N-Q 1 main.htm

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-4707

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

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

Scott C. Goebel, Secretary

82 Devonshire St.

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

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

Date of fiscal year end:

December 31

 

 

Date of reporting period:

September 30, 2009

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, 2009 

1.808792.105

SI-QTLY-1109

Investments September 30, 2009 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 33.7%

 

Principal Amount (000s) (c)

Value (000s)

Convertible Bonds - 0.6%

ENERGY - 0.1%

Energy Equipment & Services - 0.0%

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

$ 2,640

$ 2,327

Oil, Gas & Consumable Fuels - 0.1%

Massey Energy Co. 3.25% 8/1/15

7,790

6,179

TOTAL ENERGY

8,506

INDUSTRIALS - 0.0%

Electrical Equipment - 0.0%

SunPower Corp.:

0.75% 8/1/27

1,040

988

1.25% 2/15/27

890

781

 

1,769

INFORMATION TECHNOLOGY - 0.1%

Semiconductors & Semiconductor Equipment - 0.1%

Advanced Micro Devices, Inc.:

5.75% 8/15/12

1,510

1,267

6% 5/1/15

6,045

4,519

ON Semiconductor Corp. 0% 4/15/24

450

456

Spansion, Inc. 2.25% 6/15/16 (b)(f)

4,115

1,646

 

7,888

TELECOMMUNICATION SERVICES - 0.4%

Wireless Telecommunication Services - 0.4%

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

29,220

25,531

TOTAL CONVERTIBLE BONDS

43,694

Nonconvertible Bonds - 33.1%

CONSUMER DISCRETIONARY - 6.0%

Auto Components - 0.3%

Affinia Group, Inc.:

9% 11/30/14

2,950

2,803

10.75% 8/15/16 (f)

760

811

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Auto Components - continued

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

$ 2,610

$ 2,806

Tenneco, Inc.:

8.125% 11/15/15

1,185

1,149

8.625% 11/15/14

4,360

4,077

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

4,795

5,203

TRW Automotive, Inc.:

7% 3/15/14 (f)

335

305

7.25% 3/15/17 (f)

240

211

Visteon Corp. 7% 3/10/14 (b)

10,020

2,455

 

19,820

Automobiles - 0.1%

General Motors Corp.:

6.75% 5/1/28 (b)

10,500

1,575

7.125% 7/15/13 (b)

2,720

394

7.2% 1/15/11 (b)

1,395

209

7.4% 9/1/25 (b)

5,950

893

7.7% 4/15/16 (b)

8,489

1,295

8.1% 6/15/24 (b)

2,775

423

8.25% 7/15/23 (b)

11,040

1,711

8.375% 7/15/33 (b)

11,475

1,865

8.8% 3/1/21 (b)

785

120

 

8,485

Diversified Consumer Services - 0.1%

Affinion Group, Inc. 11.5% 10/15/15

2,990

3,065

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

680

670

 

3,735

Hotels, Restaurants & Leisure - 1.7%

American Casino & Entertainment Properties LLC 11% 6/15/14 (f)

4,790

4,263

Carrols Corp. 9% 1/15/13

4,095

4,095

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

11,755

11,873

MGM Mirage, Inc.:

5.875% 2/27/14

6,920

5,294

6.625% 7/15/15

25,519

19,522

6.75% 9/1/12

6,220

5,318

6.75% 4/1/13

12,170

9,919

6.875% 4/1/16

4,440

3,397

7.5% 6/1/16

15,865

12,216

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

MGM Mirage, Inc.: - continued

7.625% 1/15/17

$ 10,970

$ 8,502

10.375% 5/15/14 (f)

2,750

2,943

11.125% 11/15/17 (f)

3,890

4,279

Mohegan Tribal Gaming Authority 6.875% 2/15/15

3,533

2,394

Scientific Games Corp. 6.25% 12/15/12

660

642

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

1,540

1,093

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

5,450

4,932

Six Flags, Inc.:

8.875% 2/1/10 (b)

8,225

1,481

9.625% 6/1/14 (b)

7,664

1,418

9.75% 4/15/13 (b)

1,255

226

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

3,495

3,425

Station Casinos, Inc.:

6% 4/1/12 (b)

9,620

2,886

6.5% 2/1/14 (b)

11,643

466

6.625% 3/15/18 (b)

11,970

479

6.875% 3/1/16 (b)

12,803

512

7.75% 8/15/16 (b)

14,415

4,541

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

3,328

1,731

Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10

2,900

2,900

Vail Resorts, Inc. 6.75% 2/15/14

5,060

4,971

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

9% 1/15/12 (b)

575

58

12.75% 1/15/13 (b)

1,070

21

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

1,110

666

 

126,463

Household Durables - 0.1%

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

6,915

7,140

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

1,700

1,872

 

9,012

Leisure Equipment & Products - 0.0%

Riddell Bell Holdings, Inc. 8.375% 10/1/12

720

648

Media - 3.0%

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

2,610

2,767

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

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

$ 6,310

$ 6,846

CanWest Media, Inc. 8% 9/15/12 (b)

860

503

Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp.:

11% 10/1/15 (b)

19,013

3,517

11% 10/1/15 (b)

310

54

Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.:

Series B, 10.25% 9/15/10 (b)

11,055

12,216

10.25% 9/15/10 (b)

9,385

10,558

10.25% 10/1/13 (b)

6,395

7,066

Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:

10.375% 4/30/14 (f)(i)

8,610

8,782

12.875% 9/15/14 (f)

16,315

17,702

Clear Channel Communications, Inc.:

4.9% 5/15/15

2,600

988

5.5% 9/15/14

2,000

883

5.5% 12/15/16

1,890

709

5.75% 1/15/13

3,145

1,635

6.25% 3/15/11

175

122

6.875% 6/15/18

1,275

478

10.75% 8/1/16

29,215

16,360

11.75% 8/1/16 pay-in-kind (e)

4,225

1,416

EchoStar Communications Corp.:

6.625% 10/1/14

9,095

8,845

7% 10/1/13

9,095

9,095

7.125% 2/1/16

43,770

43,442

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

1,550

93

iesy Repository GmbH 10.375% 2/15/15 (f)

1,205

1,265

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

2,530

2,720

Liberty Media Corp. 8.5% 7/15/29

6,535

5,391

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

300

0*

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

850

723

Nielsen Finance LLC/Nielsen Finance Co.:

0% 8/1/16 (d)

7,095

5,605

10% 8/1/14

3,620

3,656

11.5% 5/1/16

4,920

5,215

11.625% 2/1/14

2,535

2,693

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Rainbow National Services LLC:

8.75% 9/1/12 (f)

$ 3,280

$ 3,313

10.375% 9/1/14 (f)

9,075

9,506

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

635

451

The Reader's Digest Association, Inc. 9% 2/15/17 (b)

3,000

60

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

29,390

27,885

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

7,300

7,848

Videotron Ltd. 6.875% 1/15/14

550

539

 

230,947

Multiline Retail - 0.2%

Matahari Finance BV 9.5% 10/6/09

4,120

4,120

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

4,700

4,771

Neiman Marcus Group, Inc. 9% 10/15/15
pay-in-kind (e)

5,178

4,318

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

6,780

4,949

 

18,158

Specialty Retail - 0.4%

Burlington Coat Factory Warehouse Corp. 11.125% 4/15/14

1,700

1,666

Claire's Stores, Inc.:

9.25% 6/1/15

2,775

1,943

10.375% 6/1/15 pay-in-kind (i)

3,939

2,225

Michaels Stores, Inc.:

0% 11/1/16 (d)

445

289

10% 11/1/14

18,490

18,120

11.375% 11/1/16

900

846

Toys 'R' Us Property Co. I LLC 10.75% 7/15/17 (f)

9,420

10,103

 

35,192

Textiles, Apparel & Luxury Goods - 0.1%

Levi Strauss & Co.:

8.875% 4/1/16

1,650

1,667

9.75% 1/15/15

1,775

1,828

 

3,495

TOTAL CONSUMER DISCRETIONARY

445,852

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - 0.6%

Beverages - 0.1%

Anheuser-Busch InBev SA NV 8.625% 1/30/17

EUR

1,650

$ 2,986

Cerveceria Nacional Dominicana C por A:

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

$ 330

328

16% 3/27/12

150

126

16% 3/27/12 (f)

4,087

3,427

 

6,867

Food & Staples Retailing - 0.3%

Rite Aid Corp.:

7.5% 3/1/17

5,910

5,216

8.625% 3/1/15

835

679

9.375% 12/15/15

4,770

3,864

9.5% 6/15/17

5,710

4,554

10.375% 7/15/16

4,970

4,895

Wal-Mart Stores, Inc. 4.875% 9/21/29

EUR

1,250

1,812

 

21,020

Food Products - 0.2%

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

1,550

1,593

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

370

37

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

5,200

5,616

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

420

425

National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11

900

891

Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.:

9.25% 4/1/15

410

416

10.625% 4/1/17

1,015

1,037

Reddy Ice Holdings, Inc. 10.5% 11/1/12 (e)

3,250

2,494

Smithfield Foods, Inc.:

7.75% 7/1/17

2,810

2,269

10% 7/15/14 (f)

5,540

5,789

 

20,567

Household Products - 0.0%

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

260

260

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Personal Products - 0.0%

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

$ 470

$ 442

TOTAL CONSUMER STAPLES

49,156

ENERGY - 4.0%

Energy Equipment & Services - 0.1%

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

2,530

2,302

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

3,970

3,990

 

6,292

Oil, Gas & Consumable Fuels - 3.9%

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

4,090

4,243

Atlas Pipeline Partners LP 8.125% 12/15/15

9,415

7,438

Berry Petroleum Co.:

8.25% 11/1/16

2,930

2,813

10.25% 6/1/14

2,220

2,331

Chaparral Energy, Inc.:

8.5% 12/1/15

4,948

3,909

8.875% 2/1/17

3,780

3,005

Chesapeake Energy Corp.:

6.5% 8/15/17

4,990

4,566

6.875% 11/15/20

7,030

6,257

7.625% 7/15/13

11,615

11,615

9.5% 2/15/15

5,630

5,926

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

4,560

3,716

Continental Resources, Inc. 8.25% 10/1/19 (f)

