130,000 | 3,130,489 | |
American Express Credit Account Master Trust Series 2014-4 Class A, 1.43% 6/15/20 | 3,780,000 | 3,783,392 | |
AmeriCredit Automobile Receivables Trust: | |||
Series 2014-2 Class A3, 0.94% 2/8/19 | 230,241 | 230,187 | |
Series 2014-4 Class A3, 1.27% 7/8/19 | 269,019 | 269,017 | |
Series 2015-2 Class A3, 1.27% 1/8/20 | 2,490,593 | 2,489,258 | |
Series 2016-1 Class A3, 2.14% 10/8/20 | 1,888,000 | 1,891,640 | |
Series 2016-2 Class A2A, 1.42% 10/8/19 | 1,851,001 | 1,851,593 | |
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | |||
Series 2003-10 Class M1, 1.8283% 12/25/33 (b) | 4,390 | 4,243 | |
Series 2004-R2 Class M3, 1.6033% 4/25/34 (b) | 10,238 | 8,636 | |
Argent Securities, Inc. pass-thru certificates: | |||
Series 2003-W7 Class A2, 1.5583% 3/25/34 (b) | 4,092 | 3,890 | |
Series 2004-W11 Class M2, 1.8283% 11/25/34 (b) | 58,719 | 58,426 | |
Series 2004-W7 Class M1, 1.6033% 5/25/34 (b) | 154,693 | 149,283 | |
Series 2006-W4 Class A2C, 0.9383% 5/25/36 (b) | 125,727 | 43,895 | |
Asset Backed Securities Corp. Home Equity Loan Trust: | |||
Series 2004-HE2 Class M1, 1.5961% 4/25/34 (b) | 126,078 | 115,229 | |
Series 2006-HE2 Class M1, 1.1411% 3/25/36 (b) | 2,266 | 27 | |
Bank of America Credit Card Master Trust Series 2015-A2 Class A, 1.36% 9/15/20 | 4,899,000 | 4,895,885 | |
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1.9033% 2/25/35 (b) | 345,711 | 317,130 | |
Capital Auto Receivables Asset Trust: | |||
Series 2015-1 Class A2, 1.42% 6/20/18 | 441,271 | 441,293 | |
Series 2015-2 Class A2, 1.39% 9/20/18 | 1,238,154 | 1,238,742 | |
Capital One Multi-Asset Execution Trust: | |||
Series 2014-A5 Class A, 1.48% 7/15/20 | 2,200,000 | 2,202,766 | |
Series 2016-A4 Class A4, 1.4% 6/15/22 | 4,860,000 | 4,810,062 | |
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.9111% 12/25/36 (b) | 205,465 | 153,712 | |
Chase Issuance Trust Series 2015-A2, Class A, 1.59% 2/18/20 | 3,000,000 | 3,006,301 | |
Chrysler Capital Auto Receivables Trust: | |||
Series 2015-AA Class A3, 1.22% 7/15/19 (a) | 1,796,961 | 1,796,552 | |
Series 2016-BA Class A2, 1.6% 1/15/20 (a) | 4,201,000 | 4,198,761 | |
CIT Equipment Collateral Series 2014-VT1 Class A3, 1.5% 10/21/19 (a) | 992,104 | 992,571 | |
Citibank Credit Card Issuance Trust Series 2014-A6 Class A6, 2.15% 7/15/21 | 2,896,000 | 2,922,423 | |
Countrywide Home Loans, Inc.: | |||
Series 2003-BC1 Class B1, 6.0283% 3/25/32 (b) | 9,741 | 9,680 | |
Series 2004-3 Class M4, 2.2333% 4/25/34 (b) | 6,298 | 5,903 | |
Series 2004-4 Class M2, 1.5733% 6/25/34 (b) | 7,123 | 6,830 | |
Dell Equipment Finance Trust Series 2015-1 Class A3, 1.3% 3/23/20 (a) | 2,885,583 | 2,885,471 | |
Discover Card Master Trust: | |||
Series 2014-A5 Class A, 1.39% 4/15/20 | 1,780,000 | 1,780,943 | |
Series 2016-A1 Class A1, 1.64% 7/15/21 | 3,630,000 | 3,628,298 | |
Series 2016-A4 Class A4, 1.39% 3/15/22 | 5,019,000 | 4,969,570 | |
Enterprise Fleet Financing LLC: | |||
Series 2014-2 Class A2, 1.05% 3/20/20 (a) | 923,502 | 922,813 | |
Series 2015-1 Class A2, 1.3% 9/20/20 (a) | 1,201,224 | 1,199,990 | |
Series 2016-2 Class A2, 1.74% 2/22/22 (a) | 2,331,000 | 2,326,703 | |
Series 2017-1 Class A2, 2.13% 7/20/22 (a) | 2,568,000 | 2,568,840 | |
Fannie Mae Series 2004-T5 Class AB3, 1.5005% 5/28/35 (b) | 4,436 | 3,918 | |
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.9461% 8/25/34 (b) | 27,336 | 25,998 | |
Flagship Credit Auto Trust Series 2016-1 Class A, 2.53% 12/15/20 (a) | 2,407,874 | 2,425,869 | |
Ford Credit Auto Owner Trust: | |||
Series 2014-2 Class A, 2.31% 4/15/26 (a) | 9,142,000 | 9,224,709 | |
Series 2015-1 Class A, 2.12% 7/15/26 (a) | 2,785,000 | 2,786,335 | |
Series 2015-2 Class A, 2.44% 1/15/27 (a) | 6,181,000 | 6,232,031 | |
Series 2016-1 Class A, 2.31% 8/15/27 (a) | 5,938,000 | 5,939,357 | |
Series 2017-1 Class A, 2.62% 8/15/28 (a) | 5,415,000 | 5,413,844 | |
Ford Credit Floorplan Master Owner Trust: | |||
Series 2015-1 Class A1, 1.42% 1/15/20 | 6,000,000 | 5,997,400 | |
Series 2015-5 Class A, 2.39% 8/15/22 | 10,511,000 | 10,593,712 | |
Series 2016-3 Class A1, 1.55% 7/15/21 | 4,844,000 | 4,807,909 | |
Fremont Home Loan Trust Series 2005-A: | |||
Class M3, 1.5061% 1/25/35 (b) | 81,136 | 75,248 | |
Class M4, 1.7911% 1/25/35 (b) | 39,567 | 20,650 | |
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.4323% 2/25/47 (a)(b) | 194,023 | 163,360 | |
GE Business Loan Trust Series 2006-2A: | |||
Class A, 0.95% 11/15/34 (a)(b) | 61,314 | 58,130 | |
Class B, 1.05% 11/15/34 (a)(b) | 22,247 | 20,702 | |
Class C, 1.15% 11/15/34 (a)(b) | 36,716 | 33,859 | |
Class D, 1.52% 11/15/34 (a)(b) | 13,927 | 12,617 | |
GM Financial Automobile Leasing Trust: | |||
Series 2014-2A Class A3, 1.22% 1/22/18 (a) | 244,470 | 244,480 | |
Series 2015-1 Class A3, 1.53% 9/20/18 | 2,250,269 | 2,252,582 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2015-1 Class A1, 1.65% 5/15/20 (a) | 3,732,000 | 3,732,699 | |
Series 2016-1 Class A1, 1.86% 5/17/21 (a) | 3,160,000 | 3,157,543 | |
Series 2017-1 Class A1, 2.25% 1/18/22 (a) | 4,092,000 | 4,087,543 | |
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (a) | 19,112 | 1,526 | |
Home Equity Asset Trust: | |||
Series 2003-2 Class M1, 2.0983% 8/25/33 (b) | 29,146 | 27,455 | |
Series 2003-5 Class A2, 1.4711% 12/25/33 (b) | 2,817 | 2,700 | |
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.9683% 1/25/37 (b) | 141,116 | 101,721 | |
Hyundai Auto Lease Securitization Trust Series 2015-B Class A3, 1.4% 11/15/18 (a) | 2,966,000 | 2,967,944 | |
Hyundai Floorplan Master Owner Trust Series 2016-1A Class A2, 1.81% 3/15/21 (a) | 2,151,000 | 2,146,012 | |
KeyCorp Student Loan Trust Series 2006-A Class 2C, 2.1471% 3/27/42 (b) | 392,000 | 203,137 | |
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 1.0711% 5/25/37 (b) | 30,008 | 551 | |
Mercedes-Benz Auto Receivables Trust Series 2016-1 Class A3, 1.26% 2/16/21 | 4,798,000 | 4,758,801 | |
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.5283% 7/25/34 (b) | 11,780 | 10,432 | |
Merrill Lynch Mortgage Investors Trust: | |||
Series 2003-OPT1 Class M1, 1.7461% 7/25/34 (b) | 20,520 | 19,775 | |
Series 2006-FM1 Class A2B, 0.8883% 4/25/37 (b) | 255 | 142 | |
Series 2006-OPT1 Class A1A, 1.2911% 6/25/35 (b) | 136,243 | 131,918 | |
Morgan Stanley ABS Capital I Trust: | |||
Series 2004-HE6 Class A2, 1.4583% 8/25/34 (b) | 4,895 | 4,451 | |
Series 2004-NC8 Class M6, 2.6533% 9/25/34 (b) | 47,635 | 44,937 | |
Series 2005-NC1 Class M1, 1.4383% 1/25/35 (b) | 19,732 | 18,362 | |
Series 2005-NC2 Class B1, 2.5333% 3/25/35 (b) | 15,997 | 558 | |
Nationstar HECM Loan Trust: | |||
Series 2016-1A Class A, 2.9813% 2/25/26 (a) | 1,002,360 | 1,002,723 | |
Series 2016-3A Class A, 2.0125% 8/25/26 (a) | 3,976,828 | 3,968,989 | |
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1.2883% 9/25/35 (b) | 162,650 | 154,924 | |
Nissan Master Owner Trust Receivables: | |||
Series 2015-A Class A2, 1.44% 1/15/20 | 2,500,000 | 2,499,933 | |
Series 2016-A Class A2, 1.54% 6/15/21 | 2,442,000 | 2,415,727 | |
Park Place Securities, Inc.: | |||
Series 2004-WCW1: | |||
Class M3, 2.6461% 9/25/34 (b) | 58,372 | 56,423 | |
Class M4, 2.9461% 9/25/34 (b) | 77,891 | 49,708 | |
Series 2005-WCH1 Class M4, 2.0233% 1/25/36 (b) | 126,217 | 119,608 | |
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.5783% 4/25/33 (b) | 582 | 533 | |
Santander Drive Auto Receivables Trust Series 2014-4 Class B, 1.82% 5/15/19 | 259,586 | 259,775 | |
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.5733% 3/25/35 (b) | 63,275 | 60,572 | |
Securitized Term Auto Receivables Trust Series 2016-1A Class A3, 1.76% 3/25/20 (a) | 2,886,000 | 2,871,559 | |
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.9134% 6/15/33 (b) | 33,899 | 33,702 | |
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.5033% 9/25/34 (b) | 4,016 | 3,634 | |
Synchrony Credit Card Master Note Trust Series 2016-1 Class A, 2.04% 3/15/22 | 1,000,000 | 1,004,374 | |
TCF Auto Receivables Owner Trust Series 2016-1A Class A2, 1.39% 11/15/19 (a) | 3,396,000 | 3,393,353 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.6311% 9/25/34 (b) | 2,472 | 2,329 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.4243% 4/6/42 (a)(b) | 304,000 | 147,440 | |
Verizon Owner Trust: | |||
Series 2016-1A Class A, 1.42% 1/20/21 (a) | 4,069,000 | 4,038,157 | |
Series 2016-2A Class A, 1.68% 5/20/21 (a) | 5,279,000 | 5,251,647 | |
Volkswagen Credit Auto Master Trust Series 2014-1A Class A2, 1.4% 7/22/19 (a) | 3,104,000 | 3,101,492 | |
Volvo Financial Equipment LLC Series 2015-1A Class A3, 1.51% 6/17/19 (a) | 2,037,952 | 2,038,767 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $191,754,794) | 192,280,837 | ||
Collateralized Mortgage Obligations - 1.2% | |||
Private Sponsor - 0.3% | |||
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 3.0732% 5/27/35 (a)(b) | 421,852 | 433,405 | |
CSAIL Commercial Mortgage Trust Series 2015-C2 Class ASB, 3.2241% 6/15/57 | 1,352,000 | 1,394,287 | |
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.9261% 2/25/37 (b) | 49,611 | 47,170 | |
Mortgage Repurchase Agreement Funding Trust floater Series 2016-5 Class A, 1.9417% 6/10/19 (a)(b) | 7,000,000 | 6,998,663 | |
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 2.8826% 11/25/25 (a) | 455,422 | 455,604 | |
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: | |||
Class B5, 3.1133% 6/10/35 (a)(b) | 30,697 | 22,339 | |
Class B6, 3.6133% 6/10/35 (a)(b) | 51,067 | 30,819 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 2.1999% 7/20/34 (b) | 2,368 | 2,326 | |
TOTAL PRIVATE SPONSOR | 9,384,613 | ||
U.S. Government Agency - 0.9% | |||
Fannie Mae: | |||
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27 | 249,482 | 258,640 | |
planned amortization class Series 2015-28 Class P, 2.5% 5/25/45 | 6,460,050 | 6,479,509 | |
Series 2014-57 Class A, 3% 9/25/44 | 1,750,182 | 1,769,140 | |
Series 2015-28 Class JE, 3% 5/25/45 | 4,563,014 | 4,673,911 | |
Freddie Mac: | |||
planned amortization class Series 3820 Class DA, 4% 11/15/35 | 181,452 | 186,120 | |
Series 3777 Class AC, 3.5% 12/15/25 | 391,174 | 403,071 | |
Series 3949 Class MK, 4.5% 10/15/34 | 170,099 | 180,039 | |
Series 4472 Class WL, 3% 5/15/45 | 2,070,141 | 2,120,084 | |
Ginnie Mae guaranteed REMIC pass-thru certificates Series 2015-H17 Class HA, 2.5% 5/20/65 (c) | 6,910,542 | 6,982,875 | |
TOTAL U.S. GOVERNMENT AGENCY | 23,053,389 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $32,782,782) | 32,438,002 | ||
Commercial Mortgage Securities - 5.5% | |||
7 WTC Depositor LLC Trust Series 2012-7WTC Class A, 4.0824% 3/13/31 (a) | 255,668 | 258,940 | |
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.6783% 2/14/43 (b)(d) | 22,110 | 283 | |
Banc of America Commercial Mortgage Trust sequential payer Series 2007-5 Class A4, 5.492% 2/10/51 | 2,116,198 | 2,132,720 | |
Bank of America Commercial Mortgage Trust Series 2016-UB10 Class A2, 2.612% 7/15/49 | 2,685,000 | 2,714,296 | |
Barclays Commercial Mortgage Securities LLC: | |||
floater Series 2015-RRI Class A, 1.92% 5/15/32 (a)(b) | 1,927,035 | 1,927,098 | |
Series 2015-STP Class A, 3.3228% 9/10/28 (a) | 7,408,000 | 7,595,548 | |
Bayview Commercial Asset Trust floater: | |||
Series 2003-2 Class M1, 2.0533% 12/25/33 (a)(b) | 2,766 | 2,575 | |
Series 2005-4A: | |||
Class A2, 1.1683% 1/25/36 (a)(b) | 71,524 | 62,423 | |
Class B1, 2.1783% 1/25/36 (a)(b) | 3,182 | 2,486 | |
Class M1, 1.2283% 1/25/36 (a)(b) | 23,072 | 19,403 | |
Class M2, 1.2483% 1/25/36 (a)(b) | 6,922 | 5,668 | |
Class M3, 1.2783% 1/25/36 (a)(b) | 10,109 | 8,239 | |
Class M4, 1.3883% 1/25/36 (a)(b) | 5,591 | 4,698 | |
Class M5, 1.4283% 1/25/36 (a)(b) | 5,591 | 4,195 | |
Class M6, 1.4783% 1/25/36 (a)(b) | 5,938 | 4,487 | |
Series 2006-3A Class M4, 1.2083% 10/25/36 (a)(b) | 3,044 | 2,546 | |
Series 2007-1 Class A2, 1.0483% 3/25/37 (a)(b) | 47,244 | 41,041 | |
Series 2007-2A: | |||
Class A1, 1.0261% 7/25/37 (a)(b) | 49,933 | 43,237 | |
Class A2, 1.0761% 7/25/37 (a)(b) | 46,683 | 40,071 | |
Class M1, 1.1261% 7/25/37 (a)(b) | 16,393 | 12,734 | |
Class M2, 1.1661% 7/25/37 (a)(b) | 8,856 | 6,847 | |
Class M3, 1.2461% 7/25/37 (a)(b) | 6,925 | 4,940 | |
Series 2007-3: | |||
Class A2, 1.0461% 7/25/37 (a)(b) | 43,117 | 36,333 | |
Class M1, 1.0661% 7/25/37 (a)(b) | 9,565 | 7,542 | |
Class M2, 1.0961% 7/25/37 (a)(b) | 10,262 | 7,826 | |
Class M3, 1.1261% 7/25/37 (a)(b) | 15,831 | 11,804 | |
Class M4, 1.2561% 7/25/37 (a)(b) | 25,048 | 16,803 | |
Class M5, 1.3561% 7/25/37 (a)(b) | 12,252 | 6,383 | |
Series 2007-4A Class M1, 1.7283% 9/25/37 (a)(b) | 5,844 | 1,438 | |
C-BASS Trust floater Series 2006-SC1 Class A, 1.0411% 5/25/36 (a)(b) | 3,239 | 3,226 | |
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44 | 543,325 | 550,650 | |
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 2.167% 12/15/27 (a)(b) | 4,978,314 | 4,989,211 | |
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class A, 2.808% 4/10/28 (a) | 6,819,000 | 6,926,598 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer Series 2012-GC8 Class A4, 3.024% 9/10/45 | 837,000 | 856,074 | |
Series 2015-GC29 Class A2, 2.674% 4/10/48 | 1,388,000 | 1,407,214 | |
Series 2016-P4 Class A2, 2.446% 7/10/49 | 1,073,000 | 1,076,970 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2012-LC4 Class A4, 3.288% 12/10/44 | 1,684,000 | 1,742,445 | |
Series 2015-CR23 Class ASB, 3.257% 5/10/48 | 1,587,000 | 1,642,814 | |
Series 2013-LC6 Class ASB, 2.478% 1/10/46 | 2,180,000 | 2,202,381 | |
Series 2014-CR15 Class A2, 2.928% 2/10/47 | 3,957,000 | 4,033,178 | |
Series 2014-CR17 Class A2, 3.012% 5/10/47 | 790,000 | 805,080 | |
Series 2014-CR20 Class A2, 2.801% 11/10/47 | 987,000 | 1,006,039 | |
Series 2014-UBS3 Class A2, 2.844% 6/10/47 | 1,960,000 | 1,995,264 | |
Series 2015-CR22 Class A2, 2.856% 3/10/48 | 953,000 | 973,263 | |
Commercial Mortgage Loan Trust Series 2008-LS1 Class A1A, 6.096% 12/10/49 (b) | 3,033,558 | 3,085,933 | |
Credit Suisse Commercial Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.6696% 6/15/39 (b) | 544,377 | 545,631 | |
CSMC Series 2015-TOWN: | |||
Class B, 2.6672% 3/15/28 (a)(b) | 264,000 | 263,666 | |
Class C, 3.0172% 3/15/28 (a)(b) | 257,000 | 256,827 | |
Class D, 3.9672% 3/15/28 (a)(b) | 1,003,000 | 1,003,044 | |
GAHR Commercial Mortgage Trust: | |||
floater Series 2015-NRF Class AFL1, 2.004% 12/15/34 (a)(b) | 934,453 | 938,125 | |
Series 2015-NRF: | |||
Class BFX, 3.3822% 12/15/34 (a)(b) | 2,358,850 | 2,411,790 | |
Class CFX, 3.3822% 12/15/34 (a)(b) | 1,059,000 | 1,078,495 | |
GE Capital Commercial Mortgage Corp.: | |||
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | 111,921 | 111,877 | |
Series 2007-C1 Class A1A, 5.483% 12/10/49 | 1,734,119 | 1,734,508 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2014-GSFL Class A, 1.7672% 7/15/31 (a)(b) | 165,988 | 164,668 | |
Series 2016-ICE2 Class A, 2.6972% 2/15/33 (a)(b) | 2,828,000 | 2,853,718 | |
sequential payer: | |||
Series 2012-GCJ7 Class A4, 3.377% 5/10/45 | 2,553,000 | 2,659,529 | |
Series 2012-GCJ9 Class A3, 2.773% 11/10/45 | 3,718,000 | 3,748,751 | |
Series 2013-GC10: | |||
Class A4, 2.681% 2/10/46 | 1,061,000 | 1,061,934 | |
Class A5, 2.943% 2/10/46 | 2,028,000 | 2,053,520 | |
Series 2014-GC18 Class AAB, 3.648% 1/10/47 | 702,000 | 737,342 | |
Series 2014-GC20 Class AAB, 3.655% 4/10/47 | 817,000 | 858,742 | |
Series 2015-GC28 Class AAB, 3.206% 2/10/48 | 1,764,000 | 1,819,694 | |
Series 2015-GC32 Class A2, 3.062% 7/10/48 | 2,500,000 | 2,566,337 | |
JP Morgan Chase Commercial Mortgage Securities Trust Series 2015-JP1 Class A2, 3.1438% 1/15/49 | 1,975,000 | 2,035,465 | |
JPMBB Commercial Mortgage Securities sequential payer Series 2014-C25 Class ASB, 3.4074% 11/15/47 | 1,831,000 | 1,912,557 | |
JPMBB Commercial Mortgage Securities Trust sequential payer Series 2013-C17 Class ASB, 3.705% 1/15/47 | 895,000 | 944,186 | |
JPMBB Commercial Mortgage Secutities Trust Series 2015-C29 Class A2, 2.9213% 5/15/48 | 1,567,000 | 1,602,503 | |
JPMCC Commercial Mortgage Securities Trust sequential payer Series 2016-JP4 Class A2, 2.9343% 12/15/49 | 3,027,000 | 3,100,468 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater: | |||
Series 2014-BXH Class A, 1.67% 4/15/27 (a)(b) | 1,012,823 | 1,001,243 | |
Series 2014-FL5 Class A, 1.7472% 7/15/31 (a)(b) | 1,056,206 | 1,058,546 | |
sequential payer: | |||
Series 2007-CB19 Class A4, 5.7342% 2/12/49 (b) | 1,229,212 | 1,230,601 | |
Series 2007-LD11 Class A4, 5.7592% 6/15/49 (b) | 16,194 | 16,227 | |
Series 2007-LDPX Class A3, 5.42% 1/15/49 | 357,670 | 357,387 | |
Series 2011-C3 Class A3, 4.3877% 2/15/46 (a) | 1,502,369 | 1,538,312 | |
Series 2016-WP Class TA, 2.2172% 10/15/33 (a)(b) | 1,811,000 | 1,827,959 | |
LB-UBS Commercial Mortgage Trust Series 2007-C7 Class A3, 5.866% 9/15/45 | 1,104,249 | 1,124,266 | |
Morgan Stanley BAML Trust: | |||
sequential payer Series 2012-C6 Class A4, 2.858% 11/15/45 | 4,544,000 | 4,616,954 | |
Series 2014-C14 Class A2, 2.916% 2/15/47 | 817,000 | 831,106 | |
Series 2015-C22 Class ASB, 3.04% 4/15/48 | 1,170,000 | 1,192,556 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2006-XLF Class C, 1.97% 7/15/19 (a)(b) | 40,774 | 40,815 | |
sequential payer: | |||
Series 2011-C1 Class A4, 5.033% 9/15/47 (a)(b) | 6,000,000 | 6,554,941 | |
Series 2011-C2 Class A4, 4.661% 6/15/44 (a) | 2,725,000 | 2,964,610 | |
Series 2007-IQ14 Class A4, 5.692% 4/15/49 | 728,639 | 728,034 | |
