UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4707
Fidelity Advisor Series II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Marc Bryant, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | December 31 |
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Date of reporting period: | December 31, 2017 |
Item 1.
Reports to Stockholders
Fidelity Advisor® Strategic Income Fund Class A, Class M (formerly Class T), Class C and Class I Annual Report December 31, 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. © 2018 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.
Notes to Shareholders
On July 20, 2017, Adam Kramer became Co-Lead Portfolio Manager of the fund, replacing Joanna Bewick and joining Ford O'Neil.
On December 1, 2017, Sean Corcoran became a Co-Manager of the fund's U.S. government debt sleeve, replacing succeeding William Irving.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended December 31, 2017 | Past 1 year | Past 5 years | Past 10 years |
Class A (incl. 4.00% sales charge) | 3.55% | 2.69% | 5.41% |
Class M (incl. 4.00% sales charge) | 3.47% | 2.69% | 5.40% |
Class C (incl. contingent deferred sales charge) | 6.00% | 2.75% | 5.05% |
Class I | 8.06% | 3.78% | 6.09% |
Class C shares' contingent deferred sales charges included in the past one year, past five years and past ten years total return figures are 1%, 0% and 0%, respectively.
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Strategic Income Fund - Class A on December 31, 2007, and the current 4.00% sales charge was paid.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays U.S. Universal Bond Index performed over the same period.
Period Ending Values | ||
$16,933 | Fidelity Advisor® Strategic Income Fund - Class A | |
$15,277 | Bloomberg Barclays U.S. Universal Bond Index |
Management's Discussion of Fund Performance
Market Recap: For the 12 months ending December 31, 2017, the Fidelity Strategic Income Composite Index℠ gained 6.72%, with all five asset classes represented in this index turning in positive results. Riskier assets benefited from investors’ growing optimism about the global economic backdrop. Emerging-markets debt gained 8.17%, as measured by the Bloomberg Barclays® Emerging Markets Aggregate USD Bond Index. High-yield bonds were close behind, benefiting from steadily narrowing credit spreads. For the year, The BofA Merrill Lynch℠ US High Yield Constrained Index gained 7.48%. Meanwhile, the Bloomberg Barclays® US Government Bond Index returned 2.30%. The yield curve flattened in 2017, as yields on short-term U.S. government bonds rose along with the U.S. Federal Reserve’s three increases to the federal funds rate, while long-term yields dropped. Higher short-term rates helped performance of senior floating-rate debt, which gained 4.32% this year, as measured by the S&P®/LSTA Leveraged Performing Loan Index. Non-U.S. developed-markets bonds significantly outperformed their U.S. counterparts, as the Bloomberg Barclays Global Aggregate Developed Markets GDP Weighted ex USD Index gained 11.53%, due in large part to a strengthening euro relative to the dollar.Comments from Co-Portfolio Manager Adam Kramer: For the year, the fund’s share classes gained about 7% to 8%, outpacing our primary benchmark, the Bloomberg Barclays US Universal Bond Index, and the Fidelity Strategic Income Composite Index℠, which returned 4.09% and 6.72%, respectively. We see the Composite index, given its mix of investments, as a closer match for the fund. Effective security selection was the primary driver of the outperformance, especially in the fund’s high-yield subportfolio. Although this subportfolio consists primarily of high-yield bonds, manager Mark Notkin also has the flexibility to own stocks – even as we limit the fund’s overall equity exposure to 5%. Mark’s equity allocation was close to that limit this period, and in light of stocks’ extremely strong performance in 2017, such positioning turned out to be very helpful. Another positive was security selection in the emerging-markets debt subportfolio. Elsewhere, the fund’s positioning in the U.S. government bond category added modest value – security selection in this subportfolio was favorable, while a relative underweighting here also added value. In a strong period of performance, we’re happy that very little stood out on the downside. A small overweighting in floating-rate debt slightly hampered results, though positive security selection in the category more than offset the negative impact.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.Top Five Holdings as of December 31, 2017
(by issuer, excluding cash equivalents) | % of fund's net assets |
U.S. Treasury Obligations | 16.9 |
German Federal Republic | 3.0 |
Ginnie Mae guaranteed REMIC pass-thru certificates | 3.0 |
Japan Government | 2.8 |
French Government | 2.0 |
27.7 |
Top Five Market Sectors as of December 31, 2017
% of fund's net assets | |
Financials | 10.6 |
Consumer Discretionary | 8.8 |
Energy | 7.5 |
Information Technology | 4.8 |
Materials | 4.5 |
Quality Diversification (% of fund's net assets)
As of December 31, 2017 | ||
U.S. Government and U.S. Government Agency Obligations* | 22.8% | |
AAA,AA,A | 12.5% | |
BBB | 4.9% | |
BB | 17.9% | |
B | 19.0% | |
CCC,CC,C | 7.5% | |
Not Rated | 4.0% | |
Equities | 5.0% | |
Short-Term Investments and Net Other Assets | 6.4% |
* Includes NCUA Guaranteed Notes
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
As of December 31, 2017*,** | ||
Preferred Securities | 3.8% | |
Corporate Bonds | 35.0% | |
U.S. Government and U.S. Government Agency Obligations*** | 22.8% | |
Foreign Government & Government Agency Obligations | 18.7% | |
Bank Loan Obligations | 7.7% | |
Stocks | 5.0% | |
Other Investments | 0.6% | |
Short-Term Investments and Net Other Assets (Liabilities) | 6.4% |
* Foreign investments – 33.8%
** Futures and Swaps – 2.0%
*** Includes NCUA Guaranteed Notes
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable.
Investments December 31, 2017
Showing Percentage of Net Assets
Corporate Bonds - 34.8% | |||
Principal Amount (000s)(a) | Value (000s) | ||
Convertible Bonds - 0.3% | |||
CONSUMER DISCRETIONARY - 0.3% | |||
Auto Components - 0.0% | |||
Exide Technologies 7% 4/30/25 pay-in-kind (b) | $1,039 | $639 | |
Media - 0.3% | |||
DISH Network Corp. 3.375% 8/15/26 | 22,730 | 24,733 | |
TOTAL CONSUMER DISCRETIONARY | 25,372 | ||
Nonconvertible Bonds - 34.5% | |||
CONSUMER DISCRETIONARY - 5.1% | |||
Auto Components - 0.4% | |||
Allison Transmission, Inc. 5% 10/1/24 (c) | 4,205 | 4,336 | |
Delphi Technologies PLC 5% 10/1/25 (c) | 4,075 | 4,126 | |
Exide Technologies 11% 4/30/22 pay-in-kind (b)(c)(d) | 1,017 | 916 | |
Metalsa SA de CV 4.9% 4/24/23 (c) | 9,444 | 9,491 | |
Tenedora Nemak SA de CV 5.5% 2/28/23 (c) | 7,004 | 7,197 | |
Tenneco, Inc. 5% 7/15/26 | 3,090 | 3,167 | |
Tupy Overseas SA 6.625% 7/17/24 (c) | 1,625 | 1,723 | |
30,956 | |||
Automobiles - 0.1% | |||
Tesla, Inc. 5.3% 8/15/25 (c) | 9,355 | 8,934 | |
Distributors - 0.0% | |||
American Builders & Contractors Supply Co., Inc. 5.625% 4/15/21 (c) | 600 | 611 | |
American Tire Distributors, Inc. 10.25% 3/1/22 (c) | 1,740 | 1,792 | |
LKQ Corp. 4.75% 5/15/23 | 1,090 | 1,115 | |
3,518 | |||
Diversified Consumer Services - 0.1% | |||
Ascend Learning LLC 6.875% 8/1/25 (c) | 1,275 | 1,316 | |
Laureate Education, Inc. 8.25% 5/1/25 (c) | 10,660 | 11,300 | |
12,616 | |||
Hotels, Restaurants & Leisure - 1.2% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc. 5% 10/15/25 (c) | 12,575 | 12,669 | |
24 Hour Holdings III LLC 8% 6/1/22 (c) | 1,760 | 1,720 | |
Carlson Travel, Inc. 6.75% 12/15/23 (c) | 900 | 815 | |
Cedar Fair LP / Canada's Wonderland Co. 5.375% 4/15/27 (c) | 2,155 | 2,263 | |
Choice Hotels International, Inc. 5.75% 7/1/22 | 1,445 | 1,582 | |
Churchill Downs, Inc. 4.75% 1/15/28 (c) | 2,765 | 2,747 | |
Eldorado Resorts, Inc. 6% 4/1/25 | 3,825 | 3,997 | |
FelCor Lodging LP 6% 6/1/25 | 4,185 | 4,415 | |
Golden Nugget, Inc.: | |||
6.75% 10/15/24 (c) | 7,100 | 7,224 | |
8.75% 10/1/25 (c) | 7,450 | 7,823 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.: | |||
4.625% 4/1/25 | 5,815 | 5,975 | |
4.875% 4/1/27 | 2,730 | 2,856 | |
Jacobs Entertainment, Inc. 7.875% 2/1/24 (c) | 955 | 1,022 | |
KFC Holding Co./Pizza Hut Holding LLC: | |||
4.75% 6/1/27 (c) | 2,865 | 2,929 | |
5% 6/1/24 (c) | 3,275 | 3,377 | |
5.25% 6/1/26 (c) | 3,275 | 3,447 | |
LTF Merger Sub, Inc. 8.5% 6/15/23 (c) | 2,780 | 2,943 | |
MCE Finance Ltd. 4.875% 6/6/25 (c) | 1,455 | 1,471 | |
MGM Growth Properties Operating Partnership LP 5.625% 5/1/24 | 2,530 | 2,694 | |
Penn National Gaming, Inc. 5.625% 1/15/27 (c) | 775 | 804 | |
Scientific Games Corp.: | |||
5% 10/15/25 (c) | 1,075 | 1,078 | |
10% 12/1/22 | 8,300 | 9,109 | |
Silversea Cruises 7.25% 2/1/25 (c) | 1,625 | 1,751 | |
Station Casinos LLC 5% 10/1/25 (c) | 3,735 | 3,754 | |
Studio City Co. Ltd.: | |||
5.875% 11/30/19 (c) | 2,700 | 2,822 | |
7.25% 11/30/21 (c) | 7,025 | 7,411 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (c) | 8,560 | 8,678 | |
Wynn Macau Ltd.: | |||
4.875% 10/1/24 (c) | 2,720 | 2,734 | |
5.5% 10/1/27 (c) | 2,795 | 2,826 | |
112,936 | |||
Household Durables - 0.5% | |||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (c) | 3,165 | 3,307 | |
Brookfield Residential Properties, Inc. 6.5% 12/15/20 (c) | 2,595 | 2,647 | |
Lennar Corp. 4.75% 11/29/27 (c) | 3,685 | 3,795 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | |||
5.125% 7/15/23 (c) | 8,500 | 8,798 | |
7% 7/15/24 (c) | 2,460 | 2,632 | |
Springs Industries, Inc. 6.25% 6/1/21 | 1,475 | 1,505 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (c) | 3,265 | 3,449 | |
Toll Brothers Finance Corp.: | |||
4.375% 4/15/23 | 10,429 | 10,820 | |
5.625% 1/15/24 | 1,240 | 1,361 | |
TRI Pointe Homes, Inc. 5.875% 6/15/24 | 6,140 | 6,554 | |
William Lyon Homes, Inc. 5.875% 1/31/25 | 2,430 | 2,482 | |
47,350 | |||
Internet & Direct Marketing Retail - 0.5% | |||
Netflix, Inc.: | |||
4.375% 11/15/26 | 4,130 | 4,037 | |
4.875% 4/15/28 (c) | 7,385 | 7,237 | |
5.375% 2/1/21 (c) | 4,010 | 4,236 | |
5.75% 3/1/24 | 4,405 | 4,686 | |
5.875% 2/15/25 | 10,170 | 10,806 | |
Zayo Group LLC/Zayo Capital, Inc.: | |||
5.75% 1/15/27 (c) | 9,020 | 9,200 | |
6% 4/1/23 | 4,435 | 4,619 | |
44,821 | |||
Leisure Products - 0.0% | |||
Mattel, Inc. 6.75% 12/31/25 (c) | 3,185 | 3,228 | |
Media - 2.1% | |||
Altice U.S. Finance SA 5.5% 5/15/26 (c) | 4,270 | 4,350 | |
AMC Networks, Inc. 4.75% 8/1/25 | 3,740 | 3,707 | |
Block Communications, Inc. 6.875% 2/15/25 (c) | 3,010 | 3,153 | |
Cablevision SA 6.5% 6/15/21 (c) | 2,495 | 2,650 | |
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. 5.625% 2/15/24 | 570 | 603 | |
CBS Radio, Inc. 7.25% 11/1/24 (c) | 2,715 | 2,863 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
5% 2/1/28 (c) | 9,335 | 9,078 | |
5.125% 2/15/23 | 6,770 | 6,922 | |
5.125% 5/1/23 (c) | 5,425 | 5,534 | |
5.125% 5/1/27 (c) | 16,095 | 15,854 | |
5.375% 5/1/25 (c) | 5,425 | 5,589 | |
5.5% 5/1/26 (c) | 6,585 | 6,750 | |
5.75% 9/1/23 | 670 | 690 | |
5.75% 1/15/24 | 4,245 | 4,362 | |
5.75% 2/15/26 (c) | 7,390 | 7,676 | |
Clear Channel Communications, Inc.: | |||
9% 3/1/21 | 1,555 | 1,112 | |
11.25% 3/1/21 | 12,070 | 8,600 | |
14% 2/1/21 pay-in-kind (b) | 5,149 | 399 | |
Globo Comunicacao e Participacoes SA: | |||
4.843% 6/8/25 (c) | 4,055 | 4,156 | |
4.875% 4/11/22 (c) | 1,875 | 1,941 | |
5.125% 3/31/27 (c) | 1,285 | 1,306 | |
Grupo Televisa SA de CV 6.625% 3/18/25 | 405 | 479 | |
iHeartCommunications, Inc.: | |||
10.625% 3/15/23 | 10,220 | 7,205 | |
11.25% 3/1/21 (c) | 4,050 | 2,795 | |
Liberty Media Corp.: | |||
8.25% 2/1/30 | 1,985 | 2,154 | |
8.5% 7/15/29 | 4,375 | 4,823 | |
Lions Gate Entertainment Corp. 5.875% 11/1/24 (c) | 1,390 | 1,468 | |
Livent, Inc. yankee 9.375% 10/15/04 (d)(e) | 300 | 0 | |
Myriad International Holding BV 5.5% 7/21/25 (c) | 2,210 | 2,407 | |
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (b)(c) | 8,568 | 8,246 | |
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (c) | 2,335 | 2,402 | |
Quebecor Media, Inc. 5.75% 1/15/23 | 7,660 | 8,120 | |
Sirius XM Radio, Inc.: | |||
4.625% 5/15/23 (c) | 2,450 | 2,502 | |
5% 8/1/27 (c) | 3,750 | 3,759 | |
5.375% 4/15/25 (c) | 4,685 | 4,878 | |
5.375% 7/15/26 (c) | 4,230 | 4,383 | |
SKY PLC 2.5% 9/15/26 (Reg. S) | EUR | 1,750 | 2,308 |
Tegna, Inc. 5.5% 9/15/24 (c) | 3,210 | 3,366 | |
TV Azteca SA de CV 8.25% 8/9/24 (Reg. S) | 7,330 | 7,788 | |
Videotron Ltd. 5.125% 4/15/27 (c) | 3,830 | 4,002 | |
VTR Finance BV 6.875% 1/15/24 (c) | 5,500 | 5,803 | |
Wave Holdco LLC/Wave Holdco Corp. 8.25% 7/15/19 pay-in-kind (b)(c) | 1,043 | 1,043 | |
WMG Acquisition Corp. 5.625% 4/15/22 (c) | 859 | 885 | |
Ziggo Bond Finance BV: | |||
5.875% 1/15/25 (c) | 435 | 427 | |
6% 1/15/27 (c) | 4,190 | 4,085 | |
Ziggo Secured Finance BV 5.5% 1/15/27 (c) | 8,375 | 8,312 | |
190,935 | |||
Specialty Retail - 0.1% | |||
Penske Automotive Group, Inc. 5.5% 5/15/26 | 3,185 | 3,232 | |
Sonic Automotive, Inc.: | |||
5% 5/15/23 | 800 | 772 | |
6.125% 3/15/27 | 1,940 | 1,925 | |
5,929 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Hanesbrands, Inc.: | |||
4.625% 5/15/24 (c) | 2,120 | 2,162 | |
4.875% 5/15/26 (c) | 2,120 | 2,173 | |
Tecpetrol SA 4.875% 12/12/22 (c) | 1,545 | 1,544 | |
5,879 | |||
TOTAL CONSUMER DISCRETIONARY | 467,102 | ||
CONSUMER STAPLES - 1.4% | |||
Beverages - 0.0% | |||
Central American Bottling Corp. 5.75% 1/31/27 (c) | 1,030 | 1,083 | |
Food & Staples Retailing - 0.4% | |||
BI-LO LLC/BI-LO Finance Corp.: | |||
9.25% 2/15/19 (c) | 9,545 | 9,092 | |
9.375% 9/15/18 pay-in-kind (b)(c) | 6,229 | 1,993 | |
ESAL GmbH 6.25% 2/5/23 (c) | 13,590 | 12,911 | |
FAGE International SA/FAGE U.S.A. Dairy Industry, Inc. 5.625% 8/15/26 (c) | 3,205 | 3,093 | |
Hearthside Group Holdings LLC/Hearthside Finance, Inc. 6.5% 5/1/22 (c) | 1,265 | 1,290 | |
Minerva Luxembourg SA 6.5% 9/20/26 (c) | 3,265 | 3,355 | |
31,734 | |||
Food Products - 0.8% | |||
B&G Foods, Inc. 4.625% 6/1/21 | 5,220 | 5,298 | |
CF Industries Holdings, Inc.: | |||
4.95% 6/1/43 | 3,725 | 3,520 | |
5.15% 3/15/34 | 3,720 | 3,794 | |
5.375% 3/15/44 | 3,730 | 3,683 | |
JBS Investments GmbH 7.25% 4/3/24 (c) | 14,755 | 14,497 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
5.75% 6/15/25 (c) | 7,650 | 7,363 | |
5.875% 7/15/24 (c) | 2,350 | 2,271 | |
8.25% 2/1/20 (c) | 3,315 | 3,325 | |
Lamb Weston Holdings, Inc.: | |||
4.625% 11/1/24 (c) | 2,755 | 2,838 | |
4.875% 11/1/26 (c) | 2,785 | 2,910 | |
Pilgrim's Pride Corp.: | |||
5.75% 3/15/25 (c) | 6,670 | 6,895 | |
5.875% 9/30/27 (c) | 2,170 | 2,235 | |
Post Holdings, Inc.: | |||
5% 8/15/26 (c) | 6,385 | 6,281 | |
5.5% 3/1/25 (c) | 3,345 | 3,462 | |
5.75% 3/1/27 (c) | 2,560 | 2,605 | |
TreeHouse Foods, Inc. 4.875% 3/15/22 | 1,660 | 1,679 | |
