0000035315-15-000251.txt : 20150507 0000035315-15-000251.hdr.sgml : 20150507 20150507140953 ACCESSION NUMBER: 0000035315-15-000251 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 36 CONFORMED PERIOD OF REPORT: 20150228 FILED AS OF DATE: 20150507 DATE AS OF CHANGE: 20150507 EFFECTIVENESS DATE: 20150507 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY ADVISOR SERIES I CENTRAL INDEX KEY: 0000722574 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-03785 FILM NUMBER: 15840925 BUSINESS ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 BUSINESS PHONE: 617-563-7000 MAIL ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY ADVISOR SERIES 1 DATE OF NAME CHANGE: 19930706 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY BROAD STREET TRUST DATE OF NAME CHANGE: 19920820 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY ADVISOR EQUITY PORTFOLIO GROWTH DATE OF NAME CHANGE: 19920703 0000722574 S000005118 Fidelity Advisor Balanced Fund C000013971 Class A FABLX C000013972 Class B FAISX C000013973 Class C FABCX C000013974 Class T FAIGX C000013975 Institutional Class FAIOX C000130150 Class Z FZAAX N-CSRS 1 bal.htm

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-3785

Fidelity Advisor Series I
 (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:

August 31

 

 

Date of reporting period:

February 28, 2015

Item 1. Reports to Stockholders

Contents Shareholder Expense Example Investment Changes (Unaudited) Investments February 28, 2015 (Unaudited) Financial Statements Notes to Financial Statements Contents Shareholder Expense Example Investment Changes (Unaudited) Investments February 28, 2015 (Unaudited) Financial Statements Notes to Financial Statements Contents Shareholder Expense Example Investment Changes (Unaudited) Investments February 28, 2015 (Unaudited) Financial Statements Notes to Financial Statements

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

Balanced Fund -

Class A, Class T, Class B
and Class C

Semiannual Report

February 28, 2015

(Fidelity Cover Art)

Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

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

Investments

(Click Here)

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

Financial Statements

(Click Here)

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

Notes

(Click Here)

Notes to the financial statements.

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

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

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

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

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

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

NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2014 to February 28, 2015).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense RatioB

Beginning
Account Value
September 1, 2014

Ending
Account Value
February 28, 2015

Expenses Paid
During Period*
September 1, 2014
to February 28, 2015

Class A

.91%

 

 

 

Actual

 

$ 1,000.00

$ 1,047.10

$ 4.62

HypotheticalA

 

$ 1,000.00

$ 1,020.28

$ 4.56

Class T

1.15%

 

 

 

Actual

 

$ 1,000.00

$ 1,045.80

$ 5.83

HypotheticalA

 

$ 1,000.00

$ 1,019.09

$ 5.76

Class B

1.74%

 

 

 

Actual

 

$ 1,000.00

$ 1,043.00

$ 8.81

HypotheticalA

 

$ 1,000.00

$ 1,016.17

$ 8.70

Class C

1.67%

 

 

 

Actual

 

$ 1,000.00

$ 1,043.40

$ 8.46

HypotheticalA

 

$ 1,000.00

$ 1,016.51

$ 8.35

Institutional Class

.65%

 

 

 

Actual

 

$ 1,000.00

$ 1,048.40

$ 3.30

HypotheticalA

 

$ 1,000.00

$ 1,021.57

$ 3.26

Class Z

.51%

 

 

 

Actual

 

$ 1,000.00

$ 1,049.10

$ 2.59

HypotheticalA

 

$ 1,000.00

$ 1,022.27

$ 2.56

A 5% return per year before expenses

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

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

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

Semiannual Report

Investment Changes (Unaudited)

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

Top Five Stocks as of February 28, 2015

 

% of fund's
net assets

% of fund's net assets
6 months ago

Apple, Inc.

2.9

2.6

Google, Inc. Class C

1.3

1.3

Citigroup, Inc.

1.2

0.6

Bank of America Corp.

1.1

1.1

Chevron Corp.

1.0

1.5

 

7.5

Top Five Bond Issuers as of February 28, 2015

(with maturities greater than one year)

% of fund's
net assets

% of fund's net assets
6 months ago

U.S. Treasury Obligations

7.5

7.5

Fannie Mae

3.3

3.4

Freddie Mac

1.1

1.2

Ginnie Mae

1.1

1.1

Citigroup, Inc.

0.9

0.2

 

13.9

Top Five Market Sectors as of February 28, 2015

 

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

17.7

15.5

Information Technology

12.6

13.1

Health Care

10.8

10.4

Consumer Discretionary

10.6

10.1

Energy

7.8

8.7

Asset Allocation (% of fund's net assets)

As of February 28, 2015 *

As of August 31, 2014 **

bal1157885

Stocks and
Equity Futures 68.1%

 

bal1157887

Stocks and
Equity Futures 72.1%

 

bal1157889

Bonds 30.3%

 

bal1157891

Bonds 25.8%

 

bal1157893

Convertible
Securities 0.1%

 

bal1157895

Convertible
Securities 0.0%

 

bal1157897

Other Investments 0.4%

 

bal1157899

Other Investments 0.3%

 

bal1157901

Short-Term
Investments and
Net Other Assets
(Liabilities) 1.1%

 

bal1157903

Short-Term
Investments and
Net Other Assets
(Liabilities) 1.8%

 

* Foreign investments

11.1%

 

** Foreign investments

9.2%

 

bal1157905

Percentages are adjusted for the effect of futures contracts and swaps, if applicable.

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

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Semiannual Report

Investments February 28, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 66.5%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 9.3%

Automobiles - 0.1%

Harley-Davidson, Inc.

38,000

$ 2,416

Diversified Consumer Services - 0.4%

H&R Block, Inc.

197,181

6,734

Hotels, Restaurants & Leisure - 2.4%

ARAMARK Holdings Corp.

59,059

1,869

Extended Stay America, Inc. unit

417,355

8,055

McDonald's Corp.

128,275

12,686

Panera Bread Co. Class A (a)

48,560

7,839

Starbucks Corp.

131,300

12,275

Wynn Resorts Ltd.

24,500

3,491

 

46,215

Internet & Catalog Retail - 1.5%

Amazon.com, Inc. (a)

10,000

3,802

Ctrip.com International Ltd. sponsored ADR (a)

52,200

2,368

Liberty Interactive Corp. Series A (a)

363,297

10,728

Priceline Group, Inc. (a)

7,100

8,786

Travelport Worldwide Ltd.

159,600

2,544

 

28,228

Media - 2.6%

Comcast Corp. Class A

50,462

2,996

DIRECTV (a)

110,349

9,777

DreamWorks Animation SKG, Inc. Class A (a)

191,900

4,109

Legend Pictures LLC (a)(l)(m)

415

981

Liberty Media Corp. Class C (a)

207,300

8,002

Manchester United PLC (a)

113,900

1,821

The Madison Square Garden Co. Class A (a)

137,786

10,796

Twenty-First Century Fox, Inc. Class A

340,142

11,905

 

50,387

Multiline Retail - 0.9%

B&M European Value Retail S.A.

954,914

4,718

Dollar General Corp. (a)

151,535

11,004

Poundland Group PLC

128,786

767

 

16,489

Specialty Retail - 0.6%

Michaels Companies, Inc.

125,100

3,528

TJX Companies, Inc.

112,180

7,700

 

11,228

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - 0.8%

lululemon athletica, Inc. (a)

58,886

$ 4,030

NIKE, Inc. Class B

111,100

10,790

 

14,820

TOTAL CONSUMER DISCRETIONARY

176,517

CONSUMER STAPLES - 6.4%

Beverages - 1.2%

Anheuser-Busch InBev SA NV

15,429

1,957

Coca-Cola Icecek Sanayi A/S

19,269

374

Diageo PLC sponsored ADR

12,869

1,529

Embotelladora Andina SA sponsored ADR

22,411

373

Monster Beverage Corp. (a)

21,800

3,076

Pernod Ricard SA

11,696

1,387

Remy Cointreau SA (e)

12,213

897

The Coca-Cola Co.

317,299

13,739

 

23,332

Food & Staples Retailing - 1.7%

CVS Health Corp.

126,027

13,090

Kroger Co.

114,718

8,162

Sysco Corp.

88,173

3,438

Wal-Mart Stores, Inc.

48,649

4,083

Whole Foods Market, Inc.

49,400

2,791

 

31,564

Food Products - 0.8%

Bunge Ltd.

31,038

2,538

Keurig Green Mountain, Inc.

22,140

2,825

Mead Johnson Nutrition Co. Class A

61,989

6,494

Nestle SA

16,260

1,271

The Hershey Co.

27,500

2,854

 

15,982

Household Products - 1.0%

Colgate-Palmolive Co.

32,800

2,323

Procter & Gamble Co.

195,528

16,645

 

18,968

Personal Products - 0.2%

Estee Lauder Companies, Inc. Class A

31,000

2,563

L'Oreal SA

4,800

872

 

3,435

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Tobacco - 1.5%

Altria Group, Inc.

252,903

$ 14,236

British American Tobacco PLC sponsored ADR

119,699

13,941

Souza Cruz SA

47,950

428

 

28,605

TOTAL CONSUMER STAPLES

121,886

ENERGY - 5.4%

Energy Equipment & Services - 0.7%

Baker Hughes, Inc.

17,700

1,106

C&J Energy Services, Inc. (a)

84,710

1,155

Dril-Quip, Inc. (a)

16,139

1,173

FMC Technologies, Inc. (a)

41,316

1,650

Halliburton Co.

131,707

5,655

Independence Contract Drilling, Inc.

76,237

435

Oceaneering International, Inc.

35,229

1,921

 

13,095

Oil, Gas & Consumable Fuels - 4.7%

Anadarko Petroleum Corp.

107,173

9,027

Apache Corp.

41,200

2,713

BG Group PLC

126,300

1,859

Cabot Oil & Gas Corp.

97,315

2,822

Chevron Corp.

182,976

19,520

Cimarex Energy Co.

39,300

4,310

Columbia Pipeline Partners LP

33,100

917

EOG Resources, Inc.

61,510

5,519

EP Energy Corp. (a)(e)

112,267

1,263

Exxon Mobil Corp.

135,091

11,961

Kinder Morgan, Inc.

189,456

7,770

Memorial Resource Development Corp.

86,800

1,780

Noble Energy, Inc.

132,845

6,274

Parsley Energy, Inc. Class A (e)

65,300

972

Phillips 66 Co.

81,174

6,369

PrairieSky Royalty Ltd. (e)

46,700

1,181

Suncor Energy, Inc. (e)

154,755

4,646

Valero Energy Partners LP

24,296

1,295

 

90,198

TOTAL ENERGY

103,293

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - 10.5%

Banks - 4.6%

Bank of America Corp.

1,365,491

$ 21,588

Citigroup, Inc.

446,130

23,386

Huntington Bancshares, Inc.

483,993

5,295

JPMorgan Chase & Co.

314,932

19,299

SunTrust Banks, Inc.

72,954

2,991

Synovus Financial Corp.

52,043

1,457

U.S. Bancorp

283,833

12,662

 

86,678

Capital Markets - 1.6%

Ameriprise Financial, Inc.

20,589

2,751

BlackRock, Inc. Class A

16,690

6,199

Carlyle Group LP

17,200

445

E*TRADE Financial Corp. (a)

79,721

2,076

Goldman Sachs Group, Inc.

51,300

9,736

Invesco Ltd.

39,247

1,580

Northern Trust Corp.

43,405

3,031

Oaktree Capital Group LLC Class A

16,791

903

State Street Corp.

19,400

1,444

The Blackstone Group LP

43,855

1,643

 

29,808

Consumer Finance - 1.5%

Capital One Financial Corp.

239,934

18,885

Navient Corp.

192,907

4,128

SLM Corp.

435,586

4,125

Springleaf Holdings, Inc. (a)

48,000

1,846

 

28,984

Diversified Financial Services - 0.6%

Berkshire Hathaway, Inc.:

Class A (a)

10

2,212

Class B (a)

35,700

5,263

IntercontinentalExchange Group, Inc.

13,176

3,101

KBC Ancora (a)

20,348

696

 

11,272

Insurance - 1.0%

Direct Line Insurance Group PLC

386,712

1,955

Fairfax Financial Holdings Ltd. (sub. vtg.)

4,500

2,361

Marsh & McLennan Companies, Inc.

68,953

3,923

MetLife, Inc.

73,867

3,755

Principal Financial Group, Inc.

39,200

2,006

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Insurance - continued

The Chubb Corp.

47,000

$ 4,721

Unum Group

37,300

1,252

WMI Holdings Corp. (a)

4,454

11

 

19,984

Real Estate Investment Trusts - 1.0%

Altisource Residential Corp. Class B

250,010

5,163

American Tower Corp.

15,700

1,556

Boston Properties, Inc.

26,800

3,683

Digital Realty Trust, Inc.

51,800

3,438

Duke Realty LP

48,200

1,030

InfraReit, Inc.

18,400

499

Outfront Media, Inc.

25,812

773

Sun Communities, Inc.

37,142

2,510

 

18,652

Real Estate Management & Development - 0.2%

CBRE Group, Inc. (a)

121,548

4,164

Thrifts & Mortgage Finance - 0.0%

Ocwen Financial Corp. (a)

43,800

357

Washington Mutual, Inc. (a)

130,000

0

 

357

TOTAL FINANCIALS

199,899

HEALTH CARE - 10.1%

Biotechnology - 3.2%

Actelion Ltd.

6,168

738

Alexion Pharmaceuticals, Inc. (a)

40,964

7,389

Amgen, Inc.

71,105

11,215

Biogen Idec, Inc. (a)

26,775

10,967

BioMarin Pharmaceutical, Inc. (a)

29,309

3,138

Celgene Corp. (a)

86,700

10,537

Gilead Sciences, Inc. (a)

136,385

14,120

Vertex Pharmaceuticals, Inc. (a)

28,900

3,452

 

61,556

Health Care Equipment & Supplies - 1.8%

Boston Scientific Corp. (a)

507,549

8,578

Edwards Lifesciences Corp. (a)

17,914

2,383

Medtronic PLC

191,899

14,889

Quidel Corp. (a)

27,800

714

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

The Cooper Companies, Inc.

22,628

$ 3,710

Zimmer Holdings, Inc.

28,200

3,395

 

33,669

Health Care Providers & Services - 1.8%

Brookdale Senior Living, Inc. (a)

75,164

2,819

Cigna Corp.

66,382

8,074

HCA Holdings, Inc. (a)

59,907

4,286

Henry Schein, Inc. (a)

21,744

3,045

McKesson Corp.

49,982

11,431

UnitedHealth Group, Inc.

44,800

5,091

 

34,746

Life Sciences Tools & Services - 0.6%

Agilent Technologies, Inc.

80,800

3,411

Thermo Fisher Scientific, Inc.

56,290

7,318

 

10,729

Pharmaceuticals - 2.7%

AbbVie, Inc.

35,711

2,161

Actavis PLC (a)

52,619

15,331

Allergan, Inc.

5,800

1,350

Bristol-Myers Squibb Co.

181,094

11,032

Mallinckrodt PLC (a)

49,000

5,719

Merck & Co., Inc.

53,244

3,117

Roche Holding AG (participation certificate)

8,911

2,428

Shire PLC

52,438

4,230

Teva Pharmaceutical Industries Ltd. sponsored ADR

85,600

4,881

 

50,249

TOTAL HEALTH CARE

190,949

INDUSTRIALS - 6.3%

Aerospace & Defense - 0.8%

Meggitt PLC

721,499

6,071

TransDigm Group, Inc.

44,168

9,578

 

15,649

Air Freight & Logistics - 0.4%

FedEx Corp.

41,481

7,341

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Electrical Equipment - 1.1%

AMETEK, Inc.

292,986

$ 15,569

Hubbell, Inc. Class B

42,150

4,797

 

20,366

Industrial Conglomerates - 1.7%

Danaher Corp.

205,692

17,953

Roper Industries, Inc.

86,280

14,458

 

32,411

Machinery - 0.9%

Deere & Co.

83,900

7,601

Pall Corp.

43,891

4,425

WABCO Holdings, Inc. (a)

41,200

4,813

 

16,839

Professional Services - 0.3%

Verisk Analytics, Inc. (a)

71,228

5,115

Road & Rail - 0.8%

CSX Corp.

111,579

3,828

J.B. Hunt Transport Services, Inc.

138,103

11,808

 

15,636

Trading Companies & Distributors - 0.3%

HD Supply Holdings, Inc. (a)

232,300

6,854

TOTAL INDUSTRIALS

120,211

INFORMATION TECHNOLOGY - 12.6%

Communications Equipment - 1.3%

Cisco Systems, Inc.

331,509

9,783

QUALCOMM, Inc.

218,479

15,842

 

25,625

Electronic Equipment & Components - 0.4%

Samsung SDI Co. Ltd.

5,587

693

TE Connectivity Ltd.

75,530

5,448

Trimble Navigation Ltd. (a)

54,000

1,412

 

7,553

Internet Software & Services - 3.2%

58.com, Inc. ADR (a)

24,773

1,033

Alibaba Group Holding Ltd. sponsored ADR

102,400

8,716

ChannelAdvisor Corp. (a)

59,255

586

Cvent, Inc. (a)

110,622

3,203

Demandware, Inc. (a)

19,750

1,248

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Facebook, Inc. Class A (a)

181,613

$ 14,342

Five9, Inc.

82,100

320

Google, Inc. Class C (a)

44,180

24,670

HomeAway, Inc. (a)

70,500

2,185

Opower, Inc. (e)

144,881

2,176

Twitter, Inc. (a)

10,600

510

Wix.com Ltd. (a)

23,533

431

Zoopla Property Group PLC (e)

232,735

661

 

60,081

IT Services - 0.4%

Fidelity National Information Services, Inc.

11,600

784

Lionbridge Technologies, Inc. (a)

47,939

270

Sabre Corp.

154,694

3,366

Total System Services, Inc.

68,900

2,632

 

7,052

Semiconductors & Semiconductor Equipment - 1.8%

Broadcom Corp. Class A

27,800

1,257

Marvell Technology Group Ltd.

764,100

12,317

Micron Technology, Inc. (a)

41,287

1,266

NVIDIA Corp.

121,900

2,689

NXP Semiconductors NV (a)

62,376

5,295

Qorvo, Inc. (a)

167,620

11,633

STMicroelectronics NV (NY Shares) unit

85,400

759

 

35,216

Software - 1.9%

Activision Blizzard, Inc.

29,900

697

Adobe Systems, Inc. (a)

75,854

6,000

Autodesk, Inc. (a)

42,400

2,724

Citrix Systems, Inc. (a)

8,200

522

CommVault Systems, Inc. (a)

8,034

388

Fleetmatics Group PLC (a)

25,800

1,063

Imperva, Inc. (a)

81,800

3,771

Intuit, Inc.

66,200

6,463

Oracle Corp.

68,796

3,015

salesforce.com, Inc. (a)

114,299

7,930

Xero Ltd. (a)(e)

102,706

1,919

Yodlee, inc. (e)

39,400

508

Zendesk, Inc.

50,600

1,251

 

36,251

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Technology Hardware, Storage & Peripherals - 3.6%

Apple, Inc.

425,652

$ 54,676

Electronics for Imaging, Inc. (a)

44,909

1,823

Hewlett-Packard Co.

208,100

7,250

Samsung Electronics Co. Ltd.

1,793

2,210

Western Digital Corp.

18,800

2,011

 

67,970

TOTAL INFORMATION TECHNOLOGY

239,748

MATERIALS - 2.9%

Chemicals - 2.4%

Airgas, Inc.

88,617

10,388

Cabot Corp.

8,928

403

CF Industries Holdings, Inc.

7,100

2,174

E.I. du Pont de Nemours & Co.

79,800

6,212

Eastman Chemical Co.

42,974

3,200

Ecolab, Inc.

77,100

8,908

FMC Corp.

48,895

3,100

LyondellBasell Industries NV Class A

32,543

2,796

Methanex Corp.

23,900

1,300

Monsanto Co.

40,778

4,911

W.R. Grace & Co. (a)

22,781

2,259

 

45,651

Construction Materials - 0.1%

Eagle Materials, Inc.

21,000

1,649

Containers & Packaging - 0.2%

Graphic Packaging Holding Co.

90,090

1,359

Rock-Tenn Co. Class A

43,248

2,969

 

4,328

Metals & Mining - 0.2%

Nucor Corp.

52,100

2,450

TOTAL MATERIALS

54,078

TELECOMMUNICATION SERVICES - 1.2%

Diversified Telecommunication Services - 1.0%

Cogent Communications Group, Inc.

22,700

834

inContact, Inc. (a)

76,417

895

Common Stocks - continued

Shares

Value (000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Level 3 Communications, Inc. (a)

36,052

$ 1,942

Verizon Communications, Inc.

328,798

16,259

 

19,930

Wireless Telecommunication Services - 0.2%

T-Mobile U.S., Inc. (a)

73,550

2,429

Telephone & Data Systems, Inc.

19,437

494

 

2,923

TOTAL TELECOMMUNICATION SERVICES

22,853

UTILITIES - 1.8%

Electric Utilities - 0.8%

Edison International

33,767

2,170

Exelon Corp.

112,200

3,806

NextEra Energy, Inc.

60,300

6,239

PPL Corp.

108,000

3,683

 

15,898

Gas Utilities - 0.1%

National Fuel Gas Co.

20,936

1,348

Independent Power and Renewable Electricity Producers - 0.1%

Calpine Corp. (a)

17,000

360

NRG Energy, Inc.

78,330

1,878

 

2,238

Multi-Utilities - 0.8%

Dominion Resources, Inc.

68,649

4,949

NiSource, Inc.

69,397

2,978

PG&E Corp.

44,975

2,417

Sempra Energy

43,909

4,751

 

15,095

TOTAL UTILITIES

34,579

TOTAL COMMON STOCKS

(Cost $984,234)


1,264,013

Preferred Stocks - 0.1%

Shares

Value (000s)

Convertible Preferred Stocks - 0.1%

ENERGY - 0.1%

Oil, Gas & Consumable Fuels - 0.1%

Southwestern Energy Co. Series B 6.25% (a)

30,000

$ 1,635

INFORMATION TECHNOLOGY - 0.0%

Software - 0.0%

MongoDB, Inc. Series F, 8.00% (a)(m)

16,802

151

TOTAL CONVERTIBLE PREFERRED STOCKS

1,786

Nonconvertible Preferred Stocks - 0.0%

CONSUMER STAPLES - 0.0%

Beverages - 0.0%

Ambev SA sponsored ADR

95,450

616

TOTAL PREFERRED STOCKS

(Cost $2,289)


2,402

Nonconvertible Bonds - 12.5%

 

Principal
Amount (000s)

 

CONSUMER DISCRETIONARY - 0.9%

Automobiles - 0.3%

Daimler Finance North America LLC:

1.45% 8/1/16 (f)

$ 231

233

2.875% 3/10/21 (f)

900

928

General Motors Co.:

3.5% 10/2/18

350

361

6.25% 10/2/43

58

72

General Motors Financial Co., Inc.:

2.625% 7/10/17

110

111

3% 9/25/17

252

258

3.15% 1/15/20

741

749

3.25% 5/15/18

180

184

3.5% 7/10/19

400

411

4% 1/15/25

494

507

4.25% 5/15/23

200

210

4.375% 9/25/21

1,659

1,763

4.75% 8/15/17

195

207

 

5,994

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Diversified Consumer Services - 0.0%

Ingersoll-Rand Global Holding Co. Ltd.:

2.875% 1/15/19

$ 35

$ 36

4.25% 6/15/23

249

268

 

304

Media - 0.6%

AOL Time Warner, Inc. 7.625% 4/15/31

500

705

Comcast Corp.:

3.6% 3/1/24

1,000

1,074

4.75% 3/1/44

500

577

4.95% 6/15/16

15

16

6.45% 3/15/37

238

325

COX Communications, Inc. 3.25% 12/15/22 (f)

136

137

DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19

440

504

Discovery Communications LLC:

3.25% 4/1/23

51

51

6.35% 6/1/40

236

288

NBCUniversal, Inc.:

5.15% 4/30/20

431

496

6.4% 4/30/40

309

425

News America Holdings, Inc. 7.75% 12/1/45

621

950

News America, Inc.:

6.15% 3/1/37

235

303

6.15% 2/15/41

186

242

Thomson Reuters Corp.:

1.3% 2/23/17

122

122

3.85% 9/29/24

319

329

Time Warner Cable, Inc.:

4% 9/1/21

630

668

5.85% 5/1/17

104

113

6.55% 5/1/37

320

386

6.75% 7/1/18

439

504

8.25% 4/1/19

700

855

Time Warner, Inc.:

5.875% 11/15/16

12

13

6.5% 11/15/36

232

302

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Viacom, Inc.:

2.5% 9/1/18

$ 46

$ 47

3.5% 4/1/17

583

607

 

10,039

TOTAL CONSUMER DISCRETIONARY

16,337

CONSUMER STAPLES - 0.3%

Beverages - 0.0%

Heineken NV:

1.4% 10/1/17 (f)

182

182

2.75% 4/1/23 (f)

191

188

SABMiller Holdings, Inc. 3.75% 1/15/22 (f)

285

298

 

668

Food & Staples Retailing - 0.1%

CVS Health Corp. 2.25% 12/5/18

282

288

Walgreens Boots Alliance, Inc.:

1.75% 11/17/17

109

110

2.7% 11/18/19

245

249

3.3% 11/18/21

291

299

3.8% 11/18/24

222

231

 

1,177

Food Products - 0.0%

ConAgra Foods, Inc.:

1.9% 1/25/18

131

131

3.2% 1/25/23

110

108

 

239

Tobacco - 0.2%

Altria Group, Inc.:

2.85% 8/9/22

262

262

4% 1/31/24

212

227

4.25% 8/9/42

262

264

4.75% 5/5/21

300

334

5.375% 1/31/44

364

431

9.7% 11/10/18

769

989

Reynolds American, Inc.:

3.25% 11/1/22

187

187

4.75% 11/1/42

289

293

6.15% 9/15/43

143

173

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Tobacco - continued

Reynolds American, Inc.: - continued

6.75% 6/15/17

$ 23

$ 26

7.25% 6/15/37

409

537

 

3,723

TOTAL CONSUMER STAPLES

5,807

ENERGY - 2.1%

Energy Equipment & Services - 0.1%

DCP Midstream LLC:

4.75% 9/30/21 (f)

364

344

5.35% 3/15/20 (f)

1,027

1,012

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

371

379

5% 10/1/21

146

158

6.5% 4/1/20

24

28

Transocean, Inc. 5.05% 12/15/16

238

238

 

2,159

Oil, Gas & Consumable Fuels - 2.0%

Anadarko Petroleum Corp. 6.375% 9/15/17

673

753

BP Capital Markets PLC:

1.674% 2/13/18

1,284

1,287

2.315% 2/13/20

1,873

1,880

3.535% 11/4/24

1,443

1,482

3.814% 2/10/24

359

376

4.5% 10/1/20

173

191

4.742% 3/11/21

300

334

Canadian Natural Resources Ltd.:

1.75% 1/15/18

178

176

3.8% 4/15/24

619

627

Cenovus Energy, Inc. 5.7% 10/15/19

122

136

DCP Midstream Operating LP:

2.5% 12/1/17

168

163

2.7% 4/1/19

181

171

3.875% 3/15/23

164

149

Duke Energy Field Services:

5.375% 10/15/15 (f)

10

10

6.45% 11/3/36 (f)

375

347

El Paso Natural Gas Co. 5.95% 4/15/17

7

7

Empresa Nacional de Petroleo 4.375% 10/30/24 (f)

350

362

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Enable Midstream Partners LP:

2.4% 5/15/19 (f)

$ 114

$ 111

3.9% 5/15/24 (f)

121

119

Enbridge Energy Partners LP 4.2% 9/15/21

438

457

EnLink Midstream Partners LP 2.7% 4/1/19

572

570

Enterprise Products Operating LP:

2.55% 10/15/19

85

86

3.75% 2/15/25

285

296

Gulfstream Natural Gas System LLC 6.95% 6/1/16 (f)

7

7

Marathon Petroleum Corp. 5.125% 3/1/21

215

242

Motiva Enterprises LLC 5.75% 1/15/20 (f)

156

171

MPLX LP 4% 2/15/25

77

78

Nakilat, Inc. 6.067% 12/31/33 (f)

279

325

Nexen, Inc. 5.2% 3/10/15

7

7

Petro-Canada 6.05% 5/15/18

150

169

Petrobras Global Finance BV:

1.8806% 5/20/16 (i)

425

404

3% 1/15/19

40

35

3.25% 3/17/17

1,490

1,388

4.375% 5/20/23

596

491

4.875% 3/17/20

2,084

1,850

5.625% 5/20/43

569

454

7.25% 3/17/44

2,755

2,490

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

354

348

5.375% 1/27/21

3,302

2,971

5.75% 1/20/20

611

564

5.875% 3/1/18

228

219

6.125% 10/6/16

100

100

7.875% 3/15/19

399

404

Petroleos Mexicanos:

3.125% 1/23/19

58

59

3.5% 7/18/18

463

478

3.5% 7/23/20 (f)

2,675

2,723

3.5% 1/30/23

285

279

4.5% 1/23/26 (f)

1,314

1,337

4.875% 1/24/22

237

252

4.875% 1/18/24

410

436

5.5% 1/21/21

369

405

5.5% 6/27/44

648

658

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petroleos Mexicanos: - continued

5.625% 1/23/46 (f)

$ 249

$ 255

6% 3/5/20

175

198

6.375% 1/23/45

2,366

2,647

6.5% 6/2/41

661

745

8% 5/3/19

241

289

Phillips 66 Co. 4.3% 4/1/22

338

369

Phillips 66 Partners LP 2.646% 2/15/20

42

42

Plains All American Pipeline LP/PAA Finance Corp.:

3.65% 6/1/22

173

179

6.125% 1/15/17

205

222

Southwestern Energy Co.:

3.3% 1/23/18

200

203

4.05% 1/23/20

363

372

Spectra Energy Capital, LLC 5.65% 3/1/20

10

11

Spectra Energy Partners, LP:

2.95% 6/15/16

69

71

2.95% 9/25/18

63

65

4.6% 6/15/21

90

99

Suncor Energy, Inc. 6.1% 6/1/18

395

447

The Williams Companies, Inc.:

3.7% 1/15/23

116

108

4.55% 6/24/24

1,308

1,278

Western Gas Partners LP 5.375% 6/1/21

441

492

Williams Partners LP 4.3% 3/4/24

278

286

 

37,812

TOTAL ENERGY

39,971

FINANCIALS - 7.0%

Banks - 3.2%

Banco Nacional de Desenvolvimento Economico e Social:

4% 4/14/19 (f)

600

599

5.5% 7/12/20 (f)

3,200

3,316

5.75% 9/26/23 (f)

332

338

6.5% 6/10/19 (f)

129

138

Bank of America Corp.:

2.6% 1/15/19

648

658

2.65% 4/1/19

183

186

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Banks - continued

Bank of America Corp.: - continued

3.3% 1/11/23

$ 947

$ 960

3.875% 3/22/17

1,060

1,112

4.1% 7/24/23

352

378

4.2% 8/26/24

474

491

4.25% 10/22/26

418

428

5.65% 5/1/18

205

228

5.75% 12/1/17

2,655

2,936

5.875% 1/5/21

170

199

6.5% 8/1/16

300

322

Bank of America NA 5.3% 3/15/17

420

451

Bank of Tokyo-Mitsubishi UFJ Ltd.:

1.7% 3/5/18 (f)

1,362

1,361

2.3% 3/5/20 (f)

1,360

1,357

Barclays Bank PLC 2.5% 2/20/19

200

204

Barclays PLC 2.75% 11/8/19

356

360

Capital One NA:

1.65% 2/5/18

2,362

2,358

2.95% 7/23/21

541

548

Citigroup, Inc.:

1.3% 11/15/16

568

567

1.8% 2/5/18

10,500

10,475

1.85% 11/24/17

2,353

2,357

2.5% 7/29/19

1,199

1,213

3.953% 6/15/16

397

411

4.05% 7/30/22

151

157

4.75% 5/19/15

544

549

5.3% 5/6/44

751

840

5.5% 9/13/25

142

161

6.125% 5/15/18

212

239

Citizens Financial Group, Inc. 4.15% 9/28/22 (f)

216

225

Credit Suisse AG 6% 2/15/18

1,164

1,293

Discover Bank 4.2% 8/8/23

259

277

Fifth Third Bancorp 8.25% 3/1/38

94

142

HBOS PLC 6.75% 5/21/18 (f)

180

202

HSBC Holdings PLC 4.25% 3/14/24

200

211

HSBC U.S.A., Inc. 1.625% 1/16/18

314

314

Huntington Bancshares, Inc. 7% 12/15/20

97

117

Huntington National Bank:

1.7% 2/26/18

3,052

3,051

2.4% 4/1/20

4,000

4,010

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Banks - continued

JPMorgan Chase & Co.:

1.625% 5/15/18

$ 720

$ 717

2% 8/15/17

300

304

2.2% 10/22/19

201

201

2.35% 1/28/19

190

193

3.15% 7/5/16

430

442

3.25% 9/23/22

503

514

3.875% 9/10/24

1,003

1,023

4.125% 12/15/26

1,465

1,504

4.25% 10/15/20

182

199

4.35% 8/15/21

601

657

4.5% 1/24/22

134

148

4.625% 5/10/21

179

199

4.95% 3/25/20

804

901

JPMorgan Chase Bank 6% 10/1/17

250

277

KeyBank NA 5.45% 3/3/16

294

307

Marshall & Ilsley Bank 5% 1/17/17

259

274

MUFG Americas Holdings Corp.:

1.625% 2/9/18

151

151

2.25% 2/10/20

509

508

Regions Bank:

6.45% 6/26/37

652

815

7.5% 5/15/18

1,282

1,483

Regions Financial Corp.:

2% 5/15/18

382

380

5.75% 6/15/15

73

74

Royal Bank of Scotland Group PLC:

5.125% 5/28/24

1,416

1,500

6% 12/19/23

490

549

6.1% 6/10/23

470

527

6.125% 12/15/22

694

783

Wells Fargo & Co.:

1.25% 7/20/16

1,200

1,207

3.676% 6/15/16

160

166

4.48% 1/16/24

30

33

 

61,775

Capital Markets - 1.7%

Affiliated Managers Group, Inc.:

3.5% 8/1/25

580

577

4.25% 2/15/24

399

422

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Deutsche Bank AG London Branch 1.875% 2/13/18

$ 2,780

$ 2,783

Goldman Sachs Group, Inc.:

1.748% 9/15/17

2,964

2,955

2.55% 10/23/19

3,392

3,417

2.625% 1/31/19

1,538

1,564

2.9% 7/19/18

526

541

5.25% 7/27/21

96

109

5.625% 1/15/17

500

537

5.95% 1/18/18

32

36

6% 6/15/20

600

699

6.15% 4/1/18

36

40

6.75% 10/1/37

2,000

2,590

JPMorgan Chase & Co. 1.7% 3/1/18

3,810

3,808

Lazard Group LLC:

4.25% 11/14/20

324

345

6.85% 6/15/17

100

111

Morgan Stanley:

1.875% 1/5/18

454

456

2.125% 4/25/18

2,454

2,472

2.375% 7/23/19

1,201

1,208

2.65% 1/27/20

1,715

1,729

3.75% 2/25/23

438

458

4.3% 1/27/45

447

459

4.35% 9/8/26

2,000

2,085

4.875% 11/1/22

687

746

5% 11/24/25

93

102

5.45% 1/9/17

480

515

5.75% 1/25/21

268

312

6.625% 4/1/18

600

682

 

31,758

Consumer Finance - 0.4%

Discover Financial Services:

3.85% 11/21/22

462

475

3.95% 11/6/24

283

289

5.2% 4/27/22

42

46

6.45% 6/12/17

1,019

1,119

Ford Motor Credit Co. LLC:

1.5% 1/17/17

239

239

1.7% 5/9/16

561

564

2.875% 10/1/18

400

412

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Consumer Finance - continued

General Electric Capital Corp.:

3.5% 6/29/15

$ 192

$ 194

4.625% 1/7/21

378

426

4.65% 10/17/21

154

175

6% 8/7/19

1,000

1,173

Hyundai Capital America:

1.45% 2/6/17 (f)

476

475

1.625% 10/2/15 (f)

122

123

1.875% 8/9/16 (f)

92

93

2.125% 10/2/17 (f)

134

135

2.875% 8/9/18 (f)

163

167

Synchrony Financial:

1.875% 8/15/17

95

95

3% 8/15/19

140

142

3.75% 8/15/21

211

219

4.25% 8/15/24

213

223

 

6,784

Insurance - 0.7%

AIA Group Ltd. 2.25% 3/11/19 (f)

200

200

American International Group, Inc.:

2.3% 7/16/19

1,563

1,582

4.875% 6/1/22

107

122

5.6% 10/18/16

318

341

Aon Corp.:

3.125% 5/27/16

376

385

3.5% 9/30/15

151

153

5% 9/30/20

133

150

Five Corners Funding Trust 4.419% 11/15/23 (f)

360

387

Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(i)

