N-CSRS 1 main.htm

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-3785

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, 2014

Item 1. Reports to Stockholders

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

Balanced Fund -

Class A, Class T, Class B
and Class C

Semiannual Report

February 28, 2014

(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. © 2014 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, 2013 to February 28, 2014).

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, 2013

Ending
Account Value
February 28, 2014

Expenses Paid
During Period*
September 1, 2013 to
February 28, 2014

Class A

.93%

 

 

 

Actual

 

$ 1,000.00

$ 1,127.90

$ 4.91

HypotheticalA

 

$ 1,000.00

$ 1,020.18

$ 4.66

Class T

1.15%

 

 

 

Actual

 

$ 1,000.00

$ 1,126.60

$ 6.06

HypotheticalA

 

$ 1,000.00

$ 1,019.09

$ 5.76

Class B

1.77%

 

 

 

Actual

 

$ 1,000.00

$ 1,122.90

$ 9.32

HypotheticalA

 

$ 1,000.00

$ 1,016.02

$ 8.85

Class C

1.69%

 

 

 

Actual

 

$ 1,000.00

$ 1,123.30

$ 8.90

HypotheticalA

 

$ 1,000.00

$ 1,016.41

$ 8.45

Institutional Class

.66%

 

 

 

Actual

 

$ 1,000.00

$ 1,129.10

$ 3.48

HypotheticalA

 

$ 1,000.00

$ 1,021.52

$ 3.31

Class Z

.52%

 

 

 

Actual

 

$ 1,000.00

$ 1,130.00

$ 2.75

HypotheticalA

 

$ 1,000.00

$ 1,022.22

$ 2.61

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 0.01%.

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, 2014

 

% of fund's
net assets

% of fund's net assets
6 months ago

Google, Inc. Class A

2.1

1.3

Apple, Inc.

2.0

2.5

JPMorgan Chase & Co.

1.6

1.4

Procter & Gamble Co.

1.3

1.4

Bank of America Corp.

1.2

1.2

 

8.2

Top Five Bond Issuers as of February 28, 2014

(with maturities greater than one year)

% of fund's
net assets

% of fund's net assets
6 months ago

U.S. Treasury Obligations

7.7

6.8

Fannie Mae

2.8

5.1

Freddie Mac

1.6

1.6

Ginnie Mae

1.0

1.6

Wachovia Bank Commercial Mortgage Trust

0.4

0.4

 

13.5

Top Five Market Sectors as of February 28, 2014

 

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

15.8

15.7

Information Technology

13.1

13.3

Health Care

10.5

9.3

Consumer Discretionary

9.3

9.0

Energy

8.0

8.3

Asset Allocation (% of fund's net assets)

As of February 28, 2014*

As of August 31, 2013**

qqq1013953

Stocks and
Equity Futures 71.1%

 

qqq1013953

Stocks and
Equity Futures 70.0%

 

qqq1013956

Bonds 25.4%

 

qqq1013956

Bonds 27.7%

 

qqq1013959

Convertible
Securities 0.1%

 

qqq1013959

Convertible
Securities 0.1%

 

qqq1013962

Other Investments 0.2%

 

qqq1013962

Other Investments 0.2%

 

qqq1013965

Short-Term
Investments and
Net Other Assets (Liabilities) 3.2%

 

qqq1013965

Short-Term
Investments and
Net Other Assets (Liabilities) 2.0%

 

* Foreign investments

10.6%

 

** Foreign investments

10.0%

 

qqq1013968

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, 2014 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 69.7%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 8.2%

Automobiles - 0.1%

Tesla Motors, Inc. (a)

5,145

$ 1,260

Diversified Consumer Services - 0.3%

H&R Block, Inc.

152,781

4,834

Hotels, Restaurants & Leisure - 1.7%

Extended Stay America, Inc. unit

189,339

4,824

McDonald's Corp.

86,675

8,247

Wynn Resorts Ltd.

21,809

5,288

Yum! Brands, Inc.

111,592

8,267

 

26,626

Internet & Catalog Retail - 0.4%

Liberty Interactive Corp. Series A (a)

217,597

6,354

Media - 3.3%

Comcast Corp. Class A

39,996

2,067

DIRECTV (a)

98,949

7,678

Legend Pictures LLC (a)(l)(m)

415

748

The Madison Square Garden Co. Class A (a)

62,357

3,555

The Walt Disney Co.

131,689

10,642

Time Warner, Inc.

132,159

8,872

Twenty-First Century Fox, Inc. Class A

310,043

10,399

Viacom, Inc. Class B (non-vtg.)

78,518

6,888

 

50,849

Multiline Retail - 1.1%

Dollar General Corp. (a)

126,135

7,555

Target Corp.

137,418

8,594

 

16,149

Specialty Retail - 0.6%

TJX Companies, Inc.

146,480

9,003

Textiles, Apparel & Luxury Goods - 0.7%

Fossil Group, Inc. (a)

29,723

3,415

lululemon athletica, Inc. (a)(e)

52,886

2,661

Oxford Industries, Inc.

16,730

1,309

PVH Corp.

24,019

3,037

 

10,422

TOTAL CONSUMER DISCRETIONARY

125,497

CONSUMER STAPLES - 6.6%

Beverages - 1.5%

Anheuser-Busch InBev SA NV

14,329

1,499

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Beverages - continued

Coca-Cola Icecek A/S

18,269

$ 353

Diageo PLC sponsored ADR

17,969

2,259

Embotelladora Andina SA sponsored ADR

18,311

422

Pernod Ricard SA

19,496

2,295

Remy Cointreau SA

24,604

2,089

The Coca-Cola Co.

373,399

14,264

 

23,181

Food & Staples Retailing - 1.5%

CVS Caremark Corp.

131,427

9,613

Kroger Co.

168,118

7,051

Sysco Corp.

57,573

2,074

Wal-Mart Stores, Inc.

55,549

4,150

 

22,888

Food Products - 0.6%

Bunge Ltd.

25,138

2,001

ConAgra Foods, Inc.

54,315

1,543

Green Mountain Coffee Roasters, Inc.

9,740

1,069

Mead Johnson Nutrition Co. Class A

41,589

3,392

Nestle SA

16,652

1,258

 

9,263

Household Products - 1.3%

Procter & Gamble Co.

253,428

19,935

Personal Products - 0.0%

Nu Skin Enterprises, Inc. Class A

7,139

596

Tobacco - 1.7%

Altria Group, Inc.

233,403

8,463

British American Tobacco PLC sponsored ADR

138,899

15,111

Philip Morris International, Inc.

16,155

1,307

Souza Cruz SA

54,950

477

 

25,358

TOTAL CONSUMER STAPLES

101,221

ENERGY - 6.8%

Energy Equipment & Services - 1.2%

C&J Energy Services, Inc. (a)

67,510

1,745

Cameron International Corp. (a)

58,872

3,771

Dril-Quip, Inc. (a)

13,339

1,435

FMC Technologies, Inc. (a)

52,716

2,648

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Energy Equipment & Services - continued

Halliburton Co.

88,407

$ 5,039

Ocean Rig UDW, Inc. (United States) (a)

42,944

748

Oceaneering International, Inc.

27,829

1,992

Pacific Drilling SA (a)

63,930

694

Vantage Drilling Co. (a)

204,060

357

 

18,429

Oil, Gas & Consumable Fuels - 5.6%

Anadarko Petroleum Corp.

91,573

7,707

BG Group PLC

74,000

1,349

Bill Barrett Corp. (a)

29,566

749

Cabot Oil & Gas Corp.

122,015

4,271

Carrizo Oil & Gas, Inc. (a)

24,804

1,234

Chevron Corp.

75,576

8,716

ConocoPhillips Co.

150,367

9,999

Continental Resources, Inc. (a)

27,266

3,259

EOG Resources, Inc.

31,055

5,882

Exxon Mobil Corp.

142,891

13,756

Kinder Morgan Holding Co. LLC

67,000

2,134

Laredo Petroleum Holdings, Inc. (a)

33,624

877

Marathon Oil Corp.

116,536

3,904

Noble Energy, Inc.

45,045

3,097

ONEOK, Inc.

37,252

2,203

Peabody Energy Corp.

92,312

1,621

Phillips 66 Co.

94,144

7,048

Phillips 66 Partners LP

11,619

532

Spectra Energy Corp.

80,500

3,001

Suncor Energy, Inc. (e)

40,155

1,325

Valero Energy Partners LP

41,469

1,534

Whiting Petroleum Corp. (a)

25,323

1,740

 

85,938

TOTAL ENERGY

104,367

FINANCIALS - 11.8%

Capital Markets - 1.4%

Ameriprise Financial, Inc.

37,189

4,053

BlackRock, Inc. Class A

11,790

3,594

Credit Suisse Group AG

9,691

304

E*TRADE Financial Corp. (a)

99,621

2,238

Evercore Partners, Inc. Class A

12,200

679

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Invesco Ltd.

86,009

$ 2,950

Morgan Stanley

29,760

917

Northern Trust Corp.

31,405

1,942

Oaktree Capital Group LLC Class A

40,786

2,516

The Blackstone Group LP

66,455

2,216

 

21,409

Commercial Banks - 1.9%

Barclays PLC

433,841

1,828

Erste Group Bank AG

22,154

786

Huntington Bancshares, Inc.

498,093

4,747

Mitsubishi UFJ Financial Group, Inc.

232,500

1,347

Societe Generale Series A

30,100

2,010

SunTrust Banks, Inc.

73,754

2,779

Synovus Financial Corp.

299,205

1,041

U.S. Bancorp

329,133

13,541

 

28,079

Consumer Finance - 1.6%

Capital One Financial Corp.

234,434

17,214

Discover Financial Services

48,632

2,791

Santander Consumer U.S.A. Holdings, Inc.

23,700

600

SLM Corp.

169,107

4,048

 

24,653

Diversified Financial Services - 4.0%

Bank of America Corp.

1,152,391

19,049

Berkshire Hathaway, Inc. Class A (a)

7

1,216

Citigroup, Inc.

242,530

11,794

IntercontinentalExchange Group, Inc.

16,676

3,483

JPMorgan Chase & Co.

436,432

24,798

KBC Ancora (a)

20,348

804

McGraw Hill Financial, Inc.

4,000

319

 

61,463

Insurance - 1.6%

ACE Ltd.

7,836

767

Direct Line Insurance Group PLC

557,712

2,470

esure Group PLC

159,774

721

Fairfax Financial Holdings Ltd. (sub. vtg.)

4,100

1,703

Marsh & McLennan Companies, Inc.

95,553

4,602

MetLife, Inc.

207,867

10,533

The Travelers Companies, Inc.

31,346

2,628

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Insurance - continued

Validus Holdings Ltd.

7,953

$ 293

WMI Holdings Corp. (a)

4,454

12

 

23,729

Real Estate Investment Trusts - 1.1%

Altisource Residential Corp. Class B (e)

263,010

7,517

American Tower Corp.

64,110

5,223

Equity Lifestyle Properties, Inc.

38,405

1,546

Piedmont Office Realty Trust, Inc. Class A

47,790

826

Senior Housing Properties Trust (SBI)

10,983

245

Sun Communities, Inc.

31,742

1,462

 

16,819

Real Estate Management & Development - 0.2%

CBRE Group, Inc. (a)

120,948

3,380

Thrifts & Mortgage Finance - 0.0%

Ocwen Financial Corp. (a)

10,097

378

Washington Mutual, Inc. (a)

130,000

0

 

378

TOTAL FINANCIALS

179,910

HEALTH CARE - 10.0%

Biotechnology - 2.7%

Actelion Ltd.

17,769

1,884

Alexion Pharmaceuticals, Inc. (a)

38,064

6,730

Amgen, Inc.

77,105

9,563

Biogen Idec, Inc. (a)

27,375

9,326

CSL Ltd. ADR

1,000

32

Gilead Sciences, Inc. (a)

153,185

12,682

Intercept Pharmaceuticals, Inc. (a)

1,700

698

 

40,915

Health Care Equipment & Supplies - 1.3%

Boston Scientific Corp. (a)

488,349

6,397

Covidien PLC

81,058

5,832

Edwards Lifesciences Corp. (a)

17,114

1,194

Quidel Corp. (a)

39,220

1,099

Stryker Corp.

25,829

2,073

The Cooper Companies, Inc.

23,028

2,952

 

19,547

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - 1.1%

Brookdale Senior Living, Inc. (a)

41,664

$ 1,397

Cigna Corp.

73,682

5,864

HCA Holdings, Inc. (a)

8,307

425

Henry Schein, Inc. (a)

28,344

3,374

McKesson Corp.

36,982

6,548

 

17,608

Life Sciences Tools & Services - 0.8%

Illumina, Inc. (a)

25,207

4,323

Thermo Fisher Scientific, Inc.

60,190

7,496

 

11,819

Pharmaceuticals - 4.1%

AbbVie, Inc.

152,711

7,775

Actavis PLC (a)

36,690

8,102

Bristol-Myers Squibb Co.

179,294

9,641

Merck & Co., Inc.

48,244

2,749

Mylan, Inc. (a)

21,900

1,217

Perrigo Co. PLC

29,320

4,821

Pfizer, Inc.

379,067

12,172

Roche Holding AG (participation certificate)

9,867

3,038

Salix Pharmaceuticals Ltd. (a)

27,785

2,999

Shire PLC

69,638

3,852

Valeant Pharmaceuticals International (Canada) (a)

25,727

3,672

Zoetis, Inc. Class A

65,546

2,033

 

62,071

TOTAL HEALTH CARE

151,960

INDUSTRIALS - 6.9%

Aerospace & Defense - 1.5%

Honeywell International, Inc.

85,714

8,095

TransDigm Group, Inc.

30,268

5,392

United Technologies Corp.

80,341

9,402

 

22,889

Air Freight & Logistics - 0.4%

FedEx Corp.

41,181

5,491

Commercial Services & Supplies - 0.2%

KAR Auction Services, Inc.

84,397

2,630

Electrical Equipment - 2.0%

AMETEK, Inc.

144,286

7,682

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Electrical Equipment - continued

Eaton Corp. PLC

97,013

$ 7,248

Hubbell, Inc. Class B

54,450

6,509

Roper Industries, Inc.

65,213

8,844

 

30,283

Industrial Conglomerates - 0.8%

Danaher Corp.

166,392

12,727

Machinery - 0.7%

Cummins, Inc.

45,190

6,594

Ingersoll-Rand PLC

70,700

4,323

 

10,917

Professional Services - 0.4%

Verisk Analytics, Inc. (a)

107,528

6,851

Road & Rail - 0.5%

J.B. Hunt Transport Services, Inc.

98,103

7,051

Trading Companies & Distributors - 0.4%

W.W. Grainger, Inc.

25,491

6,501

TOTAL INDUSTRIALS

105,340

INFORMATION TECHNOLOGY - 12.9%

Communications Equipment - 1.0%

Cisco Systems, Inc.

209,809

4,574

Juniper Networks, Inc. (a)

126,499

3,383

Polycom, Inc. (a)

49,261

658

QUALCOMM, Inc.

86,579

6,519

 

15,134

Computers & Peripherals - 2.3%

Apple, Inc.

56,736

29,857

Electronics for Imaging, Inc. (a)

24,295

1,084

NCR Corp. (a)

105,683

3,599

 

34,540

Electronic Equipment & Components - 0.4%

TE Connectivity Ltd.

98,630

5,778

Internet Software & Services - 4.5%

ChannelAdvisor Corp. (a)

23,555

1,069

Cvent, Inc.

64,575

2,537

Demand Media, Inc. (a)

6,371

31

Demandware, Inc. (a)

7,450

560

eBay, Inc. (a)

129,961

7,638

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Endurance International Group Holdings, Inc. (e)

79,746

$ 1,203

Facebook, Inc. Class A (a)

146,413

10,023

Google, Inc. Class A (a)

26,477

32,185

Halogen Software, Inc.

31,000

330

Millennial Media, Inc. (a)

29,829

180

Millennial Media, Inc. (a)

49,965

272

Millennial Media, Inc. (a)

9,695

0

Naver Corp.

3,152

2,415

SPS Commerce, Inc. (a)

1,220

83

Tencent Holdings Ltd.

46,000

3,690

Trulia, Inc. (a)(e)

45,119

1,352

Wix.com Ltd. (a)(e)

23,233

718

Yahoo!, Inc. (a)

121,102

4,683

 

68,969

IT Services - 0.8%

Cognizant Technology Solutions Corp. Class A (a)

31,335

3,261

Fidelity National Information Services, Inc.

87,364

4,858

FleetCor Technologies, Inc. (a)

2,442

317

Heartland Payment Systems, Inc.

8,867

359

Lionbridge Technologies, Inc. (a)

44,139

316

Quindell PLC (a)

2,026,900

1,146

Visa, Inc. Class A

11,244

2,540

 

12,797

Semiconductors & Semiconductor Equipment - 0.7%

NXP Semiconductors NV (a)

189,571

10,660

Software - 3.2%

Adobe Systems, Inc. (a)

61,054

4,189

Aspen Technology, Inc. (a)

16,998

798

Autodesk, Inc. (a)

29,200

1,532

CommVault Systems, Inc. (a)

17,376

1,197

Concur Technologies, Inc. (a)

3,367

416

Covisint Corp.

22,100

238

Electronic Arts, Inc. (a)

223,539

6,391

FleetMatics Group PLC (a)

10,000

370

Guidewire Software, Inc. (a)

38,600

2,069

Microsoft Corp.

491,736

18,838

Oracle Corp.

177,196

6,930

Qlik Technologies, Inc. (a)

17,500

534

RealPage, Inc. (a)

27,900

494

salesforce.com, Inc. (a)

60,799

3,792

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Software - continued

Ubisoft Entertainment SA (a)

68,445

$ 1,121

Xero Ltd. (m)

27,035

819

 

49,728

TOTAL INFORMATION TECHNOLOGY

197,606

MATERIALS - 2.6%

Chemicals - 2.1%

Airgas, Inc.

72,017

7,763

Cabot Corp.

23,428

1,268

Eastman Chemical Co.

40,274

3,521

FMC Corp.

43,395

3,349

LyondellBasell Industries NV Class A

49,543

4,364

Monsanto Co.

48,378

5,323

Potash Corp. of Saskatchewan, Inc.

60,589

2,003

Sigma Aldrich Corp.

27,552

2,601

W.R. Grace & Co. (a)

15,281

1,549

 

31,741

Construction Materials - 0.2%

Vulcan Materials Co.

44,825

3,045

Containers & Packaging - 0.2%

Graphic Packaging Holding Co. (a)

138,790

1,421

Rock-Tenn Co. Class A

20,524

2,291

 

3,712

Metals & Mining - 0.1%

Carpenter Technology Corp.

17,565

1,039

TOTAL MATERIALS

39,537

TELECOMMUNICATION SERVICES - 1.7%

Diversified Telecommunication Services - 1.1%

inContact, Inc. (a)

76,417

689

Verizon Communications, Inc.

331,798

15,787

 

16,476

Wireless Telecommunication Services - 0.6%

SBA Communications Corp. Class A (a)

29,927

2,848

SoftBank Corp.

49,200

3,729

Common Stocks - continued

Shares

Value (000s)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

T-Mobile U.S., Inc. (a)

71,850

$ 2,191

Vodafone Group PLC sponsored ADR

24,618

1,023

 

9,791

TOTAL TELECOMMUNICATION SERVICES

26,267

UTILITIES - 2.2%

Electric Utilities - 0.8%

American Electric Power Co., Inc.

56,500

2,836

Duke Energy Corp.

44,489

3,153

Edison International

32,867

1,721

Exelon Corp.

5,600

170

NextEra Energy, Inc.

54,200

4,953

 

12,833

Gas Utilities - 0.2%

National Fuel Gas Co.

31,336

2,354

Independent Power Producers & Energy Traders - 0.3%

NRG Energy, Inc.

95,130

2,765

The AES Corp.

78,012

1,065

 

3,830

Multi-Utilities - 0.9%

CenterPoint Energy, Inc.

106,347

2,515

Dominion Resources, Inc.

58,349

4,049

NiSource, Inc.

39,497

1,375

PG&E Corp.

41,575

1,832

Sempra Energy

41,309

3,902

 

13,673

TOTAL UTILITIES

32,690

TOTAL COMMON STOCKS

(Cost $818,551)


1,064,395

Preferred Stocks - 0.0%

 

 

 

 

Convertible Preferred Stocks - 0.0%

INFORMATION TECHNOLOGY - 0.0%

Software - 0.0%

MongoDB, Inc. Series F, 8.00% (m)

16,802

253

Preferred Stocks - continued

Shares

Value (000s)

Nonconvertible Preferred Stocks - 0.0%

CONSUMER STAPLES - 0.0%

Beverages - 0.0%

Ambev SA sponsored ADR

72,650

$ 523

TOTAL PREFERRED STOCKS

(Cost $654)


776

Corporate Bonds - 7.3%

 

Principal Amount (000s)

 

Convertible Bonds - 0.0%

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Cobalt International Energy, Inc. 2.625% 12/1/19

$ 100

96

Nonconvertible Bonds - 7.3%

CONSUMER DISCRETIONARY - 0.6%

Automobiles - 0.0%

Daimler Finance North America LLC 1.45% 8/1/16 (f)

231

233

Diversified Consumer Services - 0.0%

Ingersoll-Rand Global Holding Co. Ltd.:

2.875% 1/15/19 (f)

35

35

4.25% 6/15/23 (f)

249

256

5.75% 6/15/43 (f)

179

197

 

488

Media - 0.6%

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

500

659

Comcast Corp.:

4.95% 6/15/16

15

16

6.45% 3/15/37

238

293

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

136

128

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

440

505

Discovery Communications LLC:

3.25% 4/1/23

51

49

4.875% 4/1/43

120

116

6.35% 6/1/40

236

274

NBCUniversal, Inc.:

5.15% 4/30/20

431

493

6.4% 4/30/40

309

378

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

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

$ 621

$ 854

News America, Inc.:

6.15% 3/1/37

235

271

6.15% 2/15/41

186

216

Thomson Reuters Corp. 1.3% 2/23/17

122

122

Time Warner Cable, Inc.:

4% 9/1/21

630

655

4.5% 9/15/42

739

673

5.5% 9/1/41

165

171

5.85% 5/1/17

104

118

5.875% 11/15/40

153

165

6.75% 7/1/18

439

518

8.25% 4/1/19

528

665

Time Warner, Inc.:

5.875% 11/15/16

12

14

6.5% 11/15/36

232

272

Viacom, Inc.:

2.5% 9/1/18

46

47

3.5% 4/1/17

583

621

4.375% 3/15/43

148

131

 

8,424

TOTAL CONSUMER DISCRETIONARY

9,145

CONSUMER STAPLES - 0.3%

Beverages - 0.1%

Heineken NV:

1.4% 10/1/17 (f)

182

182

2.75% 4/1/23 (f)

191

178

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

285

292

 

652

Food & Staples Retailing - 0.0%

CVS Caremark Corp.:

2.25% 12/5/18

282

284

4% 12/5/23

282

289

 

573

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - 0.0%

ConAgra Foods, Inc.:

1.9% 1/25/18

$ 131

$ 131

3.2% 1/25/23

152

145

 

276

Tobacco - 0.2%

Altria Group, Inc.:

2.85% 8/9/22

262

246

4% 1/31/24

212

212

4.25% 8/9/42

262

231

4.75% 5/5/21

300

328

5.375% 1/31/44

364

380

9.7% 11/10/18

325

432

Reynolds American, Inc.:

3.25% 11/1/22

187

178

4.75% 11/1/42

289

272

6.15% 9/15/43

143

161

6.75% 6/15/17

23

27

7.25% 6/15/37

409

503

 

2,970

TOTAL CONSUMER STAPLES

4,471

ENERGY - 1.0%

Energy Equipment & Services - 0.1%

DCP Midstream LLC:

4.75% 9/30/21 (f)

364

374

5.35% 3/15/20 (f)

327

354

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

371

389

5% 10/1/21

146

155

6.5% 4/1/20

24

28

Transocean, Inc. 5.05% 12/15/16

238

261

 

1,561

Oil, Gas & Consumable Fuels - 0.9%

Anadarko Petroleum Corp.:

5.95% 9/15/16

16

18

6.375% 9/15/17

673

779

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

DCP Midstream Operating LP:

2.5% 12/1/17

$ 168

$ 172

3.875% 3/15/23

104

101

Devon Energy Corp. 1.2% 12/15/16

409

410

Duke Energy Field Services:

5.375% 10/15/15 (f)

10

11

6.45% 11/3/36 (f)

375

406

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

7

8

Enbridge Energy Partners LP 4.2% 9/15/21

438

454

Encana Holdings Finance Corp. 5.8% 5/1/14

23

23

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

7

8

Marathon Petroleum Corp. 5.125% 3/1/21

215

241

Midcontinent Express Pipeline LLC 5.45% 9/15/14 (f)

357

363

Motiva Enterprises LLC:

5.75% 1/15/20 (f)

156

179

6.85% 1/15/40 (f)

223

285

Nakilat, Inc. 6.067% 12/31/33 (f)

279

300

Nexen, Inc. 5.2% 3/10/15

7

7

Petro-Canada 6.05% 5/15/18

150

174

Petrobras Global Finance BV:

3% 1/15/19

64

61

4.375% 5/20/23

596

540

5.625% 5/20/43

569

480

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

354

364

5.375% 1/27/21

815

817

5.75% 1/20/20

611

636

7.875% 3/15/19

399

456

Petroleos Mexicanos:

3.125% 1/23/19 (f)

58

59

3.5% 7/18/18

463

480

3.5% 1/30/23

285

266

4.875% 1/24/22

237

248

4.875% 1/18/24

131

135

4.875% 1/18/24 (f)

279

286

5.5% 1/21/21

369

402

5.5% 6/27/44

648

613

6% 3/5/20

21

24

6.375% 1/23/45 (f)

366

385

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petroleos Mexicanos: - continued

6.5% 6/2/41

$ 661

$ 713

Phillips 66 Co.:

4.3% 4/1/22

338

357

5.875% 5/1/42

117

134

Plains All American Pipeline LP/PAA Finance Corp.:

3.65% 6/1/22

173

175

6.125% 1/15/17

205

233

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

10

11

Spectra Energy Partners, LP:

2.95% 6/15/16

69

72

2.95% 9/25/18

63

65

4.6% 6/15/21

90

97

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

395

462

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

326

368

Western Gas Partners LP 5.375% 6/1/21

393

424

Williams Partners LP 4.3% 3/4/24

278

279

 

13,581

TOTAL ENERGY

15,142

FINANCIALS - 3.7%

Capital Markets - 0.5%

Affiliated Managers Group, Inc. 4.25% 2/15/24

145

146

Goldman Sachs Group, Inc.:

1.748% 9/15/17

1,225

1,225

2.625% 1/31/19

885

890

2.9% 7/19/18

526

541

5.25% 7/27/21

96

107

5.625% 1/15/17

500

554

5.95% 1/18/18

32

37

6% 6/15/20

600

697

6.15% 4/1/18

36

41

Lazard Group LLC:

4.25% 11/14/20

185

195

6.85% 6/15/17

31

35

Morgan Stanley:

2.125% 4/25/18

863

868

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Capital Markets - continued

Morgan Stanley: - continued

3.75% 2/25/23

$ 438

$ 438

4.875% 11/1/22

365

385

5% 11/24/25

93

97

5.45% 1/9/17

480

534

5.75% 1/25/21

100

115

6.625% 4/1/18

600

706

 

7,611

Commercial Banks - 0.5%

Bank of America NA 5.3% 3/15/17

420

465

Credit Suisse AG 6% 2/15/18

664

769

Discover Bank 4.2% 8/8/23

259

266

Fifth Third Bancorp 8.25% 3/1/38

94

132

HBOS PLC 6.75% 5/21/18 (f)

180

205

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

97

117

KeyBank NA:

5.45% 3/3/16

294

321

5.8% 7/1/14

322

328

Marshall & Ilsley Bank 5% 1/17/17

259

281

Regions Bank:

6.45% 6/26/37

652

722

7.5% 5/15/18

282

336

Regions Financial Corp.:

2% 5/15/18

382

376

5.75% 6/15/15

73

77

7.75% 11/10/14

229

240

Royal Bank of Scotland Group PLC:

6% 12/19/23

490

505

6.1% 6/10/23

470

488

6.125% 12/15/22

694

729

Wells Fargo & Co.:

1.25% 7/20/16

1,200

1,214

3.676% 6/15/16

160

171

4.48% 1/16/24

30

31

 

7,773

Consumer Finance - 0.4%

American Express Credit Corp. 1.3% 7/29/16

357

361

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

Discover Financial Services:

3.85% 11/21/22

$ 462

$ 456

5.2% 4/27/22

42

45

6.45% 6/12/17

1,019

1,155

Ford Motor Credit Co. LLC:

1.5% 1/17/17

239

239

1.7% 5/9/16

561

569

2.875% 10/1/18

400

411

General Electric Capital Corp.:

1% 12/11/15

289

292

2.95% 5/9/16

185

194

3.5% 6/29/15

192

200

6% 8/7/19

1,000

1,185

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

314

313

Hyundai Capital America:

1.45% 2/6/17 (f)

476

476

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

 

6,414

Diversified Financial Services - 0.8%

Bank of America Corp.:

2.6% 1/15/19

448

454

3.3% 1/11/23

947

922

3.875% 3/22/17

1,060

1,137

4.1% 7/24/23

352

362

5.65% 5/1/18

205

234

5.75% 12/1/17

615

701

6.5% 8/1/16

300

338

Barclays Bank PLC 2.5% 2/20/19

200

202

BP Capital Markets PLC:

3.814% 2/10/24

359

363

4.742% 3/11/21

300

335

Citigroup, Inc.:

1.3% 11/15/16

568

569

3.953% 6/15/16

397

422

4.05% 7/30/22

151

153

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

Citigroup, Inc.: - continued

4.75% 5/19/15

$ 544

$ 570

5.5% 9/13/25

142

153

6.125% 5/15/18

212

246

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

360

368

JPMorgan Chase & Co.:

1.625% 5/15/18

720

712

2% 8/15/17

300

305

3.15% 7/5/16

430

452

3.25% 9/23/22

503

495

4.35% 8/15/21

420

453

4.5% 1/24/22

134

145

4.95% 3/25/20

661

740

JPMorgan Chase Bank 6% 10/1/17

250

288

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

216

215

TECO Finance, Inc.:

4% 3/15/16

96

102

5.15% 3/15/20

141

158

 

11,594

Insurance - 0.5%

Allstate Corp. 6.2% 5/16/14

264

267

American International Group, Inc.:

4.875% 9/15/16

257

281

4.875% 6/1/22

107

118

5.6% 10/18/16

318

354

Aon Corp.:

3.125% 5/27/16

376

393

3.5% 9/30/15

151

157

5% 9/30/20

133

150

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

456

5.375% 3/15/17

6

7

Liberty Mutual Group, Inc.:

5% 6/1/21 (f)

421

450

6.5% 3/15/35 (f)

327

375

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

233

254

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

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

$ 199

$ 217

MetLife, Inc.:

3.048% 12/15/22

313

304

4.368% 9/15/23

305

324

4.75% 2/8/21

137

152

6.75% 6/1/16

290

328

Metropolitan Life Global Funding I:

3% 1/10/23 (f)

223

214

5.125% 6/10/14 (f)

255

258

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

203

296

Pacific LifeCorp:

5.125% 1/30/43 (f)

441

431

6% 2/10/20 (f)

409

466

Prudential Financial, Inc.:

2.3% 8/15/18

51

52

4.5% 11/16/21

200

219

4.75% 9/17/15

500

531

5.8% 11/16/41

262

302

6.2% 11/15/40

134

161

7.375% 6/15/19

120

149

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

38

41

Unum Group:

5.625% 9/15/20

270

301

5.75% 8/15/42

458

493

7.125% 9/30/16

19

22

 

8,535

Real Estate Investment Trusts - 0.4%

Alexandria Real Estate Equities, Inc. 4.6% 4/1/22

108

112

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

101

97

AvalonBay Communities, Inc.:

3.625% 10/1/20

160

166

4.2% 12/15/23

360

372

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

432

434

BRE Properties, Inc. 5.5% 3/15/17

113

125

Camden Property Trust:

2.95% 12/15/22

135

127

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Camden Property Trust: - continued

4.25% 1/15/24

$ 304

$ 311

Developers Diversified Realty Corp.:

4.625% 7/15/22

247

259

4.75% 4/15/18

313

341

7.5% 4/1/17

203

236

9.625% 3/15/16

106

123

Duke Realty LP:

3.625% 4/15/23

180

172

3.875% 10/15/22

310

304

4.375% 6/15/22

207

212

5.95% 2/15/17

57

64

6.5% 1/15/18

285

328

6.75% 3/15/20

12

14

8.25% 8/15/19

127

159

Equity One, Inc.:

3.75% 11/15/22

400

384

5.375% 10/15/15

47

50

Federal Realty Investment Trust 5.9% 4/1/20

95

111

HCP, Inc. 3.75% 2/1/16

201

212

Health Care REIT, Inc.:

2.25% 3/15/18

147

148

4.7% 9/15/17

48

53

HRPT Properties Trust 5.75% 11/1/15

50

52

Retail Opportunity Investments Partnership LP 5% 12/15/23

67

69

Simon Property Group LP:

2.75% 2/1/23

232

220

2.8% 1/30/17

82

86

4.125% 12/1/21

229

244

UDR, Inc. 5.5% 4/1/14

498

500

Weingarten Realty Investors 3.375% 10/15/22

68

65

 

6,150

Real Estate Management & Development - 0.6%

BioMed Realty LP:

3.85% 4/15/16

390

411

4.25% 7/15/22

163

162

6.125% 4/15/20

126

144

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

Brandywine Operating Partnership LP:

3.95% 2/15/23

$ 359

$ 351

4.95% 4/15/18

197

213

5.7% 5/1/17

1,000

1,102

6% 4/1/16

86

94

7.5% 5/15/15

44

47

Digital Realty Trust LP:

4.5% 7/15/15

172

179

5.25% 3/15/21

201

212

ERP Operating LP:

4.625% 12/15/21

540

585

4.75% 7/15/20

265

293

5.375% 8/1/16

117

129

5.75% 6/15/17

567

644

Liberty Property LP:

3.375% 6/15/23

185

174

4.125% 6/15/22

177

179

4.4% 2/15/24

418

425

4.75% 10/1/20

394

422

5.125% 3/2/15

7

7

5.5% 12/15/16

12

13

6.625% 10/1/17

281

325

Mack-Cali Realty LP:

2.5% 12/15/17

252

255

3.15% 5/15/23

426

383

4.5% 4/18/22

108

109

7.75% 8/15/19

23

28

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

73

74

Post Apartment Homes LP 3.375% 12/1/22

70

66

Prime Property Funding, Inc.:

5.125% 6/1/15 (f)

57

59

5.7% 4/15/17 (f)

94

102

Reckson Operating Partnership LP 6% 3/31/16

114

124

Regency Centers LP 5.25% 8/1/15

124

131

Tanger Properties LP:

3.875% 12/1/23

160

160

6.125% 6/1/20

478

560

Ventas Realty LP 1.55% 9/26/16

250

253

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

Ventas Realty LP/Ventas Capital Corp.:

2% 2/15/18

$ 227

$ 228

4% 4/30/19

114

122

 

8,765

TOTAL FINANCIALS

56,842

HEALTH CARE - 0.3%

Biotechnology - 0.0%

Amgen, Inc. 5.15% 11/15/41

350

367

Health Care Providers & Services - 0.2%

Aetna, Inc. 2.75% 11/15/22

178

168

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

378

411

Express Scripts, Inc. 3.125% 5/15/16

357

373

Medco Health Solutions, Inc.:

2.75% 9/15/15

38

39

4.125% 9/15/20

259

276

UnitedHealth Group, Inc.:

2.75% 2/15/23

59

56

2.875% 3/15/23

463

441

WellPoint, Inc. 3.3% 1/15/23

172

166

 

1,930

Life Sciences Tools & Services - 0.0%

Thermo Fisher Scientific, Inc.:

1.3% 2/1/17

102

102

2.4% 2/1/19

65

65

4.15% 2/1/24

99

102

 

269

Pharmaceuticals - 0.1%

AbbVie, Inc.:

1.75% 11/6/17

358

361

2.9% 11/6/22

368

355

Mylan, Inc. 1.35% 11/29/16

120

121

Perrigo Co. PLC 2.3% 11/8/18 (f)

200

200

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

120

120

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Pharmaceuticals - continued

Zoetis, Inc.:

1.875% 2/1/18

$ 57

$ 57

3.25% 2/1/23

138

133

 

1,347

TOTAL HEALTH CARE

3,913

INDUSTRIALS - 0.0%

Aerospace & Defense - 0.0%

BAE Systems Holdings, Inc.:

4.95% 6/1/14 (f)

18

18

6.375% 6/1/19 (f)

309

362

 

380

Airlines - 0.0%

Continental Airlines, Inc.:

6.648% 3/15/19

13

14

6.9% 7/2/19

4

4

U.S. Airways pass-thru trust certificates:

6.85% 1/30/18

9

10

8.36% 1/20/19

7

8

 

36

TOTAL INDUSTRIALS

416

INFORMATION TECHNOLOGY - 0.0%

Electronic Equipment & Components - 0.0%

Tyco Electronics Group SA 2.375% 12/17/18

74

74

IT Services - 0.0%

Xerox Corp. 4.25% 2/15/15

12

12

TOTAL INFORMATION TECHNOLOGY

86

MATERIALS - 0.2%

Chemicals - 0.0%

The Dow Chemical Co.:

4.125% 11/15/21

343

361

4.25% 11/15/20

186

199

 

560

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Construction Materials - 0.0%

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

$ 15

$ 17

Metals & Mining - 0.2%

Anglo American Capital PLC 9.375% 4/8/14 (f)

211

213

Corporacion Nacional del Cobre de Chile (Codelco):

3.875% 11/3/21 (f)

360

363

4.5% 8/13/23 (f)

500

518

5.625% 10/18/43 (f)

254

259

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

356

360

Vale Overseas Ltd.:

4.375% 1/11/22

200

200

6.25% 1/23/17

503

563

 

2,476

TOTAL MATERIALS

3,053

TELECOMMUNICATION SERVICES - 0.5%

Diversified Telecommunication Services - 0.5%

AT&T, Inc.:

5.55% 8/15/41

1,223

1,288

6.3% 1/15/38

398

454

CenturyLink, Inc.:

5.15% 6/15/17

28

30

6% 4/1/17

70

77

6.15% 9/15/19

226

243

Embarq Corp.:

7.082% 6/1/16

236

264

7.995% 6/1/36

175

187

Verizon Communications, Inc.:

2.5% 9/15/16

1,100

1,142

6.25% 4/1/37

187

217

6.4% 9/15/33

346

411

6.55% 9/15/43

2,538

3,108

 

7,421

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - 0.0%

America Movil S.A.B. de CV:

2.375% 9/8/16

$ 276

$ 285

3.125% 7/16/22

255

241

 

526

TOTAL TELECOMMUNICATION SERVICES

7,947

UTILITIES - 0.7%

Electric Utilities - 0.4%

American Electric Power Co., Inc.:

1.65% 12/15/17

147

147

2.95% 12/15/22

140

134

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

119

121

Duke Capital LLC 5.668% 8/15/14

16

16

Duke Energy Corp. 3.95% 10/15/23

55

56

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (f)

273

311

6.4% 9/15/20 (f)

569

665

Edison International 3.75% 9/15/17

226

242

FirstEnergy Corp.:

2.75% 3/15/18

299

301

4.25% 3/15/23

528

518

7.375% 11/15/31

411

473

FirstEnergy Solutions Corp. 6.05% 8/15/21

649

716

LG&E and KU Energy LLC:

2.125% 11/15/15

255

260

3.75% 11/15/20

49

51

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

131

136

Nevada Power Co. 6.5% 5/15/18

165

196

Northeast Utilities:

1.45% 5/1/18

96

94

2.8% 5/1/23

435

410

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

115

136

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

240

246

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

207

200

 

5,429

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Gas Utilities - 0.0%

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

$ 122

$ 129

Independent Power Producers & Energy Traders - 0.0%

PSEG Power LLC 2.75% 9/15/16

90

94

Multi-Utilities - 0.3%

Ameren Illinois Co. 6.125% 11/15/17

165

191

Dominion Resources, Inc.:

2.5469% 9/30/66 (i)

635

586

7.5% 6/30/66 (i)

26

28

MidAmerican Energy Holdings, Co.:

1.1% 5/15/17 (f)

523

522

2% 11/15/18 (f)

403

401

National Grid PLC 6.3% 8/1/16

183

205

NiSource Finance Corp.:

4.45% 12/1/21

155

164

5.25% 2/15/43

357

361

5.4% 7/15/14

11

11

5.45% 9/15/20

468

531

5.8% 2/1/42

199

216

5.95% 6/15/41

396

438

6.4% 3/15/18

58

68

6.8% 1/15/19

677

810

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

55

55

Puget Energy, Inc. 6% 9/1/21

48

55

Sempra Energy:

2.3% 4/1/17

376

386

2.875% 10/1/22

154

147

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

21

21

 

5,196

TOTAL UTILITIES

10,848

TOTAL NONCONVERTIBLE BONDS

111,863

TOTAL CORPORATE BONDS

(Cost $105,432)


111,959

U.S. Treasury Obligations - 7.8%

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Bills, yield at date of purchase 0.03% to 0.09% 4/17/14 to 5/29/14 (h)

$ 1,555

$ 1,555

U.S. Treasury Bonds:

3.625% 8/15/43

5,634

5,673

3.625% 2/15/44

2,000

2,013

3.75% 11/15/43

102

105

U.S. Treasury Notes:

0.25% 7/31/15

3,230

3,233

0.5% 7/31/17

2,063

2,035

0.625% 12/15/16

4,412

4,414

0.875% 11/30/16

1,254

1,263

0.875% 4/30/17

9

9

0.875% 1/31/18

9,947

9,857

0.875% 7/31/19

5,971

5,721

1% 5/31/18

5,583

5,525

1.25% 10/31/18

22,092

21,935

1.375% 7/31/18

7,186

7,205

1.375% 9/30/18

5,036

5,036

1.5% 12/31/18

2,258

2,262

1.5% 1/31/19

14,672

14,679

1.75% 5/31/16

5,530

5,694

1.75% 5/15/23

350

326

2% 2/28/21

7,013

6,953

2% 2/15/23

3,074

2,943

2.125% 1/31/21

3,922

3,926

2.75% 11/15/23

6,910

6,983

TOTAL U.S. TREASURY OBLIGATIONS

(Cost $119,606)


119,345

U.S. Government Agency - Mortgage Securities - 1.0%

 

Fannie Mae - 0.8%

2.303% 6/1/36 (i)

8

9

2.536% 6/1/42 (i)

51

53

2.643% 7/1/37 (i)

18

19

2.949% 11/1/40 (i)

26

27

2.959% 9/1/41 (i)

30

31

3% 1/1/43 to 1/1/44

1,000

972

3% 3/1/44 (g)

500

486

3.093% 10/1/41 (i)

19

20

3.224% 7/1/41 (i)

48

51

3.345% 10/1/41 (i)

26

28

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

3.5% 8/1/42 to 10/1/43

$ 5,633

$ 5,645

3.5% 3/1/44 (g)

2,400

2,433

3.55% 7/1/41 (i)

51

54

4% 12/1/41 to 12/1/43

491

516

4% 3/1/44 (g)

600

629

4% 3/1/44 (g)

500

524

4.5% 12/1/23

13

14

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

436

487

TOTAL FANNIE MAE

11,998

Freddie Mac - 0.2%

3.064% 10/1/35 (i)

21

22

3.23% 4/1/41 (i)

36

38

3.249% 9/1/41 (i)

27

29

3.281% 6/1/41 (i)

39

41

3.464% 5/1/41 (i)

38

40

3.5% 6/1/42 to 10/1/43

2,076

2,078

3.622% 6/1/41 (i)

48

51

3.695% 5/1/41 (i)

45

48

5% 11/1/40

330

363

TOTAL FREDDIE MAC

2,710

Ginnie Mae - 0.0%

4% 11/20/40 to 1/20/41

200

212

4% 3/1/44 (g)

500

530

5.5% 6/15/35

137

154

TOTAL GINNIE MAE

896

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $15,715)


15,604

Asset-Backed Securities - 0.2%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6255% 4/25/35 (i)

30

27

Ally Master Owner Trust:

Series 2011-3 Class A2, 1.81% 5/15/16

280

281

Series 2012-3 Class A2, 1.21% 6/15/17

370

372

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.2055% 12/25/33 (i)

$ 3

$ 2

Series 2004-R2 Class M3, 0.9805% 4/25/34 (i)

4

2

Series 2005-R2 Class M1, 0.6055% 4/25/35 (i)

48

47

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.9355% 3/25/34 (i)

2

2

Series 2004-W11 Class M2, 1.2055% 11/25/34 (i)

25

23

Series 2004-W7 Class M1, 0.9805% 5/25/34 (i)

27

25

Series 2006-W4 Class A2C, 0.3155% 5/25/36 (i)

55

17

Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 0.9805% 4/25/34 (i)

91

85

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

360

362

Capital Trust Ltd. Series 2004-1 Class C, 1.254% 7/20/39 (f)(i)

7

3

Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.2955% 12/25/36 (i)

82

47

CFC LLC:

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

54

54

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

303

304

Countrywide Home Loans, Inc.:

Series 2004-3 Class M4, 1.6105% 4/25/34 (i)

4

3

Series 2004-4 Class M2, 0.9505% 6/25/34 (i)

19

18

Series 2004-7 Class AF5, 5.37% 1/25/35

135

142

Fannie Mae Series 2004-T5 Class AB3, 0.9224% 5/28/35 (i)

2

2

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3305% 8/25/34 (i)

13

10

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 0.9805% 3/25/34 (i)

1

0*

Ford Credit Floorplan Master Owner Trust Series 2013-3 Class A1, 0.79% 6/15/17

700

702

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.8905% 1/25/35 (i)

43

35

Class M4, 1.1755% 1/25/35 (i)

16

6

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6149% 2/25/47 (f)(i)

106

88

GE Business Loan Trust:

Series 2003-1 Class A, 0.5845% 4/15/31 (f)(i)

3

2

Series 2006-2A:

Class A, 0.3345% 11/15/34 (f)(i)

28

26

Class B, 0.4345% 11/15/34 (f)(i)

10

9

Class C, 0.5345% 11/15/34 (f)(i)

17

14

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

GE Business Loan Trust: - continued

Series 2006-2A:

Class D, 0.9045% 11/15/34 (f)(i)

$ 6

$ 5

Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7055% 9/25/46 (f)(i)

30

30

Home Equity Asset Trust:

Series 2003-3 Class M1, 1.4455% 8/25/33 (i)

24

23

Series 2003-5 Class A2, 0.8555% 12/25/33 (i)

1

1

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3455% 1/25/37 (i)

56

28

JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.2855% 11/25/36 (i)

51

50

KeyCorp Student Loan Trust:

Series 1999-A Class A2, 0.5759% 12/27/29 (i)

14

14

Series 2006-A Class 2C, 1.3959% 3/27/42 (i)

43

7

MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4555% 5/25/37 (i)

22

0*

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.1305% 7/25/34 (i)

3

3

Series 2006-FM1 Class A2B, 0.2655% 4/25/37 (i)

28

27

Series 2006-OPT1 Class A1A, 0.6755% 6/25/35 (i)

49

47

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.8355% 8/25/34 (i)

3

3

Series 2005-NC1 Class M1, 0.8155% 1/25/35 (i)

18

17

Series 2005-NC2 Class B1, 1.3255% 3/25/35 (i)

11

5

New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.6655% 9/25/35 (i)

65

54

Ocala Funding LLC:

Series 2005-1A Class A, 1.654% 3/20/10 (d)(f)(i)

25

0

Series 2006-1A Class A, 1.554% 3/20/11 (d)(f)(i)

53

0

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.4055% 9/25/34 (i)

24

22

Class M4, 1.6055% 9/25/34 (i)

31

17

Series 2005-WCH1 Class M4, 0.9855% 1/25/36 (i)

67

55

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9555% 4/25/33 (i)

0*

0*

Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9505% 3/25/35 (i)

46

39

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.1929% 6/15/33 (i)

46

40

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.8805% 9/25/34 (i)

2

2

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0155% 9/25/34 (i)

$ 1

$ 1

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8029% 4/6/42 (f)(i)

60

14

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0386% 10/25/44 (f)(i)

81

78

TOTAL ASSET-BACKED SECURITIES

(Cost $2,900)


3,292

Collateralized Mortgage Obligations - 0.3%

 

Private Sponsor - 0.2%

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7155% 1/25/35 (i)

64

63

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.5778% 10/25/34 (i)

30

30

Granite Master Issuer PLC floater:

Series 2006-1A:

Class A1, 0.224% 12/20/54 (f)(i)

328

324

Class C2, 1.354% 12/20/54 (f)(i)

271

262

Series 2006-2:

Class A4, 0.234% 12/20/54 (i)

93

92

Class C1, 1.094% 12/20/54 (i)

242

229

Series 2006-3:

Class A3, 0.234% 12/20/54 (i)

44

43

Class A7, 0.354% 12/20/54 (i)

51

51

Class C2, 1.154% 12/20/54 (i)

50

48

Series 2006-4:

Class A4, 0.254% 12/20/54 (i)

150

148

Class B1, 0.334% 12/20/54 (i)

169

164

Class C1, 0.914% 12/20/54 (i)

103

97

Class M1, 0.494% 12/20/54 (i)

44

42

Series 2007-1:

Class 1C1, 0.754% 12/20/54 (i)

84

79

Class 1M1, 0.454% 12/20/54 (i)

54

51

Class 2A1, 0.294% 12/20/54 (i)

118

116

Class 2C1, 1.014% 12/20/54 (i)

38

36

Class 2M1, 0.654% 12/20/54 (i)

70

67

Series 2007-2:

Class 2C1, 1.0145% 12/17/54 (i)

97

91

Class 3A1, 0.3345% 12/17/54 (i)

24

24

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.6866% 1/20/44 (i)

$ 19

$ 19

JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.6892% 8/25/36 (i)

56

47

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.3655% 5/25/47 (i)

25

19

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3255% 2/25/37 (i)

37

34

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4455% 7/25/35 (i)

65

63

RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.5065% 7/10/35 (f)(i)

14

13

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2269% 7/20/34 (i)

1

1

Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.4727% 4/25/33 (i)

9

9

TOTAL PRIVATE SPONSOR

2,262

U.S. Government Agency - 0.1%

Fannie Mae:

floater:

Series 2005-38 Class F, 0.4555% 5/25/35 (i)

51

51

Series 2006-50 Class BF, 0.5555% 6/25/36 (i)

67

67

Series 2006-82 Class F, 0.7255% 9/25/36 (i)

89

89

Series 2007-36 Class F, 0.3855% 4/25/37 (i)

80

80

Series 2011-37 Class FA, 0.6055% 5/25/41 (i)

241

242

Series 2011-40 Class DF, 0.6055% 5/25/41 (i)

186

186

Series 2013-62 Class FA, 0.4555% 6/25/43 (i)

339

335

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

7

7

sequential payer:

Series 2010-74 Class WF, 0.7555% 7/25/34 (i)

73

74

Series 2012-120 Class FE 0.4555% 2/25/39 (i)

151

150

Freddie Mac:

floater:

Series 2011-3845 Class FA, 0.5745% 4/15/41 (i)

119

119

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac: - continued

floater:

Series 3830 Class FD, 0.5145% 3/15/41 (i)

$ 347

$ 348

sequential payer Series 2011-3969 Class AF, 0.6045% 10/15/33 (i)

154

155

TOTAL U.S. GOVERNMENT AGENCY

1,903

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $3,062)


4,165

Commercial Mortgage Securities - 1.7%

 

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5236% 2/14/43 (i)(k)

27

1

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.7192% 5/10/45 (i)

33

34

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

315

342

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

177

178

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

150

154

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

857

942

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

233

240

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

43

5

Series 2007-3:

Class A3, 5.6195% 6/10/49 (i)

124

124

Class A4, 5.6195% 6/10/49 (i)

156

173

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

274

296

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.0055% 12/25/33 (f)(i)

2

2

Series 2005-4A:

Class A2, 0.5455% 1/25/36 (f)(i)

45

37

Class B1, 1.5555% 1/25/36 (f)(i)

4

1

Class M1, 0.6055% 1/25/36 (f)(i)

14

8

Class M2, 0.6255% 1/25/36 (f)(i)

4

2

Class M3, 0.6555% 1/25/36 (f)(i)

6

3

Class M4, 0.7655% 1/25/36 (f)(i)

4

2

Class M5, 0.8055% 1/25/36 (f)(i)

4

1

Class M6, 0.8555% 1/25/36 (f)(i)

4

1

Series 2006-3A Class M4, 0.5855% 10/25/36 (f)(i)

4

1

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-1 Class A2, 0.4255% 3/25/37 (f)(i)

$ 26

$ 18

Series 2007-2A:

Class A1, 0.4255% 7/25/37 (f)(i)

26

21

Class A2, 0.4755% 7/25/37 (f)(i)

24

17

Class M1, 0.5255% 7/25/37 (f)(i)

9

3

Class M2, 0.5655% 7/25/37 (f)(i)

4

1

Class M3, 0.6455% 7/25/37 (f)(i)

5

0*

Class M4, 0.8055% 7/25/37 (f)(i)

4

0*

Series 2007-3:

Class A2, 0.4455% 7/25/37 (f)(i)

28

19

Class M1, 0.4655% 7/25/37 (f)(i)

5

3

Class M2, 0.4955% 7/25/37 (f)(i)

5

3

Class M3, 0.5255% 7/25/37 (f)(i)

8

4

Class M4, 0.6555% 7/25/37 (f)(i)

13

3

Class M5, 0.7555% 7/25/37 (f)(i)

7

1

Class M6, 0.9555% 7/25/37 (f)(i)

2

0*

Series 2007-4A:

Class M1, 1.1055% 9/25/37 (f)(i)

10

1

Class M2, 1.2055% 9/25/37 (f)(i)

10

1

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

252

15

Bear Stearns Commercial Mortgage Securities Trust:

floater Series 2007-BBA8:

Class E, 0.4545% 3/15/22 (f)(i)

20

20

Class F, 0.5045% 3/15/22 (f)(i)

78

74

Class G, 0.5545% 3/15/22 (f)(i)

20

19

Class H, 0.7045% 3/15/22 (f)(i)

25

22

Class J, 0.8545% 3/15/22 (f)(i)

25

22

sequential payer Series 2007-PW16 Class A4, 5.7058% 6/11/40 (i)

44

50

Series 2006-T22 Class A4, 5.5801% 4/12/38 (i)

9

10

Series 2007-PW18 Class X2, 0.2966% 6/11/50 (f)(i)(k)

3,806

26

Series 2007-T28 Class X2, 0.1573% 9/11/42 (f)(i)(k)

2,337

8

C-BASS Trust floater Series 2006-SC1 Class A, 0.4255% 5/25/36 (f)(i)

23

22

CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 1.4233% 5/15/35 (f)(i)(k)

160

2

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

Class A3, 5.293% 12/11/49

73

75

Class A4, 5.322% 12/11/49

2,380

2,627

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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, 1.0045% 4/15/17 (f)(i)

6

6

Series 2006-FL12 Class AJ, 0.2845% 12/15/20 (f)(i)

26

26

sequential payer Series 2006-C7 Class A1A, 5.741% 6/10/46 (i)

287

313

Series 2004-LB4A Class A5, 4.84% 10/15/37

594

599

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

76

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5045% 4/15/22 (f)(i)

268

253

Credit Suisse First Boston Mortgage Securities Corp.:

Series 2001-CK6 Class AX, 1.3434% 8/15/36 (i)(k)

5

0*

Series 2001-CKN5 Class AX, 0.6562% 9/15/34 (f)(i)(k)

0*

0*

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class C:

0.3245% 2/15/22 (f)(i)

56

55

0.4245% 2/15/22 (f)(i)

30

30

Class F, 0.4745% 2/15/22 (f)(i)

60

59

Series 2007-C1:

Class ASP, 0.354% 2/15/40 (i)(k)

924

0*

Class B, 5.487% 2/15/40 (f)(i)

115

16

GE Capital Commercial Mortgage Corp.:

sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49

1,194

1,309

Series 2001-1 Class X1, 1.7244% 5/15/33 (f)(i)(k)

15

0*

Series 2007-C1 Class XP, 0.1602% 12/10/49 (i)(k)

477

0*

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.3471% 11/5/21 (f)(i)

28

28

Series 2006-GG7 Class A4, 5.8197% 7/10/38 (i)

176

193

Series 2007-GG11 Class A1, 0.2936% 12/10/49 (f)(i)(k)

1,112

2

GS Mortgage Securities Corp. II Series 2006-GG6 Class A2, 5.506% 4/10/38

10

10

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 80

$ 88

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)

584

596

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FL2A:

Class B, 0.3245% 11/15/18 (f)(i)

32

31

Class C, 0.3645% 11/15/18 (f)(i)

23

22

Class D, 0.3845% 11/15/18 (f)(i)

7

6

Class E, 0.4345% 11/15/18 (f)(i)

10

9

Class F, 0.4845% 11/15/18 (f)(i)

14

14

Class G, 0.5145% 11/15/18 (f)(i)

13

12

Class H, 0.6545% 11/15/18 (f)(i)

10

9

sequential payer:

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

494

540

Series 2006-CB17:

Class A3, 5.45% 12/12/43

4

4

Class A4, 5.429% 12/12/43

240

259

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

835

910

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

31

34

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

70

77

Series 2007-CB19 Class A4, 5.7093% 2/12/49 (i)

1,130

1,262

Series 2007-LD11:

Class A2, 5.7984% 6/15/49 (i)

69

69

Class A4, 5.8134% 6/15/49 (i)

790

881

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

554

613

Series 2006-LDP7 Class A4, 5.8726% 4/15/45 (i)

700

765

Series 2007-CB19:

Class B, 5.7093% 2/12/49 (i)

6

2

Class C, 5.7093% 2/12/49 (i)

17

4

Class D, 5.7093% 2/12/49 (i)

18

3

Series 2007-LDP10:

Class CS, 5.466% 1/15/49 (i)

6

1

Class ES, 5.7261% 1/15/49 (f)(i)

39

2

LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.8924% 7/15/44 (i)

58

65

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

34

37

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

39

40

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

550

607

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

93

101

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

LB-UBS Commercial Mortgage Trust: - continued

Series 2007-C7:

Class A3, 5.866% 9/15/45

$ 444

$ 506

Class XCP, 0.2771% 9/15/45 (i)(k)

4,375

11

Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA Class H, 0.5545% 9/15/21 (f)(i)

12

12

Merrill Lynch Mortgage Trust:

Series 2005-LC1 Class F, 5.4207% 1/12/44 (f)(i)

65

58

Series 2007-C1 Class A4, 5.8409% 6/12/50 (i)

354

398

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.2748% 12/12/49 (i)

4

4

sequential payer:

Series 2006-4:

Class A3, 5.172% 12/12/49 (i)

40

43

Class ASB, 5.133% 12/12/49 (i)

32

33

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

63

69

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

550

609

Series 2007-7 Class A4, 5.7439% 6/12/50 (i)

263

293

Series 2006-4 Class XP, 0.618% 12/12/49 (i)(k)

770

4

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

75

18

Series 2007-7 Class B, 5.7439% 6/12/50 (i)

7

0*

Series 2007-8 Class A3, 5.8943% 8/12/49 (i)

65

73

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.355% 7/15/19 (f)(i)

16

12

Series 2007-XLFA:

Class C, 0.315% 10/15/20 (f)(i)

43

42

Class D, 0.345% 10/15/20 (f)(i)

30

29

Class E, 0.405% 10/15/20 (f)(i)

38

36

Class F, 0.455% 10/15/20 (f)(i)

23

22

Class G, 0.495% 10/15/20 (f)(i)

28

27

Class H, 0.585% 10/15/20 (f)(i)

18

16

Class J, 0.735% 10/15/20 (f)(i)

10

4

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

9

9

Series 2006-IQ11 Class A4, 5.6648% 10/15/42 (i)

20

21

Series 2006-T23 Class A3, 5.8071% 8/12/41 (i)

38

38

Series 2007-HQ12 Class A2, 5.6007% 4/12/49 (i)

301

304

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (i)

113

125

Class B, 5.7406% 4/15/49 (i)

18

4

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 643

$ 817

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2006-WL7A:

Class F, 0.4945% 9/15/21 (f)(i)

65

64

Class G, 0.5145% 9/15/21 (f)(i)

80

79

Class J, 0.7545% 9/15/21 (f)(i)

18

16

Series 2007-WHL8:

Class F, 0.6345% 6/15/20 (f)(i)

168

154

Class LXR1, 0.8545% 6/15/20 (f)(i)

9

8

sequential payer:

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

350

383

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

288

315

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

540

595

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

1,070

1,169

Series 2007-C32 Class A3, 5.7499% 6/15/49 (i)

147

163

Series 2007-C33:

Class A4, 5.9216% 2/15/51 (i)

1,100

1,214

Class A5, 5.9216% 2/15/51 (i)

50

56

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

75

77

Series 2005-C22:

Class B, 5.3811% 12/15/44 (i)

166

163

Class F, 5.3811% 12/15/44 (f)(i)

125

30

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

411

450

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

704

770

Series 2007-C30 Class XP, 0.4783% 12/15/43 (f)(i)(k)

571

0*

Series 2007-C31 Class C, 5.672% 4/15/47 (i)

21

17

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

723

723

Series 2007-C32:

Class D, 5.7499% 6/15/49 (i)

56

25

Class E, 5.7499% 6/15/49 (i)

89

30

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $23,941)


25,995

Municipal Securities - 0.5%

 

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

102

California Gen. Oblig.:

Series 2009, 7.35% 11/1/39

70

94

Municipal Securities - continued

 

Principal Amount (000s)

Value (000s)

California Gen. Oblig.: - continued

7.3% 10/1/39

$ 535

$ 720

7.5% 4/1/34

465

631

7.6% 11/1/40

895

1,262

7.625% 3/1/40

150

209

Chicago Gen. Oblig. (Taxable Proj.):

Series 2008 B, 5.63% 1/1/22

80

84

Series 2010 C1, 7.781% 1/1/35

395

470

Series 2012 B, 5.432% 1/1/42

105

93

Illinois Gen. Oblig.:

Series 2003, 5.1% 6/1/33

1,785

1,754

Series 2010, 4.421% 1/1/15

260

268

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

320

354

Series 2010-3:

5.547% 4/1/19

10

11

6.725% 4/1/35

475

529

7.35% 7/1/35

220

257

Series 2011:

4.961% 3/1/16

35

37

5.665% 3/1/18

265

294

5.877% 3/1/19

695

780

Series 2013:

2.69% 12/1/17

110

111

3.14% 12/1/18

115

115

TOTAL MUNICIPAL SECURITIES

(Cost $7,951)


8,175

Foreign Government and Government Agency Obligations - 0.2%

 

Banco Nacional de Desenvolvimento Economico e Social:

3.375% 9/26/16 (f)

365

372

5.75% 9/26/23 (f)

332

338

Brazilian Federative Republic:

4.25% 1/7/25

355

342

5.625% 1/7/41

400

393

United Mexican States:

4% 10/2/23

804

814

4.75% 3/8/44

352

328

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $2,617)


2,587

Bank Notes - 0.0%

 

Principal Amount (000s)

Value (000s)

Fifth Third Bank 4.75% 2/1/15
(Cost $253)

$ 250

$ 260

Fixed-Income Funds - 7.2%

Shares

 

Fidelity High Income Central Fund 2 (j)

302,909

36,040

Fidelity Mortgage Backed Securities Central Fund (j)

685,043

73,389

TOTAL FIXED-INCOME FUNDS

(Cost $101,619)


109,429

Money Market Funds - 5.0%

 

 

 

 

Fidelity Cash Central Fund, 0.10% (b)

69,820,890

69,821

Fidelity Securities Lending Cash Central Fund, 0.09% (b)(c)

6,542,425

6,542

TOTAL MONEY MARKET FUNDS

(Cost $76,363)


76,363

TOTAL INVESTMENT PORTFOLIO - 100.9%

(Cost $1,278,664)

1,542,345

NET OTHER ASSETS (LIABILITIES) - (0.9)%

(14,399)

NET ASSETS - 100%

$ 1,527,946

TBA Sale Commitments

 

Principal Amount (000s)

Value (000s)

Fannie Mae

3.5% 3/1/44

$ (1,000)

$ (1,013)

4% 3/1/44

(100)

(105)

4% 3/1/44

(500)

(524)

TOTAL FANNIE MAE

(1,642)

Ginnie Mae

4% 3/1/44

(200)

(212)

TOTAL TBA SALE COMMITMENTS

(Proceeds $1,846)

$ (1,854)

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Equity Index Contracts

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

March 2014

$ 21,920

$ 861

 

The face value of futures purchased as a percentage of net assets is 1.4%

Swaps

Credit Default Swaps

Underlying Reference

Rating
(1)

Expiration Date

Clearinghouse/Counterparty

Fixed Payment Received/
(Paid)

Notional
Amount (2)
(000s)

Value (1) (000s)

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

4.25%

$ 29

$ (28)

$ -

$ (28)

 

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

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

(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 $18,699,000 or 1.2% 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 $1,155,000.

(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 $1,820,000 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

Xero Ltd.

10/14/13

$ 411

* Amount represents less than $1,000.

