Scott C. Goebel, Secretary
82 Devonshire St.
This report on Form N-CSR relates solely to the Registrant's Strategic Income Portfolio series (the "Fund").
Item 1. Reports to Stockholders
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2010 to June 30, 2010).
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. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. 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.
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. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. 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.
Corporate Bonds - 33.9% |
| Principal Amount (c) | | Value |
Convertible Bonds - 1.2% |
CONSUMER DISCRETIONARY - 0.1% |
Auto Components - 0.1% |
TRW Automotive, Inc. 3.5% 12/1/15 (f) | | $ 921,000 | | $ 1,061,084 |
ENERGY - 0.6% |
Energy Equipment & Services - 0.0% |
Cal Dive International, Inc. 3.25% 12/15/25 | | 170,000 | | 147,135 |
Oil, Gas & Consumable Fuels - 0.6% |
Alpha Natural Resources, Inc. 2.375% 4/15/15 | | 1,360,000 | | 1,373,736 |
Chesapeake Energy Corp. 2.5% 5/15/37 | | 1,350,000 | | 1,060,020 |
Massey Energy Co. 3.25% 8/1/15 | | 2,120,000 | | 1,749,000 |
| | 4,182,756 |
TOTAL ENERGY | | 4,329,891 |
INFORMATION TECHNOLOGY - 0.1% |
Semiconductors & Semiconductor Equipment - 0.1% |
Advanced Micro Devices, Inc.: | | | | |
5.75% 8/15/12 | | 25,000 | | 24,531 |
6% 5/1/15 | | 385,000 | | 365,288 |
| | 389,819 |
TELECOMMUNICATION SERVICES - 0.4% |
Wireless Telecommunication Services - 0.4% |
NII Holdings, Inc. 3.125% 6/15/12 | | 2,610,000 | | 2,463,188 |
TOTAL CONVERTIBLE BONDS | | 8,243,982 |
Nonconvertible Bonds - 32.7% |
CONSUMER DISCRETIONARY - 4.8% |
Auto Components - 0.4% |
Affinia Group, Inc.: | | | | |
9% 11/30/14 | | 170,000 | | 170,000 |
10.75% 8/15/16 (f) | | 55,000 | | 59,950 |
Cooper-Standard Automotive, Inc. 8.5% 5/1/18 (f) | | 145,000 | | 145,363 |
Lear Corp.: | | | | |
7.875% 3/15/18 | | 110,000 | | 109,725 |
8.125% 3/15/20 | | 125,000 | | 125,000 |
RSC Equipment Rental, Inc. 10% 7/15/17 (f) | | 180,000 | | 193,050 |
Tenneco, Inc.: | | | | |
8.125% 11/15/15 | | 80,000 | | 80,400 |
8.625% 11/15/14 | | 519,000 | | 521,595 |
The Goodyear Tire & Rubber Co. 10.5% 5/15/16 | | 305,000 | | 330,163 |
|
| Principal Amount (c) | | Value |
TRW Automotive, Inc.: | | | | |
7% 3/15/14 (f) | | $ 20,000 | | $ 19,800 |
7.25% 3/15/17 (f) | | 1,015,000 | | 984,550 |
8.875% 12/1/17 (f) | | 120,000 | | 123,000 |
| | 2,862,596 |
Automobiles - 0.0% |
General Motors Corp.: | | | | |
6.75% 5/1/28 (b) | | 607,000 | | 166,925 |
7.7% 4/15/16 (b) | | 376,000 | | 110,920 |
| | 277,845 |
Diversified Consumer Services - 0.0% |
Mac-Gray Corp. 7.625% 8/15/15 | | 40,000 | | 38,500 |
Hotels, Restaurants & Leisure - 1.1% |
GWR Operating Partnership LLP 10.875% 4/1/17 (f) | | 355,000 | | 351,450 |
Harrah's Escrow Corp. 12.75% 4/15/18 (f) | | 620,000 | | 587,450 |
Harrah's Operating Co., Inc. 11.25% 6/1/17 | | 675,000 | | 708,750 |
Landry's Restaurants, Inc. 11.625% 12/1/15 | | 110,000 | | 115,225 |
MCE Finance Ltd. 10.25% 5/15/18 (f) | | 785,000 | | 824,250 |
MGM Mirage, Inc.: | | | | |
5.875% 2/27/14 | | 260,000 | | 206,700 |
6.625% 7/15/15 | | 860,000 | | 670,800 |
6.75% 4/1/13 | | 140,000 | | 122,500 |
6.875% 4/1/16 | | 235,000 | | 182,125 |
7.5% 6/1/16 | | 885,000 | | 699,150 |
7.625% 1/15/17 | | 372,000 | | 290,160 |
9% 3/15/20 (f) | | 285,000 | | 292,125 |
10.375% 5/15/14 | | 100,000 | | 108,750 |
11.125% 11/15/17 | | 190,000 | | 209,475 |
Mohegan Tribal Gaming Authority: | | | | |
6.875% 2/15/15 | | 195,000 | | 138,450 |
11.5% 11/1/17 (f) | | 540,000 | | 553,500 |
Scientific Games Corp. 6.25% 12/15/12 | | 40,000 | | 39,400 |
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (f) | | 100,000 | | 80,000 |
Speedway Motorsports, Inc. 6.75% 6/1/13 | | 95,000 | | 94,763 |
Station Casinos, Inc.: | | | | |
6% 4/1/12 (b) | | 610,000 | | 36,219 |
6.5% 2/1/14 (b) | | 811,000 | | 1,014 |
6.625% 3/15/18 (b) | | 830,000 | | 1,038 |
6.875% 3/1/16 (b) | | 865,000 | | 1,081 |
7.75% 8/15/16 (b) | | 920,000 | | 58,075 |
Town Sports International Holdings, Inc. 11% 2/1/14 | | 23,000 | | 20,930 |
Universal City Development Partners Ltd./UCDP Finance, Inc. 8.875% 11/15/15 (f) | | 1,180,000 | | 1,185,900 |
Corporate Bonds - continued |
| Principal Amount (c) | | Value |
Nonconvertible Bonds - continued |
CONSUMER DISCRETIONARY - continued |
Hotels, Restaurants & Leisure - continued |
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | | | | |
9% 1/15/12 (b) | | $ 30,000 | | $ 13,500 |
12.75% 1/15/13 (b) | | 230,000 | | 288 |
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (f) | | 66,000 | | 35,970 |
| | 7,629,038 |
Household Durables - 0.2% |
Controladora Mabe SA CV 7.875% 10/28/19 (f) | | 150,000 | | 157,500 |
K. Hovnanian Enterprises, Inc. 10.625% 10/15/16 | | 465,000 | | 465,000 |
Reliance Intermediate Holdings LP 9.5% 12/15/19 (f) | | 485,000 | | 504,400 |
Sealy Mattress Co. 10.875% 4/15/16 (f) | | 100,000 | | 111,000 |
| | 1,237,900 |
Leisure Equipment & Products - 0.0% |
Easton-Bell Sports, Inc. 9.75% 12/1/16 (f) | | 120,000 | | 124,500 |
Media - 2.6% |
AMC Entertainment, Inc. 11% 2/1/16 | | 550,000 | | 574,750 |
Cablemas SA de CV 9.375% 11/15/15 (Reg. S) | | 445,000 | | 471,700 |
CanWest Media, Inc. 8% 9/15/12 (b) | | 20,666 | | 20,692 |
Cequel Communications Holdings I LLC/Cequel Capital Corp. 8.625% 11/15/17 (f) | | 525,000 | | 523,031 |
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 13.5% 11/30/16 | | 1,205,112 | | 1,408,475 |
Clear Channel Communications, Inc.: | | | | |
4.9% 5/15/15 | | 165,000 | | 85,800 |
5.5% 9/15/14 | | 123,000 | | 67,650 |
5.5% 12/15/16 | | 115,000 | | 55,200 |
5.75% 1/15/13 | | 195,000 | | 149,175 |
6.25% 3/15/11 | | 10,000 | | 9,625 |
6.875% 6/15/18 | | 80,000 | | 38,800 |
10.75% 8/1/16 | | 2,105,000 | | 1,473,500 |
11.75% 8/1/16 pay-in-kind (h) | | 307,037 | | 193,753 |
Clear Channel Worldwide Holdings, Inc.: | | | | |
Series A 9.25% 12/15/17 (f) | | 120,000 | | 119,400 |
Series B 9.25% 12/15/17 (f) | | 475,000 | | 477,375 |
EchoStar Communications Corp.: | | | | |
6.625% 10/1/14 | | 790,000 | | 790,000 |
|
| Principal Amount (c) | | Value |
7% 10/1/13 | | $ 340,000 | | $ 350,200 |
7.125% 2/1/16 | | 2,725,000 | | 2,738,625 |
7.75% 5/31/15 | | 1,100,000 | | 1,130,250 |
Gray Television, Inc. 10.5% 6/29/15 (f) | | 160,000 | | 154,400 |
Interpublic Group of Companies, Inc. 10% 7/15/17 | | 170,000 | | 187,425 |
Liberty Media Corp.: | | | | |
8.25% 2/1/30 | | 1,295,000 | | 1,191,400 |
8.5% 7/15/29 | | 230,000 | | 211,600 |
MDC Partners, Inc. 11% 11/1/16 (f) | | 65,000 | | 69,225 |
MediMedia USA, Inc. 11.375% 11/15/14 (f) | | 50,000 | | 42,500 |
Net Servicos de Comunicacao SA 7.5% 1/27/20 (f) | | 485,000 | | 505,613 |
Nielsen Finance LLC/Nielsen Finance Co.: | | | | |
10% 8/1/14 | | 615,000 | | 631,913 |
11.5% 5/1/16 | | 315,000 | | 344,925 |
11.625% 2/1/14 | | 160,000 | | 175,200 |
Rainbow National Services LLC: | | | | |
8.75% 9/1/12 (f) | | 110,000 | | 110,000 |
10.375% 9/1/14 (f) | | 365,000 | | 378,688 |
The Reader's Digest Association, Inc. 9.5% 2/15/17 (f)(h) | | 1,040,000 | | 1,037,400 |
TL Acquisitions, Inc. 10.5% 1/15/15 (f) | | 1,785,000 | | 1,664,513 |
Univision Communications, Inc. 12% 7/1/14 (f) | | 490,000 | | 525,525 |
Videotron Ltd. 6.875% 1/15/14 | | 125,000 | | 125,625 |
| | 18,033,953 |
Multiline Retail - 0.2% |
Matahari International Finance Co. BV 10.75% 8/7/12 | | 750,000 | | 784,725 |
The Bon-Ton Department Stores, Inc. 10.25% 3/15/14 | | 450,000 | | 442,125 |
| | 1,226,850 |
Specialty Retail - 0.2% |
Claire's Stores, Inc.: | | | | |
9.25% 6/1/15 | | 185,000 | | 158,638 |
9.625% 6/1/15 pay-in-kind (h) | | 287,886 | | 244,373 |
Michaels Stores, Inc.: | | | | |
0% 11/1/16 (d) | | 30,000 | | 26,625 |
10% 11/1/14 | | 480,000 | | 492,000 |
Sonic Automotive, Inc. 9% 3/15/18 | | 160,000 | | 160,800 |
Staples, Inc. 9.75% 1/15/14 | | 433,000 | | 531,166 |
| | 1,613,602 |
Corporate Bonds - continued |
| Principal Amount (c) | | Value |
Nonconvertible Bonds - continued |
CONSUMER DISCRETIONARY - continued |
Textiles, Apparel & Luxury Goods - 0.1% |
Levi Strauss & Co.: | | | | |
7.625% 5/15/20 (f) | | $ 175,000 | | $ 171,063 |
8.875% 4/1/16 | | 170,000 | | 175,950 |
| | 347,013 |
TOTAL CONSUMER DISCRETIONARY | | 33,391,797 |
CONSUMER STAPLES - 0.3% |
Beverages - 0.1% |
Cerveceria Nacional Dominicana
C por A: | | | | |
8% 3/27/14 (Reg. S) | | 100,000 | | 103,500 |
16% 3/27/12 (f) | | 400,000 | | 368,480 |
| | 471,980 |
Food & Staples Retailing - 0.0% |
Rite Aid Corp.: | | | | |
8.625% 3/1/15 | | 55,000 | | 44,825 |
9.375% 12/15/15 | | 140,000 | | 113,750 |
9.5% 6/15/17 | | 220,000 | | 173,250 |
| | 331,825 |
Food Products - 0.1% |
Hines Nurseries, Inc. 10.25% 10/1/11 (b) | | 120,000 | | 1,200 |
JBS USA LLC/JBS USA Finance, Inc. 11.625% 5/1/14 | | 330,000 | | 367,950 |
Michael Foods Group, Inc. 9.75% 7/15/18 (f) | | 155,000 | | 159,263 |
Smithfield Foods, Inc. 10% 7/15/14 (f) | | 380,000 | | 419,900 |
| | 948,313 |
Household Products - 0.0% |
Cellu Tissue Holdings, Inc. 11.5% 6/1/14 | | 230,000 | | 248,975 |
Personal Products - 0.1% |