Series 2007-T27 Class A1A, 5.6411% 6/11/42 (b) | 508,833 | 512,200 | |
MSCG Trust Series 2016-SNR: | |||
Class A, 3.348% 11/15/34 (a)(b) | 2,922,000 | 2,916,932 | |
Class B, 4.181% 11/15/34 (a) | 1,031,000 | 1,031,068 | |
SCG Trust Series 2013-SRP1 Class A, 2.3539% 11/15/26 (a)(b) | 2,027,000 | 2,026,363 | |
UBS-Barclays Commercial Mortgage Trust sequential payer Series 2012-C2 Class A4, 3.525% 5/10/63 | 2,703,000 | 2,836,357 | |
Wachovia Bank Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2007-34 Class A1A, 5.608% 5/15/46 | 6,095,886 | 6,165,010 | |
Series 2007-C32 Class A3, 5.7165% 6/15/49 (b) | 1,032,233 | 1,034,807 | |
Series 2007-C33: | |||
Class A4, 5.9654% 2/15/51 (b) | 1,058,073 | 1,060,121 | |
Class A5, 5.9654% 2/15/51 (b) | 143,000 | 144,338 | |
Series 2006-C26 Class A1A, 6.009% 6/15/45 (b) | 58,284 | 58,167 | |
Waldorf Astoria Boca Raton Trust floater Series 2016-BOCA Class A, 2.1172% 6/15/29 (a)(b) | 2,645,000 | 2,654,361 | |
Wells Fargo Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2012-LC5 Class A3, 2.918% 10/15/45 | 762,000 | 775,340 | |
Series 2015-C27 Class ASB, 3.278% 2/15/48 | 1,373,000 | 1,414,674 | |
Series 2016-C35 Class A2, 2.495% 7/15/48 | 859,000 | 862,744 | |
Wells Fargo Commercial Mtg Trust 2016-C sequential payer Series 2016-C37 Class A1, 3.03% 12/15/49 | 2,128,000 | 2,190,522 | |
WF-RBS Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2011-C2 Class A4, 4.869% 2/15/44 (a)(b) | 4,245,000 | 4,615,289 | |
Series 2013-C12 Class ASB, 2.838% 3/15/48 | 541,000 | 550,462 | |
Series 2013-C16 Class ASB, 3.963% 9/15/46 | 1,101,000 | 1,166,247 | |
Series 2013-C11 Class ASB, 2.63% 3/15/45 | 1,310,000 | 1,323,979 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $144,596,471) | 143,164,859 | ||
Municipal Securities - 0.3% | |||
Illinois Gen. Oblig.: | |||
Series 2003, 4.95% 6/1/23 | $2,645,000 | $2,701,339 | |
Series 2011: | |||
5.665% 3/1/18 | 630,000 | 649,832 | |
5.877% 3/1/19 | 4,715,000 | 4,976,871 | |
Series 2013, 2.69% 12/1/17 | 500,000 | 499,720 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $8,831,811) | 8,827,762 | ||
Bank Notes - 1.9% | |||
Bank of America NA 1.75% 6/5/18 | 2,000,000 | 2,006,164 | |
Capital One Bank U.S.A. NA 2.25% 2/13/19 | 1,000,000 | 1,004,514 | |
Capital One NA: | |||
1.65% 2/5/18 | 3,000,000 | 3,001,881 | |
1.85% 9/13/19 | 3,000,000 | 2,979,096 | |
Citizens Bank NA 2.3% 12/3/18 | 1,384,000 | 1,391,503 | |
Discover Bank: | |||
(Delaware) 3.2% 8/9/21 | 2,000,000 | 2,024,584 | |
3.1% 6/4/20 | 3,590,000 | 3,653,539 | |
Fifth Third Bank: | |||
2.375% 4/25/19 | 2,000,000 | 2,021,458 | |
2.875% 10/1/21 | 2,000,000 | 2,027,362 | |
First Tennessee Bank NA, Memphis 2.95% 12/1/19 | 5,000,000 | 5,057,940 | |
KeyBank NA: | |||
1.65% 2/1/18 | 397,000 | 397,856 | |
2.35% 3/8/19 | 2,000,000 | 2,018,182 | |
2.5% 12/15/19 | 3,783,000 | 3,826,187 | |
Manufacturers & Traders Trust Co.: | |||
2.1% 2/6/20 | 3,000,000 | 3,000,759 | |
2.3% 1/30/19 | 1,100,000 | 1,111,672 | |
RBS Citizens NA 2.5% 3/14/19 | 1,153,000 | 1,162,685 | |
Regions Bank 7.5% 5/15/18 | 250,000 | 265,884 | |
Regions Financial Corp. 2.25% 9/14/18 | 4,000,000 | 4,016,548 | |
The Toronto-Dominion Bank 2.125% 7/2/19 | 5,000,000 | 5,031,545 | |
U.S. Bank NA 2.125% 10/28/19 | 2,186,000 | 2,199,577 | |
Wachovia Bank NA 6% 11/15/17 | 570,000 | 587,947 | |
TOTAL BANK NOTES | |||
(Cost $48,506,206) | 48,786,883 | ||
Commercial Paper - 0.2% | |||
Vodafone Group PLC yankee 1.6% 9/12/17 | |||
(Cost $4,956,667) | 5,000,000 | 4,958,078 | |
Shares | Value | ||
Fixed-Income Funds - 0.7% | |||
Fidelity Specialized High Income Central Fund (e) | |||
(Cost $17,887,381) | 172,450 | 17,881,321 | |
Money Market Funds - 1.1% | |||
Fidelity Cash Central Fund, 0.60% (f) | |||
(Cost $29,991,559) | 29,984,894 | 29,990,891 | |
TOTAL INVESTMENT PORTFOLIO - 100.0% | |||
(Cost $2,612,100,869) | 2,612,389,511 | ||
NET OTHER ASSETS (LIABILITIES) - 0.0% | (485,054) | ||
NET ASSETS - 100% | $2,611,904,457 |
Legend
(a) 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 $421,669,027 or 16.1% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) 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.
(d) 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.
(e) 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 are available on the SEC's website or upon request.
(f) 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 are available on the SEC's website or upon request.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $119,730 |
Fidelity Specialized High Income Central Fund | 474,630 |
Total | $594,360 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, end of period | % ownership, end of period |
Fidelity Specialized High Income Central Fund | $17,246,563 | $523,627 | $-- | $17,881,321 | 2.3% |
Total | $17,246,563 | $523,627 | $-- | $17,881,321 |
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2017, 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 |
Investments in Securities: | ||||
Corporate Bonds | $1,823,746,496 | $-- | $1,823,746,496 | $-- |
U.S. Government and Government Agency Obligations | 300,566,234 | -- | 300,566,234 | -- |
U.S. Government Agency - Mortgage Securities | 9,748,148 | -- | 9,748,148 | -- |
Asset-Backed Securities | 192,280,837 | -- | 192,133,370 | 147,467 |
Collateralized Mortgage Obligations | 32,438,002 | -- | 32,384,844 | 53,158 |
Commercial Mortgage Securities | 143,164,859 | -- | 143,164,859 | -- |
Municipal Securities | 8,827,762 | -- | 8,827,762 | -- |
Bank Notes | 48,786,883 | -- | 48,786,883 | -- |
Commercial Paper | 4,958,078 | -- | 4,958,078 | -- |
Fixed-Income Funds | 17,881,321 | 17,881,321 | -- | -- |
Money Market Funds | 29,990,891 | 29,990,891 | -- | -- |
Total Investments in Securities: | $2,612,389,511 | $47,872,212 | $2,564,316,674 | $200,625 |
Other Information
Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):
United States of America | 82.7% |
United Kingdom | 4.5% |
Canada | 2.6% |
Japan | 2.0% |
Netherlands | 1.9% |
Ireland | 1.4% |
France | 1.0% |
Others (Individually Less Than 1%) | 3.9% |
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
February 28, 2017 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $2,564,221,929) | $2,564,517,299 | |
Fidelity Central Funds (cost $47,878,940) | 47,872,212 | |
Total Investments (cost $2,612,100,869) | $2,612,389,511 | |
Cash | 48,029 | |
Receivable for investments sold | 30,097,098 | |
Receivable for fund shares sold | 6,132,648 | |
Interest receivable | 14,713,110 | |
Distributions receivable from Fidelity Central Funds | 14,895 | |
Total assets | 2,663,395,291 | |
Liabilities | ||
Payable for investments purchased | $42,429,706 | |
Payable for fund shares redeemed | 7,551,997 | |
Distributions payable | 295,710 | |
Accrued management fee | 670,793 | |
Distribution and service plan fees payable | 184,394 | |
Other affiliated payables | 358,223 | |
Other payables and accrued expenses | 11 | |
Total liabilities | 51,490,834 | |
Net Assets | $2,611,904,457 | |
Net Assets consist of: | ||
Paid in capital | $2,629,394,538 | |
Undistributed net investment income | 2,859,060 | |
Accumulated undistributed net realized gain (loss) on investments | (20,637,783) | |
Net unrealized appreciation (depreciation) on investments | 288,642 | |
Net Assets | $2,611,904,457 | |
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($350,392,435 ÷ 30,580,526 shares) | $11.46 | |
Maximum offering price per share (100/97.25 of $11.46) | $11.78 | |
Class T: | ||
Net Asset Value and redemption price per share ($181,220,878 ÷ 15,806,916 shares) | $11.46 | |
Maximum offering price per share (100/97.25 of $11.46) | $11.78 | |
Class C: | ||
Net Asset Value and offering price per share ($86,869,764 ÷ 7,598,862 shares)(a) | $11.43 | |
Fidelity Limited Term Bond Fund: | ||
Net Asset Value, offering price and redemption price per share ($1,440,821,686 ÷ 125,428,835 shares) | $11.49 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($552,599,694 ÷ 48,096,609 shares) | $11.49 |
(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
Six months ended February 28, 2017 (Unaudited) | ||
Investment Income | ||
Interest | $26,375,500 | |
Income from Fidelity Central Funds | 594,360 | |
Total income | 26,969,860 | |
Expenses | ||
Management fee | $4,013,226 | |
Transfer agent fees | 1,620,782 | |
Distribution and service plan fees | 1,155,471 | |
Fund wide operations fee | 520,666 | |
Independent trustees' fees and expenses | 5,323 | |
Miscellaneous | 4,125 | |
Total expenses before reductions | 7,319,593 | |
Expense reductions | (1,056) | 7,318,537 |
Net investment income (loss) | 19,651,323 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (1,306,537) | |
Fidelity Central Funds | 16,241 | |
Swaps | 11 | |
Capital gain distributions from Fidelity Central Funds | 48,996 | |
Total net realized gain (loss) | (1,241,289) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (24,358,149) | |
Swaps | 6 | |
Total change in net unrealized appreciation (depreciation) | (24,358,143) | |
Net gain (loss) | (25,599,432) | |
Net increase (decrease) in net assets resulting from operations | $(5,948,109) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 28, 2017 (Unaudited) | Year ended August 31, 2016 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $19,651,323 | $34,135,463 |
Net realized gain (loss) | (1,241,289) | 1,996,257 |
Change in net unrealized appreciation (depreciation) | (24,358,143) | 23,804,916 |
Net increase (decrease) in net assets resulting from operations | (5,948,109) | 59,936,636 |
Distributions to shareholders from net investment income | (18,244,496) | (32,385,208) |
Share transactions - net increase (decrease) | 130,592,541 | 747,404,314 |
Total increase (decrease) in net assets | 106,399,936 | 774,955,742 |
Net Assets | ||
Beginning of period | 2,505,504,521 | 1,730,548,779 |
End of period | $2,611,904,457 | $2,505,504,521 |
Other Information | ||
Undistributed net investment income end of period | $2,859,060 | $1,452,233 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class A
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.56 | $11.42 | $11.52 | $11.33 | $11.69 | $11.45 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .076 | .179 | .170 | .232 | .243 | .289 |
Net realized and unrealized gain (loss) | (.106) | .132 | (.111) | .160 | (.384) | .215 |
Total from investment operations | (.030) | .311 | .059 | .392 | (.141) | .504 |
Distributions from net investment income | (.070) | (.171) | (.159) | (.202) | (.219) | (.264) |
Total distributions | (.070) | (.171) | (.159) | (.202) | (.219) | (.264) |
Net asset value, end of period | $11.46 | $11.56 | $11.42 | $11.52 | $11.33 | $11.69 |
Total ReturnB,C,D | (.26)% | 2.75% | .51% | 3.48% | (1.24)% | 4.46% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | .76%G | .76% | .76% | .79% | .82% | .83% |
Expenses net of fee waivers, if any | .76%G | .76% | .76% | .79% | .82% | .83% |
Expenses net of all reductions | .76%G | .76% | .76% | .79% | .82% | .83% |
Net investment income (loss) | 1.34%G | 1.56% | 1.48% | 2.02% | 2.09% | 2.52% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $350,392 | $362,481 | $304,040 | $215,800 | $155,980 | $192,761 |
Portfolio turnover rateH | 39%G | 50% | 44% | 94% | 112% | 129% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E 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%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H 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 Limited Term Bond Fund Class T
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.57 | $11.42 | $11.53 | $11.34 | $11.70 | $11.45 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .076 | .178 | .170 | .234 | .246 | .292 |
Net realized and unrealized gain (loss) | (.117) | .142 | (.121) | .161 | (.384) | .225 |
Total from investment operations | (.041) | .320 | .049 | .395 | (.138) | .517 |
Distributions from net investment income | (.069) | (.170) | (.159) | (.205) | (.222) | (.267) |
Total distributions | (.069) | (.170) | (.159) | (.205) | (.222) | (.267) |
Net asset value, end of period | $11.46 | $11.57 | $11.42 | $11.53 | $11.34 | $11.70 |
Total ReturnB,C,D | (.35)% | 2.83% | .42% | 3.50% | (1.21)% | 4.57% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | .77%G | .76% | .76% | .77% | .80% | .80% |
Expenses net of fee waivers, if any | .77%G | .76% | .76% | .77% | .80% | .80% |
Expenses net of all reductions | .77%G | .76% | .76% | .77% | .80% | .80% |
Net investment income (loss) | 1.33%G | 1.56% | 1.48% | 2.04% | 2.11% | 2.54% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $181,221 | $191,505 | $193,612 | $198,510 | $210,150 | $265,426 |
Portfolio turnover rateH | 39%G | 50% | 44% | 94% | 112% | 129% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E 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%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H 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 Limited Term Bond Fund Class C
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.54 | $11.39 | $11.50 | $11.31 | $11.67 | $11.42 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .032 | .090 | .081 | .143 | .155 | .204 |
Net realized and unrealized gain (loss) | (.117) | .142 | (.121) | .162 | (.384) | .225 |
Total from investment operations | (.085) | .232 | (.040) | .305 | (.229) | .429 |
Distributions from net investment income | (.025) | (.082) | (.070) | (.115) | (.131) | (.179) |
Total distributions | (.025) | (.082) | (.070) | (.115) | (.131) | (.179) |
Net asset value, end of period | $11.43 | $11.54 | $11.39 | $11.50 | $11.31 | $11.67 |
Total ReturnB,C,D | (.73)% | 2.05% | (.35)% | 2.70% | (1.98)% | 3.79% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | 1.54%G | 1.53% | 1.54% | 1.56% | 1.58% | 1.57% |
Expenses net of fee waivers, if any | 1.54%G | 1.53% | 1.54% | 1.56% | 1.58% | 1.57% |
Expenses net of all reductions | 1.54%G | 1.53% | 1.54% | 1.56% | 1.58% | 1.57% |
Net investment income (loss) | .56%G | .79% | .71% | 1.25% | 1.34% | 1.78% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $86,870 | $97,987 | $81,929 | $64,333 | $53,096 | $65,425 |
Portfolio turnover rateH | 39%G | 50% | 44% | 94% | 112% | 129% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E 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%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H 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 Limited Term Bond Fund
Six months ended (Unaudited) February 28, | Years ended August 31, | |||
2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | ||||
Net asset value, beginning of period | $11.59 | $11.45 | $11.55 | $11.50 |
Income from Investment Operations | ||||
Net investment income (loss)B | .094 | .214 | .205 | .209 |
Net realized and unrealized gain (loss) | (.106) | .133 | (.110) | .038 |
Total from investment operations | (.012) | .347 | .095 | .247 |
Distributions from net investment income | (.088) | (.207) | (.195) | (.197) |
Total distributions | (.088) | (.207) | (.195) | (.197) |
Net asset value, end of period | $11.49 | $11.59 | $11.45 | $11.55 |
Total ReturnC,D | (.11)% | 3.06% | .83% | 2.17% |
Ratios to Average Net AssetsE,F | ||||
Expenses before reductions | .45%G | .45% | .45% | .46%G |
Expenses net of fee waivers, if any | .45%G | .45% | .45% | .46%G |
Expenses net of all reductions | .45%G | .45% | .45% | .46%G |
Net investment income (loss) | 1.64%G | 1.87% | 1.79% | 2.22%G |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $1,440,822 | $1,315,947 | $758,240 | $147,629 |
Portfolio turnover rateH | 39%G | 50% | 44% | 94% |
A For the period November 1, 2013 (commencement of sale of shares) to August 31, 2014.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H 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 Limited Term Bond Fund Class I
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.60 | $11.45 | $11.55 | $11.36 | $11.72 | $11.48 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .091 | .209 | .200 | .262 | .273 | .319 |
Net realized and unrealized gain (loss) | (.116) | .142 | (.111) | .161 | (.385) | .213 |
Total from investment operations | (.025) | .351 | .089 | .423 | (.112) | .532 |
Distributions from net investment income | (.085) | (.201) | (.189) | (.233) | (.248) | (.292) |
Total distributions | (.085) | (.201) | (.189) | (.233) | (.248) | (.292) |
Net asset value, end of period | $11.49 | $11.60 | $11.45 | $11.55 | $11.36 | $11.72 |
Total ReturnB,C | (.22)% | 3.10% | .78% | 3.74% | (.99)% | 4.71% |
Ratios to Average Net AssetsD,E | ||||||
Expenses before reductions | .50%F | .50% | .50% | .53% | .57% | .58% |
Expenses net of fee waivers, if any | .50%F | .50% | .50% | .53% | .57% | .58% |
Expenses net of all reductions | .50%F | .50% | .50% | .53% | .57% | .58% |
Net investment income (loss) | 1.60%F | 1.82% | 1.74% | 2.28% | 2.34% | 2.77% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $552,600 | $537,585 | $391,808 | $174,568 | $84,843 | $101,234 |
Portfolio turnover rateG | 39%F | 50% | 44% | 94% | 112% | 129% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D 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 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Annualized
G 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 (Unaudited)
