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 811-21667
Fidelity Central Investment Portfolios LLC
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette, 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, 2020 |
Item 1.
Reports to Stockholders
Fidelity® Specialized High Income Central Fund
Semi-Annual Report
February 29, 2020
See the inside front cover for important information about access to your fund’s shareholder reports.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
Account Type | Website | Phone Number |
Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) | 1-800-343-0860 |
Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
Advisor Sold Accounts Serviced by Fidelity: | institutional.fidelity.com | 1-877-208-0098 |
Contents
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.
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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. © 2020 FMR LLC. All rights reserved.
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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT 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.
Note to shareholders:
As part of a regular review of its organizational structure, Fidelity has decided to merge certain entities to streamline operations, increase efficiency, simplify reporting, and reduce legal, compliance, and accounting complexity and costs. In separate events, Fidelity has merged four of its investment advisers and two of its broker-dealers.
Effective on or about January 1, 2020, following any required regulatory notices and approvals:
Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to “Fidelity Management & Research Company LLC”.
Broker-dealer Fidelity Distributors Corporation merged with and into Fidelity Investments Institutional Services Company, Inc. (“FIISC”). FIISC was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to “Fidelity Distributors Company LLC”.
These mergers are not expected to affect fund shareholders or Fidelity clients, nor are they expected to result in any changes to the day-to-day management of Fidelity’s brokerage services, the Fidelity funds, their investment policies and practices, their portfolio management teams, or the funds’ expenses.
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following the end of this reporting period, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Investment Summary (Unaudited)
Top Five Holdings as of February 29, 2020
(by issuer, excluding cash equivalents) | % of fund's net assets |
CCO Holdings LLC/CCO Holdings Capital Corp. | 3.2 |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. | 3.0 |
Centene Corp. | 2.6 |
Vistra Operations Co. LLC | 2.0 |
Cheniere Energy Partners LP | 2.0 |
12.8 |
Top Five Market Sectors as of February 29, 2020
% of fund's net assets | |
Energy | 12.2 |
Telecommunications | 11.7 |
Healthcare | 11.2 |
Diversified Financial Services | 7.6 |
Technology | 5.7 |
Quality Diversification (% of fund's net assets)
As of February 29, 2020 | ||
BBB | 7.0% | |
BB | 68.5% | |
B | 20.1% | |
CCC,CC,C | 0.1% | |
Not Rated | 0.5% | |
Short-Term Investments and Net Other Assets | 3.8% |
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.
Asset Allocation (% of fund's net assets)
As of February 29, 2020* | ||
Nonconvertible Bonds | 91.3% | |
Other Investments | 4.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 3.8% |
* Foreign investments - 22.6%
Schedule of Investments February 29, 2020 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 91.3% | |||
Principal Amount | Value | ||
Aerospace - 3.2% | |||
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (a) | $4,029,000 | $4,111,010 | |
Bombardier, Inc. 6.125% 1/15/23 (a) | 500,000 | 501,100 | |
BWX Technologies, Inc. 5.375% 7/15/26 (a) | 4,647,000 | 4,864,503 | |
Moog, Inc. 4.25% 12/15/27 (a) | 145,000 | 147,538 | |
TransDigm, Inc. 6.25% 3/15/26 (a) | 3,228,000 | 3,417,651 | |
TOTAL AEROSPACE | 13,041,802 | ||
Air Transportation - 1.0% | |||
Aercap Global Aviation Trust 6.5% 6/15/45 (a)(b) | 3,709,000 | 3,987,175 | |
Banks & Thrifts - 0.9% | |||
Ally Financial, Inc. 5.75% 11/20/25 | 3,227,000 | 3,642,154 | |
Broadcasting - 2.0% | |||
Netflix, Inc.: | |||
4.375% 11/15/26 | 710,000 | 743,512 | |
4.875% 4/15/28 | 620,000 | 652,680 | |
4.875% 6/15/30 (a) | 315,000 | 331,947 | |
5.375% 11/15/29 (a) | 515,000 | 559,908 | |
5.875% 11/15/28 | 805,000 | 905,062 | |
6.375% 5/15/29 | 250,000 | 286,275 | |
Sirius XM Radio, Inc.: | |||
4.625% 7/15/24 (a) | 1,873,000 | 1,930,969 | |
5% 8/1/27 (a) | 2,160,000 | 2,259,900 | |
5.375% 7/15/26 (a) | 525,000 | 543,270 | |
TOTAL BROADCASTING | 8,213,523 | ||
Building Materials - 0.5% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (a) | 1,980,000 | 2,046,825 | |
Cable/Satellite TV - 5.1% | |||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.5% 8/15/30 (a) | 780,000 | 788,775 | |
5% 2/1/28 (a) | 4,214,000 | 4,382,560 | |
5.125% 5/1/27 (a) | 3,001,000 | 3,120,140 | |
5.5% 5/1/26 (a) | 2,557,000 | 2,653,143 | |
5.875% 5/1/27 (a) | 1,803,000 | 1,882,521 | |
CSC Holdings LLC: | |||
5.5% 5/15/26 (a) | 802,000 | 830,355 | |
5.5% 4/15/27 (a) | 1,961,000 | 2,063,953 | |
Virgin Media Secured Finance PLC 5.5% 8/15/26 (a) | 1,836,000 | 1,889,368 | |
Ziggo BV 5.5% 1/15/27 (a) | 2,777,000 | 2,860,421 | |
TOTAL CABLE/SATELLITE TV | 20,471,236 | ||
Capital Goods - 0.9% | |||
AECOM 5.875% 10/15/24 | 3,274,000 | 3,593,215 | |
Chemicals - 4.5% | |||
CF Industries Holdings, Inc. 5.15% 3/15/34 | 2,243,000 | 2,518,889 | |
OCI NV 6.625% 4/15/23 (a) | 2,467,000 | 2,555,812 | |
Olin Corp.: | |||
5% 2/1/30 | 1,854,000 | 1,786,885 | |
5.125% 9/15/27 | 2,525,000 | 2,544,443 | |
The Chemours Co. LLC: | |||
5.375% 5/15/27 | 2,885,000 | 2,474,465 | |
7% 5/15/25 | 2,121,000 | 1,977,833 | |
Valvoline, Inc.: | |||
4.25% 2/15/30 (a) | 295,000 | 290,944 | |
4.375% 8/15/25 | 2,532,000 | 2,607,960 | |
W. R. Grace & Co.-Conn. 5.625% 10/1/24 (a) | 1,246,000 | 1,376,830 | |
TOTAL CHEMICALS | 18,134,061 | ||
Containers - 1.4% | |||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 6% 2/15/25 (a) | 870,000 | 906,975 | |
Crown Americas LLC/Crown Americas Capital Corp. V 4.25% 9/30/26 | 654,000 | 673,165 | |
OI European Group BV 4% 3/15/23 (a) | 2,784,000 | 2,815,320 | |
Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (a) | 649,000 | 680,983 | |
Silgan Holdings, Inc. 4.75% 3/15/25 | 765,000 | 773,928 | |
TOTAL CONTAINERS | 5,850,371 | ||
Diversified Financial Services - 6.6% | |||
Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 | 902,000 | 930,188 | |
FLY Leasing Ltd.: | |||
5.25% 10/15/24 | 3,000,000 | 3,075,000 | |
6.375% 10/15/21 | 1,201,000 | 1,216,013 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.75% 9/15/24 (a) | 515,000 | 525,300 | |
5.25% 5/15/27 (a) | 5,000,000 | 5,025,000 | |
6.25% 5/15/26 | 1,389,000 | 1,423,878 | |
6.375% 12/15/25 | 1,003,000 | 1,035,598 | |
MSCI, Inc. 5.375% 5/15/27 (a) | 1,713,000 | 1,832,910 | |
Navient Corp.: | |||
5.5% 1/25/23 | 2,067,000 | 2,113,508 | |
6.5% 6/15/22 | 899,000 | 937,208 | |
7.25% 1/25/22 | 974,000 | 1,025,135 | |
7.25% 9/25/23 | 1,724,000 | 1,853,300 | |
Quicken Loans, Inc. 5.25% 1/15/28 (a) | 2,388,000 | 2,470,864 | |
Springleaf Finance Corp.: | |||
6.875% 3/15/25 | 2,420,000 | 2,662,000 | |
7.125% 3/15/26 | 624,000 | 692,640 | |
TOTAL DIVERSIFIED FINANCIAL SERVICES | 26,818,542 | ||
Diversified Media - 1.1% | |||
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (a) | 3,150,000 | 3,110,625 | |
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (a) | 1,435,000 | 1,427,825 | |
TOTAL DIVERSIFIED MEDIA | 4,538,450 | ||
Energy - 11.7% | |||
Cheniere Energy Partners LP: | |||
5.25% 10/1/25 | 6,220,000 | 6,235,674 | |
5.625% 10/1/26 | 1,890,000 | 1,899,450 | |
Consolidated Energy Finance SA 3 month U.S. LIBOR + 3.750% 5.6436% 6/15/22 (a)(b)(c) | 699,000 | 692,032 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.75% 4/1/25 | 4,324,000 | 4,226,710 | |
6.25% 4/1/23 | 1,940,000 | 1,843,388 | |
CVR Energy, Inc. 5.25% 2/15/25 (a) | 1,345,000 | 1,254,213 | |
DCP Midstream Operating LP 5.375% 7/15/25 | 4,155,000 | 4,352,446 | |
Denbury Resources, Inc.: | |||
7.75% 2/15/24 (a) | 1,885,000 | 1,056,543 | |
9.25% 3/31/22 (a) | 175,000 | 140,000 | |
EQT Corp.: | |||
3.9% 10/1/27 | 445,000 | 290,363 | |
6.125% 2/1/25 | 1,369,000 | 1,040,988 | |
Hess Infrastructure Partners LP 5.625% 2/15/26 (a) | 3,477,000 | 3,468,377 | |
Hess Midstream Partners LP 5.125% 6/15/28 (a) | 570,000 | 555,750 | |
Hilcorp Energy I LP/Hilcorp Finance Co. 5% 12/1/24 (a) | 1,136,000 | 897,440 | |
Parsley Energy LLC/Parsley 5.25% 8/15/25 (a) | 2,461,000 | 2,436,390 | |
Summit Midstream Holdings LLC: | |||
5.5% 8/15/22 | 1,540,000 | 1,318,625 | |
5.75% 4/15/25 | 1,388,000 | 1,027,120 | |
Sunoco LP/Sunoco Finance Corp. 5.5% 2/15/26 | 3,028,000 | 3,073,723 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
4.25% 11/15/23 | 3,924,000 | 3,886,722 | |
5.125% 2/1/25 | 2,467,000 | 2,476,301 | |