Elizabeth Arden, Inc. 7.75% 1/15/14 | | 40,000 | | 39,300 |
Revlon Consumer Products Corp. 9.75% 11/15/15 (f) | | 300,000 | | 306,750 |
| | 346,050 |
TOTAL CONSUMER STAPLES | | 2,347,143 |
ENERGY - 4.4% |
Energy Equipment & Services - 0.1% |
Complete Production Services, Inc. 8% 12/15/16 | | 130,000 | | 126,100 |
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (f) | | 240,000 | | 218,400 |
|
| Principal Amount (c) | | Value |
Hercules Offshore, Inc. 10.5% 10/15/17 (f) | | $ 375,000 | | $ 332,813 |
Pioneer Drilling Co. 9.875% 3/15/18 (f) | | 275,000 | | 266,750 |
| | 944,063 |
Oil, Gas & Consumable Fuels - 4.3% |
Adaro Indonesia PT 7.625% 10/22/19 (f) | | 330,000 | | 334,950 |
Atlas Energy Operating Co. LLC/Financing Corp. 10.75% 2/1/18 | | 245,000 | | 261,231 |
Atlas Pipeline Partners LP 8.125% 12/15/15 | | 840,000 | | 772,800 |
ATP Oil & Gas Corp. 11.875% 5/1/15 (f) | | 2,620,000 | | 1,912,600 |
Berry Petroleum Co.: | | | | |
8.25% 11/1/16 | | 150,000 | | 147,000 |
10.25% 6/1/14 | | 145,000 | | 154,425 |
Chaparral Energy, Inc. 8.5% 12/1/15 | | 275,000 | | 255,750 |
Chesapeake Energy Corp.: | | | | |
6.5% 8/15/17 | | 920,000 | | 910,800 |
6.875% 11/15/20 | | 2,335,000 | | 2,355,431 |
7.25% 12/15/18 | | 515,000 | | 531,738 |
7.625% 7/15/13 | | 655,000 | | 684,475 |
9.5% 2/15/15 | | 360,000 | | 397,800 |
Colorado Interstate Gas Co. 6.8% 11/15/15 | | 260,000 | | 299,723 |
Concho Resources, Inc. 8.625% 10/1/17 | | 155,000 | | 159,263 |
Connacher Oil and Gas Ltd. 10.25% 12/15/15 (f) | | 270,000 | | 261,900 |
CONSOL Energy, Inc.: | | | | |
8% 4/1/17 (f) | | 525,000 | | 543,375 |
8.25% 4/1/20 (f) | | 540,000 | | 564,300 |
Continental Resources, Inc. 8.25% 10/1/19 | | 65,000 | | 67,925 |
Crosstex Energy/Crosstex Energy Finance Corp. 8.875% 2/15/18 | | 390,000 | | 390,000 |
Denbury Resources, Inc.: | | | | |
8.25% 2/15/20 | | 308,000 | | 321,860 |
9.75% 3/1/16 | | 105,000 | | 112,613 |
Drummond Co., Inc.: | | | | |
7.375% 2/15/16 | | 300,000 | | 288,000 |
9% 10/15/14 (f) | | 675,000 | | 685,125 |
DTEK Finance BV 9.5% 4/28/15 (f) | | 230,000 | | 217,350 |
EXCO Resources, Inc. 7.25% 1/15/11 | | 10,000 | | 9,925 |
International Coal Group, Inc. 9.125% 4/1/18 | | 75,000 | | 74,813 |
InterNorth, Inc. 9.625% 3/16/06 (b) | | 100,000 | | 0 |
KazMunaiGaz Finance Sub BV: | | | | |
7% 5/5/20 (f) | | 160,000 | | 160,160 |
8.375% 7/2/13 (f) | | 265,000 | | 284,875 |
Corporate Bonds - continued |
| Principal Amount (c) | | Value |
Nonconvertible Bonds - continued |
ENERGY - continued |
Oil, Gas & Consumable Fuels - continued |
KazMunaiGaz Finance Sub BV: - continued | | | | |
9.125% 7/2/18 (f) | | $ 330,000 | | $ 379,088 |
11.75% 1/23/15 (f) | | 380,000 | | 464,550 |
LINN Energy LLC 8.625% 4/15/20 (f) | | 780,000 | | 798,525 |
Mariner Energy, Inc.: | | | | |
7.5% 4/15/13 | | 185,000 | | 189,625 |
8% 5/15/17 | | 305,000 | | 333,579 |
11.75% 6/30/16 | | 320,000 | | 398,400 |
Naftogaz of Ukraine NJSC 9.5% 9/30/14 | | 380,000 | | 394,250 |
Nakilat, Inc. 6.267% 12/31/33 (Reg. S) | | 320,000 | | 305,600 |
Newfield Exploration Co. 6.875% 2/1/20 | | 1,025,000 | | 991,688 |
OPTI Canada, Inc.: | | | | |
7.875% 12/15/14 | | 555,000 | | 482,850 |
8.25% 12/15/14 | | 95,000 | | 83,125 |
9% 12/15/12 (f) | | 240,000 | | 242,400 |
Pan American Energy LLC 7.875% 5/7/21 (f) | | 310,000 | | 306,900 |
Peabody Energy Corp. 7.875% 11/1/26 | | 300,000 | | 315,000 |
Pemex Project Funding Master Trust 6.625% 6/15/35 | | 170,000 | | 174,855 |
Petrobras International Finance Co. Ltd.: | | | | |
6.875% 1/20/40 | | 145,000 | | 145,000 |
8.375% 12/10/18 | | 50,000 | | 58,750 |
Petrohawk Energy Corp.: | | | | |
7.875% 6/1/15 | | 1,615,000 | | 1,619,038 |
9.125% 7/15/13 | | 600,000 | | 628,500 |
Petroleos de Venezuela SA: | | | | |
5.25% 4/12/17 | | 1,295,000 | | 692,825 |
5.375% 4/12/27 | | 2,945,000 | | 1,310,525 |
Petroleos Mexicanos 6% 3/5/20 (f) | | 245,000 | | 256,025 |
Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22 | | 300,000 | | 285,750 |
Petroleum Development Corp. 12% 2/15/18 | | 265,000 | | 273,613 |
Petroleum Export Ltd. 5.265% 6/15/11 (Reg. S) | | 84,778 | | 84,778 |
Pioneer Natural Resources Co. 7.5% 1/15/20 | | 640,000 | | 659,200 |
Plains Exploration & Production Co. 10% 3/1/16 | | 645,000 | | 683,700 |
Quicksilver Resources, Inc. 11.75% 1/1/16 | | 335,000 | | 370,175 |
Range Resources Corp. 7.375% 7/15/13 | | 100,000 | | 101,000 |
|
| Principal Amount (c) | | Value |
Rosetta Resources, Inc. 9.5% 4/15/18 (f) | | $ 290,000 | | $ 288,550 |
SandRidge Energy, Inc.: | | | | |
8% 6/1/18 (f) | | 190,000 | | 179,550 |
8.625% 4/1/15 pay-in-kind (h) | | 320,000 | | 307,200 |
Southern Star Central Corp. 6.75% 3/1/16 | | 90,000 | | 87,075 |
Southwestern Energy Co. 7.5% 2/1/18 | | 150,000 | | 160,125 |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 11.25% 7/15/17 (f) | | 290,000 | | 314,650 |
Teekay Corp. 8.5% 1/15/20 | | 295,000 | | 296,475 |
Tennessee Gas Pipeline Co.: | | | | |
7% 10/15/28 | | 20,000 | | 21,173 |
7.5% 4/1/17 | | 445,000 | | 508,187 |
7.625% 4/1/37 | | 50,000 | | 55,388 |
8% 2/1/16 | | 75,000 | | 87,188 |
8.375% 6/15/32 | | 40,000 | | 46,881 |
TNK-BP Finance SA 7.5% 3/13/13 (Reg. S) | | 290,000 | | 305,950 |
Venoco, Inc. 11.5% 10/1/17 | | 250,000 | | 255,000 |
W&T Offshore, Inc. 8.25% 6/15/14 (f) | | 310,000 | | 279,000 |
YPF SA 10% 11/2/28 | | 570,000 | | 597,075 |
| | 29,978,988 |
TOTAL ENERGY | | 30,923,051 |
FINANCIALS - 5.9% |
Capital Markets - 0.2% |
Equinox Holdings, Inc. 9.5% 2/1/16 (f) | | 460,000 | | 454,825 |
HSBC Bank PLC 5.75% 6/27/17 (e) | GBP | 100,000 | | 155,380 |
Penson Worldwide, Inc. 12.5% 5/15/17 (f) | | 290,000 | | 289,275 |
UBS AG Jersey Branch 4.125% 9/25/18 (h) | EUR | 150,000 | | 182,233 |
VTB Capital SA 4.25% 2/15/16 | EUR | 100,000 | | 122,876 |
| | 1,204,589 |
Commercial Banks - 1.0% |
African Export-Import Bank 8.75% 11/13/14 | | 320,000 | | 339,200 |
CIT Group, Inc.: | | | | |
7% 5/1/13 | | 123,142 | | 118,216 |
7% 5/1/14 | | 184,712 | | 172,706 |
7% 5/1/15 | | 184,712 | | 169,473 |
7% 5/1/16 | | 307,853 | | 279,377 |
7% 5/1/17 | | 430,992 | | 388,970 |
Development Bank of Philippines 8.375% (h) | | 400,000 | | 424,000 |
EXIM of Ukraine 7.65% 9/7/11 (Issued by Credit Suisse International for EXIM of Ukraine) | | 1,950,000 | | 1,920,750 |
Corporate Bonds - continued |
| Principal Amount (c) | | Value |
Nonconvertible Bonds - continued |
FINANCIALS - continued |
Commercial Banks - continued |
Export-Import Bank of India 0.7438% 6/7/12 (h) | JPY | 10,000,000 | | $ 109,939 |
HSBK (Europe) B.V. 9.25% 10/16/13 (f) | | 680,000 | | 710,600 |
Intesa Sanpaolo SpA 3.75% 11/23/16 | EUR | 150,000 | | 183,080 |
Kazkommerts International BV 8.5% 4/16/13 (f) | | 385,000 | | 361,900 |
KBC IFIMA NV 0.918% 12/14/15 (h) | EUR | 200,000 | | 222,125 |
Kiev Ukraine 8.625% 7/15/11 (Issued by UniCredit Bank AG for Kiev Ukraine) | | 230,000 | | 228,850 |
Rabobank Nederland 4.125% 1/14/20 | EUR | 500,000 | | 636,467 |
RSHB Capital SA 9% 6/11/14 (f) | | 115,000 | | 129,088 |
Santander Finance Preferred SA Unipersonal 7.3% 7/29/19 (h) | GBP | 200,000 | | 304,202 |
US Bank NA 4.375% 2/28/17 (h) | EUR | 100,000 | | 121,178 |
Wells Fargo & Co. 7.98% (h) | | 135,000 | | 137,700 |
| | 6,957,821 |
Consumer Finance - 1.6% |
ACE Cash Express, Inc. 10.25% 10/1/14 (f) | | 80,000 | | 65,200 |
Ford Motor Credit Co. LLC: | | | | |
7% 10/1/13 | | 340,000 | | 346,734 |
7.25% 10/25/11 | | 790,000 | | 811,607 |
7.375% 2/1/11 | | 45,000 | | 45,843 |
7.5% 8/1/12 | | 645,000 | | 659,513 |
8% 6/1/14 | | 335,000 | | 344,213 |
12% 5/15/15 | | 1,620,000 | | 1,867,050 |
General Motors Acceptance Corp.: | | | | |
6.75% 12/1/14 | | 915,000 | | 878,400 |
8% 11/1/31 | | 490,000 | | 450,705 |
GMAC LLC: | | | | |
6% 4/1/11 | | 91,000 | | 90,773 |
6.75% 12/1/14 | | 280,000 | | 271,600 |
8% 11/1/31 | | 5,898,000 | | 5,455,650 |
| | 11,287,288 |
Diversified Financial Services - 2.5% |
Azovstal Capital BV 9.125% 2/28/11 | | 100,000 | | 98,750 |
Bank of America Corp.: | | | | |
4% 3/28/18 (h) | EUR | 250,000 | | 276,637 |
8% (h) | | 350,000 | | 338,625 |
8.125% (h) | | 480,000 | | 466,800 |
Bank of Georgia JSC 9% 2/8/12 (Issued by BG Finance BV for Bank of Georgia JSC) | | 120,000 | | 120,000 |
|
| Principal Amount (c) | | Value |
CCO Holdings LLC/CCO Holdings Capital Corp.: | | | | |
7.875% 4/30/18 (f) | | $ 235,000 | | $ 235,588 |
8.125% 4/30/20 (f) | | 565,000 | | 572,063 |
City of Buenos Aires 12.5% 4/6/15 (f) | | 675,000 | | 681,750 |
Dignity Finance PLC: | | | | |
6.31% 12/31/23 (Reg. S) | GBP | 15,991 | | 27,062 |
8.151% 12/31/30 | GBP | 30,000 | | 55,026 |
FireKeepers Development Authority 13.875% 5/1/15 (f) | | 100,000 | | 115,500 |
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | | 199,000 | | 199,259 |
GMAC, Inc. 8% 3/15/20 (f) | | 2,795,000 | | 2,760,063 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | | | | |
7.75% 1/15/16 (f) | | 1,355,000 | | 1,314,350 |
8% 1/15/18 (f) | | 1,355,000 | | 1,314,350 |
Imperial Tobacco Finance 8.375% 2/17/16 | EUR | 150,000 | | 226,384 |
Ineos Finance PLC 9% 5/15/15 (f) | | 215,000 | | 214,194 |
International Lease Finance Corp.: | | | | |
