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 811-4085
Fidelity Income Fund
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Scott C. Goebel, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: |
August 31 |
|
|
Date of reporting period: |
August 31, 2012 |
This report on Form N-CSR relates solely to the Registrant's Fidelity Total Bond Fund series (the "Fund").
Item 1. Reports to Stockholders
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Total Bond
Fund - Class A, Class T, Class B,
and Class C
Annual Report
August 31, 2012
(Fidelity Cover Art)
Class A, Class T, Class B,
and Class C are classes of
Fidelity® Total Bond Fund
Performance |
How the fund has done over time. |
|
Management's Discussion of Fund Performance |
The Portfolio Manager's review of fund performance and strategy. |
|
Shareholder Expense Example |
An example of shareholder expenses. |
|
Investment Changes |
A summary of major shifts in the fund's investments over the past six months. |
|
Investments |
A complete list of the fund's investments with their market values. |
|
Financial Statements |
Statements of assets and liabilities, operations, and changes in net
assets, |
|
Notes |
Notes to the financial statements. |
|
Report of Independent Registered Public Accounting Firm |
|
|
Trustees and Officers |
|
|
Distributions |
|
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. © 2012 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.
Annual Report
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow. Returns reflect the conversion of Class B shares to Class A shares after a maximum of seven years.
Average Annual Total Returns
Periods ended August 31, 2012 |
Past 1 |
Past 5 |
Life of |
Class A (incl. 4.00% sales charge) B |
2.83% |
6.12% |
5.42% |
Class T (incl. 4.00% sales charge) C |
2.85% |
6.12% |
5.38% |
Class B (incl. contingent deferred sales charge) D |
1.36% |
5.91% |
5.30% |
Class C (incl. contingent deferred sales charge) E |
5.34% |
6.24% |
5.20% |
A From October 15, 2002.
B As of April 1, 2007, Class A shares bear a 0.25% 12b-1 fee. The initial offering of Class A shares took place on June 16, 2004. Returns between June 16, 2004 and March 31, 2007 reflect a 0.15% 12b-1 fee. Returns prior to June 16, 2004 are those of Fidelity® Total Bond Fund, the original class of the fund, which has no 12b-1 fee. Had Class A's current 12b-1 fee been reflected, returns prior to April 1, 2007 would have been lower.
C Class T shares bear a 0.25% 12b-1 fee. The initial offering of Class T shares took place on June 16, 2004. Returns prior to June 16, 2004 are those of Fidelity Total Bond Fund, the original class of the fund, which has no 12b-1 fee. Had Class T's 12b-1 fee been reflected, returns prior to June 16, 2004 would have been lower.
D Class B shares bear a 0.90% 12b-1 fee. The initial offering of Class B shares took place on June 16, 2004. Returns prior to June 16, 2004 are those of Fidelity Total Bond Fund, the original class of the fund, which has no 12b-1 fee. Had Class B's 12b-1 fee been reflected, returns prior to June 16, 2004 would have been lower. Class B shares' contingent deferred sales charges included in past one year, past five years, and life of fund total return figures are 5%, 2%, and 0%, respectively.
E Class C shares bear a 1.00% 12b-1 fee. The initial offering of Class C shares took place on June 16, 2004. Returns prior to June 16, 2004 are those of Fidelity Total Bond Fund, the original class of the fund, which has no 12b-1 fee. Had Class C's 12b-1 fee been reflected, returns prior to June 16, 2004 would have been lower. Class C shares' contingent deferred sales charges included in the past one year, past five years, and life of fund total return figures are 1%, 0%, and 0%, respectively.
Annual Report
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Total Bond Fund - Class A on October 15, 2002, when the fund started, and the current 4.00% sales charge was paid. The chart shows how the value of your investment would have changed, and also shows how the Barclays® U.S. Aggregate Bond Index performed over the same period. The initial offering of Class A took place on June 16, 2004. See the previous page for additional information regarding the performance of Class A.
Annual Report
Market Recap: Amid the crosscurrents of declining interest rates, the ebb and flow of concern about European debt, mixed global economic data, and accommodative monetary policy, U.S. taxable investment-grade bonds - as measured by the Barclays® U.S. Aggregate Bond Index - gained 5.78% for the year ending August 31, 2012. Among major sectors in the index, commercial mortgage-backed securities fared best, adding 10.32%, aided by investors' thirst for higher-yielding securities, as well as better commercial real estate fundamentals. Investment-grade credit also outperformed, rising 9.70% on continued strength of U.S. corporations and investors' appetite for more-attractive alternatives to ultra-low-yielding government bonds. U.S. Treasuries lagged corporate bonds with a gain of 5.11%, buffeted during periods when rising interest rates and improved global economic sentiment tempered demand for more rate-sensitive, higher-quality bonds. Government-agency-backed residential mortgage-backed securities (MBS) advanced 3.67%, trailing several other fixed-income sectors. MBS were hindered by their relatively short duration - a measure of interest rate sensitivity - which limited their price appreciation as yields declined. Furthermore, the government's Home Affordable Refinance Program (HARP) was refined in a way that led to faster prepayments. Asset-backed and agency securities saw similar gains, returning 3.83% and 2.91%, respectively.
Comments from Ford O'Neil, Lead Portfolio Manager Fidelity Advisor® Total Bond Fund: For the year, the fund's Class A, Class T, Class B and Class C shares returned 7.11%, 7.14%, 6.36% and 6.34%, respectively (excluding sales charges), outpacing the Barclays® U.S. Aggregate Bond Index and straddling the 6.44% gain of the Barclays U.S. Universal Bond Index. Security selection in the investment-grade subportfolio, along with overall asset allocation, delivered a big boost to the fund's performance versus the Barclays Aggregate Bond index. Positioning among Treasuries was quite beneficial, led by holdings in out-of-index long-maturity Treasury Inflation-Protected Securities (TIPS), as was yield-curve positioning. An overweighting in commercial mortgage-backed securities worked in the fund's favor, as did its focus on government-agency-backed residential mortgage securities that offered higher yields and/or some measure of prepayment protection. Among investment-grade corporate bonds, our emphasis on strong-performing financials and utilities more than offset what we lost by underweighting industrials. In terms of portfolio asset allocation, investing outside the benchmark in high-yield bonds, leveraged loans and emerging-markets debt meaningfully contributed, but our decision to underweight government-agency-backed debentures detracted.
Annual Report
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
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 (March 1, 2012 to August 31, 2012).
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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. 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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. 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.
Annual Report
|
Annualized Expense Ratio |
Beginning |
Ending |
Expenses Paid |
Class A |
.77% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,036.20 |
$ 3.94 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,021.27 |
$ 3.91 |
Class T |
.77% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,036.10 |
$ 3.94 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,021.27 |
$ 3.91 |
Class B |
1.49% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,032.30 |
$ 7.61 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,017.65 |
$ 7.56 |
Class C |
1.50% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,032.20 |
$ 7.66 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,017.60 |
$ 7.61 |
Total Bond |
.45% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,037.70 |
$ 2.30 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,022.87 |
$ 2.29 |
Institutional Class |
.53% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,037.30 |
$ 2.71 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,022.47 |
$ 2.69 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (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 the Fund's annualized expense ratio.
Annual Report
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.
Quality Diversification (% of fund's net assets) |
|||||||
As of August 31, 2012 |
As of February 29, 2012 |
||||||
![]() |
U.S. Government |
|
![]() |
U.S. Government |
|
||
![]() |
AAA 4.2% |
|
![]() |
AAA 5.4% |
|
||
![]() |
AA 2.0% |
|
![]() |
AA 2.6% |
|
||
![]() |
A 5.5% |
|
![]() |
A 5.7% |
|
||
![]() |
BBB 14.0% |
|
![]() |
BBB 12.3% |
|
||
![]() |
BB and Below 8.2% |
|
![]() |
BB and Below 11.0% |
|
||
![]() |
Not Rated 0.6% |
|
![]() |
Not Rated 1.0% |
|
||
![]() |
Equities 0.1% |
|
![]() |
Equities 0.2% |
|
||
![]() |
Short-Term |
|
![]() |
Short-Term |
|
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. Securities rated BB or below were rated investment grade at the time of acquisition. |
Weighted Average Maturity as of August 31, 2012 |
||
|
|
6 months ago |
Years |
6.6 |
6.5 |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Duration as of August 31, 2012 |
||
|
|
6 months ago |
Years |
4.6 |
4.6 |
Duration estimates how much a bond fund's price will change with a change in comparable interest rates. If rates rise 1%, for example, a fund with a 5-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. Duration takes into account any call or put option embedded in the bonds. |
Asset Allocation (% of fund's net assets) |
|||||||
As of August 31, 2012 * |
As of February 29, 2012 ** |
||||||
![]() |
Corporate Bonds 22.2% |
|
![]() |
Corporate Bonds 24.2% |
|
||
![]() |
U.S. Government |
|
![]() |
U.S. Government |
|
||
![]() |
Asset-Backed |
|
![]() |
Asset-Backed |
|
||
![]() |
CMOs and Other Mortgage Related Securities 5.3% |
|
![]() |
CMOs and Other Mortgage Related Securities 5.8% |
|
||
![]() |
Municipal Bonds 0.6% |
|
![]() |
Municipal Bonds 0.3% |
|
||
![]() |
Stocks 0.1% |
|
![]() |
Stocks 0.2% |
|
||
![]() |
Other Investments 4.7% |
|
![]() |
Other Investments 5.7% |
|
||
![]() |
Short-Term |
|
![]() |
Short-Term |
|
||
* Foreign investments |
5.1% |
|
** Foreign investments |
5.4% |
|
||
* Futures and Swaps |
(0.3)% |
|
** Futures and Swaps |
1.0% |
|
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
A 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 fidelity.com and/or advisor.fidelity.com as applicable.
Annual Report
Showing Percentage of Net Assets
Corporate Bonds - 22.0% |
||||
|
Principal |
Value |
||
Convertible Bonds - 0.0% |
||||
MATERIALS - 0.0% |
||||
Metals & Mining - 0.0% |
||||
Vedanta Resources Jersey II Ltd.: |
|
|
|
|
4% 3/30/17 |
|
$ 2,400,000 |
$ 2,349,600 |
|
5.5% 7/13/16 |
|
300,000 |
287,250 |
|
|
2,636,850 |
|||
Nonconvertible Bonds - 22.0% |
||||
CONSUMER DISCRETIONARY - 2.4% |
||||
Auto Components - 0.1% |
||||
Dana Holding Corp. 6.5% 2/15/19 |
|
2,080,000 |
2,215,200 |
|
Delphi Corp. 5.875% 5/15/19 |
|
1,685,000 |
1,807,163 |
|
JB Poindexter & Co., Inc. 9% 4/1/22 (f) |
|
1,900,000 |
1,900,000 |
|
Tenneco, Inc.: |
|
|
|
|
6.875% 12/15/20 |
|
1,505,000 |
1,640,450 |
|
7.75% 8/15/18 |
|
1,400,000 |
1,519,000 |
|
|
9,081,813 |
|||
Automobiles - 0.1% |
||||
Automotores Gildemeister SA 8.25% 5/24/21 (f) |
|
575,000 |
621,000 |
|
Chrysler Group LLC/CG Co-Issuer, Inc.: |
|
|
|
|
8% 6/15/19 |
|
3,090,000 |
3,259,950 |
|
8.25% 6/15/21 |
|
5,205,000 |
5,465,250 |
|
|
9,346,200 |
|||
Distributors - 0.0% |
||||
AmeriGas Partners LP/AmeriGas Finance Corp.: |
|
|
|
|
6.25% 8/20/19 |
|
1,000,000 |
1,040,000 |
|
6.5% 5/20/21 |
|
156,000 |
163,410 |
|
Ferrellgas LP/Ferrellgas Finance Corp. 6.5% 5/1/21 |
|
1,330,000 |
1,296,750 |
|
|
2,500,160 |
|||
Hotels, Restaurants & Leisure - 0.3% |
||||
Ameristar Casinos, Inc.: |
|
|
|
|
7.5% 4/15/21 |
|
2,570,000 |
2,749,900 |
|
7.5% 4/15/21 (f) |
|
1,700,000 |
1,810,500 |
|
Chukchansi Economic Development Authority 9.75% 5/30/20 (f) |
|
309,000 |
222,480 |
|
CityCenter Holdings LLC/CityCenter Finance Corp.: |
|
|
|
|
7.625% 1/15/16 |
|
2,070,000 |
2,199,375 |
|
7.625% 1/15/16 (f) |
|
1,930,000 |
2,036,150 |
|
11.5% 1/15/17 pay-in-kind (l) |
|
1,652,030 |
1,747,022 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
CONSUMER DISCRETIONARY - continued |
||||
Hotels, Restaurants & Leisure - continued |
||||
FelCor Lodging LP 6.75% 6/1/19 |
|
$ 475,000 |
$ 509,438 |
|
GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17 |
|
1,635,000 |
1,839,375 |
|
Host Marriott LP 6.375% 3/15/15 |
|
96,000 |
97,020 |
|
ITT Corp. 7.375% 11/15/15 |
|
250,000 |
288,291 |
|
MGM Mirage, Inc.: |
|
|
|
|
6.625% 7/15/15 |
|
3,475,000 |
3,631,375 |
|
7.5% 6/1/16 |
|
4,130,000 |
4,315,850 |
|
7.625% 1/15/17 |
|
5,355,000 |
5,529,038 |
|
7.75% 3/15/22 |
|
1,895,000 |
1,895,000 |
|
8.625% 2/1/19 (f) |
|
2,940,000 |
3,116,400 |
|
11.375% 3/1/18 |
|
1,845,000 |
2,117,138 |
|
NPC International, Inc./NPC Operating Co. A, Inc./NPC Operating Co. B, Inc. 10.5% 1/15/20 |
|
2,950,000 |
3,363,000 |
|
Royal Caribbean Cruises Ltd.: |
|
|
|
|
7.25% 3/15/18 |
|
465,000 |
513,825 |
|
7.5% 10/15/27 |
|
1,885,000 |
1,965,113 |
|
yankee 7.25% 6/15/16 |
|
3,985,000 |
4,403,425 |
|
Times Square Hotel Trust 8.528% 8/1/26 (f) |
|
848,389 |
975,648 |
|
Universal City Development Partners Ltd./UCDP Finance, Inc. 8.875% 11/15/15 |
|
784,000 |
830,183 |
|
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 7.75% 8/15/20 |
|
970,000 |
1,080,338 |
|
|
47,235,884 |
|||
Household Durables - 0.2% |
||||
KB Home: |
|
|
|
|
7.25% 6/15/18 |
|
1,495,000 |
1,509,950 |
|
7.5% 9/15/22 |
|
1,210,000 |
1,249,325 |
|
9.1% 9/15/17 |
|
705,000 |
776,381 |
|
Lennar Corp.: |
|
|
|
|
6.95% 6/1/18 |
|
4,640,000 |
5,028,600 |
|
12.25% 6/1/17 |
|
1,135,000 |
1,481,175 |
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: |
|
|
|
|
7.75% 10/15/16 |
|
3,000,000 |
3,135,000 |
|
7.875% 8/15/19 |
|
1,760,000 |
1,958,000 |
|
8.5% 5/15/18 (e) |
|
970,000 |
982,125 |
|
9.875% 8/15/19 |
|
2,560,000 |
2,707,200 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
CONSUMER DISCRETIONARY - continued |
||||
Household Durables - continued |
||||
Standard Pacific Corp.: |
|
|
|
|
8.375% 5/15/18 |
|
$ 6,495,000 |
$ 7,209,450 |
|
10.75% 9/15/16 |
|
2,370,000 |
2,861,775 |
|
|
28,898,981 |
|||
Internet & Catalog Retail - 0.0% |
||||
Zayo Group LLC/Zayo Capital, Inc.: |
|
|
|
|
8.125% 1/1/20 |
|
1,890,000 |
2,022,300 |
|
10.125% 7/1/20 |
|
785,000 |
845,838 |
|
|
2,868,138 |
|||
Media - 1.6% |
||||
AOL Time Warner, Inc. 7.625% 4/15/31 |
|
500,000 |
679,589 |
|
Cablevision Systems Corp.: |
|
|
|
|
7.75% 4/15/18 |
|
2,305,000 |
2,495,163 |
|
8.625% 9/15/17 |
|
3,505,000 |
4,013,225 |
|
CCO Holdings LLC/CCO Holdings Capital Corp.: |
|
|
|
|
6.5% 4/30/21 |
|
3,975,000 |
4,263,188 |
|
6.625% 1/31/22 |
|
1,290,000 |
1,391,588 |
|
7% 1/15/19 |
|
8,610,000 |
9,320,325 |
|
7.25% 10/30/17 |
|
3,380,000 |
3,692,650 |
|
7.875% 4/30/18 |
|
865,000 |
938,525 |
|
Cequel Communications Holdings I LLC/Cequel Capital Corp. 8.625% 11/15/17 (f) |
|
5,180,000 |
5,562,025 |
|
Comcast Corp.: |
|
|
|
|
3.125% 7/15/22 |
|
5,411,000 |
5,655,036 |
|
4.65% 7/15/42 |
|
9,896,000 |
10,568,295 |
|
4.95% 6/15/16 |
|
2,344,000 |
2,667,149 |
|
5.15% 3/1/20 |
|
435,000 |
518,064 |
|
5.7% 5/15/18 |
|
14,629,000 |
17,699,276 |
|
6.4% 3/1/40 |
|
432,000 |
568,494 |
|
6.45% 3/15/37 |
|
2,196,000 |
2,837,397 |
|
COX Communications, Inc. 4.625% 6/1/13 |
|
4,467,000 |
4,600,268 |
|
CSC Holdings LLC 8.625% 2/15/19 |
|
1,350,000 |
1,579,500 |
|
Discovery Communications LLC: |
|
|
|
|
3.7% 6/1/15 |
|
7,129,000 |
7,642,552 |
|
6.35% 6/1/40 |
|
6,392,000 |
8,222,988 |
|
DISH DBS Corp. 4.625% 7/15/17 (f) |
|
1,640,000 |
1,656,400 |
|
Harron Communications LP/Harron Finance Corp. 9.125% 4/1/20 (f) |
|
370,000 |
400,525 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
CONSUMER DISCRETIONARY - continued |
||||
Media - continued |
||||
NBCUniversal Media LLC: |
|
|
|
|
3.65% 4/30/15 |
|
$ 3,514,000 |
$ 3,762,345 |
|
5.15% 4/30/20 |
|
11,614,000 |
13,715,298 |
|
6.4% 4/30/40 |
|
18,278,000 |
23,718,447 |
|
News America Holdings, Inc. 7.75% 12/1/45 |
|
2,460,000 |
3,345,162 |
|
News America, Inc.: |
|
|
|
|
6.15% 3/1/37 |
|
4,759,000 |
5,783,303 |
|
6.15% 2/15/41 |
|
11,572,000 |
14,239,670 |
|
Nielsen Finance LLC/Nielsen Finance Co. 7.75% 10/15/18 |
|
2,770,000 |
3,095,475 |
|
Quebecor Media, Inc.: |
|
|
|
|
7.75% 3/15/16 |
|
2,392,000 |
2,463,760 |
|
7.75% 3/15/16 |
|
2,485,000 |
2,559,550 |
|
Time Warner Cable, Inc.: |
|
|
|
|
4.5% 9/15/42 |
|
10,589,000 |
10,543,097 |
|
6.2% 7/1/13 |
|
2,898,000 |
3,030,972 |
|
6.75% 7/1/18 |
|
13,763,000 |
17,222,729 |
|
Time Warner, Inc.: |
|
|
|
|
3.15% 7/15/15 |
|
3,115,000 |
3,308,407 |
|
5.875% 11/15/16 |
|
368,000 |
435,747 |
|
6.2% 3/15/40 |
|
11,792,000 |
14,494,856 |
|
6.5% 11/15/36 |
|
9,243,000 |
11,559,869 |
|
TV Azteca SA de CV 7.5% 5/25/18 (Reg. S) |
|
1,450,000 |
1,508,000 |
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 7.5% 3/15/19 (f) |
|
660,000 |
722,700 |
|
Univision Communications, Inc.: |
|
|
|
|
6.875% 5/15/19 (f) |
|
2,680,000 |
2,760,400 |
|
8.5% 5/15/21 (f) |
|
5,960,000 |
5,974,900 |
|
UPC Holding BV 9.875% 4/15/18 (f) |
|
1,190,000 |
1,335,775 |
|
UPCB Finance V Ltd. 7.25% 11/15/21 (f) |
|
995,000 |
1,068,332 |
|
Viacom, Inc. 6.75% 10/5/37 |
|
1,460,000 |
1,941,178 |
|
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (f) |
|
1,400,000 |
1,445,500 |
|
|
247,007,694 |
|||
Specialty Retail - 0.1% |
||||
J. Crew Group, Inc. 8.125% 3/1/19 |
|
4,694,000 |
4,911,098 |
|
PETCO Animal Supplies, Inc. 9.25% 12/1/18 (f) |
|
6,315,000 |
7,009,650 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
CONSUMER DISCRETIONARY - continued |
||||
Specialty Retail - continued |
||||
Staples, Inc. 7.375% 10/1/12 |
|
$ 554,000 |
$ 556,571 |
|
Toys 'R' Us, Inc. 7.375% 9/1/16 (f) |
|
1,805,000 |
1,818,538 |
|
|
14,295,857 |
|||
Textiles, Apparel & Luxury Goods - 0.0% |
||||
Hanesbrands, Inc. 6.375% 12/15/20 |
|
2,500,000 |
2,712,500 |
|
Levi Strauss & Co. 6.875% 5/1/22 |
|
1,820,000 |
1,888,250 |
|
|
4,600,750 |
|||
TOTAL CONSUMER DISCRETIONARY |
365,835,477 |
|||
CONSUMER STAPLES - 1.2% |
||||
Beverages - 0.3% |
||||
Beam, Inc.: |
|
|
|
|
1.875% 5/15/17 |
|
2,703,000 |
2,760,714 |
|
3.25% 5/15/22 |
|
3,206,000 |
3,324,154 |
|
Diageo Capital PLC 5.2% 1/30/13 |
|
1,037,000 |
1,056,927 |
|
FBG Finance Ltd. 5.125% 6/15/15 (f) |
|
3,662,000 |
4,048,513 |
|
Fortune Brands, Inc.: |
|
|
|
|
5.375% 1/15/16 |
|
321,000 |
365,628 |
|
5.875% 1/15/36 |
|
12,336,000 |
14,759,481 |
|
6.375% 6/15/14 |
|
3,374,000 |
3,690,447 |
|
SABMiller Holdings, Inc. 3.75% 1/15/22 (f) |
|
10,217,000 |
11,087,223 |
|
|
41,093,087 |
|||
Food & Staples Retailing - 0.1% |
||||
Rite Aid Corp.: |
|
|
|
|
9.25% 3/15/20 |
|
6,535,000 |
6,714,713 |
|
9.5% 6/15/17 |
|
4,960,000 |
5,108,800 |
|
US Foodservice, Inc. 8.5% 6/30/19 (f) |
|
2,335,000 |
2,405,050 |
|
|
14,228,563 |
|||
Food Products - 0.3% |
||||
Gruma SAB de CV 7.75% (Reg. S) (g) |
|
1,385,000 |
1,385,000 |
|
JBS USA LLC/JBS USA Finance, Inc. 8.25% 2/1/20 (f) |
|
1,400,000 |
1,340,500 |
|
Kraft Foods, Inc.: |
|
|
|
|
5.375% 2/10/20 |
|
10,631,000 |
12,784,426 |
|
6.125% 2/1/18 |
|
10,623,000 |
12,927,362 |
|
6.5% 8/11/17 |
|
10,238,000 |
12,589,146 |
|
6.5% 2/9/40 |
|
2,564,000 |
3,536,705 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
CONSUMER STAPLES - continued |
||||
Food Products - continued |
||||
Kraft Foods, Inc.: - continued |
|
|
|
|
6.75% 2/19/14 |
|
$ 540,000 |
$ 587,566 |
|
MHP SA 10.25% 4/29/15 (f) |
|
985,000 |
976,381 |
|
Post Holdings, Inc. 7.375% 2/15/22 (f) |
|
1,855,000 |
1,952,388 |
|
|
48,079,474 |
|||
Personal Products - 0.0% |
||||
NBTY, Inc. 9% 10/1/18 |
|
2,065,000 |
2,312,800 |
|
Tobacco - 0.5% |
||||
Altria Group, Inc.: |
|
|
|
|
2.85% 8/9/22 |
|
9,573,000 |
9,545,774 |
|
4.25% 8/9/42 |
|
9,573,000 |
9,356,918 |
|
9.7% 11/10/18 |
|
23,631,000 |
33,928,279 |
|
Philip Morris International, Inc. 4.875% 5/16/13 |
|
9,347,000 |
9,634,860 |
|
Reynolds American, Inc.: |
|
|
|
|
6.75% 6/15/17 |
|
3,719,000 |
4,505,736 |
|
7.25% 6/15/37 |
|
5,056,000 |
6,484,871 |
|
|
73,456,438 |
|||
TOTAL CONSUMER STAPLES |
179,170,362 |
|||
ENERGY - 3.7% |
||||
Energy Equipment & Services - 0.6% |
||||
Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (f) |
|
1,260,000 |
1,209,600 |
|
DCP Midstream LLC: |
|
|
|
|
4.75% 9/30/21 (f) |
|
11,333,000 |
12,015,349 |
|
5.35% 3/15/20 (f) |
|
8,816,000 |
9,670,923 |
|
El Paso Pipeline Partners Operating Co. LLC: |
|
|
|
|
4.1% 11/15/15 |
|
10,806,000 |
11,403,366 |
|
5% 10/1/21 |
|
7,366,000 |
8,050,382 |
|
6.5% 4/1/20 |
|
738,000 |
870,484 |
|
Expro Finance Luxembourg SCA 8.5% 12/15/16 (f) |
|
1,582,000 |
1,582,000 |
|
Exterran Holdings, Inc. 7.25% 12/1/18 |
|
3,485,000 |
3,485,000 |
|
Forbes Energy Services Ltd. 9% 6/15/19 |
|
1,590,000 |
1,514,475 |
|
Hornbeck Offshore Services, Inc.: |
|
|
|
|
5.875% 4/1/20 |
|
975,000 |
989,625 |
|
8% 9/1/17 |
|
1,605,000 |
1,733,400 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
ENERGY - continued |
||||
Energy Equipment & Services - continued |
||||
Offshore Group Investment Ltd.: |
|
|
|
|
11.5% 8/1/15 |
|
$ 3,475,000 |
$ 3,848,563 |
|
11.5% 8/1/15 (f) |
|
1,920,000 |
2,126,400 |
|
Oil States International, Inc. 6.5% 6/1/19 |
|
2,850,000 |
3,028,125 |
|
Petroleum Geo-Services ASA 7.375% 12/15/18 (f) |
|
2,245,000 |
2,396,538 |
|
Precision Drilling Corp.: |
|
|
|
|
6.5% 12/15/21 |
|
170,000 |
178,500 |
|
6.625% 11/15/20 |
|
1,890,000 |
1,989,225 |
|
SESI LLC 7.125% 12/15/21 |
|
2,980,000 |
3,311,376 |
|
Transocean, Inc.: |
|
|
|
|
5.05% 12/15/16 |
|
7,572,000 |
8,387,906 |
|
6.375% 12/15/21 |
|
9,999,000 |
12,053,295 |
|
Weatherford International Ltd.: |
|
|
|
|
4.95% 10/15/13 |
|
2,173,000 |
2,263,703 |
|
5.15% 3/15/13 |
|
2,840,000 |
2,900,219 |
|
|
95,008,454 |
|||
Oil, Gas & Consumable Fuels - 3.1% |
||||
Afren PLC 11.5% 2/1/16 (f) |
|
520,000 |
583,700 |
|
Anadarko Petroleum Corp.: |
|
|
|
|
5.95% 9/15/16 |
|
485,000 |
560,907 |
|
6.375% 9/15/17 |
|
19,790,000 |
23,665,733 |
|
Antero Resources Finance Corp.: |
|
|
|
|
7.25% 8/1/19 |
|
1,080,000 |
1,152,900 |
|
9.375% 12/1/17 |
|
2,915,000 |
3,213,788 |
|
Apache Corp.: |
|
|
|
|
3.25% 4/15/22 |
|
8,647,000 |
9,280,073 |
|
4.75% 4/15/43 |
|
9,180,000 |
10,544,286 |
|
Canadian Natural Resources Ltd. 5.15% 2/1/13 |
|
5,610,000 |
5,714,060 |
|
Chesapeake Energy Corp.: |
|
|
|
|
6.125% 2/15/21 |
|
2,215,000 |
2,198,388 |
|
6.875% 11/15/20 |
|
1,195,000 |
1,239,813 |
|
Chesapeake Midstream Partners LP/CHKM Finance Corp.: |
|
|
|
|
5.875% 4/15/21 |
|
676,000 |
691,210 |
|
6.125% 7/15/22 |
|
1,240,000 |
1,289,600 |
|
ConocoPhillips: |
|
|
|
|
4.6% 1/15/15 |
|
10,000,000 |
10,951,810 |
|
5.75% 2/1/19 |
|
2,930,000 |
3,636,315 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
ENERGY - continued |
||||
Oil, Gas & Consumable Fuels - continued |
||||
CONSOL Energy, Inc. 8% 4/1/17 |
|
$ 270,000 |
$ 290,250 |
|
Crestwood Midstream Partners LP / Finance Corp. 7.75% 4/1/19 |
|
800,000 |
812,000 |
|
DTEK Finance BV 9.5% 4/28/15 (f) |
|
600,000 |
588,000 |
|
Duke Capital LLC 6.25% 2/15/13 |
|
1,000,000 |
1,024,145 |
|
Duke Energy Field Services: |
|
|
|
|
5.375% 10/15/15 (f) |
|
1,524,000 |
1,640,328 |
|
6.45% 11/3/36 (f) |
|
13,741,000 |
15,866,307 |
|
El Paso Natural Gas Co. 5.95% 4/15/17 |
|
1,166,000 |
1,335,500 |
|
Enbridge Energy Partners LP 4.2% 9/15/21 |
|
13,331,000 |
14,232,496 |
|
Encana Holdings Finance Corp. 5.8% 5/1/14 |
|
3,602,000 |
3,870,558 |
|
Enterprise Products Operating LP: |
|
|
|
|
5.6% 10/15/14 |
|
483,000 |
529,041 |
|
5.65% 4/1/13 |
|
697,000 |
714,672 |
|
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 9/1/22 (f) |
|
545,000 |
545,000 |
|
Frontier Oil Corp.: |
|
|
|
|
6.875% 11/15/18 |
|
485,000 |
515,313 |
|
8.5% 9/15/16 |
|
1,950,000 |
2,035,410 |
|
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (f) |
|
221,000 |
258,158 |
|
KazMunaiGaz Finance Sub BV: |
|
|
|
|
6.375% 4/9/21 (f) |
|
850,000 |
1,012,605 |
|
7% 5/5/20 (f) |
|
1,635,000 |
1,996,826 |
|
9.125% 7/2/18 (f) |
|
1,855,000 |
2,418,549 |
|
11.75% 1/23/15 (f) |
|
1,440,000 |
1,737,072 |
|
LINN Energy LLC/LINN Energy Finance Corp.: |
|
|
|
|
6.5% 5/15/19 (f) |
|
3,790,000 |
3,780,525 |
|
8.625% 4/15/20 |
|
2,685,000 |
2,899,800 |
|
Marathon Petroleum Corp. 5.125% 3/1/21 |
|
10,178,000 |
11,703,051 |
|
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (f) |
|
10,834,000 |
11,175,293 |
|
Motiva Enterprises LLC: |
|
|
|
|
5.75% 1/15/20 (f) |
|
4,187,000 |
5,017,525 |
|
6.85% 1/15/40 (f) |
|
5,937,000 |
7,828,012 |
|
Naftogaz of Ukraine NJSC 9.5% 9/30/14 |
|
1,930,000 |
1,913,016 |
|
Nakilat, Inc. 6.067% 12/31/33 (f) |
|
1,975,000 |
2,335,438 |
|
Newfield Exploration Co. 5.625% 7/1/24 |
|
850,000 |
922,250 |
|
Nexen, Inc. 5.2% 3/10/15 |
|
1,133,000 |
1,233,204 |
|
OGX Petroleo e Gas Participacoes SA 8.5% 6/1/18 (f) |
|
1,755,000 |
1,553,175 |
|
Pacific Rubiales Energy Corp. 7.25% 12/12/21 (f) |
|
1,826,000 |
2,127,290 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
ENERGY - continued |
||||
Oil, Gas & Consumable Fuels - continued |
||||
Pan American Energy LLC 7.875% 5/7/21 (f) |
|
$ 2,795,000 |
$ 2,417,675 |
|
PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20 (f) |
|
1,775,000 |
1,863,750 |
|
Pemex Project Funding Master Trust: |
|
|
|
|
5.75% 3/1/18 |
|
645,000 |
744,975 |
|
6.625% 6/15/35 |
|
1,470,000 |
1,826,475 |
|
Petro-Canada 6.05% 5/15/18 |
|
3,850,000 |
4,693,323 |
|
PetroBakken Energy Ltd. 8.625% 2/1/20 (f) |
|
1,420,000 |
1,451,950 |
|
Petrobras International Finance Co. Ltd.: |
|
|
|
|
3.875% 1/27/16 |
|
10,192,000 |
10,701,447 |
|
5.375% 1/27/21 |
|
20,889,000 |
23,245,906 |
|
5.75% 1/20/20 |
|
6,930,000 |
7,809,472 |
|
6.875% 1/20/40 |
|
570,000 |
713,697 |
|
7.875% 3/15/19 |
|
10,517,000 |
13,040,270 |
|
8.375% 12/10/18 |
|
775,000 |
976,771 |
|
Petrohawk Energy Corp.: |
|
|
|
|
6.25% 6/1/19 |
|
1,290,000 |
1,451,250 |
|
7.25% 8/15/18 |
|
1,330,000 |
1,506,225 |
|
Petroleos de Venezuela SA: |
|
|
|
|
4.9% 10/28/14 |
|
4,315,000 |
3,872,713 |
|
5% 10/28/15 |
|
990,000 |
829,125 |
|
5.375% 4/12/27 |
|
1,145,000 |
704,175 |
|
5.5% 4/12/37 |
|
780,000 |
468,000 |
|
8% 11/17/13 |
|
415,000 |
416,453 |
|
8.5% 11/2/17 (f) |
|
7,980,000 |
7,082,250 |
|
9% 11/17/21 (Reg. S) |
|
2,265,000 |
1,868,625 |
|
12.75% 2/17/22 (f) |
|
3,580,000 |
3,588,950 |
|
Petroleos Mexicanos: |
|
|
|
|
4.875% 1/24/22 (f) |
|
12,332,000 |
13,842,670 |
|
5.5% 1/21/21 |
|
12,069,000 |
14,090,558 |
|
5.5% 6/27/44 (f) |
|
14,012,000 |
15,238,050 |
|
6% 3/5/20 |
|
1,108,000 |
1,321,290 |
|
6.5% 6/2/41 |
|
350,000 |
432,250 |
|
6.5% 6/2/41 (f) |
|
28,669,000 |
35,621,233 |
|
6.625% (f)(g) |
|
3,125,000 |
3,281,250 |
|
8% 5/3/19 |
|
420,000 |
548,100 |
|
Phillips 66: |
|
|
|
|
4.3% 4/1/22 (f) |
|
12,618,000 |
13,750,781 |
|
5.875% 5/1/42 (f) |
|
10,804,000 |
12,771,830 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
ENERGY - continued |
||||
Oil, Gas & Consumable Fuels - continued |
||||
Plains All American Pipeline LP/PAA Finance Corp.: |
|
|
|
|
3.65% 6/1/22 |
|
$ 5,217,000 |
$ 5,515,637 |
|
3.95% 9/15/15 |
|
5,869,000 |
6,344,682 |
|
4.25% 9/1/12 |
|
485,000 |
485,000 |
|
6.125% 1/15/17 |
|
6,185,000 |
7,334,717 |
|
Plains Exploration & Production Co. 6.125% 6/15/19 |
|
2,250,000 |
2,373,750 |
|
PT Adaro Indonesia 7.625% 10/22/19 (f) |
|
1,000,000 |
1,075,020 |
|
PT Pertamina Persero: |
|
|
|
|
4.875% 5/3/22 (f) |
|
845,000 |
899,925 |
|
5.25% 5/23/21 (f) |
|
815,000 |
886,313 |
|
6% 5/3/42 (f) |
|
845,000 |
912,600 |
|
6.5% 5/27/41 (f) |
|
1,000,000 |
1,127,500 |
|
Quicksilver Resources, Inc. 7.125% 4/1/16 |
|
2,695,000 |
2,169,475 |
|
Ras Laffan Liquefied Natural Gas Co. Ltd. III: |
|
|
|
|
4.5% 9/30/12 (f) |
|
4,773,000 |
4,773,000 |
|
5.5% 9/30/14 (f) |
|
6,670,000 |
7,186,925 |
|
5.832% 9/30/16 (f) |
|
1,191,093 |
1,298,291 |
|
6.75% 9/30/19 (f) |
|
4,366,000 |
5,413,840 |
|
Rockies Express Pipeline LLC 6.25% 7/15/13 (f) |
|
3,392,000 |
3,493,760 |
|
Samson Investment Co. 9.75% 2/15/20 (f) |
|
2,855,000 |
2,940,650 |
|
Ship Finance International Ltd. 8.5% 12/15/13 |
|
575,000 |
573,563 |
|
Southeast Supply Header LLC 4.85% 8/15/14 (f) |
|
367,000 |
385,755 |
|
Spectra Energy Capital, LLC 5.65% 3/1/20 |
|
308,000 |
355,155 |
|
Spectra Energy Partners, LP: |
|
|
|
|
2.95% 6/15/16 |
|
4,717,000 |
4,812,972 |
|
4.6% 6/15/21 |
|
2,694,000 |
2,926,080 |
|
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: |
|
|
|
|
6.375% 8/1/22 (f) |
|
560,000 |
583,800 |
|
6.875% 2/1/21 |
|
685,000 |
736,375 |
|
7.875% 10/15/18 |
|
2,205,000 |
2,403,450 |
|
TransCapitalInvest Ltd. 5.67% 3/5/14 (f) |
|
4,317,000 |
4,565,228 |
|
Western Gas Partners LP 5.375% 6/1/21 |
|
14,766,000 |
16,399,563 |
|
Williams Partners LP 4.125% 11/15/20 |
|
2,399,000 |
2,598,537 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
ENERGY - continued |
||||
Oil, Gas & Consumable Fuels - continued |
||||
WPX Energy, Inc.: |
|
|
|
|
5.25% 1/15/17 |
|
$ 610,000 |
$ 642,025 |
|
6% 1/15/22 |
|
1,130,000 |
1,194,975 |
|
|
473,213,444 |
|||
TOTAL ENERGY |
568,221,898 |
|||
FINANCIALS - 8.2% |
||||
Capital Markets - 0.9% |
||||
BlackRock, Inc.: |
|
|
|
|
3.375% 6/1/22 |
|
7,840,000 |
8,295,002 |
|
4.25% 5/24/21 |
|
5,000,000 |
5,634,190 |
|
Goldman Sachs Group, Inc.: |
|
|
|
|
5.25% 7/27/21 |
|
17,105,000 |
18,199,515 |
|
5.625% 1/15/17 |
|
3,200,000 |
3,468,067 |
|
5.75% 1/24/22 |
|
23,446,000 |
25,888,839 |
|
5.95% 1/18/18 |
|
4,975,000 |
5,596,726 |
|
6.75% 10/1/37 |
|
9,643,000 |
10,053,628 |
|
Lazard Group LLC: |
|
|
|
|
6.85% 6/15/17 |
|
4,817,000 |
5,434,082 |
|
7.125% 5/15/15 |
|
1,717,000 |
1,884,109 |
|
Merrill Lynch & Co., Inc. 6.11% 1/29/37 |
|
4,768,000 |
4,794,181 |
|
Morgan Stanley: |
|
|
|
|
4.75% 4/1/14 |
|
5,820,000 |
5,990,427 |
|
5.5% 7/28/21 |
|
7,569,000 |
7,764,939 |
|
5.625% 9/23/19 |
|
12,714,000 |
13,163,186 |
|
5.75% 1/25/21 |
|
5,048,000 |
5,216,088 |
|
6% 4/28/15 |
|
1,414,000 |
1,506,416 |
|
6.625% 4/1/18 |
|
16,118,000 |
17,802,315 |
|
|
140,691,710 |
|||
Commercial Banks - 1.5% |
||||
Access Finance BV 7.25% 7/25/17 (f) |
|
670,000 |
686,750 |
|
Akbank T.A.S. 5.125% 7/22/15 (f) |
|
1,615,000 |
1,669,506 |
|
Banco Nacional de Desenvolvimento Economico e Social 6.5% 6/10/19 (f) |
|
325,000 |
396,500 |
|
Bank of America NA 5.3% 3/15/17 |
|
3,467,000 |
3,774,010 |
|
BBVA Paraguay SA 9.75% 2/11/16 (f) |
|
995,000 |
1,027,338 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Commercial Banks - continued |
||||
CIT Group, Inc.: |
|
|
|
|
4.25% 8/15/17 |
|
$ 1,705,000 |
$ 1,717,788 |
|
4.75% 2/15/15 (f) |
|
2,175,000 |
2,262,000 |
|
5% 5/15/17 |
|
2,135,000 |
2,215,063 |
|
5.25% 3/15/18 |
|
1,485,000 |
1,548,113 |
|
5.375% 5/15/20 |
|
1,425,000 |
1,471,313 |
|
5.5% 2/15/19 (f) |
|
2,175,000 |
2,267,438 |
|
7% 5/2/16 (f) |
|
2,884,195 |
2,884,195 |
|
7% 5/2/17 (f) |
|
2,479,680 |
2,479,680 |
|
Credit Suisse New York Branch 6% 2/15/18 |
|
16,785,000 |
18,642,797 |
|
Development Bank of Philippines 8.375% (g)(l) |
|
1,655,000 |
1,803,950 |
|
Discover Bank: |
|
|
|
|
7% 4/15/20 |
|
2,030,000 |
2,389,119 |
|
8.7% 11/18/19 |
|
12,480,000 |
15,801,090 |
|
Eastern and Southern African Trade and Development Bank 6.875% 1/9/16 (Reg. S) |
|
870,000 |
874,350 |
|
Fifth Third Bancorp: |
|
|
|
|
4.5% 6/1/18 |
|
798,000 |
865,741 |
|
8.25% 3/1/38 |
|
4,667,000 |
6,524,704 |
|
Fifth Third Bank 4.75% 2/1/15 |
|
1,329,000 |
1,416,784 |
|
Fifth Third Capital Trust IV 6.5% 4/15/67 (l) |
|
6,912,000 |
6,912,000 |
|
Georgia Bank Joint Stock Co. 7.75% 7/5/17 (f) |
|
1,000,000 |
1,007,500 |
|
HBOS PLC 6.75% 5/21/18 (f) |
|
6,067,000 |
5,986,546 |
|
HSBC Holdings PLC 4% 3/30/22 |
|
12,331,000 |
13,229,720 |
|
HSBK (Europe) BV: |
|
|
|
|
7.25% 5/3/17 (f) |
|
1,435,000 |
1,492,400 |
|
9.25% 10/16/13 (f) |
|
760,000 |
803,700 |
|
Huntington Bancshares, Inc. 7% 12/15/20 |
|
2,851,000 |
3,403,247 |
|
JPMorgan Chase Bank 6% 10/1/17 |
|
11,313,000 |
13,320,933 |
|
JSC Kazkommertsbank BV 8% 11/3/15 (f) |
|
1,040,000 |
969,800 |
|
Kazkommerts International BV 7.875% 4/7/14 (Reg. S) |
|
405,000 |
401,963 |
|
KeyBank NA: |
|
|
|
|
5.45% 3/3/16 |
|
3,939,000 |
4,404,590 |
|
5.8% 7/1/14 |
|
9,490,000 |
10,170,091 |
|
6.95% 2/1/28 |
|
1,977,000 |
2,374,241 |
|
Marshall & Ilsley Bank: |
|
|
|
|
4.85% 6/16/15 |
|
4,520,000 |
4,873,514 |
|
5% 1/17/17 |
|
13,700,000 |
15,358,440 |
|
5.25% 9/4/12 |
|
3,162,000 |
3,162,000 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Commercial Banks - continued |
||||
Regions Bank: |
|
|
|
|
6.45% 6/26/37 |
|
$ 17,999,000 |
$ 18,021,499 |
|
7.5% 5/15/18 |
|
6,622,000 |
7,714,630 |
|
Regions Financial Corp.: |
|
|
|
|
5.75% 6/15/15 |
|
2,005,000 |
2,130,313 |
|
7.75% 11/10/14 |
|
6,404,000 |
7,093,711 |
|
RSHB Capital SA: |
|
|
|
|
6% 6/3/21 (f) |
|
555,000 |
560,550 |
|
9% 6/11/14 (f) |
|
510,000 |
563,550 |
|
SSB #1 PLC 8.25% 3/10/16 |
|
450,000 |
398,250 |
|
The State Export-Import Bank of Ukraine JSC 5.7928% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (e) |
|
1,435,000 |
1,119,300 |
|
Trade & Development Bank of Mongolia LLC 8.5% 10/25/13 |
|
880,000 |
891,000 |
|
UnionBanCal Corp. 5.25% 12/16/13 |
|
826,000 |
864,736 |
|
Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) |
|
2,475,000 |
2,694,533 |
|
Vnesheconombank Via VEB Finance PLC 6.025% 7/5/22 (f) |
|
705,000 |
777,263 |
|
Wachovia Corp.: |
|
|
|
|
5.625% 10/15/16 |
|
4,239,000 |
4,881,327 |
|
5.75% 6/15/17 |
|
2,933,000 |
3,500,324 |
|
Wells Fargo & Co.: |
|
|
|
|
3.625% 4/15/15 |
|
5,893,000 |
6,302,387 |
|
3.676% 6/15/16 |
|
4,301,000 |
4,679,140 |
|
Yapi ve Kredi Bankasi A/S 6.75% 2/8/17 (f) |
|
1,060,000 |
1,144,800 |
|
|
223,926,227 |
|||
Consumer Finance - 0.6% |
||||
Ally Financial, Inc.: |
|
|
|
|
3.6375% 2/11/14 (l) |
|
2,895,000 |
2,905,856 |
|
4.625% 6/26/15 |
|
2,605,000 |
2,673,413 |
|
5.5% 2/15/17 |
|
2,785,000 |
2,882,475 |
|
Discover Financial Services: |
|
|
|
|
5.2% 4/27/22 |
|
12,545,000 |
13,343,213 |
|
6.45% 6/12/17 |
|
10,366,000 |
11,744,315 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Consumer Finance - continued |
||||
Ford Motor Credit Co. LLC: |
|
|
|
|
3.875% 1/15/15 |
|
$ 5,000,000 |
$ 5,202,710 |
|
5% 5/15/18 |
|
2,390,000 |
2,572,316 |
|
5.875% 8/2/21 |
|
1,400,000 |
1,546,170 |
|
12% 5/15/15 |
|
2,440,000 |
3,037,800 |
|
General Electric Capital Corp.: |
|
|
|
|
2.25% 11/9/15 |
|
314,000 |
324,806 |
|
4.625% 1/7/21 |
|
5,706,000 |
6,451,226 |
|
5.625% 9/15/17 |
|
5,858,000 |
6,922,779 |
|
5.625% 5/1/18 |
|
25,000,000 |
29,610,375 |
|
|
89,217,454 |
|||
Diversified Financial Services - 1.8% |
||||
Aquarius Investments Luxemburg 8.25% 2/18/16 |
|
1,225,000 |
1,323,000 |
|
Bank of America Corp.: |
|
|
|
|
3.875% 3/22/17 |
|
3,134,000 |
3,302,412 |
|
5.65% 5/1/18 |
|
8,780,000 |
9,810,245 |
|
5.7% 1/24/22 |
|
6,876,000 |
7,780,985 |
|
5.75% 12/1/17 |
|
21,955,000 |
24,551,179 |
|
6.5% 8/1/16 |
|
9,000,000 |
10,264,581 |
|
Biz Finance PLC 8.375% 4/27/15 (Reg. S) |
|
1,525,000 |
1,437,313 |
|
BP Capital Markets PLC: |
|
|
|
|
3.625% 5/8/14 |
|
418,000 |
438,804 |
|
4.5% 10/1/20 |
|
650,000 |
756,685 |
|
4.742% 3/11/21 |
|
8,800,000 |
10,331,842 |
|
Capital One Capital V 10.25% 8/15/39 |
|
12,196,000 |
12,561,880 |
|
CIT Group, Inc. 6.625% 4/1/18 (f) |
|
1,215,000 |
1,333,463 |
|
Citigroup, Inc.: |
|
|
|
|
3.953% 6/15/16 |
|
11,847,000 |
12,496,784 |
|
4.75% 5/19/15 |
|
25,881,000 |
27,784,133 |
|
5.875% 1/30/42 |
|
10,423,000 |
12,258,980 |
|
6.125% 5/15/18 |
|
12,245,000 |
14,202,976 |
|
6.5% 8/19/13 |
|
13,174,000 |
13,855,056 |
|
Everest Acquisition LLC / Everest Acquisition Finance, Inc. 9.375% 5/1/20 (f) |
|
1,915,000 |
2,077,775 |
|
Fibria Overseas Finance Ltd. 6.75% 3/3/21 (f) |
|
350,000 |
367,500 |
|
General Motors Financial Co., Inc.: |
|
|
|
|
4.75% 8/15/17 (f) |
|
1,775,000 |
1,779,438 |
|
6.75% 6/1/18 |
|
1,500,000 |
1,650,000 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Diversified Financial Services - continued |
||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: |
|
|
|
|
7.75% 1/15/16 |
|
$ 2,715,000 |
$ 2,850,750 |
|
8% 1/15/18 |
|
5,880,000 |
6,262,200 |
|
8% 1/15/18 (f) |
|
620,000 |
658,750 |
|
ILFC E-Capital Trust II 6.25% 12/21/65 (f)(l) |
|
1,250,000 |
875,000 |
|
Indo Energy Finance BV 7% 5/7/18 (f) |
|
1,000,000 |
1,015,000 |
|
JPMorgan Chase & Co.: |
|
|
|
|
2% 8/15/17 |
|
11,000,000 |
11,086,383 |
|
4.35% 8/15/21 |
|
13,339,000 |
14,628,935 |
|
4.5% 1/24/22 |
|
22,046,000 |
24,497,978 |
|
4.95% 3/25/20 |
|
17,148,000 |
19,650,716 |
|
Magnesita Finance Ltd. 8.625% (f)(g) |
|
650,000 |
666,250 |
|
NSG Holdings II, LLC 7.75% 12/15/25 (f) |
|
8,295,000 |
8,460,900 |
|
Sunwest Management, Inc. 7.9726% 2/10/15 |
|
364,436 |
331,637 |
|
TECO Finance, Inc.: |
|
|
|
|
4% 3/15/16 |
|
2,562,000 |
2,778,069 |
|
5.15% 3/15/20 |
|
3,761,000 |
4,383,829 |
|
TMK Capital SA 7.75% 1/27/18 |
|
1,450,000 |
1,435,500 |
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 8.125% 12/1/17 (f) |
|
370,000 |
401,450 |
|
UPCB Finance III Ltd. 6.625% 7/1/20 (f) |
|
3,305,000 |
3,445,463 |
|
Vnesheconombank Via VEB Finance PLC: |
|
|
|
|
5.375% 2/13/17 (f) |
|
735,000 |
788,288 |
|
6.8% 11/22/25 (f) |
|
605,000 |
703,313 |
|
6.902% 7/9/20 (f) |
|
715,000 |
831,188 |
|
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (f)(l) |
|
1,211,391 |
829,012 |
|
Zhaikmunai Finance BV 10.5% 10/19/15 (f) |
|
2,135,000 |
2,228,406 |
|
|
279,174,048 |
|||
Insurance - 1.3% |
||||
Allstate Corp. 6.2% 5/16/14 |
|
6,893,000 |
7,529,417 |
|
American International Group, Inc. 4.875% 9/15/16 |
|
7,990,000 |
8,759,485 |
|
Aon Corp.: |
|
|
|
|
3.125% 5/27/16 |
|
11,274,000 |
11,908,670 |
|
3.5% 9/30/15 |
|
4,451,000 |
4,693,068 |
|
5% 9/30/20 |
|
3,854,000 |
4,419,497 |
|
Axis Capital Holdings Ltd. 5.75% 12/1/14 |
|
558,000 |
600,362 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Insurance - continued |
||||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(l) |
|
$ 1,859,000 |
$ 1,896,180 |
|
Hartford Financial Services Group, Inc.: |
|
|
|
|
5.125% 4/15/22 |
|
12,729,000 |
13,689,963 |
|
5.375% 3/15/17 |
|
194,000 |
212,216 |
|
6.625% 4/15/42 |
|
9,473,000 |
10,665,168 |
|
Liberty Mutual Group, Inc.: |
|
|
|
|
5% 6/1/21 (f) |
|
12,644,000 |
13,279,285 |
|
6.5% 3/15/35 (f) |
|
1,741,000 |
1,868,868 |
|
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 |
|
7,090,000 |
7,964,346 |
|
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (f) |
|
7,139,000 |
8,141,066 |
|
MetLife, Inc.: |
|
|
|
|
4.75% 2/8/21 |
|
4,032,000 |
4,666,330 |
|
5% 6/15/15 |
|
1,163,000 |
1,291,917 |
|
6.75% 6/1/16 |
|
7,610,000 |
9,101,195 |
|
Metropolitan Life Global Funding I 5.125% 4/10/13 (f) |
|
559,000 |
574,103 |
|
Monumental Global Funding III 5.5% 4/22/13 (f) |
|
2,746,000 |
2,812,275 |
|
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (f) |
|
6,155,000 |
7,925,750 |
|
Pacific Life Insurance Co. 9.25% 6/15/39 (f) |
|
5,674,000 |
7,726,405 |
|
Pacific LifeCorp 6% 2/10/20 (f) |
|
6,323,000 |
7,041,286 |
|
Prudential Financial, Inc.: |
|
|
|
|
3.625% 9/17/12 |
|
11,000,000 |
11,011,264 |
|
4.5% 11/16/21 |
|
6,390,000 |
7,045,288 |
|
5.15% 1/15/13 |
|
2,966,000 |
3,014,031 |
|
5.8% 11/16/41 |
|
8,381,000 |
9,608,096 |
|
6.2% 11/15/40 |
|
4,318,000 |
5,091,989 |
|
7.375% 6/15/19 |
|
3,230,000 |
4,067,077 |
|
Symetra Financial Corp. 6.125% 4/1/16 (f) |
|
6,375,000 |
6,935,547 |
|
Unum Group: |
|
|
|
|
5.625% 9/15/20 |
|
8,386,000 |
9,263,201 |
|
5.75% 8/15/42 |
|
11,125,000 |
11,471,099 |
|
7.125% 9/30/16 |
|
587,000 |
683,607 |
|
|
204,958,051 |
|||
Real Estate Investment Trusts - 0.8% |
||||
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22 |
|
4,025,000 |
4,242,426 |
|
AvalonBay Communities, Inc. 4.95% 3/15/13 |
|
367,000 |
374,541 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Real Estate Investment Trusts - continued |
||||
Boston Properties, Inc. 3.85% 2/1/23 |
|
$ 8,745,000 |
$ 9,154,808 |
|
BRE Properties, Inc. 5.5% 3/15/17 |
|
661,000 |
750,399 |
|
Camden Property Trust: |
|
|
|
|
5.375% 12/15/13 |
|
4,073,000 |
4,275,306 |
|
5.875% 11/30/12 |
|
670,000 |
677,775 |
|
DDR Corp. 4.625% 7/15/22 |
|
4,746,000 |
4,921,754 |
|
Developers Diversified Realty Corp.: |
|
|
|
|
4.75% 4/15/18 |
|
9,273,000 |
9,939,794 |
|
7.5% 4/1/17 |
|
5,574,000 |
6,524,975 |
|
7.875% 9/1/20 |
|
323,000 |
400,278 |
|
Duke Realty LP: |
|
|
|
|
4.375% 6/15/22 |
|
7,323,000 |
7,654,944 |
|
4.625% 5/15/13 |
|
1,106,000 |
1,128,395 |
|
5.4% 8/15/14 |
|
5,561,000 |
5,932,658 |
|
5.95% 2/15/17 |
|
1,109,000 |
1,247,365 |
|
6.25% 5/15/13 |
|
14,494,000 |
14,933,371 |
|
6.5% 1/15/18 |
|
3,795,000 |
4,400,310 |
|
6.75% 3/15/20 |
|
10,379,000 |
12,507,411 |
|
8.25% 8/15/19 |
|
75,000 |
94,849 |
|
Equity One, Inc.: |
|
|
|
|
5.375% 10/15/15 |
|
1,403,000 |
1,514,439 |
|
6% 9/15/17 |
|
890,000 |
990,274 |
|
6.25% 12/15/14 |
|
6,140,000 |
6,656,073 |
|
6.25% 1/15/17 |
|
494,000 |
550,920 |
|
Federal Realty Investment Trust: |
|
|
|
|
5.4% 12/1/13 |
|
441,000 |
463,493 |
|
5.9% 4/1/20 |
|
2,504,000 |
2,997,458 |
|
6.2% 1/15/17 |
|
620,000 |
721,583 |
|
Highwoods/Forsyth LP 5.85% 3/15/17 |
|
615,000 |
672,676 |
|
HMB Capital Trust V 4.0679% 12/15/36 (c)(f)(l) |
|
270,000 |
0 |
|
HRPT Properties Trust: |
|
|
|
|
5.75% 11/1/15 |
|
2,386,000 |
2,506,347 |
|
6.25% 6/15/17 |
|
1,232,000 |
1,352,269 |
|
6.65% 1/15/18 |
|
867,000 |
962,083 |
|
MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21 |
|
1,760,000 |
1,914,000 |
|
Omega Healthcare Investors, Inc.: |
|
|
|
|
5.875% 3/15/24 (f) |
|
290,000 |
310,300 |
|
6.75% 10/15/22 |
|
1,690,000 |
1,863,225 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Real Estate Investment Trusts - continued |
||||
Senior Housing Properties Trust 6.75% 4/15/20 |
|
$ 855,000 |
$ 950,841 |
|
UDR, Inc. 5.5% 4/1/14 |
|
5,222,000 |
5,508,923 |
|
Washington (REIT) 5.25% 1/15/14 |
|
322,000 |
336,044 |
|
|
119,432,307 |
|||
Real Estate Management & Development - 1.3% |
||||
AMB Property LP 5.9% 8/15/13 |
|
2,580,000 |
2,671,714 |
|
BioMed Realty LP: |
|
|
|
|
3.85% 4/15/16 |
|
11,000,000 |
11,496,342 |
|
4.25% 7/15/22 |
|
5,809,000 |
6,063,760 |
|
6.125% 4/15/20 |
|
3,429,000 |
3,999,870 |
|
Brandywine Operating Partnership LP 5.7% 5/1/17 |
|
7,049,000 |
7,698,735 |
|
CB Richard Ellis Services, Inc. 6.625% 10/15/20 |
|
1,175,000 |
1,280,750 |
|
Colonial Realty LP 6.05% 9/1/16 |
|
2,000,000 |
2,189,528 |
|
Digital Realty Trust LP: |
|
|
|
|
4.5% 7/15/15 |
|
4,981,000 |
5,276,239 |
|
5.25% 3/15/21 |
|
5,708,000 |
6,304,520 |
|
ERP Operating LP: |
|
|
|
|
4.625% 12/15/21 |
|
22,997,000 |
26,376,777 |
|
4.75% 7/15/20 |
|
7,700,000 |
8,721,621 |
|
5.25% 9/15/14 |
|
1,310,000 |
1,415,054 |
|
5.375% 8/1/16 |
|
2,768,000 |
3,152,414 |
|
5.5% 10/1/12 |
|
3,690,000 |
3,702,207 |
|
5.75% 6/15/17 |
|
14,407,000 |
16,975,696 |
|
Forest City Enterprises, Inc.: |
|
|
|
|
6.5% 2/1/17 |
|
450,000 |
434,250 |
|
7.625% 6/1/15 |
|
260,000 |
258,538 |
|
Host Hotels & Resorts LP: |
|
|
|
|
4.75% 3/1/23 |
|
945,000 |
968,625 |
|
5.875% 6/15/19 |
|
2,150,000 |
2,359,625 |
|
6% 11/1/20 |
|
105,000 |
116,025 |
|
Liberty Property LP: |
|
|
|
|
4.125% 6/15/22 |
|
6,280,000 |
6,516,536 |
|
4.75% 10/1/20 |
|
11,282,000 |
12,293,578 |
|
5.125% 3/2/15 |
|
1,405,000 |
1,509,559 |
|
5.5% 12/15/16 |
|
1,891,000 |
2,120,966 |
|
6.625% 10/1/17 |
|
4,835,000 |
5,682,517 |
|
Mack-Cali Realty LP: |
|
|
|
|
4.5% 4/18/22 |
|
4,072,000 |
4,316,328 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Real Estate Management & Development - continued |
||||
Mack-Cali Realty LP: - continued |
|
|
|
|
7.75% 8/15/19 |
|
$ 700,000 |
$ 859,956 |
|
Post Apartment Homes LP 6.3% 6/1/13 |
|
3,812,000 |
3,920,650 |
|
Prime Property Funding, Inc.: |
|
|
|
|
5.125% 6/1/15 (f) |
|
2,806,000 |
2,862,572 |
|
5.5% 1/15/14 (f) |
|
867,000 |
887,875 |
|
5.7% 4/15/17 (f) |
|
2,115,000 |
2,212,030 |
|
Realogy Corp. 7.625% 1/15/20 (f) |
|
965,000 |
1,043,358 |
|
Reckson Operating Partnership LP 6% 3/31/16 |
|
3,651,000 |
3,906,241 |
|
Regency Centers LP: |
|
|
|
|
4.95% 4/15/14 |
|
611,000 |
641,086 |
|
5.25% 8/1/15 |
|
2,133,000 |
2,321,649 |
|
5.875% 6/15/17 |
|
1,089,000 |
1,251,667 |
|
Simon Property Group LP: |
|
|
|
|
2.8% 1/30/17 |
|
2,603,000 |
2,729,766 |
|
4.125% 12/1/21 |
|
7,287,000 |
8,035,338 |
|
4.2% 2/1/15 |
|
3,659,000 |
3,902,675 |
|
Tanger Properties LP: |
|
|
|
|
6.125% 6/1/20 |
|
14,318,000 |
16,991,214 |
|
6.15% 11/15/15 |
|
1,777,000 |
1,983,802 |
|
Ventas Realty LP 4.25% 3/1/22 |
|
300,000 |
320,985 |
|
|
197,772,638 |
|||
Thrifts & Mortgage Finance - 0.0% |
||||
Wrightwood Capital LLC 1.9% 4/20/20 (c) |
|
112,350 |
57,299 |
|
TOTAL FINANCIALS |
1,255,229,734 |
|||
HEALTH CARE - 0.7% |
||||
Biotechnology - 0.1% |
||||
Amgen, Inc. 5.15% 11/15/41 |
|
12,000,000 |
13,123,128 |
|
Celgene Corp. 2.45% 10/15/15 |
|
613,000 |
634,536 |
|
|
13,757,664 |
|||
Health Care Equipment & Supplies - 0.0% |
||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. 7.75% 2/15/19 |
|
435,000 |
454,575 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
HEALTH CARE - continued |
||||
Health Care Equipment & Supplies - continued |
||||
DJO Finance LLC/DJO Finance Corp.: |
|
|
|
|
7.75% 4/15/18 |
|
$ 925,000 |
$ 846,375 |
|
10.875% 11/15/14 |
|
4,115,000 |
4,269,313 |
|
|
5,570,263 |
|||
Health Care Providers & Services - 0.5% |
||||
Aristotle Holding, Inc. 4.75% 11/15/21 (f) |
|
22,009,000 |
25,401,401 |
|
Community Health Systems, Inc. 5.125% 8/15/18 |
|
785,000 |
809,531 |
|
Coventry Health Care, Inc.: |
|
|
|
|
5.95% 3/15/17 |
|
1,747,000 |
2,043,040 |
|
6.3% 8/15/14 |
|
3,618,000 |
3,921,594 |
|
DaVita, Inc. 5.75% 8/15/22 |
|
2,280,000 |
2,371,200 |
|
Emergency Medical Services Corp. 8.125% 6/1/19 |
|
4,610,000 |
4,921,175 |
|
Express Scripts, Inc.: |
|
|
|
|
3.125% 5/15/16 |
|
10,525,000 |
11,190,338 |
|
6.25% 6/15/14 |
|
2,629,000 |
2,872,253 |
|
Fresenius Medical Care US Finance II, Inc. 5.625% 7/31/19 (f) |
|
2,315,000 |
2,477,050 |
|
HealthSouth Corp. 7.25% 10/1/18 |
|
3,300,000 |
3,605,250 |
|
IASIS Healthcare LLC/IASIS Capital Corp. 8.375% 5/15/19 |
|
2,895,000 |
2,750,250 |
|
Medco Health Solutions, Inc.: |
|
|
|
|
2.75% 9/15/15 |
|
1,176,000 |
1,230,241 |
|
4.125% 9/15/20 |
|
7,486,000 |
8,136,638 |
|
Radiation Therapy Services, Inc. 8.875% 1/15/17 |
|
790,000 |
754,450 |
|
Rural/Metro Corp. 10.125% 7/15/19 (f) |
|
740,000 |
728,900 |
|
Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18 |
|
2,580,000 |
2,805,750 |
|
|
76,019,061 |
|||
Pharmaceuticals - 0.1% |
||||
Mylan, Inc. 6% 11/15/18 (f) |
|
3,030,000 |
3,226,950 |
|
Valeant Pharmaceuticals International: |
|
|
|
|
6.5% 7/15/16 (f) |
|
4,500,000 |
4,747,500 |
|
6.875% 12/1/18 (f) |
|
3,440,000 |
3,620,600 |
|
7% 10/1/20 (f) |
|
255,000 |
263,925 |
|
Watson Pharmaceuticals, Inc. 5% 8/15/14 |
|
720,000 |
766,211 |
|
|
12,625,186 |
|||
TOTAL HEALTH CARE |
107,972,174 |
|||
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
INDUSTRIALS - 1.0% |
||||
Aerospace & Defense - 0.3% |
||||
BAE Systems Holdings, Inc.: |
|
|
|
|
4.95% 6/1/14 (f) |
|
$ 572,000 |
$ 602,868 |
|
6.375% 6/1/19 (f) |
|
8,071,000 |
9,637,630 |
|
Huntington Ingalls Industries, Inc. 6.875% 3/15/18 |
|
1,930,000 |
2,065,100 |
|
United Technologies Corp.: |
|
|
|
|
3.1% 6/1/22 |
|
13,132,000 |
13,980,839 |
|
4.5% 6/1/42 |
|
13,132,000 |
14,949,154 |
|
|
41,235,591 |
|||
Airlines - 0.2% |
||||
Continental Airlines, Inc.: |
|
|
|
|
pass-thru trust certificates 9.798% 4/1/21 |
|
330,501 |
355,288 |
|
6.648% 3/15/19 |
|
2,794,815 |
2,948,530 |
|
6.75% 9/15/15 (f) |
|
4,585,000 |
4,722,550 |
|
6.9% 7/2/19 |
|
847,481 |
916,381 |
|
Continental Airlines, Inc. 9.25% 5/10/17 |
|
2,392,869 |
2,620,191 |
|
Delta Air Lines, Inc. pass-thru trust certificates: |
|
|
|
|
6.375% 1/2/16 |
|
1,515,000 |
1,515,000 |
|
6.75% 11/23/15 |
|
1,515,000 |
1,541,513 |
|
8.954% 8/10/14 |
|
1,740,005 |
1,770,455 |
|
Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17 |
|
640,173 |
663,412 |
|
U.S. Airways pass-thru trust certificates: |
|
|
|
|
6.85% 1/30/18 |
|
1,617,150 |
1,689,922 |
|
8.36% 1/20/19 |
|
1,337,073 |
1,450,724 |
|
United Air Lines, Inc. 9.875% 8/1/13 (f) |
|
629,000 |
646,298 |
|
United Air Lines, Inc. pass-thru trust certificates: |
|
|
|
|
Class B, 7.336% 7/2/19 |
|
767,799 |
740,926 |
|
9.75% 1/15/17 |
|
1,913,598 |
2,195,854 |
|
12% 1/15/16 (f) |
|
599,661 |
652,132 |
|
|
24,429,176 |
|||
Building Products - 0.1% |
||||
Building Materials Corp. of America 6.875% 8/15/18 (f) |
|
3,715,000 |
4,021,488 |
|
HD Supply, Inc.: |
|
|
|
|
8.125% 4/15/19 (f) |
|
3,460,000 |
3,762,750 |
|
11% 4/15/20 (f) |
|
955,000 |
1,050,500 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
INDUSTRIALS - continued |
||||
Building Products - continued |
||||
Masco Corp. 5.95% 3/15/22 |
|
$ 740,000 |
$ 799,033 |
|
USG Corp. 7.875% 3/30/20 (f) |
|
675,000 |
718,031 |
|
|
10,351,802 |
|||
Commercial Services & Supplies - 0.3% |
||||
ARAMARK Corp. 3.9446% 2/1/15 (l) |
|
5,440,000 |
5,426,400 |
|
ARAMARK Holdings Corp. 8.625% 5/1/16 pay-in-kind (f)(l) |
|
7,325,000 |
7,526,438 |
|
Clean Harbors, Inc. 5.25% 8/1/20 (f) |
|
555,000 |
569,569 |
|
Covanta Holding Corp. 7.25% 12/1/20 |
|
4,950,000 |
5,524,680 |
|
International Lease Finance Corp.: |
|
|
|
|
4.875% 4/1/15 |
|
2,370,000 |
2,462,430 |
|
5.75% 5/15/16 |
|
1,330,000 |
1,379,875 |
|
5.875% 8/15/22 |
|
1,830,000 |
1,830,000 |
|
6.25% 5/15/19 |
|
1,640,000 |
1,713,800 |
|
8.625% 9/15/15 |
|
2,745,000 |
3,074,400 |
|
8.75% 3/15/17 |
|
3,700,000 |
4,264,250 |
|
8.875% 9/1/17 |
|
1,665,000 |
1,931,400 |
|
WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (f) |
|
2,855,000 |
2,847,863 |
|
|
38,551,105 |
|||
Construction & Engineering - 0.0% |
||||
Amsted Industries, Inc. 8.125% 3/15/18 (f) |
|
1,850,000 |
1,998,000 |
|
Odebrecht Finance Ltd. 7.5% (f)(g) |
|
2,555,000 |
2,708,300 |
|
|
4,706,300 |
|||
Electrical Equipment - 0.0% |
||||
Instituto Costarricense de Electricidad 6.95% 11/10/21 (f) |
|
400,000 |
437,000 |
|
Industrial Conglomerates - 0.1% |
||||
General Electric Co. 5.25% 12/6/17 |
|
17,730,000 |
21,041,698 |
|
Marine - 0.0% |
||||
Navios Maritime Holdings, Inc. 8.875% 11/1/17 |
|
700,000 |
710,500 |
|
Professional Services - 0.0% |
||||
FTI Consulting, Inc. 6.75% 10/1/20 |
|
1,015,000 |
1,083,513 |
|
Road & Rail - 0.0% |
||||
Hertz Corp.: |
|
|
|
|
6.75% 4/15/19 |
|
1,310,000 |
1,378,775 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
INDUSTRIALS - continued |
||||
Road & Rail - continued |
||||
Hertz Corp.: - continued |
|
|
|
|
7.5% 10/15/18 |
|
$ 4,330,000 |
$ 4,665,575 |
|
JSC Georgian Railway 7.75% 7/11/22 (f) |
|
650,000 |
710,125 |
|
|
6,754,475 |
|||
Trading Companies & Distributors - 0.0% |
||||
Aircastle Ltd.: |
|
|
|
|
6.75% 4/15/17 |
|
1,410,000 |
1,522,800 |
|
9.75% 8/1/18 |
|
840,000 |
962,850 |
|
|
2,485,650 |
|||
Transportation Infrastructure - 0.0% |
||||
Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (f) |
|
1,405,300 |
1,363,141 |
|
TOTAL INDUSTRIALS |
153,149,951 |
|||
INFORMATION TECHNOLOGY - 0.2% |
||||
Communications Equipment - 0.1% |
||||
Avaya, Inc.: |
|
|
|
|
9.75% 11/1/15 |
|
2,930,000 |
2,534,450 |
|
10.125% 11/1/15 pay-in-kind (l) |
|
1,200,000 |
1,041,000 |
|
Lucent Technologies, Inc.: |
|
|
|
|
6.45% 3/15/29 |
|
8,010,000 |
5,166,450 |
|
6.5% 1/15/28 |
|
1,240,000 |
796,700 |
|
|
9,538,600 |
|||
Electronic Equipment & Components - 0.1% |
||||
Jabil Circuit, Inc. 4.7% 9/15/22 |
|
770,000 |
773,850 |
|
Sanmina-SCI Corp. 7% 5/15/19 (f) |
|
3,580,000 |
3,571,050 |
|
Tyco Electronics Group SA: |
|
|
|
|
5.95% 1/15/14 |
|
3,835,000 |
4,090,530 |
|
6% 10/1/12 |
|
4,835,000 |
4,853,900 |
|
6.55% 10/1/17 |
|
1,383,000 |
1,672,062 |
|
|
14,961,392 |
|||
Internet Software & Services - 0.0% |
||||
Equinix, Inc. 8.125% 3/1/18 |
|
630,000 |
697,725 |
|
IT Services - 0.0% |
||||
Audatex North America, Inc. 6.75% 6/15/18 (f) |
|
300,000 |
321,750 |
|
First Data Corp. 8.25% 1/15/21 (f) |
|
760,000 |
753,350 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
INFORMATION TECHNOLOGY - continued |
||||
IT Services - continued |
||||
SunGard Data Systems, Inc.: |
|
|
|
|
7.375% 11/15/18 |
|
$ 1,095,000 |
$ 1,164,752 |
|
10.25% 8/15/15 |
|
1,765,000 |
1,800,300 |
|
|
4,040,152 |
|||
Office Electronics - 0.0% |
||||
Xerox Corp.: |
|
|
|
|
4.25% 2/15/15 |
|
368,000 |
391,778 |
|
4.5% 5/15/21 |
|
4,102,000 |
4,311,723 |
|
|
4,703,501 |
|||
Semiconductors & Semiconductor Equipment - 0.0% |
||||
Amkor Technology, Inc. 7.375% 5/1/18 |
|
285,000 |
297,469 |
|
Spansion LLC 7.875% 11/15/17 |
|
3,465,000 |
3,378,375 |
|
Viasystems, Inc. 7.875% 5/1/19 (f) |
|
1,520,000 |
1,493,400 |
|
|
5,169,244 |
|||
Software - 0.0% |
||||
Nuance Communications, Inc. 5.375% 8/15/20 (f) |
|
395,000 |
404,381 |
|
TOTAL INFORMATION TECHNOLOGY |
39,514,995 |
|||
MATERIALS - 1.0% |
||||
Chemicals - 0.3% |
||||
Braskem America Finance Co. 7.125% 7/22/41 (f) |
|
735,000 |
764,400 |
|
Celanese US Holdings LLC 6.625% 10/15/18 |
|
1,935,000 |
2,133,338 |
|
Dow Chemical Co.: |
|
|
|
|
4.125% 11/15/21 |
|
10,888,000 |
11,929,154 |
|
4.25% 11/15/20 |
|
5,898,000 |
6,495,898 |
|
7.6% 5/15/14 |
|
16,974,000 |
18,836,608 |
|
INEOS Finance PLC: |
|
|
|
|
7.5% 5/1/20 (f) |
|
710,000 |
722,425 |
|
8.375% 2/15/19 (f) |
|
1,720,000 |
1,810,300 |
|
Kinove German Bondco GmbH 9.625% 6/15/18 (f) |
|
1,050,000 |
1,107,750 |
|
LyondellBasell Industries NV: |
|
|
|
|
5% 4/15/19 |
|
3,170,000 |
3,360,200 |
|
5.75% 4/15/24 |
|
1,480,000 |
1,679,800 |
|
6% 11/15/21 |
|
700,000 |
796,250 |
|
NOVA Chemicals Corp. 3.8549% 11/15/13 (l) |
|
2,720,000 |
2,720,000 |
|
|
52,356,123 |
|||
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
MATERIALS - continued |
||||
Construction Materials - 0.1% |
||||
CRH America, Inc. 6% 9/30/16 |
|
$ 2,286,000 |
$ 2,536,210 |
|
Headwaters, Inc. 7.625% 4/1/19 |
|
2,695,000 |
2,695,000 |
|
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (f) |
|
940,000 |
1,024,600 |
|
Texas Industries, Inc. 9.25% 8/15/20 |
|
1,605,000 |
1,701,300 |
|
|
7,957,110 |
|||
Containers & Packaging - 0.1% |
||||
Ardagh Packaging Finance PLC 7.375% 10/15/17 (f) |
|
2,700,000 |
2,895,750 |
|
Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc. 7.375% 10/15/17 (f) |
|
200,000 |
214,500 |
|
Sappi Papier Holding GmbH: |
|
|
|
|
7.75% 7/15/17 (f) |
|
425,000 |
444,125 |
|
8.375% 6/15/19 (f) |
|
575,000 |
605,188 |
|
Sealed Air Corp. 8.125% 9/15/19 (f) |
|
3,155,000 |
3,502,050 |
|
Tekni-Plex, Inc. 9.75% 6/1/19 (f) |
|
850,000 |
884,000 |
|
|
8,545,613 |
|||
Metals & Mining - 0.5% |
||||
Alrosa Finance SA 7.75% 11/3/20 (f) |
|
700,000 |
772,590 |
|
Anglo American Capital PLC 9.375% 4/8/14 (f) |
|
6,817,000 |
7,645,306 |
|
AngloGold Ashanti Holdings PLC 5.125% 8/1/22 |
|
950,000 |
959,500 |
|
Boart Longyear Management Pty Ltd. 7% 4/1/21 (f) |
|
810,000 |
840,375 |
|
Corporacion Nacional del Cobre de Chile (Codelco): |
|
|
|
|
3.875% 11/3/21 (f) |
|
11,456,000 |
12,362,170 |
|
6.375% 11/30/12 (f) |
|
2,002,000 |
2,024,919 |
|
Edgen Murray Corp. 12.25% 1/15/15 |
|
4,450,000 |
4,728,125 |
|
Essar Steel Algoma, Inc. 9.375% 3/15/15 (f) |
|
1,990,000 |
1,930,300 |
|
EVRAZ Group SA: |
|
|
|
|
8.25% 11/10/15 (f) |
|
1,905,000 |
2,055,019 |
|
9.5% 4/24/18 (Reg. S) |
|
750,000 |
820,313 |
|
FMG Resources (August 2006) Pty Ltd.: |
|
|
|
|
6.375% 2/1/16 (f) |
|
710,000 |
678,050 |
|
7% 11/1/15 (f) |
|
5,435,000 |
5,339,888 |
|
JMC Steel Group, Inc. 8.25% 3/15/18 (f) |
|
3,010,000 |
3,077,725 |
|
Metinvest BV 10.25% 5/20/15 (f) |
|
735,000 |
731,325 |
|
Mongolian Mining Corp. 8.875% 3/29/17 (f) |
|
975,000 |
987,188 |
|
MRC Global, Inc. 9.5% 12/15/16 |
|
4,535,000 |
4,943,150 |
|
Severstal Columbus LLC 10.25% 2/15/18 |
|
4,610,000 |
4,725,250 |
|
Southern Copper Corp. 6.75% 4/16/40 |
|
920,000 |
1,068,037 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
MATERIALS - continued |
||||
Metals & Mining - continued |
||||
Steel Dynamics, Inc.: |
|
|
|
|
6.125% 8/15/19 (f) |
|
$ 1,850,000 |
$ 1,914,750 |
|
7.625% 3/15/20 |
|
1,290,000 |
1,393,200 |
|
Vale Overseas Ltd.: |
|
|
|
|
4.375% 1/11/22 |
|
12,000,000 |
12,307,008 |
|
6.25% 1/23/17 |
|
5,581,000 |
6,398,393 |
|
Votorantim Cimentos SA 7.25% 4/5/41 (f) |
|
740,000 |
791,800 |
|
|
78,494,381 |
|||
Paper & Forest Products - 0.0% |
||||
Louisiana-Pacific Corp. 7.5% 6/1/20 |
|
2,125,000 |
2,305,625 |
|
Sino-Forest Corp. 6.25% 10/21/17 (c)(f) |
|
1,365,000 |
211,575 |
|
|
2,517,200 |
|||
TOTAL MATERIALS |
149,870,427 |
|||
TELECOMMUNICATION SERVICES - 1.4% |
||||
Diversified Telecommunication Services - 0.8% |
||||
Alestra SA de RL de CV 11.75% 8/11/14 |
|
1,735,000 |
1,943,200 |
|
AT&T, Inc.: |
|
|
|
|
3.875% 8/15/21 |
|
8,800,000 |
9,904,470 |
|
5.35% 9/1/40 |
|
4,006,000 |
4,815,420 |
|
5.55% 8/15/41 |
|
10,000,000 |
12,451,600 |
|
6.3% 1/15/38 |
|
16,665,000 |
21,761,190 |
|
BellSouth Capital Funding Corp. 7.875% 2/15/30 |
|
742,000 |
1,008,833 |
|
CenturyLink, Inc.: |
|
|
|
|
6.15% 9/15/19 |
|
4,793,000 |
5,218,705 |
|
6.45% 6/15/21 |
|
8,152,000 |
9,103,453 |
|
Embarq Corp. 7.995% 6/1/36 |
|
4,717,000 |
5,222,870 |
|
Intelsat Ltd. 11.25% 6/15/16 |
|
1,504,000 |
1,582,960 |
|
Intelsat Luxembourg SA: |
|
|
|
|
11.25% 2/4/17 |
|
4,215,000 |
4,431,019 |
|
11.5% 2/4/17 pay-in-kind (l) |
|
11,258,205 |
11,821,115 |
|
SBA Telecommunications, Inc. 5.75% 7/15/20 (f) |
|
945,000 |
987,525 |
|
Telefonica Emisiones SAU 5.462% 2/16/21 |
|
6,967,000 |
6,409,640 |
|
Verizon Communications, Inc.: |
|
|
|
|
3.5% 11/1/21 |
|
12,600,000 |
13,870,786 |
|
6.1% 4/15/18 |
|
6,000,000 |
7,496,376 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
TELECOMMUNICATION SERVICES - continued |
||||
Diversified Telecommunication Services - continued |
||||
Verizon Communications, Inc.: - continued |
|
|
|
|
6.25% 4/1/37 |
|
$ 2,348,000 |
$ 3,117,879 |
|
6.9% 4/15/38 |
|
6,295,000 |
8,937,968 |
|
|
130,085,009 |
|||
Wireless Telecommunication Services - 0.6% |
||||
America Movil SAB de CV: |
|
|
|
|
2.375% 9/8/16 |
|
15,982,000 |
16,597,707 |
|
3.125% 7/16/22 |
|
9,218,000 |
9,455,963 |
|
3.625% 3/30/15 |
|
731,000 |
780,598 |
|
Digicel Group Ltd.: |
|
|
|
|
8.25% 9/1/17 (f) |
|
3,400,000 |
3,638,000 |
|
8.875% 1/15/15 (f) |
|
5,755,000 |
5,870,100 |
|
9.125% 1/15/15 pay-in-kind (f)(l) |
|
3,770,000 |
3,845,400 |
|
DIRECTV Holdings LLC/DIRECTV Financing, Inc.: |
|
|
|
|
5.15% 3/15/42 |
|
1,287,000 |
1,315,402 |
|
5.875% 10/1/19 |
|
5,944,000 |
6,990,810 |
|
6.35% 3/15/40 |
|
3,541,000 |
4,170,661 |
|
MTS International Funding Ltd. 8.625% 6/22/20 (f) |
|
2,305,000 |
2,737,188 |
|
Nextel Communications, Inc.: |
|
|
|
|
5.95% 3/15/14 |
|
5,930,000 |
5,944,825 |
|
7.375% 8/1/15 |
|
2,594,000 |
2,606,970 |
|
NII Capital Corp. 7.625% 4/1/21 |
|
1,755,000 |
1,355,738 |
|
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (f) |
|
2,870,000 |
2,841,300 |
|
Sprint Nextel Corp.: |
|
|
|
|
6% 12/1/16 |
|
3,155,000 |
3,218,100 |
|
7% 8/15/20 |
|
2,305,000 |
2,356,863 |
|
9% 11/15/18 (f) |
|
1,050,000 |
1,239,000 |
|
Telemovil Finance Co. Ltd. 8% 10/1/17 (f) |
|
1,745,000 |
1,854,063 |
|
Telesat Canada/Telesat LLC 6% 5/15/17 (f) |
|
3,060,000 |
3,182,400 |
|
Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (f) |
|
1,000,000 |
1,030,000 |
|
VimpelCom Holdings BV 7.5043% 3/1/22 (f) |
|
510,000 |
517,650 |
|
Vodafone Group PLC 5% 12/16/13 |
|
2,864,000 |
3,026,867 |
|
|
84,575,605 |
|||
TOTAL TELECOMMUNICATION SERVICES |
214,660,614 |
|||
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
UTILITIES - 2.2% |
||||
Electric Utilities - 0.9% |
||||
Ameren Illinois Co. 6.125% 11/15/17 |
|
$ 3,112,000 |
$ 3,669,051 |
|
AmerenUE 6.4% 6/15/17 |
|
2,491,000 |
2,989,823 |
|
Cleveland Electric Illuminating Co. 5.65% 12/15/13 |
|
1,016,000 |
1,071,310 |
|
Comision Federal de Electricid 5.75% 2/14/42 (f) |
|
200,000 |
224,500 |
|
Duke Capital LLC 5.668% 8/15/14 |
|
2,563,000 |
2,762,647 |
|
Duquesne Light Holdings, Inc.: |
|
|
|
|
5.9% 12/1/21 (f) |
|
6,944,000 |
7,837,811 |
|
6.4% 9/15/20 (f) |
|
16,661,000 |
19,255,134 |
|
Edison International 3.75% 9/15/17 |
|
6,674,000 |
7,136,295 |
|
Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (f) |
|
1,045,000 |
438,900 |
|
Enel Finance International SA 5.7% 1/15/13 (f) |
|
206,000 |
208,241 |
|
FirstEnergy Corp. 7.375% 11/15/31 |
|
15,004,000 |
19,799,008 |
|
FirstEnergy Solutions Corp.: |
|
|
|
|
4.8% 2/15/15 |
|
2,432,000 |
2,596,882 |
|
6.05% 8/15/21 |
|
9,801,000 |
10,906,612 |
|
InterGen NV 9% 6/30/17 (f) |
|
4,570,000 |
4,455,750 |
|
LG&E and KU Energy LLC: |
|
|
|
|
2.125% 11/15/15 |
|
7,369,000 |
7,444,481 |
|
3.75% 11/15/20 |
|
1,450,000 |
1,501,407 |
|
Majapahit Holding BV: |
|
|
|
|
7.75% 1/20/20 (f) |
|
850,000 |
1,043,375 |
|
8% 8/7/19 (f) |
|
485,000 |
597,763 |
|
Mirant Americas Generation LLC: |
|
|
|
|
8.5% 10/1/21 |
|
3,095,000 |
3,265,225 |
|
9.125% 5/1/31 |
|
820,000 |
848,700 |
|
Nevada Power Co.: |
|
|
|
|
6.5% 5/15/18 |
|
790,000 |
985,961 |
|
6.5% 8/1/18 |
|
388,000 |
486,393 |
|
NV Energy, Inc. 6.25% 11/15/20 |
|
2,245,000 |
2,592,679 |
|
Otter Tail Corp. 9% 12/15/16 |
|
2,410,000 |
2,614,850 |
|
Pennsylvania Electric Co. 6.05% 9/1/17 |
|
764,000 |
877,535 |
|
Pepco Holdings, Inc. 2.7% 10/1/15 |
|
7,047,000 |
7,258,340 |
|
Progress Energy, Inc.: |
|
|
|
|
4.4% 1/15/21 |
|
12,059,000 |
13,628,648 |
|
6% 12/1/39 |
|
7,150,000 |
9,013,454 |
|
Sierra Pacific Power Co. 5.45% 9/1/13 |
|
1,945,000 |
2,028,184 |
|
|
137,538,959 |
|||
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
UTILITIES - continued |
||||
Gas Utilities - 0.1% |
||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) |
|
$ 1,090,000 |
$ 1,220,800 |
|
Southern Natural Gas Co. 5.9% 4/1/17 (f) |
|
442,000 |
520,444 |
|
Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21 |
|
3,646,000 |
3,912,993 |
|
Suburban Propane Partners LP/Suburban Energy Finance Corp.: |
|
|
|
|
7.375% 8/1/21 (f) |
|
423,000 |
446,265 |
|
7.5% 10/1/18 (f) |
|
1,574,000 |
1,695,985 |
|
Transportadora de Gas del Sur SA 7.875% 5/14/17 (f) |
|
3,625,000 |
3,008,750 |
|
|
10,805,237 |
|||
Independent Power Producers & Energy Traders - 0.3% |
||||
Atlantic Power Corp. 9% 11/15/18 |
|
3,625,000 |
3,788,125 |
|
Dolphin Subsidiary II, Inc.: |
|
|
|
|
6.5% 10/15/16 (f) |
|
2,775,000 |
3,038,625 |
|
7.25% 10/15/21 (f) |
|
3,430,000 |
3,910,200 |
|
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: |
|
|
|
|
6.875% 8/15/17 (f) |
|
305,000 |
311,481 |
|
11.75% 3/1/22 (f) |
|
1,225,000 |
1,304,625 |
|
GenOn Energy, Inc.: |
|
|
|
|
9.5% 10/15/18 |
|
3,135,000 |
3,456,338 |
|
9.875% 10/15/20 |
|
1,750,000 |
1,918,438 |
|
Kinder Morgan Finance Co. LLC 6% 1/15/18 (f) |
|
3,030,000 |
3,249,675 |
|
Listrindo Capital BV 6.95% 2/21/19 (f) |
|
600,000 |
639,000 |
|
Power Sector Assets and Liabilities Management Corp. 7.39% 12/2/24 (f) |
|
750,000 |
1,019,063 |
|
PPL Energy Supply LLC 6.5% 5/1/18 |
|
6,895,000 |
8,167,231 |
|
PSEG Power LLC 2.75% 9/15/16 |
|
2,786,000 |
2,906,745 |
|
RRI Energy, Inc. 7.625% 6/15/14 |
|
6,000,000 |
6,420,000 |
|
The AES Corp.: |
|
|
|
|
7.375% 7/1/21 |
|
615,000 |
704,175 |
|
7.75% 10/15/15 |
|
2,345,000 |
2,638,125 |
|
8% 10/15/17 |
|
4,575,000 |
5,329,875 |
|
|
48,801,721 |
|||
Multi-Utilities - 0.9% |
||||
CMS Energy Corp. 5.05% 3/15/22 |
|
17,417,000 |
18,876,440 |
|
Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40 |
|
3,771,000 |
5,149,044 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
UTILITIES - continued |
||||
Multi-Utilities - continued |
||||
Dominion Resources, Inc.: |
|
|
|
|
2.7606% 9/30/66 (l) |
|
$ 19,226,000 |
$ 17,503,754 |
|
7.5% 6/30/66 (l) |
|
10,345,000 |
11,185,531 |
|
MidAmerican Energy Holdings, Co.: |
|
|
|
|
5.875% 10/1/12 |
|
3,506,000 |
3,519,295 |
|
6.5% 9/15/37 |
|
7,097,000 |
9,697,107 |
|
National Grid PLC 6.3% 8/1/16 |
|
1,589,000 |
1,835,653 |
|
NiSource Finance Corp.: |
|
|
|
|
4.45% 12/1/21 |
|
4,928,000 |
5,332,461 |
|
5.25% 9/15/17 |
|
843,000 |
971,918 |
|
5.25% 2/15/43 |
|
8,869,000 |
9,820,919 |
|
5.4% 7/15/14 |
|
1,680,000 |
1,805,777 |
|
5.45% 9/15/20 |
|
854,000 |
975,855 |
|
5.8% 2/1/42 |
|
6,336,000 |
7,537,692 |
|
5.95% 6/15/41 |
|
11,832,000 |
14,182,178 |
|
6.4% 3/15/18 |
|
1,654,000 |
1,979,936 |
|
6.8% 1/15/19 |
|
6,774,000 |
8,122,195 |
|
Puget Energy, Inc.: |
|
|
|
|
5.625% 7/15/22 (f) |
|
600,000 |
629,220 |
|
6% 9/1/21 |
|
2,464,000 |
2,711,804 |
|
6.5% 12/15/20 |
|
1,275,000 |
1,402,500 |
|
Sempra Energy 2.3% 4/1/17 |
|
14,116,000 |
14,763,896 |
|
Wisconsin Energy Corp. 6.25% 5/15/67 (l) |
|
3,860,000 |
4,086,775 |
|
|
142,089,950 |
|||
TOTAL UTILITIES |
339,235,867 |
|||
TOTAL NONCONVERTIBLE BONDS |
3,372,861,499 |
|||
TOTAL CORPORATE BONDS (Cost $3,027,727,547) |
|
|||
U.S. Government and Government Agency Obligations - 26.2% |
||||
|
Principal |
Value |
||
U.S. Treasury Inflation Protected Obligations - 1.6% |
||||
U.S. Treasury Inflation-Indexed Bonds: |
|
|
|
|
2.125% 2/15/40 |
|
$ 74,864,698 |
$ 110,162,195 |
|
2.125% 2/15/41 |
|
74,359,727 |
110,185,958 |
|
2.5% 1/15/29 |
|
21,377,600 |
30,399,671 |
|
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS |
250,747,824 |
|||
U.S. Treasury Obligations - 24.6% |
