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)

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:

September 30, 2013

Item 1. Schedule of Investments

Quarterly Holdings Report

for

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

September 30, 2013 

1.808792.109

SI-QTLY-1113

Investments September 30, 2013 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 42.2%

 

Principal
Amount
(000s) (d)

Value (000s)

CONSUMER DISCRETIONARY - 6.1%

Auto Components - 0.7%

Affinia Group, Inc. 7.75% 5/1/21 (f)

$ 1,015

$ 1,040

Chassix, Inc. 9.25% 8/1/18 (f)

6,565

6,942

Cooper Standard Auto, Inc. 8.5% 5/1/18

1,775

1,890

Dana Holding Corp.:

5.375% 9/15/21

3,475

3,414

6% 9/15/23

3,475

3,449

6.5% 2/15/19

3,770

4,006

6.75% 2/15/21

1,400

1,488

Delphi Corp.:

5% 2/15/23

9,005

9,298

5.875% 5/15/19

5,365

5,694

6.125% 5/15/21

5,255

5,741

Exide Technologies 8.625% 2/1/18 (c)

2,135

1,548

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

5,245

5,402

Lear Corp. 4.75% 1/15/23 (f)

6,305

5,848

PT Gadjah Tunggal Tbk 7.75% 2/6/18 (f)

2,855

2,748

Schaeffler Holding Finance BV 6.875% 8/15/18 pay-in-kind (f)(k)

4,095

4,290

Stoneridge, Inc. 9.5% 10/15/17 (f)

2,330

2,499

Tenneco, Inc.:

6.875% 12/15/20

6,205

6,732

7.75% 8/15/18

1,545

1,661

 

73,690

Automobiles - 0.0%

Ford Motor Co. 7.45% 7/16/31

2,365

2,886

General Motors Corp.:

6.75% 5/1/28 (c)

10,670

0

7.125% 7/15/49 (c)

1,605

0

7.2% 1/15/11 (c)

4,015

0

7.4% 9/1/25 (c)

500

0

7.7% 4/15/16 (c)

7,804

0

8.25% 7/15/23 (c)

4,845

0

8.375% 7/15/33 (c)

7,015

0

 

2,886

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

CONSUMER DISCRETIONARY - continued

Distributors - 0.0%

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

$ 1,500

$ 1,476

LKQ Corp. 4.75% 5/15/23 (f)

1,090

1,011

 

2,487

Diversified Consumer Services - 0.2%

Laureate Education, Inc. 9.25% 9/1/19 (f)

18,715

20,212

Hotels, Restaurants & Leisure - 1.1%

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

BRL

16,080

7,074

Caesars Entertainment Operating Co., Inc. 8.5% 2/15/20

4,695

4,319

Chester Downs & Marina LLC 9.25% 2/1/20 (f)

1,520

1,531

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

1,445

1,496

FelCor Lodging LP 5.625% 3/1/23

4,185

3,908

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

10,505

11,556

Landry's Holdings II, Inc. 10.25% 1/1/18 (f)

4,740

4,965

MCE Finance Ltd. 5% 2/15/21 (f)

11,220

10,771

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

2,333

2,310

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

3,256

3,573

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

1,135

1,155

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

1,295

1,366

RHP Hotel Properties LP/RHP Finance Co. 5% 4/15/21 (f)

4,360

4,088

Seven Seas Cruises S de RL LLC 9.125% 5/15/19

670

730

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

7,515

7,158

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

584

117

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.:

4.25% 5/30/23 (f)

7,305

6,702

5.375% 3/15/22

14,400

14,472

7.75% 8/15/20

22,030

24,729

 

112,020

Household Durables - 0.8%

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

3,165

3,102

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

2,595

2,608

D.R. Horton, Inc. 4.375% 9/15/22

5,395

4,909

Jarden Corp. 6.125% 11/15/22

100

104

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

CONSUMER DISCRETIONARY - continued

Household Durables - continued

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

$ 6,915

$ 7,505

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

5.75% 10/15/20

24,830

24,923

6.875% 2/15/21

6,200

6,619

7.125% 4/15/19

4,910

5,217

8.25% 2/15/21

6,920

6,972

8.5% 5/15/18 (e)

445

465

9.875% 8/15/19

4,100

4,449

Standard Pacific Corp.:

8.375% 5/15/18

2,255

2,548

8.375% 1/15/21

4,340

4,883

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

2,010

2,100

Toll Brothers Finance Corp.:

4.375% 4/15/23

1,495

1,372

5.875% 2/15/22

5,175

5,291

 

83,067

Internet & Catalog Retail - 0.0%

Netflix, Inc. 5.375% 2/1/21 (f)

4,010

3,980

Leisure Equipment & Products - 0.0%

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

1,505

1,595

Media - 2.6%

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

3,080

2,880

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.125% 2/15/23

6,575

6,033

5.25% 3/15/21 (f)

4,975

4,776

5.25% 9/30/22

7,240

6,697

5.75% 9/1/23 (f)

3,940

3,733

6.5% 4/30/21

10,200

10,353

6.625% 1/31/22

8,220

8,343

7.375% 6/1/20

5,685

6,140

8.125% 4/30/20

6,955

7,564

Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (f)

6,305

6,431

Checkout Holding Corp. 0% 11/15/15 (f)

3,225

2,649

Cinemark U.S.A., Inc.:

4.875% 6/1/23

4,875

4,485

5.125% 12/15/22

1,470

1,378

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Clear Channel Communications, Inc.:

5.5% 9/15/14

$ 485

$ 474

14% 2/1/21 pay-in-kind (f)

5,081

4,150

Clear Channel Worldwide Holdings, Inc.:

6.5% 11/15/22

7,985

8,105

6.5% 11/15/22

21,590

22,022

DIRECTV Holdings LLC 2.75% 5/19/23

EUR

5,975

7,668

DISH DBS Corp.:

5% 3/15/23

21,765

20,187

5.125% 5/1/20

485

480

5.875% 7/15/22

24,820

24,448

6.75% 6/1/21

8,970

9,430

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

2,245

2,329

EchoStar Communications Corp. 7.125% 2/1/16

9,330

10,251

Liberty Media Corp. 8.5% 7/15/29

6,535

6,927

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 (f)

14,840

15,730

MDC Partners, Inc. 6.75% 4/1/20 (f)

3,930

3,979

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

7,660

7,220

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

1,495

1,458

Regal Entertainment Group:

5.75% 6/15/23

9,410

8,869

5.75% 2/1/25

1,425

1,315

Sheridan Group, Inc. 12.5% 4/15/14

2,986

2,986

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

4,940

4,693

Sirius XM Radio, Inc.:

4.25% 5/15/20 (f)

3,670

3,431

4.625% 5/15/23 (f)

2,450

2,236

5.25% 8/15/22 (f)

4,765

4,598

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

4,305

4,262

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

6,140

6,217

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

5,540

5,249

 

260,176

Specialty Retail - 0.3%

Asbury Automotive Group, Inc. 8.375% 11/15/20

1,455

1,604

CST Brands, Inc. 5% 5/1/23 (f)

1,320

1,244

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

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

$ 6,880

$ 7,052

Office Depot, Inc. 9.75% 3/15/19 (f)

3,255

3,808

Petco Holdings, Inc. 8.5% 10/15/17 pay-in-kind (f)

5,250

5,329

Sally Holdings LLC 6.875% 11/15/19

3,305

3,619

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

800

732

Spencer Spirit Holdings, Inc./Spencer Gifts LLC/Spirit Halloween Superstores 11% 5/1/17 (f)

2,770

2,950

 

26,338

Textiles, Apparel & Luxury Goods - 0.4%

Burlington Holdings LLC/Burlington Holding Finance, Inc. 9% 2/15/18 pay-in-kind (f)(k)

5,495

5,646

Hanesbrands, Inc. 6.375% 12/15/20

7,350

7,920

Levi Strauss & Co. 7.625% 5/15/20

9,350

10,075

Polymer Group, Inc. 7.75% 2/1/19

1,575

1,683

PVH Corp. 4.5% 12/15/22

10,925

10,324

SIWF Merger Sub, Inc./Springs Industries, Inc. 6.25% 6/1/21 (f)

1,475

1,446

 

37,094

TOTAL CONSUMER DISCRETIONARY

623,545

CONSUMER STAPLES - 1.4%

Food & Staples Retailing - 0.7%

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

8.625% 9/15/18 pay-in-kind (f)(k)

4,195

4,258

9.25% 2/15/19 (f)

8,755

9,674

ESAL GmbH 6.25% 2/5/23 (f)

10,175

8,979

Grifols, Inc. 8.25% 2/1/18

4,920

5,283

Hawk Acquisition Sub, Inc. 4.25% 10/15/20 (f)

9,880

9,423

Rite Aid Corp.:

6.75% 6/15/21 (f)

14,625

15,192

8% 8/15/20

4,380

4,895

9.25% 3/15/20

8,445

9,585

10.25% 10/15/19

1,835

2,064

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

1,465

1,531

Tops Markets LLC 8.875% 12/15/17 (f)

2,820

3,088

 

73,972

Food Products - 0.4%

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

5,220

4,985

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

CONSUMER STAPLES - continued

Food Products - continued

Dean Foods Co. 9.75% 12/15/18

$ 5,075

$ 5,747

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

13,115

14,164

Gruma S.A.B. de CV 7.75% (Reg. S) (g)

7,555

7,555

JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 8.25% 2/1/20 (f)

3,315

3,489

Kazagro National Management Holding JSC 4.625% 5/24/23 (f)

1,680

1,535

Michael Foods, Inc. 9.75% 7/15/18

1,885

2,062

Post Holdings, Inc.:

7.375% 2/15/22

1,055

1,109

7.375% 2/15/22 (f)

1,445

1,519

 

42,165

Household Products - 0.0%

Spectrum Brands Escrow Corp.:

6.375% 11/15/20 (f)

1,415

1,475

6.625% 11/15/22 (f)

1,675

1,738

 

3,213

Personal Products - 0.3%

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

1,560

1,669

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

1,235

1,121

NBTY, Inc. 9% 10/1/18

5,005

5,493

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

770

847

Revlon Consumer Products Corp. 5.75% 2/15/21 (f)

18,693

17,992

 

27,122

TOTAL CONSUMER STAPLES

146,472

ENERGY - 6.9%

Energy Equipment & Services - 0.6%

Atwood Oceanics, Inc. 6.5% 2/1/20

1,120

1,173

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

3,640

3,522

Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (e)

5,735

5,835

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

3,410

3,521

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

3,755

3,774

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

2,515

2,534

Offshore Group Investment Ltd. 7.125% 4/1/23

6,185

6,030

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

ENERGY - continued

Energy Equipment & Services - continued

Oil States International, Inc.:

5.125% 1/15/23 (f)

$ 3,665

$ 4,013

6.5% 6/1/19

3,855

4,086

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

9,695

10,422

Pioneer Drilling Co. 9.875% 3/15/18

3,410

3,683

Precision Drilling Corp. 6.5% 12/15/21

940

982

Pride International, Inc. 6.875% 8/15/20

3,150

3,754

Summit Midstream Holdings LLC 7.5% 7/1/21 (f)

2,035

2,101

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

1,615

1,704

Vier Gas Transport GmbH:

2.875% 6/12/25 (Reg. S)

EUR

2,700

3,636

3.125% 7/10/23

EUR

950

1,324

 

62,094

Oil, Gas & Consumable Fuels - 6.3%

Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23

7,005

6,585

Afren PLC 11.5% 2/1/16 (f)

2,775

3,170

Atlas Pipeline Escrow LLC 6.625% 10/1/20 (f)

3,615

3,687

Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.:

4.75% 11/15/21 (f)

3,175

2,869

6.625% 10/1/20 (f)

1,210

1,234

Berry Petroleum Co. 10.25% 6/1/14

2,220

2,342

Calumet Specialty Products Partners LP/Calumet Finance Corp.:

9.375% 5/1/19

3,750

4,115

9.625% 8/1/20

4,800

5,304

Carrizo Oil & Gas, Inc. 8.625% 10/15/18

9,835

10,720

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

1,845

2,076

Concho Resources, Inc.:

5.5% 4/1/23

13,120

12,956

6.5% 1/15/22

6,135

6,580

7% 1/15/21

2,855

3,126

Continental Resources, Inc.:

4.5% 4/15/23

7,475

7,335

5% 9/15/22

24,090

24,241

7.125% 4/1/21

2,540

2,838

8.25% 10/1/19

885

974

Crestwood Midstream Partners LP/Finance Corp. 7.75% 4/1/19

6,825

7,166

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Crosstex Energy L.P./Crosstex Energy Finance Corp. 8.875% 2/15/18

$ 4,920

$ 5,228

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

7,290

7,080

Denbury Resources, Inc. 8.25% 2/15/20

3,877

4,255

DTEK Finance BV 9.5% 4/28/15 (f)

521

514

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

5,125

5,125

Energy Partners Ltd. 8.25% 2/15/18

11,490

12,122

Energy Transfer Equity LP 7.5% 10/15/20

10,210

10,925

Energy XXI Gulf Coast, Inc. 9.25% 12/15/17

12,735

14,136

EXCO Resources, Inc. 7.5% 9/15/18

8,000

7,620

Forest Oil Corp. 7.5% 9/15/20

6,705

6,671

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

2,400

2,352

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

3,410

3,504

Goodrich Petroleum Corp. 8.875% 3/15/19

3,485

3,624

Halcon Resources Corp. 8.875% 5/15/21

4,140

4,244

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

3,765

3,925

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

4,875

5,021

Inergy Midstream LP/Inergy Finance Corp. 6% 12/15/20 (f)

6,670

6,620

IPIC GMTN Ltd. 3.625% 5/30/23

EUR

4,615

6,247

KazMunaiGaz Finance Sub BV:

6.375% 4/9/21 (f)

3,510

3,843

7% 5/5/20 (f)

3,500

3,955

9.125% 7/2/18 (f)

4,425

5,387

KazMunaiGaz National Co.:

4.4% 4/30/23 (f)

2,675

2,495

5.75% 4/30/43 (f)

3,905

3,430

Kodiak Oil & Gas Corp. 5.5% 1/15/21 (f)

2,030

1,994

Laredo Pete, Inc. 7.375% 5/1/22

5,910

6,265

Markwest Energy Partners LP/Markwest Energy Finance Corp.:

5.5% 2/15/23

2,325

2,331

6.25% 6/15/22

6,243

6,571

6.75% 11/1/20

1,880

2,030

Naftogaz of Ukraine NJSC 9.5% 9/30/14

6,750

6,244

Newfield Exploration Co.:

5.625% 7/1/24

5,200

5,031

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Newfield Exploration Co.: - continued

6.875% 2/1/20

$ 12,875

$ 13,519

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

2,245

2,245

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

7,324

7,763

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

7,090

7,090

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

9,325

9,651

Pemex Project Funding Master Trust:

6.625% 6/15/35

11,485

12,318

6.625% 6/15/38

465

492

8.625% 12/1/23

500

610

Petrobras Global Finance BV 2.4081% 1/15/19 (k)

4,585

4,493

Petrobras International Finance Co. Ltd.:

5.375% 1/27/21

5,230

5,254

6.875% 1/20/40

4,400

4,304

8.375% 12/10/18

4,735

5,652

Petroleos de Venezuela SA:

4.9% 10/28/14

17,655

16,613

5.375% 4/12/27

4,260

2,450

5.5% 4/12/37

2,650

1,471

8% 11/17/13

9,365

9,365

8.5% 11/2/17 (f)

46,300

41,948

9% 11/17/21 (Reg. S)

3,065

2,498

9.75% 5/17/35 (f)

9,815

7,459

12.75% 2/17/22 (f)

16,070

15,708

Petroleos Mexicanos:

3.5% 1/30/23

4,655

4,244

4.875% 1/24/22

3,930

4,014

4.875% 1/18/24

2,605

2,633

5.5% 1/21/21

4,960

5,327

5.5% 6/27/44

6,640

6,042

6% 3/5/20

2,990

3,293

6.5% 6/2/41

9,685

10,169

6.625% (f)(g)

17,028

17,198

8% 5/3/19

2,125

2,587

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

8,285

10,156

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

7,344

7,652

PT Pertamina Persero:

4.3% 5/20/23 (f)

2,930

2,505

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

PT Pertamina Persero: - continued

4.875% 5/3/22 (f)

$ 5,190

$ 4,697

5.25% 5/23/21 (f)

3,385

3,207

5.625% 5/20/43 (f)

3,130

2,441

6% 5/3/42 (f)

5,020

4,066

6.5% 5/27/41 (f)

5,130

4,463

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

5,955

5,553

QR Energy LP/QRE Finance Corp. 9.25% 8/1/20

4,060

4,162

Range Resources Corp.:

5% 8/15/22

6,060

5,863

5% 3/15/23

9,130

8,765

5.75% 6/1/21

2,030

2,132

Regency Energy Partners LP/Regency Energy Finance Corp. 6.875% 12/1/18

6,445

6,928

Rosetta Resources, Inc.:

5.625% 5/1/21

4,560

4,332

9.5% 4/15/18

3,565

3,841

Sabine Pass Liquefaction LLC 5.625% 4/15/23 (f)

7,375

7,071

SemGroup Corp. 7.5% 6/15/21 (f)

4,100

4,182

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

1,560

1,576

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

5.25% 5/1/23 (f)

1,300

1,274

6.375% 8/1/22

1,995

2,075

6.875% 2/1/21

2,785

2,973

Teekay Corp. 8.5% 1/15/20

3,695

3,954

Tennessee Gas Pipeline Co.:

7% 10/15/28

550

671

7.625% 4/1/37

1,035

1,344

8.375% 6/15/32

1,155

1,520

Tesoro Corp.:

4.25% 10/1/17

2,970

3,044

5.375% 10/1/22

3,340

3,190

Tesoro Logistics LP/Tesoro Logistics Finance Corp.:

5.875% 10/1/20

1,010

1,007

6.125% 10/15/21

2,735

2,749

Venoco, Inc. 8.875% 2/15/19

3,090

3,113

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

4,890

5,183

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

6,375

6,248

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Whiting Petroleum Corp.:

5% 3/15/19

$ 3,480

$ 3,489

5.75% 3/15/21

3,480

3,576

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

7,035

7,132

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

5,430

5,688

 

644,339

TOTAL ENERGY

706,433

FINANCIALS - 7.0%

Commercial Banks - 1.9%

Access Finance BV 7.25% 7/25/17 (f)

2,460

2,448

Akbank T.A.S. 7.5% 2/5/18 (f)

TRY

4,155

1,836

BBVA Paraguay SA 9.75% 2/11/16 (f)

4,580

4,809

CBOM Finance PLC 8.25% 8/5/14

2,440

2,525

CIT Group, Inc.:

5% 8/15/22

8,305

8,118

5.25% 3/15/18

8,005

8,385

5.375% 5/15/20

10,385

10,748

5.5% 2/15/19 (f)

35,510

37,286

Credit Commercial de France 1.875% 1/16/20

EUR

9,500

12,768

Development Bank of Kazakhstan JSC 4.125% 12/10/22 (f)

1,745

1,597

Development Bank of Philippines 8.375% (g)(k)

6,540

6,867

FBN Finance Co. BV 8.25% 8/7/20 (f)(k)

2,580

2,580

Finansbank A/S:

5.15% 11/1/17 (f)

9,055

8,512

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

2,790

2,734

Georgia Bank Joint Stock Co. 7.75% 7/5/17 (f)

6,095

6,461

HSBK (Europe) BV 7.25% 5/3/17 (f)

3,970

4,149

JSC Kazkommertsbank BV 8% 11/3/15 (f)

3,060

3,060

JSC Oschadbank 8.25% 3/10/16 (Issued by SSB #1 PLC for JSC Oschadbank)

950

789

Kazkommerts International BV 7.875% 4/7/14 (Reg. S)

3,460

3,487

Magyar Export-Import Bank 5.5% 2/12/18 (f)

2,860

2,878

RSHB Capital SA 6% 6/3/21 (f)(k)

2,155

2,125

Svenska Handelsbanken AB 2.25% 8/27/20 (Reg. S)

EUR

11,033

14,982

The State Export-Import Bank of Ukraine JSC 5.7928% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (e)

3,550

2,734

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications)

$ 10,285

$ 11,377

Vnesheconombank Via VEB Finance PLC:

6.025% 7/5/22 (f)

4,350

4,470

6.8% 11/22/25 (f)

4,640

4,884

6.902% 7/9/20 (f)

7,355

8,072

Wells Fargo & Co. 2.25% 9/3/20 (Reg. S)

EUR

9,450

12,813

 

193,494

Consumer Finance - 2.5%

Ally Financial, Inc.:

5.5% 2/15/17

7,530

7,902

7.5% 9/15/20

47,655

53,552

8% 3/15/20

39,660

45,609

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

27,890

31,028

GMAC LLC 8% 11/1/31

64,378

72,425

SLM Corp.:

5.5% 1/25/23

19,170

17,552

6% 1/25/17

9,240

9,794

7.25% 1/25/22

8,430

8,578

8% 3/25/20

7,185

7,760

 

254,200

Diversified Financial Services - 1.5%

Aquarius Investments Luxemburg 8.25% 2/18/16

5,805

6,095

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

5,915

5,941

Biz Finance PLC 8.375% 4/27/15 (Reg. S)

7,200

6,318

Canada Housing Trust No. 1 2.35% 9/15/23 (f)

CAD

20,350

18,605

Citigroup, Inc. 5.9% (g)(k)

13,975

13,137

General Motors Financial Co., Inc.:

3.25% 5/15/18 (f)

2,880

2,801

4.25% 5/15/23 (f)

2,520

2,303

6.75% 6/1/18

6,140

6,800

GTB Finance BV 7.5% 5/19/16 (f)

3,875

4,073

Hilcorp Energy I LP/Hilcorp Finance Co. 7.625% 4/15/21 (f)

4,195

4,489

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

6% 8/1/20 (f)

9,490

9,490

7.75% 1/15/16

6,865

7,088

8% 1/15/18

9,727

10,189

Indo Energy Finance BV 7% 5/7/18 (f)

6,410

6,186

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

FINANCIALS - continued

Diversified Financial Services - continued

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

$ 905

$ 955

Magnesita Finance Ltd. 8.625% (f)(g)

2,595

2,426

MPH Intermediate Holding Co. 2 8.375% 8/1/18 pay-in-kind (f)(k)

7,870

8,062

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

2,645

2,791

Perusahaan Penerbit SBSN 6.125% 3/15/19 (f)

3,635

3,780

TMK Capital SA 7.75% 1/27/18

7,425

7,759

Unicredit Luxembourg SA 5.1875% 10/13/15 (f)

3,910

3,964

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

GBP

4,450

7,010

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

7,394

7,108

Zhaikmunai Finance BV 10.5% 10/19/15 (f)

6,320

6,668

 

154,038

Insurance - 0.1%

CNO Financial Group, Inc. 6.375% 10/1/20 (f)

2,460

2,571

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

6,445

6,453

 

9,024

Real Estate Investment Trusts - 0.5%

Corrections Corp. of America:

4.125% 4/1/20

4,935

4,676

4.625% 5/1/23

4,935

4,577

MPT Operating Partnership LP/MPT Finance Corp.:

6.375% 2/15/22

4,335

4,389

6.875% 5/1/21

7,955

8,373

Omega Healthcare Investors, Inc.:

5.875% 3/15/24

13,845

13,845

7.5% 2/15/20

4,860

5,285

The Geo Group, Inc.:

5.125% 4/1/23 (f)

1,910

1,748

7.75% 10/15/17

2,845

2,970

 

45,863

Real Estate Management & Development - 0.5%

CB Richard Ellis Services, Inc.:

5% 3/15/23

7,430

6,966

6.625% 10/15/20

5,565

5,941

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

10,865

10,933

Realogy Corp.:

7.625% 1/15/20 (f)

6,330

7,058

7.875% 2/15/19 (f)

5,680

6,205

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

Realogy Corp.: - continued

9% 1/15/20 (f)

$ 3,740

$ 4,320

Taylor Morrison Communities, Inc./Monarch Communities, Inc.:

5.25% 4/15/21 (f)

7,370

6,873

7.75% 4/15/20 (f)

2,754

3,009

Tesco Property Finance 5 PLC 5.6611% 10/13/41

GBP

2,487

4,300

 

55,605

TOTAL FINANCIALS

712,224

HEALTH CARE - 3.9%

Health Care Equipment & Supplies - 0.0%

DJO Finance LLC/DJO Finance Corp. 8.75% 3/15/18

2,270

2,469

Health Care Providers & Services - 3.1%

Community Health Systems, Inc.:

5.125% 8/15/18

4,870

4,955

7.125% 7/15/20

13,575

13,711

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

1,880

1,880

DaVita, Inc.:

5.75% 8/15/22

9,960

9,848

6.625% 11/1/20

10,185

10,822

Fresenius Medical Care U.S. Finance II, Inc.:

5.625% 7/31/19 (f)

15,215

15,862

5.875% 1/31/22 (f)

16,815

17,235

Gentiva Health Services, Inc. 11.5% 9/1/18

5,710

5,924

HCA Holdings, Inc.:

6.25% 2/15/21

5,850

5,945

7.75% 5/15/21

26,188

27,857

HCA, Inc.:

4.75% 5/1/23

6,115

5,756

5.875% 3/15/22

19,190

19,718

5.875% 5/1/23

20,650

20,289

6.5% 2/15/20

9,920

10,751

7.25% 9/15/20

18,835

20,483

7.5% 2/15/22

12,110

13,291

8% 10/1/18

1,365

1,570

Health Management Associates, Inc. 7.375% 1/15/20

2,985

3,270

HealthSouth Corp.:

5.75% 11/1/24

3,000

2,880

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - continued

HealthSouth Corp.: - continued

8.125% 2/15/20

$ 7,395

$ 8,051

IASIS Healthcare LLC/IASIS Capital Corp. 8.375% 5/15/19

4,035

4,186

InVentiv Health, Inc. 11% 8/15/18 (f)

905

726

ResCare, Inc. 10.75% 1/15/19

2,735

3,056

Sabra Health Care LP/Sabra Capital Corp.:

5.375% 6/1/23

3,075

2,937

8.125% 11/1/18

2,980

3,204

Tenet Healthcare Corp.:

4.375% 10/1/21 (f)

9,740

8,985

4.5% 4/1/21

4,300

4,031

4.75% 6/1/20

3,960

3,812

6% 10/1/20 (f)

4,400

4,499

6.25% 11/1/18

19,896

21,239

6.75% 2/1/20

1,140

1,137

6.875% 11/15/31

11,540

9,780

8% 8/1/20

7,245

7,680

8.125% 4/1/22 (f)

9,650

10,072

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

4,285

4,671

UHS Escrow Corp. 7% 10/1/18

1,020

1,079

 

311,192

Health Care Technology - 0.1%

ConvaTec Healthcare ESA 10.5% 12/15/18 (f)

4,860

5,492

Life Sciences Tools & Services - 0.0%

Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 9.5% 12/1/19 (f)

3,970

4,461

Pharmaceuticals - 0.7%

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

9,870

10,154

Valeant Pharmaceuticals International:

6.75% 8/15/18 (f)

14,250

15,248

6.75% 8/15/21 (f)

9,090

9,454

6.875% 12/1/18 (f)

8,900

9,412

7.5% 7/15/21 (f)

7,215

7,774

VPI Escrow Corp. 6.375% 10/15/20 (f)

18,005

18,725

 

70,767

TOTAL HEALTH CARE

394,381

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

INDUSTRIALS - 4.3%

Aerospace & Defense - 0.3%

Alion Science & Technology Corp.:

10.25% 2/1/15

$ 800

$ 488

12% 11/1/14 pay-in-kind

1,521

1,524

Bombardier, Inc. 6.125% 1/15/23 (f)

4,810

4,810

GenCorp, Inc. 7.125% 3/15/21 (f)

1,340

1,404

Huntington Ingalls Industries, Inc.:

6.875% 3/15/18

15,595

16,765

7.125% 3/15/21

1,675

1,805

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

4,990

4,803

 

31,599

Airlines - 0.6%

Air Canada:

4.125% 5/15/25 (f)

2,630

2,475

5.375% 11/15/22 (f)

1,725

1,665

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

3,555

3,536

Continental Airlines, Inc.:

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

766

784

6.125% 4/29/18 (f)

1,720

1,750

7.25% 11/10/19

4,312

4,873

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

6.821% 8/10/22

8,638

9,610

8.021% 8/10/22

3,040

3,298

Hawaiian Airlines pass-thru certificates:

Series 2013-1 Class A, 3.9% 1/15/26

3,050

2,791

Series 2013-1 Class B, 4.95% 1/15/22

2,440

2,239

Northwest Airlines, Inc. pass-thru trust certificates:

7.027% 11/1/19

1,960

2,117

8.028% 11/1/17

532

549

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

7,310

7,008

U.S. Airways pass-thru certificates:

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

4,712

5,171

Series 2012-2:

Class A, 4.625% 12/3/26

2,400

2,280

Class B, 6.75% 12/3/22

1,875

1,917

U.S. Airways pass-thru Trust Series 2013-1:

Class A, 3.95% 5/15/27

5,585

5,166

Class B, 5.375% 5/15/23

2,310

2,195

Nonconvertible Bonds - continued

 

Principal Amount
(000s) (d)

Value (000s)

INDUSTRIALS - continued

Airlines - continued

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

$ 5,604

$ 6,374

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

960

977

 

66,775

Building Products - 0.0%

Gibraltar Industries, Inc. 6.25% 2/1/21

770

778

Commercial Services & Supplies - 0.6%

ADS Tactical, Inc. 11% 4/1/18 (f)

1,620

1,466

ADT Corp. 6.25% 10/15/21 (f)

4,375

4,441

American Reprographics Co. 10.5% 12/15/16

4,570

4,776

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

2,915

2,900

Clean Harbors, Inc.:

5.125% 6/1/21

3,050

2,947

5.25% 8/1/20

3,395

3,361

Covanta Holding Corp. 7.25% 12/1/20

4,940

5,297

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

2,260

2,396

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

3,800

3,420

LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (f)

885

889

Office Depot de Mexico SA de CV 6.875% 9/20/20 (f)

2,455

2,437

R.R. Donnelley & Sons Co.:

7% 2/15/22

3,500

3,518

7.875% 3/15/21

4,975

5,336

Tervita Corp.:

8% 11/15/18 (f)

4,295

4,311

9.75% 11/1/19 (f)

4,890

4,474

United Rentals North America, Inc. 8.375% 9/15/20

6,995

7,747

WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (c)(f)

3,355

1,124

 

60,840

Construction & Engineering - 0.2%

MasTec, Inc. 4.875% 3/15/23

5,255

4,927

Odebrecht Finance Ltd. 7.5% (f)(g)

12,845

12,460

 

17,387

Electrical Equipment - 0.1%

Sensata Technologies BV:

4.875% 10/15/23 (f)

2,505

2,330

6.5% 5/15/19 (f)

5,310

5,708

 

8,038

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

INDUSTRIALS - continued

Machinery - 0.2%

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

$ 4,880

$ 4,734

Terex Corp. 6% 5/15/21

12,145

12,282

TRAC Intermodal LLC/TRAC Intermodal Corp. 11% 8/15/19

3,460

3,875

 

20,891

Marine - 0.2%

Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.625% 11/1/17

2,585

2,682

Navios Maritime Holdings, Inc. 8.875% 11/1/17

11,300

11,809

Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc. 9.25% 4/15/19

2,705

2,908

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

3,240

3,418

 

20,817

Road & Rail - 0.2%

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

2,575

2,678

Kansas City Southern de Mexico SA de CV 6.125% 6/15/21

439

496

Kenan Advantage Group, Inc. 8.375% 12/15/18 (f)

4,670

4,898

NESCO LLC/NESCO Holdings Corp. 11.75% 4/15/17 (f)

3,485

3,886

Shortline PLC 9.5% 5/21/18 (f)

1,900

1,513

Swift Services Holdings, Inc. 10% 11/15/18

5,120

5,683

Western Express, Inc. 12.5% 4/15/15 (f)

4,010

2,286

 

21,440

Trading Companies & Distributors - 1.8%

Ahern Rentals, Inc. 9.5% 6/15/18 (f)

1,185

1,247

Aircastle Ltd.:

6.25% 12/1/19

5,850

6,186

7.625% 4/15/20

3,750

4,144

9.75% 8/1/18

9,000

9,945

International Lease Finance Corp.:

3.875% 4/15/18

7,100

6,860

4.625% 4/15/21

6,645

6,152

5.75% 5/15/16

7,580

8,037

5.875% 4/1/19

19,260

20,052

6.25% 5/15/19

19,100

20,055

6.75% 9/1/16 (f)

6,715

7,370

7.125% 9/1/18 (f)

27,064

30,244

8.25% 12/15/20

21,490

24,499

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

INDUSTRIALS - continued

Trading Companies & Distributors - continued

International Lease Finance Corp.: - continued

8.625% 1/15/22

$ 21,585

$ 24,877

8.75% 3/15/17

16,360

18,773

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

1,505

1,528

 

189,969

Transportation Infrastructure - 0.1%

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

6,965

6,669

TOTAL INDUSTRIALS

445,203

INFORMATION TECHNOLOGY - 1.7%

Communications Equipment - 0.2%

Alcatel-Lucent U.S.A., Inc. 8.875% 1/1/20 (f)

2,695

2,843

Avaya, Inc. 10.5% 3/1/21 (f)

5,140

4,163

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

3,330

3,072

Lucent Technologies, Inc.:

6.45% 3/15/29

9,235

7,804

6.5% 1/15/28

4,045

3,378

 

21,260

Computers & Peripherals - 0.1%

Seagate HDD Cayman:

4.75% 6/1/23 (f)

9,740

9,375

7% 11/1/21

6,295

6,987

 

16,362

Electronic Equipment & Components - 0.1%

Atkore International, Inc. 9.875% 1/1/18

2,155

2,327

Flextronics International Ltd.:

4.625% 2/15/20

4,785

4,641

5% 2/15/23

2,495

2,370

Jabil Circuit, Inc. 4.7% 9/15/22

2,650

2,537

 

11,875

Internet Software & Services - 0.2%

Bankrate, Inc. 6.125% 8/15/18 (f)

3,550

3,541

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

3,595

3,568

IAC/InterActiveCorp 4.75% 12/15/22

6,150

5,658

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

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

$ 3,460

$ 3,720

VeriSign, Inc. 4.625% 5/1/23 (f)

4,375

4,113

 

20,600

IT Services - 0.4%

Audatex North America, Inc. 6% 6/15/21 (f)

7,195

7,339

Ceridian Corp. 11% 3/15/21 (f)

2,360

2,732

First Data Corp.:

11.25% 1/15/21 (f)

1,160

1,212

11.75% 8/15/21 (f)

7,305

7,049

NeuStar, Inc. 4.5% 1/15/23

1,850

1,660

WideOpenWest Finance LLC/WideOpenWest Capital Corp.:

10.25% 7/15/19

11,774

12,775

13.375% 10/15/19

7,880

8,924

 

41,691

Semiconductors & Semiconductor Equipment - 0.2%

NXP BV/NXP Funding LLC:

3.75% 6/1/18 (f)

5,520

5,382

5.75% 2/15/21 (f)

5,005

5,080

5.75% 3/15/23 (f)