5.625% 9/20/13 | | 547,000 | | 493,668 |
5.65% 6/1/14 | | 678,000 | | 601,725 |
6.375% 3/25/13 | | 344,000 | | 322,500 |
6.625% 11/15/13 | | 1,381,000 | | 1,270,520 |
JPMorgan Chase & Co. 6.125% 4/1/14 | EUR | 150,000 | | 204,271 |
LBI Escrow Corp. 8% 11/1/17 (f) | | 580,000 | | 595,950 |
Merck Financial Services GmbH 4.5% 3/24/20 | EUR | 450,000 | | 582,902 |
NCO Group, Inc. 11.875% 11/15/14 | | 120,000 | | 114,600 |
Pontis Ltd. 6.25% 7/20/10 (f) | | 900,000 | | 886,500 |
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (f) | | 145,000 | | 146,088 |
Red Arrow International Leasing PLC 8.375% 6/30/12 | RUB | 4,440,706 | | 142,369 |
TMK Capital SA 10% 7/29/11 | | 500,000 | | 516,750 |
Trans Union LLC/Trans Union Financing Corp. 11.375% 6/15/18 (f) | | 350,000 | | 365,295 |
TransCapitalInvest Ltd. 5.381% 6/27/12 (Reg. S) | EUR | 50,000 | | 63,097 |
UPC Germany GmbH 8.125% 12/1/17 (f) | | 560,000 | | 548,800 |
WaMu Covered Bond Program: | | | | |
3.875% 9/27/11 | EUR | 50,000 | | 62,352 |
4.375% 5/19/14 | EUR | 200,000 | | 256,833 |
Wind Acquisition Holdings Finance SA 12.25% 7/15/17
pay-in-kind (f)(h) | | 1,000,000 | | 907,625 |
| | 17,098,246 |
Corporate Bonds - continued |
| Principal Amount (c) | | Value |
Nonconvertible Bonds - continued |
FINANCIALS - continued |
Insurance - 0.3% |
American International Group, Inc.: | | | | |
4.25% 5/15/13 | | $ 130,000 | | $ 125,450 |
5.05% 10/1/15 | | 225,000 | | 206,719 |
5.45% 5/18/17 | | 680,000 | | 603,500 |
5.6% 10/18/16 | | 370,000 | | 337,810 |
5.85% 1/16/18 | | 120,000 | | 107,250 |
8.25% 8/15/18 | | 400,000 | | 405,000 |
AXA SA 5.25% 4/16/40 (h) | EUR | 300,000 | | 341,220 |
| | 2,126,949 |
Real Estate Investment Trusts - 0.1% |
Omega Healthcare Investors, Inc. 7.5% 2/15/20 (f) | | 385,000 | | 378,263 |
Senior Housing Properties Trust 8.625% 1/15/12 | | 280,000 | | 289,800 |
| | 668,063 |
Real Estate Management & Development - 0.2% |
CB Richard Ellis Services, Inc. 11.625% 6/15/17 | | 425,000 | | 478,125 |
Realogy Corp.: | | | | |
10.5% 4/15/14 | | 930,000 | | 790,500 |
11.75% 4/15/14 pay-in-kind (h) | | 230,662 | | 189,112 |
Toys 'R' Us Property Co. II LLC 8.5% 12/1/17 (f) | | 65,000 | | 66,788 |
Ventas Realty LP 6.5% 6/1/16 | | 65,000 | | 65,163 |
| | 1,589,688 |
Thrifts & Mortgage Finance - 0.0% |
Nationwide Building Society 3.375% 8/17/15 (h) | EUR | 200,000 | | 230,138 |
TOTAL FINANCIALS | | 41,162,782 |
HEALTH CARE - 1.3% |
Health Care Equipment & Supplies - 0.0% |
Invacare Corp. 9.75% 2/15/15 | | 90,000 | | 96,750 |
Health Care Providers & Services - 1.1% |
Apria Healthcare Group, Inc. 11.25% 11/1/14 (f) | | 505,000 | | 536,563 |
Capella Healthcare, Inc. 9.25% 7/1/17 (f) | | 280,000 | | 282,800 |
Cardinal Health 409, Inc. 9.5% 4/15/15 pay-in-kind (h) | | 512,393 | | 484,211 |
CRC Health Group, Inc. 10.75% 2/1/16 | | 90,000 | | 82,800 |
DASA Finance Corp. 8.75% 5/29/18 (f) | | 150,000 | | 162,375 |
Fresenius Medical Care Capital Trust IV 7.875% 6/15/11 | | 125,000 | | 128,750 |
HCA, Inc.: | | | | |
5.75% 3/15/14 | | 220,000 | | 204,600 |
|
| Principal Amount (c) | | Value |
6.25% 2/15/13 | | $ 110,000 | | $ 108,075 |
6.375% 1/15/15 | | 75,000 | | 70,028 |
6.5% 2/15/16 | | 275,000 | | 256,438 |
6.75% 7/15/13 | | 110,000 | | 107,800 |
7.25% 9/15/20 | | 1,935,000 | | 1,925,325 |
9.125% 11/15/14 | | 580,000 | | 604,650 |
9.25% 11/15/16 | | 1,215,000 | | 1,281,825 |
HealthSouth Corp. 8.125% 2/15/20 | | 575,000 | | 565,628 |
IASIS Healthcare LLC/IASIS Capital Corp. 8.75% 6/15/14 | | 90,000 | | 90,000 |
Quintiles Transnational Holdings, Inc. 9.5% 12/30/14 (f) | | 390,000 | | 390,000 |
Rhoen-Klinikum AG 3.875% 3/11/16 | EUR | 100,000 | | 125,704 |
Skilled Healthcare Group, Inc. 11% 1/15/14 | | 78,000 | | 80,340 |
Sun Healthcare Group, Inc. 9.125% 4/15/15 | | 30,000 | | 31,200 |
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13 | | 146,000 | | 153,300 |
United Surgical Partners International, Inc. 8.875% 5/1/17 | | 55,000 | | 54,450 |
| | 7,726,862 |
Life Sciences Tools & Services - 0.0% |
Bio-Rad Laboratories, Inc. 7.5% 8/15/13 | | 70,000 | | 70,788 |
Pharmaceuticals - 0.2% |
Elan Finance PLC/Elan Finance Corp. 8.75% 10/15/16 (f) | | 435,000 | | 424,125 |
Leiner Health Products, Inc. 11% 6/1/12 (b) | | 90,000 | | 6,750 |
Mylan, Inc.: | | | | |
7.625% 7/15/17 (f) | | 315,000 | | 323,663 |
7.875% 7/15/20 (f) | | 570,000 | | 584,250 |
Roche Holdings, Inc. 6.5% 3/4/21 | EUR | 100,000 | | 154,183 |
| | 1,492,971 |
TOTAL HEALTH CARE | | 9,387,371 |
INDUSTRIALS - 2.9% |
Aerospace & Defense - 0.1% |
Alion Science & Technology Corp.: | | | | |
10.25% 2/1/15 | | 50,000 | | 38,500 |
12% 11/1/14 pay-in-kind (f) | | 115,249 | | 114,858 |
DigitalGlobe, Inc. 10.5% 5/1/14 | | 185,000 | | 198,875 |
GeoEye, Inc. 9.625% 10/1/15 (f) | | 75,000 | | 76,875 |
Hexcel Corp. 6.75% 2/1/15 | | 100,000 | | 98,000 |
| | 527,108 |
Airlines - 0.8% |
American Airlines, Inc. equipment trust certificate 13% 8/1/16 | | 331,361 | | 364,497 |
Corporate Bonds - continued |
| Principal Amount (c) | | Value |
Nonconvertible Bonds - continued |
INDUSTRIALS - continued |
Airlines - continued |
American Airlines, Inc. pass-thru trust certificates 10.375% 7/2/19 | | $ 402,210 | | $ 448,464 |
Continental Airlines, Inc.: | | | | |
pass-thru trust certificates 6.903% 4/19/22 | | 49,565 | | 46,095 |
3.6613% 6/2/13 (h) | | 2,532,916 | | 2,165,643 |
Continental Airlines, Inc. 7.25% 11/10/19 | | 390,000 | | 415,350 |
Delta Air Lines, Inc.: | | | | |
7.9% 12/15/09 (a) | | 750,000 | | 7,500 |
9.5% 9/15/14 (f) | | 115,000 | | 121,325 |
10% 8/15/08 (a) | | 70,000 | | 700 |
Delta Air Lines, Inc. pass-thru trust certificates: | | | | |
6.821% 8/10/22 | | 551,967 | | 560,936 |
8.021% 8/10/22 | | 283,545 | | 272,203 |
Northwest Airlines Corp. 10% 2/1/09 (a) | | 105,000 | | 0 |
Northwest Airlines, Inc.: | | | | |
7.875% 3/15/08 (a) | | 90,000 | | 450 |
8.875% 6/1/06 (a) | | 80,000 | | 0 |
Northwest Airlines, Inc. pass-thru trust certificates: | | | | |
7.027% 11/1/19 | | 127,179 | | 122,410 |
8.028% 11/1/17 | | 54,723 | | 48,156 |
United Air Lines, Inc.: | | | | |
9.875% 8/1/13 (f) | | 170,000 | | 175,780 |
12% 11/1/13 (f) | | 270,000 | | 282,825 |
United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17 | | 665,000 | | 706,563 |
| | 5,738,897 |
Building Products - 0.1% |
Nortek, Inc. 11% 12/1/13 | | 753,333 | | 785,350 |
Commercial Services & Supplies - 0.5% |
ACCO Brands Corp. 10.625% 3/15/15 | | 45,000 | | 48,150 |
ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13 | | 10,000 | | 10,000 |
Browning-Ferris Industries, Inc. 9.25% 5/1/21 | | 100,000 | | 123,947 |
Casella Waste Systems, Inc. 11% 7/15/14 (f) | | 105,000 | | 113,400 |
Cenveo Corp. 10.5% 8/15/16 (f) | | 175,000 | | 178,063 |
Garda World Security Corp. 9.75% 3/15/17 (f) | | 185,000 | | 186,850 |
International Lease Finance Corp.: | | | | |
4.75% 1/13/12 | | 190,000 | | 179,788 |
5% 9/15/12 | | 205,000 | | 189,369 |
8.625% 9/15/15 (f) | | 655,000 | | 618,975 |
8.75% 3/15/17 (f) | | 980,000 | | 921,200 |
|
| Principal Amount (c) | | Value |
Iron Mountain, Inc.: | | | | |
6.625% 1/1/16 | | $ 480,000 | | $ 471,600 |
7.75% 1/15/15 | | 180,000 | | 181,350 |
The Geo Group, Inc. 7.75% 10/15/17 (f) | | 220,000 | | 223,300 |
| | 3,445,992 |
Construction & Engineering - 0.1% |
Blount, Inc. 8.875% 8/1/12 | | 50,000 | | 50,125 |
Odebrecht Finance Ltd. 7% 4/21/20 (f) | | 105,000 | | 106,575 |
Odebrecht Overseas Ltd. 9.625% | | 200,000 | | 200,000 |
| | 356,700 |
Electrical Equipment - 0.0% |
General Cable Corp. 7.125% 4/1/17 | | 40,000 | | 39,600 |
Sensus Metering Systems, Inc. 8.625% 12/15/13 | | 60,000 | | 58,800 |
| | 98,400 |
Industrial Conglomerates - 0.2% |
Hutchison Whampoa Finance 06 Ltd. 4.625% 9/21/16 | EUR | 150,000 | | 190,671 |
Sequa Corp.: | | | | |
11.75% 12/1/15 (f) | | 705,000 | | 694,425 |
13.5% 12/1/15 pay-in-kind (f) | | 280,685 | | 284,895 |
| | 1,169,991 |
Machinery - 0.2% |
ArvinMeritor, Inc. 10.625% 3/15/18 | | 170,000 | | 178,925 |
Chart Industries, Inc. 9.125% 10/15/15 | | 60,000 | | 60,000 |
Navistar International Corp. 8.25% 11/1/21 | | 710,000 | | 718,875 |
Terex Corp. 10.875% 6/1/16 | | 330,000 | | 354,750 |
| | 1,312,550 |
Marine - 0.1% |
Navios Maritime Holdings, Inc.: | | | | |
8.875% 11/1/17 (f) | | 195,000 | | 195,975 |
9.5% 12/15/14 | | 785,000 | | 753,600 |
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | | 95,000 | | 91,200 |
| | 1,040,775 |
Road & Rail - 0.6% |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 9.625% 3/15/18 (f) | | 200,000 | | 202,000 |
Kansas City Southern de Mexico, SA de CV: | | | | |
7.375% 6/1/14 | | 100,000 | | 102,000 |
7.625% 12/1/13 | | 100,000 | | 102,250 |
8% 2/1/18 (f) | | 2,500,000 | | 2,568,750 |
12.5% 4/1/16 | | 605,000 | | 722,975 |
Swift Transportation Co., Inc. 12.5% 5/15/17 (f) | | 90,000 | | 85,950 |
Corporate Bonds - continued |
| Principal Amount (c) | | Value |
Nonconvertible Bonds - continued |
INDUSTRIALS - continued |
Road & Rail - continued |
TFM SA de CV 9.375% 5/1/12 | | $ 99,000 | | $ 101,228 |
Western Express, Inc. 12.5% 4/15/15 (f) | | 245,000 | | 224,788 |
| | 4,109,941 |