5.375% 2/1/27 | 332,000 | 340,300 | |
TerraForm Power Operating LLC: | |||
4.25% 1/31/23 (a) | 552,000 | 560,981 | |
5% 1/31/28 (a) | 2,624,000 | 2,824,211 | |
Viper Energy Partners LP 5.375% 11/1/27 (a) | 1,200,000 | 1,219,560 | |
TOTAL ENERGY | 47,117,307 | ||
Environmental - 0.5% | |||
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (a) | 1,800,000 | 1,818,036 | |
Food/Beverage/Tobacco - 4.9% | |||
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
5.75% 6/15/25 (a) | 6,789,000 | 6,950,225 | |
5.875% 7/15/24 (a) | 4,301,000 | 4,376,354 | |
6.75% 2/15/28 (a) | 696,000 | 754,673 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
5.5% 1/15/30 (a) | 1,660,000 | 1,751,815 | |
6.5% 4/15/29 (a) | 3,194,000 | 3,464,532 | |
Lamb Weston Holdings, Inc.: | |||
4.625% 11/1/24 (a) | 1,443,000 | 1,501,918 | |
4.875% 11/1/26 (a) | 956,000 | 991,898 | |
TOTAL FOOD/BEVERAGE/TOBACCO | 19,791,415 | ||
Gaming - 4.1% | |||
Caesars Resort Collection LLC 5.25% 10/15/25 (a) | 2,164,000 | 2,125,091 | |
MCE Finance Ltd. 4.875% 6/6/25 (a) | 1,940,000 | 1,949,676 | |
MGM Growth Properties Operating Partnership LP: | |||
4.5% 9/1/26 | 2,492,000 | 2,579,220 | |
5.625% 5/1/24 | 1,000,000 | 1,082,500 | |
5.75% 2/1/27 | 664,000 | 727,080 | |
MGM Mirage, Inc. 5.75% 6/15/25 | 3,231,000 | 3,537,945 | |
Twin River Worldwide Holdings, Inc. 6.75% 6/1/27 (a) | 240,000 | 250,033 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | |||
5.25% 5/15/27 (a) | 538,000 | 517,825 | |
5.5% 3/1/25 (a) | 1,700,000 | 1,668,125 | |
Wynn Macau Ltd. 4.875% 10/1/24 (a) | 1,973,000 | 1,969,133 | |
TOTAL GAMING | 16,406,628 | ||
Healthcare - 11.2% | |||
Centene Corp.: | |||
4.25% 12/15/27 (a) | 2,910,000 | 2,993,808 | |
5.25% 4/1/25 (a) | 5,612,000 | 5,773,345 | |
5.375% 8/15/26 (a) | 1,774,000 | 1,862,700 | |
Charles River Laboratories International, Inc.: | |||
4.25% 5/1/28 (a) | 150,000 | 150,945 | |
5.5% 4/1/26 (a) | 1,510,000 | 1,587,652 | |
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 1,865,000 | 1,939,600 | |
HCA Holdings, Inc.: | |||
5% 3/15/24 | 1,684,000 | 1,871,825 | |
5.25% 6/15/26 | 5,226,000 | 5,977,660 | |
Hologic, Inc.: | |||
4.375% 10/15/25 (a) | 905,000 | 921,697 | |
4.625% 2/1/28 (a) | 170,000 | 176,326 | |
IMS Health, Inc.: | |||
5% 10/15/26 (a) | 751,000 | 774,735 | |
5% 5/15/27 (a) | 1,630,000 | 1,685,013 | |
MPT Operating Partnership LP/MPT Finance Corp. 5% 10/15/27 | 3,516,000 | 3,668,981 | |
Service Corp. International 5.125% 6/1/29 | 2,165,000 | 2,340,906 | |
Teleflex, Inc. 4.875% 6/1/26 | 1,338,000 | 1,394,865 | |
Tenet Healthcare Corp.: | |||
4.625% 7/15/24 | 4,158,000 | 4,158,083 | |
4.875% 1/1/26 (a) | 690,000 | 702,938 | |
5.125% 5/1/25 | 1,731,000 | 1,743,983 | |
6.25% 2/1/27 (a) | 560,000 | 586,600 | |
Valeant Pharmaceuticals International, Inc. 7% 3/15/24 (a) | 4,851,000 | 4,994,493 | |
TOTAL HEALTHCARE | 45,306,155 | ||
Homebuilders/Real Estate - 2.0% | |||
Howard Hughes Corp. 5.375% 3/15/25 (a) | 2,398,000 | 2,427,256 | |
Starwood Property Trust, Inc. 4.75% 3/15/25 | 476,000 | 485,520 | |
VICI Properties, Inc.: | |||
3.5% 2/15/25 (a) | 620,000 | 620,961 | |
4.25% 12/1/26 (a) | 3,325,000 | 3,358,583 | |
4.625% 12/1/29 (a) | 1,075,000 | 1,109,938 | |
TOTAL HOMEBUILDERS/REAL ESTATE | 8,002,258 | ||
Hotels - 1.0% | |||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.: | |||
4.625% 4/1/25 | 2,164,000 | 2,172,115 | |
4.875% 4/1/27 | 426,000 | 435,585 | |
Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (a) | 1,237,000 | 1,282,280 | |
TOTAL HOTELS | 3,889,980 | ||
Metals/Mining - 1.5% | |||
Freeport-McMoRan, Inc.: | |||
3.55% 3/1/22 | 1,639,000 | 1,653,587 | |
3.875% 3/15/23 | 1,006,000 | 1,011,332 | |
4.55% 11/14/24 | 447,000 | 452,588 | |
Nufarm Australia Ltd. 5.75% 4/30/26 (a) | 2,813,000 | 2,770,805 | |
TOTAL METALS/MINING | 5,888,312 | ||
Paper - 0.3% | |||
Berry Global Escrow Corp. 4.875% 7/15/26 (a) | 1,266,000 | 1,287,775 | |
Restaurants - 1.0% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc. 4.25% 5/15/24 (a) | 1,922,000 | 1,923,826 | |
KFC Holding Co./Pizza Hut Holding LLC 5% 6/1/24 (a) | 2,164,000 | 2,181,052 | |
TOTAL RESTAURANTS | 4,104,878 | ||
Services - 2.5% | |||
Aramark Services, Inc. 4.75% 6/1/26 | 4,642,000 | 4,804,470 | |
CDK Global, Inc.: | |||
5.25% 5/15/29 (a) | 278,000 | 296,418 | |
5.875% 6/15/26 | 2,178,000 | 2,278,841 | |
CoreCivic, Inc.: | |||
4.625% 5/1/23 | 679,000 | 680,494 | |
5% 10/15/22 | 1,147,000 | 1,170,514 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (a) | 800,000 | 822,500 | |
TOTAL SERVICES | 10,053,237 | ||
Super Retail - 0.3% | |||
The William Carter Co. 5.625% 3/15/27 (a) | 1,154,000 | 1,227,769 | |
Technology - 5.7% | |||
Entegris, Inc. 4.625% 2/10/26 (a) | 2,164,000 | 2,231,625 | |
Fair Isaac Corp. 5.25% 5/15/26 (a) | 2,052,000 | 2,272,590 | |
Gartner, Inc. 5.125% 4/1/25 (a) | 386,000 | 398,584 | |
Match Group, Inc. 4.125% 8/1/30 (a) | 305,000 | 298,809 | |
Nortonlifelock, Inc. 5% 4/15/25 (a) | 6,041,000 | 6,132,594 | |
Nuance Communications, Inc. 5.625% 12/15/26 | 3,578,000 | 3,774,790 | |
Open Text Corp. 3.875% 2/15/28 (a) | 760,000 | 756,352 | |
Open Text Holdings, Inc. 4.125% 2/15/30(a) | 1,165,000 | 1,159,175 | |
Qorvo, Inc. 5.5% 7/15/26 | 1,272,000 | 1,313,976 | |
SoftBank Corp. 5.375% 7/30/22 (Reg. S) | 1,407,000 | 1,468,205 | |
TTM Technologies, Inc. 5.625% 10/1/25 (a) | 3,030,000 | 3,090,600 | |
TOTAL TECHNOLOGY | 22,897,300 | ||
Telecommunications - 11.7% | |||
Altice Financing SA: | |||
5% 1/15/28 (a) | 460,000 | 446,154 | |
7.5% 5/15/26 (a) | 2,121,000 | 2,237,655 | |
C&W Senior Financing Designated Activity Co.: | |||
6.875% 9/15/27 (a) | 2,719,000 | 2,868,545 | |
7.5% 10/15/26 (a) | 3,805,000 | 3,995,250 | |
Century Telephone Enterprises, Inc. 6.875% 1/15/28 | 80,000 | 88,800 | |
CenturyLink, Inc.: | |||
5.125% 12/15/26 (a) | 2,440,000 | 2,458,300 | |
5.625% 4/1/25 | 845,000 | 880,913 | |
Level 3 Financing, Inc.: | |||
5.25% 3/15/26 | 2,661,000 | 2,747,483 | |
5.375% 1/15/24 | 721,000 | 719,212 | |
5.375% 5/1/25 | 1,587,000 | 1,620,057 | |
Millicom International Cellular SA: | |||
5.125% 1/15/28 (a) | 1,500,000 | 1,545,000 | |
6% 3/15/25 (a) | 435,000 | 445,739 | |
6.625% 10/15/26 (a) | 3,242,000 | 3,468,940 | |
Neptune Finco Corp. 6.625% 10/15/25 (a) | 6,169,000 | 6,446,728 | |
Sable International Finance Ltd. 5.75% 9/7/27 (a) | 2,900,000 | 3,023,250 | |
SBA Communications Corp. 4.875% 9/1/24 | 1,443,000 | 1,481,788 | |
SFR Group SA 7.375% 5/1/26 (a) | 2,525,000 | 2,647,968 | |
T-Mobile U.S.A., Inc. 4.5% 2/1/26 | 974,000 | 987,100 | |
Telecom Italia Capital SA: | |||
6% 9/30/34 | 739,000 | 831,375 | |
6.375% 11/15/33 | 418,000 | 484,537 | |
Telecom Italia SpA 5.303% 5/30/24 (a) | 5,102,000 | 5,446,385 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (a) | 2,400,000 | 2,532,000 | |
TOTAL TELECOMMUNICATIONS | 47,403,179 | ||
Utilities - 5.7% | |||
Clearway Energy Operating LLC: | |||
4.75% 3/15/28 (a) | 290,000 | 295,075 | |
5.75% 10/15/25 | 862,000 | 890,730 | |
InterGen NV 7% 6/30/23 (a) | 1,496,000 | 1,466,080 | |
NextEra Energy Partners LP 4.25% 9/15/24 (a) | 1,594,000 | 1,604,680 | |
NRG Energy, Inc.: | |||
5.25% 6/15/29 (a) | 1,251,000 | 1,300,277 | |
5.75% 1/15/28 | 559,000 | 580,689 | |
6.625% 1/15/27 | 480,000 | 500,458 | |
NRG Yield Operating LLC 5% 9/15/26 | 1,775,000 | 1,818,141 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (a) | 4,213,380 | 4,676,852 | |
The AES Corp.: | |||
4.875% 5/15/23 | 282,000 | 279,397 | |
6% 5/15/26 | 1,554,000 | 1,598,988 | |
Vistra Operations Co. LLC: | |||
5% 7/31/27 (a) | 2,052,000 | 2,072,828 | |
5.5% 9/1/26 (a) | 5,052,000 | 5,110,628 | |
5.625% 2/15/27 (a) | 960,000 | 984,000 | |
TOTAL UTILITIES | 23,178,823 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $359,728,990) | 368,710,406 | ||
Preferred Securities - 4.9% | |||
Banks & Thrifts - 3.4% | |||
Bank of America Corp. 6.25% (b)(d) | 5,647,000 | 6,376,253 | |
Citigroup, Inc. 4.7% (b)(d) | 1,065,000 | 1,055,584 | |
JPMorgan Chase & Co. 4.6% (b)(d) | 1,775,000 | 1,792,358 | |
Wells Fargo & Co. 5.9% (b)(d) | 4,324,000 | 4,690,557 | |
TOTAL BANKS & THRIFTS | 13,914,752 | ||
Diversified Financial Services - 1.0% | |||
AerCap Holdings NV 5.875% 10/10/79 (b) | 3,990,000 | 4,141,437 | |
Energy - 0.5% | |||
MPLX LP 6.875% (b)(d) | 1,901,000 | 1,839,851 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $19,078,571) | 19,896,040 | ||
Shares | Value | ||
Money Market Funds - 2.4% | |||
Fidelity Cash Central Fund 1.60% (e) | |||
(Cost $9,551,897) | 9,551,925 | 9,553,836 | |
TOTAL INVESTMENT IN SECURITIES - 98.6% | |||
(Cost $388,359,458) | 398,160,282 | ||
NET OTHER ASSETS (LIABILITIES) - 1.4% | 5,800,866 | ||
NET ASSETS - 100% | $403,961,148 |
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 $226,319,329 or 56.0% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security is perpetual in nature with no stated maturity date.
(e) 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.