885

907

Denbury Resources, Inc. 9.75% 3/1/16

1,660

1,760

Drummond Co., Inc. 7.375% 2/15/16 (f)

6,605

5,680

Encore Acquisition Co. 6.25% 4/15/14

1,500

1,395

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

570

565

Forest Oil Corp. 8% 12/15/11

480

493

Gaz Capital SA (Luxembourg) 6.605% 2/13/18

EUR

1,200

1,738

Harvest Operations Corp. 7.875% 10/15/11

1,170

1,129

InterNorth, Inc. 9.625% 3/16/06 (b)

935

1

KazMunaiGaz Finance Sub BV:

8.375% 7/2/13 (f)

5,030

5,332

9.125% 7/2/18 (f)

3,735

4,052

11.75% 1/23/15 (f)

4,880

5,771

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Mariner Energy, Inc.:

7.5% 4/15/13

$ 2,900

$ 2,799

8% 5/15/17

4,870

4,468

11.75% 6/30/16

4,955

5,339

Massey Energy Co. 6.875% 12/15/13

8,545

8,246

OPTI Canada, Inc.:

7.875% 12/15/14

8,955

6,851

8.25% 12/15/14

1,360

1,061

Peabody Energy Corp. 7.875% 11/1/26

5,640

5,358

Pemex Project Funding Master Trust:

5.5% 2/24/25 (f)

EUR

750

929

6.625% 6/15/35

2,870

2,772

Petrohawk Energy Corp.:

7.875% 6/1/15

12,745

12,554

9.125% 7/15/13

10,710

11,005

Petroleos de Venezuela SA:

5.25% 4/12/17

69,760

43,077

5.375% 4/12/27

14,480

6,950

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

3,105

2,857

Petroleum Development Corp. 12% 2/15/18

4,390

4,324

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

10,150

10,911

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

5,045

5,562

Range Resources Corp. 7.375% 7/15/13

2,190

2,212

Ras Laffan Liquid Natural Gas Co. Ltd. III 6.75% 9/30/19 (f)

4,870

5,461

SandRidge Energy, Inc.:

8% 6/1/18 (f)

7,400

7,104

8.625% 4/1/15 pay-in-kind (i)

4,370

4,326

Ship Finance International Ltd. 8.5% 12/15/13

7,015

6,664

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

1,560

1,490

Southwestern Energy Co. 7.5% 2/1/18

2,460

2,497

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

4,265

4,478

Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13

1,220

1,147

Tennessee Gas Pipeline Co.:

7% 10/15/28

550

586

7.5% 4/1/17

7,600

8,518

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Tennessee Gas Pipeline Co.: - continued

7.625% 4/1/37

$ 1,035

$ 1,176

8% 2/1/16

1,160

1,325

8.375% 6/15/32

1,155

1,387

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

12,990

13,104

Transcontinental Gas Pipe Line Corp.:

7% 8/15/11

330

356

8.875% 7/15/12

1,455

1,673

Venoco, Inc. 8.75% 12/15/11

3,260

3,293

W&T Offshore, Inc. 8.25% 6/15/14 (f)

5,300

4,797

YPF SA 10% 11/2/28

8,835

8,526

 

299,825

TOTAL ENERGY

306,117

FINANCIALS - 5.8%

Capital Markets - 0.2%

3i Group PLC 1.003% 6/8/12 (i)

EUR

1,600

1,957

Credit Suisse Group Finance Guernsey Ltd. 3.625% 1/23/18 (i)

EUR

2,000

2,833

Morgan Stanley 4% 11/17/15

EUR

1,300

1,821

Royal Bank of Scotland PLC 5.375% 9/30/19

EUR

2,200

3,277

Santander Issuances, SA Unipersonal 4.5% 9/30/19 (i)

EUR

1,000

1,418

UBS AG London Branch 6.375% 7/20/16

GBP

2,200

3,798

VTB Capital SA 4.25% 2/15/16

EUR

1,000

1,425

 

16,529

Commercial Banks - 1.8%

Australia & New Zealand Banking Group Ltd. 5.125% 9/10/19

EUR

1,250

1,840

Banco Comercial Portugues SA 3.75% 10/8/16 

EUR

3,050

4,439

Banco Santander SA 3.875% 5/27/14

EUR

2,200

3,344

Barclays Bank PLC 10% 5/21/21

GBP

1,070

2,181

BNP Paribas Public Sector SCF 3.625% 6/16/14

EUR

4,600

6,908

Central American Bank 5.375% 9/24/14 (f)

2,775

2,768

Commonwealth Bank of Australia 5.5% 8/6/19

EUR

5,150

7,830

Development Bank of Philippines 8.375% (i)

6,055

6,085

DnB NOR Bank ASA 4.5% 5/29/14

EUR

1,600

2,450

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

4,995

5,157

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

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

$ 19,295

$ 17,173

Export-Import Bank of India 0.8813% 6/7/12 (i)

JPY

320,000

3,427

HBOS Treasury Services PLC 0.6257% 1/19/10 (i)

CAD

1,500

1,396

HSBK (Europe) B.V. 9.25% 10/16/13 (f)

12,560

12,340

Intesa Sanpaolo SpA 5% 9/23/19

EUR

2,900

4,264

JSC Halyk Bank of Kazakhstan (Reg. S) 8.125% 10/7/09

5,715

5,686

KBC IFIMA NV 4.5% 9/17/14

EUR

2,200

3,222

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

JPY

600,000

6,580

Rabobank Nederland:

1.046% 7/28/15 (i)

EUR

1,150

1,625

4% 9/10/15

GBP

4,550

7,246

RSHB Capital SA 9% 6/11/14 (f)

1,535

1,679

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

GBP

1,150

1,959

Societe Generale SCF 4% 7/7/16

EUR

3,550

5,363

Standard Chartered Bank 5.875% 9/26/17 (Reg. S)

EUR

3,100

4,691

Svenska Handelsbanken AB 5.5% 5/26/16

GBP

1,950

3,266

US Bank NA, Cincinnati 4.375% 2/28/17 (i)

EUR

1,600

2,176

Wachovia Bank NA 6% 5/23/13

EUR

2,200

3,481

Wachovia Corp. 4.375% 8/1/16

EUR

1,000

1,469

Wells Fargo & Co. 7.98% (i)

2,035

1,852

Westpac Banking Corp. 4.25% 9/22/16

EUR

2,800

4,108

Zions Bancorp 7.75% 9/23/14

3,280

2,936

 

138,941

Consumer Finance - 1.6%

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

1,420

953

American Express Credit Corp. 5.375% 10/1/14

GBP

2,600

4,167

Ford Motor Credit Co. LLC:

7% 10/1/13

5,290

4,965

7.25% 10/25/11

12,485

12,126

7.375% 2/1/11

735

731

7.5% 8/1/12

9,230

8,907

8% 6/1/14

5,120

4,864

8% 12/15/16

18,125

16,816

12% 5/15/15

12,770

14,047

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

General Motors Acceptance Corp.:

6.75% 12/1/14

$ 850

$ 723

8% 11/1/31

7,330

5,860

GMAC LLC:

6% 4/1/11 (f)

1,435

1,345

6.75% 12/1/14 (f)

4,285

3,642

8% 11/1/31 (f)

53,138

42,776

SLM Corp. 0.973% 12/15/10 (i)

EUR

1,100

1,422

 

123,344

Diversified Financial Services - 1.1%

Bank of America Corp.:

4% 3/28/18 (i)

EUR

1,700

2,144

4.75% 5/23/17 (i)

EUR

2,150

2,802

4.75% 5/6/19

EUR

600

773

6.125% 9/15/21

GBP

2,350

3,814

8% (i)

5,365

4,721

8.125% (i)

7,380

6,494

BAT International Finance PLC 5.375% 6/29/17

EUR

900

1,382

Broadgate PLC 1.9615% 10/5/25 (i)

GBP

685

657

CIT Group, Inc.:

0.7044% 2/13/12 (i)

1,350

878

5% 2/13/14

3,790

2,421

5% 2/1/15

3,137

1,992

5.125% 9/30/14

1,700

1,088

5.4% 2/13/12

4,725

3,101

5.4% 3/7/13

2,925

1,875

5.4% 1/30/16

1,615

1,018

5.6% 4/27/11

505

344

5.85% 9/15/16

1,310

832

7.625% 11/30/12

5,060

3,296

Cloverie PLC 7.5% 7/24/39 (i)

EUR

1,200

1,919

Dignity Finance PLC:

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

GBP

158

273

8.151% 12/31/30

GBP

475

825

EnBW International Finance BV 6.125% 7/7/39

EUR

550

878

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

1,600

1,700

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

2,056

2,015

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

Greene King Finance PLC Series A1, 0.9906% 6/15/31 (i)

GBP

1,000

$ 1,103

Imperial Tobacco Finance 8.375% 2/17/16

EUR

2,915

5,005

International Lease Finance Corp. 6.625% 11/15/13

$ 1,670

1,324

Linde Finance BV 6.75% 12/8/15

EUR

1,750

2,956

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

2,185

1,595

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

RUB

79,324

2,510

Sedna Finance Corp.:

1.378% 12/23/14 (b)(i)

EUR

500

0*

1.523% 3/15/10 (b)(i)

EUR

1,150

0*

SES Global Americas Holdings GP 4.875% 7/9/14

EUR

850

1,295

Severn Trent Utilities Finance PLC 5.25% 3/11/16

EUR

2,500

3,837

TMK Capital SA 10% 7/29/11

10,000

9,860

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

EUR

700

1,017

UT2 Funding PLC 5.321% 6/30/16 (b)

EUR

430

404

WaMu Covered Bond Program:

3.875% 9/27/11

EUR

1,090

1,622

4.375% 5/19/14

EUR

650

966

 

80,736

Insurance - 0.2%

Eureko BV:

5.125% (i)

EUR

3,100

3,039

7.375% 6/16/14

EUR

2,910

4,705

Fukoku Mutual Life Insurance Co. 4.5% 9/28/25 (i)

EUR

1,200

1,147

Mapfre SA 5.921% 7/24/37 (i)

