N-CSRS 1 Main.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-4707

Fidelity Advisor Series II
 (Exact name of registrant as specified in charter)

245 Summer St., Boston, Massachusetts 02210
 (Address of principal executive offices)       (Zip code)

Scott C. Goebel, Secretary

245 Summer St.,

Boston, Massachusetts 02210
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:

December 31

 

 

Date of reporting period:

June 30, 2015

Item 1. Reports to Stockholders

Contents Shareholder Expense Example Investment Changes (Unaudited) Investments June 30, 2015 (Unaudited) Financial Statements Notes to Financial Statements

(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®

Strategic Income
Fund - Institutional Class

(To be renamed Class I effective July 1, 2015)

Semiannual Report

June 30, 2015

(Fidelity Cover Art)

Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2015 FMR LLC. All rights reserved.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.

NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2015 to June 30, 2015).

Actual Expenses

The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio B

Beginning
Account Value
January 1, 2015

Ending
Account Value
June 30, 2015

Expenses Paid
During Period*
January 1, 2015
to June 30, 2015

Class A

1.00%

 

 

 

Actual

 

$ 1,000.00

$ 1,014.50

$ 4.99

HypotheticalA

 

$ 1,000.00

$ 1,019.84

$ 5.01

Class T

1.00%

 

 

 

Actual

 

$ 1,000.00

$ 1,013.70

$ 4.99

HypotheticalA

 

$ 1,000.00

$ 1,019.84

$ 5.01

Class B

1.69%

 

 

 

Actual

 

$ 1,000.00

$ 1,011.10

$ 8.43

HypotheticalA

 

$ 1,000.00

$ 1,016.41

$ 8.45

Class C

1.75%

 

 

 

Actual

 

$ 1,000.00

$ 1,010.70

$ 8.72

HypotheticalA

 

$ 1,000.00

$ 1,016.12

$ 8.75

Institutional Class

.77%

 

 

 

Actual

 

$ 1,000.00

$ 1,014.80

$ 3.85

HypotheticalA

 

$ 1,000.00

$ 1,020.98

$ 3.86

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio.

In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .01%.

Semiannual Report

Investment Changes (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds.

Top Five Holdings as of June 30, 2015

(by issuer, excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

U.S. Treasury Obligations

14.4

18.4

Japan Government

2.6

2.1

German Federal Republic

2.2

0.1

Ginnie Mae guaranteed REMIC pass-thru certificates

1.9

1.7

Freddie Mac

1.7

1.6

 

22.8

Top Five Market Sectors as of June 30, 2015

 

% of fund's
net assets

% of fund's net assets
6 months ago

Consumer Discretionary

11.2

10.4

Financials

11.0

10.0

Energy

7.6

6.2

Telecommunication Services

5.4

5.5

Industrials

4.9

4.9

Quality Diversification (% of fund's net assets)

As of June 30, 2015

As of December 31, 2014

sii418054

U.S. Government and
U.S. Government
Agency Obligations† 20.5%

 

sii418056

U.S. Government and
U.S. Government
Agency Obligations† 24.6%

 

sii418058

AAA,AA,A 10.2%

 

sii418060

AAA,AA,A 9.9%

 

sii418062

BBB 8.6%

 

sii418064

BBB 10.1%

 

sii418066

BB 20.7%

 

sii418068

BB 17.6%

 

sii418070

B 19.2%

 

sii418072

B 17.2%

 

sii418074

CCC,CC,C 6.4%

 

sii418076

CCC,CC,C 6.5%

 

sii418078

D 0.0%*

 

sii418080

D 0.0%

 

sii418082

Not Rated 5.3%

 

sii418084

Not Rated 4.2%

 

sii418086

Equities 5.7%

 

sii418088

Equities 5.3%

 

sii418090

Short-Term
Investments and
Net Other Assets 3.4%

 

sii418092

Short-Term
Investments and
Net Other Assets 4.6%

 

sii418094

† Includes NCUA Guaranteed Notes.

* Amount represents less than 0.1%.

We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.

Asset Allocation (% of fund's net assets)

As of June 30, 2015*

As of December 31, 2014**

sii418096

Preferred Securities 3.1%

 

sii418098

Preferred Securities 2.5%

 

sii418100

Corporate Bonds 43.2%

 

sii418102

Corporate Bonds 39.0%

 

sii418104

U.S. Government and
U.S. Government
Agency Obligations† 20.5%

 

sii418106

U.S. Government and
U.S. Government
Agency Obligations† 24.6%

 

sii418108

Foreign Government
& Government
Agency Obligations 16.5%

 

sii418110

Foreign Government
& Government
Agency Obligations 18.1%

 

sii418112

Bank Loan
Obligations 7.5%

 

sii418114

Bank Loan
Obligations 5.8%

 

sii418116

Stocks 5.7%

 

sii418118

Stocks 5.3%

 

sii418120

Other Investments 0.1%

 

sii418122

Other Investments 0.1%

 

sii418124

Short-Term
Investments and
Net Other Assets
(Liabilities) 3.4%

 

sii418126

Short-Term
Investments and
Net Other Assets
(Liabilities) 4.6%

 

sii418128

* Foreign investments

35.1%

 

** Foreign investments

33.9%

 

* Futures and Swaps

1.6%

 

** Futures and Swaps

1.8%

 

† Includes NCUA Guaranteed Notes.

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com.

Semiannual Report

Investments June 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 43.1%

 

Principal
Amount (000s) (d)

Value (000s)

Convertible Bonds - 0.0%

CONSUMER DISCRETIONARY - 0.0%

Auto Components - 0.0%

Exide Technologies 7% 4/30/25 pay-in-kind

$ 870

$ 600

Nonconvertible Bonds - 43.1%

CONSUMER DISCRETIONARY - 7.5%

Auto Components - 0.6%

Affinia Group, Inc. 7.75% 5/1/21

1,015

1,061

Chassix Holdings, Inc. 10% 12/15/18 pay-in-kind (c)(g)(l)

2,134

192

Chassix, Inc. 9.25% 8/1/18 (c)(g)

7,635

6,872

Dana Holding Corp.:

5.375% 9/15/21

3,475

3,562

6% 9/15/23

3,475

3,625

6.75% 2/15/21

1,400

1,467

Delphi Automotive PLC 1.5% 3/10/25

EUR

2,600

2,645

Delphi Corp. 5% 2/15/23

9,005

9,590

Exide Technologies 11% 4/30/20

835

704

International Automotive Components Group SA 9.125% 6/1/18 (g)

5,245

5,350

Lear Corp. 4.75% 1/15/23

6,305

6,210

Schaeffler Holding Finance BV:

6.25% 11/15/19 pay-in-kind (g)(l)

2,965

3,124

6.75% 11/15/22 pay-in-kind (g)(l)

3,940

4,255

Tenneco, Inc. 6.875% 12/15/20

6,205

6,453

 

55,110

Automobiles - 0.1%

Chrysler Group LLC/CG Co-Issuer, Inc. 8.25% 6/15/21

7,620

8,306

General Motors Financial Co., Inc. 4.25% 5/15/23

2,145

2,168

 

10,474

Distributors - 0.0%

American Builders & Contractors Supply Co., Inc. 5.625% 4/15/21 (g)

1,500

1,526

LKQ Corp. 4.75% 5/15/23

1,090

1,040

 

2,566

Diversified Consumer Services - 0.2%

Laureate Education, Inc. 10% 9/1/19 (g)(l)

23,025

21,471

Hotels, Restaurants & Leisure - 1.1%

24 Hour Holdings III LLC 8% 6/1/22 (g)

1,760

1,412

Arcos Dorados Holdings, Inc. 10.25% 7/13/16 (g)

BRL

19,840

5,943

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 (g)

$ 26,325

$ 19,744

Choice Hotels International, Inc. 5.75% 7/1/22

1,445

1,566

FelCor Lodging LP:

5.625% 3/1/23

4,185

4,300

6% 6/1/25 (g)

8,495

8,622

GLP Capital LP/GLP Financing II, Inc.:

4.375% 11/1/18

1,850

1,899

4.875% 11/1/20

4,845

4,930

5.375% 11/1/23

3,845

3,951

Graton Economic Development Authority 9.625% 9/1/19 (g)

10,505

11,329

Landry's Acquisition Co. 9.375% 5/1/20 (g)

905

971

LTF Merger Sub, Inc. 8.5% 6/15/23 (g)

4,280

4,130

MCE Finance Ltd. 5% 2/15/21 (g)

5,750

5,463

Mohegan Tribal Gaming Authority 11% 9/15/18 pay-in-kind (g)(l)

2,333

2,336

MTR Gaming Group, Inc. 11.5% 8/1/19 pay-in-kind

3,256

3,463

Palace Entertainment Holdings LLC/Corp. 8.875% 4/15/17 (g)

1,135

1,135

Playa Resorts Holding BV 8% 8/15/20 (g)

4,750

4,916

RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/21

4,360

4,360

Scientific Games Corp. 10% 12/1/22

4,455

4,266

Six Flags Entertainment Corp. 5.25% 1/15/21 (g)

7,515

7,684

Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 3/31/15 (c)(g)

390

0

 

102,420

Household Durables - 1.1%

Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (g)

3,165

3,118

Brookfield Residential Properties, Inc. 6.5% 12/15/20 (g)

2,595

2,583

D.R. Horton, Inc.:

4.375% 9/15/22

5,495

5,330

4.75% 2/15/23

3,865

3,855

5.75% 8/15/23

2,155

2,279

Lennar Corp. 4.5% 11/15/19

3,345

3,387

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:

5.75% 10/15/20

$ 24,830

$ 25,451

6.875% 2/15/21

6,200

6,464

8.25% 2/15/21 (l)

6,920

7,180

9.875% 8/15/19

1,223

1,284

Springs Industries, Inc. 6.25% 6/1/21

1,475

1,442

Standard Pacific Corp.:

8.375% 5/15/18

2,255

2,571

8.375% 1/15/21

4,340

5,034

Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (g)

3,265

3,224

Tempur Sealy International, Inc. 6.875% 12/15/20

2,010

2,131

Toll Brothers Finance Corp.:

4.375% 4/15/23

10,429

10,220

5.625% 1/15/24

1,240

1,305

5.875% 2/15/22

5,640

6,049

TRI Pointe Homes, Inc.:

4.375% 6/15/19

2,545

2,494

5.875% 6/15/24

6,140

6,017

William Lyon Homes, Inc. 8.5% 11/15/20

2,235

2,414

 

103,832

Internet & Catalog Retail - 0.2%

Netflix, Inc. 5.375% 2/1/21 (g)

4,010

4,160

Priceline Group, Inc. 1.8% 3/3/27

EUR

6,900

6,767

Zayo Group LLC/Zayo Capital, Inc. 6% 4/1/23 (g)

4,435

4,380

 

15,307

Media - 3.7%

Altice SA:

5.375% 7/15/23 (g)

7,415

7,230

7.75% 5/15/22 (g)

24,970

24,158

AMC Entertainment, Inc. 5.75% 6/15/25 (g)

6,450

6,321

AMC Networks, Inc. 4.75% 12/15/22

3,080

3,080

British Sky Broadcasting Group PLC 1.5% 9/15/21 (Reg. S)

EUR

7,650

8,493

CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.:

5.25% 2/15/22

980

992

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.: - continued

5.625% 2/15/24

$ 1,060

$ 1,084

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.125% 2/15/23

6,770

6,601

5.125% 5/1/23 (g)

5,425

5,276

5.25% 3/15/21

4,975

4,963

5.25% 9/30/22

7,240

7,131

5.375% 5/1/25 (g)

5,425

5,283

5.75% 9/1/23

670

671

5.75% 1/15/24

4,245

4,266

6.5% 4/30/21

10,200

10,672

6.625% 1/31/22

8,220

8,569

Cinemark U.S.A., Inc.:

4.875% 6/1/23

4,875

4,686

5.125% 12/15/22

1,470

1,457

Clear Channel Communications, Inc. 14% 2/1/21 pay-in-kind (l)

4,900

3,438

Comcast Corp. 5.5% 11/23/29

GBP

3,800

7,188

DISH DBS Corp.:

5% 3/15/23

3,985

3,686

5.125% 5/1/20

485

490

5.875% 7/15/22

15,180

14,876

DreamWorks Animation SKG, Inc. 6.875% 8/15/20 (g)

2,245

2,223

Gannett Co., Inc.:

4.875% 9/15/21 (g)

3,210

3,186

5.5% 9/15/24 (g)

3,210

3,178

Globo Comunicacao e Participacoes SA 4.875% 4/11/22 (g)

1,875

1,931

Liberty Media Corp.:

8.25% 2/1/30

4,120

4,326

8.5% 7/15/29

8,920

9,634

Livent, Inc. yankee 9.375% 10/15/04 (c)

300

0

McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (l)

14,840

16,324

MDC Partners, Inc. 6.75% 4/1/20 (g)

5,465

5,445

MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (g)(l)

8,960

9,027

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Myriad International Holding BV 6% 7/18/20 (g)

$ 1,725

$ 1,870

Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (g)

2,335

2,288

Numericable Group SA:

4.875% 5/15/19 (g)

6,705

6,638

6% 5/15/22 (g)

35,620

35,108

6.25% 5/15/24 (g)

27,408

26,963

Quebecor Media, Inc. 5.75% 1/15/23

7,660

7,641

RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (g)

2,660

2,786

Regal Entertainment Group 5.75% 6/15/23

9,410

9,457

Sinclair Television Group, Inc. 5.375% 4/1/21

4,940

4,977

Sirius XM Radio, Inc.:

4.25% 5/15/20 (g)

5,800

5,771

4.625% 5/15/23 (g)

2,450

2,300

5.25% 8/15/22 (g)

6,945

7,258

5.375% 4/15/25 (g)

4,685

4,521

Starz LLC/Starz Finance Corp. 5% 9/15/19

4,305

4,359

TV Azteca SA de CV 7.5% 5/25/18 (Reg. S)

6,690

6,907

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (g)

5,540

5,647

VTR Finance BV 6.875% 1/15/24 (g)

4,800

4,905

Wave Holdco LLC/Wave Holdco Corp. 8.25% 7/15/19 pay-in-kind (g)(l)

955

972

WMG Acquisition Corp.:

5.625% 4/15/22 (g)

955

960

6.75% 4/15/22 (g)

3,825

3,653

 

340,866

Specialty Retail - 0.4%

CST Brands, Inc. 5% 5/1/23

1,320

1,313

HT Intermediate Holdings Corp. 12% 5/15/19 pay-in-kind (g)(l)

2,275

2,309

Jaguar Land Rover PLC 4.25% 11/15/19 (g)

4,485

4,541

L Brands, Inc. 5.625% 10/15/23

4,625

4,856

L Brands, Inc. 5.625% 2/15/22

6,880

7,241

Sally Holdings LLC 6.875% 11/15/19

3,305

3,454

Sonic Automotive, Inc. 5% 5/15/23

800

782

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Tenedora Nemak SA de CV 5.5% 2/28/23 (g)

$ 6,460

$ 6,622

The Men's Wearhouse, Inc. 7% 7/1/22

1,580

1,691

 

32,809

Textiles, Apparel & Luxury Goods - 0.1%

Polymer Group, Inc.:

6.875% 6/1/19 (g)

1,720

1,582

7.75% 2/1/19

855

881

PVH Corp. 4.5% 12/15/22

10,925

10,816

 

13,279

TOTAL CONSUMER DISCRETIONARY

698,134

CONSUMER STAPLES - 2.0%

Beverages - 0.1%

Constellation Brands, Inc.:

3.875% 11/15/19

3,190

3,238

4.75% 11/15/24

4,475

4,486

JB y Co. SA de CV 3.75% 5/13/25 (g)

1,875

1,819

 

9,543

Food & Staples Retailing - 0.6%

BI-LO LLC/BI-LO Finance Corp.:

8.625% 9/15/18 pay-in-kind (g)(l)

4,670

4,320

9.25% 2/15/19 (g)

5,285

5,338

ESAL GmbH 6.25% 2/5/23 (g)

13,590

13,386

Hearthside Group Holdings LLC/Hearthside Finance, Inc. 6.5% 5/1/22 (g)

1,265

1,208

Minerva Luxembourg SA 7.75% 1/31/23 (Reg. S)

3,450

3,476

Rite Aid Corp.:

6.125% 4/1/23 (g)

8,710

8,971

6.75% 6/15/21

12,320

12,936

9.25% 3/15/20

3,570

3,869

Shearers Foods LLC/Chip Finance Corp. 9% 11/1/19 (g)

1,465

1,575

Tops Holding LLC / Tops Markets II Corp. 8% 6/15/22 (g)

4,305

4,310

 

59,389

Food Products - 1.0%

B&G Foods, Inc. 4.625% 6/1/21

5,220

5,142

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - continued

Barry Callebaut Services NV 5.5% 6/15/23 (g)

$ 5,915

$ 6,299

FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (g)

5,550

5,786

Gruma S.A.B. de CV 4.875% 12/1/24 (g)

2,200

2,291

H.J. Heinz Co.:

4.125% 7/1/27 (Reg. S)

GBP

4,900

7,682

4.25% 10/15/20

9,880

10,090

JBS Investments GmbH 7.25% 4/3/24 (g)

14,755

15,179

JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:

5.75% 6/15/25 (g)

7,650

7,562

5.875% 7/15/24 (g)

2,350

2,365

7.25% 6/1/21 (g)

2,960

3,119

8.25% 2/1/20 (g)

3,315

3,514

Mondelez International, Inc. 1.625% 3/8/27

EUR

4,200

4,214

Pilgrim's Pride Corp. 5.75% 3/15/25 (g)

6,540

6,605

Post Holdings, Inc.:

6% 12/15/22 (g)

2,340

2,252

7.375% 2/15/22

2,500

2,544

Sigma Alimentos SA de CV 6.875% 12/16/19 (g)

1,940

2,236

TreeHouse Foods, Inc. 4.875% 3/15/22

1,660

1,672

 

88,552

Household Products - 0.1%

Edgewell Personal Care Co. 5.5% 6/15/25 (g)

2,800

2,765

Spectrum Brands Holdings, Inc.:

5.75% 7/15/25 (g)

4,470

4,537

6.375% 11/15/20

1,415

1,496

6.625% 11/15/22

1,675

1,784

 

10,582

Personal Products - 0.2%

Elizabeth Arden, Inc. 7.375% 3/15/21

1,560

1,264

First Quality Finance Co., Inc. 4.625% 5/15/21 (g)

1,235

1,155

Prestige Brands, Inc. 8.125% 2/1/20

770

822

Revlon Consumer Products Corp. 5.75% 2/15/21

18,693

18,319

 

21,560

TOTAL CONSUMER STAPLES

189,626

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - 6.8%

Energy Equipment & Services - 0.6%

Basic Energy Services, Inc. 7.75% 10/15/22

$ 3,640

$ 2,876

Compressco Partners LP/Compressco Finance, Inc. 7.25% 8/15/22 (g)

3,100

2,961

Drill Rigs Holdings, Inc. 6.5% 10/1/17 (g)

1,955

1,716

Exterran Partners LP/EXLP Finance Corp. 6% 10/1/22

3,200

3,040

Forbes Energy Services Ltd. 9% 6/15/19

3,755

3,004

Forum Energy Technologies, Inc. 6.25% 10/1/21

5,850

5,792

Gulfmark Offshore, Inc. 6.375% 3/15/22

145

108

Hornbeck Offshore Services, Inc.:

5% 3/1/21

444

382

5.875% 4/1/20

3,990

3,671

Kinder Morgan, Inc. 2.25% 3/16/27

EUR

4,050

4,198

Offshore Group Investment Ltd.:

7.125% 4/1/23

5,725

3,492

7.5% 11/1/19

2,265

1,393

Pacific Drilling V Ltd. 7.25% 12/1/17 (g)

9,695

8,338

Precision Drilling Corp.:

5.25% 11/15/24

4,310

3,750

6.5% 12/15/21

940

912

State Oil Co. of Azerbaijan Republic 4.75% 3/13/23 (Reg. S)

1,425

1,357

Summit Midstream Holdings LLC 7.5% 7/1/21

2,035

2,137

Trinidad Drilling Ltd. 7.875% 1/15/19 (g)

1,615

1,615

Unit Corp. 6.625% 5/15/21

875

849

 

51,591

Oil, Gas & Consumable Fuels - 6.2%

Access Midstream Partners LP/ACMP Finance Corp.:

4.875% 5/15/23

7,005

6,910

4.875% 3/15/24

2,630

2,584

Afren PLC:

6.625% 12/9/20 (c)(g)

6,575

2,893

10.25% 4/8/19 (Reg. S) (c)

6,260

2,754

American Energy-Permian Basin LLC/ AEPB Finance Corp.:

7.125% 11/1/20 (g)

6,920

4,706

7.375% 11/1/21 (g)

1,820

1,236

Antero Resources Corp. 5.625% 6/1/23 (g)

3,980

3,846

Carrizo Oil & Gas, Inc.:

6.25% 4/15/23

2,860

2,867

7.5% 9/15/20

8,045

8,467

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Chaparral Energy, Inc. 9.875% 10/1/20

$ 1,845

$ 1,504

Citgo Holding, Inc. 10.75% 2/15/20 (g)

6,595

6,743

Citgo Petroleum Corp. 6.25% 8/15/22 (g)

6,280

6,170

Concho Resources, Inc.:

5.5% 4/1/23

13,120

13,120

6.5% 1/15/22

6,135

6,396

CONSOL Energy, Inc.:

5.875% 4/15/22

2,170

1,845

8% 4/1/23 (g)

10,870

10,313

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:

6% 12/15/20

6,670

6,903

6.125% 3/1/22

7,890

8,048

CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22

9,690

9,690

DTEK Finance PLC 7.875% 4/4/18 (Reg. S)

200

90

Eagle Rock Energy Partners LP/Eagle Rock Energy Finance Corp. 8.375% 6/1/19

5,125

4,997

EDC Finance Ltd. 4.875% 4/17/20 (g)

7,590

6,630

Endeavor Energy Resources LP/EER Finance, Inc.:

7% 8/15/21 (g)

4,355

4,333

8.125% 9/15/23 (g)

3,960

4,084

Energy Transfer Equity LP 5.5% 6/1/27

6,395

6,379

Energy XXI Gulf Coast, Inc. 11% 3/15/20 (g)

5,565

4,869

EP Energy LLC/Everest Acquisition Finance, Inc. 6.375% 6/15/23 (g)

5,175

5,188

EV Energy Partners LP/EV Energy Finance Corp. 8% 4/15/19

3,705

3,446

Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20

1,765

1,886

Genesis Energy LP/Genesis Energy Finance Corp. 5.75% 2/15/21

2,400

2,370

Georgian Oil & Gas Corp. 6.875% 5/16/17 (g)

3,780

3,808

Global Partners LP/GLP Finance Corp.:

6.25% 7/15/22

1,030

989

7% 6/15/23 (g)

4,305

4,230

Goodrich Petroleum Corp. 8.875% 3/15/19

3,485

1,499

Hiland Partners LP/Finance Corp. 7.25% 10/1/20 (g)

3,765

4,066

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Hilcorp Energy I LP/Hilcorp Finance Co.:

5% 12/1/24 (g)

$ 4,000

$ 3,751

5.75% 10/1/25 (g)

4,310

4,138

7.625% 4/15/21 (g)

4,325

4,498

Holly Energy Partners LP/Holly Finance Corp. 6.5% 3/1/20

4,875

4,863

Indo Energy Finance BV 7% 5/7/18 (g)

1,175

969

Jupiter Resources, Inc. 8.5% 10/1/22 (g)

6,720

5,628

KazMunaiGaz Finance Sub BV 6% 11/7/44 (g)

2,275

1,951

KazMunaiGaz National Co. 5.75% 4/30/43 (g)

3,705

3,092

Kinder Morgan, Inc. 5.625% 11/15/23 (g)

3,115

3,314

Kosmos Energy Ltd. 7.875% 8/1/21 (g)

2,195

2,118

Laredo Petroleum, Inc. 7.375% 5/1/22 (Reg. S)

5,910

6,220

Markwest Energy Partners LP/Markwest Energy Finance Corp.:

4.875% 12/1/24

6,560

6,412

5.5% 2/15/23

3,215

3,299

Newfield Exploration Co.:

5.375% 1/1/26

5,450

5,396

5.625% 7/1/24

5,200

5,252

Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20

2,245

2,312

Nostrum Oil & Gas Finance BV 6.375% 2/14/19 (g)

5,360

5,025

Pacific Rubiales Energy Corp. 7.25% 12/12/21 (g)

15,449

12,668

Pan American Energy LLC 7.875% 5/7/21 (g)

1,985

2,032

PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20

9,325

9,861

PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 (g)

3,235

3,251

Peabody Energy Corp. 10% 3/15/22 (g)

4,360

2,703

Pemex Project Funding Master Trust:

6.625% 6/15/35

7,740

8,262

8.625% 12/1/23 (l)

500

615

PetroBakken Energy Ltd. 8.625% 2/1/20 (g)

9,160

5,885

Petrobras Global Finance BV:

1.896% 5/20/16 (l)

4,310

4,246

2% 5/20/16

1,450

1,433

2.4153% 1/15/19 (l)

5,765

5,330

3% 1/15/19

2,340

2,163

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petrobras Global Finance BV: - continued

3.25% 3/17/17

$ 2,240

$ 2,209

6.25% 3/17/24

3,950

3,814

6.85% 6/5/15

4,250

3,487

7.25% 3/17/44

2,190

2,033

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

1,880

1,888

5.75% 1/20/20

2,150

2,130

6.875% 1/20/40

6,640

5,915

Petroleos de Venezuela SA:

5.375% 4/12/27

6,810

2,332

5.5% 4/12/37

2,200

755

8.5% 11/2/17 (g)

46,685

32,096

9.75% 5/17/35 (g)

10,275

4,156

12.75% 2/17/22 (g)

8,985

4,434

Petroleos Mexicanos:

3.5% 1/30/23

4,305

4,084

4.875% 1/24/22

3,930

4,087

4.875% 1/18/24

3,685

3,777

5.5% 1/21/21

2,545

2,760

5.5% 6/27/44

4,490

4,131

5.5% 6/27/44 (g)

3,250

2,990

5.625% 1/23/46 (g)

2,160

2,017

6.375% 1/23/45

5,900

6,055

6.5% 6/2/41

7,295

7,587

6.625% (g)(h)

19,963

19,888

Petronas Capital Ltd. 3.5% 3/18/25 (g)

2,020

1,998

PT Pertamina Persero:

4.875% 5/3/22 (g)

1,990

2,007

5.25% 5/23/21 (g)

2,185

2,264

6% 5/3/42 (g)

1,320

1,225

6.5% 5/27/41 (g)

6,280

6,225

QEP Resources, Inc. 5.25% 5/1/23

5,955

5,702

Range Resources Corp. 5% 3/15/23

9,130

8,947

Rice Energy, Inc.:

6.25% 5/1/22

7,770

7,712

7.25% 5/1/23 (g)

1,695

1,737

Rosetta Resources, Inc.:

5.625% 5/1/21

4,560

4,845

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Rosetta Resources, Inc.: - continued

5.875% 6/1/22

$ 4,750

$ 5,071

RSP Permian, Inc. 6.625% 10/1/22 (g)

1,785

1,825

Sabine Pass Liquefaction LLC 5.625% 3/1/25 (g)

8,895

8,806

SemGroup Corp. 7.5% 6/15/21

4,100

4,285

Sibur Securities Ltd. 3.914% 1/31/18 (g)

5,840

5,479

SM Energy Co. 5.625% 6/1/25

2,100

2,079

Southern Star Central Corp. 5.125% 7/15/22 (g)

2,570

2,609

Sunoco LP / Sunoco Finance Corp. 6.375% 4/1/23 (g)

3,040

3,162

Teekay Corp. 8.5% 1/15/20

3,695

4,111

Teine Energy Ltd. 6.875% 9/30/22 (g)

4,615

4,453

Tennessee Gas Pipeline Co. 7.625% 4/1/37

1,035

1,219

Tesoro Corp. 5.375% 10/1/22

3,340

3,390

Tesoro Logistics LP/Tesoro Logistics Finance Corp.:

5.5% 10/15/19 (g)

2,540

2,635

5.875% 10/1/20

791

819

6.125% 10/15/21

2,735

2,851

6.25% 10/15/22 (g)

2,715

2,810

Transportadora de Gas del Sur SA 9.625% 5/14/20 (g)

10,149

10,250

W&T Offshore, Inc. 8.5% 6/15/19

4,890

3,392

Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 (g)

1,835

1,890

Western Refining, Inc. 6.25% 4/1/21

8,595

8,659

Whiting Petroleum Corp.:

5% 3/15/19

3,480

3,410

5.75% 3/15/21

3,480

3,424

WPX Energy, Inc. 6% 1/15/22

7,035

6,947

YPF SA:

8.5% 7/28/25 (g)

4,275

4,232

8.75% 4/4/24 (g)

8,815

8,947

8.875% 12/19/18 (g)

6,430

6,832

Zhaikmunai International BV 7.125% 11/13/19 (g)

6,980

6,605

 

578,025

TOTAL ENERGY

629,616

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - 8.0%

Banks - 3.2%

ABN AMRO Bank NV:

2.875% 6/30/25 (Reg. S)

EUR

500

$ 561

7.125% 7/6/22

EUR

5,250

7,468

Banco Daycoval SA 5.75% 3/19/19 (g)

345

358

Banco de Galicia y Buenos Aires SA 16% 1/1/19 (Reg. S)

2,217

2,328

Banco Nacional de Desenvolvimento Economico e Social:

5.5% 7/12/20 (g)

1,940

2,018

5.75% 9/26/23 (g)

2,445

2,496

6.369% 6/16/18 (g)

2,200

2,354

Bank of America Corp. 1.375% 9/10/21 (Reg. S)

EUR

6,650

7,369

Bank of Ireland 1.25% 4/9/20

EUR

16,800

18,161

Banque Centrale de Tunisie 5.75% 1/30/25 (g)

3,560

3,475

Barclays Bank PLC 6.625% 3/30/22 (Reg. S)

EUR

3,800

5,245

BBVA Bancomer SA 6.75% 9/30/22 (g)

1,300

1,432

BBVA Colombia SA 4.875% 4/21/25 (g)

1,295

1,267

BBVA Paraguay SA 9.75% 2/11/16 (g)

4,580

4,744

CIT Group, Inc.:

5% 8/15/22

8,305

8,222

5.375% 5/15/20

10,385

10,826

5.5% 2/15/19 (g)

10,070

10,498

Citigroup, Inc. 2.125% 9/10/26 (Reg. S)

EUR

6,100

6,641

Development Bank of Philippines 8.375% (h)(l)

6,765

7,104

Export-Import Bank of Korea 6% 6/4/16 (Reg. S)

INR

137,400

2,147

Finansbank A/S:

5.5% 5/11/16 (Reg. S)

4,575

4,638

6.25% 4/30/19 (g)

3,645

3,675

Georgia Bank Joint Stock Co.:

7.75% 7/5/17 (g)

7,045

7,278

7.75% 7/5/17 (Reg. S)

1,100

1,136

GTB Finance BV:

6% 11/8/18 (g)

7,230

6,858

7.5% 5/19/16 (g)

4,675

4,733

HSBC Bank PLC 5% 3/20/23 (l)

GBP

9,056

14,967

HSBC Holdings PLC 3% 6/30/25

EUR

3,350

3,722

HSBK BV 7.25% 5/3/17 (g)

8,370

8,642

Industrial Senior Trust 5.5% 11/1/22 (g)

575

556

ING Bank NV:

6.125% 5/29/23 (l)

EUR

10,945

13,729

6.875% 5/29/23 (l)

GBP

6,500

11,349

Intesa Sanpaolo SpA 1.125% 1/14/20 (Reg. S)

EUR

7,300

7,940

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Banks - continued

Itau Unibanco Holding SA:

2.85% 5/26/18 (g)

$ 2,150

$ 2,133

5.125% 5/13/23 (Reg. S)

3,660

3,572

6.2% 12/21/21 (Reg. S)

3,275

3,461

KBC Groep NV 1.875% 3/11/27 (Reg. S) (l)

EUR

9,700

10,219

Lloyds Bank PLC 6.5% 3/24/20

EUR

4,950

6,589

National Westminster Bank PLC 6.5% 9/7/21

GBP

4,430

7,782

OJSC Russian Agricultural Bank:

6.299% 5/15/17 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (g)

2,985

3,007

7.75% 5/29/18 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (g)

2,840

2,931

Rabobank Nederland 6.875% 3/19/20 (Reg. S)

EUR

13,850

18,171

Royal Bank of Scotland Group PLC 1.625% 6/25/19 (Reg. S)

EUR

8,700

9,729

RSHB Capital SA 5.298% 12/27/17 (g)

3,840

3,752

SB Capital SA 5.5% 2/26/24 (g)(l)

7,365

6,097

Turkiye Halk Bankasi A/S 4.75% 6/4/19 (g)

1,400

1,410

Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (g)(l)

2,150

2,112

UniCredit SpA:

3.25% 1/14/21 (Reg. S)

EUR

7,500

8,883

6.95% 10/31/22 (Reg. S)

EUR

1,150

1,481

Zenith Bank PLC 6.25% 4/22/19 (g)

8,770

8,408

 

293,674

Capital Markets - 0.3%

Argos Merger Sub, Inc. 7.125% 3/15/23 (g)

6,585

6,898

Criteria Caixaholding SA 1.625% 4/21/22

EUR

13,100

13,817

Morgan Stanley 5.375% 8/10/20

EUR

7,200

9,661

 

30,376

Consumer Finance - 2.3%

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:

4.25% 7/1/20

4,275

4,278

4.5% 5/15/21 (g)

8,055

8,095

4.625% 7/1/22

4,275

4,286

Ally Financial, Inc.:

4.125% 2/13/22

8,795

8,443

4.625% 3/30/25

1,500

1,429

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

Ally Financial, Inc.: - continued

5.125% 9/30/24

$ 16,971

$ 17,013

Credito Real S.A.B. de CV 7.5% 3/13/19 (g)

2,775

2,914

FCA Capital Ireland PLC 1.375% 4/17/20 (Reg. S)

EUR

12,200

13,176

Ford Credit Europe PLC 1.134% 2/10/22 (Reg. S)

EUR

7,000

7,460

General Motors Acceptance Corp. 8% 11/1/31

9,006

11,483

GMAC LLC 8% 11/1/31

72,978

87,391

Navient Corp.:

5% 10/26/20

3,110

3,048

5.875% 10/25/24

6,710

6,307

SLM Corp.:

5.5% 1/25/23

22,735

21,598

7.25% 1/25/22

12,720

13,420

8% 3/25/20

7,185

8,011

 

218,352

Diversified Financial Services - 1.0%

Cimpor Financial Operations BV 5.75% 7/17/24 (g)

2,880

2,333

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

4.875% 3/15/19

7,260

7,314

5.875% 2/1/22

18,530

18,877

6% 8/1/20

25,690

26,525

Malaysia Sovereign Sukuk Bhd 3.043% 4/22/25 (g)

3,130

3,112

MSCI, Inc. 5.25% 11/15/24 (g)

2,735

2,769

Nationwide Building Society 4.125% 3/20/23 (Reg. S) (l)

EUR

13,250

15,663

TMK Capital SA:

6.75% 4/3/20 (Reg. S)

2,730

2,361

7.75% 1/27/18

4,795

4,672

Unite (USAF) II PLC 3.374% 6/30/28

GBP

4,450

7,059

Wendel SA 2.75% 10/2/24 (Reg. S)

EUR

3,900

4,405

 

95,090

Insurance - 0.2%

Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (g)

9,770

9,965

Society of Lloyd's 4.75% 10/30/24

GBP

2,700

4,264

 

14,229

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - 0.5%

Communications Sales & Leasing, Inc.:

6% 4/15/23 (g)

$ 1,895

$ 1,853

8.25% 10/15/23 (g)

4,260

4,185

Crown Castle International Corp. 5.25% 1/15/23

8,270

8,330

CTR Partnership LP/CareTrust Capital Corp. 5.875% 6/1/21

700

712

Iron Mountain, Inc. 5.75% 8/15/24

3,800

3,802

MPT Operating Partnership LP/MPT Finance Corp. 6.375% 2/15/22

4,335

4,622

Omega Healthcare Investors, Inc. 5.875% 3/15/24

13,845

14,728

Prologis LP 3% 6/2/26

EUR

6,700

7,752

Scentre Management Ltd./ RE1 Ltd. 2.25% 7/16/24 (Reg. S)

EUR

2,118

2,411

The GEO Group, Inc. 5.125% 4/1/23

1,910

1,905

 

50,300

Real Estate Management & Development - 0.5%

CBRE Group, Inc.:

5% 3/15/23

9,605

9,701

5.25% 3/15/25

5,100

5,279

Deutsche Annington Finance BV 2.125% 7/9/22 (Reg. S)

EUR

2,924

3,306

Grand City Properties SA 1.5% 4/17/25 (Reg. S)

EUR

5,000

4,963

Howard Hughes Corp. 6.875% 10/1/21 (g)

10,865

11,517

Inversiones y Representaciones SA:

8.5% 2/2/17 (Reg. S)

285

284

11.5% 7/20/20 (Reg. S)

15

17

Realogy Corp. 9% 1/15/20 (g)

3,740

4,030

Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.25% 4/15/21 (g)

7,370

7,259

 

46,356

TOTAL FINANCIALS

748,377

HEALTH CARE - 2.6%

Health Care Equipment & Supplies - 0.1%

Alere, Inc. 6.375% 7/1/23 (g)

1,935

1,969

Hologic, Inc. 5.25% 7/15/22 (g)(i)

4,650

4,749

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Mallinckrodt International Finance SA/Mallinckrodt CB LLC:

4.875% 4/15/20 (g)

$ 2,040

$ 2,076

5.5% 4/15/25 (g)

1,700

1,649

 

10,443

Health Care Providers & Services - 1.5%

AmSurg Corp. 5.625% 7/15/22

4,130

4,166

HCA Holdings, Inc.:

4.75% 5/1/23

6,115

6,191

5.25% 4/15/25

13,180

13,707

5.375% 2/1/25

8,650

8,791

5.875% 3/15/22

19,190

20,869

5.875% 5/1/23

7,155

7,602

6.5% 2/15/20

9,920

11,086

7.5% 2/15/22

12,110

13,911

HealthSouth Corp. 5.75% 11/1/24

6,425

6,562

InVentiv Health, Inc. 11% 8/15/18 (g)(l)

905

873

Kindred Escrow Corp. II:

8% 1/15/20 (g)

4,440

4,751

8.75% 1/15/23 (g)

3,330

3,617

MPH Acquisition Holdings LLC 6.625% 4/1/22 (g)

2,060

2,104

Quintiles Transnational Corp. 4.875% 5/15/23 (g)

3,340

3,357

Sabra Health Care LP/Sabra Capital Corp.:

5.375% 6/1/23

3,075

3,160

5.5% 2/1/21

2,250

2,329

Tenet Healthcare Corp.:

6.75% 6/15/23 (g)

7,335

7,482

6.875% 11/15/31

11,540

10,675

Truven Health Analytics, Inc. 10.625% 6/1/20

4,285

4,489

 

135,722

Life Sciences Tools & Services - 0.1%

Jaguar Holding Co. I 9.375% 10/15/17 pay-in-kind (g)(l)

4,255

4,345

Thermo Fisher Scientific, Inc. 2% 4/15/25

EUR

8,100

8,721

 

13,066

Pharmaceuticals - 0.9%

Concordia Healthcare Corp. 7% 4/15/23 (g)

2,090

2,090

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Pharmaceuticals - continued

Endo Finance LLC/Endo Ltd./Endo Finco, Inc.:

6% 7/15/23 (g)(i)

$ 5,410

$ 5,532

6% 2/1/25 (g)

6,115

6,214

JLL/Delta Dutch Pledgeco BV 8.75% 5/1/20 pay-in-kind (g)(l)

2,295

2,329

Pinnacle Merger Sub, Inc. 9.5% 10/1/23 (g)

5,922

6,618

Valeant Pharmaceuticals International:

5.625% 12/1/21 (g)

1,615

1,651

6.75% 8/15/21 (g)

4,210

4,389

7.5% 7/15/21 (g)

4,070

4,380

Valeant Pharmaceuticals International, Inc.:

5.375% 3/15/20 (g)

7,635

7,883

5.875% 5/15/23 (g)

20,705

21,223

6.125% 4/15/25 (g)

14,710

15,133

VPI Escrow Corp. 6.375% 10/15/20 (g)

9,225

9,715

 

87,157

TOTAL HEALTH CARE

246,388

INDUSTRIALS - 3.7%

Aerospace & Defense - 0.3%

Alion Science & Technology Corp. 15.25% 2/18/20 pay-in-kind

842

789

Bombardier, Inc. 6.125% 1/15/23 (g)

2,240

1,988

GenCorp, Inc. 7.125% 3/15/21

1,340

1,427

Huntington Ingalls Industries, Inc. 5% 12/15/21 (g)

2,700

2,747

KLX, Inc. 5.875% 12/1/22 (g)

11,260

11,371

Triumph Group, Inc. 4.875% 4/1/21

4,990

4,890

 

23,212

Air Freight & Logistics - 0.1%

XPO Logistics, Inc. 7.875% 9/1/19 (g)

5,235

5,594

Airlines - 0.6%

Air Canada:

5.375% 11/15/22 (g)

1,526

1,587

7.75% 4/15/21 (g)

3,800

4,057

Allegiant Travel Co. 5.5% 7/15/19

1,270

1,280

Aviation Capital Group Corp. 4.625% 1/31/18 (g)

3,555

3,680

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

Continental Airlines, Inc.:

pass-thru trust certificates 6.903% 4/19/22

$ 731

$ 773

6.125% 4/29/18

1,720

1,793

7.25% 11/10/19

3,788

4,356

Delta Air Lines, Inc. pass-thru trust certificates:

6.821% 8/10/22

7,770

8,916

8.021% 8/10/22

2,618

3,004

Hawaiian Airlines pass-thru certificates Series 2013-1 Class B, 4.95% 1/15/22

2,372

2,300

Northwest Airlines, Inc. pass-thru trust certificates:

7.027% 11/1/19

1,737

1,959

8.028% 11/1/17

462

514

U.S. Airways Group, Inc. 6.125% 6/1/18

7,310

7,588

U.S. Airways pass-thru certificates:

Series 2011-1 Class A, 7.125% 4/22/25

4,060

4,709

Series 2012-2 Class B, 6.75% 12/3/22

1,683

1,826

Series 2013-1 Class B, 5.375% 5/15/23

2,234

2,289

United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17

4,039

4,392

United Continental Holdings, Inc. 6.375% 6/1/18

960

1,001

 

56,024

Building Products - 0.0%

Shea Homes Ltd. Partnershp/Corp.:

5.875% 4/1/23 (g)

1,380

1,397

6.125% 4/1/25 (g)

1,380

1,390

 

2,787

Commercial Services & Supplies - 0.6%

ADT Corp. 6.25% 10/15/21

13,075

13,729

APX Group, Inc.:

6.375% 12/1/19

3,875

3,759

8.75% 12/1/20

5,230

4,707

Bakercorp International, Inc. 8.25% 6/1/19

830

710

Cenveo Corp. 6% 8/1/19 (g)

2,480

2,331

Clean Harbors, Inc.:

5.125% 6/1/21

3,050

3,020

5.25% 8/1/20

3,395

3,446

Covanta Holding Corp.:

5.875% 3/1/24

3,120

3,104

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Covanta Holding Corp.: - continued

7.25% 12/1/20

$ 4,940

$ 5,187

Garda World Security Corp. 7.25% 11/15/21 (g)

1,825

1,752

R.R. Donnelley & Sons Co.:

6% 4/1/24

1,925

1,935

7% 2/15/22

3,500

3,763

7.875% 3/15/21

4,975

5,616

TMS International Corp. 7.625% 10/15/21 (g)

970

946

 

54,005

Construction & Engineering - 0.1%

AECOM Technology Corp.:

5.75% 10/15/22 (g)

2,165

2,192

5.875% 10/15/24 (g)

1,855

1,881

Cementos Progreso Trust 7.125% 11/6/23 (g)

1,870

1,991

MasTec, Inc. 4.875% 3/15/23

5,255

4,795

Odebrecht Finance Ltd. 4.375% 4/25/25 (g)

2,170

1,659

 

12,518

Electrical Equipment - 0.1%

Sensata Technologies BV:

4.875% 10/15/23 (g)

2,505

2,474

5% 10/1/25 (g)

4,355

4,241

 

6,715

Industrial Conglomerates - 0.0%

Alfa SA de CV 5.25% 3/25/24 (g)

1,490

1,527

Machinery - 0.1%

Schaeffler Finance BV 4.75% 5/15/21 (g)

4,880

4,904

Terex Corp. 6% 5/15/21

4,755

4,779

 

9,683

Marine - 0.1%

Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (g)

5,205

5,127

Navios Maritime Holdings, Inc. 7.375% 1/15/22 (g)

1,529

1,324

Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (g)

4,035

3,864

Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21

3,130

2,754

 

13,069

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Professional Services - 0.0%

Pontis III Ltd. 0% (e)(g)(h)

$ 2,805

$ 2,791

Road & Rail - 0.1%

JSC Georgian Railway 7.75% 7/11/22 (g)

1,800

1,952

Lima Metro Line 2 Finance Ltd. 5.875% 7/5/34 (g)

1,870

1,910

 

3,862

Trading Companies & Distributors - 1.4%

Aircastle Ltd.:

4.625% 12/15/18

3,405

3,507

5.5% 2/15/22

4,250

4,338

6.25% 12/1/19

5,850

6,340

7.625% 4/15/20

3,750

4,242

Ashtead Capital, Inc. 5.625% 10/1/24 (g)

4,250

4,261

International Lease Finance Corp.:

4.625% 4/15/21

6,645

6,711

5.875% 4/1/19

13,663

14,567

5.875% 8/15/22

15,215

16,432

6.25% 5/15/19

19,100

20,652

8.25% 12/15/20

21,490

25,519

8.625% 1/15/22

21,585

26,334

NES Rentals Holdings, Inc. 7.875% 5/1/18 (g)

1,505

1,520

 

134,423

Transportation Infrastructure - 0.2%

Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (g)

6,026

6,448

Heathrow Funding Ltd. 6.25% 9/10/18

GBP

7,100

12,453

 

18,901

TOTAL INDUSTRIALS

345,111

INFORMATION TECHNOLOGY - 2.2%

Communications Equipment - 0.5%

Alcatel-Lucent U.S.A., Inc.:

6.75% 11/15/20 (g)

7,530

7,963

8.875% 1/1/20 (g)

2,695

2,931

Banglalink Digital Communications Ltd. 8.625% 5/6/19 (g)

6,705

6,772

Brocade Communications Systems, Inc. 4.625% 1/15/23

3,330

3,222

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Lucent Technologies, Inc.:

6.45% 3/15/29

$ 17,025

$ 17,578

6.5% 1/15/28

6,255

6,443

 

44,909

Electronic Equipment & Components - 0.1%

Flextronics International Ltd.:

4.625% 2/15/20

4,785

4,893

5% 2/15/23

2,495

2,544

 

7,437

Internet Software & Services - 0.2%

CyrusOne LP/CyrusOne Finance Corp. 6.375% 11/15/22

3,595

3,721

j2 Global, Inc. 8% 8/1/20

3,460

3,737

VeriSign, Inc.:

4.625% 5/1/23

4,375

4,205

5.25% 4/1/25 (g)

4,270

4,259

 

15,922

IT Services - 0.4%

Audatex North America, Inc.:

6% 6/15/21 (g)

9,200

9,453

6.125% 11/1/23 (g)

1,345

1,382

CDW LLC/CDW Finance Corp. 5% 9/1/23

4,285

4,210

Ceridian HCM Holding, Inc. 11% 3/15/21 (g)

2,360

2,496

First Data Corp.:

11.25% 1/15/21

2,564

2,846

11.75% 8/15/21

9,380

10,553

Global Cash Access, Inc. 10% 1/15/22 (g)

2,900

2,748

 

33,688

Semiconductors & Semiconductor Equipment - 0.5%

Advanced Micro Devices, Inc. 7% 7/1/24

4,430

3,743

Entegris, Inc. 6% 4/1/22 (g)

1,275

1,310

Infineon Technologies AG 1.5% 3/10/22 (Reg. S)

EUR

1,950

2,129

Micron Technology, Inc.:

5.25% 8/1/23 (g)

1,740

1,668

5.25% 1/15/24 (g)

3,250

3,069

5.5% 2/1/25 (g)

12,245

11,474

5.625% 1/15/26 (g)

3,250

3,002

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Micron Technology, Inc.: - continued

5.875% 2/15/22

$ 2,615

$ 2,661

NXP BV/NXP Funding LLC:

5.75% 2/15/21 (g)

5,005

5,205

5.75% 3/15/23 (g)

12,445

12,943

STATS ChipPAC Ltd. 4.5% 3/20/18 (g)

2,200

2,208

 

49,412

Software - 0.4%

Activision Blizzard, Inc.:

5.625% 9/15/21 (g)

18,545

19,426

6.125% 9/15/23 (g)

4,825

5,175

Blue Coat Systems, Inc. 8.375% 6/1/23 (g)

3,790

3,856

Infor Software Parent LLC/Infor Software Parent, Inc. 7.125% 5/1/21 pay-in-kind (g)(l)

1,885

1,890

Italics Merger Sub, Inc. 7.125% 7/15/23 (g)

2,150

2,123

Nuance Communications, Inc. 5.375% 8/15/20 (g)

2,445

2,457

Sophia Holding Finance LP/Sophia Holding Finance, Inc. 9.625% 12/1/18 pay-in-kind (g)(l)

3,425

3,468

SS&C Technologies Holdings, Inc. 5.875% 7/15/23 (g)

3,370

3,404

 

41,799

Technology Hardware, Storage & Peripherals - 0.1%

Project Homestake Merger Corp. 8.875% 3/1/23 (g)

2,375

2,304

Seagate HDD Cayman 4.75% 1/1/25 (g)

4,335

4,308

 

6,612

TOTAL INFORMATION TECHNOLOGY

199,779

MATERIALS - 3.7%

Chemicals - 1.3%

Albemarle Corp. U.S. 1.875% 12/8/21 (Reg. S)

EUR

8,900

9,783

Chemtura Corp. 5.75% 7/15/21

2,355

2,390

Hexion U.S. Finance Corp. 6.625% 4/15/20

5,865

5,381

LSB Industries, Inc. 7.75% 8/1/19

1,680

1,781

Momentive Performance Materials, Inc.:

3.88% 10/24/21

44,218

39,686

4.69% 4/24/22

14,170

11,761

10% 10/15/20 (c)

14,170

0

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 (c)

$ 44,218

$ 0

Nufarm Australia Ltd. 6.375% 10/15/19 (g)

2,020

2,065

OCP SA 5.625% 4/25/24 (g)

1,270

1,326

Platform Specialty Products Corp. 6.5% 2/1/22 (g)

3,325

3,433

PolyOne Corp.:

5.25% 3/15/23

3,085

3,054

7.375% 9/15/20

1,845

1,928

Rain CII Carbon LLC/CII Carbon Corp.:

8% 12/1/18 (g)

3,435

3,349

8.25% 1/15/21 (g)

1,730

1,682

Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp. 6.5% 4/15/21 (g)

2,120

2,088

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.:

7.375% 2/1/20 (g)

2,350

2,374

7.375% 2/1/20 (g)

1,680

1,697

The Chemours Company LLC:

6.625% 5/15/23 (g)

650

630

7% 5/15/25 (g)

3,465

3,361

TPC Group, Inc. 8.75% 12/15/20 (g)

7,335

6,785

U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV 7.375% 5/1/21 (g)

2,450

2,625

W.R. Grace & Co. - Conn:

5.125% 10/1/21 (g)

13,010

13,108

5.625% 10/1/24 (g)

2,840

2,876

 

123,163

Construction Materials - 0.1%

CEMEX Finance LLC:

6% 4/1/24 (g)

1,500

1,485

9.375% 10/12/22 (g)

2,370

2,640

Prince Mineral Holding Corp. 11.5% 12/15/19 (g)

1,685

1,550

Rearden G Holdings Eins GmbH 7.875% 3/30/20 (g)

3,215

3,127

Union Andina de Cementos SAA 5.875% 10/30/21 (g)

2,055

2,078

 

10,880

Containers & Packaging - 0.8%

Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (g)(l)

12,304

12,691

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Containers & Packaging - continued

Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:

6% 6/30/21 (g)

$ 9,740

$ 9,716

6.25% 1/31/19 (g)

2,410

2,452

6.75% 1/31/21 (g)

4,915

5,026

7% 11/15/20 (g)

530

541

Beverage Packaging Holdings II SA (Luxembourg):

5.625% 12/15/16 (g)

5,435

5,425

6% 6/15/17 (g)

2,720

2,720

Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (g)

2,060

1,833

Crown Cork & Seal, Inc.:

7.375% 12/15/26

11,295

12,679

7.5% 12/15/96

3,685

3,547

Graphic Packaging International, Inc. 4.75% 4/15/21

1,555

1,571

Sealed Air Corp. 5.25% 4/1/23 (g)

2,540

2,556

Silgan Holdings, Inc. 5% 4/1/20

9,600

9,864

 

70,621

Metals & Mining - 1.4%

Aleris International, Inc. 6% 6/1/20 (g)

33

33

Alrosa Finance SA 7.75% 11/3/20 (g)

2,285

2,388

Cliffs Natural Resources, Inc.:

7.75% 3/31/20 (g)

7,943

5,084

8.25% 3/31/20 (g)

3,265

3,085

Compania Minera Ares SAC 7.75% 1/23/21 (g)

2,880

2,956

CSN Resources SA 6.5% 7/21/20 (g)

1,600

1,360

Edgen Murray Corp. 8.75% 11/1/20 (g)

3,848

4,156

Essar Steel Algoma, Inc. 9.5% 11/15/19 (g)

3,790

3,212

EVRAZ Group SA:

6.5% 4/22/20 (g)

5,345

4,835

9.5% 4/24/18 (Reg. S)

9,565

9,849

Evraz, Inc. NA Canada 7.5% 11/15/19 (g)

5,600

5,516

Ferrexpo Finance PLC 10.375% 4/7/19 (g)

6,330

5,286

First Quantum Minerals Ltd.:

6.75% 2/15/20 (g)

3,138

3,036

7% 2/15/21 (g)

3,533

3,378

7.25% 5/15/22 (g)

3,980

3,806

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

Gold Fields Orogen Holding BVI Ltd.:

4.875% 10/7/20 (g)

$ 6,140

$ 5,618

4.875% 10/7/20 (Reg. S)

400

366

GTL Trade Finance, Inc. 5.893% 4/29/24 (g)

3,450

3,365

Metalloinvest Finance Ltd. 5.625% 4/17/20 (g)

1,880

1,720

Metinvest BV:

8.75% 2/14/18 (Reg. S)

955

535

10.5% 11/28/17 (g)

10,548

6,065

10.5% 11/28/17 (Reg. S)

187

108

Mirabela Nickel Ltd. 1% 9/10/44 (g)

14

0

Murray Energy Corp. 11.25% 4/15/21 (g)

8,770

7,367

New Gold, Inc. 7% 4/15/20 (g)

1,480

1,532

Nord Gold NV 6.375% 5/7/18 (g)

5,685

5,628

Polyus Gold International Ltd.:

5.625% 4/29/20 (g)

10,085

9,480

5.625% 4/29/20 (Reg. S)

500

470

Ryerson, Inc./Joseph T Ryerson & Son, Inc.:

9% 10/15/17

7,005

7,058

11.25% 10/15/18

7,091

7,162

Southern Copper Corp.:

6.75% 4/16/40

220

227

7.5% 7/27/35

3,875

4,340

Steel Dynamics, Inc.:

5.125% 10/1/21

1,280

1,283

5.25% 4/15/23

1,805

1,791

5.5% 10/1/24

3,200

3,200

Vale Overseas Ltd. 6.875% 11/21/36

2,160

2,088

Vedanta Resources PLC 6.75% 6/7/16 (g)

3,410

3,491

Walter Energy, Inc. 9.5% 10/15/19 (g)

2,645

1,428

 

132,302

Paper & Forest Products - 0.1%

Boise Cascade Co. 6.375% 11/1/20

1,410

1,486

Mercer International, Inc.:

7% 12/1/19

3,105

3,245

7.75% 12/1/22

5,580

5,999

NewPage Corp.:

0% 5/1/12 (c)(l)

1,770

0

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Paper & Forest Products - continued

NewPage Corp.: - continued

11.375% 12/31/14 (c)

$ 4,404

$ 0

Sino-Forest Corp. 6.25% 10/21/17 (c)(g)

5,480

0

 

10,730

TOTAL MATERIALS

347,696

TELECOMMUNICATION SERVICES - 4.6%

Diversified Telecommunication Services - 1.5%

Altice Financing SA:

6.5% 1/15/22 (g)

10,799

10,799

6.625% 2/15/23 (g)

8,265

8,205

7.875% 12/15/19 (g)

4,820

5,073

Altice Finco SA:

8.125% 1/15/24 (g)

8,730

8,817

9.875% 12/15/20 (g)

5,655

6,221

Citizens Communications Co.:

7.875% 1/15/27

4,895

4,528

9% 8/15/31

3,655

3,326

Consolidated Communications, Inc. 10.875% 6/1/20

2,395

2,742

Eileme 2 AB 11.625% 1/31/20 (g)

9,395

10,428

FairPoint Communications, Inc. 8.75% 8/15/19 (g)

4,990

5,190

Frontier Communications Corp. 8.5% 4/15/20

12,120

12,671

GCI, Inc. 6.875% 4/15/25

4,240

4,282

Indosat Palapa Co. BV 7.375% 7/29/20 (g)

3,445

3,566

Level 3 Communications, Inc. 5.75% 12/1/22

4,685

4,650

Level 3 Financing, Inc.:

5.125% 5/1/23 (g)

4,340

4,232

5.375% 5/1/25 (g)

4,340

4,183

Lynx I Corp. 5.375% 4/15/21 (g)

2,898

2,985

Lynx II Corp. 6.375% 4/15/23 (g)

1,820

1,881

Qtel International Finance Ltd. 5% 10/19/25 (g)

2,155

2,320

Sprint Capital Corp.:

6.875% 11/15/28

15,690

13,493

8.75% 3/15/32

7,721

7,509

Telefonica Celular del Paraguay SA 6.75% 12/13/22 (g)

1,880

1,946

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

U.S. West Communications:

6.875% 9/15/33

$ 2,535

$ 2,507

7.25% 9/15/25

535

611

7.25% 10/15/35

1,455

1,491

UPCB Finance IV Ltd. 5.375% 1/15/25 (g)

4,635

4,424

Virgin Media Finance PLC 4.875% 2/15/22

5,445

5,118

 

143,198

Wireless Telecommunication Services - 3.1%

America Movil S.A.B. de CV 6.45% 12/5/22

MXN

79,000

4,815

Comcel Trust 6.875% 2/6/24 (g)

1,875

1,973

Digicel Group Ltd.:

6% 4/15/21 (g)

27,845

26,846

6.75% 3/1/23 (g)

1,880

1,843

7% 2/15/20 (g)

2,330

2,412

7.125% 4/1/22 (g)

30,060

28,548

8.25% 9/30/20 (g)

32,570

32,651

Intelsat Jackson Holdings SA:

6.625% 12/15/22 (Reg. S)

12,000

10,920

7.5% 4/1/21

5,185

5,127

Millicom International Cellular SA:

4.75% 5/22/20 (g)

4,710

4,529

6% 3/15/25 (g)

3,755

3,624

6.625% 10/15/21 (g)

1,475

1,516

MTS International Funding Ltd. 8.625% 6/22/20 (g)

9,215

9,933

Sprint Corp. 7.125% 6/15/24

1,565

1,452

T-Mobile U.S.A., Inc.:

6% 3/1/23

7,490

7,668

6.125% 1/15/22

7,790

8,043

6.25% 4/1/21

15,470

15,857

6.375% 3/1/25

33,465

34,218

6.5% 1/15/24

20,640

21,311

6.625% 4/1/23

20,286

21,072

6.633% 4/28/21

7,440

7,719

6.731% 4/28/22

4,835

5,040

6.836% 4/28/23

5,580

5,866

TBG Global Pte. Ltd. 4.625% 4/3/18 (Reg. S)

1,630

1,622

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Vimpel Communications 9.125% 4/30/18 (Reg. S) (Issued by VIP Finance Ireland Ltd. for Vimpel Communications)

$ 2,150

$ 2,301

Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (g)

13,615

13,666

VimpelCom Holdings BV:

9% 2/13/18 (g)

RUB

60,220

1,000

9% 2/13/18 (Reg S.)

RUB

96,940

1,610

 

283,182

TOTAL TELECOMMUNICATION SERVICES

426,380

UTILITIES - 2.0%

Electric Utilities - 0.8%

E.ON International Finance BV 5.875% 10/30/37

GBP

5,000

9,306

Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.:

11% 10/1/21 (c)

24,490

27,551

11.75% 3/1/22 (c)(g)

22,732

25,886

Lamar Funding Ltd. 3.958% 5/7/25 (g)

1,875

1,823

Mirant Americas Generation LLC 9.125% 5/1/31

4,075

3,790

RJS Power Holdings LLC 5.125% 7/15/19 (g)

4,245

4,160

 

72,516

Gas Utilities - 0.2%

Intergas Finance BV 6.375% 5/14/17 (Reg. S)

2,095

2,158

Southern Natural Gas Co.:

7.35% 2/15/31

6,645

7,463

8% 3/1/32

3,400

4,036

Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17

2,435

2,545

Suburban Propane Partners LP/Suburban Energy Finance Corp. 7.375% 8/1/21

2,721

2,905

 

19,107

Independent Power and Renewable Electricity Producers - 1.0%

Calpine Corp. 7.875% 1/15/23 (g)

4,840

5,227

Energy Future Holdings Corp.:

10.875% 11/1/17 (c)

10,985

13,017

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Independent Power and Renewable Electricity Producers - continued

Energy Future Holdings Corp.: - continued

11.25% 11/1/17 pay-in-kind (c)(l)

$ 8,822

$ 10,454

Listrindo Capital BV 6.95% 2/21/19 (Reg. S)

1,815

1,897

PPL Energy Supply LLC 6.5% 6/1/25 (g)

3,425

3,425

TerraForm Power Operating LLC 5.875% 2/1/23 (g)

2,680

2,720

The AES Corp.:

4.875% 5/15/23

5,485

5,156

5.5% 3/15/24

2,635

2,536

TXU Corp.:

5.55% 11/15/14 (c)

1,864

1,967

6.5% 11/15/24 (c)

15,240

16,002

6.55% 11/15/34 (c)

29,755

31,243

 

93,644

TOTAL UTILITIES

185,267

TOTAL NONCONVERTIBLE BONDS

4,016,374

TOTAL CORPORATE BONDS

(Cost $3,966,522)


4,016,974

U.S. Government and Government Agency Obligations - 15.4%

 

U.S. Government Agency Obligations - 0.3%

Federal Home Loan Bank 1% 6/21/17

8,670

8,714

Tennessee Valley Authority:

1.75% 10/15/18

15,059

15,181

5.25% 9/15/39

1,138

1,380

5.375% 4/1/56

3,247

3,908

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

29,183

U.S. Treasury Inflation-Protected Obligations - 0.4%

U.S. Treasury Inflation-Indexed Bonds:

0.75% 2/15/45

23,521

21,324

1.375% 2/15/44

12,234

12,964

TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS

34,288

U.S. Government and Government Agency Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

U.S. Treasury Obligations - 14.0%

U.S. Treasury Bonds:

3% 5/15/45

$ 14,332

$ 13,978

3.375% 5/15/44

5,044

5,273

3.625% 2/15/44

75,957

83,137

4.25% 5/15/39

17,000

20,433

5.25% 2/15/29

18,341

23,888

5.375% 2/15/31 (k)

16,479

22,108

6.125% 8/15/29 (j)

9,280

13,107

7.5% 11/15/16

2,850

3,125

7.5% 11/15/24

5,690

8,210

7.875% 2/15/21

6,800

9,021

8.125% 5/15/21

9,286

12,526

U.S. Treasury Notes:

0.25% 7/15/15

22,225

22,227

0.25% 5/15/16

10,407

10,402

0.375% 1/15/16

35,003

35,041

0.375% 10/31/16

25,000

24,973

0.5% 2/28/17

3,924

3,920

0.5% 7/31/17

16,952

16,888

0.625% 12/31/16

65,882

65,995

0.75% 4/15/18

12,453

12,380

0.875% 1/31/17

1,865

1,875

0.875% 5/15/17

8,337

8,373

0.875% 8/15/17

28,906

29,008

0.875% 10/15/17

8,270

8,285

0.875% 1/31/18

8,149

8,148

0.875% 7/31/19

34,096

33,366

1% 9/30/16

56,457

56,863

1% 10/31/16

35,137

35,387

1% 5/15/18

10,000

10,005

1% 5/31/18

23,293

23,286

1.125% 6/15/18

5,000

5,016

1.375% 7/31/18

4,355

4,396

1.375% 9/30/18

11,963

12,054

1.375% 2/28/19

41,776

41,897

1.375% 3/31/20

4,936

4,884

1.375% 4/30/20

42,203

41,705

1.5% 12/31/18

5,624

5,676

1.5% 1/31/19

38,339

38,663

1.5% 5/31/20

17,150

17,039

1.5% 1/31/22

25,140

24,311

U.S. Government and Government Agency Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

1.625% 4/30/19

$ 50,979

$ 51,517

1.625% 6/30/19

39,152

39,495

1.625% 12/31/19

10,776

10,811

1.75% 9/30/19

39,910

40,356

1.75% 3/31/22

3,760

3,688

1.875% 8/31/17

7,700

7,892

1.875% 9/30/17

5,400

5,534

1.875% 10/31/17

13,764

14,106

2% 5/31/21

24,000

24,135

2% 2/15/25

5,586

5,419

2.125% 6/30/21

11,000

11,126

2.125% 6/30/22

23,000

23,074

2.25% 3/31/21

51,137

52,204

2.25% 4/30/21

45,402

46,321

2.25% 11/15/24

6,266

6,217

2.375% 7/31/17

21,976

22,735

2.375% 6/30/18

7,978

8,293

2.375% 8/15/24

27,099

27,205

2.625% 4/30/16

3,137

3,197

2.75% 11/30/16

7,000

7,222

3% 9/30/16

8,408

8,677

3% 2/28/17

34,584

35,975

3.5% 2/15/18

18,226

19,449

4.5% 5/15/17

13,745

14,733

TOTAL U.S. TREASURY OBLIGATIONS

1,306,250

Other Government Related - 0.7%

National Credit Union Administration Guaranteed Notes:

Series 2010-A1 Class A, 0.5235% 12/7/20 (NCUA Guaranteed) (l)

1,995

1,997

Series 2011-R1 Class 1A, 0.6305% 1/8/20 (NCUA Guaranteed) (l)

4,382

4,403

Series 2011-R4 Class 1A, 0.5605% 3/6/20 (NCUA Guaranteed) (l)

1,617

1,619

U.S. Government and Government Agency Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

Other Government Related - continued

National Credit Union Administration Guaranteed Notes Master Trust:

2.35% 6/12/17 (NCUA Guaranteed)

$ 31,000

$ 31,915

3.45% 6/12/21 (NCUA Guaranteed)

25,300

27,025

TOTAL OTHER GOVERNMENT RELATED

66,959

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,417,887)


1,436,680

U.S. Government Agency - Mortgage Securities - 1.1%

 

Fannie Mae - 0.2%

1.865% 10/1/35 (l)

23

25

1.915% 11/1/33 (l)

51

54

1.925% 9/1/33 (l)

443

465

1.925% 11/1/35 (l)

359

377

2.045% 1/1/35 (l)

223

235

2.052% 6/1/36 (l)

46

49

2.142% 9/1/36 (l)

103

110

2.19% 3/1/37 (l)

25

27

2.231% 3/1/33 (l)

104

110

2.278% 6/1/47 (l)

144

154

2.289% 11/1/36 (l)

40

42

2.321% 7/1/35 (l)

167

178

2.36% 2/1/37 (l)

456

487

2.44% 5/1/36 (l)

49

53

2.512% 4/1/36 (l)

319

342

2.526% 2/1/36 (l)

37

40

2.557% 6/1/42 (l)

384

398

2.691% 2/1/42 (l)

2,086

2,165

2.725% 8/1/35 (l)

669

717

2.765% 1/1/42 (l)

1,854

1,927

2.96% 11/1/40 (l)

222

233

2.982% 9/1/41 (l)

248

259

3.059% 10/1/41 (l)

99

102

3.234% 7/1/41 (l)

406

430

3.308% 10/1/41 (l)

220

232

3.5% 1/1/26 to 9/1/26

95

100

3.554% 7/1/41 (l)