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 | $168,332 |
Total | $168,332 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of February 29, 2020, 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 | $368,710,406 | $-- | $368,710,406 | $-- |
Preferred Securities | 19,896,040 | -- | 19,896,040 | -- |
Money Market Funds | 9,553,836 | 9,553,836 | -- | -- |
Total Investments in Securities: | $398,160,282 | $9,553,836 | $388,606,446 | $-- |
Other Information
Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):
United States of America | 77.3% |
Multi-National | 4.5% |
Luxembourg | 4.0% |
Netherlands | 3.9% |
Canada | 2.0% |
Cayman Islands | 1.9% |
Ireland | 1.7% |
Italy | 1.3% |
Bermuda | 1.1% |
Others (Individually Less Than 1%) | 2.3% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 29, 2020 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $378,807,561) | $388,606,446 | |
Fidelity Central Funds (cost $9,551,897) | 9,553,836 | |
Total Investment in Securities (cost $388,359,458) | $398,160,282 | |
Receivable for investments sold | 3,130,797 | |
Interest receivable | 5,248,457 | |
Distributions receivable from Fidelity Central Funds | 16,007 | |
Total assets | 406,555,543 | |
Liabilities | ||
Payable to custodian bank | $2,304,767 | |
Payable for investments purchased | 284,600 | |
Other payables and accrued expenses | 5,028 | |
Total liabilities | 2,594,395 | |
Net Assets | $403,961,148 | |
Net Assets consist of: | ||
Paid in capital | $388,323,395 | |
Total accumulated earnings (loss) | 15,637,753 | |
Net Assets | $403,961,148 | |
Net Asset Value, offering price and redemption price per share ($403,961,148 ÷ 4,039,939 shares) | $99.99 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 29, 2020 (Unaudited) | ||
Investment Income | ||
Dividends | $603,403 | |
Interest | 12,186,740 | |
Income from Fidelity Central Funds | 168,332 | |
Total income | 12,958,475 | |
Expenses | ||
Custodian fees and expenses | $188 | |
Independent directors' fees and expenses | 1,501 | |
Total expenses | 1,689 | |
Net investment income (loss) | 12,956,786 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 9,587,903 | |
Total net realized gain (loss) | 9,587,903 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (12,648,037) | |
Fidelity Central Funds | 1 | |
Total change in net unrealized appreciation (depreciation) | (12,648,036) | |
Net gain (loss) | (3,060,133) | |
Net increase (decrease) in net assets resulting from operations | $9,896,653 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 29, 2020 (Unaudited) | Year ended August 31, 2019 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $12,956,786 | $43,711,872 |
Net realized gain (loss) | 9,587,903 | 13,795,871 |
Change in net unrealized appreciation (depreciation) | (12,648,036) | 22,681,368 |
Net increase (decrease) in net assets resulting from operations | 9,896,653 | 80,189,111 |
Distributions to shareholders | (19,450,628) | (47,610,328) |
Affiliated share transactions | ||
Proceeds from sales of shares | 21,031,519 | 269,927,924 |
Reinvestment of distributions | 19,450,628 | 46,711,482 |
Cost of shares redeemed | (228,125,762) | (467,256,796) |
Net increase (decrease) in net assets resulting from share transactions | (187,643,615) | (150,617,390) |
Total increase (decrease) in net assets | (197,197,590) | (118,038,607) |
Net Assets | ||
Beginning of period | 601,158,738 | 719,197,345 |
End of period | $403,961,148 | $601,158,738 |
Other Information | ||
Shares | ||
Sold | 206,673 | 2,832,140 |
Issued in reinvestment of distributions | 191,394 | 472,512 |
Redeemed | (2,235,616) | (4,631,199) |
Net increase (decrease) | (1,837,549) | (1,326,547) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Specialized High Income Central Fund
Six months ended (Unaudited) February 29, | Years endedAugust 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $102.28 | $99.83 | $104.63 | $103.06 | $101.49 | $107.68 |
Income from Investment Operations | ||||||
Net investment income (loss)A | 2.612 | 5.368 | 5.188 | 5.489 | 5.682 | 5.462 |
Net realized and unrealized gain (loss) | (1.004) | 2.981 | (2.758) | 1.901 | 1.436 | (6.176) |
Total from investment operations | 1.608 | 8.349 | 2.430 | 7.390 | 7.118 | (.714) |
Distributions from net investment income | (2.601) | (5.335) | (5.217) | (5.531) | (5.548) | (5.476) |
Distributions from net realized gain | (1.297) | (.564) | (2.013) | (.289) | – | – |
Total distributions | (3.898) | (5.899) | (7.230) | (5.820) | (5.548) | (5.476) |
Net asset value, end of period | $99.99 | $102.28 | $99.83 | $104.63 | $103.06 | $101.49 |
Total ReturnB,C | 1.57% | 8.73% | 2.42% | 7.39% | 7.39% | (.70)% |
Ratios to Average Net AssetsD,E | ||||||
Expenses before reductionsF | - %G | -% | -% | -% | -% | -% |
Expenses net of fee waivers, if anyF | - %G | -% | -% | -% | -% | -% |
Expenses net of all reductionsF | - %G | -% | -% | -% | -% | -% |
Net investment income (loss) | 5.13%G | 5.42% | 5.13% | 5.31% | 5.75% | 5.22% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $403,961 | $601,159 | $719,197 | $768,593 | $834,126 | $749,914 |
Portfolio turnover rateH | 36%G | 45%I | 62% | 51% | 46% | 49% |
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 Fund. 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 Fund 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 Fund.
F Amount represents less than $.0005 per share.
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.
Notes to Financial Statements (Unaudited)
For the period ended February 29, 2020
1. Organization.
Fidelity Specialized High Income Central Fund (the Fund) is a fund of Fidelity Central Investment Portfolios LLC (the LLC) and is authorized to issue an unlimited number of shares. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company LLC (FMR), or its affiliates (the Investing Funds). The LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company.
Effective January 1, 2020:
Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Management & Research Company LLC".
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 the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
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 Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. 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 Directors (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. 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 and preferred securities 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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
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, 2020 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. Dividend income is recorded on the ex-dividend date. 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.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
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.
Distributions 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 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 partnerships, redemptions in kind and losses deferred to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $12,846,023 |
Gross unrealized depreciation | (3,046,633) |
Net unrealized appreciation (depreciation) | $9,799,390 |
Tax cost | $388,360,892 |
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity Specialized High Income Central Fund | 85,303,075 | 268,195,885 |
5. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Management & Research Company LLC (the investment adviser) provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract, the investment adviser receives a monthly management fee that represents a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, the investment adviser also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Directors, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. Funds 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.
Prior Fiscal Year Affiliated Redemptions In-Kind. During the prior period, 2,350,309 shares of the Fund were redeemed in-kind for investments, including accrued interest, and cash with a value of $238,156,796. The Fund had a net realized gain of $10,612,883 on investments delivered through in-kind redemptions. The amount of the in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets. The Fund recognized no gain or loss for federal income tax purposes.
6. Other.
The Fund's organizational documents provide former and current directors 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, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
7. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including 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, 2019 to February 29, 2020).
Actual Expenses
The first line of the accompanying table 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 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 provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2019 | Ending Account Value February 29, 2020 | Expenses Paid During Period-B September 1, 2019 to February 29, 2020 | |
Actual | .0007% | $1,000.00 | $1,015.70 | $ --C |
Hypothetical-D | $1,000.00 | $1,024.86 | $--C |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
C Amount represents less than .0005%.
D 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Specialized High Income Central Fund
Each year, the Board of Directors, including the Independent Directors (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Directors' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.Approval of Amended and Restated Advisory Contracts. At its November 2019 meeting, the Board unanimously determined to approve an amended and restated management contract and sub-advisory agreements (Amended and Restated Contracts) for a stub period of January 1, 2020 through January 31, 2020 in connection with a consolidation of certain of Fidelity's advisory businesses. The Board considered that, on or about January 1, 2020, FMR Co., Inc. (FMRC) expected to merge with and into FMR and, after the merger, FMR expected to redomicile as a Delaware limited liability company. The Board noted that the Amended and Restated Contracts will reflect the replacement of FMRC with FMR and will take effect upon the completion of the merger. The Board noted that references to FMR in the Amended and Restated Contracts would be updated to reflect FMR's new form of organization and domicile. The Board also noted Fidelity's assurance that neither the planned consolidation nor the Amended and Restated Contracts will change the investment processes, the level or nature of services provided, the resources and personnel allocated, trading and compliance operations, or any fees paid by the fund.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 various standing committees (Committees), each composed of and chaired by Independent Directors with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. 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 review 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 joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its January 2020 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Directors' 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 the fact that no fee is payable under the management contract was fair and reasonable.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 Directors also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.Resources Dedicated to Investment Management and Support Services. The Board and the Fund Oversight and Research Committees 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.Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by 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 also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, and the use of "soft" commission dollars to pay for research services.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. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts, as the fund is not publicly offered as a stand-alone investment product. In this regard, the Board noted that the fund is designed to offer a liquid investment option for other investment companies managed by Fidelity and ultimately to enhance the performance of those investment companies.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered that while the fund does not pay a management fee, FMR receives fees for providing services to funds that invest in the fund. The Board also noted that FMR bears all expenses of the fund with certain exceptions. Based on its review, the Board concluded that the management fee paid on behalf of the fund and the fund's total expense ratio were 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 level of Fidelity's profits in respect of all the Fidelity funds, as well as the profitability of the funds that invest in the fund.PricewaterhouseCoopers LLP (PwC), 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 the fund profitability information 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 potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses. The Board considered that a joint ad hoc committee created by it and the boards of other Fidelity funds had recently been established, and met periodically, to evaluate potential fall-out benefits (PFOB Committee). The Board noted that the PFOB Committee, among other things: (i) discussed the legal framework surrounding potential fall-out benefits; (ii) reviewed the Board's responsibilities and approach to potential fall-out benefits; and (iii) reviewed practices employed by competitor funds regarding the review of potential fall-out benefits.The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund with certain exceptions.Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR bears all expenses of the fund with certain exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contract.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) fund flow and performance trends, in particular the underperformance of certain funds and strategies, and Fidelity's long-term strategies for certain funds; (ii) consideration of performance fees for additional funds; (iii) changes in Fidelity's non-fund businesses and the impact of such changes on the funds; (iv) metrics for evaluating index fund and ETF performance and information about ETF trading characteristics; (v) the methodology with respect to evaluating competitive fund data and peer group classifications and fee comparisons; (vi) the expense structures for different funds and classes; (vii) information regarding other accounts managed by Fidelity, including collective investment trusts and separately managed accounts; and (viii) Fidelity's philosophies and strategies for evaluating funds and classes with lower or declining asset levels.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 arrangements are fair and reasonable, and that the fund's Amended and Restated Contracts should be approved and the fund's Advisory Contracts should be renewed.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot not be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
SHI-SANN-0420
1.820820.114
Fidelity® High Income Central Fund
Semi-Annual Report
February 29, 2020
See the inside front cover for important information about access to your fund’s shareholder reports.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
Account Type | Website | Phone Number |
Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) | 1-800-343-0860 |
Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
Advisor Sold Accounts Serviced by Fidelity: | institutional.fidelity.com | 1-877-208-0098 |
Contents
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. © 2020 FMR LLC. All rights reserved.
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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT 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.
Note to shareholders:
As part of a regular review of its organizational structure, Fidelity has decided to merge certain entities to streamline operations, increase efficiency, simplify reporting, and reduce legal, compliance, and accounting complexity and costs. In separate events, Fidelity has merged four of its investment advisers and two of its broker-dealers.
Effective on or about January 1, 2020, following any required regulatory notices and approvals:
Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to “Fidelity Management & Research Company LLC”.
Broker-dealer Fidelity Distributors Corporation merged with and into Fidelity Investments Institutional Services Company, Inc. (“FIISC”). FIISC was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to “Fidelity Distributors Company LLC”.
These mergers are not expected to affect fund shareholders or Fidelity clients, nor are they expected to result in any changes to the day-to-day management of Fidelity’s brokerage services, the Fidelity funds, their investment policies and practices, their portfolio management teams, or the funds’ expenses.
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following the end of this reporting period, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Investment Summary (Unaudited)
Top Five Holdings as of February 29, 2020
(by issuer, excluding cash equivalents) | % of fund's net assets |
CCO Holdings LLC/CCO Holdings Capital Corp. | 3.1 |
Ally Financial, Inc. | 2.3 |
Tenet Healthcare Corp. | 2.3 |
Citigroup, Inc. | 2.0 |
TransDigm, Inc. | 1.9 |
11.6 |
Top Five Market Sectors as of February 29, 2020
% of fund's net assets | |
Energy | 14.4 |
Healthcare | 9.7 |
Telecommunications | 8.5 |
Cable/Satellite TV | 7.3 |
Banks & Thrifts | 6.6 |
Quality Diversification (% of fund's net assets)
As of February 29, 2020 | ||
BBB | 4.0% | |
BB | 37.7% | |
B | 34.5% | |
CCC,CC,C | 13.1% | |
D | 1.9% | |
Not Rated | 1.5% | |
Equities | 1.8% | |
Short-Term Investments and Net Other Assets | 5.5% |
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.