EUR

2,900

3,487

Old Mutual PLC 4.5% 1/18/17 (i)

EUR

1,400

1,678

 

14,056

Real Estate Investment Trusts - 0.3%

Rouse Co. 5.375% 11/26/13 (b)

5,135

4,378

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

9,470

8,156

Senior Housing Properties Trust 7.875% 4/15/15

6,211

5,900

Ventas Realty LP 6.5% 6/1/16

980

946

 

19,380

Real Estate Management & Development - 0.6%

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

6,420

6,934

Hammerson PLC 4.875% 6/19/15

EUR

680

923

Realogy Corp.:

10.5% 4/15/14

47,905

34,731

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

Realogy Corp.: - continued

11.75% 4/15/14 pay-in-kind (i)

$ 4,052

$ 2,370

WT Finance (Aust) Pty Ltd./Westfield Europe Finance PLC/WEA Finance 3.625% 6/27/12

EUR

1,250

1,758

 

46,716

Thrifts & Mortgage Finance - 0.0%

Credit Logement SA:

1.373% (i)

EUR

1,000

1,051

4.604% (i)

EUR

2,000

2,358

 

3,409

TOTAL FINANCIALS

443,111

HEALTH CARE - 1.3%

Health Care Equipment & Supplies - 0.0%

Biomet, Inc. 10% 10/15/17

245

260

Invacare Corp. 9.75% 2/15/15

1,530

1,614

 

1,874

Health Care Providers & Services - 1.0%

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

7,720

8,338

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

11,685

9,604

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

1,880

1,325

DaVita, Inc. 6.625% 3/15/13

5,230

5,165

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

1,000

1,018

HCA, Inc.:

5.75% 3/15/14

3,377

2,955

6.25% 2/15/13

1,755

1,676

6.375% 1/15/15

1,125

993

6.5% 2/15/16

4,220

3,735

6.75% 7/15/13

1,750

1,676

9.125% 11/15/14

5,490

5,655

9.25% 11/15/16

10,935

11,236

Rural/Metro Corp. 9.875% 3/15/15

1,355

1,314

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

3,652

3,780

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

310

308

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

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

$ 3,040

$ 3,200

Tenet Healthcare Corp.:

9.25% 2/1/15

1,380

1,432

9.875% 7/1/14

13,330

13,463

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

895

850

 

77,723

Life Sciences Tools & Services - 0.0%

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

1,770

1,814

Pharmaceuticals - 0.3%

Elan Finance PLC/Elan Finance Corp.:

7.75% 11/15/11

1,585

1,613

8.75% 10/15/16 (f)

5,775

5,703

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

1,885

5

Pfizer, Inc. 5.75% 6/3/21

EUR

3,150

5,159

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

EUR

1,950

3,372

Schering-Plough Corp. 5.375% 10/1/14

EUR

2,540

4,018

 

19,870

TOTAL HEALTH CARE

101,281

INDUSTRIALS - 2.1%

Aerospace & Defense - 0.1%

Alion Science & Technology Corp. 10.25% 2/1/15

800

576

DigitalGlobe, Inc. 10.5% 5/1/14 (f)

2,915

3,104

Hexcel Corp. 6.75% 2/1/15

2,350

2,238

Orbimage Holdings, Inc. 12.5% 7/1/12 (i)

1,720

1,763

 

7,681

Airlines - 0.4%

American Airlines, Inc. 13% 8/1/16 (f)

5,145

5,582

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

5,955

6,402

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

820

681

Delta Air Lines, Inc.:

7.9% 12/15/09 (a)

16,400

164

9.5% 9/15/14 (f)

1,530

1,528

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

Delta Air Lines, Inc.: - continued

10% 8/15/08 (a)

$ 1,255

$ 13

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

6.821% 8/10/22

8,915

8,247

8.021% 8/10/22

4,555

3,291

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

1,895

14

Northwest Airlines, Inc.:

7.875% 3/15/08 (a)

1,365

7

8.875% 6/1/06 (a)

1,355

10

Northwest Airlines, Inc. pass-thru trust certificates:

7.027% 11/1/19

2,288

1,956

8.028% 11/1/17

1,016

803

 

28,698

Building Products - 0.3%

Compagnie de St. Gobain 8.25% 7/28/14

EUR

1,950

3,321

Nortek, Inc.:

8.5% 9/1/14

11,485

7,925

10% 12/1/13

11,620

11,852

NTK Holdings, Inc. 10.75% 3/1/14

6,210

171

Voto-Votorantim Overseas Trading Operations V Ltd. 6.625% 9/25/19 (f)

2,685

2,672

 

25,941

Commercial Services & Supplies - 0.4%

ACCO Brands Corp. 10.625% 3/15/15 (f)

595

622

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

160

152

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

680

833

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

1,510

1,586

Cenveo Corp. 10.5% 8/15/16 (f)

2,795

2,627

GeoEye, Inc. 9.625% 10/1/15 (f)

1,030

1,043

International Lease Financial Corp. 5% 9/15/12

2,420

1,942

Iron Mountain, Inc.:

6.625% 1/1/16

10,955

10,572

7.75% 1/15/15

4,830

4,866

West Corp. 9.5% 10/15/14

8,620

8,405

 

32,648

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Construction & Engineering - 0.0%

Blount, Inc. 8.875% 8/1/12

$ 1,250

$ 1,272

Electrical Equipment - 0.1%

Areva SA 4.875% 9/23/24

EUR

1,700

2,515

Coleman Cable, Inc. 9.875% 10/1/12

1,040

988

General Cable Corp. 7.125% 4/1/17

680

648

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

900

918

 

5,069

Industrial Conglomerates - 0.2%

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

EUR

3,600

5,202

Sequa Corp.:

11.75% 12/1/15 (f)

10,805

8,482

13.5% 12/1/15 pay-in-kind (f)

4,250

3,161

Siemens Financieringsmaatschappij NV 6.125% 9/14/66 (i)

GBP

1,075

1,605

 

18,450

Machinery - 0.1%

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

1,160

1,137

Cummins, Inc. 7.125% 3/1/28

1,870

1,705

Terex Corp. 10.875% 6/1/16

5,025

5,452

 

8,294

Marine - 0.1%

Navios Maritime Holdings, Inc. 9.5% 12/15/14

5,215

4,928

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

2,050

1,794

US Shipping Partners LP 13% 8/15/14 (b)

3,185

4

 

6,726

Road & Rail - 0.2%

Kansas City Southern de Mexico, SA de CV:

7.375% 6/1/14

1,670

1,557

7.625% 12/1/13

1,700

1,615

12.5% 4/1/16 (f)

2,850

3,178

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

1,270

959

TFM SA de CV 9.375% 5/1/12

6,450

6,515

 

13,824

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Trading Companies & Distributors - 0.2%

Glencore Finance (Europe) SA 7.125% 4/23/15

EUR

1,650

$ 2,459

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

$ 1,515

606

VWR Funding, Inc. 11.25% 7/15/15 pay-in-kind (e)

10,015

8,970

 

12,035

TOTAL INDUSTRIALS

160,638

INFORMATION TECHNOLOGY - 2.1%

Communications Equipment - 0.5%

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

6,290

6,321

Lucent Technologies, Inc.:

6.45% 3/15/29

20,050

15,263

6.5% 1/15/28

6,570

5,001

Nortel Networks Corp.:

9.0025% 7/15/11 (b)(i)

3,760

2,124

10.125% 7/15/13 (b)

3,730

2,145

10.75% 7/15/16 (b)

8,930

5,135

 

35,989

Computers & Peripherals - 0.0%

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

1,450

1,570

IT Services - 0.2%

Ceridian Corp.:

11.25% 11/15/15

7,945

7,131

12.25% 11/15/15 pay-in-kind (i)

875

735

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

5,280

5,386

Unisys Corp.:

12.5% 1/15/16

3,030

2,621

12.75% 10/15/14 (f)

437

463

14.25% 9/15/15 (f)

350

361

 

16,697

Semiconductors & Semiconductor Equipment - 1.4%

Amkor Technology, Inc.:

7.125% 3/15/11

145

146

7.75% 5/15/13

1,040

1,035

9.25% 6/1/16

8,580

8,773

Avago Technologies Finance Ltd.:

5.8606% 6/1/13 (i)

902

884

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Avago Technologies Finance Ltd.: - continued

11.875% 12/1/15

$ 8,455

$ 9,216

Freescale Semiconductor, Inc.:

8.875% 12/15/14

29,170

22,315

9.875% 12/15/14 pay-in-kind (i)

28,181

18,610

MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. 4.57% 12/15/11 (b)(i)

735

0*

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

2,100

3

NXP BV:

3.2594% 10/15/13 (i)

18,985

13,669

7.875% 10/15/14

13,305

10,444

9.5% 10/15/15

14,725

9,792

Spansion LLC 11.25% 1/15/16 (b)(f)

4,255

4,298

Viasystems, Inc. 10.5% 1/15/11

4,065

4,009

 

103,194

Software - 0.0%

Open Solutions, Inc. 9.75% 2/1/15 (f)

870

600

TOTAL INFORMATION TECHNOLOGY

158,050

MATERIALS - 3.7%

Chemicals - 0.8%

Ashland, Inc. 9.125% 6/1/17 (f)

2,490

2,664

Chemtura Corp. 6.875% 6/1/16 (b)

1,225

1,286

JohnsonDiversey Holdings, Inc. 10.67% 5/15/13

6,095

5,790

MacDermid, Inc. 9.5% 4/15/17 (f)

500

460

Momentive Performance Materials, Inc.:

9.75% 12/1/14

28,265

21,905

10.875% 12/1/14 pay-in-kind (i)

7,070

4,901

11.5% 12/1/16

19,830

12,989

NOVA Chemicals Corp.:

4.5375% 11/15/13 (i)

1,690

1,483

6.5% 1/15/12

5,775

5,674

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

1,600

1,520

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

3,430

1,321

 

59,993

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Construction Materials - 0.1%

CRH Finance BV 7.375% 5/28/14

EUR

50

$ 81

Lafarge SA 8.75% 5/30/17

GBP

2,300

4,084

SOV Housing Capital PLC 5.705% 9/10/39

GBP

1,400

2,301

 