For the period ended February 28, 2017
1. Organization.
Fidelity Advisor Limited Term Bond 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, Fidelity Limited Term Bond 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.
After the close of business on June 24, 2016, all outstanding Class B shares were converted to Class A shares. All prior fiscal period dollar and share amounts for Class B presented in the Notes to Financial Statements are for the period September 1, 2015 through June 24, 2016.
In March 2017, the Board of Trustees approved a change in the name of Class T to Class M effective after the close of business on March 24, 2017.
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 Specialized High Income Central Fund | FMR Co., Inc. (FMRC) | Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. | Delayed Delivery & When Issued 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 fidelity.com and/or institutional.fidelity.com, as applicable. 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 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 Fund's investments to the Fair Value Committee (the Committee) established by the Fund's 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 Fund's 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 Fund's 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 notes, municipal securities, U.S. government and government agency obligations and commercial paper 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. Asset backed securities, 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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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 February 28, 2017 is included at the end of the Fund's Schedule of Investments.
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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. 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. 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.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to swaps, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $16,028,851 |
Gross unrealized depreciation | (13,009,531) |
Net unrealized appreciation (depreciation) on securities | $3,019,320 |
Tax cost | $2,609,370,191 |
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 prior fiscal period end and is subject to adjustment.
Fiscal year of expiration |
2018 | $(17,480,764) |
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.
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 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:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments.
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) |
Credit Risk | ||
Swaps | $11 | $6 |
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.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
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".
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
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 $478,100,979 and $246,997,383, 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 .20% 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 annualized management fee rate was .31% 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% | $452,755 | $71,023 |
Class T | -% | .25% | 233,620 | 3,946 |
Class C | .75% | .25% | 469,096 | 75,235 |
$1,155,471 | $150,204 |
Sales Load. FDC may receive a front-end sales charge of up to 2.75% 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, and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, .75% or .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained by FDC | |
Class A | $22,655 |
Class T | 2,231 |
Class C(a) | 7,481 |
$32,367 |
(a) When 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 each respective class of the Fund, with the exception of Fidelity Limited Term Bond. FIIOC receives an asset-based fee of .10% of Fidelity Limited Term Bond's average net assets. 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(a) | |
Class A | $277,325 | .15 |
Class T | 152,463 | .16 |
Class C | 84,181 | .18 |
Fidelity Limited Term Bond Fund | 700,434 | .10 |
Class I | 406,379 | .15 |
$1,620,782 |
(a) Annualized
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% of the Fund's average net assets less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .04% of average net assets.
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 $4,125 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. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $1,056.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2017 | Year ended August 31, 2016 | |
From net investment income | ||
Class A | $2,203,192 | $4,761,029 |
Class T | 1,129,275 | 2,871,639 |
Class B | – | 5,842 |
Class C | 207,140 | 692,331 |
Fidelity Limited Term Bond Fund | 10,652,016 | 16,082,729 |
Class I | 4,052,873 | 7,971,638 |
Total | $18,244,496 | $32,385,208 |
10. 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 | |
Six months ended February 28, 2017 | Year ended August 31, 2016 | Six months ended February 28, 2017 | Year ended August 31, 2016 | |
Class A | ||||
Shares sold | 8,791,872 | 20,292,208 | $100,926,187 | $232,299,567 |
Reinvestment of distributions | 178,454 | 383,701 | 2,047,136 | 4,391,933 |
Shares redeemed | (9,736,929) | (15,960,237) | (111,583,394) | (182,641,693) |
Net increase (decrease) | (766,603) | 4,715,672 | $(8,610,071) | $54,049,807 |
Class T | ||||
Shares sold | 1,893,817 | 5,184,484 | $21,760,157 | $59,323,000 |
Reinvestment of distributions | 91,688 | 235,748 | 1,052,153 | 2,698,835 |
Shares redeemed | (2,730,291) | (5,817,689) | (31,339,034) | (66,587,159) |
Net increase (decrease) | (744,786) | (397,457) | $(8,526,724) | $(4,565,324) |
Class B | ||||
Shares sold | – | 32,756 | $– | $373,130 |
Reinvestment of distributions | – | 438 | – | 4,985 |
Shares redeemed | – | (113,795) | – | (1,305,693) |
Net increase (decrease) | – | (80,601) | $– | $(927,578) |
Class C | ||||
Shares sold | 1,205,104 | 5,293,797 | $13,809,920 | $60,296,153 |
Reinvestment of distributions | 16,289 | 53,649 | 186,445 | 611,667 |
Shares redeemed | (2,115,727) | (4,047,030) | (24,182,450) | (46,268,973) |
Net increase (decrease) | (894,334) | 1,300,416 | $(10,186,085) | $14,638,847 |
Fidelity Limited Term Bond Fund | ||||
Shares sold | 44,943,714 | 83,235,883 | $517,100,035 | $957,055,992 |
Reinvestment of distributions | 846,599 | 1,273,968 | 9,736,363 | 14,633,176 |
Shares redeemed | (33,875,210) | (37,243,869) | (388,954,021) | (427,177,020) |
Net increase (decrease) | 11,915,103 | 47,265,982 | $137,882,377 | $544,512,148 |
Class I | ||||
Shares sold | 13,606,947 | 29,985,672 | $156,431,604 | $344,469,999 |
Reinvestment of distributions | 290,863 | 549,729 | 3,345,747 | 6,312,028 |
Shares redeemed | (12,164,360) | (18,397,774) | (139,744,307) | (211,085,613) |
Net increase (decrease) | 1,733,450 | 12,137,627 | $20,033,044 | $139,696,414 |
11. 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.
12. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
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 (September 1, 2016 to February 28, 2017).
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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. 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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. 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 September 1, 2016 | Ending Account Value February 28, 2017 | Expenses Paid During Period-B September 1, 2016 to February 28, 2017 | |
Class A | .76% | |||
Actual | $1,000.00 | $997.40 | $3.76 | |
Hypothetical-C | $1,000.00 | $1,021.03 | $3.81 | |
Class T | .77% | |||
Actual | $1,000.00 | $996.50 | $3.81 | |
Hypothetical-C | $1,000.00 | $1,020.98 | $3.86 | |
Class C | 1.54% | |||
Actual | $1,000.00 | $992.70 | $7.61 | |
Hypothetical-C | $1,000.00 | $1,017.16 | $7.70 | |
Fidelity Limited Term Bond Fund | .45% | |||
Actual | $1,000.00 | $998.90 | $2.23 | |
Hypothetical-C | $1,000.00 | $1,022.56 | $2.26 | |
Class I | .50% | |||
Actual | $1,000.00 | $997.80 | $2.48 | |
Hypothetical-C | $1,000.00 | $1,022.32 | $2.51 |
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 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in 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
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Limited Term Bond 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 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 a securities market index ("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; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; 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" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. 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 Limited Term Bond Fund
![](https://capedge.com/proxy/N-CSRS/0001379491-17-002787/img235204462.jpg)
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
BTL-SANN-0417
1.9584918.103
Fidelity Advisor® Mortgage Securities Fund Semi-Annual Report February 28, 2017 |
![]() |
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.
Investment Summary (Unaudited)
Coupon Distribution as of February 28, 2017
% of fund's investments | % of fund's investments 6 months ago | |
Zero coupon bonds | 0.0 | 0.0 |
0.01 - 0.99% | 1.0 | 1.6 |
1 - 1.99% | 4.5 | 4.3 |
2 - 2.99% | 5.9 | 7.9 |
3 - 3.99% | 52.7 | 45.1 |
4 - 4.99% | 20.9 | 24.8 |
5 - 5.99% | 6.1 | 7.7 |
6 - 6.99% | 1.9 | 1.4 |
7% and above | 1.0 | 1.1 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
Asset Allocation (% of fund's net assets)
As of February 28, 2017* | ||
Mortgage Securities | 90.0% | |
CMOs and Other Mortgage Related Securities | 17.3% | |
Asset-Backed Securities | 3.7% | |
Short-Term Investments and Net Other Assets (Liabilities)** | (11.0)% |
* Futures and Swaps - 2.7%
** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
As of August 31, 2016* | ||
Mortgage Securities | 89.6% | |
CMOs and Other Mortgage Related Securities | 17.8% | |
Asset-Backed Securities | 4.2% | |
Short-Term Investments and Net Other Assets (Liabilities)** | (11.6)% |
* Futures and Swaps - (0.8)%
** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Percentages shown as 0.0% may reflect amounts less than 0.05%.
Investments February 28, 2017 (Unaudited)
Showing Percentage of Net Assets
U.S. Government Agency - Mortgage Securities - 96.0% | |||
Principal Amount (000s) | Value (000s) | ||
Fannie Mae - 50.3% | |||
2.439% 9/1/36 (a) | 83 | 85 | |
2.5% 2/1/30 to 8/1/31 | 3,823 | 3,837 | |
2.563% 3/1/36 (a) | 91 | 95 | |
2.57% 4/1/37 (a) | 88 | 91 | |
2.686% 7/1/35 (a) | 4 | 4 | |
2.699% 2/1/42 (a) | 479 | 496 | |
2.715% 1/1/35 (a) | 120 | 124 | |
2.772% 1/1/42 (a) | 372 | 385 | |
2.798% 10/1/33 (a) | 33 | 35 | |
2.8% 5/1/36 (a) | 197 | 209 | |
2.802% 6/1/36 (a) | 32 | 34 | |
2.81% 4/1/36 (a) | 65 | 68 | |
2.815% 9/1/36 (a) | 32 | 33 | |
2.833% 3/1/35 (a) | 20 | 21 | |
2.845% 6/1/36 (a) | 263 | 278 | |
2.946% 7/1/35 (a) | 33 | 34 | |
2.956% 11/1/36 (a) | 26 | 27 | |
2.977% 5/1/36 (a) | 22 | 24 | |
2.985% 8/1/35 (a) | 212 | 223 | |
3% 4/1/29 to 12/1/46 | 83,916 | 84,222 | |
3% 3/1/32 (b) | 1,000 | 1,028 | |
3% 3/1/32 (b) | 1,000 | 1,028 | |
3% 3/1/47 (b) | 68,340 | 67,862 | |
3% 3/1/47 (b) | 18,200 | 18,073 | |
3% 3/1/47 (b) | 5,000 | 4,965 | |
3.032% 8/1/41 (a) | 255 | 267 | |
3.065% 9/1/41 (a) | 103 | 110 | |
3.187% 3/1/40 (a) | 144 | 153 | |
3.375% 10/1/36 (a) | 170 | 180 | |
3.468% 12/1/40 (a) | 3,733 | 3,927 | |
3.5% 9/1/29 to 11/1/46 | 126,444 | 130,590 | |
3.5% 1/1/47 | 3,208 | 3,291 | |
3.5% 3/1/47 (b) | 41,000 | 42,011 | |
3.5% 3/1/47 (b) | 7,300 | 7,480 | |
3.5% 3/1/47 (b) | 3,100 | 3,176 | |
3.5% 3/1/47 (b) | 3,000 | 3,074 | |
4% 11/1/31 to 6/1/46 | 100,227 | 105,990 | |
4% 3/1/47 (b) | 7,800 | 8,196 | |
4.5% 5/1/25 to 10/1/45 | 26,890 | 28,996 | |
4.5% 6/1/46 | 535 | 580 | |
4.5% 10/1/46 | 314 | 341 | |
4.5% 11/1/46 | 298 | 323 | |
4.5% 12/1/46 | 431 | 468 | |
4.5% 1/1/47 | 310 | 336 | |
4.5% 1/1/47 | 388 | 422 | |
4.5% 2/1/47 | 341 | 371 | |
5% 5/1/20 to 5/1/44 | 11,975 | 13,255 | |
5.255% 8/1/41 | 717 | 789 | |
5.5% 2/1/18 to 4/1/39 | 2,654 | 3,002 | |
6.309% 2/1/39 | 1,253 | 1,363 | |
6.5% 6/1/17 to 8/1/39 | 6,963 | 8,012 | |
7% 8/1/17 to 5/1/30 | 773 | 886 | |
7.5% 8/1/22 to 9/1/32 | 511 | 601 | |
8% 12/1/29 to 3/1/37 | 14 | 17 | |
8.5% 2/1/22 to 3/1/23 | 45 | 50 | |
9% 10/1/30 | 191 | 235 | |
9.5% 2/1/20 to 8/1/22 | 2 | 2 | |
551,775 | |||
Freddie Mac - 26.6% | |||
2.5% 7/1/31 | 1,737 | 1,747 | |
2.57% 3/1/35 (a) | 66 | 68 | |
2.683% 3/1/36 (a) | 221 | 230 | |
2.838% 8/1/37 (a) | 77 | 80 | |
2.856% 5/1/34 (a) | 5 | 5 | |
2.925% 6/1/37 (a) | 28 | 30 | |
2.936% 5/1/37 (a) | 43 | 45 | |
2.968% 11/1/35 (a) | 191 | 199 | |
3% 10/1/28 to 3/1/47 | 100,973 | 100,912 | |
3.066% 9/1/41 (a) | 445 | 469 | |
3.099% 10/1/42 (a) | 302 | 319 | |
3.193% 6/1/33 (a) | 502 | 531 | |
3.22% 4/1/37 (a) | 9 | 9 | |
3.246% 6/1/37 (a) | 370 | 384 | |
3.26% 6/1/37 (a) | 21 | 22 | |
3.29% 6/1/37 (a) | 161 | 168 | |
3.295% 7/1/36 (a) | 63 | 68 | |
3.32% 4/1/37 (a) | 39 | 41 | |
3.41% 12/1/40 (a) | 1,768 | 1,854 | |
3.5% 6/1/27 to 9/1/46 (c)(d) | 96,607 | 99,730 | |
3.53% 10/1/36 (a) | 9 | 10 | |
3.769% 12/1/36 (a) | 354 | 377 | |
3.887% 10/1/35 (a) | 31 | 33 | |
4% 2/1/41 to 4/1/46 | 42,422 | 44,800 | |
4% 3/1/47 (b) | 4,900 | 5,148 | |
4.5% 7/1/25 to 6/1/44 | 7,398 | 7,979 | |
5% 7/1/33 to 7/1/41 | 8,824 | 9,781 | |
5.5% 10/1/17 to 10/1/39 | 7,981 | 8,911 | |
6% 3/1/17 to 6/1/39 | 1,681 | 1,898 | |
6.5% 4/1/17 to 9/1/39 | 2,900 | 3,263 | |
7% 6/1/21 to 9/1/36 | 1,063 | 1,224 | |
7.5% 4/1/17 to 7/1/34 | 1,315 | 1,545 | |
8% 4/1/21 to 1/1/37 | 6 | 7 | |
8.5% 9/1/20 | 0 | 0 | |
9% 10/1/19 to 5/1/21 | 2 | 2 | |
291,889 | |||
Ginnie Mae - 19.1% | |||
3% 6/15/42 to 1/20/47 | 46,976 | 47,616 | |
3% 3/1/47 (b) | 5,000 | 5,058 | |
3.5% 11/20/41 to 6/20/46 (c) | 67,703 | 70,691 | |
3.5% 3/1/47 (b) | 8,540 | 8,875 | |
4% 7/20/33 to 8/15/43 | 26,288 | 28,035 | |
4% 3/1/47 (b) | 5,150 | 5,450 | |
4% 3/1/47 (b) | 5,250 | 5,555 | |
4.5% 8/15/33 to 6/15/41 | 27,612 | 29,959 | |
5% 9/20/33 to 6/15/41 | 4,748 | 5,317 | |
5.5% 12/15/38 to 9/15/39 | 782 | 888 | |
6.5% 10/15/34 to 7/15/36 | 177 | 203 | |
7% 2/15/24 to 4/20/32 | 743 | 868 | |
7.5% 12/15/21 to 12/15/29 | 233 | 269 | |
8% 6/15/21 to 12/15/25 | 115 | 132 | |
8.5% 4/15/17 to 10/15/28 | 106 | 125 | |
9% 11/20/17 | 0 | 0 | |
10.5% 10/20/17 to 2/20/18 | 0 | 0 | |
209,041 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $1,054,850) | 1,052,705 | ||
Asset-Backed Securities - 3.7% | |||
American Credit Acceptance Receivable Trust Series 2016-1A Class A, 2.37% 5/12/20 (e) | $1,067 | $1,068 | |
American Credit Acceptance Receivables Trust Series 2015-3 Class A, 1.95% 9/12/19 (e) | 834 | 834 | |
Avis Budget Rental Car Funding (AESOP) LLC: | |||
Series 2012-2A Class A, 2.802% 5/20/18(e) | 1,050 | 1,052 | |
Series 2012-3A Class A, 2.1% 3/20/19 (e) | 5,560 | 5,579 | |
Citi Held For Asset Issuance Series 2015-PM33 Class A, 2.56% 5/16/22 (e) | 439 | 439 | |
Citi Held For Asset Issuance 2 Series 2015-PM2 Class A, 2% 3/15/22 (e) | 590 | 590 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 2.1283% 10/25/37 (e) | 5,404 | 5,379 | |
Countrywide Home Loans, Inc. Series 2005-3 Class MV4, 1.3983% 8/25/35 (a) | 226 | 226 | |
CPS Auto Trust Series 2015-C Class A, 1.77% 6/17/19 (e) | 3,543 | 3,544 | |
Exeter Automobile Receivables Trust Series 2016-1A Class A, 2.8% 7/15/20 (e) | 2,337 | 2,343 | |
Flagship Credit Auto Trust Series 2015-3 Class A, 2.34% 10/15/20 (e) | 1,621 | 1,625 | |
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (e) | 29 | 2 | |
JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AF3, 5.532% 11/25/36 | 246 | 246 | |
Merrill Lynch Mortgage Investors Trust Series 2006-FF1 Class M2, 1.0611% 8/25/36 (a) | 5,300 | 5,228 | |
Nationstar HECM Loan Trust Series 2016-1A Class A, 2.9813% 2/25/26 (e) | 1,033 | 1,033 | |
OneMain Financial Issuance Trust Series 2014-1A Class A, 2.43% 6/18/24 (e) | 347 | 347 | |
Structured Asset Securities Corp. Series 2005-NC2 Class M3, 1.2011% 5/25/35 (a) | 1,648 | 1,644 | |
Towd Point Mortgage Trust Series 2017-1 Class A1, 2.75% 10/25/56 (e) | 8,502 | 8,492 | |
Vericrest Opportunity Loan Trust Series 2014-NP11 Class A1, 3.875% 4/25/55 (e) | 211 | 212 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $39,736) | 39,883 | ||
Collateralized Mortgage Obligations - 11.7% | |||
Private Sponsor - 4.7% | |||
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 0.8961% 6/27/36 (a)(e) | 5,462 | 5,300 | |
Banc of America Funding Trust sequential payer Series 2010-R3 Class 1A1, 3.2753% 12/26/35 (a)(e) | 843 | 849 | |