Asset Allocation (% of fund's net assets)
As of February 29, 2020* | ||
Nonconvertible Bonds | 78.5% | |
Convertible Bonds, Preferred Stocks | 1.1% | |
Common Stocks | 1.8% | |
Bank Loan Obligations | 8.5% | |
Other Investments | 4.6% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.5% |
* Foreign investments - 20.0%
Schedule of Investments February 29, 2020 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 79.6% | |||
Principal Amount | Value | ||
Convertible Bonds - 1.1% | |||
Broadcasting - 0.8% | |||
DISH Network Corp.: | |||
2.375% 3/15/24 | $5,364,000 | $4,986,751 | |
3.375% 8/15/26 | 15,543,000 | 15,006,884 | |
19,993,635 | |||
Energy - 0.3% | |||
Denbury Resources, Inc. 6.375% 12/31/24 (a) | 10,175,000 | 5,367,836 | |
Ensco Jersey Finance Ltd. 3% 1/31/24 | 1,500,000 | 827,986 | |
6,195,822 | |||
TOTAL CONVERTIBLE BONDS | 26,189,457 | ||
Nonconvertible Bonds - 78.5% | |||
Aerospace - 2.9% | |||
Arconic Rolled Products Corp. 6.125% 2/15/28 (a) | 1,510,000 | 1,555,300 | |
BBA U.S. Holdings, Inc.: | |||
4% 3/1/28 (a) | 2,465,000 | 2,433,941 | |
5.375% 5/1/26 (a) | 3,245,000 | 3,311,052 | |
Bombardier, Inc.: | |||
7.5% 12/1/24 (a) | 4,520,000 | 4,574,692 | |
7.875% 4/15/27 (a) | 10,425,000 | 10,346,813 | |
BWX Technologies, Inc. 5.375% 7/15/26 (a) | 3,290,000 | 3,443,988 | |
DAE Funding LLC: | |||
4.5% 8/1/22 (a) | 1,665,000 | 1,688,227 | |
5% 8/1/24 (a) | 1,830,000 | 1,899,879 | |
Huntington Ingalls Industries, Inc. 5% 11/15/25 (a) | 625,000 | 653,374 | |
Moog, Inc. 4.25% 12/15/27 (a) | 735,000 | 747,863 | |
TransDigm UK Holdings PLC 6.875% 5/15/26 | 2,355,000 | 2,472,750 | |
TransDigm, Inc.: | |||
5.5% 11/15/27 (a) | 16,420,000 | 16,400,296 | |
6.25% 3/15/26 (a) | 4,675,000 | 4,949,666 | |
6.375% 6/15/26 | 130,000 | 133,582 | |
6.5% 5/15/25 | 1,000,000 | 1,032,200 | |
7.5% 3/15/27 | 8,825,000 | 9,299,785 | |
Wolverine Escrow LLC 8.5% 11/15/24 (a) | 1,645,000 | 1,604,204 | |
66,547,612 | |||
Air Transportation - 0.0% | |||
Continental Airlines, Inc. pass-thru trust certificates: | |||
8.388% 5/1/22 | 13 | 13 | |
9.798% 10/1/22 | 237,314 | 244,294 | |
244,307 | |||
Automotive & Auto Parts - 0.5% | |||
Allison Transmission, Inc.: | |||
5% 10/1/24 (a) | 1,160,000 | 1,173,004 | |
5.875% 6/1/29 (a) | 1,625,000 | 1,761,094 | |
Ford Motor Credit Co. LLC 3.087% 1/9/23 | 4,980,000 | 4,993,108 | |
General Motors Financial Co., Inc. 4.25% 5/15/23 | 615,000 | 648,965 | |
IAA Spinco, Inc. 5.5% 6/15/27 (a) | 1,115,000 | 1,180,506 | |
Lithia Motors, Inc. 4.625% 12/15/27 (a) | 1,035,000 | 1,059,509 | |
10,816,186 | |||
Banks & Thrifts - 2.3% | |||
Ally Financial, Inc.: | |||
4.25% 4/15/21 | 1,170,000 | 1,194,863 | |
5.75% 11/20/25 | 3,270,000 | 3,690,686 | |
8% 11/1/31 | 11,003,000 | 15,309,574 | |
8% 11/1/31 | 24,518,000 | 33,941,201 | |
54,136,324 | |||
Broadcasting - 1.6% | |||
CBS Radio, Inc. 7.25% 11/1/24 (a) | 1,015,000 | 1,064,481 | |
Entercom Media Corp. 6.5% 5/1/27 (a) | 1,270,000 | 1,327,150 | |
iHeartCommunications, Inc.: | |||
6.375% 5/1/26 | 46,387 | 49,852 | |
8.375% 5/1/27 | 84,077 | 91,303 | |
9% 5/15/22 (b) | 780,000 | 0 | |
Netflix, Inc.: | |||
4.875% 4/15/28 | 1,735,000 | 1,826,452 | |
5.875% 11/15/28 | 2,195,000 | 2,467,839 | |
Nexstar Escrow, Inc. 5.625% 7/15/27 (a) | 2,755,000 | 2,851,563 | |
Scripps Escrow, Inc. 5.875% 7/15/27 (a) | 2,215,000 | 2,298,063 | |
Sirius XM Radio, Inc.: | |||
3.875% 8/1/22 (a) | 2,155,000 | 2,149,893 | |
4.625% 7/15/24 (a) | 3,615,000 | 3,726,884 | |
5% 8/1/27 (a) | 7,435,000 | 7,778,869 | |
5.375% 4/15/25 (a) | 3,241,040 | 3,324,756 | |
5.375% 7/15/26 (a) | 3,120,000 | 3,228,576 | |
Tegna, Inc. 5% 9/15/29 (a) | 4,385,000 | 4,346,631 | |
36,532,312 | |||
Building Materials - 0.3% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (a) | 505,000 | 522,044 | |
Building Materials Corp. of America: | |||
5.5% 2/15/23 (a) | 303,000 | 306,845 | |
6% 10/15/25 (a) | 1,165,000 | 1,217,425 | |
HD Supply, Inc. 5.375% 10/15/26 (a) | 3,760,000 | 3,933,900 | |
HMAN Finance Sub Corp. 6.375% 7/15/22 (a) | 510,000 | 457,407 | |
U.S. Concrete, Inc. 6.375% 6/1/24 | 425,000 | 432,480 | |
6,870,101 | |||
Cable/Satellite TV - 6.8% | |||
Altice SA 7.625% 2/15/25 (a) | 2,835,000 | 2,941,313 | |
Cablevision Systems Corp. 5.875% 9/15/22 | 805,000 | 845,371 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.5% 8/15/30 (a) | 3,095,000 | 3,129,819 | |
4.75% 3/1/30 (a) | 5,200,000 | 5,356,000 | |
5% 2/1/28 (a) | 10,535,000 | 10,956,400 | |
5.125% 5/1/23 (a) | 4,310,000 | 4,360,427 | |
5.125% 5/1/27 (a) | 16,885,000 | 17,555,335 | |
5.375% 5/1/25 (a) | 1,600,000 | 1,644,160 | |
5.5% 5/1/26 (a) | 5,950,000 | 6,173,720 | |
5.75% 9/1/23 | 1,160,000 | 1,171,020 | |
5.75% 1/15/24 | 615,000 | 626,870 | |
5.75% 2/15/26 (a) | 6,925,000 | 7,199,923 | |
5.875% 4/1/24 (a) | 2,995,000 | 3,076,464 | |
5.875% 5/1/27 (a) | 8,600,000 | 8,979,303 | |
CSC Holdings LLC: | |||
5.375% 2/1/28 (a) | 8,195,000 | 8,525,504 | |
5.5% 5/15/26 (a) | 4,470,000 | 4,628,037 | |
5.5% 4/15/27 (a) | 11,830,000 | 12,451,075 | |
5.75% 1/15/30 (a) | 3,690,000 | 3,902,175 | |
6.5% 2/1/29 (a) | 5,110,000 | 5,646,039 | |
7.5% 4/1/28 (a) | 4,545,000 | 5,124,488 | |
DISH DBS Corp.: | |||
5% 3/15/23 | 4,720,000 | 4,749,972 | |
5.875% 7/15/22 | 3,205,000 | 3,344,257 | |
5.875% 11/15/24 | 4,370,000 | 4,482,440 | |
6.75% 6/1/21 | 1,122,000 | 1,161,842 | |
7.75% 7/1/26 | 7,015,000 | 7,538,038 | |
LCPR Senior Secured Financing DAC 6.75% 10/15/27 (a) | 2,440,000 | 2,565,904 | |
Virgin Media Finance PLC 4.875% 2/15/22 | 845,000 | 852,394 | |
VTR Finance BV 6.875% 1/15/24 (a) | 845,000 | 862,032 | |
Ziggo Bond Co. BV: | |||
5.125% 2/28/30 (a) | 1,155,000 | 1,169,207 | |
6% 1/15/27 (a) | 4,760,000 | 5,015,850 | |
Ziggo BV: | |||
4.875% 1/15/30 (a) | 1,730,000 | 1,797,038 | |
5.5% 1/15/27 (a) | 10,001,000 | 10,301,430 | |
158,133,847 | |||
Chemicals - 2.0% | |||
Blue Cube Spinco, Inc. 9.75% 10/15/23 | 1,175,000 | 1,237,052 | |
CF Industries Holdings, Inc.: | |||
3.45% 6/1/23 | 1,040,000 | 1,053,021 | |
4.95% 6/1/43 | 6,210,000 | 6,587,568 | |
5.15% 3/15/34 | 5,790,000 | 6,502,170 | |
5.375% 3/15/44 | 12,705,000 | 14,244,973 | |
OCI NV: | |||
5.25% 11/1/24 (a) | 3,965,000 | 4,044,300 | |
6.625% 4/15/23 (a) | 3,625,000 | 3,755,500 | |
Starfruit Finco BV / Starfruit U.S. Holdco LLC 8% 10/1/26 (a) | 945,000 | 937,629 | |
The Chemours Co. LLC: | |||
5.375% 5/15/27 | 1,710,000 | 1,466,667 | |
7% 5/15/25 | 2,465,000 | 2,298,613 | |
Valvoline, Inc.: | |||
4.25% 2/15/30 (a) | 1,600,000 | 1,578,000 | |
4.375% 8/15/25 | 970,000 | 999,100 | |
W. R. Grace & Co.-Conn.: | |||
5.125% 10/1/21 (a) | 345,000 | 354,056 | |
5.625% 10/1/24 (a) | 1,095,000 | 1,209,975 | |
46,268,624 | |||
Consumer Products - 0.4% | |||
Edgewell Personal Care Co. 5.5% 6/15/25 (a) | 45,000 | 45,666 | |
Prestige Brands, Inc. 6.375% 3/1/24 (a) | 370,000 | 381,407 | |
Tempur Sealy International, Inc. 5.5% 6/15/26 | 1,155,000 | 1,208,477 | |
Terrier Media Buyer, Inc. 8.875% 12/15/27 (a) | 3,285,000 | 3,260,363 | |
The Scotts Miracle-Gro Co. 4.5% 10/15/29 (a) | 3,335,000 | 3,451,725 | |
8,347,638 | |||
Containers - 0.9% | |||
ARD Finance SA 6.5% 6/30/27 pay-in-kind (a)(c) | 2,525,000 | 2,540,908 | |
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 6% 2/15/25 (a) | 9,318,000 | 9,714,015 | |
Berry Global, Inc. 4.5% 2/15/26 (a) | 3,580,000 | 3,522,004 | |
Crown Americas LLC/Crown Americas Capital Corp. IV 4.5% 1/15/23 | 365,000 | 370,110 | |
OI European Group BV 4% 3/15/23 (a) | 1,595,000 | 1,612,944 | |
Plastipak Holdings, Inc. 6.25% 10/15/25 (a) | 730,000 | 649,481 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | |||
5.125% 7/15/23 (a) | 650,000 | 656,500 | |
7% 7/15/24 (a) | 950,000 | 958,911 | |
Trivium Packaging Finance BV 5.5% 8/15/26 (a) | 1,510,000 | 1,564,741 | |
21,589,614 | |||
Diversified Financial Services - 5.1% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 4.625% 10/30/20 | 1,965,000 | 1,995,853 | |
Aircastle Ltd. 5% 4/1/23 | 755,000 | 821,870 | |
Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (a) | 2,135,000 | 2,124,325 | |
CIT Group, Inc.: | |||
4.125% 3/9/21 | 1,570,000 | 1,585,700 | |
5% 8/15/22 | 472,000 | 493,485 | |
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (a) | 2,515,000 | 2,318,880 | |
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (a) | 3,315,000 | 3,447,666 | |