12

12

Hartford Financial Services Group, Inc.:

5.125% 4/15/22

408

469

5.375% 3/15/17

6

6

Liberty Mutual Group, Inc. 5% 6/1/21 (f)

421

467

Marsh & McLennan Companies, Inc. 4.8% 7/15/21

233

262

Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (f)

107

130

MetLife, Inc.:

1.903% 12/15/17

84

85

4.368% 9/15/23

305

339

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

MetLife, Inc.: - continued

4.75% 2/8/21

$ 137

$ 155

6.75% 6/1/16

290

311

Metropolitan Life Global Funding I 3% 1/10/23 (f)

223

226

Pacific Life Insurance Co. 9.25% 6/15/39 (f)

203

327

Pacific LifeCorp:

5.125% 1/30/43 (f)

441

500

6% 2/10/20 (f)

409

463

Prudential Financial, Inc.:

2.3% 8/15/18

51

52

4.5% 11/16/21

200

221

4.75% 9/17/15

500

511

6.2% 11/15/40

134

172

7.375% 6/15/19

2,734

3,301

Symetra Financial Corp. 6.125% 4/1/16 (f)

38

40

Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (f)

505

580

TIAA Asset Management Finance LLC:

2.95% 11/1/19 (f)

120

122

4.125% 11/1/24 (f)

174

184

Unum Group:

4% 3/15/24

600

625

5.625% 9/15/20

270

306

5.75% 8/15/42

458

553

7.125% 9/30/16

19

21

 

13,760

Real Estate Investment Trusts - 0.4%

Alexandria Real Estate Equities, Inc.:

2.75% 1/15/20

84

84

4.6% 4/1/22

108

114

American Campus Communities Operating Partnership LP 3.75% 4/15/23

101

102

AvalonBay Communities, Inc.:

3.625% 10/1/20

160

168

4.2% 12/15/23

360

385

Boston Properties, Inc. 3.85% 2/1/23

432

455

Camden Property Trust:

2.95% 12/15/22

135

133

4.25% 1/15/24

304

323

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

DDR Corp.:

3.625% 2/1/25

$ 242

$ 242

4.625% 7/15/22

247

265

4.75% 4/15/18

313

336

7.5% 4/1/17

203

226

9.625% 3/15/16

106

115

Duke Realty LP:

3.625% 4/15/23

180

183

3.75% 12/1/24

160

164

3.875% 10/15/22

310

323

4.375% 6/15/22

207

222

5.95% 2/15/17

1,561

1,690

6.5% 1/15/18

285

320

6.75% 3/15/20

12

14

8.25% 8/15/19

127

157

Equity One, Inc.:

3.75% 11/15/22

400

404

5.375% 10/15/15

47

48

Federal Realty Investment Trust 5.9% 4/1/20

95

110

HCP, Inc. 3.75% 2/1/16

201

206

Health Care REIT, Inc.:

2.25% 3/15/18

147

148

4.7% 9/15/17

48

52

HRPT Properties Trust 5.75% 11/1/15

50

50

Lexington Corporate Properties Trust 4.4% 6/15/24

131

136

Omega Healthcare Investors, Inc.:

4.5% 1/15/25 (f)

130

133

4.95% 4/1/24

123

131

Retail Opportunity Investments Partnership LP:

4% 12/15/24

99

101

5% 12/15/23

67

73

Simon Property Group LP 4.125% 12/1/21

229

251

Weingarten Realty Investors 3.375% 10/15/22

68

68

WP Carey, Inc. 4% 2/1/25

549

545

 

8,477

Real Estate Management & Development - 0.6%

BioMed Realty LP:

2.625% 5/1/19

217

218

3.85% 4/15/16

552

568

4.25% 7/15/22

163

172

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

BioMed Realty LP: - continued

6.125% 4/15/20

$ 126

$ 145

Brandywine Operating Partnership LP:

3.95% 2/15/23

359

364

4.1% 10/1/24

401

409

4.55% 10/1/29

401

416

4.95% 4/15/18

281

302

5.7% 5/1/17

1,000

1,082

6% 4/1/16

86

90

Digital Realty Trust LP:

4.5% 7/15/15

172

173

5.25% 3/15/21

201

222

ERP Operating LP:

2.375% 7/1/19

246

248

4.625% 12/15/21

540

600

4.75% 7/15/20

265

294

5.375% 8/1/16

117

124

5.75% 6/15/17

567

622

Essex Portfolio LP 5.5% 3/15/17

113

122

Liberty Property LP:

3.375% 6/15/23

185

184

4.125% 6/15/22

177

185

4.4% 2/15/24

418

446

4.75% 10/1/20

394

428

5.125% 3/2/15

7

7

5.5% 12/15/16

12

13

6.625% 10/1/17

281

314

Mack-Cali Realty LP:

2.5% 12/15/17

252

253

3.15% 5/15/23

426

388

4.5% 4/18/22

108

109

7.75% 8/15/19

23

27

Mid-America Apartments LP 4.3% 10/15/23

73

78

Post Apartment Homes LP 3.375% 12/1/22

70

70

Prime Property Funding, Inc. 5.7% 4/15/17 (f)

94

100

Reckson Operating Partnership LP 6% 3/31/16

114

119

Regency Centers LP 5.25% 8/1/15

124

126

Tanger Properties LP:

3.75% 12/1/24

300

308

3.875% 12/1/23

160

166

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

Tanger Properties LP: - continued

6.125% 6/1/20

$ 478

$ 554

Ventas Realty LP:

1.55% 9/26/16

250

252

3.5% 2/1/25

143

144

4.375% 2/1/45

85

86

Ventas Realty LP/Ventas Capital Corp.:

2% 2/15/18

227

229

4% 4/30/19

114

122

 

10,879

TOTAL FINANCIALS

133,433

HEALTH CARE - 0.5%

Biotechnology - 0.1%

Amgen, Inc.:

1.25% 5/22/17

378

378

2.2% 5/22/19

969

975

 

1,353

Health Care Equipment & Supplies - 0.0%

Becton, Dickinson & Co. 2.675% 12/15/19

147

150

Health Care Providers & Services - 0.2%

Aetna, Inc. 2.75% 11/15/22

178

178

Express Scripts Holding Co. 4.75% 11/15/21

458

511

HCA Holdings, Inc.:

3.75% 3/15/19

375

383

4.25% 10/15/19

1,330

1,377

6.5% 2/15/20

1,250

1,422

Medco Health Solutions, Inc.:

2.75% 9/15/15

38

38

4.125% 9/15/20

259

277

UnitedHealth Group, Inc. 2.75% 2/15/23

59

60

 

4,246

Life Sciences Tools & Services - 0.0%

Thermo Fisher Scientific, Inc.:

1.3% 2/1/17

102

102

2.4% 2/1/19

65

66

4.15% 2/1/24

99

106

 

274

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

HEALTH CARE - continued

Pharmaceuticals - 0.2%

AbbVie, Inc.:

1.75% 11/6/17

$ 358

$ 361

2.9% 11/6/22

368

368

Bayer U.S. Finance LLC:

2.375% 10/8/19 (f)

286

291

3% 10/8/21 (f)

209

216

3.375% 10/8/24 (f)

200

208

Mylan, Inc. 1.35% 11/29/16

120

120

Perrigo Co. PLC 2.3% 11/8/18

200

202

Perrigo Finance PLC:

3.5% 12/15/21

200

207

3.9% 12/15/24

200

207

Watson Pharmaceuticals, Inc. 1.875% 10/1/17

120

120

Zoetis, Inc.:

1.875% 2/1/18

57

57

3.25% 2/1/23

138

137

 

2,494

TOTAL HEALTH CARE

8,517

INDUSTRIALS - 0.1%

Aerospace & Defense - 0.0%

BAE Systems Holdings, Inc. 6.375% 6/1/19 (f)

309

358

Airlines - 0.0%

Continental Airlines, Inc.:

6.648% 3/15/19

10

10

6.9% 7/2/19

2

3

U.S. Airways pass-thru trust certificates:

6.85% 1/30/18

9

9

8.36% 1/20/19

7

7

 

29

Trading Companies & Distributors - 0.1%

Air Lease Corp.:

2.125% 1/15/18

203

202

3.75% 2/1/22

505

513

3.875% 4/1/21

387

399

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

INDUSTRIALS - continued

Trading Companies & Distributors - continued

Air Lease Corp.: - continued

4.25% 9/15/24

$ 336

$ 346

4.75% 3/1/20

338

364

 

1,824

TOTAL INDUSTRIALS

2,211

INFORMATION TECHNOLOGY - 0.0%

Electronic Equipment & Components - 0.0%

Amphenol Corp. 3.125% 9/15/21

131

134

Tyco Electronics Group SA 2.375% 12/17/18

74

75

 

209

MATERIALS - 0.2%

Chemicals - 0.0%

The Dow Chemical Co.:

4.125% 11/15/21

343

371

4.25% 11/15/20

186

203

 

574

Construction Materials - 0.0%

CRH America, Inc. 6% 9/30/16

15

16

Metals & Mining - 0.2%

Corporacion Nacional del Cobre de Chile (Codelco):

3.875% 11/3/21 (f)

360

380

4.25% 7/17/42 (f)

200

195

4.875% 11/4/44 (f)

1,401

1,489

5.625% 10/18/43 (f)

254

298

Freeport-McMoRan, Inc. 2.3% 11/14/17

289

285

Rio Tinto Finance (U.S.A.) PLC 2.25% 12/14/18

356

359

Vale Overseas Ltd.:

4.375% 1/11/22

200

194

6.25% 1/23/17

503

535

 

3,735

TOTAL MATERIALS

4,325

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - 0.5%

Diversified Telecommunication Services - 0.5%

CenturyLink, Inc.:

5.15% 6/15/17

$ 28

$ 30

6% 4/1/17

70

75

6.15% 9/15/19

226

247

Embarq Corp.:

7.082% 6/1/16

236

252

7.995% 6/1/36

1,725

2,018

Verizon Communications, Inc.:

1.35% 6/9/17

591

591

2.625% 2/21/20 (f)

615

620

4.5% 9/15/20

1,100

1,210

5.012% 8/21/54 (f)

1,641

1,714

6.25% 4/1/37

187

235

6.4% 9/15/33

346

439

6.55% 9/15/43

1,418

1,866

 

9,297

Wireless Telecommunication Services - 0.0%

America Movil S.A.B. de CV:

2.375% 9/8/16

276

280

3.125% 7/16/22

255

260

 

540

TOTAL TELECOMMUNICATION SERVICES

9,837

UTILITIES - 0.9%

Electric Utilities - 0.5%

American Electric Power Co., Inc.:

1.65% 12/15/17

147

148

2.95% 12/15/22

140

140

American Transmission Systems, Inc. 5% 9/1/44 (f)

148

170

Dayton Power & Light Co. 1.875% 9/15/16

119

120

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (f)

273

321

6.4% 9/15/20 (f)

850

1,008

Edison International 3.75% 9/15/17

226

239

Eversource Energy:

1.45% 5/1/18

96

95

2.8% 5/1/23

435

429

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

FirstEnergy Corp.:

2.75% 3/15/18

$ 846

$ 862

4.25% 3/15/23

1,949

2,052

7.375% 11/15/31

608

776

FirstEnergy Solutions Corp. 6.05% 8/15/21

649

721

LG&E and KU Energy LLC:

2.125% 11/15/15

255

257

3.75% 11/15/20

49

51

Monongahela Power Co. 4.1% 4/15/24 (f)

131

143

Nevada Power Co. 6.5% 5/15/18

165

189

NV Energy, Inc. 6.25% 11/15/20

115

135

Pepco Holdings, Inc. 2.7% 10/1/15

240

242

PPL Capital Funding, Inc. 3.4% 6/1/23

207

213

Progress Energy, Inc. 4.4% 1/15/21

823

910

TECO Finance, Inc.:

4% 3/15/16

96

99

5.15% 3/15/20

141

158

 

9,478

Gas Utilities - 0.0%

Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21

122

128

Texas Eastern Transmission LP 6% 9/15/17 (f)

326

360

 

488

Multi-Utilities - 0.4%

Dominion Resources, Inc.:

1.25% 3/15/17

700

701

2.5566% 9/30/66 (i)

823

765

7.5% 6/30/66 (i)

26

27

MidAmerican Energy Holdings, Co.:

1.1% 5/15/17

523

522

2% 11/15/18

403

407

National Grid PLC 6.3% 8/1/16

183

198

NiSource Finance Corp.:

4.45% 12/1/21

155

168

5.25% 2/15/43

357

428

5.45% 9/15/20

468

536

5.8% 2/1/42

199

249

6.4% 3/15/18

58

66

6.8% 1/15/19

677

797

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

UTILITIES - continued

Multi-Utilities - continued

PG&E Corp. 2.4% 3/1/19

$ 55

$ 55

Puget Energy, Inc.:

6% 9/1/21

457

543

6.5% 12/15/20

147

176

Sempra Energy:

2.3% 4/1/17

376

384

2.875% 10/1/22

1,154

1,156

Wisconsin Energy Corp. 6.25% 5/15/67 (i)

21

21

 

7,199

TOTAL UTILITIES

17,165

TOTAL NONCONVERTIBLE BONDS

(Cost $229,572)


237,812

U.S. Government and Government Agency Obligations - 7.6%

 

U.S. Treasury Inflation-Protected Obligations - 1.0%

U.S. Treasury Inflation-Indexed Bonds 0.75% 2/15/45

2,800

2,856

U.S. Treasury Inflation-Indexed Bonds 1.375% 2/15/44

6,550

7,843

U.S. Treasury Inflation-Indexed Notes 0.125% 7/15/24

7,243

7,180

TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS

17,879

U.S. Treasury Obligations - 6.6%

U.S. Treasury Bills, yield at date of purchase 0.01% to 0.03% 4/2/15 to 5/14/15 (h)

1,850

1,850

U.S. Treasury Bonds:

2.5% 2/15/45

2,817

2,762

3% 11/15/44

7,714

8,367

3.125% 8/15/44

1,741

1,929

U.S. Treasury Notes:

0.875% 1/15/18

41,472

41,346

1% 2/15/18

51,720

51,716

1.25% 1/31/20 (e)

5,065

5,004

U.S. Government and Government Agency Obligations - continued

 

Principal
Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

2% 2/15/25

$ 4,721

$ 4,721

2.25% 11/15/24

7,600

7,766

TOTAL U.S. TREASURY OBLIGATIONS

125,461

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $142,679)


143,340

U.S. Government Agency - Mortgage Securities - 1.4%

 

Fannie Mae - 1.1%

2.053% 6/1/36 (i)

8

9

2.389% 7/1/37 (i)

15

16

2.5% 1/1/28 to 12/1/29

293

300

2.5% 3/1/30 (g)

400

410

2.542% 6/1/42 (i)

44

45

2.96% 11/1/40 (i)

21

22

2.982% 9/1/41 (i)

23

24

3% 1/1/43 to 8/1/43

842

859

3.059% 10/1/41 (i)

15

16

3.235% 7/1/41 (i)

39

41

3.318% 10/1/41 (i)

18

19

3.5% 2/1/26 to 1/1/44

15,412

16,262

3.5% 3/1/45 (g)

1,100

1,153

3.563% 7/1/41 (i)

39

41

4% 1/1/42 to 12/1/43

269

291

4% 3/1/45 (g)

600

641

4.5% 12/1/23 to 1/1/43

95

103

4.5% 3/1/45 (g)

400

435

4.5% 3/1/45

500

543

6% 11/1/35 to 8/1/37

337

387

TOTAL FANNIE MAE

21,617

Freddie Mac - 0.2%

3.136% 10/1/35 (i)

19

20

3.227% 9/1/41 (i)

23

25

3.242% 4/1/41 (i)

29

30

3.298% 6/1/41 (i)

30

32

3.468% 5/1/41 (i)

33

34

U.S. Government Agency - Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Freddie Mac - continued

3.5% 9/1/42 to 2/1/44

$ 2,533

$ 2,668

3.626% 6/1/41 (i)

38

41

3.71% 5/1/41 (i)

31

32

4% 2/1/41 to 9/1/44

590

633

4.5% 3/1/44

186

202

5% 11/1/40

237

262

TOTAL FREDDIE MAC

3,979

Ginnie Mae - 0.1%

3% 6/20/42 to 1/20/45

293

302

3.5% 10/20/42 to 8/20/43

283

298

4% 9/20/40 to 1/20/41

253

272

4.5% 5/20/41

197

214

5.5% 6/15/35

109

125

TOTAL GINNIE MAE

1,211

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $26,636)


26,807

Asset-Backed Securities - 0.3%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6383% 4/25/35 (i)

30

26

Ally Master Owner Trust Series 2012-3 Class A2, 1.21% 6/15/17

370

371

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.2183% 12/25/33 (i)

2

2

Series 2004-R2 Class M3, 0.9933% 4/25/34 (i)

4

3

Series 2005-R2 Class M1, 0.621% 4/25/35 (i)

8

8

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.9495% 3/25/34 (i)

2

2

Series 2004-W11 Class M2, 1.221% 11/25/34 (i)

25

25

Series 2004-W7 Class M1, 0.9933% 5/25/34 (i)

27

26

Series 2006-W4 Class A2C, 0.331% 5/25/36 (i)

53

18

Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 0.9933% 4/25/34 (i)

81

74

Capital Auto Receivables Trust Series 2013-3 Class A3, 1.31% 12/20/17

360

361

Asset-Backed Securities - continued

 

Principal
Amount (000s)

Value (000s)

Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.311% 12/25/36 (i)

$ 82

$ 54

CFC LLC:

Series 2013-1A Class A, 1.65% 7/17/17 (f)

12

12

Series 2013-2A Class A, 1.75% 11/15/17 (f)

121

121

Countrywide Home Loans, Inc.:

Series 2004-3 Class M4, 1.626% 4/25/34 (i)

3

3

Series 2004-4 Class M2, 0.966% 6/25/34 (i)

5

5

Series 2004-7 Class AF5, 5.868% 1/25/35

117

121

Fannie Mae Series 2004-T5 Class AB3, 0.9831% 5/28/35 (i)

2

2

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3445% 8/25/34 (i)

13

12

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 0.996% 3/25/34 (i)

0*

0*

Ford Credit Floorplan Master Owner Trust:

Series 2013-3 Class A1, 0.79% 6/15/17

700

700

Series 2015-1 Class B, 1.62% 1/15/20

615

612

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.9033% 1/25/35 (i)

43

35

Class M4, 1.1883% 1/25/35 (i)

16

10

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6416% 2/25/47 (f)(i)

60

52

GE Business Loan Trust:

Series 2003-1 Class A, 0.603% 4/15/31 (f)(i)

2

2

Series 2006-2A:

Class A, 0.353% 11/15/34 (f)(i)

23

22

Class B, 0.453% 11/15/34 (f)(i)

8

8

Class C, 0.553% 11/15/34 (f)(i)

14

12

Class D, 0.923% 11/15/34 (f)(i)

5

5

Home Equity Asset Trust:

Series 2003-3 Class M1, 1.461% 8/25/33 (i)

22

21

Series 2003-5 Class A2, 0.871% 12/25/33 (i)

1

1

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.361% 1/25/37 (i)

56

36

JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.2983% 11/25/36 (i)

27

27

KeyCorp Student Loan Trust:

Series 1999-A Class A2, 0.5846% 12/27/29 (i)

9

9

Series 2006-A Class 2C, 1.4046% 3/27/42 (i)

43

8

MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4683% 5/25/37 (i)

18

0*

Asset-Backed Securities - continued

 

Principal
Amount (000s)

Value (000s)

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.146% 7/25/34 (i)

$ 3

$ 2

Series 2006-FM1 Class A2B, 0.2783% 4/25/37 (i)

19

17

Series 2006-OPT1 Class A1A, 0.691% 6/25/35 (i)

41

39

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.8483% 8/25/34 (i)

3

2

Series 2005-NC1 Class M1, 0.831% 1/25/35 (i)

16

15

Series 2005-NC2 Class B1, 1.926% 3/25/35 (i)

11

0*

New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.681% 9/25/35 (i)

65

58

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 2.0433% 9/25/34 (i)

24

23

Class M4, 2.3433% 9/25/34 (i)

31

19

Series 2005-WCH1 Class M4, 1.001% 1/25/36 (i)

67

59

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.971% 4/25/33 (i)

0*

0*

Santander Drive Auto Receivables Trust:

Series 2014-4 Class C, 2.6% 11/16/20

223

224

Series 2015-1 Class A3, 1.27% 2/15/19

1,441

1,442

Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9633% 3/25/35 (i)

39

36

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.1906% 6/15/33 (i)

35

34

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.896% 9/25/34 (i)

2

2

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0283% 9/25/34 (i)

1

1

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8156% 4/6/42 (f)(i)

60

32

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0561% 10/25/44 (f)(i)

81

82

TOTAL ASSET-BACKED SECURITIES

(Cost $4,500)


4,893

Collateralized Mortgage Obligations - 0.1%

 

Private Sponsor - 0.1%

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.731% 1/25/35 (i)

55

54

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.5591% 10/25/34 (i)

21

21

Collateralized Mortgage Obligations - continued

 

Principal
Amount (000s)

Value (000s)

Private Sponsor - continued

Granite Master Issuer PLC floater:

Series 2006-1A Class C2, 1.3735% 12/20/54 (f)(i)

$ 271

$ 268

Series 2006-2 Class C1, 1.1135% 12/20/54 (i)

242

238

Series 2006-3 Class C2, 1.1735% 12/20/54 (i)

50

49

Series 2006-4:

Class C1, 0.9335% 12/20/54 (i)

103

100

Class M1, 0.5135% 12/20/54 (i)

44

43

Series 2007-1:

Class 1C1, 0.7735% 12/20/54 (i)

84

81

Class 1M1, 0.4735% 12/20/54 (i)

54

52

Class 2C1, 1.0335% 12/20/54 (i)

38

37

Class 2M1, 0.6735% 12/20/54 (i)

70

69

Series 2007-2 Class 2C1, 1.033% 12/17/54 (i)

97

95

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7066% 1/20/44 (i)

19

20

JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.4665% 8/25/36 (i)

48

42

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.381% 5/25/47 (i)

21

19

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.341% 2/25/37 (i)

32

30

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4583% 7/25/35 (i)

55

52

RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.5163% 6/10/35 (f)(i)

10

10

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2236% 7/20/34 (i)

1

1

Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5122% 4/25/33 (i)

8

8

TOTAL PRIVATE SPONSOR

1,289

U.S. Government Agency - 0.0%

Fannie Mae planned amortization class Series 2002-9 Class PC, 6% 3/25/17

3

4

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $304)


1,293

Commercial Mortgage Securities - 1.6%

 

Principal
Amount (000s)

Value (000s)

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5642% 2/14/43 (i)(k)

$ 21

$ 0*

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2:

Class A4, 5.729% 5/10/45 (i)

251

259

Class AAB, 5.711% 5/10/45 (i)

9

9

Series 2006-3 Class A4, 5.889% 7/10/44

1,810

1,894

Series 2006-5 Class A2, 5.317% 9/10/47

100

100

Series 2006-6 Class A3, 5.369% 10/10/45

150

152

Series 2006-4 Class A1A, 5.617% 7/10/46 (i)

838

884

Series 2005-3 Class A3B, 5.09% 7/10/43 (i)

233

234

Series 2006-6 Class E, 5.619% 10/10/45 (f)

43

6

Series 2007-3:

Class A3, 5.5907% 6/10/49 (i)

89

89

Class A4, 5.5907% 6/10/49 (i)

740

790

Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49

256

273

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.446% 12/25/33 (f)(i)

2

2

Series 2005-4A:

Class A2, 0.561% 1/25/36 (f)(i)

38

34

Class B1, 1.571% 1/25/36 (f)(i)

2

1

Class M1, 0.621% 1/25/36 (f)(i)

12

10

Class M2, 0.641% 1/25/36 (f)(i)

4

3

Class M3, 0.671% 1/25/36 (f)(i)

5

4

Class M4, 0.781% 1/25/36 (f)(i)

3

2

Class M5, 0.821% 1/25/36 (f)(i)

3

2

Class M6, 0.871% 1/25/36 (f)(i)

3

2

Series 2006-3A Class M4, 0.601% 10/25/36 (f)(i)

2

0*

Series 2007-1 Class A2, 0.441% 3/25/37 (f)(i)

22

19

Series 2007-2A:

Class A1, 0.441% 7/25/37 (f)(i)

23

19

Class A2, 0.491% 7/25/37 (f)(i)

21

17

Class M1, 0.541% 7/25/37 (f)(i)

8

3

Class M2, 0.581% 7/25/37 (f)(i)

4

1

Class M3, 0.661% 7/25/37 (f)(i)

3

0*

Series 2007-3:

Class A2, 0.461% 7/25/37 (f)(i)

24

20

Class M1, 0.481% 7/25/37 (f)(i)

4

3

Class M2, 0.511% 7/25/37 (f)(i)

5

3

Class M3, 0.541% 7/25/37 (f)(i)

7

3

Commercial Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-3:

Class M4, 0.671% 7/25/37 (f)(i)

$ 11

$ 4

Class M5, 0.771% 7/25/37 (f)(i)

6

1

Series 2007-4A:

Class M1, 1.1183% 9/25/37 (f)(i)

9

2

Class M2, 1.2183% 9/25/37 (f)(i)

3

0*

Series 2007-5A, Class IO, 4.186% 10/25/37 (f)(i)(k)

212

4

Bear Stearns Commercial Mortgage Securities Trust:

sequential payer Series 2007-PW16 Class A4, 5.7072% 6/11/40 (i)

44

47

Series 2006-T22 Class A4, 5.5714% 4/12/38 (i)

8

9

Series 2007-PW18 Class X2, 0.2845% 6/11/50 (f)(i)(k)

3,453

12

Series 2007-T28 Class X2, 0.1365% 9/11/42 (f)(i)(k)

2,150

3

C-BASS Trust floater Series 2006-SC1 Class A, 0.4383% 5/25/36 (f)(i)

16

16

CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.1665% 12/15/27 (f)(i)

188

188

Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4:

Class A3, 5.293% 12/11/49

7

7

Class A4, 5.322% 12/11/49

2,380

2,509

Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (i)

84

82

COMM Mortgage Trust pass-thru certificates:

floater Series 2005-F10A Class J, 1.023% 4/15/17 (f)(i)

6

6

sequential payer Series 2006-C7 Class A1A, 5.7449% 6/10/46 (i)

253

264

Credit Suisse Commercial Mortgage Trust:

sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (i)

1

1

Series 2007-C5 Class A4, 5.695% 9/15/40 (i)

68

73

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.523% 4/15/22 (f)(i)

51

51

Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0% 9/15/34 (f)(i)(k)

0*

0

Credit Suisse Mortgage Capital Certificates Series 2007-C1 Class B, 5.487% 2/15/40 (f)(i)

115

13

GAHR Commercial Mortgage Trust Series 2015-NRF:

Class BFX, 3.3822% 12/15/19 (f)

510

516

Class CFX, 3.3822% 12/15/19 (f)

433

431

Class DFX, 3.3822% 12/15/19 (f)

367

359

Commercial Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49

$ 1,665

$ 1,764

Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A4, 5.8188% 7/10/38 (i)

441

458

GS Mortgage Securities Corp. II Series 2006-GG6 Class A4, 5.553% 4/10/38 (i)

134

137

GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39

78

83

Hilton U.S.A. Trust Series 2013-HLT:

Class CFX, 3.7141% 11/5/30 (f)

100

102

Class DFX, 4.4065% 11/5/30 (f)

765

779

JPMorgan Chase Commercial Mortgage Securities Trust:

floater:

Series 2006-FL2A:

Class E, 0.453% 11/15/18 (f)(i)

6

6

Class F, 0.503% 11/15/18 (f)(i)

14

14

Class G, 0.533% 11/15/18 (f)(i)

13

12

Class H, 0.673% 11/15/18 (f)(i)

10

9

Series 2014-BXH:

Class C, 1.823% 4/15/27 (f)(i)

130

130

Class D, 2.423% 4/15/27 (f)(i)

277

276

sequential payer:

Series 2006-CB16 Class A1A, 5.546% 5/12/45

482

508

Series 2006-CB17 Class A4, 5.429% 12/12/43

231

242

Series 2006-LDP8 Class A1A, 5.397% 5/15/45

833

871

Series 2006-LDP9 Class A3, 5.336% 5/15/47

30

32

Series 2007-CB18 Class A4, 5.44% 6/12/47

67

71

Series 2007-CB19 Class A4, 5.6985% 2/12/49 (i)

1,130

1,213

Series 2007-LD11 Class A4, 5.7953% 6/15/49 (i)

790

846

Series 2007-LDPX Class A3, 5.42% 1/15/49

521

554

Series 2006-LDP7 Class A4, 5.8754% 4/15/45 (i)

700

727

Series 2007-LDP10 Class CS, 5.466% 1/15/49 (i)

4

0*

LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.9055% 7/15/44 (i)

58

63

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2006-C6 Class A4, 5.372% 9/15/39

34

36

Series 2006-C7 Class A2, 5.3% 11/15/38

39

39

Series 2007-C1 Class A4, 5.424% 2/15/40

533

566

Series 2007-C6 Class A4, 5.858% 7/15/40 (i)

87

92

Series 2007-C7 Class A3, 5.866% 9/15/45

440

482

Merrill Lynch Mortgage Trust:

Series 2005-LC1 Class F, 5.4198% 1/12/44 (f)(i)

65

63

Commercial Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Merrill Lynch Mortgage Trust: - continued

Series 2007-C1 Class A4, 5.837% 6/12/50 (i)

$ 354

$ 381

Merrill Lynch-CFC Commercial Mortgage Trust:

sequential payer:

Series 2006-4:

Class A3, 5.172% 12/12/49 (i)

38

40

Class ASB, 5.133% 12/12/49 (i)

16

17

Series 2007-5 Class A4, 5.378% 8/12/48

59

63

Series 2007-6 Class A4, 5.485% 3/12/51 (i)

550

589

Series 2007-7 Class A4, 5.7473% 6/12/50 (i)

263

283

Series 2007-6 Class B, 5.635% 3/12/51 (i)

75

23

Series 2007-7 Class B, 5.7473% 6/12/50 (i)

7

0*

Series 2007-8 Class A3, 5.8862% 8/12/49 (i)

65

71

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.373% 7/15/19 (f)(i)

16

14

Series 2007-XLFA:

Class C, 0.327% 10/15/20 (f)(i)

0*

0*

Class D, 0.357% 10/15/20 (f)(i)

30

30

Class E, 0.417% 10/15/20 (f)(i)

38

37

Class F, 0.467% 10/15/20 (f)(i)

23

22

Class G, 0.507% 10/15/20 (f)(i)

28

28

Class H, 0.597% 10/15/20 (f)(i)

18

17

Class J, 0.747% 10/15/20 (f)(i)

10

9

sequential payer Series 2007-HQ11 Class A31, 5.439% 2/12/44 (i)

7

7

Series 2006-IQ11 Class A4, 5.6614% 10/15/42 (i)

19

19

Series 2007-HQ12 Class A2, 5.6074% 4/12/49 (i)

89

89

Series 2007-IQ14:

Class A4, 5.692% 4/15/49

2,968

3,181

Class B, 5.7403% 4/15/49 (i)

18

2

Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (f)

694

930

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2006-WL7A:

Class G, 0.533% 9/15/21 (f)(i)

8

8

Class J, 0.773% 9/15/21 (f)(i)

18

17

Series 2007-WHL8:

Class F, 0.653% 6/15/20 (f)(i)

168

161

Class LXR1, 0.873% 6/15/20 (f)(i)

9

8

sequential payer:

Series 2006-C28 Class A4, 5.572% 10/15/48

306

321

Commercial Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust: - continued

sequential payer:

Series 2006-C29 Class A1A, 5.297% 11/15/48

$ 277

$ 293

Series 2007-C30 Class A5, 5.342% 12/15/43

540

575

Series 2007-C31 Class A4, 5.509% 4/15/47

1,070

1,125

Series 2007-C32 Class A3, 5.7206% 6/15/49 (i)

235

251

Series 2007-C33:

Class A4, 5.9428% 2/15/51 (i)

1,094

1,167

Class A5, 5.9428% 2/15/51 (i)

50

54

Series 2005-C19 Class B, 4.892% 5/15/44

75

75

Series 2005-C22:

Class B, 5.3597% 12/15/44 (i)

166

164

Class F, 5.3597% 12/15/44 (f)(i)

125

32

Series 2006-C26 Class A1A, 6.009% 6/15/45 (i)

405

425

Series 2006-C27 Class A1A, 5.749% 7/15/45 (i)

698

733

Series 2007-C31 Class C, 5.6742% 4/15/47 (i)

21

21

Series 2007-C31A Class A2, 5.421% 4/15/47

156

156

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $30,194)


31,049

Municipal Securities - 0.9%

 

Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (i)

100

101

California Gen. Oblig.:

Series 2009, 7.35% 11/1/39

70

106

7.3% 10/1/39

535

807

7.5% 4/1/34

465

705

7.55% 4/1/39

1,375

2,176

7.6% 11/1/40

895

1,442

7.625% 3/1/40

2,275

3,598

Chicago Gen. Oblig.:

(Taxable Proj.):

Series 2008 B, 5.63% 1/1/22

80

86

Series 2010 C1, 7.781% 1/1/35

395

479

Series 2012 B, 5.432% 1/1/42

105

98

6.314% 1/1/44

515

539

Illinois Gen. Oblig.:

Series 2003:

4.35% 6/1/18

35

36

5.1% 6/1/33

2,375

2,397

Series 2010-1, 6.63% 2/1/35

525

592

Municipal Securities - continued

 

Principal
Amount (000s)

Value (000s)

Illinois Gen. Oblig.: - continued

Series 2010-3:

5.547% 4/1/19

$ 10

$ 11

6.725% 4/1/35

805

914

7.35% 7/1/35

220

263

Series 2011:

4.961% 3/1/16

35

36

5.365% 3/1/17

15

16

5.665% 3/1/18

330

360

5.877% 3/1/19

915

1,014

Series 2013:

2.69% 12/1/17

110

112

3.14% 12/1/18

115

116

TOTAL MUNICIPAL SECURITIES

(Cost $15,222)


16,004

Foreign Government and Government Agency Obligations - 0.0%

 

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

(Cost $365)

365

367

Bank Notes - 0.1%

 

Discover Bank (Delaware) 3.2% 8/9/21

598

611

KeyBank NA 2.25% 3/16/20

1,500

1,503

TOTAL BANK NOTES

(Cost $2,095)

2,114

Fixed-Income Funds - 6.1%

Shares

 

Fidelity High Income Central Fund 2 (j)

321,303

37,030

Fidelity Mortgage Backed Securities Central Fund (j)

718,717

78,944

TOTAL FIXED-INCOME FUNDS

(Cost $107,426)


115,974

Money Market Funds - 4.0%

Shares

Value (000s)

Fidelity Cash Central Fund, 0.13% (b)

68,602,442

$ 68,602

Fidelity Securities Lending Cash Central Fund, 0.13% (b)(d)

7,718,935

7,719

TOTAL MONEY MARKET FUNDS

(Cost $76,321)


76,321

Cash Equivalents - 0.2%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.07%, dated 2/27/15 due 3/2/15 (Collateralized by U.S. Government Obligations) # (c)
(Cost $4,040)

$ 4,040


4,040

TOTAL INVESTMENT PORTFOLIO - 101.4%

(Cost $1,625,877)

1,926,429

NET OTHER ASSETS (LIABILITIES) - (1.4)%

(25,874)

NET ASSETS - 100%

$ 1,900,555

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value (000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Purchased

Equity Index Contracts

294 CME E-mini S&P 500 Index Contracts (United States)

March 2015

$ 30,911

$ 822

 

The face value of futures purchased as a percentage of net assets is 1.6%

Swaps

Credit Default Swaps

Underlying Reference

Rating (1)

Expiration
Date

Clearinghouse/
Counterparty

Fixed
Payment
Received/
(Paid)

Notional
Amount(2)
(000s)

Value
(000s)(1)

Upfront
Premium
Received/
(Paid)
(000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Sell Protection

Ameriquest Mortgage Securities Inc Series 2004-R11 Class M9

C

Dec. 2034

Credit Suisse International

4.25%

$ 15

$ (15)

$ -

$ (15)

 

(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's® Investors Service, Inc. Where Moody's ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

 

(2) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

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) Includes investment made with cash collateral received from securities on loan.

(d) Investment made with cash collateral received from securities on loan.

(e) Security or a portion of the security is on loan at period end.

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $34,717,000 or 1.8% of net assets.

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

(h) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,318,000.

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

(j) 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.

(k) 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.

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

(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 $1,132,000 or 0.1% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition
Date

Acquisition
Cost (000s)

Legend Pictures LLC

9/23/10

$ 311

MongoDB, Inc. Series F, 8.00%

10/2/13

$ 281

* Amount represents less than $1,000.