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Cash Central Fund

$ 21

Fidelity High Income Central Fund 2

1,052

Fidelity Mortgage Backed Securities Central Fund

984

Fidelity Securities Lending Cash Central Fund

7

Total

$ 2,064

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

$ 31,618

$ 3,055

$ -

$ 36,040

4.2%

Fidelity Mortgage Backed Securities Central Fund

85,122

984

14,235

73,389

0.7%

Total

$ 116,740

$ 4,039

$ 14,235

$ 109,429

Other Information

The following is a summary of the inputs used, as of February 28, 2014, 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

$ 125,497

$ 124,749

$ -

$ 748

Consumer Staples

101,744

98,987

2,757

-

Energy

104,367

104,367

-

-

Financials

179,910

176,431

3,479

-

Health Care

151,960

145,070

6,890

-

Industrials

105,340

105,340

-

-

Information Technology

197,859

196,515

1,091

253

Materials

39,537

39,537

-

-

Telecommunication Services

26,267

22,538

3,729

-

Utilities

32,690

32,690

-

-

Corporate Bonds

111,959

-

111,959

-

U.S. Government and Government Agency Obligations

119,345

-

119,345

-

U.S. Government Agency - Mortgage Securities

15,604

-

15,604

-

Asset-Backed Securities

3,292

-

3,165

127

Collateralized Mortgage Obligations

4,165

-

4,152

13

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Commercial Mortgage Securities

$ 25,995

$ -

$ 25,928

$ 67

Municipal Securities

8,175

-

8,175

-

Foreign Government and Government Agency Obligations

2,587

-

2,587

-

Bank Notes

260

-

260

-

Fixed-Income Funds

109,429

109,429

-

-

Money Market Funds

76,363

76,363

-

-

Total Investments in Securities:

$ 1,542,345

$ 1,232,016

$ 309,121

$ 1,208

Derivative Instruments:

Assets

Futures Contracts

$ 861

$ 861

$ -

$ -

Liabilities

Swaps

$ (28)

$ -

$ (28)

$ -

Total Derivative Instruments:

$ 833

$ 861

$ (28)

$ -

Other Financial Instruments:

TBA Sale Commitments

$ (1,854)

$ -

$ (1,854)

$ -

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, 2014. 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

Credit Risk

Swaps (b)

$ -

$ (28)

Equity Risk

Futures Contracts (a)

861

-

Total Value of Derivatives

$ 861

$ (28)

(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

3.4%

BBB

5.9%

BB

0.7%

B

1.5%

CCC,CC,C

0.5%

D

0.0%*

Not Rated

0.2%

Equities

69.8%

Short-Term Investments and Net Other Assets

4.6%

 

100%

* Amount represents less than 0.1%

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

89.4%

United Kingdom

2.2%

Ireland

2.1%

Netherlands

1.2%

Others (Individually Less Than 1%)

5.1%

 

100.0%

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

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amounts)

February 28, 2014 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including securities loaned of $6,357) - See accompanying schedule:

Unaffiliated issuers (cost $1,100,682)

$ 1,356,553

 

Fidelity Central Funds (cost $177,982)

185,792

 

Total Investments (cost $1,278,664)

 

$ 1,542,345

Cash

 

56

Receivable for investments sold, regular delivery

10,314

Receivable for TBA sale commitments

 

1,846

Receivable for fund shares sold

1,751

Dividends receivable

1,787

Interest receivable

1,931

Distributions receivable from Fidelity Central Funds

5

Receivable for daily variation margin for derivative instruments

44

Prepaid expenses

2

Other receivables

42

Total assets

1,560,123

 

 

 

Liabilities

Payable for investments purchased
Regular delivery

$ 14,241

Delayed delivery

4,597

TBA sale commitments, at value

1,854

Payable for swaps

2

Payable for fund shares redeemed

3,463

Bi-lateral OTC swaps, at value

28

Accrued management fee

497

Distribution and service plan fees payable

564

Other affiliated payables

279

Other payables and accrued expenses

110

Collateral on securities loaned, at value

6,542

Total liabilities

32,177

 

 

 

Net Assets

$ 1,527,946

Net Assets consist of:

 

Paid in capital

$ 1,234,485

Undistributed net investment income

4,208

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

24,748

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

264,505

Net Assets

$ 1,527,946

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

Semiannual Report

Statement of Assets and Liabilities - continued

 Amounts in thousands (except per-share amounts)

February 28, 2014 (Unaudited)

 

 

 

Calculation of Maximum Offering Price

Class A:
Net Asset Value and redemption price per share ($328,218.47 ÷ 17,104.713 shares)

$ 19.19

 

 

 

Maximum offering price per share (100/94.25 of $19.19)

$ 20.36

Class T:
Net Asset Value and redemption price per share ($923,655.96 ÷ 47,721.369 shares)

$ 19.36

 

 

 

Maximum offering price per share (100/96.50 of $19.36)

$ 20.06

Class B:
Net Asset Value and offering price per share ($12,106.73 ÷ 630.728 shares)A

$ 19.19

 

 

 

Class C:
Net Asset Value and offering price per share ($138,401.69 ÷ 7,249.458 shares)A

$ 19.09

 

 

 

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($125,453.18 ÷ 6,437.466 shares)

$ 19.49

 

 

 

Class Z:
Net Asset Value, offering price and redemption price per share ($110.25 ÷ 5.657 shares)

$ 19.49

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

Financial Statements - continued

Statement of Operations

 Amounts in thousands Six months ended February 28, 2014 (Unaudited)

 

  

  

Investment Income

  

  

Dividends

 

$ 8,447

Interest (including $1 from security lending)

 

4,744

Income from Fidelity Central Funds

 

2,064

Total income

 

15,255

 

 

 

Expenses

Management fee

$ 2,853

Transfer agent fees

1,359

Distribution and service plan fees

3,238

Accounting and security lending fees

286

Custodian fees and expenses

55

Independent trustees' compensation

3

Registration fees

83

Audit

63

Legal

4

Miscellaneous

3

Total expenses before reductions

7,947

Expense reductions

(27)

7,920

Net investment income (loss)

7,335

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

49,750

Fidelity Central Funds

(94)

 

Foreign currency transactions

5

Futures contracts

1,370

Swaps

(32)

 

Total net realized gain (loss)

 

50,999

Change in net unrealized appreciation (depreciation) on:

Investment securities

108,473

Assets and liabilities in foreign currencies

1

Futures contracts

714

Swaps

30

Delayed delivery commitments

(28)

 

Total change in net unrealized appreciation (depreciation)

 

109,190

Net gain (loss)

160,189

Net increase (decrease) in net assets resulting from operations

$ 167,524

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

Semiannual Report

Statement of Changes in Net Assets

 Amounts in thousands

Six months ended February 28, 2014 (Unaudited)

Year ended
August 31,
2013

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 7,335

$ 13,390

Net realized gain (loss)

50,999

72,815

Change in net unrealized appreciation (depreciation)

109,190

36,132

Net increase (decrease) in net assets resulting
from operations

167,524

122,337

Distributions to shareholders from net investment income

(6,085)

(12,715)

Distributions to shareholders from net realized gain

(56,875)

-

Total distributions

(62,960)

(12,715)

Share transactions - net increase (decrease)

117,040

50,238

Total increase (decrease) in net assets

221,604

159,860

 

 

 

Net Assets

Beginning of period

1,306,342

1,146,482

End of period (including undistributed net investment income of $4,208 and undistributed net investment income of $2,958, respectively)

$ 1,527,946

$ 1,306,342

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

Semiannual Report

Financial Highlights - Class A

 

Six months ended
February 28, 2014

Years ended August 31,

 

(Unaudited)

2013

2012

2011

2010

2009

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 17.84

$ 16.31

$ 14.83

$ 13.29

$ 12.61

$ 14.55

Income from InvestmentOperations

 

 

 

 

 

Net investment income (loss) E

  .11

  .22

  .24

  .23

  .24

  .25

Net realized and unrealized gain (loss)

  2.11

  1.52

  1.48

  1.55

  .70

  (1.93)

Total from investment operations

  2.22

  1.74

  1.72

  1.78

  .94

  (1.68)

Distributions from net investment income

  (.10)

  (.21)

  (.24)

  (.23)

  (.24)

  (.21)

Distributions from net realized gain

  (.77)

  -

  -

  (.01)

  (.02)

  (.05)

Total distributions

  (.87)

  (.21)

  (.24)

  (.24)

  (.26) I

  (.26)

Net asset value, end of period

$ 19.19

$ 17.84

$ 16.31

$ 14.83

$ 13.29

$ 12.61

Total Return B, C, D

  12.79%

  10.74%

  11.72%

  13.34%

  7.44%

  (11.30)%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  .93% A

  .95%

  .98%

  1.00%

  1.00%

  1.06%

Expenses net of fee waivers, if any

  .93% A

  .95%

  .98%

  1.00%

  1.00%

  1.06%

Expenses net of all reductions

  .92% A

  .94%

  .98%

  .99%

  .99%

  1.06%

Net investment income (loss)

  1.22% A

  1.27%

  1.56%

  1.53%

  1.76%

  2.24%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 328

$ 270

$ 249

$ 215

$ 203

$ 213

Portfolio turnover rate G

  90% A

  124%

  124%

  146% J

  116%

  215% J

A Annualized

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

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

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

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

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

I Total 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.

J The 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, 2014

Years ended August 31,

 

(Unaudited)

2013

2012

2011

2010

2009

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 17.99

$ 16.44

$ 14.95

$ 13.40

$ 12.70

$ 14.66

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .09

  .18

  .21

  .20

  .21

  .23

Net realized and unrealized gain (loss)

  2.13

  1.54

  1.49

  1.56

  .72

  (1.95)

Total from investment operations

  2.22

  1.72

  1.70

  1.76

  .93

  (1.72)

Distributions from net investment income

  (.08)

  (.17)

  (.21)

  (.20)

  (.21)

  (.19)

Distributions from net realized gain

  (.77)

  -

  -

  (.01)

  (.02)

  (.05)

Total distributions

  (.85)

  (.17)

  (.21)

  (.21)

  (.23) I

  (.24)

Net asset value, end of period

$ 19.36

$ 17.99

$ 16.44

$ 14.95

$ 13.40

$ 12.70

Total Return B, C, D

  12.66%

  10.55%

  11.44%

  13.09%

  7.32%

  (11.54)%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.15% A

  1.17%

  1.19%

  1.20%

  1.23%

  1.29%

Expenses net of fee waivers, if any

  1.15% A

  1.17%

  1.19%

  1.20%

  1.23%

  1.29%

Expenses net of all reductions

  1.15% A

  1.16%

  1.18%

  1.19%

  1.21%

  1.29%

Net investment income (loss)

  1.00% A

  1.05%

  1.36%

  1.33%

  1.54%

  2.01%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 924

$ 821

$ 737

$ 673

$ 619

$ 621

Portfolio turnover rate G

  90% A

  124%

  124%

  146% J

  116%

  215% J

A Annualized

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

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

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

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

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

I Total 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.

J The 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, 2014

Years ended August 31,

 

(Unaudited)

2013

2012

2011

2010

2009

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 17.84

$ 16.30

$ 14.81

$ 13.27

$ 12.58

$ 14.51

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .04

  .08

  .12

  .11

  .13

  .16

Net realized and unrealized gain (loss)

  2.10

  1.52

  1.47

  1.54

  .71

  (1.92)

Total from investment operations

  2.14

  1.60

  1.59

  1.65

  .84

  (1.76)

Distributions from net investment income

  (.02)

  (.06)

  (.10)

  (.10)

  (.13)

  (.13)

Distributions from net realized gain

  (.77)

  -

  -

  (.01)

  (.02)

  (.04)

Total distributions

  (.79)

  (.06)

  (.10)

  (.11)

  (.15) I

  (.17)

Net asset value, end of period

$ 19.19

$ 17.84

$ 16.30

$ 14.81

$ 13.27

$ 12.58

Total Return B, C, D

  12.29%

  9.85%

  10.78%

  12.42%

  6.66%

  (11.98)%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.77% A

  1.78%

  1.78%

  1.80%

  1.82%

  1.83%

Expenses net of fee waivers, if any

  1.77% A

  1.78%

  1.78%

  1.80%

  1.82%

  1.83%

Expenses net of all reductions

  1.76% A

  1.77%

  1.78%

  1.79%

  1.81%

  1.83%

Net investment income (loss)

  .38% A

  .44%

  .76%

  .73%

  .94%

  1.46%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 12

$ 13

$ 15

$ 19

$ 24

$ 29

Portfolio turnover rate G

  90% A

  124%

  124%

  146% J

  116%

  215% J

A Annualized

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

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

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

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

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

I Total 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.

J The 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, 2014

Years ended August 31,

 

(Unaudited)

2013

2012

2011

2010

2009

Selected Per-Share Data

 

 

 

 

 

 

Net asset value, beginning of period

$ 17.76

$ 16.24

$ 14.77

$ 13.23

$ 12.55

$ 14.49

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .04

  .09

  .13

  .12

  .13

  .17

Net realized and unrealized gain (loss)

  2.09

  1.52

  1.46

  1.55

  .71

  (1.93)

Total from investment operations

  2.13

  1.61

  1.59

  1.67

  .84

  (1.76)

Distributions from net investment income

  (.03)

  (.09)

  (.12)

  (.12)

  (.15)

  (.13)

Distributions from net realized gain

  (.77)

  -

  -

  (.01)

  (.02)

  (.05)

Total distributions

  (.80)

  (.09)

  (.12)

  (.13)

  (.16) I

  (.18)

Net asset value, end of period

$ 19.09

$ 17.76

$ 16.24

$ 14.77

$ 13.23

$ 12.55

Total Return B, C, D

  12.33%

  9.93%

  10.81%

  12.59%

  6.69%

  (12.02)%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.69% A

  1.71%

  1.73%

  1.74%

  1.76%

  1.82%

Expenses net of fee waivers, if any

  1.69% A

  1.71%

  1.73%

  1.74%

  1.76%

  1.82%

Expenses net of all reductions

  1.68% A

  1.70%

  1.72%

  1.73%

  1.75%

  1.81%

Net investment income (loss)

  .46% A

  .51%

  .81%

  .79%

  1.00%

  1.48%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 138

$ 105

$ 80

$ 69

$ 62

$ 61

Portfolio turnover rate G

  90% A

  124%

  124%

  146% J

  116%

  215% J

A Annualized

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

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

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

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

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

I Total 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.

J The 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, 2014

Years ended August 31,

 

(Unaudited)

2013

2012

2011

2010

2009

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 18.11

$ 16.55

$ 15.06

$ 13.49

$ 12.79

$ 14.76

Income from InvestmentOperations

 

 

 

 

 

Net investment income (loss) D

  .14

  .27

  .29

  .28

  .28

  .28

Net realized and unrealized gain (loss)

  2.13

  1.55

  1.49

  1.57

  .72

  (1.95)

Total from investment operations

  2.27

  1.82

  1.78

  1.85

  1.00

  (1.67)

Distributions from net investment income

  (.12)

  (.26)

  (.29)

  (.27)

  (.28)

  (.25)

Distributions from net realized gain

  (.77)

  -

  -

  (.01)

  (.02)

  (.05)

Total distributions

  (.89)

  (.26)

  (.29)

  (.28)

  (.30) H

  (.30)

Net asset value, end of period

$ 19.49

$ 18.11

$ 16.55

$ 15.06

$ 13.49

$ 12.79

Total Return B, C

  12.91%

  11.08%

  11.96%

  13.69%

  7.81%

  (11.07)%

Ratios to Average Net Assets E, G

 

 

 

 

 

Expenses before reductions

  .66% A

  .68%

  .70%

  .71%

  .73%

  .79%

Expenses net of fee waivers, if any

  .66% A

  .68%

  .70%

  .71%

  .73%

  .79%

Expenses net of all reductions

  .66% A

  .67%

  .70%

  .70%

  .72%

  .78%

Net investment income (loss)

  1.49% A

  1.54%

  1.84%

  1.82%

  2.03%

  2.51%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 125

$ 97

$ 66

$ 42

$ 34

$ 24

Portfolio turnover rate F

  90% A

  124%

  124%

  146% I

  116%

  215%I

A Annualized

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

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

D Calculated based on average shares outstanding during the period.

E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

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

H Total 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.

I The 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, 2014

Year ended
August 31,

 

(Unaudited)

2013 G

Selected Per-Share Data

 

 

Net asset value, beginning of period

$ 18.11

$ 18.56

Income from Investment Operations

 

 

Net investment income (loss) D

  .15

  .01

Net realized and unrealized gain (loss)

  2.14

  (.46)

Total from investment operations

  2.29

  (.45)

Distributions from net investment income

  (.14)

  -

Distributions from net realized gain

  (.77)

  -

Total distributions

  (.91)

  -

Net asset value, end of period

$ 19.49

$ 18.11

Total Return B, C

  13.00%

  (2.42)%

Ratios to Average Net Assets E, H

 

 

Expenses before reductions

  .52% A

  .53% A

Expenses net of fee waivers, if any

  .52% A

  .53% A

Expenses net of all reductions

  .52% A

  .52% A

Net investment income (loss)

  1.63% A

  .85% A

Supplemental Data

 

 

Net assets, end of period (000 omitted)

 $ 110

 $ 98

Portfolio turnover rate F

  90% A

  124%

A Annualized

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

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

D Calculated based on average shares outstanding during the period.

E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

G For the period August 13, 2013 (commencement of sale of shares) to August 31, 2013.

H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. 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.

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

Semiannual Report

Notes to Financial Statements

For the period ended February 28, 2014 (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

Repurchase Agreements

Restricted Securities

 

Less than 0.01%

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

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 0.01%

* 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 its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

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

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

Semiannual Report

3. Significant Accounting Policies - continued

Investment Valuation - continued

predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Investment Valuation - continued

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.

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, 2014, is included at the end of the Fund's Schedule of Investments.

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

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

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

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

Semiannual Report

3. Significant Accounting Policies - continued

Investment Transactions and Income - continued

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. 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 and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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

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

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

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, capital loss carryforwards 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

$ 268,218

Gross unrealized depreciation

(7,916)

Net unrealized appreciation (depreciation) on securities and other investments

$ 260,302

 

 

Tax cost

$ 1,282,043

Semiannual Report

3. Significant Accounting Policies - continued

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.

To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls - continued

TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.

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.

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 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.

Semiannual Report

4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

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 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.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

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

$ (32)

$ 30

Equity Risk

 

 

Futures Contracts

1,370

714

Totals (a)

$ 1,338

$ 744

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

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

Semiannual Report

4. Derivative Instruments - continued

Swaps - continued

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). Realized gain or (loss) is also recorded in the event of an early termination of a swap. 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.

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.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

Credit Default Swaps - continued

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 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 $403,169 and $380,257, 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.

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

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%

$ 371

$ 20

Class T

.25%

.25%

2,200

33

Class B

.75%

.25%

62

47

Class C

.75%

.25%

605

123

 

 

 

$ 3,238

$ 223

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

$ 69

Class T

21

Class B*

4

Class C*

10

 

$ 104

* 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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

6. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

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
Average
Net Assets*

Class A

$ 306

.21

Class T

799

.18

Class B

19

.30

Class C

130

.21

Institutional Class

105

.19

Class Z

-**

.05

 

$ 1,359

 

* Annualized

** Amount represents twenty-six dollars

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, there were no borrowings on this line of credit.

Semiannual Report

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. 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. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $1. 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 $7. During the period, there were no securities loaned to FCM.

9. Expense Reductions.

The investment adviser voluntarily agreed to reimburse a portion of the Fund's Class A, Class T, Class C and Institutional Class operating expenses.

During the period, this reimbursement reduced expenses as follows:

 

Reimbursement

Class A

$ 3

Class T

9

Class C

1

Institutional Class

1

 

$ 14

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

9. Expense Reductions - continued

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 $13 for the period.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
February 28, 2014

Year ended
August 31, 2013

From net investment income

 

 

Class A

$ 1,541

$ 3,147

Class T

3,617

7,824

Class B

12

52

Class C

215

447

Institutional Class

699

1,245

Class Z

1

-

Total

$ 6,085

$ 12,715

From net realized gain

 

 

Class A

$ 11,846

$ -

Class T

35,422

-

Class B

522

-

Class C

4,798

-

Institutional Class

4,283

-

Class Z

4

-

Total

$ 56,875

$ -

11. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares

Dollars

Six months ended
February 28, 2014

Year ended
August 31, 2013A

Six months ended
February 28, 2014

Year ended
August 31, 2013A

Class A

 

 

 

 

Shares sold

2,796

3,876

$ 51,933

$ 66,780

Reinvestment of distributions

705

176

12,722

2,976

Shares redeemed

(1,545)

(4,158)

(28,618)

(70,968)

Net increase (decrease)

1,956

(106)

$ 36,037

$ (1,212)

Semiannual Report

11. Share Transactions - continued

 

Shares

Dollars

Six months ended
February 28, 2014

Year ended
August 31, 2013A

Six months ended
February 28, 2014

Year ended
August 31, 2013A

Class T

 

 

 

 

Shares sold

5,744

11,028

$ 107,487

$ 191,060

Reinvestment of distributions

2,078

442

37,836

7,519

Shares redeemed

(5,734)

(10,672)

(107,232)

(185,185)

Net increase (decrease)

2,088

798

$ 38,091

$ 13,394

Class B

 

 

 

 

Shares sold

29

91

$ 529

$ 1,597

Reinvestment of distributions

26

3

475

47

Shares redeemed

(131)

(330)

(2,422)

(5,668)

Net increase (decrease)

(76)

(236)

$ (1,418)

$ (4,024)

Class C

 

 

 

 

Shares sold

1,529

1,878

$ 28,249

$ 32,570

Reinvestment of distributions

257

24

4,619

408

Shares redeemed

(444)

(897)

(8,170)

(15,312)

Net increase (decrease)

1,342

1,005

$ 24,698

$ 17,666

Institutional Class

 

 

 

 

Shares sold

2,087

3,287

$ 39,269

$ 57,536

Reinvestment of distributions

263

70

4,817

1,210

Shares redeemed

(1,295)

(1,941)

(24,459)

(34,432)

Net increase (decrease)

1,055

1,416

$ 19,627

$ 24,314

Class Z

 

 

 

 

Shares sold

-

5

$ -

$ 100

Reinvestment of distributions

1

-

5

-

Net increase (decrease)

1

5

$ 5

$ 100

A Share transactions for Class Z are for the period August 13, 2013 (commencement of sale of shares) to August 31, 2013.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

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.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Inc.

Fidelity Management & Research
(U.K.) Inc.

General Distributor

Fidelity Distributors Corporation

Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank

New York, NY

(Fidelity Investment logo)(registered trademark)

AIG-USAN-0414
1.786777.111

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

Balanced Fund -

Institutional Class

Semiannual Report

February 28, 2014

(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. © 2014 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, 2013 to February 28, 2014).

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, 2013

Ending
Account Value
February 28, 2014

Expenses Paid
During Period*
September 1, 2013 to
February 28, 2014

Class A

.93%

 

 

 

Actual

 

$ 1,000.00

$ 1,127.90

$ 4.91

HypotheticalA

 

$ 1,000.00

$ 1,020.18

$ 4.66

Class T

1.15%

 

 

 

Actual

 

$ 1,000.00

$ 1,126.60

$ 6.06

HypotheticalA

 

$ 1,000.00

$ 1,019.09

$ 5.76

Class B

1.77%

 

 

 

Actual

 

$ 1,000.00

$ 1,122.90

$ 9.32

HypotheticalA

 

$ 1,000.00

$ 1,016.02

$ 8.85

Class C

1.69%

 

 

 

Actual

 

$ 1,000.00

$ 1,123.30

$ 8.90

HypotheticalA

 

$ 1,000.00

$ 1,016.41

$ 8.45

Institutional Class

.66%

 

 

 

Actual

 

$ 1,000.00

$ 1,129.10

$ 3.48

HypotheticalA

 

$ 1,000.00

$ 1,021.52

$ 3.31

Class Z

.52%

 

 

 

Actual

 

$ 1,000.00

$ 1,130.00

$ 2.75

HypotheticalA

 

$ 1,000.00

$ 1,022.22

$ 2.61

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 0.01%.

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, 2014

 

% of fund's
net assets

% of fund's net assets
6 months ago

Google, Inc. Class A

2.1

1.3

Apple, Inc.

2.0

2.5

JPMorgan Chase & Co.

1.6

1.4

Procter & Gamble Co.

1.3

1.4

Bank of America Corp.

1.2

1.2

 

8.2

Top Five Bond Issuers as of February 28, 2014

(with maturities greater than one year)

% of fund's
net assets

% of fund's net assets
6 months ago

U.S. Treasury Obligations

7.7

6.8

Fannie Mae

2.8

5.1

Freddie Mac

1.6

1.6

Ginnie Mae

1.0

1.6

Wachovia Bank Commercial Mortgage Trust

0.4

0.4

 

13.5

Top Five Market Sectors as of February 28, 2014

 

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

15.8

15.7

Information Technology

13.1

13.3

Health Care

10.5

9.3

Consumer Discretionary

9.3

9.0

Energy

8.0

8.3

Asset Allocation (% of fund's net assets)

As of February 28, 2014*

As of August 31, 2013**

qqq1013953

Stocks and
Equity Futures 71.1%

 

qqq1013953

Stocks and
Equity Futures 70.0%

 

qqq1013956

Bonds 25.4%

 

qqq1013956

Bonds 27.7%

 

qqq1013959

Convertible
Securities 0.1%

 

qqq1013959

Convertible
Securities 0.1%

 

qqq1013962

Other Investments 0.2%

 

qqq1013962

Other Investments 0.2%

 

qqq1013965

Short-Term
Investments and
Net Other Assets (Liabilities) 3.2%

 

qqq1013965

Short-Term
Investments and
Net Other Assets (Liabilities) 2.0%

 

* Foreign investments

10.6%

 

** Foreign investments

10.0%

 

qqq1013985

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, 2014 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 69.7%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 8.2%

Automobiles - 0.1%

Tesla Motors, Inc. (a)

5,145

$ 1,260

Diversified Consumer Services - 0.3%

H&R Block, Inc.

152,781

4,834

Hotels, Restaurants & Leisure - 1.7%

Extended Stay America, Inc. unit

189,339

4,824

McDonald's Corp.

86,675

8,247

Wynn Resorts Ltd.

21,809

5,288

Yum! Brands, Inc.

111,592

8,267

 

26,626

Internet & Catalog Retail - 0.4%

Liberty Interactive Corp. Series A (a)

217,597

6,354

Media - 3.3%

Comcast Corp. Class A

39,996

2,067

DIRECTV (a)

98,949

7,678

Legend Pictures LLC (a)(l)(m)

415

748

The Madison Square Garden Co. Class A (a)

62,357

3,555

The Walt Disney Co.

131,689

10,642

Time Warner, Inc.

132,159

8,872

Twenty-First Century Fox, Inc. Class A

310,043

10,399

Viacom, Inc. Class B (non-vtg.)

78,518

6,888

 

50,849

Multiline Retail - 1.1%

Dollar General Corp. (a)

126,135

7,555

Target Corp.

137,418

8,594

 

16,149

Specialty Retail - 0.6%

TJX Companies, Inc.

146,480

9,003

Textiles, Apparel & Luxury Goods - 0.7%

Fossil Group, Inc. (a)

29,723

3,415

lululemon athletica, Inc. (a)(e)

52,886

2,661

Oxford Industries, Inc.

16,730

1,309

PVH Corp.

24,019

3,037

 

10,422

TOTAL CONSUMER DISCRETIONARY

125,497

CONSUMER STAPLES - 6.6%

Beverages - 1.5%

Anheuser-Busch InBev SA NV

14,329

1,499

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Beverages - continued

Coca-Cola Icecek A/S

18,269

$ 353

Diageo PLC sponsored ADR

17,969

2,259

Embotelladora Andina SA sponsored ADR

18,311

422

Pernod Ricard SA

19,496

2,295

Remy Cointreau SA

24,604

2,089

The Coca-Cola Co.

373,399

14,264

 

23,181

Food & Staples Retailing - 1.5%

CVS Caremark Corp.

131,427

9,613

Kroger Co.

168,118

7,051

Sysco Corp.

57,573

2,074

Wal-Mart Stores, Inc.

55,549

4,150

 

22,888

Food Products - 0.6%

Bunge Ltd.

25,138

2,001

ConAgra Foods, Inc.

54,315

1,543

Green Mountain Coffee Roasters, Inc.

9,740

1,069

Mead Johnson Nutrition Co. Class A

41,589

3,392

Nestle SA

16,652

1,258

 

9,263

Household Products - 1.3%

Procter & Gamble Co.

253,428

19,935

Personal Products - 0.0%

Nu Skin Enterprises, Inc. Class A

7,139

596

Tobacco - 1.7%

Altria Group, Inc.

233,403

8,463

British American Tobacco PLC sponsored ADR

138,899

15,111

Philip Morris International, Inc.

16,155

1,307

Souza Cruz SA

54,950

477

 

25,358

TOTAL CONSUMER STAPLES

101,221

ENERGY - 6.8%

Energy Equipment & Services - 1.2%

C&J Energy Services, Inc. (a)

67,510

1,745

Cameron International Corp. (a)

58,872

3,771

Dril-Quip, Inc. (a)

13,339

1,435

FMC Technologies, Inc. (a)

52,716

2,648

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Energy Equipment & Services - continued

Halliburton Co.

88,407

$ 5,039

Ocean Rig UDW, Inc. (United States) (a)

42,944

748

Oceaneering International, Inc.

27,829

1,992

Pacific Drilling SA (a)

63,930

694

Vantage Drilling Co. (a)

204,060

357

 

18,429

Oil, Gas & Consumable Fuels - 5.6%

Anadarko Petroleum Corp.

91,573

7,707

BG Group PLC

74,000

1,349

Bill Barrett Corp. (a)

29,566

749

Cabot Oil & Gas Corp.

122,015

4,271

Carrizo Oil & Gas, Inc. (a)

24,804

1,234

Chevron Corp.

75,576

8,716

ConocoPhillips Co.

150,367

9,999

Continental Resources, Inc. (a)

27,266

3,259

EOG Resources, Inc.

31,055

5,882

Exxon Mobil Corp.

142,891

13,756

Kinder Morgan Holding Co. LLC

67,000

2,134

Laredo Petroleum Holdings, Inc. (a)

33,624

877

Marathon Oil Corp.

116,536

3,904

Noble Energy, Inc.

45,045

3,097

ONEOK, Inc.

37,252

2,203

Peabody Energy Corp.

92,312

1,621

Phillips 66 Co.

94,144

7,048

Phillips 66 Partners LP

11,619

532

Spectra Energy Corp.

80,500

3,001

Suncor Energy, Inc. (e)

40,155

1,325

Valero Energy Partners LP

41,469

1,534

Whiting Petroleum Corp. (a)

25,323

1,740

 

85,938

TOTAL ENERGY

104,367

FINANCIALS - 11.8%

Capital Markets - 1.4%

Ameriprise Financial, Inc.

37,189

4,053

BlackRock, Inc. Class A

11,790

3,594

Credit Suisse Group AG

9,691

304

E*TRADE Financial Corp. (a)

99,621

2,238

Evercore Partners, Inc. Class A

12,200

679

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Invesco Ltd.

86,009

$ 2,950

Morgan Stanley

29,760

917

Northern Trust Corp.

31,405

1,942

Oaktree Capital Group LLC Class A

40,786

2,516

The Blackstone Group LP

66,455

2,216

 

21,409

Commercial Banks - 1.9%

Barclays PLC

433,841

1,828

Erste Group Bank AG

22,154

786

Huntington Bancshares, Inc.

498,093

4,747

Mitsubishi UFJ Financial Group, Inc.

232,500

1,347

Societe Generale Series A

30,100

2,010

SunTrust Banks, Inc.

73,754

2,779

Synovus Financial Corp.

299,205

1,041

U.S. Bancorp

329,133

13,541

 

28,079

Consumer Finance - 1.6%

Capital One Financial Corp.

234,434

17,214

Discover Financial Services

48,632

2,791

Santander Consumer U.S.A. Holdings, Inc.

23,700

600

SLM Corp.

169,107

4,048

 

24,653

Diversified Financial Services - 4.0%

Bank of America Corp.

1,152,391

19,049

Berkshire Hathaway, Inc. Class A (a)

7

1,216

Citigroup, Inc.

242,530

11,794

IntercontinentalExchange Group, Inc.

16,676

3,483

JPMorgan Chase & Co.

436,432

24,798

KBC Ancora (a)

20,348

804

McGraw Hill Financial, Inc.

4,000

319

 

61,463

Insurance - 1.6%

ACE Ltd.

7,836

767

Direct Line Insurance Group PLC

557,712

2,470

esure Group PLC

159,774

721

Fairfax Financial Holdings Ltd. (sub. vtg.)

4,100

1,703

Marsh & McLennan Companies, Inc.

95,553

4,602

MetLife, Inc.

207,867

10,533

The Travelers Companies, Inc.

31,346

2,628

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Insurance - continued

Validus Holdings Ltd.

7,953

$ 293

WMI Holdings Corp. (a)

4,454

12

 

23,729

Real Estate Investment Trusts - 1.1%

Altisource Residential Corp. Class B (e)

263,010

7,517

American Tower Corp.

64,110

5,223

Equity Lifestyle Properties, Inc.

38,405

1,546

Piedmont Office Realty Trust, Inc. Class A

47,790

826

Senior Housing Properties Trust (SBI)

10,983

245

Sun Communities, Inc.