FLY Leasing Ltd.: | |||
5.25% 10/15/24 | 8,005,000 | 8,205,125 | |
6.375% 10/15/21 | 2,460,000 | 2,490,750 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.75% 9/15/24 (a) | 3,325,000 | 3,391,500 | |
5.25% 5/15/27 (a) | 3,325,000 | 3,341,625 | |
6.25% 2/1/22 | 4,960,000 | 5,044,915 | |
6.25% 5/15/26 | 7,675,000 | 7,867,719 | |
6.375% 12/15/25 | 5,145,000 | 5,312,213 | |
6.75% 2/1/24 | 1,565,000 | 1,619,775 | |
Intelsat Connect Finance SA 9.5% 2/15/23 (a) | 3,595,000 | 2,121,050 | |
International Lease Finance Corp. 5.875% 8/15/22 | 570,000 | 621,064 | |
MSCI, Inc.: | |||
4% 11/15/29 (a) | 5,785,000 | 5,994,996 | |
4.75% 8/1/26 (a) | 1,485,000 | 1,542,113 | |
5.375% 5/15/27 (a) | 1,070,000 | 1,144,900 | |
5.75% 8/15/25 (a) | 1,390,000 | 1,438,650 | |
Navient Corp.: | |||
5% 10/26/20 | 345,000 | 348,347 | |
5.5% 1/25/23 | 990,000 | 1,012,275 | |
5.875% 10/25/24 | 6,145,000 | 6,298,748 | |
6.5% 6/15/22 | 2,235,000 | 2,329,988 | |
6.625% 7/26/21 | 675,000 | 694,926 | |
7.25% 1/25/22 | 1,185,000 | 1,247,213 | |
7.25% 9/25/23 | 3,035,000 | 3,262,625 | |
8% 3/25/20 | 2,730,000 | 2,739,555 | |
Park Aerospace Holdings Ltd.: | |||
5.25% 8/15/22 (a) | 3,990,000 | 4,246,148 | |
5.5% 2/15/24 (a) | 6,275,000 | 6,900,193 | |
Quicken Loans, Inc. 5.25% 1/15/28 (a) | 1,710,000 | 1,769,337 | |
Radiate Holdco LLC/Radiate Financial Service Ltd.: | |||
6.625% 2/15/25 (a) | 7,120,000 | 7,137,800 | |
6.875% 2/15/23 (a) | 4,015,000 | 4,035,075 | |
Springleaf Finance Corp.: | |||
7.125% 3/15/26 | 7,605,000 | 8,441,550 | |
8.25% 12/15/20 | 1,195,000 | 1,241,306 | |
Ypso Finance BIS SA 10.5% 5/15/27 (a) | 4,240,000 | 4,833,600 | |
119,462,860 | |||
Diversified Media - 0.3% | |||
E.W. Scripps Co. 5.125% 5/15/25 (a) | 1,875,000 | 1,879,688 | |
Nielsen Co. SARL (Luxembourg): | |||
5% 2/1/25 (a) | 1,645,000 | 1,624,438 | |
5.5% 10/1/21 (a) | 175,000 | 175,219 | |
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (a) | 875,000 | 870,625 | |
Viacom, Inc.: | |||
5.875% 2/28/57 (c) | 1,375,000 | 1,402,500 | |
6.25% 2/28/57 (c) | 1,850,000 | 1,956,375 | |
7,908,845 | |||
Energy - 12.1% | |||
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||
5.375% 9/15/24 | 785,000 | 592,675 | |
5.75% 3/1/27 (a) | 4,350,000 | 2,958,000 | |
5.75% 1/15/28 (a) | 2,220,000 | 1,523,919 | |
Antero Resources Finance Corp. 5.375% 11/1/21 | 2,780,000 | 2,317,825 | |
Archrock Partners LP / Archrock Partners Finance Corp.: | |||
6.25% 4/1/28 (a) | 2,475,000 | 2,382,435 | |
6.875% 4/1/27 (a) | 700,000 | 710,969 | |
Baytex Energy Corp. 5.625% 6/1/24 (a) | 830,000 | 747,000 | |
California Resources Corp. 8% 12/15/22 (a) | 28,815,000 | 6,627,450 | |
Cheniere Energy Partners LP: | |||
5.25% 10/1/25 | 6,470,000 | 6,486,304 | |
5.625% 10/1/26 | 2,155,000 | 2,165,775 | |
Chesapeake Energy Corp.: | |||
4.875% 4/15/22 | 3,200,000 | 1,632,000 | |
5.375% 6/15/21 | 985,000 | 683,787 | |
5.75% 3/15/23 | 5,440,000 | 2,230,400 | |
6.625% 8/15/20 | 4,030,000 | 3,526,250 | |
7% 10/1/24 | 2,530,000 | 885,500 | |
11.5% 1/1/25 (a) | 8,008,000 | 4,784,780 | |
Citgo Holding, Inc. 9.25% 8/1/24 (a) | 2,625,000 | 2,730,000 | |
Citgo Petroleum Corp. 6.25% 8/15/22 (a) | 1,365,000 | 1,365,000 | |
CNX Midstream Partners LP 6.5% 3/15/26 (a) | 1,030,000 | 844,600 | |
Compressco Partners LP/Compressco Finance, Inc. 7.5% 4/1/25 (a) | 535,000 | 525,638 | |
Comstock Escrow Corp. 9.75% 8/15/26 | 6,330,000 | 5,301,375 | |
Consolidated Energy Finance SA: | |||
3 month U.S. LIBOR + 3.750% 5.6436% 6/15/22 (a)(c)(d) | 8,045,000 | 7,964,804 | |
6.5% 5/15/26 (a) | 8,405,000 | 8,214,585 | |
6.875% 6/15/25 (a) | 5,130,000 | 4,991,490 | |
Covey Park Energy LLC 7.5% 5/15/25 (a) | 7,955,000 | 5,864,426 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 5.75% 4/1/25 | 1,045,000 | 1,021,488 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (a) | 4,990,000 | 4,653,175 | |
5.75% 2/15/28 (a) | 4,990,000 | 4,715,550 | |
DCP Midstream LLC 5.85% 5/21/43 (a)(c) | 3,410,000 | 3,069,000 | |
DCP Midstream Operating LP 5.375% 7/15/25 | 4,985,000 | 5,221,887 | |
Denbury Resources, Inc.: | |||
7.75% 2/15/24 (a) | 13,153,000 | 7,372,257 | |
9% 5/15/21 (a) | 355,000 | 310,625 | |
9.25% 3/31/22 (a) | 4,105,000 | 3,284,000 | |
EG Global Finance PLC: | |||
6.75% 2/7/25 (a) | 12,050,000 | 11,778,875 | |
8.5% 10/30/25 (a) | 2,520,000 | 2,594,844 | |
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (a) | 4,185,000 | 4,089,582 | |
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 5/15/26 (a)(e) | 19,900,000 | 11,741,000 | |
Exterran Energy Solutions LP 8.125% 5/1/25 | 885,000 | 868,362 | |
Hess Infrastructure Partners LP 5.625% 2/15/26 (a) | 6,900,000 | 6,882,888 | |
Hess Midstream Partners LP 5.125% 6/15/28 (a) | 2,905,000 | 2,832,375 | |
Hilcorp Energy I LP/Hilcorp Finance Co. 5% 12/1/24 (a) | 1,735,000 | 1,370,650 | |
Jonah Energy LLC 7.25% 10/15/25 (a) | 10,465,000 | 2,511,600 | |
KLX Energy Services Holdings, Inc. 11.5% 11/1/25 (a) | 2,685,000 | 2,134,575 | |
Magnolia Oil & Gas Operating LLC 6% 8/1/26 (a) | 2,415,000 | 2,415,000 | |
MEG Energy Corp.: | |||
7% 3/31/24 (a) | 6,096,000 | 5,775,960 | |
7.125% 2/1/27 (a) | 4,990,000 | 4,706,917 | |
MPLX LP 6.375% 5/1/24 (a) | 1,185,000 | 1,231,999 | |
Murphy Oil Corp. 5.875% 12/1/27 | 3,290,000 | 3,211,303 | |
Nabors Industries, Inc. 5.75% 2/1/25 | 4,196,000 | 3,010,630 | |
Neptune Energy Bondco PLC 6.625% 5/15/25 (a) | 1,065,000 | 985,125 | |
Nine Energy Service, Inc. 8.75% 11/1/23 (a) | 600,000 | 477,000 | |
Noble Holding International Ltd.: | |||
5.25% 3/15/42 | 620,000 | 161,200 | |
6.05% 3/1/41 | 835,000 | 225,450 | |
6.2% 8/1/40 | 2,270,000 | 635,600 | |
7.75% 1/15/24 | 1,886,000 | 762,265 | |
7.95% 4/1/25 (c) | 3,080,000 | 1,160,144 | |
Oasis Petroleum, Inc. 6.875% 3/15/22 | 563,000 | 441,955 | |
Pacific Drilling SA 12% 4/1/24 pay-in-kind (a)(c) | 154,146 | 39,950 | |
Parsley Energy LLC/Parsley: | |||
5.25% 8/15/25 (a) | 775,000 | 767,250 | |
5.375% 1/15/25 (a) | 4,270,000 | 4,270,085 | |
5.625% 10/15/27 (a) | 1,225,000 | 1,214,281 | |
6.25% 6/1/24 (a) | 4,390,000 | 4,596,769 | |
PBF Holding Co. LLC/PBF Finance Corp.: | |||
6% 2/15/28 (a) | 5,755,000 | 5,683,063 | |
7.25% 6/15/25 | 2,085,000 | 2,144,068 | |
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 | 3,935,000 | 4,030,621 | |
Peabody Energy Corp.: | |||
6% 3/31/22 (a) | 545,000 | 465,703 | |
6.375% 3/31/25 (a) | 680,000 | 467,500 | |
Pride International, Inc. 7.875% 8/15/40 | 2,554,000 | 947,355 | |
Sanchez Energy Corp.: | |||
6.125% 1/15/23 (e) | 7,455,000 | 223,650 | |
7.25% 2/15/23 (a)(e) | 14,865,000 | 8,175,750 | |
SESI LLC 7.75% 9/15/24 | 985,000 | 475,272 | |
SM Energy Co.: | |||
5% 1/15/24 | 2,930,000 | 2,300,636 | |
5.625% 6/1/25 | 3,115,000 | 2,411,540 | |
6.625% 1/15/27 | 1,145,000 | 887,375 | |
6.75% 9/15/26 | 805,000 | 635,950 | |
Southwestern Energy Co.: | |||
7.5% 4/1/26 | 3,340,000 | 2,546,750 | |
7.75% 10/1/27 | 2,095,000 | 1,586,963 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.875% 1/15/23 | 2,335,000 | 2,328,042 | |
5.5% 2/15/26 | 1,885,000 | 1,913,464 | |
6% 4/15/27 | 5,495,000 | 5,632,375 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
4.25% 11/15/23 | 3,100,000 | 3,070,550 | |
5.25% 5/1/23 | 710,000 | 708,296 | |
5.375% 2/1/27 | 1,025,000 | 1,050,625 | |
5.5% 3/1/30 (a) | 2,470,000 | 2,444,559 | |
5.875% 4/15/26 | 3,295,000 | 3,394,180 | |
6.5% 7/15/27 | 1,275,000 | 1,326,000 | |
6.75% 3/15/24 | 4,245,000 | 4,324,679 | |
6.875% 1/15/29 | 2,255,000 | 2,432,581 | |
TerraForm Power Operating LLC: | |||
4.25% 1/31/23 (a) | 2,000,000 | 2,032,540 | |
4.75% 1/15/30 (a) | 8,295,000 | 8,616,431 | |
5% 1/31/28 (a) | 1,610,000 | 1,732,843 | |
Transocean Sentry Ltd. 5.375% 5/15/23 (a) | 2,705,000 | 2,617,088 | |
U.S.A. Compression Partners LP: | |||
6.875% 4/1/26 | 1,975,000 | 1,911,010 | |
6.875% 9/1/27 | 390,000 | 377,832 | |
Ultra Resources, Inc. 11% 7/12/24 pay-in-kind | 1,706,837 | 204,820 | |
Valaris PLC: | |||
4.5% 10/1/24 | 4,290,000 | 1,801,800 | |
5.2% 3/15/25 | 2,980,000 | 1,147,300 | |
5.75% 10/1/44 | 1,156,000 | 353,308 | |
7.75% 2/1/26 | 2,135,000 | 843,218 | |
Viper Energy Partners LP 5.375% 11/1/27 (a) | 1,105,000 | 1,123,012 | |
W&T Offshore, Inc. 9.75% 11/1/23 (a) | 2,455,000 | 2,178,813 | |
Weatherford International Ltd. 11% 12/1/24 (a) | 3,802,000 | 3,636,233 | |
