N-CSRS 1 filing729.htm PRIMARY DOCUMENT

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   811-4707


Fidelity Advisor Series II

 (Exact name of registrant as specified in charter)


245 Summer St., Boston, MA 02210

 (Address of principal executive offices)       (Zip code)


Marc Bryant, Secretary

245 Summer St.

Boston, Massachusetts  02210

 (Name and address of agent for service)



Registrant's telephone number, including area code:

617-563-7000



Date of fiscal year end:

August 31



Date of reporting period:

February 29, 2016


Item 1.

Reports to Stockholders




Fidelity Advisor® Limited Term Bond Fund
Class A, Class T, Class B and Class C



Semi-Annual Report

February 29, 2016



Fidelity Investments


Contents

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees


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. © 2016 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.



Investment Summary (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.

Quality Diversification (% of fund's net assets)

As of February 29, 2016 
   U.S. Government and U.S. Government Agency Obligations 10.0% 
   AAA 14.5% 
   AA 3.6% 
   A 26.3% 
   BBB 38.5% 
   BB and Below 6.6% 
   Not Rated 0.3% 
   Short-Term Investments and Net Other Assets 0.2% 


As of August 31, 2015 
   U.S. Government and U.S. Government Agency Obligations 7.9% 
   AAA 16.1% 
   AA 4.3% 
   A 27.8% 
   BBB 37.0% 
   BB and Below 4.7% 
   Not Rated 0.1% 
   Short-Term Investments and Net Other Assets 2.1% 


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

Weighted Average Maturity as of February 29, 2016

  6 months ago 
Years 2.7 2.9 

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 February 29, 2016

  6 months ago 
Years 2.6 2.7 

Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration.

Asset Allocation (% of fund's net assets)

As of February 29, 2016*,** 
   Corporate Bonds 70.3% 
   U.S. Government and U.S. Government Agency Obligations 10.0% 
   Asset-Backed Securities 8.4% 
   CMOs and Other Mortgage Related Securities 7.7% 
   Municipal Bonds 0.8% 
   Other Investments 2.6% 
   Short-Term Investments and Net Other Assets (Liabilities) 0.2% 


 * Foreign investments - 15.5%

 ** Futures and Swaps - 0.0%


As of August 31, 2015*,** 
   Corporate Bonds 68.9% 
   U.S. Government and U.S. Government Agency Obligations 7.9% 
   Asset-Backed Securities 9.4% 
   CMOs and Other Mortgage Related Securities 8.5% 
   Municipal Bonds 0.4% 
   Other Investments 2.8% 
   Short-Term Investments and Net Other Assets (Liabilities) 2.1% 


 * Foreign investments - 15.6%

 ** Futures and Swaps - 0.0%


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.

Percentages shown as 0.0% may reflect amounts less than 0.05%. 

Investments February 29, 2016 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 69.7%   
 Principal Amount Value 
CONSUMER DISCRETIONARY - 6.9%   
Automobiles - 2.3%   
American Honda Finance Corp.:   
1.2% 7/14/17 $5,000,000 $4,989,465 
1.7% 2/22/19 1,918,000 1,920,835 
2.125% 10/10/18 500,000 505,172 
Daimler Finance North America LLC:   
1.375% 8/1/17 (a) 2,000,000 1,987,328 
1.45% 8/1/16 (a) 1,461,000 1,461,260 
1.65% 5/18/18 (a) 3,000,000 2,962,203 
2.25% 3/2/20 (a) 3,020,000 2,975,839 
2.375% 8/1/18 (a) 1,000,000 1,005,376 
General Motors Financial Co., Inc.:   
2.4% 4/10/18 3,000,000 2,947,344 
3% 9/25/17 3,000,000 3,002,646 
3.15% 1/15/20 5,000,000 4,885,795 
3.2% 7/13/20 5,000,000 4,833,350 
4.2% 3/1/21 3,000,000 3,004,503 
Volkswagen Group of America Finance LLC:   
1.25% 5/23/17 (a) 1,000,000 982,470 
2.4% 5/22/20 (a) 3,098,000 2,937,582 
Volkswagen International Finance NV:   
1.6% 11/20/17 (a) 620,000 607,431 
2.125% 11/20/18 (a) 1,500,000 1,451,678 
2.375% 3/22/17 (a) 600,000 599,731 
  43,060,008 
Diversified Consumer Services - 0.0%   
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 1,020,000 1,126,623 
Hotels, Restaurants & Leisure - 0.3%   
McDonald's Corp.:   
2.1% 12/7/18 742,000 751,582 
2.2% 5/26/20 5,000,000 5,046,465 
2.75% 12/9/20 345,000 355,023 
  6,153,070 
Household Durables - 0.4%   
D.R. Horton, Inc.:   
3.75% 3/1/19 2,000,000 2,035,000 
4% 2/15/20 3,000,000 3,052,500 
Toll Brothers Finance Corp. 4% 12/31/18 2,500,000 2,556,250 
  7,643,750 
Media - 3.9%   
21st Century Fox America, Inc. 6.9% 3/1/19 750,000 851,442 
British Sky Broadcasting Group PLC 2.625% 9/16/19 (a) 3,000,000 3,011,283 
CBS Corp. 2.3% 8/15/19 1,500,000 1,507,266 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 3.579% 7/23/20 (a) 10,000,000 10,024,900 
Comcast Corp.:   
5.7% 5/15/18 42,000 45,824 
6.3% 11/15/17 6,000,000 6,491,640 
COX Communications, Inc. 6.25% 6/1/18 (a) 4,000,000 4,283,500 
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:   
2.4% 3/15/17 2,700,000 2,726,544 
5.875% 10/1/19 5,034,000 5,631,294 
Discovery Communications LLC 5.05% 6/1/20 322,000 337,086 
NBCUniversal Enterprise, Inc. 1.974% 4/15/19 (a) 3,000,000 3,018,849 
Thomson Reuters Corp.:   
0.875% 5/23/16 278,000 277,708 
1.65% 9/29/17 5,050,000 5,028,633 
Time Warner Cable, Inc.:   
5.85% 5/1/17 4,996,000 5,187,806 
6.75% 7/1/18 1,141,000 1,243,342 
8.25% 4/1/19 500,000 571,677 
Time Warner, Inc.:   
2.1% 6/1/19 2,000,000 1,982,546 
6.875% 6/15/18 5,095,000 5,642,483 
Viacom, Inc.:   
2.2% 4/1/19 6,000,000 5,887,974 
3.5% 4/1/17 455,000 459,508 
6.125% 10/5/17 3,179,000 3,337,079 
Walt Disney Co. 1.85% 5/30/19 6,000,000 6,110,034 
  73,658,418 
TOTAL CONSUMER DISCRETIONARY  131,641,869 
CONSUMER STAPLES - 6.1%   
Beverages - 1.1%   
Anheuser-Busch InBev Finance, Inc.:   
1.9% 2/1/19 5,000,000 5,047,390 
2.15% 2/1/19 1,500,000 1,521,384 
2.65% 2/1/21 3,890,000 3,959,207 
3.3% 2/1/23 4,190,000 4,307,245 
Heineken NV 1.4% 10/1/17 (a) 321,000 320,893 
PepsiCo, Inc. 7.9% 11/1/18 815,000 948,238 
SABMiller Holdings, Inc.:   
2.2% 8/1/18 (a) 2,310,000 2,322,703 
2.45% 1/15/17 (a) 1,280,000 1,290,098 
  19,717,158 
Food & Staples Retailing - 1.1%   
CVS Health Corp.:   
1.9% 7/20/18 1,549,000 1,555,249 
2.25% 12/5/18 8,376,000 8,462,742 
2.25% 8/12/19 5,000,000 5,058,430 
2.8% 7/20/20 1,496,000 1,531,983 
Kroger Co. 1.1496% 10/17/16 (b) 5,000,000 5,002,120 
  21,610,524 
Food Products - 1.8%   
Cargill, Inc. 6% 11/27/17 (a) 106,000 113,511 
ConAgra Foods, Inc. 1.9% 1/25/18 2,222,000 2,220,116 
General Mills, Inc.:   
1.4% 10/20/17 3,000,000 3,000,747 
2.2% 10/21/19 2,000,000 2,020,428 
5.7% 2/15/17 5,000,000 5,216,580 
Kraft Foods Group, Inc.:   
2.25% 6/5/17 610,000 614,731 
5.375% 2/10/20 5,000,000 5,533,035 
The J.M. Smucker Co.:   
1.75% 3/15/18 5,874,000 5,855,291 
2.5% 3/15/20 1,964,000 1,980,482 
Tyson Foods, Inc. 2.65% 8/15/19 7,000,000 7,094,591 
William Wrigley Jr. Co. 2% 10/20/17 (a) 428,000 429,018 
  34,078,530 
Tobacco - 2.1%   
Altria Group, Inc. 2.625% 1/14/20 5,000,000 5,093,715 
BAT International Finance PLC:   
1.85% 6/15/18 (a) 7,000,000 7,028,826 
2.75% 6/15/20 (a) 3,160,000 3,227,204 
Imperial Tobacco Finance PLC:   
2.05% 2/11/18 (a) 1,906,000 1,904,205 
2.05% 7/20/18 (a) 2,866,000 2,852,217 
2.95% 7/21/20 (a) 3,000,000 3,042,849 
Philip Morris International, Inc.:   
1.25% 8/11/17 2,907,000 2,913,686 
1.875% 1/15/19 2,641,000 2,672,975 
2.15% 2/25/21 3,088,000 3,069,932 
Reynolds American, Inc.:   
2.3% 6/12/18 5,704,000 5,764,970 
3.25% 6/12/20 1,162,000 1,208,456 
4% 6/12/22 1,077,000 1,162,732 
6.75% 6/15/17 513,000 550,695 
  40,492,462 
TOTAL CONSUMER STAPLES  115,898,674 
ENERGY - 6.4%   
Energy Equipment & Services - 1.2%   
DCP Midstream LLC 5.35% 3/15/20 (a) 6,738,000 5,074,105 
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20 768,000 775,116 
Halliburton Co. 2.7% 11/15/20 10,247,000 10,100,007 
Nabors Industries, Inc. 2.35% 9/15/16 257,000 254,406 
National Oilwell Varco, Inc. 1.35% 12/1/17 620,000 601,065 
Noble Holding International Ltd.:   
2.5% 3/15/17 2,062,000 1,972,447 
4% 3/16/18 102,000 81,600 
Petrofac Ltd. 3.4% 10/10/18 (a) 1,000,000 848,196 
Transocean, Inc. 3% 10/15/17 (b) 3,500,000 3,150,000 
  22,856,942 
Oil, Gas & Consumable Fuels - 5.2%   
Anadarko Petroleum Corp.:   
5.95% 9/15/16 45,000 45,258 
6.375% 9/15/17 555,000 563,897 
BG Energy Capital PLC 2.875% 10/15/16 (a) 620,000 623,156 
BP Capital Markets PLC:   
1.375% 5/10/18 5,000,000 4,900,130 
2.248% 11/1/16 620,000 623,230 
2.521% 1/15/20 4,688,000 4,602,936 
Canadian Natural Resources Ltd. 1.75% 1/15/18 415,000 379,270 
Cenovus Energy, Inc. 5.7% 10/15/19 297,000 262,092 
Chevron Corp. 1.961% 3/3/20 4,000,000 3,945,772 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 (a) 2,107,000 2,021,527 
3.3% 6/1/20 (a) 1,439,000 1,347,461 
ConocoPhillips Co.:   
1.5% 5/15/18 4,373,000 4,174,816 
2.2% 5/15/20 1,962,000 1,813,934 
DCP Midstream Operating LP:   
2.5% 12/1/17 292,000 266,520 
2.7% 4/1/19 821,000 673,348 
Devon Energy Corp. 2.25% 12/15/18 3,484,000 3,036,045 
El Paso Natural Gas Co. 5.95% 4/15/17 21,000 21,247 
Enable Midstream Partners LP 2.4% 5/15/19 174,000 134,048 
Enbridge, Inc. 0.8662% 6/2/17 (b) 2,613,000 2,497,215 
Encana Corp. 6.5% 5/15/19 5,000,000 4,106,895 
EnLink Midstream Partners LP 2.7% 4/1/19 785,000 612,715 
Enterprise Products Operating LP:   
1.65% 5/7/18 3,631,000 3,508,058 
2.55% 10/15/19 178,000 172,265 
Exxon Mobil Corp.:   
2.25% 3/1/21 3,780,000 3,780,000 
2.75% 3/1/23 2,954,000 2,954,000 
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (a) 20,000 20,233 
Kinder Morgan Energy Partners LP 2.65% 2/1/19 1,737,000 1,624,635 
Kinder Morgan, Inc.:   
2% 12/1/17 393,000 375,315 
3.05% 12/1/19 3,758,000 3,469,198 
Marathon Petroleum Corp.:   
2.7% 12/14/18 436,000 422,271 
3.5% 3/1/16 875,000 875,000 
Petro-Canada 6.05% 5/15/18 3,326,000 3,402,714 
Petrobras Global Finance BV 3.25% 3/17/17 3,500,000 3,391,500 
Petrobras International Finance Co. Ltd. 5.875% 3/1/18 3,000,000 2,814,150 
Petroleos Mexicanos:   
3.125% 1/23/19 77,000 74,866 
3.5% 7/18/18 5,000,000 4,962,500 
3.5% 7/23/20 (a) 1,355,000 1,277,088 
5.5% 2/4/19 (a) 2,000,000 2,068,000 
6.375% 2/4/21 (a) 2,000,000 2,079,500 
Phillips 66 Co. 2.95% 5/1/17 1,260,000 1,275,823 
Plains All American Pipeline LP/PAA Finance Corp.:   
2.6% 12/15/19 3,000,000 2,662,155 
5.75% 1/15/20 962,000 927,449 
Schlumberger Investment SA 1.25% 8/1/17 (a) 1,000,000 982,971 
Shell International Finance BV 2.125% 5/11/20 2,287,000 2,227,234 
Southwestern Energy Co.:   
3.3% 1/23/18 2,476,000 1,782,720 
4.05% 1/23/20 864,000 557,280 
Spectra Energy Capital, LLC 5.65% 3/1/20 28,000 27,963 
Spectra Energy Partners, LP 2.95% 9/25/18 90,000 88,608 
Suncor Energy, Inc. 6.1% 6/1/18 944,000 968,638 
Total Capital International SA 2.125% 1/10/19 2,000,000 1,994,442 
TransCanada PipeLines Ltd.:   
1.4111% 1/12/18 (b) 2,500,000 2,454,215 
1.625% 11/9/17 3,000,000 2,947,137 
1.875% 1/12/18 3,000,000 2,942,763 
3.125% 1/15/19 1,693,000 1,703,783 
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 394,000 394,288 
Western Gas Partners LP:   
2.6% 8/15/18 1,257,000 1,098,480 
5.375% 6/1/21 600,000 512,543 
  99,471,297 
TOTAL ENERGY  122,328,239 
FINANCIALS - 33.4%   
Banks - 16.2%   
ABN AMRO Bank NV 2.5% 10/30/18 (a) 4,000,000 4,036,288 
Australia & New Zealand Banking Group Ltd.:   
1.45% 5/15/18 570,000 566,226 
2.25% 6/13/19 2,000,000 2,008,374 
Banco Nacional de Desenvolvimento Economico e Social:   
3.375% 9/26/16 (a) 520,000 518,700 
4% 4/14/19 (a) 2,575,000 2,369,000 
6.369% 6/16/18(a) 962,000 967,291 
Bank of America Corp.:   
1.7% 8/25/17 4,428,000 4,406,537 
2% 1/11/18 11,200,000 11,160,733 
2.25% 4/21/20 6,000,000 5,880,714 
2.6% 1/15/19 7,495,000 7,530,421 
2.65% 4/1/19 7,100,000 7,136,210 
5.75% 12/1/17 1,150,000 1,219,627 
Bank of Nova Scotia 2.8% 7/21/21 2,000,000 2,037,454 
Bank of Tokyo-Mitsubishi UFJ Ltd.:   
1.65% 2/26/18 (a) 590,000 587,812 
2.3% 3/5/20 (a) 3,000,000 2,979,918 
2.35% 9/8/19 (a) 3,050,000 3,070,072 
2.7% 9/9/18 (a) 500,000 507,476 
Barclays PLC:   
2% 3/16/18 5,000,000 4,902,945 
2.75% 11/8/19 2,831,000 2,779,985 
2.875% 6/8/20 3,000,000 2,875,242 
3.25% 1/12/21 2,046,000 1,972,520 
BNP Paribas 2.375% 9/14/17 6,000,000 6,057,180 
BNP Paribas SA 2.375% 5/21/20 3,000,000 2,963,892 
BPCE SA:   
1.625% 2/10/17 450,000 449,508 
2.5% 7/15/19 2,000,000 2,012,936 
Capital One NA:   
2.35% 8/17/18 500,000 497,679 
2.4% 9/5/19 2,000,000 1,973,672 
CIT Group, Inc. 3.875% 2/19/19 5,090,000 5,064,550 
Citigroup, Inc.:   
0.747% 6/9/16 (b) 3,000,000 2,995,281 
1.55% 8/14/17 2,000,000 1,989,300 
1.7% 4/27/18 1,500,000 1,484,054 
1.75% 5/1/18 2,870,000 2,841,601 
1.85% 11/24/17 3,000,000 2,990,352 
2.15% 7/30/18 2,000,000 1,992,866 
2.4% 2/18/20 4,000,000 3,964,536 
2.5% 9/26/18 1,500,000 1,509,650 
2.5% 7/29/19 2,000,000 2,004,824 
2.55% 4/8/19 3,000,000 3,009,075 
2.65% 10/26/20 3,000,000 2,995,935 
4.4% 6/10/25 2,604,000 2,596,412 
Citizens Bank NA:   
2.3% 12/3/18 1,384,000 1,385,749 
2.45% 12/4/19 3,000,000 2,976,399 
Comerica, Inc. 2.125% 5/23/19 345,000 339,321 
Commonwealth Bank of Australia:   
2.25% 3/13/19 750,000 755,015 
2.3% 9/6/19 2,000,000 2,013,424 
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 1.7% 3/19/18 2,000,000 1,997,872 
Credit Agricole SA 2.75% 6/10/20 (a) 8,000,000 8,052,856 
Credit Suisse AG 6% 2/15/18 3,680,000 3,896,012 
Credit Suisse New York Branch:   
1.75% 1/29/18 2,000,000 1,987,596 
2.3% 5/28/19 5,750,000 5,703,437 
3% 10/29/21 1,500,000 1,501,599 
Discover Bank:   
2% 2/21/18 5,920,000 5,848,623 
2.6% 11/13/18 2,000,000 1,997,984 
Fifth Third Bancorp:   
2.3% 3/1/19 279,000 279,360 
2.875% 7/27/20 3,200,000 3,225,056 
4.5% 6/1/18 3,024,000 3,182,355 
5.45% 1/15/17 291,000 300,530 
Fifth Third Bank 2.375% 4/25/19 1,000,000 1,004,531 
First Horizon National Corp. 3.5% 12/15/20 3,000,000 2,978,658 
HBOS PLC 6.75% 5/21/18 (a) 509,000 547,333 
HSBC Bank PLC 1.5% 5/15/18 (a) 1,570,000 1,560,379 
HSBC U.S.A., Inc.:   
2.375% 11/13/19 3,000,000 2,968,404 
2.625% 9/24/18 262,000 263,510 
Huntington Bancshares, Inc. 7% 12/15/20 180,000 213,584 
Huntington National Bank 2.2% 4/1/19 1,000,000 991,448 
ING Bank NV 1.8% 3/16/18 (a) 3,000,000 2,994,819 
Intesa Sanpaolo SpA 2.375% 1/13/17 10,750,000 10,784,121 
JPMorgan Chase & Co.:   
1.35% 2/15/17 2,500,000 2,500,718 
1.625% 5/15/18 4,500,000 4,477,964 
2% 8/15/17 4,500,000 4,520,547 
2.2% 10/22/19 10,058,000 10,052,247 
2.25% 1/23/20 3,000,000 2,993,340 
2.35% 1/28/19 1,942,000 1,961,261 
2.55% 10/29/20 3,000,000 3,006,915 
2.75% 6/23/20 3,000,000 3,032,724 
KeyCorp. 2.3% 12/13/18 2,000,000 2,000,810 
La Caisse Centrale 1.75% 1/29/18 (a) 4,000,000 3,971,088 
Lloyds Bank PLC 1.75% 3/16/18 3,000,000 2,985,951 
Manufacturers & Traders Trust Co. 2.1% 2/6/20 3,000,000 2,958,391 
Mitsubishi UFJ Financial Group, Inc. 2.95% 3/1/21 4,000,000 4,035,252 
Mizuho Bank Ltd.:   
1.55% 10/17/17 (a) 1,940,000 1,928,211 
1.8% 3/26/18 (a) 1,500,000 1,492,547 
2.45% 4/16/19 (a) 1,400,000 1,409,345 
2.65% 9/25/19 (a) 2,000,000 2,027,798 
MUFG Americas Holdings Corp. 2.25% 2/10/20 1,241,000 1,225,025 
Nordea Bank AB 2.375% 4/4/19 (a) 1,000,000 1,007,280 
PNC Bank NA:   
1.5% 2/23/18 2,100,000 2,094,303 
1.8% 11/5/18 2,000,000 1,999,910 
2.4% 10/18/19 3,000,000 3,041,841 
Regions Financial Corp.:   
2% 5/15/18 5,330,000 5,282,739 
3.2% 2/8/21 4,000,000 3,980,616 
Royal Bank of Canada:   
1.5% 1/16/18 2,720,000 2,716,176 
4.65% 1/27/26 2,144,000 2,162,595 
Royal Bank of Scotland Group PLC 1.5431% 3/31/17 (b) 8,715,000 8,687,260 
Sumitomo Mitsui Banking Corp.:   
1.8% 7/18/17 940,000 941,262 
2.25% 7/11/19 3,500,000 3,502,478 
2.45% 1/10/19 590,000 595,455 
2.45% 1/16/20 3,000,000 3,001,353 
2.65% 7/23/20 3,000,000 3,029,907 
SunTrust Banks, Inc.:   
2.35% 11/1/18 924,000 926,272 
2.5% 5/1/19 550,000 552,672 
3% 3/3/21 2,828,000 2,821,863 
3.5% 1/20/17 1,378,000 1,401,239 
Svenska Handelsbanken AB 1.625% 3/21/18 2,000,000 1,994,100 
The Toronto-Dominion Bank:   
2.25% 11/5/19 2,000,000 2,022,318 
2.625% 9/10/18 1,200,000 1,223,944 
Wells Fargo & Co.:   
1.5% 1/16/18 1,300,000 1,297,769 
2.15% 1/15/19 5,500,000 5,538,621 
2.6% 7/22/20 3,000,000 3,034,137 
  308,093,067 
Capital Markets - 4.5%   
Deutsche Bank AG London Branch:   
1.4% 2/13/17 1,000,000 993,530 
2.5% 2/13/19 2,250,000 2,201,945 
Goldman Sachs Group, Inc.:   
1.312% 12/15/17 (b) 3,000,000 2,986,422 
2.375% 1/22/18 8,850,000 8,903,658 
2.625% 1/31/19 13,000,000 13,098,852 
5.95% 1/18/18 1,693,000 1,805,222 
6.15% 4/1/18 402,000 433,292 
Lazard Group LLC:   
4.25% 11/14/20 543,000 557,173 
6.85% 6/15/17 125,000 131,425 
Legg Mason, Inc. 2.7% 7/15/19 2,000,000 2,027,170 
Merrill Lynch & Co., Inc.:   
6.4% 8/28/17 40,000 42,433 
6.875% 4/25/18 726,000 792,950 
Morgan Stanley:   
1.875% 1/5/18 2,000,000 1,995,018 
2.125% 4/25/18 3,580,000 3,578,965 
2.375% 7/23/19 9,660,000 9,638,941 
2.5% 1/24/19 1,750,000 1,759,051 
2.65% 1/27/20 11,000,000 10,983,522 
4.75% 3/22/17 2,000,000 2,065,596 
4.875% 11/1/22 2,000,000 2,108,646 
5.5% 1/26/20 2,000,000 2,197,642 
5.625% 9/23/19 112,000 122,919 
5.95% 12/28/17 383,000 408,970 
7.3% 5/13/19 603,000 689,615 
UBS AG Stamford Branch:   
1.3031% 3/26/18 (b) 3,000,000 2,992,602 
1.375% 6/1/17 5,675,000 5,660,688 
1.375% 8/14/17 6,700,000 6,674,969 
  84,851,216 
Consumer Finance - 4.4%   
Ally Financial, Inc.:   
3.25% 2/13/18 3,000,000 2,970,000 
3.25% 11/5/18 3,000,000 2,947,500 
American Express Co. 1.55% 5/22/18 3,000,000 2,968,890 
American Express Credit Corp. 2.125% 3/18/19 5,520,000 5,521,932 
American Honda Finance Corp. 1.5% 9/11/17 (a) 620,000 620,854 
Capital One Financial Corp. 2.45% 4/24/19 5,450,000 5,449,995 
Discover Financial Services 6.45% 6/12/17 3,381,000 3,545,655 
Ford Motor Credit Co. LLC:   
1.461% 3/27/17 2,000,000 1,986,500 
1.684% 9/8/17 1,000,000 985,346 
2.145% 1/9/18 2,500,000 2,487,068 
2.24% 6/15/18 6,000,000 5,913,252 
2.597% 11/4/19 5,000,000 4,926,150 
2.875% 10/1/18 2,500,000 2,501,283 
3% 6/12/17 4,500,000 4,537,733 
3.157% 8/4/20 3,000,000 2,987,739 
General Electric Capital Corp. 2.2% 1/9/20 2,577,000 2,628,682 
Hyundai Capital America:   
1.45% 2/6/17 (a) 632,000 629,895 
2% 3/19/18 (a) 1,891,000 1,882,540 
2.125% 10/2/17 (a) 2,437,000 2,438,972 
2.55% 2/6/19 (a) 4,759,000 4,773,653 
2.6% 3/19/20 (a) 2,000,000 2,001,038 
2.875% 8/9/18 (a) 2,606,000 2,625,584 
John Deere Capital Corp. 1.6% 7/13/18 590,000 590,660 
Synchrony Financial:   
1.875% 8/15/17 173,000 171,112 
2.6% 1/15/19 3,000,000 2,975,190 
2.7% 2/3/20 2,500,000 2,450,305 
3% 8/15/19 3,000,000 3,004,803 
Toyota Motor Credit Corp.:   
1.55% 7/13/18 5,000,000 5,000,930 
2% 10/24/18 2,500,000 2,526,355 
  84,049,616 
Diversified Financial Services - 1.4%   
AIG Global Funding 1.65% 12/15/17 (a) 2,000,000 1,995,132 
Berkshire Hathaway Finance Corp. 1.6% 5/15/17 620,000 624,668 
Brixmor Operating Partnership LP 3.875% 8/15/22 1,161,000 1,079,701 
GE Capital International Funding Co. 2.342% 11/15/20 (a) 11,630,000 11,747,835 
IntercontinentalExchange, Inc.:   
2.5% 10/15/18 347,000 351,491 
2.75% 12/1/20 619,000 629,216 
McGraw Hill Financial, Inc. 2.5% 8/15/18 1,049,000 1,054,303 
Moody's Corp. 2.75% 7/15/19 8,000,000 8,153,616 
  25,635,962 
Insurance - 3.9%   
ACE INA Holdings, Inc. 2.3% 11/3/20 1,173,000 1,179,925 
AFLAC, Inc. 2.4% 3/16/20 6,000,000 6,061,296 
AIA Group Ltd. 2.25% 3/11/19 (a) 3,529,000 3,531,064 
American International Group, Inc.:   
2.3% 7/16/19 5,304,000 5,260,921 
3.3% 3/1/21 987,000 997,892 
4.875% 6/1/22 1,484,000 1,583,444 
5.85% 1/16/18 1,910,000 2,036,614 
Aon Corp.:   
3.125% 5/27/16 2,000,000 2,009,400 
5% 9/30/20 2,178,000 2,402,872 
Aon PLC 2.8% 3/15/21 7,000,000 7,050,967 
Assurant, Inc. 2.5% 3/15/18 2,000,000 2,000,926 
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (a)(b) 259,000 253,820 
Hartford Financial Services Group, Inc. 5.375% 3/15/17 18,000 18,653 
Liberty Mutual Group, Inc. 5% 6/1/21 (a) 5,599,000 6,039,680 
Marsh & McLennan Companies, Inc.:   
2.35% 9/10/19 495,000 498,586 
2.35% 3/6/20 5,000,000 5,007,650 
2.55% 10/15/18 517,000 528,825 
MassMutual Global Funding II 2.35% 4/9/19 (a) 1,000,000 1,012,422 
MetLife, Inc.:   
1.756% 12/15/17 (b) 269,000 269,107 
1.903% 12/15/17 (b) 180,000 180,075 
Metropolitan Life Global Funding I:   
1.3% 4/10/17 (a) 1,500,000 1,500,198 
1.5% 1/10/18 (a) 4,431,000 4,399,890 
2% 4/14/20 (a) 3,000,000 2,952,063 
New York Life Global Funding 1.55% 11/2/18 (a) 3,500,000 3,486,546 
Pacific LifeCorp 6% 2/10/20 (a) 1,579,000 1,766,724 
Pricoa Global Funding I:   
1.15% 11/25/16 (a) 2,000,000 1,999,230 
1.6% 5/29/18 (a) 967,000 961,402 
Principal Life Global Funding II 2.375% 9/11/19 (a) 2,200,000 2,212,285 
Prudential Financial, Inc. 3.5% 5/15/24 2,550,000 2,499,112 
Symetra Financial Corp. 6.125% 4/1/16 (a) 892,000 895,440 
TIAA Asset Management Finance LLC 2.95% 11/1/19 (a) 280,000 281,411 
Unum Group:   
5.625% 9/15/20 2,743,000 3,003,489 
7.125% 9/30/16 704,000 725,257 
  74,607,186 
Real Estate Investment Trusts - 1.5%   
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22 189,000 201,461 
American Campus Communities Operating Partnership LP 3.35% 10/1/20 1,272,000 1,291,753 
Boston Properties, Inc.:   
3.7% 11/15/18 1,787,000 1,851,579 
5.875% 10/15/19 446,000 495,049 
DDR Corp.:   
4.75% 4/15/18 1,634,000 1,699,563 
7.5% 4/1/17 389,000 410,565 
Digital Delta Holdings LLC 3.4% 10/1/20 (a) 1,735,000 1,765,408 
Duke Realty LP:   
5.95% 2/15/17 354,000 367,509 
6.75% 3/15/20 35,000 40,124 
8.25% 8/15/19 7,000 8,297 
Equity One, Inc. 6% 9/15/17 509,000 536,860 
ERP Operating LP:   
2.375% 7/1/19 1,641,000 1,648,826 
3.375% 6/1/25 3,000,000 3,052,035 
5.75% 6/15/17 442,000 463,662 
Federal Realty Investment Trust:   
2.55% 1/15/21 5,000,000 5,088,395 
5.9% 4/1/20 5,000 5,734 
Government Properties Income Trust 3.75% 8/15/19 3,000,000 3,076,506 
Health Care Property Investors, Inc. 6% 1/30/17 750,000 776,806 
Health Care REIT, Inc.:   
2.25% 3/15/18 250,000 249,343 
4.7% 9/15/17 2,436,000 2,536,980 
HRPT Properties Trust:   
6.25% 6/15/17 186,000 191,489 
6.65% 1/15/18 95,000 100,034 
Select Income REIT 2.85% 2/1/18 597,000 595,066 
Simon Property Group LP 2.2% 2/1/19 462,000 467,136 
United Dominion Realty Trust, Inc. 4.25% 6/1/18 431,000 450,828 
  27,371,008 
Real Estate Management & Development - 1.5%   
BioMed Realty LP 3.85% 4/15/16 1,379,000 1,380,294 
Brandywine Operating Partnership LP:   
4.95% 4/15/18 51,000 53,290 
5.7% 5/1/17 369,000 383,280 
6% 4/1/16 2,124,000 2,131,217 
Essex Portfolio LP 5.5% 3/15/17 2,046,000 2,122,643 
Liberty Property LP:   
4.75% 10/1/20 1,045,000 1,126,989 
5.5% 12/15/16 2,260,000 2,324,824 
6.625% 10/1/17 2,707,000 2,880,890 
Mack-Cali Realty LP:   
2.5% 12/15/17 439,000 434,917 
4.5% 4/18/22 185,000 180,117 
7.75% 8/15/19 1,298,000 1,424,996 
Prime Property Funding, Inc. 5.7% 4/15/17 (a) 405,000 417,554 
Reckson Operating Partnership LP 6% 3/31/16 152,000 152,500 
Regency Centers LP 5.875% 6/15/17 187,000 196,458 
Tanger Properties LP 6.125% 6/1/20 606,000 689,085 
Ventas Realty LP:   
1.25% 4/17/17 1,882,000 1,866,673 
1.55% 9/26/16 346,000 346,160 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 1,743,000 1,734,079 
4% 4/30/19 6,000,000 6,266,298 
Washington Prime Group LP 3.85% 4/1/20 2,090,000 2,153,477 
  28,265,741 
TOTAL FINANCIALS  632,873,796 
HEALTH CARE - 3.8%   
Biotechnology - 1.5%   
AbbVie, Inc.:   
1.75% 11/6/17 1,062,000 1,061,398 
1.8% 5/14/18 3,972,000 3,960,811 
2.5% 5/14/20 7,349,000 7,344,106 
Amgen, Inc.:   
0.9982% 5/22/17 (b) 3,000,000 2,991,537 
1.25% 5/22/17 1,500,000 1,496,820 
2.125% 5/1/20 1,618,000 1,607,023 
2.2% 5/22/19 4,290,000 4,345,178 
5.85% 6/1/17 446,000 469,860 
Celgene Corp.:   
2.125% 8/15/18 1,549,000 1,555,995 
2.875% 8/15/20 3,000,000 3,041,232 
  27,873,960 
Health Care Equipment & Supplies - 0.4%   
Becton, Dickinson & Co.:   
1.8% 12/15/17 1,486,000 1,487,877 
2.675% 12/15/19 329,000 335,914 
Medtronic, Inc.:   
1.5% 3/15/18 1,770,000 1,774,209 
2.5% 3/15/20 2,200,000 2,253,757 
Zimmer Biomet Holdings, Inc. 2% 4/1/18 2,702,000 2,690,211 
  8,541,968 
Health Care Providers & Services - 1.0%   
Cardinal Health, Inc. 1.95% 6/15/18 462,000 462,152 
Coventry Health Care, Inc. 5.95% 3/15/17 264,000 276,071 
Express Scripts Holding Co.:   
1.25% 6/2/17 1,500,000 1,492,229 
2.25% 6/15/19 1,000,000 993,543 
McKesson Corp. 2.284% 3/15/19 686,000 688,483 
UnitedHealth Group, Inc.:   
1.4% 10/15/17 2,128,000 2,130,296 
1.9% 7/16/18 3,000,000 3,028,026 
2.125% 3/15/21 3,000,000 2,999,637 
2.7% 7/15/20 1,361,000 1,398,466 
2.875% 12/15/21 2,000,000 2,053,886 
WellPoint, Inc.:   
1.875% 1/15/18 326,000 325,322 
2.25% 8/15/19 2,950,000 2,932,188 
  18,780,299 
Life Sciences Tools & Services - 0.2%   
Thermo Fisher Scientific, Inc.:   
1.3% 2/1/17 136,000 135,518 
2.15% 12/14/18 881,000 881,393 
2.4% 2/1/19 3,086,000 3,096,063 
  4,112,974 
Pharmaceuticals - 0.7%   
Actavis Funding SCS:   
1.3% 6/15/17 2,400,000 2,387,438 
2.35% 3/12/18 3,000,000 3,018,123 
2.45% 6/15/19 352,000 353,012 
3% 3/12/20 1,157,000 1,176,914 
Bayer U.S. Finance LLC:   
1.5% 10/6/17 (a) 1,863,000 1,866,385 
2.375% 10/8/19 (a) 1,481,000 1,502,152 
Mylan, Inc. 1.35% 11/29/16 160,000 158,895 
Perrigo Co. PLC 1.3% 11/8/16 200,000 198,841 
Perrigo Finance PLC 3.5% 12/15/21 263,000 260,641 
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 210,000 210,180 
Zoetis, Inc.:   
1.875% 2/1/18 1,616,000 1,598,592 
3.45% 11/13/20 493,000 502,205 
  13,233,378 
TOTAL HEALTH CARE  72,542,579 
INDUSTRIALS - 1.7%   
Aerospace & Defense - 0.8%   
BAE Systems Holdings, Inc. 2.85% 12/15/20 (a) 5,615,000 5,676,552 
L-3 Communications Corp. 1.5% 5/28/17 3,685,000 3,635,606 
Lockheed Martin Corp. 2.5% 11/23/20 2,361,000 2,402,596 
The Boeing Co. 1.65% 10/30/20 3,000,000 2,963,865 
  14,678,619 
Airlines - 0.0%   
Continental Airlines, Inc.:   
6.648% 3/15/19 131,410 133,539 
6.795% 2/2/20 2,618 2,716 
6.9% 7/2/19 24,663 25,080 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 151,811 155,439 
8.36% 1/20/19 96,657 99,741 
  416,515 
Industrial Conglomerates - 0.7%   
Covidien International Finance SA 6% 10/15/17 442,000 473,015 
Danaher Corp.:   
1.65% 9/15/18 3,976,000 3,999,498 
2.4% 9/15/20 619,000 632,000 
Roper Technologies, Inc.:   
2.05% 10/1/18 2,919,000 2,904,545 
3% 12/15/20 5,100,000 5,152,765 
  13,161,823 
Machinery - 0.0%   
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 263,000 261,329 
Trading Companies & Distributors - 0.2%   
Air Lease Corp.:   
2.125% 1/15/18 414,000 404,168 
2.625% 9/4/18 1,628,000 1,579,689 
3.75% 2/1/22 1,228,000 1,141,008 
3.875% 4/1/21 500,000 483,750 
4.75% 3/1/20 605,000 615,588 
  4,224,203 
TOTAL INDUSTRIALS  32,742,489 
INFORMATION TECHNOLOGY - 2.1%   
Communications Equipment - 0.4%   
Cisco Systems, Inc.:   
1.65% 6/15/18 3,000,000 3,021,297 
2.125% 3/1/19 1,500,000 1,531,863 
2.45% 6/15/20 3,000,000 3,073,731 
  7,626,891 
Electronic Equipment & Components - 0.5%   
Amphenol Corp. 1.55% 9/15/17 1,426,000 1,422,150 
Tyco Electronics Group SA:   
2.35% 8/1/19 3,000,000 3,010,647 
2.375% 12/17/18 99,000 99,440 
6.55% 10/1/17 4,476,000 4,805,832 
  9,338,069 
IT Services - 0.4%   
MasterCard, Inc. 2% 4/1/19 289,000 293,400 
The Western Union Co.:   
2.875% 12/10/17 773,000 786,382 
3.65% 8/22/18 3,111,000 3,176,238 
Xerox Corp.:   
2.75% 3/15/19 2,585,000 2,459,338 
2.95% 3/15/17 1,057,000 1,059,252 
  7,774,610 
Software - 0.4%   
Oracle Corp.:   
2.25% 10/8/19 1,552,000 1,590,133 
2.5% 5/15/22 5,000,000 5,028,325 
  6,618,458 
Technology Hardware, Storage & Peripherals - 0.4%   
Apple, Inc. 2.85% 5/6/21 850,000 883,223 
Hewlett Packard Enterprise Co.:   
2.85% 10/5/18 (a) 4,000,000 4,001,316 
3.6% 10/15/20 (a) 3,000,000 2,991,930 
  7,876,469 
TOTAL INFORMATION TECHNOLOGY  39,234,497 
MATERIALS - 1.4%   
Chemicals - 0.7%   
Albemarle Corp. U.S. 3% 12/1/19 1,321,000 1,293,766 
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (a) 5,340,000 5,247,266 
Ecolab, Inc.:   
1.45% 12/8/17 335,000 333,324 
1.55% 1/12/18 2,500,000 2,489,298 
Monsanto Co. 2.125% 7/15/19 3,000,000 3,017,427 
Sherwin-Williams Co. 1.35% 12/15/17 620,000 618,932 
  13,000,013 
Metals & Mining - 0.7%   
Anglo American Capital PLC:   
1.572% 4/15/16 (a)(b) 1,624,000 1,600,510 
3.625% 5/14/20 (a) 1,513,000 1,202,835 
Corporacion Nacional del Cobre de Chile (Codelco) 3.875% 11/3/21 (a) 630,000 633,211 
Freeport-McMoRan, Inc.:   
2.3% 11/14/17 670,000 613,050 
2.375% 3/15/18 4,000,000 3,445,000 
Rio Tinto Finance (U.S.A.) PLC 1.625% 8/21/17 2,440,000 2,390,387 
Teck Resources Ltd. 3% 3/1/19 3,000,000 2,287,500 
Vale Overseas Ltd. 6.25% 1/23/17 403,000 406,264 
  12,578,757 
TOTAL MATERIALS  25,578,770 
TELECOMMUNICATION SERVICES - 3.3%   
Diversified Telecommunication Services - 2.6%   
AT&T, Inc.:   
1.4% 12/1/17 1,620,000 1,612,166 
2.375% 11/27/18 10,000,000 10,107,600 
2.45% 6/30/20 1,563,000 1,556,843 
BellSouth Corp. 4.821% 4/26/16 (a)(b) 3,000,000 3,017,844 
British Telecommunications PLC:   
1.25% 2/14/17 1,000,000 998,730 
1.625% 6/28/16 4,314,000 4,321,002 
2.35% 2/14/19 4,296,000 4,336,666 
CenturyLink, Inc. 6.15% 9/15/19 592,000 608,280 
Deutsche Telekom International Financial BV:   
3.125% 4/11/16 (a) 923,000 924,911 
5.75% 3/23/16 2,000,000 2,005,562 
Verizon Communications, Inc.:   
1.1% 11/1/17 620,000 614,143 
1.35% 6/9/17 750,000 749,611 
2% 11/1/16 1,279,000 1,286,130 
2.5% 9/15/16 1,044,000 1,052,060 
2.625% 2/21/20 2,913,000 2,953,255 
3.65% 9/14/18 6,000,000 6,279,426 
4.5% 9/15/20 3,000,000 3,262,587 
6.1% 4/15/18 3,425,000 3,721,218 
  49,408,034 
Wireless Telecommunication Services - 0.7%   
America Movil S.A.B. de CV 2.375% 9/8/16 2,646,000 2,657,489 
Vodafone Group PLC:   
1.5% 2/19/18 2,625,000 2,600,068 
1.625% 3/20/17 5,400,000 5,421,832 
5.45% 6/10/19 2,000,000 2,191,938 
  12,871,327 
TOTAL TELECOMMUNICATION SERVICES  62,279,361 
UTILITIES - 4.6%   
Electric Utilities - 2.4%   
AmerenUE 6.4% 6/15/17 519,000 550,381 
American Electric Power Co., Inc. 1.65% 12/15/17 1,827,000 1,814,441 
Commonwealth Edison Co. 2.15% 1/15/19 188,000 190,007 
Duke Energy Corp.:   
0.9922% 4/3/17 (b) 2,894,000 2,872,836 
1.625% 8/15/17 3,304,000 3,301,205 
2.1% 6/15/18 5,395,000 5,406,205 
Duquesne Light Holdings, Inc. 6.4% 9/15/20 (a) 48,000 54,802 
Edison International 3.75% 9/15/17 431,000 443,996 
Eversource Energy 1.45% 5/1/18 153,000 151,174 
Exelon Corp.:   
1.55% 6/9/17 311,000 309,492 
2.85% 6/15/20 458,000 461,886 
FirstEnergy Corp.:   
2.75% 3/15/18 6,652,000 6,719,777 
4.25% 3/15/23 600,000 626,340 
FirstEnergy Solutions Corp. 6.05% 8/15/21 655,000 695,750 
Hydro-Quebec 2% 6/30/16 2,500,000 2,511,300 
IPALCO Enterprises, Inc. 3.45% 7/15/20 2,576,000 2,566,340 
LG&E and KU Energy LLC 3.75% 11/15/20 2,000 2,100 
Nevada Power Co.:   
6.5% 5/15/18 1,562,000 1,719,876 
6.5% 8/1/18 273,000 302,209 
NextEra Energy Capital Holdings, Inc. 1.586% 6/1/17 2,904,000 2,899,182 
PacifiCorp 5.5% 1/15/19 2,750,000 3,034,515 
Pennsylvania Electric Co. 6.05% 9/1/17 115,000 122,183 
Public Service Electric & Gas Co. 2.3% 9/15/18 2,000,000 2,029,604 
TECO Finance, Inc.:   
1.2169% 4/10/18 (b) 3,000,000 2,957,541 
5.15% 3/15/20 252,000 274,297 
Xcel Energy, Inc. 1.2% 6/1/17 3,153,000 3,141,838 
  45,159,277 
Gas Utilities - 0.1%   
Texas Eastern Transmission LP 6% 9/15/17 (a) 1,096,000 1,150,942 
Independent Power and Renewable Electricity Producers - 0.2%   
Southern Power Co.:   
1.85% 12/1/17 704,000 704,132 
2.375% 6/1/20 1,087,000 1,068,419 
TransAlta Corp. 1.9% 6/3/17 2,900,000 2,721,676 
  4,494,227 
Multi-Utilities - 1.9%   
Ameren Illinois Co. 6.125% 11/15/17 62,000 66,639 
Berkshire Hathaway Energy Co.:   
1.1% 5/15/17 1,000,000 997,097 
2% 11/15/18 544,000 544,917 
Dominion Resources, Inc.:   
1.4% 9/15/17 3,225,000 3,204,118 
1.9% 6/15/18 2,540,000 2,526,756 
2.5% 12/1/19 7,382,000 7,438,081 
2.9031% 9/30/66 (b) 651,000 437,505 
7.5% 6/30/66 (b) 567,000 474,863 
NiSource Finance Corp.:   
3.85% 2/15/23 700,000 729,931 
5.45% 9/15/20 43,000 47,595 
6.4% 3/15/18 888,000 963,072 
NSTAR 4.5% 11/15/19 2,500,000 2,699,093 
PG&E Corp. 2.4% 3/1/19 74,000 74,746 
Puget Energy, Inc. 6.5% 12/15/20 991,000 1,156,255 
Sempra Energy:   
2.3% 4/1/17 4,935,000 4,967,127 
2.4% 3/15/20 1,890,000 1,854,825 
2.85% 11/15/20 1,392,000 1,397,163 
Wisconsin Energy Corp.:   
1.65% 6/15/18 3,006,000 3,000,481 
2.45% 6/15/20 2,901,000 2,937,341 
6.25% 5/15/67 (b) 454,000 335,960 
  35,853,565 
TOTAL UTILITIES  86,658,011 
TOTAL NONCONVERTIBLE BONDS   
(Cost $1,330,486,155)  1,321,778,285 
U.S. Treasury Obligations - 7.8%   
U.S. Treasury Notes:   
0.75% 2/15/19 $64,146,000 $63,847,822 
0.875% 10/15/17 10,230,000 10,243,186 
1% 5/15/18 12,459,000 12,504,264 
1.125% 1/15/19 11,574,000 11,646,789 
1.375% 3/31/20 (c) 9,683,000 9,768,859 
1.375% 1/31/21 30,000,000 30,199,230 
1.75% 12/31/20 10,000,000 10,242,190 
TOTAL U.S. TREASURY OBLIGATIONS   
(Cost $148,247,181)  148,452,340 
U.S. Government Agency - Mortgage Securities - 0.7%   
Fannie Mae - 0.5%   
2.45% 11/1/36 (b) 149,520 157,298 
2.468% 1/1/40 (b) 159,432 167,747 
2.471% 3/1/40 (b) 117,232 123,895 
2.489% 12/1/33 (b) 622,566 656,878 
2.51% 7/1/35 (b) 76,754 81,056 
2.557% 3/1/40 (b) 83,774 88,367 
2.557% 6/1/42 (b) 51,722 53,279 
2.595% 4/1/35 (b) 371,174 390,798 
2.685% 12/1/39 (b) 46,132 48,780 
2.689% 2/1/42 (b) 533,419 554,586 
2.761% 1/1/42 (b) 443,205 461,244 
2.951% 11/1/40 (b) 30,288 31,444 
2.98% 9/1/41 (b) 36,605 38,279 
2.991% 10/1/41 (b) 19,908 20,792 
3.249% 7/1/41 (b) 53,942 56,357 
3.347% 10/1/41 (b) 28,170 29,577 
3.5% 7/1/26 to 10/1/29 3,925,938 4,184,901 
3.553% 7/1/41 (b) 66,657 70,095 
4.5% 3/1/35 35,980 39,312 
6% 5/1/16 to 4/1/17 4,292 4,324 
6.5% 5/1/16 to 8/1/36 492,494 576,010 
7% 9/1/18 to 6/1/33 296,771 352,410 
7.5% 8/1/17 to 3/1/28 98,062 115,527 
8.5% 5/1/21 to 9/1/25 7,611 8,878 
9.5% 2/1/25 515 559 
10.5% 8/1/20 4,847 5,256 
TOTAL FANNIE MAE  8,317,649 
Freddie Mac - 0.2%   
2.413% 4/1/40 (b) 90,242 95,134 
2.53% 4/1/40 (b) 83,409 88,053 
2.535% 2/1/40 (b) 134,267 141,670 
3.208% 9/1/41 (b) 35,210 36,795 
3.216% 4/1/41 (b) 40,299 42,125 
3.297% 6/1/41(b) 45,031 47,062 
3.451% 5/1/41 (b) 30,676 31,918 
3.5% 8/1/26 2,892,634 3,073,423 
3.626% 6/1/41 (b) 65,362 68,520 
3.706% 5/1/41 (b) 47,749 50,127 
4.5% 8/1/18 165,043 170,228 
5% 3/1/19 298,295 309,331 
8.5% 9/1/24 to 8/1/27 29,609 35,723 
TOTAL FREDDIE MAC  4,190,109 
Ginnie Mae - 0.0%   
7% 7/15/28 to 11/15/28 80,591 95,797 
7.5% 2/15/28 to 10/15/28 3,477 4,227 
8% 6/15/24 60 70 
8.5% 10/15/21 23,279 26,451 
11% 7/20/19 to 8/20/19 1,163 1,269 
TOTAL GINNIE MAE  127,814 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $12,453,990)  12,635,572 
Asset-Backed Securities - 8.4%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1.1266% 4/25/35 (b) $56,669 $50,620 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 2.0765% 3/25/34 (b) 33,430 31,836 
Ally Auto Receivables Trust Series 2015-SN1 Class A3, 1.21% 12/20/17 670,000 669,791 
Ally Master Owner Trust:   
Series 2012-4 Class A, 1.72% 7/15/19 292,000 292,617 
Series 2012-5 Class A, 1.54% 9/15/19 11,057,000 11,059,799 
Series 2014-3 Class A, 1.33% 3/15/19 2,425,000 2,423,954 
Series 2014-4 Class A2, 1.43% 6/17/19 3,870,000 3,868,162 
Series 2014-5 Class A2, 1.6% 10/15/19 3,000,000 3,001,941 
Series 2015-3 Class A, 1.63% 5/15/20 3,130,000 3,129,670 
American Express Credit Account Master Trust:   
Series 2014-3 Class A, 1.49% 4/15/20 2,000,000 2,010,564 
Series 2014-4 Class A, 1.43% 6/15/20 3,780,000 3,795,992 
AmeriCredit Automobile Receivables Trust:   
Series 2013-5 Class A3, 0.9% 9/10/18 344,793 344,403 
Series 2014-2 Class A3, 0.94% 2/8/19 1,300,000 1,297,610 
Series 2014-4 Class A3, 1.27% 7/8/19 505,000 503,911 
Series 2015-2 Class A3, 1.27% 1/8/20 3,000,000 2,982,881 
Series 2016-1 Class A3, 2.14% 10/8/20 1,888,000 1,894,388 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1.4858% 12/25/33 (b) 5,239 4,802 
Series 2004-R2 Class M3, 1.2608% 4/25/34 (b) 10,238 7,473 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1.2158% 3/25/34 (b) 4,092 3,632 
Series 2004-W11 Class M2, 1.4858% 11/25/34 (b) 63,962 61,475 
Series 2004-W7 Class M1, 1.2608% 5/25/34 (b) 179,644 164,200 
Series 2006-W4 Class A2C, 0.5958% 5/25/36 (b) 130,347 46,202 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1.2515% 4/25/34 (b) 142,339 123,552 
Series 2006-HE2 Class M1, 0.8058% 3/25/36 (b) 2,215 369 
Bank of America Credit Card Master Trust Series 2015-A2 Class A, 1.36% 9/15/20 3,769,000 3,777,936 
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1.5608% 2/25/35 (b) 378,742 334,166 
Capital Auto Receivables Asset Trust:   
Series 2014-2 Class A2, 0.91% 4/20/17 231,473 231,472 
Series 2014-3 Class A2, 1.18% 12/20/17 1,176,000 1,175,464 
Series 2015-1 Class A2, 1.42% 6/20/18 1,807,000 1,808,549 
Series 2015-2 Class A2, 1.39% 9/20/18 1,603,000 1,604,242 
Capital One Multi-Asset Execution Trust Series 2014-A5 Class A, 1.48% 7/15/20 2,200,000 2,209,936 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.5758% 12/25/36 (b) 205,465 139,790 
Chase Issuance Trust Series 2015-A2, Class A, 1.59% 2/18/20 3,000,000 3,020,538 
Chrysler Capital Auto Receivables Trust Series 2015-AA Class A3, 1.22% 7/15/19 (a) 4,000,000 3,990,726 
CIT Equipment Collateral:   
Series 2013-VT1 Class A3, 1.13% 7/20/20 (a) 1,689,604 1,689,751 
Series 2014-VT1 Class A3, 1.5% 10/21/19 (a) 1,640,000 1,634,573 
Citibank Credit Card Issuance Trust Series 2014-A6 Class A6, 2.15% 7/15/21 2,896,000 2,956,777 
Countrywide Home Loans, Inc.:   
Series 2003-BC1 Class B1, 5.6858% 3/25/32 (b) 9,741 8,905 
Series 2004-3 Class M4, 1.8908% 4/25/34 (b) 7,185 6,293 
Series 2004-4 Class M2, 1.2308% 6/25/34 (b) 8,377 7,575 
Dell Equipment Finance Trust Series 2015-1 Class A3, 1.3% 3/23/20 (a) 4,490,000 4,472,434 
Discover Card Master Trust:   
Series 2014-A5 Class A, 1.39% 4/15/20 1,780,000 1,786,807 
Series 2016-A1 Class A1, 2.1% 7/15/21 3,630,000 3,648,325 
Enterprise Fleet Financing LLC:   
Series 2014-1 Class A2, 0.87% 9/20/19 (a) 868,988 866,107 
Series 2014-2 Class A2, 1.05% 3/20/20 (a) 2,576,231 2,562,620 
Series 2015-1 Class A2, 1.3% 9/20/20 (a) 2,604,423 2,587,052 
Fannie Mae Series 2004-T5 Class AB3, 1.1189% 5/28/35 (b) 4,436 3,852 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.6015% 8/25/34 (b) 33,155 31,312 
Flagship Credit Auto Trust Series 2016-1 Class A, 2.53% 12/15/20 (a) 4,000,000 3,990,391 
Ford Credit Auto Owner Trust:   
Series 2014-2 Class A, 2.31% 4/15/26 (a) 3,299,000 3,332,738 
Series 2015-1 Class A, 2.12% 7/15/26 (a) 2,785,000 2,793,976 
Series 2015-2 Class A, 2.44% 1/15/27 (a) 3,480,000 3,522,612 
Series 2016-1 Class A, 2.31% 8/15/27 (a) 4,000,000 3,998,914 
Ford Credit Floorplan Master Owner Trust:   
Series 2012-5 Class A, 1.49% 9/15/19 8,055,000 8,069,835 
Series 2014-1 Class A1, 1.2% 2/15/19 3,500,000 3,492,991 
Series 2014-4 Class A1, 1.4% 8/15/19 11,000,000 11,007,425 
Series 2015-1 Class A1, 1.42% 1/15/20 6,000,000 6,003,737 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 1.1615% 1/25/35 (b) 81,136 70,350 
Class M4, 1.4465% 1/25/35 (b) 39,567 21,248 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.0091% 2/25/47 (a)(b) 143,276 126,848 
GE Business Loan Trust Series 2006-2A:   
Class A, 0.6093% 11/15/34 (a)(b) 89,833 85,073 
Class B, 0.7105% 11/15/34 (a)(b) 32,594 28,683 
Class C, 0.8105% 11/15/34 (a)(b) 53,794 46,548 
Class D, 1.1805% 11/15/34 (a)(b) 20,404 16,905 
GM Financial Automobile Leasing Trust:   
Series 2014-2A Class A3, 1.22% 1/22/18 (a) 1,950,000 1,950,075 
Series 2015-1 Class A3, 1.53% 9/20/18 2,398,000 2,413,268 
GMF Floorplan Owner Revolving Trust Series 2015-1 Class A1, 1.65% 5/15/20 (a) 3,732,000 3,723,488 
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (a) 29,997 864 
Home Equity Asset Trust:   
Series 2003-2 Class M1, 1.7558% 8/25/33 (b) 32,697 30,100 
Series 2003-5 Class A2, 1.1358% 12/25/33 (b) 2,817 2,605 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6165% 1/25/37 (b) 141,116 90,492 
Hyundai Auto Lease Securitization Trust:   
Series 2014-B Class A3, 0.98% 11/15/17 (a) 1,200,000 1,199,357 
Series 2015-A Class A3, 1.42% 9/17/18 (a) 2,402,000 2,406,145 
Series 2015-B Class A3, 1.4% 11/15/18 (a) 2,966,000 2,967,041 
JPMorgan Mortgage Acquisition Trust:   
Series 2006-NC2 Class M2, 0.7216% 7/25/36 (b) 21,503 9,666 
Series 2007-CH1 Class AV4, 0.5658% 11/25/36 (b) 5,806 5,804 
KeyCorp Student Loan Trust:   
Series 1999-A Class A2, 0.9331% 12/27/29 (b) 7,059 7,022 
Series 2006-A Class 2C, 1.7531% 3/27/42 (b) 392,000 201,046 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.7265% 5/25/37 (b) 35,682 1,122 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.1858% 7/25/34 (b) 14,160 11,761 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1.4015% 7/25/34 (b) 32,514 30,398 
Series 2006-FM1 Class A2B, 0.5458% 4/25/37 (b) 11,599 11,534 
Series 2006-OPT1 Class A1A, 0.9465% 6/25/35 (b) 163,793 156,864 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1.1158% 8/25/34 (b) 4,895 4,255 
Series 2004-NC8 Class M6, 2.3108% 9/25/34 (b) 54,359 50,117 
Series 2005-NC1 Class M1, 1.0958% 1/25/35 (b) 27,940 24,899 
Series 2005-NC2 Class B1, 2.1908% 3/25/35 (b) 19,093 427 
Nationstar HECM Loan Trust Series 2016-1A Class A, 3.1294% 2/25/26 (a) 2,000,000 1,999,998 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.9365% 9/25/35 (b) 162,650 148,055 
Nissan Master Owner Trust Receivables Series 2015-A Class A2, 1.44% 1/15/20 2,500,000 2,501,568 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 2.3015% 9/25/34 (b) 60,741 55,316 
Class M4, 2.6015% 9/25/34 (b) 77,891 52,551 
Series 2005-WCH1 Class M4, 1.6715% 1/25/36 (b) 126,217 110,854 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2265% 4/25/33 (b) 582 498 
Santander Drive Auto Receivables Trust:   
Series 2013-4 Class B, 2.16% 1/15/20 164,736 164,968 
Series 2014-4 Class B, 1.82% 5/15/19 774,000 774,373 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2308% 3/25/35 (b) 82,443 75,890 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.462% 6/15/33 (b) 64,266 62,650 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.1608% 9/25/34 (b) 4,680 3,946 
Synchrony Credit Card Master Note Trust:   
Series 2015-1 Class A, 2.37% 3/15/23 2,681,000 2,725,078 
Series 2015-2 Class A, 1.6% 4/15/21 3,040,000 3,047,751 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.2865% 9/25/34 (b) 2,472 2,083 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.1717% 4/6/42 (a)(b) 316,998 155,329 
Volkswagen Credit Auto Master Trust Series 2014-1A Class A2, 1.4% 7/22/19 (a) 3,104,000 3,069,157 
Volvo Financial Equipment LLC Series 2015-1A Class A3, 1.51% 6/17/19 (a) 2,226,000 2,230,670 
World Omni Auto Receivables Trust Series 2014-B Class A3, 1.14% 1/15/20 1,759,000 1,757,421 
World Omni Automobile Lease Securitization Trust Series 2014-A Class A3, 1.16% 9/15/17 1,160,000 1,158,759 
TOTAL ASSET-BACKED SECURITIES   
(Cost $159,218,496)  160,328,585 
Collateralized Mortgage Obligations - 1.6%   
Private Sponsor - 0.1%   
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 2.7362% 5/27/35 (a)(b) 528,998 542,646 
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.6365% 5/25/47 (b) 28,857 26,469 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6058% 2/25/37 (b) 64,804 57,351 
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 2.8826% 11/25/25 (a) 1,565,874 1,565,091 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 2.7735% 6/10/35 (a)(b) 40,467 36,007 
Class B6, 3.2735% 6/10/35 (a)(b) 67,321 60,717 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.675% 7/20/34 (b) 2,538 2,473 
TOTAL PRIVATE SPONSOR  2,290,754 
U.S. Government Agency - 1.5%   
Fannie Mae:   
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27 358,644 379,448 
planned amortization class:   
Series 2002-9 Class PC, 6% 3/25/17 2,786 2,838 
Series 2015-28 Class P, 2.5% 5/25/45 7,659,776 7,835,591 
Series 2014-57 Class A, 3% 9/25/44 2,165,864 2,240,737 
Series 2015-28 Class JE, 3% 5/25/45 5,942,125 6,160,311 
Freddie Mac:   
planned amortization class:   
Series 2356 Class GD, 6% 9/15/16 6,246 6,317 
Series 2363 Class PF, 6% 9/15/16 4,004 4,034 
Series 3820 Class DA, 4% 11/15/35 291,331 305,101 
Series 3777 Class AC, 3.5% 12/15/25 517,671 544,566 
Series 3949 Class MK, 4.5% 10/15/34 222,334 241,007 
Series 4472 Class WL, 3% 5/15/45 2,714,751 2,808,667 
Ginnie Mae guaranteed REMIC pass-thru certificates Series 2015-H17 Class HA, 2.5% 5/20/65 (d) 7,682,437 7,843,958 
TOTAL U.S. GOVERNMENT AGENCY  28,372,575 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $30,710,580)  30,663,329 
Commercial Mortgage Securities - 7.6%   
7 WTC Depositor LLC Trust Series 2012-7WTC Class A, 4.0824% 3/13/31 (a) 417,625 425,237 
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5885% 2/14/43 (b)(e) 41,857 303 
Banc of America Commercial Mortgage Trust:   
sequential payer:   
Series 2006-2 Class A4, 5.832% 5/10/45 (b) 486,650 486,447 
Series 2006-3 Class A4, 5.889% 7/10/44 (b) 4,576,290 4,580,360 
Series 2006-6 Class A3, 5.369% 10/10/45 74,307 74,282 
Series 2006-4 Class A1A, 5.617% 7/10/46 (b) 811,416 817,033 
Series 2007-2 Class A4, 5.79% 4/10/49 (b) 7,498,000 7,604,610 
Series 2007-3 Class A4, 5.7423% 6/10/49 (b) 579,721 595,197 
Barclays Commercial Mortgage Securities LLC:   
floater Series 2015-RRI Class A, 1.5755% 5/15/32 (a)(b) 2,015,000 1,983,571 
Series 2015-STP Class A, 3.3228% 9/10/28 (a) 3,500,000 3,601,373 
Bayview Commercial Asset Trust floater:   
Series 2003-2 Class M1, 1.7108% 12/25/33 (a)(b) 3,266 2,901 
Series 2005-4A:   
Class A2, 0.8258% 1/25/36 (a)(b) 83,872 71,617 
Class B1, 1.8358% 1/25/36 (a)(b) 3,550 2,445 
Class M1, 0.8858% 1/25/36 (a)(b) 27,056 21,473 
Class M2, 0.9058% 1/25/36 (a)(b) 8,117 6,250 
Class M3, 0.9358% 1/25/36 (a)(b) 11,854 8,757 
Class M4, 1.0458% 1/25/36 (a)(b) 6,556 4,737 
Class M5, 1.0858% 1/25/36 (a)(b) 6,556 4,749 
Class M6, 1.1358% 1/25/36 (a)(b) 6,963 5,061 
Series 2006-3A Class M4, 0.8658% 10/25/36 (a)(b) 3,424 378 
Series 2007-1 Class A2, 0.7058% 3/25/37 (a)(b) 55,311 46,781 
Series 2007-2A:   
Class A1, 0.7058% 7/25/37 (a)(b) 57,469 48,233 
Class A2, 0.7558% 7/25/37 (a)(b) 53,728 42,535 
Class M1, 0.8058% 7/25/37 (a)(b) 18,867 14,287 
Class M2, 0.8458% 7/25/37 (a)(b) 10,193 7,123 
Class M3, 0.9258% 7/25/37 (a)(b) 7,826 4,933 
Series 2007-3:   
Class A2, 0.7258% 7/25/37 (a)(b) 51,618 41,080 
Class M1, 0.7458% 7/25/37 (a)(b) 11,450 8,576 
Class M2, 0.7758% 7/25/37 (a)(b) 12,285 8,761 
Class M3, 0.8058% 7/25/37 (a)(b) 18,952 9,299 
Class M4, 0.9358% 7/25/37 (a)(b) 29,987 14,432 
Class M5, 1.0358% 7/25/37 (a)(b) 14,479 3,043 
Series 2007-4A Class M1, 1.3716% 9/25/37 (a)(b) 16,497 4,065 
Bear Stearns Commercial Mortgage Securities Trust:   
sequential payer:   
Series 2006-PW13 Class A1A, 5.533% 9/11/41 680,553 687,048 
Series 2006-PW14 Class A1A, 5.189% 12/11/38 360,159 366,172 
Series 2006-T22 Class A1A, 5.8216% 4/12/38 (b) 10,268 10,258 
Series 2006-PW12 Class A1A, 5.9065% 9/11/38 (b) 370,888 371,138 
BXHTL Mortgage Trust Series 2015-JWRZ Class A, 1.656% 5/15/29 (a)(b) 2,065,000 2,016,019 
C-BASS Trust floater Series 2006-SC1 Class A, 0.7058% 5/25/36 (a)(b) 20,671 19,876 
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44 739,907 776,472 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.827% 12/15/27 (a)(b) 7,424,941 7,400,557 
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class A, 2.808% 4/10/28 (a) 5,000,000 5,105,490 
Citigroup Commercial Mortgage Trust:   
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 1,449,733 1,464,198 
Series 2006-C4 Class A1A, 6.0329% 3/15/49 (b) 323,431 323,552 
Series 2015-GC29 Class A2, 2.674% 4/10/48 1,388,000 1,418,447 
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2006-CD3 Class A5, 5.617% 10/15/48 227,913 229,367 
COMM Mortgage Trust:   
floater Series 2014-KYO Class A, 1.324% 6/11/27 (a)(b) 1,500,000 1,462,944 
Series 2013-LC6 Class ASB, 2.478% 1/10/46 2,180,000 2,196,679 
Series 2014-CR15 Class A2, 2.928% 2/10/47 3,957,000 4,053,423 
Series 2014-CR17 Class A2, 3.012% 5/10/47 790,000 813,347 
Series 2014-CR20 Class A2, 2.801% 11/10/47 987,000 1,012,377 
Series 2014-UBS3 Class A2, 2.844% 6/10/47 1,960,000 2,011,384 
Series 2015-CR22 Class A2, 2.856% 3/10/48 953,000 981,991 
COMM Mortgage Trust pass-thru certificates:   
floater Series 2005-F10A Class J, 1.2805% 4/15/17 (a)(b) 14,378 14,277 
sequential payer:   
Series 2006-C7 Class A1A, 5.9515% 6/10/46 (b) 469,550 470,744 
Series 2006-C8:   
Class A1A, 5.292% 12/10/46 1,093,029 1,108,645 
Class A4, 5.306% 12/10/46 1,526,955 1,548,538 
Series 2006-C7 Class A4, 5.9625% 6/10/46 (b) 416,734 416,935 
Credit Suisse Commercial Mortgage Trust sequential payer:   
Series 2007-C2 Class A3, 5.542% 1/15/49 (b) 432,000 440,566 
Series 2007-C3 Class A4, 5.8888% 6/15/39 (b) 1,433,621 1,469,107 
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0.0141% 9/15/34 (a)(b)(e) 102 0 
CSMC Series 2015-TOWN:   
Class B, 2.327% 3/15/17 (a)(b) 264,000 254,854 
Class C, 2.677% 3/15/17 (a)(b) 257,000 245,778 
Class D, 3.627% 3/15/17 (a)(b) 1,003,000 951,358 
GAHR Commercial Mortgage Trust:   
floater Series 2015-NRF Class AFL1, 1.7255% 12/15/16 (a)(b) 5,058,216 5,009,828 
Series 2015-NRF:   
Class BFX, 3.3822% 12/15/19 (a)(b) 2,358,850 2,342,301 
Class CFX, 3.3822% 12/15/19 (a)(b) 1,059,000 1,030,239 
GE Capital Commercial Mortgage Corp.:   
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 2,544,000 2,584,054 
Series 2007-C1 Class A1A, 5.483% 12/10/49 (b) 5,010,151 5,143,722 
Greenwich Capital Commercial Funding Corp.:   
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 918,805 938,374 
Series 2006-GG7 Class A4, 6.0483% 7/10/38 (b) 1,002,018 1,004,481 
GS Mortgage Securities Corp. Trust Series 2013-C, 2.974% 1/10/30 (a) 150,000 150,341 
GS Mortgage Securities Trust:   
floater Series 2014-GSFL Class A, 1.4255% 7/15/31 (a)(b) 399,314 393,225 
sequential payer Series 2006-GG8:   
Class A1A, 5.547% 11/10/39 429,722 434,481 
Class A4, 5.56% 11/10/39 6,047,719 6,096,485 
Series 2015-GC32 Class A2, 3.062% 7/10/48 2,500,000 2,594,221 
Hilton U.S.A. Trust:   
floater Series 2013-HLF Class AFL, 1.4295% 11/5/30 (a)(b) 440,663 439,986 
Series 2013-HLT:   
Class CFX, 3.7141% 11/5/30 (a) 110,000 109,655 
Class DFX, 4.4065% 11/5/30 (a) 1,039,000 1,035,748 
JP Morgan Chase Commercial Mortgage Securities Trust Series 2015-JP1 Class A2, 3.1438% 1/15/49 1,975,000 2,071,900 
JPMBB Commercial Mortgage Secutities Trust Series 2015-C29 Class A2, 2.9213% 5/15/48 1,567,000 1,626,740 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater:   
Series 2014-BXH Class A, 1.3305% 4/15/27 (a)(b) 1,100,000 1,086,464 
Series 2014-FL5 Class A, 1.4055% 7/15/31 (a)(b) 1,056,206 1,042,928 
sequential payer:   
Series 2006-CB16 Class A4, 5.552% 5/12/45 1,394,608 1,401,800 
Series 2006-LDP8:   
Class A1A, 5.397% 5/15/45 87,443 88,065 
Class A4, 5.399% 5/15/45 1,456,273 1,460,800 
Series 2007-LD11 Class A4, 5.9599% 6/15/49 (b) 29,781 30,375 
Series 2007-LDPX Class A3, 5.42% 1/15/49 3,625,347 3,696,463 
Series 2011-C3 Class A3, 4.3877% 2/15/46 (a) 1,718,000 1,793,022 
Series 2006-LDP7 Class A1A, 6.1056% 4/17/45 (b) 808,132 811,582 
LB-UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C6 Class A4, 5.372% 9/15/39 227,635 229,746 
Series 2006-C7:   
Class A1A, 5.335% 11/15/38 2,185,310 2,221,130 
Class A2, 5.3% 11/15/38 26,694 26,969 
Series 2007-C1 Class A4, 5.424% 2/15/40 2,994,053 3,051,337 
Series 2006-C6 Class A1A, 5.342% 9/15/39 (b) 1,110,047 1,120,482 
Series 2007-C7 Class A3, 5.866% 9/15/45 1,225,377 1,290,861 
Merrill Lynch Mortgage Trust:   
Series 2005-LC1 Class F, 5.9178% 1/12/44 (a)(b) 56,826 56,723 
Series 2006-C2 Class A1A, 5.739% 8/12/43 (b) 673,587 678,296 
Merrill Lynch-CFC Commercial Mortgage Trust:   
sequential payer Series 2007-5 Class A4, 5.378% 8/12/48 4,549,434 4,634,288 
Series 2007-6 Class B, 5.635% 3/12/51 (b) 216,000 60,653 
Morgan Stanley BAML Trust Series 2014-C14 Class A2, 2.916% 2/15/47 817,000 844,156 
Morgan Stanley Capital I Trust:   
floater:   
Series 2006-XLF Class C, 1.631% 7/15/19 (a)(b) 40,774 40,285 
Series 2007-XLFA:   
Class D, 0.6155% 10/15/20 (a)(b) 31,745 31,747 
Class E, 0.6755% 10/15/20 (a)(b) 95,138 95,143 
Class F, 0.7255% 10/15/20 (a)(b) 57,094 57,097 
Class G, 0.7655% 10/15/20 (a)(b) 70,577 70,581 
Class H, 0.8555% 10/15/20 (a)(b) 44,426 44,471 
Class J, 1.0055% 10/15/20 (a)(b) 25,649 24,833 
sequential payer:   
Series 2007-IQ13 Class A1A, 5.312% 3/15/44 337,456 344,969 
Series 2011-C2 Class A4, 4.661% 6/15/44 (a) 2,725,000 3,013,844 
Series 2006-HQ9 Class A4, 5.731% 7/12/44 (b) 313,668 313,471 
Series 2006-IQ11 Class A1A, 5.9599% 10/15/42 (b) 78,290 78,216 
Series 2007-IQ14 Class A4, 5.692% 4/15/49 1,195,000 1,223,304 
Series 2007-T27 Class A1A, 5.8206% 6/11/42 (b) 818,328 852,290 
Providence Place Group Ltd. Partnership sequential payer Series 2000-C1 Class A1, 7.75% 7/20/16 (a) 2,678 2,743 
SCG Trust Series 2013-SRP1 Class A, 1.8255% 11/15/26 (a)(b) 2,027,000 2,017,928 
UBS Commercial Mortgage Trust Series 2012-C1 Class A2, 2.18% 5/10/45 354,364 355,548 
Wachovia Bank Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C29:   
Class A1A, 5.297% 11/15/48 1,555,134 1,583,711 
Class A4, 5.308% 11/15/48 553,769 559,669 
Series 2007-C30 Class A5, 5.342% 12/15/43 5,468,000 5,599,694 
Series 2007-C32 Class A3, 5.8991% 6/15/49 (b) 367,000 374,925 
Series 2007-C33:   
Class A4, 6.1491% 2/15/51 (b) 3,074,873 3,175,855 
Class A5, 6.1491% 2/15/51 (b) 143,000 150,298 
Series 2006-C25 Class A1A, 5.9451% 5/15/43 (b) 212,102 211,739 
Series 2006-C26 Class A1A, 6.009% 6/15/45 (b) 593,776 594,663 
Series 2006-C27:   
Class A1A, 5.749% 7/15/45 (b) 434,540 436,541 
Class A3, 5.765% 7/15/45 (b) 459,802 459,271 
WF-RBS Commercial Mortgage Trust Series 2013-C11 Class ASB, 2.63% 3/15/45 1,310,000 1,327,983 
WFCG Commercial Mortgage Trust floater Series 2015-BXRP Class A, 1.5475% 11/15/29 (a)(b) 1,589,600 1,568,778 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $145,752,333)  143,432,988 
Municipal Securities - 0.8%   
Illinois Gen. Oblig.:   
Series 2003, 4.95% 6/1/23 $2,645,000 $2,754,186 
Series 2011:   
4.961% 3/1/16 6,320,000 6,320,000 
5.665% 3/1/18 630,000 665,204 
5.877% 3/1/19 4,715,000 5,096,491 
Series 2013, 2.69% 12/1/17 500,000 503,905 
TOTAL MUNICIPAL SECURITIES   
(Cost $15,294,534)  15,339,786 
Foreign Government and Government Agency Obligations - 0.1%   
Brazilian Federative Republic 6% 1/17/17
(Cost $2,071,670) 		$2,000,000 $2,072,000 
Supranational Obligations - 0.0%   
International Bank for Reconstruction & Development 1% 6/15/18
(Cost $425,464) 		426,000 425,441 
Bank Notes - 2.3%   
Bank of America NA:   
1.25% 2/14/17 $2,420,000 $2,418,028 
1.65% 3/26/18 1,924,000 1,916,106 
1.75% 6/5/18 2,000,000 1,987,380 
5.3% 3/15/17 250,000 258,473 
Capital One Bank NA:   
1.3% 6/5/17 1,000,000 994,941 
2.25% 2/13/19 1,000,000 992,494 
Capital One NA 1.65% 2/5/18 3,000,000 2,961,585 
Discover Bank 3.1% 6/4/20 1,708,000 1,698,731 
Fifth Third Bank:   
1.45% 2/28/18 580,000 574,663 
2.875% 10/1/21 2,000,000 2,017,872 
First Tennessee Bank NA, Memphis 2.95% 12/1/19 5,000,000 4,977,815 
JPMorgan Chase Bank 6% 10/1/17 1,762,000 1,869,158 
KeyBank NA:   
1.65% 2/1/18 397,000 395,775 
2.5% 12/15/19 3,783,000 3,825,230 
Manufacturers & Traders Trust Co. 2.3% 1/30/19 1,100,000 1,106,466 
Marshall & Ilsley Bank 5% 1/17/17 1,868,000 1,917,125 
Regions Bank 7.5% 5/15/18 250,000 275,560 
Regions Financial Corp. 2.25% 9/14/18 4,000,000 3,982,764 
The Toronto-Dominion Bank 2.125% 7/2/19 5,000,000 5,039,990 
U.S. Bank NA 2.125% 10/28/19 2,186,000 2,211,596 
Union Bank NA 2.125% 6/16/17 700,000 703,690 
Wachovia Bank NA 6% 11/15/17 570,000 611,779 
TOTAL BANK NOTES   
(Cost $42,604,005)  42,737,221 
 Shares Value 
Fixed-Income Funds - 0.8%   
Fidelity Specialized High Income Central Fund (f)   
(Cost $16,910,667) 162,831 15,449,410 
Money Market Funds - 0.8%   
Fidelity Cash Central Fund, 0.40% (g)   
(Cost $14,718,871) 14,718,871 14,718,871 
 Maturity Amount Value 
Cash Equivalents - 4.1%   
Investments in repurchase agreements in a joint trading account at 0.4%, dated 2/29/16 due 3/1/16 (Collateralized by U.S. Government Obligations) # (h)   
(Cost $78,443,000) 78,443,872 78,443,000 
TOTAL INVESTMENT PORTFOLIO - 104.7%   
(Cost $1,997,336,946)  1,986,476,828 
NET OTHER ASSETS (LIABILITIES) - (4.7)%  (88,782,241) 
NET ASSETS - 100%  $1,897,694,587 

Swaps

Underlying Reference Rating(1) Expiration Date Clearinghouse/Counterparty Fixed Payment Received/(Paid) Notional Amount(2) Value(1) Upfront Premium Received/(Paid) Unrealized Appreciation/(Depreciation) 
Credit Default Swaps         
Sell Protection         
Morgan Stanley ABS Capital I Inc Series 2004-NC8 Class B3 C Oct. 2034 Merrill Lynch International 4.60% USD 16,329 $(1,264) $0 $(1,264) 

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

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


Legend

 (a) 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 $311,245,996 or 16.4% of net assets.