72,656 | |||
Household Products - 0.1% | |||
Edgewell Personal Care Co. 5.5% 6/15/25 (c) | 2,800 | 2,916 | |
Kronos Acquisition Holdings, Inc. 9% 8/15/23 (c) | 375 | 351 | |
Spectrum Brands Holdings, Inc. 5.75% 7/15/25 | 4,470 | 4,705 | |
7,972 | |||
Personal Products - 0.1% | |||
Revlon Consumer Products Corp. 5.75% 2/15/21 (b) | 14,228 | 10,742 | |
TOTAL CONSUMER STAPLES | 124,187 | ||
ENERGY - 6.0% | |||
Energy Equipment & Services - 0.5% | |||
Borets Finance DAC 6.5% 4/7/22 (c) | 2,990 | 3,180 | |
Ensco PLC: | |||
4.5% 10/1/24 | 4,570 | 3,839 | |
5.2% 3/15/25 | 2,830 | 2,406 | |
5.75% 10/1/44 | 4,085 | 2,798 | |
Exterran Partners LP/EXLP Finance Corp. 6% 10/1/22 | 3,200 | 3,200 | |
Forum Energy Technologies, Inc. 6.25% 10/1/21 | 5,850 | 5,865 | |
Hornbeck Offshore Services, Inc. 5.875% 4/1/20 | 3,120 | 2,083 | |
Jonah Energy LLC 7.25% 10/15/25 (c) | 3,735 | 3,763 | |
Noble Holding International Ltd.: | |||
4.625% 3/1/21 | 420 | 393 | |
6.2% 8/1/40 | 1,600 | 1,092 | |
7.7% 4/1/25 (b) | 3,580 | 2,998 | |
8.7% 4/1/45 (b) | 795 | 630 | |
SESI LLC 7.75% 9/15/24 (c) | 2,230 | 2,369 | |
Southern Gas Corridor CJSC 6.875% 3/24/26 (c) | 5,560 | 6,318 | |
Summit Midstream Holdings LLC 5.75% 4/15/25 | 2,770 | 2,793 | |
The Oil and Gas Holding Co. 7.5% 10/25/27 (c) | 1,330 | 1,362 | |
Trinidad Drilling Ltd. 6.625% 2/15/25 (c) | 1,600 | 1,520 | |
Unit Corp. 6.625% 5/15/21 | 875 | 882 | |
47,491 | |||
Oil, Gas & Consumable Fuels - 5.5% | |||
Abu Dhabi Crude Oil Pipeline 4.6% 11/2/47 (c) | 775 | 797 | |
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 3/15/24 | 2,630 | 2,748 | |
Afren PLC: | |||
6.625% 12/9/20 (c)(d)(e) | 2,932 | 1 | |
10.25% 4/8/19 (Reg. S) (d)(e) | 6,109 | 5 | |
American Energy-Permian Basin LLC/AEPB Finance Corp. 13% 11/30/20 (c) | 6,670 | 7,671 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.375% 9/15/24 | 1,635 | 1,684 | |
Antero Resources Corp.: | |||
5.125% 12/1/22 | 305 | 311 | |
5.625% 6/1/23 (Reg. S) | 4,216 | 4,385 | |
Antero Resources Finance Corp. 5.375% 11/1/21 | 2,120 | 2,173 | |
Callon Petroleum Co. 6.125% 10/1/24 | 1,510 | 1,555 | |
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 | 2,860 | 2,967 | |
Cheniere Corpus Christi Holdings LLC: | |||
5.125% 6/30/27 | 3,835 | 3,967 | |
7% 6/30/24 | 4,875 | 5,548 | |
Chesapeake Energy Corp.: | |||
8% 12/15/22 (c) | 5,773 | 6,228 | |
8% 1/15/25 (c) | 2,055 | 2,076 | |
Citgo Holding, Inc. 10.75% 2/15/20 (c) | 18,572 | 19,918 | |
Concho Resources, Inc. 4.375% 1/15/25 | 4,050 | 4,212 | |
Consolidated Energy Finance SA: | |||
3 month U.S. LIBOR + 3.750% 5.3385% 6/15/22 (b)(c)(f) | 935 | 932 | |
6.875% 6/15/25 (c) | 1,865 | 1,977 | |
Continental Resources, Inc. 4.375% 1/15/28 (c) | 4,610 | 4,551 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 5.75% 4/1/25 | 2,910 | 3,005 | |
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 | 9,690 | 9,981 | |
Denbury Resources, Inc.: | |||
4.625% 7/15/23 | 4,155 | 2,659 | |
5.5% 5/1/22 | 6,783 | 4,638 | |
6.375% 8/15/21 | 5,775 | 4,360 | |
9% 5/15/21 (c) | 9,245 | 9,441 | |
Diamondback Energy, Inc.: | |||
4.75% 11/1/24 | 3,415 | 3,428 | |
5.375% 5/31/25 | 1,585 | 1,631 | |
Dolphin Energy Ltd. 5.5% 12/15/21 (c) | 1,200 | 1,302 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.5% 1/30/26 (c) | 1,570 | 1,597 | |
5.75% 1/30/28 (c) | 1,580 | 1,623 | |
Energy Transfer Equity LP 5.5% 6/1/27 | 6,395 | 6,523 | |
EnLink Midstream Partners LP: | |||
4.15% 6/1/25 | 3,190 | 3,223 | |
4.4% 4/1/24 | 3,185 | 3,289 | |
EP Energy LLC/Everest Acquisition Finance, Inc. 8% 11/29/24 (c) | 2,265 | 2,339 | |
EV Energy Partners LP/EV Energy Finance Corp. 8% 4/15/19 | 3,705 | 1,890 | |
Extraction Oil & Gas, Inc. 7.375% 5/15/24 (c) | 2,215 | 2,365 | |
Genesis Energy LP/Genesis Energy Finance Corp. 6.25% 5/15/26 | 2,765 | 2,755 | |
Georgian Oil & Gas Corp. 6.75% 4/26/21 (c) | 3,180 | 3,392 | |
Global Partners LP/GLP Finance Corp.: | |||
6.25% 7/15/22 | 1,030 | 1,058 | |
7% 6/15/23 | 4,305 | 4,423 | |
Hess Infrastructure Partners LP 5.625% 2/15/26 (c) | 4,695 | 4,848 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5% 12/1/24 (c) | 4,000 | 3,960 | |
5.75% 10/1/25 (c) | 4,310 | 4,407 | |
Holly Energy Partners LP/Holly Finance Corp. 6% 8/1/24 (c) | 2,650 | 2,763 | |
Indika Energy Capital II Pte. Ltd. 6.875% 4/10/22 (c) | 4,260 | 4,474 | |
Jupiter Resources, Inc. 8.5% 10/1/22 (c) | 2,760 | 1,711 | |
KazMunaiGaz Finance Sub BV 4.875% 5/7/25 (c) | 1,485 | 1,544 | |
Kosmos Energy Ltd.: | |||
7.875% 8/1/21 (c) | 3,000 | 3,068 | |
7.875% 8/1/21 (c) | 3,930 | 4,018 | |
Murphy Oil U.S.A., Inc. 5.625% 5/1/27 | 1,915 | 2,011 | |
Newfield Exploration Co.: | |||
5.375% 1/1/26 | 3,608 | 3,815 | |
5.625% 7/1/24 | 740 | 796 | |
NGL Energy Partners LP/NGL Energy Finance Corp. 6.125% 3/1/25 | 3,905 | 3,807 | |
NGPL PipeCo LLC: | |||
4.375% 8/15/22 (c) | 925 | 941 | |
4.875% 8/15/27 (c) | 925 | 960 | |
Nostrum Oil & Gas Finance BV: | |||
6.375% 2/14/19 (c) | 11,822 | 11,847 | |
8% 7/25/22 (c) | 9,530 | 9,880 | |
Pacific Exploration and Production Corp.: | |||
10% 11/2/21 pay-in-kind (b) | 3,233 | 3,678 | |
10% 11/2/21 pay-in-kind (b)(c) | 1,255 | 1,428 | |
Pan American Energy LLC 7.875% 5/7/21 (c) | 6,355 | 6,851 | |
Parsley Energy LLC/Parsley: | |||
5.25% 8/15/25 (c) | 2,390 | 2,396 | |
5.625% 10/15/27(c) | 1,785 | 1,825 | |
6.25% 6/1/24 (c) | 2,625 | 2,763 | |
PBF Holding Co. LLC/PBF Finance Corp.: | |||
7% 11/15/23 | 10,328 | 10,741 | |
7.25% 6/15/25 | 3,725 | 3,911 | |
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 | 3,235 | 3,332 | |
PDC Energy, Inc. 6.125% 9/15/24 | 1,310 | 1,356 | |
Pemex Project Funding Master Trust: | |||
6.625% 6/15/35 | 9,740 | 10,406 | |
8.625% 12/1/23 (b) | 500 | 599 | |
Petrobras Energia SA 7.375% 7/21/23 (c) | 3,355 | 3,657 | |
Petrobras Global Finance BV: | |||
5.999% 1/27/28 (c) | 2,726 | 2,733 | |
6.125% 1/17/22 | 16,625 | 17,643 | |
6.25% 3/17/24 | 2,950 | 3,130 | |
8.75% 5/23/26 | 11,925 | 14,250 | |
Petrobras International Finance Co. Ltd. 6.875% 1/20/40 | 2,617 | 2,643 | |
Petroleos de Venezuela SA: | |||
5.375% 4/12/27 | 2,160 | 502 | |
5.5% 4/12/37 | 3,350 | 796 | |
6% 5/16/24 (c)(e) | 7,130 | 1,607 | |
6% 11/15/26 (c)(e) | 5,535 | 1,212 | |
9.75% 5/17/35 (c)(e) | 8,010 | 2,151 | |
12.75% 2/17/22 (c) | 520 | 144 | |
Petroleos Mexicanos: | |||
4.625% 9/21/23 | 2,495 | 2,567 | |
4.875% 1/24/22 | 1,835 | 1,913 | |
4.875% 1/18/24 | 1,685 | 1,746 | |
5.5% 1/21/21 | 2,295 | 2,435 | |
6.375% 2/4/21 | 2,035 | 2,212 | |
6.375% 1/23/45 | 4,695 | 4,720 | |
6.5% 6/2/41 | 14,650 | 15,068 | |
6.625% (c)(g) | 5,233 | 5,307 | |
6.75% 9/21/47 | 8,544 | 8,919 | |
6.875% 8/4/26 | 1,115 | 1,264 | |
PT Pertamina Persero 6.5% 5/27/41 (c) | 1,050 | 1,263 | |
QEP Resources, Inc. 5.25% 5/1/23 | 5,955 | 6,026 | |
Range Resources Corp. 5% 3/15/23 | 9,130 | 9,084 | |
RSP Permian, Inc.: | |||
5.25% 1/15/25 | 1,345 | 1,379 | |
6.625% 10/1/22 | 1,785 | 1,872 | |
Sabine Pass Liquefaction LLC: | |||
5% 3/15/27 | 6,285 | 6,743 | |
5.875% 6/30/26 | 6,335 | 7,115 | |
SemGroup Corp.: | |||
6.375% 3/15/25 (c) | 1,940 | 1,911 | |
7.25% 3/15/26 (c) | 3,460 | 3,538 | |
SM Energy Co.: | |||
5.625% 6/1/25 | 2,100 | 2,037 | |
6.75% 9/15/26 | 1,680 | 1,730 | |
Southern Star Central Corp. 5.125% 7/15/22 (c) | 2,570 | 2,666 | |
Southwestern Energy Co.: | |||
4.1% 3/15/22 | 6,395 | 6,299 | |
7.5% 4/1/26 | 2,800 | 2,975 | |
7.75% 10/1/27 | 2,510 | 2,679 | |
Src Energy, Inc. 6.25% 12/1/25 (c) | 2,245 | 2,296 | |
Sunoco LP/Sunoco Finance Corp.: | |||
6.25% 4/15/21 | 6,110 | 6,351 | |
6.375% 4/1/23 | 3,040 | 3,203 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 5% 1/15/28 (c) | 3,690 | 3,681 | |
Teekay Corp. 8.5% 1/15/20 | 7,885 | 8,023 | |
Teine Energy Ltd. 6.875% 9/30/22 (c) | 4,615 | 4,765 | |
Tennessee Gas Pipeline Co. 7.625% 4/1/37 | 1,035 | 1,335 | |
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 6.375% 5/1/24 | 1,695 | 1,839 | |
Transportadora de Gas del Sur SA 9.625% 5/14/20 (c) | 8,285 | 8,886 | |
Tullow Oil PLC 6% 11/1/20 (c) | 1,690 | 1,705 | |
Ultra Resources, Inc.: | |||
6.875% 4/15/22 (c) | 2,860 | 2,867 | |
7.125% 4/15/25 (c) | 1,910 | 1,905 | |
Whiting Petroleum Corp. 6.625% 1/15/26 (c) | 2,540 | 2,591 | |
WPX Energy, Inc.: | |||
5.25% 9/15/24 | 3,215 | 3,204 | |
6% 1/15/22 | 9,170 | 9,583 | |
YPF SA: | |||
7% 12/15/47 (c) | 4,415 | 4,375 | |
8.5% 3/23/21 (c) | 5,920 | 6,696 | |
8.75% 4/4/24 (c) | 11,010 | 12,645 | |
Zhaikmunai International BV 7.125% 11/13/19 (c) | 825 | 836 | |
503,486 | |||
TOTAL ENERGY | 550,977 | ||
FINANCIALS - 6.2% | |||
Banks - 1.5% | |||
Access Bank PLC 10.5% 10/19/21 (c) | 1,225 | 1,375 | |
Akbank TAS/Ak Finansal Kiralama A/S 7.2% 3/16/27 (b)(c) | 1,570 | 1,648 | |
Banco de Bogota SA 6.25% 5/12/26 (c) | 1,850 | 1,995 | |
Banco de Reservas de La Republica Dominicana 7% 2/1/23 (c) | 3,670 | 3,869 | |
Banco Do Brasil SA 4.625% 1/15/25 (c) | 1,680 | 1,660 | |
Banco Hipotecario SA 9.75% 11/30/20 (c) | 11,615 | 13,221 | |
Banco Macro SA 6.75% 11/4/26 (b)(c) | 4,325 | 4,464 | |
Banco Nacional de Desenvolvimento Economico e Social: | |||
4% 4/14/19 (c) | 1,350 | 1,367 | |
6.369% 6/16/18 (c) | 1,750 | 1,779 | |
Banque Centrale de Tunisie 5.75% 1/30/25 (c) | 1,825 | 1,819 | |
Barclays PLC 2% 2/7/28 (Reg. S) (b) | EUR | 10,900 | 13,021 |
BBVA Bancomer SA 7.25% 4/22/20 (c) | 2,475 | 2,676 | |
BTA Bank JSC 5.5% 12/21/22 (c) | 2,450 | 2,449 | |
CBOM Finance PLC 7.5% 10/5/27 (b)(c) | 8,360 | 7,712 | |
CIT Group, Inc. 5% 8/15/22 | 6,837 | 7,247 | |
Export-Import Bank of Korea 6.2% 8/7/21 (c) | INR | 140,700 | 2,158 |
Fidelity Bank PLC 10.5% 10/16/22 (c) | 3,075 | 3,144 | |
Itau Unibanco Holding SA: | |||
5.125% 5/13/23 (Reg. S) | 4,160 | 4,258 | |
5.5% 8/6/22 (c) | 3,000 | 3,110 | |
JSC BGEO Group 6% 7/26/23 (c) | 4,685 | 4,866 | |
Kazkommertsbank Jsc Mtn Bank Ent 8.5% 5/11/18 (c) | 5,455 | 5,550 | |
SB Capital SA 5.5% 2/26/24 (b)(c) | 2,565 | 2,604 | |
Trade and Development Bank of Mongolia LLC 9.375% 5/19/20 (c) | 4,040 | 4,424 | |
Turkiye Garanti Bankasi A/S 6.125% 5/24/27 (b)(c) | 2,240 | 2,236 | |
Turkiye Halk Bankasi A/S 3.875% 2/5/20 (c) | 2,000 | 1,910 | |
Turkiye Is Bankasi A/S: | |||
5.5% 4/21/19 (c) | 1,085 | 1,105 | |
5.5% 4/21/22 (c) | 3,200 | 3,230 | |
Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (Reg. S) (b) | 5,675 | 5,725 | |
UniCredit SpA 6.95% 10/31/22 (Reg. S) | EUR | 9,000 | 13,277 |
Zenith Bank PLC: | |||
6.25% 4/22/19 (c) | 8,695 | 8,899 | |
7.375% 5/30/22 (c) | 6,825 | 7,101 | |
139,899 | |||
Capital Markets - 0.3% | |||
Adient Global Holdings Ltd. 4.875% 8/15/26 (c) | 4,220 | 4,336 | |
AssuredPartners, Inc. 7% 8/15/25 (c) | 1,505 | 1,497 | |
BCD Acquisition, Inc. 9.625% 9/15/23 (c) | 6,335 | 6,969 | |
Morgan Stanley 1.75% 3/11/24 | EUR | 3,795 | 4,779 |
MSCI, Inc.: | |||
5.25% 11/15/24 (c) | 2,735 | 2,882 | |
5.75% 8/15/25 (c) | 2,685 | 2,883 | |
23,346 | |||
Consumer Finance - 2.3% | |||
Ally Financial, Inc.: | |||
4.125% 2/13/22 | 8,795 | 8,991 | |
4.625% 3/30/25 | 6,760 | 7,098 | |
5.125% 9/30/24 | 20,806 | 22,496 | |
8% 11/1/31 | 82,753 | 107,579 | |
8% 11/1/31 | 9,006 | 11,685 | |
Credito Real S.A.B. de CV 7.5% 3/13/19 (c) | 3,240 | 3,317 | |
Navient Corp.: | |||
5.875% 10/25/24 | 11,105 | 11,022 | |
6.5% 6/15/22 | 2,950 | 3,097 | |
7.25% 9/25/23 | 1,795 | 1,912 | |
SLM Corp.: | |||
5.5% 1/25/23 | 15,840 | 15,800 | |
6.125% 3/25/24 | 5,445 | 5,513 | |
7.25% 1/25/22 | 12,155 | 13,021 | |
211,531 | |||
Diversified Financial Services - 1.3% | |||
1MDB Global Investments Ltd. 4.4% 3/9/23 | 3,000 | 2,911 | |
Cimpor Financial Operations BV 5.75% 7/17/24 (c) | 4,140 | 4,016 | |
Grinding Media, Inc./MC Grinding Media Canada, Inc. 7.375% 12/15/23 (c) | 2,520 | 2,706 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
5.875% 2/1/22 | 17,815 | 18,038 | |
6% 8/1/20 | 8,545 | 8,788 | |
6.25% 2/1/22 (c) | 3,690 | 3,773 | |
6.25% 2/1/22 | 2,595 | 2,653 | |
6.375% 12/15/25 (c) | 5,535 | 5,536 | |
6.75% 2/1/24 | 3,410 | 3,504 | |
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 8.625% 11/15/24 (c) | 3,305 | 3,528 | |
j2 Cloud Services LLC/j2 Global Communications, Inc. 6% 7/15/25 (c) | 2,505 | 2,637 | |
James Hardie International Finance Ltd.: | |||
4.75% 1/15/25 (c) | 2,670 | 2,690 | |
5% 1/15/28 (c) | 2,695 | 2,715 | |
PT Bukit Makmur Mandiri Utama 7.75% 2/13/22 (c) | 3,550 | 3,808 | |
Radiate Holdco LLC/Radiate Financial Service Ltd. 6.625% 2/15/25 (c) | 3,545 | 3,350 | |
RegionalCare Hospital Partners Holdings, Inc. 8.25% 5/1/23 (c) | 4,815 | 5,080 | |
Sistema International Funding SA 6.95% 5/17/19 (c) | 5,940 | 5,872 | |
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (c) | 11,225 | 12,628 | |
Sparc Em Spc 0% 12/5/22 (c) | 445 | 408 | |
TMK Capital SA 6.75% 4/3/20 (Reg. S) | 1,325 | 1,394 | |
Valvoline, Inc. 5.5% 7/15/24 | 1,550 | 1,647 | |
Venator Finance SARL/Venator Capital Management Ltd. 5.75% 7/15/25 (c) | 3,185 | 3,360 | |
Vertiv Inter Holding Corp. 12% 2/15/22 pay-in-kind (b)(c) | 5,765 | 6,197 | |
Wendel SA 2.75% 10/2/24 (Reg. S) | EUR | 6,400 | 8,442 |
115,681 | |||
Insurance - 0.3% | |||
Acrisure LLC 7% 11/15/25 (c) | 5,410 | 5,214 | |
Alliant Holdings Co.-Issuer, Inc./Wayne Merger Sub LLC 8.25% 8/1/23 (c) | 10,645 | 11,177 | |
Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (c) | 9,770 | 10,173 | |
USIS Merger Sub, Inc. 6.875% 5/1/25 (c) | 3,815 | 3,853 | |
30,417 | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
Starwood Property Trust, Inc. 4.75% 3/15/25 (c) | 3,510 | 3,484 | |
Thrifts & Mortgage Finance - 0.5% | |||
Nationwide Building Society 2% 7/25/29 (Reg. S) (b) | EUR | 15,000 | 18,218 |
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23 (c) | 23,175 | 25,724 | |
43,942 | |||
TOTAL FINANCIALS | 568,300 | ||
HEALTH CARE - 2.5% | |||
Biotechnology - 0.0% | |||
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (c) | 2,255 | 2,196 | |
Health Care Equipment & Supplies - 0.1% | |||
Hill-Rom Holdings, Inc. 5.75% 9/1/23 (c) | 2,125 | 2,223 | |
Hologic, Inc. 5.25% 7/15/22 (c) | 4,650 | 4,813 | |
Teleflex, Inc. 4.625% 11/15/27 | 1,505 | 1,518 | |
8,554 | |||
Health Care Providers & Services - 1.7% | |||
Community Health Systems, Inc.: | |||
6.25% 3/31/23 | 8,445 | 7,601 | |
6.875% 2/1/22 | 23,795 | 13,682 | |
7.125% 7/15/20 | 3,255 | 2,433 | |
HCA Holdings, Inc.: | |||
4.75% 5/1/23 | 6,115 | 6,298 | |
5.25% 4/15/25 | 13,180 | 13,938 | |
5.25% 6/15/26 | 5,275 | 5,592 | |
5.375% 2/1/25 | 8,650 | 8,953 | |
5.875% 5/1/23 | 7,155 | 7,638 | |
5.875% 2/15/26 | 10,705 | 11,321 | |
7.5% 2/15/22 | 12,110 | 13,624 | |
HealthSouth Corp. 5.75% 11/1/24 | 9,180 | 9,398 | |
MPH Acquisition Holdings LLC 7.125% 6/1/24 (c) | 2,280 | 2,428 | |
Polaris Intermediate Corp. 8.5% 12/1/22 pay-in-kind (b)(c) | 12,420 | 12,886 | |
Quintiles Transnational Corp. 4.875% 5/15/23 (c) | 3,340 | 3,440 | |
Sabra Health Care LP/Sabra Capital Corp. 5.375% 6/1/23 | 2,445 | 2,494 | |