280,782,398 | |||
Entertainment/Film - 0.3% | |||
Allen Media LLC 10.5% 2/15/28 (a) | 2,335,000 | 2,241,600 | |
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. 5.625% 2/15/24 | 400,000 | 407,500 | |
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (a)(c)(e) | 11,300,282 | 5,198,130 | |
7,847,230 | |||
Environmental - 0.4% | |||
Covanta Holding Corp. 6% 1/1/27 | 970,000 | 999,100 | |
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (a) | 8,490,000 | 8,575,070 | |
Waste Pro U.S.A., Inc. 5.5% 2/15/26 (a) | 315,000 | 307,237 | |
9,881,407 | |||
Food & Drug Retail - 0.5% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.5% 2/15/23 (a) | 2,960,000 | 2,963,700 | |
4.625% 1/15/27 (a) | 3,435,000 | 3,383,475 | |
4.875% 2/15/30 (a) | 3,395,000 | 3,395,000 | |
Performance Food Group, Inc. 5.5% 6/1/24 (a) | 1,550,000 | 1,565,500 | |
Tops Markets LLC 13% 11/19/24 pay-in-kind (c) | 603,781 | 585,668 | |
11,893,343 | |||
Food/Beverage/Tobacco - 3.0% | |||
C&S Group Enterprises LLC 5.375% 7/15/22 (a) | 3,700,000 | 3,755,870 | |
Cott Holdings, Inc. 5.5% 4/1/25 (a) | 1,555,000 | 1,591,278 | |
Darling International, Inc. 5.25% 4/15/27 (a) | 2,760,000 | 2,898,000 | |
ESAL GmbH 6.25% 2/5/23 (a) | 1,103,000 | 1,107,147 | |
JBS Investments II GmbH: | |||
5.75% 1/15/28 (a) | 2,330,000 | 2,434,850 | |
7% 1/15/26 (a) | 2,260,000 | 2,412,550 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
5.75% 6/15/25 (a) | 12,745,000 | 13,047,694 | |
5.875% 7/15/24 (a) | 8,690,000 | 8,842,249 | |
6.75% 2/15/28 (a) | 6,150,000 | 6,668,445 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
5.5% 1/15/30 (a) | 4,395,000 | 4,638,087 | |
6.5% 4/15/29 (a) | 3,640,000 | 3,948,308 | |
KeHE Distributors LLC / KeHE Finance Corp. 8.625% 10/15/26 (a) | 2,130,000 | 2,236,500 | |
Lamb Weston Holdings, Inc.: | |||
4.625% 11/1/24 (a) | 1,055,000 | 1,098,076 | |
4.875% 11/1/26 (a) | 320,000 | 332,016 | |
Post Holdings, Inc.: | |||
4.625% 4/15/30 (a) | 1,550,000 | 1,527,665 | |
5% 8/15/26 (a) | 6,160,000 | 6,283,200 | |
5.75% 3/1/27 (a) | 5,865,000 | 6,103,383 | |
68,925,318 | |||
Gaming - 2.3% | |||
Boyd Gaming Corp.: | |||
6% 8/15/26 | 680,000 | 698,496 | |
6.375% 4/1/26 | 395,000 | 411,788 | |
Caesars Resort Collection LLC 5.25% 10/15/25 (a) | 9,185,000 | 9,019,854 | |
Chukchansi Economic Development Authority 9.75% 5/30/20 (a)(e) | 2,860,873 | 1,430,437 | |
Downstream Development Authority 10.5% 2/15/23 (a) | 1,075,000 | 1,085,750 | |
Eldorado Resorts, Inc. 6% 9/15/26 | 1,285,000 | 1,394,225 | |
Golden Entertainment, Inc. 7.625% 4/15/26 (a) | 935,000 | 998,113 | |
International Game Technology PLC 6.25% 1/15/27 (a) | 960,000 | 1,014,739 | |
MCE Finance Ltd.: | |||
4.875% 6/6/25 (a) | 2,585,000 | 2,597,893 | |
5.25% 4/26/26 (a) | 2,625,000 | 2,646,224 | |
MGM Growth Properties Operating Partnership LP: | |||
4.5% 9/1/26 | 4,310,000 | 4,460,850 | |
5.75% 2/1/27 | 2,590,000 | 2,836,050 | |
MGM Mirage, Inc.: | |||
5.5% 4/15/27 | 2,760,000 | 2,979,972 | |
7.75% 3/15/22 | 660,000 | 721,050 | |
Scientific Games Corp.: | |||
5% 10/15/25 (a) | 2,730,000 | 2,738,531 | |
6.625% 5/15/21 | 5,350,000 | 5,343,313 | |
Stars Group Holdings BV 7% 7/15/26 (a) | 2,935,000 | 3,155,125 | |
Station Casinos LLC 5% 10/1/25 (a) | 1,085,000 | 1,090,425 | |
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875% 5/15/25 (a) | 3,915,000 | 3,836,700 | |
Transocean, Inc. 7.25% 11/1/25 (a) | 5,060,000 | 4,187,150 | |
Twin River Worldwide Holdings, Inc. 6.75% 6/1/27 (a) | 1,685,000 | 1,755,441 | |
Wynn Macau Ltd. 5.5% 10/1/27 (a) | 100,000 | 100,938 | |
54,503,064 | |||
Healthcare - 9.2% | |||
BCPE Cycle Merger Sub II, Inc. 10.625% 7/15/27 (a) | 3,955,000 | 4,004,438 | |
Catalent Pharma Solutions 5% 7/15/27 (a) | 825,000 | 859,031 | |
Centene Corp.: | |||
3.375% 2/15/30 (a) | 1,990,000 | 1,990,000 | |
4.25% 12/15/27 (a) | 2,460,000 | 2,530,848 | |
4.625% 12/15/29 (a) | 3,825,000 | 4,092,750 | |
5.25% 4/1/25 (a) | 4,820,000 | 4,958,575 | |
5.375% 6/1/26 (a) | 4,775,000 | 5,025,688 | |
5.375% 8/15/26 (a) | 1,775,000 | 1,863,750 | |
Charles River Laboratories International, Inc.: | |||
4.25% 5/1/28 (a) | 735,000 | 739,631 | |
5.5% 4/1/26 (a) | 1,235,000 | 1,298,510 | |
Community Health Systems, Inc.: | |||
6.25% 3/31/23 | 8,955,000 | 8,971,835 | |
8% 3/15/26 (a) | 14,545,000 | 15,020,622 | |
8.125% 6/30/24 (a) | 1,835,000 | 1,688,200 | |
8.625% 1/15/24 (a) | 3,285,000 | 3,432,102 | |
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 4,000,000 | 4,160,000 | |
DaVita HealthCare Partners, Inc. 5% 5/1/25 | 9,390,000 | 9,528,503 | |
Encompass Health Corp.: | |||
5.75% 11/1/24 | 3,083,000 | 3,110,223 | |
5.75% 9/15/25 | 4,660,000 | 4,819,232 | |
HCA Holdings, Inc.: | |||
4.5% 2/15/27 | 615,000 | 680,036 | |
5.25% 6/15/26 | 645,000 | 737,771 | |
5.375% 2/1/25 | 6,835,000 | 7,556,093 | |
5.625% 9/1/28 | 3,260,000 | 3,694,819 | |
5.875% 5/1/23 | 1,150,000 | 1,256,375 | |
5.875% 2/15/26 | 5,470,000 | 6,174,974 | |
5.875% 2/1/29 | 1,355,000 | 1,563,033 | |
6.25% 2/15/21 | 1,045,000 | 1,085,546 | |
Hologic, Inc.: | |||
4.375% 10/15/25 (a) | 3,360,000 | 3,421,992 | |
4.625% 2/1/28 (a) | 685,000 | 710,489 | |
IMS Health, Inc.: | |||
5% 10/15/26 (a) | 1,750,000 | 1,805,309 | |
5% 5/15/27 (a) | 1,385,000 | 1,431,744 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
5% 10/15/27 | 6,120,000 | 6,386,281 | |
5.25% 8/1/26 | 4,066,000 | 4,230,083 | |
5.5% 5/1/24 | 1,235,000 | 1,256,613 | |
6.375% 3/1/24 | 3,280,000 | 3,382,500 | |
Ortho-Clinical Diagnostics, Inc. 7.25% 2/1/28 (a) | 1,015,000 | 997,238 | |
Polaris Intermediate Corp. 8.5% 12/1/22 pay-in-kind (a)(c) | 3,995,000 | 3,396,150 | |
Sabra Health Care LP/Sabra Capital Corp. 3.9% 10/15/29 | 2,643,000 | 2,803,430 | |
Service Corp. International 5.125% 6/1/29 | 1,845,000 | 1,994,906 | |
SP Finco LLC 6.75% 7/1/25 (a) | 250,000 | 245,450 | |
Surgery Center Holdings, Inc. 10% 4/15/27 (a) | 2,760,000 | 3,015,300 | |
Tenet Healthcare Corp.: | |||
4.625% 7/15/24 | 9,240,000 | 9,240,185 | |
5.125% 5/1/25 | 12,665,000 | 12,759,988 | |
6.25% 2/1/27 (a) | 6,915,000 | 7,243,463 | |
6.75% 6/15/23 | 10,590,000 | 11,331,300 | |
8.125% 4/1/22 | 10,395,000 | 11,262,463 | |
Valeant Pharmaceuticals International, Inc.: | |||
5% 1/30/28 (a) | 4,015,000 | 3,962,283 | |
5.25% 1/30/30 (a) | 2,120,000 | 2,096,150 | |
5.5% 3/1/23 (a) | 661,000 | 660,174 | |
5.75% 8/15/27 (a) | 640,000 | 680,800 | |
5.875% 5/15/23 (a) | 323,000 | 324,211 | |
7% 3/15/24 (a) | 6,265,000 | 6,450,319 | |
8.5% 1/31/27 (a) | 2,815,000 | 3,088,843 | |
9% 12/15/25 (a) | 1,775,000 | 1,976,392 | |
9.25% 4/1/26 (a) | 5,560,000 | 6,212,299 | |
Vizient, Inc. 6.25% 5/15/27 (a) | 680,000 | 725,900 | |
213,934,840 | |||
Homebuilders/Real Estate - 1.9% | |||
Alliant Holdings Intermediate LLC 6.75% 10/15/27 (a) | 3,345,000 | 3,336,704 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (a) | 1,055,000 | 1,068,082 | |
Howard Hughes Corp. 5.375% 3/15/25 (a) | 5,770,000 | 5,840,394 | |
Kennedy-Wilson, Inc. 5.875% 4/1/24 | 1,570,000 | 1,595,544 | |
Lennar Corp.: | |||
4.75% 11/29/27 | 1,605,000 | 1,769,513 | |
5% 6/15/27 | 780,000 | 871,798 | |
5.25% 6/1/26 | 1,791,000 | 1,973,682 | |
5.875% 11/15/24 | 520,000 | 567,684 | |
M/I Homes, Inc. 5.625% 8/1/25 | 480,000 | 500,400 | |
Mattamy Group Corp. 6.5% 10/1/25 (a) | 800,000 | 858,296 | |
Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25% 12/1/21 (a) | 615,000 | 618,075 | |
Starwood Property Trust, Inc.: | |||
4.75% 3/15/25 | 2,420,000 | 2,468,400 | |
5% 12/15/21 | 865,000 | 855,286 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.625% 3/1/24 (a) | 2,265,000 | 2,446,200 | |
5.75% 1/15/28 (a) | 2,945,000 | 3,253,872 | |
5.875% 6/15/27 (a) | 2,250,000 | 2,520,000 | |
6% 9/1/23 (a) | 540,000 | 557,442 | |
VICI Properties, Inc.: | |||
3.5% 2/15/25 (a) | 3,190,000 | 3,194,945 | |
3.75% 2/15/27 (a) | 2,460,000 | 2,441,550 | |
4.125% 8/15/30 (a) | 3,070,000 | 3,073,838 | |
4.25% 12/1/26 (a) | 1,655,000 | 1,671,716 | |
4.625% 12/1/29 (a) | 1,655,000 | 1,708,788 | |
William Lyon Homes, Inc. 7% 8/15/22 | 142,000 | 142,043 | |
43,334,252 | |||
Hotels - 0.4% | |||
Hilton Domestic Operating Co., Inc. 5.125% 5/1/26 | 8,990,000 | 9,229,134 | |
Insurance - 0.7% | |||
Acrisure LLC / Acrisure Finance, Inc.: | |||
7% 11/15/25 (a) | 5,180,000 | 5,061,896 | |