6,466

Containers & Packaging - 0.8%

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

$ 640

614

Berry Plastics Holding Corp.:

4.174% 9/15/14 (i)

640

493

8.875% 9/15/14

19,025

17,979

10.25% 3/1/16

4,055

3,447

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

3,600

3,816

Crown Cork & Seal, Inc.:

7.375% 12/15/26

9,795

8,644

7.5% 12/15/96

3,685

2,782

8% 4/15/23

2,980

2,846

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

1,170

834

Rexam PLC 4.375% 3/15/13

EUR

1,150

1,680

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

3,005

2,134

Temple-Inland, Inc.:

6.625% 1/15/16

165

162

7.875% 5/1/12

3,735

3,976

Vitro SAB de CV:

8.625% 2/1/12 (b)

24,240

11,696

9.125% 2/1/17 (b)

2,210

1,066

 

62,169

Metals & Mining - 1.8%

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

2,790

3

ArcelorMittal SA 8.25% 6/3/13

EUR

750

1,212

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

2,740

2,752

Evraz Group SA 8.875% 4/24/13 (f)

9,850

9,518

FMG Finance Property Ltd.:

10% 9/1/13 (f)

4,945

5,217

10.625% 9/1/16 (f)

21,290

22,993

Freeport-McMoRan Copper & Gold, Inc.:

8.25% 4/1/15

8,780

9,318

8.375% 4/1/17

34,820

37,214

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

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

$ 10,550

$ 10,998

Ispat Inland ULC 9.75% 4/1/14

932

976

Novelis, Inc. 11.5% 2/15/15 (f)

1,185

1,209

RathGibson, Inc. 11.25% 2/15/14 (b)

5,905

2,185

Steel Dynamics, Inc.:

6.75% 4/1/15

4,545

4,340

7.375% 11/1/12

865

865

8.25% 4/15/16 (e)(f)

865

861

Teck Resources Ltd.:

9.75% 5/15/14

6,275

6,887

10.25% 5/15/16

8,000

9,000

10.75% 5/15/19

9,360

10,858

 

136,406

Paper & Forest Products - 0.2%

Glatfelter 7.125% 5/1/16

550

517

NewPage Corp.:

6.7331% 5/1/12 (i)

1,770

1,080

11.375% 12/31/14 (f)

4,775

4,703

Solo Cup Co. 8.5% 2/15/14

2,140

2,044

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

3,005

2,145

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

3,840

3,994

 

14,483

TOTAL MATERIALS

279,517

TELECOMMUNICATION SERVICES - 5.5%

Diversified Telecommunication Services - 3.1%

Alestra SA de RL de CV 11.75% 8/11/14 (f)

2,445

2,696

Citizens Communications Co.:

7.875% 1/15/27

4,895

4,430

9% 8/15/31

3,655

3,582

Deutsche Telekom International Financial BV 7.5% 1/24/33

EUR

1,670

2,984

Global Crossing Ltd. 12% 9/15/15 (f)

3,130

3,271

Global Village Telecom Finance LLC 12% 6/30/11 (f)

8,564

8,778

Intelsat Bermuda Ltd. 12.5% 2/4/17 pay-in-kind (e)(f)

27,133

24,791

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Intelsat Corp.:

9.25% 8/15/14

$ 5,215

$ 5,345

9.25% 6/15/16

8,820

9,085

Intelsat Ltd. 11.25% 6/15/16

27,785

29,799

Koninklijke KPN NV 5.625% 9/30/24

EUR

2,750

4,108

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

5,425

5,615

Qwest Communications International, Inc.:

7.5% 2/15/14

7,555

7,461

7.5% 2/15/14

1,655

1,634

Sistema Capital SA 8.875% 1/28/11 (Reg. S)

5,810

5,984

Sprint Capital Corp.:

6.875% 11/15/28

55,765

46,564

6.9% 5/1/19

5,935

5,312

8.75% 3/15/32

27,255

25,756

Telecom Egypt SAE 11.2% 2/4/10 (i)

EGP

713

123

Telecom Italia SpA 7.375% 12/15/17

GBP

2,750

4,807

Telefonica Emisiones SAU 5.496% 4/1/16

EUR

2,600

4,110

U.S. West Communications:

7.25% 9/15/25

535

457

7.25% 10/15/35

1,455

1,164

7.5% 6/15/23

460

398

Wind Acquisition Finance SA:

10.75% 12/1/15 (f)

11,630

12,619

11.75% 7/15/17 (f)

13,825

15,553

 

236,426

Wireless Telecommunication Services - 2.4%

Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14

4,545

4,613

Cricket Communications, Inc. 10% 7/15/15

2,160

2,225

Digicel Group Ltd.:

8.875% 1/15/15 (f)

17,550

16,365

9.125% 1/15/15 pay-in-kind (f)(i)

6,310

5,916

9.25% 9/1/12 (f)

7,775

7,892

12% 4/1/14 (f)

9,725

10,843

Intelsat Jackson Holdings Ltd.:

9.5% 6/15/16

19,260

20,223

11.5% 6/15/16

8,740

9,308

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

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

$ 12,125

$ 12,337

Millicom International Cellular SA 10% 12/1/13

10,130

10,510

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

7,884

8,219

Nextel Communications, Inc.:

5.95% 3/15/14

9,445

8,359

7.375% 8/1/15

5,220

4,685

NII Capital Corp. 10% 8/15/16 (f)

16,260

16,870

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

3,000

2,865

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

12,184

10,600

Sprint Nextel Corp. 6% 12/1/16

6,700

5,980

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

8,155

8,440

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

12,210

12,729

 

178,979

TOTAL TELECOMMUNICATION SERVICES

415,405

UTILITIES - 2.0%

Electric Utilities - 0.5%

Chivor SA E.S.P. 9.75% 12/30/14 (f)

2,355

2,638

Edison Mission Energy:

7.5% 6/15/13

4,880

4,551

7.75% 6/15/16

1,340

1,166

Enel Finance International SA:

5% 9/14/22

EUR

1,400

2,049

5.75% 9/14/40

GBP

1,700

2,721

Intergen NV 9% 6/30/17 (f)

7,670

7,900

Majapahit Holding BV:

7.75% 10/17/16

3,935

4,161

8% 8/7/19 (f)

2,455

2,631

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

5,655

5,909

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

Series A, 10.25% 11/1/15

5,985

4,324

Series B, 10.25% 11/1/15

2,620

1,860

11.25% 11/1/16 pay-in-kind

1,970

1,275

 

41,185

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Gas Utilities - 0.6%

Bord Gais Eireann 5.75% 6/16/14

EUR

1,400

$ 2,180

Intergas Finance BV:

6.375% 5/14/17 (Reg. S)

$ 6,470

6,082

6.875% 11/4/11 (Reg. S)

14,104

14,245

Southern Gas Networks PLC Class A1, 1.194% 10/21/10 (i)

EUR

1,650

2,359

Southern Natural Gas Co.:

7.35% 2/15/31

7,350

7,932

8% 3/1/32

4,170

4,931

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

11,000

9,405

 

47,134

Independent Power Producers & Energy Traders - 0.4%

Energy Future Holdings:

10.875% 11/1/17

29,585

22,485

12% 11/1/17 pay-in-kind (i)

6,614

4,094

Enron Corp.:

Series A, 8.375% 5/23/05 (b)

2,500

0*

6.4% 7/15/06 (b)

9,815

6

6.625% 11/15/05 (b)

2,200

1

6.725% 11/17/08 (b)(i)

684

0*

6.75% 8/1/09 (b)

550

0*

6.875% 10/15/07 (b)

1,330

1

6.95% 7/15/28 (b)

1,204

0*

7.125% 5/15/07 (b)

235

0*

7.375% 5/15/19 (b)

1,400

1

7.875% 6/15/03 (b)

235

0*

9.125% 4/1/03 (b)

50

0*

9.875% 6/5/03 (b)

4,720

3

RRI Energy, Inc.:

7.625% 6/15/14

4,300

4,219

7.875% 6/15/17

990

966

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

1,003

903

 

32,679

Multi-Utilities - 0.4%

Aquila, Inc. 11.875% 7/1/12 (i)

1,615

1,865

Centrica PLC 6.375% 3/10/22

GBP

1,250

2,165

NiSource Finance Corp. 10.75% 3/15/16

18,183

21,378

Corporate Bonds - continued

 

Principal Amount (000s) (c)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities - continued

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

$ 39

$ 42

Veolia Environnement 4.375% 12/11/20

EUR

1,900

2,645

 

28,095

Water Utilities - 0.1%

Thames Water Utilities Cayman Finance Ltd. 6.125% 2/4/13

EUR

3,950

6,216

TOTAL UTILITIES

155,309

TOTAL NONCONVERTIBLE BONDS

2,524,539

TOTAL CORPORATE BONDS

(Cost $2,520,653)

2,568,233

U.S. Government and Government Agency Obligations - 24.7%

 

U.S. Government Agency Obligations - 5.3%

Fannie Mae:

1.75% 8/10/12

38,274

38,448

2% 1/9/12

15,000

15,258

2.5% 5/15/14

23,157

23,107

2.75% 3/13/14

32,840

33,347

3% 7/12/10

10,000

10,199

4.75% 11/19/12

15,800

17,257

6% 5/15/11

7,545

8,169

Federal Home Loan Bank:

1.625% 7/27/11

28,000

28,321

1.625% 9/26/12

14,000

13,965

3.625% 10/18/13

36,405

38,346

Freddie Mac:

1.75% 6/15/12

52,714

52,994

2.125% 3/23/12

830

845

2.5% 4/23/14

32,980

33,036

3.75% 3/27/19

1,050

1,051

5% 2/16/17

8,600

9,500

5.125% 11/17/17

29,108

32,341

5.5% 8/23/17

14,000

15,937

6.875% 9/15/10

15,000

15,905

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s) (c)

Value (000s)

U.S. Government Agency Obligations - continued

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

$ 4,750

$ 5,207

Private Export Funding Corp. secured:

4.974% 8/15/13

1,515

1,664

5.685% 5/15/12

1,285

1,425

Tennessee Valley Authority 5.25% 9/15/39

5,600

5,909

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

402,231

U.S. Treasury Inflation Protected Obligations - 0.8%

U.S. Treasury Inflation-Indexed Bonds 2.5% 1/15/29

19,229

20,721

U.S. Treasury Inflation-Indexed Notes:

1.375% 7/15/18

18,326

18,205

1.875% 7/15/19

22,119

22,827

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

61,753

U.S. Treasury Obligations - 17.0%

U.S. Treasury Bonds:

3.5% 2/15/39

78,232

70,873

4.25% 5/15/39

40,654

42,058

4.375% 2/15/38

2,500

2,634

4.5% 5/15/38

7,550

8,125

4.5% 8/15/39

8,800

9,488

6.125% 8/15/29

9,487

12,186

6.25% 8/15/23

56,925

71,352

7.5% 11/15/16

2,850

3,674

7.5% 11/15/24

10,690

15,045

7.875% 2/15/21

6,800

9,480

8.125% 5/15/21

9,286

13,185

9.875% 11/15/15

11,595

16,283

U.S. Treasury Notes:

0.875% 3/31/11

15,180

15,231

1% 9/30/11

184,799

184,913

1.125% 1/15/12

52,869

52,869

1.375% 9/15/12

1,000

998

1.5% 10/31/10

948

959

1.5% 12/31/13

4,313

4,223

1.875% 2/28/14

85

84

1.875% 4/30/14

33,802

33,401

2% 11/30/13

4,841

4,848

2.25% 5/31/14

58,301

58,479

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s) (c)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

2.375% 8/31/14

$ 30,410

$ 30,524

2.625% 6/30/14

52,438

53,372

2.625% 7/31/14

22,000

22,368

2.625% 4/30/16

22,737

22,442

2.75% 2/28/13

92,964

96,516

2.75% 2/15/19

23,501

22,427

2.875% 1/31/13

81,929

85,430

3% 8/31/16

53,515

53,833

3% 9/30/16

32,628

32,758

3.125% 8/31/13

11,100

11,633

3.125% 9/30/13

34,572

36,228

3.125% 5/15/19

40,157

39,514

3.375% 6/30/13

8,470

8,966

3.625% 5/15/13

33,692

35,943

3.625% 8/15/19

9,400

9,648

3.75% 11/15/18

34,582

35,784

3.875% 5/15/18

2,550

2,673

4.25% 10/15/10

5,875

6,108

4.25% 11/15/17

28,890

31,129

4.5% 2/28/11

11,301

11,919

4.5% 5/15/17

13,745

15,086

TOTAL U.S. TREASURY OBLIGATIONS

1,294,689

Other Government Related - 1.6%

Bank of America Corp. 2.1% 4/30/12 (FDIC Guaranteed) (g)

3,013

3,055

Citibank NA:

1.5% 7/12/11 (FDIC Guaranteed) (g)

4,900

4,932

1.875% 5/7/12 (FDIC Guaranteed) (g)

18,000

18,119

Citigroup Funding, Inc.:

1.875% 11/15/12 (FDIC Guaranteed) (g)

6,937

6,937

2% 3/30/12 (FDIC Guaranteed) (g)

10,000

10,110

2.125% 7/12/12 (FDIC Guaranteed) (g)

2,505

2,533

General Electric Capital Corp.:

1.8% 3/11/11 (FDIC Guaranteed) (g)

12,000

12,149

2% 9/28/12 (FDIC Guaranteed) (g)

19,526

19,635

2.625% 12/28/12 (FDIC Guaranteed) (g)

5,402

5,535

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s) (c)

Value (000s)

Other Government Related - continued

JPMorgan Chase & Co. 1.902% 12/26/12 (FDIC Guaranteed) (g)

$ 15,000

$ 15,201

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

21,887

22,769

TOTAL OTHER GOVERNMENT RELATED

120,975

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,852,959)

1,879,648

U.S. Government Agency - Mortgage Securities - 2.9%

 

Fannie Mae - 1.8%

3.205% 9/1/33 (i)

988

1,007

3.321% 9/1/34 (i)

954

982

3.334% 4/1/36 (i)

235

239

3.34% 11/1/35 (i)

1,145

1,174

3.615% 7/1/35 (i)

673

689

3.995% 10/1/34 (i)

1,388

1,418

4% 9/1/13 to 6/1/24

3,489

3,560

4.051% 11/1/36 (i)

107

111

4.106% 3/1/35 (i)

19,111

19,789

4.216% 8/1/35 (i)

1,716

1,799

4.224% 4/1/35 (i)

1,362

1,412

4.27% 1/1/35 (i)

517

533

4.29% 6/1/36 (i)

130

135

4.344% 3/1/34 (i)

670

688

4.4% 2/1/35 (i)

2,949

3,064

4.411% 11/1/36 (i)

574

597

4.428% 10/1/35 (i)

232

238

4.539% 11/1/33 (i)

217

228

4.597% 7/1/35 (i)

1,600

1,658

4.639% 7/1/35 (i)

508

526

4.649% 11/1/35 (i)

3,039

3,134

4.651% 4/1/36 (i)

727

761

4.717% 11/1/35 (i)

888

927

4.726% 9/1/35 (i)

1,948

2,028

4.741% 2/1/35 (i)

4,222

4,320

4.781% 7/1/35 (i)

654

675

4.785% 3/1/33 (i)

334

345

4.822% 7/1/35 (i)

760

780

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s) (c)

Value (000s)

Fannie Mae - continued

4.897% 2/1/36 (i)

$ 1,917

$ 1,989

4.97% 12/1/32 (i)

722

739

4.996% 2/1/34 (i)

971

1,009

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

262

274

5% 10/1/24 (h)

2,000

2,097

5.006% 10/1/35 (i)

3,521

3,643

5.019% 5/1/35 (i)

1,863

1,915

5.125% 10/1/35 (i)

8,388

8,687

5.128% 7/1/35 (i)

1,152

1,181

5.181% 6/1/35 (i)

7,184

7,411

5.261% 5/1/35 (i)

721

764

5.27% 2/1/37 (i)

3,389

3,508

5.302% 9/1/36 (i)

827

859

5.313% 3/1/36 (i)

5,369

5,643

5.338% 2/1/37 (i)

2,088

2,155

5.498% 6/1/47 (i)

371

384

5.5% 3/1/12 to 4/1/16

613

637

5.5% 10/19/24 (h)

6,000

6,343

5.5% 10/19/24 (h)

6,500

6,872

5.608% 4/1/36 (i)

1,973

2,079

5.633% 2/1/36 (i)

455

473

5.788% 3/1/36 (i)

3,685

3,872

5.844% 6/1/35 (i)

1,717

1,818

5.862% 5/1/36 (i)

501

531

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

6,751

7,260

6% 4/1/36 (i)

7,280

7,631

6.22% 3/1/37 (i)

280

297

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

3,542

3,818

7.5% 1/1/28

81

89

TOTAL FANNIE MAE

136,795

Freddie Mac - 1.1%

2.853% 7/1/33 (i)

1,185

1,213

2.872% 6/1/33 (i)

623

635

2.997% 5/1/35 (i)

1,337

1,369

3.374% 7/1/35 (i)

817

843

3.752% 9/1/36 (i)

562

577

3.819% 12/1/33 (i)

1,234

1,265

4% 10/19/24 (h)

2,750

2,798

4.084% 4/1/35 (i)

1,649

1,716

4.46% 10/1/35 (i)

895

925

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s) (c)

Value (000s)

Freddie Mac - continued

4.477% 4/1/34 (i)

$ 7,075

$ 7,344

4.5% 8/1/33

603

616

4.746% 1/1/35 (i)

1,652

1,714

4.746% 3/1/35 (i)

517

526

4.79% 2/1/36 (i)

187

196

4.971% 10/1/36 (i)

859

899

5.027% 4/1/35 (i)

1,762

1,841

5.034% 4/1/35 (i)

77

81

5.1% 4/1/35 (i)

7,443

7,653

5.109% 7/1/35 (i)

502

521

5.26% 2/1/36 (i)

52

55

5.297% 9/1/35 (i)

506

528

5.446% 3/1/37 (i)

288

296

5.479% 4/1/37 (i)

305

315

5.5% 8/1/14 to 2/1/19

11,206

11,970

5.524% 1/1/36 (i)

621

650

5.589% 3/1/36 (i)

2,981

3,133

5.684% 10/1/35 (i)

220

233

5.687% 1/1/36 (i)

257

268

5.736% 5/1/37 (i)

3,679

3,828

5.737% 5/1/37 (i)

599

618

5.768% 3/1/37 (i)

1,448

1,469

5.769% 4/1/37 (i)

1,598

1,646

5.777% 5/1/37 (i)

2,002

2,079

5.823% 6/1/37 (i)

1,216

1,271

5.847% 5/1/37 (i)

279

289

5.954% 6/1/37 (i)

299

317

6% 7/1/16 to 2/1/19

5,996

6,443

6.04% 12/1/36 (i)

3,472

3,567

6.085% 6/1/36 (i)

1,016

1,065

6.151% 1/1/37 (i)

1,161

1,229

6.19% 2/1/37 (i)

429

447

6.237% 7/1/36 (i)

556

584

6.42% 6/1/37 (i)

167

177

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

5,474

5,863

6.661% 8/1/37 (i)

1,074

1,140

7.347% 4/1/37 (i)

78

83

8.5% 3/1/20

6

7

TOTAL FREDDIE MAC

82,302

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s) (c)

Value (000s)

Government National Mortgage Association - 0.0%

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

$ 32

$ 35

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

57

63

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

105

115

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

23

25

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

238

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $214,235)

219,335

Asset-Backed Securities - 0.2%

 

Amstel Corp. Loan Offering BV:

Series 2006-1 Class C, 1.329% 5/25/16 (i)

EUR

465

240

Series 2007-1 Class B, 1.1019% 3/25/17 (i)

EUR

1,009

546

Auto ABS Compartiment Series 2006-1 Class B, 1.177% 7/25/17 (i)

EUR

500

559

Clock Finance BV Series 2007-1:

Class B2, 1.069% 2/25/15 (i)

EUR

700

686

Class C2, 1.249% 2/25/15 (i)

EUR

400

322

Geldilux Ltd. Series 2007-TS Class C, 1.548% 9/8/14 (i)

EUR

400

384

GLS Ltd. Series 2006-1 Class C, 1.496% 7/15/14 (i)

EUR

500

728

Lambda Finance BV Series 2005-1X Class C1, 1.06% 11/15/29 (i)

GBP

500

472

Leek Finance PLC:

Series 17X Class A2A, 0.7131% 12/21/37 (i)

GBP

196

252

Series 18X Class BC, 1.166% 9/21/38 (i)

EUR

600

107

Mermaid Secured Finance 2007-1 Series 2007-1:

Class C, 1.208% 1/30/40 (i)

EUR

400

551

Class D, 1.408% 1/30/40 (i)

EUR

550

743

Prime Bricks 2007-1 GmbH Series 2007-1:

Class B, 1.208% 1/30/40 (i)

EUR

550

758

Class C, 1.408% 1/30/40 (i)

EUR

450

608

Promise K 2006-1 GmbH Series I 2006-1 Class D, 1.458% 3/10/17 (i)

EUR

1,000

254

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

488

510

Stichting Mars Series 2006 Class C, 1.144% 8/28/14 (i)

EUR

1,000

790

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

GBP

3,550

5,794

Asset-Backed Securities - continued

 

Principal Amount (000s) (c)

Value (000s)

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

GBP

60

$ 73

VCL No. 11 Ltd. Class A, 0% 8/21/15 (i)

EUR

1,400

2,052

Volkswagen Car Lease Series 9 Class B, 0.581% 4/21/12 (Reg. S) (i)

EUR

86

123

Whinstone Capital Management Ltd. Series 2005-1X Class B1, 1.8144% 10/25/45 (i)

GBP

526

67

TOTAL ASSET-BACKED SECURITIES

(Cost $22,110)

16,619

Collateralized Mortgage Obligations - 0.8%

 

Private Sponsor - 0.0%

Arkle Master Issuer PLC floater Series 2006-1X Class 5M1, 1.143% 2/17/52 (i)

EUR

800

863

EPIC PLC Series BROD Class D, 1.424% 1/22/16 (i)

EUR

269

79

RMAC PLC Series 2005-NS4X Class M2A, 1.15% 12/12/43 (i)

GBP

1,443

349

RMAC Securities PLC 2006 floater Series 2006-NS4X Class M1A, 0.89% 6/12/44 (i)

GBP

1,250

169

Shield BV Series 1 Class C, 1.359% 1/20/14 (i)

EUR

1,500

1,794

TOTAL PRIVATE SPONSOR

3,254

U.S. Government Agency - 0.8%

Fannie Mae floater Series 2007-95 Class A1, 0.4963% 8/27/36 (i)

$ 4,876

4,535

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

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

157

168

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

1,515

1,556

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

890

935

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

3,190

3,355

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

1,980

2,057

Series 2004-81:

Class KC, 4.5% 4/25/17

1,182

1,224

Class KD, 4.5% 7/25/18

3,035

3,194

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

2,431

2,613

sequential payer:

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

549

591

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

1,653

1,764

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

808

815

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

2,196

2,288

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s) (c)

Value (000s)

U.S. Government Agency - continued

Fannie Mae subordinate REMIC pass-thru certificates:
- continued

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

$ 2,480

$ 2,711

Freddie Mac planned amortization class:

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

307

327

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

99

105

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2577 Class FW, 0.7434% 1/15/30 (i)

2,507

2,512

Series 2630 Class FL, 0.7434% 6/15/18 (i)

104

104

Series 2861 Class GF, 0.5434% 1/15/21 (i)

821

821

planned amortization class:

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

600

638

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

445

480

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

785

844

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

1,630

1,736

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

3,865

3,981

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

3,990

4,270

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

5,780

6,016

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

660

704

sequential payer:

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

820

875

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

200

207

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

261

267

Series 2617 Class GW, 3.5% 6/15/16

18

18

Series 2627:

Class BG, 3.25% 6/15/17

141

143

Class KP, 2.87% 12/15/16

130

132

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

216

221

Series 2564 Class BQ, 5.5% 10/15/17

1,878

1,988

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

2,155

2,292

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

203

208

Series 2975 Class NA, 5% 7/15/23

252

252

TOTAL U.S. GOVERNMENT AGENCY

56,947

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $62,137)

60,201

Commercial Mortgage Securities - 0.2%

 

Principal Amount (000s) (c)

Value (000s)

Bruntwood Alpha PLC Series 2007-1 Class C, 1.4821% 1/15/17 (i)

GBP

700

$ 224

Canary Wharf Finance II PLC Series 3MUK Class C2, 1.4875% 10/22/37 (i)

GBP

1,000

480

Enterprise Inns PLC 6.5% 12/6/18

GBP

1,025

1,301

European Property Capital 4 PLC Class C, 1.2281% 7/20/14 (i)

GBP

297

174

German Residential Asset Note Distributor PLC Series 1 Class A, 1.209% 7/20/16 (i)

EUR

1,269

1,509

JLOC 36 LLC Reg. S:

Class A1, 0.6613% 2/16/16 (i)

JPY

68,430

723

Class B, 0.8313% 2/16/16 (i)

JPY

73,920

733

JLOC 37 LLC (Reg. S) Series X Class B1, 0.8163% 1/15/15 (i)

JPY

73,491

697

London & Regional Debt Securitisation No. 1 PLC Class A, 1.2021% 10/15/14 (i)

GBP

650

828

Opera Finance (CMH) PLC Class B, 1.296% 1/15/15 (i)

EUR

1,100

483

Opera Finance (LAKESIDE) PLC 1.1375% 7/31/13 (i)

GBP

954

1,340

Paris Prime Community Real Estate Series 2006-1 Class B, 1.194% 4/22/14 (f)(i)

EUR

721

739

Real Estate Capital Foundation Ltd. Series 3 Class A, 1.9121% 7/15/16 (i)

GBP

1,708

1,904

Rivoli Pan Europe PLC Series 2006-1 Class B 1.1325% 8/3/18 (i)

EUR

650

519

Silver Maple Investment Co. Ltd. Class 2A, 1.063% 4/30/14 (i)

EUR

700

906

Skyline BV Series 2007-1 Class D, 1.754% 7/22/43 (i)

EUR

1,100

695

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $20,235)

13,255

Foreign Government and Government Agency Obligations - 20.3%

 

Argentine Republic:

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

$ 12,613

8,514

par 2.5% 12/31/38 (e)

7,920

2,653

7% 3/28/11

113,840

103,417

7% 9/12/13

82,150

64,013

Banco Central del Uruguay:

value recovery A rights 1/2/21 (l)

1,000,000

0*

value recovery B rights 1/2/21 (l)

750,000

0*

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

1,460

1,478

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (000s) (c)

Value (000s)

Brazilian Federative Republic:

6% 9/15/13

$ 1,133

$ 1,179

8% 1/15/18

1,426

1,651

8.25% 1/20/34

3,925

5,181

8.75% 2/4/25

3,540

4,691

12.25% 3/6/30

4,825

8,492

12.75% 1/15/20

1,380

2,236

Canadian Government:

3% 6/1/14

CAD

75,500

72,204

3.75% 9/1/11

CAD

28,000

27,382

4% 6/1/16

CAD

60,500

60,545

5% 6/1/37

CAD

26,400

29,512

Central Bank of Nigeria:

promissory note 5.092% 1/5/10

324

164

warrants 11/15/20 (a)(l)

2,750

316

Colombian Republic 7.375% 9/18/37

5,125

5,791

Congo Republic 3% 6/30/29 (e)

5,339

2,616

Democratic Socialist Republic of Sri Lanka 8.25% 10/24/12 (f)

5,790

5,877

Dominican Republic:

2.125% 8/30/24 (i)

4,323

3,242

9.04% 1/23/18 (f)

8,066

8,550

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

8,178

8,505

Ecuador Republic 5% 2/28/25

1,580

878

El Salvador Republic:

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

3,285

3,285

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

1,900

2,047

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

1,435

1,528

8.5% 7/25/11 (Reg. S)

1,845

1,956

French Republic 3.75% 10/25/19

EUR

28,050

41,783

Gabonese Republic 8.2% 12/12/17 (f)

9,075

9,370

Georgia Republic 7.5% 4/15/13

5,060

5,022

German Federal Republic:

1.25% 9/16/11

EUR

4,100

5,998

3% 3/12/10

EUR

39,000

57,688

3.5% 7/4/19

EUR

42,165

63,115

4.25% 7/4/14

EUR

27,600

43,716

4.75% 7/4/40

EUR

40,915

68,220

Ghana Republic 8.5% 10/4/17 (f)

8,605

8,648

Greek Government:

4.6% 9/20/40

EUR

3,065

4,083

5.5% 8/20/14

EUR

11,050

17,732

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (000s) (c)

Value (000s)

Greek Government: - continued

6% 7/19/19

EUR

3,900

$ 6,371

Indonesian Republic:

6.625% 2/17/37 (f)

$ 4,100

4,054

6.875% 3/9/17 (f)

2,845

3,065

6.875% 1/17/18 (f)

5,735

6,179

7.25% 4/20/15 (f)

2,985

3,291

7.75% 1/17/38 (f)

6,110

6,782

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

4,990

6,025

11.625% 3/4/19 (f)

5,545

7,818

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

11,215

10,150

Italian Republic:

3.5% 6/1/14

EUR

13,080

19,711

4.25% 3/1/20

EUR

6,200

9,190

5% 9/1/40

EUR

20,500

30,901

Japan Government:

0.4% 5/15/11

JPY

2,350,000

26,263

0.6% 4/15/10

JPY

7,450,000

83,201

2.5% 9/20/37

JPY

5,675,000

67,284

Lebanese Republic:

8.625% 6/20/13 (Reg. S)

4,260

4,643

9% 5/2/14

2,780

3,065

Pakistan International Sukuk Co. Ltd. 3.1456% 1/27/10 (i)

