N-Q 1 main.htm

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-4707

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

82 Devonshire St., Boston, Massachusetts 02109
 (Address of principal executive offices)       (Zip code)

Scott C. Goebel, Secretary

82 Devonshire St.

Boston, Massachusetts 02109
(Name and address of agent for service)

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

Date of fiscal year end:

December 31

 

 

Date of reporting period:

March 31, 2010

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity® Advisor Strategic
Income Fund
Class A
Class T
Class B
Class C
Institutional Class

March 31, 2010 

1.799881.106

SI-QTLY-0510

Investments March 31, 2010 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 35.3%

 

Principal
Amount (000s) (c)

Value (000s)

Convertible Bonds - 0.7%

CONSUMER DISCRETIONARY - 0.2%

Auto Components - 0.2%

TRW Automotive, Inc. 3.5% 12/1/15 (f)

$ 11,836

$ 14,066

ENERGY - 0.1%

Energy Equipment & Services - 0.0%

Cal Dive International, Inc. 3.25% 12/15/25

2,640

2,368

Oil, Gas & Consumable Fuels - 0.1%

Massey Energy Co. 3.25% 8/1/15

7,790

7,548

TOTAL ENERGY

9,916

INFORMATION TECHNOLOGY - 0.1%

Semiconductors & Semiconductor Equipment - 0.1%

Advanced Micro Devices, Inc.:

5.75% 8/15/12

393

392

6% 5/1/15

6,045

5,833

ON Semiconductor Corp. 0% 4/15/24

450

449

 

6,674

TELECOMMUNICATION SERVICES - 0.3%

Wireless Telecommunication Services - 0.3%

NII Holdings, Inc. 3.125% 6/15/12

29,220

27,649

TOTAL CONVERTIBLE BONDS

58,305

Nonconvertible Bonds - 34.6%

CONSUMER DISCRETIONARY - 5.1%

Auto Components - 0.4%

Affinia Group, Inc.:

9% 11/30/14

2,950

2,928

10.75% 8/15/16 (f)

760

828

ArvinMeritor, Inc. 10.625% 3/15/18

2,115

2,205

Lear Corp.:

7.875% 3/15/18

1,380

1,392

8.125% 3/15/20

1,530

1,551

RSC Equipment Rental, Inc. 10% 7/15/17 (f)

2,610

2,773

Tenneco, Inc.:

8.125% 11/15/15

1,185

1,212

8.625% 11/15/14

11,065

11,286

The Goodyear Tire & Rubber Co. 10.5% 5/15/16

4,795

5,179

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Auto Components - continued

TRW Automotive, Inc.:

7% 3/15/14 (f)

$ 335

$ 330

7.25% 3/15/17 (f)

240

232

8.875% 12/1/17 (f)

1,550

1,608

 

31,524

Automobiles - 0.2%

General Motors Corp.:

6.75% 5/1/28 (b)

10,500

3,675

7.125% 7/15/13 (b)

2,720

979

7.2% 1/15/11 (b)

1,395

509

7.4% 9/1/25 (b)

5,950

2,142

7.7% 4/15/16 (b)

8,489

3,014

8.1% 6/15/24 (b)

2,775

985

8.25% 7/15/23 (b)

11,040

4,085

8.375% 7/15/33 (b)

11,475

4,303

8.8% 3/1/21 (b)

785

283

 

19,975

Diversified Consumer Services - 0.0%

Mac-Gray Corp. 7.625% 8/15/15

680

667

Hotels, Restaurants & Leisure - 1.0%

GWR Operating Partnership LLP 10.875% 4/1/17 (f)

4,365

4,245

Harrah's Operating Co., Inc. 11.25% 6/1/17

5,650

6,088

Landry's Restaurants, Inc. 11.625% 12/1/15 (f)

1,385

1,496

MGM Mirage, Inc.:

5.875% 2/27/14

3,890

3,248

6.625% 7/15/15

17,274

14,165

6.75% 4/1/13

2,220

2,009

6.875% 4/1/16

4,440

3,596

7.5% 6/1/16

11,645

9,694

7.625% 1/15/17

8,520

7,029

9% 3/15/20 (f)

3,485

3,607

10.375% 5/15/14 (f)

1,535

1,681

11.125% 11/15/17 (f)

565

634

Mohegan Tribal Gaming Authority:

6.875% 2/15/15

3,533

2,676

11.5% 11/1/17 (f)

7,050

7,262

Scientific Games Corp. 6.25% 12/15/12

660

657

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (f)

$ 1,540

$ 1,297

Six Flags Operations, Inc. 12.25% 7/15/16 (b)(f)

5,450

6,377

Speedway Motorsports, Inc. 6.75% 6/1/13

3,495

3,486

Station Casinos, Inc.:

6% 4/1/12 (b)

9,620

649

6.5% 2/1/14 (b)

11,643

15

6.625% 3/15/18 (b)

11,970

15

6.875% 3/1/16 (b)

12,803

16

7.75% 8/15/16 (b)

14,415

1,045

Town Sports International Holdings, Inc. 11% 2/1/14

3,328

2,866

Universal City Development Partners Ltd./UCDP Finance, Inc. 8.875% 11/15/15 (f)

3,030

3,053

Virgin River Casino Corp./RBG LLC/B&BB, Inc.:

9% 1/15/12 (b)

575

106

12.75% 1/15/13 (b)

1,070

1

Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (f)

1,052

573

 

87,586

Household Durables - 0.2%

Controladora Mabe SA CV 7.875% 10/28/19 (f)

3,045

3,228

K. Hovnanian Enterprises, Inc. 10.625% 10/15/16

6,165

6,581

Reliance Intermediate Holdings LP 9.5% 12/15/19 (f)

6,915

7,330

Sealy Mattress Co. 10.875% 4/15/16 (f)

1,508

1,685

 

18,824

Leisure Equipment & Products - 0.0%

Easton-Bell Sports, Inc. 9.75% 12/1/16 (f)

1,505

1,580

Media - 2.8%

AMC Entertainment, Inc. 11% 2/1/16

8,060

8,685

Cablemas SA de CV 9.375% 11/15/15 (Reg. S)

4,505

4,815

CanWest Media, Inc. 8% 9/15/12 (b)

444

427

Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 13.5% 11/30/16 (f)

19,569

23,385

Clear Channel Communications, Inc.:

4.9% 5/15/15

2,600

1,482

5.5% 9/15/14

2,000

1,270

5.5% 12/15/16

1,890

983

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Clear Channel Communications, Inc.: - continued

5.75% 1/15/13

$ 3,145

$ 2,430

6.25% 3/15/11

175

169

6.875% 6/15/18

1,275

650

10.75% 8/1/16

30,415

23,648

11.75% 8/1/16 pay-in-kind (h)

4,473

3,123

Clear Channel Worldwide Holdings, Inc.:

Series A 9.25% 12/15/17 (f)

1,490

1,548

Series B 9.25% 12/15/17 (f)

5,950

6,218

EchoStar Communications Corp.:

6.625% 10/1/14

9,095

9,163

7% 10/1/13

9,095

9,459

7.125% 2/1/16

43,770

44,427

Haights Cross Communications, Inc. 12.5% 8/15/11 (b)(e)

1,550

93

Interpublic Group of Companies, Inc. 10% 7/15/17

2,530

2,872

Liberty Media Corp. 8.5% 7/15/29

6,535

6,086

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

300

0

MDC Partners, Inc. 11% 11/1/16 (f)

845

914

MediMedia USA, Inc. 11.375% 11/15/14 (f)

850

714

Net Servicos de Comunicacao SA 7.5% 1/27/20 (f)

6,090

6,425

Nielsen Finance LLC/Nielsen Finance Co.:

10% 8/1/14

3,620

3,774

11.5% 5/1/16

4,920

5,560

11.625% 2/1/14

2,535

2,877

Rainbow National Services LLC:

8.75% 9/1/12 (f)

3,280

3,329

10.375% 9/1/14 (f)

9,075

9,529

Sun Media Corp. Canada 7.625% 2/15/13

635

621

The Reader's Digest Association, Inc.:

9% 2/15/17 (b)

3,000

0*

9.5% 2/15/17 (f)(h)

13,085

13,366

TL Acquisitions, Inc. 10.5% 1/15/15 (f)

24,495

23,087

Univision Communications, Inc. 12% 7/1/14 (f)

7,300

8,030

Videotron Ltd. 6.875% 1/15/14

550

557

 

229,716

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Multiline Retail - 0.2%

Matahari International Finance Co. BV 10.75% 8/7/12

$ 7,685

$ 7,973

The Bon-Ton Department Stores, Inc. 10.25% 3/15/14

6,780

6,611

 

14,584

Specialty Retail - 0.2%

Claire's Stores, Inc.:

9.25% 6/1/15

2,775

2,442

10.375% 6/1/15 pay-in-kind (h)

4,143

3,356

Michaels Stores, Inc.:

0% 11/1/16 (d)

445

392

10% 11/1/14

5,150

5,433

Sonic Automotive, Inc. 9% 3/15/18 (f)

1,970

2,019

 

13,642

Textiles, Apparel & Luxury Goods - 0.1%

Levi Strauss & Co.:

8.875% 4/1/16

1,650

1,716

9.75% 1/15/15

5,670

5,925

 

7,641

TOTAL CONSUMER DISCRETIONARY

425,739

CONSUMER STAPLES - 0.4%

Beverages - 0.1%

Cerveceria Nacional Dominicana C por A:

8% 3/27/14 (Reg. S)

330

348

16% 3/27/12

150

139

16% 3/27/12 (f)

4,787

4,443

 

4,930

Food & Staples Retailing - 0.1%

Rite Aid Corp.:

8.625% 3/1/15

835

714

9.375% 12/15/15

2,620

2,240

9.5% 6/15/17

3,670

3,083

 

6,037

Food Products - 0.2%

Ciliandra Perkasa Finance Co. Pte. Ltd. 10.75% 12/8/11 (Reg. S)

1,750

1,805

Hines Nurseries, Inc. 10.25% 10/1/11 (b)

370

4

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - continued

JBS USA LLC/JBS USA Finance, Inc. 11.625% 5/1/14 (f)

$ 5,200

$ 5,915

Michael Foods, Inc. 8% 11/15/13

420

427

Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.:

9.25% 4/1/15

410

420

10.625% 4/1/17

1,015

1,073

Smithfield Foods, Inc. 10% 7/15/14 (f)

5,540

6,177

 

15,821

Household Products - 0.0%

Cellu Tissue Holdings, Inc. 11.5% 6/1/14

3,600

4,000

Central Garden & Pet Co. 9.125% 2/1/13

260

264

 

4,264

Personal Products - 0.0%

Elizabeth Arden, Inc. 7.75% 1/15/14

470

471

Revlon Consumer Products Corp. 9.75% 11/15/15 (f)

3,875

4,001

 