||||
U.S. Treasury Bonds: |
|
|
|
|
2.75% 8/15/42 |
|
53,161,000 |
53,999,934 |
|
3% 5/15/42 |
|
443,275,000 |
474,442,552 |
|
4.375% 5/15/41 |
|
68,183,000 |
92,931,315 |
|
U.S. Treasury Notes: |
|
|
|
|
0.25% 9/15/14 |
|
8,937,000 |
8,939,788 |
|
0.25% 8/15/15 |
|
227,529,000 |
227,244,589 |
|
0.5% 7/31/17 |
|
170,710,000 |
170,029,891 |
|
0.875% 11/30/16 |
|
1,503,000 |
1,528,480 |
|
0.875% 4/30/17 |
|
203,188,000 |
206,267,517 |
|
0.875% 7/31/19 |
|
524,444,000 |
520,551,577 |
|
1.375% 11/30/15 |
|
88,617,000 |
91,587,087 |
|
1.75% 5/31/16 |
|
263,340,000 |
276,527,541 |
|
1.75% 5/15/22 |
|
128,707,000 |
131,401,867 |
|
2% 2/15/22 |
|
368,119,000 |
385,259,357 |
|
2.375% 2/28/15 |
|
499,922,000 |
526,128,842 |
|
2.625% 7/31/14 |
|
316,140,000 |
330,514,570 |
|
2.625% 12/31/14 (i) |
|
273,340,000 |
288,458,982 |
|
TOTAL U.S. TREASURY OBLIGATIONS |
3,785,813,889 |
|||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,882,106,237) |
|
|||
U.S. Government Agency - Mortgage Securities - 12.7% |
||||
|
||||
Fannie Mae - 9.2% |
||||
2.067% 10/1/33 (l) |
|
847,261 |
891,891 |
|
2.558% 6/1/36 (l) |
|
143,587 |
153,995 |
|
2.743% 2/1/36 (l) |
|
750,864 |
806,744 |
|
2.777% 7/1/37 (l) |
|
359,536 |
386,293 |
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Fannie Mae - continued |
||||
2.82% 12/1/35 (l) |
|
$ 540,123 |
$ 580,319 |
|
3% 10/1/26 to 7/1/42 |
|
12,568,701 |
13,307,591 |
|
3% 9/1/27 (h) |
|
13,300,000 |
14,034,618 |
|
3% 9/1/27 (h) |
|
4,900,000 |
5,170,649 |
|
3% 9/1/42 (h) |
|
3,700,000 |
3,839,378 |
|
3% 9/1/42 (h) |
|
38,800,000 |
40,261,588 |
|
3% 9/1/42 (h) |
|
35,400,000 |
36,733,511 |
|
3% 9/1/42 (h) |
|
3,400,000 |
3,528,077 |
|
3% 10/1/42 (h) |
|
37,800,000 |
39,075,750 |
|
3.5% 1/1/41 to 7/1/42 |
|
49,089,594 |
52,351,035 |
|
3.5% 9/1/42 (h) |
|
100,000 |
106,031 |
|
3.5% 9/1/42 (h) |
|
14,300,000 |
15,162,467 |
|
3.5% 9/1/42 (h) |
|
28,700,000 |
30,430,966 |
|
3.5% 9/1/42 (h) |
|
14,300,000 |
15,162,467 |
|
4% 9/1/26 to 7/1/42 |
|
165,861,114 |
180,486,162 |
|
4% 9/1/41 |
|
173,910 |
187,721 |
|
4% 10/1/41 |
|
4,265,903 |
4,636,670 |
|
4% 9/1/42 (h) |
|
57,000,000 |
61,123,597 |
|
4% 9/1/42 (h) |
|
63,000,000 |
67,557,659 |
|
4.5% 11/1/18 to 11/1/41 |
|
202,276,265 |
221,514,681 |
|
4.5% 9/1/42 (h) |
|
40,700,000 |
44,051,393 |
|
4.5% 9/1/42 (h) |
|
29,700,000 |
32,145,611 |
|
5% 5/1/19 to 6/1/40 |
|
90,847,154 |
99,811,736 |
|
5% 9/1/42 (h) |
|
58,900,000 |
64,329,838 |
|
5% 9/1/42 (h) |
|
1,000,000 |
1,092,187 |
|
5.5% 3/1/18 to 3/1/39 |
|
163,269,293 |
180,020,499 |
|
5.5% 9/1/42 (h) |
|
47,000,000 |
51,578,829 |
|
6% 4/1/21 to 7/1/41 |
|
127,131,385 |
140,124,041 |
|
6.5% 11/1/35 |
|
329,445 |
370,905 |
|
TOTAL FANNIE MAE |
1,421,014,899 |
|||
Freddie Mac - 1.5% |
||||
3.454% 10/1/35 (l) |
|
204,511 |
219,763 |
|
3.5% 4/1/32 to 6/1/42 |
|
21,071,948 |
22,546,892 |
|
4% 12/1/40 to 5/1/42 |
|
30,564,842 |
33,444,754 |
|
4% 9/1/41 |
|
1,739,596 |
1,891,742 |
|
4% 9/1/42 (h) |
|
25,000,000 |
26,746,095 |
|
4.5% 7/1/25 to 10/1/41 |
|
64,804,619 |
70,220,666 |
|
4.5% 9/1/42 (h) |
|
5,800,000 |
6,244,969 |
|
5% 1/1/35 to 8/1/40 |
|
30,256,468 |
33,173,862 |
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Freddie Mac - continued |
||||
5.5% 11/1/17 to 1/1/40 |
|
$ 25,158,432 |
$ 27,536,088 |
|
6% 7/1/37 to 8/1/37 |
|
3,951,350 |
4,346,790 |
|
TOTAL FREDDIE MAC |
226,371,621 |
|||
Ginnie Mae - 2.0% |
||||
3% 10/1/42 (h) |
|
35,400,000 |
37,081,978 |
|
3.5% 10/15/40 to 7/15/42 |
|
21,223,487 |
23,007,242 |
|
3.5% 9/1/42 (h) |
|
22,000,000 |
23,815,002 |
|
4% 1/15/25 to 12/15/41 |
|
78,762,524 |
86,290,573 |
|
4.5% 11/20/33 to 4/15/41 |
|
59,274,058 |
65,756,594 |
|
5% 3/15/39 to 9/15/41 |
|
59,182,763 |
66,063,454 |
|
6% 9/20/38 |
|
4,036,776 |
4,546,316 |
|
TOTAL GINNIE MAE |
306,561,159 |
|||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,919,176,640) |
|
|||
Asset-Backed Securities - 1.7% |
||||
|
||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7055% 4/25/35 (l) |
|
989,152 |
762,010 |
|
ACE Securities Corp. Home Equity Loan Trust: |
|
|
|
|
Series 2004-HE1 Class M2, 1.8855% 3/25/34 (l) |
|
424,989 |
346,711 |
|
Series 2005-HE2 Class M2, 0.6855% 4/25/35 (l) |
|
81,022 |
77,180 |
|
Advanta Business Card Master Trust: |
|
|
|
|
Series 2006-C1 Class C1, 0.6758% 10/20/14 (l) |
|
642,000 |
6,420 |
|
Series 2007-D1 Class D, 1.5863% 1/22/13 (f)(l) |
|
2,590,000 |
38,850 |
|
Airspeed Ltd. Series 2007-1A Class C1, 2.7395% 6/15/32 (f)(l) |
|
4,142,453 |
2,133,363 |
|
Ally Auto Receivables Trust: |
|
|
|
|
Series 2009-A Class A4, 3% 10/15/15 (f) |
|
4,103,402 |
4,129,529 |
|
Series 2010-5 Class A4, 1.75% 3/15/16 |
|
4,050,000 |
4,133,287 |
|
Series 2011-1 Class A4, 2.23% 3/15/16 |
|
18,200,000 |
18,701,981 |
|
Ally Master Owner Trust: |
|
|
|
|
Series 2010-3 Class A, 2.88% 4/15/15 (f) |
|
8,910,000 |
9,000,401 |
|
Series 2011-1 Class A2, 2.15% 1/15/16 |
|
8,870,000 |
9,030,579 |
|
Series 2011-3 Class A2, 1.81% 5/15/16 |
|
8,490,000 |
8,626,284 |
|
Series 2012-1 Class A2, 1.44% 2/15/17 |
|
18,800,000 |
18,985,174 |
|
Series 2012-3 Class A2, 1.21% 6/15/17 |
|
12,650,000 |
12,672,989 |
|
Asset-Backed Securities - continued |
||||
|
Principal |
Value |
||
AmeriCredit Automobile Receivables Trust Series 2011-1 Class A3, 1.39% 9/8/15 |
|
$ 7,520,000 |
$ 7,562,448 |
|
Ameriquest Mortgage Securities, Inc. pass-thru certificates: |
|
|
|
|
Series 2003-10 Class M1, 0.9355% 12/25/33 (l) |
|
77,599 |
58,521 |
|
Series 2004-R2 Class M3, 0.7855% 4/25/34 (l) |
|
109,047 |
43,248 |
|
Series 2005-R2 Class M1, 0.6855% 4/25/35 (l) |
|
2,064,696 |
1,849,187 |
|
Anthracite CDO I Ltd. Series 2002-CIBA Class B, 6.633% 5/24/37 (f) |
|
171,000 |
170,915 |
|
Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.5975% 3/23/19 (f)(l) |
|
162,656 |
156,149 |
|
Argent Securities, Inc. pass-thru certificates: |
|
|
|
|
Series 2003-W7 Class A2, 1.0262% 3/25/34 (l) |
|
47,932 |
38,275 |
|
Series 2004-W11 Class M2, 0.9355% 11/25/34 (l) |
|
561,149 |
394,652 |
|
Series 2004-W7 Class M1, 0.7855% 5/25/34 (l) |
|
1,542,998 |
1,095,396 |
|
Series 2006-W4 Class A2C, 0.3955% 5/25/36 (l) |
|
1,302,115 |
393,528 |
|
Asset Backed Securities Corp. Home Equity Loan Trust: |
|
|
|
|
Series 2004-HE2 Class M1, 1.0605% 4/25/34 (l) |
|
2,346,371 |
1,931,979 |
|
Series 2006-HE2 Class M1, 0.6055% 3/25/36 (l) |
|
64,676 |
482 |
|
Axon Financial Funding Ltd. Series 2007-1 Class A1, 0.9743% 4/4/17 (c)(f)(l) |
|
7,217,000 |
1 |
|
Bank of America Auto Trust Series 2009-1A Class A4, 3.52% 6/15/16 (f) |
|
3,644,028 |
3,671,861 |
|
BMW Vehicle Lease Trust Series 2011-1 Class A4, 1.4% 8/20/14 |
|
11,060,000 |
11,160,546 |
|
Capital One Multi-Asset Execution Trust Series 2008-A3 Class A3, 5.05% 2/15/16 |
|
5,700,000 |
5,861,857 |
|
Capital Trust Ltd. Series 2004-1: |
|
|
|
|
Class A2, 0.687% 7/20/39 (f)(l) |
|
125,801 |
113,536 |
|
Class B, 0.987% 7/20/39 (f)(l) |
|
263,810 |
118,055 |
|
Class C, 1.337% 7/20/39 (f)(l) |
|
339,379 |
5,091 |
|
Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A: |
|
|
|
|
Class A2, 5.16% 6/25/35 (f) |
|
601,509 |
612,036 |
|
Class B, 5.267% 6/25/35 (f) |
|
1,000,000 |
1,007,500 |
|
CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.7076% 1/20/37 (f)(l) |
|
154,123 |
138,803 |
|
Capmark VII Ltd. Series 2006-7A Class H, 1.7895% 8/15/36 (f)(l) |
|
533,304 |
0 |
|
Carmax Auto Owner Trust Series 2011-1 Class A3, 1.29% 9/15/15 |
|
7,906,638 |
7,953,413 |
|
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3755% 12/25/36 (l) |
|
1,802,588 |
718,008 |
|
Asset-Backed Securities - continued |
||||
|
Principal |
Value |
||
CBRE Realty Finance CDO LLC Series 2007-1A Class A1, 0.7096% 4/7/52 (f)(l) |
|
$ 880,185 |
$ 651,337 |
|
Chase Issuance Trust Series 2007-A17 Class A, 5.12% 10/15/14 |
|
5,000,000 |
5,029,375 |
|
Chrysler Financial Auto Securitization Trust Series 2010-A Class A3, 0.91% 8/8/13 |
|
5,602,047 |
5,603,471 |
|
Citibank Credit Card Issuance Trust Series 2009-A5 Class A5, 2.25% 12/23/14 |
|
35,600,000 |
35,809,114 |
|
Countrywide Asset-Backed Certificates Trust Series 2007-4 Class A1A, 0.3662% 9/25/37 (l) |
|
129,071 |
128,119 |
|
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (f) |
|
811,000 |
0 |
|
Countrywide Home Loans, Inc.: |
|
|
|
|
Series 2003-BC1 Class B1, 5.4962% 3/25/32 (MGIC Investment Corp. Insured) (l) |
|
11,800 |
3,737 |
|
Series 2004-3 Class M4, 1.2055% 4/25/34 (l) |
|
159,665 |
72,569 |
|
Series 2004-4 Class M2, 1.0305% 6/25/34 (l) |
|
587,945 |
337,959 |
|
Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A: |
|
|
|
|
Class B1, 6.065% 12/28/35 (f) |
|
500,000 |
491,850 |
|
Class B2, 1.8106% 12/28/35 (f)(l) |
|
500,000 |
475,000 |
|
Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A: |
|
|
|
|
Class B1, 1.9606% 6/28/38 (f)(l) |
|
100,000 |
98,500 |
|
Class D, 9% 6/28/38 (f) |
|
203,124 |
132,031 |
|
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 |
|
540,000 |
507,108 |
|
Fannie Mae Series 2004-T5 Class AB3, 1.1466% 5/28/35 (l) |
|
38,916 |
24,267 |
|
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.4105% 8/25/34 (l) |
|
290,872 |
179,296 |
|
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0605% 3/25/34 (l) |
|
22,872 |
9,752 |
|
Ford Credit Auto Lease Trust Series 2010-B Class A3, 0.91% 7/15/13 (f) |
|
367,242 |
367,300 |
|
Ford Credit Auto Owner Trust: |
|
|
|
|
Series 2009-D: |
|
|
|
|
Class A3, 2.17% 10/15/13 |
|
163,998 |
164,104 |
|
Class A4, 2.98% 8/15/14 |
|
4,800,000 |
4,852,958 |
|
Series 2010-B Class A3, 0.98% 10/15/14 |
|
4,377,078 |
4,386,944 |
|
Ford Credit Floorplan Master Owner Trust Series 2010-5 Class A1, 1.5% 9/15/15 |
|
10,710,000 |
10,821,326 |
|
Fremont Home Loan Trust Series 2005-A: |
|
|
|
|
Class M3, 0.9705% 1/25/35 (l) |
|
948,695 |
296,089 |
|
Asset-Backed Securities - continued |
||||
|
Principal |
Value |
||
Fremont Home Loan Trust Series 2005-A: - continued |
|
|
|
|
Class M4, 1.2555% 1/25/35 (l) |
|
$ 363,547 |
$ 47,992 |
|
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.8069% 2/25/47 (f)(l) |
|
2,892,000 |
1,189,480 |
|
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (f) |
|
902,698 |
871,104 |
|
GE Business Loan Trust: |
|
|
|
|
Series 2003-1 Class A, 0.6695% 4/15/31 (f)(l) |
|
196,854 |
185,237 |
|
Series 2006-2A: |
|
|
|
|
Class A, 0.4195% 11/15/34 (f)(l) |
|
1,753,298 |
1,508,465 |
|
Class B, 0.5195% 11/15/34 (f)(l) |
|
633,344 |
438,042 |
|
Class C, 0.6195% 11/15/34 (f)(l) |
|
1,052,592 |
599,794 |
|
Class D, 0.9895% 11/15/34 (f)(l) |
|
399,703 |
124,161 |
|
GSAMP Trust Series 2004-AR1 Class B4, 4.4613% 6/25/34 (f)(l) |
|
215,708 |
73,971 |
|
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3: |
|
|
|
|
Class C, 0.7855% 9/25/46 (f)(l) |
|
1,403,242 |
1,349,358 |
|
Class E, 1.8855% 9/25/46 (f)(l) |
|
250,000 |
87,625 |
|
Home Equity Asset Trust: |
|
|
|
|
Series 2003-2 Class M1, 1.5555% 8/25/33 (l) |
|
375,633 |
293,405 |
|
Series 2003-3 Class M1, 1.5255% 8/25/33 (l) |
|
678,750 |
567,949 |
|
Series 2003-5 Class A2, 0.9355% 12/25/33 (l) |
|
32,929 |
26,901 |
|
Series 2006-3N Class B, 6.5% 8/27/36 (f) |
|
250,000 |
0 |
|
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4255% 1/25/37 (l) |
|
1,522,035 |
508,803 |
|
John Deere Owner Trust Series 2011-A Class A4, 1.96% 4/16/18 |
|
4,810,000 |
4,934,502 |
|
JPMorgan Mortgage Acquisition Trust: |
|
|
|
|
Series 2006-NC2 Class M2, 0.5355% 7/25/36 (l) |
|
204,000 |
2,824 |
|
Series 2007-CH1 Class AV4, 0.3655% 11/25/36 (l) |
|
1,520,141 |
1,395,573 |
|
Keycorp Student Loan Trust: |
|
|
|
|
Series 1999-A Class A2, 0.7906% 12/27/29 (l) |
|
519,111 |
466,760 |
|
Series 2006-A Class 2C, 1.6106% 3/27/42 (l) |
|
3,243,000 |
154,264 |
|
Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 0.3955% 11/25/36 (l) |
|
5,356,225 |
1,936,190 |
|
Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6655% 5/25/46 (f)(l) |
|
250,000 |
160,000 |
|
Marriott Vacation Club Owner Trust Series 2006-2A: |
|
|
|
|
Class B, 5.442% 10/20/28 (f) |
|
13,272 |
13,341 |
|
Class C, 5.691% 10/20/28 (f) |
|
5,899 |
5,916 |
|
Class D, 6.01% 10/20/28 (f) |
|
70,232 |
70,293 |
|
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.5355% 5/25/37 (l) |
|
784,792 |
6,167 |
|
Asset-Backed Securities - continued |
||||
|
Principal |
Value |
||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9855% 7/25/34 (l) |
|
$ 162,992 |
$ 103,745 |
|
Merrill Lynch Mortgage Investors Trust: |
|
|
|
|
Series 2003-OPT1 Class M1, 1.2105% 7/25/34 (l) |
|
499,279 |
331,788 |
|
Series 2006-FM1 Class A2B, 0.3455% 4/25/37 (l) |
|
1,466,757 |
1,323,447 |
|
Series 2006-OPT1 Class A1A, 0.4955% 6/25/35 (l) |
|
2,859,684 |
2,302,070 |
|
Morgan Stanley ABS Capital I Trust: |
|
|
|
|
Series 2004-HE6 Class A2, 0.5755% 8/25/34 (l) |
|
57,368 |
45,202 |
|
Series 2004-NC8 Class M6, 1.4855% 9/25/34 (l) |
|
27,201 |
11,703 |
|
Series 2005-NC1 Class M1, 0.6755% 1/25/35 (l) |
|
399,800 |
240,767 |
|
Series 2005-NC2 Class B1, 1.4055% 3/25/35 (l) |
|
416,362 |
49,491 |
|
N-Star Real Estate CDO Ltd. Series 1A: |
|
|
|
|
Class B1, 2.1019% 8/28/38 (f)(l) |
|
220,000 |
195,800 |
|
Class C1B, 7.696% 8/28/38 (f) |
|
64,212 |
51,370 |
|
National Collegiate Student Loan Trust: |
|
|
|
|
Series 2004-2 Class AIO, 9.75% 10/27/14 (n) |
|
7,651,000 |
100,396 |
|
Series 2006-4 Class D, 1.3355% 5/25/32 (l) |
|
2,481,000 |
251 |
|
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7455% 9/25/35 (l) |
|
1,426,957 |
921,695 |
|
Nissan Auto Receivables Owner Trust: |
|
|
|
|
Series 2010-A Class A4, 1.31% 9/15/16 |
|
5,950,000 |
6,008,173 |
|
Series 2011-A Class A4, 1.94% 9/15/17 |
|
11,750,000 |
12,123,768 |
|
Ocala Funding LLC: |
|
|
|
|
Series 2005-1A Class A, 1.737% 3/20/10 (c)(f)(l) |
|
566,000 |
0 |
|
Series 2006-1A Class A, 1.637% 3/20/11 (c)(f)(l) |
|
1,176,000 |
0 |
|
Park Place Securities, Inc.: |
|
|
|
|
Series 2004-WCW1: |
|
|
|
|
Class M3, 1.4855% 9/25/34 (l) |
|
532,896 |
231,934 |
|
Class M4, 1.6855% 9/25/34 (l) |
|
683,353 |
154,950 |
|
Series 2005-WCH1 Class M4, 1.0655% 1/25/36 (l) |
|
1,475,804 |
843,390 |
|
Prima Capital CDO Ltd./Prima Capital CDO Corp. Series 2005-1A Class D, 5.194% 7/24/39 (f) |
|
194,862 |
194,862 |
|
Prima Capital Ltd. Series 2006-CR1A Class A2, 5.533% 12/28/48 (f) |
|
541,000 |
530,180 |
|
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.1855% 9/25/46 (f)(l) |
|
250,000 |
55,000 |
|
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0355% 4/25/33 (l) |
|
5,108 |
4,317 |
|
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0305% 3/25/35 (l) |
|
1,268,559 |
919,535 |
|
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3968% 3/20/19 (FGIC Insured) (f)(l) |
|
411,598 |
402,780 |
|
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.4179% 6/15/33 (l) |
|
1,272,000 |
770,313 |
|
Asset-Backed Securities - continued |
||||
|
Principal |
Value |
||
Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (f) |
|
$ 656,637 |
$ 0 |
|
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9605% 9/25/34 (l) |
|
63,686 |
21,670 |
|
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (f) |
|
475,493 |
487,515 |
|
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0955% 9/25/34 (l) |
|
28,819 |
26,005 |
|
TIAA Real Estate CDO Ltd./TIAA Real Estate CDO Corp. Series 2003-1A Class B2, 5.4802% 12/28/38 (f) |
|
111,000 |
109,335 |
|
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.0196% 4/6/42 (f)(l) |
|
2,647,319 |
33,091 |
|
Wachovia Ltd./Wachovia LLC: |
|
|
|
|
Series 2006-1 Class 1ML, 5.9676% 9/25/26 (f)(l) |
|
400,000 |
200,000 |
|
Series 2006-1A: |
|
|
|
|
Class A1A, 0.7276% 9/25/26 (f)(l) |
|
1,275,257 |
1,160,483 |
|
Class A1B, 0.7976% 9/25/26 (f)(l) |
|
1,033,000 |
878,050 |
|
Class A2A, 0.6876% 9/25/26 (f)(l) |
|
768,814 |
757,282 |
|
Class A2B, 0.7776% 9/25/26 (f)(l) |
|
250,000 |
221,875 |
|
Class B, 0.8276% 9/25/26 (f)(l) |
|
250,000 |
205,000 |
|
Class C 0.9976% 9/25/26 (f)(l) |
|
250,000 |
200,000 |
|
Class F, 1.6176% 9/25/26 (f)(l) |
|
250,000 |
186,250 |
|
Class G, 1.8176% 9/25/26 (f)(l) |
|
326,000 |
235,535 |
|
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (f) |
|
887,552 |
0 |
|
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (f) |
|
7,938 |
0 |
|
Whinstone Capital Management Ltd. Series 1A Class B3, 2.2511% 10/25/44 (f)(l) |
|
1,789,540 |
1,181,096 |
|
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A: |
|
|
|
|
Class A1, 0.7545% 11/21/40 (f)(l) |
|
491,427 |
427,542 |
|
Class D, 1.2845% 11/21/40 (f)(l) |
|
305,000 |
112,850 |
|
TOTAL ASSET-BACKED SECURITIES (Cost $250,614,565) |
|
|||
Collateralized Mortgage Obligations - 0.4% |
||||
|
||||
Private Sponsor - 0.4% |
||||
ABN AMRO Mortgage Corp. Series 2003-9 Class B5, 4.5164% 8/25/18 (f) |
|
158,925 |
44,742 |
|
Bayview Commercial Asset Trust Series 2006-3A, Class IO, 3.9199% 10/25/36 (f)(l)(n) |
|
8,627,914 |
304,801 |
|
Collateralized Mortgage Obligations - continued |
||||
|
Principal |
Value |
||
Private Sponsor - continued |
||||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7955% 1/25/35 (l) |
|
$ 1,788,802 |
$ 1,540,344 |
|
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (l) |
|
2,125,000 |
891,565 |
|
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7385% 7/16/34 (f)(l) |
|
11,356 |
11,358 |
|
Countrywide Alternative Loan Trust Series 2006-OC5N Class N, 7.25% 7/25/37 (f) |
|
78,237 |
0 |
|
Countrywide Home Loans, Inc.: |
|
|
|
|
Series 2003-28 Class B3, 5.5% 8/25/33 |
|
49,127 |
13,995 |
|
Series 2003-35 Class B, 4.6386% 9/25/18 (l) |
|
75,999 |
19,000 |
|
Credit Suisse First Boston Mortgage Securities Corp.: |
|
|
|
|
Series 2003-17 Class B4, 0% 6/25/33 (l) |
|
215,141 |
96,813 |
|
Series 2004-3 Class DB4, 5.8253% 4/25/34 (l) |
|
20,447 |
51 |
|
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.623% 10/25/34 (l) |
|
1,308,293 |
1,259,899 |
|
FREMF Mortgage Trust: |
|
|
|
|
Series 2010 K7 Class B, 5.4352% 4/25/20 (f)(l) |
|
1,000,000 |
1,105,996 |
|
Series 2010-K6 Class B, 5.3579% 12/25/46 (f)(l) |
|
910,000 |
1,000,528 |
|
GMAC Commercial Mortgage Securities, Inc. Series 1993-C3 Class L, 6.974% 8/15/36 |
|
10,124 |
5 |
|
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (f) |
|
53,420 |
13,355 |
|
Granite Master Issuer PLC floater: |
|
|
|
|
Series 2005-4 Class C2, 1.337% 12/20/54 (l) |
|
205,017 |
154,788 |
|
Series 2006-1A Class C2, 1.437% 12/20/54 (f)(l) |
|
6,523,000 |
4,924,865 |
|
Series 2006-2 Class C1, 1.177% 12/20/54 (l) |
|
21,543,000 |
16,264,965 |
|
Series 2006-3 Class C2, 0.737% 12/20/54 (l) |
|
1,124,000 |
848,620 |
|
Series 2006-4: |
|
|
|
|
Class B1, 0.417% 12/20/54 (l) |
|
4,521,000 |
4,125,413 |
|
Class C1, 0.997% 12/20/54 (l) |
|
2,767,000 |
2,089,085 |
|
Class M1, 0.577% 12/20/54 (l) |
|
1,190,000 |
1,035,300 |
|
Series 2007-1: |
|
|
|
|
Class 1C1, 0.837% 12/20/54 (l) |
|
2,234,000 |
1,686,670 |
|
Class 1M1, 0.537% 12/20/54 (l) |
|
1,493,000 |
1,298,910 |
|
Class 2C1, 1.197% 12/20/54 (l) |
|
1,015,000 |
766,325 |
|
Class 2M1, 0.737% 12/20/54 (l) |
|
1,917,000 |
1,667,790 |
|
Series 2007-2 Class 2C1, 1.098% 12/17/54 (l) |
|
2,654,000 |
2,003,770 |
|
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.9051% 1/20/44 (l) |
|
430,241 |
340,536 |
|
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 4.7138% 3/25/37 (l) |
|
4,073,799 |
4,129,304 |
|
Collateralized Mortgage Obligations - continued |
||||
|
Principal |
Value |
||
Private Sponsor - continued |
||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (l) |
|
$ 2,216,732 |
$ 2,344,852 |
|
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 5.6881% 8/25/36 (l) |
|
2,159,278 |
1,662,304 |
|
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39 |
|
857,000 |
989,518 |
|
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4455% 5/25/47 (l) |
|
2,522,912 |
1,614,370 |
|
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4055% 2/25/37 (l) |
|
6,029,286 |
4,729,694 |
|
Merrill Lynch Mortgage Investors Trust Series 1998-C3 Class F, 6% 12/15/30 (f) |
|
930,000 |
937,410 |
|
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5255% 7/25/35 (l) |
|
1,865,850 |
1,516,856 |
|
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: |
|
|
|
|
Class B5, 2.5903% 7/10/35 (f)(l) |
|
1,101,069 |
877,291 |
|
Class B6, 3.0903% 7/10/35 (f)(l) |
|
245,498 |
194,084 |
|
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6855% 6/25/33 (f)(l) |
|
209,235 |
200,865 |
|
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (f) |
|
268,000 |
90,086 |
|
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.6169% 7/20/34 (l) |
|
34,224 |
30,351 |
|
Structured Asset Securities Corp. Series 2003-15A Class 4A, 5.3743% 4/25/33 (l) |
|
414,657 |
386,477 |
|
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4355% 9/25/36 (l) |
|
3,200,850 |
2,752,223 |
|
Wells Fargo Mortgage Backed Securities Trust: |
|
|
|
|
Series 2003-12 Class B6, 4.75% 11/25/18 (f) |
|
110,459 |
49,707 |
|
Series 2005-AR2 Class 1A2, 2.6153% 3/25/35 (l) |
|
3,037,239 |
1,588,607 |
|
TOTAL PRIVATE SPONSOR |
67,603,488 |
|||
U.S. Government Agency - 0.0% |
||||
Fannie Mae planned amortization class Series 2002-9 Class PC, 6% 3/25/17 |
|
183,585 |
196,169 |
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $38,530,628) |
|
|||
Commercial Mortgage Securities - 4.9% |
||||
|
Principal |
Value |
||
ACGS Series 2004-1 Class P, 7.4651% 8/1/19 (o) |
|
$ 456,062 |
$ 442,185 |
|
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (f) |
|
180,000 |
205,667 |
|
Asset Securitization Corp.: |
|
|
|
|
Series 1996-D2 Class B1A, 8.4864% 2/14/29 (f)(l) |
|
290,368 |
304,055 |
|
Series 1997-D4: |
|
|
|
|
Class B2, 7.525% 4/14/29 |
|
563,961 |
572,511 |
|
Class B5, 7.525% 4/14/29 |
|
129,000 |
109,932 |
|
Series 1997-D5: |
|
|
|
|
Class A6, 7.1354% 2/14/43 (l) |
|
245,438 |
246,803 |
|
Class A7, 7.3754% 2/14/43 (l) |
|
820,000 |
824,298 |
|
Class PS1, 1.2297% 2/14/43 (l)(n) |
|
1,080,614 |
31,940 |
|
Banc of America Commercial Mortgage Trust: |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2006-2 Class AAB, 5.7087% 5/10/45 (l) |
|
1,568,620 |
1,659,548 |
|
Series 2006-4 Class AM, 5.675% 7/10/46 |
|
1,000,000 |
1,095,117 |
|
Series 2006-5: |
|
|
|
|
Class A2, 5.317% 9/10/47 |
|
5,526,415 |
5,556,882 |
|
Class A3, 5.39% 9/10/47 |
|
2,653,000 |
2,814,844 |
|
Series 2006-6 Class A3, 5.369% 10/10/45 |
|
3,804,000 |
4,157,776 |
|
Series 2007-4 Class A3, 5.7921% 2/10/51 (l) |
|
1,869,164 |
1,944,009 |
|
Series 2006-6 Class E, 5.619% 10/10/45 (f) |
|
1,098,000 |
109,910 |
|
Series 2007-3: |
|
|
|
|
Class A3, 5.6612% 6/10/49 (l) |
|
3,176,000 |
3,237,856 |
|
Class A4, 5.6612% 6/10/49 (l) |
|
3,965,000 |
4,535,282 |
|
Series 2008-1 Class D, 6.2489% 2/10/51 (f)(l) |
|
125,000 |
44,312 |
|
Banc of America Commercial Mortgage, Inc.: |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2001-1 Class A4, 5.451% 1/15/49 |
|
4,166,000 |
4,772,786 |
|
Series 2002-2 Class F, 5.487% 7/11/43 |
|
415,000 |
417,700 |
|
Series 2004-2 Class A4, 4.153% 11/10/38 |
|
2,035,414 |
2,091,864 |
|
Series 2005-1 Class A3, 4.877% 11/10/42 |
|
746,767 |
746,240 |
|
Series 2005-4 Class AJ, 5.038% 7/10/45 (l) |
|
530,000 |
527,046 |
|
Series 2001-3 Class H, 6.562% 4/11/37 (f) |
|
1,472,000 |
1,471,227 |
|
Series 2003-1 Class G, 5.608% 9/11/36 (f) |
|
310,000 |
311,649 |
|
Series 2004-1 Class F, 5.279% 11/10/39 (f) |
|
185,000 |
154,668 |
|
Series 2004-4: |
|
|
|
|
Class K, 4.637% 7/10/42 (f)(l) |
|
300,000 |
2,340 |
|
Class L, 4.637% 7/10/42 (f)(l) |
|
280,000 |
506 |
|
Series 2004-5 Class G, 5.5625% 11/10/41 (f)(l) |
|
195,000 |
148,583 |
|
Series 2005-1 Class CJ, 5.1989% 11/10/42 (l) |
|
550,000 |
575,680 |
|
Series 2005-3 Class A3B, 5.09% 7/10/43 (l) |
|
5,908,000 |
6,222,223 |
|
Series 2005-6 Class AJ, 5.1929% 9/10/47 (l) |
|
300,000 |
315,997 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Banc of America Large Loan Trust floater Series 2010-HLTN Class HLTN, 1.9895% 11/15/15 (f)(l) |
|
$ 836,124 |
$ 819,399 |
|
Banc of America Large Loan, Inc. floater: |
|
|
|
|
Series 2005-MIB1: |
|
|
|
|
Class B, 0.4995% 3/15/22 (f)(l) |
|
230,977 |
229,855 |
|
Class C, 0.5495% 3/15/22 (f)(l) |
|
1,357,000 |
1,343,621 |
|
Class D, 0.5995% 3/15/22 (f)(l) |
|
826,000 |
813,726 |
|
Class E, 0.6395% 3/15/22 (f)(l) |
|
684,000 |
670,416 |
|
Class F, 0.7095% 3/15/22 (f)(l) |
|
615,784 |
597,397 |
|
Class G, 0.7695% 3/15/22 (f)(l) |
|
399,119 |
379,219 |
|
Class J, 1.2895% 3/15/22 (f)(l) |
|
678,000 |
617,076 |
|
Class K, 2.2395% 3/15/22 (f)(l) |
|
427,499 |
260,835 |
|
Series 2006-BIX1: |
|
|
|
|
Class D, 0.4495% 10/15/19 (f)(l) |
|
166,047 |
161,066 |
|
Class E, 0.4795% 10/15/19 (f)(l) |
|
1,385,000 |
1,308,825 |
|
Class F, 0.5495% 10/15/19 (f)(l) |
|
3,150,730 |
2,961,686 |
|
Class G, 0.5695% 10/15/19 (f)(l) |
|
1,245,579 |
1,158,388 |
|
Bayview Commercial Asset Trust: |
|
|
|
|
floater: |
|
|
|
|
Series 2003-2 Class M1, 1.0855% 12/25/33 (f)(l) |
|
59,110 |
42,871 |
|
Series 2004-1: |
|
|
|
|
Class B, 2.1355% 4/25/34 (f)(l) |
|
116,840 |
68,331 |
|
Class M1, 0.7955% 4/25/34 (f)(l) |
|
93,807 |
66,710 |
|
Class M2, 1.4355% 4/25/34 (f)(l) |
|
86,665 |
60,942 |
|
Series 2005-2A: |
|
|
|
|
Class A1, 0.5455% 8/25/35 (f)(l) |
|
1,515,564 |
1,093,707 |
|
Class M1, 0.6655% 8/25/35 (f)(l) |
|
75,477 |
44,295 |
|
Class M2, 0.7155% 8/25/35 (f)(l) |
|
124,486 |
66,983 |
|
Class M3, 0.7355% 8/25/35 (f)(l) |
|
68,875 |
34,015 |
|
Series 2005-3A: |
|
|
|
|
Class A2, 0.6355% 11/25/35 (f)(l) |
|
536,712 |
421,939 |
|
Class M1, 0.6755% 11/25/35 (f)(l) |
|
64,056 |
36,032 |
|
Class M2, 0.7255% 11/25/35 (f)(l) |
|
81,326 |
43,877 |
|
Class M3, 0.7455% 11/25/35 (f)(l) |
|
72,785 |
37,435 |
|
Class M4, 0.8355% 11/25/35 (f)(l) |
|
90,684 |
42,699 |
|
Series 2005-4A: |
|
|
|
|
Class A2, 0.6255% 1/25/36 (f)(l) |
|
1,268,721 |
898,826 |
|
Class B1, 1.6355% 1/25/36 (f)(l) |
|
109,639 |
16,089 |
|
Class M1, 0.6855% 1/25/36 (f)(l) |
|
409,265 |
252,721 |
|
Class M2, 0.7055% 1/25/36 (f)(l) |
|
122,780 |
70,817 |
|
Class M3, 0.7355% 1/25/36 (f)(l) |
|
179,310 |
95,779 |
|
Class M4, 0.8455% 1/25/36 (f)(l) |
|
99,168 |
48,430 |
|
Class M5, 0.8855% 1/25/36 (f)(l) |
|
99,168 |
33,079 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Bayview Commercial Asset Trust: - continued |
|
|
|
|
floater: |
|
|
|
|
Series 2005-4A: |
|
|
|
|
Class M6, 0.9355% 1/25/36 (f)(l) |
|
$ 105,328 |
$ 28,074 |
|
Series 2006-1: |
|
|
|
|
Class A2, 0.5955% 4/25/36 (f)(l) |
|
196,302 |
144,843 |
|
Class M1, 0.6155% 4/25/36 (f)(l) |
|
70,209 |
41,563 |
|
Class M2, 0.6355% 4/25/36 (f)(l) |
|
74,180 |
40,951 |
|
Class M3, 0.6555% 4/25/36 (f)(l) |
|
63,826 |
32,417 |
|
Class M4, 0.7555% 4/25/36 (f)(l) |
|
36,168 |
16,809 |
|
Class M5, 0.7955% 4/25/36 (f)(l) |
|
35,105 |
12,322 |
|
Class M6, 0.8755% 4/25/36 (f)(l) |
|
69,996 |
23,323 |
|
Series 2006-2A: |
|
|
|
|
Class A1, 0.4655% 7/25/36 (f)(l) |
|
3,503,299 |
2,469,751 |
|
Class A2, 0.5155% 7/25/36 (f)(l) |
|
173,321 |
122,562 |
|
Class B1, 1.1055% 7/25/36 (f)(l) |
|
64,893 |
9,188 |
|
Class B3, 2.9355% 7/25/36 (f)(l) |
|
60,694 |
1,852 |
|
Class M1, 0.5455% 7/25/36 (f)(l) |
|
181,849 |
59,489 |
|
Class M2, 0.5655% 7/25/36 (f)(l) |
|
128,303 |
38,255 |
|
Class M3, 0.5855% 7/25/36 (f)(l) |
|
106,425 |
24,014 |
|
Class M4, 0.6555% 7/25/36 (f)(l) |
|
71,865 |
15,264 |
|
Class M5, 0.7055% 7/25/36 (f)(l) |
|
88,329 |
17,050 |
|
Class M6, 0.7755% 7/25/36 (f)(l) |
|
131,789 |
21,146 |
|
Series 2006-3A: |
|
|
|
|
Class B1, 1.0355% 10/25/36 (f)(l) |
|
3,745 |
30 |
|
Class M4, 0.6655% 10/25/36 (f)(l) |
|
143,297 |
21,570 |
|
Class M5, 0.7155% 10/25/36 (f)(l) |
|
171,547 |
11,151 |
|
Class M6, 0.7955% 10/25/36 (f)(l) |
|
336,179 |
7,802 |
|
Series 2006-4A: |
|
|
|
|
Class A1, 0.4655% 12/25/36 (f)(l) |
|
747,965 |
507,944 |
|
Class A2, 0.5055% 12/25/36 (f)(l) |
|
3,805,836 |
1,772,556 |
|
Class B1, 0.9355% 12/25/36 (f)(l) |
|
71,466 |
1,519 |
|
Class M1, 0.5255% 12/25/36 (f)(l) |
|
243,457 |
50,013 |
|
Class M2, 0.5455% 12/25/36 (f)(l) |
|
162,305 |
24,961 |
|
Class M3, 0.5755% 12/25/36 (f)(l) |
|
164,575 |
22,117 |
|
Class M4, 0.6355% 12/25/36 (f)(l) |
|
196,922 |
22,526 |
|
Class M5, 0.6755% 12/25/36 (f)(l) |
|
181,032 |
14,791 |
|
Class M6, 0.7555% 12/25/36 (f)(l) |
|
162,305 |
8,885 |
|
Series 2007-1 Class A2, 0.5055% 3/25/37 (f)(l) |
|
813,631 |
438,007 |
|
Series 2007-2A: |
|
|
|
|
Class A1, 0.5055% 7/25/37 (f)(l) |
|
770,707 |
433,967 |
|
Class A2, 0.5555% 7/25/37 (f)(l) |
|
720,121 |
238,656 |
|
Class B1, 1.8355% 7/25/37 (f)(l) |
|
104,716 |
1,443 |
|
Class M1, 0.6055% 7/25/37 (f)(l) |
|
252,866 |
65,599 |
|
Class M2, 0.6455% 7/25/37 (f)(l) |
|
138,176 |
16,582 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Bayview Commercial Asset Trust: - continued |
|
|
|
|
floater: |
|
|
|
|
Series 2007-2A: |
|
|
|
|
Class M3, 0.7255% 7/25/37 (f)(l) |
|
$ 140,103 |
$ 13,703 |
|
Class M4, 0.8855% 7/25/37 (f)(l) |
|
276,611 |
22,025 |
|
Class M5, 0.9855% 7/25/37 (f)(l) |
|
243,838 |
17,389 |
|
Class M6, 1.2355% 7/25/37 (f)(l) |
|
309,171 |
15,450 |
|
Series 2007-3: |
|
|
|
|
Class A2, 0.5255% 7/25/37 (f)(l) |
|
753,626 |
382,623 |
|
Class B1, 1.1855% 7/25/37 (f)(l) |
|
183,174 |
12,317 |
|
Class B2, 1.8355% 7/25/37 (f)(l) |
|
430,380 |
23,392 |
|
Class M1, 0.5455% 7/25/37 (f)(l) |
|
163,681 |
38,015 |
|
Class M2, 0.5755% 7/25/37 (f)(l) |
|
175,436 |
31,147 |
|
Class M3, 0.6055% 7/25/37 (f)(l) |
|
276,444 |
37,907 |
|
Class M4, 0.7355% 7/25/37 (f)(l) |
|
434,058 |
50,665 |
|
Class M5, 0.8355% 7/25/37 (f)(l) |
|
225,145 |
23,033 |
|
Class M6, 1.0355% 7/25/37 (f)(l) |
|
171,679 |
14,969 |
|
Series 2007-4A: |
|
|
|
|
Class M1, 1.1855% 9/25/37 (f)(l) |
|
291,207 |
18,380 |
|
Class M2, 1.2855% 9/25/37 (f)(l) |
|
291,207 |
15,208 |
|
Class M4, 1.8355% 9/25/37 (f)(l) |
|
744,809 |
29,951 |
|
Class M5, 1.9855% 9/25/37 (f)(l) |
|
744,809 |
22,924 |
|
Class M6, 2.1855% 9/25/37 (f)(l) |
|
486,481 |
11,804 |
|
Series 2004-1, Class IO, 1.25% 4/25/34 (f)(n) |
|
3,264,279 |
132,203 |
|
Series 2007-5A, Class IO, 4.1484% 10/25/37 (f)(l)(n) |
|
8,346,537 |
722,570 |
|
Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.4508% 3/11/39 (l) |
|
450,000 |
433,366 |
|
Bear Stearns Commercial Mortgage Securities Trust: |
|
|
|
|
floater: |
|
|
|
|
Series 2006-BBA7: |
|
|
|
|
Class H, 0.8895% 3/15/19 (f)(l) |
|
400,163 |
386,091 |
|
Class J, 1.0895% 3/15/19 (f)(l) |
|
407,118 |
372,955 |
|
Series 2007-BBA8: |
|
|
|
|
Class D, 0.4895% 3/15/22 (f)(l) |
|
655,330 |
591,716 |
|
Class E, 0.5395% 3/15/22 (f)(l) |
|
3,607,157 |
3,184,860 |
|
Class F, 0.5895% 3/15/22 (f)(l) |
|
2,235,922 |
1,929,440 |
|
Class G, 0.6395% 3/15/22 (f)(l) |
|
537,549 |
453,115 |
|
Class H, 0.7895% 3/15/22 (f)(l) |
|
655,330 |
539,289 |
|
Class J, 0.9395% 3/15/22 (f)(l) |
|
655,330 |
522,906 |
|
sequential payer: |
|
|
|
|
Series 2004-PWR3 Class A3, 4.487% 2/11/41 |
|
435,607 |
439,416 |
|
Series 2006-PW14 Class AM, 5.243% 12/11/38 |
|
600,000 |
650,741 |
|
Series 2006-T22 Class AJ, 5.5391% 4/12/38 (l) |
|
400,000 |
412,745 |
|
Series 2007-PW16 Class A4, 5.7154% 6/11/40 (l) |
|
1,112,000 |
1,302,622 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Bear Stearns Commercial Mortgage Securities Trust: - continued |
|
|
|
|
sequential payer: |
|
|
|
|
Series 1999-C1: |
|
|
|
|
Class G, 5.64% 2/14/31 (f) |
|
$ 70,000 |
$ 70,698 |
|
Class I, 5.64% 2/14/31 (f) |
|
201,950 |
147,898 |
|
Series 2003-T10 Class B, 4.84% 3/13/40 |
|
1,000,000 |
1,013,756 |
|
Series 2006-PW13 Class A3, 5.518% 9/11/41 |
|
6,714,000 |
7,019,796 |
|
Series 2006-PW14 Class X2, 0.6677% 12/11/38 (f)(l)(n) |
|
20,026,973 |
163,518 |
|
Series 2006-T22: |
|
|
|
|
Class A4, 5.5391% 4/12/38 (l) |
|
237,000 |
270,990 |
|
Class B, 5.5391% 4/12/38 (f)(l) |
|
200,000 |
190,597 |
|
Series 2006-T24 Class X2, 0.4455% 10/12/41 (f)(l)(n) |
|
3,435,357 |
16,345 |
|
Series 2007-BBA8: |
|
|
|
|
Class K, 1.4395% 3/15/22 (f)(l) |
|
120,000 |
93,759 |
|
Class L, 2.1395% 3/15/22 (f)(l) |
|
253,498 |
162,406 |
|
Series 2007-PW18 Class X2, 0.3156% 6/11/50 (f)(l)(n) |
|
133,870,169 |
1,249,946 |
|
Series 2007-T28 Class X2, 0.1576% 9/11/42 (f)(l)(n) |
|
72,025,455 |
383,031 |
|
Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (f) |
|
317,973 |
319,563 |
|
C-BASS Trust floater Series 2006-SC1 Class A, 0.5055% 5/25/36 (f)(l) |
|
703,227 |
608,997 |
|
CDC Commercial Mortgage Trust Series 2002-FX1: |
|
|
|
|
Class G, 6.625% 5/15/35 (f) |
|
2,235,000 |
2,304,388 |
|
Class XCL, 1.331% 5/15/35 (f)(l)(n) |
|
7,622,427 |
148,531 |
|
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.5599% 12/15/47 (f)(l) |
|
750,000 |
817,969 |
|
Chase Commercial Mortgage Securities Corp.: |
|
|
|
|
Series 1998-1 Class H, 6.34% 5/18/30 (f) |
|
800,000 |
699,497 |
|
Series 1998-2 Class J, 6.39% 11/18/30 (f) |
|
489,102 |
324,645 |
|
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust Series 1999-1 Class G, 6.4% 8/15/31 (f) |
|
144,820 |
148,352 |
|
Citigroup Commercial Mortgage Trust: |
|
|
|
|
floater Series 2006-FL2: |
|
|
|
|
Class G, 0.5693% 8/15/21 (f)(l) |
|
117,397 |
116,223 |
|
Class H, 0.6093% 8/15/21 (f)(l) |
|
433,548 |
413,642 |
|
Series 2007-FL3A Class A2, 0.3795% 4/15/22 (f)(l) |
|
183,349 |
179,814 |
|
Series 2008-C7 Class A2B, 6.0731% 12/10/49 (l) |
|
1,215,035 |
1,244,722 |
|
Citigroup/Deutsche Bank Commercial Mortgage Trust: |
|
|
|
|
sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49 |
|
14,623,000 |
16,485,532 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Citigroup/Deutsche Bank Commercial Mortgage Trust: - continued |
|
|
|
|
Series 2007-CD4 Class A3, 5.293% 12/11/49 |
|
$ 1,852,000 |
$ 1,958,397 |
|
Claregold Trust Series 2007-2A: |
|
|
|
|
Class F, 5.01% 5/15/44 (f)(l) |
CAD |
138,000 |
108,262 |
|
Class G, 5.01% 5/15/44 (f)(l) |
CAD |
30,000 |
22,463 |
|
Class H, 5.01% 5/15/44 (f)(l) |
CAD |
20,000 |
12,251 |
|
Class J, 5.01% 5/15/44 (f)(l) |
CAD |
20,000 |
11,538 |
|
Class K, 5.01% 5/15/44 (f)(l) |
CAD |
10,000 |
4,937 |
|
Class L, 5.01% 5/15/44 (f)(l) |
CAD |
36,000 |
16,481 |
|
Class M, 5.01% 5/15/44 (f)(l) |
CAD |
165,000 |
70,149 |
|
Cobalt CMBS Commercial Mortgage Trust: |
|
|
|
|
sequential payer Series 2007-C3 Class A3, 5.8108% 5/15/46 (l) |
|
1,902,000 |
2,043,836 |
|
Series 2006-C1 Class B, 5.359% 8/15/48 |
|
5,706,000 |
828,563 |
|
COMM pass-thru certificates: |
|
|
|
|
floater: |
|
|
|
|
Series 2005-F10A Class J, 1.0895% 4/15/17 (f)(l) |
|
125,664 |
114,352 |
|
Series 2005-FL11: |
|
|
|
|
Class B, 0.4895% 11/15/17 (f)(l) |
|
135,349 |
131,196 |
|
Class C, 0.5395% 11/15/17 (f)(l) |
|
1,168,561 |
1,109,332 |
|
Class D, 0.5795% 11/15/17 (f)(l) |
|
60,771 |
56,475 |
|
Class E, 0.6295% 11/15/17 (f)(l) |
|
216,043 |
198,612 |
|
Class F, 0.6895% 11/15/17 (f)(l) |
|
149,679 |
136,106 |
|
Class G, 0.7395% 11/15/17 (f)(l) |
|
103,750 |
92,267 |
|
Series 2006-FL12 Class AJ, 0.3695% 12/15/20 (f)(l) |
|
4,060,000 |
3,705,651 |
|
sequential payer: |
|
|
|
|
Series 2003-LB1A Class D, 4.278% 6/10/38 |
|
550,000 |
547,037 |
|
Series 2004-RS1 Class A, 5.648% 3/3/41 (f) |
|
529,570 |
533,541 |
|
Series 2006-C8 Class A3, 5.31% 12/10/46 |
|
5,420,000 |
5,531,007 |
|
Series 2006-CN2A: |
|
|
|
|
Class A2FX, 5.449% 2/5/19 (f) |
|
2,477,530 |
2,483,629 |
|
Class AJFX, 5.478% 2/5/19 (f) |
|
5,750,000 |
5,757,832 |
|
Series 2001-J2A Class F, 6.9937% 7/16/34 (f)(l) |
|
199,000 |
219,403 |
|
Series 2006-C8 Class XP, 0.4663% 12/10/46 (l)(n) |
|
16,251,781 |
100,712 |
|
Commercial Mortgage Acceptance Corp.: |
|
|
|
|
Series 1998-C1: |
|
|
|
|
Class F, 6.23% 7/15/31 (f) |
|
27,517 |
27,820 |
|
Class G, 6.21% 7/15/31 (f) |
|
554,000 |
558,875 |
|
weighted average coupon Series 1998-C2 Class F, 5.44% 9/15/30 (f)(l) |
|
110,362 |
113,128 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Commercial Mortgage Asset Trust: |
|
|
|
|
Series 1999-C1 Class F, 6.25% 1/17/32 (f) |
|
$ 550,000 |
$ 483,918 |
|
Series 1999-C2 Class G, 6% 11/17/32 |
|
302,000 |
232,104 |
|
Commercial Mortgage pass-thru certificates: |
|
|
|
|
Series 2005 C6 Class B, 5.2423% 6/10/44 (l) |
|
905,000 |
786,174 |
|
Series 2005-C6 Class AJ, 5.209% 6/10/44 (l) |
|
1,260,000 |
1,271,156 |
|
Series 2011-STRT Class C, 4.755% 12/10/24 (f) |
|
420,000 |
419,930 |
|
Series 2012-CR1: |
|
|
|
|
Class C, 5.547% 5/15/45 |
|
350,000 |
355,950 |
|
Class D, 5.547% 5/15/45 (f) |
|
440,000 |
354,076 |
|
Commercial Mortgage Trust pass-thru certificates: |
|
|
|
|
Series 2012-CR2 Class E, 5.02% 8/15/45 (f)(l) |
|
600,000 |
469,595 |
|
Series 2012-LC4: |
|
|
|
|
Class C, 5.8246% 12/10/44 (l) |
|
260,000 |
271,228 |
|
Class D, 5.8246% 12/10/44 (f)(l) |
|
870,000 |
739,361 |
|
Communication Mortgage Trust Series 2011-THL: |
|
|
|
|
Class E, 5.949% 6/9/28 (f) |
|
493,000 |
504,058 |
|
Class F, 4.867% 6/9/28 (f) |
|
645,000 |
590,278 |
|
Credit Suisse Commercial Mortgage Trust: |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2007-C2: |
|
|
|
|
Class A2, 5.448% 1/15/49 (l) |
|
3,630,108 |
3,662,728 |
|
Class A3, 5.542% 1/15/49 (l) |
|
3,804,000 |
4,245,477 |
|
Series 2007-C3 Class A4, 5.6792% 6/15/39 (l) |
|
28,438,000 |
31,393,931 |
|
Series 2006-C4 Class AAB, 5.439% 9/15/39 |
|
5,554,662 |
5,625,101 |
|
Series 2006-C5 Class ASP, 0.6643% 12/15/39 (l)(n) |
|
11,245,165 |
91,738 |
|
Series 2007-C5 Class A4, 5.695% 9/15/40 (l) |
|
1,722,000 |
1,923,366 |
|
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5895% 4/15/22 (f)(l) |
|
6,783,000 |
5,375,202 |
|
Credit Suisse First Boston Mortgage Securities Corp.: |
|
|
|
|
floater Series 2006-TF2A Class KER, 0.8395% 9/15/21 (f)(l) |
|
254,456 |
176,847 |
|
sequential payer Series 2004-C1 Class A4, 4.75% 1/15/37 |
|
867,120 |
904,368 |
|
Series 1997-C2 Class F, 7.46% 1/17/35 (l) |
|
774,152 |
781,079 |
|
Series 1998-C1: |
|
|
|
|
Class F, 6% 5/17/40 (f) |
|
2,147,309 |
2,275,360 |
|
Class H, 6% 5/17/40 (f) |
|
90,317 |
7,967 |
|
Series 1998-C2: |
|
|
|
|
Class F, 6.75% 11/15/30 (f) |
|
1,156,000 |
1,243,191 |
|
Class G, 6.75% 11/15/30 (f) |
|
180,000 |
198,196 |
|
Series 2001-CK6 Class AX, 0.9973% 8/15/36 (l)(n) |
|
498,549 |
440 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Credit Suisse First Boston Mortgage Securities Corp.: - continued |
|
|
|
|
Series 2001-CKN5 Class AX, 1.7514% 9/15/34 (f)(l)(n) |
|
$ 1,717,918 |
$ 2,153 |
|
Series 2003-C3 Class D, 4.131% 5/15/38 |
|
120,000 |
121,133 |
|
Series 2006-C1 Class A3, 5.4157% 2/15/39 (l) |
|
6,794,301 |
6,954,837 |
|
Credit Suisse Mortgage Capital Certificates: |
|
|
|
|
floater Series 2007-TFL1: |
|
|
|
|
Class B, 0.3895% 2/15/22 (f)(l) |
|
721,000 |
675,010 |
|
Class C: |
|
|
|
|
0.4095% 2/15/22 (f)(l) |
|
1,864,711 |
1,727,120 |
|
0.5095% 2/15/22 (f)(l) |
|
665,993 |
603,532 |
|
Class F, 0.5595% 2/15/22 (f)(l) |
|
1,331,815 |
1,193,590 |
|
Class L, 2.1395% 2/15/22 (f)(l) |
|
99,540 |
13,559 |
|
sequential payer Series 2007-C1 Class A2, 5.268% 2/15/40 |
|
4,460,133 |
4,459,004 |
|
Series 2007-C1: |
|
|
|
|
Class ASP, 0.3813% 2/15/40 (l)(n) |
|
27,591,094 |
154,234 |
|
Class B, 5.487% 2/15/40 (f)(l) |
|
2,907,000 |
370,942 |
|
DBUBS Mortgage Trust Series 2011-LC1A: |
|
|
|
|
Class D, 5.5568% 11/10/46 (f)(l) |
|
500,000 |
519,158 |
|
Class E, 5.5568% 11/10/46 (f)(l) |
|
770,000 |
709,311 |
|
Class F, 5.5568% 11/10/46 (f)(l) |
|
1,120,000 |
909,696 |
|
Class XB, 0.2463% 11/10/46 (f)(l)(n) |
|
20,920,000 |
368,589 |
|
Deutsche Mortgage & Asset Receiving Corp. Series 1998-C1 Class J, 6.22% 6/15/31 |
|
400,000 |
409,190 |
|
DLJ Commercial Mortgage Corp.: |
|
|
|
|
Series 1998-CG1 Class B4, 7.2123% 6/10/31 (f)(l) |
|
891,000 |
911,890 |
|
Series 2000-CKP1 Class B3, 7.7593% 11/10/33 (l) |
|
230,000 |
229,236 |
|
Extended Stay America Trust: |
|
|
|
|
Series 2010-ESHA Class D, 5.4983% 11/5/27 (f) |
|
3,190,000 |
3,236,422 |
|
Series 2010-ESHA, Class C4, 4.8603% 11/5/27 (f) |
|
320,000 |
323,791 |
|
FHMLC Multi-class participation certificates guaranteed: |
|
|
|
|
Series K013 Class X3, 2.7898% 1/25/43 (l)(n) |
|
820,000 |
136,489 |
|
Series KAIV Class X2, 3.6146% 6/25/46 (l)(n) |
|
420,000 |
90,555 |
|
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class G, 6.936% 3/15/33 (f) |
|
240,599 |
240,665 |
|
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer Series 1998-C2 Class G, 7% 11/18/35 (f)(l) |
|
443,000 |
474,351 |
|
Fontainebleau Miami Beach Trust Series 2012-FBLU: |
|
|
|
|
Class D, 5.007% 5/5/27 (f) |
|
589,000 |
612,622 |
|
Class E, 5.253% 5/5/27 (f) |
|
411,000 |
424,249 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Four Times Square Trust sequential payer Series 2006-4TS Class A, 5.401% 12/13/28 (f) |
|
$ 200,000 |
$ 237,214 |
|
Freddie Mac: |
|
|
|
|
Series K011 Class X3, 2.5749% 12/25/43 (l)(n) |
|
1,640,000 |
249,187 |
|
Series K012 Class X3, 2.2878% 1/25/41 (l)(n) |
|
1,800,000 |
244,201 |
|
FREMF Mortgage Trust: |
|
|
|
|
Series 2010-K9 Class B, 5.1639% 9/25/45 (f)(l) |
|
1,290,000 |
1,402,070 |
|
Series 2011-K10 Class B, 4.5974% 11/25/49 (f)(l) |
|
240,000 |
251,129 |
|
Series 2011-K11 Class B, 4.4202% 12/25/48 (f)(l) |
|
750,000 |
774,326 |
|
G-Force LLC sequential payer Series 2005-RRA Class A2, 4.83% 8/22/36 (f) |
|
1,265,339 |
1,265,339 |
|
GE Capital Commercial Mortgage Corp.: |
|
|
|
|
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 |
|
11,404,000 |
12,776,688 |
|
Series 2001-1 Class X1, 1.4912% 5/15/33 (f)(l)(n) |
|
1,248,462 |
15,590 |
|
Series 2007-C1 Class XP, 0.1588% 12/10/49 (l)(n) |
|
24,682,498 |
80,021 |
|
GMAC Commercial Mortgage Securities, Inc.: |
|
|
|
|
Series 1997-C1 Class H, 6.6% 7/15/29 |
|
411,904 |
214,268 |
|
Series 1997-C2 Class G, 6.75% 4/15/29 (l) |
|
412,661 |
477,608 |
|
Series 1999-C1 Class F, 6.02% 5/15/33 (f) |
|
206,559 |
212,059 |
|
Series 1999-C2I Class K, 6.481% 9/15/33 (o) |
|
385,000 |
261,199 |
|
Series 1999-C3: |
|
|
|
|
Class J, 6.974% 8/15/36 |
|
226,000 |
224,384 |
|
Class K, 6.974% 8/15/36 |
|
427,000 |
177,556 |
|
Series 2000-C1 Class K, 7% 3/15/33 |
|
17,331 |
13,089 |
|
Series 2003-C3 Class H, 5.7108% 4/10/40 (f)(l) |
|
170,000 |
151,798 |
|
Greenwich Capital Commercial Funding Corp.: |
|
|
|
|
floater Series 2006-FL4 Class B, 0.4343% 11/5/21 (f)(l) |
|
715,000 |
678,210 |
|
sequential payer: |
|
|
|
|
Series 2003-C1 Class D, 4.29% 7/5/35 (f) |
|
490,000 |
495,818 |
|
Series 2007-GG11 Class A2, 5.597% 12/10/49 |
|
3,323,861 |
3,423,514 |
|
Series 2007-GG9 Class A4, 5.444% 3/10/39 |
|
5,530,000 |
6,259,479 |
|
Series 2002-C1: |
|
|
|
|
Class H, 5.903% 1/11/35 (f) |
|
97,000 |
97,040 |
|
Class J, 6.306% 1/11/35 (f) |
|
760,000 |
760,715 |
|
Series 2003-C2 Class J, 5.234% 1/5/36 (f)(l) |
|
250,000 |
230,420 |
|
Series 2005-GG3 Class B, 4.894% 8/10/42 (l) |
|
680,000 |
677,102 |
|
Series 2006-GG7 Class A3, 5.8738% 7/10/38 (l) |
|
793,025 |
792,658 |
|
Series 2007-GG11 Class A1, 0.2519% 12/10/49 (f)(l)(n) |
|
36,190,607 |
186,345 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
GS Mortgage Securities Corp. II: |
|
|
|
|
floater: |
|
|
|
|
Series 2006-FL8A: |
|
|
|
|
Class E, 0.6158% 6/6/20 (f)(l) |
|
$ 431,608 |
$ 428,311 |
|
Class F, 0.6858% 6/6/20 (f)(l) |
|
835,001 |
822,619 |
|
Class J, 1.9943% 6/6/20 (f)(l) |
|
250,000 |
239,417 |
|
Series 2007-EOP: |
|
|
|
|
Class C, 2.0056% 3/6/20 (f)(l) |
|
1,994,000 |
1,974,919 |
|
Class D, 2.2018% 3/6/20 (f)(l) |
|
4,004,000 |
3,966,438 |
|
Class F, 2.6334% 3/6/20 (f)(l) |
|
164,000 |
162,558 |
|
Class G, 2.7903% 3/6/20 (f)(l) |
|
81,000 |
80,286 |
|
Class H, 3.3004% 3/6/20 (f)(l) |
|
60,000 |
59,622 |
|
Class J, 4.0852% 3/6/20 (f)(l) |
|
86,000 |
85,634 |
|
Class L, 5.4585% 3/6/20 (f)(l) |
|
400,000 |
400,374 |
|
Series 1997-GL: |
|
|
|
|
Class G, 7.5095% 7/13/30 (l) |
|
776,590 |
858,686 |
|
Class H, 7.7995% 7/13/30 (f)(l) |
|
230,000 |
241,661 |
|
Series 2006-GG6 Class A2, 5.506% 4/10/38 |
|
4,584,486 |
4,588,493 |
|
Series 2006-RR2: |
|
|
|
|
Class M, 5.608% 6/23/46 (f)(l) |
|
100,000 |
0 |
|
Class N, 5.608% 6/23/46 (f)(l) |
|
57,153 |
0 |
|
Series 2010-C1: |
|
|
|
|
Class D, 5.9937% 8/10/43 (f)(l) |
|
290,000 |
303,433 |
|
Class E, 4% 8/10/43 (f) |
|
1,240,000 |
921,569 |
|
Class X, 1.5537% 8/10/43 (f)(l)(n) |
|
6,188,639 |
506,565 |
|
Series 2012-GCJ7: |
|
|
|
|
Class C, 5.722% 5/10/45 (l) |
|
630,000 |
652,764 |
|
Class D, 5.721% 5/10/45 (f) |
|
970,000 |
837,961 |
|
GS Mortgage Securities Corp. Trust Series 2011-ALF Class E, 4.953% 2/10/21 (f) |
|
510,000 |
508,164 |
|
GS Mortgage Securities Trust: |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2006-GG8 Class A2, 5.479% 11/10/39 |
|
568,161 |
576,788 |
|
Series 2007-GG10 Class A2, 5.778% 8/10/45 |
|
6,372,369 |
6,456,950 |
|
Series 2010-C2: |
|
|
|
|
Class D, 5.2282% 12/10/43 (f)(l) |
|
720,000 |
692,227 |
|
Class XA, 0.684% 12/10/43 (f)(l)(n) |
|
5,555,383 |
133,763 |
|
Series 2011-GC5 Class C, 5.3083% 8/10/44 (f)(l) |
|
1,050,000 |
1,068,414 |
|
HVB Mortgage Capital Corp. floater Series 2003-FL1A Class K, 3.0903% 9/10/22 (f)(l) |
|
1,120,000 |
1,120,021 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
JPMorgan Chase Commercial Mortgage Securities Corp.: |
|
|
|
|
floater Series 2011-CCHP Class E, 5.15% 7/15/28 (f)(l) |
|
$ 500,000 |
$ 506,169 |
|
Series 2002-C1 Class E, 6.135% 7/12/37 (f) |
|
935,000 |
932,859 |
|
Series 2003-C1: |
|
|
|
|
Class CM1, 5.5061% 1/12/37 (f)(l) |
|
197,916 |
197,153 |
|
Class D, 5.192% 1/12/37 |
|
270,000 |
271,405 |
|
Series 2009-IWST: |
|
|
|
|
Class C, 7.4453% 12/5/27 (f)(l) |
|
380,000 |
452,221 |
|
Class D, 7.4453% 12/5/27 (f)(l) |
|
1,135,000 |
1,296,345 |
|
Series 2010-CNTM Class MZ, 8.5% 8/5/20 (f) |
|
670,000 |
708,276 |
|
Series 2010-CNTR Class D, 6.1838% 8/5/32 (f)(l) |
|
695,000 |
731,280 |
|
Series 2011-C4 Class E, 5.3892% 7/15/46 (f)(l) |
|
370,000 |
309,154 |
|
Series 2012-CBX: |
|
|
|
|
Class C, 5.1909% 6/16/45 (l) |
|
250,000 |
251,530 |
|
Class D, 5.1909% 6/16/45 (f)(l) |
|
690,000 |
639,727 |
|
JPMorgan Chase Commercial Mortgage Securities Trust: |
|
|
|
|
floater Series 2006-FLA2: |
|
|
|
|
Class A2, 0.3695% 11/15/18 (f)(l) |
|
5,708,534 |
5,617,283 |
|
Class B, 0.4095% 11/15/18 (f)(l) |
|
948,720 |
924,068 |
|
Class C, 0.4495% 11/15/18 (f)(l) |
|
674,039 |
649,784 |
|
Class D, 0.4695% 11/15/18 (f)(l) |
|
205,327 |
193,832 |
|
Class E, 0.5195% 11/15/18 (f)(l) |
|
296,195 |
273,688 |
|
Class F, 0.5695% 11/15/18 (f)(l) |
|
443,480 |
392,043 |
|
Class G, 0.5995% 11/15/18 (f)(l) |
|
385,346 |
325,238 |
|
Class H, 0.7395% 11/15/18 (f)(l) |
|
296,262 |
238,199 |
|
sequential payer: |
|
|
|
|
Series 2006-CB14 Class A3B, 5.4914% 12/12/44 (l) |
|
4,674,131 |
4,778,472 |
|
Series 2006-LDP9: |
|
|
|
|
Class A2, 5.134% 5/15/47 (l) |
|
606,418 |
636,987 |
|
Class A3, 5.336% 5/15/47 |
|
9,409,000 |
10,639,039 |
|
Series 2007-CB19 Class A4, 5.7337% 2/12/49 (l) |
|
6,670,000 |
7,732,671 |
|
Series 2007-LD11: |
|
|
|
|
Class A2, 5.7998% 6/15/49 (l) |
|
4,171,749 |
4,296,539 |
|
Class A4, 5.8148% 6/15/49 (l) |
|
10,000,000 |
11,376,520 |
|
Series 2007-LDPX: |
|
|
|
|
Class A2 S, 5.305% 1/15/49 |
|
2,786,077 |
2,808,491 |
|
Class A3, 5.42% 1/15/49 |
|
25,732,000 |
29,366,928 |
|
Series 2004-CBX Class D, 5.097% 1/12/37 (l) |
|
170,000 |
113,252 |
|
Series 2004-LN2 Class D, 5.2226% 7/15/41 (l) |
|
420,000 |
303,495 |
|
Series 2005-LDP3 Class A3, 4.959% 8/15/42 |
|
1,880,489 |
1,906,257 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
JPMorgan Chase Commercial Mortgage Securities Trust: - continued |
|
|
|
|
Series 2005-LDP5 Class AJ, 5.3162% 12/15/44 (l) |
|
$ 360,000 |
$ 360,955 |
|
Series 2006-CB17 Class A3, 5.45% 12/12/43 |
|
498,856 |
500,260 |
|
Series 2007-CB19: |
|
|
|
|
Class B, 5.7337% 2/12/49 (l) |
|
165,000 |
54,450 |
|
Class C, 5.7337% 2/12/49 (l) |
|
424,000 |
89,040 |
|
Class D, 5.7337% 2/12/49 (l) |
|
447,000 |
91,635 |
|
Series 2007-LDP10: |
|
|
|
|
Class CS, 5.466% 1/15/49 (l) |
|
157,000 |
12,526 |
|
Class ES, 5.5652% 1/15/49 (f)(l) |
|
983,000 |
44,553 |
|
Series 2010-C2: |
|
|
|
|
Class D, 5.5284% 11/15/43 (f)(l) |
|
645,000 |
624,537 |
|
Class XB, 0.6692% 11/15/43 (f)(l)(n) |
|
3,600,000 |
151,591 |
|
Series 2011-C5 Class C, 5.3142% 8/15/46 (f)(l) |
|
1,102,648 |
1,101,691 |
|
LB Commercial Conduit Mortgage Trust: |
|
|
|
|
sequential payer Series 2007-C3 Class A4, 5.8846% 7/15/44 (l) |
|
21,615,000 |
25,412,021 |
|
Series 1998-C4 Class G, 5.6% 10/15/35 (f) |
|
529,881 |
550,074 |
|
LB-UBS Commercial Mortgage Trust: |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2004-C2 Class E, 4.487% 3/15/36 |
|
150,000 |
151,481 |
|
Series 2005-C3 Class AJ, 4.843% 7/15/40 |
|
1,220,000 |
1,262,147 |
|
Series 2005-C7: |
|
|
|
|
Class AJ, 5.323% 11/15/40 |
|
1,210,000 |
1,251,527 |
|
Class AM, 5.263% 11/15/40 (l) |
|
137,000 |
150,928 |
|
Series 2006-C1 Class A2, 5.084% 2/15/31 |
|
257,912 |
258,541 |
|
Series 2006-C6: |
|
|
|
|
Class A2, 5.262% 9/15/39 (l) |
|
366,108 |
366,389 |
|
Class AM, 5.413% 9/15/39 |
|
1,500,000 |
1,661,751 |
|
Series 2006-C7: |
|
|
|
|
Class A2, 5.3% 11/15/38 |
|
1,105,410 |
1,124,711 |
|
Class A3, 5.347% 11/15/38 |
|
1,417,000 |
1,622,295 |
|
Class AM, 5.378% 11/15/38 |
|
160,000 |
163,884 |
|
Series 2007-C1: |
|
|
|
|
Class A3, 5.398% 2/15/40 |
|
10,000,000 |
10,439,420 |
|
Class A4, 5.424% 2/15/40 |
|
5,434,000 |
6,247,470 |
|
Series 2007-C2 Class A3, 5.43% 2/15/40 |
|
3,967,000 |
4,502,684 |
|
Series 2007-C6 Class A2, 5.845% 7/15/40 |
|
4,810,110 |
4,923,023 |
|
Series 2003-C7 Class L, 5.1147% 7/15/37 (f)(l) |
|
284,000 |
198,421 |
|
Series 2004-C2 Class G, 4.595% 3/15/36 (f)(l) |
|
225,000 |
205,940 |
|
Series 2004-C7 Class E, 4.918% 10/15/36 |
|
280,000 |
279,950 |
|
Series 2005-C1 Class E, 4.924% 2/15/40 |
|
750,000 |
701,178 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
LB-UBS Commercial Mortgage Trust: - continued |
|
|
|
|
Series 2005-C2 Class AJ, 5.205% 4/15/30 (l) |
|
$ 740,000 |
$ 753,732 |
|
Series 2005-C7 Class C, 5.35% 11/15/40 (l) |
|
866,000 |
809,801 |
|
Series 2006-C4: |
|
|
|
|
Class AJ, 5.8892% 6/15/38 (l) |
|
1,060,000 |
944,346 |
|
Class AM, 5.8892% 6/15/38 (l) |
|
500,000 |
537,978 |
|
Series 2006-C6 Class XCP, 0.6747% 9/15/39 (l)(n) |
|
8,109,240 |
55,800 |
|
Series 2007-C1 Class XCP, 0.4243% 2/15/40 (l)(n) |
|
3,031,686 |
18,105 |
|
Series 2007-C6 Class A4, 5.858% 7/15/40 (l) |
|
2,376,000 |
2,776,221 |
|
Series 2007-C7: |
|
|
|
|
Class A3, 5.866% 9/15/45 |
|
2,029,000 |
2,394,250 |
|
Class XCP, 0.2615% 9/15/45 (l)(n) |
|
122,130,871 |
799,591 |
|
Lehman Brothers Floating Rate Commercial Mortgage Trust floater: |
|
|
|
|
Series 2006-LLFA: |
|
|
|
|
Class D, 0.4695% 9/15/21 (f)(l) |
|
608,683 |
578,249 |
|
Class E, 0.5295% 9/15/21 (f)(l) |
|
2,196,145 |
2,031,434 |
|
Class F, 0.5795% 9/15/21 (f)(l) |
|
1,143,094 |
1,028,785 |
|
Class G, 0.5995% 9/15/21 (f)(l) |
|
2,258,211 |
1,975,935 |
|
Class H, 0.6395% 9/15/21 (f)(l) |
|
582,579 |
489,366 |
|
Series 2007-LLFA Class E, 1.1395% 6/15/22 (f)(l) |
|
760,000 |
643,874 |
|
Lstar Commercial Mortgage Trust: |
|
|
|
|
Series 2011-1 Class D, 5.6036% 6/25/43 (f)(l) |
|
310,000 |
290,142 |
|
Series 2011-1 Class B, 5.6036% 6/25/43 (f)(l) |
|
540,000 |
554,640 |
|
Merrill Lynch Commercial Trust floater Series 2008-LAQA Class A2, 0.7794% 7/9/21 (f)(l) |
|
17,970,000 |
16,863,839 |
|
Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.4086% 10/12/39 (f)(l) |
CAD |
320,000 |
295,602 |
|
Merrill Lynch Mortgage Investors Trust: |
|
|
|
|
Series 1997-C2 Class F, 6.25% 12/10/29 (l) |
|
456,226 |
454,884 |
|
Series 1998-C3 Class E, 6.7948% 12/15/30 (l) |
|
173,000 |
179,626 |
|
Merrill Lynch Mortgage Trust: |
|
|
|
|
Series 05-LC1 Class AJ, 5.3193% 1/12/44 (l) |
|
220,000 |
228,932 |
|
Series 2004-MKB1 Class F, 5.6636% 2/12/42 (f)(l) |
|
180,000 |
174,507 |
|
Series 2005-LC1 Class F, 5.3733% 1/12/44 (f)(l) |
|
1,655,000 |
1,087,734 |
|
Series 2006-C1: |
|
|
|
|
Class A2, 5.6141% 5/12/39 (l) |
|
1,683,099 |
1,721,465 |
|
Class AJ, 5.6591% 5/12/39 (l) |
|
530,000 |
483,136 |
|
Class AM, 5.6591% 5/12/39 (l) |
|
100,000 |
109,623 |
|
Series 2007-C1 Class A4, 5.8461% 6/12/50 (l) |
|
7,199,517 |
8,123,748 |
|
Series 2008-C1 Class A4, 5.69% 2/12/51 |
|
4,059,000 |
4,759,579 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Merrill Lynch-CFC Commercial Mortgage Trust: |
|
|
|
|
floater Series 2006-4 Class A2FL, 0.3688% 12/12/49 (l) |
|
$ 191,459 |
$ 191,617 |
|
sequential payer: |
|
|
|
|
Series 2006-1 Class A3, 5.4796% 2/12/39 (l) |
|
2,017,626 |
2,016,039 |
|
Series 2006-4: |
|
|
|
|
Class A2, 5.112% 12/12/49 (l) |
|
232,039 |
232,850 |
|
Class ASB, 5.133% 12/12/49 (l) |
|
1,392,444 |
1,464,541 |
|
Series 2007-5: |
|
|
|
|
Class A3, 5.364% 8/12/48 |
|
11,417,000 |
11,574,635 |
|
Class A4, 5.378% 8/12/48 |
|
10,206,000 |
11,295,082 |
|
Class B, 5.479% 8/12/48 |
|
5,706,000 |
1,401,097 |
|
Series 2007-6 Class A4, 5.485% 3/12/51 (l) |
|
14,650,000 |
16,305,758 |
|
Series 2007-7 Class A4, 5.7386% 6/12/50 (l) |
|
6,656,000 |
7,277,890 |
|
Series 2006-3 Class ASB, 5.382% 7/12/46 (l) |
|
6,539,113 |
6,739,452 |
|
Series 2006-4 Class XP, 0.617% 12/12/49 (l)(n) |
|
26,909,688 |
371,192 |
|
Series 2007-6 Class B, 5.635% 3/12/51 (l) |
|
1,902,000 |
475,580 |
|
Series 2007-7 Class B, 5.7386% 6/12/50 (l) |
|
166,000 |
11,454 |
|
Series 2007-8 Class A3, 5.9634% 8/12/49 (l) |
|
1,640,000 |
1,870,910 |
|
Mezz Capital Commercial Mortgage Trust sequential payer: |
|
|
|
|
Series 2004-C1 Class A, 4.836% 1/15/37 (f) |
|
645,951 |
558,748 |
|
Series 2004-C2 Class A, 5.318% 10/15/40 (f) |
|
578,964 |
440,013 |
|
Morgan Stanley Capital I Trust: |
|
|
|
|
floater: |
|
|
|
|
Series 2006-XLF: |
|
|
|
|
Class C, 1.44% 7/15/19 (f)(l) |
|
357,716 |
225,361 |
|
Class H, 0.62% 7/15/19 (f)(l) |
|
96,679 |
93,779 |
|
Class J, 0.67% 7/15/19 (f)(l) |
|
354,000 |
304,440 |
|
Series 2007-XLFA: |
|
|
|
|
Class C, 0.4% 10/15/20 (f)(l) |
|
1,092,000 |
988,260 |
|
Class D, 0.43% 10/15/20 (f)(l) |
|
667,354 |
590,608 |
|
Class E, 0.49% 10/15/20 (f)(l) |
|
834,661 |
709,462 |
|
Class F, 0.54% 10/15/20 (f)(l) |
|
500,899 |
415,746 |
|
Class G, 0.58% 10/15/20 (f)(l) |
|
619,188 |
481,419 |
|
Class H, 0.67% 10/15/20 (f)(l) |
|
389,758 |
253,343 |
|
Class J, 0.82% 10/15/20 (f)(l) |
|
228,006 |
91,203 |
|
sequential payer: |
|
|
|
|
Series 2012-C4 Class E, 5.71% 3/15/45 (f) |
|
260,000 |
213,808 |
|
Series 2004-RR2 Class A2, 5.45% 10/28/33 (f) |
|
196,263 |
196,509 |
|
Series 2005-IQ9 Class A3, 4.54% 7/15/56 |
|
1,799,686 |
1,821,880 |
|
Series 2006-HQ10 Class AM, 5.36% 11/12/41 |
|
620,000 |
667,110 |
|
Series 2007-HQ11 Class A31, 5.439% 2/12/44 (l) |
|
964,000 |
1,014,605 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Morgan Stanley Capital I Trust: - continued |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2007-IQ13 Class A4, 5.364% 3/15/44 |
|
$ 10,000,000 |
$ 11,352,180 |
|
Series 1997-RR Class F, 7.3497% 4/30/39 (f)(l) |
|
99,659 |
91,686 |
|
Series 1998-CF1 Class G, 7.35% 7/15/32 (f) |
|
206,135 |
146,261 |
|
Series 1999-WF1: |
|
|
|
|
Class N, 5.91% 11/15/31 (f) |
|
210,000 |
173,824 |
|
Class O, 5.91% 11/15/31 (f) |
|
197,950 |
48,661 |
|
Series 2004-IQ7 Class E, 5.3977% 6/15/38 (f)(l) |
|
120,000 |
82,656 |
|
Series 2004-RR2 Class C, 5.88% 10/28/33 (f)(l) |
|
280,000 |
224,700 |
|
Series 2005-HQ5 Class B, 5.272% 1/14/42 |
|
1,500,000 |
1,552,494 |
|
Series 2005-HQ6 Class AJ, 5.073% 8/13/42 (l) |
|
1,000,000 |
1,026,623 |
|
Series 2006-HQ10 Class X2, 0.4951% 11/12/41 (f)(l)(n) |
|
8,839,476 |
8,689 |
|
Series 2006-IQ11: |
|
|
|
|
Class A3, 5.6877% 10/15/42 (l) |
|
584,536 |
593,681 |
|
Class A4, 5.7237% 10/15/42 (l) |
|
570,000 |
646,631 |
|
Series 2006-IQ12 Class AMFX, 5.37% 12/15/43 |
|
719,000 |
766,054 |
|
Series 2006-T23 Class A3, 5.809% 8/12/41 (l) |
|
972,000 |
1,009,384 |
|
Series 2007-HQ12 Class A2, 5.5967% 4/12/49 (l) |
|
10,845,911 |
11,229,900 |
|
Series 2007-IQ14: |
|
|
|
|
Class A4, 5.692% 4/15/49 (l) |
|
2,852,000 |
3,218,485 |
|
Class B, 5.7187% 4/15/49 (l) |
|
469,000 |
139,532 |
|
Series 2011-C1: |
|
|
|
|
Class C, 5.2544% 9/15/47 (f)(l) |
|
470,000 |
493,168 |
|
Class D, 5.2544% 9/15/47 (f)(l) |
|
1,170,000 |
1,119,456 |
|
Class E, 5.2544% 9/15/47 (f)(l) |
|
573,100 |
498,523 |
|
Series 2011-C2: |
|
|
|
|
Class D, 5.3177% 6/15/44 (f)(l) |
|
580,000 |
557,323 |
|
Class E, 5.3177% 6/15/44 (f)(l) |
|
600,000 |
517,982 |
|
Class F, 5.3177% 6/15/44 (f)(l) |
|
550,000 |
435,600 |
|
Class XB, 0.4646% 6/15/44 (f)(l)(n) |
|
9,001,008 |
291,102 |
|
Series 2011-C3: |
|
|
|
|
Class C, 5.3572% 7/15/49 (f)(l) |
|
1,000,000 |
1,030,817 |
|
Class D, 5.357% 7/15/49 (f) |
|
1,130,000 |
1,067,554 |
|
Class E, 5.1844% 7/15/49 (f)(l) |
|
400,000 |
342,753 |
|
Series 2012-C4 Class D, 5.5266% 3/15/45 (f)(l) |
|
330,000 |
315,613 |
|
Morgan Stanley Dean Witter Capital I Trust: |
|
|
|
|
Series 2000-PRIN Class C, 7.9131% 2/23/34 (l) |
|
466,000 |
516,143 |
|
Series 2001-TOP3 Class E, 7.3419% 7/15/33 (f)(l) |
|
150,000 |
131,295 |
|
Series 2003-TOP9 Class E, 5.6506% 11/13/36 (f)(l) |
|
78,000 |
77,209 |
|
NationsLink Funding Corp.: |
|
|
|
|
Series 1998-2: |
|
|
|
|
Class F, 7.105% 8/20/30 (f) |
|
335,806 |
343,283 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
NationsLink Funding Corp.: - continued |
|
|
|
|
Series 1998-2: |
|
|
|
|
Class G, 5% 8/20/30 (f) |
|
$ 361,875 |
$ 369,593 |
|
Class J, 5% 8/20/30 (f) |
|
195,000 |
189,156 |
|
Series 1999-SL Class X, 11/10/30 (l)(n) |
|
54,667 |
54,530 |
|
Nomura Asset Securities Corp. Series 1998-D6 Class B1, 6% 3/15/30 (f) |
|
1,050,000 |
1,064,494 |
|
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (f) |
|
800,135 |
976,164 |
|
RBSCF Trust Series 2010-MB1 Class D, 4.6764% 4/15/24 (f)(l) |
|
1,200,000 |
1,228,592 |
|
Real Estate Asset Liquidity Trust: |
|
|
|
|
Series 2006-2: |
|
|
|
|
Class F, 4.456% 9/12/38 (f) |
CAD |
107,000 |
91,327 |
|
Class G, 4.456% 9/12/38 (f) |
CAD |
54,000 |
44,312 |
|
Class H, 4.456% 9/12/38 (f) |
CAD |
36,000 |
27,864 |
|
Class J, 4.456% 9/12/38 (f) |
CAD |
36,000 |
26,206 |
|
Class K, 4.456% 9/12/38 (f) |
CAD |
18,000 |
11,588 |
|
Class L, 4.456% 9/12/38 (f) |
CAD |
26,000 |
15,647 |
|
Class M, 4.456% 9/12/38 (f) |
CAD |
128,859 |
36,602 |
|
Series 2007-1: |
|
|
|
|
Class F, 4.57% 4/12/23 |
CAD |
126,000 |
98,042 |
|
Class G, 4.57% 4/12/23 |
CAD |
42,000 |
31,446 |
|
Class H, 4.57% 4/12/23 |
CAD |
42,000 |
30,268 |
|
Class J, 4.57% 4/12/23 |
CAD |
42,000 |
29,142 |
|
Class K, 4.57% 4/12/23 |
CAD |
21,000 |
14,034 |
|
Class L, 4.57% 4/12/23 |
CAD |
63,000 |
40,560 |
|
Class M, 4.57% 4/12/23 |
CAD |
185,000 |
56,927 |
|
Salomon Brothers Mortgage Securities VII, Inc. Series 2001-MMA Class E3, 6.5% 2/18/34 (f)(l) |
|
200,000 |
205,241 |
|
TIAA Seasoned Commercial Mortgage Trust: |
|
|
|
|
sequential payer Series 2007-C4 Class AJ, 5.6163% 8/15/39 (l) |
|
170,000 |
179,621 |
|
Series 2007-C4 Class F, 5.6163% 8/15/39 (l) |
|
820,000 |
572,653 |
|
TimberStar Trust I Series 2006-1 Class F, 7.5296% 10/15/36 (f) |
|
270,000 |
279,150 |
|
UBS Commercial Mortgage Trust Series 2007-FL1: |
|
|
|
|
Class F, 0.8145% 7/15/24 (f)(l) |
|
110,000 |
82,318 |
|
Class G, 0.8145% 7/15/24 (f)(l) |
|
200,000 |
138,669 |
|
UBS-Citigroup Commercial Mortgage Trust Series 2011-C1 Class B, 5.8749% 1/10/45 (f)(l) |
|
284,000 |
326,943 |
|
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (f) |
|
180,000 |
211,056 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Wachovia Bank Commercial Mortgage Trust: |
|
|
|
|
floater: |
|
|
|
|
Series 2006-WL7A: |
|
|
|
|
Class E, 0.518% 9/15/21 (f)(l) |
|
$ 1,770,598 |
$ 1,522,435 |
|
Class F, 0.578% 9/15/21 (f)(l) |
|
1,877,987 |
1,539,653 |
|
Class G, 0.598% 9/15/21 (f)(l) |
|
1,779,101 |
1,387,418 |
|
Class J, 0.838% 9/15/21 (f)(l) |
|
395,545 |
260,997 |
|
Series 2007-WHL8: |
|
|
|
|
Class F, 0.7195% 6/15/20 (f)(l) |
|
4,565,501 |
3,360,761 |
|
Class LXR1, 0.9395% 6/15/20 (f)(l) |
|
233,916 |
202,759 |
|
sequential payer: |
|
|
|
|
Series 2003-C7 Class A1, 4.241% 10/15/35 (f) |
|
1,156,472 |
1,164,298 |
|
Series 2003-C8 Class A3, 4.445% 11/15/35 |
|
6,584,138 |
6,672,682 |
|
Series 2006-C29 Class A3, 5.313% 11/15/48 |
|
5,051,000 |
5,289,665 |
|
Series 2007-C30: |
|
|
|
|
Class A3, 5.246% 12/15/43 |
|
606,163 |
612,585 |
|
Class A4, 5.305% 12/15/43 |
|
8,604,000 |
9,250,720 |
|
Class A5, 5.342% 12/15/43 |
|
13,536,000 |
14,983,229 |
|
Series 2007-C31 Class A4, 5.509% 4/15/47 |
|
13,599,000 |
15,413,827 |
|
Series 2007-C32 Class A3, 5.7418% 6/15/49 (l) |
|
19,449,000 |
22,081,714 |
|
Series 2003-C6 Class G, 5.125% 8/15/35 (f)(l) |
|
903,000 |
901,490 |
|
Series 2004-C10 Class E, 4.931% 2/15/41 |
|
340,000 |
348,327 |
|
Series 2004-C11: |
|
|
|
|
Class D, 5.3844% 1/15/41 (l) |
|
360,000 |
336,202 |
|
Class E, 5.4344% 1/15/41 (l) |
|
327,000 |
284,921 |
|
Series 2004-C12 Class D, 5.3109% 7/15/41 (l) |
|
280,000 |
282,252 |
|
Series 2004-C14: |
|
|
|
|
Class B, 5.17% 8/15/41 |
|
258,500 |
272,820 |
|
Class C, 5.21% 8/15/41 |
|
170,000 |
175,309 |
|
Series 2004-C15 Class 175C, 5.8479% 10/15/41 (f)(l) |
|
500,000 |
489,822 |
|
Series 2005-C19 Class B, 4.892% 5/15/44 |
|
1,902,000 |
1,756,855 |
|
Series 2005-C22: |
|
|
|
|
Class B, 5.3564% 12/15/44 (l) |
|
4,218,000 |
2,920,796 |
|
Class F, 5.3564% 12/15/44 (f)(l) |
|
3,171,000 |
620,882 |
|
Series 2006-C23 Class A5, 5.416% 1/15/45 (l) |
|
7,870,000 |
8,868,994 |
|
Series 2007-C30: |
|
|
|
|
Class B, 5.463% 12/15/43 (l) |
|
10,505,000 |
4,292,164 |
|
Class C, 5.483% 12/15/43 (l) |
|
5,706,000 |
1,606,085 |
|
Class D, 5.513% 12/15/43 (l) |
|
3,044,000 |
616,997 |
|
Class XP, 0.4723% 12/15/43 (f)(l)(n) |
|
16,461,529 |
119,692 |
|
Series 2007-C31 Class C, 5.6821% 4/15/47 (l) |
|
522,000 |
117,779 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Wachovia Bank Commercial Mortgage Trust: - continued |
|
|
|
|
Series 2007-C32: |
|
|
|
|
Class D, 5.7418% 6/15/49 (l) |
|
$ 1,431,000 |
$ 386,081 |
|
Class E, 5.7418% 6/15/49 (l) |
|
2,252,000 |
531,808 |
|
Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 5.9003% 2/15/51 (l) |
|
19,259,000 |
22,366,093 |
|
Wells Fargo Commercial Mortgage Trust Series 2010-C1 Class XB, 0.578% 11/15/43 (f)(l)(n) |
|
20,614,217 |
740,009 |
|
WF-RBS Commercial Mortgage Trust: |
|
|
|
|
Series 2011-C3: |
|
|
|
|
Class C, 5.335% 3/15/44 (f) |
|
360,000 |
373,318 |
|
Class D, 5.549% 3/15/44 (f)(l) |
|
230,000 |
207,308 |
|
Series 2011-C4 Class E, 5.4179% 6/15/44 (f) |
|
320,000 |
271,684 |
|
Series 2011-C5: |
|
|
|
|
Class C, 5.6367% 11/15/44 (f)(l) |
|
260,000 |
279,416 |
|
Class D, 5.6367% 11/15/44 (f)(l) |
|
200,000 |
192,239 |
|
Class XA, 2.0805% 11/15/44 (f)(l)(n) |
|
5,202,109 |
625,975 |
|
Series 2012-C6 Class D, 5.5639% 4/15/45 (f)(l) |
|
540,000 |
458,403 |
|
Series 2012-C7: |
|
|
|
|
Class C, 5.0065% 6/15/45 (l) |
|
1,270,000 |
1,274,258 |
|
Class E, 4.8512% 6/15/45 (f) |
|
890,000 |
689,095 |
|
WFDB Commercial Mortgage Trust Series 2011-BXR Class D, 5.914% 7/5/24 (f) |
|
1,500,000 |
1,553,777 |
|
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $636,396,675) |
|
|||
Municipal Securities - 0.6% |
||||
|
||||
Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (l) |
|
3,300,000 |
3,425,565 |
|
California Gen. Oblig.: |
|
|
|
|
Series 2009, 7.35% 11/1/39 |
|
2,090,000 |
2,713,489 |
|
7.3% 10/1/39 |
|
2,150,000 |
2,774,726 |
|
7.5% 4/1/34 |
|
14,555,000 |
18,963,273 |
|
7.55% 4/1/39 |
|
11,090,000 |
14,848,401 |
|
7.6% 11/1/40 |
|
12,145,000 |
16,460,847 |
|
7.625% 3/1/40 |
|
4,600,000 |
6,187,230 |
|
Illinois Gen. Oblig.: |
|
|
|
|
Series 2010, 4.421% 1/1/15 |
|
6,825,000 |
7,256,681 |
|
Municipal Securities - continued |
||||
|
Principal |
Value |
||
Illinois Gen. Oblig.: - continued |
|
|
|
|
Series 2010-3: |
|
|
|
|
6.725% 4/1/35 |
|
$ 3,975,000 |
$ 4,463,329 |
|
7.35% 7/1/35 |
|
3,210,000 |
3,813,737 |
|
Series 2011, 5.877% 3/1/19 |
|
2,640,000 |
2,951,546 |
|
5.1% 6/1/33 |
|
11,090,000 |
10,723,032 |
|
TOTAL MUNICIPAL SECURITIES (Cost $89,794,592) |
|
|||
Foreign Government and Government Agency Obligations - 1.7% |
||||
|
||||
Arab Republic of Egypt 6.875% 4/30/40 (f) |
|
700,000 |
675,500 |
|
Argentine Republic: |
|
|
|
|
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 |
|
4,581,067 |
3,126,578 |
|
2.5% 12/31/38 (e) |
|
4,605,000 |
1,508,138 |
|
7% 9/12/13 |
|
8,690,000 |
8,274,087 |
|
7% 10/3/15 |
|
6,305,000 |
5,305,307 |
|
Bahamian Republic 6.95% 11/20/29 (f) |
|
855,000 |
1,000,350 |
|
Belarus Republic: |
|
|
|
|
8.75% 8/3/15 (Reg. S) |
|
3,910,000 |
3,831,800 |
|
8.95% 1/26/18 |
|
2,110,000 |
1,993,950 |
|
Bermuda Government 4.138% 1/3/23 (f) |
|
670,000 |
708,525 |
|
Brazilian Federative Republic: |
|
|
|
|
7.125% 1/20/37 |
|
1,215,000 |
1,854,455 |
|
8.25% 1/20/34 |
|
855,000 |
1,418,274 |
|
10.125% 5/15/27 |
|
1,580,000 |
2,804,500 |
|
12.25% 3/6/30 |
|
775,000 |
1,573,250 |
|
City of Buenos Aires 12.5% 4/6/15 (f) |
|
3,105,000 |
2,949,750 |
|
Colombian Republic: |
|
|
|
|
4.375% 7/12/21 |
|
870,000 |
1,009,200 |
|
6.125% 1/18/41 |
|
1,585,000 |
2,159,563 |
|
7.375% 9/18/37 |
|
2,130,000 |
3,290,850 |
|
10.375% 1/28/33 |
|
2,040,000 |
3,743,400 |
|
11.75% 2/25/20 |
|
1,050,000 |
1,714,125 |
|
Congo Republic 3% 6/30/29 (e) |
|
2,869,000 |
2,266,510 |
|
Croatia Republic: |
|
|
|
|
6.25% 4/27/17 (f) |
|
2,985,000 |
3,145,593 |
|
6.375% 3/24/21 (f) |
|
2,250,000 |
2,359,575 |
|
6.625% 7/14/20 (f) |
|
1,970,000 |
2,105,536 |
|
6.75% 11/5/19 (f) |
|
2,550,000 |
2,754,000 |
|
Foreign Government and Government Agency Obligations - continued |
||||
|
Principal |
Value |
||
Democratic Socialist Republic of Sri Lanka: |
|
|
|
|
5.875% 7/25/22 (f) |
|
$ 675,000 |
$ 691,875 |
|
6.25% 10/4/20 (f) |
|
2,360,000 |
2,478,000 |
|
6.25% 7/27/21 (f) |
|
1,610,000 |
1,686,475 |
|
7.4% 1/22/15 (f) |
|
1,635,000 |
1,757,625 |
|
Dominican Republic: |
|
|
|
|
1.2754% 8/30/24 (l) |
|
1,350,000 |
1,242,000 |
|
7.5% 5/6/21 (f) |
|
2,580,000 |
2,921,850 |
|
9.04% 1/23/18 (f) |
|
1,185,880 |
1,337,080 |
|
El Salvador Republic: |
|
|
|
|
7.625% 2/1/41 (f) |
|
525,000 |
592,725 |
|
7.65% 6/15/35 (Reg. S) |
|
1,165,000 |
1,304,800 |
|
7.75% 1/24/23 (Reg. S) |
|