31,742

1,462

 

16,819

Real Estate Management & Development - 0.2%

CBRE Group, Inc. (a)

120,948

3,380

Thrifts & Mortgage Finance - 0.0%

Ocwen Financial Corp. (a)

10,097

378

Washington Mutual, Inc. (a)

130,000

0

 

378

TOTAL FINANCIALS

179,910

HEALTH CARE - 10.0%

Biotechnology - 2.7%

Actelion Ltd.

17,769

1,884

Alexion Pharmaceuticals, Inc. (a)

38,064

6,730

Amgen, Inc.

77,105

9,563

Biogen Idec, Inc. (a)

27,375

9,326

CSL Ltd. ADR

1,000

32

Gilead Sciences, Inc. (a)

153,185

12,682

Intercept Pharmaceuticals, Inc. (a)

1,700

698

 

40,915

Health Care Equipment & Supplies - 1.3%

Boston Scientific Corp. (a)

488,349

6,397

Covidien PLC

81,058

5,832

Edwards Lifesciences Corp. (a)

17,114

1,194

Quidel Corp. (a)

39,220

1,099

Stryker Corp.

25,829

2,073

The Cooper Companies, Inc.

23,028

2,952

 

19,547

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - 1.1%

Brookdale Senior Living, Inc. (a)

41,664

$ 1,397

Cigna Corp.

73,682

5,864

HCA Holdings, Inc. (a)

8,307

425

Henry Schein, Inc. (a)

28,344

3,374

McKesson Corp.

36,982

6,548

 

17,608

Life Sciences Tools & Services - 0.8%

Illumina, Inc. (a)

25,207

4,323

Thermo Fisher Scientific, Inc.

60,190

7,496

 

11,819

Pharmaceuticals - 4.1%

AbbVie, Inc.

152,711

7,775

Actavis PLC (a)

36,690

8,102

Bristol-Myers Squibb Co.

179,294

9,641

Merck & Co., Inc.

48,244

2,749

Mylan, Inc. (a)

21,900

1,217

Perrigo Co. PLC

29,320

4,821

Pfizer, Inc.

379,067

12,172

Roche Holding AG (participation certificate)

9,867

3,038

Salix Pharmaceuticals Ltd. (a)

27,785

2,999

Shire PLC

69,638

3,852

Valeant Pharmaceuticals International (Canada) (a)

25,727

3,672

Zoetis, Inc. Class A

65,546

2,033

 

62,071

TOTAL HEALTH CARE

151,960

INDUSTRIALS - 6.9%

Aerospace & Defense - 1.5%

Honeywell International, Inc.

85,714

8,095

TransDigm Group, Inc.

30,268

5,392

United Technologies Corp.

80,341

9,402

 

22,889

Air Freight & Logistics - 0.4%

FedEx Corp.

41,181

5,491

Commercial Services & Supplies - 0.2%

KAR Auction Services, Inc.

84,397

2,630

Electrical Equipment - 2.0%

AMETEK, Inc.

144,286

7,682

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Electrical Equipment - continued

Eaton Corp. PLC

97,013

$ 7,248

Hubbell, Inc. Class B

54,450

6,509

Roper Industries, Inc.

65,213

8,844

 

30,283

Industrial Conglomerates - 0.8%

Danaher Corp.

166,392

12,727

Machinery - 0.7%

Cummins, Inc.

45,190

6,594

Ingersoll-Rand PLC

70,700

4,323

 

10,917

Professional Services - 0.4%

Verisk Analytics, Inc. (a)

107,528

6,851

Road & Rail - 0.5%

J.B. Hunt Transport Services, Inc.

98,103

7,051

Trading Companies & Distributors - 0.4%

W.W. Grainger, Inc.

25,491

6,501

TOTAL INDUSTRIALS

105,340

INFORMATION TECHNOLOGY - 12.9%

Communications Equipment - 1.0%

Cisco Systems, Inc.

209,809

4,574

Juniper Networks, Inc. (a)

126,499

3,383

Polycom, Inc. (a)

49,261

658

QUALCOMM, Inc.

86,579

6,519

 

15,134

Computers & Peripherals - 2.3%

Apple, Inc.

56,736

29,857

Electronics for Imaging, Inc. (a)

24,295

1,084

NCR Corp. (a)

105,683

3,599

 

34,540

Electronic Equipment & Components - 0.4%

TE Connectivity Ltd.

98,630

5,778

Internet Software & Services - 4.5%

ChannelAdvisor Corp. (a)

23,555

1,069

Cvent, Inc.

64,575

2,537

Demand Media, Inc. (a)

6,371

31

Demandware, Inc. (a)

7,450

560

eBay, Inc. (a)

129,961

7,638

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Endurance International Group Holdings, Inc. (e)

79,746

$ 1,203

Facebook, Inc. Class A (a)

146,413

10,023

Google, Inc. Class A (a)

26,477

32,185

Halogen Software, Inc.

31,000

330

Millennial Media, Inc. (a)

29,829

180

Millennial Media, Inc. (a)

49,965

272

Millennial Media, Inc. (a)

9,695

0

Naver Corp.

3,152

2,415

SPS Commerce, Inc. (a)

1,220

83

Tencent Holdings Ltd.

46,000

3,690

Trulia, Inc. (a)(e)

45,119

1,352

Wix.com Ltd. (a)(e)

23,233

718

Yahoo!, Inc. (a)

121,102

4,683

 

68,969

IT Services - 0.8%

Cognizant Technology Solutions Corp. Class A (a)

31,335

3,261

Fidelity National Information Services, Inc.

87,364

4,858

FleetCor Technologies, Inc. (a)

2,442

317

Heartland Payment Systems, Inc.

8,867

359

Lionbridge Technologies, Inc. (a)

44,139

316

Quindell PLC (a)

2,026,900

1,146

Visa, Inc. Class A

11,244

2,540

 

12,797

Semiconductors & Semiconductor Equipment - 0.7%

NXP Semiconductors NV (a)

189,571

10,660

Software - 3.2%

Adobe Systems, Inc. (a)

61,054

4,189

Aspen Technology, Inc. (a)

16,998

798

Autodesk, Inc. (a)

29,200

1,532

CommVault Systems, Inc. (a)

17,376

1,197

Concur Technologies, Inc. (a)

3,367

416

Covisint Corp.

22,100

238

Electronic Arts, Inc. (a)

223,539

6,391

FleetMatics Group PLC (a)

10,000

370

Guidewire Software, Inc. (a)

38,600

2,069

Microsoft Corp.

491,736

18,838

Oracle Corp.

177,196

6,930

Qlik Technologies, Inc. (a)

17,500

534

RealPage, Inc. (a)

27,900

494

salesforce.com, Inc. (a)

60,799

3,792

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Software - continued

Ubisoft Entertainment SA (a)

68,445

$ 1,121

Xero Ltd. (m)

27,035

819

 

49,728

TOTAL INFORMATION TECHNOLOGY

197,606

MATERIALS - 2.6%

Chemicals - 2.1%

Airgas, Inc.

72,017

7,763

Cabot Corp.

23,428

1,268

Eastman Chemical Co.

40,274

3,521

FMC Corp.

43,395

3,349

LyondellBasell Industries NV Class A

49,543

4,364

Monsanto Co.

48,378

5,323

Potash Corp. of Saskatchewan, Inc.

60,589

2,003

Sigma Aldrich Corp.

27,552

2,601

W.R. Grace & Co. (a)

15,281

1,549

 

31,741

Construction Materials - 0.2%

Vulcan Materials Co.

44,825

3,045

Containers & Packaging - 0.2%

Graphic Packaging Holding Co. (a)

138,790

1,421

Rock-Tenn Co. Class A

20,524

2,291

 

3,712

Metals & Mining - 0.1%

Carpenter Technology Corp.

17,565

1,039

TOTAL MATERIALS

39,537

TELECOMMUNICATION SERVICES - 1.7%

Diversified Telecommunication Services - 1.1%

inContact, Inc. (a)

76,417

689

Verizon Communications, Inc.

331,798

15,787

 

16,476

Wireless Telecommunication Services - 0.6%

SBA Communications Corp. Class A (a)

29,927

2,848

SoftBank Corp.

49,200

3,729

Common Stocks - continued

Shares

Value (000s)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

T-Mobile U.S., Inc. (a)

71,850

$ 2,191

Vodafone Group PLC sponsored ADR

24,618

1,023

 

9,791

TOTAL TELECOMMUNICATION SERVICES

26,267

UTILITIES - 2.2%

Electric Utilities - 0.8%

American Electric Power Co., Inc.

56,500

2,836

Duke Energy Corp.

44,489

3,153

Edison International

32,867

1,721

Exelon Corp.

5,600

170

NextEra Energy, Inc.

54,200

4,953

 

12,833

Gas Utilities - 0.2%

National Fuel Gas Co.

31,336

2,354

Independent Power Producers & Energy Traders - 0.3%

NRG Energy, Inc.

95,130

2,765

The AES Corp.

78,012

1,065

 

3,830

Multi-Utilities - 0.9%

CenterPoint Energy, Inc.

106,347

2,515

Dominion Resources, Inc.

58,349

4,049

NiSource, Inc.

39,497

1,375

PG&E Corp.

41,575

1,832

Sempra Energy

41,309

3,902

 

13,673

TOTAL UTILITIES

32,690

TOTAL COMMON STOCKS

(Cost $818,551)


1,064,395

Preferred Stocks - 0.0%

 

 

 

 

Convertible Preferred Stocks - 0.0%

INFORMATION TECHNOLOGY - 0.0%

Software - 0.0%

MongoDB, Inc. Series F, 8.00% (m)

16,802

253

Preferred Stocks - continued

Shares

Value (000s)

Nonconvertible Preferred Stocks - 0.0%

CONSUMER STAPLES - 0.0%

Beverages - 0.0%

Ambev SA sponsored ADR

72,650

$ 523

TOTAL PREFERRED STOCKS

(Cost $654)


776

Corporate Bonds - 7.3%

 

Principal Amount (000s)

 

Convertible Bonds - 0.0%

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Cobalt International Energy, Inc. 2.625% 12/1/19

$ 100

96

Nonconvertible Bonds - 7.3%

CONSUMER DISCRETIONARY - 0.6%

Automobiles - 0.0%

Daimler Finance North America LLC 1.45% 8/1/16 (f)

231

233

Diversified Consumer Services - 0.0%

Ingersoll-Rand Global Holding Co. Ltd.:

2.875% 1/15/19 (f)

35

35

4.25% 6/15/23 (f)

249

256

5.75% 6/15/43 (f)

179

197

 

488

Media - 0.6%

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

500

659

Comcast Corp.:

4.95% 6/15/16

15

16

6.45% 3/15/37

238

293

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

136

128

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

440

505

Discovery Communications LLC:

3.25% 4/1/23

51

49

4.875% 4/1/43

120

116

6.35% 6/1/40

236

274

NBCUniversal, Inc.:

5.15% 4/30/20

431

493

6.4% 4/30/40

309

378

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

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

$ 621

$ 854

News America, Inc.:

6.15% 3/1/37

235

271

6.15% 2/15/41

186

216

Thomson Reuters Corp. 1.3% 2/23/17

122

122

Time Warner Cable, Inc.:

4% 9/1/21

630

655

4.5% 9/15/42

739

673

5.5% 9/1/41

165

171

5.85% 5/1/17

104

118

5.875% 11/15/40

153

165

6.75% 7/1/18

439

518

8.25% 4/1/19

528

665

Time Warner, Inc.:

5.875% 11/15/16

12

14

6.5% 11/15/36

232

272

Viacom, Inc.:

2.5% 9/1/18

46

47

3.5% 4/1/17

583

621

4.375% 3/15/43

148

131

 

8,424

TOTAL CONSUMER DISCRETIONARY

9,145

CONSUMER STAPLES - 0.3%

Beverages - 0.1%

Heineken NV:

1.4% 10/1/17 (f)

182

182

2.75% 4/1/23 (f)

191

178

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

285

292

 

652

Food & Staples Retailing - 0.0%

CVS Caremark Corp.:

2.25% 12/5/18

282

284

4% 12/5/23

282

289

 

573

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - 0.0%

ConAgra Foods, Inc.:

1.9% 1/25/18

$ 131

$ 131

3.2% 1/25/23

152

145

 

276

Tobacco - 0.2%

Altria Group, Inc.:

2.85% 8/9/22

262

246

4% 1/31/24

212

212

4.25% 8/9/42

262

231

4.75% 5/5/21

300

328

5.375% 1/31/44

364

380

9.7% 11/10/18

325

432

Reynolds American, Inc.:

3.25% 11/1/22

187

178

4.75% 11/1/42

289

272

6.15% 9/15/43

143

161

6.75% 6/15/17

23

27

7.25% 6/15/37

409

503

 

2,970

TOTAL CONSUMER STAPLES

4,471

ENERGY - 1.0%

Energy Equipment & Services - 0.1%

DCP Midstream LLC:

4.75% 9/30/21 (f)

364

374

5.35% 3/15/20 (f)

327

354

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

371

389

5% 10/1/21

146

155

6.5% 4/1/20

24

28

Transocean, Inc. 5.05% 12/15/16

238

261

 

1,561

Oil, Gas & Consumable Fuels - 0.9%

Anadarko Petroleum Corp.:

5.95% 9/15/16

16

18

6.375% 9/15/17

673

779

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

DCP Midstream Operating LP:

2.5% 12/1/17

$ 168

$ 172

3.875% 3/15/23

104

101

Devon Energy Corp. 1.2% 12/15/16

409

410

Duke Energy Field Services:

5.375% 10/15/15 (f)

10

11

6.45% 11/3/36 (f)

375

406

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

7

8

Enbridge Energy Partners LP 4.2% 9/15/21

438

454

Encana Holdings Finance Corp. 5.8% 5/1/14

23

23

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

7

8

Marathon Petroleum Corp. 5.125% 3/1/21

215

241

Midcontinent Express Pipeline LLC 5.45% 9/15/14 (f)

357

363

Motiva Enterprises LLC:

5.75% 1/15/20 (f)

156

179

6.85% 1/15/40 (f)

223

285

Nakilat, Inc. 6.067% 12/31/33 (f)

279

300

Nexen, Inc. 5.2% 3/10/15

7

7

Petro-Canada 6.05% 5/15/18

150

174

Petrobras Global Finance BV:

3% 1/15/19

64

61

4.375% 5/20/23

596

540

5.625% 5/20/43

569

480

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

354

364

5.375% 1/27/21

815

817

5.75% 1/20/20

611

636

7.875% 3/15/19

399

456

Petroleos Mexicanos:

3.125% 1/23/19 (f)

58

59

3.5% 7/18/18

463

480

3.5% 1/30/23

285

266

4.875% 1/24/22

237

248

4.875% 1/18/24

131

135

4.875% 1/18/24 (f)

279

286

5.5% 1/21/21

369

402

5.5% 6/27/44

648

613

6% 3/5/20

21

24

6.375% 1/23/45 (f)

366

385

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petroleos Mexicanos: - continued

6.5% 6/2/41

$ 661

$ 713

Phillips 66 Co.:

4.3% 4/1/22

338

357

5.875% 5/1/42

117

134

Plains All American Pipeline LP/PAA Finance Corp.:

3.65% 6/1/22

173

175

6.125% 1/15/17

205

233

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

10

11

Spectra Energy Partners, LP:

2.95% 6/15/16

69

72

2.95% 9/25/18

63

65

4.6% 6/15/21

90

97

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

395

462

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

326

368

Western Gas Partners LP 5.375% 6/1/21

393

424

Williams Partners LP 4.3% 3/4/24

278

279

 

13,581

TOTAL ENERGY

15,142

FINANCIALS - 3.7%

Capital Markets - 0.5%

Affiliated Managers Group, Inc. 4.25% 2/15/24

145

146

Goldman Sachs Group, Inc.:

1.748% 9/15/17

1,225

1,225

2.625% 1/31/19

885

890

2.9% 7/19/18

526

541

5.25% 7/27/21

96

107

5.625% 1/15/17

500

554

5.95% 1/18/18

32

37

6% 6/15/20

600

697

6.15% 4/1/18

36

41

Lazard Group LLC:

4.25% 11/14/20

185

195

6.85% 6/15/17

31

35

Morgan Stanley:

2.125% 4/25/18

863

868

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Capital Markets - continued

Morgan Stanley: - continued

3.75% 2/25/23

$ 438

$ 438

4.875% 11/1/22

365

385

5% 11/24/25

93

97

5.45% 1/9/17

480

534

5.75% 1/25/21

100

115

6.625% 4/1/18

600

706

 

7,611

Commercial Banks - 0.5%

Bank of America NA 5.3% 3/15/17

420

465

Credit Suisse AG 6% 2/15/18

664

769

Discover Bank 4.2% 8/8/23

259

266

Fifth Third Bancorp 8.25% 3/1/38

94

132

HBOS PLC 6.75% 5/21/18 (f)

180

205

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

97

117

KeyBank NA:

5.45% 3/3/16

294

321

5.8% 7/1/14

322

328

Marshall & Ilsley Bank 5% 1/17/17

259

281

Regions Bank:

6.45% 6/26/37

652

722

7.5% 5/15/18

282

336

Regions Financial Corp.:

2% 5/15/18

382

376

5.75% 6/15/15

73

77

7.75% 11/10/14

229

240

Royal Bank of Scotland Group PLC:

6% 12/19/23

490

505

6.1% 6/10/23

470

488

6.125% 12/15/22

694

729

Wells Fargo & Co.:

1.25% 7/20/16

1,200

1,214

3.676% 6/15/16

160

171

4.48% 1/16/24

30

31

 

7,773

Consumer Finance - 0.4%

American Express Credit Corp. 1.3% 7/29/16

357

361

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

Discover Financial Services:

3.85% 11/21/22

$ 462

$ 456

5.2% 4/27/22

42

45

6.45% 6/12/17

1,019

1,155

Ford Motor Credit Co. LLC:

1.5% 1/17/17

239

239

1.7% 5/9/16

561

569

2.875% 10/1/18

400

411

General Electric Capital Corp.:

1% 12/11/15

289

292

2.95% 5/9/16

185

194

3.5% 6/29/15

192

200

6% 8/7/19

1,000

1,185

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

314

313

Hyundai Capital America:

1.45% 2/6/17 (f)

476

476

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

 

6,414

Diversified Financial Services - 0.8%

Bank of America Corp.:

2.6% 1/15/19

448

454

3.3% 1/11/23

947

922

3.875% 3/22/17

1,060

1,137

4.1% 7/24/23

352

362

5.65% 5/1/18

205

234

5.75% 12/1/17

615

701

6.5% 8/1/16

300

338

Barclays Bank PLC 2.5% 2/20/19

200

202

BP Capital Markets PLC:

3.814% 2/10/24

359

363

4.742% 3/11/21

300

335

Citigroup, Inc.:

1.3% 11/15/16

568

569

3.953% 6/15/16

397

422

4.05% 7/30/22

151

153

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

Citigroup, Inc.: - continued

4.75% 5/19/15

$ 544

$ 570

5.5% 9/13/25

142

153

6.125% 5/15/18

212

246

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

360

368

JPMorgan Chase & Co.:

1.625% 5/15/18

720

712

2% 8/15/17

300

305

3.15% 7/5/16

430

452

3.25% 9/23/22

503

495

4.35% 8/15/21

420

453

4.5% 1/24/22

134

145

4.95% 3/25/20

661

740

JPMorgan Chase Bank 6% 10/1/17

250

288

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

216

215

TECO Finance, Inc.:

4% 3/15/16

96

102

5.15% 3/15/20

141

158

 

11,594

Insurance - 0.5%

Allstate Corp. 6.2% 5/16/14

264

267

American International Group, Inc.:

4.875% 9/15/16

257

281

4.875% 6/1/22

107

118

5.6% 10/18/16

318

354

Aon Corp.:

3.125% 5/27/16

376

393

3.5% 9/30/15

151

157

5% 9/30/20

133

150

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

456

5.375% 3/15/17

6

7

Liberty Mutual Group, Inc.:

5% 6/1/21 (f)

421

450

6.5% 3/15/35 (f)

327

375

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

233

254

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

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

$ 199

$ 217

MetLife, Inc.:

3.048% 12/15/22

313

304

4.368% 9/15/23

305

324

4.75% 2/8/21

137

152

6.75% 6/1/16

290

328

Metropolitan Life Global Funding I:

3% 1/10/23 (f)

223

214

5.125% 6/10/14 (f)

255

258

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

203

296

Pacific LifeCorp:

5.125% 1/30/43 (f)

441

431

6% 2/10/20 (f)

409

466

Prudential Financial, Inc.:

2.3% 8/15/18

51

52

4.5% 11/16/21

200

219

4.75% 9/17/15

500

531

5.8% 11/16/41

262

302

6.2% 11/15/40

134

161

7.375% 6/15/19

120

149

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

38

41

Unum Group:

5.625% 9/15/20

270

301

5.75% 8/15/42

458

493

7.125% 9/30/16

19

22

 

8,535

Real Estate Investment Trusts - 0.4%

Alexandria Real Estate Equities, Inc. 4.6% 4/1/22

108

112

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

101

97

AvalonBay Communities, Inc.:

3.625% 10/1/20

160

166

4.2% 12/15/23

360

372

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

432

434

BRE Properties, Inc. 5.5% 3/15/17

113

125

Camden Property Trust:

2.95% 12/15/22

135

127

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Camden Property Trust: - continued

4.25% 1/15/24

$ 304

$ 311

Developers Diversified Realty Corp.:

4.625% 7/15/22

247

259

4.75% 4/15/18

313

341

7.5% 4/1/17

203

236

9.625% 3/15/16

106

123

Duke Realty LP:

3.625% 4/15/23

180

172

3.875% 10/15/22

310

304

4.375% 6/15/22

207

212

5.95% 2/15/17

57

64

6.5% 1/15/18

285

328

6.75% 3/15/20

12

14

8.25% 8/15/19

127

159

Equity One, Inc.:

3.75% 11/15/22

400

384

5.375% 10/15/15

47

50

Federal Realty Investment Trust 5.9% 4/1/20

95

111

HCP, Inc. 3.75% 2/1/16

201

212

Health Care REIT, Inc.:

2.25% 3/15/18

147

148

4.7% 9/15/17

48

53

HRPT Properties Trust 5.75% 11/1/15

50

52

Retail Opportunity Investments Partnership LP 5% 12/15/23

67

69

Simon Property Group LP:

2.75% 2/1/23

232

220

2.8% 1/30/17

82

86

4.125% 12/1/21

229

244

UDR, Inc. 5.5% 4/1/14

498

500

Weingarten Realty Investors 3.375% 10/15/22

68

65

 

6,150

Real Estate Management & Development - 0.6%

BioMed Realty LP:

3.85% 4/15/16

390

411

4.25% 7/15/22

163

162

6.125% 4/15/20

126

144

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

Brandywine Operating Partnership LP:

3.95% 2/15/23

$ 359

$ 351

4.95% 4/15/18

197

213

5.7% 5/1/17

1,000

1,102

6% 4/1/16

86

94

7.5% 5/15/15

44

47

Digital Realty Trust LP:

4.5% 7/15/15

172

179

5.25% 3/15/21

201

212

ERP Operating LP:

4.625% 12/15/21

540

585

4.75% 7/15/20

265

293

5.375% 8/1/16

117

129

5.75% 6/15/17

567

644

Liberty Property LP:

3.375% 6/15/23

185

174

4.125% 6/15/22

177

179

4.4% 2/15/24

418

425

4.75% 10/1/20

394

422

5.125% 3/2/15

7

7

5.5% 12/15/16

12

13

6.625% 10/1/17

281

325

Mack-Cali Realty LP:

2.5% 12/15/17

252

255

3.15% 5/15/23

426

383

4.5% 4/18/22

108

109

7.75% 8/15/19

23

28

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

73

74

Post Apartment Homes LP 3.375% 12/1/22

70

66

Prime Property Funding, Inc.:

5.125% 6/1/15 (f)

57

59

5.7% 4/15/17 (f)

94

102

Reckson Operating Partnership LP 6% 3/31/16

114

124

Regency Centers LP 5.25% 8/1/15

124

131

Tanger Properties LP:

3.875% 12/1/23

160

160

6.125% 6/1/20

478

560

Ventas Realty LP 1.55% 9/26/16

250

253

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

Ventas Realty LP/Ventas Capital Corp.:

2% 2/15/18

$ 227

$ 228

4% 4/30/19

114

122

 

8,765

TOTAL FINANCIALS

56,842

HEALTH CARE - 0.3%

Biotechnology - 0.0%

Amgen, Inc. 5.15% 11/15/41

350

367

Health Care Providers & Services - 0.2%

Aetna, Inc. 2.75% 11/15/22

178

168

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

378

411

Express Scripts, Inc. 3.125% 5/15/16

357

373

Medco Health Solutions, Inc.:

2.75% 9/15/15

38

39

4.125% 9/15/20

259

276

UnitedHealth Group, Inc.:

2.75% 2/15/23

59

56

2.875% 3/15/23

463

441

WellPoint, Inc. 3.3% 1/15/23

172

166

 

1,930

Life Sciences Tools & Services - 0.0%

Thermo Fisher Scientific, Inc.:

1.3% 2/1/17

102

102

2.4% 2/1/19

65

65

4.15% 2/1/24

99

102

 

269

Pharmaceuticals - 0.1%

AbbVie, Inc.:

1.75% 11/6/17

358

361

2.9% 11/6/22

368

355

Mylan, Inc. 1.35% 11/29/16

120

121

Perrigo Co. PLC 2.3% 11/8/18 (f)

200

200

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

120

120

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Pharmaceuticals - continued

Zoetis, Inc.:

1.875% 2/1/18

$ 57

$ 57

3.25% 2/1/23

138

133

 

1,347

TOTAL HEALTH CARE

3,913

INDUSTRIALS - 0.0%

Aerospace & Defense - 0.0%

BAE Systems Holdings, Inc.:

4.95% 6/1/14 (f)

18

18

6.375% 6/1/19 (f)

309

362

 

380

Airlines - 0.0%

Continental Airlines, Inc.:

6.648% 3/15/19

13

14

6.9% 7/2/19

4

4

U.S. Airways pass-thru trust certificates:

6.85% 1/30/18

9

10

8.36% 1/20/19

7

8

 

36

TOTAL INDUSTRIALS

416

INFORMATION TECHNOLOGY - 0.0%

Electronic Equipment & Components - 0.0%

Tyco Electronics Group SA 2.375% 12/17/18

74

74

IT Services - 0.0%

Xerox Corp. 4.25% 2/15/15

12

12

TOTAL INFORMATION TECHNOLOGY

86

MATERIALS - 0.2%

Chemicals - 0.0%

The Dow Chemical Co.:

4.125% 11/15/21

343

361

4.25% 11/15/20

186

199

 

560

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Construction Materials - 0.0%

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

$ 15

$ 17

Metals & Mining - 0.2%

Anglo American Capital PLC 9.375% 4/8/14 (f)

211

213

Corporacion Nacional del Cobre de Chile (Codelco):

3.875% 11/3/21 (f)

360

363

4.5% 8/13/23 (f)

500

518

5.625% 10/18/43 (f)

254

259

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

356

360

Vale Overseas Ltd.:

4.375% 1/11/22

200

200

6.25% 1/23/17

503

563

 

2,476

TOTAL MATERIALS

3,053

TELECOMMUNICATION SERVICES - 0.5%

Diversified Telecommunication Services - 0.5%

AT&T, Inc.:

5.55% 8/15/41

1,223

1,288

6.3% 1/15/38

398

454

CenturyLink, Inc.:

5.15% 6/15/17

28

30

6% 4/1/17

70

77

6.15% 9/15/19

226

243

Embarq Corp.:

7.082% 6/1/16

236

264

7.995% 6/1/36

175

187

Verizon Communications, Inc.:

2.5% 9/15/16

1,100

1,142

6.25% 4/1/37

187

217

6.4% 9/15/33

346

411

6.55% 9/15/43

2,538

3,108

 

7,421

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - 0.0%

America Movil S.A.B. de CV:

2.375% 9/8/16

$ 276

$ 285

3.125% 7/16/22

255

241

 

526

TOTAL TELECOMMUNICATION SERVICES

7,947

UTILITIES - 0.7%

Electric Utilities - 0.4%

American Electric Power Co., Inc.:

1.65% 12/15/17

147

147

2.95% 12/15/22

140

134

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

119

121

Duke Capital LLC 5.668% 8/15/14

16

16

Duke Energy Corp. 3.95% 10/15/23

55

56

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (f)

273

311

6.4% 9/15/20 (f)

569

665

Edison International 3.75% 9/15/17

226

242

FirstEnergy Corp.:

2.75% 3/15/18

299

301

4.25% 3/15/23

528

518

7.375% 11/15/31

411

473

FirstEnergy Solutions Corp. 6.05% 8/15/21

649

716

LG&E and KU Energy LLC:

2.125% 11/15/15

255

260

3.75% 11/15/20

49

51

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

131

136

Nevada Power Co. 6.5% 5/15/18

165

196

Northeast Utilities:

1.45% 5/1/18

96

94

2.8% 5/1/23

435

410

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

115

136

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

240

246

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

207

200

 

5,429

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Gas Utilities - 0.0%

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

$ 122

$ 129

Independent Power Producers & Energy Traders - 0.0%

PSEG Power LLC 2.75% 9/15/16

90

94

Multi-Utilities - 0.3%

Ameren Illinois Co. 6.125% 11/15/17

165

191

Dominion Resources, Inc.:

2.5469% 9/30/66 (i)

635

586

7.5% 6/30/66 (i)

26

28

MidAmerican Energy Holdings, Co.:

1.1% 5/15/17 (f)

523

522

2% 11/15/18 (f)

403

401

National Grid PLC 6.3% 8/1/16

183

205

NiSource Finance Corp.:

4.45% 12/1/21

155

164

5.25% 2/15/43

357

361

5.4% 7/15/14

11

11

5.45% 9/15/20

468

531

5.8% 2/1/42

199

216

5.95% 6/15/41

396

438

6.4% 3/15/18

58

68

6.8% 1/15/19

677

810

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

55

55

Puget Energy, Inc. 6% 9/1/21

48

55

Sempra Energy:

2.3% 4/1/17

376

386

2.875% 10/1/22

154

147

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

21

21

 

5,196

TOTAL UTILITIES

10,848

TOTAL NONCONVERTIBLE BONDS

111,863

TOTAL CORPORATE BONDS

(Cost $105,432)


111,959

U.S. Treasury Obligations - 7.8%

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Bills, yield at date of purchase 0.03% to 0.09% 4/17/14 to 5/29/14 (h)

$ 1,555

$ 1,555

U.S. Treasury Bonds:

3.625% 8/15/43

5,634

5,673

3.625% 2/15/44

2,000

2,013

3.75% 11/15/43

102

105

U.S. Treasury Notes:

0.25% 7/31/15

3,230

3,233

0.5% 7/31/17

2,063

2,035

0.625% 12/15/16

4,412

4,414

0.875% 11/30/16

1,254

1,263

0.875% 4/30/17

9

9

0.875% 1/31/18

9,947

9,857

0.875% 7/31/19

5,971

5,721

1% 5/31/18

5,583

5,525

1.25% 10/31/18

22,092

21,935

1.375% 7/31/18

7,186

7,205

1.375% 9/30/18

5,036

5,036

1.5% 12/31/18

2,258

2,262

1.5% 1/31/19

14,672

14,679

1.75% 5/31/16

5,530

5,694

1.75% 5/15/23

350

326

2% 2/28/21

7,013

6,953

2% 2/15/23

3,074

2,943

2.125% 1/31/21

3,922

3,926

2.75% 11/15/23

6,910

6,983

TOTAL U.S. TREASURY OBLIGATIONS

(Cost $119,606)


119,345

U.S. Government Agency - Mortgage Securities - 1.0%

 

Fannie Mae - 0.8%

2.303% 6/1/36 (i)

8

9

2.536% 6/1/42 (i)

51

53

2.643% 7/1/37 (i)

18

19

2.949% 11/1/40 (i)

26

27

2.959% 9/1/41 (i)

30

31

3% 1/1/43 to 1/1/44

1,000

972

3% 3/1/44 (g)

500

486

3.093% 10/1/41 (i)

19

20

3.224% 7/1/41 (i)

48

51

3.345% 10/1/41 (i)

26

28

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

3.5% 8/1/42 to 10/1/43

$ 5,633

$ 5,645

3.5% 3/1/44 (g)

2,400

2,433

3.55% 7/1/41 (i)

51

54

4% 12/1/41 to 12/1/43

491

516

4% 3/1/44 (g)

600

629

4% 3/1/44 (g)

500

524

4.5% 12/1/23

13

14

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

436

487

TOTAL FANNIE MAE

11,998

Freddie Mac - 0.2%

3.064% 10/1/35 (i)

21

22

3.23% 4/1/41 (i)

36

38

3.249% 9/1/41 (i)

27

29

3.281% 6/1/41 (i)

39

41

3.464% 5/1/41 (i)

38

40

3.5% 6/1/42 to 10/1/43

2,076

2,078

3.622% 6/1/41 (i)

48

51

3.695% 5/1/41 (i)

45

48

5% 11/1/40

330

363

TOTAL FREDDIE MAC

2,710

Ginnie Mae - 0.0%

4% 11/20/40 to 1/20/41

200

212

4% 3/1/44 (g)