4,472

TOTAL CONSUMER STAPLES

35,524

ENERGY - 4.6%

Energy Equipment & Services - 0.2%

Complete Production Services, Inc. 8% 12/15/16

2,530

2,511

Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (f)

3,970

4,044

Hercules Offshore, Inc. 10.5% 10/15/17 (f)

4,990

4,978

Pioneer Drilling Co. 9.875% 3/15/18 (f)

3,410

3,410

 

14,943

Oil, Gas & Consumable Fuels - 4.4%

Adaro Indonesia PT 7.625% 10/22/19 (f)

4,115

4,290

Atlas Energy Operating Co. LLC/Financing Corp. 10.75% 2/1/18

4,090

4,499

Atlas Pipeline Partners LP 8.125% 12/15/15

9,415

9,109

Berry Petroleum Co.:

8.25% 11/1/16

2,930

2,967

10.25% 6/1/14

2,220

2,442

Chaparral Energy, Inc. 8.5% 12/1/15

4,498

4,099

Chesapeake Energy Corp.:

6.5% 8/15/17

13,550

13,110

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Chesapeake Energy Corp.: - continued

6.875% 11/15/20

$ 12,030

$ 11,699

7.25% 12/15/18

1,970

1,970

7.625% 7/15/13

11,615

12,109

9.5% 2/15/15

5,630

6,123

Connacher Oil and Gas Ltd. 10.25% 12/15/15 (f)

4,560

4,628

CONSOL Energy, Inc.:

8% 4/1/17 (f)

6,470

6,648

8.25% 4/1/20 (f)

6,645

6,844

Continental Resources, Inc. 8.25% 10/1/19

885

938

Crosstex Energy/Crosstex Energy Finance Corp. 8.875% 2/15/18 (f)

4,920

5,074

Denbury Resources, Inc.:

8.25% 2/15/20

3,895

4,143

9.75% 3/1/16

1,660

1,834

Drummond Co., Inc.:

7.375% 2/15/16

6,605

6,473

9% 10/15/14 (f)

6,595

6,859

EXCO Resources, Inc. 7.25% 1/15/11

570

571

Forest Oil Corp. 8% 12/15/11

480

507

International Coal Group, Inc. 9.125% 4/1/18

920

943

InterNorth, Inc. 9.625% 3/16/06 (b)

935

0

KazMunaiGaz Finance Sub BV:

8.375% 7/2/13 (f)

4,805

5,400

9.125% 7/2/18 (f)

3,735

4,519

11.75% 1/23/15 (f)

4,880

6,277

LINN Energy LLC 8.625% 4/15/20 (f)

9,610

9,622

Mariner Energy, Inc.:

7.5% 4/15/13

2,900

2,922

8% 5/15/17

4,870

4,821

11.75% 6/30/16

4,955

5,550

Massey Energy Co. 6.875% 12/15/13

8,545

8,662

Naftogaz of Ukraine NJSC 9.5% 9/30/14

4,430

4,607

Nakilat, Inc. 6.267% 12/31/33 (Reg. S)

3,360

3,167

Newfield Exploration Co. 6.875% 2/1/20

12,875

13,004

OPTI Canada, Inc.:

7.875% 12/15/14

8,955

8,373

8.25% 12/15/14

1,360

1,285

9% 12/15/12 (f)

3,060

3,152

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Peabody Energy Corp. 7.875% 11/1/26

$ 5,640

$ 5,922

Pemex Project Funding Master Trust 6.625% 6/15/35

2,870

2,827

Petrobras International Finance Co. Ltd.:

6.875% 1/20/40

1,800

1,858

8.375% 12/10/18

635

768

Petrohawk Energy Corp.:

7.875% 6/1/15

22,900

23,329

9.125% 7/15/13

10,710

11,246

Petroleos de Venezuela SA:

5.25% 4/12/17

18,525

11,624

5.375% 4/12/27

31,120

16,027

Petroleos Mexicanos 6% 3/5/20 (f)

2,990

3,087

Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22

3,105

2,926

Petroleum Development Corp. 12% 2/15/18

4,390

4,653

Petroleum Export Ltd.:

4.623% 6/15/10

40

40

4.633% 6/15/10

151

150

5.265% 6/15/11 (Reg. S)

1,838

1,829

Pioneer Natural Resources Co. 7.5% 1/15/20

8,285

8,451

Plains Exploration & Production Co. 10% 3/1/16

10,150

11,216

Quicksilver Resources, Inc. 11.75% 1/1/16

5,045

5,751

Range Resources Corp. 7.375% 7/15/13

2,190

2,234

SandRidge Energy, Inc.:

8% 6/1/18 (f)

3,010

2,844

8.625% 4/1/15 pay-in-kind (h)

2,020

1,964

Southern Star Central Corp. 6.75% 3/1/16

1,560

1,578

Southwestern Energy Co. 7.5% 2/1/18

2,460

2,675

Targa Resources Partners LP/Targa Resources Partners Finance Corp. 11.25% 7/15/17 (f)

4,265

4,819

Teekay Corp. 8.5% 1/15/20

3,695

3,852

Tennessee Gas Pipeline Co.:

7% 10/15/28

550

581

7.5% 4/1/17

7,600

8,574

7.625% 4/1/37

1,035

1,144

8% 2/1/16

1,160

1,337

8.375% 6/15/32

1,155

1,352

TNK-BP Finance SA 7.5% 3/13/13 (Reg. S)

3,115

3,368

Venoco, Inc. 11.5% 10/1/17

3,335

3,493

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

W&T Offshore, Inc. 8.25% 6/15/14 (f)

$ 5,300

$ 4,876

YPF SA 10% 11/2/28

8,835

9,277

 

364,912

TOTAL ENERGY

379,855

FINANCIALS - 6.3%

Capital Markets - 0.1%

Equinox Holdings, Inc. 9.5% 2/1/16 (f)

5,755

5,755

HSBC Bank PLC 5.75% 6/27/17 (e)

GBP

1,130

1,795

UBS AG Jersey Branch 4.125% 9/25/18 (h)

EUR

1,200

1,636

VTB Capital SA 4.25% 2/15/16

EUR

1,000

1,358

 

10,544

Commercial Banks - 1.0%

African Export-Import Bank 8.75% 11/13/14

4,020

4,432

Barclays Bank PLC:

0% 3/18/13 (f)(n)

4,245

4,368

10% 5/21/21

GBP

1,070

2,082

Development Bank of Philippines 8.375% (h)

6,055

6,418

EXIM of Ukraine 7.65% 9/7/11 (Issued by Credit Suisse London Branch for EXIM Ukraine)

21,395

21,261

Export-Import Bank of India 0.7506% 6/7/12 (h)

JPY

170,000

1,761

HSBK (Europe) B.V. 9.25% 10/16/13 (f)

8,270

8,911

Kazkommerts International BV 8.5% 4/16/13 (f)

3,180

3,069

KBC IFIMA NV:

0.85% 12/14/15 (h)

EUR

1,200

1,401

4.5% 9/17/14

EUR

2,200

3,060

Korea Development Bank (Reg.) 0.87% 6/28/10

JPY

600,000

6,414

Rabobank Nederland 4.125% 1/14/20

EUR

6,750

9,284

RSHB Capital SA 9% 6/11/14 (f)

1,535

1,769

Santander Finance Preferred SA Unipersonal 7.3% 7/29/19 (h)

GBP

2,150

3,534

US Bank NA 4.375% 2/28/17 (h)

EUR

1,600

2,170

Wells Fargo & Co. 7.98% (h)

2,035

2,106

 

82,040

Consumer Finance - 1.9%

ACE Cash Express, Inc. 10.25% 10/1/14 (f)

1,420

1,168

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

Ford Motor Credit Co. LLC:

7% 10/1/13

$ 5,290

$ 5,474

7.25% 10/25/11

12,485

12,908

7.375% 2/1/11

735

753

7.5% 8/1/12

9,230

9,553

8% 6/1/14

5,120

5,376

8% 12/15/16

18,125

19,097

12% 5/15/15

12,770

15,268

General Motors Acceptance Corp.:

6.75% 12/1/14

11,870

11,751

8% 11/1/31

7,330

6,970

GMAC LLC:

6% 4/1/11

1,435

1,435

6.75% 12/1/14

4,285

4,253

8% 11/1/31

62,448

59,638

 

153,644

Diversified Financial Services - 2.2%

Bank of America Corp.:

4% 3/28/18 (h)

EUR

1,700

2,153

4.75% 5/6/19

EUR

230

295

8% (h)

5,365

5,365

8.125% (h)

7,380

7,380

Bishopgate Asset Finance Ltd. 4.808% 8/14/44

GBP

1,450

1,571

Broadgate PLC 1.405% 10/5/25 (h)

GBP

625

730

CIT Group, Inc.:

7% 5/1/13

1,854

1,798

7% 5/1/14

2,780

2,634

7% 5/1/15

2,780

2,593

7% 5/1/16

4,634

4,275

7% 5/1/17

6,488

5,969

City of Buenos Aires 12.5% 4/6/15 (f)

6,005

6,230

Cloverie PLC 7.5% 7/24/39 (h)

EUR

1,200

1,872

Dignity Finance PLC:

6.31% 12/31/23 (Reg. S)

GBP

241

401

8.151% 12/31/30

GBP

475

868

FireKeepers Development Authority 13.875% 5/1/15 (f)

1,600

1,852

Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12

2,056

2,056

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

GMAC, Inc. 8% 3/15/20 (f)

$ 8,430

$ 8,599

Greene King Finance PLC Series A1, 1.025% 6/15/31 (h)

GBP

1,000

1,169

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

7.75% 1/15/16 (f)

17,070

16,430

8% 1/15/18 (f)

17,070

16,430

International Lease Finance Corp.:

5.625% 9/20/13

6,845

6,457

5.65% 6/1/14

8,508

7,885

6.375% 3/25/13

4,313

4,215

6.625% 11/15/13

17,827

17,337

Kazakhstan Temir Zholy Finance BV 6.5% 5/11/11

1,580

1,612

LBI Escrow Corp. 8% 11/1/17 (f)

7,115

7,364

Merck Financial Services GmbH 4.5% 3/24/20

EUR

6,700

9,210

NCO Group, Inc. 11.875% 11/15/14

2,185

1,803

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

1,795

1,822

Red Arrow International Leasing PLC 8.375% 6/30/12

RUB

62,509

2,139

TMK Capital SA 10% 7/29/11

7,400

7,748

TransCapitalInvest Ltd. 5.381% 6/27/12 (Reg. S)

EUR

700

987

UPC Germany GmbH 8.125% 12/1/17 (f)

7,210

7,426

WaMu Covered Bond Program:

3.875% 9/27/11

EUR

1,090

1,506

4.375% 5/19/14

EUR

2,250

3,162

Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (f)(h)

13,370

12,750

 

184,093

Insurance - 0.3%

American International Group, Inc.:

4.25% 5/15/13

1,685

1,654

5.05% 10/1/15

2,765

2,568

5.45% 5/18/17

8,585

7,898

5.6% 10/18/16

4,760

4,430

5.85% 1/16/18

1,505

1,398

8.25% 8/15/18

5,085

5,336

USI Holdings Corp. 4.125% 11/15/14 (f)(h)

920

784

 

24,068

Real Estate Investment Trusts - 0.2%

Omega Healthcare Investors, Inc. 7.5% 2/15/20 (f)

4,860

4,982

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Rouse Co. 5.375% 11/26/13 (b)

$ 5,135

$ 5,546

Senior Housing Properties Trust 7.875% 4/15/15

6,211

6,258

 

16,786

Real Estate Management & Development - 0.6%

CB Richard Ellis Services, Inc. 11.625% 6/15/17

6,420

7,190

Realogy Corp.:

10.5% 4/15/14

35,035

30,305

11.75% 4/15/14 pay-in-kind (h)

4,290

3,523

Rouse Co. LP/TRC, Inc. 6.75% 5/1/13 (b)(f)

9,470

10,512

Toys 'R' Us Property Co. II LLC 8.5% 12/1/17 (f)

845

877

Ventas Realty LP 6.5% 6/1/16

980

995

 

53,402

TOTAL FINANCIALS

524,577

HEALTH CARE - 1.4%

Health Care Equipment & Supplies - 0.0%

Invacare Corp. 9.75% 2/15/15

1,530

1,652

Health Care Providers & Services - 1.2%

Apria Healthcare Group, Inc. 11.25% 11/1/14 (f)

7,720

8,299

Cardinal Health 409, Inc. 10.25% 4/15/15 pay-in-kind (h)

7,824

7,313

CRC Health Group, Inc. 10.75% 2/1/16

1,880

1,678

DASA Finance Corp. 8.75% 5/29/18 (f)

1,570

1,680

Fresenius Medical Care Capital Trust IV 7.875% 6/15/11

1,000

1,045

HCA, Inc.:

5.75% 3/15/14

3,377

3,179

6.25% 2/15/13

1,755

1,742

6.375% 1/15/15

1,125

1,071

6.5% 2/15/16

4,220

3,988

6.75% 7/15/13

1,750

1,750

7.25% 9/15/20 (f)

23,835

24,193

9.125% 11/15/14

7,020

7,397

9.25% 11/15/16

17,055

18,121

HealthSouth Corp. 8.125% 2/15/20

7,395

7,395

Quintiles Transnational Holdings, Inc. 9.5% 12/30/14 (f)

4,910

5,008

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

Skilled Healthcare Group, Inc. 11% 1/15/14

$ 3,652

$ 3,844

Sun Healthcare Group, Inc. 9.125% 4/15/15

310

319

Team Finance LLC/Health Finance Corp. 11.25% 12/1/13

684

718

United Surgical Partners International, Inc. 8.875% 5/1/17

895

931

 

99,671

Life Sciences Tools & Services - 0.0%

Bio-Rad Laboratories, Inc. 7.5% 8/15/13

1,770

1,805

Pharmaceuticals - 0.2%

Elan Finance PLC/Elan Finance Corp. 8.75% 10/15/16 (f)

5,775

5,703

Leiner Health Products, Inc. 11% 6/1/12 (b)

1,885

170

Pfizer, Inc. 5.75% 6/3/21

EUR

3,150

4,867

Roche Holdings, Inc. 6.5% 3/4/21

EUR

1,950

3,205

 

13,945

TOTAL HEALTH CARE

117,073

INDUSTRIALS - 2.5%

Aerospace & Defense - 0.1%

Alion Science & Technology Corp.:

10.25% 2/1/15

800

616

12% 11/1/14 pay-in-kind (f)

1,430

1,439

DigitalGlobe, Inc. 10.5% 5/1/14 (f)

2,915

3,119

GeoEye, Inc. 9.625% 10/1/15 (f)

1,030

1,062

Hexcel Corp. 6.75% 2/1/15

2,350

2,327

 

8,563

Airlines - 0.6%

American Airlines, Inc. equipment trust certificate 13% 8/1/16

4,802

5,415

American Airlines, Inc. pass-thru trust certificates 10.375% 7/2/19

5,914

6,845

Continental Airlines, Inc. pass-thru trust certificates 6.903% 4/19/22

820

734

Continental Airlines, Inc. 7.25% 11/10/19

5,065

5,470

Delta Air Lines, Inc.:

7.9% 12/15/09 (a)

16,400

164

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

Delta Air Lines, Inc.: - continued

9.5% 9/15/14 (f)

$ 1,530

$ 1,607

10% 8/15/08 (a)

1,255

13

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

6.821% 8/10/22

8,583

8,615

8.021% 8/10/22

4,389

4,038

Northwest Airlines Corp. 10% 2/1/09 (a)

1,895

14

Northwest Airlines, Inc.:

7.875% 3/15/08 (a)

1,365

7

8.875% 6/1/06 (a)

1,355

10

Northwest Airlines, Inc. pass-thru trust certificates:

7.027% 11/1/19

2,253

2,117

8.028% 11/1/17

964

896

United Air Lines, Inc.:

9.875% 8/1/13 (f)

2,140

2,242

12% 11/1/13 (f)

3,415

3,586

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

8,505

9,079

 

50,852

Building Products - 0.2%

Nortek, Inc. 11% 12/1/13

11,672

12,372

Commercial Services & Supplies - 0.5%

ACCO Brands Corp. 10.625% 3/15/15 (f)

595

650

ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13

160

160

Browning-Ferris Industries, Inc. 9.25% 5/1/21

680

833

Casella Waste Systems, Inc. 11% 7/15/14 (f)

1,510

1,619

Cenveo Corp. 10.5% 8/15/16 (f)

2,795

2,847

Garda World Security Corp. 9.75% 3/15/17 (f)

2,260

2,311

International Lease Finance Corp.:

4.75% 1/13/12

2,500

2,442

5% 9/15/12

2,715

2,609

8.625% 9/15/15 (f)

3,890

3,929

8.75% 3/15/17 (f)

4,485

4,507

Iron Mountain, Inc.:

6.625% 1/1/16

10,955

10,873

7.75% 1/15/15

4,830

4,872

The Geo Group, Inc. 7.75% 10/15/17 (f)

2,845

2,873

 

40,525

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Construction & Engineering - 0.1%

Blount, Inc. 8.875% 8/1/12

$ 1,250

$ 1,264

Odebrecht Finance Ltd. 7% 4/21/20 (f)

1,830

1,903

Odebrecht Overseas Ltd. 9.625%

885

898

 

4,065

Electrical Equipment - 0.0%

General Cable Corp. 7.125% 4/1/17

680

674

Sensus Metering Systems, Inc. 8.625% 12/15/13

900

918

 

1,592

Industrial Conglomerates - 0.2%

Hutchison Whampoa Finance 06 Ltd. 4.625% 9/21/16

EUR

3,600

4,952

Sequa Corp.:

11.75% 12/1/15 (f)

11,050

11,050

13.5% 12/1/15 pay-in-kind (f)

4,393

4,525

 

20,527

Machinery - 0.2%

Chart Industries, Inc. 9.125% 10/15/15

1,160

1,137

Cummins, Inc. 7.125% 3/1/28

1,870

1,848

Navistar International Corp. 8.25% 11/1/21

9,025

9,228

Terex Corp. 10.875% 6/1/16

5,025

5,603

 

17,816

Marine - 0.1%

Navios Maritime Holdings, Inc.:

8.875% 11/1/17 (f)

2,510

2,601

9.5% 12/15/14

5,215

5,254

Ultrapetrol (Bahamas) Ltd. 9% 11/24/14

2,050

1,999

 

9,854

Road & Rail - 0.2%

Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 9.625% 3/15/18 (f)

2,465

2,576

Kansas City Southern de Mexico, SA de CV:

7.375% 6/1/14

1,670

1,678

7.625% 12/1/13

1,700

1,721

12.5% 4/1/16

4,435

5,167

Swift Transportation Co., Inc. 12.5% 5/15/17 (f)

1,270

1,168

TFM SA de CV 9.375% 5/1/12

2,026

2,077

 

14,387

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Trading Companies & Distributors - 0.2%

Glencore Finance (Europe) SA 5.25% 3/22/17

EUR

2,150

$ 2,895

Penhall International Corp. 12% 8/1/14 (f)

1,515

1,015

VWR Funding, Inc. 10.25% 7/15/15 pay-in-kind (h)

10,578

11,213

 

15,123

Transportation Infrastructure - 0.1%

Trico Shipping AS 11.875% 11/1/14 (f)

9,180

8,905

TOTAL INDUSTRIALS

204,581

INFORMATION TECHNOLOGY - 2.0%

Communications Equipment - 0.5%

Avaya, Inc.:

9.75% 11/1/15

7,920

7,722

10.875% 11/1/15 pay-in-kind (h)

4,370

3,996

Brocade Communications Systems, Inc.:

6.625% 1/15/18 (f)

1,135

1,152

6.875% 1/15/20 (f)

1,135

1,158

Hughes Network System LLC/HNS Finance Corp. 9.5% 4/15/14

6,290

6,463

Lucent Technologies, Inc.:

6.45% 3/15/29

20,050

14,135

6.5% 1/15/28

6,570

4,615

ViaSat, Inc. 8.875% 9/15/16 (f)

1,335

1,365

 

40,606

Computers & Peripherals - 0.0%

Seagate Technology International 10% 5/1/14 (f)

1,450

1,646

Electronic Equipment & Components - 0.1%

Reddy Ice Corp.:

11.25% 3/15/15 (f)

4,625

4,937

13.25% 11/1/15 (f)

3,266

3,266

 

8,203

Internet Software & Services - 0.1%

Equinix, Inc. 8.125% 3/1/18

8,180

8,507

IT Services - 0.2%

Ceridian Corp.:

11.25% 11/15/15

4,145

3,979

12.25% 11/15/15 pay-in-kind (h)

932

909

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

IT Services - continued

SunGard Data Systems, Inc. 9.125% 8/15/13

$ 5,280

$ 5,399

Unisys Corp.:

12.5% 1/15/16

3,030

3,356

12.75% 10/15/14 (f)

437

509

14.25% 9/15/15 (f)

350

420

 

14,572

Semiconductors & Semiconductor Equipment - 1.1%

Advanced Micro Devices, Inc. 8.125% 12/15/17 (f)

3,470

3,574

Amkor Technology, Inc.:

7.125% 3/15/11

145

149

7.75% 5/15/13

1,040

1,048

9.25% 6/1/16

5,285

5,549

Avago Technologies Finance Ltd. 11.875% 12/1/15

8,455

9,448

Freescale Semiconductor, Inc.:

8.875% 12/15/14

10,825

10,230

9.875% 12/15/14 pay-in-kind (h)