544,000 |
628,320 |
|
8.25% 4/10/32 (Reg. S) |
|
575,000 |
681,375 |
|
Gabonese Republic 8.2% 12/12/17 (f) |
|
1,035,000 |
1,242,000 |
|
Georgia Republic 6.875% 4/12/21 (f) |
|
1,820,000 |
2,042,950 |
|
Ghana Republic 8.5% 10/4/17 (f) |
|
1,625,000 |
1,880,938 |
|
Guatemalan Republic 5.75% 6/6/22 (f) |
|
1,135,000 |
1,265,525 |
|
Hungarian Republic: |
|
|
|
|
4.75% 2/3/15 |
|
7,095,000 |
7,148,213 |
|
7.625% 3/29/41 |
|
2,920,000 |
3,204,700 |
|
Indonesian Republic: |
|
|
|
|
4.875% 5/5/21 (f) |
|
1,460,000 |
1,629,652 |
|
5.25% 1/17/42 (f) |
|
1,375,000 |
1,529,688 |
|
5.875% 3/13/20 (f) |
|
1,660,000 |
1,956,808 |
|
6.625% 2/17/37 (f) |
|
1,100,000 |
1,421,750 |
|
6.875% 1/17/18 (f) |
|
1,105,000 |
1,334,288 |
|
7.75% 1/17/38 (f) |
|
1,925,000 |
2,796,063 |
|
8.5% 10/12/35 (Reg. S) |
|
1,685,000 |
2,594,900 |
|
11.625% 3/4/19 (f) |
|
1,720,000 |
2,592,900 |
|
Islamic Republic of Pakistan 7.125% 3/31/16 (f) |
|
3,710,000 |
3,283,350 |
|
Ivory Coast 3.75% 12/31/32 (c)(e) |
|
750,000 |
611,250 |
|
Jordanian Kingdom 3.875% 11/12/15 |
|
820,000 |
797,450 |
|
Latvian Republic: |
|
|
|
|
5.25% 2/22/17 (f) |
|
1,335,000 |
1,441,800 |
|
5.25% 6/16/21 (f) |
|
625,000 |
678,125 |
|
Lebanese Republic: |
|
|
|
|
4% 12/31/17 |
|
3,979,250 |
3,839,976 |
|
4.75% 11/2/16 |
|
600,000 |
588,000 |
|
5.15% 11/12/18 |
|
550,000 |
537,625 |
|
Lithuanian Republic: |
|
|
|
|
6.125% 3/9/21 (f) |
|
1,985,000 |
2,277,192 |
|
Foreign Government and Government Agency Obligations - continued |
||||
|
Principal |
Value |
||
Lithuanian Republic: - continued |
|
|
|
|
6.625% 2/1/22 (f) |
|
$ 1,940,000 |
$ 2,309,958 |
|
7.375% 2/11/20 (f) |
|
2,655,000 |
3,235,781 |
|
Peruvian Republic: |
|
|
|
|
3% 3/7/27 (e) |
|
1,360,000 |
1,360,000 |
|
5.625% 11/18/50 |
|
1,620,000 |
2,087,856 |
|
7.35% 7/21/25 |
|
1,550,000 |
2,251,375 |
|
8.75% 11/21/33 |
|
2,865,000 |
4,934,963 |
|
Philippine Republic: |
|
|
|
|
7.5% 9/25/24 |
|
290,000 |
406,000 |
|
7.75% 1/14/31 |
|
1,430,000 |
2,152,150 |
|
9.5% 2/2/30 |
|
1,780,000 |
3,032,764 |
|
9.875% 1/15/19 |
|
640,000 |
916,800 |
|
10.625% 3/16/25 |
|
1,320,000 |
2,263,800 |
|
Polish Government: |
|
|
|
|
3.875% 7/16/15 |
|
840,000 |
901,950 |
|
5% 3/23/22 |
|
1,805,000 |
2,078,006 |
|
6.375% 7/15/19 |
|
2,200,000 |
2,706,000 |
|
Provincia de Cordoba 12.375% 8/17/17 (f) |
|
2,110,000 |
1,529,750 |
|
Republic of Iceland 5.875% 5/11/22 (f) |
|
1,630,000 |
1,707,425 |
|
Republic of Iraq 5.8% 1/15/28 (Reg. S) |
|
5,250,000 |
4,711,875 |
|
Republic of Namibia 5.5% 11/3/21 (f) |
|
1,340,000 |
1,470,382 |
|
Republic of Nigeria 6.75% 1/28/21 (f) |
|
1,355,000 |
1,524,375 |
|
Republic of Senegal 8.75% 5/13/21 (f) |
|
700,000 |
804,125 |
|
Republic of Serbia 6.75% 11/1/24 (f) |
|
7,266,667 |
7,012,334 |
|
Romanian Republic 6.75% 2/7/22 (f) |
|
2,872,000 |
3,108,940 |
|
Russian Federation: |
|
|
|
|
3.25% 4/4/17 (f) |
|
600,000 |
626,220 |
|
4.5% 4/4/22 (f) |
|
1,000,000 |
1,108,700 |
|
5.625% 4/4/42 (f) |
|
1,000,000 |
1,178,800 |
|
7.5% 3/31/30 (Reg. S) |
|
5,688,935 |
7,103,773 |
|
11% 7/24/18 (Reg. S) |
|
385,000 |
556,325 |
|
12.75% 6/24/28 (Reg. S) |
|
2,595,000 |
4,959,564 |
|
Slovakia Republic 4.375% 5/21/22 (f) |
|
1,990,000 |
2,059,650 |
|
State of Qatar 5.75% 1/20/42 (f) |
|
945,000 |
1,176,525 |
|
State Oil Company of Azerbaijan Republic 5.45% 2/9/17 |
|
355,000 |
378,395 |
|
Turkish Republic: |
|
|
|
|
5.125% 3/25/22 |
|
735,000 |
826,875 |
|
5.625% 3/30/21 |
|
815,000 |
947,438 |
|
6% 1/14/41 |
|
1,220,000 |
1,444,236 |
|
6.25% 9/26/22 |
|
680,000 |
825,316 |
|
Foreign Government and Government Agency Obligations - continued |
||||
|
Principal |
Value |
||
Turkish Republic: - continued |
|
|
|
|
6.75% 4/3/18 |
|
$ 1,395,000 |
$ 1,677,488 |
|
6.75% 5/30/40 |
|
805,000 |
1,038,450 |
|
6.875% 3/17/36 |
|
2,330,000 |
3,005,700 |
|
7% 9/26/16 |
|
1,360,000 |
1,591,200 |
|
7% 3/11/19 |
|
335,000 |
412,888 |
|
7.25% 3/15/15 |
|
1,080,000 |
1,206,900 |
|
7.25% 3/5/38 |
|
1,250,000 |
1,693,750 |
|
7.375% 2/5/25 |
|
2,430,000 |
3,192,534 |
|
7.5% 7/14/17 |
|
1,285,000 |
1,564,488 |
|
7.5% 11/7/19 |
|
745,000 |
948,981 |
|
8% 2/14/34 |
|
490,000 |
702,562 |
|
11.875% 1/15/30 |
|
960,000 |
1,819,200 |
|
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (f) |
|
1,690,000 |
1,499,875 |
|
Ukraine Government: |
|
|
|
|
6.25% 6/17/16 (f) |
|
1,680,000 |
1,543,416 |
|
6.75% 11/14/17 (f) |
|
1,070,000 |
974,984 |
|
7.65% 6/11/13 (f) |
|
3,240,000 |
3,243,888 |
|
7.75% 9/23/20 (f) |
|
1,430,000 |
1,340,625 |
|
7.95% 2/23/21 (f) |
|
1,425,000 |
1,343,063 |
|
9.25% 7/24/17 (f) |
|
1,470,000 |
1,488,375 |
|
United Arab Emirates 7.75% 10/5/20 (Reg. S) |
|
545,000 |
637,650 |
|
United Mexican States: |
|
|
|
|
4.75% 3/8/44 |
|
658,000 |
738,605 |
|
5.75% 10/12/10 |
|
516,000 |
621,780 |
|
6.05% 1/11/40 |
|
1,236,000 |
1,653,150 |
|
6.75% 9/27/34 |
|
1,020,000 |
1,443,300 |
|
7.5% 4/8/33 |
|
425,000 |
647,063 |
|
8.3% 8/15/31 |
|
420,000 |
678,300 |
|
Uruguay Republic: |
|
|
|
|
7.875% 1/15/33 pay-in-kind |
|
2,595,000 |
4,022,251 |
|
8% 11/18/22 |
|
1,620,903 |
2,334,100 |
|
Venezuelan Republic: |
|
|
|
|
6% 12/9/20 |
|
620,000 |
457,250 |
|
7% 3/31/38 |
|
625,000 |
435,938 |
|
7.75% 10/13/19 (Reg. S) |
|
700,000 |
593,250 |
|
8.5% 10/8/14 |
|
735,000 |
735,000 |
|
9% 5/7/23 (Reg. S) |
|
2,215,000 |
1,893,825 |
|
9.25% 9/15/27 |
|
1,210,000 |
1,061,775 |
|
9.25% 5/7/28 (Reg. S) |
|
790,000 |
669,525 |
|
9.375% 1/13/34 |
|
885,000 |
752,250 |
|
Foreign Government and Government Agency Obligations - continued |
||||
|
Principal |
Value |
||
Venezuelan Republic: - continued |
|
|
|
|
10.75% 9/19/13 |
|
$ 1,105,000 |
$ 1,143,675 |
|
11.75% 10/21/26 (Reg. S) |
|
1,410,000 |
1,385,325 |
|
11.95% 8/5/31 (Reg. S) |
|
1,890,000 |
1,871,100 |
|
12.75% 8/23/22 |
|
4,070,000 |
4,263,325 |
|
13.625% 8/15/18 |
|
848,000 |
905,240 |
|
Vietnamese Socialist Republic: |
|
|
|
|
1.563% 3/12/16 (l) |
|
1,026,087 |
933,739 |
|
4% 3/12/28 (e) |
|
4,595,000 |
3,721,950 |
|
6.875% 1/15/16 (f) |
|
1,955,000 |
2,082,075 |
|
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $233,311,809) |
|
Common Stocks - 0.0% |
|||
Shares |
|
||
TELECOMMUNICATION SERVICES - 0.0% |
|||
Wireless Telecommunication Services - 0.0% |
|||
CUI Acquisition Corp. Class E (f) (Cost $1,258,919) |
1 |
863,100 |
|
Preferred Stocks - 0.1% |
|||
|
|
|
|
Convertible Preferred Stocks - 0.0% |
|||
CONSUMER DISCRETIONARY - 0.0% |
|||
Automobiles - 0.0% |
|||
General Motors Co. 4.75% |
80,100 |
2,859,570 |
|
FINANCIALS - 0.0% |
|||
Real Estate Investment Trusts - 0.0% |
|||
Alexandria Real Estate Equities, Inc. Series D 7.00% |
9,000 |
240,188 |
|
TOTAL CONVERTIBLE PREFERRED STOCKS |
3,099,758 |
||
Nonconvertible Preferred Stocks - 0.1% |
|||
FINANCIALS - 0.1% |
|||
Real Estate Investment Trusts - 0.1% |
|||
Alexandria Real Estate Equities, Inc. Series E, 6.45% |
15,000 |
401,850 |
|
Preferred Stocks - continued |
|||
Shares |
Value |
||
Nonconvertible Preferred Stocks - continued |
|||
FINANCIALS - continued |
|||
Real Estate Investment Trusts - continued |
|||
Annaly Capital Management, Inc. Series C, 7.625% |
27,600 |
$ 712,080 |
|
CBL & Associates Properties, Inc. 7.375% |
7,720 |
197,632 |
|
Cedar Shopping Centers, Inc. 8.875% |
4,719 |
119,815 |
|
Corporate Office Properties Trust: |
|
|
|
Series H, 7.50% |
5,000 |
127,000 |
|
Series L, 7.375% (a) |
12,221 |
314,691 |
|
Digital Realty Trust, Inc. Series E, 7.00% |
10,000 |
276,400 |
|
Equity Lifestyle Properties, Inc. 8.034% |
22,162 |
565,131 |
|
Essex Property Trust, Inc. Series H, 7.125% |
9,354 |
249,658 |
|
First Potomac Realty Trust 7.75% |
15,000 |
384,000 |
|
Hersha Hospitality Trust Series B, 8.00% |
13,844 |
362,159 |
|
Hospitality Properties Trust Series D, 7.125% |
10,000 |
273,400 |
|
LaSalle Hotel Properties Series H, 7.50% |
10,000 |
270,600 |
|
PS Business Parks, Inc.: |
|
|
|
6.875% |
10,000 |
272,000 |
|
Series S, 6.45% |
21,000 |
572,250 |
|
Public Storage: |
|
|
|
Series P, 6.50% |
12,000 |
335,160 |
|
Series R, 6.35% |
10,500 |
289,800 |
|
Series S, 5.90% |
20,000 |
534,200 |
|
Realty Income Corp. Series F, 6.625% |
12,000 |
326,400 |
|
Regency Centers Corp. Series 6, 6.625% |
5,510 |
148,770 |
|
Stag Industrial, Inc. Series A, 9.00% |
20,000 |
544,000 |
|
Taubman Centers, Inc. Series J, 6.50% |
11,338 |
286,398 |
|
|
7,563,394 |
||
TOTAL PREFERRED STOCKS (Cost $11,143,785) |
|
Floating Rate Loans - 0.4% |
||||
|
Principal |
|
||
CONSUMER DISCRETIONARY - 0.2% |
||||
Auto Components - 0.1% |
||||
Federal-Mogul Corp.: |
|
|
|
|
Tranche B, term loan 2.1775% 12/27/14 (l) |
|
$ 3,334,205 |
3,188,333 |
|
Tranche C, term loan 2.1775% 12/27/15 (l) |
|
2,094,302 |
2,002,677 |
|
|
5,191,010 |
|||
Floating Rate Loans - continued |
||||
|
Principal |
Value |
||
CONSUMER DISCRETIONARY - continued |
||||
Automobiles - 0.0% |
||||
Chrysler Group LLC Tranche B, term loan 6% 5/24/17 (l) |
|
$ 2,776,950 |
$ 2,825,547 |
|
Diversified Consumer Services - 0.0% |
||||
Visant Corp. Tranche B, term loan 5.25% 12/22/16 (l) |
|
2,015,623 |
1,945,076 |
|
Hotels, Restaurants & Leisure - 0.0% |
||||
Extended Stay America, Inc. term loan 9.75% 11/1/15 |
|
1,000,000 |
1,010,000 |
|
Landry's Restaurants, Inc. Tranche B, term loan 6.5% 4/24/18 (l) |
|
1,910,213 |
1,929,315 |
|
|
2,939,315 |
|||
Media - 0.1% |
||||
Harron Communications LP Tranche B, term loan 5.5% 10/6/17 (l) |
|
1,868,088 |
1,872,758 |
|
Newsday LLC term loan 10.5% 8/1/13 |
|
3,505,000 |
3,509,557 |
|
Univision Communications, Inc. term loan 4.4815% 3/31/17 (l) |
|
3,975,109 |
3,845,918 |
|
UPC Broadband Holding BV Tranche AB, term loan 4.75% 12/31/17 (l) |
|
1,250,000 |
1,250,000 |
|
|
10,478,233 |
|||
Multiline Retail - 0.0% |
||||
Neiman Marcus Group, Inc. Tranche B, term loan 4.75% 5/16/18 (l) |
|
1,680,000 |
1,677,900 |
|
Specialty Retail - 0.0% |
||||
PETCO Animal Supplies, Inc. term loan 4.5% 11/24/17 (l) |
|
338,100 |
337,677 |
|
TOTAL CONSUMER DISCRETIONARY |
25,394,758 |
|||
ENERGY - 0.0% |
||||
Oil, Gas & Consumable Fuels - 0.0% |
||||
Arch Coal, Inc. Tranche B, term loan 5.75% 5/16/18 (l) |
|
635,000 |
635,000 |
|
Crestwood Holdings Partners LLC Tranche B, term loan 9.75% 3/26/18 (l) |
|
1,227,555 |
1,249,037 |
|
Energy Transfer Equity LP Tranche B, term loan 3.75% 3/23/17 (l) |
|
1,855,000 |
1,834,131 |
|
|
3,718,168 |
|||
FINANCIALS - 0.1% |
||||
Diversified Financial Services - 0.0% |
||||
Flying Fortress, Inc. Tranche 3, term loan 5% 6/30/17 (l) |
|
1,615,000 |
1,629,212 |
|
Floating Rate Loans - continued |
||||
|
Principal |
Value |
||
FINANCIALS - continued |
||||
Insurance - 0.1% |
||||
Asurion Corp.: |
|
|
|
|
Tranche 1st LN, term loan 5.5% 5/24/18 (l) |
|
$ 2,262,386 |
$ 2,268,042 |
|
Tranche 2nd LN, term loan 9% 5/24/19 (l) |
|
1,451,274 |
1,498,440 |
|
Tranche B-1 1LN, term loan 4.75% 7/23/17 (l) |
|
790,000 |
789,052 |
|
Lonestar Intermediate Super Holdings LLC term loan 11% 9/2/19 (l) |
|
1,925,000 |
2,045,313 |
|
|
6,600,847 |
|||
Real Estate Management & Development - 0.0% |
||||
Capital Automotive LP term loan 5.25% 3/11/17 (l) |
|
601,874 |
603,378 |
|
CityCenter term loan 8.75% 7/1/13 (l) |
|
521,219 |
518,613 |
|
EOP Operating LP term loan 1.995% 2/5/13 (l) |
|
1,000,000 |
955,000 |
|
|
2,076,991 |
|||
TOTAL FINANCIALS |
10,307,050 |
|||
HEALTH CARE - 0.0% |
||||
Health Care Providers & Services - 0.0% |
||||
Quintiles Transnational Corp. Tranche B, term loan 5% 6/8/18 (l) |
|
2,221,533 |
2,221,533 |
|
INDUSTRIALS - 0.1% |
||||
Airlines - 0.1% |
||||
Delta Air Lines, Inc. Tranche B, term loan 5.5% 4/20/17 (l) |
|
2,767,050 |
2,773,968 |
|
US Airways Group, Inc. term loan 2.7355% 3/23/14 (l) |
|
3,710,765 |
3,608,719 |
|
|
6,382,687 |
|||
Construction & Engineering - 0.0% |
||||
Drumm Investors LLC Tranche B, term loan 5% 5/4/18 (l) |
|
539,420 |
513,797 |
|
Machinery - 0.0% |
||||
Colfax Corp. Tranche B, term loan 4.5% 9/12/18 (l) |
|
2,517,350 |
2,526,790 |
|
Husky Intermediate, Inc. Tranche B, term loan 5.75% 6/30/18 (l) |
|
2,213,883 |
2,219,418 |
|
|
4,746,208 |
|||
TOTAL INDUSTRIALS |
11,642,692 |
|||
INFORMATION TECHNOLOGY - 0.0% |
||||
IT Services - 0.0% |
||||
First Data Corp. term loan 4.2365% 3/24/18 (l) |
|
865,000 |
817,425 |
|
Floating Rate Loans - continued |
||||
|
Principal |
Value |
||
MATERIALS - 0.0% |
||||
Chemicals - 0.0% |
||||
Ascend Performance Materials Operation LLC Tranche B, term loan 6.75% 4/10/18 (l) |
|
$ 2,214,450 |
$ 2,197,842 |
|
Kronos Worldwide, Inc. term loan 5.75% 6/13/18 (l) |
|
755,000 |
758,775 |
|
|
2,956,617 |
|||
Metals & Mining - 0.0% |
||||
JMC Steel Group, Inc. term loan 4.75% 4/1/17 (l) |
|
2,098,329 |
2,106,198 |
|
TOTAL MATERIALS |
5,062,815 |
|||
TELECOMMUNICATION SERVICES - 0.0% |
||||
Wireless Telecommunication Services - 0.0% |
||||
Intelsat Jackson Holdings SA term loan 3.2385% 2/1/14 (l) |
|
2,425,000 |
2,388,625 |
|
UTILITIES - 0.0% |
||||
Independent Power Producers & Energy Traders - 0.0% |
||||
The AES Corp. Tranche B, term loan 4.25% 5/27/18 (l) |
|
370,313 |
371,238 |
|
TOTAL FLOATING RATE LOANS (Cost $59,759,429) |
|
|||
Sovereign Loan Participations - 0.0% |
||||
|
||||
Indonesian Republic loan participation: |
|
|
|
|
Citibank 1.25% 12/14/19 (l) |
|
1,456,912 |
1,362,213 |
|
Goldman Sachs 1.25% 12/14/19 (l) |
|
1,248,611 |
1,167,451 |
|
1.25% 12/14/19 (l) |
|
96,321 |
90,061 |
|
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $2,412,661) |
|
|||
Bank Notes - 0.0% |
||||
|
||||
Wachovia Bank NA 6% 11/15/17 |
|
2,243,000 |
|
Fixed-Income Funds - 24.9% |
|||
Shares |
Value |
||
Fidelity Floating Rate Central Fund (m) |
4,393,033 |
$ 455,557,522 |
|
Fidelity Mortgage Backed Securities Central Fund (m) |
30,634,460 |
3,365,808,163 |
|
TOTAL FIXED-INCOME FUNDS (Cost $3,546,975,871) |
|
||
Preferred Securities - 0.0% |
|||
Principal |
|
||
CONSUMER DISCRETIONARY - 0.0% |
|||
Media - 0.0% |
|||
Globo Comunicacoes e Participacoes SA 6.25% (e)(f)(g) |
$ 1,380,000 |
1,493,571 |
|
MATERIALS - 0.0% |
|||
Metals & Mining - 0.0% |
|||
CSN Islands XII Corp. 7% (Reg. S) (g) |
1,980,000 |
2,026,164 |
|
TOTAL PREFERRED SECURITIES (Cost $3,341,958) |
|
||
Money Market Funds - 7.3% |
|||
Shares |
|
||
Fidelity Cash Central Fund, 0.17% (b) |
1,115,016,542 |
|
|
TOTAL INVESTMENT PORTFOLIO - 102.9% (Cost $14,819,991,219) |
15,818,587,481 |
||
NET OTHER ASSETS (LIABILITIES) - (2.9)% |
(441,403,972) |
||
NET ASSETS - 100% |
$ 15,377,183,509 |
||
TBA Sale Commitments |
|||
|
Principal |
Value |
|
Fannie Mae |
|||
3% 9/1/42 |
$ (35,400,000) |
$ (36,733,511) |
|
3% 9/1/42 |
(7,100,000) |
(7,367,456) |
|
3% 9/1/42 |
(35,400,000) |
(36,733,511) |
|
3% 9/1/42 |
(3,400,000) |
(3,528,077) |
|
3.5% 9/1/42 |
(49,100,000) |
(52,061,339) |
|
3.5% 9/1/42 |
(14,300,000) |
(15,162,467) |
|
TOTAL FANNIE MAE |
(151,586,361) |
||
Ginnie Mae |
|||
3.5% 9/1/42 |
(28,700,000) |
(31,067,753) |
|
3.5% 9/1/42 |
(14,300,000) |
(15,479,751) |
|
TOTAL GINNIE MAE |
(46,547,504) |
||
TOTAL TBA SALE COMMITMENTS (Proceeds $196,996,281) |
$ (198,133,865) |
Swap Agreements |
|||||
|
Expiration Date |
Notional Amount (k) |
Value |
||
Credit Default Swaps |
|||||
Receive monthly notional amount multiplied by 1.545% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-Ca) (j) |
August 2034 |
$ 22,946 |
$ (16,004) |
||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (j) |
Sept. 2034 |
22,651 |
(19,174) |
||
|
$ 45,597 |
$ (35,178) |
Currency Abbreviations |
||
CAD |
- |
Canadian dollar |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(c) Non-income producing - Security is in default. |
(d) Amount is stated in United States dollars unless otherwise noted. |
(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $976,637,203 or 6.4% of net assets. |
(g) Security is perpetual in nature with no stated maturity date. |
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $125,582. |
(j) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference. The underlying reference may be a single-name issuer or a traded credit index. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. For swaps on a trade credit index, ratings represent a weighted average of the ratings of all securities included in the index. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk. |
(k) 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. |
(l) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(m) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request. |
(n) 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. |
(o) 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 $703,384 or 0.0% of net assets. |
Additional information on each restricted holding is as follows: |
Security |
Acquisition Date |
Acquisition Cost |
ACGS Series 2004-1 Class P, 7.4651% 8/1/19 |
2/17/11 |
$ 441,634 |
GMAC Commercial Mortgage Securities, Inc. Series 1999-C2I Class K, 6.481% 9/15/33 |
3/23/07 - 12/4/09 |
$ 173,625 |
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 |
Fidelity Cash Central Fund |
$ 1,028,589 |
Fidelity Floating Rate Central Fund |
27,332,268 |
Fidelity Mortgage Backed Securities Central Fund |
83,919,819 |
Total |
$ 112,280,676 |
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 |
Value, |
Purchases |
Sales |
Value, |
% ownership, end of |
Fidelity Floating Rate Central Fund |
$ 389,816,805 |
$ 176,951,631 |
$ 149,887,472 |
$ 455,557,522 |
31.1% |
Fidelity Mortgage Backed Securities Central Fund |
2,813,030,905 |
804,295,424 |
299,862,393 |
3,365,808,163 |
21.5% |
Total |
$ 3,202,847,710 |
$ 981,247,055 |
$ 449,749,865 |
$ 3,821,365,685 |
|
Other Information |
The following is a summary of the inputs used, as of August 31, 2012, 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 Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: |
||||
Description |
Total |
Level 1 |
Level 2 |
Level 3 |
Investments in Securities: |
||||
Equities: |
||||
Consumer Discretionary |
$ 2,859,570 |
$ 2,859,570 |
$ - |
$ - |
Financials |
7,803,582 |
7,563,394 |
240,188 |
- |
Telecommunication Services |
863,100 |
- |
- |
863,100 |
Corporate Bonds |
3,375,498,349 |
- |
3,375,109,413 |
388,936 |
U.S. Government and Government Agency Obligations |
4,036,561,713 |
- |
4,036,561,713 |
- |
U.S. Government Agency - Mortgage Securities |
1,953,947,679 |
- |
1,953,947,679 |
- |
Asset-Backed Securities |
255,521,074 |
- |
240,434,313 |
15,086,761 |
Collateralized Mortgage Obligations |
67,799,657 |
- |
63,920,356 |
3,879,301 |
Commercial Mortgage Securities |
750,760,023 |
- |
702,337,564 |
48,422,459 |
Municipal Securities |
94,581,856 |
- |
94,581,856 |
- |
Foreign Government and Government Agency Obligations |
265,258,318 |
- |
263,898,318 |
1,360,000 |
Floating Rate Loans |
61,924,304 |
- |
59,440,691 |
2,483,613 |
Sovereign Loan Participations |
2,619,725 |
- |
- |
2,619,725 |
Bank Notes |
2,686,569 |
- |
2,686,569 |
- |
Fixed-Income Funds |
3,821,365,685 |
3,821,365,685 |
- |
- |
Preferred Securities |
3,519,735 |
- |
3,519,735 |
- |
Money Market Funds |
1,115,016,542 |
1,115,016,542 |
- |
- |
Total Investments in Securities: |
$ 15,818,587,481 |
$ 4,946,805,191 |
$ 10,796,678,395 |
$ 75,103,895 |
Derivative Instruments: |
||||
Liabilities |
||||
Swap Agreements |
$ (35,178) |
$ - |
$ - |
$ (35,178) |
Other Financial Instruments: |
||||
TBA Sale Commitments |
$ (198,133,865) |
$ - |
$ (198,133,865) |
$ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2012. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / |
Value |
|
|
Asset |
Liability |
Credit Risk |
||
Swap Agreements (a) |
$ - |
$ (35,178) |
Total Value of Derivatives |
$ - |
$ (35,178) |
(a) Value is disclosed on the Statement of Assets and Liabilities in the Swap agreements, at value line-items. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
|
August 31, 2012 |
|
|
|
|
Assets |
|
|
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $10,157,998,806) |
$ 10,882,205,254 |
|
Fidelity Central Funds (cost $4,661,992,413) |
4,936,382,227 |
|
Total Investments (cost $14,819,991,219) |
|
$ 15,818,587,481 |
Cash |
|
571,379 |
Receivable for investments sold, regular delivery |
|
115,454,778 |
Receivable for TBA sale commitments |
|
196,996,281 |
Receivable for swap agreements |
|
106 |
Receivable for fund shares sold |
|
18,856,046 |
Dividends receivable |
|
62,370 |
Interest receivable |
|
74,930,906 |
Distributions receivable from Fidelity Central Funds |
|
139,940 |
Other receivables |
|
95,922 |
Total assets |
|
16,225,695,209 |
|
|
|
Liabilities |
|
|
Payable for investments purchased |
$ 14,517,077 |
|
Delayed delivery |
618,268,722 |
|
TBA sale commitments, at value |
198,133,865 |
|
Payable for fund shares redeemed |
9,593,091 |
|
Distributions payable |
1,926,056 |
|
Swap agreements, at value |
35,178 |
|
Accrued management fee |
3,985,407 |
|
Distribution and service plan fees payable |
229,057 |
|
Other affiliated payables |
1,766,172 |
|
Other payables and accrued expenses |
57,075 |
|
Total liabilities |
|
848,511,700 |
|
|
|
Net Assets |
|
$ 15,377,183,509 |
Net Assets consist of: |
|
|
Paid in capital |
|
$ 14,212,944,685 |
Undistributed net investment income |
|
32,646,990 |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions |
|
134,168,332 |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies |
|
997,423,502 |
Net Assets |
|
$ 15,377,183,509 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
|
August 31, 2012 |
|
|
|
|
Calculation of Maximum Offering Price |
|
$ 11.29 |
|
|
|
Maximum offering price per share (100/96.00 of $11.29) |
|
$ 11.76 |
Class T: |
|
$ 11.28 |
|
|
|
Maximum offering price per share (100/96.00 of $11.28) |
|
$ 11.75 |
Class B: |
|
$ 11.29 |
|
|
|
Class C: |
|
$ 11.29 |
|
|
|
Total Bond: |
|
$ 11.29 |
|
|
|
Institutional Class: |
|
$ 11.27 |
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.
Annual Report
Financial Statements - continued
|
Year ended August 31, 2012 |
|
|
|
|
Investment Income |
|
|
Dividends |
|
$ 919,089 |
Interest |
|
423,424,551 |
Income from Fidelity Central Funds |
|
112,280,676 |
Total income |
|
536,624,316 |
|
|
|
Expenses |
|
|
Management fee |
$ 45,374,634 |
|
Transfer agent fees |
16,126,049 |
|
Distribution and service plan fees |
3,681,304 |
|
Fund wide operations fee |
4,829,454 |
|
Independent trustees' compensation |
50,079 |
|
Miscellaneous |
39,944 |
|
Total expenses before reductions |
70,101,464 |
|
Expense reductions |
(1,816) |
70,099,648 |
Net investment income (loss) |
|
466,524,668 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: |
|
|
Investment securities: |
|
|
Unaffiliated issuers |
399,069,499 |
|
Fidelity Central Funds |
14,026,841 |
|
Foreign currency transactions |
369 |
|
Swap agreements |
(9,731,571) |
|
Total net realized gain (loss) |
|
403,365,138 |
Change in net unrealized appreciation (depreciation) on: Investment securities |
162,512,850 |
|
Assets and liabilities in foreign currencies |
37 |
|
Swap agreements |
9,513,484 |
|
Delayed delivery commitments |
(3,080,519) |
|
Total change in net unrealized appreciation (depreciation) |
|
168,945,852 |
Net gain (loss) |
|
572,310,990 |
Net increase (decrease) in net assets resulting from operations |
|
$ 1,038,835,658 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
|
Year ended |
Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) |
$ 466,524,668 |
$ 503,424,089 |
Net realized gain (loss) |
403,365,138 |
279,450,476 |
Change in net unrealized appreciation (depreciation) |
168,945,852 |
(49,093,458) |
Net increase (decrease) in net assets resulting |
1,038,835,658 |
733,781,107 |
Distributions to shareholders from net investment income |
(476,613,394) |
(485,397,438) |
Distributions to shareholders from net realized gain |
(215,970,794) |
(244,516,243) |
Total distributions |
(692,584,188) |
(729,913,681) |
Share transactions - net increase (decrease) |
1,722,265,752 |
417,450,284 |
Total increase (decrease) in net assets |
2,068,517,222 |
421,317,710 |
|
|
|
Net Assets |
|
|
Beginning of period |
13,308,666,287 |
12,887,348,577 |
End of period (including undistributed net investment income of $32,646,990 and undistributed net investment income of $76,238,459, respectively) |
$ 15,377,183,509 |
$ 13,308,666,287 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
$ 10.27 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) C |
.322 |
.381 |
.428 |
.494 |
.488 |
Net realized and unrealized gain (loss) |
.438 |
.187 |
.778 |
.231 |
(.189) |
Total from investment operations |
.760 |
.568 |
1.206 |
.725 |
.299 |
Distributions from net investment income |
(.335) |
(.367) |
(.402) |
(.447) |
(.474) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.510) |
(.578) |
(.436) |
(.515) |
(.499) |
Net asset value, end of period |
$ 11.29 |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
Total Return A,B |
7.11% |
5.35% |
11.97% |
7.79% |
2.93% |
Ratios to Average Net Assets D,F |
|
|
|
|
|
Expenses before reductions |
.82% |
.83% |
.82% |
.80% |
.80% |
Expenses net of fee waivers, if any |
.82% |
.83% |
.82% |
.80% |
.80% |
Expenses net of all reductions |
.82% |
.83% |
.82% |
.80% |
.80% |
Net investment income (loss) |
2.92% |
3.50% |
4.00% |
5.17% |
4.77% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 643,995 |
$ 1,225,165 |
$ 805,816 |
$ 107,998 |
$ 80,755 |
Portfolio turnover rate E |
155% |
168% G |
130% |
104% G |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F 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.
G 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.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.03 |
$ 11.04 |
$ 10.27 |
$ 10.06 |
$ 10.26 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) C |
.328 |
.386 |
.426 |
.488 |
.489 |
Net realized and unrealized gain (loss) |
.433 |
.186 |
.778 |
.233 |
(.191) |
Total from investment operations |
.761 |
.572 |
1.204 |
.721 |
.298 |
Distributions from net investment income |
(.336) |
(.371) |
(.400) |
(.443) |
(.473) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.511) |
(.582) |
(.434) |
(.511) |
(.498) |
Net asset value, end of period |
$ 11.28 |
$ 11.03 |
$ 11.04 |
$ 10.27 |
$ 10.06 |
Total Return A,B |
7.14% |
5.39% |
11.97% |
7.74% |
2.92% |
Ratios to Average Net Assets D,F |
|
|
|
|
|
Expenses before reductions |
.77% |
.80% |
.82% |
.85% |
.81% |
Expenses net of fee waivers, if any |
.77% |
.80% |
.82% |
.85% |
.81% |
Expenses net of all reductions |
.77% |
.80% |
.82% |
.85% |
.80% |
Net investment income (loss) |
2.97% |
3.54% |
4.01% |
5.12% |
4.76% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 59,896 |
$ 60,500 |
$ 71,349 |
$ 48,090 |
$ 38,574 |
Portfolio turnover rate E |
155% |
168% G |
130% |
104% G |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F 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.
G 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.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.04 |
$ 11.06 |
$ 10.28 |
$ 10.07 |
$ 10.27 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) C |
.247 |
.307 |
.351 |
.423 |
.413 |
Net realized and unrealized gain (loss) |
.434 |
.177 |
.787 |
.233 |
(.190) |
Total from investment operations |
.681 |
.484 |
1.138 |
.656 |
.223 |
Distributions from net investment income |
(.256) |
(.293) |
(.324) |
(.378) |
(.398) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.431) |
(.504) |
(.358) |
(.446) |
(.423) |
Net asset value, end of period |
$ 11.29 |
$ 11.04 |
$ 11.06 |
$ 10.28 |
$ 10.07 |
Total Return A,B |
6.36% |
4.54% |
11.26% |
7.01% |
2.17% |
Ratios to Average Net Assets D,F |
|
|
|
|
|
Expenses before reductions |
1.50% |
1.52% |
1.53% |
1.53% |
1.54% |
Expenses net of fee waivers, if any |
1.50% |
1.52% |
1.53% |
1.53% |
1.54% |
Expenses net of all reductions |
1.50% |
1.52% |
1.53% |
1.53% |
1.54% |
Net investment income (loss) |
2.24% |
2.82% |
3.29% |
4.44% |
4.03% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 11,515 |
$ 9,225 |
$ 13,017 |
$ 9,054 |
$ 9,645 |
Portfolio turnover rate E |
155% |
168% G |
130% |
104% G |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F 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.
G 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.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
$ 10.27 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) C |
.246 |
.308 |
.354 |
.425 |
.413 |
Net realized and unrealized gain (loss) |
.434 |
.187 |
.778 |
.232 |
(.189) |
Total from investment operations |
.680 |
.495 |
1.132 |
.657 |
.224 |
Distributions from net investment income |
(.255) |
(.294) |
(.328) |
(.379) |
(.399) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.430) |
(.505) |
(.362) |
(.447) |
(.424) |
Net asset value, end of period |
$ 11.29 |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
Total Return A,B |
6.34% |
4.65% |
11.20% |
7.02% |
2.18% |
Ratios to Average Net Assets D,F |
|
|
|
|
|
Expenses before reductions |
1.51% |
1.51% |
1.50% |
1.52% |
1.53% |
Expenses net of fee waivers, if any |
1.51% |
1.51% |
1.50% |
1.52% |
1.53% |
Expenses net of all reductions |
1.51% |
1.51% |
1.50% |
1.52% |
1.53% |
Net investment income (loss) |
2.23% |
2.83% |
3.32% |
4.45% |
4.03% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 102,385 |
$ 63,867 |
$ 91,439 |
$ 55,958 |
$ 28,786 |
Portfolio turnover rate E |
155% |
168% G |
130% |
104% G |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F 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.
G 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.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
$ 10.27 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) B |
.363 |
.423 |
.466 |
.527 |
.524 |
Net realized and unrealized gain (loss) |
.434 |
.187 |
.778 |
.232 |
(.189) |
Total from investment operations |
.797 |
.610 |
1.244 |
.759 |
.335 |
Distributions from net investment income |
(.372) |
(.409) |
(.440) |
(.481) |
(.510) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.547) |
(.620) |
(.474) |
(.549) |
(.535) |
Net asset value, end of period |
$ 11.29 |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
Total Return A |
7.48% |
5.76% |
12.37% |
8.17% |
3.29% |
Ratios to Average Net Assets C,E |
|
|
|
|
|
Expenses before reductions |
.45% |
.45% |
.45% |
.45% |
.45% |
Expenses net of fee waivers, if any |
.45% |
.45% |
.45% |
.45% |
.45% |
Expenses net of all reductions |
.45% |
.45% |
.45% |
.45% |
.45% |
Net investment income (loss) |
3.29% |
3.89% |
4.37% |
5.52% |
5.12% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 13,963,154 |
$ 11,418,458 |
$ 11,342,385 |
$ 10,863,828 |
$ 9,976,432 |
Portfolio turnover rate D |
155% |
168% F |
130% |
104% F |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Calculated based on average shares outstanding during the period.
C 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.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E 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.
F 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.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.02 |
$ 11.04 |
$ 10.26 |
$ 10.06 |
$ 10.26 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) B |
.353 |
.413 |
.458 |
.518 |
.516 |
Net realized and unrealized gain (loss) |
.435 |
.178 |
.788 |
.224 |
(.186) |
Total from investment operations |
.788 |
.591 |
1.246 |
.742 |
.330 |
Distributions from net investment income |
(.363) |
(.400) |
(.432) |
(.474) |
(.505) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.538) |
(.611) |
(.466) |
(.542) |
(.530) |
Net asset value, end of period |
$ 11.27 |
$ 11.02 |
$ 11.04 |
$ 10.26 |
$ 10.06 |
Total Return A |
7.40% |
5.58% |
12.41% |
7.99% |
3.24% |
Ratios to Average Net Assets C,E |
|
|
|
|
|
Expenses before reductions |
.53% |
.54% |
.52% |
.53% |
.51% |
Expenses net of fee waivers, if any |
.53% |
.54% |
.52% |
.53% |
.51% |
Expenses net of all reductions |
.53% |
.54% |
.52% |
.53% |
.51% |
Net investment income (loss) |
3.20% |
3.80% |
4.30% |
5.45% |
5.06% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 596,238 |
$ 531,451 |
$ 509,388 |
$ 884,991 |
$ 947,791 |
Portfolio turnover rate D |
155% |
168% F |
130% |
104% F |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Calculated based on average shares outstanding during the period.
C 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.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E 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.
F 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.
Annual Report
For the period ended August 31, 2012
1. Organization.
Fidelity Total Bond Fund (the Fund) is a fund of Fidelity Income Fund (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, Total Bond and Institutional Class shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Effective after the close of business on September 1, 2010, Class B shares were closed to new accounts and additional purchases, except for exchanges and reinvestments. The Fund offered Class F shares during the period June 26, 2009 through September 30, 2010, and all outstanding shares were redeemed by September 30, 2010. 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. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated 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.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) 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 FMR. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Annual Report
Notes to Financial Statements - continued
2. Investments in Fidelity Central Funds - continued
Fidelity Central |
Investment |
Investment |
Investment |
Fidelity Floating Rate Central Fund |
FMR Co., Inc. (FMRC) |
Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. |
Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities
|
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 Futures Repurchase Agreements Swap Agreements |
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 fidelity.com and/or advisor.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including security valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC web site 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:
Annual Report
3. Significant Accounting Policies - continued
Security 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 vendor or broker to value its investments. When current market prices, quotations or rates are not readily available or reliable, securities will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by security type and may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The 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:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, bank notes, floating rate loans, foreign government and government agency obligations, municipal securities, preferred securities, U.S. government and government agency obligations and sovereign loan participations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from third party pricing vendors or broker-supplied valuations. Pricing vendors utilize matrix pricing which considers comparisons to
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. 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. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by 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. Utilizing these techniques may result in transfers between Level 1 and Level 2.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
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 August 31, 2012 for the Fund's investments, is included at the end of Fund's Schedule of Investments.
Foreign Currency Translation. 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.
Annual Report
3. Significant Accounting Policies - continued
Foreign Currency Translation - continued
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 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. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. 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. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. 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.
Expenses. 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.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
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.
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 income taxes is required. As of August 31, 2012, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A 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.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, 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. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax puposes.
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. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, foreign currency transactions, market discount, equity-debt classifications, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales.
Annual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation |
$ 827,319,537 |
Gross unrealized depreciation |
(39,157,730) |
Net unrealized appreciation (depreciation) on securities and other investments |
$ 788,161,807 |
|
|
Tax Cost |
$ 15,030,425,674 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income |
$ 210,788,981 |
Undistributed long-term capital gain |
$ 166,517,877 |
Net unrealized appreciation (depreciation) |
$ 786,989,036 |
The tax character of distributions paid was as follows:
|
August 31, 2012 |
August 31, 2011 |
Ordinary Income |
$ 543,254,351 |
$ 677,298,053 |
Long-term Capital Gains |
149,329,837 |
52,615,628 |
Total |
$ 692,584,188 |
$ 729,913,681 |
New Accounting Pronouncement. In December 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
Annual Report
Notes to Financial Statements - continued
4. Operating Policies.
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.
Annual Report
4. Operating 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.
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.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these loans.
5. 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 swap agreements. 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 instrument 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.
Annual Report
Notes to Financial Statements - continued
5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
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. |
Interest Rate Risk |
Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
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 swap transactions, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement on a bilateral basis 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 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 OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund.
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.
Annual Report
5. 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 shown in the Statement of Operations.
Primary Risk Exposure / Derivative Type |
Net Realized Gain |
Change in Net Unrealized Appreciation (Depreciation) |
Credit Risk |
|
|
Swap Agreements |
$ (11,493,058) |
$ 11,282,704 |
Interest Rate Risk |
|
|
Swap Agreements |
1,761,487 |
(1,769,220) |
Totals (a) |
$ (9,731,571) |
$ 9,513,484 |
(a) A summary of the value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Schedule of Investments and is representative of activity for the period.
Swap Agreements. A swap agreement (swap) is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
Swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the swap agreements at value line items. Any upfront premiums paid or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are included in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. 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 "Swap Agreements."
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 acts as a guarantor of the creditworthiness of a reference obligation and
Annual Report
Notes to Financial Statements - continued
5. Derivative Instruments - continued
Credit Default Swaps - continued
will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR 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.
Annual Report
5. Derivative Instruments - continued
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
6. 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 $2,996,511,940 and $2,592,413,794, respectively.
7. Fees and Other Transactions with Affiliates.
Management Fee. FMR 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 .20% of the Fund's average net assets and an annualized group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, 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 |
Service |
Total |
Retained |
Class A |
-% |
.25% |
$ 2,647,419 |
$ 20,730 |
Class T |
-% |
.25% |
134,313 |
223 |
Class B |
.65% |
.25% |
92,292 |
66,655 |
Class C |
.75% |
.25% |
807,280 |
171,025 |
|
|
|
$ 3,681,304 |
$ 258,633 |
Annual Report
Notes to Financial Statements - continued
7. Fees and Other Transactions with Affiliates - continued
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and 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, .75% 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 |
Class A |
$ 85,483 |
Class T |
18,805 |
Class B* |
14,610 |
Class C* |
8,346 |
|
$ 127,244 |
* 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 FMR, 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 each respective class of the Fund, with the exception of Total Bond. FIIOC receives an asset-based fee of .10% of Total Bonds'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 class were as follows:
|
Amount |
% of |
Class A |
$ 2,273,039 |
.22 |
Class T |
92,686 |
.17 |
Class B |
25,536 |
.25 |
Class C |
130,350 |
.16 |
Total Bond |
12,617,115 |
.10 |
Institutional Class |
987,323 |
.18 |
|
$ 16,126,049 |
|
Annual Report
7. Fees and Other Transactions with Affiliates - continued
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annual rate of .03% of average net assets.
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR 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 $39,944 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. 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, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. 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. Total security lending income during the period amounted to $210,848.
10. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $1,816.
Annual Report
Notes to Financial Statements - continued
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, |
2012 |
2011 A |
From net investment income |
|
|
Class A |
$ 33,174,378 |
$ 35,129,345 |
Class T |
1,623,184 |
1,855,789 |
Class B |
234,459 |
296,985 |
Class C |
1,815,511 |
2,026,950 |
Total Bond |
422,085,321 |
427,026,328 |
Class F |
- |
129,141 |
Institutional Class |
17,680,541 |
18,932,900 |
Total |
$ 476,613,394 |
$ 485,397,438 |
From net realized gain |
|
|
Class A |
$ 20,453,255 |
$ 17,070,006 |
Class T |
936,741 |
1,197,314 |
Class B |
146,504 |
247,157 |
Class C |
1,103,220 |
1,677,741 |
Total Bond |
184,845,293 |
214,891,467 |
Class F |
- |
- |
Institutional Class |
8,485,781 |
9,432,558 |
Total |
$ 215,970,794 |
$ 244,516,243 |
A All Class F shares were redeemed on September 30, 2010.
12. Share Transactions.
Transactions for each class of shares were as follows:
|
Shares |
Dollars |
||
Years ended August 31, |
2012 |
2011 A |
2012 |
2011 A |
Class A |
|
|
|
|
Shares sold |
55,687,021 |
70,407,747 |
$ 616,317,251 |
$ 764,123,344 |
Reinvestment of distributions |
4,615,320 |
4,687,391 |
50,468,160 |
50,970,385 |
Shares redeemed |
(114,257,352) |
(36,997,892) |
(1,261,967,797) |
(404,102,564) |
Net increase (decrease) |
(53,955,011) |
38,097,246 |
$ (595,182,386) |
$ 410,991,165 |
Class T |
|
|
|
|
Shares sold |
3,204,699 |
5,910,533 |
$ 35,225,108 |
$ 64,536,331 |
Reinvestment of distributions |
211,056 |
246,104 |
2,311,967 |
2,672,918 |
Shares redeemed |
(3,591,541) |
(7,131,049) |
(39,283,078) |
(77,181,315) |
Net increase (decrease) |
(175,786) |
(974,412) |
$ (1,746,003) |
$ (9,972,066) |
Annual Report
12. Share Transactions - continued
|
Shares |
Dollars |
||
Years ended August 31, |
2012 |
2011 A |
2012 |
2011 A |
Class B |
|
|
|
|
Shares sold |
412,177 |
164,162 |
$ 4,548,077 |
$ 1,801,729 |
Reinvestment of distributions |
27,801 |
41,104 |
304,772 |
447,251 |
Shares redeemed |
(255,876) |
(547,045) |
(2,827,300) |
(5,927,269) |
Net increase (decrease) |
184,102 |
(341,779) |
$ 2,025,549 |
$ (3,678,289) |
Class C |
|
|
|
|
Shares sold |
4,840,132 |
2,834,490 |
$ 53,492,696 |
$ 30,988,336 |
Reinvestment of distributions |
232,155 |
299,725 |
2,545,589 |
3,259,076 |
Shares redeemed |
(1,789,177) |
(5,620,712) |
(19,700,005) |
(60,917,944) |
Net increase (decrease) |
3,283,110 |
(2,486,497) |
$ 36,338,280 |
$ (26,670,532) |
Total Bond |
|
|
|
|
Shares sold |
465,601,300 |
384,874,413 |
$ 5,136,671,142 |
$ 4,191,107,190 |
Reinvestment of distributions |
52,638,341 |
56,207,634 |
578,033,531 |
611,374,414 |
Shares redeemed |
(315,889,184) |
(432,717,356) |
(3,486,452,105) |
(4,723,560,620) |
Net increase (decrease) |
202,350,457 |
8,364,691 |
$ 2,228,252,568 |
$ 78,920,984 |
Class F |
|
|
|
|
Shares sold |
- |
320,292 |
$ - |
$ 3,532,515 |
Reinvestment of distributions |
- |
11,655 |
- |
129,141 |
Shares redeemed |
- |
(5,214,738) |
- |
(57,498,547) |
Net increase (decrease) |
- |
(4,882,791) |
$ - |
$ (53,836,891) |
Institutional Class |
|
|
|
|
Shares sold |
20,638,230 |
9,397,783 |
$ 227,773,701 |
$ 102,168,317 |
Reinvestment of distributions |
2,315,493 |
2,572,592 |
25,373,096 |
27,946,248 |
Shares redeemed |
(18,279,211) |
(9,899,063) |
(200,569,053) |
(108,418,652) |
Net increase (decrease) |
4,674,512 |
2,071,312 |
$ 52,577,744 |
$ 21,695,913 |
A All Class F shares were redeemed on September 30, 2010.
13. 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.
Annual Report
Notes to Financial Statements - continued
14. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
Annual Report
To the Trustees of Fidelity Income Fund and the Shareholders of Fidelity Total Bond Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Total Bond Fund (a fund of Fidelity Income Fund) at August 31, 2012, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Total Bond Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2012 by correspondence with the custodian, brokers and agent banks, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 18, 2012
Annual Report
The Trustees and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 207 funds advised by FMR or an affiliate. Mr. Curvey oversees 435 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers hold office without limit in time, except that any officer may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Annual Report
Trustees and Officers - continued
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Albert R. Gamper, Jr. serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds and another Board oversees Fidelity's equity and high income funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of FMR's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.
Interested Trustees*:
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupations and Other Relevant Experience+ |
|
Abigail P. Johnson (50) |
|
|
Year of Election or Appointment: 2009 Ms. Johnson is Trustee and Chairman of the Board of Trustees of certain Trusts. Ms. Johnson serves as President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (2011-present), Chairman and Director of FMR (2011-present), and the Vice Chairman and Director (2007-present) of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc., and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity funds (2001-2005), and managed a number of Fidelity funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related. |
James C. Curvey (77) |
|
|
Year of Election or Appointment: 2007 Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp. |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupations and Other Relevant Experience+ |
|
Albert R. Gamper, Jr. (70) |
|
|
Year of Election or Appointment: 2006 Mr. Gamper is Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2012-present). Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), a member of the Board of Trustees, Rutgers University (2004-present), and Chairman of the Board of Barnabas Health Care System. Previously, Mr. Gamper served as Vice Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2011-2012) and as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Robert F. Gartland (60) |
|
|
Year of Election or Appointment: 2010 Mr. Gartland is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (65) |
|
|
Year of Election or Appointment: 2008 Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation (diversified power management, 2009-present), AGL Resources, Inc. (holding company, 2002-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Mr. Edward C. Johnson 3d or Ms. Abigail P. Johnson. |
Michael E. Kenneally (58) |
|
|
Year of Election or Appointment: 2009 Previously, Mr. Kenneally served as a Member of the Advisory Board for certain Fidelity Fixed Income and Asset Allocation Funds (2008-2009). Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management (2003-2005). Mr. Kenneally was a Director of the Credit Suisse Funds (U.S. mutual funds, 2004-2008) and certain other closed-end funds (2004-2005) and was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (71) |
|
|
Year of Election or Appointment: 2007 Mr. Keyes serves as a member of the Boards of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, since 2002) and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, since 1998). Prior to his retirement, Mr. Keyes served as Chairman and Chief Executive Officer of Johnson Controls (automotive, building, and energy, 1998-2002) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (65) |
|
|
Year of Election or Appointment: 2001 Ms. Knowles is Vice Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2012-present). Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is an Honorary Trustee of the Brookings Institution and a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California and the Foundation Board of the School of Architecture at the University of Virginia (2007-present). Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007). |
Kenneth L. Wolfe (73) |
|
|
Year of Election or Appointment: 2005 Prior to his retirement, Mr. Wolfe served as Chairman and a Director (2007-2009) and Chairman and Chief Executive Officer (1994-2001) of Hershey Foods Corporation. He also served as a member of the Boards of Adelphia Communications Corporation (telecommunications, 2003-2006), Bausch & Lomb, Inc. (medical/pharmaceutical, 1993-2007), and Revlon, Inc. (personal care products, 2004-2009). Mr. Wolfe previously served as Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2008-2012). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Annual Report
Executive Officers:
Correspondence intended for each executive officer may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation |
|
John R. Hebble (54) |
|
|
Year of Election or Appointment: 2008 President and Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Hebble also serves as President (2011-present), Treasurer, and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present), Assistant Treasurer of other Fidelity funds (2009-present) and is an employee of Fidelity Investments. |
Charles S. Morrison (51) |
|
|
Year of Election or Appointment: 2012 Vice President of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Morrison also serves as President, Fixed Income and is an employee of Fidelity Investments. Previously, Mr. Morrison served as Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Fixed Income Division. |
Robert P. Brown (48) |
|
|
Year of Election or Appointment: 2012 Vice President of Fidelity's Bond Funds. Mr. Brown also serves as Executive Vice President of Fidelity Investments Money Management, Inc. (2010-present), President, Bond Group of FMR (2011-present), Director and Managing Director, Research of Fidelity Management & Research (U.K.) Inc. (2008-present) and is an employee of Fidelity Investments. Previously, Mr. Brown served as President, Money Market Group of FMR (2010-2011) and Vice President of Fidelity's Money Market Funds (2010-2012). |
Scott C. Goebel (44) |
|
|
Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as Secretary of Fidelity Investments Money Management, Inc. (FIMM) (2010-present) and Fidelity Research and Analysis Company (FRAC) (2010-present); Secretary and CLO of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present); General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); employed by FMR LLC or an affiliate (2001-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), and Fidelity Management & Research (U.K.) Inc. (2008-present). Previously, Mr. Goebel served as Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
Ramon Herrera (38) |
|
|
Year of Election or Appointment: 2012 Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Herrera also serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2004-present). |
Elizabeth Paige Baumann (44) |
|
|
Year of Election or Appointment: 2012 Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Baumann also serves as AML Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2012-present), Chief AML Officer of FMR LLC (2012-present), and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012). |
Christine Reynolds (53) |
|
|
Year of Election or Appointment: 2008 Chief Financial Officer of the Fidelity funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007). |
Michael H. Whitaker (45) |
|
|
Year of Election or Appointment: 2008 Chief Compliance Officer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Whitaker also serves as Chief Compliance Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present). Mr. Whitaker is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Joseph F. Zambello (55) |
|
|
Year of Election or Appointment: 2011 Deputy Treasurer of the Fidelity funds. Mr. Zambello is an employee of Fidelity Investments. Previously, Mr. Zambello served as Vice President of FMR's Program Management Group (2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009). |
Stephanie J. Dorsey (43) |
|
|
Year of Election or Appointment: 2008 Deputy Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Ms. Dorsey also serves as Assistant Treasurer of other Fidelity funds (2010-present) and is an employee of Fidelity Investments (2008-present). Previously, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Adrien E. Deberghes (45) |
|
|
Year of Election or Appointment: 2010 Assistant Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Deberghes also serves as Vice President and Assistant Treasurer (2011-present) and Deputy Treasurer (2008-present) of other Fidelity funds, and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Kenneth B. Robins (43) |
|
|
Year of Election or Appointment: 2009 Assistant Treasurer of the Fidelity Fixed Income and Asset Allocation Funds. Mr. Robins also serves as President and Treasurer of other Fidelity funds (2008-present; 2010-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Deputy Treasurer of the Fidelity funds (2005-2008) and Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2006-2008). |
Gary W. Ryan (54) |
|
|
Year of Election or Appointment: 2005 Assistant Treasurer of the Fidelity funds. Mr. Ryan is an employee of Fidelity Investments. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005). |
Jonathan Davis (44) |
|
|
Year of Election or Appointment: 2010 Assistant Treasurer of the Fidelity funds. Mr. Davis is also Assistant Treasurer of Fidelity Rutland Square Trust II and Fidelity Commonwealth Trust II. Mr. Davis is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (2003-2010). |
Annual Report
The Board of Trustees of Advisor Total Bond Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:
|
Pay Date |
Record Date |
Capital Gains |
Class A |
10/15/12 |
10/12/12 |
$0.281 |
Class T |
10/15/12 |
10/12/12 |
$0.281 |
Class B |
10/15/12 |
10/12/12 |
$0.281 |
Class C |
10/15/12 |
10/12/12 |
$0.281 |
The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2012, $199,670,838, or, if subsequently determined to be different, the net capital gain of such year.
A total of 13.28% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $293,489,978 of distributions paid during the period January 1, 2012 to August 31, 2012 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2013 of amounts for use in preparing 2012 income tax returns.
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co. Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
Fidelity Investments
Money Management, Inc.
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors
(UK) Limited
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
(Fidelity Investment logo)(registered trademark)
ATB-UANN-1012 1.804574.108
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Total Bond
Fund - Institutional Class
Annual Report
August 31, 2012
(Fidelity Cover Art)
Institutional Class is a class of Fidelity® Total Bond Fund
Performance |
How the fund has done over time. |
|
Management's Discussion of Fund Performance |
The Portfolio Manager's review of fund performance and strategy. |
|
Shareholder Expense Example |
An example of shareholder expenses. |
|
Investment Changes |
A summary of major shifts in the fund's investments over the past six months. |
|
Investments |
A complete list of the fund's investments with their market values. |
|
Financial Statements |
Statements of assets and liabilities, operations, and changes in net
assets, |
|
Notes |
Notes to the financial statements. |
|
Report of Independent Registered Public Accounting Firm |
|
|
Trustees and Officers |
|
|
Distributions |
|
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. © 2012 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.
Annual Report
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended August 31, 2012 |
Past 1 |
Past 5 |
Life of |
Institutional Class B |
7.40% |
7.28% |
6.07% |
A From October 15, 2002.
B The initial offering of Institutional Class shares took place on June 16, 2004. Returns prior to June 16, 2004 are those of Fidelity® Total Bond Fund, the original retail class of the fund.
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Total Bond Fund - Institutional Class on October 15, 2002, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Barclays® U.S. Aggregate Bond Index performed over the same period. The initial offering of Institutional Class took place on June 16, 2004. See above for additional information regarding the performance of Institutional Class.
Annual Report
Market Recap: Amid the crosscurrents of declining interest rates, the ebb and flow of concern about European debt, mixed global economic data, and accommodative monetary policy, U.S. taxable investment-grade bonds - as measured by the Barclays® U.S. Aggregate Bond Index - gained 5.78% for the year ending August 31, 2012. Among major sectors in the index, commercial mortgage-backed securities fared best, adding 10.32%, aided by investors' thirst for higher-yielding securities, as well as better commercial real estate fundamentals. Investment-grade credit also outperformed, rising 9.70% on continued strength of U.S. corporations and investors' appetite for more-attractive alternatives to ultra-low-yielding government bonds. U.S. Treasuries lagged corporate bonds with a gain of 5.11%, buffeted during periods when rising interest rates and improved global economic sentiment tempered demand for more rate-sensitive, higher-quality bonds. Government-agency-backed residential mortgage-backed securities (MBS) advanced 3.67%, trailing several other fixed-income sectors. MBS were hindered by their relatively short duration - a measure of interest rate sensitivity - which limited their price appreciation as yields declined. Furthermore, the government's Home Affordable Refinance Program (HARP) was refined in a way that led to faster prepayments. Asset-backed and agency securities saw similar gains, returning 3.83% and 2.91%, respectively.
Comments from Ford O'Neil, Lead Portfolio Manager Fidelity Advisor® Total Bond Fund: For the year, the fund's Institutional Class shares returned 7.40%, solidly outpacing the Barclays® U.S. Aggregate Bond Index and the 6.44% gain of the Barclays U.S. Universal Bond Index. Security selection in the investment-grade subportfolio, along with overall asset allocation, delivered a big boost to the fund's performance versus the Barclays Aggregate Bond index. Positioning among Treasuries was quite beneficial, led by holdings in out-of-index long-maturity Treasury Inflation-Protected Securities (TIPS), as was yield-curve positioning. An overweighting in commercial mortgage-backed securities worked in the fund's favor, as did its focus on government-agency-backed residential mortgage securities that offered higher yields and/or some measure of prepayment protection. Among investment-grade corporate bonds, our emphasis on strong-performing financials and utilities more than offset what we lost by underweighting industrials. In terms of portfolio asset allocation, investing outside the benchmark in high-yield bonds, leveraged loans and emerging-markets debt meaningfully contributed, but our decision to underweight government-agency-backed debentures detracted.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
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 (March 1, 2012 to August 31, 2012).
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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. 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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. 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.
Annual Report
|
Annualized Expense Ratio |
Beginning |
Ending |
Expenses Paid |
Class A |
.77% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,036.20 |
$ 3.94 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,021.27 |
$ 3.91 |
Class T |
.77% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,036.10 |
$ 3.94 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,021.27 |
$ 3.91 |
Class B |
1.49% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,032.30 |
$ 7.61 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,017.65 |
$ 7.56 |
Class C |
1.50% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,032.20 |
$ 7.66 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,017.60 |
$ 7.61 |
Total Bond |
.45% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,037.70 |
$ 2.30 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,022.87 |
$ 2.29 |
Institutional Class |
.53% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,037.30 |
$ 2.71 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,022.47 |
$ 2.69 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (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 the Fund's annualized expense ratio.
Annual Report
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.
Quality Diversification (% of fund's net assets) |
|||||||
As of August 31, 2012 |
As of February 29, 2012 |
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U.S. Government |
|
![]() |
U.S. Government |
|
||
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AAA 4.2% |
|
![]() |
AAA 5.4% |
|
||
![]() |
AA 2.0% |
|
![]() |
AA 2.6% |
|
||
![]() |
A 5.5% |
|
![]() |
A 5.7% |
|
||
![]() |
BBB 14.0% |
|
![]() |
BBB 12.3% |
|
||
![]() |
BB and Below 8.2% |
|
![]() |
BB and Below 11.0% |
|
||
![]() |
Not Rated 0.6% |
|
![]() |
Not Rated 1.0% |
|
||
![]() |
Equities 0.1% |
|
![]() |
Equities 0.2% |
|
||
![]() |
Short-Term |
|
![]() |
Short-Term |
|
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. Securities rated BB or below were rated investment grade at the time of acquisition. |
Weighted Average Maturity as of August 31, 2012 |
||
|
|
6 months ago |
Years |
6.6 |
6.5 |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Duration as of August 31, 2012 |
||
|
|
6 months ago |
Years |
4.6 |
4.6 |
Duration estimates how much a bond fund's price will change with a change in comparable interest rates. If rates rise 1%, for example, a fund with a 5-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. Duration takes into account any call or put option embedded in the bonds. |
Asset Allocation (% of fund's net assets) |
|||||||
As of August 31, 2012 * |
As of February 29, 2012 ** |
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![]() |
Corporate Bonds 22.2% |
|
![]() |
Corporate Bonds 24.2% |
|
||
![]() |
U.S. Government |
|
![]() |
U.S. Government |
|
||
![]() |
Asset-Backed |
|
![]() |
Asset-Backed |
|
||
![]() |
CMOs and Other Mortgage Related Securities 5.3% |
|
![]() |
CMOs and Other Mortgage Related Securities 5.8% |
|
||
![]() |
Municipal Bonds 0.6% |
|
![]() |
Municipal Bonds 0.3% |
|
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![]() |
Stocks 0.1% |
|
![]() |
Stocks 0.2% |
|
||
![]() |
Other Investments 4.7% |
|
![]() |
Other Investments 5.7% |
|
||
![]() |
Short-Term |
|
![]() |
Short-Term |
|
||
* Foreign investments |
5.1% |
|
** Foreign investments |
5.4% |
|
||
* Futures and Swaps |
(0.3)% |
|
** Futures and Swaps |
1.0% |
|
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
A 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 fidelity.com and/or advisor.fidelity.com as applicable.
