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 811-5511
Variable Insurance Products Fund II
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Eric D. Roiter, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | December 31 |
| |
Date of reporting period: | June 30, 2005 |
Item 1. Reports to Stockholders
Fidelity® Variable Insurance Products
Contrafund® Portfolio |
Equity-Income Portfolio |
Growth Portfolio |
Growth & Income Portfolio |
Growth Opportunities Portfolio |
Index 500 Portfolio |
Mid Cap Portfolio |
Overseas Portfolio |
Semiannual Report
June 30, 2005
(2_fidelity_logos) (Registered_Trademark)
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Fidelity Variable Insurance Products are separate account options which are purchased through a variable insurance contract.
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 Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the funds. This report is not authorized for distribution to prospective investors in the funds 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 quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the funds nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Shareholder Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including redemption fees, 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 Funds 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, 2005 to June 30, 2005).
Actual Expenses
The first line of the table below for each class of each 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. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. 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.
Hypothetical Example for Comparison Purposes
The second line of the table below for each class of each 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. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. 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.
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.
| Beginning
Account Value
January 1, 2005 | Ending
Account Value
June 30, 2005 | Expenses Paid
During Period*
January 1, 2005
to June 30, 2005 |
Contrafund | | | |
Initial Class | | | |
Actual | $ 1,000.00 | $ 1,036.00 | $ 3.33 |
HypotheticalA | $ 1,000.00 | $ 1,021.52 | $ 3.31 |
Service Class | | | |
Actual | $ 1,000.00 | $ 1,035.50 | $ 3.84 |
HypotheticalA | $ 1,000.00 | $ 1,021.03 | $ 3.81 |
Service Class 2 | | | |
Actual | $ 1,000.00 | $ 1,034.60 | $ 4.59 |
HypotheticalA | $ 1,000.00 | $ 1,020.28 | $ 4.56 |
Service Class 2R | | | |
Actual | $ 1,000.00 | $ 1,034.90 | $ 4.59 |
HypotheticalA | $ 1,000.00 | $ 1,020.28 | $ 4.56 |
Equity-Income | | | |
Initial Class | | | |
Actual | $ 1,000.00 | $ 987.20 | $ 2.76 |
HypotheticalA | $ 1,000.00 | $ 1,022.02 | $ 2.81 |
Service Class | | | |
Actual | $ 1,000.00 | $ 986.80 | $ 3.25 |
HypotheticalA | $ 1,000.00 | $ 1,021.52 | $ 3.31 |
Service Class 2 | | | |
Actual | $ 1,000.00 | $ 986.10 | $ 3.99 |
HypotheticalA | $ 1,000.00 | $ 1,020.78 | $ 4.06 |
Service Class 2R | | | |
Actual | $ 1,000.00 | $ 986.20 | $ 3.99 |
HypotheticalA | $ 1,000.00 | $ 1,020.78 | $ 4.06 |
| Beginning
Account Value
January 1, 2005 | Ending
Account Value
June 30, 2005 | Expenses Paid
During Period*
January 1, 2005
to June 30, 2005 |
Growth | | | |
Initial Class | | | |
Actual | $ 1,000.00 | $ 979.50 | $ 3.24 |
HypotheticalA | $ 1,000.00 | $ 1,021.52 | $ 3.31 |
Service Class | | | |
Actual | $ 1,000.00 | $ 979.00 | $ 3.73 |
HypotheticalA | $ 1,000.00 | $ 1,021.03 | $ 3.81 |
Service Class 2 | | | |
Actual | $ 1,000.00 | $ 978.00 | $ 4.51 |
HypotheticalA | $ 1,000.00 | $ 1,020.23 | $ 4.61 |
Service Class 2R | | | |
Actual | $ 1,000.00 | $ 978.30 | $ 4.46 |
HypotheticalA | $ 1,000.00 | $ 1,020.28 | $ 4.56 |
Growth & Income | | | |
Initial Class | | | |
Actual | $ 1,000.00 | $ 962.50 | $ 2.87 |
HypotheticalA | $ 1,000.00 | $ 1,021.87 | $ 2.96 |
Service Class | | | |
Actual | $ 1,000.00 | $ 961.60 | $ 3.36 |
HypotheticalA | $ 1,000.00 | $ 1,021.37 | $ 3.46 |
Service Class 2 | | | |
Actual | $ 1,000.00 | $ 961.60 | $ 4.09 |
HypotheticalA | $ 1,000.00 | $ 1,020.63 | $ 4.21 |
Growth Opportunities | | | |
Initial Class | | | |
Actual | $ 1,000.00 | $ 990.90 | $ 3.46 |
HypotheticalA | $ 1,000.00 | $ 1,021.32 | $ 3.51 |
Service Class | | | |
Actual | $ 1,000.00 | $ 990.60 | $ 3.95 |
HypotheticalA | $ 1,000.00 | $ 1,020.83 | $ 4.01 |
Service Class 2 | | | |
Actual | $ 1,000.00 | $ 989.60 | $ 4.74 |
HypotheticalA | $ 1,000.00 | $ 1,020.03 | $ 4.81 |
Index 500 | | | |
Initial Class | | | |
Actual | $ 1,000.00 | $ 991.40 | $ .79** |
HypotheticalA | $ 1,000.00 | $ 1,024.00 | $ .80** |
Service Class | | | |
Actual | $ 1,000.00 | $ 991.00 | $ 1.28** |
HypotheticalA | $ 1,000.00 | $ 1,023.51 | $ 1.30** |
Service Class 2 | | | |
Actual | $ 1,000.00 | $ 990.20 | $ 2.02** |
HypotheticalA | $ 1,000.00 | $ 1,022.76 | $ 2.06** |
Mid Cap | | | |
Initial Class | | | |
Actual | $ 1,000.00 | $ 1,030.40 | $ 3.47 |
HypotheticalA | $ 1,000.00 | $ 1,021.37 | $ 3.46 |
Service Class | | | |
Actual | $ 1,000.00 | $ 1,029.80 | $ 3.98 |
HypotheticalA | $ 1,000.00 | $ 1,020.88 | $ 3.96 |
Service Class 2 | | | |
Actual | $ 1,000.00 | $ 1,029.00 | $ 4.73 |
HypotheticalA | $ 1,000.00 | $ 1,020.13 | $ 4.71 |
| Beginning
Account Value
January 1, 2005 | Ending
Account Value
June 30, 2005 | Expenses Paid
During Period*
January 1, 2005
to June 30, 2005 |
Overseas | | | |
Initial Class | | | |
Actual | $ 1,000.00 | $ 983.70 | $ 4.38 |
HypotheticalA | $ 1,000.00 | $ 1,020.38 | $ 4.46 |
Service Class | | | |
Actual | $ 1,000.00 | $ 982.70 | $ 4.87 |
HypotheticalA | $ 1,000.00 | $ 1,019.89 | $ 4.96 |
Service Class 2 | | | |
Actual | $ 1,000.00 | $ 982.10 | $ 5.60 |
HypotheticalA | $ 1,000.00 | $ 1,019.14 | $ 5.71 |
Initial Class R | | | |
Actual | $ 1,000.00 | $ 983.30 | $ 4.38 |
HypotheticalA | $ 1,000.00 | $ 1,020.38 | $ 4.46 |
Service Class R | | | |
Actual | $ 1,000.00 | $ 982.70 | $ 4.87 |
HypotheticalA | $ 1,000.00 | $ 1,019.89 | $ 4.96 |
Service Class 2R | | | |
Actual | $ 1,000.00 | $ 981.70 | $ 5.60 |
HypotheticalA | $ 1,000.00 | $ 1,019.14 | $ 5.71 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
| Annualized
Expense Ratio |
Contrafund | |
Initial Class | .66% |
Service Class | .76% |
Service Class 2 | .91% |
Service Class 2R | .91% |
Equity-Income | |
Initial Class | .56% |
Service Class | .66% |
Service Class 2 | .81% |
Service Class 2R | .81% |
Growth | |
Initial Class | .66% |
Service Class | .76% |
Service Class 2 | .92% |
Service Class 2R | .91% |
Growth & Income | |
Initial Class | .59% |
Service Class | .69% |
Service Class 2 | .84% |
Growth Opportunities | |
Initial Class | .70% |
Service Class | .80% |
Service Class 2 | .96% |
Index 500 | |
Initial Class | .16%** |
Service Class | .26%** |
Service Class 2 | .41%** |
Mid Cap | |
Initial Class | .69% |
Service Class | .79% |
Service Class 2 | .94% |
| Annualized
Expense Ratio |
Overseas | |
Initial Class | .89% |
Service Class | .99% |
Service Class 2 | 1.14% |
Initial Class R | .89% |
Service Class R | .99% |
Service Class 2R | 1.14% |
** Under the terms of the fund's amended management contract and the VIP Index 500 Portfolio 10 Basis Point Expense Contract effective March 1, 2005, Fidelity Management & Research Company has contractually agreed to pay all operating expenses of the fund and each current class of the fund with certain exceptions. If these contractual arrangements had been in effect during the entire period, the annualized expense ratio and the expenses paid in the actual and hypothetical examples above would have been as follows:
| Annualized
Expense Ratio | Expenses
Paid |
Index 500 | | |
Initial Class | .10% | |
Actual | | $ .49 |
HypotheticalA | | $ .50 |
Service Class | .20% | |
Actual | | $ .99 |
HypotheticalA | | $ 1.00 |
Service Class 2 | .35% | |
Actual | | $ 1.73 |
HypotheticalA | | $ 1.76 |
A 5% return per year before expenses
Semiannual Report
Fidelity Variable Insurance Products: Contrafund Portfolio
Investment Changes
Top Ten Stocks as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
EnCana Corp. | 2.9 | 2.2 |
Genentech, Inc. | 2.8 | 1.4 |
Berkshire Hathaway, Inc. Class A | 2.4 | 2.6 |
Google, Inc. Class A (sub. vtg.) | 2.0 | 0.6 |
3M Co. | 1.9 | 2.4 |
Avon Products, Inc. | 1.8 | 2.3 |
Yahoo!, Inc. | 1.8 | 1.9 |
Exxon Mobil Corp. | 1.4 | 0.8 |
Marvell Technology Group Ltd. | 1.4 | 1.2 |
Aetna, Inc. | 1.2 | 0.9 |
| 19.6 | |
Top Five Market Sectors as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Health Care | 14.3 | 11.3 |
Financials | 14.2 | 12.6 |
Information Technology | 14.0 | 15.0 |
Energy | 13.8 | 9.0 |
Consumer Discretionary | 9.8 | 11.1 |
Asset Allocation (% of fund's net assets) |
As of June 30, 2005* | As of December 31, 2004** |
 | Stocks 92.1% | | | Stocks 90.0% | |
 | Bonds 1.9% | | | Bonds 1.6% | |
 | Short-Term
Investments and
Net Other Assets 6.0% | | | Short-Term
Investments and
Net Other Assets 8.4% | |
* Foreign investments | 24.2% | | **Foreign investments | 25.1% | |
Semiannual Report
Fidelity Variable Insurance Products: Contrafund Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 92.1% |
| Shares | | Value (Note 1) |
CONSUMER DISCRETIONARY - 9.8% |
Auto Components - 0.1% |
Bridgestone Corp. (d) | 411,000 | | $ 7,912,041 |
Automobiles - 0.5% |
Honda Motor Co. Ltd. | 135,000 | | 6,644,700 |
Toyota Motor Corp. | 1,633,900 | | 58,403,755 |
| | 65,048,455 |
Distributors - 0.0% |
Li & Fung Ltd. | 2,790,000 | | 5,798,289 |
Diversified Consumer Services - 0.3% |
Educate, Inc. | 358,892 | | 5,078,322 |
Education Management Corp. (a) | 202,800 | | 6,840,444 |
Laureate Education, Inc. (a) | 565,791 | | 27,078,757 |
Regis Corp. | 92,600 | | 3,618,808 |
Weight Watchers International, Inc. (a) | 113,200 | | 5,842,252 |
| | 48,458,583 |
Hotels, Restaurants & Leisure - 3.2% |
Ambassadors Group, Inc. | 500,000 | | 18,595,000 |
Aristocrat Leisure Ltd. | 2,396,247 | | 21,171,178 |
Boyd Gaming Corp. | 533,000 | | 27,252,290 |
Choice Hotels International, Inc. | 19,700 | | 1,294,290 |
Domino's Pizza, Inc. | 454,400 | | 10,114,944 |
Four Seasons Hotels, Inc. (ltd. vtg.) (d) | 175,500 | | 11,591,136 |
Gaming VC Holdings SA | 181,500 | | 1,827,588 |
Gaylord Entertainment Co. (a) | 52,827 | | 2,455,927 |
Hilton Group PLC | 1,795,398 | | 9,208,132 |
Kerzner International Ltd. (a) | 172,700 | | 9,835,265 |
Las Vegas Sands Corp. (d) | 412,900 | | 14,761,175 |
Life Time Fitness, Inc. | 196,682 | | 6,453,136 |
Marriott International, Inc. Class A | 40,100 | | 2,735,622 |
MGM MIRAGE (a) | 429,500 | | 16,999,610 |
P.F. Chang's China Bistro, Inc. (a) | 295,700 | | 17,440,386 |
Panera Bread Co. Class A (a) | 847,236 | | 52,600,647 |
Penn National Gaming, Inc. (a) | 352,962 | | 12,883,113 |
Red Robin Gourmet Burgers, Inc. (a) | 381,386 | | 23,638,304 |
Scientific Games Corp. Class A (a) | 101,647 | | 2,737,354 |
Shuffle Master, Inc. (a)(d) | 568,454 | | 15,933,766 |
Starbucks Corp. (a) | 623,900 | | 32,230,674 |
Station Casinos, Inc. | 1,028,700 | | 68,305,680 |
Texas Roadhouse, Inc. Class A | 138,700 | | 4,819,825 |
The Cheesecake Factory, Inc. (a) | 245,436 | | 8,523,992 |
Wendy's International, Inc. | 39,900 | | 1,901,235 |
William Hill PLC | 1,906,742 | | 18,430,991 |
Wynn Resorts Ltd. (a)(d) | 513,846 | | 24,289,500 |
| | 438,030,760 |
Household Durables - 1.0% |
D.R. Horton, Inc. | 425,637 | | 16,008,208 |
Fortune Brands, Inc. | 338,200 | | 30,032,160 |
Harman International Industries, Inc. | 25,400 | | 2,066,544 |
Hovnanian Enterprises, Inc. Class A (a) | 84,700 | | 5,522,440 |
Jarden Corp. (a) | 43,700 | | 2,356,304 |
KB Home | 414,000 | | 31,559,220 |
|
| Shares | | Value (Note 1) |
Tempur-Pedic International, Inc. (a) | 1,099,300 | | $ 24,382,474 |
Toll Brothers, Inc. (a) | 324,400 | | 32,942,820 |
| | 144,870,170 |
Internet & Catalog Retail - 0.1% |
Blue Nile, Inc. | 129,400 | | 4,230,086 |
eBay, Inc. (a) | 195,360 | | 6,448,834 |
IAC/InterActiveCorp (a) | 175,000 | | 4,208,750 |
| | 14,887,670 |
Media - 1.3% |
Citadel Broadcasting Corp. (a) | 100,500 | | 1,150,725 |
Getty Images, Inc. (a) | 236,300 | | 17,547,638 |
Harte-Hanks, Inc. | 111,000 | | 3,300,030 |
McGraw-Hill Companies, Inc. | 236,200 | | 10,451,850 |
News Corp. Class A | 641,784 | | 10,384,065 |
NTL, Inc. (a) | 103,500 | | 7,081,470 |
Pixar (a) | 929,906 | | 46,541,795 |
Rogers Communications, Inc. Class B (non-vtg.) | 413,900 | | 13,580,460 |
SBS Broadcasting SA (a) | 312,200 | | 14,713,986 |
Sirius Satellite Radio, Inc. (a)(d) | 2,951,800 | | 19,127,664 |
Washington Post Co. Class B | 9,627 | | 8,038,834 |
XM Satellite Radio Holdings, Inc.
Class A (a) | 717,222 | | 24,141,693 |
| | 176,060,210 |
Multiline Retail - 0.6% |
Dollar General Corp. | 110,500 | | 2,249,780 |
Marks & Spencer Group PLC | 566,000 | | 3,655,838 |
Nordstrom, Inc. | 267,200 | | 18,161,584 |
Sears Holdings Corp. (a) | 86,100 | | 12,903,807 |
Target Corp. | 858,500 | | 46,710,985 |
| | 83,681,994 |
Specialty Retail - 1.9% |
AC Moore Arts & Crafts, Inc. (a) | 110,030 | | 3,478,048 |
American Eagle Outfitters, Inc. | 233,000 | | 7,141,450 |
bebe Stores, Inc. | 308,500 | | 8,165,995 |
Bed Bath & Beyond, Inc. (a) | 520,577 | | 21,749,707 |
Best Buy Co., Inc. | 115,900 | | 7,944,945 |
Build-A-Bear Workshop, Inc. (d) | 120,900 | | 2,835,105 |
Chico's FAS, Inc. (a) | 1,663,100 | | 57,011,068 |
DSW, Inc. Class A | 15,700 | | 391,715 |
Guitar Center, Inc. (a) | 21,900 | | 1,278,303 |
Halfords Group PLC | 943,366 | | 4,986,175 |
Hennes & Mauritz AB (H&M) (B Shares) | 379,275 | | 13,362,110 |
Inditex SA | 146,100 | | 3,762,366 |
Office Depot, Inc. (a) | 251,000 | | 5,732,840 |
Signet Group PLC | 2,348,926 | | 4,576,821 |
Staples, Inc. | 1,706,800 | | 36,388,976 |
The Children's Place Retail Stores, Inc. (a) | 80,800 | | 3,770,936 |
TJX Companies, Inc. | 933,400 | | 22,728,290 |
Urban Outfitters, Inc. (a) | 935,830 | | 53,052,203 |
Zumiez, Inc. | 6,000 | | 174,900 |
| | 258,531,953 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
CONSUMER DISCRETIONARY - continued |
Textiles, Apparel & Luxury Goods - 0.8% |
Burberry Group PLC | 1,753,511 | | $ 12,692,733 |
Carter's, Inc. (a) | 108,600 | | 6,340,068 |
Coach, Inc. (a) | 2,498,048 | | 83,859,471 |
Delta Woodside Industries, Inc. (a) | 22,175 | | 14,414 |
Hartmarx Corp. (a) | 130,200 | | 1,311,114 |
Phillips-Van Heusen Corp. | 81,800 | | 2,674,042 |
Polo Ralph Lauren Corp. Class A | 75,400 | | 3,250,494 |
Volcom, Inc. | 13,900 | | 372,103 |
| | 110,514,439 |
TOTAL CONSUMER DISCRETIONARY | | 1,353,794,564 |
CONSUMER STAPLES - 6.1% |
Beverages - 0.4% |
Diageo PLC sponsored ADR | 224,800 | | 13,330,640 |
PepsiCo, Inc. | 679,010 | | 36,619,009 |
| | 49,949,649 |
Food & Staples Retailing - 1.6% |
Sysco Corp. | 1,558,800 | | 56,412,972 |
Tesco PLC | 3,397,590 | | 19,403,785 |
United Natural Foods, Inc. (a) | 343,252 | | 10,424,563 |
Wal-Mart de Mexico SA de CV Series V | 1,371,198 | | 5,573,317 |
Walgreen Co. | 1,259,990 | | 57,946,940 |
Whole Foods Market, Inc. | 580,907 | | 68,721,298 |
| | 218,482,875 |
Food Products - 0.8% |
Hershey Co. | 519,300 | | 32,248,530 |
Kellogg Co. | 536,100 | | 23,824,284 |
Nestle SA (Reg.) | 53,262 | | 13,630,817 |
TreeHouse Foods, Inc. (a) | 165,300 | | 4,712,703 |
Wm. Wrigley Jr. Co. | 494,300 | | 34,027,612 |
| | 108,443,946 |
Household Products - 0.5% |
Colgate-Palmolive Co. | 753,600 | | 37,612,176 |
Procter & Gamble Co. | 576,500 | | 30,410,375 |
| | 68,022,551 |
Personal Products - 2.8% |
Avon Products, Inc. | 6,699,956 | | 253,593,335 |
Gillette Co. | 2,788,100 | | 141,161,503 |
Herbalife Ltd. | 65,400 | | 1,413,294 |
| | 396,168,132 |
TOTAL CONSUMER STAPLES | | 841,067,153 |
ENERGY - 13.8% |
Energy Equipment & Services - 1.1% |
Halliburton Co. | 627,600 | | 30,011,832 |
Schlumberger Ltd. (NY Shares) | 1,116,400 | | 84,779,416 |
|
| Shares | | Value (Note 1) |
Smith International, Inc. | 456,575 | | $ 29,083,828 |
Tenaris SA sponsored ADR | 37,000 | | 2,895,990 |
| | 146,771,066 |
Oil, Gas & Consumable Fuels - 12.7% |
Anadarko Petroleum Corp. | 22,800 | | 1,873,020 |
Apache Corp. | 761,380 | | 49,185,148 |
Arch Coal, Inc. | 135,000 | | 7,353,450 |
BG Group PLC sponsored ADR | 87,500 | | 3,640,000 |
Bill Barrett Corp. | 271,300 | | 8,025,054 |
Blackrock Ventures, Inc. (a) | 2,270,000 | | 18,268,201 |
BP PLC sponsored ADR | 2,300,932 | | 143,532,138 |
Burlington Resources, Inc. | 980,180 | | 54,145,143 |
Cairn Energy PLC (a) | 112,091 | | 2,707,235 |
China Petroleum & Chemical Corp. sponsored ADR | 574,940 | | 22,434,159 |
CONSOL Energy, Inc. | 576,500 | | 30,888,870 |
Devon Energy Corp. | 563,400 | | 28,553,112 |
EnCana Corp. | 10,266,684 | | 404,985,992 |
Encore Acquisition Co. (a) | 368,828 | | 15,121,948 |
Energy Partners Ltd. (a) | 42,700 | | 1,119,167 |
ENI Spa sponsored ADR | 122,800 | | 15,742,960 |
EOG Resources, Inc. | 1,109,200 | | 63,002,560 |
Exxon Mobil Corp. | 3,427,100 | | 196,955,437 |
Forest Oil Corp. (a) | 55,400 | | 2,326,800 |
Imperial Oil Ltd. | 231,800 | | 19,301,531 |
Mariner Energy, Inc. (e) | 527,600 | | 7,518,300 |
McMoRan Exploration Co. (a)(d) | 109,300 | | 2,132,443 |
Murphy Oil Corp. | 2,478,200 | | 129,436,386 |
Newfield Exploration Co. (a) | 178,000 | | 7,100,420 |
Noble Energy, Inc. | 328,912 | | 24,882,193 |
Occidental Petroleum Corp. | 88,300 | | 6,792,919 |
Peabody Energy Corp. | 542,300 | | 28,221,292 |
PetroChina Co. Ltd. sponsored ADR (d) | 629,000 | | 46,200,050 |
Plains Exploration & Production Co. (a) | 66,400 | | 2,359,192 |
Premcor, Inc. | 1,949,126 | | 144,586,167 |
Quicksilver Resources, Inc. (a) | 524,900 | | 33,556,857 |
Range Resources Corp. | 215,100 | | 5,786,190 |
Sasol Ltd. | 344,900 | | 9,377,131 |
Talisman Energy, Inc. | 639,060 | | 23,941,278 |
Total SA sponsored ADR | 768,600 | | 89,810,910 |
Ultra Petroleum Corp. (a) | 220,600 | | 6,697,416 |
Valero Energy Corp. | 895,740 | | 70,861,991 |
XTO Energy, Inc. | 1,081,200 | | 36,749,988 |
| | 1,765,173,048 |
TOTAL ENERGY | | 1,911,944,114 |
FINANCIALS - 14.2% |
Capital Markets - 1.1% |
Charles Schwab Corp. | 2,005,000 | | 22,616,400 |
Goldman Sachs Group, Inc. | 374,600 | | 38,216,692 |
Greenhill & Co., Inc. | 36,900 | | 1,494,819 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
FINANCIALS - continued |
Capital Markets - continued |
Janus Capital Group, Inc. | 339,500 | | $ 5,106,080 |
Lazard Ltd. Class A | 161,600 | | 3,757,200 |
Legg Mason, Inc. | 284,100 | | 29,577,651 |
Lehman Brothers Holdings, Inc. | 550,200 | | 54,623,856 |
Morgan Stanley | 43,800 | | 2,298,186 |
| | 157,690,884 |
Commercial Banks - 1.2% |
Allied Irish Banks PLC | 432,100 | | 9,279,348 |
HDFC Bank Ltd. | 163,994 | | 2,399,273 |
HSBC Holdings PLC sponsored ADR | 206,117 | | 16,417,219 |
M&T Bank Corp. | 705,600 | | 74,200,896 |
Marshall & Ilsley Corp. | 96,700 | | 4,298,315 |
Wachovia Corp. | 93,049 | | 4,615,230 |
Wells Fargo & Co. | 767,600 | | 47,268,808 |
Westcorp | 63,500 | | 3,328,670 |
| | 161,807,759 |
Consumer Finance - 1.2% |
American Express Co. | 1,046,950 | | 55,729,149 |
SLM Corp. | 2,113,100 | | 107,345,480 |
| | 163,074,629 |
Diversified Financial Services - 0.6% |
Archipelago Holdings, Inc. | 140,125 | | 5,453,665 |
Brascan Corp. Class A (ltd. vtg.) | 243,900 | | 9,316,454 |
Chicago Mercantile Exchange Holdings, Inc. Class A | 24,400 | | 7,210,200 |
Moody's Corp. | 1,401,000 | | 62,988,960 |
| | 84,969,279 |
Insurance - 8.3% |
ACE Ltd. | 409,400 | | 18,361,590 |
AFLAC, Inc. | 493,400 | | 21,354,352 |
Allstate Corp. | 2,439,900 | | 145,784,025 |
American International Group, Inc. | 2,073,114 | | 120,447,923 |
Assurant, Inc. | 947,450 | | 34,202,945 |
Berkshire Hathaway, Inc. Class A (a) | 3,915 | | 326,902,500 |
Brit Insurance Holdings PLC | 3,985,600 | | 6,319,785 |
Endurance Specialty Holdings Ltd. | 358,100 | | 13,543,342 |
Everest Re Group Ltd. | 879,980 | | 81,838,140 |
Fidelity National Financial, Inc. | 92,300 | | 3,294,187 |
Genworth Financial, Inc. Class A (non-vtg.) | 297,400 | | 8,990,402 |
HCC Insurance Holdings, Inc. | 289,500 | | 10,963,365 |
IPC Holdings Ltd. | 127,100 | | 5,035,702 |
Markel Corp. (a) | 29,750 | | 10,085,250 |
Marsh & McLennan Companies, Inc. | 21,900 | | 606,630 |
Mercury General Corp. | 251,400 | | 13,706,328 |
MetLife, Inc. | 1,011,600 | | 45,461,304 |
MetLife, Inc. unit | 909,684 | | 23,851,914 |
Montpelier Re Holdings Ltd. | 1,449,200 | | 50,113,336 |
PartnerRe Ltd. | 395,800 | | 25,497,436 |
Platinum Underwriters Holdings Ltd. | 177,900 | | 5,660,778 |
|
| Shares | | Value (Note 1) |
Progressive Corp. | 336,700 | | $ 33,269,327 |
Prudential Financial, Inc. | 498,300 | | 32,718,378 |
RenaissanceRe Holdings Ltd. | 767,565 | | 37,794,901 |
StanCorp Financial Group, Inc. | 108,600 | | 8,316,588 |
The Chubb Corp. | 270,500 | | 23,157,505 |
W.R. Berkley Corp. | 768,375 | | 27,415,620 |
White Mountains Insurance Group Ltd. | 18,667 | | 11,777,010 |
| | 1,146,470,563 |
Real Estate - 0.9% |
CB Richard Ellis Group, Inc. Class A | 678,100 | | 29,741,466 |
CBL & Associates Properties, Inc. | 434,142 | | 18,698,496 |
Crescent Real Estate Equities Co. | 131,100 | | 2,458,125 |
Equity Office Properties Trust | 391,400 | | 12,955,340 |
Equity Residential (SBI) | 192,900 | | 7,102,578 |
General Growth Properties, Inc. | 315,100 | | 12,947,459 |
Global Signal, Inc. | 218,400 | | 8,222,760 |
KKR Financial Corp. (e) | 338,400 | | 3,468,600 |
KKR Financial Corp. | 45,100 | | 1,127,500 |
Vornado Realty Trust | 339,100 | | 27,263,640 |
| | 123,985,964 |
Thrifts & Mortgage Finance - 0.9% |
Golden West Financial Corp., Delaware | 2,011,200 | | 129,481,056 |
Hudson City Bancorp, Inc. | 250,000 | | 2,852,500 |
| | 132,333,556 |
TOTAL FINANCIALS | | 1,970,332,634 |
HEALTH CARE - 14.2% |
Biotechnology - 3.3% |
Affymetrix, Inc. (a) | 112,700 | | 6,077,911 |
Amgen, Inc. (a) | 164,100 | | 9,921,486 |
Celgene Corp. (a) | 205,700 | | 8,386,389 |
Genentech, Inc. (a) | 4,757,100 | | 381,899,988 |
Gilead Sciences, Inc. (a) | 758,100 | | 33,348,819 |
Idenix Pharmaceuticals, Inc. | 254,800 | | 5,524,064 |
Invitrogen Corp. (a) | 39,600 | | 3,298,284 |
MannKind Corp. (d) | 166,888 | | 1,677,224 |
Protein Design Labs, Inc. (a) | 120 | | 2,425 |
Seattle Genetics, Inc. (a) | 712,300 | | 3,817,928 |
Techne Corp. (a) | 130,379 | | 5,985,700 |
ViaCell, Inc. | 196,800 | | 2,095,920 |
| | 462,036,138 |
Health Care Equipment & Supplies - 3.9% |
Advanced Neuromodulation Systems, Inc. (a) | 436,550 | | 17,322,304 |
Alcon, Inc. | 839,500 | | 91,799,325 |
American Medical Systems Holdings, Inc. (a) | 451,800 | | 9,329,670 |
Aspect Medical Systems, Inc. (a) | 105,400 | | 3,134,596 |
Bausch & Lomb, Inc. | 42,700 | | 3,544,100 |
Bio-Rad Laboratories, Inc. Class A (a) | 63,200 | | 3,742,072 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
HEALTH CARE - continued |
Health Care Equipment & Supplies - continued |
C.R. Bard, Inc. | 551,200 | | $ 36,660,312 |
Cooper Companies, Inc. | 51,332 | | 3,124,066 |
DENTSPLY International, Inc. | 1,722,162 | | 92,996,748 |
Fisher Scientific International, Inc. (a) | 390,847 | | 25,365,970 |
Foxhollow Technologies, Inc. (d) | 353,300 | | 13,520,791 |
Gen-Probe, Inc. (a) | 610,900 | | 22,132,907 |
IDEXX Laboratories, Inc. (a) | 243,570 | | 15,181,718 |
Immucor, Inc. (a) | 32,800 | | 949,560 |
IntraLase Corp. | 244,600 | | 4,799,052 |
Intuitive Surgical, Inc. (a) | 458,800 | | 21,398,432 |
Kinetic Concepts, Inc. (a) | 381,500 | | 22,890,000 |
Kyphon, Inc. (a) | 170,200 | | 5,921,258 |
Laserscope, Inc. (a) | 43,800 | | 1,815,072 |
Medtronic, Inc. | 584,940 | | 30,294,043 |
Mentor Corp. | 158,500 | | 6,574,580 |
Neurometrix, Inc. | 43,800 | | 877,314 |
Nobel Biocare Holding AG (Switzerland) | 51,316 | | 10,410,143 |
NuVasive, Inc. | 179,337 | | 2,980,581 |
Smith & Nephew PLC | 674,786 | | 6,668,235 |
St. Jude Medical, Inc. (a) | 1,031,852 | | 44,999,066 |
Syneron Medical Ltd. | 70,000 | | 2,561,300 |
Synthes, Inc. | 284,101 | | 31,188,710 |
Ventana Medical Systems, Inc. (a) | 239,400 | | 9,631,062 |
Waters Corp. (a) | 94,948 | | 3,529,217 |
| | 545,342,204 |
Health Care Providers & Services - 4.1% |
Advisory Board Co. (a) | 55,700 | | 2,714,818 |
Aetna, Inc. | 2,003,300 | | 165,913,306 |
American Healthways, Inc. (a) | 390,600 | | 16,510,662 |
Caremark Rx, Inc. (a) | 393,400 | | 17,514,168 |
DaVita, Inc. (a) | 57,800 | | 2,628,744 |
Express Scripts, Inc. (a) | 43,800 | | 2,189,124 |
HCA, Inc. | 117,200 | | 6,641,724 |
Health Net, Inc. (a) | 164,800 | | 6,288,768 |
Matria Healthcare, Inc. (a) | 138,750 | | 4,471,913 |
Merge Technologies, Inc. (a) | 350,000 | | 6,562,500 |
Patterson Companies, Inc. (a) | 3,501,504 | | 157,847,800 |
UnitedHealth Group, Inc. | 2,815,860 | | 146,818,940 |
VCA Antech, Inc. (a) | 226,800 | | 5,499,900 |
WebMD Corp. (a) | 91,597 | | 940,701 |
WellPoint, Inc. (a) | 405,100 | | 28,211,164 |
| | 570,754,232 |
Pharmaceuticals - 2.9% |
Abbott Laboratories | 246,100 | | 12,061,361 |
American Pharmaceutical Partners, Inc. (a) | 54,700 | | 2,256,375 |
Barr Pharmaceuticals, Inc. (a) | 21,900 | | 1,067,406 |
Cypress Bioscience, Inc. (a) | 226,000 | | 2,983,200 |
IVAX Corp. (a) | 174,900 | | 3,760,350 |
Johnson & Johnson | 965,250 | | 62,741,250 |
|
| Shares | | Value (Note 1) |
Kos Pharmaceuticals, Inc. (a) | 21,900 | | $ 1,434,450 |
Novartis AG sponsored ADR | 903,800 | | 42,876,272 |
Novo Nordisk AS Series B | 1,089,274 | | 55,461,926 |
Pfizer, Inc. | 265 | | 7,309 |
Roche Holding AG (participation certificate) | 1,153,763 | | 146,015,182 |
Sanofi-Aventis sponsored ADR | 345,700 | | 14,170,243 |
Schering-Plough Corp. | 2,244,700 | | 42,783,982 |
Sepracor, Inc. (a) | 54,600 | | 3,276,546 |
Shire Pharmaceuticals Group PLC sponsored ADR | 7,500 | | 246,000 |
Teva Pharmaceutical Industries Ltd. sponsored ADR | 187,200 | | 5,829,408 |
| | 396,971,260 |
TOTAL HEALTH CARE | | 1,975,103,834 |
INDUSTRIALS - 8.6% |
Aerospace & Defense - 0.8% |
L-3 Communications Holdings, Inc. | 102,500 | | 7,849,450 |
Lockheed Martin Corp. | 1,280,735 | | 83,081,279 |
Precision Castparts Corp. | 105,486 | | 8,217,359 |
Rockwell Collins, Inc. | 90,500 | | 4,315,040 |
United Technologies Corp. | 260,400 | | 13,371,540 |
| | 116,834,668 |
Air Freight & Logistics - 0.5% |
C.H. Robinson Worldwide, Inc. | 1,227,313 | | 71,429,617 |
Airlines - 0.6% |
JetBlue Airways Corp. (a) | 573,739 | | 11,727,225 |
Ryanair Holdings PLC sponsored ADR (a) | 1,491,451 | | 66,876,663 |
Southwest Airlines Co. | 146,400 | | 2,039,352 |
| | 80,643,240 |
Commercial Services & Supplies - 0.5% |
Aramark Corp. Class B | 1,042,250 | | 27,515,400 |
Corporate Executive Board Co. | 62,100 | | 4,864,293 |
Equifax, Inc. | 182,600 | | 6,520,646 |
PeopleSupport, Inc. | 60,984 | | 556,174 |
PHH Corp. (a) | 87,500 | | 2,250,500 |
Resources Connection, Inc. (a) | 698,900 | | 16,235,447 |
Robert Half International, Inc. | 418,800 | | 10,457,436 |
Services Acquisition Corp. International unit (a) | 35,700 | | 285,600 |
| | 68,685,496 |
Construction & Engineering - 0.2% |
Jacobs Engineering Group, Inc. (a) | 375,820 | | 21,143,633 |
URS Corp. (a) | 161,300 | | 6,024,555 |
| | 27,168,188 |
Electrical Equipment - 0.6% |
American Power Conversion Corp. | 479,000 | | 11,299,610 |
Cooper Industries Ltd. Class A | 872,900 | | 55,778,310 |
Evergreen Solar, Inc. (a) | 80,220 | | 515,815 |
Motech Industries, Inc. | 502,000 | | 7,115,959 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INDUSTRIALS - continued |
Electrical Equipment - continued |
Roper Industries, Inc. | 44,800 | | $ 3,197,376 |
Ultralife Batteries, Inc. (a) | 306,920 | | 4,956,758 |
| | 82,863,828 |
Industrial Conglomerates - 2.2% |
3M Co. | 3,569,120 | | 258,047,376 |
Carlisle Companies, Inc. | 110,300 | | 7,569,889 |
General Electric Co. | 216,100 | | 7,487,865 |
Hutchison Whampoa Ltd. | 2,107,000 | | 19,047,323 |
Siemens AG sponsored ADR | 126,100 | | 9,161,165 |
| | 301,313,618 |
Machinery - 2.7% |
A.S.V., Inc. (a) | 163,164 | | 6,614,669 |
Bucyrus International, Inc. Class A | 244,100 | | 9,270,918 |
Caterpillar, Inc. | 371,700 | | 35,426,727 |
Cummins, Inc. | 364,400 | | 27,187,884 |
Danaher Corp. (d) | 2,790,760 | | 146,068,378 |
IDEX Corp. | 26,800 | | 1,034,748 |
Ingersoll-Rand Co. Ltd. Class A | 70,200 | | 5,008,770 |
Joy Global, Inc. | 722,902 | | 24,282,278 |
PACCAR, Inc. | 1,209,244 | | 82,228,592 |
Volvo AB sponsored ADR | 874,300 | | 35,458,985 |
| | 372,581,949 |
Road & Rail - 0.4% |
Canadian National Railway Co. | 378,600 | | 21,840,882 |
Heartland Express, Inc. | 526,341 | | 10,226,806 |
Knight Transportation, Inc. | 373,120 | | 9,078,010 |
Landstar System, Inc. (a) | 689,894 | | 20,779,607 |
Yellow Roadway Corp. (a) | 730 | | 37,084 |
| | 61,962,389 |
Trading Companies & Distributors - 0.1% |
Fastenal Co. | 166,212 | | 10,182,147 |
Mitsui & Co. Ltd. | 444,000 | | 4,203,598 |
| | 14,385,745 |
Transportation Infrastructure - 0.0% |
International Shipping Enterprises, Inc. unit | 164,750 | | 1,186,200 |
TOTAL INDUSTRIALS | | 1,199,054,938 |
INFORMATION TECHNOLOGY - 14.0% |
Communications Equipment - 0.9% |
Comverse Technology, Inc. (a) | 835,300 | | 19,754,845 |
ECI Telecom Ltd. (a) | 480,500 | | 3,988,150 |
Foxconn International Holdings Ltd. | 3,533,000 | | 2,636,906 |
Harris Corp. | 806,500 | | 25,170,865 |
Ixia (a) | 355,500 | | 6,910,920 |
Motorola, Inc. | 134,700 | | 2,459,622 |
Nokia Corp. sponsored ADR | 1,071,300 | | 17,826,432 |
|
| Shares | | Value (Note 1) |
QUALCOMM, Inc. | 1,375,800 | | $ 45,415,158 |
TomTom Group BV | 130,300 | | 2,860,361 |
| | 127,023,259 |
Computers & Peripherals - 1.5% |
Apple Computer, Inc. (a) | 2,302,400 | | 84,751,344 |
Dell, Inc. (a) | 1,186,642 | | 46,884,225 |
EMC Corp. (a) | 813,500 | | 11,153,085 |
Hewlett-Packard Co. | 1,681,600 | | 39,534,416 |
Logitech International SA sponsored ADR (a) | 28,700 | | 1,830,486 |
Network Appliance, Inc. (a) | 541,200 | | 15,299,724 |
Seagate Technology | 303,300 | | 5,322,915 |
| | 204,776,195 |
Electronic Equipment & Instruments - 0.8% |
Amphenol Corp. Class A | 502,200 | | 20,173,374 |
Cogent, Inc. | 239,820 | | 6,846,861 |
FARO Technologies, Inc. (a) | 176,400 | | 4,808,664 |
FLIR Systems, Inc. (a) | 1,623,300 | | 48,439,272 |
Hon Hai Precision Industries Co. Ltd. | 5,444,200 | | 28,273,746 |
Nidec Corp. | 18,600 | | 1,968,928 |
Trimble Navigation Ltd. (a) | 169,000 | | 6,585,930 |
Xyratex Ltd. | 94,639 | | 1,467,851 |
| | 118,564,626 |
Internet Software & Services - 4.1% |
Akamai Technologies, Inc. (a) | 1,203,983 | | 15,808,297 |
aQuantive, Inc. (a) | 155,000 | | 2,746,600 |
Equinix, Inc. (a) | 19,547 | | 847,167 |
Google, Inc. Class A (sub. vtg.) | 944,243 | | 277,749,078 |
Marchex, Inc. Class B (a)(d) | 361,755 | | 5,440,795 |
Openwave Systems, Inc. (a) | 217,527 | | 3,567,443 |
VeriSign, Inc. (a) | 110,596 | | 3,180,741 |
Websense, Inc. (a) | 204,583 | | 9,830,213 |
Yahoo!, Inc. (a) | 7,242,996 | | 250,969,811 |
| | 570,140,145 |
IT Services - 2.0% |
Alliance Data Systems Corp. (a) | 522,400 | | 21,188,544 |
Anteon International Corp. (a) | 480,900 | | 21,938,658 |
Cognizant Technology Solutions Corp. Class A (a) | 1,601,996 | | 75,502,071 |
Fiserv, Inc. (a) | 259,600 | | 11,149,820 |
Global Payments, Inc. | 74,200 | | 5,030,760 |
Infosys Technologies Ltd. sponsored ADR | 1,119,100 | | 86,696,677 |
Ness Technologies, Inc. | 387,245 | | 4,112,542 |
SRA International, Inc. Class A (a) | 1,209,800 | | 42,004,256 |
VeriFone Holdings, Inc. | 147,000 | | 2,388,750 |
Wright Express Corp. | 167,600 | | 3,095,572 |
| | 273,107,650 |
Office Electronics - 0.1% |
Canon, Inc. | 43,800 | | 2,305,194 |
Zebra Technologies Corp. Class A (a) | 182,670 | | 7,999,119 |
| | 10,304,313 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INFORMATION TECHNOLOGY - continued |
Semiconductors & Semiconductor Equipment - 3.1% |
Analog Devices, Inc. | 451,600 | | $ 16,849,196 |
Broadcom Corp. Class A (a) | 407,500 | | 14,470,325 |
FormFactor, Inc. (a) | 110,200 | | 2,911,484 |
International Rectifier Corp. (a) | 461,200 | | 22,008,464 |
Lam Research Corp. (a) | 42,900 | | 1,241,526 |
Marvell Technology Group Ltd. (a) | 5,131,200 | | 195,190,848 |
Microchip Technology, Inc. | 104,280 | | 3,088,774 |
Samsung Electronics Co. Ltd. | 347,190 | | 165,792,111 |
SigmaTel, Inc. (a) | 118,900 | | 2,040,324 |
Tessera Technologies, Inc. (a) | 188,700 | | 6,304,467 |
Volterra Semiconductor Corp. | 105,800 | | 1,575,362 |
| | 431,472,881 |
Software - 1.5% |
Activision, Inc. (a) | 1,909,104 | | 31,538,398 |
Adobe Systems, Inc. | 1,525,896 | | 43,671,144 |
Altiris, Inc. (a) | 761,839 | | 11,183,797 |
Autodesk, Inc. | 579,822 | | 19,928,482 |
Blackboard, Inc. | 26,336 | | 629,957 |
Check Point Software Technologies Ltd. (a) | 44,100 | | 873,180 |
Cognos, Inc. (a) | 405,750 | | 13,856,170 |
FileNET Corp. (a) | 248,762 | | 6,253,877 |
Kronos, Inc. (a) | 150,806 | | 6,091,054 |
McAfee, Inc. (a) | 85,300 | | 2,233,154 |
MICROS Systems, Inc. (a) | 32,895 | | 1,472,051 |
Microsoft Corp. | 244,900 | | 6,083,316 |
NAVTEQ Corp. | 729,000 | | 27,104,220 |
NDS Group PLC sponsored ADR (a) | 75,100 | | 2,502,332 |
Quality Systems, Inc. (d) | 79,947 | | 3,787,889 |
Salesforce.com, Inc. | 84,400 | | 1,728,512 |
SAP AG sponsored ADR | 54,700 | | 2,368,510 |
Symantec Corp. (a) | 891,098 | | 19,372,471 |
Take-Two Interactive Software, Inc. (a) | 150,000 | | 3,817,500 |
THQ, Inc. (a) | 78,200 | | 2,288,914 |
| | 206,784,928 |
TOTAL INFORMATION TECHNOLOGY | | 1,942,173,997 |
MATERIALS - 6.8% |
Chemicals - 1.4% |
Bayer AG | 201,000 | | 6,689,280 |
Celanese Corp. Class A | 622,500 | | 9,891,525 |
Crompton Corp. | 582,100 | | 8,236,715 |
Dow Chemical Co. | 401,500 | | 17,878,795 |
Ecolab, Inc. | 1,696,800 | | 54,908,448 |
Great Lakes Chemical Corp. | 303,200 | | 9,541,704 |
Monsanto Co. | 16,400 | | 1,031,068 |
Nalco Holding Co. | 596,200 | | 11,703,406 |
|
| Shares | | Value (Note 1) |
Potash Corp. of Saskatchewan | 377,500 | | $ 36,033,811 |
Praxair, Inc. | 756,400 | | 35,248,240 |
Rohm & Haas Co. | 147,400 | | 6,830,516 |
Westlake Chemical Corp. | 66,600 | | 1,631,700 |
| | 199,625,208 |
Construction Materials - 0.4% |
Cemex SA de CV sponsored ADR | 72,200 | | 3,062,724 |
Eagle Materials, Inc. | 147,800 | | 13,684,802 |
Florida Rock Industries, Inc. | 86,500 | | 6,344,775 |
Headwaters, Inc. (a) | 43,800 | | 1,505,844 |
Lafarge North America, Inc. | 45,658 | | 2,850,886 |
Lafarge SA (Bearer) | 67,200 | | 6,127,619 |
Martin Marietta Materials, Inc. | 14,400 | | 995,328 |
Rinker Group Ltd. | 1,193,165 | | 12,722,838 |
| | 47,294,816 |
Containers & Packaging - 0.2% |
Owens-Illinois, Inc. (a) | 1,297,984 | | 32,514,499 |
Peak International Ltd. (a) | 200,000 | | 778,000 |
| | 33,292,499 |
Metals & Mining - 4.8% |
Aber Diamond Corp. (d) | 532,250 | | 16,290,708 |
African Platinum PLC (a) | 3,705,158 | | 1,477,073 |
Anglo American PLC ADR | 1,386,872 | | 32,591,492 |
Bema Gold Corp. (a) | 1,874,200 | | 4,451,454 |
BHP Billiton Ltd. sponsored ADR | 2,782,300 | | 75,956,790 |
Carpenter Technology Corp. | 262,900 | | 13,618,220 |
Companhia Vale do Rio Doce sponsored ADR | 1,016,300 | | 29,757,264 |
Compania de Minas Buenaventura SA sponsored ADR | 523,600 | | 12,037,564 |
Compass Minerals International, Inc. | 430,100 | | 10,064,340 |
Eldorado Gold Corp. (a) | 1,844,900 | | 4,893,834 |
First Quantum Minerals Ltd. | 457,700 | | 8,072,884 |
Freeport-McMoRan Copper & Gold, Inc. Class B | 247,034 | | 9,248,953 |
Gabriel Resources Ltd. (a) | 2,171,800 | | 2,800,722 |
Gerdau SA sponsored ADR | 510,450 | | 4,966,679 |
Glamis Gold Ltd. (a) | 2,166,900 | | 37,105,421 |
Goldcorp, Inc. | 4,131,266 | | 65,718,556 |
IPSCO, Inc. | 769,000 | | 33,529,203 |
Ivanhoe Mines Ltd. (a) | 1,355,700 | | 10,534,006 |
Lionore Mining International Ltd. (a) | 1,329,000 | | 6,822,894 |
Newcrest Mining Ltd. | 644,400 | | 8,530,230 |
Newmont Mining Corp. | 2,763,951 | | 107,877,008 |
Nucor Corp. | 892,500 | | 40,715,850 |
POSCO sponsored ADR | 699,400 | | 30,752,618 |
Rio Tinto PLC (Reg.) | 1,726,269 | | 52,616,679 |
Shore Gold, Inc. (a) | 329,800 | | 1,318,985 |
Teck Cominco Ltd. Class B (sub. vtg.) | 581,200 | | 19,610,519 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
MATERIALS - continued |
Metals & Mining - continued |
United States Steel Corp. | 136,700 | | $ 4,698,379 |
Xstrata PLC | 606,800 | | 11,709,182 |
| | 657,767,507 |
TOTAL MATERIALS | | 937,980,030 |
TELECOMMUNICATION SERVICES - 3.5% |
Diversified Telecommunication Services - 0.0% |
NeuStar, Inc. Class A | 94,500 | | 2,419,200 |
Wireless Telecommunication Services - 3.5% |
America Movil SA de CV Series L sponsored ADR | 2,514,000 | | 149,859,540 |
American Tower Corp. Class A (a) | 163,000 | | 3,426,260 |
Nextel Communications, Inc. Class A (a) | 3,720,000 | | 120,193,200 |
Nextel Partners, Inc. Class A (a) | 2,676,000 | | 67,354,920 |
NII Holdings, Inc. (a) | 1,092,153 | | 69,832,263 |
SpectraSite, Inc. (a) | 30,400 | | 2,262,672 |
Vodafone Group PLC sponsored ADR | 2,366,900 | | 57,563,008 |
Western Wireless Corp. Class A (a) | 299,500 | | 12,668,850 |
| | 483,160,713 |
TOTAL TELECOMMUNICATION SERVICES | | 485,579,913 |
UTILITIES - 1.1% |
Electric Utilities - 0.4% |
Entergy Corp. | 249,835 | | 18,875,034 |
Exelon Corp. | 372,585 | | 19,124,788 |
PG&E Corp. | 484,300 | | 18,180,622 |
| | 56,180,444 |
Gas Utilities - 0.2% |
Questar Corp. | 190,500 | | 12,553,950 |
Southern Union Co. | 634,645 | | 15,580,535 |
| | 28,134,485 |
Independent Power Producers & Energy Traders - 0.4% |
AES Corp. (a) | 540,000 | | 8,845,200 |
Duke Energy Corp. | 964,607 | | 28,677,766 |
NRG Energy, Inc. (a) | 135,800 | | 5,106,080 |
TXU Corp. | 224,900 | | 18,686,941 |
| | 61,315,987 |
|
| Shares | | Value (Note 1) |
Multi-Utilities - 0.1% |
CMS Energy Corp. (a) | 162,800 | | $ 2,451,768 |
Public Service Enterprise Group, Inc. | 76,500 | | 4,652,730 |
| | 7,104,498 |
TOTAL UTILITIES | | 152,735,414 |
TOTAL COMMON STOCKS (Cost $8,930,382,866) | 12,769,766,591 |
Corporate Bonds - 0.2% |
| Principal Amount | | |
Convertible Bonds - 0.1% |
HEALTH CARE - 0.1% |
Biotechnology - 0.1% |
Protein Design Labs, Inc. 2% 2/15/12 (e) | | $ 8,340,000 | | 8,888,939 |
INDUSTRIALS - 0.0% |
Industrial Conglomerates - 0.0% |
Tyco International Group SA yankee 3.125% 1/15/23 | | 3,140,000 | | 4,338,852 |
UTILITIES - 0.0% |
Independent Power Producers & Energy Traders - 0.0% |
AES Corp. 4.5% 8/15/05 | | 2,280,000 | | 2,280,000 |
TOTAL CONVERTIBLE BONDS | | 15,507,791 |
Nonconvertible Bonds - 0.1% |
INDUSTRIALS - 0.0% |
Machinery - 0.0% |
Rexnord Corp. 10.125% 12/15/12 | | 1,675,000 | | 1,834,125 |
TELECOMMUNICATION SERVICES - 0.1% |
Diversified Telecommunication Services - 0.1% |
Cable & Wireless International Finance 8.625% 3/25/19 | GBP | 1,160,000 | | 2,249,838 |
TOTAL NONCONVERTIBLE BONDS | | 4,083,963 |
TOTAL CORPORATE BONDS (Cost $19,412,794) | 19,591,754 |
U.S. Treasury Obligations - 1.7% |
|
U.S. Treasury Bonds 5.375% 2/15/31 | | $ 30,800,000 | | 36,344,000 |
U.S. Treasury Notes: | | | | |
4.25% 8/15/13 | | 55,175,000 | | 56,554,375 |
4.25% 11/15/13 | | 55,850,000 | | 57,213,522 |
U.S. Treasury Obligations - continued |
| Principal Amount | | Value (Note 1) |
U.S. Treasury Notes: - continued | | | | |
4.25% 8/15/14 | | $ 29,700,000 | | $ 30,410,008 |
4.75% 5/15/14 | | 52,600,000 | | 55,813,544 |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $225,871,696) | 236,335,449 |
Floating Rate Loans - 0.0% |
|
CONSUMER DISCRETIONARY - 0.0% |
Media - 0.0% |
Charter Communications Operating LLC Tranche B, term loan 6.44% 4/7/11 (f) | | 2,174,509 | | 2,155,482 |
TOTAL FLOATING RATE LOANS (Cost $2,136,922) | 2,155,482 |
Money Market Funds - 7.7% |
| | Shares | | |
Fidelity Cash Central Fund, 3.21% (b) | | 859,108,702 | | 859,108,702 |
Fidelity Securities Lending Cash Central Fund, 3.23% (b)(c) | | 207,582,219 | | 207,582,219 |
TOTAL MONEY MARKET FUNDS (Cost $1,066,690,921) | | 1,066,690,921 |
Cash Equivalents - 0.0% |
| | Maturity Amount | | |
Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations, in a joint trading account at 2.91%, dated 6/30/05 due 7/1/05)
(Cost $3,312,000) | | $ 3,312,268 | | 3,312,000 |
TOTAL INVESTMENT
PORTFOLIO - 101.7% (Cost $10,247,807,199) | | | 14,097,852,197 |
NET OTHER ASSETS - (1.7)% | | | (236,010,407) |
NET ASSETS - 100% | | $ 13,861,841,790 |
Currency Abbreviations |
GBP | - | British pound |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent quarter end is available upon request. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $19,875,839 or 0.1% of net assets. |
(f) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 75.8% |
Canada | 5.7% |
Bermuda | 3.6% |
United Kingdom | 2.8% |
Switzerland | 2.3% |
Korea (South) | 1.4% |
Mexico | 1.2% |
Australia | 1.0% |
Others (individually less than 1%) | 6.2% |
| 100.0% |
Income Tax Information |
At December 31, 2004, the fund had a capital loss carryforward of approximately $704,454,440 of which $40,895,453 and $663,558,987 will expire on December 31, 2009 and 2010, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Contrafund Portfolio
Financial Statements
Statement of Assets and Liabilities
| June 30, 2005 (Unaudited) |
Assets | | |
Investment in securities, at value (including securities loaned of $200,737,010 and repurchase agreements of $3,312,000) (cost $10,247,807,199) - See accompanying schedule | | $ 14,097,852,197 |
Cash | | 483,418 |
Foreign currency held at value (cost $1,770,972) | | 1,767,665 |
Receivable for investments sold | | 33,971,927 |
Receivable for fund shares sold | | 8,171,403 |
Dividends receivable | | 11,482,353 |
Interest receivable | | 4,727,751 |
Prepaid expenses | | 24,344 |
Other affiliated receivables | | 15,777 |
Other receivables | | 1,874,016 |
Total assets | | 14,160,370,851 |
Liabilities | | |
Payable for investments purchased | $ 74,027,197 | |
Payable for fund shares redeemed | 7,348,861 | |
Accrued management fee | 6,582,024 | |
Distribution fees payable | 605,756 | |
Other affiliated payables | 998,397 | |
Other payables and accrued expenses | 1,384,607 | |
Collateral on securities loaned, at value | 207,582,219 | |
Total liabilities | | 298,529,061 |
Net Assets | | $ 13,861,841,790 |
Net Assets consist of: | | |
Paid in capital | | $ 10,351,454,777 |
Undistributed net investment income | | 44,465,296 |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | | (384,082,620) |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | | 3,850,004,337 |
Net Assets | | $ 13,861,841,790 |
Initial Class:
Net Asset Value, offering price and redemption price per share ($9,625,571,281 ÷ 350,197,517 shares) | | $ 27.49 |
| | |
Service Class:
Net Asset Value, offering price and redemption price per share ($2,098,698,643 ÷ 76,571,285 shares) | | $ 27.41 |
| | |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($2,125,552,754 ÷ 78,091,735 shares) | | $ 27.22 |
| | |
Service Class 2R:
Net Asset Value, offering price and redemption price per share ($12,019,112 ÷ 442,769 shares) | | $ 27.15 |
Statement of Operations
| Six months ended June 30, 2005 (Unaudited) |
| | |
Investment Income | | |
Dividends | | $ 71,425,367 |
Interest | | 19,409,259 |
Security lending | | 2,805,590 |
Total income | | 93,640,216 |
| | |
Expenses | | |
Management fee | $ 37,725,042 | |
Transfer agent fees | 4,400,627 | |
Distribution fees | 3,336,762 | |
Accounting and security lending fees | 794,499 | |
Independent trustees' compensation | 29,495 | |
Appreciation in deferred trustee compensation account | 6,092 | |
Custodian fees and expenses | 455,952 | |
Registration fees | 27,303 | |
Audit | 63,150 | |
Legal | 11,526 | |
Miscellaneous | 235,252 | |
Total expenses before reductions | 47,085,700 | |
Expense reductions | (1,592,677) | 45,493,023 |
Net investment income (loss) | | 48,147,193 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | | |
Investment securities | 338,005,692 | |
Foreign currency transactions | 218,472 | |
Total net realized gain (loss) | | 338,224,164 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 80,713,939 | |
Assets and liabilities in foreign currencies | (102,840) | |
Total change in net unrealized appreciation (depreciation) | | 80,611,099 |
Net gain (loss) | | 418,835,263 |
Net increase (decrease) in net assets resulting from operations | | $ 466,982,456 |
See accompanying notes which are an integral part of the financial statements.
Contrafund Portfolio
Statement of Changes in Net Assets
| Six months ended
June 30, 2005
(Unaudited) | Year ended
December 31,
2004 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income (loss) | $ 48,147,193 | $ 34,455,005 |
Net realized gain (loss) | 338,224,164 | 556,167,741 |
Change in net unrealized appreciation (depreciation) | 80,611,099 | 1,079,025,648 |
Net increase (decrease) in net assets resulting from operations | 466,982,456 | 1,669,648,394 |
Distributions to shareholders from net investment income | (34,307,236) | (33,283,266) |
Distributions to shareholders from net realized gain | (2,452,648) | - |
Total distributions | (36,759,884) | (33,283,266) |
Share transactions - net increase (decrease) | 546,326,598 | 974,982,321 |
Redemption fees | 2,747 | 5,434 |
Total increase (decrease) in net assets | 976,551,917 | 2,611,352,883 |
| | |
Net Assets | | |
Beginning of period | 12,885,289,873 | 10,273,936,990 |
End of period (including undistributed net investment income of $44,465,296 and undistributed net investment income of $30,613,930, respectively) | $ 13,861,841,790 | $ 12,885,289,873 |
Other Information: | | | |
Share Transactions | Six months ended June 30, 2005 (Unaudited) |
| Initial Class | Service Class | Service Class 2 | Service Class 2R |
Shares Sold | 19,444,996 | 6,211,346 | 18,726,651 | 217,296 |
Reinvested | 1,094,903 | 180,935 | 97,538 | 640 |
Redeemed | (13,250,201) | (9,421,877) | (2,922,514) | (44,750) |
Net increase (decrease | 7,289,698 | (3,029,596) | 15,901,675 | 173,186 |
Dollars Sold | $ 517,288,181 | $ 164,803,155 | $ 495,811,697 | $ 5,785,771 |
Reinvested | 29,321,503 | 4,832,764 | 2,588,665 | 16,952 |
Redeemed | (351,701,173) | (244,429,421) | (76,832,231) | (1,159,265) |
Net increase (decrease) | $ 194,908,511 | $ (74,793,502) | $ 421,568,131 | $ 4,643,458 |
| | | | |
Share Transactions | Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 | Service Class 2R |
Shares Sold | 39,676,965 | 15,203,443 | 27,599,342 | 256,799 |
Reinvested | 1,123,479 | 189,967 | 89,389 | 356 |
Redeemed | (29,262,778) | (9,311,680) | (5,203,844) | (105,684) |
Net increase (decrease) | 11,537,666 | 6,081,730 | 22,484,887 | 151,471 |
Dollars Sold | $ 959,621,838 | $ 366,229,990 | $ 660,559,920 | $ 6,150,098 |
Reinvested | 26,671,383 | 4,498,414 | 2,105,112 | 8,357 |
Redeemed | (701,529,337) | (223,414,420) | (123,399,434) | (2,519,600) |
Net increase (decrease) | $ 284,763,884 | $ 147,313,984 | $ 539,265,598 | $ 3,638,855 |
| | | | |
Distributions | Six months ended June 30, 2005 (Unaudited) |
| Initial Class | Service Class | Service Class 2 | Service Class 2R |
From net investment income | $ 27,596,709 | $ 4,430,034 | $ 2,265,082 | $ 15,411 |
From net realized gain | 1,724,794 | 402,730 | 323,583 | 1,541 |
Total | $ 29,321,503 | $ 4,832,764 | $ 2,588,665 | $ 16,952 |
| Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 | Service Class 2R |
From net investment income | $ 26,671,383 | $ 4,498,414 | $ 2,105,112 | $ 8,357 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Initial Class
| Six months ended June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 26.62 | $ 23.13 | $ 18.10 | $ 20.13 | $ 23.75 | $ 29.15 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .10 | .08 | .07 | .10 | .16 | .17 |
Net realized and unrealized gain (loss) | .86 | 3.49 | 5.05 | (1.97) | (3.01) | (1.84) |
Total from investment operations | .96 | 3.57 | 5.12 | (1.87) | (2.85) | (1.67) |
Distributions from net investment income | (.08) | (.08) | (.09) | (.16) | (.17) | (.11) |
Distributions from net realized gain | (.01) | - | - | - | (.60) | (3.62) |
Total distributions | (.09) | (.08) | (.09) | (.16) | (.77) | (3.73) |
Redemption fees added to paid in capital E, G | - | - | - | - | - | - |
Net asset value, end of period | $ 27.49 | $ 26.62 | $ 23.13 | $ 18.10 | $ 20.13 | $ 23.75 |
Total Return B, C, D | 3.60% | 15.48% | 28.46% | (9.35)% | (12.28)% | (6.58)% |
Ratios to Average Net Assets F | | | | | | |
Expenses before expense reductions | .66% A | .68% | .67% | .68% | .68% | .66% |
Expenses net of voluntary waivers, if any | .66% A | .68% | .67% | .68% | .68% | .66% |
Expenses net of all reductions | .64% A | .66% | .65% | .64% | .64% | .63% |
Net investment income (loss) | .78% A | .35% | .34% | .50% | .77% | .69% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 9,625,571 | $ 9,127,616 | $ 7,665,424 | $ 5,956,028 | $ 6,972,615 | $ 8,516,464 |
Portfolio turnover rate | 59% A | 64% | 66% | 84% | 140% | 177% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G Amount represents less than $.01 per share.
Financial Highlights - Service Class
| Six months ended June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 26.53 | $ 23.06 | $ 18.04 | $ 20.06 | $ 23.67 | $ 29.10 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .09 | .06 | .05 | .08 | .14 | .15 |
Net realized and unrealized gain (loss) | .86 | 3.47 | 5.04 | (1.96) | (3.00) | (1.85) |
Total from investment operations | .95 | 3.53 | 5.09 | (1.88) | (2.86) | (1.70) |
Distributions from net investment income | (.06) | (.06) | (.07) | (.14) | (.15) | (.11) |
Distributions from net realized gain | (.01) | - | - | - | (.60) | (3.62) |
Total distributions | (.07) | (.06) | (.07) | (.14) | (.75) | (3.73) |
Redemption fees added to paid in capital E, G | - | - | - | - | - | - |
Net asset value, end of period | $ 27.41 | $ 26.53 | $ 23.06 | $ 18.04 | $ 20.06 | $ 23.67 |
Total Return B, C, D | 3.55% | 15.34% | 28.35% | (9.42)% | (12.36)% | (6.71)% |
Ratios to Average Net Assets F | | | | | | |
Expenses before expense reductions | .76% A | .78% | .77% | .78% | .78% | .76% |
Expenses net of voluntary waivers, if any | .76% A | .78% | .77% | .78% | .78% | .76% |
Expenses net of all reductions | .74% A | .76% | .75% | .74% | .74% | .74% |
Net investment income (loss) | .68% A | .25% | .24% | .39% | .67% | .59% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 2,098,699 | $ 2,111,969 | $ 1,695,467 | $ 1,183,683 | $ 1,201,105 | $ 1,245,222 |
Portfolio turnover rate | 59% A | 64% | 66% | 84% | 140% | 177% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G Amount represents less than $.01 per share.
See accompanying notes which are an integral part of the financial statements.
Contrafund Portfolio
Financial Highlights - Service Class 2
| Six months ended June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 F |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 26.35 | $ 22.93 | $ 17.95 | $ 20.00 | $ 23.64 | $ 28.20 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .07 | .02 | .02 | .05 | .10 | .10 |
Net realized and unrealized gain (loss) | .85 | 3.45 | 5.02 | (1.96) | (2.98) | (.93) |
Total from investment operations | .92 | 3.47 | 5.04 | (1.91) | (2.88) | (.83) |
Distributions from net investment income | (.04) | (.05) | (.06) | (.14) | (.16) | (.11) |
Distributions from net realized gain | (.01) | - | - | - | (.60) | (3.62) |
Total distributions | (.05) | (.05) | (.06) | (.14) | (.76) | (3.73) |
Redemption fees added to paid in capital E, H | - | - | - | - | - | - |
Net asset value, end of period | $ 27.22 | $ 26.35 | $ 22.93 | $ 17.95 | $ 20.00 | $ 23.64 |
Total Return B, C, D | 3.46% | 15.16% | 28.20% | (9.60)% | (12.47)% | (3.86)% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | .91% A | .93% | .93% | .93% | .94% | .92% A |
Expenses net of voluntary waivers, if any | .91% A | .93% | .93% | .93% | .94% | .92% A |
Expenses net of all reductions | .89% A | .91% | .90% | .90% | .90% | .90% A |
Net investment income (loss) | .53% A | .10% | .09% | .24% | .52% | .43% A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 2,125,553 | $ 1,638,617 | $ 910,341 | $ 439,157 | $ 231,686 | $ 81,950 |
Portfolio turnover rate | 59% A | 64% | 66% | 84% | 140% | 177% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F For the period January 12, 2000 (commencement of sale of shares) to December 31, 2000.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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.
H Amount represents less than $.01 per share.
Financial Highlights - Service Class 2R
| Six months ended June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 F |
Selected Per-Share Data | | | | |
Net asset value, beginning of period | $ 26.29 | $ 22.90 | $ 17.95 | $ 20.49 |
Income from Investment Operations | | | | |
Net investment income (loss) E | .07 | .02 | .02 | .03 |
Net realized and unrealized gain (loss) | .85 | 3.44 | 5.01 | (2.57) |
Total from investment operations | .92 | 3.46 | 5.03 | (2.54) |
Distributions from net investment income | (.05) | (.07) | (.08) | - |
Distributions from net realized gain | (.01) | - | - | - |
Total distributions | (.06) | (.07) | (.08) | - |
Redemption fees added to paid in capital E, H | - | - | - | - |
Net asset value, end of period | $ 27.15 | $ 26.29 | $ 22.90 | $ 17.95 |
Total Return B, C, D | 3.49% | 15.15% | 28.18% | (12.40)% |
Ratios to Average Net Assets G | | | | |
Expenses before expense reductions | .91% A | .93% | .93% | .96% A |
Expenses net of voluntary waivers, if any | .91% A | .93% | .93% | .96% A |
Expenses net of all reductions | .89% A | .91% | .90% | .92% A |
Net investment income (loss) | .53% A | .10% | .08% | .23% A |
Supplemental Data | | | | |
Net assets, end of period (000 omitted) | $ 12,019 | $ 7,088 | $ 2,705 | $ 810 |
Portfolio turnover rate | 59% A | 64% | 66% | 84% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F For the period April 24, 2002 (commencement of sale of shares) to December 31, 2002.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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.
H Amount represents less than $.01 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Equity-Income Portfolio
Investment Changes
Top Ten Stocks as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Exxon Mobil Corp. | 3.4 | 3.1 |
Bank of America Corp. | 3.2 | 3.1 |
Citigroup, Inc. | 2.5 | 2.8 |
American International Group, Inc. | 2.5 | 2.6 |
JPMorgan Chase & Co. | 2.2 | 2.3 |
SBC Communications, Inc. | 1.8 | 1.6 |
Total SA sponsored ADR | 1.7 | 1.6 |
General Electric Co. | 1.5 | 1.4 |
Fannie Mae | 1.4 | 1.8 |
Wachovia Corp. | 1.4 | 1.4 |
| 21.6 | |
Top Five Market Sectors as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Financials | 28.4 | 30.2 |
Consumer Discretionary | 12.3 | 11.1 |
Energy | 11.6 | 10.8 |
Industrials | 11.1 | 12.1 |
Information Technology | 8.4 | 7.1 |
Asset Allocation (% of fund's net assets) |
As of June 30, 2005 * | As of December 31, 2004 ** |
| Stocks 99.3% | | | Stocks 99.1% | |
| Bonds 0.6% | | | Bonds 0.7% | |
| Short-Term Investments
and Net Other Assets 0.1% | | | Short-Term Investments
and Net Other Assets 0.2% | |
* Foreign investments | 10.9% | | ** Foreign investments | 11.9% | |
Equity Income Portfolio
Fidelity Variable Insurance Products: Equity-Income Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 98.3% |
| Shares | | Value (Note 1) |
CONSUMER DISCRETIONARY - 11.8% |
Auto Components - 0.4% |
American Axle & Manufacturing Holdings, Inc. | 231,100 | | $ 5,839,897 |
Johnson Controls, Inc. | 291,600 | | 16,425,828 |
TRW Automotive Holdings Corp. (a) | 839,270 | | 20,570,508 |
| | 42,836,233 |
Automobiles - 0.7% |
Ford Motor Co. | 542,700 | | 5,557,248 |
General Motors Corp. (d) | 167,100 | | 5,681,400 |
Harley-Davidson, Inc. | 125,900 | | 6,244,640 |
Monaco Coach Corp. | 188,200 | | 3,235,158 |
Renault SA | 229,101 | | 20,211,275 |
Toyota Motor Corp. sponsored ADR | 443,400 | | 31,698,666 |
| | 72,628,387 |
Diversified Consumer Services - 0.0% |
Service Corp. International (SCI) | 416,800 | | 3,342,736 |
Hotels, Restaurants & Leisure - 0.8% |
Harrah's Entertainment, Inc. | 229,379 | | 16,531,345 |
McDonald's Corp. | 2,370,400 | | 65,778,600 |
| | 82,309,945 |
Household Durables - 1.3% |
Koninklijke Philips Electronics NV (NY Shares) | 601,900 | | 15,161,861 |
Maytag Corp. | 1,622,720 | | 25,411,795 |
Newell Rubbermaid, Inc. | 2,583,200 | | 61,583,488 |
The Stanley Works | 128,500 | | 5,851,890 |
Whirlpool Corp. | 423,200 | | 29,670,552 |
| | 137,679,586 |
Leisure Equipment & Products - 0.4% |
Eastman Kodak Co. | 1,377,700 | | 36,991,245 |
Media - 6.0% |
Clear Channel Communications, Inc. | 3,130,500 | | 96,826,365 |
Comcast Corp. Class A (a) | 2,654,791 | | 81,502,084 |
Knight-Ridder, Inc. | 345,100 | | 21,168,434 |
Lagardere S.C.A. (Reg.) (d) | 146,142 | | 10,832,292 |
Liberty Global, Inc. Class A (a) | 308,566 | | 14,400,775 |
Liberty Media Corp. Class A (a) | 3,681,676 | | 37,516,278 |
News Corp. Class A | 1,178,916 | | 19,074,861 |
NTL, Inc. (a) | 248,455 | | 16,999,291 |
The New York Times Co. Class A | 252,690 | | 7,871,294 |
The Reader's Digest Association, Inc. (non-vtg.) | 1,699,003 | | 28,033,550 |
Time Warner, Inc. (a) | 6,612,750 | | 110,499,053 |
Viacom, Inc. Class B (non-vtg.) | 3,461,086 | | 110,823,974 |
Vivendi Universal SA sponsored ADR | 904,300 | | 28,331,719 |
Walt Disney Co. | 2,379,300 | | 59,910,774 |
| | 643,790,744 |
Multiline Retail - 1.1% |
Big Lots, Inc. (a) | 2,275,956 | | 30,133,661 |
Dollar Tree Stores, Inc. (a) | 1,065,300 | | 25,567,200 |
|
| Shares | | Value (Note 1) |
Family Dollar Stores, Inc. | 706,500 | | $ 18,439,650 |
Federated Department Stores, Inc. | 483,300 | | 35,416,224 |
Sears Holdings Corp. (a) | 67,387 | | 10,099,290 |
| | 119,656,025 |
Specialty Retail - 0.9% |
AnnTaylor Stores Corp. (a) | 1,113,050 | | 27,024,854 |
Gap, Inc. | 1,503,478 | | 29,693,691 |
RadioShack Corp. | 482,700 | | 11,184,159 |
Tiffany & Co., Inc. | 827,300 | | 27,102,348 |
| | 95,005,052 |
Textiles, Apparel & Luxury Goods - 0.2% |
Liz Claiborne, Inc. | 632,940 | | 25,165,694 |
TOTAL CONSUMER DISCRETIONARY | | 1,259,405,647 |
CONSUMER STAPLES - 6.0% |
Beverages - 0.9% |
Anheuser-Busch Companies, Inc. | 1,431,800 | | 65,504,850 |
The Coca-Cola Co. | 810,300 | | 33,830,025 |
| | 99,334,875 |
Food & Staples Retailing - 1.3% |
CVS Corp. | 1,060,800 | | 30,837,456 |
Wal-Mart Stores, Inc. | 2,340,200 | | 112,797,640 |
| | 143,635,096 |
Food Products - 0.4% |
Corn Products International, Inc. | 438,700 | | 10,423,512 |
Kraft Foods, Inc. Class A | 868,400 | | 27,623,804 |
Sara Lee Corp. | 333,200 | | 6,600,692 |
| | 44,648,008 |
Household Products - 1.9% |
Colgate-Palmolive Co. | 2,460,700 | | 122,813,537 |
Kimberly-Clark Corp. | 788,000 | | 49,320,920 |
Procter & Gamble Co. | 662,600 | | 34,952,150 |
| | 207,086,607 |
Personal Products - 0.6% |
Gillette Co. | 1,157,520 | | 58,605,238 |
Tobacco - 0.9% |
Altria Group, Inc. | 1,453,200 | | 93,963,912 |
TOTAL CONSUMER STAPLES | | 647,273,736 |
ENERGY - 11.6% |
Energy Equipment & Services - 2.8% |
Baker Hughes, Inc. | 1,263,000 | | 64,615,080 |
BJ Services Co. | 536,645 | | 28,163,130 |
Halliburton Co. | 708,200 | | 33,866,124 |
Noble Corp. | 778,400 | | 47,879,384 |
Schlumberger Ltd. (NY Shares) | 1,631,210 | | 123,874,087 |
| | 298,397,805 |
Oil, Gas & Consumable Fuels - 8.8% |
Apache Corp. | 601,580 | | 38,862,068 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
ENERGY - continued |
Oil, Gas & Consumable Fuels - continued |
Ashland, Inc. | 127,600 | | $ 9,170,612 |
BP PLC sponsored ADR | 2,269,642 | | 141,580,268 |
ChevronTexaco Corp. | 2,252,742 | | 125,973,333 |
ConocoPhillips | 166,600 | | 9,577,834 |
El Paso Corp. | 944,400 | | 10,879,488 |
Exxon Mobil Corp. | 6,423,436 | | 369,154,861 |
Statoil ASA | 637,700 | | 13,028,626 |
Total SA: | | | |
Series B | 218,300 | | 51,016,710 |
sponsored ADR | 1,525,196 | | 178,219,153 |
| | 947,462,953 |
TOTAL ENERGY | | 1,245,860,758 |
FINANCIALS - 27.9% |
Capital Markets - 4.5% |
Bank of New York Co., Inc. | 3,013,100 | | 86,717,018 |
Charles Schwab Corp. | 5,409,700 | | 61,021,416 |
Janus Capital Group, Inc. | 2,363,700 | | 35,550,048 |
Lazard Ltd. Class A | 83,600 | | 1,943,700 |
Mellon Financial Corp. | 1,626,000 | | 46,649,940 |
Merrill Lynch & Co., Inc. | 1,557,300 | | 85,667,073 |
Morgan Stanley | 1,998,200 | | 104,845,554 |
Nomura Holdings, Inc. | 1,853,000 | | 22,143,350 |
Nuveen Investments, Inc. Class A | 387,200 | | 14,566,464 |
State Street Corp. | 386,200 | | 18,634,150 |
| | 477,738,713 |
Commercial Banks - 7.2% |
Bank of America Corp. | 7,527,666 | | 343,336,846 |
Comerica, Inc. | 581,900 | | 33,633,820 |
Kookmin Bank sponsored ADR | 397,000 | | 18,095,260 |
Lloyds TSB Group PLC | 2,282,400 | | 19,342,749 |
Royal Bank of Scotland Group PLC | 625,547 | | 18,896,563 |
State Bank of India | 463,175 | | 8,112,461 |
U.S. Bancorp, Delaware | 1,762,138 | | 51,454,430 |
Wachovia Corp. | 3,106,975 | | 154,105,960 |
Wells Fargo & Co. | 2,043,800 | | 125,857,204 |
| | 772,835,293 |
Consumer Finance - 1.1% |
American Express Co. | 1,230,296 | | 65,488,656 |
MBNA Corp. | 1,279,700 | | 33,476,952 |
MoneyGram International, Inc. | 1,161,000 | | 22,198,320 |
| | 121,163,928 |
Diversified Financial Services - 5.1% |
CIT Group, Inc. | 833,700 | | 35,824,089 |
|
| Shares | | Value (Note 1) |
Citigroup, Inc. | 5,867,919 | | $ 271,273,895 |
JPMorgan Chase & Co. | 6,665,612 | | 235,429,416 |
| | 542,527,400 |
Insurance - 7.5% |
ACE Ltd. | 2,096,915 | | 94,046,638 |
Allianz AG sponsored ADR | 1,115,700 | | 12,774,765 |
Allstate Corp. | 1,597,200 | | 95,432,700 |
American International Group, Inc. | 4,592,450 | | 266,821,345 |
Conseco, Inc. (a) | 604,000 | | 13,179,280 |
Genworth Financial, Inc. Class A (non-vtg.) | 1,490,400 | | 45,054,792 |
Hartford Financial Services Group, Inc. | 1,047,100 | | 78,302,138 |
Marsh & McLennan Companies, Inc. | 793,600 | | 21,982,720 |
MBIA, Inc. | 252,700 | | 14,987,637 |
MetLife, Inc. unit | 835,300 | | 21,901,566 |
PartnerRe Ltd. | 355,700 | | 22,914,194 |
The St. Paul Travelers Companies, Inc. | 2,516,026 | | 99,458,508 |
XL Capital Ltd. Class A | 201,920 | | 15,026,886 |
| | 801,883,169 |
Real Estate - 0.2% |
CarrAmerica Realty Corp. | 193,740 | | 7,009,513 |
Equity Office Properties Trust | 508,000 | | 16,814,800 |
| | 23,824,313 |
Thrifts & Mortgage Finance - 2.3% |
Fannie Mae | 2,646,000 | | 154,526,400 |
Freddie Mac | 661,800 | | 43,169,214 |
Housing Development Finance Corp. Ltd. | 1,133,500 | | 23,226,647 |
Sovereign Bancorp, Inc. | 1,371,550 | | 30,640,427 |
| | 251,562,688 |
TOTAL FINANCIALS | | 2,991,535,504 |
HEALTH CARE - 7.5% |
Health Care Equipment & Supplies - 1.1% |
Baxter International, Inc. | 2,877,800 | | 106,766,380 |
Thermo Electron Corp. (a) | 537,800 | | 14,450,686 |
| | 121,217,066 |
Health Care Providers & Services - 0.9% |
Cardinal Health, Inc. | 706,100 | | 40,657,238 |
Health Net, Inc. (a) | 124,800 | | 4,762,368 |
McKesson Corp. | 540,200 | | 24,195,558 |
Tenet Healthcare Corp. (a) | 2,064,000 | | 25,263,360 |
| | 94,878,524 |
Pharmaceuticals - 5.5% |
Abbott Laboratories | 788,500 | | 38,644,385 |
Bristol-Myers Squibb Co. | 2,375,300 | | 59,334,994 |
GlaxoSmithKline PLC sponsored ADR | 430,600 | | 20,888,406 |
Johnson & Johnson | 1,901,900 | | 123,623,500 |
Merck & Co., Inc. | 2,251,300 | | 69,340,040 |
Pfizer, Inc. | 3,949,400 | | 108,924,452 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
HEALTH CARE - continued |
Pharmaceuticals - continued |
Schering-Plough Corp. | 3,665,530 | | $ 69,865,002 |
Wyeth | 2,092,500 | | 93,116,250 |
| | 583,737,029 |
TOTAL HEALTH CARE | | 799,832,619 |
INDUSTRIALS - 11.0% |
Aerospace & Defense - 3.6% |
EADS NV | 1,435,715 | | 45,781,294 |
Honeywell International, Inc. | 2,780,325 | | 101,843,305 |
Lockheed Martin Corp. | 1,332,000 | | 86,406,840 |
Northrop Grumman Corp. | 849,600 | | 46,940,400 |
Raytheon Co. | 288,678 | | 11,293,083 |
The Boeing Co. | 678,400 | | 44,774,400 |
United Technologies Corp. | 836,840 | | 42,971,734 |
| | 380,011,056 |
Commercial Services & Supplies - 0.4% |
Cendant Corp. | 544,700 | | 12,184,939 |
Waste Management, Inc. | 1,207,400 | | 34,217,716 |
| | 46,402,655 |
Construction & Engineering - 0.1% |
Fluor Corp. | 237,000 | | 13,648,830 |
Electrical Equipment - 0.4% |
ABB Ltd. sponsored ADR (a) | 2,088,600 | | 13,513,242 |
Emerson Electric Co. | 513,400 | | 32,154,242 |
| | 45,667,484 |
Industrial Conglomerates - 3.2% |
3M Co. | 308,200 | | 22,282,860 |
General Electric Co. | 4,690,740 | | 162,534,141 |
Siemens AG sponsored ADR | 114,600 | | 8,325,690 |
Textron, Inc. | 376,300 | | 28,542,355 |
Tyco International Ltd. | 4,072,646 | | 118,921,263 |
| | 340,606,309 |
Machinery - 2.3% |
Caterpillar, Inc. | 389,700 | | 37,142,307 |
Dover Corp. | 1,243,900 | | 45,253,082 |
Illinois Tool Works, Inc. | 151,900 | | 12,103,392 |
Ingersoll-Rand Co. Ltd. Class A | 872,544 | | 62,256,014 |
Navistar International Corp. (a) | 508,495 | | 16,271,840 |
SPX Corp. | 1,483,200 | | 68,197,536 |
| | 241,224,171 |
Road & Rail - 0.9% |
Burlington Northern Santa Fe Corp. | 1,035,400 | | 48,746,632 |
Union Pacific Corp. | 768,400 | | 49,792,320 |
| | 98,538,952 |
|
| Shares | | Value (Note 1) |
Trading Companies & Distributors - 0.1% |
WESCO International, Inc. (a) | 353,800 | | $ 11,102,244 |
TOTAL INDUSTRIALS | | 1,177,201,701 |
INFORMATION TECHNOLOGY - 8.3% |
Communications Equipment - 1.3% |
Avaya, Inc. (a) | 1,353,800 | | 11,263,616 |
Cisco Systems, Inc. (a) | 1,656,200 | | 31,649,982 |
Lucent Technologies, Inc. (a) | 4,816,600 | | 14,016,306 |
Lucent Technologies, Inc. warrants 12/10/07 (a) | 8,328 | | 6,413 |
Motorola, Inc. | 3,387,112 | | 61,848,665 |
Nokia Corp. sponsored ADR | 1,182,000 | | 19,668,480 |
| | 138,453,462 |
Computers & Peripherals - 1.6% |
Hewlett-Packard Co. | 3,785,711 | | 89,002,066 |
International Business Machines Corp. | 972,700 | | 72,174,340 |
Sun Microsystems, Inc. (a) | 3,998,675 | | 14,915,058 |
| | 176,091,464 |
Electronic Equipment & Instruments - 1.1% |
Agilent Technologies, Inc. (a) | 1,428,700 | | 32,888,674 |
Arrow Electronics, Inc. (a) | 830,900 | | 22,567,244 |
Avnet, Inc. (a) | 1,584,330 | | 35,694,955 |
Solectron Corp. (a) | 5,784,200 | | 21,922,118 |
Tektronix, Inc. | 104,400 | | 2,429,388 |
| | 115,502,379 |
IT Services - 0.2% |
Ceridian Corp. (a) | 1,095,600 | | 21,342,288 |
Electronic Data Systems Corp. | 166,600 | | 3,207,050 |
| | 24,549,338 |
Office Electronics - 0.3% |
Xerox Corp. (a) | 2,067,900 | | 28,516,341 |
Semiconductors & Semiconductor Equipment - 2.7% |
Analog Devices, Inc. | 1,357,900 | | 50,663,249 |
Applied Materials, Inc. | 2,102,500 | | 34,018,450 |
Freescale Semiconductor, Inc.: | | | |
Class A | 105,200 | | 2,210,252 |
Class B | 1,634,977 | | 34,628,813 |
Intel Corp. | 3,818,300 | | 99,504,898 |
Micron Technology, Inc. (a) | 1,773,200 | | 18,104,372 |
National Semiconductor Corp. | 785,500 | | 17,304,565 |
Samsung Electronics Co. Ltd. | 55,670 | | 26,583,850 |
Teradyne, Inc. (a) | 382,700 | | 4,580,919 |
| | 287,599,368 |
Software - 1.1% |
Citrix Systems, Inc. (a) | 583,344 | | 12,635,231 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INFORMATION TECHNOLOGY - continued |
Software - continued |
Microsoft Corp. | 3,603,400 | | $ 89,508,456 |
Symantec Corp. (a) | 595,533 | | 12,946,887 |
| | 115,090,574 |
TOTAL INFORMATION TECHNOLOGY | | 885,802,926 |
MATERIALS - 5.3% |
Chemicals - 2.4% |
Air Products & Chemicals, Inc. | 405,000 | | 24,421,500 |
Albemarle Corp. | 191,300 | | 6,976,711 |
Arch Chemicals, Inc. | 392,800 | | 9,804,288 |
Celanese Corp. Class A | 632,400 | | 10,048,836 |
Dow Chemical Co. | 1,560,600 | | 69,493,518 |
Eastman Chemical Co. | 379,200 | | 20,912,880 |
Georgia Gulf Corp. | 313,200 | | 9,724,860 |
Great Lakes Chemical Corp. | 508,800 | | 16,011,936 |
Lubrizol Corp. | 214,800 | | 9,023,748 |
Lyondell Chemical Co. | 1,904,293 | | 50,311,408 |
PolyOne Corp. (a) | 1,310,600 | | 8,676,172 |
Praxair, Inc. | 437,524 | | 20,388,618 |
| | 255,794,475 |
Containers & Packaging - 0.3% |
Amcor Ltd. | 1,784,800 | | 9,107,933 |
Smurfit-Stone Container Corp. (a) | 2,515,872 | | 25,586,418 |
| | 34,694,351 |
Metals & Mining - 1.4% |
Alcan, Inc. | 955,100 | | 28,671,709 |
Alcoa, Inc. | 2,527,216 | | 66,036,154 |
Freeport-McMoRan Copper & Gold, Inc. Class B | 761,704 | | 28,518,198 |
Phelps Dodge Corp. | 280,900 | | 25,983,250 |
| | 149,209,311 |
Paper & Forest Products - 1.2% |
Bowater, Inc. | 391,300 | | 12,666,381 |
Georgia-Pacific Corp. | 1,281,101 | | 40,739,012 |
International Paper Co. | 1,299,000 | | 39,242,790 |
Weyerhaeuser Co. | 494,200 | | 31,455,830 |
| | 124,104,013 |
TOTAL MATERIALS | | 563,802,150 |
TELECOMMUNICATION SERVICES - 5.6% |
Diversified Telecommunication Services - 5.1% |
BellSouth Corp. | 4,998,699 | | 132,815,432 |
New Skies Satellites Holdings Ltd. | 286,100 | | 5,679,085 |
Philippine Long Distance Telephone Co. sponsored ADR (d) | 650,700 | | 18,902,835 |
Qwest Communications International, Inc. (a) | 4,948,700 | | 18,359,677 |
SBC Communications, Inc. | 7,996,093 | | 189,907,209 |
|
| Shares | | Value (Note 1) |
Sprint Corp. | 1,161,600 | | $ 29,144,544 |
Verizon Communications, Inc. | 4,390,202 | | 151,681,479 |
| | 546,490,261 |
Wireless Telecommunication Services - 0.5% |
Crown Castle International Corp. (a) | 1,003,300 | | 20,387,056 |
Vodafone Group PLC sponsored ADR | 1,506,100 | | 36,628,352 |
| | 57,015,408 |
TOTAL TELECOMMUNICATION SERVICES | | 603,505,669 |
UTILITIES - 3.3% |
Electric Utilities - 0.7% |
Entergy Corp. | 730,900 | | 55,219,495 |
PG&E Corp. | 403,800 | | 15,158,652 |
| | 70,378,147 |
Independent Power Producers & Energy Traders - 0.6% |
Duke Energy Corp. | 940,300 | | 27,955,119 |
TXU Corp. | 451,020 | | 37,475,252 |
| | 65,430,371 |
Multi-Utilities - 2.0% |
CMS Energy Corp. (a) | 379,600 | | 5,716,776 |
Dominion Resources, Inc. | 1,123,100 | | 82,424,309 |
NorthWestern Energy Corp. | 462,800 | | 14,587,456 |
Public Service Enterprise Group, Inc. | 987,100 | | 60,035,422 |
Wisconsin Energy Corp. | 1,337,900 | | 52,178,100 |
| | 214,942,063 |
TOTAL UTILITIES | | 350,750,581 |
TOTAL COMMON STOCKS (Cost $8,337,722,756) | 10,524,971,291 |
Convertible Preferred Stocks - 1.0% |
| | | |
CONSUMER DISCRETIONARY - 0.2% |
Automobiles - 0.1% |
General Motors Corp.: | | | |
Series B, 5.25% | 412,200 | | 7,666,920 |
Series C, 6.25% | 253,100 | | 5,325,224 |
| | 12,992,144 |
Hotels, Restaurants & Leisure - 0.1% |
Six Flags, Inc. 7.25% PIERS | 388,400 | | 7,768,000 |
TOTAL CONSUMER DISCRETIONARY | | 20,760,144 |
FINANCIALS - 0.5% |
Capital Markets - 0.0% |
State Street Corp. 6.75% SPACES (a) | 24,900 | | 5,346,578 |
Consumer Finance - 0.2% |
Ford Motor Co. Capital Trust II 6.50% | 402,500 | | 16,153,935 |
Insurance - 0.3% |
Conseco, Inc. Series B, 5.50% | 143,400 | | 3,934,896 |
Convertible Preferred Stocks - continued |
| Shares | | Value (Note 1) |
FINANCIALS - continued |
Insurance - continued |
The Chubb Corp.: | | | |
7.00% | 167,700 | | $ 5,281,712 |
Series B, 7.00% | 120,100 | | 3,814,376 |
Travelers Property Casualty Corp. 4.50% | 240,200 | | 5,346,852 |
XL Capital Ltd. 6.50% | 475,300 | | 11,350,164 |
| | 29,728,000 |
TOTAL FINANCIALS | | 51,228,513 |
HEALTH CARE - 0.2% |
Health Care Equipment & Supplies - 0.1% |
Baxter International, Inc. 7.00% | 156,900 | | 8,678,139 |
Pharmaceuticals - 0.1% |
Schering-Plough Corp. 6.00% | 187,400 | | 9,485,438 |
TOTAL HEALTH CARE | | 18,163,577 |
INFORMATION TECHNOLOGY - 0.1% |
Office Electronics - 0.1% |
Xerox Corp. Series C, 6.25% | 145,650 | | 17,800,760 |
MATERIALS - 0.0% |
Chemicals - 0.0% |
Celanese Corp. 4.25% | 67,100 | | 1,622,478 |
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $116,904,752) | 109,575,472 |
Corporate Bonds - 0.6% |
| Principal Amount | | |
Convertible Bonds - 0.5% |
CONSUMER DISCRETIONARY - 0.3% |
Hotels, Restaurants & Leisure - 0.1% |
Royal Caribbean Cruises Ltd. liquid yield option note 0% 2/2/21 | $ 11,239,000 | | 6,448,376 |
Six Flags, Inc. 4.5% 5/15/15 | 3,640,000 | | 3,544,632 |
| 9,993,008 |
Media - 0.2% |
Liberty Media Corp.3.5% 1/15/31 (e) | 11,400,000 | | 9,975,000 |
News America, Inc. liquid yield option note 0% 2/28/21 (e) | 22,670,000 | | 13,103,260 |
| 23,078,260 |
TOTAL CONSUMER DISCRETIONARY | 33,071,268 |
FINANCIALS - 0.0% |
Diversified Financial Services - 0.0% |
Navistar Financial Corp. 4.75% 4/1/09 (e) | 2,760,000 | | 2,722,050 |
|
| Principal Amount | | Value (Note 1) |
INDUSTRIALS - 0.1% |
Industrial Conglomerates - 0.1% |
Tyco International Group SA yankee 3.125% 1/15/23 | $ 5,220,000 | | $ 7,212,996 |
INFORMATION TECHNOLOGY - 0.0% |
Electronic Equipment & Instruments - 0.0% |
Celestica, Inc. liquid yield option note 0% 8/1/20 | 620,000 | | 351,463 |
TELECOMMUNICATION SERVICES - 0.1% |
Diversified Telecommunication Services - 0.1% |
Level 3 Communications, Inc. 5.25% 12/15/11 (e) | 11,850,000 | | 8,004,675 |
TOTAL CONVERTIBLE BONDS | 51,362,452 |
Nonconvertible Bonds - 0.1% |
CONSUMER DISCRETIONARY - 0.0% |
Media - 0.0% |
XM Satellite Radio, Inc. 12% 6/15/10 | 60,000 | | 67,200 |
MATERIALS - 0.1% |
Chemicals - 0.1% |
Hercules, Inc. 6.5% 6/30/29 unit | 15,700,000 | | 13,213,120 |
TOTAL NONCONVERTIBLE BONDS | 13,280,320 |
TOTAL CORPORATE BONDS (Cost $70,743,076) | 64,642,772 |
Money Market Funds - 0.3% |
| Shares | | |
Fidelity Cash Central Fund, 3.21% (b) | 15,670,880 | | 15,670,880 |
Fidelity Securities Lending Cash Central Fund, 3.23% (b)(c) | 17,839,400 | | 17,839,400 |
TOTAL MONEY MARKET FUNDS (Cost $33,510,280) | 33,510,280 |
TOTAL INVESTMENT PORTFOLIO - 100.2% (Cost $8,558,880,864) | | | 10,732,699,815 |
NET OTHER ASSETS - (0.2)% | | (20,510,649) |
NET ASSETS - 100% | $ 10,712,189,166 |
Security Type Abbreviation |
PIERS - Preferred Income Equity Redeemable Securities |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent quarter end is available upon request. |
(c) Includes investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $33,804,985 or 0.3% of net assets. |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 89.1% |
France | 2.8% |
United Kingdom | 2.2% |
Netherlands Antilles | 1.2% |
Bermuda | 1.1% |
Others (individually less than 1%) | 3.6% |
| 100.0% |
See accompanying notes which are an integral part of the financial statements.
Equity-Income Portfolio
Fidelity Variable Insurance Products: Equity-Income Portfolio
Financial Statements
Statement of Assets and Liabilities
| June 30, 2005 (Unaudited) |
Assets | | |
Investment in securities, at value (including securities loaned of $17,230,521) (cost $8,558,880,864) - See accompanying schedule | | $ 10,732,699,815 |
Cash | | 255,125 |
Foreign currency held at value (cost $73,765) | | 73,170 |
Receivable for fund shares sold | | 2,501,815 |
Dividends receivable | | 15,563,355 |
Interest receivable | | 375,284 |
Prepaid expenses | | 22,520 |
Other affiliated receivables | | 54,089 |
Other receivables | | 660,759 |
Total assets | | 10,752,205,932 |
| | |
Liabilities | | |
Payable for fund shares redeemed | $ 13,721,792 | |
Accrued management fee | 4,264,717 | |
Distribution fees payable | 409,185 | |
Other affiliated payables | 944,444 | |
Other payables and accrued
expenses | 2,837,228 | |
Collateral on securities loaned, at value | 17,839,400 | |
Total liabilities | | 40,016,766 |
| | |
Net Assets | | $ 10,712,189,166 |
Net Assets consist of: | | |
Paid in capital | | $ 8,185,290,460 |
Undistributed net investment
income | | 86,401,638 |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | | 266,680,689 |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | | 2,173,816,379 |
Net Assets | | $ 10,712,189,166 |
Initial Class:
Net Asset Value, offering price and redemption price per share ($8,095,070,356 ÷ 340,499,327 shares) | | $ 23.77 |
Service Class:
Net Asset Value, offering price and redemption price per share ($1,090,065,401 ÷ 46,005,954 shares) | | $ 23.69 |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($1,519,378,951 ÷ 64,629,388 shares) | | $ 23.51 |
Service Class 2R:
Net Asset Value, offering price and redemption price per share ($7,674,458 ÷ 327,635 shares) | | $ 23.42 |
Statement of Operations
| Six months ended June 30, 2005 (Unaudited) |
| | |
Investment Income | | |
Dividends | | $ 120,485,079 |
Interest | | 1,989,381 |
Security lending | | 901,512 |
Total income | | 123,375,972 |
| | |
Expenses | | |
Management fee | $ 25,793,898 | |
Transfer agent fees | 3,607,005 | |
Distribution fees | 2,385,033 | |
Accounting and security lending fees | 711,998 | |
Independent trustees' compensation | 24,934 | |
Appreciation in deferred trustee compensation account | 13,349 | |
Custodian fees and expenses | 152,830 | |
Audit | 64,113 | |
Legal | 8,914 | |
Interest | 31,337 | |
Miscellaneous | 219,053 | |
Total expenses before reductions | 33,012,464 | |
Expense reductions | (622,618) | 32,389,846 |
Net investment income (loss) | | 90,986,126 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | | |
Investment securities | 280,947,010 | |
Foreign currency transactions | (36,921) | |
Total net realized gain (loss) | | 280,910,089 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (519,032,223) | |
Assets and liabilities in foreign currencies | (6,130) | |
Total change in net unrealized appreciation (depreciation) | | (519,038,353) |
Net gain (loss) | | (238,128,264) |
Net increase (decrease) in net assets resulting from operations | | $ (147,142,138) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Equity-Income Portfolio
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended
June 30, 2005
(Unaudited) | Year ended
December 31,
2004 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income (loss) | $ 90,986,126 | $ 177,276,620 |
Net realized gain (loss) | 280,910,089 | 393,988,390 |
Change in net unrealized appreciation (depreciation) | (519,038,353) | 595,176,710 |
Net increase (decrease) in net assets resulting from operations | (147,142,138) | 1,166,441,720 |
Distributions to shareholders from net investment income | (175,959,121) | (160,632,605) |
Distributions to shareholders from net realized gain | (394,382,958) | (38,902,738) |
Total distributions | (570,342,079) | (199,535,343) |
Share transactions - net increase (decrease) | 142,448,203 | (72,700,137) |
Redemption fees | 2,293 | 27 |
Total increase (decrease) in net assets | (575,033,721) | 894,206,267 |
| | |
Net Assets | | |
Beginning of period | 11,287,222,887 | 10,393,016,620 |
End of period (including undistributed net investment income of $86,401,638 and undistributed net investment income of $170,688,068, respectively) | $ 10,712,189,166 | $ 11,287,222,887 |
Other Information: | | | | |
Share Transactions | Six months ended June 30, 2005 |
| Initial Class | Service Class | Service Class 2 | Service Class 2R |
Shares Sold | 6,806,000 | 1,046,142 | 8,436,365 | 122,314 |
Reinvested | 18,234,094 | 2,417,459 | 3,009,670 | 13,378 |
Redeemed | (27,082,768) | (3,770,885) | (3,462,009) | (32,609) |
Net increase (decrease) | (2,042,674) | (307,284) | 7,984,026 | 103,083 |
| | | | |
Dollars Sold | $ 164,645,029 | $ 25,084,066 | $ 199,674,402 | $ 2,902,874 |
Reinvested | 439,988,689 | 58,164,075 | 71,870,923 | 318,391 |
Redeemed | (647,385,406) | (90,034,624) | (82,018,560) | (761,656) |
Net increase (decrease) | $ (42,751,688) | $ (6,786,483) | $ 189,526,765 | $ 2,459,609 |
| | | | |
Share Transactions | Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 | Service Class 2R |
Shares Sold | 19,642,612 | 4,254,175 | 21,126,824 | 207,129 |
Reinvested | 6,898,356 | 858,454 | 759,147 | 2,031 |
Redeemed | (46,454,587) | (5,170,065) | (5,169,545) | (67,130) |
Net increase (decrease) | (19,913,619) | (57,436) | 16,716,426 | 142,030 |
| | | | |
Dollars Sold | $ 460,321,782 | $ 99,280,265 | $ 490,310,488 | $ 4,777,338 |
Reinvested | 161,766,458 | 20,079,238 | 17,642,584 | 47,063 |
Redeemed | (1,086,286,467) | (119,952,965) | (119,145,127) | (1,540,794) |
Net increase (decrease) | $ (464,198,227) | $ (593,462) | $ 388,807,945 | $ 3,283,607 |
| | | | |
Distributions | Six months ended June 30, 2005 |
| Initial Class | Service Class | Service Class 2 | Service Class 2R |
From net investment income | $ 137,602,640 | $ 17,563,270 | $ 20,698,826 | $ 94,385 |
From net realized gain | 302,386,049 | 40,600,805 | 51,172,097 | 224,007 |
Total | $ 439,988,689 | $ 58,164,075 | $ 71,870,923 | $ 318,392 |
| | | | |
| Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 | Service Class 2R |
From net investment income | $ 130,573,823 | $ 16,025,683 | $ 13,995,319 | $ 37,780 |
From net realized gain | 31,192,635 | 4,053,555 | 3,647,265 | 9,283 |
Total | $ 161,766,458 | $ 20,079,238 | $ 17,642,584 | $ 47,063 |
See accompanying notes which are an integral part of the financial statements.
Equity-Income Portfolio
Financial Highlights - Initial Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 25.37 | $ 23.18 | $ 18.16 | $ 22.75 | $ 25.52 | $ 25.71 |
Income from Investment Operations | | | | | | |
Net investment income (loss)E | .20 | .40 | .36 | .34 | .34 | .40 |
Net realized and unrealized gain (loss) | (.50) | 2.24 | 5.01 | (4.08) | (1.51) | 1.46 |
Total from investment operations | (.30) | 2.64 | 5.37 | (3.74) | (1.17) | 1.86 |
Distributions from net investment income | (.41) | (.36) | (.35) | (.36) | (.42) | (.44) |
Distributions from net realized gain | (.89) | (.09) | - | (.49) | (1.18) | (1.61) |
Total distributions | (1.30) | (.45) | (.35) | (.85) | (1.60) | (2.05) |
Redemption fees added to paid in capital | -E,G | -E,G | -E,G | -E,G | - | - |
Net asset value, end of period | $ 23.77 | $ 25.37 | $ 23.18 | $ 18.16 | $ 22.75 | $ 25.52 |
Total ReturnB,C,D | (1.28)% | 11.53% | 30.33% | (16.95)% | (4.96)% | 8.42% |
Ratios to Average Net AssetsF | | | | | | |
Expenses before expense reductions | .56%A | .58% | .57% | .57% | .58% | .56% |
Expenses net of voluntary waivers, if any | .56%A | .58% | .57% | .57% | .58% | .56% |
Expenses net of all reductions | .55%A | .57% | .56% | .56% | .57% | .55% |
Net investment income (loss) | 1.71%A | 1.71% | 1.83% | 1.70% | 1.47% | 1.68% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 8,095,070 | $ 8,689,829 | $ 8,402,963 | $ 6,895,940 | $ 9,256,205 | $ 9,969,086 |
Portfolio turnover rate | 22%A | 22% | 26% | 25% | 24% | 22% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G Amount represents less than $.01 per share.
Financial Highlights - Service Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 25.28 | $ 23.11 | $ 18.10 | $ 22.67 | $ 25.45 | $ 25.66 |
Income from Investment Operations | | | | | | |
Net investment income (loss)E | .19 | .38 | .34 | .32 | .31 | .37 |
Net realized and unrealized gain (loss) | (.50) | 2.22 | 5.00 | (4.06) | (1.51) | 1.46 |
Total from investment operations | (.31) | 2.60 | 5.34 | (3.74) | (1.20) | 1.83 |
Distributions from net investment income | (.39) | (.34) | (.33) | (.34) | (.40) | (.43) |
Distributions from net realized gain | (.89) | (.09) | - | (.49) | (1.18) | (1.61) |
Total distributions | (1.28) | (.43) | (.33) | (.83) | (1.58) | (2.04) |
Redemption fees added to paid in capital | -E,G | -E,G | -E,G | -E,G | - | - |
Net asset value, end of period | $ 23.69 | $ 25.28 | $ 23.11 | $ 18.10 | $ 22.67 | $ 25.45 |
Total ReturnB,C,D | (1.32)% | 11.38% | 30.22% | (17.00)% | (5.09)% | 8.30% |
Ratios to Average Net AssetsF | | | | | | |
Expenses before expense reductions | .66%A | .68% | .67% | .67% | .68% | .66% |
Expenses net of voluntary waivers, if any | .66%A | .68% | .67% | .67% | .68% | .66% |
Expenses net of all reductions | .65%A | .67% | .66% | .66% | .67% | .65% |
Net investment income (loss) | 1.61%A | 1.61% | 1.73% | 1.60% | 1.37% | 1.58% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 1,090,065 | $ 1,170,778 | $ 1,071,483 | $ 771,516 | $ 836,017 | $ 634,897 |
Portfolio turnover rate | 22%A | 22% | 26% | 25% | 24% | 22% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G Amount represents less than $.01 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Service Class 2
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000F |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 25.09 | $ 22.96 | $ 18.00 | $ 22.59 | $ 25.41 | $ 25.18 |
Income from Investment Operations | | | | | | |
Net investment income (loss)E | .17 | .34 | .31 | .28 | .27 | .32 |
Net realized and unrealized gain (loss) | (.50) | 2.21 | 4.97 | (4.04) | (1.50) | 1.95 |
Total from investment operations | (.33) | 2.55 | 5.28 | (3.76) | (1.23) | 2.27 |
Distributions from net investment income | (.36) | (.33) | (.32) | (.34) | (.41) | (.43) |
Distributions from net realized gain | (.89) | (.09) | - | (.49) | (1.18) | (1.61) |
Total distributions | (1.25) | (.42) | (.32) | (.83) | (1.59) | (2.04) |
Redemption fees added to paid in capital | -E,H | -E,H | -E,H | -E,H | - | - |
Net asset value, end of period | $ 23.51 | $ 25.09 | $ 22.96 | $ 18.00 | $ 22.59 | $ 25.41 |
Total ReturnB,C,D | (1.39)% | 11.23% | 30.03% | (17.15)% | (5.23)% | 10.19% |
Ratios to Average Net AssetsG | | | | | | |
Expenses before expense reductions | .81%A | .83% | .82% | .83% | .84% | .83%A |
Expenses net of voluntary waivers, if any | .81%A | .83% | .82% | .83% | .84% | .83%A |
Expenses net of all reductions | .80%A | .82% | .81% | .82% | .83% | .82%A |
Net investment income (loss) | 1.46%A | 1.46% | 1.58% | 1.44% | 1.21% | 1.41%A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 1,519,379 | $ 1,420,999 | $ 916,679 | $ 403,632 | $ 226,078 | $ 39,911 |
Portfolio turnover rate | 22%A | 22% | 26% | 25% | 24% | 22% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F For the period January 12, 2000 (commencement of sale of shares) to December 31, 2000.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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.
H Amount represents less than $.01 per share.
Financial Highlights - Service Class 2R
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002F |
Selected Per-Share Data | | | | |
Net asset value, beginning of period | $ 25.01 | $ 22.91 | $ 17.99 | $ 21.82 |
Income from Investment Operations | | | | |
Net investment income (loss)E | .17 | .34 | .31 | .18 |
Net realized and unrealized gain (loss) | (.49) | 2.20 | 4.96 | (4.01) |
Total from investment operations | (.32) | 2.54 | 5.27 | (3.83) |
Distributions from net investment income | (.38) | (.35) | (.35) | - |
Distributions from net realized gain | (.89) | (.09) | - | - |
Total distributions | (1.27) | (.44) | (.35) | - |
Redemption fees added to paid in capitalE,H | - | - | - | - |
Net asset value, end of period | $ 23.42 | $ 25.01 | $ 22.91 | $ 17.99 |
Total ReturnB,C,D | (1.38)% | 11.22% | 30.05% | (17.55)% |
Ratios to Average Net AssetsG | | | | |
Expenses before expense reductions | .81%A | .83% | .82% | .85%A |
Expenses net of voluntary waivers, if any | .81%A | .83% | .82% | .85%A |
Expenses net of all reductions | .80%A | .82% | .81% | .84%A |
Net investment income (loss) | 1.46%A | 1.46% | 1.57% | 1.45%A |
Supplemental Data | | | | |
Net assets, end of period (000 omitted) | $ 7,674 | $ 5,617 | $ 1,891 | $ 471 |
Portfolio turnover rate | 22%A | 22% | 26% | 25% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F For the period April 24, 2002 (commencement of sale of shares) to December 31, 2002.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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.
H Amount represents less than $.01 per share.
See accompanying notes which are an integral part of the financial statements.
Equity-Income Portfolio
Fidelity Variable Insurance Products: Growth Portfolio
Investment Changes
Top Ten Stocks as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Microsoft Corp. | 3.7 | 2.6 |
Johnson & Johnson | 3.5 | 2.8 |
Intel Corp. | 3.1 | 2.6 |
Wal-Mart Stores, Inc. | 2.8 | 2.5 |
American International Group, Inc. | 2.2 | 1.7 |
General Electric Co. | 2.1 | 1.9 |
Dell, Inc. | 2.1 | 2.2 |
PepsiCo, Inc. | 1.9 | 1.6 |
Pfizer, Inc. | 1.6 | 2.1 |
Cisco Systems, Inc. | 1.6 | 2.1 |
| 24.6 | |
Top Five Market Sectors as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Information Technology | 28.3 | 34.5 |
Health Care | 18.2 | 19.4 |
Consumer Staples | 13.8 | 7.0 |
Industrials | 11.9 | 11.3 |
Consumer Discretionary | 11.4 | 12.2 |
Asset Allocation (% of fund's net assets) |
As of June 30, 2005 * | As of December 31, 2004 ** |
| Stocks 99.5% | | | Stocks 99.3% | |
| Short-Term Investments
and Net Other Assets 0.5% | | | Short-Term Investments
and Net Other Assets 0.7% | |
* Foreign investments | 9.0% | | ** Foreign investments | 8.8% | |
Semiannual Report
Fidelity Variable Insurance Products: Growth Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 99.5% |
| Shares | | Value (Note 1) |
CONSUMER DISCRETIONARY - 11.4% |
Diversified Consumer Services - 0.6% |
Weight Watchers International, Inc. (a) | 1,096,700 | | $ 56,600,687 |
Hotels, Restaurants & Leisure - 0.6% |
Carnival Corp. unit | 495,500 | | 27,029,525 |
Royal Caribbean Cruises Ltd. | 519,900 | | 25,142,364 |
| | 52,171,889 |
Household Durables - 0.2% |
Tempur-Pedic International, Inc. (a) | 694,300 | | 15,399,574 |
Internet & Catalog Retail - 1.0% |
eBay, Inc. (a) | 2,530,300 | | 83,525,203 |
Priceline.com, Inc. (a)(d) | 183,200 | | 4,274,056 |
| | 87,799,259 |
Media - 3.1% |
E.W. Scripps Co. Class A | 839,400 | | 40,962,720 |
Gestevision Telecinco SA | 202,911 | | 4,753,901 |
Lamar Advertising Co. Class A (a) | 948,560 | | 40,569,911 |
Omnicom Group, Inc. | 780,900 | | 62,362,674 |
Pixar (a) | 187,664 | | 9,392,583 |
SBS Broadcasting SA (a) | 652,278 | | 30,741,862 |
Warner Music Group Corp. | 532,000 | | 8,618,400 |
WPP Group PLC sponsored ADR | 479,900 | | 24,498,895 |
XM Satellite Radio Holdings, Inc.