BCAP LLC II Trust Series 2012-RR10 Class 5A5, 1.0178% 4/26/36 (a)(e) | 80 | 80 | |
BCAP LLC Trust sequential payer: | |||
Series 2010-RR11 Class 6A1, 3.068% 3/27/36 (a)(e) | $2,388 | $2,390 | |
Series 2012-RR5 Class 8A5, 0.939% 7/26/36 (a)(e) | 715 | 688 | |
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (a)(e) | 5,024 | 5,002 | |
Credit Suisse Commercial Mortgage Trust Series 2014-15R Class 7A3, 1.548% 10/26/37 (a)(e) | 1,268 | 1,254 | |
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 3.0732% 5/27/35 (a)(e) | 394 | 405 | |
CSMC: | |||
floater Series 2015-1R Class 6A1, 1.0361% 5/27/37 (a)(e) | 3,558 | 3,375 | |
Series 2011-2R Class 2A1, 3.0599% 7/27/36 (a)(e) | 1,682 | 1,681 | |
Series 2014-3R Class 2A1, 1.4561% 5/27/37 (a)(e) | 850 | 820 | |
Exeter Automobile Receivables Trust Series 2015-2A Class A, 1.54% 11/15/19 (e) | 1,860 | 1,859 | |
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 3.0317% 10/25/34 (a) | 269 | 266 | |
JP Morgan Resecuritization Trust floater Series 2012-2 Class 6A1, 0.945% 6/21/36 (a)(e) | 1,882 | 1,856 | |
JPMorgan Re-REMIC Trust floater Series 2009-5 Class 2A1, 2.4676% 1/26/37 (a)(e) | 22 | 22 | |
MASTR Alternative Loan Trust Series 2004-6 Class 5A1, 5.4273% 7/25/19 (a) | 699 | 703 | |
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.9261% 2/25/37 (a) | 953 | 906 | |
Morgan Stanley Re-REMIC Trust Series 2010-R6 Class 1A, 3.1154% 2/26/37 (a)(e) | 1,665 | 1,671 | |
Mortgage Repurchase Agreement Funding Trust floater Series 2016-5 Class A, 1.9417% 6/10/19 (a)(e) | 11,230 | 11,228 | |
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 2.8826% 11/25/25 (e) | 264 | 264 | |
Nomura Resecuritization Trust sequential payer Series 2011-3RA Class 2A1, 3.4196% 3/26/37 (a)(e) | 1,076 | 1,081 | |
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.118% 4/25/33 (a) | 55 | 55 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1.4183% 9/25/43 (a) | 3,263 | 3,140 | |
WaMu Mortgage pass-thru certificates sequential payer: | |||
Series 2002-S8 Class 2A7, 5.25% 1/25/18 | 78 | 78 | |
Series 2003-MS5 Class 1A1, 5% 3/25/18 | 83 | 83 | |
Wells Fargo Mortgage Backed Securities Trust: | |||
Series 2003-I Class A1, 2.8821% 9/25/33 (a) | 637 | 633 | |
Series 2005-AR10 Class 2A15, 3.0521% 6/25/35 (a) | 4,068 | 4,189 | |
Series 2005-AR2 Class 1A2, 3.0446% 3/25/35 (a) | 175 | 163 | |
Series 2006-AR10 Class 3A1, 3.0318% 7/25/36 (a) | 255 | 251 | |
Wells Fargo Mortgage Loan Trust sequential payer Series 2011-RR4: | |||
Class 1A1, 3.1978% 6/27/36 (a)(e) | 471 | 471 | |
Class 2A1, 3.0416% 6/27/36 (a)(e) | 635 | 633 | |
51,396 | |||
U.S. Government Agency - 7.0% | |||
Fannie Mae: | |||
floater Series 2003-118 Class S, 7.3217% 12/25/33 (a)(f)(g) | 267 | 68 | |
planned amortization class: | |||
Series 1999-17 Class PG, 6% 4/25/29 | 492 | 531 | |
Series 1999-32 Class PL, 6% 7/25/29 | 457 | 493 | |
Series 1999-33 Class PK, 6% 7/25/29 | 306 | 331 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 37 | 42 | |
Series 2005-39 Class TE, 5% 5/25/35 | 701 | 758 | |
Series 2005-73 Class SA, 15.5263% 8/25/35 (a)(g) | 50 | 62 | |
sequential payer: | |||
Series 2001-20 Class Z, 6% 5/25/31 | 478 | 526 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 213 | 242 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 76 | 87 | |
Series 2002-74 Class SV, 6.7717% 11/25/32 (a)(f) | 186 | 32 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (f) | 612 | 73 | |
Series 06-116 Class SG, 5.8617% 12/25/36 (a)(f)(g) | 183 | 38 | |
Series 07-40 Class SE, 5.6617% 5/25/37 (a)(f)(g) | 104 | 20 | |
Series 1993-165 Class SH, 17.5983% 9/25/23 (a)(g) | 24 | 31 | |
Series 2003-21 Class SK, 7.3217% 3/25/33 (a)(f)(g) | 74 | 16 | |
Series 2003-35 Class TQ, 6.7217% 5/25/18 (a)(f)(g) | 14 | 0 | |
Series 2007-57 Class SA, 35.95% 6/25/37 (a)(g) | 359 | 701 | |
Series 2007-66 Class SB, 34.93% 7/25/37 (a)(g) | 112 | 199 | |
Series 2008-12 Class SG, 5.5717% 3/25/38 (a)(f)(g) | 556 | 94 | |
Series 2009-114 Class AI, 5% 12/25/23 (f) | 43 | 0 | |
Series 2009-16 Class SA, 5.4717% 3/25/24 (a)(f)(g) | 3 | 0 | |
Series 2009-76 Class MI, 5.5% 9/25/24 (f) | 37 | 1 | |
Series 2009-85 Class IB, 4.5% 8/25/24 (f) | 50 | 3 | |
Series 2009-93 Class IC, 4.5% 9/25/24 (f) | 73 | 4 | |
Series 2010-12 Class AI, 5% 12/25/18 (f) | 171 | 4 | |
Series 2010-135 Class LS, 5.2717% 12/25/40 (a)(f)(g) | 522 | 83 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (f) | 645 | 76 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 1,357 | 1,501 | |
Series 2010-23: | |||
Class AI, 5% 12/25/18 (f) | 58 | 1 | |
Class HI, 4.5% 10/25/18 (f) | 56 | 1 | |
Series 2010-29 Class LI, 4.5% 6/25/19 (f) | 156 | 4 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 2,871 | 3,201 | |
Series 2010-97 Class CI, 4.5% 8/25/25 (f) | 175 | 12 | |
Series 2011-110 Class SA, 5.8317% 4/25/41 (a)(f) | 1,043 | 165 | |
Series 2011-112 Class SA, 5.7717% 11/25/41 (a)(f) | 952 | 177 | |
Series 2011-123 Class SD, 5.8217% 8/25/39 (a)(f) | 910 | 136 | |
Series 2011-67 Class AI, 4% 7/25/26 (f) | 170 | 17 | |
Series 2011-83 Class DI, 6% 9/25/26 (f) | 224 | 24 | |
Series 2012-100 Class WI, 3% 9/25/27 (f) | 1,544 | 149 | |
Series 2012-14 Class JS, 5.8717% 12/25/30 (a)(f) | 572 | 78 | |
Series 2012-47 Class SD, 5.6717% 5/25/42 (a)(f) | 2,016 | 403 | |
Series 2012-9 Class SH, 5.7717% 6/25/41 (a)(f) | 772 | 116 | |
Series 2013-133 Class IB, 3% 4/25/32 (f) | 1,054 | 102 | |
Series 2013-51 Class GI, 3% 10/25/32 (f) | 337 | 37 | |
Series 2013-N1 Class A, 5.9417% 6/25/35 (a)(f)(g) | 582 | 108 | |
Series 2014-68 Class ID, 3.5% 3/25/34 (f) | 766 | 100 | |
Series 2015-42: | |||
Class IL, 6% 6/25/45 (f) | 2,316 | 553 | |
Class LS, 5.4217% 6/25/45 (a)(f)(g) | 2,587 | 422 | |
Series 2015-70 Class JC, 3% 10/25/45 | 2,893 | 2,957 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 339 Class 29, 5.5% 8/25/18 (f) | 31 | 1 | |
Series 348 Class 14, 6.5% 8/25/34 (a)(f) | 148 | 35 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (a)(f) | 98 | 19 | |
Class 13, 6% 3/25/34 (f) | 130 | 26 | |
Series 359 Class 19, 6% 7/25/35 (a)(f) | 87 | 17 | |
Series 384 Class 6, 5% 7/25/37 (f) | 312 | 65 | |
Freddie Mac: | |||
planned amortization class: | |||
Series 2095 Class PE, 6% 11/15/28 | 550 | 596 | |
Series 2104 Class PG, 6% 12/15/28 | 154 | 170 | |
Series 2121 Class MG, 6% 2/15/29 | 222 | 239 | |
Series 2154 Class PT, 6% 5/15/29 | 375 | 405 | |
Series 2162 Class PH, 6% 6/15/29 | 57 | 62 | |
Series 2520 Class BE, 6% 11/15/32 | 258 | 279 | |
Series 2585 Class KS, 6.83% 3/15/23 (a)(f)(g) | 23 | 2 | |
Series 2693 Class MD, 5.5% 10/15/33 | 4,612 | 5,150 | |
Series 2802 Class OB, 6% 5/15/34 | 1,196 | 1,318 | |
Series 3002 Class NE, 5% 7/15/35 | 429 | 461 | |
Series 3189 Class PD, 6% 7/15/36 | 441 | 499 | |
Series 3415 Class PC, 5% 12/15/37 | 128 | 136 | |
Series 3786 Class HI, 4% 3/15/38 (f) | 630 | 55 | |
Series 3806 Class UP, 4.5% 2/15/41 | 1,090 | 1,147 | |
Series 3832 Class PE, 5% 3/15/41 | 960 | 1,047 | |
Series 70 Class C, 9% 9/15/20 | 1 | 1 | |
sequential payer: | |||
Series 2114 Class ZM, 6% 1/15/29 | 75 | 84 | |
Series 2135 Class JE, 6% 3/15/29 | 305 | 329 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 132 | 150 | |
Series 2281 Class ZB, 6% 3/15/30 | 106 | 114 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 257 | 294 | |
Series 2502 Class ZC, 6% 9/15/32 | 274 | 297 | |
Series 3871 Class KB, 5.5% 6/15/41 | 1,045 | 1,219 | |
Series 06-3115 Class SM, 5.83% 2/15/36 (a)(f)(g) | 145 | 29 | |
Series 1658 Class GZ, 7% 1/15/24 | 306 | 334 | |
Series 2013-4281 Class AI, 4% 12/15/28 (f) | 1,393 | 127 | |
Series 2380 Class SY, 7.43% 11/15/31 (a)(f)(g) | 1,035 | 183 | |
Series 2587 Class IM, 6.5% 3/15/33 (f) | 147 | 35 | |
Series 2844: | |||
Class SC, 41.795% 8/15/24 (a)(g) | 9 | 14 | |
Class SD, 76.44% 8/15/24 (a)(g) | 13 | 27 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 789 | 916 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 1,386 | 1,560 | |
Series 2947 Class XZ, 6% 3/15/35 | 528 | 585 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 628 | 715 | |
Series 3055 Class CS, 5.82% 10/15/35 (a)(f) | 195 | 39 | |
Series 3237 Class C, 5.5% 11/15/36 | 935 | 1,057 | |
Series 3244 Class SG, 5.89% 11/15/36 (a)(f)(g) | 407 | 77 | |
Series 3284 Class CI, 5.35% 3/15/37 (a)(f) | 852 | 157 | |
Series 3287 Class SD, 5.98% 3/15/37 (a)(f)(g) | 556 | 111 | |
Series 3297 Class BI, 5.99% 4/15/37 (a)(f)(g) | 818 | 168 | |
Series 3336 Class LI, 5.81% 6/15/37(a)(f) | 346 | 62 | |
Series 3772 Class BI, 4.5% 10/15/18 (f) | 113 | 3 | |
Series 3949 Class MK, 4.5% 10/15/34 | 300 | 318 | |
Series 3955 Class YI, 3% 11/15/21 (f) | 981 | 47 | |
Series 4055 Class BI, 3.5% 5/15/31 (f) | 964 | 103 | |
Series 4149 Class IO, 3% 1/15/33 (f) | 148 | 19 | |
Series 4314 Class AI, 5% 3/15/34 (f) | 397 | 52 | |
Series 4427 Class LI, 3.5% 2/15/34 (f) | 1,648 | 204 | |
Series 4471 Class PA 4% 12/15/40 | 4,215 | 4,410 | |
Series 4476 Class IA, 3.5% 1/15/32 (f) | 1,772 | 164 | |
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 210 | 238 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 2,941 | 3,133 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 5.92% 6/16/37 (a)(f)(g) | 196 | 40 | |
Series 2010-H17 Class FA, 1.1061% 7/20/60 (a)(h) | 259 | 256 | |
Series 2010-H18 Class AF, 0.9467% 9/20/60 (a)(h) | 323 | 320 | |
Series 2010-H19 Class FG, 1.0717% 8/20/60 (a)(h) | 356 | 352 | |
Series 2011-H13 Class FA, 1.1467% 4/20/61 (a)(h) | 151 | 150 | |
Series 2012-H21 Class DF, 1.2967% 5/20/61 (a)(h) | 1,250 | 1,252 | |
planned amortization class Series 2011-136 Class WI, 4.5% 5/20/40 (f) | 400 | 50 | |
sequential payer: | |||
Series 2002-24 Class SK, 7.18% 4/16/32 (a)(f)(g) | 961 | 192 | |
Series 2002-42 Class ZA, 6% 6/20/32 | 337 | 380 | |
Series 2004-24 Class ZM, 5% 4/20/34 | 670 | 736 | |
Series 2001-3 Class S, 7.33% 2/16/31 (a)(f) | 218 | 39 | |
Series 2001-36: | |||
Class SB, 7.33% 12/16/23 (a)(f)(g) | 533 | 80 | |
Class SP, 7.98% 9/16/26 (a)(f) | 328 | 43 | |
Series 2001-38 Class SB, 6.81% 8/16/31 (a)(f)(g) | 347 | 61 | |
Series 2001-49: | |||
Class SC, 6.83% 12/16/25 (a)(f)(g) | 693 | 99 | |
Class SL, 6.83% 5/16/30 (a)(f)(g) | 992 | 172 | |
Class SV, 7.48% 12/16/28 (a)(f)(g) | 86 | 10 | |
Series 2001-50: | |||
Class SD, 7.4194% 11/20/31 (a)(f)(g) | 502 | 113 | |
Class ST, 6.93% 8/16/27 (a)(f)(g) | 228 | 41 | |
Series 2002-5 Class SP, 6.68% 1/16/32 (a)(f)(g) | 338 | 51 | |
Series 2004-32 Class GS, 5.73% 5/16/34 (a)(f)(g) | 322 | 59 | |
Series 2004-73 Class AL, 6.43% 8/17/34 (a)(f)(g) | 127 | 29 | |
Series 2011-52 Class HI, 7% 4/16/41 (f) | 1,350 | 325 | |
Series 2012-76 Class GS, 5.93% 6/16/42 (a)(f)(g) | 604 | 114 | |
Series 2012-97 Class JS, 5.48% 8/16/42 (a)(f)(g) | 2,216 | 361 | |
Series 2013-124: | |||
Class ES, 7.6259% 4/20/39 (a)(g) | 1,322 | 1,399 | |
Class ST, 7.7593% 8/20/39 (a)(g) | 2,668 | 2,893 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (h) | 11,998 | 12,121 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (h) | 4,615 | 4,664 | |
Series 2017-H06 Class FA, 1.17% 8/20/66 (a)(h) | 6,693 | 6,700 | |
76,985 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $127,599) | 128,381 | ||
Commercial Mortgage Securities - 5.6% | |||
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.6783% 2/14/43 (a)(f) | 356 | 5 | |
Barclays Commercial Mortgage Securities LLC Series 2015-STP Class A, 3.3228% 9/10/28 (e) | 1,648 | 1,690 | |
Bayview Commercial Asset Trust floater Series 2007-3: | |||
Class M1, 1.0661% 7/25/37 (a)(e) | 32 | 25 | |
Class M2, 1.0961% 7/25/37 (a)(e) | 34 | 26 | |
Class M3, 1.1261% 7/25/37 (a)(e) | 55 | 41 | |
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 2.167% 12/15/27 (a)(e) | 5,940 | 5,953 | |
Citigroup Commercial Mortgage Trust: | |||
Series 2015-GC33 Class XA, 0.9747% 9/10/58 (a)(f) | 22,811 | 1,401 | |
Series 2016-P6 Class XA, 0.8424% 12/10/49 (a)(f) | 22,662 | 1,170 | |
COMM Mortgage Trust: | |||
Series 2014-CR19 Class XA, 1.2622% 8/10/47 (a)(f) | 26,349 | 1,545 | |
Series 2014-CR20 Class XA, 1.1851% 11/10/47 (a)(f) | 13,011 | 789 | |
Series 2014-LC17 Class XA, 0.9822% 10/10/47 (a)(f) | 14,781 | 635 | |
Series 2014-UBS4 Class XA, 1.2483% 8/10/47 (a)(f) | 21,859 | 1,339 | |
Series 2014-UBS6 Class XA, 1.0507% 12/10/47 (a)(f) | 15,243 | 833 | |
Series 2015-DC1 Class XA, 1.1732% 2/10/48 (a)(f) | 37,607 | 2,320 | |
CSMC Series 2015-TOWN: | |||
Class A, 2.0172% 3/15/28 (a)(e) | 7,804 | 7,794 | |
Class B, 2.6672% 3/15/28 (a)(e) | 185 | 185 | |
Class C, 3.0172% 3/15/28 (a)(e) | 180 | 180 | |
Class D, 3.9672% 3/15/28 (a)(e) | 273 | 273 | |
Freddie Mac Series K723 Class A1, 2.292% 4/25/23 | 2,182 | 2,173 | |
GAHR Commercial Mortgage Trust floater Series 2015-NRF Class AFL1, 2.004% 12/15/34 (a)(e) | 2,334 | 2,343 | |
GE Capital Commercial Mortgage Corp.: | |||
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | 40 | 40 | |
Series 2007-C1 Class A1A, 5.483% 12/10/49 | 1,662 | 1,662 | |
GS Mortgage Securities Trust: | |||
floater Series 2014-GSFL Class A, 1.7672% 7/15/31 (a)(e) | 213 | 212 | |
Series 2013-GC12 Class XA, 1.6793% 6/10/46 (a)(f) | 7,569 | 492 | |
Series 2014-GC20 Class XA, 1.1537% 4/10/47 (a)(f) | 19,286 | 1,063 | |
Series 2015-GC34 Class XA, 1.3693% 10/10/48 (a)(f) | 10,613 | 901 | |
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class A, 2.018% 11/15/29 (a)(e) | 844 | 846 | |
JPMBB Commercial Mortgage Securities Trust Series 2014-C19 Class XA, 1.1914% 4/15/47 (a)(f) | 6,687 | 235 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2014-BXH Class A, 1.67% 4/15/27 (a)(e) | 4,604 | 4,551 | |
sequential payer Series 2007-LD11 Class A4, 5.7592% 6/15/49 (a) | 2,251 | 2,256 | |
Series 2007-CB20 Class A1A, 5.746% 2/12/51 | 1,773 | 1,797 | |
Series 2016-WP Class TA, 2.2172% 10/15/33 (a)(e) | 769 | 776 | |
Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2007-6 Class A4, 5.485% 3/12/51 (a) | 85 | 85 | |
Morgan Stanley BAML Trust Series 2015-C25 Class XA, 1.1459% 10/15/48 (a)(f) | 13,759 | 994 | |
Morgan Stanley Capital I Trust sequential payer Series 2007-IQ15 Class A4, 5.9037% 6/11/49 (a) | 1,079 | 1,089 | |
MSCG Trust Series 2016-SNR Class A, 3.348% 11/15/34 (a)(e) | 1,220 | 1,218 | |
SCG Trust Series 2013-SRP1 Class A, 2.3539% 11/15/26 (a)(e) | 2,783 | 2,782 | |
Wachovia Bank Commercial Mortgage Trust sequential payer: | |||
Series 2007-C31 Class A5, 5.5% 4/15/47 | 7,211 | 7,206 | |
Series 2007-C32 Class A3, 5.7165% 6/15/49 (a) | 659 | 660 | |
Series 2007-C33 Class A4, 5.9654% 2/15/51 (a) | 615 | 616 | |
Wells Fargo Commercial Mortgage Trust Series 2015-C31 Class XA, 1.1108% 11/15/48 (a)(f) | 11,093 | 769 | |
WF-RBS Commercial Mortgage Trust Series 2014-C24 Class XA, 0.9677% 11/15/47 (a)(f) | 8,608 | 443 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $62,797) | 61,413 | ||
Shares | Value (000s) | ||
Money Market Funds - 1.1% | |||
Fidelity Cash Central Fund, 0.60% (i) | |||
(Cost $11,912) | 11,908,675 | 11,911 | |
TOTAL INVESTMENT PORTFOLIO - 118.1% | |||
(Cost $1,296,894) | 1,294,293 | ||
NET OTHER ASSETS (LIABILITIES) - (18.1)% | (197,945) | ||
NET ASSETS - 100% | $1,096,348 |
TBA Sale Commitments | ||
Principal Amount (000s) | Value (000s) | |
Fannie Mae | ||
3% 3/1/32 | $(8,200) | $(8,429) |
3% 3/1/32 | (1,000) | (1,028) |
3% 3/1/47 | (1,000) | (993) |
3.5% 3/1/47 | (1,000) | (1,025) |
3.5% 3/1/47 | (500) | (512) |
3.5% 3/1/47 | (3,400) | (3,484) |
4% 3/1/47 | (5,300) | (5,569) |
4% 3/1/47 | (2,600) | (2,732) |
4.5% 3/1/47 | (5,100) | (5,480) |
TOTAL FANNIE MAE | (29,252) | |
Freddie Mac | ||
3% 3/1/47 | (10,000) | (9,921) |
3% 3/1/47 | (10,000) | (9,921) |
3% 3/1/47 | (18,200) | (18,055) |
TOTAL FREDDIE MAC | (37,897) | |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $67,230) | $(67,149) |
Futures Contracts | |||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/(Depreciation) (000s) | |
Purchased | |||
Treasury Contracts | |||
61 CBOT 5-Year U.S. Treasury Note Contracts (United States) | June 2017 | 7,180 | $28 |
Sold | |||
Treasury Contracts | |||
98 CBOT 10-Year U.S. Treasury Note Contracts (United States) | June 2017 | 12,209 | (54) |
89 CBOT 2-Year U.S. Treasury Note Contracts (United States) | June 2017 | 19,260 | (18) |
22 CBOT Long Term U.S. Treasury Bond Contracts (United States) | June 2017 | 3,336 | (34) |
12 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | June 2017 | 1,941 | (22) |
TOTAL SOLD | (128) | ||
TOTAL FUTURES CONTRACTS | $(100) |
The face value of futures purchased as a percentage of Net Assets is 0.7%
The face value of futures sold as a percentage of Net Assets is 3.4%
For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $47,575,000.