Tenet Healthcare Corp.: | |||
4.625% 7/15/24 (c) | 1,865 | 1,818 | |
6.875% 11/15/31 | 11,520 | 9,446 | |
7.5% 1/1/22 (c) | 2,360 | 2,478 | |
Tennessee Merger Sub, Inc. 6.375% 2/1/25 (c) | 5,870 | 5,239 | |
THC Escrow Corp. III 5.125% 5/1/25 (c) | 1,865 | 1,818 | |
Vizient, Inc. 10.375% 3/1/24 (c) | 4,615 | 5,180 | |
Wellcare Health Plans, Inc. 5.25% 4/1/25 | 2,990 | 3,154 | |
West Street Merger Sub, Inc. 6.375% 9/1/25 (c) | 1,865 | 1,870 | |
152,729 | |||
Pharmaceuticals - 0.7% | |||
Catalent Pharma Solutions 4.875% 1/15/26 (c) | 1,210 | 1,215 | |
Inventiv Group Holdings, Inc. / Investment 7.5% 10/1/24 (c) | 1,482 | 1,601 | |
Valeant Pharmaceuticals International, Inc.: | |||
5.5% 11/1/25 (c) | 15,445 | 15,715 | |
5.875% 5/15/23 (c) | 16,345 | 15,160 | |
6.5% 3/15/22 (c) | 3,875 | 4,069 | |
6.75% 8/15/21 (c) | 1,935 | 1,950 | |
7% 3/15/24 (c) | 5,815 | 6,222 | |
9% 12/15/25 (c) | 14,330 | 14,935 | |
60,867 | |||
TOTAL HEALTH CARE | 224,346 | ||
INDUSTRIALS - 2.1% | |||
Aerospace & Defense - 0.3% | |||
DAE Funding LLC: | |||
4% 8/1/20 (c) | 2,150 | 2,172 | |
4.5% 8/1/22 (c) | 2,685 | 2,638 | |
5% 8/1/24 (c) | 3,700 | 3,654 | |
Huntington Ingalls Industries, Inc. 5% 11/15/25 (c) | 3,965 | 4,243 | |
KLX, Inc. 5.875% 12/1/22 (c) | 11,260 | 11,791 | |
TransDigm, Inc. 6.375% 6/15/26 | 4,050 | 4,091 | |
28,589 | |||
Air Freight & Logistics - 0.1% | |||
Rumo Luxembourg Sarl 7.375% 2/9/24 (c) | 5,775 | 6,214 | |
XPO Logistics, Inc. 6.125% 9/1/23 (c) | 3,300 | 3,490 | |
9,704 | |||
Airlines - 0.2% | |||
Air Canada 2013-1 Pass Through 5.375% 11/15/22 (c) | 1,195 | 1,251 | |
Allegiant Travel Co. 5.5% 7/15/19 | 1,270 | 1,303 | |
Azul Investments LLP 5.875% 10/26/24 (c) | 1,940 | 1,923 | |
Continental Airlines, Inc. pass-thru trust certificates 6.903% 4/19/22 | 272 | 287 | |
Delta Air Lines, Inc. pass-thru trust certificates 8.021% 2/10/24 | 1,838 | 2,061 | |
Hawaiian Airlines pass-thru certificates Series 2013-1 Class B, 4.95% 7/15/23 | 1,985 | 2,047 | |
U.S. Airways pass-thru certificates: | |||
Series 2011-1 Class A, 7.125% 10/22/23 | 3,233 | 3,711 | |
Series 2012-2 Class B, 6.75% 6/3/21 | 1,449 | 1,567 | |
Series 2013-1 Class B, 5.375% 11/15/21 | 1,884 | 1,984 | |
16,134 | |||
Building Products - 0.0% | |||
Shea Homes Ltd. Partnership/Corp.: | |||
5.875% 4/1/23 (c) | 1,380 | 1,432 | |
6.125% 4/1/25 (c) | 1,380 | 1,435 | |
2,867 | |||
Commercial Services & Supplies - 0.6% | |||
ADS Waste Holdings, Inc. 5.625% 11/15/24 (c) | 3,640 | 3,722 | |
APX Group, Inc.: | |||
7.625% 9/1/23 | 5,235 | 5,510 | |
7.875% 12/1/22 | 9,685 | 10,375 | |
8.75% 12/1/20 | 7,385 | 7,533 | |
CD&R Waterworks Merger Sub LLC 6.125% 8/15/25 (c) | 1,455 | 1,477 | |
Covanta Holding Corp.: | |||
5.875% 3/1/24 | 3,120 | 3,167 | |
5.875% 7/1/25 | 1,045 | 1,050 | |
Harland Clarke Holdings Corp. 8.375% 8/15/22 (c) | 6,310 | 6,553 | |
KAR Auction Services, Inc. 5.125% 6/1/25 (c) | 3,180 | 3,260 | |
Kissner Holdings LP/Kissner Milling Co. Ltd./BSC Holding, Inc./Kissner U.S.A. 8.375% 12/1/22 (c) | 3,420 | 3,454 | |
Ritchie Brothers Auctioneers, Inc. 5.375% 1/15/25 (c) | 1,215 | 1,254 | |
The Brink's Co. 4.625% 10/15/27 (c) | 3,690 | 3,616 | |
50,971 | |||
Construction & Engineering - 0.2% | |||
AECOM 5.125% 3/15/27 | 3,925 | 3,998 | |
Blueline Rental Finance Corp./Blueline Rental LLC 9.25% 3/15/24 (c) | 7,435 | 7,937 | |
Cementos Progreso Trust 7.125% 11/6/23 (c) | 2,245 | 2,380 | |
Odebrecht Finance Ltd.: | |||
4.375% 4/25/25 (c) | 9,735 | 2,872 | |
5.25% 6/27/29 (c) | 3,565 | 1,034 | |
7.125% 6/26/42 (c) | 4,870 | 1,540 | |
19,761 | |||
Electrical Equipment - 0.0% | |||
Sensata Technologies BV 5% 10/1/25 (c) | 4,355 | 4,605 | |
Industrial Conglomerates - 0.0% | |||
Alfa SA de CV 5.25% 3/25/24 (c) | 1,490 | 1,576 | |
Machinery - 0.1% | |||
Xerium Technologies, Inc. 9.5% 8/15/21 | 6,385 | 6,465 | |
Marine - 0.1% | |||
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (c) | 1,065 | 903 | |
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (c) | 4,035 | 3,864 | |
4,767 | |||
Professional Services - 0.1% | |||
IHS Markit Ltd.: | |||
4% 3/1/26 (c) | 1,625 | 1,623 | |
4.75% 2/15/25 (c) | 3,050 | 3,218 | |
4,841 | |||
Road & Rail - 0.0% | |||
JSC Georgian Railway 7.75% 7/11/22 (c) | 1,350 | 1,509 | |
Lima Metro Line 2 Finance Ltd. 5.875% 7/5/34 (c) | 1,870 | 2,021 | |
3,530 | |||
Trading Companies & Distributors - 0.3% | |||
Aircastle Ltd.: | |||
5% 4/1/23 | 2,405 | 2,534 | |
5.5% 2/15/22 | 4,250 | 4,553 | |
Ashtead Capital, Inc. 5.625% 10/1/24 (c) | 4,250 | 4,505 | |
Avantor, Inc. 6% 10/1/24 (c) | 3,735 | 3,721 | |
Brenntag Finance BV 1.125% 9/27/25 (Reg. S) | EUR | 7,250 | 8,635 |
FLY Leasing Ltd. 5.25% 10/15/24 | 2,920 | 2,920 | |
United Rentals North America, Inc. 5.5% 5/15/27 | 2,625 | 2,763 | |
29,631 | |||
Transportation Infrastructure - 0.1% | |||
Aeropuertos Argentina 2000 SA 6.875% 2/1/27 (c) | 4,485 | 4,849 | |
Global Ports Finance PLC 6.872% 1/25/22 (c) | 3,375 | 3,627 | |
8,476 | |||
TOTAL INDUSTRIALS | 191,917 | ||
INFORMATION TECHNOLOGY - 1.5% | |||
Communications Equipment - 0.2% | |||
Banglalink Digital Communications Ltd. 8.625% 5/6/19 (c) | 9,175 | 9,519 | |
Brocade Communications Systems, Inc. 4.625% 1/15/23 | 3,330 | 3,405 | |
Commscope Technologies LLC 5% 3/15/27 (c) | 4,155 | 4,155 | |
17,079 | |||
Electronic Equipment & Components - 0.1% | |||
Conduent Finance, Inc./Xerox Business Service LLC 10.5% 12/15/24 (c) | 9,120 | 10,650 | |
TTM Technologies, Inc. 5.625% 10/1/25 (c) | 1,250 | 1,281 | |
11,931 | |||
Internet Software & Services - 0.2% | |||
Balboa Merger Sub, Inc. 11.375% 12/1/21 (c) | 8,050 | 8,770 | |
Camelot Finance SA 7.875% 10/15/24 (c) | 1,870 | 1,996 | |
CyrusOne LP/CyrusOne Finance Corp.: | |||
5% 3/15/24 (c) | 1,040 | 1,079 | |
5.375% 3/15/27 (c) | 890 | 935 | |
GTT Communications, Inc. 7.875% 12/31/24 (c) | 1,925 | 2,031 | |
14,811 | |||
IT Services - 0.1% | |||
CDW LLC/CDW Finance Corp. 5% 9/1/25 | 2,085 | 2,158 | |
Ceridian HCM Holding, Inc. 11% 3/15/21 (c) | 2,360 | 2,466 | |
Everi Payments, Inc. 10% 1/15/22 | 4,210 | 4,526 | |
Gartner, Inc. 5.125% 4/1/25 (c) | 1,935 | 2,022 | |
11,172 | |||
Semiconductors & Semiconductor Equipment - 0.5% | |||
Microsemi Corp. 9.125% 4/15/23 (c) | 867 | 975 | |
NXP BV/NXP Funding LLC: | |||
4.625% 6/15/22 (c) | 4,750 | 4,970 | |
4.625% 6/1/23 (c) | 3,805 | 3,980 | |
5.75% 3/15/23 (c) | 15,105 | 15,596 | |
Qorvo, Inc.: | |||
6.75% 12/1/23 | 3,135 | 3,370 | |
7% 12/1/25 | 9,580 | 10,694 | |
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (c) | 4,190 | 4,557 | |
Versum Materials, Inc. 5.5% 9/30/24 (c) | 2,170 | 2,322 | |
46,464 | |||
Software - 0.4% | |||
Ensemble S Merger Sub, Inc. 9% 9/30/23 (c) | 7,070 | 7,477 | |
Greeneden U.S. Holdings II LLC 10% 11/30/24 (c) | 2,155 | 2,354 | |
JDA Escrow LLC/JDA Bond Finance, Inc. 7.375% 10/15/24 (c) | 1,490 | 1,561 | |
Open Text Corp. 5.875% 6/1/26 (c) | 3,195 | 3,443 | |
Parametric Technology Corp. 6% 5/15/24 | 1,295 | 1,373 | |
SS&C Technologies Holdings, Inc. 5.875% 7/15/23 | 3,370 | 3,555 | |
Symantec Corp. 5% 4/15/25 (c) | 3,335 | 3,468 | |
Veritas U.S., Inc./Veritas Bermuda Ltd.: | |||
7.5% 2/1/23 (c) | 4,635 | 4,855 | |
10.5% 2/1/24 (c) | 9,345 | 9,719 | |
37,805 | |||
TOTAL INFORMATION TECHNOLOGY | 139,262 | ||
MATERIALS - 3.6% | |||
Chemicals - 1.2% | |||
Braskem Finance Ltd.: | |||
5.375% 5/2/22 (c) | 2,950 | 3,120 | |
5.75% 4/15/21 (c) | 2,020 | 2,141 | |
6.45% 2/3/24 | 2,220 | 2,486 | |
Hexion, Inc. 10.375% 2/1/22 (c) | 1,495 | 1,391 | |
Kraton Polymers LLC/Kraton Polymers Capital Corp. 10.5% 4/15/23 (c) | 2,715 | 3,068 | |
Momentive Performance Materials, Inc.: | |||
3.88% 10/24/21 | 44,218 | 46,208 | |
4.69% 4/24/22 | 14,170 | 14,879 | |
10% 10/15/20 (d)(e) | 14,170 | 0 | |
MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 (d)(e) | 44,218 | 0 | |
NOVA Chemicals Corp.: | |||
4.875% 6/1/24 (c) | 4,660 | 4,648 | |
5.25% 6/1/27 (c) | 3,995 | 3,985 | |
Nufarm Australia Ltd. 6.375% 10/15/19 (c) | 2,020 | 2,055 | |
OCP SA 5.625% 4/25/24 (c) | 1,270 | 1,360 | |
Platform Specialty Products Corp.: | |||
5.875% 12/1/25 (c) | 5,620 | 5,578 | |
6.5% 2/1/22 (c) | 4,175 | 4,316 | |
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.5% 6/15/25 (c) | 3,010 | 3,145 | |
The Chemours Co. LLC 5.375% 5/15/27 | 1,545 | 1,599 | |
TPC Group, Inc. 8.75% 12/15/20 (c) | 7,335 | 7,335 | |
107,314 | |||
Construction Materials - 0.1% | |||
CEMEX Finance LLC 6% 4/1/24 (c) | 2,000 | 2,105 | |
CEMEX S.A.B. de CV 7.75% 4/16/26 (c) | 1,870 | 2,118 | |
Prince Mineral Holding Corp. 11.5% 12/15/19 (b)(c) | 1,685 | 1,736 | |
Summit Materials LLC/Summit Materials Finance Corp. 5.125% 6/1/25 (c) | 1,570 | 1,601 | |
U.S. Concrete, Inc. 6.375% 6/1/24 | 2,070 | 2,220 | |
Union Andina de Cementos SAA 5.875% 10/30/21 (c) | 2,055 | 2,122 | |
11,902 | |||
Containers & Packaging - 0.5% | |||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.625% 5/15/23 (c) | 4,250 | 4,336 | |
6% 2/15/25 (c) | 6,620 | 6,968 | |
7.25% 5/15/24 (c) | 7,590 | 8,264 | |
Crown Cork & Seal, Inc.: | |||
7.375% 12/15/26 | 11,295 | 13,159 | |
7.5% 12/15/96 | 3,685 | 3,713 | |
Flex Acquisition Co., Inc. 6.875% 1/15/25 (c) | 1,795 | 1,859 | |
Plastipak Holdings, Inc. 6.25% 10/15/25 (c) | 1,070 | 1,094 | |
Sealed Air Corp. 5.25% 4/1/23 (c) | 2,540 | 2,705 | |
42,098 | |||
Metals & Mining - 1.8% | |||
Alcoa Nederland Holding BV: | |||
6.75% 9/30/24 (c) | 2,825 | 3,079 | |
7% 9/30/26 (c) | 2,340 | 2,627 | |
Aleris International, Inc. 6% 6/1/20 (c)(d) | 33 | 33 | |
ArcelorMittal SA 0.95% 1/17/23 (Reg. S) | EUR | 12,150 | 14,469 |
Big River Steel LLC/BRS Finance Corp. 7.25% 9/1/25 (c) | 2,905 | 3,072 | |
Cliffs Natural Resources, Inc.: | |||
4.875% 1/15/24 (c) | 3,690 | 3,681 | |
5.75% 3/1/25 (c) | 3,740 | 3,558 | |
Compania Minera Ares SAC 7.75% 1/23/21 (c) | 5,250 | 5,460 | |
Constellium NV 5.875% 2/15/26 (c) | 1,520 | 1,549 | |
EVRAZ Group SA: | |||
5.375% 3/20/23 (c) | 4,990 | 5,190 | |
8.25% 1/28/21 (Reg. S) | 2,865 | 3,227 | |
Ferrexpo Finance PLC: | |||
10.375% 4/7/19 (c) | 235 | 245 | |
10.375% 4/7/19 (c) | 635 | 663 | |
First Quantum Minerals Ltd.: | |||
7% 2/15/21 (c) | 5,040 | 5,229 | |
7.25% 5/15/22 (c) | 2,945 | 3,087 | |
7.25% 4/1/23 (c) | 7,915 | 8,528 | |
7.5% 4/1/25 (c) | 4,845 | 5,257 | |
FMG Resources (August 2006) Pty Ltd.: | |||
4.75% 5/15/22 (c) | 2,455 | 2,486 | |
5.125% 5/15/24 (c) | 3,025 | 3,063 | |
Freeport-McMoRan, Inc.: | |||
3.55% 3/1/22 | 2,130 | 2,106 | |
3.875% 3/15/23 | 6,390 | 6,358 | |
5.4% 11/14/34 | 2,000 | 2,035 | |
5.45% 3/15/43 | 13,105 | 13,089 | |
6.75% 2/1/22 | 6,175 | 6,391 | |
Gold Fields Orogen Holding BVI Ltd. 4.875% 10/7/20 (c) | 1,222 | 1,246 | |
GTL Trade Finance, Inc. 5.893% 4/29/24 (c) | 1,850 | 1,984 | |
JMC Steel Group, Inc. 9.875% 6/15/23 (c) | 2,775 | 3,122 | |
Joseph T Ryerson & Son, Inc. 11% 5/15/22 (c) | 2,400 | 2,685 | |
Lundin Mining Corp. 7.875% 11/1/22 (c) | 215 | 230 | |
Metalloinvest Finance Designated Activity Co. 4.85% 5/2/24 (c) | 1,200 | 1,227 | |
Metinvest BV 9.3725% 12/31/21 pay-in-kind (b) | 9,616 | 10,040 | |
Murray Energy Corp. 11.25% 4/15/21 (c) | 4,180 | 2,132 | |
Polyus Finance PLC 5.25% 2/7/23 (c) | 1,275 | 1,337 | |
Southern Copper Corp. 7.5% 7/27/35 | 2,390 | 3,248 | |
Stillwater Mining Co.: | |||
6.125% 6/27/22 (c) | 5,230 | 5,308 | |
7.125% 6/27/25 (c) | 2,725 | 2,801 | |
United States Steel Corp. 8.375% 7/1/21 (c) | 7,250 | 7,870 | |
Vale Overseas Ltd.: | |||
4.375% 1/11/22 | 2,440 | 2,523 | |
6.875% 11/21/36 | 1,495 | 1,831 | |
Vedanta Resources PLC: | |||
6.375% 7/30/22 (c) | 4,920 | 5,135 | |
8.25% 6/7/21 (c) | 2,575 | 2,845 | |
VM Holding SA 5.375% 5/4/27 (c) | 2,640 | 2,798 | |
162,844 | |||
Paper & Forest Products - 0.0% | |||
NewPage Corp.: | |||
3 month U.S. LIBOR + 6.250% 0% 5/1/12 (b)(d)(e)(f) | 1,770 | 0 | |
11.375% 12/31/2014(d)(e) | 4,396 | 0 | |
0 | |||
TOTAL MATERIALS | 324,158 | ||
REAL ESTATE - 0.4% | |||
Equity Real Estate Investment Trusts (REITs) - 0.1% | |||
Equinix, Inc. 5.375% 5/15/27 | 3,000 | 3,210 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
5% 10/15/27 | 4,105 | 4,182 | |
5.25% 8/1/26 | 1,495 | 1,547 | |
8,939 | |||
Real Estate Management & Development - 0.3% | |||
Grand City Properties SA 1.375% 8/3/26 (Reg. S) | EUR | 10,100 | 12,053 |
Howard Hughes Corp. 5.375% 3/15/25 (c) | 4,160 | 4,264 | |
Inversiones y Representaciones SA 11.5% 7/20/20 (Reg. S) | 15 | 17 | |
IRSA Propiedades Comerciales SA 8.75% 3/23/23 (c) | 2,470 | 2,780 | |
Mattamy Group Corp. 6.875% 12/15/23 (c) | 3,035 | 3,210 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.25% 4/15/21 (c) | 7,370 | 7,517 | |
29,841 | |||
TOTAL REAL ESTATE | 38,780 | ||
TELECOMMUNICATION SERVICES - 3.6% | |||
Diversified Telecommunication Services - 1.6% | |||
Altice Financing SA: | |||
6.625% 2/15/23 (c) | 8,265 | 8,654 | |
7.5% 5/15/26 (c) | 8,130 | 8,658 | |
AT&T, Inc. 3.15% 9/4/36 | EUR | 3,550 | 4,362 |
Axtel S.A.B. de CV 6.375% 11/14/24 (c) | 3,275 | 3,373 | |
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (c) | 1,810 | 1,896 | |
Citizens Communications Co.: | |||
7.875% 1/15/27 | 4,895 | 3,072 | |
9% 8/15/31 | 3,655 | 2,440 | |
GCI, Inc. 6.875% 4/15/25 | 4,240 | 4,516 | |
GTH Finance BV: | |||
6.25% 4/26/20 (c) | 1,690 | 1,777 | |
7.25% 4/26/23 (c) | 9,175 | 10,313 | |
Lynx II Corp. 6.375% 4/15/23 (c) | 1,820 | 1,877 | |
Sable International Finance Ltd. 6.875% 8/1/22 (c) | 19,275 | 20,407 | |
SFR Group SA: | |||
6.25% 5/15/24 (c) | 17,743 | 17,787 | |
7.375% 5/1/26 (c) | 16,760 | 17,200 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 4,765 | 4,795 | |
8.75% 3/15/32 | 3,641 | 4,133 | |
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (c) | 3,660 | 3,753 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (c) | 7,400 | 7,382 | |
U.S. West Communications: | |||
6.875% 9/15/33 | 2,155 | 2,066 | |
7.25% 9/15/25 | 535 | 574 | |
7.25% 10/15/35 | 1,455 | 1,394 | |
UPCB Finance IV Ltd. 5.375% 1/15/25 (c) | 4,635 | 4,667 | |
Verizon Communications, Inc. 2.875% 1/15/38 | EUR | 3,450 | 4,192 |
Virgin Media Finance PLC 4.875% 2/15/22 | 5,445 | 5,282 | |
144,570 | |||
Wireless Telecommunication Services - 2.0% | |||
America Movil S.A.B. de CV 6.45% 12/5/22 | MXN | 79,000 | 3,711 |
Comcel Trust 6.875% 2/6/24 (c) | 1,555 | 1,609 | |
Digicel Group Ltd.: | |||
6% 4/15/21 (c) | 870 | 856 | |
6.75% 3/1/23 (c) | 1,430 | 1,406 | |
7.125% 4/1/22 (c) | 13,405 | 12,413 | |
8.25% 9/30/20 (c) | 10,040 | 9,877 | |
Intelsat Jackson Holdings SA: | |||
5.5% 8/1/23 | 14,385 | 11,760 | |
7.25% 10/15/20 | 22,465 | 21,117 | |
7.5% 4/1/21 | 7,635 | 6,948 | |
9.75% 7/15/25 (c) | 4,705 | 4,529 | |
Millicom International Cellular SA 6% 3/15/25 (c) | 7,780 | 8,266 | |
MTN (Mauritius) Investments Ltd. 6.5% 10/13/26 (c) | 2,410 | 2,601 | |
Sprint Communications, Inc. 6% 11/15/22 | 11,390 | 11,390 | |