434

460

U.S. Government Agency - Mortgage Securities - continued

 

Principal
Amount (000s) (d)

Value (000s)

Fannie Mae - continued

5% 5/1/22

$ 6

$ 6

5.5% 10/1/20 to 1/1/29

3,805

4,155

6% 6/1/16 to 10/1/16

12

12

6.5% 6/1/16 to 8/1/36

4,950

5,748

7.5% 1/1/28

30

35

TOTAL FANNIE MAE

19,727

Freddie Mac - 0.2%

1.82% 3/1/35 (l)

114

118

1.825% 3/1/37 (l)

18

18

1.852% 1/1/36 (l)

93

98

2.022% 2/1/37 (l)

53

56

2.05% 6/1/37 (l)

30

32

2.06% 1/1/37 (l)

274

291

2.095% 8/1/37 (l)

77

82

2.1% 7/1/35 (l)

156

167

2.121% 5/1/37 (l)

77

83

2.23% 6/1/33 (l)

254

271

2.333% 4/1/37 (l)

92

99

2.346% 10/1/36 (l)

341

361

2.351% 10/1/35 (l)

136

144

2.385% 5/1/37 (l)

914

976

2.385% 5/1/37 (l)

465

499

2.403% 10/1/42 (l)

2,269

2,395

2.415% 6/1/37 (l)

273

293

2.436% 5/1/37 (l)

71

76

2.448% 6/1/37 (l)

57

61

2.49% 9/1/35 (l)

63

68

2.506% 2/1/36 (l)

6

6

2.545% 7/1/36 (l)

90

96

2.595% 4/1/37 (l)

9

9

2.673% 7/1/35 (l)

236

253

3.072% 10/1/35 (l)

48

51

3.081% 9/1/41 (l)

2,344

2,446

3.217% 9/1/41 (l)

244

256

3.242% 4/1/41 (l)

264

277

3.292% 6/1/41 (l)

302

320

3.47% 5/1/41 (l)

276

291

3.624% 6/1/41 (l)

427

454

3.705% 5/1/41 (l)

374

398

6% 1/1/24

1,350

1,492

U.S. Government Agency - Mortgage Securities - continued

 

Principal
Amount (000s) (d)

Value (000s)

Freddie Mac - continued

6.5% 10/1/15 to 3/1/22

$ 532

$ 579

8.5% 3/1/20

0*

0*

TOTAL FREDDIE MAC

13,116

Ginnie Mae - 0.7%

4.3% 8/20/61 (q)

3,395

3,589

4.53% 10/20/62 (q)

3,579

3,899

4.55% 5/20/62 (q)

20,205

21,837

4.626% 3/20/62 (q)

4,308

4,646

4.649% 2/20/62 (q)

2,374

2,559

4.65% 3/20/62 (q)

3,943

4,257

4.682% 2/20/62 (q)

2,925

3,152

4.684% 1/20/62 (q)

13,765

14,815

5.47% 8/20/59 (q)

1,297

1,346

5.5% 11/15/35

1,923

2,184

5.612% 4/20/58 (q)

994

1,013

6% 6/15/36

3,933

4,533

7% 9/15/25 to 8/15/31

24

28

7.5% 2/15/22 to 8/15/28

45

53

8% 12/15/26

0*

0*

TOTAL GINNIE MAE

67,911

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $98,263)


100,754

Collateralized Mortgage Obligations - 2.5%

 

U.S. Government Agency - 2.5%

Fannie Mae:

floater:

Series 2008-76 Class EF, 0.687% 9/25/23 (l)

424

426

Series 2010-15 Class FJ, 1.117% 6/25/36 (l)

4,604

4,693

Series 2010-86 Class FE, 0.637% 8/25/25 (l)

517

521

planned amortization class:

Series 2002-9 Class PC, 6% 3/25/17

10

10

Series 2003-70 Class BJ, 5% 7/25/33

462

514

Series 2005-19 Class PA, 5.5% 7/25/34

1,578

1,715

Series 2005-27 Class NE, 5.5% 5/25/34

1,565

1,627

Series 2005-52 Class PB, 6.5% 12/25/34

38

38

Collateralized Mortgage Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

U.S. Government Agency - continued

Fannie Mae: - continued

planned amortization class:

Series 2005-64 Class PX, 5.5% 6/25/35

$ 1,541

$ 1,693

Series 2005-68 Class CZ, 5.5% 8/25/35

3,818

4,288

Series 2010-118 Class PB, 4.5% 10/25/40

3,310

3,548

sequential payer:

Series 2002-57 Class BD, 5.5% 9/25/17

41

43

Series 2003-117 Class MD, 5% 12/25/23

1,011

1,118

Series 2004-91 Class Z, 5% 12/25/34

4,264

4,740

Series 2005-117 Class JN, 4.5% 1/25/36

808

882

Series 2005-14 Class ZB, 5% 3/25/35

1,570

1,745

Series 2006-72 Class CY, 6% 8/25/26

1,363

1,512

Series 2009-59 Class HB, 5% 8/25/39

2,187

2,430

Series 2009-85 Class IB, 4.5% 8/25/24 (n)

288

25

Series 2009-93 Class IC, 4.5% 9/25/24 (n)

439

37

Series 2010-139 Class NI, 4.5% 2/25/40 (n)

2,707

402

Series 2010-39 Class FG, 1.107% 3/25/36 (l)

2,852

2,927

Series 2010-97 Class CI, 4.5% 8/25/25 (n)

942

72

Series 2011-67 Class AI, 4% 7/25/26 (n)

787

91

Series 2012-27 Class EZ, 4.25% 3/25/42

3,569

3,848

Freddie Mac:

floater:

Series 2630 Class FL, 0.6855% 6/15/18 (l)

12

12

Series 2711 Class FC, 1.0855% 2/15/33 (l)

1,725

1,756

floater planned amortization class Series 2770 Class FH, 0.5855% 3/15/34 (l)

1,841

1,856

planned amortization class:

Series 2101 Class PD, 6% 11/15/28

60

66

Series 2376 Class JE, 5.5% 11/15/16

31

32

Series 2381 Class OG, 5.5% 11/15/16

15

16

Series 2425 Class JH, 6% 3/15/17

50

52

Series 2672 Class MG, 5% 9/15/23

3,295

3,578

Series 2996 Class MK, 5.5% 6/15/35

158

178

Series 3415 Class PC, 5% 12/15/37

762

822

Series 3763 Class QA, 4% 4/15/34

1,660

1,725

planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34

3,047

3,142

sequential payer:

Series 2004-2802 Class ZG, 5.5% 5/15/34

7,088

8,006

Series 2303 Class ZV, 6% 4/15/31

142

157

Series 2877 Class ZD, 5% 10/15/34

5,026

5,584

Series 3745 Class KV, 4.5% 12/15/26

3,363

3,727

Collateralized Mortgage Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

U.S. Government Agency - continued

Freddie Mac: - continued

Series 3843 Class PZ, 5% 4/15/41

$ 1,035

$ 1,206

Ginnie Mae guaranteed REMIC pass-thru certificates:

floater:

Series 2007-59 Class FC, 0.684% 7/20/37 (l)

937

944

Series 2008-2 Class FD, 0.664% 1/20/38 (l)

236

238

Series 2008-73 Class FA, 1.044% 8/20/38 (l)

1,417

1,445

Series 2008-83 Class FB, 1.084% 9/20/38 (l)

1,417

1,446

Series 2009-108 Class CF, 0.7834% 11/16/39 (l)

1,147

1,159

Series 2009-116 Class KF, 0.7134% 12/16/39 (l)

905

914

Series 2010-9 Class FA, 0.7034% 1/16/40 (l)

1,473

1,486

Series 2010-H17 Class FA, 0.5115% 7/20/60 (l)(q)

4,935

4,912

Series 2010-H18 Class AF, 0.4776% 9/20/60 (l)(q)

5,761

5,738

Series 2010-H19 Class FG, 0.4776% 8/20/60 (l)(q)

6,812

6,785

Series 2010-H27 Series FA, 0.5576% 12/20/60 (l)(q)

2,174

2,174

Series 2011-H05 Class FA, 0.6776% 12/20/60 (l)(q)

3,730

3,743

Series 2011-H07 Class FA, 0.6823% 2/20/61 (l)(q)

6,913

6,936

Series 2011-H12 Class FA, 0.6723% 2/20/61 (l)(q)

8,579

8,605

Series 2011-H13 Class FA, 0.6776% 4/20/61 (l)(q)

3,322

3,333

Series 2011-H14:

Class FB, 0.6776% 5/20/61 (l)(q)

3,864

3,880

Class FC, 0.6776% 5/20/61 (l)(q)

3,550

3,563

Series 2011-H17 Class FA, 0.7076% 6/20/61 (l)(q)

4,792

4,812

Series 2011-H21 Class FA, 0.7776% 10/20/61 (l)(q)

5,144

5,181

Series 2012-H01 Class FA, 0.8776% 11/20/61 (l)(q)

4,387

4,437

Series 2012-H03 Class FA, 0.8776% 1/20/62 (l)(q)

2,752

2,784

Series 2012-H06 Class FA, 0.8076% 1/20/62 (l)(q)

4,268

4,305

Series 2012-H07 Class FA, 0.8076% 3/20/62 (l)(q)

2,573

2,601

Collateralized Mortgage Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass-thru certificates: - continued

floater:

Series 2013-H19:

Class FC, 0.7776% 8/20/63 (l)(q)

$ 567

$ 572

Class FD, 0.7776% 8/20/63 (l)(q)

1,550

1,562

Series 2015-H13 Class FL, 0.461% 5/20/63 (l)(q)

21,486

21,486

floater sequential payer Series 2011-150 Class D, 3% 4/20/37

173

176

planned amortization class Series 2011-136 Class WI, 4.5% 5/20/40 (n)

1,754

305

sequential payer Series 2011-69 Class GX, 4.5% 5/16/40

4,910

5,385

Series 2010-H15 Class TP, 5.15% 8/20/60 (q)

11,012

11,901

Series 2010-H17 Class XP, 5.3001% 7/20/60 (l)(q)

14,982

16,142

Series 2010-H18 Class PL, 5.01% 9/20/60 (l)(q)

11,393

12,290

Series 2012-64 Class KB, 5.2466% 5/20/41 (l)

856

970

Series 2013-124:

Class ES, 8.4213% 4/20/39 (l)(o)

4,219

4,863

Class ST, 8.5547% 8/20/39 (l)(o)

7,926

9,091

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $234,407)


237,024

Commercial Mortgage Securities - 1.5%

 

Freddie Mac:

pass thru-certificates floater Series KF01 Class A, 0.534% 4/25/19 (l)

1,179

1,174

pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20

2,480

2,712

sequential payer:

Series K006 Class A2, 4.251% 1/25/20

14,020

15,333

Series K009 Class A2, 3.808% 8/25/20

20,970

22,615

Series K034 Class A1, 2.669% 2/25/23

9,115

9,361

Series K717 Class A2, 2.991% 9/25/21

4,224

4,387

Series K039 Class A2, 3.303% 7/25/24

16,000

16,548

Series K042 Class A2, 2.67% 12/25/24

13,200

12,930

Series K501 Class A2, 1.655% 11/25/16

5,440

5,485

Series K714 Class A2, 3.034% 10/25/20

14,000

14,634

Series K716 Class A2, 3.13% 6/25/21

10,900

11,420

Commercial Mortgage Securities - continued

 

Principal
Amount (000s) (d)

Value (000s)

Freddie Mac Multi-family Structured Pass-thru Certificates:

sequential payer Series K718 Class A2, 2.791% 1/25/22

$ 12,190

$ 12,484

Series K044 Class A2, 2.811% 1/25/25

12,200

12,096

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $141,354)


141,179

Foreign Government and Government Agency Obligations - 16.5%

 

Arab Republic 5.875% 6/11/25 (g)

1,325

1,294

Arab Republic of Egypt 6.875% 4/30/40 (g)

650

635

Argentine Republic:

7% 10/3/15

11,985

11,931

7% 4/17/17

50,170

48,225

Australian Commonwealth:

2.75% 6/21/35 (Reg. S)

AUD

4,000

2,712

3.25% 4/21/25 (Reg. S)

AUD

73,925

58,154

Azerbaijan Republic 4.75% 3/18/24 (g)

1,390

1,416

Banco Central del Uruguay:

value recovery A rights 1/2/21 (p)

500,000

0

value recovery B rights 1/2/21 (p)

750,000

0

Belarus Republic:

8.75% 8/3/15 (Reg. S)

18,150

17,941

8.95% 1/26/18

15,805

15,082

Brazilian Federative Republic:

5.625% 1/7/41

9,430

9,006

7.125% 1/20/37

10,285

11,622

8.25% 1/20/34

9,960

12,375

10% 1/1/17

BRL

11,360

3,471

Buenos Aires Province:

9.375% 9/14/18 (g)

1,930

1,896

9.95% 6/9/21

3,160

3,089

10.875% 1/26/21 (Reg. S)

11,261

11,317

Buoni del Tesoro Poliennali:

1.05% 12/1/19

EUR

27,150

30,251

2.5% 12/1/24

EUR

16,250

18,475

4.5% 3/1/24

EUR

12,500

16,437

Foreign Government and Government Agency Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

Canadian Government:

1.5% 2/1/17

CAD

20,200

$ 16,431

1.5% 3/1/20

CAD

30,650

25,305

2.25% 6/1/25

CAD

25,950

21,846

3.5% 12/1/45

CAD

14,200

14,321

Central Bank of Nigeria warrants 11/15/20 (a)(p)

6,250

762

City of Buenos Aires:

8.95% 2/19/21 (g)

6,510

6,640

9.95% 3/1/17 (g)

2,620

2,712

Colombian Republic:

4.375% 3/21/23

COP

7,084,000

2,457

5% 6/15/45

1,425

1,318

5.625% 2/26/44

1,425

1,443

6.125% 1/18/41

2,390

2,587

7.375% 9/18/37

2,450

3,020

10.375% 1/28/33

7,000

10,521

Congo Republic 4% 6/30/29

13,932

12,371

Costa Rican Republic:

4.25% 1/26/23 (g)

2,240

2,068

5.625% 4/30/43 (g)

640

528

7% 4/4/44 (g)

4,285

4,146

7.158% 3/12/45 (g)

300

293

Croatia Republic:

5.5% 4/4/23 (g)

1,350

1,388

6% 1/26/24 (g)

1,300

1,374

6.375% 3/24/21 (g)

2,545

2,745

6.625% 7/14/20 (g)

1,805

1,974

6.75% 11/5/19 (g)

1,910

2,102

Danish Kingdom 1.75% 11/15/25

DKK

72,000

11,541

Democratic Socialist Republic of Sri Lanka:

6% 1/14/19 (g)

1,895

1,935

6.25% 10/4/20 (g)

3,455

3,537

6.25% 7/27/21 (g)

1,190

1,206

Dominican Republic:

1.25% 8/30/24 (l)

7,803

7,573

5.5% 1/27/25 (g)

2,360

2,366

5.875% 4/18/24 (g)

910

944

6.85% 1/27/45 (g)

4,605

4,697

7.45% 4/30/44 (g)

5,725

6,255

7.5% 5/6/21 (g)

3,640

4,086

El Salvador Republic:

7.625% 2/1/41 (g)

1,545

1,530

7.65% 6/15/35 (Reg. S)

1,910

1,920

8.25% 4/10/32 (Reg. S)

595

650

Foreign Government and Government Agency Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

French Government OAT:

1.75% 5/25/23

EUR

4,100

$ 4,886

3.25% 5/25/45

EUR

5,250

7,200

Georgia Republic 6.875% 4/12/21 (g)

1,400

1,512

German Federal Republic:

0% 4/17/20

EUR

135,850

150,881

0.5% 2/15/25

EUR

36,600

39,778

2.5% 8/15/46

EUR

13,325

18,193

Hong Kong Government SAR 1.32% 12/23/19

HKD

21,000

2,740

Hungarian Republic:

5.375% 3/25/24

2,242

2,430

5.75% 11/22/23

3,656

4,049

7.625% 3/29/41

3,675

4,870

Indonesian Republic:

3.375% 4/15/23 (g)

2,040

1,923

4.875% 5/5/21 (g)

615

653

5.25% 1/17/42 (g)

1,985

1,908

5.375% 10/17/23

1,850

1,991

5.875% 3/13/20 (g)

1,245

1,385

6.625% 2/17/37 (g)

4,000

4,520

6.75% 1/15/44 (g)

1,725

2,001

7.75% 1/17/38 (g)

7,525

9,585

7.875% 4/15/19

IDR

26,025,000

1,935

8.5% 10/12/35 (Reg. S)

6,195

8,363

Irish Republic 2% 2/18/45 (Reg.S)

EUR

7,850

7,644

Islamic Republic of Pakistan:

7.125% 3/31/16 (g)

9,605

9,857

7.25% 4/15/19 (g)

7,240

7,588

8.25% 4/15/24 (g)

1,500

1,631

Israeli State (guaranteed by U.S. Government through Agency for International Development):

5.5% 9/18/23

28,730

34,704

5.5% 12/4/23

12,385

15,009

Italian Republic 4.75% 9/1/44

EUR

5,700

8,000

Ivory Coast 5.75% 12/31/32

7,875

7,384

Japan Government:

0.1% 10/15/15

JPY

2,297,000

18,774

0.1% 2/15/16

JPY

2,600,000

21,257

0.1% 3/15/16

JPY

2,500,000

20,441

0.1% 8/15/16

JPY

4,890,000

40,001

0.5% 12/20/15

JPY

1,375,000

11,261

0.9% 6/20/22

JPY

5,202,800

44,529

Foreign Government and Government Agency Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

Japan Government: - continued

1.5% 12/20/44

JPY

2,215,000

$ 18,300

1.9% 9/20/30

JPY

7,735,000

72,761

Jordanian Kingdom:

2.503% 10/30/20

25,601

26,407

3% 6/30/25

8,712

8,703

Kingdom of Norway 3.75% 5/25/21

NOK

36,000

5,200

Lebanese Republic:

4% 12/31/17

7,768

7,709

5.45% 11/28/19

1,910

1,922

Moroccan Kingdom:

4.25% 12/11/22 (g)

2,660

2,713

5.5% 12/11/42 (g)

960

972

New Zealand Government 6% 5/15/21

NZD

8,000

6,254

Panamanian Republic:

6.7% 1/26/36

1,175

1,451

8.875% 9/30/27

1,875

2,653

9.375% 4/1/29

1,570

2,324

Peruvian Republic:

4% 3/7/27 (f)

5,671

5,671

8.75% 11/21/33

1,055

1,593

Philippine Republic:

7.75% 1/14/31

2,290

3,303

9.5% 2/2/30

2,980

4,824

10.625% 3/16/25

1,695

2,706

Plurinational State of Bolivia 5.95% 8/22/23 (g)

2,560

2,714

Provincia de Cordoba 12.375% 8/17/17 (g)

6,605

6,737

Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S)

1,400

1,398

Republic of Armenia:

6% 9/30/20 (g)

5,271

5,149

7.15% 3/26/25 (g)

3,080

3,049

Republic of Iceland 5.875% 5/11/22 (g)

2,950

3,331

Republic of Iraq 5.8% 1/15/28 (Reg. S)

11,420

9,234

Republic of Nigeria 5.125% 7/12/18 (g)

2,475

2,484

Republic of Serbia:

5.25% 11/21/17 (g)

1,375

1,421

5.875% 12/3/18 (g)

3,975

4,179

6.75% 11/1/24 (g)

8,150

8,284

7.25% 9/28/21 (g)

2,500

2,800

Republic of Singapore 3.25% 9/1/20

SGD

25,500

20,050

Foreign Government and Government Agency Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

Romanian Republic:

4.375% 8/22/23 (g)

$ 2,300

$ 2,357

6.125% 1/22/44 (g)

3,886

4,360

Russian Federation:

4.875% 9/16/23 (g)

3,720

3,679

5% 4/29/20 (g)

2,125

2,181

5.625% 4/4/42 (g)

3,000

2,820

5.875% 9/16/43 (g)

6,400

6,165

7.5% 3/31/30 (Reg. S)

4,134

4,843

12.75% 6/24/28 (Reg. S)

19,505

30,542

South African Republic 5.875% 9/16/25

1,355

1,501

Spanish Kingdom:

1.4% 1/31/20

EUR

7,000

7,901

2.15% 10/31/25(Reg. S) (g)

EUR

2,500

2,735

2.75% 10/31/24 (Reg. S)

EUR

13,450

15,591

5.15% 10/31/44

EUR

2,700

4,020

Sweden Kingdom 3.5% 6/1/22

SEK

135,350

19,471

Switzerland Confederation:

1.5% 7/24/25

CHF

12,300

14,896

4.25% 6/5/17

CHF

12,350

14,546

Turkish Republic:

4.875% 4/16/43

2,135

1,943

5.125% 3/25/22

1,195

1,252

5.625% 3/30/21

4,015

4,328

6.25% 9/26/22

2,890

3,215

6.75% 4/3/18

5,480

6,043

6.75% 5/30/40

3,520

4,048

6.875% 3/17/36

3,790

4,396

7% 3/11/19

3,695

4,153

7.25% 3/5/38

2,605

3,154

7.375% 2/5/25

3,835

4,602

7.5% 11/7/19

6,405

7,385

8% 2/14/34

2,075

2,676

11.875% 1/15/30

3,915

6,584

Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (g)

2,640

1,287

Ukraine Government:

7.8% 11/28/22 (g)

4,680

2,410

7.95% 2/23/21 (g)

1,065

554

9.25% 7/24/17 (g)

5,325

2,561

Foreign Government and Government Agency Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

United Kingdom, Great Britain and Northern Ireland:

2% 7/22/20 (Reg. S)

GBP

2,950

$ 4,745

2% 9/7/25(Reg. S)

GBP

6,450

10,003

3.5% 7/22/68

GBP

7,805

15,371

United Mexican States:

4.6% 1/23/46

2,320

2,146

4.75% 3/8/44

3,876

3,682

5.55% 1/21/45

2,180

2,319

6.05% 1/11/40

4,180

4,744

6.5% 6/10/21

MXN

30,745

2,037

6.75% 9/27/34

2,645

3,319

7.5% 4/8/33

1,450

1,950

8.3% 8/15/31

830

1,222

United Republic of Tanzania 6.3971% 3/9/20 (l)

625

632

Uruguay Republic 7.875% 1/15/33 pay-in-kind

4,790

6,431

Venezuelan Republic:

oil recovery rights 4/15/20 (p)

97,601

976

5.75% 2/26/16 (Reg S.)

27,560

22,771

9% 5/7/23 (Reg. S)

1,600

620

9.25% 9/15/27

4,275

1,806

9.25% 5/7/28 (Reg. S)

2,705

1,035

11.75% 10/21/26 (Reg. S)

5,785

2,488

11.95% 8/5/31 (Reg. S)

12,535

5,359

12.75% 8/23/22

4,210

1,947

Vietnamese Socialist Republic:

1.2139% 3/12/16 (l)

1,124

1,108

4% 3/12/28 (f)

13,842

13,496

4.8% 11/19/24 (g)

590

590

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,552,806)


1,536,096

Supranational Obligations - 0.0%

 

European Bank for Reconstruction & Development 6% 3/3/16
(Cost $1,477)

INR

95,000


1,489

Common Stocks - 5.4%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 1.6%

Auto Components - 0.2%

Delphi Automotive PLC

73,500

$ 6,254

Exide Technologies (a)

3,795

0

Exide Technologies (a)

12,651

0

Remy International, Inc.

122,400

2,706

Tenneco, Inc. (a)

117,300

6,738

 

15,698

Automobiles - 0.1%

General Motors Co.

4,305

143

General Motors Co.:

warrants 7/10/16 (a)

144,757

3,441

warrants 7/10/19 (a)

144,757

2,323

 

5,907

Diversified Consumer Services - 0.0%

Houghton Mifflin Harcourt Co. warrants 6/22/19 (a)(t)

32,078

477

Hotels, Restaurants & Leisure - 0.4%

Chipotle Mexican Grill, Inc. (a)

6,500

3,932

Extended Stay America, Inc. unit

534,200

10,027

Fiesta Restaurant Group, Inc. (a)

97,500

4,875

Station Holdco LLC (a)(r)(t)

4,989,172

16,265

Station Holdco LLC (a)(s)(t)

37,963

124

Station Holdco LLC:

unit (a)(s)(t)

57,186

31

warrants 6/15/18 (a)(r)(t)

198,954

107

 

35,361

Household Durables - 0.5%

Harman International Industries, Inc.

84,800

10,086

Lennar Corp. Class A

210,400

10,739

Standard Pacific Corp. (a)

777,500

6,928

Taylor Morrison Home Corp. (a)

323,500

6,586

Whirlpool Corp.

53,400

9,241

 

43,580

Media - 0.3%

AMC Networks, Inc. Class A (a)

133,400

10,919

Naspers Ltd. Class N

73,600

11,464

Sinclair Broadcast Group, Inc. Class A

387,900

10,826

 

33,209

Specialty Retail - 0.1%

Office Depot, Inc. (a)

1,210,500

10,483

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - 0.0%

Deckers Outdoor Corp. (a)

67,000

$ 4,822

Michael Kors Holdings Ltd. (a)

9,100

383

 

5,205

TOTAL CONSUMER DISCRETIONARY

149,920

CONSUMER STAPLES - 0.1%

Food Products - 0.1%

Reddy Ice Holdings, Inc. (a)

142,776

128

The Hain Celestial Group, Inc. (a)

191,200

12,592

 

12,720

ENERGY - 0.1%

Energy Equipment & Services - 0.1%

Hornbeck Offshore Services, Inc. (a)

108,700

2,232

Ocean Rig UDW, Inc. (United States)

304,100

1,560

 

3,792

Oil, Gas & Consumable Fuels - 0.0%

Crestwood Midstream Partners LP

220,000

2,464

TOTAL ENERGY

6,256

FINANCIALS - 0.1%

Capital Markets - 0.0%

Motors Liquidation Co. GUC Trust (a)

36,934

711

Penson Worldwide, Inc. Class A (a)

3,883,237

0

 

711

Consumer Finance - 0.1%

Springleaf Holdings, Inc. (a)

148,500

6,818

TOTAL FINANCIALS

7,529

HEALTH CARE - 1.0%

Biotechnology - 0.4%

Biogen, Inc. (a)

37,700

15,229

Celgene Corp. (a)

97,100

11,238

Gilead Sciences, Inc.

121,400

14,214

 

40,681

Health Care Providers & Services - 0.3%

Community Health Systems, Inc. (a)

121,600

7,657

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - continued

HCA Holdings, Inc. (a)

149,300

$ 13,544

Rotech Healthcare, Inc. (a)

68,276

2,653

 

23,854

Pharmaceuticals - 0.3%

Allergan PLC (a)

58,800

17,843

Valeant Pharmaceuticals International (Canada) (a)

65,500

14,530

 

32,373

TOTAL HEALTH CARE

96,908

INDUSTRIALS - 0.6%

Aerospace & Defense - 0.0%

Alion Science & Technology Corp.:

warrants 3/15/17 (a)

1,430

0

warrants 8/17/24

800

0

Airlines - 0.2%

Air Canada (a)

806,200

8,527

American Airlines Group, Inc.

224,600

8,969

 

17,496

Building Products - 0.0%

Nortek, Inc. (a)

7,154

595

Commercial Services & Supplies - 0.0%

WP Rocket Holdings, Inc. (a)(t)

9,383,257

1,126

Marine - 0.0%

U.S. Shipping Partners Corp. (a)

12,063

2

U.S. Shipping Partners Corp. warrants 12/31/29 (a)

112,939

0

 

2

Trading Companies & Distributors - 0.3%

Air Lease Corp. Class A

123,200

4,176

HD Supply Holdings, Inc. (a)

281,900

9,917

Penhall Acquisition Co.:

Class A (a)

6,088

494

Class B (a)

2,029

165

United Rentals, Inc. (a)

156,200

13,686

 

28,438

Transportation Infrastructure - 0.1%

DeepOcean Group Holding BV (a)(g)

406,682

5,853

TOTAL INDUSTRIALS

53,510

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - 1.4%

Electronic Equipment & Components - 0.2%

CDW Corp.

455,500

$ 15,615

Internet Software & Services - 0.4%

Alibaba Group Holding Ltd. sponsored ADR

245,200

20,173

Baidu.com, Inc. sponsored ADR (a)

27,100

5,395

Facebook, Inc. Class A (a)

78,700

6,750

Google, Inc. Class A (a)

9,300

5,022

 

37,340

Semiconductors & Semiconductor Equipment - 0.7%

Avago Technologies Ltd.

46,000

6,115

Cypress Semiconductor Corp.

5,171

61

Freescale Semiconductor, Inc. (a)

419,200

16,755

MagnaChip Semiconductor Corp. (a)

49,030

379

NXP Semiconductors NV (a)

52,100

5,116

Qorvo, Inc. (a)

255,027

20,471

Skyworks Solutions, Inc.

210,900

21,955

 

70,852

Technology Hardware, Storage & Peripherals - 0.1%

Apple, Inc.

81,200

10,185

TOTAL INFORMATION TECHNOLOGY

133,992

MATERIALS - 0.3%

Chemicals - 0.1%

LyondellBasell Industries NV Class A

122,400

12,671

Containers & Packaging - 0.2%

Rock-Tenn Co. Class A

210,588

12,677

Metals & Mining - 0.0%

Aleris International, Inc. (a)(t)

38,307

411

Mirabela Nickel Ltd. (a)

2,473,165

219

 

630

TOTAL MATERIALS

25,978

TELECOMMUNICATION SERVICES - 0.2%

Wireless Telecommunication Services - 0.2%

NII Holdings, Inc.

243,770

3,951

T-Mobile U.S., Inc. (a)

272,900

10,580

 

14,531

Common Stocks - continued

Shares

Value (000s)

UTILITIES - 0.0%

Electric Utilities - 0.0%

Portland General Electric Co.