14,003

12,751

10.125% 3/15/18 (f)

13,140

14,093

New ASAT Finance Ltd. 9.25% 2/1/11 (b)

2,100

3

NXP BV:

3.0013% 10/15/13 (h)

21,650

20,243

7.875% 10/15/14

10,315

10,109

Spansion LLC 11.25% 1/15/16 (b)(f)

4,255

5,021

Viasystems, Inc. 12% 1/15/15 (f)

4,000

4,340

 

96,558

Software - 0.0%

Open Solutions, Inc. 9.75% 2/1/15 (f)

870

731

TOTAL INFORMATION TECHNOLOGY

170,823

MATERIALS - 3.7%

Chemicals - 0.9%

Ashland, Inc. 9.125% 6/1/17 (f)

2,490

2,789

Chemtura Corp. 6.875% 6/1/16 (b)

1,225

1,439

Georgia Gulf Corp. 9% 1/15/17 (f)

10,825

11,339

MacDermid, Inc. 9.5% 4/15/17 (f)

500

513

Momentive Performance Materials, Inc.:

9.75% 12/1/14

28,265

28,336

10.875% 12/1/14 pay-in-kind (h)

7,455

7,145

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

Momentive Performance Materials, Inc.: - continued

11.5% 12/1/16

$ 11,120

$ 10,286

NOVA Chemicals Corp.:

3.6494% 11/15/13 (h)

1,690

1,593

6.5% 1/15/12

5,775

5,891

Solutia, Inc.:

7.875% 3/15/20

2,180

2,202

8.75% 11/1/17

1,100

1,161

Sterling Chemicals, Inc. 10.25% 4/1/15

1,600

1,600

Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 (b)

3,430

3,636

 

77,930

Construction Materials - 0.0%

Headwaters, Inc. 11.375% 11/1/14 (f)

1,025

1,057

SOV Housing Capital PLC 5.705% 9/10/39

GBP

1,400

2,160

 

3,217

Containers & Packaging - 0.6%

AEP Industries, Inc. 7.875% 3/15/13

640

635

Berry Plastics Holding Corp.:

4.132% 9/15/14 (h)

640

547

8.875% 9/15/14

10,865

10,593

10.25% 3/1/16

4,055

3,832

Crown Cork & Seal, Inc.:

7.375% 12/15/26

9,795

8,987

7.5% 12/15/96

3,685

2,727

Jefferson Smurfit Corp. U.S. 8.25% 10/1/12 (b)

1,170

1,041

Smurfit-Stone Container Enterprises, Inc. 8% 3/15/17 (b)

5,845

5,217

Temple-Inland, Inc.:

6.625% 1/15/16

165

175

7.875% 5/1/12

3,735

4,024

Vitro SAB de CV:

8.625% 2/1/12 (b)

25,290

11,507

9.125% 2/1/17 (b)

2,210

1,006

 

50,291

Metals & Mining - 2.0%

Aleris International, Inc. 9% 12/15/14 pay-in-kind (b)(h)

2,790

24

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

CSN Islands XI Corp. 6.875% 9/21/19 (f)

$ 5,990

$ 6,260

Edgen Murray Corp. 12.25% 1/15/15 (f)

8,545

8,000

Evraz Group SA 8.875% 4/24/13 (f)

7,550

7,909

FMG Finance Property Ltd.:

10% 9/1/13 (f)

4,945

5,341

10.625% 9/1/16 (f)

33,980

38,992

Freeport-McMoRan Copper & Gold, Inc.:

8.25% 4/1/15

8,780

9,559

8.375% 4/1/17

34,820

38,737

International Steel Group, Inc. 6.5% 4/15/14

10,550

11,436

Ispat Inland ULC 9.75% 4/1/14

932

962

Novelis, Inc. 11.5% 2/15/15

1,185

1,271

RathGibson, Inc. 11.25% 2/15/14 (b)

5,905

1,447

Severstal Columbus LLC 10.25% 2/15/18 (f)

7,005

7,390

Teck Resources Ltd.:

9.75% 5/15/14

6,275

7,459

10.25% 5/15/16

8,000

9,500

10.75% 5/15/19

9,360

11,466

 

165,753

Paper & Forest Products - 0.2%

Glatfelter 7.125% 5/1/16

550

550

NewPage Corp.:

6.4988% 5/1/12 (h)

1,770

1,146

11.375% 12/31/14

4,775

4,739

Solo Cup Co. 8.5% 2/15/14

2,140

2,092

Stone Container Corp. 8.375% 7/1/12 (b)

3,005

2,667

Verso Paper Holdings LLC/Verso Paper, Inc. 11.5% 7/1/14 (f)

3,840

4,157

 

15,351

TOTAL MATERIALS

312,542

TELECOMMUNICATION SERVICES - 6.9%

Diversified Telecommunication Services - 4.5%

Alestra SA de RL de CV 11.75% 8/11/14

3,945

4,463

Citizens Communications Co.:

7.875% 1/15/27

4,895

4,357

9% 8/15/31

3,655

3,564

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Clearwire Communications LLC/Clearwire Finance, Inc. 12% 12/1/15 (f)

$ 48,297

$ 49,200

Frontier Communications Corp.:

8.25% 4/15/17 (f)

6,470

6,583

8.5% 4/15/20 (f)

6,645

6,711

Global Crossing Ltd. 12% 9/15/15 (f)

3,130

3,474

Intelsat Bermuda Ltd.:

11.25% 2/4/17

42,616

44,960

12.5% 2/4/17 pay-in-kind (h)

41,765

41,947

Intelsat Corp.:

9.25% 8/15/14

5,215

5,365

9.25% 6/15/16

8,820

9,217

Intelsat Ltd. 11.25% 6/15/16

27,785

30,008

Nordic Telephone Co. Holdings ApS 8.875% 5/1/16 (f)

5,425

5,751

Qwest Communications International, Inc.:

7.125% 4/1/18 (f)

6,665

6,848

7.5% 2/15/14

7,555

7,687

7.5% 2/15/14

1,655

1,684

Sprint Capital Corp.:

6.875% 11/15/28

64,015

51,532

6.9% 5/1/19

5,935

5,431

8.75% 3/15/32

55,460

51,439

U.S. West Communications:

6.875% 9/15/33

2,535

2,446

7.25% 9/15/25

535

540

7.25% 10/15/35

1,455

1,397

7.5% 6/15/23

460

461

Wind Acquisition Finance SA:

11.75% 7/15/17 (f)

13,825

15,208

12% 12/1/15 (f)

11,630

12,531

 

372,804

Wireless Telecommunication Services - 2.4%

Clearwire Escrow Corp. 12% 12/1/15 (f)

4,260

4,340

Digicel Group Ltd.:

8.875% 1/15/15 (f)

21,315

20,835

9.125% 1/15/15 pay-in-kind (f)(h)

7,565

7,470

10.5% 4/15/18 (f)

17,365

18,016

12% 4/1/14 (f)

9,725

11,014

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Intelsat Jackson Holdings Ltd.:

8.5% 11/1/19 (f)

$ 4,220

$ 4,420

9.5% 6/15/16

19,260

20,560

11.5% 6/15/16

8,740

9,417

Intelsat Subsidiary Holding Co. Ltd. 8.875% 1/15/15

12,125

12,458

Millicom International Cellular SA 10% 12/1/13

17,865

18,535

Mobile Telesystems Finance SA 8% 1/28/12 (f)

4,052

4,315

Nextel Communications, Inc.:

5.95% 3/15/14

9,445

8,807

7.375% 8/1/15

5,220

4,959

NII Capital Corp. 10% 8/15/16 (f)

17,475

19,135

Orascom Telecom Finance SCA 7.875% 2/8/14 (f)

8,950

8,503

Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (f)

12,184

11,331

Sprint Nextel Corp. 6% 12/1/16

6,700

6,047

Telecom Personal SA 9.25% 12/22/10 (f)

5,490

5,641

Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (f)

7,210

7,814

 

203,617

TOTAL TELECOMMUNICATION SERVICES

576,421

UTILITIES - 1.7%

Electric Utilities - 0.5%

Chivor SA E.S.P. 9.75% 12/30/14 (f)

2,355

2,732

Empresa Distribuidora y Comercializadora Norte SA 10.5% 10/9/17

1,465

1,487

Intergen NV 9% 6/30/17 (f)

17,825

18,360

Majapahit Holding BV:

7.75% 10/17/16 (Reg. S)

5,060

5,547

7.75% 1/20/20 (f)

3,370

3,656

8% 8/7/19 (f)

2,455

2,698

National Power Corp. 6.875% 11/2/16 (f)

5,155

5,593

Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. 11.25% 11/1/16 pay-in-kind (h)

2,081

1,350

 

41,423

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Gas Utilities - 0.3%

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

$ 6,470

$ 6,632

Southern Natural Gas Co.:

7.35% 2/15/31

7,350

7,782

8% 3/1/32

4,170

4,701

Transportadora de Gas del Sur SA 7.875% 5/14/17 (f)

6,520

6,194

 

25,309

Independent Power Producers & Energy Traders - 0.6%

Energy Future Holdings Corp.:

10% 1/15/20 (f)

3,415

3,560

10.875% 11/1/17

50,220

37,288

12% 11/1/17 pay-in-kind (h)

7,011

4,345

Enron Corp.:

Series A, 8.375% 5/23/05 (b)

2,500

0

6.4% 7/15/06 (b)

9,815

0

6.625% 11/15/05 (b)

2,200

0

6.725% 11/17/08 (b)(h)

684

0

6.75% 8/1/09 (b)

550

0*

6.875% 10/15/07 (b)

1,330

0

6.95% 7/15/28 (b)

1,204

0

7.125% 5/15/07 (b)

235

0

7.375% 5/15/19 (b)

1,400

0

7.875% 6/15/03 (b)

235

0

9.125% 4/1/03 (b)

50

0

9.875% 6/5/03 (b)

4,720

0

Power Sector Assets and Liabilities Management Corp. 7.39% 12/2/24 (f)

2,880

3,038

Tenaska Alabama Partners LP 7% 6/30/21 (f)

976

947

 

49,178

Multi-Utilities - 0.3%

Aquila, Inc. 11.875% 7/1/12 (h)

1,615

1,880

NiSource Finance Corp. 10.75% 3/15/16

18,183

23,113

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities - continued

Utilicorp United, Inc. 7.95% 2/1/11 (e)

$ 39

$ 41

Veolia Environnement 5.125% 5/24/22

EUR

900

1,288

 

26,322

TOTAL UTILITIES

142,232

TOTAL NONCONVERTIBLE BONDS

2,889,367

TOTAL CORPORATE BONDS

(Cost $2,711,096)

2,947,672

U.S. Government and Government Agency Obligations - 23.6%

 

Other Government Related - 2.4%

Bank of America Corp.:

2.1% 4/30/12 (FDIC Guaranteed) (g)

3,013

3,068

3.125% 6/15/12 (FDIC Guaranteed) (g)

45

47

Citibank NA:

1.5% 7/12/11 (FDIC Guaranteed) (g)

4,900

4,946

1.75% 12/28/12 (FDIC Guaranteed) (g)

15,000

15,043

1.875% 5/7/12 (FDIC Guaranteed) (g)

18,000

18,233

Citigroup Funding, Inc.:

1.875% 10/22/12 (FDIC Guaranteed) (g)

29,000

29,231

1.875% 11/15/12 (FDIC Guaranteed) (g)

6,937

6,987

2% 3/30/12 (FDIC Guaranteed) (g)

10,000

10,143

2.125% 7/12/12 (FDIC Guaranteed) (g)

2,505

2,550

General Electric Capital Corp.:

1.8% 3/11/11 (FDIC Guaranteed) (g)

12,000

12,143

2% 9/28/12 (FDIC Guaranteed) (g)

19,526

19,792

2.125% 12/21/12 (FDIC Guaranteed) (g)

15,000

15,196

2.625% 12/28/12 (FDIC Guaranteed) (g)

5,402

5,547

3% 12/9/11 (FDIC Guaranteed) (g)

3,120

3,224

GMAC, Inc. 1.75% 10/30/12 (FDIC Guaranteed) (g)

21,000

21,121

Goldman Sachs Group, Inc.:

1.625% 7/15/11 (FDIC Guaranteed) (g)

1,519

1,536

3.25% 6/15/12 (FDIC Guaranteed) (g)

45

47

JPMorgan Chase & Co.:

2.125% 6/22/12 (FDIC Guaranteed) (g)

5,240

5,339

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s) (c)

Value (000s)

Other Government Related - continued

JPMorgan Chase & Co.: - continued

2.2% 6/15/12 (FDIC Guaranteed) (g)

$ 5,230

$ 5,333

3.125% 12/1/11 (FDIC Guaranteed) (g)

520

538

Morgan Stanley 3.25% 12/1/11 (FDIC Guaranteed) (g)

21,887

22,692

TOTAL OTHER GOVERNMENT RELATED

202,756

U.S. Government Agency Obligations - 1.9%

Fannie Mae 1.75% 5/7/13

32,468

32,385

Federal Home Loan Bank:

1.5% 1/16/13

56,910

56,809

3.625% 10/18/13

8,705

9,194

Freddie Mac:

1.625% 4/15/13

20,000

19,884

1.75% 6/15/12

21,244

21,449

Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23

4,750

5,134

Private Export Funding Corp. secured:

4.974% 8/15/13

1,515

1,655

5.685% 5/15/12

1,285

1,404

Small Business Administration guaranteed development participation certificates Series 2003-P10B, Class 1 5.136% 8/10/13

368

388

Tennessee Valley Authority 5.25% 9/15/39

5,600

5,505

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

153,807

U.S. Treasury Obligations - 19.3%

U.S. Treasury Bonds:

3.5% 2/15/39

69,782

56,469

4.25% 5/15/39

42,129

39,035

4.375% 2/15/38

2,500

2,377

4.375% 11/15/39

6,000

5,674

4.5% 5/15/38

7,550

7,326

4.5% 8/15/39

16,300

15,742

4.625% 2/15/40

30,583

30,143

5.25% 2/15/29

18,400

20,022

6.125% 8/15/29

9,487

11,420

6.25% 8/15/23

56,925

68,399

7.5% 11/15/16

2,850

3,598

7.5% 11/15/24

10,690

14,351

7.875% 2/15/21

6,800

9,145

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s) (c)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Bonds: - continued

8.125% 5/15/21

$ 9,286

$ 12,716

9.875% 11/15/15

11,595

15,907

U.S. Treasury Notes:

0.75% 11/30/11

4,414

4,408

0.875% 12/31/10

12,000

12,046

0.875% 3/31/11

87,180

87,544

0.875% 1/31/12

142,818

142,656

0.875% 2/29/12

24,180

24,130

1% 7/31/11

10,000

10,052

1% 12/31/11

22,619

22,664

1% 3/31/12

5,000

4,998

1.375% 9/15/12

7,986

8,003

1.375% 1/15/13

57,069

56,877

1.375% 2/15/13

101,668

101,191

1.5% 10/31/10

948

955

1.5% 12/31/13

4,313

4,233

1.875% 4/30/14

33,802

33,393

2.375% 8/31/14

38,540

38,621

2.375% 9/30/14

20,438

20,443

2.375% 10/31/14

10,038

10,024

2.5% 3/31/15

206,209

205,611

2.625% 6/30/14

39,248

39,824

2.625% 7/31/14

66,965

67,870

2.625% 4/30/16

3,137

3,070

2.75% 11/30/16

10,000

9,720

2.75% 2/15/19

23,501

21,814

3% 2/28/17

10,000

9,838

3.125% 8/31/13

11,100

11,581

3.125% 9/30/13

34,572

36,047

3.125% 10/31/16

41,816

41,656

3.125% 1/31/17

66,650

66,150

3.125% 5/15/19

52,907

50,390

3.375% 6/30/13

8,470

8,912

3.375% 11/15/19

1,989

1,919

3.625% 8/15/19

18,531

18,305

3.625% 2/15/20

5,000

4,915

3.75% 11/15/18

34,582

34,844

3.875% 5/15/18

2,550

2,614

4% 8/15/18

5,478

5,642

4.25% 10/15/10

5,875

6,001

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s) (c)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

4.25% 11/15/17

$ 28,890

$ 30,551

4.5% 2/28/11

21,301

22,091

4.5% 5/15/17

13,745

14,832

TOTAL U.S. TREASURY OBLIGATIONS

1,608,759

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,976,397)

1,965,322

U.S. Government Agency - Mortgage Securities - 2.6%

 

Fannie Mae - 1.3%

2.24% 4/1/36 (h)

192

198

2.308% 11/1/35 (h)

980

1,008

2.399% 10/1/34 (h)

1,365

1,407

2.475% 9/1/33 (h)

958

984

2.73% 11/1/33 (h)

207

216

2.762% 2/1/35 (h)

3,797

3,903

2.938% 7/1/35 (h)

628

651

3.018% 1/1/35 (h)

513

530

3.124% 10/1/35 (h)

200

206

3.138% 3/1/35 (h)

17,787

18,500

3.251% 7/1/35 (h)

467

485

3.265% 9/1/34 (h)

850

877

3.3% 2/1/35 (h)

2,666

2,776

3.342% 3/1/33 (h)

284

297

3.411% 11/1/36 (h)

98

101

3.444% 7/1/35 (h)

692

711

3.47% 4/1/35 (h)

1,222

1,270

3.546% 2/1/40 (h)

18,837

19,347

3.601% 2/1/37 (h)

1,824

1,896

3.673% 4/1/36 (h)

720

754

3.692% 3/1/34 (h)

564

580

3.726% 11/1/36 (h)

525

546

3.781% 7/1/35 (h)

1,413

1,466

3.9% 9/1/36 (h)

794

825

3.913% 2/1/37 (h)

2,959

3,088

3.918% 7/1/35 (h)

1,020

1,044

3.959% 11/1/35 (h)

2,593

2,675

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s) (c)

Value (000s)

Fannie Mae - continued

4% 9/1/13

$ 406

$ 416

4.155% 8/1/35 (h)

1,602

1,679

4.226% 6/1/47 (h)

349

364

4.278% 6/1/36 (h)

123

127

4.294% 10/1/37 (h)

642

668

4.304% 9/1/35 (h)

1,742

1,810

4.542% 2/1/36 (h)

1,695

1,754

4.687% 11/1/35 (h)

771

803

4.773% 7/1/35 (h)

621

642

4.954% 5/1/35 (h)

1,668

1,733

4.974% 10/1/35 (h)

3,037

3,133

5% 1/1/14 to 5/1/22

203

213

5.036% 2/1/34 (h)

839

877

5.186% 6/1/35 (h)

6,252

6,396

5.242% 5/1/35 (h)

709

744

5.302% 3/1/36 (h)

4,924

5,156

5.5% 3/1/12 to 1/1/24

1,626

1,732

5.556% 2/1/36 (h)

335

348

5.588% 4/1/36 (h)

1,713

1,795

5.734% 9/1/35 (h)

1,470

1,545

5.855% 5/1/36 (h)

419

440

6% 5/1/12 to 1/1/26

292

313

6.004% 4/1/36 (h)

5,626

5,892

6.213% 3/1/37 (h)

274

291

6.5% 12/1/12 to 9/1/32

3,226

3,526

7.5% 1/1/28

80

88

TOTAL FANNIE MAE

108,826

Freddie Mac - 0.5%

2.275% 3/1/35 (h)

362

371

2.424% 3/1/37 (h)

1,297

1,329

2.662% 12/1/33 (h)

1,161

1,204

2.733% 6/1/33 (h)

574

592

2.996% 5/1/35 (h)

1,164

1,208

3.305% 1/1/35 (h)

1,507

1,570

3.366% 1/1/36 (h)

1,520

1,580

3.395% 7/1/35 (h)

638

661

3.542% 10/1/35 (h)

733

757

3.625% 4/1/37 (h)

222

231

3.768% 3/1/37 (h)

235

243

3.95% 10/1/36 (h)

766

798

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s) (c)

Value (000s)

Freddie Mac - continued

3.981% 12/1/36 (h)

$ 3,181

$ 3,314

4.201% 4/1/34 (h)

5,555

5,751

4.5% 8/1/33

564

572

4.782% 2/1/36 (h)

151

158

4.915% 5/1/37 (h)

200

207

4.988% 4/1/35 (h)

1,622

1,697

5.098% 7/1/35 (h)

386

400

5.138% 4/1/35 (h)

57

60

5.269% 2/1/36 (h)

40

42

5.297% 9/1/35 (h)

321

333

5.521% 1/1/36 (h)

496

519

5.586% 3/1/36 (h)

2,205

2,302

5.588% 10/1/35 (h)

109

115

5.632% 1/1/36 (h)

147

152

5.703% 5/1/37 (h)

1,981

2,034

5.705% 5/1/37 (h)

230

234

5.748% 5/1/37 (h)

1,239

1,276

5.828% 1/1/37 (h)

925

968

5.829% 6/1/37 (h)

594

613

6.191% 6/1/37 (h)

197

205

6.255% 7/1/36 (h)

289

304

6.396% 8/1/37 (h)

483

511

6.478% 6/1/37 (h)

65

69

6.488% 2/1/37 (h)

174

184

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

4,528

4,877

7.518% 4/1/37 (h)

9

9

8.5% 3/1/20

6

6

TOTAL FREDDIE MAC

37,456

Government National Mortgage Association - 0.8%

5.5% 1/20/60 (l)

10,787

11,808

5.5% 1/20/60 (l)