Sprint Corp.: | |||
7.125% 6/15/24 | 21,530 | 21,907 | |
7.625% 2/15/25 | 11,980 | 12,549 | |
7.875% 9/15/23 | 10,870 | 11,577 | |
T-Mobile U.S.A., Inc.: | |||
6% 4/15/24 | 6,400 | 6,784 | |
6.375% 3/1/25 | 17,345 | 18,559 | |
6.5% 1/15/24 | 15,115 | 16,022 | |
Telesat Canada/Telesat LLC 8.875% 11/15/24 (c) | 3,245 | 3,634 | |
187,515 | |||
TOTAL TELECOMMUNICATION SERVICES | 332,085 | ||
UTILITIES - 2.1% | |||
Electric Utilities - 0.1% | |||
InterGen NV 7% 6/30/23 (c) | 1,730 | 1,674 | |
Israel Electric Corp. Ltd. 7.75% 12/15/27 (Reg. S) | 1,350 | 1,731 | |
Pampa Holding SA 7.5% 1/24/27 (c) | 4,310 | 4,720 | |
8,125 | |||
Gas Utilities - 0.1% | |||
Southern Natural Gas Co.: | |||
7.35% 2/15/31 | 6,645 | 8,486 | |
8% 3/1/32 | 3,400 | 4,608 | |
13,094 | |||
Independent Power and Renewable Electricity Producers - 1.9% | |||
Calpine Corp. 5.25% 6/1/26 (c) | 3,685 | 3,611 | |
Dynegy, Inc.: | |||
7.375% 11/1/22 | 13,365 | 14,100 | |
7.625% 11/1/24 | 15,245 | 16,350 | |
8% 1/15/25 (c) | 7,065 | 7,648 | |
8.125% 1/30/26 (c) | 7,470 | 8,161 | |
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: | |||
11% 10/1/21 (e) | 29,362 | 42,134 | |
12.25% 3/1/22 (b)(c)(e) | 35,768 | 54,814 | |
Listrindo Capital BV 4.95% 9/14/26 (c) | 2,110 | 2,131 | |
NextEra Energy Partners LP: | |||
4.25% 9/15/24 (c) | 2,475 | 2,518 | |
4.5% 9/15/27 (c) | 1,720 | 1,711 | |
NRG Energy, Inc. 5.75% 1/15/28 (c) | 4,125 | 4,166 | |
Pattern Energy Group, Inc. 5.875% 2/1/24 (c) | 1,860 | 1,953 | |
Talen Energy Supply LLC: | |||
6.5% 6/1/25 | 3,425 | 2,766 | |
10.5% 1/15/26 (c) | 2,580 | 2,554 | |
TerraForm Power Operating LLC: | |||
4.25% 1/31/23 (c) | 1,895 | 1,881 | |
5% 1/31/28 (c) | 1,900 | 1,881 | |
6.625% 6/15/25 (b)(c) | 2,950 | 3,216 | |
171,595 | |||
TOTAL UTILITIES | 192,814 | ||
TOTAL NONCONVERTIBLE BONDS | 3,153,928 | ||
TOTAL CORPORATE BONDS | |||
(Cost $3,014,849) | 3,179,300 | ||
U.S. Government and Government Agency Obligations - 17.2% | |||
U.S. Government Agency Obligations - 0.0% | |||
Tennessee Valley Authority: | |||
5.25% 9/15/39 | $1,138 | $1,542 | |
5.375% 4/1/56 | 1,803 | 2,557 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 4,099 | ||
U.S. Treasury Obligations - 16.9% | |||
U.S. Treasury Bonds: | |||
stripped coupon 2/15/34 | 11,900 | 7,748 | |
2.5% 2/15/46 | 14,410 | 13,697 | |
2.75% 8/15/47 | 20,679 | 20,682 | |
2.75% 11/15/47 | 10,000 | 10,005 | |
2.875% 8/15/45 | 27,219 | 27,884 | |
3% 11/15/44 | 5,258 | 5,517 | |
3% 2/15/47 | 47,510 | 49,910 | |
3% 5/15/47 | 8,500 | 8,927 | |
3.625% 2/15/44 | 72,443 | 84,589 | |
4.25% 5/15/39 | 30,000 | 37,885 | |
4.75% 2/15/37 | 28,741 | 38,261 | |
5.25% 2/15/29 (h)(i) | 14,703 | 18,718 | |
6.125% 8/15/29 (h)(j) | 27,099 | 37,172 | |
7.5% 11/15/24 | 5,690 | 7,557 | |
7.875% 2/15/21 | 6,800 | 8,010 | |
8.125% 5/15/21 | 9,286 | 11,112 | |
U.S. Treasury Notes: | |||
1.125% 9/30/21 | 58,579 | 56,518 | |
1.375% 7/31/19 | 11,987 | 11,896 | |
1.375% 2/29/20 | 10,262 | 10,145 | |
1.375% 8/31/23 | 7,000 | 6,672 | |
1.5% 10/31/19 (k) | 40,656 | 40,372 | |
1.5% 4/15/20 | 64,333 | 63,727 | |
1.5% 7/15/20 | 71,605 | 70,831 | |
1.5% 8/15/26 | 2,021 | 1,880 | |
1.625% 6/30/20 | 1,783 | 1,770 | |
1.625% 8/31/22 | 14,399 | 14,041 | |
1.75% 12/31/20 | 1,389 | 1,379 | |
1.75% 5/31/22 | 20,000 | 19,650 | |
1.75% 6/30/22 | 47,639 | 46,773 | |
1.875% 12/15/20 | 33,509 | 33,410 | |
1.875% 1/31/22 | 24,896 | 24,636 | |
1.875% 3/31/22 | 112,286 | 111,010 | |
1.875% 7/31/22 | 21,091 | 20,803 | |
1.875% 9/30/22 | 14,000 | 13,795 | |
2% 9/30/20 | 84,047 | 84,154 | |
2% 12/31/21 | 84,692 | 84,257 | |
2% 7/31/22 | 3,557 | 3,530 | |
2% 10/31/22 | 26,000 | 25,770 | |
2% 8/15/25 | 15,409 | 15,018 | |
2% 11/15/26 | 60,766 | 58,790 | |
2.125% 6/30/21 | 11,000 | 11,021 | |
2.125% 7/31/24 | 80,251 | 79,280 | |
2.125% 11/30/24 | 27,570 | 27,202 | |
2.125% 5/15/25 | 8,021 | 7,896 | |
2.25% 7/31/21 | 55,359 | 55,677 | |
2.25% 10/31/24 | 24,881 | 24,760 | |
2.25% 12/31/24 | 65,590 | 65,220 | |
2.25% 2/15/27 | 23,000 | 22,691 | |
2.25% 8/15/27 | 17,855 | 17,598 | |
2.25% 11/15/27 | 10,500 | 10,349 | |
2.375% 5/15/27 | 8,766 | 8,738 | |
TOTAL U.S. TREASURY OBLIGATIONS | 1,538,933 | ||
Other Government Related - 0.3% | |||
National Credit Union Administration Guaranteed Notes: | |||
Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 1.7569% 12/7/20 (NCUA Guaranteed) (b)(f) | 1,006 | 1,007 | |
Series 2011-R1 Class 1A, 1 month U.S. LIBOR + 0.450% 1.6921% 1/8/20 (NCUA Guaranteed) (b)(f) | 2,294 | 2,298 | |
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) | 25,300 | 26,202 | |
TOTAL OTHER GOVERNMENT RELATED | 29,507 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $1,568,087) | 1,572,539 | ||
U.S. Government Agency - Mortgage Securities - 0.5% | |||
Fannie Mae - 0.2% | |||
12 month U.S. LIBOR + 1.365% 3.115% 10/1/35 (b)(f) | 16 | 17 | |
12 month U.S. LIBOR + 1.415% 3.165% 11/1/33 (b)(f) | 14 | 15 | |
12 month U.S. LIBOR + 1.495% 3.19% 1/1/35 (b)(f) | 95 | 97 | |
12 month U.S. LIBOR + 1.553% 3.322% 6/1/36 (b)(f) | 20 | 20 | |
12 month U.S. LIBOR + 1.565% 3.315% 3/1/37 (b)(f) | 25 | 26 | |
12 month U.S. LIBOR + 1.617% 3.313% 3/1/33 (b)(f) | 60 | 63 | |
12 month U.S. LIBOR + 1.643% 3.315% 9/1/36(b)(f) | 33 | 34 | |
12 month U.S. LIBOR + 1.645% 3.31% 6/1/47 (b)(f) | 61 | 64 | |
12 month U.S. LIBOR + 1.725% 2.592% 6/1/42 (b)(f) | 215 | 222 | |
12 month U.S. LIBOR + 1.728% 3.418% 11/1/36 (b)(f) | 18 | 19 | |
12 month U.S. LIBOR + 1.745% 3.398% 7/1/35 (b)(f) | 89 | 92 | |
12 month U.S. LIBOR + 1.760% 3.376% 2/1/37 (b)(f) | 273 | 282 | |
12 month U.S. LIBOR + 1.800% 2.75% 1/1/42 (b)(f) | 674 | 701 | |
12 month U.S. LIBOR + 1.800% 3.562% 7/1/41 (b)(f) | 192 | 203 | |
12 month U.S. LIBOR + 1.805% 3.029% 10/1/41 (b)(f) | 56 | 58 | |
12 month U.S. LIBOR + 1.815% 3.565% 11/1/40 (b)(f) | 54 | 57 | |
12 month U.S. LIBOR + 1.818% 2.689% 2/1/42 (b)(f) | 1,052 | 1,092 | |
12 month U.S. LIBOR + 1.818% 3.015% 9/1/41 (b)(f) | 125 | 132 | |
12 month U.S. LIBOR + 1.818% 3.257% 7/1/41 (b)(f) | 156 | 164 | |
12 month U.S. LIBOR + 1.830% 3.36% 10/1/41 (b)(f) | 107 | 111 | |
12 month U.S. LIBOR + 1.851% 3.574% 5/1/36 (b)(f) | 16 | 16 | |
12 month U.S. LIBOR + 1.885% 3.637% 4/1/36 (b)(f) | 151 | 159 | |
12 month U.S. LIBOR + 2.176% 3.768% 8/1/35 (b)(f) | 222 | 235 | |
6 month U.S. LIBOR + 1.550% 2.968% 11/1/35 (b)(f) | 205 | 211 | |
6 month U.S. LIBOR + 1.550% 3.017% 9/1/33 (b)(f) | 253 | 261 | |
U.S. TREASURY 1 YEAR INDEX + 1.965% 2.84% 2/1/36 (b)(f) | 10 | 11 | |
4% 5/1/29 | 8,123 | 8,500 | |
4.5% 11/1/25 | 1,280 | 1,342 | |
5% 5/1/22 | 2 | 2 | |
5.5% 10/1/20 to 4/1/21 | 426 | 437 | |
6% 1/1/34 to 6/1/36 | 1,853 | 2,096 | |
6.5% 2/1/22 to 8/1/36 | 2,894 | 3,286 | |
7.5% 1/1/28 | 26 | 30 | |
TOTAL FANNIE MAE | 20,055 | ||
Freddie Mac - 0.1% | |||
12 month U.S. LIBOR + 1.325% 2.95% 3/1/37 (b)(f) | 16 | 17 | |
12 month U.S. LIBOR + 1.325% 2.953% 1/1/36 (b)(f) | 50 | 51 | |
12 month U.S. LIBOR + 1.600% 3.35% 7/1/35 (b)(f) | 103 | 107 | |
12 month U.S. LIBOR + 1.754% 3.071% 9/1/41 (b)(f) | 1,057 | 1,088 | |
12 month U.S. LIBOR + 1.793% 3.32% 4/1/37 (b)(f) | 35 | 37 | |
12 month U.S. LIBOR + 1.874% 3.627% 10/1/42 (b)(f) | 580 | 606 | |
12 month U.S. LIBOR + 1.877% 3.212% 4/1/41 (b)(f) | 109 | 114 | |
12 month U.S. LIBOR + 1.880% 3.045% 10/1/41 (b)(f) | 645 | 669 | |
12 month U.S. LIBOR + 1.880% 3.22% 9/1/41 (b)(f) | 120 | 126 | |
12 month U.S. LIBOR + 1.910% 3.277% 6/1/41 (b)(f) | 125 | 130 | |
12 month U.S. LIBOR + 1.910% 3.411% 5/1/41 (b)(f) | 114 | 120 | |
12 month U.S. LIBOR + 1.910% 3.588% 5/1/41 (b)(f) | 162 | 170 | |
12 month U.S. LIBOR + 1.910% 3.685% 6/1/41 (b)(f) | 146 | 153 | |
12 month U.S. LIBOR + 2.045% 3.811% 7/1/36 (b)(f) | 58 | 62 | |
6 month U.S. LIBOR + 1.445% 2.945% 3/1/35 (b)(f) | 46 | 47 | |
6 month U.S. LIBOR + 1.647% 3.043% 2/1/37 (b)(f) | 39 | 40 | |
6 month U.S. LIBOR + 1.675% 3.175% 6/1/37 (b)(f) | 28 | 29 | |
6 month U.S. LIBOR + 1.685% 3.127% 1/1/37 (b)(f) | 212 | 219 | |
6 month U.S. LIBOR + 1.720% 3.095% 8/1/37 (b)(f) | 51 | 53 | |
6 month U.S. LIBOR + 1.746% 3.092% 5/1/37 (b)(f) | 27 | 27 | |
6 month U.S. LIBOR + 1.932% 3.32% 10/1/36 (b)(f) | 171 | 175 | |
6 month U.S. LIBOR + 1.976% 3.411% 10/1/35 (b)(f) | 116 | 121 | |
6 month U.S. LIBOR + 2.010% 3.494% 5/1/37 (b)(f) | 295 | 304 | |
6 month U.S. LIBOR + 2.010% 3.51% 5/1/37 (b)(f) | 173 | 181 | |
6 month U.S. LIBOR + 2.040% 3.415% 6/1/37 (b)(f) | 70 | 72 | |
6 month U.S. LIBOR + 2.066% 3.474% 6/1/37 (b)(f) | 38 | 40 | |
6 month U.S. LIBOR + 2.755% 4.205% 10/1/35 (b)(f) | 29 | 30 | |
U.S. TREASURY 1 YEAR INDEX + 2.035% 2.904% 6/1/33 (b)(f) | 159 | 165 | |
U.S. TREASURY 1 YEAR INDEX + 2.383% 3.075% 2/1/36 (b)(f) | 2 | 2 | |
U.S. TREASURY 1 YEAR INDEX + 2.548% 3.548% 7/1/35 (b)(f) | 98 | 104 | |
6% 1/1/24 | 610 | 650 | |
6.5% 5/1/18 to 3/1/22 | 170 | 179 | |
TOTAL FREDDIE MAC | 5,888 | ||
Ginnie Mae - 0.2% | |||
6% 6/15/36 | 2,402 | 2,805 | |
7% 9/15/25 to 8/15/31 | 17 | 19 | |
7.5% 2/15/22 to 8/15/28 | 34 | 39 | |
8% 12/15/26 | 0 | 0 | |
4.313% 8/20/61 (b)(l) | 1,101 | 1,114 | |
4.642% 2/20/62 (b)(l) | 1,375 | 1,405 | |
4.676% 2/20/62 (b)(l) | 1,673 | 1,705 | |
4.69% 1/20/62 (b)(l) | 7,612 | 7,750 | |
5.47% 8/20/59 (b)(l) | 11 | 12 | |
TOTAL GINNIE MAE | 14,849 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $40,517) | 40,792 | ||
Asset-Backed Securities - 0.5% | |||
ALG Student Loan Trust Series 2017-1A Class A3, 3 month U.S. LIBOR + 0.090% 1.4039% 6/28/23 (b)(c)(f) | $11,109 | $11,043 | |
GCO Education Loan Funding Trust Series 2006-1 Class A8L, 3 month U.S. LIBOR + 0.130% 1.5921% 5/25/25 (b)(f) | 5,191 | 5,185 | |
Goal Capital Funding Trust Series 2005-2 Class A3, 3 month U.S. LIBOR + 0.170% 1.6321% 5/28/30 (b)(f) | 1,808 | 1,806 | |
Illinois Student Assistance Commission Student Loan Rev. Series 2010-1 Class A2, 3 month U.S. LIBOR + 1.050% 2.3644% 4/25/22 (b)(f) | 576 | 577 | |
Navient Student Loan Trust Series 2017-3A: | |||
Class A1, 1 month U.S. LIBOR + 0.300% 1.8521% 7/26/66 (b)(c)(f) | 4,504 | 4,506 | |
Class A2, 1 month U.S. LIBOR + 0.600% 2.1521% 7/26/66 (b)(c)(f) | 6,106 | 6,146 | |
Northstar Education Finance, Inc., Delaware Series 2004-2 Class A4, 3 month U.S. LIBOR + 0.230% 1.608% 7/28/21 (b)(f) | 15,256 | 15,243 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $44,463) | 44,506 | ||
Collateralized Mortgage Obligations - 3.5% | |||
U.S. Government Agency - 3.5% | |||
Fannie Mae: | |||
floater Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 2.4821% 6/25/36 (b)(f) | 2,579 | 2,622 | |
planned amortization class: | |||
Series 2003-70 Class BJ, 5% 7/25/33 | 270 | 292 | |
Series 2005-19 Class PA, 5.5% 7/25/34 | 567 | 585 | |
Series 2005-27 Class NE, 5.5% 5/25/34 | 41 | 41 | |
Series 2005-64 Class PX, 5.5% 6/25/35 | 707 | 755 | |
Series 2005-68 Class CZ, 5.5% 8/25/35 | 2,559 | 2,833 | |
Series 2010-118 Class PB, 4.5% 10/25/40 | 2,622 | 2,748 | |
sequential payer: | |||
Series 2003-117 Class MD, 5% 12/25/23 | 490 | 515 | |
Series 2004-91 Class Z, 5% 12/25/34 | 2,286 | 2,476 | |
Series 2005-117 Class JN, 4.5% 1/25/36 | 462 | 486 | |
Series 2005-14 Class ZB, 5% 3/25/35 | 867 | 941 | |
Series 2006-72 Class CY, 6% 8/25/26 | 701 | 752 | |
Series 2009-59 Class HB, 5% 8/25/39 | 1,330 | 1,443 | |
Series 201-75 Class AL, 3.5% 8/25/26 | 5,640 | 5,817 | |
Series 2010-97 Class CX, 4.5% 9/25/25 | 3,800 | 4,005 | |
Series 2011-80: | |||
Class HE, 3.5% 8/25/26 | 1,980 | 2,054 | |
Class KB, 3.5% 8/25/26 | 3,075 | 3,177 | |
Series 2009-85 Class IB, 4.5% 8/25/24 (m) | 83 | 3 | |
Series 2009-93 Class IC, 4.5% 9/25/24 (m) | 119 | 4 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (m) | 1,373 | 148 | |
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 2.4721% 3/25/36 (b)(f) | 1,597 | 1,634 | |
Series 2010-97 Class CI, 4.5% 8/25/25 (m) | 329 | 17 | |
Series 2011-67 Class AI, 4% 7/25/26 (m) | 404 | 38 | |
Series 2012-27 Class EZ, 4.25% 3/25/42 | 3,172 | 3,372 | |
Series 2016-26 Class CG, 3% 5/25/46 | 5,613 | 5,675 | |
Freddie Mac: | |||
floater: | |||
Series 2630 Class FL, 1 month U.S. LIBOR + 0.500% 1.7503% 6/15/18 (b)(f) | 1 | 1 | |
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 2.1503% 2/15/33 (b)(f) | 817 | 833 | |
floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 1.6503% 3/15/34 (b)(f) | 1,031 | 1,037 | |
planned amortization class: | |||
Series 2101 Class PD, 6% 11/15/28 | 32 | 34 | |
Series 2996 Class MK, 5.5% 6/15/35 | 78 | 84 | |
Series 3415 Class PC, 5% 12/15/37 | 356 | 382 | |
Series 3840 Class VA, 4.5% 9/15/27 | 1,575 | 1,600 | |
Series 3857 Class ZP, 5% 5/15/41 | 1,146 | 1,338 | |
sequential payer: | |||
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 4,358 | 4,820 | |
Series 2303 Class ZV, 6% 4/15/31 | 79 | 87 | |
Series 2877 Class ZD, 5% 10/15/34 | 2,806 | 3,042 | |
Series 3745 Class KV, 4.5% 12/15/26 | 2,772 | 2,939 | |
Series 3806 Class L, 3.5% 2/15/26 | 3,100 | 3,221 | |
Series 3862 Class MB, 3.5% 5/15/26 | 3,281 | 3,389 | |
Series 3843 Class PZ, 5% 4/15/41 | 1,172 | 1,351 | |
Freddie Mac Multi-family Structured pass-thru certificates sequential payer: | |||
Series 4335 Class AL, 4.25% 3/15/40 | 2,202 | 2,284 | |
Series 4341 Class ML, 3.5% 11/15/31 | 3,117 | 3,216 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 2.0011% 7/20/37 (b)(f) | 550 | 553 | |
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 1.9811% 1/20/38 (b)(f) | 137 | 138 | |
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 2.3611% 8/20/38 (b)(f) | 898 | 914 | |
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 2.4011% 9/20/38 (b)(f) | 777 | 794 | |
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 2.0908% 11/16/39 (b)(f) | 623 | 628 | |
Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 2.0208% 12/16/39 (b)(f) | 449 | 453 | |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 1.6676% 7/20/60 (b)(f)(l) | 3,923 | 3,902 | |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 1.5433% 9/20/60 (b)(f)(l) | 4,659 | 4,631 | |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 1.5433% 8/20/60 (b)(f)(l) | 5,224 | 5,193 | |
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 1.6233% 12/20/60 (b)(f)(l) | 1,777 | 1,771 | |
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 1.7433% 12/20/60 (b)(f)(l) | 2,940 | 2,940 | |
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 1.7433% 2/20/61 (b)(f)(l) | 5,786 | 5,786 | |
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 1.7333% 2/20/61 (b)(f)(l) | 7,081 | 7,079 | |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 1.7433% 4/20/61 (b)(f)(l) | 2,388 | 2,388 | |
Series 2011-H14: | |||
Class FB, 1 month U.S. LIBOR + 0.500% 1.7433% 5/20/61 (b)(f)(l) | 2,866 | 2,866 | |
Class FC, 1 month U.S. LIBOR + 0.500% 1.7433% 5/20/61 (b)(f)(l) | 2,634 | 2,635 | |