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value
(Amounts in
thousands)

$4,040,000 due 3/02/15 at 0.07%

Commerz Markets LLC

$ 4,040

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

$ 41

Fidelity High Income Central Fund 2

1,058

Fidelity Mortgage Backed Securities Central Fund

985

Fidelity Securities Lending Cash Central Fund

69

Total

$ 2,153

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 High Income Central Fund 2

$ 36,948

$ 1,076

$ -

$ 37,030

4.5%

Fidelity Mortgage Backed Securities Central Fund

78,954

18,594

19,728

78,944

1.8%

Total

$ 115,902

$ 19,670

$ 19,728

$ 115,974

Other Information

The following is a summary of the inputs used, as of February 28, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 176,517

$ 175,536

$ -

$ 981

Consumer Staples

122,502

119,274

3,228

-

Energy

104,928

103,069

1,859

-

Financials

199,899

199,899

-

-

Health Care

190,949

184,291

6,658

-

Industrials

120,211

120,211

-

-

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Information Technology

$ 239,899

$ 239,748

$ -

$ 151

Materials

54,078

54,078

-

-

Telecommunication Services

22,853

22,853

-

-

Utilities

34,579

34,579

-

-

Corporate Bonds

237,812

-

237,812

-

U.S. Government and Government Agency Obligations

143,340

-

143,340

-

U.S. Government Agency - Mortgage Securities

26,807

-

26,807

-

Asset-Backed Securities

4,893

-

4,861

32

Collateralized Mortgage Obligations

1,293

-

1,293

-

Commercial Mortgage Securities

31,049

-

30,994

55

Municipal Securities

16,004

-

16,004

-

Foreign Government and Government Agency Obligations

367

-

367

-

Bank Notes

2,114

-

2,114

-

Fixed-Income Funds

115,974

115,974

-

-

Money Market Funds

76,321

76,321

-

-

Cash Equivalents

4,040

-

4,040

-

Total Investments in Securities:

$ 1,926,429

$ 1,445,833

$ 479,377

$ 1,219

Derivative Instruments:

Assets

Futures Contracts

$ 822

$ 822

$ -

$ -

Liabilities

Swaps

$ (15)

$ -

$ (15)

$ -

Total Derivative Instruments:

$ 807

$ 822

$ (15)

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure /
 Derivative Type
(Amounts in thousands)

Value

 

Asset

Liability

Equity Risk

Futures Contracts (a)

$ 822

$ -

Credit Risk

Swaps (b)

-

(15)

Total Value of Derivatives

$ 822

$ (15)

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

(b) For bi-lateral OTC swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.

Other Information

The composition of credit quality ratings as a percentage of net assets is as follows (Unaudited):

U.S. Government and U.S.
Government Agency Obligations

13.4%

AAA,AA,A

5.7%

BBB

8.3%

BB

1.9%

B

1.3%

CCC,CC,C

0.1%

D

0.0%

Not Rated

0.0%

Equities

66.6%

Short-Term Investments and Net
Other Assets

2.7%

 

100.0%

We have used ratings from Moody's Investors Service, Inc. Where Moody's ratings are not available, we have used S&P ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Percentages are adjusted for the effect of futures contracts, if applicable.

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

United States of America

88.9%

United Kingdom

2.3%

Ireland

2.1%

Cayman Islands

1.1%

Bermuda

1.0%

Others (Individually Less Than 1%)

4.6%

 

100.0%

The information in the above table is based on the combined investments of the Fund and it's pro-rata share of the investments of Fidelity's fixed-income funds.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amounts)

February 28, 2015 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including securities loaned of $11,214 and repurchase agreements of $4,040) - See accompanying schedule:

Unaffiliated issuers (cost $1,442,130)

$ 1,734,134

 

Fidelity Central Funds (cost $183,747)

192,295

 

Total Investments (cost $1,625,877)

 

$ 1,926,429

Cash

 

3

Receivable for investments sold

11,585

Receivable for fund shares sold

4,188

Dividends receivable

1,509

Interest receivable

3,028

Distributions receivable from Fidelity Central Funds

13

Prepaid expenses

2

Other receivables

45

Total assets

1,946,802

 

 

 

Liabilities

Payable for investments purchased
Regular delivery

$ 26,021

Delayed delivery

3,169

Payable for fund shares redeemed

3,402

Bi-lateral OTC swaps, at value

15

Accrued management fee

619

Distribution and service plan fees payable

693

Payable for daily variation margin for derivative instruments

100

Other affiliated payables

341

Other payables and accrued expenses

127

Collateral on securities loaned, at value

11,760

Total liabilities

46,247

 

 

 

Net Assets

$ 1,900,555

Net Assets consist of:

 

Paid in capital

$ 1,567,905

Undistributed net investment income

4,359

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

26,937

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

301,354

Net Assets

$ 1,900,555

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

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

 Amounts in thousands (except per-share amounts)

February 28, 2015 (Unaudited)

 

 

 

Calculation of Maximum Offering Price

Class A:
Net Asset Value and redemption price per share ($415,070 ÷ 21,120.4 shares)

$ 19.65

 

 

 

Maximum offering price per share (100/94.25 of $19.65)

$ 20.85

Class T:
Net Asset Value and redemption price per share ($1,030,182 ÷ 51,928.7 shares)

$ 19.84

 

 

 

Maximum offering price per share (100/96.50 of $19.84)

$ 20.56

Class B:
Net Asset Value and offering price per share ($9,862 ÷ 501.4 shares)A

$ 19.67

 

 

 

Class C:
Net Asset Value and offering price per share ($219,728 ÷ 11,246.7 shares)A

$ 19.54

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($192,664 ÷ 9,641.7 shares)

$ 19.98

 

 

 

Class Z:
Net Asset Value, offering price and redemption price per share ($33,049 ÷ 1,653.9 shares)

$ 19.98

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

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

Semiannual Report

Statement of Operations

 Amounts in thousands Six months ended February 28, 2015 (Unaudited)

 

 

 

Investment Income

 

 

Dividends

 

$ 9,409

Interest

 

5,756

Income from Fidelity Central Funds

 

2,153

Total income

 

17,318

 

 

 

Expenses

Management fee

$ 3,473

Transfer agent fees

1,617

Distribution and service plan fees

3,887

Accounting and security lending fees

342

Custodian fees and expenses

49

Independent trustees' compensation

3

Registration fees

81

Audit

54

Legal

6

Miscellaneous

10

Total expenses before reductions

9,522

Expense reductions

(23)

9,499

Net investment income (loss)

7,819

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

62,517

Fidelity Central Funds

207

 

Foreign currency transactions

(32)

Futures contracts

1,038

Total net realized gain (loss)

 

63,730

Change in net unrealized appreciation (depreciation) on:

Investment securities

9,751

Futures contracts

105

Delayed delivery commitments

6

 

Total change in net unrealized appreciation (depreciation)

 

9,862

Net gain (loss)

73,592

Net increase (decrease) in net assets resulting from operations

$ 81,411

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

 Amounts in thousands

Six months ended
February 28, 2015
(Unaudited)

Year ended
August 31,
2014

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 7,819

$ 15,357

Net realized gain (loss)

63,730

98,962

Change in net unrealized appreciation (depreciation)

9,862

136,177

Net increase (decrease) in net assets resulting
from operations

81,411

250,496

Distributions to shareholders from net investment income

(5,963)

(15,035)

Distributions to shareholders from net realized gain

(102,365)

(56,875)

Total distributions

(108,328)

(71,910)

Share transactions - net increase (decrease)

280,336

162,208

Total increase (decrease) in net assets

253,419

340,794

 

 

 

Net Assets

Beginning of period

1,647,136

1,306,342

End of period (including undistributed net investment income of $4,359 and undistributed net investment income of $2,503, respectively)

$ 1,900,555

$ 1,647,136

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

Semiannual Report

Financial Highlights - Class A

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 20.10

$ 17.84

$ 16.31

$ 14.83

$ 13.29

$ 12.61

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .11

  .23

  .22

  .24

  .23

  .24

Net realized and unrealized gain (loss)

  .74

  3.03

  1.52

  1.48

  1.55

  .70

Total from investment operations

  .85

  3.26

  1.74

  1.72

  1.78

  .94

Distributions from net investment income

  (.09)

  (.23)

  (.21)

  (.24)

  (.23)

  (.24)

Distributions from net realized gain

  (1.21)

  (.77)

  -

  -

  (.01)

  (.02)

Total distributions

  (1.30)

  (1.00)

  (.21)

  (.24)

  (.24)

  (.26)I

Net asset value, end of period

$ 19.65

$ 20.10

$ 17.84

$ 16.31

$ 14.83

$ 13.29

Total ReturnB, C, D

  4.71%

  18.93%

  10.74%

  11.72%

  13.34%

  7.44%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  .91%A

  .92%

  .95%

  .98%

  1.00%

  1.00%

Expenses net of fee waivers, if any

  .91%A

  .92%

  .95%

  .98%

  1.00%

  1.00%

Expenses net of all reductions

  .91%A

  .92%

  .94%

  .98%

  .99%

  .99%

Net investment income (loss)

  1.09%A

  1.22%

  1.27%

  1.56%

  1.53%

  1.76%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 415

$ 366

$ 270

$ 249

$ 215

$ 203

Portfolio turnover rateG

  104%A

  79%

  124%

  124%

  146%J

  116%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DTotal returns do not include the effect of the sales charges. ECalculated based on average shares outstanding during the period. FFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. GAmount does not include the portfolio activity of any underlying Fidelity Central Funds. HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ITotal distributions of $.26 per share is comprised of distributions from net investment income of $.243 and distributions from net realized gain of $.015 per share. JThe portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

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

Semiannual Report

Financial Highlights - Class T

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 20.28

$ 17.99

$ 16.44

$ 14.95

$ 13.40

$ 12.70

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .08

  .19

  .18

  .21

  .20

  .21

Net realized and unrealized gain (loss)

  .76

  3.05

  1.54

  1.49

  1.56

  .72

Total from investment operations

  .84

  3.24

  1.72

  1.70

  1.76

  .93

Distributions from net investment income

  (.06)

  (.19)

  (.17)

  (.21)

  (.20)

  (.21)

Distributions from net realized gain

  (1.21)

  (.77)

  -

  -

  (.01)

  (.02)

Total distributions

  (1.28)K

  (.95)J

  (.17)

  (.21)

  (.21)

  (.23)I

Net asset value, end of period

$ 19.84

$ 20.28

$ 17.99

$ 16.44

$ 14.95

$ 13.40

Total ReturnB, C, D

  4.58%

  18.66%

  10.55%

  11.44%

  13.09%

  7.32%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.15%A

  1.15%

  1.17%

  1.19%

  1.20%

  1.23%

Expenses net of fee waivers, if any

  1.15%A

  1.15%

  1.17%

  1.19%

  1.20%

  1.23%

Expenses net of all reductions

  1.14%A

  1.15%

  1.16%

  1.18%

  1.19%

  1.21%

Net investment income (loss)

  .85%A

  .99%

  1.05%

  1.36%

  1.33%

  1.54%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 1,030

$ 960

$ 821

$ 737

$ 673

$ 619

Portfolio turnover rateG

  104%A

  79%

  124%

  124%

  146%L

  116%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DTotal returns do not include the effect of the sales charges. ECalculated based on average shares outstanding during the period. FFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. GAmount does not include the portfolio activity of any underlying Fidelity Central Funds. HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ITotal distributions of $.23 per share is comprised of distributions from net investment income of $.214 and distributions from net realized gain of $.015 per share. JTotal distributions of $.95 per share is comprised of distributions from net investment income of $.185 and distributions from net realized gain of $.768 per share. KTotal distributions of $1.28 per share is comprised of distributions from net investment income of $0.063 and distributions from net realized gain of $1.212 per share. LThe portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

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

Semiannual Report

Financial Highlights - Class B

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 20.11

$ 17.84

$ 16.30

$ 14.81

$ 13.27

$ 12.58

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .03

  .07

  .08

  .12

  .11

  .13

Net realized and unrealized gain (loss)

  .75

  3.03

  1.52

  1.47

  1.54

  .71

Total from investment operations

  .78

  3.10

  1.60

  1.59

  1.65

  .84

Distributions from net investment income

  (.01)

  (.06)

  (.06)

  (.10)

  (.10)

  (.13)

Distributions from net realized gain

  (1.21)

  (.77)

  -

  -

  (.01)

  (.02)

Total distributions

  (1.22)

  (.83)

  (.06)

  (.10)

  (.11)

  (.15)I

Net asset value, end of period

$ 19.67

$ 20.11

$ 17.84

$ 16.30

$ 14.81

$ 13.27

Total ReturnB, C, D

  4.30%

  17.95%

  9.85%

  10.78%

  12.42%

  6.66%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.74%A

  1.76%

  1.78%

  1.78%

  1.80%

  1.82%

Expenses net of fee waivers, if any

  1.74%A

  1.76%

  1.78%

  1.78%

  1.80%

  1.82%

Expenses net of all reductions

  1.74%A

  1.75%

  1.77%

  1.78%

  1.79%

  1.81%

Net investment income (loss)

  .26%A

  .38%

  .44%

  .76%

  .73%

  .94%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 10

$ 11

$ 13

$ 15

$ 19

$ 24

Portfolio turnover rateG

  104%A

  79%

  124%

  124%

  146%J

  116%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DTotal returns do not include the effect of the contingent deferred sales charge. ECalculated based on average shares outstanding during the period. FFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. GAmount does not include the portfolio activity of any underlying Fidelity Central Funds. HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ITotal distributions of $.15 per share is comprised of distributions from net investment income of $.133 and distributions from net realized gain of $.015 per share. JThe portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

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

Semiannual Report

Financial Highlights - Class C

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 19.99

$ 17.76

$ 16.24

$ 14.77

$ 13.23

$ 12.55

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .03

  .09

  .09

  .13

  .12

  .13

Net realized and unrealized gain (loss)

  .75

  3.01

  1.52

  1.46

  1.55

  .71

Total from investment operations

  .78

  3.10

  1.61

  1.59

  1.67

  .84

Distributions from net investment income

  (.02)

  (.10)

  (.09)

  (.12)

  (.12)

  (.15)

Distributions from net realized gain

  (1.21)

  (.77)

  -

  -

  (.01)

  (.02)

Total distributions

  (1.23)

  (.87)

  (.09)

  (.12)

  (.13)

  (.16)I

Net asset value, end of period

$ 19.54

$ 19.99

$ 17.76

$ 16.24

$ 14.77

$ 13.23

Total ReturnB, C, D

  4.34%

  18.01%

  9.93%

  10.81%

  12.59%

  6.69%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.67%A

  1.68%

  1.71%

  1.73%

  1.74%

  1.76%

Expenses net of fee waivers, if any

  1.67%A

  1.68%

  1.71%

  1.73%

  1.74%

  1.76%

Expenses net of all reductions

  1.67%A

  1.68%

  1.70%

  1.72%

  1.73%

  1.75%

Net investment income (loss)

  .33%A

  .46%

  .51%

  .81%

  .79%

  1.00%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 220

$ 160

$ 105

$ 80

$ 69

$ 62

Portfolio turnover rateG

  104%A

  79%

  124%

  124%

  146%J

  116%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DTotal returns do not include the effect of the contingent deferred sales charge. ECalculated based on average shares outstanding during the period. FFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. GAmount does not include the portfolio activity of any underlying Fidelity Central Funds. HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ITotal distributions of $.16 per share is comprised of distributions from net investment income of $.145 and distributions from net realized gain of $.015 per share. JThe portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

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

Semiannual Report

Financial Highlights - Institutional Class

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 20.42

$ 18.11

$ 16.55

$ 15.06

$ 13.49

$ 12.79

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) D

  .13

  .29

  .27

  .29

  .28

  .28

Net realized and unrealized gain (loss)

  .76

  3.06

  1.55

  1.49

  1.57

  .72

Total from investment operations

  .89

  3.35

  1.82

  1.78

  1.85

  1.00

Distributions from net investment income

  (.12)

  (.28)

  (.26)

  (.29)

  (.27)

  (.28)

Distributions from net realized gain

  (1.21)

  (.77)

  -

  -

  (.01)

  (.02)

Total distributions

  (1.33)

  (1.04) I

  (.26)

  (.29)

  (.28)

  (.30) H

Net asset value, end of period

$ 19.98

$ 20.42

$ 18.11

$ 16.55

$ 15.06

$ 13.49

Total ReturnB, C

  4.84%

  19.21%

  11.08%

  11.96%

  13.69%

  7.81%

Ratios to Average Net Assets E, G

 

 

 

 

 

Expenses before reductions

  .65%A

  .66%

  .68%

  .70%

  .71%

  .73%

Expenses net of fee waivers, if any

  .65%A

  .66%

  .68%

  .70%

  .71%

  .73%

Expenses net of all reductions

  .65%A

  .66%

  .67%

  .70%

  .70%

  .72%

Net investment income (loss)

  1.35%A

  1.48%

  1.54%

  1.84%

  1.82%

  2.03%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 193

$ 124

$ 97

$ 66

$ 42

$ 34

Portfolio turnover rateF

  104%A

  79%

  124%

  124%

  146%J

  116%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. HTotal distributions of $.30 per share is comprised of distributions from net investment income of $.283 and distributions from net realized gain of $.015 per share. ITotal distributions of $1.04 per share is comprised of distributions from net investment income of $.275 and distributions from net realized gain of $.768 per share. JThe portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

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

Semiannual Report

Financial Highlights - Class Z

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013G

Selected Per-Share Data

 

 

Net asset value, beginning of period

$ 20.42

$ 18.11

$ 18.56

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .15

  .32

  .01

Net realized and unrealized gain (loss)

  .75

  3.06

  (.46)

Total from investment operations

  .90

  3.38

  (.45)

Distributions from net investment income

  (.13)

  (.31)

  -

Distributions from net realized gain

  (1.21)

  (.77)

  -

Total distributions

  (1.34)

  (1.07)I

  -

Net asset value, end of period

$ 19.98

$ 20.42

$ 18.11

Total ReturnB, C

  4.91%

  19.40%

  (2.42)%

Ratios to Average Net Assets E, H

 

 

Expenses before reductions

  .51%A

  .51%

  .53%A

Expenses net of fee waivers, if any

  .51%A

  .51%

  .53%A

Expenses net of all reductions

  .51%A

  .51%

  .52%A

Net investment income (loss)

  1.49%A

  1.62%

  .85%A

Supplemental Data

 

 

Net assets, end of period (000 omitted)

$ 33,049

$ 26,518

$ 98

Portfolio turnover rateF

  104%A

  79%

  124%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GFor the period August 13, 2013 (commencement of sale of shares) to August 31, 2013. HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ITotal distributions of $1.07 per share is comprised of distributions from net investment income of $.306 and distributions from net realized gain of $.768 per share.

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

Semiannual Report

Notes to Financial Statements

For the period ended February 28, 2015 (Unaudited)

(Amounts in thousands except percentages)

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund

Investment
Manager

Investment Objective

Investment Practices

Expense
Ratio*

Fidelity High Income Central Fund 2

FMR Co., Inc. (FMRC)

Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities.

Delayed Delivery & When Issued Securities

Loans & Direct Debt Instruments

Restricted Securities

 

Less than .01%

Semiannual Report

2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund

Investment
Manager

Investment Objective

Investment Practices

Expense
Ratio*

Fidelity Mortgage Backed Securities Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities.

Delayed Delivery & When Issued Securities

Repurchase Agreements

Swaps

Less than .01%

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

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

3. Significant Accounting Policies.

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

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Investment Valuation - continued

changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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

Level 1 - quoted prices in active markets for identical investments

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

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

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

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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied

Semiannual Report

3. Significant Accounting Policies - continued

Investment Valuation - continued

prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of February 28, 2015, is included at the end of the Fund's Schedule of Investments.

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

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

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

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

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Semiannual Report

3. Significant Accounting Policies - continued

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

Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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

Book-tax differences are primarily due to futures transactions, swaps, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales.

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

Gross unrealized appreciation

$ 323,374

Gross unrealized depreciation

(24,192)

Net unrealized appreciation (depreciation) on securities

$ 299,182

 

 

Tax cost

$ 1,627,247

Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Repurchase Agreements - continued

may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

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

New Accounting Pronouncement. In June 2014, the Financial Accounting Standards Board issued Accounting Standard Update No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (the Update). The Update amends the accounting for certain repurchase agreements and expands disclosure requirements for reverse repurchase agreements, securities lending and other similar transactions. The disclosure requirements are effective for annual and interim reporting periods beginning after December 15, 2014. Management is currently evaluating the impact of the Update on the Fund's financial statements and related disclosures.

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts and swaps. Derivatives are investments whose value is primarily

Semiannual Report

4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

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

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

Credit Risk

Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

Equity Risk

Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.

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

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

Primary Risk Exposure /
Derivative Type

Net Realized Gain (Loss)

Change in Net Unrealized
Appreciation (Depreciation)

Credit Risk

 

 

Swaps

$ -

$ -

Equity Risk

 

 

Futures Contracts

1,038

105

Totals (a)

$ 1,038

$ 105

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

Semiannual Report

4. Derivative Instruments - continued

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

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

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow

Semiannual Report

4. Derivative Instruments - continued

Credit Default Swaps - continued

assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $647,665 and $494,176, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .15% of the Fund's average net assets and an annualized group fee rate that averaged .25% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .40% of the Fund's average net assets.

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

 

Distribution
Fee

Service
Fee

Total Fees

Retained
by FDC

Class A

-%

.25%

$ 477

$ 20

Class T

.25%

.25%

2,450

32

Class B

.75%

.25%

50

38

Class C

.75%

.25%

910

248

 

 

 

$ 3,887

$ 338

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

6. Fees and Other Transactions with Affiliates - continued

Sales Load. FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

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

 

Retained
by FDC

Class A

$ 134

Class T

28

Class B*

4

Class C*

14

 

$ 180

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

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

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

 

Amount

% of
Class-Level Average
Net Assets*

Class A

$ 376

.20

Class T

890

.18

Class B

14

.27

Class C

187

.21

Institutional Class

143

.19

Class Z

7

.05

 

$ 1,617

 

* Annualized

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

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

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $7 for the period.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $1 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. The value of securities loaned to FCM at period end was $245. Security lending income represents the income earned on investing cash collateral, less rebates

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

8. Security Lending - continued

paid to borrowers, plus any premium payments received for lending certain types of securities. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $3. Net income from the Fidelity Securities Lending Cash Central Fund during the period, presented in the Statement of Operations as a component of income from Fidelity Central Funds, amounted to $69 (including $33 from securities loaned to FCM).

9. Expense Reductions.

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $23 for the period.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
February 28, 2015

Year ended
August 31, 2014

From net investment income

 

 

Class A

$ 1,664

$ 3,866

Class T

3,095

8,717

Class B

3

39

Class C

148

701

Institutional Class

866

1,632

Class Z

187

80

Total

$ 5,963

$ 15,035

From net realized gain

 

 

Class A

$ 22,655

$ 11,846

Class T

58,592

35,422

Class B

624

522

Class C

10,374

4,798

Institutional Class

8,438

4,283

Class Z

1,682

4

Total

$ 102,365

$ 56,875

Semiannual Report

11. Share Transactions.

Share transactions for each class were as follows:

 

Shares

Shares

Dollars

Dollars

Six months ended
February 28, 2015

Year ended
August 31, 2014

Six months ended
February 28, 2015

Year ended
August 31, 2014

Class A

 

 

 

 

Shares sold

4,555

5,619

$ 88,091

$ 106,689

Reinvestment of distributions

1,252

819

23,206

14,945

Shares redeemed

(2,902)

(3,372)

(56,059)

(64,162)

Net increase (decrease)

2,905

3,066

$ 55,238

$ 57,472

Class T

 

 

 

 

Shares sold

6,615

10,824

$ 128,989

$ 206,801

Reinvestment of distributions

3,210

2,330

60,075

42,769

Shares redeemed

(5,243)

(11,440)

(101,898)

(218,867)

Net increase (decrease)

4,582

1,714

$ 87,166

$ 30,703

Class B

 

 

 

 

Shares sold

61

48

$ 1,162

$ 932

Reinvestment of distributions

30

28

566

499

Shares redeemed

(124)

(249)

(2,393)

(4,713)

Net increase (decrease)

(33)

(173)

$ (665)

$ (3,282)

Class C

 

 

 

 

Shares sold

3,345

3,067

$ 64,009

$ 57,908

Reinvestment of distributions

523

280

9,654

5,062

Shares redeemed

(628)

(1,247)

(12,055)

(23,564)

Net increase (decrease)

3,240

2,100

$ 61,608

$ 39,406

Institutional Class

 

 

 

 

Shares sold

4,365

4,018

$ 85,811

$ 77,571

Reinvestment of distributions

454

308

8,561

5,707

Shares redeemed

(1,230)

(3,655)

(24,277)

(70,640)

Net increase (decrease)

3,589

671

$ 70,095

$ 12,638

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

11. Share Transactions - continued

 

Shares

Shares

Dollars

Dollars

Six months ended
February 28, 2015

Year ended
August 31, 2014

Six months ended
February 28, 2015

Year ended
August 31, 2014

Class Z

 

 

 

 

Shares sold

370

1,348

$ 7,271

$ 26,331

Reinvestment of distributions

99

4

1,869

84

Shares redeemed

(114)

(58)

(2,246)

(1,144)

Net increase (decrease)

355

1,294

$ 6,894

$ 25,271

12. Other.

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

Semiannual Report

Investment Adviser

Fidelity Management &
Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Investments
Money Management, Inc.

FMR Investment Management
(U.K.) Limited

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Limited

General Distributor

Fidelity Distributors Corporation

Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank

New York, NY

(Fidelity Investment logo)(registered trademark)

AIG-USAN-0415
1.786777.112

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

Balanced Fund -

Institutional Class

Semiannual Report

February 28, 2015

(Fidelity Cover Art)

Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

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

Investments

(Click Here)

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

Financial Statements

(Click Here)

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

Notes

(Click Here)

Notes to the financial statements.

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

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

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

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

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

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

NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2014 to February 28, 2015).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense RatioB

Beginning
Account Value
September 1, 2014

Ending
Account Value
February 28, 2015

Expenses Paid
During Period*
September 1, 2014
to February 28, 2015

Class A

.91%

 

 

 

Actual

 

$ 1,000.00

$ 1,047.10

$ 4.62

HypotheticalA

 

$ 1,000.00

$ 1,020.28

$ 4.56

Class T

1.15%

 

 

 

Actual

 

$ 1,000.00

$ 1,045.80

$ 5.83

HypotheticalA

 

$ 1,000.00

$ 1,019.09

$ 5.76

Class B

1.74%

 

 

 

Actual

 

$ 1,000.00

$ 1,043.00

$ 8.81

HypotheticalA

 

$ 1,000.00

$ 1,016.17

$ 8.70

Class C

1.67%

 

 

 

Actual

 

$ 1,000.00

$ 1,043.40

$ 8.46

HypotheticalA

 

$ 1,000.00

$ 1,016.51

$ 8.35

Institutional Class

.65%

 

 

 

Actual

 

$ 1,000.00

$ 1,048.40

$ 3.30

HypotheticalA

 

$ 1,000.00

$ 1,021.57

$ 3.26

Class Z

.51%

 

 

 

Actual

 

$ 1,000.00

$ 1,049.10

$ 2.59

HypotheticalA

 

$ 1,000.00

$ 1,022.27

$ 2.56

A 5% return per year before expenses

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

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

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

Semiannual Report

Investment Changes (Unaudited)

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

Top Five Stocks as of February 28, 2015

 

% of fund's
net assets

% of fund's net assets
6 months ago

Apple, Inc.

2.9

2.6

Google, Inc. Class C

1.3

1.3

Citigroup, Inc.

1.2

0.6

Bank of America Corp.

1.1

1.1

Chevron Corp.

1.0

1.5

 

7.5

Top Five Bond Issuers as of February 28, 2015

(with maturities greater than one year)

% of fund's
net assets

% of fund's net assets
6 months ago

U.S. Treasury Obligations

7.5

7.5

Fannie Mae

3.3

3.4

Freddie Mac

1.1

1.2

Ginnie Mae

1.1

1.1

Citigroup, Inc.

0.9

0.2

 

13.9

Top Five Market Sectors as of February 28, 2015

 

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

17.7

15.5

Information Technology

12.6

13.1

Health Care

10.8

10.4

Consumer Discretionary

10.6

10.1

Energy

7.8

8.7

Asset Allocation (% of fund's net assets)

As of February 28, 2015 *

As of August 31, 2014 **

bal1157912

Stocks and
Equity Futures 68.1%

 

bal1157914

Stocks and
Equity Futures 72.1%

 

bal1157916

Bonds 30.3%

 

bal1157918

Bonds 25.8%

 

bal1157920

Convertible
Securities 0.1%

 

bal1157922

Convertible
Securities 0.0%

 

bal1157924

Other Investments 0.4%

 

bal1157926

Other Investments 0.3%

 

bal1157928

Short-Term
Investments and
Net Other Assets
(Liabilities) 1.1%

 

bal1157930

Short-Term
Investments and
Net Other Assets
(Liabilities) 1.8%

 

* Foreign investments

11.1%

 

** Foreign investments

9.2%

 

bal1157932

Percentages are adjusted for the effect of futures contracts and swaps, if applicable.

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

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Semiannual Report

Investments February 28, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 66.5%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 9.3%

Automobiles - 0.1%

Harley-Davidson, Inc.

38,000

$ 2,416

Diversified Consumer Services - 0.4%

H&R Block, Inc.

197,181

6,734

Hotels, Restaurants & Leisure - 2.4%

ARAMARK Holdings Corp.

59,059

1,869

Extended Stay America, Inc. unit

417,355

8,055

McDonald's Corp.

128,275

12,686

Panera Bread Co. Class A (a)

48,560

7,839

Starbucks Corp.

131,300

12,275

Wynn Resorts Ltd.

24,500

3,491

 

46,215

Internet & Catalog Retail - 1.5%

Amazon.com, Inc. (a)

10,000

3,802

Ctrip.com International Ltd. sponsored ADR (a)

52,200

2,368

Liberty Interactive Corp. Series A (a)

363,297

10,728

Priceline Group, Inc. (a)

7,100

8,786

Travelport Worldwide Ltd.

159,600

2,544

 

28,228

Media - 2.6%

Comcast Corp. Class A

50,462

2,996

DIRECTV (a)

110,349

9,777

DreamWorks Animation SKG, Inc. Class A (a)

191,900

4,109

Legend Pictures LLC (a)(l)(m)

415

981

Liberty Media Corp. Class C (a)

207,300

8,002

Manchester United PLC (a)

113,900

1,821

The Madison Square Garden Co. Class A (a)

137,786

10,796

Twenty-First Century Fox, Inc. Class A

340,142

11,905

 

50,387

Multiline Retail - 0.9%

B&M European Value Retail S.A.

954,914

4,718

Dollar General Corp. (a)

151,535

11,004

Poundland Group PLC

128,786

767

 

16,489

Specialty Retail - 0.6%

Michaels Companies, Inc.

125,100

3,528

TJX Companies, Inc.

112,180

7,700

 

11,228

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - 0.8%

lululemon athletica, Inc. (a)

58,886

$ 4,030

NIKE, Inc. Class B

111,100

10,790

 

14,820

TOTAL CONSUMER DISCRETIONARY

176,517

CONSUMER STAPLES - 6.4%

Beverages - 1.2%

Anheuser-Busch InBev SA NV

15,429

1,957

Coca-Cola Icecek Sanayi A/S

19,269

374

Diageo PLC sponsored ADR

12,869

1,529

Embotelladora Andina SA sponsored ADR

22,411

373

Monster Beverage Corp. (a)

21,800

3,076

Pernod Ricard SA

11,696

1,387

Remy Cointreau SA (e)

12,213

897

The Coca-Cola Co.

317,299

13,739

 

23,332

Food & Staples Retailing - 1.7%

CVS Health Corp.

126,027

13,090

Kroger Co.

114,718

8,162

Sysco Corp.

88,173

3,438

Wal-Mart Stores, Inc.

48,649

4,083

Whole Foods Market, Inc.

49,400

2,791

 

31,564

Food Products - 0.8%

Bunge Ltd.

31,038

2,538

Keurig Green Mountain, Inc.

22,140

2,825

Mead Johnson Nutrition Co. Class A

61,989

6,494

Nestle SA

16,260

1,271

The Hershey Co.

27,500

2,854

 

15,982

Household Products - 1.0%

Colgate-Palmolive Co.

32,800

2,323

Procter & Gamble Co.

195,528

16,645

 

18,968

Personal Products - 0.2%

Estee Lauder Companies, Inc. Class A

31,000

2,563

L'Oreal SA

4,800

872

 

3,435

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Tobacco - 1.5%

Altria Group, Inc.

252,903

$ 14,236

British American Tobacco PLC sponsored ADR

119,699

13,941

Souza Cruz SA

47,950

428

 

28,605

TOTAL CONSUMER STAPLES

121,886

ENERGY - 5.4%

Energy Equipment & Services - 0.7%

Baker Hughes, Inc.

17,700

1,106

C&J Energy Services, Inc. (a)

84,710

1,155

Dril-Quip, Inc. (a)

16,139

1,173

FMC Technologies, Inc. (a)

41,316

1,650

Halliburton Co.

131,707

5,655

Independence Contract Drilling, Inc.

76,237

435

Oceaneering International, Inc.

35,229

1,921

 

13,095

Oil, Gas & Consumable Fuels - 4.7%

Anadarko Petroleum Corp.

107,173

9,027

Apache Corp.

41,200

2,713

BG Group PLC

126,300

1,859

Cabot Oil & Gas Corp.

97,315

2,822

Chevron Corp.

182,976

19,520

Cimarex Energy Co.

39,300

4,310

Columbia Pipeline Partners LP

33,100

917

EOG Resources, Inc.

61,510

5,519

EP Energy Corp. (a)(e)

112,267

1,263

Exxon Mobil Corp.

135,091

11,961

Kinder Morgan, Inc.

189,456

7,770

Memorial Resource Development Corp.

86,800

1,780

Noble Energy, Inc.

132,845

6,274

Parsley Energy, Inc. Class A (e)

65,300

972

Phillips 66 Co.

81,174

6,369

PrairieSky Royalty Ltd. (e)

46,700

1,181

Suncor Energy, Inc. (e)

154,755

4,646

Valero Energy Partners LP

24,296

1,295

 

90,198

TOTAL ENERGY

103,293

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - 10.5%

Banks - 4.6%

Bank of America Corp.

1,365,491

$ 21,588

Citigroup, Inc.

446,130

23,386

Huntington Bancshares, Inc.

483,993

5,295

JPMorgan Chase & Co.

314,932

19,299

SunTrust Banks, Inc.

72,954

2,991

Synovus Financial Corp.

52,043

1,457

U.S. Bancorp

283,833

12,662

 

86,678

Capital Markets - 1.6%

Ameriprise Financial, Inc.

20,589

2,751

BlackRock, Inc. Class A

16,690

6,199

Carlyle Group LP

17,200

445

E*TRADE Financial Corp. (a)

79,721

2,076

Goldman Sachs Group, Inc.

51,300

9,736

Invesco Ltd.

39,247

1,580

Northern Trust Corp.

43,405

3,031

Oaktree Capital Group LLC Class A

16,791

903

State Street Corp.

19,400

1,444

The Blackstone Group LP

43,855

1,643

 

29,808

Consumer Finance - 1.5%

Capital One Financial Corp.

239,934

18,885

Navient Corp.

192,907

4,128

SLM Corp.

435,586

4,125

Springleaf Holdings, Inc. (a)

48,000

1,846

 

28,984

Diversified Financial Services - 0.6%

Berkshire Hathaway, Inc.:

Class A (a)

10

2,212

Class B (a)

35,700

5,263

IntercontinentalExchange Group, Inc.

13,176

3,101

KBC Ancora (a)

20,348

696

 

11,272

Insurance - 1.0%

Direct Line Insurance Group PLC

386,712

1,955

Fairfax Financial Holdings Ltd. (sub. vtg.)

4,500

2,361

Marsh & McLennan Companies, Inc.

68,953

3,923

MetLife, Inc.

73,867

3,755

Principal Financial Group, Inc.

39,200

2,006

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Insurance - continued

The Chubb Corp.

47,000

$ 4,721

Unum Group

37,300

1,252

WMI Holdings Corp. (a)

4,454

11

 

19,984

Real Estate Investment Trusts - 1.0%

Altisource Residential Corp. Class B

250,010

5,163

American Tower Corp.

15,700

1,556

Boston Properties, Inc.

26,800

3,683

Digital Realty Trust, Inc.

51,800

3,438

Duke Realty LP

48,200

1,030

InfraReit, Inc.

18,400

499

Outfront Media, Inc.

25,812

773

Sun Communities, Inc.

37,142

2,510

 

18,652

Real Estate Management & Development - 0.2%

CBRE Group, Inc. (a)

121,548

4,164

Thrifts & Mortgage Finance - 0.0%

Ocwen Financial Corp. (a)

43,800

357

Washington Mutual, Inc. (a)

130,000

0

 

357

TOTAL FINANCIALS

199,899

HEALTH CARE - 10.1%

Biotechnology - 3.2%

Actelion Ltd.

6,168

738

Alexion Pharmaceuticals, Inc. (a)

40,964

7,389

Amgen, Inc.