Values shown as $0 may reflect amounts less than $500.
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(c) 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 $379,000.
(d) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $133,000.
(e) 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 $102,363,000 or 9.3% of net assets.
(f) 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.
(g) 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.
(h) 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.
(i) 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 are available on the SEC's website or upon request.
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 | $66 |
Fidelity Mortgage Backed Securities Central Fund | 1 |
Total | $67 |
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 Mortgage Backed Securities Central Fund | $86 | $1 | $84 | $-- | 0.0% |
Total | $86 | $1 | $84 | $-- |
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2017, 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: | ||||
U.S. Government Agency - Mortgage Securities | $1,052,705 | $-- | $1,052,705 | $-- |
Asset-Backed Securities | 39,883 | -- | 39,883 | -- |
Collateralized Mortgage Obligations | 128,381 | -- | 128,381 | -- |
Commercial Mortgage Securities | 61,413 | -- | 61,413 | -- |
Money Market Funds | 11,911 | 11,911 | -- | -- |
Total Investments in Securities: | $1,294,293 | $11,911 | $1,282,382 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $28 | $28 | $-- | $-- |
Total Assets | $28 | $28 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(128) | $(128) | $-- | $-- |
Total Liabilities | $(128) | $(128) | $-- | $-- |
Total Derivative Instruments: | $(100) | $(100) | $-- | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(67,149) | $-- | $(67,149) | $-- |
Total Other Financial Instruments: | $(67,149) | $-- | $(67,149) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2017. 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) | $28 | $(128) |
Total Interest Rate Risk | 28 | (128) |
Total Value of Derivatives | $28 | $(128) |
(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).
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) | February 28, 2017 (Unaudited) | |
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $1,284,982) | $1,282,382 | |
Fidelity Central Funds (cost $11,912) | 11,911 | |
Total Investments (cost $1,296,894) | $1,294,293 | |
Cash | 282 | |
Receivable for investments sold | 312 | |
Receivable for TBA sale commitments | 67,230 | |
Receivable for fund shares sold | 451 | |
Interest receivable | 3,321 | |
Distributions receivable from Fidelity Central Funds | 10 | |
Total assets | 1,365,899 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $12,946 | |
Delayed delivery | 187,076 | |
TBA sale commitments, at value | 67,149 | |
Payable for fund shares redeemed | 1,177 | |
Distributions payable | 72 | |
Accrued management fee | 283 | |
Distribution and service plan fees payable | 26 | |
Payable for daily variation margin for derivative instruments | 15 | |
Other affiliated payables | 138 | |
Other payables and accrued expenses | 669 | |
Total liabilities | 269,551 | |
Net Assets | $1,096,348 | |
Net Assets consist of: | ||
Paid in capital | $1,174,151 | |
Distributions in excess of net investment income | (4,623) | |
Accumulated undistributed net realized gain (loss) on investments | (70,560) | |
Net unrealized appreciation (depreciation) on investments | (2,620) | |
Net Assets | $1,096,348 | |
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($39,367 ÷ 3,520.0 shares) | $11.18 | |
Maximum offering price per share (100/96.00 of $11.18) | $11.65 | |
Class T: | ||
Net Asset Value and redemption price per share ($21,287 ÷ 1,899.6 shares) | $11.21 | |
Maximum offering price per share (100/96.00 of $11.21) | $11.68 | |
Class C: | ||
Net Asset Value and offering price per share ($15,764 ÷ 1,411.7 shares)(a) | $11.17 | |
Fidelity Mortgage Securities Fund: | ||
Net Asset Value, offering price and redemption price per share ($943,926 ÷ 84,188.7 shares) | $11.21 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($76,004 ÷ 6,803.0 shares) | $11.17 |
(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 | Six months ended February 28, 2017 (Unaudited) | |
Investment Income | ||
Interest | $12,895 | |
Income from Fidelity Central Funds | 67 | |
Total income | 12,962 | |
Expenses | ||
Management fee | $1,713 | |
Transfer agent fees | 607 | |
Distribution and service plan fees | 172 | |
Fund wide operations fee | 222 | |
Independent trustees' fees and expenses | 2 | |
Miscellaneous | 3 | |
Total expenses before reductions | 2,719 | |
Expense reductions | – | 2,719 |
Net investment income (loss) | 10,243 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (3,800) | |
Fidelity Central Funds | (2) | |
Futures contracts | 1,279 | |
Swaps | 25 | |
Total net realized gain (loss) | (2,498) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (20,122) | |
Futures contracts | (165) | |
Swaps | (42) | |
Delayed delivery commitments | 70 | |
Total change in net unrealized appreciation (depreciation) | (20,259) | |
Net gain (loss) | (22,757) | |
Net increase (decrease) in net assets resulting from operations | $(12,514) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Six months ended February 28, 2017 (Unaudited) | Year ended August 31, 2016 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $10,243 | $23,905 |
Net realized gain (loss) | (2,498) | 10,209 |
Change in net unrealized appreciation (depreciation) | (20,259) | 6,345 |
Net increase (decrease) in net assets resulting from operations | (12,514) | 40,459 |
Distributions to shareholders from net investment income | (12,445) | (25,324) |
Distributions to shareholders from net realized gain | – | (552) |
Total distributions | (12,445) | (25,876) |
Share transactions - net increase (decrease) | 2,782 | 101,086 |
Total increase (decrease) in net assets | (22,177) | 115,669 |
Net Assets | ||
Beginning of period | 1,118,525 | 1,002,856 |
End of period | $1,096,348 | $1,118,525 |
Other Information | ||
Distributions in excess of net investment income end of period | $(4,623) | $(2,421) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class A
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.44 | $11.29 | $11.24 | $10.89 | $11.34 | $11.14 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .088 | .217 | .223 | .239 | .169 | .278 |
Net realized and unrealized gain (loss) | (.238) | .173 | .047 | .341 | (.457) | .206 |
Total from investment operations | (.150) | .390 | .270 | .580 | (.288) | .484 |
Distributions from net investment income | (.110) | (.234) | (.217) | (.230) | (.162) | (.284) |
Distributions from net realized gain | – | (.006) | (.003) | – | – | – |
Total distributions | (.110) | (.240) | (.220) | (.230) | (.162) | (.284) |
Net asset value, end of period | $11.18 | $11.44 | $11.29 | $11.24 | $10.89 | $11.34 |
Total ReturnB,C,D | (1.31)% | 3.49% | 2.41% | 5.37% | (2.57)% | 4.41% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | .79%G | .79% | .81% | .81% | .79% | .81% |
Expenses net of fee waivers, if any | .79%G | .79% | .81% | .81% | .79% | .81% |
Expenses net of all reductions | .79%G | .79% | .81% | .81% | .79% | .81% |
Net investment income (loss) | 1.57%G | 1.92% | 1.97% | 2.15% | 1.51% | 2.48% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $39 | $49 | $38 | $41 | $50 | $60 |
Portfolio turnover rateH | 370%G | 404% | 439% | 398% | 474% | 451% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E 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%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H 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 Mortgage Securities Fund Class T
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.46 | $11.31 | $11.27 | $10.92 | $11.37 | $11.16 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .087 | .218 | .225 | .242 | .173 | .281 |
Net realized and unrealized gain (loss) | (.227) | .172 | .037 | .340 | (.458) | .216 |
Total from investment operations | (.140) | .390 | .262 | .582 | (.285) | .497 |
Distributions from net investment income | (.110) | (.234) | (.219) | (.232) | (.165) | (.287) |
Distributions from net realized gain | – | (.006) | (.003) | – | – | – |
Total distributions | (.110) | (.240) | (.222) | (.232) | (.165) | (.287) |
Net asset value, end of period | $11.21 | $11.46 | $11.31 | $11.27 | $10.92 | $11.37 |
Total ReturnB,C,D | (1.23)% | 3.48% | 2.33% | 5.38% | (2.54)% | 4.52% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | .80%G | .80% | .79% | .79% | .77% | .78% |
Expenses net of fee waivers, if any | .80%G | .79% | .79% | .79% | .77% | .78% |
Expenses net of all reductions | .80%G | .79% | .79% | .79% | .77% | .78% |
Net investment income (loss) | 1.56%G | 1.92% | 1.98% | 2.17% | 1.53% | 2.50% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $21 | $25 | $20 | $22 | $26 | $31 |
Portfolio turnover rateH | 370%G | 404% | 439% | 398% | 474% | 451% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E 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%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H 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 Mortgage Securities Fund Class C
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.42 | $11.27 | $11.23 | $10.88 | $11.33 | $11.12 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .045 | .133 | .141 | .160 | .088 | .197 |
Net realized and unrealized gain (loss) | (.228) | .172 | .037 | .342 | (.457) | .217 |
Total from investment operations | (.183) | .305 | .178 | .502 | (.369) | .414 |
Distributions from net investment income | (.067) | (.149) | (.135) | (.152) | (.081) | (.204) |
Distributions from net realized gain | – | (.006) | (.003) | – | – | – |
Total distributions | (.067) | (.155) | (.138) | (.152) | (.081) | (.204) |
Net asset value, end of period | $11.17 | $11.42 | $11.27 | $11.23 | $10.88 | $11.33 |
Total ReturnB,C,D | (1.60)% | 2.72% | 1.59% | 4.64% | (3.28)% | 3.76% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | 1.55%G | 1.54% | 1.53% | 1.52% | 1.52% | 1.53% |
Expenses net of fee waivers, if any | 1.55%G | 1.54% | 1.53% | 1.52% | 1.52% | 1.53% |
Expenses net of all reductions | 1.55%G | 1.54% | 1.53% | 1.52% | 1.52% | 1.53% |
Net investment income (loss) | .81%G | 1.17% | 1.25% | 1.44% | .78% | 1.76% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $16 | $19 | $16 | $17 | $17 | $18 |
Portfolio turnover rateH | 370%G | 404% | 439% | 398% | 474% | 451% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E 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%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H 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 Mortgage Securities Fund
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.47 | $11.31 | $11.27 | $10.92 | $11.37 | $11.17 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .107 | .257 | .264 | .279 | .209 | .318 |
Net realized and unrealized gain (loss) | (.238) | .182 | .037 | .341 | (.458) | .206 |
Total from investment operations | (.131) | .439 | .301 | .620 | (.249) | .524 |
Distributions from net investment income | (.129) | (.273) | (.258) | (.270) | (.201) | (.324) |
Distributions from net realized gain | – | (.006) | (.003) | – | – | – |
Total distributions | (.129) | (.279) | (.261) | (.270) | (.201) | (.324) |
Net asset value, end of period | $11.21 | $11.47 | $11.31 | $11.27 | $10.92 | $11.37 |
Total ReturnB,C | (1.14)% | 3.93% | 2.68% | 5.73% | (2.23)% | 4.77% |
Ratios to Average Net AssetsD,E | ||||||
Expenses before reductions | .45%F | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45%F | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45%F | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 1.91%F | 2.26% | 2.33% | 2.51% | 1.85% | 2.84% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $944 | $948 | $856 | $785 | $778 | $850 |
Portfolio turnover rateG | 370%F | 404% | 439% | 398% | 474% | 451% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D 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 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Annualized
G 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 Mortgage Securities Fund Class I
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.43 | $11.27 | $11.23 | $10.88 | $11.33 | $11.13 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .104 | .250 | .256 | .271 | .200 | .311 |
Net realized and unrealized gain (loss) | (.238) | .182 | .038 | .342 | (.456) | .207 |
Total from investment operations | (.134) | .432 | .294 | .613 | (.256) | .518 |
Distributions from net investment income | (.126) | (.266) | (.251) | (.263) | (.194) | (.318) |
Distributions from net realized gain | – | (.006) | (.003) | – | – | – |
Total distributions | (.126) | (.272) | (.254) | (.263) | (.194) | (.318) |
Net asset value, end of period | $11.17 | $11.43 | $11.27 | $11.23 | $10.88 | $11.33 |
Total ReturnB,C | (1.17)% | 3.88% | 2.64% | 5.69% | (2.30)% | 4.73% |
Ratios to Average Net AssetsD,E | ||||||
Expenses before reductions | .49%F | .50% | .50% | .51% | .51% | .50% |
Expenses net of fee waivers, if any | .49%F | .50% | .50% | .51% | .51% | .50% |
Expenses net of all reductions | .49%F | .50% | .50% | .51% | .51% | .50% |
Net investment income (loss) | 1.87%F | 2.21% | 2.28% | 2.45% | 1.79% | 2.79% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $76 | $79 | $72 | $48 | $34 | $12 |
Portfolio turnover rateG | 370%F | 404% | 439% | 398% | 474% | 451% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D 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 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Annualized
G 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 (Unaudited)
For the period ended February 28, 2017
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor Mortgage Securities 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, Fidelity Mortgage Securities Fund 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.
After the close of business on June 24, 2016, all outstanding Class B shares were converted to Class A shares. All prior fiscal period dollar and share amounts for Class B presented in the Notes to Financial Statements are for the period September 1, 2015 through June 24, 2016.
In March 2017, the Board of Trustees approved a change in the name of Class T to Class M effective after the close of business on March 24, 2017.
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.
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%.
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 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 Fund's investments to the Fair Value Committee (the Committee) established by the Fund's 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 Fund's 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 Fund's 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. Asset backed securities, 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. Brokers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. 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 may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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 February 28, 2017 is included at the end of the Fund's Schedule of Investments.
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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
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. 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.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, swap agreements, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $9,331 |
Gross unrealized depreciation | (11,952) |
Net unrealized appreciation (depreciation) on securities | $(2,621) |
Tax cost | $1,296,914 |
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 prior fiscal period end and is subject to adjustment.
Fiscal year of expiration | |
2017 | $(67,969) |
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.
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 | 1,279 | (165) |
Swaps | 25 | (42) |
Total Interest Rate Risk | 1,304 | (207) |
A summary of the value of derivatives by primary risk exposure as of period end 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. 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."
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 $46,467 and $72,907, 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 .20% 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 annualized management fee rate was .31% 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% | $55 | $2 |
Class T | -% | .25% | 29 | 14 |
Class C | .75% | .25% | 88 | 12 |
$172 | $28 |
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 and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, .75% 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 | $– |
Class T | –(a) |
Class C(b) | 2 |
$2 |
(a) In the amount of less than five hundred dollars.