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 1.7733% 6/20/61 (b)(f)(l) | 3,431 | 3,434 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 1.8433% 10/20/61 (b)(f)(l) | 3,783 | 3,794 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.9433% 11/20/61 (b)(f)(l) | 3,249 | 3,268 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.9433% 1/20/62 (b)(f)(l) | 2,163 | 2,175 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 1.8733% 1/20/62 (b)(f)(l) | 3,124 | 3,136 | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 1.8733% 3/20/62 (b)(f)(l) | 1,932 | 1,939 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.8933% 5/20/61 (b)(f)(l) | 1,042 | 1,044 | |
Series 2013-H19: | |||
Class FC, 1 month U.S. LIBOR + 0.600% 1.8433% 8/20/63 (b)(f)(l) | 509 | 511 | |
Class FD, 1 month U.S. LIBOR + 0.600% 1.8433% 8/20/63 (b)(f)(l) | 1,294 | 1,298 | |
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 1.5233% 5/20/63 (b)(f)(l) | 4,335 | 4,334 | |
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 1.4433% 4/20/63 (b)(f)(l) | 4,655 | 4,650 | |
planned amortization class Series 2011-136 Class WI, 4.5% 5/20/40 (m) | 860 | 102 | |
sequential payer: | |||
Series 2011-69 Class GX, 4.5% 5/16/40 | 4,910 | 5,245 | |
Series 2013-H06 Class HA, 1.65% 1/20/63 (l) | 1,589 | 1,576 | |
Series 2014-H04 Class HA, 2.75% 2/20/64 (l) | 13,300 | 13,370 | |
Series 2014-H12 Class KA, 2.75% 5/20/64 (l) | 2,056 | 2,055 | |
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 1.7433% 9/20/62 (b)(f)(l) | 6,589 | 6,603 | |
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 1.8933% 11/20/65 (b)(f)(l) | 1,561 | 1,565 | |
Series 2004-22 Class M1, 5.5% 4/20/34 | 290 | 364 | |
Series 2010-169 Class Z, 4.5% 12/20/40 | 2,540 | 2,736 | |
Series 2010-H15 Class TP, 5.15% 8/20/60 (l) | 6,658 | 6,831 | |
Series 2010-H16 Class BA, 3.55% 7/20/60 (l) | 20,987 | 21,192 | |
Series 2010-H17 Class XP, 5.2951% 7/20/60 (b)(l) | 6,890 | 7,096 | |
Series 2010-H18 Class PL, 5.01% 9/20/60 (b)(l) | 6,526 | 6,676 | |
Series 2010-H22 Class LA, 3.75% 10/20/60 (l) | 4,195 | 4,249 | |
Series 2010-H28 Class KA, 3.75% 12/20/60 (l) | 8,053 | 8,172 | |
Series 2012-64 Class KI, 3.5% 11/20/36 (m) | 599 | 42 | |
Series 2013-124: | |||
Class ES, 8.667% - 1 month U.S. LIBOR 6.6652% 4/20/39 (b)(n) | 2,557 | 2,650 | |
Class ST, 8.800% - 1 month U.S. LIBOR 6.7985% 8/20/39 (b)(n) | 6,709 | 7,044 | |
Series 2013-H07 Class JA, 1.75% 3/20/63 (l) | 9,874 | 9,781 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (l) | 7,614 | 7,625 | |
Series 2015-H21: | |||
Class HA, 2.5% 6/20/63 (l) | 20,641 | 20,670 | |
Class JA, 2.5% 6/20/65 (l) | 1,874 | 1,877 | |
Series 2015-H30 Class HA, 1.75% 9/20/62 (b)(l) | 15,988 | 15,872 | |
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 1.65% 5/20/66 (b)(f)(l) | 8,540 | 8,591 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 1.78% 8/20/66 (b)(f)(l) | 9,183 | 9,209 | |
Series 2090-118 Class XZ, 5% 12/20/39 | 5,666 | 6,337 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $324,063) | 321,875 | ||
Commercial Mortgage Securities - 1.6% | |||
FHLMC Multi-Family Structured Pass-Through Certificates sequential payer Series K071 Class A2, 3.289% 11/25/50 | 4,600 | 4,752 | |
Freddie Mac: | |||
floater: | |||
Series KP04 Class AG1, 1 month U.S. LIBOR + 0.220% 1.5668% 7/25/20 (b)(f) | 5,400 | 5,400 | |
Series KP04, Class AG2, 1 month U.S. LIBOR + 0.200% 1.5468% 10/25/19 (b)(f) | 10,700 | 10,714 | |
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 | 2,480 | 2,590 | |
sequential payer: | |||
Series 2017-SR01 Class A2, 2.75% 11/25/22 | 9,600 | 9,671 | |
Series K006 Class A2, 4.251% 1/25/20 | 10,365 | 10,736 | |
Series K034 Class A1, 2.669% 2/25/23 | 6,870 | 6,897 | |
Series K708 Class A2, 2.13% 1/25/19 | 11,877 | 11,884 | |
Series K710 Class A2, 1.883% 5/25/19 | 3,065 | 3,059 | |
Series K713 Class A2, 2.313% 3/25/20 | 1,871 | 1,872 | |
Series K717 Class A2, 2.991% 9/25/21 | 1,559 | 1,587 | |
Series 2017-K727 Class A1, 2.632% 10/25/23 | 6,014 | 6,044 | |
Series K504 Class A2, 2.566% 9/25/20 | 3,177 | 3,198 | |
Series K704 Class A2, 2.412% 8/25/18 | 2,210 | 2,211 | |
Series K705 Class A2, 2.303% 9/25/18 | 9,000 | 9,012 | |
Series K706 Class A2, 2.323% 10/25/18 | 9,995 | 10,008 | |
Series K724 Class A1, 2.776% 3/25/23 | 6,042 | 6,118 | |
Series K726 Class A1, 2.596% 8/25/23 | 2,317 | 2,326 | |
Series K728 Class A1, 2.824% 10/25/23 | 16,980 | 17,187 | |
Freddie Mac Multi-family floater Series 2017-KT01 Class A, 1 month U.S. LIBOR + 0.320% 1.5579% 2/25/20 (b)(f) | 16,725 | 16,766 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $142,562) | 142,032 | ||
Foreign Government and Government Agency Obligations - 18.7% | |||
Arab Republic of Egypt: | |||
5.875% 6/11/25 | 2,425 | 2,448 | |
5.875% 6/11/25 (c) | 1,298 | 1,310 | |
6.125% 1/31/22 (c) | 7,895 | 8,259 | |
7.5% 1/31/27 (c) | 1,335 | 1,476 | |
8.5% 1/31/47 (c) | 6,620 | 7,600 | |
Argentine Republic: | |||
5.625% 1/26/22 | 9,930 | 10,476 | |
6.875% 4/22/21 | 25,740 | 28,031 | |
7.125% 6/28/2117 (c) | 2,975 | 3,066 | |
7.5% 4/22/26 | 8,100 | 9,170 | |
Australian Commonwealth: | |||
3% 3/21/47 | AUD | 9,450 | 6,880 |
5.5% 1/21/18 | AUD | 66,800 | 52,243 |
Bahamian Republic 6% 11/21/28 (c) | 1,665 | 1,732 | |
Bahrain Kingdom 6.75% 9/20/29 (c) | 1,690 | 1,665 | |
Banco Central del Uruguay: | |||
value recovery A rights 1/2/21 (d)(o) | 500,000 | 0 | |
value recovery B rights 1/2/21 (d)(o) | 750,000 | 0 | |
Barbados Government: | |||
7% 8/4/22 (c) | 1,920 | 1,622 | |
7.25% 12/15/21 (c) | 220 | 198 | |
Belarus Republic: | |||
6.875% 2/28/23 (c) | 4,260 | 4,582 | |
7.625% 6/29/27 (c) | 2,100 | 2,342 | |
8.95% 1/26/18 | 12,455 | 12,479 | |
Brazilian Federative Republic: | |||
5.625% 1/7/41 | 4,525 | 4,622 | |
7.125% 1/20/37 | 9,580 | 11,544 | |
8.25% 1/20/34 | 10,050 | 13,166 | |
10% 1/1/21 | BRL | 15,905 | 4,939 |
Buenos Aires Province: | |||
6.5% 2/15/23 (c) | 2,915 | 3,132 | |
9.95% 6/9/21 (c) | 5,835 | 6,759 | |
10.875% 1/26/21 (c) | 1,750 | 1,991 | |
10.875% 1/26/21 (Reg. S) | 11,116 | 12,644 | |
Buoni del Tesoro Poliennali: | |||
1.35% 4/15/22 | EUR | 18,300 | 22,619 |
2.2% 6/1/27 | EUR | 20,400 | 25,006 |
2.7% 3/1/47 (c) | EUR | 15,000 | 16,396 |
4.5% 3/1/24 | EUR | 15,175 | 21,723 |
Cameroon Republic 9.5% 11/19/25 (c) | 2,605 | 3,126 | |
Canadian Government: | |||
0.5% 11/1/18 | CAD | 38,270 | 30,214 |
1% 9/1/22 | CAD | 49,450 | 37,817 |
3.5% 12/1/45 | CAD | 7,600 | 7,557 |
City of Buenos Aires 8.95% 2/19/21 (c) | 1,145 | 1,268 | |
Colombian Republic: | |||
7.375% 9/18/37 | 2,275 | 3,074 | |
10.375% 1/28/33 | 3,795 | 5,968 | |
Costa Rican Republic 7% 4/4/44 (c) | 1,410 | 1,456 | |
Croatia Republic: | |||
5.5% 4/4/23 (c) | 1,350 | 1,488 | |
6% 1/26/24 (c) | 875 | 998 | |
Danish Kingdom 1.75% 11/15/25 | DKK | 74,500 | 13,447 |
Democratic Socialist Republic of Sri Lanka: | |||
6.2% 5/11/27 (c) | 695 | 734 | |
6.25% 10/4/20 (c) | 630 | 664 | |
6.25% 7/27/21 (c) | 1,190 | 1,266 | |
Dominican Republic: | |||
5.95% 1/25/27 (c) | 2,775 | 2,997 | |
6.6% 1/28/24 (c) | 1,090 | 1,222 | |
6.85% 1/27/45 (c) | 1,755 | 1,971 | |
6.875% 1/29/26 (c) | 2,315 | 2,643 | |
7.45% 4/30/44 (c) | 2,590 | 3,089 | |
Ecuador Republic: | |||
8.875% 10/23/27 (c) | 3,740 | 4,114 | |
9.65% 12/13/26 (c) | 2,150 | 2,467 | |
El Salvador Republic 7.375% 12/1/19 (c) | 1,235 | 1,306 | |
French Government: | |||
, yield at date of purchase -0.698% to -0.687% 1/24/18 | EUR | 55,050 | 66,082 |
2.25% 5/25/24 | EUR | 10,700 | 14,578 |
4% 4/25/18 | EUR | 79,500 | 96,712 |
German Federal Republic: | |||
0% 3/15/19 | EUR | 105,200 | 127,294 |
0.25% 2/15/27 | EUR | 99,450 | 118,126 |
2.5% 8/15/46 | EUR | 15,800 | 24,872 |
Hong Kong Government SAR 1.32% 12/23/19 | HKD | 21,000 | 2,687 |
Indonesian Republic: | |||
7.75% 1/17/38 (c) | 4,305 | 6,157 | |
8.375% 3/15/24 | IDR | 78,334,000 | 6,419 |
8.5% 10/12/35 (Reg. S) | 4,795 | 7,185 | |
Islamic Republic of Pakistan: | |||
6.75% 12/3/19 (c) | 2,575 | 2,666 | |
7.25% 4/15/19 (c) | 5,410 | 5,600 | |
8.25% 4/15/24 (c) | 2,025 | 2,233 | |
Israeli State (guaranteed by U.S. Government through Agency for International Development): | |||
5.5% 9/18/23 | 28,730 | 33,426 | |
5.5% 12/4/23 | 12,385 | 14,479 | |
Japan Government: | |||
0.1% 12/20/20 | JPY | 5,865,400 | 52,394 |
0.4% 3/20/56 | JPY | 4,278,000 | 31,314 |
0.9% 6/20/22 | JPY | 17,247,800 | 159,937 |
Jordanian Kingdom: | |||
3% 6/30/25 | 8,712 | 8,966 | |
7.375% 10/10/47 (c) | 2,060 | 2,146 | |
Kingdom of Norway 3.75% 5/25/21 | NOK | 36,000 | 4,801 |
Lebanese Republic: | |||
5.15% 6/12/18 | 8,830 | 8,806 | |
5.15% 11/12/18 | 5,797 | 5,772 | |
5.45% 11/28/19 | 4,760 | 4,722 | |
6% 5/20/19 | 5,875 | 5,887 | |
Malaysian Government 4.181% 7/15/24 | MYR | 10,450 | 2,616 |
Mongolian People's Republic 8.75% 3/9/24 (c) | 4,280 | 4,929 | |
New Zealand Government 6% 5/15/21 | NZD | 8,000 | 6,395 |
Panamanian Republic 9.375% 4/1/29 | 825 | 1,250 | |
Peruvian Republic: | |||
4% 3/7/27 (d)(p) | 5,671 | 5,577 | |
6.35% 8/12/28 (c) | PEN | 10,630 | 3,588 |
8.2% 8/12/26 (Reg. S) | PEN | 5,495 | 2,087 |
Province of Santa Fe 7% 3/23/23 (c) | 6,105 | 6,602 | |
Provincia de Cordoba: | |||
7.125% 6/10/21 (c) | 9,085 | 9,811 | |
7.45% 9/1/24 (c) | 4,235 | 4,632 | |
Republic of Angola 7% 8/17/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) | 1,221 | 1,256 | |
Republic of Armenia: | |||
6% 9/30/20 (c) | 2,706 | 2,872 | |
7.15% 3/26/25 (c) | 2,730 | 3,111 | |
Republic of Iraq: | |||
5.8% 1/15/28 (Reg. S) | 11,770 | 11,353 | |
6.752% 3/9/23 (c) | 2,740 | 2,802 | |
Republic of Nigeria: | |||
6.5% 11/28/27 (c) | 1,630 | 1,698 | |
6.75% 1/28/21 (c) | 590 | 627 | |
7.625% 11/28/47 (c) | 2,300 | 2,467 | |
Republic of Serbia: | |||
6.75% 11/1/24 (c) | 2,256 | 2,293 | |
7.25% 9/28/21 (c) | 825 | 943 | |
Republic of Singapore 3.25% 9/1/20 | SGD | 32,500 | 25,289 |
Russian Federation: | |||
5.25% 6/23/47 (c) | 5,400 | 5,650 | |
5.625% 4/4/42 (c) | 1,850 | 2,072 | |
5.875% 9/16/43 (c) | 1,260 | 1,461 | |
7.5% 2/27/19 | RUB | 77,000 | 1,350 |
12.75% 6/24/28 (Reg. S) | 11,470 | 19,900 | |
Rwanda Republic 6.625% 5/2/23 (c) | 2,190 | 2,292 | |
Saudi Arabia Kingdom of 3.625% 3/4/28 (c) | 1,680 | 1,665 | |
South African Republic 5.875% 9/16/25 | 1,200 | 1,306 | |
Spanish Kingdom 2.9% 10/31/46(Reg. S) (c) | EUR | 10,850 | 13,193 |
State of Qatar 9.75% 6/15/30 (c) | 1,170 | 1,817 | |
Sweden Kingdom 4.25% 3/12/19 | SEK | 150,000 | 19,392 |
Switzerland Confederation 3% 1/8/18 | CHF | 24,600 | 25,255 |
Turkish Republic: | |||
5.125% 3/25/22 | 3,495 | 3,623 | |
5.625% 3/30/21 | 3,665 | 3,858 | |
6% 3/25/27 | 2,225 | 2,369 | |
6.25% 9/26/22 | 14,390 | 15,616 | |
6.75% 5/30/40 | 1,220 | 1,342 | |
6.875% 3/17/36 | 3,090 | 3,444 | |
7% 6/5/20 | 1,240 | 1,338 | |
7.25% 3/5/38 | 2,455 | 2,851 | |
7.375% 2/5/25 | 3,240 | 3,731 | |
8% 2/14/34 | 1,475 | 1,818 | |
11.875% 1/15/30 | 770 | 1,211 | |
Turkiye Ihracat Kredi Bankasi A/S 5.375% 2/8/21 (c) | 2,155 | 2,204 | |
Ukraine Government: | |||
1.471% 9/29/21 | 3,400 | 3,309 | |
7.75% 9/1/19 (c) | 1,725 | 1,811 | |
7.75% 9/1/20 (c) | 7,325 | 7,757 | |
7.75% 9/1/21 (c) | 28,509 | 30,346 | |
7.75% 9/1/22 (c) | 22,519 | 23,943 | |
United Kingdom, Great Britain and Northern Ireland: | |||
0.5% 7/22/22 | GBP | 15,000 | 20,051 |
1.25% 7/22/18 | GBP | 1,300 | 1,764 |
1.25% 7/22/27 | GBP | 27,000 | 36,548 |
1.75% 7/22/19 (Reg.S) | GBP | 42,025 | 57,893 |
United Kingdom, Great Britain and Northern Ireland Treasury Indexed-Linked GILT 2.5% 7/22/65 (Reg. S) | GBP | 13,400 | 23,659 |
Uruguay Republic 7.875% 1/15/33 pay-in-kind | 1,090 | 1,561 | |
Venezuelan Republic: | |||
oil recovery warrants 4/15/20 (d)(o) | 1,251 | 3 | |
9.25% 9/15/27 | 9,555 | 2,054 | |
11.95% 8/5/31 (Reg. S) | 4,880 | 976 | |
12.75% 8/23/22 | 1,250 | 269 | |
Vietnamese Socialist Republic: | |||
6 month U.S. LIBOR + 0.813% 2.25% 3/13/28 (b)(d)(f) | 530 | 470 | |
4% 3/12/28 (d)(p) | 13,263 | 13,202 | |
4.8% 11/19/24 (c) | 590 | 629 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $1,660,062) | 1,709,468 | ||
Supranational Obligations - 0.0% | |||
European Bank for Reconstruction & Development 6% 5/4/20 (Reg. S) (Cost $3,211) | INR | 206,100 | 3,233 |
Shares | Value (000s) | ||
Common Stocks - 5.0% | |||
CONSUMER DISCRETIONARY - 1.4% | |||
Auto Components - 0.3% | |||
Aptiv PLC | 58,300 | 4,946 | |
Chassix Holdings, Inc. (d)(q) | 302,830 | 8,113 | |
Chassix Holdings, Inc. warrants 7/29/20 (d)(q) | 16,209 | 194 | |
Delphi Technologies PLC (q) | 19,433 | 1,020 | |
Exide Technologies (d)(q) | 3,795 | 0 | |
Exide Technologies (d)(q) | 12,652 | 9 | |
Lear Corp. | 41,700 | 7,367 | |
Tenneco, Inc. | 117,300 | 6,867 | |
28,516 | |||
Diversified Consumer Services - 0.0% | |||
Houghton Mifflin Harcourt Co. warrants 6/22/19 (q)(r) | 32,078 | 5 | |
Hotels, Restaurants & Leisure - 0.6% | |||
Boyd Gaming Corp. | 164,200 | 5,755 | |
Extended Stay America, Inc. unit | 170,300 | 3,236 | |
Melco Crown Entertainment Ltd. sponsored ADR | 205,200 | 5,959 | |
MGM Mirage, Inc. | 111,800 | 3,733 | |
Red Rock Resorts, Inc. | 676,344 | 22,820 | |
Royal Caribbean Cruises Ltd. | 36,000 | 4,294 | |
Wynn Resorts Ltd. | 25,200 | 4,248 | |
50,045 | |||
Household Durables - 0.2% | |||
CalAtlantic Group, Inc. | 155,500 | 8,769 | |
Newell Brands, Inc. | 74,045 | 2,288 | |
Toll Brothers, Inc. | 94,600 | 4,543 | |
15,600 | |||
Media - 0.3% | |||
Naspers Ltd. Class N | 73,600 | 20,529 | |
Sinclair Broadcast Group, Inc. Class A | 253,300 | 9,587 | |
30,116 | |||
TOTAL CONSUMER DISCRETIONARY | 124,282 | ||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
JBS SA | 1,130,000 | 3,342 | |
Reddy Ice Holdings, Inc. (q) | 142,776 | 57 | |
3,399 | |||
ENERGY - 0.2% | |||
Energy Equipment & Services - 0.0% | |||
Forbes Energy Services Ltd. | 70,406 | 697 | |
Oil, Gas & Consumable Fuels - 0.2% | |||
Chaparral Energy, Inc.: | |||
Class A | 44,026 | 1,043 | |
Class B | 10,647 | 252 | |
Crestwood Equity Partners LP | 60,500 | 1,561 | |
Goodrich Petroleum Corp. (q) | 48,395 | 528 | |
Pacific Exploration and Production Corp. (q) | 168,535 | 5,309 | |
VNR Finance Corp. | 43,680 | 817 | |
VNR Finance Corp. (c) | 210,357 | 3,934 | |
13,444 | |||
TOTAL ENERGY | 14,141 | ||
FINANCIALS - 0.1% | |||
Capital Markets - 0.0% | |||
Penson Worldwide, Inc. Class A (d)(q) | 3,883,237 | 0 | |
Consumer Finance - 0.1% | |||
OneMain Holdings, Inc. (q) | 206,600 | 5,370 | |
TOTAL FINANCIALS | 5,370 | ||
HEALTH CARE - 0.1% | |||
Health Care Providers & Services - 0.0% | |||
HCA Holdings, Inc. (q) | 42,400 | 3,724 | |
Rotech Healthcare, Inc. (d)(q) | 68,276 | 109 | |
3,833 | |||
Pharmaceuticals - 0.1% | |||
Allergan PLC | 13,500 | 2,208 | |
Jazz Pharmaceuticals PLC (q) | 28,600 | 3,851 | |
6,059 | |||
TOTAL HEALTH CARE | 9,892 | ||
INDUSTRIALS - 0.7% | |||
Airlines - 0.2% | |||
Air Canada (q) | 806,200 | 16,599 | |
Delta Air Lines, Inc. | 78,000 | 4,368 | |
20,967 | |||
Commercial Services & Supplies - 0.0% | |||
Novus Holdings Ltd. | 25,456 | 12 | |