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

 (c) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $122,073.

 (d) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

 (e) 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.

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

 (g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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


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 $51,578 
Fidelity Specialized High Income Central Fund 445,486 
Total $497,064 

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund Value, beginning of period Purchases Sales Proceeds Value, end of period % ownership, end of period 
Fidelity Specialized High Income Central Fund $16,060,481 $447,917 $-- $15,449,410 1.9% 
Total $16,060,481 $447,917 $-- $15,449,410  

Investment Valuation

The following is a summary of the inputs used, as of February 29, 2016, 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 below, please refer to the Investment 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:     
Corporate Bonds $1,321,778,285 $-- $1,321,778,285 $-- 
U.S. Government and Government Agency Obligations 148,452,340 -- 148,452,340 -- 
U.S. Government Agency - Mortgage Securities 12,635,572 -- 12,635,572 -- 
Asset-Backed Securities 160,328,585 -- 159,932,939 395,646 
Collateralized Mortgage Obligations 30,663,329 -- 30,663,329 -- 
Commercial Mortgage Securities 143,432,988 -- 143,432,610 378 
Municipal Securities 15,339,786 -- 15,339,786 -- 
Foreign Government and Government Agency Obligations 2,072,000 -- 2,072,000 -- 
Supranational Obligations 425,441 -- 425,441 -- 
Bank Notes 42,737,221 -- 42,737,221 -- 
Fixed-Income Funds 15,449,410 15,449,410 -- -- 
Money Market Funds 14,718,871 14,718,871 -- -- 
Cash Equivalents 78,443,000 -- 78,443,000 -- 
Total Investments in Securities: $1,986,476,828 $30,168,281 $1,955,912,523 $396,024 
Derivative Instruments:     
Liabilities     
Swaps $(1,264) $-- $(1,264) $-- 
Total Liabilities $(1,264) $-- $(1,264) $-- 
Total Derivative Instruments: $(1,264) $-- $(1,264) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Credit Risk   
Swaps(a) $0 $(1,264) 
Total Credit Risk 0 (1,264) 
Total Value of Derivatives $0 $(1,264) 

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


Other Information

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

Repurchase Agreement / Counterparty Value 
$78,443,000 due 3/01/16 at 0.40%  
Commerz Markets LLC $78,443,000 
 $78,443,000 

Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):

United States of America 84.5% 
United Kingdom 4.7% 
Canada 2.8% 
Japan 1.6% 
France 1.1% 
Others (Individually Less Than 1%) 5.3% 
 100.0% 

The information in the above table is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.

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


Financial Statements

Statement of Assets and Liabilities

  February 29, 2016 (Unaudited) 
Assets   
Investment in securities, at value (including repurchase agreements of $78,443,000) — See accompanying schedule:
Unaffiliated issuers (cost $1,965,707,408) 		$1,956,308,547  
Fidelity Central Funds (cost $31,629,538) 30,168,281  
Total Investments (cost $1,997,336,946)  $1,986,476,828 
Cash  17,300 
Receivable for investments sold  4,580,612 
Receivable for fund shares sold  5,143,838 
Interest receivable  10,745,959 
Distributions receivable from Fidelity Central Funds  85,876 
Other receivables  667 
Total assets  2,007,051,080 
Liabilities   
Payable for investments purchased $25,112,869  
Payable for fund shares redeemed 4,552,431  
Distributions payable 295,543  
Bi-lateral OTC swaps, at value 1,264  
Accrued management fee 488,306  
Distribution and service plan fees payable 197,027  
Other affiliated payables 265,748  
Other payables and accrued expenses 5  
Collateral on securities loaned, at value 78,443,300  
Total liabilities  109,356,493 
Net Assets  $1,897,694,587 
Net Assets consist of:   
Paid in capital  $1,927,755,442 
Undistributed net investment income  2,808,318 
Accumulated undistributed net realized gain (loss) on investments  (22,007,791) 
Net unrealized appreciation (depreciation) on investments  (10,861,382) 
Net Assets  $1,897,694,587 
Calculation of Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($314,703,093 ÷ 27,708,466 shares)  $11.36 
Maximum offering price per share (100/97.25 of $11.36)  $11.68 
Class T:   
Net Asset Value and redemption price per share ($193,597,348 ÷ 17,035,689 shares)  $11.36 
Maximum offering price per share (100/97.25 of $11.36)  $11.68 
Class B:   
Net Asset Value and offering price per share ($900,323 ÷ 79,367 shares)(a)  $11.34 
Class C:   
Net Asset Value and offering price per share ($111,047,135 ÷ 9,799,616 shares)(a)  $11.33 
Fidelity Limited Term Bond Fund:   
Net Asset Value, offering price and redemption price per share ($831,639,600 ÷ 73,036,683 shares)  $11.39 
Class I:   
Net Asset Value, offering price and redemption price per share ($445,807,088 ÷ 39,144,534 shares)  $11.39 

 (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.


Statement of Operations

  Six months ended February 29, 2016 (Unaudited) 
Investment Income   
Interest  $22,504,412 
Income from Fidelity Central Funds  497,064 
Total income  23,001,476 
Expenses   
Management fee $2,770,688  
Transfer agent fees 1,186,625  
Distribution and service plan fees 1,093,513  
Fund wide operations fee 344,661  
Independent trustees' compensation 3,709  
Miscellaneous 1,153  
Total expenses before reductions 5,400,349  
Expense reductions (647) 5,399,702 
Net investment income (loss)  17,601,774 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 1,379,535  
Swaps 505  
Total net realized gain (loss)  1,380,040 
Change in net unrealized appreciation (depreciation) on:
Investment securities 		(11,704,758)  
Swaps 1,507  
Total change in net unrealized appreciation (depreciation)  (11,703,251) 
Net gain (loss)  (10,323,211) 
Net increase (decrease) in net assets resulting from operations  $7,278,563 

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


Statement of Changes in Net Assets

 Six months ended February 29, 2016 (Unaudited) Year ended August 31, 2015 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $17,601,774 $21,313,755 
Net realized gain (loss) 1,380,040 2,048,322 
Change in net unrealized appreciation (depreciation) (11,703,251) (16,775,250) 
Net increase (decrease) in net assets resulting from operations 7,278,563 6,586,827 
Distributions to shareholders from net investment income (16,486,255) (19,985,756) 
Share transactions - net increase (decrease) 176,353,500 941,601,529 
Total increase (decrease) in net assets 167,145,808 928,202,600 
Net Assets   
Beginning of period 1,730,548,779 802,346,179 
End of period (including undistributed net investment income of $2,808,318 and undistributed net investment income of $1,692,799, respectively) $1,897,694,587 $1,730,548,779 

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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class A

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.42 $11.52 $11.33 $11.69 $11.45 $11.28 
Income from Investment Operations       
Net investment income (loss)A .104 .170 .232 .243 .289 .344 
Net realized and unrealized gain (loss) (.068) (.111) .160 (.384) .215 .163 
Total from investment operations .036 .059 .392 (.141) .504 .507 
Distributions from net investment income (.096) (.159) (.202) (.219) (.264) (.322) 
Distributions from net realized gain – – – – – (.015) 
Total distributions (.096) (.159) (.202) (.219) (.264) (.337) 
Net asset value, end of period $11.36 $11.42 $11.52 $11.33 $11.69 $11.45 
Total ReturnB,C,D .32% .51% 3.48% (1.24)% 4.46% 4.59% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .76%G .76% .79% .82% .83% .83% 
Expenses net of fee waivers, if any .76%G .76% .79% .82% .83% .83% 
Expenses net of all reductions .76%G .76% .79% .82% .83% .83% 
Net investment income (loss) 1.83%G 1.48% 2.02% 2.09% 2.52% 3.06% 
Supplemental Data       
Net assets, end of period (000 omitted) $314,703 $304,040 $215,800 $155,980 $192,761 $187,442 
Portfolio turnover rateH 40%G 44% 94% 112% 129% 108%I 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.


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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class T

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.42 $11.53 $11.34 $11.70 $11.45 $11.29 
Income from Investment Operations       
Net investment income (loss)A .103 .170 .234 .246 .292 .348 
Net realized and unrealized gain (loss) (.067) (.121) .161 (.384) .225 .153 
Total from investment operations .036 .049 .395 (.138) .517 .501 
Distributions from net investment income (.096) (.159) (.205) (.222) (.267) (.326) 
Distributions from net realized gain – – – – – (.015) 
Total distributions (.096) (.159) (.205) (.222) (.267) (.341) 
Net asset value, end of period $11.36 $11.42 $11.53 $11.34 $11.70 $11.45 
Total ReturnB,C,D .32% .42% 3.50% (1.21)% 4.57% 4.53% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .77%G .76% .77% .80% .80% .80% 
Expenses net of fee waivers, if any .77%G .76% .77% .80% .80% .80% 
Expenses net of all reductions .77%G .76% .77% .80% .80% .80% 
Net investment income (loss) 1.83%G 1.48% 2.04% 2.11% 2.54% 3.09% 
Supplemental Data       
Net assets, end of period (000 omitted) $193,597 $193,612 $198,510 $210,150 $265,426 $274,215 
Portfolio turnover rateH 40%G 44% 94% 112% 129% 108%I 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.


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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class B

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.40 $11.51 $11.32 $11.68 $11.43 $11.27 
Income from Investment Operations       
Net investment income (loss)A .062 .090 .149 .159 .206 .264 
Net realized and unrealized gain (loss) (.068) (.122) .161 (.384) .225 .154 
Total from investment operations (.006) (.032) .310 (.225) .431 .418 
Distributions from net investment income (.054) (.078) (.120) (.135) (.181) (.243) 
Distributions from net realized gain – – – – – (.015) 
Total distributions (.054) (.078) (.120) (.135) (.181) (.258) 
Net asset value, end of period $11.34 $11.40 $11.51 $11.32 $11.68 $11.43 
Total ReturnB,C,D (.05)% (.28)% 2.75% (1.95)% 3.81% 3.77% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.51%G 1.46% 1.51% 1.55% 1.55% 1.55% 
Expenses net of fee waivers, if any 1.51%G 1.46% 1.51% 1.55% 1.55% 1.55% 
Expenses net of all reductions 1.51%G 1.46% 1.51% 1.55% 1.55% 1.55% 
Net investment income (loss) 1.09%G .78% 1.30% 1.36% 1.79% 2.35% 
Supplemental Data       
Net assets, end of period (000 omitted) $900 $919 $1,507 $2,956 $5,209 $7,018 
Portfolio turnover rateH 40%G 44% 94% 112% 129% 108%I 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.


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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class C

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.39 $11.50 $11.31 $11.67 $11.42 $11.26 
Income from Investment Operations       
Net investment income (loss)A .060 .081 .143 .155 .204 .262 
Net realized and unrealized gain (loss) (.068) (.121) .162 (.384) .225 .154 
Total from investment operations (.008) (.040) .305 (.229) .429 .416 
Distributions from net investment income (.052) (.070) (.115) (.131) (.179) (.241) 
Distributions from net realized gain – – – – – (.015) 
Total distributions (.052) (.070) (.115) (.131) (.179) (.256) 
Net asset value, end of period $11.33 $11.39 $11.50 $11.31 $11.67 $11.42 
Total ReturnB,C,D (.07)% (.35)% 2.70% (1.98)% 3.79% 3.76% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.54%G 1.54% 1.56% 1.58% 1.57% 1.56% 
Expenses net of fee waivers, if any 1.54%G 1.54% 1.56% 1.58% 1.57% 1.56% 
Expenses net of all reductions 1.54%G 1.54% 1.56% 1.58% 1.57% 1.56% 
Net investment income (loss) 1.06%G .71% 1.25% 1.34% 1.78% 2.33% 
Supplemental Data       
Net assets, end of period (000 omitted) $111,047 $81,929 $64,333 $53,096 $65,425 $63,435 
Portfolio turnover rateH 40%G 44% 94% 112% 129% 108%I 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.


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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund

 Six months ended February 29, (Unaudited) Years ended August 31,  
 2016 2015 2014 A 
Selected Per–Share Data    
Net asset value, beginning of period $11.45 $11.55 $11.50 
Income from Investment Operations    
Net investment income (loss)B .122 .205 .209 
Net realized and unrealized gain (loss) (.068) (.110) .038 
Total from investment operations .054 .095 .247 
Distributions from net investment income (.114) (.195) (.197) 
Net asset value, end of period $11.39 $11.45 $11.55 
Total ReturnC,D .48% .83% 2.17% 
Ratios to Average Net AssetsE,F    
Expenses before reductions .45%G .45% .46%G 
Expenses net of fee waivers, if any .45%G .45% .46%G 
Expenses net of all reductions .45%G .45% .46%G 
Net investment income (loss) 2.14%G 1.79% 2.22%G 
Supplemental Data    
Net assets, end of period (000 omitted) $831,640 $758,240 $147,629 
Portfolio turnover rateH 40%G 44% 94% 

 A For the period November 1, 2013 (commencement of sale of shares) to August 31, 2014.

 B Calculated based on average shares outstanding during the period.

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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


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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class I

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.45 $11.55 $11.36 $11.72 $11.48 $11.31 
Income from Investment Operations       
Net investment income (loss)A .119 .200 .262 .273 .319 .373 
Net realized and unrealized gain (loss) (.068) (.111) .161 (.385) .213 .163 
Total from investment operations .051 .089 .423 (.112) .532 .536 
Distributions from net investment income (.111) (.189) (.233) (.248) (.292) (.351) 
Distributions from net realized gain – – – – – (.015) 
Total distributions (.111) (.189) (.233) (.248) (.292) (.366) 
Net asset value, end of period $11.39 $11.45 $11.55 $11.36 $11.72 $11.48 
Total ReturnB,C .45% .78% 3.74% (.99)% 4.71% 4.85% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .50%F .50% .53% .57% .58% .58% 
Expenses net of fee waivers, if any .50%F .50% .53% .57% .58% .58% 
Expenses net of all reductions .50%F .50% .53% .57% .58% .58% 
Net investment income (loss) 2.09%F 1.74% 2.28% 2.34% 2.77% 3.32% 
Supplemental Data       
Net assets, end of period (000 omitted) $445,807 $391,808 $174,568 $84,843 $101,234 $89,583 
Portfolio turnover rateG 40%F 44% 94% 112% 129% 108%H 

 A Calculated based on average shares outstanding during the period.

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

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

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 F Annualized

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

 H 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.


Notes to Financial Statements (Unaudited)

For the period ended February 29, 2016

1. Organization.

Fidelity Advisor Limited Term Bond Fund (the Fund) is a fund of Fidelity Advisor Series II (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, Fidelity Limited Term Bond and Class I shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a maximum holding period of four years from the initial date of purchase.

During the period, the Board of Trustees approved the conversion of all existing Class B shares into Class A shares, effective on or about July 1, 2016, regardless of the length of times shares have been held.

2. Investments in Fidelity Central Funds.

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

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Specialized High Income Central Fund FMR Co., Inc. (FMRC) Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. Loans & Direct Debt Instruments
Restricted Securities
 		Less than .005% 

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


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

3. Significant Accounting Policies.

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

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

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

  • Level 1 – quoted prices in active markets for identical investments
  • Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
  • Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 29, 2016 is included at the end of the Fund's Schedule of Investments.

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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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

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

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.

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

Book-tax differences are primarily due to swaps, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

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

Gross unrealized appreciation $12,563,690 
Gross unrealized depreciation (21,334,988) 
Net unrealized appreciation (depreciation) on securities $(8,771,298) 
Tax cost $1,995,248,126 

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

Fiscal year of expiration  
2017 $(9,328) 
2018 (18,759,952) 
Total capital loss carryforward $(18,769,280) 

Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

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

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

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

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

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.
 

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments.

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Credit Risk   
Swaps(a) $505 $1,507 

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


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

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

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

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

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

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

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

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

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

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $267,231,937 and $106,864,859, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .31% of the Fund's average net assets.

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

 Distribution
Fee 		Service
Fee 		Total Fees Retained
by FDC 
Class A -% .25% $379,493 $23,005 
Class T -% .25% 242,500 792 
Class B .65% .25% 4,101 2,962 
Class C .75% .25% 467,419 93,881 
   $1,093,513 $120,640 

Sales Load. FDC may receive a front-end sales charge of up to 2.75% 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 3.00% to 1.00% for Class B shares, 1.00% for Class C shares, .75% or .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

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

 Retained
by FDC 
Class A $16,720 
Class T 13,688 
Class B(a) 221 
Class C(a) 15,446 
 $46,075 

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


Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Fidelity Limited Term Bond. FIIOC receives an asset-based fee of .10% of Fidelity Limited Term Bond'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-Level Average
Net Assets(a) 
Class A $239,551 .16 
Class T 159,982 .17 
Class B 1,134 .25 
Class C 83,452 .18 
Fidelity Limited Term Bond Fund 381,484 .10 
Class I 321,022 .15 
 $1,186,625  

 (a) Annualized


Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser 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% of the Fund's average net assets 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 annualized rate of .04% of average net assets.

Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $1,153 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. 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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $11,054.

9. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $647.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Six months ended February 29, 2016 Year ended August 31, 2015 
From net investment income   
Class A $2,573,225 $3,729,622 
Class T 1,632,269 2,760,770 
Class B 4,349 9,214 
Class C 429,725 455,450 
Fidelity Limited Term Bond Fund 7,670,510 7,753,652 
Class I 4,176,177 5,277,048 
Total $16,486,255 $19,985,756 

11. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:

 Shares Shares Dollars Dollars 
 Six months ended February 29, 2016 Year ended August 31, 2015 Six months ended February 29, 2016 Year ended August 31, 2015 
Class A     
Shares sold 9,493,588 22,883,010 $108,124,976 $262,802,297 
Reinvestment of distributions 208,809 302,206 2,375,945 3,471,902 
Shares redeemed (8,625,388) (15,281,488) (98,288,046) (175,517,852) 
Net increase (decrease) 1,077,009 7,903,728 $12,212,875 $90,756,347 
Class T     
Shares sold 3,230,355 4,726,276 $36,826,027 $54,308,583 
Reinvestment of distributions 135,211 225,689 1,539,145 2,594,606 
Shares redeemed (3,279,036) (5,219,634) (37,380,244) (59,996,049) 
Net increase (decrease) 86,530 (267,669) $984,928 $(3,092,860) 
Class B     
Shares sold 23,906 45,219 $272,061 $518,562 
Reinvestment of distributions 348 769 3,946 8,827 
Shares redeemed (25,488) (96,326) (290,091) (1,103,458) 
Net increase (decrease) (1,234) (50,338) $(14,084) $(576,069) 
Class C     
Shares sold 3,748,755 3,762,661 $42,556,513 $43,110,911 
Reinvestment of distributions 33,368 34,649 378,455 397,236 
Shares redeemed (1,175,287) (2,200,235) (13,359,960) (25,199,324) 
Net increase (decrease) 2,606,836 1,597,075 $29,575,008 $18,308,823 
Fidelity Limited Term Bond Fund     
Shares sold 30,185,709 73,683,363 $344,754,445 $848,661,103 
Reinvestment of distributions 611,698 626,332 6,976,952 7,211,684 
Shares redeemed (24,008,474) (20,841,425) (274,433,242) (239,689,901) 
Net increase (decrease) 6,788,933 53,468,270 $77,298,155 $616,182,886 
Class I     
Shares sold 13,435,969 31,060,194 $153,456,360 $357,596,586 
Reinvestment of distributions 285,314 376,794 3,255,224 4,341,226 
Shares redeemed (8,802,281) (12,319,776) (100,414,966) (141,915,410) 
Net increase (decrease) 4,919,002 19,117,212 $56,296,618 $220,022,402 

12. Other.

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

13. Credit Risk.

The Fund invests a portion of its assets in structured securities of issuers backed by commercial and 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.

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2015 to February 29, 2016).

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.

 Annualized Expense Ratio-A Beginning
Account Value
September 1, 2015 		Ending
Account Value
February 29, 2016 		Expenses Paid
During Period-B
September 1, 2015
to February 29, 2016 
Class A .76%    
Actual  $1,000.00 $1,003.20 $3.79 
Hypothetical-C  $1,000.00 $1,021.08 $3.82 
Class T .77%    
Actual  $1,000.00 $1,003.20 $3.84 
Hypothetical-C  $1,000.00 $1,021.03 $3.87 
Class B 1.51%    
Actual  $1,000.00 $999.50 $7.51 
Hypothetical-C  $1,000.00 $1,017.35 $7.57 
Class C 1.54%    
Actual  $1,000.00 $999.30 $7.66 
Hypothetical-C  $1,000.00 $1,017.21 $7.72 
Fidelity Limited Term Bond Fund .45%    
Actual  $1,000.00 $1,004.80 $2.24 
Hypothetical-C  $1,000.00 $1,022.63 $2.26 
Class I .50%    
Actual  $1,000.00 $1,004.50 $2.49 
Hypothetical-C  $1,000.00 $1,022.38 $2.51 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (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 each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.

 C 5% return per year before expenses


Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Advisor Limited Term Bond Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2015 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; and (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by FMR, the sub-advisers (together with FMR, the Investment Advisers), and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) reducing management fees and total expenses for certain index funds and diversified international funds; (v) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (vi) rationalizing product lines and gaining increased efficiencies through fund mergers; (vii) launching active fixed-income exchange-traded funds; (viii) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; (ix) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (x) modifying the eligibility criteria for certain share classes to accommodate roll-over assets from employer-sponsored retirement plans; (xi) launching a new Class W of the Freedom Index Funds to attract and retain Fidelity record-kept retirement plan assets; and (xii) implementing changes to Fidelity's money market product line in response to recent money market regulatory reforms.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Fidelity Advisor Limited Term Bond Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2014.

The Board noted that, in 2014, the ad hoc Committee on Group Fee was formed by it and other Fidelity fund boards to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. Committee focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio.  In its review of each class's total expense ratio, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the total expense ratio of each class ranked below its competitive median for 2014.

The Board considered that the current contractual arrangements for the fund have the effect of setting the total "fund-level" (but not "class-level") expenses (including, among certain other "fund-level" expenses, the management fee) for each class at 0.35%. These contractual arrangements may not be increased without the approval of the Board.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total group assets increase, and for higher group fee rates as total group assets decrease (with "group assets" defined to include fund assets under FMR's management plus sector fund assets previously under FMR's management and currently managed by Fidelity SelectCo, LLC). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board noted, however, that because the current contractual arrangements set the total "fund-level" expenses for each class at 0.35%, increases or decreases in the management fee due to changes in the group fee rate will not impact the total expense ratio.

Fees Charged to Other Fidelity Clients.  The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted the findings of the 2013 ad hoc joint committee (created with the board of other Fidelity funds), which reviewed and compared Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationship with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that in 2013, it and the boards of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds; (v) Fidelity's voluntary waiver of its fees to maintain minimum yields for certain money market funds and classes as well as contractual waivers in place for certain funds; (vi) the methodology with respect to competitive fund data and peer group classifications; (vii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (viii) Fidelity's long-term expectations for its offerings in the workplace investing channel; (ix) new developments in the retail and institutional marketplaces; and (x) the impact of money market reform on Fidelity's money market funds. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.





Fidelity Investments

LTB-SANN-0416
1.704556.118

Fidelity Advisor® Mortgage Securities Fund
Class I



Semi-Annual Report

February 29, 2016



Fidelity Investments


Contents

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees


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. © 2016 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.



Investment Summary (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.

Coupon Distribution as of February 29, 2016

 % of fund's investments % of fund's investments 6 months ago 
Zero coupon bonds 0.0 0.0 
0.01 - 0.99% 2.0 4.1 
1 - 1.99% 6.5 5.4 
2 - 2.99% 6.4 6.5 
3 - 3.99% 45.1 37.7 
4 - 4.99% 22.6 26.6 
5 - 5.99% 7.5 9.2 
6 - 6.99% 1.8 2.1 
7% and above 1.2 1.4 

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

Weighted Average Maturity as of February 29, 2016

  6 months ago 
Years 4.5 5.2 

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 February 29, 2016

  6 months ago 
Years 3.0 3.6 

Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration.

Asset Allocation (% of fund's net assets)

As of February 29, 2016*,** 
   Mortgage Securities 82.8% 
   CMOs and Other Mortgage Related Securities 25.5% 
   Asset-Backed Securities 6.8% 
 Short-Term Investments and Net Other Assets (Liabilities)*** (15.1)% 


 * Foreign investments - 0.0%

 ** Futures and Swaps - (5.3)%

 *** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart


As of August 31, 2015*,** 
   Mortgage Securities 83.6% 
   CMOs and Other Mortgage Related Securities 32.2% 
   Asset-Backed Securities 3.5% 
 Short-Term Investments and Net Other Assets (Liabilities)*** (19.3)% 


 * Foreign investments - 1.0%

 ** Futures and Swaps - (8.6)%

 *** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart


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.

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

Percentages shown as 0.0% may reflect amounts less than 0.05%. 

Investments February 29, 2016 (Unaudited)

Showing Percentage of Net Assets

U.S. Government Agency - Mortgage Securities - 88.2%   
 Principal Amount (000s) Value (000s) 
Fannie Mae - 46.0%   
1.814% 9/1/36 (a) 86 88 
2.07% 4/1/37 (a) 104 109 
2.108% 3/1/36 (a) 129 135 
2.26% 1/1/35 (a) 176 183 
2.302% 6/1/36 (a) 43 45 
2.31% 4/1/36 (a) 147 155 
2.315% 9/1/36 (a) 71 74 
2.317% 5/1/36 (a) 218 228 
2.408% 7/1/35 (a) 5 6 
2.426% 8/1/35 (a) 264 278 
2.45% 11/1/36 (a) 39 41 
2.458% 3/1/35 (a) 29 31 
2.472% 7/1/35 (a) 45 47 
2.5% 2/1/30 120 124 
2.5% 3/1/31 (b) 100 103 
2.525% 5/1/36 (a) 36 38 
2.555% 6/1/36 (a) 385 407 
2.557% 3/1/40 (a) 181 191 
2.559% 10/1/33 (a) 40 43 
2.689% 2/1/42 (a) 642 667 
2.75% 10/1/36 (a) 172 182 
2.761% 1/1/42 (a) 566 589 
2.78% 9/1/37 (a) 29 31 
3% 3/1/31 (b) 9,100 9,490 
3% 11/1/42 to 3/1/44 44,324 45,672 
3% 3/1/46 (b) 50,900 52,192 
3% 3/1/46 (b) 1,000 1,025 
3% 3/1/46 (b) 700 718 
3% 3/1/46 (b) 600 615 
3.007% 8/1/41 (a) 411 430 
3.346% 9/1/41 (a) 129 137 
3.465% 12/1/40 (a) 5,394 5,666 
3.5% 4/1/29 to 8/1/45 78,604 83,098 
3.5% 3/1/46 (b) 33,800 35,418 
3.5% 3/1/46 (b) 20,800 21,796 
3.5% 3/1/46 (b) 20,700 21,691 
3.5% 3/1/46 (b) 2,000 2,096 
3.5% 3/1/46 (b) 7,700 8,069 
3.5% 3/1/46 (b) 1,000 1,048 
3.5% 3/1/46 (b) 1,000 1,048 
3.5% 3/1/46 (b) 1,000 1,048 
3.5% 3/1/46 (b) 6,000 6,287 
3.5% 3/1/46 (b) 1,000 1,048 
3.5% 3/1/46 (b) 7,921 8,300 
3.5% 3/1/46 (b) 6,679 6,999 
4% 11/1/31 to 1/1/46 107,571 115,429 
4% 3/1/46 (b) 150 160 
4% 3/1/46 (b) 100 107 
4% 3/1/46 (b) 4,750 5,068 
4% 3/1/46 (b) 4,750 5,068 
4% 3/1/46 (b) 50 53 
4% 3/1/46 (b) 3,300 3,521 
4% 3/1/46 (b) 3,300 3,521 
4% 3/1/46 (b) 1,300 1,387 
4.5% 5/1/25 to 4/1/45 41,087 44,763 
5% 5/1/20 to 8/1/41 495 536 
5.255% 8/1/41 893 1,011 
5.5% 2/1/18 to 4/1/39 3,507 3,978 
5.565% 8/1/46 (a) 44 46 
6.5% 3/1/16 to 5/1/38 1,389 1,592 
7% 3/1/17 to 5/1/30 913 1,062 
7.5% 8/1/22 to 9/1/32 593 715 
8% 12/1/29 to 3/1/37 15 18 
8.5% 2/1/22 to 3/1/23 56 64 
9% 10/1/30 198 246 
9.5% 7/1/16 to 8/1/22 4 4 
  506,035 
Freddie Mac - 19.0%   
1.945% 3/1/35 (a) 89 92 
2.154% 8/1/37 (a) 77 81 
2.175% 6/1/37 (a) 29 31 
2.21% 3/1/36 (a) 230 240 
2.246% 5/1/37 (a) 74 78 
2.362% 10/1/42 (a) 596 630 
2.372% 11/1/35 (a) 264 275 
2.481% 5/1/34 (a) 6 7 
2.51% 6/1/37 (a) 21 22 
2.54% 6/1/37 (a) 271 286 
2.562% 6/1/37 (a) 464 488 
2.595% 4/1/37 (a) 9 9 
2.668% 4/1/37 (a) 96 101 
2.698% 6/1/33 (a) 708 747 
2.795% 7/1/36 (a) 73 77 
3% 10/1/42 to 1/1/46 37,238 38,198 
3.03% 10/1/36 (a) 13 14 
3.075% 12/1/36 (a) 398 422 
3.082% 9/1/41 (a) 577 602 
3.25% 10/1/35 (a) 41 43 
3.427% 12/1/40 (a) 2,450 2,563 
3.5% 4/1/42 to 6/1/45 (c) 66,999 70,339 
4% 2/1/41 to 2/1/46 30,408 32,599 
4% 3/1/46 (b) 9,300 9,910 
4% 3/1/46 (b) 4,100 4,369 
4.5% 7/1/25 to 8/1/44 10,818 11,773 
5% 7/1/33 to 7/1/41 11,164 12,438 
5.5% 10/1/17 to 10/1/39 10,414 11,714 
6% 5/1/16 to 6/1/39 2,282 2,593 
6.5% 7/1/16 to 9/1/39 3,771 4,317 
7% 6/1/21 to 9/1/36 1,309 1,537 
7.5% 5/1/16 to 7/1/34 1,637 1,945 
8% 11/1/16 to 1/1/37 17 21 
8.5% 8/1/16 to 9/1/20 1 1 
9% 9/1/16 to 5/1/21 5 5 
10% 4/1/16 to 12/1/18 0 0 
  208,567 
Ginnie Mae - 23.2%   
3% 6/15/42 to 12/20/45 44,519 46,174 
3.5% 11/20/41 to 1/20/44 48,738 51,564 
3.5% 3/1/46 (b) 11,900 12,565 
3.5% 3/1/46 (b) 12,700 13,409 
3.5% 3/1/46 (b) 6,100 6,441 
3.5% 3/1/46 (b) 7,300 7,708 
3.5% 3/1/46 (b) 1,600 1,689 
4% 7/20/33 to 7/20/45 50,826 54,466 
4% 3/1/46 (b) 1,200 1,282 
4% 3/1/46 (b) 6,200 6,621 
4% 3/1/46 (b) 2,200 2,350 
4.5% 8/15/33 to 5/20/41 31,098 33,988 
5% 9/20/33 to 6/15/41 9,833 11,079 
5.5% 10/15/33 to 9/15/39 2,893 3,284 
6.5% 10/15/34 to 7/15/36 184 217 
7% 2/15/24 to 4/20/32 836 996 
7.5% 12/15/21 to 12/15/29 307 362 
8% 6/15/21 to 12/15/25 175 205 
8.5% 1/15/17 to 10/15/28 139 166 
9% 11/20/17 0 0 
10.5% 10/20/17 to 2/20/18 1 1 
  254,567 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $953,105)  969,169 
Asset-Backed Securities - 6.8%   
American Credit Acceptance Receivable Trust Series 2016-1A Class A, 2.37% 5/12/20 (d) $3,270 $3,271 
American Credit Acceptance Receivables Trust Series 2015-3 Class A, 1.95% 9/12/19 (d) 4,058 4,048 
CFC LLC Series 2014-1A Class A, 1.46% 12/17/18 (d) 1,203 1,202 
Citi Held For Asset Issuance Series 2015-PM33 Class A, 2.56% 5/16/22 (d) 1,788 1,787 
Citi Held For Asset Issuance 2 Series 2015-PM2 Class A, 2% 3/15/22 (d) 3,696 3,675 
CPS Auto Receivables Trust:   
Series 2013-C Class A, 1.64% 4/16/18 (d) 629 629 
Series 2013-D Class A, 1.54% 7/16/18 (d) 1,061 1,059 
CPS Auto Trust Series 2015-C Class A, 1.77% 6/17/19 (d) 8,651 8,633 
Drive Auto Receivables Trust Series 2015-DA Class A2A, 1.23% 6/15/18 (d) 4,782 4,778 
Exeter Automobile Receivables Trust:   
Series 2014-2A Class A, 1.06% 8/15/18 (d) 679 677 
Series 2016-1A Class A, 2.8% 7/15/20 (d) 5,500 5,497 
Flagship Credit Auto Trust:   
Series 2015-3 Class A, 2.34% 10/15/20 (d) 2,868 2,861 
Series 2016-1 Class A, 2.53% 12/15/20 (d) 10,800 10,774 
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (d) 45 1 
JPMorgan Mortgage Acquisition Trust:   
Series 2007-CH1 Class AF3, 5.532% 11/25/36 1,084 1,103 
Series 2007-CH4 Class A3, 0.5458% 2/25/32 (a) 1,190 1,182 
Merrill Lynch Mortgage Investors Trust Series 2006-FF1 Class M2, 0.7258% 8/25/36 (a) 5,300 5,061 
Nationstar HECM Loan Trust:   
Series 2015-1A Class A, 3.844% 5/25/18 (d) 6,679 6,646 
Series 2016-1A Class A, 3.1294% 2/25/26 (d) 2,138 2,138 
OneMain Financial Issuance Trust Series 2014-1A Class A, 2.43% 6/18/24 (d) 1,180 1,178 
Springcastle SPV Series 2014-AA Class A, 2.7% 5/25/23 (d) 6,013 5,991 
Structured Asset Securities Corp. Series 2005-NC2 Class M3, 0.8565% 5/25/35 (a) 1,995 1,926 
Vericrest Opportunity Loan Trust Series 2014-NP11 Class A1, 3.875% 4/25/55 (d) 796 792 
TOTAL ASSET-BACKED SECURITIES   
(Cost $75,077)  74,909 
Collateralized Mortgage Obligations - 12.7%   
Private Sponsor - 6.1%   
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 0.5665% 6/27/36 (a)(d) 7,033 6,744 
Banc of America Funding Trust sequential payer Series 2010-R3 Class 1A1, 2.808% 12/26/35 (a)(d) 1,352 1,369 
BCAP LLC II Trust Series 2012-RR10 Class 5A5, 0.6868% 4/26/36 (a)(d) 274 267 
BCAP LLC Trust sequential payer:   
Series 2010-RR11 Class 6A1, 2.7078% 3/27/36 (a)(d) $3,479 $3,452 
Series 2012-RR5 Class 8A5, 0.6021% 7/26/36 (a)(d) 908 860 
Citigroup Mortgage Loan Trust sequential payer:   
Series 2012-A Class A, 2.5% 6/25/51 (d) 3,165 3,117 
Series 2014-8 Class 2A1, 3.45% 6/27/37 (a)(d) 6,623 6,629 
Credit Suisse Commercial Mortgage Trust:   
floater Series 2010-15R Class 5A5, 0.7816% 11/26/35 (a)(d) 4,976 4,930 
Series 2014-15R Class 7A3, 1.1596% 10/26/37 (a)(d) 2,285 2,237 
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 2.7362% 5/27/35 (a)(d) 494 507 
CSMC:   
floater Series 2015-1R Class 6A1, 0.7004% 5/27/37 (a)(d) 4,408 4,035 
Series 2011-2R Class 2A1, 2.6521% 7/27/36 (d) 3,998 3,955 
Series 2014-3R Class 2A1, 1.1216% 5/27/37 (a)(d) 1,223 1,154 
Exeter Automobile Receivables Trust Series 2015-2A Class A, 1.54% 11/15/19 (d) 6,503 6,476 
FDIC Trust Series 2013-N1 Class A, 4.5% 10/25/18 (d) 181 181 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.6557% 10/25/34 (a) 320 307 
JPMorgan Re-REMIC Trust floater Series 2009-5 Class 2A1, 1.9726% 1/26/37 (a)(d) 262 261 
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.6365% 5/25/47 (a) 237 218 
MASTR Alternative Loan Trust Series 2004-6 Class 5A1, 5.4126% 7/25/19 (a) 1,150 1,158 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6058% 2/25/37 (a) 1,291 1,143 
Morgan Stanley Re-REMIC Trust Series 2010-R6 Class 1A, 2.6101% 2/26/37 (a)(d) 3,048 3,061 
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 2.8826% 11/25/25 (d) 906 906 
Nomura Resecuritization Trust sequential payer Series 2011-3RA Class 2A1, 2.8917% 3/26/37 (a)(d) 2,008 1,981 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.7237% 4/25/33 (a) 122 118 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1.0665% 9/25/43 (a) 4,121 3,949 
WaMu Mortgage pass-thru certificates sequential payer:   
Series 2002-S8 Class 2A7, 5.25% 1/25/18 170 171 
Series 2003-MS5 Class 1A1, 5% 3/25/18 211 214 
Wells Fargo Mortgage Backed Securities Trust:   
Series 2003-I Class A1, 2.6097% 9/25/33 (a) 954 943 
Series 2005-AR10 Class 2A15, 2.7505% 6/25/35 (a) 5,237 5,332 
Series 2005-AR2 Class 1A2, 2.6956% 3/25/35 (a) 223 205 
Series 2006-AR10 Class 3A1, 2.7337% 7/25/36 (a) 820 803 
Wells Fargo Mortgage Loan Trust sequential payer Series 2011-RR4 Class 2A1, 4.3738% 6/27/36 (a)(d) 904 888 
  67,571 
U.S. Government Agency - 6.6%   
Fannie Mae:   
floater Series 2003-118 Class S, 7.6642% 12/25/33 (a)(e)(f) 325 75 
planned amortization class:   
Series 1999-17 Class PG, 6% 4/25/29 623 682 
Series 1999-32 Class PL, 6% 7/25/29 561 615 
Series 1999-33 Class PK, 6% 7/25/29 359 394 
Series 2001-52 Class YZ, 6.5% 10/25/31 43 50 
Series 2005-39 Class TE, 5% 5/25/35 904 999 
Series 2005-73 Class SA, 16.4169% 8/25/35 (a)(f) 69 89 
Series 2006-105 Class MD, 5.5% 6/25/35 176 177 
Series 2011-35 Class PA, 4% 2/25/39 293 298 
sequential payer:   
Series 2001-20 Class Z, 6% 5/25/31 620 680 
Series 2001-31 Class ZC, 6.5% 7/25/31 266 309 
Series 2002-16 Class ZD, 6.5% 4/25/32 89 104 
Series 2002-74 Class SV, 7.1142% 11/25/32 (a)(e) 228 43 
Series 2012-67 Class AI, 4.5% 7/25/27 (e) 816 105 
Series 06-116 Class SG, 6.2042% 12/25/36 (a)(e)(f) 215 42 
Series 07-40 Class SE, 6.0042% 5/25/37 (a)(e)(f) 135 23 
Series 1993-165 Class SH, 18.5671% 9/25/23 (a)(f) 31 43 
Series 2003-21 Class SK, 7.6642% 3/25/33 (a)(e)(f) 101 20 
Series 2003-35 Class TQ, 7.0642% 5/25/18 (a)(e)(f) 35 2 
Series 2007-57 Class SA, 38.0052% 6/25/37 (a)(f) 434 929 
Series 2007-66 Class SB, 36.9852% 7/25/37 (a)(f) 142 281 
Series 2008-12 Class SG, 5.9142% 3/25/38 (a)(e)(f) 725 130 
Series 2009-114 Class AI, 5% 12/25/23 (e) 180 6 
Series 2009-16 Class SA, 5.8142% 3/25/24 (a)(e)(f) 93 2 
Series 2009-76 Class MI, 5.5% 9/25/24 (e) 117 5 
Series 2009-85 Class IB, 4.5% 8/25/24 (e) 81 6 
Series 2009-93 Class IC, 4.5% 9/25/24 (e) 121 8 
Series 2010-12 Class AI, 5% 12/25/18 (e) 407 18 
Series 2010-135 Class LS, 5.6142% 12/25/40 (a)(e)(f) 663 119 
Series 2010-139 Class NI, 4.5% 2/25/40 (e) 853 108 
Series 2010-23:   
Class AI, 5% 12/25/18 (e) 164 7 
Class HI, 4.5% 10/25/18 (e) 125 5 
Series 2010-29 Class LI, 4.5% 6/25/19 (e) 366 14 
Series 2010-97 Class CI, 4.5% 8/25/25 (e) 263 17 
Series 2011-67 Class AI, 4% 7/25/26 (e) 223 23 
Series 2011-83 Class DI, 6% 9/25/26 (e) 314 38 
Series 2013-N1 Class A, 6.2842% 6/25/35 (a)(e)(f) 689 166 
Series 2015-70 Class JC, 3% 10/25/45 3,805 3,970 
Fannie Mae Stripped Mortgage-Backed Securities:   
Series 339 Class 29, 5.5% 8/25/18 (e) 102 4 
Series 348 Class 14, 6.5% 8/25/34 (a)(e) 180 39 
Series 351:   
Class 12, 5.5% 4/25/34 (a)(e) 122 22 
Class 13, 6% 3/25/34 (e) 163 33 
Series 359 Class 19, 6% 7/25/35 (a)(e) 111 20 
Series 384 Class 6, 5% 7/25/37 (e) 410 76 
Freddie Mac:   
planned amortization class:   
Series 2095 Class PE, 6% 11/15/28 691 761 
Series 2104 Class PG, 6% 12/15/28 197 216 
Series 2121 Class MG, 6% 2/15/29 271 297 
Series 2154 Class PT, 6% 5/15/29 472 518 
Series 2162 Class PH, 6% 6/15/29 73 80 
Series 2520 Class BE, 6% 11/15/32 352 386 
Series 2585 Class KS, 7.173% 3/15/23 (a)(e)(f) 33 4 
Series 2693 Class MD, 5.5% 10/15/33 5,885 6,661 
Series 2802 Class OB, 6% 5/15/34 1,628 1,829 
Series 3002 Class NE, 5% 7/15/35 553 609 
Series 3189 Class PD, 6% 7/15/36 586 655 
Series 3415 Class PC, 5% 12/15/37 169 185 
Series 3786 Class HI, 4% 3/15/38 (e) 806 84 
Series 3806 Class UP, 4.5% 2/15/41 1,347 1,451 
Series 3832 Class PE, 5% 3/15/41 960 1,103 
Series 70 Class C, 9% 9/15/20 4 4 
sequential payer:   
Series 2114 Class ZM, 6% 1/15/29 93 102 
Series 2135 Class JE, 6% 3/15/29 352 385 
Series 2274 Class ZM, 6.5% 1/15/31 155 180 
Series 2281 Class ZB, 6% 3/15/30 130 142 
Series 2357 Class ZB, 6.5% 9/15/31 311 366 
Series 2502 Class ZC, 6% 9/15/32 346 383 
Series 06-3115 Class SM, 6.173% 2/15/36 (a)(e)(f) 177 31 
Series 1658 Class GZ, 7% 1/15/24 420 466 
Series 2013-4281 Class AI, 4% 12/15/28 (e) 1,900 203 
Series 2380 Class SY, 7.773% 11/15/31 (a)(e)(f) 1,278 269 
Series 2587 Class IM, 6.5% 3/15/33 (e) 186 38 
Series 2844:   
Class SC, 44.0245% 8/15/24 (a)(f) 13 23 
Class SD, 80.899% 8/15/24 (a)(f) 19 45 
Series 2935 Class ZK, 5.5% 2/15/35 1,540 1,763 
Series 2947 Class XZ, 6% 3/15/35 645 736 
Series 3055 Class CS, 6.163% 10/15/35 (a)(e) 238 44 
Series 3244 Class SG, 6.233% 11/15/36 (a)(e)(f) 481 107 
Series 3274 Class SM, 6.003% 2/15/37 (a)(e) 278 51 
Series 3284 Class CI, 5.693% 3/15/37 (a)(e) 1,057 200 
Series 3287 Class SD, 6.323% 3/15/37 (a)(e)(f) 686 143 
Series 3297 Class BI, 6.333% 4/15/37 (a)(e)(f) 1,004 211 
Series 3336 Class LI, 6.153% 6/15/37 (a)(e) 449 71 
Series 3772 Class BI, 4.5% 10/15/18 (e) 252 11 
Series 3949 Class MK, 4.5% 10/15/34 392 425 
Series 3955 Class YI, 3% 11/15/21 (e) 1,435 80 
Series 4471 Class PA 4% 12/15/40 5,973 6,351 
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 258 298 
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 3,238 3,654 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-37 Class TS, 6.2645% 6/16/37 (a)(e)(f) 232 40 
Series 2010-H17 Class FA, 0.7519% 7/20/60 (a)(g) 282 277 
Series 2010-H18 Class AF, 0.551% 9/20/60 (a)(g) 346 340 
Series 2010-H19 Class FG, 0.551% 8/20/60 (a)(g) 401 395 
Series 2011-H13 Class FA, 0.751% 4/20/61 (a)(g) 168 167 
planned amortization class Series 2011-136 Class WI, 4.5% 5/20/40 (e) 523 53 
sequential payer:   
Series 2002-24 Class SK, 7.5245% 4/16/32 (a)(e)(f) 1,139 251 
Series 2002-42 Class ZA, 6% 6/20/32 412 476 
Series 2004-24 Class ZM, 5% 4/20/34 844 939 
Series 1999-40 Class SE, 8.5195% 11/16/29 (a)(e)(f) 194 7 
Series 2001-3 Class S, 7.6745% 2/16/31 (a)(e) 259 54 
Series 2001-36:   
Class SB, 7.6745% 12/16/23 (a)(e)(f) 660 119 
Class SP, 8.3245% 9/16/26 (a)(e) 458 71 
Series 2001-38 Class SB, 7.1545% 8/16/31 (a)(e)(f) 422 85 
Series 2001-41 Class SG, 8.3195% 9/16/31 (a)(e) 220 28 
Series 2001-49:   
Class SC, 7.1745% 12/16/25 (a)(e)(f) 869 148 
Class SL, 7.1745% 5/16/30 (a)(e)(f) 1,178 233 
Class SV, 7.8245% 12/16/28 (a)(e)(f) 321 21 
Series 2001-50:   
Class SD, 7.768% 11/20/31 (a)(e)(f) 609 155 
Class ST, 7.2745% 8/16/27 (a)(e)(f) 261 55 
Series 2002-5 Class SP, 7.0245% 1/16/32 (a)(e)(f) 419 74 
Series 2004-32 Class GS, 6.0745% 5/16/34 (a)(e)(f) 394 83 
Series 2004-73 Class AL, 6.7695% 8/17/34 (a)(e)(f) 149 37 
Series 2010-98 Class HS, 6.174% 8/20/40 (a)(e) 726 129 
Series 2011-52 Class HI, 7% 4/16/41 (e) 1,570 360 
Series 2012-76 Class GS, 6.2745% 6/16/42 (a)(e)(f) 764 153 
Series 2012-97 Class JS, 5.8245% 8/16/42 (a)(e)(f) 2,686 489 
Series 2013-124:   
Class ES, 8.0987% 4/20/39 (a)(f) 1,482 1,641 
Class ST, 8.232% 8/20/39 (a)(f) 2,784 3,216 
Series 2013-147 Class A/S, 5.724% 10/20/43 (a)(e) 1,258 196 
Series 2013-160 Class MS, 5.774% 9/20/32 (a)(e)(f) 2,211 435 
Series 2015-H13 Class HA, 2.5% 8/20/64 (g) 13,353 13,627 
Series 2015-H17 Class HA, 2.5% 5/20/65 (g) 5,131 5,239 
Ginnie Mae pass thru certificates Series 2010-85 Class SE, 6.124% 7/20/40 (a)(e) 794 139 
  72,149 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $137,675)  139,720 
Commercial Mortgage Securities - 12.8%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5885% 2/14/43 (a)(e) 673 5 
Banc of America Commercial Mortgage Trust:   
Series 2006-4 Class A1A, 5.617% 7/10/46 (a) 2,102 2,117 
Series 2007-2 Class A4, 5.79% 4/10/49 (a) 1,293 1,311 
Barclays Commercial Mortgage Securities LLC Series 2015-STP Class A, 3.3228% 9/10/28 (d) 5,587 5,749 
Bayview Commercial Asset Trust floater Series 2007-3:   
Class M1, 0.7458% 7/25/37 (a)(d) 38 29 
Class M2, 0.7758% 7/25/37 (a)(d) 40 29 
Class M3, 0.8058% 7/25/37 (a)(d) 65 32 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.827% 12/15/27 (a)(d) 8,859 8,830 
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer:   
Series 2006-CD3 Class A5, 5.617% 10/15/48 163 164 
Series 2007-CD4 Class A4, 5.322% 12/11/49 3,940 4,026 
COMM Mortgage Trust:   
floater Series 2014-KYO Class A, 1.324% 6/11/27 (a)(d) 5,000 4,876 
Series 2013-CR10 Class XA, 1.1309% 8/10/46 (a)(e) 10,374 442 
Series 2014-CR19 Class XA, 1.4501% 8/10/47 (a)(e) 15,637 1,054 
Series 2014-CR20 Class XA, 1.3593% 11/10/47 (a)(e) 13,165 923 
Series 2014-LC17 Class XA, 1.1645% 10/10/47 (a)(e) 14,979 739 
Series 2014-UBS4 Class XA, 1.4292% 8/10/47 (a)(e) 13,158 906 
Series 2014-UBS6 Class XA, 1.2201% 12/10/47 (a)(e) 8,827 537 
Series 2015-PC1 Class A5, 3.902% 7/10/50 3,400 3,598 
CSMC Series 2015-TOWN:   
Class A, 1.677% 3/15/17 (a)(d) 7,804 7,713 
Class B, 2.327% 3/15/17 (a)(d) 185 179 
Class C, 2.677% 3/15/17 (a)(d) 180 172 
Class D, 3.627% 3/15/17 (a)(d) 273 259 
Freddie Mac:   
sequential payer:   
Series K030 Class A2, 3.25% 4/25/23 1,640 1,764 
Series K033 Class A2, 3.06% 7/25/23 8,600 9,129 
Series K034 Class A2, 3.531% 7/25/23 5,549 6,062 
Series K035 Class A2, 3.458% 8/25/23 1,022 1,111 
Series K032 Class A2, 3.31% 5/25/23 1,628 1,755 
Series K036 Class A2, 3.527% 10/25/23 2,681 2,927 
Freddie Mac Multi-family Structured pass-thru certificates sequential payer Series K038 Class A2, 3.389% 3/25/24 1,630 1,764 
GAHR Commercial Mortgage Trust:   
floater Series 2015-NRF Class AFL1, 1.7255% 12/15/16 (a)(d) 12,633 12,512 
Series 2015-NRF Class AFX, 3.2349% 12/15/19 (d) 7,000 7,167 
GE Capital Commercial Mortgage Corp.:   
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 914 928 
Series 2007-C1 Class A1A, 5.483% 12/10/49 (a) 4,802 4,930 
GS Mortgage Securities Trust:   
floater Series 2014-GSFL Class A, 1.4255% 7/15/31 (a)(d) 513 505 
Series 2015-GC34 Class XA, 1.5357% 10/10/48 (a)(e) 10,680 1,020 
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class A, 1.6755% 11/15/29 (a)(d) 844 839 
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-CBX Class XA, 1.9192% 6/15/45 (a)(e) 46,578 3,011 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater Series 2014-BXH Class A, 1.3305% 4/15/27 (a)(d) 5,000 4,938 
sequential payer:   
Series 2006-CB16 Class A1A, 5.546% 5/12/45 1,306 1,315 
Series 2006-LDP8 Class A1A, 5.397% 5/15/45 930 936 
Series 2007-LD11 Class A4, 5.9599% 6/15/49 (a) 4,140 4,223 
Series 2007-CB20 Class A1A, 5.746% 2/12/51 2,508 2,616 
Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2007-6 Class A4, 5.485% 3/12/51 (a) 175 179 
Morgan Stanley BAML Trust Series 2015-C25 Class XA, 1.3069% 10/15/48 (a)(e) 13,837 1,078 
Morgan Stanley Capital I Trust sequential payer Series 2007-IQ15 Class A4, 6.1142% 6/11/49 (a) 1,633 1,691 
SCG Trust Series 2013-SRP1 Class A, 1.8255% 11/15/26 (a)(d) 2,783 2,771 
Wachovia Bank Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C29 Class A1A, 5.297% 11/15/48 6,833 6,959 
Series 2007-C31:   
Class A4, 5.509% 4/15/47 313 319 
Class A5, 5.5% 4/15/47 8,506 8,754 
Series 2007-C32 Class A3, 5.8991% 6/15/49 (a) 1,150 1,175 
Series 2007-C33 Class A4, 6.1491% 2/15/51 (a) 1,786 1,845 
Series 2006-C27 Class A1A, 5.749% 7/15/45 (a) 1,771 1,779 
Wells Fargo Commercial Mortgage Trust Series 2015-C31 Class XA, 1.2791% 11/15/48 (a)(e) 11,180 865 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $141,740)  140,557 
 Shares Value (000s) 
Fixed-Income Funds - 0.2%   
Fidelity Mortgage Backed Securities Central Fund (h)   
(Cost $1,653) 15,043 1,656 
 Maturity Amount (000s) Value (000s) 
Cash Equivalents - 3.1%   
Investments in repurchase agreements in a joint trading account at 0.4%, dated 2/29/16 due 3/1/16 (Collateralized by U.S. Government Obligations) #   
(Cost $34,343) 34,343 34,343 
TOTAL INVESTMENT PORTFOLIO - 123.8%   
(Cost $1,343,593)  1,360,354 
NET OTHER ASSETS (LIABILITIES) - (23.8)%  (261,088) 
NET ASSETS - 100%  $1,099,266 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Fannie Mae   
3.5% 3/1/46 $(7,700) $(8,069) 
3.5% 3/1/46 (7,700) (8,069) 
4% 3/1/46 (100) (107) 
4% 3/1/46 (100) (107) 
4% 3/1/46 (5,400) (5,762) 
4% 3/1/46 (4,750) (5,068) 
4% 3/1/46 (50) (53) 
4% 3/1/46 (9,500) (10,134) 
4.5% 3/1/46 (6,200) (6,734) 
TOTAL FANNIE MAE  (44,103) 
Freddie Mac   
4% 3/1/46 (719) (766) 
4% 3/1/46 (481) (513) 
4% 3/1/46 (3,600) (3,836) 
TOTAL FREDDIE MAC  (5,115) 
Ginnie Mae   
4% 3/1/46 (5,200) (5,553) 
4% 3/1/46 (2,200) (2,350) 
4% 3/1/46 (2,200) (2,350) 
TOTAL GINNIE MAE  (10,253) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $59,497)  $(59,471) 

Swaps

Clearinghouse/Counterparty(1) Expiration Date Notional Amount (000s) Payment Received Payment Paid Value (000s) Upfront Premium Received/(Paid) (000s)(2) Unrealized Appreciation/(Depreciation) (000s) 
Interest Rate Swaps        
LCH Mar. 2018 $30,200 3-month LIBOR 1.5% $(208) $0 $(208) 
LCH Mar. 2019 11,800 3-month LIBOR 1.75% (161) 0 (161) 
LCH Mar. 2021 13,800 3-month LIBOR 2% (388) 0 (388) 
LCH Mar. 2026 2,350 3-month LIBOR 2.5% (137) 0 (137) 
LCH Mar. 2046 830 3-month LIBOR 2.75% (102) 0 (102) 
TOTAL INTEREST RATE SWAPS     $(996) $0 $(996) 

 (1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.

 (2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).


For the period, the average monthly notional amount for swaps in the aggregate was $79,203,000.

Values shown as $0 may reflect amounts less than $500.

Legend

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

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

 (c) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,119,000.

 (d) 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 $175,247,000 or 15.9% of net assets.

 (e) 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.

 (f) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

 (g) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

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


Affiliated Central Funds

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

Fund Income earned 
 (Amounts in thousands) 
Fidelity Mortgage Backed Securities Central Fund $21 
Total $21 

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund (Amounts in thousands) Value, beginning of period Purchases Sales Proceeds Value, end of period % ownership, end of period 
Fidelity Mortgage Backed Securities Central Fund $1,622 $21 $-- $1,656 0.0% 
Total $1,622 $21 $-- $1,656  

Investment Valuation

The following is a summary of the inputs used, as of February 29, 2016, 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 below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
U.S. Government Agency - Mortgage Securities $969,169 $-- $969,169 $-- 
Asset-Backed Securities 74,909 -- 74,909 -- 
Collateralized Mortgage Obligations 139,720 -- 139,720 -- 
Commercial Mortgage Securities 140,557 -- 140,557 -- 
Fixed-Income Funds 1,656 1,656 -- -- 
Cash Equivalents 34,343 -- 34,343 -- 
Total Investments in Securities: $1,360,354 $1,656 $1,358,698 $-- 
Derivative Instruments:     
Liabilities     
Swaps $(996) $-- $(996) $-- 
Total Liabilities $(996) $-- $(996) $-- 
Total Derivative Instruments: $(996) $-- $(996) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(59,471) $-- $(59,471) $-- 
Total Other Financial Instruments: $(59,471) $-- $(59,471) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
(Amounts in thousands) Asset Liability 
Interest Rate Risk   
Swaps(a) $0 $(996) 
Total Interest Rate Risk 0 (996) 
Total Value of Derivatives $0 $(996) 

 (a) For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. For centrally cleared OTC swaps, only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities


Other Information

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

Repurchase Agreement / Counterparty Value 
$34,343,000 due 3/01/16 at 0.40% (Amounts in thousands) 
Commerz Markets LLC $34,343 
 $34,343 

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


Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)  February 29, 2016 (Unaudited) 
Assets   
Investment in securities, at value (including repurchase agreements of $34,343) — See accompanying schedule:
Unaffiliated issuers (cost $1,341,940) 		$1,358,698  
Fidelity Central Funds (cost $1,653) 1,656  
Total Investments (cost $1,343,593)  $1,360,354 
Cash  144 
Receivable for investments sold   
Regular delivery  13,410 
Delayed delivery  5,112 
Receivable for TBA sale commitments  59,497 
Receivable for fund shares sold  1,411 
Interest receivable  3,141 
Distributions receivable from Fidelity Central Funds  4 
Receivable from investment adviser for expense reductions  29 
Total assets  1,443,102 
Liabilities   
Payable for investments purchased   
Regular delivery $19,449  
Delayed delivery 263,501  
TBA sale commitments, at value 59,471  
Payable for fund shares redeemed 835  
Distributions payable 126  
Accrued management fee 281  
Distribution and service plan fees payable 29  
Payable for daily variation margin for derivative instruments 11  
Other affiliated payables 133  
Total liabilities  343,836 
Net Assets  $1,099,266 
Net Assets consist of:   
Paid in capital  $1,160,117 
Distributions in excess of net investment income  (2,190) 
Accumulated undistributed net realized gain (loss) on investments  (74,452) 
Net unrealized appreciation (depreciation) on investments  15,791 
Net Assets  $1,099,266 
Calculation of Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($44,125 ÷ 3,885.80 shares)  $11.36 
Maximum offering price per share (100/96.00 of $11.36)  $11.83 
Class T:   
Net Asset Value and redemption price per share ($24,125 ÷ 2,120.29 shares)  $11.38 
Maximum offering price per share (100/96.00 of $11.38)  $11.85 
Class B:   
Net Asset Value and offering price per share ($714 ÷ 62.89 shares)(a)  $11.35 
Class C:   
Net Asset Value and offering price per share ($18,644 ÷ 1,644.40 shares)(a)  $11.34 
Fidelity Mortgage Securities Fund:   
Net Asset Value, offering price and redemption price per share ($932,567 ÷ 81,918.64 shares)  $11.38 
Class I:   
Net Asset Value, offering price and redemption price per share ($79,091 ÷ 6,972.41 shares)  $11.34 

 (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.


Statement of Operations

Amounts in thousands  Six months ended February 29, 2016 (Unaudited) 
Investment Income   
Interest  $14,700 
Income from Fidelity Central Funds  21 
Total income  14,721 
Expenses   
Management fee $1,616  
Transfer agent fees 575  
Distribution and service plan fees 161  
Fund wide operations fee 201  
Independent trustees' compensation 2  
Miscellaneous 9  
Total expenses before reductions 2,564  
Expense reductions (28) 2,536 
Net investment income (loss)  12,185 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 6,193  
Swaps (2,480)  
Total net realized gain (loss)  3,713 
Change in net unrealized appreciation (depreciation) on:
Investment securities 		4,128  
Swaps 437  
Delayed delivery commitments (68)  
Total change in net unrealized appreciation (depreciation)  4,497 
Net gain (loss)  8,210 
Net increase (decrease) in net assets resulting from operations  $20,395 

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


Statement of Changes in Net Assets

Amounts in thousands Six months ended February 29, 2016 (Unaudited) Year ended August 31, 2015 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $12,185 $22,215 
Net realized gain (loss) 3,713 9,548 
Change in net unrealized appreciation (depreciation) 4,497 (7,250) 
Net increase (decrease) in net assets resulting from operations 20,395 24,513 
Distributions to shareholders from net investment income (13,351) (21,563) 
Distributions to shareholders from net realized gain (552) (244) 
Total distributions (13,903) (21,807) 
Share transactions - net increase (decrease) 89,918 86,045 
Total increase (decrease) in net assets 96,410 88,751 
Net Assets   
Beginning of period 1,002,856 914,105 
End of period (including distributions in excess of net investment income of $2,190 and distributions in excess of net investment income of $1,024, respectively) $1,099,266 $1,002,856 

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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class A

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.29 $11.24 $10.89 $11.34 $11.14 $10.91 
Income from Investment Operations       
Net investment income (loss)A .115 .223 .239 .169 .278 .323 
Net realized and unrealized gain (loss) .089 .047 .341 (.457) .206 .235 
Total from investment operations .204 .270 .580 (.288) .484 .558 
Distributions from net investment income (.128) (.217) (.230) (.162) (.284) (.328) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.134) (.220) (.230) (.162) (.284) (.328) 
Net asset value, end of period $11.36 $11.29 $11.24 $10.89 $11.34 $11.14 
Total ReturnB,C,D 1.82% 2.41% 5.37% (2.57)% 4.41% 5.22% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .80%G .81% .81% .79% .81% .82% 
Expenses net of fee waivers, if any .80%G .81% .81% .79% .81% .82% 
Expenses net of all reductions .80%G .81% .81% .79% .81% .82% 
Net investment income (loss) 2.05%G 1.97% 2.15% 1.51% 2.48% 2.96% 
Supplemental Data       
Net assets, end of period (in millions) $44 $38 $41 $50 $60 $59 
Portfolio turnover rateH 411%G 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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


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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class T

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.31 $11.27 $10.92 $11.37 $11.16 $10.93 
Income from Investment Operations       
Net investment income (loss)A .115 .225 .242 .173 .281 .326 
Net realized and unrealized gain (loss) .089 .037 .340 (.458) .216 .235 
Total from investment operations .204 .262 .582 (.285) .497 .561 
Distributions from net investment income (.128) (.219) (.232) (.165) (.287) (.331) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.134) (.222) (.232) (.165) (.287) (.331) 
Net asset value, end of period $11.38 $11.31 $11.27 $10.92 $11.37 $11.16 
Total ReturnB,C,D 1.82% 2.33% 5.38% (2.54)% 4.52% 5.24% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .80%G .79% .79% .77% .78% .79% 
Expenses net of fee waivers, if any .80%G .79% .79% .77% .78% .79% 
Expenses net of all reductions .80%G .79% .79% .77% .78% .79% 
Net investment income (loss) 2.05%G 1.98% 2.17% 1.53% 2.50% 2.99% 
Supplemental Data       
Net assets, end of period (in millions) $24 $20 $22 $26 $31 $37 
Portfolio turnover rateH 411%G 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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


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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class B

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.28 $11.24 $10.89 $11.34 $11.14 $10.91 
Income from Investment Operations       
Net investment income (loss)A .076 .145 .162 .090 .200 .248 
Net realized and unrealized gain (loss) .088 .037 .342 (.457) .207 .235 
Total from investment operations .164 .182 .504 (.367) .407 .483 
Distributions from net investment income (.088) (.139) (.154) (.083) (.207) (.253) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.094) (.142) (.154) (.083) (.207) (.253) 
Net asset value, end of period $11.35 $11.28 $11.24 $10.89 $11.34 $11.14 
Total ReturnB,C,D 1.46% 1.62% 4.65% (3.25)% 3.69% 4.51% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.51%G 1.50% 1.50% 1.50% 1.50% 1.50% 
Expenses net of fee waivers, if any 1.50%G 1.50% 1.50% 1.50% 1.50% 1.50% 
Expenses net of all reductions 1.50%G 1.50% 1.50% 1.50% 1.50% 1.50% 
Net investment income (loss) 1.35%G 1.28% 1.46% .80% 1.79% 2.27% 
Supplemental Data       
Net assets, end of period (in millions) $1 $1 $1 $2 $4 $5 
Portfolio turnover rateH 411%G 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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


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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class C

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.27 $11.23 $10.88 $11.33 $11.12 $10.90 
Income from Investment Operations       
Net investment income (loss)A .073 .141 .160 .088 .197 .244 
Net realized and unrealized gain (loss) .089 .037 .342 (.457) .217 .226 
Total from investment operations .162 .178 .502 (.369) .414 .470 
Distributions from net investment income (.086) (.135) (.152) (.081) (.204) (.250) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.092) (.138) (.152) (.081) (.204) (.250) 
Net asset value, end of period $11.34 $11.27 $11.23 $10.88 $11.33 $11.12 
Total ReturnB,C,D 1.44% 1.59% 4.64% (3.28)% 3.76% 4.39% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.55%G 1.53% 1.52% 1.52% 1.53% 1.53% 
Expenses net of fee waivers, if any 1.54%G 1.53% 1.52% 1.52% 1.53% 1.53% 
Expenses net of all reductions 1.54%G 1.53% 1.52% 1.52% 1.53% 1.53% 
Net investment income (loss) 1.31%G 1.25% 1.44% .78% 1.76% 2.24% 
Supplemental Data       
Net assets, end of period (in millions) $19 $16 $17 $17 $18 $15 
Portfolio turnover rateH 411%G 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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


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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.31 $11.27 $10.92 $11.37 $11.17 $10.94 
Income from Investment Operations       
Net investment income (loss)A .135 .264 .279 .209 .318 .364 
Net realized and unrealized gain (loss) .089 .037 .341 (.458) .206 .234 
Total from investment operations .224 .301 .620 (.249) .524 .598 
Distributions from net investment income (.148) (.258) (.270) (.201) (.324) (.368) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.154) (.261) (.270) (.201) (.324) (.368) 
Net asset value, end of period $11.38 $11.31 $11.27 $10.92 $11.37 $11.17 
Total ReturnB,C 1.99% 2.68% 5.73% (2.23)% 4.77% 5.59% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .45%F .45% .45% .45% .45% .45% 
Expenses net of fee waivers, if any .45%F .45% .45% .45% .45% .45% 
Expenses net of all reductions .45%F .45% .45% .45% .45% .45% 
Net investment income (loss) 2.40%F 2.33% 2.51% 1.85% 2.84% 3.33% 
Supplemental Data       
Net assets, end of period (in millions) $933 $856 $785 $778 $850 $765 
Portfolio turnover rateG 411%F 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 F Annualized

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


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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class I

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.27 $11.23 $10.88 $11.33 $11.13 $10.90 
Income from Investment Operations       
Net investment income (loss)A .132 .256 .271 .200 .311 .354 
Net realized and unrealized gain (loss) .088 .038 .342 (.456) .207 .235 
Total from investment operations .220 .294 .613 (.256) .518 .589 
Distributions from net investment income (.144) (.251) (.263) (.194) (.318) (.359) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.150) (.254) (.263) (.194) (.318) (.359) 
Net asset value, end of period $11.34 $11.27 $11.23 $10.88 $11.33 $11.13 
Total ReturnB,C 1.97% 2.64% 5.69% (2.30)% 4.73% 5.53% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .51%F .50% .51% .51% .50% .53% 
Expenses net of fee waivers, if any .50%F .50% .51% .51% .50% .53% 
Expenses net of all reductions .50%F .50% .51% .51% .50% .53% 
Net investment income (loss) 2.35%F 2.28% 2.45% 1.79% 2.79% 3.24% 
Supplemental Data       
Net assets, end of period (in millions) $79 $72 $48 $34 $12 $7 
Portfolio turnover rateG 411%F 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 F Annualized

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


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


Notes to Financial Statements (Unaudited)

For the period ended February 29, 2016
(Amounts in thousands except percentages)

1. Organization.

Fidelity Advisor Mortgage Securities Fund (the Fund) is a fund of Fidelity Advisor Series II (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, Fidelity Mortgage Securities Fund and Class I shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a maximum holding period of seven years from the initial date of purchase.

During the period, the Board of Trustees approved the conversion of all existing Class B shares into Class A shares, effective on or about July 1, 2016, regardless of the length of times shares have been held.

2. Investments in Fidelity Central Funds.

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

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Mortgage Backed Securities Central Fund Fidelity Investment Money Management, Inc. (FIMM) Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. Delayed Delivery & When Issued Securities
Repurchase Agreements
Swaps 		Less than .005% 

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


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

3. Significant Accounting Policies.

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

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

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

  • Level 1 – quoted prices in active markets for identical investments
  • Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
  • Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 29, 2016 is included at the end of the Fund's Schedule of Investments.

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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

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

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

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.

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

Book-tax differences are primarily due to swaps, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, financing transactions, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

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

Gross unrealized appreciation $21,912 
Gross unrealized depreciation (5,152) 
Net unrealized appreciation (depreciation) on securities $16,760 
Tax cost $1,343,594 

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

Fiscal year of expiration  
2017 $(73,463) 
No expiration  
Long-term (3,849) 
Total capital loss carryforward $(77,312) 

Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

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

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.

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

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

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

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

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

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. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Interest Rate Risk   
Swaps(a) $(2,480) $437 

 (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


Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

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

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps".

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.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $95,240 and $74,217, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .31% of the Fund's average net assets.

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

 Distribution
Fee 		Service
Fee 		Total Fees Retained
by FDC 
Class A -% .25% $47 $–(a) 
Class T -% .25% 28 – 
Class B .65% .25% 3 2 
Class C .75% .25% 83 1 
   $161 $3 

 (a) Values shown as $0 may reflect amounts less than $500.


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
by FDC 
Class A $2 
Class T 2 
Class B(a) 1 
Class C(a) 1 
 $6 

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


Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Fidelity Mortgage Securities Fund. FIIOC receives an asset-based fee of .10% of Fidelity Mortgage Securities Fund'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-Level Average
Net Assets(a) 
Class A $37 .20 
Class T 22 .20 
Class B 1 .25 
Class C 15 .18 
Fidelity Mortgage Securities Fund 444 .10 
Class I 56 .15 
 $575  

 (a) Annualized


Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser 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% of the Fund's average net assets 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 annualized rate of .04% of average net assets.

Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Committed Line of Credit.

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

8. Expense Reductions.

During the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $28.

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Six months ended February 29, 2016 Year ended August 31, 2015 
From net investment income   
Class A $428 $748 
Class T 256 417 
Class B 6 14 
Class C 126 202 
Fidelity Mortgage Securities Fund 11,589 18,864 
Class I 946 1,318 
Total $13,351 $21,563 
From net realized gain   
Class A $20 $10 
Class T 13 6 
Class C 9 5 
Fidelity Mortgage Securities Fund 471 210 
Class I 39 13 
Total $552 $244 

10. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:

 Shares Shares Dollars Dollars 
 Six months ended February 29, 2016 Year ended August 31, 2015 Six months ended February 29, 2016 Year ended August 31, 2015 
Class A     
Shares sold 1,036 563 $11,746 $6,368 
Reinvestment of distributions 35 59 399 669 
Shares redeemed (577) (872) (6,530) (9,855) 
Net increase (decrease) 494 (250) $5,615 $(2,818) 
Class T     
Shares sold 772 285 $8,778 $3,225 
Reinvestment of distributions 23 36 258 409 
Shares redeemed (486) (458) (5,477) (5,196) 
Net increase (decrease) 309 (137) $3,559 $(1,562) 
Class B     
Shares sold 10 5 $101 $68 
Reinvestment of distributions –(a) 1 4 9 
Shares redeemed (20) (55) (224) (625) 
Net increase (decrease) (10) (49) $(119) $(548) 
Class C     
Shares sold 464 358 $5,253 $4,044 
Reinvestment of distributions 10 15 113 166 
Shares redeemed (209) (502) (2,363) (5,678) 
Net increase (decrease) 265 (129) $3,003 $(1,468) 
Fidelity Mortgage Securities Fund     
Shares sold 12,675 20,281 $143,608 $230,420 
Reinvestment of distributions 1,004 1,582 11,378 17,954 
Shares redeemed (7,440) (15,790) (84,239) (179,084) 
Net increase (decrease) 6,239 6,073 $70,747 $69,290 
Class I     
Shares sold 892 3,034 $10,069 $34,395 
Reinvestment of distributions 85 114 959 1,290 
Shares redeemed (347) (1,110) (3,915) (12,534) 
Net increase (decrease) 630 2,038 $7,113 $23,151 

 (a) Values shown as 0 may reflect amounts less than 500.


11. 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.

At the end of the period, the investment adviser or its affiliates were the owners of record of 10% of the total outstanding shares of the Fund.

12. Credit Risk.

The Fund invests a portion of its assets in structured securities of issuers backed by commercial and 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.

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2015 to February 29, 2016).

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.

 Annualized Expense Ratio-A Beginning
Account Value
September 1, 2015 		Ending
Account Value
February 29, 2016 		Expenses Paid
During Period-B
September 1, 2015
to February 29, 2016 
Class A .80%    
Actual  $1,000.00 $1,018.20 $4.01 
Hypothetical-C  $1,000.00 $1,020.89 $4.02 
Class T .80%    
Actual  $1,000.00 $1,018.20 $4.01 
Hypothetical-C  $1,000.00 $1,020.89 $4.02 
Class B 1.50%    
Actual  $1,000.00 $1,014.60 $7.51 
Hypothetical-C  $1,000.00 $1,017.40 $7.52 
Class C 1.54%    
Actual  $1,000.00 $1,014.40 $7.71 
Hypothetical-C  $1,000.00 $1,017.21 $7.72 
Fidelity Mortgage Securities Fund .45%    
Actual  $1,000.00 $1,019.90 $2.26 
Hypothetical-C  $1,000.00 $1,022.63 $2.26 
Class I .50%    
Actual  $1,000.00 $1,019.70 $2.51 
Hypothetical-C  $1,000.00 $1,022.38 $2.51 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (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 each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.

 C 5% return per year before expenses


Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Advisor Mortgage Securities Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2015 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; and (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by FMR, the sub-advisers (together with FMR, the Investment Advisers), and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) reducing management fees and total expenses for certain index funds and diversified international funds; (v) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (vi) rationalizing product lines and gaining increased efficiencies through fund mergers; (vii) launching active fixed-income exchange-traded funds; (viii) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; (ix) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (x) modifying the eligibility criteria for certain share classes to accommodate roll-over assets from employer-sponsored retirement plans; (xi) launching a new Class W of the Freedom Index Funds to attract and retain Fidelity record-kept retirement plan assets; and (xii) implementing changes to Fidelity's money market product line in response to recent money market regulatory reforms.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Fidelity Advisor Mortgage Securities Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2014.

The Board noted that, in 2014, the ad hoc Committee on Group Fee was formed by it and other Fidelity fund boards to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. Committee focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio.  In its review of each class's total expense ratio, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the total expense ratio of each class ranked below its competitive median for 2014.

The Board considered that the current contractual arrangements for the fund have the effect of setting the total "fund-level" (but not "class-level") expenses (including, among certain other "fund-level" expenses, the management fee) for each class at 0.35%. These contractual arrangements may not be increased without the approval of the Board.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total group assets increase, and for higher group fee rates as total group assets decrease (with "group assets" defined to include fund assets under FMR's management plus sector fund assets previously under FMR's management and currently managed by Fidelity SelectCo, LLC). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board noted, however, that because the current contractual arrangements set the total "fund-level" expenses for each class at 0.35%, increases or decreases in the management fee due to changes in the group fee rate will not impact the total expense ratio.

Fees Charged to Other Fidelity Clients.  The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted the findings of the 2013 ad hoc joint committee (created with the board of other Fidelity funds), which reviewed and compared Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationship with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that in 2013, it and the boards of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds; (v) Fidelity's voluntary waiver of its fees to maintain minimum yields for certain money market funds and classes as well as contractual waivers in place for certain funds; (vi) the methodology with respect to competitive fund data and peer group classifications; (vii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (viii) Fidelity's long-term expectations for its offerings in the workplace investing channel; (ix) new developments in the retail and institutional marketplaces; and (x) the impact of money market reform on Fidelity's money market funds. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.





Fidelity Investments

AMORI-SANN-0416
1.703542.118

Fidelity Advisor® Short Fixed-Income Fund
Class A, Class T, Class B and Class C



Semi-Annual Report

February 29, 2016



Fidelity Investments


Contents

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees


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. © 2016 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.



Investment Summary (Unaudited)

Quality Diversification (% of fund's net assets)

As of February 29, 2016  
   U.S. Government and U.S. Government Agency Obligations 31.6% 
   AAA 20.3% 
   AA 3.8% 
   A 19.6% 
   BBB 20.9% 
   BB and Below 1.9% 
   Not Rated 0.3% 
   Short-Term Investments and Net Other Assets 1.6% 


As of August 31, 2015  
   U.S. Government and U.S. Government Agency Obligations 27.4% 
   AAA 24.1% 
   AA 4.2% 
   A 20.6% 
   BBB 20.2% 
   BB and Below 2.5% 
   Not Rated 0.2% 
   Short-Term Investments and Net Other Assets 0.8% 


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 February 29, 2016

  6 months ago 
Years 1.8 2.0 

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 February 29, 2016

  6 months ago 
Years 1.7 1.7 

Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration.

Asset Allocation (% of fund's net assets)

As of February 29, 2016 *,** 
   Corporate Bonds 42.3% 
   U.S. Government and U.S. Government Agency Obligations 31.6% 
   Asset-Backed Securities 14.3% 
   CMOs and Other Mortgage Related Securities 7.2% 
   Municipal Bonds 0.2% 
   Other Investments 2.8% 
   Short-Term Investments and Net Other Assets (Liabilities) 1.6% 


 * Foreign investments - 13.3%

 ** Futures and Swaps - 0.0%


As of August 31, 2015 *,** 
   Corporate Bonds 42.8% 
   U.S. Government and U.S. Government Agency Obligations 27.4% 
   Asset-Backed Securities 16.1% 
   CMOs and Other Mortgage Related Securities 10.0% 
   Other Investments 2.9% 
   Short-Term Investments and Net Other Assets (Liabilities) 0.8% 


 * Foreign investments - 14.9%

 ** Futures and Swaps - 0.0%


Percentages shown as 0.0% may reflect amounts less than 0.05%. 