(b) When 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 each respective class of the Fund, with the exception of Fidelity Mortgage Securities Fund. FIIOC receives an asset-based fee of .10% of Fidelity Mortgage Securities Fund's average net assets. 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(a) | |
Class A | $41 | .19 |
Class T | 23 | .20 |
Class C | 17 | .19 |
Fidelity Mortgage Securities Fund | 472 | .10 |
Class I | 54 | .14 |
$607 |
(a) Annualized
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% of the Fund's average net assets less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .04% of average net assets.
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 $2 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. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by an amount less than five hundred dollars.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2017 | Year ended August 31, 2016 | |
From net investment income | ||
Class A | $426 | $861 |
Class T | 223 | 483 |
Class B | – | 8 |
Class C | 105 | 232 |
Fidelity Mortgage Securities Fund | 10,824 | 21,950 |
Class I | 867 | 1,790 |
Total | $12,445 | $25,324 |
From net realized gain | ||
Class A | $– | $20 |
Class T | – | 13 |
Class B | – | –(a) |
Class C | – | 9 |
Fidelity Mortgage Securities Fund | – | 471 |
Class I | – | 39 |
Total | $– | $552 |
(a) In the amount of less than five hundred dollars.
10. 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 | |
Six months ended February 28, 2017 | Year ended August 31, 2016 | Six months ended February 28, 2017 | Year ended August 31, 2016 | |
Class A | ||||
Shares sold | 327 | 1,855 | $3,711 | $21,074 |
Reinvestment of distributions | 35 | 70 | 389 | 792 |
Shares redeemed | (1,093) | (1,066) | (12,326) | (12,097) |
Net increase (decrease) | (731) | 859 | $(8,226) | $9,769 |
Class T | ||||
Shares sold | 75 | 1,069 | $851 | $12,171 |
Reinvestment of distributions | 19 | 42 | 212 | 474 |
Shares redeemed | (347) | (769) | (3,917) | (8,717) |
Net increase (decrease) | (253) | 342 | $(2,854) | $3,928 |
Class B | ||||
Shares sold | – | 10 | $– | $102 |
Reinvestment of distributions | – | –(a) | – | 5 |
Shares redeemed | – | (84) | – | (944) |
Net increase (decrease) | – | (74) | $– | $(837) |
Class C | ||||
Shares sold | 181 | 756 | $2,025 | $8,561 |
Reinvestment of distributions | 8 | 18 | 92 | 204 |
Shares redeemed | (431) | (499) | (4,825) | (5,659) |
Net increase (decrease) | (242) | 275 | $(2,708) | $3,106 |
Fidelity Mortgage Securities Fund | ||||
Shares sold | 14,783 | 24,692 | $166,379 | $280,765 |
Reinvestment of distributions | 906 | 1,859 | 10,212 | 21,143 |
Shares redeemed | (14,148) | (19,583) | (159,115) | (222,910) |
Net increase (decrease) | 1,541 | 6,968 | $17,476 | $78,998 |
Class I | ||||
Shares sold | 300 | 1,158 | $3,376 | $13,096 |
Reinvestment of distributions | 76 | 158 | 852 | 1,786 |
Shares redeemed | (458) | (773) | (5,134) | (8,760) |
Net increase (decrease) | (82) | 543 | $(906) | $6,122 |
(a) In the amount of less than five hundred dollars.
11. 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.
At the end of the period, the investment adviser or its affiliates were the owners of record of 15% of the total outstanding shares of the Fund.
12. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
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 (September 1, 2016 to February 28, 2017).
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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. 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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. 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 September 1, 2016 | Ending Account Value February 28, 2017 | Expenses Paid During Period-B September 1, 2016 to February 28, 2017 | |
Class A | .79% | |||
Actual | $1,000.00 | $986.90 | $3.89 | |
Hypothetical-C | $1,000.00 | $1,020.88 | $3.96 | |
Class T | .80% | |||
Actual | $1,000.00 | $987.70 | $3.94 | |
Hypothetical-C | $1,000.00 | $1,020.83 | $4.01 | |
Class C | 1.55% | |||
Actual | $1,000.00 | $984.00 | $7.62 | |
Hypothetical-C | $1,000.00 | $1,017.11 | $7.75 | |
Fidelity Mortgage Securities Fund | .45% | |||
Actual | $1,000.00 | $988.60 | $2.22 | |
Hypothetical-C | $1,000.00 | $1,022.56 | $2.26 | |
Class I | .49% | |||
Actual | $1,000.00 | $988.30 | $2.42 | |
Hypothetical-C | $1,000.00 | $1,022.36 | $2.46 |
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 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in 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
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Mortgage Securities 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 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 a securities market index ("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; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; 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" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. 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 Mortgage Securities Fund
![](https://capedge.com/proxy/N-CSRS/0001379491-17-002787/img232391882.jpg)
AMOR-SANN-0417
1.703540.119
Fidelity® Mortgage Securities Fund Semi-Annual Report February 28, 2017 Fidelity® Mortgage Securities Fund is a class of Fidelity Advisor® Mortgage Securities Fund |
![]() |
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 1-800-544-8544 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.
Investment Summary (Unaudited)
Coupon Distribution as of February 28, 2017
% of fund's investments | % of fund's investments 6 months ago | |
Zero coupon bonds | 0.0 | 0.0 |
0.01 - 0.99% | 1.0 | 1.6 |
1 - 1.99% | 4.5 | 4.3 |
2 - 2.99% | 5.9 | 7.9 |
3 - 3.99% | 52.7 | 45.1 |
4 - 4.99% | 20.9 | 24.8 |
5 - 5.99% | 6.1 | 7.7 |
6 - 6.99% | 1.9 | 1.4 |
7% and above | 1.0 | 1.1 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
Asset Allocation (% of fund's net assets)
As of February 28, 2017* | ||
Mortgage Securities | 90.0% | |
CMOs and Other Mortgage Related Securities | 17.3% | |
Asset-Backed Securities | 3.7% | |
Short-Term Investments and Net Other Assets (Liabilities)** | (11.0)% |
* Futures and Swaps - 2.7%
** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
As of August 31, 2016* | ||
Mortgage Securities | 89.6% | |
CMOs and Other Mortgage Related Securities | 17.8% | |
Asset-Backed Securities | 4.2% | |
Short-Term Investments and Net Other Assets (Liabilities)** | (11.6)% |
* Futures and Swaps - (0.8)%
** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Percentages shown as 0.0% may reflect amounts less than 0.05%.
Investments February 28, 2017 (Unaudited)
Showing Percentage of Net Assets
U.S. Government Agency - Mortgage Securities - 96.0% | |||
Principal Amount (000s) | Value (000s) | ||
Fannie Mae - 50.3% | |||
2.439% 9/1/36 (a) | 83 | 85 | |
2.5% 2/1/30 to 8/1/31 | 3,823 | 3,837 | |
2.563% 3/1/36 (a) | 91 | 95 | |
2.57% 4/1/37 (a) | 88 | 91 | |
2.686% 7/1/35 (a) | 4 | 4 | |
2.699% 2/1/42 (a) | 479 | 496 | |
2.715% 1/1/35 (a) | 120 | 124 | |
2.772% 1/1/42 (a) | 372 | 385 | |
2.798% 10/1/33 (a) | 33 | 35 | |
2.8% 5/1/36 (a) | 197 | 209 | |
2.802% 6/1/36 (a) | 32 | 34 | |
2.81% 4/1/36 (a) | 65 | 68 | |
2.815% 9/1/36 (a) | 32 | 33 | |
2.833% 3/1/35 (a) | 20 | 21 | |
2.845% 6/1/36 (a) | 263 | 278 | |
2.946% 7/1/35 (a) | 33 | 34 | |
2.956% 11/1/36 (a) | 26 | 27 | |
2.977% 5/1/36 (a) | 22 | 24 | |
2.985% 8/1/35 (a) | 212 | 223 | |
3% 4/1/29 to 12/1/46 | 83,916 | 84,222 | |
3% 3/1/32 (b) | 1,000 | 1,028 | |
3% 3/1/32 (b) | 1,000 | 1,028 | |
3% 3/1/47 (b) | 68,340 | 67,862 | |
3% 3/1/47 (b) | 18,200 | 18,073 | |
3% 3/1/47 (b) | 5,000 | 4,965 | |
3.032% 8/1/41 (a) | 255 | 267 | |
3.065% 9/1/41 (a) | 103 | 110 | |
3.187% 3/1/40 (a) | 144 | 153 | |
3.375% 10/1/36 (a) | 170 | 180 | |
3.468% 12/1/40 (a) | 3,733 | 3,927 | |
3.5% 9/1/29 to 11/1/46 | 126,444 | 130,590 | |
3.5% 1/1/47 | 3,208 | 3,291 | |
3.5% 3/1/47 (b) | 41,000 | 42,011 | |
3.5% 3/1/47 (b) | 7,300 | 7,480 | |
3.5% 3/1/47 (b) | 3,100 | 3,176 | |
3.5% 3/1/47 (b) | 3,000 | 3,074 | |
4% 11/1/31 to 6/1/46 | 100,227 | 105,990 | |
4% 3/1/47 (b) | 7,800 | 8,196 | |
4.5% 5/1/25 to 10/1/45 | 26,890 | 28,996 | |
4.5% 6/1/46 | 535 | 580 | |
4.5% 10/1/46 | 314 | 341 | |
4.5% 11/1/46 | 298 | 323 | |
4.5% 12/1/46 | 431 | 468 | |
4.5% 1/1/47 | 310 | 336 | |
4.5% 1/1/47 | 388 | 422 | |
4.5% 2/1/47 | 341 | 371 | |
5% 5/1/20 to 5/1/44 | 11,975 | 13,255 | |
5.255% 8/1/41 | 717 | 789 | |
5.5% 2/1/18 to 4/1/39 | 2,654 | 3,002 | |
6.309% 2/1/39 | 1,253 | 1,363 | |
6.5% 6/1/17 to 8/1/39 | 6,963 | 8,012 | |
7% 8/1/17 to 5/1/30 | 773 | 886 | |
7.5% 8/1/22 to 9/1/32 | 511 | 601 | |
8% 12/1/29 to 3/1/37 | 14 | 17 | |
8.5% 2/1/22 to 3/1/23 | 45 | 50 | |
9% 10/1/30 | 191 | 235 | |
9.5% 2/1/20 to 8/1/22 | 2 | 2 | |
551,775 | |||
Freddie Mac - 26.6% | |||
2.5% 7/1/31 | 1,737 | 1,747 | |
2.57% 3/1/35 (a) | 66 | 68 | |
2.683% 3/1/36 (a) | 221 | 230 | |
2.838% 8/1/37 (a) | 77 | 80 | |
2.856% 5/1/34 (a) | 5 | 5 | |
2.925% 6/1/37 (a) | 28 | 30 | |
2.936% 5/1/37 (a) | 43 | 45 | |
2.968% 11/1/35 (a) | 191 | 199 | |
3% 10/1/28 to 3/1/47 | 100,973 | 100,912 | |
3.066% 9/1/41 (a) | 445 | 469 | |
3.099% 10/1/42 (a) | 302 | 319 | |
3.193% 6/1/33 (a) | 502 | 531 | |
3.22% 4/1/37 (a) | 9 | 9 | |
3.246% 6/1/37 (a) | 370 | 384 | |
3.26% 6/1/37 (a) | 21 | 22 | |
3.29% 6/1/37 (a) | 161 | 168 | |
3.295% 7/1/36 (a) | 63 | 68 | |
3.32% 4/1/37 (a) | 39 | 41 | |
3.41% 12/1/40 (a) | 1,768 | 1,854 | |
3.5% 6/1/27 to 9/1/46 (c)(d) | 96,607 | 99,730 | |
3.53% 10/1/36 (a) | 9 | 10 | |
3.769% 12/1/36 (a) | 354 | 377 | |
3.887% 10/1/35 (a) | 31 | 33 | |
4% 2/1/41 to 4/1/46 | 42,422 | 44,800 | |
4% 3/1/47 (b) | 4,900 | 5,148 | |
4.5% 7/1/25 to 6/1/44 | 7,398 | 7,979 | |
5% 7/1/33 to 7/1/41 | 8,824 | 9,781 | |
5.5% 10/1/17 to 10/1/39 | 7,981 | 8,911 | |
6% 3/1/17 to 6/1/39 | 1,681 | 1,898 | |
6.5% 4/1/17 to 9/1/39 | 2,900 | 3,263 | |
7% 6/1/21 to 9/1/36 | 1,063 | 1,224 | |
7.5% 4/1/17 to 7/1/34 | 1,315 | 1,545 | |
8% 4/1/21 to 1/1/37 | 6 | 7 | |
8.5% 9/1/20 | 0 | 0 | |
9% 10/1/19 to 5/1/21 | 2 | 2 | |
291,889 | |||
Ginnie Mae - 19.1% | |||
3% 6/15/42 to 1/20/47 | 46,976 | 47,616 | |
3% 3/1/47 (b) | 5,000 | 5,058 | |
3.5% 11/20/41 to 6/20/46 (c) | 67,703 | 70,691 | |
3.5% 3/1/47 (b) | 8,540 | 8,875 | |
4% 7/20/33 to 8/15/43 | 26,288 | 28,035 | |
4% 3/1/47 (b) | 5,150 | 5,450 | |
4% 3/1/47 (b) | 5,250 | 5,555 | |
4.5% 8/15/33 to 6/15/41 | 27,612 | 29,959 | |
5% 9/20/33 to 6/15/41 | 4,748 | 5,317 | |
5.5% 12/15/38 to 9/15/39 | 782 | 888 | |
6.5% 10/15/34 to 7/15/36 | 177 | 203 | |
7% 2/15/24 to 4/20/32 | 743 | 868 | |
7.5% 12/15/21 to 12/15/29 | 233 | 269 | |
8% 6/15/21 to 12/15/25 | 115 | 132 | |
8.5% 4/15/17 to 10/15/28 | 106 | 125 | |
9% 11/20/17 | 0 | 0 | |
10.5% 10/20/17 to 2/20/18 | 0 | 0 | |
209,041 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $1,054,850) | 1,052,705 | ||
Asset-Backed Securities - 3.7% | |||
American Credit Acceptance Receivable Trust Series 2016-1A Class A, 2.37% 5/12/20 (e) | $1,067 | $1,068 | |
American Credit Acceptance Receivables Trust Series 2015-3 Class A, 1.95% 9/12/19 (e) | 834 | 834 | |
Avis Budget Rental Car Funding (AESOP) LLC: | |||
Series 2012-2A Class A, 2.802% 5/20/18(e) | 1,050 | 1,052 | |
Series 2012-3A Class A, 2.1% 3/20/19 (e) | 5,560 | 5,579 | |
Citi Held For Asset Issuance Series 2015-PM33 Class A, 2.56% 5/16/22 (e) | 439 | 439 | |
Citi Held For Asset Issuance 2 Series 2015-PM2 Class A, 2% 3/15/22 (e) | 590 | 590 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 2.1283% 10/25/37 (e) | 5,404 | 5,379 | |
Countrywide Home Loans, Inc. Series 2005-3 Class MV4, 1.3983% 8/25/35 (a) | 226 | 226 | |
CPS Auto Trust Series 2015-C Class A, 1.77% 6/17/19 (e) | 3,543 | 3,544 | |
Exeter Automobile Receivables Trust Series 2016-1A Class A, 2.8% 7/15/20 (e) | 2,337 | 2,343 | |
Flagship Credit Auto Trust Series 2015-3 Class A, 2.34% 10/15/20 (e) | 1,621 | 1,625 | |
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (e) | 29 | 2 | |
JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AF3, 5.532% 11/25/36 | 246 | 246 | |
Merrill Lynch Mortgage Investors Trust Series 2006-FF1 Class M2, 1.0611% 8/25/36 (a) | 5,300 | 5,228 | |
Nationstar HECM Loan Trust Series 2016-1A Class A, 2.9813% 2/25/26 (e) | 1,033 | 1,033 | |
OneMain Financial Issuance Trust Series 2014-1A Class A, 2.43% 6/18/24 (e) | 347 | 347 | |
Structured Asset Securities Corp. Series 2005-NC2 Class M3, 1.2011% 5/25/35 (a) | 1,648 | 1,644 | |
Towd Point Mortgage Trust Series 2017-1 Class A1, 2.75% 10/25/56 (e) | 8,502 | 8,492 | |
Vericrest Opportunity Loan Trust Series 2014-NP11 Class A1, 3.875% 4/25/55 (e) | 211 | 212 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $39,736) | 39,883 | ||
Collateralized Mortgage Obligations - 11.7% | |||
Private Sponsor - 4.7% | |||
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 0.8961% 6/27/36 (a)(e) | 5,462 | 5,300 | |
Banc of America Funding Trust sequential payer Series 2010-R3 Class 1A1, 3.2753% 12/26/35 (a)(e) | 843 | 849 | |
BCAP LLC II Trust Series 2012-RR10 Class 5A5, 1.0178% 4/26/36 (a)(e) | 80 | 80 | |
BCAP LLC Trust sequential payer: | |||
Series 2010-RR11 Class 6A1, 3.068% 3/27/36 (a)(e) | $2,388 | $2,390 | |
Series 2012-RR5 Class 8A5, 0.939% 7/26/36 (a)(e) | 715 | 688 | |
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (a)(e) | 5,024 | 5,002 | |
Credit Suisse Commercial Mortgage Trust Series 2014-15R Class 7A3, 1.548% 10/26/37 (a)(e) | 1,268 | 1,254 | |
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 3.0732% 5/27/35 (a)(e) | 394 | 405 | |
CSMC: | |||
floater Series 2015-1R Class 6A1, 1.0361% 5/27/37 (a)(e) | 3,558 | 3,375 | |
Series 2011-2R Class 2A1, 3.0599% 7/27/36 (a)(e) | 1,682 | 1,681 | |
Series 2014-3R Class 2A1, 1.4561% 5/27/37 (a)(e) | 850 | 820 | |
Exeter Automobile Receivables Trust Series 2015-2A Class A, 1.54% 11/15/19 (e) | 1,860 | 1,859 | |
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 3.0317% 10/25/34 (a) | 269 | 266 | |
JP Morgan Resecuritization Trust floater Series 2012-2 Class 6A1, 0.945% 6/21/36 (a)(e) | 1,882 | 1,856 | |
JPMorgan Re-REMIC Trust floater Series 2009-5 Class 2A1, 2.4676% 1/26/37 (a)(e) | 22 | 22 | |
MASTR Alternative Loan Trust Series 2004-6 Class 5A1, 5.4273% 7/25/19 (a) | 699 | 703 | |
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.9261% 2/25/37 (a) | 953 | 906 | |
Morgan Stanley Re-REMIC Trust Series 2010-R6 Class 1A, 3.1154% 2/26/37 (a)(e) | 1,665 | 1,671 | |
Mortgage Repurchase Agreement Funding Trust floater Series 2016-5 Class A, 1.9417% 6/10/19 (a)(e) | 11,230 | 11,228 | |
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 2.8826% 11/25/25 (e) | 264 | 264 | |
Nomura Resecuritization Trust sequential payer Series 2011-3RA Class 2A1, 3.4196% 3/26/37 (a)(e) | 1,076 | 1,081 | |