WP Rocket Holdings, Inc. (d)(q)(r) | 7,832,654 | 0 | |
12 | |||
Machinery - 0.1% | |||
Allison Transmission Holdings, Inc. | 78,600 | 3,385 | |
Marine - 0.0% | |||
U.S. Shipping Partners Corp. (d)(q) | 12,063 | 0 | |
U.S. Shipping Partners Corp. warrants 12/31/29 (d)(q) | 112,939 | 0 | |
0 | |||
Trading Companies & Distributors - 0.4% | |||
AerCap Holdings NV (q) | 89,400 | 4,703 | |
Air Lease Corp. Class A | 123,200 | 5,925 | |
HD Supply Holdings, Inc. (q) | 281,900 | 11,284 | |
Penhall Acquisition Co.: | |||
Class A (d)(q) | 6,088 | 476 | |
Class B (d)(q) | 2,029 | 159 | |
United Rentals, Inc. (q) | 99,442 | 17,095 | |
39,642 | |||
Transportation Infrastructure - 0.0% | |||
Tricer Holdco SCA (d)(r) | 213,632 | 1,028 | |
TOTAL INDUSTRIALS | 65,034 | ||
INFORMATION TECHNOLOGY - 1.9% | |||
Electronic Equipment & Components - 0.1% | |||
CDW Corp. | 79,800 | 5,545 | |
Internet Software & Services - 0.6% | |||
Alibaba Group Holding Ltd. sponsored ADR (q) | 140,000 | 24,140 | |
Alphabet, Inc. Class A (q) | 19,300 | 20,331 | |
Facebook, Inc. Class A (q) | 63,000 | 11,117 | |
55,588 | |||
IT Services - 0.4% | |||
First Data Corp. Class A (q) | 359,700 | 6,011 | |
Global Payments, Inc. | 61,200 | 6,135 | |
MasterCard, Inc. Class A | 64,900 | 9,823 | |
PayPal Holdings, Inc. (q) | 140,000 | 10,307 | |
Visa, Inc. Class A | 35,800 | 4,082 | |
36,358 | |||
Semiconductors & Semiconductor Equipment - 0.6% | |||
Broadcom Ltd. | 66,300 | 17,032 | |
Cypress Semiconductor Corp. | 5,171 | 79 | |
MagnaChip Semiconductor Corp. (k)(q) | 49,030 | 488 | |
Micron Technology, Inc. (q) | 72,400 | 2,977 | |
Microsemi Corp. (q) | 157,800 | 8,150 | |
ON Semiconductor Corp. (q) | 413,600 | 8,661 | |
Qorvo, Inc. (q) | 59,427 | 3,958 | |
Semtech Corp. (q) | 66,300 | 2,267 | |
Skyworks Solutions, Inc. | 141,800 | 13,464 | |
57,076 | |||
Software - 0.2% | |||
Adobe Systems, Inc. (q) | 49,200 | 8,622 | |
Electronic Arts, Inc. (q) | 69,700 | 7,323 | |
Nuance Communications, Inc. (q) | 184,800 | 3,021 | |
Take-Two Interactive Software, Inc. (q) | 39,300 | 4,314 | |
23,280 | |||
TOTAL INFORMATION TECHNOLOGY | 177,847 | ||
MATERIALS - 0.4% | |||
Chemicals - 0.2% | |||
DowDuPont, Inc. | 66,500 | 4,736 | |
LyondellBasell Industries NV Class A | 113,900 | 12,565 | |
The Chemours Co. LLC | 136,000 | 6,808 | |
24,109 | |||
Containers & Packaging - 0.1% | |||
Berry Global Group, Inc. (q) | 68,600 | 4,025 | |
Graphic Packaging Holding Co. | 226,000 | 3,492 | |
7,517 | |||
Metals & Mining - 0.1% | |||
Aleris Corp. (d)(q) | 38,307 | 219 | |
Freeport-McMoRan, Inc. (q) | 348,000 | 6,598 | |
6,817 | |||
TOTAL MATERIALS | 38,443 | ||
TELECOMMUNICATION SERVICES - 0.2% | |||
Wireless Telecommunication Services - 0.2% | |||
T-Mobile U.S., Inc. (q) | 272,900 | 17,332 | |
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | 332 | |
TOTAL COMMON STOCKS | |||
(Cost $333,464) | 456,072 | ||
Preferred Stocks - 0.0% | |||
Convertible Preferred Stocks - 0.0% | |||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Reddy Ice Holdings, Inc. 7.00% pay-in-kind (d)(q) | 57,438 | 489 | |
Nonconvertible Preferred Stocks - 0.0% | |||
INDUSTRIALS - 0.0% | |||
Transportation Infrastructure - 0.0% | |||
Tricer Holdco SCA (d)(r) | 94,947,700 | 949 | |
TOTAL PREFERRED STOCKS | |||
(Cost $3,795) | 1,438 | ||
Principal Amount (000s)(a) | Value (000s) | ||
Bank Loan Obligations - 1.5% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Diversified Consumer Services - 0.1% | |||
KUEHG Corp.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.4434% 8/13/22 (b)(f) | 4,785 | 4,791 | |
Tranche B, term loan 3 month U.S. LIBOR + 8.250% 9.5828% 8/22/25 (b)(f) | 1,870 | 1,879 | |
6,670 | |||
Media - 0.0% | |||
Livent, Inc. Tranche A, term loan 18% 1/15/49 pay-in-kind (d) | CAD | 32 | 25 |
TOTAL CONSUMER DISCRETIONARY | 6,695 | ||
CONSUMER STAPLES - 0.0% | |||
Personal Products - 0.0% | |||
Revlon Consumer Products Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 9/7/23 (f)(s) | 370 | 274 | |
ENERGY - 0.7% | |||
Energy Equipment & Services - 0.1% | |||
Forbes Energy Services LLC Tranche B, term loan 12% 4/13/21 (b)(d) | 693 | 698 | |
Seadrill Operating LP Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.6934% 2/21/21 (b)(f) | 10,979 | 8,838 | |
9,536 | |||
Oil, Gas & Consumable Fuels - 0.6% | |||
Alon U.S.A. Partners LP term loan 3 month U.S. LIBOR + 8.000% 9.569% 11/26/18 (b)(f) | 3,093 | 3,101 | |
Bcp Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.7288% 6/22/24 (b)(f) | 2,771 | 2,780 | |
California Resources Corp.: | |||
Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 11.8761% 12/31/21 (b)(f) | 24,185 | 26,513 | |
Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.2408% 11/17/22 (b)(f) | 8,755 | 8,711 | |
Chesapeake Energy Corp. Tranche 1LN, term loan 3 month U.S. LIBOR + 7.500% 8.954% 8/23/21 (b)(f) | 12,640 | 13,436 | |
Vanguard Natural Gas LLC Tranche B, term loan 3 month U.S. LIBOR + 7.500% 8.9% 5/1/21 (b)(f) | 527 | 516 | |
55,057 | |||
TOTAL ENERGY | 64,593 | ||
FINANCIALS - 0.1% | |||
Consumer Finance - 0.1% | |||
Sears Roebuck Acceptance Corp. Tranche B, term loan 3 month U.S. LIBOR + 7.500% 8.8918% 7/20/20 (b)(f) | 3,242 | 3,252 | |
Diversified Financial Services - 0.0% | |||
Bcp Renaissance Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3801% 10/31/24 (b)(f) | 895 | 905 | |
TOTAL FINANCIALS | 4,157 | ||
INDUSTRIALS - 0.0% | |||
Commercial Services & Supplies - 0.0% | |||
Harland Clarke Holdings Corp. Tranche B 7LN, term loan 3 month U.S. LIBOR + 4.750% 6.4434% 11/3/23 (b)(f) | 1,135 | 1,138 | |
Optiv Security, Inc. Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.625% 2/1/25 (b)(f) | 120 | 107 | |
1,245 | |||
Construction & Engineering - 0.0% | |||
Traverse Midstream Partners Ll Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.33% 9/27/24 (b)(f) | 920 | 932 | |
TOTAL INDUSTRIALS | 2,177 | ||
INFORMATION TECHNOLOGY - 0.4% | |||
Internet Software & Services - 0.1% | |||
Mcafee LLC Tranche B, term loan: | |||
3 month U.S. LIBOR + 4.500% 6.069% 9/29/24 (b)(f) | 1,461 | 1,456 | |
3 month U.S. LIBOR + 8.500% 10.069% 9/29/25 (b)(f) | 7,750 | 7,755 | |
9,211 | |||
Software - 0.3% | |||
Almonde, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.7288% 6/13/25 (b)(f) | 7,500 | 7,502 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.9788% 6/13/24 (b)(f) | 1,776 | 1,780 | |
Digicert Holdings, Inc. Tranche B, term loan: | |||
3 month U.S. LIBOR + 4.750% 6.1301% 10/31/24 (b)(f) | 1,200 | 1,214 | |
3 month U.S. LIBOR + 8.000% 9.3801% 10/31/25 (b)(f) | 1,490 | 1,497 | |
Kronos, Inc. term loan 3 month U.S. LIBOR + 8.250% 9.6268% 11/1/24 (b)(f) | 7,095 | 7,354 | |
Landesk Group, Inc. term loan: | |||
3 month U.S. LIBOR + 4.250% 5.82% 1/20/24 (b)(f) | 1,067 | 1,013 | |
3 month U.S. LIBOR + 9.000% 10.57% 1/20/25 (b)(f) | 3,390 | 3,229 | |
23,589 | |||
TOTAL INFORMATION TECHNOLOGY | 32,800 | ||
MATERIALS - 0.1% | |||
Containers & Packaging - 0.0% | |||
Caraustar Industries, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.8328% 3/14/22 (b)(f) | 541 | 542 | |
Metals & Mining - 0.1% | |||
Essar Steel Algoma, Inc. Tranche B, term loan 3 month U.S. LIBOR + 6.500% 0% 8/16/19 (e)(f) | 2,104 | 1,935 | |
Murray Energy Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.9434% 4/16/20 (b)(f) | 7,988 | 7,009 | |
8,944 | |||
TOTAL MATERIALS | 9,486 | ||
TELECOMMUNICATION SERVICES - 0.0% | |||
Wireless Telecommunication Services - 0.0% | |||
Intelsat Jackson Holdings SA: | |||
Tranche B-4, term loan 3 month U.S. LIBOR + 4.500% 1/14/24 (f)(s) | 1,225 | 1,239 | |
Tranche B-5, term loan 6.625% 1/14/24 | 1,230 | 1,241 | |
2,480 | |||
UTILITIES - 0.1% | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Energy Future Holdings Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3552% 6/30/18 (b)(f) | 11,245 | 11,269 | |
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $131,001) | 133,931 | ||
Shares | Value (000s) | ||
Fixed-Income Funds - 7.0% | |||
Fidelity Floating Rate Central Fund (t) | |||
(Cost $654,728) | 6,227,026 | 641,135 | |
Principal Amount (000s)(a) | Value (000s) | ||
Preferred Securities - 3.8% | |||
CONSUMER STAPLES - 0.1% | |||
Food Products - 0.1% | |||
Cosan Overseas Ltd. 8.25% (g) | 9,140 | 9,473 | |
ENERGY - 0.2% | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Andeavor Logistics LP 6.875% (b)(g) | 9,215 | 9,396 | |
DCP Midstream Partners LP 7.375% (b)(g) | 4,605 | 4,607 | |
Summit Midstream Partners LP 9.5% (b)(g) | 4,605 | 4,683 | |
Sunoco Logistics Partners LP: | |||
6.25% (b)(g) | 1,380 | 1,351 | |
6.625% (b)(g) | 790 | 774 | |
20,811 | |||
FINANCIALS - 3.4% | |||
Banks - 2.9% | |||
Alfa Bond Issuance PLC 8% (Reg. S) (b)(g) | 4,225 | 4,524 | |
Banco Do Brasil SA 9% (b)(c)(g) | 4,320 | 4,654 | |
Banco Mercantil del Norte SA 7.625% (b)(c)(g) | 4,100 | 4,563 | |
Bank of America Corp.: | |||
5.125% (b)(g) | 10,690 | 10,878 | |
5.2% (b)(g) | 25,390 | 25,921 | |
6.25% (b)(g) | 9,040 | 10,174 | |
Barclays Bank PLC 7.625% 11/21/22 | 8,780 | 10,019 | |
Citigroup, Inc.: | |||
5.8% (b)(g) | 8,960 | 9,352 | |
5.9% (b)(g) | 13,975 | 15,195 | |
5.95% (b)(g) | 25,260 | 27,503 | |
6.25% (b)(g) | 6,405 | 7,216 | |
6.3% (b)(g) | 2,145 | 2,315 | |
Itau Unibanco Holding SA 6.125% (b)(c)(g) | 4,040 | 4,052 | |
JPMorgan Chase & Co.: | |||
5% (b)(g) | 12,930 | 13,478 | |
5.3% (b)(g) | 6,510 | 6,810 | |
6% (b)(g) | 29,580 | 32,538 | |
6.125% (b)(g) | 6,740 | 7,452 | |
6.75% (b)(g) | 3,295 | 3,824 | |
Royal Bank of Scotland Group PLC 8.625% (b)(g) | 13,765 | 15,509 | |
Wells Fargo & Co.: | |||
5.875% (b)(g) | 19,480 | 21,629 | |
5.9% (b)(g) | 24,365 | 26,130 | |
263,736 | |||
Capital Markets - 0.4% | |||
Goldman Sachs Group, Inc.: | |||
5% (b)(g) | 9,225 | 9,155 | |
5.375% (b)(g) | 11,780 | 12,224 | |
5.7% (b)(g) | 13,704 | 14,242 | |
35,621 | |||
Diversified Financial Services - 0.0% | |||
Magnesita Finance Ltd.: | |||
8.625% (c)(g) | 3,110 | 3,194 | |
8.625% (Reg. S) (g) | 380 | 390 | |
3,584 | |||
Insurance - 0.1% | |||
Allianz SE: | |||
3.375% (Reg. S) (b)(g) | EUR | 2,400 | 3,221 |
4.75% (Reg. S) (b)(g) | EUR | 3,000 | 4,307 |
7,528 | |||
TOTAL FINANCIALS | 310,469 | ||
INDUSTRIALS - 0.1% | |||
Construction & Engineering - 0.1% | |||
Odebrecht Finance Ltd.: | |||
7.5% (c)(g) | 16,030 | 5,238 | |
7.5% (Reg. S) (g) | 250 | 82 | |
5,320 | |||
MATERIALS - 0.0% | |||
Metals & Mining - 0.0% | |||
CSN Islands XII Corp. 7% (Reg. S) (g) | 3,390 | 2,725 | |
TELECOMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
Colombia Telecomunicaciones SA 8.5% (b)(c)(g) | 1,613 | 1,769 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $340,041) | 350,567 | ||
Shares | Value (000s) | ||
Money Market Funds - 6.1% | |||
Fidelity Cash Central Fund, 1.36% (u) | 551,788,506 | 551,899 | |
Fidelity Securities Lending Cash Central Fund 1.36% (u)(v) | 296,249 | 296 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $552,172) | 552,195 | ||
Maturity Amount (000s) | Value (000s) | ||
Repurchase Agreements - 0.5% | |||
Investments in repurchase agreements in a joint trading account at 1.41%, dated 12/29/17 due 1/2/18 (Collateralized by U.S. Government Obligations) # (v) | |||
(Cost $40,608) | 40,614 | 40,608 |
Purchased Swaptions - 0.1% | ||||
Expiration Date | Notional Amount (000s) | Value (000s) | ||
Put Options - 0.0% | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.495% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/5/20 | 19,600 | $552 | |
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 2.5340% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2027 | 12/8/20 | 70,700 | 1,992 | |
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 2.5575% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/6/20 | 6,700 | 177 | |
TOTAL PUT OPTIONS | 2,721 | |||
Call Options - 0.1% | ||||
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.495% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/5/20 | 19,600 | 549 | |
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 2.5340% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2027 | 12/8/20 | 70,700 | 2,108 | |
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 2.5575% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/6/20 | 6,700 | 201 | |
TOTAL CALL OPTIONS | 2,858 | |||
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $6,088) | 5,579 | |||
TOTAL INVESTMENT IN SECURITIES - 100.8% | ||||
(Cost $8,859,711) | 9,195,270 | |||
NET OTHER ASSETS (LIABILITIES) - (0.8)% | (69,157) | |||
NET ASSETS - 100% | $9,126,113 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount (000s) | Value (000s) | Unrealized Appreciation/(Depreciation) (000s) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 153 | March 2018 | $18,979 | $(105) | $(105) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 507 | March 2018 | 108,553 | (168) | (168) |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 203 | March 2018 | 34,034 | 307 | 307 |
TOTAL FUTURES CONTRACTS | $34 |
The notional amount of futures purchased as a percentage of Net Assets is 1.8%
Swaps
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount (000s) | Value (000s) | Upfront Premium Received/(Paid) (000s)(2) | Unrealized Appreciation/(Depreciation) (000s) |
Interest Rate Swaps | |||||||||
1.75% | Semi - annual | 3-month LIBOR(3) | Quarterly | CME | Mar. 2020 | $25,150 | $(12) | $0 | $(12) |
(1) Swaps with CME Group (CME) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3) Represents floating rate.
Currency Abbreviations
AUD – Australian dollar
BRL – Brazilian real
CAD – Canadian dollar
CHF – Swiss franc
DKK – Danish krone
EUR – European Monetary Unit
GBP – British pound
HKD – Hong Kong dollar
IDR – Indonesian rupiah
INR – Indian rupee
JPY – Japanese yen
MXN – Mexican peso
MYR – Malyasian ringgit
NOK – Norwegian krone
NZD – New Zealand dollar
PEN – Peruvian new sol
RUB – Russian ruble
SEK – Swedish krona
SGD – Singapore dollar
Values shown as $0 may reflect amounts less than $500.
Legend
(a) Amount is stated in United States dollars unless otherwise noted.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,973,691,000 or 21.6% of net assets.
(d) Level 3 security
(e) Non-income producing - Security is in default.
(f) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(g) Security is perpetual in nature with no stated maturity date.
(h) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,148,000.
(i) Security or a portion of the security has been segregated as collateral for open options. At period end, the value of securities pledged amounted to $260,000.
(j) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $203,000.
(k) Security or a portion of the security is on loan at period end.
(l) 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.
(m) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(n) 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.