11,703

12,720

5.5% 3/1/60 (l)

18,600

20,310

5.5% 4/1/60

10,000

10,946

5.691% 10/20/59 (l)

12,965

14,037

6.5% 4/15/26 to 5/15/26

31

35

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

55

61

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

103

113

8% 9/15/26 to 12/15/26

10

12

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

70,042

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $213,112)

216,324

Asset-Backed Securities - 0.2%

 

Principal Amount (000s) (c)

Value (000s)

Amstel Corp. Loan Offering BV Series 2007-1 Class B, 0.907% 3/25/17 (h)

EUR

1,009

$ 1,036

Auto ABS Compartiment Series 2006-1 Class B, 0.922% 7/25/17 (h)

EUR

500

637

Clock Finance BV Series 2007-1:

Class B2, 0.881% 2/25/15 (h)

EUR

700

804

Class C2, 1.061% 2/25/15 (h)

EUR

400

405

Geldilux Ltd. Series 2007-TS Class C, 1.194% 9/8/14 (h)

EUR

400

414

Lambda Finance BV Series 2007-1X Class A2, 0.803% 9/20/31 (h)

EUR

3,170

4,120

Leek Finance PLC:

Series 17X Class A2A, 0.7431% 12/21/37 (h)

GBP

186

269

Series 18X Class BC, 1.043% 9/21/38 (h)

EUR

600

334

Promise K 2006-1 GmbH Series I 2006-1 Class D, 1.322% 3/10/17 (h)

EUR

1,000

294

Tesco Property Finance 2 PLC 6.0517% 10/13/39

GBP

3,550

5,658

Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27

GBP

60

74

Whinstone Capital Management Ltd. Series 2005-1X Class B1, 1.5156% 10/25/45 (h)

GBP

526

199

TOTAL ASSET-BACKED SECURITIES

(Cost $17,798)

14,244

Collateralized Mortgage Obligations - 0.6%

 

Private Sponsor - 0.1%

Arkle Master Issuer PLC floater Series 2006-1X Class 5M1, 0.931% 2/17/52 (h)

EUR

800

1,002

Granite Master Issuer PLC:

Series 2005-1 Class A5, 0.582% 12/20/54 (h)

EUR

555

689

Series 2005-4 Class A5, 0.502% 12/20/54 (h)

EUR

453

563

Granite Mortgages PLC 0.9675% 3/20/44 (h)

GBP

305

425

RMAC PLC Series 2005-NS4X Class M2A, 1.1356% 12/12/43 (h)

GBP

1,443

646

RMAC Securities PLC 2006 floater Series 2006-NS4X Class M1A, 0.8756% 6/12/44 (h)

GBP

1,250

586

Shield BV Series 1 Class C, 1.067% 1/20/14 (h)

EUR

900

1,140

TOTAL PRIVATE SPONSOR

5,051

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s) (c)

Value (000s)

U.S. Government Agency - 0.5%

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

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

$ 136

$ 146

Series 2003-113 Class PE, 4% 11/25/18

1,515

1,575

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

890

913

Series 2003-85 Class GD, 4.5% 9/25/18

3,190

3,377

Series 2004-80 Class LD, 4% 1/25/19

1,980

2,068

Series 2004-81 Class KD, 4.5% 7/25/18

3,035

3,231

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

1,927

2,081

sequential payer:

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

471

505

Series 2004-95 Class AN, 5.5% 1/25/25

1,495

1,603

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

808

769

Series 2005-29 Class KA, 4.5% 2/25/35

2,082

2,167

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

2,480

2,721

Freddie Mac planned amortization class:

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

265

284

Series 2115 Class PE, 6% 1/15/14

80

85

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2577 Class FW, 0.73% 1/15/30 (h)

1,532

1,532

Series 2630 Class FL, 0.73% 6/15/18 (h)

104

105

planned amortization class:

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

523

561

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

371

400

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

658

713

Series 2628 Class OE, 4.5% 6/15/18

1,630

1,734

Series 2695 Class DG, 4% 10/15/18

3,865

4,013

Series 2831 Class PB, 5% 7/15/19

3,990

4,256

Series 2866 Class XE, 4% 12/15/18

5,780

6,047

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

603

648

sequential payer:

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

702

766

Series 2570 Class CU, 4.5% 7/15/17

160

166

Series 2572 Class HK, 4% 2/15/17

194

198

Series 2627:

Class BG, 3.25% 6/15/17

116

119

Class KP, 2.87% 12/15/16

101

103

Series 2860 Class CP, 4% 10/15/17

155

158

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s) (c)

Value (000s)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

sequential payer:

Series 2715 Class NG, 4.5% 12/15/18

$ 2,155

$ 2,283

Series 2863 Class DB, 4% 9/15/14

185

190

TOTAL U.S. GOVERNMENT AGENCY

45,517

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $51,178)

50,568

Commercial Mortgage Securities - 0.1%

 

Bruntwood Alpha PLC Series 2007-1 Class A, 0.7681% 1/15/17 (h)

GBP

500

607

Canary Wharf Finance II PLC Series 3MUK Class C2, 1.145% 10/22/37 (h)

GBP

1,000

759

Enterprise Inns PLC 6.5% 12/6/18

GBP

2,525

3,298

European Property Capital 4 PLC Class C, 0.8588% 7/20/14 (h)

GBP

297

278

FCC Proudreed Properties Class A, 0.893% 8/18/17 (h)

EUR

520

593

German Residential Asset Note Distributor PLC Series 1 Class A, 0.917% 7/20/16 (h)

EUR

1,259

1,491

London & Regional Debt Securitisation No. 1 PLC Class A, 0.82% 10/15/14 (h)

GBP

650

816

Opera Finance (CMH) PLC Class B, 0.984% 1/15/15 (h)

EUR

800

594

Real Estate Capital Foundation Ltd. Series 3 Class A, 0.81% 7/15/16 (h)

GBP

1,388

1,754

REC Plantation Place Ltd. Series 5 Class A, 0.8456% 7/25/16 (h)

GBP

878

1,092

Silver Maple Investment Co. Ltd. Class 2A, 0.825% 4/30/14 (h)

EUR

700

885

Skyline BV Series 2007-1 Class D, 1.484% 7/22/43 (h)

EUR

1,100

764

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $17,103)

12,931

Foreign Government and Government Agency Obligations - 22.0%

 

Argentine Republic:

discount (with partial capitalization through 12/31/13) 8.28% 12/31/33

11,097

8,322

par 2.5% 12/31/38 (e)

7,920

2,843

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (000s) (c)

Value (000s)

Argentine Republic: - continued

7% 3/28/11

$ 120,355

$ 117,784

7% 9/12/13

84,125

74,916

Bahamian Republic 6.95% 11/20/29 (f)

3,095

3,095

Banco Central del Uruguay:

value recovery A rights 1/2/21 (k)

1,000,000

0*

value recovery B rights 1/2/21 (k)

750,000

0*

Barbados Government 7.25% 12/15/21 (f)

3,491

3,578

Brazilian Federative Republic:

6% 9/15/13

992

1,029

8.25% 1/20/34

2,095

2,666

8.75% 2/4/25

2,960

3,907

12.25% 3/6/30

3,235

5,629

Canadian Government:

1.25% 12/1/11

CAD

156,550

153,379

3.75% 6/1/19

CAD

17,500

17,475

5% 6/1/37

CAD

34,000

38,587

Cayman Island Government 5.95% 11/24/19 (f)

2,955

2,893

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

2,750

448

Colombian Republic:

7.375% 9/18/37

5,300

5,949

10.375% 1/28/33

2,220

3,186

11.75% 2/25/20

2,235

3,280

Congo Republic 3% 6/30/29 (e)

11,291

6,492

Croatia Republic 6.75% 11/5/19 (f)

4,285

4,691

Democratic Socialist Republic of Sri Lanka:

7.4% 1/22/15 (f)

1,550

1,612

8.25% 10/24/12 (f)

5,465

5,868

Dominican Republic:

1.2888% 8/30/24 (h)

4,983

3,986

9.04% 1/23/18 (f)

6,252

6,877

9.5% 9/27/11 (Reg. S)

5,787

6,048

Dutch Government:

3.25% 7/15/15

EUR

9,600

13,526

3.5% 7/15/20

EUR

5,250

7,197

Ecuador Republic 5% 2/28/25

1,580

948

El Salvador Republic:

7.375% 12/1/19 (f)

1,865

2,033

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

3,285

3,457

7.75% 1/24/23 (Reg. S)

1,900

2,100

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

1,435

1,586

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (000s) (c)

Value (000s)

French Republic:

OAT 3.5% 4/25/20

EUR

49,350

$ 67,097

4% 4/25/60

EUR

14,250

19,144

Gabonese Republic 8.2% 12/12/17 (f)

7,100

7,792

Georgia Republic 7.5% 4/15/13

5,810

6,057

German Federal Republic:

1% 3/16/12

EUR

79,750

107,788

3.25% 1/4/20

EUR

73,000

99,856

3.75% 1/4/15

EUR

39,950

57,971

4.75% 7/4/40

EUR

18,550

29,158

Ghana Republic 8.5% 10/4/17 (f)

7,730

8,542

Hungarian Republic 6.25% 1/29/20

2,970

3,148

Indonesian Republic:

5.875% 3/13/20 (f)

6,140

6,355

6.625% 2/17/37 (f)

4,700

4,794

6.875% 3/9/17 (f)

2,845

3,165

6.875% 1/17/18 (f)

5,735

6,366

7.75% 1/17/38 (f)

6,060

7,014

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

4,790

5,952

11.625% 3/4/19 (f)

5,545

7,957

Islamic Republic of Pakistan 7.125% 3/31/16 (f)

12,840

12,134

Italian Republic:

3.5% 6/1/14

EUR

4,400

6,211

4% 9/1/20

EUR

30,800

41,832

4.25% 8/1/13

EUR

15,750

22,816

5% 9/1/40

EUR

31,350

43,976

Japan Government:

0.4% 5/15/11

JPY

7,848,200

84,173

0.6% 9/20/14

JPY

1,775,000

19,074

1.3% 12/20/19

JPY

3,350,000

35,674

2.1% 9/20/29

JPY

1,500,000

15,915

2.2% 9/20/39

JPY

2,115,000

22,101

Lithuanian Republic:

6.75% 1/15/15 (f)

4,515

4,921

7.375% 2/11/20 (f)

2,855

3,112

Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (f)

2,160

2,516

Peruvian Republic:

3% 3/7/27 (e)

900

745

7.35% 7/21/25

3,960

4,604

Philippine Republic:

6.5% 1/20/20

2,960

3,186

9.5% 2/2/30

2,140

2,857

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (000s) (c)

Value (000s)

Philippine Republic: - continued

10.625% 3/16/25

$ 2,040

$ 2,922

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

9,225

7,472

Republic of Serbia 6.75% 11/1/24 (f)