500

530

5.5% 6/15/35

137

154

TOTAL GINNIE MAE

896

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $15,715)


15,604

Asset-Backed Securities - 0.2%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6255% 4/25/35 (i)

30

27

Ally Master Owner Trust:

Series 2011-3 Class A2, 1.81% 5/15/16

280

281

Series 2012-3 Class A2, 1.21% 6/15/17

370

372

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.2055% 12/25/33 (i)

$ 3

$ 2

Series 2004-R2 Class M3, 0.9805% 4/25/34 (i)

4

2

Series 2005-R2 Class M1, 0.6055% 4/25/35 (i)

48

47

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.9355% 3/25/34 (i)

2

2

Series 2004-W11 Class M2, 1.2055% 11/25/34 (i)

25

23

Series 2004-W7 Class M1, 0.9805% 5/25/34 (i)

27

25

Series 2006-W4 Class A2C, 0.3155% 5/25/36 (i)

55

17

Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 0.9805% 4/25/34 (i)

91

85

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

360

362

Capital Trust Ltd. Series 2004-1 Class C, 1.254% 7/20/39 (f)(i)

7

3

Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.2955% 12/25/36 (i)

82

47

CFC LLC:

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

54

54

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

303

304

Countrywide Home Loans, Inc.:

Series 2004-3 Class M4, 1.6105% 4/25/34 (i)

4

3

Series 2004-4 Class M2, 0.9505% 6/25/34 (i)

19

18

Series 2004-7 Class AF5, 5.37% 1/25/35

135

142

Fannie Mae Series 2004-T5 Class AB3, 0.9224% 5/28/35 (i)

2

2

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3305% 8/25/34 (i)

13

10

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 0.9805% 3/25/34 (i)

1

0*

Ford Credit Floorplan Master Owner Trust Series 2013-3 Class A1, 0.79% 6/15/17

700

702

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.8905% 1/25/35 (i)

43

35

Class M4, 1.1755% 1/25/35 (i)

16

6

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6149% 2/25/47 (f)(i)

106

88

GE Business Loan Trust:

Series 2003-1 Class A, 0.5845% 4/15/31 (f)(i)

3

2

Series 2006-2A:

Class A, 0.3345% 11/15/34 (f)(i)

28

26

Class B, 0.4345% 11/15/34 (f)(i)

10

9

Class C, 0.5345% 11/15/34 (f)(i)

17

14

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

GE Business Loan Trust: - continued

Series 2006-2A:

Class D, 0.9045% 11/15/34 (f)(i)

$ 6

$ 5

Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7055% 9/25/46 (f)(i)

30

30

Home Equity Asset Trust:

Series 2003-3 Class M1, 1.4455% 8/25/33 (i)

24

23

Series 2003-5 Class A2, 0.8555% 12/25/33 (i)

1

1

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3455% 1/25/37 (i)

56

28

JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.2855% 11/25/36 (i)

51

50

KeyCorp Student Loan Trust:

Series 1999-A Class A2, 0.5759% 12/27/29 (i)

14

14

Series 2006-A Class 2C, 1.3959% 3/27/42 (i)

43

7

MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4555% 5/25/37 (i)

22

0*

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.1305% 7/25/34 (i)

3

3

Series 2006-FM1 Class A2B, 0.2655% 4/25/37 (i)

28

27

Series 2006-OPT1 Class A1A, 0.6755% 6/25/35 (i)

49

47

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.8355% 8/25/34 (i)

3

3

Series 2005-NC1 Class M1, 0.8155% 1/25/35 (i)

18

17

Series 2005-NC2 Class B1, 1.3255% 3/25/35 (i)

11

5

New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.6655% 9/25/35 (i)

65

54

Ocala Funding LLC:

Series 2005-1A Class A, 1.654% 3/20/10 (d)(f)(i)

25

0

Series 2006-1A Class A, 1.554% 3/20/11 (d)(f)(i)

53

0

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.4055% 9/25/34 (i)

24

22

Class M4, 1.6055% 9/25/34 (i)

31

17

Series 2005-WCH1 Class M4, 0.9855% 1/25/36 (i)

67

55

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9555% 4/25/33 (i)

0*

0*

Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9505% 3/25/35 (i)

46

39

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.1929% 6/15/33 (i)

46

40

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.8805% 9/25/34 (i)

2

2

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0155% 9/25/34 (i)

$ 1

$ 1

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8029% 4/6/42 (f)(i)

60

14

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0386% 10/25/44 (f)(i)

81

78

TOTAL ASSET-BACKED SECURITIES

(Cost $2,900)


3,292

Collateralized Mortgage Obligations - 0.3%

 

Private Sponsor - 0.2%

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7155% 1/25/35 (i)

64

63

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.5778% 10/25/34 (i)

30

30

Granite Master Issuer PLC floater:

Series 2006-1A:

Class A1, 0.224% 12/20/54 (f)(i)

328

324

Class C2, 1.354% 12/20/54 (f)(i)

271

262

Series 2006-2:

Class A4, 0.234% 12/20/54 (i)

93

92

Class C1, 1.094% 12/20/54 (i)

242

229

Series 2006-3:

Class A3, 0.234% 12/20/54 (i)

44

43

Class A7, 0.354% 12/20/54 (i)

51

51

Class C2, 1.154% 12/20/54 (i)

50

48

Series 2006-4:

Class A4, 0.254% 12/20/54 (i)

150

148

Class B1, 0.334% 12/20/54 (i)

169

164

Class C1, 0.914% 12/20/54 (i)

103

97

Class M1, 0.494% 12/20/54 (i)

44

42

Series 2007-1:

Class 1C1, 0.754% 12/20/54 (i)

84

79

Class 1M1, 0.454% 12/20/54 (i)

54

51

Class 2A1, 0.294% 12/20/54 (i)

118

116

Class 2C1, 1.014% 12/20/54 (i)

38

36

Class 2M1, 0.654% 12/20/54 (i)

70

67

Series 2007-2:

Class 2C1, 1.0145% 12/17/54 (i)

97

91

Class 3A1, 0.3345% 12/17/54 (i)

24

24

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.6866% 1/20/44 (i)

$ 19

$ 19

JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.6892% 8/25/36 (i)

56

47

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.3655% 5/25/47 (i)

25

19

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3255% 2/25/37 (i)

37

34

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4455% 7/25/35 (i)

65

63

RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.5065% 7/10/35 (f)(i)

14

13

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2269% 7/20/34 (i)

1

1

Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.4727% 4/25/33 (i)

9

9

TOTAL PRIVATE SPONSOR

2,262

U.S. Government Agency - 0.1%

Fannie Mae:

floater:

Series 2005-38 Class F, 0.4555% 5/25/35 (i)

51

51

Series 2006-50 Class BF, 0.5555% 6/25/36 (i)

67

67

Series 2006-82 Class F, 0.7255% 9/25/36 (i)

89

89

Series 2007-36 Class F, 0.3855% 4/25/37 (i)

80

80

Series 2011-37 Class FA, 0.6055% 5/25/41 (i)

241

242

Series 2011-40 Class DF, 0.6055% 5/25/41 (i)

186

186

Series 2013-62 Class FA, 0.4555% 6/25/43 (i)

339

335

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

7

7

sequential payer:

Series 2010-74 Class WF, 0.7555% 7/25/34 (i)

73

74

Series 2012-120 Class FE 0.4555% 2/25/39 (i)

151

150

Freddie Mac:

floater:

Series 2011-3845 Class FA, 0.5745% 4/15/41 (i)

119

119

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac: - continued

floater:

Series 3830 Class FD, 0.5145% 3/15/41 (i)

$ 347

$ 348

sequential payer Series 2011-3969 Class AF, 0.6045% 10/15/33 (i)

154

155

TOTAL U.S. GOVERNMENT AGENCY

1,903

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $3,062)


4,165

Commercial Mortgage Securities - 1.7%

 

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5236% 2/14/43 (i)(k)

27

1

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.7192% 5/10/45 (i)

33

34

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

315

342

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

177

178

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

150

154

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

857

942

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

233

240

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

43

5

Series 2007-3:

Class A3, 5.6195% 6/10/49 (i)

124

124

Class A4, 5.6195% 6/10/49 (i)

156

173

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

274

296

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.0055% 12/25/33 (f)(i)

2

2

Series 2005-4A:

Class A2, 0.5455% 1/25/36 (f)(i)

45

37

Class B1, 1.5555% 1/25/36 (f)(i)

4

1

Class M1, 0.6055% 1/25/36 (f)(i)

14

8

Class M2, 0.6255% 1/25/36 (f)(i)

4

2

Class M3, 0.6555% 1/25/36 (f)(i)

6

3

Class M4, 0.7655% 1/25/36 (f)(i)

4

2

Class M5, 0.8055% 1/25/36 (f)(i)

4

1

Class M6, 0.8555% 1/25/36 (f)(i)

4

1

Series 2006-3A Class M4, 0.5855% 10/25/36 (f)(i)

4

1

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-1 Class A2, 0.4255% 3/25/37 (f)(i)

$ 26

$ 18

Series 2007-2A:

Class A1, 0.4255% 7/25/37 (f)(i)

26

21

Class A2, 0.4755% 7/25/37 (f)(i)

24

17

Class M1, 0.5255% 7/25/37 (f)(i)

9

3

Class M2, 0.5655% 7/25/37 (f)(i)

4

1

Class M3, 0.6455% 7/25/37 (f)(i)

5

0*

Class M4, 0.8055% 7/25/37 (f)(i)

4

0*

Series 2007-3:

Class A2, 0.4455% 7/25/37 (f)(i)

28

19

Class M1, 0.4655% 7/25/37 (f)(i)

5

3

Class M2, 0.4955% 7/25/37 (f)(i)

5

3

Class M3, 0.5255% 7/25/37 (f)(i)

8

4

Class M4, 0.6555% 7/25/37 (f)(i)

13

3

Class M5, 0.7555% 7/25/37 (f)(i)

7

1

Class M6, 0.9555% 7/25/37 (f)(i)

2

0*

Series 2007-4A:

Class M1, 1.1055% 9/25/37 (f)(i)

10

1

Class M2, 1.2055% 9/25/37 (f)(i)

10

1

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

252

15

Bear Stearns Commercial Mortgage Securities Trust:

floater Series 2007-BBA8:

Class E, 0.4545% 3/15/22 (f)(i)

20

20

Class F, 0.5045% 3/15/22 (f)(i)

78

74

Class G, 0.5545% 3/15/22 (f)(i)

20

19

Class H, 0.7045% 3/15/22 (f)(i)

25

22

Class J, 0.8545% 3/15/22 (f)(i)

25

22

sequential payer Series 2007-PW16 Class A4, 5.7058% 6/11/40 (i)

44

50

Series 2006-T22 Class A4, 5.5801% 4/12/38 (i)

9

10

Series 2007-PW18 Class X2, 0.2966% 6/11/50 (f)(i)(k)

3,806

26

Series 2007-T28 Class X2, 0.1573% 9/11/42 (f)(i)(k)

2,337

8

C-BASS Trust floater Series 2006-SC1 Class A, 0.4255% 5/25/36 (f)(i)

23

22

CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 1.4233% 5/15/35 (f)(i)(k)

160

2

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

Class A3, 5.293% 12/11/49

73

75

Class A4, 5.322% 12/11/49

2,380

2,627

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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, 1.0045% 4/15/17 (f)(i)

6

6

Series 2006-FL12 Class AJ, 0.2845% 12/15/20 (f)(i)

26

26

sequential payer Series 2006-C7 Class A1A, 5.741% 6/10/46 (i)

287

313

Series 2004-LB4A Class A5, 4.84% 10/15/37

594

599

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

76

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5045% 4/15/22 (f)(i)

268

253

Credit Suisse First Boston Mortgage Securities Corp.:

Series 2001-CK6 Class AX, 1.3434% 8/15/36 (i)(k)

5

0*

Series 2001-CKN5 Class AX, 0.6562% 9/15/34 (f)(i)(k)

0*

0*

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class C:

0.3245% 2/15/22 (f)(i)

56

55

0.4245% 2/15/22 (f)(i)

30

30

Class F, 0.4745% 2/15/22 (f)(i)

60

59

Series 2007-C1:

Class ASP, 0.354% 2/15/40 (i)(k)

924

0*

Class B, 5.487% 2/15/40 (f)(i)

115

16

GE Capital Commercial Mortgage Corp.:

sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49

1,194

1,309

Series 2001-1 Class X1, 1.7244% 5/15/33 (f)(i)(k)

15

0*

Series 2007-C1 Class XP, 0.1602% 12/10/49 (i)(k)

477

0*

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.3471% 11/5/21 (f)(i)

28

28

Series 2006-GG7 Class A4, 5.8197% 7/10/38 (i)

176

193

Series 2007-GG11 Class A1, 0.2936% 12/10/49 (f)(i)(k)

1,112

2

GS Mortgage Securities Corp. II Series 2006-GG6 Class A2, 5.506% 4/10/38

10

10

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 80

$ 88

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)

584

596

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FL2A:

Class B, 0.3245% 11/15/18 (f)(i)

32

31

Class C, 0.3645% 11/15/18 (f)(i)

23

22

Class D, 0.3845% 11/15/18 (f)(i)

7

6

Class E, 0.4345% 11/15/18 (f)(i)

10

9

Class F, 0.4845% 11/15/18 (f)(i)

14

14

Class G, 0.5145% 11/15/18 (f)(i)

13

12

Class H, 0.6545% 11/15/18 (f)(i)

10

9

sequential payer:

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

494

540

Series 2006-CB17:

Class A3, 5.45% 12/12/43

4

4

Class A4, 5.429% 12/12/43

240

259

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

835

910

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

31

34

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

70

77

Series 2007-CB19 Class A4, 5.7093% 2/12/49 (i)

1,130

1,262

Series 2007-LD11:

Class A2, 5.7984% 6/15/49 (i)

69

69

Class A4, 5.8134% 6/15/49 (i)

790

881

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

554

613

Series 2006-LDP7 Class A4, 5.8726% 4/15/45 (i)

700

765

Series 2007-CB19:

Class B, 5.7093% 2/12/49 (i)

6

2

Class C, 5.7093% 2/12/49 (i)

17

4

Class D, 5.7093% 2/12/49 (i)

18

3

Series 2007-LDP10:

Class CS, 5.466% 1/15/49 (i)

6

1

Class ES, 5.7261% 1/15/49 (f)(i)

39

2

LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.8924% 7/15/44 (i)

58

65

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

34

37

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

39

40

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

550

607

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

93

101

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

LB-UBS Commercial Mortgage Trust: - continued

Series 2007-C7:

Class A3, 5.866% 9/15/45

$ 444

$ 506

Class XCP, 0.2771% 9/15/45 (i)(k)

4,375

11

Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA Class H, 0.5545% 9/15/21 (f)(i)

12

12

Merrill Lynch Mortgage Trust:

Series 2005-LC1 Class F, 5.4207% 1/12/44 (f)(i)

65

58

Series 2007-C1 Class A4, 5.8409% 6/12/50 (i)

354

398

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.2748% 12/12/49 (i)

4

4

sequential payer:

Series 2006-4:

Class A3, 5.172% 12/12/49 (i)

40

43

Class ASB, 5.133% 12/12/49 (i)

32

33

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

63

69

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

550

609

Series 2007-7 Class A4, 5.7439% 6/12/50 (i)

263

293

Series 2006-4 Class XP, 0.618% 12/12/49 (i)(k)

770

4

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

75

18

Series 2007-7 Class B, 5.7439% 6/12/50 (i)

7

0*

Series 2007-8 Class A3, 5.8943% 8/12/49 (i)

65

73

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.355% 7/15/19 (f)(i)

16

12

Series 2007-XLFA:

Class C, 0.315% 10/15/20 (f)(i)

43

42

Class D, 0.345% 10/15/20 (f)(i)

30

29

Class E, 0.405% 10/15/20 (f)(i)

38

36

Class F, 0.455% 10/15/20 (f)(i)

23

22

Class G, 0.495% 10/15/20 (f)(i)

28

27

Class H, 0.585% 10/15/20 (f)(i)

18

16

Class J, 0.735% 10/15/20 (f)(i)

10

4

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

9

9

Series 2006-IQ11 Class A4, 5.6648% 10/15/42 (i)

20

21

Series 2006-T23 Class A3, 5.8071% 8/12/41 (i)

38

38

Series 2007-HQ12 Class A2, 5.6007% 4/12/49 (i)

301

304

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (i)

113

125

Class B, 5.7406% 4/15/49 (i)

18

4

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 643

$ 817

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2006-WL7A:

Class F, 0.4945% 9/15/21 (f)(i)

65

64

Class G, 0.5145% 9/15/21 (f)(i)

80

79

Class J, 0.7545% 9/15/21 (f)(i)

18

16

Series 2007-WHL8:

Class F, 0.6345% 6/15/20 (f)(i)

168

154

Class LXR1, 0.8545% 6/15/20 (f)(i)

9

8

sequential payer:

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

350

383

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

288

315

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

540

595

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

1,070

1,169

Series 2007-C32 Class A3, 5.7499% 6/15/49 (i)

147

163

Series 2007-C33:

Class A4, 5.9216% 2/15/51 (i)

1,100

1,214

Class A5, 5.9216% 2/15/51 (i)

50

56

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

75

77

Series 2005-C22:

Class B, 5.3811% 12/15/44 (i)

166

163

Class F, 5.3811% 12/15/44 (f)(i)

125

30

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

411

450

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

704

770

Series 2007-C30 Class XP, 0.4783% 12/15/43 (f)(i)(k)

571

0*

Series 2007-C31 Class C, 5.672% 4/15/47 (i)

21

17

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

723

723

Series 2007-C32:

Class D, 5.7499% 6/15/49 (i)

56

25

Class E, 5.7499% 6/15/49 (i)

89

30

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $23,941)


25,995

Municipal Securities - 0.5%

 

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

102

California Gen. Oblig.:

Series 2009, 7.35% 11/1/39

70

94

Municipal Securities - continued

 

Principal Amount (000s)

Value (000s)

California Gen. Oblig.: - continued

7.3% 10/1/39

$ 535

$ 720

7.5% 4/1/34

465

631

7.6% 11/1/40

895

1,262

7.625% 3/1/40

150

209

Chicago Gen. Oblig. (Taxable Proj.):

Series 2008 B, 5.63% 1/1/22

80

84

Series 2010 C1, 7.781% 1/1/35

395

470

Series 2012 B, 5.432% 1/1/42

105

93

Illinois Gen. Oblig.:

Series 2003, 5.1% 6/1/33

1,785

1,754

Series 2010, 4.421% 1/1/15

260

268

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

320

354

Series 2010-3:

5.547% 4/1/19

10

11

6.725% 4/1/35

475

529

7.35% 7/1/35

220

257

Series 2011:

4.961% 3/1/16

35

37

5.665% 3/1/18

265

294

5.877% 3/1/19

695

780

Series 2013:

2.69% 12/1/17

110

111

3.14% 12/1/18

115

115

TOTAL MUNICIPAL SECURITIES

(Cost $7,951)


8,175

Foreign Government and Government Agency Obligations - 0.2%

 

Banco Nacional de Desenvolvimento Economico e Social:

3.375% 9/26/16 (f)

365

372

5.75% 9/26/23 (f)

332

338

Brazilian Federative Republic:

4.25% 1/7/25

355

342

5.625% 1/7/41

400

393

United Mexican States:

4% 10/2/23

804

814

4.75% 3/8/44

352

328

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $2,617)


2,587

Bank Notes - 0.0%

 

Principal Amount (000s)

Value (000s)

Fifth Third Bank 4.75% 2/1/15
(Cost $253)

$ 250

$ 260

Fixed-Income Funds - 7.2%

Shares

 

Fidelity High Income Central Fund 2 (j)

302,909

36,040

Fidelity Mortgage Backed Securities Central Fund (j)

685,043

73,389

TOTAL FIXED-INCOME FUNDS

(Cost $101,619)


109,429

Money Market Funds - 5.0%

 

 

 

 

Fidelity Cash Central Fund, 0.10% (b)

69,820,890

69,821

Fidelity Securities Lending Cash Central Fund, 0.09% (b)(c)

6,542,425

6,542

TOTAL MONEY MARKET FUNDS

(Cost $76,363)


76,363

TOTAL INVESTMENT PORTFOLIO - 100.9%

(Cost $1,278,664)

1,542,345

NET OTHER ASSETS (LIABILITIES) - (0.9)%

(14,399)

NET ASSETS - 100%

$ 1,527,946

TBA Sale Commitments

 

Principal Amount (000s)

Value (000s)

Fannie Mae

3.5% 3/1/44

$ (1,000)

$ (1,013)

4% 3/1/44

(100)

(105)

4% 3/1/44

(500)

(524)

TOTAL FANNIE MAE

(1,642)

Ginnie Mae

4% 3/1/44

(200)

(212)

TOTAL TBA SALE COMMITMENTS

(Proceeds $1,846)

$ (1,854)

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Equity Index Contracts

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

March 2014

$ 21,920

$ 861

 

The face value of futures purchased as a percentage of net assets is 1.4%

Swaps

Credit Default Swaps

Underlying Reference

Rating
(1)

Expiration Date

Clearinghouse/Counterparty

Fixed Payment Received/
(Paid)

Notional
Amount (2)
(000s)

Value (1) (000s)

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

4.25%

$ 29

$ (28)

$ -

$ (28)

 

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

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

(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 $18,699,000 or 1.2% 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 $1,155,000.

(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 $1,820,000 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

Xero Ltd.

10/14/13

$ 411

* Amount represents less than $1,000.

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Cash Central Fund

$ 21

Fidelity High Income Central Fund 2

1,052

Fidelity Mortgage Backed Securities Central Fund

984

Fidelity Securities Lending Cash Central Fund

7

Total

$ 2,064

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

$ 31,618

$ 3,055

$ -

$ 36,040

4.2%

Fidelity Mortgage Backed Securities Central Fund

85,122

984

14,235

73,389

0.7%

Total

$ 116,740

$ 4,039

$ 14,235

$ 109,429

Other Information

The following is a summary of the inputs used, as of February 28, 2014, 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

$ 125,497

$ 124,749

$ -

$ 748

Consumer Staples

101,744

98,987

2,757

-

Energy

104,367

104,367

-

-

Financials

179,910

176,431

3,479

-

Health Care

151,960

145,070

6,890

-

Industrials

105,340

105,340

-

-

Information Technology

197,859

196,515

1,091

253

Materials

39,537

39,537

-

-

Telecommunication Services

26,267

22,538

3,729

-

Utilities

32,690

32,690

-

-

Corporate Bonds

111,959

-

111,959

-

U.S. Government and Government Agency Obligations

119,345

-

119,345

-

U.S. Government Agency - Mortgage Securities

15,604

-

15,604

-

Asset-Backed Securities

3,292

-

3,165

127

Collateralized Mortgage Obligations

4,165

-

4,152

13

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Commercial Mortgage Securities

$ 25,995

$ -

$ 25,928

$ 67

Municipal Securities

8,175

-

8,175

-

Foreign Government and Government Agency Obligations

2,587

-

2,587

-

Bank Notes

260

-

260

-

Fixed-Income Funds

109,429

109,429

-

-

Money Market Funds

76,363

76,363

-

-

Total Investments in Securities:

$ 1,542,345

$ 1,232,016

$ 309,121

$ 1,208

Derivative Instruments:

Assets

Futures Contracts

$ 861

$ 861

$ -

$ -

Liabilities

Swaps

$ (28)

$ -

$ (28)

$ -

Total Derivative Instruments:

$ 833

$ 861

$ (28)

$ -

Other Financial Instruments:

TBA Sale Commitments

$ (1,854)

$ -

$ (1,854)

$ -

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, 2014. 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

Credit Risk

Swaps (b)

$ -

$ (28)

Equity Risk

Futures Contracts (a)

861

-

Total Value of Derivatives

$ 861

$ (28)

(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

3.4%

BBB

5.9%

BB

0.7%

B

1.5%

CCC,CC,C

0.5%

D

0.0%*

Not Rated

0.2%

Equities

69.8%

Short-Term Investments and Net Other Assets

4.6%

 

100%

* Amount represents less than 0.1%

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

89.4%

United Kingdom

2.2%

Ireland

2.1%

Netherlands

1.2%

Others (Individually Less Than 1%)

5.1%

 

100.0%

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

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amounts)

February 28, 2014 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including securities loaned of $6,357) - See accompanying schedule:

Unaffiliated issuers (cost $1,100,682)

$ 1,356,553

 

Fidelity Central Funds (cost $177,982)

185,792

 

Total Investments (cost $1,278,664)

 

$ 1,542,345

Cash

 

56

Receivable for investments sold, regular delivery

10,314

Receivable for TBA sale commitments

 

1,846

Receivable for fund shares sold

1,751

Dividends receivable

1,787

Interest receivable

1,931

Distributions receivable from Fidelity Central Funds

5

Receivable for daily variation margin for derivative instruments

44

Prepaid expenses

2

Other receivables

42

Total assets

1,560,123

 

 

 

Liabilities

Payable for investments purchased
Regular delivery

$ 14,241

Delayed delivery

4,597

TBA sale commitments, at value

1,854

Payable for swaps

2

Payable for fund shares redeemed

3,463

Bi-lateral OTC swaps, at value

28

Accrued management fee

497

Distribution and service plan fees payable

564

Other affiliated payables

279

Other payables and accrued expenses

110

Collateral on securities loaned, at value

6,542

Total liabilities

32,177

 

 

 

Net Assets

$ 1,527,946

Net Assets consist of:

 

Paid in capital

$ 1,234,485

Undistributed net investment income

4,208

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

24,748

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

264,505

Net Assets

$ 1,527,946

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

Semiannual Report

Statement of Assets and Liabilities - continued

 Amounts in thousands (except per-share amounts)

February 28, 2014 (Unaudited)

 

 

 

Calculation of Maximum Offering Price

Class A:
Net Asset Value and redemption price per share ($328,218.47 ÷ 17,104.713 shares)

$ 19.19

 

 

 

Maximum offering price per share (100/94.25 of $19.19)

$ 20.36

Class T:
Net Asset Value and redemption price per share ($923,655.96 ÷ 47,721.369 shares)

$ 19.36

 

 

 

Maximum offering price per share (100/96.50 of $19.36)

$ 20.06

Class B:
Net Asset Value and offering price per share ($12,106.73 ÷ 630.728 shares)A

$ 19.19

 

 

 

Class C:
Net Asset Value and offering price per share ($138,401.69 ÷ 7,249.458 shares)A

$ 19.09

 

 

 

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($125,453.18 ÷ 6,437.466 shares)

$ 19.49

 

 

 

Class Z:
Net Asset Value, offering price and redemption price per share ($110.25 ÷ 5.657 shares)

$ 19.49

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

Financial Statements - continued

Statement of Operations

 Amounts in thousands Six months ended February 28, 2014 (Unaudited)

 

  

  

Investment Income

  

  

Dividends

 

$ 8,447

Interest (including $1 from security lending)

 

4,744

Income from Fidelity Central Funds

 

2,064

Total income

 

15,255

 

 

 

Expenses

Management fee

$ 2,853

Transfer agent fees

1,359

Distribution and service plan fees

3,238

Accounting and security lending fees

286

Custodian fees and expenses

55

Independent trustees' compensation

3

Registration fees

83

Audit

63

Legal

4

Miscellaneous

3

Total expenses before reductions

7,947

Expense reductions

(27)

7,920

Net investment income (loss)

7,335

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

49,750

Fidelity Central Funds

(94)

 

Foreign currency transactions

5

Futures contracts

1,370

Swaps

(32)

 

Total net realized gain (loss)

 

50,999

Change in net unrealized appreciation (depreciation) on:

Investment securities

108,473

Assets and liabilities in foreign currencies

1

Futures contracts

714

Swaps

30

Delayed delivery commitments

(28)

 

Total change in net unrealized appreciation (depreciation)

 

109,190

Net gain (loss)

160,189

Net increase (decrease) in net assets resulting from operations

$ 167,524

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

Semiannual Report

Statement of Changes in Net Assets

 Amounts in thousands

Six months ended February 28, 2014 (Unaudited)

Year ended
August 31,
2013

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 7,335

$ 13,390

Net realized gain (loss)

50,999

72,815

Change in net unrealized appreciation (depreciation)

109,190

36,132

Net increase (decrease) in net assets resulting
from operations

167,524

122,337

Distributions to shareholders from net investment income

(6,085)

(12,715)

Distributions to shareholders from net realized gain

(56,875)

-

Total distributions

(62,960)

(12,715)

Share transactions - net increase (decrease)

117,040

50,238

Total increase (decrease) in net assets

221,604

159,860

 

 

 

Net Assets

Beginning of period

1,306,342

1,146,482

End of period (including undistributed net investment income of $4,208 and undistributed net investment income of $2,958, respectively)

$ 1,527,946

$ 1,306,342

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

Semiannual Report

Financial Highlights - Class A

 

Six months ended
February 28, 2014

Years ended August 31,

 

(Unaudited)

2013

2012

2011

2010

2009

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 17.84

$ 16.31

$ 14.83

$ 13.29

$ 12.61

$ 14.55

Income from InvestmentOperations

 

 

 

 

 

Net investment income (loss) E

  .11

  .22

  .24

  .23

  .24

  .25

Net realized and unrealized gain (loss)

  2.11

  1.52

  1.48

  1.55

  .70

  (1.93)

Total from investment operations

  2.22

  1.74

  1.72

  1.78

  .94

  (1.68)

Distributions from net investment income

  (.10)

  (.21)

  (.24)

  (.23)

  (.24)

  (.21)

Distributions from net realized gain

  (.77)

  -

  -

  (.01)

  (.02)

  (.05)

Total distributions

  (.87)

  (.21)

  (.24)

  (.24)

  (.26) I

  (.26)

Net asset value, end of period

$ 19.19

$ 17.84

$ 16.31

$ 14.83

$ 13.29

$ 12.61

Total Return B, C, D

  12.79%

  10.74%

  11.72%

  13.34%

  7.44%

  (11.30)%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  .93% A

  .95%

  .98%

  1.00%

  1.00%

  1.06%

Expenses net of fee waivers, if any

  .93% A

  .95%

  .98%

  1.00%

  1.00%

  1.06%

Expenses net of all reductions

  .92% A

  .94%

  .98%

  .99%

  .99%

  1.06%

Net investment income (loss)

  1.22% A

  1.27%

  1.56%

  1.53%

  1.76%

  2.24%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 328

$ 270

$ 249

$ 215

$ 203

$ 213

Portfolio turnover rate G

  90% A

  124%

  124%

  146% J

  116%

  215% J

A Annualized

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

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

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

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

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

I Total 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.

J The 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, 2014

Years ended August 31,

 

(Unaudited)

2013

2012

2011

2010

2009

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 17.99

$ 16.44

$ 14.95

$ 13.40

$ 12.70

$ 14.66

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .09

  .18

  .21

  .20

  .21

  .23

Net realized and unrealized gain (loss)

  2.13

  1.54

  1.49

  1.56

  .72

  (1.95)

Total from investment operations

  2.22

  1.72

  1.70

  1.76

  .93

  (1.72)

Distributions from net investment income

  (.08)

  (.17)

  (.21)

  (.20)

  (.21)

  (.19)

Distributions from net realized gain

  (.77)

  -

  -

  (.01)

  (.02)

  (.05)

Total distributions

  (.85)

  (.17)

  (.21)

  (.21)

  (.23) I

  (.24)

Net asset value, end of period

$ 19.36

$ 17.99

$ 16.44

$ 14.95

$ 13.40

$ 12.70

Total Return B, C, D

  12.66%

  10.55%

  11.44%

  13.09%

  7.32%

  (11.54)%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.15% A

  1.17%

  1.19%

  1.20%

  1.23%

  1.29%

Expenses net of fee waivers, if any

  1.15% A

  1.17%

  1.19%

  1.20%

  1.23%

  1.29%

Expenses net of all reductions

  1.15% A

  1.16%

  1.18%

  1.19%

  1.21%

  1.29%

Net investment income (loss)

  1.00% A

  1.05%

  1.36%

  1.33%

  1.54%

  2.01%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 924

$ 821

$ 737

$ 673

$ 619

$ 621

Portfolio turnover rate G

  90% A

  124%

  124%

  146% J

  116%

  215% J

A Annualized

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

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

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

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

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

I Total 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.

J The 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, 2014

Years ended August 31,

 

(Unaudited)

2013

2012

2011

2010

2009

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 17.84

$ 16.30

$ 14.81

$ 13.27

$ 12.58

$ 14.51

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .04

  .08

  .12

  .11

  .13

  .16

Net realized and unrealized gain (loss)

  2.10

  1.52

  1.47

  1.54

  .71

  (1.92)

Total from investment operations

  2.14

  1.60

  1.59

  1.65

  .84

  (1.76)

Distributions from net investment income

  (.02)

  (.06)

  (.10)

  (.10)

  (.13)

  (.13)

Distributions from net realized gain

  (.77)

  -

  -

  (.01)

  (.02)

  (.04)

Total distributions

  (.79)

  (.06)

  (.10)

  (.11)

  (.15) I

  (.17)

Net asset value, end of period

$ 19.19

$ 17.84

$ 16.30

$ 14.81

$ 13.27

$ 12.58

Total Return B, C, D

  12.29%

  9.85%

  10.78%

  12.42%

  6.66%

  (11.98)%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.77% A

  1.78%

  1.78%

  1.80%

  1.82%

  1.83%

Expenses net of fee waivers, if any

  1.77% A

  1.78%

  1.78%

  1.80%

  1.82%

  1.83%

Expenses net of all reductions

  1.76% A

  1.77%

  1.78%

  1.79%

  1.81%

  1.83%

Net investment income (loss)

  .38% A

  .44%

  .76%

  .73%

  .94%

  1.46%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 12

$ 13

$ 15

$ 19

$ 24

$ 29

Portfolio turnover rate G

  90% A

  124%

  124%

  146% J

  116%

  215% J

A Annualized

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

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

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

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

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

I Total 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.