Annual Report
Showing Percentage of Net Assets
Corporate Bonds - 22.0% |
||||
|
Principal |
Value |
||
Convertible Bonds - 0.0% |
||||
MATERIALS - 0.0% |
||||
Metals & Mining - 0.0% |
||||
Vedanta Resources Jersey II Ltd.: |
|
|
|
|
4% 3/30/17 |
|
$ 2,400,000 |
$ 2,349,600 |
|
5.5% 7/13/16 |
|
300,000 |
287,250 |
|
|
2,636,850 |
|||
Nonconvertible Bonds - 22.0% |
||||
CONSUMER DISCRETIONARY - 2.4% |
||||
Auto Components - 0.1% |
||||
Dana Holding Corp. 6.5% 2/15/19 |
|
2,080,000 |
2,215,200 |
|
Delphi Corp. 5.875% 5/15/19 |
|
1,685,000 |
1,807,163 |
|
JB Poindexter & Co., Inc. 9% 4/1/22 (f) |
|
1,900,000 |
1,900,000 |
|
Tenneco, Inc.: |
|
|
|
|
6.875% 12/15/20 |
|
1,505,000 |
1,640,450 |
|
7.75% 8/15/18 |
|
1,400,000 |
1,519,000 |
|
|
9,081,813 |
|||
Automobiles - 0.1% |
||||
Automotores Gildemeister SA 8.25% 5/24/21 (f) |
|
575,000 |
621,000 |
|
Chrysler Group LLC/CG Co-Issuer, Inc.: |
|
|
|
|
8% 6/15/19 |
|
3,090,000 |
3,259,950 |
|
8.25% 6/15/21 |
|
5,205,000 |
5,465,250 |
|
|
9,346,200 |
|||
Distributors - 0.0% |
||||
AmeriGas Partners LP/AmeriGas Finance Corp.: |
|
|
|
|
6.25% 8/20/19 |
|
1,000,000 |
1,040,000 |
|
6.5% 5/20/21 |
|
156,000 |
163,410 |
|
Ferrellgas LP/Ferrellgas Finance Corp. 6.5% 5/1/21 |
|
1,330,000 |
1,296,750 |
|
|
2,500,160 |
|||
Hotels, Restaurants & Leisure - 0.3% |
||||
Ameristar Casinos, Inc.: |
|
|
|
|
7.5% 4/15/21 |
|
2,570,000 |
2,749,900 |
|
7.5% 4/15/21 (f) |
|
1,700,000 |
1,810,500 |
|
Chukchansi Economic Development Authority 9.75% 5/30/20 (f) |
|
309,000 |
222,480 |
|
CityCenter Holdings LLC/CityCenter Finance Corp.: |
|
|
|
|
7.625% 1/15/16 |
|
2,070,000 |
2,199,375 |
|
7.625% 1/15/16 (f) |
|
1,930,000 |
2,036,150 |
|
11.5% 1/15/17 pay-in-kind (l) |
|
1,652,030 |
1,747,022 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
CONSUMER DISCRETIONARY - continued |
||||
Hotels, Restaurants & Leisure - continued |
||||
FelCor Lodging LP 6.75% 6/1/19 |
|
$ 475,000 |
$ 509,438 |
|
GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17 |
|
1,635,000 |
1,839,375 |
|
Host Marriott LP 6.375% 3/15/15 |
|
96,000 |
97,020 |
|
ITT Corp. 7.375% 11/15/15 |
|
250,000 |
288,291 |
|
MGM Mirage, Inc.: |
|
|
|
|
6.625% 7/15/15 |
|
3,475,000 |
3,631,375 |
|
7.5% 6/1/16 |
|
4,130,000 |
4,315,850 |
|
7.625% 1/15/17 |
|
5,355,000 |
5,529,038 |
|
7.75% 3/15/22 |
|
1,895,000 |
1,895,000 |
|
8.625% 2/1/19 (f) |
|
2,940,000 |
3,116,400 |
|
11.375% 3/1/18 |
|
1,845,000 |
2,117,138 |
|
NPC International, Inc./NPC Operating Co. A, Inc./NPC Operating Co. B, Inc. 10.5% 1/15/20 |
|
2,950,000 |
3,363,000 |
|
Royal Caribbean Cruises Ltd.: |
|
|
|
|
7.25% 3/15/18 |
|
465,000 |
513,825 |
|
7.5% 10/15/27 |
|
1,885,000 |
1,965,113 |
|
yankee 7.25% 6/15/16 |
|
3,985,000 |
4,403,425 |
|
Times Square Hotel Trust 8.528% 8/1/26 (f) |
|
848,389 |
975,648 |
|
Universal City Development Partners Ltd./UCDP Finance, Inc. 8.875% 11/15/15 |
|
784,000 |
830,183 |
|
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 7.75% 8/15/20 |
|
970,000 |
1,080,338 |
|
|
47,235,884 |
|||
Household Durables - 0.2% |
||||
KB Home: |
|
|
|
|
7.25% 6/15/18 |
|
1,495,000 |
1,509,950 |
|
7.5% 9/15/22 |
|
1,210,000 |
1,249,325 |
|
9.1% 9/15/17 |
|
705,000 |
776,381 |
|
Lennar Corp.: |
|
|
|
|
6.95% 6/1/18 |
|
4,640,000 |
5,028,600 |
|
12.25% 6/1/17 |
|
1,135,000 |
1,481,175 |
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: |
|
|
|
|
7.75% 10/15/16 |
|
3,000,000 |
3,135,000 |
|
7.875% 8/15/19 |
|
1,760,000 |
1,958,000 |
|
8.5% 5/15/18 (e) |
|
970,000 |
982,125 |
|
9.875% 8/15/19 |
|
2,560,000 |
2,707,200 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
CONSUMER DISCRETIONARY - continued |
||||
Household Durables - continued |
||||
Standard Pacific Corp.: |
|
|
|
|
8.375% 5/15/18 |
|
$ 6,495,000 |
$ 7,209,450 |
|
10.75% 9/15/16 |
|
2,370,000 |
2,861,775 |
|
|
28,898,981 |
|||
Internet & Catalog Retail - 0.0% |
||||
Zayo Group LLC/Zayo Capital, Inc.: |
|
|
|
|
8.125% 1/1/20 |
|
1,890,000 |
2,022,300 |
|
10.125% 7/1/20 |
|
785,000 |
845,838 |
|
|
2,868,138 |
|||
Media - 1.6% |
||||
AOL Time Warner, Inc. 7.625% 4/15/31 |
|
500,000 |
679,589 |
|
Cablevision Systems Corp.: |
|
|
|
|
7.75% 4/15/18 |
|
2,305,000 |
2,495,163 |
|
8.625% 9/15/17 |
|
3,505,000 |
4,013,225 |
|
CCO Holdings LLC/CCO Holdings Capital Corp.: |
|
|
|
|
6.5% 4/30/21 |
|
3,975,000 |
4,263,188 |
|
6.625% 1/31/22 |
|
1,290,000 |
1,391,588 |
|
7% 1/15/19 |
|
8,610,000 |
9,320,325 |
|
7.25% 10/30/17 |
|
3,380,000 |
3,692,650 |
|
7.875% 4/30/18 |
|
865,000 |
938,525 |
|
Cequel Communications Holdings I LLC/Cequel Capital Corp. 8.625% 11/15/17 (f) |
|
5,180,000 |
5,562,025 |
|
Comcast Corp.: |
|
|
|
|
3.125% 7/15/22 |
|
5,411,000 |
5,655,036 |
|
4.65% 7/15/42 |
|
9,896,000 |
10,568,295 |
|
4.95% 6/15/16 |
|
2,344,000 |
2,667,149 |
|
5.15% 3/1/20 |
|
435,000 |
518,064 |
|
5.7% 5/15/18 |
|
14,629,000 |
17,699,276 |
|
6.4% 3/1/40 |
|
432,000 |
568,494 |
|
6.45% 3/15/37 |
|
2,196,000 |
2,837,397 |
|
COX Communications, Inc. 4.625% 6/1/13 |
|
4,467,000 |
4,600,268 |
|
CSC Holdings LLC 8.625% 2/15/19 |
|
1,350,000 |
1,579,500 |
|
Discovery Communications LLC: |
|
|
|
|
3.7% 6/1/15 |
|
7,129,000 |
7,642,552 |
|
6.35% 6/1/40 |
|
6,392,000 |
8,222,988 |
|
DISH DBS Corp. 4.625% 7/15/17 (f) |
|
1,640,000 |
1,656,400 |
|
Harron Communications LP/Harron Finance Corp. 9.125% 4/1/20 (f) |
|
370,000 |
400,525 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
CONSUMER DISCRETIONARY - continued |
||||
Media - continued |
||||
NBCUniversal Media LLC: |
|
|
|
|
3.65% 4/30/15 |
|
$ 3,514,000 |
$ 3,762,345 |
|
5.15% 4/30/20 |
|
11,614,000 |
13,715,298 |
|
6.4% 4/30/40 |
|
18,278,000 |
23,718,447 |
|
News America Holdings, Inc. 7.75% 12/1/45 |
|
2,460,000 |
3,345,162 |
|
News America, Inc.: |
|
|
|
|
6.15% 3/1/37 |
|
4,759,000 |
5,783,303 |
|
6.15% 2/15/41 |
|
11,572,000 |
14,239,670 |
|
Nielsen Finance LLC/Nielsen Finance Co. 7.75% 10/15/18 |
|
2,770,000 |
3,095,475 |
|
Quebecor Media, Inc.: |
|
|
|
|
7.75% 3/15/16 |
|
2,392,000 |
2,463,760 |
|
7.75% 3/15/16 |
|
2,485,000 |
2,559,550 |
|
Time Warner Cable, Inc.: |
|
|
|
|
4.5% 9/15/42 |
|
10,589,000 |
10,543,097 |
|
6.2% 7/1/13 |
|
2,898,000 |
3,030,972 |
|
6.75% 7/1/18 |
|
13,763,000 |
17,222,729 |
|
Time Warner, Inc.: |
|
|
|
|
3.15% 7/15/15 |
|
3,115,000 |
3,308,407 |
|
5.875% 11/15/16 |
|
368,000 |
435,747 |
|
6.2% 3/15/40 |
|
11,792,000 |
14,494,856 |
|
6.5% 11/15/36 |
|
9,243,000 |
11,559,869 |
|
TV Azteca SA de CV 7.5% 5/25/18 (Reg. S) |
|
1,450,000 |
1,508,000 |
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 7.5% 3/15/19 (f) |
|
660,000 |
722,700 |
|
Univision Communications, Inc.: |
|
|
|
|
6.875% 5/15/19 (f) |
|
2,680,000 |
2,760,400 |
|
8.5% 5/15/21 (f) |
|
5,960,000 |
5,974,900 |
|
UPC Holding BV 9.875% 4/15/18 (f) |
|
1,190,000 |
1,335,775 |
|
UPCB Finance V Ltd. 7.25% 11/15/21 (f) |
|
995,000 |
1,068,332 |
|
Viacom, Inc. 6.75% 10/5/37 |
|
1,460,000 |
1,941,178 |
|
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (f) |
|
1,400,000 |
1,445,500 |
|
|
247,007,694 |
|||
Specialty Retail - 0.1% |
||||
J. Crew Group, Inc. 8.125% 3/1/19 |
|
4,694,000 |
4,911,098 |
|
PETCO Animal Supplies, Inc. 9.25% 12/1/18 (f) |
|
6,315,000 |
7,009,650 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
CONSUMER DISCRETIONARY - continued |
||||
Specialty Retail - continued |
||||
Staples, Inc. 7.375% 10/1/12 |
|
$ 554,000 |
$ 556,571 |
|
Toys 'R' Us, Inc. 7.375% 9/1/16 (f) |
|
1,805,000 |
1,818,538 |
|
|
14,295,857 |
|||
Textiles, Apparel & Luxury Goods - 0.0% |
||||
Hanesbrands, Inc. 6.375% 12/15/20 |
|
2,500,000 |
2,712,500 |
|
Levi Strauss & Co. 6.875% 5/1/22 |
|
1,820,000 |
1,888,250 |
|
|
4,600,750 |
|||
TOTAL CONSUMER DISCRETIONARY |
365,835,477 |
|||
CONSUMER STAPLES - 1.2% |
||||
Beverages - 0.3% |
||||
Beam, Inc.: |
|
|
|
|
1.875% 5/15/17 |
|
2,703,000 |
2,760,714 |
|
3.25% 5/15/22 |
|
3,206,000 |
3,324,154 |
|
Diageo Capital PLC 5.2% 1/30/13 |
|
1,037,000 |
1,056,927 |
|
FBG Finance Ltd. 5.125% 6/15/15 (f) |
|
3,662,000 |
4,048,513 |
|
Fortune Brands, Inc.: |
|
|
|
|
5.375% 1/15/16 |
|
321,000 |
365,628 |
|
5.875% 1/15/36 |
|
12,336,000 |
14,759,481 |
|
6.375% 6/15/14 |
|
3,374,000 |
3,690,447 |
|
SABMiller Holdings, Inc. 3.75% 1/15/22 (f) |
|
10,217,000 |
11,087,223 |
|
|
41,093,087 |
|||
Food & Staples Retailing - 0.1% |
||||
Rite Aid Corp.: |
|
|
|
|
9.25% 3/15/20 |
|
6,535,000 |
6,714,713 |
|
9.5% 6/15/17 |
|
4,960,000 |
5,108,800 |
|
US Foodservice, Inc. 8.5% 6/30/19 (f) |
|
2,335,000 |
2,405,050 |
|
|
14,228,563 |
|||
Food Products - 0.3% |
||||
Gruma SAB de CV 7.75% (Reg. S) (g) |
|
1,385,000 |
1,385,000 |
|
JBS USA LLC/JBS USA Finance, Inc. 8.25% 2/1/20 (f) |
|
1,400,000 |
1,340,500 |
|
Kraft Foods, Inc.: |
|
|
|
|
5.375% 2/10/20 |
|
10,631,000 |
12,784,426 |
|
6.125% 2/1/18 |
|
10,623,000 |
12,927,362 |
|
6.5% 8/11/17 |
|
10,238,000 |
12,589,146 |
|
6.5% 2/9/40 |
|
2,564,000 |
3,536,705 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
CONSUMER STAPLES - continued |
||||
Food Products - continued |
||||
Kraft Foods, Inc.: - continued |
|
|
|
|
6.75% 2/19/14 |
|
$ 540,000 |
$ 587,566 |
|
MHP SA 10.25% 4/29/15 (f) |
|
985,000 |
976,381 |
|
Post Holdings, Inc. 7.375% 2/15/22 (f) |
|
1,855,000 |
1,952,388 |
|
|
48,079,474 |
|||
Personal Products - 0.0% |
||||
NBTY, Inc. 9% 10/1/18 |
|
2,065,000 |
2,312,800 |
|
Tobacco - 0.5% |
||||
Altria Group, Inc.: |
|
|
|
|
2.85% 8/9/22 |
|
9,573,000 |
9,545,774 |
|
4.25% 8/9/42 |
|
9,573,000 |
9,356,918 |
|
9.7% 11/10/18 |
|
23,631,000 |
33,928,279 |
|
Philip Morris International, Inc. 4.875% 5/16/13 |
|
9,347,000 |
9,634,860 |
|
Reynolds American, Inc.: |
|
|
|
|
6.75% 6/15/17 |
|
3,719,000 |
4,505,736 |
|
7.25% 6/15/37 |
|
5,056,000 |
6,484,871 |
|
|
73,456,438 |
|||
TOTAL CONSUMER STAPLES |
179,170,362 |
|||
ENERGY - 3.7% |
||||
Energy Equipment & Services - 0.6% |
||||
Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (f) |
|
1,260,000 |
1,209,600 |
|
DCP Midstream LLC: |
|
|
|
|
4.75% 9/30/21 (f) |
|
11,333,000 |
12,015,349 |
|
5.35% 3/15/20 (f) |
|
8,816,000 |
9,670,923 |
|
El Paso Pipeline Partners Operating Co. LLC: |
|
|
|
|
4.1% 11/15/15 |
|
10,806,000 |
11,403,366 |
|
5% 10/1/21 |
|
7,366,000 |
8,050,382 |
|
6.5% 4/1/20 |
|
738,000 |
870,484 |
|
Expro Finance Luxembourg SCA 8.5% 12/15/16 (f) |
|
1,582,000 |
1,582,000 |
|
Exterran Holdings, Inc. 7.25% 12/1/18 |
|
3,485,000 |
3,485,000 |
|
Forbes Energy Services Ltd. 9% 6/15/19 |
|
1,590,000 |
1,514,475 |
|
Hornbeck Offshore Services, Inc.: |
|
|
|
|
5.875% 4/1/20 |
|
975,000 |
989,625 |
|
8% 9/1/17 |
|
1,605,000 |
1,733,400 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
ENERGY - continued |
||||
Energy Equipment & Services - continued |
||||
Offshore Group Investment Ltd.: |
|
|
|
|
11.5% 8/1/15 |
|
$ 3,475,000 |
$ 3,848,563 |
|
11.5% 8/1/15 (f) |
|
1,920,000 |
2,126,400 |
|
Oil States International, Inc. 6.5% 6/1/19 |
|
2,850,000 |
3,028,125 |
|
Petroleum Geo-Services ASA 7.375% 12/15/18 (f) |
|
2,245,000 |
2,396,538 |
|
Precision Drilling Corp.: |
|
|
|
|
6.5% 12/15/21 |
|
170,000 |
178,500 |
|
6.625% 11/15/20 |
|
1,890,000 |
1,989,225 |
|
SESI LLC 7.125% 12/15/21 |
|
2,980,000 |
3,311,376 |
|
Transocean, Inc.: |
|
|
|
|
5.05% 12/15/16 |
|
7,572,000 |
8,387,906 |
|
6.375% 12/15/21 |
|
9,999,000 |
12,053,295 |
|
Weatherford International Ltd.: |
|
|
|
|
4.95% 10/15/13 |
|
2,173,000 |
2,263,703 |
|
5.15% 3/15/13 |
|
2,840,000 |
2,900,219 |
|
|
95,008,454 |
|||
Oil, Gas & Consumable Fuels - 3.1% |
||||
Afren PLC 11.5% 2/1/16 (f) |
|
520,000 |
583,700 |
|
Anadarko Petroleum Corp.: |
|
|
|
|
5.95% 9/15/16 |
|
485,000 |
560,907 |
|
6.375% 9/15/17 |
|
19,790,000 |
23,665,733 |
|
Antero Resources Finance Corp.: |
|
|
|
|
7.25% 8/1/19 |
|
1,080,000 |
1,152,900 |
|
9.375% 12/1/17 |
|
2,915,000 |
3,213,788 |
|
Apache Corp.: |
|
|
|
|
3.25% 4/15/22 |
|
8,647,000 |
9,280,073 |
|
4.75% 4/15/43 |
|
9,180,000 |
10,544,286 |
|
Canadian Natural Resources Ltd. 5.15% 2/1/13 |
|
5,610,000 |
5,714,060 |
|
Chesapeake Energy Corp.: |
|
|
|
|
6.125% 2/15/21 |
|
2,215,000 |
2,198,388 |
|
6.875% 11/15/20 |
|
1,195,000 |
1,239,813 |
|
Chesapeake Midstream Partners LP/CHKM Finance Corp.: |
|
|
|
|
5.875% 4/15/21 |
|
676,000 |
691,210 |
|
6.125% 7/15/22 |
|
1,240,000 |
1,289,600 |
|
ConocoPhillips: |
|
|
|
|
4.6% 1/15/15 |
|
10,000,000 |
10,951,810 |
|
5.75% 2/1/19 |
|
2,930,000 |
3,636,315 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
ENERGY - continued |
||||
Oil, Gas & Consumable Fuels - continued |
||||
CONSOL Energy, Inc. 8% 4/1/17 |
|
$ 270,000 |
$ 290,250 |
|
Crestwood Midstream Partners LP / Finance Corp. 7.75% 4/1/19 |
|
800,000 |
812,000 |
|
DTEK Finance BV 9.5% 4/28/15 (f) |
|
600,000 |
588,000 |
|
Duke Capital LLC 6.25% 2/15/13 |
|
1,000,000 |
1,024,145 |
|
Duke Energy Field Services: |
|
|
|
|
5.375% 10/15/15 (f) |
|
1,524,000 |
1,640,328 |
|
6.45% 11/3/36 (f) |
|
13,741,000 |
15,866,307 |
|
El Paso Natural Gas Co. 5.95% 4/15/17 |
|
1,166,000 |
1,335,500 |
|
Enbridge Energy Partners LP 4.2% 9/15/21 |
|
13,331,000 |
14,232,496 |
|
Encana Holdings Finance Corp. 5.8% 5/1/14 |
|
3,602,000 |
3,870,558 |
|
Enterprise Products Operating LP: |
|
|
|
|
5.6% 10/15/14 |
|
483,000 |
529,041 |
|
5.65% 4/1/13 |
|
697,000 |
714,672 |
|
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 9/1/22 (f) |
|
545,000 |
545,000 |
|
Frontier Oil Corp.: |
|
|
|
|
6.875% 11/15/18 |
|
485,000 |
515,313 |
|
8.5% 9/15/16 |
|
1,950,000 |
2,035,410 |
|
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (f) |
|
221,000 |
258,158 |
|
KazMunaiGaz Finance Sub BV: |
|
|
|
|
6.375% 4/9/21 (f) |
|
850,000 |
1,012,605 |
|
7% 5/5/20 (f) |
|
1,635,000 |
1,996,826 |
|
9.125% 7/2/18 (f) |
|
1,855,000 |
2,418,549 |
|
11.75% 1/23/15 (f) |
|
1,440,000 |
1,737,072 |
|
LINN Energy LLC/LINN Energy Finance Corp.: |
|
|
|
|
6.5% 5/15/19 (f) |
|
3,790,000 |
3,780,525 |
|
8.625% 4/15/20 |
|
2,685,000 |
2,899,800 |
|
Marathon Petroleum Corp. 5.125% 3/1/21 |
|
10,178,000 |
11,703,051 |
|
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (f) |
|
10,834,000 |
11,175,293 |
|
Motiva Enterprises LLC: |
|
|
|
|
5.75% 1/15/20 (f) |
|
4,187,000 |
5,017,525 |
|
6.85% 1/15/40 (f) |
|
5,937,000 |
7,828,012 |
|
Naftogaz of Ukraine NJSC 9.5% 9/30/14 |
|
1,930,000 |
1,913,016 |
|
Nakilat, Inc. 6.067% 12/31/33 (f) |
|
1,975,000 |
2,335,438 |
|
Newfield Exploration Co. 5.625% 7/1/24 |
|
850,000 |
922,250 |
|
Nexen, Inc. 5.2% 3/10/15 |
|
1,133,000 |
1,233,204 |
|
OGX Petroleo e Gas Participacoes SA 8.5% 6/1/18 (f) |
|
1,755,000 |
1,553,175 |
|
Pacific Rubiales Energy Corp. 7.25% 12/12/21 (f) |
|
1,826,000 |
2,127,290 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
ENERGY - continued |
||||
Oil, Gas & Consumable Fuels - continued |
||||
Pan American Energy LLC 7.875% 5/7/21 (f) |
|
$ 2,795,000 |
$ 2,417,675 |
|
PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20 (f) |
|
1,775,000 |
1,863,750 |
|
Pemex Project Funding Master Trust: |
|
|
|
|
5.75% 3/1/18 |
|
645,000 |
744,975 |
|
6.625% 6/15/35 |
|
1,470,000 |
1,826,475 |
|
Petro-Canada 6.05% 5/15/18 |
|
3,850,000 |
4,693,323 |
|
PetroBakken Energy Ltd. 8.625% 2/1/20 (f) |
|
1,420,000 |
1,451,950 |
|
Petrobras International Finance Co. Ltd.: |
|
|
|
|
3.875% 1/27/16 |
|
10,192,000 |
10,701,447 |
|
5.375% 1/27/21 |
|
20,889,000 |
23,245,906 |
|
5.75% 1/20/20 |
|
6,930,000 |
7,809,472 |
|
6.875% 1/20/40 |
|
570,000 |
713,697 |
|
7.875% 3/15/19 |
|
10,517,000 |
13,040,270 |
|
8.375% 12/10/18 |
|
775,000 |
976,771 |
|
Petrohawk Energy Corp.: |
|
|
|
|
6.25% 6/1/19 |
|
1,290,000 |
1,451,250 |
|
7.25% 8/15/18 |
|
1,330,000 |
1,506,225 |
|
Petroleos de Venezuela SA: |
|
|
|
|
4.9% 10/28/14 |
|
4,315,000 |
3,872,713 |
|
5% 10/28/15 |
|
990,000 |
829,125 |
|
5.375% 4/12/27 |
|
1,145,000 |
704,175 |
|
5.5% 4/12/37 |
|
780,000 |
468,000 |
|
8% 11/17/13 |
|
415,000 |
416,453 |
|
8.5% 11/2/17 (f) |
|
7,980,000 |
7,082,250 |
|
9% 11/17/21 (Reg. S) |
|
2,265,000 |
1,868,625 |
|
12.75% 2/17/22 (f) |
|
3,580,000 |
3,588,950 |
|
Petroleos Mexicanos: |
|
|
|
|
4.875% 1/24/22 (f) |
|
12,332,000 |
13,842,670 |
|
5.5% 1/21/21 |
|
12,069,000 |
14,090,558 |
|
5.5% 6/27/44 (f) |
|
14,012,000 |
15,238,050 |
|
6% 3/5/20 |
|
1,108,000 |
1,321,290 |
|
6.5% 6/2/41 |
|
350,000 |
432,250 |
|
6.5% 6/2/41 (f) |
|
28,669,000 |
35,621,233 |
|
6.625% (f)(g) |
|
3,125,000 |
3,281,250 |
|
8% 5/3/19 |
|
420,000 |
548,100 |
|
Phillips 66: |
|
|
|
|
4.3% 4/1/22 (f) |
|
12,618,000 |
13,750,781 |
|
5.875% 5/1/42 (f) |
|
10,804,000 |
12,771,830 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
ENERGY - continued |
||||
Oil, Gas & Consumable Fuels - continued |
||||
Plains All American Pipeline LP/PAA Finance Corp.: |
|
|
|
|
3.65% 6/1/22 |
|
$ 5,217,000 |
$ 5,515,637 |
|
3.95% 9/15/15 |
|
5,869,000 |
6,344,682 |
|
4.25% 9/1/12 |
|
485,000 |
485,000 |
|
6.125% 1/15/17 |
|
6,185,000 |
7,334,717 |
|
Plains Exploration & Production Co. 6.125% 6/15/19 |
|
2,250,000 |
2,373,750 |
|
PT Adaro Indonesia 7.625% 10/22/19 (f) |
|
1,000,000 |
1,075,020 |
|
PT Pertamina Persero: |
|
|
|
|
4.875% 5/3/22 (f) |
|
845,000 |
899,925 |
|
5.25% 5/23/21 (f) |
|
815,000 |
886,313 |
|
6% 5/3/42 (f) |
|
845,000 |
912,600 |
|
6.5% 5/27/41 (f) |
|
1,000,000 |
1,127,500 |
|
Quicksilver Resources, Inc. 7.125% 4/1/16 |
|
2,695,000 |
2,169,475 |
|
Ras Laffan Liquefied Natural Gas Co. Ltd. III: |
|
|
|
|
4.5% 9/30/12 (f) |
|
4,773,000 |
4,773,000 |
|
5.5% 9/30/14 (f) |
|
6,670,000 |
7,186,925 |
|
5.832% 9/30/16 (f) |
|
1,191,093 |
1,298,291 |
|
6.75% 9/30/19 (f) |
|
4,366,000 |
5,413,840 |
|
Rockies Express Pipeline LLC 6.25% 7/15/13 (f) |
|
3,392,000 |
3,493,760 |
|
Samson Investment Co. 9.75% 2/15/20 (f) |
|
2,855,000 |
2,940,650 |
|
Ship Finance International Ltd. 8.5% 12/15/13 |
|
575,000 |
573,563 |
|
Southeast Supply Header LLC 4.85% 8/15/14 (f) |
|
367,000 |
385,755 |
|
Spectra Energy Capital, LLC 5.65% 3/1/20 |
|
308,000 |
355,155 |
|
Spectra Energy Partners, LP: |
|
|
|
|
2.95% 6/15/16 |
|
4,717,000 |
4,812,972 |
|
4.6% 6/15/21 |
|
2,694,000 |
2,926,080 |
|
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: |
|
|
|
|
6.375% 8/1/22 (f) |
|
560,000 |
583,800 |
|
6.875% 2/1/21 |
|
685,000 |
736,375 |
|
7.875% 10/15/18 |
|
2,205,000 |
2,403,450 |
|
TransCapitalInvest Ltd. 5.67% 3/5/14 (f) |
|
4,317,000 |
4,565,228 |
|
Western Gas Partners LP 5.375% 6/1/21 |
|
14,766,000 |
16,399,563 |
|
Williams Partners LP 4.125% 11/15/20 |
|
2,399,000 |
2,598,537 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
ENERGY - continued |
||||
Oil, Gas & Consumable Fuels - continued |
||||
WPX Energy, Inc.: |
|
|
|
|
5.25% 1/15/17 |
|
$ 610,000 |
$ 642,025 |
|
6% 1/15/22 |
|
1,130,000 |
1,194,975 |
|
|
473,213,444 |
|||
TOTAL ENERGY |
568,221,898 |
|||
FINANCIALS - 8.2% |
||||
Capital Markets - 0.9% |
||||
BlackRock, Inc.: |
|
|
|
|
3.375% 6/1/22 |
|
7,840,000 |
8,295,002 |
|
4.25% 5/24/21 |
|
5,000,000 |
5,634,190 |
|
Goldman Sachs Group, Inc.: |
|
|
|
|
5.25% 7/27/21 |
|
17,105,000 |
18,199,515 |
|
5.625% 1/15/17 |
|
3,200,000 |
3,468,067 |
|
5.75% 1/24/22 |
|
23,446,000 |
25,888,839 |
|
5.95% 1/18/18 |
|
4,975,000 |
5,596,726 |
|
6.75% 10/1/37 |
|
9,643,000 |
10,053,628 |
|
Lazard Group LLC: |
|
|
|
|
6.85% 6/15/17 |
|
4,817,000 |
5,434,082 |
|
7.125% 5/15/15 |
|
1,717,000 |
1,884,109 |
|
Merrill Lynch & Co., Inc. 6.11% 1/29/37 |
|
4,768,000 |
4,794,181 |
|
Morgan Stanley: |
|
|
|
|
4.75% 4/1/14 |
|
5,820,000 |
5,990,427 |
|
5.5% 7/28/21 |
|
7,569,000 |
7,764,939 |
|
5.625% 9/23/19 |
|
12,714,000 |
13,163,186 |
|
5.75% 1/25/21 |
|
5,048,000 |
5,216,088 |
|
6% 4/28/15 |
|
1,414,000 |
1,506,416 |
|
6.625% 4/1/18 |
|
16,118,000 |
17,802,315 |
|
|
140,691,710 |
|||
Commercial Banks - 1.5% |
||||
Access Finance BV 7.25% 7/25/17 (f) |
|
670,000 |
686,750 |
|
Akbank T.A.S. 5.125% 7/22/15 (f) |
|
1,615,000 |
1,669,506 |
|
Banco Nacional de Desenvolvimento Economico e Social 6.5% 6/10/19 (f) |
|
325,000 |
396,500 |
|
Bank of America NA 5.3% 3/15/17 |
|
3,467,000 |
3,774,010 |
|
BBVA Paraguay SA 9.75% 2/11/16 (f) |
|
995,000 |
1,027,338 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Commercial Banks - continued |
||||
CIT Group, Inc.: |
|
|
|
|
4.25% 8/15/17 |
|
$ 1,705,000 |
$ 1,717,788 |
|
4.75% 2/15/15 (f) |
|
2,175,000 |
2,262,000 |
|
5% 5/15/17 |
|
2,135,000 |
2,215,063 |
|
5.25% 3/15/18 |
|
1,485,000 |
1,548,113 |
|
5.375% 5/15/20 |
|
1,425,000 |
1,471,313 |
|
5.5% 2/15/19 (f) |
|
2,175,000 |
2,267,438 |
|
7% 5/2/16 (f) |
|
2,884,195 |
2,884,195 |
|
7% 5/2/17 (f) |
|
2,479,680 |
2,479,680 |
|
Credit Suisse New York Branch 6% 2/15/18 |
|
16,785,000 |
18,642,797 |
|
Development Bank of Philippines 8.375% (g)(l) |
|
1,655,000 |
1,803,950 |
|
Discover Bank: |
|
|
|
|
7% 4/15/20 |
|
2,030,000 |
2,389,119 |
|
8.7% 11/18/19 |
|
12,480,000 |
15,801,090 |
|
Eastern and Southern African Trade and Development Bank 6.875% 1/9/16 (Reg. S) |
|
870,000 |
874,350 |
|
Fifth Third Bancorp: |
|
|
|
|
4.5% 6/1/18 |
|
798,000 |
865,741 |
|
8.25% 3/1/38 |
|
4,667,000 |
6,524,704 |
|
Fifth Third Bank 4.75% 2/1/15 |
|
1,329,000 |
1,416,784 |
|
Fifth Third Capital Trust IV 6.5% 4/15/67 (l) |
|
6,912,000 |
6,912,000 |
|
Georgia Bank Joint Stock Co. 7.75% 7/5/17 (f) |
|
1,000,000 |
1,007,500 |
|
HBOS PLC 6.75% 5/21/18 (f) |
|
6,067,000 |
5,986,546 |
|
HSBC Holdings PLC 4% 3/30/22 |
|
12,331,000 |
13,229,720 |
|
HSBK (Europe) BV: |
|
|
|
|
7.25% 5/3/17 (f) |
|
1,435,000 |
1,492,400 |
|
9.25% 10/16/13 (f) |
|
760,000 |
803,700 |
|
Huntington Bancshares, Inc. 7% 12/15/20 |
|
2,851,000 |
3,403,247 |
|
JPMorgan Chase Bank 6% 10/1/17 |
|
11,313,000 |
13,320,933 |
|
JSC Kazkommertsbank BV 8% 11/3/15 (f) |
|
1,040,000 |
969,800 |
|
Kazkommerts International BV 7.875% 4/7/14 (Reg. S) |
|
405,000 |
401,963 |
|
KeyBank NA: |
|
|
|
|
5.45% 3/3/16 |
|
3,939,000 |
4,404,590 |
|
5.8% 7/1/14 |
|
9,490,000 |
10,170,091 |
|
6.95% 2/1/28 |
|
1,977,000 |
2,374,241 |
|
Marshall & Ilsley Bank: |
|
|
|
|
4.85% 6/16/15 |
|
4,520,000 |
4,873,514 |
|
5% 1/17/17 |
|
13,700,000 |
15,358,440 |
|
5.25% 9/4/12 |
|
3,162,000 |
3,162,000 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Commercial Banks - continued |
||||
Regions Bank: |
|
|
|
|
6.45% 6/26/37 |
|
$ 17,999,000 |
$ 18,021,499 |
|
7.5% 5/15/18 |
|
6,622,000 |
7,714,630 |
|
Regions Financial Corp.: |
|
|
|
|
5.75% 6/15/15 |
|
2,005,000 |
2,130,313 |
|
7.75% 11/10/14 |
|
6,404,000 |
7,093,711 |
|
RSHB Capital SA: |
|
|
|
|
6% 6/3/21 (f) |
|
555,000 |
560,550 |
|
9% 6/11/14 (f) |
|
510,000 |
563,550 |
|
SSB #1 PLC 8.25% 3/10/16 |
|
450,000 |
398,250 |
|
The State Export-Import Bank of Ukraine JSC 5.7928% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (e) |
|
1,435,000 |
1,119,300 |
|
Trade & Development Bank of Mongolia LLC 8.5% 10/25/13 |
|
880,000 |
891,000 |
|
UnionBanCal Corp. 5.25% 12/16/13 |
|
826,000 |
864,736 |
|
Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) |
|
2,475,000 |
2,694,533 |
|
Vnesheconombank Via VEB Finance PLC 6.025% 7/5/22 (f) |
|
705,000 |
777,263 |
|
Wachovia Corp.: |
|
|
|
|
5.625% 10/15/16 |
|
4,239,000 |
4,881,327 |
|
5.75% 6/15/17 |
|
2,933,000 |
3,500,324 |
|
Wells Fargo & Co.: |
|
|
|
|
3.625% 4/15/15 |
|
5,893,000 |
6,302,387 |
|
3.676% 6/15/16 |
|
4,301,000 |
4,679,140 |
|
Yapi ve Kredi Bankasi A/S 6.75% 2/8/17 (f) |
|
1,060,000 |
1,144,800 |
|
|
223,926,227 |
|||
Consumer Finance - 0.6% |
||||
Ally Financial, Inc.: |
|
|
|
|
3.6375% 2/11/14 (l) |
|
2,895,000 |
2,905,856 |
|
4.625% 6/26/15 |
|
2,605,000 |
2,673,413 |
|
5.5% 2/15/17 |
|
2,785,000 |
2,882,475 |
|
Discover Financial Services: |
|
|
|
|
5.2% 4/27/22 |
|
12,545,000 |
13,343,213 |
|
6.45% 6/12/17 |
|
10,366,000 |
11,744,315 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Consumer Finance - continued |
||||
Ford Motor Credit Co. LLC: |
|
|
|
|
3.875% 1/15/15 |
|
$ 5,000,000 |
$ 5,202,710 |
|
5% 5/15/18 |
|
2,390,000 |
2,572,316 |
|
5.875% 8/2/21 |
|
1,400,000 |
1,546,170 |
|
12% 5/15/15 |
|
2,440,000 |
3,037,800 |
|
General Electric Capital Corp.: |
|
|
|
|
2.25% 11/9/15 |
|
314,000 |
324,806 |
|
4.625% 1/7/21 |
|
5,706,000 |
6,451,226 |
|
5.625% 9/15/17 |
|
5,858,000 |
6,922,779 |
|
5.625% 5/1/18 |
|
25,000,000 |
29,610,375 |
|
|
89,217,454 |
|||
Diversified Financial Services - 1.8% |
||||
Aquarius Investments Luxemburg 8.25% 2/18/16 |
|
1,225,000 |
1,323,000 |
|
Bank of America Corp.: |
|
|
|
|
3.875% 3/22/17 |
|
3,134,000 |
3,302,412 |
|
5.65% 5/1/18 |
|
8,780,000 |
9,810,245 |
|
5.7% 1/24/22 |
|
6,876,000 |
7,780,985 |
|
5.75% 12/1/17 |
|
21,955,000 |
24,551,179 |
|
6.5% 8/1/16 |
|
9,000,000 |
10,264,581 |
|
Biz Finance PLC 8.375% 4/27/15 (Reg. S) |
|
1,525,000 |
1,437,313 |
|
BP Capital Markets PLC: |
|
|
|
|
3.625% 5/8/14 |
|
418,000 |
438,804 |
|
4.5% 10/1/20 |
|
650,000 |
756,685 |
|
4.742% 3/11/21 |
|
8,800,000 |
10,331,842 |
|
Capital One Capital V 10.25% 8/15/39 |
|
12,196,000 |
12,561,880 |
|
CIT Group, Inc. 6.625% 4/1/18 (f) |
|
1,215,000 |
1,333,463 |
|
Citigroup, Inc.: |
|
|
|
|
3.953% 6/15/16 |
|
11,847,000 |
12,496,784 |
|
4.75% 5/19/15 |
|
25,881,000 |
27,784,133 |
|
5.875% 1/30/42 |
|
10,423,000 |
12,258,980 |
|
6.125% 5/15/18 |
|
12,245,000 |
14,202,976 |
|
6.5% 8/19/13 |
|
13,174,000 |
13,855,056 |
|
Everest Acquisition LLC / Everest Acquisition Finance, Inc. 9.375% 5/1/20 (f) |
|
1,915,000 |
2,077,775 |
|
Fibria Overseas Finance Ltd. 6.75% 3/3/21 (f) |
|
350,000 |
367,500 |
|
General Motors Financial Co., Inc.: |
|
|
|
|
4.75% 8/15/17 (f) |
|
1,775,000 |
1,779,438 |
|
6.75% 6/1/18 |
|
1,500,000 |
1,650,000 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Diversified Financial Services - continued |
||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: |
|
|
|
|
7.75% 1/15/16 |
|
$ 2,715,000 |
$ 2,850,750 |
|
8% 1/15/18 |
|
5,880,000 |
6,262,200 |
|
8% 1/15/18 (f) |
|
620,000 |
658,750 |
|
ILFC E-Capital Trust II 6.25% 12/21/65 (f)(l) |
|
1,250,000 |
875,000 |
|
Indo Energy Finance BV 7% 5/7/18 (f) |
|
1,000,000 |
1,015,000 |
|
JPMorgan Chase & Co.: |
|
|
|
|
2% 8/15/17 |
|
11,000,000 |
11,086,383 |
|
4.35% 8/15/21 |
|
13,339,000 |
14,628,935 |
|
4.5% 1/24/22 |
|
22,046,000 |
24,497,978 |
|
4.95% 3/25/20 |
|
17,148,000 |
19,650,716 |
|
Magnesita Finance Ltd. 8.625% (f)(g) |
|
650,000 |
666,250 |
|
NSG Holdings II, LLC 7.75% 12/15/25 (f) |
|
8,295,000 |
8,460,900 |
|
Sunwest Management, Inc. 7.9726% 2/10/15 |
|
364,436 |
331,637 |
|
TECO Finance, Inc.: |
|
|
|
|
4% 3/15/16 |
|
2,562,000 |
2,778,069 |
|
5.15% 3/15/20 |
|
3,761,000 |
4,383,829 |
|
TMK Capital SA 7.75% 1/27/18 |
|
1,450,000 |
1,435,500 |
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 8.125% 12/1/17 (f) |
|
370,000 |
401,450 |
|
UPCB Finance III Ltd. 6.625% 7/1/20 (f) |
|
3,305,000 |
3,445,463 |
|
Vnesheconombank Via VEB Finance PLC: |
|
|
|
|
5.375% 2/13/17 (f) |
|
735,000 |
788,288 |
|
6.8% 11/22/25 (f) |
|
605,000 |
703,313 |
|
6.902% 7/9/20 (f) |
|
715,000 |
831,188 |
|
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (f)(l) |
|
1,211,391 |
829,012 |
|
Zhaikmunai Finance BV 10.5% 10/19/15 (f) |
|
2,135,000 |
2,228,406 |
|
|
279,174,048 |
|||
Insurance - 1.3% |
||||
Allstate Corp. 6.2% 5/16/14 |
|
6,893,000 |
7,529,417 |
|
American International Group, Inc. 4.875% 9/15/16 |
|
7,990,000 |
8,759,485 |
|
Aon Corp.: |
|
|
|
|
3.125% 5/27/16 |
|
11,274,000 |
11,908,670 |
|
3.5% 9/30/15 |
|
4,451,000 |
4,693,068 |
|
5% 9/30/20 |
|
3,854,000 |
4,419,497 |
|
Axis Capital Holdings Ltd. 5.75% 12/1/14 |
|
558,000 |
600,362 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Insurance - continued |
||||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(l) |
|
$ 1,859,000 |
$ 1,896,180 |
|
Hartford Financial Services Group, Inc.: |
|
|
|
|
5.125% 4/15/22 |
|
12,729,000 |
13,689,963 |
|
5.375% 3/15/17 |
|
194,000 |
212,216 |
|
6.625% 4/15/42 |
|
9,473,000 |
10,665,168 |
|
Liberty Mutual Group, Inc.: |
|
|
|
|
5% 6/1/21 (f) |
|
12,644,000 |
13,279,285 |
|
6.5% 3/15/35 (f) |
|
1,741,000 |
1,868,868 |
|
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 |
|
7,090,000 |
7,964,346 |
|
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (f) |
|
7,139,000 |
8,141,066 |
|
MetLife, Inc.: |
|
|
|
|
4.75% 2/8/21 |
|
4,032,000 |
4,666,330 |
|
5% 6/15/15 |
|
1,163,000 |
1,291,917 |
|
6.75% 6/1/16 |
|
7,610,000 |
9,101,195 |
|
Metropolitan Life Global Funding I 5.125% 4/10/13 (f) |
|
559,000 |
574,103 |
|
Monumental Global Funding III 5.5% 4/22/13 (f) |
|
2,746,000 |
2,812,275 |
|
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (f) |
|
6,155,000 |
7,925,750 |
|
Pacific Life Insurance Co. 9.25% 6/15/39 (f) |
|
5,674,000 |
7,726,405 |
|
Pacific LifeCorp 6% 2/10/20 (f) |
|
6,323,000 |
7,041,286 |
|
Prudential Financial, Inc.: |
|
|
|
|
3.625% 9/17/12 |
|
11,000,000 |
11,011,264 |
|
4.5% 11/16/21 |
|
6,390,000 |
7,045,288 |
|
5.15% 1/15/13 |
|
2,966,000 |
3,014,031 |
|
5.8% 11/16/41 |
|
8,381,000 |
9,608,096 |
|
6.2% 11/15/40 |
|
4,318,000 |
5,091,989 |
|
7.375% 6/15/19 |
|
3,230,000 |
4,067,077 |
|
Symetra Financial Corp. 6.125% 4/1/16 (f) |
|
6,375,000 |
6,935,547 |
|
Unum Group: |
|
|
|
|
5.625% 9/15/20 |
|
8,386,000 |
9,263,201 |
|
5.75% 8/15/42 |
|
11,125,000 |
11,471,099 |
|
7.125% 9/30/16 |
|
587,000 |
683,607 |
|
|
204,958,051 |
|||
Real Estate Investment Trusts - 0.8% |
||||
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22 |
|
4,025,000 |
4,242,426 |
|
AvalonBay Communities, Inc. 4.95% 3/15/13 |
|
367,000 |
374,541 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Real Estate Investment Trusts - continued |
||||
Boston Properties, Inc. 3.85% 2/1/23 |
|
$ 8,745,000 |
$ 9,154,808 |
|
BRE Properties, Inc. 5.5% 3/15/17 |
|
661,000 |
750,399 |
|
Camden Property Trust: |
|
|
|
|
5.375% 12/15/13 |
|
4,073,000 |
4,275,306 |
|
5.875% 11/30/12 |
|
670,000 |
677,775 |
|
DDR Corp. 4.625% 7/15/22 |
|
4,746,000 |
4,921,754 |
|
Developers Diversified Realty Corp.: |
|
|
|
|
4.75% 4/15/18 |
|
9,273,000 |
9,939,794 |
|
7.5% 4/1/17 |
|
5,574,000 |
6,524,975 |
|
7.875% 9/1/20 |
|
323,000 |
400,278 |
|
Duke Realty LP: |
|
|
|
|
4.375% 6/15/22 |
|
7,323,000 |
7,654,944 |
|
4.625% 5/15/13 |
|
1,106,000 |
1,128,395 |
|
5.4% 8/15/14 |
|
5,561,000 |
5,932,658 |
|
5.95% 2/15/17 |
|
1,109,000 |
1,247,365 |
|
6.25% 5/15/13 |
|
14,494,000 |
14,933,371 |
|
6.5% 1/15/18 |
|
3,795,000 |
4,400,310 |
|
6.75% 3/15/20 |
|
10,379,000 |
12,507,411 |
|
8.25% 8/15/19 |
|
75,000 |
94,849 |
|
Equity One, Inc.: |
|
|
|
|
5.375% 10/15/15 |
|
1,403,000 |
1,514,439 |
|
6% 9/15/17 |
|
890,000 |
990,274 |
|
6.25% 12/15/14 |
|
6,140,000 |
6,656,073 |
|
6.25% 1/15/17 |
|
494,000 |
550,920 |
|
Federal Realty Investment Trust: |
|
|
|
|
5.4% 12/1/13 |
|
441,000 |
463,493 |
|
5.9% 4/1/20 |
|
2,504,000 |
2,997,458 |
|
6.2% 1/15/17 |
|
620,000 |
721,583 |
|
Highwoods/Forsyth LP 5.85% 3/15/17 |
|
615,000 |
672,676 |
|
HMB Capital Trust V 4.0679% 12/15/36 (c)(f)(l) |
|
270,000 |
0 |
|
HRPT Properties Trust: |
|
|
|
|
5.75% 11/1/15 |
|
2,386,000 |
2,506,347 |
|
6.25% 6/15/17 |
|
1,232,000 |
1,352,269 |
|
6.65% 1/15/18 |
|
867,000 |
962,083 |
|
MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21 |
|
1,760,000 |
1,914,000 |
|
Omega Healthcare Investors, Inc.: |
|
|
|
|
5.875% 3/15/24 (f) |
|
290,000 |
310,300 |
|
6.75% 10/15/22 |
|
1,690,000 |
1,863,225 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Real Estate Investment Trusts - continued |
||||
Senior Housing Properties Trust 6.75% 4/15/20 |
|
$ 855,000 |
$ 950,841 |
|
UDR, Inc. 5.5% 4/1/14 |
|
5,222,000 |
5,508,923 |
|
Washington (REIT) 5.25% 1/15/14 |
|
322,000 |
336,044 |
|
|
119,432,307 |
|||
Real Estate Management & Development - 1.3% |
||||
AMB Property LP 5.9% 8/15/13 |
|
2,580,000 |
2,671,714 |
|
BioMed Realty LP: |
|
|
|
|
3.85% 4/15/16 |
|
11,000,000 |
11,496,342 |
|
4.25% 7/15/22 |
|
5,809,000 |
6,063,760 |
|
6.125% 4/15/20 |
|
3,429,000 |
3,999,870 |
|
Brandywine Operating Partnership LP 5.7% 5/1/17 |
|
7,049,000 |
7,698,735 |
|
CB Richard Ellis Services, Inc. 6.625% 10/15/20 |
|
1,175,000 |
1,280,750 |
|
Colonial Realty LP 6.05% 9/1/16 |
|
2,000,000 |
2,189,528 |
|
Digital Realty Trust LP: |
|
|
|
|
4.5% 7/15/15 |
|
4,981,000 |
5,276,239 |
|
5.25% 3/15/21 |
|
5,708,000 |
6,304,520 |
|
ERP Operating LP: |
|
|
|
|
4.625% 12/15/21 |
|
22,997,000 |
26,376,777 |
|
4.75% 7/15/20 |
|
7,700,000 |
8,721,621 |
|
5.25% 9/15/14 |
|
1,310,000 |
1,415,054 |
|
5.375% 8/1/16 |
|
2,768,000 |
3,152,414 |
|
5.5% 10/1/12 |
|
3,690,000 |
3,702,207 |
|
5.75% 6/15/17 |
|
14,407,000 |
16,975,696 |
|
Forest City Enterprises, Inc.: |
|
|
|
|
6.5% 2/1/17 |
|
450,000 |
434,250 |
|
7.625% 6/1/15 |
|
260,000 |
258,538 |
|
Host Hotels & Resorts LP: |
|
|
|
|
4.75% 3/1/23 |
|
945,000 |
968,625 |
|
5.875% 6/15/19 |
|
2,150,000 |
2,359,625 |
|
6% 11/1/20 |
|
105,000 |
116,025 |
|
Liberty Property LP: |
|
|
|
|
4.125% 6/15/22 |
|
6,280,000 |
6,516,536 |
|
4.75% 10/1/20 |
|
11,282,000 |
12,293,578 |
|
5.125% 3/2/15 |
|
1,405,000 |
1,509,559 |
|
5.5% 12/15/16 |
|
1,891,000 |
2,120,966 |
|
6.625% 10/1/17 |
|
4,835,000 |
5,682,517 |
|
Mack-Cali Realty LP: |
|
|
|
|
4.5% 4/18/22 |
|
4,072,000 |
4,316,328 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Real Estate Management & Development - continued |
||||
Mack-Cali Realty LP: - continued |
|
|
|
|
7.75% 8/15/19 |
|
$ 700,000 |
$ 859,956 |
|
Post Apartment Homes LP 6.3% 6/1/13 |
|
3,812,000 |
3,920,650 |
|
Prime Property Funding, Inc.: |
|
|
|
|
5.125% 6/1/15 (f) |
|
2,806,000 |
2,862,572 |
|
5.5% 1/15/14 (f) |
|
867,000 |
887,875 |
|
5.7% 4/15/17 (f) |
|
2,115,000 |
2,212,030 |
|
Realogy Corp. 7.625% 1/15/20 (f) |
|
965,000 |
1,043,358 |
|
Reckson Operating Partnership LP 6% 3/31/16 |
|
3,651,000 |
3,906,241 |
|
Regency Centers LP: |
|
|
|
|
4.95% 4/15/14 |
|
611,000 |
641,086 |
|
5.25% 8/1/15 |
|
2,133,000 |
2,321,649 |
|
5.875% 6/15/17 |
|
1,089,000 |
1,251,667 |
|
Simon Property Group LP: |
|
|
|
|
2.8% 1/30/17 |
|
2,603,000 |
2,729,766 |
|
4.125% 12/1/21 |
|
7,287,000 |
8,035,338 |
|
4.2% 2/1/15 |
|
3,659,000 |
3,902,675 |
|
Tanger Properties LP: |
|
|
|
|
6.125% 6/1/20 |
|
14,318,000 |
16,991,214 |
|
6.15% 11/15/15 |
|
1,777,000 |
1,983,802 |
|
Ventas Realty LP 4.25% 3/1/22 |
|
300,000 |
320,985 |
|
|
197,772,638 |
|||
Thrifts & Mortgage Finance - 0.0% |
||||
Wrightwood Capital LLC 1.9% 4/20/20 (c) |
|
112,350 |
57,299 |
|
TOTAL FINANCIALS |
1,255,229,734 |
|||
HEALTH CARE - 0.7% |
||||
Biotechnology - 0.1% |
||||
Amgen, Inc. 5.15% 11/15/41 |
|
12,000,000 |
13,123,128 |
|
Celgene Corp. 2.45% 10/15/15 |
|
613,000 |
634,536 |
|
|
13,757,664 |
|||
Health Care Equipment & Supplies - 0.0% |
||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. 7.75% 2/15/19 |
|
435,000 |
454,575 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
HEALTH CARE - continued |
||||
Health Care Equipment & Supplies - continued |
||||
DJO Finance LLC/DJO Finance Corp.: |
|
|
|
|
7.75% 4/15/18 |
|
$ 925,000 |
$ 846,375 |
|
10.875% 11/15/14 |
|
4,115,000 |
4,269,313 |
|
|
5,570,263 |
|||
Health Care Providers & Services - 0.5% |
||||
Aristotle Holding, Inc. 4.75% 11/15/21 (f) |
|
22,009,000 |
25,401,401 |
|
Community Health Systems, Inc. 5.125% 8/15/18 |
|
785,000 |
809,531 |
|
Coventry Health Care, Inc.: |
|
|
|
|
5.95% 3/15/17 |
|
1,747,000 |
2,043,040 |
|
6.3% 8/15/14 |
|
3,618,000 |
3,921,594 |
|
DaVita, Inc. 5.75% 8/15/22 |
|
2,280,000 |
2,371,200 |
|
Emergency Medical Services Corp. 8.125% 6/1/19 |
|
4,610,000 |
4,921,175 |
|
Express Scripts, Inc.: |
|
|
|
|
3.125% 5/15/16 |
|
10,525,000 |
11,190,338 |
|
6.25% 6/15/14 |
|
2,629,000 |
2,872,253 |
|
Fresenius Medical Care US Finance II, Inc. 5.625% 7/31/19 (f) |
|
2,315,000 |
2,477,050 |
|
HealthSouth Corp. 7.25% 10/1/18 |
|
3,300,000 |
3,605,250 |
|
IASIS Healthcare LLC/IASIS Capital Corp. 8.375% 5/15/19 |
|
2,895,000 |
2,750,250 |
|
Medco Health Solutions, Inc.: |
|
|
|
|
2.75% 9/15/15 |
|
1,176,000 |
1,230,241 |
|
4.125% 9/15/20 |
|
7,486,000 |
8,136,638 |
|
Radiation Therapy Services, Inc. 8.875% 1/15/17 |
|
790,000 |
754,450 |
|
Rural/Metro Corp. 10.125% 7/15/19 (f) |
|
740,000 |
728,900 |
|
Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18 |
|
2,580,000 |
2,805,750 |
|
|
76,019,061 |
|||
Pharmaceuticals - 0.1% |
||||
Mylan, Inc. 6% 11/15/18 (f) |
|
3,030,000 |
3,226,950 |
|
Valeant Pharmaceuticals International: |
|
|
|
|
6.5% 7/15/16 (f) |
|
4,500,000 |
4,747,500 |
|
6.875% 12/1/18 (f) |
|
3,440,000 |
3,620,600 |
|
7% 10/1/20 (f) |
|
255,000 |
263,925 |
|
Watson Pharmaceuticals, Inc. 5% 8/15/14 |
|
720,000 |
766,211 |
|
|
12,625,186 |
|||
TOTAL HEALTH CARE |
107,972,174 |
|||
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
INDUSTRIALS - 1.0% |
||||
Aerospace & Defense - 0.3% |
||||
BAE Systems Holdings, Inc.: |
|
|
|
|
4.95% 6/1/14 (f) |
|
$ 572,000 |
$ 602,868 |
|
6.375% 6/1/19 (f) |
|
8,071,000 |
9,637,630 |
|
Huntington Ingalls Industries, Inc. 6.875% 3/15/18 |
|
1,930,000 |
2,065,100 |
|
United Technologies Corp.: |
|
|
|
|
3.1% 6/1/22 |
|
13,132,000 |
13,980,839 |
|
4.5% 6/1/42 |
|
13,132,000 |
14,949,154 |
|
|
41,235,591 |
|||
Airlines - 0.2% |
||||
Continental Airlines, Inc.: |
|
|
|
|
pass-thru trust certificates 9.798% 4/1/21 |
|
330,501 |
355,288 |
|
6.648% 3/15/19 |
|
2,794,815 |
2,948,530 |
|
6.75% 9/15/15 (f) |
|
4,585,000 |
4,722,550 |
|
6.9% 7/2/19 |
|
847,481 |
916,381 |
|
Continental Airlines, Inc. 9.25% 5/10/17 |
|
2,392,869 |
2,620,191 |
|
Delta Air Lines, Inc. pass-thru trust certificates: |
|
|
|
|
6.375% 1/2/16 |
|
1,515,000 |
1,515,000 |
|
6.75% 11/23/15 |
|
1,515,000 |
1,541,513 |
|
8.954% 8/10/14 |
|
1,740,005 |
1,770,455 |
|
Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17 |
|
640,173 |
663,412 |
|
U.S. Airways pass-thru trust certificates: |
|
|
|
|
6.85% 1/30/18 |
|
1,617,150 |
1,689,922 |
|
8.36% 1/20/19 |
|
1,337,073 |
1,450,724 |
|
United Air Lines, Inc. 9.875% 8/1/13 (f) |
|
629,000 |
646,298 |
|
United Air Lines, Inc. pass-thru trust certificates: |
|
|
|
|
Class B, 7.336% 7/2/19 |
|
767,799 |
740,926 |
|
9.75% 1/15/17 |
|
1,913,598 |
2,195,854 |
|
12% 1/15/16 (f) |
|
599,661 |
652,132 |
|
|
24,429,176 |
|||
Building Products - 0.1% |
||||
Building Materials Corp. of America 6.875% 8/15/18 (f) |
|
3,715,000 |
4,021,488 |
|
HD Supply, Inc.: |
|
|
|
|
8.125% 4/15/19 (f) |
|
3,460,000 |
3,762,750 |
|
11% 4/15/20 (f) |
|
955,000 |
1,050,500 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
INDUSTRIALS - continued |
||||
Building Products - continued |
||||
Masco Corp. 5.95% 3/15/22 |
|
$ 740,000 |
$ 799,033 |
|
USG Corp. 7.875% 3/30/20 (f) |
|
675,000 |
718,031 |
|
|
10,351,802 |
|||
Commercial Services & Supplies - 0.3% |
||||
ARAMARK Corp. 3.9446% 2/1/15 (l) |
|
5,440,000 |
5,426,400 |
|
ARAMARK Holdings Corp. 8.625% 5/1/16 pay-in-kind (f)(l) |
|
7,325,000 |
7,526,438 |
|
Clean Harbors, Inc. 5.25% 8/1/20 (f) |
|
555,000 |
569,569 |
|
Covanta Holding Corp. 7.25% 12/1/20 |
|
4,950,000 |
5,524,680 |
|
International Lease Finance Corp.: |
|
|
|
|
4.875% 4/1/15 |
|
2,370,000 |
2,462,430 |
|
5.75% 5/15/16 |
|
1,330,000 |
1,379,875 |
|
5.875% 8/15/22 |
|
1,830,000 |
1,830,000 |
|
6.25% 5/15/19 |
|
1,640,000 |
1,713,800 |
|
8.625% 9/15/15 |
|
2,745,000 |
3,074,400 |
|
8.75% 3/15/17 |
|
3,700,000 |
4,264,250 |
|
8.875% 9/1/17 |
|
1,665,000 |
1,931,400 |
|
WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (f) |
|
2,855,000 |
2,847,863 |
|
|
38,551,105 |
|||
Construction & Engineering - 0.0% |
||||
Amsted Industries, Inc. 8.125% 3/15/18 (f) |
|
1,850,000 |
1,998,000 |
|
Odebrecht Finance Ltd. 7.5% (f)(g) |
|
2,555,000 |
2,708,300 |
|
|
4,706,300 |
|||
Electrical Equipment - 0.0% |
||||
Instituto Costarricense de Electricidad 6.95% 11/10/21 (f) |
|
400,000 |
437,000 |
|
Industrial Conglomerates - 0.1% |
||||
General Electric Co. 5.25% 12/6/17 |
|
17,730,000 |
21,041,698 |
|
Marine - 0.0% |
||||
Navios Maritime Holdings, Inc. 8.875% 11/1/17 |
|
700,000 |
710,500 |
|
Professional Services - 0.0% |
||||
FTI Consulting, Inc. 6.75% 10/1/20 |
|
1,015,000 |
1,083,513 |
|
Road & Rail - 0.0% |
||||
Hertz Corp.: |
|
|
|
|
6.75% 4/15/19 |
|
1,310,000 |
1,378,775 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
INDUSTRIALS - continued |
||||
Road & Rail - continued |
||||
Hertz Corp.: - continued |
|
|
|
|
7.5% 10/15/18 |
|
$ 4,330,000 |
$ 4,665,575 |
|
JSC Georgian Railway 7.75% 7/11/22 (f) |
|
650,000 |
710,125 |
|
|
6,754,475 |
|||
Trading Companies & Distributors - 0.0% |
||||
Aircastle Ltd.: |
|
|
|
|
6.75% 4/15/17 |
|
1,410,000 |
1,522,800 |
|
9.75% 8/1/18 |
|
840,000 |
962,850 |
|
|
2,485,650 |
|||
Transportation Infrastructure - 0.0% |
||||
Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (f) |
|
1,405,300 |
1,363,141 |
|
TOTAL INDUSTRIALS |
153,149,951 |
|||
INFORMATION TECHNOLOGY - 0.2% |
||||
Communications Equipment - 0.1% |
||||
Avaya, Inc.: |
|
|
|
|
9.75% 11/1/15 |
|
2,930,000 |
2,534,450 |
|
10.125% 11/1/15 pay-in-kind (l) |
|
1,200,000 |
1,041,000 |
|
Lucent Technologies, Inc.: |
|
|
|
|
6.45% 3/15/29 |
|
8,010,000 |
5,166,450 |
|
6.5% 1/15/28 |
|
1,240,000 |
796,700 |
|
|
9,538,600 |
|||
Electronic Equipment & Components - 0.1% |
||||
Jabil Circuit, Inc. 4.7% 9/15/22 |
|
770,000 |
773,850 |
|
Sanmina-SCI Corp. 7% 5/15/19 (f) |
|
3,580,000 |
3,571,050 |
|
Tyco Electronics Group SA: |
|
|
|
|
5.95% 1/15/14 |
|
3,835,000 |
4,090,530 |
|
6% 10/1/12 |
|
4,835,000 |
4,853,900 |
|
6.55% 10/1/17 |
|
1,383,000 |
1,672,062 |
|
|
14,961,392 |
|||
Internet Software & Services - 0.0% |
||||
Equinix, Inc. 8.125% 3/1/18 |
|
630,000 |
697,725 |
|
IT Services - 0.0% |
||||
Audatex North America, Inc. 6.75% 6/15/18 (f) |
|
300,000 |
321,750 |
|
First Data Corp. 8.25% 1/15/21 (f) |
|
760,000 |
753,350 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
INFORMATION TECHNOLOGY - continued |
||||
IT Services - continued |
||||
SunGard Data Systems, Inc.: |
|
|
|
|
7.375% 11/15/18 |
|
$ 1,095,000 |
$ 1,164,752 |
|
10.25% 8/15/15 |
|
1,765,000 |
1,800,300 |
|
|
4,040,152 |
|||
Office Electronics - 0.0% |
||||
Xerox Corp.: |
|
|
|
|
4.25% 2/15/15 |
|
368,000 |
391,778 |
|
4.5% 5/15/21 |
|
4,102,000 |
4,311,723 |
|
|
4,703,501 |
|||
Semiconductors & Semiconductor Equipment - 0.0% |
||||
Amkor Technology, Inc. 7.375% 5/1/18 |
|
285,000 |
297,469 |
|
Spansion LLC 7.875% 11/15/17 |
|
3,465,000 |
3,378,375 |
|
Viasystems, Inc. 7.875% 5/1/19 (f) |
|
1,520,000 |
1,493,400 |
|
|
5,169,244 |
|||
Software - 0.0% |
||||
Nuance Communications, Inc. 5.375% 8/15/20 (f) |
|
395,000 |
404,381 |
|
TOTAL INFORMATION TECHNOLOGY |
39,514,995 |
|||
MATERIALS - 1.0% |
||||
Chemicals - 0.3% |
||||
Braskem America Finance Co. 7.125% 7/22/41 (f) |
|
735,000 |
764,400 |
|
Celanese US Holdings LLC 6.625% 10/15/18 |
|
1,935,000 |
2,133,338 |
|
Dow Chemical Co.: |
|
|
|
|
4.125% 11/15/21 |
|
10,888,000 |
11,929,154 |
|
4.25% 11/15/20 |
|
5,898,000 |
6,495,898 |
|
7.6% 5/15/14 |
|
16,974,000 |
18,836,608 |
|
INEOS Finance PLC: |
|
|
|
|
7.5% 5/1/20 (f) |
|
710,000 |
722,425 |
|
8.375% 2/15/19 (f) |
|
1,720,000 |
1,810,300 |
|
Kinove German Bondco GmbH 9.625% 6/15/18 (f) |
|
1,050,000 |
1,107,750 |
|
LyondellBasell Industries NV: |
|
|
|
|
5% 4/15/19 |
|
3,170,000 |
3,360,200 |
|
5.75% 4/15/24 |
|
1,480,000 |
1,679,800 |
|
6% 11/15/21 |
|
700,000 |
796,250 |
|
NOVA Chemicals Corp. 3.8549% 11/15/13 (l) |
|
2,720,000 |
2,720,000 |
|
|
52,356,123 |
|||
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
MATERIALS - continued |
||||
Construction Materials - 0.1% |
||||
CRH America, Inc. 6% 9/30/16 |
|
$ 2,286,000 |
$ 2,536,210 |
|
Headwaters, Inc. 7.625% 4/1/19 |
|
2,695,000 |
2,695,000 |
|
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (f) |
|
940,000 |
1,024,600 |
|
Texas Industries, Inc. 9.25% 8/15/20 |
|
1,605,000 |
1,701,300 |
|
|
7,957,110 |
|||
Containers & Packaging - 0.1% |
||||
Ardagh Packaging Finance PLC 7.375% 10/15/17 (f) |
|
2,700,000 |
2,895,750 |
|
Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc. 7.375% 10/15/17 (f) |
|
200,000 |
214,500 |
|
Sappi Papier Holding GmbH: |
|
|
|
|
7.75% 7/15/17 (f) |
|
425,000 |
444,125 |
|
8.375% 6/15/19 (f) |
|
575,000 |
605,188 |
|
Sealed Air Corp. 8.125% 9/15/19 (f) |
|
3,155,000 |
3,502,050 |
|
Tekni-Plex, Inc. 9.75% 6/1/19 (f) |
|
850,000 |
884,000 |
|
|
8,545,613 |
|||
Metals & Mining - 0.5% |
||||
Alrosa Finance SA 7.75% 11/3/20 (f) |
|
700,000 |
772,590 |
|
Anglo American Capital PLC 9.375% 4/8/14 (f) |
|
6,817,000 |
7,645,306 |
|
AngloGold Ashanti Holdings PLC 5.125% 8/1/22 |
|
950,000 |
959,500 |
|
Boart Longyear Management Pty Ltd. 7% 4/1/21 (f) |
|
810,000 |
840,375 |
|
Corporacion Nacional del Cobre de Chile (Codelco): |
|
|
|
|
3.875% 11/3/21 (f) |
|
11,456,000 |
12,362,170 |
|
6.375% 11/30/12 (f) |
|
2,002,000 |
2,024,919 |
|
Edgen Murray Corp. 12.25% 1/15/15 |
|
4,450,000 |
4,728,125 |
|
Essar Steel Algoma, Inc. 9.375% 3/15/15 (f) |
|
1,990,000 |
1,930,300 |
|
EVRAZ Group SA: |
|
|
|
|
8.25% 11/10/15 (f) |
|
1,905,000 |
2,055,019 |
|
9.5% 4/24/18 (Reg. S) |
|
750,000 |
820,313 |
|
FMG Resources (August 2006) Pty Ltd.: |
|
|
|
|
6.375% 2/1/16 (f) |
|
710,000 |
678,050 |
|
7% 11/1/15 (f) |
|
5,435,000 |
5,339,888 |
|
JMC Steel Group, Inc. 8.25% 3/15/18 (f) |
|
3,010,000 |
3,077,725 |
|
Metinvest BV 10.25% 5/20/15 (f) |
|
735,000 |
731,325 |
|
Mongolian Mining Corp. 8.875% 3/29/17 (f) |
|
975,000 |
987,188 |
|
MRC Global, Inc. 9.5% 12/15/16 |
|
4,535,000 |
4,943,150 |
|
Severstal Columbus LLC 10.25% 2/15/18 |
|
4,610,000 |
4,725,250 |
|
Southern Copper Corp. 6.75% 4/16/40 |
|
920,000 |
1,068,037 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
MATERIALS - continued |
||||
Metals & Mining - continued |
||||
Steel Dynamics, Inc.: |
|
|
|
|
6.125% 8/15/19 (f) |
|
$ 1,850,000 |
$ 1,914,750 |
|
7.625% 3/15/20 |
|
1,290,000 |
1,393,200 |
|
Vale Overseas Ltd.: |
|
|
|
|
4.375% 1/11/22 |
|
12,000,000 |
12,307,008 |
|
6.25% 1/23/17 |
|
5,581,000 |
6,398,393 |
|
Votorantim Cimentos SA 7.25% 4/5/41 (f) |
|
740,000 |
791,800 |
|
|
78,494,381 |
|||
Paper & Forest Products - 0.0% |
||||
Louisiana-Pacific Corp. 7.5% 6/1/20 |
|
2,125,000 |
2,305,625 |
|
Sino-Forest Corp. 6.25% 10/21/17 (c)(f) |
|
1,365,000 |
211,575 |
|
|
2,517,200 |
|||
TOTAL MATERIALS |
149,870,427 |
|||
TELECOMMUNICATION SERVICES - 1.4% |
||||
Diversified Telecommunication Services - 0.8% |
||||
Alestra SA de RL de CV 11.75% 8/11/14 |
|
1,735,000 |
1,943,200 |
|
AT&T, Inc.: |
|
|
|
|
3.875% 8/15/21 |
|
8,800,000 |
9,904,470 |
|
5.35% 9/1/40 |
|
4,006,000 |
4,815,420 |
|
5.55% 8/15/41 |
|
10,000,000 |
12,451,600 |
|
6.3% 1/15/38 |
|
16,665,000 |
21,761,190 |
|
BellSouth Capital Funding Corp. 7.875% 2/15/30 |
|
742,000 |
1,008,833 |
|
CenturyLink, Inc.: |
|
|
|
|
6.15% 9/15/19 |
|
4,793,000 |
5,218,705 |
|
6.45% 6/15/21 |
|
8,152,000 |
9,103,453 |
|
Embarq Corp. 7.995% 6/1/36 |
|
4,717,000 |
5,222,870 |
|
Intelsat Ltd. 11.25% 6/15/16 |
|
1,504,000 |
1,582,960 |
|
Intelsat Luxembourg SA: |
|
|
|
|
11.25% 2/4/17 |
|
4,215,000 |
4,431,019 |
|
11.5% 2/4/17 pay-in-kind (l) |
|
11,258,205 |
11,821,115 |
|
SBA Telecommunications, Inc. 5.75% 7/15/20 (f) |
|
945,000 |
987,525 |
|
Telefonica Emisiones SAU 5.462% 2/16/21 |
|
6,967,000 |
6,409,640 |
|
Verizon Communications, Inc.: |
|
|
|
|
3.5% 11/1/21 |
|
12,600,000 |
13,870,786 |
|
6.1% 4/15/18 |
|
6,000,000 |
7,496,376 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
TELECOMMUNICATION SERVICES - continued |
||||
Diversified Telecommunication Services - continued |
||||
Verizon Communications, Inc.: - continued |
|
|
|
|
6.25% 4/1/37 |
|
$ 2,348,000 |
$ 3,117,879 |
|
6.9% 4/15/38 |
|
6,295,000 |
8,937,968 |
|
|
130,085,009 |
|||
Wireless Telecommunication Services - 0.6% |
||||
America Movil SAB de CV: |
|
|
|
|
2.375% 9/8/16 |
|
15,982,000 |
16,597,707 |
|
3.125% 7/16/22 |
|
9,218,000 |
9,455,963 |
|
3.625% 3/30/15 |
|
731,000 |
780,598 |
|
Digicel Group Ltd.: |
|
|
|
|
8.25% 9/1/17 (f) |
|
3,400,000 |
3,638,000 |
|
8.875% 1/15/15 (f) |
|
5,755,000 |
5,870,100 |
|
9.125% 1/15/15 pay-in-kind (f)(l) |
|
3,770,000 |
3,845,400 |
|
DIRECTV Holdings LLC/DIRECTV Financing, Inc.: |
|
|
|
|
5.15% 3/15/42 |
|
1,287,000 |
1,315,402 |
|
5.875% 10/1/19 |
|
5,944,000 |
6,990,810 |
|
6.35% 3/15/40 |
|
3,541,000 |
4,170,661 |
|
MTS International Funding Ltd. 8.625% 6/22/20 (f) |
|
2,305,000 |
2,737,188 |
|
Nextel Communications, Inc.: |
|
|
|
|
5.95% 3/15/14 |
|
5,930,000 |
5,944,825 |
|
7.375% 8/1/15 |
|
2,594,000 |
2,606,970 |
|
NII Capital Corp. 7.625% 4/1/21 |
|
1,755,000 |
1,355,738 |
|
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (f) |
|
2,870,000 |
2,841,300 |
|
Sprint Nextel Corp.: |
|
|
|
|
6% 12/1/16 |
|
3,155,000 |
3,218,100 |
|
7% 8/15/20 |
|
2,305,000 |
2,356,863 |
|
9% 11/15/18 (f) |
|
1,050,000 |
1,239,000 |
|
Telemovil Finance Co. Ltd. 8% 10/1/17 (f) |
|
1,745,000 |
1,854,063 |
|
Telesat Canada/Telesat LLC 6% 5/15/17 (f) |
|
3,060,000 |
3,182,400 |
|
Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (f) |
|
1,000,000 |
1,030,000 |
|
VimpelCom Holdings BV 7.5043% 3/1/22 (f) |
|
510,000 |
517,650 |
|
Vodafone Group PLC 5% 12/16/13 |
|
2,864,000 |
3,026,867 |
|
|
84,575,605 |
|||
TOTAL TELECOMMUNICATION SERVICES |
214,660,614 |
|||
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
UTILITIES - 2.2% |
||||
Electric Utilities - 0.9% |
||||
Ameren Illinois Co. 6.125% 11/15/17 |
|
$ 3,112,000 |
$ 3,669,051 |
|
AmerenUE 6.4% 6/15/17 |
|
2,491,000 |
2,989,823 |
|
Cleveland Electric Illuminating Co. 5.65% 12/15/13 |
|
1,016,000 |
1,071,310 |
|
Comision Federal de Electricid 5.75% 2/14/42 (f) |
|
200,000 |
224,500 |
|
Duke Capital LLC 5.668% 8/15/14 |
|
2,563,000 |
2,762,647 |
|
Duquesne Light Holdings, Inc.: |
|
|
|
|
5.9% 12/1/21 (f) |
|
6,944,000 |
7,837,811 |
|
6.4% 9/15/20 (f) |
|
16,661,000 |
19,255,134 |
|
Edison International 3.75% 9/15/17 |
|
6,674,000 |
7,136,295 |
|
Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (f) |
|
1,045,000 |
438,900 |
|
Enel Finance International SA 5.7% 1/15/13 (f) |
|
206,000 |
208,241 |
|
FirstEnergy Corp. 7.375% 11/15/31 |
|
15,004,000 |
19,799,008 |
|
FirstEnergy Solutions Corp.: |
|
|
|
|
4.8% 2/15/15 |
|
2,432,000 |
2,596,882 |
|
6.05% 8/15/21 |
|
9,801,000 |
10,906,612 |
|
InterGen NV 9% 6/30/17 (f) |
|
4,570,000 |
4,455,750 |
|
LG&E and KU Energy LLC: |
|
|
|
|
2.125% 11/15/15 |
|
7,369,000 |
7,444,481 |
|
3.75% 11/15/20 |
|
1,450,000 |
1,501,407 |
|
Majapahit Holding BV: |
|
|
|
|
7.75% 1/20/20 (f) |
|
850,000 |
1,043,375 |
|
8% 8/7/19 (f) |
|
485,000 |
597,763 |
|
Mirant Americas Generation LLC: |
|
|
|
|
8.5% 10/1/21 |
|
3,095,000 |
3,265,225 |
|
9.125% 5/1/31 |
|
820,000 |
848,700 |
|
Nevada Power Co.: |
|
|
|
|
6.5% 5/15/18 |
|
790,000 |
985,961 |
|
6.5% 8/1/18 |
|
388,000 |
486,393 |
|
NV Energy, Inc. 6.25% 11/15/20 |
|
2,245,000 |
2,592,679 |
|
Otter Tail Corp. 9% 12/15/16 |
|
2,410,000 |
2,614,850 |
|
Pennsylvania Electric Co. 6.05% 9/1/17 |
|
764,000 |
877,535 |
|
Pepco Holdings, Inc. 2.7% 10/1/15 |
|
7,047,000 |
7,258,340 |
|
Progress Energy, Inc.: |
|
|
|
|
4.4% 1/15/21 |
|
12,059,000 |
13,628,648 |
|
6% 12/1/39 |
|
7,150,000 |
9,013,454 |
|
Sierra Pacific Power Co. 5.45% 9/1/13 |
|
1,945,000 |
2,028,184 |
|
|
137,538,959 |
|||
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
UTILITIES - continued |
||||
Gas Utilities - 0.1% |
||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) |
|
$ 1,090,000 |
$ 1,220,800 |
|
Southern Natural Gas Co. 5.9% 4/1/17 (f) |
|
442,000 |
520,444 |
|
Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21 |
|
3,646,000 |
3,912,993 |
|
Suburban Propane Partners LP/Suburban Energy Finance Corp.: |
|
|
|
|
7.375% 8/1/21 (f) |
|
423,000 |
446,265 |
|
7.5% 10/1/18 (f) |
|
1,574,000 |
1,695,985 |
|
Transportadora de Gas del Sur SA 7.875% 5/14/17 (f) |
|
3,625,000 |
3,008,750 |
|
|
10,805,237 |
|||
Independent Power Producers & Energy Traders - 0.3% |
||||
Atlantic Power Corp. 9% 11/15/18 |
|
3,625,000 |
3,788,125 |
|
Dolphin Subsidiary II, Inc.: |
|
|
|
|
6.5% 10/15/16 (f) |
|
2,775,000 |
3,038,625 |
|
7.25% 10/15/21 (f) |
|
3,430,000 |
3,910,200 |
|
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: |
|
|
|
|
6.875% 8/15/17 (f) |
|
305,000 |
311,481 |
|
11.75% 3/1/22 (f) |
|
1,225,000 |
1,304,625 |
|
GenOn Energy, Inc.: |
|
|
|
|
9.5% 10/15/18 |
|
3,135,000 |
3,456,338 |
|
9.875% 10/15/20 |
|
1,750,000 |
1,918,438 |
|
Kinder Morgan Finance Co. LLC 6% 1/15/18 (f) |
|
3,030,000 |
3,249,675 |
|
Listrindo Capital BV 6.95% 2/21/19 (f) |
|
600,000 |
639,000 |
|
Power Sector Assets and Liabilities Management Corp. 7.39% 12/2/24 (f) |
|
750,000 |
1,019,063 |
|
PPL Energy Supply LLC 6.5% 5/1/18 |
|
6,895,000 |
8,167,231 |
|
PSEG Power LLC 2.75% 9/15/16 |
|
2,786,000 |
2,906,745 |
|
RRI Energy, Inc. 7.625% 6/15/14 |
|
6,000,000 |
6,420,000 |
|
The AES Corp.: |
|
|
|
|
7.375% 7/1/21 |
|
615,000 |
704,175 |
|
7.75% 10/15/15 |
|
2,345,000 |
2,638,125 |
|
8% 10/15/17 |
|
4,575,000 |
5,329,875 |
|
|
48,801,721 |
|||
Multi-Utilities - 0.9% |
||||
CMS Energy Corp. 5.05% 3/15/22 |
|
17,417,000 |
18,876,440 |
|
Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40 |
|
3,771,000 |
5,149,044 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
UTILITIES - continued |
||||
Multi-Utilities - continued |
||||
Dominion Resources, Inc.: |
|
|
|
|
2.7606% 9/30/66 (l) |
|
$ 19,226,000 |
$ 17,503,754 |
|
7.5% 6/30/66 (l) |
|
10,345,000 |
11,185,531 |
|
MidAmerican Energy Holdings, Co.: |
|
|
|
|
5.875% 10/1/12 |
|
3,506,000 |
3,519,295 |
|
6.5% 9/15/37 |
|
7,097,000 |
9,697,107 |
|
National Grid PLC 6.3% 8/1/16 |
|
1,589,000 |
1,835,653 |
|
NiSource Finance Corp.: |
|
|
|
|
4.45% 12/1/21 |
|
4,928,000 |
5,332,461 |
|
5.25% 9/15/17 |
|
843,000 |
971,918 |
|
5.25% 2/15/43 |
|
8,869,000 |
9,820,919 |
|
5.4% 7/15/14 |
|
1,680,000 |
1,805,777 |
|
5.45% 9/15/20 |
|
854,000 |
975,855 |
|
5.8% 2/1/42 |
|
6,336,000 |
7,537,692 |
|
5.95% 6/15/41 |
|
11,832,000 |
14,182,178 |
|
6.4% 3/15/18 |
|
1,654,000 |
1,979,936 |
|
6.8% 1/15/19 |
|
6,774,000 |
8,122,195 |
|
Puget Energy, Inc.: |
|
|
|
|
5.625% 7/15/22 (f) |
|
600,000 |
629,220 |
|
6% 9/1/21 |
|
2,464,000 |
2,711,804 |
|
6.5% 12/15/20 |
|
1,275,000 |
1,402,500 |
|
Sempra Energy 2.3% 4/1/17 |
|
14,116,000 |
14,763,896 |
|
Wisconsin Energy Corp. 6.25% 5/15/67 (l) |
|
3,860,000 |
4,086,775 |
|
|
142,089,950 |
|||
TOTAL UTILITIES |
339,235,867 |
|||
TOTAL NONCONVERTIBLE BONDS |
3,372,861,499 |
|||
TOTAL CORPORATE BONDS (Cost $3,027,727,547) |
|
|||
U.S. Government and Government Agency Obligations - 26.2% |
||||
|
Principal |
Value |
||
U.S. Treasury Inflation Protected Obligations - 1.6% |
||||
U.S. Treasury Inflation-Indexed Bonds: |
|
|
|
|
2.125% 2/15/40 |
|
$ 74,864,698 |
$ 110,162,195 |
|
2.125% 2/15/41 |
|
74,359,727 |
110,185,958 |
|
2.5% 1/15/29 |
|
21,377,600 |
30,399,671 |
|
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS |
250,747,824 |
|||
U.S. Treasury Obligations - 24.6% |
||||
U.S. Treasury Bonds: |
|
|
|
|
2.75% 8/15/42 |
|
53,161,000 |
53,999,934 |
|
3% 5/15/42 |
|
443,275,000 |
474,442,552 |
|
4.375% 5/15/41 |
|
68,183,000 |
92,931,315 |
|
U.S. Treasury Notes: |
|
|
|
|
0.25% 9/15/14 |
|
8,937,000 |
8,939,788 |
|
0.25% 8/15/15 |
|
227,529,000 |
227,244,589 |
|
0.5% 7/31/17 |
|
170,710,000 |
170,029,891 |
|
0.875% 11/30/16 |
|
1,503,000 |
1,528,480 |
|
0.875% 4/30/17 |
|
203,188,000 |
206,267,517 |
|
0.875% 7/31/19 |
|
524,444,000 |
520,551,577 |
|
1.375% 11/30/15 |
|
88,617,000 |
91,587,087 |
|
1.75% 5/31/16 |
|
263,340,000 |
276,527,541 |
|
1.75% 5/15/22 |
|
128,707,000 |
131,401,867 |
|
2% 2/15/22 |
|
368,119,000 |
385,259,357 |
|
2.375% 2/28/15 |
|
499,922,000 |
526,128,842 |
|
2.625% 7/31/14 |
|
316,140,000 |
330,514,570 |
|
2.625% 12/31/14 (i) |
|
273,340,000 |
288,458,982 |
|
TOTAL U.S. TREASURY OBLIGATIONS |
3,785,813,889 |
|||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,882,106,237) |
|
|||
U.S. Government Agency - Mortgage Securities - 12.7% |
||||
|
||||
Fannie Mae - 9.2% |
||||
2.067% 10/1/33 (l) |
|
847,261 |
891,891 |
|
2.558% 6/1/36 (l) |
|
143,587 |
153,995 |
|
2.743% 2/1/36 (l) |
|
750,864 |
806,744 |
|
2.777% 7/1/37 (l) |
|
359,536 |
386,293 |
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Fannie Mae - continued |
||||
2.82% 12/1/35 (l) |
|
$ 540,123 |
$ 580,319 |
|
3% 10/1/26 to 7/1/42 |
|
12,568,701 |
13,307,591 |
|
3% 9/1/27 (h) |
|
13,300,000 |
14,034,618 |
|
3% 9/1/27 (h) |
|
4,900,000 |
5,170,649 |
|
3% 9/1/42 (h) |
|
3,700,000 |
3,839,378 |
|
3% 9/1/42 (h) |
|
38,800,000 |
40,261,588 |
|
3% 9/1/42 (h) |
|
35,400,000 |
36,733,511 |
|
3% 9/1/42 (h) |
|
3,400,000 |
3,528,077 |
|
3% 10/1/42 (h) |
|
37,800,000 |
39,075,750 |
|
3.5% 1/1/41 to 7/1/42 |
|
49,089,594 |
52,351,035 |
|
3.5% 9/1/42 (h) |
|
100,000 |
106,031 |
|
3.5% 9/1/42 (h) |
|
14,300,000 |
15,162,467 |
|
3.5% 9/1/42 (h) |
|
28,700,000 |
30,430,966 |
|
3.5% 9/1/42 (h) |
|
14,300,000 |
15,162,467 |
|
4% 9/1/26 to 7/1/42 |
|
165,861,114 |
180,486,162 |
|
4% 9/1/41 |
|
173,910 |
187,721 |
|
4% 10/1/41 |
|
4,265,903 |
4,636,670 |
|
4% 9/1/42 (h) |
|
57,000,000 |
61,123,597 |
|
4% 9/1/42 (h) |
|
63,000,000 |
67,557,659 |
|
4.5% 11/1/18 to 11/1/41 |
|
202,276,265 |
221,514,681 |
|
4.5% 9/1/42 (h) |
|
40,700,000 |
44,051,393 |
|
4.5% 9/1/42 (h) |
|
29,700,000 |
32,145,611 |
|
5% 5/1/19 to 6/1/40 |
|
90,847,154 |
99,811,736 |
|
5% 9/1/42 (h) |
|
58,900,000 |
64,329,838 |
|
5% 9/1/42 (h) |
|
1,000,000 |
1,092,187 |
|
5.5% 3/1/18 to 3/1/39 |
|
163,269,293 |
180,020,499 |
|
5.5% 9/1/42 (h) |
|
47,000,000 |
51,578,829 |
|
6% 4/1/21 to 7/1/41 |
|
127,131,385 |
140,124,041 |
|
6.5% 11/1/35 |
|
329,445 |
370,905 |
|
TOTAL FANNIE MAE |
1,421,014,899 |
|||
Freddie Mac - 1.5% |
||||
3.454% 10/1/35 (l) |
|
204,511 |
219,763 |
|
3.5% 4/1/32 to 6/1/42 |
|
21,071,948 |
22,546,892 |
|
4% 12/1/40 to 5/1/42 |
|
30,564,842 |
33,444,754 |
|
4% 9/1/41 |
|
1,739,596 |
1,891,742 |
|
4% 9/1/42 (h) |
|
25,000,000 |
26,746,095 |
|
4.5% 7/1/25 to 10/1/41 |
|
64,804,619 |
70,220,666 |
|
4.5% 9/1/42 (h) |
|
5,800,000 |
6,244,969 |
|
5% 1/1/35 to 8/1/40 |
|
30,256,468 |
33,173,862 |
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Freddie Mac - continued |
||||
5.5% 11/1/17 to 1/1/40 |
|
$ 25,158,432 |
$ 27,536,088 |
|
6% 7/1/37 to 8/1/37 |
|
3,951,350 |
4,346,790 |
|
TOTAL FREDDIE MAC |
226,371,621 |
|||
Ginnie Mae - 2.0% |
||||
3% 10/1/42 (h) |
|
35,400,000 |
37,081,978 |
|
3.5% 10/15/40 to 7/15/42 |
|
21,223,487 |
23,007,242 |
|
3.5% 9/1/42 (h) |
|
22,000,000 |
23,815,002 |
|
4% 1/15/25 to 12/15/41 |
|
78,762,524 |
86,290,573 |
|
4.5% 11/20/33 to 4/15/41 |
|
59,274,058 |
65,756,594 |
|
5% 3/15/39 to 9/15/41 |
|
59,182,763 |
66,063,454 |
|
6% 9/20/38 |
|
4,036,776 |
4,546,316 |
|
TOTAL GINNIE MAE |
306,561,159 |
|||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,919,176,640) |
|
|||
Asset-Backed Securities - 1.7% |
||||
|
||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7055% 4/25/35 (l) |
|
989,152 |
762,010 |
|
ACE Securities Corp. Home Equity Loan Trust: |
|
|
|
|
Series 2004-HE1 Class M2, 1.8855% 3/25/34 (l) |
|
424,989 |
346,711 |
|
Series 2005-HE2 Class M2, 0.6855% 4/25/35 (l) |
|
81,022 |
77,180 |
|
Advanta Business Card Master Trust: |
|
|
|
|
Series 2006-C1 Class C1, 0.6758% 10/20/14 (l) |
|
642,000 |
6,420 |
|
Series 2007-D1 Class D, 1.5863% 1/22/13 (f)(l) |
|
2,590,000 |
38,850 |
|
Airspeed Ltd. Series 2007-1A Class C1, 2.7395% 6/15/32 (f)(l) |
|
4,142,453 |
2,133,363 |
|
Ally Auto Receivables Trust: |
|
|
|
|
Series 2009-A Class A4, 3% 10/15/15 (f) |
|
4,103,402 |
4,129,529 |
|
Series 2010-5 Class A4, 1.75% 3/15/16 |
|
4,050,000 |
4,133,287 |
|
Series 2011-1 Class A4, 2.23% 3/15/16 |
|
18,200,000 |
18,701,981 |
|
Ally Master Owner Trust: |
|
|
|
|
Series 2010-3 Class A, 2.88% 4/15/15 (f) |
|
8,910,000 |
9,000,401 |
|
Series 2011-1 Class A2, 2.15% 1/15/16 |
|
8,870,000 |
9,030,579 |
|
Series 2011-3 Class A2, 1.81% 5/15/16 |
|
8,490,000 |
8,626,284 |
|
Series 2012-1 Class A2, 1.44% 2/15/17 |
|
18,800,000 |
18,985,174 |
|
Series 2012-3 Class A2, 1.21% 6/15/17 |
|
12,650,000 |
12,672,989 |
|
Asset-Backed Securities - continued |
||||
|
Principal |
Value |
||
AmeriCredit Automobile Receivables Trust Series 2011-1 Class A3, 1.39% 9/8/15 |
|
$ 7,520,000 |
$ 7,562,448 |
|
Ameriquest Mortgage Securities, Inc. pass-thru certificates: |
|
|
|
|
Series 2003-10 Class M1, 0.9355% 12/25/33 (l) |
|
77,599 |
58,521 |
|
Series 2004-R2 Class M3, 0.7855% 4/25/34 (l) |
|
109,047 |
43,248 |
|
Series 2005-R2 Class M1, 0.6855% 4/25/35 (l) |
|
2,064,696 |
1,849,187 |
|
Anthracite CDO I Ltd. Series 2002-CIBA Class B, 6.633% 5/24/37 (f) |
|
171,000 |
170,915 |
|
Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.5975% 3/23/19 (f)(l) |
|
162,656 |
156,149 |
|
Argent Securities, Inc. pass-thru certificates: |
|
|
|
|
Series 2003-W7 Class A2, 1.0262% 3/25/34 (l) |
|
47,932 |
38,275 |
|
Series 2004-W11 Class M2, 0.9355% 11/25/34 (l) |
|
561,149 |
394,652 |
|
Series 2004-W7 Class M1, 0.7855% 5/25/34 (l) |
|
1,542,998 |
1,095,396 |
|
Series 2006-W4 Class A2C, 0.3955% 5/25/36 (l) |
|
1,302,115 |
393,528 |
|
Asset Backed Securities Corp. Home Equity Loan Trust: |
|
|
|
|
Series 2004-HE2 Class M1, 1.0605% 4/25/34 (l) |
|
2,346,371 |
1,931,979 |
|
Series 2006-HE2 Class M1, 0.6055% 3/25/36 (l) |
|
64,676 |
482 |
|
Axon Financial Funding Ltd. Series 2007-1 Class A1, 0.9743% 4/4/17 (c)(f)(l) |
|
7,217,000 |
1 |
|
Bank of America Auto Trust Series 2009-1A Class A4, 3.52% 6/15/16 (f) |
|
3,644,028 |
3,671,861 |
|
BMW Vehicle Lease Trust Series 2011-1 Class A4, 1.4% 8/20/14 |
|
11,060,000 |
11,160,546 |
|
Capital One Multi-Asset Execution Trust Series 2008-A3 Class A3, 5.05% 2/15/16 |
|
5,700,000 |
5,861,857 |
|
Capital Trust Ltd. Series 2004-1: |
|
|
|
|
Class A2, 0.687% 7/20/39 (f)(l) |
|
125,801 |
113,536 |
|
Class B, 0.987% 7/20/39 (f)(l) |
|
263,810 |
118,055 |
|
Class C, 1.337% 7/20/39 (f)(l) |
|
339,379 |
5,091 |
|
Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A: |
|
|
|
|
Class A2, 5.16% 6/25/35 (f) |
|
601,509 |
612,036 |
|
Class B, 5.267% 6/25/35 (f) |
|
1,000,000 |
1,007,500 |
|
CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.7076% 1/20/37 (f)(l) |
|
154,123 |
138,803 |
|
Capmark VII Ltd. Series 2006-7A Class H, 1.7895% 8/15/36 (f)(l) |
|
533,304 |
0 |
|
Carmax Auto Owner Trust Series 2011-1 Class A3, 1.29% 9/15/15 |
|
7,906,638 |
7,953,413 |
|
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3755% 12/25/36 (l) |
|
1,802,588 |
718,008 |
|
Asset-Backed Securities - continued |
||||
|
Principal |
Value |
||
CBRE Realty Finance CDO LLC Series 2007-1A Class A1, 0.7096% 4/7/52 (f)(l) |
|
$ 880,185 |
$ 651,337 |
|
Chase Issuance Trust Series 2007-A17 Class A, 5.12% 10/15/14 |
|
5,000,000 |
5,029,375 |
|
Chrysler Financial Auto Securitization Trust Series 2010-A Class A3, 0.91% 8/8/13 |
|
5,602,047 |
5,603,471 |
|
Citibank Credit Card Issuance Trust Series 2009-A5 Class A5, 2.25% 12/23/14 |
|
35,600,000 |
35,809,114 |
|
Countrywide Asset-Backed Certificates Trust Series 2007-4 Class A1A, 0.3662% 9/25/37 (l) |
|
129,071 |
128,119 |
|
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (f) |
|
811,000 |
0 |
|
Countrywide Home Loans, Inc.: |
|
|
|
|
Series 2003-BC1 Class B1, 5.4962% 3/25/32 (MGIC Investment Corp. Insured) (l) |
|
11,800 |
3,737 |
|
Series 2004-3 Class M4, 1.2055% 4/25/34 (l) |
|
159,665 |
72,569 |
|
Series 2004-4 Class M2, 1.0305% 6/25/34 (l) |
|
587,945 |
337,959 |
|
Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A: |
|
|
|
|
Class B1, 6.065% 12/28/35 (f) |
|
500,000 |
491,850 |
|
Class B2, 1.8106% 12/28/35 (f)(l) |
|
500,000 |
475,000 |
|
Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A: |
|
|
|
|
Class B1, 1.9606% 6/28/38 (f)(l) |
|
100,000 |
98,500 |
|
Class D, 9% 6/28/38 (f) |
|
203,124 |
132,031 |
|
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 |
|
540,000 |
507,108 |
|
Fannie Mae Series 2004-T5 Class AB3, 1.1466% 5/28/35 (l) |
|
38,916 |
24,267 |
|
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.4105% 8/25/34 (l) |
|
290,872 |
179,296 |
|
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0605% 3/25/34 (l) |
|
22,872 |
9,752 |
|
Ford Credit Auto Lease Trust Series 2010-B Class A3, 0.91% 7/15/13 (f) |
|
367,242 |
367,300 |
|
Ford Credit Auto Owner Trust: |
|
|
|
|
Series 2009-D: |
|
|
|
|
Class A3, 2.17% 10/15/13 |
|
163,998 |
164,104 |
|
Class A4, 2.98% 8/15/14 |
|
4,800,000 |
4,852,958 |
|
Series 2010-B Class A3, 0.98% 10/15/14 |
|
4,377,078 |
4,386,944 |
|
Ford Credit Floorplan Master Owner Trust Series 2010-5 Class A1, 1.5% 9/15/15 |
|
10,710,000 |
10,821,326 |
|
Fremont Home Loan Trust Series 2005-A: |
|
|
|
|
Class M3, 0.9705% 1/25/35 (l) |
|
948,695 |
296,089 |
|
Asset-Backed Securities - continued |
||||
|
Principal |
Value |
||
Fremont Home Loan Trust Series 2005-A: - continued |
|
|
|
|
Class M4, 1.2555% 1/25/35 (l) |
|
$ 363,547 |
$ 47,992 |
|
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.8069% 2/25/47 (f)(l) |
|
2,892,000 |
1,189,480 |
|
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (f) |
|
902,698 |
871,104 |
|
GE Business Loan Trust: |
|
|
|
|
Series 2003-1 Class A, 0.6695% 4/15/31 (f)(l) |
|
196,854 |
185,237 |
|
Series 2006-2A: |
|
|
|
|
Class A, 0.4195% 11/15/34 (f)(l) |
|
1,753,298 |
1,508,465 |
|
Class B, 0.5195% 11/15/34 (f)(l) |
|
633,344 |
438,042 |
|
Class C, 0.6195% 11/15/34 (f)(l) |
|
1,052,592 |
599,794 |
|
Class D, 0.9895% 11/15/34 (f)(l) |
|
399,703 |
124,161 |
|
GSAMP Trust Series 2004-AR1 Class B4, 4.4613% 6/25/34 (f)(l) |
|
215,708 |
73,971 |
|
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3: |
|
|
|
|
Class C, 0.7855% 9/25/46 (f)(l) |
|
1,403,242 |
1,349,358 |
|
Class E, 1.8855% 9/25/46 (f)(l) |
|
250,000 |
87,625 |
|
Home Equity Asset Trust: |
|
|
|
|
Series 2003-2 Class M1, 1.5555% 8/25/33 (l) |
|
375,633 |
293,405 |
|
Series 2003-3 Class M1, 1.5255% 8/25/33 (l) |
|
678,750 |
567,949 |
|
Series 2003-5 Class A2, 0.9355% 12/25/33 (l) |
|
32,929 |
26,901 |
|
Series 2006-3N Class B, 6.5% 8/27/36 (f) |
|
250,000 |
0 |
|
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4255% 1/25/37 (l) |
|
1,522,035 |
508,803 |
|
John Deere Owner Trust Series 2011-A Class A4, 1.96% 4/16/18 |
|
4,810,000 |
4,934,502 |
|
JPMorgan Mortgage Acquisition Trust: |
|
|
|
|
Series 2006-NC2 Class M2, 0.5355% 7/25/36 (l) |
|
204,000 |
2,824 |
|
Series 2007-CH1 Class AV4, 0.3655% 11/25/36 (l) |
|
1,520,141 |
1,395,573 |
|
Keycorp Student Loan Trust: |
|
|
|
|
Series 1999-A Class A2, 0.7906% 12/27/29 (l) |
|
519,111 |
466,760 |
|
Series 2006-A Class 2C, 1.6106% 3/27/42 (l) |
|
3,243,000 |
154,264 |
|
Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 0.3955% 11/25/36 (l) |
|
5,356,225 |
1,936,190 |
|
Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6655% 5/25/46 (f)(l) |
|
250,000 |
160,000 |
|
Marriott Vacation Club Owner Trust Series 2006-2A: |
|
|
|
|
Class B, 5.442% 10/20/28 (f) |
|
13,272 |
13,341 |
|
Class C, 5.691% 10/20/28 (f) |
|
5,899 |
5,916 |
|
Class D, 6.01% 10/20/28 (f) |
|
70,232 |
70,293 |
|
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.5355% 5/25/37 (l) |
|
784,792 |
6,167 |
|
Asset-Backed Securities - continued |
||||
|
Principal |
Value |
||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9855% 7/25/34 (l) |
|
$ 162,992 |
$ 103,745 |
|
Merrill Lynch Mortgage Investors Trust: |
|
|
|
|
Series 2003-OPT1 Class M1, 1.2105% 7/25/34 (l) |
|
499,279 |
331,788 |
|
Series 2006-FM1 Class A2B, 0.3455% 4/25/37 (l) |
|
1,466,757 |
1,323,447 |
|
Series 2006-OPT1 Class A1A, 0.4955% 6/25/35 (l) |
|
2,859,684 |
2,302,070 |
|
Morgan Stanley ABS Capital I Trust: |
|
|
|
|
Series 2004-HE6 Class A2, 0.5755% 8/25/34 (l) |
|
57,368 |
45,202 |
|
Series 2004-NC8 Class M6, 1.4855% 9/25/34 (l) |
|
27,201 |
11,703 |
|
Series 2005-NC1 Class M1, 0.6755% 1/25/35 (l) |
|
399,800 |
240,767 |
|
Series 2005-NC2 Class B1, 1.4055% 3/25/35 (l) |
|
416,362 |
49,491 |
|
N-Star Real Estate CDO Ltd. Series 1A: |
|
|
|
|
Class B1, 2.1019% 8/28/38 (f)(l) |
|
220,000 |
195,800 |
|
Class C1B, 7.696% 8/28/38 (f) |
|
64,212 |
51,370 |
|
National Collegiate Student Loan Trust: |
|
|
|
|
Series 2004-2 Class AIO, 9.75% 10/27/14 (n) |
|
7,651,000 |
100,396 |
|
Series 2006-4 Class D, 1.3355% 5/25/32 (l) |
|
2,481,000 |
251 |
|
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7455% 9/25/35 (l) |
|
1,426,957 |
921,695 |
|
Nissan Auto Receivables Owner Trust: |
|
|
|
|
Series 2010-A Class A4, 1.31% 9/15/16 |
|
5,950,000 |
6,008,173 |
|
Series 2011-A Class A4, 1.94% 9/15/17 |
|
11,750,000 |
12,123,768 |
|
Ocala Funding LLC: |
|
|
|
|
Series 2005-1A Class A, 1.737% 3/20/10 (c)(f)(l) |
|
566,000 |
0 |
|
Series 2006-1A Class A, 1.637% 3/20/11 (c)(f)(l) |
|
1,176,000 |
0 |
|
Park Place Securities, Inc.: |
|
|
|
|
Series 2004-WCW1: |
|
|
|
|
Class M3, 1.4855% 9/25/34 (l) |
|
532,896 |
231,934 |
|
Class M4, 1.6855% 9/25/34 (l) |
|
683,353 |
154,950 |
|
Series 2005-WCH1 Class M4, 1.0655% 1/25/36 (l) |
|
1,475,804 |
843,390 |
|
Prima Capital CDO Ltd./Prima Capital CDO Corp. Series 2005-1A Class D, 5.194% 7/24/39 (f) |
|
194,862 |
194,862 |
|
Prima Capital Ltd. Series 2006-CR1A Class A2, 5.533% 12/28/48 (f) |
|
541,000 |
530,180 |
|
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.1855% 9/25/46 (f)(l) |
|
250,000 |
55,000 |
|
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0355% 4/25/33 (l) |
|
5,108 |
4,317 |
|
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0305% 3/25/35 (l) |
|
1,268,559 |
919,535 |
|
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3968% 3/20/19 (FGIC Insured) (f)(l) |
|
411,598 |
402,780 |
|
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.4179% 6/15/33 (l) |
|
1,272,000 |
770,313 |
|
Asset-Backed Securities - continued |
||||
|
Principal |
Value |
||
Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (f) |
|
$ 656,637 |
$ 0 |
|
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9605% 9/25/34 (l) |
|
63,686 |
21,670 |
|
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (f) |
|
475,493 |
487,515 |
|
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0955% 9/25/34 (l) |
|
28,819 |
26,005 |
|
TIAA Real Estate CDO Ltd./TIAA Real Estate CDO Corp. Series 2003-1A Class B2, 5.4802% 12/28/38 (f) |
|
111,000 |
109,335 |
|
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.0196% 4/6/42 (f)(l) |
|
2,647,319 |
33,091 |
|
Wachovia Ltd./Wachovia LLC: |
|
|
|
|
Series 2006-1 Class 1ML, 5.9676% 9/25/26 (f)(l) |
|
400,000 |
200,000 |
|
Series 2006-1A: |
|
|
|
|
Class A1A, 0.7276% 9/25/26 (f)(l) |
|
1,275,257 |
1,160,483 |
|
Class A1B, 0.7976% 9/25/26 (f)(l) |
|
1,033,000 |
878,050 |
|
Class A2A, 0.6876% 9/25/26 (f)(l) |
|
768,814 |
757,282 |
|
Class A2B, 0.7776% 9/25/26 (f)(l) |
|
250,000 |
221,875 |
|
Class B, 0.8276% 9/25/26 (f)(l) |
|
250,000 |
205,000 |
|
Class C 0.9976% 9/25/26 (f)(l) |
|
250,000 |
200,000 |
|
Class F, 1.6176% 9/25/26 (f)(l) |
|
250,000 |
186,250 |
|
Class G, 1.8176% 9/25/26 (f)(l) |
|
326,000 |
235,535 |
|
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (f) |
|
887,552 |
0 |
|
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (f) |
|
7,938 |
0 |
|
Whinstone Capital Management Ltd. Series 1A Class B3, 2.2511% 10/25/44 (f)(l) |
|
1,789,540 |
1,181,096 |
|
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A: |
|
|
|
|
Class A1, 0.7545% 11/21/40 (f)(l) |
|
491,427 |