7,275

$ 241

TOTAL COMMON STOCKS

(Cost $464,484)


501,585

Preferred Stocks - 0.3%

 

 

 

 

Convertible Preferred Stocks - 0.1%

CONSUMER STAPLES - 0.0%

Food Products - 0.0%

Reddy Ice Holdings, Inc. 7.00% pay-in-kind (a)

57,438

467

HEALTH CARE - 0.1%

Pharmaceuticals - 0.1%

Allergan PLC 5.50%

8,700

9,070

TOTAL CONVERTIBLE PREFERRED STOCKS

9,537

Nonconvertible Preferred Stocks - 0.2%

FINANCIALS - 0.2%

Capital Markets - 0.1%

Goldman Sachs Group, Inc. Series K, 6.375%

218,984

5,687

Consumer Finance - 0.1%

Ally Financial, Inc. 7.00% (g)

12,855

12,990

TOTAL FINANCIALS

18,677

INDUSTRIALS - 0.0%

Commercial Services & Supplies - 0.0%

WP Rocket Holdings, Inc.:

15.00% (a)

1,550,603

1,551

Class C 19.50% (t)

391,660

392

 

1,943

TOTAL NONCONVERTIBLE PREFERRED STOCKS

20,620

TOTAL PREFERRED STOCKS

(Cost $20,917)


30,157

Bank Loan Obligations - 1.9%

 

Principal
Amount (000s) (d)

Value (000s)

CONSUMER DISCRETIONARY - 0.2%

Auto Components - 0.0%

Chassix, Inc. term loan 10% 12/12/15 (l)

$ 2,543

$ 2,581

Hotels, Restaurants & Leisure - 0.2%

Centaur Acquisition LLC Tranche 2LN, term loan 8.75% 2/20/20 (l)

1,575

1,575

Hilton Worldwide Finance, LLC Tranche B, term loan 3.5% 10/25/20 (l)

8,157

8,158

MGM Mirage, Inc. Tranche B, term loan 3.5% 12/20/19 (l)

2,598

2,576

TGI Friday's, Inc. Tranche B 1LN, term loan 5.25% 7/15/20 (l)

396

396

 

12,705

Media - 0.0%

Livent, Inc.:

Tranche A, term loan 18% 1/15/49 pay-in-kind (a)

CAD

8

6

Tranche B, term loan 18% 1/15/49 pay-in-kind (a)

CAD

5

4

 

10

TOTAL CONSUMER DISCRETIONARY

15,296

CONSUMER STAPLES - 0.1%

Food & Staples Retailing - 0.0%

Focus Brands, Inc. Tranche 2LN, term loan 10.25% 8/21/18 (l)

2,865

2,865

Personal Products - 0.1%

Revlon Consumer Products Corp. term loan 4% 8/19/19 (l)

7,409

7,409

TOTAL CONSUMER STAPLES

10,274

ENERGY - 0.2%

Energy Equipment & Services - 0.0%

Sheridan Production Partners I Tranche A, term loan 4.25% 12/16/20 (l)

200

174

Oil, Gas & Consumable Fuels - 0.2%

Alon U.S.A. Partners LP term loan 9.25% 11/26/18 (l)

3,174

3,170

Fieldwood Energy, LLC Tranche 2LN, term loan 8.375% 9/30/20 (l)

16,650

12,737

Samson Investment Co. Tranche B 2LN, term loan 5% 9/25/18 (l)

1,015

409

Bank Loan Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Sheridan Investment Partners I term loan 4.25% 12/16/20 (l)

$ 1,436

$ 1,249

Sheridan Production Partners I Tranche M, term loan 4.25% 12/16/20 (l)

74

65

TPF II Power, LLC Tranche B, term loan 5.5082% 10/2/21 (l)

1,756

1,769

 

19,399

TOTAL ENERGY

19,573

FINANCIALS - 0.0%

Real Estate Management & Development - 0.0%

Realogy Corp. Credit-Linked Deposit 4.4463% 10/10/16 (l)

261

258

HEALTH CARE - 0.1%

Health Care Providers & Services - 0.0%

Rural/Metro Corp.:

Tranche 2LN, term loan 14.5% 1/31/16

43

41

Tranche B, term loan 19.5% 1/31/16

142

133

 

174

Life Sciences Tools & Services - 0.1%

Jaguar Holding Co. II Tranche B, term loan 4% 12/5/18 (l)

12,389

12,373

TOTAL HEALTH CARE

12,547

INDUSTRIALS - 0.0%

Commercial Services & Supplies - 0.0%

GCA Services Group, Inc. Tranche 2LN, term loan 9.25% 11/1/20 (l)

1,756

1,747

INFORMATION TECHNOLOGY - 0.1%

Electronic Equipment & Components - 0.0%

Infor U.S., Inc. Tranche B 5LN, term loan 3.75% 6/3/20 (l)

2,313

2,282

Software - 0.1%

Kronos, Inc. Tranche 2LN, term loan 9.75% 4/30/20 (l)

6,935

7,152

Bank Loan Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

INFORMATION TECHNOLOGY - continued

Software - continued

Transfirst, Inc. Tranche 2LN, term loan 9% 11/12/22 (l)

$ 450

$ 451

TransFirst, Inc. Tranche B 1LN, term loan 4.75% 11/12/21 (l)

408

407

 

8,010

TOTAL INFORMATION TECHNOLOGY

10,292

MATERIALS - 0.1%

Containers & Packaging - 0.1%

Berry Plastics Corp. Tranche E, term loan 3.75% 1/6/21 (l)

3,937

3,922

Metals & Mining - 0.0%

Essar Steel Algoma, Inc. Tranche B, term loan 7.5% 8/16/19 (l)

2,109

1,909

TOTAL MATERIALS

5,831

TELECOMMUNICATION SERVICES - 0.2%

Diversified Telecommunication Services - 0.1%

FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (l)

7,067

7,120

Integra Telecom Holdings, Inc. Tranche B 1LN, term loan 5.25% 8/14/20 (l)

4,304

4,250

 

11,370

Wireless Telecommunication Services - 0.1%

Digicel International Finance Ltd.:

Tranche D 1LN, term loan 3.8125% 3/31/17 (l)

2,256

2,121

Tranche D-2, term loan 3.7754% 3/31/19 (l)

1,129

1,061

 

3,182

TOTAL TELECOMMUNICATION SERVICES

14,552

UTILITIES - 0.9%

Gas Utilities - 0.0%

Everest Acquisition LLC Tranche B 3LN, term loan 3.5% 5/24/18 (l)

1,767

1,753

Bank Loan Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

UTILITIES - continued

Independent Power and Renewable Electricity Producers - 0.9%

Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 6/19/16 (l)

$ 80,131

$ 80,097

TOTAL UTILITIES

81,850

TOTAL BANK LOAN OBLIGATIONS

(Cost $175,920)


172,220

Sovereign Loan Participations - 0.1%

 

Indonesian Republic loan participation:

Citibank 1.25% 12/14/19 (l)

3,489

3,420

Goldman Sachs 1.25% 12/14/19 (l)

3,197

3,134

Mizuho 1.25% 12/14/19 (l)

2,285

2,239

TOTAL SOVEREIGN LOAN PARTICIPATIONS

(Cost $8,251)


8,793

Fixed-Income Funds - 6.0%

Shares

 

Fidelity Floating Rate Central Fund (m)
(Cost $548,981)

5,338,240


561,796

Preferred Securities - 3.1%

 

Principal
Amount (000s) (d)

 

CONSUMER DISCRETIONARY - 0.2%

Media - 0.2%

Globo Comunicacao e Participacoes SA 6.25% (f)(g)(h)

$ 10,476

10,592

NBCUniversal Enterprise, Inc. 5.25% (g)(h)

7,335

7,815

 

18,407

CONSUMER STAPLES - 0.1%

Food Products - 0.1%

Cosan Overseas Ltd. 8.25% (h)

5,650

5,694

FINANCIALS - 2.7%

Banks - 2.2%

Banco Do Brasil SA 9% (g)(h)(l)

2,470

2,236

Preferred Securities - continued

 

Principal
Amount (000s) (d)

Value (000s)

FINANCIALS - continued

Banks - continued

Bank of America Corp.:

5.125% (h)(l)

$ 10,690

$ 10,494

5.2% (h)(l)

23,520

22,591

6.25% (h)(l)

7,170

7,282

8% (h)(l)

3,065

3,337

8.125% (h)(l)

2,245

2,406

Barclays Bank PLC 7.625% 11/21/22

17,490

20,066

Citigroup, Inc.:

5.8% (h)(l)

8,960

9,049

5.9% (h)(l)

13,975

14,075

5.95% (h)(l)

25,260

25,512

6.3% (h)(l)

2,145

2,111

JPMorgan Chase & Co.:

5% (h)(l)

12,930

12,978

5.3% (h)(l)

6,510

6,528

6% (h)(l)

23,845

24,259

6.125% (h)(l)

5,990

6,077

6.75% (h)(l)

3,295

3,613

Wells Fargo & Co.:

5.875% (h)(l)

8,875

9,109

5.9% (h)(l)

20,195

20,323

7.98% (h)(l)

2,035

2,253

 

204,299

Capital Markets - 0.3%

Bank of Scotland 7.281% (h)(l)

GBP

2,450

4,548

Goldman Sachs Group, Inc. 5.7% (h)(l)

12,639

12,786

Morgan Stanley 5.55% (h)(l)

6,545

6,601

 

23,935

Consumer Finance - 0.2%

American Express Co.:

4.9% (h)(l)

8,750

8,618

5.2% (h)(l)

7,825

7,819

 

16,437

Diversified Financial Services - 0.0%

Magnesita Finance Ltd.:

8.625% (g)(h)

2,595

2,155

8.625% (Reg. S) (h)

380

316

 

2,471

Preferred Securities - continued

 

Principal
Amount (000s) (d)

Value (000s)

FINANCIALS - continued

Insurance - 0.0%

Elm BV (SWISS REIN CO) 2.6% (Reg. S) (h)(l)

EUR

4,200

$ 4,316

TOTAL FINANCIALS

251,458

INDUSTRIALS - 0.1%

Construction & Engineering - 0.1%

Odebrecht Finance Ltd.:

7.5% (g)(h)

14,320

11,362

7.5% (Reg. S) (h)

250

198

 

11,560

MATERIALS - 0.0%

Metals & Mining - 0.0%

CSN Islands XII Corp. 7% (Reg. S) (h)

6,625

4,449

TOTAL PREFERRED SECURITIES

(Cost $295,343)


291,568

Money Market Funds - 2.2%

Shares

 

Fidelity Cash Central Fund, 0.15% (b)
(Cost $208,021)

208,021,395


208,021

TOTAL INVESTMENT PORTFOLIO - 99.1%

(Cost $9,134,633)

9,244,336

NET OTHER ASSETS (LIABILITIES) - 0.9%

85,010

NET ASSETS - 100%

$ 9,329,346

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Purchased

Treasury Contracts

278 CBOT 10 Year U.S. Treasury Note Contracts (United States)

Sept. 2015

$ 35,076

$ (257)

280 CBOT 2-Year U.S. Treasury Note Contracts (United States)

Sept. 2015

61,303

60

259 CBOT 5-Year U.S. Treasury Note Contracts (United States)

Sept. 2015

30,888

2

319 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)

Sept. 2015

49,146

(1,625)

TOTAL TREASURY CONTRACTS

$ 176,413

$ (1,820)

 

The face value of futures purchased as a percentage of net assets is 1.9%

Swaps

Interest Rate Swaps

Clearinghouse/
Counterparty (1)

Expiration
Date

Notional
Amount
(000s)

Payment
Received

Payment
Paid

Value
(000s)

Upfront
Premium
Received/
(Paid) (2)
(000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

LCH

Sep. 2017

$ 7,300

3-month LIBOR

1.5%

$ (18)

$ 0

$ (18)

LCH

Sep. 2020

4,200

3-month LIBOR

2.25%

(33)

0

(33)

LCH

Sep. 2025

3,200

3-month LIBOR

2.75%

(35)

0

(35)

LCH

Sep. 2045

8,600

3-month LIBOR

3%

(49)

0

(49)

TOTAL INTEREST RATE SWAPS

$ (135)

$ 0

$ (135)

 

(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.

 

(2) Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

Currency Abbreviations

AUD

-

Australian dollar

BRL

-

Brazilian real

CAD

-

Canadian dollar

CHF

-

Swiss franc

COP

-

Colombian peso

DKK

-

Danish krone

EUR

-

European Monetary Unit

GBP

-

British pound

HKD

-

Hong Kong dollar

IDR

-

Indonesian rupiah

INR

-

Indian rupee

JPY

-

Japanese yen

MXN

-

Mexican peso

NOK

-

Norwegian krone

NZD

-

New Zealand dollar

RUB

-

Russian ruble

SEK

-

Swedish krona

SGD

-

Singapore dollar

Legend

(a) Non-income producing

(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(c) Non-income producing - Security is in default.

(d) Amount is stated in United States dollars unless otherwise noted.

(e) Security 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.

(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(g) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,912,298,000 or 20.5% of net assets.

(h) Security is perpetual in nature with no stated maturity date.

(i) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(j) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,157,000.

(k) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,623,000.

(l) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(m) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(n) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(o) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

(p) Quantity represents share amount.

(q) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

(r) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is wholly-owned by the Fund.

(s) Investment is owned by an entity that is treated as a U.S. Corporation for tax purposes in which the Fund holds a percentage ownership.

(t) 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 $18,933,000 or 0.2% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

Aleris International, Inc.

6/1/10

$ 1,341

Houghton Mifflin Harcourt Co. warrants 6/22/19

6/22/12

$ 62

Station Holdco LLC

6/17/11 - 4/1/13

$ 5,173

Station Holdco LLC unit

3/12/13 - 4/1/13

$ 4

Station Holdco LLC warrants 6/15/18

4/29/08 - 11/25/08

$ 15,269

WP Rocket Holdings, Inc.

6/24/11 - 2/2/15

$ 4,887

WP Rocket Holdings, Inc. Class C 19.50%

2/2/15

$ 392

* Amount represents less than $1,000.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund

Income earned
(Amounts in thousands)

Fidelity Cash Central Fund

$ 181

Fidelity Floating Rate Central Fund

12,108

Total

$ 12,289

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund
(Amounts in thousands)

Value,
beginning of
period

Purchases

Sales
Proceeds

Value,
end of
period

% ownership,
end of
period

Fidelity Floating Rate Central Fund

$ 366,013

$ 192,938

$ -

$ 561,796

33.2%

Other Information

The following is a summary of the inputs used, as of June 30, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 149,920

$ 132,916

$ 477

$ 16,527

Consumer Staples

13,187

12,592

128

467

Energy

6,256

6,256

-

-

Financials

26,206

13,216

12,990

-

Health Care

105,978

103,325

-

2,653

Industrials

55,453

45,870

-

9,583

Information Technology

133,992

133,992

-

-

Materials

25,978

25,567

-

411

Telecommunication Services

14,531

10,580

-

3,951

Utilities

241

241

-

-

Corporate Bonds

4,016,974

-

4,016,941

33

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

U.S. Government and Government Agency Obligations

$ 1,436,680

$ -

$ 1,436,680

$ -

U.S. Government Agency - Mortgage Securities

100,754

-

100,754

-

Collateralized Mortgage Obligations

237,024

-

237,024

-

Commercial Mortgage Securities

141,179

-

141,179

-

Foreign Government and Government Agency Obligations

1,536,096

-

1,528,341

7,755

Supranational Obligations

1,489

-

1,489

-

Bank Loan Obligations

172,220

-

170,717

1,503

Sovereign Loan Participations

8,793

-

-

8,793

Fixed-Income Funds

561,796

561,796

-

-

Preferred Securities

291,568

-

291,568

-

Money Market Funds

208,021

208,021

-

-

Total Investments in Securities:

$ 9,244,336

$ 1,254,372

$ 7,938,288

$ 51,676

Derivative Instruments:

Assets

Futures Contracts

$ 62

$ 62

$ -

$ -

Liabilities

Futures Contracts

$ (1,882)

$ (1,882)

$ -

$ -

Swaps

(135)

-

(135)

-

Total Liabilities

$ (2,017)

$ (1,882)

$ (135)

$ -

Total Derivative Instruments:

$ (1,955)

$ (1,820)

$ (135)

$ -

Valuation Inputs at Reporting Date:

The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:

(Amounts in thousands)

 

Investments in Securities:

Beginning Balance

$ 95,054

Net Realized Gain (Loss) on Investment Securities

(3,838)

Net Unrealized Gain (Loss) on Investment Securities

5,602

Cost of Purchases

7,340

Proceeds of Sales

(4,586)

Amortization/Accretion

144

Transfers into Level 3

-

Transfers out of Level 3

(48,040)

Ending Balance

$ 51,676

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at June 30, 2015

$ 1,880

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations.

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of June 30, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure /
 Derivative Type

Value
(Amounts in thousands)

 

Asset

Liability

Interest Rate Risk

Futures Contracts (a)

$ 62

$ (1,882)

Swaps (b)

-

(135)

Total Value of Derivatives

$ 62

$ (2,017)

(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

(b) For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. For centrally cleared OTC swaps, only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows (Unaudited):

United States of America

64.9%

Canada

2.6%

Japan

2.6%

Netherlands

2.6%

Germany

2.4%

Luxembourg

2.3%

United Kingdom

2.2%

Ireland

1.6%

Argentina

1.4%

Bermuda

1.3%

Mexico

1.1%

Italy

1.0%

France

1.0%

Others (Individually Less Than 1%)

13.0%

 

100.0%

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.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)

 June 30, 2015 (Unaudited)

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $8,377,631)

$ 8,474,519

 

Fidelity Central Funds (cost $757,002)

769,817

 

Total Investments (cost $9,134,633)

 

$ 9,244,336

Receivable for investments sold

84,844

Receivable for fund shares sold

8,638

Dividends receivable

225

Interest receivable

92,361

Distributions receivable from Fidelity Central Funds

2,360

Receivable for daily variation margin for derivative instruments

14

Other receivables

17

Total assets

9,432,795

 

 

 

Liabilities

Payable for investments purchased

 

Regular delivery

$ 66,974

 

Delayed delivery

10,060

Payable for fund shares redeemed

16,426

Distributions payable

1,662

Accrued management fee

4,382

Distribution and service plan fees payable

2,421

Other affiliated payables

1,394

Other payables and accrued expenses

130

Total liabilities

103,449

 

 

 

Net Assets

$ 9,329,346

Net Assets consist of:

 

Paid in capital

$ 9,277,978

Undistributed net investment income

21,183

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

(77,540)

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

107,725

Net Assets

$ 9,329,346

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

Amounts in thousands (except per-share amounts)

 June 30, 2015 (Unaudited)

Calculation of Maximum Offering Price

Class A:

Net Asset Value and redemption price per share ($3,710,166 ÷ 312,046 shares)

$ 11.89

 

 

 

Maximum offering price per share (100/96.00 of $11.89)

$ 12.39

Class T:

Net Asset Value and redemption price per share ($1,129,972 ÷ 95,089 shares)

$ 11.88

 

 

 

Maximum offering price per share (100/96.00 of $11.88)

$ 12.38

Class B:

Net Asset Value and offering price per share ($82,595 ÷ 6,923 shares)A

$ 11.93

 

 

 

Class C:

Net Asset Value and offering price per share ($1,597,338 ÷ 134,697 shares)A

$ 11.86

 

 

 

Institutional Class:

Net Asset Value, offering price and redemption price per share ($2,809,275 ÷ 233,122 shares)

$ 12.05

A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Operations

Amounts in thousands

 Six months ended June 30, 2015 (Unaudited)

 

 

 

Investment Income

 

 

Dividends

 

$ 11,685

Interest

 

189,141

Income from Fidelity Central Funds

 

12,289

Total income

 

213,115

 

 

 

Expenses

Management fee

$ 26,486

Transfer agent fees

7,549

Distribution and service plan fees

14,788

Accounting and security lending fees

775

Custodian fees and expenses

135

Independent trustees' compensation

19

Registration fees

159

Audit

63

Legal

196

Miscellaneous

44

Total expenses before reductions

50,214

Expense reductions

(9)

50,205

Net investment income (loss)

162,910

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

(54,601)

Foreign currency transactions

(637)

Futures contracts

2,473

Swaps

383

 

Total net realized gain (loss)

 

(52,382)

Change in net unrealized appreciation (depreciation) on:

Investment securities

23,382

Assets and liabilities in foreign currencies

393

Futures contracts

(4,238)

Swaps

(234)

Total change in net unrealized appreciation (depreciation)

 

19,303

Net gain (loss)

(33,079)

Net increase (decrease) in net assets resulting from operations

$ 129,831

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

Amounts in thousands

Six months ended
June 30, 2015
(Unaudited)

Year ended
December 31,
2014

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 162,910

$ 315,429

Net realized gain (loss)

(52,382)

153,839

Change in net unrealized appreciation (depreciation)

19,303

(151,707)

Net increase (decrease) in net assets resulting from operations

129,831

317,561

Distributions to shareholders from net investment income

(151,610)

(312,786)

Distributions to shareholders from net realized gain

(5,484)

(146,168)

Total distributions

(157,094)

(458,954)

Share transactions - net increase (decrease)

(61,760)

6,261

Total increase (decrease) in net assets

(89,023)

(135,132)

 

 

 

Net Assets

Beginning of period

9,418,369

9,553,501

End of period (including undistributed net investment income of $21,183 and undistributed net investment income of $9,883, respectively)

$ 9,329,346

$ 9,418,369

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class A

 

Six months ended
June 30, 2015

Years ended December 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 11.92

$ 12.10

$ 12.69

$ 12.07

$ 12.38

$ 12.13

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .211

  .422

  .449

  .479

  .536

  .622

Net realized and unrealized gain (loss)

  (.037)

  .005

  (.441)

  .776

  .009

  .500

Total from investment operations

  .174

  .427

  .008

  1.255

  .545

  1.122

Distributions from net investment income

  (.197)

  (.419)

  (.431)

  (.442)

  (.572)

  (.582)

Distributions from net realized gain

  (.007)

  (.188)

  (.167)

  (.193)

  (.283)

  (.290)

Total distributions

  (.204)

  (.607)

  (.598)

  (.635)

  (.855)

  (.872)

Net asset value, end of period

$ 11.89

$ 11.92

$ 12.10

$ 12.69

$ 12.07

$ 12.38

Total ReturnB, C, D

  1.45%

  3.52%

  .08%

  10.57%

  4.47%

  9.48%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.00%A

  .99%

  .98%

  .98%

  .99%

  .99%

Expenses net of fee waivers, if any

  1.00%A

  .99%

  .98%

  .98%

  .99%

  .99%

Expenses net of all reductions

  1.00%A

  .99%

  .98%

  .98%

  .99%

  .99%

Net investment income (loss)

  3.54%A

  3.42%

  3.61%

  3.83%

  4.29%

  5.00%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 3,710

$ 3,794

$ 4,205

$ 5,582

$ 4,746

$ 4,169

Portfolio turnover rate G

  111% A

  121%

  135%

  126%

  221%

  207%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Total returns do not include the effect of the sales charges.

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.

G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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 reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class T

 

Six months ended
June 30, 2015

Years ended December 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 11.92

$ 12.10

$ 12.68

$ 12.07

$ 12.38

$ 12.12

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .211

  .422

  .449

  .479

  .536

  .621

Net realized and unrealized gain (loss)

  (.047)

  .006

  (.431)

  .766

  .009

  .511

Total from investment operations

  .164

  .428

  .018

  1.245

  .545

  1.132

Distributions from net investment income

  (.197)

  (.420)

  (.431)

  (.442)

  (.572)

  (.582)

Distributions from net realized gain

  (.007)

  (.188)

  (.167)

  (.193)

  (.283)

  (.290)

Total distributions

  (.204)

  (.608)

  (.598)

  (.635)

  (.855)

  (.872)

Net asset value, end of period

$ 11.88

$ 11.92

$ 12.10

$ 12.68

$ 12.07

$ 12.38

Total ReturnB, C, D

  1.37%

  3.52%

  .17%

  10.49%

  4.48%

  9.57%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.00%A

  .99%

  .98%

  .98%

  .98%

  .99%

Expenses net of fee waivers, if any

  1.00%A

  .99%

  .98%

  .98%

  .98%

  .99%

Expenses net of all reductions

  1.00%A

  .99%

  .98%

  .98%

  .98%

  .99%

Net investment income (loss)

  3.55%A

  3.42%

  3.61%

  3.83%

  4.29%

  5.00%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 1,130

$ 1,179

$ 1,265

$ 1,554

$ 1,471

$ 1,571

Portfolio turnover rate G

  111% A

  121%

  135%

  126%

  221%

  207%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Total returns do not include the effect of the sales charges.

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.

G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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 reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class B

 

Six months ended
June 30, 2015

Years ended December 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 11.96

$ 12.14

$ 12.72

$ 12.11

$ 12.42

$ 12.16

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .171

  .338

  .362

  .391

  .449

  .535

Net realized and unrealized gain (loss)

  (.038)

  .004

  (.432)

  .765

  .007

  .509

Total from investment operations

  .133

  .342

  (.070)

  1.156

  .456

  1.044

Distributions from net investment income

  (.156)

  (.334)

  (.343)

  (.353)

  (.483)

  (.494)

Distributions from net realized gain

  (.007)

  (.188)

  (.167)

  (.193)

  (.283)

  (.290)

Total distributions

  (.163)

  (.522)

  (.510)

  (.546)

  (.766)

  (.784)

Net asset value, end of period

$ 11.93

$ 11.96

$ 12.14

$ 12.72

$ 12.11

$ 12.42

Total ReturnB, C, D

  1.11%

  2.80%

  (.54)%

  9.67%

  3.72%

  8.77%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.69%A

  1.68%

  1.69%

  1.69%

  1.69%

  1.70%

Expenses net of fee waivers, if any

  1.69%A

  1.68%

  1.69%

  1.69%

  1.69%

  1.70%

Expenses net of all reductions

  1.69%A

  1.68%

  1.69%

  1.69%

  1.69%

  1.70%

Net investment income (loss)

  2.85%A

  2.73%

  2.90%

  3.12%

  3.59%

  4.30%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 83

$ 100

$ 137

$ 204

$ 244

$ 307

Portfolio turnover rate G

  111% A

  121%

  135%

  126%

  221%

  207%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Total returns do not include the effect of the contingent deferred sales charge.

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.

G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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 reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class C

 

Six months ended
June 30, 2015

Years ended December 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 11.89

$ 12.07

$ 12.66

$ 12.05

$ 12.36

$ 12.10

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .166

  .329

  .355

  .384

  .441

  .528

Net realized and unrealized gain (loss)

  (.037)

  .007

  (.440)

  .767

  .010

  .512

Total from investment operations

  .129

  .336

  (.085)

  1.151

  .451

  1.040

Distributions from net investment income

  (.152)

  (.328)

  (.338)

  (.348)

  (.478)

  (.490)

Distributions from net realized gain

  (.007)

  (.188)

  (.167)

  (.193)

  (.283)

  (.290)

Total distributions

  (.159)

  (.516)

  (.505)

  (.541)

  (.761)

  (.780)

Net asset value, end of period

$ 11.86

$ 11.89

$ 12.07

$ 12.66

$ 12.05

$ 12.36

Total ReturnB, C, D

  1.07%

  2.76%

  (.66)%

  9.68%

  3.71%

  8.77%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.75%A

  1.73%

  1.73%

  1.73%

  1.74%

  1.74%

Expenses net of fee waivers, if any

  1.75%A

  1.73%

  1.73%

  1.73%

  1.74%

  1.74%

Expenses net of all reductions

  1.75%A

  1.73%

  1.73%

  1.73%

  1.74%

  1.74%

Net investment income (loss)

  2.79%A

  2.67%

  2.86%

  3.08%

  3.54%

  4.26%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 1,597

$ 1,664

$ 1,767

$ 2,238

$ 1,824

$ 1,609

Portfolio turnover rate G

  111% A

  121%

  135%

  126%

  221%

  207%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Total returns do not include the effect of the contingent deferred sales charge.

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.

G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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 reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Institutional Class

 

Six months ended
June 30, 2015

Years ended December 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 12.09

$ 12.26

$ 12.84

$ 12.21

$ 12.52

$ 12.25

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) D

  .228

  .455

  .484

  .514

  .570

  .657

Net realized and unrealized gain (loss)

  (.048)

  .012

  (.437)

  .779

  .003

  .514

Total from investment operations

  .180

  .467

  .047

  1.293

  .573

  1.171

Distributions from net investment income

  (.213)

  (.449)

  (.460)

  (.470)

  (.600)

  (.611)

Distributions from net realized gain

  (.007)

  (.188)

  (.167)

  (.193)

  (.283)

  (.290)

Total distributions

  (.220)

  (.637)

  (.627)

  (.663)

  (.883)

  (.901)

Net asset value, end of period

$ 12.05

$ 12.09

$ 12.26

$ 12.84

$ 12.21

$ 12.52

Total ReturnB, C

  1.48%

  3.80%

  .39%

  10.78%

  4.66%

  9.80%

Ratios to Average Net Assets E, G

 

 

 

 

 

Expenses before reductions

  .77%A

  .76%

  .75%

  .75%

  .76%

  .76%

Expenses net of fee waivers, if any

  .77%A

  .76%

  .75%

  .75%

  .76%

  .76%

Expenses net of all reductions

  .77%A

  .76%

  .75%

  .75%

  .76%

  .76%

Net investment income (loss)

  3.77%A

  3.65%

  3.84%

  4.07%

  4.52%

  5.23%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 2,809

$ 2,682

$ 2,179

$ 2,759

$ 1,812

$ 1,481

Portfolio turnover rate F

  111% A

  121%

  135%

  126%

  221%

  207%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.

F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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 reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Notes to Financial Statements

For the period ended June 30, 2015 (Unaudited)

(Amounts in thousands except percentages)

1. Organization.

Fidelity Advisor® Strategic Income Fund (the Fund) is a fund of Fidelity Advisor Series II (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class C and Institutional Class shares, each of which along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase.

During the period, the Board of Trustees approved a change in the name of Institutional Class to Class I effective July 1, 2015.

2. Investments in Fidelity Central Funds.

The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.

Fidelity
Central Fund

Investment
Manager

Investment
Objective

Investment
Practices

Expense
Ratio*

Fidelity Floating Rate Central Fund

FMR Co., Inc.
(FMRC)

Seeks a high level of income by normally investing in floating rate loans and other floating rate securities.

Loans & Direct Debt Instruments

Restricted Securities

 

Less than .01%

* Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

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2. Investments in Fidelity Central Funds - continued

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - quoted prices in active markets for identical investments

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Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Investment Valuation - continued

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, foreign government and government agency obligations, preferred securities, supranational obligations, U.S. government and government agency obligations and sovereign loan participations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs),

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3. Significant Accounting Policies - continued

Investment Valuation - continued

futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy. Equity securities, including restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach and the income approach and are categorized as Level 3 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of June 30, 2015, as well as a roll forward of Level 3 investments, is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Investment Transactions and Income - continued

business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. 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. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

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3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to futures contracts, swaps, foreign currency transactions, defaulted bonds, market discount, contingent interest, equity-debt classifications, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, financing transactions and losses deferred due to wash sales and excise tax regulations.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ 406,611

Gross unrealized depreciation

(276,776)

Net unrealized appreciation (depreciation) on securities

$ 129,835

 

 

Tax cost

$ 9,114,501

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Delayed Delivery Transactions and When-Issued Securities - continued

Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

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4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

The Fund's use of derivatives increased or decreased its exposure to the following risk:

Interest Rate Risk

Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

Primary Risk Exposure / Derivative Type

Net Realized
Gain (Loss)

Change in Net
Unrealized Appreciation
(Depreciation)

Interest Rate Risk

 

 

Futures Contracts

$ 2,473

$ (4,238)

Purchased Options

(768)

768

Swaps

383

(234)

Totals (a)

$ 2,088

$ (3,704)

(a) A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is

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4. Derivative Instruments - continued

Futures Contracts - continued

representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable.

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a

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Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

Swaps - continued

futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.

Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $4,471,617 and $4,042,786, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds

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6. Fees and Other Transactions with Affiliates - continued

Management Fee - continued

advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .56% of the Fund's average net assets.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

 

Distribution
Fee

Service
Fee

Total Fees

Retained
by FDC

Class A

-%

.25%

$ 4,730

$ 86

Class T

-%

.25%

1,453

27

Class B

.65%

.25%

413

300

Class C

.75%

.25%

8,192

861

 

 

 

$ 14,788

$ 1,274

Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

For the period, sales charge amounts retained by FDC were as follows:

 

Retained
by FDC

Class A

$ 121

Class T

25

Class B*

36

Class C*

51

 

$ 233

* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.

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Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

6. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

For the period, transfer agent fees for each class were as follows:

 

Amount

% of
Class-Level Average
Net Assets*

Class A

$ 2,914

.16

Class T

877

.15

Class B

86

.19

Class C

1,218

.15

Institutional Class

2,454

.18

 

$ 7,549

 

* Annualized

Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $1 for the period.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $8 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

Semiannual Report

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $1.

9. Expense Reductions.

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $9 for the period.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
June 30,
2015

Year ended
December 31,
2014

From net investment income

 

 

Class A

$ 61,974

$ 137,510

Class T

19,063

41,939

Class B

1,193

3,240

Class C

20,744

45,973

Institutional Class

48,636

84,124

Total

$ 151,610

$ 312,786

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

10. Distributions to Shareholders - continued

Six months ended
June 30,
2015

Year ended
December 31,
2014

From net realized gain

 

 

Class A

$ 2,214

$ 59,022

Class T

683

18,268

Class B

56

1,556

Class C

968

25,946

Institutional Class

1,563

41,376

Total

$ 5,484

$ 146,168

11. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:

 

Shares

Dollars

Six months ended
June 30,
2015

Year ended
December 31,
2014

Six months ended
June 30,
2015

Year ended
December 31,
2014

Class A

 

 

 

 

Shares sold

27,799

62,939

$ 333,815

$ 776,718

Reinvestment of distributions

5,117

15,104

61,541

184,389

Shares redeemed

(39,051)

(107,328)

(468,972)

(1,322,245)

Net increase (decrease)

(6,135)

(29,285)

$ (73,616)

$ (361,138)

Class T

 

 

 

 

Shares sold

5,408

13,996

$ 64,939

$ 172,575

Reinvestment of distributions

1,573

4,668

18,910

56,953

Shares redeemed

(10,787)

(24,319)

(129,551)

(299,446)

Net increase (decrease)

(3,806)

(5,655)

$ (45,702)

$ (69,918)

Class B

 

 

 

 

Shares sold

65

215

$ 657

$ 2,679

Reinvestment of distributions

90

334

1,081

4,082

Shares redeemed

(1,604)

(3,487)

(19,196)

(43,142)

Net increase (decrease)

(1,449)

(2,938)

$ (17,458)

$ (36,381)

Class C

 

 

 

 

Shares sold

8,851

18,934

$ 105,681

$ 233,057

Reinvestment of distributions

1,565

4,992

18,775

60,641

Shares redeemed

(15,626)

(30,358)

(186,739)

(372,456)

Net increase (decrease)

(5,210)

(6,432)

$ (62,283)

$ (78,758)

Institutional Class

 

 

 

 

Shares sold

38,378

94,676

$ 467,094

$ 1,183,458

Reinvestment of distributions

3,700

8,622

45,091

106,429

Shares redeemed

(30,835)

(59,177)

(374,886)

(737,431)

Net increase (decrease)

11,243

44,121

$ 137,299

$ 552,456

Semiannual Report

12. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

13. Credit Risk.

The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.

14. Litigation.

The Fund, and other entities managed by Fidelity or its affiliates, were named as defendants in a lawsuit brought by creditors of a subsidiary of Energy Future Holdings Corp. ("EFH"), which is currently in bankruptcy and was formerly known as TXU. The lawsuit, which is captioned as In Re:  ENERGY FUTURE HOLDINGS CORP. et al.  U.S. Bankruptcy Court, D. Del. Case No. 14-10979 (CSS); AVENUE CAPITAL MANAGEMENT II, LP, et al. v. FIDELITY INVESTMENTS, et al. Adversary No. 14-50797 (CSS), was filed in the United States Bankruptcy Court for the District of Delaware on October 6, 2014. The plaintiffs sought to enforce an alleged agreement under which the Fund and other defendants would sell certain EFH notes to the plaintiffs at a specified price. Plaintiffs sought a declaration that an alleged right to call the securities was properly exercised and an order that the Fund and other defendants transfer the notes to the plaintiffs at the specified price. The Fund and the other defendants disputed the plaintiffs' claims and filed a motion to dismiss contending, among other things, that the right to call the notes never came into existence and was part of a proposed settlement agreement that was never completed or approved by the bankruptcy court. On January 20, 2015, the court granted the defendants' motion and dismissed the complaint with prejudice. The plaintiffs filed a notice of appeal on February 3, 2015. If the lawsuit were to be decided in a manner adverse to the Fund, the Fund could experience a loss up to $31,803 as of period end. The Fund will also incur legal costs in defending the case.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

14. Litigation - continued

The Fund, and other entities managed by FMR or its affiliates, became aware in March 2015 that they were named as defendants in a lawsuit originally filed in the United States Bankruptcy Court for the Southern District of New York in 2009. The lawsuit was brought by creditors of Motors Liquidation Company (f/k/a General Motors), which went through Chapter 11 bankruptcy proceedings in 2009, and is captioned Official Committee of Unsecured Creditors of Motors Liquidation Company v. JPMorgan Chase Bank, N.A., et al., Adversary No. 09-00504 (REG). The plaintiffs are seeking an order that the Fund and other defendants return proceeds received in 2009 in full payment of the principal and interest on General Motors secured debt. The plaintiffs contend that the Fund and the other defendants were not secured creditors at the time of the 2009 payments and, thus, were not entitled to payment in full. In January 2015, the Court of Appeals ruled that JPMorgan, as administrative agent for all of the debtholders, released the security interest on collateral securing the debt prior to the 2009 payments. The Bankruptcy Court will now determine next steps.  At this time, Management cannot determine the amount of loss that may be realized, but expects the amount to be less than the $24,325 received in 2009. The Fund was not previously aware that it had been named as a defendant in this case because, in 2009, the Bankruptcy Court allowed the plaintiffs to refrain from serving any of the defendants other than JPMorgan with notice of the filing of the lawsuit. The Fund will explore all available options for minimizing any loss to the Fund. The Fund will also incur legal costs in defending the case.

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

FMR Investment Management
(U.K.) Limited

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Limited

FIL Investments (Japan) Limited

FIL Investment Advisors

FIL Investment Advisors (U.K.) Limited

Fidelity Investments Money Management, Inc.

General Distributor

Fidelity Distributors Corporation

Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

State Street Bank and Trust Company

Quincy, MA

(Fidelity Investment logo)(registered trademark)

SII-USAN-0815
1.787776.112
Contents Shareholder Expense Example Investment Changes (Unaudited) Investments June 30, 2015 (Unaudited) Financial Statements Notes to Financial Statements

(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®

Strategic Income
Fund - Class A, Class T, Class B
and Class C

Semiannual Report

June 30, 2015

(Fidelity Cover Art)

Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2015 FMR LLC. All rights reserved.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.

NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2015 to June 30, 2015).

Actual Expenses

The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio B

Beginning
Account Value
January 1, 2015

Ending
Account Value
June 30, 2015

Expenses Paid
During Period*
January 1, 2015
to June 30, 2015

Class A

1.00%

 

 

 

Actual

 

$ 1,000.00

$ 1,014.50

$ 4.99

HypotheticalA

 

$ 1,000.00

$ 1,019.84

$ 5.01

Class T

1.00%

 

 

 

Actual

 

$ 1,000.00

$ 1,013.70

$ 4.99

HypotheticalA

 

$ 1,000.00

$ 1,019.84

$ 5.01

Class B

1.69%

 

 

 

Actual

 

$ 1,000.00

$ 1,011.10

$ 8.43

HypotheticalA

 

$ 1,000.00

$ 1,016.41

$ 8.45

Class C

1.75%

 

 

 

Actual

 

$ 1,000.00

$ 1,010.70

$ 8.72

HypotheticalA

 

$ 1,000.00

$ 1,016.12

$ 8.75

Institutional Class

.77%

 

 

 

Actual

 

$ 1,000.00

$ 1,014.80

$ 3.85

HypotheticalA

 

$ 1,000.00

$ 1,020.98

$ 3.86

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio.

In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .01%.

Semiannual Report

Investment Changes (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds.

Top Five Holdings as of June 30, 2015

(by issuer, excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

U.S. Treasury Obligations

14.4

18.4

Japan Government

2.6

2.1

German Federal Republic

2.2

0.1

Ginnie Mae guaranteed REMIC pass-thru certificates

1.9

1.7

Freddie Mac

1.7

1.6

 

22.8

Top Five Market Sectors as of June 30, 2015

 

% of fund's
net assets

% of fund's net assets
6 months ago

Consumer Discretionary

11.2

10.4

Financials

11.0

10.0

Energy

7.6

6.2

Telecommunication Services

5.4

5.5

Industrials

4.9

4.9

Quality Diversification (% of fund's net assets)

As of June 30, 2015

As of December 31, 2014

sib835706

U.S. Government and
U.S. Government
Agency Obligations† 20.5%

 

sib835708

U.S. Government and
U.S. Government
Agency Obligations† 24.6%

 

sib835710

AAA,AA,A 10.2%

 

sib835712

AAA,AA,A 9.9%

 

sib835714

BBB 8.6%

 

sib835716

BBB 10.1%

 

sib835718

BB 20.7%

 

sib835720

BB 17.6%

 

sib835722

B 19.2%

 

sib835724

B 17.2%

 

sib835726

CCC,CC,C 6.4%

 

sib835728

CCC,CC,C 6.5%

 

sib835730

D 0.0%*

 

sib835732

D 0.0%

 

sib835734

Not Rated 5.3%

 

sib835736

Not Rated 4.2%

 

sib835738

Equities 5.7%

 

sib835740

Equities 5.3%

 

sib835742

Short-Term
Investments and
Net Other Assets 3.4%

 

sib835744

Short-Term
Investments and
Net Other Assets 4.6%

 

sib835746

† Includes NCUA Guaranteed Notes.

* Amount represents less than 0.1%.

We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.

Asset Allocation (% of fund's net assets)

As of June 30, 2015*

As of December 31, 2014**

sib835748

Preferred Securities 3.1%

 

sib835750

Preferred Securities 2.5%

 

sib835752

Corporate Bonds 43.2%

 

sib835754

Corporate Bonds 39.0%

 

sib835756

U.S. Government and
U.S. Government
Agency Obligations† 20.5%

 

sib835758

U.S. Government and
U.S. Government
Agency Obligations† 24.6%

 

sib835760

Foreign Government
& Government
Agency Obligations 16.5%

 

sib835762

Foreign Government
& Government
Agency Obligations 18.1%

 

sib835764

Bank Loan
Obligations 7.5%

 

sib835766

Bank Loan
Obligations 5.8%

 

sib835768

Stocks 5.7%

 

sib835770

Stocks 5.3%

 

sib835772

Other Investments 0.1%

 

sib835774

Other Investments 0.1%

 

sib835776

Short-Term
Investments and
Net Other Assets
(Liabilities) 3.4%

 

sib835778

Short-Term
Investments and
Net Other Assets
(Liabilities) 4.6%

 

sib835780

* Foreign investments

35.1%

 

** Foreign investments

33.9%

 

* Futures and Swaps

1.6%

 

** Futures and Swaps

1.8%

 

† Includes NCUA Guaranteed Notes.

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com.

Semiannual Report

Investments June 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 43.1%

 

Principal
Amount (000s) (d)

Value (000s)

Convertible Bonds - 0.0%

CONSUMER DISCRETIONARY - 0.0%

Auto Components - 0.0%

Exide Technologies 7% 4/30/25 pay-in-kind

$ 870

$ 600

Nonconvertible Bonds - 43.1%

CONSUMER DISCRETIONARY - 7.5%

Auto Components - 0.6%

Affinia Group, Inc. 7.75% 5/1/21

1,015

1,061

Chassix Holdings, Inc. 10% 12/15/18 pay-in-kind (c)(g)(l)

2,134

192

Chassix, Inc. 9.25% 8/1/18 (c)(g)

7,635

6,872

Dana Holding Corp.:

5.375% 9/15/21

3,475

3,562

6% 9/15/23

3,475

3,625

6.75% 2/15/21

1,400

1,467

Delphi Automotive PLC 1.5% 3/10/25

EUR

2,600

2,645

Delphi Corp. 5% 2/15/23

9,005

9,590

Exide Technologies 11% 4/30/20

835

704

International Automotive Components Group SA 9.125% 6/1/18 (g)

5,245

5,350

Lear Corp. 4.75% 1/15/23

6,305

6,210

Schaeffler Holding Finance BV:

6.25% 11/15/19 pay-in-kind (g)(l)

2,965

3,124

6.75% 11/15/22 pay-in-kind (g)(l)

3,940

4,255

Tenneco, Inc. 6.875% 12/15/20

6,205

6,453

 

55,110

Automobiles - 0.1%

Chrysler Group LLC/CG Co-Issuer, Inc. 8.25% 6/15/21

7,620

8,306

General Motors Financial Co., Inc. 4.25% 5/15/23

2,145

2,168

 

10,474

Distributors - 0.0%

American Builders & Contractors Supply Co., Inc. 5.625% 4/15/21 (g)

1,500

1,526

LKQ Corp. 4.75% 5/15/23

1,090

1,040

 

2,566

Diversified Consumer Services - 0.2%

Laureate Education, Inc. 10% 9/1/19 (g)(l)

23,025

21,471

Hotels, Restaurants & Leisure - 1.1%

24 Hour Holdings III LLC 8% 6/1/22 (g)

1,760

1,412

Arcos Dorados Holdings, Inc. 10.25% 7/13/16 (g)

BRL

19,840

5,943

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 (g)

$ 26,325

$ 19,744

Choice Hotels International, Inc. 5.75% 7/1/22

1,445

1,566

FelCor Lodging LP:

5.625% 3/1/23

4,185

4,300

6% 6/1/25 (g)

8,495

8,622

GLP Capital LP/GLP Financing II, Inc.:

4.375% 11/1/18

1,850

1,899

4.875% 11/1/20

4,845

4,930

5.375% 11/1/23

3,845

3,951

Graton Economic Development Authority 9.625% 9/1/19 (g)

10,505

11,329

Landry's Acquisition Co. 9.375% 5/1/20 (g)

905

971

LTF Merger Sub, Inc. 8.5% 6/15/23 (g)

4,280

4,130

MCE Finance Ltd. 5% 2/15/21 (g)

5,750

5,463

Mohegan Tribal Gaming Authority 11% 9/15/18 pay-in-kind (g)(l)

2,333

2,336

MTR Gaming Group, Inc. 11.5% 8/1/19 pay-in-kind

3,256

3,463

Palace Entertainment Holdings LLC/Corp. 8.875% 4/15/17 (g)

1,135

1,135

Playa Resorts Holding BV 8% 8/15/20 (g)

4,750

4,916

RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/21

4,360

4,360

Scientific Games Corp. 10% 12/1/22

4,455

4,266

Six Flags Entertainment Corp. 5.25% 1/15/21 (g)

7,515

7,684

Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 3/31/15 (c)(g)

390

0

 

102,420

Household Durables - 1.1%

Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (g)

3,165

3,118

Brookfield Residential Properties, Inc. 6.5% 12/15/20 (g)

2,595

2,583

D.R. Horton, Inc.:

4.375% 9/15/22

5,495

5,330

4.75% 2/15/23

3,865

3,855

5.75% 8/15/23

2,155

2,279

Lennar Corp. 4.5% 11/15/19

3,345

3,387

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:

5.75% 10/15/20

$ 24,830

$ 25,451

6.875% 2/15/21

6,200

6,464

8.25% 2/15/21 (l)

6,920

7,180

9.875% 8/15/19

1,223

1,284

Springs Industries, Inc. 6.25% 6/1/21

1,475

1,442

Standard Pacific Corp.:

8.375% 5/15/18

2,255

2,571

8.375% 1/15/21

4,340

5,034

Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (g)

3,265

3,224

Tempur Sealy International, Inc. 6.875% 12/15/20

2,010

2,131

Toll Brothers Finance Corp.:

4.375% 4/15/23

10,429

10,220

5.625% 1/15/24

1,240

1,305

5.875% 2/15/22

5,640

6,049

TRI Pointe Homes, Inc.:

4.375% 6/15/19

2,545

2,494

5.875% 6/15/24

6,140

6,017

William Lyon Homes, Inc. 8.5% 11/15/20

2,235

2,414

 

103,832

Internet & Catalog Retail - 0.2%

Netflix, Inc. 5.375% 2/1/21 (g)

4,010

4,160

Priceline Group, Inc. 1.8% 3/3/27

EUR

6,900

6,767

Zayo Group LLC/Zayo Capital, Inc. 6% 4/1/23 (g)

4,435

4,380

 

15,307

Media - 3.7%

Altice SA:

5.375% 7/15/23 (g)

7,415

7,230

7.75% 5/15/22 (g)

24,970

24,158

AMC Entertainment, Inc. 5.75% 6/15/25 (g)

6,450

6,321

AMC Networks, Inc. 4.75% 12/15/22

3,080

3,080

British Sky Broadcasting Group PLC 1.5% 9/15/21 (Reg. S)

EUR

7,650

8,493

CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.:

5.25% 2/15/22

980

992

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.: - continued

5.625% 2/15/24

$ 1,060

$ 1,084

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.125% 2/15/23

6,770

6,601

5.125% 5/1/23 (g)

5,425

5,276

5.25% 3/15/21

4,975

4,963

5.25% 9/30/22

7,240

7,131

5.375% 5/1/25 (g)

5,425

5,283

5.75% 9/1/23

670

671

5.75% 1/15/24

4,245

4,266

6.5% 4/30/21

10,200

10,672

6.625% 1/31/22

8,220

8,569

Cinemark U.S.A., Inc.:

4.875% 6/1/23

4,875

4,686

5.125% 12/15/22

1,470

1,457

Clear Channel Communications, Inc. 14% 2/1/21 pay-in-kind (l)

4,900

3,438

Comcast Corp. 5.5% 11/23/29

GBP

3,800

7,188

DISH DBS Corp.:

5% 3/15/23

3,985

3,686

5.125% 5/1/20

485

490

5.875% 7/15/22

15,180

14,876

DreamWorks Animation SKG, Inc. 6.875% 8/15/20 (g)

2,245

2,223

Gannett Co., Inc.:

4.875% 9/15/21 (g)

3,210

3,186

5.5% 9/15/24 (g)

3,210

3,178

Globo Comunicacao e Participacoes SA 4.875% 4/11/22 (g)

1,875

1,931

Liberty Media Corp.:

8.25% 2/1/30

4,120

4,326

8.5% 7/15/29

8,920

9,634

Livent, Inc. yankee 9.375% 10/15/04 (c)

300

0

McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (l)

14,840

16,324

MDC Partners, Inc. 6.75% 4/1/20 (g)

5,465

5,445

MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (g)(l)

8,960

9,027

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Myriad International Holding BV 6% 7/18/20 (g)

$ 1,725

$ 1,870

Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (g)

2,335

2,288

Numericable Group SA:

4.875% 5/15/19 (g)

6,705

6,638

6% 5/15/22 (g)

35,620

35,108

6.25% 5/15/24 (g)

27,408

26,963

Quebecor Media, Inc. 5.75% 1/15/23

7,660

7,641

RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (g)

2,660

2,786

Regal Entertainment Group 5.75% 6/15/23

9,410

9,457

Sinclair Television Group, Inc. 5.375% 4/1/21

4,940

4,977

Sirius XM Radio, Inc.:

4.25% 5/15/20 (g)

5,800

5,771

4.625% 5/15/23 (g)

2,450

2,300

5.25% 8/15/22 (g)

6,945

7,258

5.375% 4/15/25 (g)

4,685

4,521

Starz LLC/Starz Finance Corp. 5% 9/15/19

4,305

4,359

TV Azteca SA de CV 7.5% 5/25/18 (Reg. S)

6,690

6,907

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (g)

5,540

5,647

VTR Finance BV 6.875% 1/15/24 (g)

4,800

4,905

Wave Holdco LLC/Wave Holdco Corp. 8.25% 7/15/19 pay-in-kind (g)(l)

955

972

WMG Acquisition Corp.:

5.625% 4/15/22 (g)

955

960

6.75% 4/15/22 (g)

3,825

3,653

 

340,866

Specialty Retail - 0.4%

CST Brands, Inc. 5% 5/1/23

1,320

1,313

HT Intermediate Holdings Corp. 12% 5/15/19 pay-in-kind (g)(l)

2,275

2,309

Jaguar Land Rover PLC 4.25% 11/15/19 (g)

4,485

4,541

L Brands, Inc. 5.625% 10/15/23

4,625

4,856

L Brands, Inc. 5.625% 2/15/22

6,880

7,241

Sally Holdings LLC 6.875% 11/15/19

3,305

3,454

Sonic Automotive, Inc. 5% 5/15/23

800

782

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Tenedora Nemak SA de CV 5.5% 2/28/23 (g)

$ 6,460

$ 6,622

The Men's Wearhouse, Inc. 7% 7/1/22

1,580

1,691

 

32,809

Textiles, Apparel & Luxury Goods - 0.1%

Polymer Group, Inc.:

6.875% 6/1/19 (g)

1,720

1,582

7.75% 2/1/19

855

881

PVH Corp. 4.5% 12/15/22

10,925

10,816

 

13,279

TOTAL CONSUMER DISCRETIONARY

698,134

CONSUMER STAPLES - 2.0%

Beverages - 0.1%

Constellation Brands, Inc.:

3.875% 11/15/19

3,190

3,238

4.75% 11/15/24

4,475

4,486

JB y Co. SA de CV 3.75% 5/13/25 (g)

1,875

1,819

 

9,543

Food & Staples Retailing - 0.6%

BI-LO LLC/BI-LO Finance Corp.:

8.625% 9/15/18 pay-in-kind (g)(l)

4,670

4,320

9.25% 2/15/19 (g)

5,285

5,338

ESAL GmbH 6.25% 2/5/23 (g)

13,590

13,386

Hearthside Group Holdings LLC/Hearthside Finance, Inc. 6.5% 5/1/22 (g)

1,265

1,208

Minerva Luxembourg SA 7.75% 1/31/23 (Reg. S)

3,450

3,476

Rite Aid Corp.:

6.125% 4/1/23 (g)

8,710

8,971

6.75% 6/15/21

12,320

12,936

9.25% 3/15/20

3,570

3,869

Shearers Foods LLC/Chip Finance Corp. 9% 11/1/19 (g)

1,465

1,575

Tops Holding LLC / Tops Markets II Corp. 8% 6/15/22 (g)

4,305

4,310

 

59,389

Food Products - 1.0%

B&G Foods, Inc. 4.625% 6/1/21

5,220

5,142

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - continued

Barry Callebaut Services NV 5.5% 6/15/23 (g)

$ 5,915

$ 6,299

FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (g)

5,550

5,786

Gruma S.A.B. de CV 4.875% 12/1/24 (g)

2,200

2,291

H.J. Heinz Co.:

4.125% 7/1/27 (Reg. S)

GBP

4,900

7,682

4.25% 10/15/20

9,880

10,090

JBS Investments GmbH 7.25% 4/3/24 (g)

14,755

15,179

JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:

5.75% 6/15/25 (g)

7,650

7,562

5.875% 7/15/24 (g)

2,350

2,365

7.25% 6/1/21 (g)

2,960

3,119

8.25% 2/1/20 (g)

3,315

3,514

Mondelez International, Inc. 1.625% 3/8/27

EUR

4,200

4,214

Pilgrim's Pride Corp. 5.75% 3/15/25 (g)

6,540

6,605

Post Holdings, Inc.:

6% 12/15/22 (g)

2,340

2,252

7.375% 2/15/22

2,500

2,544

Sigma Alimentos SA de CV 6.875% 12/16/19 (g)

1,940

2,236

TreeHouse Foods, Inc. 4.875% 3/15/22

1,660

1,672

 

88,552

Household Products - 0.1%

Edgewell Personal Care Co. 5.5% 6/15/25 (g)

2,800

2,765

Spectrum Brands Holdings, Inc.:

5.75% 7/15/25 (g)

4,470

4,537

6.375% 11/15/20

1,415

1,496

6.625% 11/15/22

1,675

1,784

 

10,582

Personal Products - 0.2%

Elizabeth Arden, Inc. 7.375% 3/15/21

1,560

1,264

First Quality Finance Co., Inc. 4.625% 5/15/21 (g)

1,235

1,155

Prestige Brands, Inc. 8.125% 2/1/20

770

822

Revlon Consumer Products Corp. 5.75% 2/15/21

18,693

18,319

 

21,560

TOTAL CONSUMER STAPLES

189,626

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - 6.8%

Energy Equipment & Services - 0.6%

Basic Energy Services, Inc. 7.75% 10/15/22

$ 3,640

$ 2,876

Compressco Partners LP/Compressco Finance, Inc. 7.25% 8/15/22 (g)

3,100

2,961

Drill Rigs Holdings, Inc. 6.5% 10/1/17 (g)

1,955

1,716

Exterran Partners LP/EXLP Finance Corp. 6% 10/1/22

3,200

3,040

Forbes Energy Services Ltd. 9% 6/15/19

3,755

3,004

Forum Energy Technologies, Inc. 6.25% 10/1/21

5,850

5,792

Gulfmark Offshore, Inc. 6.375% 3/15/22

145

108

Hornbeck Offshore Services, Inc.:

5% 3/1/21

444

382

5.875% 4/1/20

3,990

3,671

Kinder Morgan, Inc. 2.25% 3/16/27

EUR

4,050

4,198

Offshore Group Investment Ltd.:

7.125% 4/1/23

5,725

3,492

7.5% 11/1/19

2,265

1,393

Pacific Drilling V Ltd. 7.25% 12/1/17 (g)

9,695

8,338

Precision Drilling Corp.:

5.25% 11/15/24

4,310

3,750

6.5% 12/15/21

940

912

State Oil Co. of Azerbaijan Republic 4.75% 3/13/23 (Reg. S)

1,425

1,357

Summit Midstream Holdings LLC 7.5% 7/1/21

2,035

2,137

Trinidad Drilling Ltd. 7.875% 1/15/19 (g)

1,615

1,615

Unit Corp. 6.625% 5/15/21

875

849

 

51,591

Oil, Gas & Consumable Fuels - 6.2%

Access Midstream Partners LP/ACMP Finance Corp.:

4.875% 5/15/23

7,005

6,910

4.875% 3/15/24

2,630

2,584

Afren PLC:

6.625% 12/9/20 (c)(g)

6,575

2,893

10.25% 4/8/19 (Reg. S) (c)

6,260

2,754

American Energy-Permian Basin LLC/ AEPB Finance Corp.:

7.125% 11/1/20 (g)

6,920

4,706

7.375% 11/1/21 (g)

1,820

1,236

Antero Resources Corp. 5.625% 6/1/23 (g)

3,980

3,846

Carrizo Oil & Gas, Inc.:

6.25% 4/15/23

2,860

2,867

7.5% 9/15/20

8,045

8,467

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Chaparral Energy, Inc. 9.875% 10/1/20

$ 1,845

$ 1,504

Citgo Holding, Inc. 10.75% 2/15/20 (g)

6,595

6,743

Citgo Petroleum Corp. 6.25% 8/15/22 (g)

6,280

6,170

Concho Resources, Inc.:

5.5% 4/1/23

13,120

13,120

6.5% 1/15/22

6,135

6,396

CONSOL Energy, Inc.:

5.875% 4/15/22

2,170

1,845

8% 4/1/23 (g)

10,870

10,313

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:

6% 12/15/20

6,670

6,903

6.125% 3/1/22

7,890

8,048

CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22

9,690

9,690

DTEK Finance PLC 7.875% 4/4/18 (Reg. S)

200

90

Eagle Rock Energy Partners LP/Eagle Rock Energy Finance Corp. 8.375% 6/1/19

5,125

4,997

EDC Finance Ltd. 4.875% 4/17/20 (g)

7,590

6,630

Endeavor Energy Resources LP/EER Finance, Inc.:

7% 8/15/21 (g)

4,355

4,333

8.125% 9/15/23 (g)

3,960

4,084

Energy Transfer Equity LP 5.5% 6/1/27

6,395

6,379

Energy XXI Gulf Coast, Inc. 11% 3/15/20 (g)

5,565

4,869

EP Energy LLC/Everest Acquisition Finance, Inc. 6.375% 6/15/23 (g)

5,175

5,188

EV Energy Partners LP/EV Energy Finance Corp. 8% 4/15/19

3,705

3,446

Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20

1,765

1,886

Genesis Energy LP/Genesis Energy Finance Corp. 5.75% 2/15/21

2,400

2,370

Georgian Oil & Gas Corp. 6.875% 5/16/17 (g)

3,780

3,808

Global Partners LP/GLP Finance Corp.:

6.25% 7/15/22

1,030

989

7% 6/15/23 (g)

4,305

4,230

Goodrich Petroleum Corp. 8.875% 3/15/19

3,485

1,499

Hiland Partners LP/Finance Corp. 7.25% 10/1/20 (g)

3,765

4,066

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Hilcorp Energy I LP/Hilcorp Finance Co.:

5% 12/1/24 (g)

$ 4,000

$ 3,751

5.75% 10/1/25 (g)

4,310

4,138

7.625% 4/15/21 (g)

4,325

4,498

Holly Energy Partners LP/Holly Finance Corp. 6.5% 3/1/20

4,875

4,863

Indo Energy Finance BV 7% 5/7/18 (g)

1,175

969

Jupiter Resources, Inc. 8.5% 10/1/22 (g)

6,720

5,628

KazMunaiGaz Finance Sub BV 6% 11/7/44 (g)

2,275

1,951

KazMunaiGaz National Co. 5.75% 4/30/43 (g)

3,705

3,092

Kinder Morgan, Inc. 5.625% 11/15/23 (g)

3,115

3,314

Kosmos Energy Ltd. 7.875% 8/1/21 (g)

2,195

2,118

Laredo Petroleum, Inc. 7.375% 5/1/22 (Reg. S)

5,910

6,220

Markwest Energy Partners LP/Markwest Energy Finance Corp.:

4.875% 12/1/24

6,560

6,412

5.5% 2/15/23

3,215

3,299

Newfield Exploration Co.:

5.375% 1/1/26

5,450

5,396

5.625% 7/1/24

5,200

5,252

Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20

2,245

2,312

Nostrum Oil & Gas Finance BV 6.375% 2/14/19 (g)

5,360

5,025

Pacific Rubiales Energy Corp. 7.25% 12/12/21 (g)

15,449

12,668

Pan American Energy LLC 7.875% 5/7/21 (g)

1,985

2,032

PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20

9,325

9,861

PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 (g)

3,235

3,251

Peabody Energy Corp. 10% 3/15/22 (g)

4,360

2,703

Pemex Project Funding Master Trust:

6.625% 6/15/35

7,740

8,262

8.625% 12/1/23 (l)

500

615

PetroBakken Energy Ltd. 8.625% 2/1/20 (g)

9,160

5,885

Petrobras Global Finance BV:

1.896% 5/20/16 (l)

4,310

4,246

2% 5/20/16

1,450

1,433

2.4153% 1/15/19 (l)

5,765

5,330

3% 1/15/19

2,340

2,163

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petrobras Global Finance BV: - continued

3.25% 3/17/17

$ 2,240

$ 2,209

6.25% 3/17/24

3,950

3,814

6.85% 6/5/15

4,250

3,487

7.25% 3/17/44

2,190

2,033

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

1,880

1,888

5.75% 1/20/20

2,150

2,130

6.875% 1/20/40

6,640

5,915

Petroleos de Venezuela SA:

5.375% 4/12/27

6,810

2,332

5.5% 4/12/37

2,200

755

8.5% 11/2/17 (g)

46,685

32,096

9.75% 5/17/35 (g)

10,275

4,156

12.75% 2/17/22 (g)

8,985

4,434

Petroleos Mexicanos:

3.5% 1/30/23

4,305

4,084

4.875% 1/24/22

3,930

4,087

4.875% 1/18/24

3,685

3,777

5.5% 1/21/21

2,545

2,760

5.5% 6/27/44

4,490

4,131

5.5% 6/27/44 (g)

3,250

2,990

5.625% 1/23/46 (g)

2,160

2,017

6.375% 1/23/45

5,900

6,055

6.5% 6/2/41

7,295

7,587

6.625% (g)(h)

19,963

19,888

Petronas Capital Ltd. 3.5% 3/18/25 (g)

2,020

1,998

PT Pertamina Persero:

4.875% 5/3/22 (g)

1,990

2,007

5.25% 5/23/21 (g)

2,185

2,264

6% 5/3/42 (g)

1,320

1,225

6.5% 5/27/41 (g)

6,280

6,225

QEP Resources, Inc. 5.25% 5/1/23

5,955

5,702

Range Resources Corp. 5% 3/15/23

9,130

8,947

Rice Energy, Inc.:

6.25% 5/1/22

7,770

7,712

7.25% 5/1/23 (g)

1,695

1,737

Rosetta Resources, Inc.:

5.625% 5/1/21

4,560

4,845

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Rosetta Resources, Inc.: - continued

5.875% 6/1/22

$ 4,750

$ 5,071

RSP Permian, Inc. 6.625% 10/1/22 (g)

1,785

1,825

Sabine Pass Liquefaction LLC 5.625% 3/1/25 (g)

8,895

8,806

SemGroup Corp. 7.5% 6/15/21

4,100

4,285

Sibur Securities Ltd. 3.914% 1/31/18 (g)

5,840

5,479

SM Energy Co. 5.625% 6/1/25

2,100

2,079

Southern Star Central Corp. 5.125% 7/15/22 (g)

2,570

2,609

Sunoco LP / Sunoco Finance Corp. 6.375% 4/1/23 (g)

3,040

3,162

Teekay Corp. 8.5% 1/15/20

3,695

4,111

Teine Energy Ltd. 6.875% 9/30/22 (g)

4,615

4,453

Tennessee Gas Pipeline Co. 7.625% 4/1/37

1,035

1,219

Tesoro Corp. 5.375% 10/1/22

3,340

3,390

Tesoro Logistics LP/Tesoro Logistics Finance Corp.:

5.5% 10/15/19 (g)

2,540

2,635

5.875% 10/1/20

791

819

6.125% 10/15/21

2,735

2,851

6.25% 10/15/22 (g)

2,715

2,810

Transportadora de Gas del Sur SA 9.625% 5/14/20 (g)

10,149

10,250

W&T Offshore, Inc. 8.5% 6/15/19

4,890

3,392

Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 (g)

1,835

1,890

Western Refining, Inc. 6.25% 4/1/21

8,595

8,659

Whiting Petroleum Corp.:

5% 3/15/19

3,480

3,410

5.75% 3/15/21

3,480

3,424

WPX Energy, Inc. 6% 1/15/22

7,035

6,947

YPF SA:

8.5% 7/28/25 (g)

4,275

4,232

8.75% 4/4/24 (g)

8,815

8,947

8.875% 12/19/18 (g)

6,430

6,832

Zhaikmunai International BV 7.125% 11/13/19 (g)

6,980

6,605

 

578,025

TOTAL ENERGY

629,616

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - 8.0%

Banks - 3.2%

ABN AMRO Bank NV:

2.875% 6/30/25 (Reg. S)

EUR

500

$ 561

7.125% 7/6/22

EUR

5,250

7,468

Banco Daycoval SA 5.75% 3/19/19 (g)

345

358

Banco de Galicia y Buenos Aires SA 16% 1/1/19 (Reg. S)

2,217

2,328

Banco Nacional de Desenvolvimento Economico e Social:

5.5% 7/12/20 (g)

1,940

2,018

5.75% 9/26/23 (g)

2,445

2,496

6.369% 6/16/18 (g)

2,200

2,354

Bank of America Corp. 1.375% 9/10/21 (Reg. S)

EUR

6,650

7,369

Bank of Ireland 1.25% 4/9/20

EUR

16,800

18,161

Banque Centrale de Tunisie 5.75% 1/30/25 (g)

3,560

3,475

Barclays Bank PLC 6.625% 3/30/22 (Reg. S)

EUR

3,800

5,245

BBVA Bancomer SA 6.75% 9/30/22 (g)

1,300

1,432

BBVA Colombia SA 4.875% 4/21/25 (g)

1,295

1,267

BBVA Paraguay SA 9.75% 2/11/16 (g)

4,580

4,744

CIT Group, Inc.:

5% 8/15/22

8,305

8,222

5.375% 5/15/20

10,385

10,826

5.5% 2/15/19 (g)

10,070

10,498

Citigroup, Inc. 2.125% 9/10/26 (Reg. S)

EUR

6,100

6,641

Development Bank of Philippines 8.375% (h)(l)

6,765

7,104

Export-Import Bank of Korea 6% 6/4/16 (Reg. S)

INR

137,400

2,147

Finansbank A/S:

5.5% 5/11/16 (Reg. S)

4,575

4,638

6.25% 4/30/19 (g)

3,645

3,675

Georgia Bank Joint Stock Co.:

7.75% 7/5/17 (g)

7,045

7,278

7.75% 7/5/17 (Reg. S)

1,100

1,136

GTB Finance BV:

6% 11/8/18 (g)

7,230

6,858

7.5% 5/19/16 (g)

4,675

4,733

HSBC Bank PLC 5% 3/20/23 (l)

GBP

9,056

14,967

HSBC Holdings PLC 3% 6/30/25

EUR

3,350

3,722

HSBK BV 7.25% 5/3/17 (g)

8,370

8,642

Industrial Senior Trust 5.5% 11/1/22 (g)

575

556

ING Bank NV:

6.125% 5/29/23 (l)

EUR

10,945

13,729

6.875% 5/29/23 (l)

GBP

6,500

11,349

Intesa Sanpaolo SpA 1.125% 1/14/20 (Reg. S)

EUR

7,300

7,940

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Banks - continued

Itau Unibanco Holding SA:

2.85% 5/26/18 (g)

$ 2,150

$ 2,133

5.125% 5/13/23 (Reg. S)

3,660

3,572

6.2% 12/21/21 (Reg. S)

3,275

3,461

KBC Groep NV 1.875% 3/11/27 (Reg. S) (l)

EUR

9,700

10,219

Lloyds Bank PLC 6.5% 3/24/20

EUR

4,950

6,589

National Westminster Bank PLC 6.5% 9/7/21

GBP

4,430

7,782

OJSC Russian Agricultural Bank:

6.299% 5/15/17 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (g)

2,985

3,007

7.75% 5/29/18 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (g)

2,840

2,931

Rabobank Nederland 6.875% 3/19/20 (Reg. S)

EUR

13,850

18,171

Royal Bank of Scotland Group PLC 1.625% 6/25/19 (Reg. S)

EUR

8,700

9,729

RSHB Capital SA 5.298% 12/27/17 (g)

3,840

3,752

SB Capital SA 5.5% 2/26/24 (g)(l)

7,365

6,097

Turkiye Halk Bankasi A/S 4.75% 6/4/19 (g)

1,400

1,410

Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (g)(l)

2,150

2,112

UniCredit SpA:

3.25% 1/14/21 (Reg. S)

EUR

7,500

8,883

6.95% 10/31/22 (Reg. S)

EUR

1,150

1,481

Zenith Bank PLC 6.25% 4/22/19 (g)

8,770

8,408

 

293,674

Capital Markets - 0.3%

Argos Merger Sub, Inc. 7.125% 3/15/23 (g)

6,585

6,898

Criteria Caixaholding SA 1.625% 4/21/22

EUR

13,100

13,817

Morgan Stanley 5.375% 8/10/20

EUR

7,200

9,661

 

30,376

Consumer Finance - 2.3%

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:

4.25% 7/1/20

4,275

4,278

4.5% 5/15/21 (g)

8,055

8,095

4.625% 7/1/22

4,275

4,286

Ally Financial, Inc.:

4.125% 2/13/22

8,795

8,443

4.625% 3/30/25

1,500

1,429

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

Ally Financial, Inc.: - continued

5.125% 9/30/24

$ 16,971

$ 17,013

Credito Real S.A.B. de CV 7.5% 3/13/19 (g)

2,775

2,914

FCA Capital Ireland PLC 1.375% 4/17/20 (Reg. S)

EUR

12,200

13,176

Ford Credit Europe PLC 1.134% 2/10/22 (Reg. S)

EUR

7,000

7,460

General Motors Acceptance Corp. 8% 11/1/31

9,006

11,483

GMAC LLC 8% 11/1/31

72,978

87,391

Navient Corp.:

5% 10/26/20

3,110

3,048

5.875% 10/25/24

6,710

6,307

SLM Corp.:

5.5% 1/25/23

22,735

21,598

7.25% 1/25/22

12,720

13,420

8% 3/25/20

7,185

8,011

 

218,352

Diversified Financial Services - 1.0%

Cimpor Financial Operations BV 5.75% 7/17/24 (g)

2,880

2,333

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

4.875% 3/15/19

7,260

7,314

5.875% 2/1/22

18,530

18,877

6% 8/1/20

25,690

26,525

Malaysia Sovereign Sukuk Bhd 3.043% 4/22/25 (g)

3,130

3,112

MSCI, Inc. 5.25% 11/15/24 (g)

2,735

2,769

Nationwide Building Society 4.125% 3/20/23 (Reg. S) (l)

EUR

13,250

15,663

TMK Capital SA:

6.75% 4/3/20 (Reg. S)

2,730

2,361

7.75% 1/27/18

4,795

4,672

Unite (USAF) II PLC 3.374% 6/30/28

GBP

4,450

7,059

Wendel SA 2.75% 10/2/24 (Reg. S)

EUR

3,900

4,405

 

95,090

Insurance - 0.2%

Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (g)

9,770

9,965

Society of Lloyd's 4.75% 10/30/24

GBP

2,700

4,264

 

14,229

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - 0.5%

Communications Sales & Leasing, Inc.:

6% 4/15/23 (g)

$ 1,895

$ 1,853

8.25% 10/15/23 (g)

4,260

4,185

Crown Castle International Corp. 5.25% 1/15/23

8,270

8,330

CTR Partnership LP/CareTrust Capital Corp. 5.875% 6/1/21

700

712

Iron Mountain, Inc. 5.75% 8/15/24

3,800

3,802

MPT Operating Partnership LP/MPT Finance Corp. 6.375% 2/15/22

4,335

4,622

Omega Healthcare Investors, Inc. 5.875% 3/15/24

13,845

14,728

Prologis LP 3% 6/2/26

EUR

6,700

7,752

Scentre Management Ltd./ RE1 Ltd. 2.25% 7/16/24 (Reg. S)

EUR

2,118

2,411

The GEO Group, Inc. 5.125% 4/1/23

1,910

1,905

 

50,300

Real Estate Management & Development - 0.5%

CBRE Group, Inc.:

5% 3/15/23

9,605

9,701

5.25% 3/15/25

5,100

5,279

Deutsche Annington Finance BV 2.125% 7/9/22 (Reg. S)

EUR

2,924

3,306

Grand City Properties SA 1.5% 4/17/25 (Reg. S)

EUR

5,000

4,963

Howard Hughes Corp. 6.875% 10/1/21 (g)

10,865

11,517

Inversiones y Representaciones SA:

8.5% 2/2/17 (Reg. S)

285

284

11.5% 7/20/20 (Reg. S)

15

17

Realogy Corp. 9% 1/15/20 (g)

3,740

4,030

Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.25% 4/15/21 (g)

7,370

7,259

 

46,356

TOTAL FINANCIALS

748,377

HEALTH CARE - 2.6%

Health Care Equipment & Supplies - 0.1%

Alere, Inc. 6.375% 7/1/23 (g)

1,935

1,969

Hologic, Inc. 5.25% 7/15/22 (g)(i)

4,650

4,749

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Mallinckrodt International Finance SA/Mallinckrodt CB LLC:

4.875% 4/15/20 (g)

$ 2,040

$ 2,076

5.5% 4/15/25 (g)

1,700

1,649

 

10,443

Health Care Providers & Services - 1.5%

AmSurg Corp. 5.625% 7/15/22

4,130

4,166

HCA Holdings, Inc.:

4.75% 5/1/23

6,115

6,191

5.25% 4/15/25

13,180

13,707

5.375% 2/1/25

8,650

8,791

5.875% 3/15/22

19,190

20,869

5.875% 5/1/23

7,155

7,602

6.5% 2/15/20

9,920

11,086

7.5% 2/15/22

12,110

13,911

HealthSouth Corp. 5.75% 11/1/24

6,425

6,562

InVentiv Health, Inc. 11% 8/15/18 (g)(l)

905

873

Kindred Escrow Corp. II:

8% 1/15/20 (g)

4,440

4,751

8.75% 1/15/23 (g)

3,330

3,617

MPH Acquisition Holdings LLC 6.625% 4/1/22 (g)

2,060

2,104

Quintiles Transnational Corp. 4.875% 5/15/23 (g)

3,340

3,357

Sabra Health Care LP/Sabra Capital Corp.:

5.375% 6/1/23

3,075

3,160

5.5% 2/1/21

2,250

2,329

Tenet Healthcare Corp.:

6.75% 6/15/23 (g)

7,335

7,482

6.875% 11/15/31

11,540

10,675

Truven Health Analytics, Inc. 10.625% 6/1/20

4,285

4,489

 

135,722

Life Sciences Tools & Services - 0.1%

Jaguar Holding Co. I 9.375% 10/15/17 pay-in-kind (g)(l)

4,255

4,345

Thermo Fisher Scientific, Inc. 2% 4/15/25

EUR

8,100

8,721

 

13,066

Pharmaceuticals - 0.9%

Concordia Healthcare Corp. 7% 4/15/23 (g)

2,090

2,090

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Pharmaceuticals - continued

Endo Finance LLC/Endo Ltd./Endo Finco, Inc.:

6% 7/15/23 (g)(i)

$ 5,410

$ 5,532

6% 2/1/25 (g)

6,115

6,214

JLL/Delta Dutch Pledgeco BV 8.75% 5/1/20 pay-in-kind (g)(l)

2,295

2,329

Pinnacle Merger Sub, Inc. 9.5% 10/1/23 (g)

5,922

6,618

Valeant Pharmaceuticals International:

5.625% 12/1/21 (g)

1,615

1,651

6.75% 8/15/21 (g)

4,210

4,389

7.5% 7/15/21 (g)

4,070

4,380

Valeant Pharmaceuticals International, Inc.:

5.375% 3/15/20 (g)

7,635

7,883

5.875% 5/15/23 (g)

20,705

21,223

6.125% 4/15/25 (g)

14,710

15,133

VPI Escrow Corp. 6.375% 10/15/20 (g)

9,225

9,715

 

87,157

TOTAL HEALTH CARE

246,388

INDUSTRIALS - 3.7%

Aerospace & Defense - 0.3%

Alion Science & Technology Corp. 15.25% 2/18/20 pay-in-kind

842

789

Bombardier, Inc. 6.125% 1/15/23 (g)

2,240

1,988

GenCorp, Inc. 7.125% 3/15/21

1,340

1,427

Huntington Ingalls Industries, Inc. 5% 12/15/21 (g)

2,700

2,747

KLX, Inc. 5.875% 12/1/22 (g)

11,260

11,371

Triumph Group, Inc. 4.875% 4/1/21

4,990

4,890

 

23,212

Air Freight & Logistics - 0.1%

XPO Logistics, Inc. 7.875% 9/1/19 (g)

5,235

5,594

Airlines - 0.6%

Air Canada:

5.375% 11/15/22 (g)

1,526

1,587

7.75% 4/15/21 (g)

3,800

4,057

Allegiant Travel Co. 5.5% 7/15/19

1,270

1,280

Aviation Capital Group Corp. 4.625% 1/31/18 (g)

3,555

3,680

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

Continental Airlines, Inc.:

pass-thru trust certificates 6.903% 4/19/22

$ 731

$ 773

6.125% 4/29/18

1,720

1,793

7.25% 11/10/19

3,788

4,356

Delta Air Lines, Inc. pass-thru trust certificates:

6.821% 8/10/22

7,770

8,916

8.021% 8/10/22

2,618

3,004

Hawaiian Airlines pass-thru certificates Series 2013-1 Class B, 4.95% 1/15/22

2,372

2,300

Northwest Airlines, Inc. pass-thru trust certificates:

7.027% 11/1/19

1,737

1,959

8.028% 11/1/17

462

514

U.S. Airways Group, Inc. 6.125% 6/1/18

7,310

7,588

U.S. Airways pass-thru certificates:

Series 2011-1 Class A, 7.125% 4/22/25

4,060

4,709

Series 2012-2 Class B, 6.75% 12/3/22

1,683

1,826

Series 2013-1 Class B, 5.375% 5/15/23

2,234

2,289

United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17

4,039

4,392

United Continental Holdings, Inc. 6.375% 6/1/18

960

1,001

 

56,024

Building Products - 0.0%

Shea Homes Ltd. Partnershp/Corp.:

5.875% 4/1/23 (g)

1,380

1,397

6.125% 4/1/25 (g)

1,380

1,390

 

2,787

Commercial Services & Supplies - 0.6%

ADT Corp. 6.25% 10/15/21

13,075

13,729

APX Group, Inc.:

6.375% 12/1/19

3,875

3,759

8.75% 12/1/20

5,230

4,707

Bakercorp International, Inc. 8.25% 6/1/19

830

710

Cenveo Corp. 6% 8/1/19 (g)

2,480

2,331

Clean Harbors, Inc.:

5.125% 6/1/21

3,050

3,020

5.25% 8/1/20

3,395

3,446

Covanta Holding Corp.:

5.875% 3/1/24

3,120

3,104

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Covanta Holding Corp.: - continued

7.25% 12/1/20

$ 4,940

$ 5,187

Garda World Security Corp. 7.25% 11/15/21 (g)

1,825

1,752

R.R. Donnelley & Sons Co.:

6% 4/1/24

1,925

1,935

7% 2/15/22

3,500

3,763

7.875% 3/15/21

4,975

5,616

TMS International Corp. 7.625% 10/15/21 (g)

970

946

 

54,005

Construction & Engineering - 0.1%

AECOM Technology Corp.:

5.75% 10/15/22 (g)

2,165

2,192

5.875% 10/15/24 (g)

1,855

1,881

Cementos Progreso Trust 7.125% 11/6/23 (g)

1,870

1,991

MasTec, Inc. 4.875% 3/15/23

5,255

4,795

Odebrecht Finance Ltd. 4.375% 4/25/25 (g)

2,170

1,659

 

12,518

Electrical Equipment - 0.1%

Sensata Technologies BV:

4.875% 10/15/23 (g)

2,505

2,474

5% 10/1/25 (g)

4,355

4,241

 

6,715

Industrial Conglomerates - 0.0%

Alfa SA de CV 5.25% 3/25/24 (g)

1,490

1,527

Machinery - 0.1%

Schaeffler Finance BV 4.75% 5/15/21 (g)

4,880

4,904

Terex Corp. 6% 5/15/21

4,755

4,779

 

9,683

Marine - 0.1%

Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (g)

5,205

5,127

Navios Maritime Holdings, Inc. 7.375% 1/15/22 (g)

1,529

1,324

Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (g)

4,035

3,864

Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21

3,130

2,754

 

13,069

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Professional Services - 0.0%

Pontis III Ltd. 0% (e)(g)(h)

$ 2,805

$ 2,791

Road & Rail - 0.1%

JSC Georgian Railway 7.75% 7/11/22 (g)

1,800

1,952

Lima Metro Line 2 Finance Ltd. 5.875% 7/5/34 (g)

1,870

1,910

 

3,862

Trading Companies & Distributors - 1.4%

Aircastle Ltd.:

4.625% 12/15/18

3,405

3,507

5.5% 2/15/22

4,250

4,338

6.25% 12/1/19

5,850

6,340

7.625% 4/15/20

3,750

4,242

Ashtead Capital, Inc. 5.625% 10/1/24 (g)

4,250

4,261

International Lease Finance Corp.:

4.625% 4/15/21

6,645

6,711

5.875% 4/1/19

13,663

14,567

5.875% 8/15/22

15,215

16,432

6.25% 5/15/19

19,100

20,652

8.25% 12/15/20

21,490

25,519

8.625% 1/15/22

21,585

26,334

NES Rentals Holdings, Inc. 7.875% 5/1/18 (g)

1,505

1,520

 

134,423

Transportation Infrastructure - 0.2%

Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (g)

6,026

6,448

Heathrow Funding Ltd. 6.25% 9/10/18

GBP

7,100

12,453

 

18,901

TOTAL INDUSTRIALS

345,111

INFORMATION TECHNOLOGY - 2.2%

Communications Equipment - 0.5%

Alcatel-Lucent U.S.A., Inc.:

6.75% 11/15/20 (g)

7,530

7,963

8.875% 1/1/20 (g)

2,695

2,931

Banglalink Digital Communications Ltd. 8.625% 5/6/19 (g)

6,705

6,772

Brocade Communications Systems, Inc. 4.625% 1/15/23

3,330

3,222

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Lucent Technologies, Inc.:

6.45% 3/15/29

$ 17,025

$ 17,578

6.5% 1/15/28

6,255

6,443

 

44,909

Electronic Equipment & Components - 0.1%

Flextronics International Ltd.:

4.625% 2/15/20

4,785

4,893

5% 2/15/23

2,495

2,544

 

7,437

Internet Software & Services - 0.2%

CyrusOne LP/CyrusOne Finance Corp. 6.375% 11/15/22

3,595

3,721

j2 Global, Inc. 8% 8/1/20

3,460

3,737

VeriSign, Inc.:

4.625% 5/1/23

4,375

4,205

5.25% 4/1/25 (g)

4,270

4,259

 

15,922

IT Services - 0.4%

Audatex North America, Inc.:

6% 6/15/21 (g)

9,200

9,453

6.125% 11/1/23 (g)

1,345

1,382

CDW LLC/CDW Finance Corp. 5% 9/1/23

4,285

4,210

Ceridian HCM Holding, Inc. 11% 3/15/21 (g)

2,360

2,496

First Data Corp.:

11.25% 1/15/21

2,564

2,846

11.75% 8/15/21

9,380

10,553

Global Cash Access, Inc. 10% 1/15/22 (g)

2,900

2,748

 

33,688

Semiconductors & Semiconductor Equipment - 0.5%

Advanced Micro Devices, Inc. 7% 7/1/24

4,430

3,743

Entegris, Inc. 6% 4/1/22 (g)

1,275

1,310

Infineon Technologies AG 1.5% 3/10/22 (Reg. S)

EUR

1,950

2,129

Micron Technology, Inc.:

5.25% 8/1/23 (g)

1,740

1,668

5.25% 1/15/24 (g)

3,250

3,069

5.5% 2/1/25 (g)

12,245

11,474

5.625% 1/15/26 (g)

3,250

3,002

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Micron Technology, Inc.: - continued

5.875% 2/15/22

$ 2,615

$ 2,661

NXP BV/NXP Funding LLC:

5.75% 2/15/21 (g)

5,005

5,205

5.75% 3/15/23 (g)

12,445

12,943

STATS ChipPAC Ltd. 4.5% 3/20/18 (g)

2,200

2,208

 

49,412

Software - 0.4%

Activision Blizzard, Inc.:

5.625% 9/15/21 (g)

18,545

19,426

6.125% 9/15/23 (g)

4,825

5,175

Blue Coat Systems, Inc. 8.375% 6/1/23 (g)

3,790

3,856

Infor Software Parent LLC/Infor Software Parent, Inc. 7.125% 5/1/21 pay-in-kind (g)(l)

1,885

1,890

Italics Merger Sub, Inc. 7.125% 7/15/23 (g)

2,150

2,123

Nuance Communications, Inc. 5.375% 8/15/20 (g)

2,445

2,457

Sophia Holding Finance LP/Sophia Holding Finance, Inc. 9.625% 12/1/18 pay-in-kind (g)(l)

3,425

3,468

SS&C Technologies Holdings, Inc. 5.875% 7/15/23 (g)

3,370

3,404

 

41,799

Technology Hardware, Storage & Peripherals - 0.1%

Project Homestake Merger Corp. 8.875% 3/1/23 (g)

2,375

2,304

Seagate HDD Cayman 4.75% 1/1/25 (g)

4,335

4,308

 

6,612

TOTAL INFORMATION TECHNOLOGY

199,779

MATERIALS - 3.7%

Chemicals - 1.3%

Albemarle Corp. U.S. 1.875% 12/8/21 (Reg. S)

EUR

8,900

9,783

Chemtura Corp. 5.75% 7/15/21

2,355

2,390

Hexion U.S. Finance Corp. 6.625% 4/15/20

5,865

5,381

LSB Industries, Inc. 7.75% 8/1/19

1,680

1,781

Momentive Performance Materials, Inc.:

3.88% 10/24/21

44,218

39,686

4.69% 4/24/22

14,170

11,761

10% 10/15/20 (c)

14,170

0

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 (c)

$ 44,218

$ 0

Nufarm Australia Ltd. 6.375% 10/15/19 (g)

2,020

2,065

OCP SA 5.625% 4/25/24 (g)

1,270

1,326

Platform Specialty Products Corp. 6.5% 2/1/22 (g)

3,325

3,433

PolyOne Corp.:

5.25% 3/15/23

3,085

3,054

7.375% 9/15/20

1,845

1,928

Rain CII Carbon LLC/CII Carbon Corp.:

8% 12/1/18 (g)

3,435

3,349

8.25% 1/15/21 (g)

1,730

1,682

Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp. 6.5% 4/15/21 (g)

2,120

2,088

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.:

7.375% 2/1/20 (g)

2,350

2,374

7.375% 2/1/20 (g)

1,680

1,697

The Chemours Company LLC:

6.625% 5/15/23 (g)

650

630

7% 5/15/25 (g)

3,465

3,361

TPC Group, Inc. 8.75% 12/15/20 (g)

7,335

6,785

U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV 7.375% 5/1/21 (g)

2,450

2,625

W.R. Grace & Co. - Conn:

5.125% 10/1/21 (g)

13,010

13,108

5.625% 10/1/24 (g)

2,840

2,876

 

123,163

Construction Materials - 0.1%

CEMEX Finance LLC:

6% 4/1/24 (g)

1,500

1,485

9.375% 10/12/22 (g)

2,370

2,640

Prince Mineral Holding Corp. 11.5% 12/15/19 (g)

1,685

1,550

Rearden G Holdings Eins GmbH 7.875% 3/30/20 (g)

3,215

3,127

Union Andina de Cementos SAA 5.875% 10/30/21 (g)

2,055

2,078

 

10,880

Containers & Packaging - 0.8%

Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (g)(l)

12,304

12,691

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Containers & Packaging - continued

Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:

6% 6/30/21 (g)

$ 9,740

$ 9,716

6.25% 1/31/19 (g)

2,410

2,452

6.75% 1/31/21 (g)

4,915

5,026

7% 11/15/20 (g)

530

541

Beverage Packaging Holdings II SA (Luxembourg):

5.625% 12/15/16 (g)

5,435

5,425

6% 6/15/17 (g)

2,720

2,720

Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (g)

2,060

1,833

Crown Cork & Seal, Inc.:

7.375% 12/15/26

11,295

12,679

7.5% 12/15/96

3,685

3,547

Graphic Packaging International, Inc. 4.75% 4/15/21

1,555

1,571

Sealed Air Corp. 5.25% 4/1/23 (g)

2,540

2,556

Silgan Holdings, Inc. 5% 4/1/20

9,600

9,864

 

70,621

Metals & Mining - 1.4%

Aleris International, Inc. 6% 6/1/20 (g)

33

33

Alrosa Finance SA 7.75% 11/3/20 (g)

2,285

2,388

Cliffs Natural Resources, Inc.:

7.75% 3/31/20 (g)

7,943

5,084

8.25% 3/31/20 (g)

3,265

3,085

Compania Minera Ares SAC 7.75% 1/23/21 (g)

2,880

2,956

CSN Resources SA 6.5% 7/21/20 (g)

1,600

1,360

Edgen Murray Corp. 8.75% 11/1/20 (g)

3,848

4,156

Essar Steel Algoma, Inc. 9.5% 11/15/19 (g)

3,790

3,212

EVRAZ Group SA:

6.5% 4/22/20 (g)

5,345

4,835

9.5% 4/24/18 (Reg. S)

9,565

9,849

Evraz, Inc. NA Canada 7.5% 11/15/19 (g)

5,600

5,516

Ferrexpo Finance PLC 10.375% 4/7/19 (g)

6,330

5,286

First Quantum Minerals Ltd.:

6.75% 2/15/20 (g)

3,138

3,036

7% 2/15/21 (g)

3,533

3,378

7.25% 5/15/22 (g)

3,980

3,806

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

Gold Fields Orogen Holding BVI Ltd.:

4.875% 10/7/20 (g)

$ 6,140

$ 5,618

4.875% 10/7/20 (Reg. S)

400

366

GTL Trade Finance, Inc. 5.893% 4/29/24 (g)

3,450

3,365

Metalloinvest Finance Ltd. 5.625% 4/17/20 (g)

1,880

1,720

Metinvest BV:

8.75% 2/14/18 (Reg. S)

955

535

10.5% 11/28/17 (g)

10,548

6,065

10.5% 11/28/17 (Reg. S)

187

108

Mirabela Nickel Ltd. 1% 9/10/44 (g)

14

0

Murray Energy Corp. 11.25% 4/15/21 (g)

8,770

7,367

New Gold, Inc. 7% 4/15/20 (g)

1,480

1,532

Nord Gold NV 6.375% 5/7/18 (g)

5,685

5,628

Polyus Gold International Ltd.:

5.625% 4/29/20 (g)

10,085

9,480

5.625% 4/29/20 (Reg. S)

500

470

Ryerson, Inc./Joseph T Ryerson & Son, Inc.:

9% 10/15/17

7,005

7,058

11.25% 10/15/18

7,091

7,162

Southern Copper Corp.:

6.75% 4/16/40

220

227

7.5% 7/27/35

3,875

4,340

Steel Dynamics, Inc.:

5.125% 10/1/21

1,280

1,283

5.25% 4/15/23

1,805

1,791

5.5% 10/1/24

3,200

3,200

Vale Overseas Ltd. 6.875% 11/21/36

2,160

2,088

Vedanta Resources PLC 6.75% 6/7/16 (g)

3,410

3,491

Walter Energy, Inc. 9.5% 10/15/19 (g)

2,645

1,428

 

132,302

Paper & Forest Products - 0.1%

Boise Cascade Co. 6.375% 11/1/20

1,410

1,486

Mercer International, Inc.:

7% 12/1/19

3,105

3,245

7.75% 12/1/22

5,580

5,999

NewPage Corp.:

0% 5/1/12 (c)(l)

1,770

0

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Paper & Forest Products - continued

NewPage Corp.: - continued

11.375% 12/31/14 (c)

$ 4,404

$ 0

Sino-Forest Corp. 6.25% 10/21/17 (c)(g)

5,480

0

 

10,730

TOTAL MATERIALS

347,696

TELECOMMUNICATION SERVICES - 4.6%

Diversified Telecommunication Services - 1.5%

Altice Financing SA:

6.5% 1/15/22 (g)

10,799

10,799

6.625% 2/15/23 (g)

8,265

8,205

7.875% 12/15/19 (g)

4,820

5,073

Altice Finco SA:

8.125% 1/15/24 (g)

8,730

8,817

9.875% 12/15/20 (g)

5,655

6,221

Citizens Communications Co.:

7.875% 1/15/27

4,895

4,528

9% 8/15/31

3,655

3,326

Consolidated Communications, Inc. 10.875% 6/1/20

2,395

2,742

Eileme 2 AB 11.625% 1/31/20 (g)

9,395

10,428

FairPoint Communications, Inc. 8.75% 8/15/19 (g)

4,990

5,190

Frontier Communications Corp. 8.5% 4/15/20

12,120

12,671

GCI, Inc. 6.875% 4/15/25

4,240

4,282

Indosat Palapa Co. BV 7.375% 7/29/20 (g)

3,445

3,566

Level 3 Communications, Inc. 5.75% 12/1/22

4,685

4,650

Level 3 Financing, Inc.:

5.125% 5/1/23 (g)

4,340

4,232

5.375% 5/1/25 (g)

4,340

4,183

Lynx I Corp. 5.375% 4/15/21 (g)

2,898

2,985

Lynx II Corp. 6.375% 4/15/23 (g)

1,820

1,881

Qtel International Finance Ltd. 5% 10/19/25 (g)

2,155

2,320

Sprint Capital Corp.:

6.875% 11/15/28

15,690

13,493

8.75% 3/15/32

7,721

7,509

Telefonica Celular del Paraguay SA 6.75% 12/13/22 (g)

1,880

1,946

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

U.S. West Communications:

6.875% 9/15/33

$ 2,535

$ 2,507

7.25% 9/15/25

535

611

7.25% 10/15/35

1,455

1,491

UPCB Finance IV Ltd. 5.375% 1/15/25 (g)

4,635

4,424

Virgin Media Finance PLC 4.875% 2/15/22

5,445

5,118

 

143,198

Wireless Telecommunication Services - 3.1%

America Movil S.A.B. de CV 6.45% 12/5/22

MXN

79,000

4,815

Comcel Trust 6.875% 2/6/24 (g)

1,875

1,973

Digicel Group Ltd.:

6% 4/15/21 (g)

27,845

26,846

6.75% 3/1/23 (g)

1,880

1,843

7% 2/15/20 (g)

2,330

2,412

7.125% 4/1/22 (g)

30,060

28,548

8.25% 9/30/20 (g)

32,570

32,651

Intelsat Jackson Holdings SA:

6.625% 12/15/22 (Reg. S)

12,000

10,920

7.5% 4/1/21

5,185

5,127

Millicom International Cellular SA:

4.75% 5/22/20 (g)

4,710

4,529

6% 3/15/25 (g)

3,755

3,624

6.625% 10/15/21 (g)

1,475

1,516

MTS International Funding Ltd. 8.625% 6/22/20 (g)

9,215

9,933

Sprint Corp. 7.125% 6/15/24

1,565

1,452

T-Mobile U.S.A., Inc.:

6% 3/1/23

7,490

7,668

6.125% 1/15/22

7,790

8,043

6.25% 4/1/21

15,470

15,857

6.375% 3/1/25

33,465

34,218

6.5% 1/15/24

20,640

21,311

6.625% 4/1/23

20,286

21,072

6.633% 4/28/21

7,440

7,719

6.731% 4/28/22

4,835

5,040

6.836% 4/28/23

5,580

5,866

TBG Global Pte. Ltd. 4.625% 4/3/18 (Reg. S)

1,630

1,622

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Vimpel Communications 9.125% 4/30/18 (Reg. S) (Issued by VIP Finance Ireland Ltd. for Vimpel Communications)

$ 2,150

$ 2,301

Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (g)

13,615

13,666

VimpelCom Holdings BV:

9% 2/13/18 (g)

RUB

60,220

1,000

9% 2/13/18 (Reg S.)

RUB

96,940

1,610

 

283,182

TOTAL TELECOMMUNICATION SERVICES

426,380

UTILITIES - 2.0%

Electric Utilities - 0.8%

E.ON International Finance BV 5.875% 10/30/37

GBP

5,000

9,306

Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.:

11% 10/1/21 (c)

24,490

27,551

11.75% 3/1/22 (c)(g)

22,732

25,886

Lamar Funding Ltd. 3.958% 5/7/25 (g)

1,875

1,823

Mirant Americas Generation LLC 9.125% 5/1/31

4,075

3,790

RJS Power Holdings LLC 5.125% 7/15/19 (g)

4,245

4,160

 

72,516

Gas Utilities - 0.2%

Intergas Finance BV 6.375% 5/14/17 (Reg. S)

2,095

2,158

Southern Natural Gas Co.:

7.35% 2/15/31

6,645

7,463

8% 3/1/32

3,400

4,036

Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17

2,435

2,545

Suburban Propane Partners LP/Suburban Energy Finance Corp. 7.375% 8/1/21

2,721

2,905

 

19,107

Independent Power and Renewable Electricity Producers - 1.0%

Calpine Corp. 7.875% 1/15/23 (g)

4,840

5,227

Energy Future Holdings Corp.:

10.875% 11/1/17 (c)

10,985

13,017

Corporate Bonds - continued

 

Principal
Amount (000s) (d)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Independent Power and Renewable Electricity Producers - continued

Energy Future Holdings Corp.: - continued

11.25% 11/1/17 pay-in-kind (c)(l)

$ 8,822

$ 10,454

Listrindo Capital BV 6.95% 2/21/19 (Reg. S)

1,815

1,897

PPL Energy Supply LLC 6.5% 6/1/25 (g)

3,425

3,425

TerraForm Power Operating LLC 5.875% 2/1/23 (g)

2,680

2,720

The AES Corp.:

4.875% 5/15/23

5,485

5,156

5.5% 3/15/24

2,635

2,536

TXU Corp.:

5.55% 11/15/14 (c)

1,864

1,967

6.5% 11/15/24 (c)

15,240

16,002

6.55% 11/15/34 (c)

29,755

31,243

 

93,644

TOTAL UTILITIES

185,267

TOTAL NONCONVERTIBLE BONDS

4,016,374

TOTAL CORPORATE BONDS

(Cost $3,966,522)


4,016,974

U.S. Government and Government Agency Obligations - 15.4%

 

U.S. Government Agency Obligations - 0.3%

Federal Home Loan Bank 1% 6/21/17

8,670

8,714

Tennessee Valley Authority:

1.75% 10/15/18

15,059

15,181

5.25% 9/15/39

1,138

1,380

5.375% 4/1/56

3,247

3,908

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

29,183

U.S. Treasury Inflation-Protected Obligations - 0.4%

U.S. Treasury Inflation-Indexed Bonds:

0.75% 2/15/45

23,521

21,324

1.375% 2/15/44

12,234

12,964

TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS

34,288

U.S. Government and Government Agency Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

U.S. Treasury Obligations - 14.0%

U.S. Treasury Bonds:

3% 5/15/45

$ 14,332

$ 13,978

3.375% 5/15/44

5,044

5,273

3.625% 2/15/44

75,957

83,137

4.25% 5/15/39

17,000

20,433

5.25% 2/15/29

18,341

23,888

5.375% 2/15/31 (k)

16,479

22,108

6.125% 8/15/29 (j)

9,280

13,107

7.5% 11/15/16

2,850

3,125

7.5% 11/15/24

5,690

8,210

7.875% 2/15/21

6,800

9,021

8.125% 5/15/21

9,286

12,526

U.S. Treasury Notes:

0.25% 7/15/15

22,225

22,227

0.25% 5/15/16

10,407

10,402

0.375% 1/15/16

35,003

35,041

0.375% 10/31/16

25,000

24,973

0.5% 2/28/17

3,924

3,920

0.5% 7/31/17

16,952

16,888

0.625% 12/31/16

65,882

65,995

0.75% 4/15/18

12,453

12,380

0.875% 1/31/17

1,865

1,875

0.875% 5/15/17

8,337

8,373

0.875% 8/15/17

28,906

29,008

0.875% 10/15/17

8,270

8,285

0.875% 1/31/18

8,149

8,148

0.875% 7/31/19

34,096

33,366

1% 9/30/16

56,457

56,863

1% 10/31/16

35,137

35,387

1% 5/15/18

10,000

10,005

1% 5/31/18

23,293

23,286

1.125% 6/15/18

5,000

5,016

1.375% 7/31/18

4,355

4,396

1.375% 9/30/18

11,963

12,054

1.375% 2/28/19

41,776

41,897

1.375% 3/31/20

4,936

4,884

1.375% 4/30/20

42,203

41,705

1.5% 12/31/18

5,624

5,676

1.5% 1/31/19

38,339

38,663

1.5% 5/31/20

17,150

17,039

1.5% 1/31/22

25,140

24,311

U.S. Government and Government Agency Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

1.625% 4/30/19

$ 50,979

$ 51,517

1.625% 6/30/19

39,152

39,495

1.625% 12/31/19

10,776

10,811

1.75% 9/30/19

39,910

40,356

1.75% 3/31/22

3,760

3,688

1.875% 8/31/17

7,700

7,892

1.875% 9/30/17

5,400

5,534

1.875% 10/31/17

13,764

14,106

2% 5/31/21

24,000

24,135

2% 2/15/25

5,586

5,419

2.125% 6/30/21

11,000

11,126

2.125% 6/30/22

23,000

23,074

2.25% 3/31/21

51,137

52,204

2.25% 4/30/21

45,402

46,321

2.25% 11/15/24

6,266

6,217

2.375% 7/31/17

21,976

22,735

2.375% 6/30/18

7,978

8,293

2.375% 8/15/24

27,099

27,205

2.625% 4/30/16

3,137

3,197

2.75% 11/30/16

7,000

7,222

3% 9/30/16

8,408

8,677

3% 2/28/17

34,584

35,975

3.5% 2/15/18

18,226

19,449

4.5% 5/15/17

13,745

14,733

TOTAL U.S. TREASURY OBLIGATIONS

1,306,250

Other Government Related - 0.7%

National Credit Union Administration Guaranteed Notes:

Series 2010-A1 Class A, 0.5235% 12/7/20 (NCUA Guaranteed) (l)

1,995

1,997

Series 2011-R1 Class 1A, 0.6305% 1/8/20 (NCUA Guaranteed) (l)

4,382

4,403

Series 2011-R4 Class 1A, 0.5605% 3/6/20 (NCUA Guaranteed) (l)

1,617

1,619

U.S. Government and Government Agency Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

Other Government Related - continued

National Credit Union Administration Guaranteed Notes Master Trust:

2.35% 6/12/17 (NCUA Guaranteed)

$ 31,000

$ 31,915

3.45% 6/12/21 (NCUA Guaranteed)

25,300

27,025

TOTAL OTHER GOVERNMENT RELATED

66,959

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,417,887)


1,436,680

U.S. Government Agency - Mortgage Securities - 1.1%

 

Fannie Mae - 0.2%

1.865% 10/1/35 (l)

23

25

1.915% 11/1/33 (l)

51

54

1.925% 9/1/33 (l)

443

465

1.925% 11/1/35 (l)

359

377

2.045% 1/1/35 (l)

223

235

2.052% 6/1/36 (l)

46

49

2.142% 9/1/36 (l)

103

110

2.19% 3/1/37 (l)

25

27

2.231% 3/1/33 (l)

104

110

2.278% 6/1/47 (l)

144

154

2.289% 11/1/36 (l)

40

42

2.321% 7/1/35 (l)

167

178

2.36% 2/1/37 (l)

456

487

2.44% 5/1/36 (l)

49

53

2.512% 4/1/36 (l)

319

342

2.526% 2/1/36 (l)

37

40

2.557% 6/1/42 (l)

384

398

2.691% 2/1/42 (l)

2,086

2,165

2.725% 8/1/35 (l)

669

717

2.765% 1/1/42 (l)

1,854

1,927

2.96% 11/1/40 (l)

222

233

2.982% 9/1/41 (l)

248

259

3.059% 10/1/41 (l)

99

102

3.234% 7/1/41 (l)

406

430

3.308% 10/1/41 (l)

220

232

3.5% 1/1/26 to 9/1/26

95

100

3.554% 7/1/41 (l)

434

460

U.S. Government Agency - Mortgage Securities - continued

 

Principal
Amount (000s) (d)

Value (000s)

Fannie Mae - continued

5% 5/1/22

$ 6

$ 6

5.5% 10/1/20 to 1/1/29

3,805

4,155

6% 6/1/16 to 10/1/16

12

12

6.5% 6/1/16 to 8/1/36

4,950

5,748

7.5% 1/1/28

30

35

TOTAL FANNIE MAE

19,727

Freddie Mac - 0.2%

1.82% 3/1/35 (l)

114

118

1.825% 3/1/37 (l)