(o) Quantity represents share amount.
(p) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.
(q) Non-income producing
(r) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,982,000 or 0.0% of net assets.
(s) The coupon rate will be determined upon settlement of the loan after period end.
(t) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(u) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(v) Investment made with cash collateral received from securities on loan.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost (000s) |
Houghton Mifflin Harcourt Co. warrants 6/22/19 | 6/22/12 | $62 |
Tricer Holdco SCA | 12/19/16 | $5,239 |
Tricer Holdco SCA | 12/19/16 | $3,385 |
WP Rocket Holdings, Inc. | 2/4/14 - 2/2/15 | $568 |
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 | $3,328 |
Fidelity Floating Rate Central Fund | 29,529 |
Fidelity Securities Lending Cash Central Fund | 2 |
Total | $32,859 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
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 | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Floating Rate Central Fund | $590,803 | $162,903 | $109,643 | $16,349 | $(19,277) | $641,135 | 34.7% |
Total | $590,803 | $162,903 | $109,643 | $16,349 | $(19,277) | $641,135 |
Investment Valuation
The following is a summary of the inputs used, as of December 31, 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: | ||||
Equities: | ||||
Consumer Discretionary | $124,282 | $115,961 | $5 | $8,316 |
Consumer Staples | 3,888 | 3,399 | -- | 489 |
Energy | 14,141 | 14,141 | -- | -- |
Financials | 5,370 | 5,370 | -- | -- |
Health Care | 9,892 | 9,783 | -- | 109 |
Industrials | 65,983 | 63,371 | -- | 2,612 |
Information Technology | 177,847 | 177,847 | -- | -- |
Materials | 38,443 | 38,224 | -- | 219 |
Telecommunication Services | 17,332 | 17,332 | -- | -- |
Utilities | 332 | 332 | -- | -- |
Corporate Bonds | 3,179,300 | -- | 3,178,345 | 955 |
U.S. Government and Government Agency Obligations | 1,572,539 | -- | 1,572,539 | -- |
U.S. Government Agency - Mortgage Securities | 40,792 | -- | 40,792 | -- |
Asset-Backed Securities | 44,506 | -- | 44,506 | -- |
Collateralized Mortgage Obligations | 321,875 | -- | 321,875 | -- |
Commercial Mortgage Securities | 142,032 | -- | 142,032 | -- |
Foreign Government and Government Agency Obligations | 1,709,468 | -- | 1,690,216 | 19,252 |
Supranational Obligations | 3,233 | -- | 3,233 | -- |
Bank Loan Obligations | 133,931 | -- | 133,208 | 723 |
Fixed-Income Funds | 641,135 | 641,135 | -- | -- |
Preferred Securities | 350,567 | -- | 350,567 | -- |
Money Market Funds | 552,195 | 552,195 | -- | -- |
Repurchase Agreements | 40,608 | -- | 40,608 | -- |
Purchased Swaptions | 5,579 | -- | 5,579 | -- |
Total Investments in Securities: | $9,195,270 | $1,639,090 | $7,523,505 | $32,675 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $307 | $307 | $-- | $-- |
Total Assets | $307 | $307 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(273) | $(273) | $-- | $-- |
Swaps | (12) | -- | (12) | -- |
Total Liabilities | $(285) | $(273) | $(12) | $-- |
Total Derivative Instruments: | $22 | $34 | $(12) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of December 31, 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) | $307 | $(273) |
Purchased Swaptions(b) | 5,579 | 0 |
Swaps(c) | 0 | (12) |
Total Value of Derivatives | $5,886 | $(285) |
(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 on futures contracts, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).
(b) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.
(c) For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in net unrealized appreciation (depreciation).
Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty | Value (000's) |
$40,608,000 due 1/02/18 at 1.41% | |
J.P. Morgan Securities, Inc. | $40,608 |
$40,608 |
Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):
United States of America | 66.2% |
Germany | 3.1% |
Canada | 2.9% |
Japan | 2.8% |
United Kingdom | 2.5% |
France | 2.5% |
Argentina | 2.2% |
Luxembourg | 2.0% |
Netherlands | 1.8% |
Italy | 1.2% |
Cayman Islands | 1.1% |
Mexico | 1.1% |
Others (Individually Less Than 1%) | 10.6% |
100.0% |
The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | December 31, 2017 | |
Assets | ||
Investment in securities, at value (including securities loaned of $288 and repurchase agreements of $40,608) — See accompanying schedule: Unaffiliated issuers (cost $7,652,811) | $8,001,940 | |
Fidelity Central Funds (cost $1,206,900) | 1,193,330 | |
Total Investment in Securities (cost $8,859,711) | $9,195,270 | |
Foreign currency held at value (cost $211) | 214 | |
Receivable for investments sold | 15,959 | |
Receivable for fund shares sold | 11,734 | |
Dividends receivable | 210 | |
Interest receivable | 82,389 | |
Distributions receivable from Fidelity Central Funds | 545 | |
Receivable for daily variation margin on futures contracts | 142 | |
Receivable for daily variation margin on centrally cleared OTC swaps | 6 | |
Prepaid expenses | 14 | |
Other receivables | 7 | |
Total assets | 9,306,490 | |
Liabilities | ||
Payable to custodian bank | $1,080 | |
Payable for investments purchased | 113,559 | |
Payable for fund shares redeemed | 16,275 | |
Distributions payable | 1,312 | |
Accrued management fee | 4,214 | |
Distribution and service plan fees payable | 1,669 | |
Other affiliated payables | 1,316 | |
Other payables and accrued expenses | 48 | |
Collateral on securities loaned | 40,904 | |
Total liabilities | 180,377 | |
Net Assets | $9,126,113 | |
Net Assets consist of: | ||
Paid in capital | $8,748,100 | |
Undistributed net investment income | 29,431 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 12,933 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 335,649 | |
Net Assets | $9,126,113 | |
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($1,920,502 ÷ 155,929 shares) | $12.32 | |
Maximum offering price per share (100/96.00 of $12.32) | $12.83 | |
Class M: | ||
Net Asset Value and redemption price per share ($864,070 ÷ 70,192 shares) | $12.31 | |
Maximum offering price per share (100/96.00 of $12.31) | $12.82 | |
Class C: | ||
Net Asset Value and offering price per share ($1,302,089 ÷ 105,994 shares)(a) | $12.28 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($5,039,452 ÷ 403,615 shares) | $12.49 |
(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
Amounts in thousands | Year ended December 31, 2017 | |
Investment Income | ||
Dividends | $26,208 | |
Interest (including $50 from security lending) | 310,854 | |
Income from Fidelity Central Funds | 30,850 | |
Total income | 367,912 | |
Expenses | ||
Management fee | $48,487 | |
Transfer agent fees | 13,617 | |
Distribution and service plan fees | 21,079 | |
Accounting and security lending fees | 1,519 | |
Custodian fees and expenses | 260 | |
Independent trustees' fees and expenses | 32 | |
Registration fees | 235 | |
Audit | 250 | |
Legal | 150 | |
Miscellaneous | 73 | |
Total expenses before reductions | 85,702 | |
Expense reductions | (75) | 85,627 |
Net investment income (loss) | 282,285 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 90,072 | |
Fidelity Central Funds | 16,352 | |
Foreign currency transactions | 86 | |
Futures contracts | 1,628 | |
Swaps | (253) | |
Capital gain distributions from Fidelity Central Funds | 2,009 | |
Total net realized gain (loss) | 109,894 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 272,545 | |
Fidelity Central Funds | (19,281) | |
Assets and liabilities in foreign currencies | 448 | |
Futures contracts | 485 | |
Swaps | 122 | |
Total change in net unrealized appreciation (depreciation) | 254,319 | |
Net gain (loss) | 364,213 | |
Net increase (decrease) in net assets resulting from operations | $646,498 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Year ended December 31, 2017 | Year ended December 31, 2016 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $282,285 | $300,896 |
Net realized gain (loss) | 109,894 | 7,311 |
Change in net unrealized appreciation (depreciation) | 254,319 | 366,805 |
Net increase (decrease) in net assets resulting from operations | 646,498 | 675,012 |
Distributions to shareholders from net investment income | (271,567) | (269,601) |
Distributions to shareholders from net realized gain | (74,918) | – |
Total distributions | (346,485) | (269,601) |
Share transactions - net increase (decrease) | 558,230 | (553,605) |
Total increase (decrease) in net assets | 858,243 | (148,194) |
Net Assets | ||
Beginning of period | 8,267,870 | 8,416,064 |
End of period | $9,126,113 | $8,267,870 |
Other Information | ||
Undistributed net investment income end of period | $29,431 | $23,239 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Advisor Strategic Income Fund Class A
Years ended December 31, | 2017 | 2016 | 2015 | 2014 | 2013 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $11.88 | $11.32 | $11.92 | $12.10 | $12.69 |
Income from Investment Operations | |||||
Net investment income (loss)A | .399 | .428 | .420 | .422 | .449 |
Net realized and unrealized gain (loss) | .526 | .516 | (.629) | .005 | (.441) |
Total from investment operations | .925 | .944 | (.209) | .427 | .008 |
Distributions from net investment income | (.382) | (.384) | (.307) | (.419) | (.431) |
Distributions from net realized gain | (.103) | – | (.007) | (.188) | (.167) |
Tax return of capital | – | – | (.077) | – | – |
Total distributions | (.485) | (.384) | (.391) | (.607) | (.598) |
Net asset value, end of period | $12.32 | $11.88 | $11.32 | $11.92 | $12.10 |
Total ReturnB,C | 7.87% | 8.42% | (1.84)% | 3.52% | .08% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | 1.00% | 1.01% | 1.00% | .99% | .98% |
Expenses net of fee waivers, if any | .99% | 1.01% | 1.00% | .99% | .98% |
Expenses net of all reductions | .99% | 1.01% | 1.00% | .99% | .98% |
Net investment income (loss) | 3.24% | 3.64% | 3.55% | 3.42% | 3.61% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $1,921 | $3,098 | $3,274 | $3,794 | $4,205 |
Portfolio turnover rateF | 123% | 76% | 88% | 121% | 135% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the sales charges.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were .06%.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity Advisor Strategic Income Fund Class M
Years ended December 31, | 2017 | 2016 | 2015 | 2014 | 2013 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $11.88 | $11.31 | $11.92 | $12.10 | $12.68 |
Income from Investment Operations | |||||
Net investment income (loss)A | .398 | .428 | .420 | .422 | .449 |
Net realized and unrealized gain (loss) | .517 | .526 | (.639) | .006 | (.431) |
Total from investment operations | .915 | .954 | (.219) | .428 | .018 |
Distributions from net investment income | (.382) | (.384) | (.307) | (.420) | (.431) |
Distributions from net realized gain | (.103) | – | (.007) | (.188) | (.167) |
Tax return of capital | – | – | (.077) | – | – |
Total distributions | (.485) | (.384) | (.391) | (.608) | (.598) |
Net asset value, end of period | $12.31 | $11.88 | $11.31 | $11.92 | $12.10 |
Total ReturnB,C | 7.78% | 8.52% | (1.93)% | 3.52% | .17% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | .99% | 1.01% | 1.00% | .99% | .98% |
Expenses net of fee waivers, if any | .99% | 1.00% | 1.00% | .99% | .98% |
Expenses net of all reductions | .99% | 1.00% | 1.00% | .99% | .98% |
Net investment income (loss) | 3.24% | 3.64% | 3.55% | 3.42% | 3.61% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $864 | $967 | $1,008 | $1,179 | $1,265 |
Portfolio turnover rateF | 123% | 76% | 88% | 121% | 135% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the sales charges.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were .06%.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity Advisor Strategic Income Fund Class C
Years ended December 31, | 2017 | 2016 | 2015 | 2014 | 2013 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $11.85 | $11.29 | $11.89 | $12.07 | $12.66 |
Income from Investment Operations | |||||
Net investment income (loss)A | .305 | .339 | .331 | .329 | .355 |
Net realized and unrealized gain (loss) | .518 | .516 | (.629) | .007 | (.440) |
Total from investment operations | .823 | .855 | (.298) | .336 | (.085) |
Distributions from net investment income | (.290) | (.295) | (.236) | (.328) | (.338) |
Distributions from net realized gain | (.103) | – | (.007) | (.188) | (.167) |
Tax return of capital | – | – | (.059) | – | – |
Total distributions | (.393) | (.295) | (.302) | (.516) | (.505) |
Net asset value, end of period | $12.28 | $11.85 | $11.29 | $11.89 | $12.07 |
Total ReturnB,C | 7.00% | 7.63% | (2.59)% | 2.76% | (.66)% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | 1.74% | 1.75% | 1.75% | 1.73% | 1.73% |
Expenses net of fee waivers, if any | 1.74% | 1.75% | 1.75% | 1.73% | 1.73% |
Expenses net of all reductions | 1.74% | 1.75% | 1.75% | 1.73% | 1.73% |
Net investment income (loss) | 2.50% | 2.90% | 2.80% | 2.67% | 2.86% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $1,302 | $1,376 | $1,429 | $1,664 | $1,767 |
Portfolio turnover rateF | 123% | 76% | 88% | 121% | 135% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the contingent deferred sales charge.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were .06%.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity Advisor Strategic Income Fund Class I
Years ended December 31, | 2017 | 2016 | 2015 | 2014 | 2013 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $12.05 | $11.47 | $12.09 | $12.26 | $12.84 |
Income from Investment Operations | |||||
Net investment income (loss)A | .432 | .463 | .452 | .455 | .484 |
Net realized and unrealized gain (loss) | .528 | .535 | (.650) | .012 | (.437) |
Total from investment operations | .960 | .998 | (.198) | .467 | .047 |
Distributions from net investment income | (.417) | (.418) | (.332) | (.449) | (.460) |
Distributions from net realized gain | (.103) | – | (.007) | (.188) | (.167) |
Tax return of capital | – | – | (.083) | – | – |
Total distributions | (.520) | (.418) | (.422) | (.637) | (.627) |
Net asset value, end of period | $12.49 | $12.05 | $11.47 | $12.09 | $12.26 |
Total ReturnB | 8.06% | 8.80% | (1.73)% | 3.80% | .39% |
Ratios to Average Net AssetsC,D | |||||
Expenses before reductions | .75% | .76% | .78% | .76% | .75% |
Expenses net of fee waivers, if any | .74% | .76% | .78% | .76% | .75% |
Expenses net of all reductions | .74% | .76% | .78% | .76% | .75% |
Net investment income (loss) | 3.49% | 3.89% | 3.77% | 3.65% | 3.84% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $5,039 | $2,827 | $2,640 | $2,682 | $2,179 |
Portfolio turnover rateE | 123% | 76% | 88% | 121% | 135% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were .06%.
D Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended December 31, 2017
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor Strategic Income Fund (the Fund) is a fund of Fidelity Advisor Series II (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M (formerly Class T), Class C and Class I shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. The Fund's investments in emerging markets can be subject to social, economic, regulatory, and political uncertainties and can be extremely volatile.
After the close of business on June 24, 2016, all outstanding Class B shares were converted to Class A shares. All prior fiscal period dollar and share amounts for Class B presented in the Notes to Financial Statements are for the period January 1, 2016 through June 24, 2016.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Floating Rate Central Fund | FMR Co., Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments Restricted Securities | .06% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at institutional.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. 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 loan obligations, foreign government and government agency obligations, preferred securities, supranational obligations and U.S. government and government agency obligations 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. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using broker-supplied valuations and are categorized as Level 2 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of December 31, 2017, is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and includes proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of December 31, 2017, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, swaps, foreign currency transactions, market discount, partnerships, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $521,311 |
Gross unrealized depreciation | (150,428) |
Net unrealized appreciation (depreciation) | $370,883 |
Tax Cost | $8,824,372 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $7,669 |
Net unrealized appreciation (depreciation) on securities and other investments | $370,958 |
The Fund intends to elect to defer to its next fiscal year $615 of capital losses recognized during the period November 1, 2017 to December 31, 2017.
The tax character of distributions paid was as follows:
December 31, 2017 | December 31, 2016 | |
Ordinary Income | $311,572 | $ 269,601 |
Long-term Capital Gains | 34,913 | – |
Total | $346,485 | $ 269,601 |
Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with Fidelity Management & Research Company (FMR), or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.
New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2017-08, which amends the amortization period for certain callable debt securities that are held at a premium. The amendment requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount. The ASU is effective for annual periods beginning after December 15, 2018. Management is currently evaluating the potential impact of these changes to the financial statements.
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, options 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. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options, 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. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however 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 | $1,628 | $485 |
Purchased Swaptions | 108 | (509) |
Swaps | (253) | 122 |
Totals | $1,483 | $98 |
A summary of the value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
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 on centrally cleared OTC swaps 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 presented in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
5. Purchases and Sales of Investments.
Purchases and sales of securities including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $6,822,810 and $7,228,138, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annual management fee rate was .56% of the Fund's average net assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | -% | .25% | $5,414 | $58 |
Class M | -% | .25% | 2,233 | 13 |
Class C | .75% | .25% | 13,432 | 932 |
$21,079 | $1,003 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class M 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 M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained by FDC | |
Class A | $158 |
Class M | 35 |
Class C(a) | 115 |
$308 |
(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 the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
For the period, transfer agent fees for each class were as follows:
Amount | % of Class-Level Average Net Assets | |
Class A | $3,424 | .16 |
Class M | 1,371 | .15 |
Class C | 2,024 | .15 |
Class I | 6,798 | .16 |
$13,617 |
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $7 for the period.
Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $27 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. The value of securities loaned to FCM at period end was $73. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $50. Net income from the Fidelity Securities Lending Cash Central Fund during the period, presented in the Statement of Operations as a component of income from Fidelity Central Funds, amounted to $2, (including $1 from securities loaned to FCM).
9. Expense Reductions.
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $19 for the period.
In addition, 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 $7.
In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $49.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Year ended December 31, 2017 | Year ended December 31, 2016 | |
From net investment income | ||
Class A | $67,327 | $105,285 |
Class M | 27,804 | 32,421 |
Class B | – | 693 |
Class C | 31,773 | 35,849 |
Class I | 144,663 | 95,353 |
Total | $271,567 | $269,601 |
From net realized gain | ||
Class A | $15,922 | $– |
Class M | 7,151 | – |
Class C | 10,814 | – |
Class I | 41,031 | – |
Total | $74,918 | $– |
11. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Year ended December 31, 2017 | Year ended December 31, 2016 | Year ended December 31, 2017 | Year ended December 31, 2016 | |
Class A | ||||
Shares sold | 27,580 | 45,966 | $336,996 | $539,975 |
Reinvestment of distributions | 6,569 | 8,576 | 80,569 | 100,874 |
Shares redeemed | (138,920) | (83,137) | (1,686,483) | (974,275) |
Net increase (decrease) | (104,771) | (28,595) | $(1,268,918) | $(333,426) |
Class M | ||||
Shares sold | 9,613 | 10,145 | $117,776 | $119,353 |
Reinvestment of distributions | 2,773 | 2,634 | 34,035 | 30,978 |
Shares redeemed | (23,608) | (20,492) | (287,908) | (239,762) |
Net increase (decrease) | (11,222) | (7,713) | $(136,097) | $(89,431) |
Class B | ||||
Shares sold | – | 64 | $– | $739 |
Reinvestment of distributions | – | 47 | – | 542 |
Shares redeemed | – | (5,773) | – | (67,637) |
Net increase (decrease) | – | (5,662) | $– | $(66,356) |
Class C | ||||
Shares sold | 11,502 | 13,190 | $140,589 | $154,715 |
Reinvestment of distributions | 3,205 | 2,669 | 39,257 | 31,318 |
Shares redeemed | (24,793) | (26,365) | (302,783) | (308,384) |
Net increase (decrease) | (10,086) | (10,506) | $(122,937) | $(122,351) |
Class I | ||||
Shares sold | 236,266 | 81,336 | $2,921,087 | $970,701 |
Reinvestment of distributions | 13,807 | 7,280 | 172,124 | 86,872 |
Shares redeemed | (81,126) | (84,104) | (1,007,029) | (999,614) |
Net increase (decrease) | 168,947 | 4,512 | $2,086,182 | $57,959 |
12. Proposed Reorganization.
The Board of Trustees of the Fund approved an Agreement and Plan of Reorganization (the Agreement) between the Fund and Fidelity Strategic Income Fund. In addition, the Board approved the creation of additional classes of shares that will commence operations in April 2018. The Agreement provides for the transfer of all the assets and the assumption of all the liabilities of the Fidelity Strategic Income Fund in exchange for corresponding shares of the Fund equal in value to the net assets of the Fidelity Strategic Income Fund on the day the reorganization is effective. The reorganization provides shareholders of Fidelity Strategic Income Fund access to a larger portfolio with a similar investment objective.
The reorganization does not require Fidelity Strategic Income Fund's shareholder approval and is expected to become effective in April 2018. The reorganization is expected to qualify as a tax-free transaction for federal income tax purposes with no gain or loss recognized by the funds or their shareholders.
13. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
14. Credit Risk.
The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.
15. Litigation.
The Fund, and other entities managed by FMR or its affiliates were named as defendants in a lawsuit filed in the United States Bankruptcy Court for the Southern District of New York in 2009. The lawsuit was brought by creditors of Motors Liquidation Company (f/k/a General Motors), which went through Chapter 11 bankruptcy proceedings in 2009, and is captioned Official Committee of Unsecured Creditors of Motors Liquidation Company v. JPMorgan Chase Bank, N.A., et al., Adversary No. 09-00504 (REG). The plaintiffs are seeking an order that the Fund and other defendants return proceeds received in 2009 in full payment of the principal and interest on General Motors secured debt. The plaintiffs contend that the Fund and the other defendants were not secured creditors at the time of the 2009 payments and, thus, were not entitled to payment in full. In January 2015, the Court of Appeals ruled that JPMorgan, as administrative agent for all of the debtholders, released the security interest on certain collateral securing the debt prior to the 2009 payments. In September 2017, an opinion was issued in a trial intended to help determine the value of any remaining, unreleased collateral. Management is evaluating the impact of this ruling and the parties have agreed to mediation. At this time, Management cannot determine the amount of loss that may be realized, but expects the amount to be less than the $24,325 received in 2009. The Fund is also incurring legal costs in defending the case.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Advisor Strategic Income Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity Advisor Strategic Income Fund (the "Fund"), a fund of Fidelity Advisor Series II, including the schedule of investments, as of December 31, 2017, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2017, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2017, by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 20, 2018
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Each of the Trustees oversees 238 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Abigail P. Johnson (1961)
Year of Election or Appointment: 2009
Trustee
Chairman of the Board of Trustees
Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2016
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).
John Engler (1948)
Year of Election or Appointment: 2016
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. He serves on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a Member of the Advisory Board of certain Fidelity® funds (2014-2016), president of the Business Roundtable (2011-2017), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.
Albert R. Gamper, Jr. (1942)
Year of Election or Appointment: 2006
Trustee
Mr. Gamper also serves as Trustee of other Fidelity® funds. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity® funds and as Chairman of the Board of Governors, Rutgers University (2004-2007).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007), and Chase Manhattan Bank (1975-1978).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Vice Chairman of the Independent Trustees
Mr. Johnson also serves as Trustee of other Fidelity® funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991.
Marie L. Knowles (1946)
Year of Election or Appointment: 2001
Trustee
Chairman of the Independent Trustees
Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity® funds (2012-2015).
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Marc R. Bryant (1966)
Year of Election or Appointment: 2015
Secretary and Chief Legal Officer (CLO)
Mr. Bryant also serves as Secretary and CLO of other funds. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited and FMR Investment Management (UK) Limited (investment adviser firms, 2015-present) and Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Adrien E. Deberghes (1967)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Deberghes also serves as an officer of other funds. He serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present), and is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.
Stephanie J. Dorsey (1969)
Year of Election or Appointment: 2013
President and Treasurer
Ms. Dorsey also serves as an officer of other funds. Ms. Dorsey serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2008-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.
Howard J. Galligan III (1966)
Year of Election or Appointment: 2014
Chief Financial Officer
Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight, serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
John B. McGinty, Jr. (1962)
Year of Election or Appointment: 2016
Chief Compliance Officer
Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).
Rieco E. Mello (1969)
Year of Election or Appointment: 2017
Assistant Treasurer
Mr. Mello also serves as Assistant Treasurer of other funds. Mr. Mello serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (1995-present).
Jason P. Pogorelec (1975)
Year of Election or Appointment: 2015
Assistant Secretary
Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).
Nancy D. Prior (1967)
Year of Election or Appointment: 2014
Vice President
Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), Vice Chairman of FIAM LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Deputy Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).
Renee Stagnone (1975)
Year of Election or Appointment: 2016
Assistant Treasurer
Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity® funds (2013-2016).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2017 to December 31, 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value July 1, 2017 | Ending Account Value December 31, 2017 | Expenses Paid During Period-B July 1, 2017 to December 31, 2017 | |
Class A | .99% | |||
Actual | $1,000.00 | $1,030.60 | $5.07 | |
Hypothetical-C | $1,000.00 | $1,020.21 | $5.04 | |
Class M | .98% | |||
Actual | $1,000.00 | $1,029.80 | $5.01 | |
Hypothetical-C | $1,000.00 | $1,020.27 | $4.99 | |
Class C | 1.72% | |||
Actual | $1,000.00 | $1,026.00 | $8.78 | |
Hypothetical-C | $1,000.00 | $1,016.53 | $8.74 | |
Class I | .74% | |||
Actual | $1,000.00 | $1,031.70 | $3.79 | |
Hypothetical-C | $1,000.00 | $1,021.48 | $3.77 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (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 .03%.
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity Advisor Strategic Income Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:
Pay Date | Record Date | Capital Gains | |
Fidelity Advisor Strategic Income Fund | |||
Class A | 02/20/18 | 02/16/18 | $0.012 |
Class M | 02/20/18 | 02/16/18 | $0.012 |
Class C | 02/20/18 | 02/16/18 | $0.012 |
Class I | 02/20/18 | 02/16/18 | $0.012 |
The fund hereby designates as a capital gain dividend with respect to the taxable year ended December 31, 2017, $34,171,822, or, if subsequently determined to be different, the net capital gain of such year.
A total of 6.96% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $177,129,569 of distributions paid during the period January 1, 2017 to December 31, 2017 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2018 of amounts for use in preparing 2017 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Strategic Income Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. 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 review 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 2017 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.
Amendment to Group Fee Rate. The Board also approved an amendment to the management contract for the fund to add an additional breakpoint to the group fee schedule, effective October 1, 2017. The Board noted that the additional breakpoint would result in lower management fee rates as Fidelity's assets under management increase above the new breakpoint.
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 the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers in which the funds invest, 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) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain lower-priced share classes; (vi) reducing management fees and total expenses for certain growth equity funds and index funds; (vii) lowering expense caps for certain existing funds and classes to reduce expenses borne by shareholders; (viii) eliminating short-term redemption fees for certain funds; (ix) introducing a new pricing structure for certain funds of funds that is expected to reduce overall expenses paid by shareholders; (x) rationalizing product lines and gaining increased efficiencies through proposals for fund mergers and share class consolidations; (xi) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xii) implementing enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.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 noted that there was a portfolio management change for the fund in July 2017.The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against one or more securities market indices, including a customized blended index representative of the fund's asset classes (each a "benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.Fidelity Advisor Strategic Income Fund
SI-ANN-0218
1.540220.120
Item 2.
Code of Ethics
As of the end of the period, December 31, 2017, Fidelity Advisor Series II (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Acton is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity Advisor Strategic Income Fund (the “Fund”):
Services Billed by Deloitte Entities
December 31, 2017 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Advisor Strategic Income Fund | $208,000 | $300 | $6,500 | $5,400 |
December 31, 2016 FeesA,B
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Advisor Strategic Income Fund | $205,000 | $200 | $7,000 | $5,600 |
A Amounts may reflect rounding.
B Certain amounts have been reclassified to align with current period presentation.
The following table presents fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund and that are rendered on behalf of Fidelity Management &
Research Company (“FMR”) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”):
Services Billed by Deloitte Entities
| December 31, 2017A | December 31, 2016A |
Audit-Related Fees | $- | $35,000 |
Tax Fees | $25,000 | $- |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Fund, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund are as follows:
Billed By | December 31, 2017A | December 31, 2016A |
Deloitte Entities | $315,000 | $280,000 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its audit of the Fund, taking into account representations from Deloitte Entities, in accordance with
Public Company Accounting Oversight Board rules, regarding its independence from the Fund and its related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee on a periodic basis.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s last two fiscal years relating to services provided to (i) the Fund or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12.
Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Advisor Series II
By: | /s/Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
|
|
Date: | February 26, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
|
|
Date: | February 26, 2018 |
By: | /s/Howard J. Galligan III |
| Howard J. Galligan III |
| Chief Financial Officer |
|
|
Date: | February 26, 2018 |