Class A (a) | 1,387,984 | | 46,719,541 |
| | 268,620,487 |
Multiline Retail - 2.7% |
Dollar General Corp. | 1,371,600 | | 27,925,776 |
Dollar Tree Stores, Inc. (a) | 1,408,700 | | 33,808,800 |
Fred's, Inc. Class A | 1,898,344 | | 31,474,544 |
Kohl's Corp. (a) | 1,018,600 | | 56,949,926 |
Nordstrom, Inc. | 677,800 | | 46,070,066 |
Target Corp. | 824,200 | | 44,844,722 |
| | 241,073,834 |
Specialty Retail - 2.8% |
Bed Bath & Beyond, Inc. (a) | 751,500 | | 31,397,670 |
Best Buy Co., Inc. | 1,139,550 | | 78,116,153 |
Foot Locker, Inc. | 1,106,480 | | 30,118,386 |
GameStop Corp. Class A (a)(d) | 228,693 | | 7,480,548 |
Guitar Center, Inc. (a) | 541,444 | | 31,604,086 |
RadioShack Corp. | 938,400 | | 21,742,728 |
Staples, Inc. | 2,269,350 | | 48,382,542 |
| | 248,842,113 |
Textiles, Apparel & Luxury Goods - 0.4% |
Carter's, Inc. (a) | 543,400 | | 31,723,692 |
TOTAL CONSUMER DISCRETIONARY | | 1,002,231,535 |
|
| Shares | | Value (Note 1) |
CONSUMER STAPLES - 13.8% |
Beverages - 2.2% |
Brown-Forman Corp. Class B (non-vtg.) | 351,000 | | $ 21,221,460 |
PepsiCo, Inc. | 3,127,500 | | 168,666,075 |
| | 189,887,535 |
Food & Staples Retailing - 4.9% |
7-Eleven, Inc. (a) | 630,200 | | 19,057,248 |
CVS Corp. | 1,338,400 | | 38,907,288 |
Longs Drug Stores Corp. | 310,400 | | 13,362,720 |
Wal-Mart Stores, Inc. | 5,069,600 | | 244,354,720 |
Walgreen Co. | 2,462,200 | | 113,236,578 |
| | 428,918,554 |
Food Products - 4.0% |
Archer-Daniels-Midland Co. | 492,100 | | 10,521,098 |
Bunge Ltd. | 656,100 | | 41,596,740 |
Campbell Soup Co. | 1,182,800 | | 36,394,756 |
Corn Products International, Inc. | 1,327,300 | | 31,536,648 |
General Mills, Inc. | 904,500 | | 42,321,555 |
Groupe Danone | 102,400 | | 9,008,937 |
Groupe Danone sponsored ADR | 1,442,900 | | 25,250,750 |
Hershey Co. | 695,500 | | 43,190,550 |
Kellogg Co. | 1,052,000 | | 46,750,880 |
Ralcorp Holdings, Inc. | 186,500 | | 7,674,475 |
The J.M. Smucker Co. | 398,900 | | 18,724,366 |
Wm. Wrigley Jr. Co. | 521,100 | | 35,872,524 |
| | 348,843,279 |
Household Products - 1.5% |
Church & Dwight Co., Inc. | 921,400 | | 33,354,680 |
Clorox Co. | 704,000 | | 39,226,880 |
Colgate-Palmolive Co. | 1,193,600 | | 59,572,576 |
| | 132,154,136 |
Personal Products - 0.7% |
Avon Products, Inc. | 1,766,510 | | 66,862,404 |
Tobacco - 0.5% |
Altria Group, Inc. | 668,300 | | 43,212,278 |
TOTAL CONSUMER STAPLES | | 1,209,878,186 |
ENERGY - 6.2% |
Energy Equipment & Services - 3.7% |
Baker Hughes, Inc. | 1,246,570 | | 63,774,521 |
Halliburton Co. | 1,246,000 | | 59,583,720 |
National Oilwell Varco, Inc. (a) | 840,200 | | 39,943,108 |
Noble Corp. | 188,000 | | 11,563,880 |
Schlumberger Ltd. (NY Shares) | 951,400 | | 72,249,316 |
Smith International, Inc. | 452,400 | | 28,817,880 |
Transocean, Inc. (a) | 305,700 | | 16,498,629 |
Weatherford International Ltd. (a) | 595,240 | | 34,512,015 |
| | 326,943,069 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
ENERGY - continued |
Oil, Gas & Consumable Fuels - 2.5% |
Arch Coal, Inc. | 448,200 | | $ 24,413,454 |
Ashland, Inc. | 128,600 | | 9,242,482 |
BG Group PLC sponsored ADR (d) | 1,125,100 | | 46,804,160 |
CONSOL Energy, Inc. | 440,800 | | 23,618,064 |
Peabody Energy Corp. | 456,200 | | 23,740,648 |
Premcor, Inc. | 588,500 | | 43,654,930 |
Tesoro Petroleum Corp. | 487,200 | | 22,664,544 |
Valero Energy Corp. | 329,100 | | 26,035,101 |
| | 220,173,383 |
TOTAL ENERGY | | 547,116,452 |
FINANCIALS - 7.6% |
Capital Markets - 2.0% |
E*TRADE Financial Corp. (a) | 2,495,400 | | 34,910,646 |
Goldman Sachs Group, Inc. | 190,400 | | 19,424,608 |
Greenhill & Co., Inc. | 150,000 | | 6,076,500 |
Lazard Ltd. Class A | 108,700 | | 2,527,275 |
Merrill Lynch & Co., Inc. | 813,900 | | 44,772,639 |
Morgan Stanley | 822,700 | | 43,167,069 |
UBS AG (NY Shares) | 340,000 | | 26,469,000 |
| | 177,347,737 |
Commercial Banks - 0.1% |
Standard Chartered PLC (United Kingdom) | 486,400 | | 8,889,125 |
Consumer Finance - 1.3% |
American Express Co. | 2,204,400 | | 117,340,212 |
Diversified Financial Services - 0.5% |
JPMorgan Chase & Co. | 1,259,266 | | 44,477,275 |
Insurance - 3.5% |
AFLAC, Inc. | 1,734,120 | | 75,052,714 |
American International Group, Inc. | 3,330,266 | | 193,488,455 |
Prudential Financial, Inc. | 561,000 | | 36,835,260 |
| | 305,376,429 |
Thrifts & Mortgage Finance - 0.2% |
Fannie Mae | 298,200 | | 17,414,880 |
TOTAL FINANCIALS | | 670,845,658 |
HEALTH CARE - 18.2% |
Biotechnology - 2.6% |
Amgen, Inc. (a) | 1,009,310 | | 61,022,883 |
Genentech, Inc. (a) | 911,200 | | 73,151,136 |
Genzyme Corp. (a) | 803,600 | | 48,288,324 |
ImClone Systems, Inc. (a) | 844,200 | | 26,144,874 |
QLT, Inc. (a) | 764,300 | | 7,903,755 |
Tanox, Inc. (a) | 1,042,600 | | 12,219,272 |
Telik, Inc. (a) | 73,600 | | 1,196,736 |
| | 229,926,980 |
|
| Shares | | Value (Note 1) |
Health Care Equipment & Supplies - 3.8% |
Alcon, Inc. | 476,500 | | $ 52,105,275 |
Baxter International, Inc. | 2,133,000 | | 79,134,300 |
Beckman Coulter, Inc. | 447,400 | | 28,441,218 |
Becton, Dickinson & Co. | 840,100 | | 44,080,047 |
C.R. Bard, Inc. | 625,700 | | 41,615,307 |
Dade Behring Holdings, Inc. | 252,200 | | 16,395,522 |
Medtronic, Inc. | 955,230 | | 49,471,362 |
Waters Corp. (a) | 679,400 | | 25,253,298 |
| | 336,496,329 |
Health Care Providers & Services - 1.9% |
Community Health Systems, Inc. (a) | 986,800 | | 37,291,172 |
HCA, Inc. | 367,100 | | 20,803,557 |
Health Management Associates, Inc. Class A | 1,314,900 | | 34,424,082 |
Triad Hospitals, Inc. (a) | 675,900 | | 36,931,176 |
UnitedHealth Group, Inc. | 707,400 | | 36,883,836 |
| | 166,333,823 |
Pharmaceuticals - 9.9% |
Abbott Laboratories | 2,812,100 | | 137,821,021 |
Barr Pharmaceuticals, Inc. (a) | 994,672 | | 48,480,313 |
Eli Lilly & Co. | 784,700 | | 43,715,637 |
Johnson & Johnson | 4,708,820 | | 306,073,300 |
MGI Pharma, Inc. (a) | 929,400 | | 20,223,744 |
Pfizer, Inc. | 5,084,395 | | 140,227,614 |
Roche Holding AG (participation certificate) | 224,239 | | 28,378,704 |
Schering-Plough Corp. | 5,043,400 | | 96,127,204 |
Wyeth | 978,500 | | 43,543,250 |
| | 864,590,787 |
TOTAL HEALTH CARE | | 1,597,347,919 |
INDUSTRIALS - 11.9% |
Aerospace & Defense - 3.0% |
EADS NV | 954,400 | | 30,433,385 |
General Dynamics Corp. | 307,400 | | 33,672,596 |
Goodrich Corp. | 534,480 | | 21,892,301 |
Lockheed Martin Corp. | 733,220 | | 47,563,981 |
Precision Castparts Corp. | 432,674 | | 33,705,305 |
Rolls-Royce Group PLC | 1,966,800 | | 10,122,447 |
The Boeing Co. | 1,233,700 | | 81,424,200 |
| | 258,814,215 |
Air Freight & Logistics - 1.2% |
FedEx Corp. | 577,500 | | 46,783,275 |
United Parcel Service, Inc. Class B | 363,700 | | 25,153,492 |
UTI Worldwide, Inc. | 393,711 | | 27,410,160 |
| | 99,346,927 |
Commercial Services & Supplies - 2.3% |
Cintas Corp. | 1,072,860 | | 41,412,396 |
Corporate Executive Board Co. | 365,700 | | 28,645,281 |
Equifax, Inc. | 866,600 | | 30,946,286 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INDUSTRIALS - continued |
Commercial Services & Supplies - continued |
Herman Miller, Inc. | 869,900 | | $ 26,827,716 |
Monster Worldwide, Inc. (a) | 1,177,280 | | 33,764,390 |
Robert Half International, Inc. | 1,470,300 | | 36,713,391 |
| | 198,309,460 |
Construction & Engineering - 0.1% |
Washington Group International, Inc. (a) | 209,200 | | 10,694,304 |
Electrical Equipment - 0.2% |
American Power Conversion Corp. | 738,153 | | 17,413,029 |
Industrial Conglomerates - 2.6% |
General Electric Co. | 5,414,140 | | 187,599,951 |
Siemens AG sponsored ADR | 576,300 | | 41,868,195 |
| | 229,468,146 |
Machinery - 1.0% |
Caterpillar, Inc. | 413,700 | | 39,429,747 |
Deere & Co. | 406,500 | | 26,621,685 |
Joy Global, Inc. | 712,026 | | 23,916,953 |
| | 89,968,385 |
Marine - 0.1% |
Alexander & Baldwin, Inc. | 232,781 | | 10,789,399 |
Road & Rail - 1.2% |
Burlington Northern Santa Fe Corp. | 707,700 | | 33,318,516 |
CSX Corp. | 250,800 | | 10,699,128 |
Norfolk Southern Corp. | 914,700 | | 28,319,112 |
Union Pacific Corp. | 533,700 | | 34,583,760 |
| | 106,920,516 |
Trading Companies & Distributors - 0.2% |
UAP Holding Corp. | 1,193,563 | | 19,813,146 |
TOTAL INDUSTRIALS | | 1,041,537,527 |
INFORMATION TECHNOLOGY - 28.3% |
Communications Equipment - 5.1% |
Alvarion Ltd. (a) | 863,500 | | 10,033,870 |
Andrew Corp. (a) | 2,141,900 | | 27,330,644 |
Avaya, Inc. (a) | 3,175,098 | | 26,416,815 |
Cisco Systems, Inc. (a) | 7,312,120 | | 139,734,613 |
Harris Corp. | 1,025,900 | | 32,018,339 |
Powerwave Technologies, Inc. (a) | 2,555,753 | | 26,119,796 |
QUALCOMM, Inc. | 4,029,100 | | 133,000,591 |
Research In Motion Ltd. (a) | 461,390 | | 33,956,527 |
Tekelec (a) | 1,110,743 | | 18,660,482 |
| | 447,271,677 |
Computers & Peripherals - 4.6% |
Apple Computer, Inc. (a) | 1,765,934 | | 65,004,031 |
Dell, Inc. (a) | 4,692,160 | | 185,387,242 |
EMC Corp. (a) | 5,114,900 | | 70,125,279 |
Network Appliance, Inc. (a) | 1,311,292 | | 37,070,225 |
|
| Shares | | Value (Note 1) |
QLogic Corp. (a) | 774,100 | | $ 23,896,467 |
UNOVA, Inc. (a) | 680,300 | | 18,116,389 |
| | 399,599,633 |
Electronic Equipment & Instruments - 1.4% |
Amphenol Corp. Class A | 688,582 | | 27,660,339 |
Arrow Electronics, Inc. (a) | 892,300 | | 24,234,868 |
Hon Hai Precision Industries Co. Ltd. | 6,438,842 | | 33,439,290 |
Molex, Inc. | 1,036,200 | | 26,982,648 |
Symbol Technologies, Inc. | 1,158,300 | | 11,432,421 |
| | 123,749,566 |
Internet Software & Services - 1.9% |
Digital River, Inc. (a) | 879,850 | | 27,935,238 |
Google, Inc. Class A (sub. vtg.) | 248,100 | | 72,978,615 |
Yahoo!, Inc. (a) | 1,924,432 | | 66,681,569 |
| | 167,595,422 |
IT Services - 0.3% |
BearingPoint, Inc. (a) | 4,172,521 | | 30,584,579 |
Semiconductors & Semiconductor Equipment - 9.3% |
Agere Systems, Inc. (a) | 1,534,165 | | 18,409,980 |
Altera Corp. (a) | 2,166,139 | | 42,932,875 |
Analog Devices, Inc. | 1,334,400 | | 49,786,464 |
Applied Materials, Inc. | 4,061,047 | | 65,707,740 |
Applied Micro Circuits Corp. (a) | 2,864,400 | | 7,332,864 |
ASML Holding NV (NY Shares) (a) | 1,196,576 | | 18,738,380 |
Atmel Corp. (a) | 3,708,000 | | 8,787,960 |
Fairchild Semiconductor International, Inc. (a) | 1,538,200 | | 22,688,450 |
Freescale Semiconductor, Inc.: | | | |
Class A | 1,661,300 | | 34,903,913 |
Class B | 649,919 | | 13,765,284 |
Integrated Circuit Systems, Inc. (a) | 222,109 | | 4,584,330 |
Intel Corp. | 10,564,300 | | 275,305,658 |
Intersil Corp. Class A | 1,791,736 | | 33,630,885 |
Linear Technology Corp. | 239,200 | | 8,776,248 |
Maxim Integrated Products, Inc. | 234,600 | | 8,964,066 |
Novellus Systems, Inc. (a) | 804,600 | | 19,881,666 |
ON Semiconductor Corp. (a) | 2,154,500 | | 9,910,700 |
PMC-Sierra, Inc. (a) | 3,416,682 | | 31,877,643 |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 3,896,091 | | 35,532,350 |
Teradyne, Inc. (a) | 1,356,784 | | 16,240,704 |
United Microelectronics Corp. sponsored ADR (d) | 9,197,720 | | 37,802,629 |
Vitesse Semiconductor Corp. (a) | 3,067,300 | | 6,410,657 |
Xilinx, Inc. | 1,765,332 | | 45,015,966 |
| | 816,987,412 |
Software - 5.7% |
Citrix Systems, Inc. (a) | 1,410,044 | | 30,541,553 |
Cognos, Inc. (a) | 232,600 | | 7,943,180 |
Kronos, Inc. (a) | 593,316 | | 23,964,033 |
Microsoft Corp. | 13,085,870 | | 325,053,010 |
NAVTEQ Corp. | 683,400 | | 25,408,812 |
Red Hat, Inc. (a) | 719,500 | | 9,425,450 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INFORMATION TECHNOLOGY - continued |
Software - continued |
SAP AG sponsored ADR | 726,700 | | $ 31,466,110 |
Take-Two Interactive Software, Inc. (a) | 1,650,950 | | 42,016,678 |
| | 495,818,826 |
TOTAL INFORMATION TECHNOLOGY | | 2,481,607,115 |
MATERIALS - 1.0% |
Chemicals - 1.0% |
Monsanto Co. | 980,800 | | 61,662,896 |
Syngenta AG sponsored ADR | 1,336,500 | | 27,251,235 |
| | 88,914,131 |
TELECOMMUNICATION SERVICES - 1.0% |
Wireless Telecommunication Services - 1.0% |
Nextel Communications, Inc.
Class A (a) | 2,660,800 | | 85,970,448 |
UTILITIES - 0.1% |
Gas Utilities - 0.1% |
Southern Union Co. | 387,600 | | 9,515,580 |
TOTAL COMMON STOCKS (Cost $7,322,151,698) | 8,734,964,551 |
Preferred Stocks - 0.0% |
| | | |
Convertible Preferred Stocks - 0.0% |
INFORMATION TECHNOLOGY - 0.0% |
Communications Equipment - 0.0% |
Chorum Technologies, Inc.
Series E (a)(e) | 88,646 | | 1 |
Nonconvertible Preferred Stocks - 0.0% |
HEALTH CARE - 0.0% |
Biotechnology - 0.0% |
GeneProt, Inc. Series A (a)(e) | 826,000 | | 710,360 |
TOTAL PREFERRED STOCKS (Cost $5,872,855) | 710,361 |
Money Market Funds - 0.5% |
| Shares | | Value (Note 1) |
Fidelity Cash Central Fund, 3.21% (b) | 35,338,408 | | $ 35,338,408 |
Fidelity Securities Lending Cash Central Fund, 3.23% (b)(c) | 7,400,480 | | 7,400,480 |
TOTAL MONEY MARKET FUNDS (Cost $42,738,888) | 42,738,888 |
TOTAL INVESTMENT PORTFOLIO - 100.0% (Cost $7,370,763,441) | | | 8,778,413,800 |
NET OTHER ASSETS - 0.0% | | (3,019,301) |
NET ASSETS - 100% | | $ 8,775,394,499 |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent quarter end is available upon request. |
(c) Includes investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
(e) 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 $710,361 or 0.0% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost |
Chorum Technologies, Inc. Series E | 9/19/00 | $ 1,528,257 |
Geneprot, Inc. Series A | 7/7/00 | $ 4,543,000 |
Income Tax Information |
At December 31, 2004, the fund had a capital loss carryforward of approximately $3,653,617,452 of which $1,411,197,000, $2,197,712,598 and $44,707,854 will expire on December 31, 2009, 2010 and 2011, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Growth Portfolio
Financial Statements
Statement of Assets and Liabilities
| June 30, 2005 (Unaudited) |
| | |
Assets | | |
Investment in securities, at value (including securities loaned of $7,256,398) (cost $7,370,763,441) - See accompanying schedule | | $ 8,778,413,800 |
Foreign currency held at value (cost $9,665,941) | | 9,560,324 |
Receivable for investments sold | | 16,115,550 |
Receivable for fund shares sold | | 1,046,292 |
Dividends receivable | | 4,760,257 |
Interest receivable | | 101,968 |
Prepaid expenses | | 21,061 |
Other affiliated receivables | | 56,007 |
Other receivables | | 1,886,237 |
Total assets | | 8,811,961,496 |
| | |
Liabilities | | |
Payable for investments purchased | $ 14,107,022 | |
Payable for fund shares redeemed | 8,152,577 | |
Accrued management fee | 4,262,376 | |
Distribution fees payable | 261,678 | |
Other affiliated payables | 813,433 | |
Other payables and accrued
expenses | 1,569,431 | |
Collateral on securities loaned, at value | 7,400,480 | |
Total liabilities | | 36,566,997 |
| | |
Net Assets | | $ 8,775,394,499 |
Net Assets consist of: | | |
Paid in capital | | $ 10,552,378,204 |
Undistributed net investment income | | 12,476,688 |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | | (3,197,003,772) |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | | 1,407,543,379 |
Net Assets | | $ 8,775,394,499 |
Initial Class:
Net Asset Value, offering price and redemption price per share ($6,871,849,618 ÷ 220,253,058 shares) | | $ 31.20 |
Service Class:
Net Asset Value, offering price and redemption price per share ($1,108,869,936 ÷ 35,668,377 shares) | | $ 31.09 |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($791,132,636 ÷ 25,634,103 shares) | | $ 30.86 |
Service Class 2R:
Net Asset Value, offering price and redemption price per share ($3,542,309 ÷ 115,164 shares) | | $ 30.76 |
Statement of Operations
| Six months ended June 30, 2005 (Unaudited) |
| | |
Investment Income | | |
Dividends | | $ 43,199,037 |
Interest | | 400,211 |
Security lending | | 241,841 |
Total income | | 43,841,089 |
| | |
Expenses | | |
Management fee | $ 26,184,315 | |
Transfer agent fees | 3,014,195 | |
Distribution fees | 1,589,638 | |
Accounting and security lending fees | 668,905 | |
Independent trustees' compensation | 21,398 | |
Appreciation in deferred trustee compensation account | 8,899 | |
Custodian fees and expenses | 117,367 | |
Audit | 55,230 | |
Legal | 12,132 | |
Interest | 24,699 | |
Miscellaneous | 231,407 | |
Total expenses before reductions | 31,928,185 | |
Expense reductions | (1,999,638) | 29,928,547 |
Net investment income (loss) | | 13,912,542 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | | |
Investment securities | 482,662,500 | |
Foreign currency transactions | 1,333,933 | |
Total net realized gain (loss) | | 483,996,433 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (717,987,603) | |
Assets and liabilities in foreign currencies | (603,883) | |
Total change in net unrealized appreciation (depreciation) | | (718,591,486) |
Net gain (loss) | | (234,595,053) |
Net increase (decrease) in net assets resulting from operations | | $ (220,682,511) |
See accompanying notes which are an integral part of the financial statements.
Growth Portfolio
Statement of Changes in Net Assets
| Six months ended
June 30, 2005
(Unaudited) | Year ended
December 31,
2004 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income (loss) | $ 13,912,542 | $ 45,137,740 |
Net realized gain (loss) | 483,996,433 | 704,392,254 |
Change in net unrealized appreciation (depreciation) | (718,591,486) | (448,655,386) |
Net increase (decrease) in net assets resulting from operations | (220,682,511) | 300,874,608 |
Distributions to shareholders from net investment income | (43,821,998) | (25,185,765) |
Share transactions - net increase (decrease) | (897,043,493) | (945,720,754) |
Redemption fees | 3 | 13 |
Total increase (decrease) in net assets | (1,161,547,999) | (670,031,898) |
| | |
Net Assets | | |
Beginning of period | 9,936,942,498 | 10,606,974,396 |
End of period (including undistributed net investment income of $12,476,688 and undistributed net investment income of $42,500,013, respectively) | $ 8,775,394,499 | $ 9,936,942,498 |
Other Information: | | | | |
Share Transactions | Six months ended June 30, 2005 |
| Initial Class | Service Class | Service Class 2 | Service Class 2R |
Shares Sold | 2,628,128 | 1,098,635 | 2,639,826 | 39,617 |
Reinvested | 1,168,668 | 155,666 | 69,981 | 259 |
Redeemed | (27,098,198) | (7,188,194) | (2,713,945) | (9,251) |
Net increase (decrease) | (23,301,402) | (5,933,893) | (4,138) | 30,625 |
| | | | |
Dollars Sold | $ 81,212,333 | $ 34,043,200 | $ 80,747,245 | $ 1,210,646 |
Reinvested | 36,754,599 | 4,880,141 | 2,179,216 | 8,042 |
Redeemed | (836,612,602) | (218,446,615) | (82,737,518) | (282,180) |
Net increase (decrease) | $ (718,645,670) | $ (179,523,274) | $ 188,943 | $ 936,508 |
| | | | |
Share Transactions | Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 | Service Class 2R |
Shares Sold | 10,173,829 | 3,809,653 | 9,957,726 | 63,032 |
Reinvested | 677,303 | 70,256 | 26,349 | 100 |
Redeemed | (44,148,491) | (7,601,708) | (4,196,333) | (23,264) |
Net increase (decrease) | (33,297,359) | (3,721,799) | 5,787,742 | 39,868 |
| | | | |
Dollars Sold | $ 317,143,990 | $ 118,147,419 | $ 305,162,849 | $ 1,941,136 |
Reinvested | 22,052,984 | 2,279,802 | 849,771 | 3,208 |
Redeemed | (1,353,451,648) | (232,412,004) | (126,744,925) | (693,336) |
Net increase (decrease) | $ (1,014,254,674) | $ (111,984,783) | $ 179,267,695 | $ 1,251,008 |
| | | | |
Distributions | Six months ended June 30, 2005 |
| Initial Class | Service Class | Service Class 2 | Service Class 2R |
From net investment income | $ 36,754,599 | $ 4,880,141 | $ 2,179,216 | $ 8,042 |
| | | | |
| Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 | Service Class 2R |
From net investment income | $ 22,052,984 | $ 2,279,802 | $ 849,771 | $ 3,208 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Initial Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 32.01 | $ 31.04 | $ 23.44 | $ 33.61 | $ 43.66 | $ 54.93 |
Income from Investment Operations | | | | | | |
Net investment income (loss)E | .05 | .15F,I | .07 | .07 | .07 | .03 |
Net realized and unrealized gain (loss) | (.70) | .90 | 7.60 | (10.17) | (7.27) | (5.27) |
Total from investment operations | (.65) | 1.05 | 7.67 | (10.10) | (7.20) | (5.24) |
Distributions from net investment income | (.16) | (.08) | (.07) | (.07) | (.03) | (.06) |
Distributions from net realized gain | - | - | - | - | (2.82) | (5.97) |
Total distributions | (.16) | (.08) | (.07) | (.07) | (2.85) | (6.03) |
Redemption fees added to paid in capital | -E,H | -E,H | -E,H | -E,H | - | - |
Net asset value, end of period | $ 31.20 | $ 32.01 | $ 31.04 | $ 23.44 | $ 33.61 | $ 43.66 |
Total ReturnB,C,D | (2.05)% | 3.38% | 32.85% | (30.10)% | (17.67)% | (10.96)% |
Ratios to Average Net AssetsG | | | | | | |
Expenses before expense reductions | .66%A | .68% | .67% | .67% | .68% | .65% |
Expenses net of voluntary waivers, if any | .66%A | .68% | .67% | .67% | .68% | .65% |
Expenses net of all reductions | .62%A | .65% | .64% | .61% | .65% | .64% |
Net investment income (loss) | .34%A | .47%I | .28% | .25% | .19% | .07% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 6,871,850 | $ 7,796,888 | $ 8,594,509 | $ 7,016,147 | $ 11,458,659 | $ 15,517,271 |
Portfolio turnover rate | 88%A | 72% | 61% | 90% | 105% | 103% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.08 per share. Excluding the special dividend, the ratio of net investment income to average net assets would have been .22%.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
H Amount represents less than $.01 per share.
I As a result in the change in the estimate of the return of capital component of dividend income realized in the year ended December 31, 2003, net investment income per share and the ratio of net investment income to average net assets for the year ended December 31, 2004 have been reduced by $.01 per share and .02%, respectively. The change in estimate had no impact on total net assets or total return of the fund.
Financial Highlights - Service Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 31.88 | $ 30.92 | $ 23.34 | $ 33.48 | $ 43.51 | $ 54.80 |
Income from Investment Operations | | | | | | |
Net investment income (loss)E | .04 | .11F,I | .05 | .04 | .03 | (.02) |
Net realized and unrealized gain (loss) | (.71) | .90 | 7.58 | (10.14) | (7.24) | (5.25) |
Total from investment operations | (.67) | 1.01 | 7.63 | (10.10) | (7.21) | (5.27) |
Distributions from net investment income | (.12) | (.05) | (.05) | (.04) | - | (.05) |
Distributions from net realized gain | - | - | - | - | (2.82) | (5.97) |
Total distributions | (.12) | (.05) | (.05) | (.04) | (2.82) | (6.02) |
Redemption fees added to paid in capital | -E,H | -E,H | -E,H | -E,H | - | - |
Net asset value, end of period | $ 31.09 | $ 31.88 | $ 30.92 | $ 23.34 | $ 33.48 | $ 43.51 |
Total ReturnB,C,D | (2.10)% | 3.26% | 32.78% | (30.20)% | (17.74)% | (11.05)% |
Ratios to Average Net AssetsG | | | | | | |
Expenses before expense reductions | .76%A | .78% | .77% | .77% | .78% | .76% |
Expenses net of voluntary waivers, if any | .76%A | .78% | .77% | .77% | .78% | .76% |
Expenses net of all reductions | .72%A | .75% | .74% | .71% | .75% | .74% |
Net investment income (loss) | .24%A | .37%I | .18% | .15% | .09% | (.04) % |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 1,108,870 | $ 1,326,262 | $ 1,401,298 | $ 1,058,738 | $ 1,655,758 | $ 1,847,051 |
Portfolio turnover rate | 88%A | 72% | 61% | 90% | 105% | 103% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.08 per share. Excluding the special dividend, the ratio of net investment income to average net assets would have been .12%.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
H Amount represents less than $.01 per share.
I As a result in the change in the estimate of the return of capital component of dividend income realized in the year ended December 31, 2003, net investment income per share and the ratio of net investment income to average net assets for the year ended December 31, 2004 have been reduced by $.01 per share and .02%, respectively. The change in estimate had no impact on total net assets or total return of the fund.
See accompanying notes which are an integral part of the financial statements.
Growth Portfolio
Financial Highlights - Service Class 2
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000G |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 31.64 | $ 30.72 | $ 23.21 | $ 33.34 | $ 43.43 | $ 53.40 |
Income from Investment Operations | | | | | | |
Net investment income (loss)E | .01 | .07F, J | .01 | - | (.02) | (.09) |
Net realized and unrealized gain (loss) | (.70) | .89 | 7.53 | (10.09) | (7.22) | (3.86) |
Total from investment operations | (.69) | .96 | 7.54 | (10.09) | (7.24) | (3.95) |
Distributions from net investment income | (.09) | (.04) | (.03) | (.04) | (.03) | (.05) |
Distributions from net realized gain | - | - | - | - | (2.82) | (5.97) |
Total distributions | (.09) | (.04) | (.03) | (.04) | (2.85) | (6.02) |
Redemption fees added to paid in capital | -E,I | -E,I | -E,I | -E,I | - | - |
Net asset value, end of period | $ 30.86 | $ 31.64 | $ 30.72 | $ 23.21 | $ 33.34 | $ 43.43 |
Total ReturnB,C,D | (2.20)% | 3.12% | 32.54% | (30.30)% | (17.87)% | (8.88)% |
Ratios to Average Net AssetsH | | | | | | |
Expenses before expense reductions | .92%A | .93% | .92% | .93% | .93% | .91%A |
Expenses net of voluntary waivers, if any | .92%A | .93% | .92% | .93% | .93% | .91%A |
Expenses net of all reductions | .87%A | .90% | .89% | .87% | .90% | .90%A |
Net investment income (loss) | .09%A | .22%J | .02% | (.01)% | (.06)% | (.19)%A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 791,133 | $ 811,126 | $ 609,798 | $ 238,543 | $ 191,475 | $ 57,095 |
Portfolio turnover rate | 88%A | 72% | 61% | 90% | 105% | 103% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.08 per share. Excluding the special dividend, the ratio of net investment income to average net assets would have been (.03)%.
G For the period January 12, 2000 (commencement of sale of shares) to December 31, 2000.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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.
I Amount represents less than $.01 per share.
J As a result in the change in the estimate of the return of capital component of dividend income realized in the year ended December 31, 2003, net investment income per share and the ratio of net investment income to average net assets for the year ended December 31, 2004 have been reduced by $.01 per share and .02%, respectively. The change in estimate had no impact on total net assets or total return of the fund.
Financial Highlights - Service Class 2R
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002G |
Selected Per-Share Data | | | | |
Net asset value, beginning of period | $ 31.54 | $ 30.65 | $ 23.20 | $ 31.05 |
Income from Investment Operations | | | | |
Net investment income (loss)E | .01 | .07F,J | .01 | (.01) |
Net realized and unrealized gain (loss) | (.69) | .88 | 7.51 | (7.84) |
Total from investment operations | (.68) | .95 | 7.52 | (7.85) |
Distributions from net investment income | (.10) | (.06) | (.07) | - |
Redemption fees added to paid in capitalE,I | - | - | - | - |
Net asset value, end of period | $ 30.76 | $ 31.54 | $ 30.65 | $ 23.20 |
Total ReturnB,C,D | (2.17)% | 3.10% | 32.54% | (25.28)% |
Ratios to Average Net AssetsH | | | | |
Expenses before expense reductions | .91%A | .93% | .92% | .96%A |
Expenses net of voluntary waivers, if any | .91%A | .93% | .92% | .96%A |
Expenses net of all reductions | .87%A | .90% | .90% | .90%A |
Net investment income (loss) | .09%A | .22%J | .02% | (.03)%A |
Supplemental Data | | | | |
Net assets, end of period (000 omitted) | $ 3,542 | $ 2,667 | $ 1,369 | $ 210 |
Portfolio turnover rate | 88%A | 72% | 61% | 90% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.08 per share. Excluding the special dividend, the ratio of net investment income to average net assets would have been (.03)%.
G For the period April 24, 2002 (commencement of sale of shares) to December 31, 2002.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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.
I Amount represents less than $.01 per share.
J As a result in the change in the estimate of the return of capital component of dividend income realized in the year ended December 31, 2003, net investment income per share and the ratio of net investment income to average net assets for the year ended December 31, 2004 have been reduced by $.01 per share and .02%, respectively. The change in estimate had no impact on total net assets or total return of the fund.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Growth & Income Portfolio
Investment Changes
Top Ten Stocks as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Exxon Mobil Corp. | 4.2 | 3.2 |
Google, Inc. Class A (sub. vtg.) | 3.7 | 0.0 |
Wells Fargo & Co. | 3.6 | 4.9 |
Yahoo!, Inc. | 3.4 | 0.0 |
Honeywell International, Inc. | 3.3 | 0.0 |
American International Group, Inc. | 3.2 | 2.2 |
Microsoft Corp. | 3.0 | 3.2 |
Valero Energy Corp. | 3.0 | 0.0 |
Halliburton Co. | 2.9 | 0.0 |
Nextel Communications, Inc.
Class A | 2.7 | 0.0 |
| 33.0 | |
Top Five Market Sectors as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Financials | 17.8 | 22.5 |
Information Technology | 17.4 | 5.9 |
Consumer Discretionary | 14.6 | 22.7 |
Energy | 14.0 | 4.6 |
Health Care | 7.7 | 1.5 |
Asset Allocation (% of fund's net assets) |
As of June 30, 2005* | As of December 31, 2004** |
| Stocks 95.2% | | | Stocks 90.5% | |
| Short-Term
Investments and
Net Other Assets 4.8% | | | Short-Term
Investments and
Net Other Assets 9.5% | |
* Foreign investments | 10.0% | | ** Foreign investments | 2.9% | |
Growth & Income Portfolio
Fidelity Variable Insurance Products: Growth & Income Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 94.8% |
| Shares | | Value (Note 1) |
CONSUMER DISCRETIONARY - 14.6% |
Hotels, Restaurants & Leisure - 1.3% |
Carnival Corp. unit | 346,200 | | $ 18,885,210 |
Household Durables - 1.0% |
Toll Brothers, Inc. (a) | 151,100 | | 15,344,205 |
Internet & Catalog Retail - 2.3% |
eBay, Inc. (a) | 1,033,300 | | 34,109,233 |
Media - 4.6% |
E.W. Scripps Co. Class A | 326,699 | | 15,942,911 |
EchoStar Communications Corp. Class A | 753,300 | | 22,711,995 |
Harte-Hanks, Inc. | 28,500 | | 847,305 |
News Corp. Class B | 408,900 | | 6,894,054 |
Omnicom Group, Inc. | 291,100 | | 23,247,246 |
| | 69,643,511 |
Multiline Retail - 2.8% |
Federated Department Stores, Inc. | 261,600 | | 19,170,048 |
Target Corp. | 420,300 | | 22,868,523 |
| | 42,038,571 |
Specialty Retail - 1.0% |
Chico's FAS, Inc. (a) | 439,200 | | 15,055,776 |
DSW, Inc. Class A | 1,700 | | 42,415 |
| | 15,098,191 |
Textiles, Apparel & Luxury Goods - 1.6% |
Carter's, Inc. (a) | 285,300 | | 16,655,814 |
Liz Claiborne, Inc. | 202,100 | | 8,035,496 |
| | 24,691,310 |
TOTAL CONSUMER DISCRETIONARY | | 219,810,231 |
CONSUMER STAPLES - 7.3% |
Food & Staples Retailing - 2.0% |
Walgreen Co. | 657,200 | | 30,224,628 |
Food Products - 1.0% |
Nestle SA sponsored ADR | 238,500 | | 15,225,840 |
Household Products - 0.1% |
Colgate-Palmolive Co. | 32,400 | | 1,617,084 |
Personal Products - 2.5% |
Gillette Co. | 739,582 | | 37,445,037 |
Tobacco - 1.7% |
Altria Group, Inc. | 393,760 | | 25,460,522 |
TOTAL CONSUMER STAPLES | | 109,973,111 |
ENERGY - 13.6% |
Energy Equipment & Services - 3.9% |
Halliburton Co. | 919,700 | | 43,980,054 |
Schlumberger Ltd. (NY Shares) | 198,400 | | 15,066,496 |
| | 59,046,550 |
Oil, Gas & Consumable Fuels - 9.7% |
Exxon Mobil Corp. | 1,079,056 | | 62,013,347 |
Total SA sponsored ADR | 259,600 | | 30,334,260 |
|
| Shares | | Value (Note 1) |
Ultra Petroleum Corp. (a) | 250,700 | | $ 7,611,252 |
Valero Energy Corp. | 568,100 | | 44,942,391 |
| | 144,901,250 |
TOTAL ENERGY | | 203,947,800 |
FINANCIALS - 17.8% |
Capital Markets - 3.9% |
Goldman Sachs Group, Inc. | 372,500 | | 38,002,450 |
Lehman Brothers Holdings, Inc. | 213,600 | | 21,206,208 |
| | 59,208,658 |
Commercial Banks - 3.6% |
Wells Fargo & Co. | 873,300 | | 53,777,814 |
Consumer Finance - 2.2% |
American Express Co. | 633,700 | | 33,731,851 |
Insurance - 4.7% |
American International Group, Inc. | 828,905 | | 48,159,381 |
MetLife, Inc. unit | 453,700 | | 11,896,014 |
PartnerRe Ltd. | 84,400 | | 5,437,048 |
Platinum Underwriters Holdings Ltd. | 178,700 | | 5,686,234 |
| | 71,178,677 |
Real Estate - 2.1% |
General Growth Properties, Inc. | 371,900 | | 15,281,371 |
Vornado Realty Trust | 192,700 | | 15,493,080 |
| | 30,774,451 |
Thrifts & Mortgage Finance - 1.3% |
Golden West Financial Corp., Delaware | 291,100 | | 18,741,018 |
TOTAL FINANCIALS | | 267,412,469 |
HEALTH CARE - 7.7% |
Biotechnology - 1.3% |
Genentech, Inc. (a) | 231,200 | | 18,560,736 |
Health Care Equipment & Supplies - 3.9% |
Alcon, Inc. | 209,400 | | 22,897,890 |
Bausch & Lomb, Inc. | 104,700 | | 8,690,100 |
Fisher Scientific International, Inc. (a) | 122,900 | | 7,976,210 |
Medtronic, Inc. | 289,200 | | 14,977,668 |
Synthes, Inc. | 41,339 | | 4,538,210 |
| | 59,080,078 |
Health Care Providers & Services - 1.0% |
UnitedHealth Group, Inc. | 293,600 | | 15,308,304 |
Pharmaceuticals - 1.5% |
Roche Holding AG (participation certificate) | 180,600 | | 22,855,944 |
TOTAL HEALTH CARE | | 115,805,062 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INDUSTRIALS - 7.0% |
Aerospace & Defense - 4.3% |
Honeywell International, Inc. | 1,349,000 | | $ 49,413,870 |
Lockheed Martin Corp. | 237,600 | | 15,413,112 |
| | 64,826,982 |
Airlines - 0.5% |
Ryanair Holdings PLC sponsored ADR (a) | 172,000 | | 7,712,480 |
Industrial Conglomerates - 1.2% |
3M Co. | 249,200 | | 18,017,160 |
Road & Rail - 1.0% |
Burlington Northern Santa Fe Corp. | 305,200 | | 14,368,816 |
TOTAL INDUSTRIALS | | 104,925,438 |
INFORMATION TECHNOLOGY - 17.4% |
Communications Equipment - 2.0% |
Comverse Technology, Inc. (a) | 536,500 | | 12,688,225 |
Juniper Networks, Inc. (a) | 658,600 | | 16,583,548 |
| | 29,271,773 |
Computers & Peripherals - 1.5% |
Dell, Inc. (a) | 572,500 | | 22,619,475 |
Internet Software & Services - 7.3% |
aQuantive, Inc. (a) | 187,000 | | 3,313,640 |
Google, Inc. Class A (sub. vtg.) | 187,800 | | 55,241,370 |
Yahoo!, Inc. (a) | 1,477,200 | | 51,184,980 |
| | 109,739,990 |
Semiconductors & Semiconductor Equipment - 3.6% |
Broadcom Corp. Class A (a) | 431,500 | | 15,322,565 |
Intel Corp. | 1,456,600 | | 37,958,996 |
| | 53,281,561 |
Software - 3.0% |
Microsoft Corp. | 1,838,000 | | 45,655,920 |
TOTAL INFORMATION TECHNOLOGY | | 260,568,719 |
MATERIALS - 1.1% |
Chemicals - 1.1% |
Monsanto Co. | 272,910 | | 17,157,852 |
TELECOMMUNICATION SERVICES - 6.4% |
Wireless Telecommunication Services - 6.4% |
American Tower Corp. Class A (a) | 1,606,700 | | 33,772,834 |
Crown Castle International Corp. (a) | 1,076,400 | | 21,872,448 |
Nextel Communications, Inc. Class A (a) | 1,234,000 | | 39,870,540 |
| | 95,515,822 |
UTILITIES - 1.9% |
Electric Utilities - 1.1% |
Exelon Corp. | 326,500 | | 16,759,245 |
|
| Shares | | Value (Note 1) |
Multi-Utilities - 0.8% |
CMS Energy Corp. (a) | 773,900 | | $ 11,654,934 |
TOTAL UTILITIES | | 28,414,179 |
TOTAL COMMON STOCKS (Cost $1,336,181,571) | 1,423,530,683 |
Convertible Preferred Stocks - 0.4% |
| | | |
ENERGY - 0.4% |
Oil, Gas & Consumable Fuels - 0.4% |
El Paso Corp. 4.99% (c) | 6,100 | | 6,525,414 |
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $6,548,573) | 6,525,414 |
Money Market Funds - 5.7% |
| | | |
Fidelity Cash Central Fund, 3.21% (b)
(Cost $85,461,660) | 85,461,660 | | 85,461,660 |
TOTAL INVESTMENT PORTFOLIO - 100.9% (Cost $1,428,191,804) | | | 1,515,517,757 |
NET OTHER ASSETS - (0.9)% | | (14,011,149) |
NET ASSETS - 100% | $ 1,501,506,608 |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent quarter end is available upon request. |
(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 period end, the value of these securities amounted to $6,525,414 or 0.4% of net assets. |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 90.0% |
Switzerland | 4.0% |
France | 2.0% |
Panama | 1.3% |
Netherlands Antilles | 1.0% |
Others (individually less than 1%) | 1.7% |
| 100.0% |
Income Tax Information |
At December 31, 2004, the fund had a capital loss carryforward of approximately $160,503,421 of which $43,339,002, $107,381,708 and $9,782,711 will expire on December 31, 2009, 2010 and 2011, respectively. |
See accompanying notes which are an integral part of the financial statements.
Growth & Income Portfolio
Fidelity Variable Insurance Products: Growth & Income Portfolio
Financial Statements
Statement of Assets and Liabilities
| June 30, 2005 (Unaudited) |
| | |
Assets | | |
Investment in securities, at value (cost $1,428,191,804) - See accompanying schedule | | $ 1,515,517,757 |
Receivable for investments sold | | 130,056,518 |
Receivable for fund shares sold | | 140,054 |
Dividends receivable | | 1,183,734 |
Interest receivable | | 339,617 |
Prepaid expenses | | 3,281 |
Other receivables | | 362,043 |
Total assets | | 1,647,603,004 |
| | |
Liabilities | | |
Payable for investments purchased | $ 143,800,108 | |
Payable for fund shares redeemed | 1,157,571 | |
Accrued management fee | 601,045 | |
Distribution fees payable | 141,910 | |
Other affiliated payables | 125,194 | |
Other payables and accrued expenses | 270,568 | |
Total liabilities | | 146,096,396 |
| | |
Net Assets | | $ 1,501,506,608 |
Net Assets consist of: | | |
Paid in capital | | $ 1,526,298,659 |
Undistributed net investment income | | 9,352,720 |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | | (121,456,410) |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | | 87,311,639 |
Net Assets | | $ 1,501,506,608 |
| | |
Initial Class:
Net Asset Value, offering price and redemption price per share ($607,802,258 ÷ 46,071,636 shares) | | $ 13.19 |
| | |
Service Class:
Net Asset Value, offering price and redemption price per share ($367,302,104 ÷ 28,012,996 shares) | | $ 13.11 |
| | |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($526,402,246 ÷ 40,469,205 shares) | | $ 13.01 |
Statement of Operations
| Six months ended June 30, 2005 (Unaudited) |
| | |
Investment Income | | |
Dividends | | $ 12,671,939 |
Interest | | 1,974,221 |
Security lending | | 13,987 |
Total income | | 14,660,147 |
| | |
Expenses | | |
Management fee | $ 3,685,874 | |
Transfer agent fees | 521,085 | |
Distribution fees | 848,052 | |
Accounting and security lending fees | 260,160 | |
Independent trustees' compensation | 3,583 | |
Custodian fees and expenses | 9,034 | |
Audit | 26,621 | |
Legal | 1,743 | |
Interest | 9,147 | |
Miscellaneous | 54,740 | |
Total expenses before reductions | 5,420,039 | |
Expense reductions | (363,274) | 5,056,765 |
Net investment income (loss) | | 9,603,382 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | | |
Investment securities | 41,640,939 | |
Foreign currency transactions | 2,944 | |
Total net realized gain (loss) | | 41,643,883 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (112,251,837) | |
Assets and liabilities in foreign currencies | (14,314) | |
Total change in net unrealized appreciation (depreciation) | | (112,266,151) |
Net gain (loss) | | (70,622,268) |
Net increase (decrease) in net assets resulting from operations | | $ (61,018,886) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Growth & Income Portfolio
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended June 30, 2005
(Unaudited) | Year ended
December 31,
2004 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income (loss) | $ 9,603,382 | $ 22,894,276 |
Net realized gain (loss) | 41,643,883 | 6,132,638 |
Change in net unrealized appreciation (depreciation) | (112,266,151) | 59,376,943 |
Net increase (decrease) in net assets resulting from operations | (61,018,886) | 88,403,857 |
Distributions to shareholders from net investment income | (22,706,700) | (12,447,351) |
Share transactions - net increase (decrease) | (46,123,332) | 70,330,734 |
Total increase (decrease) in net assets | (129,848,918) | 146,287,240 |
| | |
Net Assets | | |
Beginning of period | 1,631,355,526 | 1,485,068,286 |
End of period (including undistributed net investment income of $9,352,720 and undistributed net investment income of $22,467,135, respectively) | $ 1,501,506,608 | $ 1,631,355,526 |
Other Information: | | | |
Share Transactions | Six months ended June 30, 2005 (Unaudited) |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 1,033,618 | 266,514 | 2,498,735 |
Reinvested | 741,166 | 414,785 | 519,277 |
Redeemed | (6,336,366) | (1,700,173) | (871,435) |
Net increase (decrease) | (4,561,582) | (1,018,874) | 2,146,577 |
| | | |
Dollars Sold | $ 13,916,044 | $ 3,570,491 | $ 33,159,162 |
Reinvested | 10,102,093 | 5,620,334 | 6,984,273 |
Redeemed | (85,233,905) | (22,683,019) | (11,558,805) |
Net increase (decrease) | $ (61,215,768) | $ (13,492,194) | $ 28,584,630 |
| | | |
Share Transactions | Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 2,753,905 | 2,759,500 | 13,125,821 |
Reinvested | 498,736 | 216,142 | 212,315 |
Redeemed | (11,869,073) | (1,077,681) | (1,149,269) |
Net increase (decrease) | (8,616,432) | 1,897,961 | 12,188,867 |
| | | |
Dollars Sold | $ 36,538,808 | $ 36,240,477 | $ 171,074,614 |
Reinvested | 6,722,963 | 2,898,471 | 2,825,917 |
Redeemed | (156,807,050) | (14,210,796) | (14,952,670) |
Net increase (decrease) | $ (113,545,279) | $ 24,928,152 | $ 158,947,861 |
| | | |
Distributions | Six months ended June 30, 2005 (Unaudited) |
| Initial Class | Service Class | Service Class 2 |
From net investment income | $ 10,102,093 | $ 5,620,334 | $ 6,984,273 |
| | | |
| Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
From net investment income | $ 6,722,963 | $ 2,898,471 | $ 2,825,917 |
See accompanying notes which are an integral part of the financial statements.
Growth & Income Portfolio
Financial Highlights - Initial Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 13.91 | $ 13.26 | $ 10.86 | $ 13.19 | $ 15.26 | $ 17.30 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .09 | .21 F | .12 | .15 | .18 | .20 |
Net realized and unrealized gain (loss) | (.60) | .56 | 2.42 | (2.32) | (1.45) | (.81) |
Total from investment operations | (.51) | .77 | 2.54 | (2.17) | (1.27) | (.61) |
Distributions from net investment income | (.21) | (.12) | (.14) | (.16) | (.19) | (.19) |
Distributions from net realized gain | - | - | - | - | (.61) | (1.24) |
Total distributions | (.21) | (.12) | (.14) | (.16) | (.80) | (1.43) |
Net asset value, end of period | $ 13.19 | $ 13.91 | $ 13.26 | $ 10.86 | $ 13.19 | $ 15.26 |
Total Return B, C, D | (3.75)% | 5.80% | 23.77% | (16.61)% | (8.75)% | (3.62)% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | .59% A | .60% | .59% | .59% | .58% | .58% |
Expenses net of voluntary waivers, if any | .59% A | .60% | .59% | .59% | .58% | .58% |
Expenses net of all reductions | .54% A | .60% | .59% | .58% | .56% | .57% |
Net investment income (loss) | 1.34% A | 1.58% | 1.02% | 1.30% | 1.34% | 1.26% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 607,802 | $ 704,460 | $ 785,494 | $ 638,124 | $ 893,359 | $ 1,011,393 |
Portfolio turnover rate | 169% A | 23% | 25% | 43% | 58% | 72% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.05 per share.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
Financial Highlights - Service Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 13.83 | $ 13.18 | $ 10.80 | $ 13.12 | $ 15.19 | $ 17.24 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .08 | .19 F | .11 | .14 | .16 | .18 |
Net realized and unrealized gain (loss) | (.60) | .57 | 2.40 | (2.31) | (1.44) | (.80) |
Total from investment operations | (.52) | .76 | 2.51 | (2.17) | (1.28) | (.62) |
Distributions from net investment income | (.20) | (.11) | (.13) | (.15) | (.18) | (.19) |
Distributions from net realized gain | - | - | - | - | (.61) | (1.24) |
Total distributions | (.20) | (.11) | (.13) | (.15) | (.79) | (1.43) |
Net asset value, end of period | $ 13.11 | $ 13.83 | $ 13.18 | $ 10.80 | $ 13.12 | $ 15.19 |
Total Return B, C, D | (3.84)% | 5.75% | 23.60% | (16.69)% | (8.85)% | (3.69)% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | .69% A | .70% | .69% | .69% | .68% | .69% |
Expenses net of voluntary waivers, if any | .69% A | .70% | .69% | .69% | .68% | .69% |
Expenses net of all reductions | .64% A | .70% | .69% | .68% | .66% | .68% |
Net investment income (loss) | 1.24% A | 1.48% | .92% | 1.20% | 1.24% | 1.16% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 367,302 | $ 401,392 | $ 357,585 | $ 250,160 | $ 281,194 | $ 212,994 |
Portfolio turnover rate | 169% A | 23% | 25% | 43% | 58% | 72% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.05 per share.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Service Class 2
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 G |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 13.71 | $ 13.09 | $ 10.73 | $ 13.07 | $ 15.17 | $ 16.94 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .07 | .17 F | .09 | .12 | .14 | .15 |
Net realized and unrealized gain (loss) | (.59) | .55 | 2.39 | (2.30) | (1.44) | (.49) |
Total from investment operations | (.52) | .72 | 2.48 | (2.18) | (1.30) | (.34) |
Distributions from net investment income | (.18) | (.10) | (.12) | (.16) | (.19) | (.19) |
Distributions from net realized gain | - | - | - | - | (.61) | (1.24) |
Total distributions | (.18) | (.10) | (.12) | (.16) | (.80) | (1.43) |
Net asset value, end of period | $ 13.01 | $ 13.71 | $ 13.09 | $ 10.73 | $ 13.07 | $ 15.17 |
Total Return B, C, D | (3.84)% | 5.52% | 23.44% | (16.84)% | (9.01)% | (2.11)% |
Ratios to Average Net Assets H | | | | | | |
Expenses before expense reductions | .84% A | .85% | .85% | .85% | .84% | .85% A |
Expenses net of voluntary waivers, if any | .84% A | .85% | .85% | .85% | .84% | .85% A |
Expenses net of all reductions | .79% A | .85% | .84% | .84% | .82% | .84% A |
Net investment income (loss) | 1.09% A | 1.33% | .76% | 1.05% | 1.08% | 1.00% A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 526,402 | $ 525,504 | $ 341,989 | $ 140,890 | $ 76,237 | $ 13,025 |
Portfolio turnover rate | 169% A | 23% | 25% | 43% | 58% | 72% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.05 per share.
G For the period January 12, 2000 (commencement of operations) to December 31, 2000.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Growth & Income Portfolio
Fidelity Variable Insurance Products: Growth Opportunities Portfolio
Investment Changes
Top Ten Stocks as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
General Electric Co. | 4.7 | 3.8 |
American Express Co. | 2.6 | 2.2 |
American International Group, Inc. | 2.6 | 2.1 |
Juniper Networks, Inc. | 2.5 | 1.9 |
Exxon Mobil Corp. | 2.5 | 2.3 |
Network Appliance, Inc. | 2.3 | 1.9 |
Gillette Co. | 2.0 | 1.9 |
Bank of America Corp. | 2.0 | 2.9 |
Schlumberger Ltd. (NY Shares) | 2.0 | 1.9 |
Johnson & Johnson | 1.9 | 1.3 |
| 25.1 | |
Top Five Market Sectors as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Information Technology | 20.1 | 21.4 |
Consumer Discretionary | 15.9 | 17.3 |
Financials | 14.1 | 16.2 |
Industrials | 12.5 | 12.4 |
Health Care | 12.5 | 9.9 |
Asset Allocation (% of fund's net assets) |
As of June 30, 2005* | As of December 31, 2004** |
| Stocks 97.6% | | | Stocks 95.0% | |
| Short-Term Investments
and Net Other Assets 2.4% | | | Short-Term Investments
and Net Other Assets 5.0% | |
* Foreign investments | 6.9% | | ** Foreign investments | 4.7% | |
Semiannual Report
Fidelity Variable Insurance Products: Growth Opportunities Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.6% |
| Shares | | Value (Note 1) |
CONSUMER DISCRETIONARY - 15.9% |
Hotels, Restaurants & Leisure - 2.8% |
Carnival Corp. unit | 95,200 | | $ 5,193,160 |
Hilton Hotels Corp. | 210,170 | | 5,012,555 |
Royal Caribbean Cruises Ltd. | 61,100 | | 2,954,796 |
Starwood Hotels & Resorts Worldwide, Inc. unit | 85,200 | | 4,990,164 |
| | 18,150,675 |
Media - 8.7% |
Lamar Advertising Co. Class A (a) | 45,600 | | 1,950,312 |
Martha Stewart Living Omnimedia, Inc. Class A (a)(d) | 193,318 | | 5,641,019 |
McGraw-Hill Companies, Inc. | 240,166 | | 10,627,346 |
News Corp.: | | | |
Class A | 440,712 | | 7,130,720 |
Class B | 197,600 | | 3,331,536 |
Omnicom Group, Inc. | 103,600 | | 8,273,496 |
Spanish Broadcasting System, Inc. Class A (a) | 44,534 | | 444,895 |
Time Warner, Inc. (a) | 536,900 | | 8,971,599 |
Univision Communications, Inc. Class A (a) | 292,100 | | 8,047,355 |
Viacom, Inc. Class B (non-vtg.) | 47,120 | | 1,508,782 |
Walt Disney Co. | 79,500 | | 2,001,810 |
| | 57,928,870 |
Multiline Retail - 2.0% |
Federated Department Stores, Inc. | 136,500 | | 10,002,720 |
Kohl's Corp. (a) | 13,800 | | 771,558 |
Nordstrom, Inc. | 38,000 | | 2,582,860 |
| | 13,357,138 |
Specialty Retail - 2.2% |
Best Buy Co., Inc. | 13,800 | | 945,990 |
Home Depot, Inc. | 66,900 | | 2,602,410 |
Staples, Inc. | 450,895 | | 9,613,081 |
Tiffany & Co., Inc. | 47,800 | | 1,565,928 |
| | 14,727,409 |
Textiles, Apparel & Luxury Goods - 0.2% |
NIKE, Inc. Class B | 13,800 | | 1,195,080 |
TOTAL CONSUMER DISCRETIONARY | | 105,359,172 |
CONSUMER STAPLES - 11.2% |
Beverages - 1.6% |
PepsiCo, Inc. | 34,200 | | 1,844,406 |
The Coca-Cola Co. | 205,300 | | 8,571,275 |
| | 10,415,681 |
Food & Staples Retailing - 2.8% |
CVS Corp. | 316,800 | | 9,209,376 |
Wal-Mart Stores, Inc. | 92,210 | | 4,444,522 |
Walgreen Co. | 108,900 | | 5,008,311 |
| | 18,662,209 |
|
| Shares | | Value (Note 1) |
Food Products - 1.5% |
Bunge Ltd. | 55,100 | | $ 3,493,340 |
Corn Products International, Inc. | 88,900 | | 2,112,264 |
Hershey Co. | 13,600 | | 844,560 |
Kellogg Co. | 56,000 | | 2,488,640 |
The J.M. Smucker Co. | 22,200 | | 1,042,068 |
| | 9,980,872 |
Household Products - 1.7% |
Colgate-Palmolive Co. | 58,700 | | 2,929,717 |
Procter & Gamble Co. | 156,415 | | 8,250,891 |
| | 11,180,608 |
Personal Products - 2.0% |
Gillette Co. | 269,670 | | 13,653,392 |
Tobacco - 1.6% |
Altria Group, Inc. | 166,420 | | 10,760,717 |
TOTAL CONSUMER STAPLES | | 74,653,479 |
ENERGY - 7.9% |
Energy Equipment & Services - 3.9% |
Baker Hughes, Inc. | 65,700 | | 3,361,212 |
Halliburton Co. | 193,400 | | 9,248,388 |
Schlumberger Ltd. (NY Shares) | 173,700 | | 13,190,778 |
| | 25,800,378 |
Oil, Gas & Consumable Fuels - 4.0% |
BP PLC sponsored ADR | 109,490 | | 6,829,986 |
Exxon Mobil Corp. | 283,500 | | 16,292,745 |
Plains Exploration & Production Co. (a) | 27,200 | | 966,416 |
Total SA sponsored ADR | 20,400 | | 2,383,740 |
| | 26,472,887 |
TOTAL ENERGY | | 52,273,265 |
FINANCIALS - 14.1% |
Capital Markets - 3.4% |
E*TRADE Financial Corp. (a) | 157,200 | | 2,199,228 |
Goldman Sachs Group, Inc. | 95,900 | | 9,783,718 |
Lehman Brothers Holdings, Inc. | 27,600 | | 2,740,128 |
Merrill Lynch & Co., Inc. | 124,200 | | 6,832,242 |
Morgan Stanley | 17,600 | | 923,472 |
| | 22,478,788 |
Commercial Banks - 2.3% |
Bank of America Corp. | 295,300 | | 13,468,633 |
Wells Fargo & Co. | 27,600 | | 1,699,608 |
| | 15,168,241 |
Consumer Finance - 3.3% |
American Express Co. | 324,800 | | 17,289,104 |
SLM Corp. | 88,900 | | 4,516,120 |
| | 21,805,224 |
Diversified Financial Services - 0.9% |
Citigroup, Inc. | 124,307 | | 5,746,713 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
FINANCIALS - continued |
Insurance - 3.8% |
ACE Ltd. | 80,030 | | $ 3,589,346 |
AFLAC, Inc. | 48,200 | | 2,086,096 |
American International Group, Inc. | 296,262 | | 17,212,822 |
Genworth Financial, Inc. Class A (non-vtg.) | 89,500 | | 2,705,585 |
| | 25,593,849 |
Thrifts & Mortgage Finance - 0.4% |
Fannie Mae | 20,500 | | 1,197,200 |
Freddie Mac | 27,400 | | 1,787,302 |
| | 2,984,502 |
TOTAL FINANCIALS | | 93,777,317 |
HEALTH CARE - 12.5% |
Biotechnology - 1.1% |
Genentech, Inc. (a) | 60,300 | | 4,840,884 |
MedImmune, Inc. (a) | 81,900 | | 2,188,368 |
| | 7,029,252 |
Health Care Equipment & Supplies - 3.7% |
Alcon, Inc. | 29,800 | | 3,258,630 |
Becton, Dickinson & Co. | 92,700 | | 4,863,969 |
C.R. Bard, Inc. | 47,600 | | 3,165,876 |
Dade Behring Holdings, Inc. | 37,700 | | 2,450,877 |
Hospira, Inc. (a) | 41,300 | | 1,610,700 |
Medtronic, Inc. | 132,100 | | 6,841,459 |
St. Jude Medical, Inc. (a) | 55,260 | | 2,409,889 |
| | 24,601,400 |
Health Care Providers & Services - 1.3% |
UnitedHealth Group, Inc. | 164,200 | | 8,561,388 |
Pharmaceuticals - 6.4% |
Abbott Laboratories | 41,330 | | 2,025,583 |
Allergan, Inc. | 12,800 | | 1,091,072 |
Johnson & Johnson | 196,800 | | 12,792,000 |
Merck & Co., Inc. | 24,200 | | 745,360 |
Pfizer, Inc. | 434,293 | | 11,977,801 |
Schering-Plough Corp. | 69,100 | | 1,317,046 |
Sepracor, Inc. (a) | 20,000 | | 1,200,200 |
Wyeth | 258,200 | | 11,489,900 |
| | 42,638,962 |
TOTAL HEALTH CARE | | 82,831,002 |
INDUSTRIALS - 12.5% |
Aerospace & Defense - 2.3% |
Honeywell International, Inc. | 200,500 | | 7,344,315 |
Lockheed Martin Corp. | 20,700 | | 1,342,809 |
Northrop Grumman Corp. | 26,200 | | 1,447,550 |
The Boeing Co. | 83,000 | | 5,478,000 |
| | 15,612,674 |
|
| Shares | | Value (Note 1) |
Air Freight & Logistics - 1.7% |
FedEx Corp. | 138,100 | | $ 11,187,481 |
Commercial Services & Supplies - 0.3% |
Robert Half International, Inc. | 85,460 | | 2,133,936 |
Construction & Engineering - 0.5% |
Fluor Corp. | 59,500 | | 3,426,605 |
Electrical Equipment - 0.2% |
American Power Conversion Corp. | 47,700 | | 1,125,243 |
Industrial Conglomerates - 6.8% |
3M Co. | 53,158 | | 3,843,323 |
General Electric Co. | 895,350 | | 31,023,877 |
Tyco International Ltd. | 344,500 | | 10,059,400 |
| | 44,926,600 |
Machinery - 0.4% |
Caterpillar, Inc. | 8,900 | | 848,259 |
Deere & Co. | 26,700 | | 1,748,583 |
| | 2,596,842 |
Road & Rail - 0.3% |
Laidlaw International, Inc. (a) | 68,100 | | 1,641,210 |
Norfolk Southern Corp. | 20,780 | | 643,349 |
| | 2,284,559 |
TOTAL INDUSTRIALS | | 83,293,940 |
INFORMATION TECHNOLOGY - 20.1% |
Communications Equipment - 6.2% |
Cisco Systems, Inc. (a) | 376,060 | | 7,186,507 |
F5 Networks, Inc. (a) | 34,200 | | 1,615,437 |
Juniper Networks, Inc. (a) | 651,000 | | 16,392,180 |
Motorola, Inc. | 238,700 | | 4,358,662 |
Nokia Corp. sponsored ADR | 200,400 | | 3,334,656 |
QUALCOMM, Inc. | 256,800 | | 8,476,968 |
| | 41,364,410 |
Computers & Peripherals - 4.3% |
Apple Computer, Inc. (a) | 41,500 | | 1,527,615 |
Dell, Inc. (a) | 207,200 | | 8,186,472 |
EMC Corp. (a) | 262,700 | | 3,601,617 |
Network Appliance, Inc. (a) | 529,600 | | 14,971,792 |
| | 28,287,496 |
Internet Software & Services - 2.3% |
Google, Inc. Class A (sub. vtg.) | 25,600 | | 7,530,240 |
Yahoo!, Inc. (a) | 231,400 | | 8,018,010 |
| | 15,548,250 |
Office Electronics - 0.1% |
Xerox Corp. (a) | 68,600 | | 945,994 |
Semiconductors & Semiconductor Equipment - 4.7% |
Analog Devices, Inc. | 98,600 | | 3,678,766 |
Broadcom Corp. Class A (a) | 68,500 | | 2,432,435 |
Freescale Semiconductor, Inc. Class B | 96,286 | | 2,039,337 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INFORMATION TECHNOLOGY - continued |
Semiconductors & Semiconductor Equipment - continued |
Intel Corp. | 322,710 | | $ 8,409,823 |
Marvell Technology Group Ltd. (a) | 47,700 | | 1,814,508 |
National Semiconductor Corp. | 137,300 | | 3,024,719 |
Texas Instruments, Inc. | 338,600 | | 9,504,502 |
| | 30,904,090 |
Software - 2.5% |
Microsoft Corp. | 383,720 | | 9,531,605 |
Red Hat, Inc. (a) | 81,900 | | 1,072,890 |
Symantec Corp. (a) | 144,066 | | 3,131,995 |
VERITAS Software Corp. (a) | 109,600 | | 2,674,240 |
| | 16,410,730 |
TOTAL INFORMATION TECHNOLOGY | | 133,460,970 |
MATERIALS - 3.1% |
Chemicals - 3.1% |
Monsanto Co. | 197,700 | | 12,429,399 |
Praxair, Inc. | 178,300 | | 8,308,780 |
| | 20,738,179 |
TELECOMMUNICATION SERVICES - 0.3% |
Diversified Telecommunication Services - 0.3% |
SBC Communications, Inc. | 44,460 | | 1,055,925 |
Verizon Communications, Inc. | 34,600 | | 1,195,430 |
| | 2,251,355 |
TOTAL COMMON STOCKS (Cost $513,093,515) | 648,638,679 |
Money Market Funds - 2.5% |
| Shares | | Value (Note 1) |
Fidelity Cash Central Fund, 3.21% (b) | 11,548,926 | | $ 11,548,926 |
Fidelity Securities Lending Cash Central Fund, 3.23% (b)(c) | 5,093,200 | | 5,093,200 |
TOTAL MONEY MARKET FUNDS (Cost $16,642,126) | 16,642,126 |
TOTAL INVESTMENT PORTFOLIO - 100.1% (Cost $529,735,641) | | | 665,280,805 |
NET OTHER ASSETS - (0.1)% | | | (546,316) |
NET ASSETS - 100% | | $ 664,734,489 |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent quarter end is available upon request. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
Income Tax Information |
At December 31, 2004, the fund had a capital loss carryforward of approximately $265,681,565 of which $189,124, $149,877,564 and $115,614,877 will expire on December 31, 2008, 2009 and 2010, respectively. |
See accompanying notes which are an integral part of the financial statements.
Growth Opportunities Portfolio
Fidelity Variable Insurance Products: Growth Opportunities Portfolio
Financial Statements
Statement of Assets and Liabilities
| June 30, 2005 (Unaudited) |
Assets | | |
Investment in securities, at value (including securities loaned of $4,995,616) (cost $529,735,641) - See accompanying schedule | | $ 665,280,805 |
Receivable for investments sold | | 9,373,388 |
Receivable for fund shares sold | | 69,250 |
Dividends receivable | | 653,076 |
Interest receivable | | 27,224 |
Prepaid expenses | | 1,520 |
Other receivables | | 203,174 |
Total assets | | 675,608,437 |
| | |
Liabilities | | |
Payable for investments purchased | $ 4,697,051 | |
Payable for fund shares redeemed | 489,492 | |
Accrued management fee | 322,679 | |
Distribution fees payable | 27,983 | |
Other affiliated payables | 58,764 | |
Other payables and accrued expenses | 184,779 | |
Collateral on securities loaned, at value | 5,093,200 | |
Total liabilities | | 10,873,948 |
| | |
Net Assets | | $ 664,734,489 |
Net Assets consist of: | | |
Paid in capital | | $ 782,927,116 |
Undistributed net investment income | | 2,424,327 |
Accumulated undistributed net realized gain (loss) on investments | | (256,162,118) |
Net unrealized appreciation (depreciation) on investments | | 135,545,164 |
Net Assets | | $ 664,734,489 |
| | |
Initial Class:
Net Asset Value, offering price and redemption price per share ($417,337,711 ÷ 26,448,497 shares) | | $ 15.78 |
| | |
Service Class:
Net Asset Value, offering price and redemption price per share ($191,790,698 ÷ 12,159,785 shares) | | $ 15.77 |
| | |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($55,606,080 ÷ 3,543,083 shares) | | $ 15.69 |
Statement of Operations
| Six months ended June 30, 2005 (Unaudited) |
| | |
Investment Income | | |
Dividends | | $ 4,419,547 |
Interest | | 313,807 |
Security lending | | 227,501 |
Total income | | 4,960,855 |
| | |
Expenses | | |
Management fee | $ 1,973,030 | |
Transfer agent fees | 238,441 | |
Distribution fees | 170,281 | |
Accounting and security lending fees | 131,503 | |
Independent trustees' compensation | 1,586 | |
Custodian fees and expenses | 12,054 | |
Audit | 23,953 | |
Legal | 1,140 | |
Miscellaneous | 26,526 | |
Total expenses before reductions | 2,578,514 | |
Expense reductions | (109,014) | 2,469,500 |
Net investment income (loss) | | 2,491,355 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on investment securities | | 11,242,414 |
Change in net unrealized appreciation (depreciation) on investment securities | | (21,351,747) |
Net gain (loss) | | (10,109,333) |
Net increase (decrease) in net assets resulting from operations | | $ (7,617,978) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Growth Opportunities Portfolio
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended
June 30, 2005
(Unaudited) | Year ended
December 31,
2004 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income (loss) | $ 2,491,355 | $ 6,314,997 |
Net realized gain (loss) | 11,242,414 | 14,949,483 |
Change in net unrealized appreciation (depreciation) | (21,351,747) | 26,748,507 |
Net increase (decrease) in net assets resulting from operations | (7,617,978) | 48,012,987 |
Distributions to shareholders from net investment income | (6,184,820) | (3,865,122) |
Share transactions - net increase (decrease) | (55,265,938) | (85,843,295) |
Total increase (decrease) in net assets | (69,068,736) | (41,695,430) |
| | |
Net Assets | | |
Beginning of period | 733,803,225 | 775,498,655 |
End of period (including undistributed net investment income of $2,424,327 and undistributed net investment income of $6,108,550, respectively) | $ 664,734,489 | $ 733,803,225 |
Other Information: | | | |
Share Transactions | Six months ended June 30, 2005 |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 1,064,033 | 278,982 | 202,919 |
Reinvested | 259,671 | 105,834 | 25,062 |
Redeemed | (3,504,637) | (1,486,997) | (502,674) |
Net increase (decrease) | (2,180,933) | (1,102,181) | (274,693) |
| | | |
Dollars Sold | $ 16,661,947 | $ 4,368,455 | $ 3,149,838 |
Reinvested | 4,113,187 | 1,676,409 | 395,224 |
Redeemed | (54,605,084) | (23,243,857) | (7,782,057) |
Net increase (decrease) | $ (33,829,950) | $ (17,198,993) | $ (4,236,995) |
| | | |
Share Transactions | Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 2,729,868 | 870,070 | 885,612 |
Reinvested | 170,805 | 67,879 | 13,011 |
Redeemed | (6,832,162) | (2,590,797) | (1,093,977) |
Net increase (decrease) | (3,931,489) | (1,652,848) | (195,354) |
| | | |
Dollars Sold | $ 41,720,058 | $ 13,156,606 | $ 13,251,573 |
Reinvested | 2,623,558 | 1,042,625 | 198,939 |
Redeemed | (102,539,187) | (38,992,902) | (16,304,565) |
Net increase (decrease) | $ (58,195,571) | $ (24,793,671) | $ (2,854,053) |
| | | |
Distributions | Six months ended June 30, 2005 |
| Initial Class | Service Class | Service Class 2 |
From net investment income | $ 4,113,187 | $ 1,676,409 | $ 395,224 |
From net realized gain | - | - | - |
Total | $ 4,113,187 | $ 1,676,409 | $ 395,224 |
| Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
From net investment income | $ 2,623,558 | $ 1,042,625 | $ 198,939 |
From net realized gain | - | - | - |
Total | $ 2,623,558 | $ 1,042,625 | $ 198,939 |
See accompanying notes which are an integral part of the financial statements.
Growth Opportunities Portfolio
Financial Highlights - Initial Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 16.07 | $ 15.07 | $ 11.71 | $ 15.13 | $ 17.74 | $ 23.15 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .06 | .14 F | .08 | .09 | .12 | .06 |
Net realized and unrealized gain (loss) | (.21) | .94 | 3.38 | (3.37) | (2.67) | (3.77) |
Total from investment operations | (.15) | 1.08 | 3.46 | (3.28) | (2.55) | (3.71) |
Distributions from net investment income | (.14) | (.08) | (.10) | (.14) | (.06) | (.29) |
Distributions from net realized gain | - | - | - | - | - | (1.41) |
Total distributions | (.14) | (.08) | (.10) | (.14) | (.06) | (1.70) |
Net asset value, end of period | $ 15.78 | $ 16.07 | $ 15.07 | $ 11.71 | $ 15.13 | $ 17.74 |
Total Return B, C, D | (.91)% | 7.19% | 29.87% | (21.84)% | (14.42% | (17.07)% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | .70% A | .72% | .72% | .70% | .69% | .68% |
Expenses net of voluntary waivers, if any | .70% A | .72% | .72% | .70% | .69% | .68% |
Expenses net of all reductions | .67% A | .70% | .70% | .66% | .67% | .66% |
Net investment income (loss) | .77% A | .91% | .64% | .68% | .79% | .31% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 417,338 | $ 459,975 | $ 490,710 | $ 403,476 | $ 652,493 | $ 951,875 |
Portfolio turnover rate | 83% A | 65% | 62% | 60% | 89% | 117% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.04 per share.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
Financial Highlights - Service Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 16.05 | $ 15.06 | $ 11.70 | $ 15.11 | $ 17.71 | $ 23.12 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .05 | .12 F | .07 | .08 | .11 | .04 |
Net realized and unrealized gain (loss) | (.20) | .94 | 3.37 | (3.37) | (2.67) | (3.76) |
Total from investment operations | (.15) | 1.06 | 3.44 | (3.29) | (2.56) | (3.72) |
Distributions from net investment income | (.13) | (.07) | (.08) | (.12) | (.04) | (.28) |
Distributions from net realized gain | - | - | - | - | - | (1.41) |
Total distributions | (.13) | (.07) | (.08) | (.12) | (.04) | (1.69) |
Net asset value, end of period | $ 15.77 | $ 16.05 | $ 15.06 | $ 11.70 | $ 15.11 | $ 17.71 |
Total Return B, C, D | (.94)% | 7.06% | 29.66% | (21.92)% | (14.49)% | (17.13)% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | .80% A | .82% | .82% | .80% | .79% | .79% |
Expenses net of voluntary waivers, if any | .80% A | .82% | .82% | .80% | .79% | .79% |
Expenses net of all reductions | .77% A | .80% | .80% | .77% | .77% | .76% |
Net investment income (loss) | .67% A | .81% | .54% | .58% | .69% | .21% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 191,791 | $ 212,890 | $ 224,660 | $ 188,318 | $ 278,446 | $ 345,960 |
Portfolio turnover rate | 83% A | 65% | 62% | 60% | 89% | 117% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.04 per share.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Growth Opportunities Portfolio
Financial Statements - continued
Financial Highlights - Service Class 2
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 G |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 15.96 | $ 14.98 | $ 11.64 | $ 15.04 | $ 17.68 | $ 22.70 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .04 | .10 F | .05 | .05 | .08 | .01 |
Net realized and unrealized gain (loss) | (.20) | .93 | 3.35 | (3.34) | (2.66) | (3.34) |
Total from investment operations | (.16) | 1.03 | 3.40 | (3.29) | (2.58) | (3.33) |
Distributions from net investment income | (.11) | (.05) | (.06) | (.11) | (.06) | (.28) |
Distributions from net realized gain | - | - | - | - | - | (1.41) |
Total distributions | (.11) | (.05) | (.06) | (.11) | (.06) | (1.69) |
Net asset value, end of period | $ 15.69 | $ 15.96 | $ 14.98 | $ 11.64 | $ 15.04 | $ 17.68 |
Total Return B, C, D | (1.04)% | 6.89% | 29.40% | (22.01)% | (14.64)% | (15.74)% |
Ratios to Average Net Assets H | | | | | | |
Expenses before expense reductions | .96% A | .98% | .99% | .97% | .95% | .95% A |
Expenses net of voluntary waivers, if any | .96% A | .98% | .99% | .97% | .95% | .95% A |
Expenses net of all reductions | .93% A | .96% | .96% | .94% | .93% | .93% A |
Net investment income (loss) | .51% A | .65% | .37% | .41% | .53% | .04% A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 55,606 | $ 60,938 | $ 60,129 | $ 41,486 | $ 44,643 | $ 25,827 |
Portfolio turnover rate | 83% A | 65% | 62% | 60% | 89% | 117% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.04 per share.
G For the period January 12, 2000 (commencement of sale of shares) to December 31, 2000.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Growth Opportunities Portfolio
Fidelity Variable Insurance Products: Index 500 Portfolio
Investment Changes
Top Ten Stocks as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
General Electric Co. | 3.3 | 3.4 |
Exxon Mobil Corp. | 3.3 | 2.9 |
Microsoft Corp. | 2.3 | 2.6 |
Citigroup, Inc. | 2.2 | 2.2 |
Pfizer, Inc. | 1.9 | 1.8 |
Johnson & Johnson | 1.7 | 1.7 |
Bank of America Corp. | 1.7 | 1.7 |
Wal-Mart Stores, Inc. | 1.5 | 2.0 |
Intel Corp. | 1.5 | 1.3 |
American International Group, Inc. | 1.4 | 1.5 |
| 20.8 | |
Market Sectors as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Financials | 20.0 | 20.4 |
Information Technology | 14.9 | 15.9 |
Health Care | 13.2 | 12.6 |
Consumer Discretionary | 11.2 | 11.8 |
Industrials | 11.0 | 11.7 |
Consumer Staples | 10.0 | 10.4 |
Energy | 8.7 | 7.1 |
Utilities | 3.4 | 2.9 |
Telecommunication Services | 3.1 | 3.2 |
Materials | 2.9 | 3.1 |
Asset Allocation |
To match the Standard & Poor's 500 Index, the Index 500 Portfolio seeks 100% investment exposure to stocks at all times. |
Semiannual Report
Fidelity Variable Insurance Products: Index 500 Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 98.4% |
| Shares | | Value (Note 1) |
CONSUMER DISCRETIONARY - 11.2% |
Auto Components - 0.2% |
Cooper Tire & Rubber Co. | 16,151 | | $ 299,924 |
Dana Corp. | 37,942 | | 569,509 |
Delphi Corp. | 141,710 | | 658,952 |
Goodyear Tire & Rubber Co. (a)(d) | 44,429 | | 661,992 |
Johnson Controls, Inc. | 48,493 | | 2,731,611 |
Visteon Corp. | 32,493 | | 195,933 |
| | 5,117,921 |
Automobiles - 0.5% |
Ford Motor Co. | 464,718 | | 4,758,712 |
General Motors Corp. (d) | 142,792 | | 4,854,928 |
Harley-Davidson, Inc. | 71,882 | | 3,565,347 |
| | 13,178,987 |
Distributors - 0.1% |
Genuine Parts Co. | 44,051 | | 1,810,056 |
Diversified Consumer Services - 0.2% |
Apollo Group, Inc. Class A (a)(d) | 41,280 | | 3,228,922 |
H&R Block, Inc. | 41,730 | | 2,434,946 |
| | 5,663,868 |
Hotels, Restaurants & Leisure - 1.5% |
Carnival Corp. unit | 133,069 | | 7,258,914 |
Darden Restaurants, Inc. | 36,791 | | 1,213,367 |
Harrah's Entertainment, Inc. | 45,864 | | 3,305,418 |
Hilton Hotels Corp. | 96,425 | | 2,299,736 |
International Game Technology | 86,808 | | 2,443,645 |
Marriott International, Inc. Class A | 50,120 | | 3,419,186 |
McDonald's Corp. | 320,058 | | 8,881,610 |
Starbucks Corp. (a)(d) | 98,428 | | 5,084,790 |
Starwood Hotels & Resorts Worldwide, Inc. unit | 54,573 | | 3,196,341 |
Wendy's International, Inc. | 29,024 | | 1,382,994 |
Yum! Brands, Inc. | 73,165 | | 3,810,433 |
| | 42,296,434 |
Household Durables - 0.6% |
Black & Decker Corp. | 20,203 | | 1,815,240 |
Centex Corp. | 32,303 | | 2,282,853 |
Fortune Brands, Inc. | 36,727 | | 3,261,358 |
KB Home | 21,036 | | 1,603,574 |
Leggett & Platt, Inc. | 47,885 | | 1,272,783 |
Maytag Corp. | 20,125 | | 315,158 |
Newell Rubbermaid, Inc. (d) | 69,518 | | 1,657,309 |
Pulte Homes, Inc. | 29,960 | | 2,524,130 |
Snap-On, Inc. | 14,590 | | 500,437 |
The Stanley Works | 19,025 | | 866,399 |
Whirlpool Corp. (d) | 16,892 | | 1,184,298 |
| | 17,283,539 |
Internet & Catalog Retail - 0.3% |
eBay, Inc. (a) | 306,757 | | 10,126,049 |
|
| Shares | | Value (Note 1) |
Leisure Equipment & Products - 0.2% |
Brunswick Corp. | 24,508 | | $ 1,061,687 |
Eastman Kodak Co. (d) | 72,499 | | 1,946,598 |
Hasbro, Inc. | 42,324 | | 879,916 |
Mattel, Inc. | 103,944 | | 1,902,175 |
| | 5,790,376 |
Media - 3.6% |
Clear Channel Communications, Inc. | 128,762 | | 3,982,609 |
Comcast Corp. Class A (a)(d) | 556,915 | | 17,097,291 |
Dow Jones & Co., Inc. (d) | 17,910 | | 634,910 |
Gannett Co., Inc. | 62,719 | | 4,461,202 |
Interpublic Group of Companies, Inc. (a) | 106,786 | | 1,300,653 |
Knight-Ridder, Inc. (d) | 18,786 | | 1,152,333 |
McGraw-Hill Companies, Inc. | 94,592 | | 4,185,696 |
Meredith Corp. | 11,350 | | 556,831 |
News Corp. Class A | 728,320 | | 11,784,218 |
Omnicom Group, Inc. | 46,305 | | 3,697,917 |
The New York Times Co. Class A | 36,751 | | 1,144,794 |
Time Warner, Inc. (a) | 1,183,212 | | 19,771,473 |
Tribune Co. | 75,256 | | 2,647,506 |
Univision Communications, Inc. Class A (a) | 73,404 | | 2,022,280 |
Viacom, Inc. Class B (non-vtg.) | 407,129 | | 13,036,271 |
Walt Disney Co. | 515,462 | | 12,979,333 |
| | 100,455,317 |
Multiline Retail - 1.3% |
Big Lots, Inc. (a) | 28,708 | | 380,094 |
Dillard's, Inc. Class A | 18,081 | | 423,457 |
Dollar General Corp. | 76,194 | | 1,551,310 |
Family Dollar Stores, Inc. | 42,107 | | 1,098,993 |
Federated Department Stores, Inc. | 43,035 | | 3,153,605 |
JCPenney Co., Inc. | 66,486 | | 3,495,834 |
Kohl's Corp. (a) | 82,378 | | 4,605,754 |
Nordstrom, Inc. | 31,035 | | 2,109,449 |
Sears Holdings Corp. (a) | 25,818 | | 3,869,344 |
Target Corp. (d) | 223,065 | | 12,136,967 |
The May Department Stores Co. | 75,614 | | 3,036,658 |
| | 35,861,465 |
Specialty Retail - 2.3% |
AutoNation, Inc. (a) | 56,382 | | 1,156,959 |
AutoZone, Inc. (a) | 16,578 | | 1,532,802 |
Bed Bath & Beyond, Inc. (a) | 74,601 | | 3,116,830 |
Best Buy Co., Inc. | 75,388 | | 5,167,847 |
Circuit City Stores, Inc. | 48,300 | | 835,107 |
Gap, Inc. | 191,348 | | 3,779,123 |
Home Depot, Inc. | 541,985 | | 21,083,217 |
Limited Brands, Inc. | 96,005 | | 2,056,427 |
Lowe's Companies, Inc. | 195,060 | | 11,356,393 |
Office Depot, Inc. (a) | 79,756 | | 1,821,627 |
OfficeMax, Inc. | 17,839 | | 531,067 |
RadioShack Corp. | 39,308 | | 910,766 |
Sherwin-Williams Co. | 31,609 | | 1,488,468 |
Staples, Inc. | 186,008 | | 3,965,691 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
CONSUMER DISCRETIONARY - continued |
Specialty Retail - continued |
Tiffany & Co., Inc. | 36,284 | | $ 1,188,664 |
TJX Companies, Inc. | 118,791 | | 2,892,561 |
Toys 'R' Us, Inc. (a) | 55,932 | | 1,481,079 |
| | 64,364,628 |
Textiles, Apparel & Luxury Goods - 0.4% |
Coach, Inc. (a) | 95,230 | | 3,196,871 |
Jones Apparel Group, Inc. (d) | 30,459 | | 945,447 |
Liz Claiborne, Inc. | 27,410 | | 1,089,822 |
NIKE, Inc. Class B | 57,674 | | 4,994,568 |
Reebok International Ltd. (d) | 14,164 | | 592,480 |
VF Corp. | 25,249 | | 1,444,748 |
| | 12,263,936 |
TOTAL CONSUMER DISCRETIONARY | | 314,212,576 |
CONSUMER STAPLES - 10.0% |
Beverages - 2.2% |
Anheuser-Busch Companies, Inc. | 196,045 | | 8,969,059 |
Brown-Forman Corp. Class B (non-vtg.) | 22,760 | | 1,376,070 |
Coca-Cola Enterprises, Inc. | 89,096 | | 1,961,003 |
Molson Coors Brewing Co. Class B (d) | 19,822 | | 1,228,964 |
Pepsi Bottling Group, Inc. | 49,486 | | 1,415,794 |
PepsiCo, Inc. | 422,852 | | 22,804,408 |
The Coca-Cola Co. | 571,520 | | 23,860,960 |
| | 61,616,258 |
Food & Staples Retailing - 2.8% |
Albertsons, Inc. | 93,010 | | 1,923,447 |
Costco Wholesale Corp. | 120,617 | | 5,406,054 |
CVS Corp. | 204,552 | | 5,946,327 |
Kroger Co. (a) | 184,026 | | 3,502,015 |
Safeway, Inc. | 113,177 | | 2,556,668 |
SUPERVALU, Inc. | 34,364 | | 1,120,610 |
Sysco Corp. | 159,853 | | 5,785,080 |
Wal-Mart Stores, Inc. | 844,821 | | 40,720,372 |
Walgreen Co. | 258,171 | | 11,873,284 |
| | 78,833,857 |
Food Products - 1.2% |
Archer-Daniels-Midland Co. | 157,509 | | 3,367,542 |
Campbell Soup Co. | 81,990 | | 2,522,832 |
ConAgra Foods, Inc. | 130,777 | | 3,028,795 |
General Mills, Inc. | 93,354 | | 4,368,034 |
H.J. Heinz Co. | 88,396 | | 3,130,986 |
Hershey Co. | 54,906 | | 3,409,663 |
Kellogg Co. | 88,286 | | 3,923,430 |
McCormick & Co., Inc. (non-vtg.) | 34,144 | | 1,115,826 |
Sara Lee Corp. | 198,804 | | 3,938,307 |
Wm. Wrigley Jr. Co. | 49,448 | | 3,404,000 |
| | 32,209,415 |
|
| Shares | | Value (Note 1) |
Household Products - 1.8% |
Clorox Co. | 38,926 | | $ 2,168,957 |
Colgate-Palmolive Co. | 132,111 | | 6,593,660 |
Kimberly-Clark Corp. | 120,808 | | 7,561,373 |
Procter & Gamble Co. | 624,863 | | 32,961,523 |
| | 49,285,513 |
Personal Products - 0.6% |
Alberto-Culver Co. | 21,580 | | 935,061 |
Avon Products, Inc. | 119,191 | | 4,511,379 |
Gillette Co. | 251,913 | | 12,754,355 |
| | 18,200,795 |
Tobacco - 1.4% |
Altria Group, Inc. | 522,948 | | 33,813,818 |
Reynolds American, Inc. | 29,401 | | 2,316,799 |
UST, Inc. | 41,743 | | 1,905,985 |
| | 38,036,602 |
TOTAL CONSUMER STAPLES | | 278,182,440 |
ENERGY - 8.7% |
Energy Equipment & Services - 1.3% |
Baker Hughes, Inc. | 85,552 | | 4,376,840 |
BJ Services Co. | 40,886 | | 2,145,697 |
Halliburton Co. | 127,708 | | 6,106,997 |
Nabors Industries Ltd. (a) | 37,560 | | 2,276,887 |
National Oilwell Varco, Inc. (a) | 43,447 | | 2,065,470 |
Noble Corp. | 34,304 | | 2,110,039 |
Rowan Companies, Inc. | 27,341 | | 812,301 |
Schlumberger Ltd. (NY Shares) | 148,776 | | 11,298,049 |
Transocean, Inc. (a) | 82,346 | | 4,444,214 |
| | 35,636,494 |
Oil, Gas & Consumable Fuels - 7.4% |
Amerada Hess Corp. | 21,680 | | 2,309,137 |
Anadarko Petroleum Corp. | 59,521 | | 4,889,650 |
Apache Corp. (d) | 82,873 | | 5,353,596 |
Ashland, Inc. | 16,929 | | 1,216,687 |
Burlington Resources, Inc. | 97,341 | | 5,377,117 |
ChevronTexaco Corp. | 529,833 | | 29,628,261 |
ConocoPhillips | 351,577 | | 20,212,162 |
Devon Energy Corp. | 119,625 | | 6,062,595 |
El Paso Corp. (d) | 162,760 | | 1,874,995 |
EOG Resources, Inc. | 60,414 | | 3,431,515 |
Exxon Mobil Corp. | 1,607,447 | | 92,379,979 |
Kerr-McGee Corp. | 29,417 | | 2,244,811 |
Kinder Morgan, Inc. | 27,402 | | 2,279,846 |
Marathon Oil Corp. | 87,840 | | 4,688,021 |
Occidental Petroleum Corp. | 100,565 | | 7,736,465 |
Sunoco, Inc. (d) | 17,383 | | 1,976,099 |
Unocal Corp. | 68,629 | | 4,464,316 |
Valero Energy Corp. | 64,829 | | 5,128,622 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
ENERGY - continued |
Oil, Gas & Consumable Fuels - continued |
Williams Companies, Inc. | 144,143 | | $ 2,738,717 |
XTO Energy, Inc. | 91,142 | | 3,097,917 |
| | 207,090,508 |
TOTAL ENERGY | | 242,727,002 |
FINANCIALS - 20.0% |
Capital Markets - 2.7% |
Bank of New York Co., Inc. | 196,565 | | 5,657,141 |
Bear Stearns Companies, Inc. | 28,704 | | 2,983,494 |
Charles Schwab Corp. | 287,732 | | 3,245,617 |
E*TRADE Financial Corp. (a) | 93,050 | | 1,301,770 |
Federated Investors, Inc. Class B (non-vtg.) | 23,954 | | 718,860 |
Franklin Resources, Inc. | 50,039 | | 3,852,002 |
Goldman Sachs Group, Inc. | 111,582 | | 11,383,596 |
Janus Capital Group, Inc. | 57,288 | | 861,612 |
Lehman Brothers Holdings, Inc. | 69,845 | | 6,934,212 |
Mellon Financial Corp. | 106,865 | | 3,065,957 |
Merrill Lynch & Co., Inc. | 238,716 | | 13,131,767 |
Morgan Stanley | 276,656 | | 14,516,140 |
Northern Trust Corp. | 51,344 | | 2,340,773 |
State Street Corp. | 83,577 | | 4,032,590 |
T. Rowe Price Group, Inc. | 31,237 | | 1,955,436 |
| | 75,980,967 |
Commercial Banks - 5.8% |
AmSouth Bancorp. | 89,129 | | 2,317,354 |
Bank of America Corp. | 1,015,509 | | 46,317,365 |
BB&T Corp. | 137,962 | | 5,514,341 |
Comerica, Inc. | 42,625 | | 2,463,725 |
Compass Bancshares, Inc. | 31,295 | | 1,408,275 |
Fifth Third Bancorp | 131,744 | | 5,429,170 |
First Horizon National Corp. | 31,345 | | 1,322,759 |
Huntington Bancshares, Inc. | 58,658 | | 1,416,004 |
KeyCorp | 102,943 | | 3,412,560 |
M&T Bank Corp. | 24,686 | | 2,595,980 |
Marshall & Ilsley Corp. | 53,768 | | 2,389,988 |
National City Corp. | 150,052 | | 5,119,774 |
North Fork Bancorp, Inc., New York | 120,600 | | 3,387,654 |
PNC Financial Services Group, Inc. | 71,593 | | 3,898,955 |
Regions Financial Corp. New | 117,145 | | 3,968,873 |
SunTrust Banks, Inc. | 85,800 | | 6,198,192 |
Synovus Financial Corp. | 78,558 | | 2,252,258 |
U.S. Bancorp, Delaware | 462,798 | | 13,513,702 |
Wachovia Corp. | 398,073 | | 19,744,421 |
Wells Fargo & Co. | 426,079 | | 26,237,945 |
Zions Bancorp | 22,648 | | 1,665,307 |
| | 160,574,602 |
|
| Shares | | Value (Note 1) |
Consumer Finance - 1.3% |
American Express Co. | 295,732 | | $ 15,741,814 |
Capital One Financial Corp. (d) | 63,662 | | 5,093,597 |
MBNA Corp. | 320,104 | | 8,373,921 |
Providian Financial Corp. (a) | 74,300 | | 1,309,909 |
SLM Corp. | 105,939 | | 5,381,701 |
| | 35,900,942 |
Diversified Financial Services - 3.6% |
CIT Group, Inc. | 53,150 | | 2,283,856 |
Citigroup, Inc. | 1,313,631 | | 60,729,161 |
JPMorgan Chase & Co. | 888,527 | | 31,382,774 |
Moody's Corp. | 69,741 | | 3,135,555 |
Principal Financial Group, Inc. (d) | 74,182 | | 3,108,226 |
| | 100,639,572 |
Insurance - 4.3% |
ACE Ltd. | 72,588 | | 3,255,572 |
AFLAC, Inc. | 126,686 | | 5,482,970 |
Allstate Corp. | 168,743 | | 10,082,394 |
AMBAC Financial Group, Inc. | 27,345 | | 1,907,587 |
American International Group, Inc. | 655,254 | | 38,070,257 |
Aon Corp. | 80,253 | | 2,009,535 |
Cincinnati Financial Corp. | 42,085 | | 1,664,883 |
Hartford Financial Services Group, Inc. | 74,903 | | 5,601,246 |
Jefferson-Pilot Corp. | 34,326 | | 1,730,717 |
Lincoln National Corp. | 43,862 | | 2,058,005 |
Loews Corp. | 40,315 | | 3,124,413 |
Marsh & McLennan Companies, Inc. | 134,561 | | 3,727,340 |
MBIA, Inc. | 34,193 | | 2,027,987 |
MetLife, Inc. | 185,176 | | 8,321,809 |
Progressive Corp. | 50,199 | | 4,960,163 |
Prudential Financial, Inc. | 131,813 | | 8,654,842 |
SAFECO Corp. | 32,190 | | 1,749,205 |
The Chubb Corp. | 49,327 | | 4,222,884 |
The St. Paul Travelers Companies, Inc. | 170,139 | | 6,725,595 |
Torchmark Corp. | 26,295 | | 1,372,599 |
UnumProvident Corp. (d) | 75,199 | | 1,377,646 |
XL Capital Ltd. Class A | 35,381 | | 2,633,054 |
| | 120,760,703 |
Real Estate - 0.6% |
Apartment Investment & Management Co. Class A | 24,061 | | 984,576 |
Archstone-Smith Trust (d) | 50,211 | | 1,939,149 |
Equity Office Properties Trust | 102,914 | | 3,406,453 |
Equity Residential (SBI) | 72,375 | | 2,664,848 |
Plum Creek Timber Co., Inc. | 46,450 | | 1,686,135 |
ProLogis | 47,136 | | 1,896,753 |
Simon Property Group, Inc. (d) | 55,470 | | 4,021,020 |
| | 16,598,934 |
Thrifts & Mortgage Finance - 1.7% |
Countrywide Financial Corp. | 148,401 | | 5,729,763 |
Fannie Mae | 244,411 | | 14,273,602 |
Freddie Mac | 174,389 | | 11,375,394 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
FINANCIALS - continued |
Thrifts & Mortgage Finance - continued |
Golden West Financial Corp., Delaware (d) | 71,378 | | $ 4,595,316 |
MGIC Investment Corp. | 23,831 | | 1,554,258 |
Sovereign Bancorp, Inc. | 92,087 | | 2,057,224 |
Washington Mutual, Inc. | 221,518 | | 9,013,567 |
| | 48,599,124 |
TOTAL FINANCIALS | | 559,054,844 |
HEALTH CARE - 13.2% |
Biotechnology - 1.3% |
Amgen, Inc. (a) | 312,483 | | 18,892,722 |
Applera Corp. - Applied Biosystems Group | 49,831 | | 980,176 |
Biogen Idec, Inc. (a) | 87,024 | | 2,997,977 |
Chiron Corp. (a)(d) | 37,396 | | 1,304,746 |
Genzyme Corp. (a) | 63,705 | | 3,828,033 |
Gilead Sciences, Inc. (a) | 114,090 | | 5,018,819 |
MedImmune, Inc. (a) | 62,565 | | 1,671,737 |
| | 34,694,210 |
Health Care Equipment & Supplies - 2.2% |
Bausch & Lomb, Inc. | 13,520 | | 1,122,160 |
Baxter International, Inc. | 156,744 | | 5,815,202 |
Becton, Dickinson & Co. | 63,765 | | 3,345,750 |
Biomet, Inc. | 63,600 | | 2,203,104 |
Boston Scientific Corp. (a)(d) | 189,345 | | 5,112,315 |
C.R. Bard, Inc. | 26,543 | | 1,765,375 |
Fisher Scientific International, Inc. (a) | 30,331 | | 1,968,482 |
Guidant Corp. | 82,067 | | 5,523,109 |
Hospira, Inc. (a) | 39,918 | | 1,556,802 |
Medtronic, Inc. | 305,423 | | 15,817,857 |
Millipore Corp. (a) | 12,612 | | 715,479 |
PerkinElmer, Inc. | 32,740 | | 618,786 |
St. Jude Medical, Inc. (a) | 91,488 | | 3,989,792 |
Stryker Corp. | 94,670 | | 4,502,505 |
Thermo Electron Corp. (a)(d) | 40,704 | | 1,093,716 |
Waters Corp. (a) | 29,645 | | 1,101,905 |
Zimmer Holdings, Inc. (a)(d) | 62,361 | | 4,750,037 |
| | 61,002,376 |
Health Care Providers & Services - 2.7% |
Aetna, Inc. (d) | 73,342 | | 6,074,184 |
AmerisourceBergen Corp. (d) | 26,616 | | 1,840,496 |
Cardinal Health, Inc. | 108,142 | | 6,226,816 |
Caremark Rx, Inc. (a) | 114,548 | | 5,099,677 |
CIGNA Corp. | 33,051 | | 3,537,449 |
Express Scripts, Inc. (a) | 37,462 | | 1,872,351 |
HCA, Inc. | 105,831 | | 5,997,443 |
Health Management Associates, Inc. Class A | 62,256 | | 1,629,862 |
Humana, Inc. (a) | 40,867 | | 1,624,055 |
|
| Shares | | Value (Note 1) |
IMS Health, Inc. | 57,218 | | $ 1,417,290 |
Laboratory Corp. of America Holdings (a) | 33,992 | | 1,696,201 |
Manor Care, Inc. | 21,815 | | 866,710 |
McKesson Corp. | 74,542 | | 3,338,736 |
Medco Health Solutions, Inc. (a) | 69,984 | | 3,734,346 |
Quest Diagnostics, Inc. | 45,976 | | 2,449,142 |
Tenet Healthcare Corp. (a) | 118,320 | | 1,448,237 |
UnitedHealth Group, Inc. | 319,725 | | 16,670,462 |
WellPoint, Inc. (a) | 154,696 | | 10,773,029 |
| | 76,296,486 |
Pharmaceuticals - 7.0% |
Abbott Laboratories | 391,570 | | 19,190,846 |
Allergan, Inc. (d) | 32,936 | | 2,807,465 |
Bristol-Myers Squibb Co. | 493,480 | | 12,327,130 |
Eli Lilly & Co. | 286,124 | | 15,939,968 |
Forest Laboratories, Inc. (a) | 85,972 | | 3,340,012 |
Johnson & Johnson | 750,866 | | 48,806,290 |
King Pharmaceuticals, Inc. (a) | 61,041 | | 636,047 |
Merck & Co., Inc. | 556,324 | | 17,134,779 |
Mylan Laboratories, Inc. | 68,013 | | 1,308,570 |
Pfizer, Inc. | 1,877,540 | | 51,782,553 |
Schering-Plough Corp. | 372,481 | | 7,099,488 |
Watson Pharmaceuticals, Inc. (a) | 27,819 | | 822,330 |
Wyeth | 337,988 | | 15,040,466 |
| | 196,235,944 |
TOTAL HEALTH CARE | | 368,229,016 |
INDUSTRIALS - 11.0% |
Aerospace & Defense - 2.2% |
General Dynamics Corp. | 50,598 | | 5,542,505 |
Goodrich Corp. | 30,439 | | 1,246,781 |
Honeywell International, Inc. | 215,403 | | 7,890,212 |
L-3 Communications Holdings, Inc. | 29,967 | | 2,294,873 |
Lockheed Martin Corp. | 102,024 | | 6,618,297 |
Northrop Grumman Corp. | 90,673 | | 5,009,683 |
Raytheon Co. | 114,193 | | 4,467,230 |
Rockwell Collins, Inc. | 44,989 | | 2,145,076 |
The Boeing Co. | 208,660 | | 13,771,560 |
United Technologies Corp. | 258,487 | | 13,273,307 |
| | 62,259,524 |
Air Freight & Logistics - 0.9% |
FedEx Corp. | 76,278 | | 6,179,281 |
Ryder System, Inc. | 16,245 | | 594,567 |
United Parcel Service, Inc. Class B | 281,282 | | 19,453,463 |
| | 26,227,311 |
Airlines - 0.1% |
Delta Air Lines, Inc. (a)(d) | 36,273 | | 136,386 |
Southwest Airlines Co. | 186,272 | | 2,594,769 |
| | 2,731,155 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INDUSTRIALS - continued |
Building Products - 0.2% |
American Standard Companies, Inc. | 45,119 | | $ 1,891,388 |
Masco Corp. | 109,516 | | 3,478,228 |
| | 5,369,616 |
Commercial Services & Supplies - 0.7% |
Allied Waste Industries, Inc. (a) | 68,393 | | 542,356 |
Avery Dennison Corp. | 25,662 | | 1,359,060 |
Cendant Corp. | 265,537 | | 5,940,063 |
Cintas Corp. (d) | 37,806 | | 1,459,312 |
Equifax, Inc. | 32,780 | | 1,170,574 |
Monster Worldwide, Inc. (a)(d) | 30,525 | | 875,457 |
Pitney Bowes, Inc. | 58,085 | | 2,529,602 |
R.R. Donnelley & Sons Co. | 53,862 | | 1,858,778 |
Robert Half International, Inc. | 40,270 | | 1,005,542 |
Waste Management, Inc. | 143,441 | | 4,065,118 |
| | 20,805,862 |
Construction & Engineering - 0.1% |
Fluor Corp. | 21,864 | | 1,259,148 |
Electrical Equipment - 0.4% |
American Power Conversion Corp. | 45,790 | | 1,080,186 |
Cooper Industries Ltd. Class A | 23,446 | | 1,498,199 |
Emerson Electric Co. (d) | 105,223 | | 6,590,116 |
Rockwell Automation, Inc. | 44,131 | | 2,149,621 |
| | 11,318,122 |
Industrial Conglomerates - 4.5% |
3M Co. | 194,328 | | 14,049,914 |
General Electric Co. | 2,678,160 | | 92,798,240 |
Textron, Inc. | 34,078 | | 2,584,816 |
Tyco International Ltd. | 509,966 | | 14,891,007 |
| | 124,323,977 |
Machinery - 1.4% |
Caterpillar, Inc. | 86,283 | | 8,223,633 |
Cummins, Inc. (d) | 11,007 | | 821,232 |
Danaher Corp. | 69,489 | | 3,637,054 |
Deere & Co. | 62,246 | | 4,076,491 |
Dover Corp. | 51,444 | | 1,871,533 |
Eaton Corp. | 38,054 | | 2,279,435 |
Illinois Tool Works, Inc. | 68,930 | | 5,492,342 |
Ingersoll-Rand Co. Ltd. Class A | 42,564 | | 3,036,941 |
ITT Industries, Inc. | 23,305 | | 2,275,267 |
Navistar International Corp. (a) | 16,630 | | 532,160 |
PACCAR, Inc. | 43,899 | | 2,985,132 |
Pall Corp. | 31,411 | | 953,638 |
Parker Hannifin Corp. | 30,349 | | 1,881,941 |
| | 38,066,799 |
Road & Rail - 0.5% |
Burlington Northern Santa Fe Corp. | 95,084 | | 4,476,555 |
CSX Corp. | 54,685 | | 2,332,862 |
|
| Shares | | Value (Note 1) |
Norfolk Southern Corp. | 102,085 | | $ 3,160,552 |
Union Pacific Corp. | 66,408 | | 4,303,238 |
| | 14,273,207 |
Trading Companies & Distributors - 0.0% |
W.W. Grainger, Inc. | 21,067 | | 1,154,261 |
TOTAL INDUSTRIALS | | 307,788,982 |
INFORMATION TECHNOLOGY - 14.9% |
Communications Equipment - 2.6% |
ADC Telecommunications, Inc. (a) | 29,294 | | 637,730 |
Andrew Corp. (a) | 41,020 | | 523,415 |
Avaya, Inc. (a) | 120,461 | | 1,002,236 |
CIENA Corp. (a) | 145,583 | | 304,268 |
Cisco Systems, Inc. (a)(d) | 1,613,745 | | 30,838,667 |
Comverse Technology, Inc. (a) | 50,573 | | 1,196,051 |
Corning, Inc. (a) | 365,958 | | 6,082,222 |
JDS Uniphase Corp. (a) | 365,677 | | 555,829 |
Lucent Technologies, Inc. (a)(d) | 1,118,683 | | 3,255,368 |
Motorola, Inc. | 619,225 | | 11,307,049 |
QUALCOMM, Inc. | 412,507 | | 13,616,856 |
Scientific-Atlanta, Inc. | 38,481 | | 1,280,263 |
Tellabs, Inc. (a) | 113,198 | | 984,823 |
| | 71,584,777 |
Computers & Peripherals - 3.5% |
Apple Computer, Inc. (a) | 208,056 | | 7,658,541 |
Dell, Inc. (a) | 611,361 | | 24,154,873 |
EMC Corp. (a)(d) | 606,737 | | 8,318,364 |
Gateway, Inc. (a) | 74,997 | | 247,490 |
Hewlett-Packard Co. | 728,842 | | 17,135,075 |
International Business Machines Corp. | 407,389 | | 30,228,264 |
Lexmark International, Inc. Class A (a) | 31,975 | | 2,072,939 |
NCR Corp. (a) | 47,170 | | 1,656,610 |
Network Appliance, Inc. (a) | 92,457 | | 2,613,759 |
QLogic Corp. (a) | 22,952 | | 708,528 |
Sun Microsystems, Inc. (a) | 860,073 | | 3,208,072 |
| | 98,002,515 |
Electronic Equipment & Instruments - 0.3% |
Agilent Technologies, Inc. (a) | 109,186 | | 2,513,462 |
Jabil Circuit, Inc. (a) | 46,490 | | 1,428,638 |
Molex, Inc. | 42,432 | | 1,104,929 |
Sanmina-SCI Corp. (a) | 132,711 | | 725,929 |
Solectron Corp. (a) | 245,497 | | 930,434 |
Symbol Technologies, Inc. | 61,304 | | 605,070 |
Tektronix, Inc. | 22,349 | | 520,061 |
| | 7,828,523 |
Internet Software & Services - 0.4% |
Yahoo!, Inc. (a) | 331,469 | | 11,485,401 |
IT Services - 1.0% |
Affiliated Computer Services, Inc. Class A (a) | 31,933 | | 1,631,776 |
Automatic Data Processing, Inc. | 147,303 | | 6,182,307 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INFORMATION TECHNOLOGY - continued |
IT Services - continued |
Computer Sciences Corp. (a)(d) | 46,487 | | $ 2,031,482 |
Convergys Corp. (a) | 35,914 | | 510,697 |
Electronic Data Systems Corp. | 131,024 | | 2,522,212 |
First Data Corp. | 196,618 | | 7,892,247 |
Fiserv, Inc. (a)(d) | 48,303 | | 2,074,614 |
Paychex, Inc. | 89,833 | | 2,923,166 |
Sabre Holdings Corp. Class A | 33,108 | | 660,505 |
SunGard Data Systems, Inc. (a) | 73,291 | | 2,577,644 |
Unisys Corp. (a) | 85,562 | | 541,607 |
| | 29,548,257 |
Office Electronics - 0.1% |
Xerox Corp. (a) | 241,957 | | 3,336,587 |
Semiconductors & Semiconductor Equipment - 3.2% |
Advanced Micro Devices, Inc. (a) | 99,730 | | 1,729,318 |
Altera Corp. (a)(d) | 93,832 | | 1,859,750 |
Analog Devices, Inc. | 93,432 | | 3,485,948 |
Applied Materials, Inc. | 415,123 | | 6,716,690 |
Applied Micro Circuits Corp. (a) | 77,401 | | 198,147 |
Broadcom Corp. Class A (a) | 73,901 | | 2,624,225 |
Freescale Semiconductor, Inc. Class B | 101,460 | | 2,148,923 |
Intel Corp. | 1,558,779 | | 40,621,781 |
KLA-Tencor Corp. | 49,714 | | 2,172,502 |
Linear Technology Corp. | 77,268 | | 2,834,963 |
LSI Logic Corp. (a) | 97,924 | | 831,375 |
Maxim Integrated Products, Inc. | 82,817 | | 3,164,438 |
Micron Technology, Inc. (a) | 155,264 | | 1,585,245 |
National Semiconductor Corp. | 88,148 | | 1,941,900 |
Novellus Systems, Inc. (a)(d) | 34,875 | | 861,761 |
NVIDIA Corp. (a) | 42,665 | | 1,140,009 |
PMC-Sierra, Inc. (a) | 45,548 | | 424,963 |
Teradyne, Inc. (a)(d) | 49,442 | | 591,821 |
Texas Instruments, Inc. | 419,723 | | 11,781,625 |
Xilinx, Inc. (d) | 88,587 | | 2,258,969 |
| | 88,974,353 |
Software - 3.8% |
Adobe Systems, Inc. | 123,479 | | 3,533,969 |
Autodesk, Inc. (d) | 57,725 | | 1,984,008 |
BMC Software, Inc. (a) | 55,940 | | 1,004,123 |
Citrix Systems, Inc. (a) | 42,743 | | 925,813 |
Computer Associates International, Inc. | 134,394 | | 3,693,147 |
Compuware Corp. (a) | 98,093 | | 705,289 |
Electronic Arts, Inc. (a)(d) | 77,399 | | 4,381,557 |
Intuit, Inc. (a)(d) | 46,821 | | 2,112,095 |
Mercury Interactive Corp. (a)(d) | 21,869 | | 838,895 |
Microsoft Corp. | 2,537,289 | | 63,026,259 |
Novell, Inc. (a) | 96,182 | | 596,328 |
Oracle Corp. (a) | 1,116,520 | | 14,738,064 |
Parametric Technology Corp. (a) | 68,595 | | 437,636 |
Siebel Systems, Inc. | 130,468 | | 1,161,165 |
|
| Shares | | Value (Note 1) |
Symantec Corp. (a) | 173,322 | | $ 3,768,020 |
VERITAS Software Corp. (a) | 113,534 | | 2,770,230 |
| | 105,676,598 |
TOTAL INFORMATION TECHNOLOGY | | 416,437,011 |
MATERIALS - 2.9% |
Chemicals - 1.6% |
Air Products & Chemicals, Inc. | 57,896 | | 3,491,129 |
Dow Chemical Co. | 242,732 | | 10,808,856 |
E.I. du Pont de Nemours & Co. | 251,529 | | 10,818,262 |
Eastman Chemical Co. | 20,290 | | 1,118,994 |
Ecolab, Inc. | 55,460 | | 1,794,686 |
Engelhard Corp. | 30,459 | | 869,604 |
Great Lakes Chemical Corp. | 13,146 | | 413,705 |
Hercules, Inc. (a) | 28,522 | | 403,586 |
International Flavors & Fragrances, Inc. | 22,341 | | 809,191 |
Monsanto Co. | 67,719 | | 4,257,494 |
PPG Industries, Inc. | 43,347 | | 2,720,458 |
Praxair, Inc. | 81,684 | | 3,806,474 |
Rohm & Haas Co. | 48,729 | | 2,258,102 |
Sigma Aldrich Corp. | 17,389 | | 974,480 |
| | 44,545,021 |
Construction Materials - 0.1% |
Vulcan Materials Co. | 25,787 | | 1,675,897 |
Containers & Packaging - 0.2% |
Ball Corp. | 27,818 | | 1,000,335 |
Bemis Co., Inc. (d) | 27,059 | | 718,146 |
Pactiv Corp. (a) | 37,683 | | 813,199 |
Sealed Air Corp. (a) | 21,137 | | 1,052,411 |
Temple-Inland, Inc. | 31,434 | | 1,167,773 |
| | 4,751,864 |
Metals & Mining - 0.6% |
Alcoa, Inc. (d) | 220,229 | | 5,754,584 |
Allegheny Technologies, Inc. (d) | 22,667 | | 500,034 |
Freeport-McMoRan Copper & Gold, Inc. Class B (d) | 45,372 | | 1,698,728 |
Newmont Mining Corp. | 112,606 | | 4,395,012 |
Nucor Corp. | 40,452 | | 1,845,420 |
Phelps Dodge Corp. | 24,464 | | 2,262,920 |
United States Steel Corp. (d) | 28,834 | | 991,025 |
| | 17,447,723 |
Paper & Forest Products - 0.4% |
Georgia-Pacific Corp. | 65,688 | | 2,088,878 |
International Paper Co. (d) | 123,856 | | 3,741,690 |
Louisiana-Pacific Corp. | 27,992 | | 688,043 |
MeadWestvaco Corp. | 47,070 | | 1,319,843 |
Weyerhaeuser Co. | 61,839 | | 3,936,052 |
| | 11,774,506 |
TOTAL MATERIALS | | 80,195,011 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
TELECOMMUNICATION SERVICES - 3.1% |
Diversified Telecommunication Services - 2.8% |
ALLTEL Corp. (d) | 82,589 | | $ 5,143,643 |
AT&T Corp. | 202,314 | | 3,852,059 |
BellSouth Corp. (d) | 462,361 | | 12,284,932 |
CenturyTel, Inc. | 33,152 | | 1,148,054 |
Citizens Communications Co. | 86,005 | | 1,155,907 |
Qwest Communications International, Inc. (a) | 422,244 | | 1,566,525 |
SBC Communications, Inc. | 834,088 | | 19,809,590 |
Sprint Corp. | 373,657 | | 9,375,054 |
Verizon Communications, Inc. | 698,753 | | 24,141,916 |
| | 78,477,680 |
Wireless Telecommunication Services - 0.3% |
Nextel Communications, Inc. Class A (a) | 284,177 | | 9,181,759 |
TOTAL TELECOMMUNICATION SERVICES | | 87,659,439 |
UTILITIES - 3.4% |
Electric Utilities - 2.1% |
Allegheny Energy, Inc. (a) | 41,043 | | 1,035,104 |
Ameren Corp. | 51,338 | | 2,838,991 |
American Electric Power Co., Inc. | 96,971 | | 3,575,321 |
CenterPoint Energy, Inc. | 73,355 | | 969,020 |
Cinergy Corp. | 50,081 | | 2,244,630 |
Consolidated Edison, Inc. | 61,388 | | 2,875,414 |
DTE Energy Co. | 43,982 | | 2,057,038 |
Edison International | 82,272 | | 3,336,130 |
Entergy Corp. | 53,533 | | 4,044,418 |
Exelon Corp. | 168,968 | | 8,673,127 |
FirstEnergy Corp. | 83,289 | | 4,007,034 |
FPL Group, Inc. | 98,975 | | 4,162,889 |
PG&E Corp. | 93,453 | | 3,508,226 |
Pinnacle West Capital Corp. | 24,835 | | 1,103,916 |
PPL Corp. | 47,916 | | 2,845,252 |
Progress Energy, Inc. | 62,796 | | 2,840,891 |
Southern Co. | 187,952 | | 6,516,296 |
TECO Energy, Inc. | 52,265 | | 988,331 |
Xcel Energy, Inc. | 101,577 | | 1,982,783 |
| | 59,604,811 |
Gas Utilities - 0.2% |
KeySpan Corp. | 43,671 | | 1,777,410 |
Nicor, Inc. | 11,145 | | 458,840 |
NiSource, Inc. | 68,646 | | 1,697,616 |
Peoples Energy Corp. | 9,600 | | 417,216 |
| | 4,351,082 |
Independent Power Producers & Energy Traders - 0.6% |
AES Corp. (a) | 164,937 | | 2,701,668 |
Calpine Corp. (a)(d) | 135,857 | | 461,914 |
Constellation Energy Group, Inc. | 44,829 | | 2,586,185 |
|
| Shares | | Value (Note 1) |
Duke Energy Corp. (d) | 234,009 | | $ 6,957,088 |
Dynegy, Inc. Class A (a) | 83,829 | | 407,409 |
TXU Corp. | 60,523 | | 5,028,856 |
| | 18,143,120 |
Multi-Utilities - 0.5% |
CMS Energy Corp. (a) | 55,246 | | 832,005 |
Dominion Resources, Inc. | 85,981 | | 6,310,146 |
Public Service Enterprise Group, Inc. | 60,282 | | 3,666,351 |
Sempra Energy | 60,418 | | 2,495,868 |
| | 13,304,370 |
TOTAL UTILITIES | | 95,403,383 |
TOTAL COMMON STOCKS (Cost $1,765,414,232) | 2,749,889,704 |
U.S. Treasury Obligations - 0.1% |
| Principal Amount | | |
U.S. Treasury Bills, yield at date of purchase 2.99% to 3% 9/22/05 (e)
(Cost $2,979,222) | $ 3,000,000 | | 2,979,192 |
Money Market Funds - 3.0% |
| Shares | | |
Fidelity Cash Central Fund, 3.21% (b) | 26,607,601 | | 26,607,601 |
Fidelity Securities Lending Cash Central Fund, 3.23% (b)(c) | 58,148,769 | | 58,148,769 |
TOTAL MONEY MARKET FUNDS (Cost $84,756,370) | 84,756,370 |
TOTAL INVESTMENT PORTFOLIO - 101.5% (Cost $1,853,149,824) | | 2,837,625,266 |
NET OTHER ASSETS - (1.5)% | | (42,527,189) |
NET ASSETS - 100% | $ 2,795,098,077 |
Futures Contracts |
| Expiration Date | | Underlying Face Amount at Value | | Unrealized Appreciation/
(Depreciation) |
Purchased |
Equity Index Contracts |
2 S&P 500 E-Mini Index Contracts | Sept. 2005 | | $ 119,550 | | $ (1,242) |
108 S&P 500 Index Contracts | Sept. 2005 | | 32,278,500 | | (125,488) |
TOTAL EQUITY INDEX CONTRACTS | | $ 32,398,050 | | $ (126,730) |
| | |
|
The face value of futures purchased as a percentage of net assets - 1.2% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent quarter end is available upon request. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $2,979,192. |
Income Tax Information |
At December 31, 2004, the fund had a capital loss carryforward of approximately $193,155,855 of which $36,404,491, $122,807,204 and $33,944,160 will expire on December 31, 2009, 2010 and 2011, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Index 500 Portfolio
Financial Statements
Statement of Assets and Liabilities
| June 30, 2005 (Unaudited) |
| | |
Assets | | |
Investment in securities, at value (including securities loaned of $54,841,904) (cost $1,853,149,824) - See accompanying schedule | | $ 2,837,625,266 |
Cash | | 17,696 |
Receivable for fund shares sold | | 13,509,256 |
Dividends receivable | | 3,308,029 |
Interest receivable | | 54,559 |
Other affiliated receivables | | 4,943 |
Other receivables | | 31,388 |
Total assets | | 2,854,551,137 |
| | |
Liabilities | | |
Payable for fund shares redeemed | $ 810,695 | |
Accrued management fee | 234,619 | |
Distribution fees payable | 28,527 | |
Payable for daily variation on futures contracts | 200,480 | |
Other affiliated payables | 29,673 | |
Other payables and accrued expenses | 297 | |
Collateral on securities loaned, at value | 58,148,769 | |
Total liabilities | | 59,453,060 |
| | |
Net Assets | | $ 2,795,098,077 |
Net Assets consist of: | | |
Paid in capital | | $ 1,966,078,955 |
Undistributed net investment income | | 22,793,180 |
Accumulated undistributed net realized gain (loss) on investments | | (178,122,770) |
Net unrealized appreciation (depreciation) on investments | | 984,348,712 |
Net Assets | | $ 2,795,098,077 |
Initial Class:
Net Asset Value, offering price and redemption price per share ($2,637,362,067 ÷ 19,653,055 shares) | | $ 134.20 |
Service Class:
Net Asset Value, offering price and redemption price per share ($24,011,084 ÷ 179,341 shares) | | $ 133.89 |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($133,724,926 ÷ 1,003,721 shares) | | $ 133.23 |
Statement of Operations
| Six months ended June 30, 2005 (Unaudited) |
| | |
Investment Income | | |
Dividends | | $ 24,983,123 |
Interest | | 229,973 |
Security lending | | 78,071 |
Total income | | 25,291,167 |
| | |
Expenses | | |
Management fee | $ 2,064,541 | |
Transfer agent fees | 314,841 | |
Distribution fees | 156,164 | |
Accounting and security lending fees | 120,267 | |
Independent trustees' compensation | 6,398 | |
Appreciation in deferred trustee compensation account | 1,368 | |
Custodian fees and expenses | 11,438 | |
Audit | 9,692 | |
Legal | 219 | |
Miscellaneous | 59,934 | |
Total expenses before reductions | 2,744,862 | |
Expense reductions | (326,584) | 2,418,278 |
Net investment income (loss) | | 22,872,889 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | | |
Investment securities | 17,059,958 | |
Futures contracts | 235,513 | |
Total net realized gain (loss) | | 17,295,471 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (65,818,574) | |
Futures contracts | (330,821) | |
Total change in net unrealized appreciation (depreciation) | | (66,149,395) |
Net gain (loss) | | (48,853,924) |
Net increase (decrease) in net assets resulting from operations | | $ (25,981,035) |
See accompanying notes which are an integral part of the financial statements.
Index 500 Portfolio
Fidelity Variable Insurance Products: Index 500 Portfolio
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended June 30, 2005
(Unaudited) | Year ended
December 31, 2004 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income (loss) | $ 22,872,889 | $ 49,877,022 |
Net realized gain (loss) | 17,295,471 | 49,126,244 |
Change in net unrealized appreciation (depreciation) | (66,149,395) | 190,069,405 |
Net increase (decrease) in net assets resulting from operations | (25,981,035) | 289,072,671 |
Distributions to shareholders from net investment income | (49,776,020) | (40,638,037) |
Share transactions - net increase (decrease) | (36,637,885) | (452,730,560) |
Total increase (decrease) in net assets | (112,394,940) | (204,295,926) |
| | |
Net Assets | | |
Beginning of period | 2,907,493,017 | 3,111,788,943 |
End of period (including undistributed net investment income of $22,793,180 and undistributed net investment income of $49,696,311, respectively) | $ 2,795,098,077 | $ 2,907,493,017 |
Other Information: | | |
Share Transactions | Six months ended June 30, 2005 (Unaudited) |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 618,192 | 21,664 | 310,478 |
Reinvested | 353,180 | 2,945 | 13,056 |
Redeemed | (1,486,038) | (14,226) | (95,551) |
Net increase (decrease) | (514,666) | 10,383 | 227,983 |
| | | |
Dollars Sold | $ 82,592,695 | $ 2,890,795 | $ 41,201,532 |
Reinvested | 47,629,865 | 396,447 | 1,749,708 |
Redeemed | (198,574,207) | (1,917,073) | (12,607,647) |
Net increase (decrease) | $ (68,351,647) | $ 1,370,169 | $ 30,343,593 |
| | | |
Share Transactions | Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 1,899,337 | 63,065 | 511,841 |
Reinvested | 308,386 | 1,581 | 6,195 |
Redeemed | (6,074,596) | (18,076) | (259,750) |
Net increase (decrease) | (3,866,873) | 46,570 | 258,286 |
| | | |
Dollars Sold | $ 242,942,892 | $ 7,949,025 | $ 65,071,581 |
Reinvested | 39,642,996 | 202,925 | 792,116 |
Redeemed | (774,302,513) | (2,314,988) | (32,714,594) |
Net increase (decrease) | $ (491,716,625) | $ 5,836,962 | $ 33,149,103 |
| | | |
Distributions | Six months ended June 30, 2005 (Unaudited) |
| Initial Class | Service Class | Service Class 2 |
From net investment income | $ 47,629,865 | $ 396,447 | $ 1,749,708 |
| | | |
| Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
From net investment income | $ 39,642,996 | $ 202,925 | $ 792,116 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Initial Class
| Six months ended June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 137.76 | $ 126.13 | $ 99.92 | $ 130.08 | $ 149.53 | $ 167.41 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | 1.10 | 2.18 F | 1.63 | 1.51 | 1.48 | 1.51 |
Net realized and unrealized gain (loss) | (2.27) | 11.10 | 26.18 | (30.18) | (19.34) | (16.99) |
Total from investment operations | (1.17) | 13.28 | 27.81 | (28.67) | (17.86) | (15.48) |
Distributions from net investment income | (2.39) | (1.65) | (1.60) | (1.49) | (1.59) | (1.67) |
Distributions from net realized gain | - | - | - | - | - | (.73) |
Total distributions | (2.39) | (1.65) | (1.60) | (1.49) | (1.59) | (2.40) |
Net asset value, end of period | $ 134.20 | $ 137.76 | $ 126.13 | $ 99.92 | $ 130.08 | $ 149.53 |
Total Return B, C, D | (.86)% | 10.62% | 28.41% | (22.25)% | (12.09)% | (9.30)% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | .18% A | .35% | .34% | .33% | .35% | .33% |
Expenses net of voluntary waivers, if any | .16% A | .28% | .28% | .28% | .28% | .28% |
Expenses net of all reductions | .16% A | .28% | .28% | .28% | .28% | .28% |
Net investment income (loss) | 1.64% A | 1.71% | 1.50% | 1.34% | 1.09% | .94% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 2,637,362 | $ 2,778,226 | $ 3,031,540 | $ 2,497,252 | $ 3,475,357 | $ 4,148,728 |
Portfolio turnover rate | 4% A | 5% | 6% | 7% | 9% | 10% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.36 per share.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
Financial Highlights - Service Class
| Six months ended June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 G |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 137.41 | $ 125.86 | $ 99.74 | $ 129.94 | $ 149.46 | $ 166.69 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | 1.03 | 2.05 F | 1.54 | 1.34 | 1.24 | .65 |
Net realized and unrealized gain (loss) | (2.26) | 11.07 | 26.11 | (30.07) | (19.23) | (17.88) |
Total from investment operations | (1.23) | 13.12 | 27.65 | (28.73) | (17.99) | (17.23) |
Distributions from net investment income | (2.29) | (1.57) | (1.53) | (1.47) | (1.53) | - |
Net asset value, end of period | $ 133.89 | $ 137.41 | $ 125.86 | $ 99.74 | $ 129.94 | $ 149.46 |
Total Return B, C, D | (.90)% | 10.51% | 28.27% | (22.32)% | (12.18)% | (10.34)% |
Ratios to Average Net Assets H | | | | | | |
Expenses before expense reductions | .29% A | .47% | .46% | .47% | .56% | .43% A |
Expenses net of voluntary waivers, if any | .26% A | .38% | .38% | .38% | .38% | .38% A |
Expenses net of all reductions | .26% A | .38% | .38% | .38% | .38% | .38% A |
Net investment income (loss) | 1.54% A | 1.61% | 1.40% | 1.24% | .99% | .84% A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 24,011 | $ 23,216 | $ 15,404 | $ 7,494 | $ 3,278 | $ 90 |
Portfolio turnover rate | 4% A | 5% | 6% | 7% | 9% | 10% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.36 per share.