427,542 |
|
Class D, 1.2845% 11/21/40 (f)(l) |
|
305,000 |
112,850 |
|
TOTAL ASSET-BACKED SECURITIES (Cost $250,614,565) |
|
|||
Collateralized Mortgage Obligations - 0.4% |
||||
|
||||
Private Sponsor - 0.4% |
||||
ABN AMRO Mortgage Corp. Series 2003-9 Class B5, 4.5164% 8/25/18 (f) |
|
158,925 |
44,742 |
|
Bayview Commercial Asset Trust Series 2006-3A, Class IO, 3.9199% 10/25/36 (f)(l)(n) |
|
8,627,914 |
304,801 |
|
Collateralized Mortgage Obligations - continued |
||||
|
Principal |
Value |
||
Private Sponsor - continued |
||||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7955% 1/25/35 (l) |
|
$ 1,788,802 |
$ 1,540,344 |
|
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (l) |
|
2,125,000 |
891,565 |
|
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7385% 7/16/34 (f)(l) |
|
11,356 |
11,358 |
|
Countrywide Alternative Loan Trust Series 2006-OC5N Class N, 7.25% 7/25/37 (f) |
|
78,237 |
0 |
|
Countrywide Home Loans, Inc.: |
|
|
|
|
Series 2003-28 Class B3, 5.5% 8/25/33 |
|
49,127 |
13,995 |
|
Series 2003-35 Class B, 4.6386% 9/25/18 (l) |
|
75,999 |
19,000 |
|
Credit Suisse First Boston Mortgage Securities Corp.: |
|
|
|
|
Series 2003-17 Class B4, 0% 6/25/33 (l) |
|
215,141 |
96,813 |
|
Series 2004-3 Class DB4, 5.8253% 4/25/34 (l) |
|
20,447 |
51 |
|
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.623% 10/25/34 (l) |
|
1,308,293 |
1,259,899 |
|
FREMF Mortgage Trust: |
|
|
|
|
Series 2010 K7 Class B, 5.4352% 4/25/20 (f)(l) |
|
1,000,000 |
1,105,996 |
|
Series 2010-K6 Class B, 5.3579% 12/25/46 (f)(l) |
|
910,000 |
1,000,528 |
|
GMAC Commercial Mortgage Securities, Inc. Series 1993-C3 Class L, 6.974% 8/15/36 |
|
10,124 |
5 |
|
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (f) |
|
53,420 |
13,355 |
|
Granite Master Issuer PLC floater: |
|
|
|
|
Series 2005-4 Class C2, 1.337% 12/20/54 (l) |
|
205,017 |
154,788 |
|
Series 2006-1A Class C2, 1.437% 12/20/54 (f)(l) |
|
6,523,000 |
4,924,865 |
|
Series 2006-2 Class C1, 1.177% 12/20/54 (l) |
|
21,543,000 |
16,264,965 |
|
Series 2006-3 Class C2, 0.737% 12/20/54 (l) |
|
1,124,000 |
848,620 |
|
Series 2006-4: |
|
|
|
|
Class B1, 0.417% 12/20/54 (l) |
|
4,521,000 |
4,125,413 |
|
Class C1, 0.997% 12/20/54 (l) |
|
2,767,000 |
2,089,085 |
|
Class M1, 0.577% 12/20/54 (l) |
|
1,190,000 |
1,035,300 |
|
Series 2007-1: |
|
|
|
|
Class 1C1, 0.837% 12/20/54 (l) |
|
2,234,000 |
1,686,670 |
|
Class 1M1, 0.537% 12/20/54 (l) |
|
1,493,000 |
1,298,910 |
|
Class 2C1, 1.197% 12/20/54 (l) |
|
1,015,000 |
766,325 |
|
Class 2M1, 0.737% 12/20/54 (l) |
|
1,917,000 |
1,667,790 |
|
Series 2007-2 Class 2C1, 1.098% 12/17/54 (l) |
|
2,654,000 |
2,003,770 |
|
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.9051% 1/20/44 (l) |
|
430,241 |
340,536 |
|
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 4.7138% 3/25/37 (l) |
|
4,073,799 |
4,129,304 |
|
Collateralized Mortgage Obligations - continued |
||||
|
Principal |
Value |
||
Private Sponsor - continued |
||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (l) |
|
$ 2,216,732 |
$ 2,344,852 |
|
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 5.6881% 8/25/36 (l) |
|
2,159,278 |
1,662,304 |
|
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39 |
|
857,000 |
989,518 |
|
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4455% 5/25/47 (l) |
|
2,522,912 |
1,614,370 |
|
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4055% 2/25/37 (l) |
|
6,029,286 |
4,729,694 |
|
Merrill Lynch Mortgage Investors Trust Series 1998-C3 Class F, 6% 12/15/30 (f) |
|
930,000 |
937,410 |
|
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5255% 7/25/35 (l) |
|
1,865,850 |
1,516,856 |
|
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: |
|
|
|
|
Class B5, 2.5903% 7/10/35 (f)(l) |
|
1,101,069 |
877,291 |
|
Class B6, 3.0903% 7/10/35 (f)(l) |
|
245,498 |
194,084 |
|
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6855% 6/25/33 (f)(l) |
|
209,235 |
200,865 |
|
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (f) |
|
268,000 |
90,086 |
|
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.6169% 7/20/34 (l) |
|
34,224 |
30,351 |
|
Structured Asset Securities Corp. Series 2003-15A Class 4A, 5.3743% 4/25/33 (l) |
|
414,657 |
386,477 |
|
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4355% 9/25/36 (l) |
|
3,200,850 |
2,752,223 |
|
Wells Fargo Mortgage Backed Securities Trust: |
|
|
|
|
Series 2003-12 Class B6, 4.75% 11/25/18 (f) |
|
110,459 |
49,707 |
|
Series 2005-AR2 Class 1A2, 2.6153% 3/25/35 (l) |
|
3,037,239 |
1,588,607 |
|
TOTAL PRIVATE SPONSOR |
67,603,488 |
|||
U.S. Government Agency - 0.0% |
||||
Fannie Mae planned amortization class Series 2002-9 Class PC, 6% 3/25/17 |
|
183,585 |
196,169 |
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $38,530,628) |
|
|||
Commercial Mortgage Securities - 4.9% |
||||
|
Principal |
Value |
||
ACGS Series 2004-1 Class P, 7.4651% 8/1/19 (o) |
|
$ 456,062 |
$ 442,185 |
|
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (f) |
|
180,000 |
205,667 |
|
Asset Securitization Corp.: |
|
|
|
|
Series 1996-D2 Class B1A, 8.4864% 2/14/29 (f)(l) |
|
290,368 |
304,055 |
|
Series 1997-D4: |
|
|
|
|
Class B2, 7.525% 4/14/29 |
|
563,961 |
572,511 |
|
Class B5, 7.525% 4/14/29 |
|
129,000 |
109,932 |
|
Series 1997-D5: |
|
|
|
|
Class A6, 7.1354% 2/14/43 (l) |
|
245,438 |
246,803 |
|
Class A7, 7.3754% 2/14/43 (l) |
|
820,000 |
824,298 |
|
Class PS1, 1.2297% 2/14/43 (l)(n) |
|
1,080,614 |
31,940 |
|
Banc of America Commercial Mortgage Trust: |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2006-2 Class AAB, 5.7087% 5/10/45 (l) |
|
1,568,620 |
1,659,548 |
|
Series 2006-4 Class AM, 5.675% 7/10/46 |
|
1,000,000 |
1,095,117 |
|
Series 2006-5: |
|
|
|
|
Class A2, 5.317% 9/10/47 |
|
5,526,415 |
5,556,882 |
|
Class A3, 5.39% 9/10/47 |
|
2,653,000 |
2,814,844 |
|
Series 2006-6 Class A3, 5.369% 10/10/45 |
|
3,804,000 |
4,157,776 |
|
Series 2007-4 Class A3, 5.7921% 2/10/51 (l) |
|
1,869,164 |
1,944,009 |
|
Series 2006-6 Class E, 5.619% 10/10/45 (f) |
|
1,098,000 |
109,910 |
|
Series 2007-3: |
|
|
|
|
Class A3, 5.6612% 6/10/49 (l) |
|
3,176,000 |
3,237,856 |
|
Class A4, 5.6612% 6/10/49 (l) |
|
3,965,000 |
4,535,282 |
|
Series 2008-1 Class D, 6.2489% 2/10/51 (f)(l) |
|
125,000 |
44,312 |
|
Banc of America Commercial Mortgage, Inc.: |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2001-1 Class A4, 5.451% 1/15/49 |
|
4,166,000 |
4,772,786 |
|
Series 2002-2 Class F, 5.487% 7/11/43 |
|
415,000 |
417,700 |
|
Series 2004-2 Class A4, 4.153% 11/10/38 |
|
2,035,414 |
2,091,864 |
|
Series 2005-1 Class A3, 4.877% 11/10/42 |
|
746,767 |
746,240 |
|
Series 2005-4 Class AJ, 5.038% 7/10/45 (l) |
|
530,000 |
527,046 |
|
Series 2001-3 Class H, 6.562% 4/11/37 (f) |
|
1,472,000 |
1,471,227 |
|
Series 2003-1 Class G, 5.608% 9/11/36 (f) |
|
310,000 |
311,649 |
|
Series 2004-1 Class F, 5.279% 11/10/39 (f) |
|
185,000 |
154,668 |
|
Series 2004-4: |
|
|
|
|
Class K, 4.637% 7/10/42 (f)(l) |
|
300,000 |
2,340 |
|
Class L, 4.637% 7/10/42 (f)(l) |
|
280,000 |
506 |
|
Series 2004-5 Class G, 5.5625% 11/10/41 (f)(l) |
|
195,000 |
148,583 |
|
Series 2005-1 Class CJ, 5.1989% 11/10/42 (l) |
|
550,000 |
575,680 |
|
Series 2005-3 Class A3B, 5.09% 7/10/43 (l) |
|
5,908,000 |
6,222,223 |
|
Series 2005-6 Class AJ, 5.1929% 9/10/47 (l) |
|
300,000 |
315,997 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Banc of America Large Loan Trust floater Series 2010-HLTN Class HLTN, 1.9895% 11/15/15 (f)(l) |
|
$ 836,124 |
$ 819,399 |
|
Banc of America Large Loan, Inc. floater: |
|
|
|
|
Series 2005-MIB1: |
|
|
|
|
Class B, 0.4995% 3/15/22 (f)(l) |
|
230,977 |
229,855 |
|
Class C, 0.5495% 3/15/22 (f)(l) |
|
1,357,000 |
1,343,621 |
|
Class D, 0.5995% 3/15/22 (f)(l) |
|
826,000 |
813,726 |
|
Class E, 0.6395% 3/15/22 (f)(l) |
|
684,000 |
670,416 |
|
Class F, 0.7095% 3/15/22 (f)(l) |
|
615,784 |
597,397 |
|
Class G, 0.7695% 3/15/22 (f)(l) |
|
399,119 |
379,219 |
|
Class J, 1.2895% 3/15/22 (f)(l) |
|
678,000 |
617,076 |
|
Class K, 2.2395% 3/15/22 (f)(l) |
|
427,499 |
260,835 |
|
Series 2006-BIX1: |
|
|
|
|
Class D, 0.4495% 10/15/19 (f)(l) |
|
166,047 |
161,066 |
|
Class E, 0.4795% 10/15/19 (f)(l) |
|
1,385,000 |
1,308,825 |
|
Class F, 0.5495% 10/15/19 (f)(l) |
|
3,150,730 |
2,961,686 |
|
Class G, 0.5695% 10/15/19 (f)(l) |
|
1,245,579 |
1,158,388 |
|
Bayview Commercial Asset Trust: |
|
|
|
|
floater: |
|
|
|
|
Series 2003-2 Class M1, 1.0855% 12/25/33 (f)(l) |
|
59,110 |
42,871 |
|
Series 2004-1: |
|
|
|
|
Class B, 2.1355% 4/25/34 (f)(l) |
|
116,840 |
68,331 |
|
Class M1, 0.7955% 4/25/34 (f)(l) |
|
93,807 |
66,710 |
|
Class M2, 1.4355% 4/25/34 (f)(l) |
|
86,665 |
60,942 |
|
Series 2005-2A: |
|
|
|
|
Class A1, 0.5455% 8/25/35 (f)(l) |
|
1,515,564 |
1,093,707 |
|
Class M1, 0.6655% 8/25/35 (f)(l) |
|
75,477 |
44,295 |
|
Class M2, 0.7155% 8/25/35 (f)(l) |
|
124,486 |
66,983 |
|
Class M3, 0.7355% 8/25/35 (f)(l) |
|
68,875 |
34,015 |
|
Series 2005-3A: |
|
|
|
|
Class A2, 0.6355% 11/25/35 (f)(l) |
|
536,712 |
421,939 |
|
Class M1, 0.6755% 11/25/35 (f)(l) |
|
64,056 |
36,032 |
|
Class M2, 0.7255% 11/25/35 (f)(l) |
|
81,326 |
43,877 |
|
Class M3, 0.7455% 11/25/35 (f)(l) |
|
72,785 |
37,435 |
|
Class M4, 0.8355% 11/25/35 (f)(l) |
|
90,684 |
42,699 |
|
Series 2005-4A: |
|
|
|
|
Class A2, 0.6255% 1/25/36 (f)(l) |
|
1,268,721 |
898,826 |
|
Class B1, 1.6355% 1/25/36 (f)(l) |
|
109,639 |
16,089 |
|
Class M1, 0.6855% 1/25/36 (f)(l) |
|
409,265 |
252,721 |
|
Class M2, 0.7055% 1/25/36 (f)(l) |
|
122,780 |
70,817 |
|
Class M3, 0.7355% 1/25/36 (f)(l) |
|
179,310 |
95,779 |
|
Class M4, 0.8455% 1/25/36 (f)(l) |
|
99,168 |
48,430 |
|
Class M5, 0.8855% 1/25/36 (f)(l) |
|
99,168 |
33,079 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Bayview Commercial Asset Trust: - continued |
|
|
|
|
floater: |
|
|
|
|
Series 2005-4A: |
|
|
|
|
Class M6, 0.9355% 1/25/36 (f)(l) |
|
$ 105,328 |
$ 28,074 |
|
Series 2006-1: |
|
|
|
|
Class A2, 0.5955% 4/25/36 (f)(l) |
|
196,302 |
144,843 |
|
Class M1, 0.6155% 4/25/36 (f)(l) |
|
70,209 |
41,563 |
|
Class M2, 0.6355% 4/25/36 (f)(l) |
|
74,180 |
40,951 |
|
Class M3, 0.6555% 4/25/36 (f)(l) |
|
63,826 |
32,417 |
|
Class M4, 0.7555% 4/25/36 (f)(l) |
|
36,168 |
16,809 |
|
Class M5, 0.7955% 4/25/36 (f)(l) |
|
35,105 |
12,322 |
|
Class M6, 0.8755% 4/25/36 (f)(l) |
|
69,996 |
23,323 |
|
Series 2006-2A: |
|
|
|
|
Class A1, 0.4655% 7/25/36 (f)(l) |
|
3,503,299 |
2,469,751 |
|
Class A2, 0.5155% 7/25/36 (f)(l) |
|
173,321 |
122,562 |
|
Class B1, 1.1055% 7/25/36 (f)(l) |
|
64,893 |
9,188 |
|
Class B3, 2.9355% 7/25/36 (f)(l) |
|
60,694 |
1,852 |
|
Class M1, 0.5455% 7/25/36 (f)(l) |
|
181,849 |
59,489 |
|
Class M2, 0.5655% 7/25/36 (f)(l) |
|
128,303 |
38,255 |
|
Class M3, 0.5855% 7/25/36 (f)(l) |
|
106,425 |
24,014 |
|
Class M4, 0.6555% 7/25/36 (f)(l) |
|
71,865 |
15,264 |
|
Class M5, 0.7055% 7/25/36 (f)(l) |
|
88,329 |
17,050 |
|
Class M6, 0.7755% 7/25/36 (f)(l) |
|
131,789 |
21,146 |
|
Series 2006-3A: |
|
|
|
|
Class B1, 1.0355% 10/25/36 (f)(l) |
|
3,745 |
30 |
|
Class M4, 0.6655% 10/25/36 (f)(l) |
|
143,297 |
21,570 |
|
Class M5, 0.7155% 10/25/36 (f)(l) |
|
171,547 |
11,151 |
|
Class M6, 0.7955% 10/25/36 (f)(l) |
|
336,179 |
7,802 |
|
Series 2006-4A: |
|
|
|
|
Class A1, 0.4655% 12/25/36 (f)(l) |
|
747,965 |
507,944 |
|
Class A2, 0.5055% 12/25/36 (f)(l) |
|
3,805,836 |
1,772,556 |
|
Class B1, 0.9355% 12/25/36 (f)(l) |
|
71,466 |
1,519 |
|
Class M1, 0.5255% 12/25/36 (f)(l) |
|
243,457 |
50,013 |
|
Class M2, 0.5455% 12/25/36 (f)(l) |
|
162,305 |
24,961 |
|
Class M3, 0.5755% 12/25/36 (f)(l) |
|
164,575 |
22,117 |
|
Class M4, 0.6355% 12/25/36 (f)(l) |
|
196,922 |
22,526 |
|
Class M5, 0.6755% 12/25/36 (f)(l) |
|
181,032 |
14,791 |
|
Class M6, 0.7555% 12/25/36 (f)(l) |
|
162,305 |
8,885 |
|
Series 2007-1 Class A2, 0.5055% 3/25/37 (f)(l) |
|
813,631 |
438,007 |
|
Series 2007-2A: |
|
|
|
|
Class A1, 0.5055% 7/25/37 (f)(l) |
|
770,707 |
433,967 |
|
Class A2, 0.5555% 7/25/37 (f)(l) |
|
720,121 |
238,656 |
|
Class B1, 1.8355% 7/25/37 (f)(l) |
|
104,716 |
1,443 |
|
Class M1, 0.6055% 7/25/37 (f)(l) |
|
252,866 |
65,599 |
|
Class M2, 0.6455% 7/25/37 (f)(l) |
|
138,176 |
16,582 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Bayview Commercial Asset Trust: - continued |
|
|
|
|
floater: |
|
|
|
|
Series 2007-2A: |
|
|
|
|
Class M3, 0.7255% 7/25/37 (f)(l) |
|
$ 140,103 |
$ 13,703 |
|
Class M4, 0.8855% 7/25/37 (f)(l) |
|
276,611 |
22,025 |
|
Class M5, 0.9855% 7/25/37 (f)(l) |
|
243,838 |
17,389 |
|
Class M6, 1.2355% 7/25/37 (f)(l) |
|
309,171 |
15,450 |
|
Series 2007-3: |
|
|
|
|
Class A2, 0.5255% 7/25/37 (f)(l) |
|
753,626 |
382,623 |
|
Class B1, 1.1855% 7/25/37 (f)(l) |
|
183,174 |
12,317 |
|
Class B2, 1.8355% 7/25/37 (f)(l) |
|
430,380 |
23,392 |
|
Class M1, 0.5455% 7/25/37 (f)(l) |
|
163,681 |
38,015 |
|
Class M2, 0.5755% 7/25/37 (f)(l) |
|
175,436 |
31,147 |
|
Class M3, 0.6055% 7/25/37 (f)(l) |
|
276,444 |
37,907 |
|
Class M4, 0.7355% 7/25/37 (f)(l) |
|
434,058 |
50,665 |
|
Class M5, 0.8355% 7/25/37 (f)(l) |
|
225,145 |
23,033 |
|
Class M6, 1.0355% 7/25/37 (f)(l) |
|
171,679 |
14,969 |
|
Series 2007-4A: |
|
|
|
|
Class M1, 1.1855% 9/25/37 (f)(l) |
|
291,207 |
18,380 |
|
Class M2, 1.2855% 9/25/37 (f)(l) |
|
291,207 |
15,208 |
|
Class M4, 1.8355% 9/25/37 (f)(l) |
|
744,809 |
29,951 |
|
Class M5, 1.9855% 9/25/37 (f)(l) |
|
744,809 |
22,924 |
|
Class M6, 2.1855% 9/25/37 (f)(l) |
|
486,481 |
11,804 |
|
Series 2004-1, Class IO, 1.25% 4/25/34 (f)(n) |
|
3,264,279 |
132,203 |
|
Series 2007-5A, Class IO, 4.1484% 10/25/37 (f)(l)(n) |
|
8,346,537 |
722,570 |
|
Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.4508% 3/11/39 (l) |
|
450,000 |
433,366 |
|
Bear Stearns Commercial Mortgage Securities Trust: |
|
|
|
|
floater: |
|
|
|
|
Series 2006-BBA7: |
|
|
|
|
Class H, 0.8895% 3/15/19 (f)(l) |
|
400,163 |
386,091 |
|
Class J, 1.0895% 3/15/19 (f)(l) |
|
407,118 |
372,955 |
|
Series 2007-BBA8: |
|
|
|
|
Class D, 0.4895% 3/15/22 (f)(l) |
|
655,330 |
591,716 |
|
Class E, 0.5395% 3/15/22 (f)(l) |
|
3,607,157 |
3,184,860 |
|
Class F, 0.5895% 3/15/22 (f)(l) |
|
2,235,922 |
1,929,440 |
|
Class G, 0.6395% 3/15/22 (f)(l) |
|
537,549 |
453,115 |
|
Class H, 0.7895% 3/15/22 (f)(l) |
|
655,330 |
539,289 |
|
Class J, 0.9395% 3/15/22 (f)(l) |
|
655,330 |
522,906 |
|
sequential payer: |
|
|
|
|
Series 2004-PWR3 Class A3, 4.487% 2/11/41 |
|
435,607 |
439,416 |
|
Series 2006-PW14 Class AM, 5.243% 12/11/38 |
|
600,000 |
650,741 |
|
Series 2006-T22 Class AJ, 5.5391% 4/12/38 (l) |
|
400,000 |
412,745 |
|
Series 2007-PW16 Class A4, 5.7154% 6/11/40 (l) |
|
1,112,000 |
1,302,622 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Bear Stearns Commercial Mortgage Securities Trust: - continued |
|
|
|
|
sequential payer: |
|
|
|
|
Series 1999-C1: |
|
|
|
|
Class G, 5.64% 2/14/31 (f) |
|
$ 70,000 |
$ 70,698 |
|
Class I, 5.64% 2/14/31 (f) |
|
201,950 |
147,898 |
|
Series 2003-T10 Class B, 4.84% 3/13/40 |
|
1,000,000 |
1,013,756 |
|
Series 2006-PW13 Class A3, 5.518% 9/11/41 |
|
6,714,000 |
7,019,796 |
|
Series 2006-PW14 Class X2, 0.6677% 12/11/38 (f)(l)(n) |
|
20,026,973 |
163,518 |
|
Series 2006-T22: |
|
|
|
|
Class A4, 5.5391% 4/12/38 (l) |
|
237,000 |
270,990 |
|
Class B, 5.5391% 4/12/38 (f)(l) |
|
200,000 |
190,597 |
|
Series 2006-T24 Class X2, 0.4455% 10/12/41 (f)(l)(n) |
|
3,435,357 |
16,345 |
|
Series 2007-BBA8: |
|
|
|
|
Class K, 1.4395% 3/15/22 (f)(l) |
|
120,000 |
93,759 |
|
Class L, 2.1395% 3/15/22 (f)(l) |
|
253,498 |
162,406 |
|
Series 2007-PW18 Class X2, 0.3156% 6/11/50 (f)(l)(n) |
|
133,870,169 |
1,249,946 |
|
Series 2007-T28 Class X2, 0.1576% 9/11/42 (f)(l)(n) |
|
72,025,455 |
383,031 |
|
Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (f) |
|
317,973 |
319,563 |
|
C-BASS Trust floater Series 2006-SC1 Class A, 0.5055% 5/25/36 (f)(l) |
|
703,227 |
608,997 |
|
CDC Commercial Mortgage Trust Series 2002-FX1: |
|
|
|
|
Class G, 6.625% 5/15/35 (f) |
|
2,235,000 |
2,304,388 |
|
Class XCL, 1.331% 5/15/35 (f)(l)(n) |
|
7,622,427 |
148,531 |
|
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.5599% 12/15/47 (f)(l) |
|
750,000 |
817,969 |
|
Chase Commercial Mortgage Securities Corp.: |
|
|
|
|
Series 1998-1 Class H, 6.34% 5/18/30 (f) |
|
800,000 |
699,497 |
|
Series 1998-2 Class J, 6.39% 11/18/30 (f) |
|
489,102 |
324,645 |
|
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust Series 1999-1 Class G, 6.4% 8/15/31 (f) |
|
144,820 |
148,352 |
|
Citigroup Commercial Mortgage Trust: |
|
|
|
|
floater Series 2006-FL2: |
|
|
|
|
Class G, 0.5693% 8/15/21 (f)(l) |
|
117,397 |
116,223 |
|
Class H, 0.6093% 8/15/21 (f)(l) |
|
433,548 |
413,642 |
|
Series 2007-FL3A Class A2, 0.3795% 4/15/22 (f)(l) |
|
183,349 |
179,814 |
|
Series 2008-C7 Class A2B, 6.0731% 12/10/49 (l) |
|
1,215,035 |
1,244,722 |
|
Citigroup/Deutsche Bank Commercial Mortgage Trust: |
|
|
|
|
sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49 |
|
14,623,000 |
16,485,532 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Citigroup/Deutsche Bank Commercial Mortgage Trust: - continued |
|
|
|
|
Series 2007-CD4 Class A3, 5.293% 12/11/49 |
|
$ 1,852,000 |
$ 1,958,397 |
|
Claregold Trust Series 2007-2A: |
|
|
|
|
Class F, 5.01% 5/15/44 (f)(l) |
CAD |
138,000 |
108,262 |
|
Class G, 5.01% 5/15/44 (f)(l) |
CAD |
30,000 |
22,463 |
|
Class H, 5.01% 5/15/44 (f)(l) |
CAD |
20,000 |
12,251 |
|
Class J, 5.01% 5/15/44 (f)(l) |
CAD |
20,000 |
11,538 |
|
Class K, 5.01% 5/15/44 (f)(l) |
CAD |
10,000 |
4,937 |
|
Class L, 5.01% 5/15/44 (f)(l) |
CAD |
36,000 |
16,481 |
|
Class M, 5.01% 5/15/44 (f)(l) |
CAD |
165,000 |
70,149 |
|
Cobalt CMBS Commercial Mortgage Trust: |
|
|
|
|
sequential payer Series 2007-C3 Class A3, 5.8108% 5/15/46 (l) |
|
1,902,000 |
2,043,836 |
|
Series 2006-C1 Class B, 5.359% 8/15/48 |
|
5,706,000 |
828,563 |
|
COMM pass-thru certificates: |
|
|
|
|
floater: |
|
|
|
|
Series 2005-F10A Class J, 1.0895% 4/15/17 (f)(l) |
|
125,664 |
114,352 |
|
Series 2005-FL11: |
|
|
|
|
Class B, 0.4895% 11/15/17 (f)(l) |
|
135,349 |
131,196 |
|
Class C, 0.5395% 11/15/17 (f)(l) |
|
1,168,561 |
1,109,332 |
|
Class D, 0.5795% 11/15/17 (f)(l) |
|
60,771 |
56,475 |
|
Class E, 0.6295% 11/15/17 (f)(l) |
|
216,043 |
198,612 |
|
Class F, 0.6895% 11/15/17 (f)(l) |
|
149,679 |
136,106 |
|
Class G, 0.7395% 11/15/17 (f)(l) |
|
103,750 |
92,267 |
|
Series 2006-FL12 Class AJ, 0.3695% 12/15/20 (f)(l) |
|
4,060,000 |
3,705,651 |
|
sequential payer: |
|
|
|
|
Series 2003-LB1A Class D, 4.278% 6/10/38 |
|
550,000 |
547,037 |
|
Series 2004-RS1 Class A, 5.648% 3/3/41 (f) |
|
529,570 |
533,541 |
|
Series 2006-C8 Class A3, 5.31% 12/10/46 |
|
5,420,000 |
5,531,007 |
|
Series 2006-CN2A: |
|
|
|
|
Class A2FX, 5.449% 2/5/19 (f) |
|
2,477,530 |
2,483,629 |
|
Class AJFX, 5.478% 2/5/19 (f) |
|
5,750,000 |
5,757,832 |
|
Series 2001-J2A Class F, 6.9937% 7/16/34 (f)(l) |
|
199,000 |
219,403 |
|
Series 2006-C8 Class XP, 0.4663% 12/10/46 (l)(n) |
|
16,251,781 |
100,712 |
|
Commercial Mortgage Acceptance Corp.: |
|
|
|
|
Series 1998-C1: |
|
|
|
|
Class F, 6.23% 7/15/31 (f) |
|
27,517 |
27,820 |
|
Class G, 6.21% 7/15/31 (f) |
|
554,000 |
558,875 |
|
weighted average coupon Series 1998-C2 Class F, 5.44% 9/15/30 (f)(l) |
|
110,362 |
113,128 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Commercial Mortgage Asset Trust: |
|
|
|
|
Series 1999-C1 Class F, 6.25% 1/17/32 (f) |
|
$ 550,000 |
$ 483,918 |
|
Series 1999-C2 Class G, 6% 11/17/32 |
|
302,000 |
232,104 |
|
Commercial Mortgage pass-thru certificates: |
|
|
|
|
Series 2005 C6 Class B, 5.2423% 6/10/44 (l) |
|
905,000 |
786,174 |
|
Series 2005-C6 Class AJ, 5.209% 6/10/44 (l) |
|
1,260,000 |
1,271,156 |
|
Series 2011-STRT Class C, 4.755% 12/10/24 (f) |
|
420,000 |
419,930 |
|
Series 2012-CR1: |
|
|
|
|
Class C, 5.547% 5/15/45 |
|
350,000 |
355,950 |
|
Class D, 5.547% 5/15/45 (f) |
|
440,000 |
354,076 |
|
Commercial Mortgage Trust pass-thru certificates: |
|
|
|
|
Series 2012-CR2 Class E, 5.02% 8/15/45 (f)(l) |
|
600,000 |
469,595 |
|
Series 2012-LC4: |
|
|
|
|
Class C, 5.8246% 12/10/44 (l) |
|
260,000 |
271,228 |
|
Class D, 5.8246% 12/10/44 (f)(l) |
|
870,000 |
739,361 |
|
Communication Mortgage Trust Series 2011-THL: |
|
|
|
|
Class E, 5.949% 6/9/28 (f) |
|
493,000 |
504,058 |
|
Class F, 4.867% 6/9/28 (f) |
|
645,000 |
590,278 |
|
Credit Suisse Commercial Mortgage Trust: |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2007-C2: |
|
|
|
|
Class A2, 5.448% 1/15/49 (l) |
|
3,630,108 |
3,662,728 |
|
Class A3, 5.542% 1/15/49 (l) |
|
3,804,000 |
4,245,477 |
|
Series 2007-C3 Class A4, 5.6792% 6/15/39 (l) |
|
28,438,000 |
31,393,931 |
|
Series 2006-C4 Class AAB, 5.439% 9/15/39 |
|
5,554,662 |
5,625,101 |
|
Series 2006-C5 Class ASP, 0.6643% 12/15/39 (l)(n) |
|
11,245,165 |
91,738 |
|
Series 2007-C5 Class A4, 5.695% 9/15/40 (l) |
|
1,722,000 |
1,923,366 |
|
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5895% 4/15/22 (f)(l) |
|
6,783,000 |
5,375,202 |
|
Credit Suisse First Boston Mortgage Securities Corp.: |
|
|
|
|
floater Series 2006-TF2A Class KER, 0.8395% 9/15/21 (f)(l) |
|
254,456 |
176,847 |
|
sequential payer Series 2004-C1 Class A4, 4.75% 1/15/37 |
|
867,120 |
904,368 |
|
Series 1997-C2 Class F, 7.46% 1/17/35 (l) |
|
774,152 |
781,079 |
|
Series 1998-C1: |
|
|
|
|
Class F, 6% 5/17/40 (f) |
|
2,147,309 |
2,275,360 |
|
Class H, 6% 5/17/40 (f) |
|
90,317 |
7,967 |
|
Series 1998-C2: |
|
|
|
|
Class F, 6.75% 11/15/30 (f) |
|
1,156,000 |
1,243,191 |
|
Class G, 6.75% 11/15/30 (f) |
|
180,000 |
198,196 |
|
Series 2001-CK6 Class AX, 0.9973% 8/15/36 (l)(n) |
|
498,549 |
440 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Credit Suisse First Boston Mortgage Securities Corp.: - continued |
|
|
|
|
Series 2001-CKN5 Class AX, 1.7514% 9/15/34 (f)(l)(n) |
|
$ 1,717,918 |
$ 2,153 |
|
Series 2003-C3 Class D, 4.131% 5/15/38 |
|
120,000 |
121,133 |
|
Series 2006-C1 Class A3, 5.4157% 2/15/39 (l) |
|
6,794,301 |
6,954,837 |
|
Credit Suisse Mortgage Capital Certificates: |
|
|
|
|
floater Series 2007-TFL1: |
|
|
|
|
Class B, 0.3895% 2/15/22 (f)(l) |
|
721,000 |
675,010 |
|
Class C: |
|
|
|
|
0.4095% 2/15/22 (f)(l) |
|
1,864,711 |
1,727,120 |
|
0.5095% 2/15/22 (f)(l) |
|
665,993 |
603,532 |
|
Class F, 0.5595% 2/15/22 (f)(l) |
|
1,331,815 |
1,193,590 |
|
Class L, 2.1395% 2/15/22 (f)(l) |
|
99,540 |
13,559 |
|
sequential payer Series 2007-C1 Class A2, 5.268% 2/15/40 |
|
4,460,133 |
4,459,004 |
|
Series 2007-C1: |
|
|
|
|
Class ASP, 0.3813% 2/15/40 (l)(n) |
|
27,591,094 |
154,234 |
|
Class B, 5.487% 2/15/40 (f)(l) |
|
2,907,000 |
370,942 |
|
DBUBS Mortgage Trust Series 2011-LC1A: |
|
|
|
|
Class D, 5.5568% 11/10/46 (f)(l) |
|
500,000 |
519,158 |
|
Class E, 5.5568% 11/10/46 (f)(l) |
|
770,000 |
709,311 |
|
Class F, 5.5568% 11/10/46 (f)(l) |
|
1,120,000 |
909,696 |
|
Class XB, 0.2463% 11/10/46 (f)(l)(n) |
|
20,920,000 |
368,589 |
|
Deutsche Mortgage & Asset Receiving Corp. Series 1998-C1 Class J, 6.22% 6/15/31 |
|
400,000 |
409,190 |
|
DLJ Commercial Mortgage Corp.: |
|
|
|
|
Series 1998-CG1 Class B4, 7.2123% 6/10/31 (f)(l) |
|
891,000 |
911,890 |
|
Series 2000-CKP1 Class B3, 7.7593% 11/10/33 (l) |
|
230,000 |
229,236 |
|
Extended Stay America Trust: |
|
|
|
|
Series 2010-ESHA Class D, 5.4983% 11/5/27 (f) |
|
3,190,000 |
3,236,422 |
|
Series 2010-ESHA, Class C4, 4.8603% 11/5/27 (f) |
|
320,000 |
323,791 |
|
FHMLC Multi-class participation certificates guaranteed: |
|
|
|
|
Series K013 Class X3, 2.7898% 1/25/43 (l)(n) |
|
820,000 |
136,489 |
|
Series KAIV Class X2, 3.6146% 6/25/46 (l)(n) |
|
420,000 |
90,555 |
|
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class G, 6.936% 3/15/33 (f) |
|
240,599 |
240,665 |
|
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer Series 1998-C2 Class G, 7% 11/18/35 (f)(l) |
|
443,000 |
474,351 |
|
Fontainebleau Miami Beach Trust Series 2012-FBLU: |
|
|
|
|
Class D, 5.007% 5/5/27 (f) |
|
589,000 |
612,622 |
|
Class E, 5.253% 5/5/27 (f) |
|
411,000 |
424,249 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Four Times Square Trust sequential payer Series 2006-4TS Class A, 5.401% 12/13/28 (f) |
|
$ 200,000 |
$ 237,214 |
|
Freddie Mac: |
|
|
|
|
Series K011 Class X3, 2.5749% 12/25/43 (l)(n) |
|
1,640,000 |
249,187 |
|
Series K012 Class X3, 2.2878% 1/25/41 (l)(n) |
|
1,800,000 |
244,201 |
|
FREMF Mortgage Trust: |
|
|
|
|
Series 2010-K9 Class B, 5.1639% 9/25/45 (f)(l) |
|
1,290,000 |
1,402,070 |
|
Series 2011-K10 Class B, 4.5974% 11/25/49 (f)(l) |
|
240,000 |
251,129 |
|
Series 2011-K11 Class B, 4.4202% 12/25/48 (f)(l) |
|
750,000 |
774,326 |
|
G-Force LLC sequential payer Series 2005-RRA Class A2, 4.83% 8/22/36 (f) |
|
1,265,339 |
1,265,339 |
|
GE Capital Commercial Mortgage Corp.: |
|
|
|
|
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 |
|
11,404,000 |
12,776,688 |
|
Series 2001-1 Class X1, 1.4912% 5/15/33 (f)(l)(n) |
|
1,248,462 |
15,590 |
|
Series 2007-C1 Class XP, 0.1588% 12/10/49 (l)(n) |
|
24,682,498 |
80,021 |
|
GMAC Commercial Mortgage Securities, Inc.: |
|
|
|
|
Series 1997-C1 Class H, 6.6% 7/15/29 |
|
411,904 |
214,268 |
|
Series 1997-C2 Class G, 6.75% 4/15/29 (l) |
|
412,661 |
477,608 |
|
Series 1999-C1 Class F, 6.02% 5/15/33 (f) |
|
206,559 |
212,059 |
|
Series 1999-C2I Class K, 6.481% 9/15/33 (o) |
|
385,000 |
261,199 |
|
Series 1999-C3: |
|
|
|
|
Class J, 6.974% 8/15/36 |
|
226,000 |
224,384 |
|
Class K, 6.974% 8/15/36 |
|
427,000 |
177,556 |
|
Series 2000-C1 Class K, 7% 3/15/33 |
|
17,331 |
13,089 |
|
Series 2003-C3 Class H, 5.7108% 4/10/40 (f)(l) |
|
170,000 |
151,798 |
|
Greenwich Capital Commercial Funding Corp.: |
|
|
|
|
floater Series 2006-FL4 Class B, 0.4343% 11/5/21 (f)(l) |
|
715,000 |
678,210 |
|
sequential payer: |
|
|
|
|
Series 2003-C1 Class D, 4.29% 7/5/35 (f) |
|
490,000 |
495,818 |
|
Series 2007-GG11 Class A2, 5.597% 12/10/49 |
|
3,323,861 |
3,423,514 |
|
Series 2007-GG9 Class A4, 5.444% 3/10/39 |
|
5,530,000 |
6,259,479 |
|
Series 2002-C1: |
|
|
|
|
Class H, 5.903% 1/11/35 (f) |
|
97,000 |
97,040 |
|
Class J, 6.306% 1/11/35 (f) |
|
760,000 |
760,715 |
|
Series 2003-C2 Class J, 5.234% 1/5/36 (f)(l) |
|
250,000 |
230,420 |
|
Series 2005-GG3 Class B, 4.894% 8/10/42 (l) |
|
680,000 |
677,102 |
|
Series 2006-GG7 Class A3, 5.8738% 7/10/38 (l) |
|
793,025 |
792,658 |
|
Series 2007-GG11 Class A1, 0.2519% 12/10/49 (f)(l)(n) |
|
36,190,607 |
186,345 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
GS Mortgage Securities Corp. II: |
|
|
|
|
floater: |
|
|
|
|
Series 2006-FL8A: |
|
|
|
|
Class E, 0.6158% 6/6/20 (f)(l) |
|
$ 431,608 |
$ 428,311 |
|
Class F, 0.6858% 6/6/20 (f)(l) |
|
835,001 |
822,619 |
|
Class J, 1.9943% 6/6/20 (f)(l) |
|
250,000 |
239,417 |
|
Series 2007-EOP: |
|
|
|
|
Class C, 2.0056% 3/6/20 (f)(l) |
|
1,994,000 |
1,974,919 |
|
Class D, 2.2018% 3/6/20 (f)(l) |
|
4,004,000 |
3,966,438 |
|
Class F, 2.6334% 3/6/20 (f)(l) |
|
164,000 |
162,558 |
|
Class G, 2.7903% 3/6/20 (f)(l) |
|
81,000 |
80,286 |
|
Class H, 3.3004% 3/6/20 (f)(l) |
|
60,000 |
59,622 |
|
Class J, 4.0852% 3/6/20 (f)(l) |
|
86,000 |
85,634 |
|
Class L, 5.4585% 3/6/20 (f)(l) |
|
400,000 |
400,374 |
|
Series 1997-GL: |
|
|
|
|
Class G, 7.5095% 7/13/30 (l) |
|
776,590 |
858,686 |
|
Class H, 7.7995% 7/13/30 (f)(l) |
|
230,000 |
241,661 |
|
Series 2006-GG6 Class A2, 5.506% 4/10/38 |
|
4,584,486 |
4,588,493 |
|
Series 2006-RR2: |
|
|
|
|
Class M, 5.608% 6/23/46 (f)(l) |
|
100,000 |
0 |
|
Class N, 5.608% 6/23/46 (f)(l) |
|
57,153 |
0 |
|
Series 2010-C1: |
|
|
|
|
Class D, 5.9937% 8/10/43 (f)(l) |
|
290,000 |
303,433 |
|
Class E, 4% 8/10/43 (f) |
|
1,240,000 |
921,569 |
|
Class X, 1.5537% 8/10/43 (f)(l)(n) |
|
6,188,639 |
506,565 |
|
Series 2012-GCJ7: |
|
|
|
|
Class C, 5.722% 5/10/45 (l) |
|
630,000 |
652,764 |
|
Class D, 5.721% 5/10/45 (f) |
|
970,000 |
837,961 |
|
GS Mortgage Securities Corp. Trust Series 2011-ALF Class E, 4.953% 2/10/21 (f) |
|
510,000 |
508,164 |
|
GS Mortgage Securities Trust: |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2006-GG8 Class A2, 5.479% 11/10/39 |
|
568,161 |
576,788 |
|
Series 2007-GG10 Class A2, 5.778% 8/10/45 |
|
6,372,369 |
6,456,950 |
|
Series 2010-C2: |
|
|
|
|
Class D, 5.2282% 12/10/43 (f)(l) |
|
720,000 |
692,227 |
|
Class XA, 0.684% 12/10/43 (f)(l)(n) |
|
5,555,383 |
133,763 |
|
Series 2011-GC5 Class C, 5.3083% 8/10/44 (f)(l) |
|
1,050,000 |
1,068,414 |
|
HVB Mortgage Capital Corp. floater Series 2003-FL1A Class K, 3.0903% 9/10/22 (f)(l) |
|
1,120,000 |
1,120,021 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
JPMorgan Chase Commercial Mortgage Securities Corp.: |
|
|
|
|
floater Series 2011-CCHP Class E, 5.15% 7/15/28 (f)(l) |
|
$ 500,000 |
$ 506,169 |
|
Series 2002-C1 Class E, 6.135% 7/12/37 (f) |
|
935,000 |
932,859 |
|
Series 2003-C1: |
|
|
|
|
Class CM1, 5.5061% 1/12/37 (f)(l) |
|
197,916 |
197,153 |
|
Class D, 5.192% 1/12/37 |
|
270,000 |
271,405 |
|
Series 2009-IWST: |
|
|
|
|
Class C, 7.4453% 12/5/27 (f)(l) |
|
380,000 |
452,221 |
|
Class D, 7.4453% 12/5/27 (f)(l) |
|
1,135,000 |
1,296,345 |
|
Series 2010-CNTM Class MZ, 8.5% 8/5/20 (f) |
|
670,000 |
708,276 |
|
Series 2010-CNTR Class D, 6.1838% 8/5/32 (f)(l) |
|
695,000 |
731,280 |
|
Series 2011-C4 Class E, 5.3892% 7/15/46 (f)(l) |
|
370,000 |
309,154 |
|
Series 2012-CBX: |
|
|
|
|
Class C, 5.1909% 6/16/45 (l) |
|
250,000 |
251,530 |
|
Class D, 5.1909% 6/16/45 (f)(l) |
|
690,000 |
639,727 |
|
JPMorgan Chase Commercial Mortgage Securities Trust: |
|
|
|
|
floater Series 2006-FLA2: |
|
|
|
|
Class A2, 0.3695% 11/15/18 (f)(l) |
|
5,708,534 |
5,617,283 |
|
Class B, 0.4095% 11/15/18 (f)(l) |
|
948,720 |
924,068 |
|
Class C, 0.4495% 11/15/18 (f)(l) |
|
674,039 |
649,784 |
|
Class D, 0.4695% 11/15/18 (f)(l) |
|
205,327 |
193,832 |
|
Class E, 0.5195% 11/15/18 (f)(l) |
|
296,195 |
273,688 |
|
Class F, 0.5695% 11/15/18 (f)(l) |
|
443,480 |
392,043 |
|
Class G, 0.5995% 11/15/18 (f)(l) |
|
385,346 |
325,238 |
|
Class H, 0.7395% 11/15/18 (f)(l) |
|
296,262 |
238,199 |
|
sequential payer: |
|
|
|
|
Series 2006-CB14 Class A3B, 5.4914% 12/12/44 (l) |
|
4,674,131 |
4,778,472 |
|
Series 2006-LDP9: |
|
|
|
|
Class A2, 5.134% 5/15/47 (l) |
|
606,418 |
636,987 |
|
Class A3, 5.336% 5/15/47 |
|
9,409,000 |
10,639,039 |
|
Series 2007-CB19 Class A4, 5.7337% 2/12/49 (l) |
|
6,670,000 |
7,732,671 |
|
Series 2007-LD11: |
|
|
|
|
Class A2, 5.7998% 6/15/49 (l) |
|
4,171,749 |
4,296,539 |
|
Class A4, 5.8148% 6/15/49 (l) |
|
10,000,000 |
11,376,520 |
|
Series 2007-LDPX: |
|
|
|
|
Class A2 S, 5.305% 1/15/49 |
|
2,786,077 |
2,808,491 |
|
Class A3, 5.42% 1/15/49 |
|
25,732,000 |
29,366,928 |
|
Series 2004-CBX Class D, 5.097% 1/12/37 (l) |
|
170,000 |
113,252 |
|
Series 2004-LN2 Class D, 5.2226% 7/15/41 (l) |
|
420,000 |
303,495 |
|
Series 2005-LDP3 Class A3, 4.959% 8/15/42 |
|
1,880,489 |
1,906,257 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
JPMorgan Chase Commercial Mortgage Securities Trust: - continued |
|
|
|
|
Series 2005-LDP5 Class AJ, 5.3162% 12/15/44 (l) |
|
$ 360,000 |
$ 360,955 |
|
Series 2006-CB17 Class A3, 5.45% 12/12/43 |
|
498,856 |
500,260 |
|
Series 2007-CB19: |
|
|
|
|
Class B, 5.7337% 2/12/49 (l) |
|
165,000 |
54,450 |
|
Class C, 5.7337% 2/12/49 (l) |
|
424,000 |
89,040 |
|
Class D, 5.7337% 2/12/49 (l) |
|
447,000 |
91,635 |
|
Series 2007-LDP10: |
|
|
|
|
Class CS, 5.466% 1/15/49 (l) |
|
157,000 |
12,526 |
|
Class ES, 5.5652% 1/15/49 (f)(l) |
|
983,000 |
44,553 |
|
Series 2010-C2: |
|
|
|
|
Class D, 5.5284% 11/15/43 (f)(l) |
|
645,000 |
624,537 |
|
Class XB, 0.6692% 11/15/43 (f)(l)(n) |
|
3,600,000 |
151,591 |
|
Series 2011-C5 Class C, 5.3142% 8/15/46 (f)(l) |
|
1,102,648 |
1,101,691 |
|
LB Commercial Conduit Mortgage Trust: |
|
|
|
|
sequential payer Series 2007-C3 Class A4, 5.8846% 7/15/44 (l) |
|
21,615,000 |
25,412,021 |
|
Series 1998-C4 Class G, 5.6% 10/15/35 (f) |
|
529,881 |
550,074 |
|
LB-UBS Commercial Mortgage Trust: |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2004-C2 Class E, 4.487% 3/15/36 |
|
150,000 |
151,481 |
|
Series 2005-C3 Class AJ, 4.843% 7/15/40 |
|
1,220,000 |
1,262,147 |
|
Series 2005-C7: |
|
|
|
|
Class AJ, 5.323% 11/15/40 |
|
1,210,000 |
1,251,527 |
|
Class AM, 5.263% 11/15/40 (l) |
|
137,000 |
150,928 |
|
Series 2006-C1 Class A2, 5.084% 2/15/31 |
|
257,912 |
258,541 |
|
Series 2006-C6: |
|
|
|
|
Class A2, 5.262% 9/15/39 (l) |
|
366,108 |
366,389 |
|
Class AM, 5.413% 9/15/39 |
|
1,500,000 |
1,661,751 |
|
Series 2006-C7: |
|
|
|
|
Class A2, 5.3% 11/15/38 |
|
1,105,410 |
1,124,711 |
|
Class A3, 5.347% 11/15/38 |
|
1,417,000 |
1,622,295 |
|
Class AM, 5.378% 11/15/38 |
|
160,000 |
163,884 |
|
Series 2007-C1: |
|
|
|
|
Class A3, 5.398% 2/15/40 |
|
10,000,000 |
10,439,420 |
|
Class A4, 5.424% 2/15/40 |
|
5,434,000 |
6,247,470 |
|
Series 2007-C2 Class A3, 5.43% 2/15/40 |
|
3,967,000 |
4,502,684 |
|
Series 2007-C6 Class A2, 5.845% 7/15/40 |
|
4,810,110 |
4,923,023 |
|
Series 2003-C7 Class L, 5.1147% 7/15/37 (f)(l) |
|
284,000 |
198,421 |
|
Series 2004-C2 Class G, 4.595% 3/15/36 (f)(l) |
|
225,000 |
205,940 |
|
Series 2004-C7 Class E, 4.918% 10/15/36 |
|
280,000 |
279,950 |
|
Series 2005-C1 Class E, 4.924% 2/15/40 |
|
750,000 |
701,178 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
LB-UBS Commercial Mortgage Trust: - continued |
|
|
|
|
Series 2005-C2 Class AJ, 5.205% 4/15/30 (l) |
|
$ 740,000 |
$ 753,732 |
|
Series 2005-C7 Class C, 5.35% 11/15/40 (l) |
|
866,000 |
809,801 |
|
Series 2006-C4: |
|
|
|
|
Class AJ, 5.8892% 6/15/38 (l) |
|
1,060,000 |
944,346 |
|
Class AM, 5.8892% 6/15/38 (l) |
|
500,000 |
537,978 |
|
Series 2006-C6 Class XCP, 0.6747% 9/15/39 (l)(n) |
|
8,109,240 |
55,800 |
|
Series 2007-C1 Class XCP, 0.4243% 2/15/40 (l)(n) |
|
3,031,686 |
18,105 |
|
Series 2007-C6 Class A4, 5.858% 7/15/40 (l) |
|
2,376,000 |
2,776,221 |
|
Series 2007-C7: |
|
|
|
|
Class A3, 5.866% 9/15/45 |
|
2,029,000 |
2,394,250 |
|
Class XCP, 0.2615% 9/15/45 (l)(n) |
|
122,130,871 |
799,591 |
|
Lehman Brothers Floating Rate Commercial Mortgage Trust floater: |
|
|
|
|
Series 2006-LLFA: |
|
|
|
|
Class D, 0.4695% 9/15/21 (f)(l) |
|
608,683 |
578,249 |
|
Class E, 0.5295% 9/15/21 (f)(l) |
|
2,196,145 |
2,031,434 |
|
Class F, 0.5795% 9/15/21 (f)(l) |
|
1,143,094 |
1,028,785 |
|
Class G, 0.5995% 9/15/21 (f)(l) |
|
2,258,211 |
1,975,935 |
|
Class H, 0.6395% 9/15/21 (f)(l) |
|
582,579 |
489,366 |
|
Series 2007-LLFA Class E, 1.1395% 6/15/22 (f)(l) |
|
760,000 |
643,874 |
|
Lstar Commercial Mortgage Trust: |
|
|
|
|
Series 2011-1 Class D, 5.6036% 6/25/43 (f)(l) |
|
310,000 |
290,142 |
|
Series 2011-1 Class B, 5.6036% 6/25/43 (f)(l) |
|
540,000 |
554,640 |
|
Merrill Lynch Commercial Trust floater Series 2008-LAQA Class A2, 0.7794% 7/9/21 (f)(l) |
|
17,970,000 |
16,863,839 |
|
Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.4086% 10/12/39 (f)(l) |
CAD |
320,000 |
295,602 |
|
Merrill Lynch Mortgage Investors Trust: |
|
|
|
|
Series 1997-C2 Class F, 6.25% 12/10/29 (l) |
|
456,226 |
454,884 |
|
Series 1998-C3 Class E, 6.7948% 12/15/30 (l) |
|
173,000 |
179,626 |
|
Merrill Lynch Mortgage Trust: |
|
|
|
|
Series 05-LC1 Class AJ, 5.3193% 1/12/44 (l) |
|
220,000 |
228,932 |
|
Series 2004-MKB1 Class F, 5.6636% 2/12/42 (f)(l) |
|
180,000 |
174,507 |
|
Series 2005-LC1 Class F, 5.3733% 1/12/44 (f)(l) |
|
1,655,000 |
1,087,734 |
|
Series 2006-C1: |
|
|
|
|
Class A2, 5.6141% 5/12/39 (l) |
|
1,683,099 |
1,721,465 |
|
Class AJ, 5.6591% 5/12/39 (l) |
|
530,000 |
483,136 |
|
Class AM, 5.6591% 5/12/39 (l) |
|
100,000 |
109,623 |
|
Series 2007-C1 Class A4, 5.8461% 6/12/50 (l) |
|
7,199,517 |
8,123,748 |
|
Series 2008-C1 Class A4, 5.69% 2/12/51 |
|
4,059,000 |
4,759,579 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Merrill Lynch-CFC Commercial Mortgage Trust: |
|
|
|
|
floater Series 2006-4 Class A2FL, 0.3688% 12/12/49 (l) |
|
$ 191,459 |
$ 191,617 |
|
sequential payer: |
|
|
|
|
Series 2006-1 Class A3, 5.4796% 2/12/39 (l) |
|
2,017,626 |
2,016,039 |
|
Series 2006-4: |
|
|
|
|
Class A2, 5.112% 12/12/49 (l) |
|
232,039 |
232,850 |
|
Class ASB, 5.133% 12/12/49 (l) |
|
1,392,444 |
1,464,541 |
|
Series 2007-5: |
|
|
|
|
Class A3, 5.364% 8/12/48 |
|
11,417,000 |
11,574,635 |
|
Class A4, 5.378% 8/12/48 |
|
10,206,000 |
11,295,082 |
|
Class B, 5.479% 8/12/48 |
|
5,706,000 |
1,401,097 |
|
Series 2007-6 Class A4, 5.485% 3/12/51 (l) |
|
14,650,000 |
16,305,758 |
|
Series 2007-7 Class A4, 5.7386% 6/12/50 (l) |
|
6,656,000 |
7,277,890 |
|
Series 2006-3 Class ASB, 5.382% 7/12/46 (l) |
|
6,539,113 |
6,739,452 |
|
Series 2006-4 Class XP, 0.617% 12/12/49 (l)(n) |
|
26,909,688 |
371,192 |
|
Series 2007-6 Class B, 5.635% 3/12/51 (l) |
|
1,902,000 |
475,580 |
|
Series 2007-7 Class B, 5.7386% 6/12/50 (l) |
|
166,000 |
11,454 |
|
Series 2007-8 Class A3, 5.9634% 8/12/49 (l) |
|
1,640,000 |
1,870,910 |
|
Mezz Capital Commercial Mortgage Trust sequential payer: |
|
|
|
|
Series 2004-C1 Class A, 4.836% 1/15/37 (f) |
|
645,951 |
558,748 |
|
Series 2004-C2 Class A, 5.318% 10/15/40 (f) |
|
578,964 |
440,013 |
|
Morgan Stanley Capital I Trust: |
|
|
|
|
floater: |
|
|
|
|
Series 2006-XLF: |
|
|
|
|
Class C, 1.44% 7/15/19 (f)(l) |
|
357,716 |
225,361 |
|
Class H, 0.62% 7/15/19 (f)(l) |
|
96,679 |
93,779 |
|
Class J, 0.67% 7/15/19 (f)(l) |
|
354,000 |
304,440 |
|
Series 2007-XLFA: |
|
|
|
|
Class C, 0.4% 10/15/20 (f)(l) |
|
1,092,000 |
988,260 |
|
Class D, 0.43% 10/15/20 (f)(l) |
|
667,354 |
590,608 |
|
Class E, 0.49% 10/15/20 (f)(l) |
|
834,661 |
709,462 |
|
Class F, 0.54% 10/15/20 (f)(l) |
|
500,899 |
415,746 |
|
Class G, 0.58% 10/15/20 (f)(l) |
|
619,188 |
481,419 |
|
Class H, 0.67% 10/15/20 (f)(l) |
|
389,758 |
253,343 |
|
Class J, 0.82% 10/15/20 (f)(l) |
|
228,006 |
91,203 |
|
sequential payer: |
|
|
|
|
Series 2012-C4 Class E, 5.71% 3/15/45 (f) |
|
260,000 |
213,808 |
|
Series 2004-RR2 Class A2, 5.45% 10/28/33 (f) |
|
196,263 |
196,509 |
|
Series 2005-IQ9 Class A3, 4.54% 7/15/56 |
|
1,799,686 |
1,821,880 |
|
Series 2006-HQ10 Class AM, 5.36% 11/12/41 |
|
620,000 |
667,110 |
|
Series 2007-HQ11 Class A31, 5.439% 2/12/44 (l) |
|
964,000 |
1,014,605 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Morgan Stanley Capital I Trust: - continued |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2007-IQ13 Class A4, 5.364% 3/15/44 |
|
$ 10,000,000 |
$ 11,352,180 |
|
Series 1997-RR Class F, 7.3497% 4/30/39 (f)(l) |
|
99,659 |
91,686 |
|
Series 1998-CF1 Class G, 7.35% 7/15/32 (f) |
|
206,135 |
146,261 |
|
Series 1999-WF1: |
|
|
|
|
Class N, 5.91% 11/15/31 (f) |
|
210,000 |
173,824 |
|
Class O, 5.91% 11/15/31 (f) |
|
197,950 |
48,661 |
|
Series 2004-IQ7 Class E, 5.3977% 6/15/38 (f)(l) |
|
120,000 |
82,656 |
|
Series 2004-RR2 Class C, 5.88% 10/28/33 (f)(l) |
|
280,000 |
224,700 |
|
Series 2005-HQ5 Class B, 5.272% 1/14/42 |
|
1,500,000 |
1,552,494 |
|
Series 2005-HQ6 Class AJ, 5.073% 8/13/42 (l) |
|
1,000,000 |
1,026,623 |
|
Series 2006-HQ10 Class X2, 0.4951% 11/12/41 (f)(l)(n) |
|
8,839,476 |
8,689 |
|
Series 2006-IQ11: |
|
|
|
|
Class A3, 5.6877% 10/15/42 (l) |
|
584,536 |
593,681 |
|
Class A4, 5.7237% 10/15/42 (l) |
|
570,000 |
646,631 |
|
Series 2006-IQ12 Class AMFX, 5.37% 12/15/43 |
|
719,000 |
766,054 |
|
Series 2006-T23 Class A3, 5.809% 8/12/41 (l) |
|
972,000 |
1,009,384 |
|
Series 2007-HQ12 Class A2, 5.5967% 4/12/49 (l) |
|
10,845,911 |
11,229,900 |
|
Series 2007-IQ14: |
|
|
|
|
Class A4, 5.692% 4/15/49 (l) |
|
2,852,000 |
3,218,485 |
|
Class B, 5.7187% 4/15/49 (l) |
|
469,000 |
139,532 |
|
Series 2011-C1: |
|
|
|
|
Class C, 5.2544% 9/15/47 (f)(l) |
|
470,000 |
493,168 |
|
Class D, 5.2544% 9/15/47 (f)(l) |
|
1,170,000 |
1,119,456 |
|
Class E, 5.2544% 9/15/47 (f)(l) |
|
573,100 |
498,523 |
|
Series 2011-C2: |
|
|
|
|
Class D, 5.3177% 6/15/44 (f)(l) |
|
580,000 |
557,323 |
|
Class E, 5.3177% 6/15/44 (f)(l) |
|
600,000 |
517,982 |
|
Class F, 5.3177% 6/15/44 (f)(l) |
|
550,000 |
435,600 |
|
Class XB, 0.4646% 6/15/44 (f)(l)(n) |
|
9,001,008 |
291,102 |
|
Series 2011-C3: |
|
|
|
|
Class C, 5.3572% 7/15/49 (f)(l) |
|
1,000,000 |
1,030,817 |
|
Class D, 5.357% 7/15/49 (f) |
|
1,130,000 |
1,067,554 |
|
Class E, 5.1844% 7/15/49 (f)(l) |
|
400,000 |
342,753 |
|
Series 2012-C4 Class D, 5.5266% 3/15/45 (f)(l) |
|
330,000 |
315,613 |
|
Morgan Stanley Dean Witter Capital I Trust: |
|
|
|
|
Series 2000-PRIN Class C, 7.9131% 2/23/34 (l) |
|
466,000 |
516,143 |
|
Series 2001-TOP3 Class E, 7.3419% 7/15/33 (f)(l) |
|
150,000 |
131,295 |
|
Series 2003-TOP9 Class E, 5.6506% 11/13/36 (f)(l) |
|
78,000 |
77,209 |
|
NationsLink Funding Corp.: |
|
|
|
|
Series 1998-2: |
|
|
|
|
Class F, 7.105% 8/20/30 (f) |
|
335,806 |
343,283 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
NationsLink Funding Corp.: - continued |
|
|
|
|
Series 1998-2: |
|
|
|
|
Class G, 5% 8/20/30 (f) |
|
$ 361,875 |
$ 369,593 |
|
Class J, 5% 8/20/30 (f) |
|
195,000 |
189,156 |
|
Series 1999-SL Class X, 11/10/30 (l)(n) |
|
54,667 |
54,530 |
|
Nomura Asset Securities Corp. Series 1998-D6 Class B1, 6% 3/15/30 (f) |
|
1,050,000 |
1,064,494 |
|
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (f) |
|
800,135 |
976,164 |
|
RBSCF Trust Series 2010-MB1 Class D, 4.6764% 4/15/24 (f)(l) |
|
1,200,000 |
1,228,592 |
|
Real Estate Asset Liquidity Trust: |
|
|
|
|
Series 2006-2: |
|
|
|
|
Class F, 4.456% 9/12/38 (f) |
CAD |
107,000 |
91,327 |
|
Class G, 4.456% 9/12/38 (f) |
CAD |
54,000 |
44,312 |
|
Class H, 4.456% 9/12/38 (f) |
CAD |
36,000 |
27,864 |
|
Class J, 4.456% 9/12/38 (f) |
CAD |
36,000 |
26,206 |
|
Class K, 4.456% 9/12/38 (f) |
CAD |
18,000 |
11,588 |
|
Class L, 4.456% 9/12/38 (f) |
CAD |
26,000 |
15,647 |
|
Class M, 4.456% 9/12/38 (f) |
CAD |
128,859 |
36,602 |
|
Series 2007-1: |
|
|
|
|
Class F, 4.57% 4/12/23 |
CAD |
126,000 |
98,042 |
|
Class G, 4.57% 4/12/23 |
CAD |
42,000 |
31,446 |
|
Class H, 4.57% 4/12/23 |
CAD |
42,000 |
30,268 |
|
Class J, 4.57% 4/12/23 |
CAD |
42,000 |
29,142 |
|
Class K, 4.57% 4/12/23 |
CAD |
21,000 |
14,034 |
|
Class L, 4.57% 4/12/23 |
CAD |
63,000 |
40,560 |
|
Class M, 4.57% 4/12/23 |
CAD |
185,000 |
56,927 |
|
Salomon Brothers Mortgage Securities VII, Inc. Series 2001-MMA Class E3, 6.5% 2/18/34 (f)(l) |
|
200,000 |
205,241 |
|
TIAA Seasoned Commercial Mortgage Trust: |
|
|
|
|
sequential payer Series 2007-C4 Class AJ, 5.6163% 8/15/39 (l) |
|
170,000 |
179,621 |
|
Series 2007-C4 Class F, 5.6163% 8/15/39 (l) |
|
820,000 |
572,653 |
|
TimberStar Trust I Series 2006-1 Class F, 7.5296% 10/15/36 (f) |
|
270,000 |
279,150 |
|
UBS Commercial Mortgage Trust Series 2007-FL1: |
|
|
|
|
Class F, 0.8145% 7/15/24 (f)(l) |
|
110,000 |
82,318 |
|
Class G, 0.8145% 7/15/24 (f)(l) |
|
200,000 |
138,669 |
|
UBS-Citigroup Commercial Mortgage Trust Series 2011-C1 Class B, 5.8749% 1/10/45 (f)(l) |
|
284,000 |
326,943 |
|
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (f) |
|
180,000 |
211,056 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Wachovia Bank Commercial Mortgage Trust: |
|
|
|
|
floater: |
|
|
|
|
Series 2006-WL7A: |
|
|
|
|
Class E, 0.518% 9/15/21 (f)(l) |
|
$ 1,770,598 |
$ 1,522,435 |
|
Class F, 0.578% 9/15/21 (f)(l) |
|
1,877,987 |
1,539,653 |
|
Class G, 0.598% 9/15/21 (f)(l) |
|
1,779,101 |
1,387,418 |
|
Class J, 0.838% 9/15/21 (f)(l) |
|
395,545 |
260,997 |
|
Series 2007-WHL8: |
|
|
|
|
Class F, 0.7195% 6/15/20 (f)(l) |
|
4,565,501 |
3,360,761 |
|
Class LXR1, 0.9395% 6/15/20 (f)(l) |
|
233,916 |
202,759 |
|
sequential payer: |
|
|
|
|
Series 2003-C7 Class A1, 4.241% 10/15/35 (f) |
|
1,156,472 |
1,164,298 |
|
Series 2003-C8 Class A3, 4.445% 11/15/35 |
|
6,584,138 |
6,672,682 |
|
Series 2006-C29 Class A3, 5.313% 11/15/48 |
|
5,051,000 |
5,289,665 |
|
Series 2007-C30: |
|
|
|
|
Class A3, 5.246% 12/15/43 |
|
606,163 |
612,585 |
|
Class A4, 5.305% 12/15/43 |
|
8,604,000 |
9,250,720 |
|
Class A5, 5.342% 12/15/43 |
|
13,536,000 |
14,983,229 |
|
Series 2007-C31 Class A4, 5.509% 4/15/47 |
|
13,599,000 |
15,413,827 |
|
Series 2007-C32 Class A3, 5.7418% 6/15/49 (l) |
|
19,449,000 |
22,081,714 |
|
Series 2003-C6 Class G, 5.125% 8/15/35 (f)(l) |
|
903,000 |
901,490 |
|
Series 2004-C10 Class E, 4.931% 2/15/41 |
|
340,000 |
348,327 |
|
Series 2004-C11: |
|
|
|
|
Class D, 5.3844% 1/15/41 (l) |
|
360,000 |
336,202 |
|
Class E, 5.4344% 1/15/41 (l) |
|
327,000 |
284,921 |
|
Series 2004-C12 Class D, 5.3109% 7/15/41 (l) |
|
280,000 |
282,252 |
|
Series 2004-C14: |
|
|
|
|
Class B, 5.17% 8/15/41 |
|
258,500 |
272,820 |
|
Class C, 5.21% 8/15/41 |
|
170,000 |
175,309 |
|
Series 2004-C15 Class 175C, 5.8479% 10/15/41 (f)(l) |
|
500,000 |
489,822 |
|
Series 2005-C19 Class B, 4.892% 5/15/44 |
|
1,902,000 |
1,756,855 |
|
Series 2005-C22: |
|
|
|
|
Class B, 5.3564% 12/15/44 (l) |
|
4,218,000 |
2,920,796 |
|
Class F, 5.3564% 12/15/44 (f)(l) |
|
3,171,000 |
620,882 |
|
Series 2006-C23 Class A5, 5.416% 1/15/45 (l) |
|
7,870,000 |
8,868,994 |
|
Series 2007-C30: |
|
|
|
|
Class B, 5.463% 12/15/43 (l) |
|
10,505,000 |
4,292,164 |
|
Class C, 5.483% 12/15/43 (l) |
|
5,706,000 |
1,606,085 |
|
Class D, 5.513% 12/15/43 (l) |
|
3,044,000 |
616,997 |
|
Class XP, 0.4723% 12/15/43 (f)(l)(n) |
|
16,461,529 |
119,692 |
|
Series 2007-C31 Class C, 5.6821% 4/15/47 (l) |
|
522,000 |
117,779 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Wachovia Bank Commercial Mortgage Trust: - continued |
|
|
|
|
Series 2007-C32: |
|
|
|
|
Class D, 5.7418% 6/15/49 (l) |
|
$ 1,431,000 |
$ 386,081 |
|
Class E, 5.7418% 6/15/49 (l) |
|
2,252,000 |
531,808 |
|
Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 5.9003% 2/15/51 (l) |
|
19,259,000 |
22,366,093 |
|
Wells Fargo Commercial Mortgage Trust Series 2010-C1 Class XB, 0.578% 11/15/43 (f)(l)(n) |
|
20,614,217 |
740,009 |
|
WF-RBS Commercial Mortgage Trust: |
|
|
|
|
Series 2011-C3: |
|
|
|
|
Class C, 5.335% 3/15/44 (f) |
|
360,000 |
373,318 |
|
Class D, 5.549% 3/15/44 (f)(l) |
|
230,000 |
207,308 |
|
Series 2011-C4 Class E, 5.4179% 6/15/44 (f) |
|
320,000 |
271,684 |
|
Series 2011-C5: |
|
|
|
|
Class C, 5.6367% 11/15/44 (f)(l) |
|
260,000 |
279,416 |
|
Class D, 5.6367% 11/15/44 (f)(l) |
|
200,000 |
192,239 |
|
Class XA, 2.0805% 11/15/44 (f)(l)(n) |
|
5,202,109 |
625,975 |
|
Series 2012-C6 Class D, 5.5639% 4/15/45 (f)(l) |
|
540,000 |
458,403 |
|
Series 2012-C7: |
|
|
|
|
Class C, 5.0065% 6/15/45 (l) |
|
1,270,000 |
1,274,258 |
|
Class E, 4.8512% 6/15/45 (f) |
|
890,000 |
689,095 |
|
WFDB Commercial Mortgage Trust Series 2011-BXR Class D, 5.914% 7/5/24 (f) |
|
1,500,000 |
1,553,777 |
|
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $636,396,675) |
|
|||
Municipal Securities - 0.6% |
||||
|
||||
Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (l) |
|
3,300,000 |
3,425,565 |
|
California Gen. Oblig.: |
|
|
|
|
Series 2009, 7.35% 11/1/39 |
|
2,090,000 |
2,713,489 |
|
7.3% 10/1/39 |
|
2,150,000 |
2,774,726 |
|
7.5% 4/1/34 |
|
14,555,000 |
18,963,273 |
|
7.55% 4/1/39 |
|
11,090,000 |
14,848,401 |
|
7.6% 11/1/40 |
|
12,145,000 |
16,460,847 |
|
7.625% 3/1/40 |
|
4,600,000 |
6,187,230 |
|
Illinois Gen. Oblig.: |
|
|
|
|
Series 2010, 4.421% 1/1/15 |
|
6,825,000 |
7,256,681 |
|
Municipal Securities - continued |
||||
|
Principal |
Value |
||
Illinois Gen. Oblig.: - continued |
|
|
|
|
Series 2010-3: |
|
|
|
|
6.725% 4/1/35 |
|
$ 3,975,000 |
$ 4,463,329 |
|
7.35% 7/1/35 |
|
3,210,000 |
3,813,737 |
|
Series 2011, 5.877% 3/1/19 |
|
2,640,000 |
2,951,546 |
|
5.1% 6/1/33 |
|
11,090,000 |
10,723,032 |
|
TOTAL MUNICIPAL SECURITIES (Cost $89,794,592) |
|
|||
Foreign Government and Government Agency Obligations - 1.7% |
||||
|
||||
Arab Republic of Egypt 6.875% 4/30/40 (f) |
|
700,000 |
675,500 |
|
Argentine Republic: |
|
|
|
|
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 |
|
4,581,067 |
3,126,578 |
|
2.5% 12/31/38 (e) |
|
4,605,000 |
1,508,138 |
|
7% 9/12/13 |
|
8,690,000 |
8,274,087 |
|
7% 10/3/15 |
|
6,305,000 |
5,305,307 |
|
Bahamian Republic 6.95% 11/20/29 (f) |
|
855,000 |
1,000,350 |
|
Belarus Republic: |
|
|
|
|
8.75% 8/3/15 (Reg. S) |
|
3,910,000 |
3,831,800 |
|
8.95% 1/26/18 |
|
2,110,000 |
1,993,950 |
|
Bermuda Government 4.138% 1/3/23 (f) |
|
670,000 |
708,525 |
|
Brazilian Federative Republic: |
|
|
|
|
7.125% 1/20/37 |
|
1,215,000 |
1,854,455 |
|
8.25% 1/20/34 |
|
855,000 |
1,418,274 |
|
10.125% 5/15/27 |
|
1,580,000 |
2,804,500 |
|
12.25% 3/6/30 |
|
775,000 |
1,573,250 |
|
City of Buenos Aires 12.5% 4/6/15 (f) |
|
3,105,000 |
2,949,750 |
|
Colombian Republic: |
|
|
|
|
4.375% 7/12/21 |
|
870,000 |
1,009,200 |
|
6.125% 1/18/41 |
|
1,585,000 |
2,159,563 |
|
7.375% 9/18/37 |
|
2,130,000 |
3,290,850 |
|
10.375% 1/28/33 |
|
2,040,000 |
3,743,400 |
|
11.75% 2/25/20 |
|
1,050,000 |
1,714,125 |
|
Congo Republic 3% 6/30/29 (e) |
|
2,869,000 |
2,266,510 |
|
Croatia Republic: |
|
|
|
|
6.25% 4/27/17 (f) |
|
2,985,000 |
3,145,593 |
|
6.375% 3/24/21 (f) |
|
2,250,000 |
2,359,575 |
|
6.625% 7/14/20 (f) |
|
1,970,000 |
2,105,536 |
|
6.75% 11/5/19 (f) |
|
2,550,000 |
2,754,000 |
|
Foreign Government and Government Agency Obligations - continued |
||||
|
Principal |
Value |
||
Democratic Socialist Republic of Sri Lanka: |
|
|
|
|
5.875% 7/25/22 (f) |
|
$ 675,000 |
$ 691,875 |
|
6.25% 10/4/20 (f) |
|
2,360,000 |
2,478,000 |
|
6.25% 7/27/21 (f) |
|
1,610,000 |
1,686,475 |
|
7.4% 1/22/15 (f) |
|
1,635,000 |
1,757,625 |
|
Dominican Republic: |
|
|
|
|
1.2754% 8/30/24 (l) |
|
1,350,000 |
1,242,000 |
|
7.5% 5/6/21 (f) |
|
2,580,000 |
2,921,850 |
|
9.04% 1/23/18 (f) |
|
1,185,880 |
1,337,080 |
|
El Salvador Republic: |
|
|
|
|
7.625% 2/1/41 (f) |
|
525,000 |
592,725 |
|
7.65% 6/15/35 (Reg. S) |
|
1,165,000 |
1,304,800 |
|
7.75% 1/24/23 (Reg. S) |
|
544,000 |
628,320 |
|
8.25% 4/10/32 (Reg. S) |
|
575,000 |
681,375 |
|
Gabonese Republic 8.2% 12/12/17 (f) |
|
1,035,000 |
1,242,000 |
|
Georgia Republic 6.875% 4/12/21 (f) |
|
1,820,000 |
2,042,950 |
|
Ghana Republic 8.5% 10/4/17 (f) |
|
1,625,000 |
1,880,938 |
|
Guatemalan Republic 5.75% 6/6/22 (f) |
|
1,135,000 |
1,265,525 |
|
Hungarian Republic: |
|
|
|
|
4.75% 2/3/15 |
|
7,095,000 |
7,148,213 |
|
7.625% 3/29/41 |
|
2,920,000 |
3,204,700 |
|
Indonesian Republic: |
|
|
|
|
4.875% 5/5/21 (f) |
|
1,460,000 |
1,629,652 |
|
5.25% 1/17/42 (f) |
|
1,375,000 |
1,529,688 |
|
5.875% 3/13/20 (f) |
|
1,660,000 |
1,956,808 |
|
6.625% 2/17/37 (f) |
|
1,100,000 |
1,421,750 |
|
6.875% 1/17/18 (f) |
|
1,105,000 |
1,334,288 |
|
7.75% 1/17/38 (f) |
|
1,925,000 |
2,796,063 |
|
8.5% 10/12/35 (Reg. S) |
|
1,685,000 |
2,594,900 |
|
11.625% 3/4/19 (f) |
|
1,720,000 |
2,592,900 |
|
Islamic Republic of Pakistan 7.125% 3/31/16 (f) |
|
3,710,000 |
3,283,350 |
|
Ivory Coast 3.75% 12/31/32 (c)(e) |
|
750,000 |
611,250 |
|
Jordanian Kingdom 3.875% 11/12/15 |
|
820,000 |
797,450 |
|
Latvian Republic: |
|
|
|
|
5.25% 2/22/17 (f) |
|
1,335,000 |
1,441,800 |
|
5.25% 6/16/21 (f) |
|
625,000 |
678,125 |
|
Lebanese Republic: |
|
|
|
|
4% 12/31/17 |
|
3,979,250 |
3,839,976 |
|
4.75% 11/2/16 |
|
600,000 |
588,000 |
|
5.15% 11/12/18 |
|
550,000 |
537,625 |
|
Lithuanian Republic: |
|
|
|
|
6.125% 3/9/21 (f) |
|
1,985,000 |
2,277,192 |
|
Foreign Government and Government Agency Obligations - continued |
||||
|
Principal |
Value |
||
Lithuanian Republic: - continued |
|
|
|
|
6.625% 2/1/22 (f) |
|
$ 1,940,000 |
$ 2,309,958 |
|
7.375% 2/11/20 (f) |
|
2,655,000 |
3,235,781 |
|
Peruvian Republic: |
|
|
|
|
3% 3/7/27 (e) |
|
1,360,000 |
1,360,000 |
|
5.625% 11/18/50 |
|
1,620,000 |
2,087,856 |
|
7.35% 7/21/25 |
|
1,550,000 |
2,251,375 |
|
8.75% 11/21/33 |
|
2,865,000 |
4,934,963 |
|
Philippine Republic: |
|
|
|
|
7.5% 9/25/24 |
|
290,000 |
406,000 |
|
7.75% 1/14/31 |
|
1,430,000 |
2,152,150 |
|
9.5% 2/2/30 |
|
1,780,000 |
3,032,764 |
|
9.875% 1/15/19 |
|
640,000 |
916,800 |
|
10.625% 3/16/25 |
|
1,320,000 |
2,263,800 |
|
Polish Government: |
|
|
|
|
3.875% 7/16/15 |
|
840,000 |
901,950 |
|
5% 3/23/22 |
|
1,805,000 |
2,078,006 |
|
6.375% 7/15/19 |
|
2,200,000 |
2,706,000 |
|
Provincia de Cordoba 12.375% 8/17/17 (f) |
|
2,110,000 |
1,529,750 |
|
Republic of Iceland 5.875% 5/11/22 (f) |
|
1,630,000 |
1,707,425 |
|
Republic of Iraq 5.8% 1/15/28 (Reg. S) |
|
5,250,000 |
4,711,875 |
|
Republic of Namibia 5.5% 11/3/21 (f) |
|
1,340,000 |
1,470,382 |
|
Republic of Nigeria 6.75% 1/28/21 (f) |
|
1,355,000 |
1,524,375 |
|
Republic of Senegal 8.75% 5/13/21 (f) |
|
700,000 |
804,125 |
|
Republic of Serbia 6.75% 11/1/24 (f) |
|
7,266,667 |
7,012,334 |
|
Romanian Republic 6.75% 2/7/22 (f) |
|
2,872,000 |
3,108,940 |
|
Russian Federation: |
|
|
|
|
3.25% 4/4/17 (f) |
|
600,000 |
626,220 |
|
4.5% 4/4/22 (f) |
|
1,000,000 |
1,108,700 |
|
5.625% 4/4/42 (f) |
|
1,000,000 |
1,178,800 |
|
7.5% 3/31/30 (Reg. S) |
|
5,688,935 |
7,103,773 |
|
11% 7/24/18 (Reg. S) |
|
385,000 |
556,325 |
|
12.75% 6/24/28 (Reg. S) |
|
2,595,000 |
4,959,564 |
|
Slovakia Republic 4.375% 5/21/22 (f) |
|
1,990,000 |
2,059,650 |
|
State of Qatar 5.75% 1/20/42 (f) |
|
945,000 |
1,176,525 |
|
State Oil Company of Azerbaijan Republic 5.45% 2/9/17 |
|
355,000 |
378,395 |
|
Turkish Republic: |
|
|
|
|
5.125% 3/25/22 |
|
735,000 |
826,875 |
|
5.625% 3/30/21 |
|
815,000 |
947,438 |
|
6% 1/14/41 |
|
1,220,000 |
1,444,236 |
|
6.25% 9/26/22 |
|
680,000 |
825,316 |
|
Foreign Government and Government Agency Obligations - continued |
||||
|
Principal |
Value |
||
Turkish Republic: - continued |
|
|
|
|
6.75% 4/3/18 |
|
$ 1,395,000 |
$ 1,677,488 |
|
6.75% 5/30/40 |
|
805,000 |
1,038,450 |
|
6.875% 3/17/36 |
|
2,330,000 |
3,005,700 |
|
7% 9/26/16 |
|
1,360,000 |
1,591,200 |
|
7% 3/11/19 |
|
335,000 |
412,888 |
|
7.25% 3/15/15 |
|
1,080,000 |
1,206,900 |
|
7.25% 3/5/38 |
|
1,250,000 |
1,693,750 |
|
7.375% 2/5/25 |
|
2,430,000 |
3,192,534 |
|
7.5% 7/14/17 |
|
1,285,000 |
1,564,488 |
|
7.5% 11/7/19 |
|
745,000 |
948,981 |
|
8% 2/14/34 |
|
490,000 |
702,562 |
|
11.875% 1/15/30 |
|
960,000 |
1,819,200 |
|
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (f) |
|
1,690,000 |
1,499,875 |
|
Ukraine Government: |
|
|
|
|
6.25% 6/17/16 (f) |
|
1,680,000 |
1,543,416 |
|
6.75% 11/14/17 (f) |
|
1,070,000 |
974,984 |
|
7.65% 6/11/13 (f) |
|
3,240,000 |
3,243,888 |
|
7.75% 9/23/20 (f) |
|
1,430,000 |
1,340,625 |
|
7.95% 2/23/21 (f) |
|
1,425,000 |
1,343,063 |
|
9.25% 7/24/17 (f) |
|
1,470,000 |
1,488,375 |
|
United Arab Emirates 7.75% 10/5/20 (Reg. S) |
|
545,000 |
637,650 |
|
United Mexican States: |
|
|
|
|
4.75% 3/8/44 |
|
658,000 |
738,605 |
|
5.75% 10/12/10 |
|
516,000 |
621,780 |
|
6.05% 1/11/40 |
|
1,236,000 |
1,653,150 |
|
6.75% 9/27/34 |
|
1,020,000 |
1,443,300 |
|
7.5% 4/8/33 |
|
425,000 |
647,063 |
|
8.3% 8/15/31 |
|
420,000 |
678,300 |
|
Uruguay Republic: |
|
|
|
|
7.875% 1/15/33 pay-in-kind |
|
2,595,000 |
4,022,251 |
|
8% 11/18/22 |
|
1,620,903 |
2,334,100 |
|
Venezuelan Republic: |
|
|
|
|
6% 12/9/20 |
|
620,000 |
457,250 |
|
7% 3/31/38 |
|
625,000 |
435,938 |
|
7.75% 10/13/19 (Reg. S) |
|
700,000 |
593,250 |
|
8.5% 10/8/14 |
|
735,000 |
735,000 |
|
9% 5/7/23 (Reg. S) |
|
2,215,000 |
1,893,825 |
|
9.25% 9/15/27 |
|
1,210,000 |
1,061,775 |
|
9.25% 5/7/28 (Reg. S) |
|
790,000 |
669,525 |
|
9.375% 1/13/34 |
|
885,000 |
752,250 |
|
Foreign Government and Government Agency Obligations - continued |
||||
|
Principal |
Value |
||
Venezuelan Republic: - continued |
|
|
|
|
10.75% 9/19/13 |
|
$ 1,105,000 |
$ 1,143,675 |
|
11.75% 10/21/26 (Reg. S) |
|
1,410,000 |
1,385,325 |
|
11.95% 8/5/31 (Reg. S) |
|
1,890,000 |
1,871,100 |
|
12.75% 8/23/22 |
|
4,070,000 |
4,263,325 |
|
13.625% 8/15/18 |
|
848,000 |
905,240 |
|
Vietnamese Socialist Republic: |
|
|
|
|
1.563% 3/12/16 (l) |
|
1,026,087 |
933,739 |
|
4% 3/12/28 (e) |
|
4,595,000 |
3,721,950 |
|
6.875% 1/15/16 (f) |
|
1,955,000 |
2,082,075 |
|
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $233,311,809) |
|
Common Stocks - 0.0% |
|||
Shares |
|
||
TELECOMMUNICATION SERVICES - 0.0% |
|||
Wireless Telecommunication Services - 0.0% |
|||
CUI Acquisition Corp. Class E (f) (Cost $1,258,919) |
1 |
863,100 |
|
Preferred Stocks - 0.1% |
|||
|
|
|
|
Convertible Preferred Stocks - 0.0% |
|||
CONSUMER DISCRETIONARY - 0.0% |
|||
Automobiles - 0.0% |
|||
General Motors Co. 4.75% |
80,100 |
2,859,570 |
|
FINANCIALS - 0.0% |
|||
Real Estate Investment Trusts - 0.0% |
|||
Alexandria Real Estate Equities, Inc. Series D 7.00% |
9,000 |
240,188 |
|
TOTAL CONVERTIBLE PREFERRED STOCKS |
3,099,758 |
||
Nonconvertible Preferred Stocks - 0.1% |
|||
FINANCIALS - 0.1% |
|||
Real Estate Investment Trusts - 0.1% |
|||
Alexandria Real Estate Equities, Inc. Series E, 6.45% |
15,000 |
401,850 |
|
Preferred Stocks - continued |
|||
Shares |
Value |
||
Nonconvertible Preferred Stocks - continued |
|||
FINANCIALS - continued |
|||
Real Estate Investment Trusts - continued |
|||
Annaly Capital Management, Inc. Series C, 7.625% |
27,600 |
$ 712,080 |
|
CBL & Associates Properties, Inc. 7.375% |
7,720 |
197,632 |
|
Cedar Shopping Centers, Inc. 8.875% |
4,719 |
119,815 |
|
Corporate Office Properties Trust: |
|
|
|
Series H, 7.50% |
5,000 |
127,000 |
|
Series L, 7.375% (a) |
12,221 |
314,691 |
|
Digital Realty Trust, Inc. Series E, 7.00% |
10,000 |
276,400 |
|
Equity Lifestyle Properties, Inc. 8.034% |
22,162 |
565,131 |
|
Essex Property Trust, Inc. Series H, 7.125% |
9,354 |
249,658 |
|
First Potomac Realty Trust 7.75% |
15,000 |
384,000 |
|
Hersha Hospitality Trust Series B, 8.00% |
13,844 |
362,159 |
|
Hospitality Properties Trust Series D, 7.125% |
10,000 |
273,400 |
|
LaSalle Hotel Properties Series H, 7.50% |
10,000 |
270,600 |
|
PS Business Parks, Inc.: |
|
|
|
6.875% |
10,000 |
272,000 |
|
Series S, 6.45% |
21,000 |
572,250 |
|
Public Storage: |
|
|
|
Series P, 6.50% |
12,000 |
335,160 |
|
Series R, 6.35% |
10,500 |
289,800 |
|
Series S, 5.90% |
20,000 |
534,200 |
|
Realty Income Corp. Series F, 6.625% |
12,000 |
326,400 |
|
Regency Centers Corp. Series 6, 6.625% |
5,510 |
148,770 |
|
Stag Industrial, Inc. Series A, 9.00% |
20,000 |
544,000 |
|
Taubman Centers, Inc. Series J, 6.50% |
11,338 |
286,398 |
|
|
7,563,394 |
||
TOTAL PREFERRED STOCKS (Cost $11,143,785) |
|
Floating Rate Loans - 0.4% |
||||
|
Principal |
|
||
CONSUMER DISCRETIONARY - 0.2% |
||||
Auto Components - 0.1% |
||||
Federal-Mogul Corp.: |
|
|
|
|
Tranche B, term loan 2.1775% 12/27/14 (l) |
|
$ 3,334,205 |
3,188,333 |
|
Tranche C, term loan 2.1775% 12/27/15 (l) |
|
2,094,302 |
2,002,677 |
|
|
5,191,010 |
|||
Floating Rate Loans - continued |
||||
|
Principal |
Value |
||
CONSUMER DISCRETIONARY - continued |
||||
Automobiles - 0.0% |
||||
Chrysler Group LLC Tranche B, term loan 6% 5/24/17 (l) |
|
$ 2,776,950 |
$ 2,825,547 |
|
Diversified Consumer Services - 0.0% |
||||
Visant Corp. Tranche B, term loan 5.25% 12/22/16 (l) |
|
2,015,623 |
1,945,076 |
|
Hotels, Restaurants & Leisure - 0.0% |
||||
Extended Stay America, Inc. term loan 9.75% 11/1/15 |
|
1,000,000 |
1,010,000 |
|
Landry's Restaurants, Inc. Tranche B, term loan 6.5% 4/24/18 (l) |
|
1,910,213 |
1,929,315 |
|
|
2,939,315 |
|||
Media - 0.1% |
||||
Harron Communications LP Tranche B, term loan 5.5% 10/6/17 (l) |
|
1,868,088 |
1,872,758 |
|
Newsday LLC term loan 10.5% 8/1/13 |
|
3,505,000 |
3,509,557 |
|
Univision Communications, Inc. term loan 4.4815% 3/31/17 (l) |
|
3,975,109 |
3,845,918 |
|
UPC Broadband Holding BV Tranche AB, term loan 4.75% 12/31/17 (l) |
|
1,250,000 |
1,250,000 |
|
|
10,478,233 |
|||
Multiline Retail - 0.0% |
||||
Neiman Marcus Group, Inc. Tranche B, term loan 4.75% 5/16/18 (l) |
|
1,680,000 |
1,677,900 |
|
Specialty Retail - 0.0% |
||||
PETCO Animal Supplies, Inc. term loan 4.5% 11/24/17 (l) |
|
338,100 |
337,677 |
|
TOTAL CONSUMER DISCRETIONARY |
25,394,758 |
|||
ENERGY - 0.0% |
||||
Oil, Gas & Consumable Fuels - 0.0% |
||||
Arch Coal, Inc. Tranche B, term loan 5.75% 5/16/18 (l) |
|
635,000 |
635,000 |
|
Crestwood Holdings Partners LLC Tranche B, term loan 9.75% 3/26/18 (l) |
|
1,227,555 |
1,249,037 |
|
Energy Transfer Equity LP Tranche B, term loan 3.75% 3/23/17 (l) |
|
1,855,000 |
1,834,131 |
|
|
3,718,168 |
|||
FINANCIALS - 0.1% |
||||
Diversified Financial Services - 0.0% |
||||
Flying Fortress, Inc. Tranche 3, term loan 5% 6/30/17 (l) |
|
1,615,000 |
1,629,212 |
|
Floating Rate Loans - continued |
||||
|
Principal |
Value |
||
FINANCIALS - continued |
||||
Insurance - 0.1% |
||||
Asurion Corp.: |
|
|
|
|
Tranche 1st LN, term loan 5.5% 5/24/18 (l) |
|
$ 2,262,386 |
$ 2,268,042 |
|
Tranche 2nd LN, term loan 9% 5/24/19 (l) |
|
1,451,274 |
1,498,440 |
|
Tranche B-1 1LN, term loan 4.75% 7/23/17 (l) |
|
790,000 |
789,052 |
|
Lonestar Intermediate Super Holdings LLC term loan 11% 9/2/19 (l) |
|
1,925,000 |
2,045,313 |
|
|
6,600,847 |
|||
Real Estate Management & Development - 0.0% |
||||
Capital Automotive LP term loan 5.25% 3/11/17 (l) |
|
601,874 |
603,378 |
|
CityCenter term loan 8.75% 7/1/13 (l) |
|
521,219 |
518,613 |
|
EOP Operating LP term loan 1.995% 2/5/13 (l) |
|
1,000,000 |
955,000 |
|
|
2,076,991 |
|||
TOTAL FINANCIALS |
10,307,050 |
|||
HEALTH CARE - 0.0% |
||||
Health Care Providers & Services - 0.0% |
||||
Quintiles Transnational Corp. Tranche B, term loan 5% 6/8/18 (l) |
|
2,221,533 |
2,221,533 |
|
INDUSTRIALS - 0.1% |
||||
Airlines - 0.1% |
||||
Delta Air Lines, Inc. Tranche B, term loan 5.5% 4/20/17 (l) |
|
2,767,050 |
2,773,968 |
|
US Airways Group, Inc. term loan 2.7355% 3/23/14 (l) |
|
3,710,765 |
3,608,719 |
|
|
6,382,687 |
|||
Construction & Engineering - 0.0% |
||||
Drumm Investors LLC Tranche B, term loan 5% 5/4/18 (l) |
|
539,420 |
513,797 |
|
Machinery - 0.0% |
||||
Colfax Corp. Tranche B, term loan 4.5% 9/12/18 (l) |
|
2,517,350 |
2,526,790 |
|
Husky Intermediate, Inc. Tranche B, term loan 5.75% 6/30/18 (l) |
|
2,213,883 |
2,219,418 |
|
|
4,746,208 |
|||
TOTAL INDUSTRIALS |
11,642,692 |
|||
INFORMATION TECHNOLOGY - 0.0% |
||||
IT Services - 0.0% |
||||
First Data Corp. term loan 4.2365% 3/24/18 (l) |
|
865,000 |
817,425 |
|
Floating Rate Loans - continued |
||||
|
Principal |
Value |
||
MATERIALS - 0.0% |
||||
Chemicals - 0.0% |
||||
Ascend Performance Materials Operation LLC Tranche B, term loan 6.75% 4/10/18 (l) |
|
$ 2,214,450 |
$ 2,197,842 |
|
Kronos Worldwide, Inc. term loan 5.75% 6/13/18 (l) |
|
755,000 |
758,775 |
|
|
2,956,617 |
|||
Metals & Mining - 0.0% |
||||
JMC Steel Group, Inc. term loan 4.75% 4/1/17 (l) |
|
2,098,329 |
2,106,198 |
|
TOTAL MATERIALS |
5,062,815 |
|||
TELECOMMUNICATION SERVICES - 0.0% |
||||
Wireless Telecommunication Services - 0.0% |
||||
Intelsat Jackson Holdings SA term loan 3.2385% 2/1/14 (l) |
|
2,425,000 |
2,388,625 |
|
UTILITIES - 0.0% |
||||
Independent Power Producers & Energy Traders - 0.0% |
||||
The AES Corp. Tranche B, term loan 4.25% 5/27/18 (l) |
|
370,313 |
371,238 |
|
TOTAL FLOATING RATE LOANS (Cost $59,759,429) |
|
|||
Sovereign Loan Participations - 0.0% |
||||
|
||||
Indonesian Republic loan participation: |
|
|
|
|
Citibank 1.25% 12/14/19 (l) |
|
1,456,912 |
1,362,213 |
|
Goldman Sachs 1.25% 12/14/19 (l) |
|
1,248,611 |
1,167,451 |
|
1.25% 12/14/19 (l) |
|
96,321 |
90,061 |
|
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $2,412,661) |
|
|||
Bank Notes - 0.0% |
||||
|
||||
Wachovia Bank NA 6% 11/15/17 |
|
2,243,000 |
|
Fixed-Income Funds - 24.9% |
|||
Shares |
Value |
||
Fidelity Floating Rate Central Fund (m) |
4,393,033 |
$ 455,557,522 |
|
Fidelity Mortgage Backed Securities Central Fund (m) |
30,634,460 |
3,365,808,163 |
|
TOTAL FIXED-INCOME FUNDS (Cost $3,546,975,871) |
|
||
Preferred Securities - 0.0% |
|||
Principal |
|
||
CONSUMER DISCRETIONARY - 0.0% |
|||
Media - 0.0% |
|||
Globo Comunicacoes e Participacoes SA 6.25% (e)(f)(g) |
$ 1,380,000 |
1,493,571 |
|
MATERIALS - 0.0% |
|||
Metals & Mining - 0.0% |
|||
CSN Islands XII Corp. 7% (Reg. S) (g) |
1,980,000 |
2,026,164 |
|
TOTAL PREFERRED SECURITIES (Cost $3,341,958) |
|
||
Money Market Funds - 7.3% |
|||
Shares |
|
||
Fidelity Cash Central Fund, 0.17% (b) |
1,115,016,542 |
|
|
TOTAL INVESTMENT PORTFOLIO - 102.9% (Cost $14,819,991,219) |
15,818,587,481 |
||
NET OTHER ASSETS (LIABILITIES) - (2.9)% |
(441,403,972) |
||
NET ASSETS - 100% |
$ 15,377,183,509 |
||
TBA Sale Commitments |
|||
|
Principal |
Value |
|
Fannie Mae |
|||
3% 9/1/42 |
$ (35,400,000) |
$ (36,733,511) |
|
3% 9/1/42 |
(7,100,000) |
(7,367,456) |
|
3% 9/1/42 |
(35,400,000) |
(36,733,511) |
|
3% 9/1/42 |
(3,400,000) |
(3,528,077) |
|
3.5% 9/1/42 |
(49,100,000) |
(52,061,339) |
|
3.5% 9/1/42 |
(14,300,000) |
(15,162,467) |
|
TOTAL FANNIE MAE |
(151,586,361) |
||
Ginnie Mae |
|||
3.5% 9/1/42 |
(28,700,000) |
(31,067,753) |
|
3.5% 9/1/42 |
(14,300,000) |
(15,479,751) |
|
TOTAL GINNIE MAE |
(46,547,504) |
||
TOTAL TBA SALE COMMITMENTS (Proceeds $196,996,281) |
$ (198,133,865) |
Swap Agreements |
|||||
|
Expiration Date |
Notional Amount (k) |
Value |
||
Credit Default Swaps |
|||||
Receive monthly notional amount multiplied by 1.545% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-Ca) (j) |
August 2034 |
$ 22,946 |
$ (16,004) |
||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (j) |
Sept. 2034 |
22,651 |
(19,174) |
||
|
$ 45,597 |
$ (35,178) |
Currency Abbreviations |
||
CAD |
- |
Canadian dollar |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(c) Non-income producing - Security is in default. |
(d) Amount is stated in United States dollars unless otherwise noted. |
(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $976,637,203 or 6.4% of net assets. |
(g) Security is perpetual in nature with no stated maturity date. |
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $125,582. |
(j) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference. The underlying reference may be a single-name issuer or a traded credit index. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. For swaps on a trade credit index, ratings represent a weighted average of the ratings of all securities included in the index. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk. |
(k) 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. |
(l) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(m) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request. |
(n) 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. |
(o) 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 $703,384 or 0.0% of net assets. |
Additional information on each restricted holding is as follows: |
Security |
Acquisition Date |
Acquisition Cost |
ACGS Series 2004-1 Class P, 7.4651% 8/1/19 |
2/17/11 |
$ 441,634 |
GMAC Commercial Mortgage Securities, Inc. Series 1999-C2I Class K, 6.481% 9/15/33 |
3/23/07 - 12/4/09 |
$ 173,625 |
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 |
Fidelity Cash Central Fund |
$ 1,028,589 |
Fidelity Floating Rate Central Fund |
27,332,268 |
Fidelity Mortgage Backed Securities Central Fund |
83,919,819 |
Total |
$ 112,280,676 |
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 |
Value, |
Purchases |
Sales |
Value, |
% ownership, end of |
Fidelity Floating Rate Central Fund |
$ 389,816,805 |
$ 176,951,631 |
$ 149,887,472 |
$ 455,557,522 |
31.1% |
Fidelity Mortgage Backed Securities Central Fund |
2,813,030,905 |
804,295,424 |
299,862,393 |
3,365,808,163 |
21.5% |
Total |
$ 3,202,847,710 |
$ 981,247,055 |
$ 449,749,865 |
$ 3,821,365,685 |
|
Other Information |
The following is a summary of the inputs used, as of August 31, 2012, 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 Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: |
||||
Description |
Total |
Level 1 |
Level 2 |
Level 3 |
Investments in Securities: |
||||
Equities: |
||||
Consumer Discretionary |
$ 2,859,570 |
$ 2,859,570 |
$ - |
$ - |
Financials |
7,803,582 |
7,563,394 |
240,188 |
- |
Telecommunication Services |
863,100 |
- |
- |
863,100 |
Corporate Bonds |
3,375,498,349 |
- |
3,375,109,413 |
388,936 |
U.S. Government and Government Agency Obligations |
4,036,561,713 |
- |
4,036,561,713 |
- |
U.S. Government Agency - Mortgage Securities |
1,953,947,679 |
- |
1,953,947,679 |
- |
Asset-Backed Securities |
255,521,074 |
- |
240,434,313 |
15,086,761 |
Collateralized Mortgage Obligations |
67,799,657 |
- |
63,920,356 |
3,879,301 |
Commercial Mortgage Securities |
750,760,023 |
- |
702,337,564 |
48,422,459 |
Municipal Securities |
94,581,856 |
- |
94,581,856 |
- |
Foreign Government and Government Agency Obligations |
265,258,318 |
- |
263,898,318 |
1,360,000 |
Floating Rate Loans |
61,924,304 |
- |
59,440,691 |
2,483,613 |
Sovereign Loan Participations |
2,619,725 |
- |
- |
2,619,725 |
Bank Notes |
2,686,569 |
- |
2,686,569 |
- |
Fixed-Income Funds |
3,821,365,685 |
3,821,365,685 |
- |
- |
Preferred Securities |
3,519,735 |
- |
3,519,735 |
- |
Money Market Funds |
1,115,016,542 |
1,115,016,542 |
- |
- |
Total Investments in Securities: |
$ 15,818,587,481 |
$ 4,946,805,191 |
$ 10,796,678,395 |
$ 75,103,895 |
Derivative Instruments: |
||||
Liabilities |
||||
Swap Agreements |
$ (35,178) |
$ - |
$ - |
$ (35,178) |
Other Financial Instruments: |
||||
TBA Sale Commitments |
$ (198,133,865) |
$ - |
$ (198,133,865) |
$ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2012. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / |
Value |
|
|
Asset |
Liability |
Credit Risk |
||
Swap Agreements (a) |
$ - |
$ (35,178) |
Total Value of Derivatives |
$ - |
$ (35,178) |
(a) Value is disclosed on the Statement of Assets and Liabilities in the Swap agreements, at value line-items. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
|
August 31, 2012 |
|
|
|
|
Assets |
|
|
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $10,157,998,806) |
$ 10,882,205,254 |
|
Fidelity Central Funds (cost $4,661,992,413) |
4,936,382,227 |
|
Total Investments (cost $14,819,991,219) |
|
$ 15,818,587,481 |
Cash |
|
571,379 |
Receivable for investments sold, regular delivery |
|
115,454,778 |
Receivable for TBA sale commitments |
|
196,996,281 |
Receivable for swap agreements |
|
106 |
Receivable for fund shares sold |
|
18,856,046 |
Dividends receivable |
|
62,370 |
Interest receivable |
|
74,930,906 |
Distributions receivable from Fidelity Central Funds |
|
139,940 |
Other receivables |
|
95,922 |
Total assets |
|
16,225,695,209 |
|
|
|
Liabilities |
|
|
Payable for investments purchased |
$ 14,517,077 |
|
Delayed delivery |
618,268,722 |
|
TBA sale commitments, at value |
198,133,865 |
|
Payable for fund shares redeemed |
9,593,091 |
|
Distributions payable |
1,926,056 |
|
Swap agreements, at value |
35,178 |
|
Accrued management fee |
3,985,407 |
|
Distribution and service plan fees payable |
229,057 |
|
Other affiliated payables |
1,766,172 |
|
Other payables and accrued expenses |
57,075 |
|
Total liabilities |
|
848,511,700 |
|
|
|
Net Assets |
|
$ 15,377,183,509 |
Net Assets consist of: |
|
|
Paid in capital |
|
$ 14,212,944,685 |
Undistributed net investment income |
|
32,646,990 |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions |
|
134,168,332 |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies |
|
997,423,502 |
Net Assets |
|
$ 15,377,183,509 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
|
August 31, 2012 |
|
|
|
|
Calculation of Maximum Offering Price |
|
$ 11.29 |
|
|
|
Maximum offering price per share (100/96.00 of $11.29) |
|
$ 11.76 |
Class T: |
|
$ 11.28 |
|
|
|
Maximum offering price per share (100/96.00 of $11.28) |
|
$ 11.75 |
Class B: |
|
$ 11.29 |
|
|
|
Class C: |
|
$ 11.29 |
|
|
|
Total Bond: |
|
$ 11.29 |
|
|
|
Institutional Class: |
|
$ 11.27 |
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.