Investments February 29, 2016 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 42.3%   
 Principal Amount Value 
CONSUMER DISCRETIONARY - 2.9%   
Automobiles - 1.8%   
American Honda Finance Corp.:   
0.95% 5/5/17 $1,580,000 $1,574,721 
1.125% 10/7/16 1,248,000 1,250,626 
1.7% 2/22/19 870,000 871,286 
Daimler Finance North America LLC:   
1.375% 8/1/17 (a) 1,642,000 1,631,596 
1.45% 8/1/16 (a) 1,429,000 1,429,254 
1.65% 3/2/18 (a) 821,000 812,884 
1.65% 5/18/18 (a) 1,600,000 1,579,842 
General Motors Financial Co., Inc.:   
2.4% 4/10/18 1,827,000 1,794,933 
4.2% 3/1/21 1,000,000 1,001,501 
Volkswagen Group of America Finance LLC:   
1.25% 5/23/17 (a) 1,642,000 1,613,216 
1.65% 5/22/18 (a) 1,000,000 969,677 
Volkswagen International Finance NV 1.6% 11/20/17 (a) 1,090,000 1,067,904 
  15,597,440 
Hotels, Restaurants & Leisure - 0.0%   
McDonald's Corp. 2.1% 12/7/18 335,000 339,326 
Media - 1.1%   
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 3.579% 7/23/20 (a) 1,000,000 1,002,490 
COX Communications, Inc. 6.25% 6/1/18 (a) 411,000 440,130 
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 2.4% 3/15/17 1,642,000 1,658,143 
Thomson Reuters Corp. 0.875% 5/23/16 440,000 439,538 
Time Warner Cable, Inc. 5.85% 5/1/17 2,675,000 2,777,699 
Time Warner, Inc. 6.875% 6/15/18 1,300,000 1,439,692 
Viacom, Inc. 2.2% 4/1/19 821,000 805,671 
Walt Disney Co. 1.1% 12/1/17 802,000 802,578 
  9,365,941 
TOTAL CONSUMER DISCRETIONARY  25,302,707 
CONSUMER STAPLES - 3.1%   
Beverages - 0.9%   
Anheuser-Busch InBev Finance, Inc.:   
1.9% 2/1/19 3,621,000 3,655,320 
2.65% 2/1/21 1,500,000 1,526,687 
Heineken NV 1.4% 10/1/17 (a) 457,000 456,847 
SABMiller Holdings, Inc. 2.45% 1/15/17 (a) 2,184,000 2,201,230 
  7,840,084 
Food & Staples Retailing - 0.1%   
CVS Health Corp. 1.9% 7/20/18 733,000 735,957 
Walgreens Boots Alliance, Inc. 1.75% 11/17/17 212,000 211,731 
  947,688 
Food Products - 0.6%   
General Mills, Inc. 1.4% 10/20/17 2,053,000 2,053,511 
H.J. Heinz Co. 1.6% 6/30/17 (a) 1,180,000 1,178,729 
The J.M. Smucker Co. 1.75% 3/15/18 533,000 531,302 
Tyson Foods, Inc. 2.65% 8/15/19 821,000 832,094 
William Wrigley Jr. Co. 1.4% 10/21/16 (a) 560,000 560,162 
  5,155,798 
Tobacco - 1.5%   
BAT International Finance PLC:   
1.85% 6/15/18 (a) 3,000,000 3,012,354 
2.75% 6/15/20 (a) 1,570,000 1,603,389 
Imperial Tobacco Finance PLC:   
2.05% 2/11/18 (a) 867,000 866,183 
2.05% 7/20/18 (a) 2,000,000 1,990,382 
Philip Morris International, Inc.:   
1.25% 8/11/17 1,349,000 1,352,103 
1.375% 2/25/19 2,000,000 1,993,316 
Reynolds American, Inc.:   
2.3% 6/12/18 349,000 352,730 
3.25% 6/12/20 576,000 599,028 
6.75% 6/15/17 1,350,000 1,449,198 
  13,218,683 
TOTAL CONSUMER STAPLES  27,162,253 
ENERGY - 3.7%   
Energy Equipment & Services - 0.2%   
Nabors Industries, Inc. 2.35% 9/15/16 473,000 468,226 
Noble Holding International Ltd. 4% 3/16/18 60,000 48,000 
Petrofac Ltd. 3.4% 10/10/18 (a) 1,478,000 1,253,634 
  1,769,860 
Oil, Gas & Consumable Fuels - 3.5%   
BG Energy Capital PLC 2.875% 10/15/16 (a) 1,109,000 1,114,645 
BP Capital Markets PLC:   
1.375% 5/10/18 895,000 877,123 
2.248% 11/1/16 1,084,000 1,089,647 
Canadian Natural Resources Ltd. 1.75% 1/15/18 340,000 310,727 
Columbia Pipeline Group, Inc. 2.45% 6/1/18 (a) 1,054,000 1,011,243 
ConocoPhillips Co. 1.5% 5/15/18 2,114,000 2,018,194 
Enbridge, Inc.:   
0.8662% 6/2/17 (b) 1,459,000 1,394,350 
1.2622% 10/1/16 (b) 2,053,000 2,033,375 
Enterprise Products Operating LP:   
1.65% 5/7/18 1,000,000 966,141 
2.55% 10/15/19 162,000 156,781 
Exxon Mobil Corp. 1.6% 3/1/19 2,000,000 2,000,000 
Kinder Morgan, Inc. 3.05% 12/1/19 1,250,000 1,153,938 
Marathon Petroleum Corp.:   
2.7% 12/14/18 197,000 190,797 
3.5% 3/1/16 1,399,000 1,399,000 
Petro-Canada 6.05% 5/15/18 821,000 839,936 
Petrobras Global Finance BV:   
2% 5/20/16 1,642,000 1,636,253 
3.25% 3/17/17 1,232,000 1,193,808 
Petroleos Mexicanos:   
3.125% 1/23/19 143,000 139,037 
5.5% 2/4/19 (a) 1,000,000 1,034,000 
Phillips 66 Co. 2.95% 5/1/17 534,000 540,706 
Schlumberger Investment SA 1.25% 8/1/17 (a) 1,232,000 1,211,020 
Shell International Finance BV 2.125% 5/11/20 1,184,000 1,153,059 
Southwestern Energy Co. 3.3% 1/23/18 321,000 231,120 
Spectra Energy Partners, LP 2.95% 6/15/16 257,000 257,298 
TransCanada PipeLines Ltd.:   
1.2831% 6/30/16 (b) 3,284,000 3,277,268 
1.625% 11/9/17 750,000 736,784 
1.875% 1/12/18 1,642,000 1,610,672 
3.125% 1/15/19 754,000 758,802 
  30,335,724 
TOTAL ENERGY  32,105,584 
FINANCIALS - 21.6%   
Banks - 12.5%   
ABN AMRO Bank NV 1.4211% 10/28/16 (a)(b) 3,740,000 3,745,685 
Australia & New Zealand Banking Group Ltd. 1.25% 1/10/17 1,339,000 1,340,372 
Banco Nacional de Desenvolvimento Economico e Social 3.375% 9/26/16 (a) 957,000 954,608 
Bank of America Corp.:   
2% 1/11/18 2,340,000 2,331,796 
2.6% 1/15/19 1,000,000 1,004,726 
Bank of Montreal 1.4% 4/10/18 800,000 795,859 
Bank of Nova Scotia 1.375% 12/18/17 878,000 875,782 
Bank of Tokyo-Mitsubishi UFJ Ltd.:   
1.45% 9/8/17 (a) 1,150,000 1,145,510 
1.55% 9/9/16 (a) 945,000 946,200 
1.7% 3/5/18 (a) 1,642,000 1,632,618 
Barclays PLC:   
2% 3/16/18 1,000,000 980,589 
2.75% 11/8/19 2,000,000 1,963,960 
3.25% 1/12/21 928,000 894,672 
BNP Paribas 2.375% 9/14/17 1,700,000 1,716,201 
BPCE SA 1.625% 2/10/17 1,080,000 1,078,820 
Citigroup, Inc.:   
1.3% 11/15/16 1,445,000 1,444,523 
1.55% 8/14/17 4,105,000 4,083,038 
1.5786% 7/25/16 (b) 1,642,000 1,644,217 
1.7% 4/27/18 780,000 771,708 
1.85% 11/24/17 821,000 818,360 
2.15% 7/30/18 750,000 747,325 
2.5% 9/26/18 1,200,000 1,207,720 
2.5% 7/29/19 805,000 806,942 
Citizens Bank NA:   
1.6% 12/4/17 1,642,000 1,623,549 
2.45% 12/4/19 1,240,000 1,230,245 
Commonwealth Bank of Australia 1.125% 3/13/17 1,766,000 1,763,921 
Credit Suisse New York Branch:   
1.1246% 5/26/17 (b) 1,642,000 1,633,041 
1.375% 5/26/17 4,105,000 4,076,540 
1.75% 1/29/18 1,642,000 1,631,816 
Discover Bank:   
2% 2/21/18 2,053,000 2,028,247 
2.6% 11/13/18 1,000,000 998,992 
Fifth Third Bancorp 4.5% 6/1/18 1,027,000 1,080,780 
Fifth Third Bank 2.15% 8/20/18 963,000 967,058 
HSBC Bank PLC 1.5% 5/15/18 (a) 1,090,000 1,083,320 
HSBC U.S.A., Inc.:   
1.7% 3/5/18 994,000 986,612 
2.625% 9/24/18 821,000 825,732 
Huntington National Bank 2% 6/30/18 1,570,000 1,562,148 
ING Bank NV 1.8% 3/16/18 (a) 1,000,000 998,273 
Intesa Sanpaolo SpA 2.375% 1/13/17 3,428,000 3,438,880 
JPMorgan Chase & Co.:   
1.35% 2/15/17 6,568,000 6,569,885 
2% 8/15/17 1,642,000 1,649,497 
KeyBank NA 1.7% 6/1/18 1,183,000 1,179,504 
La Caisse Centrale 1.75% 1/29/18 (a) 1,232,000 1,223,095 
Lloyds Bank PLC 1.75% 3/16/18 1,232,000 1,226,231 
Mitsubishi UFJ Financial Group, Inc. 2.95% 3/1/21 1,700,000 1,714,982 
Mitsubishi UFJ Trust & Banking Corp. 1.6% 10/16/17 (a) 1,232,000 1,224,912 
Mizuho Bank Ltd.:   
1.0531% 9/25/17 (a)(b) 1,642,000 1,635,342 
1.55% 10/17/17 (a) 2,693,000 2,676,635 
MUFG Americas Holdings Corp. 1.625% 2/9/18 238,000 236,270 
MUFG Union Bank NA 1.5% 9/26/16 753,000 754,559 
Nordea Bank AB 1.875% 9/17/18 (a) 1,200,000 1,199,116 
PNC Bank NA:   
1.5% 2/23/18 1,100,000 1,097,016 
1.8% 11/5/18 1,500,000 1,499,933 
Regions Financial Corp.:   
2% 5/15/18 1,654,000 1,639,334 
3.2% 2/8/21 1,000,000 995,154 
Royal Bank of Canada:   
1.2% 1/23/17 1,036,000 1,036,943 
1.5% 1/16/18 1,815,000 1,812,448 
2.2% 7/27/18 821,000 830,067 
Royal Bank of Scotland Group PLC 1.5431% 3/31/17 (b) 1,807,000 1,801,248 
Sumitomo Mitsui Banking Corp.:   
1.3% 1/10/17 2,053,000 2,051,542 
1.75% 1/16/18 1,642,000 1,635,834 
1.8% 7/18/17 1,618,000 1,620,173 
2.05% 1/18/19 2,000,000 1,999,010 
SunTrust Banks, Inc. 3.5% 1/20/17 1,190,000 1,210,068 
Wells Fargo Bank NA 0.8282% 5/16/16 (b) 3,695,000 3,695,695 
Westpac Banking Corp.:   
1.2% 5/19/17 2,217,000 2,212,056 
1.5% 12/1/17 1,642,000 1,642,355 
2% 8/14/17 1,848,000 1,862,267 
  108,791,556 
Capital Markets - 2.8%   
Deutsche Bank AG London Branch 1.4% 2/13/17 4,105,000 4,078,441 
Goldman Sachs Group, Inc.:   
1.2882% 5/22/17 (b) 1,000,000 997,994 
1.748% 9/15/17 2,874,000 2,871,853 
2.375% 1/22/18 1,807,000 1,817,956 
2.55% 10/23/19 830,000 831,504 
2.625% 1/31/19 1,232,000 1,241,368 
JPMorgan Chase & Co. 1.7% 3/1/18 821,000 818,203 
Lazard Group LLC 6.85% 6/15/17 28,000 29,439 
Morgan Stanley:   
1.875% 1/5/18 821,000 818,955 
2.375% 7/23/19 700,000 698,474 
2.45% 2/1/19 2,000,000 2,008,188 
2.5% 1/24/19 2,000,000 2,010,344 
5.45% 1/9/17 2,792,000 2,883,795 
UBS AG Stamford Branch:   
1.375% 6/1/17 590,000 588,512 
1.375% 8/14/17 1,618,000 1,611,955 
1.8% 3/26/18 1,174,000 1,174,639 
  24,481,620 
Consumer Finance - 2.1%   
American Express Credit Corp.:   
1.125% 6/5/17 2,053,000 2,044,455 
2.8% 9/19/16 797,000 805,013 
Discover Financial Services 6.45% 6/12/17 2,587,000 2,712,987 
Ford Motor Credit Co. LLC:   
1.461% 3/27/17 1,000,000 993,250 
1.684% 9/8/17 1,642,000 1,617,938 
2.145% 1/9/18 1,642,000 1,633,506 
2.24% 6/15/18 895,000 882,060 
3% 6/12/17 2,422,000 2,442,308 
Hyundai Capital America:   
1.45% 2/6/17 (a) 1,151,000 1,147,167 
2% 3/19/18 (a) 821,000 817,327 
2.125% 10/2/17 (a) 1,196,000 1,196,968 
2.875% 8/9/18 (a) 583,000 587,381 
John Deere Capital Corp. 1.6% 7/13/18 279,000 279,312 
Synchrony Financial:   
1.875% 8/15/17 193,000 190,894 
2.6% 1/15/19 1,000,000 991,730 
  18,342,296 
Diversified Financial Services - 1.3%   
AIG Global Funding 1.65% 12/15/17 (a) 1,232,000 1,229,001 
Berkshire Hathaway Finance Corp. 1.6% 5/15/17 1,092,000 1,100,222 
Berkshire Hathaway, Inc. 1.55% 2/9/18 912,000 918,536 
GE Capital International Funding Co. 0.964% 4/15/16 (a) 6,281,000 6,282,124 
McGraw Hill Financial, Inc. 2.5% 8/15/18 489,000 491,472 
Moody's Corp. 2.75% 7/15/19 1,500,000 1,528,803 
  11,550,158 
Insurance - 2.2%   
ACE INA Holdings, Inc. 2.3% 11/3/20 543,000 546,206 
AFLAC, Inc. 2.4% 3/16/20 1,000,000 1,010,216 
American International Group, Inc.:   
2.3% 7/16/19 1,983,000 1,966,894 
5.85% 1/16/18 979,000 1,043,898 
Aon Corp.:   
3.125% 5/27/16 1,027,000 1,031,827 
5% 9/30/20 703,000 775,583 
Assurant, Inc. 2.5% 3/15/18 920,000 920,426 
Marsh & McLennan Companies, Inc. 2.55% 10/15/18 963,000 985,027 
MetLife, Inc.:   
1.756% 12/15/17 (b) 382,000 382,152 
1.903% 12/15/17 (b) 166,000 166,070 
Metropolitan Life Global Funding I:   
1.3% 4/10/17 (a) 3,284,000 3,284,433 
1.5% 1/10/18 (a) 2,101,000 2,086,249 
New York Life Global Funding 1.55% 11/2/18 (a) 1,610,000 1,603,811 
Pricoa Global Funding I:   
1.15% 11/25/16 (a) 904,000 903,652 
1.9% 9/21/18 (a) 750,000 748,172 
Principal Life Global Funding II 2.25% 10/15/18 (a) 1,500,000 1,516,524 
Prudential Financial, Inc. 2.3% 8/15/18 300,000 300,802 
TIAA Asset Management Finance LLC 2.95% 11/1/19 (a) 238,000 239,199 
  19,511,141 
Real Estate Investment Trusts - 0.3%   
Boston Properties, Inc. 3.7% 11/15/18 825,000 854,814 
DDR Corp. 9.625% 3/15/16 271,000 271,755 
ERP Operating LP 2.375% 7/1/19 528,000 530,518 
Health Care REIT, Inc.:   
2.25% 3/15/18 280,000 279,264 
4.7% 9/15/17 500,000 520,727 
Select Income REIT 2.85% 2/1/18 395,000 393,721 
  2,850,799 
Real Estate Management & Development - 0.4%   
Mack-Cali Realty LP 2.5% 12/15/17 633,000 627,113 
Ventas Realty LP:   
1.25% 4/17/17 405,000 401,702 
1.55% 9/26/16 236,000 236,109 
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18 572,000 569,073 
Washington Prime Group LP 3.85% 4/1/20 1,191,000 1,227,173 
  3,061,170 
TOTAL FINANCIALS  188,588,740 
HEALTH CARE - 2.8%   
Biotechnology - 0.8%   
AbbVie, Inc.:   
1.75% 11/6/17 1,532,000 1,531,131 
1.8% 5/14/18 2,061,000 2,055,194 
2.5% 5/14/20 1,100,000 1,099,267 
Amgen, Inc. 1.25% 5/22/17 1,634,000 1,630,536 
Celgene Corp. 2.125% 8/15/18 718,000 721,242 
  7,037,370 
Health Care Equipment & Supplies - 0.5%   
Becton, Dickinson & Co. 1.8% 12/15/17 1,129,000 1,130,426 
Medtronic, Inc. 1.5% 3/15/18 1,358,000 1,361,229 
Zimmer Biomet Holdings, Inc. 2% 4/1/18 1,563,000 1,556,181 
  4,047,836 
Health Care Providers & Services - 0.5%   
Cardinal Health, Inc. 1.95% 6/15/18 229,000 229,075 
Express Scripts Holding Co. 1.25% 6/2/17 2,045,000 2,034,405 
UnitedHealth Group, Inc. 1.9% 7/16/18 1,400,000 1,413,079 
WellPoint, Inc. 1.875% 1/15/18 532,000 530,894 
  4,207,453 
Life Sciences Tools & Services - 0.1%   
Thermo Fisher Scientific, Inc.:   
1.3% 2/1/17 253,000 252,103 
2.15% 12/14/18 398,000 398,178 
  650,281 
Pharmaceuticals - 0.9%   
Actavis Funding SCS:   
1.582% 3/12/18 (b) 2,053,000 2,058,933 
2.35% 3/12/18 1,642,000 1,651,919 
3% 3/12/20 687,000 698,825 
Bayer U.S. Finance LLC:   
1.5% 10/6/17 (a) 1,710,000 1,713,107 
2.375% 10/8/19 (a) 1,100,000 1,115,710 
Mylan, Inc. 1.35% 11/29/16 299,000 296,936 
Perrigo Co. PLC 1.3% 11/8/16 302,000 300,249 
Zoetis, Inc.:   
1.875% 2/1/18 143,000 141,460 
3.45% 11/13/20 223,000 227,164 
  8,204,303 
TOTAL HEALTH CARE  24,147,243 
INDUSTRIALS - 0.8%   
Aerospace & Defense - 0.4%   
L-3 Communications Corp. 1.5% 5/28/17 813,000 802,103 
Lockheed Martin Corp. 1.85% 11/23/18 2,830,000 2,848,186 
  3,650,289 
Industrial Conglomerates - 0.3%   
Danaher Corp. 1.65% 9/15/18 1,842,000 1,852,886 
Roper Technologies, Inc. 2.05% 10/1/18 750,000 746,286 
  2,599,172 
Trading Companies & Distributors - 0.1%   
Air Lease Corp. 2.125% 1/15/18 405,000 395,381 
TOTAL INDUSTRIALS  6,644,842 
INFORMATION TECHNOLOGY - 1.0%   
Communications Equipment - 0.1%   
Cisco Systems, Inc. 1.65% 6/15/18 1,200,000 1,208,519 
Electronic Equipment & Components - 0.5%   
Amphenol Corp. 1.55% 9/15/17 1,394,000 1,390,236 
Tyco Electronics Group SA:   
2.375% 12/17/18 185,000 185,821 
6.55% 10/1/17 2,775,000 2,979,487 
  4,555,544 
IT Services - 0.2%   
The Western Union Co.:   
2.875% 12/10/17 915,000 930,840 
3.65% 8/22/18 522,000 532,946 
  1,463,786 
Technology Hardware, Storage & Peripherals - 0.2%   
Hewlett Packard Enterprise Co. 2.85% 10/5/18 (a) 2,000,000 2,000,658 
TOTAL INFORMATION TECHNOLOGY  9,228,507 
MATERIALS - 0.7%   
Chemicals - 0.5%   
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (a) 1,970,000 1,935,789 
Ecolab, Inc.:   
1.45% 12/8/17 488,000 485,559 
1.55% 1/12/18 1,642,000 1,634,971 
  4,056,319 
Metals & Mining - 0.2%   
Anglo American Capital PLC 1.572% 4/15/16 (a)(b) 966,000 952,028 
Freeport-McMoRan, Inc. 2.3% 11/14/17 549,000 502,335 
Rio Tinto Finance (U.S.A.) PLC 1.3658% 6/17/16 (b) 821,000 818,698 
  2,273,061 
TOTAL MATERIALS  6,329,380 
TELECOMMUNICATION SERVICES - 2.8%   
Diversified Telecommunication Services - 2.3%   
AT&T, Inc.:   
1.4% 12/1/17 904,000 899,628 
2.45% 6/30/20 823,000 819,758 
2.95% 5/15/16 986,000 989,758 
BellSouth Corp. 4.821% 4/26/16 (a)(b) 1,500,000 1,508,922 
British Telecommunications PLC:   
1.25% 2/14/17 2,298,000 2,295,082 
1.625% 6/28/16 1,515,000 1,517,459 
2.35% 2/14/19 1,774,000 1,790,793 
CenturyLink, Inc. 5.15% 6/15/17 904,000 926,600 
Deutsche Telekom International Financial BV:   
3.125% 4/11/16 (a) 993,000 995,056 
5.75% 3/23/16 1,642,000 1,646,566 
Verizon Communications, Inc.:   
1.35% 6/9/17 1,279,000 1,278,336 
2% 11/1/16 2,239,000 2,251,482 
2.5% 9/15/16 3,081,000 3,104,785 
  20,024,225 
Wireless Telecommunication Services - 0.5%   
America Movil S.A.B. de CV:   
1.502% 9/12/16 (b) 986,000 986,106 
2.375% 9/8/16 1,258,000 1,263,462 
Vodafone Group PLC:   
1.5% 2/19/18 821,000 813,202 
1.625% 3/20/17 1,184,000 1,188,787 
  4,251,557 
TOTAL TELECOMMUNICATION SERVICES  24,275,782 
UTILITIES - 2.9%   
Electric Utilities - 1.9%   
American Electric Power Co., Inc. 1.65% 12/15/17 1,260,000 1,251,339 
Duke Energy Corp.:   
0.9922% 4/3/17 (b) 2,469,000 2,450,944 
1.625% 8/15/17 495,000 494,581 
2.1% 6/15/18 1,000,000 1,002,077 
Eversource Energy 1.45% 5/1/18 239,000 236,148 
Exelon Corp.:   
1.55% 6/9/17 155,000 154,249 
2.85% 6/15/20 228,000 229,935 
FirstEnergy Corp. 2.75% 3/15/18 2,632,000 2,658,817 
NextEra Energy Capital Holdings, Inc. 1.586% 6/1/17 1,500,000 1,497,512 
Pacific Gas & Electric Co. 5.625% 11/30/17 1,457,000 1,554,339 
Public Service Electric & Gas Co. 2.3% 9/15/18 1,000,000 1,014,802 
TECO Finance, Inc. 1.2169% 4/10/18 (b) 2,200,000 2,168,863 
Xcel Energy, Inc. 0.75% 5/9/16 1,807,000 1,805,901 
  16,519,507 
Independent Power and Renewable Electricity Producers - 0.2%   
Southern Power Co.:   
1.5% 6/1/18 1,173,000 1,154,680 
1.85% 12/1/17 321,000 321,060 
  1,475,740 
Multi-Utilities - 0.8%   
Berkshire Hathaway Energy Co. 1.1% 5/15/17 2,150,000 2,143,759 
Dominion Resources, Inc.:   
1.4% 9/15/17 697,000 692,487 
1.9% 6/15/18 1,261,000 1,254,425 
1.95% 8/15/16 697,000 698,757 
2.5% 12/1/19 1,029,000 1,036,817 
2.9031% 9/30/66 (b) 1,097,000 737,240 
Wisconsin Energy Corp. 1.65% 6/15/18 456,000 455,163 
  7,018,648 
TOTAL UTILITIES  25,013,895 
TOTAL NONCONVERTIBLE BONDS   
(Cost $370,359,482)  368,798,933 
U.S. Government and Government Agency Obligations - 28.3%   
U.S. Government Agency Obligations - 2.0%   
Fannie Mae:   
1% 2/26/19 $10,421,000 $10,408,161 
1.125% 7/20/18 2,073,000 2,081,758 
1.125% 12/14/18 158,000 158,522 
1.875% 9/18/18 114,000 116,614 
Freddie Mac:   
0.5% 1/27/17 2,668,000 2,661,591 
1% 12/15/17 2,209,000 2,213,389 
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS  17,640,035 
U.S. Treasury Obligations - 26.3%   
U.S. Treasury Notes:   
0.5% 7/31/17 22,000,000 21,916,642 
0.75% 2/15/19 (c) 96,783,000 96,333,149 
0.875% 10/15/17 32,187,500 32,228,990 
1% 5/15/18 39,155,000 39,297,250 
1.125% 1/15/19 15,658,000 15,756,473 
1.375% 2/28/19 13,945,600 14,128,092 
1.375% 3/31/20 10,000,000 10,088,670 
TOTAL U.S. TREASURY OBLIGATIONS  229,749,266 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $247,152,584)  247,389,301 
U.S. Government Agency - Mortgage Securities - 2.6%   
Fannie Mae - 1.7%   
2.388% 2/1/35 (b) 251,024 263,177 
2.406% 11/1/34 (b) 133,884 140,050 
2.409% 10/1/35 (b) 285,697 299,254 
2.45% 11/1/36 (b) 312,284 328,530 
2.457% 2/1/44 (b) 120,688 124,293 
2.467% 5/1/35 (b) 222,781 234,933 
2.468% 1/1/40 (b) 252,080 265,227 
2.471% 3/1/40 (b) 186,471 197,069 
2.489% 12/1/33 (b) 127,645 134,680 
2.501% 4/1/44 (b) 202,633 208,545 
2.51% 7/1/35 (b) 807,306 852,556 
2.523% 10/1/41 (b) 345,174 365,124 
2.524% 2/1/44 (b) 119,090 122,605 
2.543% 1/1/44 (b) 197,316 203,440 
2.557% 3/1/40 (b) 134,778 142,166 
2.557% 6/1/42 (b) 93,416 96,229 
2.592% 5/1/44 (b) 230,153 236,817 
2.595% 4/1/35 (b) 78,055 82,182 
2.628% 5/1/44 (b) 319,327 329,243 
2.674% 12/1/34 (b) 118,918 125,879 
2.68% 9/1/41 (b) 488,541 517,224 
2.685% 12/1/39 (b) 67,329 71,194 
2.686% 4/1/44 (b) 492,261 507,671 
2.689% 2/1/42 (b) 569,582 592,185 
2.761% 1/1/42 (b) 492,164 512,197 
2.791% 8/1/41 (b) 398,075 421,670 
2.951% 11/1/40 (b) 62,162 64,535 
2.965% 8/1/41 (b) 83,465 87,313 
2.98% 9/1/41 (b) 75,129 78,564 
2.991% 10/1/41 (b) 39,817 41,585 
3.249% 7/1/41 (b) 99,639 104,101 
3.347% 10/1/41 (b) 57,817 60,705 
3.5% 1/1/26 to 9/1/29 3,803,095 4,049,774 
3.553% 7/1/41 (b) 125,862 132,354 
4.5% 6/1/19 to 7/1/20 146,719 152,083 
5.5% 11/1/17 to 11/1/34 2,417,521 2,690,371 
6.5% 6/1/16 224 225 
7% 4/1/17 to 11/1/18 2,851 2,912 
TOTAL FANNIE MAE  14,838,662 
Freddie Mac - 0.9%   
2.362% 10/1/42 (b) 523,160 552,432 
2.413% 4/1/40 (b) 144,642 152,484 
2.463% 11/1/35 (b) 169,307 177,223 
2.53% 4/1/40 (b) 133,147 140,560 
2.576% 8/1/36 (b) 88,522 93,241 
2.977% 8/1/41 (b) 237,825 252,061 
3% 8/1/21 628,150 655,937 
3.122% 9/1/41 (b) 150,070 157,785 
3.208% 9/1/41 (b) 72,265 75,519 
3.216% 4/1/41 (b) 72,786 76,084 
3.297% 6/1/41 (b) 80,099 83,711 
3.451% 5/1/41 (b) 60,441 62,888 
3.5% 8/1/26 1,912,987 2,032,549 
3.626% 6/1/41 (b) 113,282 118,754 
3.706% 5/1/41 (b) 93,100 97,736 
4% 6/1/24 to 4/1/26 2,216,479 2,365,389 
4.5% 8/1/18 to 11/1/18 424,978 438,630 
8.5% 5/1/26 to 7/1/28 29,070 34,782 
TOTAL FREDDIE MAC  7,567,765 
Ginnie Mae - 0.0%   
5.5% 6/15/35 235,294 265,507 
7% 1/15/25 to 6/15/32 142,602 170,027 
TOTAL GINNIE MAE  435,534 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $22,452,375)  22,841,961 
Asset-Backed Securities - 14.3%   
Accredited Mortgage Loan Trust:   
Series 2003-3 Class A1, 5.21% 1/25/34 (AMBAC Insured) $203,153 $196,041 
Series 2005-1 Class M1, 1.1266% 4/25/35 (b) 69,143 61,763 
Ally Auto Receivables Trust:   
Series 2014-SN1 Class A3, 0.75% 2/21/17 643,504 643,261 
Series 2015-1 Class A3, 1.39% 9/16/19 1,110,000 1,111,823 
Series 2015-SN1 Class A3, 1.21% 12/20/17 457,000 456,857 
Ally Master Owner Trust:   
Series 2012-4 Class A, 1.72% 7/15/19 544,000 545,149 
Series 2012-5 Class A, 1.54% 9/15/19 2,291,000 2,291,580 
Series 2014-3 Class A, 1.33% 3/15/19 3,918,000 3,916,309 
Series 2014-4 Class A2, 1.43% 6/17/19 1,971,000 1,970,064 
Series 2014-5 Class A2, 1.6% 10/15/19 2,053,000 2,054,329 
Series 2015-3 Class A, 1.63% 5/15/20 1,570,000 1,569,835 
American Express Credit Account Master Trust:   
Series 2014-2 Class A, 1.26% 1/15/20 1,610,000 1,614,136 
Series 2014-3 Class A, 1.49% 4/15/20 2,462,886 2,475,895 
Series 2014-4 Class A, 1.43% 6/15/20 2,422,000 2,432,247 
AmeriCredit Automobile Receivables Trust:   
Series 2013-5 Class A3, 0.9% 9/10/18 648,057 647,324 
Series 2014-1 Class A3, 0.9% 2/8/19 597,130 595,948 
Series 2014-2 Class A3, 0.94% 2/8/19 1,626,000 1,623,011 
Series 2014-4 Class A3, 1.27% 7/8/19 414,000 413,108 
Series 2015-2 Class A3, 1.27% 1/8/20 1,500,000 1,491,440 
Series 2016-1 Class A3, 2.14% 10/8/20 856,000 858,896 
Ameriquest Mortgage Securities, Inc. pass-thru certificates Series 2004-R2 Class M3, 1.2608% 4/25/34 (b) 11,399 8,320 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1.2158% 3/25/34 (b) 67,779 60,158 
Series 2006-W4 Class A2C, 0.5958% 5/25/36 (b) 145,128 51,441 
Bank of America Credit Card Master Trust Series 2015-A2 Class A, 1.36% 9/15/20 1,985,000 1,989,706 
BMV Vehicle Lease Trust Series 2014-1 Class A3, 0.73% 2/21/17 698,354 697,964 
BMW Vehicle Lease Trust Series 2015-1 Class A3, 1.24% 12/20/17 1,232,000 1,232,467 
Capital Auto Receivables Asset Trust:   
Series 2014-2 Class A2, 0.91% 4/20/17 285,174 285,174 
Series 2014-3 Class A2, 1.18% 12/20/17 1,204,000 1,203,451 
Series 2015-1 Class A2, 1.42% 6/20/18 1,209,000 1,210,036 
Series 2015-2 Class A2, 1.39% 9/20/18 822,000 822,637 
Capital One Multi-Asset Execution Trust:   
Series 2014-A5 Class A, 1.48% 7/15/20 1,979,000 1,987,938 
Series 2015-A1 Class A, 1.39% 1/15/21 1,940,000 1,947,289 
Series 2015-A5 Class A5, 1.6% 5/17/21 1,500,000 1,509,753 
Carmax Auto Owner Trust:   
Series 2014-4 Class A3, 1.25% 11/15/19 1,242,000 1,241,187 
Series 2015-3 Class A3, 1.63% 5/15/20 761,000 764,801 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.5758% 12/25/36 (b) 228,766 155,643 
CFC LLC Series 2014-1A Class A, 1.46% 12/17/18 (a) 164,614 164,428 
Chase Issuance Trust:   
Series 2014-A1 Class A, 1.15% 1/15/19 1,232,000 1,234,414 
Series 2014-A7 Class A, 1.38% 11/15/19 2,064,000 2,072,718 
Series 2015-A2, Class A, 1.59% 2/18/20 1,416,000 1,425,694 
Chrysler Capital Auto Receivables Trust Series 2015-AA Class A3, 1.22% 7/15/19 (a) 2,500,000 2,494,204 
CIT Equipment Collateral:   
Series 2013-VT1 Class A3, 1.13% 7/20/20 (a) 818,252 818,323 
Series 2014-VT1 Class A3, 1.5% 10/21/19 (a) 1,239,653 1,235,551 
Citibank Credit Card Issuance Trust:   
Series 2014-A2 Class A2, 1.02% 2/22/19 1,774,000 1,773,835 
Series 2014-A4 Class A4, 1.23% 4/24/19 1,642,000 1,645,227 
Series 2014-A8 Class A8, 1.73% 4/9/20 1,585,000 1,599,683 
Countrywide Home Loans, Inc.:   
Series 2003-BC1 Class B1, 5.6858% 3/25/32 (b) 7,098 6,488 
Series 2004-2 Class 3A4, 0.9358% 7/25/34 (b) 51,255 41,443 
Series 2004-3 Class M4, 1.8908% 4/25/34 (b) 7,947 6,960 
Series 2004-4 Class M2, 1.2308% 6/25/34 (b) 10,245 9,264 
Dell Equipment Finance Trust:   
Series 2014-1 Class A3, 0.94% 6/22/20 (a) 603,917 603,630 
Series 2015-1 Class A3, 1.3% 3/23/20 (a) 800,000 796,870 
Series 2015-2 Class A2A, 1.42% 12/22/17 (a) 1,000,000 998,147 
Discover Card Master Trust:   
Series 2012-A6 Class A6, 1.67% 1/18/22 1,485,000 1,494,018 
Series 2013-A5 Class A5, 1.04% 4/15/19 359,000 359,383 
Series 2014-A5 Class A, 1.39% 4/15/20 1,651,000 1,657,314 
Series 2015-A2 Class A, 1.9% 10/17/22 2,000,000 2,008,554 
Series 2016-A1 Class A1, 2.1% 7/15/21 1,630,000 1,638,228 
Enterprise Fleet Financing LLC:   
Series 2014-1 Class A2, 0.87% 9/20/19 (a) 713,439 711,074 
Series 2014-2 Class A2, 1.05% 3/20/20 (a) 1,669,805 1,660,982 
Series 2015-1 Class A2, 1.3% 9/20/20 (a) 1,515,401 1,505,294 
Fannie Mae Series 2004-T5:   
Class AB1, 0.6969% 5/28/35 (b) 130,399 120,283 
Class AB3, 1.1189% 5/28/35 (b) 55,367 48,076 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.6015% 8/25/34 (b) 36,914 34,862 
Flagship Credit Auto Trust Series 2016-1 Class A, 2.53% 12/15/20 (a) 2,000,000 1,995,196 
Ford Credit Auto Lease Trust Series 2015-A Class A3, 1.13% 6/15/18 1,500,000 1,498,631 
Ford Credit Auto Owner Trust Series 2015-C Class A3, 1.41% 2/15/20 1,169,000 1,173,236 
Ford Credit Floorplan Master Owner Trust:   
Series 2012-5 Class A, 1.49% 9/15/19 4,516,000 4,524,317 
Series 2014-1 Class A1, 1.2% 2/15/19 2,677,000 2,671,639 
Series 2014-4 Class A1, 1.4% 8/15/19 3,614,000 3,616,439 
Series 2015-4 Class A1, 1.77% 8/15/20 1,580,000 1,581,588 
Fremont Home Loan Trust:   
Series 2004-D:   
Class M4, 1.8515% 11/25/34 (b) 85,621 9,082 
Class M5, 1.9265% 11/25/34 (b) 24,561 442 
Series 2005-A:   
Class M3, 1.1615% 1/25/35 (b) 120,398 104,393 
Class M4, 1.4465% 1/25/35 (b) 44,055 23,658 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.0091% 2/25/47 (a)(b) 127,452 112,838 
GM Financial Automobile Leasing Trust:   
Series 2014-1A Class A3, 1.01% 5/22/17 (a) 958,542 958,295 
Series 2014-2A Class A3, 1.22% 1/22/18 (a) 1,600,000 1,600,061 
Series 2015-1 Class A3, 1.53% 9/20/18 1,367,000 1,375,704 
Series 2015-2 Class A3, 1.68% 12/20/18 1,164,000 1,167,452 
GMF Floorplan Owner Revolving Trust Series 2015-1 Class A1, 1.65% 5/15/20 (a) 1,900,000 1,895,666 
Home Equity Asset Trust:   
Series 2003-5 Class A2, 1.1358% 12/25/33 (b) 36,254 33,534 
Series 2004-1 Class M2, 2.1358% 6/25/34 (b) 43,293 37,672 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6165% 1/25/37 (b) 128,988 82,715 
Hyundai Auto Lease Securitization Trust:   
Series 2014-B Class A3, 0.98% 11/15/17 (a) 1,642,000 1,641,120 
Series 2015-A Class A3, 1.42% 9/17/18 (a) 1,232,000 1,234,126 
Series 2015-B Class A3, 1.4% 11/15/18 (a) 1,479,000 1,479,519 
Hyundai Auto Receivables Trust Series 2015-C Class A3, 1.46% 2/18/20 1,159,000 1,163,133 
Hyundai Floorplan Master Owner Trust Series 2013-1A Class A, 0.7805% 5/15/18 (a)(b) 1,380,000 1,379,177 
JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.5658% 11/25/36 (b) 5,184 5,182 
KeyCorp Student Loan Trust Series 1999-A Class A2, 0.9331% 12/27/29 (b) 8,619 8,574 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.7265% 5/25/37 (b) 39,729 1,250 
Mercedes Benz Auto Lease Trust Series 2015-B Class A3, 1.34% 7/16/18 800,000 800,560 
Mercedes-Benz Auto Lease Trust Series 2015-A Class A3, 1.1% 8/15/17 1,631,000 1,631,363 
Merrill Lynch Mortgage Investors Trust:   
Series 2006-FM1 Class A2B, 0.5458% 4/25/37 (b) 10,603 10,542 
Series 2006-OPT1 Class A1A, 0.9465% 6/25/35 (b) 79,011 75,668 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1.1158% 8/25/34 (b) 113,943 99,032 
Series 2004-NC8 Class M6, 2.3108% 9/25/34 (b) 39,499 36,416 
Series 2005-NC1 Class M1, 1.0958% 1/25/35 (b) 31,108 27,722 
Series 2005-NC2 Class B1, 2.1908% 3/25/35 (b) 21,258 476 
Nationstar HECM Loan Trust Series 2016-1A Class A, 3.1294% 2/25/26 (a) 1,000,000 999,999 
Nissan Auto Lease Trust Series 2014-A Class A3, 0.8% 2/15/17 696,905 696,681 
Nissan Auto Receivables Owner Trust:   
Series 2015-C Class A3, 1.37% 5/15/20 1,147,000 1,150,512 
Series 2016-A Class A3, 1.34% 10/15/20 923,000 923,202 
Nissan Master Owner Trust Receivables Series 2015-A Class A2, 1.44% 1/15/20 1,642,000 1,643,030 
Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 1.0732% 10/30/45 (b) 374,960 353,400 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 2.3015% 9/25/34 (b) 654,824 596,334 
Class M4, 2.6015% 9/25/34 (b) 892,159 601,916 
Series 2005-WCH1 Class M4, 1.6715% 1/25/36 (b) 153,762 135,046 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2265% 4/25/33 (b) 648 554 
Santander Drive Auto Receivables Trust Series 2014-4 Class B, 1.82% 5/15/19 754,000 754,363 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2308% 3/25/35 (b) 91,646 84,361 
SLM Private Credit Student Loan Trust:   
Series 2004-A:   
Class B, 1.092% 6/15/33 (b) 169,822 160,339 
Class C, 1.462% 6/15/33 (b) 429,920 419,108 
Series 2004-B:   
Class A2, 0.712% 6/15/21 (b) 275,845 273,857 
Class C, 1.382% 9/15/33 (b) 526,826 495,733 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.1608% 9/25/34 (b) 5,211 4,394 
Synchrony Credit Card Master Note Trust:   
Series 2015-2 Class A, 1.6% 4/15/21 1,580,000 1,584,028 
Series 2015-3 class A, 1.74% 9/15/21 1,000,000 999,940 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.2865% 9/25/34 (b) 71,344 60,096 
Volkswagen Auto Lease Trust:   
Series 2014-A Class A3, 0.8% 4/20/17 798,916 797,220 
Series 2015-A Class A3, 1.25% 12/20/17 510,000 506,645 
Volkswagen Auto Loan Enhanced Trust:   
Series 2013-2 Class A3, 0.7% 4/20/18 1,044,785 1,039,331 
Series 2014-1 Class A3, 0.91% 10/22/18 1,032,632 1,027,289 
Volkswagen Credit Auto Master Trust Series 2014-1A Class A2, 1.4% 7/22/19 (a) 1,020,000 1,008,550 
Volvo Financial Equipment LLC Series 2015-1A Class A3, 1.51% 6/17/19 (a) 1,289,000 1,291,704 
World Omni Auto Receivables Trust Series 2014-B Class A3, 1.14% 1/15/20 1,509,000 1,507,645 
World Omni Automobile Lease Securitization Trust Series 2015-A Class A3, 1.54% 10/15/18 1,180,000 1,182,244 
TOTAL ASSET-BACKED SECURITIES   
(Cost $124,829,779)  124,655,867 
Collateralized Mortgage Obligations - 0.8%   
Private Sponsor - 0.2%   
BCAP LLC II Trust Series 2012-RR10 Class 5A5, 0.6868% 4/26/36 (a)(b) 285,466 279,063 
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 2.7362% 5/27/35 (a)(b) 487,807 500,392 
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.6365% 5/25/47 (b) 42,964 39,407 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6058% 2/25/37 (b) 59,471 52,631 
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 2.8826% 11/25/25 (a) 710,224 709,869 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.7735% 6/10/35 (a)(b) 21,002 18,687 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.675% 7/20/34 (b) 2,825 2,754 
TOTAL PRIVATE SPONSOR  1,602,803 
U.S. Government Agency - 0.6%   
Fannie Mae:   
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27 507,546 536,987 
planned amortization class Series 2012-94 Class E, 3% 6/25/22 307,558 314,929 
sequential payer:   
Series 2001-40 Class Z, 6% 8/25/31 128,719 146,533 
Series 2009-31 Class A, 4% 2/25/24 55,952 57,091 
Freddie Mac:   
planned amortization class Series 3820 Class DA, 4% 11/15/35 417,536 437,272 
Series 3949 Class MK, 4.5% 10/15/34 316,739 343,341 
Series 4221-CLS Class GA, 1.4% 7/15/23 1,417,281 1,406,561 
Ginnie Mae guaranteed REMIC pass-thru certificates Series 2015-H17 Class HA, 2.5% 5/20/65 (d) 1,920,609 1,960,989 
TOTAL U.S. GOVERNMENT AGENCY  5,203,703 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $6,807,200)  6,806,506 
Commercial Mortgage Securities - 7.1%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5885% 2/14/43 (b)(e) 145,163 1,049 
Banc of America Commercial Mortgage Trust:   
sequential payer Series 2006-4 Class A4, 5.634% 7/10/46 461,879 462,751 
Series 2006-4 Class A1A, 5.617% 7/10/46 (b) 1,421,335 1,431,173 
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI Class A, 1.5755% 5/15/32 (a)(b) 1,028,000 1,011,966 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1.7108% 12/25/33 (a)(b) 3,636 3,230 
Series 2005-4A:   
Class A2, 0.8258% 1/25/36 (a)(b) 383,000 327,037 
Class B1, 1.8358% 1/25/36 (a)(b) 15,376 10,591 
Class M1, 0.8858% 1/25/36 (a)(b) 120,460 95,606 
Class M2, 0.9058% 1/25/36 (a)(b) 55,680 42,875 
Class M3, 0.9358% 1/25/36 (a)(b) 59,841 44,206 
Class M4, 1.0458% 1/25/36 (a)(b) 30,621 22,124 
Class M5, 1.0858% 1/25/36 (a)(b) 30,621 22,182 
Class M6, 1.1358% 1/25/36 (a)(b) 31,074 22,584 
Series 2006-3A Class M4, 0.8658% 10/25/36 (a)(b) 3,813 420 
Series 2007-1 Class A2, 0.7058% 3/25/37 (a)(b) 183,654 155,330 
Series 2007-2A:   
Class A1, 0.7058% 7/25/37 (a)(b) 41,423 34,766 
Class A2, 0.7558% 7/25/37 (a)(b) 38,797 30,714 
Class M1, 0.8058% 7/25/37 (a)(b) 13,828 10,471 
Class M2, 0.8458% 7/25/37 (a)(b) 7,759 5,423 
Class M3, 0.9258% 7/25/37 (a)(b) 5,982 3,771 
Series 2007-3:   
Class A2, 0.7258% 7/25/37 (a)(b) 57,471 45,739 
Class M1, 0.7458% 7/25/37 (a)(b) 43,419 32,519 
Class M2, 0.7758% 7/25/37 (a)(b) 45,649 32,555 
Class M3, 0.8058% 7/25/37 (a)(b) 73,891 36,257 
Class M4, 0.9358% 7/25/37 (a)(b) 116,847 56,234 
Class M5, 1.0358% 7/25/37 (a)(b) 54,108 11,371 
Series 2007-4A:   
Class A2, 0.9716% 9/25/37 (a)(b) 501,154 386,004 
Class M1, 1.3716% 9/25/37 (a)(b) 62,642 15,437 
Series 2006-2A Class IO, 0% 7/25/36 (a)(b)(e) 3,727,152 0 
Bear Stearns Commercial Mortgage Securities Trust:   
sequential payer:   
Series 2006-PW13 Class A1A, 5.533% 9/11/41 1,252,094 1,264,044 
Series 2006-PW14 Class A1A, 5.189% 12/11/38 512,932 521,494 
Series 2006-T22 Class A1A, 5.8216% 4/12/38 (b) 17,324 17,307 
Series 2006-PW12 Class A1A, 5.9065% 9/11/38 (b) 591,267 591,667 
BXHTL Mortgage Trust Series 2015-JWRZ Class A, 1.656% 5/15/29 (a)(b) 1,022,000 997,759 
C-BASS Trust floater Series 2006-SC1 Class A, 0.7058% 5/25/36 (a)(b) 23,015 22,130 
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44 763,344 801,068 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.827% 12/15/27 (a)(b) 2,850,599 2,841,237 
Citigroup Commercial Mortgage Trust:   
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 463,381 468,005 
Series 2006-C4 Class A1A, 6.0329% 3/15/49 (b) 150,077 150,133 
Series 2013-GC11 Class A1, 0.754% 4/10/46 306,726 304,192 
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class A3, 5.484% 4/15/47 828,276 849,799 
COMM Mortgage Trust:   
floater Series 2014-KYO Class A, 1.324% 6/11/27 (a)(b) 2,052,405 2,001,703 
Series 2013-CR9 Class A1, 1.344% 7/10/45 164,721 164,184 
Series 2014-CR15 Class A2, 2.928% 2/10/47 1,530,000 1,567,283 
COMM Mortgage Trust pass-thru certificates:   
floater Series 2005-F10A Class J, 1.2805% 4/15/17 (a)(b) 16,009 15,897 
sequential payer:   
Series 2006-C7 Class A1A, 5.9515% 6/10/46 (b) 852,258 854,424 
Series 2006-C8 Class A1A, 5.292% 12/10/46 1,217,480 1,234,874 
CSMC Series 2015-TOWN:   
Class B, 2.327% 3/15/17 (a)(b) 180,000 173,764 
Class C, 2.677% 3/15/17 (a)(b) 176,000 168,315 
Class D, 3.627% 3/15/17 (a)(b) 543,000 515,042 
Freddie Mac:   
pass-thru certificates Series K708 Class A1, 1.67% 10/25/18 122,344 122,453 
Series K707 Class A1, 1.615% 9/25/18 821,136 825,948 
GAHR Commercial Mortgage Trust floater Series 2015-NRF Class AFL1, 1.7255% 12/15/16 (a)(b) 2,742,558 2,716,322 
GE Capital Commercial Mortgage Corp.:   
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 1,727,752 1,754,955 
Series 2007-C1 Class A1A, 5.483% 12/10/49 (b) 2,327,122 2,389,163 
Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A4, 6.0483% 7/10/38 (b) 288,186 288,895 
GS Mortgage Securities Corp. Trust Series 2013-C, 2.974% 1/10/30 (a) 290,000 290,660 
GS Mortgage Securities Trust:   
floater Series 2014-GSFL Class A, 1.4255% 7/15/31 (a)(b) 445,622 438,827 
sequential payer Series 2006-GG8:   
Class A1A, 5.547% 11/10/39 777,588 786,199 
Class A4, 5.56% 11/10/39 1,937,084 1,952,704 
Series 2013-GC12 Class A1, 0.742% 6/10/46 (b) 330,194 327,023 
Hilton U.S.A. Trust:   
floater Series 2013-HLF Class AFL, 1.4295% 11/5/30 (a)(b) 814,229 812,979 
Series 2013-HLT Class DFX, 4.4065% 11/5/30 (a) 270,000 269,155 
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class A, 1.6755% 11/15/29 (a)(b) 737,000 732,972 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater:   
Series 2014-BXH Class A, 1.3305% 4/15/27 (a)(b) 1,232,000 1,216,839 
Series 2014-FL5 Class A, 1.4055% 7/15/31 (a)(b) 867,332 856,428 
sequential payer:   
Series 2006-CB16 Class A1A, 5.546% 5/12/45 1,461,079 1,470,919 
Series 2006-LDP8 Class A4, 5.399% 5/15/45 884,468 887,218 
Series 2007-CB18 Class A4, 5.44% 6/12/47 3,597,130 3,669,928 
Series 2007-CB19 Class A4, 5.8888% 2/12/49 (b) 1,941,673 1,996,245 
Series 2007-LDPX Class A3, 5.42% 1/15/49 365,338 372,505 
Series 2011-C3 Class A3, 4.3877% 2/15/46 (a) 801,000 835,978 
Series 2006-LDP7 Class A1A, 6.1056% 4/17/45 (b) 1,410,628 1,416,649 
Series 2013-C13 Class A1, 1.3029% 1/15/46 909,042 905,976 
LB-UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C6 Class A4, 5.372% 9/15/39 345,687 348,893 
Series 2007-C1 Class A4, 5.424% 2/15/40 1,596,157 1,626,695 
Series 2007-C7 Class A3, 5.866% 9/15/45 684,748 721,341 
Lone Star Portfolio Trust floater Series 2015-LSP Class A1A2, 2.227% 9/15/28 (a)(b) 1,440,448 1,430,566 
Merrill Lynch Mortgage Trust Series 2006-C2 Class A1A, 5.739% 8/12/43 (b) 1,240,490 1,249,162 
Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2007-5 Class A4, 5.378% 8/12/48 907,829 924,762 
Morgan Stanley Capital I Trust:   
floater:   
Series 2006-XLF Class C, 1.631% 7/15/19 (a)(b) 45,397 44,853 
Series 2007-XLFA:   
Class D, 0.6155% 10/15/20 (a)(b) 35,345 35,347 
Class E, 0.6755% 10/15/20 (a)(b) 105,926 105,932 
Class F, 0.7255% 10/15/20 (a)(b) 63,569 63,572 
Class G, 0.7655% 10/15/20 (a)(b) 78,581 78,585 
Class H, 0.8555% 10/15/20 (a)(b) 49,464 49,514 
Class J, 1.0055% 10/15/20 (a)(b) 28,557 27,649 
sequential payer:   
Series 2007-IQ13 Class A1A, 5.312% 3/15/44 452,123 462,190 
Series 2007-IQ14 Class A2, 5.61% 4/15/49 267,245 267,441 
Series 2012-C4 Class A1, 1.085% 3/15/45 138,557 138,383 
Series 2006-HQ9 Class A4, 5.731% 7/12/44 (b) 291,973 291,790 
Series 2007-T27 Class A1A, 5.8206% 6/11/42 (b) 1,343,632 1,399,396 
SCG Trust Series 2013-SRP1 Class A, 1.8255% 11/15/26 (a)(b) 965,000 960,681 
UBS-Barclays Commercial Mortgage Trust sequential payer Series 2013-C6 Class A1, 0.8022% 4/10/46 280,239 277,795 
Wachovia Bank Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C29:   
Class A1A, 5.297% 11/15/48 1,988,726 2,025,271 
Class A4, 5.308% 11/15/48 375,084 379,080 
Series 2007-C31 Class A4, 5.509% 4/15/47 250,394 255,196 
Series 2006-C26 Class A1A, 6.009% 6/15/45 (b) 996,919 998,409 
Series 2006-C27 Class A3, 5.765% 7/15/45 (b) 567,559 566,903 
WF-RBS Commercial Mortgage Trust Series 2013-C13 Class A1, 0.778% 5/15/45 192,399 190,942 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $64,999,114)  62,135,994 
Municipal Securities - 0.2%   
Illinois Gen. Oblig. Series 2011, 5.877% 3/1/19   
(Cost $1,607,044) 1,500,000 1,621,365 
Supranational Obligations - 0.1%   
International Bank for Reconstruction & Development 1% 6/15/18
(Cost $688,133) 		$689,000 $688,095 
Bank Notes - 2.7%   
Bank of America NA:   
1.25% 2/14/17 $2,529,000 $2,526,939 
1.75% 6/5/18 1,500,000 1,490,535 
5.3% 3/15/17 250,000 258,473 
Branch Banking & Trust Co. 1.45% 10/3/16 2,463,000 2,470,121 
Capital One Bank NA:   
1.15% 11/21/16 779,000 777,925 
1.2% 2/13/17 1,625,000 1,619,564 
1.3% 6/5/17 1,232,000 1,225,767 
Capital One NA:   
1.5% 9/5/17 1,000,000 992,123 
1.65% 2/5/18 1,232,000 1,216,224 
Discover Bank 3.1% 6/4/20 750,000 745,930 
KeyBank NA:   
1.65% 2/1/18 735,000 732,733 
2.5% 12/15/19 777,000 785,674 
Manufacturers & Traders Trust Co.:   
1.4% 7/25/17 1,642,000 1,635,994 
2.3% 1/30/19 1,080,000 1,086,348 
Marshall & Ilsley Bank 5% 1/17/17 558,000 572,674 
PNC Bank NA 1.15% 11/1/16 1,281,000 1,280,914 
Regions Bank 7.5% 5/15/18 250,000 275,560 
Regions Financial Corp. 2.25% 9/14/18 2,070,000 2,061,080 
U.S. Bank NA 1.1% 1/30/17 1,782,000 1,783,614 
TOTAL BANK NOTES   
(Cost $23,576,863)  23,538,192 
 Shares Value 
Money Market Funds - 2.4%   
Fidelity Cash Central Fund, 0.40% (f)   
(Cost $20,592,376) 20,592,376 20,592,376 
 Maturity Amount Value 
Cash Equivalents - 8.9%   
Investments in repurchase agreements in a joint trading account at 0.4%, dated 2/29/16 due 3/1/16 (Collateralized by U.S. Government Obligations) # (g) 74,043,823 74,043,000 
With Mizuho Securities U.S.A., Inc. at 1.88%, dated 2/19/16 due 8/17/16 (Collateralized by Corporate Obligations valued at $4,322,482, .70% - .78%, 2/25/36 - 4/25/36) 4,037,600 4,000,000 
TOTAL CASH EQUIVALENTS   
(Cost $78,043,000)  78,043,000 
TOTAL INVESTMENT PORTFOLIO - 109.7%   
(Cost $961,107,950)  957,111,590 
NET OTHER ASSETS (LIABILITIES) - (9.7)%  (84,344,276) 
NET ASSETS - 100%  $872,767,314 

Swaps

Underlying Reference Rating(1) Expiration Date Clearinghouse/Counterparty Fixed Payment Received/(Paid) Notional Amount(2) Value(1) Upfront Premium Received/(Paid) Unrealized Appreciation/(Depreciation) 
Credit Default Swaps         
Sell Protection         
Morgan Stanley ABS Capital I Inc Series 2004-NC8 Class B3 C Oct. 2034 Merrill Lynch International 4.60% USD 16,329 $(1,265) $0 $(1,265) 

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

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


Legend

 (a) 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 $126,624,286 or 14.5% of net assets.

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

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

 (d) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

 (e) 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.

 (f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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


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 $36,928 

Investment Valuation

The following is a summary of the inputs used, as of February 29, 2016, 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 below, please refer to the Investment 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:     
Corporate Bonds $368,798,933 $-- $368,798,933 $-- 
U.S. Government and Government Agency Obligations 247,389,301 -- 247,389,301 -- 
U.S. Government Agency - Mortgage Securities 22,841,961 -- 22,841,961 -- 
Asset-Backed Securities 124,655,867 -- 124,366,542 289,325 
Collateralized Mortgage Obligations 6,806,506 -- 6,806,506 -- 
Commercial Mortgage Securities 62,135,994 -- 62,135,574 420 
Municipal Securities 1,621,365 -- 1,621,365 -- 
Supranational Obligations 688,095 -- 688,095 -- 
Bank Notes 23,538,192 -- 23,538,192 -- 
Money Market Funds 20,592,376 20,592,376 -- -- 
Cash Equivalents 78,043,000 -- 78,043,000 -- 
Total Investments in Securities: $957,111,590 $20,592,376 $936,229,469 $289,745 
Derivative Instruments:     
Liabilities     
Swaps $(1,265) $-- $(1,265) $-- 
Total Liabilities $(1,265) $-- $(1,265) $-- 
Total Derivative Instruments: $(1,265) $-- $(1,265) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Credit Risk   
Swaps(a) $0 $(1,265) 
Total Credit Risk 0 (1,265) 
Total Value of Derivatives $0 $(1,265) 

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


Other Information

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

Repurchase Agreement / Counterparty Value 
$74,043,000 due 3/01/16 at 0.40%  
Commerz Markets LLC $74,043,000 
 $74,043,000 

Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):

United States of America 86.7% 
United Kingdom 3.1% 
Japan 2.1% 
Canada 2.1% 
Netherlands 1.5% 
Luxembourg 1.1% 
Others (Individually Less Than 1%) 3.4% 
 100.0% 

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


Financial Statements

Statement of Assets and Liabilities

  February 29, 2016 (Unaudited) 
Assets   
Investment in securities, at value (including securities loaned of $72,660,696 and repurchase agreements of $78,043,000) — See accompanying schedule:
Unaffiliated issuers (cost $940,515,574) 		$936,519,214  
Fidelity Central Funds (cost $20,592,376) 20,592,376  
Total Investments (cost $961,107,950)  $957,111,590 
Cash  900 
Receivable for investments sold  60,886 
Receivable for fund shares sold  2,067,053 
Interest receivable  2,838,304 
Distributions receivable from Fidelity Central Funds  13,421 
Prepaid expenses  1,200 
Other receivables  11 
Total assets  962,093,365 
Liabilities   
Payable for investments purchased $7,723,656  
Payable for fund shares redeemed 6,932,428  
Distributions payable 27,737  
Bi-lateral OTC swaps, at value 1,265  
Accrued management fee 220,325  
Distribution and service plan fees payable 110,508  
Other affiliated payables 136,913  
Other payables and accrued expenses 129,319  
Collateral on securities loaned, at value 74,043,900  
Total liabilities  89,326,051 
Net Assets  $872,767,314 
Net Assets consist of:   
Paid in capital  $910,983,328 
Undistributed net investment income  770,256 
Accumulated undistributed net realized gain (loss) on investments  (34,988,645) 
Net unrealized appreciation (depreciation) on investments  (3,997,625) 
Net Assets  $872,767,314 
Calculation of Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($197,983,338 ÷ 21,248,908 shares)  $9.32 
Maximum offering price per share (100/98.50 of $9.32)  $9.46 
Class T:   
Net Asset Value and redemption price per share ($93,634,545 ÷ 10,040,761 shares)  $9.33 
Maximum offering price per share (100/98.50 of $9.33)  $9.47 
Class B:   
Net Asset Value and offering price per share ($1,379,465 ÷ 148,444 shares)(a)  $9.29 
Class C:   
Net Asset Value and offering price per share ($87,809,597 ÷ 9,471,921 shares)(a)  $9.27 
Class I:   
Net Asset Value, offering price and redemption price per share ($491,960,369 ÷ 52,755,221 shares)  $9.33 

 (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.


Statement of Operations

  Six months ended February 29, 2016 (Unaudited) 
Investment Income   
Interest  $7,656,175 
Income from Fidelity Central Funds  36,928 
Total income  7,693,103 
Expenses   
Management fee $1,265,919  
Transfer agent fees 654,321  
Distribution and service plan fees 620,499  
Accounting and security lending fees 151,488  
Custodian fees and expenses 8,618  
Independent trustees' compensation 1,726  
Registration fees 54,276  
Audit 91,482  
Legal 1,825  
Miscellaneous 38,180  
Total expenses before reductions 2,888,334  
Expense reductions (1,914) 2,886,420 
Net investment income (loss)  4,806,683 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 1,244,026  
Swaps 505  
Total net realized gain (loss)  1,244,531 
Change in net unrealized appreciation (depreciation) on:
Investment securities 		(2,631,438)  
Swaps 1,505  
Total change in net unrealized appreciation (depreciation)  (2,629,933) 
Net gain (loss)  (1,385,402) 
Net increase (decrease) in net assets resulting from operations  $3,421,281 

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


Statement of Changes in Net Assets

 Six months ended February 29, 2016 (Unaudited) Year ended August 31, 2015 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $4,806,683 $7,242,950 
Net realized gain (loss) 1,244,531 2,488,984 
Change in net unrealized appreciation (depreciation) (2,629,933) (5,315,199) 
Net increase (decrease) in net assets resulting from operations 3,421,281 4,416,735 
Distributions to shareholders from net investment income (4,967,506) (6,546,109) 
Distributions to shareholders from net realized gain – (107,541) 
Total distributions (4,967,506) (6,653,650) 
Share transactions - net increase (decrease) 68,551,911 (168,945,549) 
Total increase (decrease) in net assets 67,005,686 (171,182,464) 
Net Assets   
Beginning of period 805,761,628 976,944,092 
End of period (including undistributed net investment income of $770,256 and undistributed net investment income of $931,079, respectively) $872,767,314 $805,761,628 

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


Financial Highlights — Fidelity Advisor Short Fixed-Income Fund Class A

 Six months ended (Unaudited) Years ended August 31,     
 February 29, 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $9.33 $9.36 $9.30 $9.34 $9.29 $9.23 
Income from Investment Operations       
Net investment income (loss)A .055 .073 .070 .070 .090 .134 
Net realized and unrealized gain (loss) (.009) (.037) .052 (.046) .058 .062 
Total from investment operations .046 .036 .122 .024 .148 .196 
Distributions from net investment income (.056) (.065) (.062) (.064) (.098) (.136) 
Distributions from net realized gain – (.001) – – – – 
Total distributions (.056) (.066) (.062) (.064) (.098) (.136) 
Net asset value, end of period $9.32 $9.33 $9.36 $9.30 $9.34 $9.29 
Total ReturnB,C,D .49% .39% 1.32% .25% 1.61% 2.14% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .71%G .70% .70% .70% .70% .70% 
Expenses net of fee waivers, if any .71%G .70% .70% .70% .70% .70% 
Expenses net of all reductions .71%G .70% .70% .70% .69% .70% 
Net investment income (loss) 1.19%G .78% .74% .75% .97% 1.44% 
Supplemental Data       
Net assets, end of period (000 omitted) $197,983 $177,996 $190,596 $205,581 $212,725 $250,546 
Portfolio turnover rateH 130%G 75%I 61% 61% 75% 204% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E 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.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I Portfolio turnover rate excludes securities received or delivered in-kind.


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


Financial Highlights — Fidelity Advisor Short Fixed-Income Fund Class T

 Six months ended (Unaudited) Years ended August 31,     
 February 29,2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $9.34 $9.37 $9.31 $9.34 $9.29 $9.24 
Income from Investment Operations       
Net investment income (loss)A .055 .073 .069 .069 .089 .134 
Net realized and unrealized gain (loss) (.010) (.037) .053 (.036) .059 .052 
Total from investment operations .045 .036 .122 .033 .148 .186 
Distributions from net investment income (.055) (.065) (.062) (.063) (.098) (.136) 
Distributions from net realized gain – (.001) – – – – 
Total distributions (.055) (.066) (.062) (.063) (.098) (.136) 
Net asset value, end of period $9.33 $9.34 $9.37 $9.31 $9.34 $9.29 
Total ReturnB,C,D .49% .38% 1.31% .36% 1.60% 2.03% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .72%G .70% .71% .70% .70% .70% 
Expenses net of fee waivers, if any .72%G .70% .71% .70% .70% .70% 
Expenses net of all reductions .72%G .70% .71% .70% .70% .70% 
Net investment income (loss) 1.18%G .77% .74% .74% .96% 1.44% 
Supplemental Data       
Net assets, end of period (000 omitted) $93,635 $95,409 $103,447 $127,404 $140,285 $163,217 
Portfolio turnover rateH 130%G 75%I 61% 61% 75% 204% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E 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.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I Portfolio turnover rate excludes securities received or delivered in-kind.


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


Financial Highlights — Fidelity Advisor Short Fixed-Income Fund Class B

 Six months ended (Unaudited) Years ended August 31,     
 February 29, 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $9.32 $9.35 $9.30 $9.35 $9.30 $9.24 
Income from Investment Operations       
Net investment income (loss)A .019 .003 (.007) (.006) .015 .059 
Net realized and unrealized gain (loss) (.022) (.032) .058 (.042) .059 .062 
Total from investment operations (.003) (.029) .051 (.048) .074 .121 
Distributions from net investment income (.027) –B (.001) (.002) (.024) (.061) 
Distributions from net realized gain – (.001) – – – – 
Total distributions (.027) (.001) (.001) (.002) (.024) (.061) 
Net asset value, end of period $9.29 $9.32 $9.35 $9.30 $9.35 $9.30 
Total ReturnC,D,E (.03)% (.31)% .55% (.51)% .79% 1.31% 
Ratios to Average Net AssetsF,G       
Expenses before reductions 1.48%H 1.45% 1.52% 1.51% 1.50% 1.52% 
Expenses net of fee waivers, if any 1.48%H 1.45% 1.52% 1.51% 1.50% 1.52% 
Expenses net of all reductions 1.48%H 1.45% 1.52% 1.51% 1.50% 1.52% 
Net investment income (loss) .42%H .03% (.07)% (.06)% .16% .63% 
Supplemental Data       
Net assets, end of period (000 omitted) $1,379 $1,591 $2,459 $5,824 $7,991 $9,337 
Portfolio turnover rateI 130%H 75%J 61% 61% 75% 204% 

 A Calculated based on average shares outstanding during the period.

 B Amount represents less than $.0005 per share.

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

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

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

 F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

 G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 H Annualized

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

 J Portfolio turnover rate excludes securities received or delivered in-kind.


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


Financial Highlights — Fidelity Advisor Short Fixed-Income Fund Class C

 Six months ended (Unaudited) Years ended August 31,     
 February 29, 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $9.30 $9.34 $9.29 $9.35 $9.30 $9.24 
Income from Investment Operations       
Net investment income (loss)A .015 (.006) (.009) (.009) .012 .056 
Net realized and unrealized gain (loss) (.018) (.033) .060 (.050) .058 .062 
Total from investment operations (.003) (.039) .051 (.059) .070 .118 
Distributions from net investment income (.027) – (.001) (.001) (.020) (.058) 
Distributions from net realized gain – (.001) – – – – 
Total distributions (.027) (.001) (.001) (.001) (.020) (.058) 
Net asset value, end of period $9.27 $9.30 $9.34 $9.29 $9.35 $9.30 
Total ReturnB,C,D (.04)% (.42)% .55% (.63)% .76% 1.29% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.57%G 1.55% 1.54% 1.54% 1.54% 1.54% 
Expenses net of fee waivers, if any 1.57%G 1.55% 1.54% 1.54% 1.54% 1.54% 
Expenses net of all reductions 1.57%G 1.55% 1.54% 1.54% 1.54% 1.54% 
Net investment income (loss) .33%G (.07)% (.10)% (.10)% .13% .61% 
Supplemental Data       
Net assets, end of period (000 omitted) $87,810 $79,368 $98,517 $99,283 $114,564 $132,589 
Portfolio turnover rateH 130%G 75%I 61% 61% 75% 204% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E 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.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I Portfolio turnover rate excludes securities received or delivered in-kind.


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


Financial Highlights — Fidelity Advisor Short Fixed-Income Fund Class I

 Six months ended (Unaudited) Years ended August 31,     
 February 29, 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $9.34 $9.37 $9.31 $9.34 $9.29 $9.24 
Income from Investment Operations       
Net investment income (loss)A .062 .089 .087 .087 .106 .150 
Net realized and unrealized gain (loss) (.009) (.037) .053 (.036) .058 .052 
Total from investment operations .053 .052 .140 .051 .164 .202 
Distributions from net investment income (.063) (.081) (.080) (.081) (.114) (.152) 
Distributions from net realized gain – (.001) – – – – 
Total distributions (.063) (.082) (.080) (.081) (.114) (.152) 
Net asset value, end of period $9.33 $9.34 $9.37 $9.31 $9.34 $9.29 
Total ReturnB,C .57% .55% 1.51% .54% 1.78% 2.21% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .56%F .53% .51% .52% .52% .53% 
Expenses net of fee waivers, if any .56%F .53% .51% .52% .52% .53% 
Expenses net of all reductions .56%F .53% .51% .52% .52% .53% 
Net investment income (loss) 1.34%F .95% .93% .93% 1.14% 1.62% 
Supplemental Data       
Net assets, end of period (000 omitted) $491,960 $451,398 $581,926 $696,413 $771,929 $719,891 
Portfolio turnover rateG 130%F 75%H 61% 61% 75% 204% 

 A Calculated based on average shares outstanding during the period.

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

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

 D 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 Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 F Annualized

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

 H Portfolio turnover rate excludes securities received or delivered in-kind.


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


Notes to Financial Statements (Unaudited)

For the period ended February 29, 2016

1. Organization.

Fidelity Advisor Short Fixed-Income Fund (the Fund) is a fund of Fidelity Advisor Series II (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 and Class I shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a maximum holding period of seven years from the initial date of purchase.

During the period, the Board of Trustees approved the conversion of all existing Class B shares into Class A shares, effective on or about July 1, 2016, regardless of the length of times shares have been held.

2. Investments in Fidelity Central Funds.

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

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

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

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

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

  • Level 1 – quoted prices in active markets for identical investments
  • Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
  • Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

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

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

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 29, 2016, is included at the end of the Fund's Schedule of Investments.

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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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

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

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.

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

Book-tax differences are primarily due to swaps, market discount, redemptions in kind, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales.

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

Gross unrealized appreciation $2,856,552 
Gross unrealized depreciation (6,250,299) 
Net unrealized appreciation (depreciation) on securities $(3,393,747) 
Tax cost $960,505,337 

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

Fiscal year of expiration  
2017 $(19,679,244) 
2018 (16,553,917) 
Total capital loss carryforward $(36,233,161) 

Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

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

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

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

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

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.
 

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments.

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Credit Risk   
Swaps(a) $505 $1,505 

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


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

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

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

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

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

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

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

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

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

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $92,021,474 and $90,665,836, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .31% of the Fund's average net assets.

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

 Distribution
Fee 		Service
Fee 		Total Fees Retained
by FDC 
Class A -% .15% $135,698 $– 
Class T -% .15% 70,384 257 
Class B .65% .25% 6,425 4,644 
Class C .75% .25% 407,992 38,527 
   $620,499 $43,428 

Sales Load. FDC may receive a front-end sales charge of up to 1.50% for selling Class A 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 a contingent deferred sales charges levied on Class A, Class T, Class B and Class C redemptions. The deferred sales charges range from 3.00% to 1.00% for Class B shares, 1.00% for Class C shares, .75% or .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

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

 Retained
by FDC 
Class A $13,328 
Class T 3,490 
Class B(a) 407 
Class C(a) 3,832 
 $21,057 

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


Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. 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-Level Average
Net Assets(a) 
Class A $142,680 .16 
Class T 78,633 .17 
Class B 1,274 .18 
Class C 67,758 .17 
Class I 363,976 .16 
 $654,321  

 (a) Annualized


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

Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $534 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. 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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $24,380.

9. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $264.

In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $1,650.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Six months ended February 29, 2016 Year ended August 31, 2015 
From net investment income   
Class A $1,089,372 $1,196,541 
Class T 554,506 690,330 
Class B 3,806 3 
Class C 230,543 – 
Class I 3,089,279 4,659,235 
Total $4,967,506 $6,546,109 
From net realized gain   
Class A $– $18,431 
Class T – 10,934 
Class B – 215 
Class C – 9,861 
Class I – 68,100 
Total $– $107,541 

11. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:

 Shares Shares Dollars Dollars 
 Six months ended February 29, 2016 Year ended August 31, 2015 Six months ended February 29, 2016 Year ended August 31, 2015 
Class A     
Shares sold 7,849,506 9,536,050 $73,181,395 $89,219,339 
Reinvestment of distributions 110,687 121,681 1,030,552 1,138,630 
Shares redeemed (5,780,451) (10,949,529) (53,915,300) (102,439,584) 
Net increase (decrease) 2,179,742 (1,291,798) $20,296,647 $(12,081,615) 
Class T     
Shares sold 1,673,125 1,879,243 $15,611,878 $17,595,238 
Reinvestment of distributions 55,692 69,901 518,719 654,822 
Shares redeemed (1,900,643) (2,777,951) (17,734,399) (26,009,778) 
Net increase (decrease) (171,826) (828,807) $(1,603,802) $(7,759,718) 
Class B     
Shares sold 32,684 42,735 $303,556 $399,209 
Reinvestment of distributions 396 22 3,664 205 
Shares redeemed (55,356) (135,082) (515,352) (1,261,842) 
Net increase (decrease) (22,276) (92,325) $(208,132) $(862,428) 
Class C     
Shares sold 2,682,263 2,346,637 $24,881,633 $21,884,227 
Reinvestment of distributions 21,373 928 197,485 8,636 
Shares redeemed (1,767,467) (4,360,719) (16,407,195) (40,704,289) 
Net increase (decrease) 936,169 (2,013,154) $8,671,923 $(18,811,426) 
Class I     
Shares sold 15,328,987 43,630,494 $143,083,389 $408,337,380 
Reinvestment of distributions 308,396 470,860 2,873,079 4,410,891 
Shares redeemed (11,199,972) (57,895,728)(a) (104,561,193) (542,178,633)(a) 
Net increase (decrease) 4,437,411 (13,794,374) $41,395,275 $(129,430,362) 

 (a) Amount includes in-kind redemptions.


12. Other.

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

13. Credit Risk.

The Fund invests a portion of its assets in structured securities of issuers backed by commercial and 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.

14. Proposed Reorganization.

The Board of Trustees of the Fund approved an Agreement and Plan of Reorganization (the Agreement) between the Fund and Short Term Bond Fund. The Agreement provides for the transfer of all the assets and the assumption of all the liabilities of the Fund in exchange for corresponding shares of Short Term Bond Fund equal in value to the net assets of the Fund on the day the reorganization is effective. The reorganization does not require shareholder approval and is expected to become effective on or about July 15, 2016. The reorganization is expected to qualify as a tax-free transaction for federal income tax purposes with no gain or loss recognized by the funds or their shareholders.

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2015 to February 29, 2016).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

 Annualized Expense Ratio-A Beginning
Account Value
September 1, 2015 		Ending
Account Value
February 29, 2016 		Expenses Paid
During Period-B
September 1, 2015
to February 29, 2016 
Class A .71%    
Actual  $1,000.00 $1,004.90 $3.54 
Hypothetical-C  $1,000.00 $1,021.33 $3.57 
Class T .72%    
Actual  $1,000.00 $1,004.90 $3.59 
Hypothetical-C  $1,000.00 $1,021.28 $3.62 
Class B 1.48%    
Actual  $1,000.00 $999.70 $7.36 
Hypothetical-C  $1,000.00 $1,017.50 $7.42 
Class C 1.57%    
Actual  $1,000.00 $999.60 $7.81 
Hypothetical-C  $1,000.00 $1,017.06 $7.87 
Class I .56%    
Actual  $1,000.00 $1,005.70 $2.79 
Hypothetical-C  $1,000.00 $1,022.08 $2.82 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 C 5% return per year before expenses


Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Advisor Short Fixed-Income Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2015 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; and (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by FMR, the sub-advisers (together with FMR, the Investment Advisers), and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) reducing management fees and total expenses for certain index funds and diversified international funds; (v) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (vi) rationalizing product lines and gaining increased efficiencies through fund mergers; (vii) launching active fixed-income exchange-traded funds; (viii) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; (ix) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (x) modifying the eligibility criteria for certain share classes to accommodate roll-over assets from employer-sponsored retirement plans; (xi) launching a new Class W of the Freedom Index Funds to attract and retain Fidelity record-kept retirement plan assets; and (xii) implementing changes to Fidelity's money market product line in response to recent money market regulatory reforms.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Fidelity Advisor Short Fixed-Income Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2014.

The Board noted that, in 2014, the ad hoc Committee on Group Fee was formed by it and other Fidelity fund boards to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. Committee focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio.  In its review of each class's total expense ratio, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the total expense ratio of each of Class A and Class T ranked below its competitive median for 2014 and the total expense ratio of each of Class B, Class C, and Class I ranked above its competitive median for 2014. The Board considered that, in general, various factors can affect total expense ratios. The Board also considered that the total expense ratio of each of Class B and Class I was above the competitive median because of high transfer agent fees due to small average account size. The Board noted that the total expense ratio of Class C was above the competitive median primarily because of higher 12b-1 fees compared to most competitor funds with Class C. The Board noted that the fund offers multiple classes, each of which has a different sales load and 12b-1 fee structure, and that the multiple structures are intended to offer a range of pricing options for the intermediary market. The Board also noted that the total expense ratios of the classes vary primarily by the level of their 12b-1 fees, although differences in transfer agent fees may also cause expenses to vary from class to class.