G For the period July 7, 2000 (commencement of operations) to December 31, 2000.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Index 500 Portfolio
Financial Highlights - Service Class 2
| Six months ended June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 G |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 136.71 | $ 125.31 | $ 99.29 | $ 129.43 | $ 149.18 | $ 163.25 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .92 | 1.85 F | 1.37 | 1.19 | 1.09 | 1.04 |
Net realized and unrealized gain (loss) | (2.25) | 11.01 | 26.03 | (30.00) | (19.23) | (12.71) |
Total from investment operations | (1.33) | 12.86 | 27.40 | (28.81) | (18.14) | (11.67) |
Distributions from net investment income | (2.15) | (1.46) | (1.38) | (1.33) | (1.61) | (1.67) |
Distributions from net realized gain | - | - | - | - | - | (.73) |
Total distributions | (2.15) | (1.46) | (1.38) | (1.33) | (1.61) | (2.40) |
Net asset value, end of period | $ 133.23 | $ 136.71 | $ 125.31 | $ 99.29 | $ 129.43 | $ 149.18 |
Total Return B, C, D | (.98)% | 10.34% | 28.09% | (22.45)% | (12.31)% | (7.21)% |
Ratios to Average Net Assets H | | | | | | |
Expenses before expense reductions | .44% A | .61% | .60% | .60% | .61% | .76% A |
Expenses net of voluntary waivers, if any | .41% A | .53% | .53% | .53% | .53% | .53% A |
Expenses net of all reductions | .41% A | .53% | .53% | .53% | .53% | .53% A |
Net investment income (loss) | 1.39% A | 1.46% | 1.25% | 1.09% | .84% | .69% A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 133,725 | $ 106,051 | $ 64,844 | $ 31,035 | $ 19,338 | $ 323 |
Portfolio turnover rate | 4% A | 5% | 6% | 7% | 9% | 10% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.36 per share.
G For the period January 12, 2000 (commencement of operations) to December 31, 2000.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Mid Cap Portfolio
Investment Changes
Top Ten Stocks as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Invitrogen Corp. | 3.0 | 2.4 |
Assurant, Inc. | 1.7 | 0.9 |
NVIDIA Corp. | 1.7 | 0.5 |
Newmont Mining Corp. | 1.6 | 2.5 |
QIAGEN NV | 1.3 | 1.3 |
NII Holdings, Inc. | 1.3 | 0.4 |
CONSOL Energy, Inc. | 1.1 | 0.8 |
Valero Energy Corp. | 1.1 | 0.8 |
Caremark Rx, Inc. | 1.1 | 1.1 |
Freeport-McMoRan Copper & Gold, Inc. Class B | 1.1 | 1.2 |
| 15.0 | |
Top Five Market Sectors as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Health Care | 17.3 | 15.9 |
Energy | 15.5 | 13.5 |
Information Technology | 14.0 | 9.1 |
Consumer Discretionary | 13.2 | 11.0 |
Industrials | 10.6 | 11.2 |
Asset Allocation (% of fund's net assets) |
As of June 30, 2005* | As of December 31, 2004 ** |
| Stocks 96.0% | | | Stocks 96.7% | |
| Short-Term
Investments and
Net Other Assets 4.0% | | | Short-Term
Investments and
Net Other Assets 3.3% | |
* Foreign investments | 24.9% | | ** Foreign investments | 27.3% | |
Mid Cap Portfolio
Fidelity Variable Insurance Products: Mid Cap Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 95.9% |
| Shares | | Value (Note 1) |
CONSUMER DISCRETIONARY - 13.1% |
Auto Components - 1.7% |
Amerigon, Inc. (a) | 100 | | $ 350 |
Bharat Forge Ltd. | 41 | | 1,368 |
BorgWarner, Inc. | 177,300 | | 9,515,691 |
China Yuchai International Ltd. | 100 | | 1,214 |
Continental AG | 100 | | 7,211 |
ElringKlinger AG | 100 | | 7,260 |
Gentex Corp. | 672,400 | | 12,237,680 |
IMPCO Technologies, Inc. (a)(e) | 1,806,793 | | 8,690,674 |
Jinheng Automotive Safety Technology Holdings Ltd. | 2,000 | | 275 |
Johnson Controls, Inc. | 200 | | 11,266 |
LKQ Corp. (a)(e) | 1,088,816 | | 29,561,354 |
New Focus Auto Tech Holdings Ltd. | 4,556,000 | | 592,145 |
Nokian Tyres Ltd. | 967,000 | | 17,623,439 |
Quantum Fuel Systems Technologies Worldwide, Inc. (a) | 346 | | 1,729 |
Xinyi Glass Holdings Co. Ltd. | 2,000 | | 560 |
| | 78,252,216 |
Automobiles - 0.4% |
Bajaj Auto Ltd. | 330,926 | | 10,531,782 |
Denway Motors Ltd. | 4,000 | | 1,428 |
Geely Automobile Holdings Ltd. | 51,785,200 | | 3,331,952 |
Hero Honda Motors Ltd. | 94 | | 1,259 |
Hyundai Motor Co. | 11,500 | | 639,198 |
Hyundai Motor Co. GDR (f) | 100 | | 2,830 |
Mahindra & Mahindra Ltd. | 84,748 | | 1,087,250 |
Maruti Udyog Ltd. | 299,168 | | 3,197,433 |
Renault SA | 100 | | 8,822 |
Thor Industries, Inc. | 200 | | 6,286 |
| | 18,808,240 |
Distributors - 0.1% |
Educational Development Corp. | 100 | | 1,050 |
Eicher Motors Ltd. | 342,065 | | 2,391,504 |
Li & Fung Ltd. | 2,000 | | 4,156 |
| | 2,396,710 |
Diversified Consumer Services - 0.8% |
Alderwoods Group, Inc. (a) | 100 | | 1,437 |
Apollo Group, Inc. Class A (a) | 311 | | 24,326 |
Benesse Corp. | 100 | | 3,210 |
Bright Horizons Family Solutions, Inc. (a) | 797,719 | | 32,483,118 |
Career Education Corp. (a) | 100 | | 3,661 |
Concorde Career Colleges, Inc. (a) | 100 | | 1,365 |
Education Management Corp. (a) | 100 | | 3,373 |
ITT Educational Services, Inc. (a) | 100 | | 5,342 |
Matthews International Corp. Class A | 100 | | 3,896 |
Princeton Review, Inc. (a) | 394,978 | | 2,302,722 |
Service Corp. International (SCI) | 100 | | 802 |
| | 34,833,252 |
Hotels, Restaurants & Leisure - 2.1% |
Accor SA | 100 | | 4,692 |
|
| Shares | | Value (Note 1) |
AFC Enterprises, Inc. | 100 | | $ 1,318 |
Applebee's International, Inc. | 150 | | 3,974 |
BJ's Restaurants, Inc. (a) | 100 | | 2,034 |
Buffalo Wild Wings, Inc. (a) | 206,800 | | 6,452,160 |
Fox & Hound Restaurant Group (a) | 100 | | 1,195 |
Indian Hotels Co. Ltd. | 100 | | 1,443 |
Jack in the Box, Inc. (a) | 100 | | 3,792 |
Jurys Doyle Hotel Group PLC (Ireland) | 100 | | 1,878 |
Krispy Kreme Doughnuts, Inc. (a) | 100 | | 696 |
Kuoni Reisen Holding AG Class B (Reg.) (a) | 100 | | 40,612 |
Minor International PCL (For. Reg.) | 100 | | 9 |
Outback Steakhouse, Inc. | 499,000 | | 22,574,760 |
P.F. Chang's China Bistro, Inc. (a) | 100 | | 5,898 |
Red Robin Gourmet Burgers, Inc. (a) | 100,200 | | 6,210,396 |
Royal Caribbean Cruises Ltd. | 402,300 | | 19,455,228 |
Sonic Corp. (a) | 1,349,325 | | 41,194,892 |
St. Marc Co. Ltd. | 100 | | 4,220 |
TAJ GVK Hotels & Resorts Ltd. | 96,113 | | 958,256 |
Urbium PLC | 3,250 | | 47,458 |
| | 96,964,911 |
Household Durables - 0.5% |
Alba PLC | 26 | | 174 |
Chitaly Holdings Ltd. | 808,000 | | 722,635 |
Fedders Corp. | 100 | | 220 |
Garmin Ltd. | 51 | | 2,180 |
George Wimpey PLC | 100 | | 787 |
Hovnanian Enterprises, Inc. Class A (a) | 200 | | 13,040 |
LG Electronics, Inc. | 167,270 | | 10,639,315 |
Makita Corp. sponsored ADR | 100 | | 1,953 |
Rational AG | 39,471 | | 4,251,159 |
Sekisui House Ltd. | 877,000 | | 8,864,497 |
Skyworth Digital Holdings Ltd. | 2,052 | | 306 |
Steinhoff International Holdings Ltd. | 100 | | 232 |
Tempur-Pedic International, Inc. (a) | 100 | | 2,218 |
Toll Brothers, Inc. (a) | 100 | | 10,155 |
William Lyon Homes, Inc. (a) | 100 | | 9,701 |
| | 24,518,572 |
Internet & Catalog Retail - 0.2% |
1-800-FLOWERS.com, Inc. Class A (a) | 200 | | 1,408 |
Alloy, Inc. (a) | 49,600 | | 254,944 |
Audible, Inc. (a) | 100 | | 1,737 |
GSI Commerce, Inc. (a) | 100 | | 1,675 |
Provide Commerce, Inc. (a) | 65,200 | | 1,407,668 |
Rakuten, Inc. (d) | 8,110 | | 6,500,870 |
| | 8,168,302 |
Leisure Equipment & Products - 0.8% |
Arctic Cat, Inc. | 100 | | 2,053 |
Asia Optical Co., Inc. | 28,718 | | 199,009 |
Beneteau SA | 44,100 | | 3,423,533 |
Jumbo SA (a) | 643,790 | | 6,637,783 |
Mega Bloks, Inc. (a) | 100 | | 1,959 |
Oakley, Inc. | 693,700 | | 11,813,711 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
CONSUMER DISCRETIONARY - continued |
Leisure Equipment & Products - continued |
Polaris Industries, Inc. | 200 | | $ 10,800 |
RC2 Corp. (a) | 15,100 | | 567,307 |
SCP Pool Corp. | 225 | | 7,895 |
Sega Sammy Holdings, Inc. | 133,300 | | 8,173,121 |
SHIMANO, Inc. | 100 | | 2,840 |
Trigano SA | 71,200 | | 6,199,405 |
| | 37,039,416 |
Media - 1.2% |
Astral Media, Inc. Class A (non-vtg.) | 365,800 | | 9,419,678 |
Astro All Asia Networks PLC (a) | 100 | | 143 |
Central European Media Enterprises Ltd. Class A (a) | 100 | | 4,838 |
Chum Ltd. Class B (non-vtg.) | 200 | | 4,775 |
Clear Media Ltd. (a) | 243,000 | | 211,073 |
Cumulus Media, Inc. Class A (a) | 100 | | 1,178 |
E.W. Scripps Co. Class A | 100 | | 4,880 |
Getty Images, Inc. (a) | 5,900 | | 438,134 |
Grupo Televisa SA de CV sponsored ADR | 100 | | 6,209 |
Harris Interactive, Inc. (a) | 1,749,767 | | 8,521,365 |
IMAX Corp. (a)(d) | 100 | | 992 |
Impresa SGPS (a) | 100 | | 634 |
Insignia Systems, Inc. (a) | 100 | | 100 |
JC Decaux SA (a) | 269,100 | | 6,822,396 |
Modern Times Group AB (MTG) (B Shares) (a) | 100 | | 3,068 |
News Corp. Class A | 204 | | 3,301 |
Omnicom Group, Inc. | 134,400 | | 10,733,184 |
Saga Communications, Inc. Class A (a) | 100 | | 1,400 |
Salem Communications Corp. Class A (a) | 131,900 | | 2,616,896 |
SBS Broadcasting SA (a) | 100 | | 4,713 |
Scholastic Corp. (a) | 100 | | 3,855 |
Sogecable SA (a) | 100 | | 3,557 |
Spanish Broadcasting System, Inc.
Class A (a) | 100 | | 999 |
Trader Classified Media NV: | | | |
(A Shares) | 100 | | 1,617 |
Class A (NY Shares) | 76,800 | | 1,228,800 |
Univision Communications, Inc.
Class A (a) | 402,800 | | 11,097,140 |
Zee Telefilms Ltd. | 1,500,455 | | 5,365,054 |
| | 56,499,979 |
Multiline Retail - 0.1% |
Dollar General Corp. | 100 | | 2,036 |
Dollar Tree Stores, Inc. (a) | 100 | | 2,400 |
Don Quijote Co. Ltd. (d) | 67,700 | | 3,687,011 |
Lifestyle International Holdings Ltd. | 500 | | 824 |
Lojas Renner SA (a) | 100 | | 1,585 |
Pantaloon Retail India Ltd. | 70,800 | | 2,243,696 |
PT Mitra Adiperkasa Tbk | 2,633,000 | | 299,526 |
Ryohin Keikaku Co. Ltd. | 100 | | 4,941 |
| | 6,242,019 |
|
| Shares | | Value (Note 1) |
Specialty Retail - 4.2% |
Abercrombie & Fitch Co. Class A | 4,900 | | $ 336,630 |
AC Moore Arts & Crafts, Inc. (a) | 904,800 | | 28,600,728 |
Advance Auto Parts, Inc. (a) | 84,200 | | 5,435,110 |
Best Buy Co., Inc. | 420,900 | | 28,852,695 |
Blacks Leisure Group PLC | 100 | | 800 |
CarMax, Inc. (a) | 533,900 | | 14,228,435 |
Charming Shoppes, Inc. (a) | 100 | | 933 |
Chico's FAS, Inc. (a) | 200 | | 6,856 |
Dixons Group PLC | 4,992,700 | | 14,044,310 |
Dixons Group PLC sponsored ADR | 100 | | 855 |
Edgars Consolidated Stores Ltd. | 128,700 | | 5,611,514 |
Ellerine Holdings Ltd. | 100 | | 782 |
Esprit Holdings Ltd. | 500 | | 3,619 |
Fantastic Holdings Ltd. | 100 | | 272 |
French Connection Group PLC | 100 | | 478 |
GameStop Corp.: | | | |
Class A (a) | 49,000 | | 1,602,790 |
Class B (a) | 477,400 | | 14,274,260 |
GOME Electrical Appliances Holdings Ltd. | 6,291,000 | | 5,423,974 |
Guitar Center, Inc. (a) | 126,100 | | 7,360,457 |
Hot Topic, Inc. (a) | 409,083 | | 7,821,667 |
JB Hi-Fi Ltd. | 100 | | 271 |
JD Group Ltd. | 100 | | 965 |
KOMERI Co. Ltd. | 672,100 | | 18,119,823 |
Lithia Motors, Inc. Class A (sub. vtg.) | 100 | | 2,885 |
Michaels Stores, Inc. | 200 | | 8,274 |
Nitori Co. Ltd. | 226,100 | | 16,207,520 |
O'Reilly Automotive, Inc. (a) | 200 | | 5,962 |
Pacific Sunwear of California, Inc. (a) | 100 | | 2,299 |
Peacock Group PLC | 1,271,844 | | 5,810,845 |
PETsMART, Inc. | 415,900 | | 12,622,565 |
RONA, Inc. (a) | 100 | | 2,014 |
Ross Stores, Inc. | 43,900 | | 1,269,149 |
Sa Sa International Holdings Ltd. | 2,000 | | 978 |
Select Comfort Corp. (a) | 100 | | 2,143 |
Sharper Image Corp. (a) | 100 | | 1,273 |
Shimamura Co. Ltd. | 100 | | 8,440 |
Shopper's Stop Ltd. | 100 | | 829 |
TBC Corp. New (a) | 100 | | 2,713 |
Tiffany & Co., Inc. | 57,100 | | 1,870,596 |
Tractor Supply Co. (a) | 100 | | 4,910 |
Urban Outfitters, Inc. (a) | 400 | | 22,676 |
Williams-Sonoma, Inc. (a) | 100 | | 3,957 |
| | 189,578,252 |
Textiles, Apparel & Luxury Goods - 1.0% |
Cherokee, Inc. | 100 | | 3,462 |
Columbia Sportswear Co. (a) | 304,190 | | 15,023,944 |
Compagnie Financiere Richemont unit | 100 | | 3,363 |
Folli Follie SA | 80 | | 2,345 |
Gildan Activewear, Inc. Class A (sub. vtg.) (a) | 200 | | 5,270 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
CONSUMER DISCRETIONARY - continued |
Textiles, Apparel & Luxury Goods - continued |
K-Swiss, Inc. Class A | 200 | | $ 6,468 |
Kenneth Cole Productions, Inc. Class A (sub. vtg.) | 100 | | 3,112 |
NIKE, Inc. Class B | 100 | | 8,660 |
Polo Ralph Lauren Corp. Class A | 100 | | 4,311 |
Ports Design Ltd. | 161,500 | | 117,421 |
Quiksilver, Inc. (a) | 1,117,968 | | 17,865,129 |
Ted Baker PLC | 1,176,408 | | 10,549,390 |
The Swatch Group AG (Bearer) | 100 | | 14,044 |
Timberland Co. Class A (a) | 200 | | 7,744 |
Weyco Group, Inc. | 200 | | 3,941 |
Wolverine World Wide, Inc. | 150 | | 3,602 |
| | 43,622,206 |
TOTAL CONSUMER DISCRETIONARY | | 596,924,075 |
CONSUMER STAPLES - 5.5% |
Beverages - 0.1% |
Boston Beer Co., Inc. Class A (a) | 100 | | 2,244 |
Brick Brewing Co. Ltd. (a) | 100 | | 177 |
Companhia de Bebidas das Americas (AmBev): | | | |
(PN) sponsored ADR | 100 | | 3,090 |
sponsored ADR | 20 | | 509 |
Fomento Economico Mexicano SA de CV sponsored ADR | 100 | | 5,957 |
Grupo Modelo SA de CV Series C | 253,800 | | 797,778 |
Hansen Natural Corp. (a) | 100 | | 8,472 |
Jones Soda Co. (a) | 310,459 | | 1,862,754 |
MGP Ingredients, Inc. | 200 | | 1,660 |
Pernod-Ricard | 100 | | 15,974 |
Tsingtao Brewery Co. Ltd. (H Shares) | 1,000 | | 1,075 |
Yantai Changyu Pioneer Wine Co. (B Shares) | 100 | | 147 |
| | 2,699,837 |
Food & Staples Retailing - 0.7% |
Central European Distribution Corp. (a) | 150 | | 5,600 |
Heng Tai Consumables Group Ltd. | 5,958,000 | | 1,134,711 |
Massmart Holdings Ltd. | 847,869 | | 5,708,135 |
Metro AG | 206,400 | | 10,243,271 |
Plant Co. Ltd. | 127,000 | | 1,600,884 |
Pyaterochka Holding NV GDR (a) | 100 | | 1,440 |
Shinsegae Co. Ltd. | 3,490 | | 1,103,171 |
Sugi Pharmacy Co. Ltd. (d) | 221,800 | | 6,639,701 |
Tesco PLC | 100 | | 571 |
Wal-Mart de Mexico SA de CV sponsored ADR | 101 | | 4,101 |
Whole Foods Market, Inc. | 50,200 | | 5,938,660 |
| | 32,380,245 |
Food Products - 3.2% |
Archer-Daniels-Midland Co. | 100 | | 2,138 |
|
| Shares | | Value (Note 1) |
Barry Callebaut AG | 85 | | $ 21,554 |
Britannia Industries Ltd. | 100 | | 2,085 |
Bunge Ltd. | 431,300 | | 27,344,420 |
Chaoda Modern Agriculture (Holdings) Ltd. | 5,243,700 | | 2,074,942 |
COFCO International Ltd. | 2,000 | | 959 |
Corn Products International, Inc. | 362,500 | | 8,613,000 |
Fresh Del Monte Produce, Inc. | 100 | | 2,692 |
Glanbia PLC | 784,887 | | 2,659,527 |
Green Mountain Coffee Roasters, Inc. (a) | 81,568 | | 2,767,602 |
Groupe Danone | 204,400 | | 17,982,684 |
Groupe Danone sponsored ADR | 577,200 | | 10,101,000 |
Heritage Foods (INDIA) Ltd. | 100 | | 206 |
Hershey Co. | 336,000 | | 20,865,600 |
Hokuto Corp. | 100 | | 1,979 |
Hormel Foods Corp. | 100 | | 2,933 |
IAWS Group PLC (Ireland) | 25,450 | | 356,029 |
Lindt & Spruengli AG | 400 | | 6,131,159 |
Lindt & Spruengli AG (participation certificate) | 2,770 | | 4,134,522 |
McCormick & Co., Inc. (non-vtg.) | 487,600 | | 15,934,768 |
Peet's Coffee & Tea, Inc. (a) | 100 | | 3,304 |
People's Food Holdings Ltd. | 11,773,165 | | 6,075,661 |
Poore Brothers, Inc. (a) | 820,600 | | 3,668,082 |
PT Indofood Sukses Makmur Tbk | 58,698,500 | | 6,617,287 |
Smithfield Foods, Inc. (a) | 69,700 | | 1,900,719 |
Wimm-Bill-Dann Foods OJSC sponsored ADR (a) | 76,800 | | 1,261,824 |
Wm. Wrigley Jr. Co. | 132,000 | | 9,086,880 |
| | 147,613,556 |
Household Products - 0.0% |
Central Garden & Pet Co. Class A (a) | 100 | | 4,912 |
Godrej Consumer Products Ltd. | 216,376 | | 1,618,030 |
Hindustan Lever Ltd. | 104,300 | | 393,569 |
Kao Corp. | 1,000 | | 23,579 |
Reckitt Benckiser PLC | 300 | | 8,842 |
| | 2,048,932 |
Personal Products - 1.5% |
AmorePacific Corp. | 100 | | 26,486 |
Avon Products, Inc. | 1,104,100 | | 41,790,185 |
Beauty China Holdings Ltd. | 5,090,353 | | 2,928,874 |
Body Shop International PLC | 100 | | 410 |
Dabur India Ltd. | 95 | | 287 |
Estee Lauder Companies, Inc. Class A | 100 | | 3,913 |
Hengan International Group Co. Ltd. | 16,706,600 | | 11,609,270 |
Kose Corp. | 100 | | 3,453 |
Marico Ltd. | 100 | | 575 |
Natura Cosmeticos SA | 232,000 | | 7,394,379 |
Ojsc Concern Kalina sponsored ADR | 42,500 | | 1,217,625 |
Shiseido Co. Ltd. sponsored ADR | 321,700 | | 4,021,250 |
USANA Health Sciences, Inc. (a) | 200 | | 8,460 |
| | 69,005,167 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
CONSUMER STAPLES - continued |
Tobacco - 0.0% |
ITC Ltd. | 100 | | $ 3,823 |
TOTAL CONSUMER STAPLES | | 253,751,560 |
ENERGY - 15.5% |
Energy Equipment & Services - 9.5% |
BJ Services Co. | 110 | | 5,773 |
Cal Dive International, Inc. (a) | 467,400 | | 24,477,738 |
Carbo Ceramics, Inc. | 100 | | 7,896 |
Compagnie Generale de Geophysique SA (a) | 100 | | 8,471 |
Cooper Cameron Corp. (a) | 394,200 | | 24,460,110 |
Core Laboratories NV (a) | 573,900 | | 15,391,998 |
FMC Technologies, Inc. (a) | 385,000 | | 12,308,450 |
Global Industries Ltd. (a) | 2,716,889 | | 23,093,557 |
GlobalSantaFe Corp. | 728,150 | | 29,708,520 |
Gulf Island Fabrication, Inc. | 211,200 | | 4,198,656 |
Halliburton Co. | 223,100 | | 10,668,642 |
Helmerich & Payne, Inc. | 226,000 | | 10,603,920 |
Hydril Co. (a) | 100 | | 5,435 |
Input/Output, Inc. (a) | 100 | | 628 |
Nabors Industries Ltd. (a) | 483,200 | | 29,291,584 |
National Oilwell Varco, Inc. (a) | 768,362 | | 36,527,929 |
Noble Corp. | 489,600 | | 30,115,296 |
NS Group, Inc. (a) | 100 | | 3,251 |
Oceaneering International, Inc. (a) | 388,286 | | 15,007,254 |
Parker Drilling Co. (a) | 3,741,500 | | 26,227,915 |
Pason Systems, Inc. | 1,512,600 | | 26,296,425 |
Patterson-UTI Energy, Inc. | 298,700 | | 8,312,821 |
Pioneer Drilling Co. (a) | 100 | | 1,526 |
Precision Drilling Corp. (a) | 442,800 | | 17,452,507 |
Pride International, Inc. (a) | 484,100 | | 12,441,370 |
Rowan Companies, Inc. | 670,800 | | 19,929,468 |
SEACOR Holdings, Inc. (a) | 100 | | 6,430 |
Smith International, Inc. | 251,090 | | 15,994,433 |
Superior Energy Services, Inc. (a) | 490,000 | | 8,722,000 |
Transocean, Inc. (a) | 489,100 | | 26,396,727 |
Unit Corp. (a) | 100 | | 4,401 |
Veritas DGC, Inc. (a) | 100 | | 2,774 |
Weatherford International Ltd. (a) | 116,800 | | 6,772,064 |
| | 434,445,969 |
Oil, Gas & Consumable Fuels - 6.0% |
Arch Coal, Inc. | 189,100 | | 10,300,277 |
Cameco Corp. | 100 | | 4,461 |
Canadian Natural Resources Ltd. | 100 | | 3,624 |
Carrizo Oil & Gas, Inc. (a) | 50 | | 853 |
China Petroleum & Chemical Corp. sponsored ADR | 100 | | 3,902 |
Comstock Resources, Inc. (a) | 510,400 | | 12,908,016 |
CONSOL Energy, Inc. | 943,800 | | 50,568,804 |
Forest Oil Corp. (a) | 208,200 | | 8,744,400 |
|
| Shares | | Value (Note 1) |
Golar LNG Ltd. (Nasdaq) (a) | 21,393 | | $ 256,716 |
Harvest Natural Resources, Inc. (a) | 100 | | 1,093 |
JKX Oil & Gas | 91 | | 249 |
Massey Energy Co. | 450,594 | | 16,996,406 |
Newfield Exploration Co. (a) | 286,400 | | 11,424,496 |
Niko Resources Ltd. | 100 | | 4,709 |
Nippon Mining Holdings, Inc. | 1,000 | | 5,672 |
Nippon Oil Corp. | 1,088,000 | | 7,387,079 |
OPTI Canada, Inc. (a) | 100 | | 2,183 |
Peabody Energy Corp. | 466,800 | | 24,292,272 |
PetroChina Co. Ltd. sponsored ADR | 100 | | 7,345 |
PetroKazakhstan, Inc. Class A | 100 | | 3,654 |
Petroleo Brasileiro SA Petrobras: | | | |
(PN) sponsored ADR (non-vtg.) | 100 | | 4,604 |
sponsored ADR | 100 | | 5,213 |
Plains Exploration & Production Co. (a) | 100 | | 3,553 |
Premcor, Inc. | 218,500 | | 16,208,330 |
Southwestern Energy Co. (a) | 950,300 | | 44,645,094 |
Surgutneftegaz JSC sponsored ADR | 100 | | 3,737 |
Talisman Energy, Inc. | 100 | | 3,746 |
Tesoro Petroleum Corp. | 201,800 | | 9,387,736 |
TransCanada Corp. | 100 | | 2,631 |
TransMontaigne, Inc. (a) | 763,300 | | 8,014,650 |
Valero Energy Corp. | 636,300 | | 50,337,693 |
Whiting Petroleum Corp. New (a) | 1,600 | | 58,096 |
World Fuel Services Corp. | 46,600 | | 1,090,906 |
XTO Energy, Inc. | 166 | | 5,642 |
| | 272,687,842 |
TOTAL ENERGY | | 707,133,811 |
FINANCIALS - 10.0% |
Capital Markets - 0.2% |
BlackRock, Inc. Class A | 100 | | 8,045 |
Deutsche Bank AG (NY Shares) | 100 | | 7,790 |
Eaton Vance Corp. (non-vtg.) | 200 | | 4,782 |
Federated Investors, Inc. Class B (non-vtg.) | 100 | | 3,001 |
International Assets Holding Corp. (a) | 100 | | 615 |
Legg Mason, Inc. | 100 | | 10,411 |
Matsui Securities Co. Ltd. (d) | 417,600 | | 4,488,339 |
Mitsubishi Securities Co. Ltd. (d) | 391,700 | | 3,471,810 |
Nuveen Investments, Inc. Class A | 100 | | 3,762 |
optionsXpress Holdings, Inc. | 100 | | 1,520 |
T. Rowe Price Group, Inc. | 200 | | 12,520 |
| | 8,012,595 |
Commercial Banks - 3.5% |
Allahabad Bank | 71,000 | | 132,528 |
Banco Itau Holding Financeira SA: | | | |
(PN) | 900 | | 167,449 |
sponsored ADR (non-vtg.) | 47,100 | | 4,356,750 |
Banco Pastor SA (Reg.) | 370,100 | | 14,779,925 |
Bank Austria Creditanstalt AG | 313,675 | | 32,736,169 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
FINANCIALS - continued |
Commercial Banks - continued |
Bank of Baroda | 1,267,372 | | $ 5,853,087 |
Bank of Fukuoka Ltd. (d) | 2,519,000 | | 14,922,528 |
Bank of India | 6,484,456 | | 15,437,405 |
Bank of Yokohama Ltd. | 2,431,000 | | 14,050,503 |
BOK Financial Corp. | 103 | | 4,750 |
Boston Private Financial Holdings, Inc. | 120,400 | | 3,034,080 |
Canara Bank | 782,185 | | 3,805,224 |
Capitalia Spa | 79 | | 442 |
Cathay General Bancorp | 20 | | 674 |
Center Financial Corp., California | 44,000 | | 1,092,520 |
Colonial Bancgroup, Inc. | 234,100 | | 5,164,246 |
Commerce Bancorp, Inc., New Jersey | 190,200 | | 5,764,962 |
Corp. Bank | 108,302 | | 904,655 |
CVB Financial Corp. | 137 | | 2,696 |
DnB NOR ASA | 100 | | 1,044 |
East West Bancorp, Inc. | 200 | | 6,718 |
Fulton Financial Corp. | 14 | | 248 |
HDFC Bank Ltd. sponsored ADR | 96,000 | | 4,464,960 |
Hiroshima Bank Ltd. | 1,570,900 | | 7,167,174 |
Hokuhoku Financial Group, Inc. | 100 | | 307 |
ICICI Bank Ltd. sponsored ADR | 62,100 | | 1,356,885 |
Juroku Bank Ltd. | 485,400 | | 2,630,408 |
Lakeland Financial Corp. | 100 | | 4,068 |
M&T Bank Corp. | 100 | | 10,516 |
Oriental Bank of Commerce | 19,400 | | 111,603 |
OTP Bank Rt. | 100 | | 3,391 |
PrivateBancorp, Inc. | 23,800 | | 842,044 |
PT Bank Central Asia Tbk | 500 | | 184 |
Punjab National Bank | 42,100 | | 393,837 |
Sberbank RF GDR | 200 | | 13,202 |
State Bancorp, Inc., New York | 5 | | 113 |
State Bank of India | 648,383 | | 11,356,359 |
Sumitomo Trust & Banking Co. Ltd. | 1,000 | | 6,086 |
TCF Financial Corp. | 200 | | 5,176 |
Texas Regional Bancshares, Inc. Class A | 150 | | 4,572 |
The Keiyo Bank Ltd. | 536,000 | | 2,740,291 |
UCBH Holdings, Inc. | 100 | | 1,624 |
UnionBanCal Corp. | 100 | | 6,692 |
Uti Bank Ltd. | 100 | | 568 |
Valley National Bancorp | 110 | | 2,572 |
Westcorp | 100 | | 5,242 |
Wintrust Financial Corp. | 105,302 | | 5,512,560 |
| | 158,859,037 |
Consumer Finance - 0.1% |
Advanta Corp. Class B | 100 | | 2,816 |
American Express Co. | 100 | | 5,323 |
EZCORP, Inc. Class A (a) | 174,535 | | 1,871,015 |
First Cash Financial Services, Inc. (a) | 150 | | 3,206 |
First Marblehead Corp. (a) | 100 | | 3,506 |
| | 1,885,866 |
|
| Shares | | Value (Note 1) |
Diversified Financial Services - 0.4% |
Alliance Capital Management Holding LP | 100 | | $ 4,674 |
eSpeed, Inc. Class A (a) | 100 | | 891 |
Kotak Mahindra Bank Ltd. | 637,865 | | 5,763,893 |
Moody's Corp. | 108,200 | | 4,864,672 |
Power Financial Corp. | 100 | | 2,667 |
Principal Financial Group, Inc. | 100 | | 4,190 |
TSX Group, Inc. | 291,800 | | 8,695,411 |
| | 19,336,398 |
Insurance - 4.5% |
ACE Ltd. | 100 | | 4,485 |
Admiral Group PLC | 100 | | 667 |
AFLAC, Inc. | 1,065,200 | | 46,101,856 |
American International Group, Inc. | 160,400 | | 9,319,240 |
Assurant, Inc. (d) | 2,193,700 | | 79,192,570 |
Brown & Brown, Inc. | 38,000 | | 1,707,720 |
Erie Indemnity Co. Class A | 100 | | 5,425 |
Genworth Financial, Inc. Class A (non-vtg.) | 100 | | 3,023 |
Hilb Rogal & Hobbs Co. | 200 | | 6,880 |
Horace Mann Educators Corp. | 100 | | 1,882 |
Mercury General Corp. | 35,100 | | 1,913,652 |
Ohio Casualty Corp. | 122,800 | | 2,969,304 |
Old Republic International Corp. | 150 | | 3,794 |
Ping An Insurance (Group) Co. of China, Ltd. (H Shares) | 5,779,500 | | 9,296,583 |
Progressive Corp. | 90,200 | | 8,912,662 |
Reinsurance Group of America, Inc. | 231,900 | | 10,785,669 |
Scottish Re Group Ltd. | 8,100 | | 196,344 |
StanCorp Financial Group, Inc. | 100 | | 7,658 |
Triad Guaranty, Inc. (a) | 100 | | 5,039 |
UNIPOL Assicurazioni Spa | 100 | | 382 |
Universal American Financial Corp. (a) | 40,049 | | 905,908 |
UnumProvident Corp. | 100 | | 1,832 |
USI Holdings Corp. (a) | 168,300 | | 2,167,704 |
W.R. Berkley Corp. | 927,863 | | 33,106,134 |
Zenith National Insurance Corp. | 300 | | 20,358 |
| | 206,636,771 |
Real Estate - 0.9% |
CBL & Associates Properties, Inc. | 34,600 | | 1,490,222 |
Corporate Office Properties Trust (SBI) | 100 | | 2,945 |
Equity Lifestyle Properties, Inc. | 100 | | 3,976 |
Equity Office Properties Trust | 423,600 | | 14,021,160 |
Equity Residential (SBI) | 100 | | 3,682 |
General Growth Properties, Inc. | 100 | | 4,109 |
Pan Pacific Retail Properties, Inc. | 114,400 | | 7,593,872 |
Plum Creek Timber Co., Inc. | 141,300 | | 5,129,190 |
Shun Tak Holdings Ltd. | 2,000 | | 1,905 |
United Dominion Realty Trust, Inc. (SBI) | 516,600 | | 12,424,230 |
Weingarten Realty Investors (SBI) | 100 | | 3,922 |
| | 40,679,213 |
Thrifts & Mortgage Finance - 0.4% |
Doral Financial Corp. | 162,000 | | 2,679,480 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
FINANCIALS - continued |
Thrifts & Mortgage Finance - continued |
Golden West Financial Corp., Delaware | 79,940 | | $ 5,146,537 |
Housing Development Finance Corp. Ltd. | 138,204 | | 2,831,950 |
MGIC Investment Corp. | 100 | | 6,522 |
NetBank, Inc. | 943,664 | | 8,794,948 |
Radian Group, Inc. | 100 | | 4,722 |
W Holding Co., Inc. | 34 | | 347 |
Washington Federal, Inc. | 121 | | 2,846 |
| | 19,467,352 |
TOTAL FINANCIALS | | 454,877,232 |
HEALTH CARE - 17.3% |
Biotechnology - 6.0% |
Affymetrix, Inc. (a) | 219,600 | | 11,843,028 |
Albany Molecular Research, Inc. (a) | 1,244,402 | | 17,421,628 |
Alexion Pharmaceuticals, Inc. (a) | 100 | | 2,304 |
Alnylam Pharmaceuticals, Inc. | 100 | | 730 |
Applera Corp. - Celera Genomics Group (a) | 100 | | 1,097 |
Bachem Holding AG (B Shares) | 100 | | 5,497 |
Celgene Corp. (a) | 200 | | 8,154 |
Charles River Laboratories International, Inc. (a) | 341,004 | | 16,453,443 |
Ciphergen Biosystems, Inc. (a) | 100 | | 191 |
CSL Ltd. | 83 | | 2,132 |
CytRx Corp. (a) | 100 | | 91 |
deCODE genetics, Inc. (a) | 100 | | 939 |
Dendreon Corp. (a) | 100 | | 523 |
Digene Corp. (a) | 100 | | 2,768 |
Exact Sciences Corp. (a) | 100 | | 228 |
Exelixis, Inc. (a) | 100 | | 743 |
Genentech, Inc. (a) | 25,500 | | 2,047,140 |
Harvard Bioscience, Inc. (a)(e) | 3,023,047 | | 9,492,368 |
ImmunoGen, Inc. (a) | 139,700 | | 808,863 |
Invitrogen Corp. (a) | 1,620,530 | | 134,973,938 |
Lexicon Genetics, Inc. (a) | 100 | | 494 |
Luminex Corp. (a) | 100 | | 984 |
Martek Biosciences (a)(d) | 142,300 | | 5,400,285 |
Myriad Genetics, Inc. (a) | 100 | | 1,565 |
Neogen Corp. (a) | 49,663 | | 710,184 |
ONYX Pharmaceuticals, Inc. (a) | 100 | | 2,388 |
Orthologic Corp. (a) | 100,600 | | 389,322 |
QIAGEN NV (a) | 5,068,000 | | 58,484,720 |
Renovis, Inc. (a) | 100 | | 1,527 |
Sangamo Biosciences, Inc. (a) | 100 | | 357 |
Seattle Genetics, Inc. (a) | 100 | | 536 |
Serologicals Corp. (a) | 100 | | 2,125 |
Sirna Therapeutics, Inc. (a) | 100 | | 175 |
Stratagene Corp. (a)(e) | 1,446,347 | | 12,568,755 |
Strategic Diagnostics, Inc. (a)(e) | 1,059,600 | | 3,634,428 |
|
| Shares | | Value (Note 1) |
Tanox, Inc. (a) | 100 | | $ 1,172 |
Telik, Inc. (a) | 100 | | 1,626 |
| | 274,266,448 |
Health Care Equipment & Supplies - 2.8% |
Advanced Medical Optics, Inc. (a) | 100 | | 3,975 |
Advanced Neuromodulation Systems, Inc. (a) | 100 | | 3,968 |
Arthrocare Corp. (a) | 100 | | 3,494 |
Beckman Coulter, Inc. | 707,700 | | 44,988,489 |
Bio-Rad Laboratories, Inc. Class A (a) | 84,700 | | 5,015,087 |
BioLase Technology, Inc. | 107,400 | | 678,768 |
Biophan Technologies, Inc. (a) | 100 | | 261 |
Bruker BioSciences Corp. (a) | 24,463 | | 97,607 |
Cardiodynamics International Corp. (a) | 100 | | 160 |
Clarient, Inc. (a) | 100 | | 173 |
Cyberonics, Inc. (a) | 200 | | 8,678 |
Cytyc Corp. (a) | 100 | | 2,206 |
Diagnostic Products Corp. | 100 | | 4,733 |
Edwards Lifesciences Corp. (a) | 100 | | 4,302 |
Endocare, Inc. (a) | 144,600 | | 578,400 |
Epix Pharmaceuticals, Inc. (a) | 178,600 | | 1,580,610 |
Essilor International SA | 100 | | 6,837 |
Gen-Probe, Inc. (a) | 22,800 | | 826,044 |
Hospira, Inc. (a) | 100 | | 3,900 |
IDEXX Laboratories, Inc. (a) | 94,300 | | 5,877,719 |
Illumina, Inc. (a) | 100 | | 1,207 |
INAMED Corp. (a) | 150 | | 10,046 |
Intuitive Surgical, Inc. (a) | 100 | | 4,664 |
Kinetic Concepts, Inc. (a) | 37,100 | | 2,226,000 |
Meridian Bioscience, Inc. | 433,750 | | 8,219,563 |
Merit Medical Systems, Inc. (a) | 133 | | 2,055 |
Millipore Corp. (a) | 583,600 | | 33,107,628 |
Molecular Devices Corp. (a) | 80 | | 1,730 |
Nektar Therapeutics (a) | 100 | | 1,684 |
Osteotech, Inc. (a) | 100 | | 368 |
PolyMedica Corp. | 200 | | 7,132 |
Possis Medical, Inc. (a) | 100 | | 1,013 |
Sonic Innovations, Inc. (a) | 100 | | 479 |
SonoSight, Inc. (a) | 200 | | 6,208 |
Stereotaxis, Inc. | 100 | | 803 |
Synovis Life Technologies, Inc. (a) | 100 | | 798 |
Synthes, Inc. | 69,000 | | 7,574,845 |
Thermo Electron Corp. (a) | 265,200 | | 7,125,924 |
Thoratec Corp. (a) | 100 | | 1,534 |
Ventana Medical Systems, Inc. (a) | 100 | | 4,023 |
Waters Corp. (a) | 253,320 | | 9,415,904 |
Wilson Greatbatch Technologies, Inc. (a) | 800 | | 19,120 |
Young Innovations, Inc. | 100 | | 3,733 |
Zimmer Holdings, Inc. (a) | 100 | | 7,617 |
Zoll Medical Corp. (a) | 100 | | 2,545 |
| | 127,432,034 |
Health Care Providers & Services - 7.0% |
Advisory Board Co. (a) | 100 | | 4,874 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
HEALTH CARE - continued |
Health Care Providers & Services - continued |
Aetna, Inc. | 428,100 | | $ 35,455,242 |
Allscripts Healthcare Solutions, Inc. (a) | 504,700 | | 8,383,067 |
American Dental Partners, Inc. (a) | 100 | | 2,441 |
AMERIGROUP Corp. (a) | 200 | | 8,040 |
Andrx Corp. (a) | 100 | | 2,031 |
Apollo Hospital Enterprise Ltd. | 100 | | 811 |
Caremark Rx, Inc. (a) | 1,103,106 | | 49,110,279 |
Centene Corp. (a) | 100 | | 3,358 |
Cerner Corp. (a) | 110,017 | | 7,477,855 |
Community Health Systems, Inc. (a) | 144,900 | | 5,475,771 |
Covance, Inc. (a) | 906,200 | | 40,661,194 |
Coventry Health Care, Inc. (a) | 50 | | 3,538 |
Diagnosticos da America SA | 16,600 | | 226,170 |
Dynacq Healthcare, Inc. (a)(d) | 100 | | 527 |
Eclipsys Corp. (a) | 542,900 | | 7,638,603 |
Evotec OAI AG (a) | 100 | | 355 |
Gambro AB (A Shares) | 100 | | 1,339 |
Health Management Associates, Inc. Class A | 100 | | 2,618 |
Health Net, Inc. (a) | 100 | | 3,816 |
HealthExtras, Inc. (a) | 228,200 | | 4,579,974 |
Humana, Inc. (a) | 403,300 | | 16,027,142 |
ICON PLC sponsored ADR (a) | 174,026 | | 6,038,702 |
IDX Systems Corp. (a) | 100 | | 3,014 |
IMS Health, Inc. | 1,272,900 | | 31,529,733 |
iSoft Group PLC | 35 | | 263 |
Lifeline Systems, Inc. (a) | 124,900 | | 4,011,788 |
Merge Technologies, Inc. (a) | 100 | | 1,875 |
Molina Healthcare, Inc. (a) | 57 | | 2,523 |
National Research Corp. | 100 | | 1,601 |
NDCHealth Corp. | 100 | | 1,797 |
Odyssey Healthcare, Inc. (a) | 200 | | 2,884 |
Omnicare, Inc. | 239,950 | | 10,181,079 |
Pediatrix Medical Group, Inc. (a) | 100 | | 7,354 |
Pharmaceutical Product Development, Inc. (a) | 648,800 | | 30,402,768 |
ProxyMed, Inc. (a) | 498,677 | | 3,909,628 |
Quest Diagnostics, Inc. | 400 | | 21,308 |
Ramsay Health Care Ltd. | 100 | | 675 |
Renal Care Group, Inc. (a) | 50 | | 2,305 |
ResCare, Inc. (a) | 915,103 | | 12,408,797 |
Sunrise Senior Living, Inc. (a)(d) | 314,400 | | 16,971,312 |
Triad Hospitals, Inc. (a) | 98,000 | | 5,354,720 |
TriZetto Group, Inc. (a) | 211,200 | | 2,958,912 |
VCA Antech, Inc. (a) | 108,400 | | 2,628,700 |
VistaCare, Inc. Class A (a) | 303,300 | | 5,601,951 |
WebMD Corp. (a) | 1,317,100 | | 13,526,617 |
WellPoint, Inc. (a) | 400 | | 27,856 |
| | 320,667,207 |
|
| Shares | | Value (Note 1) |
Pharmaceuticals - 1.5% |
Able Laboratories, Inc. (a) | 100 | | $ 348 |
Allergan, Inc. | 100 | | 8,524 |
American Pharmaceutical Partners, Inc. (a) | 150 | | 6,188 |
Aventis Pharma Ltd. | 100 | | 3,019 |
Bentley Pharmaceuticals, Inc. (a) | 224,500 | | 2,458,275 |
Boiron SA | 55 | | 1,538 |
Caraco Pharmaceutical Laboratories Ltd. (a) | 100 | | 858 |
Cipla Ltd. | 50,500 | | 364,332 |
Connetics Corp. (a) | 300,200 | | 5,295,528 |
Dr. Reddy's Laboratories Ltd. sponsored ADR | 110,300 | | 1,866,276 |
Endo Pharmaceuticals Holdings, Inc. (a) | 200 | | 5,256 |
GlaxoSmithkline Pharmaceuticals Ltd. | 100 | | 1,851 |
KV Pharmaceutical Co. Class A (a) | 150 | | 2,513 |
Merck KGaA | 328,421 | | 26,179,285 |
Pfizer Ltd. | 100 | | 1,832 |
Ranbaxy Laboratories Ltd. sponsored GDR | 290,449 | | 7,188,613 |
Roche Holding AG: | | | |
(participation certificate) | 144,249 | | 18,255,520 |
sponsored ADR | 62,700 | | 3,955,743 |
Schering-Plough Corp. | 100 | | 1,906 |
Sepracor, Inc. (a) | 100 | | 6,001 |
SuperGen, Inc. (a) | 100 | | 494 |
Valeant Pharmaceuticals International | 100 | | 1,763 |
| | 65,605,663 |
TOTAL HEALTH CARE | | 787,971,352 |
INDUSTRIALS - 10.6% |
Aerospace & Defense - 0.8% |
Ceradyne, Inc. (a) | 225 | | 5,416 |
DRS Technologies, Inc. | 141,200 | | 7,240,736 |
EDO Corp. | 100 | | 2,991 |
Embraer - Empresa Brasileira de Aeronautica SA sponsored ADR | 100 | | 3,307 |
Esterline Technologies Corp. (a) | 245,400 | | 9,835,632 |
General Dynamics Corp. | 100 | | 10,954 |
L-3 Communications Holdings, Inc. | 222,800 | | 17,062,024 |
Mercury Computer Systems, Inc. (a) | 100 | | 2,737 |
Rockwell Collins, Inc. | 100 | | 4,768 |
| | 34,168,565 |
Air Freight & Logistics - 0.5% |
Business Post Group PLC | 200 | | 2,286 |
C.H. Robinson Worldwide, Inc. | 118,350 | | 6,887,970 |
Dynamex, Inc. (a) | 80 | | 1,363 |
Expeditors International of Washington, Inc. | 100 | | 4,981 |
Forward Air Corp. | 150 | | 4,241 |
Hub Group, Inc. Class A (a) | 627,340 | | 15,714,867 |
| | 22,615,708 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INDUSTRIALS - continued |
Airlines - 0.2% |
ACE Aviation Holdings, Inc. Class A (a) | 262,000 | | $ 8,521,629 |
Ryanair Holdings PLC sponsored ADR (a) | 100 | | 4,484 |
Southwest Airlines Co. | 100 | | 1,393 |
| | 8,527,506 |
Building Products - 0.0% |
American Woodmark Corp. | 200 | | 6,002 |
Quixote Corp. | 80,870 | | 1,585,861 |
Simpson Manufacturing Co. Ltd. | 100 | | 3,055 |
Trex Co., Inc. (a) | 100 | | 2,570 |
USG Corp. (a) | 100 | | 4,250 |
Wienerberger Baustoffindust AG | 100 | | 4,643 |
| | 1,606,381 |
Commercial Services & Supplies - 1.0% |
American Ecology Corp. | 100 | | 1,790 |
Bennett Environmental, Inc. (a) | 167,100 | | 508,719 |
ChoicePoint, Inc. (a) | 259,800 | | 10,404,990 |
Corporate Executive Board Co. | 100 | | 7,833 |
CoStar Group, Inc. (a) | 100 | | 4,360 |
Dun & Bradstreet Corp. (a) | 100 | | 6,165 |
Fullcast Co. Ltd. | 5,746 | | 14,558,640 |
Gevity HR, Inc. | 100 | | 2,003 |
GFK AG | 20 | | 790 |
Intertek Group PLC | 100 | | 1,258 |
ITE Group PLC | 100 | | 188 |
Labor Ready, Inc. (a) | 100 | | 2,331 |
PICO Holdings, Inc. (a) | 100 | | 2,976 |
Randstad Holdings NV | 86,700 | | 2,996,515 |
Ritchie Brothers Auctioneers, Inc. | 200 | | 7,710 |
Robert Half International, Inc. | 100 | | 2,497 |
Rollins, Inc. | 100 | | 2,004 |
Societe Generale de Surveillance Holding SA (SGS) (Reg.) | 12,091 | | 8,306,578 |
Stericycle, Inc. (a) | 213,400 | | 10,738,288 |
Tele Atlas NV (a) | 100 | | 1,519 |
West Corp. (a) | 100 | | 3,840 |
| | 47,560,994 |
Construction & Engineering - 1.8% |
Arcadis NV | 9,700 | | 228,900 |
Arcadis NV (NY Shares) | 200 | | 4,688 |
Chicago Bridge & Iron Co. NV (NY Shares) | 605,600 | | 13,844,016 |
Dycom Industries, Inc. (a) | 140,600 | | 2,785,286 |
EMCOR Group, Inc. (a) | 100 | | 4,890 |
Fluor Corp. | 100 | | 5,759 |
Foster Wheeler Ltd. (a) | 409,231 | | 8,045,481 |
Jacobs Engineering Group, Inc. (a) | 423,400 | | 23,820,484 |
Larsen & Toubro Ltd. | 100 | | 2,604 |
Orascom Construction Industries SAE GDR | 100 | | 5,700 |
Shaw Group, Inc. (a) | 1,283,700 | | 27,612,387 |
|
| Shares | | Value (Note 1) |
SNC-Lavalin Group, Inc. | 100 | | $ 5,599 |
United Group Ltd. | 665,600 | | 4,887,039 |
| | 81,252,833 |
Electrical Equipment - 1.5% |
AstroPower, Inc. (a) | 100 | | 0 |
Baldor Electric Co. | 130,600 | | 3,176,192 |
Bharat Heavy Electricals Ltd. | 100 | | 1,996 |
C&D Technologies, Inc. | 490,700 | | 4,509,533 |
Crompton Greaves Ltd. | 144,396 | | 1,461,563 |
Fujikura Ltd. | 1,000 | | 4,887 |
II-VI, Inc. (a) | 200 | | 3,678 |
Johnson Electric Holdings Ltd. sponsored ADR | 100 | | 925 |
Power-One, Inc. (a) | 100 | | 631 |
Rockwell Automation, Inc. | 878,500 | | 42,791,735 |
Roper Industries, Inc. | 224,700 | | 16,036,839 |
SolarWorld AG | 200 | | 17,547 |
| | 68,005,526 |
Industrial Conglomerates - 0.6% |
Keppel Corp. Ltd. sponsored ADR | 200 | | 2,990 |
Max India Ltd. (a) | 142,982 | | 1,754,099 |
Teleflex, Inc. | 436,100 | | 25,891,257 |
| | 27,648,346 |
Machinery - 3.8% |
AGCO Corp. (a) | 1,801,100 | | 34,437,032 |
Bucher Holding AG | 500 | | 30,430 |
CNH Global NV | 100 | | 1,889 |
Deutz AG (a) | 100 | | 500 |
Donaldson Co., Inc. | 200 | | 6,066 |
Dover Corp. | 222,500 | | 8,094,550 |
Flowserve Corp. (a) | 1,435,800 | | 43,447,308 |
Gardner Denver, Inc. (a) | 191,200 | | 6,707,296 |
Gehl Co. (a) | 100 | | 3,894 |
Harsco Corp. | 472,200 | | 25,758,510 |
Heidelberger Druckmaschinen AG | 178,400 | | 5,224,556 |
Hyundai Heavy Industries Co. Ltd. | 100 | | 5,027 |
Illinois Tool Works, Inc. | 100 | | 7,968 |
ITT Industries, Inc. | 100 | | 9,763 |
Koyo Seiko Co. Ltd. | 1,000 | | 13,390 |
Krones AG | 2,900 | | 350,944 |
MAN AG | 100 | | 4,154 |
Middleby Corp. | 100 | | 5,286 |
PACCAR, Inc. | 150 | | 10,200 |
Pentair, Inc. | 100 | | 4,281 |
Railpower Technologies Corp. (a) | 100 | | 441 |
Tata Motors Ltd. | 452,400 | | 4,427,224 |
Tata Motors Ltd. sponsored ADR | 17,100 | | 165,528 |
Terex Corp. (a) | 262,200 | | 10,330,680 |
Toshiba Machine Co. Ltd. | 1,000 | | 5,663 |
Trinity Industries, Inc. | 100 | | 3,203 |
Wabash National Corp. | 100 | | 2,423 |
Wabtec Corp. | 198,700 | | 4,268,076 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INDUSTRIALS - continued |
Machinery - continued |
Watts Water Technologies, Inc. Class A | 653,800 | | $ 21,895,762 |
Zenon Environmental, Inc. (a) | 363,400 | | 7,332,067 |
| | 172,554,111 |
Marine - 0.1% |
Alexander & Baldwin, Inc. | 131,445 | | 6,092,476 |
Hanjin Shipping Co. Ltd. | 80 | | 2,007 |
Odfjell ASA (B Shares) | 100 | | 1,668 |
| | 6,096,151 |
Road & Rail - 0.2% |
Burlington Northern Santa Fe Corp. | 100 | | 4,708 |
CNF, Inc. | 100 | | 4,490 |
Guangshen Railway Co. Ltd. sponsored ADR | 100 | | 1,810 |
Heartland Express, Inc. | 150 | | 2,915 |
Knight Transportation, Inc. | 150 | | 3,650 |
Landstar System, Inc. (a) | 276,300 | | 8,322,156 |
Old Dominion Freight Lines, Inc. (a) | 150 | | 4,025 |
| | 8,343,754 |
Trading Companies & Distributors - 0.1% |
Bunzl PLC | 78 | | 728 |
Fastenal Co. | 200 | | 12,252 |
MSC Industrial Direct Co., Inc. Class A | 126,200 | | 4,259,250 |
NuCo2, Inc. (a) | 100 | | 2,567 |
Richelieu Hardware Ltd. | 100 | | 1,837 |
STB Leasing Co. Ltd. | 100 | | 1,664 |
| | 4,278,298 |
Transportation Infrastructure - 0.0% |
Macquarie Infrastructure Group unit | 100 | | 317 |
Sea Containers Ltd. Class B | 7,900 | | 125,136 |
| | 125,453 |
TOTAL INDUSTRIALS | | 482,783,626 |
INFORMATION TECHNOLOGY - 14.0% |
Communications Equipment - 1.6% |
Arris Group, Inc. (a) | 100 | | 871 |
AudioCodes Ltd. (a) | 100 | | 995 |
Avaya, Inc. (a) | 100 | | 832 |
Black Box Corp. | 100 | | 3,540 |
C-COR, Inc. (a) | 1,514,200 | | 10,372,270 |
Comtech Telecommunications Corp. (a) | 150 | | 4,895 |
Foxconn International Holdings Ltd. | 1,000 | | 746 |
Ixia (a) | 100 | | 1,944 |
Juniper Networks, Inc. (a) | 200 | | 5,036 |
NETGEAR, Inc. (a)(d) | 853,300 | | 15,871,380 |
Option NV (a) | 90 | | 3,107 |
Plantronics, Inc. | 679,700 | | 24,713,892 |
Polycom, Inc. (a) | 200 | | 2,982 |
Redback Networks, Inc. (a) | 100 | | 638 |
|
| Shares | | Value (Note 1) |
Research In Motion Ltd. (a) | 100 | | $ 7,360 |
SafeNet, Inc. (a) | 78 | | 2,657 |
TANDBERG ASA | 2,190,100 | | 23,461,886 |
| | 74,455,031 |
Computers & Peripherals - 1.4% |
Apple Computer, Inc. (a) | 1,162,200 | | 42,780,582 |
Compal Electronics, Inc. | 1,072 | | 1,064 |
Foxconn Technology Co. Ltd. | 1,000 | | 3,773 |
Gemplus International SA sponsored ADR (a) | 100 | | 439 |
Hutchinson Technology, Inc. (a) | 200 | | 7,702 |
iCAD, Inc. (a) | 750,800 | | 3,356,076 |
Intergraph Corp. (a) | 100 | | 3,446 |
M-Systems Flash Disk Pioneers Ltd. (a) | 900 | | 17,253 |
Moser-Baer India Ltd. | 200 | | 961 |
Network Appliance, Inc. (a) | 100 | | 2,827 |
Oberthur Card Systems | 100 | | 843 |
Overland Storage, Inc. (a) | 100 | | 954 |
Psion PLC | 100 | | 118 |
SanDisk Corp. (a) | 731,948 | | 17,369,126 |
Stratasys, Inc. (a) | 150 | | 4,902 |
Synaptics, Inc. (a) | 100 | | 2,136 |
| | 63,552,202 |
Electronic Equipment & Instruments - 3.7% |
Amphenol Corp. Class A | 100 | | 4,017 |
Applied Films Corp. (a) | 100 | | 2,560 |
BEI Technologies, Inc. | 100 | | 2,668 |
Brightpoint, Inc. (a) | 150 | | 3,329 |
CDW Corp. | 646,691 | | 36,919,589 |
CellStar Corp. (a) | 100 | | 61 |
Cogent, Inc. | 200 | | 5,710 |
Cognex Corp. | 100 | | 2,619 |
Dionex Corp. (a) | 100 | | 4,361 |
Elec & Eltek International Co. Ltd. | 1,629,000 | | 4,137,660 |
Excel Technology, Inc. (a) | 100 | | 2,430 |
FLIR Systems, Inc. (a) | 90 | | 2,686 |
Hon Hai Precision Industries Co. Ltd. | 8,835,800 | | 45,887,580 |
I. D. Systems Inc. (a) | 100 | | 1,581 |
Iteris, Inc. (a) | 100 | | 264 |
Itron, Inc. (a) | 100 | | 4,468 |
KEMET Corp. (a) | 802,100 | | 5,053,230 |
Keyence Corp. | 14,300 | | 3,205,428 |
Measurement Specialties, Inc. (a) | 112,000 | | 2,599,520 |
Metrologic Instruments, Inc. (a) | 200 | | 2,508 |
Mettler-Toledo International, Inc. (a) | 207,500 | | 9,665,350 |
Molex, Inc. | 100 | | 2,604 |
MTS Systems Corp. | 100 | | 3,358 |
National Instruments Corp. | 100 | | 2,120 |
Renishaw PLC | 100 | | 1,320 |
Robotic Vision Systems, Inc. (a) | 100 | | 3 |
ScanSource, Inc. (a) | 100 | | 4,294 |
Symbol Technologies, Inc. | 4,164,943 | | 41,107,987 |
Trimble Navigation Ltd. (a) | 100 | | 3,897 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INFORMATION TECHNOLOGY - continued |
Electronic Equipment & Instruments - continued |
Universal Display Corp. (a) | 100 | | $ 1,028 |
Vishay Intertechnology, Inc. (a) | 1,499,800 | | 17,802,626 |
Xyratex Ltd. | 18,700 | | 290,037 |
Yageo Corp. sponsored GDR (a) | 100 | | 190 |
| | 166,727,083 |
Internet Software & Services - 1.1% |
Akamai Technologies, Inc. (a) | 100 | | 1,313 |
aQuantive, Inc. (a) | 184,011 | | 3,260,675 |
Bankrate, Inc. (a) | 100 | | 2,014 |
Blue Coat Systems, Inc. (a) | 100 | | 2,988 |
Digital River, Inc. (a) | 2 | | 64 |
DoubleClick, Inc. (a) | 100 | | 839 |
eCollege.com (a)(d) | 112,000 | | 1,332,800 |
Homestore, Inc. (a) | 100 | | 203 |
Iliad Group SA | 100 | | 3,741 |
iMergent, Inc. (a) | 100 | | 1,060 |
InfoSpace, Inc. (a) | 100 | | 3,293 |
iVillage, Inc. (a) | 100 | | 598 |
Jupitermedia Corp. (a) | 100 | | 1,713 |
LookSmart Ltd. (a) | 100 | | 74 |
MIVA, Inc. (a) | 100 | | 464 |
Neoforma, Inc. (a) | 100 | | 675 |
Net2Phone, Inc. (a) | 100 | | 181 |
Open Text Corp. (a) | 100 | | 1,414 |
RealNetworks, Inc. (a) | 3,753,204 | | 18,653,424 |
Sina Corp. (a) | 100 | | 2,790 |
Sohu.com, Inc. (a) | 39,000 | | 854,880 |
SonicWALL, Inc. (a) | 100 | | 539 |
Tencent Holdings Ltd. | 1,000 | | 759 |
ValueClick, Inc. (a) | 815,144 | | 10,050,726 |
VeriSign, Inc. (a) | 267,864 | | 7,703,769 |
WebEx Communications, Inc. (a) | 100 | | 2,641 |
Websense, Inc. (a) | 100 | | 4,805 |
Yahoo! Japan Corp. | 3,300 | | 6,932,961 |
| | 48,821,403 |
IT Services - 1.6% |
Affiliated Computer Services, Inc. Class A (a) | 158,116 | | 8,079,728 |
Alliance Data Systems Corp. (a) | 100 | | 4,056 |
Anteon International Corp. (a) | 379,800 | | 17,326,476 |
Ciber, Inc. (a) | 100 | | 798 |
Computershare Ltd. | 100 | | 446 |
DST Systems, Inc. (a) | 600 | | 28,080 |
Global Payments, Inc. | 100 | | 6,780 |
iGate Corp. (a) | 100 | | 358 |
Infocrossing, Inc. (a) | 100 | | 1,247 |
Infosys Technologies Ltd. sponsored ADR | 200 | | 15,494 |
infoUSA, Inc. | 100 | | 1,170 |
Lionbridge Technologies, Inc. (a) | 925,700 | | 6,276,246 |
ManTech International Corp. Class A (a) | 188,332 | | 5,845,825 |
|
| Shares | | Value (Note 1) |
Maximus, Inc. | 328,200 | | $ 11,582,178 |
Net One Systems Co. Ltd. | 78 | | 201,145 |
Obic Co. Ltd. | 60,500 | | 10,271,990 |
Satyam Computer Services Ltd. | 100 | | 1,173 |
SI International, Inc. (a) | 276,400 | | 8,280,944 |
StarTek, Inc. | 100 | | 1,642 |
SunGard Data Systems, Inc. (a) | 200 | | 7,034 |
Syntel, Inc. | 100 | | 1,603 |
TALX Corp. | 150 | | 4,337 |
The BISYS Group, Inc. (a) | 100 | | 1,494 |
TietoEnator Oyj | 100 | | 3,050 |
TIS, Inc. | 157,500 | | 5,382,309 |
Total System Services, Inc. | 100 | | 2,410 |
Tyler Technologies, Inc. (a) | 100 | | 756 |
| | 73,328,769 |
Office Electronics - 0.1% |
Neopost SA | 31,900 | | 2,808,425 |
Zebra Technologies Corp. Class A (a) | 75 | | 3,284 |
| | 2,811,709 |
Semiconductors & Semiconductor Equipment - 2.8% |
Agere Systems, Inc. (a) | 10 | | 120 |
Analog Devices, Inc. | 324,100 | | 12,092,171 |
ARM Holdings PLC sponsored ADR | 100 | | 614 |
ASM Pacific Technology Ltd. | 500 | | 2,342 |
ASML Holding NV (NY Shares) (a) | 100 | | 1,566 |
Cabot Microelectronics Corp. (a)(d) | 88,300 | | 2,559,817 |
Credence Systems Corp. (a) | 915,300 | | 8,283,465 |
Freescale Semiconductor, Inc. Class A | 100 | | 2,101 |
Hi/fn, Inc. (a) | 8 | | 48 |
International Rectifier Corp. (a) | 100 | | 4,772 |
IXYS Corp. (a) | 366,586 | | 5,198,189 |
KLA-Tencor Corp. | 100 | | 4,370 |
Linear Technology Corp. | 100 | | 3,669 |
LSI Logic Corp. (a) | 2,205,200 | | 18,722,148 |
Marvell Technology Group Ltd. (a) | 200 | | 7,608 |
National Semiconductor Corp. | 200 | | 4,406 |
NVIDIA Corp. (a) | 2,831,300 | | 75,652,336 |
Omnivision Technologies, Inc. (a) | 400 | | 5,436 |
Pixelworks, Inc. (a) | 100 | | 858 |
PLX Technology, Inc. (a) | 100 | | 1,016 |
Silicon Image, Inc. (a) | 100 | | 1,026 |
Skyworks Solutions, Inc. (a) | 334,000 | | 2,461,580 |
Tessera Technologies, Inc. (a) | 100 | | 3,341 |
Varian Semiconductor Equipment Associates, Inc. (a) | 138,500 | | 5,124,500 |
Zoran Corp. (a) | 100 | | 1,329 |
| | 130,138,828 |
Software - 1.7% |
Activision, Inc. (a) | 541,454 | | 8,944,820 |
Adobe Systems, Inc. | 150,600 | | 4,310,172 |
Altiris, Inc. (a) | 100 | | 1,468 |
Autodesk, Inc. | 100 | | 3,437 |
Bottomline Technologies, Inc. (a) | 11 | | 165 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INFORMATION TECHNOLOGY - continued |
Software - continued |
Cadence Design Systems, Inc. (a) | 100 | | $ 1,366 |
CCC Information Services Group, Inc. (a) | 100 | | 2,395 |
Citrix Systems, Inc. (a) | 100 | | 2,166 |
DATATRAK International, Inc. (a) | 100 | | 1,720 |
Electronic Arts, Inc. (a) | 92,200 | | 5,219,442 |
FactSet Research Systems, Inc. | 150 | | 5,376 |
FalconStor Software, Inc. (a) | 100 | | 653 |
FileNET Corp. (a) | 100 | | 2,514 |
Hitachi Software Engineering Co. Ltd. | 100 | | 1,700 |
Hyperion Solutions Corp. (a) | 100 | | 4,024 |
Informatica Corp. (a) | 100 | | 839 |
Intuit, Inc. (a) | 72,300 | | 3,261,453 |
JAMDAT Mobile, Inc. | 200 | | 5,536 |
Kronos, Inc. (a) | 100 | | 4,039 |
Macromedia, Inc. (a) | 100 | | 3,822 |
Macrovision Corp. (a) | 287,844 | | 6,488,004 |
Manhattan Associates, Inc. (a) | 100 | | 1,921 |
MRO Software, Inc. (a) | 100 | | 1,461 |
Napster, Inc. (a) | 100 | | 420 |
NAVTEQ Corp. | 143,500 | | 5,335,330 |
NDS Group PLC sponsored ADR (a) | 100 | | 3,332 |
Open Solutions, Inc. (a) | 454,609 | | 9,233,109 |
Plato Learning, Inc. (a) | 100 | | 738 |
Quality Systems, Inc. | 200 | | 9,476 |
Renaissance Learning, Inc. | 432,800 | | 8,785,840 |
RSA Security, Inc. (a)(d) | 848,800 | | 9,744,224 |
Salesforce.com, Inc. | 36,100 | | 739,328 |
ScanSoft, Inc. (a) | 100 | | 378 |
Subex Systems Ltd. | 100 | | 1,123 |
Symantec Corp. (a) | 100 | | 2,174 |
Synopsys, Inc. (a) | 466,700 | | 7,779,889 |
Tata Elxsi Ltd. | 100 | | 430 |
Temenos Group AG (a) | 100 | | 627 |
THQ, Inc. (a) | 314,900 | | 9,217,123 |
TIBCO Software, Inc. (a) | 100 | | 654 |
Ultimate Software Group, Inc. (a) | 100 | | 1,640 |
| | 79,124,328 |
TOTAL INFORMATION TECHNOLOGY | | 638,959,353 |
MATERIALS - 7.4% |
Chemicals - 2.3% |
Airgas, Inc. | 595,800 | | 14,698,386 |
American Vanguard Corp. | 300 | | 6,273 |
Asian Paints India Ltd. | 413,849 | | 3,912,408 |
Balchem Corp. | 150 | | 4,508 |
Crompton Corp. | 929,100 | | 13,146,765 |
Ecolab, Inc. (d) | 415,300 | | 13,439,108 |
Filtrona PLC (a) | 50 | | 218 |
Jubilant Organosys Ltd. | 100 | | 2,161 |
K&S AG | 59,500 | | 3,296,340 |
|
| Shares | | Value (Note 1) |
Lonza Group AG | 10 | | $ 554 |
Monsanto Co. | 272,800 | | 17,150,936 |
Mosaic Co. (a) | 100 | | 1,556 |
Nitto Denko Corp. | 181,200 | | 10,391,164 |
Novozymes AS Series B | 100 | | 4,954 |
Olin Corp. | 320,600 | | 5,847,744 |
Potash Corp. of Saskatchewan | 100 | | 9,545 |
Praxair, Inc. | 73,400 | | 3,420,440 |
Quaker Chemical Corp. | 100 | | 1,745 |
Recticel SA | 100 | | 938 |
RPM International, Inc. | 100 | | 1,826 |
Sasa Dupont Sabanci Polyester Sanayi AS | 1 | | 1 |
Sinopec Shanghai Petrochemical Co. Ltd.: | | | |
(H Shares) | 2,000 | | 688 |
sponsored ADR | 200 | | 6,900 |
Syngenta AG sponsored ADR | 100 | | 2,039 |
Tokuyama Corp. | 1,289,000 | | 9,181,822 |
Tosoh Corp. | 2,805,500 | | 11,661,652 |
United Phosphorous Ltd. | 91 | | 1,700 |
Zoltek Companies, Inc. (a) | 100 | | 1,123 |
| | 106,193,494 |
Construction Materials - 0.2% |
Cemex SA de CV sponsored ADR | 108 | | 4,581 |
Florida Rock Industries, Inc. | 99,450 | | 7,294,658 |
Grasim Industries Ltd. | 3,300 | | 80,794 |
Headwaters, Inc. (a) | 100 | | 3,438 |
Vulcan Materials Co. | 100 | | 6,499 |
| | 7,389,970 |
Containers & Packaging - 0.1% |
Essel Propack Ltd. | 270,100 | | 1,980,319 |
Sealed Air Corp. (a) | 100 | | 4,979 |
Silgan Holdings, Inc. | 34 | | 1,912 |
| | 1,987,210 |
Metals & Mining - 4.5% |
Agnico-Eagle Mines Ltd. | 1,143,930 | | 14,313,130 |
Agnico-Eagle Mines Ltd. warrants 11/14/07 (a) | 23,350 | | 36,426 |
Aleris International, Inc. (a) | 100 | | 2,255 |
Barrick Gold Corp. | 100 | | 2,498 |
BHP Billiton Ltd. sponsored ADR | 100 | | 2,730 |
BlueScope Steel Ltd. | 100 | | 627 |
Century Aluminum Co. (a) | 100 | | 2,040 |
Compania de Minas Buenaventura SA sponsored ADR | 452,000 | | 10,391,480 |
Dofasco, Inc. | 100 | | 3,151 |
Falconbridge Ltd. | 100 | | 3,045 |
FNX Mining Co., Inc. (a) | 100 | | 926 |
Fording Canadian Coal Trust (d) | 38,900 | | 3,561,706 |
Freeport-McMoRan Copper & Gold, Inc. Class B | 1,285,900 | | 48,144,096 |
Glamis Gold Ltd. (a) | 100 | | 1,712 |
Goldcorp, Inc. | 146,800 | | 2,335,237 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
MATERIALS - continued |
Metals & Mining - continued |
Golden Star Resources Ltd. (a) | 250,000 | | $ 775,384 |
Harmony Gold Mining Co. Ltd. | 1,049,100 | | 8,980,296 |
High River Gold Mines Ltd. (a) | 1,989,600 | | 2,192,263 |
Inco Ltd. | 100 | | 3,767 |
Inmet Mining Corp. (a) | 100 | | 1,294 |
Ivanhoe Mines Ltd. (a) | 100 | | 777 |
Kinross Gold Corp. (a) | 4,007,466 | | 24,531,501 |
Mechel Steel Group OAO sponsored ADR | 100 | | 2,540 |
Meridian Gold, Inc. (a) | 100 | | 1,796 |
Mittal Steel Co. NV Class A
(NY Shares) (a) | 3,044 | | 72,253 |
Newmont Mining Corp. | 1,921,680 | | 75,003,170 |
Nippon Steel Corp. | 3,096,700 | | 7,203,901 |
Noranda, Inc. | 100 | | 1,716 |
Northern Orion Resources, Inc. (a) | 100 | | 246 |
Nucor Corp. | 100 | | 4,562 |
Phelps Dodge Corp. | 100 | | 9,250 |
POSCO sponsored ADR | 100 | | 4,397 |
Steel Dynamics, Inc. | 9 | | 236 |
Sumitomo Metal Mining Co. Ltd. | 1,000 | | 6,862 |
Tata Iron & Steel Co. Ltd. | 100 | | 781 |
Teck Cominco Ltd. Class B (sub. vtg.) | 279,600 | | 9,434,104 |
Xstrata PLC | 100 | | 1,930 |
| | 207,034,085 |
Paper & Forest Products - 0.3% |
Cathay Forest Products Corp. (a) | 40,100 | | 18,001 |
International Forest Products (Interfor) Class A (a) | 9,100 | | 49,243 |
Lee & Man Paper Manufacturing Ltd. (a) | 9,688,000 | | 8,228,130 |
MAXXAM, Inc. (a) | 100 | | 2,317 |
Pope Resources, Inc. LP | 100 | | 3,555 |
Sino-Forest Corp. (a) | 2,546,500 | | 5,736,484 |
Votorantim Celulose e Papel SA sponsored ADR (non-vtg.) | 250 | | 3,025 |
Weyerhaeuser Co. | 100 | | 6,365 |
| | 14,047,120 |
TOTAL MATERIALS | | 336,651,879 |
TELECOMMUNICATION SERVICES - 1.8% |
Diversified Telecommunication Services - 0.3% |
Covad Communications Group, Inc. (a) | 61 | | 85 |
Golden Telecom, Inc. | 100 | | 3,068 |
Hungarian Telephone & Cable Corp. (a) | 100 | | 1,720 |
Philippine Long Distance Telephone Co. | 100 | | 2,894 |
Philippine Long Distance Telephone Co. sponsored ADR | 429,000 | | 12,462,450 |
|
| Shares | | Value (Note 1) |
PT Indosat Tbk sponsored ADR | 100 | | $ 2,856 |
PT Telkomunikasi Indonesia Tbk sponsored ADR | 100 | | 2,085 |
| | 12,475,158 |
Wireless Telecommunication Services - 1.5% |
America Movil SA de CV Series L sponsored ADR | 129,900 | | 7,743,339 |
Bharti Televentures Ltd. (a) | 433,000 | | 2,512,446 |
Nextel Communications, Inc. Class A (a) | 100 | | 3,231 |
Nextel Partners, Inc. Class A (a) | 100 | | 2,517 |
NII Holdings, Inc. (a) | 908,308 | | 58,077,214 |
Telemig Celular Participacoes SA sponsored ADR | 100 | | 3,265 |
| | 68,342,012 |
TOTAL TELECOMMUNICATION SERVICES | | 80,817,170 |
UTILITIES - 0.7% |
Electric Utilities - 0.0% |
FPL Group, Inc. | 200 | | 8,412 |
Korea Electric Power Corp. sponsored ADR | 100 | | 1,567 |
PPL Corp. | 100 | | 5,938 |
PTC India Ltd. | 100 | | 98 |
| | 16,015 |
Gas Utilities - 0.2% |
SEMCO Energy, Inc. (a)(e) | 1,613,700 | | 9,666,063 |
Southern Union Co. | 100 | | 2,455 |
| | 9,668,518 |
Independent Power Producers & Energy Traders - 0.5% |
AES Corp. (a) | 1,330,100 | | 21,787,038 |
Multi-Utilities - 0.0% |
Public Service Enterprise Group, Inc. | 100 | | 6,082 |
TOTAL UTILITIES | | 31,477,653 |
TOTAL COMMON STOCKS (Cost $3,504,815,132) | 4,371,347,711 |
Nonconvertible Preferred Stocks - 0.1% |
| | | |
CONSUMER DISCRETIONARY - 0.1% |
Automobiles - 0.1% |
Porsche AG (non-vtg.) | 7,689 | | 5,784,263 |
Household Durables - 0.0% |
Fedders Corp. Series A, 8.60% | 5 | | 103 |
TOTAL NONCONVERTIBLE PREFERRED
STOCKS (Cost $5,473,247) | 5,784,366 |
Money Market Funds - 5.0% |
| Shares | | Value (Note 1) |
Fidelity Cash Central Fund, 3.21% (b) | 171,372,012 | | $ 171,372,012 |
Fidelity Securities Lending Cash Central Fund, 3.23% (b)(c) | 53,747,264 | | 53,747,264 |
TOTAL MONEY MARKET FUNDS (Cost $225,119,276) | 225,119,276 |
Cash Equivalents - 0.3% |
| Maturity Amount | | |
Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations, in a joint trading account at 2.91%, dated 6/30/05 due 7/1/05)
(Cost $14,286,000) | $ 14,287,154 | | 14,286,000 |
TOTAL INVESTMENT PORTFOLIO - 101.3% (Cost $3,749,693,655) | | | 4,616,537,353 |
NET OTHER ASSETS - (1.3)% | | (58,116,060) |
NET ASSETS - 100% | $ 4,558,421,293 |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent quarter end is available upon request. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
(e) Affiliated company |
(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $2,830 or 0.0% of net assets. |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 75.1% |
Japan | 5.0% |
Canada | 3.1% |
India | 2.2% |
Netherlands | 2.0% |
Cayman Islands | 1.8% |
Germany | 1.2% |
France | 1.1% |
Taiwan | 1.0% |
Others (individually less than 1%) | 7.5% |
| 100.0% |
|
An affiliated company is a company in which the fund has ownership of at least 5% of the voting securities. Companies which are affiliates of the fund at period-end are noted in the fund's Schedule of Investments. Transactions during the period with companies which are or were affiliates are as follows: |
Affiliate | Value,
beginning of
period | Purchases | Sales Proceeds | Dividend Income | Value,
end of
period |
Harvard Bioscience, Inc. | $ 13,996,708 | $ - | $ - | $ - | $ 9,492,368 |
IMPCO Technologies, Inc. | 11,373,320 | 7,701,234 | 5,209,047 | - | 8,690,674 |
LKQ Corp. | 6,328,814 | 20,897,779 | 1,084,757 | - | 29,561,354 |
SEMCO Energy, Inc. | - | 9,501,356 | - | - | 9,666,063 |
Stratagene Corp. | 6,584,400 | 6,490,770 | 1,060,177 | - | 12,568,755 |
Strategic Diagnostics, Inc. | $ 2,773,050 | $ 867,957 | $ - | $ - | $ 3,634,428 |
Total | $ 41,056,292 | $ 45,459,096 | $ 7,353,981 | $ - | $ 73,613,642 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Mid Cap Portfolio
Financial Statements
Statement of Assets and Liabilities
| June 30, 2005 (Unaudited) |
| | |
Assets | | |
Investment in securities, at value (including securities loaned of $51,378,741 and repurchase agreements of $14,286,000) (cost $3,749,693,655) - See accompanying schedule | | $ 4,616,537,353 |
Foreign currency held at value (cost $9,794,217) | | 10,275,124 |
Receivable for investments sold | | 27,472,618 |
Receivable for fund shares sold | | 8,611,553 |
Dividends receivable | | 3,592,244 |
Interest receivable | | 708,618 |
Prepaid expenses | | 6,792 |
Other receivables | | 1,166,030 |
Total assets | | 4,668,370,332 |
| | |
Liabilities | | |
Payable to custodian bank | $ 2,892,220 | |
Payable for investments purchased | 47,792,311 | |
Payable for fund shares redeemed | 1,195,947 | |
Accrued management fee | 2,137,128 | |
Distribution fees payable | 612,945 | |
Other affiliated payables | 344,310 | |
Other payables and accrued expenses | 1,226,914 | |
Collateral on securities loaned, at value | 53,747,264 | |
Total liabilities | | 109,949,039 |
| | |
Net Assets | | $ 4,558,421,293 |
Net Assets consist of: | | |
Paid in capital | | $ 3,288,328,455 |
Undistributed net investment income | | 5,438,666 |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | | 398,085,626 |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | | 866,568,546 |
Net Assets | | $ 4,558,421,293 |
| | |
Initial Class:
Net Asset Value, offering price and redemption price per share ($1,036,997,866 ÷ 33,913,294 shares) | | $ 30.58 |
| | |
Service Class:
Net Asset Value, offering price and redemption price per share ($852,833,648 ÷ 28,004,184 shares) | | $ 30.45 |
| | |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($2,668,589,779 ÷ 88,276,643 shares) | | $ 30.23 |
Statement of Operations
| Six months ended June 30, 2005 (Unaudited) |
| | |
Investment Income | | |
Dividends | | $ 17,632,445 |
Interest | | 4,077,989 |
Security lending | | 701,731 |
Total income | | 22,412,165 |
| | |
Expenses | | |
Management fee | $ 12,109,926 | |
Transfer agent fees | 1,423,306 | |
Distribution fees | 3,409,243 | |
Accounting and security lending fees | 566,344 | |
Independent trustees' compensation | 9,365 | |
Custodian fees and expenses | 381,683 | |
Registration fees | 8,689 | |
Audit | 37,448 | |
Legal | 2,582 | |
Miscellaneous | 92,076 | |
Total expenses before reductions | 18,040,662 | |
Expense reductions | (1,161,183) | 16,879,479 |
Net investment income (loss) | | 5,532,686 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | | |
Investment securities (net of foreign taxes of $46,138) (Including realized gain (loss) of $(2,074,886) from affiliated issuers) | 404,488,302 | |
Foreign currency transactions | (154,025) | |
Total net realized gain (loss) | | 404,334,277 |
Change in net unrealized appreciation (depreciation) on: Investment securities (net of decrease in deferred foreign taxes of $531,311) | (282,488,813) | |
Assets and liabilities in foreign currencies | (36,812) | |
Total change in net unrealized appreciation (depreciation) | | (282,525,625) |
Net gain (loss) | | 121,808,652 |
Net increase (decrease) in net assets resulting from operations | | $ 127,341,338 |
See accompanying notes which are an integral part of the financial statements.
Mid Cap Portfolio
Statement of Changes in Net Assets
| Six months ended June 30, 2005
(Unaudited) | Year ended
December 31, 2004 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income (loss) | $ 5,532,686 | $ (3,642,695) |
Net realized gain (loss) | 404,334,277 | 195,434,513 |
Change in net unrealized appreciation (depreciation) | (282,525,625) | 536,253,385 |
Net increase (decrease) in net assets resulting from operations | 127,341,338 | 728,045,203 |
Distributions to shareholders from net realized gain | (69,737,263) | - |
Share transactions - net increase (decrease) | 500,574,919 | 835,964,194 |
Total increase (decrease) in net assets | 558,178,994 | 1,564,009,397 |
| | |
Net Assets | | |
Beginning of period | 4,000,242,299 | 2,436,232,902 |
End of period (including undistributed net investment income of $5,438,666 and undistributed net investment income of $68,191, respectively) | $ 4,558,421,293 | $ 4,000,242,299 |
Other Information: | | | |
Share Transactions | Six months ended June 30, 2005 (Unaudited) |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 2,835,151 | 1,469,133 | 15,808,037 |
Reinvested | 562,378 | 461,807 | 1,305,290 |
Redeemed | (1,941,242) | (1,173,433) | (2,511,779) |
Net increase (decrease) | 1,456,287 | 757,507 | 14,601,548 |
| | | |
Dollars Sold | $ 84,910,166 | $ 43,764,625 | $ 468,070,585 |
Reinvested | 16,950,069 | 13,863,435 | 38,923,759 |
Redeemed | (57,493,242) | (34,874,083) | (73,540,395) |
Net increase (decrease) | $ 44,366,993 | $ 22,753,977 | $ 433,453,949 |
| | | |
Share Transactions | Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 7,712,308 | 4,751,291 | 29,867,543 |
Reinvested | - | - | - |
Redeemed | (3,341,075) | (1,581,671) | (5,307,215) |
Net increase (decrease) | 4,371,233 | 3,169,620 | 24,560,328 |
| | | |
Dollars Sold | $ 203,215,754 | $ 122,478,823 | $ 766,867,153 |
Reinvested | - | - | - |
Redeemed | (83,674,683) | (40,224,756) | (132,698,097) |
Net increase (decrease) | $ 119,541,071 | $ 82,254,067 | $ 634,169,056 |
| | | |
Distributions | Six months ended June 30, 2005 (Unaudited) |
| Initial Class | Service Class | Service Class 2 |
From net realized gain | $ 16,950,069 | $ 13,863,435 | $ 38,923,759 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Initial Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 H | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 30.18 | $ 24.16 | $ 17.51 | $ 19.60 | $ 20.26 | $ 15.25 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .06 | .01 | - G | .09 | .20 | .19 |
Net realized and unrealized gain (loss) | .85 | 6.01 | 6.73 | (2.00) | (.86) | 4.95 |
Total from investment operations | .91 | 6.02 | 6.73 | (1.91) | (.66) | 5.14 |
Distributions from net investment income | - | - | (.08) | (.18) | - | (.08) |
Distributions from net realized gain | (.51) | - | - | - | - | - |
Distributions in excess of net realized gain | - | - | - | - | - | (.05) |
Total distributions | (.51) | - | (.08) | (.18) | - | (.13) |
Net asset value, end of period | $ 30.58 | $ 30.18 | $ 24.16 | $ 17.51 | $ 19.60 | $ 20.26 |
Total Return B, C, D | 3.04% | 24.92% | 38.64% | (9.82)% | (3.26)% | 33.78% |
Ratios to Average Net Assets F | | | | | | |
Expenses before expense reductions | .69% A | .71% | .70% | .70% | .69% | .74% |
Expenses net of voluntary waivers, if any | .69% A | .71% | .70% | .70% | .69% | .74% |
Expenses net of all reductions | .64% A | .68% | .68% | .63% | .62% | .69% |
Net investment income (loss) | .42% A | .03% | -% | .51% | 1.06% | 1.01% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 1,036,998 | $ 979,533 | $ 678,480 | $ 499,557 | $ 574,934 | $ 589,026 |
Portfolio turnover rate | 108% A | 55% | 51% | 135% | 144% | 245% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G Amount represents less than $.01 per share.
H As the result of a correction made in the classification of distributions received on securities representing realized gains for the year ended December 31, 2003, amounts previously reported have been reclassified. The impact of this correction was a decrease in net investment loss of $0.01 per share and a corresponding decrease in net realized and unrealized gain (loss). The ratio of net investment loss to average net assets decreased from (0.04)% or (0.00%). The reclassification had no impact on total net assets or total return of the class.
Financial Highlights - Service Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 G | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 30.07 | $ 24.10 | $ 17.46 | $ 19.54 | $ 20.22 | $ 15.24 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .05 | (.02) | (.02) | .08 | .18 | .17 |
Net realized and unrealized gain (loss) | .84 | 5.99 | 6.72 | (2.00) | (.86) | 4.93 |
Total from investment operations | .89 | 5.97 | 6.70 | (1.92) | (.68) | 5.10 |
Distributions from net investment income | - | - | (.06) | (.16) | - | (.07) |
Distributions from net realized gain | (.51) | - | - | - | - | - |
Distributions in excess of net realized gain | - | - | - | - | - | (.05) |
Total distributions | (.51) | - | (.06) | (.16) | - | (.12) |
Net asset value, end of period | $ 30.45 | $ 30.07 | $ 24.10 | $ 17.46 | $ 19.54 | $ 20.22 |
Total Return B, C, D | 2.98% | 24.77% | 38.52% | (9.90)% | (3.36)% | 33.54% |
Ratios to Average Net Assets F | | | | | | |
Expenses before expense reductions | .79% A | .81% | .80% | .80% | .79% | .84% |
Expenses net of voluntary waivers, if any | .79% A | .81% | .80% | .80% | .79% | .84% |
Expenses net of all reductions | .74% A | .78% | .78% | .73% | .72% | .79% |
Net investment income (loss) | .32% A | (.07)% | (.10)% | .41% | .96% | .92% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 852,834 | $ 819,412 | $ 580,179 | $ 378,264 | $ 366,665 | $ 282,941 |
Portfolio turnover rate | 108% A | 55% | 51% | 135% | 144% | 245% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G As the result of a correction made in the classification of distributions received on securities representing realized gains for the year ended December 31, 2003, amounts previously reported have been reclassified. The impact of this correction was a decrease in net investment loss of $0.01 per share and a corresponding decrease in net realized and unrealized gain (loss). The ratio of net investment loss to average net assets decreased from (0.14)% or (0.10%). The reclassification had no impact on total net assets or total return of the class.
See accompanying notes which are an integral part of the financial statements.
Mid Cap Portfolio
Financial Highlights - Service Class 2
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 H | 2002 | 2001 | 2000 F |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 29.88 | $ 23.98 | $ 17.39 | $ 19.49 | $ 20.20 | $ 14.82 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .03 | (.06) | (.05) | .05 | .15 | .14 |
Net realized and unrealized gain (loss) | .83 | 5.96 | 6.69 | (1.99) | (.86) | 5.35 |
Total from investment operations | .86 | 5.90 | 6.64 | (1.94) | (.71) | 5.49 |
Distributions from net investment income | - | - | (.05) | (.16) | - | (.06) |
Distributions from net realized gain | (.51) | - | - | - | - | - |
Distributions in excess of net realized gain | - | - | - | - | - | (.05) |
Total distributions | (.51) | - | (.05) | (.16) | - | (.11) |
Net asset value, end of period | $ 30.23 | $ 29.88 | $ 23.98 | $ 17.39 | $ 19.49 | $ 20.20 |
Total Return B, C, D | 2.90% | 24.60% | 38.31% | (10.02)% | (3.51)% | 37.12% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | .94% A | .96% | .95% | .95% | .94% | .99% A |
Expenses net of voluntary waivers, if any | .94% A | .96% | .95% | .95% | .94% | .99% A |
Expenses net of all reductions | .89% A | .93% | .93% | .88% | .88% | .94% A |
Net investment income (loss) | .17% A | (.22)% | (.25)% | .25% | .81% | .76% A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 2,668,590 | $ 2,201,298 | $ 1,177,574 | $ 520,933 | $ 210,356 | $ 73,039 |
Portfolio turnover rate | 108% A | 55% | 51% | 135% | 144% | 245% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F For the period January 12, 2000 (commencement of operations) to December 31, 2000.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
H As the result of a correction made in the classification of distributions received on securities representing realized gains for the year ended December 31, 2003, amounts previously reported have been reclassified. The impact of this correction was a decrease in net investment loss of $0.01 per share and a corresponding decrease in net realized and unrealized gain (loss). The ratio of net investment loss to average net assets decreased from (0.29)% or (0.25%). The reclassification had no impact on total net assets or total return of the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Overseas Portfolio
Investment Changes
Geographic Diversification (% of fund's net assets) |
As of June 30, 2005 |
 | Japan | 21.3% | |
 | France | 11.5% | |
 | United Kingdom | 10.0% | |
 | Switzerland | 8.7% | |
 | Taiwan | 8.7% | |
 | Germany | 7.9% | |
 | Netherlands | 6.9% | |
 | United States of America | 5.7% | |
 | Korea (South) | 3.6% | |
 | Other | 15.7% | |
Percentages are adjusted for the effect of futures contracts, if applicable. |
|
As of December 31, 2004 |
| Japan | 18.3% | |
| United Kingdom | 14.6% | |
| France | 10.2% | |
| Germany | 10.0% | |
| Switzerland | 9.2% | |
| Netherlands | 7.1% | |
| United States of America | 5.9% | |
| Korea (South) | 3.5% | |
| Brazil | 3.0% | |
| Other | 18.2% | |
Percentages are adjusted for the effect of futures contracts, if applicable. |
Asset Allocation |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Stocks | 97.8 | 95.5 |
Short-Term Investments and Net Other Assets | 2.2 | 4.5 |
Top Ten Stocks as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Total SA Series B (France, Oil, Gas & Consumable Fuels) | 4.5 | 2.7 |
ASML Holding NV (Netherlands, Semiconductors & Semiconductor Equipment) | 3.6 | 3.2 |
United Microelectronics Corp. (Taiwan, Semiconductors & Semiconductor Equipment) | 3.5 | 1.2 |
Allianz AG (Reg.) (Germany, Insurance) | 3.4 | 3.4 |
Nokia Corp. (Finland, Communications Equipment) | 3.3 | 1.9 |
BP PLC (United Kingdom, Oil, Gas & Consumable Fuels) | 3.0 | 1.7 |
Tokyo Electron Ltd. (Japan, Semiconductors & Semiconductor Equipment) | 2.3 | 1.2 |
Sumitomo Mitsui Financial Group, Inc. (Japan, Commercial Banks) | 1.9 | 1.7 |
Nikko Cordial Corp. (Japan, Capital Markets) | 1.8 | 1.2 |
Roche Holding AG (participation certificate) (Switzerland, Pharmaceuticals) | 1.8 | 1.1 |
| 29.1 | |
Market Sectors as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Information Technology | 27.2 | 18.9 |
Financials | 25.1 | 29.6 |
Consumer Discretionary | 10.3 | 8.8 |
Energy | 10.3 | 7.0 |
Health Care | 6.3 | 7.9 |
Materials | 6.1 | 6.3 |
Industrials | 4.2 | 2.8 |
Consumer Staples | 4.0 | 4.0 |
Telecommunication Services | 3.5 | 9.5 |
Utilities | 0.8 | 0.7 |
See accompanying notes which are an integral part of the financial statements.
Overseas Portfolio
Fidelity Variable Insurance Products: Overseas Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.8% |
| Shares | | Value (Note 1) |
Brazil - 0.3% |
Aracruz Celulose SA (PN-B) sponsored ADR | 92,800 | | $ 3,224,800 |
Votorantim Celulose e Papel SA sponsored ADR (non-vtg.) | 256,400 | | 3,102,440 |
TOTAL BRAZIL | | 6,327,240 |
Canada - 2.4% |
Alcan, Inc. | 530,600 | | 15,928,394 |
EnCana Corp. | 563,800 | | 22,240,005 |
Inmet Mining Corp. (a) | 252,600 | | 3,267,801 |
Talisman Energy, Inc. | 348,000 | | 13,037,218 |
TOTAL CANADA | | 54,473,418 |
China - 0.2% |
Global Bio-Chem Technology Group Co. Ltd. | 6,618,000 | | 4,109,104 |
Global Bio-Chem Technology Group Co. Ltd. warrants 5/31/07 (a) | 516,250 | | 8,636 |
TOTAL CHINA | | 4,117,740 |
Denmark - 0.3% |
TDC AS | 131,900 | | 5,655,474 |
Finland - 3.5% |
Neste Oil Oyj | 156,700 | | 4,058,093 |
Nokia Corp. | 4,550,550 | | 75,721,152 |
TOTAL FINLAND | | 79,779,245 |
France - 11.5% |
Accor SA | 183,952 | | 8,630,571 |
Alcatel SA sponsored ADR (a) | 706,900 | | 7,712,279 |
AXA SA | 619,904 | | 15,441,809 |
BNP Paribas SA | 186,802 | | 12,817,514 |
France Telecom SA | 305,161 | | 8,892,392 |
L'Oreal SA | 154,695 | | 11,110,567 |
Lagardere S.C.A. (Reg.) | 146,900 | | 10,888,476 |
Louis Vuitton Moet Hennessy (LVMH) | 189,300 | | 14,638,301 |
Pernod-Ricard (d) | 71,300 | | 11,389,448 |
Sanofi-Aventis sponsored ADR | 496,600 | | 20,355,634 |
Thomson SA | 484,800 | | 11,616,278 |
Total SA Series B | 443,400 | | 103,622,577 |
Vinci SA | 74,500 | | 6,202,745 |
Vivendi Universal SA sponsored ADR | 636,100 | | 19,929,013 |
TOTAL FRANCE | | 263,247,604 |
Germany - 7.9% |
Allianz AG (Reg.) | 685,500 | | 78,783,107 |
BASF AG | 203,725 | | 13,445,850 |
Deutsche Boerse AG | 120,339 | | 9,427,972 |
Deutsche Telekom AG sponsored ADR | 578,500 | | 10,655,970 |
E.ON AG | 201,244 | | 17,876,505 |
Epcos AG (a)(d) | 513,500 | | 6,437,829 |
GFK AG | 64,292 | | 2,539,489 |
Hypo Real Estate Holding AG | 147,300 | | 5,613,253 |
|
| Shares | | Value (Note 1) |
Infineon Technologies AG sponsored ADR (a)(d) | 1,687,700 | | $ 15,611,225 |
SAP AG sponsored ADR | 369,200 | | 15,986,360 |
SolarWorld AG | 51,000 | | 4,474,530 |
TOTAL GERMANY | | 180,852,090 |
Hong Kong - 2.0% |
ASM Pacific Technology Ltd. (d) | 1,877,500 | | 8,794,364 |
Esprit Holdings Ltd. | 850,500 | | 6,156,302 |
Hong Kong Exchanges & Clearing Ltd. | 2,468,000 | | 6,383,580 |
Hutchison Whampoa Ltd. | 475,600 | | 4,299,434 |
Techtronic Industries Co. Ltd. | 3,169,500 | | 8,014,499 |
Television Broadcasts Ltd. | 1,036,000 | | 5,852,580 |
Wharf Holdings Ltd. | 1,541,000 | | 5,413,628 |
TOTAL HONG KONG | | 44,914,387 |
India - 2.5% |
Cipla Ltd. | 501,673 | | 3,619,315 |
Housing Development Finance Corp. Ltd. | 1,061,383 | | 21,748,891 |
Infosys Technologies Ltd. | 329,196 | | 17,856,848 |
Satyam Computer Services Ltd. | 975,220 | | 11,439,067 |
State Bank of India | 179,400 | | 3,142,172 |
TOTAL INDIA | | 57,806,293 |
Ireland - 0.2% |
Ryanair Holdings PLC sponsored ADR (a) | 119,400 | | 5,353,896 |
Italy - 1.4% |
Banca Intesa Spa | 2,253,000 | | 10,319,681 |
ENI Spa | 859,386 | | 22,034,657 |
TOTAL ITALY | | 32,354,338 |
Japan - 21.3% |
Advantest Corp. | 259,200 | | 19,141,139 |
Aeon Co. Ltd. | 929,400 | | 14,170,825 |
Asahi Glass Co. Ltd. (d) | 1,196,000 | | 12,574,149 |
Bridgestone Corp. (d) | 368,000 | | 7,084,261 |
Canon, Inc. (d) | 212,300 | | 11,173,349 |
Credit Saison Co. Ltd. | 150,700 | | 5,014,048 |
Dainippon Screen Manufacturing Co. Ltd. | 425,000 | | 2,862,585 |
Daiwa Securities Group, Inc. | 3,486,000 | | 21,562,563 |
Honda Motor Co. Ltd. | 401,200 | | 19,747,064 |
JAFCO Co. Ltd. | 271,700 | | 14,454,082 |
Millea Holdings, Inc. | 361 | | 4,850,007 |
Mitsui & Co. Ltd. | 698,000 | | 6,608,359 |
Mizuho Financial Group, Inc. | 5,949 | | 26,927,532 |
Murata Manufacturing Co. Ltd. | 276,500 | | 14,086,155 |
Nikko Cordial Corp. | 9,563,000 | | 42,078,752 |
Nikon Corp. | 260,000 | | 2,944,502 |
Nippon Electric Glass Co. Ltd. | 371,000 | | 5,606,564 |
Nitto Denko Corp. | 472,500 | | 27,096,163 |
Nomura Holdings, Inc. | 2,064,700 | | 24,673,165 |
Oracle Corp. Japan (d) | 29,100 | | 1,099,400 |
ORIX Corp. | 88,800 | | 13,323,403 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
Japan - continued |
Sega Sammy Holdings, Inc. | 117,600 | | $ 7,210,495 |
Sompo Japan Insurance, Inc. | 1,003,000 | | 10,129,029 |
Sumitomo Mitsui Financial Group, Inc. | 6,504 | | 43,983,589 |
T&D Holdings, Inc. | 166,500 | | 7,836,707 |
Takefuji Corp. | 77,610 | | 5,248,411 |
TDK Corp. | 155,200 | | 10,579,433 |
Tokyo Electron Ltd. | 997,500 | | 52,795,861 |
Toyota Motor Corp. | 692,000 | | 24,735,540 |
USS Co. Ltd. | 34,750 | | 2,215,252 |
Yahoo! Japan Corp. | 11,992 | | 25,193,959 |
TOTAL JAPAN | | 487,006,343 |
Korea (South) - 3.6% |
Honam Petrochemical Corp. | 201,370 | | 8,418,808 |
Hyundai Motor Co. | 175,363 | | 9,747,102 |
Kookmin Bank | 493,650 | | 22,451,661 |
LG Electronics, Inc. | 368,100 | | 23,413,235 |
Samsung Electronics Co. Ltd. | 2,154 | | 1,028,590 |
Shinhan Financial Group Co. Ltd. | 426,364 | | 11,086,706 |
Shinsegae Co. Ltd. | 17,330 | | 5,477,924 |
TOTAL KOREA (SOUTH) | | 81,624,026 |
Netherlands - 6.9% |
Aegon NV | 692,800 | | 8,979,177 |
ASML Holding NV (a) | 5,261,439 | | 82,394,134 |
EADS NV | 355,600 | | 11,339,178 |
ING Groep NV (Certificaten Van Aandelen) | 821,724 | | 23,049,358 |
Koninklijke Philips Electronics NV (NY Shares) | 221,300 | | 5,574,547 |
TomTom Group BV | 134,300 | | 2,948,170 |
Unilever NV (NY Shares) | 150,600 | | 9,763,398 |
VNU NV | 524,725 | | 14,649,357 |
TOTAL NETHERLANDS | | 158,697,319 |
Philippines - 0.3% |
Philippine Long Distance Telephone Co. sponsored ADR | 249,300 | | 7,242,165 |
Singapore - 0.9% |
STATS ChipPAC Ltd. (a) | 25,183,000 | | 18,074,817 |
United Test & Assembly Center Ltd. (a) | 8,408,000 | | 3,316,618 |
TOTAL SINGAPORE | | 21,391,435 |
Spain - 1.2% |
Banco Bilbao Vizcaya Argentaria SA | 752,200 | | 11,553,792 |
Telefonica SA | 923,480 | | 15,052,724 |
TOTAL SPAIN | | 26,606,516 |
Sweden - 0.5% |
Gambro AB (A Shares) | 488,200 | | 6,535,852 |
Telefonaktiebolaget LM Ericsson
(B Shares) sponsored ADR (d) | 170,100 | | 5,434,695 |
TOTAL SWEDEN | | 11,970,547 |
|
| Shares | | Value (Note 1) |
Switzerland - 8.7% |
ABB Ltd. (Reg.) (a) | 2,797,868 | | $ 18,337,371 |
Actelion Ltd. (Reg.) (a) | 85,017 | | 8,829,058 |
Compagnie Financiere Richemont unit | 312,115 | | 10,495,967 |
Credit Suisse Group (Reg.) | 591,704 | | 23,159,295 |
Nestle SA (Reg.) | 88,631 | | 22,682,455 |
Novartis AG (Reg.) | 775,218 | | 36,776,342 |
Roche Holding AG (participation certificate) | 319,529 | | 40,438,188 |
Societe Generale de Surveillance Holding SA (SGS) (Reg.) | 4,450 | | 3,057,172 |
The Swatch Group AG (Reg.) | 126,695 | | 3,622,964 |
UBS AG (Reg.) | 413,997 | | 32,229,666 |
TOTAL SWITZERLAND | | 199,628,478 |
Taiwan - 8.7% |
Acer, Inc. | 7,689,000 | | 15,171,665 |
Advanced Semiconductor Engineering, Inc. | 24,441,000 | | 18,287,346 |
AU Optronics Corp. | 3,562,000 | | 5,948,849 |
Chi Mei Optoelectronics Corp. | 3,715,000 | | 5,782,147 |
Chi Mei Optoelectronics Corp. GDR (e) | 384,500 | | 5,998,200 |
Hon Hai Precision Industries Co. Ltd. | 1,069,109 | | 5,552,279 |
King Yuan Electronics Co. Ltd. | 4,326,000 | | 3,940,177 |
Siliconware Precision Industries Co. Ltd. | 17,521,000 | | 17,258,254 |
Sunplus Technology Co. Ltd. | 4,567,000 | | 6,430,567 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 13,801,161 | | 24,007,702 |
United Microelectronics Corp. | 89,602,360 | | 65,062,486 |
United Microelectronics Corp. sponsored ADR (d) | 3,516,000 | | 14,450,760 |
Yageo Corp. (a) | 26,627,000 | | 10,339,766 |
TOTAL TAIWAN | | 198,230,198 |
United Kingdom - 10.0% |
3i Group PLC | 485,573 | | 5,898,608 |
Admiral Group PLC | 512,800 | | 3,422,470 |
AstraZeneca PLC (United Kingdom) | 414,400 | | 17,098,144 |
BAE Systems PLC | 1,060,300 | | 5,452,252 |
BHP Billiton PLC | 1,008,495 | | 12,865,274 |
BP PLC | 6,493,806 | | 67,513,936 |
HSBC Holdings PLC (United Kingdom) (Reg.) | 2,210,374 | | 35,211,258 |
ITV PLC | 4,352,554 | | 9,592,119 |
Man Group PLC | 585,567 | | 15,181,351 |
O2 PLC | 2,520,300 | | 6,152,534 |
Reckitt Benckiser PLC | 331,800 | | 9,779,296 |
Rio Tinto PLC (Reg.) | 336,706 | | 10,262,799 |
Smiths Group PLC | 327,600 | | 5,394,171 |
Tesco PLC | 795,741 | | 4,544,512 |
Vodafone Group PLC | 5,756,725 | | 14,000,354 |
Xstrata PLC | 367,500 | | 7,091,504 |
TOTAL UNITED KINGDOM | | 229,460,582 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
United States of America - 3.5% |
Applied Materials, Inc. | 288,600 | | $ 4,669,548 |
Freeport-McMoRan Copper & Gold, Inc. Class B | 344,900 | | 12,913,056 |
Honeywell International, Inc. | 303,200 | | 11,106,216 |
Lyondell Chemical Co. | 756,900 | | 19,997,298 |
NTL, Inc. (a) | 126,700 | | 8,668,814 |
Synthes, Inc. | 77,867 | | 8,548,267 |
Telewest Global, Inc. (a) | 423,979 | | 9,658,242 |
Teradyne, Inc. (a) | 287,700 | | 3,443,769 |
TOTAL UNITED STATES OF AMERICA | | 79,005,210 |
TOTAL COMMON STOCKS (Cost $1,855,764,198) | 2,235,744,544 |
Money Market Funds - 4.2% |
| | | |
Fidelity Cash Central Fund, 3.21% (b) | 16,308,758 | | 16,308,758 |
Fidelity Securities Lending Cash Central Fund, 3.23% (b)(c) | 80,222,238 | | 80,222,238 |
TOTAL MONEY MARKET FUNDS (Cost $96,530,996) | 96,530,996 |
TOTAL INVESTMENT PORTFOLIO - 102.0% (Cost $1,952,295,194) | | 2,332,275,540 |
NET OTHER ASSETS - (2.0)% | | (44,734,587) |
NET ASSETS - 100% | $ 2,287,540,953 |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent quarter end is available upon request. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $5,998,200 or 0.3% of net assets. |
Income Tax Information |
At December 31, 2004, the fund had a capital loss carryforward of approximately $472,629,652 of which $233,537,497, $191,785,845 and $47,306,310 will expire on December 31, 2009, 2010 and 2011, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Overseas Portfolio
Financial Statements
Statement of Assets and Liabilities
| June 30, 2005 (Unaudited) |
Assets | | |
Investment in securities, at value (including securities loaned of $76,705,666) (cost $1,952,295,194) - See accompanying schedule | | $ 2,332,275,540 |
Cash | | 164 |
Foreign currency held at value (cost $6,691,957) | | 6,675,414 |
Receivable for investments sold | | 39,929,168 |
Receivable for fund shares sold | | 1,000,733 |
Dividends receivable | | 4,127,034 |
Interest receivable | | 113,728 |
Prepaid expenses | | 4,477 |
Other affiliated receivables | | 11,571 |
Other receivables | | 713,511 |
Total assets | | 2,384,851,340 |
Liabilities | | |
Payable for investments purchased | $ 11,401,292 | |
Payable for fund shares redeemed | 1,730,457 | |
Accrued management fee | 1,395,564 | |
Distribution fees payable | 117,114 | |
Other affiliated payables | 262,481 | |
Other payables and accrued expenses | 2,181,241 | |
Collateral on securities loaned, at value | 80,222,238 | |
Total liabilities | | 97,310,387 |
Net Assets | | $ 2,287,540,953 |
Net Assets consist of: | | |
Paid in capital | | $ 2,277,411,052 |
Undistributed net investment income | | 8,598,352 |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | | (376,760,806) |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | | 378,292,355 |
Net Assets | | $ 2,287,540,953 |
Initial Class:
Net Asset Value, offering price and redemption price per share ($1,359,624,197 ÷ 79,894,482 shares) | | $ 17.02 |
Service Class:
Net Asset Value, offering price and redemption price per share ($282,127,022 ÷ 16,641,956 shares) | | $ 16.95 |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($379,311,766 ÷ 22,447,068 shares) | | $ 16.90 |
Initial Class R:
Net Asset Value, offering price and redemption price per share
($142,193,079 ÷ 8,368,886 shares) | | $ 16.99 |
Service Class R:
Net Asset Value, offering price and redemption price per share ($90,180,042 ÷ 5,324,688 shares) | | $ 16.94 |
Service Class 2R:
Net Asset Value, offering price and redemption price per share ($34,104,847 ÷ 2,029,463 shares) | | $ 16.80 |
Statement of Operations
| Six months ended June 30, 2005 (Unaudited) |
| | |
Investment Income | | |
Dividends | | $ 32,740,662 |
Interest | | 582,006 |
Security lending | | 1,744,552 |
| | 35,067,220 |
Less foreign taxes withheld | | (3,897,285) |
Total income | | 31,169,935 |
| | |
Expenses | | |
Management fee | $ 8,410,911 | |
Transfer agent fees | 788,253 | |
Distribution fees | 672,418 | |
Accounting and security lending fees | 556,710 | |
Independent trustees' compensation | 5,286 | |
Appreciation in deferred trustee compensation account | 3,984 | |
Custodian fees and expenses | 484,210 | |
Audit | 44,024 | |
Legal | 1,656 | |
Interest | 4,028 | |
Miscellaneous | 59,102 | |
Total expenses before reductions | 11,030,582 | |
Expense reductions | (678,014) | 10,352,568 |
Net investment income (loss) | | 20,817,367 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | | |
Investment securities | 109,806,653 | |
Foreign currency transactions | 236,477 | |
Total net realized gain (loss) | | 110,043,130 |
Change in net unrealized appreciation (depreciation) on: Investment securities (net of increase in deferred foreign taxes of $309,445) | (172,216,152) | |
Assets and liabilities in foreign currencies | (974,451) | |
Total change in net unrealized appreciation (depreciation) | | (173,190,603) |
Net gain (loss) | | (63,147,473) |
Net increase (decrease) in net assets resulting from operations | | $ (42,330,106) |
See accompanying notes which are an integral part of the financial statements.
Overseas Portfolio
Statement of Changes in Net Assets
| Six months ended
June 30, 2005
(Unaudited) | Year ended
December 31,
2004 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income (loss) | $ 20,817,367 | $ 15,719,326 |
Net realized gain (loss) | 110,043,130 | 146,009,083 |
Change in net unrealized appreciation (depreciation) | (173,190,603) | 114,577,658 |
Net increase (decrease) in net assets resulting from operations | (42,330,106) | 276,306,067 |
Distributions to shareholders from net investment income | (14,837,058) | (22,557,627) |
Distributions to shareholders from net realized gain | (12,260,637) | - |
Total distributions | (27,097,695) | (22,557,627) |
Share transactions - net increase (decrease) | (23,023,437) | 199,907,441 |
Redemption fees | 15,359 | 51,279 |
Total increase (decrease) in net assets | (92,435,879) | 453,707,160 |
Net Assets | | |
Beginning of period | 2,379,976,832 | 1,926,269,672 |
End of period (including undistributed net investment income of $8,598,352 and undistributed net investment income of $1,867,057, respectively) | $ 2,287,540,953 | $ 2,379,976,832 |
Other Information: | | | | | |
Share Transactions | | Six months ended June 30, 2005 (Unaudited) | | |
| Initial Class | Service Class | Service Class 2 | Initial Class R | Service Class R | Service Class 2R |
Shares Sold | 3,806,875 | 1,547,874 | 4,578,475 | 1,428,480 | 613,613 | 524,019 |
Reinvested | 1,002,262 | 205,704 | 205,102 | 98,846 | 54,935 | 18,435 |
Redeemed | (10,069,418) | (3,609,882) | (721,425) | (708,225) | (308,411) | (106,200) |
Net increase (decrease) | (5,260,281) | (1,856,304) | 4,062,152 | 819,101 | 360,137 | 436,254 |
Dollars Sold | $ 64,895,871 | $ 26,461,457 | $ 77,537,280 | $ 24,481,703 | $ 10,400,822 | $ 8,807,791 |
Reinvested | 17,158,734 | 3,509,304 | 3,490,828 | 1,690,264 | 936,639 | 311,926 |
Redeemed | (171,522,093) | (60,080,262) | (12,108,763) | (11,977,210) | (5,223,336) | (1,794,392) |
Net increase (decrease) | $ (89,467,488) | $ (30,109,501) | $ 68,919,345 | $ 14,194,757 | $ 6,114,125 | $ 7,325,325 |
Share Transactions | | | Year ended December 31, 2004 | | |
| Initial Class | Service Class | Service Class 2 | Initial Class R | Service Class R | Service Class 2R |
Shares Sold | 14,747,796 | 5,622,052 | 11,770,833 | 5,679,220 | 1,860,289 | 1,379,237 |
Reinvested | 1,047,651 | 175,526 | 101,002 | 30,931 | 41,469 | 4,934 |
Redeemed | (22,763,135) | (3,179,061) | (2,573,003) | (695,245) | (555,521) | (249,620) |
Net increase (decrease) | (6,967,688) | 2,618,517 | 9,298,832 | 5,014,906 | 1,346,237 | 1,134,551 |
Dollars Sold | $ 235,040,834 | $ 88,487,632 | $ 185,307,863 | $ 89,613,678 | $ 29,201,895 | $ 21,125,719 |
Reinvested | 16,877,656 | 2,818,947 | 1,619,063 | 497,678 | 665,579 | 78,704 |
Redeemed | (358,049,999) | (49,596,873) | (40,549,211) | (10,848,287) | (8,516,411) | (3,867,026) |
Net increase (decrease) | $ (106,131,509) | $ 41,709,706 | $ 146,377,715 | $ 79,263,069 | $ 21,351,063 | $ 17,337,397 |
Distributions | | | Six months ended June 30, 2005 (Unaudited) | | |
| Initial Class | Service Class | Service Class 2 | Initial Class R | Service Class R | Service Class 2R |
From net investment income | $ 9,625,631 | $ 1,847,002 | $ 1,745,414 | $ 965,865 | $ 492,968 | $ 160,178 |
From net realized gain | 7,533,103 | 1,662,302 | 1,745,414 | 724,399 | 443,671 | 151,748 |
Total | $ 17,158,734 | $ 3,509,304 | $ 3,490,828 | $ 1,690,264 | $ 936,639 | $ 311,926 |
| | | Year ended December 31, 2004 | | |
| Initial Class | Service Class | Service Class 2 | Initial Class R | Service Class R | Service Class 2R |
From net investment income | $ 16,877,656 | $ 2,818,947 | $ 1,619,063 | $ 497,678 | $ 665,579 | $ 78,704 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Initial Class
| Six months ended June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 17.51 | $ 15.59 | $ 10.98 | $ 13.88 | $ 20.00 | $ 27.44 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .16 | .13 | .11 | .10 | .14 | .19 F |
Net realized and unrealized gain (loss) | (.44) | 1.97 | 4.60 | (2.90) | (3.86) | (4.93) |
Total from investment operations | (.28) | 2.10 | 4.71 | (2.80) | (3.72) | (4.74) |
Distributions from net investment income | (.12) | (.18) | (.10) | (.10) | (.93) | (.31) |
Distributions in excess of net investment income | - | - | - | - | - | (.06) |
Distributions from net realized gain | (.09) | - | - | - | (1.47) | (2.33) |
Total distributions | (.21) | (.18) | (.10) | (.10) | (2.40) | (2.70) |
Redemption fees added to paid in capital E | - H | -H | - H | - H | - | - |
Net asset value, end of period | $ 17.02 | $ 17.51 | $ 15.59 | $ 10.98 | $ 13.88 | $ 20.00 |
Total Return B, C, D | (1.63)% | 13.57% | 43.37% | (20.28)% | (21.21)% | (19.07)% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | .89% A | .91% | .90% | .90% | .92% | .89% |
Expenses net of voluntary waivers, if any | .89% A | .91% | .90% | .90% | .92% | .89% |
Expenses net of all reductions | .83% A | .87% | .86% | .86% | .87% | .87% |
Net investment income (loss) | .92% I | .80% | .87% | .79% | .91% | .84% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 1,359,624 | $ 1,491,485 | $ 1,436,137 | $ 1,031,489 | $ 1,496,873 | $ 2,267,507 |
Portfolio turnover rate | 77% A | 84% | 99% | 77% | 98% | 136% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower had certain expenses not been reduced during the periods shown. E Calculated based on average shares outstanding during the period. F Investment income per share reflects a special dividend which amounted to $.04 per share. G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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. H Amount represents less than $.01 per share. I Ratio has not been annualized because of the uneven rate at which the fund earns dividend income throughout the fiscal year. |
Financial Highlights - Service Class
| Six months ended June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 17.44 | $ 15.53 | $ 10.94 | $ 13.83 | $ 19.94 | $ 27.39 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .15 | .11 | .09 | .09 | .12 | .17 F |
Net realized and unrealized gain (loss) | (.45) | 1.97 | 4.59 | (2.89) | (3.84) | (4.93) |
Total from investment operations | (.30) | 2.08 | 4.68 | (2.80) | (3.72) | (4.76) |
Distributions from net investment income | (.10) | (.17) | (.09) | (.09) | (.92) | (.30) |
Distributions in excess of net investment income | - | - | - | - | - | (.06) |
Distributions from net realized gain | (.09) | - | - | - | (1.47) | (2.33) |
Total distributions | (.19) | (.17) | (.09) | (.09) | (2.39) | (2.69) |
Redemption fees added to paid in capital E | - H | - H | - H | - H | - | - |
Net asset value, end of period | $ 16.95 | $ 17.44 | $ 15.53 | $ 10.94 | $ 13.83 | $ 19.94 |
Total Return B, C, D | (1.73)% | 13.49% | 43.20% | (20.34)% | (21.27)% | (19.18)% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | .99% A | 1.01% | 1.00% | 1.00% | 1.03% | .99% |
Expenses net of voluntary waivers, if any | .99% A | 1.01% | 1.00% | 1.00% | 1.03% | .99% |
Expenses net of all reductions | .93% A | .97% | .96% | .96% | .97% | .97% |
Net investment income (loss) | .87% I | .69% | .77% | .69% | .81% | .74% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 282,127 | $ 322,649 | $ 246,632 | $ 177,322 | $ 240,525 | $ 257,257 |
Portfolio turnover rate | 77% A | 84% | 99% | 77% | 98% | 136% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower had certain expenses not been reduced during the periods shown. E Calculated based on average shares outstanding during the period. F Investment income per share reflects a special dividend which amounted to $.04 per share. G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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. H Amount represents less than $.01 per share. I Ratio has not been annualized because of the uneven rate at which the fund earns dividend income throughout the fiscal year. |
See accompanying notes which are an integral part of the financial statements.