3,960

3,960

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

2,160

2,484

Peruvian Republic:

3% 3/7/27 (e)

900

729

7.35% 7/21/25

6,430

7,507

Philippine Republic:

9.5% 2/2/30

1,540

2,048

10.625% 3/16/25

1,465

2,060

Polish Government 6.375% 7/15/19

4,850

5,420

Republic of Fiji 6.875% 9/13/11

2,795

2,704

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

8,175

6,213

Republic of Serbia 3.75% 11/1/24 (e)(f)

15,405

15,174

Russian Federation:

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

70,970

77,446

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

8,475

14,196

Turkish Republic:

6.75% 4/3/18

5,860

6,168

6.875% 3/17/36

11,960

11,960

7% 9/26/16

5,240

5,633

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (000s) (c)

Value (000s)

Turkish Republic: - continued

7.25% 3/5/38

$ 6,850

$ 7,073

7.375% 2/5/25

13,680

14,843

UK Treasury GILT:

2.25% 3/7/14

GBP

10,310

16,259

3.75% 9/7/19

GBP

43,135

69,319

4.25% 12/7/55

GBP

7,895

13,142

5.75% 12/7/09

GBP

17,000

27,436

Ukraine Cabinet of Ministers:

6.875% 3/4/11 (Reg. S)

7,315

6,785

7.65% 6/11/13 (f)

1,220

1,095

Ukraine Government:

6.385% 6/26/12 (f)

8,240

7,231

6.75% 11/14/17 (f)

6,700

5,260

United Mexican States:

5.95% 3/19/19

2,674

2,828

7.5% 4/8/33

1,770

2,115

8.3% 8/15/31

1,710

2,204

Uruguay Republic:

Inflation-Indexed Bond 5% 9/14/18

UYU

39,307

1,845

6.875% 9/28/25

3,025

3,123

8% 11/18/22

6,487

7,265

Venezuelan Republic:

oil recovery rights 4/15/20 (l)

3,260

84

1.505% 4/20/11 (Reg. S) (i)

23,800

21,182

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

6,030

5,864

7% 3/31/38

3,450

2,096

8.5% 10/8/14

11,700

10,472

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

20,120

15,130

9.25% 9/15/27

17,120

13,782

9.375% 1/13/34

5,305

4,072

10.75% 9/19/13

32,378

32,054

13.625% 8/15/18

16,755

17,090

Vietnamese Socialist Republic:

4% 3/12/28 (e)

10,045

7,735

6.875% 1/15/16 (f)

2,565

2,693

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,468,023)

1,545,050

Common Stocks - 0.3%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 0.0%

Auto Components - 0.0%

Intermet Corp. (a)(m)

113,725

$ 0*

Remy International, Inc. (a)

40,800

141

Media - 0.0%

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

6

0*

TOTAL CONSUMER DISCRETIONARY

141

INDUSTRIALS - 0.1%

Airlines - 0.1%

Delta Air Lines, Inc. (a)

810,725

7,264

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

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

546,000

1

MATERIALS - 0.2%

Chemicals - 0.2%

Georgia Gulf Corp. (a)(f)

591,147

15,961

Containers & Packaging - 0.0%

Constar International, Inc. (a)

25,300

431

TOTAL MATERIALS

16,392

UTILITIES - 0.0%

Electric Utilities - 0.0%

Portland General Electric Co.

7,275

143

TOTAL COMMON STOCKS

(Cost $25,454)

23,941

Preferred Stocks - 0.1%

 

 

 

 

Convertible Preferred Stocks - 0.0%

MATERIALS - 0.0%

Chemicals - 0.0%

Celanese Corp. 4.25%

6,600

213

Nonconvertible Preferred Stocks - 0.1%

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

Preferred Blocker, Inc. 7.00% (f)

15,411

8,707

Preferred Stocks - continued

Shares

Value (000s)

Nonconvertible Preferred Stocks - continued

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

PTV, Inc. Series A, 10.00%

119

$ 0*

TOTAL NONCONVERTIBLE PREFERRED STOCKS

8,707

TOTAL PREFERRED STOCKS

(Cost $7,399)

8,920

Floating Rate Loans - 6.3%

 

Principal Amount (000s) (c)

 

CONSUMER DISCRETIONARY - 2.4%

Auto Components - 0.2%

TRW Automotive Holdings Corp. Tranche B1, term loan 6.25% 2/9/14 (i)

$ 2,167

2,162

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

20,095

15,875

 

18,037

Automobiles - 0.3%

AM General LLC:

Credit-Linked Deposit 3.2406% 9/30/12 (i)

132

122

Tranche B, term loan 3.2687% 9/30/13 (i)

2,904

2,672

Ford Motor Co. term loan 3.494% 12/15/13 (i)

21,624

19,029

 

21,823

Diversified Consumer Services - 0.3%

Affinion Group Holdings, Inc. term loan 8.2731% 3/1/12 (i)

4,348

3,752

Cengage Learning, Inc. Tranche B, term loan 2.75% 7/5/14 (i)

12,868

11,582

ServiceMaster Co.:

term loan 2.777% 7/24/14 (i)

6,397

5,693

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

615

547

 

21,574

Hotels, Restaurants & Leisure - 0.2%

Green Valley Ranch Gaming LLC Tranche 1LN, term loan 2.4474% 2/16/14 (i)

141

102

Las Vegas Sands LLC:

term loan 2.04% 5/23/14 (i)

147

122

Tranche B, term loan 2.04% 5/23/14 (i)

728

604

Floating Rate Loans - continued

 

Principal Amount (000s) (c)

Value (000s)

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

OSI Restaurant Partners, Inc.:

Credit-Linked Deposit 2.5512% 6/14/13 (i)

$ 41

$ 34

term loan 2.5679% 6/14/14 (i)

448

379

Six Flags, Inc. Tranche B, term loan 2.5951% 4/30/15 (i)

15,393

15,008

 

16,249

Media - 1.0%

Charter Communications Operating LLC Tranche B 1LN, term loan 6.25% 3/6/14 (i)

18,744

17,713

Education Media and Publishing Group Ltd.:

Tranche 1LN, term loan 5.2628% 6/12/14 (i)

30,962

25,621

Tranche 2LN, term loan 17.5% 12/12/14 (i)

30,900

7,107

Idearc, Inc. Tranche B, term loan 3.4179% 11/17/14 (b)(i)

3,747

1,574

The Reader's Digest Association, Inc. term loan 4.4898% 3/2/14 (b)(i)

4,219

1,920

Univision Communications, Inc. Tranche 1LN, term loan 2.5325% 9/29/14 (i)

25,720

21,605

 

75,540

Specialty Retail - 0.4%

Burlington Coat Factory Warehouse Corp. term loan 2.565% 5/28/13 (i)

6,732

6,126

Michaels Stores, Inc. Tranche B1, term loan 2.5381% 10/31/13 (i)

23,074

20,536

 

26,662

Textiles, Apparel & Luxury Goods - 0.0%

Hanesbrands, Inc. Tranche 2LN, term loan 4.2538% 3/5/14 (i)

1,650

1,601

Levi Strauss & Co. term loan 2.5225% 4/4/14 (i)

1,580

1,442

 

3,043

TOTAL CONSUMER DISCRETIONARY

182,928

CONSUMER STAPLES - 0.2%

Food & Staples Retailing - 0.0%

Rite Aid Corp. Tranche ABL, term loan 2.0034% 6/4/14 (i)

2,660

2,327

Floating Rate Loans - continued

 

Principal Amount (000s) (c)

Value (000s)

CONSUMER STAPLES - continued

Household Products - 0.1%

Spectrum Brands, Inc.:

Credit-Linked Deposit 4.65% 6/30/12 (i)

$ 143

$ 136

Tranche B1, term loan 8.0009% 6/30/12 (i)

6,751

6,431

 

6,567

Personal Products - 0.1%

Revlon Consumer Products Corp. term loan 4.3368% 1/15/12 (i)

4,769

4,614

TOTAL CONSUMER STAPLES

13,508

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Coffeyville Resources LLC:

Credit-Linked Deposit 8.75% 12/28/10 (i)

213

206

Tranche D, term loan 8.4985% 12/28/13 (i)

1,705

1,653

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

405

345

 

2,204

FINANCIALS - 0.6%

Consumer Finance - 0.2%

DaimlerChrysler Financial Services Tranche 1LN, term loan 4.25% 8/3/12 (i)

15,285

14,521

Diversified Financial Services - 0.1%

CIT Group, Inc. term loan 13% 1/20/12 (i)

2,395

2,455

Clear Channel Capital I LLC Tranche B, term loan 3.8963% 1/29/16 (i)

8,645

6,570

MGM Holdings II, Inc. Tranche B, term loan 3.5106% 4/8/12 (i)

2,229

1,248

 

10,273

Real Estate Management & Development - 0.3%

Realogy Corp.:

Credit-Linked Deposit 3.3088% 10/10/13 (i)

1,935

1,631

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

10,500

10,868

Tranche B, term loan 3.2544% 10/10/13 (i)

7,189

6,056

Tranche DD, term loan 3.3845% 10/10/13 (i)

6,964

5,850

 

24,405

TOTAL FINANCIALS

49,199

Floating Rate Loans - continued

 

Principal Amount (000s) (c)

Value (000s)

HEALTH CARE - 0.0%

Pharmaceuticals - 0.0%

PTS Acquisition Corp. term loan 2.4963% 4/10/14 (i)

$ 2,059

$ 1,792

INDUSTRIALS - 0.6%

Aerospace & Defense - 0.0%

DeCrane Aircraft Holdings, Inc.:

Tranche 1LN, term loan 6.0719% 2/21/13 (i)

83

63

Tranche 2LN, term loan 10.3219% 2/21/14 (i)

140

63

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

70

54

 

180

Airlines - 0.3%

Delta Air Lines, Inc.:

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

470

472

Tranche 2LN, term loan 3.4994% 4/30/14 (i)

10,291

8,619

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

12,525

9,394

 

18,485

Commercial Services & Supplies - 0.0%

Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 6.3625% 2/7/15 (i)

650

510

Industrial Conglomerates - 0.0%

Sequa Corp. term loan 3.8435% 12/3/14 (i)