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.118% 4/25/33 (a) | 55 | 55 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1.4183% 9/25/43 (a) | 3,263 | 3,140 | |
WaMu Mortgage pass-thru certificates sequential payer: | |||
Series 2002-S8 Class 2A7, 5.25% 1/25/18 | 78 | 78 | |
Series 2003-MS5 Class 1A1, 5% 3/25/18 | 83 | 83 | |
Wells Fargo Mortgage Backed Securities Trust: | |||
Series 2003-I Class A1, 2.8821% 9/25/33 (a) | 637 | 633 | |
Series 2005-AR10 Class 2A15, 3.0521% 6/25/35 (a) | 4,068 | 4,189 | |
Series 2005-AR2 Class 1A2, 3.0446% 3/25/35 (a) | 175 | 163 | |
Series 2006-AR10 Class 3A1, 3.0318% 7/25/36 (a) | 255 | 251 | |
Wells Fargo Mortgage Loan Trust sequential payer Series 2011-RR4: | |||
Class 1A1, 3.1978% 6/27/36 (a)(e) | 471 | 471 | |
Class 2A1, 3.0416% 6/27/36 (a)(e) | 635 | 633 | |
51,396 | |||
U.S. Government Agency - 7.0% | |||
Fannie Mae: | |||
floater Series 2003-118 Class S, 7.3217% 12/25/33 (a)(f)(g) | 267 | 68 | |
planned amortization class: | |||
Series 1999-17 Class PG, 6% 4/25/29 | 492 | 531 | |
Series 1999-32 Class PL, 6% 7/25/29 | 457 | 493 | |
Series 1999-33 Class PK, 6% 7/25/29 | 306 | 331 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 37 | 42 | |
Series 2005-39 Class TE, 5% 5/25/35 | 701 | 758 | |
Series 2005-73 Class SA, 15.5263% 8/25/35 (a)(g) | 50 | 62 | |
sequential payer: | |||
Series 2001-20 Class Z, 6% 5/25/31 | 478 | 526 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 213 | 242 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 76 | 87 | |
Series 2002-74 Class SV, 6.7717% 11/25/32 (a)(f) | 186 | 32 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (f) | 612 | 73 | |
Series 06-116 Class SG, 5.8617% 12/25/36 (a)(f)(g) | 183 | 38 | |
Series 07-40 Class SE, 5.6617% 5/25/37 (a)(f)(g) | 104 | 20 | |
Series 1993-165 Class SH, 17.5983% 9/25/23 (a)(g) | 24 | 31 | |
Series 2003-21 Class SK, 7.3217% 3/25/33 (a)(f)(g) | 74 | 16 | |
Series 2003-35 Class TQ, 6.7217% 5/25/18 (a)(f)(g) | 14 | 0 | |
Series 2007-57 Class SA, 35.95% 6/25/37 (a)(g) | 359 | 701 | |
Series 2007-66 Class SB, 34.93% 7/25/37 (a)(g) | 112 | 199 | |
Series 2008-12 Class SG, 5.5717% 3/25/38 (a)(f)(g) | 556 | 94 | |
Series 2009-114 Class AI, 5% 12/25/23 (f) | 43 | 0 | |
Series 2009-16 Class SA, 5.4717% 3/25/24 (a)(f)(g) | 3 | 0 | |
Series 2009-76 Class MI, 5.5% 9/25/24 (f) | 37 | 1 | |
Series 2009-85 Class IB, 4.5% 8/25/24 (f) | 50 | 3 | |
Series 2009-93 Class IC, 4.5% 9/25/24 (f) | 73 | 4 | |
Series 2010-12 Class AI, 5% 12/25/18 (f) | 171 | 4 | |
Series 2010-135 Class LS, 5.2717% 12/25/40 (a)(f)(g) | 522 | 83 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (f) | 645 | 76 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 1,357 | 1,501 | |
Series 2010-23: | |||
Class AI, 5% 12/25/18 (f) | 58 | 1 | |
Class HI, 4.5% 10/25/18 (f) | 56 | 1 | |
Series 2010-29 Class LI, 4.5% 6/25/19 (f) | 156 | 4 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 2,871 | 3,201 | |
Series 2010-97 Class CI, 4.5% 8/25/25 (f) | 175 | 12 | |
Series 2011-110 Class SA, 5.8317% 4/25/41 (a)(f) | 1,043 | 165 | |
Series 2011-112 Class SA, 5.7717% 11/25/41 (a)(f) | 952 | 177 | |
Series 2011-123 Class SD, 5.8217% 8/25/39 (a)(f) | 910 | 136 | |
Series 2011-67 Class AI, 4% 7/25/26 (f) | 170 | 17 | |
Series 2011-83 Class DI, 6% 9/25/26 (f) | 224 | 24 | |
Series 2012-100 Class WI, 3% 9/25/27 (f) | 1,544 | 149 | |
Series 2012-14 Class JS, 5.8717% 12/25/30 (a)(f) | 572 | 78 | |
Series 2012-47 Class SD, 5.6717% 5/25/42 (a)(f) | 2,016 | 403 | |
Series 2012-9 Class SH, 5.7717% 6/25/41 (a)(f) | 772 | 116 | |
Series 2013-133 Class IB, 3% 4/25/32 (f) | 1,054 | 102 | |
Series 2013-51 Class GI, 3% 10/25/32 (f) | 337 | 37 | |
Series 2013-N1 Class A, 5.9417% 6/25/35 (a)(f)(g) | 582 | 108 | |
Series 2014-68 Class ID, 3.5% 3/25/34 (f) | 766 | 100 | |
Series 2015-42: | |||
Class IL, 6% 6/25/45 (f) | 2,316 | 553 | |
Class LS, 5.4217% 6/25/45 (a)(f)(g) | 2,587 | 422 | |
Series 2015-70 Class JC, 3% 10/25/45 | 2,893 | 2,957 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 339 Class 29, 5.5% 8/25/18 (f) | 31 | 1 | |
Series 348 Class 14, 6.5% 8/25/34 (a)(f) | 148 | 35 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (a)(f) | 98 | 19 | |
Class 13, 6% 3/25/34 (f) | 130 | 26 | |
Series 359 Class 19, 6% 7/25/35 (a)(f) | 87 | 17 | |
Series 384 Class 6, 5% 7/25/37 (f) | 312 | 65 | |
Freddie Mac: | |||
planned amortization class: | |||
Series 2095 Class PE, 6% 11/15/28 | 550 | 596 | |
Series 2104 Class PG, 6% 12/15/28 | 154 | 170 | |
Series 2121 Class MG, 6% 2/15/29 | 222 | 239 | |
Series 2154 Class PT, 6% 5/15/29 | 375 | 405 | |
Series 2162 Class PH, 6% 6/15/29 | 57 | 62 | |
Series 2520 Class BE, 6% 11/15/32 | 258 | 279 | |
Series 2585 Class KS, 6.83% 3/15/23 (a)(f)(g) | 23 | 2 | |
Series 2693 Class MD, 5.5% 10/15/33 | 4,612 | 5,150 | |
Series 2802 Class OB, 6% 5/15/34 | 1,196 | 1,318 | |
Series 3002 Class NE, 5% 7/15/35 | 429 | 461 | |
Series 3189 Class PD, 6% 7/15/36 | 441 | 499 | |
Series 3415 Class PC, 5% 12/15/37 | 128 | 136 | |
Series 3786 Class HI, 4% 3/15/38 (f) | 630 | 55 | |
Series 3806 Class UP, 4.5% 2/15/41 | 1,090 | 1,147 | |
Series 3832 Class PE, 5% 3/15/41 | 960 | 1,047 | |
Series 70 Class C, 9% 9/15/20 | 1 | 1 | |
sequential payer: | |||
Series 2114 Class ZM, 6% 1/15/29 | 75 | 84 | |
Series 2135 Class JE, 6% 3/15/29 | 305 | 329 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 132 | 150 | |
Series 2281 Class ZB, 6% 3/15/30 | 106 | 114 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 257 | 294 | |
Series 2502 Class ZC, 6% 9/15/32 | 274 | 297 | |
Series 3871 Class KB, 5.5% 6/15/41 | 1,045 | 1,219 | |
Series 06-3115 Class SM, 5.83% 2/15/36 (a)(f)(g) | 145 | 29 | |
Series 1658 Class GZ, 7% 1/15/24 | 306 | 334 | |
Series 2013-4281 Class AI, 4% 12/15/28 (f) | 1,393 | 127 | |
Series 2380 Class SY, 7.43% 11/15/31 (a)(f)(g) | 1,035 | 183 | |
Series 2587 Class IM, 6.5% 3/15/33 (f) | 147 | 35 | |
Series 2844: | |||
Class SC, 41.795% 8/15/24 (a)(g) | 9 | 14 | |
Class SD, 76.44% 8/15/24 (a)(g) | 13 | 27 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 789 | 916 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 1,386 | 1,560 | |
Series 2947 Class XZ, 6% 3/15/35 | 528 | 585 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 628 | 715 | |
Series 3055 Class CS, 5.82% 10/15/35 (a)(f) | 195 | 39 | |
Series 3237 Class C, 5.5% 11/15/36 | 935 | 1,057 | |
Series 3244 Class SG, 5.89% 11/15/36 (a)(f)(g) | 407 | 77 | |
Series 3284 Class CI, 5.35% 3/15/37 (a)(f) | 852 | 157 | |
Series 3287 Class SD, 5.98% 3/15/37 (a)(f)(g) | 556 | 111 | |
Series 3297 Class BI, 5.99% 4/15/37 (a)(f)(g) | 818 | 168 | |
Series 3336 Class LI, 5.81% 6/15/37(a)(f) | 346 | 62 | |
Series 3772 Class BI, 4.5% 10/15/18 (f) | 113 | 3 | |
Series 3949 Class MK, 4.5% 10/15/34 | 300 | 318 | |
Series 3955 Class YI, 3% 11/15/21 (f) | 981 | 47 | |
Series 4055 Class BI, 3.5% 5/15/31 (f) | 964 | 103 | |
Series 4149 Class IO, 3% 1/15/33 (f) | 148 | 19 | |
Series 4314 Class AI, 5% 3/15/34 (f) | 397 | 52 | |
Series 4427 Class LI, 3.5% 2/15/34 (f) | 1,648 | 204 | |
Series 4471 Class PA 4% 12/15/40 | 4,215 | 4,410 | |
Series 4476 Class IA, 3.5% 1/15/32 (f) | 1,772 | 164 | |
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 210 | 238 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 2,941 | 3,133 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 5.92% 6/16/37 (a)(f)(g) | 196 | 40 | |
Series 2010-H17 Class FA, 1.1061% 7/20/60 (a)(h) | 259 | 256 | |
Series 2010-H18 Class AF, 0.9467% 9/20/60 (a)(h) | 323 | 320 | |
Series 2010-H19 Class FG, 1.0717% 8/20/60 (a)(h) | 356 | 352 | |
Series 2011-H13 Class FA, 1.1467% 4/20/61 (a)(h) | 151 | 150 | |
Series 2012-H21 Class DF, 1.2967% 5/20/61 (a)(h) | 1,250 | 1,252 | |
planned amortization class Series 2011-136 Class WI, 4.5% 5/20/40 (f) | 400 | 50 | |
sequential payer: | |||
Series 2002-24 Class SK, 7.18% 4/16/32 (a)(f)(g) | 961 | 192 | |
Series 2002-42 Class ZA, 6% 6/20/32 | 337 | 380 | |
Series 2004-24 Class ZM, 5% 4/20/34 | 670 | 736 | |
Series 2001-3 Class S, 7.33% 2/16/31 (a)(f) | 218 | 39 | |
Series 2001-36: | |||
Class SB, 7.33% 12/16/23 (a)(f)(g) | 533 | 80 | |
Class SP, 7.98% 9/16/26 (a)(f) | 328 | 43 | |
Series 2001-38 Class SB, 6.81% 8/16/31 (a)(f)(g) | 347 | 61 | |
Series 2001-49: | |||
Class SC, 6.83% 12/16/25 (a)(f)(g) | 693 | 99 | |
Class SL, 6.83% 5/16/30 (a)(f)(g) | 992 | 172 | |
Class SV, 7.48% 12/16/28 (a)(f)(g) | 86 | 10 | |
Series 2001-50: | |||
Class SD, 7.4194% 11/20/31 (a)(f)(g) | 502 | 113 | |
Class ST, 6.93% 8/16/27 (a)(f)(g) | 228 | 41 | |
Series 2002-5 Class SP, 6.68% 1/16/32 (a)(f)(g) | 338 | 51 | |
Series 2004-32 Class GS, 5.73% 5/16/34 (a)(f)(g) | 322 | 59 | |
Series 2004-73 Class AL, 6.43% 8/17/34 (a)(f)(g) | 127 | 29 | |
Series 2011-52 Class HI, 7% 4/16/41 (f) | 1,350 | 325 | |
Series 2012-76 Class GS, 5.93% 6/16/42 (a)(f)(g) | 604 | 114 | |
Series 2012-97 Class JS, 5.48% 8/16/42 (a)(f)(g) | 2,216 | 361 | |
Series 2013-124: | |||
Class ES, 7.6259% 4/20/39 (a)(g) | 1,322 | 1,399 | |
Class ST, 7.7593% 8/20/39 (a)(g) | 2,668 | 2,893 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (h) | 11,998 | 12,121 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (h) | 4,615 | 4,664 | |
Series 2017-H06 Class FA, 1.17% 8/20/66 (a)(h) | 6,693 | 6,700 | |
76,985 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $127,599) | 128,381 | ||
Commercial Mortgage Securities - 5.6% | |||
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.6783% 2/14/43 (a)(f) | 356 | 5 | |
Barclays Commercial Mortgage Securities LLC Series 2015-STP Class A, 3.3228% 9/10/28 (e) | 1,648 | 1,690 | |
Bayview Commercial Asset Trust floater Series 2007-3: | |||
Class M1, 1.0661% 7/25/37 (a)(e) | 32 | 25 | |
Class M2, 1.0961% 7/25/37 (a)(e) | 34 | 26 | |
Class M3, 1.1261% 7/25/37 (a)(e) | 55 | 41 | |
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 2.167% 12/15/27 (a)(e) | 5,940 | 5,953 | |
Citigroup Commercial Mortgage Trust: | |||
Series 2015-GC33 Class XA, 0.9747% 9/10/58 (a)(f) | 22,811 | 1,401 | |
Series 2016-P6 Class XA, 0.8424% 12/10/49 (a)(f) | 22,662 | 1,170 | |
COMM Mortgage Trust: | |||
Series 2014-CR19 Class XA, 1.2622% 8/10/47 (a)(f) | 26,349 | 1,545 | |
Series 2014-CR20 Class XA, 1.1851% 11/10/47 (a)(f) | 13,011 | 789 | |
Series 2014-LC17 Class XA, 0.9822% 10/10/47 (a)(f) | 14,781 | 635 | |
Series 2014-UBS4 Class XA, 1.2483% 8/10/47 (a)(f) | 21,859 | 1,339 | |
Series 2014-UBS6 Class XA, 1.0507% 12/10/47 (a)(f) | 15,243 | 833 | |
Series 2015-DC1 Class XA, 1.1732% 2/10/48 (a)(f) | 37,607 | 2,320 | |
CSMC Series 2015-TOWN: | |||
Class A, 2.0172% 3/15/28 (a)(e) | 7,804 | 7,794 | |
Class B, 2.6672% 3/15/28 (a)(e) | 185 | 185 | |
Class C, 3.0172% 3/15/28 (a)(e) | 180 | 180 | |
Class D, 3.9672% 3/15/28 (a)(e) | 273 | 273 | |
Freddie Mac Series K723 Class A1, 2.292% 4/25/23 | 2,182 | 2,173 | |
GAHR Commercial Mortgage Trust floater Series 2015-NRF Class AFL1, 2.004% 12/15/34 (a)(e) | 2,334 | 2,343 | |
GE Capital Commercial Mortgage Corp.: | |||
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | 40 | 40 | |
Series 2007-C1 Class A1A, 5.483% 12/10/49 | 1,662 | 1,662 | |
GS Mortgage Securities Trust: | |||
floater Series 2014-GSFL Class A, 1.7672% 7/15/31 (a)(e) | 213 | 212 | |
Series 2013-GC12 Class XA, 1.6793% 6/10/46 (a)(f) | 7,569 | 492 | |
Series 2014-GC20 Class XA, 1.1537% 4/10/47 (a)(f) | 19,286 | 1,063 | |
Series 2015-GC34 Class XA, 1.3693% 10/10/48 (a)(f) | 10,613 | 901 | |
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class A, 2.018% 11/15/29 (a)(e) | 844 | 846 | |
JPMBB Commercial Mortgage Securities Trust Series 2014-C19 Class XA, 1.1914% 4/15/47 (a)(f) | 6,687 | 235 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2014-BXH Class A, 1.67% 4/15/27 (a)(e) | 4,604 | 4,551 | |
sequential payer Series 2007-LD11 Class A4, 5.7592% 6/15/49 (a) | 2,251 | 2,256 | |
Series 2007-CB20 Class A1A, 5.746% 2/12/51 | 1,773 | 1,797 | |
Series 2016-WP Class TA, 2.2172% 10/15/33 (a)(e) | 769 | 776 | |
Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2007-6 Class A4, 5.485% 3/12/51 (a) | 85 | 85 | |
Morgan Stanley BAML Trust Series 2015-C25 Class XA, 1.1459% 10/15/48 (a)(f) | 13,759 | 994 | |
Morgan Stanley Capital I Trust sequential payer Series 2007-IQ15 Class A4, 5.9037% 6/11/49 (a) | 1,079 | 1,089 | |
MSCG Trust Series 2016-SNR Class A, 3.348% 11/15/34 (a)(e) | 1,220 | 1,218 | |
SCG Trust Series 2013-SRP1 Class A, 2.3539% 11/15/26 (a)(e) | 2,783 | 2,782 | |
Wachovia Bank Commercial Mortgage Trust sequential payer: | |||
Series 2007-C31 Class A5, 5.5% 4/15/47 | 7,211 | 7,206 | |
Series 2007-C32 Class A3, 5.7165% 6/15/49 (a) | 659 | 660 | |
Series 2007-C33 Class A4, 5.9654% 2/15/51 (a) | 615 | 616 | |
Wells Fargo Commercial Mortgage Trust Series 2015-C31 Class XA, 1.1108% 11/15/48 (a)(f) | 11,093 | 769 | |
WF-RBS Commercial Mortgage Trust Series 2014-C24 Class XA, 0.9677% 11/15/47 (a)(f) | 8,608 | 443 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $62,797) | 61,413 | ||
Shares | Value (000s) | ||
Money Market Funds - 1.1% | |||
Fidelity Cash Central Fund, 0.60% (i) | |||
(Cost $11,912) | 11,908,675 | 11,911 | |
TOTAL INVESTMENT PORTFOLIO - 118.1% | |||
(Cost $1,296,894) | 1,294,293 | ||
NET OTHER ASSETS (LIABILITIES) - (18.1)% | (197,945) | ||
NET ASSETS - 100% | $1,096,348 |
TBA Sale Commitments | ||
Principal Amount (000s) | Value (000s) | |
Fannie Mae | ||
3% 3/1/32 | $(8,200) | $(8,429) |
3% 3/1/32 | (1,000) | (1,028) |
3% 3/1/47 | (1,000) | (993) |
3.5% 3/1/47 | (1,000) | (1,025) |
3.5% 3/1/47 | (500) | (512) |
3.5% 3/1/47 | (3,400) | (3,484) |
4% 3/1/47 | (5,300) | (5,569) |
4% 3/1/47 | (2,600) | (2,732) |
4.5% 3/1/47 | (5,100) | (5,480) |
TOTAL FANNIE MAE | (29,252) | |
Freddie Mac | ||
3% 3/1/47 | (10,000) | (9,921) |
3% 3/1/47 | (10,000) | (9,921) |
3% 3/1/47 | (18,200) | (18,055) |
TOTAL FREDDIE MAC | (37,897) | |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $67,230) | $(67,149) |
Futures Contracts | |||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/(Depreciation) (000s) | |
Purchased | |||
Treasury Contracts | |||
61 CBOT 5-Year U.S. Treasury Note Contracts (United States) | June 2017 | 7,180 | $28 |
Sold | |||
Treasury Contracts | |||
98 CBOT 10-Year U.S. Treasury Note Contracts (United States) | June 2017 | 12,209 | (54) |
89 CBOT 2-Year U.S. Treasury Note Contracts (United States) | June 2017 | 19,260 | (18) |
22 CBOT Long Term U.S. Treasury Bond Contracts (United States) | June 2017 | 3,336 | (34) |
12 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | June 2017 | 1,941 | (22) |
TOTAL SOLD | (128) | ||
TOTAL FUTURES CONTRACTS | $(100) |
The face value of futures purchased as a percentage of Net Assets is 0.7%
The face value of futures sold as a percentage of Net Assets is 3.4%
For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $47,575,000.