Overseas Portfolio
Financial Highlights - Service Class 2
| Six months ended June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 G |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 17.39 | $ 15.50 | $ 10.90 | $ 13.81 | $ 19.91 | $ 26.16 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .13 | .08 | .08 | .07 | .10 | .12 F |
Net realized and unrealized gain (loss) | (.44) | 1.97 | 4.58 | (2.88) | (3.80) | (3.68) |
Total from investment operations | (.31) | 2.05 | 4.66 | (2.81) | (3.70) | (3.56) |
Distributions from net investment income | (.09) | (.16) | (.06) | (.10) | (.93) | (.30) |
Distributions in excess of net investment income | - | - | - | - | - | (.06) |
Distributions from net realized gain | (.09) | - | - | - | (1.47) | (2.33) |
Total distributions | (.18) | (.16) | (.06) | (.10) | (2.40) | (2.69) |
Redemption fees added to paid in capital E | - I | - I | - I | - I | - | - |
Net asset value, end of period | $ 16.90 | $ 17.39 | $ 15.50 | $ 10.90 | $ 13.81 | $ 19.91 |
Total Return B, C, D | (1.79)% | 13.31% | 43.04% | (20.46) % | (21.20)% | (15.50)% |
Ratios to Average Net Assets H | | | | | | |
Expenses before expense reductions | 1.14% A | 1.16% | 1.16% | 1.16% | 1.18% | 1.15% A |
Expenses net of voluntary waivers, if any | 1.14% A | 1.16% | 1.16% | 1.16% | 1.18% | 1.15% A |
Expenses net of all reductions | 1.08% A | 1.12% | 1.12% | 1.12% | 1.12% | 1.13% A |
Net investment income (loss) | .80% J | .54% | .61% | .53% | .65% | .58% A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 379,312 | $ 319,708 | $ 140,822 | $ 47,824 | $ 48,843 | $ 12,351 |
Portfolio turnover rate | 77% A | 84% | 99% | 77% | 98% | 136% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower had certain expenses not been reduced during the periods shown. E Calculated based on average shares outstanding during the period. F Investment income per share reflects a special dividend which amounted to $.04 per share. G For the period January 12, 2000 (commencement of sale of shares) to December 31, 2000. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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. I Amount represents less than $.01 per share. J Ratio has not been annualized because of the uneven rate at which the fund earns dividend income throughout the fiscal year. |
Financial Highlights - Initial Class R
| Six months ended June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 F |
Selected Per-Share Data | | | | |
Net asset value, beginning of period | $ 17.49 | $ 15.57 | $ 10.98 | $ 14.05 |
Income from Investment Operations | | | | |
Net investment income (loss) E | .16 | .12 | .11 | .06 |
Net realized and unrealized gain (loss) | (.45) | 1.98 | 4.59 | (3.13) |
Total from investment operations | (.29) | 2.10 | 4.70 | (3.07) |
Distributions from net investment income | (.12) | (.18) | (.11) | - |
Distributions from net realized gain | (.09) | - | - | - |
Total distributions | (.21) | (.18) | (.11) | - |
Redemption fees added to paid in capital E, H | - | - | - | - |
Net asset value, end of period | $ 16.99 | $ 17.49 | $ 15.57 | $ 10.98 |
Total Return B, C, D | (1.67)% | 13.59% | 43.32% | (21.85)% |
Ratios to Average Net AssetsG | | | | |
Expenses before expense reductions | .89%A | .91% | .90% | .91%A |
Expenses net of voluntary waivers, if any | .89%A | .91% | .90% | .91%A |
Expenses net of all reductions | .83%A | .87% | .86% | .87%A |
Net investment income (loss) | .92%I | .79% | .87% | .79%A |
Supplemental Data | | | | |
Net assets, end of period (000 omitted) | $ 142,193 | $ 132,064 | $ 39,466 | $ 15,649 |
Portfolio turnover rate | 77%A | 84% | 99% | 77% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower had certain expenses not been reduced during the periods shown. E Calculated based on average shares outstanding during the period. F For the period April 24, 2002 (commencement of sale of shares) to December 31, 2002. G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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. H Amount represents less than $.01 per share. I Ratio has not been annualized because of the uneven rate at which the fund earns dividend income throughout the fiscal year. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Service Class R
| Six months ended June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 F |
Selected Per-Share Data | | | | |
Net asset value, beginning of period | $ 17.43 | $ 15.52 | $ 10.94 | $ 14.01 |
Income from Investment Operations | | | | |
Net investment income (loss) E | .15 | .11 | .10 | .05 |
Net realized and unrealized gain (loss) | (.45) | 1.97 | 4.58 | (3.12) |
Total from investment operations | (.30) | 2.08 | 4.68 | (3.07) |
Distributions from net investment income | (.10) | (.17) | (.10) | - |
Distributions from net realized gain | (.09) | - | - | - |
Total distributions | (.19) | (.17) | (.10) | - |
Redemption fees added to paid in capital E, H | - | - | - | - |
Net asset value, end of period | $ 16.94 | $ 17.43 | $ 15.52 | $ 10.94 |
Total Return B, C, D | (1.73)% | 13.50% | 43.25% | (21.91)% |
Ratios to Average Net Assets G | | | | |
Expenses before expense reductions | .99% A | 1.01% | 1.00% | 1.01% A |
Expenses net of voluntary waivers, if any | .99% A | 1.01% | 1.00% | 1.01% A |
Expenses net of all reductions | .93% A | .96% | .96% | .97% A |
Net investment income (loss) | .87% I | .70% | .77% | .69% A |
Supplemental Data | | | | |
Net assets, end of period (000 omitted) | $ 90,180 | $ 86,509 | $ 56,141 | $ 17,997 |
Portfolio turnover rate | 77% A | 84% | 99% | 77% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower had certain expenses not been reduced during the periods shown. E Calculated based on average shares outstanding during the period. F For the period April 24, 2002 (commencement of sale of shares) to December 31, 2002. G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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. H Amount represents less than $.01 per share. I Ratio has not been annualized because of the uneven rate at which the fund earns dividend income throughout the fiscal year. |
Financial Highlights - Service Class 2R
| Six months ended June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 F |
Selected Per-Share Data | | | | |
Net asset value, beginning of period | $ 17.30 | $ 15.42 | $ 10.90 | $ 13.96 |
Income from Investment Operations | | | | |
Net investment income (loss) E | .13 | .08 | .08 | .04 |
Net realized and unrealized gain (loss) | (.44) | 1.96 | 4.55 | (3.10) |
Total from investment operations | (.31) | 2.04 | 4.63 | (3.06) |
Distributions from net investment income | (.10) | (.16) | (.11) | - |
Distributions from net realized gain | (.09) | - | - | - |
Total distributions | (.19) | (.16) | (.11) | - |
Redemption fees added to paid in capital E, H | - | - | - | - |
Net asset value, end of period | $ 16.80 | $ 17.30 | $ 15.42 | $ 10.90 |
Total Return B, C, D | (1.83)% | 13.32% | 43.00% | (21.92)% |
Ratios to Average Net Assets G | | | | |
Expenses before expense reductions | 1.14% A | 1.16% | 1.15% | 1.17% A |
Expenses net of voluntary waivers, if any | 1.14% A | 1.16% | 1.15% | 1.17% A |
Expenses net of all reductions | 1.08% A | 1.11% | 1.11% | 1.14% A |
Net investment income (loss) | .80% I | .55% | .62% | .52% A |
Supplemental Data | | | | |
Net assets, end of period (000 omitted) | $ 34,105 | $ 27,562 | $ 7,072 | $ 1,616 |
Portfolio turnover rate | 77% A | 84% | 99% | 77% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower had certain expenses not been reduced during the periods shown. E Calculated based on average shares outstanding during the period. F For the period April 24, 2002 (commencement of sale of shares) to December 31, 2002. G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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. H Amount represents less than $.01 per share. I Ratio has not been annualized because of the uneven rate at which the fund earns dividend income throughout the fiscal year. |
See accompanying notes which are an integral part of the financial statements.
Overseas Portfolio
Notes to Financial Statements
For the period ended June 30, 2005 (Unaudited)
1. Significant Accounting Policies.
Equity-Income Portfolio, Growth Portfolio, and Overseas Portfolio (the funds) are funds of Variable Insurance Products Fund. Contrafund Portfolio and Index 500 Portfolio (the funds) are funds of Variable Insurance Products Fund II. Growth & Income Portfolio, Growth Opportunities Portfolio, and Mid Cap Portfolio (the funds) are funds of Variable Insurance Products Fund III. The Variable Insurance Products Fund, Variable Insurance Products Fund II and Variable Insurance Products Fund III (the trusts) are registered under the Investment Company Act of 1940, as amended (the 1940 Act), as open-end management investment companies organized as Massachusetts business trusts. Each fund is authorized to issue an unlimited number of shares. Shares of each fund may only be purchased by insurance companies for the purpose of funding variable annuity or variable life insurance contracts. Each fund offers the following classes of shares: Initial Class shares, Service Class shares and Service Class 2 shares. Equity-Income, Growth and Contrafund Portfolios also offer Service Class 2R shares. Overseas Portfolio also offers Initial Class R, Service Class R, and Service Class 2R 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 distribution and service plan fees incurred. Certain expense reductions also differ by class. On January 20, 2005, the Board of Trustees approved the creation of an Investor Class, a new class of shares for each fund except for the Index 500 and Overseas Portfolios. The Board of Trustees also approved the creation of an Investor Class R, a new class of shares for the Overseas Portfolio. These shares are expected to be available on or about July 21, 2005.
Certain funds' investments in emerging markets can be subject to social, economic, regulatory, and political uncertainties and can be extremely volatile.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the funds:
Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies, including Underlying Funds, are valued at their net asset value each business day.
Foreign Currency. Certain funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. 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 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.
Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the funds are informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
1. Significant Accounting Policies - continued
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in a cross-section of other Fidelity funds, and are marked-to-market. Deferred amounts remain in the fund until distributed in accordance with the Plan.
Income Tax Information and Distributions to Shareholders. Each year, each fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on each fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
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 generally accepted accounting principles. 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, foreign currency transactions, passive foreign investment companies (PFIC), market discount, redemptions in kind, partnerships, net operating losses, capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows for each fund:
| Cost for Federal
Income Tax Purposes | Unrealized
Appreciation | Unrealized
Depreciation | Net Unrealized
Appreciation/
(Depreciation) |
Contrafund | $ 10,266,742,452 | $ 3,948,040,080 | $ (116,930,335) | $ 3,831,109,745 |
Equity-Income | 8,573,482,701 | 2,757,793,308 | (598,576,194) | 2,159,217,114 |
Growth | 7,390,196,208 | 1,716,443,582 | (328,225,990) | 1,388,217,592 |
Growth & Income | 1,428,480,840 | 116,706,247 | (29,669,330) | 87,036,917 |
Growth Opportunities | 531,506,812 | 141,998,369 | (8,224,376) | 133,773,993 |
Index 500 | 1,860,348,005 | 1,186,618,408 | (209,341,147) | 977,277,261 |
Mid Cap | 3,756,933,447 | 953,436,138 | (93,832,232) | 859,603,906 |
Overseas | 1,955,775,701 | 428,604,755 | (52,104,916) | 376,499,839 |
Trading (Redemption) Fees. Initial Class R shares, Service Class R shares and Service Class 2 R shares held less than 60 days are subject to a redemption fee equal to 1% of the proceeds of the redeemed shares. All redemption fees, including any estimated redemption fees paid by Fidelity Management and Research Company (FMR), are retained by the applicable fund and accounted for as an addition to paid in capital.
2. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits certain funds and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. Certain funds may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Each applicable 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.
Futures Contracts. Certain funds may use futures contracts to manage their exposure to the stock market. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in each applicable fund's Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in each applicable fund's Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contracts' terms. Gains (losses) are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Semiannual Report
2. Operating Policies - continued
Restricted Securities. Certain funds 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 each applicable fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. Certain funds may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. A fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, are noted in the table below.
| Purchases ($) | Sales ($) |
Contrafund | 4,289,829,846 | 3,509,912,993 |
Equity-Income | 1,219,887,436 | 1,555,730,304 |
Growth | 3,991,845,820 | 4,889,469,577 |
Growth & Income | 1,219,279,751 | 1,195,228,947 |
Growth Opportunities | 273,479,600 | 311,864,853 |
Index 500 | 60,904,741 | 143,923,363 |
Mid Cap | 2,516,870,395 | 2,130,910,693 |
Overseas | 897,763,191 | 873,226,510 |
4. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the funds with investment management related services for which the funds pay a monthly management fee.
For all funds except the Index 500 Portfolio, the management fee is the sum of an individual fund fee rate applied to the average net assets of each fund and a group fee rate. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rates decrease as assets under management increase and increase as assets under management decrease. The annual individual fund fee rate is .45% of the fund's average net assets for Overseas Portfolio, .30% for Contrafund, Growth, Growth Opportunities, and Mid Cap Portfolios, and .20% for Equity-Income and Growth & Income Portfolios. The group fee rate averaged .27% during the period.
For the Index 500 Portfolio, from January 1, 2005, through February 28, 2005, the management fee was based on an annual rate of .24% of the fund's average net assets. Effective March 1, 2005, an amendment to the management contract was approved by the Board of Trustees lowering the management fee from .24% to .10% of the fund's average net assets. Under the amended contract, FMR pays all other expenses, except distribution and service fees, the fees and expenses of the Independent Trustees and certain other expenses such as interest expense.
For the period each fund's total annualized management fee rate, expressed as a percentage of each fund's average net assets, was as follows:
Contrafund | .57% | |
Equity-Income | .47% | |
Growth | .57% | |
Growth & Income | .47% | |
Growth Opportunities | .57% | |
Mid Cap | .57% | |
Overseas | .72% | |
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Index 500 Portfolio. Geode provides discretionary investment advisory services to the fund and is paid by FMR for providing these services.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the funds have adopted separate 12b-1 Plans for each Service Class of shares. Each Service Class pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a service fee. For the period, the service fee is based on an annual rate of .10% of Service Class and Service Class R's average net assets and .25% of Service Class 2 and Service Class 2 R's average net assets.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
4. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan - continued
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:
| Service
Class | Service
Class 2 | Service Class R | Service Class 2R |
Contrafund | $ 1,053,739 | $ 2,272,107 | $ - | $ 10,916 |
Equity-Income | 559,163 | 1,817,941 | - | 7,929 |
Growth | 600,192 | 985,765 | - | 3,681 |
Growth & Income | 191,913 | 656,139 | - | - |
Growth Opportunities | 98,810 | 71,471 | - | - |
Index 500 | 11,595 | 144,569 | - | - |
Mid Cap | 413,133 | 2,996,110 | - | - |
Overseas | 154,034 | 437,236 | 42,964 | 38,184 |
Transfer Agent Fees. Fidelity Investment Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the funds' transfer, dividend disbursing and shareholder servicing agent. FIIOC receives an asset-based fee with respect to each account. FIIOC pays a portion of the expenses related to the typesetting, printing and mailing of shareholder reports, except proxy statements. Each class pays a transfer agent fee, excluding out of pocket expenses, equal to an annual rate of .07% of their month end net assets. For the period, the total transfer agent fees paid by each class to FIIOC, including out of pocket expenses, were as follows:
Contrafund |
| |
Initial Class | $ 3,072,464 | |
Service Class | 702,514 | |
Service Class 2 | 622,653 | |
Service Class 2R | 2,996 | |
| $ 4,400,627 | |
Equity-Income |
| |
Initial Class | $ 2,746,488 | |
Service Class | 367,310 | |
Service Class 2 | 491,068 | |
Service Class 2R | 2,139 | |
| $ 3,607,005 | |
Growth |
| |
Initial Class | $ 2,349,623 | |
Service Class | 396,969 | |
Service Class 2 | 266,615 | |
Service Class 2R | 988 | |
| $ 3,014,195 | |
Growth & Income |
| |
Initial Class | $ 217,661 | |
Service Class | 127,130 | |
Service Class 2 | 176,294 | |
| $ 521,085 | |
Growth Opportunities |
| |
Initial Class | $ 147,242 | |
Service Class | 67,677 | |
Service Class 2 | 23,522 | |
| $ 238,441 | |
Index 500 |
| |
Initial Class | $ 297,716 | |
Service Class | 3,204 | |
Service Class 2 | 13,921 | |
| $ 314,841 | |
Semiannual Report
4. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
Mid Cap |
| |
Initial Class | $ 337,939 | |
Service Class | 275,726 | |
Service Class 2 | 809,641 | |
| $ 1,423,306 | |
Overseas |
| |
Initial Class | $ 475,790 | |
Service Class | 105,016 | |
Service Class 2 | 121,323 | |
Initial Class R | 47,434 | |
Service Class R | 28,440 | |
Service Class 2R | 10,250 | |
| $ 788,253 | |
Effective March 1, 2005, FMR pays these fees for the Index 500 Portfolio.
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains each fund's accounting records. The accounting fee is based on the level of average net assets for the 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. Effective March 1, 2005, FMR pays these fees for the Index 500 Portfolio.
Central Funds. Certain funds may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Money Market Central Funds seek preservation of capital and current income. The Central Funds do not pay a management fee. Income distributions earned by the funds are recorded as income in the accompanying financial statements. Distributions from the Central Funds are noted in the table below:
| Income Distributions | |
Contrafund | $ 13,510,483 | |
Equity-Income | 225,730 | |
Growth | 373,445 | |
Growth & Income | 1,972,655 | |
Growth Opportunities | 313,762 | |
Index 500 | 202,438 | |
Mid Cap | 4,065,808 | |
Overseas | 567,426 | |
Brokerage Commissions. Certain funds placed a portion of their portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were as follows:
| Amount | |
Contrafund | $ 143,464 | |
Equity-Income | 55,134 | |
Growth | 203,849 | |
Growth & Income | 27,957 | |
Growth Opportunities | 14,877 | |
Mid Cap | 173,437 | |
Overseas | 803 | |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
4. Fees and Other Transactions with Affiliates - continued
Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the funds, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Each applicable fund's activity in this program during the period for which loans were outstanding was as follows:
| Borrower or Lender | Average Daily Loan Balance | Weighted
Average Interest Rate | Interest Earned (included in
interest income) | Interest
Expense |
Equity-Income | Borrower | $ 9,855,683 | 2.79% | - | $ 31,337 |
Growth | Borrower | 11,520,643 | 2.76% | - | 24,699 |
Growth & Income | Borrower | 17,164,500 | 3.20% | - | 9,147 |
Overseas | Borrower | 4,002,000 | 2.71% | - | 604 |
5. Committed Line of Credit.
Certain funds participate with other funds managed by FMR in a $4.2 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 participating funds have agreed to pay commitment fees on their pro rata portion of the line of credit. During the period, there were no borrowings on this line of credit.
6. Security Lending.
Certain funds lend portfolio securities from time to time in order to earn additional income. Each applicable 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 funds and any additional required collateral is delivered to the funds on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on each applicable fund's Statement of Assets and Liabilities.
7. Bank Borrowings.
Each fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions. Each fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. At period end, there were no bank borrowings outstanding. Each applicable fund's activity in this program during the period for which loans were outstanding was as follows:
| Average Daily
Loan Balance | Weighted Average
Interest Rate |
Overseas | $ 8,284,600 | 2.98% |
8. Expense Reductions.
FMR voluntarily agreed to reimburse certain funds to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, are excluded from this reimbursement.
| Expense
Limitations | Reimbursement
from adviser |
Index 500 | | |
Initial Class | .28% | $ 308,669 |
Service Class | .38% | 3,314 |
Service Class 2 | .53% | 14,601 |
| | $ 326,584 |
Effective March 1, 2005, the expense limitations for the Index 500 Portfolio were eliminated in conjunction with the amended management contract.
Semiannual Report
8. Expense Reductions - continued
Many of the brokers with whom FMR places trades on behalf of certain funds provided services to these funds in addition to trade execution. These services included payments of expenses on behalf of each applicable fund. In addition, through arrangements with each applicable fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the fund's expenses. All of the applicable expense reductions are noted in the table below.
| Brokerage Service Arrangement | Custody
expense
reduction |
Contrafund | $ 1,583,066 | $ 9,611 |
Equity-Income | 621,844 | 774 |
Growth | 1,999,638 | - |
Growth & Income | 362,780 | 494 |
Growth Opportunities | 108,129 | 885 |
Mid Cap | 1,157,476 | 3,707 |
Overseas | 677,860 | 154 |
9. Other.
The funds' 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 funds. In the normal course of business, the funds may also enter into contracts that provide general indemnifications. The funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the funds. The risk of material loss from such claims is considered remote.
At the end of the period, FMR or its affiliates and certain otherwise unaffiliated shareholders each were owners of record of more than 10% of the total outstanding shares of the following funds:
| Affiliated % | Number of
Unaffiliated
Shareholders | Unaffiliated
Shareholders % |
Contrafund | 13% | 2 | 33% |
Equity-Income | 12% | 1 | 34% |
Growth | 11% | 2 | 42% |
Growth & Income | 19% | 1 | 50% |
Growth Opportunities | 24% | 1 | 43% |
Index 500 | 35% | - | - |
Mid Cap | 18% | 2 | 41% |
Overseas | 13% | 2 | 40% |
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
VIP Index 500 Portfolio
On February 17, 2005, the Board of Trustees, including the independent Trustees (together, the Board), voted to approve an amendment to the management contract (the Amendment) for the fund, effective March 1, 2005. The Amendment lowered the management fee from 0.24% to 0.10% of the fund's average daily net assets. The Board, assisted by the advice of fund counsel and independent Trustees' counsel, considered a broad range of information.
In determining whether to approve the Amendment for the fund, the Board was aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund's shareholders, with 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, managed by Fidelity.
Nature, Extent, and Quality of Services Provided by Fidelity. The Board considered the nature, quality, cost and extent of administrative, distribution and shareholder services performed by the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), and by affiliated companies.
Shareholder and Administrative Services. The Board noted that the growth of fund assets 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 phone representatives and over the Internet, and investor education materials and asset allocation tools.
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 for a large variety of mutual fund shareholder services.
Investment Performance. The Board did not consider the fund's investment performance in its decision to approve the Amendment, as the arrangement would not change the fund's portfolio manager, the investment processes, the level or nature of services provided, the resources and personnel allocated, or its trading and compliance operations. The Board also considered that the Amendment could reasonably be expected to enhance the fund's ability to track the relevant index by reducing fund expenses.
Based on its review, the Board concluded that the nature, extent, and quality of the services provided by Fidelity will benefit the fund's shareholders, particularly in light of the Board's view that the fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Expenses. The Board considered that the Amendment reduces the fund's management fee from 0.24% to 0.10% of the fund's average daily net assets. The Board noted that the Amendment also provides that FMR must pay all other fund-level expenses allocated to the fund, excluding interest, taxes, securities lending costs, brokerage commissions, independent Trustees' fees, and extraordinary expenses.
In connection with its review of the fund's total expenses, the Board considered the fund's management fee as well as the fund's non-management expenses, such as transfer agent fees. The Board also considered the management fees and total expenses of similar funds offered by other fund companies. At its meeting, the Board approved an expense contract that obliges FMR to pay all class-level expenses of the fund's existing classes of shareholders, excluding 12b-1 fees. The Board noted that the new contractual expense limits may not be increased without the approval of the Board and the applicable class's shareholders.
Based on its review, the Board concluded that the fund's management fee and total expense arrangements were positive factors in its consideration of approving the fund's Amendment.
Costs of the Services and Profitability. Because the Board was approving an arrangement that lowers the management fee that the fund pays FMR, it did not consider data regarding the impact on Fidelity's costs of services, revenues, or profitability from the new arrangement. The Board noted FMR's assertion that lowering the total expenses of each class of the fund from 0.28%, 0.38%, and 0.53%, to 0.10%, 0.20%, and 0.35% for Initial Class, Service Class, and Service Class 2, respectively, would significantly reduce Fidelity's profitability.
Economies of Scale. The Board concluded that the realization of economies of scale was not relevant to the approval of the Amendment because the arrangement lowers the fund's management fee and, under the expense contracts, FMR will bear all class-level expenses of the fund's existing classes of shareholders, excluding 12b-1 fees. The Board noted that the reduction in management fee and in total expenses delivered significant economies to fund shareholders, but it did not conclude whether the delivery of such economies was related to scale in terms of either growth in fund assets or Fidelity's costs.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the amended advisory fee structure is fair and reasonable, and that the fund's Amendment should be approved.
Index 500 Portfolio
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Contrafund, Equity-Income, Growth,
Growth & Income, Growth Opportunities,
Index 500, Mid Cap, and Overseas Portfolios
Fidelity Management & Research (U.K.) Inc.
Contrafund, Equity-Income, Growth,
Growth & Income, Growth Opportunities,
Mid Cap, and Overseas Portfolios
Fidelity Management & Research (Far East) Inc.
Contrafund, Equity-Income, Growth,
Growth & Income, Growth Opportunities,
Mid Cap, and Overseas Portfolios
Fidelity International Investment Advisors
Contrafund, Equity-Income, Growth,
Growth & Income, Growth Opportunities,
Mid Cap, and Overseas Portfolios
Fidelity International Investment Advisors (U.K.) Limited
Contrafund, Equity-Income, Growth,
Growth & Income, Growth Opportunities,
Mid Cap, and Overseas Portfolios
Fidelity Investments Japan Limited
Contrafund, Equity-Income, Growth,
Growth & Income, Growth Opportunities,
Mid Cap, and Overseas Portfolios
Geode Capital Management, LLC
Index 500 Portfolio
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
JPMorgan Chase Bank, New York, NY
Growth & Income and Overseas Portfolios
Brown Brothers Harriman & Co., Boston, MA
Contrafund and Mid Cap Portfolios
Mellon Bank, N.A., Pittsburgh, PA
Growth, Growth Opportunities, and Index 500 Portfolios
The Northern Trust Company, Chicago, IL
Equity-Income Portfolio
VIPGRP1-SANN-0805
1.803533.101
Fidelity® Variable Insurance Products
Asset Manager Portfolio
Asset Manager: Growth® Portfolio
Balanced Portfolio
High Income Portfolio
Investment Grade Bond Portfolio
Money Market Portfolio
Semiannual Report
June 30, 2005
(2_fidelity_logos) (Registered_Trademark)
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Fidelity Variable Insurance Products are separate account options which are purchased through a variable insurance contract.
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 Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the funds. This report is not authorized for distribution to prospective investors in the funds 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 quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the funds nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Shareholder Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including redemption fees, 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 Funds 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, 2005 to June 30, 2005).
Actual Expenses
The first line of the table below for each class of each 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.
Hypothetical Example for Comparison Purposes
The second line of the table below for each class of each 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.
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.
| Beginning
Account Value
January 1, 2005 | Ending
Account Value
June 30, 2005 | Expenses Paid
During Period*
January 1, 2005
to June 30, 2005 |
Asset Manager | | | |
Initial Class | | | |
Actual | $ 1,000.00 | $ 996.90 | $ 3.17 |
HypotheticalA | $ 1,000.00 | $ 1,021.62 | $ 3.21 |
Service Class | | | |
Actual | $ 1,000.00 | $ 996.10 | $ 3.66 |
HypotheticalA | $ 1,000.00 | $ 1,021.12 | $ 3.71 |
Service Class 2 | | | |
Actual | $ 1,000.00 | $ 995.80 | $ 4.45 |
HypotheticalA | $ 1,000.00 | $ 1,020.33 | $ 4.51 |
Asset Manager: Growth | | | |
Initial Class | | | |
Actual | $ 1,000.00 | $ 986.00 | $ 3.64 |
HypotheticalA | $ 1,000.00 | $ 1,021.12 | $ 3.71 |
Service Class | | | |
Actual | $ 1,000.00 | $ 985.50 | $ 4.14 |
HypotheticalA | $ 1,000.00 | $ 1,020.63 | $ 4.21 |
Service Class 2 | | | |
Actual | $ 1,000.00 | $ 985.50 | $ 5.07 |
HypotheticalA | $ 1,000.00 | $ 1,019.69 | $ 5.16 |
Balanced | | | |
Initial Class | | | |
Actual | $ 1,000.00 | $ 980.40 | $ 2.75 |
HypotheticalA | $ 1,000.00 | $ 1,022.02 | $ 2.81 |
Service Class | | | |
Actual | $ 1,000.00 | $ 979.20 | $ 3.29 |
HypotheticalA | $ 1,000.00 | $ 1,021.47 | $ 3.36 |
Service Class 2 | | | |
Actual | $ 1,000.00 | $ 979.50 | $ 4.02 |
HypotheticalA | $ 1,000.00 | $ 1,020.73 | $ 4.11 |
| Beginning
Account Value
January 1, 2005 | Ending
Account Value
June 30, 2005 | Expenses Paid
During Period*
January 1, 2005
to June 30, 2005 |
High Income | | | |
Initial Class | | | |
Actual | $ 1,000.00 | $ 997.30 | $ 3.47 |
HypotheticalA | $ 1,000.00 | $ 1,021.32 | $ 3.51 |
Service Class | | | |
Actual | $ 1,000.00 | $ 996.40 | $ 3.96 |
HypotheticalA | $ 1,000.00 | $ 1,020.83 | $ 4.01 |
Service Class 2 | | | |
Actual | $ 1,000.00 | $ 995.80 | $ 4.75 |
HypotheticalA | $ 1,000.00 | $ 1,020.03 | $ 4.81 |
Initial Class R | | | |
Actual | $ 1,000.00 | $ 995.70 | $ 3.41 |
HypotheticalA | $ 1,000.00 | $ 1,021.37 | $ 3.46 |
Service Class R | | | |
Actual | $ 1,000.00 | $ 996.60 | $ 3.96 |
HypotheticalA | $ 1,000.00 | $ 1,020.83 | $ 4.01 |
Service Class 2R | | | |
Actual | $ 1,000.00 | $ 995.70 | $ 4.65 |
HypotheticalA | $ 1,000.00 | $ 1,020.13 | $ 4.71 |
Investment Grade Bond | | | |
Initial Class | | | |
Actual | $ 1,000.00 | $ 1,022.70 | $ 2.66** |
HypotheticalA | $ 1,000.00 | $ 1,022.17 | $ 2.66** |
Service Class | | | |
Actual | $ 1,000.00 | $ 1,022.40 | $ 3.16** |
HypotheticalA | $ 1,000.00 | $ 1,021.67 | $ 3.16** |
Service Class 2 | | | |
Actual | $ 1,000.00 | $ 1,021.40 | $ 3.91** |
HypotheticalA | $ 1,000.00 | $ 1,020.93 | $ 3.91** |
Money Market | | | |
Initial Class | | | |
Actual | $ 1,000.00 | $ 1,012.30 | $ 1.45 |
HypotheticalA | $ 1,000.00 | $ 1,023.36 | $ 1.45 |
Service Class | | | |
Actual | $ 1,000.00 | $ 1,011.80 | $ 2.00 |
HypotheticalA | $ 1,000.00 | $ 1,022.81 | $ 2.01 |
Service Class 2 | | | |
Actual | $ 1,000.00 | $ 1,011.00 | $ 2.69 |
HypotheticalA | $ 1,000.00 | $ 1,022.12 | $ 2.71 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
| Annualized
Expense Ratio | |
Asset Manager | | |
Initial Class | .64% | |
Service Class | .74% | |
Service Class 2 | .90% | |
Asset Manager: Growth | | |
Initial Class | .74% | |
Service Class | .84% | |
Service Class 2 | 1.03% | |
| Annualized
Expense Ratio | |
Balanced | | |
Initial Class | .56% | |
Service Class | .67% | |
Service Class 2 | .82% | |
High Income | | |
Initial Class | .70% | |
Service Class | .80% | |
Service Class 2 | .96% | |
Initial Class R | .69% | |
Service Class R | .80% | |
Service Class 2R | .94% | |
Investment Grade Bond | | |
Initial Class | .53%** | |
Service Class | .63%** | |
Service Class 2 | .78%** | |
Money Market | | |
Initial Class | .29% | |
Service Class | .40% | |
Service Class 2 | .54% | |
** If contractual expense reductions, effective June 1, 2005, had been in effect during the period, the annualized expense ratios and the expenses paid in the actual and hypothetical examples above would have been as follows:
| Annualized
Expense Ratio | Expenses
Paid |
Investment Grade Bond | | |
Initial Class | | |
Actual | .45% | $ 2.26 |
HypotheticalA | | $ 2.26 |
Service Class | | |
Actual | .55% | $ 2.76 |
HypotheticalA | | $ 2.76 |
Service Class 2 | | |
Actual | .70% | $ 3.51 |
HypotheticalA | | $ 3.51 |
A 5% return per year before expenses
Semiannual Report
Fidelity Variable Insurance Products: Asset Manager Portfolio
Investment Changes
Top Five Stocks as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Cardinal Health, Inc. | 2.8 | 2.5 |
Home Depot, Inc. | 2.5 | 2.6 |
American International Group, Inc. | 2.5 | 2.6 |
Pfizer, Inc. | 2.1 | 1.9 |
Microsoft Corp. | 2.1 | 2.4 |
| 12.0 | |
Top Five Bond Issuers as of June 30, 2005 |
(with maturities greater than one year) | % of fund's
net assets | % of fund's net assets
6 months ago |
Fannie Mae | 9.2 | 8.4 |
U.S. Treasury Obligations | 6.6 | 5.5 |
Freddie Mac | 1.5 | 1.1 |
Thirteen Affiliates of General Growth Properties, Inc. | 0.5 | 0.5 |
Government National Mortgage Association | 0.4 | 0.5 |
| 18.2 | |
Top Five Market Sectors as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Financials | 13.6 | 15.0 |
Health Care | 9.0 | 8.5 |
Information Technology | 9.0 | 7.7 |
Consumer Discretionary | 8.6 | 6.7 |
Industrials | 5.2 | 4.6 |
Asset Allocation (% of fund's net assets) |
As of June 30, 2005 * | As of December 31, 2004 ** |
 | Stock Class and
Equity Futures 54.5% | | | Stock class and
Equity Futures 55.4% | |
 | Bond Class 33.4% | | | Bond Class 28.5% | |
 | Short-Term Class 12.1% | | | Short-Term Class 16.1% | |
* Foreign investments | 8.2% | | ** Foreign investments | 7.6% | |
Asset allocations in the pie chart reflect the categorization of assets as defined in the fund's prospectus in effect of the time period indicated above. Financial Statement categorizations conform to accounting standards and will differ from the pie chart. Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.
The information in the above tables is based on the combined investments of the fund and its pro-rata share of investments of Fidelity's fixed-income central fund.
Asset Manager Portfolio
Fidelity Variable Insurance Products: Asset Manager Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 49.7% |
| Shares | | Value (Note 1) |
CONSUMER DISCRETIONARY - 6.2% |
Auto Components - 0.1% |
Aisin Seiki Co. Ltd. | 10,900 | | $ 236,369 |
Bridgestone Corp. | 27,000 | | 519,769 |
Michelin SA (Compagnie Generale des Etablissements) Series B | 15,100 | | 920,059 |
NOK Corp. | 10,200 | | 285,109 |
Stanley Electric Co. Ltd. | 30,800 | | 499,887 |
Sumitomo Rubber Industries Ltd. | 32,000 | | 326,622 |
Tong Yang Industry Co. Ltd. | 61,000 | | 86,469 |
| | 2,874,284 |
Automobiles - 0.2% |
Honda Motor Co. Ltd. | 6,800 | | 334,696 |
Hyundai Motor Co. | 11,430 | | 635,307 |
Kia Motors Corp. | 24,170 | | 321,254 |
Renault SA | 14,300 | | 1,261,545 |
Toyota Motor Corp. | 36,800 | | 1,315,416 |
| | 3,868,218 |
Diversified Consumer Services - 0.0% |
ABC Learning Centres Ltd. | 72,400 | | 307,701 |
Raffles Education Corp. Ltd. | 371,000 | | 165,050 |
Riso Kyoiku Co. Ltd. | 1,293 | | 117,869 |
| | 590,620 |
Hotels, Restaurants & Leisure - 0.3% |
Carnival Corp. unit | 30,000 | | 1,636,500 |
China Travel International Investment HK Ltd. | 534,000 | | 161,485 |
H.I.S. Co. Ltd. | 8,600 | | 185,717 |
McDonald's Corp. | 173,200 | | 4,806,300 |
Royal Caribbean Cruises Ltd. | 26,700 | | 1,291,212 |
William Hill PLC | 101,500 | | 981,121 |
| | 9,062,335 |
Household Durables - 0.2% |
Barratt Developments PLC | 29,200 | | 374,856 |
Casio Computer Co. Ltd. | 17,000 | | 222,262 |
Chitaly Holdings Ltd. | 230,000 | | 205,701 |
George Wimpey PLC | 77,800 | | 611,941 |
HTL International Holdings Ltd. | 355,000 | | 290,595 |
Koninklijke Philips Electronics NV (NY Shares) | 45,700 | | 1,151,183 |
LG Electronics, Inc. | 3,380 | | 214,987 |
Matsushita Electric Industrial Co. Ltd. | 9,000 | | 136,620 |
Sony Corp. | 13,400 | | 461,496 |
Sumitomo Forestry Co. Ltd. | 36,000 | | 348,947 |
Techtronic Industries Co. Ltd. | 277,000 | | 700,431 |
Tsann Kuen Enterprise Co. Ltd. | 204,000 | | 280,802 |
Wilson Bowden PLC | 20,500 | | 416,884 |
| | 5,416,705 |
Leisure Equipment & Products - 0.0% |
Aruze Corp. (e) | 7,500 | | 158,582 |
Asia Optical Co., Inc. | 23,000 | | 159,384 |
Li Ning Co. Ltd. | 272,000 | | 129,507 |
|
| Shares | | Value (Note 1) |
Mars Engineering Corp. | 6,200 | | $ 157,928 |
Sankyo Co. Ltd. (Gunma) | 3,400 | | 158,189 |
Sega Sammy Holdings, Inc. | 7,100 | | 435,328 |
| | 1,198,918 |
Media - 2.5% |
Bandai Visual Co. Ltd. | 38 | | 129,174 |
Beijing Media Corp. Ltd. (H Shares) | 32,000 | | 74,945 |
Cablevision Systems Corp. - NY Group Class A (a) | 35,100 | | 1,130,220 |
Clear Channel Communications, Inc. | 1,464,568 | | 45,299,088 |
Cyber Agent Ltd. | 76 | | 339,209 |
ITV PLC | 420,671 | | 927,071 |
Lagardere S.C.A. (Reg.) | 15,200 | | 1,126,650 |
Macquarie Communications Infrastructure Group unit | 58,300 | | 279,746 |
Modern Times Group AB (MTG) (B Shares) (a) | 10,850 | | 332,907 |
News Corp.: | | | |
Class A | 497,100 | | 8,043,078 |
Class B unit | 57 | | 961 |
Omnicom Group, Inc. | 39,400 | | 3,146,484 |
Oricon, Inc. (e) | 52 | | 90,492 |
Seek Ltd. | 87,700 | | 158,976 |
Television Broadcasts Ltd. | 44,000 | | 248,565 |
Tribune Co. | 67,100 | | 2,360,578 |
Univision Communications, Inc. Class A (a) | 6,900 | | 190,095 |
ValueClick Japan, Inc. (a) | 1,692 | | 62,246 |
Yedang Entertainment Co. Ltd. (a) | 23,766 | | 381,359 |
| | 64,321,844 |
Multiline Retail - 0.0% |
Don Quijote Co. Ltd. | 2,400 | | 130,706 |
Specialty Retail - 2.8% |
Esprit Holdings Ltd. | 125,000 | | 904,806 |
Hikari Tsushin, Inc. | 6,000 | | 431,721 |
Home Depot, Inc. | 1,689,500 | | 65,721,550 |
Pertama Holdings Ltd. | 568,000 | | 96,023 |
Ross Stores, Inc. | 28,000 | | 809,480 |
TJX Companies, Inc. | 156,100 | | 3,801,035 |
USS Co. Ltd. | 3,580 | | 228,219 |
| | 71,992,834 |
Textiles, Apparel & Luxury Goods - 0.1% |
Adidas-Salomon AG | 3,100 | | 519,615 |
Billabong International Ltd. | 29,500 | | 306,248 |
Ted Baker PLC | 71,200 | | 638,483 |
| | 1,464,346 |
TOTAL CONSUMER DISCRETIONARY | | 160,920,810 |
CONSUMER STAPLES - 3.8% |
Beverages - 0.3% |
Asahi Breweries Ltd. | 15,800 | | 188,338 |
C&C Group PLC | 112,300 | | 505,547 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
CONSUMER STAPLES - continued |
Beverages - continued |
Fosters Group Ltd. | 15,000 | | $ 60,780 |
PepsiCo, Inc. | 119,300 | | 6,433,849 |
Pernod-Ricard | 8,400 | | 1,341,814 |
Takara Holdings, Inc. | 34,000 | | 211,839 |
Yantai Changyu Pioneer Wine Co. (B Shares) | 122,800 | | 180,463 |
| | 8,922,630 |
Food & Staples Retailing - 2.2% |
CVS Corp. | 1,131,900 | | 32,904,333 |
Safeway, Inc. | 572,100 | | 12,923,739 |
Wal-Mart Stores, Inc. | 238,700 | | 11,505,340 |
Wumart Stores, Inc. (H Shares) | 26,000 | | 41,822 |
| | 57,375,234 |
Food Products - 0.0% |
Binggrea Co. Ltd. | 4,130 | | 179,253 |
Global Bio-Chem Technology Group Co. Ltd. | 474,000 | | 294,306 |
Global Bio-Chem Technology Group Co. Ltd. warrants 5/31/07 (a) | 25,250 | | 422 |
Hokuto Corp. | 1,400 | | 27,708 |
People's Food Holdings Ltd. | 558,000 | | 287,962 |
Petra Foods Ltd. | 318,000 | | 196,174 |
| | 985,825 |
Household Products - 0.1% |
Colgate-Palmolive Co. | 58,800 | | 2,934,708 |
LG Household & Health Care Ltd. | 3,910 | | 154,964 |
| | 3,089,672 |
Personal Products - 0.4% |
Alberto-Culver Co. | 215,950 | | 9,357,114 |
Hengan International Group Co. Ltd. | 58,000 | | 40,304 |
| | 9,397,418 |
Tobacco - 0.8% |
Altria Group, Inc. | 314,900 | | 20,361,434 |
TOTAL CONSUMER STAPLES | | 100,132,213 |
ENERGY - 2.4% |
Energy Equipment & Services - 1.3% |
Diamond Offshore Drilling, Inc. | 152,400 | | 8,142,732 |
ENSCO International, Inc. | 142,600 | | 5,097,950 |
Expro International Group PLC | 34,500 | | 280,325 |
GlobalSantaFe Corp. | 240,300 | | 9,804,240 |
Ocean RIG ASA (a) | 118,000 | | 975,162 |
Petroleum Geo-Services ASA (a) | 26,700 | | 643,565 |
Transocean, Inc. (a) | 166,200 | | 8,969,814 |
WorleyParsons Ltd. | 15,000 | | 90,141 |
| | 34,003,929 |
Oil, Gas & Consumable Fuels - 1.1% |
BG Group PLC | 126,400 | | 1,039,501 |
|
| Shares | | Value (Note 1) |
China Shenhua Energy Co. Ltd. (H Shares) | 116,000 | | $ 111,955 |
CNOOC Ltd. | 559,000 | | 331,599 |
ConocoPhillips | 232,200 | | 13,349,178 |
Cosmo Oil Co. Ltd. | 42,000 | | 177,990 |
ENI Spa | 90,800 | | 2,328,112 |
Exxon Mobil Corp. | 50,700 | | 2,913,729 |
Formosa Petrochemical Corp. | 67,000 | | 137,067 |
GS Holdings Corp. | 4,440 | | 104,723 |
Nippon Mining Holdings, Inc. | 51,500 | | 292,083 |
PetroChina Co. Ltd. (H Shares) | 384,000 | | 282,048 |
Royal Dutch Petroleum Co. (Hague Registry) | 17,100 | | 1,109,790 |
Shell Transport & Trading Co. PLC sponsored ADR | 8,100 | | 470,286 |
Statoil ASA | 76,100 | | 1,554,773 |
Total SA sponsored ADR | 40,100 | | 4,685,685 |
| | 28,888,519 |
TOTAL ENERGY | | 62,892,448 |
FINANCIALS - 11.4% |
Capital Markets - 1.8% |
Credit Suisse Group (Reg.) | 26,442 | | 1,034,940 |
DAB Bank AG | 52,400 | | 404,568 |
E*Trade Securities Co. Ltd. (e) | 23 | | 69,889 |
Goldman Sachs Group, Inc. | 106,800 | | 10,895,736 |
JAFCO Co. Ltd. | 4,100 | | 218,115 |
Lehman Brothers Holdings, Inc. | 44,100 | | 4,378,248 |
Macquarie Bank Ltd. | 11,200 | | 509,696 |
Merrill Lynch & Co., Inc. | 221,100 | | 12,162,711 |
Monex Beans Holdings, Inc. (e) | 165 | | 171,092 |
Morgan Stanley | 257,800 | | 13,526,766 |
Nikko Cordial Corp. | 27,000 | | 118,804 |
Northern Trust Corp. | 29,679 | | 1,353,066 |
Nuveen Investments, Inc. Class A | 68,500 | | 2,576,970 |
UBS AG (NY Shares) | 7,800 | | 607,230 |
| | 48,027,831 |
Commercial Banks - 1.9% |
Banca Intesa Spa | 196,020 | | 897,851 |
Banco Bilbao Vizcaya Argentaria SA | 35,000 | | 537,600 |
Banco Santander Central Hispano SA | 42,000 | | 486,360 |
Bank of America Corp. | 309,910 | | 14,134,995 |
BNP Paribas SA | 16,600 | | 1,139,017 |
Hokuhoku Financial Group, Inc. | 58,000 | | 177,810 |
Jeonbuk Bank | 1 | | 4 |
Kookmin Bank | 4,030 | | 183,288 |
Mitsui Trust Holdings, Inc. | 45,000 | | 462,558 |
Mizuho Financial Group, Inc. | 78 | | 353,059 |
Nishi-Nippon City Bank Ltd. | 29,000 | | 126,559 |
Shinhan Financial Group Co. Ltd. | 10,390 | | 270,170 |
Standard Chartered PLC (United Kingdom) | 105,800 | | 1,933,531 |
Sumitomo Mitsui Financial Group, Inc. | 96 | | 649,204 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
FINANCIALS - continued |
Commercial Banks - continued |
Synovus Financial Corp. | 88,400 | | $ 2,534,428 |
Tokyo Tomin Bank Ltd. | 3,100 | | 74,631 |
Wachovia Corp. | 240,974 | | 11,952,299 |
Wells Fargo & Co. | 200,400 | | 12,340,632 |
Woori Finance Holdings Co. Ltd. | 11,260 | | 112,110 |
| | 48,366,106 |
Consumer Finance - 0.1% |
Credit Saison Co. Ltd. | 6,800 | | 226,248 |
MBNA Corp. | 68,400 | | 1,789,344 |
Nissin Co. Ltd. | 148,400 | | 278,321 |
ORIX Corp. | 4,200 | | 630,161 |
SFCG Co. Ltd. | 1,690 | | 395,433 |
| | 3,319,507 |
Diversified Financial Services - 1.0% |
Citigroup, Inc. | 422,500 | | 19,532,175 |
Deutsche Boerse AG | 6,794 | | 532,277 |
Gemina Spa | 210,600 | | 407,772 |
ING Groep NV (Certificaten Van Aandelen) | 36,000 | | 1,009,800 |
JPMorgan Chase & Co. | 94,228 | | 3,328,133 |
OMX AB (a)(e) | 40,800 | | 465,199 |
| | 25,275,356 |
Insurance - 4.9% |
ACE Ltd. | 143,500 | | 6,435,975 |
AFLAC, Inc. | 30,200 | | 1,307,056 |
Allianz AG (Reg.) | 16,800 | | 1,930,789 |
AMBAC Financial Group, Inc. | 90,500 | | 6,313,280 |
American International Group, Inc. | 1,124,500 | | 65,333,450 |
Amlin PLC | 228,100 | | 739,723 |
AMP Ltd. | 36,300 | | 178,882 |
AXA SA | 22,400 | | 557,984 |
Baloise Holdings AG (Reg.) | 8,259 | | 412,418 |
Chaucer Holdings PLC | 744,000 | | 879,796 |
Hartford Financial Services Group, Inc. | 266,600 | | 19,936,348 |
MBIA, Inc. | 102,500 | | 6,079,275 |
MetLife, Inc. | 183,600 | | 8,250,984 |
MetLife, Inc. unit | 100,184 | | 2,626,824 |
Millea Holdings, Inc. | 18 | | 241,829 |
Ping An Insurance (Group) Co. of China, Ltd. (H Shares) | 125,000 | | 201,068 |
Promina Group Ltd. | 61,037 | | 218,962 |
Prudential Financial, Inc. | 48,500 | | 3,184,510 |
Prudential PLC | 54,700 | | 486,355 |
QBE Insurance Group Ltd. | 30,034 | | 366,693 |
Skandia Foersaekrings AB | 175,800 | | 966,194 |
T&D Holdings, Inc. | 6,400 | | 301,231 |
| | 126,949,626 |
Real Estate - 0.1% |
Beijing Capital Land Ltd. (H Shares) | 312,000 | | 65,845 |
British Land Co. PLC | 66,400 | | 1,042,167 |
|
| Shares | | Value (Note 1) |
CapitaLand Ltd. | 137,000 | | $ 193,410 |
China Overseas Land & Investment Ltd. | 488,000 | | 90,429 |
Shun Tak Holdings Ltd. | 344,000 | | 327,577 |
Wharf Holdings Ltd. | 65,000 | | 228,349 |
| | 1,947,777 |
Thrifts & Mortgage Finance - 1.6% |
Fannie Mae | 499,500 | | 29,170,800 |
MGIC Investment Corp. | 121,300 | | 7,911,186 |
Washington Mutual, Inc. | 119,700 | | 4,870,593 |
| | 41,952,579 |
TOTAL FINANCIALS | | 295,838,782 |
HEALTH CARE - 8.5% |
Biotechnology - 0.0% |
Actelion Ltd. (Reg.) (a) | 5,668 | | 588,625 |
CSL Ltd. | 16,673 | | 428,210 |
| | 1,016,835 |
Health Care Equipment & Supplies - 0.2% |
Axis Shield PLC (a) | 83,100 | | 442,949 |
Baxter International, Inc. | 25,600 | | 949,760 |
Cochlear Ltd. | 3,500 | | 104,498 |
Fujirebio, Inc. (e) | 12,000 | | 226,139 |
Medtronic, Inc. | 38,700 | | 2,004,273 |
Phonak Holding AG (e) | 24,692 | | 926,685 |
Pihsiang Machinery Manufacturing Co. | 36,000 | | 70,125 |
ResMed, Inc. CHESS Depositary Interests (a) | 22,900 | | 149,651 |
Terumo Corp. | 7,700 | | 222,172 |
| | 5,096,252 |
Health Care Providers & Services - 2.8% |
Cardinal Health, Inc. | 1,257,400 | | 72,401,089 |
DCA Group Ltd. (e) | 88,215 | | 254,646 |
Sonic Healthcare Ltd. | 24,400 | | 233,604 |
| | 72,889,339 |
Pharmaceuticals - 5.5% |
Astellas Pharma, Inc. | 13,300 | | 454,506 |
AstraZeneca PLC sponsored ADR | 36,300 | | 1,497,738 |
Chugai Pharmaceutical Co. Ltd. | 13,600 | | 209,938 |
GlaxoSmithKline PLC | 56,600 | | 1,372,833 |
GlaxoSmithKline PLC sponsored ADR | 18,800 | | 911,988 |
Johnson & Johnson | 326,800 | | 21,242,000 |
Novartis AG: | | | |
(Reg.) | 46,591 | | 2,210,277 |
sponsored ADR | 9,300 | | 441,192 |
Novo Nordisk AS Series B | 17,300 | | 880,854 |
Pfizer, Inc. | 1,977,400 | | 54,536,692 |
Sanofi-Aventis sponsored ADR | 16,800 | | 688,632 |
Schering-Plough Corp. | 353,300 | | 6,733,898 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
HEALTH CARE - continued |
Pharmaceuticals - continued |
Tong Ren Tang Technologies Co. Ltd. (H Shares) | 65,000 | | $ 119,193 |
Wyeth | 1,147,300 | | 51,054,850 |
| | 142,354,591 |
TOTAL HEALTH CARE | | 221,357,017 |
INDUSTRIALS - 4.3% |
Aerospace & Defense - 0.7% |
BAE Systems PLC | 177,000 | | 910,166 |
Honeywell International, Inc. | 58,600 | | 2,146,518 |
Lockheed Martin Corp. | 87,400 | | 5,669,638 |
Northrop Grumman Corp. | 59,000 | | 3,259,750 |
United Technologies Corp. | 129,600 | | 6,654,960 |
| | 18,641,032 |
Air Freight & Logistics - 0.0% |
Yamato Transport Co. Ltd. | 30,000 | | 416,573 |
Building Products - 0.0% |
Central Glass Co. Ltd. | 20,000 | | 124,972 |
Daikin Industries Ltd. | 8,000 | | 200,171 |
| | 325,143 |
Commercial Services & Supplies - 0.2% |
Aramark Corp. Class B | 32,400 | | 855,360 |
ChoicePoint, Inc. (a) | 94,633 | | 3,790,052 |
Citiraya Industries Ltd. (a) | 181,000 | | 1 |
Downer EDI Ltd. | 98,124 | | 398,344 |
Fullcast Co. Ltd. | 72 | | 182,426 |
INSUN ENT Co. Ltd. | 5,700 | | 98,903 |
S1 Corp. | 3,210 | | 136,530 |
Taiwan Secom Co. | 77,000 | | 119,116 |
| | 5,580,732 |
Construction & Engineering - 0.1% |
Bilfinger & Berger Bau AG | 11,400 | | 531,549 |
China State Construction International Holdings Ltd. (a) | 27,111 | | 4,396 |
Chiyoda Corp. | 19,000 | | 235,562 |
Commuture Corp. | 23,000 | | 180,839 |
Doosan Heavy Industries & Construction Co. Ltd. | 8,310 | | 136,559 |
Keangnam Enterprises (a) | 3,680 | | 39,841 |
Paul Y-ITC Construction Holdings Ltd. | 1,674,000 | | 479,301 |
United Group Ltd. | 37,382 | | 274,470 |
| | 1,882,517 |
Electrical Equipment - 0.0% |
ABB Ltd. (Reg.) (a) | 30,511 | | 199,971 |
Dongfang Electrical Machinery Co. Ltd. (H Shares) | 150,000 | | 140,909 |
Kumho Electric Co. Ltd. | 4,511 | | 213,232 |
|
| Shares | | Value (Note 1) |
Seoul Semiconductor Co. Ltd. | 6,624 | | $ 199,456 |
Sumitomo Electric Industries Ltd. | 17,000 | | 174,131 |
| | 927,699 |
Industrial Conglomerates - 2.6% |
3M Co. | 35,300 | | 2,552,190 |
General Electric Co. | 1,306,600 | | 45,273,690 |
Hutchison Whampoa Ltd. | 19,000 | | 171,760 |
Keppel Corp. Ltd. | 51,000 | | 378,148 |
LG Corp. | 7,809 | | 198,528 |
Tyco International Ltd. | 615,400 | | 17,969,680 |
| | 66,543,996 |
Machinery - 0.5% |
Bradken Ltd. | 116,866 | | 257,242 |
Hyflux Ltd. | 93,000 | | 233,900 |
Hyundai Mipo Dockyard Co. Ltd. | 3,660 | | 207,323 |
Ingersoll-Rand Co. Ltd. Class A | 113,200 | | 8,076,820 |
Koyo Seiko Co. Ltd. | 15,000 | | 200,848 |
MAN AG | 21,000 | | 872,433 |
Metso Corp. | 45,600 | | 994,395 |
Nittoku Engineering Co. Ltd. | 13,500 | | 115,031 |
SFA Engineering Corp. | 17,800 | | 461,992 |
Taewoong Co. Ltd. | 9,900 | | 89,000 |
TSM Tech Co. Ltd. | 17,700 | | 164,424 |
Weichai Power Co. Ltd. (H Shares) | 44,000 | | 130,228 |
| | 11,803,636 |
Marine - 0.0% |
Alexander & Baldwin, Inc. | 19,063 | | 883,570 |
Road & Rail - 0.1% |
CSX Corp. | 42,700 | | 1,821,582 |
East Japan Railway Co. | 103 | | 529,372 |
Hamakyorex Co. Ltd. | 11,800 | | 433,037 |
| | 2,783,991 |
Trading Companies & Distributors - 0.0% |
Mitsubishi Corp. | 19,100 | | 259,707 |
Mitsui & Co. Ltd. | 31,000 | | 293,494 |
| | 553,201 |
Transportation Infrastructure - 0.1% |
ConnectEast Group | 449,193 | | 260,017 |
Kamigumi Co. Ltd. | 22,000 | | 169,803 |
Macquarie Airports unit | 93,739 | | 255,599 |
Macquarie Infrastructure Group unit | 205,158 | | 650,036 |
| | 1,335,455 |
TOTAL INDUSTRIALS | | 111,677,545 |
INFORMATION TECHNOLOGY - 8.5% |
Communications Equipment - 1.9% |
Cisco Systems, Inc. (a) | 1,418,500 | | 27,107,535 |
Comverse Technology, Inc. (a) | 130,700 | | 3,091,055 |
Enterasys Networks, Inc. (a) | 11,154 | | 10,039 |
Motorola, Inc. | 343,800 | | 6,277,788 |
Nokia Corp. sponsored ADR | 406,500 | | 6,764,160 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INFORMATION TECHNOLOGY - continued |
Communications Equipment - continued |
QUALCOMM, Inc. | 78,200 | | $ 2,581,382 |
TANDBERG ASA | 38,400 | | 411,368 |
TANDBERG Television ASA (a) | 191,400 | | 2,379,941 |
| | 48,623,268 |
Computers & Peripherals - 1.3% |
Acer, Inc. | 110,000 | | 217,048 |
Dell, Inc. (a) | 407,700 | | 16,108,227 |
Fujitsu Ltd. | 58,000 | | 304,369 |
Hanny Holdings Ltd. | 166,000 | | 67,289 |
Hewlett-Packard Co. | 198,800 | | 4,673,788 |
High Tech Computer Corp. | 19,000 | | 160,758 |
International Business Machines Corp. | 153,600 | | 11,397,120 |
| | 32,928,599 |
Electronic Equipment & Instruments - 0.4% |
Flextronics International Ltd. (a) | 226,100 | | 2,986,781 |
Geomatec Co. Ltd. | 3,400 | | 54,876 |
Hon Hai Precision Industries Co. Ltd. | 31,049 | | 161,249 |
Hoya Corp. | 4,900 | | 565,529 |
Jabil Circuit, Inc. (a) | 23,200 | | 712,936 |
Kingboard Chemical Holdings Ltd. | 115,000 | | 367,006 |
Nidec Corp. | 1,700 | | 179,956 |
Nippon Chemi-con Corp. | 49,000 | | 277,905 |
Nippon Electric Glass Co. Ltd. | 60,000 | | 906,722 |
Optimax Technology Corp. | 54,665 | | 126,329 |
Phoenix PDE Co. Ltd. | 39,900 | | 231,031 |
Solectron Corp. (a) | 817,100 | | 3,096,809 |
Yageo Corp. (a) | 478,000 | | 185,616 |
| | 9,852,745 |
Internet Software & Services - 0.0% |
Easynet Group PLC (a) | 146,200 | | 195,150 |
Edubox, Inc. (a) | 137,300 | | 99,541 |
livedoor Co. Ltd. (a) | 48,336 | | 173,025 |
NHN Corp. (a) | 1,751 | | 181,109 |
Softbank Corp. | 10,000 | | 392,228 |
Telewave, Inc. | 33 | | 163,951 |
Tencent Holdings Ltd. | 164,000 | | 124,514 |
| | 1,329,518 |
IT Services - 0.1% |
Affiliated Computer Services, Inc. Class A (a) | 36,800 | | 1,880,480 |
Computershare Ltd. | 76,600 | | 341,886 |
TIS, Inc. | 4,100 | | 140,111 |
| | 2,362,477 |
Office Electronics - 0.0% |
Canon, Inc. | 6,100 | | 321,043 |
Konica Minolta Holdings, Inc. | 24,500 | | 228,863 |
Ricoh Co. Ltd. | 12,000 | | 187,512 |
| | 737,418 |
|
| Shares | | Value (Note 1) |
Semiconductors & Semiconductor Equipment - 1.6% |
Analog Devices, Inc. | 21,500 | | $ 802,165 |
Applied Materials, Inc. | 453,200 | | 7,332,776 |
ASM Pacific Technology Ltd. | 29,500 | | 138,180 |
Chipbond Technology Corp. | 153,760 | | 194,658 |
Core Logic, Inc. | 5,186 | | 177,462 |
Holtek Semiconductor, Inc. | 54,000 | | 63,334 |
Intel Corp. | 827,100 | | 21,554,226 |
King Yuan Electronics Co. Ltd. | 188,000 | | 171,233 |
KLA-Tencor Corp. | 59,000 | | 2,578,300 |
Lam Research Corp. (a) | 78,200 | | 2,263,108 |
Linear Technology Corp. | 21,100 | | 774,159 |
MediaTek, Inc. | 16,000 | | 138,658 |
Novellus Systems, Inc. (a) | 49,300 | | 1,218,203 |
Opto Technology Corp. (a) | 464,000 | | 159,672 |
Solomon Systech Ltd. | 746,000 | | 263,994 |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 160,145 | | 1,460,518 |
United Microelectronics Corp. | 422,000 | | 306,425 |
United Microelectronics Corp. sponsored ADR | 523,231 | | 2,150,479 |
Xilinx, Inc. | 14,400 | | 367,200 |
| | 42,114,750 |
Software - 3.2% |
Autonomy Corp. PLC (a) | 47,800 | | 200,619 |
BEA Systems, Inc. (a) | 380,300 | | 3,339,034 |
Intelligent Wave, Inc. | 102 | | 234,525 |
KOEI Co. Ltd. | 2,100 | | 47,811 |
Microsoft Corp. | 2,161,692 | | 53,696,429 |
NCsoft Corp. (a) | 2,260 | | 168,217 |
Oracle Corp. (a) | 491,550 | | 6,488,460 |
Oracle Corp. Japan | 2,600 | | 98,228 |
SAP AG | 5,500 | | 952,600 |
Springsoft, Inc. | 103,000 | | 214,617 |
Square Enix Co. Ltd. | 3,300 | | 100,573 |
Symantec Corp. (a) | 424,100 | | 9,219,934 |
Trend Micro, Inc. | 4,000 | | 142,464 |
VERITAS Software Corp. (a) | 332,167 | | 8,104,875 |
| | 83,008,386 |
TOTAL INFORMATION TECHNOLOGY | | 220,957,161 |
MATERIALS - 0.6% |
Chemicals - 0.5% |
Akzo Nobel NV sponsored ADR | 9,600 | | 377,184 |
BASF AG | 22,800 | | 1,504,800 |
Bayer AG | 53,000 | | 1,763,840 |
Ise Chemical Corp. | 27,000 | | 129,029 |
JSR Corp. | 11,200 | | 236,310 |
Kaneka Corp. | 17,000 | | 190,839 |
Kemira GrowHow Oyj | 84,200 | | 687,789 |
Linde AG | 16,500 | | 1,114,584 |
Nitto Denko Corp. | 10,100 | | 579,198 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
MATERIALS - continued |
Chemicals - continued |
Praxair, Inc. | 71,500 | | $ 3,331,900 |
Syngenta AG (Switzerland) | 14,334 | | 1,475,172 |
Teijin Ltd. | 77,000 | | 357,558 |
| | 11,748,203 |
Construction Materials - 0.0% |
Sumitomo Osaka Cement Co. Ltd. | 39,000 | | 103,737 |
Metals & Mining - 0.1% |
Alcan, Inc. | 57,300 | | 1,720,122 |
BHP Billiton Ltd. | 80,800 | | 1,102,920 |
Newcrest Mining Ltd. | 30,400 | | 402,419 |
| | 3,225,461 |
Paper & Forest Products - 0.0% |
PaperlinX Ltd. | 67,100 | | 153,831 |
TOTAL MATERIALS | | 15,231,232 |
TELECOMMUNICATION SERVICES - 3.6% |
Diversified Telecommunication Services - 3.3% |
BellSouth Corp. | 400,500 | | 10,641,285 |
BT Group PLC | 263,000 | | 1,094,080 |
Completel Europe NV (a) | 19,556 | | 785,701 |
FASTWEB Spa (a) | 27,000 | | 1,169,404 |
France Telecom SA sponsored ADR | 25,400 | | 740,156 |
Lightron Fiber-Optic Devices, Inc. | 11,600 | | 87,463 |
Qwest Communications International, Inc. (a) | 1,955,200 | | 7,253,792 |
SBC Communications, Inc. | 2,201,400 | | 52,283,250 |
Telefonica SA sponsored ADR | 22,360 | | 1,093,404 |
Verizon Communications, Inc. | 332,500 | | 11,487,875 |
| | 86,636,410 |
Wireless Telecommunication Services - 0.3% |
Far EasTone Telecommunications Co. Ltd. | 187,250 | | 239,420 |
Millicom International Cellular SA unit (a) | 55,600 | | 1,032,835 |
Nextel Communications, Inc. Class A (a) | 116,500 | | 3,764,115 |
Vodafone Group PLC | 676,600 | | 1,645,491 |
Vodafone Group PLC sponsored ADR | 52,200 | | 1,269,504 |
| | 7,951,365 |
TOTAL TELECOMMUNICATION SERVICES | | 94,587,775 |
UTILITIES - 0.4% |
Electric Utilities - 0.4% |
E.ON AG | 21,400 | | 1,900,962 |
Entergy Corp. | 12,500 | | 944,375 |
FirstEnergy Corp. | 26,400 | | 1,270,104 |
PG&E Corp. | 136,100 | | 5,109,194 |
| | 9,224,635 |
|
| Shares | | Value (Note 1) |
Gas Utilities - 0.0% |
Hong Kong & China Gas Co. Ltd. | 109,000 | | $ 221,619 |
TOTAL UTILITIES | | 9,446,254 |
TOTAL COMMON STOCKS (Cost $1,163,484,855) | 1,293,041,237 |
Preferred Stocks - 0.1% |
| | | |
Convertible Preferred Stocks - 0.0% |
TELECOMMUNICATION SERVICES - 0.0% |
Diversified Telecommunication Services - 0.0% |
Cincinnati Bell, Inc. Series B, 6.75% | 7,700 | | 347,270 |
Nonconvertible Preferred Stocks - 0.1% |
CONSUMER DISCRETIONARY - 0.1% |
Automobiles - 0.1% |
Porsche AG (non-vtg.) | 1,910 | | 1,436,850 |
Household Durables - 0.0% |
LG Electronics, Inc. | 2,930 | | 109,185 |
TOTAL CONSUMER DISCRETIONARY | | 1,546,035 |
TOTAL PREFERRED STOCKS (Cost $1,579,493) | 1,893,305 |
Corporate Bonds - 4.2% |
| Principal Amount | | |
Convertible Bonds - 0.0% |
INFORMATION TECHNOLOGY - 0.0% |
Communications Equipment - 0.0% |
CIENA Corp. 3.75% 2/1/08 | $ 660,000 | | 575,058 |
Nonconvertible Bonds - 4.2% |
CONSUMER DISCRETIONARY - 0.5% |
Automobiles - 0.2% |
Ford Motor Co.: | | | | |
6.625% 10/1/28 | 300,000 | | 235,335 |
7.45% 7/16/31 | 2,010,000 | | 1,677,980 |
General Motors Corp. 8.375% 7/15/33 | 3,290,000 | | 2,747,150 |
| 4,660,465 |
Media - 0.3% |
AOL Time Warner, Inc.: | | | | |
7.625% 4/15/31 | 500,000 | | 624,445 |
7.7% 5/1/32 | 1,500,000 | | 1,897,535 |
Cox Communications, Inc. 7.125% 10/1/12 | 820,000 | | 919,566 |
Liberty Media Corp. 8.25% 2/1/30 | 1,805,000 | | 1,795,607 |
Corporate Bonds - continued |
| Principal Amount | | Value
(Note 1) |
Nonconvertible Bonds - continued |
CONSUMER DISCRETIONARY - continued |
Media - continued |
News America Holdings, Inc. 7.75% 12/1/45 | | $ 595,000 | | $ 728,983 |
News America, Inc. 6.2% 12/15/34 | | 1,155,000 | | 1,212,164 |
Time Warner Entertainment Co. LP 8.375% 7/15/33 | | 1,000,000 | | 1,327,201 |
| | 8,505,501 |
TOTAL CONSUMER DISCRETIONARY | | 13,165,966 |
CONSUMER STAPLES - 0.1% |
Beverages - 0.1% |
FBG Finance Ltd. 5.125% 6/15/15 (f) | | 795,000 | | 798,109 |
Tobacco - 0.0% |
Altria Group, Inc. 7% 11/4/13 | | 380,000 | | 425,258 |
TOTAL CONSUMER STAPLES | | 1,223,367 |
ENERGY - 0.7% |
Energy Equipment & Services - 0.1% |
Petronas Capital Ltd. 7% 5/22/12 (f) | | 1,365,000 | | 1,560,165 |
Oil, Gas & Consumable Fuels - 0.6% |
Amerada Hess Corp.: | | | | |
6.65% 8/15/11 | | 285,000 | | 313,620 |
7.125% 3/15/33 | | 460,000 | | 545,612 |
Empresa Nacional de Petroleo 6.75% 11/15/12 (f) | | 940,000 | | 1,043,581 |
EnCana Holdings Finance Corp. 5.8% 5/1/14 | | 525,000 | | 563,364 |
Enterprise Products Operating LP 5.75% 3/1/35 (f) | | 700,000 | | 683,401 |
Kinder Morgan Energy Partners LP: | | | | |
5.125% 11/15/14 | | 400,000 | | 404,570 |
5.8% 3/15/35 | | 600,000 | | 604,190 |
Nexen, Inc. 5.875% 3/10/35 | | 1,140,000 | | 1,158,595 |
Pemex Project Funding Master Trust: | | | | |
6.125% 8/15/08 | | 2,770,000 | | 2,875,260 |
6.625% 6/15/35 (f) | | 1,470,000 | | 1,444,275 |
7.875% 2/1/09 (k) | | 3,000,000 | | 3,277,500 |
Ras Laffan Liquid Natural Gas Co. Ltd. yankee 8.294% 3/15/14 (f) | | 1,680,000 | | 1,999,872 |
Williams Companies, Inc.: | | | | |
7.125% 9/1/11 | | 160,000 | | 172,800 |
7.5% 1/15/31 | | 635,000 | | 687,388 |
| | 15,774,028 |
TOTAL ENERGY | | 17,334,193 |
|
| Principal Amount | | Value
(Note 1) |
FINANCIALS - 1.5% |
Capital Markets - 0.4% |
Goldman Sachs Group, Inc. 6.6% 1/15/12 | | $ 4,075,000 | | $ 4,529,012 |
Lazard LLC 7.125% 5/15/15 (f) | | 1,165,000 | | 1,175,179 |
Merrill Lynch & Co., Inc. 4.25% 2/8/10 | | 1,710,000 | | 1,705,756 |
Morgan Stanley 6.6% 4/1/12 | | 1,750,000 | | 1,945,655 |
| | 9,355,602 |
Commercial Banks - 0.2% |
Bank of America Corp.: | | | | |
6.25% 4/15/12 | | 620,000 | | 685,306 |
7.4% 1/15/11 | | 1,165,000 | | 1,333,318 |
Korea Development Bank 3.875% 3/2/09 | | 2,000,000 | | 1,966,662 |
Wachovia Bank NA 4.875% 2/1/15 | | 580,000 | | 590,817 |
Wachovia Corp. 4.875% 2/15/14 | | 735,000 | | 747,109 |
| | 5,323,212 |
Consumer Finance - 0.2% |
Capital One Financial Corp. 4.8% 2/21/12 | | 400,000 | | 397,955 |
Ford Motor Credit Co. 7.375% 2/1/11 | | 1,250,000 | | 1,217,630 |
Household Finance Corp. 4.125% 11/16/09 | | 1,300,000 | | 1,285,948 |
Household International, Inc. 8.875% 2/15/08 | | 1,225,000 | | 1,259,739 |
MBNA Corp. 7.5% 3/15/12 | | 535,000 | | 623,598 |
| | 4,784,870 |
Diversified Financial Services - 0.2% |
JPMorgan Chase & Co. 6.75% 2/1/11 | | 4,605,000 | | 5,092,670 |
Prime Property Funding II, Inc. 5.125% 6/1/15 (f) | | 935,000 | | 934,609 |
| | 6,027,279 |
Insurance - 0.0% |
Principal Life Global Funding I 6.25% 2/15/12 (f) | | 850,000 | | 937,671 |
Real Estate - 0.4% |
Archstone Smith Operating Trust 5.25% 5/1/15 | | 600,000 | | 612,422 |
Developers Diversified Realty Corp.: | | | | |
5% 5/3/10 | | 675,000 | | 680,144 |
5.25% 4/15/11 | | 395,000 | | 401,250 |
EOP Operating LP 4.65% 10/1/10 | | 3,340,000 | | 3,332,054 |
Regency Centers LP 6.75% 1/15/12 | | 1,990,000 | | 2,186,192 |
Simon Property Group LP: | | | | |
5.1% 6/15/15 (f) | | 915,000 | | 912,411 |
5.625% 8/15/14 | | 1,325,000 | | 1,381,840 |
| | 9,506,313 |
Corporate Bonds - continued |
| Principal Amount | | Value
(Note 1) |
Nonconvertible Bonds - continued |
FINANCIALS - continued |
Thrifts & Mortgage Finance - 0.1% |
Countrywide Home Loans, Inc. 4% 3/22/11 | | $ 935,000 | | $ 901,736 |
Independence Community Bank Corp. 3.75% 4/1/14 (k) | | 630,000 | | 607,334 |
Residential Capital Corp. 6.375% 6/30/10 (f) | | 1,210,000 | | 1,215,917 |
Washington Mutual, Inc. 4.375% 1/15/08 | | 770,000 | | 772,162 |
| | 3,497,149 |
TOTAL FINANCIALS | | 39,432,096 |
INDUSTRIALS - 0.2% |
Aerospace & Defense - 0.0% |
Bombardier, Inc.: | | | | |
6.3% 5/1/14 (f) | | 1,030,000 | | 932,150 |
7.45% 5/1/34 (f) | | 420,000 | | 357,000 |
| | 1,289,150 |
Airlines - 0.1% |
American Airlines, Inc. pass thru trust certificates: | | | | |
6.855% 10/15/10 | | 117,877 | | 120,675 |
6.978% 10/1/12 | | 278,484 | | 287,701 |
7.024% 4/15/11 | | 610,000 | | 630,355 |
Continental Airlines, Inc. pass thru trust certificates 7.373% 6/15/17 | | 928,610 | | 780,032 |
Delta Air Lines, Inc. pass thru trust certificates 7.57% 11/18/10 | | 840,000 | | 790,244 |
| | 2,609,007 |
Industrial Conglomerates - 0.1% |
Hutchison Whampoa International 03/13 Ltd. 6.5% 2/13/13 (f) | | 390,000 | | 423,416 |
Hutchison Whampoa International 03/33 Ltd. 7.45% 11/24/33 (f) | | 800,000 | | 941,269 |
| | 1,364,685 |
TOTAL INDUSTRIALS | | 5,262,842 |
TELECOMMUNICATION SERVICES - 0.6% |
Diversified Telecommunication Services - 0.6% |
AT&T Broadband Corp. 8.375% 3/15/13 | | 500,000 | | 609,676 |
|
| Principal Amount | | Value
(Note 1) |
BellSouth Capital Funding Corp. 7.875% 2/15/30 | | $ 765,000 | | $ 987,397 |
BellSouth Corp. 5.2% 9/15/14 | | 430,000 | | 443,147 |
British Telecommunications PLC 8.875% 12/15/30 | | 1,500,000 | | 2,117,481 |
Deutsche Telekom International Finance BV 8.75% 6/15/30 | | 1,500,000 | | 2,030,969 |
France Telecom SA 8% 3/1/11 (d) | | 300,000 | | 348,142 |
SBC Communications, Inc.: | | | | |
6.15% 9/15/34 | | 1,000,000 | | 1,083,237 |
6.45% 6/15/34 | | 555,000 | | 623,997 |
Sprint Capital Corp. 6.875% 11/15/28 | | 1,245,000 | | 1,429,113 |
Telecom Italia Capital: | | | | |
4.95% 9/30/14 (f) | | 705,000 | | 698,052 |
5.25% 11/15/13 | | 1,700,000 | | 1,725,849 |
Verizon Global Funding Corp.: | | | | |
7.25% 12/1/10 | | 730,000 | | 827,462 |
7.75% 12/1/30 | | 720,000 | | 929,699 |
Verizon New York, Inc. 6.875% 4/1/12 | | 300,000 | | 331,552 |
| | 14,185,773 |
Wireless Telecommunication Services - 0.0% |
America Movil SA de CV 4.125% 3/1/09 | | 650,000 | | 636,489 |
AT&T Wireless Services, Inc. 7.875% 3/1/11 | | 400,000 | | 464,866 |
| | 1,101,355 |
TOTAL TELECOMMUNICATION SERVICES | | 15,287,128 |
UTILITIES - 0.6% |
Electric Utilities - 0.4% |
Cleveland Electric Illuminating Co. 5.65% 12/15/13 | | 1,205,000 | | 1,267,339 |
Duke Capital LLC: | | | | |
4.37% 3/1/09 | | 3,175,000 | | 3,163,954 |
6.75% 2/15/32 | | 100,000 | | 112,114 |
Exelon Corp.: | | | | |
4.9% 6/15/15 | | 915,000 | | 918,261 |
5.625% 6/15/35 | | 155,000 | | 156,251 |
6.75% 5/1/11 | | 835,000 | | 927,297 |
FirstEnergy Corp. 6.45% 11/15/11 | | 760,000 | | 830,396 |
Progress Energy, Inc. 7.1% 3/1/11 | | 2,000,000 | | 2,227,932 |
TXU Energy Co. LLC 7% 3/15/13 | | 1,545,000 | | 1,723,033 |
| | 11,326,577 |
Independent Power Producers & Energy Traders - 0.1% |
Constellation Energy Group, Inc. 7% 4/1/12 | | 1,055,000 | | 1,190,114 |
Multi-Utilities - 0.1% |
Dominion Resources, Inc.: | | | | |
4.75% 12/15/10 | | 1,000,000 | | 1,006,069 |
5.95% 6/15/35 | | 730,000 | | 756,143 |
Corporate Bonds - continued |
| Principal Amount | | Value
(Note 1) |
Nonconvertible Bonds - continued |
UTILITIES - continued |
Multi-Utilities - continued |
Dominion Resources, Inc.: - continued | | | | |
6.25% 6/30/12 | | $ 540,000 | | $ 586,189 |
MidAmerican Energy Holdings, Inc. 5.875% 10/1/12 | | 1,235,000 | | 1,311,838 |
| | 3,660,239 |
TOTAL UTILITIES | | 16,176,930 |
TOTAL NONCONVERTIBLE BONDS | | 107,882,522 |
TOTAL CORPORATE BONDS (Cost $104,265,060) | 108,457,580 |
U.S. Government and Government Agency
Obligations - 9.0% |
|
U.S. Government Agency Obligations - 2.2% |
Fannie Mae: | | | | |
2.5% 6/15/06 | | 4,570,000 | | 4,515,983 |
3.25% 1/15/08 | | 2,661,000 | | 2,624,379 |
3.25% 8/15/08 | | 600,000 | | 588,836 |
3.25% 2/15/09 | | 1,800,000 | | 1,758,686 |
3.375% 12/15/08 | | 205,000 | | 201,435 |
4.625% 5/1/13 | | 7,000,000 | | 7,083,678 |
5.5% 3/15/11 | | 3,605,000 | | 3,866,900 |
6.25% 2/1/11 | | 3,505,000 | | 3,840,660 |
Freddie Mac: | | | | |
4% 6/12/13 | | 11,318,000 | | 11,004,491 |
5% 7/15/14 | | 9,400,000 | | 9,915,411 |
5.875% 3/21/11 | | 7,760,000 | | 8,367,003 |
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.63% 8/1/14 | | 2,825,000 | | 2,833,998 |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | | 56,601,460 |
U.S. Treasury Inflation Protected Obligations - 1.4% |
U.S. Treasury Inflation-Indexed Bonds 2.375% 1/15/25 | | 6,192,900 | | 6,779,045 |
U.S. Treasury Inflation-Indexed Notes: | | | | |
0.875% 4/15/10 | | 6,161,880 | | 6,009,755 |
2% 1/15/14 | | 23,691,150 | | 24,402,809 |
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | | 37,191,609 |
|
| Principal Amount | | Value
(Note 1) |
U.S. Treasury Obligations - 5.4% |
U.S. Treasury Bills, yield at date of purchase 2.84% to 2.97% 7/14/05 to 9/8/05 (h) | | $ 6,600,000 | | $ 6,571,512 |
U.S. Treasury Bonds: | | | | |
5.375% 2/15/31 | | 1,300,000 | | 1,534,000 |
6.25% 5/15/30 | | 8,890,000 | | 11,579,572 |
U.S. Treasury Notes: | | | | |
3.375% 10/15/09 | | 5,300,000 | | 5,225,471 |
3.625% 4/30/07 | | 36,716,000 | | 36,695,916 |
4.75% 5/15/14 | | 29,500,000 | | 31,302,273 |
6.5% 2/15/10 | | 43,705,000 | | 48,773,775 |
TOTAL U.S. TREASURY OBLIGATIONS | | 141,682,519 |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $231,193,050) | 235,475,588 |
U.S. Government Agency - Mortgage
Securities - 8.9% |
|
Fannie Mae - 8.1% |
3.463% 4/1/34 (k) | | 279,315 | | 280,002 |
3.737% 1/1/35 (k) | | 176,300 | | 175,668 |
3.753% 10/1/33 (k) | | 118,718 | | 117,815 |
3.786% 12/1/34 (k) | | 139,459 | | 138,779 |
3.797% 6/1/34 (k) | | 503,103 | | 495,915 |
3.827% 12/1/34 (k) | | 22,095 | | 22,043 |
3.83% 1/1/35 (k) | | 111,179 | | 110,972 |
3.836% 6/1/33 (k) | | 93,589 | | 92,819 |
3.84% 1/1/35 (k) | | 325,666 | | 326,596 |
3.87% 1/1/35 (k) | | 187,043 | | 186,841 |
3.913% 12/1/34 (k) | | 118,068 | | 117,828 |
3.941% 10/1/34 (k) | | 150,362 | | 150,200 |
3.98% 1/1/35 (k) | | 156,495 | | 156,015 |
3.984% 5/1/33 (k) | | 32,046 | | 32,087 |
3.987% 12/1/34 (k) | | 135,003 | | 134,492 |
4% 6/1/19 | | 7,364,024 | | 7,216,731 |
4% 1/1/35 (k) | | 90,124 | | 89,800 |
4.017% 12/1/34 (k) | | 796,973 | | 800,710 |
4.021% 12/1/34 (k) | | 110,222 | | 109,831 |
4.023% 2/1/35 (k) | | 95,743 | | 95,516 |
4.029% 1/1/35 (k) | | 47,983 | | 48,070 |
4.037% 12/1/34 (k) | | 67,898 | | 68,185 |
4.048% 1/1/35 (k) | | 91,992 | | 91,733 |
4.052% 2/1/35 (k) | | 92,539 | | 92,400 |
4.055% 10/1/18 (k) | | 129,776 | | 129,362 |
4.057% 5/1/34 (k) | | 55,900 | | 55,828 |
4.072% 12/1/34 (k) | | 214,401 | | 215,473 |
4.079% 4/1/33 (k) | | 39,413 | | 39,608 |
4.105% 1/1/35 (k) | | 234,647 | | 236,099 |
4.115% 2/1/35 (k) | | 70,872 | | 70,994 |
U.S. Government Agency - Mortgage Securities -
continued |
| Principal Amount | | Value
(Note 1) |
Fannie Mae - continued |
4.118% 1/1/35 (k) | | $ 218,112 | | $ 218,395 |
4.118% 2/1/35 (k) | | 69,739 | | 69,962 |
4.12% 2/1/35 (k) | | 191,163 | | 191,643 |
4.127% 1/1/35 (k) | | 230,741 | | 232,613 |
4.128% 2/1/35 (k) | | 401,440 | | 402,264 |
4.144% 1/1/35 (k) | | 311,557 | | 313,917 |
4.145% 2/1/35 (k) | | 257,443 | | 258,913 |
4.151% 1/1/35 (k) | | 381,771 | | 382,917 |
4.162% 2/1/35 (k) | | 187,199 | | 187,915 |
4.17% 11/1/34 (k) | | 194,798 | | 195,020 |
4.197% 1/1/35 (k) | | 186,299 | | 187,276 |
4.2% 1/1/35 (k) | | 411,287 | | 415,205 |
4.202% 1/1/35 (k) | | 233,428 | | 232,872 |
4.23% 11/1/34 (k) | | 55,372 | | 55,686 |
4.232% 3/1/34 (k) | | 114,250 | | 114,526 |
4.25% 2/1/35 (k) | | 122,309 | | 121,777 |
4.269% 10/1/34 (k) | | 311,772 | | 315,277 |
4.293% 3/1/35 (k) | | 117,562 | | 118,285 |
4.302% 1/1/35 (k) | | 168,837 | | 168,736 |
4.305% 8/1/33 (k) | | 256,748 | | 259,265 |
4.305% 7/1/34 (k) | | 98,846 | | 99,841 |
4.318% 3/1/33 (k) | | 63,252 | | 63,142 |
4.319% 5/1/35 (k) | | 177,737 | | 178,725 |
4.324% 12/1/34 (k) | | 69,852 | | 70,350 |
4.349% 2/1/35 (k) | | 70,457 | | 70,724 |
4.351% 1/1/35 (k) | | 119,382 | | 119,358 |
4.357% 1/1/35 (k) | | 120,847 | | 121,641 |
4.368% 2/1/34 (k) | | 289,690 | | 290,320 |
4.4% 2/1/35 (k) | | 172,568 | | 172,716 |
4.409% 5/1/35 (k) | | 350,000 | | 350,164 |
4.455% 3/1/35 (k) | | 149,935 | | 150,082 |
4.479% 4/1/34 (k) | | 201,864 | | 202,988 |
4.484% 10/1/34 (k) | | 651,691 | | 657,731 |
4.493% 8/1/34 (k) | | 397,076 | | 400,054 |
4.499% 3/1/35 (k) | | 342,638 | | 343,610 |
4.5% 4/1/19 to 10/1/33 | | 30,539,693 | | 30,132,632 |
4.5% 7/1/20 (g) | | 11,399,398 | | 11,338,839 |
4.5% 5/1/35 (k) | | 98,869 | | 99,838 |
4.508% 1/1/35 (k) | | 203,876 | | 206,370 |
4.53% 3/1/35 (k) | | 319,093 | | 320,489 |
4.549% 8/1/34 (k) | | 255,812 | | 259,293 |
4.568% 2/1/35 (k) | | 832,880 | | 842,656 |
4.57% 2/1/35 (k) | | 131,283 | | 132,401 |
4.587% 2/1/35 (k) | | 1,053,387 | | 1,063,614 |
4.625% 2/1/35 (k) | | 358,583 | | 360,474 |
4.639% 2/1/35 (k) | | 93,225 | | 94,645 |
4.67% 11/1/34 (k) | | 416,711 | | 420,390 |
4.694% 11/1/34 (k) | | 423,277 | | 426,752 |
4.725% 3/1/35 (k) | | 1,057,460 | | 1,073,339 |
4.742% 3/1/35 (k) | | 194,094 | | 195,891 |
|
| Principal Amount | | Value
(Note 1) |
4.748% 7/1/34 (k) | | $ 373,641 | | $ 374,744 |
4.815% 12/1/32 (k) | | 194,587 | | 196,989 |
5% 2/1/18 to 6/1/34 | | 15,162,188 | | 15,332,205 |
5% 8/1/35 (g) | | 12,462,807 | | 12,431,650 |
5.5% 12/1/18 to 10/1/34 | | 65,350,590 | | 66,361,738 |
6% 6/1/13 to 1/1/34 | | 21,858,472 | | 22,515,706 |
6.5% 6/1/11 to 9/1/32 | | 18,403,316 | | 19,118,231 |
7% 3/1/15 to 2/1/32 | | 5,288,486 | | 5,593,683 |
7.5% 7/1/16 to 11/1/31 | | 2,289,269 | | 2,449,294 |
8% 1/1/30 to 6/1/30 | | 182,294 | | 196,058 |
TOTAL FANNIE MAE | | 211,170,243 |
Freddie Mac - 0.4% |
4.106% 12/1/34 (k) | | 138,624 | | 138,555 |
4.13% 12/1/34 (k) | | 204,337 | | 204,202 |
4.232% 1/1/35 (k) | | 599,987 | | 600,226 |
4.307% 3/1/35 (k) | | 160,392 | | 160,084 |
4.307% 5/1/35 (k) | | 292,827 | | 293,700 |
4.314% 12/1/34 (k) | | 193,300 | | 192,920 |
4.37% 3/1/35 (k) | | 246,165 | | 245,770 |
4.401% 2/1/35 (k) | | 344,435 | | 343,896 |
4.434% 2/1/35 (k) | | 374,307 | | 375,652 |
4.441% 2/1/34 (k) | | 189,031 | | 189,822 |
4.444% 3/1/35 (k) | | 148,787 | | 148,479 |
4.491% 3/1/35 (k) | | 442,567 | | 443,379 |
4.497% 6/1/35 (k) | | 200,000 | | 201,646 |
4.498% 3/1/35 (k) | | 1,145,000 | | 1,148,578 |
4.504% 3/1/35 (k) | | 174,904 | | 174,815 |
4.564% 2/1/35 (k) | | 268,089 | | 268,864 |
5.034% 4/1/35 (k) | | 1,008,366 | | 1,023,824 |
5.098% 8/1/33 (k) | | 83,196 | | 84,800 |
6% 5/1/33 | | 1,593,156 | | 1,637,758 |
7.5% 5/1/17 to 11/1/31 | | 637,835 | | 683,685 |
8% 7/1/17 to 5/1/27 | | 62,491 | | 67,460 |
TOTAL FREDDIE MAC | | 8,628,115 |
Government National Mortgage Association - 0.4% |
6% 12/15/08 to 6/15/09 | | 395,036 | | 406,274 |
6.5% 6/15/08 to 8/15/27 | | 4,715,269 | | 4,917,368 |
7% 7/15/28 to 7/15/32 | | 2,595,270 | | 2,750,174 |
7.5% 9/15/22 to 12/15/27 | | 1,631,237 | | 1,753,535 |
8% 5/15/25 to 1/15/31 | | 440,923 | | 476,565 |
8.5% 12/15/16 to 12/15/30 | | 177,013 | | 192,800 |
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | | 10,496,716 |
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $226,840,085) | 230,295,074 |
Asset-Backed Securities - 0.9% |
| Principal Amount | | Value
(Note 1) |
ACE Securities Corp.: | | | | |
Series 2004-HE1: | | | | |
Class M1, 3.8144% 2/25/34 (k) | | $ 250,000 | | $ 250,101 |
Class M2, 4.4144% 2/25/34 (k) | | 300,000 | | 300,158 |
Series 2005-SD1 Class A1, 3.7144% 11/25/50 (k) | | 310,769 | | 310,858 |
Aesop Funding II LLC Series 2005-1A Class A1, 3.95% 4/20/08 (f) | | 1,000,000 | | 996,006 |
Ameriquest Mortgage Securities, Inc. Series 2004-R2: | | | | |
Class M1, 3.7444% 4/25/34 (k) | | 145,000 | | 144,997 |
Class M2, 3.7944% 4/25/34 (k) | | 125,000 | | 124,997 |
Amortizing Residential Collateral Trust Series 2003-BC1 Class M2, 4.4144% 1/25/32 (k) | | 98,646 | | 99,111 |
ARG Funding Corp. Series 2005-1A Class A1, 4.02% 4/20/09 (f) | | 1,300,000 | | 1,295,030 |
Argent Securities, Inc. Series 2004-W5 Class M1, 3.9144% 4/25/34 (k) | | 475,000 | | 475,583 |
Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE3: | | | | |
Class M1, 3.8544% 6/25/34 (k) | | 175,000 | | 175,056 |
Class M2, 4.4344% 6/25/34 (k) | | 400,000 | | 400,111 |
Capital One Multi-Asset Execution Trust: | | | | |
Series 2003-B4 Class B4, 4.02% 7/15/11 (k) | | 780,000 | | 793,131 |
Series 2004-6 Class B, 4.15% 7/16/12 | | 1,295,000 | | 1,290,989 |
CDC Mortgage Capital Trust Series 2004-HE2 Class M2, 4.5144% 7/26/34 (k) | | 265,000 | | 267,446 |
Citibank Credit Card Issuance Trust Series 2002-C1 Class C1, 4.2185% 2/9/09 (k) | | 1,750,000 | | 1,769,559 |
Countrywide Home Loans, Inc.: | | | | |
Series 2004-2 Class M1, 3.8144% 5/25/34 (k) | | 625,000 | | 625,847 |
Series 2004-3 Class M1, 3.8144% 6/25/34 (k) | | 175,000 | | 175,166 |
Series 2004-4: | | | | |
Class A, 3.6844% 8/25/34 (k) | | 330,660 | | 330,963 |
Class M1, 3.7944% 7/25/34 (k) | | 450,000 | | 450,823 |
Class M2, 3.8444% 6/25/34 (k) | | 525,000 | | 525,897 |
Series 2005-1: | | | | |
Class MV1, 3.7144% 7/25/35 (k) | | 350,000 | | 349,728 |
Class MV2, 3.7544% 7/25/35 (k) | | 420,000 | | 418,923 |
|
| Principal Amount | | Value
(Note 1) |
Class MV3, 3.7944% 7/25/35 (k) | | $ 175,000 | | $ 174,871 |
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1: | | | | |
Class B, 4.878% 6/15/35 (f) | | 569,000 | | 571,823 |
Class C, 5.074% 6/15/35 (f) | | 516,000 | | 518,459 |
Discover Card Master Trust I Series 2003-4 Class B1, 3.55% 5/16/11 (k) | | 1,015,000 | | 1,020,638 |
First Franklin Mortgage Loan Trust Series 2004-FF2: | | | | |
Class M3, 3.8644% 3/25/34 (k) | | 50,000 | | 50,120 |
Class M4, 4.2144% 3/25/34 (k) | | 25,000 | | 25,235 |
Fremont Home Loan Trust: | | | | |
Series 2004-A: | | | | |
Class M1, 3.8644% 1/25/34 (k) | | 550,000 | | 550,750 |
Class M2, 4.4644% 1/25/34 (k) | | 625,000 | | 632,569 |
Series 2005-A: | | | | |
Class M1, 3.7444% 1/25/35 (k) | | 200,000 | | 199,684 |
Class M2, 3.7744% 1/25/35 (k) | | 275,000 | | 274,688 |
Class M3, 3.8044% 1/25/35 (k) | | 150,000 | | 150,051 |
Class M4, 3.9944% 1/25/35 (k) | | 100,000 | | 100,320 |
GSAMP Trust Series 2004-FM2: | | | | |
Class M1, 3.8144% 1/25/34 (k) | | 500,000 | | 499,989 |
Class M2, 4.4144% 1/25/34 (k) | | 200,000 | | 199,996 |
Class M3, 4.6144% 1/25/34 (k) | | 200,000 | | 199,996 |
Long Beach Mortgage Loan Trust Series 2004-2: | | | | |
Class M1, 3.8444% 6/25/34 (k) | | 500,000 | | 501,238 |
Class M2, 4.3944% 6/25/34 (k) | | 325,000 | | 328,991 |
Meritage Mortgage Loan Trust Series 2004-1: | | | | |
Class M1, 3.8144% 7/25/34 (k) | | 250,000 | | 249,995 |
Class M2, 3.8644% 7/25/34 (k) | | 50,000 | | 49,999 |
Class M3, 4.2644% 7/25/34 (k) | | 100,000 | | 99,998 |
Class M4, 4.4144% 7/25/34 (k) | | 75,000 | | 74,998 |
Morgan Stanley ABS Capital I, Inc.: | | | | |
Series 2003-NC5 Class M2, 5.3144% 4/25/33 (k) | | 325,000 | | 329,159 |
Series 2004-NC2 Class M1, 3.8644% 12/25/33 (k) | | 290,000 | | 290,693 |
Morgan Stanley Dean Witter Capital I Trust Series 2003-NC1 Class M1, 4.3644% 11/25/32 (k) | | 305,000 | | 307,235 |
National Collegiate Student Loan Trust Series 2005-GT1 Class AIO, 6.75% 12/25/09 (l) | | 450,000 | | 121,324 |
Asset-Backed Securities - continued |
| Principal Amount | | Value
(Note 1) |
Onyx Acceptance Owner Trust Series 2005-A Class A3, 3.69% 5/15/09 | | $ 450,000 | | $ 447,678 |
Park Place Securities, Inc. Series 2005-WCH1 Class M2, 3.8344% 1/25/35 (k) | | 475,000 | | 474,204 |
Saxon Asset Securities Trust Series 2004-1 Class M1, 3.8444% 3/25/35 (k) | | 495,000 | | 495,117 |
Specialty Underwriting & Residential Finance Series 2003-BC4 Class M1, 3.9144% 11/25/34 (k) | | 200,000 | | 201,064 |
Structured Asset Securities Corp. Series 2004-GEL1 Class A, 3.6744% 2/25/34 (k) | | 130,233 | | 130,231 |
Volkswagen Auto Lease Trust Series 2005-A Class A4, 3.94% 10/20/10 | | 1,835,000 | | 1,829,073 |
TOTAL ASSET-BACKED SECURITIES (Cost $22,648,696) | 22,670,666 |
Collateralized Mortgage Obligations - 1.0% |
|
Private Sponsor - 0.7% |
Adjustable Rate Mortgage Trust floater: | | | | |
Series 2005-1 Class 5A2, 3.6444% 5/25/35 (k) | | 726,708 | | 727,474 |
Series 2005-2 Class 6A2, 3.5944% 6/25/35 (k) | | 351,828 | | 351,979 |
Series 2005-3 Class 8A2, 3.5544% 7/25/35 (k) | | 1,825,947 | | 1,825,162 |
Bear Stearns Alt-A Trust floater Series 2005-1 Class A1, 3.5944% 1/25/35 (k) | | 1,170,757 | | 1,170,757 |
CS First Boston Mortgage Securities Corp. floater: | | | | |
Series 2004-AR3 Class 6A2, 3.6844% 4/25/34 (k) | | 280,828 | | 281,121 |
Series 2004-AR5 Class 11A2, 3.6844% 6/25/34 (k) | | 393,932 | | 393,129 |
Impac CMB Trust floater: | | | | |
Series 2005-1: | | | | |
Class M1, 3.7744% 4/25/35 (k) | | 373,590 | | 373,196 |
Class M2, 3.8144% 4/25/35 (k) | | 672,461 | | 671,962 |
Series 2005-2 Class 1A2, 3.6244% 4/25/35 (k) | | 1,247,541 | | 1,246,566 |
Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | | 193,690 | | 196,595 |
Merrill Lynch Mortgage Investors, Inc. floater: | | | | |
Series 2005-A Class A2, 3.38% 2/25/30 (k) | | 1,274,179 | | 1,273,203 |
Series 2005-B Class A2, 3.75% 6/25/30 (k) | | 1,253,693 | | 1,253,693 |
|
| Principal Amount | | Value
(Note 1) |
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 3.53% 6/25/35 (k) | | $ 705,000 | | $ 705,000 |
Residential Asset Mortgage Products, Inc. sequential pay Series 2004-SL2 Class A1, 6.5% 10/25/16 | | 198,215 | | 202,179 |
Sequoia Mortgage Trust floater: | | | | |
Series 2005-1 Class A2, 3.1688% 2/20/35 (k) | | 899,472 | | 899,360 |
Series 2005-2 Class A2, 3.36% 3/20/35 (k) | | 1,151,010 | | 1,151,010 |
Wells Fargo Mortgage Backed Securities Trust: | | | | |
Series 2005-AR10 Class 2A2, 4.111% 6/25/65 (k) | | 1,610,467 | | 1,599,143 |
Series 2005-AR12 Class 2A6, 4.322% 7/25/35 (k) | | 1,735,000 | | 1,727,784 |
Series 2005-AR4 Class 2A2, 4.5419% 4/25/35 (k) | | 1,317,519 | | 1,314,407 |
Series 2005-AR9 Class 2A1, 4.3609% 5/25/35 (k) | | 743,854 | | 743,738 |
TOTAL PRIVATE SPONSOR | | 18,107,458 |
U.S. Government Agency - 0.3% |
Fannie Mae planned amortization class: | | | | |
Series 1999-54 Class PH, 6.5% 11/18/29 | | 3,300,000 | | 3,506,756 |
Series 1999-57 Class PH, 6.5% 12/25/29 | | 2,600,000 | | 2,753,995 |
Fannie Mae guaranteed REMIC pass thru certificates planned amortization class Series 2004-81 Class KD, 4.5% 4/25/17 | | 2,390,000 | | 2,397,725 |
TOTAL U.S. GOVERNMENT AGENCY | | 8,658,476 |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $25,856,052) | 26,765,934 |
Commercial Mortgage Securities - 1.4% |
|
Bayview Commercial Asset Trust floater: | | | | |
Series 2004-1: | | | | |
Class A, 3.6744% 4/25/34 (f)(k) | | 759,929 | | 759,395 |
Class B, 5.2144% 4/25/34 (f)(k) | | 84,437 | | 84,964 |
Class M1, 3.8744% 4/25/34 (f)(k) | | 84,437 | | 84,621 |
Class M2, 4.5144% 4/25/34 (f)(k) | | 84,437 | | 85,004 |
Commercial Mortgage Securities - continued |
| Principal Amount | | Value
(Note 1) |
Bayview Commercial Asset Trust floater: - continued | | | | |
Series 2004-3: | | | | |
Class A1, 3.6844% 1/25/35 (f)(k) | | $ 773,347 | | $ 774,783 |
Class A2, 3.7344% 1/25/35 (f)(k) | | 96,668 | | 96,848 |
Class M1, 3.8144% 1/25/35 (f)(k) | | 145,003 | | 145,163 |
Class M2, 4.3144% 1/25/35 (f)(k) | | 96,668 | | 96,967 |
COMM: | | | | |
floater: | | | | |
Series 2002-FL7 Class D, 3.79% 11/15/14 (f)(k) | | 295,000 | | 295,223 |
Series 2003-FL9 Class B, 3.72% 11/15/15 (f)(k) | | 382,866 | | 383,914 |
Series 2004-LBN2 Class X2, 1.0847% 3/10/39 (f)(k)(l) | | 1,985,629 | | 76,135 |
CS First Boston Mortgage Securities Corp.: | | | | |
sequential pay: | | | | |
Series 1999-C1 Class A2, 7.29% 9/15/41 | | 1,500,000 | | 1,649,260 |
Series 2004-C1 Class A3, 4.321% 1/15/37 | | 615,000 | | 612,399 |
Series 1998-C1 Class D, 7.17% 5/17/40 | | 580,000 | | 652,099 |
Series 2004-C1 Class ASP, 0.9379% 1/15/37 (f)(k)(l) | | 9,482,020 | | 354,208 |
Deutsche Mortgage & Asset Receiving Corp. sequential pay Series 1998-C1 Class D, 7.231% 6/15/31 | | 3,550,000 | | 3,826,089 |
Equitable Life Assurance Society of the United States Series 174: | | | | |
Class B1, 7.33% 5/15/06 (f) | | 3,500,000 | | 3,590,339 |
Class C1, 7.52% 5/15/06 (f) | | 2,300,000 | | 2,360,950 |
Class D1, 7.77% 5/15/06 (f) | | 2,200,000 | | 2,250,845 |
Fannie Mae sequential pay Series 1999-10 Class MZ, 6.5% 9/17/38 | | 1,605,536 | | 1,766,370 |
GS Mortgage Securities Corp. II: | | | | |
sequential pay Series 2001-LIBA Class A2, 6.615% 2/14/16 (f) | | 840,000 | | 934,829 |
Series 1998-GLII Class E, 7.1906% 4/13/31 (k) | | 1,205,000 | | 1,269,022 |
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A: | | | | |
Class B, 4.13% 11/20/37 (f) | | 1,050,000 | | 985,005 |
Class C, 4.13% 11/20/37 (f) | | 1,050,000 | | 946,260 |
Morgan Stanley Capital I, Inc.: | | | | |
sequential pay Series 2004-HQ3 Class A2, 4.05% 1/13/41 | | 630,000 | | 623,788 |
Series 2005-IQ9 Class X2, 1.0828% 7/15/56 (f)(k)(l) | | 7,680,000 | | 397,500 |
|
| Principal Amount | | Value
(Note 1) |
Thirteen Affiliates of General Growth Properties, Inc.: | | | | |
sequential pay Series 1 Class A2, 6.602% 11/15/07 (f) | | $ 4,200,000 | | $ 4,424,487 |
Series 1: | | | | |
Class D2, 6.992% 11/15/07 (f) | | 4,120,000 | | 4,348,174 |
Class E2, 7.224% 11/15/07 (f) | | 2,450,000 | | 2,602,070 |
Wachovia Bank Commercial Mortgage Trust sequential pay Series 2003-C6 Class A2, 4.498% 8/15/35 | | 1,015,000 | | 1,021,737 |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $36,165,505) | 37,498,448 |
Foreign Government and Government Agency
Obligations - 0.2% |
|
Chilean Republic 7.125% 1/11/12 | | 650,000 | | 747,240 |
Israeli State 4.625% 6/15/13 | | 230,000 | | 227,844 |
Korean Republic 4.875% 9/22/14 | | 345,000 | | 350,377 |
United Mexican States: | | | | |
5.875% 1/15/14 | | 400,000 | | 417,400 |
6.75% 9/27/34 | | 795,000 | | 842,700 |
7.5% 4/8/33 | | 2,350,000 | | 2,708,375 |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,650,286) | 5,293,936 |
Fixed-Income Funds - 7.4% |
| | Shares | | |
Fidelity Floating Rate Central Investment Portfolio (b) | | 464,992 | | 46,559,649 |
Fidelity High Income Central Investment Portfolio 1 (b) | | 1,496,200 | | 145,400,753 |
TOTAL FIXED-INCOME FUNDS (Cost $186,272,847) | | 191,960,402 |
Money Market Funds - 18.0% |
| | Shares | | Value (Note 1) |
Fidelity Cash Central Fund, 3.21% (b) | | 341,444,043 | | $ 341,444,043 |
Fidelity Money Market Central Fund, 3.25% (b) | | 123,860,162 | | 123,860,162 |
Fidelity Securities Lending Cash Central Fund, 3.23% (b)(c) | | 2,125,353 | | 2,125,353 |
TOTAL MONEY MARKET FUNDS (Cost $467,429,558) | | 467,429,558 |
TOTAL INVESTMENT
PORTFOLIO - 100.8% (Cost $2,470,385,487) | | | 2,620,781,728 |
NET OTHER ASSETS - (0.8)% | | | (20,133,588) |
NET ASSETS - 100% | | $ 2,600,648,140 |
Futures Contracts |
| Expiration Date | | Underlying
Face Amount
at Value | | Unrealized Appreciation/
(Depreciation) |
Purchased |
Equity Index Contracts |
395 S&P 500 Index Contracts | Sept. 2005 | | $ 118,055,625 | | $ (1,048,725) |
The face value of futures purchased as a percentage of net assets - 4.5% |
Swap Agreements |
| Expiration
Date | | Notional
Amount | | Value |
Credit Default Swap |
Receive quarterly a fixed rate of .4% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 4, par value of the proportional notional amount (j) | June 2010 | | $ 10,000,000 | | $ (88,610) |
Receive quarterly a fixed rate of .5% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 3, par value of the proportional notional amount (i) | March 2010 | | 3,500,000 | | (13,132) |
Receive quarterly a fixed rate of .65% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 4, par value of the proportional notional amount (j) | June 2015 | | 12,500,000 | | (187,668) |
Receive quarterly a fixed rate of .7% multiplied by the notional amount and pay to Deutsche Bank, upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 3, par value of the proportional notional amount (i) | March 2015 | | 3,500,000 | | (35,706) |
TOTAL CREDIT DEFAULT SWAP | 29,500,000 | | (325,116) |
Swap Agreements - continued |
| Expiration Date | | Notional Amount | | Value |
Interest Rate Swap |
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2010 | | $ 3,500,000 | | $ 44,917 |
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2015 | | 3,500,000 | | 131,985 |
TOTAL INTEREST RATE SWAP | 7,000,000 | | 176,902 |
Total Return Swap |
Receive monthly a return equal to Banc of America Securities LLC AAA 10 Yr Commercial Mortgage Backed Securities Daily Index and pay monthly a floating rate based on 1-month LIBOR minus 40 basis points with Bank of America | March 2006 | | 2,500,000 | | 2,210 |
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 20 basis points with Citibank | Oct. 2005 | | 2,500,000 | | 0 |
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 45 basis points with Lehman Brothers, Inc. | July 2005 | | 2,500,000 | | 23,072 |
|
| Expiration Date | | Notional Amount | | Value |
Total Return Swap - continued |
Receive quarterly a return equal to Banc of America Securities LLC AAA 10 Yr Commercial Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 40 basis points with Bank of America | Nov. 2005 | | $ 2,500,000 | | $ 50,010 |
Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 30 basis points with Bank of America | July 2005 | | 2,500,000 | | 62,206 |
TOTAL TOTAL RETURN SWAP | 12,500,000 | | 137,498 |
| | $ 49,000,000 | | $ (10,716) |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the money market fund's holdings as of its most recent quarter end is available upon request. A complete listing of the fixed-income central fund's holdings is provided at the end of this report. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Debt obligation initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(e) Security or a portion of the security is on loan at period end. |
(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $45,516,079 or 1.8% of net assets. |
(g) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(h) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $6,571,512. |
(i) Dow Jones CDX N.A. Investment Grade 3 is a tradable index of credit default swaps on investment grade debt of U.S. companies. |
(j) Dow Jones CDX N.A. Investment Grade 4 is a tradable index of credit default swaps on investment grade debt of U.S. companies. |
(k) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(l) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
Other Information |
The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited): |
U.S.Government and U.S.Government Agency Obligations | 18.1% |
AAA, AA, A | 4.1% |
BBB | 3.2% |
BB | 2.7% |
B | 3.2% |
CCC, CC, C | 0.8% |
Not Rated | 0.5% |
Equities | 54.4% |
Short-Term Investments and Net Other Assets | 13.0% |
| 100.0% |
We have used ratings from Moody's Investors Services, Inc. Where Moody's ratings are not available, we have used S&P ratings. Percentages are adjusted for the effect of futures contracts, if applicable. |
The information in the above table is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
Income Tax Information |
At December 31, 2004, the fund had a capital loss carryforward of approximately $169,227,601 of which $94,606,101, $33,903,363 and $40,718,137 will expire on December 31, 2009, 2010 and 2011, respectively. |
See accompanying notes which are an integral part of the financial statements.
Asset Manager Portfolio
Fidelity Variable Insurance Products: Asset Manager Portfolio
Financial Statements
Statement of Assets and Liabilities
| June 30, 2005 (Unaudited) |
Assets | | |
Investment in securities, at value (including securities loaned of $2,015,766) (cost $2,470,385,487) - See accompanying schedule | | $ 2,620,781,728 |
Commitment to sell securities on a delayed delivery basis | (3,916,250) | |
Receivable for securities sold on a delayed delivery basis | 3,920,000 | 3,750 |
Receivable for investments sold, regular delivery | | 9,609,083 |
Foreign currency held at value (cost $249,342) | | 247,703 |
Receivable for fund shares sold | | 268,410 |
Dividends receivable | | 1,496,086 |
Interest receivable | | 7,932,913 |
Prepaid expenses | | 5,983 |
Other affiliated receivables | | 23,201 |
Other receivables | | 131,679 |
Total assets | | 2,640,500,536 |
Liabilities | | |
Payable for investments purchased
Regular delivery | $ 9,732,913 | |
Delayed delivery | 23,712,520 | |
Payable for fund shares redeemed | 1,738,151 | |
Swap agreements, at value | 10,716 | |
Accrued management fee | 1,140,983 | |
Distribution fees payable | 11,956 | |
Payable for daily variation on futures contracts | 730,750 | |
Other affiliated payables | 297,265 | |
Other payables and accrued expenses | 351,789 | |
Collateral on securities loaned, at value | 2,125,353 | |
Total liabilities | | 39,852,396 |
Net Assets | | $ 2,600,648,140 |
Net Assets consist of: | | |
Paid in capital | | $ 2,570,733,481 |
Undistributed net investment income | | 34,854,145 |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | | (154,643,672) |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | | 149,704,186 |
Net Assets | | $ 2,600,648,140 |
Initial Class:
Net Asset Value, offering price and redemption price per share ($2,524,677,548 ÷ 175,203,444 shares) | | $ 14.41 |
Service Class:
Net Asset Value, offering price and redemption price per share ($30,596,928 ÷ 2,136,252 shares) | | $ 14.32 |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($45,373,664 ÷ 3,191,999 shares) | | $ 14.21 |
Statement of Operations
| Six months ended June 30, 2005 (Unaudited) |
Investment Income | | |
Dividends | | $ 12,132,486 |
Interest | | 29,088,464 |
Security lending | | 60,874 |
Total income | | 41,281,824 |
| | |
Expenses | | |
Management fee | $ 6,989,508 | |
Transfer agent fees | 892,062 | |
Distribution fees | 67,210 | |
Accounting and security lending fees | 420,939 | |
Independent trustees' compensation | 6,157 | |
Appreciation in deferred trustee compensation account | 2,641 | |
Custodian fees and expenses | 110,569 | |
Audit | 35,267 | |
Legal | 2,747 | |
Miscellaneous | 67,167 | |
Total expenses before reductions | 8,594,267 | |
Expense reductions | (124,086) | 8,470,181 |
Net investment income (loss) | | 32,811,643 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | | |
Investment securities | 29,533,747 | |
Foreign currency transactions | 82,214 | |
Futures contracts | (873,728) | |
Swap agreements | 183,275 | |
Total net realized gain (loss) | | 28,925,508 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (70,513,037) | |
Assets and liabilities in foreign currencies | (107,710) | |
Futures contracts | (1,864,609) | |
Swap agreements | 295,529 | |
Delayed delivery commitments | 3,750 | |
Total change in net unrealized appreciation (depreciation) | | (72,186,077) |
Net gain (loss) | | (43,260,569) |
Net increase (decrease) in net assets resulting from operations | | $ (10,448,926) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Asset Manager Portfolio
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended June 30, 2005
(Unaudited) | Year ended
December 31,
2004 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income (loss) | $ 32,811,643 | $ 73,103,026 |
Net realized gain (loss) | 28,925,508 | 76,478,625 |
Change in net unrealized appreciation (depreciation) | (72,186,077) | 577,366 |
Net increase (decrease) in net assets resulting from operations | (10,448,926) | 150,159,017 |
Distributions to shareholders from net investment income | (72,542,784) | (81,683,788) |
Distributions to shareholders from net realized gain | (931,463) | - |
Total distributions | (73,474,247) | (81,683,788) |
Share transactions - net increase (decrease) | (136,403,393) | (313,880,450) |
Total increase (decrease) in net assets | (220,326,566) | (245,405,221) |
| | |
Net Assets | | |
Beginning of period | 2,820,974,706 | 3,066,379,927 |
End of period (including undistributed net investment income of $34,854,145 and undistributed net investment income of $75,292,815, respectively) | $ 2,600,648,140 | $ 2,820,974,706 |
Other Information: | | | |
Share Transactions | Six months ended June 30, 2005 (Unaudited) |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 1,775,538 | 161,472 | 845,546 |
Reinvested | 4,952,127 | 55,824 | 70,935 |
Redeemed | (16,834,544) | (326,904) | (234,887) |
Net increase (decrease) | (10,106,879) | (109,608) | 681,594 |
| | | |
Dollars Sold | $ 25,454,152 | $ 2,309,270 | $ 11,969,285 |
Reinvested | 71,657,275 | 803,304 | 1,013,668 |
Redeemed | (241,615,106) | (4,687,527) | (3,307,714) |
Net increase (decrease) | $ (144,503,679) | $ (1,574,953) | $ 9,675,239 |
| | | |
Share Transactions | Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 8,726,898 | 845,301 | 1,250,787 |
Reinvested | 5,552,576 | 60,513 | 40,552 |
Redeemed | (37,314,309) | (893,122) | (354,143) |
Net increase (decrease) | (23,034,835) | 12,692 | 937,196 |
| | | |
Dollars Sold | $ 124,852,377 | $ 12,068,224 | $ 17,624,320 |
Reinvested | 80,234,728 | 869,573 | 579,487 |
Redeemed | (532,488,555) | (12,617,698) | (5,002,906) |
Net increase (decrease) | $ (327,401,450) | $ 320,099 | $ 13,200,901 |
| | | |
Distributions | Six months ended June 30, 2005 (Unaudited) |
| Initial Class | Service Class | Service Class 2 |
From net investment income | $ 70,750,221 | $ 792,593 | $ 999,970 |
From net realized gain | 907,054 | 10,711 | 13,698 |
Total | $ 71,657,275 | $ 803,304 | $ 1,013,668 |
| | | |
| Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
From net investment income | $ 80,234,728 | $ 869,573 | $ 579,487 |
See accompanying notes which are an integral part of the financial statements.
Asset Manager Portfolio
Financial Highlights - Initial Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 14.85 | $ 14.46 | $ 12.75 | $ 14.51 | $ 16.01 | $ 18.67 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .18 | .36 F | .36 | .46 | .51 | .62 |
Net realized and unrealized gain (loss) | (.22) | .42 | 1.83 | (1.69) | (1.13) | (1.30) |
Total from investment operations | (.04) | .78 | 2.19 | (1.23) | (.62) | (.68) |
Distributions from net investment income | (.39) | (.39) | (.48) | (.53) | (.64) | (.60) |
Distributions from net realized gain | (.01) | - | - | - | (.24) | (1.38) |
Total distributions | (.40) | (.39) | (.48) | (.53) | (.88) | (1.98) |
Net asset value, end of period | $ 14.41 | $ 14.85 | $ 14.46 | $ 12.75 | $ 14.51 | $ 16.01 |
Total Return B, C, D | (.31)% | 5.47% | 17.97% | (8.73)% | (4.15)% | (3.87)% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | .64% A | .66% | .63% | .63% | .64% | .61% |
Expenses net of voluntary waivers, if any | .64% A | .66% | .63% | .63% | .64% | .61% |
Expenses net of all reductions | .63% A | .65% | .62% | .61% | .63% | .61% |
Net investment income (loss) | 2.46% A | 2.53% | 2.71% | 3.49% | 3.53% | 3.73% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 2,524,678 | $ 2,751,094 | $ 3,011,837 | $ 2,784,945 | $ 3,547,730 | $ 4,128,169 |
Portfolio turnover rate | 42% A | 66% | 82% | 140% | 108% | 76% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.04 per share.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
Financial Highlights - Service Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 14.75 | $ 14.37 | $ 12.66 | $ 14.41 | $ 15.91 | $ 18.59 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .17 | .34 F | .34 | .44 | .49 | .60 |
Net realized and unrealized gain (loss) | (.22) | .42 | 1.83 | (1.68) | (1.12) | (1.31) |
Total from investment operations | (.05) | .76 | 2.17 | (1.24) | (.63) | (.71) |
Distributions from net investment income | (.37) | (.38) | (.46) | (.51) | (.63) | (.59) |
Distributions from net realized gain | (.01) | - | - | - | (.24) | (1.38) |
Total distributions | (.38) | (.38) | (.46) | (.51) | (.87) | (1.97) |
Net asset value, end of period | $ 14.32 | $ 14.75 | $ 14.37 | $ 12.66 | $ 14.41 | $ 15.91 |
Total Return B, C, D | (.39)% | 5.36% | 17.91% | (8.85)% | (4.24)% | (4.06)% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | .74% A | .77% | .74% | .74% | .74% | .72% |
Expenses net of voluntary waivers, if any | .74% A | .77% | .74% | .74% | .74% | .72% |
Expenses net of all reductions | .73% A | .76% | .73% | .72% | .73% | .71% |
Net investment income (loss) | 2.35% A | 2.41% | 2.59% | 3.38% | 3.43% | 3.62% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 30,597 | $ 33,118 | $ 32,087 | $ 25,692 | $ 31,324 | $ 30,583 |
Portfolio turnover rate | 42% A | 66% | 82% | 140% | 108% | 76% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.04 per share.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Service Class 2
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 G |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 14.64 | $ 14.27 | $ 12.59 | $ 14.36 | $ 15.89 | $ 18.17 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .16 | .32 F | .32 | .41 | .46 | .53 |
Net realized and unrealized gain (loss) | (.22) | .41 | 1.81 | (1.67) | (1.11) | (.84) |
Total from investment operations | (.06) | .73 | 2.13 | (1.26) | (.65) | (.31) |
Distributions from net investment income | (.37) | (.36) | (.45) | (.51) | (.64) | (.59) |
Distributions from net realized gain | (.01) | - | - | - | (.24) | (1.38) |
Total distributions | (.37) I | (.36) | (.45) | (.51) | (.88) | (1.97) |
Net asset value, end of period | $ 14.21 | $ 14.64 | $ 14.27 | $ 12.59 | $ 14.36 | $ 15.89 |
Total Return B, C, D | (.42)% | 5.18% | 17.66% | (9.03)% | (4.38)% | (1.97)% |
Ratios to Average Net Assets H | | | | | | |
Expenses before expense reductions | .90% A | .93% | .91% | .90% | .90% | .88% A |
Expenses net of voluntary waivers, if any | .90% A | .93% | .91% | .90% | .90% | .88% A |
Expenses net of all reductions | .89% A | .92% | .89% | .88% | .89% | .88% A |
Net investment income (loss) | 2.19% A | 2.25% | 2.43% | 3.22% | 3.27% | 3.46% A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 45,374 | $ 36,763 | $ 22,456 | $ 16,367 | $ 11,993 | $ 4,785 |
Portfolio turnover rate | 42% A | 66% | 82% | 140% | 108% | 76% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.04 per share.