3,030

3,000

9.75% 8/1/18 (f)

3,382

3,800

Spansion LLC 11.25% 1/15/16 (c)(f)

4,255

0

 

17,262

Software - 0.5%

Activision Blizzard, Inc.:

5.625% 9/15/21 (f)

18,545

18,568

6.125% 9/15/23 (f)

4,825

4,849

BMC Software Finance, Inc. 8.125% 7/15/21 (f)

10,015

10,391

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

2,445

2,311

SAP AG 2.125% 11/13/19

EUR

8,600

11,782

 

47,901

TOTAL INFORMATION TECHNOLOGY

176,951

MATERIALS - 3.3%

Chemicals - 1.3%

Axiall Corp. 4.875% 5/15/23 (f)

1,585

1,502

Chemtura Corp. 5.75% 7/15/21

2,355

2,349

Eagle Spinco, Inc. 4.625% 2/15/21 (f)

2,690

2,582

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

MATERIALS - continued

Chemicals - continued

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

$ 11,765

$ 11,765

LSB Industries, Inc. 7.75% 8/1/19 (f)

1,680

1,743

Momentive Performance Materials, Inc.:

9% 1/15/21

2,205

1,885

10% 10/15/20

17,435

18,198

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

44,218

46,429

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

2,020

2,010

Orion Engineered Carbons Finance & Co. SCA 9.25% 8/1/19 pay-in-kind (f)(k)

7,545

7,696

PetroLogistics LP/PetroLogistics Finance Corp. 6.25% 4/1/20 (f)

3,380

3,312

PolyOne Corp.:

5.25% 3/15/23 (f)

3,085

2,915

7.375% 9/15/20

1,845

2,030

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

2,120

2,078

Taminco Global Chemical Corp. 9.75% 3/31/20 (f)

1,245

1,407

TPC Group, Inc. 8.75% 12/15/20 (f)

7,335

7,500

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 8.75% 2/1/19 (f)

9,985

9,910

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

2,450

2,560

 

127,871

Construction Materials - 0.1%

CEMEX Finance LLC 9.375% 10/12/22 (f)

2,430

2,661

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

3,215

3,295

 

5,956

Containers & Packaging - 0.4%

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

4.875% 11/15/22 (f)

1,145

1,091

7% 11/15/20 (f)

3,005

2,885

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

2,060

2,204

Crown Cork & Seal, Inc.:

7.375% 12/15/26

11,295

12,425

7.5% 12/15/96

3,685

3,459

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

1,555

1,508

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

MATERIALS - continued

Containers & Packaging - continued

Sappi Papier Holding GmbH:

7.75% 7/15/17 (f)

$ 2,600

$ 2,704

8.375% 6/15/19 (f)

3,515

3,673

Sealed Air Corp. 5.25% 4/1/23 (f)

2,540

2,407

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

9,600

9,360

Tekni-Plex, Inc. 9.75% 6/1/19 (f)

3,147

3,540

 

45,256

Metals & Mining - 1.4%

Aleris International, Inc.:

6% 6/1/20 (f)

33

66

9% 12/15/14 pay-in-kind (c)(k)

2,790

0

Alrosa Finance SA 7.75% 11/3/20 (f)

3,935

4,348

Bluescope Steel Ltd./Bluescope Steel Finance 7.125% 5/1/18 (f)

1,040

1,069

Edgen Murray Corp. 8.75% 11/1/20 (f)

5,920

6,009

EVRAZ Group SA:

6.5% 4/22/20 (f)

2,625

2,408

8.25% 11/10/15 (f)

8,815

9,432

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

3,150

3,410

FMG Resources (August 2006) Pty Ltd.:

6% 4/1/17 (f)

6,325

6,483

6.875% 2/1/18 (f)

7,685

8,031

6.875% 4/1/22 (f)

9,290

9,290

8.25% 11/1/19 (f)

20,335

21,911

Gold Fields Orogen Holding BVI Ltd. 4.875% 10/7/20 (f)

4,665

3,685

IAMGOLD Corp. 6.75% 10/1/20 (f)

6,945

6,060

Inmet Mining Corp. 7.5% 6/1/21 (f)

3,015

3,090

Metinvest BV 10.25% 5/20/15 (f)

5,070

5,070

Midwest Vanadium Pty Ltd. 11.5% 2/15/18 (f)

2,265

1,869

Mirabela Nickel Ltd. 8.75% 4/15/18 (f)

1,135

443

New Gold, Inc.:

6.25% 11/15/22 (f)

4,520

4,396

7% 4/15/20 (f)

1,480

1,524

Nord Gold NV 6.375% 5/7/18 (f)

4,175

3,872

Polyus Gold International Ltd. 5.625% 4/29/20 (f)

4,865

4,761

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

1,685

1,795

Rain CII Carbon LLC/CII Carbon Corp. 8% 12/1/18 (f)

3,435

3,461

RathGibson, Inc. 11.25% 2/15/14 (c)

5,755

0

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

MATERIALS - continued

Metals & Mining - continued

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

9% 10/15/17

$ 7,005

$ 7,250

11.25% 10/15/18

10,610

10,955

Severstal Columbus LLC 10.25% 2/15/18

5,200

5,525

Southern Copper Corp.:

6.75% 4/16/40

2,685

2,613

7.5% 7/27/35

3,875

4,111

Steel Dynamics, Inc. 5.25% 4/15/23 (f)

2,365

2,229

 

145,166

Paper & Forest Products - 0.1%

Boise Cascade Co. 6.375% 11/1/20

1,410

1,459

Clearwater Paper Corp. 7.125% 11/1/18

1,225

1,317

NewPage Corp.:

6.515% 5/1/49 (c)(k)

1,770

0

11.375% 12/31/14 (c)

4,404

0

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

5,480

0

Verso Paper Holdings LLC/Verso Paper, Inc. 11.75% 1/15/19

7,010

7,238

 

10,014

TOTAL MATERIALS

334,263

TELECOMMUNICATION SERVICES - 4.7%

Diversified Telecommunication Services - 1.7%

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

3,155

3,380

Altice Financing SA 7.875% 12/15/19 (f)

4,820

5,085

Altice Finco SA 9.875% 12/15/20 (f)

5,655

6,093

Citizens Communications Co.:

7.875% 1/15/27

4,895

4,650

9% 8/15/31

3,655

3,582

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

2,395

2,742

Eileme 1 AB 14.25% 8/15/20 pay-in-kind (f)

5,810

6,111

Eileme 2 AB 11.625% 1/31/20 (f)

9,395

10,898

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

4,990

5,077

Frontier Communications Corp.:

7.625% 4/15/24

8,475

8,475

8.5% 4/15/20

12,120

13,393

8.75% 4/15/22

6,585

7,194

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

3,105

3,245

Level 3 Communications, Inc. 8.875% 6/1/19

1,640

1,755

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Level 3 Financing, Inc.:

8.125% 7/1/19

$ 3,845

$ 4,114

8.625% 7/15/20

8,760

9,570

Lynx I Corp. 5.375% 4/15/21 (f)

3,220

3,140

Lynx II Corp. 6.375% 4/15/23 (f)

1,820

1,811

Sprint Capital Corp.:

6.875% 11/15/28

30,795

27,485

8.75% 3/15/32

8,031

8,162

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

2,585

2,559

Telenor ASA 2.5% 5/22/25 (Reg. S)

EUR

8,350

10,870

TW Telecom Holdings, Inc.:

5.375% 10/1/22

11,580

11,059

5.375% 10/1/22 (f)

3,980

3,801

6.375% 9/1/23 (f)

2,355

2,343

U.S. West Communications:

6.875% 9/15/33

2,535

2,456

7.25% 9/15/25

535

598

7.25% 10/15/35

1,455

1,428

Virgin Media Finance PLC 4.875% 2/15/22

5,445

4,574

 

175,650

Wireless Telecommunication Services - 3.0%

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

8,270

7,608

Digicel Group Ltd.:

6% 4/15/21 (f)

28,475

26,624

7% 2/15/20 (f)

980

971

8.25% 9/1/17 (f)

10,205

10,626

8.25% 9/30/20 (f)

47,595

49,261

10.5% 4/15/18 (f)

34,610

37,162

Intelsat Jackson Holdings SA:

5.5% 8/1/23 (f)

19,610

18,335

6.625% 12/15/22 (f)

27,585

27,378

7.25% 4/1/19

11,235

12,021

7.25% 10/15/20

15,330

16,365

7.5% 4/1/21

27,065

29,230

MetroPCS Wireless, Inc.:

6.25% 4/1/21 (f)

8,355

8,397

6.625% 4/1/23 (f)

8,355

8,376

7.875% 9/1/18

3,933

4,253

Millicom International Cellular SA 4.75% 5/22/20 (f)

2,560

2,381

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

MTS International Funding Ltd.:

5% 5/30/23 (f)

$ 6,050

$ 5,551

8.625% 6/22/20 (f)

8,840

10,287

NII Capital Corp. 7.625% 4/1/21

2,545

1,807

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

11,684

11,567

Sprint Corp. 7.25% 9/15/21 (f)

2,660

2,687

Telemovil Finance Co. Ltd. 8% 10/1/17 (f)

5,975

6,229

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

4,465

4,800

VimpelCom Holdings BV 5.2% 2/13/19 (f)

2,790

2,766

 

304,682

TOTAL TELECOMMUNICATION SERVICES

480,332

UTILITIES - 2.9%

Electric Utilities - 0.2%

Aguila 3 SA:

7.875% 1/31/18 (f)

2,890

3,020

7.875% 1/31/18 (f)

4,735

4,948

Chivor SA E.S.P. 9.75% 12/30/14 (f)

2,355

2,576

Comision Federal de Electricid 5.75% 2/14/42 (f)

1,600

1,480

Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (f)

7,849

4,003

Hrvatska Elektroprivreda 6% 11/9/17 (f)

1,255

1,286

Majapahit Holding BV 7.75% 1/20/20 (f)

2,110

2,326

Mirant Americas Generation LLC 9.125% 5/1/31

4,075

4,279

 

23,918

Gas Utilities - 0.3%

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

2,185

2,354

Southern Natural Gas Co.:

7.35% 2/15/31

6,645

7,948

8% 3/1/32

3,550

4,583

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

2,435

2,557

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

2,721

2,911

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

15,285

13,757

 

34,110

Nonconvertible Bonds - continued

 

Principal
Amount
(000s) (d)

Value (000s)

UTILITIES - continued

Independent Power Producers & Energy Traders - 2.3%

Atlantic Power Corp. 9% 11/15/18

$ 9,120

$ 9,166

Calpine Corp.:

7.5% 2/15/21 (f)

5,693

6,049

7.875% 7/31/20 (f)

15,241

16,422

7.875% 1/15/23 (f)

16,661

17,536

Energy Future Holdings Corp.:

10.875% 11/1/17

10,985

6,152

11.25% 11/1/17 pay-in-kind (k)

8,822

4,940

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

6.875% 8/15/17 (f)

7,430

7,560

10% 12/1/20

55,228

58,197

10% 12/1/20 (f)

11,210

11,771

11% 10/1/21

30,866

33,258

12.25% 12/1/18 pay-in-kind (f)(k)

3,972

2,458

12.25% 3/1/22 (f)

33,710

37,924

Listrindo Capital BV 6.95% 2/21/19 (f)

2,440

2,477

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

2,880

3,470

The AES Corp. 4.875% 5/15/23

5,485

5,128

TXU Corp.:

5.55% 11/15/14

1,864

727

6.5% 11/15/24

15,240

4,877

6.55% 11/15/34

29,755

9,522

 

237,634

Multi-Utilities - 0.1%

Puget Energy, Inc. 5.625% 7/15/22

3,690

3,915

TOTAL UTILITIES

299,577

TOTAL NONCONVERTIBLE BONDS

(Cost $4,209,132)


4,319,381

U.S. Government and Government Agency Obligations - 18.3%

 

U.S. Government Agency Obligations - 1.2%

Fannie Mae:

0.5% 7/2/15

74,366

74,566

0.5% 3/30/16

9,694

9,670

0.625% 8/26/16

5,287

5,271

U.S. Government and Government Agency Obligations - continued

 

Principal
Amount
(000s) (d)

Value (000s)

U.S. Government Agency Obligations - continued

Federal Home Loan Bank 1% 6/21/17

$ 8,670

$ 8,674

Tennessee Valley Authority:

1.75% 10/15/18

15,059

15,077

3.5% 12/15/42

761

620

5.25% 9/15/39

2,111

2,301

5.375% 4/1/56

7,000

7,539

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

123,718

U.S. Treasury Obligations - 16.4%

U.S. Treasury Bonds:

3.125% 2/15/43

126,936

113,707

3.625% 8/15/43

76,228

75,335

5.25% 2/15/29

18,341

22,932

5.375% 2/15/31

24,494

31,241

6.125% 8/15/29 (i)

9,280

12,673

7.5% 11/15/16 (j)

2,850

3,448

7.5% 11/15/24

5,690

8,313

7.875% 2/15/21

6,800

9,537

8.125% 5/15/21

9,286

13,250

9.875% 11/15/15

11,595

13,928

U.S. Treasury Notes:

0.25% 7/15/15

91,225

91,164

0.25% 10/15/15

139,236

138,986

0.25% 4/15/16

3,728

3,707

0.25% 5/15/16

20,407

20,275

0.375% 1/15/16

137,003

136,917

0.5% 7/31/17

61,952

60,800

0.625% 7/15/16

83,453

83,583

0.625% 4/30/18

28,163

27,380

0.75% 6/30/17

46,912

46,549

0.875% 11/30/16

24,887

25,004

0.875% 1/31/18

68,149

67,276

0.875% 7/31/19

44,096

42,108

1% 9/30/16

25,787

26,061

1% 10/31/16

32,941

33,258

1% 5/31/18

28,936

28,572

1.375% 11/30/15

14,493

14,804

1.375% 7/31/18

34,355

34,422

1.375% 9/30/18

23,336

23,325

1.5% 8/31/18

4,909

4,943

1.875% 8/31/17

7,700

7,953

U.S. Government and Government Agency Obligations - continued

 

Principal
Amount
(000s) (d)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

1.875% 9/30/17

$ 5,400

$ 5,574

1.875% 10/31/17

13,764

14,197

2% 7/31/20

17,885

17,933

2% 9/30/20

128,010

127,910

2.375% 7/31/17

20,000

21,038

2.375% 6/30/18

7,978

8,372

2.5% 8/15/23

37,012

36,653

2.625% 4/30/16

3,137

3,309

2.75% 11/30/16

10,000

10,634

3% 9/30/16

8,408

8,994

3% 2/28/17

66,584

71,479

3.125% 10/31/16

20,033

21,523

3.125% 1/31/17

30,990

33,377

3.5% 2/15/18

46,613

51,220

4.5% 5/15/17

13,745

15,506

TOTAL U.S. TREASURY OBLIGATIONS

1,669,170

Other Government Related - 0.7%

National Credit Union Administration Guaranteed Notes:

Series 2010-A1 Class A, 0.535% 12/7/20 (NCUA Guaranteed) (k)

3,130

3,133

Series 2011-R1 Class 1A, 0.6359% 1/8/20 (NCUA Guaranteed) (k)

5,658

5,689

Series 2011-R4 Class 1A, 0.5617% 3/6/20 (NCUA Guaranteed) (k)

2,768

2,775

National Credit Union Administration Guaranteed Notes Master Trust:

1.4% 6/12/15 (NCUA Guaranteed)

3,550

3,612

2.35% 6/12/17 (NCUA Guaranteed)

31,000

32,174

3.45% 6/12/21 (NCUA Guaranteed)

25,300

26,446

TOTAL OTHER GOVERNMENT RELATED

73,829

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,860,896)


1,866,717

U.S. Government Agency - Mortgage Securities - 4.1%

 

Principal
Amount
(000s) (d)

Value (000s)

Fannie Mae - 1.4%

2.031% 9/1/33 (k)

$ 572

$ 595

2.05% 11/1/35 (k)

386

402

2.303% 6/1/36 (k)

51

55

2.315% 10/1/35 (k)

43

45

2.362% 2/1/36 (k)

106

113

2.414% 1/1/35 (k)

288

301

2.415% 11/1/33 (k)

148

156

2.536% 6/1/42 (k)

523

537

2.558% 11/1/36 (k)

52

55

2.573% 5/1/36 (k)

67

72

2.586% 3/1/33 (k)

150

158

2.614% 9/1/36 (k)

155

166

2.614% 6/1/47 (k)

192

204

2.636% 2/1/37 (k)

585

624

2.638% 7/1/35 (k)

234

249

2.769% 4/1/36 (k)

417

446

2.935% 8/1/35 (k)

901

964

2.95% 11/1/40 (k)

338

354

2.959% 9/1/41 (k)

393

410

3.093% 10/1/41 (k)

183

191

3.18% 3/1/42 (k)

15,150

15,887

3.228% 7/1/41 (k)

624

653

3.365% 10/1/41 (k)

348

365

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

130

137

3.5% 10/1/43 (h)

42,200

42,991

3.5% 10/1/43 (h)

42,200

42,991

3.545% 7/1/41 (k)

658

692

5% 5/1/22 to 12/1/22

12,178

12,984

5.5% 5/1/15 to 11/1/34

13,117

14,227

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

56

58

6.13% 3/1/37 (k)

25

27

6.5% 10/1/13 to 8/1/36

7,518

8,426

7.5% 1/1/28

32

38

TOTAL FANNIE MAE

145,573

Freddie Mac - 0.3%

1.895% 3/1/35 (k)

168

174

2.03% 2/1/37 (k)

64

67

2.095% 8/1/37 (k)

93

97

2.137% 5/1/37 (k)

105

110

2.168% 6/1/33 (k)

332

348

U.S. Government Agency - Mortgage Securities - continued

 

Principal
Amount
(000s) (d)

Value (000s)

Freddie Mac - continued

2.175% 6/1/37 (k)

$ 32

$ 33

2.229% 3/1/37 (k)

37

39

2.311% 1/1/37 (k)

398

416

2.328% 1/1/36 (k)

93

98

2.35% 7/1/35 (k)

183

191

2.375% 5/1/37 (k)

81

86

2.38% 10/1/35 (k)

294

310

2.443% 6/1/37 (k)

311

333

2.468% 10/1/36 (k)

432

458

2.492% 4/1/35 (k)

33

36

2.507% 5/1/37 (k)

1,106

1,163

2.51% 5/1/37 (k)

579

607

2.548% 2/1/36 (k)

7

7

2.573% 6/1/37 (k)

68

72

2.595% 4/1/37 (k)

9

9

2.615% 9/1/35 (k)

83

88

2.673% 7/1/35 (k)

285

305

2.699% 4/1/37 (k)

127

135

2.795% 7/1/36 (k)

144

154

3.089% 9/1/41 (k)

3,304

3,449

3.124% 10/1/35 (k)

67

72

3.224% 4/1/41 (k)

379

396

3.242% 9/1/41 (k)

350

367

3.283% 6/1/41 (k)

472

493

3.464% 5/1/41 (k)

403

426

3.627% 6/1/41 (k)

633

669

3.717% 5/1/41 (k)

615

648

5.5% 11/1/18 to 7/1/35

13,197

14,128

6% 1/1/24

2,238

2,480

6.5% 7/1/14 to 3/1/22

1,100

1,201

8.5% 3/1/20

2

2

TOTAL FREDDIE MAC

29,667

Ginnie Mae - 2.4%

4% 6/15/24 to 3/15/26

8,986

9,566

4.3% 8/20/61 (o)

3,466

3,757

4.5% 3/15/25 to 6/15/25

6,805

7,293

4.515% 3/20/62 (o)

11,911

13,067

4.53% 10/20/62 (o)

3,572

3,935

4.55% 5/20/62 (o)

21,631

23,774

4.556% 12/20/61 (o)

12,841

14,084

U.S. Government Agency - Mortgage Securities - continued

 

Principal
Amount
(000s) (d)

Value (000s)

Ginnie Mae - continued

4.604% 3/20/62 (o)

$ 6,267

$ 6,896

4.626% 3/20/62 (o)

4,239

4,663

4.649% 2/20/62 (o)

2,317

2,551

4.65% 3/20/62 (o)

3,949

4,351

4.682% 2/20/62 (o)

3,065

3,375

4.684% 1/20/62 (o)

14,037

15,451

4.751% 12/20/60 (o)

3,396

3,709

4.804% 3/20/61 (o)

8,042

8,825

4.834% 3/20/61 (o)

14,437

15,857

5.47% 8/20/59 (o)

2,248

2,414

5.492% 4/20/60 (o)

9,270

10,365

5.5% 11/15/35

2,840

3,127

5.612% 4/20/58 (o)

3,785

3,964

6% 6/15/36 to 9/15/40

31,784

35,055

6.5% 8/20/38 to 9/20/38

38,489

43,363

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

27

32

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

55

65

8% 12/15/26

0*

0*

TOTAL GINNIE MAE

239,539

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $410,281)


414,779

Asset-Backed Securities - 0.0%

 

Tesco Property Finance 2 PLC 6.0517% 10/13/39
(Cost $4,590)

GBP

2,382


4,358

Collateralized Mortgage Obligations - 3.4%

 

U.S. Government Agency - 3.4%

Fannie Mae:

floater:

Series 2008-76 Class EF, 0.6789% 9/25/23 (k)

902

906

Series 2010-15 Class FJ, 1.1089% 6/25/36 (k)

7,172

7,350

Series 2010-86 Class FE, 0.6289% 8/25/25 (k)

865

871

pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27

4,356

4,630

planned amortization class:

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

33

35

Collateralized Mortgage Obligations - continued

 

Principal
Amount
(000s) (d)

Value (000s)

U.S. Government Agency - continued

Fannie Mae: - continued

planned amortization class: - continued

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

$ 1,164

$ 1,219

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

708

771

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

405

411

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

2,690

2,931

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

3,846

4,087

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

269

281

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

2,580

2,845

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

3,310

3,494

Series 2011-126 Class KB, 4% 12/25/41

3,844

3,887

sequential payer:

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

118

125

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

1,597

1,731

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

5,081

5,588

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

394

404

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

808

872

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

2,210

2,434

Series 2005-47 Class HK, 4.5% 6/25/20

3,680

3,871

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

2,268

2,537

Series 2009-14 Class EB, 4.5% 3/25/24

3,710

3,906

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

2,880

3,101

Series 2010-97 Class CX, 4.5% 9/25/25

5,300

5,781

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

569

48

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

859

73

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

3,860

633

Series 2010-39 Class FG, 1.0989% 3/25/36 (k)

4,379

4,487

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

1,796

178

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

1,191

136

Series 2013-40 Class PV, 2% 1/25/26

5,496

5,569

Freddie Mac:

floater:

Series 2630 Class FL, 0.6823% 6/15/18 (k)

29

29

Series 2711 Class FC, 1.0823% 2/15/33 (k)

2,886

2,937

floater planned amortization class Series 2770 Class FH, 0.5823% 3/15/34 (k)

2,747

2,764

planned amortization class:

Series 2006-3245 Class ME, 5.5% 6/15/35

3,368

3,494

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

84

92

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

2

2

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

117

123

Collateralized Mortgage Obligations - continued

 

Principal
Amount
(000s) (d)

Value (000s)

U.S. Government Agency - continued

Freddie Mac: - continued

planned amortization class: - continued

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

$ 68

$ 71

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

158

168

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

3,360

3,716

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

2,462

2,570

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

259

287

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

1,361

1,464

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

2,755

2,901

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

3,550

3,848

sequential payer:

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

210

232

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

6,600

7,195

Series 3277 Class B, 4% 2/15/22

2,800

2,959

Series 3372 Class BD, 4.5% 10/15/22

9,606

10,255

Series 3578 Class B, 4.5% 9/15/24

3,740

3,972

Series 4176 Class BA, 3% 2/15/33

3,694

3,812

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

1,821

1,930

Series 4181 Class LA, 3% 3/15/37

5,114

5,230

Series 4182 Class BA, 3% 6/15/37

20,687

21,325

Ginnie Mae guaranteed REMIC pass-thru certificates:

floater:

Series 2007-59 Class FC, 0.68% 7/20/37 (k)

1,544

1,553

Series 2008-2 Class FD, 0.66% 1/20/38 (k)

392

394

Series 2008-73 Class FA, 1.04% 8/20/38 (k)

2,278

2,319

Series 2008-83 Class FB, 1.08% 9/20/38 (k)

2,363

2,407

Series 2009-108 Class CF, 0.7823% 11/16/39 (k)

2,019

2,038

Series 2009-116 Class KF, 0.7123% 12/16/39 (k)

1,766

1,779

Series 2010-9 Class FA, 0.7023% 1/16/40 (k)

2,736

2,755

Series 2010-H17 Class FA, 0.5126% 7/20/60 (k)(o)

5,895

5,784

Series 2010-H18 Class AF, 0.4859% 9/20/60 (k)(o)

6,361

6,246

Series 2010-H19 Class FG, 0.4859% 8/20/60 (k)(o)

8,192

8,048

Series 2010-H27 Series FA, 0.5659% 12/20/60 (k)(o)

2,415

2,380

Series 2011-H05 Class FA, 0.6859% 12/20/60 (k)(o)

4,410

4,373

Series 2011-H07 Class FA, 0.6859% 2/20/61 (k)(o)

7,584

7,521

Collateralized Mortgage Obligations - continued

 

Principal
Amount
(000s) (d)

Value (000s)

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass-thru certificates: - continued

floater: - continued

Series 2011-H12 Class FA, 0.6759% 2/20/61 (k)(o)

$ 9,826

$ 9,739

Series 2011-H13 Class FA, 0.6859% 4/20/61 (k)(o)

3,941

3,908

Series 2011-H14:

Class FB, 0.6859% 5/20/61 (k)(o)

4,491

4,450

Class FC, 0.6859% 5/20/61 (k)(o)

4,326

4,288

Series 2011-H17 Class FA, 0.7159% 6/20/61 (k)(o)

5,732

5,693

Series 2011-H21 Class FA, 0.7859% 10/20/61 (k)(o)

6,249

6,223

Series 2012-H01 Class FA, 0.8859% 11/20/61 (k)(o)

5,178

5,178

Series 2012-H03 Class FA, 0.8859% 1/20/62 (k)(o)

3,191

3,191

Series 2012-H06 Class FA, 0.8159% 1/20/62 (k)(o)

5,078

5,063

Series 2012-H07 Class FA, 0.8159% 3/20/62 (k)(o)

3,006

2,994

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

972

988

planned amortization class:

Series 2010-112 Class PM, 3.25% 9/20/33

783

793

Series 2010-99 Class PT, 3.5% 8/20/33

993

1,006

Series 2011-136 Class WI, 4.5% 5/20/40 (m)

2,304

442

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

4,910

5,257

Series 2010-H13 Class JA, 5.46% 10/20/59 (o)

8,768

9,405

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

11,668

12,973

Series 2010-H17 Class XP, 5.3018% 7/20/60 (k)(o)

16,742

18,599

Series 2010-H18 Class PL, 5.01% 9/20/60 (k)(o)

12,639

13,990

Series 2011-71:

Class ZB, 5.5% 8/20/34

10,842

12,171

Class ZC, 5.5% 7/16/34

11,172

12,437

Series 2012-64 Class KB, 3.5359% 5/20/41 (k)

1,915

2,153

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $344,954)


345,106

Commercial Mortgage Securities - 1.3%

 

Principal
Amount
(000s) (d)

Value (000s)

Freddie Mac:

pass thru-certificates floater Series KF01 Class A, 0.5447% 4/25/19 (k)

$ 10,177

$ 10,180

pass-thru certificates sequential payer:

Series K011 Class A2, 4.084% 11/25/20

2,480

2,669

Series K014 Class A2, 3.871% 4/25/21

6,110

6,482

Series K015 Class A2, 3.23% 7/25/21

10,980

11,160

sequential payer:

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

14,020

15,285

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

20,970

22,273

Series K017 Class A2, 2.873% 12/25/21

15,590

15,383

Series K031 Class A2, 3.3% 4/25/23

23,900

23,829

Series K032 Class A1, 3.016% 2/25/23

19,370

20,035

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

5,440

5,509

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $135,223)


132,805

Foreign Government and Government Agency Obligations - 22.5%

 

Argentine Republic:

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

5,096

3,248

2.5% 12/31/38 (e)

2,570

912

7% 10/3/15

25,460

23,207

Aruba Government 4.625% 9/14/23 (f)

2,770

2,632

Bahamian Republic 6.95% 11/20/29 (f)

3,450

3,830

Bahrain Kingdom 6.125% 8/1/23 (f)

2,610

2,603

Banco Central del Uruguay:

value recovery A rights 1/2/21 (n)

500,000

0

value recovery B rights 1/2/21 (n)

750,000

0

Banco Nacional de Desenvolvimento Economico e Social 3.375% 9/26/16 (f)

1,720

1,725

Barbados Government:

7% 8/4/22 (f)

1,783

1,712

7.25% 12/15/21 (f)

2,245

2,178

Belarus Republic:

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

13,555

13,081

8.95% 1/26/18

2,795

2,620

Brazilian Federative Republic:

5.625% 1/7/41

12,275

12,244

7.125% 1/20/37

9,090

10,772

8.25% 1/20/34

5,940

7,811

10.125% 5/15/27

2,540

3,854

Foreign Government and Government Agency Obligations - continued

 

Principal
Amount
(000s) (d)

Value (000s)

Brazilian Federative Republic: - continued

12.25% 3/6/30

$ 6,840

$ 11,423

Buenos Aires Province 11.75% 10/5/15 (f)

3,275

3,111

Buoni Poliennali Del Tes:

2.25% 5/15/16

EUR

21,000

28,400

3.5% 12/1/18

EUR

26,250

35,622

5.5% 11/1/22

EUR

49,750

72,689

Canadian Government:

0.75% 5/1/14

CAD

41,050

39,790

1.25% 3/1/18

CAD

125,175

118,788

1.5% 6/1/23

CAD

46,950

41,534

3.5% 12/1/45

CAD

29,250

30,828

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

6,250

1,111

City of Buenos Aires 12.5% 4/6/15 (f)

9,060

9,332

Colombian Republic:

6.125% 1/18/41

4,940

5,385

7.375% 9/18/37

5,250

6,563

10.375% 1/28/33

7,910

11,944

Congo Republic 3.5% 6/30/29 (e)

13,198

11,351

Costa Rican Republic:

4.25% 1/26/23 (f)

2,865

2,586

4.375% 4/30/25 (f)

2,310

2,021

5.625% 4/30/43 (f)

1,910

1,666

Croatia Republic:

5.5% 4/4/23 (f)

4,865

4,658

6.25% 4/27/17 (f)

6,075

6,386

6.375% 3/24/21 (f)

4,715

4,892

6.625% 7/14/20 (f)

3,805

4,033

6.75% 11/5/19 (f)

5,410

5,789

Democratic Socialist Republic of Sri Lanka:

5.875% 7/25/22 (f)

1,570

1,429

6.25% 10/4/20 (f)

7,685

7,416

6.25% 7/27/21 (f)

3,640

3,458

7.4% 1/22/15 (f)

6,150

6,381

Dominican Republic:

1.25% 8/30/24 (k)

6,413

5,387

5.875% 4/18/24 (f)

2,695

2,486

7.5% 5/6/21 (f)

5,740

6,084

9.04% 1/23/18 (f)

3,649

3,923

El Salvador Republic:

7.625% 2/1/41 (f)

1,545

1,553

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

2,435

2,435

Foreign Government and Government Agency Obligations - continued

 

Principal
Amount
(000s) (d)

Value (000s)

El Salvador Republic: - continued

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

$ 1,435

$ 1,521

European Economic Community 2.75% 4/4/22 (Reg. S)

EUR

3,725

5,365

European Union 2.75% 9/21/21

EUR

14,000

20,217

Export Credit Bank of Turkey 5.375% 11/4/16 (f)

900

927

French Government:

OAT 3.25% 5/25/45

EUR

18,000

23,392

2.5% 10/25/20

EUR

20,500

29,234

Gabonese Republic 8.2% 12/12/17 (f)

700

788

Georgia Republic 6.875% 4/12/21 (f)

3,850

4,062

German Federal Republic:

0% 6/13/14

EUR

67,300

90,996

0.25% 4/13/18

EUR

32,125

42,638

1.5% 2/15/23

EUR

75,220

100,133

2.5% 7/4/44

EUR

3,300

4,369

Ghana Republic 7.875% 8/7/23 (f)

2,610

2,532

Guatemalan Republic 5.75% 6/6/22 (f)

2,310

2,356

Hungarian Republic:

4.125% 2/19/18

4,432

4,388

7.625% 3/29/41

6,855

7,335

Indonesian Republic:

3.375% 4/15/23 (f)

2,640

2,251

4.625% 4/15/43 (f)

2,640

2,086

4.875% 5/5/21 (f)

7,805

7,727

5.25% 1/17/42 (f)

7,185

6,053

5.875% 3/13/20 (f)

7,290

7,691

6.625% 2/17/37 (f)

5,025

5,088

7.75% 1/17/38 (f)

7,700

8,701

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

7,915

9,617

11.625% 3/4/19 (f)

8,270

10,999

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

11,805

11,539

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

5.5% 9/18/23

26,802

31,842

5.5% 12/4/23

12,355

14,673

Italian Republic:

4.5% 7/15/15

EUR

36,450

51,540

5% 9/1/40

EUR

24,675

33,046

Ivory Coast 7.1% 12/31/32 (e)

1,580

1,390

Japan Government:

0.1% 4/15/15

JPY

2,050,000

20,855

1.1% 6/20/20

JPY

13,112,000

139,653

Foreign Government and Government Agency Obligations - continued

 

Principal
Amount
(000s) (d)

Value (000s)

Japan Government: - continued

1.8% 3/20/43

JPY

1,250,000

$ 12,970

1.9% 9/20/30

JPY

6,990,000

76,685

Jordanian Kingdom 3.875% 11/12/15

3,285

3,277

Latvian Republic 2.75% 1/12/20 (f)

4,785

4,540

Lebanese Republic:

4% 12/31/17

13,565

13,158

4.75% 11/2/16

2,750

2,695

5.15% 11/12/18

2,815

2,716

5.45% 11/28/19

5,445

5,118

6.375% 3/9/20

4,120

4,079

Lithuanian Republic:

6.125% 3/9/21 (f)

4,090

4,673

6.625% 2/1/22 (f)

4,370

5,146

7.375% 2/11/20 (f)

5,755

6,985

Moroccan Kingdom:

4.25% 12/11/22 (f)

3,360

3,066

5.5% 12/11/42 (f)

1,900

1,596

Panamanian Republic:

4.3% 4/29/53

2,330

1,817

6.7% 1/26/36

1,850

2,114

8.875% 9/30/27

1,875

2,578

Peruvian Republic:

4% 3/7/27 (e)

5,671

5,671

5.625% 11/18/50

980

1,019

8.75% 11/21/33

6,940

10,063

Philippine Republic:

7.75% 1/14/31

7,660

9,958

9.5% 2/2/30

7,115

10,566

10.625% 3/16/25

5,755

8,748

Plurinational State of Bolivia:

4.875% 10/29/22 (f)

4,720

4,254

5.95% 8/22/23 (f)

3,050

2,928

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

7,960

6,885

Provincia de Neuquen Argentina 7.875% 4/26/21 (Reg. S)