71,105

11,215

Biogen Idec, Inc. (a)

26,775

10,967

BioMarin Pharmaceutical, Inc. (a)

29,309

3,138

Celgene Corp. (a)

86,700

10,537

Gilead Sciences, Inc. (a)

136,385

14,120

Vertex Pharmaceuticals, Inc. (a)

28,900

3,452

 

61,556

Health Care Equipment & Supplies - 1.8%

Boston Scientific Corp. (a)

507,549

8,578

Edwards Lifesciences Corp. (a)

17,914

2,383

Medtronic PLC

191,899

14,889

Quidel Corp. (a)

27,800

714

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

The Cooper Companies, Inc.

22,628

$ 3,710

Zimmer Holdings, Inc.

28,200

3,395

 

33,669

Health Care Providers & Services - 1.8%

Brookdale Senior Living, Inc. (a)

75,164

2,819

Cigna Corp.

66,382

8,074

HCA Holdings, Inc. (a)

59,907

4,286

Henry Schein, Inc. (a)

21,744

3,045

McKesson Corp.

49,982

11,431

UnitedHealth Group, Inc.

44,800

5,091

 

34,746

Life Sciences Tools & Services - 0.6%

Agilent Technologies, Inc.

80,800

3,411

Thermo Fisher Scientific, Inc.

56,290

7,318

 

10,729

Pharmaceuticals - 2.7%

AbbVie, Inc.

35,711

2,161

Actavis PLC (a)

52,619

15,331

Allergan, Inc.

5,800

1,350

Bristol-Myers Squibb Co.

181,094

11,032

Mallinckrodt PLC (a)

49,000

5,719

Merck & Co., Inc.

53,244

3,117

Roche Holding AG (participation certificate)

8,911

2,428

Shire PLC

52,438

4,230

Teva Pharmaceutical Industries Ltd. sponsored ADR

85,600

4,881

 

50,249

TOTAL HEALTH CARE

190,949

INDUSTRIALS - 6.3%

Aerospace & Defense - 0.8%

Meggitt PLC

721,499

6,071

TransDigm Group, Inc.

44,168

9,578

 

15,649

Air Freight & Logistics - 0.4%

FedEx Corp.

41,481

7,341

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Electrical Equipment - 1.1%

AMETEK, Inc.

292,986

$ 15,569

Hubbell, Inc. Class B

42,150

4,797

 

20,366

Industrial Conglomerates - 1.7%

Danaher Corp.

205,692

17,953

Roper Industries, Inc.

86,280

14,458

 

32,411

Machinery - 0.9%

Deere & Co.

83,900

7,601

Pall Corp.

43,891

4,425

WABCO Holdings, Inc. (a)

41,200

4,813

 

16,839

Professional Services - 0.3%

Verisk Analytics, Inc. (a)

71,228

5,115

Road & Rail - 0.8%

CSX Corp.

111,579

3,828

J.B. Hunt Transport Services, Inc.

138,103

11,808

 

15,636

Trading Companies & Distributors - 0.3%

HD Supply Holdings, Inc. (a)

232,300

6,854

TOTAL INDUSTRIALS

120,211

INFORMATION TECHNOLOGY - 12.6%

Communications Equipment - 1.3%

Cisco Systems, Inc.

331,509

9,783

QUALCOMM, Inc.

218,479

15,842

 

25,625

Electronic Equipment & Components - 0.4%

Samsung SDI Co. Ltd.

5,587

693

TE Connectivity Ltd.

75,530

5,448

Trimble Navigation Ltd. (a)

54,000

1,412

 

7,553

Internet Software & Services - 3.2%

58.com, Inc. ADR (a)

24,773

1,033

Alibaba Group Holding Ltd. sponsored ADR

102,400

8,716

ChannelAdvisor Corp. (a)

59,255

586

Cvent, Inc. (a)

110,622

3,203

Demandware, Inc. (a)

19,750

1,248

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Facebook, Inc. Class A (a)

181,613

$ 14,342

Five9, Inc.

82,100

320

Google, Inc. Class C (a)

44,180

24,670

HomeAway, Inc. (a)

70,500

2,185

Opower, Inc. (e)

144,881

2,176

Twitter, Inc. (a)

10,600

510

Wix.com Ltd. (a)

23,533

431

Zoopla Property Group PLC (e)

232,735

661

 

60,081

IT Services - 0.4%

Fidelity National Information Services, Inc.

11,600

784

Lionbridge Technologies, Inc. (a)

47,939

270

Sabre Corp.

154,694

3,366

Total System Services, Inc.

68,900

2,632

 

7,052

Semiconductors & Semiconductor Equipment - 1.8%

Broadcom Corp. Class A

27,800

1,257

Marvell Technology Group Ltd.

764,100

12,317

Micron Technology, Inc. (a)

41,287

1,266

NVIDIA Corp.

121,900

2,689

NXP Semiconductors NV (a)

62,376

5,295

Qorvo, Inc. (a)

167,620

11,633

STMicroelectronics NV (NY Shares) unit

85,400

759

 

35,216

Software - 1.9%

Activision Blizzard, Inc.

29,900

697

Adobe Systems, Inc. (a)

75,854

6,000

Autodesk, Inc. (a)

42,400

2,724

Citrix Systems, Inc. (a)

8,200

522

CommVault Systems, Inc. (a)

8,034

388

Fleetmatics Group PLC (a)

25,800

1,063

Imperva, Inc. (a)

81,800

3,771

Intuit, Inc.

66,200

6,463

Oracle Corp.

68,796

3,015

salesforce.com, Inc. (a)

114,299

7,930

Xero Ltd. (a)(e)

102,706

1,919

Yodlee, inc. (e)

39,400

508

Zendesk, Inc.

50,600

1,251

 

36,251

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Technology Hardware, Storage & Peripherals - 3.6%

Apple, Inc.

425,652

$ 54,676

Electronics for Imaging, Inc. (a)

44,909

1,823

Hewlett-Packard Co.

208,100

7,250

Samsung Electronics Co. Ltd.

1,793

2,210

Western Digital Corp.

18,800

2,011

 

67,970

TOTAL INFORMATION TECHNOLOGY

239,748

MATERIALS - 2.9%

Chemicals - 2.4%

Airgas, Inc.

88,617

10,388

Cabot Corp.

8,928

403

CF Industries Holdings, Inc.

7,100

2,174

E.I. du Pont de Nemours & Co.

79,800

6,212

Eastman Chemical Co.

42,974

3,200

Ecolab, Inc.

77,100

8,908

FMC Corp.

48,895

3,100

LyondellBasell Industries NV Class A

32,543

2,796

Methanex Corp.

23,900

1,300

Monsanto Co.

40,778

4,911

W.R. Grace & Co. (a)

22,781

2,259

 

45,651

Construction Materials - 0.1%

Eagle Materials, Inc.

21,000

1,649

Containers & Packaging - 0.2%

Graphic Packaging Holding Co.

90,090

1,359

Rock-Tenn Co. Class A

43,248

2,969

 

4,328

Metals & Mining - 0.2%

Nucor Corp.

52,100

2,450

TOTAL MATERIALS

54,078

TELECOMMUNICATION SERVICES - 1.2%

Diversified Telecommunication Services - 1.0%

Cogent Communications Group, Inc.

22,700

834

inContact, Inc. (a)

76,417

895

Common Stocks - continued

Shares

Value (000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Level 3 Communications, Inc. (a)

36,052

$ 1,942

Verizon Communications, Inc.

328,798

16,259

 

19,930

Wireless Telecommunication Services - 0.2%

T-Mobile U.S., Inc. (a)

73,550

2,429

Telephone & Data Systems, Inc.

19,437

494

 

2,923

TOTAL TELECOMMUNICATION SERVICES

22,853

UTILITIES - 1.8%

Electric Utilities - 0.8%

Edison International

33,767

2,170

Exelon Corp.

112,200

3,806

NextEra Energy, Inc.

60,300

6,239

PPL Corp.

108,000

3,683

 

15,898

Gas Utilities - 0.1%

National Fuel Gas Co.

20,936

1,348

Independent Power and Renewable Electricity Producers - 0.1%

Calpine Corp. (a)

17,000

360

NRG Energy, Inc.

78,330

1,878

 

2,238

Multi-Utilities - 0.8%

Dominion Resources, Inc.

68,649

4,949

NiSource, Inc.

69,397

2,978

PG&E Corp.

44,975

2,417

Sempra Energy

43,909

4,751

 

15,095

TOTAL UTILITIES

34,579

TOTAL COMMON STOCKS

(Cost $984,234)


1,264,013

Preferred Stocks - 0.1%

Shares

Value (000s)

Convertible Preferred Stocks - 0.1%

ENERGY - 0.1%

Oil, Gas & Consumable Fuels - 0.1%

Southwestern Energy Co. Series B 6.25% (a)

30,000

$ 1,635

INFORMATION TECHNOLOGY - 0.0%

Software - 0.0%

MongoDB, Inc. Series F, 8.00% (a)(m)

16,802

151

TOTAL CONVERTIBLE PREFERRED STOCKS

1,786

Nonconvertible Preferred Stocks - 0.0%

CONSUMER STAPLES - 0.0%

Beverages - 0.0%

Ambev SA sponsored ADR

95,450

616

TOTAL PREFERRED STOCKS

(Cost $2,289)


2,402

Nonconvertible Bonds - 12.5%

 

Principal
Amount (000s)

 

CONSUMER DISCRETIONARY - 0.9%

Automobiles - 0.3%

Daimler Finance North America LLC:

1.45% 8/1/16 (f)

$ 231

233

2.875% 3/10/21 (f)

900

928

General Motors Co.:

3.5% 10/2/18

350

361

6.25% 10/2/43

58

72

General Motors Financial Co., Inc.:

2.625% 7/10/17

110

111

3% 9/25/17

252

258

3.15% 1/15/20

741

749

3.25% 5/15/18

180

184

3.5% 7/10/19

400

411

4% 1/15/25

494

507

4.25% 5/15/23

200

210

4.375% 9/25/21

1,659

1,763

4.75% 8/15/17

195

207

 

5,994

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Diversified Consumer Services - 0.0%

Ingersoll-Rand Global Holding Co. Ltd.:

2.875% 1/15/19

$ 35

$ 36

4.25% 6/15/23

249

268

 

304

Media - 0.6%

AOL Time Warner, Inc. 7.625% 4/15/31

500

705

Comcast Corp.:

3.6% 3/1/24

1,000

1,074

4.75% 3/1/44

500

577

4.95% 6/15/16

15

16

6.45% 3/15/37

238

325

COX Communications, Inc. 3.25% 12/15/22 (f)

136

137

DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19

440

504

Discovery Communications LLC:

3.25% 4/1/23

51

51

6.35% 6/1/40

236

288

NBCUniversal, Inc.:

5.15% 4/30/20

431

496

6.4% 4/30/40

309

425

News America Holdings, Inc. 7.75% 12/1/45

621

950

News America, Inc.:

6.15% 3/1/37

235

303

6.15% 2/15/41

186

242

Thomson Reuters Corp.:

1.3% 2/23/17

122

122

3.85% 9/29/24

319

329

Time Warner Cable, Inc.:

4% 9/1/21

630

668

5.85% 5/1/17

104

113

6.55% 5/1/37

320

386

6.75% 7/1/18

439

504

8.25% 4/1/19

700

855

Time Warner, Inc.:

5.875% 11/15/16

12

13

6.5% 11/15/36

232

302

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Viacom, Inc.:

2.5% 9/1/18

$ 46

$ 47

3.5% 4/1/17

583

607

 

10,039

TOTAL CONSUMER DISCRETIONARY

16,337

CONSUMER STAPLES - 0.3%

Beverages - 0.0%

Heineken NV:

1.4% 10/1/17 (f)

182

182

2.75% 4/1/23 (f)

191

188

SABMiller Holdings, Inc. 3.75% 1/15/22 (f)

285

298

 

668

Food & Staples Retailing - 0.1%

CVS Health Corp. 2.25% 12/5/18

282

288

Walgreens Boots Alliance, Inc.:

1.75% 11/17/17

109

110

2.7% 11/18/19

245

249

3.3% 11/18/21

291

299

3.8% 11/18/24

222

231

 

1,177

Food Products - 0.0%

ConAgra Foods, Inc.:

1.9% 1/25/18

131

131

3.2% 1/25/23

110

108

 

239

Tobacco - 0.2%

Altria Group, Inc.:

2.85% 8/9/22

262

262

4% 1/31/24

212

227

4.25% 8/9/42

262

264

4.75% 5/5/21

300

334

5.375% 1/31/44

364

431

9.7% 11/10/18

769

989

Reynolds American, Inc.:

3.25% 11/1/22

187

187

4.75% 11/1/42

289

293

6.15% 9/15/43

143

173

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Tobacco - continued

Reynolds American, Inc.: - continued

6.75% 6/15/17

$ 23

$ 26

7.25% 6/15/37

409

537

 

3,723

TOTAL CONSUMER STAPLES

5,807

ENERGY - 2.1%

Energy Equipment & Services - 0.1%

DCP Midstream LLC:

4.75% 9/30/21 (f)

364

344

5.35% 3/15/20 (f)

1,027

1,012

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

371

379

5% 10/1/21

146

158

6.5% 4/1/20

24

28

Transocean, Inc. 5.05% 12/15/16

238

238

 

2,159

Oil, Gas & Consumable Fuels - 2.0%

Anadarko Petroleum Corp. 6.375% 9/15/17

673

753

BP Capital Markets PLC:

1.674% 2/13/18

1,284

1,287

2.315% 2/13/20

1,873

1,880

3.535% 11/4/24

1,443

1,482

3.814% 2/10/24

359

376

4.5% 10/1/20

173

191

4.742% 3/11/21

300

334

Canadian Natural Resources Ltd.:

1.75% 1/15/18

178

176

3.8% 4/15/24

619

627

Cenovus Energy, Inc. 5.7% 10/15/19

122

136

DCP Midstream Operating LP:

2.5% 12/1/17

168

163

2.7% 4/1/19

181

171

3.875% 3/15/23

164

149

Duke Energy Field Services:

5.375% 10/15/15 (f)

10

10

6.45% 11/3/36 (f)

375

347

El Paso Natural Gas Co. 5.95% 4/15/17

7

7

Empresa Nacional de Petroleo 4.375% 10/30/24 (f)

350

362

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Enable Midstream Partners LP:

2.4% 5/15/19 (f)

$ 114

$ 111

3.9% 5/15/24 (f)

121

119

Enbridge Energy Partners LP 4.2% 9/15/21

438

457

EnLink Midstream Partners LP 2.7% 4/1/19

572

570

Enterprise Products Operating LP:

2.55% 10/15/19

85

86

3.75% 2/15/25

285

296

Gulfstream Natural Gas System LLC 6.95% 6/1/16 (f)

7

7

Marathon Petroleum Corp. 5.125% 3/1/21

215

242

Motiva Enterprises LLC 5.75% 1/15/20 (f)

156

171

MPLX LP 4% 2/15/25

77

78

Nakilat, Inc. 6.067% 12/31/33 (f)

279

325

Nexen, Inc. 5.2% 3/10/15

7

7

Petro-Canada 6.05% 5/15/18

150

169

Petrobras Global Finance BV:

1.8806% 5/20/16 (i)

425

404

3% 1/15/19

40

35

3.25% 3/17/17

1,490

1,388

4.375% 5/20/23

596

491

4.875% 3/17/20

2,084

1,850

5.625% 5/20/43

569

454

7.25% 3/17/44

2,755

2,490

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

354

348

5.375% 1/27/21

3,302

2,971

5.75% 1/20/20

611

564

5.875% 3/1/18

228

219

6.125% 10/6/16

100

100

7.875% 3/15/19

399

404

Petroleos Mexicanos:

3.125% 1/23/19

58

59

3.5% 7/18/18

463

478

3.5% 7/23/20 (f)

2,675

2,723

3.5% 1/30/23

285

279

4.5% 1/23/26 (f)

1,314

1,337

4.875% 1/24/22

237

252

4.875% 1/18/24

410

436

5.5% 1/21/21

369

405

5.5% 6/27/44

648

658

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petroleos Mexicanos: - continued

5.625% 1/23/46 (f)

$ 249

$ 255

6% 3/5/20

175

198

6.375% 1/23/45

2,366

2,647

6.5% 6/2/41

661

745

8% 5/3/19

241

289

Phillips 66 Co. 4.3% 4/1/22

338

369

Phillips 66 Partners LP 2.646% 2/15/20

42

42

Plains All American Pipeline LP/PAA Finance Corp.:

3.65% 6/1/22

173

179

6.125% 1/15/17

205

222

Southwestern Energy Co.:

3.3% 1/23/18

200

203

4.05% 1/23/20

363

372

Spectra Energy Capital, LLC 5.65% 3/1/20

10

11

Spectra Energy Partners, LP:

2.95% 6/15/16

69

71

2.95% 9/25/18

63

65

4.6% 6/15/21

90

99

Suncor Energy, Inc. 6.1% 6/1/18

395

447

The Williams Companies, Inc.:

3.7% 1/15/23

116

108

4.55% 6/24/24

1,308

1,278

Western Gas Partners LP 5.375% 6/1/21

441

492

Williams Partners LP 4.3% 3/4/24

278

286

 

37,812

TOTAL ENERGY

39,971

FINANCIALS - 7.0%

Banks - 3.2%

Banco Nacional de Desenvolvimento Economico e Social:

4% 4/14/19 (f)

600

599

5.5% 7/12/20 (f)

3,200

3,316

5.75% 9/26/23 (f)

332

338

6.5% 6/10/19 (f)

129

138

Bank of America Corp.:

2.6% 1/15/19

648

658

2.65% 4/1/19

183

186

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Banks - continued

Bank of America Corp.: - continued

3.3% 1/11/23

$ 947

$ 960

3.875% 3/22/17

1,060

1,112

4.1% 7/24/23

352

378

4.2% 8/26/24

474

491

4.25% 10/22/26

418

428

5.65% 5/1/18

205

228

5.75% 12/1/17

2,655

2,936

5.875% 1/5/21

170

199

6.5% 8/1/16

300

322

Bank of America NA 5.3% 3/15/17

420

451

Bank of Tokyo-Mitsubishi UFJ Ltd.:

1.7% 3/5/18 (f)

1,362

1,361

2.3% 3/5/20 (f)

1,360

1,357

Barclays Bank PLC 2.5% 2/20/19

200

204

Barclays PLC 2.75% 11/8/19

356

360

Capital One NA:

1.65% 2/5/18

2,362

2,358

2.95% 7/23/21

541

548

Citigroup, Inc.:

1.3% 11/15/16

568

567

1.8% 2/5/18

10,500

10,475

1.85% 11/24/17

2,353

2,357

2.5% 7/29/19

1,199

1,213

3.953% 6/15/16

397

411

4.05% 7/30/22

151

157

4.75% 5/19/15

544

549

5.3% 5/6/44

751

840

5.5% 9/13/25

142

161

6.125% 5/15/18

212

239

Citizens Financial Group, Inc. 4.15% 9/28/22 (f)

216

225

Credit Suisse AG 6% 2/15/18

1,164

1,293

Discover Bank 4.2% 8/8/23

259

277

Fifth Third Bancorp 8.25% 3/1/38

94

142

HBOS PLC 6.75% 5/21/18 (f)

180

202

HSBC Holdings PLC 4.25% 3/14/24

200

211

HSBC U.S.A., Inc. 1.625% 1/16/18

314

314

Huntington Bancshares, Inc. 7% 12/15/20

97

117

Huntington National Bank:

1.7% 2/26/18

3,052

3,051

2.4% 4/1/20

4,000

4,010

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Banks - continued

JPMorgan Chase & Co.:

1.625% 5/15/18

$ 720

$ 717

2% 8/15/17

300

304

2.2% 10/22/19

201

201

2.35% 1/28/19

190

193

3.15% 7/5/16

430

442

3.25% 9/23/22

503

514

3.875% 9/10/24

1,003

1,023

4.125% 12/15/26

1,465

1,504

4.25% 10/15/20

182

199

4.35% 8/15/21

601

657

4.5% 1/24/22

134

148

4.625% 5/10/21

179

199

4.95% 3/25/20

804

901

JPMorgan Chase Bank 6% 10/1/17

250

277

KeyBank NA 5.45% 3/3/16

294

307

Marshall & Ilsley Bank 5% 1/17/17

259

274

MUFG Americas Holdings Corp.:

1.625% 2/9/18

151

151

2.25% 2/10/20

509

508

Regions Bank:

6.45% 6/26/37

652

815

7.5% 5/15/18

1,282

1,483

Regions Financial Corp.:

2% 5/15/18

382

380

5.75% 6/15/15

73

74

Royal Bank of Scotland Group PLC:

5.125% 5/28/24

1,416

1,500

6% 12/19/23

490

549

6.1% 6/10/23

470

527

6.125% 12/15/22

694

783

Wells Fargo & Co.:

1.25% 7/20/16

1,200

1,207

3.676% 6/15/16

160

166

4.48% 1/16/24

30

33

 

61,775

Capital Markets - 1.7%

Affiliated Managers Group, Inc.:

3.5% 8/1/25

580

577

4.25% 2/15/24

399

422

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Deutsche Bank AG London Branch 1.875% 2/13/18

$ 2,780

$ 2,783

Goldman Sachs Group, Inc.:

1.748% 9/15/17

2,964

2,955

2.55% 10/23/19

3,392

3,417

2.625% 1/31/19

1,538

1,564

2.9% 7/19/18

526

541

5.25% 7/27/21

96

109

5.625% 1/15/17

500

537

5.95% 1/18/18

32

36

6% 6/15/20

600

699

6.15% 4/1/18

36

40

6.75% 10/1/37

2,000

2,590

JPMorgan Chase & Co. 1.7% 3/1/18

3,810

3,808

Lazard Group LLC:

4.25% 11/14/20

324

345

6.85% 6/15/17

100

111

Morgan Stanley:

1.875% 1/5/18

454

456

2.125% 4/25/18

2,454

2,472

2.375% 7/23/19

1,201

1,208

2.65% 1/27/20

1,715

1,729

3.75% 2/25/23

438

458

4.3% 1/27/45

447

459

4.35% 9/8/26

2,000

2,085

4.875% 11/1/22

687

746

5% 11/24/25

93

102

5.45% 1/9/17

480

515

5.75% 1/25/21

268

312

6.625% 4/1/18

600

682

 

31,758

Consumer Finance - 0.4%

Discover Financial Services:

3.85% 11/21/22

462

475

3.95% 11/6/24

283

289

5.2% 4/27/22

42

46

6.45% 6/12/17

1,019

1,119

Ford Motor Credit Co. LLC:

1.5% 1/17/17

239

239

1.7% 5/9/16

561

564

2.875% 10/1/18

400

412

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Consumer Finance - continued

General Electric Capital Corp.:

3.5% 6/29/15

$ 192

$ 194

4.625% 1/7/21

378

426

4.65% 10/17/21

154

175

6% 8/7/19

1,000

1,173

Hyundai Capital America:

1.45% 2/6/17 (f)

476

475

1.625% 10/2/15 (f)

122

123

1.875% 8/9/16 (f)

92

93

2.125% 10/2/17 (f)

134

135

2.875% 8/9/18 (f)

163

167

Synchrony Financial:

1.875% 8/15/17

95

95

3% 8/15/19

140

142

3.75% 8/15/21

211

219

4.25% 8/15/24

213

223

 

6,784

Insurance - 0.7%

AIA Group Ltd. 2.25% 3/11/19 (f)

200

200

American International Group, Inc.:

2.3% 7/16/19

1,563

1,582

4.875% 6/1/22

107

122

5.6% 10/18/16

318

341

Aon Corp.:

3.125% 5/27/16

376

385

3.5% 9/30/15

151

153

5% 9/30/20

133

150

Five Corners Funding Trust 4.419% 11/15/23 (f)

360

387

Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(i)

12

12

Hartford Financial Services Group, Inc.:

5.125% 4/15/22

408

469

5.375% 3/15/17

6

6

Liberty Mutual Group, Inc. 5% 6/1/21 (f)

421

467

Marsh & McLennan Companies, Inc. 4.8% 7/15/21

233

262

Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (f)

107

130

MetLife, Inc.:

1.903% 12/15/17

84

85

4.368% 9/15/23

305

339

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

MetLife, Inc.: - continued

4.75% 2/8/21

$ 137

$ 155

6.75% 6/1/16

290

311

Metropolitan Life Global Funding I 3% 1/10/23 (f)

223

226

Pacific Life Insurance Co. 9.25% 6/15/39 (f)

203

327

Pacific LifeCorp:

5.125% 1/30/43 (f)

441

500

6% 2/10/20 (f)

409

463

Prudential Financial, Inc.:

2.3% 8/15/18

51

52

4.5% 11/16/21

200

221

4.75% 9/17/15

500

511

6.2% 11/15/40

134

172

7.375% 6/15/19

2,734

3,301

Symetra Financial Corp. 6.125% 4/1/16 (f)

38

40

Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (f)

505

580

TIAA Asset Management Finance LLC:

2.95% 11/1/19 (f)

120

122

4.125% 11/1/24 (f)

174

184

Unum Group:

4% 3/15/24

600

625

5.625% 9/15/20

270

306

5.75% 8/15/42

458

553

7.125% 9/30/16

19

21

 

13,760

Real Estate Investment Trusts - 0.4%

Alexandria Real Estate Equities, Inc.:

2.75% 1/15/20

84

84

4.6% 4/1/22

108

114

American Campus Communities Operating Partnership LP 3.75% 4/15/23

101

102

AvalonBay Communities, Inc.:

3.625% 10/1/20

160

168

4.2% 12/15/23

360

385

Boston Properties, Inc. 3.85% 2/1/23

432

455

Camden Property Trust:

2.95% 12/15/22

135

133

4.25% 1/15/24

304

323

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

DDR Corp.:

3.625% 2/1/25

$ 242

$ 242

4.625% 7/15/22

247

265

4.75% 4/15/18

313

336

7.5% 4/1/17

203

226

9.625% 3/15/16

106

115

Duke Realty LP:

3.625% 4/15/23

180

183

3.75% 12/1/24

160

164

3.875% 10/15/22

310

323

4.375% 6/15/22

207

222

5.95% 2/15/17

1,561

1,690

6.5% 1/15/18

285

320

6.75% 3/15/20

12

14

8.25% 8/15/19

127

157

Equity One, Inc.:

3.75% 11/15/22

400

404

5.375% 10/15/15

47

48

Federal Realty Investment Trust 5.9% 4/1/20

95

110

HCP, Inc. 3.75% 2/1/16

201

206

Health Care REIT, Inc.:

2.25% 3/15/18

147

148

4.7% 9/15/17

48

52

HRPT Properties Trust 5.75% 11/1/15

50

50

Lexington Corporate Properties Trust 4.4% 6/15/24

131

136

Omega Healthcare Investors, Inc.:

4.5% 1/15/25 (f)

130

133

4.95% 4/1/24

123

131

Retail Opportunity Investments Partnership LP:

4% 12/15/24

99

101

5% 12/15/23

67

73

Simon Property Group LP 4.125% 12/1/21

229

251

Weingarten Realty Investors 3.375% 10/15/22

68

68

WP Carey, Inc. 4% 2/1/25

549

545

 

8,477

Real Estate Management & Development - 0.6%

BioMed Realty LP:

2.625% 5/1/19

217

218

3.85% 4/15/16

552

568

4.25% 7/15/22

163

172

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

BioMed Realty LP: - continued

6.125% 4/15/20

$ 126

$ 145

Brandywine Operating Partnership LP:

3.95% 2/15/23

359

364

4.1% 10/1/24

401

409

4.55% 10/1/29

401

416

4.95% 4/15/18

281

302

5.7% 5/1/17

1,000

1,082

6% 4/1/16

86

90

Digital Realty Trust LP:

4.5% 7/15/15

172

173

5.25% 3/15/21

201

222

ERP Operating LP:

2.375% 7/1/19

246

248

4.625% 12/15/21

540

600

4.75% 7/15/20

265

294

5.375% 8/1/16

117

124

5.75% 6/15/17

567

622

Essex Portfolio LP 5.5% 3/15/17

113

122

Liberty Property LP:

3.375% 6/15/23

185

184

4.125% 6/15/22

177

185

4.4% 2/15/24

418

446

4.75% 10/1/20

394

428

5.125% 3/2/15

7

7

5.5% 12/15/16

12

13

6.625% 10/1/17

281

314

Mack-Cali Realty LP:

2.5% 12/15/17

252

253

3.15% 5/15/23

426

388

4.5% 4/18/22

108

109

7.75% 8/15/19

23

27

Mid-America Apartments LP 4.3% 10/15/23

73

78

Post Apartment Homes LP 3.375% 12/1/22

70

70

Prime Property Funding, Inc. 5.7% 4/15/17 (f)

94

100

Reckson Operating Partnership LP 6% 3/31/16

114

119

Regency Centers LP 5.25% 8/1/15

124

126

Tanger Properties LP:

3.75% 12/1/24

300

308

3.875% 12/1/23

160

166

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

Tanger Properties LP: - continued

6.125% 6/1/20

$ 478

$ 554

Ventas Realty LP:

1.55% 9/26/16

250

252

3.5% 2/1/25

143

144

4.375% 2/1/45

85

86

Ventas Realty LP/Ventas Capital Corp.:

2% 2/15/18

227

229

4% 4/30/19

114

122

 

10,879

TOTAL FINANCIALS

133,433

HEALTH CARE - 0.5%

Biotechnology - 0.1%

Amgen, Inc.:

1.25% 5/22/17

378

378

2.2% 5/22/19

969

975

 

1,353

Health Care Equipment & Supplies - 0.0%

Becton, Dickinson & Co. 2.675% 12/15/19

147

150

Health Care Providers & Services - 0.2%

Aetna, Inc. 2.75% 11/15/22

178

178

Express Scripts Holding Co. 4.75% 11/15/21

458

511

HCA Holdings, Inc.:

3.75% 3/15/19

375

383

4.25% 10/15/19

1,330

1,377

6.5% 2/15/20

1,250

1,422

Medco Health Solutions, Inc.:

2.75% 9/15/15

38

38

4.125% 9/15/20

259

277

UnitedHealth Group, Inc. 2.75% 2/15/23

59

60

 

4,246

Life Sciences Tools & Services - 0.0%

Thermo Fisher Scientific, Inc.:

1.3% 2/1/17

102

102

2.4% 2/1/19

65

66

4.15% 2/1/24

99

106

 

274

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

HEALTH CARE - continued

Pharmaceuticals - 0.2%

AbbVie, Inc.:

1.75% 11/6/17

$ 358

$ 361

2.9% 11/6/22

368

368

Bayer U.S. Finance LLC:

2.375% 10/8/19 (f)

286

291

3% 10/8/21 (f)

209

216

3.375% 10/8/24 (f)

200

208

Mylan, Inc. 1.35% 11/29/16

120

120

Perrigo Co. PLC 2.3% 11/8/18

200

202

Perrigo Finance PLC:

3.5% 12/15/21

200

207

3.9% 12/15/24

200

207

Watson Pharmaceuticals, Inc. 1.875% 10/1/17

120

120

Zoetis, Inc.:

1.875% 2/1/18

57

57

3.25% 2/1/23

138

137

 

2,494

TOTAL HEALTH CARE

8,517

INDUSTRIALS - 0.1%

Aerospace & Defense - 0.0%

BAE Systems Holdings, Inc. 6.375% 6/1/19 (f)

309

358

Airlines - 0.0%

Continental Airlines, Inc.:

6.648% 3/15/19

10

10

6.9% 7/2/19

2

3

U.S. Airways pass-thru trust certificates:

6.85% 1/30/18

9

9

8.36% 1/20/19

7

7

 

29

Trading Companies & Distributors - 0.1%

Air Lease Corp.:

2.125% 1/15/18

203

202

3.75% 2/1/22

505

513

3.875% 4/1/21

387

399

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

INDUSTRIALS - continued

Trading Companies & Distributors - continued

Air Lease Corp.: - continued

4.25% 9/15/24

$ 336

$ 346

4.75% 3/1/20

338

364

 

1,824

TOTAL INDUSTRIALS

2,211

INFORMATION TECHNOLOGY - 0.0%

Electronic Equipment & Components - 0.0%

Amphenol Corp. 3.125% 9/15/21

131

134

Tyco Electronics Group SA 2.375% 12/17/18

74

75

 

209

MATERIALS - 0.2%

Chemicals - 0.0%

The Dow Chemical Co.:

4.125% 11/15/21

343

371

4.25% 11/15/20

186

203

 

574

Construction Materials - 0.0%

CRH America, Inc. 6% 9/30/16

15

16

Metals & Mining - 0.2%

Corporacion Nacional del Cobre de Chile (Codelco):

3.875% 11/3/21 (f)

360

380

4.25% 7/17/42 (f)

200

195

4.875% 11/4/44 (f)

1,401

1,489

5.625% 10/18/43 (f)

254

298

Freeport-McMoRan, Inc. 2.3% 11/14/17

289

285

Rio Tinto Finance (U.S.A.) PLC 2.25% 12/14/18

356

359

Vale Overseas Ltd.:

4.375% 1/11/22

200

194

6.25% 1/23/17

503

535

 

3,735

TOTAL MATERIALS

4,325

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - 0.5%

Diversified Telecommunication Services - 0.5%

CenturyLink, Inc.:

5.15% 6/15/17

$ 28

$ 30

6% 4/1/17

70

75

6.15% 9/15/19

226

247

Embarq Corp.:

7.082% 6/1/16

236

252

7.995% 6/1/36

1,725

2,018

Verizon Communications, Inc.:

1.35% 6/9/17

591

591

2.625% 2/21/20 (f)

615

620

4.5% 9/15/20

1,100

1,210

5.012% 8/21/54 (f)

1,641

1,714

6.25% 4/1/37

187

235

6.4% 9/15/33

346

439

6.55% 9/15/43

1,418

1,866

 

9,297

Wireless Telecommunication Services - 0.0%

America Movil S.A.B. de CV:

2.375% 9/8/16

276

280

3.125% 7/16/22

255

260

 

540

TOTAL TELECOMMUNICATION SERVICES

9,837

UTILITIES - 0.9%

Electric Utilities - 0.5%

American Electric Power Co., Inc.:

1.65% 12/15/17

147

148

2.95% 12/15/22

140

140

American Transmission Systems, Inc. 5% 9/1/44 (f)

148

170

Dayton Power & Light Co. 1.875% 9/15/16

119

120

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (f)

273

321

6.4% 9/15/20 (f)

850

1,008

Edison International 3.75% 9/15/17

226

239

Eversource Energy:

1.45% 5/1/18

96

95

2.8% 5/1/23

435

429

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

FirstEnergy Corp.:

2.75% 3/15/18

$ 846

$ 862

4.25% 3/15/23

1,949

2,052

7.375% 11/15/31

608

776

FirstEnergy Solutions Corp. 6.05% 8/15/21

649

721

LG&E and KU Energy LLC:

2.125% 11/15/15

255

257

3.75% 11/15/20

49

51

Monongahela Power Co. 4.1% 4/15/24 (f)

131

143

Nevada Power Co. 6.5% 5/15/18

165

189

NV Energy, Inc. 6.25% 11/15/20

115

135

Pepco Holdings, Inc. 2.7% 10/1/15

240

242

PPL Capital Funding, Inc. 3.4% 6/1/23

207

213

Progress Energy, Inc. 4.4% 1/15/21

823

910

TECO Finance, Inc.:

4% 3/15/16

96

99

5.15% 3/15/20

141

158

 

9,478

Gas Utilities - 0.0%

Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21

122

128

Texas Eastern Transmission LP 6% 9/15/17 (f)

326

360

 

488

Multi-Utilities - 0.4%

Dominion Resources, Inc.:

1.25% 3/15/17

700

701

2.5566% 9/30/66 (i)

823

765

7.5% 6/30/66 (i)

26

27

MidAmerican Energy Holdings, Co.:

1.1% 5/15/17

523

522

2% 11/15/18

403

407

National Grid PLC 6.3% 8/1/16

183

198

NiSource Finance Corp.:

4.45% 12/1/21

155

168

5.25% 2/15/43

357

428

5.45% 9/15/20

468

536

5.8% 2/1/42

199

249

6.4% 3/15/18

58

66

6.8% 1/15/19

677

797

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

UTILITIES - continued

Multi-Utilities - continued

PG&E Corp. 2.4% 3/1/19

$ 55

$ 55

Puget Energy, Inc.:

6% 9/1/21

457

543

6.5% 12/15/20

147

176

Sempra Energy:

2.3% 4/1/17

376

384

2.875% 10/1/22

1,154

1,156

Wisconsin Energy Corp. 6.25% 5/15/67 (i)

21

21

 

7,199

TOTAL UTILITIES

17,165

TOTAL NONCONVERTIBLE BONDS

(Cost $229,572)


237,812

U.S. Government and Government Agency Obligations - 7.6%

 

U.S. Treasury Inflation-Protected Obligations - 1.0%

U.S. Treasury Inflation-Indexed Bonds 0.75% 2/15/45

2,800

2,856

U.S. Treasury Inflation-Indexed Bonds 1.375% 2/15/44

6,550

7,843

U.S. Treasury Inflation-Indexed Notes 0.125% 7/15/24

7,243

7,180

TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS

17,879

U.S. Treasury Obligations - 6.6%

U.S. Treasury Bills, yield at date of purchase 0.01% to 0.03% 4/2/15 to 5/14/15 (h)