Fees Charged to Other Fidelity Clients.  The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted the findings of the 2013 ad hoc joint committee (created with the board of other Fidelity funds), which reviewed and compared Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that, although in some cases above the median of the universe presented for comparison, the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationship with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that in 2013, it and the boards of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total group assets increase, and for higher group fee rates as total group assets decrease (with "group assets" defined to include fund assets under FMR's management plus sector fund assets previously under FMR's management and currently managed by Fidelity SelectCo, LLC). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as group assets increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds; (v) Fidelity's voluntary waiver of its fees to maintain minimum yields for certain money market funds and classes as well as contractual waivers in place for certain funds; (vi) the methodology with respect to competitive fund data and peer group classifications; (vii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (viii) Fidelity's long-term expectations for its offerings in the workplace investing channel; (ix) new developments in the retail and institutional marketplaces; and (x) the impact of money market reform on Fidelity's money market funds. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.





Fidelity Investments

SFI-SANN-0416
1.703632.118

Fidelity® Limited Term Bond Fund
(A Class of Fidelity Advisor® Limited Term Bond Fund)



Semi-Annual Report

February 29, 2016



Fidelity Investments


Contents

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees


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. © 2016 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.



Investment Summary (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.

Quality Diversification (% of fund's net assets)

As of February 29, 2016 
   U.S. Government and U.S. Government Agency Obligations 10.0% 
   AAA 14.5% 
   AA 3.6% 
   A 26.3% 
   BBB 38.5% 
   BB and Below 6.6% 
   Not Rated 0.3% 
   Short-Term Investments and Net Other Assets 0.2% 


As of August 31, 2015 
   U.S. Government and U.S. Government Agency Obligations 7.9% 
   AAA 16.1% 
   AA 4.3% 
   A 27.8% 
   BBB 37.0% 
   BB and Below 4.7% 
   Not Rated 0.1% 
   Short-Term Investments and Net Other Assets 2.1% 


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

Weighted Average Maturity as of February 29, 2016

  6 months ago 
Years 2.7 2.9 

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 February 29, 2016

  6 months ago 
Years 2.6 2.7 

Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration.

Asset Allocation (% of fund's net assets)

As of February 29, 2016*,** 
   Corporate Bonds 70.3% 
   U.S. Government and U.S. Government Agency Obligations 10.0% 
   Asset-Backed Securities 8.4% 
   CMOs and Other Mortgage Related Securities 7.7% 
   Municipal Bonds 0.8% 
   Other Investments 2.6% 
   Short-Term Investments and Net Other Assets (Liabilities) 0.2% 


 * Foreign investments - 15.5%

 ** Futures and Swaps - 0.0%


As of August 31, 2015*,** 
   Corporate Bonds 68.9% 
   U.S. Government and U.S. Government Agency Obligations 7.9% 
   Asset-Backed Securities 9.4% 
   CMOs and Other Mortgage Related Securities 8.5% 
   Municipal Bonds 0.4% 
   Other Investments 2.8% 
   Short-Term Investments and Net Other Assets (Liabilities) 2.1% 


 * Foreign investments - 15.6%

 ** Futures and Swaps - 0.0%


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.

Percentages shown as 0.0% may reflect amounts less than 0.05%.

Investments February 29, 2016 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 69.7%   
 Principal Amount Value 
CONSUMER DISCRETIONARY - 6.9%   
Automobiles - 2.3%   
American Honda Finance Corp.:   
1.2% 7/14/17 $5,000,000 $4,989,465 
1.7% 2/22/19 1,918,000 1,920,835 
2.125% 10/10/18 500,000 505,172 
Daimler Finance North America LLC:   
1.375% 8/1/17 (a) 2,000,000 1,987,328 
1.45% 8/1/16 (a) 1,461,000 1,461,260 
1.65% 5/18/18 (a) 3,000,000 2,962,203 
2.25% 3/2/20 (a) 3,020,000 2,975,839 
2.375% 8/1/18 (a) 1,000,000 1,005,376 
General Motors Financial Co., Inc.:   
2.4% 4/10/18 3,000,000 2,947,344 
3% 9/25/17 3,000,000 3,002,646 
3.15% 1/15/20 5,000,000 4,885,795 
3.2% 7/13/20 5,000,000 4,833,350 
4.2% 3/1/21 3,000,000 3,004,503 
Volkswagen Group of America Finance LLC:   
1.25% 5/23/17 (a) 1,000,000 982,470 
2.4% 5/22/20 (a) 3,098,000 2,937,582 
Volkswagen International Finance NV:   
1.6% 11/20/17 (a) 620,000 607,431 
2.125% 11/20/18 (a) 1,500,000 1,451,678 
2.375% 3/22/17 (a) 600,000 599,731 
  43,060,008 
Diversified Consumer Services - 0.0%   
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 1,020,000 1,126,623 
Hotels, Restaurants & Leisure - 0.3%   
McDonald's Corp.:   
2.1% 12/7/18 742,000 751,582 
2.2% 5/26/20 5,000,000 5,046,465 
2.75% 12/9/20 345,000 355,023 
  6,153,070 
Household Durables - 0.4%   
D.R. Horton, Inc.:   
3.75% 3/1/19 2,000,000 2,035,000 
4% 2/15/20 3,000,000 3,052,500 
Toll Brothers Finance Corp. 4% 12/31/18 2,500,000 2,556,250 
  7,643,750 
Media - 3.9%   
21st Century Fox America, Inc. 6.9% 3/1/19 750,000 851,442 
British Sky Broadcasting Group PLC 2.625% 9/16/19 (a) 3,000,000 3,011,283 
CBS Corp. 2.3% 8/15/19 1,500,000 1,507,266 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 3.579% 7/23/20 (a) 10,000,000 10,024,900 
Comcast Corp.:   
5.7% 5/15/18 42,000 45,824 
6.3% 11/15/17 6,000,000 6,491,640 
COX Communications, Inc. 6.25% 6/1/18 (a) 4,000,000 4,283,500 
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:   
2.4% 3/15/17 2,700,000 2,726,544 
5.875% 10/1/19 5,034,000 5,631,294 
Discovery Communications LLC 5.05% 6/1/20 322,000 337,086 
NBCUniversal Enterprise, Inc. 1.974% 4/15/19 (a) 3,000,000 3,018,849 
Thomson Reuters Corp.:   
0.875% 5/23/16 278,000 277,708 
1.65% 9/29/17 5,050,000 5,028,633 
Time Warner Cable, Inc.:   
5.85% 5/1/17 4,996,000 5,187,806 
6.75% 7/1/18 1,141,000 1,243,342 
8.25% 4/1/19 500,000 571,677 
Time Warner, Inc.:   
2.1% 6/1/19 2,000,000 1,982,546 
6.875% 6/15/18 5,095,000 5,642,483 
Viacom, Inc.:   
2.2% 4/1/19 6,000,000 5,887,974 
3.5% 4/1/17 455,000 459,508 
6.125% 10/5/17 3,179,000 3,337,079 
Walt Disney Co. 1.85% 5/30/19 6,000,000 6,110,034 
  73,658,418 
TOTAL CONSUMER DISCRETIONARY  131,641,869 
CONSUMER STAPLES - 6.1%   
Beverages - 1.1%   
Anheuser-Busch InBev Finance, Inc.:   
1.9% 2/1/19 5,000,000 5,047,390 
2.15% 2/1/19 1,500,000 1,521,384 
2.65% 2/1/21 3,890,000 3,959,207 
3.3% 2/1/23 4,190,000 4,307,245 
Heineken NV 1.4% 10/1/17 (a) 321,000 320,893 
PepsiCo, Inc. 7.9% 11/1/18 815,000 948,238 
SABMiller Holdings, Inc.:   
2.2% 8/1/18 (a) 2,310,000 2,322,703 
2.45% 1/15/17 (a) 1,280,000 1,290,098 
  19,717,158 
Food & Staples Retailing - 1.1%   
CVS Health Corp.:   
1.9% 7/20/18 1,549,000 1,555,249 
2.25% 12/5/18 8,376,000 8,462,742 
2.25% 8/12/19 5,000,000 5,058,430 
2.8% 7/20/20 1,496,000 1,531,983 
Kroger Co. 1.1496% 10/17/16 (b) 5,000,000 5,002,120 
  21,610,524 
Food Products - 1.8%   
Cargill, Inc. 6% 11/27/17 (a) 106,000 113,511 
ConAgra Foods, Inc. 1.9% 1/25/18 2,222,000 2,220,116 
General Mills, Inc.:   
1.4% 10/20/17 3,000,000 3,000,747 
2.2% 10/21/19 2,000,000 2,020,428 
5.7% 2/15/17 5,000,000 5,216,580 
Kraft Foods Group, Inc.:   
2.25% 6/5/17 610,000 614,731 
5.375% 2/10/20 5,000,000 5,533,035 
The J.M. Smucker Co.:   
1.75% 3/15/18 5,874,000 5,855,291 
2.5% 3/15/20 1,964,000 1,980,482 
Tyson Foods, Inc. 2.65% 8/15/19 7,000,000 7,094,591 
William Wrigley Jr. Co. 2% 10/20/17 (a) 428,000 429,018 
  34,078,530 
Tobacco - 2.1%   
Altria Group, Inc. 2.625% 1/14/20 5,000,000 5,093,715 
BAT International Finance PLC:   
1.85% 6/15/18 (a) 7,000,000 7,028,826 
2.75% 6/15/20 (a) 3,160,000 3,227,204 
Imperial Tobacco Finance PLC:   
2.05% 2/11/18 (a) 1,906,000 1,904,205 
2.05% 7/20/18 (a) 2,866,000 2,852,217 
2.95% 7/21/20 (a) 3,000,000 3,042,849 
Philip Morris International, Inc.:   
1.25% 8/11/17 2,907,000 2,913,686 
1.875% 1/15/19 2,641,000 2,672,975 
2.15% 2/25/21 3,088,000 3,069,932 
Reynolds American, Inc.:   
2.3% 6/12/18 5,704,000 5,764,970 
3.25% 6/12/20 1,162,000 1,208,456 
4% 6/12/22 1,077,000 1,162,732 
6.75% 6/15/17 513,000 550,695 
  40,492,462 
TOTAL CONSUMER STAPLES  115,898,674 
ENERGY - 6.4%   
Energy Equipment & Services - 1.2%   
DCP Midstream LLC 5.35% 3/15/20 (a) 6,738,000 5,074,105 
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20 768,000 775,116 
Halliburton Co. 2.7% 11/15/20 10,247,000 10,100,007 
Nabors Industries, Inc. 2.35% 9/15/16 257,000 254,406 
National Oilwell Varco, Inc. 1.35% 12/1/17 620,000 601,065 
Noble Holding International Ltd.:   
2.5% 3/15/17 2,062,000 1,972,447 
4% 3/16/18 102,000 81,600 
Petrofac Ltd. 3.4% 10/10/18 (a) 1,000,000 848,196 
Transocean, Inc. 3% 10/15/17 (b) 3,500,000 3,150,000 
  22,856,942 
Oil, Gas & Consumable Fuels - 5.2%   
Anadarko Petroleum Corp.:   
5.95% 9/15/16 45,000 45,258 
6.375% 9/15/17 555,000 563,897 
BG Energy Capital PLC 2.875% 10/15/16 (a) 620,000 623,156 
BP Capital Markets PLC:   
1.375% 5/10/18 5,000,000 4,900,130 
2.248% 11/1/16 620,000 623,230 
2.521% 1/15/20 4,688,000 4,602,936 
Canadian Natural Resources Ltd. 1.75% 1/15/18 415,000 379,270 
Cenovus Energy, Inc. 5.7% 10/15/19 297,000 262,092 
Chevron Corp. 1.961% 3/3/20 4,000,000 3,945,772 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 (a) 2,107,000 2,021,527 
3.3% 6/1/20 (a) 1,439,000 1,347,461 
ConocoPhillips Co.:   
1.5% 5/15/18 4,373,000 4,174,816 
2.2% 5/15/20 1,962,000 1,813,934 
DCP Midstream Operating LP:   
2.5% 12/1/17 292,000 266,520 
2.7% 4/1/19 821,000 673,348 
Devon Energy Corp. 2.25% 12/15/18 3,484,000 3,036,045 
El Paso Natural Gas Co. 5.95% 4/15/17 21,000 21,247 
Enable Midstream Partners LP 2.4% 5/15/19 174,000 134,048 
Enbridge, Inc. 0.8662% 6/2/17 (b) 2,613,000 2,497,215 
Encana Corp. 6.5% 5/15/19 5,000,000 4,106,895 
EnLink Midstream Partners LP 2.7% 4/1/19 785,000 612,715 
Enterprise Products Operating LP:   
1.65% 5/7/18 3,631,000 3,508,058 
2.55% 10/15/19 178,000 172,265 
Exxon Mobil Corp.:   
2.25% 3/1/21 3,780,000 3,780,000 
2.75% 3/1/23 2,954,000 2,954,000 
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (a) 20,000 20,233 
Kinder Morgan Energy Partners LP 2.65% 2/1/19 1,737,000 1,624,635 
Kinder Morgan, Inc.:   
2% 12/1/17 393,000 375,315 
3.05% 12/1/19 3,758,000 3,469,198 
Marathon Petroleum Corp.:   
2.7% 12/14/18 436,000 422,271 
3.5% 3/1/16 875,000 875,000 
Petro-Canada 6.05% 5/15/18 3,326,000 3,402,714 
Petrobras Global Finance BV 3.25% 3/17/17 3,500,000 3,391,500 
Petrobras International Finance Co. Ltd. 5.875% 3/1/18 3,000,000 2,814,150 
Petroleos Mexicanos:   
3.125% 1/23/19 77,000 74,866 
3.5% 7/18/18 5,000,000 4,962,500 
3.5% 7/23/20 (a) 1,355,000 1,277,088 
5.5% 2/4/19 (a) 2,000,000 2,068,000 
6.375% 2/4/21 (a) 2,000,000 2,079,500 
Phillips 66 Co. 2.95% 5/1/17 1,260,000 1,275,823 
Plains All American Pipeline LP/PAA Finance Corp.:   
2.6% 12/15/19 3,000,000 2,662,155 
5.75% 1/15/20 962,000 927,449 
Schlumberger Investment SA 1.25% 8/1/17 (a) 1,000,000 982,971 
Shell International Finance BV 2.125% 5/11/20 2,287,000 2,227,234 
Southwestern Energy Co.:   
3.3% 1/23/18 2,476,000 1,782,720 
4.05% 1/23/20 864,000 557,280 
Spectra Energy Capital, LLC 5.65% 3/1/20 28,000 27,963 
Spectra Energy Partners, LP 2.95% 9/25/18 90,000 88,608 
Suncor Energy, Inc. 6.1% 6/1/18 944,000 968,638 
Total Capital International SA 2.125% 1/10/19 2,000,000 1,994,442 
TransCanada PipeLines Ltd.:   
1.4111% 1/12/18 (b) 2,500,000 2,454,215 
1.625% 11/9/17 3,000,000 2,947,137 
1.875% 1/12/18 3,000,000 2,942,763 
3.125% 1/15/19 1,693,000 1,703,783 
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 394,000 394,288 
Western Gas Partners LP:   
2.6% 8/15/18 1,257,000 1,098,480 
5.375% 6/1/21 600,000 512,543 
  99,471,297 
TOTAL ENERGY  122,328,239 
FINANCIALS - 33.4%   
Banks - 16.2%   
ABN AMRO Bank NV 2.5% 10/30/18 (a) 4,000,000 4,036,288 
Australia & New Zealand Banking Group Ltd.:   
1.45% 5/15/18 570,000 566,226 
2.25% 6/13/19 2,000,000 2,008,374 
Banco Nacional de Desenvolvimento Economico e Social:   
3.375% 9/26/16 (a) 520,000 518,700 
4% 4/14/19 (a) 2,575,000 2,369,000 
6.369% 6/16/18(a) 962,000 967,291 
Bank of America Corp.:   
1.7% 8/25/17 4,428,000 4,406,537 
2% 1/11/18 11,200,000 11,160,733 
2.25% 4/21/20 6,000,000 5,880,714 
2.6% 1/15/19 7,495,000 7,530,421 
2.65% 4/1/19 7,100,000 7,136,210 
5.75% 12/1/17 1,150,000 1,219,627 
Bank of Nova Scotia 2.8% 7/21/21 2,000,000 2,037,454 
Bank of Tokyo-Mitsubishi UFJ Ltd.:   
1.65% 2/26/18 (a) 590,000 587,812 
2.3% 3/5/20 (a) 3,000,000 2,979,918 
2.35% 9/8/19 (a) 3,050,000 3,070,072 
2.7% 9/9/18 (a) 500,000 507,476 
Barclays PLC:   
2% 3/16/18 5,000,000 4,902,945 
2.75% 11/8/19 2,831,000 2,779,985 
2.875% 6/8/20 3,000,000 2,875,242 
3.25% 1/12/21 2,046,000 1,972,520 
BNP Paribas 2.375% 9/14/17 6,000,000 6,057,180 
BNP Paribas SA 2.375% 5/21/20 3,000,000 2,963,892 
BPCE SA:   
1.625% 2/10/17 450,000 449,508 
2.5% 7/15/19 2,000,000 2,012,936 
Capital One NA:   
2.35% 8/17/18 500,000 497,679 
2.4% 9/5/19 2,000,000 1,973,672 
CIT Group, Inc. 3.875% 2/19/19 5,090,000 5,064,550 
Citigroup, Inc.:   
0.747% 6/9/16 (b) 3,000,000 2,995,281 
1.55% 8/14/17 2,000,000 1,989,300 
1.7% 4/27/18 1,500,000 1,484,054 
1.75% 5/1/18 2,870,000 2,841,601 
1.85% 11/24/17 3,000,000 2,990,352 
2.15% 7/30/18 2,000,000 1,992,866 
2.4% 2/18/20 4,000,000 3,964,536 
2.5% 9/26/18 1,500,000 1,509,650 
2.5% 7/29/19 2,000,000 2,004,824 
2.55% 4/8/19 3,000,000 3,009,075 
2.65% 10/26/20 3,000,000 2,995,935 
4.4% 6/10/25 2,604,000 2,596,412 
Citizens Bank NA:   
2.3% 12/3/18 1,384,000 1,385,749 
2.45% 12/4/19 3,000,000 2,976,399 
Comerica, Inc. 2.125% 5/23/19 345,000 339,321 
Commonwealth Bank of Australia:   
2.25% 3/13/19 750,000 755,015 
2.3% 9/6/19 2,000,000 2,013,424 
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 1.7% 3/19/18 2,000,000 1,997,872 
Credit Agricole SA 2.75% 6/10/20 (a) 8,000,000 8,052,856 
Credit Suisse AG 6% 2/15/18 3,680,000 3,896,012 
Credit Suisse New York Branch:   
1.75% 1/29/18 2,000,000 1,987,596 
2.3% 5/28/19 5,750,000 5,703,437 
3% 10/29/21 1,500,000 1,501,599 
Discover Bank:   
2% 2/21/18 5,920,000 5,848,623 
2.6% 11/13/18 2,000,000 1,997,984 
Fifth Third Bancorp:   
2.3% 3/1/19 279,000 279,360 
2.875% 7/27/20 3,200,000 3,225,056 
4.5% 6/1/18 3,024,000 3,182,355 
5.45% 1/15/17 291,000 300,530 
Fifth Third Bank 2.375% 4/25/19 1,000,000 1,004,531 
First Horizon National Corp. 3.5% 12/15/20 3,000,000 2,978,658 
HBOS PLC 6.75% 5/21/18 (a) 509,000 547,333 
HSBC Bank PLC 1.5% 5/15/18 (a) 1,570,000 1,560,379 
HSBC U.S.A., Inc.:   
2.375% 11/13/19 3,000,000 2,968,404 
2.625% 9/24/18 262,000 263,510 
Huntington Bancshares, Inc. 7% 12/15/20 180,000 213,584 
Huntington National Bank 2.2% 4/1/19 1,000,000 991,448 
ING Bank NV 1.8% 3/16/18 (a) 3,000,000 2,994,819 
Intesa Sanpaolo SpA 2.375% 1/13/17 10,750,000 10,784,121 
JPMorgan Chase & Co.:   
1.35% 2/15/17 2,500,000 2,500,718 
1.625% 5/15/18 4,500,000 4,477,964 
2% 8/15/17 4,500,000 4,520,547 
2.2% 10/22/19 10,058,000 10,052,247 
2.25% 1/23/20 3,000,000 2,993,340 
2.35% 1/28/19 1,942,000 1,961,261 
2.55% 10/29/20 3,000,000 3,006,915 
2.75% 6/23/20 3,000,000 3,032,724 
KeyCorp. 2.3% 12/13/18 2,000,000 2,000,810 
La Caisse Centrale 1.75% 1/29/18 (a) 4,000,000 3,971,088 
Lloyds Bank PLC 1.75% 3/16/18 3,000,000 2,985,951 
Manufacturers & Traders Trust Co. 2.1% 2/6/20 3,000,000 2,958,391 
Mitsubishi UFJ Financial Group, Inc. 2.95% 3/1/21 4,000,000 4,035,252 
Mizuho Bank Ltd.:   
1.55% 10/17/17 (a) 1,940,000 1,928,211 
1.8% 3/26/18 (a) 1,500,000 1,492,547 
2.45% 4/16/19 (a) 1,400,000 1,409,345 
2.65% 9/25/19 (a) 2,000,000 2,027,798 
MUFG Americas Holdings Corp. 2.25% 2/10/20 1,241,000 1,225,025 
Nordea Bank AB 2.375% 4/4/19 (a) 1,000,000 1,007,280 
PNC Bank NA:   
1.5% 2/23/18 2,100,000 2,094,303 
1.8% 11/5/18 2,000,000 1,999,910 
2.4% 10/18/19 3,000,000 3,041,841 
Regions Financial Corp.:   
2% 5/15/18 5,330,000 5,282,739 
3.2% 2/8/21 4,000,000 3,980,616 
Royal Bank of Canada:   
1.5% 1/16/18 2,720,000 2,716,176 
4.65% 1/27/26 2,144,000 2,162,595 
Royal Bank of Scotland Group PLC 1.5431% 3/31/17 (b) 8,715,000 8,687,260 
Sumitomo Mitsui Banking Corp.:   
1.8% 7/18/17 940,000 941,262 
2.25% 7/11/19 3,500,000 3,502,478 
2.45% 1/10/19 590,000 595,455 
2.45% 1/16/20 3,000,000 3,001,353 
2.65% 7/23/20 3,000,000 3,029,907 
SunTrust Banks, Inc.:   
2.35% 11/1/18 924,000 926,272 
2.5% 5/1/19 550,000 552,672 
3% 3/3/21 2,828,000 2,821,863 
3.5% 1/20/17 1,378,000 1,401,239 
Svenska Handelsbanken AB 1.625% 3/21/18 2,000,000 1,994,100 
The Toronto-Dominion Bank:   
2.25% 11/5/19 2,000,000 2,022,318 
2.625% 9/10/18 1,200,000 1,223,944 
Wells Fargo & Co.:   
1.5% 1/16/18 1,300,000 1,297,769 
2.15% 1/15/19 5,500,000 5,538,621 
2.6% 7/22/20 3,000,000 3,034,137 
  308,093,067 
Capital Markets - 4.5%   
Deutsche Bank AG London Branch:   
1.4% 2/13/17 1,000,000 993,530 
2.5% 2/13/19 2,250,000 2,201,945 
Goldman Sachs Group, Inc.:   
1.312% 12/15/17 (b) 3,000,000 2,986,422 
2.375% 1/22/18 8,850,000 8,903,658 
2.625% 1/31/19 13,000,000 13,098,852 
5.95% 1/18/18 1,693,000 1,805,222 
6.15% 4/1/18 402,000 433,292 
Lazard Group LLC:   
4.25% 11/14/20 543,000 557,173 
6.85% 6/15/17 125,000 131,425 
Legg Mason, Inc. 2.7% 7/15/19 2,000,000 2,027,170 
Merrill Lynch & Co., Inc.:   
6.4% 8/28/17 40,000 42,433 
6.875% 4/25/18 726,000 792,950 
Morgan Stanley:   
1.875% 1/5/18 2,000,000 1,995,018 
2.125% 4/25/18 3,580,000 3,578,965 
2.375% 7/23/19 9,660,000 9,638,941 
2.5% 1/24/19 1,750,000 1,759,051 
2.65% 1/27/20 11,000,000 10,983,522 
4.75% 3/22/17 2,000,000 2,065,596 
4.875% 11/1/22 2,000,000 2,108,646 
5.5% 1/26/20 2,000,000 2,197,642 
5.625% 9/23/19 112,000 122,919 
5.95% 12/28/17 383,000 408,970 
7.3% 5/13/19 603,000 689,615 
UBS AG Stamford Branch:   
1.3031% 3/26/18 (b) 3,000,000 2,992,602 
1.375% 6/1/17 5,675,000 5,660,688 
1.375% 8/14/17 6,700,000 6,674,969 
  84,851,216 
Consumer Finance - 4.4%   
Ally Financial, Inc.:   
3.25% 2/13/18 3,000,000 2,970,000 
3.25% 11/5/18 3,000,000 2,947,500 
American Express Co. 1.55% 5/22/18 3,000,000 2,968,890 
American Express Credit Corp. 2.125% 3/18/19 5,520,000 5,521,932 
American Honda Finance Corp. 1.5% 9/11/17 (a) 620,000 620,854 
Capital One Financial Corp. 2.45% 4/24/19 5,450,000 5,449,995 
Discover Financial Services 6.45% 6/12/17 3,381,000 3,545,655 
Ford Motor Credit Co. LLC:   
1.461% 3/27/17 2,000,000 1,986,500 
1.684% 9/8/17 1,000,000 985,346 
2.145% 1/9/18 2,500,000 2,487,068 
2.24% 6/15/18 6,000,000 5,913,252 
2.597% 11/4/19 5,000,000 4,926,150 
2.875% 10/1/18 2,500,000 2,501,283 
3% 6/12/17 4,500,000 4,537,733 
3.157% 8/4/20 3,000,000 2,987,739 
General Electric Capital Corp. 2.2% 1/9/20 2,577,000 2,628,682 
Hyundai Capital America:   
1.45% 2/6/17 (a) 632,000 629,895 
2% 3/19/18 (a) 1,891,000 1,882,540 
2.125% 10/2/17 (a) 2,437,000 2,438,972 
2.55% 2/6/19 (a) 4,759,000 4,773,653 
2.6% 3/19/20 (a) 2,000,000 2,001,038 
2.875% 8/9/18 (a) 2,606,000 2,625,584 
John Deere Capital Corp. 1.6% 7/13/18 590,000 590,660 
Synchrony Financial:   
1.875% 8/15/17 173,000 171,112 
2.6% 1/15/19 3,000,000 2,975,190 
2.7% 2/3/20 2,500,000 2,450,305 
3% 8/15/19 3,000,000 3,004,803 
Toyota Motor Credit Corp.:   
1.55% 7/13/18 5,000,000 5,000,930 
2% 10/24/18 2,500,000 2,526,355 
  84,049,616 
Diversified Financial Services - 1.4%   
AIG Global Funding 1.65% 12/15/17 (a) 2,000,000 1,995,132 
Berkshire Hathaway Finance Corp. 1.6% 5/15/17 620,000 624,668 
Brixmor Operating Partnership LP 3.875% 8/15/22 1,161,000 1,079,701 
GE Capital International Funding Co. 2.342% 11/15/20 (a) 11,630,000 11,747,835 
IntercontinentalExchange, Inc.:   
2.5% 10/15/18 347,000 351,491 
2.75% 12/1/20 619,000 629,216 
McGraw Hill Financial, Inc. 2.5% 8/15/18 1,049,000 1,054,303 
Moody's Corp. 2.75% 7/15/19 8,000,000 8,153,616 
  25,635,962 
Insurance - 3.9%   
ACE INA Holdings, Inc. 2.3% 11/3/20 1,173,000 1,179,925 
AFLAC, Inc. 2.4% 3/16/20 6,000,000 6,061,296 
AIA Group Ltd. 2.25% 3/11/19 (a) 3,529,000 3,531,064 
American International Group, Inc.:   
2.3% 7/16/19 5,304,000 5,260,921 
3.3% 3/1/21 987,000 997,892 
4.875% 6/1/22 1,484,000 1,583,444 
5.85% 1/16/18 1,910,000 2,036,614 
Aon Corp.:   
3.125% 5/27/16 2,000,000 2,009,400 
5% 9/30/20 2,178,000 2,402,872 
Aon PLC 2.8% 3/15/21 7,000,000 7,050,967 
Assurant, Inc. 2.5% 3/15/18 2,000,000 2,000,926 
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (a)(b) 259,000 253,820 
Hartford Financial Services Group, Inc. 5.375% 3/15/17 18,000 18,653 
Liberty Mutual Group, Inc. 5% 6/1/21 (a) 5,599,000 6,039,680 
Marsh & McLennan Companies, Inc.:   
2.35% 9/10/19 495,000 498,586 
2.35% 3/6/20 5,000,000 5,007,650 
2.55% 10/15/18 517,000 528,825 
MassMutual Global Funding II 2.35% 4/9/19 (a) 1,000,000 1,012,422 
MetLife, Inc.:   
1.756% 12/15/17 (b) 269,000 269,107 
1.903% 12/15/17 (b) 180,000 180,075 
Metropolitan Life Global Funding I:   
1.3% 4/10/17 (a) 1,500,000 1,500,198 
1.5% 1/10/18 (a) 4,431,000 4,399,890 
2% 4/14/20 (a) 3,000,000 2,952,063 
New York Life Global Funding 1.55% 11/2/18 (a) 3,500,000 3,486,546 
Pacific LifeCorp 6% 2/10/20 (a) 1,579,000 1,766,724 
Pricoa Global Funding I:   
1.15% 11/25/16 (a) 2,000,000 1,999,230 
1.6% 5/29/18 (a) 967,000 961,402 
Principal Life Global Funding II 2.375% 9/11/19 (a) 2,200,000 2,212,285 
Prudential Financial, Inc. 3.5% 5/15/24 2,550,000 2,499,112 
Symetra Financial Corp. 6.125% 4/1/16 (a) 892,000 895,440 
TIAA Asset Management Finance LLC 2.95% 11/1/19 (a) 280,000 281,411 
Unum Group:   
5.625% 9/15/20 2,743,000 3,003,489 
7.125% 9/30/16 704,000 725,257 
  74,607,186 
Real Estate Investment Trusts - 1.5%   
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22 189,000 201,461 
American Campus Communities Operating Partnership LP 3.35% 10/1/20 1,272,000 1,291,753 
Boston Properties, Inc.:   
3.7% 11/15/18 1,787,000 1,851,579 
5.875% 10/15/19 446,000 495,049 
DDR Corp.:   
4.75% 4/15/18 1,634,000 1,699,563 
7.5% 4/1/17 389,000 410,565 
Digital Delta Holdings LLC 3.4% 10/1/20 (a) 1,735,000 1,765,408 
Duke Realty LP:   
5.95% 2/15/17 354,000 367,509 
6.75% 3/15/20 35,000 40,124 
8.25% 8/15/19 7,000 8,297 
Equity One, Inc. 6% 9/15/17 509,000 536,860 
ERP Operating LP:   
2.375% 7/1/19 1,641,000 1,648,826 
3.375% 6/1/25 3,000,000 3,052,035 
5.75% 6/15/17 442,000 463,662 
Federal Realty Investment Trust:   
2.55% 1/15/21 5,000,000 5,088,395 
5.9% 4/1/20 5,000 5,734 
Government Properties Income Trust 3.75% 8/15/19 3,000,000 3,076,506 
Health Care Property Investors, Inc. 6% 1/30/17 750,000 776,806 
Health Care REIT, Inc.:   
2.25% 3/15/18 250,000 249,343 
4.7% 9/15/17 2,436,000 2,536,980 
HRPT Properties Trust:   
6.25% 6/15/17 186,000 191,489 
6.65% 1/15/18 95,000 100,034 
Select Income REIT 2.85% 2/1/18 597,000 595,066 
Simon Property Group LP 2.2% 2/1/19 462,000 467,136 
United Dominion Realty Trust, Inc. 4.25% 6/1/18 431,000 450,828 
  27,371,008 
Real Estate Management & Development - 1.5%   
BioMed Realty LP 3.85% 4/15/16 1,379,000 1,380,294 
Brandywine Operating Partnership LP:   
4.95% 4/15/18 51,000 53,290 
5.7% 5/1/17 369,000 383,280 
6% 4/1/16 2,124,000 2,131,217 
Essex Portfolio LP 5.5% 3/15/17 2,046,000 2,122,643 
Liberty Property LP:   
4.75% 10/1/20 1,045,000 1,126,989 
5.5% 12/15/16 2,260,000 2,324,824 
6.625% 10/1/17 2,707,000 2,880,890 
Mack-Cali Realty LP:   
2.5% 12/15/17 439,000 434,917 
4.5% 4/18/22 185,000 180,117 
7.75% 8/15/19 1,298,000 1,424,996 
Prime Property Funding, Inc. 5.7% 4/15/17 (a) 405,000 417,554 
Reckson Operating Partnership LP 6% 3/31/16 152,000 152,500 
Regency Centers LP 5.875% 6/15/17 187,000 196,458 
Tanger Properties LP 6.125% 6/1/20 606,000 689,085 
Ventas Realty LP:   
1.25% 4/17/17 1,882,000 1,866,673 
1.55% 9/26/16 346,000 346,160 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 1,743,000 1,734,079 
4% 4/30/19 6,000,000 6,266,298 
Washington Prime Group LP 3.85% 4/1/20 2,090,000 2,153,477 
  28,265,741 
TOTAL FINANCIALS  632,873,796 
HEALTH CARE - 3.8%   
Biotechnology - 1.5%   
AbbVie, Inc.:   
1.75% 11/6/17 1,062,000 1,061,398 
1.8% 5/14/18 3,972,000 3,960,811 
2.5% 5/14/20 7,349,000 7,344,106 
Amgen, Inc.:   
0.9982% 5/22/17 (b) 3,000,000 2,991,537 
1.25% 5/22/17 1,500,000 1,496,820 
2.125% 5/1/20 1,618,000 1,607,023 
2.2% 5/22/19 4,290,000 4,345,178 
5.85% 6/1/17 446,000 469,860 
Celgene Corp.:   
2.125% 8/15/18 1,549,000 1,555,995 
2.875% 8/15/20 3,000,000 3,041,232 
  27,873,960 
Health Care Equipment & Supplies - 0.4%   
Becton, Dickinson & Co.:   
1.8% 12/15/17 1,486,000 1,487,877 
2.675% 12/15/19 329,000 335,914 
Medtronic, Inc.:   
1.5% 3/15/18 1,770,000 1,774,209 
2.5% 3/15/20 2,200,000 2,253,757 
Zimmer Biomet Holdings, Inc. 2% 4/1/18 2,702,000 2,690,211 
  8,541,968 
Health Care Providers & Services - 1.0%   
Cardinal Health, Inc. 1.95% 6/15/18 462,000 462,152 
Coventry Health Care, Inc. 5.95% 3/15/17 264,000 276,071 
Express Scripts Holding Co.:   
1.25% 6/2/17 1,500,000 1,492,229 
2.25% 6/15/19 1,000,000 993,543 
McKesson Corp. 2.284% 3/15/19 686,000 688,483 
UnitedHealth Group, Inc.:   
1.4% 10/15/17 2,128,000 2,130,296 
1.9% 7/16/18 3,000,000 3,028,026 
2.125% 3/15/21 3,000,000 2,999,637 
2.7% 7/15/20 1,361,000 1,398,466 
2.875% 12/15/21 2,000,000 2,053,886 
WellPoint, Inc.:   
1.875% 1/15/18 326,000 325,322 
2.25% 8/15/19 2,950,000 2,932,188 
  18,780,299 
Life Sciences Tools & Services - 0.2%   
Thermo Fisher Scientific, Inc.:   
1.3% 2/1/17 136,000 135,518 
2.15% 12/14/18 881,000 881,393 
2.4% 2/1/19 3,086,000 3,096,063 
  4,112,974 
Pharmaceuticals - 0.7%   
Actavis Funding SCS:   
1.3% 6/15/17 2,400,000 2,387,438 
2.35% 3/12/18 3,000,000 3,018,123 
2.45% 6/15/19 352,000 353,012 
3% 3/12/20 1,157,000 1,176,914 
Bayer U.S. Finance LLC:   
1.5% 10/6/17 (a) 1,863,000 1,866,385 
2.375% 10/8/19 (a) 1,481,000 1,502,152 
Mylan, Inc. 1.35% 11/29/16 160,000 158,895 
Perrigo Co. PLC 1.3% 11/8/16 200,000 198,841 
Perrigo Finance PLC 3.5% 12/15/21 263,000 260,641 
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 210,000 210,180 
Zoetis, Inc.:   
1.875% 2/1/18 1,616,000 1,598,592 
3.45% 11/13/20 493,000 502,205 
  13,233,378 
TOTAL HEALTH CARE  72,542,579 
INDUSTRIALS - 1.7%   
Aerospace & Defense - 0.8%   
BAE Systems Holdings, Inc. 2.85% 12/15/20 (a) 5,615,000 5,676,552 
L-3 Communications Corp. 1.5% 5/28/17 3,685,000 3,635,606 
Lockheed Martin Corp. 2.5% 11/23/20 2,361,000 2,402,596 
The Boeing Co. 1.65% 10/30/20 3,000,000 2,963,865 
  14,678,619 
Airlines - 0.0%   
Continental Airlines, Inc.:   
6.648% 3/15/19 131,410 133,539 
6.795% 2/2/20 2,618 2,716 
6.9% 7/2/19 24,663 25,080 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 151,811 155,439 
8.36% 1/20/19 96,657 99,741 
  416,515 
Industrial Conglomerates - 0.7%   
Covidien International Finance SA 6% 10/15/17 442,000 473,015 
Danaher Corp.:   
1.65% 9/15/18 3,976,000 3,999,498 
2.4% 9/15/20 619,000 632,000 
Roper Technologies, Inc.:   
2.05% 10/1/18 2,919,000 2,904,545 
3% 12/15/20 5,100,000 5,152,765 
  13,161,823 
Machinery - 0.0%   
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 263,000 261,329 
Trading Companies & Distributors - 0.2%   
Air Lease Corp.:   
2.125% 1/15/18 414,000 404,168 
2.625% 9/4/18 1,628,000 1,579,689 
3.75% 2/1/22 1,228,000 1,141,008 
3.875% 4/1/21 500,000 483,750 
4.75% 3/1/20 605,000 615,588 
  4,224,203 
TOTAL INDUSTRIALS  32,742,489 
INFORMATION TECHNOLOGY - 2.1%   
Communications Equipment - 0.4%   
Cisco Systems, Inc.:   
1.65% 6/15/18 3,000,000 3,021,297 
2.125% 3/1/19 1,500,000 1,531,863 
2.45% 6/15/20 3,000,000 3,073,731 
  7,626,891 
Electronic Equipment & Components - 0.5%   
Amphenol Corp. 1.55% 9/15/17 1,426,000 1,422,150 
Tyco Electronics Group SA:   
2.35% 8/1/19 3,000,000 3,010,647 
2.375% 12/17/18 99,000 99,440 
6.55% 10/1/17 4,476,000 4,805,832 
  9,338,069 
IT Services - 0.4%   
MasterCard, Inc. 2% 4/1/19 289,000 293,400 
The Western Union Co.:   
2.875% 12/10/17 773,000 786,382 
3.65% 8/22/18 3,111,000 3,176,238 
Xerox Corp.:   
2.75% 3/15/19 2,585,000 2,459,338 
2.95% 3/15/17 1,057,000 1,059,252 
  7,774,610 
Software - 0.4%   
Oracle Corp.:   
2.25% 10/8/19 1,552,000 1,590,133 
2.5% 5/15/22 5,000,000 5,028,325 
  6,618,458 
Technology Hardware, Storage & Peripherals - 0.4%   
Apple, Inc. 2.85% 5/6/21 850,000 883,223 
Hewlett Packard Enterprise Co.:   
2.85% 10/5/18 (a) 4,000,000 4,001,316 
3.6% 10/15/20 (a) 3,000,000 2,991,930 
  7,876,469 
TOTAL INFORMATION TECHNOLOGY  39,234,497 
MATERIALS - 1.4%   
Chemicals - 0.7%   
Albemarle Corp. U.S. 3% 12/1/19 1,321,000 1,293,766 
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (a) 5,340,000 5,247,266 
Ecolab, Inc.:   
1.45% 12/8/17 335,000 333,324 
1.55% 1/12/18 2,500,000 2,489,298 
Monsanto Co. 2.125% 7/15/19 3,000,000 3,017,427 
Sherwin-Williams Co. 1.35% 12/15/17 620,000 618,932 
  13,000,013 
Metals & Mining - 0.7%   
Anglo American Capital PLC:   
1.572% 4/15/16 (a)(b) 1,624,000 1,600,510 
3.625% 5/14/20 (a) 1,513,000 1,202,835 
Corporacion Nacional del Cobre de Chile (Codelco) 3.875% 11/3/21 (a) 630,000 633,211 
Freeport-McMoRan, Inc.:   
2.3% 11/14/17 670,000 613,050 
2.375% 3/15/18 4,000,000 3,445,000 
Rio Tinto Finance (U.S.A.) PLC 1.625% 8/21/17 2,440,000 2,390,387 
Teck Resources Ltd. 3% 3/1/19 3,000,000 2,287,500 
Vale Overseas Ltd. 6.25% 1/23/17 403,000 406,264 
  12,578,757 
TOTAL MATERIALS  25,578,770 
TELECOMMUNICATION SERVICES - 3.3%   
Diversified Telecommunication Services - 2.6%   
AT&T, Inc.:   
1.4% 12/1/17 1,620,000 1,612,166 
2.375% 11/27/18 10,000,000 10,107,600 
2.45% 6/30/20 1,563,000 1,556,843 
BellSouth Corp. 4.821% 4/26/16 (a)(b) 3,000,000 3,017,844 
British Telecommunications PLC:   
1.25% 2/14/17 1,000,000 998,730 
1.625% 6/28/16 4,314,000 4,321,002 
2.35% 2/14/19 4,296,000 4,336,666 
CenturyLink, Inc. 6.15% 9/15/19 592,000 608,280 
Deutsche Telekom International Financial BV:   
3.125% 4/11/16 (a) 923,000 924,911 
5.75% 3/23/16 2,000,000 2,005,562 
Verizon Communications, Inc.:   
1.1% 11/1/17 620,000 614,143 
1.35% 6/9/17 750,000 749,611 
2% 11/1/16 1,279,000 1,286,130 
2.5% 9/15/16 1,044,000 1,052,060 
2.625% 2/21/20 2,913,000 2,953,255 
3.65% 9/14/18 6,000,000 6,279,426 
4.5% 9/15/20 3,000,000 3,262,587 
6.1% 4/15/18 3,425,000 3,721,218 
  49,408,034 
Wireless Telecommunication Services - 0.7%   
America Movil S.A.B. de CV 2.375% 9/8/16 2,646,000 2,657,489 
Vodafone Group PLC:   
1.5% 2/19/18 2,625,000 2,600,068 
1.625% 3/20/17 5,400,000 5,421,832 
5.45% 6/10/19 2,000,000 2,191,938 
  12,871,327 
TOTAL TELECOMMUNICATION SERVICES  62,279,361 
UTILITIES - 4.6%   
Electric Utilities - 2.4%   
AmerenUE 6.4% 6/15/17 519,000 550,381 
American Electric Power Co., Inc. 1.65% 12/15/17 1,827,000 1,814,441 
Commonwealth Edison Co. 2.15% 1/15/19 188,000 190,007 
Duke Energy Corp.:   
0.9922% 4/3/17 (b) 2,894,000 2,872,836 
1.625% 8/15/17 3,304,000 3,301,205 
2.1% 6/15/18 5,395,000 5,406,205 
Duquesne Light Holdings, Inc. 6.4% 9/15/20 (a) 48,000 54,802 
Edison International 3.75% 9/15/17 431,000 443,996 
Eversource Energy 1.45% 5/1/18 153,000 151,174 
Exelon Corp.:   
1.55% 6/9/17 311,000 309,492 
2.85% 6/15/20 458,000 461,886 
FirstEnergy Corp.:   
2.75% 3/15/18 6,652,000 6,719,777 
4.25% 3/15/23 600,000 626,340 
FirstEnergy Solutions Corp. 6.05% 8/15/21 655,000 695,750 
Hydro-Quebec 2% 6/30/16 2,500,000 2,511,300 
IPALCO Enterprises, Inc. 3.45% 7/15/20 2,576,000 2,566,340 
LG&E and KU Energy LLC 3.75% 11/15/20 2,000 2,100 
Nevada Power Co.:   
6.5% 5/15/18 1,562,000 1,719,876 
6.5% 8/1/18 273,000 302,209 
NextEra Energy Capital Holdings, Inc. 1.586% 6/1/17 2,904,000 2,899,182 
PacifiCorp 5.5% 1/15/19 2,750,000 3,034,515 
Pennsylvania Electric Co. 6.05% 9/1/17 115,000 122,183 
Public Service Electric & Gas Co. 2.3% 9/15/18 2,000,000 2,029,604 
TECO Finance, Inc.:   
1.2169% 4/10/18 (b) 3,000,000 2,957,541 
5.15% 3/15/20 252,000 274,297 
Xcel Energy, Inc. 1.2% 6/1/17 3,153,000 3,141,838 
  45,159,277 
Gas Utilities - 0.1%   
Texas Eastern Transmission LP 6% 9/15/17 (a) 1,096,000 1,150,942 
Independent Power and Renewable Electricity Producers - 0.2%   
Southern Power Co.:   
1.85% 12/1/17 704,000 704,132 
2.375% 6/1/20 1,087,000 1,068,419 
TransAlta Corp. 1.9% 6/3/17 2,900,000 2,721,676 
  4,494,227 
Multi-Utilities - 1.9%   
Ameren Illinois Co. 6.125% 11/15/17 62,000 66,639 
Berkshire Hathaway Energy Co.:   
1.1% 5/15/17 1,000,000 997,097 
2% 11/15/18 544,000 544,917 
Dominion Resources, Inc.:   
1.4% 9/15/17 3,225,000 3,204,118 
1.9% 6/15/18 2,540,000 2,526,756 
2.5% 12/1/19 7,382,000 7,438,081 
2.9031% 9/30/66 (b) 651,000 437,505 
7.5% 6/30/66 (b) 567,000 474,863 
NiSource Finance Corp.:   
3.85% 2/15/23 700,000 729,931 
5.45% 9/15/20 43,000 47,595 
6.4% 3/15/18 888,000 963,072 
NSTAR 4.5% 11/15/19 2,500,000 2,699,093 
PG&E Corp. 2.4% 3/1/19 74,000 74,746 
Puget Energy, Inc. 6.5% 12/15/20 991,000 1,156,255 
Sempra Energy:   
2.3% 4/1/17 4,935,000 4,967,127 
2.4% 3/15/20 1,890,000 1,854,825 
2.85% 11/15/20 1,392,000 1,397,163 
Wisconsin Energy Corp.:   
1.65% 6/15/18 3,006,000 3,000,481 
2.45% 6/15/20 2,901,000 2,937,341 
6.25% 5/15/67 (b) 454,000 335,960 
  35,853,565 
TOTAL UTILITIES  86,658,011 
TOTAL NONCONVERTIBLE BONDS   
(Cost $1,330,486,155)  1,321,778,285 
U.S. Treasury Obligations - 7.8%   
U.S. Treasury Notes:   
0.75% 2/15/19 $64,146,000 $63,847,822 
0.875% 10/15/17 10,230,000 10,243,186 
1% 5/15/18 12,459,000 12,504,264 
1.125% 1/15/19 11,574,000 11,646,789 
1.375% 3/31/20 (c) 9,683,000 9,768,859 
1.375% 1/31/21 30,000,000 30,199,230 
1.75% 12/31/20 10,000,000 10,242,190 
TOTAL U.S. TREASURY OBLIGATIONS   
(Cost $148,247,181)  148,452,340 
U.S. Government Agency - Mortgage Securities - 0.7%   
Fannie Mae - 0.5%   
2.45% 11/1/36 (b) 149,520 157,298 
2.468% 1/1/40 (b) 159,432 167,747 
2.471% 3/1/40 (b) 117,232 123,895 
2.489% 12/1/33 (b) 622,566 656,878 
2.51% 7/1/35 (b) 76,754 81,056 
2.557% 3/1/40 (b) 83,774 88,367 
2.557% 6/1/42 (b) 51,722 53,279 
2.595% 4/1/35 (b) 371,174 390,798 
2.685% 12/1/39 (b) 46,132 48,780 
2.689% 2/1/42 (b) 533,419 554,586 
2.761% 1/1/42 (b) 443,205 461,244 
2.951% 11/1/40 (b) 30,288 31,444 
2.98% 9/1/41 (b) 36,605 38,279 
2.991% 10/1/41 (b) 19,908 20,792 
3.249% 7/1/41 (b) 53,942 56,357 
3.347% 10/1/41 (b) 28,170 29,577 
3.5% 7/1/26 to 10/1/29 3,925,938 4,184,901 
3.553% 7/1/41 (b) 66,657 70,095 
4.5% 3/1/35 35,980 39,312 
6% 5/1/16 to 4/1/17 4,292 4,324 
6.5% 5/1/16 to 8/1/36 492,494 576,010 
7% 9/1/18 to 6/1/33 296,771 352,410 
7.5% 8/1/17 to 3/1/28 98,062 115,527 
8.5% 5/1/21 to 9/1/25 7,611 8,878 
9.5% 2/1/25 515 559 
10.5% 8/1/20 4,847 5,256 
TOTAL FANNIE MAE  8,317,649 
Freddie Mac - 0.2%   
2.413% 4/1/40 (b) 90,242 95,134 
2.53% 4/1/40 (b) 83,409 88,053 
2.535% 2/1/40 (b) 134,267 141,670 
3.208% 9/1/41 (b) 35,210 36,795 
3.216% 4/1/41 (b) 40,299 42,125 
3.297% 6/1/41(b) 45,031 47,062 
3.451% 5/1/41 (b) 30,676 31,918 
3.5% 8/1/26 2,892,634 3,073,423 
3.626% 6/1/41 (b) 65,362 68,520 
3.706% 5/1/41 (b) 47,749 50,127 
4.5% 8/1/18 165,043 170,228 
5% 3/1/19 298,295 309,331 
8.5% 9/1/24 to 8/1/27 29,609 35,723 
TOTAL FREDDIE MAC  4,190,109 
Ginnie Mae - 0.0%   
7% 7/15/28 to 11/15/28 80,591 95,797 
7.5% 2/15/28 to 10/15/28 3,477 4,227 
8% 6/15/24 60 70 
8.5% 10/15/21 23,279 26,451 
11% 7/20/19 to 8/20/19 1,163 1,269 
TOTAL GINNIE MAE  127,814 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $12,453,990)  12,635,572 
Asset-Backed Securities - 8.4%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1.1266% 4/25/35 (b) $56,669 $50,620 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 2.0765% 3/25/34 (b) 33,430 31,836 
Ally Auto Receivables Trust Series 2015-SN1 Class A3, 1.21% 12/20/17 670,000 669,791 
Ally Master Owner Trust:   
Series 2012-4 Class A, 1.72% 7/15/19 292,000 292,617 
Series 2012-5 Class A, 1.54% 9/15/19 11,057,000 11,059,799 
Series 2014-3 Class A, 1.33% 3/15/19 2,425,000 2,423,954 
Series 2014-4 Class A2, 1.43% 6/17/19 3,870,000 3,868,162 
Series 2014-5 Class A2, 1.6% 10/15/19 3,000,000 3,001,941 
Series 2015-3 Class A, 1.63% 5/15/20 3,130,000 3,129,670 
American Express Credit Account Master Trust:   
Series 2014-3 Class A, 1.49% 4/15/20 2,000,000 2,010,564 
Series 2014-4 Class A, 1.43% 6/15/20 3,780,000 3,795,992 
AmeriCredit Automobile Receivables Trust:   
Series 2013-5 Class A3, 0.9% 9/10/18 344,793 344,403 
Series 2014-2 Class A3, 0.94% 2/8/19 1,300,000 1,297,610 
Series 2014-4 Class A3, 1.27% 7/8/19 505,000 503,911 
Series 2015-2 Class A3, 1.27% 1/8/20 3,000,000 2,982,881 
Series 2016-1 Class A3, 2.14% 10/8/20 1,888,000 1,894,388 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1.4858% 12/25/33 (b) 5,239 4,802 
Series 2004-R2 Class M3, 1.2608% 4/25/34 (b) 10,238 7,473 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1.2158% 3/25/34 (b) 4,092 3,632 
Series 2004-W11 Class M2, 1.4858% 11/25/34 (b) 63,962 61,475 
Series 2004-W7 Class M1, 1.2608% 5/25/34 (b) 179,644 164,200 
Series 2006-W4 Class A2C, 0.5958% 5/25/36 (b) 130,347 46,202 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1.2515% 4/25/34 (b) 142,339 123,552 
Series 2006-HE2 Class M1, 0.8058% 3/25/36 (b) 2,215 369 
Bank of America Credit Card Master Trust Series 2015-A2 Class A, 1.36% 9/15/20 3,769,000 3,777,936 
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1.5608% 2/25/35 (b) 378,742 334,166 
Capital Auto Receivables Asset Trust:   
Series 2014-2 Class A2, 0.91% 4/20/17 231,473 231,472 
Series 2014-3 Class A2, 1.18% 12/20/17 1,176,000 1,175,464 
Series 2015-1 Class A2, 1.42% 6/20/18 1,807,000 1,808,549 
Series 2015-2 Class A2, 1.39% 9/20/18 1,603,000 1,604,242 
Capital One Multi-Asset Execution Trust Series 2014-A5 Class A, 1.48% 7/15/20 2,200,000 2,209,936 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.5758% 12/25/36 (b) 205,465 139,790 
Chase Issuance Trust Series 2015-A2, Class A, 1.59% 2/18/20 3,000,000 3,020,538 
Chrysler Capital Auto Receivables Trust Series 2015-AA Class A3, 1.22% 7/15/19 (a) 4,000,000 3,990,726 
CIT Equipment Collateral:   
Series 2013-VT1 Class A3, 1.13% 7/20/20 (a) 1,689,604 1,689,751 
Series 2014-VT1 Class A3, 1.5% 10/21/19 (a) 1,640,000 1,634,573 
Citibank Credit Card Issuance Trust Series 2014-A6 Class A6, 2.15% 7/15/21 2,896,000 2,956,777 
Countrywide Home Loans, Inc.:   
Series 2003-BC1 Class B1, 5.6858% 3/25/32 (b) 9,741 8,905 
Series 2004-3 Class M4, 1.8908% 4/25/34 (b) 7,185 6,293 
Series 2004-4 Class M2, 1.2308% 6/25/34 (b) 8,377 7,575 
Dell Equipment Finance Trust Series 2015-1 Class A3, 1.3% 3/23/20 (a) 4,490,000 4,472,434 
Discover Card Master Trust:   
Series 2014-A5 Class A, 1.39% 4/15/20 1,780,000 1,786,807 
Series 2016-A1 Class A1, 2.1% 7/15/21 3,630,000 3,648,325 
Enterprise Fleet Financing LLC:   
Series 2014-1 Class A2, 0.87% 9/20/19 (a) 868,988 866,107 
Series 2014-2 Class A2, 1.05% 3/20/20 (a) 2,576,231 2,562,620 
Series 2015-1 Class A2, 1.3% 9/20/20 (a) 2,604,423 2,587,052 
Fannie Mae Series 2004-T5 Class AB3, 1.1189% 5/28/35 (b) 4,436 3,852 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.6015% 8/25/34 (b) 33,155 31,312 
Flagship Credit Auto Trust Series 2016-1 Class A, 2.53% 12/15/20 (a) 4,000,000 3,990,391 
Ford Credit Auto Owner Trust:   
Series 2014-2 Class A, 2.31% 4/15/26 (a) 3,299,000 3,332,738 
Series 2015-1 Class A, 2.12% 7/15/26 (a) 2,785,000 2,793,976 
Series 2015-2 Class A, 2.44% 1/15/27 (a) 3,480,000 3,522,612 
Series 2016-1 Class A, 2.31% 8/15/27 (a) 4,000,000 3,998,914 
Ford Credit Floorplan Master Owner Trust:   
Series 2012-5 Class A, 1.49% 9/15/19 8,055,000 8,069,835 
Series 2014-1 Class A1, 1.2% 2/15/19 3,500,000 3,492,991 
Series 2014-4 Class A1, 1.4% 8/15/19 11,000,000 11,007,425 
Series 2015-1 Class A1, 1.42% 1/15/20 6,000,000 6,003,737 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 1.1615% 1/25/35 (b) 81,136 70,350 
Class M4, 1.4465% 1/25/35 (b) 39,567 21,248 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.0091% 2/25/47 (a)(b) 143,276 126,848 
GE Business Loan Trust Series 2006-2A:   
Class A, 0.6093% 11/15/34 (a)(b) 89,833 85,073 
Class B, 0.7105% 11/15/34 (a)(b) 32,594 28,683 
Class C, 0.8105% 11/15/34 (a)(b) 53,794 46,548 
Class D, 1.1805% 11/15/34 (a)(b) 20,404 16,905 
GM Financial Automobile Leasing Trust:   
Series 2014-2A Class A3, 1.22% 1/22/18 (a) 1,950,000 1,950,075 
Series 2015-1 Class A3, 1.53% 9/20/18 2,398,000 2,413,268 
GMF Floorplan Owner Revolving Trust Series 2015-1 Class A1, 1.65% 5/15/20 (a) 3,732,000 3,723,488 
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (a) 29,997 864 
Home Equity Asset Trust:   
Series 2003-2 Class M1, 1.7558% 8/25/33 (b) 32,697 30,100 
Series 2003-5 Class A2, 1.1358% 12/25/33 (b) 2,817 2,605 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6165% 1/25/37 (b) 141,116 90,492 
Hyundai Auto Lease Securitization Trust:   
Series 2014-B Class A3, 0.98% 11/15/17 (a) 1,200,000 1,199,357 
Series 2015-A Class A3, 1.42% 9/17/18 (a) 2,402,000 2,406,145 
Series 2015-B Class A3, 1.4% 11/15/18 (a) 2,966,000 2,967,041 
JPMorgan Mortgage Acquisition Trust:   
Series 2006-NC2 Class M2, 0.7216% 7/25/36 (b) 21,503 9,666 
Series 2007-CH1 Class AV4, 0.5658% 11/25/36 (b) 5,806 5,804 
KeyCorp Student Loan Trust:   
Series 1999-A Class A2, 0.9331% 12/27/29 (b) 7,059 7,022 
Series 2006-A Class 2C, 1.7531% 3/27/42 (b) 392,000 201,046 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.7265% 5/25/37 (b) 35,682 1,122 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.1858% 7/25/34 (b) 14,160 11,761 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1.4015% 7/25/34 (b) 32,514 30,398 
Series 2006-FM1 Class A2B, 0.5458% 4/25/37 (b) 11,599 11,534 
Series 2006-OPT1 Class A1A, 0.9465% 6/25/35 (b) 163,793 156,864 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1.1158% 8/25/34 (b) 4,895 4,255 
Series 2004-NC8 Class M6, 2.3108% 9/25/34 (b) 54,359 50,117 
Series 2005-NC1 Class M1, 1.0958% 1/25/35 (b) 27,940 24,899 
Series 2005-NC2 Class B1, 2.1908% 3/25/35 (b) 19,093 427 
Nationstar HECM Loan Trust Series 2016-1A Class A, 3.1294% 2/25/26 (a) 2,000,000 1,999,998 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.9365% 9/25/35 (b) 162,650 148,055 
Nissan Master Owner Trust Receivables Series 2015-A Class A2, 1.44% 1/15/20 2,500,000 2,501,568 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 2.3015% 9/25/34 (b) 60,741 55,316 
Class M4, 2.6015% 9/25/34 (b) 77,891 52,551 
Series 2005-WCH1 Class M4, 1.6715% 1/25/36 (b) 126,217 110,854 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2265% 4/25/33 (b) 582 498 
Santander Drive Auto Receivables Trust:   
Series 2013-4 Class B, 2.16% 1/15/20 164,736 164,968 
Series 2014-4 Class B, 1.82% 5/15/19 774,000 774,373 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2308% 3/25/35 (b) 82,443 75,890 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.462% 6/15/33 (b) 64,266 62,650 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.1608% 9/25/34 (b) 4,680 3,946 
Synchrony Credit Card Master Note Trust:   
Series 2015-1 Class A, 2.37% 3/15/23 2,681,000 2,725,078 
Series 2015-2 Class A, 1.6% 4/15/21 3,040,000 3,047,751 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.2865% 9/25/34 (b) 2,472 2,083 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.1717% 4/6/42 (a)(b) 316,998 155,329 
Volkswagen Credit Auto Master Trust Series 2014-1A Class A2, 1.4% 7/22/19 (a) 3,104,000 3,069,157 
Volvo Financial Equipment LLC Series 2015-1A Class A3, 1.51% 6/17/19 (a) 2,226,000 2,230,670 
World Omni Auto Receivables Trust Series 2014-B Class A3, 1.14% 1/15/20 1,759,000 1,757,421 
World Omni Automobile Lease Securitization Trust Series 2014-A Class A3, 1.16% 9/15/17 1,160,000 1,158,759 
TOTAL ASSET-BACKED SECURITIES   
(Cost $159,218,496)  160,328,585 
Collateralized Mortgage Obligations - 1.6%   
Private Sponsor - 0.1%   
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 2.7362% 5/27/35 (a)(b) 528,998 542,646 
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.6365% 5/25/47 (b) 28,857 26,469 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6058% 2/25/37 (b) 64,804 57,351 
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 2.8826% 11/25/25 (a) 1,565,874 1,565,091 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 2.7735% 6/10/35 (a)(b) 40,467 36,007 
Class B6, 3.2735% 6/10/35 (a)(b) 67,321 60,717 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.675% 7/20/34 (b) 2,538 2,473 
TOTAL PRIVATE SPONSOR  2,290,754 
U.S. Government Agency - 1.5%   
Fannie Mae:   
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27 358,644 379,448 
planned amortization class:   
Series 2002-9 Class PC, 6% 3/25/17 2,786 2,838 
Series 2015-28 Class P, 2.5% 5/25/45 7,659,776 7,835,591 
Series 2014-57 Class A, 3% 9/25/44 2,165,864 2,240,737 
Series 2015-28 Class JE, 3% 5/25/45 5,942,125 6,160,311 
Freddie Mac:   
planned amortization class:   
Series 2356 Class GD, 6% 9/15/16 6,246 6,317 
Series 2363 Class PF, 6% 9/15/16 4,004 4,034 
Series 3820 Class DA, 4% 11/15/35 291,331 305,101 
Series 3777 Class AC, 3.5% 12/15/25 517,671 544,566 
Series 3949 Class MK, 4.5% 10/15/34 222,334 241,007 
Series 4472 Class WL, 3% 5/15/45 2,714,751 2,808,667 
Ginnie Mae guaranteed REMIC pass-thru certificates Series 2015-H17 Class HA, 2.5% 5/20/65 (d) 7,682,437 7,843,958 
TOTAL U.S. GOVERNMENT AGENCY  28,372,575 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $30,710,580)  30,663,329 
Commercial Mortgage Securities - 7.6%   
7 WTC Depositor LLC Trust Series 2012-7WTC Class A, 4.0824% 3/13/31 (a) 417,625 425,237 
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5885% 2/14/43 (b)(e) 41,857 303 
Banc of America Commercial Mortgage Trust:   
sequential payer:   
Series 2006-2 Class A4, 5.832% 5/10/45 (b) 486,650 486,447 
Series 2006-3 Class A4, 5.889% 7/10/44 (b) 4,576,290 4,580,360 
Series 2006-6 Class A3, 5.369% 10/10/45 74,307 74,282 
Series 2006-4 Class A1A, 5.617% 7/10/46 (b) 811,416 817,033 
Series 2007-2 Class A4, 5.79% 4/10/49 (b) 7,498,000 7,604,610 
Series 2007-3 Class A4, 5.7423% 6/10/49 (b) 579,721 595,197 
Barclays Commercial Mortgage Securities LLC:   
floater Series 2015-RRI Class A, 1.5755% 5/15/32 (a)(b) 2,015,000 1,983,571 
Series 2015-STP Class A, 3.3228% 9/10/28 (a) 3,500,000 3,601,373 
Bayview Commercial Asset Trust floater:   
Series 2003-2 Class M1, 1.7108% 12/25/33 (a)(b) 3,266 2,901 
Series 2005-4A:   
Class A2, 0.8258% 1/25/36 (a)(b) 83,872 71,617 
Class B1, 1.8358% 1/25/36 (a)(b) 3,550 2,445 
Class M1, 0.8858% 1/25/36 (a)(b) 27,056 21,473 
Class M2, 0.9058% 1/25/36 (a)(b) 8,117 6,250 
Class M3, 0.9358% 1/25/36 (a)(b) 11,854 8,757 
Class M4, 1.0458% 1/25/36 (a)(b) 6,556 4,737 
Class M5, 1.0858% 1/25/36 (a)(b) 6,556 4,749 
Class M6, 1.1358% 1/25/36 (a)(b) 6,963 5,061 
Series 2006-3A Class M4, 0.8658% 10/25/36 (a)(b) 3,424 378 
Series 2007-1 Class A2, 0.7058% 3/25/37 (a)(b) 55,311 46,781 
Series 2007-2A:   
Class A1, 0.7058% 7/25/37 (a)(b) 57,469 48,233 
Class A2, 0.7558% 7/25/37 (a)(b) 53,728 42,535 
Class M1, 0.8058% 7/25/37 (a)(b) 18,867 14,287 
Class M2, 0.8458% 7/25/37 (a)(b) 10,193 7,123 
Class M3, 0.9258% 7/25/37 (a)(b) 7,826 4,933 
Series 2007-3:   
Class A2, 0.7258% 7/25/37 (a)(b) 51,618 41,080 
Class M1, 0.7458% 7/25/37 (a)(b) 11,450 8,576 
Class M2, 0.7758% 7/25/37 (a)(b) 12,285 8,761 
Class M3, 0.8058% 7/25/37 (a)(b) 18,952 9,299 
Class M4, 0.9358% 7/25/37 (a)(b) 29,987 14,432 
Class M5, 1.0358% 7/25/37 (a)(b) 14,479 3,043 
Series 2007-4A Class M1, 1.3716% 9/25/37 (a)(b) 16,497 4,065 
Bear Stearns Commercial Mortgage Securities Trust:   
sequential payer:   
Series 2006-PW13 Class A1A, 5.533% 9/11/41 680,553 687,048 
Series 2006-PW14 Class A1A, 5.189% 12/11/38 360,159 366,172 
Series 2006-T22 Class A1A, 5.8216% 4/12/38 (b) 10,268 10,258 
Series 2006-PW12 Class A1A, 5.9065% 9/11/38 (b) 370,888 371,138 
BXHTL Mortgage Trust Series 2015-JWRZ Class A, 1.656% 5/15/29 (a)(b) 2,065,000 2,016,019 
C-BASS Trust floater Series 2006-SC1 Class A, 0.7058% 5/25/36 (a)(b) 20,671 19,876 
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44 739,907 776,472 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.827% 12/15/27 (a)(b) 7,424,941 7,400,557 
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class A, 2.808% 4/10/28 (a) 5,000,000 5,105,490 
Citigroup Commercial Mortgage Trust:   
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 1,449,733 1,464,198 
Series 2006-C4 Class A1A, 6.0329% 3/15/49 (b) 323,431 323,552 
Series 2015-GC29 Class A2, 2.674% 4/10/48 1,388,000 1,418,447 
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2006-CD3 Class A5, 5.617% 10/15/48 227,913 229,367 
COMM Mortgage Trust:   
floater Series 2014-KYO Class A, 1.324% 6/11/27 (a)(b) 1,500,000 1,462,944 
Series 2013-LC6 Class ASB, 2.478% 1/10/46 2,180,000 2,196,679 
Series 2014-CR15 Class A2, 2.928% 2/10/47 3,957,000 4,053,423 
Series 2014-CR17 Class A2, 3.012% 5/10/47 790,000 813,347 
Series 2014-CR20 Class A2, 2.801% 11/10/47 987,000 1,012,377 
Series 2014-UBS3 Class A2, 2.844% 6/10/47 1,960,000 2,011,384 
Series 2015-CR22 Class A2, 2.856% 3/10/48 953,000 981,991 
COMM Mortgage Trust pass-thru certificates:   
floater Series 2005-F10A Class J, 1.2805% 4/15/17 (a)(b) 14,378 14,277 
sequential payer:   
Series 2006-C7 Class A1A, 5.9515% 6/10/46 (b) 469,550 470,744 
Series 2006-C8:   
Class A1A, 5.292% 12/10/46 1,093,029 1,108,645 
Class A4, 5.306% 12/10/46 1,526,955 1,548,538 
Series 2006-C7 Class A4, 5.9625% 6/10/46 (b) 416,734 416,935 
Credit Suisse Commercial Mortgage Trust sequential payer:   
Series 2007-C2 Class A3, 5.542% 1/15/49 (b) 432,000 440,566 
Series 2007-C3 Class A4, 5.8888% 6/15/39 (b) 1,433,621 1,469,107 
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0.0141% 9/15/34 (a)(b)(e) 102 0 
CSMC Series 2015-TOWN:   
Class B, 2.327% 3/15/17 (a)(b) 264,000 254,854 
Class C, 2.677% 3/15/17 (a)(b) 257,000 245,778 
Class D, 3.627% 3/15/17 (a)(b) 1,003,000 951,358 
GAHR Commercial Mortgage Trust:   
floater Series 2015-NRF Class AFL1, 1.7255% 12/15/16 (a)(b) 5,058,216 5,009,828 
Series 2015-NRF:   
Class BFX, 3.3822% 12/15/19 (a)(b) 2,358,850 2,342,301 
Class CFX, 3.3822% 12/15/19 (a)(b) 1,059,000 1,030,239 
GE Capital Commercial Mortgage Corp.:   
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 2,544,000 2,584,054 
Series 2007-C1 Class A1A, 5.483% 12/10/49 (b) 5,010,151 5,143,722 
Greenwich Capital Commercial Funding Corp.:   
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 918,805 938,374 
Series 2006-GG7 Class A4, 6.0483% 7/10/38 (b) 1,002,018 1,004,481 
GS Mortgage Securities Corp. Trust Series 2013-C, 2.974% 1/10/30 (a) 150,000 150,341 
GS Mortgage Securities Trust:   
floater Series 2014-GSFL Class A, 1.4255% 7/15/31 (a)(b) 399,314 393,225 
sequential payer Series 2006-GG8:   
Class A1A, 5.547% 11/10/39 429,722 434,481 
Class A4, 5.56% 11/10/39 6,047,719 6,096,485 
Series 2015-GC32 Class A2, 3.062% 7/10/48 2,500,000 2,594,221 
Hilton U.S.A. Trust:   
floater Series 2013-HLF Class AFL, 1.4295% 11/5/30 (a)(b) 440,663 439,986 
Series 2013-HLT:   
Class CFX, 3.7141% 11/5/30 (a) 110,000 109,655 
Class DFX, 4.4065% 11/5/30 (a) 1,039,000 1,035,748 
JP Morgan Chase Commercial Mortgage Securities Trust Series 2015-JP1 Class A2, 3.1438% 1/15/49 1,975,000 2,071,900 
JPMBB Commercial Mortgage Secutities Trust Series 2015-C29 Class A2, 2.9213% 5/15/48 1,567,000 1,626,740 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater:   
Series 2014-BXH Class A, 1.3305% 4/15/27 (a)(b) 1,100,000 1,086,464 
Series 2014-FL5 Class A, 1.4055% 7/15/31 (a)(b) 1,056,206 1,042,928 
sequential payer:   
Series 2006-CB16 Class A4, 5.552% 5/12/45 1,394,608 1,401,800 
Series 2006-LDP8:   
Class A1A, 5.397% 5/15/45 87,443 88,065 
Class A4, 5.399% 5/15/45 1,456,273 1,460,800 
Series 2007-LD11 Class A4, 5.9599% 6/15/49 (b) 29,781 30,375 
Series 2007-LDPX Class A3, 5.42% 1/15/49 3,625,347 3,696,463 
Series 2011-C3 Class A3, 4.3877% 2/15/46 (a) 1,718,000 1,793,022 
Series 2006-LDP7 Class A1A, 6.1056% 4/17/45 (b) 808,132 811,582 
LB-UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C6 Class A4, 5.372% 9/15/39 227,635 229,746 
Series 2006-C7:   
Class A1A, 5.335% 11/15/38 2,185,310 2,221,130 
Class A2, 5.3% 11/15/38 26,694 26,969 
Series 2007-C1 Class A4, 5.424% 2/15/40 2,994,053 3,051,337 
Series 2006-C6 Class A1A, 5.342% 9/15/39 (b) 1,110,047 1,120,482 
Series 2007-C7 Class A3, 5.866% 9/15/45 1,225,377 1,290,861 
Merrill Lynch Mortgage Trust:   
Series 2005-LC1 Class F, 5.9178% 1/12/44 (a)(b) 56,826 56,723 
Series 2006-C2 Class A1A, 5.739% 8/12/43 (b) 673,587 678,296 
Merrill Lynch-CFC Commercial Mortgage Trust:   
sequential payer Series 2007-5 Class A4, 5.378% 8/12/48 4,549,434 4,634,288 
Series 2007-6 Class B, 5.635% 3/12/51 (b) 216,000 60,653 
Morgan Stanley BAML Trust Series 2014-C14 Class A2, 2.916% 2/15/47 817,000 844,156 
Morgan Stanley Capital I Trust:   
floater:   
Series 2006-XLF Class C, 1.631% 7/15/19 (a)(b) 40,774 40,285 
Series 2007-XLFA:   
Class D, 0.6155% 10/15/20 (a)(b) 31,745 31,747 
Class E, 0.6755% 10/15/20 (a)(b) 95,138 95,143 
Class F, 0.7255% 10/15/20 (a)(b) 57,094 57,097 
Class G, 0.7655% 10/15/20 (a)(b) 70,577 70,581 
Class H, 0.8555% 10/15/20 (a)(b) 44,426 44,471 
Class J, 1.0055% 10/15/20 (a)(b) 25,649 24,833 
sequential payer:   
Series 2007-IQ13 Class A1A, 5.312% 3/15/44 337,456 344,969 
Series 2011-C2 Class A4, 4.661% 6/15/44 (a) 2,725,000 3,013,844 
Series 2006-HQ9 Class A4, 5.731% 7/12/44 (b) 313,668 313,471 
Series 2006-IQ11 Class A1A, 5.9599% 10/15/42 (b) 78,290 78,216 
Series 2007-IQ14 Class A4, 5.692% 4/15/49 1,195,000 1,223,304 
Series 2007-T27 Class A1A, 5.8206% 6/11/42 (b) 818,328 852,290 
Providence Place Group Ltd. Partnership sequential payer Series 2000-C1 Class A1, 7.75% 7/20/16 (a) 2,678 2,743 
SCG Trust Series 2013-SRP1 Class A, 1.8255% 11/15/26 (a)(b) 2,027,000 2,017,928 
UBS Commercial Mortgage Trust Series 2012-C1 Class A2, 2.18% 5/10/45 354,364 355,548 
Wachovia Bank Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C29:   
Class A1A, 5.297% 11/15/48 1,555,134 1,583,711 
Class A4, 5.308% 11/15/48 553,769 559,669 
Series 2007-C30 Class A5, 5.342% 12/15/43 5,468,000 5,599,694 
Series 2007-C32 Class A3, 5.8991% 6/15/49 (b) 367,000 374,925 
Series 2007-C33:   
Class A4, 6.1491% 2/15/51 (b) 3,074,873 3,175,855 
Class A5, 6.1491% 2/15/51 (b) 143,000 150,298 
Series 2006-C25 Class A1A, 5.9451% 5/15/43 (b) 212,102 211,739 
Series 2006-C26 Class A1A, 6.009% 6/15/45 (b) 593,776 594,663 
Series 2006-C27:   
Class A1A, 5.749% 7/15/45 (b) 434,540 436,541 
Class A3, 5.765% 7/15/45 (b) 459,802 459,271 
WF-RBS Commercial Mortgage Trust Series 2013-C11 Class ASB, 2.63% 3/15/45 1,310,000 1,327,983 
WFCG Commercial Mortgage Trust floater Series 2015-BXRP Class A, 1.5475% 11/15/29 (a)(b) 1,589,600 1,568,778 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $145,752,333)  143,432,988 
Municipal Securities - 0.8%   
Illinois Gen. Oblig.:   
Series 2003, 4.95% 6/1/23 $2,645,000 $2,754,186 
Series 2011:   
4.961% 3/1/16 6,320,000 6,320,000 
5.665% 3/1/18 630,000 665,204 
5.877% 3/1/19 4,715,000 5,096,491 
Series 2013, 2.69% 12/1/17 500,000 503,905 
TOTAL MUNICIPAL SECURITIES   
(Cost $15,294,534)  15,339,786 
Foreign Government and Government Agency Obligations - 0.1%   
Brazilian Federative Republic 6% 1/17/17
(Cost $2,071,670) 		$2,000,000 $2,072,000 
Supranational Obligations - 0.0%   
International Bank for Reconstruction & Development 1% 6/15/18
(Cost $425,464) 		426,000 425,441 
Bank Notes - 2.3%   
Bank of America NA:   
1.25% 2/14/17 $2,420,000 $2,418,028 
1.65% 3/26/18 1,924,000 1,916,106 
1.75% 6/5/18 2,000,000 1,987,380 
5.3% 3/15/17 250,000 258,473 
Capital One Bank NA:   
1.3% 6/5/17 1,000,000 994,941 
2.25% 2/13/19 1,000,000 992,494 
Capital One NA 1.65% 2/5/18 3,000,000 2,961,585 
Discover Bank 3.1% 6/4/20 1,708,000 1,698,731 
Fifth Third Bank:   
1.45% 2/28/18 580,000 574,663 
2.875% 10/1/21 2,000,000 2,017,872 
First Tennessee Bank NA, Memphis 2.95% 12/1/19 5,000,000 4,977,815 
JPMorgan Chase Bank 6% 10/1/17 1,762,000 1,869,158 
KeyBank NA:   
1.65% 2/1/18 397,000 395,775 
2.5% 12/15/19 3,783,000 3,825,230 
Manufacturers & Traders Trust Co. 2.3% 1/30/19 1,100,000 1,106,466 
Marshall & Ilsley Bank 5% 1/17/17 1,868,000 1,917,125 
Regions Bank 7.5% 5/15/18 250,000 275,560 
Regions Financial Corp. 2.25% 9/14/18 4,000,000 3,982,764 
The Toronto-Dominion Bank 2.125% 7/2/19 5,000,000 5,039,990 
U.S. Bank NA 2.125% 10/28/19 2,186,000 2,211,596 
Union Bank NA 2.125% 6/16/17 700,000 703,690 
Wachovia Bank NA 6% 11/15/17 570,000 611,779 
TOTAL BANK NOTES   
(Cost $42,604,005)  42,737,221 
 Shares Value 
Fixed-Income Funds - 0.8%   
Fidelity Specialized High Income Central Fund (f)   
(Cost $16,910,667) 162,831 15,449,410 
Money Market Funds - 0.8%   
Fidelity Cash Central Fund, 0.40% (g)   
(Cost $14,718,871) 14,718,871 14,718,871 
 Maturity Amount Value 
Cash Equivalents - 4.1%   
Investments in repurchase agreements in a joint trading account at 0.4%, dated 2/29/16 due 3/1/16 (Collateralized by U.S. Government Obligations) # (h)   
(Cost $78,443,000) 78,443,872 78,443,000 
TOTAL INVESTMENT PORTFOLIO - 104.7%   
(Cost $1,997,336,946)  1,986,476,828 
NET OTHER ASSETS (LIABILITIES) - (4.7)%  (88,782,241) 
NET ASSETS - 100%  $1,897,694,587 

Swaps

Underlying Reference Rating(1) Expiration Date Clearinghouse/Counterparty Fixed Payment Received/(Paid) Notional Amount(2) Value(1) Upfront Premium Received/(Paid) Unrealized Appreciation/(Depreciation) 
Credit Default Swaps         
Sell Protection         
Morgan Stanley ABS Capital I Inc Series 2004-NC8 Class B3 C Oct. 2034 Merrill Lynch International 4.60% USD 16,329 $(1,264) $0 $(1,264) 

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

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


Legend

 (a) 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 $311,245,996 or 16.4% of net assets.