Annual Report
Financial Statements - continued
|
Year ended August 31, 2012 |
|
|
|
|
Investment Income |
|
|
Dividends |
|
$ 919,089 |
Interest |
|
423,424,551 |
Income from Fidelity Central Funds |
|
112,280,676 |
Total income |
|
536,624,316 |
|
|
|
Expenses |
|
|
Management fee |
$ 45,374,634 |
|
Transfer agent fees |
16,126,049 |
|
Distribution and service plan fees |
3,681,304 |
|
Fund wide operations fee |
4,829,454 |
|
Independent trustees' compensation |
50,079 |
|
Miscellaneous |
39,944 |
|
Total expenses before reductions |
70,101,464 |
|
Expense reductions |
(1,816) |
70,099,648 |
Net investment income (loss) |
|
466,524,668 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: |
|
|
Investment securities: |
|
|
Unaffiliated issuers |
399,069,499 |
|
Fidelity Central Funds |
14,026,841 |
|
Foreign currency transactions |
369 |
|
Swap agreements |
(9,731,571) |
|
Total net realized gain (loss) |
|
403,365,138 |
Change in net unrealized appreciation (depreciation) on: Investment securities |
162,512,850 |
|
Assets and liabilities in foreign currencies |
37 |
|
Swap agreements |
9,513,484 |
|
Delayed delivery commitments |
(3,080,519) |
|
Total change in net unrealized appreciation (depreciation) |
|
168,945,852 |
Net gain (loss) |
|
572,310,990 |
Net increase (decrease) in net assets resulting from operations |
|
$ 1,038,835,658 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
|
Year ended |
Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) |
$ 466,524,668 |
$ 503,424,089 |
Net realized gain (loss) |
403,365,138 |
279,450,476 |
Change in net unrealized appreciation (depreciation) |
168,945,852 |
(49,093,458) |
Net increase (decrease) in net assets resulting |
1,038,835,658 |
733,781,107 |
Distributions to shareholders from net investment income |
(476,613,394) |
(485,397,438) |
Distributions to shareholders from net realized gain |
(215,970,794) |
(244,516,243) |
Total distributions |
(692,584,188) |
(729,913,681) |
Share transactions - net increase (decrease) |
1,722,265,752 |
417,450,284 |
Total increase (decrease) in net assets |
2,068,517,222 |
421,317,710 |
|
|
|
Net Assets |
|
|
Beginning of period |
13,308,666,287 |
12,887,348,577 |
End of period (including undistributed net investment income of $32,646,990 and undistributed net investment income of $76,238,459, respectively) |
$ 15,377,183,509 |
$ 13,308,666,287 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
$ 10.27 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) C |
.322 |
.381 |
.428 |
.494 |
.488 |
Net realized and unrealized gain (loss) |
.438 |
.187 |
.778 |
.231 |
(.189) |
Total from investment operations |
.760 |
.568 |
1.206 |
.725 |
.299 |
Distributions from net investment income |
(.335) |
(.367) |
(.402) |
(.447) |
(.474) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.510) |
(.578) |
(.436) |
(.515) |
(.499) |
Net asset value, end of period |
$ 11.29 |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
Total Return A,B |
7.11% |
5.35% |
11.97% |
7.79% |
2.93% |
Ratios to Average Net Assets D,F |
|
|
|
|
|
Expenses before reductions |
.82% |
.83% |
.82% |
.80% |
.80% |
Expenses net of fee waivers, if any |
.82% |
.83% |
.82% |
.80% |
.80% |
Expenses net of all reductions |
.82% |
.83% |
.82% |
.80% |
.80% |
Net investment income (loss) |
2.92% |
3.50% |
4.00% |
5.17% |
4.77% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 643,995 |
$ 1,225,165 |
$ 805,816 |
$ 107,998 |
$ 80,755 |
Portfolio turnover rate E |
155% |
168% G |
130% |
104% G |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F 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.
G 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.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.03 |
$ 11.04 |
$ 10.27 |
$ 10.06 |
$ 10.26 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) C |
.328 |
.386 |
.426 |
.488 |
.489 |
Net realized and unrealized gain (loss) |
.433 |
.186 |
.778 |
.233 |
(.191) |
Total from investment operations |
.761 |
.572 |
1.204 |
.721 |
.298 |
Distributions from net investment income |
(.336) |
(.371) |
(.400) |
(.443) |
(.473) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.511) |
(.582) |
(.434) |
(.511) |
(.498) |
Net asset value, end of period |
$ 11.28 |
$ 11.03 |
$ 11.04 |
$ 10.27 |
$ 10.06 |
Total Return A,B |
7.14% |
5.39% |
11.97% |
7.74% |
2.92% |
Ratios to Average Net Assets D,F |
|
|
|
|
|
Expenses before reductions |
.77% |
.80% |
.82% |
.85% |
.81% |
Expenses net of fee waivers, if any |
.77% |
.80% |
.82% |
.85% |
.81% |
Expenses net of all reductions |
.77% |
.80% |
.82% |
.85% |
.80% |
Net investment income (loss) |
2.97% |
3.54% |
4.01% |
5.12% |
4.76% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 59,896 |
$ 60,500 |
$ 71,349 |
$ 48,090 |
$ 38,574 |
Portfolio turnover rate E |
155% |
168% G |
130% |
104% G |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F 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.
G 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.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.04 |
$ 11.06 |
$ 10.28 |
$ 10.07 |
$ 10.27 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) C |
.247 |
.307 |
.351 |
.423 |
.413 |
Net realized and unrealized gain (loss) |
.434 |
.177 |
.787 |
.233 |
(.190) |
Total from investment operations |
.681 |
.484 |
1.138 |
.656 |
.223 |
Distributions from net investment income |
(.256) |
(.293) |
(.324) |
(.378) |
(.398) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.431) |
(.504) |
(.358) |
(.446) |
(.423) |
Net asset value, end of period |
$ 11.29 |
$ 11.04 |
$ 11.06 |
$ 10.28 |
$ 10.07 |
Total Return A,B |
6.36% |
4.54% |
11.26% |
7.01% |
2.17% |
Ratios to Average Net Assets D,F |
|
|
|
|
|
Expenses before reductions |
1.50% |
1.52% |
1.53% |
1.53% |
1.54% |
Expenses net of fee waivers, if any |
1.50% |
1.52% |
1.53% |
1.53% |
1.54% |
Expenses net of all reductions |
1.50% |
1.52% |
1.53% |
1.53% |
1.54% |
Net investment income (loss) |
2.24% |
2.82% |
3.29% |
4.44% |
4.03% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 11,515 |
$ 9,225 |
$ 13,017 |
$ 9,054 |
$ 9,645 |
Portfolio turnover rate E |
155% |
168% G |
130% |
104% G |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F 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.
G 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.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
$ 10.27 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) C |
.246 |
.308 |
.354 |
.425 |
.413 |
Net realized and unrealized gain (loss) |
.434 |
.187 |
.778 |
.232 |
(.189) |
Total from investment operations |
.680 |
.495 |
1.132 |
.657 |
.224 |
Distributions from net investment income |
(.255) |
(.294) |
(.328) |
(.379) |
(.399) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.430) |
(.505) |
(.362) |
(.447) |
(.424) |
Net asset value, end of period |
$ 11.29 |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
Total Return A,B |
6.34% |
4.65% |
11.20% |
7.02% |
2.18% |
Ratios to Average Net Assets D,F |
|
|
|
|
|
Expenses before reductions |
1.51% |
1.51% |
1.50% |
1.52% |
1.53% |
Expenses net of fee waivers, if any |
1.51% |
1.51% |
1.50% |
1.52% |
1.53% |
Expenses net of all reductions |
1.51% |
1.51% |
1.50% |
1.52% |
1.53% |
Net investment income (loss) |
2.23% |
2.83% |
3.32% |
4.45% |
4.03% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 102,385 |
$ 63,867 |
$ 91,439 |
$ 55,958 |
$ 28,786 |
Portfolio turnover rate E |
155% |
168% G |
130% |
104% G |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F 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.
G 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.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
$ 10.27 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) B |
.363 |
.423 |
.466 |
.527 |
.524 |
Net realized and unrealized gain (loss) |
.434 |
.187 |
.778 |
.232 |
(.189) |
Total from investment operations |
.797 |
.610 |
1.244 |
.759 |
.335 |
Distributions from net investment income |
(.372) |
(.409) |
(.440) |
(.481) |
(.510) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.547) |
(.620) |
(.474) |
(.549) |
(.535) |
Net asset value, end of period |
$ 11.29 |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
Total Return A |
7.48% |
5.76% |
12.37% |
8.17% |
3.29% |
Ratios to Average Net Assets C,E |
|
|
|
|
|
Expenses before reductions |
.45% |
.45% |
.45% |
.45% |
.45% |
Expenses net of fee waivers, if any |
.45% |
.45% |
.45% |
.45% |
.45% |
Expenses net of all reductions |
.45% |
.45% |
.45% |
.45% |
.45% |
Net investment income (loss) |
3.29% |
3.89% |
4.37% |
5.52% |
5.12% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 13,963,154 |
$ 11,418,458 |
$ 11,342,385 |
$ 10,863,828 |
$ 9,976,432 |
Portfolio turnover rate D |
155% |
168% F |
130% |
104% F |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Calculated based on average shares outstanding during the period.
C 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.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E 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.
F 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.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.02 |
$ 11.04 |
$ 10.26 |
$ 10.06 |
$ 10.26 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) B |
.353 |
.413 |
.458 |
.518 |
.516 |
Net realized and unrealized gain (loss) |
.435 |
.178 |
.788 |
.224 |
(.186) |
Total from investment operations |
.788 |
.591 |
1.246 |
.742 |
.330 |
Distributions from net investment income |
(.363) |
(.400) |
(.432) |
(.474) |
(.505) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.538) |
(.611) |
(.466) |
(.542) |
(.530) |
Net asset value, end of period |
$ 11.27 |
$ 11.02 |
$ 11.04 |
$ 10.26 |
$ 10.06 |
Total Return A |
7.40% |
5.58% |
12.41% |
7.99% |
3.24% |
Ratios to Average Net Assets C,E |
|
|
|
|
|
Expenses before reductions |
.53% |
.54% |
.52% |
.53% |
.51% |
Expenses net of fee waivers, if any |
.53% |
.54% |
.52% |
.53% |
.51% |
Expenses net of all reductions |
.53% |
.54% |
.52% |
.53% |
.51% |
Net investment income (loss) |
3.20% |
3.80% |
4.30% |
5.45% |
5.06% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 596,238 |
$ 531,451 |
$ 509,388 |
$ 884,991 |
$ 947,791 |
Portfolio turnover rate D |
155% |
168% F |
130% |
104% F |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Calculated based on average shares outstanding during the period.
C 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.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E 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.
F 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.
Annual Report
For the period ended August 31, 2012
1. Organization.
Fidelity Total Bond Fund (the Fund) is a fund of Fidelity Income Fund (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, Total Bond and Institutional Class shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Effective after the close of business on September 1, 2010, Class B shares were closed to new accounts and additional purchases, except for exchanges and reinvestments. The Fund offered Class F shares during the period June 26, 2009 through September 30, 2010, and all outstanding shares were redeemed by September 30, 2010. 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. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated 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.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) 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 FMR. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Annual Report
Notes to Financial Statements - continued
2. Investments in Fidelity Central Funds - continued
Fidelity Central |
Investment |
Investment |
Investment |
Fidelity Floating Rate Central Fund |
FMR Co., Inc. (FMRC) |
Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. |
Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities
|
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 Futures Repurchase Agreements Swap Agreements |
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 fidelity.com and/or advisor.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including security valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC web site 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:
Annual Report
3. Significant Accounting Policies - continued
Security 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 vendor or broker to value its investments. When current market prices, quotations or rates are not readily available or reliable, securities will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by security type and may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The 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:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, bank notes, floating rate loans, foreign government and government agency obligations, municipal securities, preferred securities, U.S. government and government agency obligations and sovereign loan participations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from third party pricing vendors or broker-supplied valuations. Pricing vendors utilize matrix pricing which considers comparisons to
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. 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. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by 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. Utilizing these techniques may result in transfers between Level 1 and Level 2.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
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 August 31, 2012 for the Fund's investments, is included at the end of Fund's Schedule of Investments.
Foreign Currency Translation. 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.
Annual Report
3. Significant Accounting Policies - continued
Foreign Currency Translation - continued
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 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. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. 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. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. 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.
Expenses. 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.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
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.
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 income taxes is required. As of August 31, 2012, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A 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.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, 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. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax puposes.
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. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, foreign currency transactions, market discount, equity-debt classifications, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales.
Annual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation |
$ 827,319,537 |
Gross unrealized depreciation |
(39,157,730) |
Net unrealized appreciation (depreciation) on securities and other investments |
$ 788,161,807 |
|
|
Tax Cost |
$ 15,030,425,674 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income |
$ 210,788,981 |
Undistributed long-term capital gain |
$ 166,517,877 |
Net unrealized appreciation (depreciation) |
$ 786,989,036 |
The tax character of distributions paid was as follows:
|
August 31, 2012 |
August 31, 2011 |
Ordinary Income |
$ 543,254,351 |
$ 677,298,053 |
Long-term Capital Gains |
149,329,837 |
52,615,628 |
Total |
$ 692,584,188 |
$ 729,913,681 |
New Accounting Pronouncement. In December 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
Annual Report
Notes to Financial Statements - continued
4. Operating Policies.
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.
Annual Report
4. Operating 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.
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.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these loans.
5. 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 swap agreements. 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 instrument 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.
Annual Report
Notes to Financial Statements - continued
5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
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. |
Interest Rate Risk |
Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
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 swap transactions, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement on a bilateral basis 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 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 OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund.
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.
Annual Report
5. 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 shown in the Statement of Operations.
Primary Risk Exposure / Derivative Type |
Net Realized Gain |
Change in Net Unrealized Appreciation (Depreciation) |
Credit Risk |
|
|
Swap Agreements |
$ (11,493,058) |
$ 11,282,704 |
Interest Rate Risk |
|
|
Swap Agreements |
1,761,487 |
(1,769,220) |
Totals (a) |
$ (9,731,571) |
$ 9,513,484 |
(a) A summary of the value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Schedule of Investments and is representative of activity for the period.
Swap Agreements. A swap agreement (swap) is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
Swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the swap agreements at value line items. Any upfront premiums paid or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are included in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. 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 "Swap Agreements."
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 acts as a guarantor of the creditworthiness of a reference obligation and
Annual Report
Notes to Financial Statements - continued
5. Derivative Instruments - continued
Credit Default Swaps - continued
will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR 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.
Annual Report
5. Derivative Instruments - continued
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
6. 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 $2,996,511,940 and $2,592,413,794, respectively.
7. Fees and Other Transactions with Affiliates.
Management Fee. FMR 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 .20% of the Fund's average net assets and an annualized group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, 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 |
Service |
Total |
Retained |
Class A |
-% |
.25% |
$ 2,647,419 |
$ 20,730 |
Class T |
-% |
.25% |
134,313 |
223 |
Class B |
.65% |
.25% |
92,292 |
66,655 |
Class C |
.75% |
.25% |
807,280 |
171,025 |
|
|
|
$ 3,681,304 |
$ 258,633 |
Annual Report
Notes to Financial Statements - continued
7. Fees and Other Transactions with Affiliates - continued
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and 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, .75% 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 |
Class A |
$ 85,483 |
Class T |
18,805 |
Class B* |
14,610 |
Class C* |
8,346 |
|
$ 127,244 |
* 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 FMR, 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 each respective class of the Fund, with the exception of Total Bond. FIIOC receives an asset-based fee of .10% of Total Bonds'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 class were as follows:
|
Amount |
% of |
Class A |
$ 2,273,039 |
.22 |
Class T |
92,686 |
.17 |
Class B |
25,536 |
.25 |
Class C |
130,350 |
.16 |
Total Bond |
12,617,115 |
.10 |
Institutional Class |
987,323 |
.18 |
|
$ 16,126,049 |
|
Annual Report
7. Fees and Other Transactions with Affiliates - continued
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annual rate of .03% of average net assets.
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR 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 $39,944 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. 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, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. 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. Total security lending income during the period amounted to $210,848.
10. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $1,816.
Annual Report
Notes to Financial Statements - continued
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, |
2012 |
2011 A |
From net investment income |
|
|
Class A |
$ 33,174,378 |
$ 35,129,345 |
Class T |
1,623,184 |
1,855,789 |
Class B |
234,459 |
296,985 |
Class C |
1,815,511 |
2,026,950 |
Total Bond |
422,085,321 |
427,026,328 |
Class F |
- |
129,141 |
Institutional Class |
17,680,541 |
18,932,900 |
Total |
$ 476,613,394 |
$ 485,397,438 |
From net realized gain |
|
|
Class A |
$ 20,453,255 |
$ 17,070,006 |
Class T |
936,741 |
1,197,314 |
Class B |
146,504 |
247,157 |
Class C |
1,103,220 |
1,677,741 |
Total Bond |
184,845,293 |
214,891,467 |
Class F |
- |
- |
Institutional Class |
8,485,781 |
9,432,558 |
Total |
$ 215,970,794 |
$ 244,516,243 |
A All Class F shares were redeemed on September 30, 2010.
12. Share Transactions.
Transactions for each class of shares were as follows:
|
Shares |
Dollars |
||
Years ended August 31, |
2012 |
2011 A |
2012 |
2011 A |
Class A |
|
|
|
|
Shares sold |
55,687,021 |
70,407,747 |
$ 616,317,251 |
$ 764,123,344 |
Reinvestment of distributions |
4,615,320 |
4,687,391 |
50,468,160 |
50,970,385 |
Shares redeemed |
(114,257,352) |
(36,997,892) |
(1,261,967,797) |
(404,102,564) |
Net increase (decrease) |
(53,955,011) |
38,097,246 |
$ (595,182,386) |
$ 410,991,165 |
Class T |
|
|
|
|
Shares sold |
3,204,699 |
5,910,533 |
$ 35,225,108 |
$ 64,536,331 |
Reinvestment of distributions |
211,056 |
246,104 |
2,311,967 |
2,672,918 |
Shares redeemed |
(3,591,541) |
(7,131,049) |
(39,283,078) |
(77,181,315) |
Net increase (decrease) |
(175,786) |
(974,412) |
$ (1,746,003) |
$ (9,972,066) |
Annual Report
12. Share Transactions - continued
|
Shares |
Dollars |
||
Years ended August 31, |
2012 |
2011 A |
2012 |
2011 A |
Class B |
|
|
|
|
Shares sold |
412,177 |
164,162 |
$ 4,548,077 |
$ 1,801,729 |
Reinvestment of distributions |
27,801 |
41,104 |
304,772 |
447,251 |
Shares redeemed |
(255,876) |
(547,045) |
(2,827,300) |
(5,927,269) |
Net increase (decrease) |
184,102 |
(341,779) |
$ 2,025,549 |
$ (3,678,289) |
Class C |
|
|
|
|
Shares sold |
4,840,132 |
2,834,490 |
$ 53,492,696 |
$ 30,988,336 |
Reinvestment of distributions |
232,155 |
299,725 |
2,545,589 |
3,259,076 |
Shares redeemed |
(1,789,177) |
(5,620,712) |
(19,700,005) |
(60,917,944) |
Net increase (decrease) |
3,283,110 |
(2,486,497) |
$ 36,338,280 |
$ (26,670,532) |
Total Bond |
|
|
|
|
Shares sold |
465,601,300 |
384,874,413 |
$ 5,136,671,142 |
$ 4,191,107,190 |
Reinvestment of distributions |
52,638,341 |
56,207,634 |
578,033,531 |
611,374,414 |
Shares redeemed |
(315,889,184) |
(432,717,356) |
(3,486,452,105) |
(4,723,560,620) |
Net increase (decrease) |
202,350,457 |
8,364,691 |
$ 2,228,252,568 |
$ 78,920,984 |
Class F |
|
|
|
|
Shares sold |
- |
320,292 |
$ - |
$ 3,532,515 |
Reinvestment of distributions |
- |
11,655 |
- |
129,141 |
Shares redeemed |
- |
(5,214,738) |
- |
(57,498,547) |
Net increase (decrease) |
- |
(4,882,791) |
$ - |
$ (53,836,891) |
Institutional Class |
|
|
|
|
Shares sold |
20,638,230 |
9,397,783 |
$ 227,773,701 |
$ 102,168,317 |
Reinvestment of distributions |
2,315,493 |
2,572,592 |
25,373,096 |
27,946,248 |
Shares redeemed |
(18,279,211) |
(9,899,063) |
(200,569,053) |
(108,418,652) |
Net increase (decrease) |
4,674,512 |
2,071,312 |
$ 52,577,744 |
$ 21,695,913 |
A All Class F shares were redeemed on September 30, 2010.
13. 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.
Annual Report
Notes to Financial Statements - continued
14. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
Annual Report
To the Trustees of Fidelity Income Fund and the Shareholders of Fidelity Total Bond Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Total Bond Fund (a fund of Fidelity Income Fund) at August 31, 2012, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Total Bond Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2012 by correspondence with the custodian, brokers and agent banks, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 18, 2012
Annual Report
The Trustees and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 207 funds advised by FMR or an affiliate. Mr. Curvey oversees 435 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers hold office without limit in time, except that any officer may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Annual Report
Trustees and Officers - continued
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Albert R. Gamper, Jr. serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds and another Board oversees Fidelity's equity and high income funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of FMR's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.
Interested Trustees*:
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupations and Other Relevant Experience+ |
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Abigail P. Johnson (50) |
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Year of Election or Appointment: 2009 Ms. Johnson is Trustee and Chairman of the Board of Trustees of certain Trusts. Ms. Johnson serves as President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (2011-present), Chairman and Director of FMR (2011-present), and the Vice Chairman and Director (2007-present) of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc., and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity funds (2001-2005), and managed a number of Fidelity funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related. |
James C. Curvey (77) |
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Year of Election or Appointment: 2007 Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp. |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupations and Other Relevant Experience+ |
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Albert R. Gamper, Jr. (70) |
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|
Year of Election or Appointment: 2006 Mr. Gamper is Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2012-present). Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), a member of the Board of Trustees, Rutgers University (2004-present), and Chairman of the Board of Barnabas Health Care System. Previously, Mr. Gamper served as Vice Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2011-2012) and as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Robert F. Gartland (60) |
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Year of Election or Appointment: 2010 Mr. Gartland is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (65) |
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Year of Election or Appointment: 2008 Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation (diversified power management, 2009-present), AGL Resources, Inc. (holding company, 2002-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Mr. Edward C. Johnson 3d or Ms. Abigail P. Johnson. |
Michael E. Kenneally (58) |
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Year of Election or Appointment: 2009 Previously, Mr. Kenneally served as a Member of the Advisory Board for certain Fidelity Fixed Income and Asset Allocation Funds (2008-2009). Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management (2003-2005). Mr. Kenneally was a Director of the Credit Suisse Funds (U.S. mutual funds, 2004-2008) and certain other closed-end funds (2004-2005) and was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (71) |
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Year of Election or Appointment: 2007 Mr. Keyes serves as a member of the Boards of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, since 2002) and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, since 1998). Prior to his retirement, Mr. Keyes served as Chairman and Chief Executive Officer of Johnson Controls (automotive, building, and energy, 1998-2002) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (65) |
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Year of Election or Appointment: 2001 Ms. Knowles is Vice Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2012-present). Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is an Honorary Trustee of the Brookings Institution and a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California and the Foundation Board of the School of Architecture at the University of Virginia (2007-present). Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007). |
Kenneth L. Wolfe (73) |
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Year of Election or Appointment: 2005 Prior to his retirement, Mr. Wolfe served as Chairman and a Director (2007-2009) and Chairman and Chief Executive Officer (1994-2001) of Hershey Foods Corporation. He also served as a member of the Boards of Adelphia Communications Corporation (telecommunications, 2003-2006), Bausch & Lomb, Inc. (medical/pharmaceutical, 1993-2007), and Revlon, Inc. (personal care products, 2004-2009). Mr. Wolfe previously served as Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2008-2012). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Annual Report
Executive Officers:
Correspondence intended for each executive officer may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation |
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John R. Hebble (54) |
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Year of Election or Appointment: 2008 President and Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Hebble also serves as President (2011-present), Treasurer, and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present), Assistant Treasurer of other Fidelity funds (2009-present) and is an employee of Fidelity Investments. |
Charles S. Morrison (51) |
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Year of Election or Appointment: 2012 Vice President of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Morrison also serves as President, Fixed Income and is an employee of Fidelity Investments. Previously, Mr. Morrison served as Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Fixed Income Division. |
Robert P. Brown (48) |
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Year of Election or Appointment: 2012 Vice President of Fidelity's Bond Funds. Mr. Brown also serves as Executive Vice President of Fidelity Investments Money Management, Inc. (2010-present), President, Bond Group of FMR (2011-present), Director and Managing Director, Research of Fidelity Management & Research (U.K.) Inc. (2008-present) and is an employee of Fidelity Investments. Previously, Mr. Brown served as President, Money Market Group of FMR (2010-2011) and Vice President of Fidelity's Money Market Funds (2010-2012). |
Scott C. Goebel (44) |
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Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as Secretary of Fidelity Investments Money Management, Inc. (FIMM) (2010-present) and Fidelity Research and Analysis Company (FRAC) (2010-present); Secretary and CLO of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present); General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); employed by FMR LLC or an affiliate (2001-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), and Fidelity Management & Research (U.K.) Inc. (2008-present). Previously, Mr. Goebel served as Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
Ramon Herrera (38) |
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Year of Election or Appointment: 2012 Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Herrera also serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2004-present). |
Elizabeth Paige Baumann (44) |
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Year of Election or Appointment: 2012 Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Baumann also serves as AML Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2012-present), Chief AML Officer of FMR LLC (2012-present), and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012). |
Christine Reynolds (53) |
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Year of Election or Appointment: 2008 Chief Financial Officer of the Fidelity funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007). |
Michael H. Whitaker (45) |
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Year of Election or Appointment: 2008 Chief Compliance Officer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Whitaker also serves as Chief Compliance Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present). Mr. Whitaker is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Joseph F. Zambello (55) |
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Year of Election or Appointment: 2011 Deputy Treasurer of the Fidelity funds. Mr. Zambello is an employee of Fidelity Investments. Previously, Mr. Zambello served as Vice President of FMR's Program Management Group (2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009). |
Stephanie J. Dorsey (43) |
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Year of Election or Appointment: 2008 Deputy Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Ms. Dorsey also serves as Assistant Treasurer of other Fidelity funds (2010-present) and is an employee of Fidelity Investments (2008-present). Previously, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Adrien E. Deberghes (45) |
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Year of Election or Appointment: 2010 Assistant Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Deberghes also serves as Vice President and Assistant Treasurer (2011-present) and Deputy Treasurer (2008-present) of other Fidelity funds, and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Kenneth B. Robins (43) |
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Year of Election or Appointment: 2009 Assistant Treasurer of the Fidelity Fixed Income and Asset Allocation Funds. Mr. Robins also serves as President and Treasurer of other Fidelity funds (2008-present; 2010-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Deputy Treasurer of the Fidelity funds (2005-2008) and Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2006-2008). |
Gary W. Ryan (54) |
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Year of Election or Appointment: 2005 Assistant Treasurer of the Fidelity funds. Mr. Ryan is an employee of Fidelity Investments. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005). |
Jonathan Davis (44) |
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Year of Election or Appointment: 2010 Assistant Treasurer of the Fidelity funds. Mr. Davis is also Assistant Treasurer of Fidelity Rutland Square Trust II and Fidelity Commonwealth Trust II. Mr. Davis is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (2003-2010). |
Annual Report
The Board of Trustees of Advisor Total Bond Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:
|
Pay Date |
Record Date |
Capital Gains |
Institutional Class |
10/15/2012 |
10/12/2012 |
$0.281 |
The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2012, $199,670,838, or, if subsequently determined to be different, the net capital gain of such year.
A total of 13.28% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $293,489,978 of distributions paid during the period January 1, 2012 to August 31, 2012 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2013 of amounts for use in preparing 2012 income tax returns.
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co. Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
Fidelity Investments
Money Management, Inc.
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors
(UK) Limited
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
(Fidelity Investment logo)(registered trademark)
ATBI-UANN-1012 1.804580.108
Fidelity®
Total Bond
Fund
Annual Report
August 31, 2012
(Fidelity Cover Art)
Performance |
How the fund has done over time. |
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Management's Discussion of Fund Performance |
The Portfolio Manager's review of fund performance and strategy. |
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Shareholder Expense Example |
An example of shareholder expenses. |
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Investment Changes |
A summary of major shifts in the fund's investments over the past six months. |
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Investments |
A complete list of the fund's investments with their market values. |
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Financial Statements |
Statements of assets and liabilities, operations, and changes in net
assets, |
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Notes |
Notes to the financial statements. |
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Report of Independent Registered Public Accounting Firm |
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Trustees and Officers |
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Distributions |
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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 1-800-544-8544 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. © 2012 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.
Annual Report
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended August 31, 2012 |
Past 1 |
Past 5 |
Life of |
Fidelity® Total Bond Fund |
7.48% |
7.37% |
6.14% |
A From October 15, 2002.
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® Total Bond Fund, a class of the fund, on October 15, 2002, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Barclays® U.S. Aggregate Bond Index performed over the same period.
Annual Report
Market Recap: Amid the crosscurrents of declining interest rates, the ebb and flow of concern about European debt, mixed global economic data, and accommodative monetary policy, U.S. taxable investment-grade bonds - as measured by the Barclays® U.S. Aggregate Bond Index - gained 5.78% for the year ending August 31, 2012. Among major sectors in the index, commercial mortgage-backed securities fared best, adding 10.32%, aided by investors' thirst for higher-yielding securities, as well as better commercial real estate fundamentals. Investment-grade credit also outperformed, rising 9.70% on continued strength of U.S. corporations and investors' appetite for more-attractive alternatives to ultra-low-yielding government bonds. U.S. Treasuries lagged corporate bonds with a gain of 5.11%, buffeted during periods when rising interest rates and improved global economic sentiment tempered demand for more rate-sensitive, higher-quality bonds. Government-agency-backed residential mortgage-backed securities (MBS) advanced 3.67%, trailing several other fixed-income sectors. MBS were hindered by their relatively short duration - a measure of interest rate sensitivity - which limited their price appreciation as yields declined. Furthermore, the government's Home Affordable Refinance Program (HARP) was refined in a way that led to faster prepayments. Asset-backed and agency securities saw similar gains, returning 3.83% and 2.91%, respectively.
Comments from Ford O'Neil, Lead Portfolio Manager Fidelity® Total Bond Fund: For the year, the fund's Retail Class shares returned 7.48%, solidly outpacing the Barclays® U.S. Aggregate Bond Index and the 6.44% gain of the Barclays U.S. Universal Bond Index. Security selection in the investment-grade subportfolio, along with overall asset allocation, delivered a big boost to the fund's performance versus the Barclays Aggregate Bond index. Positioning among Treasuries was quite beneficial, led by holdings in out-of-index long-maturity Treasury Inflation-Protected Securities (TIPS), as was yield-curve positioning. An overweighting in commercial mortgage-backed securities worked in the fund's favor, as did its focus on government-agency-backed residential mortgage securities that offered higher yields and/or some measure of prepayment protection. Among investment-grade corporate bonds, our emphasis on strong-performing financials and utilities more than offset what we lost by underweighting industrials. In terms of portfolio asset allocation, investing outside the benchmark in high-yield bonds, leveraged loans and emerging-markets debt meaningfully contributed, but our decision to underweight government-agency-backed debentures detracted.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
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 (March 1, 2012 to August 31, 2012).
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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. 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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. 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.
Annual Report
Shareholder Expense Example - continued
|
Annualized Expense Ratio |
Beginning |
Ending |
Expenses Paid |
Class A |
.77% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,036.20 |
$ 3.94 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,021.27 |
$ 3.91 |
Class T |
.77% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,036.10 |
$ 3.94 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,021.27 |
$ 3.91 |
Class B |
1.49% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,032.30 |
$ 7.61 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,017.65 |
$ 7.56 |
Class C |
1.50% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,032.20 |
$ 7.66 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,017.60 |
$ 7.61 |
Total Bond |
.45% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,037.70 |
$ 2.30 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,022.87 |
$ 2.29 |
Institutional Class |
.53% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,037.30 |
$ 2.71 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,022.47 |
$ 2.69 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (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 the Fund's annualized expense ratio.
Annual Report
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.
Quality Diversification (% of fund's net assets) |
|||||||
As of August 31, 2012 |
As of February 29, 2012 |
||||||
![]() |
U.S. Government |
|
![]() |
U.S. Government |
|
||
![]() |
AAA 4.2% |
|
![]() |
AAA 5.4% |
|
||
![]() |
AA 2.0% |
|
![]() |
AA 2.6% |
|
||
![]() |
A 5.5% |
|
![]() |
A 5.7% |
|
||
![]() |
BBB 14.0% |
|
![]() |
BBB 12.3% |
|
||
![]() |
BB and Below 8.2% |
|
![]() |
BB and Below 11.0% |
|
||
![]() |
Not Rated 0.6% |
|
![]() |
Not Rated 1.0% |
|
||
![]() |
Equities 0.1% |
|
![]() |
Equities 0.2% |
|
||
![]() |
Short-Term |
|
![]() |
Short-Term |
|
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. Securities rated BB or below were rated investment grade at the time of acquisition. |
Weighted Average Maturity as of August 31, 2012 |
||
|
|
6 months ago |
Years |
6.6 |
6.5 |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Duration as of August 31, 2012 |
||
|
|
6 months ago |
Years |
4.6 |
4.6 |
Duration estimates how much a bond fund's price will change with a change in comparable interest rates. If rates rise 1%, for example, a fund with a 5-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. Duration takes into account any call or put option embedded in the bonds. |
Asset Allocation (% of fund's net assets) |
|||||||
As of August 31, 2012 * |
As of February 29, 2012 ** |
||||||
![]() |
Corporate Bonds 22.2% |
|
![]() |
Corporate Bonds 24.2% |
|
||
![]() |
U.S. Government |
|
![]() |
U.S. Government |
|
||
![]() |
Asset-Backed |
|
![]() |
Asset-Backed |
|
||
![]() |
CMOs and Other Mortgage Related Securities 5.3% |
|
![]() |
CMOs and Other Mortgage Related Securities 5.8% |
|
||
![]() |
Municipal Bonds 0.6% |
|
![]() |
Municipal Bonds 0.3% |
|
||
![]() |
Stocks 0.1% |
|
![]() |
Stocks 0.2% |
|
||
![]() |
Other Investments 4.7% |
|
![]() |
Other Investments 5.7% |
|
||
![]() |
Short-Term |
|
![]() |
Short-Term |
|
||
* Foreign investments |
5.1% |
|
** Foreign investments |
5.4% |
|
||
* Futures and Swaps |
(0.3)% |
|
** Futures and Swaps |
1.0% |
|
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
A 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 fidelity.com and/or advisor.fidelity.com as applicable.
Annual Report
Showing Percentage of Net Assets
Corporate Bonds - 22.0% |
||||
|
Principal |
Value |
||
Convertible Bonds - 0.0% |
||||
MATERIALS - 0.0% |
||||
Metals & Mining - 0.0% |
||||
Vedanta Resources Jersey II Ltd.: |
|
|
|
|
4% 3/30/17 |
|
$ 2,400,000 |
$ 2,349,600 |
|
5.5% 7/13/16 |
|
300,000 |
287,250 |
|
|
2,636,850 |
|||
Nonconvertible Bonds - 22.0% |
||||
CONSUMER DISCRETIONARY - 2.4% |
||||
Auto Components - 0.1% |
||||
Dana Holding Corp. 6.5% 2/15/19 |
|
2,080,000 |
2,215,200 |
|
Delphi Corp. 5.875% 5/15/19 |
|
1,685,000 |
1,807,163 |
|
JB Poindexter & Co., Inc. 9% 4/1/22 (f) |
|
1,900,000 |
1,900,000 |
|
Tenneco, Inc.: |
|
|
|
|
6.875% 12/15/20 |
|
1,505,000 |
1,640,450 |
|
7.75% 8/15/18 |
|
1,400,000 |
1,519,000 |
|
|
9,081,813 |
|||
Automobiles - 0.1% |
||||
Automotores Gildemeister SA 8.25% 5/24/21 (f) |
|
575,000 |
621,000 |
|
Chrysler Group LLC/CG Co-Issuer, Inc.: |
|
|
|
|
8% 6/15/19 |
|
3,090,000 |
3,259,950 |
|
8.25% 6/15/21 |
|
5,205,000 |
5,465,250 |
|
|
9,346,200 |
|||
Distributors - 0.0% |
||||
AmeriGas Partners LP/AmeriGas Finance Corp.: |
|
|
|
|
6.25% 8/20/19 |
|
1,000,000 |
1,040,000 |
|
6.5% 5/20/21 |
|
156,000 |
163,410 |
|
Ferrellgas LP/Ferrellgas Finance Corp. 6.5% 5/1/21 |
|
1,330,000 |
1,296,750 |
|
|
2,500,160 |
|||
Hotels, Restaurants & Leisure - 0.3% |
||||
Ameristar Casinos, Inc.: |
|
|
|
|
7.5% 4/15/21 |
|
2,570,000 |
2,749,900 |
|
7.5% 4/15/21 (f) |
|
1,700,000 |
1,810,500 |
|
Chukchansi Economic Development Authority 9.75% 5/30/20 (f) |
|
309,000 |
222,480 |
|
CityCenter Holdings LLC/CityCenter Finance Corp.: |
|
|
|
|
7.625% 1/15/16 |
|
2,070,000 |
2,199,375 |
|
7.625% 1/15/16 (f) |
|
1,930,000 |
2,036,150 |
|
11.5% 1/15/17 pay-in-kind (l) |
|
1,652,030 |
1,747,022 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
CONSUMER DISCRETIONARY - continued |
||||
Hotels, Restaurants & Leisure - continued |
||||
FelCor Lodging LP 6.75% 6/1/19 |
|
$ 475,000 |
$ 509,438 |
|
GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17 |
|
1,635,000 |
1,839,375 |
|
Host Marriott LP 6.375% 3/15/15 |
|
96,000 |
97,020 |
|
ITT Corp. 7.375% 11/15/15 |
|
250,000 |
288,291 |
|
MGM Mirage, Inc.: |
|
|
|
|
6.625% 7/15/15 |
|
3,475,000 |
3,631,375 |
|
7.5% 6/1/16 |
|
4,130,000 |
4,315,850 |
|
7.625% 1/15/17 |
|
5,355,000 |
5,529,038 |
|
7.75% 3/15/22 |
|
1,895,000 |
1,895,000 |
|
8.625% 2/1/19 (f) |
|
2,940,000 |
3,116,400 |
|
11.375% 3/1/18 |
|
1,845,000 |
2,117,138 |
|
NPC International, Inc./NPC Operating Co. A, Inc./NPC Operating Co. B, Inc. 10.5% 1/15/20 |
|
2,950,000 |
3,363,000 |
|
Royal Caribbean Cruises Ltd.: |
|
|
|
|
7.25% 3/15/18 |
|
465,000 |
513,825 |
|
7.5% 10/15/27 |
|
1,885,000 |
1,965,113 |
|
yankee 7.25% 6/15/16 |
|
3,985,000 |
4,403,425 |
|
Times Square Hotel Trust 8.528% 8/1/26 (f) |
|
848,389 |
975,648 |
|
Universal City Development Partners Ltd./UCDP Finance, Inc. 8.875% 11/15/15 |
|
784,000 |
830,183 |
|
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 7.75% 8/15/20 |
|
970,000 |
1,080,338 |
|
|
47,235,884 |
|||
Household Durables - 0.2% |
||||
KB Home: |
|
|
|
|
7.25% 6/15/18 |
|
1,495,000 |
1,509,950 |
|
7.5% 9/15/22 |
|
1,210,000 |
1,249,325 |
|
9.1% 9/15/17 |
|
705,000 |
776,381 |
|
Lennar Corp.: |
|
|
|
|
6.95% 6/1/18 |
|
4,640,000 |
5,028,600 |
|
12.25% 6/1/17 |
|
1,135,000 |
1,481,175 |
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: |
|
|
|
|
7.75% 10/15/16 |
|
3,000,000 |
3,135,000 |
|
7.875% 8/15/19 |
|
1,760,000 |
1,958,000 |
|
8.5% 5/15/18 (e) |
|
970,000 |
982,125 |
|
9.875% 8/15/19 |
|
2,560,000 |
2,707,200 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
CONSUMER DISCRETIONARY - continued |
||||
Household Durables - continued |
||||
Standard Pacific Corp.: |
|
|
|
|
8.375% 5/15/18 |
|
$ 6,495,000 |
$ 7,209,450 |
|
10.75% 9/15/16 |
|
2,370,000 |
2,861,775 |
|
|
28,898,981 |
|||
Internet & Catalog Retail - 0.0% |
||||
Zayo Group LLC/Zayo Capital, Inc.: |
|
|
|
|
8.125% 1/1/20 |
|
1,890,000 |
2,022,300 |
|
10.125% 7/1/20 |
|
785,000 |
845,838 |
|
|
2,868,138 |
|||
Media - 1.6% |
||||
AOL Time Warner, Inc. 7.625% 4/15/31 |
|
500,000 |
679,589 |
|
Cablevision Systems Corp.: |
|
|
|
|
7.75% 4/15/18 |
|
2,305,000 |
2,495,163 |
|
8.625% 9/15/17 |
|
3,505,000 |
4,013,225 |
|
CCO Holdings LLC/CCO Holdings Capital Corp.: |
|
|
|
|
6.5% 4/30/21 |
|
3,975,000 |
4,263,188 |
|
6.625% 1/31/22 |
|
1,290,000 |
1,391,588 |
|
7% 1/15/19 |
|
8,610,000 |
9,320,325 |
|
7.25% 10/30/17 |
|
3,380,000 |
3,692,650 |
|
7.875% 4/30/18 |
|
865,000 |
938,525 |
|
Cequel Communications Holdings I LLC/Cequel Capital Corp. 8.625% 11/15/17 (f) |
|
5,180,000 |
5,562,025 |
|
Comcast Corp.: |
|
|
|
|
3.125% 7/15/22 |
|
5,411,000 |
5,655,036 |
|
4.65% 7/15/42 |
|
9,896,000 |
10,568,295 |
|
4.95% 6/15/16 |
|
2,344,000 |
2,667,149 |
|
5.15% 3/1/20 |
|
435,000 |
518,064 |
|
5.7% 5/15/18 |
|
14,629,000 |
17,699,276 |
|
6.4% 3/1/40 |
|
432,000 |
568,494 |
|
6.45% 3/15/37 |
|
2,196,000 |
2,837,397 |
|
COX Communications, Inc. 4.625% 6/1/13 |
|
4,467,000 |
4,600,268 |
|
CSC Holdings LLC 8.625% 2/15/19 |
|
1,350,000 |
1,579,500 |
|
Discovery Communications LLC: |
|
|
|
|
3.7% 6/1/15 |
|
7,129,000 |
7,642,552 |
|
6.35% 6/1/40 |
|
6,392,000 |
8,222,988 |
|
DISH DBS Corp. 4.625% 7/15/17 (f) |
|
1,640,000 |
1,656,400 |
|
Harron Communications LP/Harron Finance Corp. 9.125% 4/1/20 (f) |
|
370,000 |
400,525 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
CONSUMER DISCRETIONARY - continued |
||||
Media - continued |
||||
NBCUniversal Media LLC: |
|
|
|
|
3.65% 4/30/15 |
|
$ 3,514,000 |
$ 3,762,345 |
|
5.15% 4/30/20 |
|
11,614,000 |
13,715,298 |
|
6.4% 4/30/40 |
|
18,278,000 |
23,718,447 |
|
News America Holdings, Inc. 7.75% 12/1/45 |
|
2,460,000 |
3,345,162 |
|
News America, Inc.: |
|
|
|
|
6.15% 3/1/37 |
|
4,759,000 |
5,783,303 |
|
6.15% 2/15/41 |
|
11,572,000 |
14,239,670 |
|
Nielsen Finance LLC/Nielsen Finance Co. 7.75% 10/15/18 |
|
2,770,000 |
3,095,475 |
|
Quebecor Media, Inc.: |
|
|
|
|
7.75% 3/15/16 |
|
2,392,000 |
2,463,760 |
|
7.75% 3/15/16 |
|
2,485,000 |
2,559,550 |
|
Time Warner Cable, Inc.: |
|
|
|
|
4.5% 9/15/42 |
|
10,589,000 |
10,543,097 |
|
6.2% 7/1/13 |
|
2,898,000 |
3,030,972 |
|
6.75% 7/1/18 |
|
13,763,000 |
17,222,729 |
|
Time Warner, Inc.: |
|
|
|
|
3.15% 7/15/15 |
|
3,115,000 |
3,308,407 |
|
5.875% 11/15/16 |
|
368,000 |
435,747 |
|
6.2% 3/15/40 |
|
11,792,000 |
14,494,856 |
|
6.5% 11/15/36 |
|
9,243,000 |
11,559,869 |
|
TV Azteca SA de CV 7.5% 5/25/18 (Reg. S) |
|
1,450,000 |
1,508,000 |
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 7.5% 3/15/19 (f) |
|
660,000 |
722,700 |
|
Univision Communications, Inc.: |
|
|
|
|
6.875% 5/15/19 (f) |
|
2,680,000 |
2,760,400 |
|
8.5% 5/15/21 (f) |
|
5,960,000 |
5,974,900 |
|
UPC Holding BV 9.875% 4/15/18 (f) |
|
1,190,000 |
1,335,775 |
|
UPCB Finance V Ltd. 7.25% 11/15/21 (f) |
|
995,000 |
1,068,332 |
|
Viacom, Inc. 6.75% 10/5/37 |
|
1,460,000 |
1,941,178 |
|
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (f) |
|
1,400,000 |
1,445,500 |
|
|
247,007,694 |
|||
Specialty Retail - 0.1% |
||||
J. Crew Group, Inc. 8.125% 3/1/19 |
|
4,694,000 |
4,911,098 |
|
PETCO Animal Supplies, Inc. 9.25% 12/1/18 (f) |
|
6,315,000 |
7,009,650 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
CONSUMER DISCRETIONARY - continued |
||||
Specialty Retail - continued |
||||
Staples, Inc. 7.375% 10/1/12 |
|
$ 554,000 |
$ 556,571 |
|
Toys 'R' Us, Inc. 7.375% 9/1/16 (f) |
|
1,805,000 |
1,818,538 |
|
|
14,295,857 |
|||
Textiles, Apparel & Luxury Goods - 0.0% |
||||
Hanesbrands, Inc. 6.375% 12/15/20 |
|
2,500,000 |
2,712,500 |
|
Levi Strauss & Co. 6.875% 5/1/22 |
|
1,820,000 |
1,888,250 |
|
|
4,600,750 |
|||
TOTAL CONSUMER DISCRETIONARY |
365,835,477 |
|||
CONSUMER STAPLES - 1.2% |
||||
Beverages - 0.3% |
||||
Beam, Inc.: |
|
|
|
|
1.875% 5/15/17 |
|
2,703,000 |
2,760,714 |
|
3.25% 5/15/22 |
|
3,206,000 |
3,324,154 |
|
Diageo Capital PLC 5.2% 1/30/13 |
|
1,037,000 |
1,056,927 |
|
FBG Finance Ltd. 5.125% 6/15/15 (f) |
|
3,662,000 |
4,048,513 |
|
Fortune Brands, Inc.: |
|
|
|
|
5.375% 1/15/16 |
|
321,000 |
365,628 |
|
5.875% 1/15/36 |
|
12,336,000 |
14,759,481 |
|
6.375% 6/15/14 |
|
3,374,000 |
3,690,447 |
|
SABMiller Holdings, Inc. 3.75% 1/15/22 (f) |
|
10,217,000 |
11,087,223 |
|
|
41,093,087 |
|||
Food & Staples Retailing - 0.1% |
||||
Rite Aid Corp.: |
|
|
|
|
9.25% 3/15/20 |
|
6,535,000 |
6,714,713 |
|
9.5% 6/15/17 |
|
4,960,000 |
5,108,800 |
|
US Foodservice, Inc. 8.5% 6/30/19 (f) |
|
2,335,000 |
2,405,050 |
|
|
14,228,563 |
|||
Food Products - 0.3% |
||||
Gruma SAB de CV 7.75% (Reg. S) (g) |
|
1,385,000 |
1,385,000 |
|
JBS USA LLC/JBS USA Finance, Inc. 8.25% 2/1/20 (f) |
|
1,400,000 |
1,340,500 |
|
Kraft Foods, Inc.: |
|
|
|
|
5.375% 2/10/20 |
|
10,631,000 |
12,784,426 |
|
6.125% 2/1/18 |
|
10,623,000 |
12,927,362 |
|
6.5% 8/11/17 |
|
10,238,000 |
12,589,146 |
|
6.5% 2/9/40 |
|
2,564,000 |
3,536,705 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
CONSUMER STAPLES - continued |
||||
Food Products - continued |
||||
Kraft Foods, Inc.: - continued |
|
|
|
|
6.75% 2/19/14 |
|
$ 540,000 |
$ 587,566 |
|
MHP SA 10.25% 4/29/15 (f) |
|
985,000 |
976,381 |
|
Post Holdings, Inc. 7.375% 2/15/22 (f) |
|
1,855,000 |
1,952,388 |
|
|
48,079,474 |
|||
Personal Products - 0.0% |
||||
NBTY, Inc. 9% 10/1/18 |
|
2,065,000 |
2,312,800 |
|
Tobacco - 0.5% |
||||
Altria Group, Inc.: |
|
|
|
|
2.85% 8/9/22 |
|
9,573,000 |
9,545,774 |
|
4.25% 8/9/42 |
|
9,573,000 |
9,356,918 |
|
9.7% 11/10/18 |
|
23,631,000 |
33,928,279 |
|
Philip Morris International, Inc. 4.875% 5/16/13 |
|
9,347,000 |
9,634,860 |
|
Reynolds American, Inc.: |
|
|
|
|
6.75% 6/15/17 |
|
3,719,000 |
4,505,736 |
|
7.25% 6/15/37 |
|
5,056,000 |
6,484,871 |
|
|
73,456,438 |
|||
TOTAL CONSUMER STAPLES |
179,170,362 |
|||
ENERGY - 3.7% |
||||
Energy Equipment & Services - 0.6% |
||||
Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (f) |
|
1,260,000 |
1,209,600 |
|
DCP Midstream LLC: |
|
|
|
|
4.75% 9/30/21 (f) |
|
11,333,000 |
12,015,349 |
|
5.35% 3/15/20 (f) |
|
8,816,000 |
9,670,923 |
|
El Paso Pipeline Partners Operating Co. LLC: |
|
|
|
|
4.1% 11/15/15 |
|
10,806,000 |
11,403,366 |
|
5% 10/1/21 |
|
7,366,000 |
8,050,382 |
|
6.5% 4/1/20 |
|
738,000 |
870,484 |
|
Expro Finance Luxembourg SCA 8.5% 12/15/16 (f) |
|
1,582,000 |
1,582,000 |
|
Exterran Holdings, Inc. 7.25% 12/1/18 |
|
3,485,000 |
3,485,000 |
|
Forbes Energy Services Ltd. 9% 6/15/19 |
|
1,590,000 |
1,514,475 |
|
Hornbeck Offshore Services, Inc.: |
|
|
|
|
5.875% 4/1/20 |
|
975,000 |
989,625 |
|
8% 9/1/17 |
|
1,605,000 |
1,733,400 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
ENERGY - continued |
||||
Energy Equipment & Services - continued |
||||
Offshore Group Investment Ltd.: |
|
|
|
|
11.5% 8/1/15 |
|
$ 3,475,000 |
$ 3,848,563 |
|
11.5% 8/1/15 (f) |
|
1,920,000 |
2,126,400 |
|
Oil States International, Inc. 6.5% 6/1/19 |
|
2,850,000 |
3,028,125 |
|
Petroleum Geo-Services ASA 7.375% 12/15/18 (f) |
|
2,245,000 |
2,396,538 |
|
Precision Drilling Corp.: |
|
|
|
|
6.5% 12/15/21 |
|
170,000 |
178,500 |
|
6.625% 11/15/20 |
|
1,890,000 |
1,989,225 |
|
SESI LLC 7.125% 12/15/21 |
|
2,980,000 |
3,311,376 |
|
Transocean, Inc.: |
|
|
|
|
5.05% 12/15/16 |
|
7,572,000 |
8,387,906 |
|
6.375% 12/15/21 |
|
9,999,000 |
12,053,295 |
|
Weatherford International Ltd.: |
|
|
|
|
4.95% 10/15/13 |
|
2,173,000 |
2,263,703 |
|
5.15% 3/15/13 |
|
2,840,000 |
2,900,219 |
|
|
95,008,454 |
|||
Oil, Gas & Consumable Fuels - 3.1% |
||||
Afren PLC 11.5% 2/1/16 (f) |
|
520,000 |
583,700 |
|
Anadarko Petroleum Corp.: |
|
|
|
|
5.95% 9/15/16 |
|
485,000 |
560,907 |
|
6.375% 9/15/17 |
|
19,790,000 |
23,665,733 |
|
Antero Resources Finance Corp.: |
|
|
|
|
7.25% 8/1/19 |
|
1,080,000 |
1,152,900 |
|
9.375% 12/1/17 |
|
2,915,000 |
3,213,788 |
|
Apache Corp.: |
|
|
|
|
3.25% 4/15/22 |
|
8,647,000 |
9,280,073 |
|
4.75% 4/15/43 |
|
9,180,000 |
10,544,286 |
|
Canadian Natural Resources Ltd. 5.15% 2/1/13 |
|
5,610,000 |
5,714,060 |
|
Chesapeake Energy Corp.: |
|
|
|
|
6.125% 2/15/21 |
|
2,215,000 |
2,198,388 |
|
6.875% 11/15/20 |
|
1,195,000 |
1,239,813 |
|
Chesapeake Midstream Partners LP/CHKM Finance Corp.: |
|
|
|
|
5.875% 4/15/21 |
|
676,000 |
691,210 |
|
6.125% 7/15/22 |
|
1,240,000 |
1,289,600 |
|
ConocoPhillips: |
|
|
|
|
4.6% 1/15/15 |
|
10,000,000 |
10,951,810 |
|
5.75% 2/1/19 |
|
2,930,000 |
3,636,315 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
ENERGY - continued |
||||
Oil, Gas & Consumable Fuels - continued |
||||
CONSOL Energy, Inc. 8% 4/1/17 |
|
$ 270,000 |
$ 290,250 |
|
Crestwood Midstream Partners LP / Finance Corp. 7.75% 4/1/19 |
|
800,000 |
812,000 |
|
DTEK Finance BV 9.5% 4/28/15 (f) |
|
600,000 |
588,000 |
|
Duke Capital LLC 6.25% 2/15/13 |
|
1,000,000 |
1,024,145 |
|
Duke Energy Field Services: |
|
|
|
|
5.375% 10/15/15 (f) |
|
1,524,000 |
1,640,328 |
|
6.45% 11/3/36 (f) |
|
13,741,000 |
15,866,307 |
|
El Paso Natural Gas Co. 5.95% 4/15/17 |
|
1,166,000 |
1,335,500 |
|
Enbridge Energy Partners LP 4.2% 9/15/21 |
|
13,331,000 |
14,232,496 |
|
Encana Holdings Finance Corp. 5.8% 5/1/14 |
|
3,602,000 |
3,870,558 |
|
Enterprise Products Operating LP: |
|
|
|
|
5.6% 10/15/14 |
|
483,000 |
529,041 |
|
5.65% 4/1/13 |
|
697,000 |
714,672 |
|
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 9/1/22 (f) |
|
545,000 |
545,000 |
|
Frontier Oil Corp.: |
|
|
|
|
6.875% 11/15/18 |
|
485,000 |
515,313 |
|
8.5% 9/15/16 |
|
1,950,000 |
2,035,410 |
|
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (f) |
|
221,000 |
258,158 |
|
KazMunaiGaz Finance Sub BV: |
|
|
|
|
6.375% 4/9/21 (f) |
|
850,000 |
1,012,605 |
|
7% 5/5/20 (f) |
|
1,635,000 |
1,996,826 |
|
9.125% 7/2/18 (f) |
|
1,855,000 |
2,418,549 |
|
11.75% 1/23/15 (f) |
|
1,440,000 |
1,737,072 |
|
LINN Energy LLC/LINN Energy Finance Corp.: |
|
|
|
|
6.5% 5/15/19 (f) |
|
3,790,000 |
3,780,525 |
|
8.625% 4/15/20 |
|
2,685,000 |
2,899,800 |
|
Marathon Petroleum Corp. 5.125% 3/1/21 |
|
10,178,000 |
11,703,051 |
|
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (f) |
|
10,834,000 |
11,175,293 |
|
Motiva Enterprises LLC: |
|
|
|
|
5.75% 1/15/20 (f) |
|
4,187,000 |
5,017,525 |
|
6.85% 1/15/40 (f) |
|
5,937,000 |
7,828,012 |
|
Naftogaz of Ukraine NJSC 9.5% 9/30/14 |
|
1,930,000 |
1,913,016 |
|
Nakilat, Inc. 6.067% 12/31/33 (f) |
|
1,975,000 |
2,335,438 |
|
Newfield Exploration Co. 5.625% 7/1/24 |
|
850,000 |
922,250 |
|
Nexen, Inc. 5.2% 3/10/15 |
|
1,133,000 |
1,233,204 |
|
OGX Petroleo e Gas Participacoes SA 8.5% 6/1/18 (f) |
|
1,755,000 |
1,553,175 |
|
Pacific Rubiales Energy Corp. 7.25% 12/12/21 (f) |
|
1,826,000 |
2,127,290 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
ENERGY - continued |
||||
Oil, Gas & Consumable Fuels - continued |
||||
Pan American Energy LLC 7.875% 5/7/21 (f) |
|
$ 2,795,000 |
$ 2,417,675 |
|
PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20 (f) |
|
1,775,000 |
1,863,750 |
|
Pemex Project Funding Master Trust: |
|
|
|
|
5.75% 3/1/18 |
|
645,000 |
744,975 |
|
6.625% 6/15/35 |
|
1,470,000 |
1,826,475 |
|
Petro-Canada 6.05% 5/15/18 |
|
3,850,000 |
4,693,323 |
|
PetroBakken Energy Ltd. 8.625% 2/1/20 (f) |
|
1,420,000 |
1,451,950 |
|
Petrobras International Finance Co. Ltd.: |
|
|
|
|
3.875% 1/27/16 |
|
10,192,000 |
10,701,447 |
|
5.375% 1/27/21 |
|
20,889,000 |
23,245,906 |
|
5.75% 1/20/20 |
|
6,930,000 |
7,809,472 |
|
6.875% 1/20/40 |
|
570,000 |
713,697 |
|
7.875% 3/15/19 |
|
10,517,000 |
13,040,270 |
|
8.375% 12/10/18 |
|
775,000 |
976,771 |
|
Petrohawk Energy Corp.: |
|
|
|
|
6.25% 6/1/19 |
|
1,290,000 |
1,451,250 |
|
7.25% 8/15/18 |
|
1,330,000 |
1,506,225 |
|
Petroleos de Venezuela SA: |
|
|
|
|
4.9% 10/28/14 |
|
4,315,000 |
3,872,713 |
|
5% 10/28/15 |
|
990,000 |
829,125 |
|
5.375% 4/12/27 |
|
1,145,000 |
704,175 |
|
5.5% 4/12/37 |
|
780,000 |
468,000 |
|
8% 11/17/13 |
|
415,000 |
416,453 |
|
8.5% 11/2/17 (f) |
|
7,980,000 |
7,082,250 |
|
9% 11/17/21 (Reg. S) |
|
2,265,000 |
1,868,625 |
|
12.75% 2/17/22 (f) |
|
3,580,000 |
3,588,950 |
|
Petroleos Mexicanos: |
|
|
|
|
4.875% 1/24/22 (f) |
|
12,332,000 |
13,842,670 |
|
5.5% 1/21/21 |
|
12,069,000 |
14,090,558 |
|
5.5% 6/27/44 (f) |
|
14,012,000 |
15,238,050 |
|
6% 3/5/20 |
|
1,108,000 |
1,321,290 |
|
6.5% 6/2/41 |
|
350,000 |
432,250 |
|
6.5% 6/2/41 (f) |
|
28,669,000 |
35,621,233 |
|
6.625% (f)(g) |
|
3,125,000 |
3,281,250 |
|
8% 5/3/19 |
|
420,000 |
548,100 |
|
Phillips 66: |
|
|
|
|
4.3% 4/1/22 (f) |
|
12,618,000 |
13,750,781 |
|
5.875% 5/1/42 (f) |
|
10,804,000 |
12,771,830 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
ENERGY - continued |
||||
Oil, Gas & Consumable Fuels - continued |
||||
Plains All American Pipeline LP/PAA Finance Corp.: |
|
|
|
|
3.65% 6/1/22 |
|
$ 5,217,000 |
$ 5,515,637 |
|
3.95% 9/15/15 |
|
5,869,000 |
6,344,682 |
|
4.25% 9/1/12 |
|
485,000 |
485,000 |
|
6.125% 1/15/17 |
|
6,185,000 |
7,334,717 |
|
Plains Exploration & Production Co. 6.125% 6/15/19 |
|
2,250,000 |
2,373,750 |
|
PT Adaro Indonesia 7.625% 10/22/19 (f) |
|
1,000,000 |
1,075,020 |
|
PT Pertamina Persero: |
|
|
|
|
4.875% 5/3/22 (f) |
|
845,000 |
899,925 |
|
5.25% 5/23/21 (f) |
|
815,000 |
886,313 |
|
6% 5/3/42 (f) |
|
845,000 |
912,600 |
|
6.5% 5/27/41 (f) |
|
1,000,000 |
1,127,500 |
|
Quicksilver Resources, Inc. 7.125% 4/1/16 |
|
2,695,000 |
2,169,475 |
|
Ras Laffan Liquefied Natural Gas Co. Ltd. III: |
|
|
|
|
4.5% 9/30/12 (f) |
|
4,773,000 |
4,773,000 |
|
5.5% 9/30/14 (f) |
|
6,670,000 |
7,186,925 |
|
5.832% 9/30/16 (f) |
|
1,191,093 |
1,298,291 |
|
6.75% 9/30/19 (f) |
|
4,366,000 |
5,413,840 |
|
Rockies Express Pipeline LLC 6.25% 7/15/13 (f) |
|
3,392,000 |
3,493,760 |
|
Samson Investment Co. 9.75% 2/15/20 (f) |
|
2,855,000 |
2,940,650 |
|
Ship Finance International Ltd. 8.5% 12/15/13 |
|
575,000 |
573,563 |
|
Southeast Supply Header LLC 4.85% 8/15/14 (f) |
|
367,000 |
385,755 |
|
Spectra Energy Capital, LLC 5.65% 3/1/20 |
|
308,000 |
355,155 |
|
Spectra Energy Partners, LP: |
|
|
|
|
2.95% 6/15/16 |
|
4,717,000 |
4,812,972 |
|
4.6% 6/15/21 |
|
2,694,000 |
2,926,080 |
|
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: |
|
|
|
|
6.375% 8/1/22 (f) |
|
560,000 |
583,800 |
|
6.875% 2/1/21 |
|
685,000 |
736,375 |
|
7.875% 10/15/18 |
|
2,205,000 |
2,403,450 |
|
TransCapitalInvest Ltd. 5.67% 3/5/14 (f) |
|
4,317,000 |
4,565,228 |
|
Western Gas Partners LP 5.375% 6/1/21 |
|
14,766,000 |
16,399,563 |
|
Williams Partners LP 4.125% 11/15/20 |
|
2,399,000 |
2,598,537 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
ENERGY - continued |
||||
Oil, Gas & Consumable Fuels - continued |
||||
WPX Energy, Inc.: |
|
|
|
|
5.25% 1/15/17 |
|
$ 610,000 |
$ 642,025 |
|
6% 1/15/22 |
|
1,130,000 |
1,194,975 |
|
|
473,213,444 |
|||
TOTAL ENERGY |
568,221,898 |
|||
FINANCIALS - 8.2% |
||||
Capital Markets - 0.9% |
||||
BlackRock, Inc.: |
|
|
|
|
3.375% 6/1/22 |
|
7,840,000 |
8,295,002 |
|
4.25% 5/24/21 |
|
5,000,000 |
5,634,190 |
|
Goldman Sachs Group, Inc.: |
|
|
|
|
5.25% 7/27/21 |
|
17,105,000 |
18,199,515 |
|
5.625% 1/15/17 |
|
3,200,000 |
3,468,067 |
|
5.75% 1/24/22 |
|
23,446,000 |
25,888,839 |
|
5.95% 1/18/18 |
|
4,975,000 |
5,596,726 |
|
6.75% 10/1/37 |
|
9,643,000 |
10,053,628 |
|
Lazard Group LLC: |
|
|
|
|
6.85% 6/15/17 |
|
4,817,000 |
5,434,082 |
|
7.125% 5/15/15 |
|
1,717,000 |
1,884,109 |
|
Merrill Lynch & Co., Inc. 6.11% 1/29/37 |
|
4,768,000 |
4,794,181 |
|
Morgan Stanley: |
|
|
|
|
4.75% 4/1/14 |
|
5,820,000 |
5,990,427 |
|
5.5% 7/28/21 |
|
7,569,000 |
7,764,939 |
|
5.625% 9/23/19 |
|
12,714,000 |
13,163,186 |
|
5.75% 1/25/21 |
|
5,048,000 |
5,216,088 |
|
6% 4/28/15 |
|
1,414,000 |
1,506,416 |
|
6.625% 4/1/18 |
|
16,118,000 |
17,802,315 |
|
|
140,691,710 |
|||
Commercial Banks - 1.5% |
||||
Access Finance BV 7.25% 7/25/17 (f) |
|
670,000 |
686,750 |
|
Akbank T.A.S. 5.125% 7/22/15 (f) |
|
1,615,000 |
1,669,506 |
|
Banco Nacional de Desenvolvimento Economico e Social 6.5% 6/10/19 (f) |
|
325,000 |
396,500 |
|
Bank of America NA 5.3% 3/15/17 |
|
3,467,000 |
3,774,010 |
|
BBVA Paraguay SA 9.75% 2/11/16 (f) |
|
995,000 |
1,027,338 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Commercial Banks - continued |
||||
CIT Group, Inc.: |
|
|
|
|
4.25% 8/15/17 |
|
$ 1,705,000 |
$ 1,717,788 |
|
4.75% 2/15/15 (f) |
|
2,175,000 |
2,262,000 |
|
5% 5/15/17 |
|
2,135,000 |
2,215,063 |
|
5.25% 3/15/18 |
|
1,485,000 |
1,548,113 |
|
5.375% 5/15/20 |
|
1,425,000 |
1,471,313 |
|
5.5% 2/15/19 (f) |
|
2,175,000 |
2,267,438 |
|
7% 5/2/16 (f) |
|
2,884,195 |
2,884,195 |
|
7% 5/2/17 (f) |
|
2,479,680 |
2,479,680 |
|
Credit Suisse New York Branch 6% 2/15/18 |
|
16,785,000 |
18,642,797 |
|
Development Bank of Philippines 8.375% (g)(l) |
|
1,655,000 |
1,803,950 |
|
Discover Bank: |
|
|
|
|
7% 4/15/20 |
|
2,030,000 |
2,389,119 |
|
8.7% 11/18/19 |
|
12,480,000 |
15,801,090 |
|
Eastern and Southern African Trade and Development Bank 6.875% 1/9/16 (Reg. S) |
|
870,000 |
874,350 |
|
Fifth Third Bancorp: |
|
|
|
|
4.5% 6/1/18 |
|
798,000 |
865,741 |
|
8.25% 3/1/38 |
|
4,667,000 |
6,524,704 |
|
Fifth Third Bank 4.75% 2/1/15 |
|
1,329,000 |
1,416,784 |
|
Fifth Third Capital Trust IV 6.5% 4/15/67 (l) |
|
6,912,000 |
6,912,000 |
|
Georgia Bank Joint Stock Co. 7.75% 7/5/17 (f) |
|
1,000,000 |
1,007,500 |
|
HBOS PLC 6.75% 5/21/18 (f) |
|
6,067,000 |
5,986,546 |
|
HSBC Holdings PLC 4% 3/30/22 |
|
12,331,000 |
13,229,720 |
|
HSBK (Europe) BV: |
|
|
|
|
7.25% 5/3/17 (f) |
|
1,435,000 |
1,492,400 |
|
9.25% 10/16/13 (f) |
|
760,000 |
803,700 |
|
Huntington Bancshares, Inc. 7% 12/15/20 |
|
2,851,000 |
3,403,247 |
|
JPMorgan Chase Bank 6% 10/1/17 |
|
11,313,000 |
13,320,933 |
|
JSC Kazkommertsbank BV 8% 11/3/15 (f) |
|
1,040,000 |
969,800 |
|
Kazkommerts International BV 7.875% 4/7/14 (Reg. S) |
|
405,000 |
401,963 |
|
KeyBank NA: |
|
|
|
|
5.45% 3/3/16 |
|
3,939,000 |
4,404,590 |
|
5.8% 7/1/14 |
|
9,490,000 |
10,170,091 |
|
6.95% 2/1/28 |
|
1,977,000 |
2,374,241 |
|
Marshall & Ilsley Bank: |
|
|
|
|
4.85% 6/16/15 |
|
4,520,000 |
4,873,514 |
|
5% 1/17/17 |
|
13,700,000 |
15,358,440 |
|
5.25% 9/4/12 |
|
3,162,000 |
3,162,000 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Commercial Banks - continued |
||||
Regions Bank: |
|
|
|
|
6.45% 6/26/37 |
|
$ 17,999,000 |
$ 18,021,499 |
|
7.5% 5/15/18 |
|
6,622,000 |
7,714,630 |
|
Regions Financial Corp.: |
|
|
|
|
5.75% 6/15/15 |
|
2,005,000 |
2,130,313 |
|
7.75% 11/10/14 |
|
6,404,000 |
7,093,711 |
|
RSHB Capital SA: |
|
|
|
|
6% 6/3/21 (f) |
|
555,000 |
560,550 |
|
9% 6/11/14 (f) |
|
510,000 |
563,550 |
|
SSB #1 PLC 8.25% 3/10/16 |
|
450,000 |
398,250 |
|
The State Export-Import Bank of Ukraine JSC 5.7928% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (e) |
|
1,435,000 |
1,119,300 |
|
Trade & Development Bank of Mongolia LLC 8.5% 10/25/13 |
|
880,000 |
891,000 |
|
UnionBanCal Corp. 5.25% 12/16/13 |
|
826,000 |
864,736 |
|
Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) |
|
2,475,000 |
2,694,533 |
|
Vnesheconombank Via VEB Finance PLC 6.025% 7/5/22 (f) |
|
705,000 |
777,263 |
|
Wachovia Corp.: |
|
|
|
|
5.625% 10/15/16 |
|
4,239,000 |
4,881,327 |
|
5.75% 6/15/17 |
|
2,933,000 |
3,500,324 |
|
Wells Fargo & Co.: |
|
|
|
|
3.625% 4/15/15 |
|
5,893,000 |
6,302,387 |
|
3.676% 6/15/16 |
|
4,301,000 |
4,679,140 |
|
Yapi ve Kredi Bankasi A/S 6.75% 2/8/17 (f) |
|
1,060,000 |
1,144,800 |
|
|
223,926,227 |
|||
Consumer Finance - 0.6% |
||||
Ally Financial, Inc.: |
|
|
|
|
3.6375% 2/11/14 (l) |
|
2,895,000 |
2,905,856 |
|
4.625% 6/26/15 |
|
2,605,000 |
2,673,413 |
|
5.5% 2/15/17 |
|
2,785,000 |
2,882,475 |
|
Discover Financial Services: |
|
|
|
|
5.2% 4/27/22 |
|
12,545,000 |
13,343,213 |
|
6.45% 6/12/17 |
|
10,366,000 |
11,744,315 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Consumer Finance - continued |
||||
Ford Motor Credit Co. LLC: |
|
|
|
|
3.875% 1/15/15 |
|
$ 5,000,000 |
$ 5,202,710 |
|
5% 5/15/18 |
|
2,390,000 |
2,572,316 |
|
5.875% 8/2/21 |
|
1,400,000 |
1,546,170 |
|
12% 5/15/15 |
|
2,440,000 |
3,037,800 |
|
General Electric Capital Corp.: |
|
|
|
|
2.25% 11/9/15 |
|
314,000 |
324,806 |
|
4.625% 1/7/21 |
|
5,706,000 |
6,451,226 |
|
5.625% 9/15/17 |
|
5,858,000 |
6,922,779 |
|
5.625% 5/1/18 |
|
25,000,000 |
29,610,375 |
|
|
89,217,454 |
|||
Diversified Financial Services - 1.8% |
||||
Aquarius Investments Luxemburg 8.25% 2/18/16 |
|
1,225,000 |
1,323,000 |
|
Bank of America Corp.: |
|
|
|
|
3.875% 3/22/17 |
|
3,134,000 |
3,302,412 |
|
5.65% 5/1/18 |
|
8,780,000 |
9,810,245 |
|
5.7% 1/24/22 |
|
6,876,000 |
7,780,985 |
|
5.75% 12/1/17 |
|
21,955,000 |
24,551,179 |
|
6.5% 8/1/16 |
|
9,000,000 |
10,264,581 |
|
Biz Finance PLC 8.375% 4/27/15 (Reg. S) |
|
1,525,000 |
1,437,313 |
|
BP Capital Markets PLC: |
|
|
|
|
3.625% 5/8/14 |
|
418,000 |
438,804 |
|
4.5% 10/1/20 |
|
650,000 |
756,685 |
|
4.742% 3/11/21 |
|
8,800,000 |
10,331,842 |
|
Capital One Capital V 10.25% 8/15/39 |
|
12,196,000 |
12,561,880 |
|
CIT Group, Inc. 6.625% 4/1/18 (f) |
|
1,215,000 |
1,333,463 |
|
Citigroup, Inc.: |
|
|
|
|
3.953% 6/15/16 |
|
11,847,000 |
12,496,784 |
|
4.75% 5/19/15 |
|
25,881,000 |
27,784,133 |
|
5.875% 1/30/42 |
|
10,423,000 |
12,258,980 |
|
6.125% 5/15/18 |
|
12,245,000 |
14,202,976 |
|
6.5% 8/19/13 |
|
13,174,000 |
13,855,056 |
|
Everest Acquisition LLC / Everest Acquisition Finance, Inc. 9.375% 5/1/20 (f) |
|
1,915,000 |
2,077,775 |
|
Fibria Overseas Finance Ltd. 6.75% 3/3/21 (f) |
|
350,000 |
367,500 |
|
General Motors Financial Co., Inc.: |
|
|
|
|
4.75% 8/15/17 (f) |
|
1,775,000 |
1,779,438 |
|
6.75% 6/1/18 |
|
1,500,000 |
1,650,000 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Diversified Financial Services - continued |
||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: |
|
|
|
|
7.75% 1/15/16 |
|
$ 2,715,000 |
$ 2,850,750 |
|
8% 1/15/18 |
|
5,880,000 |
6,262,200 |
|
8% 1/15/18 (f) |
|
620,000 |
658,750 |
|
ILFC E-Capital Trust II 6.25% 12/21/65 (f)(l) |
|
1,250,000 |
875,000 |
|
Indo Energy Finance BV 7% 5/7/18 (f) |
|
1,000,000 |
1,015,000 |
|
JPMorgan Chase & Co.: |
|
|
|
|
2% 8/15/17 |
|
11,000,000 |
11,086,383 |
|
4.35% 8/15/21 |
|
13,339,000 |
14,628,935 |
|
4.5% 1/24/22 |
|
22,046,000 |
24,497,978 |
|
4.95% 3/25/20 |
|
17,148,000 |
19,650,716 |
|
Magnesita Finance Ltd. 8.625% (f)(g) |
|
650,000 |
666,250 |
|
NSG Holdings II, LLC 7.75% 12/15/25 (f) |
|
8,295,000 |
8,460,900 |
|
Sunwest Management, Inc. 7.9726% 2/10/15 |
|
364,436 |
331,637 |
|
TECO Finance, Inc.: |
|
|
|
|
4% 3/15/16 |
|
2,562,000 |
2,778,069 |
|
5.15% 3/15/20 |
|
3,761,000 |
4,383,829 |
|
TMK Capital SA 7.75% 1/27/18 |
|
1,450,000 |
1,435,500 |
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 8.125% 12/1/17 (f) |
|
370,000 |
401,450 |
|
UPCB Finance III Ltd. 6.625% 7/1/20 (f) |
|
3,305,000 |
3,445,463 |
|
Vnesheconombank Via VEB Finance PLC: |
|
|
|
|
5.375% 2/13/17 (f) |
|
735,000 |
788,288 |
|
6.8% 11/22/25 (f) |
|
605,000 |
703,313 |
|
6.902% 7/9/20 (f) |
|
715,000 |
831,188 |
|
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (f)(l) |
|
1,211,391 |
829,012 |
|
Zhaikmunai Finance BV 10.5% 10/19/15 (f) |
|
2,135,000 |
2,228,406 |
|
|
279,174,048 |
|||
Insurance - 1.3% |
||||
Allstate Corp. 6.2% 5/16/14 |
|
6,893,000 |
7,529,417 |
|
American International Group, Inc. 4.875% 9/15/16 |
|
7,990,000 |
8,759,485 |
|
Aon Corp.: |
|
|
|
|
3.125% 5/27/16 |
|
11,274,000 |
11,908,670 |
|
3.5% 9/30/15 |
|
4,451,000 |
4,693,068 |
|
5% 9/30/20 |
|
3,854,000 |
4,419,497 |
|
Axis Capital Holdings Ltd. 5.75% 12/1/14 |
|
558,000 |
600,362 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Insurance - continued |
||||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(l) |
|
$ 1,859,000 |
$ 1,896,180 |
|
Hartford Financial Services Group, Inc.: |
|
|
|
|
5.125% 4/15/22 |
|
12,729,000 |
13,689,963 |
|
5.375% 3/15/17 |
|
194,000 |
212,216 |
|
6.625% 4/15/42 |
|
9,473,000 |
10,665,168 |
|
Liberty Mutual Group, Inc.: |
|
|
|
|
5% 6/1/21 (f) |
|
12,644,000 |
13,279,285 |
|
6.5% 3/15/35 (f) |
|
1,741,000 |
1,868,868 |
|
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 |
|
7,090,000 |
7,964,346 |
|
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (f) |
|
7,139,000 |
8,141,066 |
|
MetLife, Inc.: |
|
|
|
|
4.75% 2/8/21 |
|
4,032,000 |
4,666,330 |
|
5% 6/15/15 |
|
1,163,000 |
1,291,917 |
|
6.75% 6/1/16 |
|
7,610,000 |
9,101,195 |
|
Metropolitan Life Global Funding I 5.125% 4/10/13 (f) |
|
559,000 |
574,103 |
|
Monumental Global Funding III 5.5% 4/22/13 (f) |
|
2,746,000 |
2,812,275 |
|
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (f) |
|
6,155,000 |
7,925,750 |
|
Pacific Life Insurance Co. 9.25% 6/15/39 (f) |
|
5,674,000 |
7,726,405 |
|
Pacific LifeCorp 6% 2/10/20 (f) |
|
6,323,000 |
7,041,286 |
|
Prudential Financial, Inc.: |
|
|
|
|
3.625% 9/17/12 |
|
11,000,000 |
11,011,264 |
|
4.5% 11/16/21 |
|
6,390,000 |
7,045,288 |
|
5.15% 1/15/13 |
|
2,966,000 |
3,014,031 |
|
5.8% 11/16/41 |
|
8,381,000 |
9,608,096 |
|
6.2% 11/15/40 |
|
4,318,000 |
5,091,989 |
|
7.375% 6/15/19 |
|
3,230,000 |
4,067,077 |
|
Symetra Financial Corp. 6.125% 4/1/16 (f) |
|
6,375,000 |
6,935,547 |
|
Unum Group: |
|
|
|
|
5.625% 9/15/20 |
|
8,386,000 |
9,263,201 |
|
5.75% 8/15/42 |
|
11,125,000 |
11,471,099 |
|
7.125% 9/30/16 |
|
587,000 |
683,607 |
|
|
204,958,051 |
|||
Real Estate Investment Trusts - 0.8% |
||||
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22 |
|
4,025,000 |
4,242,426 |
|
AvalonBay Communities, Inc. 4.95% 3/15/13 |
|
367,000 |
374,541 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Real Estate Investment Trusts - continued |
||||
Boston Properties, Inc. 3.85% 2/1/23 |
|
$ 8,745,000 |
$ 9,154,808 |
|
BRE Properties, Inc. 5.5% 3/15/17 |
|
661,000 |
750,399 |
|
Camden Property Trust: |
|
|
|
|
5.375% 12/15/13 |
|
4,073,000 |
4,275,306 |
|
5.875% 11/30/12 |
|
670,000 |
677,775 |
|
DDR Corp. 4.625% 7/15/22 |
|
4,746,000 |
4,921,754 |
|
Developers Diversified Realty Corp.: |
|
|
|
|
4.75% 4/15/18 |
|
9,273,000 |
9,939,794 |
|
7.5% 4/1/17 |
|
5,574,000 |
6,524,975 |
|
7.875% 9/1/20 |
|
323,000 |
400,278 |
|
Duke Realty LP: |
|
|
|
|
4.375% 6/15/22 |
|
7,323,000 |
7,654,944 |
|
4.625% 5/15/13 |
|
1,106,000 |
1,128,395 |
|
5.4% 8/15/14 |
|
5,561,000 |
5,932,658 |
|
5.95% 2/15/17 |
|
1,109,000 |
1,247,365 |
|
6.25% 5/15/13 |
|
14,494,000 |
14,933,371 |
|
6.5% 1/15/18 |
|
3,795,000 |
4,400,310 |
|
6.75% 3/15/20 |
|
10,379,000 |
12,507,411 |
|
8.25% 8/15/19 |
|
75,000 |
94,849 |
|
Equity One, Inc.: |
|
|
|
|
5.375% 10/15/15 |
|
1,403,000 |
1,514,439 |
|
6% 9/15/17 |
|
890,000 |
990,274 |
|
6.25% 12/15/14 |
|
6,140,000 |
6,656,073 |
|
6.25% 1/15/17 |
|
494,000 |
550,920 |
|
Federal Realty Investment Trust: |
|
|
|
|
5.4% 12/1/13 |
|
441,000 |
463,493 |
|
5.9% 4/1/20 |
|
2,504,000 |
2,997,458 |
|
6.2% 1/15/17 |
|
620,000 |
721,583 |
|
Highwoods/Forsyth LP 5.85% 3/15/17 |
|
615,000 |
672,676 |
|
HMB Capital Trust V 4.0679% 12/15/36 (c)(f)(l) |
|
270,000 |
0 |
|
HRPT Properties Trust: |
|
|
|
|
5.75% 11/1/15 |
|
2,386,000 |
2,506,347 |
|
6.25% 6/15/17 |
|
1,232,000 |
1,352,269 |
|
6.65% 1/15/18 |
|
867,000 |
962,083 |
|
MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21 |
|
1,760,000 |
1,914,000 |
|
Omega Healthcare Investors, Inc.: |
|
|
|
|
5.875% 3/15/24 (f) |
|
290,000 |
310,300 |
|
6.75% 10/15/22 |
|
1,690,000 |
1,863,225 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Real Estate Investment Trusts - continued |
||||
Senior Housing Properties Trust 6.75% 4/15/20 |
|
$ 855,000 |
$ 950,841 |
|
UDR, Inc. 5.5% 4/1/14 |
|
5,222,000 |
5,508,923 |
|
Washington (REIT) 5.25% 1/15/14 |
|
322,000 |
336,044 |
|
|
119,432,307 |
|||
Real Estate Management & Development - 1.3% |
||||
AMB Property LP 5.9% 8/15/13 |
|
2,580,000 |
2,671,714 |
|
BioMed Realty LP: |
|
|
|
|
3.85% 4/15/16 |
|
11,000,000 |
11,496,342 |
|
4.25% 7/15/22 |
|
5,809,000 |
6,063,760 |
|
6.125% 4/15/20 |
|
3,429,000 |
3,999,870 |
|
Brandywine Operating Partnership LP 5.7% 5/1/17 |
|
7,049,000 |
7,698,735 |
|
CB Richard Ellis Services, Inc. 6.625% 10/15/20 |
|
1,175,000 |
1,280,750 |
|
Colonial Realty LP 6.05% 9/1/16 |
|
2,000,000 |
2,189,528 |
|
Digital Realty Trust LP: |
|
|
|
|
4.5% 7/15/15 |
|
4,981,000 |
5,276,239 |
|
5.25% 3/15/21 |
|
5,708,000 |
6,304,520 |
|
ERP Operating LP: |
|
|
|
|
4.625% 12/15/21 |
|
22,997,000 |
26,376,777 |
|
4.75% 7/15/20 |
|
7,700,000 |
8,721,621 |
|
5.25% 9/15/14 |
|
1,310,000 |
1,415,054 |
|
5.375% 8/1/16 |
|
2,768,000 |
3,152,414 |
|
5.5% 10/1/12 |
|
3,690,000 |
3,702,207 |
|
5.75% 6/15/17 |
|
14,407,000 |
16,975,696 |
|
Forest City Enterprises, Inc.: |
|
|
|
|
6.5% 2/1/17 |
|
450,000 |
434,250 |
|
7.625% 6/1/15 |
|
260,000 |
258,538 |
|
Host Hotels & Resorts LP: |
|
|
|
|
4.75% 3/1/23 |
|
945,000 |
968,625 |
|
5.875% 6/15/19 |
|
2,150,000 |
2,359,625 |
|
6% 11/1/20 |
|
105,000 |