18,750

18,656

Russian Federation:

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

68,609

78,986

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

8,740

15,492

South African Republic 5.5% 3/9/20

2,835

2,856

Turkish Republic:

5.625% 3/30/21

3,170

3,115

6.75% 4/3/18

5,860

6,395

6.75% 5/30/40

4,395

4,329

6.875% 3/17/36

12,320

12,419

7% 9/26/16

5,240

5,823

7.25% 3/5/38

8,050

8,444

7.375% 2/5/25

13,955

15,532

UK Treasury GILT:

4.5% 3/7/13

GBP

1,800

2,945

4.5% 9/7/34

GBP

31,300

47,418

4.75% 3/7/20

GBP

71,000

114,460

Ukraine Cabinet of Ministers 6.875% 3/4/11 (Reg. S)

20,765

20,843

Ukraine Government:

6.385% 6/26/12 (f)

5,990

5,945

6.75% 11/14/17 (f)

6,125

5,842

United Mexican States:

5.125% 1/15/20

3,170

3,202

7.5% 4/8/33

1,770

2,106

8.3% 8/15/31

1,710

2,197

Uruguay Republic:

Inflation-Indexed Bond 5% 9/14/18

UYU

40,238

2,140

6.875% 9/28/25

1,675

1,813

8% 11/18/22

7,512

8,939

Venezuelan Republic:

oil recovery rights 4/15/20 (k)

3,260

88

1.2489% 4/20/11 (Reg. S) (h)

36,105

33,668

5.375% 8/7/10 (Reg. S)

14,787

14,713

7% 3/31/38

4,180

2,477

8.5% 10/8/14

5,905

5,152

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

19,295

14,327

9.25% 9/15/27

14,690

11,495

9.375% 1/13/34

4,855

3,568

10.75% 9/19/13

24,568

23,954

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (000s) (c)

Value (000s)

Venezuelan Republic: - continued

13.625% 8/15/18

$ 16,830

$ 16,956

Vietnamese Socialist Republic:

4% 3/12/28 (e)

11,150

9,115

6.75% 1/29/20 (f)

6,185

6,309

6.875% 1/15/16 (f)

2,565

2,732

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,758,731)

1,834,235

Supranational Obligations - 0.1%

 

Eurasian Development Bank 7.375% 9/29/14 (f)

5,595

6,001

European Investment Bank 11.25% 12/2/11 (f)

ZMK

7,800,000

1,826

TOTAL SUPRANATIONAL OBLIGATIONS

(Cost $7,373)

7,827

Common Stocks - 0.8%

Shares

 

CONSUMER DISCRETIONARY - 0.1%

Auto Components - 0.0%

Intermet Corp. (a)(m)

113,725

0

Remy International, Inc. (a)

40,800

561

 

561

Media - 0.1%

Charter Communications, Inc. Class A (a)

102,806

3,547

RDA Holding Co. (a)

262,974

7,100

SuperMedia, Inc. (a)

7,045

288

Virgin Media, Inc. warrants 1/10/11 (a)

6

0

 

10,935

TOTAL CONSUMER DISCRETIONARY

11,496

FINANCIALS - 0.3%

Diversified Financial Services - 0.3%

CIT Group, Inc. (a)

159,548

6,216

HMH Holdings, Inc. (a)(m)

2,590,144

18,131

HMH Holdings, Inc. warrants 3/9/17 (a)

636,272

636

 

24,983

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - 0.3%

Airlines - 0.2%

Delta Air Lines, Inc. (a)

811,153

$ 11,835

Building Products - 0.1%

Nortek, Inc. (a)

266,722

10,669

Nortek, Inc. warrants 12/7/14 (a)

7,154

9

 

10,678

Marine - 0.0%

US Shipping Partners Corp. (a)

12,063

0

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

112,939

0

TOTAL INDUSTRIALS

22,513

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

ASAT Holdings Ltd. warrants 2/1/11 (a)(m)

546,000

0

MagnaChip Semiconductor LLC (a)

392,246

55

 

55

MATERIALS - 0.1%

Chemicals - 0.1%

Celanese Corp. Class A

8,316

265

Georgia Gulf Corp. (a)

591,147

10,657

 

10,922

Containers & Packaging - 0.0%

Constar International, Inc. (a)

25,200

403

TOTAL MATERIALS

11,325

UTILITIES - 0.0%

Electric Utilities - 0.0%

Portland General Electric Co.

7,275

140

TOTAL COMMON STOCKS

(Cost $94,021)

70,512

Nonconvertible Preferred Stocks - 0.2%

 

 

 

 

FINANCIALS - 0.2%

Diversified Financial Services - 0.2%

GMAC, Inc. 7.00% (f)

21,976

17,086

Nonconvertible Preferred Stocks - continued

Shares

Value (000s)

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

PTV, Inc. Series A, 10.00% (a)

119

$ 0*

TOTAL NONCONVERTIBLE PREFERRED STOCKS

(Cost $11,554)

17,086

Floating Rate Loans - 6.6%

 

Principal Amount (000s) (c)

 

CONSUMER DISCRETIONARY - 2.1%

Auto Components - 0.3%

Visteon Corp. term loan 4.426% 6/13/13 (b)(h)

$ 20,095

21,803

Automobiles - 0.3%

AM General LLC:

Credit-Linked Deposit 3.2462% 9/30/12 (h)

37

35

Tranche B, term loan 3.2602% 9/30/13 (h)

754

701

Ford Motor Co. term loan 3.2584% 12/15/13 (h)

21,436

20,686

 

21,422

Diversified Consumer Services - 0.2%

ServiceMaster Co.:

term loan 2.7442% 7/24/14 (h)

6,315

6,000

Tranche DD, term loan 2.75% 7/24/14 (h)

650

618

Thomson Learning Tranche B, term loan 2.79% 7/5/14 (h)

12,803

11,330

 

17,948

Hotels, Restaurants & Leisure - 0.2%

Green Valley Ranch Gaming LLC Tranche 1LN, term loan 2.2496% 2/16/14 (h)

140

106

Las Vegas Sands LLC:

term loan 2.05% 5/23/14 (h)

145

131

Tranche B, term loan 2.05% 5/23/14 (h)

719

650

OSI Restaurant Partners, Inc.:

Credit-Linked Deposit 2.9654% 6/14/13 (h)

41

37

term loan 2.7243% 6/14/14 (h)

446

409

Six Flags, Inc. Tranche B, term loan 2.48% 4/30/15 (h)

15,393

15,316

 

16,649

Media - 0.7%

Charter Communications Operating LLC Tranche B 1LN, term loan 2.3049% 3/6/14 (h)

18,648

17,949

Floating Rate Loans - continued

 

Principal Amount (000s) (c)

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Education Media and Publishing Group Ltd. Tranche 1LN, term loan 5.4781% 6/12/14 (h)

$ 25,308

$ 24,169

Idearc, Inc. term loan 10.25% 12/31/15 (h)

1,519

1,428

Univision Communications, Inc. Tranche 1LN, term loan 2.5401% 9/29/14 (h)

21,200

18,921

 

62,467

Specialty Retail - 0.4%

Burlington Coat Factory Warehouse Corp. term loan 2.4998% 5/28/13 (h)

6,726

6,390

Michaels Stores, Inc.:

Tranche B1, term loan 2.5368% 10/31/13 (h)

9,277

8,813

Tranche B2, term loan 4.7868% 7/31/16 (h)

21,789

21,245

 

36,448

Textiles, Apparel & Luxury Goods - 0.0%

Levi Strauss & Co. term loan 2.4961% 4/4/14 (h)

1,580

1,462

TOTAL CONSUMER DISCRETIONARY

178,199

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Coffeyville Resources LLC Tranche D, term loan 8.4662% 12/28/13 (h)

1,607

1,615

Venoco, Inc. Tranche 2LN, term loan 4.25% 5/7/14 (h)

405

385

 

2,000

FINANCIALS - 0.8%

Diversified Financial Services - 0.3%

CIT Group, Inc.:

term loan 13% 1/20/12 (h)

2,156

2,236

Tranche A, term loan 9.5% 1/20/12 (h)

10,539

10,776

Clear Channel Capital I LLC Tranche B, term loan 3.8979% 1/29/16 (h)

14,588

11,816

MGM Holdings II, Inc. Tranche B, term loan 20.5% 4/8/12 (b)(h)

2,223

1,056

 

25,884

Real Estate Management & Development - 0.5%

Realogy Corp.:

Credit-Linked Deposit 3.231% 10/10/13 (h)

1,982

1,749

Tranche 2LN, term loan 13.5% 10/15/17

12,670

14,000

Floating Rate Loans - continued

 

Principal Amount (000s) (c)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

Realogy Corp.: - continued

Tranche B, term loan 3.2507% 10/10/13 (h)

$ 7,361

$ 6,496

Tranche DD, term loan 3.2501% 10/10/13 (h)

19,551

17,303

 

39,548

TOTAL FINANCIALS

65,432

HEALTH CARE - 0.0%

Pharmaceuticals - 0.0%

PTS Acquisition Corp. term loan 2.4962% 4/10/14 (h)

2,049

1,921

INDUSTRIALS - 0.8%

Aerospace & Defense - 0.0%

DeCrane Aircraft Holdings, Inc.:

Tranche 1LN, term loan 6.0022% 2/21/13 (h)

83

73

Tranche 2LN, term loan 10.2522% 2/21/14 (h)

140

105

Wesco Aircraft Hardware Corp. Tranche 2LN, term loan 6% 3/28/14 (h)

70

68

 

246

Airlines - 0.4%

Delta Air Lines, Inc.:

Tranche 1LN, term loan 8.75% 9/27/13 (h)

468

473

Tranche 2LN, term loan 3.5013% 4/30/14 (h)

10,239

9,317

Northwest Airlines Corp. Tranche A, term loan 2.05% 12/31/18 (h)

10,440

8,352

United Air Lines, Inc. Tranche B, term loan 2.25% 2/1/14 (h)

12,436

10,850

US Airways Group, Inc. term loan 2.7451% 3/23/14 (h)

8,777

7,175

 

36,167

Commercial Services & Supplies - 0.1%

Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 6.275% 2/7/15 (h)

650

585

International Lease Finance Corp.:

Tranche 1LN, term loan 6.8558% 3/17/15 (h)

5,740

5,877

Tranche 2LN, term loan 7% 3/17/16 (h)

4,210

4,263

 

10,725

Industrial Conglomerates - 0.0%

Sequa Corp. term loan 3.8653% 12/3/14 (h)

3,462

3,220

Floating Rate Loans - continued

 

Principal Amount (000s) (c)

Value (000s)

INDUSTRIALS - continued

Machinery - 0.1%

Chart Industries, Inc. Tranche B, term loan 2.25% 10/17/12 (h)

$ 53

$ 53

Dresser, Inc. Tranche 2LN, term loan 6% 5/4/15 pay-in-kind (h)