1,546

1,461

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

2,800

3,003

Republic of Armenia 6% 9/30/20 (f)

3,270

3,184

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

16,345

13,852

Republic of Namibia 5.5% 11/3/21 (f)

2,345

2,371

Foreign Government and Government Agency Obligations - continued

 

Principal
Amount
(000s) (d)

Value (000s)

Republic of Nigeria:

0% 10/10/13

NGN

356,000

$ 2,203

0% 11/7/13

NGN

508,110

3,117

5.125% 7/12/18 (f)

2,705

2,739

6.375% 7/12/23 (f)

2,385

2,430

6.75% 1/28/21 (f)

1,505

1,622

Republic of Paraguay 4.625% 1/25/23 (f)

855

767

Republic of Serbia:

4.875% 2/25/20 (f)

3,750

3,459

5.25% 11/21/17 (f)

1,845

1,831

6.75% 11/1/24 (f)

9,866

9,594

7.25% 9/28/21 (f)

2,500

2,603

Republic of Zambia 5.375% 9/20/22 (f)

2,660

2,314

Romanian Republic:

4.375% 8/22/23 (f)

3,800

3,629

6.75% 2/7/22 (f)

7,002

7,947

Russian Federation:

4.875% 9/16/23 (f)

2,200

2,250

5.625% 4/4/42 (f)

7,200

7,362

5.875% 9/16/43 (f)

2,600

2,688

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

40,809

48,154

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

17,035

29,428

South African Republic 5.875% 9/16/25

1,155

1,214

Spanish Kingdom:

3.75% 10/31/18

EUR

23,000

31,946

4% 7/30/15

EUR

30,000

42,152

5.4% 1/31/23 (f)

EUR

7,650

11,243

State Oil Co. of Azerbaijan Republic:

4.75% 3/13/23 (Reg. S)

3,000

2,813

5.45% 2/9/17 (Reg. S)

1,945

2,059

Tanzania United Republic of 6.3921% 3/8/20 (k)

3,630

3,739

Turkish Republic:

4.875% 4/16/43

2,640

2,178

5.125% 3/25/22

3,795

3,786

5.625% 3/30/21

4,590

4,785

6% 1/14/41

6,140

5,910

6.25% 9/26/22

4,590

4,928

6.75% 4/3/18

6,310

6,988

6.75% 5/30/40

7,520

7,896

6.875% 3/17/36

12,320

13,059

Foreign Government and Government Agency Obligations - continued

 

Principal
Amount
(000s) (d)

Value (000s)

Turkish Republic: - continued

7% 3/11/19

$ 2,895

$ 3,257

7.25% 3/5/38

8,050

8,956

7.375% 2/5/25

11,420

12,905

7.5% 11/7/19

6,065

7,005

8% 2/14/34

2,075

2,469

11.875% 1/15/30

3,415

5,404

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

6,970

5,742

Ukraine Government:

6.25% 6/17/16 (f)

4,495

3,866

6.75% 11/14/17 (f)

2,715

2,318

7.75% 9/23/20 (f)

4,450

3,783

7.8% 11/28/22 (f)

3,940

3,280

7.95% 6/4/14 (f)

11,810

11,249

7.95% 2/23/21 (f)

3,575

3,048

9.25% 7/24/17 (f)

7,475

6,868

United Arab Emirates 7.75% 10/5/20 (Reg. S)

2,145

2,550

United Kingdom, Great Britain and Northern Ireland:

1.25% 7/22/18

GBP

39,175

62,586

1.75% 9/7/22

GBP

63,650

96,506

2.25% 3/7/14

GBP

13,600

22,196

3.5% 7/22/68

GBP

33,125

53,587

United Mexican States:

4.75% 3/8/44

13,356

12,054

5.75% 10/12/2110

4,986

4,687

6.05% 1/11/40

12,210

13,352

6.75% 9/27/34

8,795

10,422

7.5% 4/8/33

2,900

3,676

8.3% 8/15/31

2,600

3,562

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

7,700

9,906

Venezuelan Republic:

oil recovery rights 4/15/20 (n)

97,601

2,513

6% 12/9/20

3,990

2,899

7% 3/31/38

3,410

2,225

8.5% 10/8/14

7,320

7,320

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

16,395

13,280

9.25% 9/15/27

1,858

1,510

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

5,695

4,471

9.375% 1/13/34

5,025

3,970

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

8,680

8,007

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

15,185

14,008

Foreign Government and Government Agency Obligations - continued

 

Principal
Amount
(000s) (d)

Value (000s)

Venezuelan Republic: - continued

12.75% 8/23/22

$ 17,085

$ 17,017

13.625% 8/15/18

7,745

8,403

Vietnamese Socialist Republic:

1.25% 3/12/16 (k)

2,809

2,570

4% 3/12/28 (e)

14,597

12,407

6.875% 1/15/16 (f)

5,320

5,666

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $2,237,849)


2,295,396

Supranational Obligations - 0.4%

 

Eastern and Southern African Trade and Development Bank 6.875% 1/9/16 (Reg. S)

2,385

2,457

European Investment Bank 3% 10/14/33

EUR

26,000

35,494

Korea Development Bank 1.5% 5/30/18 (Reg.S)

EUR

5,419

7,231

TOTAL SUPRANATIONAL OBLIGATIONS

(Cost $44,216)


45,182

Common Stocks - 0.7%

Shares

 

CONSUMER DISCRETIONARY - 0.4%

Auto Components - 0.2%

Remy International, Inc.

122,400

2,478

TRW Automotive Holdings Corp. (a)

290,847

20,740

 

23,218

Automobiles - 0.1%

General Motors Co. (a)

6,679

240

General Motors Co.:

warrants 7/10/16 (a)

133,743

3,533

warrants 7/10/19 (a)

133,743

2,488

Motors Liquidation Co. GUC Trust (a)

36,934

1,309

 

7,570

Hotels, Restaurants & Leisure - 0.1%

PB Investor I LLC

37,963

57

Station Holdco LLC (a)(p)(q)

4,989,172

7,434

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Station Holdco LLC:

unit (p)(q)

57,186

$ 4

warrants 6/15/18 (a)(p)(q)

198,954

15

 

7,510

Media - 0.0%

Haights Cross Communications, Inc. (a)

8,267

0

HMH Holdings, Inc. warrants 6/22/19 (a)(q)

32,078

48

RDA Holding Co. warrants 2/19/14 (a)(q)

9,559

0

 

48

TOTAL CONSUMER DISCRETIONARY

38,346

CONSUMER STAPLES - 0.0%

Food Products - 0.0%

Reddy Ice Holdings, Inc. (a)

142,776

642

FINANCIALS - 0.0%

Capital Markets - 0.0%

Penson Worldwide, Inc. Class A

3,883,237

1,002

HEALTH CARE - 0.0%

Health Care Providers & Services - 0.0%

Rotech Healthcare, Inc.

68,275

1,262

INDUSTRIALS - 0.3%

Aerospace & Defense - 0.0%

Alion Science & Technology Corp. warrants 3/15/17 (a)

1,430

0

Airlines - 0.0%

Delta Air Lines, Inc.

20,500

484

Building Products - 0.2%

Nortek, Inc. (a)

213,507

14,670

Nortek, Inc. warrants 12/7/14 (a)

7,154

143

 

14,813

Marine - 0.0%

U.S. Shipping Partners Corp. (a)

12,063

0

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

112,939

0

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Trading Companies & Distributors - 0.0%

Penhall Acquisition Co.:

Class A (a)

6,088

$ 514

Class B (a)

2,029

171

 

685

Transportation Infrastructure - 0.1%

DeepOcean Group Holding BV (a)(f)

406,682

11,416

TOTAL INDUSTRIALS

27,398

INFORMATION TECHNOLOGY - 0.0%

IT Services - 0.0%

Unisys Corp. (a)

5,625

142

Semiconductors & Semiconductor Equipment - 0.0%

MagnaChip Semiconductor Corp. (a)

49,030

1,056

Spansion, Inc. Class A (a)

2,476

25

 

1,081

TOTAL INFORMATION TECHNOLOGY

1,223

MATERIALS - 0.0%

Chemicals - 0.0%

LyondellBasell Industries NV Class A

467

34

Containers & Packaging - 0.0%

Rock-Tenn Co. Class A

5,694

577

Metals & Mining - 0.0%

Aleris International, Inc. (a)(q)

38,307

1,233

Paper & Forest Products - 0.0%

NewPage Corp.

19,100

1,585

TOTAL MATERIALS

3,429

UTILITIES - 0.0%

Electric Utilities - 0.0%

Portland General Electric Co.

7,275

205

TOTAL COMMON STOCKS

(Cost $74,441)


73,507

Preferred Stocks - 0.6%

Shares

Value (000s)

Convertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Media - 0.1%

Interpublic Group of Companies, Inc. 5.25%

4,000

$ 5,360

CONSUMER STAPLES - 0.0%

Food Products - 0.0%

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

57,438

410

TOTAL CONVERTIBLE PREFERRED STOCKS

5,770

Nonconvertible Preferred Stocks - 0.5%

FINANCIALS - 0.5%

Commercial Banks - 0.2%

SunTrust Banks, Inc. Series E, 5.875%

300,475

6,508

Wells Fargo & Co. 5.20%

654,311

13,754

 

20,262

Consumer Finance - 0.2%

Ally Financial, Inc. 7.00% (f)

25,686

24,530

Real Estate Investment Trusts - 0.1%

Public Storage Series V, 5.375%

390,000

8,206

TOTAL FINANCIALS

52,998

TOTAL PREFERRED STOCKS

(Cost $52,914)


58,768

Floating Rate Loans - 1.7%

 

Principal
Amount
(000s) (d)

 

CONSUMER DISCRETIONARY - 0.5%

Diversified Consumer Services - 0.0%

Spotless Holdings Ltd.:

Tranche 1LN, term loan 5% 9/24/20 (k)

$ 1,370

1,373

Tranche 2LN, term loan 8.75% 2/24/21 (k)

1,690

1,698

 

3,071

Hotels, Restaurants & Leisure - 0.3%

Centaur Acquisition LLC:

Tranche 1LN, term loan 5.25% 2/20/19 (k)

1,577

1,583

Tranche 2LN, term loan 8.75% 2/20/20 (k)

1,575

1,581

Floating Rate Loans - continued

 

Principal
Amount
(000s) (d)

Value (000s)

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Graton Economic Development Authority Tranche B, term loan 9% 8/22/18 (k)

$ 2,295

$ 2,398

Harrah's Entertainment, Inc. Tranche B 6LN, term loan 5.4341% 1/28/18 (k)

2,874

2,608

Hilton Worldwide Finance, LLC Tranche B, term loan 4% 9/23/20 (k)

13,260

13,227

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

2,645

2,632

 

24,029

Media - 0.2%

Livent, Inc.:

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

CAD

8

8

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

CAD

3

3

McGraw-Hill Global Education Holdings, LLC Tranche B, term loan 9% 3/18/19 (k)

4,264

4,322

Springer Science+Business Media Deutschland GmbH Tranche B 2LN, term loan 5% 8/14/20 (k)

11,455

11,383

TWCC Holding Corp. Tranche 2LN, term loan 7% 6/26/20 (k)

3,010

3,089

 

18,805

TOTAL CONSUMER DISCRETIONARY

45,905

CONSUMER STAPLES - 0.1%

Food & Staples Retailing - 0.0%

BJ's Wholesale Club, Inc. Tranche 2LN, term loan 9.75% 3/26/20 (k)

545

555

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

2,865

2,908

Rite Aid Corp. Tranche 2LN, term loan 5.75% 8/21/20 (k)

515

525

 

3,988

Personal Products - 0.1%

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

7,660

7,622

TOTAL CONSUMER STAPLES

11,610

Floating Rate Loans - continued

 

Principal
Amount
(000s) (d)

Value (000s)

ENERGY - 0.3%

Oil, Gas & Consumable Fuels - 0.3%

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

$ 3,231

$ 3,336

Arch Coal, Inc. Tranche B, term loan 5.75% 5/16/18 (k)