3,462

3,012

Machinery - 0.1%

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

53

52

Dresser, Inc. Tranche 2LN, term loan 5.9938% 5/4/15 pay-in-kind (i)

4,050

3,503

Navistar International Corp.:

term loan 3.4963% 1/19/12 (i)

4,026

3,905

Credit-Linked Deposit 3.5406% 1/19/12 (i)

1,464

1,420

 

8,880

Road & Rail - 0.2%

Swift Transportation Co., Inc. term loan 3.5625% 5/10/14 (i)

15,102

13,913

Trading Companies & Distributors - 0.0%

Neff Corp. Tranche 2LN, term loan 3.7438% 11/30/14 (i)

810

178

TOTAL INDUSTRIALS

45,158

Floating Rate Loans - continued

 

Principal Amount (000s) (c)

Value (000s)

INFORMATION TECHNOLOGY - 0.7%

Electronic Equipment & Components - 0.2%

Flextronics International Ltd.:

Tranche B A1, term loan 2.7594% 10/1/14 (i)

$ 1,481

$ 1,333

Tranche B A2, term loan 2.4963% 10/1/14 (i)

2,550

2,295

Tranche B A3, term loan 2.4963% 10/1/14 (i)

2,975

2,678

Tranche B-A, term loan 2.6866% 10/1/14 (i)

5,154

4,638

Tranche B-B, term loan 2.8469% 10/1/12 (i)

3,315

3,075

 

14,019

IT Services - 0.0%

Affiliated Computer Services, Inc. Tranche B2, term loan 2.2461% 3/20/13 (i)

3,546

3,523

Semiconductors & Semiconductor Equipment - 0.3%

Freescale Semiconductor, Inc. term loan:

2.0113% 12/1/13 (i)

19,215

15,324

12.5% 12/15/14

4,696

4,720

 

20,044

Software - 0.2%

Kronos, Inc.:

Tranche 1LN, term loan 2.2825% 6/11/14 (i)

11,868

11,156

Tranche 2LN, term loan 6.0325% 6/11/15 (i)

1,790

1,548

Open Solutions, Inc. term loan 2.625% 1/23/14 (i)

234

187

 

12,891

TOTAL INFORMATION TECHNOLOGY

50,477

MATERIALS - 0.6%

Chemicals - 0.3%

Lyondell Chemical Co. term loan 9.1679% 12/15/09 (i)(n)

8,635

9,002

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

12,588

10,700

 

19,702

Containers & Packaging - 0.2%

Berry Plastics Holding Corp. Tranche C, term loan 2.2997% 4/3/15 (i)

10,241

9,115

Smurfit-Stone Container Enterprises, Inc. term loan 2.9233% 11/11/11 (i)

5,764

5,562

 

14,677

Floating Rate Loans - continued

 

Principal Amount (000s) (c)

Value (000s)

MATERIALS - continued

Metals & Mining - 0.0%

Aleris International, Inc.:

Tranche 1LN, term loan 5.2% 2/12/10 (i)(n)

$ 1,162

$ 1,174

Tranche B 1LN, term loan:

4.25% 12/19/13 (b)(i)

633

57

12.5% 12/19/13 (i)

1,328

564

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

881

599

 

2,394

Paper & Forest Products - 0.1%

Boise Paper Holdings LLC Tranche 2LN, term loan 9.25% 2/22/15 (i)

7,260

6,788

White Birch Paper Co. Tranche 1LN, term loan 3.35% 5/8/14 (i)

1,434

504

 

7,292

TOTAL MATERIALS

44,065

TELECOMMUNICATION SERVICES - 0.3%

Diversified Telecommunication Services - 0.1%

Wind Telecomunicazioni SpA:

Tranche 2LN, term loan 7.9256% 3/21/15 (i)

2,840

2,840

Tranche B 1LN, term loan 3.9256% 5/26/13 (i)

1,280

1,216

Tranche C 1LN, term loan 4.9256% 5/26/14 (i)

1,280

1,216

 

5,272

Wireless Telecommunication Services - 0.2%

Intelsat Jackson Holdings Ltd. term loan 3.2531% 2/1/14 (i)

17,225

15,459

TOTAL TELECOMMUNICATION SERVICES

20,731

UTILITIES - 0.9%

Electric Utilities - 0.9%

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

Tranche B1, term loan 3.7538% 10/10/14 (i)

31,150

24,141

Tranche B2, term loan 3.7539% 10/10/14 (i)

27,846

21,720

Tranche B3, term loan 3.7539% 10/10/14 (i)

30,618

23,652

 

69,513

TOTAL FLOATING RATE LOANS

(Cost $416,321)

479,575

Sovereign Loan Participations - 0.1%

 

Principal Amount (000s) (c)

Value (000s)

Indonesian Republic loan participation - Citibank 0.3939% 12/14/19 (i)

(Cost $5,223)

$ 7,201

$ 6,121

Fixed-Income Funds - 5.4%

Shares

 

Fidelity Floating Rate Central Fund (j)

(Cost $384,484)

4,548,868

413,174

Preferred Securities - 0.6%

Principal Amount (000s) (c)

 

CONSUMER DISCRETIONARY - 0.4%

Media - 0.4%

Globo Comunicacoes e Participacoes SA 9.375%

$ 17,100

17,414

Net Servicos de Comunicacao SA 9.25% (f)

12,230

12,304

 

29,718

ENERGY - 0.2%

Oil, Gas & Consumable Fuels - 0.2%

Pemex Project Funding Master Trust 7.75%

15,770

15,461

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

MUFG Capital Finance 3 Ltd. 2.68% (i)

JPY

150,000

1,514

TOTAL PREFERRED SECURITIES

(Cost $45,820)

46,693

Other - 0.0%

 

Delta Air Lines ALPA Claim (a)

(Cost $63)

8,380

63

Money Market Funds - 4.5%

Shares

 

Fidelity Cash Central Fund, 0.25% (k)

(Cost $347,113)

347,113,327

347,113

TOTAL INVESTMENT PORTFOLIO - 100.1%

(Cost $7,392,229)

7,627,941

NET OTHER ASSETS - (0.1)%

(9,260)

NET ASSETS - 100%

$ 7,618,681

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Interest Rate Swaps

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

April 2038

$ 6,000

$ (966)

Receive semi-annually a fixed rate equal to 3.30% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

Sept. 2010

14,000

377

 

 

$ 20,000

$ (589)

Currency Abbreviations

CAD

-

Canadian dollar

EGP

-

Egyptian pound

EUR

-

European Monetary Unit

GBP

-

British pound

JPY

-

Japanese yen

RUB

-

Russian ruble

UYU

-

Uruguay peso

Legend

(a) Non-income producing

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

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

(d) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.

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

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $754,641,000 or 9.9% of net assets.

(g) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $120,975,000 or 1.6% of net assets.

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

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

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

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

(l) Quantity represents share amount.

(m) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,000 or 0.0% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

ASAT Holdings Ltd. warrants 2/1/11

11/15/07

$ 0

Intermet Corp.

11/9/05

$ 2,153

(n) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $3,575,000 and $3,704,135, respectively.

* 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

$ 1,581

Fidelity Floating Rate Central Fund

12,278

Total

$ 13,859

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

$ 167,148

$ 141,600

$ 5,001

$ 413,174

13.9%

Other Information

The following is a summary of the inputs used, as of September 30, 2009, involving the Fund's assets and liabilities carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the 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

$ 141

$ -

$ -

$ 141

Financials

8,707

-

8,707

-

Industrials

7,264

7,264

-

-

Information Technology

1

-

1

-

Materials

16,605

431

16,174

-

Telecommunication Services

-

-

-

-

Utilities

143

143

-

-

Corporate Bonds

2,568,233

-

2,564,368

3,865

U.S. Government and Government Agency Obligations

1,879,648

-

1,879,648

-

U.S. Government Agency - Mortgage Securities

219,335

-

219,335

-

Asset-Backed Securities

16,619

-

12,614

4,005

Collateralized Mortgage Obligations

60,201

-

41,759

18,442

Commercial Mortgage Securities

13,255

-

8,973

4,282

Foreign Government and Government Agency Obligations

1,545,050

-

1,543,443

1,607

Floating Rate Loans

479,575

-

472,468

7,107

Sovereign Loan Participations

6,121

-

6,121

-

Fixed-Income Funds

413,174

413,174

-

-

Preferred Securities

46,693

-

46,693

-

Money Market Funds

347,113

347,113

-

-

Equity Funds

63

-

-

63

Total Investments in Securities

$ 7,627,941

$ 768,125

$ 6,820,304

$ 39,512

Derivative Instruments:

Assets

Swap Agreements

$ 377

$ -

$ 377

$ -

Liabilities

Swap Agreements

$ (966)

$ -

$ (966)

$ -

Total Derivative Instruments

$ (589)

$ -

$ (589)

$ -

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

(Amounts in thousands)

 

Investments in Securities:

Beginning Balance

$ 44,183

Total Realized Gain (Loss)

2,620

Total Unrealized Gain (Loss)

(7,281)

Cost of Purchases

5,020

Proceeds of Sales

(33,415)

Amortization/Accretion

234

Transfers in/out of Level 3

28,151

Ending Balance

$ 39,512

The change in unrealized gain (loss) attributable to Level 3 securities at September 30, 2009

$ (5,573)

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations.

Income Tax Information

At September 30, 2009, the cost of investment securities for income tax purposes was $7,336,203,000. Net unrealized appreciation aggregated $291,738,000, of which $594,172,000 related to appreciated investment securities and $302,434,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are classified into three levels. Level 1 includes readily available unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes observable inputs other than quoted prices included in Level 1 that are observable either directly or indirectly. Level 3 includes unobservable inputs when market prices are not readily available or reliable. Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy. Valuation techniques of the Fund's major categories of assets and liabilities are as follows.

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

For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services generally utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and types as well as dealer supplied prices. Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. 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.

Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. 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. Actual prices received at disposition may differ.

When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities.

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

Quarterly Report

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

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

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Advisor Series II

By:

/s/ John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

November 30, 2009

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/ John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

November 30, 2009

By:

/s/ Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

November 30, 2009