116,025 |
|
Liberty Property LP: |
|
|
|
|
4.125% 6/15/22 |
|
6,280,000 |
6,516,536 |
|
4.75% 10/1/20 |
|
11,282,000 |
12,293,578 |
|
5.125% 3/2/15 |
|
1,405,000 |
1,509,559 |
|
5.5% 12/15/16 |
|
1,891,000 |
2,120,966 |
|
6.625% 10/1/17 |
|
4,835,000 |
5,682,517 |
|
Mack-Cali Realty LP: |
|
|
|
|
4.5% 4/18/22 |
|
4,072,000 |
4,316,328 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
FINANCIALS - continued |
||||
Real Estate Management & Development - continued |
||||
Mack-Cali Realty LP: - continued |
|
|
|
|
7.75% 8/15/19 |
|
$ 700,000 |
$ 859,956 |
|
Post Apartment Homes LP 6.3% 6/1/13 |
|
3,812,000 |
3,920,650 |
|
Prime Property Funding, Inc.: |
|
|
|
|
5.125% 6/1/15 (f) |
|
2,806,000 |
2,862,572 |
|
5.5% 1/15/14 (f) |
|
867,000 |
887,875 |
|
5.7% 4/15/17 (f) |
|
2,115,000 |
2,212,030 |
|
Realogy Corp. 7.625% 1/15/20 (f) |
|
965,000 |
1,043,358 |
|
Reckson Operating Partnership LP 6% 3/31/16 |
|
3,651,000 |
3,906,241 |
|
Regency Centers LP: |
|
|
|
|
4.95% 4/15/14 |
|
611,000 |
641,086 |
|
5.25% 8/1/15 |
|
2,133,000 |
2,321,649 |
|
5.875% 6/15/17 |
|
1,089,000 |
1,251,667 |
|
Simon Property Group LP: |
|
|
|
|
2.8% 1/30/17 |
|
2,603,000 |
2,729,766 |
|
4.125% 12/1/21 |
|
7,287,000 |
8,035,338 |
|
4.2% 2/1/15 |
|
3,659,000 |
3,902,675 |
|
Tanger Properties LP: |
|
|
|
|
6.125% 6/1/20 |
|
14,318,000 |
16,991,214 |
|
6.15% 11/15/15 |
|
1,777,000 |
1,983,802 |
|
Ventas Realty LP 4.25% 3/1/22 |
|
300,000 |
320,985 |
|
|
197,772,638 |
|||
Thrifts & Mortgage Finance - 0.0% |
||||
Wrightwood Capital LLC 1.9% 4/20/20 (c) |
|
112,350 |
57,299 |
|
TOTAL FINANCIALS |
1,255,229,734 |
|||
HEALTH CARE - 0.7% |
||||
Biotechnology - 0.1% |
||||
Amgen, Inc. 5.15% 11/15/41 |
|
12,000,000 |
13,123,128 |
|
Celgene Corp. 2.45% 10/15/15 |
|
613,000 |
634,536 |
|
|
13,757,664 |
|||
Health Care Equipment & Supplies - 0.0% |
||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. 7.75% 2/15/19 |
|
435,000 |
454,575 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
HEALTH CARE - continued |
||||
Health Care Equipment & Supplies - continued |
||||
DJO Finance LLC/DJO Finance Corp.: |
|
|
|
|
7.75% 4/15/18 |
|
$ 925,000 |
$ 846,375 |
|
10.875% 11/15/14 |
|
4,115,000 |
4,269,313 |
|
|
5,570,263 |
|||
Health Care Providers & Services - 0.5% |
||||
Aristotle Holding, Inc. 4.75% 11/15/21 (f) |
|
22,009,000 |
25,401,401 |
|
Community Health Systems, Inc. 5.125% 8/15/18 |
|
785,000 |
809,531 |
|
Coventry Health Care, Inc.: |
|
|
|
|
5.95% 3/15/17 |
|
1,747,000 |
2,043,040 |
|
6.3% 8/15/14 |
|
3,618,000 |
3,921,594 |
|
DaVita, Inc. 5.75% 8/15/22 |
|
2,280,000 |
2,371,200 |
|
Emergency Medical Services Corp. 8.125% 6/1/19 |
|
4,610,000 |
4,921,175 |
|
Express Scripts, Inc.: |
|
|
|
|
3.125% 5/15/16 |
|
10,525,000 |
11,190,338 |
|
6.25% 6/15/14 |
|
2,629,000 |
2,872,253 |
|
Fresenius Medical Care US Finance II, Inc. 5.625% 7/31/19 (f) |
|
2,315,000 |
2,477,050 |
|
HealthSouth Corp. 7.25% 10/1/18 |
|
3,300,000 |
3,605,250 |
|
IASIS Healthcare LLC/IASIS Capital Corp. 8.375% 5/15/19 |
|
2,895,000 |
2,750,250 |
|
Medco Health Solutions, Inc.: |
|
|
|
|
2.75% 9/15/15 |
|
1,176,000 |
1,230,241 |
|
4.125% 9/15/20 |
|
7,486,000 |
8,136,638 |
|
Radiation Therapy Services, Inc. 8.875% 1/15/17 |
|
790,000 |
754,450 |
|
Rural/Metro Corp. 10.125% 7/15/19 (f) |
|
740,000 |
728,900 |
|
Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18 |
|
2,580,000 |
2,805,750 |
|
|
76,019,061 |
|||
Pharmaceuticals - 0.1% |
||||
Mylan, Inc. 6% 11/15/18 (f) |
|
3,030,000 |
3,226,950 |
|
Valeant Pharmaceuticals International: |
|
|
|
|
6.5% 7/15/16 (f) |
|
4,500,000 |
4,747,500 |
|
6.875% 12/1/18 (f) |
|
3,440,000 |
3,620,600 |
|
7% 10/1/20 (f) |
|
255,000 |
263,925 |
|
Watson Pharmaceuticals, Inc. 5% 8/15/14 |
|
720,000 |
766,211 |
|
|
12,625,186 |
|||
TOTAL HEALTH CARE |
107,972,174 |
|||
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
INDUSTRIALS - 1.0% |
||||
Aerospace & Defense - 0.3% |
||||
BAE Systems Holdings, Inc.: |
|
|
|
|
4.95% 6/1/14 (f) |
|
$ 572,000 |
$ 602,868 |
|
6.375% 6/1/19 (f) |
|
8,071,000 |
9,637,630 |
|
Huntington Ingalls Industries, Inc. 6.875% 3/15/18 |
|
1,930,000 |
2,065,100 |
|
United Technologies Corp.: |
|
|
|
|
3.1% 6/1/22 |
|
13,132,000 |
13,980,839 |
|
4.5% 6/1/42 |
|
13,132,000 |
14,949,154 |
|
|
41,235,591 |
|||
Airlines - 0.2% |
||||
Continental Airlines, Inc.: |
|
|
|
|
pass-thru trust certificates 9.798% 4/1/21 |
|
330,501 |
355,288 |
|
6.648% 3/15/19 |
|
2,794,815 |
2,948,530 |
|
6.75% 9/15/15 (f) |
|
4,585,000 |
4,722,550 |
|
6.9% 7/2/19 |
|
847,481 |
916,381 |
|
Continental Airlines, Inc. 9.25% 5/10/17 |
|
2,392,869 |
2,620,191 |
|
Delta Air Lines, Inc. pass-thru trust certificates: |
|
|
|
|
6.375% 1/2/16 |
|
1,515,000 |
1,515,000 |
|
6.75% 11/23/15 |
|
1,515,000 |
1,541,513 |
|
8.954% 8/10/14 |
|
1,740,005 |
1,770,455 |
|
Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17 |
|
640,173 |
663,412 |
|
U.S. Airways pass-thru trust certificates: |
|
|
|
|
6.85% 1/30/18 |
|
1,617,150 |
1,689,922 |
|
8.36% 1/20/19 |
|
1,337,073 |
1,450,724 |
|
United Air Lines, Inc. 9.875% 8/1/13 (f) |
|
629,000 |
646,298 |
|
United Air Lines, Inc. pass-thru trust certificates: |
|
|
|
|
Class B, 7.336% 7/2/19 |
|
767,799 |
740,926 |
|
9.75% 1/15/17 |
|
1,913,598 |
2,195,854 |
|
12% 1/15/16 (f) |
|
599,661 |
652,132 |
|
|
24,429,176 |
|||
Building Products - 0.1% |
||||
Building Materials Corp. of America 6.875% 8/15/18 (f) |
|
3,715,000 |
4,021,488 |
|
HD Supply, Inc.: |
|
|
|
|
8.125% 4/15/19 (f) |
|
3,460,000 |
3,762,750 |
|
11% 4/15/20 (f) |
|
955,000 |
1,050,500 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
INDUSTRIALS - continued |
||||
Building Products - continued |
||||
Masco Corp. 5.95% 3/15/22 |
|
$ 740,000 |
$ 799,033 |
|
USG Corp. 7.875% 3/30/20 (f) |
|
675,000 |
718,031 |
|
|
10,351,802 |
|||
Commercial Services & Supplies - 0.3% |
||||
ARAMARK Corp. 3.9446% 2/1/15 (l) |
|
5,440,000 |
5,426,400 |
|
ARAMARK Holdings Corp. 8.625% 5/1/16 pay-in-kind (f)(l) |
|
7,325,000 |
7,526,438 |
|
Clean Harbors, Inc. 5.25% 8/1/20 (f) |
|
555,000 |
569,569 |
|
Covanta Holding Corp. 7.25% 12/1/20 |
|
4,950,000 |
5,524,680 |
|
International Lease Finance Corp.: |
|
|
|
|
4.875% 4/1/15 |
|
2,370,000 |
2,462,430 |
|
5.75% 5/15/16 |
|
1,330,000 |
1,379,875 |
|
5.875% 8/15/22 |
|
1,830,000 |
1,830,000 |
|
6.25% 5/15/19 |
|
1,640,000 |
1,713,800 |
|
8.625% 9/15/15 |
|
2,745,000 |
3,074,400 |
|
8.75% 3/15/17 |
|
3,700,000 |
4,264,250 |
|
8.875% 9/1/17 |
|
1,665,000 |
1,931,400 |
|
WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (f) |
|
2,855,000 |
2,847,863 |
|
|
38,551,105 |
|||
Construction & Engineering - 0.0% |
||||
Amsted Industries, Inc. 8.125% 3/15/18 (f) |
|
1,850,000 |
1,998,000 |
|
Odebrecht Finance Ltd. 7.5% (f)(g) |
|
2,555,000 |
2,708,300 |
|
|
4,706,300 |
|||
Electrical Equipment - 0.0% |
||||
Instituto Costarricense de Electricidad 6.95% 11/10/21 (f) |
|
400,000 |
437,000 |
|
Industrial Conglomerates - 0.1% |
||||
General Electric Co. 5.25% 12/6/17 |
|
17,730,000 |
21,041,698 |
|
Marine - 0.0% |
||||
Navios Maritime Holdings, Inc. 8.875% 11/1/17 |
|
700,000 |
710,500 |
|
Professional Services - 0.0% |
||||
FTI Consulting, Inc. 6.75% 10/1/20 |
|
1,015,000 |
1,083,513 |
|
Road & Rail - 0.0% |
||||
Hertz Corp.: |
|
|
|
|
6.75% 4/15/19 |
|
1,310,000 |
1,378,775 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
INDUSTRIALS - continued |
||||
Road & Rail - continued |
||||
Hertz Corp.: - continued |
|
|
|
|
7.5% 10/15/18 |
|
$ 4,330,000 |
$ 4,665,575 |
|
JSC Georgian Railway 7.75% 7/11/22 (f) |
|
650,000 |
710,125 |
|
|
6,754,475 |
|||
Trading Companies & Distributors - 0.0% |
||||
Aircastle Ltd.: |
|
|
|
|
6.75% 4/15/17 |
|
1,410,000 |
1,522,800 |
|
9.75% 8/1/18 |
|
840,000 |
962,850 |
|
|
2,485,650 |
|||
Transportation Infrastructure - 0.0% |
||||
Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (f) |
|
1,405,300 |
1,363,141 |
|
TOTAL INDUSTRIALS |
153,149,951 |
|||
INFORMATION TECHNOLOGY - 0.2% |
||||
Communications Equipment - 0.1% |
||||
Avaya, Inc.: |
|
|
|
|
9.75% 11/1/15 |
|
2,930,000 |
2,534,450 |
|
10.125% 11/1/15 pay-in-kind (l) |
|
1,200,000 |
1,041,000 |
|
Lucent Technologies, Inc.: |
|
|
|
|
6.45% 3/15/29 |
|
8,010,000 |
5,166,450 |
|
6.5% 1/15/28 |
|
1,240,000 |
796,700 |
|
|
9,538,600 |
|||
Electronic Equipment & Components - 0.1% |
||||
Jabil Circuit, Inc. 4.7% 9/15/22 |
|
770,000 |
773,850 |
|
Sanmina-SCI Corp. 7% 5/15/19 (f) |
|
3,580,000 |
3,571,050 |
|
Tyco Electronics Group SA: |
|
|
|
|
5.95% 1/15/14 |
|
3,835,000 |
4,090,530 |
|
6% 10/1/12 |
|
4,835,000 |
4,853,900 |
|
6.55% 10/1/17 |
|
1,383,000 |
1,672,062 |
|
|
14,961,392 |
|||
Internet Software & Services - 0.0% |
||||
Equinix, Inc. 8.125% 3/1/18 |
|
630,000 |
697,725 |
|
IT Services - 0.0% |
||||
Audatex North America, Inc. 6.75% 6/15/18 (f) |
|
300,000 |
321,750 |
|
First Data Corp. 8.25% 1/15/21 (f) |
|
760,000 |
753,350 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
INFORMATION TECHNOLOGY - continued |
||||
IT Services - continued |
||||
SunGard Data Systems, Inc.: |
|
|
|
|
7.375% 11/15/18 |
|
$ 1,095,000 |
$ 1,164,752 |
|
10.25% 8/15/15 |
|
1,765,000 |
1,800,300 |
|
|
4,040,152 |
|||
Office Electronics - 0.0% |
||||
Xerox Corp.: |
|
|
|
|
4.25% 2/15/15 |
|
368,000 |
391,778 |
|
4.5% 5/15/21 |
|
4,102,000 |
4,311,723 |
|
|
4,703,501 |
|||
Semiconductors & Semiconductor Equipment - 0.0% |
||||
Amkor Technology, Inc. 7.375% 5/1/18 |
|
285,000 |
297,469 |
|
Spansion LLC 7.875% 11/15/17 |
|
3,465,000 |
3,378,375 |
|
Viasystems, Inc. 7.875% 5/1/19 (f) |
|
1,520,000 |
1,493,400 |
|
|
5,169,244 |
|||
Software - 0.0% |
||||
Nuance Communications, Inc. 5.375% 8/15/20 (f) |
|
395,000 |
404,381 |
|
TOTAL INFORMATION TECHNOLOGY |
39,514,995 |
|||
MATERIALS - 1.0% |
||||
Chemicals - 0.3% |
||||
Braskem America Finance Co. 7.125% 7/22/41 (f) |
|
735,000 |
764,400 |
|
Celanese US Holdings LLC 6.625% 10/15/18 |
|
1,935,000 |
2,133,338 |
|
Dow Chemical Co.: |
|
|
|
|
4.125% 11/15/21 |
|
10,888,000 |
11,929,154 |
|
4.25% 11/15/20 |
|
5,898,000 |
6,495,898 |
|
7.6% 5/15/14 |
|
16,974,000 |
18,836,608 |
|
INEOS Finance PLC: |
|
|
|
|
7.5% 5/1/20 (f) |
|
710,000 |
722,425 |
|
8.375% 2/15/19 (f) |
|
1,720,000 |
1,810,300 |
|
Kinove German Bondco GmbH 9.625% 6/15/18 (f) |
|
1,050,000 |
1,107,750 |
|
LyondellBasell Industries NV: |
|
|
|
|
5% 4/15/19 |
|
3,170,000 |
3,360,200 |
|
5.75% 4/15/24 |
|
1,480,000 |
1,679,800 |
|
6% 11/15/21 |
|
700,000 |
796,250 |
|
NOVA Chemicals Corp. 3.8549% 11/15/13 (l) |
|
2,720,000 |
2,720,000 |
|
|
52,356,123 |
|||
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
MATERIALS - continued |
||||
Construction Materials - 0.1% |
||||
CRH America, Inc. 6% 9/30/16 |
|
$ 2,286,000 |
$ 2,536,210 |
|
Headwaters, Inc. 7.625% 4/1/19 |
|
2,695,000 |
2,695,000 |
|
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (f) |
|
940,000 |
1,024,600 |
|
Texas Industries, Inc. 9.25% 8/15/20 |
|
1,605,000 |
1,701,300 |
|
|
7,957,110 |
|||
Containers & Packaging - 0.1% |
||||
Ardagh Packaging Finance PLC 7.375% 10/15/17 (f) |
|
2,700,000 |
2,895,750 |
|
Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc. 7.375% 10/15/17 (f) |
|
200,000 |
214,500 |
|
Sappi Papier Holding GmbH: |
|
|
|
|
7.75% 7/15/17 (f) |
|
425,000 |
444,125 |
|
8.375% 6/15/19 (f) |
|
575,000 |
605,188 |
|
Sealed Air Corp. 8.125% 9/15/19 (f) |
|
3,155,000 |
3,502,050 |
|
Tekni-Plex, Inc. 9.75% 6/1/19 (f) |
|
850,000 |
884,000 |
|
|
8,545,613 |
|||
Metals & Mining - 0.5% |
||||
Alrosa Finance SA 7.75% 11/3/20 (f) |
|
700,000 |
772,590 |
|
Anglo American Capital PLC 9.375% 4/8/14 (f) |
|
6,817,000 |
7,645,306 |
|
AngloGold Ashanti Holdings PLC 5.125% 8/1/22 |
|
950,000 |
959,500 |
|
Boart Longyear Management Pty Ltd. 7% 4/1/21 (f) |
|
810,000 |
840,375 |
|
Corporacion Nacional del Cobre de Chile (Codelco): |
|
|
|
|
3.875% 11/3/21 (f) |
|
11,456,000 |
12,362,170 |
|
6.375% 11/30/12 (f) |
|
2,002,000 |
2,024,919 |
|
Edgen Murray Corp. 12.25% 1/15/15 |
|
4,450,000 |
4,728,125 |
|
Essar Steel Algoma, Inc. 9.375% 3/15/15 (f) |
|
1,990,000 |
1,930,300 |
|
EVRAZ Group SA: |
|
|
|
|
8.25% 11/10/15 (f) |
|
1,905,000 |
2,055,019 |
|
9.5% 4/24/18 (Reg. S) |
|
750,000 |
820,313 |
|
FMG Resources (August 2006) Pty Ltd.: |
|
|
|
|
6.375% 2/1/16 (f) |
|
710,000 |
678,050 |
|
7% 11/1/15 (f) |
|
5,435,000 |
5,339,888 |
|
JMC Steel Group, Inc. 8.25% 3/15/18 (f) |
|
3,010,000 |
3,077,725 |
|
Metinvest BV 10.25% 5/20/15 (f) |
|
735,000 |
731,325 |
|
Mongolian Mining Corp. 8.875% 3/29/17 (f) |
|
975,000 |
987,188 |
|
MRC Global, Inc. 9.5% 12/15/16 |
|
4,535,000 |
4,943,150 |
|
Severstal Columbus LLC 10.25% 2/15/18 |
|
4,610,000 |
4,725,250 |
|
Southern Copper Corp. 6.75% 4/16/40 |
|
920,000 |
1,068,037 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
MATERIALS - continued |
||||
Metals & Mining - continued |
||||
Steel Dynamics, Inc.: |
|
|
|
|
6.125% 8/15/19 (f) |
|
$ 1,850,000 |
$ 1,914,750 |
|
7.625% 3/15/20 |
|
1,290,000 |
1,393,200 |
|
Vale Overseas Ltd.: |
|
|
|
|
4.375% 1/11/22 |
|
12,000,000 |
12,307,008 |
|
6.25% 1/23/17 |
|
5,581,000 |
6,398,393 |
|
Votorantim Cimentos SA 7.25% 4/5/41 (f) |
|
740,000 |
791,800 |
|
|
78,494,381 |
|||
Paper & Forest Products - 0.0% |
||||
Louisiana-Pacific Corp. 7.5% 6/1/20 |
|
2,125,000 |
2,305,625 |
|
Sino-Forest Corp. 6.25% 10/21/17 (c)(f) |
|
1,365,000 |
211,575 |
|
|
2,517,200 |
|||
TOTAL MATERIALS |
149,870,427 |
|||
TELECOMMUNICATION SERVICES - 1.4% |
||||
Diversified Telecommunication Services - 0.8% |
||||
Alestra SA de RL de CV 11.75% 8/11/14 |
|
1,735,000 |
1,943,200 |
|
AT&T, Inc.: |
|
|
|
|
3.875% 8/15/21 |
|
8,800,000 |
9,904,470 |
|
5.35% 9/1/40 |
|
4,006,000 |
4,815,420 |
|
5.55% 8/15/41 |
|
10,000,000 |
12,451,600 |
|
6.3% 1/15/38 |
|
16,665,000 |
21,761,190 |
|
BellSouth Capital Funding Corp. 7.875% 2/15/30 |
|
742,000 |
1,008,833 |
|
CenturyLink, Inc.: |
|
|
|
|
6.15% 9/15/19 |
|
4,793,000 |
5,218,705 |
|
6.45% 6/15/21 |
|
8,152,000 |
9,103,453 |
|
Embarq Corp. 7.995% 6/1/36 |
|
4,717,000 |
5,222,870 |
|
Intelsat Ltd. 11.25% 6/15/16 |
|
1,504,000 |
1,582,960 |
|
Intelsat Luxembourg SA: |
|
|
|
|
11.25% 2/4/17 |
|
4,215,000 |
4,431,019 |
|
11.5% 2/4/17 pay-in-kind (l) |
|
11,258,205 |
11,821,115 |
|
SBA Telecommunications, Inc. 5.75% 7/15/20 (f) |
|
945,000 |
987,525 |
|
Telefonica Emisiones SAU 5.462% 2/16/21 |
|
6,967,000 |
6,409,640 |
|
Verizon Communications, Inc.: |
|
|
|
|
3.5% 11/1/21 |
|
12,600,000 |
13,870,786 |
|
6.1% 4/15/18 |
|
6,000,000 |
7,496,376 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
TELECOMMUNICATION SERVICES - continued |
||||
Diversified Telecommunication Services - continued |
||||
Verizon Communications, Inc.: - continued |
|
|
|
|
6.25% 4/1/37 |
|
$ 2,348,000 |
$ 3,117,879 |
|
6.9% 4/15/38 |
|
6,295,000 |
8,937,968 |
|
|
130,085,009 |
|||
Wireless Telecommunication Services - 0.6% |
||||
America Movil SAB de CV: |
|
|
|
|
2.375% 9/8/16 |
|
15,982,000 |
16,597,707 |
|
3.125% 7/16/22 |
|
9,218,000 |
9,455,963 |
|
3.625% 3/30/15 |
|
731,000 |
780,598 |
|
Digicel Group Ltd.: |
|
|
|
|
8.25% 9/1/17 (f) |
|
3,400,000 |
3,638,000 |
|
8.875% 1/15/15 (f) |
|
5,755,000 |
5,870,100 |
|
9.125% 1/15/15 pay-in-kind (f)(l) |
|
3,770,000 |
3,845,400 |
|
DIRECTV Holdings LLC/DIRECTV Financing, Inc.: |
|
|
|
|
5.15% 3/15/42 |
|
1,287,000 |
1,315,402 |
|
5.875% 10/1/19 |
|
5,944,000 |
6,990,810 |
|
6.35% 3/15/40 |
|
3,541,000 |
4,170,661 |
|
MTS International Funding Ltd. 8.625% 6/22/20 (f) |
|
2,305,000 |
2,737,188 |
|
Nextel Communications, Inc.: |
|
|
|
|
5.95% 3/15/14 |
|
5,930,000 |
5,944,825 |
|
7.375% 8/1/15 |
|
2,594,000 |
2,606,970 |
|
NII Capital Corp. 7.625% 4/1/21 |
|
1,755,000 |
1,355,738 |
|
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (f) |
|
2,870,000 |
2,841,300 |
|
Sprint Nextel Corp.: |
|
|
|
|
6% 12/1/16 |
|
3,155,000 |
3,218,100 |
|
7% 8/15/20 |
|
2,305,000 |
2,356,863 |
|
9% 11/15/18 (f) |
|
1,050,000 |
1,239,000 |
|
Telemovil Finance Co. Ltd. 8% 10/1/17 (f) |
|
1,745,000 |
1,854,063 |
|
Telesat Canada/Telesat LLC 6% 5/15/17 (f) |
|
3,060,000 |
3,182,400 |
|
Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (f) |
|
1,000,000 |
1,030,000 |
|
VimpelCom Holdings BV 7.5043% 3/1/22 (f) |
|
510,000 |
517,650 |
|
Vodafone Group PLC 5% 12/16/13 |
|
2,864,000 |
3,026,867 |
|
|
84,575,605 |
|||
TOTAL TELECOMMUNICATION SERVICES |
214,660,614 |
|||
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
UTILITIES - 2.2% |
||||
Electric Utilities - 0.9% |
||||
Ameren Illinois Co. 6.125% 11/15/17 |
|
$ 3,112,000 |
$ 3,669,051 |
|
AmerenUE 6.4% 6/15/17 |
|
2,491,000 |
2,989,823 |
|
Cleveland Electric Illuminating Co. 5.65% 12/15/13 |
|
1,016,000 |
1,071,310 |
|
Comision Federal de Electricid 5.75% 2/14/42 (f) |
|
200,000 |
224,500 |
|
Duke Capital LLC 5.668% 8/15/14 |
|
2,563,000 |
2,762,647 |
|
Duquesne Light Holdings, Inc.: |
|
|
|
|
5.9% 12/1/21 (f) |
|
6,944,000 |
7,837,811 |
|
6.4% 9/15/20 (f) |
|
16,661,000 |
19,255,134 |
|
Edison International 3.75% 9/15/17 |
|
6,674,000 |
7,136,295 |
|
Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (f) |
|
1,045,000 |
438,900 |
|
Enel Finance International SA 5.7% 1/15/13 (f) |
|
206,000 |
208,241 |
|
FirstEnergy Corp. 7.375% 11/15/31 |
|
15,004,000 |
19,799,008 |
|
FirstEnergy Solutions Corp.: |
|
|
|
|
4.8% 2/15/15 |
|
2,432,000 |
2,596,882 |
|
6.05% 8/15/21 |
|
9,801,000 |
10,906,612 |
|
InterGen NV 9% 6/30/17 (f) |
|
4,570,000 |
4,455,750 |
|
LG&E and KU Energy LLC: |
|
|
|
|
2.125% 11/15/15 |
|
7,369,000 |
7,444,481 |
|
3.75% 11/15/20 |
|
1,450,000 |
1,501,407 |
|
Majapahit Holding BV: |
|
|
|
|
7.75% 1/20/20 (f) |
|
850,000 |
1,043,375 |
|
8% 8/7/19 (f) |
|
485,000 |
597,763 |
|
Mirant Americas Generation LLC: |
|
|
|
|
8.5% 10/1/21 |
|
3,095,000 |
3,265,225 |
|
9.125% 5/1/31 |
|
820,000 |
848,700 |
|
Nevada Power Co.: |
|
|
|
|
6.5% 5/15/18 |
|
790,000 |
985,961 |
|
6.5% 8/1/18 |
|
388,000 |
486,393 |
|
NV Energy, Inc. 6.25% 11/15/20 |
|
2,245,000 |
2,592,679 |
|
Otter Tail Corp. 9% 12/15/16 |
|
2,410,000 |
2,614,850 |
|
Pennsylvania Electric Co. 6.05% 9/1/17 |
|
764,000 |
877,535 |
|
Pepco Holdings, Inc. 2.7% 10/1/15 |
|
7,047,000 |
7,258,340 |
|
Progress Energy, Inc.: |
|
|
|
|
4.4% 1/15/21 |
|
12,059,000 |
13,628,648 |
|
6% 12/1/39 |
|
7,150,000 |
9,013,454 |
|
Sierra Pacific Power Co. 5.45% 9/1/13 |
|
1,945,000 |
2,028,184 |
|
|
137,538,959 |
|||
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
UTILITIES - continued |
||||
Gas Utilities - 0.1% |
||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) |
|
$ 1,090,000 |
$ 1,220,800 |
|
Southern Natural Gas Co. 5.9% 4/1/17 (f) |
|
442,000 |
520,444 |
|
Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21 |
|
3,646,000 |
3,912,993 |
|
Suburban Propane Partners LP/Suburban Energy Finance Corp.: |
|
|
|
|
7.375% 8/1/21 (f) |
|
423,000 |
446,265 |
|
7.5% 10/1/18 (f) |
|
1,574,000 |
1,695,985 |
|
Transportadora de Gas del Sur SA 7.875% 5/14/17 (f) |
|
3,625,000 |
3,008,750 |
|
|
10,805,237 |
|||
Independent Power Producers & Energy Traders - 0.3% |
||||
Atlantic Power Corp. 9% 11/15/18 |
|
3,625,000 |
3,788,125 |
|
Dolphin Subsidiary II, Inc.: |
|
|
|
|
6.5% 10/15/16 (f) |
|
2,775,000 |
3,038,625 |
|
7.25% 10/15/21 (f) |
|
3,430,000 |
3,910,200 |
|
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: |
|
|
|
|
6.875% 8/15/17 (f) |
|
305,000 |
311,481 |
|
11.75% 3/1/22 (f) |
|
1,225,000 |
1,304,625 |
|
GenOn Energy, Inc.: |
|
|
|
|
9.5% 10/15/18 |
|
3,135,000 |
3,456,338 |
|
9.875% 10/15/20 |
|
1,750,000 |
1,918,438 |
|
Kinder Morgan Finance Co. LLC 6% 1/15/18 (f) |
|
3,030,000 |
3,249,675 |
|
Listrindo Capital BV 6.95% 2/21/19 (f) |
|
600,000 |
639,000 |
|
Power Sector Assets and Liabilities Management Corp. 7.39% 12/2/24 (f) |
|
750,000 |
1,019,063 |
|
PPL Energy Supply LLC 6.5% 5/1/18 |
|
6,895,000 |
8,167,231 |
|
PSEG Power LLC 2.75% 9/15/16 |
|
2,786,000 |
2,906,745 |
|
RRI Energy, Inc. 7.625% 6/15/14 |
|
6,000,000 |
6,420,000 |
|
The AES Corp.: |
|
|
|
|
7.375% 7/1/21 |
|
615,000 |
704,175 |
|
7.75% 10/15/15 |
|
2,345,000 |
2,638,125 |
|
8% 10/15/17 |
|
4,575,000 |
5,329,875 |
|
|
48,801,721 |
|||
Multi-Utilities - 0.9% |
||||
CMS Energy Corp. 5.05% 3/15/22 |
|
17,417,000 |
18,876,440 |
|
Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40 |
|
3,771,000 |
5,149,044 |
|
Corporate Bonds - continued |
||||
|
Principal |
Value |
||
Nonconvertible Bonds - continued |
||||
UTILITIES - continued |
||||
Multi-Utilities - continued |
||||
Dominion Resources, Inc.: |
|
|
|
|
2.7606% 9/30/66 (l) |
|
$ 19,226,000 |
$ 17,503,754 |
|
7.5% 6/30/66 (l) |
|
10,345,000 |
11,185,531 |
|
MidAmerican Energy Holdings, Co.: |
|
|
|
|
5.875% 10/1/12 |
|
3,506,000 |
3,519,295 |
|
6.5% 9/15/37 |
|
7,097,000 |
9,697,107 |
|
National Grid PLC 6.3% 8/1/16 |
|
1,589,000 |
1,835,653 |
|
NiSource Finance Corp.: |
|
|
|
|
4.45% 12/1/21 |
|
4,928,000 |
5,332,461 |
|
5.25% 9/15/17 |
|
843,000 |
971,918 |
|
5.25% 2/15/43 |
|
8,869,000 |
9,820,919 |
|
5.4% 7/15/14 |
|
1,680,000 |
1,805,777 |
|
5.45% 9/15/20 |
|
854,000 |
975,855 |
|
5.8% 2/1/42 |
|
6,336,000 |
7,537,692 |
|
5.95% 6/15/41 |
|
11,832,000 |
14,182,178 |
|
6.4% 3/15/18 |
|
1,654,000 |
1,979,936 |
|
6.8% 1/15/19 |
|
6,774,000 |
8,122,195 |
|
Puget Energy, Inc.: |
|
|
|
|
5.625% 7/15/22 (f) |
|
600,000 |
629,220 |
|
6% 9/1/21 |
|
2,464,000 |
2,711,804 |
|
6.5% 12/15/20 |
|
1,275,000 |
1,402,500 |
|
Sempra Energy 2.3% 4/1/17 |
|
14,116,000 |
14,763,896 |
|
Wisconsin Energy Corp. 6.25% 5/15/67 (l) |
|
3,860,000 |
4,086,775 |
|
|
142,089,950 |
|||
TOTAL UTILITIES |
339,235,867 |
|||
TOTAL NONCONVERTIBLE BONDS |
3,372,861,499 |
|||
TOTAL CORPORATE BONDS (Cost $3,027,727,547) |
|
|||
U.S. Government and Government Agency Obligations - 26.2% |
||||
|
Principal |
Value |
||
U.S. Treasury Inflation Protected Obligations - 1.6% |
||||
U.S. Treasury Inflation-Indexed Bonds: |
|
|
|
|
2.125% 2/15/40 |
|
$ 74,864,698 |
$ 110,162,195 |
|
2.125% 2/15/41 |
|
74,359,727 |
110,185,958 |
|
2.5% 1/15/29 |
|
21,377,600 |
30,399,671 |
|
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS |
250,747,824 |
|||
U.S. Treasury Obligations - 24.6% |
||||
U.S. Treasury Bonds: |
|
|
|
|
2.75% 8/15/42 |
|
53,161,000 |
53,999,934 |
|
3% 5/15/42 |
|
443,275,000 |
474,442,552 |
|
4.375% 5/15/41 |
|
68,183,000 |
92,931,315 |
|
U.S. Treasury Notes: |
|
|
|
|
0.25% 9/15/14 |
|
8,937,000 |
8,939,788 |
|
0.25% 8/15/15 |
|
227,529,000 |
227,244,589 |
|
0.5% 7/31/17 |
|
170,710,000 |
170,029,891 |
|
0.875% 11/30/16 |
|
1,503,000 |
1,528,480 |
|
0.875% 4/30/17 |
|
203,188,000 |
206,267,517 |
|
0.875% 7/31/19 |
|
524,444,000 |
520,551,577 |
|
1.375% 11/30/15 |
|
88,617,000 |
91,587,087 |
|
1.75% 5/31/16 |
|
263,340,000 |
276,527,541 |
|
1.75% 5/15/22 |
|
128,707,000 |
131,401,867 |
|
2% 2/15/22 |
|
368,119,000 |
385,259,357 |
|
2.375% 2/28/15 |
|
499,922,000 |
526,128,842 |
|
2.625% 7/31/14 |
|
316,140,000 |
330,514,570 |
|
2.625% 12/31/14 (i) |
|
273,340,000 |
288,458,982 |
|
TOTAL U.S. TREASURY OBLIGATIONS |
3,785,813,889 |
|||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,882,106,237) |
|
|||
U.S. Government Agency - Mortgage Securities - 12.7% |
||||
|
||||
Fannie Mae - 9.2% |
||||
2.067% 10/1/33 (l) |
|
847,261 |
891,891 |
|
2.558% 6/1/36 (l) |
|
143,587 |
153,995 |
|
2.743% 2/1/36 (l) |
|
750,864 |
806,744 |
|
2.777% 7/1/37 (l) |
|
359,536 |
386,293 |
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Fannie Mae - continued |
||||
2.82% 12/1/35 (l) |
|
$ 540,123 |
$ 580,319 |
|
3% 10/1/26 to 7/1/42 |
|
12,568,701 |
13,307,591 |
|
3% 9/1/27 (h) |
|
13,300,000 |
14,034,618 |
|
3% 9/1/27 (h) |
|
4,900,000 |
5,170,649 |
|
3% 9/1/42 (h) |
|
3,700,000 |
3,839,378 |
|
3% 9/1/42 (h) |
|
38,800,000 |
40,261,588 |
|
3% 9/1/42 (h) |
|
35,400,000 |
36,733,511 |
|
3% 9/1/42 (h) |
|
3,400,000 |
3,528,077 |
|
3% 10/1/42 (h) |
|
37,800,000 |
39,075,750 |
|
3.5% 1/1/41 to 7/1/42 |
|
49,089,594 |
52,351,035 |
|
3.5% 9/1/42 (h) |
|
100,000 |
106,031 |
|
3.5% 9/1/42 (h) |
|
14,300,000 |
15,162,467 |
|
3.5% 9/1/42 (h) |
|
28,700,000 |
30,430,966 |
|
3.5% 9/1/42 (h) |
|
14,300,000 |
15,162,467 |
|
4% 9/1/26 to 7/1/42 |
|
165,861,114 |
180,486,162 |
|
4% 9/1/41 |
|
173,910 |
187,721 |
|
4% 10/1/41 |
|
4,265,903 |
4,636,670 |
|
4% 9/1/42 (h) |
|
57,000,000 |
61,123,597 |
|
4% 9/1/42 (h) |
|
63,000,000 |
67,557,659 |
|
4.5% 11/1/18 to 11/1/41 |
|
202,276,265 |
221,514,681 |
|
4.5% 9/1/42 (h) |
|
40,700,000 |
44,051,393 |
|
4.5% 9/1/42 (h) |
|
29,700,000 |
32,145,611 |
|
5% 5/1/19 to 6/1/40 |
|
90,847,154 |
99,811,736 |
|
5% 9/1/42 (h) |
|
58,900,000 |
64,329,838 |
|
5% 9/1/42 (h) |
|
1,000,000 |
1,092,187 |
|
5.5% 3/1/18 to 3/1/39 |
|
163,269,293 |
180,020,499 |
|
5.5% 9/1/42 (h) |
|
47,000,000 |
51,578,829 |
|
6% 4/1/21 to 7/1/41 |
|
127,131,385 |
140,124,041 |
|
6.5% 11/1/35 |
|
329,445 |
370,905 |
|
TOTAL FANNIE MAE |
1,421,014,899 |
|||
Freddie Mac - 1.5% |
||||
3.454% 10/1/35 (l) |
|
204,511 |
219,763 |
|
3.5% 4/1/32 to 6/1/42 |
|
21,071,948 |
22,546,892 |
|
4% 12/1/40 to 5/1/42 |
|
30,564,842 |
33,444,754 |
|
4% 9/1/41 |
|
1,739,596 |
1,891,742 |
|
4% 9/1/42 (h) |
|
25,000,000 |
26,746,095 |
|
4.5% 7/1/25 to 10/1/41 |
|
64,804,619 |
70,220,666 |
|
4.5% 9/1/42 (h) |
|
5,800,000 |
6,244,969 |
|
5% 1/1/35 to 8/1/40 |
|
30,256,468 |
33,173,862 |
|
U.S. Government Agency - Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Freddie Mac - continued |
||||
5.5% 11/1/17 to 1/1/40 |
|
$ 25,158,432 |
$ 27,536,088 |
|
6% 7/1/37 to 8/1/37 |
|
3,951,350 |
4,346,790 |
|
TOTAL FREDDIE MAC |
226,371,621 |
|||
Ginnie Mae - 2.0% |
||||
3% 10/1/42 (h) |
|
35,400,000 |
37,081,978 |
|
3.5% 10/15/40 to 7/15/42 |
|
21,223,487 |
23,007,242 |
|
3.5% 9/1/42 (h) |
|
22,000,000 |
23,815,002 |
|
4% 1/15/25 to 12/15/41 |
|
78,762,524 |
86,290,573 |
|
4.5% 11/20/33 to 4/15/41 |
|
59,274,058 |
65,756,594 |
|
5% 3/15/39 to 9/15/41 |
|
59,182,763 |
66,063,454 |
|
6% 9/20/38 |
|
4,036,776 |
4,546,316 |
|
TOTAL GINNIE MAE |
306,561,159 |
|||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,919,176,640) |
|
|||
Asset-Backed Securities - 1.7% |
||||
|
||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7055% 4/25/35 (l) |
|
989,152 |
762,010 |
|
ACE Securities Corp. Home Equity Loan Trust: |
|
|
|
|
Series 2004-HE1 Class M2, 1.8855% 3/25/34 (l) |
|
424,989 |
346,711 |
|
Series 2005-HE2 Class M2, 0.6855% 4/25/35 (l) |
|
81,022 |
77,180 |
|
Advanta Business Card Master Trust: |
|
|
|
|
Series 2006-C1 Class C1, 0.6758% 10/20/14 (l) |
|
642,000 |
6,420 |
|
Series 2007-D1 Class D, 1.5863% 1/22/13 (f)(l) |
|
2,590,000 |
38,850 |
|
Airspeed Ltd. Series 2007-1A Class C1, 2.7395% 6/15/32 (f)(l) |
|
4,142,453 |
2,133,363 |
|
Ally Auto Receivables Trust: |
|
|
|
|
Series 2009-A Class A4, 3% 10/15/15 (f) |
|
4,103,402 |
4,129,529 |
|
Series 2010-5 Class A4, 1.75% 3/15/16 |
|
4,050,000 |
4,133,287 |
|
Series 2011-1 Class A4, 2.23% 3/15/16 |
|
18,200,000 |
18,701,981 |
|
Ally Master Owner Trust: |
|
|
|
|
Series 2010-3 Class A, 2.88% 4/15/15 (f) |
|
8,910,000 |
9,000,401 |
|
Series 2011-1 Class A2, 2.15% 1/15/16 |
|
8,870,000 |
9,030,579 |
|
Series 2011-3 Class A2, 1.81% 5/15/16 |
|
8,490,000 |
8,626,284 |
|
Series 2012-1 Class A2, 1.44% 2/15/17 |
|
18,800,000 |
18,985,174 |
|
Series 2012-3 Class A2, 1.21% 6/15/17 |
|
12,650,000 |
12,672,989 |
|
Asset-Backed Securities - continued |
||||
|
Principal |
Value |
||
AmeriCredit Automobile Receivables Trust Series 2011-1 Class A3, 1.39% 9/8/15 |
|
$ 7,520,000 |
$ 7,562,448 |
|
Ameriquest Mortgage Securities, Inc. pass-thru certificates: |
|
|
|
|
Series 2003-10 Class M1, 0.9355% 12/25/33 (l) |
|
77,599 |
58,521 |
|
Series 2004-R2 Class M3, 0.7855% 4/25/34 (l) |
|
109,047 |
43,248 |
|
Series 2005-R2 Class M1, 0.6855% 4/25/35 (l) |
|
2,064,696 |
1,849,187 |
|
Anthracite CDO I Ltd. Series 2002-CIBA Class B, 6.633% 5/24/37 (f) |
|
171,000 |
170,915 |
|
Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.5975% 3/23/19 (f)(l) |
|
162,656 |
156,149 |
|
Argent Securities, Inc. pass-thru certificates: |
|
|
|
|
Series 2003-W7 Class A2, 1.0262% 3/25/34 (l) |
|
47,932 |
38,275 |
|
Series 2004-W11 Class M2, 0.9355% 11/25/34 (l) |
|
561,149 |
394,652 |
|
Series 2004-W7 Class M1, 0.7855% 5/25/34 (l) |
|
1,542,998 |
1,095,396 |
|
Series 2006-W4 Class A2C, 0.3955% 5/25/36 (l) |
|
1,302,115 |
393,528 |
|
Asset Backed Securities Corp. Home Equity Loan Trust: |
|
|
|
|
Series 2004-HE2 Class M1, 1.0605% 4/25/34 (l) |
|
2,346,371 |
1,931,979 |
|
Series 2006-HE2 Class M1, 0.6055% 3/25/36 (l) |
|
64,676 |
482 |
|
Axon Financial Funding Ltd. Series 2007-1 Class A1, 0.9743% 4/4/17 (c)(f)(l) |
|
7,217,000 |
1 |
|
Bank of America Auto Trust Series 2009-1A Class A4, 3.52% 6/15/16 (f) |
|
3,644,028 |
3,671,861 |
|
BMW Vehicle Lease Trust Series 2011-1 Class A4, 1.4% 8/20/14 |
|
11,060,000 |
11,160,546 |
|
Capital One Multi-Asset Execution Trust Series 2008-A3 Class A3, 5.05% 2/15/16 |
|
5,700,000 |
5,861,857 |
|
Capital Trust Ltd. Series 2004-1: |
|
|
|
|
Class A2, 0.687% 7/20/39 (f)(l) |
|
125,801 |
113,536 |
|
Class B, 0.987% 7/20/39 (f)(l) |
|
263,810 |
118,055 |
|
Class C, 1.337% 7/20/39 (f)(l) |
|
339,379 |
5,091 |
|
Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A: |
|
|
|
|
Class A2, 5.16% 6/25/35 (f) |
|
601,509 |
612,036 |
|
Class B, 5.267% 6/25/35 (f) |
|
1,000,000 |
1,007,500 |
|
CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.7076% 1/20/37 (f)(l) |
|
154,123 |
138,803 |
|
Capmark VII Ltd. Series 2006-7A Class H, 1.7895% 8/15/36 (f)(l) |
|
533,304 |
0 |
|
Carmax Auto Owner Trust Series 2011-1 Class A3, 1.29% 9/15/15 |
|
7,906,638 |
7,953,413 |
|
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3755% 12/25/36 (l) |
|
1,802,588 |
718,008 |
|
Asset-Backed Securities - continued |
||||
|
Principal |
Value |
||
CBRE Realty Finance CDO LLC Series 2007-1A Class A1, 0.7096% 4/7/52 (f)(l) |
|
$ 880,185 |
$ 651,337 |
|
Chase Issuance Trust Series 2007-A17 Class A, 5.12% 10/15/14 |
|
5,000,000 |
5,029,375 |
|
Chrysler Financial Auto Securitization Trust Series 2010-A Class A3, 0.91% 8/8/13 |
|
5,602,047 |
5,603,471 |
|
Citibank Credit Card Issuance Trust Series 2009-A5 Class A5, 2.25% 12/23/14 |
|
35,600,000 |
35,809,114 |
|
Countrywide Asset-Backed Certificates Trust Series 2007-4 Class A1A, 0.3662% 9/25/37 (l) |
|
129,071 |
128,119 |
|
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (f) |
|
811,000 |
0 |
|
Countrywide Home Loans, Inc.: |
|
|
|
|
Series 2003-BC1 Class B1, 5.4962% 3/25/32 (MGIC Investment Corp. Insured) (l) |
|
11,800 |
3,737 |
|
Series 2004-3 Class M4, 1.2055% 4/25/34 (l) |
|
159,665 |
72,569 |
|
Series 2004-4 Class M2, 1.0305% 6/25/34 (l) |
|
587,945 |
337,959 |
|
Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A: |
|
|
|
|
Class B1, 6.065% 12/28/35 (f) |
|
500,000 |
491,850 |
|
Class B2, 1.8106% 12/28/35 (f)(l) |
|
500,000 |
475,000 |
|
Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A: |
|
|
|
|
Class B1, 1.9606% 6/28/38 (f)(l) |
|
100,000 |
98,500 |
|
Class D, 9% 6/28/38 (f) |
|
203,124 |
132,031 |
|
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 |
|
540,000 |
507,108 |
|
Fannie Mae Series 2004-T5 Class AB3, 1.1466% 5/28/35 (l) |
|
38,916 |
24,267 |
|
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.4105% 8/25/34 (l) |
|
290,872 |
179,296 |
|
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0605% 3/25/34 (l) |
|
22,872 |
9,752 |
|
Ford Credit Auto Lease Trust Series 2010-B Class A3, 0.91% 7/15/13 (f) |
|
367,242 |
367,300 |
|
Ford Credit Auto Owner Trust: |
|
|
|
|
Series 2009-D: |
|
|
|
|
Class A3, 2.17% 10/15/13 |
|
163,998 |
164,104 |
|
Class A4, 2.98% 8/15/14 |
|
4,800,000 |
4,852,958 |
|
Series 2010-B Class A3, 0.98% 10/15/14 |
|
4,377,078 |
4,386,944 |
|
Ford Credit Floorplan Master Owner Trust Series 2010-5 Class A1, 1.5% 9/15/15 |
|
10,710,000 |
10,821,326 |
|
Fremont Home Loan Trust Series 2005-A: |
|
|
|
|
Class M3, 0.9705% 1/25/35 (l) |
|
948,695 |
296,089 |
|
Asset-Backed Securities - continued |
||||
|
Principal |
Value |
||
Fremont Home Loan Trust Series 2005-A: - continued |
|
|
|
|
Class M4, 1.2555% 1/25/35 (l) |
|
$ 363,547 |
$ 47,992 |
|
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.8069% 2/25/47 (f)(l) |
|
2,892,000 |
1,189,480 |
|
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (f) |
|
902,698 |
871,104 |
|
GE Business Loan Trust: |
|
|
|
|
Series 2003-1 Class A, 0.6695% 4/15/31 (f)(l) |
|
196,854 |
185,237 |
|
Series 2006-2A: |
|
|
|
|
Class A, 0.4195% 11/15/34 (f)(l) |
|
1,753,298 |
1,508,465 |
|
Class B, 0.5195% 11/15/34 (f)(l) |
|
633,344 |
438,042 |
|
Class C, 0.6195% 11/15/34 (f)(l) |
|
1,052,592 |
599,794 |
|
Class D, 0.9895% 11/15/34 (f)(l) |
|
399,703 |
124,161 |
|
GSAMP Trust Series 2004-AR1 Class B4, 4.4613% 6/25/34 (f)(l) |
|
215,708 |
73,971 |
|
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3: |
|
|
|
|
Class C, 0.7855% 9/25/46 (f)(l) |
|
1,403,242 |
1,349,358 |
|
Class E, 1.8855% 9/25/46 (f)(l) |
|
250,000 |
87,625 |
|
Home Equity Asset Trust: |
|
|
|
|
Series 2003-2 Class M1, 1.5555% 8/25/33 (l) |
|
375,633 |
293,405 |
|
Series 2003-3 Class M1, 1.5255% 8/25/33 (l) |
|
678,750 |
567,949 |
|
Series 2003-5 Class A2, 0.9355% 12/25/33 (l) |
|
32,929 |
26,901 |
|
Series 2006-3N Class B, 6.5% 8/27/36 (f) |
|
250,000 |
0 |
|
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4255% 1/25/37 (l) |
|
1,522,035 |
508,803 |
|
John Deere Owner Trust Series 2011-A Class A4, 1.96% 4/16/18 |
|
4,810,000 |
4,934,502 |
|
JPMorgan Mortgage Acquisition Trust: |
|
|
|
|
Series 2006-NC2 Class M2, 0.5355% 7/25/36 (l) |
|
204,000 |
2,824 |
|
Series 2007-CH1 Class AV4, 0.3655% 11/25/36 (l) |
|
1,520,141 |
1,395,573 |
|
Keycorp Student Loan Trust: |
|
|
|
|
Series 1999-A Class A2, 0.7906% 12/27/29 (l) |
|
519,111 |
466,760 |
|
Series 2006-A Class 2C, 1.6106% 3/27/42 (l) |
|
3,243,000 |
154,264 |
|
Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 0.3955% 11/25/36 (l) |
|
5,356,225 |
1,936,190 |
|
Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6655% 5/25/46 (f)(l) |
|
250,000 |
160,000 |
|
Marriott Vacation Club Owner Trust Series 2006-2A: |
|
|
|
|
Class B, 5.442% 10/20/28 (f) |
|
13,272 |
13,341 |
|
Class C, 5.691% 10/20/28 (f) |
|
5,899 |
5,916 |
|
Class D, 6.01% 10/20/28 (f) |
|
70,232 |
70,293 |
|
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.5355% 5/25/37 (l) |
|
784,792 |
6,167 |
|
Asset-Backed Securities - continued |
||||
|
Principal |
Value |
||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9855% 7/25/34 (l) |
|
$ 162,992 |
$ 103,745 |
|
Merrill Lynch Mortgage Investors Trust: |
|
|
|
|
Series 2003-OPT1 Class M1, 1.2105% 7/25/34 (l) |
|
499,279 |
331,788 |
|
Series 2006-FM1 Class A2B, 0.3455% 4/25/37 (l) |
|
1,466,757 |
1,323,447 |
|
Series 2006-OPT1 Class A1A, 0.4955% 6/25/35 (l) |
|
2,859,684 |
2,302,070 |
|
Morgan Stanley ABS Capital I Trust: |
|
|
|
|
Series 2004-HE6 Class A2, 0.5755% 8/25/34 (l) |
|
57,368 |
45,202 |
|
Series 2004-NC8 Class M6, 1.4855% 9/25/34 (l) |
|
27,201 |
11,703 |
|
Series 2005-NC1 Class M1, 0.6755% 1/25/35 (l) |
|
399,800 |
240,767 |
|
Series 2005-NC2 Class B1, 1.4055% 3/25/35 (l) |
|
416,362 |
49,491 |
|
N-Star Real Estate CDO Ltd. Series 1A: |
|
|
|
|
Class B1, 2.1019% 8/28/38 (f)(l) |
|
220,000 |
195,800 |
|
Class C1B, 7.696% 8/28/38 (f) |
|
64,212 |
51,370 |
|
National Collegiate Student Loan Trust: |
|
|
|
|
Series 2004-2 Class AIO, 9.75% 10/27/14 (n) |
|
7,651,000 |
100,396 |
|
Series 2006-4 Class D, 1.3355% 5/25/32 (l) |
|
2,481,000 |
251 |
|
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7455% 9/25/35 (l) |
|
1,426,957 |
921,695 |
|
Nissan Auto Receivables Owner Trust: |
|
|
|
|
Series 2010-A Class A4, 1.31% 9/15/16 |
|
5,950,000 |
6,008,173 |
|
Series 2011-A Class A4, 1.94% 9/15/17 |
|
11,750,000 |
12,123,768 |
|
Ocala Funding LLC: |
|
|
|
|
Series 2005-1A Class A, 1.737% 3/20/10 (c)(f)(l) |
|
566,000 |
0 |
|
Series 2006-1A Class A, 1.637% 3/20/11 (c)(f)(l) |
|
1,176,000 |
0 |
|
Park Place Securities, Inc.: |
|
|
|
|
Series 2004-WCW1: |
|
|
|
|
Class M3, 1.4855% 9/25/34 (l) |
|
532,896 |
231,934 |
|
Class M4, 1.6855% 9/25/34 (l) |
|
683,353 |
154,950 |
|
Series 2005-WCH1 Class M4, 1.0655% 1/25/36 (l) |
|
1,475,804 |
843,390 |
|
Prima Capital CDO Ltd./Prima Capital CDO Corp. Series 2005-1A Class D, 5.194% 7/24/39 (f) |
|
194,862 |
194,862 |
|
Prima Capital Ltd. Series 2006-CR1A Class A2, 5.533% 12/28/48 (f) |
|
541,000 |
530,180 |
|
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.1855% 9/25/46 (f)(l) |
|
250,000 |
55,000 |
|
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0355% 4/25/33 (l) |
|
5,108 |
4,317 |
|
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0305% 3/25/35 (l) |
|
1,268,559 |
919,535 |
|
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3968% 3/20/19 (FGIC Insured) (f)(l) |
|
411,598 |
402,780 |
|
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.4179% 6/15/33 (l) |
|
1,272,000 |
770,313 |
|
Asset-Backed Securities - continued |
||||
|
Principal |
Value |
||
Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (f) |
|
$ 656,637 |
$ 0 |
|
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9605% 9/25/34 (l) |
|
63,686 |
21,670 |
|
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (f) |
|
475,493 |
487,515 |
|
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0955% 9/25/34 (l) |
|
28,819 |
26,005 |
|
TIAA Real Estate CDO Ltd./TIAA Real Estate CDO Corp. Series 2003-1A Class B2, 5.4802% 12/28/38 (f) |
|
111,000 |
109,335 |
|
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.0196% 4/6/42 (f)(l) |
|
2,647,319 |
33,091 |
|
Wachovia Ltd./Wachovia LLC: |
|
|
|
|
Series 2006-1 Class 1ML, 5.9676% 9/25/26 (f)(l) |
|
400,000 |
200,000 |
|
Series 2006-1A: |
|
|
|
|
Class A1A, 0.7276% 9/25/26 (f)(l) |
|
1,275,257 |
1,160,483 |
|
Class A1B, 0.7976% 9/25/26 (f)(l) |
|
1,033,000 |
878,050 |
|
Class A2A, 0.6876% 9/25/26 (f)(l) |
|
768,814 |
757,282 |
|
Class A2B, 0.7776% 9/25/26 (f)(l) |
|
250,000 |
221,875 |
|
Class B, 0.8276% 9/25/26 (f)(l) |
|
250,000 |
205,000 |
|
Class C 0.9976% 9/25/26 (f)(l) |
|
250,000 |
200,000 |
|
Class F, 1.6176% 9/25/26 (f)(l) |
|
250,000 |
186,250 |
|
Class G, 1.8176% 9/25/26 (f)(l) |
|
326,000 |
235,535 |
|
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (f) |
|
887,552 |
0 |
|
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (f) |
|
7,938 |
0 |
|
Whinstone Capital Management Ltd. Series 1A Class B3, 2.2511% 10/25/44 (f)(l) |
|
1,789,540 |
1,181,096 |
|
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A: |
|
|
|
|
Class A1, 0.7545% 11/21/40 (f)(l) |
|
491,427 |
427,542 |
|
Class D, 1.2845% 11/21/40 (f)(l) |
|
305,000 |
112,850 |
|
TOTAL ASSET-BACKED SECURITIES (Cost $250,614,565) |
|
|||
Collateralized Mortgage Obligations - 0.4% |
||||
|
||||
Private Sponsor - 0.4% |
||||
ABN AMRO Mortgage Corp. Series 2003-9 Class B5, 4.5164% 8/25/18 (f) |
|
158,925 |
44,742 |
|
Bayview Commercial Asset Trust Series 2006-3A, Class IO, 3.9199% 10/25/36 (f)(l)(n) |
|
8,627,914 |
304,801 |
|
Collateralized Mortgage Obligations - continued |
||||
|
Principal |
Value |
||
Private Sponsor - continued |
||||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7955% 1/25/35 (l) |
|
$ 1,788,802 |
$ 1,540,344 |
|
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (l) |
|
2,125,000 |
891,565 |
|
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7385% 7/16/34 (f)(l) |
|
11,356 |
11,358 |
|
Countrywide Alternative Loan Trust Series 2006-OC5N Class N, 7.25% 7/25/37 (f) |
|
78,237 |
0 |
|
Countrywide Home Loans, Inc.: |
|
|
|
|
Series 2003-28 Class B3, 5.5% 8/25/33 |
|
49,127 |
13,995 |
|
Series 2003-35 Class B, 4.6386% 9/25/18 (l) |
|
75,999 |
19,000 |
|
Credit Suisse First Boston Mortgage Securities Corp.: |
|
|
|
|
Series 2003-17 Class B4, 0% 6/25/33 (l) |
|
215,141 |
96,813 |
|
Series 2004-3 Class DB4, 5.8253% 4/25/34 (l) |
|
20,447 |
51 |
|
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.623% 10/25/34 (l) |
|
1,308,293 |
1,259,899 |
|
FREMF Mortgage Trust: |
|
|
|
|
Series 2010 K7 Class B, 5.4352% 4/25/20 (f)(l) |
|
1,000,000 |
1,105,996 |
|
Series 2010-K6 Class B, 5.3579% 12/25/46 (f)(l) |
|
910,000 |
1,000,528 |
|
GMAC Commercial Mortgage Securities, Inc. Series 1993-C3 Class L, 6.974% 8/15/36 |
|
10,124 |
5 |
|
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (f) |
|
53,420 |
13,355 |
|
Granite Master Issuer PLC floater: |
|
|
|
|
Series 2005-4 Class C2, 1.337% 12/20/54 (l) |
|
205,017 |
154,788 |
|
Series 2006-1A Class C2, 1.437% 12/20/54 (f)(l) |
|
6,523,000 |
4,924,865 |
|
Series 2006-2 Class C1, 1.177% 12/20/54 (l) |
|
21,543,000 |
16,264,965 |
|
Series 2006-3 Class C2, 0.737% 12/20/54 (l) |
|
1,124,000 |
848,620 |
|
Series 2006-4: |
|
|
|
|
Class B1, 0.417% 12/20/54 (l) |
|
4,521,000 |
4,125,413 |
|
Class C1, 0.997% 12/20/54 (l) |
|
2,767,000 |
2,089,085 |
|
Class M1, 0.577% 12/20/54 (l) |
|
1,190,000 |
1,035,300 |
|
Series 2007-1: |
|
|
|
|
Class 1C1, 0.837% 12/20/54 (l) |
|
2,234,000 |
1,686,670 |
|
Class 1M1, 0.537% 12/20/54 (l) |
|
1,493,000 |
1,298,910 |
|
Class 2C1, 1.197% 12/20/54 (l) |
|
1,015,000 |
766,325 |
|
Class 2M1, 0.737% 12/20/54 (l) |
|
1,917,000 |
1,667,790 |
|
Series 2007-2 Class 2C1, 1.098% 12/17/54 (l) |
|
2,654,000 |
2,003,770 |
|
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.9051% 1/20/44 (l) |
|
430,241 |
340,536 |
|
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 4.7138% 3/25/37 (l) |
|
4,073,799 |
4,129,304 |
|
Collateralized Mortgage Obligations - continued |
||||
|
Principal |
Value |
||
Private Sponsor - continued |
||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (l) |
|
$ 2,216,732 |
$ 2,344,852 |
|
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 5.6881% 8/25/36 (l) |
|
2,159,278 |
1,662,304 |
|
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39 |
|
857,000 |
989,518 |
|
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4455% 5/25/47 (l) |
|
2,522,912 |
1,614,370 |
|
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4055% 2/25/37 (l) |
|
6,029,286 |
4,729,694 |
|
Merrill Lynch Mortgage Investors Trust Series 1998-C3 Class F, 6% 12/15/30 (f) |
|
930,000 |
937,410 |
|
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5255% 7/25/35 (l) |
|
1,865,850 |
1,516,856 |
|
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: |
|
|
|
|
Class B5, 2.5903% 7/10/35 (f)(l) |
|
1,101,069 |
877,291 |
|
Class B6, 3.0903% 7/10/35 (f)(l) |
|
245,498 |
194,084 |
|
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6855% 6/25/33 (f)(l) |
|
209,235 |
200,865 |
|
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (f) |
|
268,000 |
90,086 |
|
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.6169% 7/20/34 (l) |
|
34,224 |
30,351 |
|
Structured Asset Securities Corp. Series 2003-15A Class 4A, 5.3743% 4/25/33 (l) |
|
414,657 |
386,477 |
|
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4355% 9/25/36 (l) |
|
3,200,850 |
2,752,223 |
|
Wells Fargo Mortgage Backed Securities Trust: |
|
|
|
|
Series 2003-12 Class B6, 4.75% 11/25/18 (f) |
|
110,459 |
49,707 |
|
Series 2005-AR2 Class 1A2, 2.6153% 3/25/35 (l) |
|
3,037,239 |
1,588,607 |
|
TOTAL PRIVATE SPONSOR |
67,603,488 |
|||
U.S. Government Agency - 0.0% |
||||
Fannie Mae planned amortization class Series 2002-9 Class PC, 6% 3/25/17 |
|
183,585 |
196,169 |
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $38,530,628) |
|
|||
Commercial Mortgage Securities - 4.9% |
||||
|
Principal |
Value |
||
ACGS Series 2004-1 Class P, 7.4651% 8/1/19 (o) |
|
$ 456,062 |
$ 442,185 |
|
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (f) |
|
180,000 |
205,667 |
|
Asset Securitization Corp.: |
|
|
|
|
Series 1996-D2 Class B1A, 8.4864% 2/14/29 (f)(l) |
|
290,368 |
304,055 |
|
Series 1997-D4: |
|
|
|
|
Class B2, 7.525% 4/14/29 |
|
563,961 |
572,511 |
|
Class B5, 7.525% 4/14/29 |
|
129,000 |
109,932 |
|
Series 1997-D5: |
|
|
|
|
Class A6, 7.1354% 2/14/43 (l) |
|
245,438 |
246,803 |
|
Class A7, 7.3754% 2/14/43 (l) |
|
820,000 |
824,298 |
|
Class PS1, 1.2297% 2/14/43 (l)(n) |
|
1,080,614 |
31,940 |
|
Banc of America Commercial Mortgage Trust: |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2006-2 Class AAB, 5.7087% 5/10/45 (l) |
|
1,568,620 |
1,659,548 |
|
Series 2006-4 Class AM, 5.675% 7/10/46 |
|
1,000,000 |
1,095,117 |
|
Series 2006-5: |
|
|
|
|
Class A2, 5.317% 9/10/47 |
|
5,526,415 |
5,556,882 |
|
Class A3, 5.39% 9/10/47 |
|
2,653,000 |
2,814,844 |
|
Series 2006-6 Class A3, 5.369% 10/10/45 |
|
3,804,000 |
4,157,776 |
|
Series 2007-4 Class A3, 5.7921% 2/10/51 (l) |
|
1,869,164 |
1,944,009 |
|
Series 2006-6 Class E, 5.619% 10/10/45 (f) |
|
1,098,000 |
109,910 |
|
Series 2007-3: |
|
|
|
|
Class A3, 5.6612% 6/10/49 (l) |
|
3,176,000 |
3,237,856 |
|
Class A4, 5.6612% 6/10/49 (l) |
|
3,965,000 |
4,535,282 |
|
Series 2008-1 Class D, 6.2489% 2/10/51 (f)(l) |
|
125,000 |
44,312 |
|
Banc of America Commercial Mortgage, Inc.: |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2001-1 Class A4, 5.451% 1/15/49 |
|
4,166,000 |
4,772,786 |
|
Series 2002-2 Class F, 5.487% 7/11/43 |
|
415,000 |
417,700 |
|
Series 2004-2 Class A4, 4.153% 11/10/38 |
|
2,035,414 |
2,091,864 |
|
Series 2005-1 Class A3, 4.877% 11/10/42 |
|
746,767 |
746,240 |
|
Series 2005-4 Class AJ, 5.038% 7/10/45 (l) |
|
530,000 |
527,046 |
|
Series 2001-3 Class H, 6.562% 4/11/37 (f) |
|
1,472,000 |
1,471,227 |
|
Series 2003-1 Class G, 5.608% 9/11/36 (f) |
|
310,000 |
311,649 |
|
Series 2004-1 Class F, 5.279% 11/10/39 (f) |
|
185,000 |
154,668 |
|
Series 2004-4: |
|
|
|
|
Class K, 4.637% 7/10/42 (f)(l) |
|
300,000 |
2,340 |
|
Class L, 4.637% 7/10/42 (f)(l) |
|
280,000 |
506 |
|
Series 2004-5 Class G, 5.5625% 11/10/41 (f)(l) |
|
195,000 |
148,583 |
|
Series 2005-1 Class CJ, 5.1989% 11/10/42 (l) |
|
550,000 |
575,680 |
|
Series 2005-3 Class A3B, 5.09% 7/10/43 (l) |
|
5,908,000 |
6,222,223 |
|
Series 2005-6 Class AJ, 5.1929% 9/10/47 (l) |
|
300,000 |
315,997 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Banc of America Large Loan Trust floater Series 2010-HLTN Class HLTN, 1.9895% 11/15/15 (f)(l) |
|
$ 836,124 |
$ 819,399 |
|
Banc of America Large Loan, Inc. floater: |
|
|
|
|
Series 2005-MIB1: |
|
|
|
|
Class B, 0.4995% 3/15/22 (f)(l) |
|
230,977 |
229,855 |
|
Class C, 0.5495% 3/15/22 (f)(l) |
|
1,357,000 |
1,343,621 |
|
Class D, 0.5995% 3/15/22 (f)(l) |
|
826,000 |
813,726 |
|
Class E, 0.6395% 3/15/22 (f)(l) |
|
684,000 |
670,416 |
|
Class F, 0.7095% 3/15/22 (f)(l) |
|
615,784 |
597,397 |
|
Class G, 0.7695% 3/15/22 (f)(l) |
|
399,119 |
379,219 |
|
Class J, 1.2895% 3/15/22 (f)(l) |
|
678,000 |
617,076 |
|
Class K, 2.2395% 3/15/22 (f)(l) |
|
427,499 |
260,835 |
|
Series 2006-BIX1: |
|
|
|
|
Class D, 0.4495% 10/15/19 (f)(l) |
|
166,047 |
161,066 |
|
Class E, 0.4795% 10/15/19 (f)(l) |
|
1,385,000 |
1,308,825 |
|
Class F, 0.5495% 10/15/19 (f)(l) |
|
3,150,730 |
2,961,686 |
|
Class G, 0.5695% 10/15/19 (f)(l) |
|
1,245,579 |
1,158,388 |
|
Bayview Commercial Asset Trust: |
|
|
|
|
floater: |
|
|
|
|
Series 2003-2 Class M1, 1.0855% 12/25/33 (f)(l) |
|
59,110 |
42,871 |
|
Series 2004-1: |
|
|
|
|
Class B, 2.1355% 4/25/34 (f)(l) |
|
116,840 |
68,331 |
|
Class M1, 0.7955% 4/25/34 (f)(l) |
|
93,807 |
66,710 |
|
Class M2, 1.4355% 4/25/34 (f)(l) |
|
86,665 |
60,942 |
|
Series 2005-2A: |
|
|
|
|
Class A1, 0.5455% 8/25/35 (f)(l) |
|
1,515,564 |
1,093,707 |
|
Class M1, 0.6655% 8/25/35 (f)(l) |
|
75,477 |
44,295 |
|
Class M2, 0.7155% 8/25/35 (f)(l) |
|
124,486 |
66,983 |
|
Class M3, 0.7355% 8/25/35 (f)(l) |
|
68,875 |
34,015 |
|
Series 2005-3A: |
|
|
|
|
Class A2, 0.6355% 11/25/35 (f)(l) |
|
536,712 |
421,939 |
|
Class M1, 0.6755% 11/25/35 (f)(l) |
|
64,056 |
36,032 |
|
Class M2, 0.7255% 11/25/35 (f)(l) |
|
81,326 |
43,877 |
|
Class M3, 0.7455% 11/25/35 (f)(l) |
|
72,785 |
37,435 |
|
Class M4, 0.8355% 11/25/35 (f)(l) |
|
90,684 |
42,699 |
|
Series 2005-4A: |
|
|
|
|
Class A2, 0.6255% 1/25/36 (f)(l) |
|
1,268,721 |
898,826 |
|
Class B1, 1.6355% 1/25/36 (f)(l) |
|
109,639 |
16,089 |
|
Class M1, 0.6855% 1/25/36 (f)(l) |
|
409,265 |
252,721 |
|
Class M2, 0.7055% 1/25/36 (f)(l) |
|
122,780 |
70,817 |
|
Class M3, 0.7355% 1/25/36 (f)(l) |
|
179,310 |
95,779 |
|
Class M4, 0.8455% 1/25/36 (f)(l) |
|
99,168 |
48,430 |
|
Class M5, 0.8855% 1/25/36 (f)(l) |
|
99,168 |
33,079 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Bayview Commercial Asset Trust: - continued |
|
|
|
|
floater: |
|
|
|
|
Series 2005-4A: |
|
|
|
|
Class M6, 0.9355% 1/25/36 (f)(l) |
|
$ 105,328 |
$ 28,074 |
|
Series 2006-1: |
|
|
|
|
Class A2, 0.5955% 4/25/36 (f)(l) |
|
196,302 |
144,843 |
|
Class M1, 0.6155% 4/25/36 (f)(l) |
|
70,209 |
41,563 |
|
Class M2, 0.6355% 4/25/36 (f)(l) |
|
74,180 |
40,951 |
|
Class M3, 0.6555% 4/25/36 (f)(l) |
|
63,826 |
32,417 |
|
Class M4, 0.7555% 4/25/36 (f)(l) |
|
36,168 |
16,809 |
|
Class M5, 0.7955% 4/25/36 (f)(l) |
|
35,105 |
12,322 |
|
Class M6, 0.8755% 4/25/36 (f)(l) |
|
69,996 |
23,323 |
|
Series 2006-2A: |
|
|
|
|
Class A1, 0.4655% 7/25/36 (f)(l) |
|
3,503,299 |
2,469,751 |
|
Class A2, 0.5155% 7/25/36 (f)(l) |
|
173,321 |
122,562 |
|
Class B1, 1.1055% 7/25/36 (f)(l) |
|
64,893 |
9,188 |
|
Class B3, 2.9355% 7/25/36 (f)(l) |
|
60,694 |
1,852 |
|
Class M1, 0.5455% 7/25/36 (f)(l) |
|
181,849 |
59,489 |
|
Class M2, 0.5655% 7/25/36 (f)(l) |
|
128,303 |
38,255 |
|
Class M3, 0.5855% 7/25/36 (f)(l) |
|
106,425 |
24,014 |
|
Class M4, 0.6555% 7/25/36 (f)(l) |
|
71,865 |
15,264 |
|
Class M5, 0.7055% 7/25/36 (f)(l) |
|
88,329 |
17,050 |
|
Class M6, 0.7755% 7/25/36 (f)(l) |
|
131,789 |
21,146 |
|
Series 2006-3A: |
|
|
|
|
Class B1, 1.0355% 10/25/36 (f)(l) |
|
3,745 |
30 |
|
Class M4, 0.6655% 10/25/36 (f)(l) |
|
143,297 |
21,570 |
|
Class M5, 0.7155% 10/25/36 (f)(l) |
|
171,547 |
11,151 |
|
Class M6, 0.7955% 10/25/36 (f)(l) |
|
336,179 |
7,802 |
|
Series 2006-4A: |
|
|
|
|
Class A1, 0.4655% 12/25/36 (f)(l) |
|
747,965 |
507,944 |
|
Class A2, 0.5055% 12/25/36 (f)(l) |
|
3,805,836 |
1,772,556 |
|
Class B1, 0.9355% 12/25/36 (f)(l) |
|
71,466 |
1,519 |
|
Class M1, 0.5255% 12/25/36 (f)(l) |
|
243,457 |
50,013 |
|
Class M2, 0.5455% 12/25/36 (f)(l) |
|
162,305 |
24,961 |
|
Class M3, 0.5755% 12/25/36 (f)(l) |
|
164,575 |
22,117 |
|
Class M4, 0.6355% 12/25/36 (f)(l) |
|
196,922 |
22,526 |
|
Class M5, 0.6755% 12/25/36 (f)(l) |
|
181,032 |
14,791 |
|
Class M6, 0.7555% 12/25/36 (f)(l) |
|
162,305 |
8,885 |
|
Series 2007-1 Class A2, 0.5055% 3/25/37 (f)(l) |
|
813,631 |
438,007 |
|
Series 2007-2A: |
|
|
|
|
Class A1, 0.5055% 7/25/37 (f)(l) |
|
770,707 |
433,967 |
|
Class A2, 0.5555% 7/25/37 (f)(l) |
|
720,121 |
238,656 |
|
Class B1, 1.8355% 7/25/37 (f)(l) |
|
104,716 |
1,443 |
|
Class M1, 0.6055% 7/25/37 (f)(l) |
|
252,866 |
65,599 |
|
Class M2, 0.6455% 7/25/37 (f)(l) |
|
138,176 |
16,582 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Bayview Commercial Asset Trust: - continued |
|
|
|
|
floater: |
|
|
|
|
Series 2007-2A: |
|
|
|
|
Class M3, 0.7255% 7/25/37 (f)(l) |
|
$ 140,103 |
$ 13,703 |
|
Class M4, 0.8855% 7/25/37 (f)(l) |
|
276,611 |
22,025 |
|
Class M5, 0.9855% 7/25/37 (f)(l) |
|
243,838 |
17,389 |
|
Class M6, 1.2355% 7/25/37 (f)(l) |
|
309,171 |
15,450 |
|
Series 2007-3: |
|
|
|
|
Class A2, 0.5255% 7/25/37 (f)(l) |
|
753,626 |
382,623 |
|
Class B1, 1.1855% 7/25/37 (f)(l) |
|
183,174 |
12,317 |
|
Class B2, 1.8355% 7/25/37 (f)(l) |
|
430,380 |
23,392 |
|
Class M1, 0.5455% 7/25/37 (f)(l) |
|
163,681 |
38,015 |
|
Class M2, 0.5755% 7/25/37 (f)(l) |
|
175,436 |
31,147 |
|
Class M3, 0.6055% 7/25/37 (f)(l) |
|
276,444 |
37,907 |
|
Class M4, 0.7355% 7/25/37 (f)(l) |
|
434,058 |
50,665 |
|
Class M5, 0.8355% 7/25/37 (f)(l) |
|
225,145 |
23,033 |
|
Class M6, 1.0355% 7/25/37 (f)(l) |
|
171,679 |
14,969 |
|
Series 2007-4A: |
|
|
|
|
Class M1, 1.1855% 9/25/37 (f)(l) |
|
291,207 |
18,380 |
|
Class M2, 1.2855% 9/25/37 (f)(l) |
|
291,207 |
15,208 |
|
Class M4, 1.8355% 9/25/37 (f)(l) |
|
744,809 |
29,951 |
|
Class M5, 1.9855% 9/25/37 (f)(l) |
|
744,809 |
22,924 |
|
Class M6, 2.1855% 9/25/37 (f)(l) |
|
486,481 |
11,804 |
|
Series 2004-1, Class IO, 1.25% 4/25/34 (f)(n) |
|
3,264,279 |
132,203 |
|
Series 2007-5A, Class IO, 4.1484% 10/25/37 (f)(l)(n) |
|
8,346,537 |
722,570 |
|
Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.4508% 3/11/39 (l) |
|
450,000 |
433,366 |
|
Bear Stearns Commercial Mortgage Securities Trust: |
|
|
|
|
floater: |
|
|
|
|
Series 2006-BBA7: |
|
|
|
|
Class H, 0.8895% 3/15/19 (f)(l) |
|
400,163 |
386,091 |
|
Class J, 1.0895% 3/15/19 (f)(l) |
|
407,118 |
372,955 |
|
Series 2007-BBA8: |
|
|
|
|
Class D, 0.4895% 3/15/22 (f)(l) |
|
655,330 |
591,716 |
|
Class E, 0.5395% 3/15/22 (f)(l) |
|
3,607,157 |
3,184,860 |
|
Class F, 0.5895% 3/15/22 (f)(l) |
|
2,235,922 |
1,929,440 |
|
Class G, 0.6395% 3/15/22 (f)(l) |
|
537,549 |
453,115 |
|
Class H, 0.7895% 3/15/22 (f)(l) |
|
655,330 |
539,289 |
|
Class J, 0.9395% 3/15/22 (f)(l) |
|
655,330 |
522,906 |
|
sequential payer: |
|
|
|
|
Series 2004-PWR3 Class A3, 4.487% 2/11/41 |
|
435,607 |
439,416 |
|
Series 2006-PW14 Class AM, 5.243% 12/11/38 |
|
600,000 |
650,741 |
|
Series 2006-T22 Class AJ, 5.5391% 4/12/38 (l) |
|
400,000 |
412,745 |
|
Series 2007-PW16 Class A4, 5.7154% 6/11/40 (l) |
|
1,112,000 |
1,302,622 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Bear Stearns Commercial Mortgage Securities Trust: - continued |
|
|
|
|
sequential payer: |
|
|
|
|
Series 1999-C1: |
|
|
|
|
Class G, 5.64% 2/14/31 (f) |
|
$ 70,000 |
$ 70,698 |
|
Class I, 5.64% 2/14/31 (f) |
|
201,950 |
147,898 |
|
Series 2003-T10 Class B, 4.84% 3/13/40 |
|
1,000,000 |
1,013,756 |
|
Series 2006-PW13 Class A3, 5.518% 9/11/41 |
|
6,714,000 |
7,019,796 |
|
Series 2006-PW14 Class X2, 0.6677% 12/11/38 (f)(l)(n) |
|
20,026,973 |
163,518 |
|
Series 2006-T22: |
|
|
|
|
Class A4, 5.5391% 4/12/38 (l) |
|
237,000 |
270,990 |
|
Class B, 5.5391% 4/12/38 (f)(l) |
|
200,000 |
190,597 |
|
Series 2006-T24 Class X2, 0.4455% 10/12/41 (f)(l)(n) |
|
3,435,357 |
16,345 |
|
Series 2007-BBA8: |
|
|
|
|
Class K, 1.4395% 3/15/22 (f)(l) |
|
120,000 |
93,759 |
|
Class L, 2.1395% 3/15/22 (f)(l) |
|
253,498 |
162,406 |
|
Series 2007-PW18 Class X2, 0.3156% 6/11/50 (f)(l)(n) |
|
133,870,169 |
1,249,946 |
|
Series 2007-T28 Class X2, 0.1576% 9/11/42 (f)(l)(n) |
|
72,025,455 |
383,031 |
|
Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (f) |
|
317,973 |
319,563 |
|
C-BASS Trust floater Series 2006-SC1 Class A, 0.5055% 5/25/36 (f)(l) |
|
703,227 |
608,997 |
|
CDC Commercial Mortgage Trust Series 2002-FX1: |
|
|
|
|
Class G, 6.625% 5/15/35 (f) |
|
2,235,000 |
2,304,388 |
|
Class XCL, 1.331% 5/15/35 (f)(l)(n) |
|
7,622,427 |
148,531 |
|
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.5599% 12/15/47 (f)(l) |
|
750,000 |
817,969 |
|
Chase Commercial Mortgage Securities Corp.: |
|
|
|
|
Series 1998-1 Class H, 6.34% 5/18/30 (f) |
|
800,000 |
699,497 |
|
Series 1998-2 Class J, 6.39% 11/18/30 (f) |
|
489,102 |
324,645 |
|
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust Series 1999-1 Class G, 6.4% 8/15/31 (f) |
|
144,820 |
148,352 |
|
Citigroup Commercial Mortgage Trust: |
|
|
|
|
floater Series 2006-FL2: |
|
|
|
|
Class G, 0.5693% 8/15/21 (f)(l) |
|
117,397 |
116,223 |
|
Class H, 0.6093% 8/15/21 (f)(l) |
|
433,548 |
413,642 |
|
Series 2007-FL3A Class A2, 0.3795% 4/15/22 (f)(l) |
|
183,349 |
179,814 |
|
Series 2008-C7 Class A2B, 6.0731% 12/10/49 (l) |
|
1,215,035 |
1,244,722 |
|
Citigroup/Deutsche Bank Commercial Mortgage Trust: |
|
|
|
|
sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49 |
|
14,623,000 |
16,485,532 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Citigroup/Deutsche Bank Commercial Mortgage Trust: - continued |
|
|
|
|
Series 2007-CD4 Class A3, 5.293% 12/11/49 |
|
$ 1,852,000 |
$ 1,958,397 |
|
Claregold Trust Series 2007-2A: |
|
|
|
|
Class F, 5.01% 5/15/44 (f)(l) |
CAD |
138,000 |
108,262 |
|
Class G, 5.01% 5/15/44 (f)(l) |
CAD |
30,000 |
22,463 |
|
Class H, 5.01% 5/15/44 (f)(l) |
CAD |
20,000 |
12,251 |
|
Class J, 5.01% 5/15/44 (f)(l) |
CAD |
20,000 |
11,538 |
|
Class K, 5.01% 5/15/44 (f)(l) |
CAD |
10,000 |
4,937 |
|
Class L, 5.01% 5/15/44 (f)(l) |
CAD |
36,000 |
16,481 |
|
Class M, 5.01% 5/15/44 (f)(l) |
CAD |
165,000 |
70,149 |
|
Cobalt CMBS Commercial Mortgage Trust: |
|
|
|
|
sequential payer Series 2007-C3 Class A3, 5.8108% 5/15/46 (l) |
|
1,902,000 |
2,043,836 |
|
Series 2006-C1 Class B, 5.359% 8/15/48 |
|
5,706,000 |
828,563 |
|
COMM pass-thru certificates: |
|
|
|
|
floater: |
|
|
|
|
Series 2005-F10A Class J, 1.0895% 4/15/17 (f)(l) |
|
125,664 |
114,352 |
|
Series 2005-FL11: |
|
|
|
|
Class B, 0.4895% 11/15/17 (f)(l) |
|
135,349 |
131,196 |
|
Class C, 0.5395% 11/15/17 (f)(l) |
|
1,168,561 |
1,109,332 |
|
Class D, 0.5795% 11/15/17 (f)(l) |
|
60,771 |
56,475 |
|
Class E, 0.6295% 11/15/17 (f)(l) |
|
216,043 |
198,612 |
|
Class F, 0.6895% 11/15/17 (f)(l) |
|
149,679 |
136,106 |
|
Class G, 0.7395% 11/15/17 (f)(l) |
|
103,750 |
92,267 |
|
Series 2006-FL12 Class AJ, 0.3695% 12/15/20 (f)(l) |
|
4,060,000 |
3,705,651 |
|
sequential payer: |
|
|
|
|
Series 2003-LB1A Class D, 4.278% 6/10/38 |
|
550,000 |
547,037 |
|
Series 2004-RS1 Class A, 5.648% 3/3/41 (f) |
|
529,570 |
533,541 |
|
Series 2006-C8 Class A3, 5.31% 12/10/46 |
|
5,420,000 |
5,531,007 |
|
Series 2006-CN2A: |
|
|
|
|
Class A2FX, 5.449% 2/5/19 (f) |
|
2,477,530 |
2,483,629 |
|
Class AJFX, 5.478% 2/5/19 (f) |
|
5,750,000 |
5,757,832 |
|
Series 2001-J2A Class F, 6.9937% 7/16/34 (f)(l) |
|
199,000 |
219,403 |
|
Series 2006-C8 Class XP, 0.4663% 12/10/46 (l)(n) |
|
16,251,781 |
100,712 |
|
Commercial Mortgage Acceptance Corp.: |
|
|
|
|
Series 1998-C1: |
|
|
|
|
Class F, 6.23% 7/15/31 (f) |
|
27,517 |
27,820 |
|
Class G, 6.21% 7/15/31 (f) |
|
554,000 |
558,875 |
|
weighted average coupon Series 1998-C2 Class F, 5.44% 9/15/30 (f)(l) |
|
110,362 |
113,128 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Commercial Mortgage Asset Trust: |
|
|
|
|
Series 1999-C1 Class F, 6.25% 1/17/32 (f) |
|
$ 550,000 |
$ 483,918 |
|
Series 1999-C2 Class G, 6% 11/17/32 |
|
302,000 |
232,104 |
|
Commercial Mortgage pass-thru certificates: |
|
|
|
|
Series 2005 C6 Class B, 5.2423% 6/10/44 (l) |
|
905,000 |
786,174 |
|
Series 2005-C6 Class AJ, 5.209% 6/10/44 (l) |
|
1,260,000 |
1,271,156 |
|
Series 2011-STRT Class C, 4.755% 12/10/24 (f) |
|
420,000 |
419,930 |
|
Series 2012-CR1: |
|
|
|
|
Class C, 5.547% 5/15/45 |
|
350,000 |
355,950 |
|
Class D, 5.547% 5/15/45 (f) |
|
440,000 |
354,076 |
|
Commercial Mortgage Trust pass-thru certificates: |
|
|
|
|
Series 2012-CR2 Class E, 5.02% 8/15/45 (f)(l) |
|
600,000 |
469,595 |
|
Series 2012-LC4: |
|
|
|
|
Class C, 5.8246% 12/10/44 (l) |
|
260,000 |
271,228 |
|
Class D, 5.8246% 12/10/44 (f)(l) |
|
870,000 |
739,361 |
|
Communication Mortgage Trust Series 2011-THL: |
|
|
|
|
Class E, 5.949% 6/9/28 (f) |
|
493,000 |
504,058 |
|
Class F, 4.867% 6/9/28 (f) |
|
645,000 |
590,278 |
|
Credit Suisse Commercial Mortgage Trust: |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2007-C2: |
|
|
|
|
Class A2, 5.448% 1/15/49 (l) |
|
3,630,108 |
3,662,728 |
|
Class A3, 5.542% 1/15/49 (l) |
|
3,804,000 |
4,245,477 |
|
Series 2007-C3 Class A4, 5.6792% 6/15/39 (l) |
|
28,438,000 |
31,393,931 |
|
Series 2006-C4 Class AAB, 5.439% 9/15/39 |
|
5,554,662 |
5,625,101 |
|
Series 2006-C5 Class ASP, 0.6643% 12/15/39 (l)(n) |
|
11,245,165 |
91,738 |
|
Series 2007-C5 Class A4, 5.695% 9/15/40 (l) |
|
1,722,000 |
1,923,366 |
|
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5895% 4/15/22 (f)(l) |
|
6,783,000 |
5,375,202 |
|
Credit Suisse First Boston Mortgage Securities Corp.: |
|
|
|
|
floater Series 2006-TF2A Class KER, 0.8395% 9/15/21 (f)(l) |
|
254,456 |
176,847 |
|
sequential payer Series 2004-C1 Class A4, 4.75% 1/15/37 |
|
867,120 |
904,368 |
|
Series 1997-C2 Class F, 7.46% 1/17/35 (l) |
|
774,152 |
781,079 |
|
Series 1998-C1: |
|
|
|
|
Class F, 6% 5/17/40 (f) |
|
2,147,309 |
2,275,360 |
|
Class H, 6% 5/17/40 (f) |
|
90,317 |
7,967 |
|
Series 1998-C2: |
|
|
|
|
Class F, 6.75% 11/15/30 (f) |
|
1,156,000 |
1,243,191 |
|
Class G, 6.75% 11/15/30 (f) |
|
180,000 |
198,196 |
|
Series 2001-CK6 Class AX, 0.9973% 8/15/36 (l)(n) |
|
498,549 |
440 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Credit Suisse First Boston Mortgage Securities Corp.: - continued |
|
|
|
|
Series 2001-CKN5 Class AX, 1.7514% 9/15/34 (f)(l)(n) |
|
$ 1,717,918 |
$ 2,153 |
|
Series 2003-C3 Class D, 4.131% 5/15/38 |
|
120,000 |
121,133 |
|
Series 2006-C1 Class A3, 5.4157% 2/15/39 (l) |
|
6,794,301 |
6,954,837 |
|
Credit Suisse Mortgage Capital Certificates: |
|
|
|
|
floater Series 2007-TFL1: |
|
|
|
|
Class B, 0.3895% 2/15/22 (f)(l) |
|
721,000 |
675,010 |
|
Class C: |
|
|
|
|
0.4095% 2/15/22 (f)(l) |
|
1,864,711 |
1,727,120 |
|
0.5095% 2/15/22 (f)(l) |
|
665,993 |
603,532 |
|
Class F, 0.5595% 2/15/22 (f)(l) |
|
1,331,815 |
1,193,590 |
|
Class L, 2.1395% 2/15/22 (f)(l) |
|
99,540 |
13,559 |
|
sequential payer Series 2007-C1 Class A2, 5.268% 2/15/40 |
|
4,460,133 |
4,459,004 |
|
Series 2007-C1: |
|
|
|
|
Class ASP, 0.3813% 2/15/40 (l)(n) |
|
27,591,094 |
154,234 |
|
Class B, 5.487% 2/15/40 (f)(l) |
|
2,907,000 |
370,942 |
|
DBUBS Mortgage Trust Series 2011-LC1A: |
|
|
|
|
Class D, 5.5568% 11/10/46 (f)(l) |
|
500,000 |
519,158 |
|
Class E, 5.5568% 11/10/46 (f)(l) |
|
770,000 |
709,311 |
|
Class F, 5.5568% 11/10/46 (f)(l) |
|
1,120,000 |
909,696 |
|
Class XB, 0.2463% 11/10/46 (f)(l)(n) |
|
20,920,000 |
368,589 |
|
Deutsche Mortgage & Asset Receiving Corp. Series 1998-C1 Class J, 6.22% 6/15/31 |
|
400,000 |
409,190 |
|
DLJ Commercial Mortgage Corp.: |
|
|
|
|
Series 1998-CG1 Class B4, 7.2123% 6/10/31 (f)(l) |
|
891,000 |
911,890 |
|
Series 2000-CKP1 Class B3, 7.7593% 11/10/33 (l) |
|
230,000 |
229,236 |
|
Extended Stay America Trust: |
|
|
|
|
Series 2010-ESHA Class D, 5.4983% 11/5/27 (f) |
|
3,190,000 |
3,236,422 |
|
Series 2010-ESHA, Class C4, 4.8603% 11/5/27 (f) |
|
320,000 |
323,791 |
|
FHMLC Multi-class participation certificates guaranteed: |
|
|
|
|
Series K013 Class X3, 2.7898% 1/25/43 (l)(n) |
|
820,000 |
136,489 |
|
Series KAIV Class X2, 3.6146% 6/25/46 (l)(n) |
|
420,000 |
90,555 |
|
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class G, 6.936% 3/15/33 (f) |
|
240,599 |
240,665 |
|
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer Series 1998-C2 Class G, 7% 11/18/35 (f)(l) |
|
443,000 |
474,351 |
|
Fontainebleau Miami Beach Trust Series 2012-FBLU: |
|
|
|
|
Class D, 5.007% 5/5/27 (f) |
|
589,000 |
612,622 |
|
Class E, 5.253% 5/5/27 (f) |
|
411,000 |
424,249 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Four Times Square Trust sequential payer Series 2006-4TS Class A, 5.401% 12/13/28 (f) |
|
$ 200,000 |
$ 237,214 |
|
Freddie Mac: |
|
|
|
|
Series K011 Class X3, 2.5749% 12/25/43 (l)(n) |
|
1,640,000 |
249,187 |
|
Series K012 Class X3, 2.2878% 1/25/41 (l)(n) |
|
1,800,000 |
244,201 |
|
FREMF Mortgage Trust: |
|
|
|
|
Series 2010-K9 Class B, 5.1639% 9/25/45 (f)(l) |
|
1,290,000 |
1,402,070 |
|
Series 2011-K10 Class B, 4.5974% 11/25/49 (f)(l) |
|
240,000 |
251,129 |
|
Series 2011-K11 Class B, 4.4202% 12/25/48 (f)(l) |
|
750,000 |
774,326 |
|
G-Force LLC sequential payer Series 2005-RRA Class A2, 4.83% 8/22/36 (f) |
|
1,265,339 |
1,265,339 |
|
GE Capital Commercial Mortgage Corp.: |
|
|
|
|
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 |
|
11,404,000 |
12,776,688 |
|
Series 2001-1 Class X1, 1.4912% 5/15/33 (f)(l)(n) |
|
1,248,462 |
15,590 |
|
Series 2007-C1 Class XP, 0.1588% 12/10/49 (l)(n) |
|
24,682,498 |
80,021 |
|
GMAC Commercial Mortgage Securities, Inc.: |
|
|
|
|
Series 1997-C1 Class H, 6.6% 7/15/29 |
|
411,904 |
214,268 |
|
Series 1997-C2 Class G, 6.75% 4/15/29 (l) |
|
412,661 |
477,608 |
|
Series 1999-C1 Class F, 6.02% 5/15/33 (f) |
|
206,559 |
212,059 |
|
Series 1999-C2I Class K, 6.481% 9/15/33 (o) |
|
385,000 |
261,199 |
|
Series 1999-C3: |
|
|
|
|
Class J, 6.974% 8/15/36 |
|
226,000 |
224,384 |
|
Class K, 6.974% 8/15/36 |
|
427,000 |
177,556 |
|
Series 2000-C1 Class K, 7% 3/15/33 |
|
17,331 |
13,089 |
|
Series 2003-C3 Class H, 5.7108% 4/10/40 (f)(l) |
|
170,000 |
151,798 |
|
Greenwich Capital Commercial Funding Corp.: |
|
|
|
|
floater Series 2006-FL4 Class B, 0.4343% 11/5/21 (f)(l) |
|
715,000 |
678,210 |
|
sequential payer: |
|
|
|
|
Series 2003-C1 Class D, 4.29% 7/5/35 (f) |
|
490,000 |
495,818 |
|
Series 2007-GG11 Class A2, 5.597% 12/10/49 |
|
3,323,861 |
3,423,514 |
|
Series 2007-GG9 Class A4, 5.444% 3/10/39 |
|
5,530,000 |
6,259,479 |
|
Series 2002-C1: |
|
|
|
|
Class H, 5.903% 1/11/35 (f) |
|
97,000 |
97,040 |
|
Class J, 6.306% 1/11/35 (f) |
|
760,000 |
760,715 |
|
Series 2003-C2 Class J, 5.234% 1/5/36 (f)(l) |
|
250,000 |
230,420 |
|
Series 2005-GG3 Class B, 4.894% 8/10/42 (l) |
|
680,000 |
677,102 |
|
Series 2006-GG7 Class A3, 5.8738% 7/10/38 (l) |
|
793,025 |
792,658 |
|
Series 2007-GG11 Class A1, 0.2519% 12/10/49 (f)(l)(n) |
|
36,190,607 |
186,345 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
GS Mortgage Securities Corp. II: |
|
|
|
|
floater: |
|
|
|
|
Series 2006-FL8A: |
|
|
|
|
Class E, 0.6158% 6/6/20 (f)(l) |
|
$ 431,608 |
$ 428,311 |
|
Class F, 0.6858% 6/6/20 (f)(l) |
|
835,001 |
822,619 |
|
Class J, 1.9943% 6/6/20 (f)(l) |
|
250,000 |
239,417 |
|
Series 2007-EOP: |
|
|
|
|
Class C, 2.0056% 3/6/20 (f)(l) |
|
1,994,000 |
1,974,919 |
|
Class D, 2.2018% 3/6/20 (f)(l) |
|
4,004,000 |
3,966,438 |
|
Class F, 2.6334% 3/6/20 (f)(l) |
|
164,000 |
162,558 |
|
Class G, 2.7903% 3/6/20 (f)(l) |
|
81,000 |
80,286 |
|
Class H, 3.3004% 3/6/20 (f)(l) |
|
60,000 |
59,622 |
|
Class J, 4.0852% 3/6/20 (f)(l) |
|
86,000 |
85,634 |
|
Class L, 5.4585% 3/6/20 (f)(l) |
|
400,000 |
400,374 |
|
Series 1997-GL: |
|
|
|
|
Class G, 7.5095% 7/13/30 (l) |
|
776,590 |
858,686 |
|
Class H, 7.7995% 7/13/30 (f)(l) |
|
230,000 |
241,661 |
|
Series 2006-GG6 Class A2, 5.506% 4/10/38 |
|
4,584,486 |
4,588,493 |
|
Series 2006-RR2: |
|
|
|
|
Class M, 5.608% 6/23/46 (f)(l) |
|
100,000 |
0 |
|
Class N, 5.608% 6/23/46 (f)(l) |
|
57,153 |
0 |
|
Series 2010-C1: |
|
|
|
|
Class D, 5.9937% 8/10/43 (f)(l) |
|
290,000 |
303,433 |
|
Class E, 4% 8/10/43 (f) |
|
1,240,000 |
921,569 |
|
Class X, 1.5537% 8/10/43 (f)(l)(n) |
|
6,188,639 |
506,565 |
|
Series 2012-GCJ7: |
|
|
|
|
Class C, 5.722% 5/10/45 (l) |
|
630,000 |
652,764 |
|
Class D, 5.721% 5/10/45 (f) |
|
970,000 |
837,961 |
|
GS Mortgage Securities Corp. Trust Series 2011-ALF Class E, 4.953% 2/10/21 (f) |
|
510,000 |
508,164 |
|
GS Mortgage Securities Trust: |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2006-GG8 Class A2, 5.479% 11/10/39 |
|
568,161 |
576,788 |
|
Series 2007-GG10 Class A2, 5.778% 8/10/45 |
|
6,372,369 |
6,456,950 |
|
Series 2010-C2: |
|
|
|
|
Class D, 5.2282% 12/10/43 (f)(l) |
|
720,000 |
692,227 |
|
Class XA, 0.684% 12/10/43 (f)(l)(n) |
|
5,555,383 |
133,763 |
|
Series 2011-GC5 Class C, 5.3083% 8/10/44 (f)(l) |
|
1,050,000 |
1,068,414 |
|
HVB Mortgage Capital Corp. floater Series 2003-FL1A Class K, 3.0903% 9/10/22 (f)(l) |
|
1,120,000 |
1,120,021 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
JPMorgan Chase Commercial Mortgage Securities Corp.: |
|
|
|
|
floater Series 2011-CCHP Class E, 5.15% 7/15/28 (f)(l) |
|
$ 500,000 |
$ 506,169 |
|
Series 2002-C1 Class E, 6.135% 7/12/37 (f) |
|
935,000 |
932,859 |
|
Series 2003-C1: |
|
|
|
|
Class CM1, 5.5061% 1/12/37 (f)(l) |
|
197,916 |
197,153 |
|
Class D, 5.192% 1/12/37 |
|
270,000 |
271,405 |
|
Series 2009-IWST: |
|
|
|
|
Class C, 7.4453% 12/5/27 (f)(l) |
|
380,000 |
452,221 |
|
Class D, 7.4453% 12/5/27 (f)(l) |
|
1,135,000 |
1,296,345 |
|
Series 2010-CNTM Class MZ, 8.5% 8/5/20 (f) |
|
670,000 |
708,276 |
|
Series 2010-CNTR Class D, 6.1838% 8/5/32 (f)(l) |
|
695,000 |
731,280 |
|
Series 2011-C4 Class E, 5.3892% 7/15/46 (f)(l) |
|
370,000 |
309,154 |
|
Series 2012-CBX: |
|
|
|
|
Class C, 5.1909% 6/16/45 (l) |
|
250,000 |
251,530 |
|
Class D, 5.1909% 6/16/45 (f)(l) |
|
690,000 |
639,727 |
|
JPMorgan Chase Commercial Mortgage Securities Trust: |
|
|
|
|
floater Series 2006-FLA2: |
|
|
|
|
Class A2, 0.3695% 11/15/18 (f)(l) |
|
5,708,534 |
5,617,283 |
|
Class B, 0.4095% 11/15/18 (f)(l) |
|
948,720 |
924,068 |
|
Class C, 0.4495% 11/15/18 (f)(l) |
|
674,039 |
649,784 |
|
Class D, 0.4695% 11/15/18 (f)(l) |
|
205,327 |
193,832 |
|
Class E, 0.5195% 11/15/18 (f)(l) |
|
296,195 |
273,688 |
|
Class F, 0.5695% 11/15/18 (f)(l) |
|
443,480 |
392,043 |
|
Class G, 0.5995% 11/15/18 (f)(l) |
|
385,346 |
325,238 |
|
Class H, 0.7395% 11/15/18 (f)(l) |
|
296,262 |
238,199 |
|
sequential payer: |
|
|
|
|
Series 2006-CB14 Class A3B, 5.4914% 12/12/44 (l) |
|
4,674,131 |
4,778,472 |
|
Series 2006-LDP9: |
|
|
|
|
Class A2, 5.134% 5/15/47 (l) |
|
606,418 |
636,987 |
|
Class A3, 5.336% 5/15/47 |
|
9,409,000 |
10,639,039 |
|
Series 2007-CB19 Class A4, 5.7337% 2/12/49 (l) |
|
6,670,000 |
7,732,671 |
|
Series 2007-LD11: |
|
|
|
|
Class A2, 5.7998% 6/15/49 (l) |
|
4,171,749 |
4,296,539 |
|
Class A4, 5.8148% 6/15/49 (l) |
|
10,000,000 |
11,376,520 |
|
Series 2007-LDPX: |
|
|
|
|
Class A2 S, 5.305% 1/15/49 |
|
2,786,077 |
2,808,491 |
|
Class A3, 5.42% 1/15/49 |
|
25,732,000 |
29,366,928 |
|
Series 2004-CBX Class D, 5.097% 1/12/37 (l) |
|
170,000 |
113,252 |
|
Series 2004-LN2 Class D, 5.2226% 7/15/41 (l) |
|
420,000 |
303,495 |
|
Series 2005-LDP3 Class A3, 4.959% 8/15/42 |
|
1,880,489 |
1,906,257 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
JPMorgan Chase Commercial Mortgage Securities Trust: - continued |
|
|
|
|
Series 2005-LDP5 Class AJ, 5.3162% 12/15/44 (l) |
|
$ 360,000 |
$ 360,955 |
|
Series 2006-CB17 Class A3, 5.45% 12/12/43 |
|
498,856 |
500,260 |
|
Series 2007-CB19: |
|
|
|
|
Class B, 5.7337% 2/12/49 (l) |
|
165,000 |
54,450 |
|
Class C, 5.7337% 2/12/49 (l) |
|
424,000 |
89,040 |
|
Class D, 5.7337% 2/12/49 (l) |
|
447,000 |
91,635 |
|
Series 2007-LDP10: |
|
|
|
|
Class CS, 5.466% 1/15/49 (l) |
|
157,000 |
12,526 |
|
Class ES, 5.5652% 1/15/49 (f)(l) |
|
983,000 |
44,553 |
|
Series 2010-C2: |
|
|
|
|
Class D, 5.5284% 11/15/43 (f)(l) |
|
645,000 |
624,537 |
|
Class XB, 0.6692% 11/15/43 (f)(l)(n) |
|
3,600,000 |
151,591 |
|
Series 2011-C5 Class C, 5.3142% 8/15/46 (f)(l) |
|
1,102,648 |
1,101,691 |
|
LB Commercial Conduit Mortgage Trust: |
|
|
|
|
sequential payer Series 2007-C3 Class A4, 5.8846% 7/15/44 (l) |
|
21,615,000 |
25,412,021 |
|
Series 1998-C4 Class G, 5.6% 10/15/35 (f) |
|
529,881 |
550,074 |
|
LB-UBS Commercial Mortgage Trust: |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2004-C2 Class E, 4.487% 3/15/36 |
|
150,000 |
151,481 |
|
Series 2005-C3 Class AJ, 4.843% 7/15/40 |
|
1,220,000 |
1,262,147 |
|
Series 2005-C7: |
|
|
|
|
Class AJ, 5.323% 11/15/40 |
|
1,210,000 |
1,251,527 |
|
Class AM, 5.263% 11/15/40 (l) |
|
137,000 |
150,928 |
|
Series 2006-C1 Class A2, 5.084% 2/15/31 |
|
257,912 |
258,541 |
|
Series 2006-C6: |
|
|
|
|
Class A2, 5.262% 9/15/39 (l) |
|
366,108 |
366,389 |
|
Class AM, 5.413% 9/15/39 |
|
1,500,000 |
1,661,751 |
|
Series 2006-C7: |
|
|
|
|
Class A2, 5.3% 11/15/38 |
|
1,105,410 |
1,124,711 |
|
Class A3, 5.347% 11/15/38 |
|
1,417,000 |
1,622,295 |
|
Class AM, 5.378% 11/15/38 |
|
160,000 |
163,884 |
|
Series 2007-C1: |
|
|
|
|
Class A3, 5.398% 2/15/40 |
|
10,000,000 |
10,439,420 |
|
Class A4, 5.424% 2/15/40 |
|
5,434,000 |
6,247,470 |
|
Series 2007-C2 Class A3, 5.43% 2/15/40 |
|
3,967,000 |
4,502,684 |
|
Series 2007-C6 Class A2, 5.845% 7/15/40 |
|
4,810,110 |
4,923,023 |
|
Series 2003-C7 Class L, 5.1147% 7/15/37 (f)(l) |
|
284,000 |
198,421 |
|
Series 2004-C2 Class G, 4.595% 3/15/36 (f)(l) |
|
225,000 |
205,940 |
|
Series 2004-C7 Class E, 4.918% 10/15/36 |
|
280,000 |
279,950 |
|
Series 2005-C1 Class E, 4.924% 2/15/40 |
|
750,000 |
701,178 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
LB-UBS Commercial Mortgage Trust: - continued |
|
|
|
|
Series 2005-C2 Class AJ, 5.205% 4/15/30 (l) |
|
$ 740,000 |
$ 753,732 |
|
Series 2005-C7 Class C, 5.35% 11/15/40 (l) |
|
866,000 |
809,801 |
|
Series 2006-C4: |
|
|
|
|
Class AJ, 5.8892% 6/15/38 (l) |
|
1,060,000 |
944,346 |
|
Class AM, 5.8892% 6/15/38 (l) |
|
500,000 |
537,978 |
|
Series 2006-C6 Class XCP, 0.6747% 9/15/39 (l)(n) |
|
8,109,240 |
55,800 |
|
Series 2007-C1 Class XCP, 0.4243% 2/15/40 (l)(n) |
|
3,031,686 |
18,105 |
|
Series 2007-C6 Class A4, 5.858% 7/15/40 (l) |
|
2,376,000 |
2,776,221 |
|
Series 2007-C7: |
|
|
|
|
Class A3, 5.866% 9/15/45 |
|
2,029,000 |
2,394,250 |
|
Class XCP, 0.2615% 9/15/45 (l)(n) |
|
122,130,871 |
799,591 |
|
Lehman Brothers Floating Rate Commercial Mortgage Trust floater: |
|
|
|
|
Series 2006-LLFA: |
|
|
|
|
Class D, 0.4695% 9/15/21 (f)(l) |
|
608,683 |
578,249 |
|
Class E, 0.5295% 9/15/21 (f)(l) |
|
2,196,145 |
2,031,434 |
|
Class F, 0.5795% 9/15/21 (f)(l) |
|
1,143,094 |
1,028,785 |
|
Class G, 0.5995% 9/15/21 (f)(l) |
|
2,258,211 |
1,975,935 |
|
Class H, 0.6395% 9/15/21 (f)(l) |
|
582,579 |
489,366 |
|
Series 2007-LLFA Class E, 1.1395% 6/15/22 (f)(l) |
|
760,000 |
643,874 |
|
Lstar Commercial Mortgage Trust: |
|
|
|
|
Series 2011-1 Class D, 5.6036% 6/25/43 (f)(l) |
|
310,000 |
290,142 |
|
Series 2011-1 Class B, 5.6036% 6/25/43 (f)(l) |
|
540,000 |
554,640 |
|
Merrill Lynch Commercial Trust floater Series 2008-LAQA Class A2, 0.7794% 7/9/21 (f)(l) |
|
17,970,000 |
16,863,839 |
|
Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.4086% 10/12/39 (f)(l) |
CAD |
320,000 |
295,602 |
|
Merrill Lynch Mortgage Investors Trust: |
|
|
|
|
Series 1997-C2 Class F, 6.25% 12/10/29 (l) |
|
456,226 |
454,884 |
|
Series 1998-C3 Class E, 6.7948% 12/15/30 (l) |
|
173,000 |
179,626 |
|
Merrill Lynch Mortgage Trust: |
|
|
|
|
Series 05-LC1 Class AJ, 5.3193% 1/12/44 (l) |
|
220,000 |
228,932 |
|
Series 2004-MKB1 Class F, 5.6636% 2/12/42 (f)(l) |
|
180,000 |
174,507 |
|
Series 2005-LC1 Class F, 5.3733% 1/12/44 (f)(l) |
|
1,655,000 |
1,087,734 |
|
Series 2006-C1: |
|
|
|
|
Class A2, 5.6141% 5/12/39 (l) |
|
1,683,099 |
1,721,465 |
|
Class AJ, 5.6591% 5/12/39 (l) |
|
530,000 |
483,136 |
|
Class AM, 5.6591% 5/12/39 (l) |
|
100,000 |
109,623 |
|
Series 2007-C1 Class A4, 5.8461% 6/12/50 (l) |
|
7,199,517 |
8,123,748 |
|
Series 2008-C1 Class A4, 5.69% 2/12/51 |
|
4,059,000 |
4,759,579 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Merrill Lynch-CFC Commercial Mortgage Trust: |
|
|
|
|
floater Series 2006-4 Class A2FL, 0.3688% 12/12/49 (l) |
|
$ 191,459 |
$ 191,617 |
|
sequential payer: |
|
|
|
|
Series 2006-1 Class A3, 5.4796% 2/12/39 (l) |
|
2,017,626 |
2,016,039 |
|
Series 2006-4: |
|
|
|
|
Class A2, 5.112% 12/12/49 (l) |
|
232,039 |
232,850 |
|
Class ASB, 5.133% 12/12/49 (l) |
|
1,392,444 |
1,464,541 |
|
Series 2007-5: |
|
|
|
|
Class A3, 5.364% 8/12/48 |
|
11,417,000 |
11,574,635 |
|
Class A4, 5.378% 8/12/48 |
|
10,206,000 |
11,295,082 |
|
Class B, 5.479% 8/12/48 |
|
5,706,000 |
1,401,097 |
|
Series 2007-6 Class A4, 5.485% 3/12/51 (l) |
|
14,650,000 |
16,305,758 |
|
Series 2007-7 Class A4, 5.7386% 6/12/50 (l) |
|
6,656,000 |
7,277,890 |
|
Series 2006-3 Class ASB, 5.382% 7/12/46 (l) |
|
6,539,113 |
6,739,452 |
|
Series 2006-4 Class XP, 0.617% 12/12/49 (l)(n) |
|
26,909,688 |
371,192 |
|
Series 2007-6 Class B, 5.635% 3/12/51 (l) |
|
1,902,000 |
475,580 |
|
Series 2007-7 Class B, 5.7386% 6/12/50 (l) |
|
166,000 |
11,454 |
|
Series 2007-8 Class A3, 5.9634% 8/12/49 (l) |
|
1,640,000 |
1,870,910 |
|
Mezz Capital Commercial Mortgage Trust sequential payer: |
|
|
|
|
Series 2004-C1 Class A, 4.836% 1/15/37 (f) |
|
645,951 |
558,748 |
|
Series 2004-C2 Class A, 5.318% 10/15/40 (f) |
|
578,964 |
440,013 |
|
Morgan Stanley Capital I Trust: |
|
|
|
|
floater: |
|
|
|
|
Series 2006-XLF: |
|
|
|
|
Class C, 1.44% 7/15/19 (f)(l) |
|
357,716 |
225,361 |
|
Class H, 0.62% 7/15/19 (f)(l) |
|
96,679 |
93,779 |
|
Class J, 0.67% 7/15/19 (f)(l) |
|
354,000 |
304,440 |
|
Series 2007-XLFA: |
|
|
|
|
Class C, 0.4% 10/15/20 (f)(l) |
|
1,092,000 |
988,260 |
|
Class D, 0.43% 10/15/20 (f)(l) |
|
667,354 |
590,608 |
|
Class E, 0.49% 10/15/20 (f)(l) |
|
834,661 |
709,462 |
|
Class F, 0.54% 10/15/20 (f)(l) |
|
500,899 |
415,746 |
|
Class G, 0.58% 10/15/20 (f)(l) |
|
619,188 |
481,419 |
|
Class H, 0.67% 10/15/20 (f)(l) |
|
389,758 |
253,343 |
|
Class J, 0.82% 10/15/20 (f)(l) |
|
228,006 |
91,203 |
|
sequential payer: |
|
|
|
|
Series 2012-C4 Class E, 5.71% 3/15/45 (f) |
|
260,000 |
213,808 |
|
Series 2004-RR2 Class A2, 5.45% 10/28/33 (f) |
|
196,263 |
196,509 |
|
Series 2005-IQ9 Class A3, 4.54% 7/15/56 |
|
1,799,686 |
1,821,880 |
|
Series 2006-HQ10 Class AM, 5.36% 11/12/41 |
|
620,000 |
667,110 |
|
Series 2007-HQ11 Class A31, 5.439% 2/12/44 (l) |
|
964,000 |
1,014,605 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Morgan Stanley Capital I Trust: - continued |
|
|
|
|
sequential payer: |
|
|
|
|
Series 2007-IQ13 Class A4, 5.364% 3/15/44 |
|
$ 10,000,000 |
$ 11,352,180 |
|
Series 1997-RR Class F, 7.3497% 4/30/39 (f)(l) |
|
99,659 |
91,686 |
|
Series 1998-CF1 Class G, 7.35% 7/15/32 (f) |
|
206,135 |
146,261 |
|
Series 1999-WF1: |
|
|
|
|
Class N, 5.91% 11/15/31 (f) |
|
210,000 |
173,824 |
|
Class O, 5.91% 11/15/31 (f) |
|
197,950 |
48,661 |
|
Series 2004-IQ7 Class E, 5.3977% 6/15/38 (f)(l) |
|
120,000 |
82,656 |
|
Series 2004-RR2 Class C, 5.88% 10/28/33 (f)(l) |
|
280,000 |
224,700 |
|
Series 2005-HQ5 Class B, 5.272% 1/14/42 |
|
1,500,000 |
1,552,494 |
|
Series 2005-HQ6 Class AJ, 5.073% 8/13/42 (l) |
|
1,000,000 |
1,026,623 |
|
Series 2006-HQ10 Class X2, 0.4951% 11/12/41 (f)(l)(n) |
|
8,839,476 |
8,689 |
|
Series 2006-IQ11: |
|
|
|
|
Class A3, 5.6877% 10/15/42 (l) |
|
584,536 |
593,681 |
|
Class A4, 5.7237% 10/15/42 (l) |
|
570,000 |
646,631 |
|
Series 2006-IQ12 Class AMFX, 5.37% 12/15/43 |
|
719,000 |
766,054 |
|
Series 2006-T23 Class A3, 5.809% 8/12/41 (l) |
|
972,000 |
1,009,384 |
|
Series 2007-HQ12 Class A2, 5.5967% 4/12/49 (l) |
|
10,845,911 |
11,229,900 |
|
Series 2007-IQ14: |
|
|
|
|
Class A4, 5.692% 4/15/49 (l) |
|
2,852,000 |
3,218,485 |
|