G For the period January 12, 2000 (commencement of sale of shares) to December 31, 2000.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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.
I Total distributions of $.37 per share is comprised of distributions from net investment income of $.365 and distributions from net realized gains of $.005 per share.
See accompanying notes which are an integral part of the financial statements.
Asset Manager Portfolio
Fidelity Variable Insurance Products: Asset Manager: Growth Portfolio
Investment Changes
Top Ten Stocks as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Cardinal Health, Inc. | 4.0 | 3.5 |
Home Depot, Inc. | 3.6 | 3.6 |
American International Group, Inc. | 3.6 | 3.6 |
Pfizer, Inc. | 3.0 | 2.7 |
Microsoft Corp. | 3.0 | 3.3 |
SBC Communications, Inc. | 2.9 | 2.8 |
Wyeth | 2.8 | 2.8 |
Clear Channel Communications, Inc. | 2.5 | 2.6 |
General Electric Co. | 2.5 | 2.4 |
CVS Corp. | 1.8 | 1.5 |
| 29.7 | |
Market Sectors as of June 30, 2005 |
(stocks only) | % of fund's
net assets | % of fund's net assets
6 months ago |
Financials | 16.3 | 18.9 |
Information Technology | 12.4 | 11.1 |
Health Care | 12.0 | 12.4 |
Consumer Discretionary | 8.8 | 8.3 |
Industrials | 5.9 | 5.9 |
Consumer Staples | 5.5 | 5.5 |
Telecommunication Services | 4.9 | 5.2 |
Energy | 3.6 | 3.4 |
Materials | 0.6 | 1.0 |
Utilities | 0.4 | 0.6 |
Asset Allocation (% of fund's net assets) |
As of June 30, 2005 * | As of December 31, 2004** |
| Stock Class and
Equity Futures 74.0% | | | Stock Class and
Equity Futures 75.7% | |
| Bond Class 16.5% | | | Bond Class 14.4% | |
| Short-Term Class 9.5% | | | Short-Term Class 9.9% | |
* Foreign investments | 9.3% | | ** Foreign investments | 10.5% | |
Asset allocations in the pie chart reflect the categorization of assets as defined in the fund's prospectus in effect of the time period indicated above. Financial Statement categorizations conform to accounting standards and will differ from the pie chart. Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.
The information in the above tables is based on the combined investments of the fund and its pro-rata share of investments of Fidelity's fixed-income central fund.
Semiannual Report
Fidelity Variable Insurance Products: Asset Manager: Growth Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 70.2% |
| Shares | | Value (Note 1) |
CONSUMER DISCRETIONARY - 8.7% |
Auto Components - 0.0% |
Exide Technologies warrants 3/18/06 (a) | 5 | | $ 0 |
Automobiles - 0.2% |
Honda Motor Co. Ltd. | 5,700 | | 280,554 |
Renault SA | 4,200 | | 370,524 |
| | 651,078 |
Distributors - 0.1% |
Li & Fung Ltd. | 94,000 | | 195,355 |
Hotels, Restaurants & Leisure - 0.5% |
Carnival Corp. unit | 4,700 | | 256,385 |
Carnival PLC | 5,000 | | 283,716 |
McDonald's Corp. | 27,200 | | 754,800 |
Royal Caribbean Cruises Ltd. | 4,200 | | 203,112 |
| | 1,498,013 |
Household Durables - 0.3% |
Techtronic Industries Co. Ltd. | 97,000 | | 245,277 |
Thomson SA | 18,300 | | 438,486 |
| | 683,763 |
Leisure Equipment & Products - 0.1% |
Sega Sammy Holdings, Inc. | 5,000 | | 306,569 |
Media - 3.5% |
Cablevision Systems Corp. - NY Group Class A (a) | 5,500 | | 177,100 |
Clear Channel Communications, Inc. | 231,600 | | 7,163,388 |
News Corp. Class A | 79,200 | | 1,281,456 |
Omnicom Group, Inc. | 6,100 | | 487,146 |
Reuters Group PLC | 52,800 | | 373,677 |
Tribune Co. | 10,700 | | 376,426 |
Univision Communications, Inc. Class A (a) | 1,100 | | 30,305 |
| | 9,889,498 |
Multiline Retail - 0.0% |
Don Quijote Co. Ltd. | 300 | | 16,338 |
Specialty Retail - 3.9% |
Home Depot, Inc. | 265,700 | | 10,335,730 |
Ross Stores, Inc. | 4,300 | | 124,313 |
TJX Companies, Inc. | 24,700 | | 601,445 |
| | 11,061,488 |
Textiles, Apparel & Luxury Goods - 0.1% |
The Swatch Group AG (Reg.) | 13,457 | | 384,816 |
TOTAL CONSUMER DISCRETIONARY | | 24,686,918 |
CONSUMER STAPLES - 5.5% |
Beverages - 0.4% |
PepsiCo, Inc. | 19,100 | | 1,030,063 |
Pernod-Ricard | 1,600 | | 255,584 |
| | 1,285,647 |
|
| Shares | | Value (Note 1) |
Food & Staples Retailing - 3.2% |
CVS Corp. | 177,000 | | $ 5,145,390 |
Safeway, Inc. | 90,200 | | 2,037,618 |
Wal-Mart Stores, Inc. | 37,700 | | 1,817,140 |
| | 9,000,148 |
Food Products - 0.1% |
Global Bio-Chem Technology Group Co. Ltd. | 332,000 | | 206,138 |
Groupe Danone | 2,500 | | 219,945 |
| | 426,083 |
Household Products - 0.2% |
Colgate-Palmolive Co. | 9,400 | | 469,154 |
Personal Products - 0.5% |
Alberto-Culver Co. | 34,000 | | 1,473,220 |
Tobacco - 1.1% |
Altria Group, Inc. | 49,300 | | 3,187,738 |
TOTAL CONSUMER STAPLES | | 15,841,990 |
ENERGY - 3.5% |
Energy Equipment & Services - 1.8% |
Diamond Offshore Drilling, Inc. | 23,900 | | 1,276,977 |
ENSCO International, Inc. | 22,600 | | 807,950 |
GlobalSantaFe Corp. | 37,400 | | 1,525,920 |
Technip-Coflexip SA | 5,200 | | 241,391 |
Transocean, Inc. (a) | 26,400 | | 1,424,808 |
| | 5,277,046 |
Oil, Gas & Consumable Fuels - 1.7% |
BP PLC | 53,500 | | 556,222 |
Canadian Natural Resources Ltd. | 10,600 | | 384,133 |
ConocoPhillips | 37,200 | | 2,138,628 |
EnCana Corp. | 8,800 | | 347,130 |
ENI Spa | 12,600 | | 323,064 |
Exxon Mobil Corp. | 8,000 | | 459,760 |
Total SA Series B | 2,570 | | 600,609 |
| | 4,809,546 |
TOTAL ENERGY | | 10,086,592 |
FINANCIALS - 16.3% |
Capital Markets - 3.0% |
Credit Suisse Group (Reg.) | 15,426 | | 603,774 |
Goldman Sachs Group, Inc. | 16,700 | | 1,703,734 |
Lehman Brothers Holdings, Inc. | 6,900 | | 685,032 |
Merrill Lynch & Co., Inc. | 34,600 | | 1,903,346 |
Morgan Stanley | 40,700 | | 2,135,529 |
Nomura Holdings, Inc. | 21,600 | | 258,120 |
Northern Trust Corp. | 4,700 | | 214,273 |
Nuveen Investments, Inc. Class A | 10,700 | | 402,534 |
UBS AG (Reg.) | 9,780 | | 761,373 |
| | 8,667,715 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
FINANCIALS - continued |
Commercial Banks - 2.7% |
Bank of America Corp. | 48,128 | | $ 2,195,118 |
DnB NOR ASA | 22,800 | | 238,143 |
Societe Generale Series A | 3,000 | | 305,502 |
Sumitomo Mitsui Financial Group, Inc. | 97 | | 655,967 |
Synovus Financial Corp. | 13,700 | | 392,779 |
Wachovia Corp. | 38,240 | | 1,896,709 |
Wells Fargo & Co. | 31,900 | | 1,964,402 |
| | 7,648,620 |
Consumer Finance - 0.2% |
Credit Saison Co. Ltd. | 5,400 | | 179,667 |
MBNA Corp. | 10,700 | | 279,912 |
| | 459,579 |
Diversified Financial Services - 1.4% |
Citigroup, Inc. | 65,700 | | 3,037,311 |
ING Groep NV (Certificaten Van Aandelen) | 11,500 | | 322,575 |
JPMorgan Chase & Co. | 14,780 | | 522,030 |
| | 3,881,916 |
Insurance - 6.7% |
ACE Ltd. | 22,700 | | 1,018,095 |
AFLAC, Inc. | 4,800 | | 207,744 |
Allianz AG (Reg.) | 3,100 | | 356,277 |
AMBAC Financial Group, Inc. | 14,100 | | 983,616 |
American International Group, Inc. | 176,600 | | 10,260,460 |
Hartford Financial Services Group, Inc. | 42,200 | | 3,155,716 |
MBIA, Inc. | 15,900 | | 943,029 |
MetLife, Inc. | 29,400 | | 1,321,236 |
MetLife, Inc. unit | 15,900 | | 416,898 |
Prudential Financial, Inc. | 7,500 | | 492,450 |
| | 19,155,521 |
Thrifts & Mortgage Finance - 2.3% |
Fannie Mae | 77,900 | | 4,549,360 |
MGIC Investment Corp. | 19,000 | | 1,239,180 |
Washington Mutual, Inc. | 18,800 | | 764,972 |
| | 6,553,512 |
TOTAL FINANCIALS | | 46,366,863 |
HEALTH CARE - 12.0% |
Biotechnology - 0.1% |
QIAGEN NV (a) | 27,400 | | 316,196 |
Health Care Equipment & Supplies - 0.3% |
Baxter International, Inc. | 4,000 | | 148,400 |
GN Store Nordic AS | 28,400 | | 321,724 |
Medtronic, Inc. | 6,100 | | 315,919 |
| | 786,043 |
Health Care Providers & Services - 4.0% |
Cardinal Health, Inc. | 197,950 | | 11,397,950 |
|
| Shares | | Value (Note 1) |
Pharmaceuticals - 7.6% |
Johnson & Johnson | 51,000 | | $ 3,315,000 |
Novartis AG (Reg.) | 4,780 | | 226,763 |
Pfizer, Inc. | 309,200 | | 8,527,736 |
Roche Holding AG (participation certificate) | 3,154 | | 399,156 |
Schering-Plough Corp. | 56,553 | | 1,077,900 |
Wyeth | 181,800 | | 8,090,100 |
| | 21,636,655 |
TOTAL HEALTH CARE | | 34,136,844 |
INDUSTRIALS - 5.9% |
Aerospace & Defense - 1.1% |
BAE Systems PLC | 84,500 | | 434,514 |
Honeywell International, Inc. | 9,300 | | 340,659 |
Lockheed Martin Corp. | 13,800 | | 895,206 |
Northrop Grumman Corp. | 9,400 | | 519,350 |
United Technologies Corp. | 20,400 | | 1,047,540 |
| | 3,237,269 |
Airlines - 0.1% |
British Airways PLC (a) | 37,000 | | 173,160 |
Ryanair Holdings PLC sponsored ADR (a) | 5,000 | | 224,200 |
| | 397,360 |
Commercial Services & Supplies - 0.3% |
Aramark Corp. Class B | 5,000 | | 132,000 |
ChoicePoint, Inc. (a) | 14,700 | | 588,735 |
| | 720,735 |
Electrical Equipment - 0.0% |
ABB Ltd. (Reg.) (a) | 11,704 | | 76,709 |
Industrial Conglomerates - 3.6% |
3M Co. | 5,500 | | 397,650 |
General Electric Co. | 204,380 | | 7,081,767 |
Tyco International Ltd. | 97,100 | | 2,835,320 |
| | 10,314,737 |
Machinery - 0.5% |
Ingersoll-Rand Co. Ltd. Class A | 17,900 | | 1,277,165 |
Weichai Power Co. Ltd. (H Shares) | 36,000 | | 106,550 |
| | 1,383,715 |
Marine - 0.1% |
Alexander & Baldwin, Inc. | 3,000 | | 139,050 |
Road & Rail - 0.1% |
CSX Corp. | 6,700 | | 285,822 |
Trading Companies & Distributors - 0.1% |
Mitsui & Co. Ltd. | 24,000 | | 227,222 |
TOTAL INDUSTRIALS | | 16,782,619 |
INFORMATION TECHNOLOGY - 12.4% |
Communications Equipment - 2.5% |
Cisco Systems, Inc. (a) | 224,502 | | 4,290,233 |
Comverse Technology, Inc. (a) | 20,900 | | 494,285 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INFORMATION TECHNOLOGY - continued |
Communications Equipment - continued |
Motorola, Inc. | 54,420 | | $ 993,709 |
Nokia Corp. sponsored ADR | 64,400 | | 1,071,616 |
QUALCOMM, Inc. | 12,200 | | 402,722 |
| | 7,252,565 |
Computers & Peripherals - 1.8% |
Dell, Inc. (a) | 64,400 | | 2,544,444 |
Hewlett-Packard Co. | 31,400 | | 738,214 |
International Business Machines Corp. | 24,000 | | 1,780,800 |
| | 5,063,458 |
Electronic Equipment & Instruments - 0.8% |
AU Optronics Corp. sponsored ADR | 16,600 | | 281,204 |
Flextronics International Ltd. (a) | 34,300 | | 453,103 |
Hoya Corp. | 4,700 | | 542,446 |
Jabil Circuit, Inc. (a) | 3,700 | | 113,701 |
Optimax Technology Corp. | 164,193 | | 379,445 |
Solectron Corp. (a) | 126,900 | | 480,951 |
Yageo Corp. (a) | 308,000 | | 119,602 |
| | 2,370,452 |
Internet Software & Services - 0.0% |
Yahoo! Japan Corp. | 56 | | 117,650 |
IT Services - 0.1% |
Affiliated Computer Services, Inc. Class A (a) | 5,800 | | 296,380 |
Office Electronics - 0.1% |
Canon, Inc. | 3,800 | | 199,994 |
Semiconductors & Semiconductor Equipment - 2.6% |
Analog Devices, Inc. | 3,400 | | 126,854 |
Applied Materials, Inc. | 72,100 | | 1,166,578 |
ARM Holdings PLC | 47,900 | | 97,194 |
ASML Holding NV (NY Shares) (a) | 49,800 | | 779,868 |
Intel Corp. | 130,900 | | 3,411,254 |
KLA-Tencor Corp. | 9,400 | | 410,780 |
Lam Research Corp. (a) | 12,500 | | 361,750 |
Linear Technology Corp. | 3,100 | | 113,739 |
Novellus Systems, Inc. (a) | 7,900 | | 195,209 |
Solomon Systech Ltd. | 192,000 | | 67,945 |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 25,205 | | 229,871 |
United Microelectronics Corp. sponsored ADR | 82,448 | | 338,861 |
Xilinx, Inc. | 2,100 | | 53,550 |
| | 7,353,453 |
Software - 4.5% |
BEA Systems, Inc. (a) | 59,400 | | 521,532 |
Microsoft Corp. | 342,375 | | 8,504,595 |
Oracle Corp. (a) | 77,900 | | 1,028,280 |
|
| Shares | | Value (Note 1) |
Symantec Corp. (a) | 66,300 | | $ 1,441,362 |
VERITAS Software Corp. (a) | 52,500 | | 1,281,000 |
| | 12,776,769 |
TOTAL INFORMATION TECHNOLOGY | | 35,430,721 |
MATERIALS - 0.6% |
Chemicals - 0.3% |
Nitto Denko Corp. | 5,600 | | 321,140 |
Praxair, Inc. | 11,500 | | 535,900 |
| | 857,040 |
Metals & Mining - 0.2% |
Alcan, Inc. | 9,100 | | 273,178 |
BHP Billiton PLC | 17,500 | | 223,246 |
Grupo Mexico SA de CV Series B | 107,952 | | 176,395 |
| | 672,819 |
Paper & Forest Products - 0.1% |
Votorantim Celulose e Papel SA sponsored ADR (non-vtg.) | 17,800 | | 215,380 |
TOTAL MATERIALS | | 1,745,239 |
TELECOMMUNICATION SERVICES - 4.9% |
Diversified Telecommunication Services - 4.7% |
BellSouth Corp. | 63,500 | | 1,687,195 |
Philippine Long Distance Telephone Co. | 7,280 | | 210,694 |
Qwest Communications International, Inc. (a) | 310,700 | | 1,152,697 |
SBC Communications, Inc. | 344,900 | | 8,191,375 |
Telefonica SA | 15,184 | | 247,499 |
Verizon Communications, Inc. | 52,800 | | 1,824,240 |
| | 13,313,700 |
Wireless Telecommunication Services - 0.2% |
Nextel Communications, Inc. Class A (a) | 18,400 | | 594,504 |
TOTAL TELECOMMUNICATION SERVICES | | 13,908,204 |
UTILITIES - 0.4% |
Electric Utilities - 0.4% |
Entergy Corp. | 2,000 | | 151,100 |
FirstEnergy Corp. | 4,200 | | 202,062 |
PG&E Corp. | 21,200 | | 795,848 |
| | 1,149,010 |
TOTAL COMMON STOCKS (Cost $182,330,936) | 200,135,000 |
Convertible Preferred Stocks - 0.0% |
| Shares | | Value (Note 1) |
TELECOMMUNICATION SERVICES - 0.0% |
Diversified Telecommunication Services - 0.0% |
Cincinnati Bell, Inc. Series B, 6.75% | 1,300 | | $ 58,630 |
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $38,260) | 58,630 |
Corporate Bonds - 1.3% |
| Principal Amount | | |
Convertible Bonds - 0.0% |
INFORMATION TECHNOLOGY - 0.0% |
Communications Equipment - 0.0% |
CIENA Corp. 3.75% 2/1/08 | | $ 100,000 | | 87,130 |
Nonconvertible Bonds - 1.3% |
CONSUMER DISCRETIONARY - 0.2% |
Automobiles - 0.1% |
Ford Motor Co.: | | | | |
6.625% 10/1/28 | | 10,000 | | 7,845 |
7.45% 7/16/31 | | 165,000 | | 137,745 |
General Motors Corp. 8.375% 7/15/33 | | 60,000 | | 50,100 |
| | 195,690 |
Media - 0.1% |
AOL Time Warner, Inc. 7.625% 4/15/31 | | 25,000 | | 31,222 |
Cox Communications, Inc. 7.125% 10/1/12 | | 20,000 | | 22,428 |
Liberty Media Corp. 8.25% 2/1/30 | | 55,000 | | 54,714 |
News America Holdings, Inc. 7.75% 12/1/45 | | 35,000 | | 42,881 |
News America, Inc. 6.2% 12/15/34 | | 65,000 | | 68,217 |
Time Warner Entertainment Co. LP 8.375% 7/15/33 | | 50,000 | | 66,360 |
| | 285,822 |
TOTAL CONSUMER DISCRETIONARY | | 481,512 |
CONSUMER STAPLES - 0.0% |
Beverages - 0.0% |
FBG Finance Ltd. 5.125% 6/15/15 (d) | | 25,000 | | 25,098 |
ENERGY - 0.2% |
Energy Equipment & Services - 0.0% |
Petronas Capital Ltd. 7% 5/22/12 (d) | | 55,000 | | 62,864 |
Oil, Gas & Consumable Fuels - 0.2% |
Amerada Hess Corp.: | | | | |
6.65% 8/15/11 | | 10,000 | | 11,004 |
|
| Principal Amount | | Value
(Note 1) |
7.125% 3/15/33 | | $ 15,000 | | $ 17,792 |
Empresa Nacional de Petroleo 6.75% 11/15/12 (d) | | 25,000 | | 27,755 |
EnCana Holdings Finance Corp. 5.8% 5/1/14 | | 35,000 | | 37,558 |
Enterprise Products Operating LP 5.75% 3/1/35 (d) | | 25,000 | | 24,407 |
Kinder Morgan Energy Partners LP: | | | | |
5.125% 11/15/14 | | 10,000 | | 10,114 |
5.8% 3/15/35 | | 20,000 | | 20,140 |
Nexen, Inc. 5.875% 3/10/35 | | 35,000 | | 35,571 |
Pemex Project Funding Master Trust: | | | | |
6.125% 8/15/08 | | 50,000 | | 51,900 |
6.625% 6/15/35 (d) | | 45,000 | | 44,213 |
7.875% 2/1/09 (h) | | 100,000 | | 109,250 |
Williams Companies, Inc.: | | | | |
7.125% 9/1/11 | | 5,000 | | 5,400 |
7.5% 1/15/31 | | 10,000 | | 10,825 |
| | 405,929 |
TOTAL ENERGY | | 468,793 |
FINANCIALS - 0.5% |
Capital Markets - 0.1% |
Goldman Sachs Group, Inc. 6.6% 1/15/12 | | 125,000 | | 138,927 |
Lazard LLC 7.125% 5/15/15 (d) | | 35,000 | | 35,306 |
Merrill Lynch & Co., Inc. 4.25% 2/8/10 | | 50,000 | | 49,876 |
Morgan Stanley 6.6% 4/1/12 | | 40,000 | | 44,472 |
| | 268,581 |
Commercial Banks - 0.1% |
Bank of America Corp. 6.25% 4/15/12 | | 70,000 | | 77,373 |
Korea Development Bank 3.875% 3/2/09 | | 75,000 | | 73,750 |
Wachovia Bank NA 4.875% 2/1/15 | | 15,000 | | 15,280 |
Wachovia Corp. 4.875% 2/15/14 | | 25,000 | | 25,412 |
| | 191,815 |
Consumer Finance - 0.1% |
Capital One Bank 5% 6/15/09 | | 25,000 | | 25,544 |
Ford Motor Credit Co. 7.375% 2/1/11 | | 25,000 | | 24,353 |
General Motors Acceptance Corp. 5.53% 12/1/14 (h) | | 40,000 | | 34,075 |
Household Finance Corp. 4.125% 11/16/09 | | 20,000 | | 19,784 |
Household International, Inc. 8.875% 2/15/08 | | 75,000 | | 77,127 |
MBNA Corp. 7.5% 3/15/12 | | 45,000 | | 52,452 |
| | 233,335 |
Corporate Bonds - continued |
| Principal Amount | | Value
(Note 1) |
Nonconvertible Bonds - continued |
FINANCIALS - continued |
Diversified Financial Services - 0.1% |
JPMorgan Chase & Co. 6.75% 2/1/11 | | $ 155,000 | | $ 171,415 |
Prime Property Funding II, Inc. 5.125% 6/1/15 (d) | | 50,000 | | 49,979 |
| | 221,394 |
Insurance - 0.0% |
Principal Life Global Funding I 6.25% 2/15/12 (d) | | 25,000 | | 27,579 |
Real Estate - 0.1% |
Archstone Smith Operating Trust 5.25% 5/1/15 | | 25,000 | | 25,518 |
Arden Realty LP 5.25% 3/1/15 | | 100,000 | | 99,925 |
Developers Diversified Realty Corp.: | | | | |
5% 5/3/10 | | 20,000 | | 20,152 |
5.25% 4/15/11 | | 10,000 | | 10,158 |
EOP Operating LP 4.65% 10/1/10 | | 90,000 | | 89,786 |
Regency Centers LP 6.75% 1/15/12 | | 45,000 | | 49,437 |
Simon Property Group LP: | | | | |
5.1% 6/15/15 (d) | | 30,000 | | 29,915 |
5.625% 8/15/14 | | 40,000 | | 41,716 |
| | 366,607 |
Thrifts & Mortgage Finance - 0.0% |
Countrywide Home Loans, Inc. 4% 3/22/11 | | 30,000 | | 28,933 |
Independence Community Bank Corp. 3.75% 4/1/14 (h) | | 20,000 | | 19,280 |
Residential Capital Corp. 6.375% 6/30/10 (d) | | 30,000 | | 30,147 |
Washington Mutual, Inc. 4.375% 1/15/08 | | 20,000 | | 20,056 |
| | 98,416 |
TOTAL FINANCIALS | | 1,407,727 |
INDUSTRIALS - 0.0% |
Airlines - 0.0% |
American Airlines, Inc. pass thru trust certificates: | | | | |
6.855% 10/15/10 | | 3,572 | | 3,657 |
6.978% 10/1/12 | | 9,962 | | 10,292 |
7.024% 4/15/11 | | 20,000 | | 20,667 |
Continental Airlines, Inc. pass thru trust certificates 7.373% 6/15/17 | | 29,248 | | 24,568 |
Delta Air Lines, Inc. pass thru trust certificates 7.57% 11/18/10 | | 30,000 | | 28,223 |
| | 87,407 |
|
| Principal Amount | | Value
(Note 1) |
Industrial Conglomerates - 0.0% |
Hutchison Whampoa International 03/13 Ltd. 6.5% 2/13/13 (d) | | $ 10,000 | | $ 10,857 |
Hutchison Whampoa International 03/33 Ltd. 7.45% 11/24/33 (d) | | 25,000 | | 29,415 |
| | 40,272 |
TOTAL INDUSTRIALS | | 127,679 |
TELECOMMUNICATION SERVICES - 0.2% |
Diversified Telecommunication Services - 0.2% |
AT&T Broadband Corp. 8.375% 3/15/13 | | 50,000 | | 60,968 |
BellSouth Capital Funding Corp. 7.875% 2/15/30 | | 25,000 | | 32,268 |
BellSouth Corp. 5.2% 9/15/14 | | 15,000 | | 15,459 |
British Telecommunications PLC 8.875% 12/15/30 | | 50,000 | | 70,583 |
Deutsche Telekom International Finance BV 8.75% 6/15/30 | | 50,000 | | 67,699 |
France Telecom SA 8% 3/1/11 (c) | | 40,000 | | 46,419 |
SBC Communications, Inc.: | | | | |
6.15% 9/15/34 | | 30,000 | | 32,497 |
6.45% 6/15/34 | | 15,000 | | 16,865 |
Sprint Capital Corp. 6.875% 11/15/28 | | 25,000 | | 28,697 |
Telecom Italia Capital: | | | | |
4.95% 9/30/14 (d) | | 25,000 | | 24,754 |
5.25% 11/15/13 | | 50,000 | | 50,760 |
Verizon Global Funding Corp.: | | | | |
7.25% 12/1/10 | | 25,000 | | 28,338 |
7.75% 12/1/30 | | 30,000 | | 38,737 |
Verizon New York, Inc. 6.875% 4/1/12 | | 5,000 | | 5,526 |
| | 519,570 |
Wireless Telecommunication Services - 0.0% |
America Movil SA de CV 4.125% 3/1/09 | | 20,000 | | 19,584 |
AT&T Wireless Services, Inc. 7.875% 3/1/11 | | 5,000 | | 5,811 |
| | 25,395 |
TOTAL TELECOMMUNICATION SERVICES | | 544,965 |
UTILITIES - 0.2% |
Electric Utilities - 0.1% |
Cleveland Electric Illuminating Co. 5.65% 12/15/13 | | 30,000 | | 31,552 |
Duke Capital LLC: | | | | |
6.25% 2/15/13 | | 50,000 | | 53,976 |
6.75% 2/15/32 | | 55,000 | | 61,662 |
Exelon Corp.: | | | | |
4.9% 6/15/15 | | 25,000 | | 25,089 |
6.75% 5/1/11 | | 30,000 | | 33,316 |
Corporate Bonds - continued |
| Principal Amount | | Value
(Note 1) |
Nonconvertible Bonds - continued |
UTILITIES - continued |
Electric Utilities - continued |
FirstEnergy Corp. 6.45% 11/15/11 | | $ 15,000 | | $ 16,389 |
Progress Energy, Inc. 7.1% 3/1/11 | | 50,000 | | 55,698 |
TXU Energy Co. LLC 7% 3/15/13 | | 55,000 | | 61,338 |
| | 339,020 |
Independent Power Producers & Energy Traders - 0.0% |
Constellation Energy Group, Inc. 7% 4/1/12 | | 40,000 | | 45,123 |
Multi-Utilities - 0.1% |
Dominion Resources, Inc.: | | | | |
4.75% 12/15/10 | | 30,000 | | 30,182 |
5.95% 6/15/35 | | 30,000 | | 31,074 |
6.25% 6/30/12 | | 45,000 | | 48,849 |
MidAmerican Energy Holdings, Inc. 5.875% 10/1/12 | | 40,000 | | 42,489 |
| | 152,594 |
TOTAL UTILITIES | | 536,737 |
TOTAL NONCONVERTIBLE BONDS | | 3,592,511 |
TOTAL CORPORATE BONDS (Cost $3,525,614) | 3,679,641 |
U.S. Government and Government Agency
Obligations - 2.5% |
|
U.S. Government Agency Obligations - 0.6% |
Fannie Mae: | | | | |
3.25% 1/15/08 | | 71,000 | | 70,023 |
3.25% 8/15/08 | | 90,000 | | 88,325 |
3.25% 2/15/09 | | 270,000 | | 263,803 |
3.375% 12/15/08 | | 29,000 | | 28,496 |
4.625% 5/1/13 | | 200,000 | | 202,391 |
5.5% 3/15/11 | | 60,000 | | 64,359 |
6.25% 2/1/11 | | 105,000 | | 115,055 |
Freddie Mac: | | | | |
2.375% 2/15/07 | | 561,000 | | 548,526 |
4% 6/12/13 | | 87,000 | | 84,590 |
5% 7/15/14 | | 165,000 | | 174,047 |
5.875% 3/21/11 | | 170,000 | | 183,298 |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | | 1,822,913 |
U.S. Treasury Inflation Protected Obligations - 0.4% |
U.S. Treasury Inflation-Indexed Bonds 2.375% 1/15/25 | | 206,430 | | 225,968 |
|
| Principal Amount | | Value
(Note 1) |
U.S. Treasury Inflation-Indexed Notes: | | | | |
0.875% 4/15/10 | | $ 205,396 | | $ 200,325 |
2% 1/15/14 | | 684,411 | | 704,970 |
TOTAL U.S. TREASURY INFLATION PROTECTED
OBLIGATIONS | | 1,131,263 |
U.S. Treasury Obligations - 1.5% |
U.S. Treasury Bills, yield at date of purchase 2.97% 9/8/05 (f) | | 600,000 | | 596,552 |
U.S. Treasury Bonds: | | | | |
5.375% 2/15/31 | | 50,000 | | 59,000 |
6.25% 5/15/30 | | 205,000 | | 267,021 |
U.S. Treasury Notes: | | | | |
3.375% 10/15/09 | | 180,000 | | 177,469 |
3.625% 4/30/07 | | 1,551,000 | | 1,550,152 |
4.75% 5/15/14 | | 725,000 | | 769,293 |
6.5% 2/15/10 | | 730,000 | | 814,663 |
TOTAL U.S. TREASURY OBLIGATIONS | | 4,234,150 |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $7,101,316) | 7,188,326 |
U.S. Government Agency - Mortgage
Securities - 2.5% |
|
Fannie Mae - 2.3% |
3.463% 4/1/34 (h) | | 23,276 | | 23,333 |
3.737% 1/1/35 (h) | | 23,197 | | 23,114 |
3.797% 6/1/34 (h) | | 22,868 | | 22,542 |
3.83% 1/1/35 (h) | | 22,236 | | 22,194 |
3.913% 12/1/34 (h) | | 23,614 | | 23,566 |
3.98% 1/1/35 (h) | | 22,356 | | 22,288 |
4% 7/1/20 (e) | | 242,483 | | 237,406 |
4% 1/1/35 (h) | | 22,531 | | 22,450 |
4.029% 1/1/35 (h) | | 23,991 | | 24,035 |
4.052% 2/1/35 (h) | | 23,135 | | 23,100 |
4.055% 10/1/18 (h) | | 16,222 | | 16,170 |
4.057% 5/1/34 (h) | | 13,975 | | 13,957 |
4.115% 2/1/35 (h) | | 23,624 | | 23,665 |
4.118% 1/1/35 (h) | | 8,724 | | 8,736 |
4.118% 2/1/35 (h) | | 23,246 | | 23,321 |
4.12% 2/1/35 (h) | | 23,895 | | 23,955 |
4.127% 1/1/35 (h) | | 23,074 | | 23,261 |
4.128% 2/1/35 (h) | | 23,614 | | 23,663 |
4.145% 2/1/35 (h) | | 23,404 | | 23,538 |
4.151% 1/1/35 (h) | | 23,279 | | 23,349 |
4.162% 2/1/35 (h) | | 23,400 | | 23,489 |
4.197% 1/1/35 (h) | | 23,287 | | 23,410 |
4.2% 1/1/35 (h) | | 21,647 | | 21,853 |
4.232% 3/1/34 (h) | | 19,042 | | 19,088 |
4.265% 10/1/34 (h) | | 102,802 | | 103,501 |
U.S. Government Agency - Mortgage Securities -
continued |
| Principal Amount | | Value
(Note 1) |
Fannie Mae - continued |
4.293% 3/1/35 (h) | | $ 23,512 | | $ 23,657 |
4.302% 11/1/34 (h) | | 48,610 | | 48,917 |
4.302% 1/1/35 (h) | | 24,120 | | 24,105 |
4.305% 8/1/33 (h) | | 12,837 | | 12,963 |
4.357% 1/1/35 (h) | | 24,169 | | 24,328 |
4.479% 4/1/34 (h) | | 16,822 | | 16,916 |
4.493% 8/1/34 (h) | | 23,357 | | 23,533 |
4.5% 5/1/19 to 4/1/35 | | 1,327,331 | | 1,303,695 |
4.5% 7/1/20 (e) | | 120,000 | | 119,363 |
4.508% 1/1/35 (h) | | 22,653 | | 22,930 |
4.53% 3/1/35 (h) | | 24,546 | | 24,653 |
4.568% 2/1/35 (h) | | 23,136 | | 23,407 |
4.694% 11/1/34 (h) | | 23,515 | | 23,708 |
4.725% 3/1/35 (h) | | 33,194 | | 33,692 |
4.748% 7/1/34 (h) | | 20,758 | | 20,819 |
4.815% 12/1/32 (h) | | 24,323 | | 24,624 |
5% 7/1/18 | | 694,305 | | 702,627 |
5% 8/1/35 (e) | | 356,171 | | 355,281 |
5.5% 4/1/16 to 9/1/34 | | 1,720,697 | | 1,749,207 |
6% 4/1/13 to 4/1/33 | | 347,625 | | 357,763 |
6.5% 5/1/17 to 1/1/33 | | 741,296 | | 769,423 |
6.5% 7/1/35 (e) | | 30,447 | | 31,503 |
7.5% 5/1/24 to 2/1/28 | | 33,635 | | 36,034 |
TOTAL FANNIE MAE | | 6,612,132 |
Freddie Mac - 0.1% |
4.106% 12/1/34 (h) | | 23,104 | | 23,093 |
4.13% 12/1/34 (h) | | 22,704 | | 22,689 |
4.232% 1/1/35 (h) | | 18,890 | | 18,898 |
4.307% 5/1/35 (h) | | 24,402 | | 24,475 |
4.37% 3/1/35 (h) | | 24,616 | | 24,577 |
4.401% 2/1/35 (h) | | 24,602 | | 24,564 |
4.444% 3/1/35 (h) | | 24,798 | | 24,747 |
4.491% 3/1/35 (h) | | 24,587 | | 24,632 |
4.498% 3/1/35 (h) | | 35,000 | | 35,109 |
5.034% 4/1/35 (h) | | 24,594 | | 24,971 |
6% 5/1/33 | | 48,952 | | 50,322 |
7.5% 8/1/28 | | 6,930 | | 7,439 |
TOTAL FREDDIE MAC | | 305,516 |
Government National Mortgage Association - 0.1% |
6.5% 8/15/27 | | 74,640 | | 78,232 |
7% 7/15/28 to 7/15/32 | | 98,404 | | 104,297 |
|
| Principal Amount | | Value
(Note 1) |
7.5% 1/15/26 to 8/15/28 | | $ 54,470 | | $ 58,448 |
8.5% 11/15/30 | | 38,085 | | 41,513 |
TOTAL GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION | | 282,490 |
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $7,085,366) | 7,200,138 |
Asset-Backed Securities - 0.3% |
|
ACE Securities Corp. Series 2005-SD1 Class A1, 3.7144% 11/25/50 (h) | | 17,265 | | 17,270 |
Ameriquest Mortgage Securities, Inc. Series 2004-R2 Class M1, 3.7444% 4/25/34 (h) | | 5,000 | | 5,000 |
Amortizing Residential Collateral Trust Series 2003-BC1 Class M2, 4.4144% 1/25/32 (h) | | 3,234 | | 3,250 |
Argent Securities, Inc. Series 2004-W5 Class M1, 3.9144% 4/25/34 (h) | | 15,000 | | 15,018 |
Capital One Multi-Asset Execution Trust: | | | | |
Series 2003-B4 Class B4, 4.02% 7/15/11 (h) | | 25,000 | | 25,421 |
Series 2004-6 Class B, 4.15% 7/16/12 | | 40,000 | | 39,876 |
CDC Mortgage Capital Trust Series 2004-HE2 Class M2, 4.5144% 7/26/34 (h) | | 10,000 | | 10,092 |
Citibank Credit Card Issuance Trust Series 2002-C1 Class C1, 4.2185% 2/9/09 (h) | | 50,000 | | 50,559 |
Countrywide Home Loans, Inc.: | | | | |
Series 2004-2 Class M1, 3.8144% 5/25/34 (h) | | 25,000 | | 25,034 |
Series 2004-4: | | | | |
Class A, 3.6844% 8/25/34 (h) | | 13,226 | | 13,239 |
Class M1, 3.7944% 7/25/34 (h) | | 25,000 | | 25,046 |
Class M2, 3.8444% 6/25/34 (h) | | 15,000 | | 15,026 |
Series 2005-1: | | | | |
Class MV1, 3.7144% 7/25/35 (h) | | 25,000 | | 24,981 |
Class MV2, 3.7544% 7/25/35 (h) | | 25,000 | | 24,936 |
Class MV3, 3.7944% 7/25/35 (h) | | 25,000 | | 24,982 |
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1: | | | | |
Class B, 4.878% 6/15/35 (d) | | 32,000 | | 32,159 |
Class C, 5.074% 6/15/35 (d) | | 29,000 | | 29,138 |
Asset-Backed Securities - continued |
| Principal Amount | | Value
(Note 1) |
Discover Card Master Trust I Series 2003-4 Class B1, 3.55% 5/16/11 (h) | | $ 30,000 | | $ 30,167 |
Fremont Home Loan Trust: | | | | |
Series 2004-A: | | | | |
Class M1, 3.8644% 1/25/34 (h) | | 25,000 | | 25,034 |
Class M2, 4.4644% 1/25/34 (h) | | 25,000 | | 25,303 |
Series 2005-A: | | | | |
Class M1, 3.7444% 1/25/35 (h) | | 25,000 | | 24,960 |
Class M2, 3.7744% 1/25/35 (h) | | 25,000 | | 24,972 |
Class M3, 3.8044% 1/25/35 (h) | | 25,000 | | 25,009 |
Class M4, 3.9944% 1/25/35 (h) | | 25,000 | | 25,080 |
Long Beach Mortgage Loan Trust Series 2004-2 Class M1, 3.8444% 6/25/34 (h) | | 25,000 | | 25,062 |
Morgan Stanley Dean Witter Capital I Trust Series 2003-NC1 Class M1, 4.3644% 11/25/32 (h) | | 10,000 | | 10,073 |
National Collegiate Student Loan Trust Series 2005-GT1 Class AIO, 6.75% 12/25/09 (i) | | 50,000 | | 13,480 |
Park Place Securities, Inc. Series 2005-WCH1 Class M2, 3.8344% 1/25/35 (h) | | 25,000 | | 24,958 |
Volkswagen Auto Lease Trust Series 2005-A Class A4, 3.94% 10/20/10 | | 55,000 | | 54,822 |
TOTAL ASSET-BACKED SECURITIES (Cost $688,716) | 689,947 |
Collateralized Mortgage Obligations - 0.3% |
|
Private Sponsor - 0.2% |
Adjustable Rate Mortgage Trust floater: | | | | |
Series 2005-1 Class 5A2, 3.6444% 5/25/35 (h) | | 20,763 | | 20,785 |
Series 2005-2 Class 6A2, 3.5944% 6/25/35 (h) | | 21,989 | | 21,999 |
Series 2005-3 Class 8A2, 3.5544% 7/25/35 (h) | | 55,054 | | 55,030 |
Bear Stearns Alt-A Trust floater Series 2005-1 Class A1, 3.5944% 1/25/35 (h) | | 36,023 | | 36,023 |
CS First Boston Mortgage Securities Corp. floater: | | | | |
Series 2004-AR3 Class 6A2, 3.6844% 4/25/34 (h) | | 8,641 | | 8,650 |
Series 2004-AR5 Class 11A2, 3.6844% 6/25/34 (h) | | 13,131 | | 13,104 |
|
| Principal Amount | | Value
(Note 1) |
Impac CMB Trust floater Series 2005-1: | | | | |
Class M1, 3.7744% 4/25/35 (h) | | $ 23,349 | | $ 23,325 |
Class M2, 3.8144% 4/25/35 (h) | | 23,349 | | 23,332 |
Merrill Lynch Mortgage Investors, Inc. floater: | | | | |
Series 2005-A Class A2, 3.38% 2/25/30 (h) | | 37,894 | | 37,865 |
Series 2005-B Class A2, 3.75% 6/25/30 (h) | | 34,551 | | 34,551 |
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 3.53% 6/25/35 (h) | | 25,000 | | 25,000 |
Sequoia Mortgage Trust floater: | | | | |
Series 2005-1 Class A2, 3.1688% 2/20/35 (h) | | 27,963 | | 27,959 |
Series 2005-2 Class A2, 3.36% 3/20/35 (h) | | 35,145 | | 35,145 |
Wells Fargo Mortgage Backed Securities Trust: | | | | |
Series 2005-AR10 Class 2A2, 4.111% 6/25/65 (h) | | 44,055 | | 43,746 |
Series 2005-AR12 Class 2A6, 4.322% 7/25/35 (h) | | 50,000 | | 49,792 |
Series 2005-AR4 Class 2A2, 4.5419% 4/25/35 (h) | | 43,435 | | 43,332 |
Series 2005-AR9 Class 2A1, 4.3609% 5/25/35 (h) | | 23,841 | | 23,838 |
TOTAL PRIVATE SPONSOR | | 523,476 |
U.S. Government Agency - 0.1% |
Fannie Mae planned amortization class: | | | | |
Series 1999-54 Class PH, 6.5% 11/18/29 | | 100,000 | | 106,265 |
Series 1999-57 Class PH, 6.5% 12/25/29 | | 100,000 | | 105,923 |
Fannie Mae guaranteed REMIC pass thru certificates planned amortization class Series 2004-81 Class KD, 4.5% 4/25/17 | | 75,000 | | 75,242 |
TOTAL U.S. GOVERNMENT AGENCY | | 287,430 |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $779,851) | 810,906 |
Commercial Mortgage Securities - 0.3% |
|
Asset Securitization Corp. sequential pay Series 1995-MD4 Class A1, 7.1% 8/13/29 | | 34,512 | | 35,021 |
Bayview Commercial Asset Trust floater Series 2004-3 Class A1, 3.6844% 1/25/35 (d)(h) | | 48,334 | | 48,424 |
Commercial Mortgage Securities - continued |
| Principal Amount | | Value
(Note 1) |
COMM: | | | | |
floater: | | | | |
Series 2002-FL7 Class D, 3.79% 11/15/14 (d)(h) | | $ 10,000 | | $ 10,008 |
Series 2003-FL9 Class B, 3.72% 11/15/15 (d)(h) | | 9,988 | | 10,015 |
Series 2004-LBN2 Class X2, 1.0847% 3/10/39 (d)(h)(i) | | 58,544 | | 2,245 |
CS First Boston Mortgage Securities Corp.: | | | | |
sequential pay: | | | | |
Series 1999-C1 Class A2, 7.29% 9/15/41 | | 50,000 | | 54,975 |
Series 2004-C1 Class A3, 4.321% 1/15/37 | | 20,000 | | 19,915 |
Series 1998-C1 Class D, 7.17% 5/17/40 | | 15,000 | | 16,865 |
Series 2004-C1 Class ASP, 0.9379% 1/15/37 (d)(h)(i) | | 280,280 | | 10,470 |
Deutsche Mortgage & Asset Receiving Corp. sequential pay Series 1998-C1 Class D, 7.231% 6/15/31 | | 120,000 | | 129,333 |
Fannie Mae sequential pay Series 1999-10 Class MZ, 6.5% 9/17/38 | | 44,189 | | 48,616 |
GS Mortgage Securities Corp. II: | | | | |
sequential pay Series 2001-LIBA Class A2, 6.615% 2/14/16 (d) | | 25,000 | | 27,822 |
Series 1998-GLII Class E, 7.1906% 4/13/31 (h) | | 45,000 | | 47,391 |
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A Class B, 4.13% 11/20/37 (d) | | 100,000 | | 93,810 |
Morgan Stanley Capital I, Inc.: | | | | |
sequential pay Series 2004-HQ3 Class A2, 4.05% 1/13/41 | | 20,000 | | 19,803 |
Series 2005-IQ9 Class X2, 1.0828% 7/15/56 (d)(h)(i) | | 245,000 | | 12,681 |
Thirteen Affiliates of General Growth Properties, Inc. Series 1: | | | | |
Class D2, 6.992% 11/15/07 (d) | | 140,000 | | 147,753 |
|
| Principal Amount | | Value
(Note 1) |
Class E2, 7.224% 11/15/07 (d) | | $ 100,000 | | $ 106,207 |
Wachovia Bank Commercial Mortgage Trust sequential pay Series 2003-C6 Class A2, 4.498% 8/15/35 | | 30,000 | | 30,199 |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $840,757) | 871,553 |
Foreign Government and Government Agency
Obligations - 0.1% |
|
Chilean Republic 7.125% 1/11/12 | | 15,000 | | 17,244 |
Korean Republic 4.875% 9/22/14 | | 5,000 | | 5,078 |
United Mexican States: | | | | |
5.875% 1/15/14 | | 10,000 | | 10,435 |
6.75% 9/27/34 | | 25,000 | | 26,500 |
7.5% 4/8/33 | | 100,000 | | 115,250 |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $149,848) | 174,507 |
Fixed-Income Funds - 9.5% |
| | Shares | | |
Fidelity Floating Rate Central Investment Portfolio (b) | | 49,778 | | 4,984,271 |
Fidelity High Income Central Investment Portfolio 1 (b) | | 227,807 | | 22,138,249 |
TOTAL FIXED-INCOME FUNDS (Cost $26,461,442) | | 27,122,520 |
Money Market Funds - 12.6% |
| | | |
Fidelity Cash Central Fund, 3.21% (b)
(Cost $36,000,682) | | 36,000,682 | | 36,000,682 |
TOTAL INVESTMENT PORTFOLIO - 99.6% (Cost $265,002,788) | | | 283,931,850 |
NET OTHER ASSETS - 0.4% | | | 1,174,281 |
NET ASSETS - 100% | | $ 285,106,131 |
Futures Contracts |
| Expiration Date | | Underlying Face Amount at Value | | Unrealized Appreciation/
(Depreciation) |
Purchased |
Equity Index Contracts |
33 S&P 500 Index Contracts | Sept. 2005 | | $ 9,862,875 | | $ (87,615) |
|
The face value of futures purchased as a percentage of net assets - 3.5% |
Swap Agreements |
| | | Notional Amount | | Value |
Credit Default Swap |
Receive quarterly a fixed rate of .5% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 3, par value of the proportional notional amount (g) | March 2010 | | $ 75,000 | | $ (281) |
Receive quarterly a fixed rate of .7% multiplied by the notional amount and pay to Deutsche Bank, upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 3, par value of the proportional notional amount (g) | March 2015 | | 75,000 | | (765) |
TOTAL CREDIT DEFAULT SWAP | 150,000 | | (1,046) |
Interest Rate Swap |
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2010 | | 75,000 | | 963 |
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2015 | | 75,000 | | 2,828 |
TOTAL INTEREST RATE SWAP | 150,000 | | 3,791 |
|
| Expiration Date | | Notional Amount | | Value |
Total Return Swap |
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 20 basis points with Citibank | Oct. 2005 | | $ 75,000 | | $ 0 |
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 45 basis points with Lehman Brothers, Inc. | July 2005 | | 75,000 | | 692 |
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 10 basis points with Citibank | Oct. 2005 | | 105,000 | | 0 |
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 10 basis points with Goldman Sachs | July 2005 | | 105,000 | | 440 |
Swap Agreements - continued |
| Expiration Date | | Notional Amount | | Value |
Total Return Swap - continued |
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 20 basis points with Lehman Brothers, Inc. | March 2006 | | $ 545,000 | | $ 2,069 |
Receive quarterly a return equal to Banc of America Securities LLC AAA 10 Yr Commercial Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 40 basis points with Bank of America | Nov. 2005 | | 100,000 | | 2,000 |
TOTAL TOTAL RETURN SWAP | 150,000 | | 5,201 |
| | $ 1,005,000 | | $ 7,946 |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the money market fund's holdings as of its most recent quarter end is available upon request. A complete listing of the fixed-income central fund's holdings is provided at the end of this report. |
(c) Debt obligation initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(d) 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 period end, the value of these securities amounted to $953,021 or 0.3% of net assets. |
(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $596,552. |
(g) Dow Jones CDX N.A. Investment Grade 3 is a tradable index of credit default swaps on investment grade debt of U.S. companies. |
(h) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(i) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
Other Information |
The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited): |
U.S. Government and U.S. Government Agency Obligations | 4.9% |
AAA, AA, A | 1.1% |
BBB | 1.2% |
BB | 2.9% |
B | 4.7% |
CCC, CC, C | 1.0% |
Not Rated | 0.5% |
Equities | 73.9% |
Short-Term Investments and Net Other Assets | 9.8% |
Total | 100.0% |
We have used ratings from Moody's Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. Percentages are adjusted for the effect of futures contracts, if applicable. |
The percentages are based on the combined long-term debt holdings of the fund and its pro-rata share of the fixed-income central fund. |
Income Tax Information |
At December 31, 2004, the fund had a capital loss carryforward of approximately $68,821,848 of which $49,065,595, $11,142,366 and $8,613,887 will expire on December 31, 2009, 2010 and 2011, respectively. |
See accompanying notes which are an integral part of the financial statements.
Asset Manager: Growth Portfolio
Fidelity Variable Insurance Products: Asset Manager: Growth Portfolio
Financial Statements
Statement of Assets and Liabilities
| June 30, 2005 (Unaudited) |
Assets | | |
Investment in securities, at value (cost $265,002,788) - See accompanying schedule | | $ 283,931,850 |
Commitment to sell securities on a delayed delivery basis | (117,488) | |
Receivable for securities sold on a delayed delivery basis | 117,600 | 112 |
Receivable for investments sold, regular delivery | | 1,633,979 |
Foreign currency held at value (cost $1,414,232) | | 1,460,293 |
Receivable for fund shares sold | | 11,222 |
Dividends receivable | | 228,302 |
Interest receivable | | 410,500 |
Swap agreements, at value | | 7,946 |
Prepaid expenses | | 680 |
Other receivables | | 18,476 |
Total assets | | 287,703,360 |
| | |
Liabilities | | |
Payable for investments purchased
Regular delivery | $ 1,467,423 | |
Delayed delivery | 742,540 | |
Payable for fund shares redeemed | 78,478 | |
Accrued management fee | 137,539 | |
Distribution fees payable | 1,640 | |
Payable for daily variation on futures contracts | 61,050 | |
Other affiliated payables | 25,841 | |
Other payables and accrued expenses | 82,718 | |
Total liabilities | | 2,597,229 |
| | |
Net Assets | | $ 285,106,131 |
Net Assets consist of: | | |
Paid in capital | | $ 329,962,515 |
Undistributed net investment income | | 2,945,963 |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | | (66,695,949) |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | | 18,893,602 |
Net Assets | | $ 285,106,131 |
Initial Class:
Net Asset Value, offering price and redemption price per share ($273,616,777 ÷ 22,220,499 shares) | | $ 12.31 |
| | |
Service Class:
Net Asset Value, offering price and redemption price per share ($5,822,440 ÷ 475,914 shares) | | $ 12.23 |
| | |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($5,666,914 ÷ 465,449 shares) | | $ 12.18 |
Statement of Operations
| Six months ended June 30, 2005 (Unaudited) |
Investment Income | | |
Dividends | | $ 1,870,416 |
Interest | | 1,886,381 |
Security lending | | 1,773 |
Total income | | 3,758,570 |
| | |
Expenses | | |
Management fee | $ 850,308 | |
Transfer agent fees | 102,650 | |
Distribution fees | 10,145 | |
Accounting and security lending fees | 61,406 | |
Independent trustees' compensation | 687 | |
Custodian fees and expenses | 28,847 | |
Registration fees | 9 | |
Audit | 29,191 | |
Legal | 353 | |
Miscellaneous | 19,407 | |
Total expenses before reductions | 1,103,003 | |
Expense reductions | (19,052) | 1,083,951 |
Net investment income (loss) | | 2,674,619 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | | |
Investment securities | 4,383,292 | |
Foreign currency transactions | 22,513 | |
Futures contracts | (72,995) | |
Swap agreements | 25,460 | |
Total net realized gain (loss) | | 4,358,270 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (11,521,244) | |
Assets and liabilities in foreign currencies | (23,848) | |
Futures contracts | (155,777) | |
Swap agreements | 3,715 | |
Delayed delivery commitments | 112 | |
Total change in net unrealized appreciation (depreciation) | | (11,697,042) |
Net gain (loss) | | (7,338,772) |
Net increase (decrease) in net assets resulting from operations | | $ (4,664,153) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Asset Manager: Growth Portfolio
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended
June 30, 2005
(Unaudited) | Year ended
December 31,
2004 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income (loss) | $ 2,674,619 | $ 7,101,232 |
Net realized gain (loss) | 4,358,270 | 7,086,339 |
Change in net unrealized appreciation (depreciation) | (11,697,042) | 3,930,593 |
Net increase (decrease) in net assets resulting from operations | (4,664,153) | 18,118,164 |
Distributions to shareholders from net investment income | (7,156,575) | (7,897,225) |
Share transactions - net increase (decrease) | (21,516,729) | (40,448,482) |
Total increase (decrease) in net assets | (33,337,457) | (30,227,543) |
| | |
Net Assets | | |
Beginning of period | 318,443,588 | 348,671,131 |
End of period (including undistributed net investment income of $2,945,963 and undistributed net investment income of $7,446,942, respectively) | $ 285,106,131 | $ 318,443,588 |
Other Information: | | | |
Share Transactions | Six months ended June 30, 2005 (Unaudited) |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 216,448 | 75,552 | 95,954 |
Reinvested | 553,123 | 11,794 | 9,613 |
Redeemed | (2,498,103) | (76,792) | (147,399) |
Net increase (decrease) | (1,728,532) | 10,554 | (41,832) |
| | | |
Dollars Sold | $ 2,668,943 | $ 935,333 | $ 1,169,824 |
Reinvested | 6,891,918 | 146,131 | 118,526 |
Redeemed | (30,709,160) | (934,439) | (1,803,805) |
Net increase (decrease) | $ (21,148,299) | $ 147,025 | $ (515,455) |
| | | |
Share Transactions | Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 1,551,941 | 19,730 | 208,638 |
Reinvested | 611,000 | 11,814 | 12,205 |
Redeemed | (5,399,771) | (112,237) | (262,595) |
Net increase (decrease) | (3,236,830) | (80,693) | (41,752) |
| | | |
Dollars Sold | $ 19,043,356 | $ 237,067 | $ 2,533,515 |
Reinvested | 7,600,835 | 146,142 | 150,249 |
Redeemed | (65,636,699) | (1,359,267) | (3,163,680) |
Net increase (decrease) | $ (38,992,508) | $ (976,058) | $ (479,916) |
| | | |
Distributions | Six months ended June 30, 2005 (Unaudited) |
| Initial Class | Service Class | Service Class 2 |
From net investment income | $ 6,891,918 | $ 146,131 | $ 118,526 |
| | | |
| Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
From net investment income | $ 7,600,835 | $ 146,142 | $ 150,249 |
| | | |
| | | |
See accompanying notes which are an integral part of the financial statements.
Asset Manager: Growth Portfolio
Financial Highlights - Initial Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 12.78 | $ 12.33 | $ 10.33 | $ 12.56 | $ 14.41 | $ 18.38 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .11 | .26 F | .26 | .32 | .32 | .42 |
Net realized and unrealized gain (loss) | (.28) | .47 | 2.06 | (2.23) | (1.31) | (2.52) |
Total from investment operations | (.17) | .73 | 2.32 | (1.91) | (.99) | (2.10) |
Distributions from net investment income | (.30) | (.28) | (.32) | (.32) | (.39) | (.37) |
Distributions from net realized gain | - | - | - | - | (.47) | (1.50) |
Total distributions | (.30) | (.28) | (.32) | (.32) | (.86) | (1.87) |
Net asset value, end of period | $ 12.31 | $ 12.78 | $ 12.33 | $ 10.33 | $ 12.56 | $ 14.41 |
Total Return B, C, D | (1.40)% | 5.98% | 23.34% | (15.53)% | (7.39)% | (12.47)% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | .74% A | .75% | .73% | .73% | .73% | .69% |
Expenses net of voluntary waivers, if any | .74% A | .75% | .73% | .73% | .73% | .69% |
Expenses net of all reductions | .72% A | .74% | .72% | .69% | .72% | .68% |
Net investment income (loss) | 1.81% A | 2.15% | 2.33% | 2.88% | 2.55% | 2.61% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 273,617 | $ 306,137 | $ 335,285 | $ 284,298 | $ 399,273 | $ 482,165 |
Portfolio turnover rate | 32% A | 57% | 65% | 149% | 111% | 147% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.04 per share.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
Financial Highlights - Service Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 12.69 | $ 12.25 | $ 10.27 | $ 12.47 | $ 14.32 | $ 18.28 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .10 | .25 F | .24 | .30 | .31 | .40 |
Net realized and unrealized gain (loss) | (.28) | .46 | 2.05 | (2.20) | (1.32) | (2.50) |
Total from investment operations | (.18) | .71 | 2.29 | (1.90) | (1.01) | (2.10) |
Distributions from net investment income | (.28) | (.27) | (.31) | (.30) | (.37) | (.36) |
Distributions from net realized gain | - | - | - | - | (.47) | (1.50) |
Total distributions | (.28) | (.27) | (.31) | (.30) | (.84) | (1.86) |
Net asset value, end of period | $ 12.23 | $ 12.69 | $ 12.25 | $ 10.27 | $ 12.47 | $ 14.32 |
Total Return B, C, D | (1.45)% | 5.85% | 23.15% | (15.54)% | (7.57)% | (12.54)% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | .84% A | .88% | .85% | .84% | .83% | .80% |
Expenses net of voluntary waivers, if any | .84% A | .88% | .85% | .84% | .83% | .80% |
Expenses net of all reductions | .82% A | .87% | .84% | .80% | .82% | .79% |
Net investment income (loss) | 1.71% A | 2.02% | 2.21% | 2.77% | 2.44% | 2.50% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 5,822 | $ 5,907 | $ 6,692 | $ 6,105 | $ 9,542 | $ 12,449 |
Portfolio turnover rate | 32% A | 57% | 65% | 149% | 111% | 147% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.04 per share.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Service Class 2
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000H |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 12.61 | $ 12.19 | $ 10.21 | $ 12.43 | $ 14.30 | $ 17.78 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .09 | .22 F | .22 | .28 | .28 | .34 |
Net realized and unrealized gain (loss) | (.27) | .46 | 2.05 | (2.21) | (1.30) | (1.96) |
Total from investment operations | (.18) | .68 | 2.27 | (1.93) | (1.02) | (1.62) |
Distributions from net investment income | (.25) | (.26) | (.29) | (.29) | (.38) | (.36) |
Distributions from net realized gain | - | - | - | - | (.47) | (1.50) |
Total distributions | (.25) | (.26) | (.29) | (.29) | (.85) | (1.86) |
Net asset value, end of period | $ 12.18 | $ 12.61 | $ 12.19 | $ 10.21 | $ 12.43 | $ 14.30 |
Total Return B, C, D | (1.45)% | 5.63% | 23.03% | (15.83)% | (7.66)% | (10.21)% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | 1.03% A | 1.06% | 1.05% | 1.03% | 1.00% | .97%A |
Expenses net of voluntary waivers, if any | 1.03% A | 1.06% | 1.05% | 1.03% | 1.00% | .97%A |
Expenses net of all reductions | 1.02% A | 1.05% | 1.04% | .99% | .99% | .95%A |
Net investment income (loss) | 1.51% A | 1.84% | 2.01% | 2.58% | 2.28% | 2.33%A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 5,667 | $ 6,399 | $ 6,694 | $ 4,044 | $ 5,213 | $ 3,091 |
Portfolio turnover rate | 32% A | 57% | 65% | 149% | 111% | 147% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.04 per share.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
H For the period January 12, 2000 (commencement of sale of shares) to December 31, 2000.
See accompanying notes which are an integral part of the financial statements.
Asset Manager: Growth Portfolio
Fidelity Variable Insurance Products: Balanced Portfolio
Investment Changes
Top Five Stocks as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Halliburton Co. | 2.3 | 0.0 |
General Electric Co. | 2.0 | 1.4 |
Bank of America Corp. | 1.4 | 0.0 |
Citigroup, Inc. | 1.3 | 0.0 |
American International Group, Inc. | 1.2 | 1.3 |
| 8.2 | |
Top Five Bond Issuers as of June 30, 2005 |
(with maturities greater than one year) | % of fund's
net assets | % of fund's net assets
6 months ago |
Fannie Mae | 11.1 | 10.1 |
U.S. Treasury Obligations | 5.6 | 7.7 |
Freddie Mac | 1.4 | 0.8 |
CS First Boston Mortgage Securities Corp. | 0.4 | 0.4 |
Goldman Sachs Group, Inc. | 0.3 | 0.2 |
| 18.8 | |
Top Five Market Sectors as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Financials | 13.8 | 16.7 |
Information Technology | 9.2 | 4.1 |
Industrials | 8.6 | 3.6 |
Energy | 8.2 | 4.0 |
Consumer Discretionary | 8.1 | 15.8 |
Asset Allocation (% of fund's net assets) |
As of June 30, 2005 * | As of December 31, 2004 ** |
| Stocks 63.2% | | | Stocks 55.9% | |
 | Bonds 33.1% | | | Bonds 36.3% | |
 | Short-Term Investments
and Net Other Assets 3.7% | | | Short-Term Investments
and Net Other Assets 7.7% | |
| Other Investments 0.0% | | | Other Investments 0.1% | |
* Foreign investments | 7.3% | | ** Foreign investments | 5.0% | |
Percentages are adjusted for the effect of futures contracts and swaps, if applicable. |
Semiannual Report
Fidelity Variable Insurance Products: Balanced Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 63.2% |
| Shares | | Value (Note 1) |
CONSUMER DISCRETIONARY - 6.9% |
Auto Components - 0.3% |
American Axle & Manufacturing Holdings, Inc. | 19,800 | | $ 500,346 |
TRW Automotive Holdings Corp. (a) | 15,700 | | 384,807 |
| | 885,153 |
Diversified Consumer Services - 0.2% |
Career Education Corp. (a) | 11,500 | | 421,015 |
Carriage Services, Inc. Class A (a) | 3,700 | | 22,385 |
Education Management Corp. (a) | 2,900 | | 97,817 |
Service Corp. International (SCI) | 4,500 | | 36,090 |
| | 577,307 |
Hotels, Restaurants & Leisure - 0.8% |
Brinker International, Inc. (a) | 7,300 | | 292,365 |
Carnival Corp. unit | 4,300 | | 234,565 |
Kerzner International Ltd. (a) | 8,900 | | 506,855 |
McDonald's Corp. | 28,800 | | 799,200 |
Outback Steakhouse, Inc. | 3,700 | | 167,388 |
Royal Caribbean Cruises Ltd. | 12,000 | | 580,320 |
Ruby Tuesday, Inc. | 500 | | 12,950 |
Six Flags, Inc. (a) | 19,100 | | 88,815 |
| | 2,682,458 |
Household Durables - 1.4% |
D.R. Horton, Inc. | 15,000 | | 564,150 |
KB Home | 11,300 | | 861,399 |
LG Electronics, Inc. | 6,960 | | 442,695 |
Ryland Group, Inc. | 8,300 | | 629,721 |
Sony Corp. sponsored ADR | 5,700 | | 196,308 |
Standard Pacific Corp. | 4,700 | | 413,365 |
Techtronic Industries Co. Ltd. | 174,500 | | 441,246 |
Tempur-Pedic International, Inc. (a) | 5,900 | | 130,862 |
Toll Brothers, Inc. (a) | 10,500 | | 1,066,275 |
| | 4,746,021 |
Internet & Catalog Retail - 0.1% |
eBay, Inc. (a) | 10,600 | | 349,906 |
Leisure Equipment & Products - 0.1% |
Brunswick Corp. | 8,900 | | 385,548 |
Media - 3.0% |
ADVO, Inc. | 5,400 | | 171,990 |
E.W. Scripps Co. Class A | 48,400 | | 2,361,920 |
EchoStar Communications Corp. Class A | 22,436 | | 676,445 |
Gestevision Telecinco SA | 11,000 | | 257,714 |
Harte-Hanks, Inc. | 4,100 | | 121,893 |
Lagardere S.C.A. (Reg.) | 5,200 | | 385,433 |
Liberty Global, Inc. Class A (a) | 13,000 | | 606,710 |
Liberty Media Corp. Class A (a) | 55,200 | | 562,488 |
McGraw-Hill Companies, Inc. | 6,000 | | 265,500 |
News Corp. Class A | 44,700 | | 723,246 |
NTL, Inc. (a) | 19,400 | | 1,327,348 |
Omnicom Group, Inc. | 3,600 | | 287,496 |
|
| Shares | | Value (Note 1) |
Radio One, Inc. Class D (non-vtg.) (a) | 10,900 | | $ 139,193 |
Salem Communications Corp. Class A (a) | 6,300 | | 124,992 |
SBS Broadcasting SA (a) | 2,800 | | 131,964 |
SES Global unit | 11,906 | | 176,499 |
The DIRECTV Group, Inc. (a) | 18,800 | | 291,400 |
TVN SA | 16,400 | | 240,649 |
Vivendi Universal SA sponsored ADR | 7,400 | | 231,842 |
Walt Disney Co. | 30,800 | | 775,544 |
| | 9,860,266 |
Multiline Retail - 0.3% |
Federated Department Stores, Inc. | 4,000 | | 293,120 |
Fred's, Inc. Class A | 18,600 | | 308,388 |
JCPenney Co., Inc. | 5,900 | | 310,222 |
| | 911,730 |
Specialty Retail - 0.7% |
Aeropostale, Inc. (a) | 8,900 | | 299,040 |
Big 5 Sporting Goods Corp. | 9,500 | | 269,610 |
Foot Locker, Inc. | 17,100 | | 465,462 |
Home Depot, Inc. | 9,200 | | 357,880 |
Pacific Sunwear of California, Inc. (a) | 12,900 | | 296,571 |
Ross Stores, Inc. | 7,100 | | 205,261 |
Sonic Automotive, Inc. Class A (sub. vtg.) | 2,300 | | 48,898 |
Staples, Inc. | 6,100 | | 130,052 |
The Pep Boys - Manny, Moe & Jack | 22,700 | | 307,358 |
| | 2,380,132 |
TOTAL CONSUMER DISCRETIONARY | | 22,778,521 |
CONSUMER STAPLES - 3.8% |
Beverages - 0.3% |
Coca-Cola Enterprises, Inc. | 6,300 | | 138,663 |
Diageo PLC sponsored ADR | 400 | | 23,720 |
The Coca-Cola Co. | 17,100 | | 713,925 |
| | 876,308 |
Food & Staples Retailing - 0.7% |
CVS Corp. | 26,300 | | 764,541 |
Jean Coutu Group, Inc. Class A (sub. vtg.) | 17,300 | | 263,058 |
Rite Aid Corp. (a) | 18,800 | | 78,584 |
Wal-Mart Stores, Inc. | 23,000 | | 1,108,600 |
Walgreen Co. | 1,700 | | 78,183 |
| | 2,292,966 |
Food Products - 0.9% |
Archer-Daniels-Midland Co. | 3,500 | | 74,830 |
Bunge Ltd. | 6,200 | | 393,080 |
Corn Products International, Inc. | 19,300 | | 458,568 |
Dean Foods Co. (a) | 12,200 | | 429,928 |
General Mills, Inc. | 7,100 | | 332,209 |
Groupe Danone | 2,400 | | 211,147 |
Kellogg Co. | 5,500 | | 244,420 |
McCormick & Co., Inc. (non-vtg.) | 11,200 | | 366,016 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
CONSUMER STAPLES - continued |
Food Products - continued |
The J.M. Smucker Co. | 8,200 | | $ 384,908 |
TreeHouse Foods, Inc. (a) | 3,240 | | 92,372 |
| | 2,987,478 |
Household Products - 0.2% |
Colgate-Palmolive Co. | 13,800 | | 688,758 |
Spectrum Brands, Inc. (a) | 5,400 | | 178,200 |
| | 866,958 |
Personal Products - 0.5% |
Alberto-Culver Co. | 4,600 | | 199,318 |
Gillette Co. | 29,900 | | 1,513,837 |
| | 1,713,155 |
Tobacco - 1.2% |
Altria Group, Inc. | 59,350 | | 3,837,571 |
TOTAL CONSUMER STAPLES | | 12,574,436 |
ENERGY - 7.3% |
Energy Equipment & Services - 5.1% |
BJ Services Co. | 65,000 | | 3,411,200 |
Grey Wolf, Inc. (a) | 69,200 | | 512,772 |
Halliburton Co. | 158,900 | | 7,598,598 |
Maverick Tube Corp. (a) | 2,500 | | 74,500 |
Nabors Industries Ltd. (a) | 6,000 | | 363,720 |
Pride International, Inc. (a) | 124,500 | | 3,199,650 |
Weatherford International Ltd. (a) | 26,200 | | 1,519,076 |
| | 16,679,516 |
Oil, Gas & Consumable Fuels - 2.2% |
Ashland, Inc. | 10,200 | | 733,074 |
Cabot Oil & Gas Corp. | 6,500 | | 225,550 |
Chesapeake Energy Corp. | 23,900 | | 544,920 |
El Paso Corp. | 4,500 | | 51,840 |
EnCana Corp. | 17,500 | | 690,316 |
Giant Industries, Inc. (a) | 1,200 | | 43,200 |
Holly Corp. | 15,300 | | 714,051 |
Massey Energy Co. | 4,500 | | 169,740 |
McMoRan Exploration Co. (a) | 7,900 | | 154,129 |
Penn Virginia Corp. | 5,000 | | 223,350 |
Petroleum Development Corp. (a) | 3,900 | | 124,215 |
Plains Exploration & Production Co. (a) | 7,500 | | 266,475 |
Range Resources Corp. | 15,300 | | 411,570 |
Ultra Petroleum Corp. (a) | 1,600 | | 48,576 |
Valero Energy Corp. | 38,100 | | 3,014,091 |
| | 7,415,097 |
TOTAL ENERGY | | 24,094,613 |
FINANCIALS - 11.5% |
Capital Markets - 1.2% |
E*TRADE Financial Corp. (a) | 27,700 | | 387,523 |
|
| Shares | | Value (Note 1) |
Goldman Sachs Group, Inc. | 6,200 | | $ 632,524 |
Lehman Brothers Holdings, Inc. | 9,700 | | 963,016 |
Merrill Lynch & Co., Inc. | 24,300 | | 1,336,743 |
Nuveen Investments, Inc. Class A | 8,800 | | 331,056 |
State Street Corp. | 5,700 | | 275,025 |
| | 3,925,887 |
Commercial Banks - 2.9% |
Bank of America Corp. | 97,600 | | 4,451,536 |
Cathay General Bancorp | 1,900 | | 64,049 |
HDFC Bank Ltd. sponsored ADR | 2,800 | | 130,228 |
North Fork Bancorp, Inc., New York | 19,500 | | 547,755 |
PrivateBancorp, Inc. | 700 | | 24,766 |
SVB Financial Group (a) | 8,500 | | 407,150 |
UCBH Holdings, Inc. | 36,800 | | 597,632 |
UnionBanCal Corp. | 3,800 | | 254,296 |
Wachovia Corp. | 40,300 | | 1,998,880 |
Wells Fargo & Co. | 7,400 | | 455,692 |
Wilshire Bancorp, Inc. | 16,700 | | 239,311 |
Wintrust Financial Corp. | 5,900 | | 308,865 |
| | 9,480,160 |
Consumer Finance - 0.3% |
American Express Co. | 9,900 | | 526,977 |
Capital One Financial Corp. | 6,200 | | 496,062 |
MBNA Corp. | 4,800 | | 125,568 |
| | 1,148,607 |
Diversified Financial Services - 2.0% |
Citigroup, Inc. | 95,000 | | 4,391,850 |
JPMorgan Chase & Co. | 65,000 | | 2,295,800 |
| | 6,687,650 |
Insurance - 2.6% |
AFLAC, Inc. | 13,900 | | 601,592 |
AMBAC Financial Group, Inc. | 5,400 | | 376,704 |
American International Group, Inc. | 69,150 | | 4,017,615 |
Assurant, Inc. | 6,900 | | 249,090 |
Conseco, Inc. (a) | 7,300 | | 159,286 |
Fidelity National Financial, Inc. | 4,800 | | 171,312 |
Genworth Financial, Inc. Class A (non-vtg.) | 8,665 | | 261,943 |
Hartford Financial Services Group, Inc. | 10,200 | | 762,756 |
Hilb Rogal & Hobbs Co. | 5,400 | | 185,760 |
MBIA, Inc. | 12,200 | | 723,582 |
Specialty Underwriters' Alliance, Inc. | 5,000 | | 45,650 |
The St. Paul Travelers Companies, Inc. | 15,249 | | 602,793 |
Universal American Financial Corp. (a) | 7,100 | | 160,602 |
USI Holdings Corp. (a) | 17,900 | | 230,552 |
| | 8,549,237 |
Real Estate - 0.6% |
Alexandria Real Estate Equities, Inc. | 1,100 | | 80,795 |
CBL & Associates Properties, Inc. | 3,700 | | 159,359 |
Corporate Office Properties Trust (SBI) | 2,200 | | 64,790 |
Equity Office Properties Trust | 6,000 | | 198,600 |
Equity Residential (SBI) | 10,600 | | 390,292 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
FINANCIALS - continued |
Real Estate - continued |
General Growth Properties, Inc. | 7,200 | | $ 295,848 |
Highwoods Properties, Inc. (SBI) | 2,300 | | 68,448 |
Reckson Associates Realty Corp. | 5,700 | | 191,235 |
Trizec Properties, Inc. | 10,900 | | 224,213 |
Vornado Realty Trust | 3,300 | | 265,320 |
| | 1,938,900 |
Thrifts & Mortgage Finance - 1.9% |
Countrywide Financial Corp. | 15,000 | | 579,150 |
Fannie Mae | 8,600 | | 502,240 |
Fidelity Bankshares, Inc. | 7,400 | | 196,248 |
First Niagara Financial Group, Inc. | 4,500 | | 65,610 |
Freddie Mac | 24,900 | | 1,624,227 |
Golden West Financial Corp., Delaware | 3,500 | | 225,330 |
Hudson City Bancorp, Inc. | 23,800 | | 271,558 |
KNBT Bancorp, Inc. | 2,500 | | 37,725 |
MGIC Investment Corp. | 2,300 | | 150,006 |
NetBank, Inc. | 22,500 | | 209,700 |
New York Community Bancorp, Inc. | 22,600 | | 409,512 |
NewAlliance Bancshares, Inc. | 17,900 | | 251,495 |
R&G Financial Corp. Class B | 41,700 | | 737,673 |
Sovereign Bancorp, Inc. | 36,400 | | 813,176 |
W Holding Co., Inc. | 6,300 | | 64,386 |
| | 6,138,036 |
TOTAL FINANCIALS | | 37,868,477 |
HEALTH CARE - 7.7% |
Biotechnology - 0.5% |
Alkermes, Inc. (a) | 17,900 | | 236,638 |
Angiotech Pharmaceuticals, Inc. (a) | 10,300 | | 141,823 |
Biogen Idec, Inc. (a) | 4,300 | | 148,135 |
Genentech, Inc. (a) | 4,100 | | 329,148 |
MedImmune, Inc. (a) | 4,000 | | 106,880 |
ONYX Pharmaceuticals, Inc. (a) | 6,300 | | 150,444 |
OSI Pharmaceuticals, Inc. (a) | 9,100 | | 371,917 |
Serologicals Corp. (a) | 3,600 | | 76,500 |
| | 1,561,485 |
Health Care Equipment & Supplies - 2.3% |
Alcon, Inc. | 2,400 | | 262,440 |
Bausch & Lomb, Inc. | 2,800 | | 232,400 |
Baxter International, Inc. | 21,100 | | 782,810 |
Beckman Coulter, Inc. | 3,900 | | 247,923 |
Becton, Dickinson & Co. | 3,600 | | 188,892 |
C.R. Bard, Inc. | 3,200 | | 212,832 |
CONMED Corp. (a) | 2,600 | | 80,002 |
Cytyc Corp. (a) | 2,900 | | 63,974 |
Dade Behring Holdings, Inc. | 18,600 | | 1,209,186 |
Edwards Lifesciences Corp. (a) | 10,200 | | 438,804 |
Fisher Scientific International, Inc. (a) | 5,700 | | 369,930 |
Guidant Corp. | 4,100 | | 275,930 |
|
| Shares | | Value (Note 1) |
Medtronic, Inc. | 10,100 | | $ 523,079 |
ResMed, Inc. (a) | 5,200 | | 343,148 |
St. Jude Medical, Inc. (a) | 10,900 | | 475,349 |
Synthes, Inc. | 3,897 | | 427,814 |
Thermo Electron Corp. (a) | 17,000 | | 456,790 |
Varian, Inc. (a) | 9,400 | | 355,226 |
Waters Corp. (a) | 16,500 | | 613,305 |
| | 7,559,834 |
Health Care Providers & Services - 3.0% |
Aetna, Inc. | 5,100 | | 422,382 |
AmerisourceBergen Corp. | 2,700 | | 186,705 |
Cardinal Health, Inc. | 21,700 | | 1,249,486 |
Caremark Rx, Inc. (a) | 8,600 | | 382,872 |
Cerner Corp. (a) | 3,800 | | 258,286 |
DaVita, Inc. (a) | 5,000 | | 227,400 |
Health Net, Inc. (a) | 14,600 | | 557,136 |
Humana, Inc. (a) | 5,100 | | 202,674 |
McKesson Corp. | 21,800 | | 976,422 |
Medco Health Solutions, Inc. (a) | 4,800 | | 256,128 |
Omnicare, Inc. | 7,100 | | 301,253 |
PacifiCare Health Systems, Inc. (a) | 15,100 | | 1,078,895 |
Pediatrix Medical Group, Inc. (a) | 4,900 | | 360,346 |
Sierra Health Services, Inc. (a) | 2,200 | | 157,212 |
Sunrise Senior Living, Inc. (a) | 3,000 | | 161,940 |
UnitedHealth Group, Inc. | 49,400 | | 2,575,716 |
WebMD Corp. (a) | 3,200 | | 32,864 |
WellPoint, Inc. (a) | 6,000 | | 417,840 |
| | 9,805,557 |
Pharmaceuticals - 1.9% |
Abbott Laboratories | 6,500 | | 318,565 |
Atherogenics, Inc. (a) | 4,500 | | 71,910 |
Barr Pharmaceuticals, Inc. (a) | 8,500 | | 414,290 |
Connetics Corp. (a) | 32,900 | | 580,356 |
Endo Pharmaceuticals Holdings, Inc. (a) | 11,400 | | 299,592 |
IVAX Corp. (a) | 13,100 | | 281,650 |
Johnson & Johnson | 6,900 | | 448,500 |
Pfizer, Inc. | 66,800 | | 1,842,344 |
Schering-Plough Corp. | 47,800 | | 911,068 |
Wyeth | 24,500 | | 1,090,250 |
| | 6,258,525 |
TOTAL HEALTH CARE | | 25,185,401 |
INDUSTRIALS - 8.1% |
Aerospace & Defense - 1.7% |
BE Aerospace, Inc. (a) | 12,500 | | 195,375 |
EADS NV | 16,500 | | 526,143 |
Goodrich Corp. | 17,200 | | 704,512 |
Honeywell International, Inc. | 23,900 | | 875,457 |
Lockheed Martin Corp. | 9,800 | | 635,726 |
Northrop Grumman Corp. | 8,300 | | 458,575 |
Precision Castparts Corp. | 8,600 | | 669,940 |
Raytheon Co. | 5,400 | | 211,248 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INDUSTRIALS - continued |
Aerospace & Defense - continued |
Rockwell Collins, Inc. | 6,400 | | $ 305,152 |
United Technologies Corp. | 18,600 | | 955,110 |
| | 5,537,238 |
Air Freight & Logistics - 0.1% |
EGL, Inc. (a) | 14,000 | | 284,480 |
UTI Worldwide, Inc. | 2,700 | | 187,974 |
| | 472,454 |
Airlines - 0.4% |
ACE Aviation Holdings, Inc. Class A (a) | 8,400 | | 273,213 |
AirTran Holdings, Inc. (a) | 67,200 | | 620,256 |
Delta Air Lines, Inc. (a) | 23,300 | | 87,608 |
Frontier Airlines, Inc. (a) | 22,400 | | 231,392 |
Northwest Airlines Corp. (a) | 2,400 | | 10,944 |
| | 1,223,413 |
Building Products - 0.1% |
American Standard Companies, Inc. | 4,300 | | 180,256 |
Masco Corp. | 5,900 | | 187,384 |
| | 367,640 |
Commercial Services & Supplies - 0.3% |
Cendant Corp. | 26,000 | | 581,620 |
Corrections Corp. of America (a) | 3,900 | | 153,075 |
Herman Miller, Inc. | 7,700 | | 237,468 |
Steelcase, Inc. Class A | 4,100 | | 56,785 |
| | 1,028,948 |
Construction & Engineering - 1.1% |
Dycom Industries, Inc. (a) | 30,600 | | 606,186 |
Foster Wheeler Ltd. (a) | 26,800 | | 526,888 |
Granite Construction, Inc. | 21,700 | | 609,770 |
Jacobs Engineering Group, Inc. (a) | 6,800 | | 382,568 |
MasTec, Inc. (a) | 34,200 | | 300,960 |
URS Corp. (a) | 28,800 | | 1,075,680 |
Washington Group International, Inc. (a) | 1,600 | | 81,792 |
| | 3,583,844 |
Electrical Equipment - 0.2% |
A.O. Smith Corp. | 8,300 | | 221,693 |
ABB Ltd. sponsored ADR (a) | 33,800 | | 218,686 |
Acuity Brands, Inc. | 4,400 | | 113,036 |
American Power Conversion Corp. | 8,700 | | 205,233 |
Cooper Industries Ltd. Class A | 700 | | 44,730 |
| | 803,378 |
Industrial Conglomerates - 2.5% |
General Electric Co. | 186,000 | | 6,444,900 |
Smiths Group PLC | 5,200 | | 85,622 |
Tyco International Ltd. | 54,400 | | 1,588,480 |
| | 8,119,002 |
Machinery - 0.8% |
Albany International Corp. Class A | 4,700 | | 150,917 |
Atlas Copco AB (B Shares) | 12,400 | | 178,716 |
|
| Shares | | Value (Note 1) |
Briggs & Stratton Corp. | 6,400 | | $ 221,568 |
Danaher Corp. | 3,600 | | 188,424 |
Gardner Denver, Inc. (a) | 4,200 | | 147,336 |
Manitowoc Co., Inc. | 3,600 | | 147,672 |
SPX Corp. | 10,500 | | 482,790 |
Timken Co. | 25,900 | | 598,290 |
Wabash National Corp. | 10,600 | | 256,838 |
Watts Water Technologies, Inc. Class A | 11,200 | | 375,088 |
| | 2,747,639 |
Marine - 0.1% |
Alexander & Baldwin, Inc. | 4,200 | | 194,670 |
Road & Rail - 0.5% |
Burlington Northern Santa Fe Corp. | 10,400 | | 489,632 |
Laidlaw International, Inc. (a) | 15,600 | | 375,960 |
Norfolk Southern Corp. | 20,800 | | 643,968 |
| | 1,509,560 |
Trading Companies & Distributors - 0.3% |
UAP Holding Corp. | 11,300 | | 187,580 |
WESCO International, Inc. (a) | 23,000 | | 721,740 |
| | 909,320 |
TOTAL INDUSTRIALS | | 26,497,106 |
INFORMATION TECHNOLOGY - 8.8% |
Communications Equipment - 0.9% |
Andrew Corp. (a) | 11,500 | | 146,740 |
Avaya, Inc. (a) | 75,100 | | 624,832 |
Avocent Corp. (a) | 8,500 | | 222,190 |
Cisco Systems, Inc. (a) | 13,900 | | 265,629 |
Harris Corp. | 9,300 | | 290,253 |
Juniper Networks, Inc. (a) | 7,700 | | 193,886 |
Motorola, Inc. | 40,100 | | 732,226 |
QUALCOMM, Inc. | 9,900 | | 326,799 |
| | 2,802,555 |
Computers & Peripherals - 1.0% |
Hewlett-Packard Co. | 44,000 | | 1,034,440 |
Lexmark International, Inc. Class A (a) | 2,900 | | 188,007 |
Maxtor Corp. (a) | 127,400 | | 662,480 |
McDATA Corp. Class A (a) | 52,400 | | 209,600 |
Seagate Technology | 44,300 | | 777,465 |
Western Digital Corp. (a) | 40,700 | | 546,194 |
| | 3,418,186 |
Electronic Equipment & Instruments - 2.0% |
Agilent Technologies, Inc. (a) | 29,800 | | 685,996 |
Bell Microproducts, Inc. (a) | 24,800 | | 233,120 |
Celestica, Inc. (sub. vtg.) (a) | 66,700 | | 892,818 |
Flextronics International Ltd. (a) | 77,300 | | 1,021,133 |
Hon Hai Precision Industries Co. Ltd. unit | 38,500 | | 398,475 |
Ingram Micro, Inc. Class A (a) | 35,900 | | 562,194 |
KEMET Corp. (a) | 10,000 | | 63,000 |
Mettler-Toledo International, Inc. (a) | 5,500 | | 256,190 |
Molex, Inc. | 8,600 | | 223,944 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
INFORMATION TECHNOLOGY - continued |
Electronic Equipment & Instruments - continued |
Sanmina-SCI Corp. (a) | 67,600 | | $ 369,772 |
Solectron Corp. (a) | 163,300 | | 618,907 |
Symbol Technologies, Inc. | 63,900 | | 630,693 |
Tech Data Corp. (a) | 5,700 | | 208,677 |
Tektronix, Inc. | 11,900 | | 276,913 |
Vishay Intertechnology, Inc. (a) | 15,100 | | 179,237 |
| | 6,621,069 |
Internet Software & Services - 0.2% |
Yahoo!, Inc. (a) | 18,500 | | 641,025 |
IT Services - 0.3% |
BearingPoint, Inc. (a) | 28,600 | | 209,638 |
Ceridian Corp. (a) | 26,500 | | 516,220 |
Wright Express Corp. | 5,900 | | 108,973 |
| | 834,831 |
Office Electronics - 0.2% |
Xerox Corp. (a) | 52,400 | | 722,596 |
Semiconductors & Semiconductor Equipment - 3.0% |
Agere Systems, Inc. (a) | 97,700 | | 1,172,400 |
Amkor Technology, Inc. (a) | 44,200 | | 198,900 |
Analog Devices, Inc. | 3,600 | | 134,316 |
Applied Materials, Inc. | 4,100 | | 66,338 |
ASML Holding NV (NY Shares) (a) | 34,400 | | 538,704 |
ATMI, Inc. (a) | 47,400 | | 1,375,074 |
Axcelis Technologies, Inc. (a) | 70,900 | | 486,374 |
Cascade Microtech, Inc. | 8,700 | | 127,020 |
Conexant Systems, Inc. (a) | 42,400 | | 68,264 |
Credence Systems Corp. (a) | 70,100 | | 634,405 |
Cymer, Inc. (a) | 14,900 | | 392,615 |
Cypress Semiconductor Corp. (a) | 13,700 | | 172,483 |
Fairchild Semiconductor International, Inc. (a) | 56,000 | | 826,000 |
Integrated Device Technology, Inc. (a) | 7,000 | | 75,250 |
Intel Corp. | 4,700 | | 122,482 |
Intersil Corp. Class A | 44,200 | | 829,634 |
LTX Corp. (a) | 88,200 | | 437,472 |
Microchip Technology, Inc. | 5,000 | | 148,100 |
National Semiconductor Corp. | 54,100 | | 1,191,823 |
ON Semiconductor Corp. (a) | 28,400 | | 130,640 |
Samsung Electronics Co. Ltd. | 840 | | 401,122 |
Silicon Laboratories, Inc. (a) | 11,300 | | 296,173 |
Vitesse Semiconductor Corp. (a) | 39,900 | | 83,391 |
| | 9,908,980 |
Software - 1.2% |
Activision, Inc. (a) | 6,300 | | 104,076 |
BEA Systems, Inc. (a) | 60,100 | | 527,678 |
Cadence Design Systems, Inc. (a) | 24,500 | | 334,670 |
Citrix Systems, Inc. (a) | 5,300 | | 114,798 |
Cognos, Inc. (a) | 4,800 | | 163,918 |
FileNET Corp. (a) | 6,600 | | 165,924 |
|
| Shares | | Value (Note 1) |
Hyperion Solutions Corp. (a) | 2,600 | | $ 104,624 |
Macromedia, Inc. (a) | 9,800 | | 374,556 |
Macrovision Corp. (a) | 12,500 | | 281,750 |
Microsoft Corp. | 38,900 | | 966,276 |
Symantec Corp. (a) | 2,300 | | 50,002 |
Take-Two Interactive Software, Inc. (a) | 9,800 | | 249,410 |
TIBCO Software, Inc. (a) | 12,900 | | 84,366 |
Ulticom, Inc. (a) | 10,000 | | 106,100 |
VERITAS Software Corp. (a) | 8,900 | | 217,160 |
| | 3,845,308 |
TOTAL INFORMATION TECHNOLOGY | | 28,794,550 |
MATERIALS - 4.2% |
Chemicals - 1.5% |
Airgas, Inc. | 10,500 | | 259,035 |
Albemarle Corp. | 8,000 | | 291,760 |
Celanese Corp. Class A | 17,300 | | 274,897 |
Crompton Corp. | 7,400 | | 104,710 |
Cytec Industries, Inc. | 3,600 | | 143,280 |
Dow Chemical Co. | 14,100 | | 627,873 |
Lyondell Chemical Co. | 54,700 | | 1,445,174 |
Monsanto Co. | 11,000 | | 691,570 |
NOVA Chemicals Corp. | 19,000 | | 579,987 |
Praxair, Inc. | 6,500 | | 302,900 |
Rhodia SA (a)(e) | 197,900 | | 344,864 |
| | 5,066,050 |
Construction Materials - 0.4% |
Florida Rock Industries, Inc. | 1,300 | | 95,355 |
Martin Marietta Materials, Inc. | 4,500 | | 311,040 |
Rinker Group Ltd. | 29,800 | | 317,760 |
Texas Industries, Inc. | 6,700 | | 376,741 |
Vulcan Materials Co. | 3,600 | | 233,964 |
| | 1,334,860 |
Containers & Packaging - 0.8% |
Owens-Illinois, Inc. (a) | 45,400 | | 1,137,270 |
Packaging Corp. of America | 4,700 | | 98,935 |
Pactiv Corp. (a) | 43,000 | | 927,940 |
Smurfit-Stone Container Corp. (a) | 30,302 | | 308,171 |
| | 2,472,316 |
Metals & Mining - 1.4% |
Agnico-Eagle Mines Ltd. | 22,000 | | 275,269 |
Alcan, Inc. | 23,100 | | 693,453 |
Alcoa, Inc. | 23,100 | | 603,603 |
Compass Minerals International, Inc. | 8,100 | | 189,540 |
Falconbridge Ltd. | 6,000 | | 182,713 |
Fording Canadian Coal Trust | 3,500 | | 320,462 |
Goldcorp, Inc. | 40,500 | | 644,258 |
Ivanhoe Mines Ltd. (a) | 8,200 | | 63,715 |
Meridian Gold, Inc. (a) | 46,000 | | 825,988 |
Noranda, Inc. | 10,600 | | 181,858 |
Phelps Dodge Corp. | 2,100 | | 194,250 |
Common Stocks - continued |
| Shares | | Value (Note 1) |
MATERIALS - continued |
Metals & Mining - continued |
Stillwater Mining Co. (a) | 27,400 | | $ 203,308 |
Teck Cominco Ltd. Class B (sub. vtg.) | 7,200 | | 242,938 |
| | 4,621,355 |
Paper & Forest Products - 0.1% |
Votorantim Celulose e Papel SA sponsored ADR (non-vtg.) | 15,700 | | 189,970 |
TOTAL MATERIALS | | 13,684,551 |
TELECOMMUNICATION SERVICES - 2.8% |
Diversified Telecommunication Services - 1.5% |
BellSouth Corp. | 25,200 | | 669,564 |
Citizens Communications Co. | 7,600 | | 102,144 |
Covad Communications Group, Inc. (a) | 288,000 | | 403,200 |
Philippine Long Distance Telephone Co. sponsored ADR | 200 | | 5,810 |
SBC Communications, Inc. | 79,670 | | 1,892,163 |
Verizon Communications, Inc. | 50,500 | | 1,744,775 |
| | 4,817,656 |
Wireless Telecommunication Services - 1.3% |
American Tower Corp. Class A (a) | 71,300 | | 1,498,726 |
Crown Castle International Corp. (a) | 26,300 | | 534,416 |
DigitalGlobe, Inc. (a)(f) | 163 | | 163 |
Nextel Communications, Inc. Class A (a) | 19,300 | | 623,583 |
Nextel Partners, Inc. Class A (a) | 27,000 | | 679,590 |
NII Holdings, Inc. (a) | 7,700 | | 492,338 |
SpectraSite, Inc. (a) | 7,600 | | 565,668 |
Wireless Facilities, Inc. (a) | 13,500 | | 85,455 |
| | 4,479,939 |
TOTAL TELECOMMUNICATION SERVICES | | 9,297,595 |
UTILITIES - 2.1% |
Electric Utilities - 0.7% |
Allegheny Energy, Inc. (a) | 2,700 | | 68,094 |
Entergy Corp. | 5,300 | | 400,415 |
Exelon Corp. | 15,400 | | 790,482 |
PG&E Corp. | 14,000 | | 525,560 |
Pinnacle West Capital Corp. | 2,100 | | 93,345 |
PPL Corp. | 4,800 | | 285,024 |
| | 2,162,920 |
Independent Power Producers & Energy Traders - 1.2% |
AES Corp. (a) | 124,000 | | 2,031,120 |
NRG Energy, Inc. (a) | 2,000 | | 75,200 |
TXU Corp. | 21,900 | | 1,819,671 |
| | 3,925,991 |
|
| Shares | | Value (Note 1) |
Multi-Utilities - 0.2% |
Dominion Resources, Inc. | 8,100 | | $ 594,459 |
NorthWestern Energy Corp. | 500 | | 15,760 |
| | 610,219 |
TOTAL UTILITIES | | 6,699,130 |
TOTAL COMMON STOCKS (Cost $201,376,281) | 207,474,380 |
Corporate Bonds - 8.4% |
| Principal Amount | | |
Convertible Bonds - 0.1% |
INFORMATION TECHNOLOGY - 0.1% |
Electronic Equipment & Instruments - 0.1% |
Celestica, Inc. liquid yield option note 0% 8/1/20 | | $ 410,000 | | 232,419 |
TELECOMMUNICATION SERVICES - 0.0% |
Wireless Telecommunication Services - 0.0% |
Nextel Communications, Inc. 5.25% 1/15/10 | | 150,000 | | 150,180 |
TOTAL CONVERTIBLE BONDS | | 382,599 |
Nonconvertible Bonds - 8.3% |
CONSUMER DISCRETIONARY - 1.2% |
Auto Components - 0.0% |
Delco Remy International, Inc. 9.375% 4/15/12 | | 85,000 | | 69,275 |
Automobiles - 0.3% |
Ford Motor Co.: | | | | |
6.625% 10/1/28 | | 40,000 | | 31,378 |
7.45% 7/16/31 | | 295,000 | | 246,271 |
General Motors Corp. 8.375% 7/15/33 | | 615,000 | | 513,525 |
| | 791,174 |
Diversified Consumer Services - 0.0% |
Carriage Services, Inc. 7.875% 1/15/15 (f) | | 50,000 | | 52,000 |
Hotels, Restaurants & Leisure - 0.1% |
Carrols Corp. 9% 1/15/13 (f) | | 100,000 | | 101,250 |
Mandalay Resort Group 6.5% 7/31/09 | | 95,000 | | 97,024 |
MGM MIRAGE 5.875% 2/27/14 | | 90,000 | | 87,413 |
| | 285,687 |
Media - 0.7% |
AOL Time Warner, Inc. 7.625% 4/15/31 | | 100,000 | | 124,889 |
Cablevision Systems Corp. 7.88% 4/1/09 (j) | | 90,000 | | 90,225 |
Corporate Bonds - continued |
| Principal Amount | | Value (Note 1) |
Nonconvertible Bonds - continued |
CONSUMER DISCRETIONARY - continued |
Media - continued |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8% 4/30/12 (f) | | $ 80,000 | | $ 80,000 |
Cox Communications, Inc. 7.125% 10/1/12 | | 100,000 | | 112,142 |
CSC Holdings, Inc. 7.625% 4/1/11 | | 75,000 | | 73,875 |
Dex Media West LLC/Dex Media West Finance Co. 9.875% 8/15/13 | | 39,000 | | 44,265 |
Houghton Mifflin Co. 9.875% 2/1/13 | | 170,000 | | 179,775 |
LBI Media, Inc. 10.125% 7/15/12 | | 160,000 | | 176,400 |
Liberty Media Corp.: | | | | |
5.7% 5/15/13 | | 150,000 | | 139,515 |
8.25% 2/1/30 | | 185,000 | | 184,037 |
News America Holdings, Inc. 7.75% 12/1/45 | | 85,000 | | 104,140 |
News America, Inc. 6.2% 12/15/34 | | 165,000 | | 173,166 |
PRIMEDIA, Inc. 7.625% 4/1/08 | | 100,000 | | 100,750 |
Rogers Cable, Inc. 6.75% 3/15/15 | | 120,000 | | 123,000 |
Time Warner Entertainment Co. LP 8.375% 7/15/33 | | 250,000 | | 331,800 |
Time Warner, Inc. 6.625% 5/15/29 | | 105,000 | | 116,998 |
| | 2,154,977 |
Multiline Retail - 0.0% |
Dillard's, Inc. 6.69% 8/1/07 | | 125,000 | | 127,813 |
Specialty Retail - 0.1% |
Asbury Automotive Group, Inc. 8% 3/15/14 | | 155,000 | | 149,575 |
Sonic Automotive, Inc. 8.625% 8/15/13 | | 110,000 | | 111,100 |
| | 260,675 |
Textiles, Apparel & Luxury Goods - 0.0% |
Levi Strauss & Co. 7.73% 4/1/12 (j) | | 60,000 | | 56,700 |
TOTAL CONSUMER DISCRETIONARY | | 3,798,301 |
CONSUMER STAPLES - 0.2% |
Beverages - 0.0% |
FBG Finance Ltd. 5.125% 6/15/15 (f) | | 125,000 | | 125,489 |
Food & Staples Retailing - 0.1% |
Ahold Finance USA, Inc. 8.25% 7/15/10 | | 60,000 | | 66,084 |
Jean Coutu Group, Inc. 8.5% 8/1/14 | | 70,000 | | 69,125 |
|
| Principal Amount | | Value (Note 1) |
NeighborCare, Inc. 6.875% 11/15/13 | | $ 75,000 | | $ 77,250 |
Rite Aid Corp. 6% 12/15/05 (f) | | 35,000 | | 35,175 |
| | 247,634 |
Food Products - 0.1% |
Reddy Ice Group, Inc. 8.875% 8/1/11 | | 20,000 | | 21,200 |
Smithfield Foods, Inc. 7% 8/1/11 | | 105,000 | | 110,250 |
| | 131,450 |
Tobacco - 0.0% |
Altria Group, Inc. 7% 11/4/13 | | 55,000 | | 61,550 |
TOTAL CONSUMER STAPLES | | 566,123 |
ENERGY - 0.9% |
Energy Equipment & Services - 0.2% |
Hornbeck Offshore Services, Inc. 6.125% 12/1/14 | | 75,000 | | 75,750 |
Petronas Capital Ltd. 7% 5/22/12 (f) | | 395,000 | | 451,476 |
Seabulk International, Inc. 9.5% 8/15/13 | | 80,000 | | 89,904 |
| | 617,130 |
Oil, Gas & Consumable Fuels - 0.7% |
Amerada Hess Corp.: | | | | |
6.65% 8/15/11 | | 40,000 | | 44,017 |
7.125% 3/15/33 | | 75,000 | | 88,958 |
Chesapeake Energy Corp. 7.5% 6/15/14 | | 40,000 | | 43,200 |
El Paso Corp. 7.875% 6/15/12 | | 85,000 | | 87,550 |
Empresa Nacional de Petroleo 6.75% 11/15/12 (f) | | 120,000 | | 133,223 |
EnCana Holdings Finance Corp. 5.8% 5/1/14 | | 80,000 | | 85,846 |
Enterprise Products Operating LP 5.75% 3/1/35 (f) | | 125,000 | | 122,036 |
General Maritime Corp. 10% 3/15/13 | | 120,000 | | 130,200 |
Kinder Morgan Energy Partners LP: | | | | |
5.125% 11/15/14 | | 35,000 | | 35,400 |
5.8% 3/15/35 | | 100,000 | | 100,698 |
Nexen, Inc. 5.875% 3/10/35 | | 190,000 | | 193,099 |
Pemex Project Funding Master Trust: | | | | |
6.125% 8/15/08 | | 400,000 | | 415,200 |
6.625% 6/15/35 (f) | | 235,000 | | 230,888 |
7.875% 2/1/09 (j) | | 180,000 | | 196,650 |
Plains Exploration & Production Co. 7.125% 6/15/14 | | 40,000 | | 42,800 |
Ship Finance International Ltd. 8.5% 12/15/13 | | 85,000 | | 81,600 |
The Coastal Corp.: | | | | |
6.5% 5/15/06 | | 15,000 | | 15,113 |
7.5% 8/15/06 | | 90,000 | | 92,025 |
7.625% 9/1/08 | | 10,000 | | 10,200 |
Corporate Bonds - continued |
| Principal Amount | | Value (Note 1) |
Nonconvertible Bonds - continued |
ENERGY - continued |
Oil, Gas & Consumable Fuels - continued |
The Coastal Corp.: - continued | | | | |
7.75% 6/15/10 | | $ 35,000 | | $ 35,744 |
Williams Companies, Inc.: | | | | |
7.125% 9/1/11 | | 105,000 | | 113,400 |
7.5% 1/15/31 | | 10,000 | | 10,825 |
7.625% 7/15/19 | | 105,000 | | 118,125 |
8.75% 3/15/32 | | 25,000 | | 30,000 |
| | 2,456,797 |
TOTAL ENERGY | | 3,073,927 |
FINANCIALS - 2.3% |
Capital Markets - 0.7% |
Goldman Sachs Group, Inc.: | | | | |
5.25% 10/15/13 | | 500,000 | | 515,952 |
6.6% 1/15/12 | | 410,000 | | 455,680 |
Lazard LLC 7.125% 5/15/15 (f) | | 195,000 | | 196,704 |
Merrill Lynch & Co., Inc. 4.25% 2/8/10 | | 480,000 | | 478,809 |
Morgan Stanley: | | | | |
3.875% 1/15/09 | | 500,000 | | 493,654 |
6.6% 4/1/12 | | 160,000 | | 177,888 |
| | 2,318,687 |
Commercial Banks - 0.2% |
Bank of America Corp.: | | | | |
6.25% 4/15/12 | | 125,000 | | 138,167 |
7.4% 1/15/11 | | 155,000 | | 177,394 |
Korea Development Bank 3.875% 3/2/09 | | 250,000 | | 245,833 |
Wachovia Bank NA 4.875% 2/1/15 | | 90,000 | | 91,679 |
Wachovia Corp. 4.875% 2/15/14 | | 25,000 | | 25,412 |
| | 678,485 |
Consumer Finance - 0.3% |
Capital One Bank 5% 6/15/09 | | 250,000 | | 255,442 |
Ford Motor Credit Co.: | | | | |
7% 10/1/13 | | 125,000 | | 119,935 |
7.375% 2/1/11 | | 100,000 | | 97,410 |
Household Finance Corp. 4.125% 11/16/09 | | 300,000 | | 296,757 |
Household International, Inc. 8.875% 2/15/08 | | 150,000 | | 154,254 |
MBNA Corp.: | | | | |
6.25% 1/17/07 | | 120,000 | | 123,817 |
7.5% 3/15/12 | | 75,000 | | 87,420 |
| | 1,135,035 |
|
| Principal Amount | | Value (Note 1) |
Diversified Financial Services - 0.3% |
Alliance Capital Management LP 5.625% 8/15/06 | | $ 150,000 | | $ 151,680 |
JPMorgan Chase & Co. 6.75% 2/1/11 | | 635,000 | | 702,247 |
Prime Property Funding II, Inc. 5.125% 6/1/15 (f) | | 160,000 | | 159,933 |
| | 1,013,860 |
Insurance - 0.0% |
Principal Life Global Funding I 6.25% 2/15/12 (f) | | 85,000 | | 93,767 |
UnumProvident Corp. 7.625% 3/1/11 | | 55,000 | | 59,105 |
| | 152,872 |
Real Estate - 0.6% |
Archstone Smith Operating Trust 5.25% 5/1/15 | | 100,000 | | 102,070 |
Arden Realty LP 5.25% 3/1/15 | | 525,000 | | 524,606 |
BRE Properties, Inc. 5.95% 3/15/07 | | 250,000 | | 256,454 |
Developers Diversified Realty Corp.: | | | | |
5% 5/3/10 | | 115,000 | | 115,876 |
5.25% 4/15/11 | | 65,000 | | 66,029 |
EOP Operating LP: | | | | |
4.65% 10/1/10 | | 200,000 | | 199,524 |
7% 7/15/11 | | 200,000 | | 221,773 |
Simon Property Group LP: | | | | |
5.1% 6/15/15 (f) | | 145,000 | | 144,590 |
5.625% 8/15/14 | | 200,000 | | 208,580 |
| | 1,839,502 |
Thrifts & Mortgage Finance - 0.2% |
Countrywide Home Loans, Inc. 4% 3/22/11 | | 145,000 | | 139,841 |
Independence Community Bank Corp. 3.75% 4/1/14 (j) | | 95,000 | | 91,582 |
Residential Capital Corp. 6.375% 6/30/10 (f) | | 185,000 | | 185,905 |
Washington Mutual, Inc. 4.375% 1/15/08 | | 90,000 | | 90,253 |
| | 507,581 |
TOTAL FINANCIALS | | 7,646,022 |
HEALTH CARE - 0.2% |
Health Care Providers & Services - 0.2% |
DaVita, Inc. 7.25% 3/15/15 (f) | | 165,000 | | 169,538 |
HCA, Inc. 6.375% 1/15/15 | | 70,000 | | 72,318 |
HealthSouth Corp.: | | | | |
7.625% 6/1/12 | | 60,000 | | 58,200 |
10.75% 10/1/08 | | 30,000 | | 31,200 |
IASIS Healthcare LLC/IASIS Capital Corp. 8.75% 6/15/14 | | 130,000 | | 140,725 |
Corporate Bonds - continued |
| Principal Amount | | Value (Note 1) |
Nonconvertible Bonds - continued |
HEALTH CARE - continued |
Health Care Providers & Services - continued |
Psychiatric Solutions, Inc. 7.75% 7/15/15 (f) | | $ 30,000 | | $ 30,000 |
Tenet Healthcare Corp. 7.375% 2/1/13 | | 145,000 | | 143,550 |
| | 645,531 |
INDUSTRIALS - 0.5% |
Aerospace & Defense - 0.1% |
BE Aerospace, Inc. 8.875% 5/1/11 | | 25,000 | | 25,875 |
Bombardier, Inc. 6.3% 5/1/14 (f) | | 200,000 | | 181,000 |
| | 206,875 |
Airlines - 0.3% |
American Airlines, Inc. pass thru trust certificates: | | | | |
6.855% 10/15/10 | | 16,074 | | 16,456 |
6.978% 10/1/12 | | 44,917 | | 46,403 |
7.024% 4/15/11 | | 100,000 | | 103,337 |
7.377% 5/23/19 | | 89,862 | | 62,903 |
7.379% 5/23/16 | | 65,255 | | 45,678 |
Continental Airlines, Inc. pass thru trust certificates 6.795% 2/2/20 | | 211,816 | | 176,866 |
Delta Air Lines, Inc. pass thru trust certificates: | | | | |
7.299% 9/18/06 | | 1,000 | | 580 |
7.57% 11/18/10 | | 80,000 | | 75,261 |
7.779% 1/2/12 | | 316,609 | | 158,304 |
7.92% 5/18/12 | | 75,000 | | 41,250 |
Northwest Airlines, Inc. 7.875% 3/15/08 | | 255,000 | | 103,275 |
| | 830,313 |
Building Products - 0.0% |
Mueller Group, Inc. 7.96% 11/1/11 (j) | | 80,000 | | 82,000 |
Commercial Services & Supplies - 0.0% |
Allied Waste North America, Inc. 8.5% 12/1/08 | | 60,000 | | 62,928 |
Industrial Conglomerates - 0.1% |
Hutchison Whampoa International 03/13 Ltd. 6.5% 2/13/13 (f) | | 55,000 | | 59,713 |
Hutchison Whampoa International 03/33 Ltd. 7.45% 11/24/33 (f) | | 120,000 | | 141,190 |
| | 200,903 |
Machinery - 0.0% |
Commercial Vehicle Group, Inc. 8% 7/1/13 (f) | | 20,000 | | 20,400 |
Invensys PLC 9.875% 3/15/11 (f) | | 80,000 | | 77,600 |
| | 98,000 |
|
| Principal Amount | | Value (Note 1) |
Marine - 0.0% |
American Commercial Lines LLC/ACL Finance Corp. 9.5% 2/15/15 (f) | | $ 105,000 | | $ 110,775 |
TOTAL INDUSTRIALS | | 1,591,794 |
INFORMATION TECHNOLOGY - 0.3% |
Communications Equipment - 0.0% |
L-3 Communications Corp. 6.125% 1/15/14 | | 95,000 | | 95,238 |
Electronic Equipment & Instruments - 0.1% |
Celestica, Inc. 7.875% 7/1/11 | | 170,000 | | 174,250 |
Sanmina-SCI Corp. 10.375% 1/15/10 | | 85,000 | | 94,350 |
| | 268,600 |
Office Electronics - 0.1% |
Xerox Capital Trust I 8% 2/1/27 | | 170,000 | | 175,525 |
Xerox Corp. 7.125% 6/15/10 | | 35,000 | | 37,231 |
| | 212,756 |
Semiconductors & Semiconductor Equipment - 0.1% |
Amkor Technology, Inc.: | | | | |
7.75% 5/15/13 | | 90,000 | | 77,625 |
9.25% 2/15/08 | | 20,000 | | 19,250 |
Freescale Semiconductor, Inc.: | | | | |
5.8906% 7/15/09 (j) | | 70,000 | | 72,450 |
7.125% 7/15/14 | | 80,000 | | 85,600 |
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. 6.875% 12/15/11 (f) | | 50,000 | | 49,250 |
Semiconductor Note Participation Trust 0% 8/4/11 (f) | | 105,000 | | 157,500 |
| | 461,675 |
TOTAL INFORMATION TECHNOLOGY | | 1,038,269 |
MATERIALS - 0.4% |
Chemicals - 0.2% |
BCP Crystal U.S. Holdings Corp. 9.625% 6/15/14 | | 62,000 | | 69,440 |
Berry Plastics Corp. 10.75% 7/15/12 | | 60,000 | | 65,400 |
Equistar Chemicals LP/Equistar Funding Corp. 10.625% 5/1/11 | | 110,000 | | 121,688 |
Huntsman International LLC 9.875% 3/1/09 | | 60,000 | | 64,050 |
Lyondell Chemical Co. 9.5% 12/15/08 | | 161,000 | | 171,063 |
Millennium America, Inc. 9.25% 6/15/08 | | 70,000 | | 76,038 |
| | 567,679 |
Corporate Bonds - continued |
| Principal Amount | | Value (Note 1) |
Nonconvertible Bonds - continued |
MATERIALS - continued |
Construction Materials - 0.1% |
RMCC Acquisition Co. 9.5% 11/1/12 (f) | | $ 90,000 | | $ 85,950 |
Texas Industries, Inc. 10.25% 6/15/11 | | 140,000 | | 161,875 |
| | 247,825 |
Containers & Packaging - 0.0% |
Owens-Brockway Glass Container, Inc.: | | | | |
7.75% 5/15/11 | | 50,000 | | 53,000 |
8.75% 11/15/12 | | 25,000 | | 27,563 |
| | 80,563 |
Metals & Mining - 0.0% |
Novelis, Inc. 7.25% 2/15/15 (f) | | 115,000 | | 115,288 |
Paper & Forest Products - 0.1% |
Georgia-Pacific Corp.: | | | | |
7.5% 5/15/06 | | 120,000 | | 123,000 |
8.125% 5/15/11 | | 120,000 | | 135,300 |
| | 258,300 |
TOTAL MATERIALS | | 1,269,655 |
TELECOMMUNICATION SERVICES - 1.1% |
Diversified Telecommunication Services - 0.9% |
AT&T Broadband Corp. 8.375% 3/15/13 | | 100,000 | | 121,935 |
BellSouth Capital Funding Corp. 7.875% 2/15/30 | | 115,000 | | 148,432 |
BellSouth Corp. 5.2% 9/15/14 | | 55,000 | | 56,682 |
British Telecommunications PLC 8.875% 12/15/30 | | 200,000 | | 282,331 |
Deutsche Telekom International Finance BV 8.75% 6/15/30 | | 250,000 | | 338,495 |
France Telecom SA 8% 3/1/11 (d) | | 105,000 | | 121,850 |
Koninklijke KPN NV yankee 8% 10/1/10 | | 200,000 | | 231,584 |
Qwest Capital Funding, Inc. 7% 8/3/09 | | 60,000 | | 58,050 |
Qwest Corp.: | | | | |
6.6706% 6/15/13 (f)(j) | | 140,000 | | 143,325 |
7.625% 6/15/15 (f) | | 70,000 | | 71,488 |
8.875% 3/15/12 | | 85,000 | | 92,438 |
SBC Communications, Inc.: | | | | |
6.15% 9/15/34 | | 150,000 | | 162,486 |
6.45% 6/15/34 | | 55,000 | | 61,838 |
Sprint Capital Corp. 6.875% 11/15/28 | | 145,000 | | 166,443 |
Telecom Italia Capital: | | | | |
4.95% 9/30/14 (f) | | 95,000 | | 94,064 |
5.25% 11/15/13 | | 250,000 | | 253,801 |
|
| Principal Amount | | Value (Note 1) |
Verizon Global Funding Corp.: | | | | |
7.25% 12/1/10 | | $ 135,000 | | $ 153,024 |
7.75% 12/1/30 | | 200,000 | | 258,250 |
Verizon New York, Inc. 6.875% 4/1/12 | | 45,000 | | 49,733 |
| | 2,866,249 |
Wireless Telecommunication Services - 0.2% |
America Movil SA de CV 4.125% 3/1/09 | | 100,000 | | 97,921 |
AT&T Wireless Services, Inc. 7.875% 3/1/11 | | 55,000 | | 63,919 |
DirecTV Holdings LLC/DirecTV Financing, Inc. 8.375% 3/15/13 | | 32,000 | | 35,440 |
Intelsat Ltd.: | | | | |
6.5% 11/1/13 | | 40,000 | | 32,400 |
7.805% 1/15/12 (f)(j) | | 70,000 | | 71,575 |
Nextel Communications, Inc. 7.375% 8/1/15 | | 160,000 | | 172,000 |
Rogers Communications, Inc.: | | | | |
6.375% 3/1/14 | | 115,000 | | 116,438 |
6.535% 12/15/10 (j) | | 50,000 | | 52,000 |
| | 641,693 |
TOTAL TELECOMMUNICATION SERVICES | | 3,507,942 |
UTILITIES - 1.2% |
Electric Utilities - 0.6% |
Cleveland Electric Illuminating Co. 5.65% 12/15/13 | | 145,000 | | 152,501 |
Duke Capital LLC: | | | | |
4.37% 3/1/09 | | 400,000 | | 398,608 |
6.75% 2/15/32 | | 210,000 | | 235,438 |
Exelon Corp.: | | | | |
4.9% 6/15/15 | | 100,000 | | 100,356 |
5.625% 6/15/35 | | 25,000 | | 25,202 |
6.75% 5/1/11 | | 110,000 | | 122,159 |
FirstEnergy Corp. 6.45% 11/15/11 | | 90,000 | | 98,336 |
Nevada Power Co. 10.875% 10/15/09 | | 65,000 | | 72,394 |
Niagara Mohawk Power Corp. 8.875% 5/15/07 | | 75,000 | | 81,206 |
Progress Energy, Inc. 7.1% 3/1/11 | | 270,000 | | 300,771 |
TECO Energy, Inc. 6.125% 5/1/07 | | 55,000 | | 56,238 |
Texas Genco LLC/Texas Genco Financing Corp. 6.875% 12/15/14 (f) | | 60,000 | | 63,000 |
TXU Energy Co. LLC 7% 3/15/13 | | 250,000 | | 278,808 |
| | 1,985,017 |
Gas Utilities - 0.1% |
Sonat, Inc.: | | | | |
6.625% 2/1/08 | | 65,000 | | 65,081 |
6.75% 10/1/07 | | 70,000 | | 70,088 |
Corporate Bonds - continued |
| Principal Amount | | Value (Note 1) |
Nonconvertible Bonds - continued |
UTILITIES - continued |
Gas Utilities - continued |
Southern Natural Gas Co. 8.875% 3/15/10 | | $ 40,000 | | $ 43,800 |
Texas Eastern Transmission Corp. 7.3% 12/1/10 | | 185,000 | | 209,240 |
| | 388,209 |
Independent Power Producers & Energy Traders - 0.2% |
AES Corp.: | | | | |
8.75% 5/15/13 (f) | | 170,000 | | 188,700 |
9.5% 6/1/09 | | 144,000 | | 160,020 |
Allegheny Energy Supply Co. LLC 8.25% 4/15/12 (f) | | 65,000 | | 72,475 |
Constellation Energy Group, Inc. 7% 4/1/12 | | 270,000 | | 304,579 |
| | 725,774 |
Multi-Utilities - 0.3% |
CMS Energy Corp.: | | | | |
8.5% 4/15/11 | | 85,000 | | 94,456 |
8.9% 7/15/08 | | 125,000 | | 135,625 |
Dominion Resources, Inc.: | | | | |
4.75% 12/15/10 | | 155,000 | | 155,941 |
5.95% 6/15/35 | | 115,000 | | 119,118 |
6.25% 6/30/12 | | 370,000 | | 401,648 |
| | 906,788 |
TOTAL UTILITIES | | 4,005,788 |
TOTAL NONCONVERTIBLE BONDS | | 27,143,352 |
TOTAL CORPORATE BONDS (Cost $26,690,700) | 27,525,951 |
U.S. Government and Government Agency Obligations - 7.7% |
|
U.S. Government Agency Obligations - 2.1% |
Fannie Mae: | | | | |
2.5% 6/15/06 | | 410,000 | | 405,154 |
3.25% 1/15/08 | | 318,000 | | 313,624 |
3.25% 8/15/08 | | 400,000 | | 392,558 |
3.25% 2/15/09 | | 1,216,000 | | 1,188,090 |
3.375% 12/15/08 | | 140,000 | | 137,565 |
4.625% 5/1/13 | | 1,250,000 | | 1,264,943 |
5.5% 3/15/11 | | 380,000 | | 407,607 |
6.25% 2/1/11 | | 280,000 | | 306,814 |
Freddie Mac: | | | | |
4% 6/12/13 | | 1,575,000 | | 1,531,373 |
|
| Principal Amount | | Value (Note 1) |
6.625% 9/15/09 | | $ 475,000 | | $ 522,961 |
6.75% 3/15/31 | | 404,000 | | 534,870 |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | | 7,005,559 |
U.S. Treasury Inflation Protected Obligations - 1.9% |
U.S. Treasury Inflation-Indexed Bonds 2.375% 1/15/25 | | 1,032,150 | | 1,129,841 |
U.S. Treasury Inflation-Indexed Notes: | | | | |
0.875% 4/15/10 | | 1,026,980 | | 1,001,626 |
2% 1/15/14 | | 3,948,525 | | 4,067,135 |
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | | 6,198,602 |
U.S. Treasury Obligations - 3.7% |
U.S. Treasury Bonds 6.25% 5/15/30 | | 1,040,000 | | 1,354,641 |
U.S. Treasury Notes: | | | | |
3.625% 4/30/07 | | 10,121,000 | | 10,115,456 |
4.75% 5/15/14 | | 465,000 | | 493,409 |
6.5% 2/15/10 | | 220,000 | | 245,515 |
TOTAL U.S. TREASURY OBLIGATIONS | | 12,209,021 |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $25,165,396) | 25,413,182 |
U.S. Government Agency - Mortgage
Securities - 10.2% |
|
Fannie Mae - 9.5% |
3.463% 4/1/34 (j) | | 46,553 | | 46,667 |
3.737% 1/1/35 (j) | | 27,837 | | 27,737 |
3.753% 10/1/33 (j) | | 19,786 | | 19,636 |
3.786% 12/1/34 (j) | | 23,243 | | 23,130 |
3.797% 6/1/34 (j) | | 91,473 | | 90,166 |
3.83% 1/1/35 (j) | | 22,236 | | 22,194 |
3.836% 6/1/33 (j) | | 15,598 | | 15,470 |
3.84% 1/1/35 (j) | | 46,524 | | 46,657 |
3.87% 1/1/35 (j) | | 23,380 | | 23,355 |
3.913% 12/1/34 (j) | | 23,614 | | 23,566 |
3.941% 10/1/34 (j) | | 21,480 | | 21,457 |
3.98% 1/1/35 (j) | | 22,356 | | 22,288 |
3.987% 12/1/34 (j) | | 22,500 | | 22,415 |
4% 1/1/35 (j) | | 22,531 | | 22,450 |
4.017% 12/1/34 (j) | | 113,853 | | 114,387 |
4.021% 12/1/34 (j) | | 22,044 | | 21,966 |
4.023% 2/1/35 (j) | | 23,936 | | 23,879 |
4.029% 1/1/35 (j) | | 23,991 | | 24,035 |
4.037% 12/1/34 (j) | | 22,633 | | 22,728 |
4.048% 1/1/35 (j) | | 22,998 | | 22,933 |
4.052% 2/1/35 (j) | | 23,135 | | 23,100 |
U.S. Government Agency - Mortgage
Securities - continued |
| Principal Amount | | Value (Note 1) |
Fannie Mae - continued |
4.055% 10/1/18 (j) | | $ 16,222 | | $ 16,170 |
4.057% 5/1/34 (j) | | 13,975 | | 13,957 |
4.072% 12/1/34 (j) | | 23,822 | | 23,941 |
4.079% 4/1/33 (j) | | 9,853 | | 9,902 |
4.105% 1/1/35 (j) | | 46,929 | | 47,220 |
4.115% 2/1/35 (j) | | 23,624 | | 23,665 |
4.118% 1/1/35 (j) | | 34,898 | | 34,943 |
4.118% 2/1/35 (j) | | 23,246 | | 23,321 |
4.12% 2/1/35 (j) | | 23,895 | | 23,955 |
4.127% 1/1/35 (j) | | 46,148 | | 46,523 |
4.128% 2/1/35 (j) | | 70,842 | | 70,988 |
4.144% 1/1/35 (j) | | 47,932 | | 48,295 |
4.145% 2/1/35 (j) | | 46,808 | | 47,075 |
4.151% 1/1/35 (j) | | 60,525 | | 60,706 |
4.162% 2/1/35 (j) | | 23,400 | | 23,489 |
4.17% 11/1/34 (j) | | 21,644 | | 21,669 |
4.197% 1/1/35 (j) | | 23,287 | | 23,410 |
4.2% 1/1/35 (j) | | 64,940 | | 65,559 |
4.202% 1/1/35 (j) | | 46,686 | | 46,574 |
4.23% 11/1/34 (j) | | 18,457 | | 18,562 |
4.232% 3/1/34 (j) | | 19,042 | | 19,088 |
4.25% 2/1/35 (j) | | 24,462 | | 24,355 |
4.269% 10/1/34 (j) | | 44,539 | | 45,040 |
4.293% 3/1/35 (j) | | 23,512 | | 23,657 |
4.302% 1/1/35 (j) | | 24,120 | | 24,105 |
4.305% 8/1/33 (j) | | 38,512 | | 38,890 |
4.305% 7/1/34 (j) | | 19,769 | | 19,968 |
4.318% 3/1/33 (j) | | 15,813 | | 15,786 |
4.319% 5/1/35 (j) | | 29,623 | | 29,788 |
4.324% 12/1/34 (j) | | 23,284 | | 23,450 |
4.349% 2/1/35 (j) | | 23,486 | | 23,575 |
4.351% 1/1/35 (j) | | 23,876 | | 23,872 |
4.357% 1/1/35 (j) | | 24,169 | | 24,328 |
4.368% 2/1/34 (j) | | 46,350 | | 46,451 |
4.4% 2/1/35 (j) | | 24,653 | | 24,674 |
4.409% 5/1/35 (j) | | 50,000 | | 50,023 |
4.455% 3/1/35 (j) | | 24,989 | | 25,014 |
4.479% 4/1/34 (j) | | 33,644 | | 33,831 |
4.484% 10/1/34 (j) | | 107,186 | | 108,179 |
4.493% 8/1/34 (j) | | 70,072 | | 70,598 |
4.499% 3/1/35 (j) | | 48,948 | | 49,087 |
4.5% 7/1/20 (g) | | 2,050,000 | | 2,039,109 |
4.5% 7/1/33 to 3/1/35 | | 3,729,719 | | 3,653,449 |
4.508% 1/1/35 (j) | | 22,653 | | 22,930 |
4.53% 3/1/35 (j) | | 49,091 | | 49,306 |
4.549% 8/1/34 (j) | | 39,356 | | 39,891 |
4.568% 2/1/35 (j) | | 138,813 | | 140,443 |
4.57% 2/1/35 (j) | | 21,881 | | 22,067 |
4.587% 2/1/35 (j) | | 173,092 | | 174,772 |
4.625% 2/1/35 (j) | | 58,149 | | 58,455 |
|
| Principal Amount | | Value (Note 1) |
4.639% 2/1/35 (j) | | $ 23,306 | | $ 23,661 |
4.67% 11/1/34 (j) | | 67,211 | | 67,805 |
4.694% 11/1/34 (j) | | 70,546 | | 71,125 |
4.725% 3/1/35 (j) | | 175,453 | | 178,088 |
4.742% 3/1/35 (j) | | 24,262 | | 24,486 |
4.748% 7/1/34 (j) | | 62,274 | | 62,457 |
4.815% 12/1/32 (j) | | 24,323 | | 24,624 |
5% 11/1/17 to 8/1/18 | | 3,938,197 | | 3,985,547 |
5% 7/1/35 (g) | | 4,275,000 | | 4,273,664 |
5.5% 2/1/11 to 6/1/29 | | 1,402,565 | | 1,438,001 |
5.5% 7/1/35 (g) | | 7,935,130 | | 8,036,799 |
6% 7/1/13 to 3/1/33 | | 2,329,608 | | 2,400,547 |
6% 7/1/35 (g) | | 299,817 | | 307,219 |
6.5% 6/1/15 to 7/1/32 | | 1,436,163 | | 1,491,984 |
7% 12/1/24 to 2/1/28 | | 109,429 | | 115,911 |
7.5% 10/1/26 to 8/1/28 | | 414,205 | | 443,269 |
TOTAL FANNIE MAE | | 31,259,508 |
Freddie Mac - 0.4% |
4.106% 12/1/34 (j) | | 23,104 | | 23,093 |
4.13% 12/1/34 (j) | | 22,704 | | 22,689 |
4.232% 1/1/35 (j) | | 94,451 | | 94,488 |
4.307% 3/1/35 (j) | | 22,913 | | 22,869 |
4.307% 5/1/35 (j) | | 48,805 | | 48,950 |
4.314% 12/1/34 (j) | | 48,325 | | 48,230 |
4.37% 3/1/35 (j) | | 49,233 | | 49,154 |
4.401% 2/1/35 (j) | | 49,205 | | 49,128 |
4.434% 2/1/35 (j) | | 66,054 | | 66,292 |
4.441% 2/1/34 (j) | | 34,369 | | 34,513 |
4.444% 3/1/35 (j) | | 24,798 | | 24,747 |
4.491% 3/1/35 (j) | | 73,761 | | 73,897 |
4.498% 3/1/35 (j) | | 170,000 | | 170,531 |
4.504% 3/1/35 (j) | | 24,986 | | 24,974 |
4.564% 2/1/35 (j) | | 48,744 | | 48,884 |
5.034% 4/1/35 (j) | | 172,160 | | 174,799 |
5.098% 8/1/33 (j) | | 20,799 | | 21,200 |
6% 5/1/33 | | 267,009 | | 274,485 |
7.5% 1/1/27 | | 28,263 | | 30,344 |
TOTAL FREDDIE MAC | | 1,303,267 |
Government National Mortgage Association - 0.3% |
6.5% 10/15/27 to 9/15/32 | | 437,316 | | 457,839 |
7% 1/15/28 to 7/15/32 | | 346,388 | | 366,941 |
7.5% 6/15/27 to 3/15/28 | | 126,746 | | 136,013 |
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | | 960,793 |
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $33,297,282) | 33,523,568 |
Asset-Backed Securities - 1.2% |
| Principal Amount | | Value (Note 1) |
ACE Securities Corp.: | | | | |
Series 2004-HE1: | | | | |
Class M1, 3.8144% 2/25/34 (j) | | $ 50,000 | | $ 50,020 |
Class M2, 4.4144% 2/25/34 (j) | | 50,000 | | 50,026 |
Series 2005-SD1 Class A1, 3.7144% 11/25/50 (j) | | 51,758 | | 51,773 |
Aesop Funding II LLC Series 2005-1A Class A1, 3.95% 4/20/08 (f) | | 200,000 | | 199,201 |
American Express Credit Account Master Trust Series 2001-6 Class B, 3.57% 12/15/08 (j) | | 200,000 | | 200,356 |
Ameriquest Mortgage Securities, Inc. Series 2004-R2: | | | | |
Class M1, 3.7444% 4/25/34 (j) | | 25,000 | | 24,999 |
Class M2, 3.7944% 4/25/34 (j) | | 25,000 | | 24,999 |
Amortizing Residential Collateral Trust Series 2003-BC1 Class M2, 4.4144% 1/25/32 (j) | | 14,554 | | 14,623 |
Argent Securities, Inc. Series 2004-W5 Class M1, 3.9144% 4/25/34 (j) | | 75,000 | | 75,092 |
Capital One Multi-Asset Execution Trust: | | | | |
Series 2003-B4 Class B4, 4.02% 7/15/11 (j) | | 105,000 | | 106,768 |
Series 2004-6 Class B, 4.15% 7/16/12 | | 125,000 | | 124,613 |
Citibank Credit Card Issuance Trust Series 2002-C1 Class C1, 4.2185% 2/9/09 (j) | | 250,000 | | 252,794 |
Countrywide Home Loans, Inc.: | | | | |
Series 2004-2 Class M1, 3.8144% 5/25/34 (j) | | 100,000 | | 100,136 |
Series 2004-3 Class M1, 3.8144% 6/25/34 (j) | | 25,000 | | 25,024 |
Series 2004-4: | | | | |
Class A, 3.6844% 8/25/34 (j) | | 52,906 | | 52,954 |
Class M1, 3.7944% 7/25/34 (j) | | 75,000 | | 75,137 |
Class M2, 3.8444% 6/25/34 (j) | | 80,000 | | 80,137 |
Series 2005-1: | | | | |
Class MV1, 3.7144% 7/25/35 (j) | | 60,000 | | 59,953 |
Class MV2, 3.7544% 7/25/35 (j) | | 70,000 | | 69,820 |
Class MV3, 3.7944% 7/25/35 (j) | | 30,000 | | 29,978 |
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1: | | | | |
Class B, 4.878% 6/15/35 (f) | | 97,000 | | 97,481 |
Class C, 5.074% 6/15/35 (f) | | 88,000 | | 88,419 |
|
| Principal Amount | | Value (Note 1) |
Discover Card Master Trust I: | | | | |
Series 2001-6 Class A, 5.75% 12/15/08 | | $ 600,000 | | $ 610,362 |
Series 2003-4 Class B1, 3.55% 5/16/11 (j) | | 155,000 | | 155,861 |
Fremont Home Loan Trust: | | | | |
Series 2004-A: | | | | |
Class M1, 3.8644% 1/25/34 (j) | | 75,000 | | 75,102 |
Class M2, 4.4644% 1/25/34 (j) | | 100,000 | | 101,211 |
Series 2005-A: | | | | |
Class M1, 3.7444% 1/25/35 (j) | | 25,000 | | 24,960 |
Class M2, 3.7744% 1/25/35 (j) | | 50,000 | | 49,943 |
Class M3, 3.8044% 1/25/35 (j) | | 25,000 | | 25,009 |
Class M4, 3.9944% 1/25/35 (j) | | 25,000 | | 25,080 |
Meritage Mortgage Loan Trust Series 2004-1: | | | | |
Class M1, 3.8144% 7/25/34 (j) | | 50,000 | | 49,999 |
Class M3, 4.2644% 7/25/34 (j) | | 25,000 | | 24,999 |
Morgan Stanley ABS Capital I, Inc. Series 2003-NC5 Class M2, 5.3144% 4/25/33 (j) | | 50,000 | | 50,640 |
Morgan Stanley Dean Witter Capital I Trust Series 2003-NC1 Class M1, 4.3644% 11/25/32 (j) | | 45,000 | | 45,330 |
National Collegiate Student Loan Trust Series 2005-GT1 Class AIO, 6.75% 12/25/09 (k) | | 100,000 | | 26,961 |
Park Place Securities, Inc. Series 2005-WCH1 Class M2, 3.8344% 1/25/35 (j) | | 75,000 | | 74,874 |
Sears Credit Account Master Trust II Series 2000-2 Class A, 6.75% 9/16/09 | | 365,000 | | 367,251 |
Structured Asset Securities Corp. Series 2004-GEL1 Class A, 3.6744% 2/25/34 (j) | | 23,679 | | 23,678 |
Volkswagen Auto Lease Trust Series 2005-A Class A4, 3.94% 10/20/10 | | 305,000 | | 304,015 |
TOTAL ASSET-BACKED SECURITIES (Cost $3,870,482) | 3,889,578 |
Collateralized Mortgage Obligations - 1.1% |
|
Private Sponsor - 0.7% |
Adjustable Rate Mortgage Trust floater: | | | | |
Series 2005-1 Class 5A2, 3.6444% 5/25/35 (j) | | 124,578 | | 124,710 |
Collateralized Mortgage Obligations - continued |
| Principal Amount | | Value (Note 1) |
Private Sponsor - continued |
Adjustable Rate Mortgage Trust floater: - continued | | | | |
Series 2005-2 Class 6A2, 3.5944% 6/25/35 (j) | | $ 65,968 | | $ 65,996 |
Series 2005-3 Class 8A2, 3.5544% 7/25/35 (j) | | 298,207 | | 298,079 |
Bear Stearns Alt-A Trust floater Series 2005-1 Class A1, 3.5944% 1/25/35 (j) | | 180,116 | | 180,116 |
CS First Boston Mortgage Securities Corp. floater Series 2004-AR3 Class 6A2, 3.6844% 4/25/34 (j) | | 43,204 | | 43,249 |
Impac CMB Trust floater Series 2005-1: | | | | |
Class M1, 3.7744% 4/25/35 (j) | | 70,048 | | 69,974 |
Class M2, 3.8144% 4/25/35 (j) | | 107,407 | | 107,327 |
Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | | 19,369 | | 19,660 |
Merrill Lynch Mortgage Investors, Inc. floater Series 2005-B Class A2, 3.75% 6/25/30 (j) | | 202,368 | | 202,368 |
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 3.53% 6/25/35 (j) | | 110,000 | | 110,000 |
Residential Asset Mortgage Products, Inc. sequential pay Series 2004-SL2 Class A1, 6.5% 10/25/16 | | 30,495 | | 31,105 |
Sequoia Mortgage Trust floater: | | | | |
Series 2005-1 Class A2, 3.1688% 2/20/35 (j) | | 139,814 | | 139,797 |
Series 2005-2 Class A2, 3.36% 3/20/35 (j) | | 188,906 | | 188,906 |
Wells Fargo Mortgage Backed Securities Trust: | | | | |
Series 2005-AR10 Class 2A2, 4.111% 6/25/65 (j) | | 259,437 | | 257,613 |
Series 2005-AR12 Class 2A6, 4.322% 7/25/35 (j) | | 275,000 | | 273,856 |
Series 2005-AR4 Class 2A2, 4.5419% 4/25/35 (j) | | 222,000 | | 221,475 |
Series 2005-AR9 Class 2A1, 4.3609% 5/25/35 (j) | | 123,976 | | 123,956 |
TOTAL PRIVATE SPONSOR | | 2,458,187 |
U.S. Government Agency - 0.4% |
Fannie Mae guaranteed REMIC pass thru certificates planned amortization class Series 2004-81 Class KD: | | | | |
4.5% 4/25/17 | | 380,000 | | 381,228 |
4.5% 7/25/18 | | 170,000 | | 168,973 |
|
| Principal Amount | | Value (Note 1) |
Freddie Mac Multi-class participation certificates guaranteed planned amortization class: | | | | |
Series 2677 Class LD, 4.5% 3/15/17 | | $ 560,000 | | $ 559,545 |
Series 2885 Class PC, 4.5% 3/15/18 | | 165,000 | | 165,688 |
TOTAL U.S. GOVERNMENT AGENCY | | 1,275,434 |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $3,737,570) | 3,733,621 |
Commercial Mortgage Securities - 1.3% |
|
Bayview Commercial Asset Trust floater: | | | | |
Series 2004-1 Class A, 3.6744% 4/25/34 (f)(j) | | 84,437 | | 84,377 |
Series 2004-3 Class A1, 3.6844% 1/25/35 (f)(j) | | 145,003 | | 145,272 |
COMM: | | | | |
floater: | | | | |
Series 2002-FL7 Class D, 3.79% 11/15/14 (f)(j) | | 45,000 | | 45,034 |
Series 2003-FL9 Class B, 3.72% 11/15/15 (f)(j) | | 59,927 | | 60,091 |
Series 2004-LBN2 Class X2, 1.0847% 3/10/39 (f)(j)(k) | | 307,358 | | 11,785 |
CS First Boston Mortgage Securities Corp.: | | | | |
sequential pay: | | | | |
Series 1999-C1 Class A2, 7.29% 9/15/41 | | 250,000 | | 274,877 |
Series 2000-C1 Class A2, 7.545% 4/15/62 | | 500,000 | | 561,692 |
Series 2004-C1 Class A3, 4.321% 1/15/37 | | 95,000 | | 94,598 |
Series 1997-C2 Class D, 7.27% 1/17/35 | | 150,000 | | 162,779 |
Series 2004-C1 Class ASP, 0.9379% 1/15/37 (f)(j)(k) | | 1,463,157 | | 54,657 |
DLJ Commercial Mortgage Corp. sequential pay Series 2000-CF1 Class A1B, 7.62% 6/10/33 | | 500,000 | | 567,284 |
Fannie Mae sequential pay Series 1999-10 Class MZ, 6.5% 9/17/38 | | 250,405 | | 275,489 |
GS Mortgage Securities Corp. II: | | | | |
sequential pay: | | | | |
Series 2001-LIBA Class A2, 6.615% 2/14/16 (f) | | 130,000 | | 144,676 |
Series 2003-C1 Class A2A, 3.59% 1/10/40 | | 125,000 | | 123,705 |
Series 1998-GLII Class E, 7.1906% 4/13/31 (j) | | 120,000 | | 126,376 |
Commercial Mortgage Securities - continued |
| Principal Amount | | Value (Note 1) |
J.P. Morgan Commercial Mortgage Finance Corp. sequential pay Series 2000-C9 Class A2, 7.77% 10/15/32 | | $ 225,000 | | $ 253,392 |
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A: | | | | |
Class B, 4.13% 11/20/37 (f) | | 110,000 | | 103,191 |
Class C, 4.13% 11/20/37 (f) | | 110,000 | | 99,132 |
Merrill Lynch Mortgage Trust sequential pay Series 2004-KEY2 Class A2, 4.166% 8/12/39 | | 215,000 | | 213,395 |
Morgan Stanley Capital I, Inc.: | | | | |
sequential pay Series 2004-HQ3 Class A2, 4.05% 1/13/41 | | 105,000 | | 103,965 |
Series 2005-IQ9 Class X2, 1.0828% 7/15/56 (f)(j)(k) | | 1,285,000 | | 66,509 |
Thirteen Affiliates of General Growth Properties, Inc. sequential pay Series 1 Class A2, 6.602% 11/15/07 (f) | | 500,000 | | 526,725 |
Wachovia Bank Commercial Mortgage Trust sequential pay Series 2003-C6 Class A2, 4.498% 8/15/35 | | 165,000 | | 166,095 |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $4,087,594) | 4,265,096 |
Foreign Government and Government Agency Obligations - 0.4% |
|
Chilean Republic 7.125% 1/11/12 | | 190,000 | | 218,424 |
Israeli State 4.625% 6/15/13 | | 30,000 | | 29,719 |
Korean Republic 4.875% 9/22/14 | | 50,000 | | 50,779 |
United Mexican States: | | | | |
5.875% 1/15/14 | | 60,000 | | 62,610 |
6.375% 1/16/13 | | 300,000 | | 322,050 |
6.75% 9/27/34 | | 270,000 | | 286,200 |
7.5% 4/8/33 | | 175,000 | | 201,688 |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,088,761) | 1,171,470 |
Money Market Funds - 8.9% |
| | Shares | | Value (Note 1) |
Fidelity Cash Central Fund, 3.21% (b) | | 28,885,840 | | $ 28,885,840 |
Fidelity Securities Lending Cash Central Fund, 3.23% (b)(c) | | 359,996 | | 359,996 |
TOTAL MONEY MARKET FUNDS (Cost $29,245,836) | | 29,245,836 |
TOTAL INVESTMENT PORTFOLIO - 102.4% (Cost $328,559,902) | | | | 336,242,682 |
NET OTHER ASSETS - (2.4)% | | | (7,751,547) |
NET ASSETS - 100% | | | $ 328,491,135 |
Swap Agreements |
| Expiration Date | | Notional Amount | | Value |
Credit Default Swap |
Receive quarterly a fixed rate of .4% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 4, par value of the proportional notional amount (i) | June 2010 | | $ 500,000 | | $ (4,431) |
Receive quarterly a fixed rate of .5% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 3, par value of the proportional notional amount (h) | March 2010 | | 250,000 | | (938) |
Swap Agreements - continued |
| Expiration Date | | Notional Amount | | Value |
Credit Default Swap - continued |
Receive quarterly a fixed rate of .65% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 4, par value of the proportional notional amount (i) | June 2015 | | $ 500,000 | | $ (7,507) |
Receive quarterly a fixed rate of .7% multiplied by the notional amount and pay to Deutsche Bank, upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 3, par value of the proportional notional amount (h) | March 2015 | | 250,000 | | (2,550) |
TOTAL CREDIT DEFAULT SWAP | 1,500,000 | | (15,426) |
Interest Rate Swap |
Receive quarterly a fixed rate equal to 3.2955% and pay quarterly a floating rate based on 3-month LIBOR with Morgan Stanley, Inc. | Feb. 2006 | | 6,000,000 | | (18,452) |
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2010 | | 250,000 | | 3,208 |
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2015 | | 250,000 | | 9,428 |
TOTAL INTEREST RATE SWAP | 6,500,000 | | (5,816) |
|
| Expiration Date | | Notional Amount | | Value |
Total Return Swap |
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 10 basis points with Citibank | Oct. 2005 | | $ 1,430,000 | | $ 0 |
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 10 basis points with Goldman Sachs | July 2005 | | 1,430,000 | | 5,998 |
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 20 basis points with Lehman Brothers, Inc. | March 2006 | | 3,070,000 | | 11,672 |
Receive monthly a return equal to Lehman Brothers Commercial Mortgage Backed Securities AAA Daily Index and pay monthly a floating rate based on 1-month LIBOR minus 25 basis points with Bank of America | Dec. 2005 | | 490,000 | | 1,916 |
Receive quarterly a return equal to Banc of America Securities LLC AAA 10 Yr Commercial Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 40 basis points with Bank of America | Nov. 2005 | | 500,000 | | 10,002 |
TOTAL TOTAL RETURN SWAP | 6,920,000 | | 29,588 |
| | $ 14,920,000 | | $ 8,346 |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent quarter end is available upon request. |
(c) Includes investment made with cash collateral received from securities on loan. |
(d) Debt obligation initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(e) Security or a portion of the security is on loan at period end. |
(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $5,741,980 or 1.7% of net assets. |
(g) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(h) Dow Jones CDX N.A. Investment Grade 3 is a tradable index of credit default swaps on investment grade debt of U.S. companies. |
(i) Dow Jones CDX N.A. Investment Grade 4 is a tradable index of credit default swaps on investment grade debt of U.S. companies. |
(j) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(k) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
Other Information |
The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited): |
U.S.Government and U.S.Government Agency Obligations | 18.4% |
AAA,AA,A | 5.2% |
BBB | 4.2% |
BB | 1.0% |
B | 1.3% |
CCC,CC,C | 0.1% |
Not Rated | 0.1% |
Equities | 63.2% |
Short-Term Investments and Net Other Assets | 6.5% |
| 100.0% |
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. |
Income Tax Information |
At December 31, 2004, the fund had a capital loss carryforward of approximately $11,446,067 of which $1,788,019 and $9,658,048 will expire on December 31, 2009 and 2010, respectively. |
See accompanying notes which are an integral part of the financial statements.