Trading Companies & Distributors - 0.1% |
Penhall International Corp. 12% 8/1/14 (f) | | 80,000 | | 56,000 |
VWR Funding, Inc. 10.25% 7/15/15 pay-in-kind (h) | | 647,482 | | 653,957 |
| | 709,957 |
Transportation Infrastructure - 0.1% |
Trico Shipping AS 11.875% 11/1/14 (f) | | 720,000 | | 696,600 |
TOTAL INDUSTRIALS | | 19,992,261 |
INFORMATION TECHNOLOGY - 1.5% |
Communications Equipment - 0.4% |
Avaya, Inc.: | | | | |
9.75% 11/1/15 | | 645,000 | | 603,075 |
10.125% 11/1/15 pay-in-kind (h) | | 369,031 | | 345,044 |
Brocade Communications Systems, Inc.: | | | | |
6.625% 1/15/18 (f) | | 90,000 | | 89,325 |
6.875% 1/15/20 (f) | | 90,000 | | 89,433 |
Hughes Network System LLC/HNS Finance Corp. 9.5% 4/15/14 | | 320,000 | | 324,000 |
Lucent Technologies, Inc.: | | | | |
6.45% 3/15/29 | | 1,620,000 | | 1,069,200 |
6.5% 1/15/28 | | 400,000 | | 264,000 |
ViaSat, Inc. 8.875% 9/15/16 | | 105,000 | | 106,838 |
| | 2,890,915 |
Computers & Peripherals - 0.0% |
Seagate Technology International 10% 5/1/14 (f) | | 95,000 | | 108,300 |
Electronic Equipment & Components - 0.3% |
Reddy Ice Corp.: | | | | |
11.25% 3/15/15 (f) | | 1,875,000 | | 1,931,250 |
13.25% 11/1/15 (f) | | 130,000 | | 125,450 |
| | 2,056,700 |
Internet Software & Services - 0.1% |
Equinix, Inc. 8.125% 3/1/18 | | 665,000 | | 674,975 |
IT Services - 0.2% |
Ceridian Corp.: | | | | |
11.25% 11/15/15 | | 275,000 | | 247,500 |
|
| Principal Amount (c) | | Value |
12.25% 11/15/15 pay-in-kind (h) | | $ 58,575 | | $ 53,010 |
SunGard Data Systems, Inc. 9.125% 8/15/13 | | 260,000 | | 265,200 |
Unisys Corp.: | | | | |
12.5% 1/15/16 | | 210,000 | | 226,800 |
12.75% 10/15/14 (f) | | 32,000 | | 35,760 |
14.25% 9/15/15 (f) | | 26,000 | | 29,900 |
| | 858,170 |
Semiconductors & Semiconductor Equipment - 0.5% |
Advanced Micro Devices, Inc. 8.125% 12/15/17 (f) | | 270,000 | | 267,975 |
Amkor Technology, Inc. 7.375% 5/1/18 (f) | | 280,000 | | 273,000 |
Avago Technologies Finance Ltd. 11.875% 12/1/15 | | 505,000 | | 551,081 |
Freescale Semiconductor, Inc.: | | | | |
9.125% 12/15/14 pay-in-kind (h) | | 261,866 | | 234,370 |
9.25% 4/15/18 (f) | | 225,000 | | 220,500 |
10.125% 3/15/18 (f) | | 765,000 | | 787,950 |
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. 10.5% 4/15/18 (f) | | 190,000 | | 193,325 |
New ASAT Finance Ltd. 9.25% 2/1/11 (b) | | 105,000 | | 131 |
NXP BV 3.0528% 10/15/13 (h) | | 535,000 | | 457,425 |
Spansion LLC 11.25% 1/15/16 (b)(f) | | 255,000 | | 261,947 |
Viasystems, Inc. 12% 1/15/15 (f) | | 310,000 | | 334,800 |
| | 3,582,504 |
Software - 0.0% |
Open Solutions, Inc. 9.75% 2/1/15 (f) | | 50,000 | | 37,500 |
TOTAL INFORMATION TECHNOLOGY | | 10,209,064 |
MATERIALS - 3.0% |
Chemicals - 0.6% |
Ashland, Inc. 9.125% 6/1/17 | | 160,000 | | 174,800 |
Braskem Finance Ltd. 7% 5/7/20 (f) | | 130,000 | | 131,300 |
Chemtura Corp. 6.875% 6/1/16 (b) | | 85,000 | | 95,625 |
Georgia Gulf Corp. 9% 1/15/17 (f) | | 860,000 | | 885,800 |
MacDermid, Inc. 9.5% 4/15/17 (f) | | 40,000 | | 40,100 |
Momentive Performance Materials, Inc.: | | | | |
9.75% 12/1/14 | | 685,000 | | 647,325 |
10.125% 12/1/14 pay-in-kind (h) | | 1,118,130 | | 1,090,177 |
11.5% 12/1/16 | | 670,000 | | 603,000 |
NOVA Chemicals Corp.: | | | | |
3.7476% 11/15/13 (h) | | 105,000 | | 96,600 |
Corporate Bonds - continued |
| Principal Amount (c) | | Value |
Nonconvertible Bonds - continued |
MATERIALS - continued |
Chemicals - continued |
NOVA Chemicals Corp.: - continued | | | | |
6.5% 1/15/12 | | $ 375,000 | | $ 376,875 |
Solutia, Inc.: | | | | |
7.875% 3/15/20 | | 175,000 | | 175,000 |
8.75% 11/1/17 | | 85,000 | | 87,763 |
Sterling Chemicals, Inc. 10.25% 4/1/15 | | 90,000 | | 88,200 |
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 (b) | | 95,000 | | 92,625 |
| | 4,585,190 |
Construction Materials - 0.0% |
Headwaters, Inc. 11.375% 11/1/14 | | 80,000 | | 80,400 |
SOV Housing Capital PLC 5.705% 9/10/39 | GBP | 100,000 | | 158,880 |
| | 239,280 |
Containers & Packaging - 0.6% |
AEP Industries, Inc. 7.875% 3/15/13 | | 40,000 | | 39,400 |
Berry Plastics Holding Corp.: | | | | |
4.4121% 9/15/14 (h) | | 45,000 | | 38,700 |
8.875% 9/15/14 | | 720,000 | | 696,600 |
10.25% 3/1/16 | | 820,000 | | 713,400 |
BWAY Holding Co. 10% 6/15/18 (f) | | 205,000 | | 213,713 |
Crown Cork & Seal, Inc.: | | | | |
7.375% 12/15/26 | | 1,210,000 | | 1,101,100 |
7.5% 12/15/96 | | 160,000 | | 119,600 |
Jefferson Smurfit Corp. U.S. 8.25% 10/1/12 (b) | | 85,000 | | 0 |
Smurfit-Stone Container Enterprises, Inc. 8% 3/15/17 (b) | | 430,000 | | 0 |
Vitro SAB de CV: | | | | |
8.625% 2/1/12 (b) | | 2,155,000 | | 991,300 |
9.125% 2/1/17 (b) | | 120,000 | | 55,200 |
| | 3,969,013 |
Metals & Mining - 1.7% |
Aleris International, Inc.: | | | | |
6% 6/1/20 (f) | | 1,759 | | 8,290 |
9.75% 12/15/14 pay-in-kind (b)(h) | | 150,000 | | 1,121 |
CSN Islands XI Corp. 6.875% 9/21/19 (f) | | 465,000 | | 472,905 |
Edgen Murray Corp. 12.25% 1/15/15 (f) | | 675,000 | | 570,375 |
Evraz Group SA 8.875% 4/24/13 (f) | | 710,000 | | 724,200 |
|
| Principal Amount (c) | | Value |
FMG Finance Property Ltd.: | | | | |
10% 9/1/13 (f) | | $ 295,000 | | $ 311,225 |
10.625% 9/1/16 (f) | | 2,707,000 | | 2,991,235 |
Freeport-McMoRan Copper & Gold, Inc.: | | | | |
8.25% 4/1/15 | | 510,000 | | 552,687 |
8.375% 4/1/17 | | 2,570,000 | | 2,827,000 |
International Steel Group, Inc. 6.5% 4/15/14 | | 445,000 | | 476,363 |
Metinvest BV 10.25% 5/20/15 (f) | | 260,000 | | 253,188 |
Novelis, Inc. 11.5% 2/15/15 | | 80,000 | | 85,600 |
RathGibson, Inc. 11.25% 2/15/14 (b) | | 305,000 | | 4,613 |
Severstal Columbus LLC 10.25% 2/15/18 (f) | | 555,000 | | 560,550 |
Southern Copper Corp. 6.75% 4/16/40 | | 260,000 | | 258,700 |
Teck Resources Ltd.: | | | | |
9.75% 5/15/14 | | 405,000 | | 478,793 |
10.25% 5/15/16 | | 515,000 | | 607,700 |
10.75% 5/15/19 | | 600,000 | | 735,180 |
| | 11,919,725 |
Paper & Forest Products - 0.1% |
Glatfelter 7.125% 5/1/16 | | 40,000 | | 38,800 |
NewPage Corp.: | | | | |
6.5944% 5/1/12 (h) | | 90,000 | | 59,400 |
11.375% 12/31/14 | | 345,000 | | 312,225 |
Solo Cup Co. 8.5% 2/15/14 | | 135,000 | | 121,163 |
Stone Container Corp. 8.375% 7/1/12 (b) | | 220,000 | | 0 |
| | 531,588 |
TOTAL MATERIALS | | 21,244,796 |
TELECOMMUNICATION SERVICES - 7.2% |
Diversified Telecommunication Services - 4.8% |
Alestra SA de RL de CV 11.75% 8/11/14 | | 350,000 | | 372,750 |
Citizens Communications Co.: | | | | |
7.875% 1/15/27 | | 280,000 | | 249,200 |
9% 8/15/31 | | 220,000 | | 204,050 |
Clearwire Communications LLC/Clearwire Finance, Inc. 12% 12/1/15 (f) | | 2,265,000 | | 2,259,338 |
Frontier Communications Corp.: | | | | |
8.25% 4/15/17 (f) | | 525,000 | | 528,938 |
8.5% 4/15/20 (f) | | 540,000 | | 542,700 |
Global Crossing Ltd. 12% 9/15/15 (f) | | 1,320,000 | | 1,399,200 |
Intelsat Bermuda Ltd.: | | | | |
11.25% 2/4/17 | | 3,375,000 | | 3,408,750 |
12.5% 2/4/17 pay-in-kind (h) | | 4,006,149 | | 3,816,970 |
Intelsat Corp.: | | | | |
9.25% 8/15/14 | | 315,000 | | 322,875 |
Corporate Bonds - continued |
| Principal Amount (c) | | Value |
Nonconvertible Bonds - continued |
TELECOMMUNICATION SERVICES - continued |
Diversified Telecommunication Services - continued |
Intelsat Corp.: - continued | | | | |
9.25% 6/15/16 | | $ 560,000 | | $ 588,000 |
Intelsat Ltd. 11.25% 6/15/16 | | 1,680,000 | | 1,793,400 |
Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (f) | | 285,000 | | 293,550 |
Qwest Communications International, Inc.: | | | | |
7.125% 4/1/18 (f) | | 530,000 | | 527,350 |
7.5% 2/15/14 | | 480,000 | | 481,200 |
7.5% 2/15/14 | | 110,000 | | 110,275 |
Qwest Corp. 8.375% 5/1/16 | | 550,000 | | 603,625 |
Sprint Capital Corp.: | | | | |
6.875% 11/15/28 | | 4,957,000 | | 4,114,310 |
6.9% 5/1/19 | | 375,000 | | 339,375 |
8.75% 3/15/32 | | 7,465,000 | | 7,129,075 |
U.S. West Communications: | | | | |
6.875% 9/15/33 | | 200,000 | | 183,500 |
7.25% 9/15/25 | | 35,000 | | 33,688 |
7.25% 10/15/35 | | 70,000 | | 64,225 |
7.5% 6/15/23 | | 30,000 | | 28,725 |
Wind Acquisition Finance SA: | | | | |
11.75% 7/15/17 (f) | | 3,340,000 | | 3,423,500 |
12% 12/1/15 (f) | | 1,135,000 | | 1,169,050 |
| | 33,987,619 |
Wireless Telecommunication Services - 2.4% |
Clearwire Escrow Corp. 12% 12/1/15 (f) | | 335,000 | | 334,163 |
Digicel Group Ltd.: | | | | |
8.875% 1/15/15 (f) | | 1,875,000 | | 1,809,375 |
9.125% 1/15/15 pay-in-kind (f)(h) | | 300,000 | | 291,000 |
10.5% 4/15/18 (f) | | 1,650,000 | | 1,691,250 |
12% 4/1/14 (f) | | 1,145,000 | | 1,276,675 |
Intelsat Jackson Holdings Ltd.: | | | | |
8.5% 11/1/19 (f) | | 325,000 | | 328,250 |
9.5% 6/15/16 | | 1,215,000 | | 1,272,713 |
11.5% 6/15/16 | | 560,000 | | 595,000 |
Intelsat Subsidiary Holding Co. Ltd.: | | | | |
8.5% 1/15/13 | | 1,430,000 | | 1,440,725 |
8.875% 1/15/15 | | 760,000 | | 772,350 |
Millicom International Cellular SA 10% 12/1/13 | | 1,380,000 | | 1,421,400 |
Mobile Telesystems Finance SA 8% 1/28/12 (f) | | 192,000 | | 199,920 |
MTS International Funding Ltd. 8.625% 6/22/20 (f) | | 210,000 | | 216,951 |
Nextel Communications, Inc.: | | | | |
5.95% 3/15/14 | | 460,000 | | 426,650 |
7.375% 8/1/15 | | 335,000 | | 318,250 |
|
| Principal Amount (c) | | Value |