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

 (c) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $122,073.

 (d) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

 (e) 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.

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

 (g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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


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 $51,578 
Fidelity Specialized High Income Central Fund 445,486 
Total $497,064 

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund Value, beginning of period Purchases Sales Proceeds Value, end of period % ownership, end of period 
Fidelity Specialized High Income Central Fund $16,060,481 $447,917 $-- $15,449,410 1.9% 
Total $16,060,481 $447,917 $-- $15,449,410  

Investment Valuation

The following is a summary of the inputs used, as of February 29, 2016, 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 below, please refer to the Investment 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:     
Corporate Bonds $1,321,778,285 $-- $1,321,778,285 $-- 
U.S. Government and Government Agency Obligations 148,452,340 -- 148,452,340 -- 
U.S. Government Agency - Mortgage Securities 12,635,572 -- 12,635,572 -- 
Asset-Backed Securities 160,328,585 -- 159,932,939 395,646 
Collateralized Mortgage Obligations 30,663,329 -- 30,663,329 -- 
Commercial Mortgage Securities 143,432,988 -- 143,432,610 378 
Municipal Securities 15,339,786 -- 15,339,786 -- 
Foreign Government and Government Agency Obligations 2,072,000 -- 2,072,000 -- 
Supranational Obligations 425,441 -- 425,441 -- 
Bank Notes 42,737,221 -- 42,737,221 -- 
Fixed-Income Funds 15,449,410 15,449,410 -- -- 
Money Market Funds 14,718,871 14,718,871 -- -- 
Cash Equivalents 78,443,000 -- 78,443,000 -- 
Total Investments in Securities: $1,986,476,828 $30,168,281 $1,955,912,523 $396,024 
Derivative Instruments:     
Liabilities     
Swaps $(1,264) $-- $(1,264) $-- 
Total Liabilities $(1,264) $-- $(1,264) $-- 
Total Derivative Instruments: $(1,264) $-- $(1,264) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Credit Risk   
Swaps(a) $0 $(1,264) 
Total Credit Risk 0 (1,264) 
Total Value of Derivatives $0 $(1,264) 

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


Other Information

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

Repurchase Agreement / Counterparty Value 
$78,443,000 due 3/01/16 at 0.40%  
Commerz Markets LLC $78,443,000 
 $78,443,000 

Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):

United States of America 84.5% 
United Kingdom 4.7% 
Canada 2.8% 
Japan 1.6% 
France 1.1% 
Others (Individually Less Than 1%) 5.3% 
 100.0% 

The information in the above table is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.

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


Financial Statements

Statement of Assets and Liabilities

  February 29, 2016 (Unaudited) 
Assets   
Investment in securities, at value (including repurchase agreements of $78,443,000) — See accompanying schedule:
Unaffiliated issuers (cost $1,965,707,408) 		$1,956,308,547  
Fidelity Central Funds (cost $31,629,538) 30,168,281  
Total Investments (cost $1,997,336,946)  $1,986,476,828 
Cash  17,300 
Receivable for investments sold  4,580,612 
Receivable for fund shares sold  5,143,838 
Interest receivable  10,745,959 
Distributions receivable from Fidelity Central Funds  85,876 
Other receivables  667 
Total assets  2,007,051,080 
Liabilities   
Payable for investments purchased $25,112,869  
Payable for fund shares redeemed 4,552,431  
Distributions payable 295,543  
Bi-lateral OTC swaps, at value 1,264  
Accrued management fee 488,306  
Distribution and service plan fees payable 197,027  
Other affiliated payables 265,748  
Other payables and accrued expenses 5  
Collateral on securities loaned, at value 78,443,300  
Total liabilities  109,356,493 
Net Assets  $1,897,694,587 
Net Assets consist of:   
Paid in capital  $1,927,755,442 
Undistributed net investment income  2,808,318 
Accumulated undistributed net realized gain (loss) on investments  (22,007,791) 
Net unrealized appreciation (depreciation) on investments  (10,861,382) 
Net Assets  $1,897,694,587 
Calculation of Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($314,703,093 ÷ 27,708,466 shares)  $11.36 
Maximum offering price per share (100/97.25 of $11.36)  $11.68 
Class T:   
Net Asset Value and redemption price per share ($193,597,348 ÷ 17,035,689 shares)  $11.36 
Maximum offering price per share (100/97.25 of $11.36)  $11.68 
Class B:   
Net Asset Value and offering price per share ($900,323 ÷ 79,367 shares)(a)  $11.34 
Class C:   
Net Asset Value and offering price per share ($111,047,135 ÷ 9,799,616 shares)(a)  $11.33 
Fidelity Limited Term Bond Fund:   
Net Asset Value, offering price and redemption price per share ($831,639,600 ÷ 73,036,683 shares)  $11.39 
Class I:   
Net Asset Value, offering price and redemption price per share ($445,807,088 ÷ 39,144,534 shares)  $11.39 

 (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.


Statement of Operations

  Six months ended February 29, 2016 (Unaudited) 
Investment Income   
Interest  $22,504,412 
Income from Fidelity Central Funds  497,064 
Total income  23,001,476 
Expenses   
Management fee $2,770,688  
Transfer agent fees 1,186,625  
Distribution and service plan fees 1,093,513  
Fund wide operations fee 344,661  
Independent trustees' compensation 3,709  
Miscellaneous 1,153  
Total expenses before reductions 5,400,349  
Expense reductions (647) 5,399,702 
Net investment income (loss)  17,601,774 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 1,379,535  
Swaps 505  
Total net realized gain (loss)  1,380,040 
Change in net unrealized appreciation (depreciation) on:
Investment securities 		(11,704,758)  
Swaps 1,507  
Total change in net unrealized appreciation (depreciation)  (11,703,251) 
Net gain (loss)  (10,323,211) 
Net increase (decrease) in net assets resulting from operations  $7,278,563 

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


Statement of Changes in Net Assets

 Six months ended February 29, 2016 (Unaudited) Year ended August 31, 2015 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $17,601,774 $21,313,755 
Net realized gain (loss) 1,380,040 2,048,322 
Change in net unrealized appreciation (depreciation) (11,703,251) (16,775,250) 
Net increase (decrease) in net assets resulting from operations 7,278,563 6,586,827 
Distributions to shareholders from net investment income (16,486,255) (19,985,756) 
Share transactions - net increase (decrease) 176,353,500 941,601,529 
Total increase (decrease) in net assets 167,145,808 928,202,600 
Net Assets   
Beginning of period 1,730,548,779 802,346,179 
End of period (including undistributed net investment income of $2,808,318 and undistributed net investment income of $1,692,799, respectively) $1,897,694,587 $1,730,548,779 

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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class A

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.42 $11.52 $11.33 $11.69 $11.45 $11.28 
Income from Investment Operations       
Net investment income (loss)A .104 .170 .232 .243 .289 .344 
Net realized and unrealized gain (loss) (.068) (.111) .160 (.384) .215 .163 
Total from investment operations .036 .059 .392 (.141) .504 .507 
Distributions from net investment income (.096) (.159) (.202) (.219) (.264) (.322) 
Distributions from net realized gain – – – – – (.015) 
Total distributions (.096) (.159) (.202) (.219) (.264) (.337) 
Net asset value, end of period $11.36 $11.42 $11.52 $11.33 $11.69 $11.45 
Total ReturnB,C,D .32% .51% 3.48% (1.24)% 4.46% 4.59% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .76%G .76% .79% .82% .83% .83% 
Expenses net of fee waivers, if any .76%G .76% .79% .82% .83% .83% 
Expenses net of all reductions .76%G .76% .79% .82% .83% .83% 
Net investment income (loss) 1.83%G 1.48% 2.02% 2.09% 2.52% 3.06% 
Supplemental Data       
Net assets, end of period (000 omitted) $314,703 $304,040 $215,800 $155,980 $192,761 $187,442 
Portfolio turnover rateH 40%G 44% 94% 112% 129% 108%I 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.


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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class T

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.42 $11.53 $11.34 $11.70 $11.45 $11.29 
Income from Investment Operations       
Net investment income (loss)A .103 .170 .234 .246 .292 .348 
Net realized and unrealized gain (loss) (.067) (.121) .161 (.384) .225 .153 
Total from investment operations .036 .049 .395 (.138) .517 .501 
Distributions from net investment income (.096) (.159) (.205) (.222) (.267) (.326) 
Distributions from net realized gain – – – – – (.015) 
Total distributions (.096) (.159) (.205) (.222) (.267) (.341) 
Net asset value, end of period $11.36 $11.42 $11.53 $11.34 $11.70 $11.45 
Total ReturnB,C,D .32% .42% 3.50% (1.21)% 4.57% 4.53% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .77%G .76% .77% .80% .80% .80% 
Expenses net of fee waivers, if any .77%G .76% .77% .80% .80% .80% 
Expenses net of all reductions .77%G .76% .77% .80% .80% .80% 
Net investment income (loss) 1.83%G 1.48% 2.04% 2.11% 2.54% 3.09% 
Supplemental Data       
Net assets, end of period (000 omitted) $193,597 $193,612 $198,510 $210,150 $265,426 $274,215 
Portfolio turnover rateH 40%G 44% 94% 112% 129% 108%I 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.


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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class B

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.40 $11.51 $11.32 $11.68 $11.43 $11.27 
Income from Investment Operations       
Net investment income (loss)A .062 .090 .149 .159 .206 .264 
Net realized and unrealized gain (loss) (.068) (.122) .161 (.384) .225 .154 
Total from investment operations (.006) (.032) .310 (.225) .431 .418 
Distributions from net investment income (.054) (.078) (.120) (.135) (.181) (.243) 
Distributions from net realized gain – – – – – (.015) 
Total distributions (.054) (.078) (.120) (.135) (.181) (.258) 
Net asset value, end of period $11.34 $11.40 $11.51 $11.32 $11.68 $11.43 
Total ReturnB,C,D (.05)% (.28)% 2.75% (1.95)% 3.81% 3.77% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.51%G 1.46% 1.51% 1.55% 1.55% 1.55% 
Expenses net of fee waivers, if any 1.51%G 1.46% 1.51% 1.55% 1.55% 1.55% 
Expenses net of all reductions 1.51%G 1.46% 1.51% 1.55% 1.55% 1.55% 
Net investment income (loss) 1.09%G .78% 1.30% 1.36% 1.79% 2.35% 
Supplemental Data       
Net assets, end of period (000 omitted) $900 $919 $1,507 $2,956 $5,209 $7,018 
Portfolio turnover rateH 40%G 44% 94% 112% 129% 108%I 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.


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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class C

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.39 $11.50 $11.31 $11.67 $11.42 $11.26 
Income from Investment Operations       
Net investment income (loss)A .060 .081 .143 .155 .204 .262 
Net realized and unrealized gain (loss) (.068) (.121) .162 (.384) .225 .154 
Total from investment operations (.008) (.040) .305 (.229) .429 .416 
Distributions from net investment income (.052) (.070) (.115) (.131) (.179) (.241) 
Distributions from net realized gain – – – – – (.015) 
Total distributions (.052) (.070) (.115) (.131) (.179) (.256) 
Net asset value, end of period $11.33 $11.39 $11.50 $11.31 $11.67 $11.42 
Total ReturnB,C,D (.07)% (.35)% 2.70% (1.98)% 3.79% 3.76% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.54%G 1.54% 1.56% 1.58% 1.57% 1.56% 
Expenses net of fee waivers, if any 1.54%G 1.54% 1.56% 1.58% 1.57% 1.56% 
Expenses net of all reductions 1.54%G 1.54% 1.56% 1.58% 1.57% 1.56% 
Net investment income (loss) 1.06%G .71% 1.25% 1.34% 1.78% 2.33% 
Supplemental Data       
Net assets, end of period (000 omitted) $111,047 $81,929 $64,333 $53,096 $65,425 $63,435 
Portfolio turnover rateH 40%G 44% 94% 112% 129% 108%I 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.


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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund

 Six months ended February 29, (Unaudited) Years ended August 31,  
 2016 2015 2014 A 
Selected Per–Share Data    
Net asset value, beginning of period $11.45 $11.55 $11.50 
Income from Investment Operations    
Net investment income (loss)B .122 .205 .209 
Net realized and unrealized gain (loss) (.068) (.110) .038 
Total from investment operations .054 .095 .247 
Distributions from net investment income (.114) (.195) (.197) 
Net asset value, end of period $11.39 $11.45 $11.55 
Total ReturnC,D .48% .83% 2.17% 
Ratios to Average Net AssetsE,F    
Expenses before reductions .45%G .45% .46%G 
Expenses net of fee waivers, if any .45%G .45% .46%G 
Expenses net of all reductions .45%G .45% .46%G 
Net investment income (loss) 2.14%G 1.79% 2.22%G 
Supplemental Data    
Net assets, end of period (000 omitted) $831,640 $758,240 $147,629 
Portfolio turnover rateH 40%G 44% 94% 

 A For the period November 1, 2013 (commencement of sale of shares) to August 31, 2014.

 B Calculated based on average shares outstanding during the period.

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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


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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class I

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.45 $11.55 $11.36 $11.72 $11.48 $11.31 
Income from Investment Operations       
Net investment income (loss)A .119 .200 .262 .273 .319 .373 
Net realized and unrealized gain (loss) (.068) (.111) .161 (.385) .213 .163 
Total from investment operations .051 .089 .423 (.112) .532 .536 
Distributions from net investment income (.111) (.189) (.233) (.248) (.292) (.351) 
Distributions from net realized gain – – – – – (.015) 
Total distributions (.111) (.189) (.233) (.248) (.292) (.366) 
Net asset value, end of period $11.39 $11.45 $11.55 $11.36 $11.72 $11.48 
Total ReturnB,C .45% .78% 3.74% (.99)% 4.71% 4.85% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .50%F .50% .53% .57% .58% .58% 
Expenses net of fee waivers, if any .50%F .50% .53% .57% .58% .58% 
Expenses net of all reductions .50%F .50% .53% .57% .58% .58% 
Net investment income (loss) 2.09%F 1.74% 2.28% 2.34% 2.77% 3.32% 
Supplemental Data       
Net assets, end of period (000 omitted) $445,807 $391,808 $174,568 $84,843 $101,234 $89,583 
Portfolio turnover rateG 40%F 44% 94% 112% 129% 108%H 

 A Calculated based on average shares outstanding during the period.

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

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

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 F Annualized

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

 H 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.


Notes to Financial Statements (Unaudited)

For the period ended February 29, 2016

1. Organization.

Fidelity Advisor Limited Term Bond Fund (the Fund) is a fund of Fidelity Advisor Series II (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, Fidelity Limited Term Bond and Class I shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a maximum holding period of four years from the initial date of purchase.

During the period, the Board of Trustees approved the conversion of all existing Class B shares into Class A shares, effective on or about July 1, 2016, regardless of the length of times shares have been held.

2. Investments in Fidelity Central Funds.

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

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Specialized High Income Central Fund FMR Co., Inc. (FMRC) Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. Loans & Direct Debt Instruments
Restricted Securities
 		Less than .005% 

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


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

3. Significant Accounting Policies.

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

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

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

  • Level 1 – quoted prices in active markets for identical investments
  • Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
  • Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 29, 2016 is included at the end of the Fund's Schedule of Investments.

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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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

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

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.

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

Book-tax differences are primarily due to swaps, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

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

Gross unrealized appreciation $12,563,690 
Gross unrealized depreciation (21,334,988) 
Net unrealized appreciation (depreciation) on securities $(8,771,298) 
Tax cost $1,995,248,126 

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

Fiscal year of expiration  
2017 $(9,328) 
2018 (18,759,952) 
Total capital loss carryforward $(18,769,280) 

Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

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

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

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

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

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.
 

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments.

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Credit Risk   
Swaps(a) $505 $1,507 

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


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

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

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

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

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

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

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

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

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

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $267,231,937 and $106,864,859, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .31% of the Fund's average net assets.

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

 Distribution
Fee 		Service
Fee 		Total Fees Retained
by FDC 
Class A -% .25% $379,493 $23,005 
Class T -% .25% 242,500 792 
Class B .65% .25% 4,101 2,962 
Class C .75% .25% 467,419 93,881 
   $1,093,513 $120,640 

Sales Load. FDC may receive a front-end sales charge of up to 2.75% 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 3.00% to 1.00% for Class B shares, 1.00% for Class C shares, .75% or .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

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

 Retained
by FDC 
Class A $16,720 
Class T 13,688 
Class B(a) 221 
Class C(a) 15,446 
 $46,075 

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


Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Fidelity Limited Term Bond. FIIOC receives an asset-based fee of .10% of Fidelity Limited Term Bond'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-Level Average
Net Assets(a) 
Class A $239,551 .16 
Class T 159,982 .17 
Class B 1,134 .25 
Class C 83,452 .18 
Fidelity Limited Term Bond Fund 381,484 .10 
Class I 321,022 .15 
 $1,186,625  

 (a) Annualized


Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser 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% of the Fund's average net assets 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 annualized rate of .04% of average net assets.

Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $1,153 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. 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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $11,054.

9. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $647.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Six months ended February 29, 2016 Year ended August 31, 2015 
From net investment income   
Class A $2,573,225 $3,729,622 
Class T 1,632,269 2,760,770 
Class B 4,349 9,214 
Class C 429,725 455,450 
Fidelity Limited Term Bond Fund 7,670,510 7,753,652 
Class I 4,176,177 5,277,048 
Total $16,486,255 $19,985,756 

11. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:

 Shares Shares Dollars Dollars 
 Six months ended February 29, 2016 Year ended August 31, 2015 Six months ended February 29, 2016 Year ended August 31, 2015 
Class A     
Shares sold 9,493,588 22,883,010 $108,124,976 $262,802,297 
Reinvestment of distributions 208,809 302,206 2,375,945 3,471,902 
Shares redeemed (8,625,388) (15,281,488) (98,288,046) (175,517,852) 
Net increase (decrease) 1,077,009 7,903,728 $12,212,875 $90,756,347 
Class T     
Shares sold 3,230,355 4,726,276 $36,826,027 $54,308,583 
Reinvestment of distributions 135,211 225,689 1,539,145 2,594,606 
Shares redeemed (3,279,036) (5,219,634) (37,380,244) (59,996,049) 
Net increase (decrease) 86,530 (267,669) $984,928 $(3,092,860) 
Class B     
Shares sold 23,906 45,219 $272,061 $518,562 
Reinvestment of distributions 348 769 3,946 8,827 
Shares redeemed (25,488) (96,326) (290,091) (1,103,458) 
Net increase (decrease) (1,234) (50,338) $(14,084) $(576,069) 
Class C     
Shares sold 3,748,755 3,762,661 $42,556,513 $43,110,911 
Reinvestment of distributions 33,368 34,649 378,455 397,236 
Shares redeemed (1,175,287) (2,200,235) (13,359,960) (25,199,324) 
Net increase (decrease) 2,606,836 1,597,075 $29,575,008 $18,308,823 
Fidelity Limited Term Bond Fund     
Shares sold 30,185,709 73,683,363 $344,754,445 $848,661,103 
Reinvestment of distributions 611,698 626,332 6,976,952 7,211,684 
Shares redeemed (24,008,474) (20,841,425) (274,433,242) (239,689,901) 
Net increase (decrease) 6,788,933 53,468,270 $77,298,155 $616,182,886 
Class I     
Shares sold 13,435,969 31,060,194 $153,456,360 $357,596,586 
Reinvestment of distributions 285,314 376,794 3,255,224 4,341,226 
Shares redeemed (8,802,281) (12,319,776) (100,414,966) (141,915,410) 
Net increase (decrease) 4,919,002 19,117,212 $56,296,618 $220,022,402 

12. Other.

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

13. Credit Risk.

The Fund invests a portion of its assets in structured securities of issuers backed by commercial and 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.

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2015 to February 29, 2016).

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.

 Annualized Expense Ratio-A Beginning
Account Value
September 1, 2015 		Ending
Account Value
February 29, 2016 		Expenses Paid
During Period-B
September 1, 2015
to February 29, 2016 
Class A .76%    
Actual  $1,000.00 $1,003.20 $3.79 
Hypothetical-C  $1,000.00 $1,021.08 $3.82 
Class T .77%    
Actual  $1,000.00 $1,003.20 $3.84 
Hypothetical-C  $1,000.00 $1,021.03 $3.87 
Class B 1.51%    
Actual  $1,000.00 $999.50 $7.51 
Hypothetical-C  $1,000.00 $1,017.35 $7.57 
Class C 1.54%    
Actual  $1,000.00 $999.30 $7.66 
Hypothetical-C  $1,000.00 $1,017.21 $7.72 
Fidelity Limited Term Bond Fund .45%    
Actual  $1,000.00 $1,004.80 $2.24 
Hypothetical-C  $1,000.00 $1,022.63 $2.26 
Class I .50%    
Actual  $1,000.00 $1,004.50 $2.49 
Hypothetical-C  $1,000.00 $1,022.38 $2.51 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (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 each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.

 C 5% return per year before expenses


Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Advisor Limited Term Bond Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2015 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; and (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by FMR, the sub-advisers (together with FMR, the Investment Advisers), and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) reducing management fees and total expenses for certain index funds and diversified international funds; (v) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (vi) rationalizing product lines and gaining increased efficiencies through fund mergers; (vii) launching active fixed-income exchange-traded funds; (viii) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; (ix) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (x) modifying the eligibility criteria for certain share classes to accommodate roll-over assets from employer-sponsored retirement plans; (xi) launching a new Class W of the Freedom Index Funds to attract and retain Fidelity record-kept retirement plan assets; and (xii) implementing changes to Fidelity's money market product line in response to recent money market regulatory reforms.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Fidelity Advisor Limited Term Bond Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2014.

The Board noted that, in 2014, the ad hoc Committee on Group Fee was formed by it and other Fidelity fund boards to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. Committee focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio.  In its review of each class's total expense ratio, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the total expense ratio of each class ranked below its competitive median for 2014.

The Board considered that the current contractual arrangements for the fund have the effect of setting the total "fund-level" (but not "class-level") expenses (including, among certain other "fund-level" expenses, the management fee) for each class at 0.35%. These contractual arrangements may not be increased without the approval of the Board.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total group assets increase, and for higher group fee rates as total group assets decrease (with "group assets" defined to include fund assets under FMR's management plus sector fund assets previously under FMR's management and currently managed by Fidelity SelectCo, LLC). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board noted, however, that because the current contractual arrangements set the total "fund-level" expenses for each class at 0.35%, increases or decreases in the management fee due to changes in the group fee rate will not impact the total expense ratio.

Fees Charged to Other Fidelity Clients.  The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted the findings of the 2013 ad hoc joint committee (created with the board of other Fidelity funds), which reviewed and compared Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationship with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that in 2013, it and the boards of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds; (v) Fidelity's voluntary waiver of its fees to maintain minimum yields for certain money market funds and classes as well as contractual waivers in place for certain funds; (vi) the methodology with respect to competitive fund data and peer group classifications; (vii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (viii) Fidelity's long-term expectations for its offerings in the workplace investing channel; (ix) new developments in the retail and institutional marketplaces; and (x) the impact of money market reform on Fidelity's money market funds. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.





Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

BTL-SANN-0416
1.9584918.102

Fidelity Advisor® Limited Term Bond Fund
Class I



Semi-Annual Report

February 29, 2016



Fidelity Investments


Contents

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees


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. © 2016 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.



Investment Summary (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.

Quality Diversification (% of fund's net assets)

As of February 29, 2016 
   U.S. Government and U.S. Government Agency Obligations 10.0% 
   AAA 14.5% 
   AA 3.6% 
   A 26.3% 
   BBB 38.5% 
   BB and Below 6.6% 
   Not Rated 0.3% 
   Short-Term Investments and Net Other Assets 0.2% 


As of August 31, 2015 
   U.S. Government and U.S. Government Agency Obligations 7.9% 
   AAA 16.1% 
   AA 4.3% 
   A 27.8% 
   BBB 37.0% 
   BB and Below 4.7% 
   Not Rated 0.1% 
   Short-Term Investments and Net Other Assets 2.1% 


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

Weighted Average Maturity as of February 29, 2016

  6 months ago 
Years 2.7 2.9 

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 February 29, 2016

  6 months ago 
Years 2.6 2.7 

Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration.

Asset Allocation (% of fund's net assets)

As of February 29, 2016*,** 
   Corporate Bonds 70.3% 
   U.S. Government and U.S. Government Agency Obligations 10.0% 
   Asset-Backed Securities 8.4% 
   CMOs and Other Mortgage Related Securities 7.7% 
   Municipal Bonds 0.8% 
   Other Investments 2.6% 
   Short-Term Investments and Net Other Assets (Liabilities) 0.2% 


 * Foreign investments - 15.5%

 ** Futures and Swaps - 0.0%


As of August 31, 2015*,** 
   Corporate Bonds 68.9% 
   U.S. Government and U.S. Government Agency Obligations 7.9% 
   Asset-Backed Securities 9.4% 
   CMOs and Other Mortgage Related Securities 8.5% 
   Municipal Bonds 0.4% 
   Other Investments 2.8% 
   Short-Term Investments and Net Other Assets (Liabilities) 2.1% 


 * Foreign investments - 15.6%

 ** Futures and Swaps - 0.0%


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.

Percentages shown as 0.0% may reflect amounts less than 0.05%. 

Investments February 29, 2016 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 69.7%   
 Principal Amount Value 
CONSUMER DISCRETIONARY - 6.9%   
Automobiles - 2.3%   
American Honda Finance Corp.:   
1.2% 7/14/17 $5,000,000 $4,989,465 
1.7% 2/22/19 1,918,000 1,920,835 
2.125% 10/10/18 500,000 505,172 
Daimler Finance North America LLC:   
1.375% 8/1/17 (a) 2,000,000 1,987,328 
1.45% 8/1/16 (a) 1,461,000 1,461,260 
1.65% 5/18/18 (a) 3,000,000 2,962,203 
2.25% 3/2/20 (a) 3,020,000 2,975,839 
2.375% 8/1/18 (a) 1,000,000 1,005,376 
General Motors Financial Co., Inc.:   
2.4% 4/10/18 3,000,000 2,947,344 
3% 9/25/17 3,000,000 3,002,646 
3.15% 1/15/20 5,000,000 4,885,795 
3.2% 7/13/20 5,000,000 4,833,350 
4.2% 3/1/21 3,000,000 3,004,503 
Volkswagen Group of America Finance LLC:   
1.25% 5/23/17 (a) 1,000,000 982,470 
2.4% 5/22/20 (a) 3,098,000 2,937,582 
Volkswagen International Finance NV:   
1.6% 11/20/17 (a) 620,000 607,431 
2.125% 11/20/18 (a) 1,500,000 1,451,678 
2.375% 3/22/17 (a) 600,000 599,731 
  43,060,008 
Diversified Consumer Services - 0.0%   
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 1,020,000 1,126,623 
Hotels, Restaurants & Leisure - 0.3%   
McDonald's Corp.:   
2.1% 12/7/18 742,000 751,582 
2.2% 5/26/20 5,000,000 5,046,465 
2.75% 12/9/20 345,000 355,023 
  6,153,070 
Household Durables - 0.4%   
D.R. Horton, Inc.:   
3.75% 3/1/19 2,000,000 2,035,000 
4% 2/15/20 3,000,000 3,052,500 
Toll Brothers Finance Corp. 4% 12/31/18 2,500,000 2,556,250 
  7,643,750 
Media - 3.9%   
21st Century Fox America, Inc. 6.9% 3/1/19 750,000 851,442 
British Sky Broadcasting Group PLC 2.625% 9/16/19 (a) 3,000,000 3,011,283 
CBS Corp. 2.3% 8/15/19 1,500,000 1,507,266 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 3.579% 7/23/20 (a) 10,000,000 10,024,900 
Comcast Corp.:   
5.7% 5/15/18 42,000 45,824 
6.3% 11/15/17 6,000,000 6,491,640 
COX Communications, Inc. 6.25% 6/1/18 (a) 4,000,000 4,283,500 
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:   
2.4% 3/15/17 2,700,000 2,726,544 
5.875% 10/1/19 5,034,000 5,631,294 
Discovery Communications LLC 5.05% 6/1/20 322,000 337,086 
NBCUniversal Enterprise, Inc. 1.974% 4/15/19 (a) 3,000,000 3,018,849 
Thomson Reuters Corp.:   
0.875% 5/23/16 278,000 277,708 
1.65% 9/29/17 5,050,000 5,028,633 
Time Warner Cable, Inc.:   
5.85% 5/1/17 4,996,000 5,187,806 
6.75% 7/1/18 1,141,000 1,243,342 
8.25% 4/1/19 500,000 571,677 
Time Warner, Inc.:   
2.1% 6/1/19 2,000,000 1,982,546 
6.875% 6/15/18 5,095,000 5,642,483 
Viacom, Inc.:   
2.2% 4/1/19 6,000,000 5,887,974 
3.5% 4/1/17 455,000 459,508 
6.125% 10/5/17 3,179,000 3,337,079 
Walt Disney Co. 1.85% 5/30/19 6,000,000 6,110,034 
  73,658,418 
TOTAL CONSUMER DISCRETIONARY  131,641,869 
CONSUMER STAPLES - 6.1%   
Beverages - 1.1%   
Anheuser-Busch InBev Finance, Inc.:   
1.9% 2/1/19 5,000,000 5,047,390 
2.15% 2/1/19 1,500,000 1,521,384 
2.65% 2/1/21 3,890,000 3,959,207 
3.3% 2/1/23 4,190,000 4,307,245 
Heineken NV 1.4% 10/1/17 (a) 321,000 320,893 
PepsiCo, Inc. 7.9% 11/1/18 815,000 948,238 
SABMiller Holdings, Inc.:   
2.2% 8/1/18 (a) 2,310,000 2,322,703 
2.45% 1/15/17 (a) 1,280,000 1,290,098 
  19,717,158 
Food & Staples Retailing - 1.1%   
CVS Health Corp.:   
1.9% 7/20/18 1,549,000 1,555,249 
2.25% 12/5/18 8,376,000 8,462,742 
2.25% 8/12/19 5,000,000 5,058,430 
2.8% 7/20/20 1,496,000 1,531,983 
Kroger Co. 1.1496% 10/17/16 (b) 5,000,000 5,002,120 
  21,610,524 
Food Products - 1.8%   
Cargill, Inc. 6% 11/27/17 (a) 106,000 113,511 
ConAgra Foods, Inc. 1.9% 1/25/18 2,222,000 2,220,116 
General Mills, Inc.:   
1.4% 10/20/17 3,000,000 3,000,747 
2.2% 10/21/19 2,000,000 2,020,428 
5.7% 2/15/17 5,000,000 5,216,580 
Kraft Foods Group, Inc.:   
2.25% 6/5/17 610,000 614,731 
5.375% 2/10/20 5,000,000 5,533,035 
The J.M. Smucker Co.:   
1.75% 3/15/18 5,874,000 5,855,291 
2.5% 3/15/20 1,964,000 1,980,482 
Tyson Foods, Inc. 2.65% 8/15/19 7,000,000 7,094,591 
William Wrigley Jr. Co. 2% 10/20/17 (a) 428,000 429,018 
  34,078,530 
Tobacco - 2.1%   
Altria Group, Inc. 2.625% 1/14/20 5,000,000 5,093,715 
BAT International Finance PLC:   
1.85% 6/15/18 (a) 7,000,000 7,028,826 
2.75% 6/15/20 (a) 3,160,000 3,227,204 
Imperial Tobacco Finance PLC:   
2.05% 2/11/18 (a) 1,906,000 1,904,205 
2.05% 7/20/18 (a) 2,866,000 2,852,217 
2.95% 7/21/20 (a) 3,000,000 3,042,849 
Philip Morris International, Inc.:   
1.25% 8/11/17 2,907,000 2,913,686 
1.875% 1/15/19 2,641,000 2,672,975 
2.15% 2/25/21 3,088,000 3,069,932 
Reynolds American, Inc.:   
2.3% 6/12/18 5,704,000 5,764,970 
3.25% 6/12/20 1,162,000 1,208,456 
4% 6/12/22 1,077,000 1,162,732 
6.75% 6/15/17 513,000 550,695 
  40,492,462 
TOTAL CONSUMER STAPLES  115,898,674 
ENERGY - 6.4%   
Energy Equipment & Services - 1.2%   
DCP Midstream LLC 5.35% 3/15/20 (a) 6,738,000 5,074,105 
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20 768,000 775,116 
Halliburton Co. 2.7% 11/15/20 10,247,000 10,100,007 
Nabors Industries, Inc. 2.35% 9/15/16 257,000 254,406 
National Oilwell Varco, Inc. 1.35% 12/1/17 620,000 601,065 
Noble Holding International Ltd.:   
2.5% 3/15/17 2,062,000 1,972,447 
4% 3/16/18 102,000 81,600 
Petrofac Ltd. 3.4% 10/10/18 (a) 1,000,000 848,196 
Transocean, Inc. 3% 10/15/17 (b) 3,500,000 3,150,000 
  22,856,942 
Oil, Gas & Consumable Fuels - 5.2%   
Anadarko Petroleum Corp.:   
5.95% 9/15/16 45,000 45,258 
6.375% 9/15/17 555,000 563,897 
BG Energy Capital PLC 2.875% 10/15/16 (a) 620,000 623,156 
BP Capital Markets PLC:   
1.375% 5/10/18 5,000,000 4,900,130 
2.248% 11/1/16 620,000 623,230 
2.521% 1/15/20 4,688,000 4,602,936 
Canadian Natural Resources Ltd. 1.75% 1/15/18 415,000 379,270 
Cenovus Energy, Inc. 5.7% 10/15/19 297,000 262,092 
Chevron Corp. 1.961% 3/3/20 4,000,000 3,945,772 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 (a) 2,107,000 2,021,527 
3.3% 6/1/20 (a) 1,439,000 1,347,461 
ConocoPhillips Co.:   
1.5% 5/15/18 4,373,000 4,174,816 
2.2% 5/15/20 1,962,000 1,813,934 
DCP Midstream Operating LP:   
2.5% 12/1/17 292,000 266,520 
2.7% 4/1/19 821,000 673,348 
Devon Energy Corp. 2.25% 12/15/18 3,484,000 3,036,045 
El Paso Natural Gas Co. 5.95% 4/15/17 21,000 21,247 
Enable Midstream Partners LP 2.4% 5/15/19 174,000 134,048 
Enbridge, Inc. 0.8662% 6/2/17 (b) 2,613,000 2,497,215 
Encana Corp. 6.5% 5/15/19 5,000,000 4,106,895 
EnLink Midstream Partners LP 2.7% 4/1/19 785,000 612,715 
Enterprise Products Operating LP:   
1.65% 5/7/18 3,631,000 3,508,058 
2.55% 10/15/19 178,000 172,265 
Exxon Mobil Corp.:   
2.25% 3/1/21 3,780,000 3,780,000 
2.75% 3/1/23 2,954,000 2,954,000 
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (a) 20,000 20,233 
Kinder Morgan Energy Partners LP 2.65% 2/1/19 1,737,000 1,624,635 
Kinder Morgan, Inc.:   
2% 12/1/17 393,000 375,315 
3.05% 12/1/19 3,758,000 3,469,198 
Marathon Petroleum Corp.:   
2.7% 12/14/18 436,000 422,271 
3.5% 3/1/16 875,000 875,000 
Petro-Canada 6.05% 5/15/18 3,326,000 3,402,714 
Petrobras Global Finance BV 3.25% 3/17/17 3,500,000 3,391,500 
Petrobras International Finance Co. Ltd. 5.875% 3/1/18 3,000,000 2,814,150 
Petroleos Mexicanos:   
3.125% 1/23/19 77,000 74,866 
3.5% 7/18/18 5,000,000 4,962,500 
3.5% 7/23/20 (a) 1,355,000 1,277,088 
5.5% 2/4/19 (a) 2,000,000 2,068,000 
6.375% 2/4/21 (a) 2,000,000 2,079,500 
Phillips 66 Co. 2.95% 5/1/17 1,260,000 1,275,823 
Plains All American Pipeline LP/PAA Finance Corp.:   
2.6% 12/15/19 3,000,000 2,662,155 
5.75% 1/15/20 962,000 927,449 
Schlumberger Investment SA 1.25% 8/1/17 (a) 1,000,000 982,971 
Shell International Finance BV 2.125% 5/11/20 2,287,000 2,227,234 
Southwestern Energy Co.:   
3.3% 1/23/18 2,476,000 1,782,720 
4.05% 1/23/20 864,000 557,280 
Spectra Energy Capital, LLC 5.65% 3/1/20 28,000 27,963 
Spectra Energy Partners, LP 2.95% 9/25/18 90,000 88,608 
Suncor Energy, Inc. 6.1% 6/1/18 944,000 968,638 
Total Capital International SA 2.125% 1/10/19 2,000,000 1,994,442 
TransCanada PipeLines Ltd.:   
1.4111% 1/12/18 (b) 2,500,000 2,454,215 
1.625% 11/9/17 3,000,000 2,947,137 
1.875% 1/12/18 3,000,000 2,942,763 
3.125% 1/15/19 1,693,000 1,703,783 
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 394,000 394,288 
Western Gas Partners LP:   
2.6% 8/15/18 1,257,000 1,098,480 
5.375% 6/1/21 600,000 512,543 
  99,471,297 
TOTAL ENERGY  122,328,239 
FINANCIALS - 33.4%   
Banks - 16.2%   
ABN AMRO Bank NV 2.5% 10/30/18 (a) 4,000,000 4,036,288 
Australia & New Zealand Banking Group Ltd.:   
1.45% 5/15/18 570,000 566,226 
2.25% 6/13/19 2,000,000 2,008,374 
Banco Nacional de Desenvolvimento Economico e Social:   
3.375% 9/26/16 (a) 520,000 518,700 
4% 4/14/19 (a) 2,575,000 2,369,000 
6.369% 6/16/18(a) 962,000 967,291 
Bank of America Corp.:   
1.7% 8/25/17 4,428,000 4,406,537 
2% 1/11/18 11,200,000 11,160,733 
2.25% 4/21/20 6,000,000 5,880,714 
2.6% 1/15/19 7,495,000 7,530,421 
2.65% 4/1/19 7,100,000 7,136,210 
5.75% 12/1/17 1,150,000 1,219,627 
Bank of Nova Scotia 2.8% 7/21/21 2,000,000 2,037,454 
Bank of Tokyo-Mitsubishi UFJ Ltd.:   
1.65% 2/26/18 (a) 590,000 587,812 
2.3% 3/5/20 (a) 3,000,000 2,979,918 
2.35% 9/8/19 (a) 3,050,000 3,070,072 
2.7% 9/9/18 (a) 500,000 507,476 
Barclays PLC:   
2% 3/16/18 5,000,000 4,902,945 
2.75% 11/8/19 2,831,000 2,779,985 
2.875% 6/8/20 3,000,000 2,875,242 
3.25% 1/12/21 2,046,000 1,972,520 
BNP Paribas 2.375% 9/14/17 6,000,000 6,057,180 
BNP Paribas SA 2.375% 5/21/20 3,000,000 2,963,892 
BPCE SA:   
1.625% 2/10/17 450,000 449,508 
2.5% 7/15/19 2,000,000 2,012,936 
Capital One NA:   
2.35% 8/17/18 500,000 497,679 
2.4% 9/5/19 2,000,000 1,973,672 
CIT Group, Inc. 3.875% 2/19/19 5,090,000 5,064,550 
Citigroup, Inc.:   
0.747% 6/9/16 (b) 3,000,000 2,995,281 
1.55% 8/14/17 2,000,000 1,989,300 
1.7% 4/27/18 1,500,000 1,484,054 
1.75% 5/1/18 2,870,000 2,841,601 
1.85% 11/24/17 3,000,000 2,990,352 
2.15% 7/30/18 2,000,000 1,992,866 
2.4% 2/18/20 4,000,000 3,964,536 
2.5% 9/26/18 1,500,000 1,509,650 
2.5% 7/29/19 2,000,000 2,004,824 
2.55% 4/8/19 3,000,000 3,009,075 
2.65% 10/26/20 3,000,000 2,995,935 
4.4% 6/10/25 2,604,000 2,596,412 
Citizens Bank NA:   
2.3% 12/3/18 1,384,000 1,385,749 
2.45% 12/4/19 3,000,000 2,976,399 
Comerica, Inc. 2.125% 5/23/19 345,000 339,321 
Commonwealth Bank of Australia:   
2.25% 3/13/19 750,000 755,015 
2.3% 9/6/19 2,000,000 2,013,424 
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 1.7% 3/19/18 2,000,000 1,997,872 
Credit Agricole SA 2.75% 6/10/20 (a) 8,000,000 8,052,856 
Credit Suisse AG 6% 2/15/18 3,680,000 3,896,012 
Credit Suisse New York Branch:   
1.75% 1/29/18 2,000,000 1,987,596 
2.3% 5/28/19 5,750,000 5,703,437 
3% 10/29/21 1,500,000 1,501,599 
Discover Bank:   
2% 2/21/18 5,920,000 5,848,623 
2.6% 11/13/18 2,000,000 1,997,984 
Fifth Third Bancorp:   
2.3% 3/1/19 279,000 279,360 
2.875% 7/27/20 3,200,000 3,225,056 
4.5% 6/1/18 3,024,000 3,182,355 
5.45% 1/15/17 291,000 300,530 
Fifth Third Bank 2.375% 4/25/19 1,000,000 1,004,531 
First Horizon National Corp. 3.5% 12/15/20 3,000,000 2,978,658 
HBOS PLC 6.75% 5/21/18 (a) 509,000 547,333 
HSBC Bank PLC 1.5% 5/15/18 (a) 1,570,000 1,560,379 
HSBC U.S.A., Inc.:   
2.375% 11/13/19 3,000,000 2,968,404 
2.625% 9/24/18 262,000 263,510 
Huntington Bancshares, Inc. 7% 12/15/20 180,000 213,584 
Huntington National Bank 2.2% 4/1/19 1,000,000 991,448 
ING Bank NV 1.8% 3/16/18 (a) 3,000,000 2,994,819 
Intesa Sanpaolo SpA 2.375% 1/13/17 10,750,000 10,784,121 
JPMorgan Chase & Co.:   
1.35% 2/15/17 2,500,000 2,500,718 
1.625% 5/15/18 4,500,000 4,477,964 
2% 8/15/17 4,500,000 4,520,547 
2.2% 10/22/19 10,058,000 10,052,247 
2.25% 1/23/20 3,000,000 2,993,340 
2.35% 1/28/19 1,942,000 1,961,261 
2.55% 10/29/20 3,000,000 3,006,915 
2.75% 6/23/20 3,000,000 3,032,724 
KeyCorp. 2.3% 12/13/18 2,000,000 2,000,810 
La Caisse Centrale 1.75% 1/29/18 (a) 4,000,000 3,971,088 
Lloyds Bank PLC 1.75% 3/16/18 3,000,000 2,985,951 
Manufacturers & Traders Trust Co. 2.1% 2/6/20 3,000,000 2,958,391 
Mitsubishi UFJ Financial Group, Inc. 2.95% 3/1/21 4,000,000 4,035,252 
Mizuho Bank Ltd.:   
1.55% 10/17/17 (a) 1,940,000 1,928,211 
1.8% 3/26/18 (a) 1,500,000 1,492,547 
2.45% 4/16/19 (a) 1,400,000 1,409,345 
2.65% 9/25/19 (a) 2,000,000 2,027,798 
MUFG Americas Holdings Corp. 2.25% 2/10/20 1,241,000 1,225,025 
Nordea Bank AB 2.375% 4/4/19 (a) 1,000,000 1,007,280 
PNC Bank NA:   
1.5% 2/23/18 2,100,000 2,094,303 
1.8% 11/5/18 2,000,000 1,999,910 
2.4% 10/18/19 3,000,000 3,041,841 
Regions Financial Corp.:   
2% 5/15/18 5,330,000 5,282,739 
3.2% 2/8/21 4,000,000 3,980,616 
Royal Bank of Canada:   
1.5% 1/16/18 2,720,000 2,716,176 
4.65% 1/27/26 2,144,000 2,162,595 
Royal Bank of Scotland Group PLC 1.5431% 3/31/17 (b) 8,715,000 8,687,260 
Sumitomo Mitsui Banking Corp.:   
1.8% 7/18/17 940,000 941,262 
2.25% 7/11/19 3,500,000 3,502,478 
2.45% 1/10/19 590,000 595,455 
2.45% 1/16/20 3,000,000 3,001,353 
2.65% 7/23/20 3,000,000 3,029,907 
SunTrust Banks, Inc.:   
2.35% 11/1/18 924,000 926,272 
2.5% 5/1/19 550,000 552,672 
3% 3/3/21 2,828,000 2,821,863 
3.5% 1/20/17 1,378,000 1,401,239 
Svenska Handelsbanken AB 1.625% 3/21/18 2,000,000 1,994,100 
The Toronto-Dominion Bank:   
2.25% 11/5/19 2,000,000 2,022,318 
2.625% 9/10/18 1,200,000 1,223,944 
Wells Fargo & Co.:   
1.5% 1/16/18 1,300,000 1,297,769 
2.15% 1/15/19 5,500,000 5,538,621 
2.6% 7/22/20 3,000,000 3,034,137 
  308,093,067 
Capital Markets - 4.5%   
Deutsche Bank AG London Branch:   
1.4% 2/13/17 1,000,000 993,530 
2.5% 2/13/19 2,250,000 2,201,945 
Goldman Sachs Group, Inc.:   
1.312% 12/15/17 (b) 3,000,000 2,986,422 
2.375% 1/22/18 8,850,000 8,903,658 
2.625% 1/31/19 13,000,000 13,098,852 
5.95% 1/18/18 1,693,000 1,805,222 
6.15% 4/1/18 402,000 433,292 
Lazard Group LLC:   
4.25% 11/14/20 543,000 557,173 
6.85% 6/15/17 125,000 131,425 
Legg Mason, Inc. 2.7% 7/15/19 2,000,000 2,027,170 
Merrill Lynch & Co., Inc.:   
6.4% 8/28/17 40,000 42,433 
6.875% 4/25/18 726,000 792,950 
Morgan Stanley:   
1.875% 1/5/18 2,000,000 1,995,018 
2.125% 4/25/18 3,580,000 3,578,965 
2.375% 7/23/19 9,660,000 9,638,941 
2.5% 1/24/19 1,750,000 1,759,051 
2.65% 1/27/20 11,000,000 10,983,522 
4.75% 3/22/17 2,000,000 2,065,596 
4.875% 11/1/22 2,000,000 2,108,646 
5.5% 1/26/20 2,000,000 2,197,642 
5.625% 9/23/19 112,000 122,919 
5.95% 12/28/17 383,000 408,970 
7.3% 5/13/19 603,000 689,615 
UBS AG Stamford Branch:   
1.3031% 3/26/18 (b) 3,000,000 2,992,602 
1.375% 6/1/17 5,675,000 5,660,688 
1.375% 8/14/17 6,700,000 6,674,969 
  84,851,216 
Consumer Finance - 4.4%   
Ally Financial, Inc.:   
3.25% 2/13/18 3,000,000 2,970,000 
3.25% 11/5/18 3,000,000 2,947,500 
American Express Co. 1.55% 5/22/18 3,000,000 2,968,890 
American Express Credit Corp. 2.125% 3/18/19 5,520,000 5,521,932 
American Honda Finance Corp. 1.5% 9/11/17 (a) 620,000 620,854 
Capital One Financial Corp. 2.45% 4/24/19 5,450,000 5,449,995 
Discover Financial Services 6.45% 6/12/17 3,381,000 3,545,655 
Ford Motor Credit Co. LLC:   
1.461% 3/27/17 2,000,000 1,986,500 
1.684% 9/8/17 1,000,000 985,346 
2.145% 1/9/18 2,500,000 2,487,068 
2.24% 6/15/18 6,000,000 5,913,252 
2.597% 11/4/19 5,000,000 4,926,150 
2.875% 10/1/18 2,500,000 2,501,283 
3% 6/12/17 4,500,000 4,537,733 
3.157% 8/4/20 3,000,000 2,987,739 
General Electric Capital Corp. 2.2% 1/9/20 2,577,000 2,628,682 
Hyundai Capital America:   
1.45% 2/6/17 (a) 632,000 629,895 
2% 3/19/18 (a) 1,891,000 1,882,540 
2.125% 10/2/17 (a) 2,437,000 2,438,972 
2.55% 2/6/19 (a) 4,759,000 4,773,653 
2.6% 3/19/20 (a) 2,000,000 2,001,038 
2.875% 8/9/18 (a) 2,606,000 2,625,584 
John Deere Capital Corp. 1.6% 7/13/18 590,000 590,660 
Synchrony Financial:   
1.875% 8/15/17 173,000 171,112 
2.6% 1/15/19 3,000,000 2,975,190 
2.7% 2/3/20 2,500,000 2,450,305 
3% 8/15/19 3,000,000 3,004,803 
Toyota Motor Credit Corp.:   
1.55% 7/13/18 5,000,000 5,000,930 
2% 10/24/18 2,500,000 2,526,355 
  84,049,616 
Diversified Financial Services - 1.4%   
AIG Global Funding 1.65% 12/15/17 (a) 2,000,000 1,995,132 
Berkshire Hathaway Finance Corp. 1.6% 5/15/17 620,000 624,668 
Brixmor Operating Partnership LP 3.875% 8/15/22 1,161,000 1,079,701 
GE Capital International Funding Co. 2.342% 11/15/20 (a) 11,630,000 11,747,835 
IntercontinentalExchange, Inc.:   
2.5% 10/15/18 347,000 351,491 
2.75% 12/1/20 619,000 629,216 
McGraw Hill Financial, Inc. 2.5% 8/15/18 1,049,000 1,054,303 
Moody's Corp. 2.75% 7/15/19 8,000,000 8,153,616 
  25,635,962 
Insurance - 3.9%   
ACE INA Holdings, Inc. 2.3% 11/3/20 1,173,000 1,179,925 
AFLAC, Inc. 2.4% 3/16/20 6,000,000 6,061,296 
AIA Group Ltd. 2.25% 3/11/19 (a) 3,529,000 3,531,064 
American International Group, Inc.:   
2.3% 7/16/19 5,304,000 5,260,921 
3.3% 3/1/21 987,000 997,892 
4.875% 6/1/22 1,484,000 1,583,444 
5.85% 1/16/18 1,910,000 2,036,614 
Aon Corp.:   
3.125% 5/27/16 2,000,000 2,009,400 
5% 9/30/20 2,178,000 2,402,872 
Aon PLC 2.8% 3/15/21 7,000,000 7,050,967 
Assurant, Inc. 2.5% 3/15/18 2,000,000 2,000,926 
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (a)(b) 259,000 253,820 
Hartford Financial Services Group, Inc. 5.375% 3/15/17 18,000 18,653 
Liberty Mutual Group, Inc. 5% 6/1/21 (a) 5,599,000 6,039,680 
Marsh & McLennan Companies, Inc.:   
2.35% 9/10/19 495,000 498,586 
2.35% 3/6/20 5,000,000 5,007,650 
2.55% 10/15/18 517,000 528,825 
MassMutual Global Funding II 2.35% 4/9/19 (a) 1,000,000 1,012,422 
MetLife, Inc.:   
1.756% 12/15/17 (b) 269,000 269,107 
1.903% 12/15/17 (b) 180,000 180,075 
Metropolitan Life Global Funding I:   
1.3% 4/10/17 (a) 1,500,000 1,500,198 
1.5% 1/10/18 (a) 4,431,000 4,399,890 
2% 4/14/20 (a) 3,000,000 2,952,063 
New York Life Global Funding 1.55% 11/2/18 (a) 3,500,000 3,486,546 
Pacific LifeCorp 6% 2/10/20 (a) 1,579,000 1,766,724 
Pricoa Global Funding I:   
1.15% 11/25/16 (a) 2,000,000 1,999,230 
1.6% 5/29/18 (a) 967,000 961,402 
Principal Life Global Funding II 2.375% 9/11/19 (a) 2,200,000 2,212,285 
Prudential Financial, Inc. 3.5% 5/15/24 2,550,000 2,499,112 
Symetra Financial Corp. 6.125% 4/1/16 (a) 892,000 895,440 
TIAA Asset Management Finance LLC 2.95% 11/1/19 (a) 280,000 281,411 
Unum Group:   
5.625% 9/15/20 2,743,000 3,003,489 
7.125% 9/30/16 704,000 725,257 
  74,607,186 
Real Estate Investment Trusts - 1.5%   
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22 189,000 201,461 
American Campus Communities Operating Partnership LP 3.35% 10/1/20 1,272,000 1,291,753 
Boston Properties, Inc.:   
3.7% 11/15/18 1,787,000 1,851,579 
5.875% 10/15/19 446,000 495,049 
DDR Corp.:   
4.75% 4/15/18 1,634,000 1,699,563 
7.5% 4/1/17 389,000 410,565 
Digital Delta Holdings LLC 3.4% 10/1/20 (a) 1,735,000 1,765,408 
Duke Realty LP:   
5.95% 2/15/17 354,000 367,509 
6.75% 3/15/20 35,000 40,124 
8.25% 8/15/19 7,000 8,297 
Equity One, Inc. 6% 9/15/17 509,000 536,860 
ERP Operating LP:   
2.375% 7/1/19 1,641,000 1,648,826 
3.375% 6/1/25 3,000,000 3,052,035 
5.75% 6/15/17 442,000 463,662 
Federal Realty Investment Trust:   
2.55% 1/15/21 5,000,000 5,088,395 
5.9% 4/1/20 5,000 5,734 
Government Properties Income Trust 3.75% 8/15/19 3,000,000 3,076,506 
Health Care Property Investors, Inc. 6% 1/30/17 750,000 776,806 
Health Care REIT, Inc.:   
2.25% 3/15/18 250,000 249,343 
4.7% 9/15/17 2,436,000 2,536,980 
HRPT Properties Trust:   
6.25% 6/15/17 186,000 191,489 
6.65% 1/15/18 95,000 100,034 
Select Income REIT 2.85% 2/1/18 597,000 595,066 
Simon Property Group LP 2.2% 2/1/19 462,000 467,136 
United Dominion Realty Trust, Inc. 4.25% 6/1/18 431,000 450,828 
  27,371,008 
Real Estate Management & Development - 1.5%   
BioMed Realty LP 3.85% 4/15/16 1,379,000 1,380,294 
Brandywine Operating Partnership LP:   
4.95% 4/15/18 51,000 53,290 
5.7% 5/1/17 369,000 383,280 
6% 4/1/16 2,124,000 2,131,217 
Essex Portfolio LP 5.5% 3/15/17 2,046,000 2,122,643 
Liberty Property LP:   
4.75% 10/1/20 1,045,000 1,126,989 
5.5% 12/15/16 2,260,000 2,324,824 
6.625% 10/1/17 2,707,000 2,880,890 
Mack-Cali Realty LP:   
2.5% 12/15/17 439,000 434,917 
4.5% 4/18/22 185,000 180,117 
7.75% 8/15/19 1,298,000 1,424,996 
Prime Property Funding, Inc. 5.7% 4/15/17 (a) 405,000 417,554 
Reckson Operating Partnership LP 6% 3/31/16 152,000 152,500 
Regency Centers LP 5.875% 6/15/17 187,000 196,458 
Tanger Properties LP 6.125% 6/1/20 606,000 689,085 
Ventas Realty LP:   
1.25% 4/17/17 1,882,000 1,866,673 
1.55% 9/26/16 346,000 346,160 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 1,743,000 1,734,079 
4% 4/30/19 6,000,000 6,266,298 
Washington Prime Group LP 3.85% 4/1/20 2,090,000 2,153,477 
  28,265,741 
TOTAL FINANCIALS  632,873,796 
HEALTH CARE - 3.8%   
Biotechnology - 1.5%   
AbbVie, Inc.:   
1.75% 11/6/17 1,062,000 1,061,398 
1.8% 5/14/18 3,972,000 3,960,811 
2.5% 5/14/20 7,349,000 7,344,106 
Amgen, Inc.:   
0.9982% 5/22/17 (b) 3,000,000 2,991,537 
1.25% 5/22/17 1,500,000 1,496,820 
2.125% 5/1/20 1,618,000 1,607,023 
2.2% 5/22/19 4,290,000 4,345,178 
5.85% 6/1/17 446,000 469,860 
Celgene Corp.:   
2.125% 8/15/18 1,549,000 1,555,995 
2.875% 8/15/20 3,000,000 3,041,232 
  27,873,960 
Health Care Equipment & Supplies - 0.4%   
Becton, Dickinson & Co.:   
1.8% 12/15/17 1,486,000 1,487,877 
2.675% 12/15/19 329,000 335,914 
Medtronic, Inc.:   
1.5% 3/15/18 1,770,000 1,774,209 
2.5% 3/15/20 2,200,000 2,253,757 
Zimmer Biomet Holdings, Inc. 2% 4/1/18 2,702,000 2,690,211 
  8,541,968 
Health Care Providers & Services - 1.0%   
Cardinal Health, Inc. 1.95% 6/15/18 462,000 462,152 
Coventry Health Care, Inc. 5.95% 3/15/17 264,000 276,071 
Express Scripts Holding Co.:   
1.25% 6/2/17 1,500,000 1,492,229 
2.25% 6/15/19 1,000,000 993,543 
McKesson Corp. 2.284% 3/15/19 686,000 688,483 
UnitedHealth Group, Inc.:   
1.4% 10/15/17 2,128,000 2,130,296 
1.9% 7/16/18 3,000,000 3,028,026 
2.125% 3/15/21 3,000,000 2,999,637 
2.7% 7/15/20 1,361,000 1,398,466 
2.875% 12/15/21 2,000,000 2,053,886 
WellPoint, Inc.:   
1.875% 1/15/18 326,000 325,322 
2.25% 8/15/19 2,950,000 2,932,188 
  18,780,299 
Life Sciences Tools & Services - 0.2%   
Thermo Fisher Scientific, Inc.:   
1.3% 2/1/17 136,000 135,518 
2.15% 12/14/18 881,000 881,393 
2.4% 2/1/19 3,086,000 3,096,063 
  4,112,974 
Pharmaceuticals - 0.7%   
Actavis Funding SCS:   
1.3% 6/15/17 2,400,000 2,387,438 
2.35% 3/12/18 3,000,000 3,018,123 
2.45% 6/15/19 352,000 353,012 
3% 3/12/20 1,157,000 1,176,914 
Bayer U.S. Finance LLC:   
1.5% 10/6/17 (a) 1,863,000 1,866,385 
2.375% 10/8/19 (a) 1,481,000 1,502,152 
Mylan, Inc. 1.35% 11/29/16 160,000 158,895 
Perrigo Co. PLC 1.3% 11/8/16 200,000 198,841 
Perrigo Finance PLC 3.5% 12/15/21 263,000 260,641 
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 210,000 210,180 
Zoetis, Inc.:   
1.875% 2/1/18 1,616,000 1,598,592 
3.45% 11/13/20 493,000 502,205 
  13,233,378 
TOTAL HEALTH CARE  72,542,579 
INDUSTRIALS - 1.7%   
Aerospace & Defense - 0.8%   
BAE Systems Holdings, Inc. 2.85% 12/15/20 (a) 5,615,000 5,676,552 
L-3 Communications Corp. 1.5% 5/28/17 3,685,000 3,635,606 
Lockheed Martin Corp. 2.5% 11/23/20 2,361,000 2,402,596 
The Boeing Co. 1.65% 10/30/20 3,000,000 2,963,865 
  14,678,619 
Airlines - 0.0%   
Continental Airlines, Inc.:   
6.648% 3/15/19 131,410 133,539 
6.795% 2/2/20 2,618 2,716 
6.9% 7/2/19 24,663 25,080 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 151,811 155,439 
8.36% 1/20/19 96,657 99,741 
  416,515 
Industrial Conglomerates - 0.7%   
Covidien International Finance SA 6% 10/15/17 442,000 473,015 
Danaher Corp.:   
1.65% 9/15/18 3,976,000 3,999,498 
2.4% 9/15/20 619,000 632,000 
Roper Technologies, Inc.:   
2.05% 10/1/18 2,919,000 2,904,545 
3% 12/15/20 5,100,000 5,152,765 
  13,161,823 
Machinery - 0.0%   
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 263,000 261,329 
Trading Companies & Distributors - 0.2%   
Air Lease Corp.:   
2.125% 1/15/18 414,000 404,168 
2.625% 9/4/18 1,628,000 1,579,689 
3.75% 2/1/22 1,228,000 1,141,008 
3.875% 4/1/21 500,000 483,750 
4.75% 3/1/20 605,000 615,588 
  4,224,203 
TOTAL INDUSTRIALS  32,742,489 
INFORMATION TECHNOLOGY - 2.1%   
Communications Equipment - 0.4%   
Cisco Systems, Inc.:   
1.65% 6/15/18 3,000,000 3,021,297 
2.125% 3/1/19 1,500,000 1,531,863 
2.45% 6/15/20 3,000,000 3,073,731 
  7,626,891 
Electronic Equipment & Components - 0.5%   
Amphenol Corp. 1.55% 9/15/17 1,426,000 1,422,150 
Tyco Electronics Group SA:   
2.35% 8/1/19 3,000,000 3,010,647 
2.375% 12/17/18 99,000 99,440 
6.55% 10/1/17 4,476,000 4,805,832 
  9,338,069 
IT Services - 0.4%   
MasterCard, Inc. 2% 4/1/19 289,000 293,400 
The Western Union Co.:   
2.875% 12/10/17 773,000 786,382 
3.65% 8/22/18 3,111,000 3,176,238 
Xerox Corp.:   
2.75% 3/15/19 2,585,000 2,459,338 
2.95% 3/15/17 1,057,000 1,059,252 
  7,774,610 
Software - 0.4%   
Oracle Corp.:   
2.25% 10/8/19 1,552,000 1,590,133 
2.5% 5/15/22 5,000,000 5,028,325 
  6,618,458 
Technology Hardware, Storage & Peripherals - 0.4%   
Apple, Inc. 2.85% 5/6/21 850,000 883,223 
Hewlett Packard Enterprise Co.:   
2.85% 10/5/18 (a) 4,000,000 4,001,316 
3.6% 10/15/20 (a) 3,000,000 2,991,930 
  7,876,469 
TOTAL INFORMATION TECHNOLOGY  39,234,497 
MATERIALS - 1.4%   
Chemicals - 0.7%   
Albemarle Corp. U.S. 3% 12/1/19 1,321,000 1,293,766 
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (a) 5,340,000 5,247,266 
Ecolab, Inc.:   
1.45% 12/8/17 335,000 333,324 
1.55% 1/12/18 2,500,000 2,489,298 
Monsanto Co. 2.125% 7/15/19 3,000,000 3,017,427 
Sherwin-Williams Co. 1.35% 12/15/17 620,000 618,932 
  13,000,013 
Metals & Mining - 0.7%   
Anglo American Capital PLC:   
1.572% 4/15/16 (a)(b) 1,624,000 1,600,510 
3.625% 5/14/20 (a) 1,513,000 1,202,835 
Corporacion Nacional del Cobre de Chile (Codelco) 3.875% 11/3/21 (a) 630,000 633,211 
Freeport-McMoRan, Inc.:   
2.3% 11/14/17 670,000 613,050 
2.375% 3/15/18 4,000,000 3,445,000 
Rio Tinto Finance (U.S.A.) PLC 1.625% 8/21/17 2,440,000 2,390,387 
Teck Resources Ltd. 3% 3/1/19 3,000,000 2,287,500 
Vale Overseas Ltd. 6.25% 1/23/17 403,000 406,264 
  12,578,757 
TOTAL MATERIALS  25,578,770 
TELECOMMUNICATION SERVICES - 3.3%   
Diversified Telecommunication Services - 2.6%   
AT&T, Inc.:   
1.4% 12/1/17 1,620,000 1,612,166 
2.375% 11/27/18 10,000,000 10,107,600 
2.45% 6/30/20 1,563,000 1,556,843 
BellSouth Corp. 4.821% 4/26/16 (a)(b) 3,000,000 3,017,844 
British Telecommunications PLC:   
1.25% 2/14/17 1,000,000 998,730 
1.625% 6/28/16 4,314,000 4,321,002 
2.35% 2/14/19 4,296,000 4,336,666 
CenturyLink, Inc. 6.15% 9/15/19 592,000 608,280 
Deutsche Telekom International Financial BV:   
3.125% 4/11/16 (a) 923,000 924,911 
5.75% 3/23/16 2,000,000 2,005,562 
Verizon Communications, Inc.:   
1.1% 11/1/17 620,000 614,143 
1.35% 6/9/17 750,000 749,611 
2% 11/1/16 1,279,000 1,286,130 
2.5% 9/15/16 1,044,000 1,052,060 
2.625% 2/21/20 2,913,000 2,953,255 
3.65% 9/14/18 6,000,000 6,279,426 
4.5% 9/15/20 3,000,000 3,262,587 
6.1% 4/15/18 3,425,000 3,721,218 
  49,408,034 
Wireless Telecommunication Services - 0.7%   
America Movil S.A.B. de CV 2.375% 9/8/16 2,646,000 2,657,489 
Vodafone Group PLC:   
1.5% 2/19/18 2,625,000 2,600,068 
1.625% 3/20/17 5,400,000 5,421,832 
5.45% 6/10/19 2,000,000 2,191,938 
  12,871,327 
TOTAL TELECOMMUNICATION SERVICES  62,279,361 
UTILITIES - 4.6%   
Electric Utilities - 2.4%   
AmerenUE 6.4% 6/15/17 519,000 550,381 
American Electric Power Co., Inc. 1.65% 12/15/17 1,827,000 1,814,441 
Commonwealth Edison Co. 2.15% 1/15/19 188,000 190,007 
Duke Energy Corp.:   
0.9922% 4/3/17 (b) 2,894,000 2,872,836 
1.625% 8/15/17 3,304,000 3,301,205 
2.1% 6/15/18 5,395,000 5,406,205 
Duquesne Light Holdings, Inc. 6.4% 9/15/20 (a) 48,000 54,802 
Edison International 3.75% 9/15/17 431,000 443,996 
Eversource Energy 1.45% 5/1/18 153,000 151,174 
Exelon Corp.:   
1.55% 6/9/17 311,000 309,492 
2.85% 6/15/20 458,000 461,886 
FirstEnergy Corp.:   
2.75% 3/15/18 6,652,000 6,719,777 
4.25% 3/15/23 600,000 626,340 
FirstEnergy Solutions Corp. 6.05% 8/15/21 655,000 695,750 
Hydro-Quebec 2% 6/30/16 2,500,000 2,511,300 
IPALCO Enterprises, Inc. 3.45% 7/15/20 2,576,000 2,566,340 
LG&E and KU Energy LLC 3.75% 11/15/20 2,000 2,100 
Nevada Power Co.:   
6.5% 5/15/18 1,562,000 1,719,876 
6.5% 8/1/18 273,000 302,209 
NextEra Energy Capital Holdings, Inc. 1.586% 6/1/17 2,904,000 2,899,182 
PacifiCorp 5.5% 1/15/19 2,750,000 3,034,515 
Pennsylvania Electric Co. 6.05% 9/1/17 115,000 122,183 
Public Service Electric & Gas Co. 2.3% 9/15/18 2,000,000 2,029,604 
TECO Finance, Inc.:   
1.2169% 4/10/18 (b) 3,000,000 2,957,541 
5.15% 3/15/20 252,000 274,297 
Xcel Energy, Inc. 1.2% 6/1/17 3,153,000 3,141,838 
  45,159,277 
Gas Utilities - 0.1%   
Texas Eastern Transmission LP 6% 9/15/17 (a) 1,096,000 1,150,942 
Independent Power and Renewable Electricity Producers - 0.2%   
Southern Power Co.:   
1.85% 12/1/17 704,000 704,132 
2.375% 6/1/20 1,087,000 1,068,419 
TransAlta Corp. 1.9% 6/3/17 2,900,000 2,721,676 
  4,494,227 
Multi-Utilities - 1.9%   
Ameren Illinois Co. 6.125% 11/15/17 62,000 66,639 
Berkshire Hathaway Energy Co.:   
1.1% 5/15/17 1,000,000 997,097 
2% 11/15/18 544,000 544,917 
Dominion Resources, Inc.:   
1.4% 9/15/17 3,225,000 3,204,118 
1.9% 6/15/18 2,540,000 2,526,756 
2.5% 12/1/19 7,382,000 7,438,081 
2.9031% 9/30/66 (b) 651,000 437,505 
7.5% 6/30/66 (b) 567,000 474,863 
NiSource Finance Corp.:   
3.85% 2/15/23 700,000 729,931 
5.45% 9/15/20 43,000 47,595 
6.4% 3/15/18 888,000 963,072 
NSTAR 4.5% 11/15/19 2,500,000 2,699,093 
PG&E Corp. 2.4% 3/1/19 74,000 74,746 
Puget Energy, Inc. 6.5% 12/15/20 991,000 1,156,255 
Sempra Energy:   
2.3% 4/1/17 4,935,000 4,967,127 
2.4% 3/15/20 1,890,000 1,854,825 
2.85% 11/15/20 1,392,000 1,397,163 
Wisconsin Energy Corp.:   
1.65% 6/15/18 3,006,000 3,000,481 
2.45% 6/15/20 2,901,000 2,937,341 
6.25% 5/15/67 (b) 454,000 335,960 
  35,853,565 
TOTAL UTILITIES  86,658,011 
TOTAL NONCONVERTIBLE BONDS   
(Cost $1,330,486,155)  1,321,778,285 
U.S. Treasury Obligations - 7.8%   
U.S. Treasury Notes:   
0.75% 2/15/19 $64,146,000 $63,847,822 
0.875% 10/15/17 10,230,000 10,243,186 
1% 5/15/18 12,459,000 12,504,264 
1.125% 1/15/19 11,574,000 11,646,789 
1.375% 3/31/20 (c) 9,683,000 9,768,859 
1.375% 1/31/21 30,000,000 30,199,230 
1.75% 12/31/20 10,000,000 10,242,190 
TOTAL U.S. TREASURY OBLIGATIONS   
(Cost $148,247,181)  148,452,340 
U.S. Government Agency - Mortgage Securities - 0.7%   
Fannie Mae - 0.5%   
2.45% 11/1/36 (b) 149,520 157,298 
2.468% 1/1/40 (b) 159,432 167,747 
2.471% 3/1/40 (b) 117,232 123,895 
2.489% 12/1/33 (b) 622,566 656,878 
2.51% 7/1/35 (b) 76,754 81,056 
2.557% 3/1/40 (b) 83,774 88,367 
2.557% 6/1/42 (b) 51,722 53,279 
2.595% 4/1/35 (b) 371,174 390,798 
2.685% 12/1/39 (b) 46,132 48,780 
2.689% 2/1/42 (b) 533,419 554,586 
2.761% 1/1/42 (b) 443,205 461,244 
2.951% 11/1/40 (b) 30,288 31,444 
2.98% 9/1/41 (b) 36,605 38,279 
2.991% 10/1/41 (b) 19,908 20,792 
3.249% 7/1/41 (b) 53,942 56,357 
3.347% 10/1/41 (b) 28,170 29,577 
3.5% 7/1/26 to 10/1/29 3,925,938 4,184,901 
3.553% 7/1/41 (b) 66,657 70,095 
4.5% 3/1/35 35,980 39,312 
6% 5/1/16 to 4/1/17 4,292 4,324 
6.5% 5/1/16 to 8/1/36 492,494 576,010 
7% 9/1/18 to 6/1/33 296,771 352,410 
7.5% 8/1/17 to 3/1/28 98,062 115,527 
8.5% 5/1/21 to 9/1/25 7,611 8,878 
9.5% 2/1/25 515 559 
10.5% 8/1/20 4,847 5,256 
TOTAL FANNIE MAE  8,317,649 
Freddie Mac - 0.2%   
2.413% 4/1/40 (b) 90,242 95,134 
2.53% 4/1/40 (b) 83,409 88,053 
2.535% 2/1/40 (b) 134,267 141,670 
3.208% 9/1/41 (b) 35,210 36,795 
3.216% 4/1/41 (b) 40,299 42,125 
3.297% 6/1/41(b) 45,031 47,062 
3.451% 5/1/41 (b) 30,676 31,918 
3.5% 8/1/26 2,892,634 3,073,423 
3.626% 6/1/41 (b) 65,362 68,520 
3.706% 5/1/41 (b) 47,749 50,127 
4.5% 8/1/18 165,043 170,228 
5% 3/1/19 298,295 309,331 
8.5% 9/1/24 to 8/1/27 29,609 35,723 
TOTAL FREDDIE MAC  4,190,109 
Ginnie Mae - 0.0%   
7% 7/15/28 to 11/15/28 80,591 95,797 
7.5% 2/15/28 to 10/15/28 3,477 4,227 
8% 6/15/24 60 70 
8.5% 10/15/21 23,279 26,451 
11% 7/20/19 to 8/20/19 1,163 1,269 
TOTAL GINNIE MAE  127,814 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $12,453,990)  12,635,572 
Asset-Backed Securities - 8.4%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1.1266% 4/25/35 (b) $56,669 $50,620 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 2.0765% 3/25/34 (b) 33,430 31,836 
Ally Auto Receivables Trust Series 2015-SN1 Class A3, 1.21% 12/20/17 670,000 669,791 
Ally Master Owner Trust:   
Series 2012-4 Class A, 1.72% 7/15/19 292,000 292,617 
Series 2012-5 Class A, 1.54% 9/15/19 11,057,000 11,059,799 
Series 2014-3 Class A, 1.33% 3/15/19 2,425,000 2,423,954 
Series 2014-4 Class A2, 1.43% 6/17/19 3,870,000 3,868,162 
Series 2014-5 Class A2, 1.6% 10/15/19 3,000,000 3,001,941 
Series 2015-3 Class A, 1.63% 5/15/20 3,130,000 3,129,670 
American Express Credit Account Master Trust:   
Series 2014-3 Class A, 1.49% 4/15/20 2,000,000 2,010,564 
Series 2014-4 Class A, 1.43% 6/15/20 3,780,000 3,795,992 
AmeriCredit Automobile Receivables Trust:   
Series 2013-5 Class A3, 0.9% 9/10/18 344,793 344,403 
Series 2014-2 Class A3, 0.94% 2/8/19 1,300,000 1,297,610 
Series 2014-4 Class A3, 1.27% 7/8/19 505,000 503,911 
Series 2015-2 Class A3, 1.27% 1/8/20 3,000,000 2,982,881 
Series 2016-1 Class A3, 2.14% 10/8/20 1,888,000 1,894,388 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1.4858% 12/25/33 (b) 5,239 4,802 
Series 2004-R2 Class M3, 1.2608% 4/25/34 (b) 10,238 7,473 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1.2158% 3/25/34 (b) 4,092 3,632 
Series 2004-W11 Class M2, 1.4858% 11/25/34 (b) 63,962 61,475 
Series 2004-W7 Class M1, 1.2608% 5/25/34 (b) 179,644 164,200 
Series 2006-W4 Class A2C, 0.5958% 5/25/36 (b) 130,347 46,202 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1.2515% 4/25/34 (b) 142,339 123,552 
Series 2006-HE2 Class M1, 0.8058% 3/25/36 (b) 2,215 369 
Bank of America Credit Card Master Trust Series 2015-A2 Class A, 1.36% 9/15/20 3,769,000 3,777,936 
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1.5608% 2/25/35 (b) 378,742 334,166 
Capital Auto Receivables Asset Trust:   
Series 2014-2 Class A2, 0.91% 4/20/17 231,473 231,472 
Series 2014-3 Class A2, 1.18% 12/20/17 1,176,000 1,175,464 
Series 2015-1 Class A2, 1.42% 6/20/18 1,807,000 1,808,549 
Series 2015-2 Class A2, 1.39% 9/20/18 1,603,000 1,604,242 
Capital One Multi-Asset Execution Trust Series 2014-A5 Class A, 1.48% 7/15/20 2,200,000 2,209,936 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.5758% 12/25/36 (b) 205,465 139,790 
Chase Issuance Trust Series 2015-A2, Class A, 1.59% 2/18/20 3,000,000 3,020,538 
Chrysler Capital Auto Receivables Trust Series 2015-AA Class A3, 1.22% 7/15/19 (a) 4,000,000 3,990,726 
CIT Equipment Collateral:   
Series 2013-VT1 Class A3, 1.13% 7/20/20 (a) 1,689,604 1,689,751 
Series 2014-VT1 Class A3, 1.5% 10/21/19 (a) 1,640,000 1,634,573 
Citibank Credit Card Issuance Trust Series 2014-A6 Class A6, 2.15% 7/15/21 2,896,000 2,956,777 
Countrywide Home Loans, Inc.:   
Series 2003-BC1 Class B1, 5.6858% 3/25/32 (b) 9,741 8,905 
Series 2004-3 Class M4, 1.8908% 4/25/34 (b) 7,185 6,293 
Series 2004-4 Class M2, 1.2308% 6/25/34 (b) 8,377 7,575 
Dell Equipment Finance Trust Series 2015-1 Class A3, 1.3% 3/23/20 (a) 4,490,000 4,472,434 
Discover Card Master Trust:   
Series 2014-A5 Class A, 1.39% 4/15/20 1,780,000 1,786,807 
Series 2016-A1 Class A1, 2.1% 7/15/21 3,630,000 3,648,325 
Enterprise Fleet Financing LLC:   
Series 2014-1 Class A2, 0.87% 9/20/19 (a) 868,988 866,107 
Series 2014-2 Class A2, 1.05% 3/20/20 (a) 2,576,231 2,562,620 
Series 2015-1 Class A2, 1.3% 9/20/20 (a) 2,604,423 2,587,052 
Fannie Mae Series 2004-T5 Class AB3, 1.1189% 5/28/35 (b) 4,436 3,852 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.6015% 8/25/34 (b) 33,155 31,312 
Flagship Credit Auto Trust Series 2016-1 Class A, 2.53% 12/15/20 (a) 4,000,000 3,990,391 
Ford Credit Auto Owner Trust:   
Series 2014-2 Class A, 2.31% 4/15/26 (a) 3,299,000 3,332,738 
Series 2015-1 Class A, 2.12% 7/15/26 (a) 2,785,000 2,793,976 
Series 2015-2 Class A, 2.44% 1/15/27 (a) 3,480,000 3,522,612 
Series 2016-1 Class A, 2.31% 8/15/27 (a) 4,000,000 3,998,914 
Ford Credit Floorplan Master Owner Trust:   
Series 2012-5 Class A, 1.49% 9/15/19 8,055,000 8,069,835 
Series 2014-1 Class A1, 1.2% 2/15/19 3,500,000 3,492,991 
Series 2014-4 Class A1, 1.4% 8/15/19 11,000,000 11,007,425 
Series 2015-1 Class A1, 1.42% 1/15/20 6,000,000 6,003,737 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 1.1615% 1/25/35 (b) 81,136 70,350 
Class M4, 1.4465% 1/25/35 (b) 39,567 21,248 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.0091% 2/25/47 (a)(b) 143,276 126,848 
GE Business Loan Trust Series 2006-2A:   
Class A, 0.6093% 11/15/34 (a)(b) 89,833 85,073 
Class B, 0.7105% 11/15/34 (a)(b) 32,594 28,683 
Class C, 0.8105% 11/15/34 (a)(b) 53,794 46,548 
Class D, 1.1805% 11/15/34 (a)(b) 20,404 16,905 
GM Financial Automobile Leasing Trust:   
Series 2014-2A Class A3, 1.22% 1/22/18 (a) 1,950,000 1,950,075 
Series 2015-1 Class A3, 1.53% 9/20/18 2,398,000 2,413,268 
GMF Floorplan Owner Revolving Trust Series 2015-1 Class A1, 1.65% 5/15/20 (a) 3,732,000 3,723,488 
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (a) 29,997 864 
Home Equity Asset Trust:   
Series 2003-2 Class M1, 1.7558% 8/25/33 (b) 32,697 30,100 
Series 2003-5 Class A2, 1.1358% 12/25/33 (b) 2,817 2,605 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6165% 1/25/37 (b) 141,116 90,492 
Hyundai Auto Lease Securitization Trust:   
Series 2014-B Class A3, 0.98% 11/15/17 (a) 1,200,000 1,199,357 
Series 2015-A Class A3, 1.42% 9/17/18 (a) 2,402,000 2,406,145 
Series 2015-B Class A3, 1.4% 11/15/18 (a) 2,966,000 2,967,041 
JPMorgan Mortgage Acquisition Trust:   
Series 2006-NC2 Class M2, 0.7216% 7/25/36 (b) 21,503 9,666 
Series 2007-CH1 Class AV4, 0.5658% 11/25/36 (b) 5,806 5,804 
KeyCorp Student Loan Trust:   
Series 1999-A Class A2, 0.9331% 12/27/29 (b) 7,059 7,022 
Series 2006-A Class 2C, 1.7531% 3/27/42 (b) 392,000 201,046 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.7265% 5/25/37 (b) 35,682 1,122 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.1858% 7/25/34 (b) 14,160 11,761 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1.4015% 7/25/34 (b) 32,514 30,398 
Series 2006-FM1 Class A2B, 0.5458% 4/25/37 (b) 11,599 11,534 
Series 2006-OPT1 Class A1A, 0.9465% 6/25/35 (b) 163,793 156,864 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1.1158% 8/25/34 (b) 4,895 4,255 
Series 2004-NC8 Class M6, 2.3108% 9/25/34 (b) 54,359 50,117 
Series 2005-NC1 Class M1, 1.0958% 1/25/35 (b) 27,940 24,899 
Series 2005-NC2 Class B1, 2.1908% 3/25/35 (b) 19,093 427 
Nationstar HECM Loan Trust Series 2016-1A Class A, 3.1294% 2/25/26 (a) 2,000,000 1,999,998 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.9365% 9/25/35 (b) 162,650 148,055 
Nissan Master Owner Trust Receivables Series 2015-A Class A2, 1.44% 1/15/20 2,500,000 2,501,568 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 2.3015% 9/25/34 (b) 60,741 55,316 
Class M4, 2.6015% 9/25/34 (b) 77,891 52,551 
Series 2005-WCH1 Class M4, 1.6715% 1/25/36 (b) 126,217 110,854 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2265% 4/25/33 (b) 582 498 
Santander Drive Auto Receivables Trust:   
Series 2013-4 Class B, 2.16% 1/15/20 164,736 164,968 
Series 2014-4 Class B, 1.82% 5/15/19 774,000 774,373 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2308% 3/25/35 (b) 82,443 75,890 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.462% 6/15/33 (b) 64,266 62,650 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.1608% 9/25/34 (b) 4,680 3,946 
Synchrony Credit Card Master Note Trust:   
Series 2015-1 Class A, 2.37% 3/15/23 2,681,000 2,725,078 
Series 2015-2 Class A, 1.6% 4/15/21 3,040,000 3,047,751 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.2865% 9/25/34 (b) 2,472 2,083 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.1717% 4/6/42 (a)(b) 316,998 155,329 
Volkswagen Credit Auto Master Trust Series 2014-1A Class A2, 1.4% 7/22/19 (a) 3,104,000 3,069,157 
Volvo Financial Equipment LLC Series 2015-1A Class A3, 1.51% 6/17/19 (a) 2,226,000 2,230,670 
World Omni Auto Receivables Trust Series 2014-B Class A3, 1.14% 1/15/20 1,759,000 1,757,421 
World Omni Automobile Lease Securitization Trust Series 2014-A Class A3, 1.16% 9/15/17 1,160,000 1,158,759 
TOTAL ASSET-BACKED SECURITIES   
(Cost $159,218,496)  160,328,585 
Collateralized Mortgage Obligations - 1.6%   
Private Sponsor - 0.1%   
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 2.7362% 5/27/35 (a)(b) 528,998 542,646 
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.6365% 5/25/47 (b) 28,857 26,469 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6058% 2/25/37 (b) 64,804 57,351 
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 2.8826% 11/25/25 (a) 1,565,874 1,565,091 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 2.7735% 6/10/35 (a)(b) 40,467 36,007 
Class B6, 3.2735% 6/10/35 (a)(b) 67,321 60,717 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.675% 7/20/34 (b) 2,538 2,473 
TOTAL PRIVATE SPONSOR  2,290,754 
U.S. Government Agency - 1.5%   
Fannie Mae:   
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27 358,644 379,448 
planned amortization class:   
Series 2002-9 Class PC, 6% 3/25/17 2,786 2,838 
Series 2015-28 Class P, 2.5% 5/25/45 7,659,776 7,835,591 
Series 2014-57 Class A, 3% 9/25/44 2,165,864 2,240,737 
Series 2015-28 Class JE, 3% 5/25/45 5,942,125 6,160,311 
Freddie Mac:   
planned amortization class:   
Series 2356 Class GD, 6% 9/15/16 6,246 6,317 
Series 2363 Class PF, 6% 9/15/16 4,004 4,034 
Series 3820 Class DA, 4% 11/15/35 291,331 305,101 
Series 3777 Class AC, 3.5% 12/15/25 517,671 544,566 
Series 3949 Class MK, 4.5% 10/15/34 222,334 241,007 
Series 4472 Class WL, 3% 5/15/45 2,714,751 2,808,667 
Ginnie Mae guaranteed REMIC pass-thru certificates Series 2015-H17 Class HA, 2.5% 5/20/65 (d) 7,682,437 7,843,958 
TOTAL U.S. GOVERNMENT AGENCY  28,372,575 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $30,710,580)  30,663,329 
Commercial Mortgage Securities - 7.6%   
7 WTC Depositor LLC Trust Series 2012-7WTC Class A, 4.0824% 3/13/31 (a) 417,625 425,237 
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5885% 2/14/43 (b)(e) 41,857 303 
Banc of America Commercial Mortgage Trust:   
sequential payer:   
Series 2006-2 Class A4, 5.832% 5/10/45 (b) 486,650 486,447 
Series 2006-3 Class A4, 5.889% 7/10/44 (b) 4,576,290 4,580,360 
Series 2006-6 Class A3, 5.369% 10/10/45 74,307 74,282 
Series 2006-4 Class A1A, 5.617% 7/10/46 (b) 811,416 817,033 
Series 2007-2 Class A4, 5.79% 4/10/49 (b) 7,498,000 7,604,610 
Series 2007-3 Class A4, 5.7423% 6/10/49 (b) 579,721 595,197 
Barclays Commercial Mortgage Securities LLC:   
floater Series 2015-RRI Class A, 1.5755% 5/15/32 (a)(b) 2,015,000 1,983,571 
Series 2015-STP Class A, 3.3228% 9/10/28 (a) 3,500,000 3,601,373 
Bayview Commercial Asset Trust floater:   
Series 2003-2 Class M1, 1.7108% 12/25/33 (a)(b) 3,266 2,901 
Series 2005-4A:   
Class A2, 0.8258% 1/25/36 (a)(b) 83,872 71,617 
Class B1, 1.8358% 1/25/36 (a)(b) 3,550 2,445 
Class M1, 0.8858% 1/25/36 (a)(b) 27,056 21,473 
Class M2, 0.9058% 1/25/36 (a)(b) 8,117 6,250 
Class M3, 0.9358% 1/25/36 (a)(b) 11,854 8,757 
Class M4, 1.0458% 1/25/36 (a)(b) 6,556 4,737 
Class M5, 1.0858% 1/25/36 (a)(b) 6,556 4,749 
Class M6, 1.1358% 1/25/36 (a)(b) 6,963 5,061 
Series 2006-3A Class M4, 0.8658% 10/25/36 (a)(b) 3,424 378 
Series 2007-1 Class A2, 0.7058% 3/25/37 (a)(b) 55,311 46,781 
Series 2007-2A:   
Class A1, 0.7058% 7/25/37 (a)(b) 57,469 48,233 
Class A2, 0.7558% 7/25/37 (a)(b) 53,728 42,535 
Class M1, 0.8058% 7/25/37 (a)(b) 18,867 14,287 
Class M2, 0.8458% 7/25/37 (a)(b) 10,193 7,123 
Class M3, 0.9258% 7/25/37 (a)(b) 7,826 4,933 
Series 2007-3:   
Class A2, 0.7258% 7/25/37 (a)(b) 51,618 41,080 
Class M1, 0.7458% 7/25/37 (a)(b) 11,450 8,576 
Class M2, 0.7758% 7/25/37 (a)(b) 12,285 8,761 
Class M3, 0.8058% 7/25/37 (a)(b) 18,952 9,299 
Class M4, 0.9358% 7/25/37 (a)(b) 29,987 14,432 
Class M5, 1.0358% 7/25/37 (a)(b) 14,479 3,043 
Series 2007-4A Class M1, 1.3716% 9/25/37 (a)(b) 16,497 4,065 
Bear Stearns Commercial Mortgage Securities Trust:   
sequential payer:   
Series 2006-PW13 Class A1A, 5.533% 9/11/41 680,553 687,048 
Series 2006-PW14 Class A1A, 5.189% 12/11/38 360,159 366,172 
Series 2006-T22 Class A1A, 5.8216% 4/12/38 (b) 10,268 10,258 
Series 2006-PW12 Class A1A, 5.9065% 9/11/38 (b) 370,888 371,138 
BXHTL Mortgage Trust Series 2015-JWRZ Class A, 1.656% 5/15/29 (a)(b) 2,065,000 2,016,019 
C-BASS Trust floater Series 2006-SC1 Class A, 0.7058% 5/25/36 (a)(b) 20,671 19,876 
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44 739,907 776,472 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.827% 12/15/27 (a)(b) 7,424,941 7,400,557 
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class A, 2.808% 4/10/28 (a) 5,000,000 5,105,490 
Citigroup Commercial Mortgage Trust:   
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 1,449,733 1,464,198 
Series 2006-C4 Class A1A, 6.0329% 3/15/49 (b) 323,431 323,552 
Series 2015-GC29 Class A2, 2.674% 4/10/48 1,388,000 1,418,447 
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2006-CD3 Class A5, 5.617% 10/15/48 227,913 229,367 
COMM Mortgage Trust:   
floater Series 2014-KYO Class A, 1.324% 6/11/27 (a)(b) 1,500,000 1,462,944 
Series 2013-LC6 Class ASB, 2.478% 1/10/46 2,180,000 2,196,679 
Series 2014-CR15 Class A2, 2.928% 2/10/47 3,957,000 4,053,423 
Series 2014-CR17 Class A2, 3.012% 5/10/47 790,000 813,347 
Series 2014-CR20 Class A2, 2.801% 11/10/47 987,000 1,012,377 
Series 2014-UBS3 Class A2, 2.844% 6/10/47 1,960,000 2,011,384 
Series 2015-CR22 Class A2, 2.856% 3/10/48 953,000 981,991 
COMM Mortgage Trust pass-thru certificates:   
floater Series 2005-F10A Class J, 1.2805% 4/15/17 (a)(b) 14,378 14,277 
sequential payer:   
Series 2006-C7 Class A1A, 5.9515% 6/10/46 (b) 469,550 470,744 
Series 2006-C8:   
Class A1A, 5.292% 12/10/46 1,093,029 1,108,645 
Class A4, 5.306% 12/10/46 1,526,955 1,548,538 
Series 2006-C7 Class A4, 5.9625% 6/10/46 (b) 416,734 416,935 
Credit Suisse Commercial Mortgage Trust sequential payer:   
Series 2007-C2 Class A3, 5.542% 1/15/49 (b) 432,000 440,566 
Series 2007-C3 Class A4, 5.8888% 6/15/39 (b) 1,433,621 1,469,107 
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0.0141% 9/15/34 (a)(b)(e) 102 0 
CSMC Series 2015-TOWN:   
Class B, 2.327% 3/15/17 (a)(b) 264,000 254,854 
Class C, 2.677% 3/15/17 (a)(b) 257,000 245,778 
Class D, 3.627% 3/15/17 (a)(b) 1,003,000 951,358 
GAHR Commercial Mortgage Trust:   
floater Series 2015-NRF Class AFL1, 1.7255% 12/15/16 (a)(b) 5,058,216 5,009,828 
Series 2015-NRF:   
Class BFX, 3.3822% 12/15/19 (a)(b) 2,358,850 2,342,301 
Class CFX, 3.3822% 12/15/19 (a)(b) 1,059,000 1,030,239 
GE Capital Commercial Mortgage Corp.:   
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 2,544,000 2,584,054 
Series 2007-C1 Class A1A, 5.483% 12/10/49 (b) 5,010,151 5,143,722 
Greenwich Capital Commercial Funding Corp.:   
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 918,805 938,374 
Series 2006-GG7 Class A4, 6.0483% 7/10/38 (b) 1,002,018 1,004,481 
GS Mortgage Securities Corp. Trust Series 2013-C, 2.974% 1/10/30 (a) 150,000 150,341 
GS Mortgage Securities Trust:   
floater Series 2014-GSFL Class A, 1.4255% 7/15/31 (a)(b) 399,314 393,225 
sequential payer Series 2006-GG8:   
Class A1A, 5.547% 11/10/39 429,722 434,481 
Class A4, 5.56% 11/10/39 6,047,719 6,096,485 
Series 2015-GC32 Class A2, 3.062% 7/10/48 2,500,000 2,594,221 
Hilton U.S.A. Trust:   
floater Series 2013-HLF Class AFL, 1.4295% 11/5/30 (a)(b) 440,663 439,986 
Series 2013-HLT:   
Class CFX, 3.7141% 11/5/30 (a) 110,000 109,655 
Class DFX, 4.4065% 11/5/30 (a) 1,039,000 1,035,748 
JP Morgan Chase Commercial Mortgage Securities Trust Series 2015-JP1 Class A2, 3.1438% 1/15/49 1,975,000 2,071,900 
JPMBB Commercial Mortgage Secutities Trust Series 2015-C29 Class A2, 2.9213% 5/15/48 1,567,000 1,626,740 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater:   
Series 2014-BXH Class A, 1.3305% 4/15/27 (a)(b) 1,100,000 1,086,464 
Series 2014-FL5 Class A, 1.4055% 7/15/31 (a)(b) 1,056,206 1,042,928 
sequential payer:   
Series 2006-CB16 Class A4, 5.552% 5/12/45 1,394,608 1,401,800 
Series 2006-LDP8:   
Class A1A, 5.397% 5/15/45 87,443 88,065 
Class A4, 5.399% 5/15/45 1,456,273 1,460,800 
Series 2007-LD11 Class A4, 5.9599% 6/15/49 (b) 29,781 30,375 
Series 2007-LDPX Class A3, 5.42% 1/15/49 3,625,347 3,696,463 
Series 2011-C3 Class A3, 4.3877% 2/15/46 (a) 1,718,000 1,793,022 
Series 2006-LDP7 Class A1A, 6.1056% 4/17/45 (b) 808,132 811,582 
LB-UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C6 Class A4, 5.372% 9/15/39 227,635 229,746 
Series 2006-C7:   
Class A1A, 5.335% 11/15/38 2,185,310 2,221,130 
Class A2, 5.3% 11/15/38 26,694 26,969 
Series 2007-C1 Class A4, 5.424% 2/15/40 2,994,053 3,051,337 
Series 2006-C6 Class A1A, 5.342% 9/15/39 (b) 1,110,047 1,120,482 
Series 2007-C7 Class A3, 5.866% 9/15/45 1,225,377 1,290,861 
Merrill Lynch Mortgage Trust:   
Series 2005-LC1 Class F, 5.9178% 1/12/44 (a)(b) 56,826 56,723 
Series 2006-C2 Class A1A, 5.739% 8/12/43 (b) 673,587 678,296 
Merrill Lynch-CFC Commercial Mortgage Trust:   
sequential payer Series 2007-5 Class A4, 5.378% 8/12/48 4,549,434 4,634,288 
Series 2007-6 Class B, 5.635% 3/12/51 (b) 216,000 60,653 
Morgan Stanley BAML Trust Series 2014-C14 Class A2, 2.916% 2/15/47 817,000 844,156 
Morgan Stanley Capital I Trust:   
floater:   
Series 2006-XLF Class C, 1.631% 7/15/19 (a)(b) 40,774 40,285 
Series 2007-XLFA:   
Class D, 0.6155% 10/15/20 (a)(b) 31,745 31,747 
Class E, 0.6755% 10/15/20 (a)(b) 95,138 95,143 
Class F, 0.7255% 10/15/20 (a)(b) 57,094 57,097 
Class G, 0.7655% 10/15/20 (a)(b) 70,577 70,581 
Class H, 0.8555% 10/15/20 (a)(b) 44,426 44,471 
Class J, 1.0055% 10/15/20 (a)(b) 25,649 24,833 
sequential payer:   
Series 2007-IQ13 Class A1A, 5.312% 3/15/44 337,456 344,969 
Series 2011-C2 Class A4, 4.661% 6/15/44 (a) 2,725,000 3,013,844 
Series 2006-HQ9 Class A4, 5.731% 7/12/44 (b) 313,668 313,471 
Series 2006-IQ11 Class A1A, 5.9599% 10/15/42 (b) 78,290 78,216 
Series 2007-IQ14 Class A4, 5.692% 4/15/49 1,195,000 1,223,304 
Series 2007-T27 Class A1A, 5.8206% 6/11/42 (b) 818,328 852,290 
Providence Place Group Ltd. Partnership sequential payer Series 2000-C1 Class A1, 7.75% 7/20/16 (a) 2,678 2,743 
SCG Trust Series 2013-SRP1 Class A, 1.8255% 11/15/26 (a)(b) 2,027,000 2,017,928 
UBS Commercial Mortgage Trust Series 2012-C1 Class A2, 2.18% 5/10/45 354,364 355,548 
Wachovia Bank Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C29:   
Class A1A, 5.297% 11/15/48 1,555,134 1,583,711 
Class A4, 5.308% 11/15/48 553,769 559,669 
Series 2007-C30 Class A5, 5.342% 12/15/43 5,468,000 5,599,694 
Series 2007-C32 Class A3, 5.8991% 6/15/49 (b) 367,000 374,925 
Series 2007-C33:   
Class A4, 6.1491% 2/15/51 (b) 3,074,873 3,175,855 
Class A5, 6.1491% 2/15/51 (b) 143,000 150,298 
Series 2006-C25 Class A1A, 5.9451% 5/15/43 (b) 212,102 211,739 
Series 2006-C26 Class A1A, 6.009% 6/15/45 (b) 593,776 594,663 
Series 2006-C27:   
Class A1A, 5.749% 7/15/45 (b) 434,540 436,541 
Class A3, 5.765% 7/15/45 (b) 459,802 459,271 
WF-RBS Commercial Mortgage Trust Series 2013-C11 Class ASB, 2.63% 3/15/45 1,310,000 1,327,983 
WFCG Commercial Mortgage Trust floater Series 2015-BXRP Class A, 1.5475% 11/15/29 (a)(b) 1,589,600 1,568,778 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $145,752,333)  143,432,988 
Municipal Securities - 0.8%   
Illinois Gen. Oblig.:   
Series 2003, 4.95% 6/1/23 $2,645,000 $2,754,186 
Series 2011:   
4.961% 3/1/16 6,320,000 6,320,000 
5.665% 3/1/18 630,000 665,204 
5.877% 3/1/19 4,715,000 5,096,491 
Series 2013, 2.69% 12/1/17 500,000 503,905 
TOTAL MUNICIPAL SECURITIES   
(Cost $15,294,534)  15,339,786 
Foreign Government and Government Agency Obligations - 0.1%   
Brazilian Federative Republic 6% 1/17/17
(Cost $2,071,670) 		$2,000,000 $2,072,000 
Supranational Obligations - 0.0%   
International Bank for Reconstruction & Development 1% 6/15/18
(Cost $425,464) 		426,000 425,441 
Bank Notes - 2.3%   
Bank of America NA:   
1.25% 2/14/17 $2,420,000 $2,418,028 
1.65% 3/26/18 1,924,000 1,916,106 
1.75% 6/5/18 2,000,000 1,987,380 
5.3% 3/15/17 250,000 258,473 
Capital One Bank NA:   
1.3% 6/5/17 1,000,000 994,941 
2.25% 2/13/19 1,000,000 992,494 
Capital One NA 1.65% 2/5/18 3,000,000 2,961,585 
Discover Bank 3.1% 6/4/20 1,708,000 1,698,731 
Fifth Third Bank:   
1.45% 2/28/18 580,000 574,663 
2.875% 10/1/21 2,000,000 2,017,872 
First Tennessee Bank NA, Memphis 2.95% 12/1/19 5,000,000 4,977,815 
JPMorgan Chase Bank 6% 10/1/17 1,762,000 1,869,158 
KeyBank NA:   
1.65% 2/1/18 397,000 395,775 
2.5% 12/15/19 3,783,000 3,825,230 
Manufacturers & Traders Trust Co. 2.3% 1/30/19 1,100,000 1,106,466 
Marshall & Ilsley Bank 5% 1/17/17 1,868,000 1,917,125 
Regions Bank 7.5% 5/15/18 250,000 275,560 
Regions Financial Corp. 2.25% 9/14/18 4,000,000 3,982,764 
The Toronto-Dominion Bank 2.125% 7/2/19 5,000,000 5,039,990 
U.S. Bank NA 2.125% 10/28/19 2,186,000 2,211,596 
Union Bank NA 2.125% 6/16/17 700,000 703,690 
Wachovia Bank NA 6% 11/15/17 570,000 611,779 
TOTAL BANK NOTES   
(Cost $42,604,005)  42,737,221 
 Shares Value 
Fixed-Income Funds - 0.8%   
Fidelity Specialized High Income Central Fund (f)   
(Cost $16,910,667) 162,831 15,449,410 
Money Market Funds - 0.8%   
Fidelity Cash Central Fund, 0.40% (g)   
(Cost $14,718,871) 14,718,871 14,718,871 
 Maturity Amount Value 
Cash Equivalents - 4.1%   
Investments in repurchase agreements in a joint trading account at 0.4%, dated 2/29/16 due 3/1/16 (Collateralized by U.S. Government Obligations) # (h)   
(Cost $78,443,000) 78,443,872 78,443,000 
TOTAL INVESTMENT PORTFOLIO - 104.7%   
(Cost $1,997,336,946)  1,986,476,828 
NET OTHER ASSETS (LIABILITIES) - (4.7)%  (88,782,241) 
NET ASSETS - 100%  $1,897,694,587 