Class B, 5.7187% 4/15/49 (l) |
|
469,000 |
139,532 |
|
Series 2011-C1: |
|
|
|
|
Class C, 5.2544% 9/15/47 (f)(l) |
|
470,000 |
493,168 |
|
Class D, 5.2544% 9/15/47 (f)(l) |
|
1,170,000 |
1,119,456 |
|
Class E, 5.2544% 9/15/47 (f)(l) |
|
573,100 |
498,523 |
|
Series 2011-C2: |
|
|
|
|
Class D, 5.3177% 6/15/44 (f)(l) |
|
580,000 |
557,323 |
|
Class E, 5.3177% 6/15/44 (f)(l) |
|
600,000 |
517,982 |
|
Class F, 5.3177% 6/15/44 (f)(l) |
|
550,000 |
435,600 |
|
Class XB, 0.4646% 6/15/44 (f)(l)(n) |
|
9,001,008 |
291,102 |
|
Series 2011-C3: |
|
|
|
|
Class C, 5.3572% 7/15/49 (f)(l) |
|
1,000,000 |
1,030,817 |
|
Class D, 5.357% 7/15/49 (f) |
|
1,130,000 |
1,067,554 |
|
Class E, 5.1844% 7/15/49 (f)(l) |
|
400,000 |
342,753 |
|
Series 2012-C4 Class D, 5.5266% 3/15/45 (f)(l) |
|
330,000 |
315,613 |
|
Morgan Stanley Dean Witter Capital I Trust: |
|
|
|
|
Series 2000-PRIN Class C, 7.9131% 2/23/34 (l) |
|
466,000 |
516,143 |
|
Series 2001-TOP3 Class E, 7.3419% 7/15/33 (f)(l) |
|
150,000 |
131,295 |
|
Series 2003-TOP9 Class E, 5.6506% 11/13/36 (f)(l) |
|
78,000 |
77,209 |
|
NationsLink Funding Corp.: |
|
|
|
|
Series 1998-2: |
|
|
|
|
Class F, 7.105% 8/20/30 (f) |
|
335,806 |
343,283 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
NationsLink Funding Corp.: - continued |
|
|
|
|
Series 1998-2: |
|
|
|
|
Class G, 5% 8/20/30 (f) |
|
$ 361,875 |
$ 369,593 |
|
Class J, 5% 8/20/30 (f) |
|
195,000 |
189,156 |
|
Series 1999-SL Class X, 11/10/30 (l)(n) |
|
54,667 |
54,530 |
|
Nomura Asset Securities Corp. Series 1998-D6 Class B1, 6% 3/15/30 (f) |
|
1,050,000 |
1,064,494 |
|
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (f) |
|
800,135 |
976,164 |
|
RBSCF Trust Series 2010-MB1 Class D, 4.6764% 4/15/24 (f)(l) |
|
1,200,000 |
1,228,592 |
|
Real Estate Asset Liquidity Trust: |
|
|
|
|
Series 2006-2: |
|
|
|
|
Class F, 4.456% 9/12/38 (f) |
CAD |
107,000 |
91,327 |
|
Class G, 4.456% 9/12/38 (f) |
CAD |
54,000 |
44,312 |
|
Class H, 4.456% 9/12/38 (f) |
CAD |
36,000 |
27,864 |
|
Class J, 4.456% 9/12/38 (f) |
CAD |
36,000 |
26,206 |
|
Class K, 4.456% 9/12/38 (f) |
CAD |
18,000 |
11,588 |
|
Class L, 4.456% 9/12/38 (f) |
CAD |
26,000 |
15,647 |
|
Class M, 4.456% 9/12/38 (f) |
CAD |
128,859 |
36,602 |
|
Series 2007-1: |
|
|
|
|
Class F, 4.57% 4/12/23 |
CAD |
126,000 |
98,042 |
|
Class G, 4.57% 4/12/23 |
CAD |
42,000 |
31,446 |
|
Class H, 4.57% 4/12/23 |
CAD |
42,000 |
30,268 |
|
Class J, 4.57% 4/12/23 |
CAD |
42,000 |
29,142 |
|
Class K, 4.57% 4/12/23 |
CAD |
21,000 |
14,034 |
|
Class L, 4.57% 4/12/23 |
CAD |
63,000 |
40,560 |
|
Class M, 4.57% 4/12/23 |
CAD |
185,000 |
56,927 |
|
Salomon Brothers Mortgage Securities VII, Inc. Series 2001-MMA Class E3, 6.5% 2/18/34 (f)(l) |
|
200,000 |
205,241 |
|
TIAA Seasoned Commercial Mortgage Trust: |
|
|
|
|
sequential payer Series 2007-C4 Class AJ, 5.6163% 8/15/39 (l) |
|
170,000 |
179,621 |
|
Series 2007-C4 Class F, 5.6163% 8/15/39 (l) |
|
820,000 |
572,653 |
|
TimberStar Trust I Series 2006-1 Class F, 7.5296% 10/15/36 (f) |
|
270,000 |
279,150 |
|
UBS Commercial Mortgage Trust Series 2007-FL1: |
|
|
|
|
Class F, 0.8145% 7/15/24 (f)(l) |
|
110,000 |
82,318 |
|
Class G, 0.8145% 7/15/24 (f)(l) |
|
200,000 |
138,669 |
|
UBS-Citigroup Commercial Mortgage Trust Series 2011-C1 Class B, 5.8749% 1/10/45 (f)(l) |
|
284,000 |
326,943 |
|
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (f) |
|
180,000 |
211,056 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Wachovia Bank Commercial Mortgage Trust: |
|
|
|
|
floater: |
|
|
|
|
Series 2006-WL7A: |
|
|
|
|
Class E, 0.518% 9/15/21 (f)(l) |
|
$ 1,770,598 |
$ 1,522,435 |
|
Class F, 0.578% 9/15/21 (f)(l) |
|
1,877,987 |
1,539,653 |
|
Class G, 0.598% 9/15/21 (f)(l) |
|
1,779,101 |
1,387,418 |
|
Class J, 0.838% 9/15/21 (f)(l) |
|
395,545 |
260,997 |
|
Series 2007-WHL8: |
|
|
|
|
Class F, 0.7195% 6/15/20 (f)(l) |
|
4,565,501 |
3,360,761 |
|
Class LXR1, 0.9395% 6/15/20 (f)(l) |
|
233,916 |
202,759 |
|
sequential payer: |
|
|
|
|
Series 2003-C7 Class A1, 4.241% 10/15/35 (f) |
|
1,156,472 |
1,164,298 |
|
Series 2003-C8 Class A3, 4.445% 11/15/35 |
|
6,584,138 |
6,672,682 |
|
Series 2006-C29 Class A3, 5.313% 11/15/48 |
|
5,051,000 |
5,289,665 |
|
Series 2007-C30: |
|
|
|
|
Class A3, 5.246% 12/15/43 |
|
606,163 |
612,585 |
|
Class A4, 5.305% 12/15/43 |
|
8,604,000 |
9,250,720 |
|
Class A5, 5.342% 12/15/43 |
|
13,536,000 |
14,983,229 |
|
Series 2007-C31 Class A4, 5.509% 4/15/47 |
|
13,599,000 |
15,413,827 |
|
Series 2007-C32 Class A3, 5.7418% 6/15/49 (l) |
|
19,449,000 |
22,081,714 |
|
Series 2003-C6 Class G, 5.125% 8/15/35 (f)(l) |
|
903,000 |
901,490 |
|
Series 2004-C10 Class E, 4.931% 2/15/41 |
|
340,000 |
348,327 |
|
Series 2004-C11: |
|
|
|
|
Class D, 5.3844% 1/15/41 (l) |
|
360,000 |
336,202 |
|
Class E, 5.4344% 1/15/41 (l) |
|
327,000 |
284,921 |
|
Series 2004-C12 Class D, 5.3109% 7/15/41 (l) |
|
280,000 |
282,252 |
|
Series 2004-C14: |
|
|
|
|
Class B, 5.17% 8/15/41 |
|
258,500 |
272,820 |
|
Class C, 5.21% 8/15/41 |
|
170,000 |
175,309 |
|
Series 2004-C15 Class 175C, 5.8479% 10/15/41 (f)(l) |
|
500,000 |
489,822 |
|
Series 2005-C19 Class B, 4.892% 5/15/44 |
|
1,902,000 |
1,756,855 |
|
Series 2005-C22: |
|
|
|
|
Class B, 5.3564% 12/15/44 (l) |
|
4,218,000 |
2,920,796 |
|
Class F, 5.3564% 12/15/44 (f)(l) |
|
3,171,000 |
620,882 |
|
Series 2006-C23 Class A5, 5.416% 1/15/45 (l) |
|
7,870,000 |
8,868,994 |
|
Series 2007-C30: |
|
|
|
|
Class B, 5.463% 12/15/43 (l) |
|
10,505,000 |
4,292,164 |
|
Class C, 5.483% 12/15/43 (l) |
|
5,706,000 |
1,606,085 |
|
Class D, 5.513% 12/15/43 (l) |
|
3,044,000 |
616,997 |
|
Class XP, 0.4723% 12/15/43 (f)(l)(n) |
|
16,461,529 |
119,692 |
|
Series 2007-C31 Class C, 5.6821% 4/15/47 (l) |
|
522,000 |
117,779 |
|
Commercial Mortgage Securities - continued |
||||
|
Principal |
Value |
||
Wachovia Bank Commercial Mortgage Trust: - continued |
|
|
|
|
Series 2007-C32: |
|
|
|
|
Class D, 5.7418% 6/15/49 (l) |
|
$ 1,431,000 |
$ 386,081 |
|
Class E, 5.7418% 6/15/49 (l) |
|
2,252,000 |
531,808 |
|
Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 5.9003% 2/15/51 (l) |
|
19,259,000 |
22,366,093 |
|
Wells Fargo Commercial Mortgage Trust Series 2010-C1 Class XB, 0.578% 11/15/43 (f)(l)(n) |
|
20,614,217 |
740,009 |
|
WF-RBS Commercial Mortgage Trust: |
|
|
|
|
Series 2011-C3: |
|
|
|
|
Class C, 5.335% 3/15/44 (f) |
|
360,000 |
373,318 |
|
Class D, 5.549% 3/15/44 (f)(l) |
|
230,000 |
207,308 |
|
Series 2011-C4 Class E, 5.4179% 6/15/44 (f) |
|
320,000 |
271,684 |
|
Series 2011-C5: |
|
|
|
|
Class C, 5.6367% 11/15/44 (f)(l) |
|
260,000 |
279,416 |
|
Class D, 5.6367% 11/15/44 (f)(l) |
|
200,000 |
192,239 |
|
Class XA, 2.0805% 11/15/44 (f)(l)(n) |
|
5,202,109 |
625,975 |
|
Series 2012-C6 Class D, 5.5639% 4/15/45 (f)(l) |
|
540,000 |
458,403 |
|
Series 2012-C7: |
|
|
|
|
Class C, 5.0065% 6/15/45 (l) |
|
1,270,000 |
1,274,258 |
|
Class E, 4.8512% 6/15/45 (f) |
|
890,000 |
689,095 |
|
WFDB Commercial Mortgage Trust Series 2011-BXR Class D, 5.914% 7/5/24 (f) |
|
1,500,000 |
1,553,777 |
|
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $636,396,675) |
|
|||
Municipal Securities - 0.6% |
||||
|
||||
Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (l) |
|
3,300,000 |
3,425,565 |
|
California Gen. Oblig.: |
|
|
|
|
Series 2009, 7.35% 11/1/39 |
|
2,090,000 |
2,713,489 |
|
7.3% 10/1/39 |
|
2,150,000 |
2,774,726 |
|
7.5% 4/1/34 |
|
14,555,000 |
18,963,273 |
|
7.55% 4/1/39 |
|
11,090,000 |
14,848,401 |
|
7.6% 11/1/40 |
|
12,145,000 |
16,460,847 |
|
7.625% 3/1/40 |
|
4,600,000 |
6,187,230 |
|
Illinois Gen. Oblig.: |
|
|
|
|
Series 2010, 4.421% 1/1/15 |
|
6,825,000 |
7,256,681 |
|
Municipal Securities - continued |
||||
|
Principal |
Value |
||
Illinois Gen. Oblig.: - continued |
|
|
|
|
Series 2010-3: |
|
|
|
|
6.725% 4/1/35 |
|
$ 3,975,000 |
$ 4,463,329 |
|
7.35% 7/1/35 |
|
3,210,000 |
3,813,737 |
|
Series 2011, 5.877% 3/1/19 |
|
2,640,000 |
2,951,546 |
|
5.1% 6/1/33 |
|
11,090,000 |
10,723,032 |
|
TOTAL MUNICIPAL SECURITIES (Cost $89,794,592) |
|
|||
Foreign Government and Government Agency Obligations - 1.7% |
||||
|
||||
Arab Republic of Egypt 6.875% 4/30/40 (f) |
|
700,000 |
675,500 |
|
Argentine Republic: |
|
|
|
|
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 |
|
4,581,067 |
3,126,578 |
|
2.5% 12/31/38 (e) |
|
4,605,000 |
1,508,138 |
|
7% 9/12/13 |
|
8,690,000 |
8,274,087 |
|
7% 10/3/15 |
|
6,305,000 |
5,305,307 |
|
Bahamian Republic 6.95% 11/20/29 (f) |
|
855,000 |
1,000,350 |
|
Belarus Republic: |
|
|
|
|
8.75% 8/3/15 (Reg. S) |
|
3,910,000 |
3,831,800 |
|
8.95% 1/26/18 |
|
2,110,000 |
1,993,950 |
|
Bermuda Government 4.138% 1/3/23 (f) |
|
670,000 |
708,525 |
|
Brazilian Federative Republic: |
|
|
|
|
7.125% 1/20/37 |
|
1,215,000 |
1,854,455 |
|
8.25% 1/20/34 |
|
855,000 |
1,418,274 |
|
10.125% 5/15/27 |
|
1,580,000 |
2,804,500 |
|
12.25% 3/6/30 |
|
775,000 |
1,573,250 |
|
City of Buenos Aires 12.5% 4/6/15 (f) |
|
3,105,000 |
2,949,750 |
|
Colombian Republic: |
|
|
|
|
4.375% 7/12/21 |
|
870,000 |
1,009,200 |
|
6.125% 1/18/41 |
|
1,585,000 |
2,159,563 |
|
7.375% 9/18/37 |
|
2,130,000 |
3,290,850 |
|
10.375% 1/28/33 |
|
2,040,000 |
3,743,400 |
|
11.75% 2/25/20 |
|
1,050,000 |
1,714,125 |
|
Congo Republic 3% 6/30/29 (e) |
|
2,869,000 |
2,266,510 |
|
Croatia Republic: |
|
|
|
|
6.25% 4/27/17 (f) |
|
2,985,000 |
3,145,593 |
|
6.375% 3/24/21 (f) |
|
2,250,000 |
2,359,575 |
|
6.625% 7/14/20 (f) |
|
1,970,000 |
2,105,536 |
|
6.75% 11/5/19 (f) |
|
2,550,000 |
2,754,000 |
|
Foreign Government and Government Agency Obligations - continued |
||||
|
Principal |
Value |
||
Democratic Socialist Republic of Sri Lanka: |
|
|
|
|
5.875% 7/25/22 (f) |
|
$ 675,000 |
$ 691,875 |
|
6.25% 10/4/20 (f) |
|
2,360,000 |
2,478,000 |
|
6.25% 7/27/21 (f) |
|
1,610,000 |
1,686,475 |
|
7.4% 1/22/15 (f) |
|
1,635,000 |
1,757,625 |
|
Dominican Republic: |
|
|
|
|
1.2754% 8/30/24 (l) |
|
1,350,000 |
1,242,000 |
|
7.5% 5/6/21 (f) |
|
2,580,000 |
2,921,850 |
|
9.04% 1/23/18 (f) |
|
1,185,880 |
1,337,080 |
|
El Salvador Republic: |
|
|
|
|
7.625% 2/1/41 (f) |
|
525,000 |
592,725 |
|
7.65% 6/15/35 (Reg. S) |
|
1,165,000 |
1,304,800 |
|
7.75% 1/24/23 (Reg. S) |
|
544,000 |
628,320 |
|
8.25% 4/10/32 (Reg. S) |
|
575,000 |
681,375 |
|
Gabonese Republic 8.2% 12/12/17 (f) |
|
1,035,000 |
1,242,000 |
|
Georgia Republic 6.875% 4/12/21 (f) |
|
1,820,000 |
2,042,950 |
|
Ghana Republic 8.5% 10/4/17 (f) |
|
1,625,000 |
1,880,938 |
|
Guatemalan Republic 5.75% 6/6/22 (f) |
|
1,135,000 |
1,265,525 |
|
Hungarian Republic: |
|
|
|
|
4.75% 2/3/15 |
|
7,095,000 |
7,148,213 |
|
7.625% 3/29/41 |
|
2,920,000 |
3,204,700 |
|
Indonesian Republic: |
|
|
|
|
4.875% 5/5/21 (f) |
|
1,460,000 |
1,629,652 |
|
5.25% 1/17/42 (f) |
|
1,375,000 |
1,529,688 |
|
5.875% 3/13/20 (f) |
|
1,660,000 |
1,956,808 |
|
6.625% 2/17/37 (f) |
|
1,100,000 |
1,421,750 |
|
6.875% 1/17/18 (f) |
|
1,105,000 |
1,334,288 |
|
7.75% 1/17/38 (f) |
|
1,925,000 |
2,796,063 |
|
8.5% 10/12/35 (Reg. S) |
|
1,685,000 |
2,594,900 |
|
11.625% 3/4/19 (f) |
|
1,720,000 |
2,592,900 |
|
Islamic Republic of Pakistan 7.125% 3/31/16 (f) |
|
3,710,000 |
3,283,350 |
|
Ivory Coast 3.75% 12/31/32 (c)(e) |
|
750,000 |
611,250 |
|
Jordanian Kingdom 3.875% 11/12/15 |
|
820,000 |
797,450 |
|
Latvian Republic: |
|
|
|
|
5.25% 2/22/17 (f) |
|
1,335,000 |
1,441,800 |
|
5.25% 6/16/21 (f) |
|
625,000 |
678,125 |
|
Lebanese Republic: |
|
|
|
|
4% 12/31/17 |
|
3,979,250 |
3,839,976 |
|
4.75% 11/2/16 |
|
600,000 |
588,000 |
|
5.15% 11/12/18 |
|
550,000 |
537,625 |
|
Lithuanian Republic: |
|
|
|
|
6.125% 3/9/21 (f) |
|
1,985,000 |
2,277,192 |
|
Foreign Government and Government Agency Obligations - continued |
||||
|
Principal |
Value |
||
Lithuanian Republic: - continued |
|
|
|
|
6.625% 2/1/22 (f) |
|
$ 1,940,000 |
$ 2,309,958 |
|
7.375% 2/11/20 (f) |
|
2,655,000 |
3,235,781 |
|
Peruvian Republic: |
|
|
|
|
3% 3/7/27 (e) |
|
1,360,000 |
1,360,000 |
|
5.625% 11/18/50 |
|
1,620,000 |
2,087,856 |
|
7.35% 7/21/25 |
|
1,550,000 |
2,251,375 |
|
8.75% 11/21/33 |
|
2,865,000 |
4,934,963 |
|
Philippine Republic: |
|
|
|
|
7.5% 9/25/24 |
|
290,000 |
406,000 |
|
7.75% 1/14/31 |
|
1,430,000 |
2,152,150 |
|
9.5% 2/2/30 |
|
1,780,000 |
3,032,764 |
|
9.875% 1/15/19 |
|
640,000 |
916,800 |
|
10.625% 3/16/25 |
|
1,320,000 |
2,263,800 |
|
Polish Government: |
|
|
|
|
3.875% 7/16/15 |
|
840,000 |
901,950 |
|
5% 3/23/22 |
|
1,805,000 |
2,078,006 |
|
6.375% 7/15/19 |
|
2,200,000 |
2,706,000 |
|
Provincia de Cordoba 12.375% 8/17/17 (f) |
|
2,110,000 |
1,529,750 |
|
Republic of Iceland 5.875% 5/11/22 (f) |
|
1,630,000 |
1,707,425 |
|
Republic of Iraq 5.8% 1/15/28 (Reg. S) |
|
5,250,000 |
4,711,875 |
|
Republic of Namibia 5.5% 11/3/21 (f) |
|
1,340,000 |
1,470,382 |
|
Republic of Nigeria 6.75% 1/28/21 (f) |
|
1,355,000 |
1,524,375 |
|
Republic of Senegal 8.75% 5/13/21 (f) |
|
700,000 |
804,125 |
|
Republic of Serbia 6.75% 11/1/24 (f) |
|
7,266,667 |
7,012,334 |
|
Romanian Republic 6.75% 2/7/22 (f) |
|
2,872,000 |
3,108,940 |
|
Russian Federation: |
|
|
|
|
3.25% 4/4/17 (f) |
|
600,000 |
626,220 |
|
4.5% 4/4/22 (f) |
|
1,000,000 |
1,108,700 |
|
5.625% 4/4/42 (f) |
|
1,000,000 |
1,178,800 |
|
7.5% 3/31/30 (Reg. S) |
|
5,688,935 |
7,103,773 |
|
11% 7/24/18 (Reg. S) |
|
385,000 |
556,325 |
|
12.75% 6/24/28 (Reg. S) |
|
2,595,000 |
4,959,564 |
|
Slovakia Republic 4.375% 5/21/22 (f) |
|
1,990,000 |
2,059,650 |
|
State of Qatar 5.75% 1/20/42 (f) |
|
945,000 |
1,176,525 |
|
State Oil Company of Azerbaijan Republic 5.45% 2/9/17 |
|
355,000 |
378,395 |
|
Turkish Republic: |
|
|
|
|
5.125% 3/25/22 |
|
735,000 |
826,875 |
|
5.625% 3/30/21 |
|
815,000 |
947,438 |
|
6% 1/14/41 |
|
1,220,000 |
1,444,236 |
|
6.25% 9/26/22 |
|
680,000 |
825,316 |
|
Foreign Government and Government Agency Obligations - continued |
||||
|
Principal |
Value |
||
Turkish Republic: - continued |
|
|
|
|
6.75% 4/3/18 |
|
$ 1,395,000 |
$ 1,677,488 |
|
6.75% 5/30/40 |
|
805,000 |
1,038,450 |
|
6.875% 3/17/36 |
|
2,330,000 |
3,005,700 |
|
7% 9/26/16 |
|
1,360,000 |
1,591,200 |
|
7% 3/11/19 |
|
335,000 |
412,888 |
|
7.25% 3/15/15 |
|
1,080,000 |
1,206,900 |
|
7.25% 3/5/38 |
|
1,250,000 |
1,693,750 |
|
7.375% 2/5/25 |
|
2,430,000 |
3,192,534 |
|
7.5% 7/14/17 |
|
1,285,000 |
1,564,488 |
|
7.5% 11/7/19 |
|
745,000 |
948,981 |
|
8% 2/14/34 |
|
490,000 |
702,562 |
|
11.875% 1/15/30 |
|
960,000 |
1,819,200 |
|
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (f) |
|
1,690,000 |
1,499,875 |
|
Ukraine Government: |
|
|
|
|
6.25% 6/17/16 (f) |
|
1,680,000 |
1,543,416 |
|
6.75% 11/14/17 (f) |
|
1,070,000 |
974,984 |
|
7.65% 6/11/13 (f) |
|
3,240,000 |
3,243,888 |
|
7.75% 9/23/20 (f) |
|
1,430,000 |
1,340,625 |
|
7.95% 2/23/21 (f) |
|
1,425,000 |
1,343,063 |
|
9.25% 7/24/17 (f) |
|
1,470,000 |
1,488,375 |
|
United Arab Emirates 7.75% 10/5/20 (Reg. S) |
|
545,000 |
637,650 |
|
United Mexican States: |
|
|
|
|
4.75% 3/8/44 |
|
658,000 |
738,605 |
|
5.75% 10/12/10 |
|
516,000 |
621,780 |
|
6.05% 1/11/40 |
|
1,236,000 |
1,653,150 |
|
6.75% 9/27/34 |
|
1,020,000 |
1,443,300 |
|
7.5% 4/8/33 |
|
425,000 |
647,063 |
|
8.3% 8/15/31 |
|
420,000 |
678,300 |
|
Uruguay Republic: |
|
|
|
|
7.875% 1/15/33 pay-in-kind |
|
2,595,000 |
4,022,251 |
|
8% 11/18/22 |
|
1,620,903 |
2,334,100 |
|
Venezuelan Republic: |
|
|
|
|
6% 12/9/20 |
|
620,000 |
457,250 |
|
7% 3/31/38 |
|
625,000 |
435,938 |
|
7.75% 10/13/19 (Reg. S) |
|
700,000 |
593,250 |
|
8.5% 10/8/14 |
|
735,000 |
735,000 |
|
9% 5/7/23 (Reg. S) |
|
2,215,000 |
1,893,825 |
|
9.25% 9/15/27 |
|
1,210,000 |
1,061,775 |
|
9.25% 5/7/28 (Reg. S) |
|
790,000 |
669,525 |
|
9.375% 1/13/34 |
|
885,000 |
752,250 |
|
Foreign Government and Government Agency Obligations - continued |
||||
|
Principal |
Value |
||
Venezuelan Republic: - continued |
|
|
|
|
10.75% 9/19/13 |
|
$ 1,105,000 |
$ 1,143,675 |
|
11.75% 10/21/26 (Reg. S) |
|
1,410,000 |
1,385,325 |
|
11.95% 8/5/31 (Reg. S) |
|
1,890,000 |
1,871,100 |
|
12.75% 8/23/22 |
|
4,070,000 |
4,263,325 |
|
13.625% 8/15/18 |
|
848,000 |
905,240 |
|
Vietnamese Socialist Republic: |
|
|
|
|
1.563% 3/12/16 (l) |
|
1,026,087 |
933,739 |
|
4% 3/12/28 (e) |
|
4,595,000 |
3,721,950 |
|
6.875% 1/15/16 (f) |
|
1,955,000 |
2,082,075 |
|
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $233,311,809) |
|
Common Stocks - 0.0% |
|||
Shares |
|
||
TELECOMMUNICATION SERVICES - 0.0% |
|||
Wireless Telecommunication Services - 0.0% |
|||
CUI Acquisition Corp. Class E (f) (Cost $1,258,919) |
1 |
863,100 |
|
Preferred Stocks - 0.1% |
|||
|
|
|
|
Convertible Preferred Stocks - 0.0% |
|||
CONSUMER DISCRETIONARY - 0.0% |
|||
Automobiles - 0.0% |
|||
General Motors Co. 4.75% |
80,100 |
2,859,570 |
|
FINANCIALS - 0.0% |
|||
Real Estate Investment Trusts - 0.0% |
|||
Alexandria Real Estate Equities, Inc. Series D 7.00% |
9,000 |
240,188 |
|
TOTAL CONVERTIBLE PREFERRED STOCKS |
3,099,758 |
||
Nonconvertible Preferred Stocks - 0.1% |
|||
FINANCIALS - 0.1% |
|||
Real Estate Investment Trusts - 0.1% |
|||
Alexandria Real Estate Equities, Inc. Series E, 6.45% |
15,000 |
401,850 |
|
Preferred Stocks - continued |
|||
Shares |
Value |
||
Nonconvertible Preferred Stocks - continued |
|||
FINANCIALS - continued |
|||
Real Estate Investment Trusts - continued |
|||
Annaly Capital Management, Inc. Series C, 7.625% |
27,600 |
$ 712,080 |
|
CBL & Associates Properties, Inc. 7.375% |
7,720 |
197,632 |
|
Cedar Shopping Centers, Inc. 8.875% |
4,719 |
119,815 |
|
Corporate Office Properties Trust: |
|
|
|
Series H, 7.50% |
5,000 |
127,000 |
|
Series L, 7.375% (a) |
12,221 |
314,691 |
|
Digital Realty Trust, Inc. Series E, 7.00% |
10,000 |
276,400 |
|
Equity Lifestyle Properties, Inc. 8.034% |
22,162 |
565,131 |
|
Essex Property Trust, Inc. Series H, 7.125% |
9,354 |
249,658 |
|
First Potomac Realty Trust 7.75% |
15,000 |
384,000 |
|
Hersha Hospitality Trust Series B, 8.00% |
13,844 |
362,159 |
|
Hospitality Properties Trust Series D, 7.125% |
10,000 |
273,400 |
|
LaSalle Hotel Properties Series H, 7.50% |
10,000 |
270,600 |
|
PS Business Parks, Inc.: |
|
|
|
6.875% |
10,000 |
272,000 |
|
Series S, 6.45% |
21,000 |
572,250 |
|
Public Storage: |
|
|
|
Series P, 6.50% |
12,000 |
335,160 |
|
Series R, 6.35% |
10,500 |
289,800 |
|
Series S, 5.90% |
20,000 |
534,200 |
|
Realty Income Corp. Series F, 6.625% |
12,000 |
326,400 |
|
Regency Centers Corp. Series 6, 6.625% |
5,510 |
148,770 |
|
Stag Industrial, Inc. Series A, 9.00% |
20,000 |
544,000 |
|
Taubman Centers, Inc. Series J, 6.50% |
11,338 |
286,398 |
|
|
7,563,394 |
||
TOTAL PREFERRED STOCKS (Cost $11,143,785) |
|
Floating Rate Loans - 0.4% |
||||
|
Principal |
|
||
CONSUMER DISCRETIONARY - 0.2% |
||||
Auto Components - 0.1% |
||||
Federal-Mogul Corp.: |
|
|
|
|
Tranche B, term loan 2.1775% 12/27/14 (l) |
|
$ 3,334,205 |
3,188,333 |
|
Tranche C, term loan 2.1775% 12/27/15 (l) |
|
2,094,302 |
2,002,677 |
|
|
5,191,010 |
|||
Floating Rate Loans - continued |
||||
|
Principal |
Value |
||
CONSUMER DISCRETIONARY - continued |
||||
Automobiles - 0.0% |
||||
Chrysler Group LLC Tranche B, term loan 6% 5/24/17 (l) |
|
$ 2,776,950 |
$ 2,825,547 |
|
Diversified Consumer Services - 0.0% |
||||
Visant Corp. Tranche B, term loan 5.25% 12/22/16 (l) |
|
2,015,623 |
1,945,076 |
|
Hotels, Restaurants & Leisure - 0.0% |
||||
Extended Stay America, Inc. term loan 9.75% 11/1/15 |
|
1,000,000 |
1,010,000 |
|
Landry's Restaurants, Inc. Tranche B, term loan 6.5% 4/24/18 (l) |
|
1,910,213 |
1,929,315 |
|
|
2,939,315 |
|||
Media - 0.1% |
||||
Harron Communications LP Tranche B, term loan 5.5% 10/6/17 (l) |
|
1,868,088 |
1,872,758 |
|
Newsday LLC term loan 10.5% 8/1/13 |
|
3,505,000 |
3,509,557 |
|
Univision Communications, Inc. term loan 4.4815% 3/31/17 (l) |
|
3,975,109 |
3,845,918 |
|
UPC Broadband Holding BV Tranche AB, term loan 4.75% 12/31/17 (l) |
|
1,250,000 |
1,250,000 |
|
|
10,478,233 |
|||
Multiline Retail - 0.0% |
||||
Neiman Marcus Group, Inc. Tranche B, term loan 4.75% 5/16/18 (l) |
|
1,680,000 |
1,677,900 |
|
Specialty Retail - 0.0% |
||||
PETCO Animal Supplies, Inc. term loan 4.5% 11/24/17 (l) |
|
338,100 |
337,677 |
|
TOTAL CONSUMER DISCRETIONARY |
25,394,758 |
|||
ENERGY - 0.0% |
||||
Oil, Gas & Consumable Fuels - 0.0% |
||||
Arch Coal, Inc. Tranche B, term loan 5.75% 5/16/18 (l) |
|
635,000 |
635,000 |
|
Crestwood Holdings Partners LLC Tranche B, term loan 9.75% 3/26/18 (l) |
|
1,227,555 |
1,249,037 |
|
Energy Transfer Equity LP Tranche B, term loan 3.75% 3/23/17 (l) |
|
1,855,000 |
1,834,131 |
|
|
3,718,168 |
|||
FINANCIALS - 0.1% |
||||
Diversified Financial Services - 0.0% |
||||
Flying Fortress, Inc. Tranche 3, term loan 5% 6/30/17 (l) |
|
1,615,000 |
1,629,212 |
|
Floating Rate Loans - continued |
||||
|
Principal |
Value |
||
FINANCIALS - continued |
||||
Insurance - 0.1% |
||||
Asurion Corp.: |
|
|
|
|
Tranche 1st LN, term loan 5.5% 5/24/18 (l) |
|
$ 2,262,386 |
$ 2,268,042 |
|
Tranche 2nd LN, term loan 9% 5/24/19 (l) |
|
1,451,274 |
1,498,440 |
|
Tranche B-1 1LN, term loan 4.75% 7/23/17 (l) |
|
790,000 |
789,052 |
|
Lonestar Intermediate Super Holdings LLC term loan 11% 9/2/19 (l) |
|
1,925,000 |
2,045,313 |
|
|
6,600,847 |
|||
Real Estate Management & Development - 0.0% |
||||
Capital Automotive LP term loan 5.25% 3/11/17 (l) |
|
601,874 |
603,378 |
|
CityCenter term loan 8.75% 7/1/13 (l) |
|
521,219 |
518,613 |
|
EOP Operating LP term loan 1.995% 2/5/13 (l) |
|
1,000,000 |
955,000 |
|
|
2,076,991 |
|||
TOTAL FINANCIALS |
10,307,050 |
|||
HEALTH CARE - 0.0% |
||||
Health Care Providers & Services - 0.0% |
||||
Quintiles Transnational Corp. Tranche B, term loan 5% 6/8/18 (l) |
|
2,221,533 |
2,221,533 |
|
INDUSTRIALS - 0.1% |
||||
Airlines - 0.1% |
||||
Delta Air Lines, Inc. Tranche B, term loan 5.5% 4/20/17 (l) |
|
2,767,050 |
2,773,968 |
|
US Airways Group, Inc. term loan 2.7355% 3/23/14 (l) |
|
3,710,765 |
3,608,719 |
|
|
6,382,687 |
|||
Construction & Engineering - 0.0% |
||||
Drumm Investors LLC Tranche B, term loan 5% 5/4/18 (l) |
|
539,420 |
513,797 |
|
Machinery - 0.0% |
||||
Colfax Corp. Tranche B, term loan 4.5% 9/12/18 (l) |
|
2,517,350 |
2,526,790 |
|
Husky Intermediate, Inc. Tranche B, term loan 5.75% 6/30/18 (l) |
|
2,213,883 |
2,219,418 |
|
|
4,746,208 |
|||
TOTAL INDUSTRIALS |
11,642,692 |
|||
INFORMATION TECHNOLOGY - 0.0% |
||||
IT Services - 0.0% |
||||
First Data Corp. term loan 4.2365% 3/24/18 (l) |
|
865,000 |
817,425 |
|
Floating Rate Loans - continued |
||||
|
Principal |
Value |
||
MATERIALS - 0.0% |
||||
Chemicals - 0.0% |
||||
Ascend Performance Materials Operation LLC Tranche B, term loan 6.75% 4/10/18 (l) |
|
$ 2,214,450 |
$ 2,197,842 |
|
Kronos Worldwide, Inc. term loan 5.75% 6/13/18 (l) |
|
755,000 |
758,775 |
|
|
2,956,617 |
|||
Metals & Mining - 0.0% |
||||
JMC Steel Group, Inc. term loan 4.75% 4/1/17 (l) |
|
2,098,329 |
2,106,198 |
|
TOTAL MATERIALS |
5,062,815 |
|||
TELECOMMUNICATION SERVICES - 0.0% |
||||
Wireless Telecommunication Services - 0.0% |
||||
Intelsat Jackson Holdings SA term loan 3.2385% 2/1/14 (l) |
|
2,425,000 |
2,388,625 |
|
UTILITIES - 0.0% |
||||
Independent Power Producers & Energy Traders - 0.0% |
||||
The AES Corp. Tranche B, term loan 4.25% 5/27/18 (l) |
|
370,313 |
371,238 |
|
TOTAL FLOATING RATE LOANS (Cost $59,759,429) |
|
|||
Sovereign Loan Participations - 0.0% |
||||
|
||||
Indonesian Republic loan participation: |
|
|
|
|
Citibank 1.25% 12/14/19 (l) |
|
1,456,912 |
1,362,213 |
|
Goldman Sachs 1.25% 12/14/19 (l) |
|
1,248,611 |
1,167,451 |
|
1.25% 12/14/19 (l) |
|
96,321 |
90,061 |
|
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $2,412,661) |
|
|||
Bank Notes - 0.0% |
||||
|
||||
Wachovia Bank NA 6% 11/15/17 |
|
2,243,000 |
|
Fixed-Income Funds - 24.9% |
|||
Shares |
Value |
||
Fidelity Floating Rate Central Fund (m) |
4,393,033 |
$ 455,557,522 |
|
Fidelity Mortgage Backed Securities Central Fund (m) |
30,634,460 |
3,365,808,163 |
|
TOTAL FIXED-INCOME FUNDS (Cost $3,546,975,871) |
|
||
Preferred Securities - 0.0% |
|||
Principal |
|
||
CONSUMER DISCRETIONARY - 0.0% |
|||
Media - 0.0% |
|||
Globo Comunicacoes e Participacoes SA 6.25% (e)(f)(g) |
$ 1,380,000 |
1,493,571 |
|
MATERIALS - 0.0% |
|||
Metals & Mining - 0.0% |
|||
CSN Islands XII Corp. 7% (Reg. S) (g) |
1,980,000 |
2,026,164 |
|
TOTAL PREFERRED SECURITIES (Cost $3,341,958) |
|
||
Money Market Funds - 7.3% |
|||
Shares |
|
||
Fidelity Cash Central Fund, 0.17% (b) |
1,115,016,542 |
|
|
TOTAL INVESTMENT PORTFOLIO - 102.9% (Cost $14,819,991,219) |
15,818,587,481 |
||
NET OTHER ASSETS (LIABILITIES) - (2.9)% |
(441,403,972) |
||
NET ASSETS - 100% |
$ 15,377,183,509 |
||
TBA Sale Commitments |
|||
|
Principal |
Value |
|
Fannie Mae |
|||
3% 9/1/42 |
$ (35,400,000) |
$ (36,733,511) |
|
3% 9/1/42 |
(7,100,000) |
(7,367,456) |
|
3% 9/1/42 |
(35,400,000) |
(36,733,511) |
|
3% 9/1/42 |
(3,400,000) |
(3,528,077) |
|
3.5% 9/1/42 |
(49,100,000) |
(52,061,339) |
|
3.5% 9/1/42 |
(14,300,000) |
(15,162,467) |
|
TOTAL FANNIE MAE |
(151,586,361) |
||
Ginnie Mae |
|||
3.5% 9/1/42 |
(28,700,000) |
(31,067,753) |
|
3.5% 9/1/42 |
(14,300,000) |
(15,479,751) |
|
TOTAL GINNIE MAE |
(46,547,504) |
||
TOTAL TBA SALE COMMITMENTS (Proceeds $196,996,281) |
$ (198,133,865) |
Swap Agreements |
|||||
|
Expiration Date |
Notional Amount (k) |
Value |
||
Credit Default Swaps |
|||||
Receive monthly notional amount multiplied by 1.545% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-Ca) (j) |
August 2034 |
$ 22,946 |
$ (16,004) |
||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (j) |
Sept. 2034 |
22,651 |
(19,174) |
||
|
$ 45,597 |
$ (35,178) |
Currency Abbreviations |
||
CAD |
- |
Canadian dollar |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(c) Non-income producing - Security is in default. |
(d) Amount is stated in United States dollars unless otherwise noted. |
(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $976,637,203 or 6.4% of net assets. |
(g) Security is perpetual in nature with no stated maturity date. |
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $125,582. |
(j) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference. The underlying reference may be a single-name issuer or a traded credit index. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. For swaps on a trade credit index, ratings represent a weighted average of the ratings of all securities included in the index. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk. |
(k) 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. |
(l) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(m) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request. |
(n) 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. |
(o) 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 $703,384 or 0.0% of net assets. |
Additional information on each restricted holding is as follows: |
Security |
Acquisition Date |
Acquisition Cost |
ACGS Series 2004-1 Class P, 7.4651% 8/1/19 |
2/17/11 |
$ 441,634 |
GMAC Commercial Mortgage Securities, Inc. Series 1999-C2I Class K, 6.481% 9/15/33 |
3/23/07 - 12/4/09 |
$ 173,625 |
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 |
Fidelity Cash Central Fund |
$ 1,028,589 |
Fidelity Floating Rate Central Fund |
27,332,268 |
Fidelity Mortgage Backed Securities Central Fund |
83,919,819 |
Total |
$ 112,280,676 |
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 |
Value, |
Purchases |
Sales |
Value, |
% ownership, end of |
Fidelity Floating Rate Central Fund |
$ 389,816,805 |
$ 176,951,631 |
$ 149,887,472 |
$ 455,557,522 |
31.1% |
Fidelity Mortgage Backed Securities Central Fund |
2,813,030,905 |
804,295,424 |
299,862,393 |
3,365,808,163 |
21.5% |
Total |
$ 3,202,847,710 |
$ 981,247,055 |
$ 449,749,865 |
$ 3,821,365,685 |
|
Other Information |
The following is a summary of the inputs used, as of August 31, 2012, 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 Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: |
||||
Description |
Total |
Level 1 |
Level 2 |
Level 3 |
Investments in Securities: |
||||
Equities: |
||||
Consumer Discretionary |
$ 2,859,570 |
$ 2,859,570 |
$ - |
$ - |
Financials |
7,803,582 |
7,563,394 |
240,188 |
- |
Telecommunication Services |
863,100 |
- |
- |
863,100 |
Corporate Bonds |
3,375,498,349 |
- |
3,375,109,413 |
388,936 |
U.S. Government and Government Agency Obligations |
4,036,561,713 |
- |
4,036,561,713 |
- |
U.S. Government Agency - Mortgage Securities |
1,953,947,679 |
- |
1,953,947,679 |
- |
Asset-Backed Securities |
255,521,074 |
- |
240,434,313 |
15,086,761 |
Collateralized Mortgage Obligations |
67,799,657 |
- |
63,920,356 |
3,879,301 |
Commercial Mortgage Securities |
750,760,023 |
- |
702,337,564 |
48,422,459 |
Municipal Securities |
94,581,856 |
- |
94,581,856 |
- |
Foreign Government and Government Agency Obligations |
265,258,318 |
- |
263,898,318 |
1,360,000 |
Floating Rate Loans |
61,924,304 |
- |
59,440,691 |
2,483,613 |
Sovereign Loan Participations |
2,619,725 |
- |
- |
2,619,725 |
Bank Notes |
2,686,569 |
- |
2,686,569 |
- |
Fixed-Income Funds |
3,821,365,685 |
3,821,365,685 |
- |
- |
Preferred Securities |
3,519,735 |
- |
3,519,735 |
- |
Money Market Funds |
1,115,016,542 |
1,115,016,542 |
- |
- |
Total Investments in Securities: |
$ 15,818,587,481 |
$ 4,946,805,191 |
$ 10,796,678,395 |
$ 75,103,895 |
Derivative Instruments: |
||||
Liabilities |
||||
Swap Agreements |
$ (35,178) |
$ - |
$ - |
$ (35,178) |
Other Financial Instruments: |
||||
TBA Sale Commitments |
$ (198,133,865) |
$ - |
$ (198,133,865) |
$ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2012. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / |
Value |
|
|
Asset |
Liability |
Credit Risk |
||
Swap Agreements (a) |
$ - |
$ (35,178) |
Total Value of Derivatives |
$ - |
$ (35,178) |
(a) Value is disclosed on the Statement of Assets and Liabilities in the Swap agreements, at value line-items. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
|
August 31, 2012 |
|
|
|
|
Assets |
|
|
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $10,157,998,806) |
$ 10,882,205,254 |
|
Fidelity Central Funds (cost $4,661,992,413) |
4,936,382,227 |
|
Total Investments (cost $14,819,991,219) |
|
$ 15,818,587,481 |
Cash |
|
571,379 |
Receivable for investments sold, regular delivery |
|
115,454,778 |
Receivable for TBA sale commitments |
|
196,996,281 |
Receivable for swap agreements |
|
106 |
Receivable for fund shares sold |
|
18,856,046 |
Dividends receivable |
|
62,370 |
Interest receivable |
|
74,930,906 |
Distributions receivable from Fidelity Central Funds |
|
139,940 |
Other receivables |
|
95,922 |
Total assets |
|
16,225,695,209 |
|
|
|
Liabilities |
|
|
Payable for investments purchased |
$ 14,517,077 |
|
Delayed delivery |
618,268,722 |
|
TBA sale commitments, at value |
198,133,865 |
|
Payable for fund shares redeemed |
9,593,091 |
|
Distributions payable |
1,926,056 |
|
Swap agreements, at value |
35,178 |
|
Accrued management fee |
3,985,407 |
|
Distribution and service plan fees payable |
229,057 |
|
Other affiliated payables |
1,766,172 |
|
Other payables and accrued expenses |
57,075 |
|
Total liabilities |
|
848,511,700 |
|
|
|
Net Assets |
|
$ 15,377,183,509 |
Net Assets consist of: |
|
|
Paid in capital |
|
$ 14,212,944,685 |
Undistributed net investment income |
|
32,646,990 |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions |
|
134,168,332 |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies |
|
997,423,502 |
Net Assets |
|
$ 15,377,183,509 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
|
August 31, 2012 |
|
|
|
|
Calculation of Maximum Offering Price |
|
$ 11.29 |
|
|
|
Maximum offering price per share (100/96.00 of $11.29) |
|
$ 11.76 |
Class T: |
|
$ 11.28 |
|
|
|
Maximum offering price per share (100/96.00 of $11.28) |
|
$ 11.75 |
Class B: |
|
$ 11.29 |
|
|
|
Class C: |
|
$ 11.29 |
|
|
|
Total Bond: |
|
$ 11.29 |
|
|
|
Institutional Class: |
|
$ 11.27 |
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.
Annual Report
|
Year ended August 31, 2012 |
|
|
|
|
Investment Income |
|
|
Dividends |
|
$ 919,089 |
Interest |
|
423,424,551 |
Income from Fidelity Central Funds |
|
112,280,676 |
Total income |
|
536,624,316 |
|
|
|
Expenses |
|
|
Management fee |
$ 45,374,634 |
|
Transfer agent fees |
16,126,049 |
|
Distribution and service plan fees |
3,681,304 |
|
Fund wide operations fee |
4,829,454 |
|
Independent trustees' compensation |
50,079 |
|
Miscellaneous |
39,944 |
|
Total expenses before reductions |
70,101,464 |
|
Expense reductions |
(1,816) |
70,099,648 |
Net investment income (loss) |
|
466,524,668 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: |
|
|
Investment securities: |
|
|
Unaffiliated issuers |
399,069,499 |
|
Fidelity Central Funds |
14,026,841 |
|
Foreign currency transactions |
369 |
|
Swap agreements |
(9,731,571) |
|
Total net realized gain (loss) |
|
403,365,138 |
Change in net unrealized appreciation (depreciation) on: Investment securities |
162,512,850 |
|
Assets and liabilities in foreign currencies |
37 |
|
Swap agreements |
9,513,484 |
|
Delayed delivery commitments |
(3,080,519) |
|
Total change in net unrealized appreciation (depreciation) |
|
168,945,852 |
Net gain (loss) |
|
572,310,990 |
Net increase (decrease) in net assets resulting from operations |
|
$ 1,038,835,658 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
|
Year ended |
Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) |
$ 466,524,668 |
$ 503,424,089 |
Net realized gain (loss) |
403,365,138 |
279,450,476 |
Change in net unrealized appreciation (depreciation) |
168,945,852 |
(49,093,458) |
Net increase (decrease) in net assets resulting |
1,038,835,658 |
733,781,107 |
Distributions to shareholders from net investment income |
(476,613,394) |
(485,397,438) |
Distributions to shareholders from net realized gain |
(215,970,794) |
(244,516,243) |
Total distributions |
(692,584,188) |
(729,913,681) |
Share transactions - net increase (decrease) |
1,722,265,752 |
417,450,284 |
Total increase (decrease) in net assets |
2,068,517,222 |
421,317,710 |
|
|
|
Net Assets |
|
|
Beginning of period |
13,308,666,287 |
12,887,348,577 |
End of period (including undistributed net investment income of $32,646,990 and undistributed net investment income of $76,238,459, respectively) |
$ 15,377,183,509 |
$ 13,308,666,287 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
$ 10.27 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) C |
.322 |
.381 |
.428 |
.494 |
.488 |
Net realized and unrealized gain (loss) |
.438 |
.187 |
.778 |
.231 |
(.189) |
Total from investment operations |
.760 |
.568 |
1.206 |
.725 |
.299 |
Distributions from net investment income |
(.335) |
(.367) |
(.402) |
(.447) |
(.474) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.510) |
(.578) |
(.436) |
(.515) |
(.499) |
Net asset value, end of period |
$ 11.29 |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
Total Return A,B |
7.11% |
5.35% |
11.97% |
7.79% |
2.93% |
Ratios to Average Net Assets D,F |
|
|
|
|
|
Expenses before reductions |
.82% |
.83% |
.82% |
.80% |
.80% |
Expenses net of fee waivers, if any |
.82% |
.83% |
.82% |
.80% |
.80% |
Expenses net of all reductions |
.82% |
.83% |
.82% |
.80% |
.80% |
Net investment income (loss) |
2.92% |
3.50% |
4.00% |
5.17% |
4.77% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 643,995 |
$ 1,225,165 |
$ 805,816 |
$ 107,998 |
$ 80,755 |
Portfolio turnover rate E |
155% |
168% G |
130% |
104% G |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F 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.
G 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.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.03 |
$ 11.04 |
$ 10.27 |
$ 10.06 |
$ 10.26 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) C |
.328 |
.386 |
.426 |
.488 |
.489 |
Net realized and unrealized gain (loss) |
.433 |
.186 |
.778 |
.233 |
(.191) |
Total from investment operations |
.761 |
.572 |
1.204 |
.721 |
.298 |
Distributions from net investment income |
(.336) |
(.371) |
(.400) |
(.443) |
(.473) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.511) |
(.582) |
(.434) |
(.511) |
(.498) |
Net asset value, end of period |
$ 11.28 |
$ 11.03 |
$ 11.04 |
$ 10.27 |
$ 10.06 |
Total Return A,B |
7.14% |
5.39% |
11.97% |
7.74% |
2.92% |
Ratios to Average Net Assets D,F |
|
|
|
|
|
Expenses before reductions |
.77% |
.80% |
.82% |
.85% |
.81% |
Expenses net of fee waivers, if any |
.77% |
.80% |
.82% |
.85% |
.81% |
Expenses net of all reductions |
.77% |
.80% |
.82% |
.85% |
.80% |
Net investment income (loss) |
2.97% |
3.54% |
4.01% |
5.12% |
4.76% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 59,896 |
$ 60,500 |
$ 71,349 |
$ 48,090 |
$ 38,574 |
Portfolio turnover rate E |
155% |
168% G |
130% |
104% G |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F 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.
G 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.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.04 |
$ 11.06 |
$ 10.28 |
$ 10.07 |
$ 10.27 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) C |
.247 |
.307 |
.351 |
.423 |
.413 |
Net realized and unrealized gain (loss) |
.434 |
.177 |
.787 |
.233 |
(.190) |
Total from investment operations |
.681 |
.484 |
1.138 |
.656 |
.223 |
Distributions from net investment income |
(.256) |
(.293) |
(.324) |
(.378) |
(.398) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.431) |
(.504) |
(.358) |
(.446) |
(.423) |
Net asset value, end of period |
$ 11.29 |
$ 11.04 |
$ 11.06 |
$ 10.28 |
$ 10.07 |
Total Return A,B |
6.36% |
4.54% |
11.26% |
7.01% |
2.17% |
Ratios to Average Net Assets D,F |
|
|
|
|
|
Expenses before reductions |
1.50% |
1.52% |
1.53% |
1.53% |
1.54% |
Expenses net of fee waivers, if any |
1.50% |
1.52% |
1.53% |
1.53% |
1.54% |
Expenses net of all reductions |
1.50% |
1.52% |
1.53% |
1.53% |
1.54% |
Net investment income (loss) |
2.24% |
2.82% |
3.29% |
4.44% |
4.03% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 11,515 |
$ 9,225 |
$ 13,017 |
$ 9,054 |
$ 9,645 |
Portfolio turnover rate E |
155% |
168% G |
130% |
104% G |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F 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.
G 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.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
$ 10.27 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) C |
.246 |
.308 |
.354 |
.425 |
.413 |
Net realized and unrealized gain (loss) |
.434 |
.187 |
.778 |
.232 |
(.189) |
Total from investment operations |
.680 |
.495 |
1.132 |
.657 |
.224 |
Distributions from net investment income |
(.255) |
(.294) |
(.328) |
(.379) |
(.399) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.430) |
(.505) |
(.362) |
(.447) |
(.424) |
Net asset value, end of period |
$ 11.29 |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
Total Return A,B |
6.34% |
4.65% |
11.20% |
7.02% |
2.18% |
Ratios to Average Net Assets D,F |
|
|
|
|
|
Expenses before reductions |
1.51% |
1.51% |
1.50% |
1.52% |
1.53% |
Expenses net of fee waivers, if any |
1.51% |
1.51% |
1.50% |
1.52% |
1.53% |
Expenses net of all reductions |
1.51% |
1.51% |
1.50% |
1.52% |
1.53% |
Net investment income (loss) |
2.23% |
2.83% |
3.32% |
4.45% |
4.03% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 102,385 |
$ 63,867 |
$ 91,439 |
$ 55,958 |
$ 28,786 |
Portfolio turnover rate E |
155% |
168% G |
130% |
104% G |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F 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.
G 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.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
$ 10.27 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) B |
.363 |
.423 |
.466 |
.527 |
.524 |
Net realized and unrealized gain (loss) |
.434 |
.187 |
.778 |
.232 |
(.189) |
Total from investment operations |
.797 |
.610 |
1.244 |
.759 |
.335 |
Distributions from net investment income |
(.372) |
(.409) |
(.440) |
(.481) |
(.510) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.547) |
(.620) |
(.474) |
(.549) |
(.535) |
Net asset value, end of period |
$ 11.29 |
$ 11.04 |
$ 11.05 |
$ 10.28 |
$ 10.07 |
Total Return A |
7.48% |
5.76% |
12.37% |
8.17% |
3.29% |
Ratios to Average Net Assets C,E |
|
|
|
|
|
Expenses before reductions |
.45% |
.45% |
.45% |
.45% |
.45% |
Expenses net of fee waivers, if any |
.45% |
.45% |
.45% |
.45% |
.45% |
Expenses net of all reductions |
.45% |
.45% |
.45% |
.45% |
.45% |
Net investment income (loss) |
3.29% |
3.89% |
4.37% |
5.52% |
5.12% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 13,963,154 |
$ 11,418,458 |
$ 11,342,385 |
$ 10,863,828 |
$ 9,976,432 |
Portfolio turnover rate D |
155% |
168% F |
130% |
104% F |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Calculated based on average shares outstanding during the period.
C 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.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E 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.
F 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.
Annual Report
Years ended August 31, |
2012 |
2011 |
2010 |
2009 |
2008 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period |
$ 11.02 |
$ 11.04 |
$ 10.26 |
$ 10.06 |
$ 10.26 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) B |
.353 |
.413 |
.458 |
.518 |
.516 |
Net realized and unrealized gain (loss) |
.435 |
.178 |
.788 |
.224 |
(.186) |
Total from investment operations |
.788 |
.591 |
1.246 |
.742 |
.330 |
Distributions from net investment income |
(.363) |
(.400) |
(.432) |
(.474) |
(.505) |
Distributions from net realized gain |
(.175) |
(.211) |
(.034) |
(.068) |
(.025) |
Total distributions |
(.538) |
(.611) |
(.466) |
(.542) |
(.530) |
Net asset value, end of period |
$ 11.27 |
$ 11.02 |
$ 11.04 |
$ 10.26 |
$ 10.06 |
Total Return A |
7.40% |
5.58% |
12.41% |
7.99% |
3.24% |
Ratios to Average Net Assets C,E |
|
|
|
|
|
Expenses before reductions |
.53% |
.54% |
.52% |
.53% |
.51% |
Expenses net of fee waivers, if any |
.53% |
.54% |
.52% |
.53% |
.51% |
Expenses net of all reductions |
.53% |
.54% |
.52% |
.53% |
.51% |
Net investment income (loss) |
3.20% |
3.80% |
4.30% |
5.45% |
5.06% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) |
$ 596,238 |
$ 531,451 |
$ 509,388 |
$ 884,991 |
$ 947,791 |
Portfolio turnover rate D |
155% |
168% F |
130% |
104% F |
122% |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Calculated based on average shares outstanding during the period.
C 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.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E 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.
F 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.
Annual Report
For the period ended August 31, 2012
1. Organization.
Fidelity Total Bond Fund (the Fund) is a fund of Fidelity Income Fund (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, Total Bond and Institutional Class shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Effective after the close of business on September 1, 2010, Class B shares were closed to new accounts and additional purchases, except for exchanges and reinvestments. The Fund offered Class F shares during the period June 26, 2009 through September 30, 2010, and all outstanding shares were redeemed by September 30, 2010. 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. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated 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.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) 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 FMR. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Annual Report
2. Investments in Fidelity Central Funds - continued
Fidelity Central |
Investment |
Investment |
Investment |
Fidelity Floating Rate Central Fund |
FMR Co., Inc. (FMRC) |
Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. |
Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities
|
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 Futures Repurchase Agreements Swap Agreements |
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 fidelity.com and/or advisor.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including security valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC web site 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:
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Security 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 vendor or broker to value its investments. When current market prices, quotations or rates are not readily available or reliable, securities will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by security type and may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The 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:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, bank notes, floating rate loans, foreign government and government agency obligations, municipal securities, preferred securities, U.S. government and government agency obligations and sovereign loan participations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from third party pricing vendors or broker-supplied valuations. Pricing vendors utilize matrix pricing which considers comparisons to
Annual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. 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. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by 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. Utilizing these techniques may result in transfers between Level 1 and Level 2.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
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 August 31, 2012 for the Fund's investments, is included at the end of Fund's Schedule of Investments.
Foreign Currency Translation. 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.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Foreign Currency Translation - continued
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 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. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. 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. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. 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.
Expenses. 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.
Annual Report
3. Significant Accounting Policies - continued
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.
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 income taxes is required. As of August 31, 2012, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A 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.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, 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. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax puposes.
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. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, foreign currency transactions, market discount, equity-debt classifications, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation |
$ 827,319,537 |
Gross unrealized depreciation |
(39,157,730) |
Net unrealized appreciation (depreciation) on securities and other investments |
$ 788,161,807 |
|
|
Tax Cost |
$ 15,030,425,674 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income |
$ 210,788,981 |
Undistributed long-term capital gain |
$ 166,517,877 |
Net unrealized appreciation (depreciation) |
$ 786,989,036 |
The tax character of distributions paid was as follows:
|
August 31, 2012 |
August 31, 2011 |
Ordinary Income |
$ 543,254,351 |
$ 677,298,053 |
Long-term Capital Gains |
149,329,837 |
52,615,628 |
Total |
$ 692,584,188 |
$ 729,913,681 |
New Accounting Pronouncement. In December 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
Annual Report
4. Operating Policies.
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.
Annual Report
Notes to Financial Statements - continued
4. Operating 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.
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.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these loans.
5. 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 swap agreements. 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 instrument 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.
Annual Report
5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
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. |
Interest Rate Risk |
Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
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 swap transactions, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement on a bilateral basis 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 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 OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund.
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.
Annual Report
Notes to Financial Statements - continued
5. 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 shown in the Statement of Operations.
Primary Risk Exposure / Derivative Type |
Net Realized Gain |
Change in Net Unrealized Appreciation (Depreciation) |
Credit Risk |
|
|
Swap Agreements |
$ (11,493,058) |
$ 11,282,704 |
Interest Rate Risk |
|
|
Swap Agreements |
1,761,487 |
(1,769,220) |
Totals (a) |
$ (9,731,571) |
$ 9,513,484 |
(a) A summary of the value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Schedule of Investments and is representative of activity for the period.
Swap Agreements. A swap agreement (swap) is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
Swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the swap agreements at value line items. Any upfront premiums paid or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are included in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. 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 "Swap Agreements."
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 acts as a guarantor of the creditworthiness of a reference obligation and
Annual Report
5. Derivative Instruments - continued
Credit Default Swaps - continued
will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR 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.
Annual Report
Notes to Financial Statements - continued
5. Derivative Instruments - continued
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
6. 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 $2,996,511,940 and $2,592,413,794, respectively.
7. Fees and Other Transactions with Affiliates.
Management Fee. FMR 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 .20% of the Fund's average net assets and an annualized group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, 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 |
Service |
Total |
Retained |
Class A |
-% |
.25% |
$ 2,647,419 |
$ 20,730 |
Class T |
-% |
.25% |
134,313 |
223 |
Class B |
.65% |
.25% |
92,292 |
66,655 |
Class C |
.75% |
.25% |
807,280 |
171,025 |
|
|
|
$ 3,681,304 |
$ 258,633 |
Annual Report
7. Fees and Other Transactions with Affiliates - continued
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and 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, .75% 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 |
Class A |
$ 85,483 |
Class T |
18,805 |
Class B* |
14,610 |
Class C* |
8,346 |
|
$ 127,244 |
* 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 FMR, 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 each respective class of the Fund, with the exception of Total Bond. FIIOC receives an asset-based fee of .10% of Total Bonds'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 class were as follows:
|
Amount |
% of |
Class A |
$ 2,273,039 |
.22 |
Class T |
92,686 |
.17 |
Class B |
25,536 |
.25 |
Class C |
130,350 |
.16 |
Total Bond |
12,617,115 |
.10 |
Institutional Class |
987,323 |
.18 |
|
$ 16,126,049 |
|
Annual Report
Notes to Financial Statements - continued
7. Fees and Other Transactions with Affiliates - continued
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annual rate of .03% of average net assets.
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR 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 $39,944 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. 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, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. 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. Total security lending income during the period amounted to $210,848.
10. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $1,816.
Annual Report
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, |
2012 |
2011 A |
From net investment income |
|
|
Class A |
$ 33,174,378 |
$ 35,129,345 |
Class T |
1,623,184 |
1,855,789 |
Class B |
234,459 |
296,985 |
Class C |
1,815,511 |
2,026,950 |
Total Bond |
422,085,321 |
427,026,328 |
Class F |
- |
129,141 |
Institutional Class |
17,680,541 |
18,932,900 |
Total |
$ 476,613,394 |
$ 485,397,438 |
From net realized gain |
|
|
Class A |
$ 20,453,255 |
$ 17,070,006 |
Class T |
936,741 |
1,197,314 |
Class B |
146,504 |
247,157 |
Class C |
1,103,220 |
1,677,741 |
Total Bond |
184,845,293 |
214,891,467 |
Class F |
- |
- |
Institutional Class |
8,485,781 |
9,432,558 |
Total |
$ 215,970,794 |
$ 244,516,243 |
A All Class F shares were redeemed on September 30, 2010.
12. Share Transactions.
Transactions for each class of shares were as follows:
|
Shares |
Dollars |
||
Years ended August 31, |
2012 |
2011 A |
2012 |
2011 A |
Class A |
|
|
|
|
Shares sold |
55,687,021 |
70,407,747 |
$ 616,317,251 |
$ 764,123,344 |
Reinvestment of distributions |
4,615,320 |
4,687,391 |
50,468,160 |
50,970,385 |
Shares redeemed |
(114,257,352) |
(36,997,892) |
(1,261,967,797) |
(404,102,564) |
Net increase (decrease) |
(53,955,011) |
38,097,246 |
$ (595,182,386) |
$ 410,991,165 |
Class T |
|
|
|
|
Shares sold |
3,204,699 |
5,910,533 |
$ 35,225,108 |
$ 64,536,331 |
Reinvestment of distributions |
211,056 |
246,104 |
2,311,967 |
2,672,918 |
Shares redeemed |
(3,591,541) |
(7,131,049) |
(39,283,078) |
(77,181,315) |
Net increase (decrease) |
(175,786) |
(974,412) |
$ (1,746,003) |
$ (9,972,066) |
Annual Report
Notes to Financial Statements - continued
12. Share Transactions - continued
|
Shares |
Dollars |
||
Years ended August 31, |
2012 |
2011 A |
2012 |
2011 A |
Class B |
|
|
|
|
Shares sold |
412,177 |
164,162 |
$ 4,548,077 |
$ 1,801,729 |
Reinvestment of distributions |
27,801 |
41,104 |
304,772 |
447,251 |
Shares redeemed |
(255,876) |
(547,045) |
(2,827,300) |
(5,927,269) |
Net increase (decrease) |
184,102 |
(341,779) |
$ 2,025,549 |
$ (3,678,289) |
Class C |
|
|
|
|
Shares sold |
4,840,132 |
2,834,490 |
$ 53,492,696 |
$ 30,988,336 |
Reinvestment of distributions |
232,155 |
299,725 |
2,545,589 |
3,259,076 |
Shares redeemed |
(1,789,177) |
(5,620,712) |
(19,700,005) |
(60,917,944) |
Net increase (decrease) |
3,283,110 |
(2,486,497) |
$ 36,338,280 |
$ (26,670,532) |
Total Bond |
|
|
|
|
Shares sold |
465,601,300 |
384,874,413 |
$ 5,136,671,142 |
$ 4,191,107,190 |
Reinvestment of distributions |
52,638,341 |
56,207,634 |
578,033,531 |
611,374,414 |
Shares redeemed |
(315,889,184) |
(432,717,356) |
(3,486,452,105) |
(4,723,560,620) |
Net increase (decrease) |
202,350,457 |
8,364,691 |
$ 2,228,252,568 |
$ 78,920,984 |
Class F |
|
|
|
|
Shares sold |
- |
320,292 |
$ - |
$ 3,532,515 |
Reinvestment of distributions |
- |
11,655 |
- |
129,141 |
Shares redeemed |
- |
(5,214,738) |
- |
(57,498,547) |
Net increase (decrease) |
- |
(4,882,791) |
$ - |
$ (53,836,891) |
Institutional Class |
|
|
|
|
Shares sold |
20,638,230 |
9,397,783 |
$ 227,773,701 |
$ 102,168,317 |
Reinvestment of distributions |
2,315,493 |
2,572,592 |
25,373,096 |
27,946,248 |
Shares redeemed |
(18,279,211) |
(9,899,063) |
(200,569,053) |
(108,418,652) |
Net increase (decrease) |
4,674,512 |
2,071,312 |
$ 52,577,744 |
$ 21,695,913 |
A All Class F shares were redeemed on September 30, 2010.
13. 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.
Annual Report
14. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
Annual Report
To the Trustees of Fidelity Income Fund and the Shareholders of Fidelity Total Bond Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Total Bond Fund (a fund of Fidelity Income Fund) at August 31, 2012, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Total Bond Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2012 by correspondence with the custodian, brokers and agent banks, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 18, 2012
Annual Report
The Trustees and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 207 funds advised by FMR or an affiliate. Mr. Curvey oversees 435 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers hold office without limit in time, except that any officer may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Annual Report
Trustees and Officers - continued
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Albert R. Gamper, Jr. serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds and another Board oversees Fidelity's equity and high income funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of FMR's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Interested Trustees*:
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupations and Other Relevant Experience+ |
|
Abigail P. Johnson (50) |
|
|
Year of Election or Appointment: 2009 Ms. Johnson is Trustee and Chairman of the Board of Trustees of certain Trusts. Ms. Johnson serves as President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (2011-present), Chairman and Director of FMR (2011-present), and the Vice Chairman and Director (2007-present) of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc., and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity funds (2001-2005), and managed a number of Fidelity funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related. |
James C. Curvey (77) |
|
|
Year of Election or Appointment: 2007 Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp. |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupations and Other Relevant Experience+ |
|
Albert R. Gamper, Jr. (70) |
|
|
Year of Election or Appointment: 2006 Mr. Gamper is Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2012-present). Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), a member of the Board of Trustees, Rutgers University (2004-present), and Chairman of the Board of Barnabas Health Care System. Previously, Mr. Gamper served as Vice Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2011-2012) and as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Robert F. Gartland (60) |
|
|
Year of Election or Appointment: 2010 Mr. Gartland is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (65) |
|
|
Year of Election or Appointment: 2008 Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation (diversified power management, 2009-present), AGL Resources, Inc. (holding company, 2002-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Mr. Edward C. Johnson 3d or Ms. Abigail P. Johnson. |
Michael E. Kenneally (58) |
|
|
Year of Election or Appointment: 2009 Previously, Mr. Kenneally served as a Member of the Advisory Board for certain Fidelity Fixed Income and Asset Allocation Funds (2008-2009). Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management (2003-2005). Mr. Kenneally was a Director of the Credit Suisse Funds (U.S. mutual funds, 2004-2008) and certain other closed-end funds (2004-2005) and was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (71) |
|
|
Year of Election or Appointment: 2007 Mr. Keyes serves as a member of the Boards of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, since 2002) and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, since 1998). Prior to his retirement, Mr. Keyes served as Chairman and Chief Executive Officer of Johnson Controls (automotive, building, and energy, 1998-2002) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (65) |
|
|
Year of Election or Appointment: 2001 Ms. Knowles is Vice Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2012-present). Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is an Honorary Trustee of the Brookings Institution and a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California and the Foundation Board of the School of Architecture at the University of Virginia (2007-present). Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007). |
Kenneth L. Wolfe (73) |
|
|
Year of Election or Appointment: 2005 Prior to his retirement, Mr. Wolfe served as Chairman and a Director (2007-2009) and Chairman and Chief Executive Officer (1994-2001) of Hershey Foods Corporation. He also served as a member of the Boards of Adelphia Communications Corporation (telecommunications, 2003-2006), Bausch & Lomb, Inc. (medical/pharmaceutical, 1993-2007), and Revlon, Inc. (personal care products, 2004-2009). Mr. Wolfe previously served as Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2008-2012). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Annual Report
Executive Officers:
Correspondence intended for each executive officer may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation |
|
John R. Hebble (54) |
|
|
Year of Election or Appointment: 2008 President and Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Hebble also serves as President (2011-present), Treasurer, and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present), Assistant Treasurer of other Fidelity funds (2009-present) and is an employee of Fidelity Investments. |
Charles S. Morrison (51) |
|
|
Year of Election or Appointment: 2012 Vice President of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Morrison also serves as President, Fixed Income and is an employee of Fidelity Investments. Previously, Mr. Morrison served as Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Fixed Income Division. |
Robert P. Brown (48) |
|
|
Year of Election or Appointment: 2012 Vice President of Fidelity's Bond Funds. Mr. Brown also serves as Executive Vice President of Fidelity Investments Money Management, Inc. (2010-present), President, Bond Group of FMR (2011-present), Director and Managing Director, Research of Fidelity Management & Research (U.K.) Inc. (2008-present) and is an employee of Fidelity Investments. Previously, Mr. Brown served as President, Money Market Group of FMR (2010-2011) and Vice President of Fidelity's Money Market Funds (2010-2012). |
Scott C. Goebel (44) |
|
|
Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as Secretary of Fidelity Investments Money Management, Inc. (FIMM) (2010-present) and Fidelity Research and Analysis Company (FRAC) (2010-present); Secretary and CLO of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present); General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); employed by FMR LLC or an affiliate (2001-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), and Fidelity Management & Research (U.K.) Inc. (2008-present). Previously, Mr. Goebel served as Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
Ramon Herrera (38) |
|
|
Year of Election or Appointment: 2012 Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Herrera also serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2004-present). |
Elizabeth Paige Baumann (44) |
|
|
Year of Election or Appointment: 2012 Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Baumann also serves as AML Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2012-present), Chief AML Officer of FMR LLC (2012-present), and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012). |
Christine Reynolds (53) |
|
|
Year of Election or Appointment: 2008 Chief Financial Officer of the Fidelity funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007). |
Michael H. Whitaker (45) |
|
|
Year of Election or Appointment: 2008 Chief Compliance Officer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Whitaker also serves as Chief Compliance Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present). Mr. Whitaker is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Joseph F. Zambello (55) |
|
|
Year of Election or Appointment: 2011 Deputy Treasurer of the Fidelity funds. Mr. Zambello is an employee of Fidelity Investments. Previously, Mr. Zambello served as Vice President of FMR's Program Management Group (2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009). |
Stephanie J. Dorsey (43) |
|
|
Year of Election or Appointment: 2008 Deputy Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Ms. Dorsey also serves as Assistant Treasurer of other Fidelity funds (2010-present) and is an employee of Fidelity Investments (2008-present). Previously, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Adrien E. Deberghes (45) |
|
|
Year of Election or Appointment: 2010 Assistant Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Deberghes also serves as Vice President and Assistant Treasurer (2011-present) and Deputy Treasurer (2008-present) of other Fidelity funds, and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Kenneth B. Robins (43) |
|
|
Year of Election or Appointment: 2009 Assistant Treasurer of the Fidelity Fixed Income and Asset Allocation Funds. Mr. Robins also serves as President and Treasurer of other Fidelity funds (2008-present; 2010-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Deputy Treasurer of the Fidelity funds (2005-2008) and Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2006-2008). |
Gary W. Ryan (54) |
|
|
Year of Election or Appointment: 2005 Assistant Treasurer of the Fidelity funds. Mr. Ryan is an employee of Fidelity Investments. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005). |
Jonathan Davis (44) |
|
|
Year of Election or Appointment: 2010 Assistant Treasurer of the Fidelity funds. Mr. Davis is also Assistant Treasurer of Fidelity Rutland Square Trust II and Fidelity Commonwealth Trust II. Mr. Davis is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (2003-2010). |
Annual Report
The Board of Trustees of Fidelity Total Bond Fund voted to pay on October 15, 2012, to shareholders of record at the opening of business on October 12, 2012, a distribution of $0.281 per share derived from capital gains realized from sales of portfolio securities.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2012, $199,670,838, or, if subsequently determined to be different, the net capital gain of such year.
A total of 13.28% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $293,489,978 of distributions paid during the period January 1, 2012 to August 31, 2012 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2013 of amounts for use in preparing 2012 income tax returns.
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
Fidelity Investments
Money Management, Inc.
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors
(UK) Limited
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FAST®)
1-800-544-5555
Automated line for quickest service
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
TBD-UANN-1012 1.789712.109
Item 2. Code of Ethics
As of the end of the period, August 31, 2012, Fidelity Income Fund (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert
The Board of Trustees of the trust has determined that James H. Keyes is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Keyes is independent for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by PricewaterhouseCoopers LLP ("PwC") in each of the last two fiscal years for services rendered to Fidelity Total Bond Fund (the "Fund"):
Services Billed by PwC
August 31, 2012 FeesA
|
Audit Fees |
Audit-Related Fees |
Tax Fees |
All Other Fees |
Fidelity Total Bond Fund |
$188,000 |
$- |
$5,100 |
$7,500 |
August 31, 2011 FeesA
|
Audit Fees |
Audit-Related Fees |
Tax Fees |
All Other Fees |
Fidelity Total Bond Fund |
$170,000 |
$- |
$4,500 |
$7,700 |
A Amounts may reflect rounding.
The following table presents fees billed by PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund and that are rendered on behalf of Fidelity Management & Research Company ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund ("Fund Service Providers"):
Services Billed by PwC
|
August 31, 2012A |
August 31, 2011A |
Audit-Related Fees |
$4,450,000 |
$1,860,000 |
Tax Fees |
$- |
$- |
All Other Fees |
$- |
$- |
A Amounts may reflect rounding.
"Audit-Related Fees" represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
"Tax Fees" represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
"All Other Fees" represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by PwC for services rendered to the Fund, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund are as follows:
Billed By |
August 31, 2012 A |
August 31, 2011 A |
PwC |
$5,665,000 |
$3,310,000 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its audit of the Fund, taking into account representations from PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund and its related entities and FMR's review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust's Audit Committee must pre-approve all audit and non-audit services provided by a fund's independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund ("Covered Service") are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee on a periodic basis.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X ("De Minimis Exception")
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund's last two fiscal years relating to services provided to (i) the Fund or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund.
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 trust's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) for the Fund provide reasonable assurances that material information relating to the Fund 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 Fund'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 Fund's internal control over financial reporting.
Item 12. Exhibits
(a) |
(1) |
Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(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 Income Fund
By: |
/s/John R. Hebble |
|
John R. Hebble |
|
President and Treasurer |
|
|
Date: |
October 26, 2012 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: |
/s/John R. Hebble |
|
John R. Hebble |
|
President and Treasurer |
|
|
Date: |
October 26, 2012 |
By: |
/s/Christine Reynolds |
|
Christine Reynolds |
|
Chief Financial Officer |
|
|
Date: |
October 26, 2012 |
Exhibit EX-99.CERT
I, John R. Hebble, certify that:
1. I have reviewed this report on Form N-CSR of Fidelity Income Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and
d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
Date: October 26, 2012
/s/John R. Hebble |
John R. Hebble |
President and Treasurer |
I, Christine Reynolds, certify that:
1. I have reviewed this report on Form N-CSR of Fidelity Income Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and
d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
Date: October 26, 2012
/s/Christine Reynolds |
Christine Reynolds |
Chief Financial Officer |
Exhibit EX-99.906CERT
Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)
In connection with the attached Report of Fidelity Income Fund (the "Trust") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report"), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer's knowledge:
1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and
2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.
Dated: October 26, 2012
/s/John R. Hebble |
John R. Hebble |
President and Treasurer |
Dated: October 26, 2012
/s/Christine Reynolds |
Christine Reynolds |
Chief Financial Officer |
A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.
EXHIBIT EX-99.CODE ETH
I. Purposes of the Code/Covered Officers
This document constitutes the Code of Ethics (Code) adopted by the Fidelity Funds (Funds) pursuant to the provisions of Rule 30b2-1(a) under the Investment Company Act of 1940), which Rule implements Sections 406 of the Sarbanes-Oxley Act of 2002 with respect to registered investment companies. The Code applies to the Fidelity Funds' President and Treasurer, and Chief Financial Officer (Covered Officers). Fidelity's Ethics Office, a part of Corporate Compliance Group within Core Compliance, administers the Code.
The purposes of the Code are to deter wrongdoing and to promote, on the part of the Covered Officers:
Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.
II. Covered Officers Should Handle Ethically
Actual and Apparent Conflicts of Interest
Overview. A "conflict of interest" occurs when a Covered Officer's private interest interferes with the interests of, or his service to, the Fidelity Funds. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Fidelity Funds.
Certain conflicts of interest arise out of the relationships between Covered Officers and the Fidelity Funds and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (Investment Company Act) and the Investment Advisers Act of 1940 (Investment Advisers Act). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with a Fidelity Fund because of their status as "affiliated persons" of the Fund. Separate compliance programs and procedures of the Fidelity Funds, Fidelity Management & Research Company (FMR) and the other Fidelity companies are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.
Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company) of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Fidelity Funds, FMR or another Fidelity company), be involved in establishing policies and implementing decisions that have different effects on the Fidelity Funds, FMR and other Fidelity companies. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company), and is consistent with the performance by the Covered Officers of their duties as officers of the Fidelity Funds. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds' Board of Trustees (Board) that the Covered Officers also may be officers or employees of one or more other Fidelity Funds covered by this Code.
Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of a Fidelity Fund.
* * *
Each Covered Officer must:
With respect to other fact patterns, if a Covered Officer is in doubt, other potential conflict of interest situations should be described immediately to the Fidelity Ethics Office for resolution. Similarly, any questions a Covered Officer has generally regarding the application or interpretation of the Code should be directed to the Fidelity Ethics Office immediately.
III. Disclosure and Compliance
IV. Reporting and Accountability
Each Covered Officer must:
The Fidelity Ethics Office shall take all action it considers appropriate to investigate any actual or potential violations reported to it. Upon completion of the investigation, if necessary, the matter will be reviewed with senior management or other appropriate parties, and a determination will be made as to whether any action should be taken as detailed below. The Covered Officer will be informed of any action determined to be appropriate. The Fidelity Ethics Office will inform the Personal Trading Committee of all Code violations and actions taken in response. Without implied limitation, appropriate remedial, disciplinary or preventive action may include a written warning, a letter of censure, suspension, dismissal or, in the event of criminal or other serious violations of law, notification of the SEC or other appropriate law enforcement authorities. Additionally, other legal remedies may be pursued.
The policies and procedures described in the Code do not create any obligations to any person or entity other than the Fidelity Funds. The Code is intended solely for the internal use by the Fidelity Funds and does not constitute a promise, contract or an admission by or on behalf of any Fidelity Fund as to any fact, circumstance, or legal conclusion. The Fidelity Funds, the Fidelity companies and the Fidelity Chief Ethics Officer retain the discretion to decide whether the Code applies to a specific situation, and how it should be interpreted.
V. Oversight
Material violations of this Code will be reported promptly by FMR to the Board's Compliance Committee. In addition, at least once each year, FMR will provide a written report to the Board, which describes any issues arising under the Code since the last report to the Board, including, but not limited to, information about material violations of the Code and action taken in response to the material violations.
VI. Other Policies and Procedures
This Code shall be the sole code of ethics adopted by the Fidelity Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Other Fidelity policies or procedures that cover the behavior or activities of Covered Officers are separate requirements applying to the Covered Officers (and others), and are not part of this Code.
VII. Amendments
Any material amendments or changes to this Code must be approved or ratified by a majority vote of the Board, including a majority of the Trustees who are not interested persons of the Fidelity Funds.
VIII. Records and Confidentiality
Records of any violation of the Code and of the actions taken as a result of such violations will be kept by the Fidelity Ethics Office. All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Fidelity Ethics Office, the Personal Trading Committee, the Board, appropriate personnel at the relevant Fidelity company or companies and the legal counsel of any or all of the foregoing.
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