Values shown as $0 may reflect amounts less than $500.
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(c) 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 $379,000.
(d) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $133,000.
(e) 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 $102,363,000 or 9.3% of net assets.
(f) 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.
(g) 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.
(h) 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.
(i) 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 are available on the SEC's website or upon request.
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 | $66 |
Fidelity Mortgage Backed Securities Central Fund | 1 |
Total | $67 |
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 Mortgage Backed Securities Central Fund | $86 | $1 | $84 | $-- | 0.0% |
Total | $86 | $1 | $84 | $-- |
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2017, 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: | ||||
U.S. Government Agency - Mortgage Securities | $1,052,705 | $-- | $1,052,705 | $-- |
Asset-Backed Securities | 39,883 | -- | 39,883 | -- |
Collateralized Mortgage Obligations | 128,381 | -- | 128,381 | -- |
Commercial Mortgage Securities | 61,413 | -- | 61,413 | -- |
Money Market Funds | 11,911 | 11,911 | -- | -- |
Total Investments in Securities: | $1,294,293 | $11,911 | $1,282,382 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $28 | $28 | $-- | $-- |
Total Assets | $28 | $28 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(128) | $(128) | $-- | $-- |
Total Liabilities | $(128) | $(128) | $-- | $-- |
Total Derivative Instruments: | $(100) | $(100) | $-- | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(67,149) | $-- | $(67,149) | $-- |
Total Other Financial Instruments: | $(67,149) | $-- | $(67,149) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2017. 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) | $28 | $(128) |
Total Interest Rate Risk | 28 | (128) |
Total Value of Derivatives | $28 | $(128) |
(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).
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) | February 28, 2017 (Unaudited) | |
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $1,284,982) | $1,282,382 | |
Fidelity Central Funds (cost $11,912) | 11,911 | |
Total Investments (cost $1,296,894) | $1,294,293 | |
Cash | 282 | |
Receivable for investments sold | 312 | |
Receivable for TBA sale commitments | 67,230 | |
Receivable for fund shares sold | 451 | |
Interest receivable | 3,321 | |
Distributions receivable from Fidelity Central Funds | 10 | |
Total assets | 1,365,899 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $12,946 | |
Delayed delivery | 187,076 | |
TBA sale commitments, at value | 67,149 | |
Payable for fund shares redeemed | 1,177 | |
Distributions payable | 72 | |
Accrued management fee | 283 | |
Distribution and service plan fees payable | 26 | |
Payable for daily variation margin for derivative instruments | 15 | |
Other affiliated payables | 138 | |
Other payables and accrued expenses | 669 | |
Total liabilities | 269,551 | |
Net Assets | $1,096,348 | |
Net Assets consist of: | ||
Paid in capital | $1,174,151 | |
Distributions in excess of net investment income | (4,623) | |
Accumulated undistributed net realized gain (loss) on investments | (70,560) | |
Net unrealized appreciation (depreciation) on investments | (2,620) | |
Net Assets | $1,096,348 | |
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($39,367 ÷ 3,520.0 shares) | $11.18 | |
Maximum offering price per share (100/96.00 of $11.18) | $11.65 | |
Class T: | ||
Net Asset Value and redemption price per share ($21,287 ÷ 1,899.6 shares) | $11.21 | |
Maximum offering price per share (100/96.00 of $11.21) | $11.68 | |
Class C: | ||
Net Asset Value and offering price per share ($15,764 ÷ 1,411.7 shares)(a) | $11.17 | |
Fidelity Mortgage Securities Fund: | ||
Net Asset Value, offering price and redemption price per share ($943,926 ÷ 84,188.7 shares) | $11.21 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($76,004 ÷ 6,803.0 shares) | $11.17 |
(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 | Six months ended February 28, 2017 (Unaudited) | |
Investment Income | ||
Interest | $12,895 | |
Income from Fidelity Central Funds | 67 | |
Total income | 12,962 | |
Expenses | ||
Management fee | $1,713 | |
Transfer agent fees | 607 | |
Distribution and service plan fees | 172 | |
Fund wide operations fee | 222 | |
Independent trustees' fees and expenses | 2 | |
Miscellaneous | 3 | |
Total expenses before reductions | 2,719 | |
Expense reductions | – | 2,719 |
Net investment income (loss) | 10,243 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (3,800) | |
Fidelity Central Funds | (2) | |
Futures contracts | 1,279 | |
Swaps | 25 | |
Total net realized gain (loss) | (2,498) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (20,122) | |
Futures contracts | (165) | |
Swaps | (42) | |
Delayed delivery commitments | 70 | |
Total change in net unrealized appreciation (depreciation) | (20,259) | |
Net gain (loss) | (22,757) | |
Net increase (decrease) in net assets resulting from operations | $(12,514) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Six months ended February 28, 2017 (Unaudited) | Year ended August 31, 2016 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $10,243 | $23,905 |
Net realized gain (loss) | (2,498) | 10,209 |
Change in net unrealized appreciation (depreciation) | (20,259) | 6,345 |
Net increase (decrease) in net assets resulting from operations | (12,514) | 40,459 |
Distributions to shareholders from net investment income | (12,445) | (25,324) |
Distributions to shareholders from net realized gain | – | (552) |
Total distributions | (12,445) | (25,876) |
Share transactions - net increase (decrease) | 2,782 | 101,086 |
Total increase (decrease) in net assets | (22,177) | 115,669 |
Net Assets | ||
Beginning of period | 1,118,525 | 1,002,856 |
End of period | $1,096,348 | $1,118,525 |
Other Information | ||
Distributions in excess of net investment income end of period | $(4,623) | $(2,421) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class A
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.44 | $11.29 | $11.24 | $10.89 | $11.34 | $11.14 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .088 | .217 | .223 | .239 | .169 | .278 |
Net realized and unrealized gain (loss) | (.238) | .173 | .047 | .341 | (.457) | .206 |
Total from investment operations | (.150) | .390 | .270 | .580 | (.288) | .484 |
Distributions from net investment income | (.110) | (.234) | (.217) | (.230) | (.162) | (.284) |
Distributions from net realized gain | – | (.006) | (.003) | – | – | – |
Total distributions | (.110) | (.240) | (.220) | (.230) | (.162) | (.284) |
Net asset value, end of period | $11.18 | $11.44 | $11.29 | $11.24 | $10.89 | $11.34 |
Total ReturnB,C,D | (1.31)% | 3.49% | 2.41% | 5.37% | (2.57)% | 4.41% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | .79%G | .79% | .81% | .81% | .79% | .81% |
Expenses net of fee waivers, if any | .79%G | .79% | .81% | .81% | .79% | .81% |
Expenses net of all reductions | .79%G | .79% | .81% | .81% | .79% | .81% |
Net investment income (loss) | 1.57%G | 1.92% | 1.97% | 2.15% | 1.51% | 2.48% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $39 | $49 | $38 | $41 | $50 | $60 |
Portfolio turnover rateH | 370%G | 404% | 439% | 398% | 474% | 451% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E 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%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H 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 Mortgage Securities Fund Class T
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.46 | $11.31 | $11.27 | $10.92 | $11.37 | $11.16 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .087 | .218 | .225 | .242 | .173 | .281 |
Net realized and unrealized gain (loss) | (.227) | .172 | .037 | .340 | (.458) | .216 |
Total from investment operations | (.140) | .390 | .262 | .582 | (.285) | .497 |
Distributions from net investment income | (.110) | (.234) | (.219) | (.232) | (.165) | (.287) |
Distributions from net realized gain | – | (.006) | (.003) | – | – | – |
Total distributions | (.110) | (.240) | (.222) | (.232) | (.165) | (.287) |
Net asset value, end of period | $11.21 | $11.46 | $11.31 | $11.27 | $10.92 | $11.37 |
Total ReturnB,C,D | (1.23)% | 3.48% | 2.33% | 5.38% | (2.54)% | 4.52% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | .80%G | .80% | .79% | .79% | .77% | .78% |
Expenses net of fee waivers, if any | .80%G | .79% | .79% | .79% | .77% | .78% |
Expenses net of all reductions | .80%G | .79% | .79% | .79% | .77% | .78% |
Net investment income (loss) | 1.56%G | 1.92% | 1.98% | 2.17% | 1.53% | 2.50% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $21 | $25 | $20 | $22 | $26 | $31 |
Portfolio turnover rateH | 370%G | 404% | 439% | 398% | 474% | 451% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E 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%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H 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 Mortgage Securities Fund Class C
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.42 | $11.27 | $11.23 | $10.88 | $11.33 | $11.12 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .045 | .133 | .141 | .160 | .088 | .197 |
Net realized and unrealized gain (loss) | (.228) | .172 | .037 | .342 | (.457) | .217 |
Total from investment operations | (.183) | .305 | .178 | .502 | (.369) | .414 |
Distributions from net investment income | (.067) | (.149) | (.135) | (.152) | (.081) | (.204) |
Distributions from net realized gain | – | (.006) | (.003) | – | – | – |
Total distributions | (.067) | (.155) | (.138) | (.152) | (.081) | (.204) |
Net asset value, end of period | $11.17 | $11.42 | $11.27 | $11.23 | $10.88 | $11.33 |
Total ReturnB,C,D | (1.60)% | 2.72% | 1.59% | 4.64% | (3.28)% | 3.76% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | 1.55%G | 1.54% | 1.53% | 1.52% | 1.52% | 1.53% |
Expenses net of fee waivers, if any | 1.55%G | 1.54% | 1.53% | 1.52% | 1.52% | 1.53% |
Expenses net of all reductions | 1.55%G | 1.54% | 1.53% | 1.52% | 1.52% | 1.53% |
Net investment income (loss) | .81%G | 1.17% | 1.25% | 1.44% | .78% | 1.76% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $16 | $19 | $16 | $17 | $17 | $18 |
Portfolio turnover rateH | 370%G | 404% | 439% | 398% | 474% | 451% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E 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%.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H 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 Mortgage Securities Fund
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.47 | $11.31 | $11.27 | $10.92 | $11.37 | $11.17 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .107 | .257 | .264 | .279 | .209 | .318 |
Net realized and unrealized gain (loss) | (.238) | .182 | .037 | .341 | (.458) | .206 |
Total from investment operations | (.131) | .439 | .301 | .620 | (.249) | .524 |
Distributions from net investment income | (.129) | (.273) | (.258) | (.270) | (.201) | (.324) |
Distributions from net realized gain | – | (.006) | (.003) | – | – | – |
Total distributions | (.129) | (.279) | (.261) | (.270) | (.201) | (.324) |
Net asset value, end of period | $11.21 | $11.47 | $11.31 | $11.27 | $10.92 | $11.37 |
Total ReturnB,C | (1.14)% | 3.93% | 2.68% | 5.73% | (2.23)% | 4.77% |
Ratios to Average Net AssetsD,E | ||||||
Expenses before reductions | .45%F | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45%F | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45%F | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 1.91%F | 2.26% | 2.33% | 2.51% | 1.85% | 2.84% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $944 | $948 | $856 | $785 | $778 | $850 |
Portfolio turnover rateG | 370%F | 404% | 439% | 398% | 474% | 451% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D 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 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Annualized
G 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 Mortgage Securities Fund Class I
Six months ended (Unaudited) February 28, | Years ended August 31, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.43 | $11.27 | $11.23 | $10.88 | $11.33 | $11.13 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .104 | .250 | .256 | .271 | .200 | .311 |
Net realized and unrealized gain (loss) | (.238) | .182 | .038 | .342 | (.456) | .207 |
Total from investment operations | (.134) | .432 | .294 | .613 | (.256) | .518 |
Distributions from net investment income | (.126) | (.266) | (.251) | (.263) | (.194) | (.318) |
Distributions from net realized gain | – | (.006) | (.003) | – | – | – |
Total distributions | (.126) | (.272) | (.254) | (.263) | (.194) | (.318) |
Net asset value, end of period | $11.17 | $11.43 | $11.27 | $11.23 | $10.88 | $11.33 |
Total ReturnB,C | (1.17)% | 3.88% | 2.64% | 5.69% | (2.30)% | 4.73% |
Ratios to Average Net AssetsD,E | ||||||
Expenses before reductions | .49%F | .50% | .50% | .51% | .51% | .50% |
Expenses net of fee waivers, if any | .49%F | .50% | .50% | .51% | .51% | .50% |
Expenses net of all reductions | .49%F | .50% | .50% | .51% | .51% | .50% |
Net investment income (loss) | 1.87%F | 2.21% | 2.28% | 2.45% | 1.79% | 2.79% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $76 | $79 | $72 | $48 | $34 | $12 |
Portfolio turnover rateG | 370%F | 404% | 439% | 398% | 474% | 451% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D 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 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Annualized
G 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 (Unaudited)
For the period ended February 28, 2017
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor Mortgage Securities 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, Fidelity Mortgage Securities Fund 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.
After the close of business on June 24, 2016, all outstanding Class B shares were converted to Class A shares. All prior fiscal period dollar and share amounts for Class B presented in the Notes to Financial Statements are for the period September 1, 2015 through June 24, 2016.
In March 2017, the Board of Trustees approved a change in the name of Class T to Class M effective after the close of business on March 24, 2017.
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.
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%.
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 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 Fund's investments to the Fair Value Committee (the Committee) established by the Fund's 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 Fund's 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 Fund's 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. Asset backed securities, 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. Brokers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. 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 may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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 February 28, 2017 is included at the end of the Fund's Schedule of Investments.
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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
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. 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.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, swap agreements, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $9,331 |
Gross unrealized depreciation | (11,952) |
Net unrealized appreciation (depreciation) on securities | $(2,621) |
Tax cost | $1,296,914 |
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 prior fiscal period end and is subject to adjustment.
Fiscal year of expiration | |
2017 | $(67,969) |
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.
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 | 1,279 | (165) |
Swaps | 25 | (42) |
Total Interest Rate Risk | 1,304 | (207) |
A summary of the value of derivatives by primary risk exposure as of period end 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. 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."
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 $46,467 and $72,907, 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 .20% 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 annualized management fee rate was .31% 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% | $55 | $2 |
Class T | -% | .25% | 29 | 14 |
Class C | .75% | .25% | 88 | 12 |
$172 | $28 |
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 and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, .75% 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 | $– |
Class T | –(a) |
Class C(b) | 2 |
$2 |
(a) In the amount of less than five hundred dollars.
(b) When 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 each respective class of the Fund, with the exception of Fidelity Mortgage Securities Fund. FIIOC receives an asset-based fee of .10% of Fidelity Mortgage Securities Fund's average net assets. 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(a) | |
Class A | $41 | .19 |
Class T | 23 | .20 |
Class C | 17 | .19 |
Fidelity Mortgage Securities Fund | 472 | .10 |
Class I | 54 | .14 |
$607 |
(a) Annualized
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% of the Fund's average net assets less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .04% of average net assets.
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 $2 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. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by an amount less than five hundred dollars.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2017 | Year ended August 31, 2016 | |
From net investment income | ||
Class A | $426 | $861 |
Class T | 223 | 483 |
Class B | – | 8 |
Class C | 105 | 232 |
Fidelity Mortgage Securities Fund | 10,824 | 21,950 |
Class I | 867 | 1,790 |
Total | $12,445 | $25,324 |
From net realized gain | ||
Class A | $– | $20 |
Class T | – | 13 |
Class B | – | –(a) |
Class C | – | 9 |
Fidelity Mortgage Securities Fund | – | 471 |
Class I | – | 39 |
Total | $– | $552 |
(a) In the amount of less than five hundred dollars.
10. 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 | |
Six months ended February 28, 2017 | Year ended August 31, 2016 | Six months ended February 28, 2017 | Year ended August 31, 2016 | |
Class A | ||||
Shares sold | 327 | 1,855 | $3,711 | $21,074 |
Reinvestment of distributions | 35 | 70 | 389 | 792 |
Shares redeemed | (1,093) | (1,066) | (12,326) | (12,097) |
Net increase (decrease) | (731) | 859 | $(8,226) | $9,769 |
Class T | ||||
Shares sold | 75 | 1,069 | $851 | $12,171 |
Reinvestment of distributions | 19 | 42 | 212 | 474 |
Shares redeemed | (347) | (769) | (3,917) | (8,717) |
Net increase (decrease) | (253) | 342 | $(2,854) | $3,928 |
Class B | ||||
Shares sold | – | 10 | $– | $102 |
Reinvestment of distributions | – | –(a) | – | 5 |
Shares redeemed | – | (84) | – | (944) |
Net increase (decrease) | – | (74) | $– | $(837) |
Class C | ||||
Shares sold | 181 | 756 | $2,025 | $8,561 |
Reinvestment of distributions | 8 | 18 | 92 | 204 |
Shares redeemed | (431) | (499) | (4,825) | (5,659) |
Net increase (decrease) | (242) | 275 | $(2,708) | $3,106 |
Fidelity Mortgage Securities Fund | ||||
Shares sold | 14,783 | 24,692 | $166,379 | $280,765 |
Reinvestment of distributions | 906 | 1,859 | 10,212 | 21,143 |
Shares redeemed | (14,148) | (19,583) | (159,115) | (222,910) |
Net increase (decrease) | 1,541 | 6,968 | $17,476 | $78,998 |
Class I | ||||
Shares sold | 300 | 1,158 | $3,376 | $13,096 |
Reinvestment of distributions | 76 | 158 | 852 | 1,786 |
Shares redeemed | (458) | (773) | (5,134) | (8,760) |
Net increase (decrease) | (82) | 543 | $(906) | $6,122 |
(a) In the amount of less than five hundred dollars.
11. 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.
At the end of the period, the investment adviser or its affiliates were the owners of record of 15% of the total outstanding shares of the Fund.
12. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
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 (September 1, 2016 to February 28, 2017).
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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. 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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. 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 September 1, 2016 | Ending Account Value February 28, 2017 | Expenses Paid During Period-B September 1, 2016 to February 28, 2017 | |
Class A | .79% | |||
Actual | $1,000.00 | $986.90 | $3.89 | |
Hypothetical-C | $1,000.00 | $1,020.88 | $3.96 | |
Class T | .80% | |||
Actual | $1,000.00 | $987.70 | $3.94 | |
Hypothetical-C | $1,000.00 | $1,020.83 | $4.01 | |
Class C | 1.55% | |||
Actual | $1,000.00 | $984.00 | $7.62 | |
Hypothetical-C | $1,000.00 | $1,017.11 | $7.75 | |
Fidelity Mortgage Securities Fund | .45% | |||
Actual | $1,000.00 | $988.60 | $2.22 | |
Hypothetical-C | $1,000.00 | $1,022.56 | $2.26 | |
Class I | .49% | |||
Actual | $1,000.00 | $988.30 | $2.42 | |
Hypothetical-C | $1,000.00 | $1,022.36 | $2.46 |
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 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in 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
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Mortgage Securities 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 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 a securities market index ("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; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; 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" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. 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 Mortgage Securities Fund
![](https://capedge.com/proxy/N-CSRS/0001379491-17-002787/img232391882.jpg)
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
MOR-SANN-0417
1.703537.119
Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series II’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable
assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12.
Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Advisor Series II
By: | /s/Stephanie J. Dorsey |
Stephanie J. Dorsey | |
President and Treasurer | |
Date: | May 1, 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: | May 1, 2017 |
By: | /s/Howard J. Galligan III |
Howard J. Galligan III | |
Chief Financial Officer | |
Date: | May 1, 2017 |