1,850

1,850

U.S. Treasury Bonds:

2.5% 2/15/45

2,817

2,762

3% 11/15/44

7,714

8,367

3.125% 8/15/44

1,741

1,929

U.S. Treasury Notes:

0.875% 1/15/18

41,472

41,346

1% 2/15/18

51,720

51,716

1.25% 1/31/20 (e)

5,065

5,004

U.S. Government and Government Agency Obligations - continued

 

Principal
Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

2% 2/15/25

$ 4,721

$ 4,721

2.25% 11/15/24

7,600

7,766

TOTAL U.S. TREASURY OBLIGATIONS

125,461

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $142,679)


143,340

U.S. Government Agency - Mortgage Securities - 1.4%

 

Fannie Mae - 1.1%

2.053% 6/1/36 (i)

8

9

2.389% 7/1/37 (i)

15

16

2.5% 1/1/28 to 12/1/29

293

300

2.5% 3/1/30 (g)

400

410

2.542% 6/1/42 (i)

44

45

2.96% 11/1/40 (i)

21

22

2.982% 9/1/41 (i)

23

24

3% 1/1/43 to 8/1/43

842

859

3.059% 10/1/41 (i)

15

16

3.235% 7/1/41 (i)

39

41

3.318% 10/1/41 (i)

18

19

3.5% 2/1/26 to 1/1/44

15,412

16,262

3.5% 3/1/45 (g)

1,100

1,153

3.563% 7/1/41 (i)

39

41

4% 1/1/42 to 12/1/43

269

291

4% 3/1/45 (g)

600

641

4.5% 12/1/23 to 1/1/43

95

103

4.5% 3/1/45 (g)

400

435

4.5% 3/1/45

500

543

6% 11/1/35 to 8/1/37

337

387

TOTAL FANNIE MAE

21,617

Freddie Mac - 0.2%

3.136% 10/1/35 (i)

19

20

3.227% 9/1/41 (i)

23

25

3.242% 4/1/41 (i)

29

30

3.298% 6/1/41 (i)

30

32

3.468% 5/1/41 (i)

33

34

U.S. Government Agency - Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Freddie Mac - continued

3.5% 9/1/42 to 2/1/44

$ 2,533

$ 2,668

3.626% 6/1/41 (i)

38

41

3.71% 5/1/41 (i)

31

32

4% 2/1/41 to 9/1/44

590

633

4.5% 3/1/44

186

202

5% 11/1/40

237

262

TOTAL FREDDIE MAC

3,979

Ginnie Mae - 0.1%

3% 6/20/42 to 1/20/45

293

302

3.5% 10/20/42 to 8/20/43

283

298

4% 9/20/40 to 1/20/41

253

272

4.5% 5/20/41

197

214

5.5% 6/15/35

109

125

TOTAL GINNIE MAE

1,211

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $26,636)


26,807

Asset-Backed Securities - 0.3%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6383% 4/25/35 (i)

30

26

Ally Master Owner Trust Series 2012-3 Class A2, 1.21% 6/15/17

370

371

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.2183% 12/25/33 (i)

2

2

Series 2004-R2 Class M3, 0.9933% 4/25/34 (i)

4

3

Series 2005-R2 Class M1, 0.621% 4/25/35 (i)

8

8

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.9495% 3/25/34 (i)

2

2

Series 2004-W11 Class M2, 1.221% 11/25/34 (i)

25

25

Series 2004-W7 Class M1, 0.9933% 5/25/34 (i)

27

26

Series 2006-W4 Class A2C, 0.331% 5/25/36 (i)

53

18

Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 0.9933% 4/25/34 (i)

81

74

Capital Auto Receivables Trust Series 2013-3 Class A3, 1.31% 12/20/17

360

361

Asset-Backed Securities - continued

 

Principal
Amount (000s)

Value (000s)

Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.311% 12/25/36 (i)

$ 82

$ 54

CFC LLC:

Series 2013-1A Class A, 1.65% 7/17/17 (f)

12

12

Series 2013-2A Class A, 1.75% 11/15/17 (f)

121

121

Countrywide Home Loans, Inc.:

Series 2004-3 Class M4, 1.626% 4/25/34 (i)

3

3

Series 2004-4 Class M2, 0.966% 6/25/34 (i)

5

5

Series 2004-7 Class AF5, 5.868% 1/25/35

117

121

Fannie Mae Series 2004-T5 Class AB3, 0.9831% 5/28/35 (i)

2

2

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3445% 8/25/34 (i)

13

12

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 0.996% 3/25/34 (i)

0*

0*

Ford Credit Floorplan Master Owner Trust:

Series 2013-3 Class A1, 0.79% 6/15/17

700

700

Series 2015-1 Class B, 1.62% 1/15/20

615

612

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.9033% 1/25/35 (i)

43

35

Class M4, 1.1883% 1/25/35 (i)

16

10

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6416% 2/25/47 (f)(i)

60

52

GE Business Loan Trust:

Series 2003-1 Class A, 0.603% 4/15/31 (f)(i)

2

2

Series 2006-2A:

Class A, 0.353% 11/15/34 (f)(i)

23

22

Class B, 0.453% 11/15/34 (f)(i)

8

8

Class C, 0.553% 11/15/34 (f)(i)

14

12

Class D, 0.923% 11/15/34 (f)(i)

5

5

Home Equity Asset Trust:

Series 2003-3 Class M1, 1.461% 8/25/33 (i)

22

21

Series 2003-5 Class A2, 0.871% 12/25/33 (i)

1

1

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.361% 1/25/37 (i)

56

36

JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.2983% 11/25/36 (i)

27

27

KeyCorp Student Loan Trust:

Series 1999-A Class A2, 0.5846% 12/27/29 (i)

9

9

Series 2006-A Class 2C, 1.4046% 3/27/42 (i)

43

8

MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4683% 5/25/37 (i)

18

0*

Asset-Backed Securities - continued

 

Principal
Amount (000s)

Value (000s)

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.146% 7/25/34 (i)

$ 3

$ 2

Series 2006-FM1 Class A2B, 0.2783% 4/25/37 (i)

19

17

Series 2006-OPT1 Class A1A, 0.691% 6/25/35 (i)

41

39

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.8483% 8/25/34 (i)

3

2

Series 2005-NC1 Class M1, 0.831% 1/25/35 (i)

16

15

Series 2005-NC2 Class B1, 1.926% 3/25/35 (i)

11

0*

New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.681% 9/25/35 (i)

65

58

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 2.0433% 9/25/34 (i)

24

23

Class M4, 2.3433% 9/25/34 (i)

31

19

Series 2005-WCH1 Class M4, 1.001% 1/25/36 (i)

67

59

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.971% 4/25/33 (i)

0*

0*

Santander Drive Auto Receivables Trust:

Series 2014-4 Class C, 2.6% 11/16/20

223

224

Series 2015-1 Class A3, 1.27% 2/15/19

1,441

1,442

Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9633% 3/25/35 (i)

39

36

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.1906% 6/15/33 (i)

35

34

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.896% 9/25/34 (i)

2

2

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0283% 9/25/34 (i)

1

1

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8156% 4/6/42 (f)(i)

60

32

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0561% 10/25/44 (f)(i)

81

82

TOTAL ASSET-BACKED SECURITIES

(Cost $4,500)


4,893

Collateralized Mortgage Obligations - 0.1%

 

Private Sponsor - 0.1%

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.731% 1/25/35 (i)

55

54

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.5591% 10/25/34 (i)

21

21

Collateralized Mortgage Obligations - continued

 

Principal
Amount (000s)

Value (000s)

Private Sponsor - continued

Granite Master Issuer PLC floater:

Series 2006-1A Class C2, 1.3735% 12/20/54 (f)(i)

$ 271

$ 268

Series 2006-2 Class C1, 1.1135% 12/20/54 (i)

242

238

Series 2006-3 Class C2, 1.1735% 12/20/54 (i)

50

49

Series 2006-4:

Class C1, 0.9335% 12/20/54 (i)

103

100

Class M1, 0.5135% 12/20/54 (i)

44

43

Series 2007-1:

Class 1C1, 0.7735% 12/20/54 (i)

84

81

Class 1M1, 0.4735% 12/20/54 (i)

54

52

Class 2C1, 1.0335% 12/20/54 (i)

38

37

Class 2M1, 0.6735% 12/20/54 (i)

70

69

Series 2007-2 Class 2C1, 1.033% 12/17/54 (i)

97

95

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7066% 1/20/44 (i)

19

20

JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.4665% 8/25/36 (i)

48

42

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.381% 5/25/47 (i)

21

19

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.341% 2/25/37 (i)

32

30

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4583% 7/25/35 (i)

55

52

RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.5163% 6/10/35 (f)(i)

10

10

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2236% 7/20/34 (i)

1

1

Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5122% 4/25/33 (i)

8

8

TOTAL PRIVATE SPONSOR

1,289

U.S. Government Agency - 0.0%

Fannie Mae planned amortization class Series 2002-9 Class PC, 6% 3/25/17

3

4

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $304)


1,293

Commercial Mortgage Securities - 1.6%

 

Principal
Amount (000s)

Value (000s)

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5642% 2/14/43 (i)(k)

$ 21

$ 0*

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2:

Class A4, 5.729% 5/10/45 (i)

251

259

Class AAB, 5.711% 5/10/45 (i)

9

9

Series 2006-3 Class A4, 5.889% 7/10/44

1,810

1,894

Series 2006-5 Class A2, 5.317% 9/10/47

100

100

Series 2006-6 Class A3, 5.369% 10/10/45

150

152

Series 2006-4 Class A1A, 5.617% 7/10/46 (i)

838

884

Series 2005-3 Class A3B, 5.09% 7/10/43 (i)

233

234

Series 2006-6 Class E, 5.619% 10/10/45 (f)

43

6

Series 2007-3:

Class A3, 5.5907% 6/10/49 (i)

89

89

Class A4, 5.5907% 6/10/49 (i)

740

790

Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49

256

273

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.446% 12/25/33 (f)(i)

2

2

Series 2005-4A:

Class A2, 0.561% 1/25/36 (f)(i)

38

34

Class B1, 1.571% 1/25/36 (f)(i)

2

1

Class M1, 0.621% 1/25/36 (f)(i)

12

10

Class M2, 0.641% 1/25/36 (f)(i)

4

3

Class M3, 0.671% 1/25/36 (f)(i)

5

4

Class M4, 0.781% 1/25/36 (f)(i)

3

2

Class M5, 0.821% 1/25/36 (f)(i)

3

2

Class M6, 0.871% 1/25/36 (f)(i)

3

2

Series 2006-3A Class M4, 0.601% 10/25/36 (f)(i)

2

0*

Series 2007-1 Class A2, 0.441% 3/25/37 (f)(i)

22

19

Series 2007-2A:

Class A1, 0.441% 7/25/37 (f)(i)

23

19

Class A2, 0.491% 7/25/37 (f)(i)

21

17

Class M1, 0.541% 7/25/37 (f)(i)

8

3

Class M2, 0.581% 7/25/37 (f)(i)

4

1

Class M3, 0.661% 7/25/37 (f)(i)

3

0*

Series 2007-3:

Class A2, 0.461% 7/25/37 (f)(i)

24

20

Class M1, 0.481% 7/25/37 (f)(i)

4

3

Class M2, 0.511% 7/25/37 (f)(i)

5

3

Class M3, 0.541% 7/25/37 (f)(i)

7

3

Commercial Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-3:

Class M4, 0.671% 7/25/37 (f)(i)

$ 11

$ 4

Class M5, 0.771% 7/25/37 (f)(i)

6

1

Series 2007-4A:

Class M1, 1.1183% 9/25/37 (f)(i)

9

2

Class M2, 1.2183% 9/25/37 (f)(i)

3

0*

Series 2007-5A, Class IO, 4.186% 10/25/37 (f)(i)(k)

212

4

Bear Stearns Commercial Mortgage Securities Trust:

sequential payer Series 2007-PW16 Class A4, 5.7072% 6/11/40 (i)

44

47

Series 2006-T22 Class A4, 5.5714% 4/12/38 (i)

8

9

Series 2007-PW18 Class X2, 0.2845% 6/11/50 (f)(i)(k)

3,453

12

Series 2007-T28 Class X2, 0.1365% 9/11/42 (f)(i)(k)

2,150

3

C-BASS Trust floater Series 2006-SC1 Class A, 0.4383% 5/25/36 (f)(i)

16

16

CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.1665% 12/15/27 (f)(i)

188

188

Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4:

Class A3, 5.293% 12/11/49

7

7

Class A4, 5.322% 12/11/49

2,380

2,509

Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (i)

84

82

COMM Mortgage Trust pass-thru certificates:

floater Series 2005-F10A Class J, 1.023% 4/15/17 (f)(i)

6

6

sequential payer Series 2006-C7 Class A1A, 5.7449% 6/10/46 (i)

253

264

Credit Suisse Commercial Mortgage Trust:

sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (i)

1

1

Series 2007-C5 Class A4, 5.695% 9/15/40 (i)

68

73

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.523% 4/15/22 (f)(i)

51

51

Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0% 9/15/34 (f)(i)(k)

0*

0

Credit Suisse Mortgage Capital Certificates Series 2007-C1 Class B, 5.487% 2/15/40 (f)(i)

115

13

GAHR Commercial Mortgage Trust Series 2015-NRF:

Class BFX, 3.3822% 12/15/19 (f)

510

516

Class CFX, 3.3822% 12/15/19 (f)

433

431

Class DFX, 3.3822% 12/15/19 (f)

367

359

Commercial Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49

$ 1,665

$ 1,764

Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A4, 5.8188% 7/10/38 (i)

441

458

GS Mortgage Securities Corp. II Series 2006-GG6 Class A4, 5.553% 4/10/38 (i)

134

137

GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39

78

83

Hilton U.S.A. Trust Series 2013-HLT:

Class CFX, 3.7141% 11/5/30 (f)

100

102

Class DFX, 4.4065% 11/5/30 (f)

765

779

JPMorgan Chase Commercial Mortgage Securities Trust:

floater:

Series 2006-FL2A:

Class E, 0.453% 11/15/18 (f)(i)

6

6

Class F, 0.503% 11/15/18 (f)(i)

14

14

Class G, 0.533% 11/15/18 (f)(i)

13

12

Class H, 0.673% 11/15/18 (f)(i)

10

9

Series 2014-BXH:

Class C, 1.823% 4/15/27 (f)(i)

130

130

Class D, 2.423% 4/15/27 (f)(i)

277

276

sequential payer:

Series 2006-CB16 Class A1A, 5.546% 5/12/45

482

508

Series 2006-CB17 Class A4, 5.429% 12/12/43

231

242

Series 2006-LDP8 Class A1A, 5.397% 5/15/45

833

871

Series 2006-LDP9 Class A3, 5.336% 5/15/47

30

32

Series 2007-CB18 Class A4, 5.44% 6/12/47

67

71

Series 2007-CB19 Class A4, 5.6985% 2/12/49 (i)

1,130

1,213

Series 2007-LD11 Class A4, 5.7953% 6/15/49 (i)

790

846

Series 2007-LDPX Class A3, 5.42% 1/15/49

521

554

Series 2006-LDP7 Class A4, 5.8754% 4/15/45 (i)

700

727

Series 2007-LDP10 Class CS, 5.466% 1/15/49 (i)

4

0*

LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.9055% 7/15/44 (i)

58

63

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2006-C6 Class A4, 5.372% 9/15/39

34

36

Series 2006-C7 Class A2, 5.3% 11/15/38

39

39

Series 2007-C1 Class A4, 5.424% 2/15/40

533

566

Series 2007-C6 Class A4, 5.858% 7/15/40 (i)

87

92

Series 2007-C7 Class A3, 5.866% 9/15/45

440

482

Merrill Lynch Mortgage Trust:

Series 2005-LC1 Class F, 5.4198% 1/12/44 (f)(i)

65

63

Commercial Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Merrill Lynch Mortgage Trust: - continued

Series 2007-C1 Class A4, 5.837% 6/12/50 (i)

$ 354

$ 381

Merrill Lynch-CFC Commercial Mortgage Trust:

sequential payer:

Series 2006-4:

Class A3, 5.172% 12/12/49 (i)

38

40

Class ASB, 5.133% 12/12/49 (i)

16

17

Series 2007-5 Class A4, 5.378% 8/12/48

59

63

Series 2007-6 Class A4, 5.485% 3/12/51 (i)

550

589

Series 2007-7 Class A4, 5.7473% 6/12/50 (i)

263

283

Series 2007-6 Class B, 5.635% 3/12/51 (i)

75

23

Series 2007-7 Class B, 5.7473% 6/12/50 (i)

7

0*

Series 2007-8 Class A3, 5.8862% 8/12/49 (i)

65

71

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.373% 7/15/19 (f)(i)

16

14

Series 2007-XLFA:

Class C, 0.327% 10/15/20 (f)(i)

0*

0*

Class D, 0.357% 10/15/20 (f)(i)

30

30

Class E, 0.417% 10/15/20 (f)(i)

38

37

Class F, 0.467% 10/15/20 (f)(i)

23

22

Class G, 0.507% 10/15/20 (f)(i)

28

28

Class H, 0.597% 10/15/20 (f)(i)

18

17

Class J, 0.747% 10/15/20 (f)(i)

10

9

sequential payer Series 2007-HQ11 Class A31, 5.439% 2/12/44 (i)

7

7

Series 2006-IQ11 Class A4, 5.6614% 10/15/42 (i)

19

19

Series 2007-HQ12 Class A2, 5.6074% 4/12/49 (i)

89

89

Series 2007-IQ14:

Class A4, 5.692% 4/15/49

2,968

3,181

Class B, 5.7403% 4/15/49 (i)

18

2

Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (f)

694

930

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2006-WL7A:

Class G, 0.533% 9/15/21 (f)(i)

8

8

Class J, 0.773% 9/15/21 (f)(i)

18

17

Series 2007-WHL8:

Class F, 0.653% 6/15/20 (f)(i)

168

161

Class LXR1, 0.873% 6/15/20 (f)(i)

9

8

sequential payer:

Series 2006-C28 Class A4, 5.572% 10/15/48

306

321

Commercial Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust: - continued

sequential payer:

Series 2006-C29 Class A1A, 5.297% 11/15/48

$ 277

$ 293

Series 2007-C30 Class A5, 5.342% 12/15/43

540

575

Series 2007-C31 Class A4, 5.509% 4/15/47

1,070

1,125

Series 2007-C32 Class A3, 5.7206% 6/15/49 (i)

235

251

Series 2007-C33:

Class A4, 5.9428% 2/15/51 (i)

1,094

1,167

Class A5, 5.9428% 2/15/51 (i)

50

54

Series 2005-C19 Class B, 4.892% 5/15/44

75

75

Series 2005-C22:

Class B, 5.3597% 12/15/44 (i)

166

164

Class F, 5.3597% 12/15/44 (f)(i)

125

32

Series 2006-C26 Class A1A, 6.009% 6/15/45 (i)

405

425

Series 2006-C27 Class A1A, 5.749% 7/15/45 (i)

698

733

Series 2007-C31 Class C, 5.6742% 4/15/47 (i)

21

21

Series 2007-C31A Class A2, 5.421% 4/15/47

156

156

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $30,194)


31,049

Municipal Securities - 0.9%

 

Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (i)

100

101

California Gen. Oblig.:

Series 2009, 7.35% 11/1/39

70

106

7.3% 10/1/39

535

807

7.5% 4/1/34

465

705

7.55% 4/1/39

1,375

2,176

7.6% 11/1/40

895

1,442

7.625% 3/1/40

2,275

3,598

Chicago Gen. Oblig.:

(Taxable Proj.):

Series 2008 B, 5.63% 1/1/22

80

86

Series 2010 C1, 7.781% 1/1/35

395

479

Series 2012 B, 5.432% 1/1/42

105

98

6.314% 1/1/44

515

539

Illinois Gen. Oblig.:

Series 2003:

4.35% 6/1/18

35

36

5.1% 6/1/33

2,375

2,397

Series 2010-1, 6.63% 2/1/35

525

592

Municipal Securities - continued

 

Principal
Amount (000s)

Value (000s)

Illinois Gen. Oblig.: - continued

Series 2010-3:

5.547% 4/1/19

$ 10

$ 11

6.725% 4/1/35

805

914

7.35% 7/1/35

220

263

Series 2011:

4.961% 3/1/16

35

36

5.365% 3/1/17

15

16

5.665% 3/1/18

330

360

5.877% 3/1/19

915

1,014

Series 2013:

2.69% 12/1/17

110

112

3.14% 12/1/18

115

116

TOTAL MUNICIPAL SECURITIES

(Cost $15,222)


16,004

Foreign Government and Government Agency Obligations - 0.0%

 

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

(Cost $365)

365

367

Bank Notes - 0.1%

 

Discover Bank (Delaware) 3.2% 8/9/21

598

611

KeyBank NA 2.25% 3/16/20

1,500

1,503

TOTAL BANK NOTES

(Cost $2,095)

2,114

Fixed-Income Funds - 6.1%

Shares

 

Fidelity High Income Central Fund 2 (j)

321,303

37,030

Fidelity Mortgage Backed Securities Central Fund (j)

718,717

78,944

TOTAL FIXED-INCOME FUNDS

(Cost $107,426)


115,974

Money Market Funds - 4.0%

Shares

Value (000s)

Fidelity Cash Central Fund, 0.13% (b)

68,602,442

$ 68,602

Fidelity Securities Lending Cash Central Fund, 0.13% (b)(d)

7,718,935

7,719

TOTAL MONEY MARKET FUNDS

(Cost $76,321)


76,321

Cash Equivalents - 0.2%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.07%, dated 2/27/15 due 3/2/15 (Collateralized by U.S. Government Obligations) # (c)
(Cost $4,040)

$ 4,040


4,040

TOTAL INVESTMENT PORTFOLIO - 101.4%

(Cost $1,625,877)

1,926,429

NET OTHER ASSETS (LIABILITIES) - (1.4)%

(25,874)

NET ASSETS - 100%

$ 1,900,555

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value (000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Purchased

Equity Index Contracts

294 CME E-mini S&P 500 Index Contracts (United States)

March 2015

$ 30,911

$ 822

 

The face value of futures purchased as a percentage of net assets is 1.6%

Swaps

Credit Default Swaps

Underlying Reference

Rating (1)

Expiration
Date

Clearinghouse/
Counterparty

Fixed
Payment
Received/
(Paid)

Notional
Amount(2)
(000s)

Value
(000s)(1)

Upfront
Premium
Received/
(Paid)
(000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Sell Protection

Ameriquest Mortgage Securities Inc Series 2004-R11 Class M9

C

Dec. 2034

Credit Suisse International

4.25%

$ 15

$ (15)

$ -

$ (15)

 

(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's® Investors Service, Inc. Where Moody's ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

 

(2) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

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) Includes investment made with cash collateral received from securities on loan.

(d) Investment made with cash collateral received from securities on loan.

(e) Security or a portion of the security is on loan at period end.

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $34,717,000 or 1.8% of net assets.

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

(h) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,318,000.

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

(j) 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.

(k) 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.

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

(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 $1,132,000 or 0.1% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition
Date

Acquisition
Cost (000s)

Legend Pictures LLC

9/23/10

$ 311

MongoDB, Inc. Series F, 8.00%

10/2/13

$ 281

* Amount represents less than $1,000.

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value
(Amounts in
thousands)

$4,040,000 due 3/02/15 at 0.07%

Commerz Markets LLC

$ 4,040

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

$ 41

Fidelity High Income Central Fund 2

1,058

Fidelity Mortgage Backed Securities Central Fund

985

Fidelity Securities Lending Cash Central Fund

69

Total

$ 2,153

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 High Income Central Fund 2

$ 36,948

$ 1,076

$ -

$ 37,030

4.5%

Fidelity Mortgage Backed Securities Central Fund

78,954

18,594

19,728

78,944

1.8%

Total

$ 115,902

$ 19,670

$ 19,728

$ 115,974

Other Information

The following is a summary of the inputs used, as of February 28, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 176,517

$ 175,536

$ -

$ 981

Consumer Staples

122,502

119,274

3,228

-

Energy

104,928

103,069

1,859

-

Financials

199,899

199,899

-

-

Health Care

190,949

184,291

6,658

-

Industrials

120,211

120,211

-

-

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Information Technology

$ 239,899

$ 239,748

$ -

$ 151

Materials

54,078

54,078

-

-

Telecommunication Services

22,853

22,853

-

-

Utilities

34,579

34,579

-

-

Corporate Bonds

237,812

-

237,812

-

U.S. Government and Government Agency Obligations

143,340

-

143,340

-

U.S. Government Agency - Mortgage Securities

26,807

-

26,807

-

Asset-Backed Securities

4,893

-

4,861

32

Collateralized Mortgage Obligations

1,293

-

1,293

-

Commercial Mortgage Securities

31,049

-

30,994

55

Municipal Securities

16,004

-

16,004

-

Foreign Government and Government Agency Obligations

367

-

367

-

Bank Notes

2,114

-

2,114

-

Fixed-Income Funds

115,974

115,974

-

-

Money Market Funds

76,321

76,321

-

-

Cash Equivalents

4,040

-

4,040

-

Total Investments in Securities:

$ 1,926,429

$ 1,445,833

$ 479,377

$ 1,219

Derivative Instruments:

Assets

Futures Contracts

$ 822

$ 822

$ -

$ -

Liabilities

Swaps

$ (15)

$ -

$ (15)

$ -

Total Derivative Instruments:

$ 807

$ 822

$ (15)

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure /
 Derivative Type
(Amounts in thousands)

Value

 

Asset

Liability

Equity Risk

Futures Contracts (a)

$ 822

$ -

Credit Risk

Swaps (b)

-

(15)

Total Value of Derivatives

$ 822

$ (15)

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

(b) For bi-lateral OTC swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.

Other Information

The composition of credit quality ratings as a percentage of net assets is as follows (Unaudited):

U.S. Government and U.S.
Government Agency Obligations

13.4%

AAA,AA,A

5.7%

BBB

8.3%

BB

1.9%

B

1.3%

CCC,CC,C

0.1%

D

0.0%

Not Rated

0.0%

Equities

66.6%

Short-Term Investments and Net
Other Assets

2.7%

 

100.0%

We have used ratings from Moody's Investors Service, Inc. Where Moody's ratings are not available, we have used S&P ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Percentages are adjusted for the effect of futures contracts, if applicable.

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

United States of America

88.9%

United Kingdom

2.3%

Ireland

2.1%

Cayman Islands

1.1%

Bermuda

1.0%

Others (Individually Less Than 1%)

4.6%

 

100.0%

The information in the above table is based on the combined investments of the Fund and it's pro-rata share of the investments of Fidelity's fixed-income funds.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amounts)

February 28, 2015 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including securities loaned of $11,214 and repurchase agreements of $4,040) - See accompanying schedule:

Unaffiliated issuers (cost $1,442,130)

$ 1,734,134

 

Fidelity Central Funds (cost $183,747)

192,295

 

Total Investments (cost $1,625,877)

 

$ 1,926,429

Cash

 

3

Receivable for investments sold

11,585

Receivable for fund shares sold

4,188

Dividends receivable

1,509

Interest receivable

3,028

Distributions receivable from Fidelity Central Funds

13

Prepaid expenses

2

Other receivables

45

Total assets

1,946,802

 

 

 

Liabilities

Payable for investments purchased
Regular delivery

$ 26,021

Delayed delivery

3,169

Payable for fund shares redeemed

3,402

Bi-lateral OTC swaps, at value

15

Accrued management fee

619

Distribution and service plan fees payable

693

Payable for daily variation margin for derivative instruments

100

Other affiliated payables

341

Other payables and accrued expenses

127

Collateral on securities loaned, at value

11,760

Total liabilities

46,247

 

 

 

Net Assets

$ 1,900,555

Net Assets consist of:

 

Paid in capital

$ 1,567,905

Undistributed net investment income

4,359

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

26,937

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

301,354

Net Assets

$ 1,900,555

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

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

 Amounts in thousands (except per-share amounts)

February 28, 2015 (Unaudited)

 

 

 

Calculation of Maximum Offering Price

Class A:
Net Asset Value and redemption price per share ($415,070 ÷ 21,120.4 shares)

$ 19.65

 

 

 

Maximum offering price per share (100/94.25 of $19.65)

$ 20.85

Class T:
Net Asset Value and redemption price per share ($1,030,182 ÷ 51,928.7 shares)

$ 19.84

 

 

 

Maximum offering price per share (100/96.50 of $19.84)

$ 20.56

Class B:
Net Asset Value and offering price per share ($9,862 ÷ 501.4 shares)A

$ 19.67

 

 

 

Class C:
Net Asset Value and offering price per share ($219,728 ÷ 11,246.7 shares)A

$ 19.54

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($192,664 ÷ 9,641.7 shares)

$ 19.98

 

 

 

Class Z:
Net Asset Value, offering price and redemption price per share ($33,049 ÷ 1,653.9 shares)

$ 19.98

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

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

Semiannual Report

Statement of Operations

 Amounts in thousands Six months ended February 28, 2015 (Unaudited)

 

 

 

Investment Income

 

 

Dividends

 

$ 9,409

Interest

 

5,756

Income from Fidelity Central Funds

 

2,153

Total income

 

17,318

 

 

 

Expenses

Management fee

$ 3,473

Transfer agent fees

1,617

Distribution and service plan fees

3,887

Accounting and security lending fees

342

Custodian fees and expenses

49

Independent trustees' compensation

3

Registration fees

81

Audit

54

Legal

6

Miscellaneous

10

Total expenses before reductions

9,522

Expense reductions

(23)

9,499

Net investment income (loss)

7,819

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

62,517

Fidelity Central Funds

207

 

Foreign currency transactions

(32)

Futures contracts

1,038

Total net realized gain (loss)

 

63,730

Change in net unrealized appreciation (depreciation) on:

Investment securities

9,751

Futures contracts

105

Delayed delivery commitments

6

 

Total change in net unrealized appreciation (depreciation)

 

9,862

Net gain (loss)

73,592

Net increase (decrease) in net assets resulting from operations

$ 81,411

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

 Amounts in thousands

Six months ended
February 28, 2015
(Unaudited)

Year ended
August 31,
2014

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 7,819

$ 15,357

Net realized gain (loss)

63,730

98,962

Change in net unrealized appreciation (depreciation)

9,862

136,177

Net increase (decrease) in net assets resulting
from operations

81,411

250,496

Distributions to shareholders from net investment income

(5,963)

(15,035)

Distributions to shareholders from net realized gain

(102,365)

(56,875)

Total distributions

(108,328)

(71,910)

Share transactions - net increase (decrease)

280,336

162,208

Total increase (decrease) in net assets

253,419

340,794

 

 

 

Net Assets

Beginning of period

1,647,136

1,306,342

End of period (including undistributed net investment income of $4,359 and undistributed net investment income of $2,503, respectively)

$ 1,900,555

$ 1,647,136

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

Semiannual Report

Financial Highlights - Class A

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 20.10

$ 17.84

$ 16.31

$ 14.83

$ 13.29

$ 12.61

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .11

  .23

  .22

  .24

  .23

  .24

Net realized and unrealized gain (loss)

  .74

  3.03

  1.52

  1.48

  1.55

  .70

Total from investment operations

  .85

  3.26

  1.74

  1.72

  1.78

  .94

Distributions from net investment income

  (.09)

  (.23)

  (.21)

  (.24)

  (.23)

  (.24)

Distributions from net realized gain

  (1.21)

  (.77)

  -

  -

  (.01)

  (.02)

Total distributions

  (1.30)

  (1.00)

  (.21)

  (.24)

  (.24)

  (.26)I

Net asset value, end of period

$ 19.65

$ 20.10

$ 17.84

$ 16.31

$ 14.83

$ 13.29

Total ReturnB, C, D

  4.71%

  18.93%

  10.74%

  11.72%

  13.34%

  7.44%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  .91%A

  .92%

  .95%

  .98%

  1.00%

  1.00%

Expenses net of fee waivers, if any

  .91%A

  .92%

  .95%

  .98%

  1.00%

  1.00%

Expenses net of all reductions

  .91%A

  .92%

  .94%

  .98%

  .99%

  .99%

Net investment income (loss)

  1.09%A

  1.22%

  1.27%

  1.56%

  1.53%

  1.76%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 415

$ 366

$ 270

$ 249

$ 215

$ 203

Portfolio turnover rateG

  104%A

  79%

  124%

  124%

  146%J

  116%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DTotal returns do not include the effect of the sales charges. ECalculated based on average shares outstanding during the period. FFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. GAmount does not include the portfolio activity of any underlying Fidelity Central Funds. HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ITotal distributions of $.26 per share is comprised of distributions from net investment income of $.243 and distributions from net realized gain of $.015 per share. JThe portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

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

Semiannual Report

Financial Highlights - Class T

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 20.28

$ 17.99

$ 16.44

$ 14.95

$ 13.40

$ 12.70

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .08

  .19

  .18

  .21

  .20

  .21

Net realized and unrealized gain (loss)

  .76

  3.05

  1.54

  1.49

  1.56

  .72

Total from investment operations

  .84

  3.24

  1.72

  1.70

  1.76

  .93

Distributions from net investment income

  (.06)

  (.19)

  (.17)

  (.21)

  (.20)

  (.21)

Distributions from net realized gain

  (1.21)

  (.77)

  -

  -

  (.01)

  (.02)

Total distributions

  (1.28)K

  (.95)J

  (.17)

  (.21)

  (.21)

  (.23)I

Net asset value, end of period

$ 19.84

$ 20.28

$ 17.99

$ 16.44

$ 14.95

$ 13.40

Total ReturnB, C, D

  4.58%

  18.66%

  10.55%

  11.44%

  13.09%

  7.32%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.15%A

  1.15%

  1.17%

  1.19%

  1.20%

  1.23%

Expenses net of fee waivers, if any

  1.15%A

  1.15%

  1.17%

  1.19%

  1.20%

  1.23%

Expenses net of all reductions

  1.14%A

  1.15%

  1.16%

  1.18%

  1.19%

  1.21%

Net investment income (loss)

  .85%A

  .99%

  1.05%

  1.36%

  1.33%

  1.54%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 1,030

$ 960

$ 821

$ 737

$ 673

$ 619

Portfolio turnover rateG

  104%A

  79%

  124%

  124%

  146%L

  116%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DTotal returns do not include the effect of the sales charges. ECalculated based on average shares outstanding during the period. FFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. GAmount does not include the portfolio activity of any underlying Fidelity Central Funds. HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ITotal distributions of $.23 per share is comprised of distributions from net investment income of $.214 and distributions from net realized gain of $.015 per share. JTotal distributions of $.95 per share is comprised of distributions from net investment income of $.185 and distributions from net realized gain of $.768 per share. KTotal distributions of $1.28 per share is comprised of distributions from net investment income of $0.063 and distributions from net realized gain of $1.212 per share. LThe portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

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

Semiannual Report

Financial Highlights - Class B

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 20.11

$ 17.84

$ 16.30

$ 14.81

$ 13.27

$ 12.58

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .03

  .07

  .08

  .12

  .11

  .13

Net realized and unrealized gain (loss)

  .75

  3.03

  1.52

  1.47

  1.54

  .71

Total from investment operations

  .78

  3.10

  1.60

  1.59

  1.65

  .84

Distributions from net investment income

  (.01)

  (.06)

  (.06)

  (.10)

  (.10)

  (.13)

Distributions from net realized gain

  (1.21)

  (.77)

  -

  -

  (.01)

  (.02)

Total distributions

  (1.22)

  (.83)

  (.06)

  (.10)

  (.11)

  (.15)I

Net asset value, end of period

$ 19.67

$ 20.11

$ 17.84

$ 16.30

$ 14.81

$ 13.27

Total ReturnB, C, D

  4.30%

  17.95%

  9.85%

  10.78%

  12.42%

  6.66%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.74%A

  1.76%

  1.78%

  1.78%

  1.80%

  1.82%

Expenses net of fee waivers, if any

  1.74%A

  1.76%

  1.78%

  1.78%

  1.80%

  1.82%

Expenses net of all reductions

  1.74%A

  1.75%

  1.77%

  1.78%

  1.79%

  1.81%

Net investment income (loss)

  .26%A

  .38%

  .44%

  .76%

  .73%

  .94%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 10

$ 11

$ 13

$ 15

$ 19

$ 24

Portfolio turnover rateG

  104%A

  79%

  124%

  124%

  146%J

  116%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DTotal returns do not include the effect of the contingent deferred sales charge. ECalculated based on average shares outstanding during the period. FFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. GAmount does not include the portfolio activity of any underlying Fidelity Central Funds. HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ITotal distributions of $.15 per share is comprised of distributions from net investment income of $.133 and distributions from net realized gain of $.015 per share. JThe portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

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

Semiannual Report

Financial Highlights - Class C

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 19.99

$ 17.76

$ 16.24

$ 14.77

$ 13.23

$ 12.55

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .03

  .09

  .09

  .13

  .12

  .13

Net realized and unrealized gain (loss)

  .75

  3.01

  1.52

  1.46

  1.55

  .71

Total from investment operations

  .78

  3.10

  1.61

  1.59

  1.67

  .84

Distributions from net investment income

  (.02)

  (.10)

  (.09)

  (.12)

  (.12)

  (.15)

Distributions from net realized gain

  (1.21)

  (.77)

  -

  -

  (.01)

  (.02)

Total distributions

  (1.23)

  (.87)

  (.09)

  (.12)

  (.13)

  (.16)I

Net asset value, end of period

$ 19.54

$ 19.99

$ 17.76

$ 16.24

$ 14.77

$ 13.23

Total ReturnB, C, D

  4.34%

  18.01%

  9.93%

  10.81%

  12.59%

  6.69%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.67%A

  1.68%

  1.71%

  1.73%

  1.74%

  1.76%

Expenses net of fee waivers, if any

  1.67%A

  1.68%

  1.71%

  1.73%

  1.74%

  1.76%

Expenses net of all reductions

  1.67%A

  1.68%

  1.70%

  1.72%

  1.73%

  1.75%

Net investment income (loss)

  .33%A

  .46%

  .51%

  .81%

  .79%

  1.00%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 220

$ 160

$ 105

$ 80

$ 69

$ 62

Portfolio turnover rateG

  104%A

  79%

  124%

  124%

  146%J

  116%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DTotal returns do not include the effect of the contingent deferred sales charge. ECalculated based on average shares outstanding during the period. FFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. GAmount does not include the portfolio activity of any underlying Fidelity Central Funds. HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ITotal distributions of $.16 per share is comprised of distributions from net investment income of $.145 and distributions from net realized gain of $.015 per share. JThe portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

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

Semiannual Report

Financial Highlights - Institutional Class

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 20.42

$ 18.11

$ 16.55

$ 15.06

$ 13.49

$ 12.79

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) D

  .13

  .29

  .27

  .29

  .28

  .28

Net realized and unrealized gain (loss)

  .76

  3.06

  1.55

  1.49

  1.57

  .72

Total from investment operations

  .89

  3.35

  1.82

  1.78

  1.85

  1.00

Distributions from net investment income

  (.12)

  (.28)

  (.26)

  (.29)

  (.27)

  (.28)

Distributions from net realized gain

  (1.21)

  (.77)

  -

  -

  (.01)

  (.02)

Total distributions

  (1.33)

  (1.04) I

  (.26)

  (.29)

  (.28)

  (.30) H

Net asset value, end of period

$ 19.98

$ 20.42

$ 18.11

$ 16.55

$ 15.06

$ 13.49

Total ReturnB, C

  4.84%

  19.21%

  11.08%

  11.96%

  13.69%

  7.81%

Ratios to Average Net Assets E, G

 

 

 

 

 

Expenses before reductions

  .65%A

  .66%

  .68%

  .70%

  .71%

  .73%

Expenses net of fee waivers, if any

  .65%A

  .66%

  .68%

  .70%

  .71%

  .73%

Expenses net of all reductions

  .65%A

  .66%

  .67%

  .70%

  .70%

  .72%

Net investment income (loss)

  1.35%A

  1.48%

  1.54%

  1.84%

  1.82%

  2.03%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 193

$ 124

$ 97

$ 66

$ 42

$ 34

Portfolio turnover rateF

  104%A

  79%

  124%

  124%

  146%J

  116%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. HTotal distributions of $.30 per share is comprised of distributions from net investment income of $.283 and distributions from net realized gain of $.015 per share. ITotal distributions of $1.04 per share is comprised of distributions from net investment income of $.275 and distributions from net realized gain of $.768 per share. JThe portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

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

Semiannual Report

Financial Highlights - Class Z

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013G

Selected Per-Share Data

 

 

Net asset value, beginning of period

$ 20.42

$ 18.11

$ 18.56

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .15

  .32

  .01

Net realized and unrealized gain (loss)

  .75

  3.06

  (.46)

Total from investment operations

  .90

  3.38

  (.45)

Distributions from net investment income

  (.13)

  (.31)

  -

Distributions from net realized gain

  (1.21)

  (.77)

  -

Total distributions

  (1.34)

  (1.07)I

  -

Net asset value, end of period

$ 19.98

$ 20.42

$ 18.11

Total ReturnB, C

  4.91%

  19.40%

  (2.42)%

Ratios to Average Net Assets E, H

 

 

Expenses before reductions

  .51%A

  .51%

  .53%A

Expenses net of fee waivers, if any

  .51%A

  .51%

  .53%A

Expenses net of all reductions

  .51%A

  .51%

  .52%A

Net investment income (loss)

  1.49%A

  1.62%

  .85%A

Supplemental Data

 

 

Net assets, end of period (000 omitted)

$ 33,049

$ 26,518

$ 98

Portfolio turnover rateF

  104%A

  79%

  124%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GFor the period August 13, 2013 (commencement of sale of shares) to August 31, 2013. HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ITotal distributions of $1.07 per share is comprised of distributions from net investment income of $.306 and distributions from net realized gain of $.768 per share.