3,209

3,113

Crestwood Holdings Partners LLC Tranche B, term loan 7% 6/19/19 (k)

4,529

4,597

Fieldwood Energy, LLC:

Tranche 2LN, term loan 8.375% 9/25/20 (k)

13,905

13,905

Tranche B 1LN, term loan 3.875% 9/25/18 (k)

1,090

1,089

Panda Sherman Power, LLC term loan 9% 9/14/18 (k)

2,000

2,020

Panda Temple Power, LLC term loan 7.25% 4/3/19 (k)

1,010

1,024

Samson Investment Co. Tranche 2LN, term loan 6% 9/25/18 (k)

1,270

1,270

 

30,354

FINANCIALS - 0.0%

Real Estate Management & Development - 0.0%

Realogy Corp.:

Credit-Linked Deposit 3.1963% 10/10/13 (k)

298

298

Credit-Linked Deposit 4.4463% 10/10/16 (k)

567

567

 

865

HEALTH CARE - 0.1%

Life Sciences Tools & Services - 0.1%

Jaguar Holding Co. II Tranche B, term loan 4.25% 12/5/18 (k)

12,611

12,611

INDUSTRIALS - 0.3%

Airlines - 0.1%

Northwest Airlines Corp. Tranche A, term loan 2% 12/31/18 (k)

7,736

7,117

Commercial Services & Supplies - 0.1%

Arysta Lifescience SPC LLC:

Tranche B 1LN, term loan 4.5% 5/29/20 (k)

1,741

1,736

Tranche B 2LN, term loan 8.25% 11/30/20 (k)

3,455

3,442

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

2,195

2,217

Tervita Corp. Tranche B 1LN, term loan 6.25% 5/15/18 (k)

3,085

3,007

 

10,402

Floating Rate Loans - continued

 

Principal
Amount
(000s) (d)

Value (000s)

INDUSTRIALS - continued

Machinery - 0.1%

Pinafore LLC Tranche B 2LN, term loan 3.75% 9/21/16 (k)

$ 8,760

$ 8,771

TOTAL INDUSTRIALS

26,290

INFORMATION TECHNOLOGY - 0.2%

Software - 0.2%

BMC Software Finance, Inc. Tranche B, term loan 5% 9/10/20 (k)

14,945

14,908

ION Trading Technologies Ltd.:

Tranche 1LN, term loan 4.5% 5/22/20 (k)

638

638

Tranche 2LN, term loan 8.25% 5/22/21 (k)

300

301

Kronos, Inc. Tranche 2LN, term loan 9.75% 4/24/20 (k)

6,160

6,376

Lawson Software, Inc. Tranche B 2LN, term loan 5.25% 4/5/18 (k)

1,382

1,387

 

23,610

MATERIALS - 0.0%

Construction Materials - 0.0%

Fairmount Minerals Ltd. Tranche B 2LN, term loan 5% 9/5/19 (k)

795

795

Metals & Mining - 0.0%

Ameriforge Group, Inc.:

Tranche B 1LN, term loan 5% 1/25/20 (k)

809

809

Tranche B 2LN, term loan 8.75% 1/25/21 (k)

490

494

 

1,303

TOTAL MATERIALS

2,098

TELECOMMUNICATION SERVICES - 0.1%

Diversified Telecommunication Services - 0.1%

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

7,194

7,212

Integra Telecom Holdings, Inc. Tranche 2LN, term loan 9.75% 2/14/20 (k)

395

401

 

7,613

Floating Rate Loans - continued

 

Principal
Amount
(000s) (d)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - 0.0%

Digicel International Finance Ltd. Tranche D 1LN, term loan 3.75% 3/31/17 (k)

$ 3,385

$ 3,393

TOTAL TELECOMMUNICATION SERVICES

11,006

UTILITIES - 0.1%

Gas Utilities - 0.0%

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

1,767

1,753

Independent Power Producers & Energy Traders - 0.1%

LSP Madison Funding LLC Tranche 1LN, term loan 5.5% 6/28/19 (k)

2,798

2,826

Tempus Public Foundation Generation Holdings LLC Tranche B, term loan 4.75% 12/31/17 (k)

2,470

2,464

 

5,290

TOTAL UTILITIES

7,043

TOTAL FLOATING RATE LOANS

(Cost $167,941)


171,392

Sovereign Loan Participations - 0.1%

 

Indonesian Republic loan participation:

Citibank 1.1875% 12/14/19 (k)

4,459

4,169

Goldman Sachs 1.1875% 12/14/19 (k)

4,086

3,820

1.25% 12/14/19 (k)

2,919

2,729

TOTAL SOVEREIGN LOAN PARTICIPATIONS

(Cost $10,234)


10,718

Fixed-Income Funds - 0.5%

Shares

 

Fidelity Floating Rate Central Fund (l)
(Cost $35,278)

518,540


55,167

Preferred Securities - 0.9%

Principal
Amount
(000s) (d)

Value (000s)

CONSUMER DISCRETIONARY - 0.2%

Media - 0.2%

Globo Comunicacoes e Participacoes SA 6.25% (e)(f)(g)

8,120

$ 8,545

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

7,335

7,274

 

15,819

CONSUMER STAPLES - 0.0%

Food Products - 0.0%

Cosan Overseas Ltd. 8.25% (g)

3,330

3,389

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Reliance Industries Ltd. 5.875% (f)(g)

3,000

2,457

FINANCIALS - 0.6%

Commercial Banks - 0.0%

Wells Fargo & Co. 7.98% (g)(k)

2,035

2,246

Diversified Financial Services - 0.6%

Bank of America Corp.:

5.2% (g)(k)

8,930

8,172

8% (g)(k)

3,065

3,406

8.125% (g)(k)

2,245

2,555

Citigroup, Inc. 5.95% (g)(k)

23,110

21,785

JPMorgan Chase & Co. 6% (g)(k)

23,845

22,600

Magnesita Finance Ltd. 8.625% (Reg. S) (g)

380

363

 

58,881

TOTAL FINANCIALS

61,127

INDUSTRIALS - 0.0%

Construction & Engineering - 0.0%

Odebrecht Finance Ltd. 7.5% (Reg. S) (g)

350

341

MATERIALS - 0.1%

Metals & Mining - 0.1%

CSN Islands XII Corp. 7% (Reg. S) (g)

7,150

5,881

TOTAL PREFERRED SECURITIES

(Cost $92,725)


89,014

Other - 0.0%

Shares

Value (000s)

Other - 0.0%

Idearc, Inc. Claim (a)
(Cost $0)

1,675,371

$ 0

Money Market Funds - 3.3%

 

 

 

 

Fidelity Cash Central Fund, 0.10% (b)
(Cost $336,164)

336,164,030


336,164

TOTAL INVESTMENT PORTFOLIO - 100.0%

(Cost $10,016,838)

10,218,454

NET OTHER ASSETS (LIABILITIES) - 0.0%

3,715

NET ASSETS - 100%

$ 10,222,169

TBA Sale Commitments

 

Principal Amount (000s)

 

Fannie Mae

3.5% 10/1/43

$ (42,200)

(42,991)

3.5% 10/1/43

(42,200)

(42,991)

3.5% 10/1/43

(15,200)

(15,485)

3.5% 10/1/43

(43,300)

(44,112)

TOTAL TBA SALE COMMITMENTS

(Proceeds $141,859)

$ (145,579)

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Purchased

Treasury Contracts

191 CBOT 10 Year U.S. Treasury Note Contracts

Dec. 2013

$ 24,141

$ 282

646 CBOT 2 Year U.S. Treasury Note Contracts

Dec. 2013

142,292

385

283 CBOT 5 Year U.S. Treasury Note Contracts

Dec. 2013

34,256

360

154 CBOT Long Term U.S. Treasury Bond Contracts

Dec. 2013

20,540

324

249 CBOT Ultra Long Term U.S. Treasury Bond Contracts

Dec. 2013

35,381

868

TOTAL TREASURY CONTRACTS

$ 256,610

$ 2,219

 

The face value of futures purchased as a percentage of net assets is 2.5%

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)

CME

Sep. 2043

$ 15,800

3-month LIBOR

3.87%

$ (680)

$ -

$ (680)

 

(1) Swaps with CME Group (CME) 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

BRL

-

Brazilian real

CAD

-

Canadian dollar

EUR

-

European Monetary Unit

GBP

-

British pound

JPY

-

Japanese yen

NGN

-

Nigerian naira

TRY

-

Turkish Lira

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 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 $2,096,863,000 or 20.5% of net assets.

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

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

(i) 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 $2,230,000.

(j) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,337,000.

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

(l) 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.

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

(n) Quantity represents share amount.

(o) 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.

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

(q) 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 $8,734,000 or 0.1% 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

HMH Holdings, Inc. warrants 6/22/19

6/22/12

$ 62

Security

Acquisition Date

Acquisition Cost (000s)

RDA Holding Co. warrants 2/19/14

2/27/07

$ 3,000

Station Holdco LLC

6/17/11 - 3/15/12

$ 5,096

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

* 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

$ 321

Fidelity Floating Rate Central Fund

2,310

Total

$ 2,631

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

$ 60,326

$ -

$ 5,995

$ 55,167

4.1%

Other Information

The following is a summary of the inputs used, as of September 30, 2013, 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 table below, please refer to the Investment 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

$ 43,706

$ 30,788

$ 5,360

$ 7,558

Consumer Staples

1,052

-

642

410

Financials

54,000

28,468

24,530

1,002

Health Care

1,262

-

-

1,262

Industrials

27,398

15,297

-

12,101

Information Technology

1,223

1,223

-

-

Materials

3,429

611

-

2,818

Utilities

205

205

-

-

Corporate Bonds

4,319,381

-

4,319,198

183

U.S. Government and Government Agency Obligations

1,866,717

-

1,866,717

-

U.S. Government Agency - Mortgage Securities

414,779

-

414,779

-

Asset-Backed Securities

4,358

-

4,358

-

Collateralized Mortgage Obligations

345,106

-

345,106

-

Commercial Mortgage Securities

132,805

-

132,805

-

Foreign Government and Government Agency Obligations

2,295,396

-

2,289,725

5,671

Supranational Obligations

45,182

-

45,182

-

Floating Rate Loans

171,392

-

157,963

13,429

Sovereign Loan Participations

10,718

-

-

10,718

Fixed-Income Funds

55,167

55,167

-

-

Preferred Securities

89,014

-

89,014

-

Other

-

-

-

-

Money Market Funds

336,164

336,164

-

-

Total Investments in Securities:

$ 10,218,454

$ 467,923

$ 9,695,379

$ 55,152

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Derivative Instruments:

Assets

Futures Contracts

$ 2,219

$ 2,219

$ -

$ -

Liabilities

Swaps

$ (680)

$ -

$ (680)

$ -

Total Derivative Instruments:

$ 1,539

$ 2,219

$ (680)

$ -

Other Financial Instruments:

TBA Sale Commitments

$ (145,579)

$ -

$ (145,579)

$ -

Income Tax Information

At September 30, 2013, the cost of investment securities for income tax purposes was $9,989,345,000. Net unrealized appreciation aggregated $229,109,000, of which $458,257,000 related to appreciated investment securities and $229,148,000 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. In accordance with valuation policies and procedures approved by the Board of Trustees (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 Fidelity Management & Research Company (FMR) Fair Value Committee (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 is responsible for approving and reporting to the Board all fair value determinations. 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 third party pricing vendors or from brokers 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 and sovereign loan participations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices.

For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing vendors 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 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), 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 in these circumstances. 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 these securities are generally 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 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.

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.

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 visit advisor.fidelity.com or call Fidelity at 1-877-208-0098 for a free copy of 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/Stephanie J. Dorsey

 

Stephanie J. Dorsey

 

President and Treasurer

 

 

Date:

November 29, 2013

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:

November 29, 2013

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

November 29, 2013