18

18

1.852% 1/1/36 (l)

93

98

2.022% 2/1/37 (l)

53

56

2.05% 6/1/37 (l)

30

32

2.06% 1/1/37 (l)

274

291

2.095% 8/1/37 (l)

77

82

2.1% 7/1/35 (l)

156

167

2.121% 5/1/37 (l)

77

83

2.23% 6/1/33 (l)

254

271

2.333% 4/1/37 (l)

92

99

2.346% 10/1/36 (l)

341

361

2.351% 10/1/35 (l)

136

144

2.385% 5/1/37 (l)

914

976

2.385% 5/1/37 (l)

465

499

2.403% 10/1/42 (l)

2,269

2,395

2.415% 6/1/37 (l)

273

293

2.436% 5/1/37 (l)

71

76

2.448% 6/1/37 (l)

57

61

2.49% 9/1/35 (l)

63

68

2.506% 2/1/36 (l)

6

6

2.545% 7/1/36 (l)

90

96

2.595% 4/1/37 (l)

9

9

2.673% 7/1/35 (l)

236

253

3.072% 10/1/35 (l)

48

51

3.081% 9/1/41 (l)

2,344

2,446

3.217% 9/1/41 (l)

244

256

3.242% 4/1/41 (l)

264

277

3.292% 6/1/41 (l)

302

320

3.47% 5/1/41 (l)

276

291

3.624% 6/1/41 (l)

427

454

3.705% 5/1/41 (l)

374

398

6% 1/1/24

1,350

1,492

U.S. Government Agency - Mortgage Securities - continued

 

Principal
Amount (000s) (d)

Value (000s)

Freddie Mac - continued

6.5% 10/1/15 to 3/1/22

$ 532

$ 579

8.5% 3/1/20

0*

0*

TOTAL FREDDIE MAC

13,116

Ginnie Mae - 0.7%

4.3% 8/20/61 (q)

3,395

3,589

4.53% 10/20/62 (q)

3,579

3,899

4.55% 5/20/62 (q)

20,205

21,837

4.626% 3/20/62 (q)

4,308

4,646

4.649% 2/20/62 (q)

2,374

2,559

4.65% 3/20/62 (q)

3,943

4,257

4.682% 2/20/62 (q)

2,925

3,152

4.684% 1/20/62 (q)

13,765

14,815

5.47% 8/20/59 (q)

1,297

1,346

5.5% 11/15/35

1,923

2,184

5.612% 4/20/58 (q)

994

1,013

6% 6/15/36

3,933

4,533

7% 9/15/25 to 8/15/31

24

28

7.5% 2/15/22 to 8/15/28

45

53

8% 12/15/26

0*

0*

TOTAL GINNIE MAE

67,911

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $98,263)


100,754

Collateralized Mortgage Obligations - 2.5%

 

U.S. Government Agency - 2.5%

Fannie Mae:

floater:

Series 2008-76 Class EF, 0.687% 9/25/23 (l)

424

426

Series 2010-15 Class FJ, 1.117% 6/25/36 (l)

4,604

4,693

Series 2010-86 Class FE, 0.637% 8/25/25 (l)

517

521

planned amortization class:

Series 2002-9 Class PC, 6% 3/25/17

10

10

Series 2003-70 Class BJ, 5% 7/25/33

462

514

Series 2005-19 Class PA, 5.5% 7/25/34

1,578

1,715

Series 2005-27 Class NE, 5.5% 5/25/34

1,565

1,627

Series 2005-52 Class PB, 6.5% 12/25/34

38

38

Collateralized Mortgage Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

U.S. Government Agency - continued

Fannie Mae: - continued

planned amortization class:

Series 2005-64 Class PX, 5.5% 6/25/35

$ 1,541

$ 1,693

Series 2005-68 Class CZ, 5.5% 8/25/35

3,818

4,288

Series 2010-118 Class PB, 4.5% 10/25/40

3,310

3,548

sequential payer:

Series 2002-57 Class BD, 5.5% 9/25/17

41

43

Series 2003-117 Class MD, 5% 12/25/23

1,011

1,118

Series 2004-91 Class Z, 5% 12/25/34

4,264

4,740

Series 2005-117 Class JN, 4.5% 1/25/36

808

882

Series 2005-14 Class ZB, 5% 3/25/35

1,570

1,745

Series 2006-72 Class CY, 6% 8/25/26

1,363

1,512

Series 2009-59 Class HB, 5% 8/25/39

2,187

2,430

Series 2009-85 Class IB, 4.5% 8/25/24 (n)

288

25

Series 2009-93 Class IC, 4.5% 9/25/24 (n)

439

37

Series 2010-139 Class NI, 4.5% 2/25/40 (n)

2,707

402

Series 2010-39 Class FG, 1.107% 3/25/36 (l)

2,852

2,927

Series 2010-97 Class CI, 4.5% 8/25/25 (n)

942

72

Series 2011-67 Class AI, 4% 7/25/26 (n)

787

91

Series 2012-27 Class EZ, 4.25% 3/25/42

3,569

3,848

Freddie Mac:

floater:

Series 2630 Class FL, 0.6855% 6/15/18 (l)

12

12

Series 2711 Class FC, 1.0855% 2/15/33 (l)

1,725

1,756

floater planned amortization class Series 2770 Class FH, 0.5855% 3/15/34 (l)

1,841

1,856

planned amortization class:

Series 2101 Class PD, 6% 11/15/28

60

66

Series 2376 Class JE, 5.5% 11/15/16

31

32

Series 2381 Class OG, 5.5% 11/15/16

15

16

Series 2425 Class JH, 6% 3/15/17

50

52

Series 2672 Class MG, 5% 9/15/23

3,295

3,578

Series 2996 Class MK, 5.5% 6/15/35

158

178

Series 3415 Class PC, 5% 12/15/37

762

822

Series 3763 Class QA, 4% 4/15/34

1,660

1,725

planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34

3,047

3,142

sequential payer:

Series 2004-2802 Class ZG, 5.5% 5/15/34

7,088

8,006

Series 2303 Class ZV, 6% 4/15/31

142

157

Series 2877 Class ZD, 5% 10/15/34

5,026

5,584

Series 3745 Class KV, 4.5% 12/15/26

3,363

3,727

Collateralized Mortgage Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

U.S. Government Agency - continued

Freddie Mac: - continued

Series 3843 Class PZ, 5% 4/15/41

$ 1,035

$ 1,206

Ginnie Mae guaranteed REMIC pass-thru certificates:

floater:

Series 2007-59 Class FC, 0.684% 7/20/37 (l)

937

944

Series 2008-2 Class FD, 0.664% 1/20/38 (l)

236

238

Series 2008-73 Class FA, 1.044% 8/20/38 (l)

1,417

1,445

Series 2008-83 Class FB, 1.084% 9/20/38 (l)

1,417

1,446

Series 2009-108 Class CF, 0.7834% 11/16/39 (l)

1,147

1,159

Series 2009-116 Class KF, 0.7134% 12/16/39 (l)

905

914

Series 2010-9 Class FA, 0.7034% 1/16/40 (l)

1,473

1,486

Series 2010-H17 Class FA, 0.5115% 7/20/60 (l)(q)

4,935

4,912

Series 2010-H18 Class AF, 0.4776% 9/20/60 (l)(q)

5,761

5,738

Series 2010-H19 Class FG, 0.4776% 8/20/60 (l)(q)

6,812

6,785

Series 2010-H27 Series FA, 0.5576% 12/20/60 (l)(q)

2,174

2,174

Series 2011-H05 Class FA, 0.6776% 12/20/60 (l)(q)

3,730

3,743

Series 2011-H07 Class FA, 0.6823% 2/20/61 (l)(q)

6,913

6,936

Series 2011-H12 Class FA, 0.6723% 2/20/61 (l)(q)

8,579

8,605

Series 2011-H13 Class FA, 0.6776% 4/20/61 (l)(q)

3,322

3,333

Series 2011-H14:

Class FB, 0.6776% 5/20/61 (l)(q)

3,864

3,880

Class FC, 0.6776% 5/20/61 (l)(q)

3,550

3,563

Series 2011-H17 Class FA, 0.7076% 6/20/61 (l)(q)

4,792

4,812

Series 2011-H21 Class FA, 0.7776% 10/20/61 (l)(q)

5,144

5,181

Series 2012-H01 Class FA, 0.8776% 11/20/61 (l)(q)

4,387

4,437

Series 2012-H03 Class FA, 0.8776% 1/20/62 (l)(q)

2,752

2,784

Series 2012-H06 Class FA, 0.8076% 1/20/62 (l)(q)

4,268

4,305

Series 2012-H07 Class FA, 0.8076% 3/20/62 (l)(q)

2,573

2,601

Collateralized Mortgage Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass-thru certificates: - continued

floater:

Series 2013-H19:

Class FC, 0.7776% 8/20/63 (l)(q)

$ 567

$ 572

Class FD, 0.7776% 8/20/63 (l)(q)

1,550

1,562

Series 2015-H13 Class FL, 0.461% 5/20/63 (l)(q)

21,486

21,486

floater sequential payer Series 2011-150 Class D, 3% 4/20/37

173

176

planned amortization class Series 2011-136 Class WI, 4.5% 5/20/40 (n)

1,754

305

sequential payer Series 2011-69 Class GX, 4.5% 5/16/40

4,910

5,385

Series 2010-H15 Class TP, 5.15% 8/20/60 (q)

11,012

11,901

Series 2010-H17 Class XP, 5.3001% 7/20/60 (l)(q)

14,982

16,142

Series 2010-H18 Class PL, 5.01% 9/20/60 (l)(q)

11,393

12,290

Series 2012-64 Class KB, 5.2466% 5/20/41 (l)

856

970

Series 2013-124:

Class ES, 8.4213% 4/20/39 (l)(o)

4,219

4,863

Class ST, 8.5547% 8/20/39 (l)(o)

7,926

9,091

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $234,407)


237,024

Commercial Mortgage Securities - 1.5%

 

Freddie Mac:

pass thru-certificates floater Series KF01 Class A, 0.534% 4/25/19 (l)

1,179

1,174

pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20

2,480

2,712

sequential payer:

Series K006 Class A2, 4.251% 1/25/20

14,020

15,333

Series K009 Class A2, 3.808% 8/25/20

20,970

22,615

Series K034 Class A1, 2.669% 2/25/23

9,115

9,361

Series K717 Class A2, 2.991% 9/25/21

4,224

4,387

Series K039 Class A2, 3.303% 7/25/24

16,000

16,548

Series K042 Class A2, 2.67% 12/25/24

13,200

12,930

Series K501 Class A2, 1.655% 11/25/16

5,440

5,485

Series K714 Class A2, 3.034% 10/25/20

14,000

14,634

Series K716 Class A2, 3.13% 6/25/21

10,900

11,420

Commercial Mortgage Securities - continued

 

Principal
Amount (000s) (d)

Value (000s)

Freddie Mac Multi-family Structured Pass-thru Certificates:

sequential payer Series K718 Class A2, 2.791% 1/25/22

$ 12,190

$ 12,484

Series K044 Class A2, 2.811% 1/25/25

12,200

12,096

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $141,354)


141,179

Foreign Government and Government Agency Obligations - 16.5%

 

Arab Republic 5.875% 6/11/25 (g)

1,325

1,294

Arab Republic of Egypt 6.875% 4/30/40 (g)

650

635

Argentine Republic:

7% 10/3/15

11,985

11,931

7% 4/17/17

50,170

48,225

Australian Commonwealth:

2.75% 6/21/35 (Reg. S)

AUD

4,000

2,712

3.25% 4/21/25 (Reg. S)

AUD

73,925

58,154

Azerbaijan Republic 4.75% 3/18/24 (g)

1,390

1,416

Banco Central del Uruguay:

value recovery A rights 1/2/21 (p)

500,000

0

value recovery B rights 1/2/21 (p)

750,000

0

Belarus Republic:

8.75% 8/3/15 (Reg. S)

18,150

17,941

8.95% 1/26/18

15,805

15,082

Brazilian Federative Republic:

5.625% 1/7/41

9,430

9,006

7.125% 1/20/37

10,285

11,622

8.25% 1/20/34

9,960

12,375

10% 1/1/17

BRL

11,360

3,471

Buenos Aires Province:

9.375% 9/14/18 (g)

1,930

1,896

9.95% 6/9/21

3,160

3,089

10.875% 1/26/21 (Reg. S)

11,261

11,317

Buoni del Tesoro Poliennali:

1.05% 12/1/19

EUR

27,150

30,251

2.5% 12/1/24

EUR

16,250

18,475

4.5% 3/1/24

EUR

12,500

16,437

Foreign Government and Government Agency Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

Canadian Government:

1.5% 2/1/17

CAD

20,200

$ 16,431

1.5% 3/1/20

CAD

30,650

25,305

2.25% 6/1/25

CAD

25,950

21,846

3.5% 12/1/45

CAD

14,200

14,321

Central Bank of Nigeria warrants 11/15/20 (a)(p)

6,250

762

City of Buenos Aires:

8.95% 2/19/21 (g)

6,510

6,640

9.95% 3/1/17 (g)

2,620

2,712

Colombian Republic:

4.375% 3/21/23

COP

7,084,000

2,457

5% 6/15/45

1,425

1,318

5.625% 2/26/44

1,425

1,443

6.125% 1/18/41

2,390

2,587

7.375% 9/18/37

2,450

3,020

10.375% 1/28/33

7,000

10,521

Congo Republic 4% 6/30/29

13,932

12,371

Costa Rican Republic:

4.25% 1/26/23 (g)

2,240

2,068

5.625% 4/30/43 (g)

640

528

7% 4/4/44 (g)

4,285

4,146

7.158% 3/12/45 (g)

300

293

Croatia Republic:

5.5% 4/4/23 (g)

1,350

1,388

6% 1/26/24 (g)

1,300

1,374

6.375% 3/24/21 (g)

2,545

2,745

6.625% 7/14/20 (g)

1,805

1,974

6.75% 11/5/19 (g)

1,910

2,102

Danish Kingdom 1.75% 11/15/25

DKK

72,000

11,541

Democratic Socialist Republic of Sri Lanka:

6% 1/14/19 (g)

1,895

1,935

6.25% 10/4/20 (g)

3,455

3,537

6.25% 7/27/21 (g)

1,190

1,206

Dominican Republic:

1.25% 8/30/24 (l)

7,803

7,573

5.5% 1/27/25 (g)

2,360

2,366

5.875% 4/18/24 (g)

910

944

6.85% 1/27/45 (g)

4,605

4,697

7.45% 4/30/44 (g)

5,725

6,255

7.5% 5/6/21 (g)

3,640

4,086

El Salvador Republic:

7.625% 2/1/41 (g)

1,545

1,530

7.65% 6/15/35 (Reg. S)

1,910

1,920

8.25% 4/10/32 (Reg. S)

595

650

Foreign Government and Government Agency Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

French Government OAT:

1.75% 5/25/23

EUR

4,100

$ 4,886

3.25% 5/25/45

EUR

5,250

7,200

Georgia Republic 6.875% 4/12/21 (g)

1,400

1,512

German Federal Republic:

0% 4/17/20

EUR

135,850

150,881

0.5% 2/15/25

EUR

36,600

39,778

2.5% 8/15/46

EUR

13,325

18,193

Hong Kong Government SAR 1.32% 12/23/19

HKD

21,000

2,740

Hungarian Republic:

5.375% 3/25/24

2,242

2,430

5.75% 11/22/23

3,656

4,049

7.625% 3/29/41

3,675

4,870

Indonesian Republic:

3.375% 4/15/23 (g)

2,040

1,923

4.875% 5/5/21 (g)

615

653

5.25% 1/17/42 (g)

1,985

1,908

5.375% 10/17/23

1,850

1,991

5.875% 3/13/20 (g)

1,245

1,385

6.625% 2/17/37 (g)

4,000

4,520

6.75% 1/15/44 (g)

1,725

2,001

7.75% 1/17/38 (g)

7,525

9,585

7.875% 4/15/19

IDR

26,025,000

1,935

8.5% 10/12/35 (Reg. S)

6,195

8,363

Irish Republic 2% 2/18/45 (Reg.S)

EUR

7,850

7,644

Islamic Republic of Pakistan:

7.125% 3/31/16 (g)

9,605

9,857

7.25% 4/15/19 (g)

7,240

7,588

8.25% 4/15/24 (g)

1,500

1,631

Israeli State (guaranteed by U.S. Government through Agency for International Development):

5.5% 9/18/23

28,730

34,704

5.5% 12/4/23

12,385

15,009

Italian Republic 4.75% 9/1/44

EUR

5,700

8,000

Ivory Coast 5.75% 12/31/32

7,875

7,384

Japan Government:

0.1% 10/15/15

JPY

2,297,000

18,774

0.1% 2/15/16

JPY

2,600,000

21,257

0.1% 3/15/16

JPY

2,500,000

20,441

0.1% 8/15/16

JPY

4,890,000

40,001

0.5% 12/20/15

JPY

1,375,000

11,261

0.9% 6/20/22

JPY

5,202,800

44,529

Foreign Government and Government Agency Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

Japan Government: - continued

1.5% 12/20/44

JPY

2,215,000

$ 18,300

1.9% 9/20/30

JPY

7,735,000

72,761

Jordanian Kingdom:

2.503% 10/30/20

25,601

26,407

3% 6/30/25

8,712

8,703

Kingdom of Norway 3.75% 5/25/21

NOK

36,000

5,200

Lebanese Republic:

4% 12/31/17

7,768

7,709

5.45% 11/28/19

1,910

1,922

Moroccan Kingdom:

4.25% 12/11/22 (g)

2,660

2,713

5.5% 12/11/42 (g)

960

972

New Zealand Government 6% 5/15/21

NZD

8,000

6,254

Panamanian Republic:

6.7% 1/26/36

1,175

1,451

8.875% 9/30/27

1,875

2,653

9.375% 4/1/29

1,570

2,324

Peruvian Republic:

4% 3/7/27 (f)

5,671

5,671

8.75% 11/21/33

1,055

1,593

Philippine Republic:

7.75% 1/14/31

2,290

3,303

9.5% 2/2/30

2,980

4,824

10.625% 3/16/25

1,695

2,706

Plurinational State of Bolivia 5.95% 8/22/23 (g)

2,560

2,714

Provincia de Cordoba 12.375% 8/17/17 (g)

6,605

6,737

Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S)

1,400

1,398

Republic of Armenia:

6% 9/30/20 (g)

5,271

5,149

7.15% 3/26/25 (g)

3,080

3,049

Republic of Iceland 5.875% 5/11/22 (g)

2,950

3,331

Republic of Iraq 5.8% 1/15/28 (Reg. S)

11,420

9,234

Republic of Nigeria 5.125% 7/12/18 (g)

2,475

2,484

Republic of Serbia:

5.25% 11/21/17 (g)

1,375

1,421

5.875% 12/3/18 (g)

3,975

4,179

6.75% 11/1/24 (g)

8,150

8,284

7.25% 9/28/21 (g)

2,500

2,800

Republic of Singapore 3.25% 9/1/20

SGD

25,500

20,050

Foreign Government and Government Agency Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

Romanian Republic:

4.375% 8/22/23 (g)

$ 2,300

$ 2,357

6.125% 1/22/44 (g)

3,886

4,360

Russian Federation:

4.875% 9/16/23 (g)

3,720

3,679

5% 4/29/20 (g)

2,125

2,181

5.625% 4/4/42 (g)

3,000

2,820

5.875% 9/16/43 (g)

6,400

6,165

7.5% 3/31/30 (Reg. S)

4,134

4,843

12.75% 6/24/28 (Reg. S)

19,505

30,542

South African Republic 5.875% 9/16/25

1,355

1,501

Spanish Kingdom:

1.4% 1/31/20

EUR

7,000

7,901

2.15% 10/31/25(Reg. S) (g)

EUR

2,500

2,735

2.75% 10/31/24 (Reg. S)

EUR

13,450

15,591

5.15% 10/31/44

EUR

2,700

4,020

Sweden Kingdom 3.5% 6/1/22

SEK

135,350

19,471

Switzerland Confederation:

1.5% 7/24/25

CHF

12,300

14,896

4.25% 6/5/17

CHF

12,350

14,546

Turkish Republic:

4.875% 4/16/43

2,135

1,943

5.125% 3/25/22

1,195

1,252

5.625% 3/30/21

4,015

4,328

6.25% 9/26/22

2,890

3,215

6.75% 4/3/18

5,480

6,043

6.75% 5/30/40

3,520

4,048

6.875% 3/17/36

3,790

4,396

7% 3/11/19

3,695

4,153

7.25% 3/5/38

2,605

3,154

7.375% 2/5/25

3,835

4,602

7.5% 11/7/19

6,405

7,385

8% 2/14/34

2,075

2,676

11.875% 1/15/30

3,915

6,584

Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (g)

2,640

1,287

Ukraine Government:

7.8% 11/28/22 (g)

4,680

2,410

7.95% 2/23/21 (g)

1,065

554

9.25% 7/24/17 (g)

5,325

2,561

Foreign Government and Government Agency Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

United Kingdom, Great Britain and Northern Ireland:

2% 7/22/20 (Reg. S)

GBP

2,950

$ 4,745

2% 9/7/25(Reg. S)

GBP

6,450

10,003

3.5% 7/22/68

GBP

7,805

15,371

United Mexican States:

4.6% 1/23/46

2,320

2,146

4.75% 3/8/44

3,876

3,682

5.55% 1/21/45

2,180

2,319

6.05% 1/11/40

4,180

4,744

6.5% 6/10/21

MXN

30,745

2,037

6.75% 9/27/34

2,645

3,319

7.5% 4/8/33

1,450

1,950

8.3% 8/15/31

830

1,222

United Republic of Tanzania 6.3971% 3/9/20 (l)

625

632

Uruguay Republic 7.875% 1/15/33 pay-in-kind

4,790

6,431

Venezuelan Republic:

oil recovery rights 4/15/20 (p)

97,601

976

5.75% 2/26/16 (Reg S.)

27,560

22,771

9% 5/7/23 (Reg. S)

1,600

620

9.25% 9/15/27

4,275

1,806

9.25% 5/7/28 (Reg. S)

2,705

1,035

11.75% 10/21/26 (Reg. S)

5,785

2,488

11.95% 8/5/31 (Reg. S)

12,535

5,359

12.75% 8/23/22

4,210

1,947

Vietnamese Socialist Republic:

1.2139% 3/12/16 (l)

1,124

1,108

4% 3/12/28 (f)

13,842

13,496

4.8% 11/19/24 (g)

590

590

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,552,806)


1,536,096

Supranational Obligations - 0.0%

 

European Bank for Reconstruction & Development 6% 3/3/16
(Cost $1,477)

INR

95,000


1,489

Common Stocks - 5.4%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 1.6%

Auto Components - 0.2%

Delphi Automotive PLC

73,500

$ 6,254

Exide Technologies (a)

3,795

0

Exide Technologies (a)

12,651

0

Remy International, Inc.

122,400

2,706

Tenneco, Inc. (a)

117,300

6,738

 

15,698

Automobiles - 0.1%

General Motors Co.

4,305

143

General Motors Co.:

warrants 7/10/16 (a)

144,757

3,441

warrants 7/10/19 (a)

144,757

2,323

 

5,907

Diversified Consumer Services - 0.0%

Houghton Mifflin Harcourt Co. warrants 6/22/19 (a)(t)

32,078

477

Hotels, Restaurants & Leisure - 0.4%

Chipotle Mexican Grill, Inc. (a)

6,500

3,932

Extended Stay America, Inc. unit

534,200

10,027

Fiesta Restaurant Group, Inc. (a)

97,500

4,875

Station Holdco LLC (a)(r)(t)

4,989,172

16,265

Station Holdco LLC (a)(s)(t)

37,963

124

Station Holdco LLC:

unit (a)(s)(t)

57,186

31

warrants 6/15/18 (a)(r)(t)

198,954

107

 

35,361

Household Durables - 0.5%

Harman International Industries, Inc.

84,800

10,086

Lennar Corp. Class A

210,400

10,739

Standard Pacific Corp. (a)

777,500

6,928

Taylor Morrison Home Corp. (a)

323,500

6,586

Whirlpool Corp.

53,400

9,241

 

43,580

Media - 0.3%

AMC Networks, Inc. Class A (a)

133,400

10,919

Naspers Ltd. Class N

73,600

11,464

Sinclair Broadcast Group, Inc. Class A

387,900

10,826

 

33,209

Specialty Retail - 0.1%

Office Depot, Inc. (a)

1,210,500

10,483

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - 0.0%

Deckers Outdoor Corp. (a)

67,000

$ 4,822

Michael Kors Holdings Ltd. (a)

9,100

383

 

5,205

TOTAL CONSUMER DISCRETIONARY

149,920

CONSUMER STAPLES - 0.1%

Food Products - 0.1%

Reddy Ice Holdings, Inc. (a)

142,776

128

The Hain Celestial Group, Inc. (a)

191,200

12,592

 

12,720

ENERGY - 0.1%

Energy Equipment & Services - 0.1%

Hornbeck Offshore Services, Inc. (a)

108,700

2,232

Ocean Rig UDW, Inc. (United States)

304,100

1,560

 

3,792

Oil, Gas & Consumable Fuels - 0.0%

Crestwood Midstream Partners LP

220,000

2,464

TOTAL ENERGY

6,256

FINANCIALS - 0.1%

Capital Markets - 0.0%

Motors Liquidation Co. GUC Trust (a)

36,934

711

Penson Worldwide, Inc. Class A (a)

3,883,237

0

 

711

Consumer Finance - 0.1%

Springleaf Holdings, Inc. (a)

148,500

6,818

TOTAL FINANCIALS

7,529

HEALTH CARE - 1.0%

Biotechnology - 0.4%

Biogen, Inc. (a)

37,700

15,229

Celgene Corp. (a)

97,100

11,238

Gilead Sciences, Inc.

121,400

14,214

 

40,681

Health Care Providers & Services - 0.3%

Community Health Systems, Inc. (a)

121,600

7,657

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - continued

HCA Holdings, Inc. (a)

149,300

$ 13,544

Rotech Healthcare, Inc. (a)

68,276

2,653

 

23,854

Pharmaceuticals - 0.3%

Allergan PLC (a)

58,800

17,843

Valeant Pharmaceuticals International (Canada) (a)

65,500

14,530

 

32,373

TOTAL HEALTH CARE

96,908

INDUSTRIALS - 0.6%

Aerospace & Defense - 0.0%

Alion Science & Technology Corp.:

warrants 3/15/17 (a)

1,430

0

warrants 8/17/24

800

0

Airlines - 0.2%

Air Canada (a)

806,200

8,527

American Airlines Group, Inc.

224,600

8,969

 

17,496

Building Products - 0.0%

Nortek, Inc. (a)

7,154

595

Commercial Services & Supplies - 0.0%

WP Rocket Holdings, Inc. (a)(t)

9,383,257

1,126

Marine - 0.0%

U.S. Shipping Partners Corp. (a)

12,063

2

U.S. Shipping Partners Corp. warrants 12/31/29 (a)

112,939

0

 

2

Trading Companies & Distributors - 0.3%

Air Lease Corp. Class A

123,200

4,176

HD Supply Holdings, Inc. (a)

281,900

9,917

Penhall Acquisition Co.:

Class A (a)

6,088

494

Class B (a)

2,029

165

United Rentals, Inc. (a)

156,200

13,686

 

28,438

Transportation Infrastructure - 0.1%

DeepOcean Group Holding BV (a)(g)

406,682

5,853

TOTAL INDUSTRIALS

53,510

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - 1.4%

Electronic Equipment & Components - 0.2%

CDW Corp.

455,500

$ 15,615

Internet Software & Services - 0.4%

Alibaba Group Holding Ltd. sponsored ADR

245,200

20,173

Baidu.com, Inc. sponsored ADR (a)

27,100

5,395

Facebook, Inc. Class A (a)

78,700

6,750

Google, Inc. Class A (a)

9,300

5,022

 

37,340

Semiconductors & Semiconductor Equipment - 0.7%

Avago Technologies Ltd.

46,000

6,115

Cypress Semiconductor Corp.

5,171

61

Freescale Semiconductor, Inc. (a)

419,200

16,755

MagnaChip Semiconductor Corp. (a)

49,030

379

NXP Semiconductors NV (a)

52,100

5,116

Qorvo, Inc. (a)

255,027

20,471

Skyworks Solutions, Inc.

210,900

21,955

 

70,852

Technology Hardware, Storage & Peripherals - 0.1%

Apple, Inc.

81,200

10,185

TOTAL INFORMATION TECHNOLOGY

133,992

MATERIALS - 0.3%

Chemicals - 0.1%

LyondellBasell Industries NV Class A

122,400

12,671

Containers & Packaging - 0.2%

Rock-Tenn Co. Class A

210,588

12,677

Metals & Mining - 0.0%

Aleris International, Inc. (a)(t)

38,307

411

Mirabela Nickel Ltd. (a)

2,473,165

219

 

630

TOTAL MATERIALS

25,978

TELECOMMUNICATION SERVICES - 0.2%

Wireless Telecommunication Services - 0.2%

NII Holdings, Inc.

243,770

3,951

T-Mobile U.S., Inc. (a)

272,900

10,580

 

14,531

Common Stocks - continued

Shares

Value (000s)

UTILITIES - 0.0%

Electric Utilities - 0.0%

Portland General Electric Co.

7,275

$ 241

TOTAL COMMON STOCKS

(Cost $464,484)


501,585

Preferred Stocks - 0.3%

 

 

 

 

Convertible Preferred Stocks - 0.1%

CONSUMER STAPLES - 0.0%

Food Products - 0.0%

Reddy Ice Holdings, Inc. 7.00% pay-in-kind (a)

57,438

467

HEALTH CARE - 0.1%

Pharmaceuticals - 0.1%

Allergan PLC 5.50%

8,700

9,070

TOTAL CONVERTIBLE PREFERRED STOCKS

9,537

Nonconvertible Preferred Stocks - 0.2%

FINANCIALS - 0.2%

Capital Markets - 0.1%

Goldman Sachs Group, Inc. Series K, 6.375%

218,984

5,687

Consumer Finance - 0.1%

Ally Financial, Inc. 7.00% (g)

12,855

12,990

TOTAL FINANCIALS

18,677

INDUSTRIALS - 0.0%

Commercial Services & Supplies - 0.0%

WP Rocket Holdings, Inc.:

15.00% (a)

1,550,603

1,551

Class C 19.50% (t)

391,660

392

 

1,943

TOTAL NONCONVERTIBLE PREFERRED STOCKS

20,620

TOTAL PREFERRED STOCKS

(Cost $20,917)


30,157

Bank Loan Obligations - 1.9%

 

Principal
Amount (000s) (d)

Value (000s)

CONSUMER DISCRETIONARY - 0.2%

Auto Components - 0.0%

Chassix, Inc. term loan 10% 12/12/15 (l)

$ 2,543

$ 2,581

Hotels, Restaurants & Leisure - 0.2%

Centaur Acquisition LLC Tranche 2LN, term loan 8.75% 2/20/20 (l)

1,575

1,575

Hilton Worldwide Finance, LLC Tranche B, term loan 3.5% 10/25/20 (l)

8,157

8,158

MGM Mirage, Inc. Tranche B, term loan 3.5% 12/20/19 (l)

2,598

2,576

TGI Friday's, Inc. Tranche B 1LN, term loan 5.25% 7/15/20 (l)

396

396

 

12,705

Media - 0.0%

Livent, Inc.:

Tranche A, term loan 18% 1/15/49 pay-in-kind (a)

CAD

8

6

Tranche B, term loan 18% 1/15/49 pay-in-kind (a)

CAD

5

4

 

10

TOTAL CONSUMER DISCRETIONARY

15,296

CONSUMER STAPLES - 0.1%

Food & Staples Retailing - 0.0%

Focus Brands, Inc. Tranche 2LN, term loan 10.25% 8/21/18 (l)

2,865

2,865

Personal Products - 0.1%

Revlon Consumer Products Corp. term loan 4% 8/19/19 (l)

7,409

7,409

TOTAL CONSUMER STAPLES

10,274

ENERGY - 0.2%

Energy Equipment & Services - 0.0%

Sheridan Production Partners I Tranche A, term loan 4.25% 12/16/20 (l)

200

174

Oil, Gas & Consumable Fuels - 0.2%

Alon U.S.A. Partners LP term loan 9.25% 11/26/18 (l)

3,174

3,170

Fieldwood Energy, LLC Tranche 2LN, term loan 8.375% 9/30/20 (l)

16,650

12,737

Samson Investment Co. Tranche B 2LN, term loan 5% 9/25/18 (l)

1,015

409

Bank Loan Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Sheridan Investment Partners I term loan 4.25% 12/16/20 (l)

$ 1,436

$ 1,249

Sheridan Production Partners I Tranche M, term loan 4.25% 12/16/20 (l)

74

65

TPF II Power, LLC Tranche B, term loan 5.5082% 10/2/21 (l)

1,756

1,769

 

19,399

TOTAL ENERGY

19,573

FINANCIALS - 0.0%

Real Estate Management & Development - 0.0%

Realogy Corp. Credit-Linked Deposit 4.4463% 10/10/16 (l)

261

258

HEALTH CARE - 0.1%

Health Care Providers & Services - 0.0%

Rural/Metro Corp.:

Tranche 2LN, term loan 14.5% 1/31/16

43

41

Tranche B, term loan 19.5% 1/31/16

142

133

 

174

Life Sciences Tools & Services - 0.1%

Jaguar Holding Co. II Tranche B, term loan 4% 12/5/18 (l)

12,389

12,373

TOTAL HEALTH CARE

12,547

INDUSTRIALS - 0.0%

Commercial Services & Supplies - 0.0%

GCA Services Group, Inc. Tranche 2LN, term loan 9.25% 11/1/20 (l)

1,756

1,747

INFORMATION TECHNOLOGY - 0.1%

Electronic Equipment & Components - 0.0%

Infor U.S., Inc. Tranche B 5LN, term loan 3.75% 6/3/20 (l)

2,313

2,282

Software - 0.1%

Kronos, Inc. Tranche 2LN, term loan 9.75% 4/30/20 (l)

6,935

7,152

Bank Loan Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

INFORMATION TECHNOLOGY - continued

Software - continued

Transfirst, Inc. Tranche 2LN, term loan 9% 11/12/22 (l)

$ 450

$ 451

TransFirst, Inc. Tranche B 1LN, term loan 4.75% 11/12/21 (l)

408

407

 

8,010

TOTAL INFORMATION TECHNOLOGY

10,292

MATERIALS - 0.1%

Containers & Packaging - 0.1%

Berry Plastics Corp. Tranche E, term loan 3.75% 1/6/21 (l)