Balanced Portfolio
Fidelity Variable Insurance Products: Balanced Portfolio
Financial Statements
Statement of Assets and Liabilities
| June 30, 2005 (Unaudited) |
| | |
Assets | | |
Investment in securities, at value (including securities loaned of $344,833) (cost $328,559,902) - See accompanying schedule | | $ 336,242,682 |
Cash | | 16,284 |
Receivable for investments sold | | 18,357,795 |
Receivable for fund shares sold | | 24,263 |
Dividends receivable | | 227,872 |
Interest receivable | | 951,205 |
Swap agreements, at value | | 8,346 |
Prepaid expenses | | 723 |
Other receivables | | 64,951 |
Total assets | | 355,894,121 |
| | |
Liabilities | | |
Payable for investments purchased
Regular delivery | $ 12,026,744 | |
Delayed delivery | 14,664,549 | |
Payable for fund shares redeemed | 133,044 | |
Accrued management fee | 116,785 | |
Distribution fees payable | 9,487 | |
Other affiliated payables | 29,717 | |
Other payables and accrued
expenses | 62,664 | |
Collateral on securities loaned, at value | 359,996 | |
Total liabilities | | 27,402,986 |
| | |
Net Assets | | $ 328,491,135 |
Net Assets consist of: | | |
Paid in capital | | $ 311,106,367 |
Undistributed net investment income | | 4,720,183 |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | | 4,958,153 |
Net unrealized appreciation (depreciation) on investments
and assets and liabilities in
foreign currencies | | 7,706,432 |
Net Assets | | $ 328,491,135 |
Initial Class:
Net Asset Value, offering price and redemption price per share ($272,062,293 ÷ 19,865,039 shares) | | $ 13.70 |
Service Class:
Net Asset Value, offering price and redemption price per share ($18,816,379 ÷ 1,380,123 shares) | | $ 13.63 |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($37,612,463 ÷ 2,771,837 shares) | | $ 13.57 |
Statement of Operations
| Six months ended June 30, 2005 (Unaudited) |
| | |
Investment Income | | |
Dividends | | $ 1,766,810 |
Interest | | 3,377,873 |
Security lending | | 1,380 |
Total income | | 5,146,063 |
| | |
Expenses | | |
Management fee | $ 710,126 | |
Transfer agent fees | 116,393 | |
Distribution fees | 56,436 | |
Accounting and security lending fees | 69,543 | |
Independent trustees' compensation | 771 | |
Custodian fees and expenses | 12,217 | |
Registration fees | 10 | |
Audit | 25,263 | |
Legal | 319 | |
Miscellaneous | 10,775 | |
Total expenses before reductions | 1,001,853 | |
Expense reductions | (64,592) | 937,261 |
Net investment income (loss) | | 4,208,802 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | | |
Investment securities | 17,405,281 | |
Foreign currency transactions | (4,206) | |
Swap agreements | 60,638 | |
Total net realized gain (loss) | | 17,461,713 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (28,486,459) | |
Assets and liabilities in foreign currencies | (251) | |
Swap agreements | (4,007) | |
Total change in net unrealized appreciation (depreciation) | | (28,490,717) |
Net gain (loss) | | (11,029,004) |
Net increase (decrease) in net assets resulting from operations | | $ (6,820,202) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Balanced Portfolio
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended
June 30, 2005
(Unaudited) | Year ended
December 31,
2004 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income (loss) | $ 4,208,802 | $ 8,902,920 |
Net realized gain (loss) | 17,461,713 | 8,580,364 |
Change in net unrealized appreciation (depreciation) | (28,490,717) | 573,968 |
Net increase (decrease) in net assets resulting from operations | (6,820,202) | 18,057,252 |
Distributions to shareholders from net investment income | (8,716,691) | (6,988,389) |
Distributions to shareholders from net realized gain | (241,563) | - |
Total distributions | (8,958,254) | (6,988,389) |
Share transactions - net increase (decrease) | (5,154,195) | (8,689,636) |
Total increase (decrease) in net assets | (20,932,651) | 2,379,227 |
| | |
Net Assets | | |
Beginning of period | 349,423,786 | 347,044,559 |
End of period (including undistributed net investment income of $4,720,183 and undistributed net investment income of $9,092,580, respectively) | $ 328,491,135 | $ 349,423,786 |
Other Information: | | | |
Share Transactions | Six months ended June 30, 2005 |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 608,292 | 17,684 | 318,228 |
Reinvested | 539,938 | 37,586 | 65,368 |
Redeemed | (1,580,468) | (162,173) | (217,940) |
Net increase (decrease) | (432,238) | (106,903) | 165,656 |
| | | |
Dollars Sold | $ 8,434,682 | $ 245,732 | $ 4,365,830 |
Reinvested | 7,532,141 | 522,069 | 904,044 |
Redeemed | (21,928,374) | (2,237,073) | (2,993,246) |
Net increase (decrease) | $ (5,961,551) | $ (1,469,272) | $ 2,276,628 |
| | | |
Share Transactions | Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 2,035,766 | 95,487 | 798,702 |
Reinvested | 432,646 | 31,049 | 40,193 |
Redeemed | (3,476,835) | (224,978) | (377,301) |
Net increase (decrease) | (1,008,423) | (98,442) | 461,594 |
| | | |
Dollars Sold | $ 28,145,848 | $ 1,311,596 | $ 10,871,355 |
Reinvested | 6,005,122 | 429,413 | 553,854 |
Redeemed | (47,800,698) | (3,078,714) | (5,127,412) |
Net increase (decrease) | $ (13,649,728) | $ (1,337,705) | $ 6,297,797 |
| | | |
Distributions | Six months ended June 30, 2005 |
| Initial Class | Service Class | Service Class 2 |
From net investment income | $ 7,331,284 | $ 507,567 | $ 877,840 |
From net realized gain | 200,857 | 14,502 | 26,204 |
Total | $ 7,532,141 | $ 522,069 | $ 904,044 |
| | | |
| Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
From net investment income | $ 6,005,122 | $ 429,413 | $ 553,854 |
From net realized gain | - | - | - |
Total | $ 6,005,122 | $ 429,413 | $ 553,854 |
See accompanying notes which are an integral part of the financial statements.
Balanced Portfolio
Financial Highlights - Initial Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 14.35 | $ 13.88 | $ 12.16 | $ 13.72 | $ 14.45 | $ 16.00 |
Income from Investment Operations | | | | | | |
Net investment income (loss)E | .18 | .36F | .30 | .36 | .42 | .48 |
Net realized and unrealized gain (loss) | (.45) | .39 | 1.78 | (1.53) | (.63) | (1.15) |
Total from investment operations | (.27) | .75 | 2.08 | (1.17) | (.21) | (.67) |
Distributions from net investment income | (.37) | (.28) | (.36) | (.39) | (.52) | (.48) |
Distributions from net realized gain | (.01) | - | - | - | - | (.35) |
Distributions in excess of net realized gain | - | - | - | - | - | (.05) |
Total distributions | (.38) | (.28) | (.36) | (.39) | (.52) | (.88) |
Net asset value, end of period | $ 13.70 | $ 14.35 | $ 13.88 | $ 12.16 | $ 13.72 | $ 14.45 |
Total ReturnB,C,D | (1.96)% | 5.47% | 17.72% | (8.72)% | (1.58)% | (4.30)% |
Ratios to Average Net AssetsG | | | | | | |
Expenses before expense reductions | .56%A | .56% | .59% | .57% | .57% | .58% |
Expenses net of voluntary waivers, if any | .56%A | .56% | .59% | .57% | .57% | .58% |
Expenses net of all reductions | .52%A | .56% | .58% | .55% | .55% | .56% |
Net investment income (loss) | 2.54%A | 2.60% | 2.32% | 2.84% | 3.11% | 3.18% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 272,062 | $ 291,176 | $ 295,656 | $ 235,064 | $ 264,608 | $ 250,802 |
Portfolio turnover rate | 204%A | 74% | 102% | 134% | 126% | 126% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.03 per share.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
Financial Highlights - Service Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 14.28 | $ 13.81 | $ 12.11 | $ 13.66 | $ 14.39 | $ 15.94 |
Income from Investment Operations | | | | | | |
Net investment income (loss)E | .17 | .34F | .28 | .34 | .41 | .46 |
Net realized and unrealized gain (loss) | (.46) | .40 | 1.77 | (1.51) | (.64) | (1.14) |
Total from investment operations | (.29) | .74 | 2.05 | (1.17) | (.23) | (.68) |
Distributions from net investment income | (.35) | (.27) | (.35) | (.38) | (.50) | (.47) |
Distributions from net realized gain | (.01) | - | - | - | - | (.35) |
Distributions in excess of net realized gain | - | - | - | - | - | (.05) |
Total distributions | (.36) | (.27) | (.35) | (.38) | (.50) | (.87) |
Net asset value, end of period | $ 13.63 | $ 14.28 | $ 13.81 | $ 12.11 | $ 13.66 | $ 14.39 |
Total ReturnB,C,D | (2.08)% | 5.42% | 17.53% | (8.75)% | (1.72)% | (4.38)% |
Ratios to Average Net AssetsG | | | | | | |
Expenses before expense reductions | .67%A | .67% | .69% | .67% | .67% | .68% |
Expenses net of voluntary waivers, if any | .67%A | .67% | .69% | .67% | .67% | .68% |
Expenses net of all reductions | .63%A | .67% | .68% | .65% | .65% | .66% |
Net investment income (loss) | 2.43%A | 2.50% | 2.22% | 2.74% | 3.01% | 3.08% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 18,816 | $ 21,228 | $ 21,903 | $ 20,019 | $ 25,455 | $ 27,563 |
Portfolio turnover rate | 204%A | 74% | 102% | 134% | 126% | 126% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.03 per share.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Service Class 2
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000G |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 14.20 | $ 13.75 | $ 12.05 | $ 13.61 | $ 14.37 | $ 15.59 |
Income from Investment Operations | | | | | | |
Net investment income (loss)E | .16 | .32 F | .26 | .32 | .38 | .40 |
Net realized and unrealized gain (loss) | (.44) | .38 | 1.77 | (1.51) | (.63) | (.75) |
Total from investment operations | (.28) | .70 | 2.03 | (1.19) | (.25) | (.35) |
Distributions from net investment income | (.34) | (.25) | (.33) | (.37) | (.51) | (.47) |
Distributions from net realized gain | (.01) | - | - | - | - | (.35) |
Distributions in excess of net realized gain | - | - | - | - | - | (.05) |
Total distributions | (.35) | (.25) | (.33) | (.37) | (.51) | (.87) |
Net asset value, end of period | $ 13.57 | $ 14.20 | $ 13.75 | $ 12.05 | $ 13.61 | $ 14.37 |
Total ReturnB,C,D | (2.05)% | 5.15% | 17.41% | (8.93)% | (1.87)% | (2.37)% |
Ratios to Average Net AssetsH | | | | | | |
Expenses before expense reductions | .82%A | .82% | .84% | .83% | .83% | .85%A |
Expenses net of voluntary waivers, if any | .82%A | .82% | .84% | .83% | .83% | .85%A |
Expenses net of all reductions | .78%A | .82% | .84% | .81% | .81% | .83%A |
Net investment income (loss) | 2.28%A | 2.35% | 2.06% | 2.58% | 2.85% | 2.91%A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 37,612 | $ 37,020 | $ 29,485 | $ 18,577 | $ 16,798 | $ 4,797 |
Portfolio turnover rate | 204%A | 74% | 102% | 134% | 126% | 126% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F Investment income per share reflects a special dividend which amounted to $.03 per share.
G For the period January 12, 2000 (commencement of sale of shares) to December 31, 2000.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Balanced Portfolio
Fidelity Variable Insurance Products: High Income Portfolio
Investment Changes
Top Five Holdings as of June 30, 2005 |
(by issuer, excluding cash equivalents) | % of fund's
net assets | % of fund's net assets
6 months ago |
Qwest Corp. | 2.4 | 1.5 |
Kerr-McGee Corp. | 1.9 | 0.0 |
AES Corp. | 1.7 | 1.9 |
CMS Energy Corp. | 1.6 | 0.8 |
MGM MIRAGE | 1.6 | 1.5 |
| 9.2 | |
Top Five Market Sectors as of June 30, 2005 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Telecommunications | 10.8 | 9.6 |
Energy | 10.2 | 7.5 |
Electric Utilities | 8.5 | 7.0 |
Gaming | 6.0 | 4.4 |
Healthcare | 6.0 | 6.2 |
Quality Diversification (% of fund's net assets) |
As of June 30, 2005 | As of December 31, 2004 |
| AAA, AA, A 0.0% | | | AAA, AA, A 0.0% | |
 | BBB 1.0% | | | BBB 0.3% | |
| BB 35.1% | | | BB 36.8% | |
| B 44.4% | | | B 46.6% | |
 | CCC, CC, C 12.1% | |  | CCC, CC, C 10.1% | |
 | Not Rated 2.9% | | | Not Rated 3.3% | |
 | Equities 1.8% | | | Equities 0.3% | |
| Short-Term
Investments and
Net Other Assets 2.7% | | | Short-Term
Investments and
Net Other Assets 2.6% | |
We have used ratings from Moody's Investors Services, Inc. Where Moody's ratings are not available, we have used S&P ratings. |
Asset Allocation (% of fund's net assets) |
As of June 30, 2005 * | As of December 31, 2004 ** |
 | Nonconvertible
Bonds 85.0% | | | Nonconvertible
Bonds 91.1% | |
 | Convertible Bonds,
Preferred Stocks 0.0% | | | Convertible Bonds, Preferred Stocks 0.1% | |
 | Common Stocks 1.8% | | | Common Stocks 0.2% | |
 | Floating Rate
Loans 10.2% | | | Floating Rate
Loans 5.7% | |
 | Other Investments 0.3% | | | Other Investments 0.3% | |
 | Short-Term
Investments and
Net Other Assets 2.7% | | | Short-Term
Investments and
Net Other Assets 2.6% | |
* Foreign
investments | 16.1% | | * *Foreign
investments | 17.5% | |
Semiannual Report
Fidelity Variable Insurance Products: High Income Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 85.0% |
| Principal Amount | | Value
(Note 1) |
Aerospace - 1.1% |
L-3 Communications Corp. 7.625% 6/15/12 | | $ 3,625,000 | | $ 3,860,625 |
Orbimage Holdings, Inc. 13.19% 7/1/12 (d)(e) | | 2,550,000 | | 2,671,125 |
Orbital Sciences Corp. 9% 7/15/11 | | 5,900,000 | | 6,431,000 |
Primus International, Inc. 10.5% 4/15/09 (d) | | 4,505,000 | | 4,730,250 |
| | 17,693,000 |
Air Transportation - 1.0% |
American Airlines, Inc. pass thru trust certificates: | | | | |
6.817% 5/23/11 | | 5,185,000 | | 4,912,788 |
7.324% 4/15/11 | | 990,000 | | 871,200 |
7.377% 5/23/19 | | 5,317,660 | | 3,722,362 |
7.379% 5/23/16 | | 2,300,222 | | 1,610,156 |
7.8% 4/1/08 | | 4,510,000 | | 4,273,225 |
AMR Corp. 10.2% 3/15/20 | | 75,000 | | 54,000 |
Northwest Airlines, Inc. pass thru trust certificates 8.07% 1/2/15 | | 1,766,149 | | 830,090 |
| | 16,273,821 |
Automotive - 1.6% |
Accuride Corp. 8.5% 2/1/15 | | 1,205,000 | | 1,171,863 |
Delco Remy International, Inc. 9.375% 4/15/12 | | 5,500,000 | | 4,482,500 |
Ford Motor Credit Co. 6.625% 6/16/08 | | 9,885,000 | | 9,761,438 |
Navistar International Corp.: | | | | |
6.25% 3/1/12 (d) | | 4,060,000 | | 3,907,750 |
7.5% 6/15/11 | | 2,915,000 | | 2,973,300 |
Tenneco Automotive, Inc. 8.625% 11/15/14 | | 3,895,000 | | 3,914,475 |
| | 26,211,326 |
Banks and Thrifts - 0.3% |
Western Financial Bank 9.625% 5/15/12 | | 5,125,000 | | 5,560,625 |
Broadcasting - 0.4% |
Emmis Communications Corp. 9.3144% 6/15/12 (d)(e) | | 2,940,000 | | 2,984,100 |
Gray Television, Inc. 9.25% 12/15/11 | | 3,335,000 | | 3,618,475 |
| | 6,602,575 |
Building Materials - 1.8% |
Anixter International, Inc. 5.95% 3/1/15 | | 3,710,000 | | 3,635,800 |
Goodman Global Holdings, Inc.: | | | | |
6.41% 6/15/12 (d)(e) | | 4,905,000 | | 4,782,375 |
7.875% 12/15/12 (d) | | 4,015,000 | | 3,713,875 |
Maax Holdings, Inc. 0% 12/15/12 (c)(d) | | 9,895,000 | | 4,452,750 |
Nortek, Inc. 8.5% 9/1/14 | | 5,350,000 | | 4,922,000 |
NTK Holdings, Inc. 0% 3/1/14 (c)(d) | | 6,150,000 | | 2,952,000 |
|
| Principal Amount | | Value
(Note 1) |
Texas Industries, Inc.: | | | | |
7.25% 7/15/13 (d) | | $ 920,000 | | $ 943,000 |
10.25% 6/15/11 | | 2,910,000 | | 3,364,688 |
| | 28,766,488 |
Cable TV - 3.5% |
Cablevision Systems Corp. 7.88% 4/1/09 (e) | | 6,165,000 | | 6,180,413 |
CSC Holdings, Inc. 8.125% 7/15/09 | | 3,650,000 | | 3,695,625 |
DirecTV Holdings LLC/DirecTV Financing, Inc. 8.375% 3/15/13 | | 3,636,000 | | 4,026,870 |
EchoStar DBS Corp. 5.75% 10/1/08 | | 24,875,000 | | 24,750,602 |
GCI, Inc. 7.25% 2/15/14 | | 4,080,000 | | 3,916,800 |
Insight Communications, Inc. 0% 2/15/11 (c) | | 1,310,000 | | 1,313,275 |
Insight Midwest LP/Insight Capital, Inc. 10.5% 11/1/10 | | 580,000 | | 615,554 |
Kabel Deutschland GmbH 10.625% 7/1/14 (d) | | 2,065,000 | | 2,245,688 |
Mediacom LLC/Mediacom Capital Corp. 7.875% 2/15/11 | | 3,200,000 | | 3,112,000 |
Telenet Group Holding NV 0% 6/15/14 (c)(d) | | 9,055,000 | | 7,062,900 |
| | 56,919,727 |
Capital Goods - 3.3% |
Amsted Industries, Inc. 10.25% 10/15/11 (d) | | 6,840,000 | | 7,387,200 |
Case New Holland, Inc.: | | | | |
6% 6/1/09 | | 4,815,000 | | 4,622,400 |
9.25% 8/1/11 | | 2,635,000 | | 2,779,925 |
Dresser, Inc. 9.375% 4/15/11 | | 7,700,000 | | 8,104,250 |
Invensys PLC 9.875% 3/15/11 (d) | | 15,075,000 | | 14,622,750 |
Leucadia National Corp. 7% 8/15/13 | | 5,375,000 | | 5,375,000 |
Park-Ohio Industries, Inc. 8.375% 11/15/14 (d) | | 3,645,000 | | 3,152,925 |
Sensus Metering Systems, Inc. 8.625% 12/15/13 | | 4,160,000 | | 3,868,800 |
Terex Corp.: | | | | |
9.25% 7/15/11 | | 2,410,000 | | 2,608,825 |
10.375% 4/1/11 | | 740,000 | | 804,750 |
| | 53,326,825 |
Chemicals - 3.2% |
BCI US Finance Corp./Borden 2 Nova Scotia Finance ULC 9.0988% 7/15/10 (d)(e) | | 990,000 | | 990,000 |
Borden US Finance Corp./Nova Scotia Finance ULC: | | | | |
7.8906% 7/15/10 (d)(e) | | 4,720,000 | | 4,625,600 |
9% 7/15/14 (d) | | 3,680,000 | | 3,772,000 |
Crompton Corp. 9.875% 8/1/12 | | 1,310,000 | | 1,506,500 |
Crystal US Holding 3 LLC/Crystal US Sub 3 Corp.: | | | | |
Series A, 0% 10/1/14 (c) | | 2,905,000 | | 2,062,550 |
Nonconvertible Bonds - continued |
| Principal Amount | | Value
(Note 1) |
Chemicals - continued |
Crystal US Holding 3 LLC/Crystal US Sub 3 Corp.: - continued | | | | |
Series B, 0% 10/1/14 (c) | | $ 1,965,000 | | $ 1,375,500 |
Equistar Chemicals LP 7.55% 2/15/26 | | 2,890,000 | | 2,673,250 |
Equistar Chemicals LP/Equistar Funding Corp.: | | | | |
8.75% 2/15/09 | | 925,000 | | 971,250 |
10.125% 9/1/08 | | 2,800,000 | | 3,041,500 |
Huntsman LLC: | | | | |
10.6406% 7/15/11 (e) | | 5,700,000 | | 6,056,250 |
11.5% 7/15/12 | | 340,000 | | 397,800 |
11.625% 10/15/10 | | 300,000 | | 351,000 |
IMC Global, Inc. 10.875% 6/1/08 | | 760,000 | | 856,900 |
Millennium America, Inc. 9.25% 6/15/08 | | 11,875,000 | | 12,899,219 |
Nalco Co. 7.75% 11/15/11 | | 5,015,000 | | 5,309,631 |
NOVA Chemicals Corp. 7.4% 4/1/09 | | 4,420,000 | | 4,552,600 |
Rhodia SA 10.25% 6/1/10 | | 1,130,000 | | 1,211,925 |
| | 52,653,475 |
Consumer Products - 0.8% |
Church & Dwight Co., Inc. 6% 12/15/12 | | 4,630,000 | | 4,676,300 |
Jostens Holding Corp. 0% 12/1/13 (c) | | 3,050,000 | | 2,142,625 |
Jostens IH Corp. 7.625% 10/1/12 | | 1,970,000 | | 1,940,450 |
Revlon Consumer Products Corp. 9.5% 4/1/11 | | 1,940,000 | | 1,843,000 |
Samsonite Corp. 8.875% 6/1/11 | | 2,045,000 | | 2,177,925 |
| | 12,780,300 |
Containers - 2.6% |
Berry Plastics Corp. 10.75% 7/15/12 | | 3,000,000 | | 3,270,000 |
BWAY Corp. 10% 10/15/10 | | 7,005,000 | | 7,285,200 |
Crown European Holdings SA: | | | | |
9.5% 3/1/11 | | 2,500,000 | | 2,762,500 |
10.875% 3/1/13 | | 9,805,000 | | 11,545,388 |
Owens-Brockway Glass Container, Inc.: | | | | |
8.25% 5/15/13 | | 5,115,000 | | 5,498,625 |
8.75% 11/15/12 | | 1,750,000 | | 1,929,375 |
Owens-Illinois, Inc.: | | | | |
7.35% 5/15/08 | | 3,505,000 | | 3,645,200 |
7.5% 5/15/10 | | 6,140,000 | | 6,462,350 |
| | 42,398,638 |
Diversified Financial Services - 0.5% |
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | | 1,775,000 | | 1,930,313 |
|
| Principal Amount | | Value
(Note 1) |
Residential Capital Corp. 6.375% 6/30/10 (d) | | $ 2,445,000 | | $ 2,456,956 |
Triad Acquisition Corp. 11.125% 5/1/13 (d) | | 2,930,000 | | 2,973,950 |
| | 7,361,219 |
Diversified Media - 1.1% |
Corus Entertainment, Inc. 8.75% 3/1/12 | | 6,140,000 | | 6,600,500 |
LBI Media Holdings, Inc. 0% 10/15/13 (c) | | 6,440,000 | | 4,830,000 |
LBI Media, Inc. 10.125% 7/15/12 | | 3,285,000 | | 3,621,713 |
Liberty Media Corp. 8.25% 2/1/30 | | 3,090,000 | | 3,073,920 |
| | 18,126,133 |
Electric Utilities - 6.6% |
AES Corp.: | | | | |
8.875% 2/15/11 | | 13,026,000 | | 14,491,425 |
9.375% 9/15/10 | | 6,433,000 | | 7,261,249 |
9.5% 6/1/09 | | 4,549,000 | | 5,055,076 |
AES Gener SA 7.5% 3/25/14 | | 5,290,000 | | 5,382,575 |
Allegheny Energy Supply Co. LLC 8.25% 4/15/12 (d) | | 2,770,000 | | 3,088,550 |
CMS Energy Corp.: | | | | |
6.3% 2/1/12 | | 3,040,000 | | 3,055,200 |
7.5% 1/15/09 | | 9,475,000 | | 9,925,063 |
7.75% 8/1/10 | | 1,970,000 | | 2,107,900 |
8.5% 4/15/11 | | 945,000 | | 1,050,131 |
8.9% 7/15/08 | | 3,315,000 | | 3,596,775 |
9.875% 10/15/07 | | 5,470,000 | | 5,962,300 |
MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. 7.375% 9/1/10 | | 4,700,000 | | 4,817,500 |
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc. 8.5% 9/1/10 | | 2,505,000 | | 2,649,038 |
Nevada Power Co. 10.875% 10/15/09 | | 1,095,000 | | 1,219,556 |
NRG Energy, Inc. 8% 12/15/13 (d) | | 10,786,000 | | 11,325,300 |
Sierra Pacific Power Co. 6.25% 4/15/12 | | 3,485,000 | | 3,580,838 |
Sierra Pacific Resources 8.625% 3/15/14 | | 1,850,000 | | 2,044,250 |
TECO Energy, Inc.: | | | | |
5.37% 5/1/10 (d)(e) | | 3,850,000 | | 3,907,750 |
7.2% 5/1/11 | | 5,285,000 | | 5,721,013 |
Tenaska Alabama Partners LP 7% 6/30/21 (d) | | 3,325,000 | | 3,391,500 |
Utilicorp Canada Finance Corp. 7.75% 6/15/11 | | 8,600,000 | | 8,858,000 |
| | 108,490,989 |
Energy - 6.7% |
Chesapeake Energy Corp. 7.75% 1/15/15 | | 6,100,000 | | 6,572,750 |
Nonconvertible Bonds - continued |
| Principal Amount | | Value
(Note 1) |
Energy - continued |
El Paso Corp. 7.625% 8/16/07 (d) | | $ 1,880,000 | | $ 1,927,000 |
Hanover Compressor Co.: | | | | |
0% 3/31/07 | | 5,595,000 | | 4,895,625 |
8.625% 12/15/10 | | 2,560,000 | | 2,688,000 |
9% 6/1/14 | | 1,540,000 | | 1,640,100 |
Hanover Equipment Trust 8.75% 9/1/11 | | 775,000 | | 819,563 |
Hilcorp Energy I LP/Hilcorp Finance Co. 10.5% 9/1/10 (d) | | 5,810,000 | | 6,478,150 |
Markwest Energy Partners LP/ Markwest Energy Finance Corp. 6.875% 11/1/14 (d) | | 1,941,000 | | 1,931,295 |
Newfield Exploration Co. 6.625% 9/1/14 | | 2,800,000 | | 2,926,000 |
Ocean Rig Norway AS 8.375% 7/1/13 (d) | | 1,510,000 | | 1,532,650 |
Parker Drilling Co.: | | | | |
8.08% 9/1/10 (e) | | 10,995,000 | | 11,434,800 |
9.625% 10/1/13 | | 1,505,000 | | 1,696,888 |
9.625% 10/1/13 (d) | | 2,455,000 | | 2,768,013 |
Pride International, Inc. 7.375% 7/15/14 | | 7,845,000 | | 8,609,888 |
Range Resources Corp. 7.375% 7/15/13 | | 10,885,000 | | 11,483,675 |
Sonat, Inc.: | | | | |
6.625% 2/1/08 | | 1,545,000 | | 1,546,931 |
7.625% 7/15/11 | | 8,680,000 | | 8,745,100 |
Stone Energy Corp. 6.75% 12/15/14 | | 5,535,000 | | 5,382,788 |
The Coastal Corp.: | | | | |
6.375% 2/1/09 | | 9,790,000 | | 9,618,675 |
6.5% 6/1/08 | | 1,510,000 | | 1,494,900 |
6.7% 2/15/27 | | 2,726,000 | | 2,746,445 |
7.75% 6/15/10 | | 9,494,000 | | 9,695,748 |
9.625% 5/15/12 | | 1,305,000 | | 1,428,975 |
Williams Co., Inc. Credit Linked Certificate Trust III 6.75% 4/15/09 (d) | | 1,455,000 | | 1,507,744 |
| | 109,571,703 |
Environmental - 0.6% |
Allied Waste North America, Inc.: | | | | |
5.75% 2/15/11 | | 2,640,000 | | 2,461,800 |
8.5% 12/1/08 | | 3,690,000 | | 3,870,072 |
8.875% 4/1/08 | | 3,725,000 | | 3,911,250 |
| | 10,243,122 |
Food and Drug Retail - 0.8% |
Rite Aid Corp.: | | | | |
8.125% 5/1/10 | | 590,000 | | 606,225 |
9.5% 2/15/11 | | 3,920,000 | | 4,179,700 |
|
| Principal Amount | | Value
(Note 1) |
Stater Brothers Holdings, Inc.: | | | | |
6.91% 6/15/10 (e) | | $ 5,155,000 | | $ 5,103,450 |
8.125% 6/15/12 | | 3,185,000 | | 3,089,450 |
| | 12,978,825 |
Food/Beverage/Tobacco - 1.7% |
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | | 2,210,000 | | 2,110,550 |
RJ Reynolds Tobacco Holdings, Inc.: | | | | |
6.5% 7/15/10 (d) | | 4,630,000 | | 4,606,850 |
7.3% 7/15/15 (d) | | 1,530,000 | | 1,526,175 |
Smithfield Foods, Inc.: | | | | |
7% 8/1/11 | | 5,950,000 | | 6,247,500 |
7.75% 5/15/13 | | 1,935,000 | | 2,099,475 |
8% 10/15/09 | | 1,510,000 | | 1,630,800 |
UAP Holding Corp. 0% 7/15/12 (c) | | 6,050,000 | | 4,961,000 |
United Agriculture Products, Inc. 8.25% 12/15/11 | | 4,949,000 | | 5,134,588 |
| | 28,316,938 |
Gaming - 5.7% |
Mandalay Resort Group: | | | | |
9.375% 2/15/10 | | 4,655,000 | | 5,178,688 |
10.25% 8/1/07 | | 3,125,000 | | 3,433,750 |
MGM MIRAGE: | | | | |
6% 10/1/09 | | 14,545,000 | | 14,672,996 |
6.75% 9/1/12 | | 8,910,000 | | 9,177,300 |
Mohegan Tribal Gaming Authority: | | | | |
6.375% 7/15/09 | | 11,815,000 | | 12,021,763 |
7.125% 8/15/14 | | 2,220,000 | | 2,297,700 |
8% 4/1/12 | | 1,220,000 | | 1,306,986 |
MTR Gaming Group, Inc. 9.75% 4/1/10 | | 3,690,000 | | 4,012,875 |
Pinnacle Entertainment, Inc. 8.25% 3/15/12 | | 4,975,000 | | 5,161,563 |
Scientific Games Corp. 6.25% 12/15/12 (d) | | 4,465,000 | | 4,487,325 |
Seneca Gaming Corp.: | | | | |
7.25% 5/1/12 (Reg.S) (d) | | 4,600,000 | | 4,755,250 |
7.25% 5/1/12 | | 6,020,000 | | 6,223,175 |
Station Casinos, Inc. 6.875% 3/1/16 (d) | | 6,700,000 | | 6,884,250 |
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | | | | |
0% 1/15/13 (c)(d) | | 2,100,000 | | 1,470,000 |
9% 1/15/12 (d) | | 4,610,000 | | 4,805,925 |
Wheeling Island Gaming, Inc. 10.125% 12/15/09 | | 6,730,000 | | 7,133,800 |
| | 93,023,346 |
Healthcare - 5.1% |
AmerisourceBergen Corp. 7.25% 11/15/12 | | 5,070,000 | | 5,577,000 |
AMR HoldCo, Inc./ EmCare HoldCo, Inc. 10% 2/15/15 (d) | | 2,980,000 | | 3,173,700 |
Nonconvertible Bonds - continued |
| Principal Amount | | Value
(Note 1) |
Healthcare - continued |
CDRV Investors, Inc. 0% 1/1/15 (c)(d) | | $ 14,295,000 | | $ 7,076,025 |
Concentra Operating Corp.: | | | | |
9.125% 6/1/12 | | 5,135,000 | | 5,443,100 |
9.5% 8/15/10 | | 2,145,000 | | 2,284,425 |
DaVita, Inc. 6.625% 3/15/13 (d) | | 6,520,000 | | 6,731,900 |
Fisher Scientific International, Inc. 8% 9/1/13 | | 3,485,000 | | 3,972,900 |
HCA, Inc. 5.5% 12/1/09 | | 5,510,000 | | 5,517,383 |
HealthSouth Corp.: | | | | |
7.375% 10/1/06 | | 1,040,000 | | 1,053,000 |
7.625% 6/1/12 | | 3,335,000 | | 3,234,950 |
8.5% 2/1/08 | | 3,373,000 | | 3,406,730 |
Omega Healthcare Investors, Inc. 7% 4/1/14 | | 7,230,000 | | 7,284,225 |
PerkinElmer, Inc. 8.875% 1/15/13 | | 7,225,000 | | 7,992,656 |
Psychiatric Solutions, Inc. 7.75% 7/15/15 (d) | | 4,310,000 | | 4,310,000 |
Senior Housing Properties Trust 8.625% 1/15/12 | | 9,170,000 | | 10,247,475 |
Service Corp. International (SCI): | | | | |
7.7% 4/15/09 | | 1,915,000 | | 2,039,475 |
7.7% 4/15/09 | | 830,000 | | 888,100 |
Ventas Realty LP/Ventas Capital Corp. 6.75% 6/1/10 (d) | | 2,420,000 | | 2,510,750 |
| | 82,743,794 |
Homebuilding/Real Estate - 3.6% |
American Real Estate Partners/American Real Estate Finance Corp.: | | | | |
7.125% 2/15/13 (d) | | 5,020,000 | | 4,944,700 |
8.125% 6/1/12 | | 11,900,000 | | 12,286,750 |
K. Hovnanian Enterprises, Inc.: | | | | |
6% 1/15/10 | | 1,330,000 | | 1,303,400 |
8.875% 4/1/12 | | 1,240,000 | | 1,339,200 |
KB Home 7.75% 2/1/10 | | 10,470,000 | | 10,941,150 |
Standard Pacific Corp.: | | | | |
5.125% 4/1/09 | | 5,680,000 | | 5,452,800 |
6.5% 10/1/08 | | 2,665,000 | | 2,665,000 |
6.875% 5/15/11 | | 2,825,000 | | 2,853,250 |
Technical Olympic USA, Inc.: | | | | |
7.5% 3/15/11 | | 1,345,000 | | 1,223,950 |
7.5% 1/15/15 | | 5,115,000 | | 4,526,775 |
9% 7/1/10 | | 1,110,000 | | 1,126,650 |
10.375% 7/1/12 | | 4,125,000 | | 4,207,500 |
WCI Communities, Inc.: | | | | |
6.625% 3/15/15 | | 3,135,000 | | 2,852,850 |
7.875% 10/1/13 | | 2,605,000 | | 2,605,000 |
| | 58,328,975 |
|
| Principal Amount | | Value
(Note 1) |
Hotels - 0.8% |
Grupo Posadas SA de CV 8.75% 10/4/11 (d) | | $ 5,725,000 | | $ 6,111,438 |
Host Marriott LP 7.125% 11/1/13 | | 6,855,000 | | 7,146,338 |
| | 13,257,776 |
Insurance - 0.2% |
Crum & Forster Holdings Corp. 10.375% 6/15/13 | | 3,605,000 | | 3,911,425 |
Leisure - 2.0% |
Equinox Holdings Ltd. 9% 12/15/09 | | 1,690,000 | | 1,757,600 |
Six Flags, Inc.: | | | | |
9.625% 6/1/14 | | 3,080,000 | | 2,868,250 |
9.75% 4/15/13 | | 1,550,000 | | 1,458,938 |
Speedway Motorsports, Inc. 6.75% 6/1/13 | | 875,000 | | 901,250 |
Town Sports International Holdings, Inc. 0% 2/1/14 (c) | | 3,870,000 | | 2,225,250 |
Town Sports International, Inc. 9.625% 4/15/11 | | 6,810,000 | | 7,048,350 |
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | | 10,015,000 | | 11,492,213 |
Universal City Florida Holding Co. I/II 7.96% 5/1/10 (e) | | 5,345,000 | | 5,545,438 |
| | 33,297,289 |
Metals/Mining - 2.0% |
Century Aluminum Co. 7.5% 8/15/14 | | 1,735,000 | | 1,735,000 |
Compass Minerals International, Inc.: | | | | |
0% 12/15/12 (c) | | 5,940,000 | | 5,197,500 |
0% 6/1/13 (c) | | 9,470,000 | | 7,907,450 |
Freeport-McMoRan Copper & Gold, Inc.: | | | | |
6.875% 2/1/14 | | 1,840,000 | | 1,803,200 |
10.125% 2/1/10 | | 600,000 | | 669,000 |
Massey Energy Co. 6.625% 11/15/10 | | 2,065,000 | | 2,095,975 |
Peabody Energy Corp. 6.875% 3/15/13 | | 2,400,000 | | 2,544,000 |
Vedanta Resources PLC 6.625% 2/22/10 (d) | | 10,775,000 | | 10,640,313 |
| | 32,592,438 |
Paper - 1.0% |
Georgia-Pacific Corp.: | | | | |
8% 1/15/14 | | 1,705,000 | | 1,877,631 |
8.125% 5/15/11 | | 3,120,000 | | 3,517,800 |
8.875% 2/1/10 | | 3,440,000 | | 3,887,200 |
9.375% 2/1/13 | | 2,620,000 | | 2,960,600 |
Norske Skog Canada Ltd. 8.625% 6/15/11 | | 3,465,000 | | 3,568,950 |
| | 15,812,181 |
Nonconvertible Bonds - continued |
| Principal Amount | | Value
(Note 1) |
Publishing/Printing - 1.4% |
Dex Media East LLC/Dex Media East Finance Co. 9.875% 11/15/09 | | $ 1,645,000 | | $ 1,809,500 |
Houghton Mifflin Co.: | | | | |
7.2% 3/15/11 | | 570,000 | | 592,800 |
9.875% 2/1/13 | | 5,435,000 | | 5,747,513 |
NBC Acquisition Corp. 0% 3/15/13 (c) | | 1,665,000 | | 1,190,475 |
The Reader's Digest Association, Inc. 6.5% 3/1/11 | | 13,745,000 | | 13,882,450 |
| | 23,222,738 |
Railroad - 0.9% |
Kansas City Southern Railway Co.: | | | | |
7.5% 6/15/09 | | 13,525,000 | | 13,863,125 |
9.5% 10/1/08 | | 150,000 | | 163,500 |
TFM SA de CV yankee 10.25% 6/15/07 | | 505,000 | | 537,825 |
| | 14,564,450 |
Restaurants - 1.0% |
Carrols Corp. 9% 1/15/13 (d) | | 4,235,000 | | 4,287,938 |
Domino's, Inc. 8.25% 7/1/11 | | 1,435,000 | | 1,535,450 |
Friendly Ice Cream Corp. 8.375% 6/15/12 | | 4,760,000 | | 4,569,600 |
Landry's Seafood Restaurants, Inc. 7.5% 12/15/14 | | 6,915,000 | | 6,707,550 |
| | 17,100,538 |
Services - 1.2% |
Iron Mountain, Inc.: | | | | |
7.75% 1/15/15 | | 670,000 | | 676,700 |
8.25% 7/1/11 | | 5,555,000 | | 5,666,100 |
8.625% 4/1/13 | | 6,525,000 | | 6,753,375 |
Neff Rent LLC/Neff Finance Corp. 11.25% 6/15/12 (d) | | 3,100,000 | | 3,162,000 |
Rural/Metro Corp.: | | | | |
0% 3/15/16 (c)(d) | | 5,620,000 | | 2,669,500 |
9.875% 3/15/15 (d) | | 1,035,000 | | 1,001,363 |
| | 19,929,038 |
Shipping - 3.6% |
General Maritime Corp. 10% 3/15/13 | | 6,380,000 | | 6,922,300 |
OMI Corp. 7.625% 12/1/13 | | 9,595,000 | | 9,547,025 |
Ship Finance International Ltd. 8.5% 12/15/13 | | 25,180,000 | | 24,172,800 |
Teekay Shipping Corp. 8.875% 7/15/11 | | 15,908,000 | | 18,135,120 |
| | 58,777,245 |
Steels - 1.5% |
Allegheny Technologies, Inc. 8.375% 12/15/11 | | 5,820,000 | | 5,994,600 |
CSN Islands VII Corp. 10.75% 9/12/08 (d) | | 5,755,000 | | 6,431,213 |
|
| Principal Amount | | Value
(Note 1) |
Gerdau AmeriSteel Corp./GUSAP Partners 10.375% 7/15/11 | | $ 8,380,000 | | $ 9,071,350 |
Ryerson Tull, Inc. 8.25% 12/15/11 | | 4,350,000 | | 3,784,500 |
| | 25,281,663 |
Super Retail - 1.8% |
Asbury Automotive Group, Inc. 9% 6/15/12 | | 8,160,000 | | 8,323,200 |
Buhrmann US, Inc. 7.875% 3/1/15 (d) | | 2,505,000 | | 2,436,113 |
JCPenney Co., Inc.: | | | | |
7.375% 8/15/08 | | 2,635,000 | | 2,826,038 |
7.6% 4/1/07 | | 1,465,000 | | 1,541,913 |
Nebraska Book Co., Inc. 8.625% 3/15/12 | | 2,530,000 | | 2,359,225 |
Saks, Inc.: | | | | |
7% 12/1/13 | | 920,000 | | 910,800 |
9.875% 10/1/11 | | 4,036,000 | | 4,409,330 |
Sonic Automotive, Inc. 8.625% 8/15/13 | | 6,095,000 | | 6,155,950 |
| | 28,962,569 |
Technology - 5.0% |
Advanced Micro Devices, Inc. 7.75% 11/1/12 | | 6,315,000 | | 6,188,700 |
Amkor Technology, Inc.: | | | | |
7.125% 3/15/11 | | 1,525,000 | | 1,319,125 |
7.75% 5/15/13 | | 1,535,000 | | 1,323,938 |
9.25% 2/15/08 | | 1,530,000 | | 1,472,625 |
Celestica, Inc.: | | | | |
7.625% 7/1/13 | | 3,290,000 | | 3,310,563 |
7.875% 7/1/11 | | 11,125,000 | | 11,403,125 |
Freescale Semiconductor, Inc. 6.875% 7/15/11 | | 9,965,000 | | 10,537,988 |
Lucent Technologies, Inc. 5.5% 11/15/08 | | 1,205,000 | | 1,186,925 |
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. 6.66% 12/15/11 (d)(e) | | 6,090,000 | | 6,029,100 |
New ASAT Finance Ltd. 9.25% 2/1/11 | | 2,000,000 | | 1,650,000 |
Nortel Networks Corp. 6.125% 2/15/06 | | 2,965,000 | | 2,979,825 |
Sanmina-SCI Corp. 6.75% 3/1/13 (d) | | 6,800,000 | | 6,494,000 |
Viasystems, Inc. 10.5% 1/15/11 | | 825,000 | | 754,875 |
Xerox Capital Trust I 8% 2/1/27 | | 8,315,000 | | 8,585,238 |
Xerox Corp.: | | | | |
6.875% 8/15/11 | | 10,110,000 | | 10,716,600 |
7.625% 6/15/13 | | 5,585,000 | | 6,003,875 |
9.75% 1/15/09 | | 2,115,000 | | 2,400,525 |
| | 82,357,027 |
Telecommunications - 10.2% |
American Tower Corp. 7.125% 10/15/12 | | 1,720,000 | | 1,814,600 |
Nonconvertible Bonds - continued |
| Principal Amount | | Value
(Note 1) |
Telecommunications - continued |
American Towers, Inc. 7.25% 12/1/11 | | $ 1,000,000 | | $ 1,052,500 |
Centennial Cellular Operating Co./Centennial Communications Corp. 10.125% 6/15/13 | | 1,235,000 | | 1,395,550 |
Empresa Brasileira de Telecomm SA 11% 12/15/08 | | 3,438,000 | | 3,919,320 |
Intelsat Ltd.: | | | | |
5.25% 11/1/08 | | 3,690,000 | | 3,450,150 |
6.5% 11/1/13 | | 9,915,000 | | 8,031,150 |
7.625% 4/15/12 | | 7,255,000 | | 6,348,125 |
7.805% 1/15/12 (d)(e) | | 4,220,000 | | 4,314,950 |
MCI, Inc. 8.735% 5/1/14 (e) | | 6,175,000 | | 6,923,719 |
Millicom International Cellular SA 10% 12/1/13 | | 8,655,000 | | 8,611,725 |
Mobile Telesystems Finance SA 8% 1/28/12 (d) | | 3,060,000 | | 3,098,250 |
New Skies Satellites BV: | | | | |
8.5388% 11/1/11 (d)(e) | | 4,890,000 | | 5,000,025 |
9.125% 11/1/12 (d) | | 3,740,000 | | 3,758,700 |
Nextel Communications, Inc.: | | | | |
5.95% 3/15/14 | | 1,995,000 | | 2,074,800 |
6.875% 10/31/13 | | 18,335,000 | | 19,526,775 |
PanAmSat Corp. 9% 8/15/14 | | 5,374,000 | | 5,844,225 |
Qwest Capital Funding, Inc.: | | | | |
7% 8/3/09 | | 4,405,000 | | 4,261,838 |
7.9% 8/15/10 | | 4,980,000 | | 4,923,975 |
Qwest Communications International, Inc. 7.5% 2/15/14 (d) | | 4,490,000 | | 4,243,050 |
Qwest Corp.: | | | | |
6.6706% 6/15/13 (d)(e) | | 10,630,000 | | 10,882,463 |
7.625% 6/15/15 (d) | | 7,130,000 | | 7,281,513 |
7.875% 9/1/11 | | 2,120,000 | | 2,199,500 |
8.875% 3/15/12 | | 11,940,000 | | 12,984,750 |
Qwest Services Corp.: | | | | |
13.5% 12/15/10 | | 2,340,000 | | 2,691,000 |
14% 12/15/14 | | 945,000 | | 1,134,000 |
Rogers Communications, Inc.: | | | | |
7.25% 12/15/12 | | 3,140,000 | | 3,383,350 |
8% 12/15/12 | | 2,680,000 | | 2,874,300 |
9.625% 5/1/11 | | 8,545,000 | | 10,040,375 |
SBA Communications Corp. 8.5% 12/1/12 | | 5,985,000 | | 6,463,800 |
U.S. West Capital Funding, Inc. 6.375% 7/15/08 | | 3,985,000 | | 3,845,525 |
U.S. West Communications 7.5% 6/15/23 | | 5,970,000 | | 5,477,475 |
| | 167,851,478 |
Textiles & Apparel - 0.4% |
Levi Strauss & Co.: | | | | |
7.73% 4/1/12 (e) | | 2,980,000 | | 2,816,100 |
|
| Principal Amount | | Value
(Note 1) |
9.75% 1/15/15 | | $ 875,000 | | $ 864,063 |
12.25% 12/15/12 | | 930,000 | | 1,013,700 |
Tommy Hilfiger USA, Inc. 6.85% 6/1/08 | | 1,555,000 | | 1,566,663 |
| | 6,260,526 |
TOTAL NONCONVERTIBLE BONDS (Cost $1,367,979,330) | 1,391,550,225 |
Commercial Mortgage Securities - 0.3% |
|
Banc of America Commercial Mortgage, Inc. Series 2003-2: | | | | |
Class BWD, 6.947% 10/11/37 (d) | | 611,505 | | 636,591 |
Class BWE, 7.226% 10/11/37 (d) | | 826,922 | | 859,957 |
Class BWF, 7.55% 10/11/37 (d) | | 730,010 | | 760,399 |
Class BWG, 8.155% 10/11/37 (d) | | 706,068 | | 727,857 |
Class BWH, 9.073% 10/11/37 (d) | | 369,286 | | 386,711 |
Class BWJ, 9.99% 10/11/37 (d) | | 610,513 | | 637,085 |
Class BWK, 10.676% 10/11/37 (d) | | 475,505 | | 498,723 |
Class BWL, 10.1596% 10/11/37 (d) | | 793,170 | | 769,154 |
LB Multi-family Mortgage Trust Series 1991-4 Class A1, 7.0215% 4/25/21 (d)(e) | | 225,067 | | 202,560 |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $5,067,131) | 5,479,037 |
Common Stocks - 1.8% |
| | Shares | | |
Aerospace - 0.1% |
L-3 Communications Holdings, Inc. | | 24,800 | | 1,899,184 |
Cable TV - 0.1% |
EchoStar Communications Corp. Class A | | 7,100 | | 214,065 |
The DIRECTV Group, Inc. (a) | | 98,600 | | 1,528,300 |
| | | 1,742,365 |
Chemicals - 0.1% |
Huntsman Corp. | | 93,936 | | 1,713,674 |
Electric Utilities - 0.1% |
AES Corp. (a) | | 34,600 | | 566,748 |
CMS Energy Corp. (a) | | 35,000 | | 527,100 |
| | | 1,093,848 |
Energy - 0.1% |
Chesapeake Energy Corp. | | 34,600 | | 788,880 |
Gaming - 0.3% |
MGM MIRAGE (a) | | 44,300 | | 1,753,394 |
Scientific Games Corp. Class A (a) | | 146,500 | | 3,945,245 |
| | | 5,698,639 |
Common Stocks - continued |
| | Shares | | Value
(Note 1) |
Homebuilding/Real Estate - 0.0% |
American Real Estate Partners LP (a) | | 500 | | $ 14,525 |
Swerdlow Real Estate Group LLC (a)(f) | | 159,600 | | 255,360 |
| | | 269,885 |
Paper - 0.2% |
Georgia-Pacific Corp. | | 93,500 | | 2,973,300 |
Services - 0.2% |
Iron Mountain, Inc. (a) | | 99,900 | | 3,098,898 |
Shipping - 0.3% |
OMI Corp. | | 95,400 | | 1,813,554 |
Teekay Shipping Corp. | | 68,900 | | 3,024,710 |
| | | 4,838,264 |
Technology - 0.1% |
Xerox Corp. (a) | | 147,600 | | 2,035,404 |
Telecommunications - 0.2% |
American Tower Corp. Class A (a) | | 50,100 | | 1,053,102 |
New Skies Satellites Holdings Ltd. | | 4,200 | | 83,370 |
Nextel Communications, Inc. Class A (a) | | 24,800 | | 801,288 |
Qwest Communications International, Inc. (a) | | 497,200 | | 1,844,612 |
| | | 3,782,372 |
Textiles & Apparel - 0.0% |
Arena Brands Holding Corp. Class B (f) | | 48,889 | | 506,001 |
TOTAL COMMON STOCKS (Cost $32,351,449) | | 30,440,714 |
Floating Rate Loans - 10.2% |
| Principal Amount | | |
Building Materials - 0.5% |
Masonite International Corp. term loan 9.3838% 4/6/15 (e) | | $ 7,930,000 | | 7,920,088 |
Cable TV - 0.4% |
UPC Broadband Holding BV Tranche H2, term loan 5.752% 9/30/12 (e) | | 5,970,000 | | 5,984,925 |
Electric Utilities - 1.8% |
Cogentrix Delaware Holdings, Inc. term loan 5.24% 4/14/12 (e) | | 8,623,220 | | 8,687,895 |
Covanta Energy Corp.: | | | | |
Tranche 1: | | | | |
Credit-Linked Deposit 6.46% 6/24/12 (e) | | 4,566,504 | | 4,600,753 |
term loan 6.46% 6/24/12 (e) | | 3,693,496 | | 3,721,197 |
Tranche 2, term loan 8.88% 6/24/13 (e) | | 5,440,000 | | 5,426,400 |
Riverside Energy Center LLC: | | | | |
term loan 7.44% 6/24/11 (e) | | 7,447,363 | | 7,596,311 |
Credit-Linked Deposit 6.98% 6/24/11 (e) | | 339,834 | | 344,931 |
| | 30,377,487 |
|
| Principal Amount | | Value
(Note 1) |
Energy - 3.4% |
Coffeyville Resources LLC: | | | | |
Credit-Linked Deposit 6.063% 7/8/11 (e) | | $ 264,000 | | $ 250,800 |
Tranche 2, term loan 10.3125% 7/8/13 (e) | | 4,480,000 | | 4,558,400 |
Tranche B1, term loan 6.063% 7/8/12 (e) | | 396,000 | | 400,950 |
El Paso Corp.: | | | | |
Credit-Linked Deposit 5.855% 11/22/09 (e) | | 8,689,400 | | 8,721,985 |
term loan 6.125% 11/22/09 (e) | | 6,413,157 | | 6,469,273 |
Kerr-McGee Corp.: | | | | |
Tranche B, term loan 5.79% 5/24/11 (e) | | 17,550,000 | | 17,835,188 |
Tranche X, term loan 5.55% 5/24/07 (e) | | 12,780,000 | | 12,859,875 |
Magellan Midstream Holdings LP term loan 5.785% 6/30/12 (e) | | 4,075,000 | | 4,075,000 |
| | 55,171,471 |
Environmental - 0.9% |
Envirocare of Utah, Inc.: | | | | |
Tranche 1, term loan 6.11% 4/13/10 (e) | | 7,531,364 | | 7,559,606 |
Tranche 2, term loan 8.86% 4/13/10 (e) | | 7,680,000 | | 7,622,400 |
| | 15,182,006 |
Healthcare - 0.9% |
DaVita, Inc. Tranche B, term loan LIBOR + 2.25% 7/30/12 (e) | | 9,170,000 | | 9,284,625 |
HealthSouth Corp. term loan 8.22% 6/15/10 (e) | | 3,440,000 | | 3,495,900 |
Vicar Operating, Inc. term loan 4.875% 5/16/11 (e) | | 2,210,000 | | 2,215,525 |
| | 14,996,050 |
Homebuilding/Real Estate - 1.2% |
General Growth Properties, Inc.: | | | | |
Tranche A, term loan 5.37% 11/12/07 (e) | | 3,366,234 | | 3,387,273 |
Tranche B, term loan 5.58% 11/12/08 (e) | | 3,483,418 | | 3,513,898 |
LNR Property Corp.: | | | | |
Tranche A, term loan 7.71% 2/3/08 (e) | | 6,370,000 | | 6,370,000 |
Tranche B, term loan: | | | | |
6.3396% 2/3/08 (e) | | 3,380,897 | | 3,393,575 |
8.46% 2/3/08 (e) | | 3,700,000 | | 3,700,000 |
| | 20,364,746 |
Technology - 0.7% |
Fidelity National Information Solutions, Inc.: | | | | |
Tranche A, term loan 4.96% 3/9/11 (e) | | 6,149,587 | | 6,111,153 |
Floating Rate Loans - continued |
| Principal Amount | | Value
(Note 1) |
Technology - continued |
Fidelity National Information Solutions, Inc.: - continued | | | | |
Tranche B, term loan 4.96% 3/9/13 (e) | | $ 2,527,650 | | $ 2,518,171 |
Infor Global Solutions AG Tranche 2, term loan 10.712% 4/18/12 (e) | | 2,660,000 | | 2,653,350 |
| | 11,282,674 |
Telecommunications - 0.4% |
Qwest Corp. Tranche B, term loan 6.95% 6/30/10 (e) | | 5,900,000 | | 5,841,000 |
TOTAL FLOATING RATE LOANS (Cost $166,446,477) | 167,120,447 |
Money Market Funds - 3.3% |
| | Shares | | |
Fidelity Cash Central Fund, 3.21% (b)
(Cost $53,633,904) | | 53,633,904 | | 53,633,904 |
Cash Equivalents - 0.2% |
| | Maturity Amount | | |
Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations, in a joint trading account at 2.91%, dated 6/30/05 due 7/1/05)
(Cost $3,178,000) | | $ 3,178,257 | | 3,178,000 |
TOTAL INVESTMENT PORTFOLIO - 100.8% (Cost $1,628,656,291) | | | 1,651,402,327 |
NET OTHER ASSETS - (0.8)% | | | (13,649,820) |
NET ASSETS - 100% | | $ 1,637,752,507 |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent quarter end is available upon request. |
(c) Debt obligation initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(d) 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 period end, the value of these securities amounted to $268,888,962 or 16.4% of net assets. |
(e) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(f) 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 $761,361 or 0.0% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost |
Arena Brands Holding Corp. Class B | 6/18/97 | $ 1,974,627 |
Swerdlow Real Estate Group LLC | 1/15/99 | $ 7,697,348 |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 83.9% |
Canada | 4.5% |
Bermuda | 2.9% |
Marshall Islands | 2.4% |
United Kingdom | 1.6% |
Netherlands | 1.0% |
France | 1.0% |
Others (individually less than 1%) | 2.7% |
| 100.0% |
Income Tax Information |
At December 31, 2004, the fund had a capital loss carryforward of approximately $1,144,183,642 of which $283,148,757, $772,554,243 and $88,480,642 will expire on December 31, 2008, 2009 and 2010, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: High Income Portfolio
Financial Statements
Statement of Assets and Liabilities
| June 30, 2005 (Unaudited) |
| | |
Assets | | |
Investment in securities, at value (including repurchase agreements of $3,178,000) (cost $1,628,656,291) - See accompanying schedule | | $ 1,651,402,327 |
Cash | | 849,375 |
Receivable for investments sold | | 7,706,704 |
Receivable for fund shares sold | | 2,396,174 |
Dividends receivable | | 5,589 |
Interest receivable | | 25,642,077 |
Prepaid expenses | | 3,693 |
Other receivables | | 4,538 |
Total assets | | 1,688,010,477 |
Liabilities | | |
Payable for investments purchased | $ 46,841,096 | |
Payable for fund shares redeemed | 2,146,566 | |
Accrued management fee | 781,682 | |
Distribution fees payable | 50,753 | |
Other affiliated payables | 140,390 | |
Other payables and accrued expenses | 297,483 | |
Total liabilities | | 50,257,970 |
Net Assets | | $ 1,637,752,507 |
Net Assets consist of: | | |
Paid in capital | | $ 2,693,608,427 |
Undistributed net investment income | | 62,605,146 |
Accumulated undistributed net realized gain (loss) on investments | | (1,141,159,948) |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | | 22,698,882 |
Net Assets | | $ 1,637,752,507 |
Calculation of Maximum Offering Price | | |
Initial Class:
Net Asset Value, offering price and redemption price per share ($1,186,490,670 ÷ 183,663,740 shares) | | $ 6.46 |
Service Class:
Net Asset Value, offering price and redemption price per share ($340,067,035 ÷ 52,875,491 shares) | | $ 6.43 |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($110,952,571 ÷ 17,428,994 shares) | | $ 6.37 |
Initial Class R:
Net Asset Value, offering price and redemption price per share ($80,855 ÷ 12,527 shares) | | $ 6.45 |
Service Class R:
Net Asset Value, offering price and redemption price per share ($80,766 ÷ 12,561 shares) | | $ 6.43 |
Service Class 2R:
Net Asset Value, offering price and redemption price per share ($80,610 ÷ 12,657 shares) | | $ 6.37 |
Statement of Operations
| Six months ended June 30, 2005 (Unaudited) |
| | |
Investment Income | | |
Dividends | | $ 5,589 |
Interest | | 63,076,013 |
Total income | | 63,081,602 |
| | |
Expenses | | |
Management fee | $ 4,749,812 | |
Transfer agent fees | 561,857 | |
Distribution fees | 271,409 | |
Accounting fees and expenses | 294,184 | |
Independent trustees' compensation | 3,877 | |
Custodian fees and expenses | 25,737 | |
Audit | 40,601 | |
Legal | 10,794 | |
Interest | 23,748 | |
Miscellaneous | 33,780 | |
Total expenses before reductions | 6,015,799 | |
Expense reductions | (3,585) | 6,012,214 |
Net investment income | | 57,069,388 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on investment securities | | 5,753,555 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (68,739,211) | |
Assets and liabilities in foreign currencies | (47,897) | |
Total change in net unrealized appreciation (depreciation) | | (68,787,108) |
Net gain (loss) | | (63,033,553) |
Net increase (decrease) in net assets resulting from operations | | $ (5,964,165) |
See accompanying notes which are an integral part of the financial statements.
High Income Portfolio
Statement of Changes in Net Assets
| Six months ended June 30, 2005
(Unaudited) | Year ended
December 31, 2004 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income | $ 57,069,388 | $ 133,821,874 |
Net realized gain (loss) | 5,753,555 | 76,148,906 |
Change in net unrealized appreciation (depreciation) | (68,787,108) | (47,643,478) |
Net increase (decrease) in net assets resulting from operations | (5,964,165) | 162,327,302 |
Distributions to shareholders from net investment income | (133,394,599) | (155,517,698) |
Share transactions - net increase (decrease) | (66,236,462) | (251,486,736) |
Total increase (decrease) in net assets | (205,595,226) | (244,677,132) |
| | |
Net Assets | | |
Beginning of period | 1,843,347,733 | 2,088,024,865 |
End of period (including undistributed net investment income of $62,605,146 and undistributed net investment income of $142,574,339, respectively) | $ 1,637,752,507 | $ 1,843,347,733 |
Other Information: | | | | | |
| | | | | | |
Share Transactions | | Six months ended June 30, 2005 (Unaudited) | | |
| Initial Class | Service Class | Service Class 2 | Initial Class R | Service Class R | Service Class 2R |
Shares Sold | 23,754,843 | 17,571,801 | 9,916,815 | - | - | - |
Reinvested | 15,349,106 | 4,054,564 | 1,112,091 | 935 | 933 | 938 |
Redeemed | (51,324,095) | (22,834,646) | (7,243,999) | - | - | - |
Net increase (decrease) | (12,220,146) | (1,208,281) | 3,784,907 | 935 | 933 | 938 |
| | | | | | |
Dollars Sold | $ 155,546,843 | $ 112,911,455 | $ 63,259,707 | $ - | $ - | $ - |
Reinvested | 99,922,682 | 26,314,122 | 7,139,627 | 6,086 | 6,047 | 6,035 |
Redeemed | (335,150,200) | (149,425,286) | (46,773,580) | - | - | - |
Net increase (decrease) | $ (79,680,675) | $ (10,199,709) | $ 23,625,754 | $ 6,086 | $ 6,047 | $ 6,035 |
| | | | | | |
Share Transactions | | | Year ended December 31, 2004 | | |
| Initial Class | Service Class | Service Class 2 | Initial Class R A | Service Class R A | Service Class 2R A |
Shares Sold | 49,439,043 | 27,666,450 | 11,342,466 | 11,592 | 11,628 | 11,719 |
Reinvested | 18,412,464 | 4,720,558 | 928,353 | - | - | - |
Redeemed | (101,334,787) | (38,719,734) | (9,747,785) | - | - | - |
Net increase (decrease) | (33,483,280) | (6,332,726) | 2,523,034 | 11,592 | 11,628 | 11,719 |
| | | | | | |
Dollars Sold | $ 326,369,917 | $ 182,792,007 | $ 74,778,966 | $ 75,000 | $ 75,000 | $ 75,000 |
Reinvested | 119,128,639 | 30,447,599 | 5,941,460 | - | - | - |
Redeemed | (672,513,946) | (255,556,875) | (63,099,503) | - | - | - |
Net increase (decrease) | $ (227,015,390) | $ (42,317,269) | $ 17,620,923 | $ 75,000 | $ 75,000 | $ 75,000 |
| | | | | | |
Distributions | | | Six months ended June 30, 2005 (Unaudited) | | |
| Initial Class | Service Class | Service Class 2 | Initial Class R | Service Class R | Service Class 2R |
From net investment income | $ 99,922,682 | $ 26,314,122 | $ 7,139,627 | $ 6,086 | $ 6,047 | $ 6,035 |
| | | | | | |
| | | Year ended December 31, 2004 | | |
| Initial Class | Service Class | Service Class 2 | Initial Class R A | Service Class R A | Service Class 2R A |
From net investment income | $ 119,128,639 | $ 30,447,599 | $ 5,941,460 | $ - | $ - | $ - |
A For the period April 14, 2004 (commencement of sale of shares) to December 31, 2004.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Initial Class
| Six months ended June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 7.00 | $ 6.95 | $ 5.93 | $ 6.41 | $ 8.18 | $ 11.32 |
Income from Investment Operations | | | | | | |
Net investment income E | .227 | .494 | .520 | .496 H | .774 G, H | 1.123 |
Net realized and unrealized gain (loss) | (.242) | .126 | .980 | (.306) H | (1.544) G, H | (3.513) |
Total from investment operations | (.015) | .620 | 1.500 | .190 | (.770) | (2.390) |
Distributions from net investment income | (.525) | (.570) | (.480) | (.670) | (1.000) | (.750) |
Net asset value, end of period | $ 6.46 | $ 7.00 | $ 6.95 | $ 5.93 | $ 6.41 | $ 8.18 |
Total Return B, C, D | (.27)% | 9.59% | 27.26% | 3.44% | (11.73)% | (22.54)% |
Ratios to Average Net Assets F | | | | | | |
Expenses before expense reductions | .70% A | .71% | .69% | .70% | .71% | .68% |
Expenses net of voluntary waivers, if any | .70% A | .71% | .69% | .70% | .71% | .68% |
Expenses net of all reductions | .70% A | .71% | .69% | .70% | .70% | .68% |
Net investment income | 6.99% A | 7.43% | 8.25% | 8.65% H | 11.00% G, H | 11.38% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 1,186,491 | $ 1,371,736 | $ 1,593,714 | $ 1,145,562 | $ 1,201,085 | $ 1,467,250 |
Portfolio turnover rate | 109% A | 128% | 130% | 96% | 138% | 68% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G Effective January 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
H As a result of a revision to reflect accretion of market discount using the interest method, certain amounts for the years ended December 31, 2002 and December 31, 2001 have been reclassified from what was previously reported. The impact of this change was a decrease to net investment income (loss) of $.017 and $.075 per share with a corresponding increase to net realized and unrealized gain (loss) per share, respectively. The ratio of net investment income (loss) to average net assets decreased from 8.95% and 12.08% to 8.65% and 11.00%, respectively. The reclassification has no impact on the net assets of the fund.
Financial Highlights - Service Class
| Six months ended June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 6.97 | $ 6.92 | $ 5.91 | $ 6.38 | $ 8.15 | $ 11.29 |
Income from Investment Operations | | | | | | |
Net investment income E | .223 | .486 | .513 | .488 H | .758 G, H | 1.102 |
Net realized and unrealized gain (loss) | (.243) | .124 | .967 | (.288) H | (1.538) G, H | (3.502) |
Total from investment operations | (.020) | .610 | 1.480 | .200 | (.780) | (2.400) |
Distributions from net investment income | (.520) | (.560) | (.470) | (.670) | (.990) | (.740) |
Net asset value, end of period | $ 6.43 | $ 6.97 | $ 6.92 | $ 5.91 | $ 6.38 | $ 8.15 |
Total Return B, C, D | (.36)% | 9.47% | 26.97% | 3.62% | (11.90)% | (22.68)% |
Ratios to Average Net Assets F | | | | | | |
Expenses before expense reductions | .80% A | .81% | .79% | .80% | .81% | .78% |
Expenses net of voluntary waivers, if any | .80% A | .81% | .79% | .80% | .81% | .78% |
Expenses net of all reductions | .80% A | .81% | .79% | .80% | .81% | .78% |
Net investment income | 6.89% A | 7.33% | 8.15% | 8.55% H | 10.90% G, H | 11.28% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 340,067 | $ 377,122 | $ 417,928 | $ 260,489 | $ 234,204 | $ 227,549 |
Portfolio turnover rate | 109% A | 128% | 130% | 96% | 138% | 68% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G Effective January 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
H As a result of a revision to reflect accretion of market discount using the interest method, certain amounts for the years ended December 31, 2002 and December 31, 2001 have been reclassified from what was previously reported. The impact of this change was a decrease to net investment income (loss) of $.017 and $.075 per share with a corresponding increase to net realized and unrealized gain (loss) per share, respectively. The ratio of net investment income (loss) to average net assets decreased from 8.85% and 11.97% to 8.55% and 10.90%, respectively. The reclassification has no impact on the net assets of the fund.
See accompanying notes which are an integral part of the financial statements.
High Income Portfolio
Financial Highlights - Service Class 2
| Six months ended June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 F |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 6.91 | $ 6.87 | $ 5.87 | $ 6.36 | $ 8.13 | $ 11.14 |
Income from Investment Operations | | | | | | |
Net investment income E | .215 | .470 | .501 | .472 I | .716 H, I | .936 |
Net realized and unrealized gain (loss) | (.240) | .130 | .959 | (.292) I | (1.496) H, I | (3.206) |
Total from investment operations | (.025) | .600 | 1.460 | .180 | (.780) | (2.270) |
Distributions from net investment income | (.515) | (.560) | (.460) | (.670) | (.990) | (.740) |
Net asset value, end of period | $ 6.37 | $ 6.91 | $ 6.87 | $ 5.87 | $ 6.36 | $ 8.13 |
Total Return B, C, D | (.42)% | 9.38% | 26.75% | 3.30% | (11.93)% | (21.83)% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | .96% A | .97% | .95% | .97% | .98% | 1.01% A |
Expenses net of voluntary waivers, if any | .96% A | .97% | .95% | .97% | .98% | 1.01% A |
Expenses net of all reductions | .96% A | .97% | .95% | .97% | .98% | 1.01% A |
Net investment income | 6.73% A | 7.17% | 7.99% | 8.38% I | 10.73% H, I | 11.04% A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 110,953 | $ 94,246 | $ 76,383 | $ 32,499 | $ 16,508 | $ 4,742 |
Portfolio turnover rate | 109% A | 128% | 130% | 96% | 138% | 68% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F For the period January 12, 2000 (commencement of sale of shares) to December 31, 2000.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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.
H Effective January 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
I As a result of a revision to reflect accretion of market discount using the interest method, certain amounts for the years ended December 31, 2002 and December 31, 2001 have been reclassified from what was previously reported. The impact of this change was a decrease to net investment income (loss) of $.017 and $.072 per share with a corresponding increase to net realized and unrealized gain (loss) per share, respectively. The ratio of net investment income (loss) to average net assets decreased from 8.68% and 11.81% to 8.38% and 10.73%, respectively. The reclassification has no impact on the net assets of the fund.
Financial Highlights - Initial Class R
| Six months ended June 30, 2005 | Year ended December 31, |
| (Unaudited) | 2004 F |
Selected Per-Share Data | | |
Net asset value, beginning of period | $ 7.00 | $ 6.47 |
Income from Investment Operations | | |
Net investment income E | .226 | .338 |
Net realized and unrealized gain (loss) | (.251) | .192 |
Total from investment operations | (.025) | .530 |
Distributions from net investment income | (.525) | - |
Net asset value, end of period | $ 6.45 | $ 7.00 |
Total Return B, C, D | (.43)% | 8.19% |
Ratios to Average Net Assets G | | |
Expenses before expense reductions | .69% A | .71% A |
Expenses net of voluntary waivers, if any | .69% A | .71% A |
Expenses net of all reductions | .69% A | .71% A |
Net investment income | 6.99% A | 7.16% A |
Supplemental Data | | |
Net assets, end of period (000 omitted) | $ 81 | $ 81 |
Portfolio turnover rate | 109% A | 128% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F For the period April 14, 2004 (commencement of sale of shares) to December 31, 2004.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Service Class R
| Six months ended June 30, 2005 | Year ended December 31, |
| (Unaudited) | 2004 F |
Selected Per-Share Data | | |
Net asset value, beginning of period | $ 6.97 | $ 6.45 |
Income from Investment Operations | | |
Net investment income E | .222 | .332 |
Net realized and unrealized gain (loss) | (.242) | .188 |
Total from investment operations | (.020) | .520 |
Distributions from net investment income | (.520) | - |
Net asset value, end of period | $ 6.43 | $ 6.97 |
Total Return B, C, D | (.34)% | 8.06% |
Ratios to Average Net Assets G | | |
Expenses before expense reductions | .80% A | .81% A |
Expenses net of voluntary waivers, if any | .80% A | .81% A |
Expenses net of all reductions | .80% A | .81% A |
Net investment income | 6.89% A | 7.05% A |
Supplemental Data | | |
Net assets, end of period (000 omitted) | $ 81 | $ 81 |
Portfolio turnover rate | 109% A | 128% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F For the period April 14, 2004 (commencement of sale of shares) to December 31, 2004.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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.