8.125% 2/15/24 (a) | 1,775,000 | 1,893,126 | |
AmWINS Group, Inc. 7.75% 7/1/26 (a) | 3,835,000 | 3,981,229 | |
HUB International Ltd. 7% 5/1/26 (a) | 1,395,000 | 1,408,880 | |
USIS Merger Sub, Inc. 6.875% 5/1/25 (a) | 3,250,000 | 3,234,985 | |
15,580,116 | |||
Leisure - 0.1% | |||
Studio City Co. Ltd. 7.25% 11/30/21 (a) | 1,295,000 | 1,311,997 | |
Voc Escrow Ltd. 5% 2/15/28 (a) | 1,800,000 | 1,606,500 | |
2,918,497 | |||
Metals/Mining - 2.3% | |||
Alpha Natural Resources, Inc. 9.75% 4/15/18 (b)(e) | 1,099,000 | 0 | |
Arconic, Inc. 5.95% 2/1/37 | 1,505,000 | 1,670,204 | |
Compass Minerals International, Inc. 6.75% 12/1/27 (a) | 4,975,000 | 5,273,500 | |
Constellium NV 5.875% 2/15/26 (a) | 1,240,000 | 1,260,150 | |
First Quantum Minerals Ltd.: | |||
6.5% 3/1/24 (a) | 6,570,000 | 6,168,113 | |
6.875% 3/1/26 (a) | 5,275,000 | 5,004,656 | |
7.25% 5/15/22 (a) | 900,000 | 883,575 | |
7.25% 4/1/23 (a) | 6,215,000 | 5,966,400 | |
7.5% 4/1/25 (a) | 6,770,000 | 6,431,500 | |
FMG Resources (August 2006) Pty Ltd.: | |||
4.75% 5/15/22 (a) | 1,765,000 | 1,796,223 | |
5.125% 3/15/23 (a) | 1,530,000 | 1,572,381 | |
5.125% 5/15/24 (a) | 770,000 | 796,627 | |
Freeport-McMoRan, Inc.: | |||
3.55% 3/1/22 | 2,058,000 | 2,076,316 | |
3.875% 3/15/23 | 2,960,000 | 2,975,688 | |
5.4% 11/14/34 | 1,070,000 | 1,043,630 | |
5.45% 3/15/43 | 7,175,000 | 6,959,750 | |
Nufarm Australia Ltd. 5.75% 4/30/26 (a) | 3,585,000 | 3,531,225 | |
53,409,938 | |||
Paper - 0.2% | |||
Berry Global Escrow Corp.: | |||
4.875% 7/15/26 (a) | 1,355,000 | 1,378,306 | |
5.625% 7/15/27 (a) | 1,110,000 | 1,154,345 | |
Flex Acquisition Co., Inc.: | |||
6.875% 1/15/25 (a) | 2,080,000 | 2,022,842 | |
7.875% 7/15/26 (a) | 275,000 | 279,125 | |
4,834,618 | |||
Restaurants - 1.0% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
4.25% 5/15/24 (a) | 3,287,000 | 3,290,123 | |
4.375% 1/15/28 (a) | 2,745,000 | 2,731,275 | |
5% 10/15/25 (a) | 1,875,000 | 1,883,588 | |
Golden Nugget, Inc.: | |||
6.75% 10/15/24 (a) | 7,195,000 | 7,066,929 | |
8.75% 10/1/25 (a) | 1,385,000 | 1,390,831 | |
KFC Holding Co./Pizza Hut Holding LLC: | |||
4.75% 6/1/27 (a) | 1,325,000 | 1,354,813 | |
5% 6/1/24 (a) | 6,145,000 | 6,193,423 | |
23,910,982 | |||
Services - 2.1% | |||
ADT Corp. 4.875% 7/15/32 (a) | 1,075,000 | 1,016,090 | |
Aramark Services, Inc. 5% 4/1/25 (a) | 1,235,000 | 1,275,138 | |
ASGN, Inc. 4.625% 5/15/28 (a) | 5,875,000 | 5,809,200 | |
Avantor, Inc. 6% 10/1/24 (a) | 740,000 | 776,689 | |
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (a) | 5,780,000 | 5,621,050 | |
CDK Global, Inc.: | |||
4.875% 6/1/27 | 460,000 | 473,800 | |
5.25% 5/15/29 (a) | 1,305,000 | 1,391,456 | |
5.875% 6/15/26 | 1,615,000 | 1,689,775 | |
CoreCivic, Inc.: | |||
4.625% 5/1/23 | 255,000 | 255,561 | |
5% 10/15/22 | 1,832,000 | 1,869,556 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (a) | 1,900,000 | 1,953,438 | |
IHS Markit Ltd.: | |||
4% 3/1/26 (a) | 400,000 | 434,564 | |
4.75% 2/15/25(a) | 955,000 | 1,058,789 | |
5% 11/1/22 (a) | 200,000 | 216,135 | |
KAR Auction Services, Inc. 5.125% 6/1/25 (a) | 810,000 | 832,194 | |
Laureate Education, Inc. 8.25% 5/1/25 (a) | 6,120,000 | 6,487,996 | |
Ritchie Bros. Auctioneers, Inc. 5.375% 1/15/25 (a) | 830,000 | 857,332 | |
Sotheby's 7.375% 10/15/27 (a) | 5,255,000 | 5,228,725 | |
Tempo Acquisition LLC 6.75% 6/1/25 (a) | 3,310,000 | 3,294,509 | |
The GEO Group, Inc.: | |||
5.125% 4/1/23 | 1,665,000 | 1,573,758 | |
5.875% 10/15/24 | 685,000 | 640,475 | |
6% 4/15/26 | 6,055,000 | 5,479,775 | |
48,236,005 | |||
Steel - 0.3% | |||
Allegheny Technologies, Inc. 5.875% 12/1/27 | 2,480,000 | 2,486,200 | |
Commercial Metals Co. 5.75% 4/15/26 | 2,140,000 | 2,209,550 | |
Infrabuild Australia Pty Ltd. 12% 10/1/24 (a) | 2,225,000 | 2,277,844 | |
6,973,594 | |||
Super Retail - 0.3% | |||
Asbury Automotive Group, Inc.: | |||
4.5% 3/1/28 (a) | 1,275,000 | 1,277,550 | |
4.75% 3/1/30 (a) | 1,270,000 | 1,292,225 | |
6% 12/15/24 | 2,565,000 | 2,641,950 | |
Sonic Automotive, Inc. 6.125% 3/15/27 | 1,680,000 | 1,755,600 | |
The William Carter Co. 5.625% 3/15/27 (a) | 795,000 | 845,820 | |
7,813,145 | |||
Technology - 3.9% | |||
Ascend Learning LLC: | |||
6.875% 8/1/25 (a) | 110,000 | 113,759 | |
6.875% 8/1/25 (a) | 1,055,000 | 1,086,650 | |
Banff Merger Sub, Inc. 9.75% 9/1/26 (a) | 11,460,000 | 11,516,727 | |
Camelot Finance SA 4.5% 11/1/26 (a) | 2,285,000 | 2,296,197 | |
CDW LLC/CDW Finance Corp. 4.25% 4/1/28 | 2,960,000 | 3,000,019 | |
Ensemble S Merger Sub, Inc. 9% 9/30/23 (a) | 5,995,000 | 6,152,369 | |
Entegris, Inc. 4.625% 2/10/26 (a) | 1,735,000 | 1,789,219 | |
Fair Isaac Corp. 5.25% 5/15/26 (a) | 2,260,000 | 2,502,950 | |
Gartner, Inc. 5.125% 4/1/25 (a) | 905,000 | 934,503 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 5.25% 12/1/27 (a) | 2,235,000 | 2,324,400 | |
Itron, Inc. 5% 1/15/26 (a) | 745,000 | 766,832 | |
j2 Cloud Services LLC/j2 Global Communications, Inc. 6% 7/15/25 (a) | 1,775,000 | 1,850,438 | |
Match Group, Inc.: | |||
4.125% 8/1/30 (a) | 2,335,000 | 2,287,600 | |
5% 12/15/27 (a) | 1,235,000 | 1,278,225 | |
5.625% 2/15/29 (a) | 2,035,000 | 2,149,469 | |
Nortonlifelock, Inc.: | |||
4.2% 9/15/20 | 655,000 | 657,918 | |
5% 4/15/25 (a) | 6,075,000 | 6,167,109 | |
Nuance Communications, Inc. 5.625% 12/15/26 | 1,035,000 | 1,091,925 | |
Open Text Corp.: | |||
3.875% 2/15/28 (a) | 3,095,000 | 3,080,144 | |
5.875% 6/1/26 (a) | 7,390,000 | 7,824,532 | |
Open Text Holdings, Inc. 4.125% 2/15/30 (a) | 3,095,000 | 3,079,525 | |
Qorvo, Inc. 4.375% 10/15/29 (a) | 1,655,000 | 1,721,200 | |
Rackspace Hosting, Inc. 8.625% 11/15/24 (a) | 4,375,000 | 4,189,063 | |
Sensata Technologies BV 5% 10/1/25 (a) | 1,910,000 | 2,010,466 | |
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (a) | 7,795,000 | 8,233,547 | |
SS&C Technologies, Inc. 5.5% 9/30/27 (a) | 1,045,000 | 1,099,863 | |
TTM Technologies, Inc. 5.625% 10/1/25 (a) | 3,340,000 | 3,406,800 | |
VeriSign, Inc. 4.625% 5/1/23 | 695,000 | 700,720 | |
Veritas U.S., Inc./Veritas Bermuda Ltd. 10.5% 2/1/24 (a) | 8,255,000 | 7,058,025 | |
90,370,194 | |||
Telecommunications - 7.8% | |||
Altice Financing SA: | |||
5% 1/15/28 (a) | 2,375,000 | 2,303,513 | |
7.5% 5/15/26 (a) | 10,700,000 | 11,288,500 | |
Altice Finco SA 7.625% 2/15/25 (a) | 7,615,000 | 7,929,119 | |
C&W Senior Financing Designated Activity Co.: | |||
6.875% 9/15/27 (a) | 4,165,000 | 4,394,075 | |
7.5% 10/15/26 (a) | 3,905,000 | 4,100,250 | |
CenturyLink, Inc.: | |||
4% 2/15/27 (a) | 4,225,000 | 4,245,703 | |
5.125% 12/15/26 (a) | 5,000,000 | 5,037,500 | |
Citizens Utilities Co. 7.05% 10/1/46 | 2,165,000 | 995,900 | |
Cogent Communications Group, Inc. 5.375% 3/1/22 (a) | 785,000 | 804,625 | |
Equinix, Inc. 5.375% 5/15/27 | 1,410,000 | 1,519,134 | |
Front Range BidCo, Inc.: | |||
4% 3/1/27 (a)(f) | 3,835,000 | 3,724,744 | |
6.125% 3/1/28 (a)(f) | 2,115,000 | 2,085,919 | |
Frontier Communications Corp.: | |||
8% 4/1/27 (a) | 4,265,000 | 4,424,938 | |
8.5% 4/1/26 (a) | 5,610,000 | 5,680,125 | |
11% 9/15/25 | 6,805,000 | 3,113,288 | |
Intelsat Jackson Holdings SA 8.5% 10/15/24 (a) | 2,965,000 | 2,559,773 | |
Intelsat Luxembourg SA 8.125% 6/1/23 | 9,614,000 | 4,037,880 | |
Level 3 Financing, Inc.: | |||
3.875% 11/15/29 (a) | 4,935,000 | 5,235,542 | |
5.125% 5/1/23 | 2,740,000 | 2,746,850 | |
5.375% 8/15/22 | 1,774,000 | 1,781,983 | |
5.375% 1/15/24 | 4,265,000 | 4,254,423 | |
5.375% 5/1/25 | 885,000 | 903,435 | |
5.625% 2/1/23 | 830,000 | 833,113 | |
Neptune Finco Corp. 10.875% 10/15/25 (a) | 4,136,000 | 4,538,019 | |
Qwest Corp. 6.75% 12/1/21 | 500,000 | 528,750 | |
Sable International Finance Ltd. 5.75% 9/7/27 (a) | 4,090,000 | 4,263,825 | |
SBA Communications Corp. 3.875% 2/15/27 (a) | 4,955,000 | 5,055,587 | |
SFR Group SA: | |||
5.5% 1/15/28 (a) | 4,825,000 | 4,825,000 | |
7.375% 5/1/26 (a) | 7,465,000 | 7,828,546 | |
8.125% 2/1/27 (a) | 8,970,000 | 9,775,327 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 5,880,000 | 7,002,727 | |
8.75% 3/15/32 | 11,195,000 | 15,547,616 | |
Sprint Communications, Inc. 6% 11/15/22 | 2,375,000 | 2,547,425 | |
Sprint Corp.: | |||
7.125% 6/15/24 | 2,950,000 | 3,350,699 | |
7.25% 9/15/21 | 1,845,000 | 1,958,191 | |
7.625% 3/1/26 | 1,220,000 | 1,442,711 | |
7.875% 9/15/23 | 10,285,000 | 11,759,149 | |
Telecom Italia Capital SA: | |||