J The 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, 2014

Years ended August 31,

 

(Unaudited)

2013

2012

2011

2010

2009

Selected Per-Share Data

 

 

 

 

 

 

Net asset value, beginning of period

$ 17.76

$ 16.24

$ 14.77

$ 13.23

$ 12.55

$ 14.49

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .04

  .09

  .13

  .12

  .13

  .17

Net realized and unrealized gain (loss)

  2.09

  1.52

  1.46

  1.55

  .71

  (1.93)

Total from investment operations

  2.13

  1.61

  1.59

  1.67

  .84

  (1.76)

Distributions from net investment income

  (.03)

  (.09)

  (.12)

  (.12)

  (.15)

  (.13)

Distributions from net realized gain

  (.77)

  -

  -

  (.01)

  (.02)

  (.05)

Total distributions

  (.80)

  (.09)

  (.12)

  (.13)

  (.16) I

  (.18)

Net asset value, end of period

$ 19.09

$ 17.76

$ 16.24

$ 14.77

$ 13.23

$ 12.55

Total Return B, C, D

  12.33%

  9.93%

  10.81%

  12.59%

  6.69%

  (12.02)%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.69% A

  1.71%

  1.73%

  1.74%

  1.76%

  1.82%

Expenses net of fee waivers, if any

  1.69% A

  1.71%

  1.73%

  1.74%

  1.76%

  1.82%

Expenses net of all reductions

  1.68% A

  1.70%

  1.72%

  1.73%

  1.75%

  1.81%

Net investment income (loss)

  .46% A

  .51%

  .81%

  .79%

  1.00%

  1.48%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 138

$ 105

$ 80

$ 69

$ 62

$ 61

Portfolio turnover rate G

  90% A

  124%

  124%

  146% J

  116%

  215% J

A Annualized

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

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

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

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

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

I Total 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.

J The 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, 2014

Years ended August 31,

 

(Unaudited)

2013

2012

2011

2010

2009

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 18.11

$ 16.55

$ 15.06

$ 13.49

$ 12.79

$ 14.76

Income from InvestmentOperations

 

 

 

 

 

Net investment income (loss) D

  .14

  .27

  .29

  .28

  .28

  .28

Net realized and unrealized gain (loss)

  2.13

  1.55

  1.49

  1.57

  .72

  (1.95)

Total from investment operations

  2.27

  1.82

  1.78

  1.85

  1.00

  (1.67)

Distributions from net investment income

  (.12)

  (.26)

  (.29)

  (.27)

  (.28)

  (.25)

Distributions from net realized gain

  (.77)

  -

  -

  (.01)

  (.02)

  (.05)

Total distributions

  (.89)

  (.26)

  (.29)

  (.28)

  (.30) H

  (.30)

Net asset value, end of period

$ 19.49

$ 18.11

$ 16.55

$ 15.06

$ 13.49

$ 12.79

Total Return B, C

  12.91%

  11.08%

  11.96%

  13.69%

  7.81%

  (11.07)%

Ratios to Average Net Assets E, G

 

 

 

 

 

Expenses before reductions

  .66% A

  .68%

  .70%

  .71%

  .73%

  .79%

Expenses net of fee waivers, if any

  .66% A

  .68%

  .70%

  .71%

  .73%

  .79%

Expenses net of all reductions

  .66% A

  .67%

  .70%

  .70%

  .72%

  .78%

Net investment income (loss)

  1.49% A

  1.54%

  1.84%

  1.82%

  2.03%

  2.51%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 125

$ 97

$ 66

$ 42

$ 34

$ 24

Portfolio turnover rate F

  90% A

  124%

  124%

  146% I

  116%

  215%I

A Annualized

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

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

D Calculated based on average shares outstanding during the period.

E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

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

H Total 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.

I The 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, 2014

Year ended
August 31,

 

(Unaudited)

2013 G

Selected Per-Share Data

 

 

Net asset value, beginning of period

$ 18.11

$ 18.56

Income from Investment Operations

 

 

Net investment income (loss) D

  .15

  .01

Net realized and unrealized gain (loss)

  2.14

  (.46)

Total from investment operations

  2.29

  (.45)

Distributions from net investment income

  (.14)

  -

Distributions from net realized gain

  (.77)

  -

Total distributions

  (.91)

  -

Net asset value, end of period

$ 19.49

$ 18.11

Total Return B, C

  13.00%

  (2.42)%

Ratios to Average Net Assets E, H

 

 

Expenses before reductions

  .52% A

  .53% A

Expenses net of fee waivers, if any

  .52% A

  .53% A

Expenses net of all reductions

  .52% A

  .52% A

Net investment income (loss)

  1.63% A

  .85% A

Supplemental Data

 

 

Net assets, end of period (000 omitted)

 $ 110

 $ 98

Portfolio turnover rate F

  90% A

  124%

A Annualized

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

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

D Calculated based on average shares outstanding during the period.

E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

G For the period August 13, 2013 (commencement of sale of shares) to August 31, 2013.

H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. 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.

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

Semiannual Report

Notes to Financial Statements

For the period ended February 28, 2014 (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

Repurchase Agreements

Restricted Securities

 

Less than 0.01%

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

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 0.01%

* 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 its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

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

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

Semiannual Report

3. Significant Accounting Policies - continued

Investment Valuation - continued

predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Investment Valuation - continued

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.

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, 2014, is included at the end of the Fund's Schedule of Investments.

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

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

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

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

Semiannual Report

3. Significant Accounting Policies - continued

Investment Transactions and Income - continued

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. 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 and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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

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

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

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, capital loss carryforwards 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

$ 268,218

Gross unrealized depreciation

(7,916)

Net unrealized appreciation (depreciation) on securities and other investments

$ 260,302

 

 

Tax cost

$ 1,282,043

Semiannual Report

3. Significant Accounting Policies - continued

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.

To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls - continued

TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.

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.

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 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.

Semiannual Report

4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

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 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.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

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

$ (32)

$ 30

Equity Risk

 

 

Futures Contracts

1,370

714

Totals (a)

$ 1,338

$ 744

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

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

Semiannual Report

4. Derivative Instruments - continued

Swaps - continued

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). Realized gain or (loss) is also recorded in the event of an early termination of a swap. 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.

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.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

Credit Default Swaps - continued

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 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 $403,169 and $380,257, 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.

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

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%

$ 371

$ 20

Class T

.25%

.25%

2,200

33

Class B

.75%

.25%

62

47

Class C

.75%

.25%

605

123

 

 

 

$ 3,238

$ 223

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

$ 69

Class T

21

Class B*

4

Class C*

10

 

$ 104

* 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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

6. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

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
Average
Net Assets*

Class A

$ 306

.21

Class T

799

.18

Class B

19

.30

Class C

130

.21

Institutional Class

105

.19

Class Z

-**

.05

 

$ 1,359

 

* Annualized

** Amount represents twenty-six dollars

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, there were no borrowings on this line of credit.

Semiannual Report

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. 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. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $1. 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 $7. During the period, there were no securities loaned to FCM.

9. Expense Reductions.

The investment adviser voluntarily agreed to reimburse a portion of the Fund's Class A, Class T, Class C and Institutional Class operating expenses.

During the period, this reimbursement reduced expenses as follows:

 

Reimbursement

Class A

$ 3

Class T

9

Class C

1

Institutional Class

1

 

$ 14

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

9. Expense Reductions - continued

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 $13 for the period.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
February 28, 2014

Year ended
August 31, 2013

From net investment income

 

 

Class A

$ 1,541

$ 3,147

Class T

3,617

7,824

Class B

12

52

Class C

215

447

Institutional Class

699

1,245

Class Z

1

-

Total

$ 6,085

$ 12,715

From net realized gain

 

 

Class A

$ 11,846

$ -

Class T

35,422

-

Class B

522

-

Class C

4,798

-

Institutional Class

4,283

-

Class Z

4

-

Total

$ 56,875

$ -

11. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares

Dollars

Six months ended
February 28, 2014

Year ended
August 31, 2013A

Six months ended
February 28, 2014

Year ended
August 31, 2013A

Class A

 

 

 

 

Shares sold

2,796

3,876

$ 51,933

$ 66,780

Reinvestment of distributions

705

176

12,722

2,976

Shares redeemed

(1,545)

(4,158)

(28,618)

(70,968)

Net increase (decrease)

1,956

(106)

$ 36,037

$ (1,212)

Semiannual Report

11. Share Transactions - continued

 

Shares

Dollars

Six months ended
February 28, 2014

Year ended
August 31, 2013A

Six months ended
February 28, 2014

Year ended
August 31, 2013A

Class T

 

 

 

 

Shares sold

5,744

11,028

$ 107,487

$ 191,060

Reinvestment of distributions

2,078

442

37,836

7,519

Shares redeemed

(5,734)

(10,672)

(107,232)

(185,185)

Net increase (decrease)

2,088

798

$ 38,091

$ 13,394

Class B

 

 

 

 

Shares sold

29

91

$ 529

$ 1,597

Reinvestment of distributions

26

3

475

47

Shares redeemed

(131)

(330)

(2,422)

(5,668)

Net increase (decrease)

(76)

(236)

$ (1,418)

$ (4,024)

Class C

 

 

 

 

Shares sold

1,529

1,878

$ 28,249

$ 32,570

Reinvestment of distributions

257

24

4,619

408

Shares redeemed

(444)

(897)

(8,170)

(15,312)

Net increase (decrease)

1,342

1,005

$ 24,698

$ 17,666

Institutional Class

 

 

 

 

Shares sold

2,087

3,287

$ 39,269

$ 57,536

Reinvestment of distributions

263

70

4,817

1,210

Shares redeemed

(1,295)

(1,941)

(24,459)

(34,432)

Net increase (decrease)

1,055

1,416

$ 19,627

$ 24,314

Class Z

 

 

 

 

Shares sold

-

5

$ -

$ 100

Reinvestment of distributions

1

-

5

-

Net increase (decrease)

1

5

$ 5

$ 100

A Share transactions for Class Z are for the period August 13, 2013 (commencement of sale of shares) to August 31, 2013.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

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.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Inc.

Fidelity Management & Research
(U.K.) Inc.

General Distributor

Fidelity Distributors Corporation

Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank

New York, NY

(Fidelity Investment logo)(registered trademark)

AIGI-USAN-0414
1.786778.111

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

Balanced Fund -

Class Z

Semiannual Report

February 28, 2014

(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. © 2014 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, 2013 to February 28, 2014).

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, 2013

Ending
Account Value
February 28, 2014

Expenses Paid
During Period*
September 1, 2013 to
February 28, 2014

Class A

.93%

 

 

 

Actual

 

$ 1,000.00

$ 1,127.90

$ 4.91

HypotheticalA

 

$ 1,000.00

$ 1,020.18

$ 4.66

Class T

1.15%

 

 

 

Actual

 

$ 1,000.00

$ 1,126.60

$ 6.06

HypotheticalA

 

$ 1,000.00

$ 1,019.09

$ 5.76

Class B

1.77%

 

 

 

Actual

 

$ 1,000.00

$ 1,122.90

$ 9.32

HypotheticalA

 

$ 1,000.00

$ 1,016.02

$ 8.85

Class C

1.69%

 

 

 

Actual

 

$ 1,000.00

$ 1,123.30

$ 8.90

HypotheticalA

 

$ 1,000.00

$ 1,016.41

$ 8.45

Institutional Class

.66%

 

 

 

Actual

 

$ 1,000.00

$ 1,129.10

$ 3.48

HypotheticalA

 

$ 1,000.00

$ 1,021.52

$ 3.31

Class Z

.52%

 

 

 

Actual

 

$ 1,000.00

$ 1,130.00

$ 2.75

HypotheticalA

 

$ 1,000.00

$ 1,022.22

$ 2.61

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 0.01%.

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, 2014

 

% of fund's
net assets

% of fund's net assets
6 months ago

Google, Inc. Class A

2.1

1.3

Apple, Inc.

2.0

2.5

JPMorgan Chase & Co.

1.6

1.4

Procter & Gamble Co.

1.3

1.4

Bank of America Corp.

1.2

1.2

 

8.2

Top Five Bond Issuers as of February 28, 2014

(with maturities greater than one year)

% of fund's
net assets

% of fund's net assets
6 months ago

U.S. Treasury Obligations

7.7

6.8

Fannie Mae

2.8

5.1

Freddie Mac

1.6

1.6

Ginnie Mae

1.0

1.6

Wachovia Bank Commercial Mortgage Trust

0.4

0.4

 

13.5

Top Five Market Sectors as of February 28, 2014

 

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

15.8

15.7

Information Technology

13.1

13.3

Health Care

10.5

9.3

Consumer Discretionary

9.3

9.0

Energy

8.0

8.3

Asset Allocation (% of fund's net assets)

As of February 28, 2014*

As of August 31, 2013**

qqq1013953

Stocks and
Equity Futures 71.1%

 

qqq1013953

Stocks and
Equity Futures 70.0%

 

qqq1013956

Bonds 25.4%

 

qqq1013956

Bonds 27.7%

 

qqq1013959

Convertible
Securities 0.1%

 

qqq1013959

Convertible
Securities 0.1%

 

qqq1013962

Other Investments 0.2%

 

qqq1013962

Other Investments 0.2%

 

qqq1013965

Short-Term
Investments and
Net Other Assets (Liabilities) 3.2%

 

qqq1013965

Short-Term
Investments and
Net Other Assets (Liabilities) 2.0%

 

* Foreign investments

10.6%

 

** Foreign investments

10.0%

 

qqq1014002

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, 2014 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 69.7%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 8.2%

Automobiles - 0.1%

Tesla Motors, Inc. (a)

5,145

$ 1,260

Diversified Consumer Services - 0.3%

H&R Block, Inc.

152,781

4,834

Hotels, Restaurants & Leisure - 1.7%

Extended Stay America, Inc. unit

189,339

4,824

McDonald's Corp.

86,675

8,247

Wynn Resorts Ltd.

21,809

5,288

Yum! Brands, Inc.

111,592

8,267

 

26,626

Internet & Catalog Retail - 0.4%

Liberty Interactive Corp. Series A (a)

217,597

6,354

Media - 3.3%

Comcast Corp. Class A

39,996

2,067

DIRECTV (a)

98,949

7,678

Legend Pictures LLC (a)(l)(m)

415

748

The Madison Square Garden Co. Class A (a)

62,357

3,555

The Walt Disney Co.

131,689

10,642

Time Warner, Inc.

132,159

8,872

Twenty-First Century Fox, Inc. Class A

310,043

10,399

Viacom, Inc. Class B (non-vtg.)

78,518

6,888

 

50,849

Multiline Retail - 1.1%

Dollar General Corp. (a)

126,135

7,555

Target Corp.

137,418

8,594

 

16,149

Specialty Retail - 0.6%

TJX Companies, Inc.

146,480

9,003

Textiles, Apparel & Luxury Goods - 0.7%

Fossil Group, Inc. (a)

29,723

3,415

lululemon athletica, Inc. (a)(e)

52,886

2,661

Oxford Industries, Inc.

16,730

1,309

PVH Corp.

24,019

3,037

 

10,422

TOTAL CONSUMER DISCRETIONARY

125,497

CONSUMER STAPLES - 6.6%

Beverages - 1.5%

Anheuser-Busch InBev SA NV

14,329

1,499

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Beverages - continued

Coca-Cola Icecek A/S

18,269

$ 353

Diageo PLC sponsored ADR

17,969

2,259

Embotelladora Andina SA sponsored ADR

18,311

422

Pernod Ricard SA

19,496

2,295

Remy Cointreau SA

24,604

2,089

The Coca-Cola Co.

373,399

14,264

 

23,181

Food & Staples Retailing - 1.5%

CVS Caremark Corp.

131,427

9,613

Kroger Co.

168,118

7,051

Sysco Corp.

57,573

2,074

Wal-Mart Stores, Inc.

55,549

4,150

 

22,888

Food Products - 0.6%

Bunge Ltd.

25,138

2,001

ConAgra Foods, Inc.

54,315

1,543

Green Mountain Coffee Roasters, Inc.

9,740

1,069

Mead Johnson Nutrition Co. Class A

41,589

3,392

Nestle SA

16,652

1,258

 

9,263

Household Products - 1.3%

Procter & Gamble Co.

253,428

19,935

Personal Products - 0.0%

Nu Skin Enterprises, Inc. Class A

7,139

596

Tobacco - 1.7%

Altria Group, Inc.

233,403

8,463

British American Tobacco PLC sponsored ADR

138,899

15,111

Philip Morris International, Inc.

16,155

1,307

Souza Cruz SA

54,950

477

 

25,358

TOTAL CONSUMER STAPLES

101,221

ENERGY - 6.8%

Energy Equipment & Services - 1.2%

C&J Energy Services, Inc. (a)

67,510

1,745

Cameron International Corp. (a)

58,872

3,771

Dril-Quip, Inc. (a)

13,339

1,435

FMC Technologies, Inc. (a)

52,716

2,648

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Energy Equipment & Services - continued

Halliburton Co.

88,407

$ 5,039

Ocean Rig UDW, Inc. (United States) (a)

42,944

748

Oceaneering International, Inc.

27,829

1,992

Pacific Drilling SA (a)

63,930

694

Vantage Drilling Co. (a)

204,060

357

 

18,429

Oil, Gas & Consumable Fuels - 5.6%

Anadarko Petroleum Corp.

91,573

7,707

BG Group PLC

74,000

1,349

Bill Barrett Corp. (a)

29,566

749

Cabot Oil & Gas Corp.

122,015

4,271

Carrizo Oil & Gas, Inc. (a)

24,804

1,234

Chevron Corp.

75,576

8,716

ConocoPhillips Co.

150,367

9,999

Continental Resources, Inc. (a)

27,266

3,259

EOG Resources, Inc.

31,055

5,882

Exxon Mobil Corp.

142,891

13,756

Kinder Morgan Holding Co. LLC

67,000

2,134

Laredo Petroleum Holdings, Inc. (a)

33,624

877

Marathon Oil Corp.

116,536

3,904

Noble Energy, Inc.

45,045

3,097

ONEOK, Inc.

37,252

2,203

Peabody Energy Corp.

92,312

1,621

Phillips 66 Co.

94,144

7,048

Phillips 66 Partners LP

11,619

532

Spectra Energy Corp.

80,500

3,001

Suncor Energy, Inc. (e)

40,155

1,325

Valero Energy Partners LP

41,469

1,534

Whiting Petroleum Corp. (a)

25,323

1,740

 

85,938

TOTAL ENERGY

104,367

FINANCIALS - 11.8%

Capital Markets - 1.4%

Ameriprise Financial, Inc.

37,189

4,053

BlackRock, Inc. Class A

11,790

3,594

Credit Suisse Group AG

9,691

304

E*TRADE Financial Corp. (a)

99,621

2,238

Evercore Partners, Inc. Class A

12,200

679

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Invesco Ltd.

86,009

$ 2,950

Morgan Stanley

29,760

917

Northern Trust Corp.

31,405

1,942

Oaktree Capital Group LLC Class A

40,786

2,516

The Blackstone Group LP

66,455

2,216

 

21,409

Commercial Banks - 1.9%

Barclays PLC

433,841

1,828

Erste Group Bank AG

22,154

786

Huntington Bancshares, Inc.

498,093

4,747

Mitsubishi UFJ Financial Group, Inc.

232,500

1,347

Societe Generale Series A

30,100

2,010

SunTrust Banks, Inc.

73,754

2,779

Synovus Financial Corp.

299,205

1,041

U.S. Bancorp

329,133

13,541

 

28,079

Consumer Finance - 1.6%

Capital One Financial Corp.

234,434

17,214

Discover Financial Services

48,632

2,791

Santander Consumer U.S.A. Holdings, Inc.

23,700

600

SLM Corp.

169,107

4,048

 

24,653

Diversified Financial Services - 4.0%

Bank of America Corp.

1,152,391

19,049

Berkshire Hathaway, Inc. Class A (a)

7

1,216

Citigroup, Inc.

242,530

11,794

IntercontinentalExchange Group, Inc.

16,676

3,483

JPMorgan Chase & Co.

436,432

24,798

KBC Ancora (a)

20,348

804

McGraw Hill Financial, Inc.

4,000

319

 

61,463

Insurance - 1.6%

ACE Ltd.

7,836

767

Direct Line Insurance Group PLC

557,712

2,470

esure Group PLC

159,774

721

Fairfax Financial Holdings Ltd. (sub. vtg.)

4,100

1,703

Marsh & McLennan Companies, Inc.

95,553

4,602

MetLife, Inc.

207,867

10,533

The Travelers Companies, Inc.

31,346

2,628

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Insurance - continued

Validus Holdings Ltd.

7,953

$ 293

WMI Holdings Corp. (a)

4,454

12

 

23,729

Real Estate Investment Trusts - 1.1%

Altisource Residential Corp. Class B (e)

263,010

7,517

American Tower Corp.

64,110

5,223

Equity Lifestyle Properties, Inc.

38,405

1,546

Piedmont Office Realty Trust, Inc. Class A

47,790

826

Senior Housing Properties Trust (SBI)

10,983

245

Sun Communities, Inc.

31,742

1,462

 

16,819

Real Estate Management & Development - 0.2%

CBRE Group, Inc. (a)

120,948

3,380

Thrifts & Mortgage Finance - 0.0%

Ocwen Financial Corp. (a)

10,097

378

Washington Mutual, Inc. (a)

130,000

0

 

378

TOTAL FINANCIALS

179,910

HEALTH CARE - 10.0%

Biotechnology - 2.7%

Actelion Ltd.

17,769

1,884

Alexion Pharmaceuticals, Inc. (a)

38,064

6,730

Amgen, Inc.

77,105

9,563

Biogen Idec, Inc. (a)

27,375

9,326

CSL Ltd. ADR

1,000

32

Gilead Sciences, Inc. (a)

153,185

12,682

Intercept Pharmaceuticals, Inc. (a)

1,700

698

 

40,915

Health Care Equipment & Supplies - 1.3%

Boston Scientific Corp. (a)

488,349

6,397

Covidien PLC

81,058

5,832

Edwards Lifesciences Corp. (a)

17,114

1,194

Quidel Corp. (a)

39,220

1,099

Stryker Corp.

25,829

2,073

The Cooper Companies, Inc.

23,028

2,952

 

19,547

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - 1.1%

Brookdale Senior Living, Inc. (a)

41,664

$ 1,397

Cigna Corp.

73,682

5,864

HCA Holdings, Inc. (a)

8,307

425

Henry Schein, Inc. (a)

28,344

3,374

McKesson Corp.

36,982

6,548

 

17,608

Life Sciences Tools & Services - 0.8%

Illumina, Inc. (a)

25,207

4,323

Thermo Fisher Scientific, Inc.

60,190

7,496

 

11,819

Pharmaceuticals - 4.1%

AbbVie, Inc.

152,711

7,775

Actavis PLC (a)

36,690

8,102

Bristol-Myers Squibb Co.

179,294

9,641

Merck & Co., Inc.

48,244

2,749

Mylan, Inc. (a)

21,900

1,217

Perrigo Co. PLC

29,320

4,821

Pfizer, Inc.

379,067

12,172

Roche Holding AG (participation certificate)

9,867

3,038

Salix Pharmaceuticals Ltd. (a)

27,785

2,999

Shire PLC

69,638

3,852

Valeant Pharmaceuticals International (Canada) (a)

25,727

3,672

Zoetis, Inc. Class A

65,546

2,033

 

62,071

TOTAL HEALTH CARE

151,960

INDUSTRIALS - 6.9%

Aerospace & Defense - 1.5%

Honeywell International, Inc.

85,714

8,095

TransDigm Group, Inc.

30,268

5,392

United Technologies Corp.

80,341

9,402

 

22,889

Air Freight & Logistics - 0.4%

FedEx Corp.

41,181

5,491

Commercial Services & Supplies - 0.2%

KAR Auction Services, Inc.

84,397

2,630

Electrical Equipment - 2.0%

AMETEK, Inc.

144,286

7,682

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Electrical Equipment - continued

Eaton Corp. PLC

97,013

$ 7,248

Hubbell, Inc. Class B

54,450

6,509

Roper Industries, Inc.

65,213

8,844

 

30,283

Industrial Conglomerates - 0.8%

Danaher Corp.

166,392

12,727

Machinery - 0.7%

Cummins, Inc.

45,190

6,594

Ingersoll-Rand PLC

70,700

4,323

 

10,917

Professional Services - 0.4%

Verisk Analytics, Inc. (a)

107,528

6,851

Road & Rail - 0.5%

J.B. Hunt Transport Services, Inc.

98,103

7,051

Trading Companies & Distributors - 0.4%

W.W. Grainger, Inc.

25,491

6,501

TOTAL INDUSTRIALS

105,340

INFORMATION TECHNOLOGY - 12.9%

Communications Equipment - 1.0%

Cisco Systems, Inc.

209,809

4,574

Juniper Networks, Inc. (a)

126,499

3,383

Polycom, Inc. (a)

49,261

658

QUALCOMM, Inc.

86,579

6,519

 

15,134

Computers & Peripherals - 2.3%

Apple, Inc.

56,736

29,857

Electronics for Imaging, Inc. (a)

24,295

1,084

NCR Corp. (a)

105,683

3,599

 

34,540

Electronic Equipment & Components - 0.4%

TE Connectivity Ltd.

98,630

5,778

Internet Software & Services - 4.5%

ChannelAdvisor Corp. (a)

23,555

1,069

Cvent, Inc.

64,575

2,537

Demand Media, Inc. (a)

6,371

31

Demandware, Inc. (a)

7,450

560

eBay, Inc. (a)

129,961

7,638

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Endurance International Group Holdings, Inc. (e)

79,746

$ 1,203

Facebook, Inc. Class A (a)

146,413

10,023

Google, Inc. Class A (a)

26,477

32,185

Halogen Software, Inc.

31,000

330

Millennial Media, Inc. (a)

29,829

180

Millennial Media, Inc. (a)

49,965

272

Millennial Media, Inc. (a)

9,695

0

Naver Corp.

3,152

2,415

SPS Commerce, Inc. (a)

1,220

83

Tencent Holdings Ltd.

46,000

3,690

Trulia, Inc. (a)(e)

45,119

1,352

Wix.com Ltd. (a)(e)

23,233

718

Yahoo!, Inc. (a)

121,102

4,683

 

68,969

IT Services - 0.8%

Cognizant Technology Solutions Corp. Class A (a)

31,335

3,261

Fidelity National Information Services, Inc.

87,364

4,858

FleetCor Technologies, Inc. (a)

2,442

317

Heartland Payment Systems, Inc.

8,867

359

Lionbridge Technologies, Inc. (a)

44,139

316

Quindell PLC (a)

2,026,900

1,146

Visa, Inc. Class A

11,244

2,540

 

12,797

Semiconductors & Semiconductor Equipment - 0.7%

NXP Semiconductors NV (a)

189,571

10,660

Software - 3.2%

Adobe Systems, Inc. (a)

61,054

4,189

Aspen Technology, Inc. (a)

16,998

798

Autodesk, Inc. (a)

29,200

1,532

CommVault Systems, Inc. (a)

17,376

1,197

Concur Technologies, Inc. (a)

3,367

416

Covisint Corp.

22,100

238

Electronic Arts, Inc. (a)

223,539

6,391

FleetMatics Group PLC (a)

10,000

370

Guidewire Software, Inc. (a)

38,600

2,069

Microsoft Corp.

491,736

18,838

Oracle Corp.

177,196

6,930

Qlik Technologies, Inc. (a)

17,500

534

RealPage, Inc. (a)

27,900

494

salesforce.com, Inc. (a)

60,799

3,792

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Software - continued

Ubisoft Entertainment SA (a)

68,445

$ 1,121

Xero Ltd. (m)

27,035

819

 

49,728

TOTAL INFORMATION TECHNOLOGY

197,606

MATERIALS - 2.6%

Chemicals - 2.1%

Airgas, Inc.

72,017

7,763

Cabot Corp.

23,428

1,268

Eastman Chemical Co.

40,274

3,521

FMC Corp.

43,395

3,349

LyondellBasell Industries NV Class A

49,543

4,364

Monsanto Co.

48,378

5,323

Potash Corp. of Saskatchewan, Inc.

60,589

2,003

Sigma Aldrich Corp.

27,552

2,601

W.R. Grace & Co. (a)

15,281

1,549

 

31,741

Construction Materials - 0.2%

Vulcan Materials Co.

44,825

3,045

Containers & Packaging - 0.2%

Graphic Packaging Holding Co. (a)

138,790

1,421

Rock-Tenn Co. Class A

20,524

2,291

 

3,712

Metals & Mining - 0.1%

Carpenter Technology Corp.

17,565

1,039

TOTAL MATERIALS

39,537

TELECOMMUNICATION SERVICES - 1.7%

Diversified Telecommunication Services - 1.1%

inContact, Inc. (a)

76,417

689

Verizon Communications, Inc.

331,798

15,787

 

16,476

Wireless Telecommunication Services - 0.6%

SBA Communications Corp. Class A (a)

29,927

2,848

SoftBank Corp.

49,200

3,729

Common Stocks - continued

Shares

Value (000s)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

T-Mobile U.S., Inc. (a)

71,850

$ 2,191

Vodafone Group PLC sponsored ADR

24,618

1,023

 

9,791

TOTAL TELECOMMUNICATION SERVICES

26,267

UTILITIES - 2.2%

Electric Utilities - 0.8%

American Electric Power Co., Inc.

56,500

2,836

Duke Energy Corp.

44,489

3,153

Edison International

32,867

1,721

Exelon Corp.

5,600

170

NextEra Energy, Inc.

54,200

4,953

 

12,833

Gas Utilities - 0.2%

National Fuel Gas Co.

31,336

2,354

Independent Power Producers & Energy Traders - 0.3%

NRG Energy, Inc.

95,130

2,765

The AES Corp.

78,012

1,065

 

3,830

Multi-Utilities - 0.9%

CenterPoint Energy, Inc.

106,347

2,515

Dominion Resources, Inc.

58,349

4,049

NiSource, Inc.

39,497

1,375

PG&E Corp.