Financial Highlights - Service Class 2R
| Six months ended June 30, 2005 | Year ended December 31, |
| (Unaudited) | 2004 F |
Selected Per-Share Data | | |
Net asset value, beginning of period | $ 6.91 | $ 6.40 |
Income from Investment Operations | | |
Net investment income E | .215 | .322 |
Net realized and unrealized gain (loss) | (.240) | .188 |
Total from investment operations | (.025) | .510 |
Distributions from net investment income | (.515) | - |
Net asset value, end of period | $ 6.37 | $ 6.91 |
Total Return B, C, D | (.43)% | 7.97% |
Ratios to Average Net Assets G | | |
Expenses before expense reductions | .94% A | .96% A |
Expenses net of voluntary waivers, if any | .94% A | .96% A |
Expenses net of all reductions | .94% A | .96% A |
Net investment income | 6.74% A | 6.90% A |
Supplemental Data | | |
Net assets, end of period (000 omitted) | $ 81 | $ 81 |
Portfolio turnover rate | 109% A | 128% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F For the period April 14, 2004 (commencement of sale of shares) to December 31, 2004.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
High Income Portfolio
Fidelity Variable Insurance Products: Investment Grade Bond Portfolio
Investment Changes
Quality Diversification (% of fund's net assets) |
As of June 30, 2005* | As of December 31, 2004** |
| U.S. Government and
U.S. Government Agency Obligations 60.9% | | | U.S. Government and
U.S. Government Agency Obligations 53.7% | |
 | AAA 10.3% | | | AAA 6.9% | |
| AA 4.9% | | | AA 4.7% | |
 | A 7.9% | | | A 9.0% | |
| BBB 13.0% | | | BBB 13.8% | |
| BB and Below 1.3% | | | BB and Below 0.9% | |
| Not Rated 0.1% | | | Not Rated 0.1% | |
| Short-Term Investments
and Net Other Assets 1.6% | | | Short-Term Investments
and Net Other Assets 10.9% | |
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. Securities rated BB or below were rated investment grade at the time of acquisition. The information in the above table is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central fund. |
Average Years to Maturity as of June 30, 2005 |
| | 6 months ago |
Years | 5.8 | 4.9 |
Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount. |
Duration as of June 30, 2005 |
| | 6 months ago |
Years | 3.9 | 4.1 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) |
As of June 30, 2005* | As of December 31, 2004** |
| Corporate Bonds 17.8% | | | Corporate Bonds 19.7% | |
| U.S. Government and
U.S. Government Agency
Obligations 60.9% | | | U.S. Government and
U.S. Government Agency
Obligations 53.7% | |
| Asset-Backed Securities 8.3% | | | Asset-Backed Securities 7.0% | |
| CMOs and Other Mortgage
Related Securities 9.9% | | | CMOs and Other Mortgage
Related Securities 7.2% | |
| Other Investments 1.5% | | | Other Investments 1.5% | |
| Short-Term Investments
and Net Other Assets 1.6% | | | Short-Term Investments
and Net Other Assets 10.9% | |
* Foreign investments | 5.4% | | ** Foreign investments | 5.9% | |
* Futures and Swaps | 16.2% | | ** Futures and Swaps | 8.9% | |
The information in the above table is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central fund. |
Semiannual Report
Fidelity Variable Insurance Products: Investment Grade Bond Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 17.3% |
| Principal
Amount | | Value
(Note 1) |
CONSUMER DISCRETIONARY - 2.1% |
Automobiles - 0.7% |
Ford Motor Co.: | | | |
6.625% 10/1/28 | $ 690,000 | | $ 541,271 |
7.45% 7/16/31 | 4,675,000 | | 3,902,765 |
General Motors Corp. 8.375% 7/15/33 | 9,160,000 | | 7,648,600 |
| | 12,092,636 |
Media - 1.4% |
AOL Time Warner, Inc. 7.625% 4/15/31 | 1,000,000 | | 1,248,889 |
Cox Communications, Inc.: | | | |
7.125% 10/1/12 | 785,000 | | 880,316 |
7.75% 11/1/10 | 3,350,000 | | 3,793,071 |
Liberty Media Corp.: | | | |
5.7% 5/15/13 | 2,500,000 | | 2,325,258 |
8.25% 2/1/30 | 2,465,000 | | 2,452,172 |
News America Holdings, Inc. 7.75% 12/1/45 | 1,190,000 | | 1,457,965 |
News America, Inc. 6.2% 12/15/34 | 2,310,000 | | 2,424,329 |
Time Warner Entertainment Co. LP 8.375% 7/15/33 | 5,000,000 | | 6,636,005 |
Time Warner, Inc. 6.625% 5/15/29 | 1,745,000 | | 1,944,389 |
| | 23,162,394 |
TOTAL CONSUMER DISCRETIONARY | | 35,255,030 |
CONSUMER STAPLES - 0.3% |
Beverages - 0.1% |
FBG Finance Ltd. 5.125% 6/15/15 (a) | 1,860,000 | | 1,867,274 |
Tobacco - 0.2% |
Altria Group, Inc. 7% 11/4/13 | 495,000 | | 553,954 |
Philip Morris Companies, Inc. 7.65% 7/1/08 | 2,500,000 | | 2,721,923 |
| | 3,275,877 |
TOTAL CONSUMER STAPLES | | 5,143,151 |
ENERGY - 2.3% |
Energy Equipment & Services - 0.3% |
Petronas Capital Ltd. 7% 5/22/12 (a) | 4,320,000 | | 4,937,665 |
Oil, Gas & Consumable Fuels - 2.0% |
Amerada Hess Corp.: | | | |
6.65% 8/15/11 | 710,000 | | 781,299 |
7.125% 3/15/33 | 1,145,000 | | 1,358,098 |
Empresa Nacional de Petroleo 6.75% 11/15/12 (a) | 5,050,000 | | 5,606,475 |
Enterprise Products Operating LP 5.75% 3/1/35 (a) | 1,500,000 | | 1,464,431 |
|
| Principal
Amount | | Value
(Note 1) |
Kerr-McGee Corp. 6.95% 7/1/24 | $ 1,000,000 | | $ 1,033,273 |
Kinder Morgan Energy Partners LP: | | | |
5.125% 11/15/14 | 600,000 | | 606,854 |
5.8% 3/15/35 | 1,500,000 | | 1,510,475 |
Nexen, Inc. 5.875% 3/10/35 | 2,740,000 | | 2,784,692 |
Pemex Project Funding Master Trust: | | | |
6.125% 8/15/08 | 3,630,000 | | 3,767,940 |
6.625% 6/15/35 (a) | 3,405,000 | | 3,345,413 |
7.375% 12/15/14 | 2,000,000 | | 2,243,000 |
7.875% 2/1/09 (e) | 1,200,000 | | 1,311,000 |
Ras Laffan Liquid Natural Gas Co. Ltd. yankee 8.294% 3/15/14 (a) | 4,370,000 | | 5,202,048 |
Williams Companies, Inc.: | | | |
7.125% 9/1/11 | 1,055,000 | | 1,139,400 |
7.5% 1/15/31 | 505,000 | | 546,663 |
| | 32,701,061 |
TOTAL ENERGY | | 37,638,726 |
FINANCIALS - 6.7% |
Capital Markets - 1.5% |
Goldman Sachs Group, Inc.: | | | |
5.25% 10/15/13 | 3,270,000 | | 3,374,326 |
5.7% 9/1/12 | 2,935,000 | | 3,122,902 |
6.125% 2/15/33 | 4,225,000 | | 4,618,952 |
Lazard LLC 7.125% 5/15/15 (a) | 2,815,000 | | 2,839,595 |
Merrill Lynch & Co., Inc. 4.25% 2/8/10 | 4,985,000 | | 4,972,627 |
Morgan Stanley 6.6% 4/1/12 | 5,695,000 | | 6,331,718 |
| | 25,260,120 |
Commercial Banks - 0.9% |
Bank of America Corp. 7.4% 1/15/11 | 5,680,000 | | 6,500,641 |
Corporacion Andina de Fomento 5.2% 5/21/13 | 1,560,000 | | 1,595,913 |
Korea Development Bank 3.875% 3/2/09 | 3,500,000 | | 3,441,659 |
SouthTrust Corp. 5.8% 6/15/14 | 1,440,000 | | 1,547,123 |
Wachovia Bank NA 4.875% 2/1/15 | 1,455,000 | | 1,482,136 |
Wells Fargo Bank NA, San Francisco 7.55% 6/21/10 | 900,000 | | 1,032,675 |
| | 15,600,147 |
Consumer Finance - 0.8% |
Capital One Financial Corp. 4.8% 2/21/12 | 700,000 | | 696,421 |
Ford Motor Credit Co. 7.375% 2/1/11 | 2,500,000 | | 2,435,260 |
Household Finance Corp. 4.125% 11/16/09 | 2,085,000 | | 2,062,463 |
Household International, Inc. 8.875% 2/15/08 | 3,775,000 | | 3,882,051 |
Nonconvertible Bonds - continued |
| Principal
Amount | | Value
(Note 1) |
FINANCIALS - continued |
Consumer Finance - continued |
MBNA Corp.: | | | |
6.25% 1/17/07 | $ 1,905,000 | | $ 1,965,589 |
7.5% 3/15/12 | 1,205,000 | | 1,404,553 |
| | 12,446,337 |
Diversified Financial Services - 0.9% |
Alliance Capital Management LP 5.625% 8/15/06 | 2,475,000 | | 2,502,718 |
JPMorgan Chase & Co.: | | | |
5.75% 1/2/13 | 3,500,000 | | 3,749,935 |
6.75% 2/1/11 | 6,155,000 | | 6,806,815 |
Prime Property Funding II, Inc. 5.125% 6/1/15 (a) | 2,230,000 | | 2,229,068 |
| | 15,288,536 |
Insurance - 0.4% |
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 1,505,000 | | 1,558,616 |
Marsh & McLennan Companies, Inc. 7.125% 6/15/09 | 3,109,000 | | 3,370,862 |
Principal Life Global Funding I 6.25% 2/15/12 (a) | 1,350,000 | | 1,489,242 |
| | 6,418,720 |
Real Estate - 1.7% |
Archstone Smith Operating Trust 5.25% 5/1/15 | 1,500,000 | | 1,531,055 |
Arden Realty LP 7% 11/15/07 | 5,000,000 | | 5,305,930 |
AvalonBay Communities, Inc. 5% 8/1/07 | 2,315,000 | | 2,342,224 |
Developers Diversified Realty Corp.: | | | |
5% 5/3/10 | 1,625,000 | | 1,637,383 |
5.25% 4/15/11 | 925,000 | | 939,637 |
EOP Operating LP: | | | |
4.65% 10/1/10 | 6,570,000 | | 6,554,370 |
7% 7/15/11 | 1,725,000 | | 1,912,796 |
Mack-Cali Realty LP 7.75% 2/15/11 | 2,700,000 | | 3,089,888 |
Simon Property Group LP: | | | |
5.1% 6/15/15 (a) | 2,120,000 | | 2,114,000 |
5.625% 8/15/14 | 2,985,000 | | 3,113,051 |
| | 28,540,334 |
Thrifts & Mortgage Finance - 0.5% |
Countrywide Home Loans, Inc. 4% 3/22/11 | 1,435,000 | | 1,383,948 |
Independence Community Bank Corp. 3.75% 4/1/14 (e) | 1,490,000 | | 1,436,393 |
|
| Principal
Amount | | Value
(Note 1) |
Residential Capital Corp. 6.375% 6/30/10 (a) | $ 2,830,000 | | $ 2,843,839 |
Washington Mutual, Inc. 4.375% 1/15/08 | 2,330,000 | | 2,336,543 |
| | 8,000,723 |
TOTAL FINANCIALS | | 111,554,917 |
INDUSTRIALS - 1.0% |
Aerospace & Defense - 0.2% |
Bombardier, Inc.: | | | |
6.3% 5/1/14 (a) | 2,445,000 | | 2,212,725 |
7.45% 5/1/34 (a) | 840,000 | | 714,000 |
| | 2,926,725 |
Airlines - 0.6% |
American Airlines, Inc. pass thru trust certificates: | | | |
6.855% 10/15/10 | 280,404 | | 287,059 |
6.978% 10/1/12 | 676,746 | | 699,144 |
7.024% 4/15/11 | 1,450,000 | | 1,498,385 |
Continental Airlines, Inc. pass thru trust certificates 6.795% 2/2/20 | 3,414,727 | | 2,851,297 |
Delta Air Lines, Inc. pass thru trust certificates: | | | |
7.111% 3/18/13 | 1,290,000 | | 1,215,825 |
7.57% 11/18/10 | 1,335,000 | | 1,255,924 |
7.92% 5/18/12 | 3,700,000 | | 2,035,000 |
| | 9,842,634 |
Industrial Conglomerates - 0.2% |
Hutchison Whampoa International 03/13 Ltd. 6.5% 2/13/13 (a) | 830,000 | | 901,116 |
Hutchison Whampoa International 03/33 Ltd. 7.45% 11/24/33 (a) | 1,630,000 | | 1,917,835 |
| | 2,818,951 |
TOTAL INDUSTRIALS | | 15,588,310 |
TELECOMMUNICATION SERVICES - 2.4% |
Diversified Telecommunication Services - 2.2% |
AT&T Broadband Corp. 8.375% 3/15/13 | 1,500,000 | | 1,829,027 |
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 1,920,000 | | 2,478,173 |
BellSouth Corp. 5.2% 9/15/14 | 2,285,000 | | 2,354,864 |
British Telecommunications PLC 8.875% 12/15/30 | 3,000,000 | | 4,234,962 |
Deutsche Telekom International Finance BV 8.75% 6/15/30 | 3,250,000 | | 4,400,432 |
SBC Communications, Inc. 6.45% 6/15/34 | 2,995,000 | | 3,367,335 |
Sprint Capital Corp. 6.875% 11/15/28 | 3,040,000 | | 3,489,561 |
Nonconvertible Bonds - continued |
| Principal
Amount | | Value
(Note 1) |
TELECOMMUNICATION SERVICES - continued |
Diversified Telecommunication Services - continued |
Telecom Italia Capital: | | | |
4.95% 9/30/14 (a) | $ 1,175,000 | | $ 1,163,420 |
5.25% 11/15/13 | 4,500,000 | | 4,568,423 |
Verizon Global Funding Corp.: | | | |
7.25% 12/1/10 | 1,745,000 | | 1,977,973 |
7.75% 12/1/30 | 5,000,000 | | 6,456,245 |
Verizon New York, Inc. 6.875% 4/1/12 | 745,000 | | 823,354 |
| | 37,143,769 |
Wireless Telecommunication Services - 0.2% |
America Movil SA de CV 4.125% 3/1/09 | 1,585,000 | | 1,552,054 |
AT&T Wireless Services, Inc. 7.875% 3/1/11 | 1,070,000 | | 1,243,518 |
| | 2,795,572 |
TOTAL TELECOMMUNICATION SERVICES | | 39,939,341 |
UTILITIES - 2.5% |
Electric Utilities - 1.7% |
Cleveland Electric Illuminating Co. 5.65% 12/15/13 | 3,260,000 | | 3,428,653 |
Duke Capital LLC: | | | |
6.25% 2/15/13 | 805,000 | | 869,016 |
6.75% 2/15/32 | 4,610,000 | | 5,168,432 |
Exelon Corp.: | | | |
4.9% 6/15/15 | 2,140,000 | | 2,147,627 |
5.625% 6/15/35 | 935,000 | | 942,549 |
6.75% 5/1/11 | 1,255,000 | | 1,393,721 |
FirstEnergy Corp. 6.45% 11/15/11 | 2,115,000 | | 2,310,904 |
Monongahela Power Co. 5% 10/1/06 | 2,260,000 | | 2,278,292 |
Progress Energy, Inc. 7.1% 3/1/11 | 4,660,000 | | 5,191,082 |
TXU Energy Co. LLC 7% 3/15/13 | 4,525,000 | | 5,046,425 |
| | 28,776,701 |
Independent Power Producers & Energy Traders - 0.2% |
Constellation Energy Group, Inc. 7% 4/1/12 | 2,370,000 | | 2,673,526 |
TXU Corp. 5.55% 11/15/14 (a) | 980,000 | | 950,459 |
| | 3,623,985 |
Multi-Utilities - 0.6% |
Dominion Resources, Inc.: | | | |
4.75% 12/15/10 | 2,355,000 | | 2,369,293 |
5.95% 6/15/35 | 2,690,000 | | 2,786,334 |
|
| Principal
Amount | | Value
(Note 1) |
6.25% 6/30/12 | $ 2,275,000 | | $ 2,469,594 |
MidAmerican Energy Holdings, Inc. 5.875% 10/1/12 | 1,605,000 | | 1,704,858 |
| | 9,330,079 |
TOTAL UTILITIES | | 41,730,765 |
TOTAL NONCONVERTIBLE BONDS (Cost $277,522,115) | 286,850,240 |
U.S. Government and Government Agency Obligations - 20.6% |
|
U.S. Government Agency Obligations - 4.5% |
Fannie Mae: | | | |
2.5% 6/15/06 | 2,185,000 | | 2,159,173 |
3.25% 1/15/08 | 8,515,000 | | 8,397,817 |
4.625% 5/1/13 | 12,000,000 | | 12,143,448 |
5.25% 8/1/12 | 10,000,000 | | 10,540,470 |
5.5% 3/15/11 | 13,505,000 | | 14,486,125 |
Freddie Mac: | | | |
4% 6/12/13 | 4,640,000 | | 4,511,472 |
5.75% 1/15/12 | 7,740,000 | | 8,467,591 |
5.875% 3/21/11 | 6,035,000 | | 6,507,070 |
6.625% 9/15/09 | 3,000,000 | | 3,302,913 |
6.75% 3/15/31 | 2,459,000 | | 3,255,559 |
Government Loan Trusts (assets of Trust guaranteed by U.S. Government through Agency for International Development) Series 1-B, 8.5% 4/1/06 | 315,089 | | 323,404 |
Guaranteed Export Trust Certificates (assets of Trust guaranteed by U.S. Government through Export-Import Bank) Series 1994-A, 7.12% 4/15/06 | 1,193 | | 1,209 |
Guaranteed Trade Trust Certificates (assets of Trust guaranteed by U.S. Government through Export-Import Bank) Series 1994-B, 7.5% 1/26/06 | 944 | | 957 |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | | 74,097,208 |
U.S. Treasury Inflation Protected Obligations - 5.2% |
U.S. Treasury Inflation-Indexed Bonds 2.375% 1/15/25 | 20,643,000 | | 22,596,818 |
U.S. Treasury Inflation-Indexed Notes: | | | |
0.875% 4/15/10 | 15,404,700 | | 15,024,389 |
2% 1/15/14 | 47,382,300 | | 48,805,619 |
TOTAL U.S. TREASURY INFLATION
PROTECTED OBLIGATIONS | | 86,426,826 |
U.S. Government and Government Agency Obligations - continued |
| Principal
Amount | | Value
(Note 1) |
U.S. Treasury Obligations - 10.9% |
U.S. Treasury Bonds 6.25% 5/15/30 | $ 25,610,000 | | $ 33,358,024 |
U.S. Treasury Notes: | | | |
3.125% 1/31/07 | 50,195,000 | | 49,798,911 |
3.375% 10/15/09 | 20,000,000 | | 19,718,760 |
3.625% 4/30/07 | 42,989,000 | | 42,965,485 |
4.25% 8/15/13 | 20,417,000 | | 20,927,425 |
4.75% 5/15/14 | 10,810,000 | | 11,470,426 |
6.5% 2/15/10 | 2,500,000 | | 2,789,943 |
TOTAL U.S. TREASURY OBLIGATIONS | | 181,028,974 |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $331,699,959) | 341,553,008 |
U.S. Government Agency -
Mortgage Securities - 37.2% |
|
Fannie Mae - 33.2% |
3.463% 4/1/34 (e) | 675,011 | | 676,671 |
3.737% 1/1/35 (e) | 426,833 | | 425,300 |
3.753% 10/1/33 (e) | 277,009 | | 274,902 |
3.786% 12/1/34 (e) | 348,646 | | 346,948 |
3.797% 6/1/34 (e) | 1,189,152 | | 1,172,162 |
3.827% 12/1/34 (e) | 88,382 | | 88,173 |
3.83% 1/1/35 (e) | 289,065 | | 288,527 |
3.836% 6/1/33 (e) | 218,374 | | 216,577 |
3.84% 1/1/35 (e) | 790,904 | | 793,162 |
3.87% 1/1/35 (e) | 467,607 | | 467,103 |
3.913% 12/1/34 (e) | 259,750 | | 259,222 |
3.941% 10/1/34 (e) | 365,166 | | 364,771 |
3.98% 1/1/35 (e) | 380,059 | | 378,894 |
3.984% 5/1/33 (e) | 96,137 | | 96,262 |
3.987% 12/1/34 (e) | 337,507 | | 336,230 |
4% 8/1/18 to 10/1/18 | 1,351,998 | | 1,326,226 |
4% 7/1/20 (b) | 33,309,930 | | 32,612,503 |
4% 1/1/35 (e) | 225,310 | | 224,501 |
4.017% 12/1/34 (e) | 1,889,963 | | 1,898,826 |
4.021% 12/1/34 (e) | 286,577 | | 285,561 |
4.023% 2/1/35 (e) | 263,294 | | 262,669 |
4.029% 1/1/35 (e) | 119,957 | | 120,175 |
4.037% 12/1/34 (e) | 181,061 | | 181,826 |
4.048% 1/1/35 (e) | 252,977 | | 252,266 |
4.052% 2/1/35 (e) | 254,482 | | 254,100 |
4.055% 10/1/18 (e) | 291,995 | | 291,065 |
4.057% 5/1/34 (e) | 111,799 | | 111,655 |
4.072% 12/1/34 (e) | 500,269 | | 502,770 |
4.079% 4/1/33 (e) | 98,532 | | 99,020 |
4.105% 1/1/35 (e) | 561,693 | | 565,169 |
4.115% 2/1/35 (e) | 188,993 | | 189,318 |
|
| Principal
Amount | | Value
(Note 1) |
4.118% 1/1/35 (e) | $ 523,469 | | $ 524,148 |
4.118% 2/1/35 (e) | 185,971 | | 186,565 |
4.12% 2/1/35 (e) | 477,909 | | 479,107 |
4.127% 1/1/35 (e) | 553,778 | | 558,270 |
4.128% 2/1/35 (e) | 991,793 | | 993,829 |
4.144% 1/1/35 (e) | 742,943 | | 748,571 |
4.145% 2/1/35 (e) | 608,500 | | 611,977 |
4.151% 1/1/35 (e) | 912,525 | | 915,265 |
4.162% 2/1/35 (e) | 467,998 | | 469,787 |
4.17% 11/1/34 (e) | 454,529 | | 455,047 |
4.197% 1/1/35 (e) | 442,459 | | 444,781 |
4.2% 1/1/35 (e) | 1,017,395 | | 1,027,085 |
4.202% 1/1/35 (e) | 536,884 | | 535,606 |
4.23% 11/1/34 (e) | 147,658 | | 148,495 |
4.232% 3/1/34 (e) | 247,542 | | 248,139 |
4.25% 2/1/35 (e) | 269,080 | | 267,909 |
4.269% 10/1/34 (e) | 734,891 | | 743,153 |
4.293% 3/1/35 (e) | 258,637 | | 260,227 |
4.302% 1/1/35 (e) | 361,794 | | 361,576 |
4.305% 8/1/33 (e) | 603,357 | | 609,272 |
4.305% 7/1/34 (e) | 257,001 | | 259,586 |
4.318% 3/1/33 (e) | 142,317 | | 142,070 |
4.319% 5/1/35 (e) | 414,720 | | 417,026 |
4.324% 12/1/34 (e) | 186,272 | | 187,600 |
4.349% 2/1/35 (e) | 187,886 | | 188,597 |
4.351% 1/1/35 (e) | 262,641 | | 262,588 |
4.357% 1/1/35 (e) | 290,032 | | 291,938 |
4.368% 2/1/34 (e) | 699,118 | | 700,639 |
4.4% 2/1/35 (e) | 443,745 | | 444,127 |
4.409% 5/1/35 (e) | 815,000 | | 815,383 |
4.455% 3/1/35 (e) | 374,839 | | 375,205 |
4.479% 4/1/34 (e) | 487,839 | | 490,554 |
4.484% 10/1/34 (e) | 1,624,940 | | 1,640,000 |
4.493% 8/1/34 (e) | 957,653 | | 964,836 |
4.499% 3/1/35 (e) | 856,596 | | 859,025 |
4.5% 11/1/19 to 3/1/35 | 43,845,099 | | 43,384,145 |
4.5% 7/1/20 (b) | 42,000,000 | | 41,776,875 |
4.5% 5/1/35 (e) | 296,608 | | 299,515 |
4.508% 1/1/35 (e) | 498,362 | | 504,460 |
4.53% 3/1/35 (e) | 785,461 | | 788,897 |
4.549% 8/1/34 (e) | 610,012 | | 618,315 |
4.568% 2/1/35 (e) | 1,943,388 | | 1,966,197 |
4.57% 2/1/35 (e) | 306,327 | | 308,937 |
4.587% 2/1/35 (e) | 2,512,304 | | 2,536,695 |
4.625% 2/1/35 (e) | 862,537 | | 867,085 |
4.639% 2/1/35 (e) | 233,061 | | 236,612 |
4.67% 11/1/34 (e) | 994,729 | | 1,003,512 |
4.694% 11/1/34 (e) | 1,011,163 | | 1,019,463 |
4.725% 3/1/35 (e) | 2,541,699 | | 2,579,864 |
4.742% 3/1/35 (e) | 485,235 | | 489,727 |
4.748% 7/1/34 (e) | 892,588 | | 895,223 |
4.815% 12/1/32 (e) | 437,820 | | 443,224 |
5% 10/1/17 to 6/1/34 | 48,619,653 | | 49,084,066 |
U.S. Government Agency - Mortgage Securities - continued |
| Principal
Amount | | Value
(Note 1) |
Fannie Mae - continued |
5% 7/1/20 (b) | $ 3,860,997 | | $ 3,900,814 |
5% 7/1/35 (b) | 64,364,782 | | 64,344,668 |
5% 8/1/35 (b) | 12,837,916 | | 12,805,821 |
5.5% 6/1/09 to 10/1/34 | 66,899,198 | | 68,270,146 |
5.5% 7/1/35 (b) | 94,591,299 | | 95,803,243 |
6% 2/1/13 to 3/1/33 | 28,341,104 | | 29,190,634 |
6% 7/1/35 (b) | 339,133 | | 347,505 |
6.5% 6/1/15 to 2/1/33 | 56,285,428 | | 58,494,874 |
7% 3/1/15 to 8/1/32 | 1,173,759 | | 1,240,635 |
7.5% 8/1/08 to 11/1/31 | 2,521,749 | | 2,698,574 |
8% 3/1/30 | 2,112 | | 2,271 |
8.5% 3/1/25 to 6/1/25 | 3,237 | | 3,534 |
TOTAL FANNIE MAE | | 549,896,068 |
Freddie Mac - 2.9% |
4% 2/1/20 to 6/1/20 | 29,997,015 | | 29,343,854 |
4.106% 12/1/34 (e) | 323,456 | | 323,295 |
4.13% 12/1/34 (e) | 476,787 | | 476,472 |
4.232% 1/1/35 (e) | 1,450,944 | | 1,451,521 |
4.307% 3/1/35 (e) | 389,524 | | 388,776 |
4.307% 5/1/35 (e) | 707,666 | | 709,775 |
4.314% 12/1/34 (e) | 386,601 | | 385,839 |
4.37% 3/1/35 (e) | 566,179 | | 565,272 |
4.401% 2/1/35 (e) | 787,279 | | 786,049 |
4.434% 2/1/35 (e) | 902,740 | | 905,984 |
4.441% 2/1/34 (e) | 463,986 | | 465,927 |
4.444% 3/1/35 (e) | 371,897 | | 371,127 |
4.491% 3/1/35 (e) | 1,057,243 | | 1,059,184 |
4.497% 6/1/35 (e) | 600,000 | | 604,938 |
4.498% 3/1/35 (e) | 2,675,000 | | 2,683,359 |
4.504% 3/1/35 (e) | 424,766 | | 424,551 |
4.564% 2/1/35 (e) | 633,666 | | 635,498 |
5.034% 4/1/35 (e) | 2,361,052 | | 2,397,246 |
5.098% 8/1/33 (e) | 191,982 | | 195,684 |
6% 5/1/33 | 3,902,786 | | 4,012,049 |
8.5% 3/1/20 to 1/1/28 | 332,927 | | 362,857 |
TOTAL FREDDIE MAC | | 48,549,257 |
Government National Mortgage Association - 1.1% |
6% 8/15/08 to 8/15/29 | 4,569,466 | | 4,720,238 |
6.5% 10/15/27 to 9/15/32 | 1,760,771 | | 1,843,911 |
7% 1/15/28 to 11/15/32 | 9,295,589 | | 9,848,703 |
|
| Principal
Amount | | Value
(Note 1) |
7.5% 3/15/06 to 10/15/28 | $ 701,761 | | $ 755,306 |
8% 2/15/17 | 16,605 | | 17,990 |
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION | | 17,186,148 |
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $613,474,388) | 615,631,473 |
Asset-Backed Securities - 3.3% |
|
ACE Securities Corp.: | | | |
Series 2004-HE1: | | | |
Class M1, 3.8144% 2/25/34 (e) | 650,000 | | 650,263 |
Class M2, 4.4144% 2/25/34 (e) | 725,000 | | 725,383 |
Series 2005-SD1 Class A1, 3.7144% 11/25/50 (e) | 759,658 | | 759,876 |
AmeriCredit Automobile Receivables Trust Series 2003-BX Class A4B, 3.53% 1/6/10 (e) | 1,570,000 | | 1,575,593 |
Ameriquest Mortgage Securities, Inc. Series 2004-R2: | | | |
Class M1, 3.7444% 4/25/34 (e) | 360,000 | | 359,992 |
Class M2, 3.7944% 4/25/34 (e) | 275,000 | | 274,994 |
Amortizing Residential Collateral Trust Series 2003-BC1 Class M2, 4.4144% 1/25/32 (e) | 240,956 | | 242,091 |
Argent Securities, Inc. Series 2004-W5 Class M1, 3.9144% 4/25/34 (e) | 1,165,000 | | 1,166,429 |
Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 3.8644% 4/25/34 (e) | 1,660,000 | | 1,663,688 |
Capital One Multi-Asset Execution Trust: | | | |
Series 2003-B4 Class B4, 4.02% 7/15/11 (e) | 2,230,000 | | 2,267,540 |
Series 2004-6 Class B, 4.15% 7/16/12 | 3,005,000 | | 2,995,694 |
Citibank Credit Card Issuance Trust Series 2002-C1 Class C1, 4.2185% 2/9/09 (e) | 4,500,000 | | 4,550,295 |
Countrywide Home Loans, Inc.: | | | |
Series 2004-2 Class M1, 3.8144% 5/25/34 (e) | 1,525,000 | | 1,527,067 |
Series 2004-3 Class M1, 3.8144% 6/25/34 (e) | 425,000 | | 425,403 |
Series 2005-1: | | | |
Class MV1, 3.7144% 7/25/35 (e) | 840,000 | | 839,347 |
Class MV2, 3.7544% 7/25/35 (e) | 1,005,000 | | 1,002,423 |
Class MV3, 3.7944% 7/25/35 (e) | 415,000 | | 414,693 |
Asset-Backed Securities - continued |
| Principal
Amount | | Value
(Note 1) |
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1: | | | |
Class B, 4.878% 6/15/35 (a) | $ 1,354,000 | | $ 1,360,717 |
Class C, 5.074% 6/15/35 (a) | 1,229,000 | | 1,234,857 |
Discover Card Master Trust I: | | | |
Series 2001-6 Class A, 5.75% 12/15/08 | 7,000,000 | | 7,120,891 |
Series 2003-4 Class B1, 3.55% 5/16/11 (e) | 2,620,000 | | 2,634,554 |
First Franklin Mortgage Loan Trust Series 2004-FF2: | | | |
Class M3, 3.8644% 3/25/34 (e) | 125,000 | | 125,300 |
Class M4, 4.2144% 3/25/34 (e) | 100,000 | | 100,941 |
Fremont Home Loan Trust Series 2004-A: | | | |
Class M1, 3.8644% 1/25/34 (e) | 1,350,000 | | 1,351,842 |
Class M2, 4.4644% 1/25/34 (e) | 1,550,000 | | 1,568,771 |
GSAMP Trust Series 2004-FM2: | | | |
Class M1, 3.8144% 1/25/34 (e) | 1,000,000 | | 999,978 |
Class M2, 4.4144% 1/25/34 (e) | 400,000 | | 399,991 |
Class M3, 4.6144% 1/25/34 (e) | 400,000 | | 399,991 |
MBNA Credit Card Master Note Trust: | | | |
Series 2003-B3 Class B3, 3.595% 1/18/11 (e) | 1,810,000 | | 1,818,850 |
Series 2003-B5 Class B5, 3.59% 2/15/11 (e) | 725,000 | | 730,762 |
Meritage Mortgage Loan Trust
Series 2004-1: | | | |
Class M1, 3.8144% 7/25/34 (e) | 625,000 | | 624,987 |
Class M2, 3.8644% 7/25/34 (e) | 100,000 | | 99,998 |
Class M3, 4.2644% 7/25/34 (e) | 225,000 | | 224,995 |
Class M4, 4.4144% 7/25/34 (e) | 150,000 | | 149,997 |
Morgan Stanley ABS Capital I, Inc.: | | | |
Series 2003-NC5 Class M2, 5.3144% 4/25/33 (e) | 825,000 | | 835,557 |
Series 2004-NC2 Class M1, 3.8644% 12/25/33 (e) | 695,000 | | 696,661 |
Morgan Stanley Dean Witter Capital I Trust Series 2003-NC1 Class M1, 4.3644% 11/25/32 (e) | 750,000 | | 755,495 |
National Collegiate Student Loan Trust Series 2005-GT1 Class AIO, 6.75% 12/25/09 (g) | 1,150,000 | | 310,051 |
Park Place Securities, Inc. Series 2005-WCH1: | | | |
Class M2, 3.8344% 1/25/35 (e) | 1,125,000 | | 1,123,115 |
Class M4, 4.1444% 1/25/35 (e) | 3,650,000 | | 3,655,779 |
Saxon Asset Securities Trust Series 2004-1 Class M1, 3.8444% 3/25/35 (e) | 1,180,000 | | 1,180,278 |
|
| Principal
Amount | | Value
(Note 1) |
Sears Credit Account Master Trust II Series 2000-2 Class A, 6.75% 9/16/09 | $ 2,255,000 | | $ 2,268,908 |
Specialty Underwriting & Residential Finance Series 2003-BC4 Class M1, 3.9144% 11/25/34 (e) | 485,000 | | 487,580 |
Structured Asset Securities Corp. Series 2004-GEL1 Class A, 3.6744% 2/25/34 (e) | 319,663 | | 319,657 |
TOTAL ASSET-BACKED SECURITIES (Cost $53,772,958) | 54,021,274 |
Collateralized Mortgage Obligations - 4.8% |
|
Private Sponsor - 2.7% |
Adjustable Rate Mortgage Trust floater: | | | |
Series 2005-1 Class 5A2, 3.6444% 5/25/35 (e) | 1,785,625 | | 1,787,508 |
Series 2005-2 Class 6A2, 3.5944% 6/25/35 (e) | 901,559 | | 901,947 |
Bear Stearns Alt-A Trust floater Series 2005-1 Class A1, 3.5944% 1/25/35 (e) | 2,701,747 | | 2,701,747 |
CS First Boston Mortgage Securities Corp. floater Series 2004-AR3
Class 6A2, 3.6844% 4/25/34 (e) | 686,948 | | 687,664 |
Impac CMB Trust floater Series 2005-1: | | | |
Class M1, 3.7744% 4/25/35 (e) | 933,974 | | 932,989 |
Class M2, 3.8144% 4/25/35 (e) | 1,615,775 | | 1,614,576 |
Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 464,855 | | 471,828 |
Merrill Lynch Mortgage Investors, Inc. floater: | | | |
Series 2005-A Class A2, 3.38% 2/25/30 (e) | 3,183,079 | | 3,180,640 |
Series 2005-B Class A2, 3.75% 6/25/30 (e) | 2,936,801 | | 2,936,801 |
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 3.53% 6/25/35 (e) | 1,645,000 | | 1,645,000 |
Residential Asset Mortgage Products, Inc. sequential pay Series 2004-SL2 Class A1, 6.5% 10/25/16 | 426,925 | | 435,463 |
Residential Finance LP/Residential Finance Development Corp. floater Series 2003-CB1: | | | |
Class B3, 4.64% 6/10/35 (a)(e) | 1,192,915 | | 1,215,282 |
Class B4, 4.84% 6/10/35 (a)(e) | 1,067,345 | | 1,086,023 |
Class B5, 5.44% 6/10/35 (a)(e) | 729,272 | | 745,680 |
Class B6, 5.94% 6/10/35 (a)(e) | 429,836 | | 439,507 |
Sequoia Mortgage Trust floater: | | | |
Series 2005-1 Class A2, 3.1688% 2/20/35 (e) | 2,157,801 | | 2,157,532 |
Collateralized Mortgage Obligations - continued |
| Principal
Amount | | Value
(Note 1) |
Private Sponsor - continued |
Sequoia Mortgage Trust floater: - continued | | | |
Series 2005-2 Class A2, 3.36% 3/20/35 (e) | $ 2,864,345 | | $ 2,864,345 |
Structured Adjustable Rate Mortgage Loan Trust floater Series 2001-14 Class A1, 3.6244% 7/25/35 (e) | 5,210,713 | | 5,210,713 |
Wells Fargo Mortgage Backed Securities Trust: | | | |
Series 2005-AR10 Class 2A2, 4.111% 6/25/65 (e) | 3,778,968 | | 3,752,397 |
Series 2005-AR12 Class 2A6, 4.322% 7/25/35 (e) | 4,080,000 | | 4,063,030 |
Series 2005-AR4 Class 2A2, 4.5419% 4/25/35 (e) | 3,233,471 | | 3,225,835 |
Series 2005-AR9 Class 2A1, 4.3609% 5/25/35 (e) | 1,792,878 | | 1,792,598 |
TOTAL PRIVATE SPONSOR | | 43,849,105 |
U.S. Government Agency - 2.1% |
Fannie Mae guaranteed REMIC pass thru certificates planned amortization class Series 2004-81 Class KD: | | | |
4.5% 4/25/17 | 5,810,000 | | 5,828,780 |
4.5% 7/25/18 | 2,455,000 | | 2,440,163 |
Freddie Mac Multi-class participation certificates guaranteed: | | | |
planned amortization class: | | | |
Series 2500 Class TE, 5.5% 9/15/17 | 10,275,186 | | 10,726,316 |
Series 2677 Class LD, 4.5% 3/15/17 | 8,240,218 | | 8,233,525 |
Series 2702 Class WB, 5% 4/15/17 | 2,947,632 | | 3,007,258 |
Series 2885 Class PC, 4.5% 3/15/18 | 2,395,000 | | 2,404,982 |
sequential pay Series 2750 Class ZT, 5% 2/15/34 | 2,073,455 | | 1,948,427 |
TOTAL U.S. GOVERNMENT AGENCY | | 34,589,451 |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $78,237,437) | 78,438,556 |
Commercial Mortgage Securities - 5.0% |
| Principal
Amount | | Value
(Note 1) |
Bayview Commercial Asset Trust floater Series 2004-3: | | | |
Class A1, 3.6844% 1/25/35 (a)(e) | $ 1,933,367 | | $ 1,936,957 |
Class A2, 3.7344% 1/25/35 (a)(e) | 290,005 | | 290,543 |
Class M1, 3.8144% 1/25/35 (a)(e) | 338,339 | | 338,714 |
Class M2, 4.3144% 1/25/35 (a)(e) | 193,337 | | 193,933 |
Chase Commercial Mortgage Securities Corp. Series 2001-245 Class A2, 6.4842% 2/12/16 (a)(e) | 1,345,000 | | 1,472,581 |
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust sequential pay Series 1999-1 Class A2, 7.439% 8/15/31 | 5,000,000 | | 5,563,218 |
COMM: | | | |
floater: | | | |
Series 2002-FL7 Class D, 3.79% 11/15/14 (a)(e) | 735,000 | | 735,557 |
Series 2003-FL9 Class B, 3.72% 11/15/15 (a)(e) | 965,488 | | 968,132 |
Series 2004-LBN2 Class X2, 1.0847% 3/10/39 (a)(e)(g) | 4,873,817 | | 186,877 |
CS First Boston Mortgage Securities Corp.: | | | |
floater Series 2003-TF2A Class A2, 3.54% 11/15/14 (a)(e) | 2,500,000 | | 2,501,052 |
sequential pay: | | | |
Series 1997-C2 Class A3, 6.55% 1/17/35 | 2,075,000 | | 2,179,439 |
Series 1999-C1 Class A2, 7.29% 9/15/41 | 3,500,000 | | 3,848,273 |
Series 2000-C1 Class A2, 7.545% 4/15/62 | 1,100,000 | | 1,235,723 |
Series 2004-C1 Class A3, 4.321% 1/15/37 | 1,505,000 | | 1,498,634 |
Series 1997-C2 Class D, 7.27% 1/17/35 | 1,750,000 | | 1,899,086 |
Series 1998-C1 Class C, 6.78% 5/17/40 | 5,000,000 | | 5,399,835 |
Series 2001-CKN5 Class AX, 0.9729% 9/15/34 (a)(e)(g) | 30,838,967 | | 1,994,381 |
Series 2004-C1 Class ASP, 0.9379% 1/15/37 (a)(e)(g) | 23,268,004 | | 869,195 |
Deutsche Mortgage & Asset Receiving Corp. sequential pay Series 1998-C1 Class D, 7.231% 6/15/31 | 1,270,000 | | 1,368,770 |
DLJ Commercial Mortgage Corp. sequential pay Series 2000-CF1 Class A1B, 7.62% 6/10/33 | 3,000,000 | | 3,403,706 |
Commercial Mortgage Securities - continued |
| Principal
Amount | | Value
(Note 1) |
Equitable Life Assurance Society of the United States Series 174: | | | |
Class B1, 7.33% 5/15/06 (a) | $ 500,000 | | $ 512,906 |
Class C1, 7.52% 5/15/06 (a) | 500,000 | | 513,250 |
Fannie Mae sequential pay Series 1999-10 Class MZ, 6.5% 9/17/38 | 4,021,204 | | 4,424,028 |
GGP Mall Properties Trust sequential pay Series 2001-C1A Class A2, 5.007% 11/15/11 (a) | 3,384,369 | | 3,424,282 |
Ginnie Mae guaranteed REMIC pass thru securities sequential pay: | | | |
Series 2002-83 Class B, 4.6951% 12/16/24 | 1,860,000 | | 1,884,857 |
Series 2003-22 Class B, 3.963% 5/16/32 | 3,295,000 | | 3,228,965 |
GS Mortgage Securities Corp. II: | | | |
sequential pay: | | | |
Series 2001-LIBA Class A2, 6.615% 2/14/16 (a) | 1,995,000 | | 2,220,219 |
Series 2003-C1 Class A2A, 3.59% 1/10/40 | 3,220,000 | | 3,186,635 |
Series 1998-GLII Class E, 7.1906% 4/13/31 (e) | 245,000 | | 258,017 |
J.P. Morgan Commercial Mortgage Finance Corp. sequential pay Series 2000-C9 Class A2, 7.77% 10/15/32 | 3,745,000 | | 4,217,573 |
LB-UBS Commercial Mortgage Trust sequential pay: | | | |
Series 2000-C3 Class A2, 7.95% 1/15/10 | 2,180,000 | | 2,492,911 |
Series 2001-C3 Class A1, 6.058% 6/15/20 | 5,002,720 | | 5,212,092 |
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A: | | | |
Class B, 4.13% 11/20/37 (a) | 2,600,000 | | 2,439,060 |
Class C, 4.13% 11/20/37 (a) | 2,600,000 | | 2,343,120 |
Morgan Stanley Capital I, Inc.: | | | |
sequential pay Series 2004-HQ3 Class A2, 4.05% 1/13/41 | 1,480,000 | | 1,465,407 |
Series 2005-IQ9 Class X2, 1.0828% 7/15/56 (a)(e)(g) | 19,175,000 | | 992,456 |
Thirteen Affiliates of General Growth Properties, Inc. sequential pay Series 1 Class A2, 6.602% 11/15/07 (a) | 2,500,000 | | 2,633,623 |
Trizechahn Office Properties Trust Series 2001-TZHA Class E3, 7.253% 3/15/13 (a) | 1,390,000 | | 1,452,980 |
Wachovia Bank Commercial Mortgage Trust sequential pay Series 2003-C6 Class A2, 4.498% 8/15/35 | 2,385,000 | | 2,400,831 |
TOTAL COMMERCIAL
MORTGAGE SECURITIES (Cost $81,411,010) | 83,187,818 |
Foreign Government and
Government Agency Obligations - 1.4% |
| Principal
Amount | | Value
(Note 1) |
Chilean Republic 7.125% 1/11/12 | $ 3,470,000 | | $ 3,989,112 |
Israeli State 4.625% 6/15/13 | 725,000 | | 718,203 |
Korean Republic 4.875% 9/22/14 | 840,000 | | 853,091 |
United Mexican States: | | | |
5.875% 1/15/14 | 915,000 | | 954,803 |
6.75% 9/27/34 | 5,645,000 | | 5,983,700 |
7.5% 4/8/33 | 8,587,000 | | 9,896,518 |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $20,196,489) | 22,395,427 |
Supranational Obligations - 0.1% |
|
Corporacion Andina de Fomento 6.875% 3/15/12
(Cost $1,706,548) | 1,725,000 | | 1,931,407 |
Fixed-Income Funds - 14.5% |
| Shares | | |
Fidelity Ultra-Short Central Fund (f)
(Cost $239,752,508) | 2,411,882 | | 239,982,249 |
Cash Equivalents - 10.5% |
| Maturity
Amount | | |
Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.42%, dated 6/30/05 due 7/1/05)
(Cost $173,538,000) (h) | $ 173,554,506 | | 173,538,000 |
TOTAL INVESTMENT PORTFOLIO - 114.7% (Cost $1,871,311,412) | | | 1,897,529,452 |
NET OTHER ASSETS - (14.7)% | | | (242,634,844) |
NET ASSETS - 100% | | $ 1,654,894,608 |
Swap Agreements |
| Expiration
Date | | Notional
Amount | | Value |
Credit Default Swap |
Receive quarterly a fixed rate of .4% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 4, par value of the proportional notional amount (d) | June 2010 | | $ 10,000,000 | | $ (88,610) |
Receive quarterly a fixed rate of .5% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 3, par value of the proportional notional amount (c) | March 2010 | | 8,000,000 | | (30,015) |
Receive quarterly a fixed rate of .65% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 4, par value of the proportional notional amount (d) | June 2015 | | 17,000,000 | | (255,228) |
Receive quarterly a fixed rate of .7% multiplied by the notional amount and pay to Deutsche Bank, upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 3, par value of the proportional notional amount (c) | March 2015 | | 8,000,000 | | (81,614) |
|
| Expiration
Date | | Notional
Amount | | Value |
Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13 | March 2009 | | $ 1,800,000 | | $ 5,316 |
Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13 | March 2009 | | 700,000 | | 2,068 |
Receive quarterly notional amount multiplied by .41% and pay Merrill Lynch, Inc. upon default event of Talisman Energy, Inc., par value of the notional amount of Talisman Energy, Inc. 7.25% 10/15/27 | March 2009 | | 1,400,000 | | 6,579 |
Receive quarterly notional amount multiplied by .48% and pay JPMorgan Chase, Inc. upon default event of Fannie Mae, par value of the notional amount of Fannie Mae 4.625% 5/1/13 | June 2010 | | 4,000,000 | | 19,568 |
TOTAL CREDIT DEFAULT SWAP | 50,900,000 | | (421,936) |
Swap Agreements - continued |
| Expiration
Date | | Notional
Amount | | Value |
Interest Rate Swap |
Receive quarterly a fixed rate equal to 3.2955% and pay quarterly a floating rate based on 3-month LIBOR with Morgan Stanley, Inc. | Feb. 2006 | | $ 26,000,000 | | $ (79,957) |
Receive quarterly a fixed rate equal to 4% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | July 2009 | | 42,000,000 | | (55,570) |
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2010 | | 8,000,000 | | 102,667 |
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2015 | | 8,000,000 | | 301,680 |
Recieve quarterly a fixed rate equal to 2.83852% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Oct. 2006 | | 90,000,000 | | (1,300,689) |
TOTAL INTEREST RATE SWAP | 174,000,000 | | (1,031,869) |
Total Return Swap |
Receive monthly a return equal to Banc of America Securities LLC AAA 10 Yr Commercial Mortgage Backed Securities Daily Index and pay monthly a floating rate based on 1-month LIBOR minus 40 basis points with Bank of America | March 2006 | | 10,000,000 | | 8,839 |
|
| Expiration
Date | | Notional
Amount | | Value |
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 20 basis points with Citibank | Oct. 2005 | | $ 10,000,000 | | $ 0 |
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 45 basis points with Lehman Brothers, Inc. | July 2005 | | 10,000,000 | | 92,287 |
Receive quarterly a return equal to Banc of America Securities LLC AAA 10 Yr Commercial Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 40 basis points with Bank of America | Nov. 2005 | | 10,000,000 | | 200,039 |
Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 30 basis points with Bank of America | July 2005 | | 10,000,000 | | 248,824 |
TOTAL TOTAL RETURN SWAP | 50,000,000 | | 549,989 |
| | $ 274,900,000 | | $ (903,816) |
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $75,900,489 or 4.6% of net assets. |
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(c) Dow Jones CDX N.A. Investment Grade 3 is a tradable index of credit default swaps on investment grade debt of U.S. companies. |
(d) Dow Jones CDX N.A. Investment Grade 4 is a tradable index of credit default swaps on investment grade debt of U.S. companies. |
(e) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(f) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete listing of the fixed-income central fund's holdings is provided at the end of this report. |
(g) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
(h) Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement/
Counterparty | Value |
$173,538,000 due 7/1/05 at 3.42% | |
Banc of America Securities LLC. | $ 49,866,397 |
Bank of America, National Association | 12,704,814 |
Barclays Capital Inc. | 31,762,036 |
Countrywide Securities Corporation | 12,704,814 |
Credit Suisse First Boston LLC | 9,528,611 |
Goldman Sachs & Co. | 3,176,204 |
Morgan Stanley & Co. Incorporated. | 36,685,151 |
UBS Securities LLC | 12,704,814 |
WestLB AG | 4,405,159 |
| $ 173,538,000 |
See accompanying notes which are an integral part of the financial statements.
Investment Grade Bond Portfolio
Fidelity Variable Insurance Products: Investment Grade Bond Portfolio
Financial Statements
Statement of Assets and Liabilities
| June 30, 2005 (Unaudited) |
| | |
Assets | | |
Investment in securities, at value (including repurchase agreements of $173,538,000)
(cost $1,871,311,412) -
See accompanying schedule | | $ 1,897,529,452 |
Commitment to sell securities on a delayed delivery basis | $ (41,089,375) | |
Receivable for securities sold on a delayed delivery basis | 41,133,633 | 44,258 |
Receivable for investments sold, regular delivery | | 3,278,874 |
Cash | | 46,762 |
Receivable for fund shares sold | | 1,092,541 |
Interest receivable | | 11,730,155 |
Prepaid expenses | | 3,332 |
Total assets | | 1,913,725,374 |
| | |
Liabilities | | |
Payable for investments purchased
Regular delivery | $ 4,684,938 | |
Delayed delivery | 251,634,118 | |
Payable for fund shares redeemed | 750,768 | |
Swap agreements, at value | 903,816 | |
Accrued management fee | 444,950 | |
Distribution fees payable | 53,835 | |
Other affiliated payables | 140,857 | |
Other payables and accrued expenses | 217,484 | |
Total liabilities | | 258,830,766 |
| | |
Net Assets | | $ 1,654,894,608 |
Net Assets consist of: | | |
Paid in capital | | $ 1,595,464,262 |
Undistributed net investment income | | 30,597,319 |
Accumulated undistributed net realized gain (loss) on investments | | 3,031,124 |
Net unrealized appreciation (depreciation) on investments | | 25,801,903 |
Net Assets | | $ 1,654,894,608 |
| | |
Initial Class:
Net Asset Value, offering price and redemption price per share ($1,348,627,148 ÷ 105,637,675 shares) | | $ 12.77 |
| | |
Service Class:
Net Asset Value, offering price and redemption price per share ($69,331,866 ÷ 5,460,409 shares) | | $ 12.70 |
| | |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($236,935,594 ÷ 18,808,696 shares) | | $ 12.60 |
Statement of Operations
| Six months ended June 30, 2005 (Unaudited) |
| | |
Investment Income | | |
Interest | | $ 34,935,761 |
Security lending | | 25,840 |
Total income | | 34,961,601 |
| | |
Expenses | | |
Management fee | $ 3,296,605 | |
Transfer agent fees | 551,536 | |
Distribution fees | 290,927 | |
Accounting and security
lending fees | 289,244 | |
Independent trustees' compensation | 3,668 | |
Custodian fees and expenses | 38,484 | |
Audit | 26,439 | |
Legal | 1,079 | |
Miscellaneous | 51,168 | |
Total expenses before reductions | 4,549,150 | |
Expense reductions | (1,354) | 4,547,796 |
Net investment income | | 30,413,805 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | | |
Investment securities | 3,793,254 | |
Swap agreements | 1,365,383 | |
Total net realized gain (loss) | | 5,158,637 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 108,117 | |
Swap agreements | (94,345) | |
Delayed delivery commitments | 44,258 | |
Total change in net unrealized appreciation (depreciation) | | 58,030 |
Net gain (loss) | | 5,216,667 |
Net increase (decrease) in net assets resulting from operations | | $ 35,630,472 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Investment Grade Bond Portfolio
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended
June 30, 2005
(Unaudited) | Year ended
December 31,
2004 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income | $ 30,413,805 | $ 57,762,877 |
Net realized gain (loss) | 5,158,637 | 37,173,175 |
Change in net unrealized appreciation (depreciation) | 58,030 | (26,687,390) |
Net increase (decrease) in net assets resulting from operations | 35,630,472 | 68,248,662 |
Distributions to shareholders from net investment income | (58,445,252) | (66,752,508) |
Distributions to shareholders from net realized gain | (35,504,454) | (48,129,691) |
Total distributions | (93,949,706) | (114,882,199) |
Share transactions - net increase (decrease) | 101,797,696 | (4,083,226) |
Total increase (decrease) in net assets | 43,478,462 | (50,716,763) |
Net Assets | | |
Beginning of period | 1,611,416,146 | 1,662,132,909 |
End of period (including undistributed net investment income of $30,597,319 and undistributed net investment income of $59,329,661, respectively) | $ 1,654,894,608 | $ 1,611,416,146 |
Other Information: | | | |
Share Transactions | Six months ended June 30, 2005 (Unaudited) |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 4,478,929 | 2,215,708 | 4,780,552 |
Reinvested | 6,313,312 | 257,670 | 903,256 |
Redeemed | (8,916,365) | (816,145) | (1,117,023) |
Net increase (decrease) | 1,875,876 | 1,657,233 | 4,566,785 |
| | | |
Dollars Sold | $ 57,073,101 | $ 28,035,624 | $ 59,968,480 |
Reinvested | 79,484,594 | 3,228,606 | 11,236,506 |
Redeemed | (112,958,224) | (10,242,365) | (14,028,626) |
Net increase (decrease) | $ 23,599,471 | $ 21,021,865 | $ 57,176,360 |
| | | |
Share Transactions | Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 8,574,911 | 3,638,367 | 8,102,610 |
Reinvested | 8,127,198 | 133,843 | 666,249 |
Redeemed | (24,926,667) | (1,314,273) | (3,077,343) |
Net increase (decrease) | (8,224,558) | 2,457,937 | 5,691,516 |
| | | |
Dollars Sold | $ 111,904,360 | $ 47,309,999 | $ 104,259,091 |
Reinvested | 104,678,315 | 1,715,870 | 8,488,014 |
Redeemed | (325,781,316) | (17,025,100) | (39,632,459) |
Net increase (decrease) | $ (109,198,641) | $ 32,000,769 | $ 73,114,646 |
| | | |
Distributions | Six months ended June 30, 2005 (Unaudited) |
| Initial Class | Service Class | Service Class 2 |
From net investment income | $ 49,548,838 | $ 2,004,690 | $ 6,891,724 |
From net realized gain | 29,935,756 | 1,223,916 | 4,344,782 |
Total | $ 79,484,594 | $ 3,228,606 | $ 11,236,506 |
| Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
From net investment income | $ 60,884,326 | $ 1,005,257 | $ 4,862,925 |
From net realized gain | 43,793,989 | 710,613 | 3,625,089 |
Total | $ 104,678,315 | $ 1,715,870 | $ 8,488,014 |
See accompanying notes which are an integral part of the financial statements.
Investment Grade Bond Portfolio
Financial Highlights - Initial Class
| Six months ended
June 30, 2005 | Years ended December 31, |
Selected Per-Share Data | (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Net asset value, beginning of period | $ 13.25 | $ 13.65 | $ 13.70 | $ 12.92 | $ 12.59 | $ 12.16 |
Income from Investment Operations | | | | | | |
Net investment income | .241 | .476 | .467 | .610 | .685 G | .771 |
Net realized and unrealized gain (loss) E | .049 | .104 | .213 | .680 | .335 G | .499 |
Total from investment operations | .290 | .580 | .680 | 1.290 | 1.020 | 1.270 |
Distributions from net investment income | (.480) | (.570) | (.540) | (.510) | (.690) | (.840) |
Distributions from net realized gain | (.290) | (.410) | (.190) | - | - | - |
Total distributions | (.770) | (.980) | (.730) | (.510) | (.690) | (.840) |
Net asset value, end of period | $ 12.77 | $ 13.25 | $ 13.65 | $ 13.70 | $ 12.92 | $ 12.59 |
Total Return B, C, D | 2.27% | 4.46% | 5.20% | 10.34% | 8.46% | 11.22% |
Ratios to Average Net Assets F | | | | | | |
Expenses before expense reductions | .53% A | .56% | .54% | .54% | .54% | .54% |
Expenses net of voluntary waivers, if any | .53% A | .56% | .54% | .54% | .54% | .54% |
Expenses net of all reductions | .53% A | .56% | .54% | .53% | .54% | .54% |
Net investment income | 3.82% A | 3.65% | 3.48% | 4.71% | 5.47% G | 6.50% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 1,348,627 | $ 1,374,972 | $ 1,528,417 | $ 1,965,036 | $ 1,445,925 | $ 739,911 |
Portfolio turnover rate | 225% A | 170% | 218% | 192% | 278% | 154% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G Effective January 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
Financial Highlights - Service Class
| Six months ended
June 30, 2005 | Years ended December 31, |
Selected Per-Share Data | (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 F |
Net asset value, beginning of period | $ 13.18 | $ 13.61 | $ 13.66 | $ 12.89 | $ 12.58 | $ 11.80 |
Income from Investment Operations | | | | | | |
Net investment income | .232 | .456 | .448 | .591 | .674 H | .377 |
Net realized and unrealized gain (loss) E | .053 | .104 | .212 | .679 | .326 H | .403 |
Total from investment operations | .285 | .560 | .660 | 1.270 | 1.000 | .780 |
Distributions from net investment income | (.475) | (.580) | (.520) | (.500) | (.690) | - |
Distributions from net realized gain | (.290) | (.410) | (.190) | - | - | - |
Total distributions | (.765) | (.990) | (.710) | (.500) | (.690) | - |
Net asset value, end of period | $ 12.70 | $ 13.18 | $ 13.61 | $ 13.66 | $ 12.89 | $ 12.58 |
Total Return B, C, D | 2.24% | 4.32% | 5.06% | 10.20% | 8.30% | 6.61% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | .63% A | .66% | .64% | .64% | .64% | .64% A |
Expenses net of voluntary waivers, if any | .63% A | .66% | .64% | .64% | .64% | .64% A |
Expenses net of all reductions | .63% A | .66% | .64% | .64% | .64% | .64% A |
Net investment income | 3.72% A | 3.54% | 3.38% | 4.60% | 5.37% H | 6.40% A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 69,332 | $ 50,143 | $ 18,305 | $ 975 | $ 115 | $ 107 |
Portfolio turnover rate | 225% A | 170% | 218% | 192% | 278% | 154% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F For the period July 7, 2000 (commencement of sale of shares) to December 31, 2000.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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.
H Effective January 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Service Class 2
| Six months ended
June 30, 2005 | Years ended December 31, |
Selected Per-Share Data | (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 F |
Net asset value, beginning of period | $ 13.08 | $ 13.50 | $ 13.57 | $ 12.82 | $ 12.54 | $ 12.06 |
Income from Investment Operations | | | | | | |
Net investment income | .221 | .435 | .427 | .571 | .643 H | .686 |
Net realized and unrealized gain (loss) E | .049 | .105 | .213 | .679 | .327 H | .634 |
Total from investment operations | .270 | .540 | .640 | 1.250 | .970 | 1.320 |
Distributions from net investment income | (.460) | (.550) | (.520) | (.500) | (.690) | (.840) |
Distributions from net realized gain | (.290) | (.410) | (.190) | - | - | - |
Total distributions | (.750) | (.960) | (.710) | (.500) | (.690) | (.840) |
Net asset value, end of period | $ 12.60 | $ 13.08 | $ 13.50 | $ 13.57 | $ 12.82 | $ 12.54 |
Total Return B, C, D | 2.14% | 4.19% | 4.94% | 10.09% | 8.08% | 11.69% |
Ratios to Average Net Assets G | | | | | | |
Expenses before expense reductions | .78% A | .81% | .79% | .79% | .82% | 1.75% A |
Expenses net of voluntary waivers, if any | .78% A | .81% | .79% | .79% | .82% | 1.05% A |
Expenses net of all reductions | .78% A | .81% | .79% | .79% | .82% | 1.05% A |
Net investment income | 3.57% A | 3.39% | 3.23% | 4.45% | 5.19% H | 5.99% A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 236,936 | $ 186,302 | $ 115,411 | $ 71,631 | $ 18,225 | $ 229 |
Portfolio turnover rate | 225% A | 170% | 218% | 192% | 278% | 154% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E Calculated based on average shares outstanding during the period.
F For the period January 12, 2000 (commencement of sale of shares) to December 31, 2000.
G 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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.
H Effective January 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
See accompanying notes which are an integral part of the financial statements.
Investment Grade Bond Portfolio
Fidelity Variable Insurance Products: Money Market Portfolio
Investment Changes
Maturity Diversification |
Days | % of fund's
investments
6/30/05 | % of fund's
investments
12/31/04 | % of fund's
investments
6/30/04 |
0 - 30 | 54.5 | 34.6 | 52.0 |
31 - 90 | 37.1 | 44.8 | 25.4 |
91 - 180 | 6.4 | 19.2 | 4.0 |
181 - 397 | 2.0 | 1.4 | 18.6 |
Weighted Average Maturity |
| 6/30/05 | 12/31/04 | 6/30/04 |
Fidelity Variable Insurance Products: Money Market Portfolio | 40 Days | 56 Days | 78 Days |
Asset Allocation (% of fund's net assets) |
As of June 30, 2005 | As of December 31, 2004 |
| Corporate Bonds 3.8% | | | Corporate Bonds 1.6% | |
| Commercial Paper 25.4% | | | Commercial Paper 17.5% | |
| Bank CDs, BAs, TDs,
and Notes 47.4% | | | Bank CDs, BAs, TDs,
and Notes 53.0% | |
| Government Securities 0.7% | | | Government Securities 19.6% | |
| Repurchase Agreements 24.0% | | | Repurchase Agreements 8.9% | |
 | Net Other Assets* (1.3)% | | | Net Other Assets* (0.6)% | |
* Net Other Assets are not included in the pie chart. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Money Market Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 3.8% |
Due
Date | Annualized Yield
at Time of
Purchase | Principal
Amount | | Value
(Note 1) |
Bell Trace Obligated Group |
7/7/05 | 3.42% (d) | $ 11,375,000 | | $ 11,375,000 |
British Telecommunications PLC |
12/15/05 | 3.38 | 675,000 | | 688,088 |
12/15/05 | 3.39 | 1,005,000 | | 1,024,448 |
12/15/05 | 3.40 | 175,000 | | 178,375 |
12/15/05 | 3.43 | 705,000 | | 718,507 |
12/15/05 | 3.51 | 180,000 | | 183,345 |
12/15/05 | 3.71 | 775,000 | | 789,222 |
Citigroup, Inc. |
12/1/05 | 2.95 | 9,735,000 | | 9,884,171 |
12/1/05 | 2.97 | 10,000,000 | | 10,152,394 |
Comcast Cable Communications, Inc. |
1/30/06 | 3.74 | 4,000,000 | | 4,056,186 |
France Telecom SA |
3/1/06 | 3.65 (a) | 270,000 | | 276,491 |
3/1/06 | 3.70 (a) | 90,000 | | 92,127 |
3/1/06 | 3.72 (a) | 265,000 | | 271,230 |
3/1/06 | 3.76 (a) | 85,000 | | 86,959 |
3/1/06 | 3.80 (a) | 350,000 | | 358,062 |
3/1/06 | 3.81 (a) | 535,000 | | 547,232 |
3/1/06 | 3.82 (a) | 660,000 | | 675,102 |
3/1/06 | 3.85 (a) | 140,000 | | 143,186 |
Household Finance Corp. |
1/24/06 | 2.98 | 10,000,000 | | 10,186,300 |
Lenfest Communications, Inc. |
11/1/05 | 3.69 | 4,293,000 | | 4,357,365 |
TOTAL CORPORATE BONDS | 56,043,790 |
Certificates of Deposit - 18.2% |
|
Domestic Certificates Of Deposit - 1.3% |
Huntington National Bank, Columbus |
11/10/05 | 3.50 | 4,000,000 | | 4,000,000 |
Washington Mutual Bank, California |
7/22/05 | 2.89 | 15,000,000 | | 15,000,000 |
| 19,000,000 |
London Branch, Eurodollar, Foreign Banks - 9.9% |
Calyon |
9/12/05 | 3.01 | 15,000,000 | | 15,000,000 |
Credit Industriel et Commercial |
7/7/05 | 2.89 | 10,000,000 | | 10,000,000 |
8/11/05 | 3.09 | 15,000,000 | | 15,000,000 |
9/16/05 | 3.38 | 15,000,000 | | 15,000,000 |
Dresdner Bank AG |
10/24/05 | 3.51 | 15,000,000 | | 15,000,000 |
HBOS Treasury Services PLC |
7/14/05 | 2.88 | 10,000,000 | | 9,999,754 |
|
Due
Date | Annualized Yield
at Time of
Purchase | Principal
Amount | | Value
(Note 1) |
Hypo Real Estate Bank International |
8/11/05 | 3.30% (g) | $ 3,000,000 | | $ 3,000,000 |
Landesbank Hessen-Thuringen |
11/14/05 | 3.46 | 20,000,000 | | 20,000,000 |
Norddeutsche Landesbank Girozentrale |
8/30/05 | 3.26 | 10,000,000 | | 10,000,000 |
9/1/05 | 3.27 | 10,000,000 | | 10,000,000 |
Societe Generale |
9/8/05 | 3.00 | 5,000,000 | | 5,000,000 |
9/16/05 | 3.40 | 5,000,000 | | 4,998,943 |
9/26/05 | 3.33 | 15,000,000 | | 15,000,000 |
| 147,998,697 |
New York Branch, Yankee Dollar, Foreign Banks - 7.0% |
Canadian Imperial Bank of Commerce |
7/15/05 | 3.28 (d) | 20,000,000 | | 20,000,000 |
Credit Industriel et Commercial |
9/14/05 | 3.03 | 10,000,000 | | 10,000,000 |
9/28/05 | 3.16 | 15,000,000 | | 15,000,000 |
Dresdner Bank AG |
7/8/05 | 2.90 | 15,000,000 | | 15,000,000 |
Mizuho Corporate Bank Ltd. |
8/5/05 | 3.21 | 5,000,000 | | 5,000,000 |
Skandinaviska Enskilda Banken AB |
10/6/05 | 3.50 (d) | 20,000,000 | | 19,997,016 |
Unicredito Italiano Spa |
8/12/05 | 3.18 (d) | 10,000,000 | | 9,999,618 |
8/12/05 | 3.20 (d) | 10,000,000 | | 9,998,711 |
| 104,995,345 |
TOTAL CERTIFICATES OF DEPOSIT | 271,994,042 |
Commercial Paper - 25.4% |
|
Bank of America Corp. |
8/5/05 | 3.13 | 10,000,000 | | 9,969,958 |
Barclays U.S. Funding Corp. |
8/31/05 | 3.29 | 10,000,000 | | 9,944,761 |
Beta Finance, Inc. |
8/8/05 | 3.17 (b) | 5,000,000 | | 4,983,428 |
Capital One Multi-Asset Execution Trust |
7/5/05 | 3.07 | 5,000,000 | | 4,998,306 |
7/12/05 | 3.15 | 4,000,000 | | 3,996,174 |
CC USA, Inc. |
9/12/05 | 3.34 (b) | 10,000,000 | | 9,932,881 |
Citibank Credit Card Master Trust I (Dakota Certificate Program) |
7/5/05 | 3.05 | 15,000,000 | | 14,994,950 |
Comcast Corp. |
11/4/05 | 3.49 (b) | 2,000,000 | | 1,976,025 |
Countrywide Financial Corp. |
7/27/05 | 3.33 | 10,000,000 | | 9,976,022 |
Commercial Paper - continued |
Due
Date | Annualized Yield
at Time of
Purchase | Principal
Amount | | Value
(Note 1) |
DaimlerChrysler NA Holding Corp. |
7/8/05 | 3.31% | $ 1,000,000 | | $ 999,358 |
7/15/05 | 3.37 | 2,000,000 | | 1,997,387 |
7/22/05 | 3.43 | 2,000,000 | | 1,996,010 |
7/25/05 | 3.44 | 4,000,000 | | 3,990,853 |
7/27/05 | 3.46 | 5,000,000 | | 4,987,542 |
Emerald (MBNA Credit Card Master Note Trust) |
7/12/05 | 3.14 | 5,000,000 | | 4,995,233 |
7/26/05 | 3.16 | 4,000,000 | | 3,991,278 |
FCAR Owner Trust |
7/18/05 | 2.88 | 15,000,000 | | 14,979,883 |
9/15/05 | 3.29 | 7,000,000 | | 6,952,120 |
9/16/05 | 3.40 | 15,000,000 | | 14,891,879 |
10/4/05 | 3.35 | 1,000,000 | | 991,292 |
General Electric Capital Corp. |
8/24/05 | 3.07 | 10,000,000 | | 9,954,700 |
9/7/05 | 3.17 | 15,000,000 | | 14,911,600 |
Grampian Funding LLC |
7/27/05 | 2.92 | 7,250,000 | | 7,234,920 |
8/18/05 | 3.17 | 5,000,000 | | 4,979,100 |
K2 (USA) LLC |
9/23/05 | 3.25 (b) | 9,800,000 | | 9,726,827 |
Kellogg Co. |
7/5/05 | 3.14 | 1,000,000 | | 999,652 |
7/21/05 | 3.34 | 1,000,000 | | 998,150 |
7/29/05 | 3.35 | 1,000,000 | | 997,402 |
8/22/05 | 3.45 | 1,000,000 | | 995,046 |
9/16/05 | 3.53 | 1,000,000 | | 992,514 |
Market Street Funding Corp. |
7/5/05 | 3.06 | 15,000,000 | | 14,994,933 |
Motown Notes Program |
7/13/05 | 3.09 | 5,000,000 | | 4,994,883 |
7/18/05 | 3.17 | 5,000,000 | | 4,992,563 |
7/25/05 | 3.18 | 5,000,000 | | 4,989,500 |
8/10/05 | 3.22 | 5,000,000 | | 4,982,278 |
8/11/05 | 3.23 | 15,000,000 | | 14,945,219 |
9/8/05 | 3.37 | 5,000,000 | | 4,967,992 |
Newcastle (Discover Card Master Trust) |
7/5/05 | 3.15 | 15,000,000 | | 14,994,783 |
8/8/05 | 3.26 | 8,000,000 | | 7,972,640 |
8/8/05 | 3.30 | 5,000,000 | | 4,982,689 |
8/10/05 | 3.31 | 5,000,000 | | 4,981,722 |
Oracle Corp. |
8/8/05 | 3.21 | 5,000,000 | | 4,983,217 |
Paradigm Funding LLC |
7/25/05 | 3.31 | 2,000,000 | | 1,995,600 |
9/19/05 | 3.40 | 15,000,000 | | 14,887,667 |
Park Granada LLC |
7/5/05 | 3.10 | 10,000,000 | | 9,996,578 |
7/20/05 | 3.19 | 4,150,000 | | 4,143,057 |
8/3/05 | 3.18 | 15,000,000 | | 14,956,688 |
|
Due
Date | Annualized Yield
at Time of
Purchase | Principal
Amount | | Value
(Note 1) |
Preferred Receivables Funding Corp. |
8/8/05 | 3.16% | $ 15,000,000 | | $ 14,950,442 |
Rabobank USA Financial Corp. |
7/6/05 | 2.98 | 10,000,000 | | 9,995,903 |
Strand Capital LLC |
9/19/05 | 3.46 | 1,000,000 | | 992,378 |
9/21/05 | 3.46 | 4,000,000 | | 3,968,749 |
Stratford Receivables Co. LLC |
8/4/05 | 3.33 | 5,000,000 | | 4,984,322 |
Thames Asset Global Securities No. 1, Inc. |
8/18/05 | 3.22 | 20,000,000 | | 19,914,933 |
Toyota Motor Credit Corp. |
9/7/05 | 3.18 | 2,000,000 | | 1,988,176 |
TOTAL COMMERCIAL PAPER | 378,892,163 |
Federal Agencies - 0.7% |
|
Fannie Mae - 0.7% |
Agency Coupons - 0.7% |
9/12/05 | 2.31 | 10,000,000 | | 10,000,000 |
Master Notes - 3.1% |
|
Goldman Sachs Group, Inc. |
7/11/05 | 3.26 (d)(g) | 5,000,000 | | 5,000,000 |
8/26/05 | 3.35 (d)(g) | 36,000,000 | | 36,000,000 |
1/9/06 | 3.69 (g) | 6,000,000 | | 6,000,000 |
TOTAL MASTER NOTES | 47,000,000 |
Medium-Term Notes - 19.7% |
|
Allstate Life Global Funding II |
7/27/05 | 3.30 (b)(d) | 1,000,000 | | 1,000,000 |
American Express Credit Corp. |
7/5/05 | 3.23 (d) | 10,000,000 | | 10,000,703 |
ASIF II |
8/16/05 | 3.31 | 15,000,000 | | 15,030,194 |
Australia & New Zealand Banking Group Ltd. |
7/25/05 | 3.28 (b)(d) | 5,000,000 | | 5,000,000 |
Bank of New York Co., Inc. |
7/27/05 | 3.35 (b)(d) | 15,000,000 | | 15,000,000 |
Bayerische Landesbank Girozentrale |
8/19/05 | 3.24 (d) | 15,000,000 | | 15,000,000 |
BellSouth Telecommunications |
9/6/05 | 3.41 (d) | 5,000,000 | | 5,000,000 |
BMW U.S. Capital LLC |
7/15/05 | 3.19 (d) | 2,000,000 | | 2,000,000 |
Descartes Funding Trust |
7/15/05 | 3.22 (d) | 5,000,000 | | 5,000,000 |
Medium-Term Notes - continued |
Due
Date | Annualized Yield
at Time of
Purchase | Principal
Amount | | Value
(Note 1) |
HBOS Treasury Services PLC |
9/26/05 | 3.51% (d) | $ 20,000,000 | | $ 20,000,000 |
HSBC Finance Corp. |
7/25/05 | 3.29 (d) | 6,000,000 | | 6,000,000 |
HSH Nordbank AG |
7/23/05 | 3.30 (b)(d) | 6,000,000 | | 6,000,000 |
ING USA Annuity & Life Insurance Co. |
7/24/05 | 3.54 (d)(g) | 3,000,000 | | 3,000,000 |
MBIA Global Funding LLC |
7/18/05 | 3.23 (b)(d) | 2,000,000 | | 2,000,000 |
Metropolitan Life Insurance Co. |
7/6/05 | 3.14 (b)(d) | 3,884,000 | | 3,884,000 |
Morgan Stanley |
7/1/05 | 3.33 (d) | 2,000,000 | | 2,000,000 |
7/5/05 | 3.18 (d) | 5,000,000 | | 5,000,000 |
7/5/05 | 3.13 (d) | 25,000,000 | | 25,000,000 |
7/15/05 | 3.22 (d) | 5,000,000 | | 5,000,000 |
7/27/05 | 3.35 (d) | 11,000,000 | | 11,000,294 |
RACERS |
7/22/05 | 3.28 (b)(d) | 15,000,000 | | 15,000,000 |
Royal Bank of Scotland PLC |
7/21/05 | 3.24 (b)(d) | 10,000,000 | | 10,000,000 |
SBC Communications, Inc. |
6/5/06 | 3.96 (b) | 3,920,000 | | 3,933,033 |
Treasury Bank NA, Alexandria Virginia |
8/12/05 | 3.27 (d) | 10,000,000 | | 10,000,000 |
Verizon Global Funding Corp. |
9/15/05 | 3.52 (d) | 50,000,000 | | 50,000,156 |
Washington Mutual Bank, California |
7/27/05 | 3.16 (d) | 10,000,000 | | 10,000,000 |
8/4/05 | 3.19 (d) | 10,000,000 | | 10,000,000 |
9/26/05 | 3.45 (d) | 10,000,000 | | 9,999,510 |
WestLB AG |
7/11/05 | 3.20 (b)(d) | 6,000,000 | | 6,000,000 |
9/30/05 | 3.49 (b)(d) | 7,000,000 | | 7,000,000 |
TOTAL MEDIUM-TERM NOTES | 293,847,890 |
Short-Term Notes - 5.5% |
|
Jackson National Life Insurance Co. |
7/1/05 | 3.24 (d)(g) | 7,000,000 | | 7,000,000 |
Metropolitan Life Insurance Co. |
7/1/05 | 3.29 (d)(g) | 10,000,000 | | 10,000,000 |
7/28/05 | 3.39 (b)(d) | 5,000,000 | | 5,000,000 |
8/1/05 | 3.37 (d)(g) | 5,000,000 | | 5,000,000 |
Monumental Life Insurance Co. |
7/1/05 | 3.25 (d)(g) | 5,000,000 | | 5,000,000 |
7/1/05 | 3.28 (d)(g) | 5,000,000 | | 5,000,000 |
|
Due
Date | Annualized Yield
at Time of
Purchase | Principal
Amount | | Value
(Note 1) |
New York Life Insurance Co. |
7/1/05 | 3.23% (d)(g) | $ 30,000,000 | | $ 30,000,000 |
Pacific Life Insurance Co. |
7/11/05 | 3.53 (d)(g) | 5,000,000 | | 5,000,000 |
Transamerica Occidental Life Insurance Co. |
8/1/05 | 3.38 (d)(g) | 10,000,000 | | 10,000,000 |
TOTAL SHORT-TERM NOTES | 82,000,000 |
Municipal Securities - 0.9% |
|
California Statewide Cmntys. Dev. Auth. Rev. TRAN Series C3, 3.93% 6/30/06 (c) | | 2,950,000 | | 2,950,000 |
San Jose Redev. Agcy. Rev. Series A, 3.3%, LOC JPMorgan Chase
Bank, VRDN (d)(e) | | 11,250,000 | | 11,250,000 |
TOTAL MUNICIPAL SECURITIES | | 14,200,000 |
Repurchase Agreements - 24.0% |
| | Maturity
Amount | | |
In a joint trading account (Collateralized by U.S. Government Obligations dated 6/30/05 due 7/1/05 At 3.44%) | | $ 372,036 | | 372,000 |
With: | | | |
Banc of America Securities LLC
At 3.49%, dated 6/30/05 due 7/1/05 (Collateralized by Mortgage Loan Obligations valued at $62,968,189, 4.24% - 5.5%, 7/25/20 - 6/25/35) | | 60,005,817 | | 60,000,000 |
Barclays Capital, Inc. At 3.49%, dated 6/30/05 due 7/1/05 (Collateralized by Corporate Obligations valued at $25,500,000, 5.5%, 7/1/07) | | 25,002,424 | | 25,000,000 |
Deutsche Bank Securities, Inc. At 3.57%, dated 6/30/05 due 7/1/05 (Collateralized by Mortgage Loan Obligations valued at $73,497,949, 4.9% - 5.33%, 5/25/34 - 6/25/35) | | 70,006,942 | | 70,000,000 |
Goldman Sachs & Co. At: | | | |
3.54%, dated 5/24/05 due 7/1/05 (Collateralized by Municipal Securities valued at $25,200,000, 3.18%, 6/1/30) (d)(f) | | 24,089,680 | | 24,000,000 |
3.56%, dated 5/24/05 due 7/1/05 (Collateralized by Equity Securities valued at $5,250,004) (d)(f) | | 5,018,789 | | 5,000,000 |
Repurchase Agreements - continued |
| | Maturity
Amount | | Value
(Note 1) |
J.P. Morgan Securities, Inc. At 3.13%, dated 5/4/05 due 7/1/05 (Collateralized by Corporate Obligations valued at $25,145,772, 5.5% - 10.125%, 12/27/07 - 5/25/34) | | $ 24,121,027 | | $ 24,000,000 |
Lehman Brothers, Inc. At 3.52%, dated 6/30/05 due 7/1/05 (Collateralized by Mortgage Loan Obligations valued at $52,483,775, 3.79% - 5.23%, 12/29/31 - 7/15/40) | | 50,004,889 | | 50,000,000 |
Merrill Lynch, Pierce, Fenner & Smith At 3.59%, dated 4/29/05 due 7/27/05 (Collateralized by Corporate Obligations valued at $23,730,358, 7.88% - 12.88%, 3/15/08 - 6/3/23) (d)(f) | | 23,204,131 | | 23,000,000 |
Morgan Stanley & Co. At: | | | |
3.13%, dated 5/4/05 due 7/1/05 (Collateralized by Corporate Obligations valued at $20,502,001, 3.95% - 7.59%, 2/25/35 - 1/2/40) | | 20,100,856 | | 20,000,000 |
3.52%, dated 6/30/05 due 7/1/05 (Collateralized by Mortgage Loan Obligations valued at $5,276,251, 6.54%, 12/10/29) | | 5,000,489 | | 5,000,000 |
Wachovia Securities, Inc. At 3.51%, dated 6/30/05 due 7/1/05 (Collateralized by Corporate Obligations valued at $52,994,888, 3.78% - 7.84%, 12/6/05 - 9/25/35) | | 52,005,070 | | 52,000,000 |
TOTAL REPURCHASE AGREEMENTS | | 358,372,000 |
TOTAL INVESTMENT
PORTFOLIO - 101.3% (Cost $1,512,349,885) | | | | 1,512,349,885 |
NET OTHER ASSETS - (1.3)% | | | | (18,806,813) |
NET ASSETS - 100% | | | $ 1,493,543,072 |
Security Type Abbreviations |
CP | - | COMMERCIAL PAPER |
TRAN | - | TAX AND REVENUE ANTICIPATION NOTE |
VRDN | - | VARIABLE RATE DEMAND NOTE |
Legend |
(a) Debt obligation initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $106,436,194 or 7.1% of net assets. |
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due dates on these types of securities reflect the next interest rate reset date or, when applicable, the final maturity date. |
(e) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals. |
(f) The maturity amount is based on the rate at period end. |
(g) 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 130,000,000 or 8.7% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Cost |
Goldman Sachs Group, Inc.:
3.26%, 7/11/05 | 1/13/05 | $ 5,000,000 |
3.35%, 8/26/05 | 8/26/04 | $ 36,000,000 |
3.69%, 1/9/06 | 4/12/05 | $ 6,000,000 |
Hypo Real Estate Bank International
3.3%, 8/11/05 | 5/9/05 | $ 3,000,000 |
ING USA Annuity & Life Insurance Co. 3.54%, 7/24/05 | 6/23/05 | $ 3,000,000 |
Jackson National Life Insurance Co. 3.24%, 7/1/05 | 3/31/03 | $ 7,000,000 |
Metropolitan Life Insurance Co.:
3.29%, 7/1/05 | 3/26/02 | $ 10,000,000 |
3.37%, 8/1/05 | 2/24/03 | $ 5,000,000 |
Monumental Life Insurance Co.:
3.25%, 7/1/05 | 9/17/98 | $ 5,000,000 |
3.28%, 7/1/05 | 3/12/99 | $ 5,000,000 |
New York Life Insurance Co.
3.23%, 7/1/05 | 2/28/02 - 12/19/02 | $ 30,000,000 |
Pacific Life Insurance Co
3.53%, 7/11/05 | 3/10/03 | $ 5,000,000 |
Transamerica Occidental Life
Insurance Co. 3.38%, 8/1/05 | 4/28/00 | $ 10,000,000 |
Income Tax Information |
At December 31, 2004, the fund had a capital loss carryforward of approximately $284,000 of which $109,000 and $175,000 will expire on December 31, 2011 and 2012, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Variable Insurance Products: Money Market Portfolio
Financial Statements
Statement of Assets and Liabilities
| June 30, 2005 (Unaudited) |
| | |
Assets | | |
Investment in securities, at value (including repurchase agreements of $358,372,000) (cost $1,512,349,885) - See accompanying schedule | | $ 1,512,349,885 |
Cash | | 256,665 |
Receivable for fund shares sold | | 1,010,237 |
Interest receivable | | 4,034,967 |
Prepaid expenses | | 3,376 |
Other receivables | | 10 |
Total assets | | 1,517,655,140 |
| | |
Liabilities | | |
Payable for investments purchased
Regular delivery | $ 19,997,016 | |
Delayed delivery | 2,950,000 | |
Payable for fund shares redeemed | 608,980 | |
Accrued management fee | 245,525 | |
Distribution fees payable | 9,079 | |
Other affiliated payables | 99,347 | |
Other payables and accrued expenses | 202,121 | |
Total liabilities | | 24,112,068 |
| | |
Net Assets | | $ 1,493,543,072 |
Net Assets consist of: | | |
Paid in capital | | $ 1,493,869,166 |
Undistributed net investment income | | 63,180 |
Accumulated undistributed net realized gain (loss) on investments | | (389,274) |
Net Assets | | $ 1,493,543,072 |
| | |
Initial Class:
Net Asset Value, offering price and redemption price per share ($1,434,983,327 ÷ 1,435,279,029 shares) | | $ 1.00 |
| | |
Service Class:
Net Asset Value, offering price and redemption price per share ($21,804,995 ÷ 21,806,758 shares) | | $ 1.00 |
| | |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($36,754,750 ÷ 36,757,990 shares) | | $ 1.00 |
Statement of Operations
| Six months ended June 30, 2005 (Unaudited) |
| | |
Investment Income | | |
Interest | | $ 20,329,568 |
| | |
Expenses | | |
Management fee | $ 1,445,595 | |
Transfer agent fees | 502,363 | |
Distribution fees | 45,842 | |
Accounting fees and expenses | 81,658 | |
Independent trustees' compensation | 3,359 | |
Custodian fees and expenses | 19,170 | |
Audit | 22,304 | |
Legal | 1,016 | |
Miscellaneous | 48,946 | |
Total expenses before reductions | 2,170,253 | |
Expense reductions | (558) | 2,169,695 |
Net investment income | | 18,159,873 |
Net realized gain (loss) on investment securities | | (105,586) |
Net increase in net assets resulting from operations | | $ 18,054,287 |
See accompanying notes which are an integral part of the financial statements.
Money Market Portfolio
Statement of Changes in Net Assets
| Six months ended
June 30, 2005
(Unaudited) | Year ended
December 31,
2004 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income | $ 18,159,873 | $ 19,774,748 |
Net realized gain (loss) | (105,586) | (174,987) |
Net increase in net assets resulting from operations | 18,054,287 | 19,599,761 |
Distributions to shareholders from net investment income | (18,146,598) | (19,778,361) |
Share transactions - net increase (decrease) | 66,382,274 | (412,681,844) |
Total increase (decrease) in net assets | 66,289,963 | (412,860,444) |
| | |
Net Assets | | |
Beginning of period | 1,427,253,109 | 1,840,113,553 |
End of period (including undistributed net investment income of $63,180 and undistributed net investment income of $49,905, respectively) | $ 1,493,543,072 | $ 1,427,253,109 |
Other Information: | | | |
Share Transactions | Six months ended June 30, 2005 (Unaudited) |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 321,921,212 | 20,271,096 | 26,201,276 |
Reinvested | 17,574,389 | 229,840 | 326,673 |
Redeemed | (296,871,332) | (12,600,339) | (10,670,541) |
Net increase (decrease) | 42,624,269 | 7,900,597 | 15,857,408 |
| | | |
Share Transactions | Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
Shares Sold | 830,419,484 | 47,818,461 | 22,301,596 |
Reinvested | 19,434,528 | 224,941 | 96,802 |
Redeemed | (1,274,668,391) | (53,743,207) | (4,566,058) |
Net increase (decrease) | (424,814,379) | (5,699,805) | 17,832,340 |
| | | |
Distributions | Six months ended June 30, 2005 (Unaudited) |
| Initial Class | Service Class | Service Class 2 |
From net investment income | $ 17,589,668 | $ 230,005 | $ 326,925 |
| Year ended December 31, 2004 |
| Initial Class | Service Class | Service Class 2 |
From net investment income | $ 19,434,556 | $ 247,002 | $ 96,803 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Initial Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Income from Investment Operations | | | | | | |
Net investment income | .012 | .012 | .010 | .017 | .041 | .062 |
Distributions from net investment income | (.012) | (.012) | (.010) | (.017) | (.041) | (.062) |
Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Total Return B, C, D | 1.23% | 1.21% | 1.00% | 1.69% | 4.18% | 6.30% |
Ratios to Average Net Assets E | | | | | | |
Expenses before expense reductions | .29% A | .29% | .29% | .29% | .28% | .33% |
Expenses net of voluntary waivers, if any | .29% A | .29% | .29% | .29% | .28% | .33% |
Expenses net of all reductions | .29% A | .29% | .29% | .29% | .28% | .33% |
Net investment income | 2.48% A | 1.18% | 1.00% | 1.68% | 3.99% | 6.18% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 1,434,983 | $ 1,392,449 | $ 1,817,440 | $ 2,705,069 | $ 2,753,379 | $ 2,233,342 |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
Financial Highlights - Service Class
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 E |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Income from Investment Operations | | | | | | |
Net investment income | .012 | .011 | .009 | .016 | .040 | .031 |
Distributions from net investment income | (.012) | (.011) | (.009) | (.016) | (.040) | (.031) |
Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Total Return B, C, D | 1.18% | 1.10% | .90% | 1.61% | 4.10% | 3.06% |
Ratios to Average Net Assets F | | | | | | |
Expenses before expense reductions | .40% A | .40% | .38% | .39% | .39% | .47% A |
Expenses net of voluntary waivers, if any | .40% A | .40% | .38% | .39% | .39% | .45% A |
Expenses net of all reductions | .40% A | .40% | .38% | .39% | .39% | .45% A |
Net investment income | 2.37% A | 1.08% | .91% | 1.58% | 3.87% | 6.28% A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 21,805 | $ 13,905 | $ 19,606 | $ 8,017 | $ 6,143 | $ 103 |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E For the period July 7, 2000 (commencement of sale of shares) to December 31, 2000.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Money Market Portfolio
Financial Highlights - Service Class 2
| Six months ended
June 30, 2005 | Years ended December 31, |
| (Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 E |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Income from Investment Operations | | | | | | |
Net investment income | .011 | .009 | .007 | .014 | .039 | .058 |
Distributions from net investment income | (.011) | (.009) | (.007) | (.014) | (.039) | (.058) |
Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Total Return B, C, D | 1.10% | .95% | .75% | 1.45% | 3.96% | 5.89% |
Ratios to Average Net Assets F | | | | | | |
Expenses before expense reductions | .54% A | .55% | .54% | .54% | .55% | .96% A |
Expenses net of voluntary waivers, if any | .54% A | .55% | .54% | .54% | .55% | .60% A |
Expenses net of all reductions | .54% A | .55% | .54% | .54% | .55% | .60% A |
Net investment income | 2.23% A | .93% | .75% | 1.43% | 3.71% | 5.94% A |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 36,755 | $ 20,899 | $ 3,068 | $ 47,604 | $ 40,267 | $ 108 |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower had certain expenses not been reduced during the periods shown.
E For the period January 12, 2000 (commencement of sale of shares) to December 31, 2000.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2005 (Unaudited)
1. Significant Accounting Policies.
High Income Portfolio and Money Market Portfolio (the funds) are funds of Variable Insurance Products Fund. Asset Manager Portfolio, Asset Manager: Growth Portfolio and Investment Grade Bond Portfolio (the funds) are funds of Variable Insurance Products Fund II. Balanced Portfolio (the fund) is a fund of Variable Insurance Products Fund III. The Variable Insurance Products Fund, Variable Insurance Products Fund II, and Variable Insurance Products Fund III (the trusts) are registered under the Investment Company Act of 1940, as amended (the 1940 Act), as open-end management investment companies organized as Massachusetts business trusts. Each fund is authorized to issue an unlimited number of shares. Shares of each fund may only be purchased by insurance companies for the purpose of funding variable annuity or variable life insurance contracts. Each fund offers the following classes of shares: Initial Class shares, Service Class shares and Service Class 2 shares. High Income Portfolio also offers Initial Class R, Service Class R and Service Class 2R 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 distribution and service plan fees incurred. Certain expense reductions also differ by class. On January 20, 2005, the Board of Trustees approved the creation of an Investor Class, a new class of shares of each fund. These shares are expected to be available on or about July 21, 2005.
Certain funds may invest in affiliated fixed-income and money market central funds (Underlying Funds) managed by affiliates of Fidelity Management & Research Company (FMR). The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the funds and underlying fixed-income funds (funds):
Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies, including Underlying Funds, are valued at their net asset value each business day.
As permitted under Rule 2a-7 of the 1940 Act, and certain conditions therein, securities are valued initially at cost and thereafter assume a constant amortization to maturity of any discount or premium.
Foreign Currency. Certain funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. 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 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.
Investment Transactions and Income. Security transactions, including the fund's investment activity in the Underlying Funds, are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the funds are informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income, including income from the Underlying Funds, is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. Interest is accrued based on the principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recorded as interest income, even though the principal is
Semiannual Report
1. Significant Accounting Policies - continued
Investment Transactions and Income - continued
not received until maturity. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in a cross-section of other Fidelity funds, and are marked-to-market. Deferred amounts remain in the fund until distributed in accordance with the Plan.
Income Tax Information and Distributions to Shareholders. Each year, each fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on each fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
For the Money Market Portfolio, dividends are declared daily and paid monthly from net investment income and distributions from realized gains, if any, are recorded on the ex-dividend date. For all other funds, 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 generally accepted accounting principles. 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. There were no significant book-to-tax differences during the period for the Money Market Portfolio. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swap agreements, foreign currency transactions, passive foreign investment companies (PFIC), prior period premium and discount on debt securities, defaulted bonds, market discount, partnerships, non-taxable dividends, financing transactions, capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows for each fund:
| Cost for Federal
Income Tax Purposes | Unrealized
Appreciation | Unrealized
Depreciation | Net Unrealized
Appreciation/
(Depreciation) |
Asset Manager | $ 2,479,816,042 | $ 230,298,419 | $ (89,332,733) | $ 140,965,686 |
Asset Manager: Growth | 266,802,813 | 31,422,815 | (14,293,778) | 17,129,037 |
Balanced | 328,730,243 | 12,847,359 | (5,334,920) | 7,512,439 |
High Income | 1,626,191,943 | 49,804,440 | (24,594,056) | 25,210,384 |
Investment Grade Bond | 1,870,971,978 | 36,302,220 | (9,744,746) | 26,557,474 |
Money Market | 1,512,349,885 | - | - | - |
Trading (Redemption) Fees. Initial Class R shares, Service Class R shares and Service Class 2R shares held less than 60 days are subject to a redemption fee equal to 1% of the proceeds of the redeemed shares. All redemption fees, including any estimated redemption fees paid by FMR, are retained by the applicable fund and accounted for as an addition to paid in capital.
2. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits certain funds and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. Certain funds may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Each applicable 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities. Certain funds may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in each applicable fund's Schedule of Investments. Certain funds may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, each applicable fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. The payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in each applicable fund's Statement of Assets and Liabilities under the caption "Delayed delivery." Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Futures Contracts. Certain funds may use futures contracts to manage their exposure to the stock and bond markets and to fluctuations in interest rates. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in each applicable fund's Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in each applicable fund's Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contracts' terms. Gains (losses) are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Restricted Securities. Certain funds 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 each applicable fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. Certain funds may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. A fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
Swap Agreements. Certain funds may invest in swaps for the purpose of managing their exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by each applicable fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by each applicable fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. Certain funds may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by each applicable fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and
Semiannual Report
2. Operating Policies - continued
Swap Agreements - continued
Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in each applicable fund's Schedule of Investments under the caption "Swap Agreements".
Mortgage Dollar Rolls. To earn additional income, certain funds may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, are noted in the table below.
| Purchases ($) | Sales ($) |
Asset Manager | 298,953,866 | 381,779,936 |
Asset Manager: Growth | 35,052,657 | 56,580,025 |
Balanced | 217,361,398 | 205,094,970 |
High Income | 845,094,882 | 988,065,591 |
Investment Grade Bond | 211,002,335 | 137,218,070 |
4. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the funds with investment management related services for which the funds pay a monthly management fee.
For all funds except the Money Market Portfolio, the management fee is the sum of an individual fund fee rate applied to the average net assets of each fund and a group fee rate. The group fee rates differ for equity and fixed-income funds and are each based upon the average net assets of all the mutual funds advised by FMR. The group fee rates decrease as assets under management increase and increase as assets under management decrease. The annual individual fund fee rate is .45% of the fund's average net assets for High Income Portfolio, .30% for Asset Manager: Growth and Investment Grade Bond Portfolios, .25% for Asset Manager Portfolio, and .15% for Balanced Portfolio. Effective June 1, 2005, the Investment Grade Bond Portfolio's management contract was amended, reducing the individual fund fee rate to .20% of average net assets. The group fee rates averaged ..27% for the equity funds and .12% for the fixed-income funds during the period.
For the Money Market Portfolio the management fee is calculated on the basis of a group fee rate plus a total income-based component. The group fee rate averaged .12% during the period. The total income-based component is calculated according to a graduated schedule providing for different rates based on the fund's gross annualized yield. The rate increases as the fund's gross yield increases. During the period the income-based portion of the management fee was $527,467 or an annualized rate of .07% of the fund's average net assets.
For the period each fund's total annualized management fee rate, expressed as a percentage of each fund's average net assets, was as follows:
Asset Manager | .52% | |
Asset Manager: Growth | .57% | |
Balanced | .42% | |
High Income | .58% | |
Investment Grade Bond | .41% | |
Money Market | .20% | |
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Notes to Financial Statements (Unaudited) - continued
4. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the funds have adopted separate 12b-1 Plans for each Service Class of shares. Each Service Class pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a service fee. For the period, the service fee is based on an annual rate of .10% of Service Class and Service Class R's average net assets and .25% of Service Class 2 and Service Class 2R's average net assets.
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:
| Service
Class | Service
Class 2 | Service
Class R | Service
Class 2R |
Asset Manager | $ 15,647 | $ 51,563 | $ - | $ - |
Asset Manager: Growth | 3,073 | 7,072 | - | - |
Balanced | 9,968 | 46,468 | - | - |
High Income | 165,108 | 106,159 | 42 | 100 |
Investment Grade Bond | 29,499 | 261,428 | - | - |
Money Market | 9,494 | 36,348 | - | - |
Transfer Agent Fees. Fidelity Investment Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the funds' transfer, dividend disbursing and shareholder servicing agent. FIIOC receives an asset-based fee with respect to each account. FIIOC pays a portion of the expenses related to the typesetting, printing and mailing of shareholder reports, except proxy statements. Each class pays a transfer agent fee, excluding out of pocket expenses, equal to an annual rate of .07% of their month end net assets. For the period, the total transfer agent fees paid by each class to FIIOC, including out of pocket expenses, were as follows:
Asset Manager |
| |
Initial Class | $ 863,566 | |
Service Class | 11,301 | |
Service Class 2 | 17,195 | |
| $ 892,062 | |
Asset Manager: Growth |
| |
Initial Class | $ 97,302 | |
Service Class | 2,088 | |
Service Class 2 | 3,260 | |
| $ 102,650 | |
Balanced |
| |
Initial Class | $ 95,060 | |
Service Class | 7,431 | |
Service Class 2 | 13,902 | |
| $ 116,393 | |
High Income |
| |
Initial Class | $ 419,798 | |
Service Class | 110,085 | |
Service Class 2 | 31,901 | |
Initial Class R | 25 | |
Service Class R | 24 | |
Service Class 2R | 24 | |
| $ 561,857 | |
Investment Grade Bond |
| |
Initial Class | $ 457,370 | |
Service Class | 20,621 | |
Service Class 2 | 73,545 | |
| $ 551,536 | |
Money Market |
| |
Initial Class | $ 484,660 | |
Service Class | 7,367 | |
Service Class 2 | 10,336 | |
| $ 502,363 | |
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4. Fees and Other Transactions with Affiliates - continued
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains each fund's accounting records. The accounting fee is based on the level of average net assets for the 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.
Central Funds. Certain funds may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), or Fidelity Management & Research Company, Inc. (FMRC), affiliates of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Money Market Central Funds seek preservation of capital and current income. The Ultra-Short Central Fund seeks to obtain a high level of current income consistent with preservation of capital. The High Income Central Investment Portfolio 1 seeks a high level of income and may also seek capital appreciation. The Floating Rate Central Investment Portfolio seeks a high level of income. The Central Funds do not pay a management fee. Income distributions earned by the funds are recorded as income in the accompanying financial statements. Distributions from the Central Funds are noted in the table below:
| Income
Distributions | |
Asset Manager | $ 12,890,125 | |
Asset Manager: Growth | 1,399,510 | |
Balanced | 567,239 | |
High Income | 1,163,403 | |
Investment Grade Bond | 3,563,613 | |
Brokerage Commissions. Certain funds placed a portion of their portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were as follows:
| Amount | |
Asset Manager | $ 6,999 | |
Balanced | 4,861 | |
High Income | 118 | |
Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the funds, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Each applicable fund's activity in this program during the period for which loans were outstanding was as follows:
| Borrower or Lender | Average Daily Loan Balance | Weighted
Average Interest Rate | Interest Earned (included in
interest income) | Interest
Expense |
High Income | Borrower | $ 31,470,800 | 2.72% | $ - | $ 23,748 |
Money Market | Lender | 7,148,409 | 2.73% | 11,936 | - |
5. Committed Line of Credit.
Certain funds participate with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emer-gency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro rata portion of the line of credit. During the period, there were no borrowings on this line of credit.
6. Security Lending.
Certain funds lend portfolio securities from time to time in order to earn additional income. Each applicable 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 funds and any additional required collateral is delivered to the funds on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in either cash equivalents or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on each applicable fund's Statement of Assets and Liabilities.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
7. Expense Reductions.
Many of the brokers with whom FMR places trades on behalf of certain funds provided services to these funds in addition to trade execution. These services included payments of expenses on behalf of each applicable fund. In addition, through arrangements with each applicable fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the fund's expenses. All of the applicable expense reductions are noted in the table below.
| Brokerage Service
Arrangement | Custody
expense
reduction |
Asset Manager | $ 121,934 | $ 2,152 |
Asset Manager: Growth | 18,999 | 53 |
Balanced | 64,383 | 209 |
High Income | - | 3,585 |
Investment Grade Bond | - | 1,354 |
Money Market | - | 558 |
8. Other.
The funds' 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 funds. In the normal course of business, the funds may also enter into contracts that provide general indemnifications. The funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the funds. The risk of material loss from such claims is considered remote.
At the end of the period, FMR or its affiliates and certain otherwise unaffiliated shareholders each were owners of record of more than 10% of the total outstanding shares of the following funds:
| Affiliated % | Number of
Unaffiliated
Shareholders | Unaffiliated
Shareholders % |
Asset Manager | 23% | 1 | 18% |
Asset Manager: Growth | 69% | - | - |
Balanced | 63% | 1 | 21% |
High Income | 21% | 2 | 48% |
Investment Grade Bond | 45% | 1 | 14% |
Money Market | 61% | 1 | 13% |
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
VIP Investment Grade Bond Portfolio
VIP High Income Portfolio
VIP Money Market Portfolio
Each year, typically in June, the Board of Trustees, including the independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for each fund. The Board, assisted by the advice of fund counsel and independent Trustees' counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of each fund's Advisory Contracts, including the services and support provided to each fund and its shareholders by Fidelity. At the time of the renewal, the Board had 11 standing committees, each composed of 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. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such committee, the Fixed-Income Contract Committee, meets periodically during the first six months of each year and as necessary to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its June 2005 meeting, the Board of Trustees, including the independent Trustees, unanimously determined to renew the Advisory Contracts for each fund. In reaching its determination, the Board considered all factors it believed relevant, including (1) the nature, extent, and quality of the services to be provided to each fund and its shareholders by Fidelity (including the investment performance of each fund); (2) the competitiveness of the management fee and total expenses of each fund; (3) the total costs of the services to be provided by and the profits to be realized by the investment adviser and its affiliates from the relationship with each fund; (4) the extent to which economies of scale would be realized as each fund grows; and (5) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.
In determining whether to renew the Advisory Contracts for each fund, the Board ultimately reached a determination, with the assistance of fund counsel and independent Trustees' counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contracts is consistent with Fidelity's fiduciary duty under applicable law. In addition to evaluating the specific factors noted above, the Board, in reaching its determination, is aware that shareholders in each fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that each fund's shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in that fund, managed by Fidelity.
Nature, Extent, and Quality of Services Provided by Fidelity. The Board considered staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the backgrounds of the funds' portfolio managers and the funds' investment objectives and disciplines. The independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.
Fidelity Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity's analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of administrative, distribution, 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 (bond funds only) securities lending services for each fund. The Board also considered the nature and extent of the Investment Advisers' supervision of third party service providers, principally custodians and subcustodians. The Board reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions, if any, to pay fund expenses, and the use of "soft" commission dollars, if any, to pay for research services. The Board also considered that Fidelity voluntarily decided in 2004 to stop using "soft" commission dollars to pay for market data and, instead, to pay for that data out of its own resources. The Board also considered the resources devoted to, and the record of compliance with, each fund's compliance policies and procedures.
The Board noted that the growth of fund assets 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 phone representatives and over the Internet, and investor education materials and asset allocation tools.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees - continued
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 for a large variety of mutual fund investor services. The Board noted that, since the last Advisory Contract renewals in June 2004, Fidelity has taken a number of actions that benefited particular funds, including (i) voluntarily deciding in 2004 to stop using "soft" commission dollars to pay for market data and, instead, to pay for that data out of its own resources, (ii) contractually agreeing to impose management fee reductions and expense limitations on its five Spartan stock index funds and its stock index fund available through variable insurance products, (iii) contractually agreeing to eliminate the management fees on the Fidelity Freedom Funds and the Fidelity Advisor Freedom Funds, (iv) contractually agreeing to reduce the management fees on most of its investment-grade taxable bond funds, and (v) contractually agreeing to impose expense limitations on its retail and Spartan investment-grade taxable bond funds.
Investment Performance. The Board considered whether each fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed each fund's absolute investment performance for each class, as well as each fund's relative investment performance for each class measured against (i) a broad-based securities market index (bond funds only, as money market funds are typically not compared against a market index), and (ii) a peer group of mutual funds deemed appropriate by the Board over multiple periods. For each fund, the following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2004, as applicable, the returns of Service Class 2 and Initial Class of the fund, the returns of a broad-based securities market index ("benchmark") (bond funds only), and a range of returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. The returns of Service Class 2 and Initial Class represent the performance of classes with the highest and lowest 12b-1 fees, respectively (not necessarily with the highest and lowest total expenses). The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the Lipper peer group. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the Lipper peer group whose performance was equal to or lower than that of the class indicated.
The Board noted that the relative investment performance of Initial Class of the fund has compared favorably to its Lipper peer group over time. The Board also noted that the relative investment performance of Initial Class of the fund has compared favorably to its benchmark over time. The Board considered that the variations in performance among the fund's classes reflect the variations in class expenses, which result in lower performance for higher expense classes.
Semiannual Report
The Board noted that the performance of Initial Class of the fund varied considerably relative to its peers over time. The Board also noted that the relative investment performance of the fund was lower than its benchmark for certain periods, although the three-year cumulative total return of Initial Class of the fund compared favorably to its benchmark. The Board considered that the variations in performance among the fund's classes reflect the variations in class expenses, which result in lower performance for higher expense classes.
The Board noted that the relative investment performance of Initial Class of the fund has compared favorably to its Lipper peer group over time. The Board considered that the variations in performance among the fund's classes reflect the variations in class expenses, which result in lower performance for higher expense classes.
Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance, the Board concluded that the nature, extent, and quality of the services provided by Fidelity will benefit each fund's shareholders, particularly in light of the Board's view that each fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered each fund's management fee and total expenses compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable management fee characteristics. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees - continued
The Board considered two proprietary management fee comparisons for the 12-month periods shown in the charts below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than a fund's. For example, a TMG % of 23% would mean that 77% of the funds in the Total Mapped Group had higher management fees than a fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, 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 ("quadrant") in which a fund's management fee ranked, is also included in the charts and considered by the Board. The Board also recognized that the income-based component of VIP Money Market Portfolio's management fee varies depending on the level of the fund's monthly gross income, providing for higher fees at higher income levels, and for lower fees at lower income levels.
The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2004.
Furthermore, the Board considered that, on May 19, 2005, after the periods shown in the chart above, it had approved an amendment (effective June 1, 2005) to the fund's management contract that lowered the fund's individual fund fee rate from 30 basis points to 20 basis points. The Board considered that, if the lower individual fund fee rate had been in effect in 2004, it would have reduced the fund's management fee rate from 43 basis points to 33 basis points.
Semiannual Report
The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2004.
The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2004.
Based on its review, the Board concluded that each fund's management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.
In its review of the total expenses of each class of each fund, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered current and historical total expenses of each class of each fund compared to competitive fund median expenses. Each class of each fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
The Board noted that each fund offers multiple classes, each of which has a different 12b-1 fee structure, and that the multiple structures are intended to offer a range of pricing options for the intermediary market. The Board also noted that the total expenses of the classes of each fund vary primarily by the level of their 12b-1 fees.
The Board noted that the total expenses of each of Initial Class and Service Class of VIP Investment Grade Bond Portfolio ranked below its competitive median for 2004, and the total expenses of Service Class 2 ranked above its competitive median for 2004. The Board considered that if the lower individual fund fee rate had been in effect in 2004, it would have reduced each class's total expenses by 10 basis points and the total expenses of Service Class 2 would have ranked below the median.
The Board noted that the total expenses of each of Initial Class, Initial Class R, Service Class, and Service Class R of VIP High Income Portfolio ranked below its competitive median for 2004, and the total expenses of each of Service Class 2 and Service Class 2 R ranked above its competitive median for 2004.
The Board noted that the total expenses of each class of VIP Money Market Portfolio ranked below its competitive median for 2004.
In its review of total expenses, the Board also considered Fidelity fee structures and other information on clients that FMR and its affiliates service in other competitive markets, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients.
Based on its review, the Board concluded that the total expenses for each class of each fund were reasonable, although in some cases above the median of the universe presented for comparison, in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and its shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
On an annual basis, FMR presents to the Board Fidelity's profitability for each fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees - continued
PricewaterhouseCoopers LLP (PwC), independent registered accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of the results of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity's non-fund businesses and any fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the funds' business. In addition, a special committee of the Board reviewed services provided to Fidelity by its affiliates and determined that the fees that Fidelity paid for such services were reasonable.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of each fund and determined that the amount of profit is a fair entrepreneurial profit for the management of each fund.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including each fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which each fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions. The Board also noted that the reduction in VIP Investment Grade Bond Portfolio's management fee rate from 43 basis points to 33 basis points and the reduction in each class's total expenses by 10 basis points would deliver significant economies to that fund's shareholders.
The Board recognized that each fund's management contract incorporates a "group fee" structure, which provides for lower fee rates as total fund assets under FMR's management increase, and for higher fee rates as total fund assets under FMR's management decrease. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will achieve a certain level of economies of scale as assets under FMR's management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
The Board further concluded that any potential economies of scale are being shared between fund shareholders and Fidelity in an appropriate manner.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board requested additional information regarding (i) Fidelity's fund profitability methodology, including additional detail on various cost allocations; (ii) fall-out benefits to Fidelity; and (iii) compensation of portfolio managers and research analysts.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the existing advisory fee structures are fair and reasonable, and that each fund's existing Advisory Contracts should be renewed.
Semiannual Report
The following is a complete listing of investments for Fidelity's
fixed-income central funds as of June 30, 2005, which are direct
or indirect investments of certain funds in this report.
Semiannual Report
Fidelity High Income Central Investment Portfolio 1
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 86.6% |
| Principal
Amount | | Value |
Aerospace - 1.5% |
L-3 Communications Corp.: | | | | |
5.875% 1/15/15 | | $ 1,585,000 | | $ 1,541,413 |
7.625% 6/15/12 | | 3,045,000 | | 3,242,925 |
Orbimage Holdings, Inc. 13.19% 7/1/12 (c)(d) | | 1,630,000 | | 1,707,425 |
Orbital Sciences Corp. 9% 7/15/11 | | 4,470,000 | | 4,872,300 |
Primus International, Inc. 10.5% 4/15/09 (c) | | 3,735,000 | | 3,921,750 |
| | 15,285,813 |
Air Transportation - 0.7% |
American Airlines, Inc. pass thru trust certificates: | | | | |
6.817% 5/23/11 | | 855,000 | | 810,113 |
7.324% 4/15/11 | | 935,000 | | 822,800 |
7.377% 5/23/19 | | 2,566,452 | | 1,796,517 |
7.379% 5/23/16 | | 1,553,711 | | 1,087,598 |
7.8% 4/1/08 | | 3,140,000 | | 2,975,150 |
AMR Corp. 10.2% 3/15/20 | | 10,000 | | 7,200 |
Northwest Airlines, Inc. pass thru trust certificates 8.07% 1/2/15 | | 543,430 | | 255,412 |
| | 7,754,790 |
Automotive - 1.7% |
Accuride Corp. 8.5% 2/1/15 | | 3,790,000 | | 3,685,775 |
Delco Remy International, Inc. 9.375% 4/15/12 | | 3,585,000 | | 2,921,775 |
Ford Motor Credit Co. 6.625% 6/16/08 | | 3,960,000 | | 3,910,500 |
Navistar International Corp.: | | | | |
6.25% 3/1/12 (c) | | 2,460,000 | | 2,367,750 |
7.5% 6/15/11 | | 1,225,000 | | 1,249,500 |
9.375% 6/1/06 | | 1,295,000 | | 1,340,325 |
Tenneco Automotive, Inc. 8.625% 11/15/14 | | 2,405,000 | | 2,417,025 |
| | 17,892,650 |
Banks and Thrifts - 0.8% |
Western Financial Bank 9.625% 5/15/12 | | 8,060,000 | | 8,745,100 |
Broadcasting - 0.5% |
Emmis Communications Corp. 9.3144% 6/15/12 (c)(d) | | 1,890,000 | | 1,918,350 |
Gray Television, Inc. 9.25% 12/15/11 | | 3,505,000 | | 3,802,925 |
| | 5,721,275 |
Building Materials - 2.1% |
Anixter International, Inc. 5.95% 3/1/15 | | 2,260,000 | | 2,214,800 |
Goodman Global Holdings, Inc.: | | | | |
6.41% 6/15/12 (c)(d) | | 2,920,000 | | 2,847,000 |
7.875% 12/15/12 (c) | | 2,370,000 | | 2,192,250 |
Maax Holdings, Inc. 0% 12/15/12 (b)(c) | | 5,865,000 | | 2,639,250 |
Nortek, Inc. 8.5% 9/1/14 | | 4,950,000 | | 4,554,000 |
NTK Holdings, Inc. 0% 3/1/14 (b)(c) | | 3,720,000 | | 1,785,600 |
|
| Principal
Amount | | Value |
Texas Industries, Inc.: | | | | |
7.25% 7/15/13 (c) | | $ 590,000 | | $ 604,750 |
10.25% 6/15/11 | | 4,650,000 | | 5,376,563 |
| | 22,214,213 |
Cable TV - 3.9% |
Cablevision Systems Corp. 7.88% 4/1/09 (d) | | 4,810,000 | | 4,822,025 |
CSC Holdings, Inc. 8.125% 7/15/09 | | 1,070,000 | | 1,083,375 |
DirecTV Holdings LLC/DirecTV Financing, Inc. 8.375% 3/15/13 | | 1,493,000 | | 1,653,498 |
EchoStar DBS Corp. 5.75% 10/1/08 | | 16,585,000 | | 16,502,075 |
GCI, Inc. 7.25% 2/15/14 | | 5,225,000 | | 5,016,000 |
Insight Communications, Inc. 0% 2/15/11 (b) | | 885,000 | | 887,213 |
Insight Midwest LP/Insight Capital, Inc. 10.5% 11/1/10 | | 3,175,000 | | 3,369,628 |
Kabel Deutschland GmbH 10.625% 7/1/14 (c) | | 1,330,000 | | 1,446,375 |
Mediacom LLC/Mediacom Capital Corp. 7.875% 2/15/11 | | 1,945,000 | | 1,891,513 |
Telenet Group Holding NV 0% 6/15/14 (b)(c) | | 5,550,000 | | 4,329,000 |
| | 41,000,702 |
Capital Goods - 3.2% |
Amsted Industries, Inc. 10.25% 10/15/11 (c) | | 4,415,000 | | 4,768,200 |
Case New Holland, Inc. 6% 6/1/09 | | 2,030,000 | | 1,948,800 |
Dresser, Inc. 9.375% 4/15/11 | | 4,465,000 | | 4,699,413 |
Invensys PLC 9.875% 3/15/11 (c) | | 11,555,000 | | 11,208,350 |
Leucadia National Corp. 7% 8/15/13 | | 3,530,000 | | 3,530,000 |
Park-Ohio Industries, Inc. 8.375% 11/15/14 (c) | | 2,735,000 | | 2,365,775 |
Sensus Metering Systems, Inc. 8.625% 12/15/13 | | 3,120,000 | | 2,901,600 |
Terex Corp.: | | | | |
9.25% 7/15/11 | | 1,630,000 | | 1,764,475 |
10.375% 4/1/11 | | 500,000 | | 543,750 |
| | 33,730,363 |
Chemicals - 3.8% |
BCI US Finance Corp./Borden 2 Nova Scotia Finance ULC 9.0988% 7/15/10 (c)(d) | | 630,000 | | 630,000 |
Borden US Finance Corp./Nova Scotia Finance ULC 7.8906% 7/15/10 (c)(d) | | 3,525,000 | | 3,454,500 |
Crompton Corp. 9.875% 8/1/12 | | 875,000 | | 1,006,250 |
Crystal US Holding 3 LLC/Crystal US Sub 3 Corp.: | | | | |
Series A, 0% 10/1/14 (b) | | 1,970,000 | | 1,398,700 |
Series B, 0% 10/1/14 (b) | | 1,355,000 | | 948,500 |
Equistar Chemicals LP 7.55% 2/15/26 | | 1,800,000 | | 1,665,000 |
Equistar Chemicals LP/Equistar Funding Corp.: | | | | |
8.75% 2/15/09 | | 2,285,000 | | 2,399,250 |
10.125% 9/1/08 | | 2,515,000 | | 2,731,919 |
Nonconvertible Bonds - continued |
| Principal
Amount | | Value |
Chemicals - continued |
Huntsman LLC: | | | | |
10.6406% 7/15/11 (d) | | $ 5,660,000 | | $ 6,013,750 |
11.5% 7/15/12 | | 220,000 | | 257,400 |
11.625% 10/15/10 | | 195,000 | | 228,150 |
IMC Global, Inc. 10.875% 6/1/08 | | 1,620,000 | | 1,826,550 |
Methanex Corp. yankee 7.75% 8/15/05 | | 1,955,000 | | 1,964,775 |
Millennium America, Inc. 9.25% 6/15/08 | | 7,370,000 | | 8,005,663 |
Nalco Co. 7.75% 11/15/11 | | 3,760,000 | | 3,980,900 |
NOVA Chemicals Corp. 7.4% 4/1/09 | | 2,370,000 | | 2,441,100 |
Rhodia SA 10.25% 6/1/10 | | 725,000 | | 777,563 |
| | 39,729,970 |
Consumer Products - 1.1% |
Church & Dwight Co., Inc. 6% 12/15/12 | | 3,910,000 | | 3,949,100 |
Jostens Holding Corp. 0% 12/1/13 (b) | | 3,135,000 | | 2,202,338 |
Jostens IH Corp. 7.625% 10/1/12 | | 530,000 | | 522,050 |
Revlon Consumer Products Corp. 9.5% 4/1/11 | | 3,150,000 | | 2,992,500 |
Samsonite Corp. 8.875% 6/1/11 | | 1,675,000 | | 1,783,875 |
| | 11,449,863 |
Containers - 2.7% |
Berry Plastics Corp. 10.75% 7/15/12 | | 3,810,000 | | 4,152,900 |
BWAY Corp. 10% 10/15/10 | | 3,370,000 | | 3,504,800 |
Crown European Holdings SA: | | | | |
9.5% 3/1/11 | | 1,285,000 | | 1,419,925 |
10.875% 3/1/13 | | 6,380,000 | | 7,512,450 |
Owens-Brockway Glass Container, Inc.: | | | | |
8.25% 5/15/13 | | 2,090,000 | | 2,246,750 |
8.75% 11/15/12 | | 1,415,000 | | 1,560,038 |
Owens-Illinois, Inc.: | | | | |
7.35% 5/15/08 | | 4,100,000 | | 4,264,000 |
7.5% 5/15/10 | | 3,400,000 | | 3,578,500 |
| | 28,239,363 |
Diversified Financial Services - 0.4% |
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | | 1,055,000 | | 1,147,313 |
Residential Capital Corp. 6.375% 6/30/10 (c) | | 1,565,000 | | 1,572,653 |
Triad Acquisition Corp. 11.125% 5/1/13 (c) | | 1,970,000 | | 1,999,550 |
| | 4,719,516 |
Diversified Media - 0.9% |
Corus Entertainment, Inc. 8.75% 3/1/12 | | 3,270,000 | | 3,515,250 |
LBI Media Holdings, Inc. 0% 10/15/13 (b) | | 1,330,000 | | 997,500 |
LBI Media, Inc. 10.125% 7/15/12 | | 2,310,000 | | 2,546,775 |
Liberty Media Corp. 8.25% 2/1/30 | | 1,980,000 | | 1,969,696 |
| | 9,029,221 |
|
| Principal
Amount | | Value |
Electric Utilities - 5.6% |
AES Corp.: | | | | |
8.75% 6/15/08 | | $ 1,235,000 | | $ 1,324,538 |
8.875% 2/15/11 | | 2,334,000 | | 2,596,575 |
9.375% 9/15/10 | | 1,509,000 | | 1,703,284 |
9.5% 6/1/09 | | 7,037,000 | | 7,819,866 |
AES Gener SA 7.5% 3/25/14 | | 3,415,000 | | 3,474,763 |
Allegheny Energy Supply Co. LLC 8.25% 4/15/12 (c) | | 540,000 | | 602,100 |
CMS Energy Corp.: | | | | |
6.3% 2/1/12 | | 3,850,000 | | 3,869,250 |
7.5% 1/15/09 | | 2,140,000 | | 2,241,650 |
8.9% 7/15/08 | | 4,140,000 | | 4,491,900 |
9.875% 10/15/07 | | 4,495,000 | | 4,899,550 |
MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. 7.375% 9/1/10 | | 4,090,000 | | 4,192,250 |
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc. 8.5% 9/1/10 | | 840,000 | | 888,300 |
Nevada Power Co. 10.875% 10/15/09 | | 740,000 | | 824,175 |
NRG Energy, Inc. 8% 12/15/13 (c) | | 5,462,000 | | 5,735,100 |
Sierra Pacific Power Co. 6.25% 4/15/12 | | 1,235,000 | | 1,268,963 |
Sierra Pacific Resources 8.625% 3/15/14 | | 1,535,000 | | 1,696,175 |
TECO Energy, Inc.: | | | | |
0% 5/1/10 (c)(d) | | 2,490,000 | | 2,527,350 |
7.2% 5/1/11 | | 2,485,000 | | 2,690,013 |
Tenaska Alabama Partners LP 7% 6/30/21 (c) | | 2,130,000 | | 2,172,600 |
Utilicorp Canada Finance Corp. 7.75% 6/15/11 | | 3,825,000 | | 3,939,750 |
| | 58,958,152 |
Energy - 7.2% |
Chesapeake Energy Corp.: | | | | |
7.5% 6/15/14 | | 520,000 | | 561,600 |
7.75% 1/15/15 | | 2,205,000 | | 2,375,888 |
El Paso Corp. 7.625% 8/16/07 (c) | | 1,200,000 | | 1,230,000 |
El Paso Energy Corp. 6.95% 12/15/07 | | 1,630,000 | | 1,640,188 |
El Paso Production Holding Co. 7.75% 6/1/13 | | 75,000 | | 80,250 |
Hanover Compressor Co.: | | | | |
0% 3/31/07 | | 7,660,000 | | 6,702,500 |
8.625% 12/15/10 | | 2,990,000 | | 3,139,500 |
Hanover Equipment Trust 8.75% 9/1/11 | | 535,000 | | 565,763 |
Hilcorp Energy I LP/Hilcorp Finance Co. 10.5% 9/1/10 (c) | | 5,205,000 | | 5,803,575 |
Markwest Energy Partners LP/ Markwest Energy Finance Corp. 6.875% 11/1/14 (c) | | 1,238,000 | | 1,231,810 |
Newfield Exploration Co. 6.625% 9/1/14 | | 3,670,000 | | 3,835,150 |
Ocean Rig Norway AS 8.375% 7/1/13 (c) | | 970,000 | | 984,550 |
Parker Drilling Co.: | | | | |
8.08% 9/1/10 (d) | | 5,195,000 | | 5,402,800 |
Nonconvertible Bonds - continued |
| Principal
Amount | | Value |
Energy - continued |
Parker Drilling Co.: - continued | | | | |
9.625% 10/1/13 | | $ 1,225,000 | | $ 1,381,188 |
9.625% 10/1/13 (c) | | 1,635,000 | | 1,843,463 |
Pride International, Inc. 7.375% 7/15/14 | | 795,000 | | 872,513 |
Range Resources Corp.: | | | | |
(Reg. S) 6.375% 3/15/15 | | 2,800,000 | | 2,786,000 |
7.375% 7/15/13 | | 5,235,000 | | 5,522,925 |
Sonat, Inc.: | | | | |
6.625% 2/1/08 | | 3,330,000 | | 3,334,163 |
7.625% 7/15/11 | | 3,820,000 | | 3,848,650 |
Stone Energy Corp. 6.75% 12/15/14 | | 3,365,000 | | 3,272,463 |
The Coastal Corp.: | | | | |
6.375% 2/1/09 | | 4,910,000 | | 4,824,075 |
6.5% 5/15/06 | | 980,000 | | 987,350 |
6.5% 6/1/08 | | 1,720,000 | | 1,702,800 |
6.7% 2/15/27 | | 1,835,000 | | 1,848,763 |
7.5% 8/15/06 | | 1,610,000 | | 1,646,225 |
7.625% 9/1/08 | | 1,025,000 | | 1,045,500 |
7.75% 6/15/10 | | 5,960,000 | | 6,086,650 |
Williams Co., Inc. Credit Linked Certificate Trust III 6.75% 4/15/09 (c) | | 995,000 | | 1,031,069 |
| | 75,587,371 |
Environmental - 0.7% |
Allied Waste North America, Inc. 5.75% 2/15/11 | | 1,680,000 | | 1,566,600 |
Browning-Ferris Industries, Inc. 6.375% 1/15/08 | | 5,755,000 | | 5,697,450 |
| | 7,264,050 |
Food and Drug Retail - 1.0% |
Rite Aid Corp.: | | | | |
6.875% 8/15/13 | | 415,000 | | 356,900 |
8.125% 5/1/10 | | 950,000 | | 976,125 |
9.5% 2/15/11 | | 1,360,000 | | 1,450,100 |
Stater Brothers Holdings, Inc.: | | | | |
6.91% 6/15/10 (d) | | 4,030,000 | | 3,989,700 |
8.125% 6/15/12 | | 3,440,000 | | 3,336,800 |
| | 10,109,625 |
Food/Beverage/Tobacco - 1.7% |
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | | 2,150,000 | | 2,053,250 |
RJ Reynolds Tobacco Holdings, Inc.: | | | | |
6.5% 7/15/10 (c) | | 2,970,000 | | 2,955,150 |
7.3% 7/15/15 (c) | | 980,000 | | 977,550 |
Smithfield Foods, Inc.: | | | | |
7% 8/1/11 | | 5,070,000 | | 5,323,500 |
7.625% 2/15/08 | | 1,605,000 | | 1,673,213 |
7.75% 5/15/13 | | 75,000 | | 81,375 |
8% 10/15/09 | | 605,000 | | 653,400 |
|
| Principal
Amount | | Value |
UAP Holding Corp. 0% 7/15/12 (b) | | $ 2,700,000 | | $ 2,214,000 |
United Agriculture Products, Inc. 8.25% 12/15/11 | | 2,266,000 | | 2,350,975 |
| | 18,282,413 |
Gaming - 4.9% |
Mandalay Resort Group: | | | | |
6.5% 7/31/09 | | 1,450,000 | | 1,480,885 |
9.375% 2/15/10 | | 1,095,000 | | 1,218,188 |
10.25% 8/1/07 | | 2,485,000 | | 2,730,518 |
MGM MIRAGE: | | | | |
6% 10/1/09 | | 9,315,000 | | 9,396,972 |
6.75% 9/1/12 | | 245,000 | | 252,350 |
Mohegan Tribal Gaming Authority: | | | | |
6.125% 2/15/13 (c) | | 1,390,000 | | 1,403,900 |
6.375% 7/15/09 | | 7,835,000 | | 7,972,113 |
7.125% 8/15/14 | | 1,480,000 | | 1,531,800 |
8% 4/1/12 | | 785,000 | | 840,971 |
MTR Gaming Group, Inc. 9.75% 4/1/10 | | 2,600,000 | | 2,827,500 |
Pinnacle Entertainment, Inc. 8.25% 3/15/12 | | 1,355,000 | | 1,405,813 |
Scientific Games Corp. 6.25% 12/15/12 (c) | | 2,660,000 | | 2,673,300 |
Seneca Gaming Corp.: | | | | |
(Reg'd.) 7.25% 5/1/12 (c) | | 3,210,000 | | 3,318,338 |
7.25% 5/1/12 | | 3,945,000 | | 4,078,144 |
Station Casinos, Inc. 6% 4/1/12 | | 570,000 | | 578,550 |
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | | | | |
0% 1/15/13 (b)(c) | | 1,250,000 | | 875,000 |
9% 1/15/12 (c) | | 2,920,000 | | 3,044,100 |
Wheeling Island Gaming, Inc. 10.125% 12/15/09 | | 5,835,000 | | 6,185,100 |
| | 51,813,542 |
Healthcare - 5.5% |
AmerisourceBergen Corp. 7.25% 11/15/12 | | 3,000,000 | | 3,300,000 |
AMR HoldCo, Inc./ EmCare HoldCo, Inc. 10% 2/15/15 (c) | | 1,870,000 | | 1,991,550 |
CDRV Investors, Inc. 0% 1/1/15 (b)(c) | | 9,585,000 | | 4,744,575 |
Concentra Operating Corp.: | | | | |
9.125% 6/1/12 | | 2,775,000 | | 2,941,500 |
9.5% 8/15/10 | | 2,110,000 | | 2,247,150 |
DaVita, Inc. 6.625% 3/15/13 (c) | | 3,390,000 | | 3,500,175 |
HCA, Inc. 5.5% 12/1/09 | | 7,480,000 | | 7,490,023 |
HealthSouth Corp.: | | | | |
7.375% 10/1/06 | | 3,295,000 | | 3,336,188 |
7.625% 6/1/12 | | 1,285,000 | | 1,246,450 |
8.5% 2/1/08 | | 925,000 | | 934,250 |
Omega Healthcare Investors, Inc. 7% 4/1/14 | | 5,720,000 | | 5,762,900 |
PerkinElmer, Inc. 8.875% 1/15/13 | | 7,470,000 | | 8,263,688 |
Psychiatric Solutions, Inc. 7.75% 7/15/15 (c) | | 2,760,000 | | 2,760,000 |
Senior Housing Properties Trust 8.625% 1/15/12 | | 4,490,000 | | 5,017,575 |
Nonconvertible Bonds - continued |
| Principal
Amount | | Value |
Healthcare - continued |
Service Corp. International (SCI): | | | | |
7.7% 4/15/09 | | $ 1,525,000 | | $ 1,624,125 |
7.7% 4/15/09 | | 530,000 | | 567,100 |
Ventas Realty LP/Ventas Capital Corp. 6.75% 6/1/10 (c) | | 1,640,000 | | 1,701,500 |
| | 57,428,749 |
Homebuilding/Real Estate - 3.0% |
American Real Estate Partners/American Real Estate Finance Corp.: | | | | |
7.125% 2/15/13 (c) | | 2,175,000 | | 2,142,375 |
8.125% 6/1/12 | | 5,170,000 | | 5,338,025 |
K. Hovnanian Enterprises, Inc.: | | | | |
6% 1/15/10 | | 790,000 | | 774,200 |
8.875% 4/1/12 | | 2,155,000 | | 2,327,400 |
KB Home 7.75% 2/1/10 | | 6,620,000 | | 6,917,900 |
Standard Pacific Corp.: | | | | |
5.125% 4/1/09 | | 2,640,000 | | 2,534,400 |
6.5% 10/1/08 | | 780,000 | | 780,000 |
6.875% 5/15/11 | | 990,000 | | 999,900 |
Technical Olympic USA, Inc.: | | | | |
7.5% 3/15/11 | | 765,000 | | 696,150 |
7.5% 1/15/15 | | 2,145,000 | | 1,898,325 |
9% 7/1/10 | | 125,000 | | 126,875 |
10.375% 7/1/12 | | 100,000 | | 102,000 |
WCI Communities, Inc.: | | | | |
6.625% 3/15/15 | | 1,910,000 | | 1,738,100 |
7.875% 10/1/13 | | 4,665,000 | | 4,665,000 |
| | 31,040,650 |
Hotels - 0.5% |
Grupo Posadas SA de CV 8.75% 10/4/11 (c) | | 3,630,000 | | 3,875,025 |
Host Marriott LP 7.125% 11/1/13 | | 1,465,000 | | 1,527,263 |
| | 5,402,288 |
Insurance - 0.4% |
Crum & Forster Holdings Corp. 10.375% 6/15/13 | | 3,495,000 | | 3,792,075 |
Leisure - 1.5% |
Equinox Holdings Ltd. 9% 12/15/09 | | 1,140,000 | | 1,185,600 |
Six Flags, Inc.: | | | | |
9.625% 6/1/14 | | 1,980,000 | | 1,843,875 |
9.75% 4/15/13 | | 995,000 | | 936,544 |
Speedway Motorsports, Inc. 6.75% 6/1/13 | | 1,860,000 | | 1,915,800 |
Town Sports International Holdings, Inc. 0% 2/1/14 (b) | | 2,690,000 | | 1,546,750 |
Town Sports International, Inc. 9.625% 4/15/11 | | 1,370,000 | | 1,417,950 |
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | | 2,260,000 | | 2,593,350 |
Universal City Florida Holding Co. I/II 7.96% 5/1/10 (d) | | 4,260,000 | | 4,419,750 |
| | 15,859,619 |
|
| Principal
Amount | | Value |
Metals/Mining - 1.9% |
Century Aluminum Co. 7.5% 8/15/14 | | $ 625,000 | | $ 625,000 |
Compass Minerals International, Inc.: | | | | |
0% 12/15/12 (b) | | 1,060,000 | | 927,500 |
0% 6/1/13 (b) | | 9,175,000 | | 7,661,125 |
Freeport-McMoRan Copper & Gold, Inc.: | | | | |
6.875% 2/1/14 | | 2,210,000 | | 2,165,800 |
10.125% 2/1/10 | | 400,000 | | 446,000 |
Massey Energy Co. 6.625% 11/15/10 | | 1,425,000 | | 1,446,375 |
Peabody Energy Corp. 6.875% 3/15/13 | | 2,035,000 | | 2,157,100 |
Vedanta Resources PLC 6.625% 2/22/10 (c) | | 4,225,000 | | 4,172,188 |
| | 19,601,088 |
Paper - 1.1% |
Georgia-Pacific Corp.: | | | | |
7.375% 7/15/08 | | 2,045,000 | | 2,181,402 |
8% 1/15/14 | | 3,610,000 | | 3,975,513 |
8.125% 5/15/11 | | 750,000 | | 845,625 |
8.875% 2/1/10 | | 2,050,000 | | 2,316,500 |
Norske Skog Canada Ltd. 8.625% 6/15/11 | | 2,290,000 | | 2,358,700 |
| | 11,677,740 |
Publishing/Printing - 1.8% |
Dex Media East LLC/Dex Media East Finance Co. 9.875% 11/15/09 | | 1,050,000 | | 1,155,000 |
Houghton Mifflin Co.: | | | | |
7.2% 3/15/11 | | 365,000 | | 379,600 |
9.875% 2/1/13 | | 4,835,000 | | 5,113,013 |
NBC Acquisition Corp. 0% 3/15/13 (b) | | 6,590,000 | | 4,711,850 |
The Reader's Digest Association, Inc. 6.5% 3/1/11 | | 7,210,000 | | 7,282,100 |
| | 18,641,563 |
Railroad - 0.6% |
Kansas City Southern Railway Co.: | | | | |
7.5% 6/15/09 | | 4,325,000 | | 4,433,125 |
9.5% 10/1/08 | | 220,000 | | 239,800 |
TFM SA de CV yankee 10.25% 6/15/07 | | 1,310,000 | | 1,395,150 |
| | 6,068,075 |
Restaurants - 1.0% |
Carrols Corp. 9% 1/15/13 (c) | | 2,350,000 | | 2,379,375 |
Domino's, Inc. 8.25% 7/1/11 | | 985,000 | | 1,053,950 |
Friendly Ice Cream Corp. 8.375% 6/15/12 | | 3,790,000 | | 3,638,400 |
Landry's Seafood Restaurants, Inc. 7.5% 12/15/14 | | 3,450,000 | | 3,346,500 |
| | 10,418,225 |
Services - 1.1% |
Iron Mountain, Inc.: | | | | |
7.75% 1/15/15 | | 400,000 | | 404,000 |
8.25% 7/1/11 | | 1,750,000 | | 1,785,000 |
8.625% 4/1/13 | | 4,815,000 | | 4,983,525 |
Nonconvertible Bonds - continued |
| Principal
Amount | | Value |
Services - continued |
Neff Rent LLC/Neff Finance Corp. 11.25% 6/15/12 (c) | | $ 1,990,000 | | $ 2,029,800 |
Rural/Metro Corp.: | | | | |
0% 3/15/16 (b)(c) | | 3,420,000 | | 1,624,500 |
9.875% 3/15/15 (c) | | 630,000 | | 609,525 |
| | 11,436,350 |
Shipping - 4.6% |
General Maritime Corp. 10% 3/15/13 | | 9,940,000 | | 10,784,900 |
OMI Corp. 7.625% 12/1/13 | | 7,645,000 | | 7,606,775 |
Ship Finance International Ltd. 8.5% 12/15/13 | | 17,800,000 | | 17,087,973 |
Teekay Shipping Corp. 8.875% 7/15/11 | | 10,780,000 | | 12,289,200 |
| | 47,768,848 |
Steels - 1.4% |
Allegheny Technologies, Inc. 8.375% 12/15/11 | | 3,475,000 | | 3,579,250 |
CSN Islands VII Corp. 10.75% 9/12/08 (c) | | 3,090,000 | | 3,453,075 |
Gerdau AmeriSteel Corp./GUSAP Partners 10.375% 7/15/11 | | 4,980,000 | | 5,390,850 |
Ryerson Tull, Inc. 8.25% 12/15/11 | | 2,585,000 | | 2,248,950 |
| | 14,672,125 |
Super Retail - 2.2% |
Asbury Automotive Group, Inc. 9% 6/15/12 | | 4,470,000 | | 4,559,400 |
Buhrmann US, Inc. 7.875% 3/1/15 (c) | | 1,520,000 | | 1,478,200 |
JCPenney Co., Inc.: | | | | |
7.375% 8/15/08 | | 1,780,000 | | 1,909,050 |
7.6% 4/1/07 | | 990,000 | | 1,041,975 |
Nebraska Book Co., Inc. 8.625% 3/15/12 | | 4,490,000 | | 4,186,925 |
Saks, Inc.: | | | | |
7% 12/1/13 | | 590,000 | | 584,100 |
9.875% 10/1/11 | | 3,285,000 | | 3,588,863 |
Sonic Automotive, Inc. 8.625% 8/15/13 | | 5,550,000 | | 5,605,500 |
| | 22,954,013 |
Technology - 5.7% |
Advanced Micro Devices, Inc. 7.75% 11/1/12 | | 2,715,000 | | 2,660,700 |
Amkor Technology, Inc.: | | | | |
7.125% 3/15/11 | | 990,000 | | 856,350 |
7.75% 5/15/13 | | 985,000 | | 849,563 |
9.25% 2/15/08 | | 980,000 | | 943,250 |
Celestica, Inc.: | | | | |
7.625% 7/1/13 | | 2,110,000 | | 2,123,188 |
7.875% 7/1/11 | | 6,675,000 | | 6,841,875 |
Freescale Semiconductor, Inc. 6.875% 7/15/11 | | 5,350,000 | | 5,657,625 |
Lucent Technologies, Inc. 5.5% 11/15/08 | | 4,320,000 | | 4,255,200 |
|
| Principal
Amount | | Value |
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. 6.66% 12/15/11 (c)(d) | | $ 2,345,000 | | $ 2,321,550 |
Micron Technology, Inc. 6.5% 9/30/05 (e) | | 6,190,471 | | 6,159,518 |
New ASAT Finance Ltd. 9.25% 2/1/11 | | 1,590,000 | | 1,311,750 |
Nortel Networks Corp. 6.125% 2/15/06 | | 3,180,000 | | 3,195,900 |
Sanmina-SCI Corp.: | | | | |
6.75% 3/1/13 (c) | | 2,910,000 | | 2,779,050 |
10.375% 1/15/10 | | 1,950,000 | | 2,164,500 |
Xerox Capital Trust I 8% 2/1/27 | | 5,775,000 | | 5,962,688 |
Xerox Corp.: | | | | |
6.875% 8/15/11 | | 4,610,000 | | 4,886,600 |
7.125% 6/15/10 | | 5,235,000 | | 5,568,731 |
9.75% 1/15/09 | | 1,535,000 | | 1,742,225 |
| | 60,280,263 |
Telecommunications - 9.2% |
American Tower Corp. 7.125% 10/15/12 | | 1,965,000 | | 2,073,075 |
American Towers, Inc. 7.25% 12/1/11 | | 785,000 | | 826,213 |
Centennial Cellular Operating Co./Centennial Communications Corp. 10.125% 6/15/13 | | 845,000 | | 954,850 |
Empresa Brasileira de Telecomm SA 11% 12/15/08 | | 2,091,000 | | 2,383,740 |
Intelsat Ltd.: | | | | |
5.25% 11/1/08 | | 2,415,000 | | 2,258,025 |
6.5% 11/1/13 | | 5,005,000 | | 4,054,050 |
7.625% 4/15/12 | | 2,185,000 | | 1,911,875 |
7.805% 1/15/12 (c)(d) | | 6,345,000 | | 6,487,763 |
MCI, Inc. 8.735% 5/1/14 (d) | | 4,155,000 | | 4,658,794 |
Millicom International Cellular SA 10% 12/1/13 | | 4,285,000 | | 4,263,575 |
Mobile Telesystems Finance SA 8% 1/28/12 (c) | | 1,880,000 | | 1,903,500 |
New Skies Satellites BV 8.5388% 11/1/11 (c)(d) | | 4,145,000 | | 4,238,263 |
Nextel Communications, Inc.: | | | | |
5.95% 3/15/14 | | 2,880,000 | | 2,995,200 |
6.875% 10/31/13 | | 7,380,000 | | 7,859,700 |
PanAmSat Corp. 9% 8/15/14 | | 2,080,000 | | 2,262,000 |
Qwest Capital Funding, Inc.: | | | | |
7% 8/3/09 | | 5,440,000 | | 5,263,200 |
7.9% 8/15/10 | | 4,495,000 | | 4,444,431 |
Qwest Corp.: | | | | |
6.6706% 6/15/13 (c)(d) | | 6,760,000 | | 6,920,550 |
7.875% 9/1/11 | | 1,405,000 | | 1,457,688 |
8.875% 3/15/12 | | 80,000 | | 87,000 |
Qwest Services Corp.: | | | | |
13.5% 12/15/10 | | 1,570,000 | | 1,805,500 |
14% 12/15/14 | | 3,315,000 | | 3,978,000 |
Rogers Communications, Inc.: | | | | |
7.25% 12/15/12 | | 3,670,000 | | 3,954,425 |
8% 12/15/12 | | 4,020,000 | | 4,311,450 |
9.625% 5/1/11 | | 3,350,000 | | 3,936,250 |
Nonconvertible Bonds - continued |
| Principal
Amount | | Value |
Telecommunications - continued |
SBA Communications Corp. 8.5% 12/1/12 | | $ 4,420,000 | | $ 4,773,600 |
U.S. West Capital Funding, Inc. 6.375% 7/15/08 | | 5,547,000 | | 5,352,855 |
U.S. West Communications 7.5% 6/15/23 | | 1,440,000 | | 1,321,200 |
| | 96,736,772 |
Textiles & Apparel - 0.7% |
Levi Strauss & Co.: | | | | |
7.73% 4/1/12 (d) | | 2,225,000 | | 2,102,625 |
9.75% 1/15/15 | | 1,490,000 | | 1,471,375 |
12.25% 12/15/12 | | 1,065,000 | | 1,160,850 |
Tommy Hilfiger USA, Inc. 6.85% 6/1/08 | | 2,130,000 | | 2,145,975 |
| | 6,880,825 |
TOTAL NONCONVERTIBLE BONDS (Cost $890,340,237) | 908,187,260 |
Commercial Mortgage Securities - 0.1% |
|
Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 2.8411% 8/1/24 (c)(d)
(Cost $981,783) | | 1,264,590 | | 1,081,225 |
Common Stocks - 1.8% |
| | Shares | | |
Aerospace - 0.1% |
L-3 Communications Holdings, Inc. | | 15,800 | | 1,209,964 |
Automotive - 0.0% |
Exide Technologies warrants 3/18/06 (a) | | 16 | | 0 |
Cable TV - 0.1% |
EchoStar Communications Corp. Class A | | 4,500 | | 135,675 |
Ono Finance PLC rights 5/31/09 (a)(c) | | 2,050 | | 1,025 |
The DIRECTV Group, Inc. (a) | | 63,000 | | 976,500 |
| | | 1,113,200 |
Electric Utilities - 0.1% |
AES Corp. (a) | | 22,100 | | 361,998 |
CMS Energy Corp. (a) | | 22,300 | | 335,838 |
| | | 697,836 |
Energy - 0.1% |
Chesapeake Energy Corp. | | 22,100 | | 503,880 |
Gaming - 0.3% |
MGM MIRAGE (a) | | 28,300 | | 1,120,114 |
Scientific Games Corp. Class A (a) | | 93,800 | | 2,526,034 |
| | | 3,646,148 |
Healthcare - 0.0% |
Fountain View, Inc. (e) | | 1,364 | | 22,861 |
|
| | Shares | | Value |
Homebuilding/Real Estate - 0.0% |
American Real Estate Partners LP (a) | | 400 | | $ 11,620 |
Paper - 0.2% |
Georgia-Pacific Corp. | | 59,800 | | 1,901,640 |
Services - 0.2% |
Iron Mountain, Inc. (a) | | 63,900 | | 1,982,178 |
Shipping - 0.3% |
OMI Corp. | | 60,900 | | 1,157,709 |
Teekay Shipping Corp. | | 44,100 | | 1,935,990 |
| | | 3,093,699 |
Technology - 0.1% |
Xerox Corp. (a) | | 94,500 | | 1,303,155 |
Telecommunications - 0.2% |
American Tower Corp. Class A (a) | | 31,900 | | 670,538 |
New Skies Satellites Holdings Ltd. | | 2,600 | | 51,610 |
Nextel Communications, Inc. Class A (a) | | 15,700 | | 507,267 |
Qwest Communications International, Inc. (a) | | 318,500 | | 1,181,635 |
| | | 2,411,050 |
Textiles & Apparel - 0.1% |
Arena Brands Holding Corp. Class B (e) | | 144,445 | | 1,495,006 |
TOTAL COMMON STOCKS (Cost $23,455,425) | | 19,392,237 |
Floating Rate Loans - 10.4% |
| Principal
Amount | | |
Building Materials - 0.5% |
Masonite International Corp. term loan 9.3838% 4/6/15 (d) | | $ 5,340,000 | | 5,333,325 |
Cable TV - 0.5% |
UPC Broadband Holding BV Tranche H2, term loan 5.752% 9/30/12 (d) | | 5,460,000 | | 5,473,650 |
Electric Utilities - 1.4% |
Covanta Energy Corp.: | | | | |
Tranche 1: | | | | |
Credit-Linked Deposit 6.46% 6/24/12 (d) | | 2,913,496 | | 2,935,347 |
term loan 6.46% 6/24/12 (d) | | 2,356,504 | | 2,374,178 |
Tranche 2, term loan 8.88% 6/24/13 (d) | | 2,190,000 | | 2,184,525 |
Riverside Energy Center LLC: | | | | |
term loan 7.44% 6/24/11 (d) | | 6,330,259 | | 6,456,864 |
Credit-Linked Deposit 6.98% 6/24/11 (d) | | 288,859 | | 293,192 |
| | 14,244,106 |
Energy - 3.5% |
Coffeyville Resources LLC: | | | | |
Credit-Linked Deposit 6.063% 7/8/11 (d) | | 172,000 | | 163,400 |
Tranche 2, term loan 10.3125% 7/8/13 (d) | | 2,870,000 | | 2,920,225 |
Tranche B1, term loan 6.063% 7/8/12 (d) | | 258,000 | | 261,225 |
Floating Rate Loans - continued |
| Principal
Amount | | Value |
Energy - continued |
El Paso Corp.: | | | | |
Credit-Linked Deposit 5.855% 11/22/09 (d) | | $ 5,120,700 | | $ 5,139,903 |
term loan 6.125% 11/22/09 (d) | | 3,827,907 | | 3,861,401 |
Kerr-McGee Corp.: | | | | |
Tranche B, term loan 5.79% 5/24/11 (d) | | 12,230,000 | | 12,428,738 |
Tranche X, term loan 5.55% 5/24/07 (d) | | 8,910,000 | | 8,965,688 |
Magellan Midstream Holdings LP term loan 5.785% 6/30/12 (d) | | 2,625,000 | | 2,625,000 |
| | 36,365,580 |
Environmental - 0.8% |
Envirocare of Utah, Inc.: | | | | |
Tranche 1, term loan 6.11% 4/13/10 (d) | | 5,001,818 | | 5,020,575 |
Tranche 2, term loan 8.86% 4/13/10 (d) | | 3,770,000 | | 3,741,725 |
| | 8,762,300 |
Healthcare - 0.9% |
DaVita, Inc. Tranche B, term loan
LIBOR + 2.25% 7/30/12 (d) | | 5,870,000 | | 5,943,375 |
HealthSouth Corp. term loan 8.22% 6/15/10 (d) | | 2,190,000 | | 2,225,588 |
Vicar Operating, Inc. term loan 4.875% 5/16/11 (d) | | 1,526,175 | | 1,530,000 |
| | 9,698,963 |
Homebuilding/Real Estate - 2.0% |
General Growth Properties, Inc.: | | | | |
Tranche A, term loan 5.37% 11/12/07 (d) | | 5,881,461 | | 5,918,220 |
Tranche B, term loan 5.58% 11/12/08 (d) | | 6,071,101 | | 6,124,223 |
LNR Property Corp.: | | | | |
Tranche A, term loan 7.71% 2/3/08 (d) | | 2,150,000 | | 2,150,000 |
Tranche B, term loan: | | | | |
6.3396% 2/3/08 (d) | | 4,311,868 | | 4,328,038 |
8.46% 2/3/08 (d) | | 2,200,000 | | 2,200,000 |
| | 20,720,481 |
Technology - 0.6% |
Fidelity National Information Solutions, Inc.: | | | | |
Tranche A, term loan 4.96% 3/9/11 (d) | | 3,685,762 | | 3,662,726 |
Tranche B, term loan 4.96% 3/9/13 (d) | | 1,531,350 | | 1,525,607 |
Infor Global Solutions AG Tranche 2, term loan 10.712% 4/18/12 (d) | | 1,700,000 | | 1,695,750 |
| | 6,884,083 |
Telecommunications - 0.2% |
Qwest Corp. Tranche B, term loan 6.95% 6/30/10 (d) | | 1,700,000 | | 1,683,000 |
TOTAL FLOATING RATE LOANS (Cost $108,538,920) | 109,165,488 |
Cash Equivalents - 1.3% |
| Maturity
Amount | | Value |
Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.42%, dated 6/30/05 due 7/1/05)
(Cost $13,259,000) | | $ 13,260,261 | | $ 13,259,000 |
TOTAL INVESTMENT PORTFOLIO - 100.2% (Cost $1,036,575,365) | | | | 1,051,085,210 |
NET OTHER ASSETS - (0.2)% | | | (2,196,375) |
NET ASSETS - 100% | | | $ 1,048,888,835 |
Legend |
(a) Non-income producing |
(b) Debt obligation initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate 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 period end, the value of these securities amounted to $152,362,272 or 14.5% of net assets. |
(d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(e) 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 $7,677,385 or 0.7% of net assets. |
Additional information on each holding is as follows: |
SecurityA | Acquisition Date | Acquisition Cost |
Arena Brands Holding Corp. Class B | 6/18/97 | $ 5,834,134 |
Fountain View, Inc. | 8/19/03 - 1/27/04 | 13 |
Micron Technology, Inc. 6.5% 9/30/05 | 7/15/99 - 9/12/02 | 5,344,263 |
AAcquired as a result of an in-kind exchange and represents the original acquisition date and cost. |
Income Tax Information |
At June 30, 2005, the aggregate cost of investment securities for income tax purposes was $1,031,896,871. Net unrealized appreciation aggregated $19,188,339, of which $37,674,485 related to appreciated investment securities and $18,486,146 related to depreciated investment securities. |
Semiannual Report
Fidelity Floating Rate Central Investment Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Floating Rate Loans (c) - 90.9% |
| Principal
Amount | | Value |
Automotive - 4.7% |
Accuride Corp. term loan 5.6453% 1/31/12 (b) | | $ 2,425,227 | | $ 2,431,290 |
AM General LLC Tranche B1, term loan 7.7428% 11/1/11 (b) | | 3,848,718 | | 3,993,045 |
Goodyear Tire & Rubber Co.: | | | | |
Tranche 1, 4.7852% 4/30/10 (b) | | 1,060,000 | | 1,060,000 |
Tranche 2, term loan 5.89% 4/30/10 (b) | | 1,480,000 | | 1,478,150 |
Travelcenters of America, Inc. Tranche B, term loan 5.09% 12/1/11 (b) | | 7,916,840 | | 7,986,112 |
TRW Automotive Holdings Corp. Tranche B, term loan 4.375% 6/30/12 (b) | | 2,777,696 | | 2,788,113 |
| | 19,736,710 |
Broadcasting - 2.0% |
Cumulus Media, Inc.: | | | | |
Tranche E, term loan 5.125% 3/28/10 (b) | | 1,989,950 | | 1,989,950 |
Tranche F, term loan 4.875% 3/28/10 (b) | | 987,525 | | 987,525 |
Nexstar Broadcasting, Inc. Tranche B, term loan 4.87% 10/1/12 (b) | | 3,900,000 | | 3,919,500 |
Spanish Broadcasting System, Inc. Tranche 1, term loan 5.49% 6/7/12 (b) | | 1,571,063 | | 1,586,773 |
| | 8,483,748 |
Building Materials - 1.1% |
Euramax International, Inc./Euramax International Holdings BV Tranche 1, term loan 5.875% 6/29/12 (b) | | 1,850,000 | | 1,875,438 |
Goodman Global Holdings, Inc. term loan 5.5% 12/23/11 (b) | | 1,213,900 | | 1,232,109 |
Masonite International Corp. term loan 5.2153% 4/5/13 (b) | | 1,466,325 | | 1,462,659 |
| | 4,570,206 |
Cable TV - 6.2% |
Adelphia Communications Corp. Tranche B, term loan 5.375% 3/31/06 (b) | | 2,450,000 | | 2,462,250 |
Century Cable Holdings LLC Tranche B, term loan 8.25% 6/30/09 (b) | | 3,000,000 | | 2,970,000 |
Charter Communications Operating LLC: | | | | |
Tranche A, term loan 6.19% 4/27/10 (b) | | 2,642,875 | | 2,606,536 |
Tranche B, term loan 6.44% 4/7/11 (b) | | 1,994,962 | | 1,977,506 |
DIRECTV Holdings LLC Tranche B, term loan 4.7363% 4/13/13 (b) | | 2,260,000 | | 2,274,125 |
NTL Investment Holdings Ltd. Tranche B, term loan 6.41% 6/13/12 (b) | | 3,000,000 | | 3,015,000 |
UPC Broadband Holding BV Tranche H2, term loan 5.752% 9/30/12 (b) | | 3,940,000 | | 3,949,850 |
UPC Distribution Holdings BV Tranche F, term loan 6.6% 12/31/11 (b) | | 4,000,000 | | 4,045,000 |
WideOpenWest Illinois, Inc. Tranche B, term loan 6.3027% 6/22/11 (b) | | 2,593,451 | | 2,619,385 |
| | 25,919,652 |
|
| Principal
Amount | | Value |
Capital Goods - 1.0% |
Alliance Laundry Systems LLC term loan 5.59% 1/27/12 (b) | | $ 1,950,000 | | $ 1,974,375 |
GenTek, Inc. term loan 6.0754% 2/28/11 (b) | | 1,995,000 | | 1,985,025 |
Hexcel Corp. Tranche B, term loan 4.9125% 3/1/12 (b) | | 370,000 | | 372,775 |
| | 4,332,175 |
Chemicals - 1.8% |
Celanese Holding LLC term loan | | | | |
5.74% 4/6/11 (b) | | 2,340,526 | | 2,369,782 |
Mosaic Co. Tranche B, term loan 5.0036% 2/21/12 (b) | | 1,895,250 | | 1,914,203 |
PQ Corp. term loan 5.5% 2/11/12 (b) | | 3,291,750 | | 3,308,209 |
| | 7,592,194 |
Consumer Products - 1.7% |
Burt's Bees, Inc. term loan 6.2397% 3/28/10 (b) | | 399,000 | | 402,990 |
Central Garden & Pet Co. Tranche B, term loan 5.0279% 5/14/09 (b) | | 397,983 | | 401,963 |
Del Laboratories, Inc. term loan 5.4683% 7/27/11 (b) | | 547,250 | | 548,618 |
Fender Musical Instrument Corp. Tranche B, term loan 5.46% 4/1/12 (b) | | 810,000 | | 820,125 |
Jostens IH Corp. Tranche A, term loan 5.64% 10/4/10 (b) | | 2,250,000 | | 2,278,125 |
Rayovac Corp. term loan 5.2082% 2/7/12 (b) | | 498,750 | | 503,738 |
Simmons Bedding Co. Tranche C, term loan 5.9099% 12/19/11 (b) | | 1,976,462 | | 1,981,404 |
| | 6,936,963 |
Containers - 0.2% |
Berry Plastics Corp. term loan 5.6004% 12/2/11 (b) | | 950,000 | | 964,250 |
Diversified Financial Services - 0.7% |
Refco Finance Holdings LLC term loan 5.3144% 8/5/11 (b) | | 2,981,481 | | 2,988,935 |
Diversified Media - 1.3% |
Lamar Media Corp.: | | | | |
Tranche A, term loan 4.4375% 6/30/09 (b) | | 925,000 | | 925,000 |
Tranche C, term loan 5.0625% 6/30/10 (b) | | 2,985,000 | | 3,011,119 |
R.H. Donnelley Corp. Tranche A3, term loan 5.1509% 12/31/09 (b) | | 1,468,667 | | 1,479,682 |
| | 5,415,801 |
Electric Utilities - 3.1% |
Covanta Energy Corp. Tranche 1: | | | | |
Credit-Linked Deposit 6.46% 6/24/12 (b) | | 2,211,382 | | 2,227,967 |
term loan 6.46% 6/24/12 (b) | | 1,788,618 | | 1,802,033 |
Floating Rate Loans (c) - continued |
| Principal
Amount | | Value |
Electric Utilities - continued |
NRG Energy, Inc.: | | | | |
Credit-Linked Deposit 5.265% 12/24/11 (b) | | $ 1,706,250 | | $ 1,714,781 |
term loan 5.2554% 12/24/11 (b) | | 2,182,781 | | 2,193,695 |
Reliant Energy, Inc. term loan 6.0579% 4/30/10 (b) | | 1,995,000 | | 2,012,456 |
Texas Genco LLC term loan 5.4098% 12/14/11 (b) | | 2,985,000 | | 3,026,044 |
| | 12,976,976 |
Energy - 6.6% |
Coffeyville Resources LLC: | | | | |
Credit-Linked Deposit 6.063% 7/8/11 (b) | | 704,000 | | 668,800 |
Tranche B1, term loan 6.063% 7/8/12 (b) | | 1,056,000 | | 1,069,200 |
El Paso Corp. Credit-Linked Deposit 5.855% 11/22/09 (b) | | 6,000,000 | | 6,022,500 |
Energy Transfer Partners LP term loan 6.47% 6/16/08 (b) | | 5,000,000 | | 5,025,000 |
Kerr-McGee Corp. Tranche B, term loan 5.79% 5/24/11 (b) | | 10,000,000 | | 10,162,500 |
LB Pacific LP term loan 6.1471% 3/3/12 (b) | | 3,990,000 | | 4,024,913 |
Universal Compression, Inc. term loan 5.24% 2/15/12 (b) | | 897,750 | | 908,972 |
| | 27,881,885 |
Entertainment/Film - 2.0% |
MGM Holdings II, Inc. Tranche B, term loan 5.74% 4/8/12 (b) | | 8,550,000 | | 8,571,375 |
Environmental - 1.6% |
Allied Waste Industries, Inc.: | | | | |
term loan 5.3731% 1/15/12 (b) | | 2,088,868 | | 2,091,479 |
Tranche A, Credit-Linked Deposit 5.34% 1/15/12 (b) | | 797,297 | | 798,294 |
Envirocare of Utah, Inc. Tranche 1, term loan 6.11% 4/13/10 (b) | | 3,818,182 | | 3,832,500 |
| | 6,722,273 |
Food/Beverage/Tobacco - 3.2% |
Centerplate, Inc. term loan 6.43% 10/1/10 (b) | | 4,920,000 | | 4,944,600 |
Commonwealth Brands, Inc. term loan 6.625% 8/28/07 (b) | | 165,210 | | 167,275 |
Constellation Brands, Inc. Tranche B, term loan 5.1451% 11/30/11 (b) | | 6,438,958 | | 6,511,397 |
Herbalife International, Inc. term loan 5.16% 12/21/10 (b) | | 1,640,000 | | 1,648,200 |
| | 13,271,472 |
Gaming - 2.0% |
Green Valley Ranch Gaming LLC term loan 5.49% 12/17/11 (b) | | 2,187,019 | | 2,211,623 |
Herbst Gaming, Inc. term loan 5.6275% 1/7/11 (b) | | 399,000 | | 401,993 |
Isle of Capri Casinos, Inc. term loan 5.0179% 2/4/11 (b) | | 199,000 | | 200,990 |
Marina District Finance Co., Inc. term loan 5.185% 10/14/11 (b) | | 3,980,000 | | 4,004,875 |
|
| Principal
Amount | | Value |
Resorts International Hotel & Casino, Inc. Tranche B1, term loan 5.83% 4/26/12 (b) | | $ 785,433 | | $ 796,233 |
Venetian Casino Resort LLC Tranche B, term loan 5.24% 6/15/11 (b) | | 900,000 | | 906,750 |
| | 8,522,464 |
Healthcare - 14.5% |
AMR HoldCo, Inc./ EmCare HoldCo, Inc. term loan 5.6734% 2/7/12 (b) | | 3,291,750 | | 3,337,012 |
Community Health Systems, Inc. term loan 5.07% 8/19/11 (b) | | 3,974,975 | | 4,014,725 |
CRC Health Corp. term loan 6.24% 5/11/11 (b) | | 950,000 | | 961,875 |
DaVita, Inc. Tranche B, term loan
LIBOR + 2.25% 7/30/12 (b) | | 8,000,000 | | 8,100,000 |
HCA, Inc. term loan 4.33% 11/9/09 (b) | | 11,000,000 | | 10,917,491 |
HealthSouth Corp.: | | | | |
Credit-Linked Deposit 5.7235% 6/14/07 (b) | | 807,500 | | 816,584 |
term loan 5.82% 6/14/07 (b) | | 2,992,500 | | 3,022,425 |
LifePoint Hospitals, Inc. Tranche B, term loan 4.845% 4/15/12 (b) | | 5,940,000 | | 5,954,850 |
Newquest, Inc. Tranche A, term loan 6.66% 3/1/11 (b) | | 487,500 | | 489,938 |
PacifiCare Health Systems, Inc. Tranche B, term loan 5.0656% 12/6/10 (b) | | 6,947,500 | | 6,999,606 |
Select Medical Holdings Corp. Tranche B, term loan 5.0419% 2/24/12 (b) | | 3,990,000 | | 3,994,988 |
Skilled Healthcare Group, Inc. Tranche 2, term loan 10.74% 12/15/12 (b) | | 3,000,000 | | 3,015,000 |
Vicar Operating, Inc. term loan 4.875% 5/16/11 (b) | | 5,040,000 | | 5,052,600 |
Warner Chilcott Corp. term loan 5.9939% 1/18/12 (b) | | 3,992,057 | | 4,002,037 |
| | 60,679,131 |
Homebuilding/Real Estate - 5.3% |
CB Richard Ellis Services, Inc. term loan 5.3167% 3/31/10 (b) | | 1,445,902 | | 1,456,747 |
General Growth Properties, Inc. Tranche B, term loan 5.58% 11/12/08 (b) | | 5,971,575 | | 6,023,826 |
Lake Las Vegas LLC Tranche 1, term loan 6.0887% 11/1/09 (b) | | 3,926,873 | | 3,936,690 |
LNR Property Corp. Tranche B, term loan 6.3396% 2/3/08 (b) | | 3,919,880 | | 3,934,580 |
Maguire Properties, Inc. Tranche B, term loan 4.9% 3/15/10 (b) | | 4,611,111 | | 4,634,167 |
Shea Mountain House LLC Tranche B, term loan 5.27% 5/11/11 (b) | | 2,430,000 | | 2,436,075 |
| | 22,422,085 |
Floating Rate Loans (c) - continued |
| Principal
Amount | | Value |
Hotels - 1.7% |
Starwood Hotels & Resorts Worldwide, Inc. term loan 4.58% 10/9/06 (b) | | $ 5,151,815 | | $ 5,151,815 |
Wyndham International, Inc.