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

Semiannual Report

Notes to Financial Statements

For the period ended February 28, 2015 (Unaudited)

(Amounts in thousands except percentages)

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund

Investment
Manager

Investment Objective

Investment Practices

Expense
Ratio*

Fidelity High Income Central Fund 2

FMR Co., Inc. (FMRC)

Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities.

Delayed Delivery & When Issued Securities

Loans & Direct Debt Instruments

Restricted Securities

 

Less than .01%

Semiannual Report

2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund

Investment
Manager

Investment Objective

Investment Practices

Expense
Ratio*

Fidelity Mortgage Backed Securities Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities.

Delayed Delivery & When Issued Securities

Repurchase Agreements

Swaps

Less than .01%

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

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

3. Significant Accounting Policies.

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

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Investment Valuation - continued

changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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

Level 1 - quoted prices in active markets for identical investments

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

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

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

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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied

Semiannual Report

3. Significant Accounting Policies - continued

Investment Valuation - continued

prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of February 28, 2015, is included at the end of the Fund's Schedule of Investments.

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

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

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

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

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Semiannual Report

3. Significant Accounting Policies - continued

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

Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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

Book-tax differences are primarily due to futures transactions, swaps, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales.

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

Gross unrealized appreciation

$ 323,374

Gross unrealized depreciation

(24,192)

Net unrealized appreciation (depreciation) on securities

$ 299,182

 

 

Tax cost

$ 1,627,247

Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Repurchase Agreements - continued

may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

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

New Accounting Pronouncement. In June 2014, the Financial Accounting Standards Board issued Accounting Standard Update No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (the Update). The Update amends the accounting for certain repurchase agreements and expands disclosure requirements for reverse repurchase agreements, securities lending and other similar transactions. The disclosure requirements are effective for annual and interim reporting periods beginning after December 15, 2014. Management is currently evaluating the impact of the Update on the Fund's financial statements and related disclosures.

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts and swaps. Derivatives are investments whose value is primarily

Semiannual Report

4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

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

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

Credit Risk

Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

Equity Risk

Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.

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

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

Primary Risk Exposure /
Derivative Type

Net Realized Gain (Loss)

Change in Net Unrealized
Appreciation (Depreciation)

Credit Risk

 

 

Swaps

$ -

$ -

Equity Risk

 

 

Futures Contracts

1,038

105

Totals (a)

$ 1,038

$ 105

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

Semiannual Report

4. Derivative Instruments - continued

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

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

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow

Semiannual Report

4. Derivative Instruments - continued

Credit Default Swaps - continued

assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $647,665 and $494,176, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .15% of the Fund's average net assets and an annualized group fee rate that averaged .25% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .40% of the Fund's average net assets.

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

 

Distribution
Fee

Service
Fee

Total Fees

Retained
by FDC

Class A

-%

.25%

$ 477

$ 20

Class T

.25%

.25%

2,450

32

Class B

.75%

.25%

50

38

Class C

.75%

.25%

910

248

 

 

 

$ 3,887

$ 338

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

6. Fees and Other Transactions with Affiliates - continued

Sales Load. FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

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

 

Retained
by FDC

Class A

$ 134

Class T

28

Class B*

4

Class C*

14

 

$ 180

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

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

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

 

Amount

% of
Class-Level Average
Net Assets*

Class A

$ 376

.20

Class T

890

.18

Class B

14

.27

Class C

187

.21

Institutional Class

143

.19

Class Z

7

.05

 

$ 1,617

 

* Annualized

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

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

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $7 for the period.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $1 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. The value of securities loaned to FCM at period end was $245. Security lending income represents the income earned on investing cash collateral, less rebates

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

8. Security Lending - continued

paid to borrowers, plus any premium payments received for lending certain types of securities. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $3. Net income from the Fidelity Securities Lending Cash Central Fund during the period, presented in the Statement of Operations as a component of income from Fidelity Central Funds, amounted to $69 (including $33 from securities loaned to FCM).

9. Expense Reductions.

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $23 for the period.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
February 28, 2015

Year ended
August 31, 2014

From net investment income

 

 

Class A

$ 1,664

$ 3,866

Class T

3,095

8,717

Class B

3

39

Class C

148

701

Institutional Class

866

1,632

Class Z

187

80

Total

$ 5,963

$ 15,035

From net realized gain

 

 

Class A

$ 22,655

$ 11,846

Class T

58,592

35,422

Class B

624

522

Class C

10,374

4,798

Institutional Class

8,438

4,283

Class Z

1,682

4

Total

$ 102,365

$ 56,875

Semiannual Report

11. Share Transactions.

Share transactions for each class were as follows:

 

Shares

Shares

Dollars

Dollars

Six months ended
February 28, 2015

Year ended
August 31, 2014

Six months ended
February 28, 2015

Year ended
August 31, 2014

Class A

 

 

 

 

Shares sold

4,555

5,619

$ 88,091

$ 106,689

Reinvestment of distributions

1,252

819

23,206

14,945

Shares redeemed

(2,902)

(3,372)

(56,059)

(64,162)

Net increase (decrease)

2,905

3,066

$ 55,238

$ 57,472

Class T

 

 

 

 

Shares sold

6,615

10,824

$ 128,989

$ 206,801

Reinvestment of distributions

3,210

2,330

60,075

42,769

Shares redeemed

(5,243)

(11,440)

(101,898)

(218,867)

Net increase (decrease)

4,582

1,714

$ 87,166

$ 30,703

Class B

 

 

 

 

Shares sold

61

48

$ 1,162

$ 932

Reinvestment of distributions

30

28

566

499

Shares redeemed

(124)

(249)

(2,393)

(4,713)

Net increase (decrease)

(33)

(173)

$ (665)

$ (3,282)

Class C

 

 

 

 

Shares sold

3,345

3,067

$ 64,009

$ 57,908

Reinvestment of distributions

523

280

9,654

5,062

Shares redeemed

(628)

(1,247)

(12,055)

(23,564)

Net increase (decrease)

3,240

2,100

$ 61,608

$ 39,406

Institutional Class

 

 

 

 

Shares sold

4,365

4,018

$ 85,811

$ 77,571

Reinvestment of distributions

454

308

8,561

5,707

Shares redeemed

(1,230)

(3,655)

(24,277)

(70,640)

Net increase (decrease)

3,589

671

$ 70,095

$ 12,638

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

11. Share Transactions - continued

 

Shares

Shares

Dollars

Dollars

Six months ended
February 28, 2015

Year ended
August 31, 2014

Six months ended
February 28, 2015

Year ended
August 31, 2014

Class Z

 

 

 

 

Shares sold

370

1,348

$ 7,271

$ 26,331

Reinvestment of distributions

99

4

1,869

84

Shares redeemed

(114)

(58)

(2,246)

(1,144)

Net increase (decrease)

355

1,294

$ 6,894

$ 25,271

12. Other.

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

Semiannual Report

Investment Adviser

Fidelity Management &
Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Investments
Money Management, Inc.

FMR Investment Management
(U.K.) Limited

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Limited

General Distributor

Fidelity Distributors Corporation

Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank

New York, NY

(Fidelity Investment logo)(registered trademark)

AIGI-USAN-0415
1.786778.112

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

Balanced Fund -

Class Z

Semiannual Report

February 28, 2015

(Fidelity Cover Art)

Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

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

Investments

(Click Here)

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

Financial Statements

(Click Here)

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

Notes

(Click Here)

Notes to the financial statements.

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

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

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

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

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

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

NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2014 to February 28, 2015).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense RatioB

Beginning
Account Value
September 1, 2014

Ending
Account Value
February 28, 2015

Expenses Paid
During Period*
September 1, 2014
to February 28, 2015

Class A

.91%

 

 

 

Actual

 

$ 1,000.00

$ 1,047.10

$ 4.62

HypotheticalA

 

$ 1,000.00

$ 1,020.28

$ 4.56

Class T

1.15%

 

 

 

Actual

 

$ 1,000.00

$ 1,045.80

$ 5.83

HypotheticalA

 

$ 1,000.00

$ 1,019.09

$ 5.76

Class B

1.74%

 

 

 

Actual

 

$ 1,000.00

$ 1,043.00

$ 8.81

HypotheticalA

 

$ 1,000.00

$ 1,016.17

$ 8.70

Class C

1.67%

 

 

 

Actual

 

$ 1,000.00

$ 1,043.40

$ 8.46

HypotheticalA

 

$ 1,000.00

$ 1,016.51

$ 8.35

Institutional Class

.65%

 

 

 

Actual

 

$ 1,000.00

$ 1,048.40

$ 3.30

HypotheticalA

 

$ 1,000.00

$ 1,021.57

$ 3.26

Class Z

.51%

 

 

 

Actual

 

$ 1,000.00

$ 1,049.10

$ 2.59

HypotheticalA

 

$ 1,000.00

$ 1,022.27

$ 2.56

A 5% return per year before expenses

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

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

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

Semiannual Report

Investment Changes (Unaudited)

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

Top Five Stocks as of February 28, 2015

 

% of fund's
net assets

% of fund's net assets
6 months ago

Apple, Inc.

2.9

2.6

Google, Inc. Class C

1.3

1.3

Citigroup, Inc.

1.2

0.6

Bank of America Corp.

1.1

1.1

Chevron Corp.

1.0

1.5

 

7.5

Top Five Bond Issuers as of February 28, 2015

(with maturities greater than one year)

% of fund's
net assets

% of fund's net assets
6 months ago

U.S. Treasury Obligations

7.5

7.5

Fannie Mae

3.3

3.4

Freddie Mac

1.1

1.2

Ginnie Mae

1.1

1.1

Citigroup, Inc.

0.9

0.2

 

13.9

Top Five Market Sectors as of February 28, 2015

 

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

17.7

15.5

Information Technology

12.6

13.1

Health Care

10.8

10.4

Consumer Discretionary

10.6

10.1

Energy

7.8

8.7

Asset Allocation (% of fund's net assets)

As of February 28, 2015 *

As of August 31, 2014 **

bal1157939

Stocks and
Equity Futures 68.1%

 

bal1157941

Stocks and
Equity Futures 72.1%

 

bal1157943

Bonds 30.3%

 

bal1157945

Bonds 25.8%

 

bal1157947

Convertible
Securities 0.1%

 

bal1157949

Convertible
Securities 0.0%

 

bal1157951

Other Investments 0.4%

 

bal1157953

Other Investments 0.3%

 

bal1157955

Short-Term
Investments and
Net Other Assets
(Liabilities) 1.1%

 

bal1157957

Short-Term
Investments and
Net Other Assets
(Liabilities) 1.8%

 

* Foreign investments

11.1%

 

** Foreign investments

9.2%

 

bal1157959

Percentages are adjusted for the effect of futures contracts and swaps, if applicable.

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

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Semiannual Report

Investments February 28, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 66.5%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 9.3%

Automobiles - 0.1%

Harley-Davidson, Inc.

38,000

$ 2,416

Diversified Consumer Services - 0.4%

H&R Block, Inc.

197,181

6,734

Hotels, Restaurants & Leisure - 2.4%

ARAMARK Holdings Corp.

59,059

1,869

Extended Stay America, Inc. unit

417,355

8,055

McDonald's Corp.

128,275

12,686

Panera Bread Co. Class A (a)

48,560

7,839

Starbucks Corp.

131,300

12,275

Wynn Resorts Ltd.

24,500

3,491

 

46,215

Internet & Catalog Retail - 1.5%

Amazon.com, Inc. (a)

10,000

3,802

Ctrip.com International Ltd. sponsored ADR (a)

52,200

2,368

Liberty Interactive Corp. Series A (a)

363,297

10,728

Priceline Group, Inc. (a)

7,100

8,786

Travelport Worldwide Ltd.

159,600

2,544

 

28,228

Media - 2.6%

Comcast Corp. Class A

50,462

2,996

DIRECTV (a)

110,349

9,777

DreamWorks Animation SKG, Inc. Class A (a)

191,900

4,109

Legend Pictures LLC (a)(l)(m)

415

981

Liberty Media Corp. Class C (a)

207,300

8,002

Manchester United PLC (a)

113,900

1,821

The Madison Square Garden Co. Class A (a)

137,786

10,796

Twenty-First Century Fox, Inc. Class A

340,142

11,905

 

50,387

Multiline Retail - 0.9%

B&M European Value Retail S.A.

954,914

4,718

Dollar General Corp. (a)

151,535

11,004

Poundland Group PLC

128,786

767

 

16,489

Specialty Retail - 0.6%

Michaels Companies, Inc.

125,100

3,528

TJX Companies, Inc.

112,180

7,700

 

11,228

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - 0.8%

lululemon athletica, Inc. (a)

58,886

$ 4,030

NIKE, Inc. Class B

111,100

10,790

 

14,820

TOTAL CONSUMER DISCRETIONARY

176,517

CONSUMER STAPLES - 6.4%

Beverages - 1.2%

Anheuser-Busch InBev SA NV

15,429

1,957

Coca-Cola Icecek Sanayi A/S

19,269

374

Diageo PLC sponsored ADR

12,869

1,529

Embotelladora Andina SA sponsored ADR

22,411

373

Monster Beverage Corp. (a)

21,800

3,076

Pernod Ricard SA

11,696

1,387

Remy Cointreau SA (e)

12,213

897

The Coca-Cola Co.

317,299

13,739

 

23,332

Food & Staples Retailing - 1.7%

CVS Health Corp.

126,027

13,090

Kroger Co.

114,718

8,162

Sysco Corp.

88,173

3,438

Wal-Mart Stores, Inc.

48,649

4,083

Whole Foods Market, Inc.

49,400

2,791

 

31,564

Food Products - 0.8%

Bunge Ltd.

31,038

2,538

Keurig Green Mountain, Inc.

22,140

2,825

Mead Johnson Nutrition Co. Class A

61,989

6,494

Nestle SA

16,260

1,271

The Hershey Co.

27,500

2,854

 

15,982

Household Products - 1.0%

Colgate-Palmolive Co.

32,800

2,323

Procter & Gamble Co.

195,528

16,645

 

18,968

Personal Products - 0.2%

Estee Lauder Companies, Inc. Class A

31,000

2,563

L'Oreal SA

4,800

872

 

3,435

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Tobacco - 1.5%

Altria Group, Inc.

252,903

$ 14,236

British American Tobacco PLC sponsored ADR

119,699

13,941

Souza Cruz SA

47,950

428

 

28,605

TOTAL CONSUMER STAPLES

121,886

ENERGY - 5.4%

Energy Equipment & Services - 0.7%

Baker Hughes, Inc.

17,700

1,106

C&J Energy Services, Inc. (a)

84,710

1,155

Dril-Quip, Inc. (a)

16,139

1,173

FMC Technologies, Inc. (a)

41,316

1,650

Halliburton Co.

131,707

5,655

Independence Contract Drilling, Inc.

76,237

435

Oceaneering International, Inc.

35,229

1,921

 

13,095

Oil, Gas & Consumable Fuels - 4.7%

Anadarko Petroleum Corp.

107,173

9,027

Apache Corp.

41,200

2,713

BG Group PLC

126,300

1,859

Cabot Oil & Gas Corp.

97,315

2,822

Chevron Corp.

182,976

19,520

Cimarex Energy Co.

39,300

4,310

Columbia Pipeline Partners LP

33,100

917

EOG Resources, Inc.

61,510

5,519

EP Energy Corp. (a)(e)

112,267

1,263

Exxon Mobil Corp.

135,091

11,961

Kinder Morgan, Inc.

189,456

7,770

Memorial Resource Development Corp.

86,800

1,780

Noble Energy, Inc.

132,845

6,274

Parsley Energy, Inc. Class A (e)

65,300

972

Phillips 66 Co.

81,174

6,369

PrairieSky Royalty Ltd. (e)

46,700

1,181

Suncor Energy, Inc. (e)

154,755

4,646

Valero Energy Partners LP

24,296

1,295

 

90,198

TOTAL ENERGY

103,293

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - 10.5%

Banks - 4.6%

Bank of America Corp.

1,365,491

$ 21,588

Citigroup, Inc.

446,130

23,386

Huntington Bancshares, Inc.

483,993

5,295

JPMorgan Chase & Co.

314,932

19,299

SunTrust Banks, Inc.

72,954

2,991

Synovus Financial Corp.

52,043

1,457

U.S. Bancorp

283,833

12,662

 

86,678

Capital Markets - 1.6%

Ameriprise Financial, Inc.

20,589

2,751

BlackRock, Inc. Class A

16,690

6,199

Carlyle Group LP

17,200

445

E*TRADE Financial Corp. (a)

79,721

2,076

Goldman Sachs Group, Inc.

51,300

9,736

Invesco Ltd.

39,247

1,580

Northern Trust Corp.

43,405

3,031

Oaktree Capital Group LLC Class A

16,791

903

State Street Corp.

19,400

1,444

The Blackstone Group LP

43,855

1,643

 

29,808

Consumer Finance - 1.5%

Capital One Financial Corp.

239,934

18,885

Navient Corp.

192,907

4,128

SLM Corp.

435,586

4,125

Springleaf Holdings, Inc. (a)

48,000

1,846

 

28,984

Diversified Financial Services - 0.6%

Berkshire Hathaway, Inc.:

Class A (a)

10

2,212

Class B (a)

35,700

5,263

IntercontinentalExchange Group, Inc.

13,176

3,101

KBC Ancora (a)

20,348

696

 

11,272

Insurance - 1.0%

Direct Line Insurance Group PLC

386,712

1,955

Fairfax Financial Holdings Ltd. (sub. vtg.)

4,500

2,361

Marsh & McLennan Companies, Inc.

68,953

3,923

MetLife, Inc.

73,867

3,755

Principal Financial Group, Inc.

39,200

2,006

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Insurance - continued

The Chubb Corp.

47,000

$ 4,721

Unum Group

37,300

1,252

WMI Holdings Corp. (a)

4,454

11

 

19,984

Real Estate Investment Trusts - 1.0%

Altisource Residential Corp. Class B

250,010

5,163

American Tower Corp.

15,700

1,556

Boston Properties, Inc.

26,800

3,683

Digital Realty Trust, Inc.

51,800

3,438

Duke Realty LP

48,200

1,030

InfraReit, Inc.

18,400

499

Outfront Media, Inc.

25,812

773

Sun Communities, Inc.

37,142

2,510

 

18,652

Real Estate Management & Development - 0.2%

CBRE Group, Inc. (a)

121,548

4,164

Thrifts & Mortgage Finance - 0.0%

Ocwen Financial Corp. (a)

43,800

357

Washington Mutual, Inc. (a)

130,000

0

 

357

TOTAL FINANCIALS

199,899

HEALTH CARE - 10.1%

Biotechnology - 3.2%

Actelion Ltd.

6,168

738

Alexion Pharmaceuticals, Inc. (a)

40,964

7,389

Amgen, Inc.

71,105

11,215

Biogen Idec, Inc. (a)

26,775

10,967

BioMarin Pharmaceutical, Inc. (a)

29,309

3,138

Celgene Corp. (a)

86,700

10,537

Gilead Sciences, Inc. (a)

136,385

14,120

Vertex Pharmaceuticals, Inc. (a)

28,900

3,452

 

61,556

Health Care Equipment & Supplies - 1.8%

Boston Scientific Corp. (a)

507,549

8,578

Edwards Lifesciences Corp. (a)

17,914

2,383

Medtronic PLC

191,899

14,889

Quidel Corp. (a)

27,800

714

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

The Cooper Companies, Inc.

22,628

$ 3,710

Zimmer Holdings, Inc.

28,200

3,395

 

33,669

Health Care Providers & Services - 1.8%

Brookdale Senior Living, Inc. (a)

75,164

2,819

Cigna Corp.

66,382

8,074

HCA Holdings, Inc. (a)

59,907

4,286

Henry Schein, Inc. (a)

21,744

3,045

McKesson Corp.

49,982

11,431

UnitedHealth Group, Inc.

44,800

5,091

 

34,746

Life Sciences Tools & Services - 0.6%

Agilent Technologies, Inc.

80,800

3,411

Thermo Fisher Scientific, Inc.

56,290

7,318

 

10,729

Pharmaceuticals - 2.7%

AbbVie, Inc.

35,711

2,161

Actavis PLC (a)

52,619

15,331

Allergan, Inc.

5,800

1,350

Bristol-Myers Squibb Co.

181,094

11,032

Mallinckrodt PLC (a)

49,000

5,719

Merck & Co., Inc.

53,244

3,117

Roche Holding AG (participation certificate)

8,911

2,428

Shire PLC

52,438

4,230

Teva Pharmaceutical Industries Ltd. sponsored ADR

85,600

4,881

 

50,249

TOTAL HEALTH CARE

190,949

INDUSTRIALS - 6.3%

Aerospace & Defense - 0.8%

Meggitt PLC

721,499

6,071

TransDigm Group, Inc.

44,168

9,578

 

15,649

Air Freight & Logistics - 0.4%

FedEx Corp.

41,481

7,341

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Electrical Equipment - 1.1%

AMETEK, Inc.

292,986

$ 15,569

Hubbell, Inc. Class B

42,150

4,797

 

20,366

Industrial Conglomerates - 1.7%

Danaher Corp.

205,692

17,953

Roper Industries, Inc.

86,280

14,458

 

32,411

Machinery - 0.9%

Deere & Co.

83,900

7,601

Pall Corp.

43,891

4,425

WABCO Holdings, Inc. (a)

41,200

4,813

 

16,839

Professional Services - 0.3%

Verisk Analytics, Inc. (a)

71,228

5,115

Road & Rail - 0.8%

CSX Corp.

111,579

3,828

J.B. Hunt Transport Services, Inc.

138,103

11,808

 

15,636

Trading Companies & Distributors - 0.3%

HD Supply Holdings, Inc. (a)

232,300

6,854

TOTAL INDUSTRIALS

120,211

INFORMATION TECHNOLOGY - 12.6%

Communications Equipment - 1.3%

Cisco Systems, Inc.

331,509

9,783

QUALCOMM, Inc.

218,479

15,842

 

25,625

Electronic Equipment & Components - 0.4%

Samsung SDI Co. Ltd.

5,587

693

TE Connectivity Ltd.

75,530

5,448

Trimble Navigation Ltd. (a)

54,000

1,412

 

7,553

Internet Software & Services - 3.2%

58.com, Inc. ADR (a)

24,773

1,033

Alibaba Group Holding Ltd. sponsored ADR

102,400

8,716

ChannelAdvisor Corp. (a)

59,255

586

Cvent, Inc. (a)

110,622

3,203

Demandware, Inc. (a)

19,750

1,248

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Facebook, Inc. Class A (a)

181,613

$ 14,342

Five9, Inc.

82,100

320

Google, Inc. Class C (a)

44,180

24,670

HomeAway, Inc. (a)

70,500

2,185

Opower, Inc. (e)

144,881

2,176

Twitter, Inc. (a)

10,600

510

Wix.com Ltd. (a)

23,533

431

Zoopla Property Group PLC (e)

232,735

661

 

60,081

IT Services - 0.4%

Fidelity National Information Services, Inc.

11,600

784

Lionbridge Technologies, Inc. (a)

47,939

270

Sabre Corp.

154,694

3,366

Total System Services, Inc.

68,900

2,632

 

7,052

Semiconductors & Semiconductor Equipment - 1.8%

Broadcom Corp. Class A

27,800

1,257

Marvell Technology Group Ltd.

764,100

12,317

Micron Technology, Inc. (a)

41,287

1,266

NVIDIA Corp.

121,900

2,689

NXP Semiconductors NV (a)

62,376

5,295

Qorvo, Inc. (a)

167,620

11,633

STMicroelectronics NV (NY Shares) unit

85,400

759

 

35,216

Software - 1.9%

Activision Blizzard, Inc.

29,900

697

Adobe Systems, Inc. (a)

75,854

6,000

Autodesk, Inc. (a)

42,400

2,724

Citrix Systems, Inc. (a)

8,200

522

CommVault Systems, Inc. (a)

8,034

388

Fleetmatics Group PLC (a)

25,800

1,063

Imperva, Inc. (a)

81,800

3,771

Intuit, Inc.

66,200

6,463

Oracle Corp.

68,796

3,015

salesforce.com, Inc. (a)

114,299

7,930

Xero Ltd. (a)(e)

102,706

1,919

Yodlee, inc. (e)

39,400

508

Zendesk, Inc.

50,600

1,251

 

36,251

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Technology Hardware, Storage & Peripherals - 3.6%

Apple, Inc.

425,652

$ 54,676

Electronics for Imaging, Inc. (a)

44,909

1,823

Hewlett-Packard Co.

208,100

7,250

Samsung Electronics Co. Ltd.

1,793

2,210

Western Digital Corp.

18,800

2,011

 

67,970

TOTAL INFORMATION TECHNOLOGY

239,748

MATERIALS - 2.9%

Chemicals - 2.4%

Airgas, Inc.

88,617

10,388

Cabot Corp.

8,928

403

CF Industries Holdings, Inc.

7,100

2,174

E.I. du Pont de Nemours & Co.

79,800

6,212

Eastman Chemical Co.

42,974

3,200

Ecolab, Inc.

77,100

8,908

FMC Corp.

48,895

3,100

LyondellBasell Industries NV Class A

32,543

2,796

Methanex Corp.

23,900

1,300

Monsanto Co.

40,778

4,911

W.R. Grace & Co. (a)

22,781

2,259

 

45,651

Construction Materials - 0.1%

Eagle Materials, Inc.

21,000

1,649

Containers & Packaging - 0.2%

Graphic Packaging Holding Co.

90,090

1,359

Rock-Tenn Co. Class A

43,248

2,969

 

4,328

Metals & Mining - 0.2%

Nucor Corp.

52,100

2,450

TOTAL MATERIALS

54,078

TELECOMMUNICATION SERVICES - 1.2%

Diversified Telecommunication Services - 1.0%

Cogent Communications Group, Inc.

22,700

834

inContact, Inc. (a)

76,417

895

Common Stocks - continued

Shares

Value (000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Level 3 Communications, Inc. (a)

36,052

$ 1,942

Verizon Communications, Inc.

328,798

16,259

 

19,930

Wireless Telecommunication Services - 0.2%

T-Mobile U.S., Inc. (a)

73,550

2,429

Telephone & Data Systems, Inc.

19,437

494

 

2,923

TOTAL TELECOMMUNICATION SERVICES

22,853

UTILITIES - 1.8%

Electric Utilities - 0.8%

Edison International

33,767

2,170

Exelon Corp.

112,200

3,806

NextEra Energy, Inc.

60,300

6,239

PPL Corp.

108,000

3,683

 

15,898

Gas Utilities - 0.1%

National Fuel Gas Co.

20,936

1,348

Independent Power and Renewable Electricity Producers - 0.1%

Calpine Corp. (a)

17,000

360

NRG Energy, Inc.

78,330

1,878

 

2,238

Multi-Utilities - 0.8%

Dominion Resources, Inc.

68,649

4,949

NiSource, Inc.

69,397

2,978

PG&E Corp.