4,050

3,827

 

3,880

Road & Rail - 0.2%

Swift Transportation Co., Inc. term loan 8.25% 5/10/14 (h)

14,994

14,413

Trading Companies & Distributors - 0.0%

Neff Corp. Tranche 2LN, term loan 3.7844% 11/30/14 (b)(h)

810

89

TOTAL INDUSTRIALS

68,740

INFORMATION TECHNOLOGY - 0.8%

Electronic Equipment & Components - 0.2%

Flextronics International Ltd.:

Tranche B A1, term loan 2.5013% 10/1/14 (h)

1,473

1,413

Tranche B A2, term loan 2.5401% 10/1/14 (h)

2,537

2,432

Tranche B A3, term loan 2.4979% 10/1/14 (h)

2,960

2,838

Tranche B-A, term loan 2.4904% 10/1/14 (h)

5,127

4,916

Tranche B-B, term loan 2.5006% 10/1/12 (h)

3,298

3,232

 

14,831

Semiconductors & Semiconductor Equipment - 0.4%

Freescale Semiconductor, Inc. term loan:

4.4788% 12/1/16 (h)

22,169

20,894

12.5% 12/15/14

4,685

4,860

Spansion, Inc. term loan 7.75% 2/1/15 (h)

11,660

11,777

 

37,531

Software - 0.2%

Kronos, Inc.:

Tranche 1LN, term loan 2.2901% 6/11/14 (h)

11,804

11,214

Tranche 2LN, term loan 6.0401% 6/11/15 (h)

1,790

1,687

Open Solutions, Inc. term loan 2.375% 1/23/14 (h)

233

208

 

13,109

TOTAL INFORMATION TECHNOLOGY

65,471

Floating Rate Loans - continued

 

Principal Amount (000s) (c)

Value (000s)

MATERIALS - 0.8%

Chemicals - 0.5%

Chemtura Corp. term loan 6% 2/1/11 (h)

$ 1,335

$ 1,342

Lyondell Chemical Co. term loan:

5.8067% 12/20/13 (h)

17,069

13,357

8.6678% 6/3/10 (h)(o)

8,635

8,916

Momentive Performance Materials, Inc. Tranche B1, term loan 2.5% 12/4/13 (h)

15,046

14,180

Tronox Worldwide LLC:

Tranche B 1LN, term loan 9% 6/20/10 (h)

1,281

1,311

Tranche B 2LN, term loan 9% 6/20/10 (h)

344

352

 

39,458

Containers & Packaging - 0.3%

Berry Plastics Holding Corp. Tranche C, term loan 2.257% 4/3/15 (h)

17,006

16,029

Smurfit-Stone Container Enterprises, Inc. term loan 2.8997% 11/11/11 (h)

5,762

5,719

 

21,748

Metals & Mining - 0.0%

Aleris International, Inc.:

Tranche 1LN, term loan 13% 5/13/10 (h)(o)

1,162

1,180

Tranche B 1LN, term loan:

4.25% 12/19/13 (b)(h)

633

6

12.5% 12/19/13 (h)

1,413

692

Tranche C 1LN, term loan 4.25% 12/19/13 (h)

879

501

 

2,379

Paper & Forest Products - 0.0%

White Birch Paper Co. Tranche 1LN, term loan 7% 5/8/14 (h)

1,487

595

TOTAL MATERIALS

64,180

TELECOMMUNICATION SERVICES - 0.3%

Diversified Telecommunication Services - 0.1%

Wind Telecomunicazioni SpA:

Tranche 2LN, term loan 7.6577% 3/21/15 (h)

2,840

2,826

Tranche B 1LN, term loan 3.6577% 5/26/13 (h)

1,280

1,245

Tranche C 1LN, term loan 4.6577% 5/26/14 (h)

1,280

1,245

 

5,316

Floating Rate Loans - continued

 

Principal Amount (000s) (c)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - 0.2%

Digicel International Finance Ltd. term loan 2.8125% 3/30/12 (h)

$ 1,272

$ 1,247

Intelsat Jackson Holdings Ltd. term loan 3.2281% 2/1/14 (h)

17,225

16,019

 

17,266

TOTAL TELECOMMUNICATION SERVICES

22,582

UTILITIES - 1.0%

Electric Utilities - 1.0%

Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc.:

Tranche B1, term loan 3.7295% 10/10/14 (h)

30,983

25,367

Tranche B2, term loan 3.7295% 10/10/14 (h)

32,754

26,859

Tranche B3, term loan 3.7295% 10/10/14 (h)

35,502

28,934

 

81,160

TOTAL FLOATING RATE LOANS

(Cost $461,315)

549,685

Sovereign Loan Participations - 0.1%

 

Indonesian Republic loan participation - Citibank 1.1875% 12/14/19 (h)
(Cost $5,185)

7,048

6,167

Fixed-Income Funds - 3.4%

Shares

 

Fidelity Floating Rate Central Fund (i)
(Cost $222,459)

2,938,290

283,633

Preferred Securities - 0.6%

Principal Amount (000s) (c)

 

CONSUMER DISCRETIONARY - 0.4%

Media - 0.4%

Globo Comunicacoes e Participacoes SA 9.375%

$ 17,540

18,123

Net Servicos de Comunicacao SA 9.25% (f)

13,150

13,423

 

31,546

Preferred Securities - continued

Principal Amount (000s) (c)

Value (000s)

ENERGY - 0.2%

Oil, Gas & Consumable Fuels - 0.2%

Pemex Project Funding Master Trust 7.75%

16,650

$ 16,660

TOTAL PREFERRED SECURITIES

(Cost $46,812)

48,206

Other - 0.0%

 

 

Other - 0.0%

Delta Air Lines ALPA Claim (a)(h)

8,380

42

Idearc, Inc. Claim (a)

1,675

0*

TOTAL OTHER

(Cost $63)

42

Money Market Funds - 3.8%

Shares

 

Fidelity Cash Central Fund, 0.19% (j)
(Cost $319,679)

319,678,656

319,679

TOTAL INVESTMENT PORTFOLIO - 100.0%

(Cost $7,913,876)

8,344,133

NET OTHER ASSETS - 0.0%

(4,215)

NET ASSETS - 100%

$ 8,339,918

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Interest Rate Swaps

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 4.73% with Credit Suisse First Boston

April 2038

$ 6,000

$ (354)

 

 

$ 6,000

$ (354)

Currency Abbreviations

CAD - Canadian dollar

EUR - European Monetary Unit

GBP - British pound

JPY - Japanese yen

RUB - Russian ruble

UYU - Uruguay peso

ZMK - Zambian kwacha

Legend

(a) Non-income producing

(b) Non-income producing - Issuer is in default.

(c) Principal amount is stated in United States dollars unless otherwise noted.

(d) 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.

(e) 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.

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,100,774,000 or 13.2% of net assets.

(g) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $202,756,000 or 2.4% of net assets.

(h) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

(i) Affiliated fund that is 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 web site 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 web site or upon request.

(j) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request.

(k) Quantity represents share amount.

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

(m) 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 $18,131,000 or 0.2% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

ASAT Holdings Ltd. warrants 2/1/11

11/15/07

$ 0

HMH Holdings, Inc.

5/2/08 - 3/9/10

$ 41,642

Intermet Corp.

1/7/05 - 1/13/05

$ 2,153

(n) Security is linked to the Dow Jones-UBS Commodity Total Return Index. Securities do not guarantee any return of principal at maturity but instead, will pay at maturity or upon exchange, an amount based on the closing value of the Dow Jones-UBS Commodity Total Return Index. Although these instruments are primarily debt obligations, they indirectly provide exposure to changes in the value of the underlying commodities. Holders of the security have the right to exchange these notes at any time.

(o) Position, or a portion of the position, represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $3,484,000 and $3,587,000, respectively. The coupon rate will be determined at time of settlement.

* 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

$ 150

Fidelity Floating Rate Central Fund

2,581

Total

$ 2,731

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

$ 366,878

$ 22,010

$ 116,003

$ 283,633

10.3%

Total

$ 366,878

$ 22,010

$ 116,003

$ 283,633

Other Information

The following is a summary of the inputs used, as of March 31, 2010, involving the Fund's assets and liabilities carried at 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 Security Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 11,496

$ 4,396

$ 7,100

$ -

Financials

42,069

6,216

35,853

-

Industrials

22,513

11,835

10,678

-

Information Technology

55

-

-

55

Materials

11,325

668

-

10,657

Telecommunication Services

-

-

-

-

Utilities

140

140

-

-

Corporate Bonds

2,947,672

-

2,942,249

5,423

U.S. Government and Government Agency Obligations

1,965,322

-

1,965,322

-

U.S. Government Agency - Mortgage Securities

216,324

-

216,324

-

Asset-Backed Securities

14,244

-

7,680

6,564

Collateralized Mortgage Obligations

50,568

-

50,568

-

Commercial Mortgage Securities

12,931

-

9,431

3,500

Foreign Government and Government Agency Obligations

1,834,235

-

1,834,235

-

Supranational Obligations

7,827

-

7,827

-

Floating Rate Loans

549,685

-

549,685

-

Sovereign Loan Participations

6,167

-

6,167

-

Fixed-Income Funds

283,633

283,633

-

-

Preferred Securities

48,206

-

48,206

-

Other

42

-

-

42

Money Market Funds

319,679

319,679

-

-

Total Investments in Securities:

$ 8,344,133

$ 626,567

$ 7,691,325

$ 26,241

Derivative Instruments:

Liabilities

Swap Agreements

$ (354)

$ -

$ (354)

$ -

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

Investments in Securities:
(Amounts in thousands)

Beginning Balance

$ 12,556

Total Realized Gain (Loss)

41

Total Unrealized Gain (Loss)

650

Cost of Purchases

3,217

Proceeds of Sales

(562)

Amortization/Accretion

17

Transfers in to Level 3

21,115

Transfers out of Level 3

(10,793)

Ending Balance

$ 26,241

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at March 31, 2010

$ 650

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 represents 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.

Income Tax Information

At March 31, 2010, the cost of investment securities for income tax purposes was $7,842,045,000. Net unrealized appreciation aggregated $502,088,000, of which $692,352,000 related to appreciated investment securities and $190,264,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security 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 value used for net asset value calculation under these procedures may differ from published prices for the same securities. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels. Level 1 - quoted prices in active markets for identical investments. Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.). Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows.

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, floating rate loans, foreign government and government agency obligations, preferred securities, supranational obligations, U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.

For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Dealers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value and are categorized as Level 2 in the hierarchy. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation) and, as a result, swaps are generally categorized as Level 2 in the hierarchy. Pricing services utilize matrix pricing which considers comparisons to 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 matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.

Quarterly Report

Item 2. 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 Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

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.

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/John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

June 1, 2010

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/John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

June 1, 2010

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

June 1, 2010