Tranche 1: | | | | |
Credit-Linked Deposit 6.435% 5/6/11 (b) | | 172,415 | | 172,846 |
term loan 6.5% 5/6/11 (b) | | 1,823,017 | | 1,827,575 |
| | 7,152,236 |
Insurance - 1.2% |
Marsh & McLennan Companies, Inc. term loan 4.1875% 12/31/06 (b) | | 5,000,000 | | 5,006,250 |
Leisure - 0.7% |
24 Hour Fitness Worldwide, Inc. Tranche B, term loan 6.19% 6/8/12 (b) | | 3,000,000 | | 3,037,500 |
Metals/Mining - 2.5% |
Murray Energy Corp. Tranche 1, term loan 6.33% 1/28/10 (b) | | 498,750 | | 501,244 |
Novelis, Inc. term loan 4.96% 1/7/12 (b) | | 3,461,538 | | 3,491,827 |
Peabody Energy Corp. term loan 4.431% 3/21/10 (b) | | 2,955,664 | | 2,959,358 |
Trout Coal Holdings LLC / Dakota Tranche 1, term loan 5.9736% 3/23/11 (b) | | 3,690,750 | | 3,699,977 |
| | 10,652,406 |
Paper - 3.2% |
Escanaba Timber LLC term loan 6% 5/2/08 (b) | | 520,000 | | 528,450 |
Georgia-Pacific Corp. term loan 4.78% 7/2/09 (b) | | 1,000,000 | | 1,000,000 |
Koch Cellulose LLC: | | | | |
term loan 5.24% 5/7/11 (b) | | 1,958,517 | | 1,980,550 |
Credit-Linked Deposit 4.6113% 5/7/11 (b) | | 602,945 | | 609,728 |
Smurfit-Stone Container Enterprises, Inc.: | | | | |
Credit-Linked Deposit 3.0888% 11/1/10 (b) | | 655,111 | | 662,481 |
Tranche B, term loan 5.4158% 11/1/11 (b) | | 5,221,241 | | 5,279,980 |
Tranche C, term loan 5.2921% 11/1/11 (b) | | 1,927,849 | | 1,949,538 |
Xerium Technologies, Inc. Tranche B, term loan 5.49% 5/18/12 (b) | | 1,500,000 | | 1,515,000 |
| | 13,525,727 |
Publishing/Printing - 2.7% |
Dex Media West LLC/Dex Media West Finance Co. Tranche B, term loan 4.9282% 9/9/10 (b) | | 6,618,287 | | 6,667,924 |
Liberty Group Operating, Inc. Tranche B, term loan 5.4436% 2/28/12 (b) | | 197,006 | | 197,499 |
R.H. Donnelley Corp. Tranche B2, term loan 5.0536% 6/30/11 (b) | | 4,298,142 | | 4,330,378 |
| | 11,195,801 |
|
| Principal
Amount | | Value |
Railroad - 1.4% |
Kansas City Southern Railway Co. Tranche B1, term loan 5.1572% 3/30/08 (b) | | $ 2,788,360 | | $ 2,823,214 |
RailAmerica, Inc. term loan 5.3125% 9/29/11 (b) | | 2,972,505 | | 3,013,376 |
| | 5,836,590 |
Restaurants - 2.4% |
Domino's, Inc. term loan 5.25% 6/25/10 (b) | | 4,809,121 | | 4,857,213 |
Jack in the Box, Inc. term loan 4.9463% 1/8/11 (b) | | 3,125,659 | | 3,160,823 |
Landry's Seafood Restaurants, Inc. term loan 5.2387% 12/28/10 (b) | | 1,457,675 | | 1,474,074 |
Ruth's Chris Steak House, Inc. term loan 6.25% 3/11/11 (b) | | 480,952 | | 480,952 |
| | 9,973,062 |
Services - 5.2% |
Coinstar, Inc. term loan 5.55% 7/1/11 (b) | | 827,233 | | 839,642 |
DynCorp term loan 6.0625% 2/11/11 (b) | | 2,000,000 | | 2,010,000 |
Iron Mountain, Inc.: | | | | |
term loan 5.125% 4/2/11 (b) | | 3,722,242 | | 3,759,464 |
Tranche R, term loan 4.9816% 4/2/11 (b) | | 4,975,000 | | 5,024,750 |
JohnsonDiversey, Inc. Tranche B, term loan 4.9578% 11/3/09 (b) | | 336,005 | | 338,525 |
Knowledge Learning Corp. term loan 5.99% 1/7/12 (b) | | 4,061,111 | | 4,081,417 |
Rural/Metro Corp.: | | | | |
Credit-Linked Deposit 5.65% 3/4/11 (b) | | 520,882 | | 524,789 |
term loan 6.0297% 3/4/11 (b) | | 1,904,941 | | 1,919,228 |
United Rentals, Inc.: | | | | |
term loan 5.5742% 2/14/11 (b) | | 2,843,979 | | 2,875,974 |
Tranche B, Credit-Linked Deposit 4.8224% 2/14/11 (b) | | 575,996 | | 581,756 |
| | 21,955,545 |
Shipping - 0.1% |
Baker Tanks, Inc. term loan 5.8793% 1/30/11 (b) | | 249,375 | | 251,869 |
Technology - 4.5% |
AMI Semiconductor, Inc. term loan 4.83% 4/1/12 (b) | | 1,596,000 | | 1,599,990 |
Fairchild Semiconductor Corp. Tranche B3, term loan 5.354% 12/31/10 (b) | | 2,060,334 | | 2,080,937 |
Fidelity National Information Solutions, Inc. Tranche B, term loan 4.96% 3/9/13 (b) | | 5,719,500 | | 5,698,052 |
Infor Global Solutions AG Tranche 1, term loan 6.712% 4/18/11 (b) | | 6,000,000 | | 6,015,000 |
ON Semiconductor Corp. Tranche G, term loan 6.5% 12/15/11 (b) | | 2,985,000 | | 2,992,463 |
UGS Holdings, Inc. Tranche C, term loan 5.1462% 3/31/12 (b) | | 475,172 | | 479,924 |
| | 18,866,366 |
Floating Rate Loans (c) - continued |
| Principal
Amount | | Value |
Telecommunications - 6.0% |
Alaska Communications Systems Holding term loan 5.49% 2/1/12 (b) | | $ 7,100,000 | | $ 7,153,250 |
American Tower LP Tranche C, term loan 5.2099% 8/31/11 (b) | | 2,573,550 | | 2,599,286 |
Conversant Holdings, Inc. Tranche B, term loan 7.3351% 3/31/11 (b) | | 1,962,500 | | 1,945,328 |
Hawaiian Telcom Communications, Inc. Tranche B, term loan 5.73% 10/31/12 (b) | | 3,000,000 | | 3,030,000 |
Intelsat Ltd. term loan 5.25% 7/28/11 (b) | | 3,236,542 | | 3,264,862 |
New Skies Satellites BV term loan 5.4375% 5/2/11 (b) | | 1,490,609 | | 1,511,105 |
NTELOS, Inc.: | | | | |
term loan 8.33% 2/24/12 (b) | | 200,000 | | 196,000 |
Tranche B, term loan 5.83% 8/24/11 (b) | | 995,000 | | 995,000 |
Qwest Corp. Tranche A, term loan 7.9338% 6/30/07 (b) | | 1,600,000 | | 1,648,000 |
SpectraSite Communications, Inc. Tranche B, term loan 4.91% 5/19/12 (b) | | 1,990,000 | | 2,004,925 |
Valor Telecommunications Enterprises LLC/Valor Finance Corp. Tranche B, term loan 5.392% 2/14/12 (b) | | 784,000 | | 793,800 |
| | 25,141,556 |
Textiles & Apparel - 0.3% |
St. John Knits International, Inc. Tranche B, term loan 6% 3/23/12 (b) | | 498,750 | | 503,114 |
William Carter Co. term loan 5.08% 6/29/12 (b) | | 850,000 | | 860,625 |
| | 1,363,739 |
TOTAL FLOATING RATE LOANS (Cost $381,285,882) | 381,946,942 |
Nonconvertible Bonds - 8.1% |
| | | |
Automotive - 3.5% |
General Motors Acceptance Corp.: | | | | |
4.145% 5/18/06 (b) | | 2,000,000 | | 1,990,538 |
4.3948% 10/20/05 (b) | | 5,000,000 | | 5,004,260 |
4.6019% 9/23/08 (b) | | 3,000,000 | | 2,773,467 |
6.75% 1/15/06 | | 2,000,000 | | 2,015,780 |
7.5% 7/15/05 | | 3,000,000 | | 3,001,296 |
| | 14,785,341 |
Diversified Financial Services - 1.2% |
Residential Capital Corp. 4.835% 6/29/07 (a)(b) | | 5,000,000 | | 5,001,880 |
Technology - 1.2% |
Nortel Networks Corp. 6.125% 2/15/06 | | 5,000,000 | | 5,025,000 |
|
| Principal
Amount | | Value |
Telecommunications - 2.2% |
Qwest Corp. 6.6706% 6/15/13 (a)(b) | | $ 2,840,000 | | $ 2,907,450 |
Rogers Communications, Inc. 6.535% 12/15/10 (b) | | 6,000,000 | | 6,240,000 |
| | 9,147,450 |
TOTAL NONCONVERTIBLE BONDS (Cost $34,062,076) | 33,959,671 |
Cash Equivalents - 4.8% |
| | Maturity
Amount | | |
Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.42%, dated 6/30/05 due 7/1/05)
(Cost $19,961,000) | | $ 19,962,899 | | 19,961,000 |
TOTAL INVESTMENT PORTFOLIO - 103.8% (Cost $435,308,958) | | | | 435,867,613 |
NET OTHER ASSETS - (3.8)% | | | (15,788,511) |
NET ASSETS - 100% | | $ 420,079,102 |
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $7,909,330 or 1.9% of net assets. |
(b) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(c) Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
Income Tax Information |
At June 30, 2005, the aggregate cost of investment securities for income tax purposes was $435,285,647. Net unrealized appreciation aggregated $581,966, of which $1,609,203 related to appreciated investment securities and $1,027,237 related to depreciated investment securities. |
Semiannual Report
Fidelity Ultra-Short Central Fund
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 3.9% |
| Principal
Amount | | Value |
CONSUMER DISCRETIONARY - 1.0% |
Auto Components - 0.3% |
DaimlerChrysler NA Holding Corp.: | | | | |
3.8594% 9/10/07 (e) | | $ 16,665,000 | | $ 16,664,367 |
3.8938% 5/24/06 (e) | | 4,700,000 | | 4,712,070 |
| | 21,376,437 |
Media - 0.7% |
Continental Cablevision, Inc. 8.3% 5/15/06 | | 8,000,000 | | 8,292,840 |
Cox Communications, Inc. (Reg. S) 3.95% 12/14/07 (e) | | 12,140,000 | | 12,204,026 |
Liberty Media Corp. 4.91% 9/17/06 (e) | | 16,694,000 | | 16,796,835 |
Univision Communications, Inc. 2.875% 10/15/06 | | 8,505,000 | | 8,340,428 |
| | 45,634,129 |
TOTAL CONSUMER DISCRETIONARY | | 67,010,566 |
ENERGY - 0.2% |
Oil, Gas & Consumable Fuels - 0.2% |
Valero Energy Corp. 7.375% 3/15/06 | | 11,550,000 | | 11,775,341 |
FINANCIALS - 1.0% |
Capital Markets - 0.1% |
State Street Capital Trust II 3.7681% 2/15/08 (e) | | 10,000,000 | | 10,017,720 |
Commercial Banks - 0.3% |
Wells Fargo & Co. 3.4194% 3/10/08 (e) | | 16,600,000 | | 16,591,916 |
Consumer Finance - 0.2% |
General Motors Acceptance Corp. 4.3948% 10/20/05 (e) | | 14,765,000 | | 14,777,580 |
Real Estate - 0.0% |
Regency Centers LP 7.125% 7/15/05 | | 700,000 | | 700,645 |
Thrifts & Mortgage Finance - 0.4% |
Countrywide Financial Corp. 3.29% 4/11/07 (e) | | 11,025,000 | | 11,032,376 |
Residential Capital Corp. 4.835% 6/29/07 (b)(e) | | 14,150,000 | | 14,155,320 |
| | 25,187,696 |
TOTAL FINANCIALS | | 67,275,557 |
TELECOMMUNICATION SERVICES - 1.3% |
Diversified Telecommunication Services - 1.2% |
British Telecommunications PLC 7.875% 12/15/05 | | 18,145,000 | | 18,461,576 |
France Telecom SA 7.45% 3/1/06 (a) | | 5,600,000 | | 5,722,679 |
GTE Corp. 6.36% 4/15/06 | | 9,000,000 | | 9,153,927 |
SBC Communications, Inc. 4.389% 6/5/06 (b) | | 15,315,000 | | 15,352,522 |
Sprint Capital Corp. 4.78% 8/17/06 | | 6,000,000 | | 6,043,788 |
|
| Principal
Amount | | Value |
Telefonica Europe BV 7.35% 9/15/05 | | $ 4,500,000 | | $ 4,529,777 |
Telefonos de Mexico SA de CV 4.5% 11/19/08 | | 10,240,000 | | 10,163,200 |
TELUS Corp. yankee 7.5% 6/1/07 | | 6,500,000 | | 6,876,357 |
| | 76,303,826 |
Wireless Telecommunication Services - 0.1% |
AT&T Wireless Services, Inc. 7.35% 3/1/06 | | 5,500,000 | | 5,620,186 |
TOTAL TELECOMMUNICATION SERVICES | | 81,924,012 |
UTILITIES - 0.4% |
Electric Utilities - 0.2% |
Pinnacle West Energy Corp. 3.63% 4/1/07 (b)(e) | | 12,800,000 | | 12,802,035 |
Gas Utilities - 0.2% |
NiSource Finance Corp. 7.625% 11/15/05 | | 9,250,000 | | 9,371,323 |
TOTAL UTILITIES | | 22,173,358 |
TOTAL NONCONVERTIBLE BONDS (Cost $250,535,679) | 250,158,834 |
U.S. Government Agency Obligations - 0.0% |
|
Fannie Mae 0% 9/28/05 (d)
(Cost $991,681) | | 1,000,000 | | 991,693 |
Asset-Backed Securities - 34.2% |
|
Accredited Mortgage Loan Trust: | | | | |
Series 2004-2 Class A2, 3.6144% 7/25/34 (e) | | 8,359,948 | | 8,385,212 |
Series 2004-3 Class 2A4, 3.6644% 10/25/34 (e) | | 10,915,000 | | 10,950,012 |
Series 2004-4 Class A2D, 3.6644% 1/25/35 (e) | | 3,725,124 | | 3,735,485 |
Series 2005-1: | | | | |
Class M1, 3.7844% 4/25/35 (e) | | 11,280,000 | | 11,256,125 |
Class M2, 4.0044% 4/25/35 (e) | | 5,275,000 | | 5,277,066 |
ACE Securities Corp.: | | | | |
Series 2002-HE1 Class M1, 3.9644% 6/25/32 (e) | | 1,415,380 | | 1,427,205 |
Series 2002-HE2 Class M1, 4.1644% 8/25/32 (e) | | 21,525,000 | | 21,618,289 |
Series 2003-FM1 Class M2, 5.1644% 11/25/32 (e) | | 3,015,000 | | 3,054,652 |
Series 2003-HS1: | | | | |
Class M1, 4.0644% 6/25/33 (e) | | 800,000 | | 803,804 |
Class M2, 5.0644% 6/25/33 (e) | | 856,000 | | 871,665 |
Series 2003-NC1 Class M1, 4.0944% 7/25/33 (e) | | 1,600,000 | | 1,612,196 |
Asset-Backed Securities - continued |
| Principal
Amount | | Value |
ACE Securities Corp.: - continued | | | | |
Series 2004-HE1: | | | | |
Class M1, 3.8144% 2/25/34 (e) | | $ 2,193,000 | | $ 2,193,886 |
Class M2, 4.4144% 2/25/34 (e) | | 2,475,000 | | 2,476,308 |
Series 2004-OP1: | | | | |
Class M1, 3.8344% 4/25/34 (e) | | 4,420,000 | | 4,424,470 |
Class M2, 4.3644% 4/25/34 (e) | | 6,240,000 | | 6,251,288 |
Series 2005-HE2: | | | | |
Class M1, 3.7544% 4/25/35 (e) | | 1,530,000 | | 1,527,957 |
Class M2, 3.7644% 4/25/35 (e) | | 1,803,000 | | 1,797,526 |
Class M3, 3.7944% 4/25/35 (e) | | 1,040,000 | | 1,038,642 |
Class M4, 3.9544% 4/25/35 (e) | | 1,340,000 | | 1,338,262 |
Series 2005-HE3: | | | | |
Class A2A, 3.4144% 5/25/35 (e) | | 8,312,520 | | 8,313,005 |
Class A2B, 3.5244% 5/25/35 (e) | | 4,370,000 | | 4,371,054 |
Series 2005-SD1 Class A1, 3.7144% 11/25/50 (e) | | 2,812,303 | | 2,813,110 |
Aesop Funding II LLC Series 2005-1A Class A2, 3.32% 4/20/09 (b)(e) | | 8,800,000 | | 8,786,800 |
American Express Credit Account Master Trust: | | | | |
Series 2002-4 Class B, 3.53% 2/15/08 (e) | | 10,000,000 | | 10,000,447 |
Series 2002-6 Class B, 3.67% 3/15/10 (e) | | 5,000,000 | | 5,032,920 |
Series 2004-1 Class B, 3.47% 9/15/11 (e) | | 5,775,000 | | 5,800,047 |
Series 2004-C Class C, 3.72% 2/15/12 (b)(e) | | 17,992,640 | | 18,049,066 |
Series 2005-1 Class A, 3.25% 10/15/12 (e) | | 15,455,000 | | 15,481,417 |
AmeriCredit Automobile Receivables Trust: | | | | |
Series 2002-EM Class A4A, 3.67% 6/8/09 | | 25,000,000 | | 24,945,750 |
Series 2003-AM: | | | | |
Class A3B, 3.52% 6/6/07 (e) | | 1,217,423 | | 1,217,691 |
Class A4B, 3.62% 11/6/09 (e) | | 12,400,000 | | 12,446,754 |
Series 2003-BX Class A4B, 3.53% 1/6/10 (e) | | 3,265,000 | | 3,276,632 |
Series 2003-CF Class A3, 2.75% 10/9/07 | | 14,016,278 | | 13,975,817 |
Series 2005-1 Class C, 4.73% 7/6/10 | | 15,500,000 | | 15,611,600 |
Ameriquest Mortgage Securities, Inc.: | | | | |
Series 2002-3 Class M1, 4.0144% 8/25/32 (e) | | 5,000,000 | | 5,031,139 |
|
| Principal
Amount | | Value |
Series 2002-AR1 Class M2, 4.6144% 9/25/32 (e) | | $ 1,375,489 | | $ 1,376,951 |
Series 2003-1: | | | | |
Class A2, 3.7244% 2/25/33 (e) | | 606,792 | | 607,135 |
Class M1, 4.2144% 2/25/33 (e) | | 3,330,000 | | 3,357,330 |
Series 2003-3: | | | | |
Class M1, 4.1144% 3/25/33 (e) | | 1,590,000 | | 1,605,547 |
Class S, 5% 9/25/05 (f) | | 4,457,447 | | 33,756 |
Series 2003-6: | | | | |
Class AV3, 3.6344% 8/25/33 (e) | | 123,978 | | 123,974 |
Class M1, 4.0744% 8/25/33 (e) | | 7,560,000 | | 7,613,321 |
Class M2, 5.1644% 5/25/33 (e) | | 2,750,000 | | 2,810,724 |
Series 2003-AR1 Class M1, 4.4644% 1/25/33 (e) | | 7,000,000 | | 7,077,685 |
Series 2004-R2: | | | | |
Class M1, 3.7444% 4/25/34 (e) | | 1,230,000 | | 1,229,974 |
Class M2, 3.7944% 4/25/34 (e) | | 950,000 | | 949,980 |
Class M3, 3.8644% 4/25/34 (e) | | 3,500,000 | | 3,499,926 |
Class M4, 4.3644% 4/25/34 (e) | | 4,500,000 | | 4,499,900 |
Series 2004-R9 Class A3, 3.6344% 10/25/34 (e) | | 9,340,000 | | 9,361,161 |
Series 2005-R1: | | | | |
Class M1, 3.7644% 3/25/35 (e) | | 5,710,000 | | 5,693,365 |
Class M2, 3.7944% 3/25/35 (e) | | 1,925,000 | | 1,919,520 |
Series 2005-R2 Class M1, 3.7644% 4/25/35 (e) | | 12,500,000 | | 12,523,620 |
Amortizing Residential Collateral Trust: | | | | |
Series 2002-BC3 Class A, 3.6444% 6/25/32 (e) | | 2,411,175 | | 2,420,266 |
Series 2002-BC6 Class M1, 4.0644% 8/25/32 (e) | | 24,900,000 | | 25,115,527 |
Series 2002-BC7: | | | | |
Class M1, 3.89% 10/25/32 (e) | | 10,000,000 | | 10,075,000 |
Class M2, 4.2144% 10/25/32 (e) | | 5,575,000 | | 5,614,254 |
Series 2003-BC1 Class M2, 4.4144% 1/25/32 (e) | | 802,109 | | 805,887 |
ARG Funding Corp.: | | | | |
Series 2005-1A Class A2, 3.36% 4/20/09 (b)(e) | | 11,000,000 | | 10,975,938 |
Series 2005-2A Class A2, 3.2% 5/20/09 (b)(e) | | 5,200,000 | | 5,190,453 |
Argent Securities, Inc.: | | | | |
Series 2003-W3 Class M2, 5.1144% 9/25/33 (e) | | 20,000,000 | | 20,623,180 |
Asset-Backed Securities - continued |
| Principal
Amount | | Value |
Argent Securities, Inc.: - continued | | | | |
Series 2003-W7 Class A2, 3.7044% 3/1/34 (e) | | $ 4,816,674 | | $ 4,827,413 |
Series 2004-W5 Class M1, 3.9144% 4/25/34 (e) | | 3,960,000 | | 3,964,857 |
Series 2004-W7: | | | | |
Class M1, 3.8644% 5/25/34 (e) | | 4,085,000 | | 4,084,911 |
Class M2, 3.9144% 5/25/34 (e) | | 3,320,000 | | 3,319,928 |
Asset Backed Securities Corp. Home Equity Loan Trust: | | | | |
Series 2003-HE2: | | | | |
Class A2, 3.6% 4/15/33 (e) | | 1,442,768 | | 1,443,517 |
Class M1, 4.12% 4/15/33 (c)(e) | | 11,365,000 | | 11,432,099 |
Series 2003-HE3: | | | | |
Class M1, 4.05% 6/15/33 (e) | | 2,185,000 | | 2,199,785 |
Class M2, 5.22% 6/15/33 (e) | | 10,000,000 | | 10,205,774 |
Series 2003-HE4 Class M2, 5.22% 8/15/33 (e) | | 5,695,000 | | 5,814,079 |
Series 2003-HE5 Class A2A, 3.58% 8/15/33 (e) | | 2,509,591 | | 2,511,330 |
Series 2003-HE6 Class M1, 3.9644% 11/25/33 (e) | | 3,475,000 | | 3,493,941 |
Series 2004-HE2 Class M1, 3.8644% 4/25/34 (e) | | 6,060,000 | | 6,073,465 |
Series 2004-HE3: | | | | |
Class M1, 3.8544% 6/25/34 (e) | | 1,450,000 | | 1,450,463 |
Class M2, 4.4344% 6/25/34 (e) | | 3,350,000 | | 3,350,928 |
Series 2004-HE6 Class A2, 3.6744% 6/25/34 (e) | | 18,676,048 | | 18,716,840 |
Series 2005-HE2: | | | | |
Class M1, 3.7644% 3/25/35 (e) | | 8,250,000 | | 8,239,487 |
Class M2, 3.8144% 3/25/35 (e) | | 2,065,000 | | 2,066,499 |
Bank One Issuance Trust: | | | | |
Series 2002-B1 Class B1, 3.6% 12/15/09 (e) | | 20,655,000 | | 20,744,833 |
Series 2002-B2 Class B2, 3.56% 5/15/08 (e) | | 15,000,000 | | 15,003,699 |
Series 2002-B3 Class B, 3.58% 8/15/08 (e) | | 14,500,000 | | 14,507,965 |
Series 2002-C1 Class C1, 4.18% 12/15/09 (e) | | 7,980,000 | | 8,069,338 |
Series 2002-C2 Class C2, 4.21% 5/15/08 (e) | | 35,785,000 | | 35,839,473 |
Bayview Financial Acquisition Trust Series 2004-C Class A1, 3.74% 5/28/44 (e) | | 8,844,962 | | 8,870,041 |
Bayview Financial Asset Trust Series 2000-F Class A, 3.82% 9/28/43 (e) | | 9,917,367 | | 9,932,127 |
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 3.77% 2/28/44 (e) | | 5,988,627 | | 6,000,925 |
|
| Principal
Amount | | Value |
Bear Stearns Asset Backed
Securities I: | | | | |
Series 2005-HE2: | | | | |
Class M1, 3.8144% 2/25/35 (e) | | $ 6,655,000 | | $ 6,644,371 |
Class M2, 4.0644% 2/25/35 (e) | | 2,430,000 | | 2,433,550 |
Series 2005-HE5 Class 1A1, 3.4244% 6/25/35 (e) | | 11,483,011 | | 11,483,011 |
Capital Auto Receivables Asset Trust: | | | | |
Series 2002-5 Class B, 2.8% 4/15/08 | | 3,139,605 | | 3,114,851 |
Series 2003-1 Class B, 3.69% 6/15/10 (b)(e) | | 6,226,579 | | 6,245,407 |
Series 2003-2 Class B, 3.5% 1/15/09 (e) | | 2,943,456 | | 2,947,925 |
Series 2005-1 Class B, 3.595% 6/15/10 (e) | | 5,725,000 | | 5,725,000 |
Capital One Auto Finance Trust: | | | | |
Series 2003-A Class A4B, 3.5% 1/15/10 (e) | | 9,630,000 | | 9,657,461 |
Series 2004-B Class A4, 3.33% 8/15/11 (e) | | 16,300,000 | | 16,303,141 |
Capital One Master Trust: | | | | |
Series 1999-3 Class B, 3.7% 9/15/09 (e) | | 5,000,000 | | 5,005,452 |
Series 2001-1 Class B, 3.73% 12/15/10 (e) | | 19,500,000 | | 19,647,588 |
Series 2001-8A Class B, 3.77% 8/17/09 (e) | | 9,585,000 | | 9,637,363 |
Series 2002-4A Class B, 3.72% 3/15/10 (e) | | 6,000,000 | | 6,030,504 |
Capital One Multi-Asset Execution Trust: | | | | |
Series 2002-B1 Class B1, 3.9% 7/15/08 (e) | | 17,705,000 | | 17,716,894 |
Series 2003-B1 Class B1, 4.39% 2/17/09 (e) | | 15,470,000 | | 15,581,177 |
Capital Trust Ltd. Series 2004-1: | | | | |
Class A2, 3.71% 7/20/39 (b)(e) | | 2,968,000 | | 2,968,000 |
Class B, 4.01% 7/20/39 (b)(e) | | 1,550,000 | | 1,550,000 |
Class C, 4.36% 7/20/39 (b)(e) | | 1,994,000 | | 1,994,000 |
CDC Mortgage Capital Trust: | | | | |
Series 2001-HE1 Class M1, 4.3444% 1/25/32 (e) | | 4,244,221 | | 4,258,011 |
Series 2002-HE2 Class M1, 4.0144% 1/25/33 (e) | | 9,278,431 | | 9,312,691 |
Series 2002-HE3: | | | | |
Class M1, 4.4144% 3/25/33 (e) | | 21,499,948 | | 21,806,888 |
Class M2, 5.5644% 3/25/33 (e) | | 9,968,976 | | 10,160,562 |
Series 2003-HE1: | | | | |
Class M1, 4.2144% 8/25/33 (e) | | 1,989,998 | | 1,997,870 |
Class M2, 5.2644% 8/25/33 (e) | | 4,369,996 | | 4,431,337 |
Series 2003-HE2 Class A, 3.6644% 10/25/33 (e) | | 2,108,537 | | 2,110,146 |
Asset-Backed Securities - continued |
| Principal
Amount | | Value |
CDC Mortgage Capital Trust: - continued | | | | |
Series 2003-HE3: | | | | |
Class M1, 4.0144% 11/25/33 (e) | | $ 2,254,989 | | $ 2,272,810 |
Class M2, 5.0644% 11/25/33 (e) | | 1,719,992 | | 1,756,394 |
Series 2004-HE2 Class M2, 4.5144% 7/26/34 (e) | | 2,345,000 | | 2,366,648 |
Chase Credit Card Owner Trust: | | | | |
Series 2001-6 Class B, 3.7% 3/16/09 (e) | | 1,305,000 | | 1,311,703 |
Series 2002-4 Class B, 3.53% 10/15/07 (e) | | 12,000,000 | | 11,999,938 |
Series 2002-6 Class B, 3.57% 1/15/08 (e) | | 11,850,000 | | 11,853,664 |
Series 2004-1 Class B, 3.42% 5/15/09 (e) | | 4,105,000 | | 4,104,784 |
Citibank Credit Card Issuance Trust: | | | | |
Series 2000-C2 Class C2, 3.7906% 10/15/07 (e) | | 17,500,000 | | 17,518,102 |
Series 2001-B2 Class B2, 3.8494% 12/10/08 (e) | | 11,945,000 | | 12,004,410 |
Series 2002-B1 Class B1, 3.8% 6/25/09 (e) | | 9,010,000 | | 9,044,790 |
Series 2002-C1 Class C1, 4.2185% 2/9/09 (e) | | 17,500,000 | | 17,695,591 |
Series 2003-B1 Class B1, 3.66% 3/7/08 (e) | | 25,000,000 | | 25,039,025 |
Series 2003-C1 Class C1, 4.2225% 4/7/10 (e) | | 17,785,000 | | 18,170,529 |
Citigroup Mortgage Loan Trust Series 2003-HE4 Class A, 3.7244% 12/25/33 (b)(e) | | 8,259,013 | | 8,259,870 |
CNH Wholesale Master Note Trust Series 2005-1: | | | | |
Class A, 3.43% 6/15/11 (e) | | 18,000,000 | | 18,000,000 |
Class B, 3.72% 6/15/11 (e) | | 2,280,000 | | 2,280,000 |
Countrywide Home Loans, Inc.: | | | | |
Series 2002-6 Class AV1, 3.7444% 5/25/33 (e) | | 1,700,999 | | 1,705,131 |
Series 2003-BC1 Class M2, 5.3144% 9/25/32 (e) | | 11,065,000 | | 11,209,057 |
Series 2003-SD3 Class A1, 3.7344% 12/25/32 (b)(e) | | 1,025,975 | | 1,031,632 |
Series 2004-2 Class M1, 3.8144% 5/25/34 (e) | | 5,200,000 | | 5,207,049 |
Series 2004-3: | | | | |
Class 3A4, 3.5644% 8/25/34 (e) | | 573,199 | | 570,860 |
Class M1, 3.8144% 6/25/34 (e) | | 1,475,000 | | 1,476,397 |
Series 2004-4: | | | | |
Class A, 3.6844% 8/25/34 (e) | | 2,764,317 | | 2,766,854 |
Class M1, 3.7944% 7/25/34 (e) | | 3,650,000 | | 3,656,675 |
Class M2, 3.8444% 6/25/34 (e) | | 4,395,000 | | 4,402,508 |
|
| Principal
Amount | | Value |
Series 2005-1: | | | | |
Class 1AV2, 3.5144% 7/25/35 (e) | | $ 8,780,000 | | $ 8,779,822 |
Class M1, 3.7344% 8/25/35 (e) | | 19,600,000 | | 19,577,779 |
Class MV1, 3.7144% 7/25/35 (e) | | 3,135,000 | | 3,132,564 |
Class MV2, 3.7544% 7/25/35 (e) | | 3,765,000 | | 3,755,345 |
Class MV3, 3.7944% 7/25/35 (e) | | 1,560,000 | | 1,558,847 |
Series 2005-3 Class MV1, 3.7344% 8/25/35 (e) | | 11,125,000 | | 11,112,123 |
Series 2005-AB1 Class A2, 3.5244% 8/25/35 (e) | | 17,520,000 | | 17,524,322 |
CS First Boston Mortgage Securities Corp.: | | | | |
Series 2003-8 Class A2, 3.7044% 4/25/34 (e) | | 2,844,345 | | 2,857,329 |
Series 2004-FRE1: | | | | |
Class A2, 3.6644% 4/25/34 (e) | | 3,034,932 | | 3,034,873 |
Class M3, 3.9644% 4/25/34 (e) | | 5,885,000 | | 5,884,873 |
Discover Card Master Trust I Series 2003-4 Class B1, 3.55% 5/16/11 (e) | | 8,155,000 | | 8,200,300 |
Fannie Mae guaranteed REMIC pass thru certificates Series 2004-T5 Class AB3, 3.8305% 5/28/35 (e) | | 7,588,322 | | 7,590,958 |
Fieldstone Mortgage Investment Corp.: | | | | |
Series 2003-1: | | | | |
Class M1, 3.9944% 11/25/33 (e) | | 1,300,000 | | 1,310,145 |
Class M2, 5.0644% 11/25/33 (e) | | 700,000 | | 719,394 |
Series 2004-1 Class M2, 4.4144% 1/25/35 (e) | | 3,700,000 | | 3,743,920 |
Series 2004-2 Class M2, 4.4644% 7/25/34 (e) | | 9,890,000 | | 9,889,783 |
Series 2004-3 Class M5, 4.7644% 8/25/34 (e) | | 2,000,000 | | 2,035,297 |
First Franklin Mortgage Loan Asset Backed Certificates: | | | | |
Series 2005-FF2 Class A2A, 3.4044% 3/25/35 (e) | | 7,715,297 | | 7,715,297 |
Series 2005-FF2 Class M6, 4.0144% 3/25/35 (e) | | 6,950,000 | | 6,950,000 |
First Franklin Mortgage Loan Trust Series 2004-FF2: | | | | |
Class M3, 3.8644% 3/25/34 (e) | | 400,000 | | 400,959 |
Class M4, 4.2144% 3/25/34 (e) | | 300,000 | | 302,824 |
First USA Credit Card Master Trust Series 2001-4 Class B, 3.59% 1/12/09 (e) | | 15,000,000 | | 15,032,747 |
First USA Secured Note Trust Series 2001-3 Class C, 4.14% 11/19/08 (b)(e) | | 11,580,000 | | 11,661,421 |
Asset-Backed Securities - continued |
| Principal
Amount | | Value |
Ford Credit Auto Owner Trust Series 2003-B Class B2, 3.65% 10/15/07 (e) | | $ 19,600,000 | | $ 19,680,505 |
Ford Credit Floorplan Master Owner Trust Series 2005-1: | | | | |
Class A, 3.3338% 5/17/10 (e) | | 5,500,000 | | 5,500,000 |
Class B, 3.6238% 5/17/10 (e) | | 2,625,000 | | 2,625,000 |
Fremont Home Loan Trust: | | | | |
Series 2004-1: | | | | |
Class 1A1, 3.5344% 2/25/34 (e) | | 2,940,774 | | 2,940,718 |
Class M1, 3.7644% 2/25/34 (e) | | 750,000 | | 749,984 |
Class M2, 3.8144% 2/25/34 (e) | | 800,000 | | 799,983 |
Series 2004-C Class 2A2, 3.8644% 8/25/34 (e) | | 10,000,000 | | 10,103,864 |
Series 2005-A: | | | | |
Class 2A2, 3.5544% 2/25/35 (e) | | 11,850,000 | | 11,867,098 |
Class M1, 3.7444% 1/25/35 (e) | | 1,603,000 | | 1,600,464 |
Class M2, 3.7744% 1/25/35 (e) | | 2,325,000 | | 2,322,363 |
Class M3, 3.8044% 1/25/35 (e) | | 1,250,000 | | 1,250,426 |
Class M4, 3.9944% 1/25/35 (e) | | 925,000 | | 927,957 |
GE Business Loan Trust Series 2003-1 Class A, 3.65% 4/15/31 (b)(e) | | 5,570,991 | | 5,609,431 |
GE Capital Credit Card Master Note Trust Series 2005-2 Class B, 3.5% 6/15/11 (e) | | 6,475,000 | | 6,475,000 |
Gracechurch Card Funding PLC: | | | | |
Series 5: | | | | |
Class B, 3.32% 8/15/08 (e) | | 1,520,000 | | 1,521,620 |
Class C, 4.02% 8/15/08 (e) | | 5,580,000 | | 5,603,347 |
Series 6 Class B, 3.41% 2/17/09 (e) | | 1,030,000 | | 1,031,103 |
Series 8 Class C, 3.6721% 6/15/10 (e) | | 18,450,000 | | 18,450,000 |
GSAMP Trust: | | | | |
Series 2002-HE Class M1, 4.51% 11/20/32 (e) | | 2,882,888 | | 2,930,625 |
Series 2002-NC1: | | | | |
Class A2, 3.6344% 7/25/32 (e) | | 463,934 | | 466,389 |
Class M1, 3.9544% 7/25/32 (e) | | 8,861,000 | | 8,929,137 |
Series 2003-FM1 Class M1, 4.08% 3/20/33 (e) | | 15,000,000 | | 15,148,805 |
Series 2004-FM1: | | | | |
Class M1, 3.9644% 11/25/33 (e) | | 2,865,000 | | 2,864,938 |
Class M2, 4.7144% 11/25/33 (e) | | 1,975,000 | | 2,007,647 |
|
| Principal
Amount | | Value |
Series 2004-FM2: | | | | |
Class M1, 3.8144% 1/25/34 (e) | | $ 3,500,000 | | $ 3,499,924 |
Class M2, 4.4144% 1/25/34 (e) | | 1,500,000 | | 1,499,967 |
Class M3, 4.6144% 1/25/34 (e) | | 1,500,000 | | 1,499,966 |
Series 2004-HE1: | | | | |
Class M1, 3.8644% 5/25/34 (e) | | 4,045,000 | | 4,044,912 |
Class M2, 4.4644% 5/25/34 (e) | | 1,750,000 | | 1,769,191 |
Series 2005-FF2 Class M5, 3.9444% 3/25/35 (e) | | 3,500,000 | | 3,500,000 |
Series 2005-HE2 Class M, 3.7444% 3/25/35 (e) | | 8,780,000 | | 8,753,122 |
Series 2005-NC1 Class M1, 3.7644% 2/25/35 (e) | | 9,010,000 | | 8,990,716 |
Guggenheim Structured Real Estate Funding Ltd. Series 2005-1 Class C, 4.3944% 5/25/30 (b)(e) | | 14,000,000 | | 13,986,428 |
Home Equity Asset Trust: | | | | |
Series 2002-2 Class M1, 4.1144% 6/25/32 (e) | | 10,000,000 | | 10,016,100 |
Series 2002-3 Class A5, 3.7544% 2/25/33 (e) | | 1,158,022 | | 1,160,508 |
Series 2002-4 Class A3, 3.7944% 3/25/33 (e) | | 1,855,993 | | 1,857,161 |
Series 2002-5: | | | | |
Class A3, 3.8344% 5/25/33 (e) | | 3,256,182 | | 3,262,945 |
Class M1, 4.5144% 5/25/33 (e) | | 13,800,000 | | 13,972,496 |
Series 2003-1: | | | | |
Class A2, 3.7844% 6/25/33 (e) | | 4,914,023 | | 4,918,497 |
Class M1, 4.3144% 6/25/33 (e) | | 5,700,000 | | 5,728,355 |
Series 2003-2: | | | | |
Class A2, 3.6944% 8/25/33 (e) | | 260,553 | | 261,518 |
Class M1, 4.1944% 8/25/33 (e) | | 2,245,000 | | 2,271,177 |
Series 2003-3: | | | | |
Class A2, 3.6744% 8/25/33 (e) | | 1,823,775 | | 1,830,861 |
Class M1, 4.1744% 8/25/33 (e) | | 8,185,000 | | 8,273,381 |
Series 2003-4: | | | | |
Class M1, 4.1144% 10/25/33 (e) | | 3,415,000 | | 3,442,388 |
Class M2, 5.2144% 10/25/33 (e) | | 4,040,000 | | 4,093,584 |
Series 2003-5: | | | | |
Class A2, 3.6644% 12/25/33 (e) | | 6,842,270 | | 6,869,349 |
Class M1, 4.0144% 12/25/33 (e) | | 3,175,000 | | 3,195,806 |
Asset-Backed Securities - continued |
| Principal
Amount | | Value |
Home Equity Asset Trust: - continued | | | | |
Series 2003-5: | | | | |
Class M2, 5.0444% 12/25/33 (e) | | $ 1,345,000 | | $ 1,379,112 |
Series 2003-7 Class A2, 3.6944% 3/25/34 (e) | | 3,687,641 | | 3,696,345 |
Series 2004-2 Class A2, 3.6044% 7/25/34 (e) | | 6,503,412 | | 6,503,414 |
Series 2004-3: | | | | |
Class M1, 3.8844% 8/25/34 (e) | | 2,015,000 | | 2,021,063 |
Class M2, 4.5144% 8/25/34 (e) | | 2,200,000 | | 2,238,915 |
Series 2004-4 Class A2, 3.6344% 10/25/34 (e) | | 8,915,147 | | 8,950,427 |
Series 2004-6 Class A2, 3.6644% 12/25/34 (e) | | 10,120,663 | | 10,154,746 |
Series 2004-7 Class A3, 3.7044% 1/25/35 (e) | | 3,100,442 | | 3,116,372 |
Series 2005-1: | | | | |
Class M1, 3.7444% 5/25/35 (e) | | 9,705,000 | | 9,701,022 |
Class M2, 3.7644% 5/25/35 (e) | | 5,780,000 | | 5,764,785 |
Class M3, 3.8144% 5/25/35 (e) | | 5,825,000 | | 5,810,025 |
Series 2005-2: | | | | |
Class 2A2, 3.5144% 7/25/35 (e) | | 13,170,000 | | 13,169,733 |
Class M1, 3.7644% 7/25/35 (e) | | 10,085,000 | | 10,074,894 |
Series 2005-3 Class M1, 3.7244% 8/25/35 (e) | | 9,450,000 | | 9,415,016 |
Series 2005-5 Class 2A2, 3.65% 11/25/35 (c)(e) | | 15,000,000 | | 15,000,000 |
Household Affinity Credit Card Master Note Trust I Series 2003-3 Class B, 3.51% 8/15/08 (e) | | 10,000,000 | | 10,014,008 |
Household Credit Card Master Trust I Series 2002-1 Class B, 3.87% 7/15/08 (e) | | 22,589,000 | | 22,616,360 |
Household Home Equity Loan Trust: | | | | |
Series 2002-2 Class A, 3.39% 4/20/32 (e) | | 3,414,440 | | 3,418,303 |
Series 2002-3 Class A, 3.54% 7/20/32 (e) | | 2,738,511 | | 2,742,441 |
Series 2003-1 Class M, 3.72% 10/20/32 (e) | | 812,529 | | 813,641 |
Series 2003-2: | | | | |
Class A, 3.42% 9/20/33 (e) | | 3,050,101 | | 3,056,504 |
Class M, 3.67% 9/20/33 (e) | | 1,434,308 | | 1,437,607 |
Series 2004-1 Class M, 3.78% 9/20/33 (e) | | 2,879,581 | | 2,885,256 |
Household Mortgage Loan Trust: | | | | |
Series 2003-HC1 Class M, 3.74% 2/20/33 (e) | | 1,864,203 | | 1,870,236 |
Series 2004-HC1: | | | | |
Class A, 3.44% 2/20/34 (e) | | 5,654,606 | | 5,670,472 |
Class M, 3.59% 2/20/34 (e) | | 3,418,795 | | 3,418,632 |
|
| Principal
Amount | | Value |
Household Private Label Credit Card Master Note Trust I: | | | | |
Series 2002-1 Class B, 3.77% 1/18/11 (e) | | $ 8,850,000 | | $ 8,868,781 |
Series 2002-2: | | | | |
Class A, 3.39% 1/18/11 (e) | | 9,000,000 | | 9,013,122 |
Class B, 3.77% 1/18/11 (e) | | 14,275,000 | | 14,360,399 |
Series 2002-3 Class B, 4.47% 9/15/09 (e) | | 4,150,000 | | 4,161,925 |
Ikon Receivables Funding LLC Series 2003-1 Class A3A, 3.46% 12/17/07 (e) | | 3,195,701 | | 3,196,577 |
IXIS Real Estate Capital Trust Series 2005-HE1: | | | | |
Class A1, 3.5644% 6/25/35 (e) | | 12,252,265 | | 12,254,579 |
Class M1, 3.7844% 6/25/35 (e) | | 4,100,000 | | 4,094,793 |
Class M2, 3.8044% 6/25/35 (e) | | 2,775,000 | | 2,766,993 |
Class M3, 3.8344% 6/25/35 (e) | | 1,975,000 | | 1,973,353 |
Keycorp Student Loan Trust Series 1999-A Class A2, 3.8% 12/27/09 (e) | | 16,169,548 | | 16,230,137 |
Long Beach Mortgage Loan Trust: | | | | |
Series 2003-2: | | | | |
Class AV, 3.6344% 6/25/33 (e) | | 352,682 | | 352,901 |
Class M1, 4.1344% 6/25/33 (e) | | 19,500,000 | | 19,631,260 |
Series 2003-3 Class M1, 4.0644% 7/25/33 (e) | | 7,770,000 | | 7,829,859 |
Series 2004-2: | | | | |
Class M1, 3.8444% 6/25/34 (e) | | 4,275,000 | | 4,285,581 |
Class M2, 4.3944% 6/25/34 (e) | | 2,800,000 | | 2,834,387 |
Series 2005-2 Class 2A2, 3.4944% 4/25/35 (e) | | 12,000,000 | | 12,002,858 |
MASTR Asset Backed Securities Trust: | | | | |
Series 2003-NC1: | | | | |
Class M1, 4.0444% 4/25/33 (e) | | 3,500,000 | | 3,521,406 |
Class M2, 5.1644% 4/25/33 (e) | | 1,500,000 | | 1,537,195 |
Series 2004-FRE1 Class M1, 3.8644% 7/25/34 (e) | | 5,223,000 | | 5,241,185 |
MBNA Asset Backed Note Trust Series 2000-K Class C, 4.02% 3/17/08 (b)(e) | | 7,250,000 | | 7,261,600 |
MBNA Credit Card Master Note Trust: | | | | |
Series 2001-B1 Class B1, 3.595% 10/15/08 (e) | | 30,000,000 | | 30,049,410 |
Series 2001-B2 Class B2, 3.58% 1/15/09 (e) | | 30,353,000 | | 30,436,249 |
Series 2002-B2 Class B2, 3.6% 10/15/09 (e) | | 20,000,000 | | 20,090,756 |
Series 2002-B3 Class B3, 3.62% 1/15/08 (e) | | 15,000,000 | | 15,002,861 |
Series 2002-B4 Class B4, 3.72% 3/15/10 (e) | | 14,800,000 | | 14,918,045 |
Series 2003-B2 Class B2, 3.61% 10/15/10 (e) | | 1,530,000 | | 1,531,608 |
Asset-Backed Securities - continued |
| Principal
Amount | | Value |
MBNA Credit Card Master Note Trust: - continued | | | | |
Series 2003-B3 Class B3, 3.595% 1/18/11 (e) | | $ 1,130,000 | | $ 1,135,525 |
Series 2003-B5 Class B5, 3.59% 2/15/11 (e) | | 705,000 | | 710,603 |
MBNA Master Credit Card Trust II: | | | | |
Series 1998-E Class B, 3.4706% 9/15/10 (e) | | 7,800,000 | | 7,846,794 |
Series 1998-G Class B, 3.62% 2/17/09 (e) | | 20,000,000 | | 20,046,944 |
Meritage Mortgage Loan Trust Series 2004-1: | | | | |
Class M1, 3.8144% 7/25/34 (e) | | 2,125,000 | | 2,124,955 |
Class M2, 3.8644% 7/25/34 (e) | | 375,000 | | 374,992 |
Class M3, 4.2644% 7/25/34 (e) | | 775,000 | | 774,983 |
Class M4, 4.4144% 7/25/34 (e) | | 525,000 | | 524,989 |
Merrill Lynch Mortgage Investors, Inc. Series 2003-HE1 Class M1, 4.0144% 7/25/34 (e) | | 2,321,000 | | 2,332,395 |
Morgan Stanley ABS Capital I, Inc.: | | | | |
Series 2002-NC6 Class M2, 5.4144% 11/25/32 (e) | | 2,370,000 | | 2,449,090 |
Series 2003-NC5 Class M2, 5.3144% 4/25/33 (e) | | 2,800,000 | | 2,835,830 |
Series 2003-NC6 Class M2, 5.2644% 6/27/33 (e) | | 12,835,000 | | 13,181,553 |
Series 2003-NC7 Class M1, 4.0144% 6/25/33 (e) | | 1,785,000 | | 1,791,921 |
Series 2003-NC8 Class M1, 4.0144% 9/25/33 (e) | | 2,350,000 | | 2,363,187 |
Series 2004-HE6 Class A2, 3.6544% 8/25/34 (e) | | 7,802,123 | | 7,831,202 |
Series 2004-NC2 Class M1, 3.8644% 12/25/33 (e) | | 2,595,000 | | 2,601,203 |
Series 2004-NC6 Class A2, 3.6544% 7/25/34 (e) | | 3,452,160 | | 3,462,311 |
Series 2005-1: | | | | |
Class M2, 3.7844% 12/25/34 (e) | | 4,425,000 | | 4,419,535 |
Class M3, 3.8344% 12/25/34 (e) | | 4,000,000 | | 3,999,911 |
Series 2005-HE1: | | | | |
Class A3B, 3.5344% 12/25/34 (e) | | 3,885,000 | | 3,890,233 |
Class M1, 3.7644% 12/25/34 (e) | | 1,100,000 | | 1,102,737 |
Class M2, 3.7844% 12/25/34 (e) | | 2,970,000 | | 2,967,478 |
Series 2005-HE2: | | | | |
Class M1, 3.7144% 1/25/35 (e) | | 2,665,000 | | 2,671,682 |
Class M2, 3.7544% 1/25/35 (e) | | 1,900,000 | | 1,894,449 |
Series 2005-NC1: | | | | |
Class M1, 3.7544% 1/25/35 (e) | | 2,425,000 | | 2,432,936 |
Class M2, 3.7844% 1/25/35 (e) | | 2,425,000 | | 2,422,000 |
|
| Principal
Amount | | Value |
Class M3, 3.8244% 1/25/35 (e) | | $ 2,425,000 | | $ 2,426,896 |
Morgan Stanley Dean Witter Capital I Trust: | | | | |
Series 2001-AM1: | | | | |
Class M1, 4.1644% 2/25/32 (e) | | 1,510,288 | | 1,514,755 |
Class M2, 4.7144% 2/25/32 (e) | | 7,945,298 | | 7,977,868 |
Series 2001-NC4: | | | | |
Class M1, 4.3144% 1/25/32 (e) | | 3,827,881 | | 3,841,541 |
Class M2, 4.9644% 1/25/32 (e) | | 19,314 | | 19,396 |
Series 2002-AM3 Class A3, 3.8044% 2/25/33 (e) | | 1,586,279 | | 1,590,349 |
Series 2002-HE1 Class M1, 3.9144% 7/25/32 (e) | | 2,700,000 | | 2,727,883 |
Series 2002-HE2 Class M1, 4.0144% 8/25/32 (e) | | 9,925,000 | | 9,974,310 |
Series 2002-NC3 Class A3, 3.6544% 8/25/32 (e) | | 571,031 | | 572,622 |
Series 2002-OP1 Class M1, 4.0644% 9/25/32 (e) | | 1,545,000 | | 1,554,507 |
Series 2003-NC1: | | | | |
Class M1, 4.3644% 11/25/32 (e) | | 2,555,000 | | 2,573,719 |
Class M2, 5.3644% 11/25/32 (e) | | 1,880,000 | | 1,900,498 |
New Century Home Equity Loan Trust: | | | | |
Series 2003-2: | | | | |
Class A2, 3.7444% 1/25/33 (e) | | 539,711 | | 540,005 |
Class M2, 5.3144% 1/25/33 (e) | | 4,600,000 | | 4,670,525 |
Series 2003-6 Class M1, 4.0344% 1/25/34 (e) | | 5,180,000 | | 5,206,852 |
Series 2005-1: | | | | |
Class M1, 3.7644% 3/25/35 (e) | | 4,395,000 | | 4,392,787 |
Class M2, 3.7944% 3/25/35 (e) | | 4,395,000 | | 4,388,003 |
Class M3, 3.8344% 3/25/35 (e) | | 2,120,000 | | 2,121,599 |
Nissan Auto Lease Trust: | | | | |
Series 2003-A Class A3A, 3.23% 6/15/09 (e) | | 14,442,708 | | 14,456,785 |
Series 2004-A Class A4A, 3.16% 6/15/10 (e) | | 10,570,000 | | 10,583,829 |
NovaStar Home Equity Loan Series 2004-1: | | | | |
Class M1, 3.7644% 6/25/34 (e) | | 1,450,000 | | 1,451,194 |
Class M4, 4.2894% 6/25/34 (e) | | 2,435,000 | | 2,440,769 |
Ocala Funding LLC Series 2005-1A Class A, 4.59% 3/20/10 (b)(e) | | 3,675,000 | | 3,675,000 |
Park Place Securities, Inc.: | | | | |
Series 2004-WCW1: | | | | |
Class M1, 3.9444% 9/25/34 (e) | | 2,940,000 | | 2,950,582 |
Asset-Backed Securities - continued |
| Principal
Amount | | Value |
Park Place Securities, Inc.: - continued | | | | |
Series 2004-WCW1: | | | | |
Class M2, 3.9944% 9/25/34 (e) | | $ 1,755,000 | | $ 1,765,227 |
Class M3, 4.5644% 9/25/34 (e) | | 3,355,000 | | 3,397,833 |
Class M4, 4.7644% 9/25/34 (e) | | 4,700,000 | | 4,769,501 |
Series 2004-WCW2 Class A2, 3.6944% 10/25/34 (e) | | 8,804,816 | | 8,831,218 |
Series 2005-WCH1: | | | | |
Class A3B, 3.5344% 1/25/35 (e) | | 2,775,000 | | 2,780,826 |
Class M2, 3.8344% 1/25/35 (e) | | 4,175,000 | | 4,168,005 |
Class M3, 3.8744% 1/25/35 (e) | | 3,290,000 | | 3,293,945 |
Class M5, 4.1944% 1/25/35 (e) | | 3,095,000 | | 3,106,058 |
Series 2005-WHQ2 Class M7, 4.5644% 5/25/35 (e) | | 5,950,000 | | 5,927,875 |
People's Choice Home Loan Securities Trust Series 2005-2: | | | | |
Class A1, 3.4244% 9/25/24 (e) | | 8,099,803 | | 8,099,803 |
Class M4, 3.9444% 5/25/35 (e) | | 6,000,000 | | 6,000,000 |
Providian Gateway Master Trust Series 2002-B Class A, 3.92% 6/15/09 (b)(e) | | 15,000,000 | | 15,048,476 |
Residental Asset Securities Corp. Series 2005-KS4 Class M2, 3.8944% 4/25/35 (e) | | 1,040,000 | | 1,036,751 |
Residential Asset Mortgage Products, Inc. Series 2004-RS10 Class MII2, 4.5644% 10/25/34 (e) | | 5,500,000 | | 5,570,041 |
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 3.7144% 4/25/33 (e) | | 926,361 | | 930,885 |
Saxon Asset Securities Trust: | | | | |
Series 2004-1 Class M1, 3.8444% 3/25/35 (e) | | 4,415,000 | | 4,416,040 |
Series 2004-2 Class MV1, 3.8944% 8/25/35 (e) | | 4,495,000 | | 4,504,193 |
Sears Credit Account Master Trust II: | | | | |
Series 2001-1 Class B, 3.645% 2/15/10 (e) | | 10,000,000 | | 9,985,726 |
Series 2002-4: | | | | |
Class A, 3.35% 8/18/09 (e) | | 27,000,000 | | 27,003,437 |
Class B, 3.645% 8/18/09 (e) | | 33,300,000 | | 33,308,681 |
Series 2002-5 Class B, 4.47% 11/17/09 (e) | | 30,000,000 | | 30,080,496 |
Securitized Asset Backed Receivables LLC Trust Series 2004-NC1 Class M1, 3.8344% 2/25/34 (e) | | 2,910,000 | | 2,909,940 |
Specialty Underwriting & Residential Finance Series 2003-BC4 Class M1, 3.9144% 11/25/34 (e) | | 1,810,000 | | 1,819,628 |
Structured Asset Securities Corp. Series 2004-GEL1 Class A, 3.6744% 2/25/34 (e) | | 1,089,223 | | 1,089,202 |
|
| Principal
Amount | | Value |
Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 3.67% 3/15/11 (b)(e) | | $ 10,835,000 | | $ 10,838,386 |
Superior Wholesale Inventory Financing Trust XII Series 2005-A12 Class C, 4.46% 6/15/10 (e) | | 6,840,000 | | 6,840,000 |
Terwin Mortgage Trust: | | | | |
Series 2003-4HE Class A1, 3.7444% 9/25/34 (e) | | 3,402,166 | | 3,422,780 |
Series 2003-6HE Class A1, 3.7844% 11/25/33 (e) | | 1,904,581 | | 1,908,990 |
TOTAL ASSET-BACKED SECURITIES (Cost $2,214,914,059) | 2,222,787,493 |
Collateralized Mortgage Obligations - 16.5% |
|
Private Sponsor - 13.7% |
Adjustable Rate Mortgage Trust floater: | | | | |
Series 2004-2 Class 7A3, 3.7144% 2/25/35 (e) | | 9,898,941 | | 9,923,009 |
Series 2004-4 Class 5A2, 3.7144% 3/25/35 (e) | | 3,957,393 | | 3,965,687 |
Series 2005-1 Class 5A2, 3.6444% 5/25/35 (e) | | 6,540,369 | | 6,547,269 |
Series 2005-2: | | | | |
Class 6A2, 3.5944% 6/25/35 (e) | | 3,188,441 | | 3,189,812 |
Class 6M2, 3.7944% 6/25/35 (e) | | 10,145,000 | | 10,137,320 |
Series 2005-3 Class 8A2, 3.5544% 7/25/35 (e) | | 20,140,471 | | 20,131,811 |
Series 2005-4 Class 7A2, 3.5444% 8/25/35 (e) | | 9,473,014 | | 9,466,724 |
Bear Stearns Alt-A Trust floater: | | | | |
Series 2005-1 Class A1, 3.5944% 1/25/35 (e) | | 21,298,769 | | 21,298,769 |
Series 2005-2 Class 1A1, 3.5644% 3/25/35 (e) | | 15,519,718 | | 15,519,718 |
Series 2005-5 Class 1A1, 3.5344% 7/25/35 (e) | | 19,341,853 | | 19,329,764 |
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 3.7144% 5/25/33 (e) | | 5,853,248 | | 5,856,597 |
Countrywide Home Loans, Inc. floater: | | | | |
Series 2004-16 Class A1, 3.7144% 9/25/34 (e) | | 10,895,057 | | 10,885,139 |
Series 2005-1 Class 2A1, 3.6044% 3/25/35 (e) | | 15,142,009 | | 15,142,009 |
CS First Boston Mortgage Securities Corp. floater: | | | | |
Series 2004-AR2 Class 6A1, 3.7144% 3/25/34 (e) | | 5,700,913 | | 5,697,884 |
Series 2004-AR3 Class 6A2, 3.6844% 4/25/34 (e) | | 2,367,595 | | 2,370,062 |
Series 2004-AR4 Class 5A2, 3.6844% 5/25/34 (e) | | 2,191,758 | | 2,190,471 |
Collateralized Mortgage Obligations - continued |
| Principal
Amount | | Value |
Private Sponsor - continued |
CS First Boston Mortgage Securities Corp. floater: - continued | | | | |
Series 2004-AR5 Class 11A2, 3.6844% 6/25/34 (e) | | $ 3,322,162 | | $ 3,315,384 |
Series 2004-AR6 Class 9A2, 3.6844% 10/25/34 (e) | | 4,293,962 | | 4,297,783 |
Series 2004-AR7 Class 6A2, 3.6944% 8/25/34 (e) | | 6,286,136 | | 6,292,480 |
Series 2004-AR8 Class 8A2, 3.6944% 9/25/34 (e) | | 4,981,846 | | 4,991,204 |
First Horizon Mortgage Passthru Trust floater Series 2004-FL1 Class 2A1, 3.95% 12/25/34 (e) | | 4,804,970 | | 4,801,017 |
Granite Master Issuer PLC floater: | | | | |
Series 2005-1: | | | | |
Class A3, 3.51% 12/21/24 (e) | | 5,300,000 | | 5,299,835 |
Class B1, 3.56% 12/20/54 (e) | | 7,050,000 | | 7,048,073 |
Class M1, 3.66% 12/20/54 (e) | | 5,300,000 | | 5,298,551 |
Series 2005-2 Class C1, 3.7857% 12/20/54 (e) | | 7,975,000 | | 7,972,508 |
Granite Mortgages PLC floater: | | | | |
Series 2004-1: | | | | |
Class 1B, 3.64% 3/20/44 (e) | | 1,415,000 | | 1,415,382 |
Class 1C, 4.33% 3/20/44 (e) | | 4,075,000 | | 4,094,234 |
Class 1M, 3.84% 3/20/44 (e) | | 1,875,000 | | 1,877,288 |
Series 2004-2: | | | | |
Class 1A2, 3.5% 6/20/28 (e) | | 5,384,259 | | 5,384,385 |
Class 1B, 3.6% 6/20/44 (e) | | 1,018,055 | | 1,018,361 |
Class 1C, 4.13% 6/20/44 (e) | | 3,706,295 | | 3,725,493 |
Class 1M, 3.71% 6/20/44 (e) | | 2,722,846 | | 2,726,495 |
Series 2004-3: | | | | |
Class 1B, 3.59% 9/20/44 (e) | | 2,100,000 | | 2,100,630 |
Class 1C, 4.02% 9/20/44 (e) | | 5,415,000 | | 5,429,079 |
Class 1M, 3.7% 9/20/44 (e) | | 1,200,000 | | 1,200,720 |
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 3.48% 5/19/35 (e) | | 11,843,481 | | 11,841,704 |
Holmes Financing No. 7 PLC floater Series 2 Class M, 3.9406% 7/15/40 (e) | | 2,560,000 | | 2,565,639 |
Holmes Financing No. 8 PLC floater Series 2: | | | | |
Class A, 3.2206% 4/15/11 (e) | | 25,000,000 | | 24,997,070 |
Class B, 3.3106% 7/15/40 (e) | | 2,695,000 | | 2,696,684 |
Class C, 3.8606% 7/15/40 (e) | | 10,280,000 | | 10,328,193 |
Home Equity Asset Trust floater Series 2005-3 Class 2A1, 3.4044% 8/25/35 (e) | | 7,720,092 | | 7,717,405 |
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 3.7644% 10/25/34 (e) | | 4,663,233 | | 4,682,935 |
Impac CMB Trust floater: | | | | |
Series 2004-11 Class 2A2, 3.6844% 3/25/35 (e) | | 9,028,482 | | 9,026,719 |
Series 2004-6 Class 1A2, 3.7044% 10/25/34 (e) | | 3,733,563 | | 3,740,163 |
|
| Principal
Amount | | Value |
Series 2005-1: | | | | |
Class M1, 3.7744% 4/25/35 (e) | | $ 3,315,607 | | $ 3,312,110 |
Class M2, 3.8144% 4/25/35 (e) | | 5,804,648 | | 5,800,340 |
Class M3, 3.8444% 4/25/35 (e) | | 1,424,310 | | 1,422,808 |
Class M4, 4.0644% 4/25/35 (e) | | 840,577 | | 841,463 |
Class M5, 4.0844% 4/25/35 (e) | | 840,577 | | 840,412 |
Class M6, 4.1344% 4/25/35 (e) | | 1,344,922 | | 1,344,660 |
Series 2005-2 Class 1A2, 3.6244% 4/25/35 (e) | | 13,531,019 | | 13,520,448 |
Series 2005-3 Class A1, 3.5544% 8/25/35 (e) | | 15,557,852 | | 15,530,504 |
Series 2005-4 Class 1B1, 4.6144% 6/25/35 (e) | | 5,470,241 | | 5,466,822 |
MASTR Adjustable Rate Mortgages Trust: | | | | |
floater Series 2005-1 Class 1A1, 3.5844% 3/25/35 (e) | | 14,197,414 | | 14,188,541 |
Series 2004-6 Class 4A2, 4.1762% 7/25/34 (e) | | 5,969,000 | | 5,950,399 |
Merrill Lynch Mortgage Investors, Inc. floater: | | | | |
Series 2003-A Class 2A1, 3.7044% 3/25/28 (e) | | 8,594,284 | | 8,647,315 |
Series 2003-B Class A1, 3.6544% 4/25/28 (e) | | 8,264,666 | | 8,316,147 |
Series 2003-D Class A, 3.6244% 8/25/28 (e) | | 7,940,746 | | 7,962,172 |
Series 2003-E Class A2, 3.4425% 10/25/28 (e) | | 11,077,109 | | 11,069,919 |
Series 2003-F Class A2, 3.7075% 10/25/28 (e) | | 13,438,427 | | 13,451,811 |
Series 2004-A Class A2, 3.6175% 4/25/29 (e) | | 12,340,053 | | 12,317,108 |
Series 2004-B Class A2, 3.79% 6/25/29 (e) | | 9,436,003 | | 9,418,862 |
Series 2004-C Class A2, 3.95% 7/25/29 (e) | | 13,726,770 | | 13,705,717 |
Series 2004-D Class A2, 3.4725% 9/25/29 (e) | | 10,731,883 | | 10,732,010 |
Series 2004-E: | | | | |
Class A2B, 3.7275% 11/25/29 (e) | | 8,929,924 | | 8,913,824 |
Class A2D, 3.9175% 11/25/29 (e) | | 2,076,726 | | 2,086,055 |
Series 2004-G Class A2, 3.95% 11/25/29 (e) | | 4,011,084 | | 4,019,179 |
Series 2005-A Class A2, 3.38% 2/25/30 (e) | | 11,320,773 | | 11,312,099 |
Mortgage Asset Backed Securities Trust floater Series 2002-NC1: | | | | |
Class A2, 3.7544% 10/25/32 (e) | | 333,632 | | 333,706 |
Class M1, 4.1644% 10/25/32 (e) | | 5,000,000 | | 5,019,399 |
Collateralized Mortgage Obligations - continued |
| Principal
Amount | | Value |
Private Sponsor - continued |
MortgageIT Trust floater: | | | | |
Series 2004-2: | | | | |
Class A1, 3.6844% 12/25/34 (e) | | $ 5,056,789 | | $ 5,064,451 |
Class A2, 3.7644% 12/25/34 (e) | | 6,841,002 | | 6,882,304 |
Series 2005-2 Class 1A1, 3.5744% 5/25/35 (e) | | 5,209,705 | | 5,205,840 |
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 3.53% 6/25/35 (e) | | 19,225,000 | | 19,225,000 |
Permanent Financing No. 1 PLC floater Series 1 Class 2C, 4.5594% 6/10/42 (e) | | 1,745,000 | | 1,748,929 |
Permanent Financing No. 3 PLC floater Series 2 Class C, 4.4294% 6/10/42 (e) | | 4,845,000 | | 4,893,450 |
Permanent Financing No. 4 PLC floater Series 2 Class C, 4.0994% 6/10/42 (e) | | 15,400,000 | | 15,475,485 |
Permanent Financing No. 5 PLC floater: | | | | |
Series 2 Class C, 4.0294% 6/10/42 (e) | | 4,215,000 | | 4,236,075 |
Series 3 Class C, 4.1994% 6/10/42 (e) | | 8,890,000 | | 8,978,900 |
Permanent Financing No. 6 PLC floater Series 6: | | | | |
Class 1C, 3.7294% 6/10/42 (e) | | 4,000,000 | | 4,000,625 |
Class 2C, 3.8294% 6/10/42 (e) | | 5,350,000 | | 5,348,537 |
Permanent Financing No. 7 PLC floater Series 7: | | | | |
Class 1B, 3.4694% 6/10/42 (e) | | 2,000,000 | | 1,999,375 |
Class 1C, 3.6594% 6/10/42 (e) | | 3,840,000 | | 3,838,800 |
Class 2C, 3.7094% 6/10/42 (e) | | 8,065,000 | | 8,054,919 |
Permanent Financing No. 8 PLC floater Series 8: | | | | |
Class 1C, 3.7475% 6/10/42 (e) | | 7,165,000 | | 7,165,000 |
Class 2C, 3.8175% 6/10/42 (e) | | 9,945,000 | | 9,945,000 |
Residential Asset Mortgage Products, Inc. sequential pay Series 2003-SL1 Class A31, 7.125% 4/25/31 | | 4,835,186 | | 4,945,893 |
Residential Finance LP/Residential Finance Development Corp. floater Series 2003-A: | | | | |
Class B4, 4.99% 3/10/35 (b)(e) | | 5,501,525 | | 5,584,048 |
Class B5, 5.54% 3/10/35 (b)(e) | | 5,693,563 | | 5,825,462 |
Residential Funding Securities Corp.: | | | | |
Series 2003-RP1 Class A1, 3.8144% 11/25/34 (e) | | 3,214,871 | | 3,227,670 |
Series 2003-RP2 Class A1, 3.76438% 6/25/33 (b)(e) | | 4,086,281 | | 4,101,563 |
Sequoia Mortgage Trust floater: | | | | |
Series 2003-5 Class A2, 3.41% 9/20/33 (e) | | 11,915,714 | | 11,905,052 |
Series 2003-7 Class A2, 2.885% 1/20/34 (e) | | 10,431,577 | | 10,428,108 |
|
| Principal
Amount | | Value |
Series 2004-1 Class A, 3.2025% 2/20/34 (e) | | $ 6,749,575 | | $ 6,741,869 |
Series 2004-10 Class A4, 3.6681% 11/20/34 (e) | | 11,089,730 | | 11,086,393 |
Series 2004-3 Class A, 3.5463% 5/20/34 (e) | | 11,391,136 | | 11,323,447 |
Series 2004-4 Class A, 3.5881% 5/20/34 (e) | | 14,399,179 | | 14,372,476 |
Series 2004-5 Class A3, 3.77% 6/20/34 (e) | | 9,724,742 | | 9,730,820 |
Series 2004-6: | | | | |
Class A3A, 3.0175% 6/20/35 (e) | | 8,890,305 | | 8,893,561 |
Class A3B, 3.16% 7/20/34 (e) | | 1,111,288 | | 1,111,499 |
Series 2004-7: | | | | |
Class A3A, 3.2275% 8/20/34 (e) | | 8,266,938 | | 8,253,658 |
Class A3B, 3.4525% 7/20/34 (e) | | 1,487,592 | | 1,492,020 |
Series 2004-8 Class A2, 3.45% 9/20/34 (e) | | 15,041,009 | | 15,030,468 |
Series 2005-1 Class A2, 3.1688% 2/20/35 (e) | | 7,904,171 | | 7,903,183 |
Series 2005-2 Class A2, 3.36% 3/20/35 (e) | | 14,409,586 | | 14,409,586 |
Series 2005-3 Class A1, 3.29% 5/20/35 (e) | | 9,524,697 | | 9,524,697 |
Structured Adjustable Rate Mortgage Loan Trust floater Series 2001-14 Class A1, 3.6244% 7/25/35 (e) | | 11,359,849 | | 11,359,849 |
Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 3.7144% 9/25/33 (b)(e) | | 2,679,939 | | 2,681,604 |
Thornburg Mortgage Securities Trust floater Series 2004-3 Class A, 3.6844% 9/25/34 (e) | | 22,937,610 | | 22,994,154 |
WAMU Mortgage pass thru certificates floater Series 2005-AR6 Class 2A-1A, 3.32% 4/25/45 (e) | | 6,196,915 | | 6,196,846 |
Wells Fargo Mortgage Backed Securities Trust: | | | | |
Series 2004-M Class A3, 4.7061% 8/25/34 (e) | | 19,880,000 | | 19,814,279 |
Series 2005-AR12 Class 2A1, 4.322% 7/25/35 (e) | | 33,270,000 | | 33,134,781 |
TOTAL PRIVATE SPONSOR | | 887,196,965 |
U.S. Government Agency - 2.8% |
Fannie Mae: | | | | |
floater: | | | | |
Series 2000-38 Class F, 3.76% 11/18/30 (e) | | 1,127,706 | | 1,136,608 |
Series 2000-40 Class FA, 3.8144% 7/25/30 (e) | | 2,594,547 | | 2,605,963 |
Series 2002-89 Class F, 3.6144% 1/25/33 (e) | | 3,790,778 | | 3,796,629 |
target amortization class Series G94-2 Class D, 6.45% 1/25/24 | | 4,918,251 | | 5,066,631 |
Collateralized Mortgage Obligations - continued |
| Principal
Amount | | Value |
U.S. Government Agency - continued |
Fannie Mae guaranteed REMIC pass thru certificates: | | | | |
floater: | | | | |
Series 2001-34 Class FR, 3.66% 8/18/31 (e) | | $ 2,564,476 | | $ 2,573,571 |
Series 2001-44 Class FB, 3.6144% 9/25/31 (e) | | 2,342,006 | | 2,349,733 |
Series 2001-46 Class F, 3.66% 9/18/31 (e) | | 6,744,977 | | 6,786,575 |
Series 2002-11 Class QF, 3.8144% 3/25/32 (e) | | 4,705,954 | | 4,743,656 |
Series 2002-36 Class FT, 3.8144% 6/25/32 (e) | | 1,544,949 | | 1,558,856 |
Series 2002-64 Class FE, 3.61% 10/18/32 (e) | | 2,343,592 | | 2,353,349 |
Series 2002-65 Class FA, 3.6144% 10/25/17 (e) | | 2,730,892 | | 2,735,932 |
Series 2002-74 Class FV, 3.7644% 11/25/32 (e) | | 8,632,464 | | 8,699,480 |
Series 2003-11: | | | | |
Class DF, 3.7644% 2/25/33 (e) | | 3,245,663 | | 3,269,974 |
Class EF, 3.7644% 2/25/33 (e) | | 2,682,370 | | 2,694,472 |
Series 2003-63 Class F1, 3.6144% 11/25/27 (e) | | 6,495,420 | | 6,501,538 |
planned amortization class: | | | | |
Series 1998-63 Class PG, 6% 3/25/27 | | 1,386,143 | | 1,386,473 |
Series 2001-56 Class KD, 6.5% 7/25/30 | | 100,829 | | 100,599 |
Series 2001-62 Class PG, 6.5% 10/25/30 | | 4,845,309 | | 4,865,548 |
Series 2001-76 Class UB, 5.5% 10/25/13 | | 1,758,412 | | 1,761,629 |
Series 2002-16 Class QD, 5.5% 6/25/14 | | 388,840 | | 390,560 |
Series 2002-28 Class PJ, 6.5% 3/25/31 | | 5,566,508 | | 5,577,635 |
Series 2002-8 Class PD, 6.5% 7/25/30 | | 4,158,342 | | 4,182,068 |
Freddie Mac: | | | | |
floater Series 2510 Class FE, 3.62% 10/15/32 (e) | | 6,204,151 | | 6,242,139 |
planned amortization class: | | | | |
Series 2091 Class PP, 6% 2/15/27 | | 1,943,329 | | 1,944,363 |
Series 2353 Class PC, 6.5% 9/15/15 | | 1,586,624 | | 1,592,341 |
Freddie Mac Manufactured Housing participation certificates guaranteed floater Series 2338 Class FJ, 3.42% 7/15/31 (e) | | 5,372,860 | | 5,370,901 |
|
| Principal
Amount | | Value |
Freddie Mac Multi-class participation certificates guaranteed: | | | | |
floater: | | | | |
Series 2474 Class FJ, 3.57% 7/15/17 (e) | | $ 4,702,504 | | $ 4,721,471 |
Series 2526 Class FC, 3.62% 11/15/32 (e) | | 3,774,187 | | 3,790,590 |
Series 2538 Class FB, 3.62% 12/15/32 (e) | | 6,827,624 | | 6,868,303 |
Series 2551 Class FH, 3.67% 1/15/33 (e) | | 3,426,715 | | 3,441,696 |
planned amortization class: | | | | |
Series 2136 Class PE, 6% 1/15/28 | | 13,125,616 | | 13,203,789 |
Series 2394 Class ND, 6% 6/15/27 | | 1,879,305 | | 1,885,099 |
Series 2395 Class PE, 6% 2/15/30 | | 6,545,234 | | 6,598,462 |
Series 2398 Class DK, 6.5% 1/15/31 | | 464,116 | | 465,236 |
Series 2410 Class ML, 6.5% 12/15/30 | | 2,521,384 | | 2,536,692 |
Series 2420 Class BE, 6.5% 12/15/30 | | 3,237,712 | | 3,252,158 |
Series 2443 Class TD, 6.5% 10/15/30 | | 3,491,877 | | 3,514,935 |
Series 2461 Class PG, 6.5% 1/15/31 | | 3,191,720 | | 3,239,313 |
Series 2466 Class EC, 6% 10/15/27 | | 528,496 | | 527,856 |
Series 2483 Class DC, 5.5% 7/15/14 | | 3,004,894 | | 3,008,684 |
Series 2556 Class PM, 5.5% 2/15/16 | | 1,805,219 | | 1,805,108 |
Series 2557 Class MA, 4.5% 7/15/16 | | 214,062 | | 213,776 |
Series 2776 Class UJ, 4.5% 5/15/20 (f) | | 7,316,479 | | 372,984 |
Series 2828 Class JA, 4.5% 1/15/10 | | 11,880,000 | | 11,943,803 |
sequential pay: | | | | |
Series 2430 Class ZE, 6.5% 8/15/27 | | 792,044 | | 793,009 |
Series 2480 Class QW, 5.75% 2/15/30 | | 1,234,119 | | 1,234,219 |
Ginnie Mae guaranteed REMIC pass thru securities floater: | | | | |
Series 2001-46 Class FB, 3.5863% 5/16/23 (e) | | 3,071,343 | | 3,084,469 |
Series 2001-50 Class FV, 3.4363% 9/16/27 (e) | | 9,323,822 | | 9,323,255 |
Series 2002-24 Class FX, 3.7863% 4/16/32 (e) | | 2,722,359 | | 2,749,802 |
Collateralized Mortgage Obligations - continued |
| Principal
Amount | | Value |
U.S. Government Agency - continued |
Ginnie Mae guaranteed REMIC pass thru securities floater: | | | | |
Series 2002-31 Class FW, 3.6363% 6/16/31 (e) | | $ 3,737,581 | | $ 3,759,211 |
Series 2002-5 Class KF, 3.6363% 8/16/26 (e) | | 699,687 | | 700,551 |
TOTAL U.S. GOVERNMENT AGENCY | | 183,321,694 |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $1,071,448,706) | 1,070,518,659 |
Commercial Mortgage Securities - 5.8% |
|
1301 Avenue of The Americas Trust Series 2000-1301: | | | | |
Class C, 7.44% 8/3/10 (b)(e) | | 5,025,000 | | 5,040,702 |
Class D, 7.54% 8/3/10 (b)(e) | | 6,695,000 | | 6,716,211 |
Banc of America Large Loan, Inc. floater: | | | | |
Series 2003-BBA2 Class A3, 3.54% 11/15/15 (b)(e) | | 5,038,226 | | 5,042,176 |
Series 2005-BOCA: | | | | |
Class H, 4.17% 12/15/16 (b)(e) | | 2,065,000 | | 2,063,412 |
Class J, 4.32% 12/15/16 (b)(e) | | 1,020,000 | | 1,019,216 |
Class K, 4.57% 12/15/16 (b)(e) | | 6,659,000 | | 6,653,890 |
Bayview Commercial Asset Trust floater: | | | | |
Series 2003-1 Class A, 3.8944% 8/25/33 (b)(e) | | 6,791,715 | | 6,846,898 |
Series 2003-2: | | | | |
Class A, 3.8944% 12/25/33 (b)(e) | | 14,008,794 | | 14,140,127 |
Class M1, 4.1644% 12/25/33 (b)(e) | | 2,279,706 | | 2,314,614 |
Series 2004-1: | | | | |
Class A, 3.6744% 4/25/34 (b)(e) | | 6,501,617 | | 6,497,046 |
Class B, 5.2144% 4/25/34 (b)(e) | | 675,493 | | 679,715 |
Class M1, 3.8744% 4/25/34 (b)(e) | | 591,056 | | 592,349 |
Class M2, 4.5144% 4/25/34 (b)(e) | | 506,620 | | 510,023 |
Series 2004-2: | | | | |
Class A, 3.7444% 8/25/34 (b)(e) | | 6,388,504 | | 6,407,720 |
Class M1, 3.8944% 8/25/34 (b)(e) | | 2,059,930 | | 2,068,137 |
Series 2004-3: | | | | |
Class A1, 3.6844% 1/25/35 (b)(e) | | 6,670,117 | | 6,682,502 |
Class A2, 3.7344% 1/25/35 (b)(e) | | 927,050 | | 928,770 |
|
| Principal
Amount | | Value |
Class M1, 3.8144% 1/25/35 (b)(e) | | $ 1,111,686 | | $ 1,112,918 |
Class M2, 4.3144% 1/25/35 (b)(e) | | 725,013 | | 727,250 |
Series 2005-2A: | | | | |
Class M1, 3.73% 8/25/35 (b)(e) | | 1,300,000 | | 1,300,000 |
Class M2, 3.78% 8/25/35 (b)(e) | | 2,140,000 | | 2,140,000 |
Class M3, 3.8% 8/25/35 (b)(e) | | 1,185,000 | | 1,185,000 |
Class M4, 3.91% 8/25/35 (b)(e) | | 1,090,000 | | 1,090,000 |
Bear Stearns Commercial Mortgage Securities, Inc. floater: | | | | |
Series 2003-BA1A: | | | | |
Class JFCM, 4.8163% 4/14/15 (b)(e) | | 1,344,296 | | 1,351,164 |
Class JMM, 4.7163% 4/14/15 (b)(e) | | 1,384,053 | | 1,385,546 |
Class KFCM, 5.0663% 4/14/15 (b)(e) | | 1,436,661 | | 1,444,386 |
Class KMM, 4.9663% 4/14/15 (b)(e) | | 1,253,767 | | 1,255,355 |
Class LFCM, 5.4663% 4/14/15 (b)(e) | | 1,601,905 | | 1,603,407 |
Class MFCM, 5.7663% 4/14/15 (b)(e) | | 2,218,251 | | 2,220,331 |
Series 2004-BBA3 Class E, 3.92% 6/15/17 (b)(e) | | 10,415,000 | | 10,417,439 |
Series 2004-ESA Class A2, 3.5563% 5/14/16 (b)(e) | | 6,565,000 | | 6,579,102 |
Series 2004-HS2A: | | | | |
Class E, 4.1163% 1/14/16 (b)(e) | | 1,725,000 | | 1,729,026 |
Class F, 4.2663% 1/14/16 (b)(e) | | 1,125,000 | | 1,127,624 |
Chase Commercial Mortgage Securities Corp. floater Series 2000-FL1A: | | | | |
Class B, 3.66% 12/12/13 (b)(e) | | 896,672 | | 897,707 |
Class C, 4.01% 12/12/13 (b)(e) | | 1,793,345 | | 1,802,130 |
COMM floater: | | | | |
Series 2001-FL5A Class E, 4.72% 11/15/13 (b)(e) | | 3,049,546 | | 3,048,543 |
Series 2002-FL6: | | | | |
Class F, 4.67% 6/14/14 (b)(e) | | 11,163,000 | | 11,195,041 |
Class G, 5.12% 6/14/14 (b)(e) | | 5,000,000 | | 5,002,821 |
Series 2002-FL7 Class A2, 3.57% 11/15/14 (b)(e) | | 942,949 | | 943,093 |
Series 2003-FL9 Class B, 3.72% 11/15/15 (b)(e) | | 11,685,731 | | 11,717,735 |
Commercial Mortgage pass thru certificates floater: | | | | |
Series 2004-CNL: | | | | |
Class A2, 3.52% 9/15/14 (b)(e) | | 3,570,000 | | 3,574,097 |
Class G, 4.2% 9/15/14 (b)(e) | | 1,345,000 | | 1,346,535 |
Commercial Mortgage Securities - continued |
| Principal
Amount | | Value |
Commercial Mortgage pass thru certificates floater: - continued | | | | |
Series 2004-CNL: | | | | |
Class H, 4.3% 9/15/14 (b)(e) | | $ 1,430,000 | | $ 1,431,631 |
Class J, 4.82% 9/15/14 (b)(e) | | 490,000 | | 490,557 |
Class K, 5.22% 9/15/14 (b)(e) | | 770,000 | | 770,872 |
Class L, 5.42% 9/15/14 (b)(e) | | 625,000 | | 624,966 |
Series 2004-HTL1: | | | | |
Class B, 3.67% 7/15/16 (b)(e) | | 495,920 | | 496,354 |
Class D, 3.77% 7/15/16 (b)(e) | | 1,126,858 | | 1,127,147 |
Class E, 3.97% 7/15/16 (b)(e) | | 806,607 | | 807,020 |
Class F, 4.02% 7/15/16 (b)(e) | | 853,603 | | 854,271 |
Class H, 4.52% 7/15/16 (b)(e) | | 2,475,018 | | 2,477,461 |
Class J, 4.67% 7/15/16 (b)(e) | | 951,356 | | 952,294 |
Class K, 5.57% 7/15/16 (b)(e) | | 1,070,893 | | 1,070,834 |
Commercial Mortgage Pass-Through Certificates floater Series 2005-F10A: | | | | |
Class B, 3.45% 4/15/17 (b)(e) | | 7,080,000 | | 7,080,000 |
Class C, 3.49% 4/15/17 (b)(e) | | 3,006,000 | | 3,006,000 |
Class D, 3.53% 4/15/17 (b)(e) | | 2,440,000 | | 2,440,000 |
Class E, 3.59% 4/15/17 (b)(e) | | 1,821,000 | | 1,821,000 |
Class F, 3.63% 4/15/17 (b)(e) | | 1,035,000 | | 1,035,000 |
Class G, 3.77% 4/15/17 (b)(e) | | 1,035,000 | | 1,035,000 |
Class H, 3.84% 4/15/17 (b)(e) | | 1,035,000 | | 1,035,000 |
Class I, 4.07% 4/15/17 (b)(e) | | 335,000 | | 335,000 |
Class MOA3, 3.52% 3/15/20 (b)(e) | | 4,590,000 | | 4,590,000 |
CS First Boston Mortgage Securities Corp.: | | | | |
floater: | | | | |
Series 2001-TFLA Class G, 4.97% 12/15/11 (b)(e) | | 3,720,000 | | 3,699,834 |
Series 2002-TFLA Class C, 3.82% 11/18/12 (b)(e) | | 3,675,000 | | 3,674,868 |
Series 2003-TF2A Class A2, 3.54% 11/15/14 (b)(e) | | 9,500,000 | | 9,503,999 |
Series 2004-FL1 Class B, 3.67% 5/15/14 (b)(e) | | 11,230,000 | | 11,237,131 |
Series 2004-HC1: | | | | |
Class A2, 3.72% 12/15/21 (b)(e) | | 1,475,000 | | 1,474,997 |
Class B, 3.97% 12/15/21 (b)(e) | | 3,835,000 | | 3,834,958 |
Series 2004-TF2A Class E, 3.64% 11/15/19 (b)(e) | | 4,450,000 | | 4,457,120 |
Series 2004-TFL1: | | | | |
Class A2, 3.41% 2/15/14 (b)(e) | | 7,005,000 | | 7,007,892 |
Class E, 3.77% 2/15/14 (b)(e) | | 2,800,000 | | 2,807,098 |
Class F, 3.82% 2/15/14 (b)(e) | | 2,325,000 | | 2,331,334 |
Class G, 4.07% 2/15/14 (b)(e) | | 1,875,000 | | 1,881,806 |
Class H, 4.32% 2/15/14 (b)(e) | | 1,400,000 | | 1,405,143 |
|
| Principal
Amount | | Value |
Class J, 4.62% 2/15/14 (b)(e) | | $ 750,000 | | $ 754,577 |
Series 2005-TF2A Class F, 3.72% 11/15/19 (b)(e) | | 1,540,000 | | 1,542,462 |
Series 2005-TFLA: | | | | |
Class C, 3.46% 2/15/20 (b)(e) | | 5,650,000 | | 5,649,989 |
Class E, 3.55% 2/15/20 (b)(e) | | 2,055,000 | | 2,054,996 |
Class F, 3.6% 2/15/20 (b)(e) | | 1,745,000 | | 1,744,997 |
Class G, 3.74% 2/15/20 (b)(e) | | 505,000 | | 504,999 |
Class H, 3.97% 2/15/20 (b)(e) | | 715,000 | | 714,999 |
sequential pay Series 1997-C2 Class A2, 6.52% 1/17/35 | | 538,310 | | 543,883 |
Series 2003-TFLA Class G, 3.735% 4/15/13 (b)(e) | | 446,933 | | 445,329 |
GMAC Commercial Mortgage Securities, Inc. floater Series 2001-FL1A Class E, 3.94% 2/11/11 (b)(e) | | 331,546 | | 331,161 |
Greenwich Capital Commercial Funding Corp. floater Series 2003-FL1 Class MCH, 6.34% 7/5/18 (b)(e) | | 1,995,146 | | 1,995,146 |
ISTAR Asset Receivables Trust floater Series 2002-1A Class A2, 3.7% 5/28/20 (b)(e) | | 2,781,325 | | 2,781,734 |
John Hancock Tower Mortgage Trust floater Series 2003-C5A Class B, 5.5785% 4/10/15 (b)(e) | | 8,245,000 | | 8,150,339 |
JP Morgan Chase Commercial Mortgage Security Corp.: | | | | |
floater Series 2005-FL1A: | | | | |
Class WH, 3.97% 6/15/19 (b)(e) | | 3,325,000 | | 3,324,701 |
Class WJ, 4.17% 6/15/19 (b)(e) | | 2,045,000 | | 2,044,816 |
Class WK, 4.57% 6/15/19 (b)(e) | | 3,065,000 | | 3,064,724 |
Series 2005-FL1A Class WX1, 1.2068% 6/15/19 (b)(e)(f) | | 240,000,000 | | 2,448,000 |
Lehman Brothers Floating Rate Commercial Mortgage Trust floater: | | | | |
Series 2003-C4A: | | | | |
Class F, 5.34% 7/11/15 (b)(e) | | 813,387 | | 813,371 |
Class H, 6.21% 7/11/15 (b)(e) | | 8,267,264 | | 8,287,932 |
Series 2003-LLFA: | | | | |
Class A2, 3.6063% 12/16/14 (b)(e) | | 11,700,000 | | 11,709,247 |
Class B, 3.8163% 12/16/14 (b)(e) | | 4,615,000 | | 4,628,090 |
Class C, 3.9163% 12/16/14 (b)(e) | | 4,982,000 | | 4,999,638 |
Morgan Stanley Dean Witter Capital I Trust floater Series 2002-XLF Class F, 5.24% 8/5/14 (b)(e) | | 7,604,857 | | 7,604,835 |
Commercial Mortgage Securities - continued |
| Principal
Amount | | Value |
Salomon Brothers Mortgage Securities VII, Inc.: | | | | |
floater: | | | | |
Series 2001-CDCA: | | | | |
Class C, 4.02% 2/15/13 (b)(e) | | $ 10,495,000 | | $ 10,250,561 |
Class D, 4.02% 2/15/13 (b)(e) | | 4,000,000 | | 3,869,390 |
Series 2003-CDCA: | | | | |
Class HEXB, 5.12% 2/15/15 (b)(e) | | 770,000 | | 770,963 |
Class JEXB, 5.32% 2/15/15 (b)(e) | | 1,300,000 | | 1,301,625 |
Class KEXB, 5.72% 2/15/15 (b)(e) | | 960,000 | | 961,200 |
Series 2000-NL1 Class E, 6.8307% 10/15/30 (b)(e) | | 3,681,529 | | 3,697,989 |
SDG Macerich Properties LP floater Series 2000-1 Class A3, 3.56% 5/15/09 (b)(e) | | 18,000,000 | | 18,011,858 |
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 3.78% 3/24/18 (b)(e) | | 7,403,405 | | 7,403,405 |
Wachovia Bank Commercial Mortgage Trust floater: | | | | |
Series 2004-WHL3: | | | | |
Class A2, 3.4% 3/15/14 (b)(e) | | 3,510,000 | | 3,511,739 |
Class E, 3.72% 3/15/14 (b)(e) | | 2,190,000 | | 2,193,358 |
Class F, 3.77% 3/15/14 (b)(e) | | 1,755,000 | | 1,757,646 |
Class G, 3.87% 3/15/14 (b)(e) | | 875,000 | | 877,050 |
Series 2005-WL5A: | | | | |
Class KHP1, 3.57% 1/15/18 (b)(e) | | 1,745,000 | | 1,745,000 |
Class KHP2, 3.77% 1/15/18 (b)(e) | | 1,745,000 | | 1,745,000 |
Class KHP3, 4.07% 1/15/18 (b)(e) | | 2,060,000 | | 2,060,000 |
Class KHP4, 4.17% 1/15/18 (b)(e) | | 1,600,000 | | 1,600,000 |
Class KHP5, 4.37% 1/15/18 (b)(e) | | 1,855,000 | | 1,855,000 |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $376,893,035) | 376,948,094 |
Cash Equivalents - 39.9% |
| | Maturity
Amount | | Value |
Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.42%, dated 6/30/05 due 7/1/05) (h) | | $ 1,924,917,068 | | $ 1,924,734,000 |
With: | | | |
Banc of America Securities LLC at 3.49%, dated 6/30/05 due 7/1/05 (Collateralized by Mortgage Loan Obligations valued at $160,512,225, 1.87%- 7.06%, 8/25/18 - 7/10/39) | | 153,014,833 | | 153,000,000 |
Goldman Sachs & Co. at 3.54%, dated 5/24/05 due 7/1/05 (Collateralized by Mortgage Loan Obligations valued at $272,866,345, 2.15%- 7%, 2/15/24 - 1/1/46) (e)(g) | | 265,990,217 | | 265,000,000 |
Wachovia Securities, Inc. at 3.51%, dated 6/30/05 due 7/1/05 (Collateralized by Mortgage Loan Obligations valued at $255,000,000, 3.57%- 8.45%, 1/25/34 - 4/25/45) | | 250,024,375 | | 250,000,000 |
TOTAL CASH EQUIVALENTS (Cost $2,592,734,000) | | 2,592,734,000 |
TOTAL INVESTMENT PORTFOLIO - 100.3% (Cost $6,507,517,160) | | | | 6,514,138,773 |
NET OTHER ASSETS - (0.3)% | | | (19,378,753) |
NET ASSETS - 100% | | $ 6,494,760,020 |
Futures Contracts |
| Expiration
Date | | Underlying
Face Amount
at Value | | Unrealized
Appreciation/
(Depreciation) |
Sold |
Eurodollar Contracts |
73 Eurodollar 90 Day Index Contracts | Dec. 2005 | | $ 72,275,475 | | $ (19,032) |
49 Eurodollar 90 Day Index Contracts | March 2006 | | 48,511,225 | | (18,514) |
32 Eurodollar 90 Day Index Contracts | June 2006 | | 31,679,600 | | (17,753) |
27 Eurodollar 90 Day Index Contracts | Sept. 2006 | | 26,728,650 | | (13,683) |
26 Eurodollar 90 Day Index Contracts | Dec. 2006 | | 25,737,075 | | (15,154) |
24 Eurodollar 90 Day Index Contracts | March 2007 | | 23,756,700 | | (14,671) |
17 Eurodollar 90 Day Index Contracts | June 2007 | | 16,826,600 | | (12,943) |
16 Eurodollar 90 Day Index Contracts | Sept. 2007 | | 15,836,000 | | (12,089) |
15 Eurodollar 90 Day Index Contracts | Dec. 2007 | | 14,844,938 | | (11,097) |
15 Eurodollar 90 Day Index Contracts | March 2008 | | 14,844,375 | | (11,485) |
8 Eurodollar 90 Day Index Contracts | June 2008 | | 7,916,400 | | (1,082) |
7 Eurodollar 90 Day Index Contracts | Sept. 2008 | | 6,926,238 | | (466) |
TOTAL EURODOLLAR CONTRACTS | | (147,969) |
Swap Agreements |
| | | Notional
Amount | | Value |
Credit Default Swap |
Receive from Citibank, upon default event of DaimlerChrysler NA Holding Corp., par value of the notional amount of DaimlerChrysler NA Holding Corp. 6.5% 11/15/13, and pay quarterly notional amount multiplied by .8% | June 2007 | | $ 14,000,000 | | $ (101,594) |
Receive quarterly notional amount multiplied by 1.12% and pay Morgan Stanley, Inc. upon default of Comcast Cable Communications, Inc., par value of the notional amount of Comcast Cable Communications, Inc. 6.75% 1/30/11 | June 2006 | | 10,000,000 | | 96,896 |
TOTAL CREDIT DEFAULT SWAP | 24,000,000 | | (4,698) |
Swap Agreements |
| | | Notional
Amount | | Value |
Total Return Swap |
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 25 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc. | Dec. 2005 | | $ 30,000,000 | | $ 41,664 |
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 25 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 10 basis point with Lehman Brothers, Inc. | Oct. 2005 | | 48,200,000 | | 0 |
TOTAL TOTAL RETURN SWAP | 78,200,000 | | 41,664 |
| | $ 102,200,000 | | $ 36,966 |
Legend |
(a) Debt obligation initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $570,038,673 or 8.8% of net assets. |
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $991,693. |
(e) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(f) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
(g) The maturity amount is based on the rate at period end. |
(h) Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement/
Counterparty | Value |
$1,924,734,000 due 7/1/05 at 3.42% | |
Banc of America, National Association | $140,910,856 |
Bank of America Securities LLC. | 553,075,109 |
Barclays Capital Inc. | 352,277,139 |
Countrywide Securities Corporation | 140,910,856 |
Credit Suisse First Boston LLC | 105,683,142 |
Goldman Sachs & Co. | 35,227,714 |
Morgan Stanley & Co. Incorporated. | 406,880,096 |
UBS Securities LLC | 140,910,856 |
WestLB AG | 48,858,232 |
| $ 1,924,734,000 |
Income Tax Information |
At June 30, 2005, the aggregate cost of investment securities for income tax purposes was $6,507,125,706. Net unrealized appreciation aggregated $7,013,067, of which $11,548,754 related to appreciated investment securities and $4,535,687 related to depreciated investment securities. |
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Asset Manager: Growth, Balanced,
Asset Manager and High Income Portfolios
Fidelity Investments Money Management, Inc.
Asset Manager: Growth, Balanced,
Investment Grade Bond, Money Market, and
Asset Manager Portfolios
Fidelity Management & Research (U.K.) Inc.
Asset Manager: Growth, Balanced, Asset Manager
and High Income Portfolios
Fidelity Management & Research (Far East) Inc.
Asset Manager: Growth, Balanced, Asset Manager,
and High Income Portfolios
Fidelity Investments Japan Limited
Asset Manager: Growth, Balanced, Asset Manager,
and High Income Portfolios
Fidelity International Investment Advisors
Asset Manager: Growth, Balanced, Investment
Grade Bond, Money Market, Asset Manager, and
High Income Portfolios
Fidelity International Investment Advisors (U.K.) Limited
Asset Manager: Growth, Balanced, Investment Grade Bond,
Money Market, Asset Manager, and High Income Portfolios
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York, New York, NY
Investment Grade Bond, Money Market, and High Income Portfolios
JPMorgan Chase Bank, New York, NY
Asset Manager: Growth, Balanced, and Asset Manager Portfolios
VIPGRP2-SANN-0805
1.803535.101
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. Schedule of Investments
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 Variable Insurance Products Fund II's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Variable Insurance Products Fund II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Variable Insurance Products Fund II
By: | /s/Christine Reynolds |
| Christine Reynolds |
| President and Treasurer |
| |
Date: | August 19, 2005 |
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/Christine Reynolds |
| Christine Reynolds |
| President and Treasurer |
| |
Date: | August 19, 2005 |
By: | /s/Timothy F. Hayes |
| Timothy F. Hayes |
| Chief Financial Officer |
| |
Date: | August 19, 2005 |