44,975

2,417

Sempra Energy

43,909

4,751

 

15,095

TOTAL UTILITIES

34,579

TOTAL COMMON STOCKS

(Cost $984,234)


1,264,013

Preferred Stocks - 0.1%

Shares

Value (000s)

Convertible Preferred Stocks - 0.1%

ENERGY - 0.1%

Oil, Gas & Consumable Fuels - 0.1%

Southwestern Energy Co. Series B 6.25% (a)

30,000

$ 1,635

INFORMATION TECHNOLOGY - 0.0%

Software - 0.0%

MongoDB, Inc. Series F, 8.00% (a)(m)

16,802

151

TOTAL CONVERTIBLE PREFERRED STOCKS

1,786

Nonconvertible Preferred Stocks - 0.0%

CONSUMER STAPLES - 0.0%

Beverages - 0.0%

Ambev SA sponsored ADR

95,450

616

TOTAL PREFERRED STOCKS

(Cost $2,289)


2,402

Nonconvertible Bonds - 12.5%

 

Principal
Amount (000s)

 

CONSUMER DISCRETIONARY - 0.9%

Automobiles - 0.3%

Daimler Finance North America LLC:

1.45% 8/1/16 (f)

$ 231

233

2.875% 3/10/21 (f)

900

928

General Motors Co.:

3.5% 10/2/18

350

361

6.25% 10/2/43

58

72

General Motors Financial Co., Inc.:

2.625% 7/10/17

110

111

3% 9/25/17

252

258

3.15% 1/15/20

741

749

3.25% 5/15/18

180

184

3.5% 7/10/19

400

411

4% 1/15/25

494

507

4.25% 5/15/23

200

210

4.375% 9/25/21

1,659

1,763

4.75% 8/15/17

195

207

 

5,994

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Diversified Consumer Services - 0.0%

Ingersoll-Rand Global Holding Co. Ltd.:

2.875% 1/15/19

$ 35

$ 36

4.25% 6/15/23

249

268

 

304

Media - 0.6%

AOL Time Warner, Inc. 7.625% 4/15/31

500

705

Comcast Corp.:

3.6% 3/1/24

1,000

1,074

4.75% 3/1/44

500

577

4.95% 6/15/16

15

16

6.45% 3/15/37

238

325

COX Communications, Inc. 3.25% 12/15/22 (f)

136

137

DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19

440

504

Discovery Communications LLC:

3.25% 4/1/23

51

51

6.35% 6/1/40

236

288

NBCUniversal, Inc.:

5.15% 4/30/20

431

496

6.4% 4/30/40

309

425

News America Holdings, Inc. 7.75% 12/1/45

621

950

News America, Inc.:

6.15% 3/1/37

235

303

6.15% 2/15/41

186

242

Thomson Reuters Corp.:

1.3% 2/23/17

122

122

3.85% 9/29/24

319

329

Time Warner Cable, Inc.:

4% 9/1/21

630

668

5.85% 5/1/17

104

113

6.55% 5/1/37

320

386

6.75% 7/1/18

439

504

8.25% 4/1/19

700

855

Time Warner, Inc.:

5.875% 11/15/16

12

13

6.5% 11/15/36

232

302

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Viacom, Inc.:

2.5% 9/1/18

$ 46

$ 47

3.5% 4/1/17

583

607

 

10,039

TOTAL CONSUMER DISCRETIONARY

16,337

CONSUMER STAPLES - 0.3%

Beverages - 0.0%

Heineken NV:

1.4% 10/1/17 (f)

182

182

2.75% 4/1/23 (f)

191

188

SABMiller Holdings, Inc. 3.75% 1/15/22 (f)

285

298

 

668

Food & Staples Retailing - 0.1%

CVS Health Corp. 2.25% 12/5/18

282

288

Walgreens Boots Alliance, Inc.:

1.75% 11/17/17

109

110

2.7% 11/18/19

245

249

3.3% 11/18/21

291

299

3.8% 11/18/24

222

231

 

1,177

Food Products - 0.0%

ConAgra Foods, Inc.:

1.9% 1/25/18

131

131

3.2% 1/25/23

110

108

 

239

Tobacco - 0.2%

Altria Group, Inc.:

2.85% 8/9/22

262

262

4% 1/31/24

212

227

4.25% 8/9/42

262

264

4.75% 5/5/21

300

334

5.375% 1/31/44

364

431

9.7% 11/10/18

769

989

Reynolds American, Inc.:

3.25% 11/1/22

187

187

4.75% 11/1/42

289

293

6.15% 9/15/43

143

173

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Tobacco - continued

Reynolds American, Inc.: - continued

6.75% 6/15/17

$ 23

$ 26

7.25% 6/15/37

409

537

 

3,723

TOTAL CONSUMER STAPLES

5,807

ENERGY - 2.1%

Energy Equipment & Services - 0.1%

DCP Midstream LLC:

4.75% 9/30/21 (f)

364

344

5.35% 3/15/20 (f)

1,027

1,012

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

371

379

5% 10/1/21

146

158

6.5% 4/1/20

24

28

Transocean, Inc. 5.05% 12/15/16

238

238

 

2,159

Oil, Gas & Consumable Fuels - 2.0%

Anadarko Petroleum Corp. 6.375% 9/15/17

673

753

BP Capital Markets PLC:

1.674% 2/13/18

1,284

1,287

2.315% 2/13/20

1,873

1,880

3.535% 11/4/24

1,443

1,482

3.814% 2/10/24

359

376

4.5% 10/1/20

173

191

4.742% 3/11/21

300

334

Canadian Natural Resources Ltd.:

1.75% 1/15/18

178

176

3.8% 4/15/24

619

627

Cenovus Energy, Inc. 5.7% 10/15/19

122

136

DCP Midstream Operating LP:

2.5% 12/1/17

168

163

2.7% 4/1/19

181

171

3.875% 3/15/23

164

149

Duke Energy Field Services:

5.375% 10/15/15 (f)

10

10

6.45% 11/3/36 (f)

375

347

El Paso Natural Gas Co. 5.95% 4/15/17

7

7

Empresa Nacional de Petroleo 4.375% 10/30/24 (f)

350

362

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Enable Midstream Partners LP:

2.4% 5/15/19 (f)

$ 114

$ 111

3.9% 5/15/24 (f)

121

119

Enbridge Energy Partners LP 4.2% 9/15/21

438

457

EnLink Midstream Partners LP 2.7% 4/1/19

572

570

Enterprise Products Operating LP:

2.55% 10/15/19

85

86

3.75% 2/15/25

285

296

Gulfstream Natural Gas System LLC 6.95% 6/1/16 (f)

7

7

Marathon Petroleum Corp. 5.125% 3/1/21

215

242

Motiva Enterprises LLC 5.75% 1/15/20 (f)

156

171

MPLX LP 4% 2/15/25

77

78

Nakilat, Inc. 6.067% 12/31/33 (f)

279

325

Nexen, Inc. 5.2% 3/10/15

7

7

Petro-Canada 6.05% 5/15/18

150

169

Petrobras Global Finance BV:

1.8806% 5/20/16 (i)

425

404

3% 1/15/19

40

35

3.25% 3/17/17

1,490

1,388

4.375% 5/20/23

596

491

4.875% 3/17/20

2,084

1,850

5.625% 5/20/43

569

454

7.25% 3/17/44

2,755

2,490

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

354

348

5.375% 1/27/21

3,302

2,971

5.75% 1/20/20

611

564

5.875% 3/1/18

228

219

6.125% 10/6/16

100

100

7.875% 3/15/19

399

404

Petroleos Mexicanos:

3.125% 1/23/19

58

59

3.5% 7/18/18

463

478

3.5% 7/23/20 (f)

2,675

2,723

3.5% 1/30/23

285

279

4.5% 1/23/26 (f)

1,314

1,337

4.875% 1/24/22

237

252

4.875% 1/18/24

410

436

5.5% 1/21/21

369

405

5.5% 6/27/44

648

658

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petroleos Mexicanos: - continued

5.625% 1/23/46 (f)

$ 249

$ 255

6% 3/5/20

175

198

6.375% 1/23/45

2,366

2,647

6.5% 6/2/41

661

745

8% 5/3/19

241

289

Phillips 66 Co. 4.3% 4/1/22

338

369

Phillips 66 Partners LP 2.646% 2/15/20

42

42

Plains All American Pipeline LP/PAA Finance Corp.:

3.65% 6/1/22

173

179

6.125% 1/15/17

205

222

Southwestern Energy Co.:

3.3% 1/23/18

200

203

4.05% 1/23/20

363

372

Spectra Energy Capital, LLC 5.65% 3/1/20

10

11

Spectra Energy Partners, LP:

2.95% 6/15/16

69

71

2.95% 9/25/18

63

65

4.6% 6/15/21

90

99

Suncor Energy, Inc. 6.1% 6/1/18

395

447

The Williams Companies, Inc.:

3.7% 1/15/23

116

108

4.55% 6/24/24

1,308

1,278

Western Gas Partners LP 5.375% 6/1/21

441

492

Williams Partners LP 4.3% 3/4/24

278

286

 

37,812

TOTAL ENERGY

39,971

FINANCIALS - 7.0%

Banks - 3.2%

Banco Nacional de Desenvolvimento Economico e Social:

4% 4/14/19 (f)

600

599

5.5% 7/12/20 (f)

3,200

3,316

5.75% 9/26/23 (f)

332

338

6.5% 6/10/19 (f)

129

138

Bank of America Corp.:

2.6% 1/15/19

648

658

2.65% 4/1/19

183

186

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Banks - continued

Bank of America Corp.: - continued

3.3% 1/11/23

$ 947

$ 960

3.875% 3/22/17

1,060

1,112

4.1% 7/24/23

352

378

4.2% 8/26/24

474

491

4.25% 10/22/26

418

428

5.65% 5/1/18

205

228

5.75% 12/1/17

2,655

2,936

5.875% 1/5/21

170

199

6.5% 8/1/16

300

322

Bank of America NA 5.3% 3/15/17

420

451

Bank of Tokyo-Mitsubishi UFJ Ltd.:

1.7% 3/5/18 (f)

1,362

1,361

2.3% 3/5/20 (f)

1,360

1,357

Barclays Bank PLC 2.5% 2/20/19

200

204

Barclays PLC 2.75% 11/8/19

356

360

Capital One NA:

1.65% 2/5/18

2,362

2,358

2.95% 7/23/21

541

548

Citigroup, Inc.:

1.3% 11/15/16

568

567

1.8% 2/5/18

10,500

10,475

1.85% 11/24/17

2,353

2,357

2.5% 7/29/19

1,199

1,213

3.953% 6/15/16

397

411

4.05% 7/30/22

151

157

4.75% 5/19/15

544

549

5.3% 5/6/44

751

840

5.5% 9/13/25

142

161

6.125% 5/15/18

212

239

Citizens Financial Group, Inc. 4.15% 9/28/22 (f)

216

225

Credit Suisse AG 6% 2/15/18

1,164

1,293

Discover Bank 4.2% 8/8/23

259

277

Fifth Third Bancorp 8.25% 3/1/38

94

142

HBOS PLC 6.75% 5/21/18 (f)

180

202

HSBC Holdings PLC 4.25% 3/14/24

200

211

HSBC U.S.A., Inc. 1.625% 1/16/18

314

314

Huntington Bancshares, Inc. 7% 12/15/20

97

117

Huntington National Bank:

1.7% 2/26/18

3,052

3,051

2.4% 4/1/20

4,000

4,010

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Banks - continued

JPMorgan Chase & Co.:

1.625% 5/15/18

$ 720

$ 717

2% 8/15/17

300

304

2.2% 10/22/19

201

201

2.35% 1/28/19

190

193

3.15% 7/5/16

430

442

3.25% 9/23/22

503

514

3.875% 9/10/24

1,003

1,023

4.125% 12/15/26

1,465

1,504

4.25% 10/15/20

182

199

4.35% 8/15/21

601

657

4.5% 1/24/22

134

148

4.625% 5/10/21

179

199

4.95% 3/25/20

804

901

JPMorgan Chase Bank 6% 10/1/17

250

277

KeyBank NA 5.45% 3/3/16

294

307

Marshall & Ilsley Bank 5% 1/17/17

259

274

MUFG Americas Holdings Corp.:

1.625% 2/9/18

151

151

2.25% 2/10/20

509

508

Regions Bank:

6.45% 6/26/37

652

815

7.5% 5/15/18

1,282

1,483

Regions Financial Corp.:

2% 5/15/18

382

380

5.75% 6/15/15

73

74

Royal Bank of Scotland Group PLC:

5.125% 5/28/24

1,416

1,500

6% 12/19/23

490

549

6.1% 6/10/23

470

527

6.125% 12/15/22

694

783

Wells Fargo & Co.:

1.25% 7/20/16

1,200

1,207

3.676% 6/15/16

160

166

4.48% 1/16/24

30

33

 

61,775

Capital Markets - 1.7%

Affiliated Managers Group, Inc.:

3.5% 8/1/25

580

577

4.25% 2/15/24

399

422

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Deutsche Bank AG London Branch 1.875% 2/13/18

$ 2,780

$ 2,783

Goldman Sachs Group, Inc.:

1.748% 9/15/17

2,964

2,955

2.55% 10/23/19

3,392

3,417

2.625% 1/31/19

1,538

1,564

2.9% 7/19/18

526

541

5.25% 7/27/21

96

109

5.625% 1/15/17

500

537

5.95% 1/18/18

32

36

6% 6/15/20

600

699

6.15% 4/1/18

36

40

6.75% 10/1/37

2,000

2,590

JPMorgan Chase & Co. 1.7% 3/1/18

3,810

3,808

Lazard Group LLC:

4.25% 11/14/20

324

345

6.85% 6/15/17

100

111

Morgan Stanley:

1.875% 1/5/18

454

456

2.125% 4/25/18

2,454

2,472

2.375% 7/23/19

1,201

1,208

2.65% 1/27/20

1,715

1,729

3.75% 2/25/23

438

458

4.3% 1/27/45

447

459

4.35% 9/8/26

2,000

2,085

4.875% 11/1/22

687

746

5% 11/24/25

93

102

5.45% 1/9/17

480

515

5.75% 1/25/21

268

312

6.625% 4/1/18

600

682

 

31,758

Consumer Finance - 0.4%

Discover Financial Services:

3.85% 11/21/22

462

475

3.95% 11/6/24

283

289

5.2% 4/27/22

42

46

6.45% 6/12/17

1,019

1,119

Ford Motor Credit Co. LLC:

1.5% 1/17/17

239

239

1.7% 5/9/16

561

564

2.875% 10/1/18

400

412

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Consumer Finance - continued

General Electric Capital Corp.:

3.5% 6/29/15

$ 192

$ 194

4.625% 1/7/21

378

426

4.65% 10/17/21

154

175

6% 8/7/19

1,000

1,173

Hyundai Capital America:

1.45% 2/6/17 (f)

476

475

1.625% 10/2/15 (f)

122

123

1.875% 8/9/16 (f)

92

93

2.125% 10/2/17 (f)

134

135

2.875% 8/9/18 (f)

163

167

Synchrony Financial:

1.875% 8/15/17

95

95

3% 8/15/19

140

142

3.75% 8/15/21

211

219

4.25% 8/15/24

213

223

 

6,784

Insurance - 0.7%

AIA Group Ltd. 2.25% 3/11/19 (f)

200

200

American International Group, Inc.:

2.3% 7/16/19

1,563

1,582

4.875% 6/1/22

107

122

5.6% 10/18/16

318

341

Aon Corp.:

3.125% 5/27/16

376

385

3.5% 9/30/15

151

153

5% 9/30/20

133

150

Five Corners Funding Trust 4.419% 11/15/23 (f)

360

387

Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(i)

12

12

Hartford Financial Services Group, Inc.:

5.125% 4/15/22

408

469

5.375% 3/15/17

6

6

Liberty Mutual Group, Inc. 5% 6/1/21 (f)

421

467

Marsh & McLennan Companies, Inc. 4.8% 7/15/21

233

262

Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (f)

107

130

MetLife, Inc.:

1.903% 12/15/17

84

85

4.368% 9/15/23

305

339

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

MetLife, Inc.: - continued

4.75% 2/8/21

$ 137

$ 155

6.75% 6/1/16

290

311

Metropolitan Life Global Funding I 3% 1/10/23 (f)

223

226

Pacific Life Insurance Co. 9.25% 6/15/39 (f)

203

327

Pacific LifeCorp:

5.125% 1/30/43 (f)

441

500

6% 2/10/20 (f)

409

463

Prudential Financial, Inc.:

2.3% 8/15/18

51

52

4.5% 11/16/21

200

221

4.75% 9/17/15

500

511

6.2% 11/15/40

134

172

7.375% 6/15/19

2,734

3,301

Symetra Financial Corp. 6.125% 4/1/16 (f)

38

40

Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (f)

505

580

TIAA Asset Management Finance LLC:

2.95% 11/1/19 (f)

120

122

4.125% 11/1/24 (f)

174

184

Unum Group:

4% 3/15/24

600

625

5.625% 9/15/20

270

306

5.75% 8/15/42

458

553

7.125% 9/30/16

19

21

 

13,760

Real Estate Investment Trusts - 0.4%

Alexandria Real Estate Equities, Inc.:

2.75% 1/15/20

84

84

4.6% 4/1/22

108

114

American Campus Communities Operating Partnership LP 3.75% 4/15/23

101

102

AvalonBay Communities, Inc.:

3.625% 10/1/20

160

168

4.2% 12/15/23

360

385

Boston Properties, Inc. 3.85% 2/1/23

432

455

Camden Property Trust:

2.95% 12/15/22

135

133

4.25% 1/15/24

304

323

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

DDR Corp.:

3.625% 2/1/25

$ 242

$ 242

4.625% 7/15/22

247

265

4.75% 4/15/18

313

336

7.5% 4/1/17

203

226

9.625% 3/15/16

106

115

Duke Realty LP:

3.625% 4/15/23

180

183

3.75% 12/1/24

160

164

3.875% 10/15/22

310

323

4.375% 6/15/22

207

222

5.95% 2/15/17

1,561

1,690

6.5% 1/15/18

285

320

6.75% 3/15/20

12

14

8.25% 8/15/19

127

157

Equity One, Inc.:

3.75% 11/15/22

400

404

5.375% 10/15/15

47

48

Federal Realty Investment Trust 5.9% 4/1/20

95

110

HCP, Inc. 3.75% 2/1/16

201

206

Health Care REIT, Inc.:

2.25% 3/15/18

147

148

4.7% 9/15/17

48

52

HRPT Properties Trust 5.75% 11/1/15

50

50

Lexington Corporate Properties Trust 4.4% 6/15/24

131

136

Omega Healthcare Investors, Inc.:

4.5% 1/15/25 (f)

130

133

4.95% 4/1/24

123

131

Retail Opportunity Investments Partnership LP:

4% 12/15/24

99

101

5% 12/15/23

67

73

Simon Property Group LP 4.125% 12/1/21

229

251

Weingarten Realty Investors 3.375% 10/15/22

68

68

WP Carey, Inc. 4% 2/1/25

549

545

 

8,477

Real Estate Management & Development - 0.6%

BioMed Realty LP:

2.625% 5/1/19

217

218

3.85% 4/15/16

552

568

4.25% 7/15/22

163

172

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

BioMed Realty LP: - continued

6.125% 4/15/20

$ 126

$ 145

Brandywine Operating Partnership LP:

3.95% 2/15/23

359

364

4.1% 10/1/24

401

409

4.55% 10/1/29

401

416

4.95% 4/15/18

281

302

5.7% 5/1/17

1,000

1,082

6% 4/1/16

86

90

Digital Realty Trust LP:

4.5% 7/15/15

172

173

5.25% 3/15/21

201

222

ERP Operating LP:

2.375% 7/1/19

246

248

4.625% 12/15/21

540

600

4.75% 7/15/20

265

294

5.375% 8/1/16

117

124

5.75% 6/15/17

567

622

Essex Portfolio LP 5.5% 3/15/17

113

122

Liberty Property LP:

3.375% 6/15/23

185

184

4.125% 6/15/22

177

185

4.4% 2/15/24

418

446

4.75% 10/1/20

394

428

5.125% 3/2/15

7

7

5.5% 12/15/16

12

13

6.625% 10/1/17

281

314

Mack-Cali Realty LP:

2.5% 12/15/17

252

253

3.15% 5/15/23

426

388

4.5% 4/18/22

108

109

7.75% 8/15/19

23

27

Mid-America Apartments LP 4.3% 10/15/23

73

78

Post Apartment Homes LP 3.375% 12/1/22

70

70

Prime Property Funding, Inc. 5.7% 4/15/17 (f)

94

100

Reckson Operating Partnership LP 6% 3/31/16

114

119

Regency Centers LP 5.25% 8/1/15

124

126

Tanger Properties LP:

3.75% 12/1/24

300

308

3.875% 12/1/23

160

166

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

Tanger Properties LP: - continued

6.125% 6/1/20

$ 478

$ 554

Ventas Realty LP:

1.55% 9/26/16

250

252

3.5% 2/1/25

143

144

4.375% 2/1/45

85

86

Ventas Realty LP/Ventas Capital Corp.:

2% 2/15/18

227

229

4% 4/30/19

114

122

 

10,879

TOTAL FINANCIALS

133,433

HEALTH CARE - 0.5%

Biotechnology - 0.1%

Amgen, Inc.:

1.25% 5/22/17

378

378

2.2% 5/22/19

969

975

 

1,353

Health Care Equipment & Supplies - 0.0%

Becton, Dickinson & Co. 2.675% 12/15/19

147

150

Health Care Providers & Services - 0.2%

Aetna, Inc. 2.75% 11/15/22

178

178

Express Scripts Holding Co. 4.75% 11/15/21

458

511

HCA Holdings, Inc.:

3.75% 3/15/19

375

383

4.25% 10/15/19

1,330

1,377

6.5% 2/15/20

1,250

1,422

Medco Health Solutions, Inc.:

2.75% 9/15/15

38

38

4.125% 9/15/20

259

277

UnitedHealth Group, Inc. 2.75% 2/15/23

59

60

 

4,246

Life Sciences Tools & Services - 0.0%

Thermo Fisher Scientific, Inc.:

1.3% 2/1/17

102

102

2.4% 2/1/19

65

66

4.15% 2/1/24

99

106

 

274

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

HEALTH CARE - continued

Pharmaceuticals - 0.2%

AbbVie, Inc.:

1.75% 11/6/17

$ 358

$ 361

2.9% 11/6/22

368

368

Bayer U.S. Finance LLC:

2.375% 10/8/19 (f)

286

291

3% 10/8/21 (f)

209

216

3.375% 10/8/24 (f)

200

208

Mylan, Inc. 1.35% 11/29/16

120

120

Perrigo Co. PLC 2.3% 11/8/18

200

202

Perrigo Finance PLC:

3.5% 12/15/21

200

207

3.9% 12/15/24

200

207

Watson Pharmaceuticals, Inc. 1.875% 10/1/17

120

120

Zoetis, Inc.:

1.875% 2/1/18

57

57

3.25% 2/1/23

138

137

 

2,494

TOTAL HEALTH CARE

8,517

INDUSTRIALS - 0.1%

Aerospace & Defense - 0.0%

BAE Systems Holdings, Inc. 6.375% 6/1/19 (f)

309

358

Airlines - 0.0%

Continental Airlines, Inc.:

6.648% 3/15/19

10

10

6.9% 7/2/19

2

3

U.S. Airways pass-thru trust certificates:

6.85% 1/30/18

9

9

8.36% 1/20/19

7

7

 

29

Trading Companies & Distributors - 0.1%

Air Lease Corp.:

2.125% 1/15/18

203

202

3.75% 2/1/22

505

513

3.875% 4/1/21

387

399

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

INDUSTRIALS - continued

Trading Companies & Distributors - continued

Air Lease Corp.: - continued

4.25% 9/15/24

$ 336

$ 346

4.75% 3/1/20

338

364

 

1,824

TOTAL INDUSTRIALS

2,211

INFORMATION TECHNOLOGY - 0.0%

Electronic Equipment & Components - 0.0%

Amphenol Corp. 3.125% 9/15/21

131

134

Tyco Electronics Group SA 2.375% 12/17/18

74

75

 

209

MATERIALS - 0.2%

Chemicals - 0.0%

The Dow Chemical Co.:

4.125% 11/15/21

343

371

4.25% 11/15/20

186

203

 

574

Construction Materials - 0.0%

CRH America, Inc. 6% 9/30/16

15

16

Metals & Mining - 0.2%

Corporacion Nacional del Cobre de Chile (Codelco):

3.875% 11/3/21 (f)

360

380

4.25% 7/17/42 (f)

200

195

4.875% 11/4/44 (f)

1,401

1,489

5.625% 10/18/43 (f)

254

298

Freeport-McMoRan, Inc. 2.3% 11/14/17

289

285

Rio Tinto Finance (U.S.A.) PLC 2.25% 12/14/18

356

359

Vale Overseas Ltd.:

4.375% 1/11/22

200

194

6.25% 1/23/17

503

535

 

3,735

TOTAL MATERIALS

4,325

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - 0.5%

Diversified Telecommunication Services - 0.5%

CenturyLink, Inc.:

5.15% 6/15/17

$ 28

$ 30

6% 4/1/17

70

75

6.15% 9/15/19

226

247

Embarq Corp.:

7.082% 6/1/16

236

252

7.995% 6/1/36

1,725

2,018

Verizon Communications, Inc.:

1.35% 6/9/17

591

591

2.625% 2/21/20 (f)

615

620

4.5% 9/15/20

1,100

1,210

5.012% 8/21/54 (f)

1,641

1,714

6.25% 4/1/37

187

235

6.4% 9/15/33

346

439

6.55% 9/15/43

1,418

1,866

 

9,297

Wireless Telecommunication Services - 0.0%

America Movil S.A.B. de CV:

2.375% 9/8/16

276

280

3.125% 7/16/22

255

260

 

540

TOTAL TELECOMMUNICATION SERVICES

9,837

UTILITIES - 0.9%

Electric Utilities - 0.5%

American Electric Power Co., Inc.:

1.65% 12/15/17

147

148

2.95% 12/15/22

140

140

American Transmission Systems, Inc. 5% 9/1/44 (f)

148

170

Dayton Power & Light Co. 1.875% 9/15/16

119

120

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (f)

273

321

6.4% 9/15/20 (f)

850

1,008

Edison International 3.75% 9/15/17

226

239

Eversource Energy:

1.45% 5/1/18

96

95

2.8% 5/1/23

435

429

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

FirstEnergy Corp.:

2.75% 3/15/18

$ 846

$ 862

4.25% 3/15/23

1,949

2,052

7.375% 11/15/31

608

776

FirstEnergy Solutions Corp. 6.05% 8/15/21

649

721

LG&E and KU Energy LLC:

2.125% 11/15/15

255

257

3.75% 11/15/20

49

51

Monongahela Power Co. 4.1% 4/15/24 (f)

131

143

Nevada Power Co. 6.5% 5/15/18

165

189

NV Energy, Inc. 6.25% 11/15/20

115

135

Pepco Holdings, Inc. 2.7% 10/1/15

240

242

PPL Capital Funding, Inc. 3.4% 6/1/23

207

213

Progress Energy, Inc. 4.4% 1/15/21

823

910

TECO Finance, Inc.:

4% 3/15/16

96

99

5.15% 3/15/20

141

158

 

9,478

Gas Utilities - 0.0%

Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21

122

128

Texas Eastern Transmission LP 6% 9/15/17 (f)

326

360

 

488

Multi-Utilities - 0.4%

Dominion Resources, Inc.:

1.25% 3/15/17

700

701

2.5566% 9/30/66 (i)

823

765

7.5% 6/30/66 (i)

26

27

MidAmerican Energy Holdings, Co.:

1.1% 5/15/17

523

522

2% 11/15/18

403

407

National Grid PLC 6.3% 8/1/16

183

198

NiSource Finance Corp.:

4.45% 12/1/21

155

168

5.25% 2/15/43

357

428

5.45% 9/15/20

468

536

5.8% 2/1/42

199

249

6.4% 3/15/18

58

66

6.8% 1/15/19

677

797

Nonconvertible Bonds - continued

 

Principal
Amount (000s)

Value (000s)

UTILITIES - continued

Multi-Utilities - continued

PG&E Corp. 2.4% 3/1/19

$ 55

$ 55

Puget Energy, Inc.:

6% 9/1/21

457

543

6.5% 12/15/20

147

176

Sempra Energy:

2.3% 4/1/17

376

384

2.875% 10/1/22

1,154

1,156

Wisconsin Energy Corp. 6.25% 5/15/67 (i)

21

21

 

7,199

TOTAL UTILITIES

17,165

TOTAL NONCONVERTIBLE BONDS

(Cost $229,572)


237,812

U.S. Government and Government Agency Obligations - 7.6%

 

U.S. Treasury Inflation-Protected Obligations - 1.0%

U.S. Treasury Inflation-Indexed Bonds 0.75% 2/15/45

2,800

2,856

U.S. Treasury Inflation-Indexed Bonds 1.375% 2/15/44

6,550

7,843

U.S. Treasury Inflation-Indexed Notes 0.125% 7/15/24

7,243

7,180

TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS

17,879

U.S. Treasury Obligations - 6.6%

U.S. Treasury Bills, yield at date of purchase 0.01% to 0.03% 4/2/15 to 5/14/15 (h)

1,850

1,850

U.S. Treasury Bonds:

2.5% 2/15/45

2,817

2,762

3% 11/15/44

7,714

8,367

3.125% 8/15/44

1,741

1,929

U.S. Treasury Notes:

0.875% 1/15/18

41,472

41,346

1% 2/15/18

51,720

51,716

1.25% 1/31/20 (e)

5,065

5,004

U.S. Government and Government Agency Obligations - continued

 

Principal
Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

2% 2/15/25

$ 4,721

$ 4,721

2.25% 11/15/24

7,600

7,766

TOTAL U.S. TREASURY OBLIGATIONS

125,461

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $142,679)


143,340

U.S. Government Agency - Mortgage Securities - 1.4%

 

Fannie Mae - 1.1%

2.053% 6/1/36 (i)

8

9

2.389% 7/1/37 (i)

15

16

2.5% 1/1/28 to 12/1/29

293

300

2.5% 3/1/30 (g)

400

410

2.542% 6/1/42 (i)

44

45

2.96% 11/1/40 (i)

21

22

2.982% 9/1/41 (i)

23

24

3% 1/1/43 to 8/1/43

842

859

3.059% 10/1/41 (i)

15

16

3.235% 7/1/41 (i)

39

41

3.318% 10/1/41 (i)

18

19

3.5% 2/1/26 to 1/1/44

15,412

16,262

3.5% 3/1/45 (g)

1,100

1,153

3.563% 7/1/41 (i)

39

41

4% 1/1/42 to 12/1/43

269

291

4% 3/1/45 (g)

600

641

4.5% 12/1/23 to 1/1/43

95

103

4.5% 3/1/45 (g)

400

435

4.5% 3/1/45

500

543

6% 11/1/35 to 8/1/37

337

387

TOTAL FANNIE MAE

21,617

Freddie Mac - 0.2%

3.136% 10/1/35 (i)

19

20

3.227% 9/1/41 (i)

23

25

3.242% 4/1/41 (i)

29

30

3.298% 6/1/41 (i)

30

32

3.468% 5/1/41 (i)

33

34

U.S. Government Agency - Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Freddie Mac - continued

3.5% 9/1/42 to 2/1/44

$ 2,533

$ 2,668

3.626% 6/1/41 (i)

38

41

3.71% 5/1/41 (i)

31

32

4% 2/1/41 to 9/1/44

590

633

4.5% 3/1/44

186

202

5% 11/1/40

237

262

TOTAL FREDDIE MAC

3,979

Ginnie Mae - 0.1%

3% 6/20/42 to 1/20/45

293

302

3.5% 10/20/42 to 8/20/43

283

298

4% 9/20/40 to 1/20/41

253

272

4.5% 5/20/41

197

214

5.5% 6/15/35

109

125

TOTAL GINNIE MAE

1,211

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $26,636)


26,807

Asset-Backed Securities - 0.3%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6383% 4/25/35 (i)

30

26

Ally Master Owner Trust Series 2012-3 Class A2, 1.21% 6/15/17

370

371

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.2183% 12/25/33 (i)

2

2

Series 2004-R2 Class M3, 0.9933% 4/25/34 (i)

4

3

Series 2005-R2 Class M1, 0.621% 4/25/35 (i)

8

8

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.9495% 3/25/34 (i)

2

2

Series 2004-W11 Class M2, 1.221% 11/25/34 (i)

25

25

Series 2004-W7 Class M1, 0.9933% 5/25/34 (i)

27

26

Series 2006-W4 Class A2C, 0.331% 5/25/36 (i)

53

18

Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 0.9933% 4/25/34 (i)

81

74

Capital Auto Receivables Trust Series 2013-3 Class A3, 1.31% 12/20/17

360

361

Asset-Backed Securities - continued

 

Principal
Amount (000s)

Value (000s)

Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.311% 12/25/36 (i)

$ 82

$ 54

CFC LLC:

Series 2013-1A Class A, 1.65% 7/17/17 (f)

12

12

Series 2013-2A Class A, 1.75% 11/15/17 (f)

121

121

Countrywide Home Loans, Inc.:

Series 2004-3 Class M4, 1.626% 4/25/34 (i)

3

3

Series 2004-4 Class M2, 0.966% 6/25/34 (i)

5

5

Series 2004-7 Class AF5, 5.868% 1/25/35

117

121

Fannie Mae Series 2004-T5 Class AB3, 0.9831% 5/28/35 (i)

2

2

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3445% 8/25/34 (i)

13

12

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 0.996% 3/25/34 (i)

0*

0*

Ford Credit Floorplan Master Owner Trust:

Series 2013-3 Class A1, 0.79% 6/15/17

700

700

Series 2015-1 Class B, 1.62% 1/15/20

615

612

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.9033% 1/25/35 (i)

43

35

Class M4, 1.1883% 1/25/35 (i)

16

10

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6416% 2/25/47 (f)(i)

60

52

GE Business Loan Trust:

Series 2003-1 Class A, 0.603% 4/15/31 (f)(i)

2

2

Series 2006-2A:

Class A, 0.353% 11/15/34 (f)(i)

23

22

Class B, 0.453% 11/15/34 (f)(i)

8

8

Class C, 0.553% 11/15/34 (f)(i)

14

12

Class D, 0.923% 11/15/34 (f)(i)

5

5

Home Equity Asset Trust:

Series 2003-3 Class M1, 1.461% 8/25/33 (i)

22

21

Series 2003-5 Class A2, 0.871% 12/25/33 (i)

1

1

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.361% 1/25/37 (i)

56

36

JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.2983% 11/25/36 (i)

27

27

KeyCorp Student Loan Trust:

Series 1999-A Class A2, 0.5846% 12/27/29 (i)

9

9

Series 2006-A Class 2C, 1.4046% 3/27/42 (i)

43

8

MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4683% 5/25/37 (i)

18

0*

Asset-Backed Securities - continued

 

Principal
Amount (000s)

Value (000s)

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.146% 7/25/34 (i)

$ 3

$ 2

Series 2006-FM1 Class A2B, 0.2783% 4/25/37 (i)

19

17

Series 2006-OPT1 Class A1A, 0.691% 6/25/35 (i)

41

39

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.8483% 8/25/34 (i)

3

2

Series 2005-NC1 Class M1, 0.831% 1/25/35 (i)

16

15

Series 2005-NC2 Class B1, 1.926% 3/25/35 (i)

11

0*

New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.681% 9/25/35 (i)

65

58

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 2.0433% 9/25/34 (i)

24

23

Class M4, 2.3433% 9/25/34 (i)

31

19

Series 2005-WCH1 Class M4, 1.001% 1/25/36 (i)

67

59

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.971% 4/25/33 (i)

0*

0*

Santander Drive Auto Receivables Trust:

Series 2014-4 Class C, 2.6% 11/16/20

223

224

Series 2015-1 Class A3, 1.27% 2/15/19

1,441

1,442

Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9633% 3/25/35 (i)

39

36

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.1906% 6/15/33 (i)

35

34

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.896% 9/25/34 (i)

2

2

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0283% 9/25/34 (i)

1

1

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8156% 4/6/42 (f)(i)

60

32

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0561% 10/25/44 (f)(i)

81

82

TOTAL ASSET-BACKED SECURITIES

(Cost $4,500)


4,893

Collateralized Mortgage Obligations - 0.1%

 

Private Sponsor - 0.1%

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.731% 1/25/35 (i)

55

54

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.5591% 10/25/34 (i)

21

21

Collateralized Mortgage Obligations - continued

 

Principal
Amount (000s)

Value (000s)

Private Sponsor - continued

Granite Master Issuer PLC floater:

Series 2006-1A Class C2, 1.3735% 12/20/54 (f)(i)

$ 271

$ 268

Series 2006-2 Class C1, 1.1135% 12/20/54 (i)

242

238

Series 2006-3 Class C2, 1.1735% 12/20/54 (i)

50

49

Series 2006-4:

Class C1, 0.9335% 12/20/54 (i)

103

100

Class M1, 0.5135% 12/20/54 (i)

44

43

Series 2007-1:

Class 1C1, 0.7735% 12/20/54 (i)

84

81

Class 1M1, 0.4735% 12/20/54 (i)

54

52

Class 2C1, 1.0335% 12/20/54 (i)

38

37

Class 2M1, 0.6735% 12/20/54 (i)

70

69

Series 2007-2 Class 2C1, 1.033% 12/17/54 (i)

97

95

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7066% 1/20/44 (i)

19

20

JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.4665% 8/25/36 (i)

48

42

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.381% 5/25/47 (i)

21

19

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.341% 2/25/37 (i)

32

30

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4583% 7/25/35 (i)

55

52

RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.5163% 6/10/35 (f)(i)

10

10

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2236% 7/20/34 (i)

1

1

Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5122% 4/25/33 (i)

8

8

TOTAL PRIVATE SPONSOR

1,289

U.S. Government Agency - 0.0%

Fannie Mae planned amortization class Series 2002-9 Class PC, 6% 3/25/17

3

4

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $304)


1,293

Commercial Mortgage Securities - 1.6%

 

Principal
Amount (000s)

Value (000s)

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5642% 2/14/43 (i)(k)

$ 21

$ 0*

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2:

Class A4, 5.729% 5/10/45 (i)

251

259

Class AAB, 5.711% 5/10/45 (i)

9

9

Series 2006-3 Class A4, 5.889% 7/10/44

1,810

1,894

Series 2006-5 Class A2, 5.317% 9/10/47

100

100

Series 2006-6 Class A3, 5.369% 10/10/45

150

152

Series 2006-4 Class A1A, 5.617% 7/10/46 (i)

838

884

Series 2005-3 Class A3B, 5.09% 7/10/43 (i)

233

234

Series 2006-6 Class E, 5.619% 10/10/45 (f)

43

6

Series 2007-3:

Class A3, 5.5907% 6/10/49 (i)

89

89

Class A4, 5.5907% 6/10/49 (i)

740

790

Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49

256

273

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.446% 12/25/33 (f)(i)

2

2

Series 2005-4A:

Class A2, 0.561% 1/25/36 (f)(i)

38

34

Class B1, 1.571% 1/25/36 (f)(i)

2

1

Class M1, 0.621% 1/25/36 (f)(i)

12

10

Class M2, 0.641% 1/25/36 (f)(i)

4

3

Class M3, 0.671% 1/25/36 (f)(i)

5

4

Class M4, 0.781% 1/25/36 (f)(i)

3

2

Class M5, 0.821% 1/25/36 (f)(i)

3

2

Class M6, 0.871% 1/25/36 (f)(i)

3

2

Series 2006-3A Class M4, 0.601% 10/25/36 (f)(i)

2

0*

Series 2007-1 Class A2, 0.441% 3/25/37 (f)(i)

22

19

Series 2007-2A:

Class A1, 0.441% 7/25/37 (f)(i)

23

19

Class A2, 0.491% 7/25/37 (f)(i)

21

17

Class M1, 0.541% 7/25/37 (f)(i)

8

3

Class M2, 0.581% 7/25/37 (f)(i)

4

1

Class M3, 0.661% 7/25/37 (f)(i)

3

0*

Series 2007-3:

Class A2, 0.461% 7/25/37 (f)(i)

24

20

Class M1, 0.481% 7/25/37 (f)(i)

4

3

Class M2, 0.511% 7/25/37 (f)(i)

5

3

Class M3, 0.541% 7/25/37 (f)(i)

7

3

Commercial Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-3:

Class M4, 0.671% 7/25/37 (f)(i)

$ 11

$ 4

Class M5, 0.771% 7/25/37 (f)(i)

6

1

Series 2007-4A:

Class M1, 1.1183% 9/25/37 (f)(i)

9

2

Class M2, 1.2183% 9/25/37 (f)(i)

3

0*

Series 2007-5A, Class IO, 4.186% 10/25/37 (f)(i)(k)

212

4

Bear Stearns Commercial Mortgage Securities Trust:

sequential payer Series 2007-PW16 Class A4, 5.7072% 6/11/40 (i)

44

47

Series 2006-T22 Class A4, 5.5714% 4/12/38 (i)

8

9

Series 2007-PW18 Class X2, 0.2845% 6/11/50 (f)(i)(k)

3,453

12

Series 2007-T28 Class X2, 0.1365% 9/11/42 (f)(i)(k)

2,150

3

C-BASS Trust floater Series 2006-SC1 Class A, 0.4383% 5/25/36 (f)(i)

16

16

CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.1665% 12/15/27 (f)(i)

188

188

Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4:

Class A3, 5.293% 12/11/49

7

7

Class A4, 5.322% 12/11/49

2,380

2,509

Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (i)

84

82

COMM Mortgage Trust pass-thru certificates:

floater Series 2005-F10A Class J, 1.023% 4/15/17 (f)(i)

6

6

sequential payer Series 2006-C7 Class A1A, 5.7449% 6/10/46 (i)

253

264

Credit Suisse Commercial Mortgage Trust:

sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (i)

1

1

Series 2007-C5 Class A4, 5.695% 9/15/40 (i)

68

73

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.523% 4/15/22 (f)(i)

51

51

Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0% 9/15/34 (f)(i)(k)

0*

0

Credit Suisse Mortgage Capital Certificates Series 2007-C1 Class B, 5.487% 2/15/40 (f)(i)

115

13

GAHR Commercial Mortgage Trust Series 2015-NRF:

Class BFX, 3.3822% 12/15/19 (f)

510

516

Class CFX, 3.3822% 12/15/19 (f)

433

431

Class DFX, 3.3822% 12/15/19 (f)

367

359

Commercial Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49

$ 1,665

$ 1,764

Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A4, 5.8188% 7/10/38 (i)