3,937

3,922

Metals & Mining - 0.0%

Essar Steel Algoma, Inc. Tranche B, term loan 7.5% 8/16/19 (l)

2,109

1,909

TOTAL MATERIALS

5,831

TELECOMMUNICATION SERVICES - 0.2%

Diversified Telecommunication Services - 0.1%

FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (l)

7,067

7,120

Integra Telecom Holdings, Inc. Tranche B 1LN, term loan 5.25% 8/14/20 (l)

4,304

4,250

 

11,370

Wireless Telecommunication Services - 0.1%

Digicel International Finance Ltd.:

Tranche D 1LN, term loan 3.8125% 3/31/17 (l)

2,256

2,121

Tranche D-2, term loan 3.7754% 3/31/19 (l)

1,129

1,061

 

3,182

TOTAL TELECOMMUNICATION SERVICES

14,552

UTILITIES - 0.9%

Gas Utilities - 0.0%

Everest Acquisition LLC Tranche B 3LN, term loan 3.5% 5/24/18 (l)

1,767

1,753

Bank Loan Obligations - continued

 

Principal
Amount (000s) (d)

Value (000s)

UTILITIES - continued

Independent Power and Renewable Electricity Producers - 0.9%

Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 6/19/16 (l)

$ 80,131

$ 80,097

TOTAL UTILITIES

81,850

TOTAL BANK LOAN OBLIGATIONS

(Cost $175,920)


172,220

Sovereign Loan Participations - 0.1%

 

Indonesian Republic loan participation:

Citibank 1.25% 12/14/19 (l)

3,489

3,420

Goldman Sachs 1.25% 12/14/19 (l)

3,197

3,134

Mizuho 1.25% 12/14/19 (l)

2,285

2,239

TOTAL SOVEREIGN LOAN PARTICIPATIONS

(Cost $8,251)


8,793

Fixed-Income Funds - 6.0%

Shares

 

Fidelity Floating Rate Central Fund (m)
(Cost $548,981)

5,338,240


561,796

Preferred Securities - 3.1%

 

Principal
Amount (000s) (d)

 

CONSUMER DISCRETIONARY - 0.2%

Media - 0.2%

Globo Comunicacao e Participacoes SA 6.25% (f)(g)(h)

$ 10,476

10,592

NBCUniversal Enterprise, Inc. 5.25% (g)(h)

7,335

7,815

 

18,407

CONSUMER STAPLES - 0.1%

Food Products - 0.1%

Cosan Overseas Ltd. 8.25% (h)

5,650

5,694

FINANCIALS - 2.7%

Banks - 2.2%

Banco Do Brasil SA 9% (g)(h)(l)

2,470

2,236

Preferred Securities - continued

 

Principal
Amount (000s) (d)

Value (000s)

FINANCIALS - continued

Banks - continued

Bank of America Corp.:

5.125% (h)(l)

$ 10,690

$ 10,494

5.2% (h)(l)

23,520

22,591

6.25% (h)(l)

7,170

7,282

8% (h)(l)

3,065

3,337

8.125% (h)(l)

2,245

2,406

Barclays Bank PLC 7.625% 11/21/22

17,490

20,066

Citigroup, Inc.:

5.8% (h)(l)

8,960

9,049

5.9% (h)(l)

13,975

14,075

5.95% (h)(l)

25,260

25,512

6.3% (h)(l)

2,145

2,111

JPMorgan Chase & Co.:

5% (h)(l)

12,930

12,978

5.3% (h)(l)

6,510

6,528

6% (h)(l)

23,845

24,259

6.125% (h)(l)

5,990

6,077

6.75% (h)(l)

3,295

3,613

Wells Fargo & Co.:

5.875% (h)(l)

8,875

9,109

5.9% (h)(l)

20,195

20,323

7.98% (h)(l)

2,035

2,253

 

204,299

Capital Markets - 0.3%

Bank of Scotland 7.281% (h)(l)

GBP

2,450

4,548

Goldman Sachs Group, Inc. 5.7% (h)(l)

12,639

12,786

Morgan Stanley 5.55% (h)(l)

6,545

6,601

 

23,935

Consumer Finance - 0.2%

American Express Co.:

4.9% (h)(l)

8,750

8,618

5.2% (h)(l)

7,825

7,819

 

16,437

Diversified Financial Services - 0.0%

Magnesita Finance Ltd.:

8.625% (g)(h)

2,595

2,155

8.625% (Reg. S) (h)

380

316

 

2,471

Preferred Securities - continued

 

Principal
Amount (000s) (d)

Value (000s)

FINANCIALS - continued

Insurance - 0.0%

Elm BV (SWISS REIN CO) 2.6% (Reg. S) (h)(l)

EUR

4,200

$ 4,316

TOTAL FINANCIALS

251,458

INDUSTRIALS - 0.1%

Construction & Engineering - 0.1%

Odebrecht Finance Ltd.:

7.5% (g)(h)

14,320

11,362

7.5% (Reg. S) (h)

250

198

 

11,560

MATERIALS - 0.0%

Metals & Mining - 0.0%

CSN Islands XII Corp. 7% (Reg. S) (h)

6,625

4,449

TOTAL PREFERRED SECURITIES

(Cost $295,343)


291,568

Money Market Funds - 2.2%

Shares

 

Fidelity Cash Central Fund, 0.15% (b)
(Cost $208,021)

208,021,395


208,021

TOTAL INVESTMENT PORTFOLIO - 99.1%

(Cost $9,134,633)

9,244,336

NET OTHER ASSETS (LIABILITIES) - 0.9%

85,010

NET ASSETS - 100%

$ 9,329,346

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Purchased

Treasury Contracts

278 CBOT 10 Year U.S. Treasury Note Contracts (United States)

Sept. 2015

$ 35,076

$ (257)

280 CBOT 2-Year U.S. Treasury Note Contracts (United States)

Sept. 2015

61,303

60

259 CBOT 5-Year U.S. Treasury Note Contracts (United States)

Sept. 2015

30,888

2

319 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)

Sept. 2015

49,146

(1,625)

TOTAL TREASURY CONTRACTS

$ 176,413

$ (1,820)

 

The face value of futures purchased as a percentage of net assets is 1.9%

Swaps

Interest Rate Swaps

Clearinghouse/
Counterparty (1)

Expiration
Date

Notional
Amount
(000s)

Payment
Received

Payment
Paid

Value
(000s)

Upfront
Premium
Received/
(Paid) (2)
(000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

LCH

Sep. 2017

$ 7,300

3-month LIBOR

1.5%

$ (18)

$ 0

$ (18)

LCH

Sep. 2020

4,200

3-month LIBOR

2.25%

(33)

0

(33)

LCH

Sep. 2025

3,200

3-month LIBOR

2.75%

(35)

0

(35)

LCH

Sep. 2045

8,600

3-month LIBOR

3%

(49)

0

(49)

TOTAL INTEREST RATE SWAPS

$ (135)

$ 0

$ (135)

 

(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.

 

(2) Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

Currency Abbreviations

AUD

-

Australian dollar

BRL

-

Brazilian real

CAD

-

Canadian dollar

CHF

-

Swiss franc

COP

-

Colombian peso

DKK

-

Danish krone

EUR

-

European Monetary Unit

GBP

-

British pound

HKD

-

Hong Kong dollar

IDR

-

Indonesian rupiah

INR

-

Indian rupee

JPY

-

Japanese yen

MXN

-

Mexican peso

NOK

-

Norwegian krone

NZD

-

New Zealand dollar

RUB

-

Russian ruble

SEK

-

Swedish krona

SGD

-

Singapore dollar

Legend

(a) Non-income producing

(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(c) Non-income producing - Security is in default.

(d) Amount is stated in United States dollars unless otherwise noted.

(e) Security 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.

(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(g) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,912,298,000 or 20.5% of net assets.

(h) Security is perpetual in nature with no stated maturity date.

(i) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(j) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,157,000.

(k) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,623,000.

(l) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(m) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(n) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(o) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

(p) Quantity represents share amount.

(q) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

(r) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is wholly-owned by the Fund.

(s) Investment is owned by an entity that is treated as a U.S. Corporation for tax purposes in which the Fund holds a percentage ownership.

(t) 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 $18,933,000 or 0.2% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

Aleris International, Inc.

6/1/10

$ 1,341

Houghton Mifflin Harcourt Co. warrants 6/22/19

6/22/12

$ 62

Station Holdco LLC

6/17/11 - 4/1/13

$ 5,173

Station Holdco LLC unit

3/12/13 - 4/1/13

$ 4

Station Holdco LLC warrants 6/15/18

4/29/08 - 11/25/08

$ 15,269

WP Rocket Holdings, Inc.

6/24/11 - 2/2/15

$ 4,887

WP Rocket Holdings, Inc. Class C 19.50%

2/2/15

$ 392

* Amount represents less than $1,000.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund

Income earned
(Amounts in thousands)

Fidelity Cash Central Fund

$ 181

Fidelity Floating Rate Central Fund

12,108

Total

$ 12,289

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund
(Amounts in thousands)

Value,
beginning of
period

Purchases

Sales
Proceeds

Value,
end of
period

% ownership,
end of
period

Fidelity Floating Rate Central Fund

$ 366,013

$ 192,938

$ -

$ 561,796

33.2%

Other Information

The following is a summary of the inputs used, as of June 30, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 149,920

$ 132,916

$ 477

$ 16,527

Consumer Staples

13,187

12,592

128

467

Energy

6,256

6,256

-

-

Financials

26,206

13,216

12,990

-

Health Care

105,978

103,325

-

2,653

Industrials

55,453

45,870

-

9,583

Information Technology

133,992

133,992

-

-

Materials

25,978

25,567

-

411

Telecommunication Services

14,531

10,580

-

3,951

Utilities

241

241

-

-

Corporate Bonds

4,016,974

-

4,016,941

33

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

U.S. Government and Government Agency Obligations

$ 1,436,680

$ -

$ 1,436,680

$ -

U.S. Government Agency - Mortgage Securities

100,754

-

100,754

-

Collateralized Mortgage Obligations

237,024

-

237,024

-

Commercial Mortgage Securities

141,179

-

141,179

-

Foreign Government and Government Agency Obligations

1,536,096

-

1,528,341

7,755

Supranational Obligations

1,489

-

1,489

-

Bank Loan Obligations

172,220

-

170,717

1,503

Sovereign Loan Participations

8,793

-

-

8,793

Fixed-Income Funds

561,796

561,796

-

-

Preferred Securities

291,568

-

291,568

-

Money Market Funds

208,021

208,021

-

-

Total Investments in Securities:

$ 9,244,336

$ 1,254,372

$ 7,938,288

$ 51,676

Derivative Instruments:

Assets

Futures Contracts

$ 62

$ 62

$ -

$ -

Liabilities

Futures Contracts

$ (1,882)

$ (1,882)

$ -

$ -

Swaps

(135)

-

(135)

-

Total Liabilities

$ (2,017)

$ (1,882)

$ (135)

$ -

Total Derivative Instruments:

$ (1,955)

$ (1,820)

$ (135)

$ -

Valuation Inputs at Reporting Date:

The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:

(Amounts in thousands)

 

Investments in Securities:

Beginning Balance

$ 95,054

Net Realized Gain (Loss) on Investment Securities

(3,838)

Net Unrealized Gain (Loss) on Investment Securities

5,602

Cost of Purchases

7,340

Proceeds of Sales

(4,586)

Amortization/Accretion

144

Transfers into Level 3

-

Transfers out of Level 3

(48,040)

Ending Balance

$ 51,676

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at June 30, 2015

$ 1,880

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations.

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of June 30, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure /
 Derivative Type

Value
(Amounts in thousands)

 

Asset

Liability

Interest Rate Risk

Futures Contracts (a)

$ 62

$ (1,882)

Swaps (b)

-

(135)

Total Value of Derivatives

$ 62

$ (2,017)

(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

(b) For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. For centrally cleared OTC swaps, only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows (Unaudited):

United States of America

64.9%

Canada

2.6%

Japan

2.6%

Netherlands

2.6%

Germany

2.4%

Luxembourg

2.3%

United Kingdom

2.2%

Ireland

1.6%

Argentina

1.4%

Bermuda

1.3%

Mexico

1.1%

Italy

1.0%

France

1.0%

Others (Individually Less Than 1%)

13.0%

 

100.0%

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.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)

 June 30, 2015 (Unaudited)

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $8,377,631)

$ 8,474,519

 

Fidelity Central Funds (cost $757,002)

769,817

 

Total Investments (cost $9,134,633)

 

$ 9,244,336

Receivable for investments sold

84,844

Receivable for fund shares sold

8,638

Dividends receivable

225

Interest receivable

92,361

Distributions receivable from Fidelity Central Funds

2,360

Receivable for daily variation margin for derivative instruments

14

Other receivables

17

Total assets

9,432,795

 

 

 

Liabilities

Payable for investments purchased

 

Regular delivery

$ 66,974

 

Delayed delivery

10,060

Payable for fund shares redeemed

16,426

Distributions payable

1,662

Accrued management fee

4,382

Distribution and service plan fees payable

2,421

Other affiliated payables

1,394

Other payables and accrued expenses

130

Total liabilities

103,449

 

 

 

Net Assets

$ 9,329,346

Net Assets consist of:

 

Paid in capital

$ 9,277,978

Undistributed net investment income

21,183

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

(77,540)

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

107,725

Net Assets

$ 9,329,346

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

Amounts in thousands (except per-share amounts)

 June 30, 2015 (Unaudited)

Calculation of Maximum Offering Price

Class A:

Net Asset Value and redemption price per share ($3,710,166 ÷ 312,046 shares)

$ 11.89

 

 

 

Maximum offering price per share (100/96.00 of $11.89)

$ 12.39

Class T:

Net Asset Value and redemption price per share ($1,129,972 ÷ 95,089 shares)

$ 11.88

 

 

 

Maximum offering price per share (100/96.00 of $11.88)

$ 12.38

Class B:

Net Asset Value and offering price per share ($82,595 ÷ 6,923 shares)A

$ 11.93

 

 

 

Class C:

Net Asset Value and offering price per share ($1,597,338 ÷ 134,697 shares)A

$ 11.86

 

 

 

Institutional Class:

Net Asset Value, offering price and redemption price per share ($2,809,275 ÷ 233,122 shares)

$ 12.05

A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Operations

Amounts in thousands

 Six months ended June 30, 2015 (Unaudited)

 

 

 

Investment Income

 

 

Dividends

 

$ 11,685

Interest

 

189,141

Income from Fidelity Central Funds

 

12,289

Total income

 

213,115

 

 

 

Expenses

Management fee

$ 26,486

Transfer agent fees

7,549

Distribution and service plan fees

14,788

Accounting and security lending fees

775

Custodian fees and expenses

135

Independent trustees' compensation

19

Registration fees

159

Audit

63

Legal

196

Miscellaneous

44

Total expenses before reductions

50,214

Expense reductions

(9)

50,205

Net investment income (loss)

162,910

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

(54,601)

Foreign currency transactions

(637)

Futures contracts

2,473

Swaps

383

 

Total net realized gain (loss)

 

(52,382)

Change in net unrealized appreciation (depreciation) on:

Investment securities

23,382

Assets and liabilities in foreign currencies

393

Futures contracts

(4,238)

Swaps

(234)

Total change in net unrealized appreciation (depreciation)

 

19,303

Net gain (loss)

(33,079)

Net increase (decrease) in net assets resulting from operations

$ 129,831

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

Amounts in thousands

Six months ended
June 30, 2015
(Unaudited)

Year ended
December 31,
2014

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 162,910

$ 315,429

Net realized gain (loss)

(52,382)

153,839

Change in net unrealized appreciation (depreciation)

19,303

(151,707)

Net increase (decrease) in net assets resulting from operations

129,831

317,561

Distributions to shareholders from net investment income

(151,610)

(312,786)

Distributions to shareholders from net realized gain

(5,484)

(146,168)

Total distributions

(157,094)

(458,954)

Share transactions - net increase (decrease)

(61,760)

6,261

Total increase (decrease) in net assets

(89,023)

(135,132)

 

 

 

Net Assets

Beginning of period

9,418,369

9,553,501

End of period (including undistributed net investment income of $21,183 and undistributed net investment income of $9,883, respectively)

$ 9,329,346

$ 9,418,369

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class A

 

Six months ended
June 30, 2015

Years ended December 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 11.92

$ 12.10

$ 12.69

$ 12.07

$ 12.38

$ 12.13

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .211

  .422

  .449

  .479

  .536

  .622

Net realized and unrealized gain (loss)

  (.037)

  .005

  (.441)

  .776

  .009

  .500

Total from investment operations

  .174

  .427

  .008

  1.255

  .545

  1.122

Distributions from net investment income

  (.197)

  (.419)

  (.431)

  (.442)

  (.572)

  (.582)

Distributions from net realized gain

  (.007)

  (.188)

  (.167)

  (.193)

  (.283)

  (.290)

Total distributions

  (.204)

  (.607)

  (.598)

  (.635)

  (.855)

  (.872)

Net asset value, end of period

$ 11.89

$ 11.92

$ 12.10

$ 12.69

$ 12.07

$ 12.38

Total ReturnB, C, D

  1.45%

  3.52%

  .08%

  10.57%

  4.47%

  9.48%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.00%A

  .99%

  .98%

  .98%

  .99%

  .99%

Expenses net of fee waivers, if any

  1.00%A

  .99%

  .98%

  .98%

  .99%

  .99%

Expenses net of all reductions

  1.00%A

  .99%

  .98%

  .98%

  .99%

  .99%

Net investment income (loss)

  3.54%A

  3.42%

  3.61%

  3.83%

  4.29%

  5.00%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 3,710

$ 3,794

$ 4,205

$ 5,582

$ 4,746

$ 4,169

Portfolio turnover rate G

  111% A

  121%

  135%

  126%

  221%

  207%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Total returns do not include the effect of the sales charges.

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.

G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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 reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class T

 

Six months ended
June 30, 2015

Years ended December 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 11.92

$ 12.10

$ 12.68

$ 12.07

$ 12.38

$ 12.12

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .211

  .422

  .449

  .479

  .536

  .621

Net realized and unrealized gain (loss)

  (.047)

  .006

  (.431)

  .766

  .009

  .511

Total from investment operations

  .164

  .428

  .018

  1.245

  .545

  1.132

Distributions from net investment income

  (.197)

  (.420)

  (.431)

  (.442)

  (.572)

  (.582)

Distributions from net realized gain

  (.007)

  (.188)

  (.167)

  (.193)

  (.283)

  (.290)

Total distributions

  (.204)

  (.608)

  (.598)

  (.635)

  (.855)

  (.872)

Net asset value, end of period

$ 11.88

$ 11.92

$ 12.10

$ 12.68

$ 12.07

$ 12.38

Total ReturnB, C, D

  1.37%

  3.52%

  .17%

  10.49%

  4.48%

  9.57%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.00%A

  .99%

  .98%

  .98%

  .98%

  .99%

Expenses net of fee waivers, if any

  1.00%A

  .99%

  .98%

  .98%

  .98%

  .99%

Expenses net of all reductions

  1.00%A

  .99%

  .98%

  .98%

  .98%

  .99%

Net investment income (loss)

  3.55%A

  3.42%

  3.61%

  3.83%

  4.29%

  5.00%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 1,130

$ 1,179

$ 1,265

$ 1,554

$ 1,471

$ 1,571

Portfolio turnover rate G

  111% A

  121%

  135%

  126%

  221%

  207%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Total returns do not include the effect of the sales charges.

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.

G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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 reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class B

 

Six months ended
June 30, 2015

Years ended December 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 11.96

$ 12.14

$ 12.72

$ 12.11

$ 12.42

$ 12.16

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .171

  .338

  .362

  .391

  .449

  .535

Net realized and unrealized gain (loss)

  (.038)

  .004

  (.432)

  .765

  .007

  .509

Total from investment operations

  .133

  .342

  (.070)

  1.156

  .456

  1.044

Distributions from net investment income

  (.156)

  (.334)

  (.343)

  (.353)

  (.483)

  (.494)

Distributions from net realized gain

  (.007)

  (.188)

  (.167)

  (.193)

  (.283)

  (.290)

Total distributions

  (.163)

  (.522)

  (.510)

  (.546)

  (.766)

  (.784)

Net asset value, end of period

$ 11.93

$ 11.96

$ 12.14

$ 12.72

$ 12.11

$ 12.42

Total ReturnB, C, D

  1.11%

  2.80%

  (.54)%

  9.67%

  3.72%

  8.77%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.69%A

  1.68%

  1.69%

  1.69%

  1.69%

  1.70%

Expenses net of fee waivers, if any

  1.69%A

  1.68%

  1.69%

  1.69%

  1.69%

  1.70%

Expenses net of all reductions

  1.69%A

  1.68%

  1.69%

  1.69%

  1.69%

  1.70%

Net investment income (loss)

  2.85%A

  2.73%

  2.90%

  3.12%

  3.59%

  4.30%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 83

$ 100

$ 137

$ 204

$ 244

$ 307

Portfolio turnover rate G

  111% A

  121%

  135%

  126%

  221%

  207%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Total returns do not include the effect of the contingent deferred sales charge.

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.

G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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 reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class C

 

Six months ended
June 30, 2015

Years ended December 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 11.89

$ 12.07

$ 12.66

$ 12.05

$ 12.36

$ 12.10

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .166

  .329

  .355

  .384

  .441

  .528

Net realized and unrealized gain (loss)

  (.037)

  .007

  (.440)

  .767

  .010

  .512

Total from investment operations

  .129

  .336

  (.085)

  1.151

  .451

  1.040

Distributions from net investment income

  (.152)

  (.328)

  (.338)

  (.348)

  (.478)

  (.490)

Distributions from net realized gain

  (.007)

  (.188)

  (.167)

  (.193)

  (.283)

  (.290)

Total distributions

  (.159)

  (.516)

  (.505)

  (.541)

  (.761)

  (.780)

Net asset value, end of period

$ 11.86

$ 11.89

$ 12.07

$ 12.66

$ 12.05

$ 12.36

Total ReturnB, C, D

  1.07%

  2.76%

  (.66)%

  9.68%

  3.71%

  8.77%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.75%A

  1.73%

  1.73%

  1.73%

  1.74%

  1.74%

Expenses net of fee waivers, if any

  1.75%A

  1.73%

  1.73%

  1.73%

  1.74%

  1.74%

Expenses net of all reductions

  1.75%A

  1.73%

  1.73%

  1.73%

  1.74%

  1.74%

Net investment income (loss)

  2.79%A

  2.67%

  2.86%

  3.08%

  3.54%

  4.26%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 1,597

$ 1,664

$ 1,767

$ 2,238

$ 1,824

$ 1,609

Portfolio turnover rate G

  111% A

  121%

  135%

  126%

  221%

  207%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Total returns do not include the effect of the contingent deferred sales charge.

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.

G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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 reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Institutional Class

 

Six months ended
June 30, 2015

Years ended December 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 12.09

$ 12.26

$ 12.84

$ 12.21

$ 12.52

$ 12.25

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) D

  .228

  .455

  .484

  .514

  .570

  .657

Net realized and unrealized gain (loss)

  (.048)

  .012

  (.437)

  .779

  .003

  .514

Total from investment operations

  .180

  .467

  .047

  1.293

  .573

  1.171

Distributions from net investment income

  (.213)

  (.449)

  (.460)

  (.470)

  (.600)

  (.611)

Distributions from net realized gain

  (.007)

  (.188)

  (.167)

  (.193)

  (.283)

  (.290)

Total distributions

  (.220)

  (.637)

  (.627)

  (.663)

  (.883)

  (.901)

Net asset value, end of period

$ 12.05

$ 12.09

$ 12.26

$ 12.84

$ 12.21

$ 12.52

Total ReturnB, C

  1.48%

  3.80%

  .39%

  10.78%

  4.66%

  9.80%

Ratios to Average Net Assets E, G

 

 

 

 

 

Expenses before reductions

  .77%A

  .76%

  .75%

  .75%

  .76%

  .76%

Expenses net of fee waivers, if any

  .77%A

  .76%

  .75%

  .75%

  .76%

  .76%

Expenses net of all reductions

  .77%A

  .76%

  .75%

  .75%

  .76%

  .76%

Net investment income (loss)

  3.77%A

  3.65%

  3.84%

  4.07%

  4.52%

  5.23%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 2,809

$ 2,682

$ 2,179

$ 2,759

$ 1,812

$ 1,481

Portfolio turnover rate F

  111% A

  121%

  135%

  126%

  221%

  207%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.

F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

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 reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Notes to Financial Statements

For the period ended June 30, 2015 (Unaudited)

(Amounts in thousands except percentages)

1. Organization.

Fidelity Advisor® Strategic Income Fund (the Fund) is a fund of Fidelity Advisor Series II (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class C and Institutional Class shares, each of which along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase.

During the period, the Board of Trustees approved a change in the name of Institutional Class to Class I effective July 1, 2015.

2. Investments in Fidelity Central Funds.

The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.

Fidelity
Central Fund

Investment
Manager

Investment
Objective

Investment
Practices

Expense
Ratio*

Fidelity Floating Rate Central Fund

FMR Co., Inc.
(FMRC)

Seeks a high level of income by normally investing in floating rate loans and other floating rate securities.

Loans & Direct Debt Instruments

Restricted Securities

 

Less than .01%

* Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

Semiannual Report

2. Investments in Fidelity Central Funds - continued

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - quoted prices in active markets for identical investments

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Investment Valuation - continued

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, foreign government and government agency obligations, preferred securities, supranational obligations, U.S. government and government agency obligations and sovereign loan participations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs),

Semiannual Report

3. Significant Accounting Policies - continued

Investment Valuation - continued

futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy. Equity securities, including restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach and the income approach and are categorized as Level 3 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of June 30, 2015, as well as a roll forward of Level 3 investments, is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Investment Transactions and Income - continued

business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. 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. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Semiannual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to futures contracts, swaps, foreign currency transactions, defaulted bonds, market discount, contingent interest, equity-debt classifications, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, financing transactions and losses deferred due to wash sales and excise tax regulations.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ 406,611

Gross unrealized depreciation

(276,776)

Net unrealized appreciation (depreciation) on securities

$ 129,835

 

 

Tax cost

$ 9,114,501

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Delayed Delivery Transactions and When-Issued Securities - continued

Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

Semiannual Report

4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

The Fund's use of derivatives increased or decreased its exposure to the following risk:

Interest Rate Risk

Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

Primary Risk Exposure / Derivative Type

Net Realized
Gain (Loss)

Change in Net
Unrealized Appreciation
(Depreciation)

Interest Rate Risk

 

 

Futures Contracts

$ 2,473

$ (4,238)

Purchased Options

(768)

768

Swaps

383

(234)

Totals (a)

$ 2,088

$ (3,704)

(a) A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is

Semiannual Report

4. Derivative Instruments - continued

Futures Contracts - continued

representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable.

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

Swaps - continued

futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.

Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $4,471,617 and $4,042,786, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

Management Fee - continued

advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .56% of the Fund's average net assets.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

 

Distribution
Fee

Service
Fee

Total Fees

Retained
by FDC

Class A

-%

.25%

$ 4,730

$ 86

Class T

-%

.25%

1,453

27

Class B

.65%

.25%

413

300

Class C

.75%

.25%

8,192

861

 

 

 

$ 14,788

$ 1,274

Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

For the period, sales charge amounts retained by FDC were as follows:

 

Retained
by FDC

Class A

$ 121

Class T

25

Class B*

36

Class C*

51

 

$ 233

* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

6. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

For the period, transfer agent fees for each class were as follows:

 

Amount

% of
Class-Level Average
Net Assets*

Class A

$ 2,914

.16

Class T

877

.15

Class B

86

.19

Class C

1,218

.15

Institutional Class

2,454

.18

 

$ 7,549

 

* Annualized

Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $1 for the period.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $8 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

Semiannual Report

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $1.

9. Expense Reductions.

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $9 for the period.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
June 30,
2015

Year ended
December 31,
2014

From net investment income

 

 

Class A

$ 61,974

$ 137,510

Class T

19,063

41,939

Class B

1,193

3,240

Class C

20,744

45,973

Institutional Class

48,636

84,124

Total

$ 151,610

$ 312,786

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

10. Distributions to Shareholders - continued

Six months ended
June 30,
2015

Year ended
December 31,
2014

From net realized gain

 

 

Class A

$ 2,214

$ 59,022

Class T

683

18,268

Class B

56

1,556

Class C

968

25,946

Institutional Class

1,563

41,376

Total

$ 5,484

$ 146,168

11. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:

 

Shares

Dollars

Six months ended
June 30,
2015

Year ended
December 31,
2014

Six months ended
June 30,
2015

Year ended
December 31,
2014

Class A

 

 

 

 

Shares sold

27,799

62,939

$ 333,815

$ 776,718

Reinvestment of distributions

5,117

15,104

61,541

184,389

Shares redeemed

(39,051)

(107,328)

(468,972)

(1,322,245)

Net increase (decrease)

(6,135)

(29,285)

$ (73,616)

$ (361,138)

Class T

 

 

 

 

Shares sold

5,408

13,996

$ 64,939

$ 172,575

Reinvestment of distributions

1,573

4,668

18,910

56,953

Shares redeemed

(10,787)

(24,319)

(129,551)

(299,446)

Net increase (decrease)

(3,806)

(5,655)

$ (45,702)

$ (69,918)

Class B

 

 

 

 

Shares sold

65

215

$ 657

$ 2,679

Reinvestment of distributions

90

334

1,081

4,082

Shares redeemed

(1,604)

(3,487)

(19,196)

(43,142)

Net increase (decrease)

(1,449)

(2,938)

$ (17,458)

$ (36,381)

Class C

 

 

 

 

Shares sold

8,851

18,934

$ 105,681

$ 233,057

Reinvestment of distributions

1,565

4,992

18,775

60,641

Shares redeemed

(15,626)

(30,358)

(186,739)

(372,456)

Net increase (decrease)

(5,210)

(6,432)

$ (62,283)

$ (78,758)

Institutional Class

 

 

 

 

Shares sold

38,378

94,676

$ 467,094

$ 1,183,458

Reinvestment of distributions

3,700

8,622

45,091

106,429

Shares redeemed

(30,835)

(59,177)

(374,886)

(737,431)

Net increase (decrease)

11,243

44,121

$ 137,299

$ 552,456

Semiannual Report

12. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

13. Credit Risk.

The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.

14. Litigation.

The Fund, and other entities managed by Fidelity or its affiliates, were named as defendants in a lawsuit brought by creditors of a subsidiary of Energy Future Holdings Corp. ("EFH"), which is currently in bankruptcy and was formerly known as TXU. The lawsuit, which is captioned as In Re:  ENERGY FUTURE HOLDINGS CORP. et al.  U.S. Bankruptcy Court, D. Del. Case No. 14-10979 (CSS); AVENUE CAPITAL MANAGEMENT II, LP, et al. v. FIDELITY INVESTMENTS, et al. Adversary No. 14-50797 (CSS), was filed in the United States Bankruptcy Court for the District of Delaware on October 6, 2014. The plaintiffs sought to enforce an alleged agreement under which the Fund and other defendants would sell certain EFH notes to the plaintiffs at a specified price. Plaintiffs sought a declaration that an alleged right to call the securities was properly exercised and an order that the Fund and other defendants transfer the notes to the plaintiffs at the specified price. The Fund and the other defendants disputed the plaintiffs' claims and filed a motion to dismiss contending, among other things, that the right to call the notes never came into existence and was part of a proposed settlement agreement that was never completed or approved by the bankruptcy court. On January 20, 2015, the court granted the defendants' motion and dismissed the complaint with prejudice. The plaintiffs filed a notice of appeal on February 3, 2015. If the lawsuit were to be decided in a manner adverse to the Fund, the Fund could experience a loss up to $31,803 as of period end. The Fund will also incur legal costs in defending the case.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

14. Litigation - continued

The Fund, and other entities managed by FMR or its affiliates, became aware in March 2015 that they were named as defendants in a lawsuit originally filed in the United States Bankruptcy Court for the Southern District of New York in 2009. The lawsuit was brought by creditors of Motors Liquidation Company (f/k/a General Motors), which went through Chapter 11 bankruptcy proceedings in 2009, and is captioned Official Committee of Unsecured Creditors of Motors Liquidation Company v. JPMorgan Chase Bank, N.A., et al., Adversary No. 09-00504 (REG). The plaintiffs are seeking an order that the Fund and other defendants return proceeds received in 2009 in full payment of the principal and interest on General Motors secured debt. The plaintiffs contend that the Fund and the other defendants were not secured creditors at the time of the 2009 payments and, thus, were not entitled to payment in full. In January 2015, the Court of Appeals ruled that JPMorgan, as administrative agent for all of the debtholders, released the security interest on collateral securing the debt prior to the 2009 payments. The Bankruptcy Court will now determine next steps.  At this time, Management cannot determine the amount of loss that may be realized, but expects the amount to be less than the $24,325 received in 2009. The Fund was not previously aware that it had been named as a defendant in this case because, in 2009, the Bankruptcy Court allowed the plaintiffs to refrain from serving any of the defendants other than JPMorgan with notice of the filing of the lawsuit. The Fund will explore all available options for minimizing any loss to the Fund. The Fund will also incur legal costs in defending the case.

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

FMR Investment Management
(U.K.) Limited

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Limited

FIL Investments (Japan) Limited

FIL Investment Advisors

FIL Investment Advisors (U.K.) Limited

Fidelity Investments Money Management, Inc.

General Distributor

Fidelity Distributors Corporation

Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

State Street Bank and Trust Company

Quincy, MA

(Fidelity Investment logo)(registered trademark)

SI-USAN-0815
1.787775.112

Item 2. Code of Ethics

Not applicable.

Item 3. Audit Committee Financial Expert

Not applicable.

Item 4. Principal Accountant Fees and Services

Not applicable.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Investments

(a) Not applicable.

(b) Not applicable

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series II's Board of Trustees.

Item 11. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 12. Exhibits

(a)

(1)

Not applicable.

(a)

(2)

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

(a)

(3)

Not applicable.

(b)

 

Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Advisor Series II

By:

/s/Stephanie J. Dorsey

 

Stephanie J. Dorsey

 

President and Treasurer

 

 

Date:

August 27, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/Stephanie J. Dorsey

 

Stephanie J. Dorsey

 

President and Treasurer

 

 

Date:

August 27, 2015

By:

/s/Howard J. Galligan III

 

Howard J. Galligan III

 

Chief Financial Officer

 

 

Date:

August 27, 2015