Swaps

Underlying Reference Rating(1) Expiration Date Clearinghouse/Counterparty Fixed Payment Received/(Paid) Notional Amount(2) Value(1) Upfront Premium Received/(Paid) Unrealized Appreciation/(Depreciation) 
Credit Default Swaps         
Sell Protection         
Morgan Stanley ABS Capital I Inc Series 2004-NC8 Class B3 C Oct. 2034 Merrill Lynch International 4.60% USD 16,329 $(1,264) $0 $(1,264) 

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

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


Legend

 (a) 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 $311,245,996 or 16.4% of net assets.

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

 (c) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $122,073.

 (d) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

 (e) 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.

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

 (g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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


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 $51,578 
Fidelity Specialized High Income Central Fund 445,486 
Total $497,064 

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund Value, beginning of period Purchases Sales Proceeds Value, end of period % ownership, end of period 
Fidelity Specialized High Income Central Fund $16,060,481 $447,917 $-- $15,449,410 1.9% 
Total $16,060,481 $447,917 $-- $15,449,410  

Investment Valuation

The following is a summary of the inputs used, as of February 29, 2016, 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 below, please refer to the Investment 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:     
Corporate Bonds $1,321,778,285 $-- $1,321,778,285 $-- 
U.S. Government and Government Agency Obligations 148,452,340 -- 148,452,340 -- 
U.S. Government Agency - Mortgage Securities 12,635,572 -- 12,635,572 -- 
Asset-Backed Securities 160,328,585 -- 159,932,939 395,646 
Collateralized Mortgage Obligations 30,663,329 -- 30,663,329 -- 
Commercial Mortgage Securities 143,432,988 -- 143,432,610 378 
Municipal Securities 15,339,786 -- 15,339,786 -- 
Foreign Government and Government Agency Obligations 2,072,000 -- 2,072,000 -- 
Supranational Obligations 425,441 -- 425,441 -- 
Bank Notes 42,737,221 -- 42,737,221 -- 
Fixed-Income Funds 15,449,410 15,449,410 -- -- 
Money Market Funds 14,718,871 14,718,871 -- -- 
Cash Equivalents 78,443,000 -- 78,443,000 -- 
Total Investments in Securities: $1,986,476,828 $30,168,281 $1,955,912,523 $396,024 
Derivative Instruments:     
Liabilities     
Swaps $(1,264) $-- $(1,264) $-- 
Total Liabilities $(1,264) $-- $(1,264) $-- 
Total Derivative Instruments: $(1,264) $-- $(1,264) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Credit Risk   
Swaps(a) $0 $(1,264) 
Total Credit Risk 0 (1,264) 
Total Value of Derivatives $0 $(1,264) 

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


Other Information

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

Repurchase Agreement / Counterparty Value 
$78,443,000 due 3/01/16 at 0.40%  
Commerz Markets LLC $78,443,000 
 $78,443,000 

Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):

United States of America 84.5% 
United Kingdom 4.7% 
Canada 2.8% 
Japan 1.6% 
France 1.1% 
Others (Individually Less Than 1%) 5.3% 
 100.0% 

The information in the above table is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.

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


Financial Statements

Statement of Assets and Liabilities

  February 29, 2016 (Unaudited) 
Assets   
Investment in securities, at value (including repurchase agreements of $78,443,000) — See accompanying schedule:
Unaffiliated issuers (cost $1,965,707,408) 		$1,956,308,547  
Fidelity Central Funds (cost $31,629,538) 30,168,281  
Total Investments (cost $1,997,336,946)  $1,986,476,828 
Cash  17,300 
Receivable for investments sold  4,580,612 
Receivable for fund shares sold  5,143,838 
Interest receivable  10,745,959 
Distributions receivable from Fidelity Central Funds  85,876 
Other receivables  667 
Total assets  2,007,051,080 
Liabilities   
Payable for investments purchased $25,112,869  
Payable for fund shares redeemed 4,552,431  
Distributions payable 295,543  
Bi-lateral OTC swaps, at value 1,264  
Accrued management fee 488,306  
Distribution and service plan fees payable 197,027  
Other affiliated payables 265,748  
Other payables and accrued expenses 5  
Collateral on securities loaned, at value 78,443,300  
Total liabilities  109,356,493 
Net Assets  $1,897,694,587 
Net Assets consist of:   
Paid in capital  $1,927,755,442 
Undistributed net investment income  2,808,318 
Accumulated undistributed net realized gain (loss) on investments  (22,007,791) 
Net unrealized appreciation (depreciation) on investments  (10,861,382) 
Net Assets  $1,897,694,587 
Calculation of Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($314,703,093 ÷ 27,708,466 shares)  $11.36 
Maximum offering price per share (100/97.25 of $11.36)  $11.68 
Class T:   
Net Asset Value and redemption price per share ($193,597,348 ÷ 17,035,689 shares)  $11.36 
Maximum offering price per share (100/97.25 of $11.36)  $11.68 
Class B:   
Net Asset Value and offering price per share ($900,323 ÷ 79,367 shares)(a)  $11.34 
Class C:   
Net Asset Value and offering price per share ($111,047,135 ÷ 9,799,616 shares)(a)  $11.33 
Fidelity Limited Term Bond Fund:   
Net Asset Value, offering price and redemption price per share ($831,639,600 ÷ 73,036,683 shares)  $11.39 
Class I:   
Net Asset Value, offering price and redemption price per share ($445,807,088 ÷ 39,144,534 shares)  $11.39 

 (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.


Statement of Operations

  Six months ended February 29, 2016 (Unaudited) 
Investment Income   
Interest  $22,504,412 
Income from Fidelity Central Funds  497,064 
Total income  23,001,476 
Expenses   
Management fee $2,770,688  
Transfer agent fees 1,186,625  
Distribution and service plan fees 1,093,513  
Fund wide operations fee 344,661  
Independent trustees' compensation 3,709  
Miscellaneous 1,153  
Total expenses before reductions 5,400,349  
Expense reductions (647) 5,399,702 
Net investment income (loss)  17,601,774 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 1,379,535  
Swaps 505  
Total net realized gain (loss)  1,380,040 
Change in net unrealized appreciation (depreciation) on:
Investment securities 		(11,704,758)  
Swaps 1,507  
Total change in net unrealized appreciation (depreciation)  (11,703,251) 
Net gain (loss)  (10,323,211) 
Net increase (decrease) in net assets resulting from operations  $7,278,563 

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


Statement of Changes in Net Assets

 Six months ended February 29, 2016 (Unaudited) Year ended August 31, 2015 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $17,601,774 $21,313,755 
Net realized gain (loss) 1,380,040 2,048,322 
Change in net unrealized appreciation (depreciation) (11,703,251) (16,775,250) 
Net increase (decrease) in net assets resulting from operations 7,278,563 6,586,827 
Distributions to shareholders from net investment income (16,486,255) (19,985,756) 
Share transactions - net increase (decrease) 176,353,500 941,601,529 
Total increase (decrease) in net assets 167,145,808 928,202,600 
Net Assets   
Beginning of period 1,730,548,779 802,346,179 
End of period (including undistributed net investment income of $2,808,318 and undistributed net investment income of $1,692,799, respectively) $1,897,694,587 $1,730,548,779 

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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class A

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.42 $11.52 $11.33 $11.69 $11.45 $11.28 
Income from Investment Operations       
Net investment income (loss)A .104 .170 .232 .243 .289 .344 
Net realized and unrealized gain (loss) (.068) (.111) .160 (.384) .215 .163 
Total from investment operations .036 .059 .392 (.141) .504 .507 
Distributions from net investment income (.096) (.159) (.202) (.219) (.264) (.322) 
Distributions from net realized gain – – – – – (.015) 
Total distributions (.096) (.159) (.202) (.219) (.264) (.337) 
Net asset value, end of period $11.36 $11.42 $11.52 $11.33 $11.69 $11.45 
Total ReturnB,C,D .32% .51% 3.48% (1.24)% 4.46% 4.59% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .76%G .76% .79% .82% .83% .83% 
Expenses net of fee waivers, if any .76%G .76% .79% .82% .83% .83% 
Expenses net of all reductions .76%G .76% .79% .82% .83% .83% 
Net investment income (loss) 1.83%G 1.48% 2.02% 2.09% 2.52% 3.06% 
Supplemental Data       
Net assets, end of period (000 omitted) $314,703 $304,040 $215,800 $155,980 $192,761 $187,442 
Portfolio turnover rateH 40%G 44% 94% 112% 129% 108%I 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.


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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class T

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.42 $11.53 $11.34 $11.70 $11.45 $11.29 
Income from Investment Operations       
Net investment income (loss)A .103 .170 .234 .246 .292 .348 
Net realized and unrealized gain (loss) (.067) (.121) .161 (.384) .225 .153 
Total from investment operations .036 .049 .395 (.138) .517 .501 
Distributions from net investment income (.096) (.159) (.205) (.222) (.267) (.326) 
Distributions from net realized gain – – – – – (.015) 
Total distributions (.096) (.159) (.205) (.222) (.267) (.341) 
Net asset value, end of period $11.36 $11.42 $11.53 $11.34 $11.70 $11.45 
Total ReturnB,C,D .32% .42% 3.50% (1.21)% 4.57% 4.53% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .77%G .76% .77% .80% .80% .80% 
Expenses net of fee waivers, if any .77%G .76% .77% .80% .80% .80% 
Expenses net of all reductions .77%G .76% .77% .80% .80% .80% 
Net investment income (loss) 1.83%G 1.48% 2.04% 2.11% 2.54% 3.09% 
Supplemental Data       
Net assets, end of period (000 omitted) $193,597 $193,612 $198,510 $210,150 $265,426 $274,215 
Portfolio turnover rateH 40%G 44% 94% 112% 129% 108%I 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.


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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class B

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.40 $11.51 $11.32 $11.68 $11.43 $11.27 
Income from Investment Operations       
Net investment income (loss)A .062 .090 .149 .159 .206 .264 
Net realized and unrealized gain (loss) (.068) (.122) .161 (.384) .225 .154 
Total from investment operations (.006) (.032) .310 (.225) .431 .418 
Distributions from net investment income (.054) (.078) (.120) (.135) (.181) (.243) 
Distributions from net realized gain – – – – – (.015) 
Total distributions (.054) (.078) (.120) (.135) (.181) (.258) 
Net asset value, end of period $11.34 $11.40 $11.51 $11.32 $11.68 $11.43 
Total ReturnB,C,D (.05)% (.28)% 2.75% (1.95)% 3.81% 3.77% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.51%G 1.46% 1.51% 1.55% 1.55% 1.55% 
Expenses net of fee waivers, if any 1.51%G 1.46% 1.51% 1.55% 1.55% 1.55% 
Expenses net of all reductions 1.51%G 1.46% 1.51% 1.55% 1.55% 1.55% 
Net investment income (loss) 1.09%G .78% 1.30% 1.36% 1.79% 2.35% 
Supplemental Data       
Net assets, end of period (000 omitted) $900 $919 $1,507 $2,956 $5,209 $7,018 
Portfolio turnover rateH 40%G 44% 94% 112% 129% 108%I 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.


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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class C

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.39 $11.50 $11.31 $11.67 $11.42 $11.26 
Income from Investment Operations       
Net investment income (loss)A .060 .081 .143 .155 .204 .262 
Net realized and unrealized gain (loss) (.068) (.121) .162 (.384) .225 .154 
Total from investment operations (.008) (.040) .305 (.229) .429 .416 
Distributions from net investment income (.052) (.070) (.115) (.131) (.179) (.241) 
Distributions from net realized gain – – – – – (.015) 
Total distributions (.052) (.070) (.115) (.131) (.179) (.256) 
Net asset value, end of period $11.33 $11.39 $11.50 $11.31 $11.67 $11.42 
Total ReturnB,C,D (.07)% (.35)% 2.70% (1.98)% 3.79% 3.76% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.54%G 1.54% 1.56% 1.58% 1.57% 1.56% 
Expenses net of fee waivers, if any 1.54%G 1.54% 1.56% 1.58% 1.57% 1.56% 
Expenses net of all reductions 1.54%G 1.54% 1.56% 1.58% 1.57% 1.56% 
Net investment income (loss) 1.06%G .71% 1.25% 1.34% 1.78% 2.33% 
Supplemental Data       
Net assets, end of period (000 omitted) $111,047 $81,929 $64,333 $53,096 $65,425 $63,435 
Portfolio turnover rateH 40%G 44% 94% 112% 129% 108%I 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.


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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund

 Six months ended February 29, (Unaudited) Years ended August 31,  
 2016 2015 2014 A 
Selected Per–Share Data    
Net asset value, beginning of period $11.45 $11.55 $11.50 
Income from Investment Operations    
Net investment income (loss)B .122 .205 .209 
Net realized and unrealized gain (loss) (.068) (.110) .038 
Total from investment operations .054 .095 .247 
Distributions from net investment income (.114) (.195) (.197) 
Net asset value, end of period $11.39 $11.45 $11.55 
Total ReturnC,D .48% .83% 2.17% 
Ratios to Average Net AssetsE,F    
Expenses before reductions .45%G .45% .46%G 
Expenses net of fee waivers, if any .45%G .45% .46%G 
Expenses net of all reductions .45%G .45% .46%G 
Net investment income (loss) 2.14%G 1.79% 2.22%G 
Supplemental Data    
Net assets, end of period (000 omitted) $831,640 $758,240 $147,629 
Portfolio turnover rateH 40%G 44% 94% 

 A For the period November 1, 2013 (commencement of sale of shares) to August 31, 2014.

 B Calculated based on average shares outstanding during the period.

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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


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


Financial Highlights — Fidelity Advisor Limited Term Bond Fund Class I

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.45 $11.55 $11.36 $11.72 $11.48 $11.31 
Income from Investment Operations       
Net investment income (loss)A .119 .200 .262 .273 .319 .373 
Net realized and unrealized gain (loss) (.068) (.111) .161 (.385) .213 .163 
Total from investment operations .051 .089 .423 (.112) .532 .536 
Distributions from net investment income (.111) (.189) (.233) (.248) (.292) (.351) 
Distributions from net realized gain – – – – – (.015) 
Total distributions (.111) (.189) (.233) (.248) (.292) (.366) 
Net asset value, end of period $11.39 $11.45 $11.55 $11.36 $11.72 $11.48 
Total ReturnB,C .45% .78% 3.74% (.99)% 4.71% 4.85% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .50%F .50% .53% .57% .58% .58% 
Expenses net of fee waivers, if any .50%F .50% .53% .57% .58% .58% 
Expenses net of all reductions .50%F .50% .53% .57% .58% .58% 
Net investment income (loss) 2.09%F 1.74% 2.28% 2.34% 2.77% 3.32% 
Supplemental Data       
Net assets, end of period (000 omitted) $445,807 $391,808 $174,568 $84,843 $101,234 $89,583 
Portfolio turnover rateG 40%F 44% 94% 112% 129% 108%H 

 A Calculated based on average shares outstanding during the period.

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

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

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 F Annualized

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

 H 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.


Notes to Financial Statements (Unaudited)

For the period ended February 29, 2016

1. Organization.

Fidelity Advisor Limited Term Bond Fund (the Fund) is a fund of Fidelity Advisor Series II (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, Fidelity Limited Term Bond and Class I shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a maximum holding period of four years from the initial date of purchase.

During the period, the Board of Trustees approved the conversion of all existing Class B shares into Class A shares, effective on or about July 1, 2016, regardless of the length of times shares have been held.

2. Investments in Fidelity Central Funds.

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

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Specialized High Income Central Fund FMR Co., Inc. (FMRC) Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. Loans & Direct Debt Instruments
Restricted Securities
 		Less than .005% 

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


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

3. Significant Accounting Policies.

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

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

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

  • Level 1 – quoted prices in active markets for identical investments
  • Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
  • Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 29, 2016 is included at the end of the Fund's Schedule of Investments.

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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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

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

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.

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

Book-tax differences are primarily due to swaps, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

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

Gross unrealized appreciation $12,563,690 
Gross unrealized depreciation (21,334,988) 
Net unrealized appreciation (depreciation) on securities $(8,771,298) 
Tax cost $1,995,248,126 

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

Fiscal year of expiration  
2017 $(9,328) 
2018 (18,759,952) 
Total capital loss carryforward $(18,769,280) 

Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

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

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

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

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

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.
 

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments.

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Credit Risk   
Swaps(a) $505 $1,507 

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


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

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

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

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

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

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

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

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

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

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $267,231,937 and $106,864,859, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .31% of the Fund's average net assets.

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

 Distribution
Fee 		Service
Fee 		Total Fees Retained
by FDC 
Class A -% .25% $379,493 $23,005 
Class T -% .25% 242,500 792 
Class B .65% .25% 4,101 2,962 
Class C .75% .25% 467,419 93,881 
   $1,093,513 $120,640 

Sales Load. FDC may receive a front-end sales charge of up to 2.75% 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 3.00% to 1.00% for Class B shares, 1.00% for Class C shares, .75% or .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

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

 Retained
by FDC 
Class A $16,720 
Class T 13,688 
Class B(a) 221 
Class C(a) 15,446 
 $46,075 

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


Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Fidelity Limited Term Bond. FIIOC receives an asset-based fee of .10% of Fidelity Limited Term Bond'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-Level Average
Net Assets(a) 
Class A $239,551 .16 
Class T 159,982 .17 
Class B 1,134 .25 
Class C 83,452 .18 
Fidelity Limited Term Bond Fund 381,484 .10 
Class I 321,022 .15 
 $1,186,625  

 (a) Annualized


Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser 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% of the Fund's average net assets 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 annualized rate of .04% of average net assets.

Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $1,153 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. 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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $11,054.

9. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $647.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Six months ended February 29, 2016 Year ended August 31, 2015 
From net investment income   
Class A $2,573,225 $3,729,622 
Class T 1,632,269 2,760,770 
Class B 4,349 9,214 
Class C 429,725 455,450 
Fidelity Limited Term Bond Fund 7,670,510 7,753,652 
Class I 4,176,177 5,277,048 
Total $16,486,255 $19,985,756 

11. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:

 Shares Shares Dollars Dollars 
 Six months ended February 29, 2016 Year ended August 31, 2015 Six months ended February 29, 2016 Year ended August 31, 2015 
Class A     
Shares sold 9,493,588 22,883,010 $108,124,976 $262,802,297 
Reinvestment of distributions 208,809 302,206 2,375,945 3,471,902 
Shares redeemed (8,625,388) (15,281,488) (98,288,046) (175,517,852) 
Net increase (decrease) 1,077,009 7,903,728 $12,212,875 $90,756,347 
Class T     
Shares sold 3,230,355 4,726,276 $36,826,027 $54,308,583 
Reinvestment of distributions 135,211 225,689 1,539,145 2,594,606 
Shares redeemed (3,279,036) (5,219,634) (37,380,244) (59,996,049) 
Net increase (decrease) 86,530 (267,669) $984,928 $(3,092,860) 
Class B     
Shares sold 23,906 45,219 $272,061 $518,562 
Reinvestment of distributions 348 769 3,946 8,827 
Shares redeemed (25,488) (96,326) (290,091) (1,103,458) 
Net increase (decrease) (1,234) (50,338) $(14,084) $(576,069) 
Class C     
Shares sold 3,748,755 3,762,661 $42,556,513 $43,110,911 
Reinvestment of distributions 33,368 34,649 378,455 397,236 
Shares redeemed (1,175,287) (2,200,235) (13,359,960) (25,199,324) 
Net increase (decrease) 2,606,836 1,597,075 $29,575,008 $18,308,823 
Fidelity Limited Term Bond Fund     
Shares sold 30,185,709 73,683,363 $344,754,445 $848,661,103 
Reinvestment of distributions 611,698 626,332 6,976,952 7,211,684 
Shares redeemed (24,008,474) (20,841,425) (274,433,242) (239,689,901) 
Net increase (decrease) 6,788,933 53,468,270 $77,298,155 $616,182,886 
Class I     
Shares sold 13,435,969 31,060,194 $153,456,360 $357,596,586 
Reinvestment of distributions 285,314 376,794 3,255,224 4,341,226 
Shares redeemed (8,802,281) (12,319,776) (100,414,966) (141,915,410) 
Net increase (decrease) 4,919,002 19,117,212 $56,296,618 $220,022,402 

12. Other.

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

13. Credit Risk.

The Fund invests a portion of its assets in structured securities of issuers backed by commercial and 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.

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2015 to February 29, 2016).

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.

 Annualized Expense Ratio-A Beginning
Account Value
September 1, 2015 		Ending
Account Value
February 29, 2016 		Expenses Paid
During Period-B
September 1, 2015
to February 29, 2016 
Class A .76%    
Actual  $1,000.00 $1,003.20 $3.79 
Hypothetical-C  $1,000.00 $1,021.08 $3.82 
Class T .77%    
Actual  $1,000.00 $1,003.20 $3.84 
Hypothetical-C  $1,000.00 $1,021.03 $3.87 
Class B 1.51%    
Actual  $1,000.00 $999.50 $7.51 
Hypothetical-C  $1,000.00 $1,017.35 $7.57 
Class C 1.54%    
Actual  $1,000.00 $999.30 $7.66 
Hypothetical-C  $1,000.00 $1,017.21 $7.72 
Fidelity Limited Term Bond Fund .45%    
Actual  $1,000.00 $1,004.80 $2.24 
Hypothetical-C  $1,000.00 $1,022.63 $2.26 
Class I .50%    
Actual  $1,000.00 $1,004.50 $2.49 
Hypothetical-C  $1,000.00 $1,022.38 $2.51 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (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 each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.

 C 5% return per year before expenses


Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Advisor Limited Term Bond Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2015 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; and (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by FMR, the sub-advisers (together with FMR, the Investment Advisers), and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) reducing management fees and total expenses for certain index funds and diversified international funds; (v) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (vi) rationalizing product lines and gaining increased efficiencies through fund mergers; (vii) launching active fixed-income exchange-traded funds; (viii) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; (ix) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (x) modifying the eligibility criteria for certain share classes to accommodate roll-over assets from employer-sponsored retirement plans; (xi) launching a new Class W of the Freedom Index Funds to attract and retain Fidelity record-kept retirement plan assets; and (xii) implementing changes to Fidelity's money market product line in response to recent money market regulatory reforms.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Fidelity Advisor Limited Term Bond Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2014.

The Board noted that, in 2014, the ad hoc Committee on Group Fee was formed by it and other Fidelity fund boards to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. Committee focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio.  In its review of each class's total expense ratio, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the total expense ratio of each class ranked below its competitive median for 2014.

The Board considered that the current contractual arrangements for the fund have the effect of setting the total "fund-level" (but not "class-level") expenses (including, among certain other "fund-level" expenses, the management fee) for each class at 0.35%. These contractual arrangements may not be increased without the approval of the Board.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total group assets increase, and for higher group fee rates as total group assets decrease (with "group assets" defined to include fund assets under FMR's management plus sector fund assets previously under FMR's management and currently managed by Fidelity SelectCo, LLC). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board noted, however, that because the current contractual arrangements set the total "fund-level" expenses for each class at 0.35%, increases or decreases in the management fee due to changes in the group fee rate will not impact the total expense ratio.

Fees Charged to Other Fidelity Clients.  The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted the findings of the 2013 ad hoc joint committee (created with the board of other Fidelity funds), which reviewed and compared Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationship with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that in 2013, it and the boards of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds; (v) Fidelity's voluntary waiver of its fees to maintain minimum yields for certain money market funds and classes as well as contractual waivers in place for certain funds; (vi) the methodology with respect to competitive fund data and peer group classifications; (vii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (viii) Fidelity's long-term expectations for its offerings in the workplace investing channel; (ix) new developments in the retail and institutional marketplaces; and (x) the impact of money market reform on Fidelity's money market funds. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.





Fidelity Investments

LTBI-SANN-0416
1.704557.118

Fidelity Advisor® Mortgage Securities Fund
Class A, Class T, Class B and Class C



Semi-Annual Report

February 29, 2016



Fidelity Investments


Contents

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees


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. © 2016 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.



Investment Summary (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.

Coupon Distribution as of February 29, 2016

 % of fund's investments % of fund's investments 6 months ago 
Zero coupon bonds 0.0 0.0 
0.01 - 0.99% 2.0 4.1 
1 - 1.99% 6.5 5.4 
2 - 2.99% 6.4 6.5 
3 - 3.99% 45.1 37.7 
4 - 4.99% 22.6 26.6 
5 - 5.99% 7.5 9.2 
6 - 6.99% 1.8 2.1 
7% and above 1.2 1.4 

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

Weighted Average Maturity as of February 29, 2016

  6 months ago 
Years 4.5 5.2 

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 February 29, 2016

  6 months ago 
Years 3.0 3.6 

Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration.

Asset Allocation (% of fund's net assets)

As of February 29, 2016*,** 
   Mortgage Securities 82.8% 
   CMOs and Other Mortgage Related Securities 25.5% 
   Asset-Backed Securities 6.8% 
 Short-Term Investments and Net Other Assets (Liabilities)*** (15.1)% 


 * Foreign investments - 0.0%

 ** Futures and Swaps - (5.3)%

 *** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart


As of August 31, 2015*,** 
   Mortgage Securities 83.6% 
   CMOs and Other Mortgage Related Securities 32.2% 
   Asset-Backed Securities 3.5% 
 Short-Term Investments and Net Other Assets (Liabilities)*** (19.3)% 


 * Foreign investments - 1.0%

 ** Futures and Swaps - (8.6)%

 *** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart


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.

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

Percentages shown as 0.0% may reflect amounts less than 0.05%. 

Investments February 29, 2016 (Unaudited)

Showing Percentage of Net Assets

U.S. Government Agency - Mortgage Securities - 88.2%   
 Principal Amount (000s) Value (000s) 
Fannie Mae - 46.0%   
1.814% 9/1/36 (a) 86 88 
2.07% 4/1/37 (a) 104 109 
2.108% 3/1/36 (a) 129 135 
2.26% 1/1/35 (a) 176 183 
2.302% 6/1/36 (a) 43 45 
2.31% 4/1/36 (a) 147 155 
2.315% 9/1/36 (a) 71 74 
2.317% 5/1/36 (a) 218 228 
2.408% 7/1/35 (a) 5 6 
2.426% 8/1/35 (a) 264 278 
2.45% 11/1/36 (a) 39 41 
2.458% 3/1/35 (a) 29 31 
2.472% 7/1/35 (a) 45 47 
2.5% 2/1/30 120 124 
2.5% 3/1/31 (b) 100 103 
2.525% 5/1/36 (a) 36 38 
2.555% 6/1/36 (a) 385 407 
2.557% 3/1/40 (a) 181 191 
2.559% 10/1/33 (a) 40 43 
2.689% 2/1/42 (a) 642 667 
2.75% 10/1/36 (a) 172 182 
2.761% 1/1/42 (a) 566 589 
2.78% 9/1/37 (a) 29 31 
3% 3/1/31 (b) 9,100 9,490 
3% 11/1/42 to 3/1/44 44,324 45,672 
3% 3/1/46 (b) 50,900 52,192 
3% 3/1/46 (b) 1,000 1,025 
3% 3/1/46 (b) 700 718 
3% 3/1/46 (b) 600 615 
3.007% 8/1/41 (a) 411 430 
3.346% 9/1/41 (a) 129 137 
3.465% 12/1/40 (a) 5,394 5,666 
3.5% 4/1/29 to 8/1/45 78,604 83,098 
3.5% 3/1/46 (b) 33,800 35,418 
3.5% 3/1/46 (b) 20,800 21,796 
3.5% 3/1/46 (b) 20,700 21,691 
3.5% 3/1/46 (b) 2,000 2,096 
3.5% 3/1/46 (b) 7,700 8,069 
3.5% 3/1/46 (b) 1,000 1,048 
3.5% 3/1/46 (b) 1,000 1,048 
3.5% 3/1/46 (b) 1,000 1,048 
3.5% 3/1/46 (b) 6,000 6,287 
3.5% 3/1/46 (b) 1,000 1,048 
3.5% 3/1/46 (b) 7,921 8,300 
3.5% 3/1/46 (b) 6,679 6,999 
4% 11/1/31 to 1/1/46 107,571 115,429 
4% 3/1/46 (b) 150 160 
4% 3/1/46 (b) 100 107 
4% 3/1/46 (b) 4,750 5,068 
4% 3/1/46 (b) 4,750 5,068 
4% 3/1/46 (b) 50 53 
4% 3/1/46 (b) 3,300 3,521 
4% 3/1/46 (b) 3,300 3,521 
4% 3/1/46 (b) 1,300 1,387 
4.5% 5/1/25 to 4/1/45 41,087 44,763 
5% 5/1/20 to 8/1/41 495 536 
5.255% 8/1/41 893 1,011 
5.5% 2/1/18 to 4/1/39 3,507 3,978 
5.565% 8/1/46 (a) 44 46 
6.5% 3/1/16 to 5/1/38 1,389 1,592 
7% 3/1/17 to 5/1/30 913 1,062 
7.5% 8/1/22 to 9/1/32 593 715 
8% 12/1/29 to 3/1/37 15 18 
8.5% 2/1/22 to 3/1/23 56 64 
9% 10/1/30 198 246 
9.5% 7/1/16 to 8/1/22 4 4 
  506,035 
Freddie Mac - 19.0%   
1.945% 3/1/35 (a) 89 92 
2.154% 8/1/37 (a) 77 81 
2.175% 6/1/37 (a) 29 31 
2.21% 3/1/36 (a) 230 240 
2.246% 5/1/37 (a) 74 78 
2.362% 10/1/42 (a) 596 630 
2.372% 11/1/35 (a) 264 275 
2.481% 5/1/34 (a) 6 7 
2.51% 6/1/37 (a) 21 22 
2.54% 6/1/37 (a) 271 286 
2.562% 6/1/37 (a) 464 488 
2.595% 4/1/37 (a) 9 9 
2.668% 4/1/37 (a) 96 101 
2.698% 6/1/33 (a) 708 747 
2.795% 7/1/36 (a) 73 77 
3% 10/1/42 to 1/1/46 37,238 38,198 
3.03% 10/1/36 (a) 13 14 
3.075% 12/1/36 (a) 398 422 
3.082% 9/1/41 (a) 577 602 
3.25% 10/1/35 (a) 41 43 
3.427% 12/1/40 (a) 2,450 2,563 
3.5% 4/1/42 to 6/1/45 (c) 66,999 70,339 
4% 2/1/41 to 2/1/46 30,408 32,599 
4% 3/1/46 (b) 9,300 9,910 
4% 3/1/46 (b) 4,100 4,369 
4.5% 7/1/25 to 8/1/44 10,818 11,773 
5% 7/1/33 to 7/1/41 11,164 12,438 
5.5% 10/1/17 to 10/1/39 10,414 11,714 
6% 5/1/16 to 6/1/39 2,282 2,593 
6.5% 7/1/16 to 9/1/39 3,771 4,317 
7% 6/1/21 to 9/1/36 1,309 1,537 
7.5% 5/1/16 to 7/1/34 1,637 1,945 
8% 11/1/16 to 1/1/37 17 21 
8.5% 8/1/16 to 9/1/20 1 1 
9% 9/1/16 to 5/1/21 5 5 
10% 4/1/16 to 12/1/18 0 0 
  208,567 
Ginnie Mae - 23.2%   
3% 6/15/42 to 12/20/45 44,519 46,174 
3.5% 11/20/41 to 1/20/44 48,738 51,564 
3.5% 3/1/46 (b) 11,900 12,565 
3.5% 3/1/46 (b) 12,700 13,409 
3.5% 3/1/46 (b) 6,100 6,441 
3.5% 3/1/46 (b) 7,300 7,708 
3.5% 3/1/46 (b) 1,600 1,689 
4% 7/20/33 to 7/20/45 50,826 54,466 
4% 3/1/46 (b) 1,200 1,282 
4% 3/1/46 (b) 6,200 6,621 
4% 3/1/46 (b) 2,200 2,350 
4.5% 8/15/33 to 5/20/41 31,098 33,988 
5% 9/20/33 to 6/15/41 9,833 11,079 
5.5% 10/15/33 to 9/15/39 2,893 3,284 
6.5% 10/15/34 to 7/15/36 184 217 
7% 2/15/24 to 4/20/32 836 996 
7.5% 12/15/21 to 12/15/29 307 362 
8% 6/15/21 to 12/15/25 175 205 
8.5% 1/15/17 to 10/15/28 139 166 
9% 11/20/17 0 0 
10.5% 10/20/17 to 2/20/18 1 1 
  254,567 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $953,105)  969,169 
Asset-Backed Securities - 6.8%   
American Credit Acceptance Receivable Trust Series 2016-1A Class A, 2.37% 5/12/20 (d) $3,270 $3,271 
American Credit Acceptance Receivables Trust Series 2015-3 Class A, 1.95% 9/12/19 (d) 4,058 4,048 
CFC LLC Series 2014-1A Class A, 1.46% 12/17/18 (d) 1,203 1,202 
Citi Held For Asset Issuance Series 2015-PM33 Class A, 2.56% 5/16/22 (d) 1,788 1,787 
Citi Held For Asset Issuance 2 Series 2015-PM2 Class A, 2% 3/15/22 (d) 3,696 3,675 
CPS Auto Receivables Trust:   
Series 2013-C Class A, 1.64% 4/16/18 (d) 629 629 
Series 2013-D Class A, 1.54% 7/16/18 (d) 1,061 1,059 
CPS Auto Trust Series 2015-C Class A, 1.77% 6/17/19 (d) 8,651 8,633 
Drive Auto Receivables Trust Series 2015-DA Class A2A, 1.23% 6/15/18 (d) 4,782 4,778 
Exeter Automobile Receivables Trust:   
Series 2014-2A Class A, 1.06% 8/15/18 (d) 679 677 
Series 2016-1A Class A, 2.8% 7/15/20 (d) 5,500 5,497 
Flagship Credit Auto Trust:   
Series 2015-3 Class A, 2.34% 10/15/20 (d) 2,868 2,861 
Series 2016-1 Class A, 2.53% 12/15/20 (d) 10,800 10,774 
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (d) 45 1 
JPMorgan Mortgage Acquisition Trust:   
Series 2007-CH1 Class AF3, 5.532% 11/25/36 1,084 1,103 
Series 2007-CH4 Class A3, 0.5458% 2/25/32 (a) 1,190 1,182 
Merrill Lynch Mortgage Investors Trust Series 2006-FF1 Class M2, 0.7258% 8/25/36 (a) 5,300 5,061 
Nationstar HECM Loan Trust:   
Series 2015-1A Class A, 3.844% 5/25/18 (d) 6,679 6,646 
Series 2016-1A Class A, 3.1294% 2/25/26 (d) 2,138 2,138 
OneMain Financial Issuance Trust Series 2014-1A Class A, 2.43% 6/18/24 (d) 1,180 1,178 
Springcastle SPV Series 2014-AA Class A, 2.7% 5/25/23 (d) 6,013 5,991 
Structured Asset Securities Corp. Series 2005-NC2 Class M3, 0.8565% 5/25/35 (a) 1,995 1,926 
Vericrest Opportunity Loan Trust Series 2014-NP11 Class A1, 3.875% 4/25/55 (d) 796 792 
TOTAL ASSET-BACKED SECURITIES   
(Cost $75,077)  74,909 
Collateralized Mortgage Obligations - 12.7%   
Private Sponsor - 6.1%   
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 0.5665% 6/27/36 (a)(d) 7,033 6,744 
Banc of America Funding Trust sequential payer Series 2010-R3 Class 1A1, 2.808% 12/26/35 (a)(d) 1,352 1,369 
BCAP LLC II Trust Series 2012-RR10 Class 5A5, 0.6868% 4/26/36 (a)(d) 274 267 
BCAP LLC Trust sequential payer:   
Series 2010-RR11 Class 6A1, 2.7078% 3/27/36 (a)(d) $3,479 $3,452 
Series 2012-RR5 Class 8A5, 0.6021% 7/26/36 (a)(d) 908 860 
Citigroup Mortgage Loan Trust sequential payer:   
Series 2012-A Class A, 2.5% 6/25/51 (d) 3,165 3,117 
Series 2014-8 Class 2A1, 3.45% 6/27/37 (a)(d) 6,623 6,629 
Credit Suisse Commercial Mortgage Trust:   
floater Series 2010-15R Class 5A5, 0.7816% 11/26/35 (a)(d) 4,976 4,930 
Series 2014-15R Class 7A3, 1.1596% 10/26/37 (a)(d) 2,285 2,237 
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 2.7362% 5/27/35 (a)(d) 494 507 
CSMC:   
floater Series 2015-1R Class 6A1, 0.7004% 5/27/37 (a)(d) 4,408 4,035 
Series 2011-2R Class 2A1, 2.6521% 7/27/36 (d) 3,998 3,955 
Series 2014-3R Class 2A1, 1.1216% 5/27/37 (a)(d) 1,223 1,154 
Exeter Automobile Receivables Trust Series 2015-2A Class A, 1.54% 11/15/19 (d) 6,503 6,476 
FDIC Trust Series 2013-N1 Class A, 4.5% 10/25/18 (d) 181 181 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.6557% 10/25/34 (a) 320 307 
JPMorgan Re-REMIC Trust floater Series 2009-5 Class 2A1, 1.9726% 1/26/37 (a)(d) 262 261 
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.6365% 5/25/47 (a) 237 218 
MASTR Alternative Loan Trust Series 2004-6 Class 5A1, 5.4126% 7/25/19 (a) 1,150 1,158 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6058% 2/25/37 (a) 1,291 1,143 
Morgan Stanley Re-REMIC Trust Series 2010-R6 Class 1A, 2.6101% 2/26/37 (a)(d) 3,048 3,061 
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 2.8826% 11/25/25 (d) 906 906 
Nomura Resecuritization Trust sequential payer Series 2011-3RA Class 2A1, 2.8917% 3/26/37 (a)(d) 2,008 1,981 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.7237% 4/25/33 (a) 122 118 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1.0665% 9/25/43 (a) 4,121 3,949 
WaMu Mortgage pass-thru certificates sequential payer:   
Series 2002-S8 Class 2A7, 5.25% 1/25/18 170 171 
Series 2003-MS5 Class 1A1, 5% 3/25/18 211 214 
Wells Fargo Mortgage Backed Securities Trust:   
Series 2003-I Class A1, 2.6097% 9/25/33 (a) 954 943 
Series 2005-AR10 Class 2A15, 2.7505% 6/25/35 (a) 5,237 5,332 
Series 2005-AR2 Class 1A2, 2.6956% 3/25/35 (a) 223 205 
Series 2006-AR10 Class 3A1, 2.7337% 7/25/36 (a) 820 803 
Wells Fargo Mortgage Loan Trust sequential payer Series 2011-RR4 Class 2A1, 4.3738% 6/27/36 (a)(d) 904 888 
  67,571 
U.S. Government Agency - 6.6%   
Fannie Mae:   
floater Series 2003-118 Class S, 7.6642% 12/25/33 (a)(e)(f) 325 75 
planned amortization class:   
Series 1999-17 Class PG, 6% 4/25/29 623 682 
Series 1999-32 Class PL, 6% 7/25/29 561 615 
Series 1999-33 Class PK, 6% 7/25/29 359 394 
Series 2001-52 Class YZ, 6.5% 10/25/31 43 50 
Series 2005-39 Class TE, 5% 5/25/35 904 999 
Series 2005-73 Class SA, 16.4169% 8/25/35 (a)(f) 69 89 
Series 2006-105 Class MD, 5.5% 6/25/35 176 177 
Series 2011-35 Class PA, 4% 2/25/39 293 298 
sequential payer:   
Series 2001-20 Class Z, 6% 5/25/31 620 680 
Series 2001-31 Class ZC, 6.5% 7/25/31 266 309 
Series 2002-16 Class ZD, 6.5% 4/25/32 89 104 
Series 2002-74 Class SV, 7.1142% 11/25/32 (a)(e) 228 43 
Series 2012-67 Class AI, 4.5% 7/25/27 (e) 816 105 
Series 06-116 Class SG, 6.2042% 12/25/36 (a)(e)(f) 215 42 
Series 07-40 Class SE, 6.0042% 5/25/37 (a)(e)(f) 135 23 
Series 1993-165 Class SH, 18.5671% 9/25/23 (a)(f) 31 43 
Series 2003-21 Class SK, 7.6642% 3/25/33 (a)(e)(f) 101 20 
Series 2003-35 Class TQ, 7.0642% 5/25/18 (a)(e)(f) 35 2 
Series 2007-57 Class SA, 38.0052% 6/25/37 (a)(f) 434 929 
Series 2007-66 Class SB, 36.9852% 7/25/37 (a)(f) 142 281 
Series 2008-12 Class SG, 5.9142% 3/25/38 (a)(e)(f) 725 130 
Series 2009-114 Class AI, 5% 12/25/23 (e) 180 6 
Series 2009-16 Class SA, 5.8142% 3/25/24 (a)(e)(f) 93 2 
Series 2009-76 Class MI, 5.5% 9/25/24 (e) 117 5 
Series 2009-85 Class IB, 4.5% 8/25/24 (e) 81 6 
Series 2009-93 Class IC, 4.5% 9/25/24 (e) 121 8 
Series 2010-12 Class AI, 5% 12/25/18 (e) 407 18 
Series 2010-135 Class LS, 5.6142% 12/25/40 (a)(e)(f) 663 119 
Series 2010-139 Class NI, 4.5% 2/25/40 (e) 853 108 
Series 2010-23:   
Class AI, 5% 12/25/18 (e) 164 7 
Class HI, 4.5% 10/25/18 (e) 125 5 
Series 2010-29 Class LI, 4.5% 6/25/19 (e) 366 14 
Series 2010-97 Class CI, 4.5% 8/25/25 (e) 263 17 
Series 2011-67 Class AI, 4% 7/25/26 (e) 223 23 
Series 2011-83 Class DI, 6% 9/25/26 (e) 314 38 
Series 2013-N1 Class A, 6.2842% 6/25/35 (a)(e)(f) 689 166 
Series 2015-70 Class JC, 3% 10/25/45 3,805 3,970 
Fannie Mae Stripped Mortgage-Backed Securities:   
Series 339 Class 29, 5.5% 8/25/18 (e) 102 4 
Series 348 Class 14, 6.5% 8/25/34 (a)(e) 180 39 
Series 351:   
Class 12, 5.5% 4/25/34 (a)(e) 122 22 
Class 13, 6% 3/25/34 (e) 163 33 
Series 359 Class 19, 6% 7/25/35 (a)(e) 111 20 
Series 384 Class 6, 5% 7/25/37 (e) 410 76 
Freddie Mac:   
planned amortization class:   
Series 2095 Class PE, 6% 11/15/28 691 761 
Series 2104 Class PG, 6% 12/15/28 197 216 
Series 2121 Class MG, 6% 2/15/29 271 297 
Series 2154 Class PT, 6% 5/15/29 472 518 
Series 2162 Class PH, 6% 6/15/29 73 80 
Series 2520 Class BE, 6% 11/15/32 352 386 
Series 2585 Class KS, 7.173% 3/15/23 (a)(e)(f) 33 4 
Series 2693 Class MD, 5.5% 10/15/33 5,885 6,661 
Series 2802 Class OB, 6% 5/15/34 1,628 1,829 
Series 3002 Class NE, 5% 7/15/35 553 609 
Series 3189 Class PD, 6% 7/15/36 586 655 
Series 3415 Class PC, 5% 12/15/37 169 185 
Series 3786 Class HI, 4% 3/15/38 (e) 806 84 
Series 3806 Class UP, 4.5% 2/15/41 1,347 1,451 
Series 3832 Class PE, 5% 3/15/41 960 1,103 
Series 70 Class C, 9% 9/15/20 4 4 
sequential payer:   
Series 2114 Class ZM, 6% 1/15/29 93 102 
Series 2135 Class JE, 6% 3/15/29 352 385 
Series 2274 Class ZM, 6.5% 1/15/31 155 180 
Series 2281 Class ZB, 6% 3/15/30 130 142 
Series 2357 Class ZB, 6.5% 9/15/31 311 366 
Series 2502 Class ZC, 6% 9/15/32 346 383 
Series 06-3115 Class SM, 6.173% 2/15/36 (a)(e)(f) 177 31 
Series 1658 Class GZ, 7% 1/15/24 420 466 
Series 2013-4281 Class AI, 4% 12/15/28 (e) 1,900 203 
Series 2380 Class SY, 7.773% 11/15/31 (a)(e)(f) 1,278 269 
Series 2587 Class IM, 6.5% 3/15/33 (e) 186 38 
Series 2844:   
Class SC, 44.0245% 8/15/24 (a)(f) 13 23 
Class SD, 80.899% 8/15/24 (a)(f) 19 45 
Series 2935 Class ZK, 5.5% 2/15/35 1,540 1,763 
Series 2947 Class XZ, 6% 3/15/35 645 736 
Series 3055 Class CS, 6.163% 10/15/35 (a)(e) 238 44 
Series 3244 Class SG, 6.233% 11/15/36 (a)(e)(f) 481 107 
Series 3274 Class SM, 6.003% 2/15/37 (a)(e) 278 51 
Series 3284 Class CI, 5.693% 3/15/37 (a)(e) 1,057 200 
Series 3287 Class SD, 6.323% 3/15/37 (a)(e)(f) 686 143 
Series 3297 Class BI, 6.333% 4/15/37 (a)(e)(f) 1,004 211 
Series 3336 Class LI, 6.153% 6/15/37 (a)(e) 449 71 
Series 3772 Class BI, 4.5% 10/15/18 (e) 252 11 
Series 3949 Class MK, 4.5% 10/15/34 392 425 
Series 3955 Class YI, 3% 11/15/21 (e) 1,435 80 
Series 4471 Class PA 4% 12/15/40 5,973 6,351 
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 258 298 
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 3,238 3,654 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-37 Class TS, 6.2645% 6/16/37 (a)(e)(f) 232 40 
Series 2010-H17 Class FA, 0.7519% 7/20/60 (a)(g) 282 277 
Series 2010-H18 Class AF, 0.551% 9/20/60 (a)(g) 346 340 
Series 2010-H19 Class FG, 0.551% 8/20/60 (a)(g) 401 395 
Series 2011-H13 Class FA, 0.751% 4/20/61 (a)(g) 168 167 
planned amortization class Series 2011-136 Class WI, 4.5% 5/20/40 (e) 523 53 
sequential payer:   
Series 2002-24 Class SK, 7.5245% 4/16/32 (a)(e)(f) 1,139 251 
Series 2002-42 Class ZA, 6% 6/20/32 412 476 
Series 2004-24 Class ZM, 5% 4/20/34 844 939 
Series 1999-40 Class SE, 8.5195% 11/16/29 (a)(e)(f) 194 7 
Series 2001-3 Class S, 7.6745% 2/16/31 (a)(e) 259 54 
Series 2001-36:   
Class SB, 7.6745% 12/16/23 (a)(e)(f) 660 119 
Class SP, 8.3245% 9/16/26 (a)(e) 458 71 
Series 2001-38 Class SB, 7.1545% 8/16/31 (a)(e)(f) 422 85 
Series 2001-41 Class SG, 8.3195% 9/16/31 (a)(e) 220 28 
Series 2001-49:   
Class SC, 7.1745% 12/16/25 (a)(e)(f) 869 148 
Class SL, 7.1745% 5/16/30 (a)(e)(f) 1,178 233 
Class SV, 7.8245% 12/16/28 (a)(e)(f) 321 21 
Series 2001-50:   
Class SD, 7.768% 11/20/31 (a)(e)(f) 609 155 
Class ST, 7.2745% 8/16/27 (a)(e)(f) 261 55 
Series 2002-5 Class SP, 7.0245% 1/16/32 (a)(e)(f) 419 74 
Series 2004-32 Class GS, 6.0745% 5/16/34 (a)(e)(f) 394 83 
Series 2004-73 Class AL, 6.7695% 8/17/34 (a)(e)(f) 149 37 
Series 2010-98 Class HS, 6.174% 8/20/40 (a)(e) 726 129 
Series 2011-52 Class HI, 7% 4/16/41 (e) 1,570 360 
Series 2012-76 Class GS, 6.2745% 6/16/42 (a)(e)(f) 764 153 
Series 2012-97 Class JS, 5.8245% 8/16/42 (a)(e)(f) 2,686 489 
Series 2013-124:   
Class ES, 8.0987% 4/20/39 (a)(f) 1,482 1,641 
Class ST, 8.232% 8/20/39 (a)(f) 2,784 3,216 
Series 2013-147 Class A/S, 5.724% 10/20/43 (a)(e) 1,258 196 
Series 2013-160 Class MS, 5.774% 9/20/32 (a)(e)(f) 2,211 435 
Series 2015-H13 Class HA, 2.5% 8/20/64 (g) 13,353 13,627 
Series 2015-H17 Class HA, 2.5% 5/20/65 (g) 5,131 5,239 
Ginnie Mae pass thru certificates Series 2010-85 Class SE, 6.124% 7/20/40 (a)(e) 794 139 
  72,149 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $137,675)  139,720 
Commercial Mortgage Securities - 12.8%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5885% 2/14/43 (a)(e) 673 5 
Banc of America Commercial Mortgage Trust:   
Series 2006-4 Class A1A, 5.617% 7/10/46 (a) 2,102 2,117 
Series 2007-2 Class A4, 5.79% 4/10/49 (a) 1,293 1,311 
Barclays Commercial Mortgage Securities LLC Series 2015-STP Class A, 3.3228% 9/10/28 (d) 5,587 5,749 
Bayview Commercial Asset Trust floater Series 2007-3:   
Class M1, 0.7458% 7/25/37 (a)(d) 38 29 
Class M2, 0.7758% 7/25/37 (a)(d) 40 29 
Class M3, 0.8058% 7/25/37 (a)(d) 65 32 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.827% 12/15/27 (a)(d) 8,859 8,830 
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer:   
Series 2006-CD3 Class A5, 5.617% 10/15/48 163 164 
Series 2007-CD4 Class A4, 5.322% 12/11/49 3,940 4,026 
COMM Mortgage Trust:   
floater Series 2014-KYO Class A, 1.324% 6/11/27 (a)(d) 5,000 4,876 
Series 2013-CR10 Class XA, 1.1309% 8/10/46 (a)(e) 10,374 442 
Series 2014-CR19 Class XA, 1.4501% 8/10/47 (a)(e) 15,637 1,054 
Series 2014-CR20 Class XA, 1.3593% 11/10/47 (a)(e) 13,165 923 
Series 2014-LC17 Class XA, 1.1645% 10/10/47 (a)(e) 14,979 739 
Series 2014-UBS4 Class XA, 1.4292% 8/10/47 (a)(e) 13,158 906 
Series 2014-UBS6 Class XA, 1.2201% 12/10/47 (a)(e) 8,827 537 
Series 2015-PC1 Class A5, 3.902% 7/10/50 3,400 3,598 
CSMC Series 2015-TOWN:   
Class A, 1.677% 3/15/17 (a)(d) 7,804 7,713 
Class B, 2.327% 3/15/17 (a)(d) 185 179 
Class C, 2.677% 3/15/17 (a)(d) 180 172 
Class D, 3.627% 3/15/17 (a)(d) 273 259 
Freddie Mac:   
sequential payer:   
Series K030 Class A2, 3.25% 4/25/23 1,640 1,764 
Series K033 Class A2, 3.06% 7/25/23 8,600 9,129 
Series K034 Class A2, 3.531% 7/25/23 5,549 6,062 
Series K035 Class A2, 3.458% 8/25/23 1,022 1,111 
Series K032 Class A2, 3.31% 5/25/23 1,628 1,755 
Series K036 Class A2, 3.527% 10/25/23 2,681 2,927 
Freddie Mac Multi-family Structured pass-thru certificates sequential payer Series K038 Class A2, 3.389% 3/25/24 1,630 1,764 
GAHR Commercial Mortgage Trust:   
floater Series 2015-NRF Class AFL1, 1.7255% 12/15/16 (a)(d) 12,633 12,512 
Series 2015-NRF Class AFX, 3.2349% 12/15/19 (d) 7,000 7,167 
GE Capital Commercial Mortgage Corp.:   
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 914 928 
Series 2007-C1 Class A1A, 5.483% 12/10/49 (a) 4,802 4,930 
GS Mortgage Securities Trust:   
floater Series 2014-GSFL Class A, 1.4255% 7/15/31 (a)(d) 513 505 
Series 2015-GC34 Class XA, 1.5357% 10/10/48 (a)(e) 10,680 1,020 
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class A, 1.6755% 11/15/29 (a)(d) 844 839 
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-CBX Class XA, 1.9192% 6/15/45 (a)(e) 46,578 3,011 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater Series 2014-BXH Class A, 1.3305% 4/15/27 (a)(d) 5,000 4,938 
sequential payer:   
Series 2006-CB16 Class A1A, 5.546% 5/12/45 1,306 1,315 
Series 2006-LDP8 Class A1A, 5.397% 5/15/45 930 936 
Series 2007-LD11 Class A4, 5.9599% 6/15/49 (a) 4,140 4,223 
Series 2007-CB20 Class A1A, 5.746% 2/12/51 2,508 2,616 
Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2007-6 Class A4, 5.485% 3/12/51 (a) 175 179 
Morgan Stanley BAML Trust Series 2015-C25 Class XA, 1.3069% 10/15/48 (a)(e) 13,837 1,078 
Morgan Stanley Capital I Trust sequential payer Series 2007-IQ15 Class A4, 6.1142% 6/11/49 (a) 1,633 1,691 
SCG Trust Series 2013-SRP1 Class A, 1.8255% 11/15/26 (a)(d) 2,783 2,771 
Wachovia Bank Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C29 Class A1A, 5.297% 11/15/48 6,833 6,959 
Series 2007-C31:   
Class A4, 5.509% 4/15/47 313 319 
Class A5, 5.5% 4/15/47 8,506 8,754 
Series 2007-C32 Class A3, 5.8991% 6/15/49 (a) 1,150 1,175 
Series 2007-C33 Class A4, 6.1491% 2/15/51 (a) 1,786 1,845 
Series 2006-C27 Class A1A, 5.749% 7/15/45 (a) 1,771 1,779 
Wells Fargo Commercial Mortgage Trust Series 2015-C31 Class XA, 1.2791% 11/15/48 (a)(e) 11,180 865 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $141,740)  140,557 
 Shares Value (000s) 
Fixed-Income Funds - 0.2%   
Fidelity Mortgage Backed Securities Central Fund (h)   
(Cost $1,653) 15,043 1,656 
 Maturity Amount (000s) Value (000s) 
Cash Equivalents - 3.1%   
Investments in repurchase agreements in a joint trading account at 0.4%, dated 2/29/16 due 3/1/16 (Collateralized by U.S. Government Obligations) #   
(Cost $34,343) 34,343 34,343 
TOTAL INVESTMENT PORTFOLIO - 123.8%   
(Cost $1,343,593)  1,360,354 
NET OTHER ASSETS (LIABILITIES) - (23.8)%  (261,088) 
NET ASSETS - 100%  $1,099,266 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Fannie Mae   
3.5% 3/1/46 $(7,700) $(8,069) 
3.5% 3/1/46 (7,700) (8,069) 
4% 3/1/46 (100) (107) 
4% 3/1/46 (100) (107) 
4% 3/1/46 (5,400) (5,762) 
4% 3/1/46 (4,750) (5,068) 
4% 3/1/46 (50) (53) 
4% 3/1/46 (9,500) (10,134) 
4.5% 3/1/46 (6,200) (6,734) 
TOTAL FANNIE MAE  (44,103) 
Freddie Mac   
4% 3/1/46 (719) (766) 
4% 3/1/46 (481) (513) 
4% 3/1/46 (3,600) (3,836) 
TOTAL FREDDIE MAC  (5,115) 
Ginnie Mae   
4% 3/1/46 (5,200) (5,553) 
4% 3/1/46 (2,200) (2,350) 
4% 3/1/46 (2,200) (2,350) 
TOTAL GINNIE MAE  (10,253) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $59,497)  $(59,471) 

Swaps

Clearinghouse/Counterparty(1) Expiration Date Notional Amount (000s) Payment Received Payment Paid Value (000s) Upfront Premium Received/(Paid) (000s)(2) Unrealized Appreciation/(Depreciation) (000s) 
Interest Rate Swaps        
LCH Mar. 2018 $30,200 3-month LIBOR 1.5% $(208) $0 $(208) 
LCH Mar. 2019 11,800 3-month LIBOR 1.75% (161) 0 (161) 
LCH Mar. 2021 13,800 3-month LIBOR 2% (388) 0 (388) 
LCH Mar. 2026 2,350 3-month LIBOR 2.5% (137) 0 (137) 
LCH Mar. 2046 830 3-month LIBOR 2.75% (102) 0 (102) 
TOTAL INTEREST RATE SWAPS     $(996) $0 $(996) 

 (1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.

 (2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).


For the period, the average monthly notional amount for swaps in the aggregate was $79,203,000.

Values shown as $0 may reflect amounts less than $500.

Legend

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

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

 (c) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,119,000.

 (d) 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 $175,247,000 or 15.9% of net assets.

 (e) 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.