NII Capital Corp. 10% 8/15/16 | | $ 1,275,000 | | $ 1,341,938 |
Orascom Telecom Finance SCA 7.875% 2/8/14 (f) | | 800,000 | | 724,000 |
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (f) | | 850,000 | | 794,750 |
Sprint Nextel Corp. 6% 12/1/16 | | 420,000 | | 376,950 |
Telecom Personal SA 9.25% 12/22/10 (f) | | 440,000 | | 448,800 |
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (f) | | 455,000 | | 480,025 |
| | 16,561,135 |
TOTAL TELECOMMUNICATION SERVICES | | 50,548,754 |
UTILITIES - 1.4% |
Electric Utilities - 0.4% |
Empresa Distribuidora y Comercializadora Norte SA 10.5% 10/9/17 | | 130,000 | | 132,600 |
Intergen NV 9% 6/30/17 (f) | | 1,255,000 | | 1,248,725 |
Majapahit Holding BV: | | | | |
7.75% 10/17/16 (Reg. S) | | 425,000 | | 468,563 |
7.75% 1/20/20 (f) | | 265,000 | | 290,175 |
8% 8/7/19 (f) | | 165,000 | | 182,325 |
National Power Corp. 6.875% 11/2/16 (f) | | 200,000 | | 220,000 |
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. 11.25% 11/1/16 pay-in-kind (h) | | 129,626 | | 81,786 |
| | 2,624,174 |
Gas Utilities - 0.2% |
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | | 225,000 | | 225,000 |
Southern Natural Gas Co.: | | | | |
7.35% 2/15/31 | | 175,000 | | 185,609 |
8% 3/1/32 | | 350,000 | | 397,283 |
Transportadora de Gas del Sur SA 7.875% 5/14/17 (f) | | 510,000 | | 487,050 |
| | 1,294,942 |
Independent Power Producers & Energy Traders - 0.6% |
Energy Future Holdings Corp.: | | | | |
10% 1/15/20 (f) | | 270,000 | | 268,650 |
10.875% 11/1/17 | | 3,577,000 | | 2,646,980 |
12% 11/1/17 pay-in-kind (h) | | 440,676 | | 277,479 |
Enron Corp. 7.625% 9/10/04 (b) | | 400,000 | | 0 |
Power Sector Assets and Liabilities Management Corp.: | | | | |
7.25% 5/27/19 (f) | | 235,000 | | 259,393 |
Corporate Bonds - continued |
| Principal Amount (c) | | Value |
Nonconvertible Bonds - continued |
UTILITIES - continued |
Independent Power Producers & Energy Traders - continued |
Power Sector Assets and Liabilities Management Corp.: - continued | | | | |
7.39% 12/2/24 (f) | | $ 280,000 | | $ 306,250 |
Tenaska Alabama Partners LP 7% 6/30/21 (f) | | 81,950 | | 78,672 |
| | 3,837,424 |
Multi-Utilities - 0.2% |
Aquila, Inc. 11.875% 7/1/12 (h) | | 120,000 | | 138,211 |
NiSource Finance Corp. 10.75% 3/15/16 | | 1,159,000 | | 1,485,963 |
Utilicorp United, Inc. 7.95% 2/1/11 (e) | | 3,000 | | 3,104 |
| | 1,627,278 |
Water Utilities - 0.0% |
South East Water Ltd. Class 2A, 5.5834% 3/29/29 | GBP | 165,000 | | 245,713 |
TOTAL UTILITIES | | 9,629,531 |
TOTAL NONCONVERTIBLE BONDS | | 228,836,550 |
TOTAL CORPORATE BONDS (Cost $228,123,953) | 237,080,532 |
U.S. Government and Government Agency Obligations - 23.7% |
|
U.S. Government Agency Obligations - 3.8% |
Fannie Mae: | | | | |
1.125% 7/30/12 | | 3,710,000 | | 3,735,339 |
1.25% 6/22/12 | | 7,800,000 | | 7,875,847 |
Federal Home Loan Bank: | | | | |
1.5% 1/16/13 | | 940,000 | | 952,133 |
1.875% 6/21/13 | | 2,240,000 | | 2,284,804 |
3.625% 10/18/13 | | 925,000 | | 991,114 |
Freddie Mac: | | | | |
1.625% 4/15/13 | | 1,300,000 | | 1,320,014 |
1.75% 6/15/12 | | 7,583,000 | | 7,733,303 |
4.125% 12/21/12 | | 432,000 | | 466,416 |
Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23 | | 530,000 | | 620,404 |
Tennessee Valley Authority 5.25% 9/15/39 | | 400,000 | | 436,343 |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | | 26,415,717 |
|
| Principal Amount (c) | | Value |
U.S. Treasury Obligations - 17.7% |
U.S. Treasury Bonds: | | | | |
3.5% 2/15/39 | | $ 4,030,000 | | $ 3,752,309 |
4.25% 5/15/39 | | 1,929,000 | | 2,044,439 |
4.375% 2/15/38 | | 675,000 | | 731,531 |
4.375% 5/15/40 | | 2,615,000 | | 2,835,235 |
4.5% 5/15/38 | | 480,000 | | 530,625 |
4.5% 8/15/39 | | 3,145,000 | | 3,472,275 |
4.75% 2/15/37 | | 250,000 | | 287,656 |
5.25% 2/15/29 | | 2,825,000 | | 3,404,566 |
6.25% 8/15/23 | | 3,261,000 | | 4,230,639 |
7.5% 11/15/16 | | 2,155,000 | | 2,825,239 |
7.5% 11/15/24 | | 780,000 | | 1,132,463 |
7.875% 2/15/21 | | 200,000 | | 286,531 |
8% 11/15/21 | | 870,000 | | 1,266,258 |
8.75% 5/15/20 | | 922,000 | | 1,378,966 |
U.S. Treasury Notes: | | | | |
0.75% 11/30/11 | | 701,000 | | 703,711 |
0.75% 5/31/12 | | 5,890,000 | | 5,907,965 |
0.875% 1/31/12 | | 1,407,000 | | 1,414,640 |
1% 9/30/11 | | 3,150,000 | | 3,171,902 |
1% 12/31/11 | | 408,000 | | 411,028 |
1.125% 6/15/13 | | 6,120,000 | | 6,146,316 |
1.375% 11/15/12 | | 628,000 | | 637,125 |
1.375% 2/15/13 | | 297,000 | | 300,968 |
1.5% 12/31/13 | | 409,000 | | 412,547 |
1.75% 4/15/13 | | 5,864,000 | | 5,998,227 |
1.875% 4/30/14 | | 2,288,000 | | 2,330,005 |
1.875% 6/30/15 | | 979,000 | | 983,207 |
2.375% 8/31/14 | | 1,500,000 | | 1,551,211 |
2.375% 9/30/14 | | 2,782,000 | | 2,874,371 |
2.375% 10/31/14 | | 1,295,000 | | 1,336,581 |
2.5% 3/31/15 | | 4,688,000 | | 4,859,393 |
2.5% 4/30/15 | | 3,449,000 | | 3,572,678 |
2.625% 6/30/14 | | 3,400,000 | | 3,555,390 |
2.625% 7/31/14 | | 5,363,000 | | 5,605,590 |
2.625% 4/30/16 | | 1,135,000 | | 1,166,833 |
2.75% 11/30/16 | | 1,500,000 | | 1,538,907 |
2.75% 2/15/19 | | 2,778,000 | | 2,769,969 |
3% 9/30/16 | | 1,969,000 | | 2,054,374 |
3% 2/28/17 | | 1,500,000 | | 1,558,125 |
3.125% 8/31/13 | | 1,375,000 | | 1,463,730 |
3.125% 9/30/13 | | 1,291,000 | | 1,374,814 |
3.125% 10/31/16 | | 10,699,000 | | 11,230,566 |
3.125% 1/31/17 | | 1,636,000 | | 1,712,175 |
3.125% 5/15/19 | | 4,468,000 | | 4,565,389 |
3.375% 6/30/13 | | 734,000 | | 786,756 |
3.5% 5/15/20 | | 2,260,000 | | 2,367,712 |
3.625% 8/15/19 | | 2,209,000 | | 2,337,915 |
3.625% 2/15/20 | | 1,574,000 | | 1,664,628 |
3.75% 11/15/18 | | 328,000 | | 353,728 |
3.875% 5/15/18 | | 218,000 | | 238,421 |
4% 8/15/18 | | 721,000 | | 793,663 |
U.S. Government and Government Agency Obligations - continued |
| Principal Amount (c) | | Value |
U.S. Treasury Obligations - continued |
U.S. Treasury Notes: - continued | | | | |
4.25% 11/15/17 | | $ 1,975,000 | | $ 2,220,178 |
4.5% 5/15/17 | | 1,172,000 | | 1,334,249 |
5.125% 5/15/16 | | 1,865,000 | | 2,177,242 |
TOTAL U.S. TREASURY OBLIGATIONS | | 123,660,961 |
Other Government Related - 2.2% |
Bank of America Corp.: | | | | |
2.1% 4/30/12 (FDIC Guaranteed) (g) | | 200,000 | | 204,849 |
3.125% 6/15/12 (FDIC Guaranteed) (g) | | 9,000 | | 9,401 |
Citibank NA 1.875% 5/7/12 (FDIC Guaranteed) (g) | | 1,350,000 | | 1,378,161 |
Citigroup Funding, Inc.: | | | | |
1.875% 10/22/12 (FDIC Guaranteed) (g) | | 4,000,000 | | 4,085,004 |
1.875% 11/15/12 (FDIC Guaranteed) (g) | | 525,000 | | 536,194 |
2% 3/30/12 (FDIC Guaranteed) (g) | | 250,000 | | 255,240 |
2.125% 7/12/12 (FDIC Guaranteed) (g) | | 172,000 | | 176,494 |
General Electric Capital Corp.: | | | | |
1.8% 3/11/11 (FDIC Guaranteed) (g) | | 600,000 | | 605,808 |
2% 9/28/12 (FDIC Guaranteed) (g) | | 1,693,000 | | 1,733,800 |
2.125% 12/21/12 (FDIC Guaranteed) (g) | | 1,000,000 | | 1,028,334 |
2.625% 12/28/12 (FDIC Guaranteed) (g) | | 384,000 | | 399,143 |
3% 12/9/11 (FDIC Guaranteed) (g) | | 310,000 | | 320,271 |
GMAC, Inc. 1.75% 10/30/12 (FDIC Guaranteed) (g) | | 1,360,000 | | 1,383,910 |
Goldman Sachs Group, Inc. 3.25% 6/15/12 (FDIC Guaranteed) (g) | | 9,000 | | 9,426 |
JPMorgan Chase & Co.: | | | | |
2.125% 6/22/12 (FDIC Guaranteed) (g) | | 530,000 | | 543,801 |
2.2% 6/15/12 (FDIC Guaranteed) (g) | | 530,000 | | 544,693 |
3.125% 12/1/11 (FDIC Guaranteed) (g) | | 50,000 | | 51,732 |
Morgan Stanley 3.25% 12/1/11 (FDIC Guaranteed) (g) | | 1,898,000 | | 1,966,772 |
TOTAL OTHER GOVERNMENT RELATED | | 15,233,033 |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $160,299,833) | 165,309,711 |
U.S. Government Agency - Mortgage Securities - 2.3% |
| Principal Amount (c) | | Value |
Fannie Mae - 1.0% |
1.953% 9/1/33 (h) | | $ 52,810 | | $ 54,264 |
2.032% 10/1/34 (h) | | 76,550 | | 78,964 |
2.062% 11/1/35 (h) | | 43,337 | | 44,526 |
2.073% 2/1/35 (h) | | 251,176 | | 258,297 |
2.73% 11/1/33 (h) | | 10,237 | | 10,668 |
2.731% 5/1/35 (h) | | 72,784 | | 76,519 |
2.805% 7/1/35 (h) | | 34,483 | | 35,955 |
2.889% 2/1/35 (h) | | 150,836 | | 157,507 |
2.963% 3/1/33 (h) | | 16,012 | | 16,757 |
2.989% 10/1/35 (h) | | 8,559 | | 8,863 |
2.99% 11/1/36 (h) | | 8,299 | | 8,698 |
3.018% 1/1/35 (h) | | 27,603 | | 28,760 |
3.079% 3/1/35 (h) | | 1,210,870 | | 1,275,498 |
3.079% 7/1/35 (h) | | 51,647 | | 53,928 |
3.213% 7/1/35 (h) | | 46,789 | | 48,151 |
3.221% 7/1/35 (h) | | 84,474 | | 88,043 |
3.26% 9/1/34 (h) | | 46,677 | | 48,410 |
3.278% 4/1/36 (h) | | 33,894 | | 35,576 |
3.361% 1/1/40 (h) | | 1,902,046 | | 1,969,668 |
3.391% 4/1/35 (h) | | 57,168 | | 59,781 |
3.542% 2/1/37 (h) | | 88,050 | | 92,013 |
3.546% 2/1/40 (h) | | 1,441,525 | | 1,501,840 |
3.564% 11/1/36 (h) | | 21,940 | | 22,949 |
3.6% 6/1/47 (h) | | 18,311 | | 19,154 |
3.697% 6/1/36 (h) | | 5,452 | | 5,698 |
3.863% 9/1/35 (h) | | 82,733 | | 86,370 |
3.876% 5/1/35 (h) | | 32,100 | | 33,517 |
3.882% 9/1/36 (h) | | 36,118 | | 37,723 |
3.95% 10/1/37 (h) | | 28,982 | | 30,267 |
4% 9/1/13 | | 17,824 | | 18,344 |
4.031% 8/1/35 (h) | | 90,551 | | 95,637 |
4.162% 10/1/35 (h) | | 151,317 | | 157,274 |
4.777% 7/1/35 (h) | | 31,829 | | 33,194 |
5% 6/1/14 | | 3,289 | | 3,511 |
5.032% 2/1/34 (h) | | 43,807 | | 45,995 |