41,575

1,832

Sempra Energy

41,309

3,902

 

13,673

TOTAL UTILITIES

32,690

TOTAL COMMON STOCKS

(Cost $818,551)


1,064,395

Preferred Stocks - 0.0%

 

 

 

 

Convertible Preferred Stocks - 0.0%

INFORMATION TECHNOLOGY - 0.0%

Software - 0.0%

MongoDB, Inc. Series F, 8.00% (m)

16,802

253

Preferred Stocks - continued

Shares

Value (000s)

Nonconvertible Preferred Stocks - 0.0%

CONSUMER STAPLES - 0.0%

Beverages - 0.0%

Ambev SA sponsored ADR

72,650

$ 523

TOTAL PREFERRED STOCKS

(Cost $654)


776

Corporate Bonds - 7.3%

 

Principal Amount (000s)

 

Convertible Bonds - 0.0%

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Cobalt International Energy, Inc. 2.625% 12/1/19

$ 100

96

Nonconvertible Bonds - 7.3%

CONSUMER DISCRETIONARY - 0.6%

Automobiles - 0.0%

Daimler Finance North America LLC 1.45% 8/1/16 (f)

231

233

Diversified Consumer Services - 0.0%

Ingersoll-Rand Global Holding Co. Ltd.:

2.875% 1/15/19 (f)

35

35

4.25% 6/15/23 (f)

249

256

5.75% 6/15/43 (f)

179

197

 

488

Media - 0.6%

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

500

659

Comcast Corp.:

4.95% 6/15/16

15

16

6.45% 3/15/37

238

293

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

136

128

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

440

505

Discovery Communications LLC:

3.25% 4/1/23

51

49

4.875% 4/1/43

120

116

6.35% 6/1/40

236

274

NBCUniversal, Inc.:

5.15% 4/30/20

431

493

6.4% 4/30/40

309

378

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

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

$ 621

$ 854

News America, Inc.:

6.15% 3/1/37

235

271

6.15% 2/15/41

186

216

Thomson Reuters Corp. 1.3% 2/23/17

122

122

Time Warner Cable, Inc.:

4% 9/1/21

630

655

4.5% 9/15/42

739

673

5.5% 9/1/41

165

171

5.85% 5/1/17

104

118

5.875% 11/15/40

153

165

6.75% 7/1/18

439

518

8.25% 4/1/19

528

665

Time Warner, Inc.:

5.875% 11/15/16

12

14

6.5% 11/15/36

232

272

Viacom, Inc.:

2.5% 9/1/18

46

47

3.5% 4/1/17

583

621

4.375% 3/15/43

148

131

 

8,424

TOTAL CONSUMER DISCRETIONARY

9,145

CONSUMER STAPLES - 0.3%

Beverages - 0.1%

Heineken NV:

1.4% 10/1/17 (f)

182

182

2.75% 4/1/23 (f)

191

178

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

285

292

 

652

Food & Staples Retailing - 0.0%

CVS Caremark Corp.:

2.25% 12/5/18

282

284

4% 12/5/23

282

289

 

573

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - 0.0%

ConAgra Foods, Inc.:

1.9% 1/25/18

$ 131

$ 131

3.2% 1/25/23

152

145

 

276

Tobacco - 0.2%

Altria Group, Inc.:

2.85% 8/9/22

262

246

4% 1/31/24

212

212

4.25% 8/9/42

262

231

4.75% 5/5/21

300

328

5.375% 1/31/44

364

380

9.7% 11/10/18

325

432

Reynolds American, Inc.:

3.25% 11/1/22

187

178

4.75% 11/1/42

289

272

6.15% 9/15/43

143

161

6.75% 6/15/17

23

27

7.25% 6/15/37

409

503

 

2,970

TOTAL CONSUMER STAPLES

4,471

ENERGY - 1.0%

Energy Equipment & Services - 0.1%

DCP Midstream LLC:

4.75% 9/30/21 (f)

364

374

5.35% 3/15/20 (f)

327

354

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

371

389

5% 10/1/21

146

155

6.5% 4/1/20

24

28

Transocean, Inc. 5.05% 12/15/16

238

261

 

1,561

Oil, Gas & Consumable Fuels - 0.9%

Anadarko Petroleum Corp.:

5.95% 9/15/16

16

18

6.375% 9/15/17

673

779

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

DCP Midstream Operating LP:

2.5% 12/1/17

$ 168

$ 172

3.875% 3/15/23

104

101

Devon Energy Corp. 1.2% 12/15/16

409

410

Duke Energy Field Services:

5.375% 10/15/15 (f)

10

11

6.45% 11/3/36 (f)

375

406

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

7

8

Enbridge Energy Partners LP 4.2% 9/15/21

438

454

Encana Holdings Finance Corp. 5.8% 5/1/14

23

23

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

7

8

Marathon Petroleum Corp. 5.125% 3/1/21

215

241

Midcontinent Express Pipeline LLC 5.45% 9/15/14 (f)

357

363

Motiva Enterprises LLC:

5.75% 1/15/20 (f)

156

179

6.85% 1/15/40 (f)

223

285

Nakilat, Inc. 6.067% 12/31/33 (f)

279

300

Nexen, Inc. 5.2% 3/10/15

7

7

Petro-Canada 6.05% 5/15/18

150

174

Petrobras Global Finance BV:

3% 1/15/19

64

61

4.375% 5/20/23

596

540

5.625% 5/20/43

569

480

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

354

364

5.375% 1/27/21

815

817

5.75% 1/20/20

611

636

7.875% 3/15/19

399

456

Petroleos Mexicanos:

3.125% 1/23/19 (f)

58

59

3.5% 7/18/18

463

480

3.5% 1/30/23

285

266

4.875% 1/24/22

237

248

4.875% 1/18/24

131

135

4.875% 1/18/24 (f)

279

286

5.5% 1/21/21

369

402

5.5% 6/27/44

648

613

6% 3/5/20

21

24

6.375% 1/23/45 (f)

366

385

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petroleos Mexicanos: - continued

6.5% 6/2/41

$ 661

$ 713

Phillips 66 Co.:

4.3% 4/1/22

338

357

5.875% 5/1/42

117

134

Plains All American Pipeline LP/PAA Finance Corp.:

3.65% 6/1/22

173

175

6.125% 1/15/17

205

233

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

10

11

Spectra Energy Partners, LP:

2.95% 6/15/16

69

72

2.95% 9/25/18

63

65

4.6% 6/15/21

90

97

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

395

462

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

326

368

Western Gas Partners LP 5.375% 6/1/21

393

424

Williams Partners LP 4.3% 3/4/24

278

279

 

13,581

TOTAL ENERGY

15,142

FINANCIALS - 3.7%

Capital Markets - 0.5%

Affiliated Managers Group, Inc. 4.25% 2/15/24

145

146

Goldman Sachs Group, Inc.:

1.748% 9/15/17

1,225

1,225

2.625% 1/31/19

885

890

2.9% 7/19/18

526

541

5.25% 7/27/21

96

107

5.625% 1/15/17

500

554

5.95% 1/18/18

32

37

6% 6/15/20

600

697

6.15% 4/1/18

36

41

Lazard Group LLC:

4.25% 11/14/20

185

195

6.85% 6/15/17

31

35

Morgan Stanley:

2.125% 4/25/18

863

868

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Capital Markets - continued

Morgan Stanley: - continued

3.75% 2/25/23

$ 438

$ 438

4.875% 11/1/22

365

385

5% 11/24/25

93

97

5.45% 1/9/17

480

534

5.75% 1/25/21

100

115

6.625% 4/1/18

600

706

 

7,611

Commercial Banks - 0.5%

Bank of America NA 5.3% 3/15/17

420

465

Credit Suisse AG 6% 2/15/18

664

769

Discover Bank 4.2% 8/8/23

259

266

Fifth Third Bancorp 8.25% 3/1/38

94

132

HBOS PLC 6.75% 5/21/18 (f)

180

205

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

97

117

KeyBank NA:

5.45% 3/3/16

294

321

5.8% 7/1/14

322

328

Marshall & Ilsley Bank 5% 1/17/17

259

281

Regions Bank:

6.45% 6/26/37

652

722

7.5% 5/15/18

282

336

Regions Financial Corp.:

2% 5/15/18

382

376

5.75% 6/15/15

73

77

7.75% 11/10/14

229

240

Royal Bank of Scotland Group PLC:

6% 12/19/23

490

505

6.1% 6/10/23

470

488

6.125% 12/15/22

694

729

Wells Fargo & Co.:

1.25% 7/20/16

1,200

1,214

3.676% 6/15/16

160

171

4.48% 1/16/24

30

31

 

7,773

Consumer Finance - 0.4%

American Express Credit Corp. 1.3% 7/29/16

357

361

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

Discover Financial Services:

3.85% 11/21/22

$ 462

$ 456

5.2% 4/27/22

42

45

6.45% 6/12/17

1,019

1,155

Ford Motor Credit Co. LLC:

1.5% 1/17/17

239

239

1.7% 5/9/16

561

569

2.875% 10/1/18

400

411

General Electric Capital Corp.:

1% 12/11/15

289

292

2.95% 5/9/16

185

194

3.5% 6/29/15

192

200

6% 8/7/19

1,000

1,185

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

314

313

Hyundai Capital America:

1.45% 2/6/17 (f)

476

476

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

 

6,414

Diversified Financial Services - 0.8%

Bank of America Corp.:

2.6% 1/15/19

448

454

3.3% 1/11/23

947

922

3.875% 3/22/17

1,060

1,137

4.1% 7/24/23

352

362

5.65% 5/1/18

205

234

5.75% 12/1/17

615

701

6.5% 8/1/16

300

338

Barclays Bank PLC 2.5% 2/20/19

200

202

BP Capital Markets PLC:

3.814% 2/10/24

359

363

4.742% 3/11/21

300

335

Citigroup, Inc.:

1.3% 11/15/16

568

569

3.953% 6/15/16

397

422

4.05% 7/30/22

151

153

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

Citigroup, Inc.: - continued

4.75% 5/19/15

$ 544

$ 570

5.5% 9/13/25

142

153

6.125% 5/15/18

212

246

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

360

368

JPMorgan Chase & Co.:

1.625% 5/15/18

720

712

2% 8/15/17

300

305

3.15% 7/5/16

430

452

3.25% 9/23/22

503

495

4.35% 8/15/21

420

453

4.5% 1/24/22

134

145

4.95% 3/25/20

661

740

JPMorgan Chase Bank 6% 10/1/17

250

288

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

216

215

TECO Finance, Inc.:

4% 3/15/16

96

102

5.15% 3/15/20

141

158

 

11,594

Insurance - 0.5%

Allstate Corp. 6.2% 5/16/14

264

267

American International Group, Inc.:

4.875% 9/15/16

257

281

4.875% 6/1/22

107

118

5.6% 10/18/16

318

354

Aon Corp.:

3.125% 5/27/16

376

393

3.5% 9/30/15

151

157

5% 9/30/20

133

150

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

456

5.375% 3/15/17

6

7

Liberty Mutual Group, Inc.:

5% 6/1/21 (f)

421

450

6.5% 3/15/35 (f)

327

375

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

233

254

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

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

$ 199

$ 217

MetLife, Inc.:

3.048% 12/15/22

313

304

4.368% 9/15/23

305

324

4.75% 2/8/21

137

152

6.75% 6/1/16

290

328

Metropolitan Life Global Funding I:

3% 1/10/23 (f)

223

214

5.125% 6/10/14 (f)

255

258

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

203

296

Pacific LifeCorp:

5.125% 1/30/43 (f)

441

431

6% 2/10/20 (f)

409

466

Prudential Financial, Inc.:

2.3% 8/15/18

51

52

4.5% 11/16/21

200

219

4.75% 9/17/15

500

531

5.8% 11/16/41

262

302

6.2% 11/15/40

134

161

7.375% 6/15/19

120

149

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

38

41

Unum Group:

5.625% 9/15/20

270

301

5.75% 8/15/42

458

493

7.125% 9/30/16

19

22

 

8,535

Real Estate Investment Trusts - 0.4%

Alexandria Real Estate Equities, Inc. 4.6% 4/1/22

108

112

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

101

97

AvalonBay Communities, Inc.:

3.625% 10/1/20

160

166

4.2% 12/15/23

360

372

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

432

434

BRE Properties, Inc. 5.5% 3/15/17

113

125

Camden Property Trust:

2.95% 12/15/22

135

127

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Camden Property Trust: - continued

4.25% 1/15/24

$ 304

$ 311

Developers Diversified Realty Corp.:

4.625% 7/15/22

247

259

4.75% 4/15/18

313

341

7.5% 4/1/17

203

236

9.625% 3/15/16

106

123

Duke Realty LP:

3.625% 4/15/23

180

172

3.875% 10/15/22

310

304

4.375% 6/15/22

207

212

5.95% 2/15/17

57

64

6.5% 1/15/18

285

328

6.75% 3/15/20

12

14

8.25% 8/15/19

127

159

Equity One, Inc.:

3.75% 11/15/22

400

384

5.375% 10/15/15

47

50

Federal Realty Investment Trust 5.9% 4/1/20

95

111

HCP, Inc. 3.75% 2/1/16

201

212

Health Care REIT, Inc.:

2.25% 3/15/18

147

148

4.7% 9/15/17

48

53

HRPT Properties Trust 5.75% 11/1/15

50

52

Retail Opportunity Investments Partnership LP 5% 12/15/23

67

69

Simon Property Group LP:

2.75% 2/1/23

232

220

2.8% 1/30/17

82

86

4.125% 12/1/21

229

244

UDR, Inc. 5.5% 4/1/14

498

500

Weingarten Realty Investors 3.375% 10/15/22

68

65

 

6,150

Real Estate Management & Development - 0.6%

BioMed Realty LP:

3.85% 4/15/16

390

411

4.25% 7/15/22

163

162

6.125% 4/15/20

126

144

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

Brandywine Operating Partnership LP:

3.95% 2/15/23

$ 359

$ 351

4.95% 4/15/18

197

213

5.7% 5/1/17

1,000

1,102

6% 4/1/16

86

94

7.5% 5/15/15

44

47

Digital Realty Trust LP:

4.5% 7/15/15

172

179

5.25% 3/15/21

201

212

ERP Operating LP:

4.625% 12/15/21

540

585

4.75% 7/15/20

265

293

5.375% 8/1/16

117

129

5.75% 6/15/17

567

644

Liberty Property LP:

3.375% 6/15/23

185

174

4.125% 6/15/22

177

179

4.4% 2/15/24

418

425

4.75% 10/1/20

394

422

5.125% 3/2/15

7

7

5.5% 12/15/16

12

13

6.625% 10/1/17

281

325

Mack-Cali Realty LP:

2.5% 12/15/17

252

255

3.15% 5/15/23

426

383

4.5% 4/18/22

108

109

7.75% 8/15/19

23

28

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

73

74

Post Apartment Homes LP 3.375% 12/1/22

70

66

Prime Property Funding, Inc.:

5.125% 6/1/15 (f)

57

59

5.7% 4/15/17 (f)

94

102

Reckson Operating Partnership LP 6% 3/31/16

114

124

Regency Centers LP 5.25% 8/1/15

124

131

Tanger Properties LP:

3.875% 12/1/23

160

160

6.125% 6/1/20

478

560

Ventas Realty LP 1.55% 9/26/16

250

253

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

Ventas Realty LP/Ventas Capital Corp.:

2% 2/15/18

$ 227

$ 228

4% 4/30/19

114

122

 

8,765

TOTAL FINANCIALS

56,842

HEALTH CARE - 0.3%

Biotechnology - 0.0%

Amgen, Inc. 5.15% 11/15/41

350

367

Health Care Providers & Services - 0.2%

Aetna, Inc. 2.75% 11/15/22

178

168

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

378

411

Express Scripts, Inc. 3.125% 5/15/16

357

373

Medco Health Solutions, Inc.:

2.75% 9/15/15

38

39

4.125% 9/15/20

259

276

UnitedHealth Group, Inc.:

2.75% 2/15/23

59

56

2.875% 3/15/23

463

441

WellPoint, Inc. 3.3% 1/15/23

172

166

 

1,930

Life Sciences Tools & Services - 0.0%

Thermo Fisher Scientific, Inc.:

1.3% 2/1/17

102

102

2.4% 2/1/19

65

65

4.15% 2/1/24

99

102

 

269

Pharmaceuticals - 0.1%

AbbVie, Inc.:

1.75% 11/6/17

358

361

2.9% 11/6/22

368

355

Mylan, Inc. 1.35% 11/29/16

120

121

Perrigo Co. PLC 2.3% 11/8/18 (f)

200

200

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

120

120

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Pharmaceuticals - continued

Zoetis, Inc.:

1.875% 2/1/18

$ 57

$ 57

3.25% 2/1/23

138

133

 

1,347

TOTAL HEALTH CARE

3,913

INDUSTRIALS - 0.0%

Aerospace & Defense - 0.0%

BAE Systems Holdings, Inc.:

4.95% 6/1/14 (f)

18

18

6.375% 6/1/19 (f)

309

362

 

380

Airlines - 0.0%

Continental Airlines, Inc.:

6.648% 3/15/19

13

14

6.9% 7/2/19

4

4

U.S. Airways pass-thru trust certificates:

6.85% 1/30/18

9

10

8.36% 1/20/19

7

8

 

36

TOTAL INDUSTRIALS

416

INFORMATION TECHNOLOGY - 0.0%

Electronic Equipment & Components - 0.0%

Tyco Electronics Group SA 2.375% 12/17/18

74

74

IT Services - 0.0%

Xerox Corp. 4.25% 2/15/15

12

12

TOTAL INFORMATION TECHNOLOGY

86

MATERIALS - 0.2%

Chemicals - 0.0%

The Dow Chemical Co.:

4.125% 11/15/21

343

361

4.25% 11/15/20

186

199

 

560

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Construction Materials - 0.0%

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

$ 15

$ 17

Metals & Mining - 0.2%

Anglo American Capital PLC 9.375% 4/8/14 (f)

211

213

Corporacion Nacional del Cobre de Chile (Codelco):

3.875% 11/3/21 (f)

360

363

4.5% 8/13/23 (f)

500

518

5.625% 10/18/43 (f)

254

259

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

356

360

Vale Overseas Ltd.:

4.375% 1/11/22

200

200

6.25% 1/23/17

503

563

 

2,476

TOTAL MATERIALS

3,053

TELECOMMUNICATION SERVICES - 0.5%

Diversified Telecommunication Services - 0.5%

AT&T, Inc.:

5.55% 8/15/41

1,223

1,288

6.3% 1/15/38

398

454

CenturyLink, Inc.:

5.15% 6/15/17

28

30

6% 4/1/17

70

77

6.15% 9/15/19

226

243

Embarq Corp.:

7.082% 6/1/16

236

264

7.995% 6/1/36

175

187

Verizon Communications, Inc.:

2.5% 9/15/16

1,100

1,142

6.25% 4/1/37

187

217

6.4% 9/15/33

346

411

6.55% 9/15/43

2,538

3,108

 

7,421

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - 0.0%

America Movil S.A.B. de CV:

2.375% 9/8/16

$ 276

$ 285

3.125% 7/16/22

255

241

 

526

TOTAL TELECOMMUNICATION SERVICES

7,947

UTILITIES - 0.7%

Electric Utilities - 0.4%

American Electric Power Co., Inc.:

1.65% 12/15/17

147

147

2.95% 12/15/22

140

134

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

119

121

Duke Capital LLC 5.668% 8/15/14

16

16

Duke Energy Corp. 3.95% 10/15/23

55

56

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (f)

273

311

6.4% 9/15/20 (f)

569

665

Edison International 3.75% 9/15/17

226

242

FirstEnergy Corp.:

2.75% 3/15/18

299

301

4.25% 3/15/23

528

518

7.375% 11/15/31

411

473

FirstEnergy Solutions Corp. 6.05% 8/15/21

649

716

LG&E and KU Energy LLC:

2.125% 11/15/15

255

260

3.75% 11/15/20

49

51

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

131

136

Nevada Power Co. 6.5% 5/15/18

165

196

Northeast Utilities:

1.45% 5/1/18

96

94

2.8% 5/1/23

435

410

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

115

136

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

240

246

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

207

200

 

5,429

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Gas Utilities - 0.0%

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

$ 122

$ 129

Independent Power Producers & Energy Traders - 0.0%

PSEG Power LLC 2.75% 9/15/16

90

94

Multi-Utilities - 0.3%

Ameren Illinois Co. 6.125% 11/15/17

165

191

Dominion Resources, Inc.:

2.5469% 9/30/66 (i)

635

586

7.5% 6/30/66 (i)

26

28

MidAmerican Energy Holdings, Co.:

1.1% 5/15/17 (f)

523

522

2% 11/15/18 (f)

403

401

National Grid PLC 6.3% 8/1/16

183

205

NiSource Finance Corp.:

4.45% 12/1/21

155

164

5.25% 2/15/43

357

361

5.4% 7/15/14

11

11

5.45% 9/15/20

468

531

5.8% 2/1/42

199

216

5.95% 6/15/41

396

438

6.4% 3/15/18

58

68

6.8% 1/15/19

677

810

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

55

55

Puget Energy, Inc. 6% 9/1/21

48

55

Sempra Energy:

2.3% 4/1/17

376

386

2.875% 10/1/22

154

147

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

21

21

 

5,196

TOTAL UTILITIES

10,848

TOTAL NONCONVERTIBLE BONDS

111,863

TOTAL CORPORATE BONDS

(Cost $105,432)


111,959

U.S. Treasury Obligations - 7.8%

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Bills, yield at date of purchase 0.03% to 0.09% 4/17/14 to 5/29/14 (h)

$ 1,555

$ 1,555

U.S. Treasury Bonds:

3.625% 8/15/43

5,634

5,673

3.625% 2/15/44

2,000

2,013

3.75% 11/15/43

102

105

U.S. Treasury Notes:

0.25% 7/31/15

3,230

3,233

0.5% 7/31/17

2,063

2,035

0.625% 12/15/16

4,412

4,414

0.875% 11/30/16

1,254

1,263

0.875% 4/30/17

9

9

0.875% 1/31/18

9,947

9,857

0.875% 7/31/19

5,971

5,721

1% 5/31/18

5,583

5,525

1.25% 10/31/18

22,092

21,935

1.375% 7/31/18

7,186

7,205

1.375% 9/30/18

5,036

5,036

1.5% 12/31/18

2,258

2,262

1.5% 1/31/19

14,672

14,679

1.75% 5/31/16

5,530

5,694

1.75% 5/15/23

350

326

2% 2/28/21

7,013

6,953

2% 2/15/23

3,074

2,943

2.125% 1/31/21

3,922

3,926

2.75% 11/15/23

6,910

6,983

TOTAL U.S. TREASURY OBLIGATIONS

(Cost $119,606)


119,345

U.S. Government Agency - Mortgage Securities - 1.0%

 

Fannie Mae - 0.8%

2.303% 6/1/36 (i)

8

9

2.536% 6/1/42 (i)

51

53

2.643% 7/1/37 (i)

18

19

2.949% 11/1/40 (i)

26

27

2.959% 9/1/41 (i)

30

31

3% 1/1/43 to 1/1/44

1,000

972

3% 3/1/44 (g)

500

486

3.093% 10/1/41 (i)

19

20

3.224% 7/1/41 (i)

48

51

3.345% 10/1/41 (i)

26

28

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

3.5% 8/1/42 to 10/1/43

$ 5,633

$ 5,645

3.5% 3/1/44 (g)

2,400

2,433

3.55% 7/1/41 (i)

51

54

4% 12/1/41 to 12/1/43

491

516

4% 3/1/44 (g)

600

629

4% 3/1/44 (g)

500

524

4.5% 12/1/23

13

14

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

436

487

TOTAL FANNIE MAE

11,998

Freddie Mac - 0.2%

3.064% 10/1/35 (i)

21

22

3.23% 4/1/41 (i)

36

38

3.249% 9/1/41 (i)

27

29

3.281% 6/1/41 (i)

39

41

3.464% 5/1/41 (i)

38

40

3.5% 6/1/42 to 10/1/43

2,076

2,078

3.622% 6/1/41 (i)

48

51

3.695% 5/1/41 (i)

45

48

5% 11/1/40

330

363

TOTAL FREDDIE MAC

2,710

Ginnie Mae - 0.0%

4% 11/20/40 to 1/20/41

200

212

4% 3/1/44 (g)

500

530

5.5% 6/15/35

137

154

TOTAL GINNIE MAE

896

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $15,715)


15,604

Asset-Backed Securities - 0.2%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6255% 4/25/35 (i)

30

27

Ally Master Owner Trust:

Series 2011-3 Class A2, 1.81% 5/15/16

280

281

Series 2012-3 Class A2, 1.21% 6/15/17

370

372

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.2055% 12/25/33 (i)

$ 3

$ 2

Series 2004-R2 Class M3, 0.9805% 4/25/34 (i)

4

2

Series 2005-R2 Class M1, 0.6055% 4/25/35 (i)

48

47

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.9355% 3/25/34 (i)

2

2

Series 2004-W11 Class M2, 1.2055% 11/25/34 (i)

25

23

Series 2004-W7 Class M1, 0.9805% 5/25/34 (i)

27

25

Series 2006-W4 Class A2C, 0.3155% 5/25/36 (i)

55

17

Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 0.9805% 4/25/34 (i)

91

85

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

360

362

Capital Trust Ltd. Series 2004-1 Class C, 1.254% 7/20/39 (f)(i)

7

3

Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.2955% 12/25/36 (i)

82

47

CFC LLC:

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

54

54

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

303

304

Countrywide Home Loans, Inc.:

Series 2004-3 Class M4, 1.6105% 4/25/34 (i)

4

3

Series 2004-4 Class M2, 0.9505% 6/25/34 (i)

19

18

Series 2004-7 Class AF5, 5.37% 1/25/35

135

142

Fannie Mae Series 2004-T5 Class AB3, 0.9224% 5/28/35 (i)

2

2

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3305% 8/25/34 (i)

13

10

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 0.9805% 3/25/34 (i)

1

0*

Ford Credit Floorplan Master Owner Trust Series 2013-3 Class A1, 0.79% 6/15/17

700

702

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.8905% 1/25/35 (i)

43

35

Class M4, 1.1755% 1/25/35 (i)

16

6

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6149% 2/25/47 (f)(i)

106

88

GE Business Loan Trust:

Series 2003-1 Class A, 0.5845% 4/15/31 (f)(i)

3

2

Series 2006-2A:

Class A, 0.3345% 11/15/34 (f)(i)

28

26

Class B, 0.4345% 11/15/34 (f)(i)

10

9

Class C, 0.5345% 11/15/34 (f)(i)

17

14

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

GE Business Loan Trust: - continued

Series 2006-2A:

Class D, 0.9045% 11/15/34 (f)(i)

$ 6

$ 5

Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7055% 9/25/46 (f)(i)

30

30

Home Equity Asset Trust:

Series 2003-3 Class M1, 1.4455% 8/25/33 (i)

24

23

Series 2003-5 Class A2, 0.8555% 12/25/33 (i)

1

1

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3455% 1/25/37 (i)

56

28

JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.2855% 11/25/36 (i)

51

50

KeyCorp Student Loan Trust:

Series 1999-A Class A2, 0.5759% 12/27/29 (i)

14

14

Series 2006-A Class 2C, 1.3959% 3/27/42 (i)

43

7

MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4555% 5/25/37 (i)

22

0*

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.1305% 7/25/34 (i)

3

3

Series 2006-FM1 Class A2B, 0.2655% 4/25/37 (i)

28

27

Series 2006-OPT1 Class A1A, 0.6755% 6/25/35 (i)

49

47

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.8355% 8/25/34 (i)

3

3

Series 2005-NC1 Class M1, 0.8155% 1/25/35 (i)

18

17

Series 2005-NC2 Class B1, 1.3255% 3/25/35 (i)

11

5

New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.6655% 9/25/35 (i)

65

54

Ocala Funding LLC:

Series 2005-1A Class A, 1.654% 3/20/10 (d)(f)(i)

25

0

Series 2006-1A Class A, 1.554% 3/20/11 (d)(f)(i)

53

0

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.4055% 9/25/34 (i)

24

22

Class M4, 1.6055% 9/25/34 (i)

31

17

Series 2005-WCH1 Class M4, 0.9855% 1/25/36 (i)

67

55

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9555% 4/25/33 (i)

0*

0*

Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9505% 3/25/35 (i)

46

39

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.1929% 6/15/33 (i)

46

40

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.8805% 9/25/34 (i)

2

2

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0155% 9/25/34 (i)

$ 1

$ 1

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8029% 4/6/42 (f)(i)

60

14

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0386% 10/25/44 (f)(i)

81

78

TOTAL ASSET-BACKED SECURITIES

(Cost $2,900)


3,292

Collateralized Mortgage Obligations - 0.3%

 

Private Sponsor - 0.2%

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7155% 1/25/35 (i)

64

63

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.5778% 10/25/34 (i)

30

30

Granite Master Issuer PLC floater:

Series 2006-1A:

Class A1, 0.224% 12/20/54 (f)(i)

328

324

Class C2, 1.354% 12/20/54 (f)(i)

271

262

Series 2006-2:

Class A4, 0.234% 12/20/54 (i)

93

92

Class C1, 1.094% 12/20/54 (i)

242

229

Series 2006-3:

Class A3, 0.234% 12/20/54 (i)

44

43

Class A7, 0.354% 12/20/54 (i)

51

51

Class C2, 1.154% 12/20/54 (i)

50

48

Series 2006-4:

Class A4, 0.254% 12/20/54 (i)

150

148

Class B1, 0.334% 12/20/54 (i)

169

164

Class C1, 0.914% 12/20/54 (i)

103

97

Class M1, 0.494% 12/20/54 (i)

44

42

Series 2007-1:

Class 1C1, 0.754% 12/20/54 (i)

84

79

Class 1M1, 0.454% 12/20/54 (i)

54

51

Class 2A1, 0.294% 12/20/54 (i)

118

116

Class 2C1, 1.014% 12/20/54 (i)

38

36

Class 2M1, 0.654% 12/20/54 (i)

70

67

Series 2007-2:

Class 2C1, 1.0145% 12/17/54 (i)

97

91

Class 3A1, 0.3345% 12/17/54 (i)

24

24

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.6866% 1/20/44 (i)

$ 19

$ 19

JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.6892% 8/25/36 (i)

56

47

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.3655% 5/25/47 (i)

25

19

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3255% 2/25/37 (i)

37

34

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4455% 7/25/35 (i)

65

63

RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.5065% 7/10/35 (f)(i)

14

13

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2269% 7/20/34 (i)

1

1

Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.4727% 4/25/33 (i)

9

9

TOTAL PRIVATE SPONSOR

2,262

U.S. Government Agency - 0.1%

Fannie Mae:

floater:

Series 2005-38 Class F, 0.4555% 5/25/35 (i)

51

51

Series 2006-50 Class BF, 0.5555% 6/25/36 (i)

67

67

Series 2006-82 Class F, 0.7255% 9/25/36 (i)

89

89

Series 2007-36 Class F, 0.3855% 4/25/37 (i)

80

80

Series 2011-37 Class FA, 0.6055% 5/25/41 (i)

241

242

Series 2011-40 Class DF, 0.6055% 5/25/41 (i)

186

186

Series 2013-62 Class FA, 0.4555% 6/25/43 (i)

339

335

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

7

7

sequential payer:

Series 2010-74 Class WF, 0.7555% 7/25/34 (i)

73

74

Series 2012-120 Class FE 0.4555% 2/25/39 (i)

151

150

Freddie Mac:

floater:

Series 2011-3845 Class FA, 0.5745% 4/15/41 (i)

119

119

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac: - continued

floater:

Series 3830 Class FD, 0.5145% 3/15/41 (i)

$ 347

$ 348

sequential payer Series 2011-3969 Class AF, 0.6045% 10/15/33 (i)

154

155

TOTAL U.S. GOVERNMENT AGENCY

1,903

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $3,062)


4,165

Commercial Mortgage Securities - 1.7%

 

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5236% 2/14/43 (i)(k)

27

1

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.7192% 5/10/45 (i)

33

34

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

315

342

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

177

178

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

150

154

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

857

942

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

233

240

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

43

5

Series 2007-3:

Class A3, 5.6195% 6/10/49 (i)

124

124

Class A4, 5.6195% 6/10/49 (i)

156

173

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

274

296

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.0055% 12/25/33 (f)(i)

2

2

Series 2005-4A:

Class A2, 0.5455% 1/25/36 (f)(i)

45

37

Class B1, 1.5555% 1/25/36 (f)(i)

4

1

Class M1, 0.6055% 1/25/36 (f)(i)

14

8

Class M2, 0.6255% 1/25/36 (f)(i)

4

2

Class M3, 0.6555% 1/25/36 (f)(i)

6

3

Class M4, 0.7655% 1/25/36 (f)(i)

4

2

Class M5, 0.8055% 1/25/36 (f)(i)

4

1

Class M6, 0.8555% 1/25/36 (f)(i)

4

1

Series 2006-3A Class M4, 0.5855% 10/25/36 (f)(i)

4

1

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-1 Class A2, 0.4255% 3/25/37 (f)(i)

$ 26

$ 18

Series 2007-2A:

Class A1, 0.4255% 7/25/37 (f)(i)

26

21

Class A2, 0.4755% 7/25/37 (f)(i)

24

17

Class M1, 0.5255% 7/25/37 (f)(i)

9

3

Class M2, 0.5655% 7/25/37 (f)(i)

4

1

Class M3, 0.6455% 7/25/37 (f)(i)

5

0*

Class M4, 0.8055% 7/25/37 (f)(i)

4

0*

Series 2007-3:

Class A2, 0.4455% 7/25/37 (f)(i)

28

19

Class M1, 0.4655% 7/25/37 (f)(i)

5

3

Class M2, 0.4955% 7/25/37 (f)(i)

5

3

Class M3, 0.5255% 7/25/37 (f)(i)

8

4

Class M4, 0.6555% 7/25/37 (f)(i)

13

3

Class M5, 0.7555% 7/25/37 (f)(i)

7

1

Class M6, 0.9555% 7/25/37 (f)(i)

2

0*

Series 2007-4A:

Class M1, 1.1055% 9/25/37 (f)(i)

10

1

Class M2, 1.2055% 9/25/37 (f)(i)

10

1

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

252

15

Bear Stearns Commercial Mortgage Securities Trust:

floater Series 2007-BBA8:

Class E, 0.4545% 3/15/22 (f)(i)

20

20

Class F, 0.5045% 3/15/22 (f)(i)

78

74

Class G, 0.5545% 3/15/22 (f)(i)

20

19

Class H, 0.7045% 3/15/22 (f)(i)

25

22

Class J, 0.8545% 3/15/22 (f)(i)

25

22

sequential payer Series 2007-PW16 Class A4, 5.7058% 6/11/40 (i)

44

50

Series 2006-T22 Class A4, 5.5801% 4/12/38 (i)

9

10

Series 2007-PW18 Class X2, 0.2966% 6/11/50 (f)(i)(k)

3,806

26

Series 2007-T28 Class X2, 0.1573% 9/11/42 (f)(i)(k)

2,337

8

C-BASS Trust floater Series 2006-SC1 Class A, 0.4255% 5/25/36 (f)(i)

23

22

CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 1.4233% 5/15/35 (f)(i)(k)

160

2

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

Class A3, 5.293% 12/11/49

73

75

Class A4, 5.322% 12/11/49

2,380

2,627

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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, 1.0045% 4/15/17 (f)(i)