 (f) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

 (g) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

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


Affiliated Central Funds

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

Fund Income earned 
 (Amounts in thousands) 
Fidelity Mortgage Backed Securities Central Fund $21 
Total $21 

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund (Amounts in thousands) Value, beginning of period Purchases Sales Proceeds Value, end of period % ownership, end of period 
Fidelity Mortgage Backed Securities Central Fund $1,622 $21 $-- $1,656 0.0% 
Total $1,622 $21 $-- $1,656  

Investment Valuation

The following is a summary of the inputs used, as of February 29, 2016, 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 below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
U.S. Government Agency - Mortgage Securities $969,169 $-- $969,169 $-- 
Asset-Backed Securities 74,909 -- 74,909 -- 
Collateralized Mortgage Obligations 139,720 -- 139,720 -- 
Commercial Mortgage Securities 140,557 -- 140,557 -- 
Fixed-Income Funds 1,656 1,656 -- -- 
Cash Equivalents 34,343 -- 34,343 -- 
Total Investments in Securities: $1,360,354 $1,656 $1,358,698 $-- 
Derivative Instruments:     
Liabilities     
Swaps $(996) $-- $(996) $-- 
Total Liabilities $(996) $-- $(996) $-- 
Total Derivative Instruments: $(996) $-- $(996) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(59,471) $-- $(59,471) $-- 
Total Other Financial Instruments: $(59,471) $-- $(59,471) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
(Amounts in thousands) Asset Liability 
Interest Rate Risk   
Swaps(a) $0 $(996) 
Total Interest Rate Risk 0 (996) 
Total Value of Derivatives $0 $(996) 

 (a) For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. For centrally cleared OTC swaps, only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities


Other Information

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

Repurchase Agreement / Counterparty Value 
$34,343,000 due 3/01/16 at 0.40% (Amounts in thousands) 
Commerz Markets LLC $34,343 
 $34,343 

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


Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)  February 29, 2016 (Unaudited) 
Assets   
Investment in securities, at value (including repurchase agreements of $34,343) — See accompanying schedule:
Unaffiliated issuers (cost $1,341,940) 		$1,358,698  
Fidelity Central Funds (cost $1,653) 1,656  
Total Investments (cost $1,343,593)  $1,360,354 
Cash  144 
Receivable for investments sold   
Regular delivery  13,410 
Delayed delivery  5,112 
Receivable for TBA sale commitments  59,497 
Receivable for fund shares sold  1,411 
Interest receivable  3,141 
Distributions receivable from Fidelity Central Funds  4 
Receivable from investment adviser for expense reductions  29 
Total assets  1,443,102 
Liabilities   
Payable for investments purchased   
Regular delivery $19,449  
Delayed delivery 263,501  
TBA sale commitments, at value 59,471  
Payable for fund shares redeemed 835  
Distributions payable 126  
Accrued management fee 281  
Distribution and service plan fees payable 29  
Payable for daily variation margin for derivative instruments 11  
Other affiliated payables 133  
Total liabilities  343,836 
Net Assets  $1,099,266 
Net Assets consist of:   
Paid in capital  $1,160,117 
Distributions in excess of net investment income  (2,190) 
Accumulated undistributed net realized gain (loss) on investments  (74,452) 
Net unrealized appreciation (depreciation) on investments  15,791 
Net Assets  $1,099,266 
Calculation of Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($44,125 ÷ 3,885.80 shares)  $11.36 
Maximum offering price per share (100/96.00 of $11.36)  $11.83 
Class T:   
Net Asset Value and redemption price per share ($24,125 ÷ 2,120.29 shares)  $11.38 
Maximum offering price per share (100/96.00 of $11.38)  $11.85 
Class B:   
Net Asset Value and offering price per share ($714 ÷ 62.89 shares)(a)  $11.35 
Class C:   
Net Asset Value and offering price per share ($18,644 ÷ 1,644.40 shares)(a)  $11.34 
Fidelity Mortgage Securities Fund:   
Net Asset Value, offering price and redemption price per share ($932,567 ÷ 81,918.64 shares)  $11.38 
Class I:   
Net Asset Value, offering price and redemption price per share ($79,091 ÷ 6,972.41 shares)  $11.34 

 (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.


Statement of Operations

Amounts in thousands  Six months ended February 29, 2016 (Unaudited) 
Investment Income   
Interest  $14,700 
Income from Fidelity Central Funds  21 
Total income  14,721 
Expenses   
Management fee $1,616  
Transfer agent fees 575  
Distribution and service plan fees 161  
Fund wide operations fee 201  
Independent trustees' compensation 2  
Miscellaneous 9  
Total expenses before reductions 2,564  
Expense reductions (28) 2,536 
Net investment income (loss)  12,185 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 6,193  
Swaps (2,480)  
Total net realized gain (loss)  3,713 
Change in net unrealized appreciation (depreciation) on:
Investment securities 		4,128  
Swaps 437  
Delayed delivery commitments (68)  
Total change in net unrealized appreciation (depreciation)  4,497 
Net gain (loss)  8,210 
Net increase (decrease) in net assets resulting from operations  $20,395 

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


Statement of Changes in Net Assets

Amounts in thousands Six months ended February 29, 2016 (Unaudited) Year ended August 31, 2015 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $12,185 $22,215 
Net realized gain (loss) 3,713 9,548 
Change in net unrealized appreciation (depreciation) 4,497 (7,250) 
Net increase (decrease) in net assets resulting from operations 20,395 24,513 
Distributions to shareholders from net investment income (13,351) (21,563) 
Distributions to shareholders from net realized gain (552) (244) 
Total distributions (13,903) (21,807) 
Share transactions - net increase (decrease) 89,918 86,045 
Total increase (decrease) in net assets 96,410 88,751 
Net Assets   
Beginning of period 1,002,856 914,105 
End of period (including distributions in excess of net investment income of $2,190 and distributions in excess of net investment income of $1,024, respectively) $1,099,266 $1,002,856 

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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class A

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.29 $11.24 $10.89 $11.34 $11.14 $10.91 
Income from Investment Operations       
Net investment income (loss)A .115 .223 .239 .169 .278 .323 
Net realized and unrealized gain (loss) .089 .047 .341 (.457) .206 .235 
Total from investment operations .204 .270 .580 (.288) .484 .558 
Distributions from net investment income (.128) (.217) (.230) (.162) (.284) (.328) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.134) (.220) (.230) (.162) (.284) (.328) 
Net asset value, end of period $11.36 $11.29 $11.24 $10.89 $11.34 $11.14 
Total ReturnB,C,D 1.82% 2.41% 5.37% (2.57)% 4.41% 5.22% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .80%G .81% .81% .79% .81% .82% 
Expenses net of fee waivers, if any .80%G .81% .81% .79% .81% .82% 
Expenses net of all reductions .80%G .81% .81% .79% .81% .82% 
Net investment income (loss) 2.05%G 1.97% 2.15% 1.51% 2.48% 2.96% 
Supplemental Data       
Net assets, end of period (in millions) $44 $38 $41 $50 $60 $59 
Portfolio turnover rateH 411%G 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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


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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class T

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.31 $11.27 $10.92 $11.37 $11.16 $10.93 
Income from Investment Operations       
Net investment income (loss)A .115 .225 .242 .173 .281 .326 
Net realized and unrealized gain (loss) .089 .037 .340 (.458) .216 .235 
Total from investment operations .204 .262 .582 (.285) .497 .561 
Distributions from net investment income (.128) (.219) (.232) (.165) (.287) (.331) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.134) (.222) (.232) (.165) (.287) (.331) 
Net asset value, end of period $11.38 $11.31 $11.27 $10.92 $11.37 $11.16 
Total ReturnB,C,D 1.82% 2.33% 5.38% (2.54)% 4.52% 5.24% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .80%G .79% .79% .77% .78% .79% 
Expenses net of fee waivers, if any .80%G .79% .79% .77% .78% .79% 
Expenses net of all reductions .80%G .79% .79% .77% .78% .79% 
Net investment income (loss) 2.05%G 1.98% 2.17% 1.53% 2.50% 2.99% 
Supplemental Data       
Net assets, end of period (in millions) $24 $20 $22 $26 $31 $37 
Portfolio turnover rateH 411%G 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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


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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class B

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.28 $11.24 $10.89 $11.34 $11.14 $10.91 
Income from Investment Operations       
Net investment income (loss)A .076 .145 .162 .090 .200 .248 
Net realized and unrealized gain (loss) .088 .037 .342 (.457) .207 .235 
Total from investment operations .164 .182 .504 (.367) .407 .483 
Distributions from net investment income (.088) (.139) (.154) (.083) (.207) (.253) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.094) (.142) (.154) (.083) (.207) (.253) 
Net asset value, end of period $11.35 $11.28 $11.24 $10.89 $11.34 $11.14 
Total ReturnB,C,D 1.46% 1.62% 4.65% (3.25)% 3.69% 4.51% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.51%G 1.50% 1.50% 1.50% 1.50% 1.50% 
Expenses net of fee waivers, if any 1.50%G 1.50% 1.50% 1.50% 1.50% 1.50% 
Expenses net of all reductions 1.50%G 1.50% 1.50% 1.50% 1.50% 1.50% 
Net investment income (loss) 1.35%G 1.28% 1.46% .80% 1.79% 2.27% 
Supplemental Data       
Net assets, end of period (in millions) $1 $1 $1 $2 $4 $5 
Portfolio turnover rateH 411%G 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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


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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class C

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.27 $11.23 $10.88 $11.33 $11.12 $10.90 
Income from Investment Operations       
Net investment income (loss)A .073 .141 .160 .088 .197 .244 
Net realized and unrealized gain (loss) .089 .037 .342 (.457) .217 .226 
Total from investment operations .162 .178 .502 (.369) .414 .470 
Distributions from net investment income (.086) (.135) (.152) (.081) (.204) (.250) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.092) (.138) (.152) (.081) (.204) (.250) 
Net asset value, end of period $11.34 $11.27 $11.23 $10.88 $11.33 $11.12 
Total ReturnB,C,D 1.44% 1.59% 4.64% (3.28)% 3.76% 4.39% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.55%G 1.53% 1.52% 1.52% 1.53% 1.53% 
Expenses net of fee waivers, if any 1.54%G 1.53% 1.52% 1.52% 1.53% 1.53% 
Expenses net of all reductions 1.54%G 1.53% 1.52% 1.52% 1.53% 1.53% 
Net investment income (loss) 1.31%G 1.25% 1.44% .78% 1.76% 2.24% 
Supplemental Data       
Net assets, end of period (in millions) $19 $16 $17 $17 $18 $15 
Portfolio turnover rateH 411%G 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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


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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.31 $11.27 $10.92 $11.37 $11.17 $10.94 
Income from Investment Operations       
Net investment income (loss)A .135 .264 .279 .209 .318 .364 
Net realized and unrealized gain (loss) .089 .037 .341 (.458) .206 .234 
Total from investment operations .224 .301 .620 (.249) .524 .598 
Distributions from net investment income (.148) (.258) (.270) (.201) (.324) (.368) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.154) (.261) (.270) (.201) (.324) (.368) 
Net asset value, end of period $11.38 $11.31 $11.27 $10.92 $11.37 $11.17 
Total ReturnB,C 1.99% 2.68% 5.73% (2.23)% 4.77% 5.59% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .45%F .45% .45% .45% .45% .45% 
Expenses net of fee waivers, if any .45%F .45% .45% .45% .45% .45% 
Expenses net of all reductions .45%F .45% .45% .45% .45% .45% 
Net investment income (loss) 2.40%F 2.33% 2.51% 1.85% 2.84% 3.33% 
Supplemental Data       
Net assets, end of period (in millions) $933 $856 $785 $778 $850 $765 
Portfolio turnover rateG 411%F 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 F Annualized

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


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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class I

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.27 $11.23 $10.88 $11.33 $11.13 $10.90 
Income from Investment Operations       
Net investment income (loss)A .132 .256 .271 .200 .311 .354 
Net realized and unrealized gain (loss) .088 .038 .342 (.456) .207 .235 
Total from investment operations .220 .294 .613 (.256) .518 .589 
Distributions from net investment income (.144) (.251) (.263) (.194) (.318) (.359) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.150) (.254) (.263) (.194) (.318) (.359) 
Net asset value, end of period $11.34 $11.27 $11.23 $10.88 $11.33 $11.13 
Total ReturnB,C 1.97% 2.64% 5.69% (2.30)% 4.73% 5.53% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .51%F .50% .51% .51% .50% .53% 
Expenses net of fee waivers, if any .50%F .50% .51% .51% .50% .53% 
Expenses net of all reductions .50%F .50% .51% .51% .50% .53% 
Net investment income (loss) 2.35%F 2.28% 2.45% 1.79% 2.79% 3.24% 
Supplemental Data       
Net assets, end of period (in millions) $79 $72 $48 $34 $12 $7 
Portfolio turnover rateG 411%F 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 F Annualized

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


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


Notes to Financial Statements (Unaudited)

For the period ended February 29, 2016
(Amounts in thousands except percentages)

1. Organization.

Fidelity Advisor Mortgage Securities Fund (the Fund) is a fund of Fidelity Advisor Series II (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, Fidelity Mortgage Securities Fund and Class I shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a maximum holding period of seven years from the initial date of purchase.

During the period, the Board of Trustees approved the conversion of all existing Class B shares into Class A shares, effective on or about July 1, 2016, regardless of the length of times shares have been held.

2. Investments in Fidelity Central Funds.

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

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Mortgage Backed Securities Central Fund Fidelity Investment Money Management, Inc. (FIMM) Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. Delayed Delivery & When Issued Securities
Repurchase Agreements
Swaps 		Less than .005% 

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


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

3. Significant Accounting Policies.

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

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

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

  • Level 1 – quoted prices in active markets for identical investments
  • Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
  • Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 29, 2016 is included at the end of the Fund's Schedule of Investments.

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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

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

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

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.

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

Book-tax differences are primarily due to swaps, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, financing transactions, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

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

Gross unrealized appreciation $21,912 
Gross unrealized depreciation (5,152) 
Net unrealized appreciation (depreciation) on securities $16,760 
Tax cost $1,343,594 

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

Fiscal year of expiration  
2017 $(73,463) 
No expiration  
Long-term (3,849) 
Total capital loss carryforward $(77,312) 

Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

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

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.

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

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

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

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

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

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. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Interest Rate Risk   
Swaps(a) $(2,480) $437 

 (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


Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

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

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps".

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.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $95,240 and $74,217, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .31% of the Fund's average net assets.

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

 Distribution
Fee 		Service
Fee 		Total Fees Retained
by FDC 
Class A -% .25% $47 $–(a) 
Class T -% .25% 28 – 
Class B .65% .25% 3 2 
Class C .75% .25% 83 1 
   $161 $3 

 (a) Values shown as $0 may reflect amounts less than $500.


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
by FDC 
Class A $2 
Class T 2 
Class B(a) 1 
Class C(a) 1 
 $6 

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


Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Fidelity Mortgage Securities Fund. FIIOC receives an asset-based fee of .10% of Fidelity Mortgage Securities Fund'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-Level Average
Net Assets(a) 
Class A $37 .20 
Class T 22 .20 
Class B 1 .25 
Class C 15 .18 
Fidelity Mortgage Securities Fund 444 .10 
Class I 56 .15 
 $575  

 (a) Annualized


Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser 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% of the Fund's average net assets 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 annualized rate of .04% of average net assets.

Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Committed Line of Credit.

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

8. Expense Reductions.

During the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $28.

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Six months ended February 29, 2016 Year ended August 31, 2015 
From net investment income   
Class A $428 $748 
Class T 256 417 
Class B 6 14 
Class C 126 202 
Fidelity Mortgage Securities Fund 11,589 18,864 
Class I 946 1,318 
Total $13,351 $21,563 
From net realized gain   
Class A $20 $10 
Class T 13 6 
Class C 9 5 
Fidelity Mortgage Securities Fund 471 210 
Class I 39 13 
Total $552 $244 

10. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:

 Shares Shares Dollars Dollars 
 Six months ended February 29, 2016 Year ended August 31, 2015 Six months ended February 29, 2016 Year ended August 31, 2015 
Class A     
Shares sold 1,036 563 $11,746 $6,368 
Reinvestment of distributions 35 59 399 669 
Shares redeemed (577) (872) (6,530) (9,855) 
Net increase (decrease) 494 (250) $5,615 $(2,818) 
Class T     
Shares sold 772 285 $8,778 $3,225 
Reinvestment of distributions 23 36 258 409 
Shares redeemed (486) (458) (5,477) (5,196) 
Net increase (decrease) 309 (137) $3,559 $(1,562) 
Class B     
Shares sold 10 5 $101 $68 
Reinvestment of distributions –(a) 1 4 9 
Shares redeemed (20) (55) (224) (625) 
Net increase (decrease) (10) (49) $(119) $(548) 
Class C     
Shares sold 464 358 $5,253 $4,044 
Reinvestment of distributions 10 15 113 166 
Shares redeemed (209) (502) (2,363) (5,678) 
Net increase (decrease) 265 (129) $3,003 $(1,468) 
Fidelity Mortgage Securities Fund     
Shares sold 12,675 20,281 $143,608 $230,420 
Reinvestment of distributions 1,004 1,582 11,378 17,954 
Shares redeemed (7,440) (15,790) (84,239) (179,084) 
Net increase (decrease) 6,239 6,073 $70,747 $69,290 
Class I     
Shares sold 892 3,034 $10,069 $34,395 
Reinvestment of distributions 85 114 959 1,290 
Shares redeemed (347) (1,110) (3,915) (12,534) 
Net increase (decrease) 630 2,038 $7,113 $23,151 

 (a) Values shown as 0 may reflect amounts less than 500.


11. 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.

At the end of the period, the investment adviser or its affiliates were the owners of record of 10% of the total outstanding shares of the Fund.

12. Credit Risk.

The Fund invests a portion of its assets in structured securities of issuers backed by commercial and 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.

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2015 to February 29, 2016).

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.

 Annualized Expense Ratio-A Beginning
Account Value
September 1, 2015 		Ending
Account Value
February 29, 2016 		Expenses Paid
During Period-B
September 1, 2015
to February 29, 2016 
Class A .80%    
Actual  $1,000.00 $1,018.20 $4.01 
Hypothetical-C  $1,000.00 $1,020.89 $4.02 
Class T .80%    
Actual  $1,000.00 $1,018.20 $4.01 
Hypothetical-C  $1,000.00 $1,020.89 $4.02 
Class B 1.50%    
Actual  $1,000.00 $1,014.60 $7.51 
Hypothetical-C  $1,000.00 $1,017.40 $7.52 
Class C 1.54%    
Actual  $1,000.00 $1,014.40 $7.71 
Hypothetical-C  $1,000.00 $1,017.21 $7.72 
Fidelity Mortgage Securities Fund .45%    
Actual  $1,000.00 $1,019.90 $2.26 
Hypothetical-C  $1,000.00 $1,022.63 $2.26 
Class I .50%    
Actual  $1,000.00 $1,019.70 $2.51 
Hypothetical-C  $1,000.00 $1,022.38 $2.51 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (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 each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.

 C 5% return per year before expenses


Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Advisor Mortgage Securities Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2015 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; and (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by FMR, the sub-advisers (together with FMR, the Investment Advisers), and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) reducing management fees and total expenses for certain index funds and diversified international funds; (v) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (vi) rationalizing product lines and gaining increased efficiencies through fund mergers; (vii) launching active fixed-income exchange-traded funds; (viii) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; (ix) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (x) modifying the eligibility criteria for certain share classes to accommodate roll-over assets from employer-sponsored retirement plans; (xi) launching a new Class W of the Freedom Index Funds to attract and retain Fidelity record-kept retirement plan assets; and (xii) implementing changes to Fidelity's money market product line in response to recent money market regulatory reforms.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Fidelity Advisor Mortgage Securities Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2014.

The Board noted that, in 2014, the ad hoc Committee on Group Fee was formed by it and other Fidelity fund boards to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. Committee focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio.  In its review of each class's total expense ratio, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the total expense ratio of each class ranked below its competitive median for 2014.

The Board considered that the current contractual arrangements for the fund have the effect of setting the total "fund-level" (but not "class-level") expenses (including, among certain other "fund-level" expenses, the management fee) for each class at 0.35%. These contractual arrangements may not be increased without the approval of the Board.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total group assets increase, and for higher group fee rates as total group assets decrease (with "group assets" defined to include fund assets under FMR's management plus sector fund assets previously under FMR's management and currently managed by Fidelity SelectCo, LLC). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board noted, however, that because the current contractual arrangements set the total "fund-level" expenses for each class at 0.35%, increases or decreases in the management fee due to changes in the group fee rate will not impact the total expense ratio.

Fees Charged to Other Fidelity Clients.  The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted the findings of the 2013 ad hoc joint committee (created with the board of other Fidelity funds), which reviewed and compared Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationship with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that in 2013, it and the boards of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds; (v) Fidelity's voluntary waiver of its fees to maintain minimum yields for certain money market funds and classes as well as contractual waivers in place for certain funds; (vi) the methodology with respect to competitive fund data and peer group classifications; (vii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (viii) Fidelity's long-term expectations for its offerings in the workplace investing channel; (ix) new developments in the retail and institutional marketplaces; and (x) the impact of money market reform on Fidelity's money market funds. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.





Fidelity Investments

AMOR-SANN-0416
1.703540.118

Fidelity Advisor® Short Fixed-Income Fund
Class I



Semi-Annual Report

February 29, 2016



Fidelity Investments


Contents

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees


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.

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All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 FMR LLC. All rights reserved.



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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.

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Investment Summary (Unaudited)

Quality Diversification (% of fund's net assets)

As of February 29, 2016  
   U.S. Government and U.S. Government Agency Obligations 31.6% 
   AAA 20.3% 
   AA 3.8% 
   A 19.6% 
   BBB 20.9% 
   BB and Below 1.9% 
   Not Rated 0.3% 
   Short-Term Investments and Net Other Assets 1.6% 


As of August 31, 2015  
   U.S. Government and U.S. Government Agency Obligations 27.4% 
   AAA 24.1% 
   AA 4.2% 
   A 20.6% 
   BBB 20.2% 
   BB and Below 2.5% 
   Not Rated 0.2% 
   Short-Term Investments and Net Other Assets 0.8% 


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 as BB or below were rated investment grade at the time of acquisition.

Weighted Average Maturity as of February 29, 2016

  6 months ago 
Years 1.8 2.0 

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 February 29, 2016

  6 months ago 
Years 1.7 1.7 

Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration.

Asset Allocation (% of fund's net assets)

As of February 29, 2016 *,** 
   Corporate Bonds 42.3% 
   U.S. Government and U.S. Government Agency Obligations 31.6% 
   Asset-Backed Securities 14.3% 
   CMOs and Other Mortgage Related Securities 7.2% 
   Municipal Bonds 0.2% 
   Other Investments 2.8% 
   Short-Term Investments and Net Other Assets (Liabilities) 1.6% 


 * Foreign investments - 13.3%

 ** Futures and Swaps - 0.0%


As of August 31, 2015 *,** 
   Corporate Bonds 42.8% 
   U.S. Government and U.S. Government Agency Obligations 27.4% 
   Asset-Backed Securities 16.1% 
   CMOs and Other Mortgage Related Securities 10.0% 
   Other Investments 2.9% 
   Short-Term Investments and Net Other Assets (Liabilities) 0.8% 


 * Foreign investments - 14.9%

 ** Futures and Swaps - 0.0%


Percentages shown as 0.0% may reflect amounts less than 0.05%. 

Investments February 29, 2016 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 42.3%   
 Principal Amount Value 
CONSUMER DISCRETIONARY - 2.9%   
Automobiles - 1.8%   
American Honda Finance Corp.:   
0.95% 5/5/17 $1,580,000 $1,574,721 
1.125% 10/7/16 1,248,000 1,250,626 
1.7% 2/22/19 870,000 871,286 
Daimler Finance North America LLC:   
1.375% 8/1/17 (a) 1,642,000 1,631,596 
1.45% 8/1/16 (a) 1,429,000 1,429,254 
1.65% 3/2/18 (a) 821,000 812,884 
1.65% 5/18/18 (a) 1,600,000 1,579,842 
General Motors Financial Co., Inc.:   
2.4% 4/10/18 1,827,000 1,794,933 
4.2% 3/1/21 1,000,000 1,001,501 
Volkswagen Group of America Finance LLC:   
1.25% 5/23/17 (a) 1,642,000 1,613,216 
1.65% 5/22/18 (a) 1,000,000 969,677 
Volkswagen International Finance NV 1.6% 11/20/17 (a) 1,090,000 1,067,904 
  15,597,440 
Hotels, Restaurants & Leisure - 0.0%   
McDonald's Corp. 2.1% 12/7/18 335,000 339,326 
Media - 1.1%   
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 3.579% 7/23/20 (a) 1,000,000 1,002,490 
COX Communications, Inc. 6.25% 6/1/18 (a) 411,000 440,130 
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 2.4% 3/15/17 1,642,000 1,658,143 
Thomson Reuters Corp. 0.875% 5/23/16 440,000 439,538 
Time Warner Cable, Inc. 5.85% 5/1/17 2,675,000 2,777,699 
Time Warner, Inc. 6.875% 6/15/18 1,300,000 1,439,692 
Viacom, Inc. 2.2% 4/1/19 821,000 805,671 
Walt Disney Co. 1.1% 12/1/17 802,000 802,578 
  9,365,941 
TOTAL CONSUMER DISCRETIONARY  25,302,707 
CONSUMER STAPLES - 3.1%   
Beverages - 0.9%   
Anheuser-Busch InBev Finance, Inc.:   
1.9% 2/1/19 3,621,000 3,655,320 
2.65% 2/1/21 1,500,000 1,526,687 
Heineken NV 1.4% 10/1/17 (a) 457,000 456,847 
SABMiller Holdings, Inc. 2.45% 1/15/17 (a) 2,184,000 2,201,230 
  7,840,084 
Food & Staples Retailing - 0.1%   
CVS Health Corp. 1.9% 7/20/18 733,000 735,957 
Walgreens Boots Alliance, Inc. 1.75% 11/17/17 212,000 211,731 
  947,688 
Food Products - 0.6%   
General Mills, Inc. 1.4% 10/20/17 2,053,000 2,053,511 
H.J. Heinz Co. 1.6% 6/30/17 (a) 1,180,000 1,178,729 
The J.M. Smucker Co. 1.75% 3/15/18 533,000 531,302 
Tyson Foods, Inc. 2.65% 8/15/19 821,000 832,094 
William Wrigley Jr. Co. 1.4% 10/21/16 (a) 560,000 560,162 
  5,155,798 
Tobacco - 1.5%   
BAT International Finance PLC:   
1.85% 6/15/18 (a) 3,000,000 3,012,354 
2.75% 6/15/20 (a) 1,570,000 1,603,389 
Imperial Tobacco Finance PLC:   
2.05% 2/11/18 (a) 867,000 866,183 
2.05% 7/20/18 (a) 2,000,000 1,990,382 
Philip Morris International, Inc.:   
1.25% 8/11/17 1,349,000 1,352,103 
1.375% 2/25/19 2,000,000 1,993,316 
Reynolds American, Inc.:   
2.3% 6/12/18 349,000 352,730 
3.25% 6/12/20 576,000 599,028 
6.75% 6/15/17 1,350,000 1,449,198 
  13,218,683 
TOTAL CONSUMER STAPLES  27,162,253 
ENERGY - 3.7%   
Energy Equipment & Services - 0.2%   
Nabors Industries, Inc. 2.35% 9/15/16 473,000 468,226 
Noble Holding International Ltd. 4% 3/16/18 60,000 48,000 
Petrofac Ltd. 3.4% 10/10/18 (a) 1,478,000 1,253,634 
  1,769,860 
Oil, Gas & Consumable Fuels - 3.5%   
BG Energy Capital PLC 2.875% 10/15/16 (a) 1,109,000 1,114,645 
BP Capital Markets PLC:   
1.375% 5/10/18 895,000 877,123 
2.248% 11/1/16 1,084,000 1,089,647 
Canadian Natural Resources Ltd. 1.75% 1/15/18 340,000 310,727 
Columbia Pipeline Group, Inc. 2.45% 6/1/18 (a) 1,054,000 1,011,243 
ConocoPhillips Co. 1.5% 5/15/18 2,114,000 2,018,194 
Enbridge, Inc.:   
0.8662% 6/2/17 (b) 1,459,000 1,394,350 
1.2622% 10/1/16 (b) 2,053,000 2,033,375 
Enterprise Products Operating LP:   
1.65% 5/7/18 1,000,000 966,141 
2.55% 10/15/19 162,000 156,781 
Exxon Mobil Corp. 1.6% 3/1/19 2,000,000 2,000,000 
Kinder Morgan, Inc. 3.05% 12/1/19 1,250,000 1,153,938 
Marathon Petroleum Corp.:   
2.7% 12/14/18 197,000 190,797 
3.5% 3/1/16 1,399,000 1,399,000 
Petro-Canada 6.05% 5/15/18 821,000 839,936 
Petrobras Global Finance BV:   
2% 5/20/16 1,642,000 1,636,253 
3.25% 3/17/17 1,232,000 1,193,808 
Petroleos Mexicanos:   
3.125% 1/23/19 143,000 139,037 
5.5% 2/4/19 (a) 1,000,000 1,034,000 
Phillips 66 Co. 2.95% 5/1/17 534,000 540,706 
Schlumberger Investment SA 1.25% 8/1/17 (a) 1,232,000 1,211,020 
Shell International Finance BV 2.125% 5/11/20 1,184,000 1,153,059 
Southwestern Energy Co. 3.3% 1/23/18 321,000 231,120 
Spectra Energy Partners, LP 2.95% 6/15/16 257,000 257,298 
TransCanada PipeLines Ltd.:   
1.2831% 6/30/16 (b) 3,284,000 3,277,268 
1.625% 11/9/17 750,000 736,784 
1.875% 1/12/18 1,642,000 1,610,672 
3.125% 1/15/19 754,000 758,802 
  30,335,724 
TOTAL ENERGY  32,105,584 
FINANCIALS - 21.6%   
Banks - 12.5%   
ABN AMRO Bank NV 1.4211% 10/28/16 (a)(b) 3,740,000 3,745,685 
Australia & New Zealand Banking Group Ltd. 1.25% 1/10/17 1,339,000 1,340,372 
Banco Nacional de Desenvolvimento Economico e Social 3.375% 9/26/16 (a) 957,000 954,608 
Bank of America Corp.:   
2% 1/11/18 2,340,000 2,331,796 
2.6% 1/15/19 1,000,000 1,004,726 
Bank of Montreal 1.4% 4/10/18 800,000 795,859 
Bank of Nova Scotia 1.375% 12/18/17 878,000 875,782 
Bank of Tokyo-Mitsubishi UFJ Ltd.:   
1.45% 9/8/17 (a) 1,150,000 1,145,510 
1.55% 9/9/16 (a) 945,000 946,200 
1.7% 3/5/18 (a) 1,642,000 1,632,618 
Barclays PLC:   
2% 3/16/18 1,000,000 980,589 
2.75% 11/8/19 2,000,000 1,963,960 
3.25% 1/12/21 928,000 894,672 
BNP Paribas 2.375% 9/14/17 1,700,000 1,716,201 
BPCE SA 1.625% 2/10/17 1,080,000 1,078,820 
Citigroup, Inc.:   
1.3% 11/15/16 1,445,000 1,444,523 
1.55% 8/14/17 4,105,000 4,083,038 
1.5786% 7/25/16 (b) 1,642,000 1,644,217 
1.7% 4/27/18 780,000 771,708 
1.85% 11/24/17 821,000 818,360 
2.15% 7/30/18 750,000 747,325 
2.5% 9/26/18 1,200,000 1,207,720 
2.5% 7/29/19 805,000 806,942 
Citizens Bank NA:   
1.6% 12/4/17 1,642,000 1,623,549 
2.45% 12/4/19 1,240,000 1,230,245 
Commonwealth Bank of Australia 1.125% 3/13/17 1,766,000 1,763,921 
Credit Suisse New York Branch:   
1.1246% 5/26/17 (b) 1,642,000 1,633,041 
1.375% 5/26/17 4,105,000 4,076,540 
1.75% 1/29/18 1,642,000 1,631,816 
Discover Bank:   
2% 2/21/18 2,053,000 2,028,247 
2.6% 11/13/18 1,000,000 998,992 
Fifth Third Bancorp 4.5% 6/1/18 1,027,000 1,080,780 
Fifth Third Bank 2.15% 8/20/18 963,000 967,058 
HSBC Bank PLC 1.5% 5/15/18 (a) 1,090,000 1,083,320 
HSBC U.S.A., Inc.:   
1.7% 3/5/18 994,000 986,612 
2.625% 9/24/18 821,000 825,732 
Huntington National Bank 2% 6/30/18 1,570,000 1,562,148 
ING Bank NV 1.8% 3/16/18 (a) 1,000,000 998,273 
Intesa Sanpaolo SpA 2.375% 1/13/17 3,428,000 3,438,880 
JPMorgan Chase & Co.:   
1.35% 2/15/17 6,568,000 6,569,885 
2% 8/15/17 1,642,000 1,649,497 
KeyBank NA 1.7% 6/1/18 1,183,000 1,179,504 
La Caisse Centrale 1.75% 1/29/18 (a) 1,232,000 1,223,095 
Lloyds Bank PLC 1.75% 3/16/18 1,232,000 1,226,231 
Mitsubishi UFJ Financial Group, Inc. 2.95% 3/1/21 1,700,000 1,714,982 
Mitsubishi UFJ Trust & Banking Corp. 1.6% 10/16/17 (a) 1,232,000 1,224,912 
Mizuho Bank Ltd.:   
1.0531% 9/25/17 (a)(b) 1,642,000 1,635,342 
1.55% 10/17/17 (a) 2,693,000 2,676,635 
MUFG Americas Holdings Corp. 1.625% 2/9/18 238,000 236,270 
MUFG Union Bank NA 1.5% 9/26/16 753,000 754,559 
Nordea Bank AB 1.875% 9/17/18 (a) 1,200,000 1,199,116 
PNC Bank NA:   
1.5% 2/23/18 1,100,000 1,097,016 
1.8% 11/5/18 1,500,000 1,499,933 
Regions Financial Corp.:   
2% 5/15/18 1,654,000 1,639,334 
3.2% 2/8/21 1,000,000 995,154 
Royal Bank of Canada:   
1.2% 1/23/17 1,036,000 1,036,943 
1.5% 1/16/18 1,815,000 1,812,448 
2.2% 7/27/18 821,000 830,067 
Royal Bank of Scotland Group PLC 1.5431% 3/31/17 (b) 1,807,000 1,801,248 
Sumitomo Mitsui Banking Corp.:   
1.3% 1/10/17 2,053,000 2,051,542 
1.75% 1/16/18 1,642,000 1,635,834 
1.8% 7/18/17 1,618,000 1,620,173 
2.05% 1/18/19 2,000,000 1,999,010 
SunTrust Banks, Inc. 3.5% 1/20/17 1,190,000 1,210,068 
Wells Fargo Bank NA 0.8282% 5/16/16 (b) 3,695,000 3,695,695 
Westpac Banking Corp.:   
1.2% 5/19/17 2,217,000 2,212,056 
1.5% 12/1/17 1,642,000 1,642,355 
2% 8/14/17 1,848,000 1,862,267 
  108,791,556 
Capital Markets - 2.8%   
Deutsche Bank AG London Branch 1.4% 2/13/17 4,105,000 4,078,441 
Goldman Sachs Group, Inc.:   
1.2882% 5/22/17 (b) 1,000,000 997,994 
1.748% 9/15/17 2,874,000 2,871,853 
2.375% 1/22/18 1,807,000 1,817,956 
2.55% 10/23/19 830,000 831,504 
2.625% 1/31/19 1,232,000 1,241,368 
JPMorgan Chase & Co. 1.7% 3/1/18 821,000 818,203 
Lazard Group LLC 6.85% 6/15/17 28,000 29,439 
Morgan Stanley:   
1.875% 1/5/18 821,000 818,955 
2.375% 7/23/19 700,000 698,474 
2.45% 2/1/19 2,000,000 2,008,188 
2.5% 1/24/19 2,000,000 2,010,344 
5.45% 1/9/17 2,792,000 2,883,795 
UBS AG Stamford Branch:   
1.375% 6/1/17 590,000 588,512 
1.375% 8/14/17 1,618,000 1,611,955 
1.8% 3/26/18 1,174,000 1,174,639 
  24,481,620 
Consumer Finance - 2.1%   
American Express Credit Corp.:   
1.125% 6/5/17 2,053,000 2,044,455 
2.8% 9/19/16 797,000 805,013 
Discover Financial Services 6.45% 6/12/17 2,587,000 2,712,987 
Ford Motor Credit Co. LLC:   
1.461% 3/27/17 1,000,000 993,250 
1.684% 9/8/17 1,642,000 1,617,938 
2.145% 1/9/18 1,642,000 1,633,506 
2.24% 6/15/18 895,000 882,060 
3% 6/12/17 2,422,000 2,442,308 
Hyundai Capital America:   
1.45% 2/6/17 (a) 1,151,000 1,147,167 
2% 3/19/18 (a) 821,000 817,327 
2.125% 10/2/17 (a) 1,196,000 1,196,968 
2.875% 8/9/18 (a) 583,000 587,381 
John Deere Capital Corp. 1.6% 7/13/18 279,000 279,312 
Synchrony Financial:   
1.875% 8/15/17 193,000 190,894 
2.6% 1/15/19 1,000,000 991,730 
  18,342,296 
Diversified Financial Services - 1.3%   
AIG Global Funding 1.65% 12/15/17 (a) 1,232,000 1,229,001 
Berkshire Hathaway Finance Corp. 1.6% 5/15/17 1,092,000 1,100,222 
Berkshire Hathaway, Inc. 1.55% 2/9/18 912,000 918,536 
GE Capital International Funding Co. 0.964% 4/15/16 (a) 6,281,000 6,282,124 
McGraw Hill Financial, Inc. 2.5% 8/15/18 489,000 491,472 
Moody's Corp. 2.75% 7/15/19 1,500,000 1,528,803 
  11,550,158 
Insurance - 2.2%   
ACE INA Holdings, Inc. 2.3% 11/3/20 543,000 546,206 
AFLAC, Inc. 2.4% 3/16/20 1,000,000 1,010,216 
American International Group, Inc.:   
2.3% 7/16/19 1,983,000 1,966,894 
5.85% 1/16/18 979,000 1,043,898 
Aon Corp.:   
3.125% 5/27/16 1,027,000 1,031,827 
5% 9/30/20 703,000 775,583 
Assurant, Inc. 2.5% 3/15/18 920,000 920,426 
Marsh & McLennan Companies, Inc. 2.55% 10/15/18 963,000 985,027 
MetLife, Inc.:   
1.756% 12/15/17 (b) 382,000 382,152 
1.903% 12/15/17 (b) 166,000 166,070 
Metropolitan Life Global Funding I:   
1.3% 4/10/17 (a) 3,284,000 3,284,433 
1.5% 1/10/18 (a) 2,101,000 2,086,249 
New York Life Global Funding 1.55% 11/2/18 (a) 1,610,000 1,603,811 
Pricoa Global Funding I:   
1.15% 11/25/16 (a) 904,000 903,652 
1.9% 9/21/18 (a) 750,000 748,172 
Principal Life Global Funding II 2.25% 10/15/18 (a) 1,500,000 1,516,524 
Prudential Financial, Inc. 2.3% 8/15/18 300,000 300,802 
TIAA Asset Management Finance LLC 2.95% 11/1/19 (a) 238,000 239,199 
  19,511,141 
Real Estate Investment Trusts - 0.3%   
Boston Properties, Inc. 3.7% 11/15/18 825,000 854,814 
DDR Corp. 9.625% 3/15/16 271,000 271,755 
ERP Operating LP 2.375% 7/1/19 528,000 530,518 
Health Care REIT, Inc.:   
2.25% 3/15/18 280,000 279,264 
4.7% 9/15/17 500,000 520,727 
Select Income REIT 2.85% 2/1/18 395,000 393,721 
  2,850,799 
Real Estate Management & Development - 0.4%   
Mack-Cali Realty LP 2.5% 12/15/17 633,000 627,113 
Ventas Realty LP:   
1.25% 4/17/17 405,000 401,702 
1.55% 9/26/16 236,000 236,109 
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18 572,000 569,073 
Washington Prime Group LP 3.85% 4/1/20 1,191,000 1,227,173 
  3,061,170 
TOTAL FINANCIALS  188,588,740 
HEALTH CARE - 2.8%   
Biotechnology - 0.8%   
AbbVie, Inc.:   
1.75% 11/6/17 1,532,000 1,531,131 
1.8% 5/14/18 2,061,000 2,055,194 
2.5% 5/14/20 1,100,000 1,099,267 
Amgen, Inc. 1.25% 5/22/17 1,634,000 1,630,536 
Celgene Corp. 2.125% 8/15/18 718,000 721,242 
  7,037,370 
Health Care Equipment & Supplies - 0.5%   
Becton, Dickinson & Co. 1.8% 12/15/17 1,129,000 1,130,426 
Medtronic, Inc. 1.5% 3/15/18 1,358,000 1,361,229 
Zimmer Biomet Holdings, Inc. 2% 4/1/18 1,563,000 1,556,181 
  4,047,836 
Health Care Providers & Services - 0.5%   
Cardinal Health, Inc. 1.95% 6/15/18 229,000 229,075 
Express Scripts Holding Co. 1.25% 6/2/17 2,045,000 2,034,405 
UnitedHealth Group, Inc. 1.9% 7/16/18 1,400,000 1,413,079 
WellPoint, Inc. 1.875% 1/15/18 532,000 530,894 
  4,207,453 
Life Sciences Tools & Services - 0.1%   
Thermo Fisher Scientific, Inc.:   
1.3% 2/1/17 253,000 252,103 
2.15% 12/14/18 398,000 398,178 
  650,281 
Pharmaceuticals - 0.9%   
Actavis Funding SCS:   
1.582% 3/12/18 (b) 2,053,000 2,058,933 
2.35% 3/12/18 1,642,000 1,651,919 
3% 3/12/20 687,000 698,825 
Bayer U.S. Finance LLC:   
1.5% 10/6/17 (a) 1,710,000 1,713,107 
2.375% 10/8/19 (a) 1,100,000 1,115,710 
Mylan, Inc. 1.35% 11/29/16 299,000 296,936 
Perrigo Co. PLC 1.3% 11/8/16 302,000 300,249 
Zoetis, Inc.:   
1.875% 2/1/18 143,000 141,460 
3.45% 11/13/20 223,000 227,164 
  8,204,303 
TOTAL HEALTH CARE  24,147,243 
INDUSTRIALS - 0.8%   
Aerospace & Defense - 0.4%   
L-3 Communications Corp. 1.5% 5/28/17 813,000 802,103 
Lockheed Martin Corp. 1.85% 11/23/18 2,830,000 2,848,186 
  3,650,289 
Industrial Conglomerates - 0.3%   
Danaher Corp. 1.65% 9/15/18 1,842,000 1,852,886 
Roper Technologies, Inc. 2.05% 10/1/18 750,000 746,286 
  2,599,172 
Trading Companies & Distributors - 0.1%   
Air Lease Corp. 2.125% 1/15/18 405,000 395,381 
TOTAL INDUSTRIALS  6,644,842 
INFORMATION TECHNOLOGY - 1.0%   
Communications Equipment - 0.1%   
Cisco Systems, Inc. 1.65% 6/15/18 1,200,000 1,208,519 
Electronic Equipment & Components - 0.5%   
Amphenol Corp. 1.55% 9/15/17 1,394,000 1,390,236 
Tyco Electronics Group SA:   
2.375% 12/17/18 185,000 185,821 
6.55% 10/1/17 2,775,000 2,979,487 
  4,555,544 
IT Services - 0.2%   
The Western Union Co.:   
2.875% 12/10/17 915,000 930,840 
3.65% 8/22/18 522,000 532,946 
  1,463,786 
Technology Hardware, Storage & Peripherals - 0.2%   
Hewlett Packard Enterprise Co. 2.85% 10/5/18 (a) 2,000,000 2,000,658 
TOTAL INFORMATION TECHNOLOGY  9,228,507 
MATERIALS - 0.7%   
Chemicals - 0.5%   
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (a) 1,970,000 1,935,789 
Ecolab, Inc.:   
1.45% 12/8/17 488,000 485,559 
1.55% 1/12/18 1,642,000 1,634,971 
  4,056,319 
Metals & Mining - 0.2%   
Anglo American Capital PLC 1.572% 4/15/16 (a)(b) 966,000 952,028 
Freeport-McMoRan, Inc. 2.3% 11/14/17 549,000 502,335 
Rio Tinto Finance (U.S.A.) PLC 1.3658% 6/17/16 (b) 821,000 818,698 
  2,273,061 
TOTAL MATERIALS  6,329,380 
TELECOMMUNICATION SERVICES - 2.8%   
Diversified Telecommunication Services - 2.3%   
AT&T, Inc.:   
1.4% 12/1/17 904,000 899,628 
2.45% 6/30/20 823,000 819,758 
2.95% 5/15/16 986,000 989,758 
BellSouth Corp. 4.821% 4/26/16 (a)(b) 1,500,000 1,508,922 
British Telecommunications PLC:   
1.25% 2/14/17 2,298,000 2,295,082 
1.625% 6/28/16 1,515,000 1,517,459 
2.35% 2/14/19 1,774,000 1,790,793 
CenturyLink, Inc. 5.15% 6/15/17 904,000 926,600 
Deutsche Telekom International Financial BV:   
3.125% 4/11/16 (a) 993,000 995,056 
5.75% 3/23/16 1,642,000 1,646,566 
Verizon Communications, Inc.:   
1.35% 6/9/17 1,279,000 1,278,336 
2% 11/1/16 2,239,000 2,251,482 
2.5% 9/15/16 3,081,000 3,104,785 
  20,024,225 
Wireless Telecommunication Services - 0.5%   
America Movil S.A.B. de CV:   
1.502% 9/12/16 (b) 986,000 986,106 
2.375% 9/8/16 1,258,000 1,263,462 
Vodafone Group PLC:   
1.5% 2/19/18 821,000 813,202 
1.625% 3/20/17 1,184,000 1,188,787 
  4,251,557 
TOTAL TELECOMMUNICATION SERVICES  24,275,782 
UTILITIES - 2.9%   
Electric Utilities - 1.9%   
American Electric Power Co., Inc. 1.65% 12/15/17 1,260,000 1,251,339 
Duke Energy Corp.:   
0.9922% 4/3/17 (b) 2,469,000 2,450,944 
1.625% 8/15/17 495,000 494,581 
2.1% 6/15/18 1,000,000 1,002,077 
Eversource Energy 1.45% 5/1/18 239,000 236,148 
Exelon Corp.:   
1.55% 6/9/17 155,000 154,249 
2.85% 6/15/20 228,000 229,935 
FirstEnergy Corp. 2.75% 3/15/18 2,632,000 2,658,817 
NextEra Energy Capital Holdings, Inc. 1.586% 6/1/17 1,500,000 1,497,512 
Pacific Gas & Electric Co. 5.625% 11/30/17 1,457,000 1,554,339 
Public Service Electric & Gas Co. 2.3% 9/15/18 1,000,000 1,014,802 
TECO Finance, Inc. 1.2169% 4/10/18 (b) 2,200,000 2,168,863 
Xcel Energy, Inc. 0.75% 5/9/16 1,807,000 1,805,901 
  16,519,507 
Independent Power and Renewable Electricity Producers - 0.2%   
Southern Power Co.:   
1.5% 6/1/18 1,173,000 1,154,680 
1.85% 12/1/17 321,000 321,060 
  1,475,740 
Multi-Utilities - 0.8%   
Berkshire Hathaway Energy Co. 1.1% 5/15/17 2,150,000 2,143,759 
Dominion Resources, Inc.:   
1.4% 9/15/17 697,000 692,487 
1.9% 6/15/18 1,261,000 1,254,425 
1.95% 8/15/16 697,000 698,757 
2.5% 12/1/19 1,029,000 1,036,817 
2.9031% 9/30/66 (b) 1,097,000 737,240 
Wisconsin Energy Corp. 1.65% 6/15/18 456,000 455,163 
  7,018,648 
TOTAL UTILITIES  25,013,895 
TOTAL NONCONVERTIBLE BONDS   
(Cost $370,359,482)  368,798,933 
U.S. Government and Government Agency Obligations - 28.3%   
U.S. Government Agency Obligations - 2.0%   
Fannie Mae:   
1% 2/26/19 $10,421,000 $10,408,161 
1.125% 7/20/18 2,073,000 2,081,758 
1.125% 12/14/18 158,000 158,522 
1.875% 9/18/18 114,000 116,614 
Freddie Mac:   
0.5% 1/27/17 2,668,000 2,661,591 
1% 12/15/17 2,209,000 2,213,389 
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS  17,640,035 
U.S. Treasury Obligations - 26.3%   
U.S. Treasury Notes:   
0.5% 7/31/17 22,000,000 21,916,642 
0.75% 2/15/19 (c) 96,783,000 96,333,149 
0.875% 10/15/17 32,187,500 32,228,990 
1% 5/15/18 39,155,000 39,297,250 
1.125% 1/15/19 15,658,000 15,756,473 
1.375% 2/28/19 13,945,600 14,128,092 
1.375% 3/31/20 10,000,000 10,088,670 
TOTAL U.S. TREASURY OBLIGATIONS  229,749,266 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $247,152,584)  247,389,301 
U.S. Government Agency - Mortgage Securities - 2.6%   
Fannie Mae - 1.7%   
2.388% 2/1/35 (b) 251,024 263,177 
2.406% 11/1/34 (b) 133,884 140,050 
2.409% 10/1/35 (b) 285,697 299,254 
2.45% 11/1/36 (b) 312,284 328,530 
2.457% 2/1/44 (b) 120,688 124,293 
2.467% 5/1/35 (b) 222,781 234,933 
2.468% 1/1/40 (b) 252,080 265,227 
2.471% 3/1/40 (b) 186,471 197,069 
2.489% 12/1/33 (b) 127,645 134,680 
2.501% 4/1/44 (b) 202,633 208,545 
2.51% 7/1/35 (b) 807,306 852,556 
2.523% 10/1/41 (b) 345,174 365,124 
2.524% 2/1/44 (b) 119,090 122,605 
2.543% 1/1/44 (b) 197,316 203,440 
2.557% 3/1/40 (b) 134,778 142,166 
2.557% 6/1/42 (b) 93,416 96,229 
2.592% 5/1/44 (b) 230,153 236,817 
2.595% 4/1/35 (b) 78,055 82,182 
2.628% 5/1/44 (b) 319,327 329,243 
2.674% 12/1/34 (b) 118,918 125,879 
2.68% 9/1/41 (b) 488,541 517,224 
2.685% 12/1/39 (b) 67,329 71,194 
2.686% 4/1/44 (b) 492,261 507,671 
2.689% 2/1/42 (b) 569,582 592,185 
2.761% 1/1/42 (b) 492,164 512,197 
2.791% 8/1/41 (b) 398,075 421,670 
2.951% 11/1/40 (b) 62,162 64,535 
2.965% 8/1/41 (b) 83,465 87,313 
2.98% 9/1/41 (b) 75,129 78,564 
2.991% 10/1/41 (b) 39,817 41,585 
3.249% 7/1/41 (b) 99,639 104,101 
3.347% 10/1/41 (b) 57,817 60,705 
3.5% 1/1/26 to 9/1/29 3,803,095 4,049,774 
3.553% 7/1/41 (b) 125,862 132,354 
4.5% 6/1/19 to 7/1/20 146,719 152,083 
5.5% 11/1/17 to 11/1/34 2,417,521 2,690,371 
6.5% 6/1/16 224 225 
7% 4/1/17 to 11/1/18 2,851 2,912 
TOTAL FANNIE MAE  14,838,662 
Freddie Mac - 0.9%   
2.362% 10/1/42 (b) 523,160 552,432 
2.413% 4/1/40 (b) 144,642 152,484 
2.463% 11/1/35 (b) 169,307 177,223 
2.53% 4/1/40 (b) 133,147 140,560 
2.576% 8/1/36 (b) 88,522 93,241 
2.977% 8/1/41 (b) 237,825 252,061 
3% 8/1/21 628,150 655,937 
3.122% 9/1/41 (b) 150,070 157,785 
3.208% 9/1/41 (b) 72,265 75,519 
3.216% 4/1/41 (b) 72,786 76,084 
3.297% 6/1/41 (b) 80,099 83,711 
3.451% 5/1/41 (b) 60,441 62,888 
3.5% 8/1/26 1,912,987 2,032,549 
3.626% 6/1/41 (b) 113,282 118,754 
3.706% 5/1/41 (b) 93,100 97,736 
4% 6/1/24 to 4/1/26 2,216,479 2,365,389 
4.5% 8/1/18 to 11/1/18 424,978 438,630 
8.5% 5/1/26 to 7/1/28 29,070 34,782 
TOTAL FREDDIE MAC  7,567,765 
Ginnie Mae - 0.0%   
5.5% 6/15/35 235,294 265,507 
7% 1/15/25 to 6/15/32 142,602 170,027 
TOTAL GINNIE MAE  435,534 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $22,452,375)  22,841,961 
Asset-Backed Securities - 14.3%   
Accredited Mortgage Loan Trust:   
Series 2003-3 Class A1, 5.21% 1/25/34 (AMBAC Insured) $203,153 $196,041 
Series 2005-1 Class M1, 1.1266% 4/25/35 (b) 69,143 61,763 
Ally Auto Receivables Trust:   
Series 2014-SN1 Class A3, 0.75% 2/21/17 643,504 643,261 
Series 2015-1 Class A3, 1.39% 9/16/19 1,110,000 1,111,823 
Series 2015-SN1 Class A3, 1.21% 12/20/17 457,000 456,857 
Ally Master Owner Trust:   
Series 2012-4 Class A, 1.72% 7/15/19 544,000 545,149 
Series 2012-5 Class A, 1.54% 9/15/19 2,291,000 2,291,580 
Series 2014-3 Class A, 1.33% 3/15/19 3,918,000 3,916,309 
Series 2014-4 Class A2, 1.43% 6/17/19 1,971,000 1,970,064 
Series 2014-5 Class A2, 1.6% 10/15/19 2,053,000 2,054,329 
Series 2015-3 Class A, 1.63% 5/15/20 1,570,000 1,569,835 
American Express Credit Account Master Trust:   
Series 2014-2 Class A, 1.26% 1/15/20 1,610,000 1,614,136 
Series 2014-3 Class A, 1.49% 4/15/20 2,462,886 2,475,895 
Series 2014-4 Class A, 1.43% 6/15/20 2,422,000 2,432,247 
AmeriCredit Automobile Receivables Trust:   
Series 2013-5 Class A3, 0.9% 9/10/18 648,057 647,324 
Series 2014-1 Class A3, 0.9% 2/8/19 597,130 595,948 
Series 2014-2 Class A3, 0.94% 2/8/19 1,626,000 1,623,011 
Series 2014-4 Class A3, 1.27% 7/8/19 414,000 413,108 
Series 2015-2 Class A3, 1.27% 1/8/20 1,500,000 1,491,440 
Series 2016-1 Class A3, 2.14% 10/8/20 856,000 858,896 
Ameriquest Mortgage Securities, Inc. pass-thru certificates Series 2004-R2 Class M3, 1.2608% 4/25/34 (b) 11,399 8,320 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1.2158% 3/25/34 (b) 67,779 60,158 
Series 2006-W4 Class A2C, 0.5958% 5/25/36 (b) 145,128 51,441 
Bank of America Credit Card Master Trust Series 2015-A2 Class A, 1.36% 9/15/20 1,985,000 1,989,706 
BMV Vehicle Lease Trust Series 2014-1 Class A3, 0.73% 2/21/17 698,354 697,964 
BMW Vehicle Lease Trust Series 2015-1 Class A3, 1.24% 12/20/17 1,232,000 1,232,467 
Capital Auto Receivables Asset Trust:   
Series 2014-2 Class A2, 0.91% 4/20/17 285,174 285,174 
Series 2014-3 Class A2, 1.18% 12/20/17 1,204,000 1,203,451 
Series 2015-1 Class A2, 1.42% 6/20/18 1,209,000 1,210,036 
Series 2015-2 Class A2, 1.39% 9/20/18 822,000 822,637 
Capital One Multi-Asset Execution Trust:   
Series 2014-A5 Class A, 1.48% 7/15/20 1,979,000 1,987,938 
Series 2015-A1 Class A, 1.39% 1/15/21 1,940,000 1,947,289 
Series 2015-A5 Class A5, 1.6% 5/17/21 1,500,000 1,509,753 
Carmax Auto Owner Trust:   
Series 2014-4 Class A3, 1.25% 11/15/19 1,242,000 1,241,187 
Series 2015-3 Class A3, 1.63% 5/15/20 761,000 764,801 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.5758% 12/25/36 (b) 228,766 155,643 
CFC LLC Series 2014-1A Class A, 1.46% 12/17/18 (a) 164,614 164,428 
Chase Issuance Trust:   
Series 2014-A1 Class A, 1.15% 1/15/19 1,232,000 1,234,414 
Series 2014-A7 Class A, 1.38% 11/15/19 2,064,000 2,072,718 
Series 2015-A2, Class A, 1.59% 2/18/20 1,416,000 1,425,694 
Chrysler Capital Auto Receivables Trust Series 2015-AA Class A3, 1.22% 7/15/19 (a) 2,500,000 2,494,204 
CIT Equipment Collateral:   
Series 2013-VT1 Class A3, 1.13% 7/20/20 (a) 818,252 818,323 
Series 2014-VT1 Class A3, 1.5% 10/21/19 (a) 1,239,653 1,235,551 
Citibank Credit Card Issuance Trust:   
Series 2014-A2 Class A2, 1.02% 2/22/19 1,774,000 1,773,835 
Series 2014-A4 Class A4, 1.23% 4/24/19 1,642,000 1,645,227 
Series 2014-A8 Class A8, 1.73% 4/9/20 1,585,000 1,599,683 
Countrywide Home Loans, Inc.:   
Series 2003-BC1 Class B1, 5.6858% 3/25/32 (b) 7,098 6,488 
Series 2004-2 Class 3A4, 0.9358% 7/25/34 (b) 51,255 41,443 
Series 2004-3 Class M4, 1.8908% 4/25/34 (b) 7,947 6,960 
Series 2004-4 Class M2, 1.2308% 6/25/34 (b) 10,245 9,264 
Dell Equipment Finance Trust:   
Series 2014-1 Class A3, 0.94% 6/22/20 (a) 603,917 603,630 
Series 2015-1 Class A3, 1.3% 3/23/20 (a) 800,000 796,870 
Series 2015-2 Class A2A, 1.42% 12/22/17 (a) 1,000,000 998,147 
Discover Card Master Trust:   
Series 2012-A6 Class A6, 1.67% 1/18/22 1,485,000 1,494,018 
Series 2013-A5 Class A5, 1.04% 4/15/19 359,000 359,383 
Series 2014-A5 Class A, 1.39% 4/15/20 1,651,000 1,657,314 
Series 2015-A2 Class A, 1.9% 10/17/22 2,000,000 2,008,554 
Series 2016-A1 Class A1, 2.1% 7/15/21 1,630,000 1,638,228 
Enterprise Fleet Financing LLC:   
Series 2014-1 Class A2, 0.87% 9/20/19 (a) 713,439 711,074 
Series 2014-2 Class A2, 1.05% 3/20/20 (a) 1,669,805 1,660,982 
Series 2015-1 Class A2, 1.3% 9/20/20 (a) 1,515,401 1,505,294 
Fannie Mae Series 2004-T5:   
Class AB1, 0.6969% 5/28/35 (b) 130,399 120,283 
Class AB3, 1.1189% 5/28/35 (b) 55,367 48,076 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.6015% 8/25/34 (b) 36,914 34,862 
Flagship Credit Auto Trust Series 2016-1 Class A, 2.53% 12/15/20 (a) 2,000,000 1,995,196 
Ford Credit Auto Lease Trust Series 2015-A Class A3, 1.13% 6/15/18 1,500,000 1,498,631 
Ford Credit Auto Owner Trust Series 2015-C Class A3, 1.41% 2/15/20 1,169,000 1,173,236 
Ford Credit Floorplan Master Owner Trust:   
Series 2012-5 Class A, 1.49% 9/15/19 4,516,000 4,524,317 
Series 2014-1 Class A1, 1.2% 2/15/19 2,677,000 2,671,639 
Series 2014-4 Class A1, 1.4% 8/15/19 3,614,000 3,616,439 
Series 2015-4 Class A1, 1.77% 8/15/20 1,580,000 1,581,588 
Fremont Home Loan Trust:   
Series 2004-D:   
Class M4, 1.8515% 11/25/34 (b) 85,621 9,082 
Class M5, 1.9265% 11/25/34 (b) 24,561 442 
Series 2005-A:   
Class M3, 1.1615% 1/25/35 (b) 120,398 104,393 
Class M4, 1.4465% 1/25/35 (b) 44,055 23,658 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.0091% 2/25/47 (a)(b) 127,452 112,838 
GM Financial Automobile Leasing Trust:   
Series 2014-1A Class A3, 1.01% 5/22/17 (a) 958,542 958,295 
Series 2014-2A Class A3, 1.22% 1/22/18 (a) 1,600,000 1,600,061 
Series 2015-1 Class A3, 1.53% 9/20/18 1,367,000 1,375,704 
Series 2015-2 Class A3, 1.68% 12/20/18 1,164,000 1,167,452 
GMF Floorplan Owner Revolving Trust Series 2015-1 Class A1, 1.65% 5/15/20 (a) 1,900,000 1,895,666 
Home Equity Asset Trust:   
Series 2003-5 Class A2, 1.1358% 12/25/33 (b) 36,254 33,534 
Series 2004-1 Class M2, 2.1358% 6/25/34 (b) 43,293 37,672 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6165% 1/25/37 (b) 128,988 82,715 
Hyundai Auto Lease Securitization Trust:   
Series 2014-B Class A3, 0.98% 11/15/17 (a) 1,642,000 1,641,120 
Series 2015-A Class A3, 1.42% 9/17/18 (a) 1,232,000 1,234,126 
Series 2015-B Class A3, 1.4% 11/15/18 (a) 1,479,000 1,479,519 
Hyundai Auto Receivables Trust Series 2015-C Class A3, 1.46% 2/18/20 1,159,000 1,163,133 
Hyundai Floorplan Master Owner Trust Series 2013-1A Class A, 0.7805% 5/15/18 (a)(b) 1,380,000 1,379,177 
JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.5658% 11/25/36 (b) 5,184 5,182 
KeyCorp Student Loan Trust Series 1999-A Class A2, 0.9331% 12/27/29 (b) 8,619 8,574 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.7265% 5/25/37 (b) 39,729 1,250 
Mercedes Benz Auto Lease Trust Series 2015-B Class A3, 1.34% 7/16/18 800,000 800,560 
Mercedes-Benz Auto Lease Trust Series 2015-A Class A3, 1.1% 8/15/17 1,631,000 1,631,363 
Merrill Lynch Mortgage Investors Trust:   
Series 2006-FM1 Class A2B, 0.5458% 4/25/37 (b) 10,603 10,542 
Series 2006-OPT1 Class A1A, 0.9465% 6/25/35 (b) 79,011 75,668 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1.1158% 8/25/34 (b) 113,943 99,032 
Series 2004-NC8 Class M6, 2.3108% 9/25/34 (b) 39,499 36,416 
Series 2005-NC1 Class M1, 1.0958% 1/25/35 (b) 31,108 27,722 
Series 2005-NC2 Class B1, 2.1908% 3/25/35 (b) 21,258 476 
Nationstar HECM Loan Trust Series 2016-1A Class A, 3.1294% 2/25/26 (a) 1,000,000 999,999 
Nissan Auto Lease Trust Series 2014-A Class A3, 0.8% 2/15/17 696,905 696,681 
Nissan Auto Receivables Owner Trust:   
Series 2015-C Class A3, 1.37% 5/15/20 1,147,000 1,150,512 
Series 2016-A Class A3, 1.34% 10/15/20 923,000 923,202 
Nissan Master Owner Trust Receivables Series 2015-A Class A2, 1.44% 1/15/20 1,642,000 1,643,030 
Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 1.0732% 10/30/45 (b) 374,960 353,400 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 2.3015% 9/25/34 (b) 654,824 596,334 
Class M4, 2.6015% 9/25/34 (b) 892,159 601,916 
Series 2005-WCH1 Class M4, 1.6715% 1/25/36 (b) 153,762 135,046 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2265% 4/25/33 (b) 648 554 
Santander Drive Auto Receivables Trust Series 2014-4 Class B, 1.82% 5/15/19 754,000 754,363 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2308% 3/25/35 (b) 91,646 84,361 
SLM Private Credit Student Loan Trust:   
Series 2004-A:   
Class B, 1.092% 6/15/33 (b) 169,822 160,339 
Class C, 1.462% 6/15/33 (b) 429,920 419,108 
Series 2004-B:   
Class A2, 0.712% 6/15/21 (b) 275,845 273,857 
Class C, 1.382% 9/15/33 (b) 526,826 495,733 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.1608% 9/25/34 (b) 5,211 4,394 
Synchrony Credit Card Master Note Trust:   
Series 2015-2 Class A, 1.6% 4/15/21 1,580,000 1,584,028 
Series 2015-3 class A, 1.74% 9/15/21 1,000,000 999,940 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.2865% 9/25/34 (b) 71,344 60,096 
Volkswagen Auto Lease Trust:   
Series 2014-A Class A3, 0.8% 4/20/17 798,916 797,220 
Series 2015-A Class A3, 1.25% 12/20/17 510,000 506,645 
Volkswagen Auto Loan Enhanced Trust:   
Series 2013-2 Class A3, 0.7% 4/20/18 1,044,785 1,039,331 
Series 2014-1 Class A3, 0.91% 10/22/18 1,032,632 1,027,289 
Volkswagen Credit Auto Master Trust Series 2014-1A Class A2, 1.4% 7/22/19 (a) 1,020,000 1,008,550 
Volvo Financial Equipment LLC Series 2015-1A Class A3, 1.51% 6/17/19 (a) 1,289,000 1,291,704 
World Omni Auto Receivables Trust Series 2014-B Class A3, 1.14% 1/15/20 1,509,000 1,507,645 
World Omni Automobile Lease Securitization Trust Series 2015-A Class A3, 1.54% 10/15/18 1,180,000 1,182,244 
TOTAL ASSET-BACKED SECURITIES   
(Cost $124,829,779)  124,655,867 
Collateralized Mortgage Obligations - 0.8%   
Private Sponsor - 0.2%   
BCAP LLC II Trust Series 2012-RR10 Class 5A5, 0.6868% 4/26/36 (a)(b) 285,466 279,063 
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 2.7362% 5/27/35 (a)(b) 487,807 500,392 
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.6365% 5/25/47 (b) 42,964 39,407 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6058% 2/25/37 (b) 59,471 52,631 
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 2.8826% 11/25/25 (a) 710,224 709,869 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.7735% 6/10/35 (a)(b) 21,002 18,687 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.675% 7/20/34 (b) 2,825 2,754 
TOTAL PRIVATE SPONSOR  1,602,803 
U.S. Government Agency - 0.6%   
Fannie Mae:   
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27 507,546 536,987 
planned amortization class Series 2012-94 Class E, 3% 6/25/22 307,558 314,929 
sequential payer:   
Series 2001-40 Class Z, 6% 8/25/31 128,719 146,533 
Series 2009-31 Class A, 4% 2/25/24 55,952 57,091 
Freddie Mac:   
planned amortization class Series 3820 Class DA, 4% 11/15/35 417,536 437,272 
Series 3949 Class MK, 4.5% 10/15/34 316,739 343,341 
Series 4221-CLS Class GA, 1.4% 7/15/23 1,417,281 1,406,561 
Ginnie Mae guaranteed REMIC pass-thru certificates Series 2015-H17 Class HA, 2.5% 5/20/65 (d) 1,920,609 1,960,989 
TOTAL U.S. GOVERNMENT AGENCY  5,203,703 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $6,807,200)  6,806,506 
Commercial Mortgage Securities - 7.1%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5885% 2/14/43 (b)(e) 145,163 1,049 
Banc of America Commercial Mortgage Trust:   
sequential payer Series 2006-4 Class A4, 5.634% 7/10/46 461,879 462,751 
Series 2006-4 Class A1A, 5.617% 7/10/46 (b) 1,421,335 1,431,173 
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI Class A, 1.5755% 5/15/32 (a)(b) 1,028,000 1,011,966 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1.7108% 12/25/33 (a)(b) 3,636 3,230 
Series 2005-4A:   
Class A2, 0.8258% 1/25/36 (a)(b) 383,000 327,037 
Class B1, 1.8358% 1/25/36 (a)(b) 15,376 10,591 
Class M1, 0.8858% 1/25/36 (a)(b) 120,460 95,606 
Class M2, 0.9058% 1/25/36 (a)(b) 55,680 42,875 
Class M3, 0.9358% 1/25/36 (a)(b) 59,841 44,206 
Class M4, 1.0458% 1/25/36 (a)(b) 30,621 22,124 
Class M5, 1.0858% 1/25/36 (a)(b) 30,621 22,182 
Class M6, 1.1358% 1/25/36 (a)(b) 31,074 22,584 
Series 2006-3A Class M4, 0.8658% 10/25/36 (a)(b) 3,813 420 
Series 2007-1 Class A2, 0.7058% 3/25/37 (a)(b) 183,654 155,330 
Series 2007-2A:   
Class A1, 0.7058% 7/25/37 (a)(b) 41,423 34,766 
Class A2, 0.7558% 7/25/37 (a)(b) 38,797 30,714 
Class M1, 0.8058% 7/25/37 (a)(b) 13,828 10,471 
Class M2, 0.8458% 7/25/37 (a)(b) 7,759 5,423 
Class M3, 0.9258% 7/25/37 (a)(b) 5,982 3,771 
Series 2007-3:   
Class A2, 0.7258% 7/25/37 (a)(b) 57,471 45,739 
Class M1, 0.7458% 7/25/37 (a)(b) 43,419 32,519 
Class M2, 0.7758% 7/25/37 (a)(b) 45,649 32,555 
Class M3, 0.8058% 7/25/37 (a)(b) 73,891 36,257 
Class M4, 0.9358% 7/25/37 (a)(b) 116,847 56,234 
Class M5, 1.0358% 7/25/37 (a)(b) 54,108 11,371 
Series 2007-4A:   
Class A2, 0.9716% 9/25/37 (a)(b) 501,154 386,004 
Class M1, 1.3716% 9/25/37 (a)(b) 62,642 15,437 
Series 2006-2A Class IO, 0% 7/25/36 (a)(b)(e) 3,727,152 0 
Bear Stearns Commercial Mortgage Securities Trust:   
sequential payer:   
Series 2006-PW13 Class A1A, 5.533% 9/11/41 1,252,094 1,264,044 
Series 2006-PW14 Class A1A, 5.189% 12/11/38 512,932 521,494 
Series 2006-T22 Class A1A, 5.8216% 4/12/38 (b) 17,324 17,307 
Series 2006-PW12 Class A1A, 5.9065% 9/11/38 (b) 591,267 591,667 
BXHTL Mortgage Trust Series 2015-JWRZ Class A, 1.656% 5/15/29 (a)(b) 1,022,000 997,759 
C-BASS Trust floater Series 2006-SC1 Class A, 0.7058% 5/25/36 (a)(b) 23,015 22,130 
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44 763,344 801,068 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.827% 12/15/27 (a)(b) 2,850,599 2,841,237 
Citigroup Commercial Mortgage Trust:   
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 463,381 468,005 
Series 2006-C4 Class A1A, 6.0329% 3/15/49 (b) 150,077 150,133 
Series 2013-GC11 Class A1, 0.754% 4/10/46 306,726 304,192 
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class A3, 5.484% 4/15/47 828,276 849,799 
COMM Mortgage Trust:   
floater Series 2014-KYO Class A, 1.324% 6/11/27 (a)(b) 2,052,405 2,001,703 
Series 2013-CR9 Class A1, 1.344% 7/10/45 164,721 164,184 
Series 2014-CR15 Class A2, 2.928% 2/10/47 1,530,000 1,567,283 
COMM Mortgage Trust pass-thru certificates:   
floater Series 2005-F10A Class J, 1.2805% 4/15/17 (a)(b) 16,009 15,897 
sequential payer:   
Series 2006-C7 Class A1A, 5.9515% 6/10/46 (b) 852,258 854,424 
Series 2006-C8 Class A1A, 5.292% 12/10/46 1,217,480 1,234,874 
CSMC Series 2015-TOWN:   
Class B, 2.327% 3/15/17 (a)(b) 180,000 173,764 
Class C, 2.677% 3/15/17 (a)(b) 176,000 168,315 
Class D, 3.627% 3/15/17 (a)(b) 543,000 515,042 
Freddie Mac:   
pass-thru certificates Series K708 Class A1, 1.67% 10/25/18 122,344 122,453 
Series K707 Class A1, 1.615% 9/25/18 821,136 825,948 
GAHR Commercial Mortgage Trust floater Series 2015-NRF Class AFL1, 1.7255% 12/15/16 (a)(b) 2,742,558 2,716,322 
GE Capital Commercial Mortgage Corp.:   
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 1,727,752 1,754,955 
Series 2007-C1 Class A1A, 5.483% 12/10/49 (b) 2,327,122 2,389,163 
Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A4, 6.0483% 7/10/38 (b) 288,186 288,895 
GS Mortgage Securities Corp. Trust Series 2013-C, 2.974% 1/10/30 (a) 290,000 290,660 
GS Mortgage Securities Trust:   
floater Series 2014-GSFL Class A, 1.4255% 7/15/31 (a)(b) 445,622 438,827 
sequential payer Series 2006-GG8:   
Class A1A, 5.547% 11/10/39 777,588 786,199 
Class A4, 5.56% 11/10/39 1,937,084 1,952,704 
Series 2013-GC12 Class A1, 0.742% 6/10/46 (b) 330,194 327,023 
Hilton U.S.A. Trust:   
floater Series 2013-HLF Class AFL, 1.4295% 11/5/30 (a)(b) 814,229 812,979 
Series 2013-HLT Class DFX, 4.4065% 11/5/30 (a) 270,000 269,155 
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class A, 1.6755% 11/15/29 (a)(b) 737,000 732,972 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater:   
Series 2014-BXH Class A, 1.3305% 4/15/27 (a)(b) 1,232,000 1,216,839 
Series 2014-FL5 Class A, 1.4055% 7/15/31 (a)(b) 867,332 856,428 
sequential payer:   
Series 2006-CB16 Class A1A, 5.546% 5/12/45 1,461,079 1,470,919 
Series 2006-LDP8 Class A4, 5.399% 5/15/45 884,468 887,218 
Series 2007-CB18 Class A4, 5.44% 6/12/47 3,597,130 3,669,928 
Series 2007-CB19 Class A4, 5.8888% 2/12/49 (b) 1,941,673 1,996,245 
Series 2007-LDPX Class A3, 5.42% 1/15/49 365,338 372,505 
Series 2011-C3 Class A3, 4.3877% 2/15/46 (a) 801,000 835,978 
Series 2006-LDP7 Class A1A, 6.1056% 4/17/45 (b) 1,410,628 1,416,649 
Series 2013-C13 Class A1, 1.3029% 1/15/46 909,042 905,976 
LB-UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C6 Class A4, 5.372% 9/15/39 345,687 348,893 
Series 2007-C1 Class A4, 5.424% 2/15/40 1,596,157 1,626,695 
Series 2007-C7 Class A3, 5.866% 9/15/45 684,748 721,341 
Lone Star Portfolio Trust floater Series 2015-LSP Class A1A2, 2.227% 9/15/28 (a)(b) 1,440,448 1,430,566 
Merrill Lynch Mortgage Trust Series 2006-C2 Class A1A, 5.739% 8/12/43 (b) 1,240,490 1,249,162 
Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2007-5 Class A4, 5.378% 8/12/48 907,829 924,762 
Morgan Stanley Capital I Trust:   
floater:   
Series 2006-XLF Class C, 1.631% 7/15/19 (a)(b) 45,397 44,853 
Series 2007-XLFA:   
Class D, 0.6155% 10/15/20 (a)(b) 35,345 35,347 
Class E, 0.6755% 10/15/20 (a)(b) 105,926 105,932 
Class F, 0.7255% 10/15/20 (a)(b) 63,569 63,572 
Class G, 0.7655% 10/15/20 (a)(b) 78,581 78,585 
Class H, 0.8555% 10/15/20 (a)(b) 49,464 49,514 
Class J, 1.0055% 10/15/20 (a)(b) 28,557 27,649 
sequential payer:   
Series 2007-IQ13 Class A1A, 5.312% 3/15/44 452,123 462,190 
Series 2007-IQ14 Class A2, 5.61% 4/15/49 267,245 267,441 
Series 2012-C4 Class A1, 1.085% 3/15/45 138,557 138,383 
Series 2006-HQ9 Class A4, 5.731% 7/12/44 (b) 291,973 291,790 
Series 2007-T27 Class A1A, 5.8206% 6/11/42 (b) 1,343,632 1,399,396 
SCG Trust Series 2013-SRP1 Class A, 1.8255% 11/15/26 (a)(b) 965,000 960,681 
UBS-Barclays Commercial Mortgage Trust sequential payer Series 2013-C6 Class A1, 0.8022% 4/10/46 280,239 277,795 
Wachovia Bank Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C29:   
Class A1A, 5.297% 11/15/48 1,988,726 2,025,271 
Class A4, 5.308% 11/15/48 375,084 379,080 
Series 2007-C31 Class A4, 5.509% 4/15/47 250,394 255,196 
Series 2006-C26 Class A1A, 6.009% 6/15/45 (b) 996,919 998,409 
Series 2006-C27 Class A3, 5.765% 7/15/45 (b) 567,559 566,903 
WF-RBS Commercial Mortgage Trust Series 2013-C13 Class A1, 0.778% 5/15/45 192,399 190,942 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $64,999,114)  62,135,994 
Municipal Securities - 0.2%   
Illinois Gen. Oblig. Series 2011, 5.877% 3/1/19   
(Cost $1,607,044) 1,500,000 1,621,365 
Supranational Obligations - 0.1%   
International Bank for Reconstruction & Development 1% 6/15/18
(Cost $688,133) 		$689,000 $688,095 
Bank Notes - 2.7%   
Bank of America NA:   
1.25% 2/14/17 $2,529,000 $2,526,939 
1.75% 6/5/18 1,500,000 1,490,535 
5.3% 3/15/17 250,000 258,473 
Branch Banking & Trust Co. 1.45% 10/3/16 2,463,000 2,470,121 
Capital One Bank NA:   
1.15% 11/21/16 779,000 777,925 
1.2% 2/13/17 1,625,000 1,619,564 
1.3% 6/5/17 1,232,000 1,225,767 
Capital One NA:   
1.5% 9/5/17 1,000,000 992,123 
1.65% 2/5/18 1,232,000 1,216,224 
Discover Bank 3.1% 6/4/20 750,000 745,930 
KeyBank NA:   
1.65% 2/1/18 735,000 732,733 
2.5% 12/15/19 777,000 785,674 
Manufacturers & Traders Trust Co.:   
1.4% 7/25/17 1,642,000 1,635,994 
2.3% 1/30/19 1,080,000 1,086,348 
Marshall & Ilsley Bank 5% 1/17/17 558,000 572,674 
PNC Bank NA 1.15% 11/1/16 1,281,000 1,280,914 
Regions Bank 7.5% 5/15/18 250,000 275,560 
Regions Financial Corp. 2.25% 9/14/18 2,070,000 2,061,080 
U.S. Bank NA 1.1% 1/30/17 1,782,000 1,783,614 
TOTAL BANK NOTES   
(Cost $23,576,863)  23,538,192 
 Shares Value 
Money Market Funds - 2.4%   
Fidelity Cash Central Fund, 0.40% (f)   
(Cost $20,592,376) 20,592,376 20,592,376 
 Maturity Amount Value 
Cash Equivalents - 8.9%   
Investments in repurchase agreements in a joint trading account at 0.4%, dated 2/29/16 due 3/1/16 (Collateralized by U.S. Government Obligations) # (g) 74,043,823 74,043,000 
With Mizuho Securities U.S.A., Inc. at 1.88%, dated 2/19/16 due 8/17/16 (Collateralized by Corporate Obligations valued at $4,322,482, .70% - .78%, 2/25/36 - 4/25/36) 4,037,600 4,000,000 
TOTAL CASH EQUIVALENTS   
(Cost $78,043,000)  78,043,000 
TOTAL INVESTMENT PORTFOLIO - 109.7%   
(Cost $961,107,950)  957,111,590 
NET OTHER ASSETS (LIABILITIES) - (9.7)%  (84,344,276) 
NET ASSETS - 100%  $872,767,314 

Swaps

Underlying Reference Rating(1) Expiration Date Clearinghouse/Counterparty Fixed Payment Received/(Paid) Notional Amount(2) Value(1) Upfront Premium Received/(Paid) Unrealized Appreciation/(Depreciation) 
Credit Default Swaps         
Sell Protection         
Morgan Stanley ABS Capital I Inc Series 2004-NC8 Class B3 C Oct. 2034 Merrill Lynch International 4.60% USD 16,329 $(1,265) $0 $(1,265) 

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

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


Legend

 (a) 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 $126,624,286 or 14.5% of net assets.