5.544% 2/1/36 (h) | | 11,452 | | 12,042 |
5.571% 4/1/36 (h) | | 64,411 | | 67,450 |
5.707% 9/1/35 (h) | | 57,311 | | 60,535 |
5.738% 5/1/36 (h) | | 13,945 | | 14,655 |
5.883% 4/1/36 (h) | | 159,738 | | 165,698 |
6% 6/1/16 to 10/1/16 | | 16,541 | | 17,979 |
6.074% 3/1/37 (h) | | 12,954 | | 13,800 |
6.5% 4/1/12 to 9/1/32 | | 167,147 | | 184,306 |
TOTAL FANNIE MAE | | 7,078,784 |
Freddie Mac - 0.3% |
1.791% 3/1/37 (h) | | 68,379 | | 70,026 |
1.866% 5/1/37 (h) | | 11,489 | | 11,802 |
1.903% 3/1/35 (h) | | 18,797 | | 19,229 |
2.54% 6/1/33 (h) | | 31,971 | | 33,151 |
U.S. Government Agency - Mortgage Securities - continued |
| Principal Amount (c) | | Value |
Freddie Mac - continued |
2.613% 12/1/33 (h) | | $ 66,472 | | $ 69,372 |
2.624% 5/1/37 (h) | | 66,506 | | 69,320 |
2.994% 5/1/35 (h) | | 62,557 | | 65,332 |
3.026% 5/1/37 (h) | | 102,038 | | 106,756 |
3.086% 4/1/37 (h) | | 13,052 | | 13,647 |
3.097% 10/1/35 (h) | | 41,299 | | 42,992 |
3.188% 1/1/35 (h) | | 82,588 | | 86,489 |
3.269% 1/1/36 (h) | | 197,041 | | 207,177 |
3.392% 3/1/37 (h) | | 12,899 | | 13,339 |
3.395% 7/1/35 (h) | | 35,836 | | 37,282 |
3.558% 10/1/36 (h) | | 43,284 | | 44,937 |
3.95% 12/1/36 (h) | | 154,188 | | 161,201 |
4.021% 5/1/37 (h) | | 9,083 | | 9,488 |
4.221% 4/1/34 (h) | | 363,993 | | 376,102 |
4.439% 2/1/36 (h) | | 7,967 | | 8,354 |
4.5% 8/1/33 | | 26,126 | | 27,312 |
4.744% 4/1/35 (h) | | 82,322 | | 86,953 |
5.046% 1/1/37 (h) | | 50,925 | | 53,725 |
5.06% 9/1/35 (h) | | 17,864 | | 18,628 |
5.09% 7/1/35 (h) | | 19,246 | | 20,194 |
5.138% 4/1/35 (h) | | 2,595 | | 2,729 |
5.254% 7/1/36 (h) | | 368,307 | | 387,651 |
5.462% 6/1/37 (h) | | 28,978 | | 30,246 |
5.515% 1/1/36 (h) | | 23,999 | | 25,066 |
5.515% 1/1/36 (h) | | 8,878 | | 9,163 |
5.549% 3/1/36 (h) | | 104,794 | | 109,220 |
5.554% 10/1/35 (h) | | 5,069 | | 5,336 |
6.009% 6/1/37 (h) | | 3,818 | | 4,034 |
6.122% 7/1/36 (h) | | 14,779 | | 15,565 |
6.157% 6/1/37 (h) | | 9,707 | | 10,242 |
6.23% 8/1/37 (h) | | 26,627 | | 28,289 |
6.458% 2/1/37 (h) | | 8,153 | | 8,543 |
6.5% 12/1/14 to 3/1/22 | | 231,698 | | 249,558 |
7.22% 4/1/37 (h) | | 483 | | 512 |
TOTAL FREDDIE MAC | | 2,538,962 |
Government National Mortgage Association - 1.0% |
5.492% 4/20/60 (k) | | 728,291 | | 807,283 |
5.5% 1/20/60 to 3/20/60 (k) | | 4,318,653 | | 4,778,728 |
5.691% 10/20/59 (k) | | 1,085,113 | | 1,201,112 |
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | | 6,787,123 |
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $16,010,200) | 16,404,869 |
Asset-Backed Securities - 0.1% |
| Principal Amount (c) | | Value |
Lambda Finance BV Series 2007-1X Class A2, 0.889% 9/20/31 (h) | EUR | 31,603 | | $ 36,679 |
Tesco Property Finance 2 PLC 6.0517% 10/13/39 | GBP | 249,239 | | 399,192 |
TOTAL ASSET-BACKED SECURITIES (Cost $454,915) | 435,871 |
Collateralized Mortgage Obligations - 1.4% |
|
Private Sponsor - 0.0% |
Arkle Master Issuer PLC floater Series 2006-1X Class 5M1, 0.953% 2/17/52 (h) | EUR | 50,000 | | 58,118 |
Granite Mortgages PLC 0.9675% 3/20/44 (h) | GBP | 32,172 | | 44,330 |
TOTAL PRIVATE SPONSOR | | 102,448 |
U.S. Government Agency - 1.4% |
Fannie Mae: | | | | |
floater Series 2006-56 Class PF, 0.6972% 7/25/36 (h) | | 594,184 | | 591,597 |
Series 2006-127 Class FD, 0.6272% 7/25/36 (h) | | 554,890 | | 550,653 |
Series 2006-44 Class FK, 0.7772% 6/25/36 (h) | | 211,689 | | 211,229 |
Fannie Mae subordinate REMIC pass-thru certificates: | | | | |
floater: | | | | |
Series 2005-56 Class F, 0.6372% 7/25/35 (h) | | 793,614 | | 786,142 |
Series 2006-50 Class BF, 0.7472% 6/25/36 (h) | | 624,833 | | 622,621 |
Series 2006-79 Class PF, 0.7472% 8/25/36 (h) | | 409,456 | | 407,189 |
planned amortization class: | | | | |
Series 2002-9 Class PC, 6% 3/25/17 | | 6,542 | | 7,077 |
Series 2003-113 Class PE, 4% 11/25/18 | | 80,000 | | 85,035 |
Series 2003-70 Class BJ, 5% 7/25/33 | | 45,000 | | 49,230 |
Series 2003-85 Class GD, 4.5% 9/25/18 | | 175,000 | | 189,486 |
Series 2004-80 Class LD, 4% 1/25/19 | | 100,000 | | 105,537 |
Series 2004-81 Class KD, 4.5% 7/25/18 | | 165,000 | | 177,211 |
Series 2005-52 Class PB, 6.5% 12/25/34 | | 96,493 | | 104,602 |
sequential payer: | | | | |
Series 2002-57 Class BD, 5.5% 9/25/17 | | 25,640 | | 28,099 |
Series 2004-95 Class AN, 5.5% 1/25/25 | | 76,501 | | 82,813 |
Collateralized Mortgage Obligations - continued |
| Principal Amount (c) | | Value |
U.S. Government Agency - continued |
Fannie Mae subordinate REMIC pass-thru certificates: - continuedsequential payer: | | | | |
Series 2005-117, Class JN, 4.5% 1/25/36 | | $ 40,000 | | $ 42,928 |
Series 2006-72 Class CY, 6% 8/25/26 | | 145,000 | | 166,320 |
Series 2003-79 Class FC, 0.7972% 8/25/33 (h) | | 438,183 | | 438,174 |
Series 2008-76 Class EF, 0.8472% 9/25/23 (h) | | 169,502 | | 169,401 |
Freddie Mac planned amortization class: | | | | |
Series 2101 Class PD, 6% 11/15/28 | | 14,451 | | 15,926 |
Series 2115 Class PE, 6% 1/15/14 | | 3,394 | | 3,589 |
Freddie Mac Multi-class participation certificates guaranteed: | | | | |
floater: | | | | |
Series 2577 Class FW, 0.8497% 1/15/30 (h) | | 65,694 | | 65,728 |
Series 2630 Class FL, 0.8497% 6/15/18 (h) | | 4,163 | | 4,222 |
Series 3346 Class FA, 0.5797% 2/15/19 (h) | | 715,724 | | 716,074 |
planned amortization class: | | | | |
Series 2376 Class JE, 5.5% 11/15/16 | | 27,242 | | 29,524 |
Series 2381 Class OG, 5.5% 11/15/16 | | 19,345 | | 20,954 |
Series 2425 Class JH, 6% 3/15/17 | | 34,564 | | 37,667 |
Series 2628 Class OE, 4.5% 6/15/18 | | 95,000 | | 103,582 |
Series 2695 Class DG, 4% 10/15/18 | | 220,000 | | 234,326 |
Series 2831 Class PB, 5% 7/15/19 | | 200,000 | | 220,591 |
Series 2866 Class XE, 4% 12/15/18 | | 250,000 | | 262,953 |
Series 2996 Class MK, 5.5% 6/15/35 | | 28,236 | | 31,071 |
Series 3122 Class FE, 0.6497% 3/15/36 (h) | | 556,186 | | 554,538 |
Series 3147 Class PF, 0.6497% 4/15/36 (h) | | 466,311 | | 464,254 |
sequential payer: | | | | |
Series 2303 Class ZV, 6% 4/15/31 | | 38,072 | | 41,826 |
Series 2570 Class CU, 4.5% 7/15/17 | | 6,924 | | 7,190 |
Series 2572 Class HK, 4% 2/15/17 | | 7,887 | | 8,056 |
|
| Principal Amount (c) | | Value |
Series 2668 Class AZ, 4% 9/15/18 | | $ 261,875 | | $ 282,691 |
Series 2860 Class CP, 4% 10/15/17 | | 6,859 | | 6,978 |
Series 2715 Class NG, 4.5% 12/15/18 | | 1,000,000 | | 1,089,208 |
Series 2863 Class DB, 4% 9/15/14 | | 8,639 | | 8,828 |
Ginnie Mae guaranteed REMIC pass-thru securities: | | | | |
floater 0.6475% 1/20/31 (h) | | 302,291 | | 302,599 |
Series 2003-42 Class FH, 0.7975% 5/20/33 (h) | | 117,267 | | 117,606 |
Series 2004-59 Class FC, 0.6497% 8/16/34 (h) | | 229,541 | | 228,734 |
0.6813% 8/1/60 (h)(k)(n) | | 186,000 | | 186,029 |
TOTAL U.S. GOVERNMENT AGENCY | | 9,860,088 |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $9,638,886) | 9,962,536 |
Commercial Mortgage Securities - 0.0% |
|
Enterprise Inns PLC 6.5% 12/6/18 | GBP | 45,000 | | 54,485 |
London & Regional Debt Securitisation No. 1 PLC Class A, 0.8609% 10/15/14 (h) | GBP | 50,000 | | 64,974 |
REC Plantation Place Ltd. Series 5 Class A, 0.8938% 7/25/16 (Reg. S) (h) | GBP | 48,681 | | 61,806 |
Skyline BV floater Series 2007-1 Class B, 0.892% 7/22/43 (h) | EUR | 100,000 | | 92,383 |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $357,005) | 273,648 |
Foreign Government and Government Agency Obligations - 22.0% |
|
Arab Republic of Egypt: | | | | |
5.75% 4/29/20 (f) | | 260,000 | | 261,300 |
6.875% 4/30/40 (f) | | 130,000 | | 126,100 |
Argentine Republic: | | | | |
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | | 799,408 | | 537,602 |
par 2.5% 12/31/38 (e) | | 680,000 | | 241,400 |
0.389% 8/3/12 (h) | | 303,750 | | 279,120 |
7% 3/28/11 | | 9,730,000 | | 9,593,239 |
7% 9/12/13 | | 6,755,000 | | 5,879,102 |
Bahamian Republic 6.95% 11/20/29 (f) | | 240,000 | | 240,000 |
Barbados Government 7.25% 12/15/21 (f) | | 305,000 | | 323,300 |
Brazilian Federative Republic: | | | | |
6% 9/15/13 | | 116,671 | | 122,213 |
Foreign Government and Government Agency Obligations - continued |
| Principal Amount (c) | | Value |
Brazilian Federative Republic: - continued | | | | |
8.25% 1/20/34 | | $ 165,000 | | $ 217,800 |
8.75% 2/4/25 | | 185,000 | | 250,675 |
11% 8/17/40 | | 710,000 | | 953,175 |
12.25% 3/6/30 | | 265,000 | | 463,750 |
12.5% 1/5/22 | BRL | 755,000 | | 473,508 |
Canadian Government: | | | | |
2.5% 6/1/15 | CAD | 7,700,000 | | 7,290,968 |
3.5% 6/1/20 | CAD | 5,600,000 | | 5,446,132 |
5% 6/1/37 | CAD | 2,000,000 | | 2,311,813 |
Cayman Island Government 5.95% 11/24/19 (f) | | 120,000 | | 120,000 |
Colombian Republic: | | | | |
7.375% 9/18/37 | | 405,000 | | 474,863 |
10.375% 1/28/33 | | 180,000 | | 261,000 |
11.75% 2/25/20 | | 175,000 | | 259,438 |
Congo Republic 3% 6/30/29 (e) | | 1,358,500 | | 720,005 |
Croatia Republic 6.75% 11/5/19 (f) | | 230,000 | | 238,556 |
Democratic Socialist Republic of Sri Lanka: | | | | |
7.4% 1/22/15 (f) | | 215,000 | | 220,913 |
8.25% 10/24/12 (f) | | 355,000 | | 378,075 |
Dominican Republic: | | | | |
1.5704% 8/30/24 (h) | | 325,000 | | 266,500 |
7.5% 5/6/21 (f) | | 315,000 | | 324,450 |
9.04% 1/23/18 (f) | | 309,312 | | 343,337 |
Ecuador Republic 5% 2/28/25 | | 76,000 | | 48,640 |