441

458

GS Mortgage Securities Corp. II Series 2006-GG6 Class A4, 5.553% 4/10/38 (i)

134

137

GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39

78

83

Hilton U.S.A. Trust Series 2013-HLT:

Class CFX, 3.7141% 11/5/30 (f)

100

102

Class DFX, 4.4065% 11/5/30 (f)

765

779

JPMorgan Chase Commercial Mortgage Securities Trust:

floater:

Series 2006-FL2A:

Class E, 0.453% 11/15/18 (f)(i)

6

6

Class F, 0.503% 11/15/18 (f)(i)

14

14

Class G, 0.533% 11/15/18 (f)(i)

13

12

Class H, 0.673% 11/15/18 (f)(i)

10

9

Series 2014-BXH:

Class C, 1.823% 4/15/27 (f)(i)

130

130

Class D, 2.423% 4/15/27 (f)(i)

277

276

sequential payer:

Series 2006-CB16 Class A1A, 5.546% 5/12/45

482

508

Series 2006-CB17 Class A4, 5.429% 12/12/43

231

242

Series 2006-LDP8 Class A1A, 5.397% 5/15/45

833

871

Series 2006-LDP9 Class A3, 5.336% 5/15/47

30

32

Series 2007-CB18 Class A4, 5.44% 6/12/47

67

71

Series 2007-CB19 Class A4, 5.6985% 2/12/49 (i)

1,130

1,213

Series 2007-LD11 Class A4, 5.7953% 6/15/49 (i)

790

846

Series 2007-LDPX Class A3, 5.42% 1/15/49

521

554

Series 2006-LDP7 Class A4, 5.8754% 4/15/45 (i)

700

727

Series 2007-LDP10 Class CS, 5.466% 1/15/49 (i)

4

0*

LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.9055% 7/15/44 (i)

58

63

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2006-C6 Class A4, 5.372% 9/15/39

34

36

Series 2006-C7 Class A2, 5.3% 11/15/38

39

39

Series 2007-C1 Class A4, 5.424% 2/15/40

533

566

Series 2007-C6 Class A4, 5.858% 7/15/40 (i)

87

92

Series 2007-C7 Class A3, 5.866% 9/15/45

440

482

Merrill Lynch Mortgage Trust:

Series 2005-LC1 Class F, 5.4198% 1/12/44 (f)(i)

65

63

Commercial Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Merrill Lynch Mortgage Trust: - continued

Series 2007-C1 Class A4, 5.837% 6/12/50 (i)

$ 354

$ 381

Merrill Lynch-CFC Commercial Mortgage Trust:

sequential payer:

Series 2006-4:

Class A3, 5.172% 12/12/49 (i)

38

40

Class ASB, 5.133% 12/12/49 (i)

16

17

Series 2007-5 Class A4, 5.378% 8/12/48

59

63

Series 2007-6 Class A4, 5.485% 3/12/51 (i)

550

589

Series 2007-7 Class A4, 5.7473% 6/12/50 (i)

263

283

Series 2007-6 Class B, 5.635% 3/12/51 (i)

75

23

Series 2007-7 Class B, 5.7473% 6/12/50 (i)

7

0*

Series 2007-8 Class A3, 5.8862% 8/12/49 (i)

65

71

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.373% 7/15/19 (f)(i)

16

14

Series 2007-XLFA:

Class C, 0.327% 10/15/20 (f)(i)

0*

0*

Class D, 0.357% 10/15/20 (f)(i)

30

30

Class E, 0.417% 10/15/20 (f)(i)

38

37

Class F, 0.467% 10/15/20 (f)(i)

23

22

Class G, 0.507% 10/15/20 (f)(i)

28

28

Class H, 0.597% 10/15/20 (f)(i)

18

17

Class J, 0.747% 10/15/20 (f)(i)

10

9

sequential payer Series 2007-HQ11 Class A31, 5.439% 2/12/44 (i)

7

7

Series 2006-IQ11 Class A4, 5.6614% 10/15/42 (i)

19

19

Series 2007-HQ12 Class A2, 5.6074% 4/12/49 (i)

89

89

Series 2007-IQ14:

Class A4, 5.692% 4/15/49

2,968

3,181

Class B, 5.7403% 4/15/49 (i)

18

2

Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (f)

694

930

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2006-WL7A:

Class G, 0.533% 9/15/21 (f)(i)

8

8

Class J, 0.773% 9/15/21 (f)(i)

18

17

Series 2007-WHL8:

Class F, 0.653% 6/15/20 (f)(i)

168

161

Class LXR1, 0.873% 6/15/20 (f)(i)

9

8

sequential payer:

Series 2006-C28 Class A4, 5.572% 10/15/48

306

321

Commercial Mortgage Securities - continued

 

Principal
Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust: - continued

sequential payer:

Series 2006-C29 Class A1A, 5.297% 11/15/48

$ 277

$ 293

Series 2007-C30 Class A5, 5.342% 12/15/43

540

575

Series 2007-C31 Class A4, 5.509% 4/15/47

1,070

1,125

Series 2007-C32 Class A3, 5.7206% 6/15/49 (i)

235

251

Series 2007-C33:

Class A4, 5.9428% 2/15/51 (i)

1,094

1,167

Class A5, 5.9428% 2/15/51 (i)

50

54

Series 2005-C19 Class B, 4.892% 5/15/44

75

75

Series 2005-C22:

Class B, 5.3597% 12/15/44 (i)

166

164

Class F, 5.3597% 12/15/44 (f)(i)

125

32

Series 2006-C26 Class A1A, 6.009% 6/15/45 (i)

405

425

Series 2006-C27 Class A1A, 5.749% 7/15/45 (i)

698

733

Series 2007-C31 Class C, 5.6742% 4/15/47 (i)

21

21

Series 2007-C31A Class A2, 5.421% 4/15/47

156

156

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $30,194)


31,049

Municipal Securities - 0.9%

 

Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (i)

100

101

California Gen. Oblig.:

Series 2009, 7.35% 11/1/39

70

106

7.3% 10/1/39

535

807

7.5% 4/1/34

465

705

7.55% 4/1/39

1,375

2,176

7.6% 11/1/40

895

1,442

7.625% 3/1/40

2,275

3,598

Chicago Gen. Oblig.:

(Taxable Proj.):

Series 2008 B, 5.63% 1/1/22

80

86

Series 2010 C1, 7.781% 1/1/35

395

479

Series 2012 B, 5.432% 1/1/42

105

98

6.314% 1/1/44

515

539

Illinois Gen. Oblig.:

Series 2003:

4.35% 6/1/18

35

36

5.1% 6/1/33

2,375

2,397

Series 2010-1, 6.63% 2/1/35

525

592

Municipal Securities - continued

 

Principal
Amount (000s)

Value (000s)

Illinois Gen. Oblig.: - continued

Series 2010-3:

5.547% 4/1/19

$ 10

$ 11

6.725% 4/1/35

805

914

7.35% 7/1/35

220

263

Series 2011:

4.961% 3/1/16

35

36

5.365% 3/1/17

15

16

5.665% 3/1/18

330

360

5.877% 3/1/19

915

1,014

Series 2013:

2.69% 12/1/17

110

112

3.14% 12/1/18

115

116

TOTAL MUNICIPAL SECURITIES

(Cost $15,222)


16,004

Foreign Government and Government Agency Obligations - 0.0%

 

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

(Cost $365)

365

367

Bank Notes - 0.1%

 

Discover Bank (Delaware) 3.2% 8/9/21

598

611

KeyBank NA 2.25% 3/16/20

1,500

1,503

TOTAL BANK NOTES

(Cost $2,095)

2,114

Fixed-Income Funds - 6.1%

Shares

 

Fidelity High Income Central Fund 2 (j)

321,303

37,030

Fidelity Mortgage Backed Securities Central Fund (j)

718,717

78,944

TOTAL FIXED-INCOME FUNDS

(Cost $107,426)


115,974

Money Market Funds - 4.0%

Shares

Value (000s)

Fidelity Cash Central Fund, 0.13% (b)

68,602,442

$ 68,602

Fidelity Securities Lending Cash Central Fund, 0.13% (b)(d)

7,718,935

7,719

TOTAL MONEY MARKET FUNDS

(Cost $76,321)


76,321

Cash Equivalents - 0.2%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.07%, dated 2/27/15 due 3/2/15 (Collateralized by U.S. Government Obligations) # (c)
(Cost $4,040)

$ 4,040


4,040

TOTAL INVESTMENT PORTFOLIO - 101.4%

(Cost $1,625,877)

1,926,429

NET OTHER ASSETS (LIABILITIES) - (1.4)%

(25,874)

NET ASSETS - 100%

$ 1,900,555

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value (000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Purchased

Equity Index Contracts

294 CME E-mini S&P 500 Index Contracts (United States)

March 2015

$ 30,911

$ 822

 

The face value of futures purchased as a percentage of net assets is 1.6%

Swaps

Credit Default Swaps

Underlying Reference

Rating (1)

Expiration
Date

Clearinghouse/
Counterparty

Fixed
Payment
Received/
(Paid)

Notional
Amount(2)
(000s)

Value
(000s)(1)

Upfront
Premium
Received/
(Paid)
(000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Sell Protection

Ameriquest Mortgage Securities Inc Series 2004-R11 Class M9

C

Dec. 2034

Credit Suisse International

4.25%

$ 15

$ (15)

$ -

$ (15)

 

(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's® Investors Service, Inc. Where Moody's ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

 

(2) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

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) Includes investment made with cash collateral received from securities on loan.

(d) Investment made with cash collateral received from securities on loan.

(e) Security or a portion of the security is on loan at period end.

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $34,717,000 or 1.8% of net assets.

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

(h) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,318,000.

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

(j) 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.

(k) 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.

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

(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 $1,132,000 or 0.1% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition
Date

Acquisition
Cost (000s)

Legend Pictures LLC

9/23/10

$ 311

MongoDB, Inc. Series F, 8.00%

10/2/13

$ 281

* Amount represents less than $1,000.

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value
(Amounts in
thousands)

$4,040,000 due 3/02/15 at 0.07%

Commerz Markets LLC

$ 4,040

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

$ 41

Fidelity High Income Central Fund 2

1,058

Fidelity Mortgage Backed Securities Central Fund

985

Fidelity Securities Lending Cash Central Fund

69

Total

$ 2,153

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 High Income Central Fund 2

$ 36,948

$ 1,076

$ -

$ 37,030

4.5%

Fidelity Mortgage Backed Securities Central Fund

78,954

18,594

19,728

78,944

1.8%

Total

$ 115,902

$ 19,670

$ 19,728

$ 115,974

Other Information

The following is a summary of the inputs used, as of February 28, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 176,517

$ 175,536

$ -

$ 981

Consumer Staples

122,502

119,274

3,228

-

Energy

104,928

103,069

1,859

-

Financials

199,899

199,899

-

-

Health Care

190,949

184,291

6,658

-

Industrials

120,211

120,211

-

-

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Information Technology

$ 239,899

$ 239,748

$ -

$ 151

Materials

54,078

54,078

-

-

Telecommunication Services

22,853

22,853

-

-

Utilities

34,579

34,579

-

-

Corporate Bonds

237,812

-

237,812

-

U.S. Government and Government Agency Obligations

143,340

-

143,340

-

U.S. Government Agency - Mortgage Securities

26,807

-

26,807

-

Asset-Backed Securities

4,893

-

4,861

32

Collateralized Mortgage Obligations

1,293

-

1,293

-

Commercial Mortgage Securities

31,049

-

30,994

55

Municipal Securities

16,004

-

16,004

-

Foreign Government and Government Agency Obligations

367

-

367

-

Bank Notes

2,114

-

2,114

-

Fixed-Income Funds

115,974

115,974

-

-

Money Market Funds

76,321

76,321

-

-

Cash Equivalents

4,040

-

4,040

-

Total Investments in Securities:

$ 1,926,429

$ 1,445,833

$ 479,377

$ 1,219

Derivative Instruments:

Assets

Futures Contracts

$ 822

$ 822

$ -

$ -

Liabilities

Swaps

$ (15)

$ -

$ (15)

$ -

Total Derivative Instruments:

$ 807

$ 822

$ (15)

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure /
 Derivative Type
(Amounts in thousands)

Value

 

Asset

Liability

Equity Risk

Futures Contracts (a)

$ 822

$ -

Credit Risk

Swaps (b)

-

(15)

Total Value of Derivatives

$ 822

$ (15)

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

(b) For bi-lateral OTC swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.

Other Information

The composition of credit quality ratings as a percentage of net assets is as follows (Unaudited):

U.S. Government and U.S.
Government Agency Obligations

13.4%

AAA,AA,A

5.7%

BBB

8.3%

BB

1.9%

B

1.3%

CCC,CC,C

0.1%

D

0.0%

Not Rated

0.0%

Equities

66.6%

Short-Term Investments and Net
Other Assets

2.7%

 

100.0%

We have used ratings from Moody's Investors Service, Inc. Where Moody's ratings are not available, we have used S&P ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Percentages are adjusted for the effect of futures contracts, if applicable.

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

United States of America

88.9%

United Kingdom

2.3%

Ireland

2.1%

Cayman Islands

1.1%

Bermuda

1.0%

Others (Individually Less Than 1%)

4.6%

 

100.0%

The information in the above table is based on the combined investments of the Fund and it's pro-rata share of the investments of Fidelity's fixed-income funds.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amounts)

February 28, 2015 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including securities loaned of $11,214 and repurchase agreements of $4,040) - See accompanying schedule:

Unaffiliated issuers (cost $1,442,130)

$ 1,734,134

 

Fidelity Central Funds (cost $183,747)

192,295

 

Total Investments (cost $1,625,877)

 

$ 1,926,429

Cash

 

3

Receivable for investments sold

11,585

Receivable for fund shares sold

4,188

Dividends receivable

1,509

Interest receivable

3,028

Distributions receivable from Fidelity Central Funds

13

Prepaid expenses

2

Other receivables

45

Total assets

1,946,802

 

 

 

Liabilities

Payable for investments purchased
Regular delivery

$ 26,021

Delayed delivery

3,169

Payable for fund shares redeemed

3,402

Bi-lateral OTC swaps, at value

15

Accrued management fee

619

Distribution and service plan fees payable

693

Payable for daily variation margin for derivative instruments

100

Other affiliated payables

341

Other payables and accrued expenses

127

Collateral on securities loaned, at value

11,760

Total liabilities

46,247

 

 

 

Net Assets

$ 1,900,555

Net Assets consist of:

 

Paid in capital

$ 1,567,905

Undistributed net investment income

4,359

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

26,937

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

301,354

Net Assets

$ 1,900,555

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

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

 Amounts in thousands (except per-share amounts)

February 28, 2015 (Unaudited)

 

 

 

Calculation of Maximum Offering Price

Class A:
Net Asset Value and redemption price per share ($415,070 ÷ 21,120.4 shares)

$ 19.65

 

 

 

Maximum offering price per share (100/94.25 of $19.65)

$ 20.85

Class T:
Net Asset Value and redemption price per share ($1,030,182 ÷ 51,928.7 shares)

$ 19.84

 

 

 

Maximum offering price per share (100/96.50 of $19.84)

$ 20.56

Class B:
Net Asset Value and offering price per share ($9,862 ÷ 501.4 shares)A

$ 19.67

 

 

 

Class C:
Net Asset Value and offering price per share ($219,728 ÷ 11,246.7 shares)A

$ 19.54

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($192,664 ÷ 9,641.7 shares)

$ 19.98

 

 

 

Class Z:
Net Asset Value, offering price and redemption price per share ($33,049 ÷ 1,653.9 shares)

$ 19.98

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

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

Semiannual Report

Statement of Operations

 Amounts in thousands Six months ended February 28, 2015 (Unaudited)

 

 

 

Investment Income

 

 

Dividends

 

$ 9,409

Interest

 

5,756

Income from Fidelity Central Funds

 

2,153

Total income

 

17,318

 

 

 

Expenses

Management fee

$ 3,473

Transfer agent fees

1,617

Distribution and service plan fees

3,887

Accounting and security lending fees

342

Custodian fees and expenses

49

Independent trustees' compensation

3

Registration fees

81

Audit

54

Legal

6

Miscellaneous

10

Total expenses before reductions

9,522

Expense reductions

(23)

9,499

Net investment income (loss)

7,819

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

62,517

Fidelity Central Funds

207

 

Foreign currency transactions

(32)

Futures contracts

1,038

Total net realized gain (loss)

 

63,730

Change in net unrealized appreciation (depreciation) on:

Investment securities

9,751

Futures contracts

105

Delayed delivery commitments

6

 

Total change in net unrealized appreciation (depreciation)

 

9,862

Net gain (loss)

73,592

Net increase (decrease) in net assets resulting from operations

$ 81,411

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

 Amounts in thousands

Six months ended
February 28, 2015
(Unaudited)

Year ended
August 31,
2014

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 7,819

$ 15,357

Net realized gain (loss)

63,730

98,962

Change in net unrealized appreciation (depreciation)

9,862

136,177

Net increase (decrease) in net assets resulting
from operations

81,411

250,496

Distributions to shareholders from net investment income

(5,963)

(15,035)

Distributions to shareholders from net realized gain

(102,365)

(56,875)

Total distributions

(108,328)

(71,910)

Share transactions - net increase (decrease)

280,336

162,208

Total increase (decrease) in net assets

253,419

340,794

 

 

 

Net Assets

Beginning of period

1,647,136

1,306,342

End of period (including undistributed net investment income of $4,359 and undistributed net investment income of $2,503, respectively)

$ 1,900,555

$ 1,647,136

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

Semiannual Report

Financial Highlights - Class A

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 20.10

$ 17.84

$ 16.31

$ 14.83

$ 13.29

$ 12.61

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .11

  .23

  .22

  .24

  .23

  .24

Net realized and unrealized gain (loss)

  .74

  3.03

  1.52

  1.48

  1.55

  .70

Total from investment operations

  .85

  3.26

  1.74

  1.72

  1.78

  .94

Distributions from net investment income

  (.09)

  (.23)

  (.21)

  (.24)

  (.23)

  (.24)

Distributions from net realized gain

  (1.21)

  (.77)

  -

  -

  (.01)

  (.02)

Total distributions

  (1.30)

  (1.00)

  (.21)

  (.24)

  (.24)

  (.26)I

Net asset value, end of period

$ 19.65

$ 20.10

$ 17.84

$ 16.31

$ 14.83

$ 13.29

Total ReturnB, C, D

  4.71%

  18.93%

  10.74%

  11.72%

  13.34%

  7.44%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  .91%A

  .92%

  .95%

  .98%

  1.00%

  1.00%

Expenses net of fee waivers, if any

  .91%A

  .92%

  .95%

  .98%

  1.00%

  1.00%

Expenses net of all reductions

  .91%A

  .92%

  .94%

  .98%

  .99%

  .99%

Net investment income (loss)

  1.09%A

  1.22%

  1.27%

  1.56%

  1.53%

  1.76%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 415

$ 366

$ 270

$ 249

$ 215

$ 203

Portfolio turnover rateG

  104%A

  79%

  124%

  124%

  146%J

  116%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DTotal returns do not include the effect of the sales charges. ECalculated based on average shares outstanding during the period. FFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. GAmount does not include the portfolio activity of any underlying Fidelity Central Funds. HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ITotal distributions of $.26 per share is comprised of distributions from net investment income of $.243 and distributions from net realized gain of $.015 per share. JThe portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

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

Semiannual Report

Financial Highlights - Class T

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 20.28

$ 17.99

$ 16.44

$ 14.95

$ 13.40

$ 12.70

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .08

  .19

  .18

  .21

  .20

  .21

Net realized and unrealized gain (loss)

  .76

  3.05

  1.54

  1.49

  1.56

  .72

Total from investment operations

  .84

  3.24

  1.72

  1.70

  1.76

  .93

Distributions from net investment income

  (.06)

  (.19)

  (.17)

  (.21)

  (.20)

  (.21)

Distributions from net realized gain

  (1.21)

  (.77)

  -

  -

  (.01)

  (.02)

Total distributions

  (1.28)K

  (.95)J

  (.17)

  (.21)

  (.21)

  (.23)I

Net asset value, end of period

$ 19.84

$ 20.28

$ 17.99

$ 16.44

$ 14.95

$ 13.40

Total ReturnB, C, D

  4.58%

  18.66%

  10.55%

  11.44%

  13.09%

  7.32%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.15%A

  1.15%

  1.17%

  1.19%

  1.20%

  1.23%

Expenses net of fee waivers, if any

  1.15%A

  1.15%

  1.17%

  1.19%

  1.20%

  1.23%

Expenses net of all reductions

  1.14%A

  1.15%

  1.16%

  1.18%

  1.19%

  1.21%

Net investment income (loss)

  .85%A

  .99%

  1.05%

  1.36%

  1.33%

  1.54%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 1,030

$ 960

$ 821

$ 737

$ 673

$ 619

Portfolio turnover rateG

  104%A

  79%

  124%

  124%

  146%L

  116%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DTotal returns do not include the effect of the sales charges. ECalculated based on average shares outstanding during the period. FFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. GAmount does not include the portfolio activity of any underlying Fidelity Central Funds. HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ITotal distributions of $.23 per share is comprised of distributions from net investment income of $.214 and distributions from net realized gain of $.015 per share. JTotal distributions of $.95 per share is comprised of distributions from net investment income of $.185 and distributions from net realized gain of $.768 per share. KTotal distributions of $1.28 per share is comprised of distributions from net investment income of $0.063 and distributions from net realized gain of $1.212 per share. LThe portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

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

Semiannual Report

Financial Highlights - Class B

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 20.11

$ 17.84

$ 16.30

$ 14.81

$ 13.27

$ 12.58

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .03

  .07

  .08

  .12

  .11

  .13

Net realized and unrealized gain (loss)

  .75

  3.03

  1.52

  1.47

  1.54

  .71

Total from investment operations

  .78

  3.10

  1.60

  1.59

  1.65

  .84

Distributions from net investment income

  (.01)

  (.06)

  (.06)

  (.10)

  (.10)

  (.13)

Distributions from net realized gain

  (1.21)

  (.77)

  -

  -

  (.01)

  (.02)

Total distributions

  (1.22)

  (.83)

  (.06)

  (.10)

  (.11)

  (.15)I

Net asset value, end of period

$ 19.67

$ 20.11

$ 17.84

$ 16.30

$ 14.81

$ 13.27

Total ReturnB, C, D

  4.30%

  17.95%

  9.85%

  10.78%

  12.42%

  6.66%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.74%A

  1.76%

  1.78%

  1.78%

  1.80%

  1.82%

Expenses net of fee waivers, if any

  1.74%A

  1.76%

  1.78%

  1.78%

  1.80%

  1.82%

Expenses net of all reductions

  1.74%A

  1.75%

  1.77%

  1.78%

  1.79%

  1.81%

Net investment income (loss)

  .26%A

  .38%

  .44%

  .76%

  .73%

  .94%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 10

$ 11

$ 13

$ 15

$ 19

$ 24

Portfolio turnover rateG

  104%A

  79%

  124%

  124%

  146%J

  116%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DTotal returns do not include the effect of the contingent deferred sales charge. ECalculated based on average shares outstanding during the period. FFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. GAmount does not include the portfolio activity of any underlying Fidelity Central Funds. HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ITotal distributions of $.15 per share is comprised of distributions from net investment income of $.133 and distributions from net realized gain of $.015 per share. JThe portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

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

Semiannual Report

Financial Highlights - Class C

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 19.99

$ 17.76

$ 16.24

$ 14.77

$ 13.23

$ 12.55

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .03

  .09

  .09

  .13

  .12

  .13

Net realized and unrealized gain (loss)

  .75

  3.01

  1.52

  1.46

  1.55

  .71

Total from investment operations

  .78

  3.10

  1.61

  1.59

  1.67

  .84

Distributions from net investment income

  (.02)

  (.10)

  (.09)

  (.12)

  (.12)

  (.15)

Distributions from net realized gain

  (1.21)

  (.77)

  -

  -

  (.01)

  (.02)

Total distributions

  (1.23)

  (.87)

  (.09)

  (.12)

  (.13)

  (.16)I

Net asset value, end of period

$ 19.54

$ 19.99

$ 17.76

$ 16.24

$ 14.77

$ 13.23

Total ReturnB, C, D

  4.34%

  18.01%

  9.93%

  10.81%

  12.59%

  6.69%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.67%A

  1.68%

  1.71%

  1.73%

  1.74%

  1.76%

Expenses net of fee waivers, if any

  1.67%A

  1.68%

  1.71%

  1.73%

  1.74%

  1.76%

Expenses net of all reductions

  1.67%A

  1.68%

  1.70%

  1.72%

  1.73%

  1.75%

Net investment income (loss)

  .33%A

  .46%

  .51%

  .81%

  .79%

  1.00%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 220

$ 160

$ 105

$ 80

$ 69

$ 62

Portfolio turnover rateG

  104%A

  79%

  124%

  124%

  146%J

  116%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DTotal returns do not include the effect of the contingent deferred sales charge. ECalculated based on average shares outstanding during the period. FFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. GAmount does not include the portfolio activity of any underlying Fidelity Central Funds. HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ITotal distributions of $.16 per share is comprised of distributions from net investment income of $.145 and distributions from net realized gain of $.015 per share. JThe portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

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

Semiannual Report

Financial Highlights - Institutional Class

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 20.42

$ 18.11

$ 16.55

$ 15.06

$ 13.49

$ 12.79

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) D

  .13

  .29

  .27

  .29

  .28

  .28

Net realized and unrealized gain (loss)

  .76

  3.06

  1.55

  1.49

  1.57

  .72

Total from investment operations

  .89

  3.35

  1.82

  1.78

  1.85

  1.00

Distributions from net investment income

  (.12)

  (.28)

  (.26)

  (.29)

  (.27)

  (.28)

Distributions from net realized gain

  (1.21)

  (.77)

  -

  -

  (.01)

  (.02)

Total distributions

  (1.33)

  (1.04) I

  (.26)

  (.29)

  (.28)

  (.30) H

Net asset value, end of period

$ 19.98

$ 20.42

$ 18.11

$ 16.55

$ 15.06

$ 13.49

Total ReturnB, C

  4.84%

  19.21%

  11.08%

  11.96%

  13.69%

  7.81%

Ratios to Average Net Assets E, G

 

 

 

 

 

Expenses before reductions

  .65%A

  .66%

  .68%

  .70%

  .71%

  .73%

Expenses net of fee waivers, if any

  .65%A

  .66%

  .68%

  .70%

  .71%

  .73%

Expenses net of all reductions

  .65%A

  .66%

  .67%

  .70%

  .70%

  .72%

Net investment income (loss)

  1.35%A

  1.48%

  1.54%

  1.84%

  1.82%

  2.03%

Supplemental Data

 

 

 

 

 

Net assets, end of period (in millions)

$ 193

$ 124

$ 97

$ 66

$ 42

$ 34

Portfolio turnover rateF

  104%A

  79%

  124%

  124%

  146%J

  116%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. HTotal distributions of $.30 per share is comprised of distributions from net investment income of $.283 and distributions from net realized gain of $.015 per share. ITotal distributions of $1.04 per share is comprised of distributions from net investment income of $.275 and distributions from net realized gain of $.768 per share. JThe portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

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

Semiannual Report

Financial Highlights - Class Z

 

Six months ended
February 28, 2015

Years ended August 31,

 

(Unaudited)

2014

2013G

Selected Per-Share Data

 

 

Net asset value, beginning of period

$ 20.42

$ 18.11

$ 18.56

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .15

  .32

  .01

Net realized and unrealized gain (loss)

  .75

  3.06

  (.46)

Total from investment operations

  .90

  3.38

  (.45)

Distributions from net investment income

  (.13)

  (.31)

  -

Distributions from net realized gain

  (1.21)

  (.77)

  -

Total distributions

  (1.34)

  (1.07)I

  -

Net asset value, end of period

$ 19.98

$ 20.42

$ 18.11

Total ReturnB, C

  4.91%

  19.40%

  (2.42)%

Ratios to Average Net Assets E, H

 

 

Expenses before reductions

  .51%A

  .51%

  .53%A

Expenses net of fee waivers, if any

  .51%A

  .51%

  .53%A

Expenses net of all reductions

  .51%A

  .51%

  .52%A

Net investment income (loss)

  1.49%A

  1.62%

  .85%A

Supplemental Data

 

 

Net assets, end of period (000 omitted)

$ 33,049

$ 26,518

$ 98

Portfolio turnover rateF

  104%A

  79%

  124%

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GFor the period August 13, 2013 (commencement of sale of shares) to August 31, 2013. HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ITotal distributions of $1.07 per share is comprised of distributions from net investment income of $.306 and distributions from net realized gain of $.768 per share.

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

Semiannual Report

Notes to Financial Statements

For the period ended February 28, 2015 (Unaudited)

(Amounts in thousands except percentages)

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund

Investment
Manager

Investment Objective

Investment Practices

Expense
Ratio*

Fidelity High Income Central Fund 2

FMR Co., Inc. (FMRC)

Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities.

Delayed Delivery & When Issued Securities

Loans & Direct Debt Instruments

Restricted Securities

 

Less than .01%

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2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund

Investment
Manager

Investment Objective

Investment Practices

Expense
Ratio*

Fidelity Mortgage Backed Securities Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities.

Delayed Delivery & When Issued Securities

Repurchase Agreements

Swaps

Less than .01%

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

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

3. Significant Accounting Policies.

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

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Investment Valuation - continued

changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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

Level 1 - quoted prices in active markets for identical investments

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

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

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

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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied

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3. Significant Accounting Policies - continued

Investment Valuation - continued

prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of February 28, 2015, is included at the end of the Fund's Schedule of Investments.

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

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

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

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

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Semiannual Report

3. Significant Accounting Policies - continued

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

Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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

Book-tax differences are primarily due to futures transactions, swaps, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales.

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

Gross unrealized appreciation

$ 323,374

Gross unrealized depreciation

(24,192)

Net unrealized appreciation (depreciation) on securities

$ 299,182

 

 

Tax cost

$ 1,627,247

Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Repurchase Agreements - continued

may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

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

New Accounting Pronouncement. In June 2014, the Financial Accounting Standards Board issued Accounting Standard Update No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (the Update). The Update amends the accounting for certain repurchase agreements and expands disclosure requirements for reverse repurchase agreements, securities lending and other similar transactions. The disclosure requirements are effective for annual and interim reporting periods beginning after December 15, 2014. Management is currently evaluating the impact of the Update on the Fund's financial statements and related disclosures.

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts and swaps. Derivatives are investments whose value is primarily

Semiannual Report

4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

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

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

Credit Risk

Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

Equity Risk

Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.

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

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

Primary Risk Exposure /
Derivative Type

Net Realized Gain (Loss)

Change in Net Unrealized
Appreciation (Depreciation)

Credit Risk

 

 

Swaps

$ -

$ -

Equity Risk

 

 

Futures Contracts

1,038

105

Totals (a)

$ 1,038

$ 105

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

Semiannual Report

4. Derivative Instruments - continued

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

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

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow

Semiannual Report

4. Derivative Instruments - continued

Credit Default Swaps - continued

assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $647,665 and $494,176, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .15% of the Fund's average net assets and an annualized group fee rate that averaged .25% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .40% of the Fund's average net assets.

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

 

Distribution
Fee

Service
Fee

Total Fees

Retained
by FDC

Class A

-%

.25%

$ 477

$ 20

Class T

.25%

.25%

2,450

32

Class B

.75%

.25%

50

38

Class C

.75%

.25%

910

248

 

 

 

$ 3,887

$ 338

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

6. Fees and Other Transactions with Affiliates - continued

Sales Load. FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

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

 

Retained
by FDC

Class A

$ 134

Class T

28

Class B*

4

Class C*

14

 

$ 180

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

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

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

 

Amount

% of
Class-Level Average
Net Assets*

Class A

$ 376

.20

Class T

890

.18

Class B

14

.27

Class C

187

.21

Institutional Class

143

.19

Class Z

7

.05

 

$ 1,617

 

* Annualized

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

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

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $7 for the period.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $1 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. The value of securities loaned to FCM at period end was $245. Security lending income represents the income earned on investing cash collateral, less rebates

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

8. Security Lending - continued

paid to borrowers, plus any premium payments received for lending certain types of securities. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $3. Net income from the Fidelity Securities Lending Cash Central Fund during the period, presented in the Statement of Operations as a component of income from Fidelity Central Funds, amounted to $69 (including $33 from securities loaned to FCM).

9. Expense Reductions.

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $23 for the period.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
February 28, 2015

Year ended
August 31, 2014

From net investment income

 

 

Class A

$ 1,664

$ 3,866

Class T

3,095

8,717

Class B

3

39

Class C

148

701

Institutional Class

866

1,632

Class Z

187

80

Total

$ 5,963

$ 15,035

From net realized gain

 

 

Class A

$ 22,655

$ 11,846

Class T

58,592

35,422

Class B

624

522

Class C

10,374

4,798

Institutional Class

8,438

4,283

Class Z

1,682

4

Total

$ 102,365

$ 56,875

Semiannual Report

11. Share Transactions.

Share transactions for each class were as follows:

 

Shares

Shares

Dollars

Dollars

Six months ended
February 28, 2015

Year ended
August 31, 2014

Six months ended
February 28, 2015

Year ended
August 31, 2014

Class A

 

 

 

 

Shares sold

4,555

5,619

$ 88,091

$ 106,689

Reinvestment of distributions

1,252

819

23,206

14,945

Shares redeemed

(2,902)

(3,372)

(56,059)

(64,162)

Net increase (decrease)

2,905

3,066

$ 55,238

$ 57,472

Class T

 

 

 

 

Shares sold

6,615

10,824

$ 128,989

$ 206,801

Reinvestment of distributions

3,210

2,330

60,075

42,769

Shares redeemed

(5,243)

(11,440)

(101,898)

(218,867)

Net increase (decrease)

4,582

1,714

$ 87,166

$ 30,703

Class B

 

 

 

 

Shares sold

61

48

$ 1,162

$ 932

Reinvestment of distributions

30

28

566

499

Shares redeemed

(124)

(249)

(2,393)

(4,713)

Net increase (decrease)

(33)

(173)

$ (665)

$ (3,282)

Class C

 

 

 

 

Shares sold

3,345

3,067

$ 64,009

$ 57,908

Reinvestment of distributions

523

280

9,654

5,062

Shares redeemed

(628)

(1,247)

(12,055)

(23,564)

Net increase (decrease)

3,240

2,100

$ 61,608

$ 39,406

Institutional Class

 

 

 

 

Shares sold

4,365

4,018

$ 85,811

$ 77,571

Reinvestment of distributions

454

308

8,561

5,707

Shares redeemed

(1,230)

(3,655)

(24,277)

(70,640)

Net increase (decrease)

3,589

671

$ 70,095

$ 12,638

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

11. Share Transactions - continued

 

Shares

Shares

Dollars

Dollars

Six months ended
February 28, 2015

Year ended
August 31, 2014

Six months ended
February 28, 2015

Year ended
August 31, 2014

Class Z

 

 

 

 

Shares sold

370

1,348

$ 7,271

$ 26,331

Reinvestment of distributions

99

4

1,869

84

Shares redeemed

(114)

(58)

(2,246)

(1,144)

Net increase (decrease)

355

1,294

$ 6,894

$ 25,271

12. Other.

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

Semiannual Report

Investment Adviser

Fidelity Management &
Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Investments
Money Management, Inc.

FMR Investment Management
(U.K.) Limited

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Limited

General Distributor

Fidelity Distributors Corporation

Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank

New York, NY

(Fidelity Investment logo)(registered trademark)

AIGZ-USAN-0415
1.969413.101

Item 2. Code of Ethics

Not applicable.

Item 3. Audit Committee Financial Expert

Not applicable.

Item 4. Principal Accountant Fees and Services

Not applicable.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Investments

(a) Not applicable.

(b) Not applicable

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series I's Board of Trustees.

Item 11. Controls and Procedures

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

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

Item 12. Exhibits

(a)

(1)

Not applicable.

(a)

(2)

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

(a)

(3)

Not applicable.

(b)

 

Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

SIGNATURES

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

Fidelity Advisor Series I

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

May 7, 2015

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

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

May 7, 2015

By:

/s/Howard J. Galligan III

 

Howard J. Galligan III

 

Chief Financial Officer

 

 

Date:

May 7, 2015

EX-99.CERT 2 ex99.htm

Exhibit EX-99.CERT

I, Kenneth B. Robins, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Advisor Series I;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: May 7, 2015

/s/Kenneth B. Robins

Kenneth B. Robins

President and Treasurer

I, Howard J. Galligan III, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Advisor Series I;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: May 7, 2015

/s/Howard J. Galligan III

Howard J. Galligan III

Chief Financial Officer

EX-99.906 CERT 3 ex906.htm

Exhibit EX-99.906CERT

Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)

In connection with the attached Report of Fidelity Advisor Series I (the "Trust") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report"), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer's knowledge:

1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.

Dated: May 7, 2015

/s/Kenneth B. Robins

Kenneth B. Robins

President and Treasurer

Dated: May 7, 2015

/s/Howard J. Galligan III

Howard J. Galligan III

Chief Financial Officer

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.

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