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

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

 (d) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

 (e) 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.

 (f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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


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 $36,928 

Investment Valuation

The following is a summary of the inputs used, as of February 29, 2016, 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 below, please refer to the Investment 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:     
Corporate Bonds $368,798,933 $-- $368,798,933 $-- 
U.S. Government and Government Agency Obligations 247,389,301 -- 247,389,301 -- 
U.S. Government Agency - Mortgage Securities 22,841,961 -- 22,841,961 -- 
Asset-Backed Securities 124,655,867 -- 124,366,542 289,325 
Collateralized Mortgage Obligations 6,806,506 -- 6,806,506 -- 
Commercial Mortgage Securities 62,135,994 -- 62,135,574 420 
Municipal Securities 1,621,365 -- 1,621,365 -- 
Supranational Obligations 688,095 -- 688,095 -- 
Bank Notes 23,538,192 -- 23,538,192 -- 
Money Market Funds 20,592,376 20,592,376 -- -- 
Cash Equivalents 78,043,000 -- 78,043,000 -- 
Total Investments in Securities: $957,111,590 $20,592,376 $936,229,469 $289,745 
Derivative Instruments:     
Liabilities     
Swaps $(1,265) $-- $(1,265) $-- 
Total Liabilities $(1,265) $-- $(1,265) $-- 
Total Derivative Instruments: $(1,265) $-- $(1,265) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Credit Risk   
Swaps(a) $0 $(1,265) 
Total Credit Risk 0 (1,265) 
Total Value of Derivatives $0 $(1,265) 

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


Other Information

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

Repurchase Agreement / Counterparty Value 
$74,043,000 due 3/01/16 at 0.40%  
Commerz Markets LLC $74,043,000 
 $74,043,000 

Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):

United States of America 86.7% 
United Kingdom 3.1% 
Japan 2.1% 
Canada 2.1% 
Netherlands 1.5% 
Luxembourg 1.1% 
Others (Individually Less Than 1%) 3.4% 
 100.0% 

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


Financial Statements

Statement of Assets and Liabilities

  February 29, 2016 (Unaudited) 
Assets   
Investment in securities, at value (including securities loaned of $72,660,696 and repurchase agreements of $78,043,000) — See accompanying schedule:
Unaffiliated issuers (cost $940,515,574) 		$936,519,214  
Fidelity Central Funds (cost $20,592,376) 20,592,376  
Total Investments (cost $961,107,950)  $957,111,590 
Cash  900 
Receivable for investments sold  60,886 
Receivable for fund shares sold  2,067,053 
Interest receivable  2,838,304 
Distributions receivable from Fidelity Central Funds  13,421 
Prepaid expenses  1,200 
Other receivables  11 
Total assets  962,093,365 
Liabilities   
Payable for investments purchased $7,723,656  
Payable for fund shares redeemed 6,932,428  
Distributions payable 27,737  
Bi-lateral OTC swaps, at value 1,265  
Accrued management fee 220,325  
Distribution and service plan fees payable 110,508  
Other affiliated payables 136,913  
Other payables and accrued expenses 129,319  
Collateral on securities loaned, at value 74,043,900  
Total liabilities  89,326,051 
Net Assets  $872,767,314 
Net Assets consist of:   
Paid in capital  $910,983,328 
Undistributed net investment income  770,256 
Accumulated undistributed net realized gain (loss) on investments  (34,988,645) 
Net unrealized appreciation (depreciation) on investments  (3,997,625) 
Net Assets  $872,767,314 
Calculation of Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($197,983,338 ÷ 21,248,908 shares)  $9.32 
Maximum offering price per share (100/98.50 of $9.32)  $9.46 
Class T:   
Net Asset Value and redemption price per share ($93,634,545 ÷ 10,040,761 shares)  $9.33 
Maximum offering price per share (100/98.50 of $9.33)  $9.47 
Class B:   
Net Asset Value and offering price per share ($1,379,465 ÷ 148,444 shares)(a)  $9.29 
Class C:   
Net Asset Value and offering price per share ($87,809,597 ÷ 9,471,921 shares)(a)  $9.27 
Class I:   
Net Asset Value, offering price and redemption price per share ($491,960,369 ÷ 52,755,221 shares)  $9.33 

 (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.


Statement of Operations

  Six months ended February 29, 2016 (Unaudited) 
Investment Income   
Interest  $7,656,175 
Income from Fidelity Central Funds  36,928 
Total income  7,693,103 
Expenses   
Management fee $1,265,919  
Transfer agent fees 654,321  
Distribution and service plan fees 620,499  
Accounting and security lending fees 151,488  
Custodian fees and expenses 8,618  
Independent trustees' compensation 1,726  
Registration fees 54,276  
Audit 91,482  
Legal 1,825  
Miscellaneous 38,180  
Total expenses before reductions 2,888,334  
Expense reductions (1,914) 2,886,420 
Net investment income (loss)  4,806,683 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 1,244,026  
Swaps 505  
Total net realized gain (loss)  1,244,531 
Change in net unrealized appreciation (depreciation) on:
Investment securities 		(2,631,438)  
Swaps 1,505  
Total change in net unrealized appreciation (depreciation)  (2,629,933) 
Net gain (loss)  (1,385,402) 
Net increase (decrease) in net assets resulting from operations  $3,421,281 

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


Statement of Changes in Net Assets

 Six months ended February 29, 2016 (Unaudited) Year ended August 31, 2015 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $4,806,683 $7,242,950 
Net realized gain (loss) 1,244,531 2,488,984 
Change in net unrealized appreciation (depreciation) (2,629,933) (5,315,199) 
Net increase (decrease) in net assets resulting from operations 3,421,281 4,416,735 
Distributions to shareholders from net investment income (4,967,506) (6,546,109) 
Distributions to shareholders from net realized gain – (107,541) 
Total distributions (4,967,506) (6,653,650) 
Share transactions - net increase (decrease) 68,551,911 (168,945,549) 
Total increase (decrease) in net assets 67,005,686 (171,182,464) 
Net Assets   
Beginning of period 805,761,628 976,944,092 
End of period (including undistributed net investment income of $770,256 and undistributed net investment income of $931,079, respectively) $872,767,314 $805,761,628 

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


Financial Highlights — Fidelity Advisor Short Fixed-Income Fund Class A

 Six months ended (Unaudited) Years ended August 31,     
 February 29, 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $9.33 $9.36 $9.30 $9.34 $9.29 $9.23 
Income from Investment Operations       
Net investment income (loss)A .055 .073 .070 .070 .090 .134 
Net realized and unrealized gain (loss) (.009) (.037) .052 (.046) .058 .062 
Total from investment operations .046 .036 .122 .024 .148 .196 
Distributions from net investment income (.056) (.065) (.062) (.064) (.098) (.136) 
Distributions from net realized gain – (.001) – – – – 
Total distributions (.056) (.066) (.062) (.064) (.098) (.136) 
Net asset value, end of period $9.32 $9.33 $9.36 $9.30 $9.34 $9.29 
Total ReturnB,C,D .49% .39% 1.32% .25% 1.61% 2.14% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .71%G .70% .70% .70% .70% .70% 
Expenses net of fee waivers, if any .71%G .70% .70% .70% .70% .70% 
Expenses net of all reductions .71%G .70% .70% .70% .69% .70% 
Net investment income (loss) 1.19%G .78% .74% .75% .97% 1.44% 
Supplemental Data       
Net assets, end of period (000 omitted) $197,983 $177,996 $190,596 $205,581 $212,725 $250,546 
Portfolio turnover rateH 130%G 75%I 61% 61% 75% 204% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E 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.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I Portfolio turnover rate excludes securities received or delivered in-kind.


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


Financial Highlights — Fidelity Advisor Short Fixed-Income Fund Class T

 Six months ended (Unaudited) Years ended August 31,     
 February 29,2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $9.34 $9.37 $9.31 $9.34 $9.29 $9.24 
Income from Investment Operations       
Net investment income (loss)A .055 .073 .069 .069 .089 .134 
Net realized and unrealized gain (loss) (.010) (.037) .053 (.036) .059 .052 
Total from investment operations .045 .036 .122 .033 .148 .186 
Distributions from net investment income (.055) (.065) (.062) (.063) (.098) (.136) 
Distributions from net realized gain – (.001) – – – – 
Total distributions (.055) (.066) (.062) (.063) (.098) (.136) 
Net asset value, end of period $9.33 $9.34 $9.37 $9.31 $9.34 $9.29 
Total ReturnB,C,D .49% .38% 1.31% .36% 1.60% 2.03% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .72%G .70% .71% .70% .70% .70% 
Expenses net of fee waivers, if any .72%G .70% .71% .70% .70% .70% 
Expenses net of all reductions .72%G .70% .71% .70% .70% .70% 
Net investment income (loss) 1.18%G .77% .74% .74% .96% 1.44% 
Supplemental Data       
Net assets, end of period (000 omitted) $93,635 $95,409 $103,447 $127,404 $140,285 $163,217 
Portfolio turnover rateH 130%G 75%I 61% 61% 75% 204% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E 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.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I Portfolio turnover rate excludes securities received or delivered in-kind.


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


Financial Highlights — Fidelity Advisor Short Fixed-Income Fund Class B

 Six months ended (Unaudited) Years ended August 31,     
 February 29, 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $9.32 $9.35 $9.30 $9.35 $9.30 $9.24 
Income from Investment Operations       
Net investment income (loss)A .019 .003 (.007) (.006) .015 .059 
Net realized and unrealized gain (loss) (.022) (.032) .058 (.042) .059 .062 
Total from investment operations (.003) (.029) .051 (.048) .074 .121 
Distributions from net investment income (.027) –B (.001) (.002) (.024) (.061) 
Distributions from net realized gain – (.001) – – – – 
Total distributions (.027) (.001) (.001) (.002) (.024) (.061) 
Net asset value, end of period $9.29 $9.32 $9.35 $9.30 $9.35 $9.30 
Total ReturnC,D,E (.03)% (.31)% .55% (.51)% .79% 1.31% 
Ratios to Average Net AssetsF,G       
Expenses before reductions 1.48%H 1.45% 1.52% 1.51% 1.50% 1.52% 
Expenses net of fee waivers, if any 1.48%H 1.45% 1.52% 1.51% 1.50% 1.52% 
Expenses net of all reductions 1.48%H 1.45% 1.52% 1.51% 1.50% 1.52% 
Net investment income (loss) .42%H .03% (.07)% (.06)% .16% .63% 
Supplemental Data       
Net assets, end of period (000 omitted) $1,379 $1,591 $2,459 $5,824 $7,991 $9,337 
Portfolio turnover rateI 130%H 75%J 61% 61% 75% 204% 

 A Calculated based on average shares outstanding during the period.

 B Amount represents less than $.0005 per share.

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

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

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

 F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

 G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 H Annualized

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

 J Portfolio turnover rate excludes securities received or delivered in-kind.


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


Financial Highlights — Fidelity Advisor Short Fixed-Income Fund Class C

 Six months ended (Unaudited) Years ended August 31,     
 February 29, 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $9.30 $9.34 $9.29 $9.35 $9.30 $9.24 
Income from Investment Operations       
Net investment income (loss)A .015 (.006) (.009) (.009) .012 .056 
Net realized and unrealized gain (loss) (.018) (.033) .060 (.050) .058 .062 
Total from investment operations (.003) (.039) .051 (.059) .070 .118 
Distributions from net investment income (.027) – (.001) (.001) (.020) (.058) 
Distributions from net realized gain – (.001) – – – – 
Total distributions (.027) (.001) (.001) (.001) (.020) (.058) 
Net asset value, end of period $9.27 $9.30 $9.34 $9.29 $9.35 $9.30 
Total ReturnB,C,D (.04)% (.42)% .55% (.63)% .76% 1.29% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.57%G 1.55% 1.54% 1.54% 1.54% 1.54% 
Expenses net of fee waivers, if any 1.57%G 1.55% 1.54% 1.54% 1.54% 1.54% 
Expenses net of all reductions 1.57%G 1.55% 1.54% 1.54% 1.54% 1.54% 
Net investment income (loss) .33%G (.07)% (.10)% (.10)% .13% .61% 
Supplemental Data       
Net assets, end of period (000 omitted) $87,810 $79,368 $98,517 $99,283 $114,564 $132,589 
Portfolio turnover rateH 130%G 75%I 61% 61% 75% 204% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E 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.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

 I Portfolio turnover rate excludes securities received or delivered in-kind.


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


Financial Highlights — Fidelity Advisor Short Fixed-Income Fund Class I

 Six months ended (Unaudited) Years ended August 31,     
 February 29, 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $9.34 $9.37 $9.31 $9.34 $9.29 $9.24 
Income from Investment Operations       
Net investment income (loss)A .062 .089 .087 .087 .106 .150 
Net realized and unrealized gain (loss) (.009) (.037) .053 (.036) .058 .052 
Total from investment operations .053 .052 .140 .051 .164 .202 
Distributions from net investment income (.063) (.081) (.080) (.081) (.114) (.152) 
Distributions from net realized gain – (.001) – – – – 
Total distributions (.063) (.082) (.080) (.081) (.114) (.152) 
Net asset value, end of period $9.33 $9.34 $9.37 $9.31 $9.34 $9.29 
Total ReturnB,C .57% .55% 1.51% .54% 1.78% 2.21% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .56%F .53% .51% .52% .52% .53% 
Expenses net of fee waivers, if any .56%F .53% .51% .52% .52% .53% 
Expenses net of all reductions .56%F .53% .51% .52% .52% .53% 
Net investment income (loss) 1.34%F .95% .93% .93% 1.14% 1.62% 
Supplemental Data       
Net assets, end of period (000 omitted) $491,960 $451,398 $581,926 $696,413 $771,929 $719,891 
Portfolio turnover rateG 130%F 75%H 61% 61% 75% 204% 

 A Calculated based on average shares outstanding during the period.

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

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

 D 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 Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 F Annualized

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

 H Portfolio turnover rate excludes securities received or delivered in-kind.


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


Notes to Financial Statements (Unaudited)

For the period ended February 29, 2016

1. Organization.

Fidelity Advisor Short Fixed-Income Fund (the Fund) is a fund of Fidelity Advisor Series II (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 and Class I shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a maximum holding period of seven years from the initial date of purchase.

During the period, the Board of Trustees approved the conversion of all existing Class B shares into Class A shares, effective on or about July 1, 2016, regardless of the length of times shares have been held.

2. Investments in Fidelity Central Funds.

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

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

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

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

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

  • Level 1 – quoted prices in active markets for identical investments
  • Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
  • Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

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

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

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 29, 2016, is included at the end of the Fund's Schedule of Investments.

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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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

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

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.

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

Book-tax differences are primarily due to swaps, market discount, redemptions in kind, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales.

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

Gross unrealized appreciation $2,856,552 
Gross unrealized depreciation (6,250,299) 
Net unrealized appreciation (depreciation) on securities $(3,393,747) 
Tax cost $960,505,337 

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

Fiscal year of expiration  
2017 $(19,679,244) 
2018 (16,553,917) 
Total capital loss carryforward $(36,233,161) 

Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

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

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

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

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

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.
 

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments.

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Credit Risk   
Swaps(a) $505 $1,505 

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


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

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

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

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

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

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

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

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

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

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $92,021,474 and $90,665,836, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .31% of the Fund's average net assets.

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

 Distribution
Fee 		Service
Fee 		Total Fees Retained
by FDC 
Class A -% .15% $135,698 $– 
Class T -% .15% 70,384 257 
Class B .65% .25% 6,425 4,644 
Class C .75% .25% 407,992 38,527 
   $620,499 $43,428 

Sales Load. FDC may receive a front-end sales charge of up to 1.50% for selling Class A 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 a contingent deferred sales charges levied on Class A, Class T, Class B and Class C redemptions. The deferred sales charges range from 3.00% to 1.00% for Class B shares, 1.00% for Class C shares, .75% or .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

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

 Retained
by FDC 
Class A $13,328 
Class T 3,490 
Class B(a) 407 
Class C(a) 3,832 
 $21,057 

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


Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. 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-Level Average
Net Assets(a) 
Class A $142,680 .16 
Class T 78,633 .17 
Class B 1,274 .18 
Class C 67,758 .17 
Class I 363,976 .16 
 $654,321  

 (a) Annualized


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

Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $534 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. 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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $24,380.

9. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $264.

In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $1,650.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Six months ended February 29, 2016 Year ended August 31, 2015 
From net investment income   
Class A $1,089,372 $1,196,541 
Class T 554,506 690,330 
Class B 3,806 3 
Class C 230,543 – 
Class I 3,089,279 4,659,235 
Total $4,967,506 $6,546,109 
From net realized gain   
Class A $– $18,431 
Class T – 10,934 
Class B – 215 
Class C – 9,861 
Class I – 68,100 
Total $– $107,541 

11. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:

 Shares Shares Dollars Dollars 
 Six months ended February 29, 2016 Year ended August 31, 2015 Six months ended February 29, 2016 Year ended August 31, 2015 
Class A     
Shares sold 7,849,506 9,536,050 $73,181,395 $89,219,339 
Reinvestment of distributions 110,687 121,681 1,030,552 1,138,630 
Shares redeemed (5,780,451) (10,949,529) (53,915,300) (102,439,584) 
Net increase (decrease) 2,179,742 (1,291,798) $20,296,647 $(12,081,615) 
Class T     
Shares sold 1,673,125 1,879,243 $15,611,878 $17,595,238 
Reinvestment of distributions 55,692 69,901 518,719 654,822 
Shares redeemed (1,900,643) (2,777,951) (17,734,399) (26,009,778) 
Net increase (decrease) (171,826) (828,807) $(1,603,802) $(7,759,718) 
Class B     
Shares sold 32,684 42,735 $303,556 $399,209 
Reinvestment of distributions 396 22 3,664 205 
Shares redeemed (55,356) (135,082) (515,352) (1,261,842) 
Net increase (decrease) (22,276) (92,325) $(208,132) $(862,428) 
Class C     
Shares sold 2,682,263 2,346,637 $24,881,633 $21,884,227 
Reinvestment of distributions 21,373 928 197,485 8,636 
Shares redeemed (1,767,467) (4,360,719) (16,407,195) (40,704,289) 
Net increase (decrease) 936,169 (2,013,154) $8,671,923 $(18,811,426) 
Class I     
Shares sold 15,328,987 43,630,494 $143,083,389 $408,337,380 
Reinvestment of distributions 308,396 470,860 2,873,079 4,410,891 
Shares redeemed (11,199,972) (57,895,728)(a) (104,561,193) (542,178,633)(a) 
Net increase (decrease) 4,437,411 (13,794,374) $41,395,275 $(129,430,362) 

 (a) Amount includes in-kind redemptions.


12. Other.

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

13. Credit Risk.

The Fund invests a portion of its assets in structured securities of issuers backed by commercial and 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.

14. Proposed Reorganization.

The Board of Trustees of the Fund approved an Agreement and Plan of Reorganization (the Agreement) between the Fund and Short Term Bond Fund. The Agreement provides for the transfer of all the assets and the assumption of all the liabilities of the Fund in exchange for corresponding shares of Short Term Bond Fund equal in value to the net assets of the Fund on the day the reorganization is effective. The reorganization does not require shareholder approval and is expected to become effective on or about July 15, 2016. The reorganization is expected to qualify as a tax-free transaction for federal income tax purposes with no gain or loss recognized by the funds or their shareholders.

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2015 to February 29, 2016).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

 Annualized Expense Ratio-A Beginning
Account Value
September 1, 2015 		Ending
Account Value
February 29, 2016 		Expenses Paid
During Period-B
September 1, 2015
to February 29, 2016 
Class A .71%    
Actual  $1,000.00 $1,004.90 $3.54 
Hypothetical-C  $1,000.00 $1,021.33 $3.57 
Class T .72%    
Actual  $1,000.00 $1,004.90 $3.59 
Hypothetical-C  $1,000.00 $1,021.28 $3.62 
Class B 1.48%    
Actual  $1,000.00 $999.70 $7.36 
Hypothetical-C  $1,000.00 $1,017.50 $7.42 
Class C 1.57%    
Actual  $1,000.00 $999.60 $7.81 
Hypothetical-C  $1,000.00 $1,017.06 $7.87 
Class I .56%    
Actual  $1,000.00 $1,005.70 $2.79 
Hypothetical-C  $1,000.00 $1,022.08 $2.82 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 C 5% return per year before expenses


Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Advisor Short Fixed-Income Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2015 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; and (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by FMR, the sub-advisers (together with FMR, the Investment Advisers), and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) reducing management fees and total expenses for certain index funds and diversified international funds; (v) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (vi) rationalizing product lines and gaining increased efficiencies through fund mergers; (vii) launching active fixed-income exchange-traded funds; (viii) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; (ix) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (x) modifying the eligibility criteria for certain share classes to accommodate roll-over assets from employer-sponsored retirement plans; (xi) launching a new Class W of the Freedom Index Funds to attract and retain Fidelity record-kept retirement plan assets; and (xii) implementing changes to Fidelity's money market product line in response to recent money market regulatory reforms.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Fidelity Advisor Short Fixed-Income Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2014.

The Board noted that, in 2014, the ad hoc Committee on Group Fee was formed by it and other Fidelity fund boards to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. Committee focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio.  In its review of each class's total expense ratio, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the total expense ratio of each of Class A and Class T ranked below its competitive median for 2014 and the total expense ratio of each of Class B, Class C, and Class I ranked above its competitive median for 2014. The Board considered that, in general, various factors can affect total expense ratios. The Board also considered that the total expense ratio of each of Class B and Class I was above the competitive median because of high transfer agent fees due to small average account size. The Board noted that the total expense ratio of Class C was above the competitive median primarily because of higher 12b-1 fees compared to most competitor funds with Class C. The Board noted that the fund offers multiple classes, each of which has a different sales load and 12b-1 fee structure, and that the multiple structures are intended to offer a range of pricing options for the intermediary market. The Board also noted that the total expense ratios of the classes vary primarily by the level of their 12b-1 fees, although differences in transfer agent fees may also cause expenses to vary from class to class.

Fees Charged to Other Fidelity Clients.  The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted the findings of the 2013 ad hoc joint committee (created with the board of other Fidelity funds), which reviewed and compared Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that, although in some cases above the median of the universe presented for comparison, the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationship with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that in 2013, it and the boards of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total group assets increase, and for higher group fee rates as total group assets decrease (with "group assets" defined to include fund assets under FMR's management plus sector fund assets previously under FMR's management and currently managed by Fidelity SelectCo, LLC). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as group assets increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds; (v) Fidelity's voluntary waiver of its fees to maintain minimum yields for certain money market funds and classes as well as contractual waivers in place for certain funds; (vi) the methodology with respect to competitive fund data and peer group classifications; (vii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (viii) Fidelity's long-term expectations for its offerings in the workplace investing channel; (ix) new developments in the retail and institutional marketplaces; and (x) the impact of money market reform on Fidelity's money market funds. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.





Fidelity Investments

SFII-SANN-0416
1.703633.118

Fidelity® Mortgage Securities Fund
(A Class of Fidelity Advisor® Mortgage Securities Fund)



Semi-Annual Report

February 29, 2016



Fidelity Investments


Contents

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees


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. © 2016 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.



Investment Summary (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.

Coupon Distribution as of February 29, 2016

 % of fund's investments % of fund's investments 6 months ago 
Zero coupon bonds 0.0 0.0 
0.01 - 0.99% 2.0 4.1 
1 - 1.99% 6.5 5.4 
2 - 2.99% 6.4 6.5 
3 - 3.99% 45.1 37.7 
4 - 4.99% 22.6 26.6 
5 - 5.99% 7.5 9.2 
6 - 6.99% 1.8 2.1 
7% and above 1.2 1.4 

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

Weighted Average Maturity as of February 29, 2016

  6 months ago 
Years 4.5 5.2 

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 February 29, 2016

  6 months ago 
Years 3.0 3.6 

Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration.

Asset Allocation (% of fund's net assets)

As of February 29, 2016*,** 
   Mortgage Securities 82.8% 
   CMOs and Other Mortgage Related Securities 25.5% 
   Asset-Backed Securities 6.8% 
 Short-Term Investments and Net Other Assets (Liabilities)*** (15.1)% 


 * Foreign investments - 0.0%

 ** Futures and Swaps - (5.3)%

 *** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart


As of August 31, 2015*,** 
   Mortgage Securities 83.6% 
   CMOs and Other Mortgage Related Securities 32.2% 
   Asset-Backed Securities 3.5% 
 Short-Term Investments and Net Other Assets (Liabilities)*** (19.3)% 


 * Foreign investments - 1.0%

 ** Futures and Swaps - (8.6)%

 *** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart


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.

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

Percentages shown as 0.0% may reflect amounts less than 0.05%. 

Investments February 29, 2016 (Unaudited)

Showing Percentage of Net Assets

U.S. Government Agency - Mortgage Securities - 88.2%   
 Principal Amount (000s) Value (000s) 
Fannie Mae - 46.0%   
1.814% 9/1/36 (a) 86 88 
2.07% 4/1/37 (a) 104 109 
2.108% 3/1/36 (a) 129 135 
2.26% 1/1/35 (a) 176 183 
2.302% 6/1/36 (a) 43 45 
2.31% 4/1/36 (a) 147 155 
2.315% 9/1/36 (a) 71 74 
2.317% 5/1/36 (a) 218 228 
2.408% 7/1/35 (a) 5 6 
2.426% 8/1/35 (a) 264 278 
2.45% 11/1/36 (a) 39 41 
2.458% 3/1/35 (a) 29 31 
2.472% 7/1/35 (a) 45 47 
2.5% 2/1/30 120 124 
2.5% 3/1/31 (b) 100 103 
2.525% 5/1/36 (a) 36 38 
2.555% 6/1/36 (a) 385 407 
2.557% 3/1/40 (a) 181 191 
2.559% 10/1/33 (a) 40 43 
2.689% 2/1/42 (a) 642 667 
2.75% 10/1/36 (a) 172 182 
2.761% 1/1/42 (a) 566 589 
2.78% 9/1/37 (a) 29 31 
3% 3/1/31 (b) 9,100 9,490 
3% 11/1/42 to 3/1/44 44,324 45,672 
3% 3/1/46 (b) 50,900 52,192 
3% 3/1/46 (b) 1,000 1,025 
3% 3/1/46 (b) 700 718 
3% 3/1/46 (b) 600 615 
3.007% 8/1/41 (a) 411 430 
3.346% 9/1/41 (a) 129 137 
3.465% 12/1/40 (a) 5,394 5,666 
3.5% 4/1/29 to 8/1/45 78,604 83,098 
3.5% 3/1/46 (b) 33,800 35,418 
3.5% 3/1/46 (b) 20,800 21,796 
3.5% 3/1/46 (b) 20,700 21,691 
3.5% 3/1/46 (b) 2,000 2,096 
3.5% 3/1/46 (b) 7,700 8,069 
3.5% 3/1/46 (b) 1,000 1,048 
3.5% 3/1/46 (b) 1,000 1,048 
3.5% 3/1/46 (b) 1,000 1,048 
3.5% 3/1/46 (b) 6,000 6,287 
3.5% 3/1/46 (b) 1,000 1,048 
3.5% 3/1/46 (b) 7,921 8,300 
3.5% 3/1/46 (b) 6,679 6,999 
4% 11/1/31 to 1/1/46 107,571 115,429 
4% 3/1/46 (b) 150 160 
4% 3/1/46 (b) 100 107 
4% 3/1/46 (b) 4,750 5,068 
4% 3/1/46 (b) 4,750 5,068 
4% 3/1/46 (b) 50 53 
4% 3/1/46 (b) 3,300 3,521 
4% 3/1/46 (b) 3,300 3,521 
4% 3/1/46 (b) 1,300 1,387 
4.5% 5/1/25 to 4/1/45 41,087 44,763 
5% 5/1/20 to 8/1/41 495 536 
5.255% 8/1/41 893 1,011 
5.5% 2/1/18 to 4/1/39 3,507 3,978 
5.565% 8/1/46 (a) 44 46 
6.5% 3/1/16 to 5/1/38 1,389 1,592 
7% 3/1/17 to 5/1/30 913 1,062 
7.5% 8/1/22 to 9/1/32 593 715 
8% 12/1/29 to 3/1/37 15 18 
8.5% 2/1/22 to 3/1/23 56 64 
9% 10/1/30 198 246 
9.5% 7/1/16 to 8/1/22 4 4 
  506,035 
Freddie Mac - 19.0%   
1.945% 3/1/35 (a) 89 92 
2.154% 8/1/37 (a) 77 81 
2.175% 6/1/37 (a) 29 31 
2.21% 3/1/36 (a) 230 240 
2.246% 5/1/37 (a) 74 78 
2.362% 10/1/42 (a) 596 630 
2.372% 11/1/35 (a) 264 275 
2.481% 5/1/34 (a) 6 7 
2.51% 6/1/37 (a) 21 22 
2.54% 6/1/37 (a) 271 286 
2.562% 6/1/37 (a) 464 488 
2.595% 4/1/37 (a) 9 9 
2.668% 4/1/37 (a) 96 101 
2.698% 6/1/33 (a) 708 747 
2.795% 7/1/36 (a) 73 77 
3% 10/1/42 to 1/1/46 37,238 38,198 
3.03% 10/1/36 (a) 13 14 
3.075% 12/1/36 (a) 398 422 
3.082% 9/1/41 (a) 577 602 
3.25% 10/1/35 (a) 41 43 
3.427% 12/1/40 (a) 2,450 2,563 
3.5% 4/1/42 to 6/1/45 (c) 66,999 70,339 
4% 2/1/41 to 2/1/46 30,408 32,599 
4% 3/1/46 (b) 9,300 9,910 
4% 3/1/46 (b) 4,100 4,369 
4.5% 7/1/25 to 8/1/44 10,818 11,773 
5% 7/1/33 to 7/1/41 11,164 12,438 
5.5% 10/1/17 to 10/1/39 10,414 11,714 
6% 5/1/16 to 6/1/39 2,282 2,593 
6.5% 7/1/16 to 9/1/39 3,771 4,317 
7% 6/1/21 to 9/1/36 1,309 1,537 
7.5% 5/1/16 to 7/1/34 1,637 1,945 
8% 11/1/16 to 1/1/37 17 21 
8.5% 8/1/16 to 9/1/20 1 1 
9% 9/1/16 to 5/1/21 5 5 
10% 4/1/16 to 12/1/18 0 0 
  208,567 
Ginnie Mae - 23.2%   
3% 6/15/42 to 12/20/45 44,519 46,174 
3.5% 11/20/41 to 1/20/44 48,738 51,564 
3.5% 3/1/46 (b) 11,900 12,565 
3.5% 3/1/46 (b) 12,700 13,409 
3.5% 3/1/46 (b) 6,100 6,441 
3.5% 3/1/46 (b) 7,300 7,708 
3.5% 3/1/46 (b) 1,600 1,689 
4% 7/20/33 to 7/20/45 50,826 54,466 
4% 3/1/46 (b) 1,200 1,282 
4% 3/1/46 (b) 6,200 6,621 
4% 3/1/46 (b) 2,200 2,350 
4.5% 8/15/33 to 5/20/41 31,098 33,988 
5% 9/20/33 to 6/15/41 9,833 11,079 
5.5% 10/15/33 to 9/15/39 2,893 3,284 
6.5% 10/15/34 to 7/15/36 184 217 
7% 2/15/24 to 4/20/32 836 996 
7.5% 12/15/21 to 12/15/29 307 362 
8% 6/15/21 to 12/15/25 175 205 
8.5% 1/15/17 to 10/15/28 139 166 
9% 11/20/17 0 0 
10.5% 10/20/17 to 2/20/18 1 1 
  254,567 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $953,105)  969,169 
Asset-Backed Securities - 6.8%   
American Credit Acceptance Receivable Trust Series 2016-1A Class A, 2.37% 5/12/20 (d) $3,270 $3,271 
American Credit Acceptance Receivables Trust Series 2015-3 Class A, 1.95% 9/12/19 (d) 4,058 4,048 
CFC LLC Series 2014-1A Class A, 1.46% 12/17/18 (d) 1,203 1,202 
Citi Held For Asset Issuance Series 2015-PM33 Class A, 2.56% 5/16/22 (d) 1,788 1,787 
Citi Held For Asset Issuance 2 Series 2015-PM2 Class A, 2% 3/15/22 (d) 3,696 3,675 
CPS Auto Receivables Trust:   
Series 2013-C Class A, 1.64% 4/16/18 (d) 629 629 
Series 2013-D Class A, 1.54% 7/16/18 (d) 1,061 1,059 
CPS Auto Trust Series 2015-C Class A, 1.77% 6/17/19 (d) 8,651 8,633 
Drive Auto Receivables Trust Series 2015-DA Class A2A, 1.23% 6/15/18 (d) 4,782 4,778 
Exeter Automobile Receivables Trust:   
Series 2014-2A Class A, 1.06% 8/15/18 (d) 679 677 
Series 2016-1A Class A, 2.8% 7/15/20 (d) 5,500 5,497 
Flagship Credit Auto Trust:   
Series 2015-3 Class A, 2.34% 10/15/20 (d) 2,868 2,861 
Series 2016-1 Class A, 2.53% 12/15/20 (d) 10,800 10,774 
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (d) 45 1 
JPMorgan Mortgage Acquisition Trust:   
Series 2007-CH1 Class AF3, 5.532% 11/25/36 1,084 1,103 
Series 2007-CH4 Class A3, 0.5458% 2/25/32 (a) 1,190 1,182 
Merrill Lynch Mortgage Investors Trust Series 2006-FF1 Class M2, 0.7258% 8/25/36 (a) 5,300 5,061 
Nationstar HECM Loan Trust:   
Series 2015-1A Class A, 3.844% 5/25/18 (d) 6,679 6,646 
Series 2016-1A Class A, 3.1294% 2/25/26 (d) 2,138 2,138 
OneMain Financial Issuance Trust Series 2014-1A Class A, 2.43% 6/18/24 (d) 1,180 1,178 
Springcastle SPV Series 2014-AA Class A, 2.7% 5/25/23 (d) 6,013 5,991 
Structured Asset Securities Corp. Series 2005-NC2 Class M3, 0.8565% 5/25/35 (a) 1,995 1,926 
Vericrest Opportunity Loan Trust Series 2014-NP11 Class A1, 3.875% 4/25/55 (d) 796 792 
TOTAL ASSET-BACKED SECURITIES   
(Cost $75,077)  74,909 
Collateralized Mortgage Obligations - 12.7%   
Private Sponsor - 6.1%   
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 0.5665% 6/27/36 (a)(d) 7,033 6,744 
Banc of America Funding Trust sequential payer Series 2010-R3 Class 1A1, 2.808% 12/26/35 (a)(d) 1,352 1,369 
BCAP LLC II Trust Series 2012-RR10 Class 5A5, 0.6868% 4/26/36 (a)(d) 274 267 
BCAP LLC Trust sequential payer:   
Series 2010-RR11 Class 6A1, 2.7078% 3/27/36 (a)(d) $3,479 $3,452 
Series 2012-RR5 Class 8A5, 0.6021% 7/26/36 (a)(d) 908 860 
Citigroup Mortgage Loan Trust sequential payer:   
Series 2012-A Class A, 2.5% 6/25/51 (d) 3,165 3,117 
Series 2014-8 Class 2A1, 3.45% 6/27/37 (a)(d) 6,623 6,629 
Credit Suisse Commercial Mortgage Trust:   
floater Series 2010-15R Class 5A5, 0.7816% 11/26/35 (a)(d) 4,976 4,930 
Series 2014-15R Class 7A3, 1.1596% 10/26/37 (a)(d) 2,285 2,237 
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 2.7362% 5/27/35 (a)(d) 494 507 
CSMC:   
floater Series 2015-1R Class 6A1, 0.7004% 5/27/37 (a)(d) 4,408 4,035 
Series 2011-2R Class 2A1, 2.6521% 7/27/36 (d) 3,998 3,955 
Series 2014-3R Class 2A1, 1.1216% 5/27/37 (a)(d) 1,223 1,154 
Exeter Automobile Receivables Trust Series 2015-2A Class A, 1.54% 11/15/19 (d) 6,503 6,476 
FDIC Trust Series 2013-N1 Class A, 4.5% 10/25/18 (d) 181 181 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.6557% 10/25/34 (a) 320 307 
JPMorgan Re-REMIC Trust floater Series 2009-5 Class 2A1, 1.9726% 1/26/37 (a)(d) 262 261 
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.6365% 5/25/47 (a) 237 218 
MASTR Alternative Loan Trust Series 2004-6 Class 5A1, 5.4126% 7/25/19 (a) 1,150 1,158 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6058% 2/25/37 (a) 1,291 1,143 
Morgan Stanley Re-REMIC Trust Series 2010-R6 Class 1A, 2.6101% 2/26/37 (a)(d) 3,048 3,061 
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 2.8826% 11/25/25 (d) 906 906 
Nomura Resecuritization Trust sequential payer Series 2011-3RA Class 2A1, 2.8917% 3/26/37 (a)(d) 2,008 1,981 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.7237% 4/25/33 (a) 122 118 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1.0665% 9/25/43 (a) 4,121 3,949 
WaMu Mortgage pass-thru certificates sequential payer:   
Series 2002-S8 Class 2A7, 5.25% 1/25/18 170 171 
Series 2003-MS5 Class 1A1, 5% 3/25/18 211 214 
Wells Fargo Mortgage Backed Securities Trust:   
Series 2003-I Class A1, 2.6097% 9/25/33 (a) 954 943 
Series 2005-AR10 Class 2A15, 2.7505% 6/25/35 (a) 5,237 5,332 
Series 2005-AR2 Class 1A2, 2.6956% 3/25/35 (a) 223 205 
Series 2006-AR10 Class 3A1, 2.7337% 7/25/36 (a) 820 803 
Wells Fargo Mortgage Loan Trust sequential payer Series 2011-RR4 Class 2A1, 4.3738% 6/27/36 (a)(d) 904 888 
  67,571 
U.S. Government Agency - 6.6%   
Fannie Mae:   
floater Series 2003-118 Class S, 7.6642% 12/25/33 (a)(e)(f) 325 75 
planned amortization class:   
Series 1999-17 Class PG, 6% 4/25/29 623 682 
Series 1999-32 Class PL, 6% 7/25/29 561 615 
Series 1999-33 Class PK, 6% 7/25/29 359 394 
Series 2001-52 Class YZ, 6.5% 10/25/31 43 50 
Series 2005-39 Class TE, 5% 5/25/35 904 999 
Series 2005-73 Class SA, 16.4169% 8/25/35 (a)(f) 69 89 
Series 2006-105 Class MD, 5.5% 6/25/35 176 177 
Series 2011-35 Class PA, 4% 2/25/39 293 298 
sequential payer:   
Series 2001-20 Class Z, 6% 5/25/31 620 680 
Series 2001-31 Class ZC, 6.5% 7/25/31 266 309 
Series 2002-16 Class ZD, 6.5% 4/25/32 89 104 
Series 2002-74 Class SV, 7.1142% 11/25/32 (a)(e) 228 43 
Series 2012-67 Class AI, 4.5% 7/25/27 (e) 816 105 
Series 06-116 Class SG, 6.2042% 12/25/36 (a)(e)(f) 215 42 
Series 07-40 Class SE, 6.0042% 5/25/37 (a)(e)(f) 135 23 
Series 1993-165 Class SH, 18.5671% 9/25/23 (a)(f) 31 43 
Series 2003-21 Class SK, 7.6642% 3/25/33 (a)(e)(f) 101 20 
Series 2003-35 Class TQ, 7.0642% 5/25/18 (a)(e)(f) 35 2 
Series 2007-57 Class SA, 38.0052% 6/25/37 (a)(f) 434 929 
Series 2007-66 Class SB, 36.9852% 7/25/37 (a)(f) 142 281 
Series 2008-12 Class SG, 5.9142% 3/25/38 (a)(e)(f) 725 130 
Series 2009-114 Class AI, 5% 12/25/23 (e) 180 6 
Series 2009-16 Class SA, 5.8142% 3/25/24 (a)(e)(f) 93 2 
Series 2009-76 Class MI, 5.5% 9/25/24 (e) 117 5 
Series 2009-85 Class IB, 4.5% 8/25/24 (e) 81 6 
Series 2009-93 Class IC, 4.5% 9/25/24 (e) 121 8 
Series 2010-12 Class AI, 5% 12/25/18 (e) 407 18 
Series 2010-135 Class LS, 5.6142% 12/25/40 (a)(e)(f) 663 119 
Series 2010-139 Class NI, 4.5% 2/25/40 (e) 853 108 
Series 2010-23:   
Class AI, 5% 12/25/18 (e) 164 7 
Class HI, 4.5% 10/25/18 (e) 125 5 
Series 2010-29 Class LI, 4.5% 6/25/19 (e) 366 14 
Series 2010-97 Class CI, 4.5% 8/25/25 (e) 263 17 
Series 2011-67 Class AI, 4% 7/25/26 (e) 223 23 
Series 2011-83 Class DI, 6% 9/25/26 (e) 314 38 
Series 2013-N1 Class A, 6.2842% 6/25/35 (a)(e)(f) 689 166 
Series 2015-70 Class JC, 3% 10/25/45 3,805 3,970 
Fannie Mae Stripped Mortgage-Backed Securities:   
Series 339 Class 29, 5.5% 8/25/18 (e) 102 4 
Series 348 Class 14, 6.5% 8/25/34 (a)(e) 180 39 
Series 351:   
Class 12, 5.5% 4/25/34 (a)(e) 122 22 
Class 13, 6% 3/25/34 (e) 163 33 
Series 359 Class 19, 6% 7/25/35 (a)(e) 111 20 
Series 384 Class 6, 5% 7/25/37 (e) 410 76 
Freddie Mac:   
planned amortization class:   
Series 2095 Class PE, 6% 11/15/28 691 761 
Series 2104 Class PG, 6% 12/15/28 197 216 
Series 2121 Class MG, 6% 2/15/29 271 297 
Series 2154 Class PT, 6% 5/15/29 472 518 
Series 2162 Class PH, 6% 6/15/29 73 80 
Series 2520 Class BE, 6% 11/15/32 352 386 
Series 2585 Class KS, 7.173% 3/15/23 (a)(e)(f) 33 4 
Series 2693 Class MD, 5.5% 10/15/33 5,885 6,661 
Series 2802 Class OB, 6% 5/15/34 1,628 1,829 
Series 3002 Class NE, 5% 7/15/35 553 609 
Series 3189 Class PD, 6% 7/15/36 586 655 
Series 3415 Class PC, 5% 12/15/37 169 185 
Series 3786 Class HI, 4% 3/15/38 (e) 806 84 
Series 3806 Class UP, 4.5% 2/15/41 1,347 1,451 
Series 3832 Class PE, 5% 3/15/41 960 1,103 
Series 70 Class C, 9% 9/15/20 4 4 
sequential payer:   
Series 2114 Class ZM, 6% 1/15/29 93 102 
Series 2135 Class JE, 6% 3/15/29 352 385 
Series 2274 Class ZM, 6.5% 1/15/31 155 180 
Series 2281 Class ZB, 6% 3/15/30 130 142 
Series 2357 Class ZB, 6.5% 9/15/31 311 366 
Series 2502 Class ZC, 6% 9/15/32 346 383 
Series 06-3115 Class SM, 6.173% 2/15/36 (a)(e)(f) 177 31 
Series 1658 Class GZ, 7% 1/15/24 420 466 
Series 2013-4281 Class AI, 4% 12/15/28 (e) 1,900 203 
Series 2380 Class SY, 7.773% 11/15/31 (a)(e)(f) 1,278 269 
Series 2587 Class IM, 6.5% 3/15/33 (e) 186 38 
Series 2844:   
Class SC, 44.0245% 8/15/24 (a)(f) 13 23 
Class SD, 80.899% 8/15/24 (a)(f) 19 45 
Series 2935 Class ZK, 5.5% 2/15/35 1,540 1,763 
Series 2947 Class XZ, 6% 3/15/35 645 736 
Series 3055 Class CS, 6.163% 10/15/35 (a)(e) 238 44 
Series 3244 Class SG, 6.233% 11/15/36 (a)(e)(f) 481 107 
Series 3274 Class SM, 6.003% 2/15/37 (a)(e) 278 51 
Series 3284 Class CI, 5.693% 3/15/37 (a)(e) 1,057 200 
Series 3287 Class SD, 6.323% 3/15/37 (a)(e)(f) 686 143 
Series 3297 Class BI, 6.333% 4/15/37 (a)(e)(f) 1,004 211 
Series 3336 Class LI, 6.153% 6/15/37 (a)(e) 449 71 
Series 3772 Class BI, 4.5% 10/15/18 (e) 252 11 
Series 3949 Class MK, 4.5% 10/15/34 392 425 
Series 3955 Class YI, 3% 11/15/21 (e) 1,435 80 
Series 4471 Class PA 4% 12/15/40 5,973 6,351 
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 258 298 
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 3,238 3,654 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-37 Class TS, 6.2645% 6/16/37 (a)(e)(f) 232 40 
Series 2010-H17 Class FA, 0.7519% 7/20/60 (a)(g) 282 277 
Series 2010-H18 Class AF, 0.551% 9/20/60 (a)(g) 346 340 
Series 2010-H19 Class FG, 0.551% 8/20/60 (a)(g) 401 395 
Series 2011-H13 Class FA, 0.751% 4/20/61 (a)(g) 168 167 
planned amortization class Series 2011-136 Class WI, 4.5% 5/20/40 (e) 523 53 
sequential payer:   
Series 2002-24 Class SK, 7.5245% 4/16/32 (a)(e)(f) 1,139 251 
Series 2002-42 Class ZA, 6% 6/20/32 412 476 
Series 2004-24 Class ZM, 5% 4/20/34 844 939 
Series 1999-40 Class SE, 8.5195% 11/16/29 (a)(e)(f) 194 7 
Series 2001-3 Class S, 7.6745% 2/16/31 (a)(e) 259 54 
Series 2001-36:   
Class SB, 7.6745% 12/16/23 (a)(e)(f) 660 119 
Class SP, 8.3245% 9/16/26 (a)(e) 458 71 
Series 2001-38 Class SB, 7.1545% 8/16/31 (a)(e)(f) 422 85 
Series 2001-41 Class SG, 8.3195% 9/16/31 (a)(e) 220 28 
Series 2001-49:   
Class SC, 7.1745% 12/16/25 (a)(e)(f) 869 148 
Class SL, 7.1745% 5/16/30 (a)(e)(f) 1,178 233 
Class SV, 7.8245% 12/16/28 (a)(e)(f) 321 21 
Series 2001-50:   
Class SD, 7.768% 11/20/31 (a)(e)(f) 609 155 
Class ST, 7.2745% 8/16/27 (a)(e)(f) 261 55 
Series 2002-5 Class SP, 7.0245% 1/16/32 (a)(e)(f) 419 74 
Series 2004-32 Class GS, 6.0745% 5/16/34 (a)(e)(f) 394 83 
Series 2004-73 Class AL, 6.7695% 8/17/34 (a)(e)(f) 149 37 
Series 2010-98 Class HS, 6.174% 8/20/40 (a)(e) 726 129 
Series 2011-52 Class HI, 7% 4/16/41 (e) 1,570 360 
Series 2012-76 Class GS, 6.2745% 6/16/42 (a)(e)(f) 764 153 
Series 2012-97 Class JS, 5.8245% 8/16/42 (a)(e)(f) 2,686 489 
Series 2013-124:   
Class ES, 8.0987% 4/20/39 (a)(f) 1,482 1,641 
Class ST, 8.232% 8/20/39 (a)(f) 2,784 3,216 
Series 2013-147 Class A/S, 5.724% 10/20/43 (a)(e) 1,258 196 
Series 2013-160 Class MS, 5.774% 9/20/32 (a)(e)(f) 2,211 435 
Series 2015-H13 Class HA, 2.5% 8/20/64 (g) 13,353 13,627 
Series 2015-H17 Class HA, 2.5% 5/20/65 (g) 5,131 5,239 
Ginnie Mae pass thru certificates Series 2010-85 Class SE, 6.124% 7/20/40 (a)(e) 794 139 
  72,149 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $137,675)  139,720 
Commercial Mortgage Securities - 12.8%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5885% 2/14/43 (a)(e) 673 5 
Banc of America Commercial Mortgage Trust:   
Series 2006-4 Class A1A, 5.617% 7/10/46 (a) 2,102 2,117 
Series 2007-2 Class A4, 5.79% 4/10/49 (a) 1,293 1,311 
Barclays Commercial Mortgage Securities LLC Series 2015-STP Class A, 3.3228% 9/10/28 (d) 5,587 5,749 
Bayview Commercial Asset Trust floater Series 2007-3:   
Class M1, 0.7458% 7/25/37 (a)(d) 38 29 
Class M2, 0.7758% 7/25/37 (a)(d) 40 29 
Class M3, 0.8058% 7/25/37 (a)(d) 65 32 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.827% 12/15/27 (a)(d) 8,859 8,830 
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer:   
Series 2006-CD3 Class A5, 5.617% 10/15/48 163 164 
Series 2007-CD4 Class A4, 5.322% 12/11/49 3,940 4,026 
COMM Mortgage Trust:   
floater Series 2014-KYO Class A, 1.324% 6/11/27 (a)(d) 5,000 4,876 
Series 2013-CR10 Class XA, 1.1309% 8/10/46 (a)(e) 10,374 442 
Series 2014-CR19 Class XA, 1.4501% 8/10/47 (a)(e) 15,637 1,054 
Series 2014-CR20 Class XA, 1.3593% 11/10/47 (a)(e) 13,165 923 
Series 2014-LC17 Class XA, 1.1645% 10/10/47 (a)(e) 14,979 739 
Series 2014-UBS4 Class XA, 1.4292% 8/10/47 (a)(e) 13,158 906 
Series 2014-UBS6 Class XA, 1.2201% 12/10/47 (a)(e) 8,827 537 
Series 2015-PC1 Class A5, 3.902% 7/10/50 3,400 3,598 
CSMC Series 2015-TOWN:   
Class A, 1.677% 3/15/17 (a)(d) 7,804 7,713 
Class B, 2.327% 3/15/17 (a)(d) 185 179 
Class C, 2.677% 3/15/17 (a)(d) 180 172 
Class D, 3.627% 3/15/17 (a)(d) 273 259 
Freddie Mac:   
sequential payer:   
Series K030 Class A2, 3.25% 4/25/23 1,640 1,764 
Series K033 Class A2, 3.06% 7/25/23 8,600 9,129 
Series K034 Class A2, 3.531% 7/25/23 5,549 6,062 
Series K035 Class A2, 3.458% 8/25/23 1,022 1,111 
Series K032 Class A2, 3.31% 5/25/23 1,628 1,755 
Series K036 Class A2, 3.527% 10/25/23 2,681 2,927 
Freddie Mac Multi-family Structured pass-thru certificates sequential payer Series K038 Class A2, 3.389% 3/25/24 1,630 1,764 
GAHR Commercial Mortgage Trust:   
floater Series 2015-NRF Class AFL1, 1.7255% 12/15/16 (a)(d) 12,633 12,512 
Series 2015-NRF Class AFX, 3.2349% 12/15/19 (d) 7,000 7,167 
GE Capital Commercial Mortgage Corp.:   
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 914 928 
Series 2007-C1 Class A1A, 5.483% 12/10/49 (a) 4,802 4,930 
GS Mortgage Securities Trust:   
floater Series 2014-GSFL Class A, 1.4255% 7/15/31 (a)(d) 513 505 
Series 2015-GC34 Class XA, 1.5357% 10/10/48 (a)(e) 10,680 1,020 
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class A, 1.6755% 11/15/29 (a)(d) 844 839 
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-CBX Class XA, 1.9192% 6/15/45 (a)(e) 46,578 3,011 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater Series 2014-BXH Class A, 1.3305% 4/15/27 (a)(d) 5,000 4,938 
sequential payer:   
Series 2006-CB16 Class A1A, 5.546% 5/12/45 1,306 1,315 
Series 2006-LDP8 Class A1A, 5.397% 5/15/45 930 936 
Series 2007-LD11 Class A4, 5.9599% 6/15/49 (a) 4,140 4,223 
Series 2007-CB20 Class A1A, 5.746% 2/12/51 2,508 2,616 
Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2007-6 Class A4, 5.485% 3/12/51 (a) 175 179 
Morgan Stanley BAML Trust Series 2015-C25 Class XA, 1.3069% 10/15/48 (a)(e) 13,837 1,078 
Morgan Stanley Capital I Trust sequential payer Series 2007-IQ15 Class A4, 6.1142% 6/11/49 (a) 1,633 1,691 
SCG Trust Series 2013-SRP1 Class A, 1.8255% 11/15/26 (a)(d) 2,783 2,771 
Wachovia Bank Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C29 Class A1A, 5.297% 11/15/48 6,833 6,959 
Series 2007-C31:   
Class A4, 5.509% 4/15/47 313 319 
Class A5, 5.5% 4/15/47 8,506 8,754 
Series 2007-C32 Class A3, 5.8991% 6/15/49 (a) 1,150 1,175 
Series 2007-C33 Class A4, 6.1491% 2/15/51 (a) 1,786 1,845 
Series 2006-C27 Class A1A, 5.749% 7/15/45 (a) 1,771 1,779 
Wells Fargo Commercial Mortgage Trust Series 2015-C31 Class XA, 1.2791% 11/15/48 (a)(e) 11,180 865 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $141,740)  140,557 
 Shares Value (000s) 
Fixed-Income Funds - 0.2%   
Fidelity Mortgage Backed Securities Central Fund (h)   
(Cost $1,653) 15,043 1,656 
 Maturity Amount (000s) Value (000s) 
Cash Equivalents - 3.1%   
Investments in repurchase agreements in a joint trading account at 0.4%, dated 2/29/16 due 3/1/16 (Collateralized by U.S. Government Obligations) #   
(Cost $34,343) 34,343 34,343 
TOTAL INVESTMENT PORTFOLIO - 123.8%   
(Cost $1,343,593)  1,360,354 
NET OTHER ASSETS (LIABILITIES) - (23.8)%  (261,088) 
NET ASSETS - 100%  $1,099,266 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Fannie Mae   
3.5% 3/1/46 $(7,700) $(8,069) 
3.5% 3/1/46 (7,700) (8,069) 
4% 3/1/46 (100) (107) 
4% 3/1/46 (100) (107) 
4% 3/1/46 (5,400) (5,762) 
4% 3/1/46 (4,750) (5,068) 
4% 3/1/46 (50) (53) 
4% 3/1/46 (9,500) (10,134) 
4.5% 3/1/46 (6,200) (6,734) 
TOTAL FANNIE MAE  (44,103) 
Freddie Mac   
4% 3/1/46 (719) (766) 
4% 3/1/46 (481) (513) 
4% 3/1/46 (3,600) (3,836) 
TOTAL FREDDIE MAC  (5,115) 
Ginnie Mae   
4% 3/1/46 (5,200) (5,553) 
4% 3/1/46 (2,200) (2,350) 
4% 3/1/46 (2,200) (2,350) 
TOTAL GINNIE MAE  (10,253) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $59,497)  $(59,471) 

Swaps

Clearinghouse/Counterparty(1) Expiration Date Notional Amount (000s) Payment Received Payment Paid Value (000s) Upfront Premium Received/(Paid) (000s)(2) Unrealized Appreciation/(Depreciation) (000s) 
Interest Rate Swaps        
LCH Mar. 2018 $30,200 3-month LIBOR 1.5% $(208) $0 $(208) 
LCH Mar. 2019 11,800 3-month LIBOR 1.75% (161) 0 (161) 
LCH Mar. 2021 13,800 3-month LIBOR 2% (388) 0 (388) 
LCH Mar. 2026 2,350 3-month LIBOR 2.5% (137) 0 (137) 
LCH Mar. 2046 830 3-month LIBOR 2.75% (102) 0 (102) 
TOTAL INTEREST RATE SWAPS     $(996) $0 $(996) 

 (1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.

 (2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).


For the period, the average monthly notional amount for swaps in the aggregate was $79,203,000.

Values shown as $0 may reflect amounts less than $500.

Legend

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

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

 (c) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,119,000.

 (d) 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 $175,247,000 or 15.9% of net assets.

 (e) 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.

 (f) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

 (g) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

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


Affiliated Central Funds

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

Fund Income earned 
 (Amounts in thousands) 
Fidelity Mortgage Backed Securities Central Fund $21 
Total $21 

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund (Amounts in thousands) Value, beginning of period Purchases Sales Proceeds Value, end of period % ownership, end of period 
Fidelity Mortgage Backed Securities Central Fund $1,622 $21 $-- $1,656 0.0% 
Total $1,622 $21 $-- $1,656  

Investment Valuation

The following is a summary of the inputs used, as of February 29, 2016, 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 below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
U.S. Government Agency - Mortgage Securities $969,169 $-- $969,169 $-- 
Asset-Backed Securities 74,909 -- 74,909 -- 
Collateralized Mortgage Obligations 139,720 -- 139,720 -- 
Commercial Mortgage Securities 140,557 -- 140,557 -- 
Fixed-Income Funds 1,656 1,656 -- -- 
Cash Equivalents 34,343 -- 34,343 -- 
Total Investments in Securities: $1,360,354 $1,656 $1,358,698 $-- 
Derivative Instruments:     
Liabilities     
Swaps $(996) $-- $(996) $-- 
Total Liabilities $(996) $-- $(996) $-- 
Total Derivative Instruments: $(996) $-- $(996) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(59,471) $-- $(59,471) $-- 
Total Other Financial Instruments: $(59,471) $-- $(59,471) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
(Amounts in thousands) Asset Liability 
Interest Rate Risk   
Swaps(a) $0 $(996) 
Total Interest Rate Risk 0 (996) 
Total Value of Derivatives $0 $(996) 

 (a) For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. For centrally cleared OTC swaps, only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities


Other Information

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

Repurchase Agreement / Counterparty Value 
$34,343,000 due 3/01/16 at 0.40% (Amounts in thousands) 
Commerz Markets LLC $34,343 
 $34,343 

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


Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)  February 29, 2016 (Unaudited) 
Assets   
Investment in securities, at value (including repurchase agreements of $34,343) — See accompanying schedule:
Unaffiliated issuers (cost $1,341,940) 		$1,358,698  
Fidelity Central Funds (cost $1,653) 1,656  
Total Investments (cost $1,343,593)  $1,360,354 
Cash  144 
Receivable for investments sold   
Regular delivery  13,410 
Delayed delivery  5,112 
Receivable for TBA sale commitments  59,497 
Receivable for fund shares sold  1,411 
Interest receivable  3,141 
Distributions receivable from Fidelity Central Funds  4 
Receivable from investment adviser for expense reductions  29 
Total assets  1,443,102 
Liabilities   
Payable for investments purchased   
Regular delivery $19,449  
Delayed delivery 263,501  
TBA sale commitments, at value 59,471  
Payable for fund shares redeemed 835  
Distributions payable 126  
Accrued management fee 281  
Distribution and service plan fees payable 29  
Payable for daily variation margin for derivative instruments 11  
Other affiliated payables 133  
Total liabilities  343,836 
Net Assets  $1,099,266 
Net Assets consist of:   
Paid in capital  $1,160,117 
Distributions in excess of net investment income  (2,190) 
Accumulated undistributed net realized gain (loss) on investments  (74,452) 
Net unrealized appreciation (depreciation) on investments  15,791 
Net Assets  $1,099,266 
Calculation of Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($44,125 ÷ 3,885.80 shares)  $11.36 
Maximum offering price per share (100/96.00 of $11.36)  $11.83 
Class T:   
Net Asset Value and redemption price per share ($24,125 ÷ 2,120.29 shares)  $11.38 
Maximum offering price per share (100/96.00 of $11.38)  $11.85 
Class B:   
Net Asset Value and offering price per share ($714 ÷ 62.89 shares)(a)  $11.35 
Class C:   
Net Asset Value and offering price per share ($18,644 ÷ 1,644.40 shares)(a)  $11.34 
Fidelity Mortgage Securities Fund:   
Net Asset Value, offering price and redemption price per share ($932,567 ÷ 81,918.64 shares)  $11.38 
Class I:   
Net Asset Value, offering price and redemption price per share ($79,091 ÷ 6,972.41 shares)  $11.34 

 (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.


Statement of Operations

Amounts in thousands  Six months ended February 29, 2016 (Unaudited) 
Investment Income   
Interest  $14,700 
Income from Fidelity Central Funds  21 
Total income  14,721 
Expenses   
Management fee $1,616  
Transfer agent fees 575  
Distribution and service plan fees 161  
Fund wide operations fee 201  
Independent trustees' compensation 2  
Miscellaneous 9  
Total expenses before reductions 2,564  
Expense reductions (28) 2,536 
Net investment income (loss)  12,185 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 6,193  
Swaps (2,480)  
Total net realized gain (loss)  3,713 
Change in net unrealized appreciation (depreciation) on:
Investment securities 		4,128  
Swaps 437  
Delayed delivery commitments (68)  
Total change in net unrealized appreciation (depreciation)  4,497 
Net gain (loss)  8,210 
Net increase (decrease) in net assets resulting from operations  $20,395 

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


Statement of Changes in Net Assets

Amounts in thousands Six months ended February 29, 2016 (Unaudited) Year ended August 31, 2015 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $12,185 $22,215 
Net realized gain (loss) 3,713 9,548 
Change in net unrealized appreciation (depreciation) 4,497 (7,250) 
Net increase (decrease) in net assets resulting from operations 20,395 24,513 
Distributions to shareholders from net investment income (13,351) (21,563) 
Distributions to shareholders from net realized gain (552) (244) 
Total distributions (13,903) (21,807) 
Share transactions - net increase (decrease) 89,918 86,045 
Total increase (decrease) in net assets 96,410 88,751 
Net Assets   
Beginning of period 1,002,856 914,105 
End of period (including distributions in excess of net investment income of $2,190 and distributions in excess of net investment income of $1,024, respectively) $1,099,266 $1,002,856 

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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class A

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.29 $11.24 $10.89 $11.34 $11.14 $10.91 
Income from Investment Operations       
Net investment income (loss)A .115 .223 .239 .169 .278 .323 
Net realized and unrealized gain (loss) .089 .047 .341 (.457) .206 .235 
Total from investment operations .204 .270 .580 (.288) .484 .558 
Distributions from net investment income (.128) (.217) (.230) (.162) (.284) (.328) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.134) (.220) (.230) (.162) (.284) (.328) 
Net asset value, end of period $11.36 $11.29 $11.24 $10.89 $11.34 $11.14 
Total ReturnB,C,D 1.82% 2.41% 5.37% (2.57)% 4.41% 5.22% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .80%G .81% .81% .79% .81% .82% 
Expenses net of fee waivers, if any .80%G .81% .81% .79% .81% .82% 
Expenses net of all reductions .80%G .81% .81% .79% .81% .82% 
Net investment income (loss) 2.05%G 1.97% 2.15% 1.51% 2.48% 2.96% 
Supplemental Data       
Net assets, end of period (in millions) $44 $38 $41 $50 $60 $59 
Portfolio turnover rateH 411%G 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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


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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class T

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.31 $11.27 $10.92 $11.37 $11.16 $10.93 
Income from Investment Operations       
Net investment income (loss)A .115 .225 .242 .173 .281 .326 
Net realized and unrealized gain (loss) .089 .037 .340 (.458) .216 .235 
Total from investment operations .204 .262 .582 (.285) .497 .561 
Distributions from net investment income (.128) (.219) (.232) (.165) (.287) (.331) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.134) (.222) (.232) (.165) (.287) (.331) 
Net asset value, end of period $11.38 $11.31 $11.27 $10.92 $11.37 $11.16 
Total ReturnB,C,D 1.82% 2.33% 5.38% (2.54)% 4.52% 5.24% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .80%G .79% .79% .77% .78% .79% 
Expenses net of fee waivers, if any .80%G .79% .79% .77% .78% .79% 
Expenses net of all reductions .80%G .79% .79% .77% .78% .79% 
Net investment income (loss) 2.05%G 1.98% 2.17% 1.53% 2.50% 2.99% 
Supplemental Data       
Net assets, end of period (in millions) $24 $20 $22 $26 $31 $37 
Portfolio turnover rateH 411%G 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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


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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class B

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.28 $11.24 $10.89 $11.34 $11.14 $10.91 
Income from Investment Operations       
Net investment income (loss)A .076 .145 .162 .090 .200 .248 
Net realized and unrealized gain (loss) .088 .037 .342 (.457) .207 .235 
Total from investment operations .164 .182 .504 (.367) .407 .483 
Distributions from net investment income (.088) (.139) (.154) (.083) (.207) (.253) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.094) (.142) (.154) (.083) (.207) (.253) 
Net asset value, end of period $11.35 $11.28 $11.24 $10.89 $11.34 $11.14 
Total ReturnB,C,D 1.46% 1.62% 4.65% (3.25)% 3.69% 4.51% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.51%G 1.50% 1.50% 1.50% 1.50% 1.50% 
Expenses net of fee waivers, if any 1.50%G 1.50% 1.50% 1.50% 1.50% 1.50% 
Expenses net of all reductions 1.50%G 1.50% 1.50% 1.50% 1.50% 1.50% 
Net investment income (loss) 1.35%G 1.28% 1.46% .80% 1.79% 2.27% 
Supplemental Data       
Net assets, end of period (in millions) $1 $1 $1 $2 $4 $5 
Portfolio turnover rateH 411%G 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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


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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class C

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.27 $11.23 $10.88 $11.33 $11.12 $10.90 
Income from Investment Operations       
Net investment income (loss)A .073 .141 .160 .088 .197 .244 
Net realized and unrealized gain (loss) .089 .037 .342 (.457) .217 .226 
Total from investment operations .162 .178 .502 (.369) .414 .470 
Distributions from net investment income (.086) (.135) (.152) (.081) (.204) (.250) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.092) (.138) (.152) (.081) (.204) (.250) 
Net asset value, end of period $11.34 $11.27 $11.23 $10.88 $11.33 $11.12 
Total ReturnB,C,D 1.44% 1.59% 4.64% (3.28)% 3.76% 4.39% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.55%G 1.53% 1.52% 1.52% 1.53% 1.53% 
Expenses net of fee waivers, if any 1.54%G 1.53% 1.52% 1.52% 1.53% 1.53% 
Expenses net of all reductions 1.54%G 1.53% 1.52% 1.52% 1.53% 1.53% 
Net investment income (loss) 1.31%G 1.25% 1.44% .78% 1.76% 2.24% 
Supplemental Data       
Net assets, end of period (in millions) $19 $16 $17 $17 $18 $15 
Portfolio turnover rateH 411%G 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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


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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.31 $11.27 $10.92 $11.37 $11.17 $10.94 
Income from Investment Operations       
Net investment income (loss)A .135 .264 .279 .209 .318 .364 
Net realized and unrealized gain (loss) .089 .037 .341 (.458) .206 .234 
Total from investment operations .224 .301 .620 (.249) .524 .598 
Distributions from net investment income (.148) (.258) (.270) (.201) (.324) (.368) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.154) (.261) (.270) (.201) (.324) (.368) 
Net asset value, end of period $11.38 $11.31 $11.27 $10.92 $11.37 $11.17 
Total ReturnB,C 1.99% 2.68% 5.73% (2.23)% 4.77% 5.59% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .45%F .45% .45% .45% .45% .45% 
Expenses net of fee waivers, if any .45%F .45% .45% .45% .45% .45% 
Expenses net of all reductions .45%F .45% .45% .45% .45% .45% 
Net investment income (loss) 2.40%F 2.33% 2.51% 1.85% 2.84% 3.33% 
Supplemental Data       
Net assets, end of period (in millions) $933 $856 $785 $778 $850 $765 
Portfolio turnover rateG 411%F 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 F Annualized

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


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


Financial Highlights — Fidelity Advisor Mortgage Securities Fund Class I

 Six months ended February 29, (Unaudited) Years ended August 31,     
 2016 2015 2014 2013 2012 2011 
Selected Per–Share Data       
Net asset value, beginning of period $11.27 $11.23 $10.88 $11.33 $11.13 $10.90 
Income from Investment Operations       
Net investment income (loss)A .132 .256 .271 .200 .311 .354 
Net realized and unrealized gain (loss) .088 .038 .342 (.456) .207 .235 
Total from investment operations .220 .294 .613 (.256) .518 .589 
Distributions from net investment income (.144) (.251) (.263) (.194) (.318) (.359) 
Distributions from net realized gain (.006) (.003) – – – – 
Total distributions (.150) (.254) (.263) (.194) (.318) (.359) 
Net asset value, end of period $11.34 $11.27 $11.23 $10.88 $11.33 $11.13 
Total ReturnB,C 1.97% 2.64% 5.69% (2.30)% 4.73% 5.53% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .51%F .50% .51% .51% .50% .53% 
Expenses net of fee waivers, if any .50%F .50% .51% .51% .50% .53% 
Expenses net of all reductions .50%F .50% .51% .51% .50% .53% 
Net investment income (loss) 2.35%F 2.28% 2.45% 1.79% 2.79% 3.24% 
Supplemental Data       
Net assets, end of period (in millions) $79 $72 $48 $34 $12 $7 
Portfolio turnover rateG 411%F 439% 398% 474% 451% 490% 

 A Calculated based on average shares outstanding during the period.

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

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

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

 E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 F Annualized

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


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


Notes to Financial Statements (Unaudited)

For the period ended February 29, 2016
(Amounts in thousands except percentages)

1. Organization.

Fidelity Advisor Mortgage Securities Fund (the Fund) is a fund of Fidelity Advisor Series II (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, Fidelity Mortgage Securities Fund and Class I shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a maximum holding period of seven years from the initial date of purchase.

During the period, the Board of Trustees approved the conversion of all existing Class B shares into Class A shares, effective on or about July 1, 2016, regardless of the length of times shares have been held.

2. Investments in Fidelity Central Funds.

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

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Mortgage Backed Securities Central Fund Fidelity Investment Money Management, Inc. (FIMM) Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. Delayed Delivery & When Issued Securities
Repurchase Agreements
Swaps 		Less than .005% 

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


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

3. Significant Accounting Policies.

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

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

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

  • Level 1 – quoted prices in active markets for identical investments
  • Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
  • Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 29, 2016 is included at the end of the Fund's Schedule of Investments.

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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

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

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

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.

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

Book-tax differences are primarily due to swaps, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, financing transactions, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

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

Gross unrealized appreciation $21,912 
Gross unrealized depreciation (5,152) 
Net unrealized appreciation (depreciation) on securities $16,760 
Tax cost $1,343,594 

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

Fiscal year of expiration  
2017 $(73,463) 
No expiration  
Long-term (3,849) 
Total capital loss carryforward $(77,312) 

Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

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

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.

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

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

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

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

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

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. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Interest Rate Risk   
Swaps(a) $(2,480) $437 

 (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


Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

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

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps".

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.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $95,240 and $74,217, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .31% of the Fund's average net assets.

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

 Distribution
Fee 		Service
Fee 		Total Fees Retained
by FDC 
Class A -% .25% $47 $–(a) 
Class T -% .25% 28 – 
Class B .65% .25% 3 2 
Class C .75% .25% 83 1 
   $161 $3 

 (a) Values shown as $0 may reflect amounts less than $500.


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
by FDC 
Class A $2 
Class T 2 
Class B(a) 1 
Class C(a) 1 
 $6 

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


Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Fidelity Mortgage Securities Fund. FIIOC receives an asset-based fee of .10% of Fidelity Mortgage Securities Fund'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-Level Average
Net Assets(a) 
Class A $37 .20 
Class T 22 .20 
Class B 1 .25 
Class C 15 .18 
Fidelity Mortgage Securities Fund 444 .10 
Class I 56 .15 
 $575  

 (a) Annualized


Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser 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% of the Fund's average net assets 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 annualized rate of .04% of average net assets.

Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Committed Line of Credit.

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

8. Expense Reductions.

During the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $28.

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Six months ended February 29, 2016 Year ended August 31, 2015 
From net investment income   
Class A $428 $748 
Class T 256 417 
Class B 6 14 
Class C 126 202 
Fidelity Mortgage Securities Fund 11,589 18,864 
Class I 946 1,318 
Total $13,351 $21,563 
From net realized gain   
Class A $20 $10 
Class T 13 6 
Class C 9 5 
Fidelity Mortgage Securities Fund 471 210 
Class I 39 13 
Total $552 $244 

10. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:

 Shares Shares Dollars Dollars 
 Six months ended February 29, 2016 Year ended August 31, 2015 Six months ended February 29, 2016 Year ended August 31, 2015 
Class A     
Shares sold 1,036 563 $11,746 $6,368 
Reinvestment of distributions 35 59 399 669 
Shares redeemed (577) (872) (6,530) (9,855) 
Net increase (decrease) 494 (250) $5,615 $(2,818) 
Class T     
Shares sold 772 285 $8,778 $3,225 
Reinvestment of distributions 23 36 258 409 
Shares redeemed (486) (458) (5,477) (5,196) 
Net increase (decrease) 309 (137) $3,559 $(1,562) 
Class B     
Shares sold 10 5 $101 $68 
Reinvestment of distributions –(a) 1 4 9 
Shares redeemed (20) (55) (224) (625) 
Net increase (decrease) (10) (49) $(119) $(548) 
Class C     
Shares sold 464 358 $5,253 $4,044 
Reinvestment of distributions 10 15 113 166 
Shares redeemed (209) (502) (2,363) (5,678) 
Net increase (decrease) 265 (129) $3,003 $(1,468) 
Fidelity Mortgage Securities Fund     
Shares sold 12,675 20,281 $143,608 $230,420 
Reinvestment of distributions 1,004 1,582 11,378 17,954 
Shares redeemed (7,440) (15,790) (84,239) (179,084) 
Net increase (decrease) 6,239 6,073 $70,747 $69,290 
Class I     
Shares sold 892 3,034 $10,069 $34,395 
Reinvestment of distributions 85 114 959 1,290 
Shares redeemed (347) (1,110) (3,915) (12,534) 
Net increase (decrease) 630 2,038 $7,113 $23,151 

 (a) Values shown as 0 may reflect amounts less than 500.


11. 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.

At the end of the period, the investment adviser or its affiliates were the owners of record of 10% of the total outstanding shares of the Fund.

12. Credit Risk.

The Fund invests a portion of its assets in structured securities of issuers backed by commercial and 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.

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2015 to February 29, 2016).

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.

 Annualized Expense Ratio-A Beginning
Account Value
September 1, 2015 		Ending
Account Value
February 29, 2016 		Expenses Paid
During Period-B
September 1, 2015
to February 29, 2016 
Class A .80%    
Actual  $1,000.00 $1,018.20 $4.01 
Hypothetical-C  $1,000.00 $1,020.89 $4.02 
Class T .80%    
Actual  $1,000.00 $1,018.20 $4.01 
Hypothetical-C  $1,000.00 $1,020.89 $4.02 
Class B 1.50%    
Actual  $1,000.00 $1,014.60 $7.51 
Hypothetical-C  $1,000.00 $1,017.40 $7.52 
Class C 1.54%    
Actual  $1,000.00 $1,014.40 $7.71 
Hypothetical-C  $1,000.00 $1,017.21 $7.72 
Fidelity Mortgage Securities Fund .45%    
Actual  $1,000.00 $1,019.90 $2.26 
Hypothetical-C  $1,000.00 $1,022.63 $2.26 
Class I .50%    
Actual  $1,000.00 $1,019.70 $2.51 
Hypothetical-C  $1,000.00 $1,022.38 $2.51 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (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 each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.

 C 5% return per year before expenses


Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Advisor Mortgage Securities Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2015 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; and (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by FMR, the sub-advisers (together with FMR, the Investment Advisers), and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) reducing management fees and total expenses for certain index funds and diversified international funds; (v) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (vi) rationalizing product lines and gaining increased efficiencies through fund mergers; (vii) launching active fixed-income exchange-traded funds; (viii) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; (ix) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (x) modifying the eligibility criteria for certain share classes to accommodate roll-over assets from employer-sponsored retirement plans; (xi) launching a new Class W of the Freedom Index Funds to attract and retain Fidelity record-kept retirement plan assets; and (xii) implementing changes to Fidelity's money market product line in response to recent money market regulatory reforms.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Fidelity Advisor Mortgage Securities Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2014.

The Board noted that, in 2014, the ad hoc Committee on Group Fee was formed by it and other Fidelity fund boards to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. Committee focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio.  In its review of each class's total expense ratio, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the total expense ratio of each class ranked below its competitive median for 2014.

The Board considered that the current contractual arrangements for the fund have the effect of setting the total "fund-level" (but not "class-level") expenses (including, among certain other "fund-level" expenses, the management fee) for each class at 0.35%. These contractual arrangements may not be increased without the approval of the Board.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total group assets increase, and for higher group fee rates as total group assets decrease (with "group assets" defined to include fund assets under FMR's management plus sector fund assets previously under FMR's management and currently managed by Fidelity SelectCo, LLC). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board noted, however, that because the current contractual arrangements set the total "fund-level" expenses for each class at 0.35%, increases or decreases in the management fee due to changes in the group fee rate will not impact the total expense ratio.

Fees Charged to Other Fidelity Clients.  The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted the findings of the 2013 ad hoc joint committee (created with the board of other Fidelity funds), which reviewed and compared Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationship with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that in 2013, it and the boards of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds; (v) Fidelity's voluntary waiver of its fees to maintain minimum yields for certain money market funds and classes as well as contractual waivers in place for certain funds; (vi) the methodology with respect to competitive fund data and peer group classifications; (vii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (viii) Fidelity's long-term expectations for its offerings in the workplace investing channel; (ix) new developments in the retail and institutional marketplaces; and (x) the impact of money market reform on Fidelity's money market funds. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.





Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

MOR-SANN-0416
1.703537.118


Item 2.

Code of Ethics


Not applicable.

 

Item 3.

Audit Committee Financial Expert


Not applicable.


Item 4.

Principal Accountant Fees and Services


Not applicable.


Item 5.

Audit Committee of Listed Registrants


Not applicable.


Item 6.  

Investments


(a)

Not applicable.


(b)

Not applicable


Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies


Not applicable.


Item 8.

Portfolio Managers of Closed-End Management Investment Companies


Not applicable.


Item 9.  

Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers


Not applicable.


Item 10.

Submission of Matters to a Vote of Security Holders


There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series II’s Board of Trustees.


Item 11.

Controls and Procedures


(a)(i)  The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II’s (the “Trust”) disclosure controls and procedures (as



defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.


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



Item 12.

Exhibits


(a)

(1)

Not applicable.

(a)

(2)

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

(a)

(3)

Not applicable.

(b)


Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.




SIGNATURES


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


Fidelity Advisor Series II



By:

/s/Stephanie J. Dorsey


Stephanie J. Dorsey


President and Treasurer



Date:

April 25, 2016


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



By:

/s/Stephanie J. Dorsey


Stephanie J. Dorsey


President and Treasurer



Date:

April 25, 2016



By:

/s/Howard J. Galligan III


Howard J. Galligan III


Chief Financial Officer



Date:

April 25, 2016