El Salvador Republic: | | | | |
7.375% 12/1/19 (f) | | 180,000 | | 196,200 |
7.65% 6/15/35 (Reg. S) | | 240,000 | | 254,400 |
7.75% 1/24/23 (Reg. S) | | 125,000 | | 136,875 |
8.25% 4/10/32 (Reg. S) | | 90,000 | | 99,000 |
Finnish Government 3.375% 4/15/20 | EUR | 500,000 | | 638,546 |
French Republic: | | | | |
OAT: | | | | |
3.5% 4/25/20 | EUR | 4,450,000 | | 5,637,788 |
4.5% 4/25/41 | EUR | 1,300,000 | | 1,813,286 |
2% 7/12/15 | EUR | 3,700,000 | | 4,527,663 |
4% 4/25/60 | EUR | 500,000 | | 654,137 |
Gabonese Republic 8.2% 12/12/17 (f) | | 430,000 | | 456,338 |
Georgia Republic 7.5% 4/15/13 | | 500,000 | | 517,500 |
German Federal Republic: | | | | |
1.25% 9/16/11 | EUR | 1,200,000 | | 1,480,684 |
2.25% 4/10/15 | EUR | 4,150,000 | | 5,258,879 |
3% 7/4/20 | EUR | 3,150,000 | | 3,998,960 |
3.5% 4/8/11 | EUR | 1,300,000 | | 1,626,567 |
4.75% 7/4/40 | EUR | 1,930,000 | | 3,019,153 |
Ghana Republic: | | | | |
8.5% 10/4/17 (f) | | 535,000 | | 561,750 |
|
| Principal Amount (c) | | Value |
14.99% 3/11/13 | GHS | 680,000 | | $ 465,936 |
Hungarian Republic 6.25% 1/29/20 | | 320,000 | | 313,600 |
Indonesian Republic: | | | | |
5.875% 3/13/20 (f) | | 530,000 | | 558,514 |
6.625% 2/17/37 (f) | | 425,000 | | 446,250 |
6.875% 3/9/17 (f) | | 200,000 | | 225,500 |
6.875% 1/17/18 (f) | | 400,000 | | 451,000 |
7.75% 1/17/38 (f) | | 410,000 | | 483,800 |
8.5% 10/12/35 (Reg. S) | | 400,000 | | 504,000 |
11.625% 3/4/19 (f) | | 375,000 | | 538,125 |
Islamic Republic of Pakistan 7.125% 3/31/16 (f) | | 1,125,000 | | 1,046,250 |
Italian Republic: | | | | |
3.5% 6/1/14 | EUR | 2,600,000 | | 3,265,502 |
3.75% 8/1/15 | EUR | 1,650,000 | | 2,086,078 |
4% 9/1/20 | EUR | 1,850,000 | | 2,248,200 |
4.25% 8/1/13 | EUR | 1,200,000 | | 1,542,415 |
4.25% 3/1/20 | EUR | 2,550,000 | | 3,169,278 |
5% 9/1/40 | EUR | 2,025,000 | | 2,466,018 |
Japan Government: | | | | |
0.4% 5/15/11 | JPY | 805,300,000 | | 9,129,897 |
1.3% 6/20/20 | JPY | 210,000,000 | | 2,423,006 |
2.1% 9/20/29 | JPY | 210,000,000 | | 2,486,172 |
2.2% 9/20/39 | JPY | 160,000,000 | | 1,915,587 |
Lithuanian Republic: | | | | |
6.75% 1/15/15 (f) | | 225,000 | | 235,350 |
7.375% 2/11/20 (f) | | 325,000 | | 340,925 |
Ontario Province 4.4% 6/2/19 | CAD | 800,000 | | 781,521 |
Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (f) | | 175,000 | | 203,438 |
Peruvian Republic 7.35% 7/21/25 | | 220,000 | | 263,670 |
Philippine Republic: | | | | |
6.5% 1/20/20 | | 250,000 | | 275,025 |
9.5% 2/2/30 | | 185,000 | | 250,213 |
10.625% 3/16/25 | | 155,000 | | 223,588 |
Polish Government 5% 10/19/15 | | 95,000 | | 99,869 |
Republic of Iraq 5.8% 1/15/28 (Reg. S) | | 750,000 | | 607,500 |
Republic of Serbia 6.75% 11/1/24 (f) | | 1,561,167 | | 1,494,817 |
Russian Federation: | | | | |
3.625% 4/29/15 (f) | | 200,000 | | 193,760 |
5% 4/29/20 (f) | | 600,000 | | 581,220 |
7.5% 3/31/30 (Reg. S) | | 5,046,200 | | 5,695,898 |
12.75% 6/24/28 (Reg. S) | | 710,000 | | 1,189,250 |
Turkish Republic: | | | | |
5.625% 3/30/21 | | 260,000 | | 256,750 |
6.75% 4/3/18 | | 530,000 | | 580,350 |
6.75% 5/30/40 | | 355,000 | | 356,065 |
Foreign Government and Government Agency Obligations - continued |
| Principal Amount (c) | | Value |
Turkish Republic: - continued | | | | |
6.875% 3/17/36 | | $ 965,000 | | $ 996,363 |
7% 9/26/16 | | 590,000 | | 657,142 |
7.25% 3/15/15 | | 85,000 | | 94,988 |
7.25% 3/5/38 | | 650,000 | | 697,125 |
7.375% 2/5/25 | | 1,150,000 | | 1,292,370 |
7.5% 7/14/17 | | 575,000 | | 655,500 |
11.875% 1/15/30 | | 210,000 | | 339,423 |
UK Treasury GILT: | | | | |
2.75% 1/22/15 | GBP | 1,100,000 | | 1,691,550 |
4% 9/7/16 | GBP | 20,000 | | 32,376 |
4.25% 12/7/40 | GBP | 2,600,000 | | 3,926,558 |
4.5% 9/7/34 | GBP | 3,200,000 | | 5,000,453 |
4.75% 3/7/20 | GBP | 2,200,000 | | 3,663,595 |
Ukraine Cabinet of Ministers 6.875% 3/4/11 (Reg. S) | | 1,450,000 | | 1,450,000 |
Ukraine Government: | | | | |
6.385% 6/26/12 (f) | | 180,000 | | 178,200 |
6.75% 11/14/17 (f) | | 485,000 | | 449,838 |
United Mexican States: | | | | |
5.125% 1/15/20 | | 260,000 | | 272,350 |
5.625% 1/15/17 | | 270,000 | | 297,000 |
6.05% 1/11/40 | | 260,000 | | 274,300 |
7.5% 4/8/33 | | 120,000 | | 150,000 |
8.3% 8/15/31 | | 115,000 | | 154,675 |
Uruguay Republic: | | | | |
6.875% 9/28/25 | | 140,000 | | 156,100 |
8% 11/18/22 | | 553,878 | | 667,423 |
Venezuelan Republic: | | | | |
1.3072% 4/20/11 (Reg. S) (h) | | 2,950,000 | | 2,728,750 |
5.375% 8/7/10 (Reg. S) | | 2,355,000 | | 2,337,338 |
7% 3/31/38 | | 310,000 | | 162,750 |
8.5% 10/8/14 | | 470,000 | | 366,600 |
9% 5/7/23 (Reg. S) | | 1,610,000 | | 998,200 |
9.25% 9/15/27 | | 1,110,000 | | 763,125 |
9.375% 1/13/34 | | 375,000 | | 234,375 |
10.75% 9/19/13 | | 1,260,000 | | 1,108,800 |
13.625% 8/15/18 | | 1,401,000 | | 1,225,875 |
Vietnamese Socialist Republic: | | | | |
1.2103% 3/12/16 (h) | | 135,652 | | 120,730 |
4% 3/12/28 (e) | | 960,000 | | 787,200 |
6.75% 1/29/20 (f) | | 390,000 | | 401,700 |
6.875% 1/15/16 (f) | | 230,000 | | 244,375 |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $151,435,239) | 153,516,184 |
Supranational Obligations - 0.1% |
| Principal Amount (c) | | Value |
Eurasian Development Bank 7.375% 9/29/14 (f) | | $ 445,000 | | $ 461,688 |
European Investment Bank 11.25% 12/2/11 (f) | ZMK | 800,000,000 | | 160,742 |
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $622,516) | 622,430 |
Floating Rate Loans - 5.1% |
| Principal Amount (c) | | Value |
CONSUMER DISCRETIONARY - 1.4% |
Auto Components - 0.2% |
Visteon Corp. term loan 4.426% 6/13/13 (b)(h) | | $ 1,290,000 | | $ 1,380,300 |
Automobiles - 0.0% |
AM General LLC: | | | | |
Credit-Linked Deposit 3.3472% 9/30/12 (h) | | 1,795 | | 1,579 |
Tranche B, term loan 3.4472% 9/30/13 (h) | | 33,744 | | 29,695 |
| | 31,274 |
Diversified Consumer Services - 0.2% |
ServiceMaster Co.: | | | | |
term loan 2.8946% 7/24/14 (h) | | 400,375 | | 364,341 |
Tranche DD, term loan 2.85% 7/24/14 (h) | | 41,239 | | 37,528 |
Thomson Learning Tranche B, term loan 3.03% 7/5/14 (h) | | 806,749 | | 693,804 |
| | 1,095,673 |
Hotels, Restaurants & Leisure - 0.0% |
Green Valley Ranch Gaming LLC Tranche 1LN, term loan 2.2602% 2/16/14 (b)(h) | | 18,723 | | 14,042 |
Las Vegas Sands LLC: | | | | |
term loan 2.1% 5/23/14 (h) | | 9,105 | | 8,058 |
Tranche B, term loan 2.05% 5/23/14 (h) | | 45,059 | | 39,877 |
OSI Restaurant Partners, Inc.: | | | | |
Credit-Linked Deposit 2.8202% 6/14/13 (h) | | 3,008 | | 2,571 |
term loan 2.8798% 6/14/14 (h) | | 31,160 | | 26,642 |
| | 91,190 |
Media - 0.7% |
Charter Communications Operating LLC Tranche B 1LN, term loan 2.35% 3/6/14 (h) | | 2,263,978 | | 2,097,122 |
Education Media and Publishing Group Ltd. Tranche 1LN, term loan 5.6009% 6/12/14 (h) | | 1,772,673 | | 1,604,269 |
Idearc, Inc. term loan 11% 12/31/15 (h) | | 91,838 | | 78,980 |
Univision Communications, Inc. Tranche 1LN, term loan 2.5972% 9/29/14 (h) | | 1,440,852 | | 1,195,907 |
| | 4,976,278 |
Specialty Retail - 0.3% |
Burlington Coat Factory Warehouse Corp. term loan 2.6655% 5/28/13 (h) | | 421,709 | | 393,244 |
Floating Rate Loans - continued |
| Principal Amount (c) | | Value |
CONSUMER DISCRETIONARY - continued |
Specialty Retail - continued |
Michaels Stores, Inc.: | | | | |
Tranche B1, term loan 2.7606% 10/31/13 (h) | | $ 575,391 | | $ 536,552 |
Tranche B2, term loan 5.0106% 7/31/16 (h) | | 1,510,725 | | 1,454,073 |
| | 2,383,869 |
Textiles, Apparel & Luxury Goods - 0.0% |
Levi Strauss & Co. term loan 2.5972% 4/4/14 (h) | | 100,000 | | 92,000 |
TOTAL CONSUMER DISCRETIONARY | | 10,050,584 |
ENERGY - 0.0% |
Oil, Gas & Consumable Fuels - 0.0% |
Venoco, Inc. Tranche 2LN, term loan 4.375% 5/7/14 (h) | | 27,751 | | 24,421 |
FINANCIALS - 0.7% |
Commercial Banks - 0.1% |
CIT Group, Inc.: | | | | |
term loan 13% 1/20/12 (h) | | 97,948 | | 101,009 |
Tranche A, term loan 9.5% 1/20/12 (h) | | 477,499 | | 487,049 |
| | 588,058 |
Diversified Financial Services - 0.1% |
Clear Channel Capital I LLC Tranche B, term loan 3.9972% 1/29/16 (h) | | 1,024,758 | | 783,940 |
Real Estate Management & Development - 0.5% |
Realogy Corp.: | | | | |
Credit-Linked Deposit 3.2013% 10/10/13 (h) | | 219,828 | | 189,602 |
Tranche 2LN, term loan 13.5% 10/15/17 | | 950,000 | | 988,000 |
Tranche B, term loan 3.2915% 10/10/13 (h) | | 816,506 | | 704,236 |
Tranche DD, term loan 3.2927% 10/10/13 (h) | | 1,575,507 | | 1,323,426 |
| | 3,205,264 |
TOTAL FINANCIALS | | 4,577,262 |
HEALTH CARE - 0.0% |
Pharmaceuticals - 0.0% |
PTS Acquisition Corp. term loan 2.5972% 4/10/14 (h) | | 130,575 | | 115,559 |
INDUSTRIALS - 0.8% |
Aerospace & Defense - 0.0% |
DeCrane Aircraft Holdings, Inc.: | | | | |
Tranche 1LN, term loan 6.2878% 2/21/13 (h) | | 9,258 | | 8,703 |
|
| Principal Amount (c) | | Value |
Tranche 2LN, term loan 10.5378% 2/21/14 (h) | | $ 20,000 | | $ 17,000 |
Wesco Aircraft Hardware Corp. Tranche 2LN, term loan 6.1% 3/28/14 (h) | | 10,000 | | 9,550 |
| | 35,253 |
Airlines - 0.4% |
Delta Air Lines, Inc.: | | | | |
Tranche 1LN, term loan 8.75% 9/27/13 (h) | | 34,738 | | 34,868 |
Tranche 2LN, term loan 3.5478% 4/30/14 (h) | | 643,687 | | 572,881 |
Northwest Airlines Corp. Tranche A, term loan 2.29% 12/31/18 (h) | | 815,826 | | 668,978 |