6

6

Series 2006-FL12 Class AJ, 0.2845% 12/15/20 (f)(i)

26

26

sequential payer Series 2006-C7 Class A1A, 5.741% 6/10/46 (i)

287

313

Series 2004-LB4A Class A5, 4.84% 10/15/37

594

599

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

76

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5045% 4/15/22 (f)(i)

268

253

Credit Suisse First Boston Mortgage Securities Corp.:

Series 2001-CK6 Class AX, 1.3434% 8/15/36 (i)(k)

5

0*

Series 2001-CKN5 Class AX, 0.6562% 9/15/34 (f)(i)(k)

0*

0*

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class C:

0.3245% 2/15/22 (f)(i)

56

55

0.4245% 2/15/22 (f)(i)

30

30

Class F, 0.4745% 2/15/22 (f)(i)

60

59

Series 2007-C1:

Class ASP, 0.354% 2/15/40 (i)(k)

924

0*

Class B, 5.487% 2/15/40 (f)(i)

115

16

GE Capital Commercial Mortgage Corp.:

sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49

1,194

1,309

Series 2001-1 Class X1, 1.7244% 5/15/33 (f)(i)(k)

15

0*

Series 2007-C1 Class XP, 0.1602% 12/10/49 (i)(k)

477

0*

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.3471% 11/5/21 (f)(i)

28

28

Series 2006-GG7 Class A4, 5.8197% 7/10/38 (i)

176

193

Series 2007-GG11 Class A1, 0.2936% 12/10/49 (f)(i)(k)

1,112

2

GS Mortgage Securities Corp. II Series 2006-GG6 Class A2, 5.506% 4/10/38

10

10

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 80

$ 88

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)

584

596

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FL2A:

Class B, 0.3245% 11/15/18 (f)(i)

32

31

Class C, 0.3645% 11/15/18 (f)(i)

23

22

Class D, 0.3845% 11/15/18 (f)(i)

7

6

Class E, 0.4345% 11/15/18 (f)(i)

10

9

Class F, 0.4845% 11/15/18 (f)(i)

14

14

Class G, 0.5145% 11/15/18 (f)(i)

13

12

Class H, 0.6545% 11/15/18 (f)(i)

10

9

sequential payer:

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

494

540

Series 2006-CB17:

Class A3, 5.45% 12/12/43

4

4

Class A4, 5.429% 12/12/43

240

259

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

835

910

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

31

34

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

70

77

Series 2007-CB19 Class A4, 5.7093% 2/12/49 (i)

1,130

1,262

Series 2007-LD11:

Class A2, 5.7984% 6/15/49 (i)

69

69

Class A4, 5.8134% 6/15/49 (i)

790

881

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

554

613

Series 2006-LDP7 Class A4, 5.8726% 4/15/45 (i)

700

765

Series 2007-CB19:

Class B, 5.7093% 2/12/49 (i)

6

2

Class C, 5.7093% 2/12/49 (i)

17

4

Class D, 5.7093% 2/12/49 (i)

18

3

Series 2007-LDP10:

Class CS, 5.466% 1/15/49 (i)

6

1

Class ES, 5.7261% 1/15/49 (f)(i)

39

2

LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.8924% 7/15/44 (i)

58

65

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

34

37

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

39

40

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

550

607

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

93

101

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

LB-UBS Commercial Mortgage Trust: - continued

Series 2007-C7:

Class A3, 5.866% 9/15/45

$ 444

$ 506

Class XCP, 0.2771% 9/15/45 (i)(k)

4,375

11

Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA Class H, 0.5545% 9/15/21 (f)(i)

12

12

Merrill Lynch Mortgage Trust:

Series 2005-LC1 Class F, 5.4207% 1/12/44 (f)(i)

65

58

Series 2007-C1 Class A4, 5.8409% 6/12/50 (i)

354

398

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.2748% 12/12/49 (i)

4

4

sequential payer:

Series 2006-4:

Class A3, 5.172% 12/12/49 (i)

40

43

Class ASB, 5.133% 12/12/49 (i)

32

33

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

63

69

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

550

609

Series 2007-7 Class A4, 5.7439% 6/12/50 (i)

263

293

Series 2006-4 Class XP, 0.618% 12/12/49 (i)(k)

770

4

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

75

18

Series 2007-7 Class B, 5.7439% 6/12/50 (i)

7

0*

Series 2007-8 Class A3, 5.8943% 8/12/49 (i)

65

73

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.355% 7/15/19 (f)(i)

16

12

Series 2007-XLFA:

Class C, 0.315% 10/15/20 (f)(i)

43

42

Class D, 0.345% 10/15/20 (f)(i)

30

29

Class E, 0.405% 10/15/20 (f)(i)

38

36

Class F, 0.455% 10/15/20 (f)(i)

23

22

Class G, 0.495% 10/15/20 (f)(i)

28

27

Class H, 0.585% 10/15/20 (f)(i)

18

16

Class J, 0.735% 10/15/20 (f)(i)

10

4

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

9

9

Series 2006-IQ11 Class A4, 5.6648% 10/15/42 (i)

20

21

Series 2006-T23 Class A3, 5.8071% 8/12/41 (i)

38

38

Series 2007-HQ12 Class A2, 5.6007% 4/12/49 (i)

301

304

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (i)

113

125

Class B, 5.7406% 4/15/49 (i)

18

4

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 643

$ 817

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2006-WL7A:

Class F, 0.4945% 9/15/21 (f)(i)

65

64

Class G, 0.5145% 9/15/21 (f)(i)

80

79

Class J, 0.7545% 9/15/21 (f)(i)

18

16

Series 2007-WHL8:

Class F, 0.6345% 6/15/20 (f)(i)

168

154

Class LXR1, 0.8545% 6/15/20 (f)(i)

9

8

sequential payer:

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

350

383

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

288

315

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

540

595

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

1,070

1,169

Series 2007-C32 Class A3, 5.7499% 6/15/49 (i)

147

163

Series 2007-C33:

Class A4, 5.9216% 2/15/51 (i)

1,100

1,214

Class A5, 5.9216% 2/15/51 (i)

50

56

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

75

77

Series 2005-C22:

Class B, 5.3811% 12/15/44 (i)

166

163

Class F, 5.3811% 12/15/44 (f)(i)

125

30

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

411

450

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

704

770

Series 2007-C30 Class XP, 0.4783% 12/15/43 (f)(i)(k)

571

0*

Series 2007-C31 Class C, 5.672% 4/15/47 (i)

21

17

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

723

723

Series 2007-C32:

Class D, 5.7499% 6/15/49 (i)

56

25

Class E, 5.7499% 6/15/49 (i)

89

30

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $23,941)


25,995

Municipal Securities - 0.5%

 

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

102

California Gen. Oblig.:

Series 2009, 7.35% 11/1/39

70

94

Municipal Securities - continued

 

Principal Amount (000s)

Value (000s)

California Gen. Oblig.: - continued

7.3% 10/1/39

$ 535

$ 720

7.5% 4/1/34

465

631

7.6% 11/1/40

895

1,262

7.625% 3/1/40

150

209

Chicago Gen. Oblig. (Taxable Proj.):

Series 2008 B, 5.63% 1/1/22

80

84

Series 2010 C1, 7.781% 1/1/35

395

470

Series 2012 B, 5.432% 1/1/42

105

93

Illinois Gen. Oblig.:

Series 2003, 5.1% 6/1/33

1,785

1,754

Series 2010, 4.421% 1/1/15

260

268

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

320

354

Series 2010-3:

5.547% 4/1/19

10

11

6.725% 4/1/35

475

529

7.35% 7/1/35

220

257

Series 2011:

4.961% 3/1/16

35

37

5.665% 3/1/18

265

294

5.877% 3/1/19

695

780

Series 2013:

2.69% 12/1/17

110

111

3.14% 12/1/18

115

115

TOTAL MUNICIPAL SECURITIES

(Cost $7,951)


8,175

Foreign Government and Government Agency Obligations - 0.2%

 

Banco Nacional de Desenvolvimento Economico e Social:

3.375% 9/26/16 (f)

365

372

5.75% 9/26/23 (f)

332

338

Brazilian Federative Republic:

4.25% 1/7/25

355

342

5.625% 1/7/41

400

393

United Mexican States:

4% 10/2/23

804

814

4.75% 3/8/44

352

328

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $2,617)


2,587

Bank Notes - 0.0%

 

Principal Amount (000s)

Value (000s)

Fifth Third Bank 4.75% 2/1/15
(Cost $253)

$ 250

$ 260

Fixed-Income Funds - 7.2%

Shares

 

Fidelity High Income Central Fund 2 (j)

302,909

36,040

Fidelity Mortgage Backed Securities Central Fund (j)

685,043

73,389

TOTAL FIXED-INCOME FUNDS

(Cost $101,619)


109,429

Money Market Funds - 5.0%

 

 

 

 

Fidelity Cash Central Fund, 0.10% (b)

69,820,890

69,821

Fidelity Securities Lending Cash Central Fund, 0.09% (b)(c)

6,542,425

6,542

TOTAL MONEY MARKET FUNDS

(Cost $76,363)


76,363

TOTAL INVESTMENT PORTFOLIO - 100.9%

(Cost $1,278,664)

1,542,345

NET OTHER ASSETS (LIABILITIES) - (0.9)%

(14,399)

NET ASSETS - 100%

$ 1,527,946

TBA Sale Commitments

 

Principal Amount (000s)

Value (000s)

Fannie Mae

3.5% 3/1/44

$ (1,000)

$ (1,013)

4% 3/1/44

(100)

(105)

4% 3/1/44

(500)

(524)

TOTAL FANNIE MAE

(1,642)

Ginnie Mae

4% 3/1/44

(200)

(212)

TOTAL TBA SALE COMMITMENTS

(Proceeds $1,846)

$ (1,854)

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Equity Index Contracts

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

March 2014

$ 21,920

$ 861

 

The face value of futures purchased as a percentage of net assets is 1.4%

Swaps

Credit Default Swaps

Underlying Reference

Rating
(1)

Expiration Date

Clearinghouse/Counterparty

Fixed Payment Received/
(Paid)

Notional
Amount (2)
(000s)

Value (1) (000s)

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

4.25%

$ 29

$ (28)

$ -

$ (28)

 

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

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

(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 $18,699,000 or 1.2% 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 $1,155,000.

(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 $1,820,000 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

Xero Ltd.

10/14/13

$ 411

* Amount represents less than $1,000.

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Cash Central Fund

$ 21

Fidelity High Income Central Fund 2

1,052

Fidelity Mortgage Backed Securities Central Fund

984

Fidelity Securities Lending Cash Central Fund

7

Total

$ 2,064

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

$ 31,618

$ 3,055

$ -

$ 36,040

4.2%

Fidelity Mortgage Backed Securities Central Fund

85,122

984

14,235

73,389

0.7%

Total

$ 116,740

$ 4,039

$ 14,235

$ 109,429

Other Information

The following is a summary of the inputs used, as of February 28, 2014, 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

$ 125,497

$ 124,749

$ -

$ 748

Consumer Staples

101,744

98,987

2,757

-

Energy

104,367

104,367

-

-

Financials

179,910

176,431

3,479

-

Health Care

151,960

145,070

6,890

-

Industrials

105,340

105,340

-

-

Information Technology

197,859

196,515

1,091

253

Materials

39,537

39,537

-

-

Telecommunication Services

26,267

22,538

3,729

-

Utilities

32,690

32,690

-

-

Corporate Bonds

111,959

-

111,959

-

U.S. Government and Government Agency Obligations

119,345

-

119,345

-

U.S. Government Agency - Mortgage Securities

15,604

-

15,604

-

Asset-Backed Securities

3,292

-

3,165

127

Collateralized Mortgage Obligations

4,165

-

4,152

13

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Commercial Mortgage Securities

$ 25,995

$ -

$ 25,928

$ 67

Municipal Securities

8,175

-

8,175

-

Foreign Government and Government Agency Obligations

2,587

-

2,587

-

Bank Notes

260

-

260

-

Fixed-Income Funds

109,429

109,429

-

-

Money Market Funds

76,363

76,363

-

-

Total Investments in Securities:

$ 1,542,345

$ 1,232,016

$ 309,121

$ 1,208

Derivative Instruments:

Assets

Futures Contracts

$ 861

$ 861

$ -

$ -

Liabilities

Swaps

$ (28)

$ -

$ (28)

$ -

Total Derivative Instruments:

$ 833

$ 861

$ (28)

$ -

Other Financial Instruments:

TBA Sale Commitments

$ (1,854)

$ -

$ (1,854)

$ -

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, 2014. 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

Credit Risk

Swaps (b)

$ -

$ (28)

Equity Risk

Futures Contracts (a)

861

-

Total Value of Derivatives

$ 861

$ (28)

(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

3.4%

BBB

5.9%

BB

0.7%

B

1.5%

CCC,CC,C

0.5%

D

0.0%*

Not Rated

0.2%

Equities

69.8%

Short-Term Investments and Net Other Assets

4.6%

 

100%

* Amount represents less than 0.1%

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

89.4%

United Kingdom

2.2%

Ireland

2.1%

Netherlands

1.2%

Others (Individually Less Than 1%)

5.1%

 

100.0%

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

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amounts)

February 28, 2014 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including securities loaned of $6,357) - See accompanying schedule:

Unaffiliated issuers (cost $1,100,682)

$ 1,356,553

 

Fidelity Central Funds (cost $177,982)

185,792

 

Total Investments (cost $1,278,664)

 

$ 1,542,345

Cash

 

56

Receivable for investments sold, regular delivery

10,314

Receivable for TBA sale commitments

 

1,846

Receivable for fund shares sold

1,751

Dividends receivable

1,787

Interest receivable

1,931

Distributions receivable from Fidelity Central Funds

5

Receivable for daily variation margin for derivative instruments

44

Prepaid expenses

2

Other receivables

42

Total assets

1,560,123

 

 

 

Liabilities

Payable for investments purchased
Regular delivery

$ 14,241

Delayed delivery

4,597

TBA sale commitments, at value

1,854

Payable for swaps

2

Payable for fund shares redeemed

3,463

Bi-lateral OTC swaps, at value

28

Accrued management fee

497

Distribution and service plan fees payable

564

Other affiliated payables

279

Other payables and accrued expenses

110

Collateral on securities loaned, at value

6,542

Total liabilities

32,177

 

 

 

Net Assets

$ 1,527,946

Net Assets consist of:

 

Paid in capital

$ 1,234,485

Undistributed net investment income

4,208

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

24,748

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

264,505

Net Assets

$ 1,527,946

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

Semiannual Report

Statement of Assets and Liabilities - continued

 Amounts in thousands (except per-share amounts)

February 28, 2014 (Unaudited)

 

 

 

Calculation of Maximum Offering Price

Class A:
Net Asset Value and redemption price per share ($328,218.47 ÷ 17,104.713 shares)

$ 19.19

 

 

 

Maximum offering price per share (100/94.25 of $19.19)

$ 20.36

Class T:
Net Asset Value and redemption price per share ($923,655.96 ÷ 47,721.369 shares)

$ 19.36

 

 

 

Maximum offering price per share (100/96.50 of $19.36)

$ 20.06

Class B:
Net Asset Value and offering price per share ($12,106.73 ÷ 630.728 shares)A

$ 19.19

 

 

 

Class C:
Net Asset Value and offering price per share ($138,401.69 ÷ 7,249.458 shares)A

$ 19.09

 

 

 

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($125,453.18 ÷ 6,437.466 shares)

$ 19.49

 

 

 

Class Z:
Net Asset Value, offering price and redemption price per share ($110.25 ÷ 5.657 shares)

$ 19.49

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

Financial Statements - continued

Statement of Operations

 Amounts in thousands Six months ended February 28, 2014 (Unaudited)

 

  

  

Investment Income

  

  

Dividends

 

$ 8,447

Interest (including $1 from security lending)

 

4,744

Income from Fidelity Central Funds

 

2,064

Total income

 

15,255

 

 

 

Expenses

Management fee

$ 2,853

Transfer agent fees

1,359

Distribution and service plan fees

3,238

Accounting and security lending fees

286

Custodian fees and expenses

55

Independent trustees' compensation

3

Registration fees

83

Audit

63

Legal

4

Miscellaneous

3

Total expenses before reductions

7,947

Expense reductions

(27)

7,920

Net investment income (loss)

7,335

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

49,750

Fidelity Central Funds

(94)

 

Foreign currency transactions

5

Futures contracts

1,370

Swaps

(32)

 

Total net realized gain (loss)

 

50,999

Change in net unrealized appreciation (depreciation) on:

Investment securities

108,473

Assets and liabilities in foreign currencies

1

Futures contracts

714

Swaps

30

Delayed delivery commitments

(28)

 

Total change in net unrealized appreciation (depreciation)

 

109,190

Net gain (loss)

160,189

Net increase (decrease) in net assets resulting from operations

$ 167,524

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

Semiannual Report

Statement of Changes in Net Assets

 Amounts in thousands

Six months ended February 28, 2014 (Unaudited)

Year ended
August 31,
2013

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 7,335

$ 13,390

Net realized gain (loss)

50,999

72,815

Change in net unrealized appreciation (depreciation)

109,190

36,132

Net increase (decrease) in net assets resulting
from operations

167,524

122,337

Distributions to shareholders from net investment income

(6,085)

(12,715)

Distributions to shareholders from net realized gain

(56,875)

-

Total distributions

(62,960)

(12,715)

Share transactions - net increase (decrease)

117,040

50,238

Total increase (decrease) in net assets

221,604

159,860

 

 

 

Net Assets

Beginning of period

1,306,342

1,146,482

End of period (including undistributed net investment income of $4,208 and undistributed net investment income of $2,958, respectively)

$ 1,527,946

$ 1,306,342

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

Semiannual Report

Financial Highlights - Class A

 

Six months ended
February 28, 2014

Years ended August 31,

 

(Unaudited)

2013

2012

2011

2010

2009

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 17.84

$ 16.31

$ 14.83

$ 13.29

$ 12.61

$ 14.55

Income from InvestmentOperations

 

 

 

 

 

Net investment income (loss) E

  .11

  .22

  .24

  .23

  .24

  .25

Net realized and unrealized gain (loss)

  2.11

  1.52

  1.48

  1.55

  .70

  (1.93)

Total from investment operations

  2.22

  1.74

  1.72

  1.78

  .94

  (1.68)

Distributions from net investment income

  (.10)

  (.21)

  (.24)

  (.23)

  (.24)

  (.21)

Distributions from net realized gain

  (.77)

  -

  -

  (.01)

  (.02)

  (.05)

Total distributions

  (.87)

  (.21)

  (.24)

  (.24)

  (.26) I

  (.26)

Net asset value, end of period

$ 19.19

$ 17.84

$ 16.31

$ 14.83

$ 13.29

$ 12.61

Total Return B, C, D

  12.79%

  10.74%

  11.72%

  13.34%

  7.44%

  (11.30)%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  .93% A

  .95%

  .98%

  1.00%

  1.00%

  1.06%

Expenses net of fee waivers, if any

  .93% A

  .95%

  .98%

  1.00%

  1.00%

  1.06%

Expenses net of all reductions

  .92% A

  .94%

  .98%

  .99%

  .99%

  1.06%

Net investment income (loss)

  1.22% A

  1.27%

  1.56%

  1.53%

  1.76%

  2.24%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 328

$ 270

$ 249

$ 215

$ 203

$ 213

Portfolio turnover rate G

  90% A

  124%

  124%

  146% J

  116%

  215% J

A Annualized

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

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

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

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

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

I Total 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.

J The 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, 2014

Years ended August 31,

 

(Unaudited)

2013

2012

2011

2010

2009

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 17.99

$ 16.44

$ 14.95

$ 13.40

$ 12.70

$ 14.66

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .09

  .18

  .21

  .20

  .21

  .23

Net realized and unrealized gain (loss)

  2.13

  1.54

  1.49

  1.56

  .72

  (1.95)

Total from investment operations

  2.22

  1.72

  1.70

  1.76

  .93

  (1.72)

Distributions from net investment income

  (.08)

  (.17)

  (.21)

  (.20)

  (.21)

  (.19)

Distributions from net realized gain

  (.77)

  -

  -

  (.01)

  (.02)

  (.05)

Total distributions

  (.85)

  (.17)

  (.21)

  (.21)

  (.23) I

  (.24)

Net asset value, end of period

$ 19.36

$ 17.99

$ 16.44

$ 14.95

$ 13.40

$ 12.70

Total Return B, C, D

  12.66%

  10.55%

  11.44%

  13.09%

  7.32%

  (11.54)%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.15% A

  1.17%

  1.19%

  1.20%

  1.23%

  1.29%

Expenses net of fee waivers, if any

  1.15% A

  1.17%

  1.19%

  1.20%

  1.23%

  1.29%

Expenses net of all reductions

  1.15% A

  1.16%

  1.18%

  1.19%

  1.21%

  1.29%

Net investment income (loss)

  1.00% A

  1.05%

  1.36%

  1.33%

  1.54%

  2.01%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 924

$ 821

$ 737

$ 673

$ 619

$ 621

Portfolio turnover rate G

  90% A

  124%

  124%

  146% J

  116%

  215% J

A Annualized

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

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

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

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

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

I Total 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.

J The 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, 2014

Years ended August 31,

 

(Unaudited)

2013

2012

2011

2010

2009

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 17.84

$ 16.30

$ 14.81

$ 13.27

$ 12.58

$ 14.51

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .04

  .08

  .12

  .11

  .13

  .16

Net realized and unrealized gain (loss)

  2.10

  1.52

  1.47

  1.54

  .71

  (1.92)

Total from investment operations

  2.14

  1.60

  1.59

  1.65

  .84

  (1.76)

Distributions from net investment income

  (.02)

  (.06)

  (.10)

  (.10)

  (.13)

  (.13)

Distributions from net realized gain

  (.77)

  -

  -

  (.01)

  (.02)

  (.04)

Total distributions

  (.79)

  (.06)

  (.10)

  (.11)

  (.15) I

  (.17)

Net asset value, end of period

$ 19.19

$ 17.84

$ 16.30

$ 14.81

$ 13.27

$ 12.58

Total Return B, C, D

  12.29%

  9.85%

  10.78%

  12.42%

  6.66%

  (11.98)%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.77% A

  1.78%

  1.78%

  1.80%

  1.82%

  1.83%

Expenses net of fee waivers, if any

  1.77% A

  1.78%

  1.78%

  1.80%

  1.82%

  1.83%

Expenses net of all reductions

  1.76% A

  1.77%

  1.78%

  1.79%

  1.81%

  1.83%

Net investment income (loss)

  .38% A

  .44%

  .76%

  .73%

  .94%

  1.46%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 12

$ 13

$ 15

$ 19

$ 24

$ 29

Portfolio turnover rate G

  90% A

  124%

  124%

  146% J

  116%

  215% J

A Annualized

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

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

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

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

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

I Total 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.

J The 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, 2014

Years ended August 31,

 

(Unaudited)

2013

2012

2011

2010

2009

Selected Per-Share Data

 

 

 

 

 

 

Net asset value, beginning of period

$ 17.76

$ 16.24

$ 14.77

$ 13.23

$ 12.55

$ 14.49

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) E

  .04

  .09

  .13

  .12

  .13

  .17

Net realized and unrealized gain (loss)

  2.09

  1.52

  1.46

  1.55

  .71

  (1.93)

Total from investment operations

  2.13

  1.61

  1.59

  1.67

  .84

  (1.76)

Distributions from net investment income

  (.03)

  (.09)

  (.12)

  (.12)

  (.15)

  (.13)

Distributions from net realized gain

  (.77)

  -

  -

  (.01)

  (.02)

  (.05)

Total distributions

  (.80)

  (.09)

  (.12)

  (.13)

  (.16) I

  (.18)

Net asset value, end of period

$ 19.09

$ 17.76

$ 16.24

$ 14.77

$ 13.23

$ 12.55

Total Return B, C, D

  12.33%

  9.93%

  10.81%

  12.59%

  6.69%

  (12.02)%

Ratios to Average Net Assets F, H

 

 

 

 

 

Expenses before reductions

  1.69% A

  1.71%

  1.73%

  1.74%

  1.76%

  1.82%

Expenses net of fee waivers, if any

  1.69% A

  1.71%

  1.73%

  1.74%

  1.76%

  1.82%

Expenses net of all reductions

  1.68% A

  1.70%

  1.72%

  1.73%

  1.75%

  1.81%

Net investment income (loss)

  .46% A

  .51%

  .81%

  .79%

  1.00%

  1.48%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 138

$ 105

$ 80

$ 69

$ 62

$ 61

Portfolio turnover rate G

  90% A

  124%

  124%

  146% J

  116%

  215% J

A Annualized

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

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

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

E Calculated based on average shares outstanding during the period.

F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

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

I Total 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.

J The 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, 2014

Years ended August 31,

 

(Unaudited)

2013

2012

2011

2010

2009

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 18.11

$ 16.55

$ 15.06

$ 13.49

$ 12.79

$ 14.76

Income from InvestmentOperations

 

 

 

 

 

Net investment income (loss) D

  .14

  .27

  .29

  .28

  .28

  .28

Net realized and unrealized gain (loss)

  2.13

  1.55

  1.49

  1.57

  .72

  (1.95)

Total from investment operations

  2.27

  1.82

  1.78

  1.85

  1.00

  (1.67)

Distributions from net investment income

  (.12)

  (.26)

  (.29)

  (.27)

  (.28)

  (.25)

Distributions from net realized gain

  (.77)

  -

  -

  (.01)

  (.02)

  (.05)

Total distributions

  (.89)

  (.26)

  (.29)

  (.28)

  (.30) H

  (.30)

Net asset value, end of period

$ 19.49

$ 18.11

$ 16.55

$ 15.06

$ 13.49

$ 12.79

Total Return B, C

  12.91%

  11.08%

  11.96%

  13.69%

  7.81%

  (11.07)%

Ratios to Average Net Assets E, G

 

 

 

 

 

Expenses before reductions

  .66% A

  .68%

  .70%

  .71%

  .73%

  .79%

Expenses net of fee waivers, if any

  .66% A

  .68%

  .70%

  .71%

  .73%

  .79%

Expenses net of all reductions

  .66% A

  .67%

  .70%

  .70%

  .72%

  .78%

Net investment income (loss)

  1.49% A

  1.54%

  1.84%

  1.82%

  2.03%

  2.51%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 125

$ 97

$ 66

$ 42

$ 34

$ 24

Portfolio turnover rate F

  90% A

  124%

  124%

  146% I

  116%

  215%I

A Annualized

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

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

D Calculated based on average shares outstanding during the period.

E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

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

H Total 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.

I The 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, 2014

Year ended
August 31,

 

(Unaudited)

2013 G

Selected Per-Share Data

 

 

Net asset value, beginning of period

$ 18.11

$ 18.56

Income from Investment Operations

 

 

Net investment income (loss) D

  .15

  .01

Net realized and unrealized gain (loss)

  2.14

  (.46)

Total from investment operations

  2.29

  (.45)

Distributions from net investment income

  (.14)

  -

Distributions from net realized gain

  (.77)

  -

Total distributions

  (.91)

  -

Net asset value, end of period

$ 19.49

$ 18.11

Total Return B, C

  13.00%

  (2.42)%

Ratios to Average Net Assets E, H

 

 

Expenses before reductions

  .52% A

  .53% A

Expenses net of fee waivers, if any

  .52% A

  .53% A

Expenses net of all reductions

  .52% A

  .52% A

Net investment income (loss)

  1.63% A

  .85% A

Supplemental Data

 

 

Net assets, end of period (000 omitted)

 $ 110

 $ 98

Portfolio turnover rate F

  90% A

  124%

A Annualized

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

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

D Calculated based on average shares outstanding during the period.

E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.

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

G For the period August 13, 2013 (commencement of sale of shares) to August 31, 2013.

H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. 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.

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

Semiannual Report

Notes to Financial Statements

For the period ended February 28, 2014 (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

Repurchase Agreements

Restricted Securities

 

Less than 0.01%

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Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

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 0.01%

* 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 its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

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

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

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3. Significant Accounting Policies - continued

Investment Valuation - continued

predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.

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

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Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Investment Valuation - continued

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.

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, 2014, is included at the end of the Fund's Schedule of Investments.

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

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

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

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

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3. Significant Accounting Policies - continued

Investment Transactions and Income - continued

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. 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 and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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

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.

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Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

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, capital loss carryforwards 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

$ 268,218

Gross unrealized depreciation

(7,916)

Net unrealized appreciation (depreciation) on securities and other investments

$ 260,302

 

 

Tax cost

$ 1,282,043

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3. Significant Accounting Policies - continued

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.

To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

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Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls - continued

TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.

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.

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 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.

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4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

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 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.

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Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

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

$ (32)

$ 30

Equity Risk

 

 

Futures Contracts

1,370

714

Totals (a)

$ 1,338

$ 744

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

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

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4. Derivative Instruments - continued

Swaps - continued

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). Realized gain or (loss) is also recorded in the event of an early termination of a swap. 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.

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.

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Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

Credit Default Swaps - continued

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 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 $403,169 and $380,257, 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.

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6. Fees and Other Transactions with Affiliates - continued

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%

$ 371

$ 20

Class T

.25%

.25%

2,200

33

Class B

.75%

.25%

62

47

Class C

.75%

.25%

605

123

 

 

 

$ 3,238

$ 223

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

$ 69

Class T

21

Class B*

4

Class C*

10

 

$ 104

* 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

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Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

6. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

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
Average
Net Assets*

Class A

$ 306

.21

Class T

799

.18

Class B

19

.30

Class C

130

.21

Institutional Class

105

.19

Class Z

-**

.05

 

$ 1,359

 

* Annualized

** Amount represents twenty-six dollars

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, there were no borrowings on this line of credit.

Semiannual Report

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. 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. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $1. 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 $7. During the period, there were no securities loaned to FCM.

9. Expense Reductions.

The investment adviser voluntarily agreed to reimburse a portion of the Fund's Class A, Class T, Class C and Institutional Class operating expenses.

During the period, this reimbursement reduced expenses as follows:

 

Reimbursement

Class A

$ 3

Class T

9

Class C

1

Institutional Class

1

 

$ 14

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

9. Expense Reductions - continued

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 $13 for the period.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
February 28, 2014

Year ended
August 31, 2013

From net investment income

 

 

Class A

$ 1,541

$ 3,147

Class T

3,617

7,824

Class B

12

52

Class C

215

447

Institutional Class

699

1,245

Class Z

1

-

Total

$ 6,085

$ 12,715

From net realized gain

 

 

Class A

$ 11,846

$ -

Class T

35,422

-

Class B

522

-

Class C

4,798

-

Institutional Class

4,283

-

Class Z

4

-

Total

$ 56,875

$ -

11. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares

Dollars

Six months ended
February 28, 2014

Year ended
August 31, 2013A

Six months ended
February 28, 2014

Year ended
August 31, 2013A

Class A

 

 

 

 

Shares sold

2,796

3,876

$ 51,933

$ 66,780

Reinvestment of distributions

705

176

12,722

2,976

Shares redeemed

(1,545)

(4,158)

(28,618)

(70,968)

Net increase (decrease)

1,956

(106)

$ 36,037

$ (1,212)

Semiannual Report

11. Share Transactions - continued

 

Shares

Dollars

Six months ended
February 28, 2014

Year ended
August 31, 2013A

Six months ended
February 28, 2014

Year ended
August 31, 2013A

Class T

 

 

 

 

Shares sold

5,744

11,028

$ 107,487

$ 191,060

Reinvestment of distributions

2,078

442

37,836

7,519

Shares redeemed

(5,734)

(10,672)

(107,232)

(185,185)

Net increase (decrease)

2,088

798

$ 38,091

$ 13,394

Class B

 

 

 

 

Shares sold

29

91

$ 529

$ 1,597

Reinvestment of distributions

26

3

475

47

Shares redeemed

(131)

(330)

(2,422)

(5,668)

Net increase (decrease)

(76)

(236)

$ (1,418)

$ (4,024)

Class C

 

 

 

 

Shares sold

1,529

1,878

$ 28,249

$ 32,570

Reinvestment of distributions

257

24

4,619

408

Shares redeemed

(444)

(897)

(8,170)

(15,312)

Net increase (decrease)

1,342

1,005

$ 24,698

$ 17,666

Institutional Class

 

 

 

 

Shares sold

2,087

3,287

$ 39,269

$ 57,536

Reinvestment of distributions

263

70

4,817

1,210

Shares redeemed

(1,295)

(1,941)

(24,459)

(34,432)

Net increase (decrease)

1,055

1,416

$ 19,627

$ 24,314

Class Z

 

 

 

 

Shares sold

-

5

$ -

$ 100

Reinvestment of distributions

1

-

5

-

Net increase (decrease)

1

5

$ 5

$ 100

A Share transactions for Class Z are for the period August 13, 2013 (commencement of sale of shares) to August 31, 2013.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

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.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Inc.

Fidelity Management & Research
(U.K.) Inc.

General Distributor

Fidelity Distributors Corporation

Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank

New York, NY

(Fidelity Investment logo)(registered trademark)

AIGZ-USAN-0414
1.969413.100

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:

April 25, 2014

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:

April 25, 2014

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

April 25, 2014