United Air Lines, Inc. Tranche B, term loan 2.3572% 2/1/14 (h) | | 788,865 | | 684,341 |
US Airways Group, Inc. term loan 2.8128% 3/23/14 (h) | | 715,068 | | 564,904 |
| | 2,525,972 |
Commercial Services & Supplies - 0.1% |
Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 6.45% 2/7/15 (h) | | 40,000 | | 35,000 |
International Lease Finance Corp.: | | | | |
Tranche 1LN, term loan 6.75% 3/17/15 (h) | | 464,000 | | 459,360 |
Tranche 2LN, term loan 7% 3/17/16 (h) | | 341,000 | | 336,738 |
| | 831,098 |
Industrial Conglomerates - 0.1% |
Sequa Corp. term loan 3.5651% 12/3/14 (h) | | 929,806 | | 841,475 |
Machinery - 0.0% |
Dresser, Inc. Tranche 2LN, term loan 6.1951% 5/4/15
pay-in-kind (h) | | 230,000 | | 211,600 |
Road & Rail - 0.2% |
Swift Transportation Co., Inc. term loan 8.25% 5/10/14 (h) | | 1,318,070 | | 1,215,919 |
Trading Companies & Distributors - 0.0% |
Neff Corp. Tranche 2LN, term loan 3.7844% 11/30/14 (b)(h) | | 50,000 | | 9,000 |
TOTAL INDUSTRIALS | | 5,670,317 |
INFORMATION TECHNOLOGY - 0.5% |
Electronic Equipment & Components - 0.1% |
Flextronics International Ltd.: | | | | |
Tranche B A1, term loan 2.5528% 10/1/14 (h) | | 56,948 | | 52,819 |
Tranche B A2, term loan 2.5972% 10/1/14 (h) | | 135,747 | | 125,906 |
Tranche B A3, term loan 2.6038% 10/1/14 (h) | | 158,372 | | 146,890 |
Floating Rate Loans - continued |
| Principal Amount (c) | | Value |
INFORMATION TECHNOLOGY - continued |
Electronic Equipment & Components - continued |
Flextronics International Ltd.: - continued | | | | |
Tranche B-A, term loan 2.5417% 10/1/14 (h) | | $ 198,178 | | $ 183,810 |
Tranche B-B, term loan 2.5409% 10/1/12 (h) | | 192,631 | | 183,481 |
| | 692,906 |
Semiconductors & Semiconductor Equipment - 0.3% |
Freescale Semiconductor, Inc. term loan 4.6038% 12/1/16 (h) | | 1,466,169 | | 1,286,563 |
Spansion, Inc. term loan 7.5% 2/1/15 (h) | | 922,688 | | 911,154 |
| | 2,197,717 |
Software - 0.1% |
Kronos, Inc.: | | | | |
Tranche 1LN, term loan 2.5334% 6/11/14 (h) | | 725,759 | | 689,471 |
Tranche 2LN, term loan 6.2834% 6/11/15 (h) | | 125,000 | | 116,250 |
Open Solutions, Inc. term loan 2.445% 1/23/14 (h) | | 19,354 | | 16,838 |
| | 822,559 |
TOTAL INFORMATION TECHNOLOGY | | 3,713,182 |
MATERIALS - 0.4% |
Chemicals - 0.2% |
Chemtura Corp. term loan 6% 2/1/11 (h) | | 105,000 | | 104,475 |
Momentive Performance Materials, Inc. Tranche B1, term loan 2.625% 12/4/13 (h) | | 1,422,784 | | 1,273,391 |
Tronox Worldwide LLC: | | | | |
Tranche B 1LN, term loan 9% 9/20/10 (h) | | 102,471 | | 103,880 |
Tranche B 2LN, term loan 9% 9/20/10 (h) | | 27,529 | | 27,908 |
| | 1,509,654 |
Containers & Packaging - 0.2% |
Berry Plastics Holding Corp. Tranche C, term loan 2.3497% 4/3/15 (h) | | 1,161,478 | | 1,027,908 |
Metals & Mining - 0.0% |
Aleris International, Inc. Tranche B 1LN, term loan 4.25% 12/19/13 (b)(h) | | 33,696 | | 40 |
Paper & Forest Products - 0.0% |
White Birch Paper Co.: | | | | |
term loan 12% 12/1/10 (h) | | 19,555 | | 19,360 |
|
| Principal Amount (c) | | Value |
Tranche 1LN, term loan 7% 5/8/14 (b)(h) | | $ 94,500 | | $ 9,450 |
Tranche DD, term loan 5.884% 12/1/10 (h)(m) | | 6,780 | | 6,713 |
| | 35,523 |
TOTAL MATERIALS | | 2,573,125 |
TELECOMMUNICATION SERVICES - 0.4% |
Diversified Telecommunication Services - 0.0% |
Wind Telecomunicazioni SpA: | | | | |
Tranche 2LN, term loan 7.6577% 3/21/15 (h) | | 140,000 | | 139,300 |
Tranche B 1LN, term loan 3.6577% 5/26/13 (h) | | 60,000 | | 58,800 |
Tranche C 1LN, term loan 4.6577% 5/26/14 (h) | | 60,000 | | 58,800 |
| | 256,900 |
Wireless Telecommunication Services - 0.4% |
Digicel International Finance Ltd. term loan 3.0625% 3/30/12 (h) | | 1,600,048 | | 1,536,046 |
Intelsat Jackson Holdings Ltd. term loan 3.2915% 2/1/14 (h) | | 1,080,000 | | 993,600 |
| | 2,529,646 |
TOTAL TELECOMMUNICATION SERVICES | | 2,786,546 |
UTILITIES - 0.9% |
Electric Utilities - 0.9% |
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc.: | | | | |
Tranche B1, term loan 3.8509% 10/10/14 (h) | | 2,637,442 | | 1,945,114 |
Tranche B2, term loan 3.9754% 10/10/14 (h) | | 2,094,302 | | 1,539,312 |
Tranche B3, term loan 3.8509% 10/10/14 (h) | | 3,344,232 | | 2,441,290 |
| | 5,925,716 |
TOTAL FLOATING RATE LOANS (Cost $32,845,539) | 35,436,712 |
Sovereign Loan Participations - 0.0% |
|
Indonesian Republic loan participation - Citibank 1.4375% 12/14/19 (h)
(Cost $339,964) | | 457,918 | | 402,968 |
VIP Strategic Income Portfolio (the Fund) is a fund of Variable Insurance Products Fund V (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. Shares of the Fund may only be purchased by insurance companies for the purpose of funding variable annuity or variable life insurance contracts. The Fund offers the following classes of shares: Initial Class shares, Service Class shares, Service Class 2 shares, and Investor Class shares. All classes have equal rights and voting privileges, except for matters affecting a single class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The following summarizes the Fund's investment in each Fidelity Central Fund.
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which contain the significant accounting policies (including security valuation policies) of those funds, are available on the SEC web site or upon request.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
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 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the fund's own assumptions based on the best information available)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of June 30, 2010, for the Fund's investments, as well as a roll forward of Level 3 securities, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, sovereign loan participations, floating rate loans, foreign government and government agency obligations, preferred securities, supranational obligations, and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. For asset-backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Dealers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value and are categorized as Level 2 in the hierarchy. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates) and, as a result, swaps are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
as increases or decreases to interest income even though principal is not received until maturity. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Distributions are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swap agreements, foreign currency transactions, market discount, partnerships (including allocations from Fidelity Central Funds), capital loss carryforwards, and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
The Fund's use of derivatives may increase or decrease its exposure to the following risk:
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to sell the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives each counterparty the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified in the Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty fees in excess of any collateral pledged by the counterparty to the Fund. Risk of loss may exceed the amounts recognized in the Statement of Assets and Liabilities.
Details of swaps open at period end, if any, are included in the Schedule of Investments under the caption "Swap Agreements." Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. Any upfront payments made or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Risks of loss may include interest rate risk. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $524,529,722 and $479,274,411, respectively.
For the period, each class paid FDC the following amounts, all of which were re-allowed to insurance companies for the distribution of shares and providing shareholder support services:
The Fund participates with other funds managed by FMR in a $3.75 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $1,284 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $189.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, FMR or its affiliates were the owners of record of 91% of the total outstanding shares of the Fund.
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 of repatriate such amounts.
FMR Co., Inc.
Fidelity Investments Money Management, Inc.
FIL Investment Advisors (U.K.) Ltd.
Fidelity Management & Research (U.K.) Inc.
Fidelity Management & Research (Japan) Inc.
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
Not applicable.
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
There were no material changes to the procedures by which shareholders may recommend nominees to the Variable Insurance Products Fund V's Board of Trustees.
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) for the Fund provide reasonable assurances that material information relating to the Fund 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 Fund'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 Fund's internal control over financial reporting.
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.
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.