6% 9/30/34 | 510,000 | 573,750 | |
6.375% 11/15/33 | 285,000 | 330,366 | |
Telecom Italia SpA 5.303% 5/30/24 (a) | 2,020,000 | 2,156,350 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (a) | 2,400,000 | 2,532,000 | |
Telesat Canada/Telesat LLC 6.5% 10/15/27 (a) | 1,735,000 | 1,795,725 | |
U.S. West Communications 7.25% 9/15/25 | 545,000 | 637,584 | |
ViaSat, Inc. 5.625% 9/15/25 (a) | 1,070,000 | 1,056,839 | |
Zayo Group LLC/Zayo Capital, Inc.: | |||
5.75% 1/15/27 (a) | 4,765,000 | 4,872,213 | |
6.375% 5/15/25 | 2,725,000 | 2,786,313 | |
181,165,044 | |||
Transportation Ex Air/Rail - 1.0% | |||
Avolon Holdings Funding Ltd.: | |||
3.95% 7/1/24 (a) | 9,000 | 9,363 | |
4.375% 5/1/26 (a) | 7,000 | 7,453 | |
5.125% 10/1/23 (a) | 6,974,000 | 7,474,554 | |
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (a) | 6,980,000 | 4,659,150 | |
Navios Maritime Holdings, Inc.: | |||
7.375% 1/15/22 (a) | 13,390,000 | 6,728,475 | |
11.25% 8/15/22 (a) | 3,540,000 | 2,517,825 | |
Teekay Corp. 9.25% 11/15/22 (a) | 1,990,000 | 2,079,550 | |
23,476,370 | |||
Utilities - 5.6% | |||
Clearway Energy Operating LLC: | |||
4.75% 3/15/28 (a) | 1,475,000 | 1,500,813 | |
5.75% 10/15/25 | 2,375,000 | 2,454,159 | |
DCP Midstream Operating LP 5.125% 5/15/29 | 4,715,000 | 4,632,488 | |
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 | 4,265,000 | 4,414,275 | |
DPL, Inc. 4.35% 4/15/29 (a) | 7,200,000 | 6,727,196 | |
Dynegy, Inc. 5.875% 6/1/23 | 1,745,000 | 1,761,351 | |
InterGen NV 7% 6/30/23 (a) | 30,215,000 | 29,610,700 | |
NextEra Energy Partners LP: | |||
4.25% 9/15/24 (a) | 3,670,000 | 3,694,589 | |
4.5% 9/15/27 (a) | 980,000 | 1,022,155 | |
NRG Energy, Inc.: | |||
5.25% 6/15/29 (a) | 3,050,000 | 3,170,140 | |
5.75% 1/15/28 | 7,270,000 | 7,552,076 | |
6.625% 1/15/27 | 2,740,000 | 2,856,779 | |
NRG Yield Operating LLC 5% 9/15/26 | 1,455,000 | 1,490,364 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (a) | 6,420,743 | 7,127,024 | |
Pacific Gas & Electric Co.: | |||
3.75% 8/15/42 (e) | 350,000 | 350,000 | |
3.95% 12/1/47 (e) | 2,950,000 | 2,979,500 | |
5.4% 1/15/40 (e) | 1,505,000 | 1,711,938 | |
5.8% 3/1/37 (e) | 3,730,000 | 4,252,200 | |
6.05% 3/1/34 (e) | 20,275,000 | 23,138,844 | |
TerraForm Global, Inc. 6.125% 3/1/26 (a) | 2,450,000 | 2,535,750 | |
The AES Corp.: | |||
4% 3/15/21 | 3,125,000 | 3,128,188 | |
4.5% 3/15/23 | 2,065,000 | 2,054,716 | |
4.875% 5/15/23 | 3,418,000 | 3,386,452 | |
5.125% 9/1/27 | 1,815,000 | 1,885,422 | |
Vertiv Group Corp. 9.25% 10/15/24 (a) | 2,450,000 | 2,619,981 | |
Vistra Operations Co. LLC: | |||
5.5% 9/1/26 (a) | 2,595,000 | 2,625,115 | |
5.625% 2/15/27 (a) | 2,000,000 | 2,050,000 | |
130,732,215 | |||
TOTAL NONCONVERTIBLE BONDS | 1,826,609,974 | ||
TOTAL CORPORATE BONDS | |||
(Cost $1,907,238,552) | 1,852,799,431 | ||
Shares | Value | ||
Common Stocks - 1.8% | |||
Automotive & Auto Parts - 0.1% | |||
Chassix Holdings, Inc. warrants 7/29/20 (b)(g) | 3,722 | 7,667 | |
Motors Liquidation Co. GUC Trust (g) | 28,306 | 237,487 | |
UC Holdings, Inc. (b)(g) | 32,168 | 524,017 | |
TOTAL AUTOMOTIVE & AUTO PARTS | 769,171 | ||
Broadcasting - 0.0% | |||
DISH Network Corp. Class A (g) | 16,438 | 551,002 | |
iHeartMedia, Inc. warrants 5/1/39 (g) | 8,204 | 123,956 | |
TOTAL BROADCASTING | 674,958 | ||
Chemicals - 0.0% | |||
Corteva, Inc. | 10,266 | 279,235 | |
Dow, Inc. | 10,266 | 414,849 | |
TOTAL CHEMICALS | 694,084 | ||
Energy - 0.1% | |||
Forbes Energy Services Ltd. (g) | 72,087 | 9,386 | |
Pacific Drilling SA (g) | 323,716 | 504,997 | |
Tidewater, Inc.: | |||
warrants 11/14/42 (g) | 23,695 | 346,658 | |
warrants 11/14/42 (g) | 8,251 | 120,712 | |
Tribune Resources, Inc. (b)(g) | 182,155 | 579,253 | |
Tribune Resources, Inc. warrants 3/30/23 (b)(g) | 51,925 | 25,963 | |
Ultra Petroleum Corp. warrants 7/14/25 (g) | 33,810 | 0 | |
TOTAL ENERGY | 1,586,969 | ||
Food & Drug Retail - 0.3% | |||
Southeastern Grocers, Inc. (b)(g) | 158,789 | 6,254,699 | |
Tops Markets Corp. (b)(g) | 2,955 | 1,038,860 | |
Tops Markets Corp. (Escrow) (b)(g)(h) | 2,955,000 | 30 | |
TOTAL FOOD & DRUG RETAIL | 7,293,589 | ||
Gaming - 0.7% | |||
Boyd Gaming Corp. | 81,500 | 2,176,865 | |
Eldorado Resorts, Inc. (g) | 57,808 | 2,900,805 | |
Gaming & Leisure Properties | 126,400 | 5,646,288 | |
Penn National Gaming, Inc. (g) | 161,400 | 4,772,598 | |
Studio City International Holdings Ltd. ADR (g) | 28,000 | 490,000 | |
TOTAL GAMING | 15,986,556 | ||
Metals/Mining - 0.0% | |||
Warrior Metropolitan Coal, Inc. | 242 | 4,288 | |
Publishing/Printing - 0.0% | |||
Tribune Publishing Co. | 3,443 | 39,491 | |
Services - 0.2% | |||
CDK Global, Inc. | 45,206 | 2,080,380 | |
United Rentals, Inc. (g) | 17,400 | 2,305,152 | |
TOTAL SERVICES | 4,385,532 | ||
Telecommunications - 0.0% | |||
CUI Acquisition Corp. Class E (b)(g) | 0 | 16,065 | |
Utilities - 0.4% | |||
NRG Energy, Inc. | 60,111 | 1,996,286 | |
Vistra Energy Corp. | 359,562 | 6,914,377 | |
TOTAL UTILITIES | 8,910,663 | ||
TOTAL COMMON STOCKS | |||
(Cost $49,844,548) | 40,361,366 | ||
Convertible Preferred Stocks - 0.0% | |||
Energy - 0.0% | |||
Chesapeake Energy Corp. Series A, 5.75% | |||
(Cost $3,542,557) | 5,300 | 584,820 | |
Principal Amount | Value | ||
Bank Loan Obligations - 8.5% | |||
Aerospace - 0.6% | |||
TransDigm, Inc.: | |||
Tranche E 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.8534% 5/30/25 (c)(d)(i) | 3,488,371 | 3,403,360 | |
Tranche G 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.8534% 8/22/24 (c)(d)(i) | 9,879,180 | 9,681,596 | |
TOTAL AEROSPACE | 13,084,956 | ||
Banks & Thrifts - 0.0% | |||
First Eagle Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2/1/27 (c)(d)(i)(j) | 1,125,000 | 1,106,719 | |
Broadcasting - 0.1% | |||
Springer Nature Deutschland Gm Tranche B16 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 8/24/24 (c)(d)(i) | 1,254,155 | 1,256,350 | |
Building Materials - 0.0% | |||
ACProducts, Inc. 1LN, term loan 3 month U.S. LIBOR + 6.500% 8/13/25 (c)(d)(i)(j) | 905,000 | 909,525 | |
Cable/Satellite TV - 0.5% | |||
LCPR Loan Financing LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.6585% 10/22/26 (c)(d)(i) | 460,000 | 461,532 | |
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.8894% 8/19/23 (c)(d)(i) | 10,786,967 | 10,409,424 | |
TOTAL CABLE/SATELLITE TV | 10,870,956 | ||
Chemicals - 0.3% | |||
Messer Industries U.S.A., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.4446% 3/1/26 (c)(d)(i) | 5,046,863 | 4,952,234 | |
Starfruit U.S. Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.6709% 10/1/25 (c)(d)(i) | 851,096 | 821,308 | |
TOTAL CHEMICALS | 5,773,542 | ||
Diversified Financial Services - 0.2% | |||
Cabazon Finance Authority term loan 11% 3/7/24 pay-in-kind (b)(c)(i) | 2,208,227 | 2,208,227 | |
HarbourVest Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.9273% 3/1/25 (c)(d)(i) | 278,345 | 276,781 | |
UFC Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.86% 4/29/26 (c)(d)(i) | 1,077,215 | 1,062,942 | |
TOTAL DIVERSIFIED FINANCIAL SERVICES | 3,547,950 | ||
Energy - 1.8% | |||
BCP Raptor II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.3534% 11/3/25 (c)(d)(i) | 1,184,050 | 1,006,443 | |
BCP Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.8534% 6/24/24 (c)(d)(i) | 1,262,625 | 1,089,014 | |
California Resources Corp.: | |||
Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 11.9883% 12/31/21 (c)(d)(i) | 11,970,000 | 6,014,925 | |
Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.3633% 12/31/22 (c)(d)(i) | 9,040,000 | 7,676,497 | |
Chesapeake Energy Corp. term loan 3 month U.S. LIBOR + 8.000% 9.9278% 6/9/24 (c)(d)(i) | 9,300,000 | 8,424,219 | |
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 8.6034% 8/1/23 (c)(d)(i) | 304,238 | 304,238 | |
Consolidated Energy Finance SA Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.5472% 5/7/25 (c)(d)(i) | 536,825 | 524,075 | |
Epic Crude Services LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.62% 3/1/26 (c)(d)(i) | 8,435,000 | 8,131,340 | |
Gavilan Resources LLC Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 7.6034% 3/1/24 (c)(d)(i) | 4,780,000 | 1,593,317 | |
Natgasoline LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.4375% 11/14/25 (c)(d)(i) | 435,600 | 432,333 | |
Sanchez Energy Corp.: | |||
1LN, term loan 3 month U.S. LIBOR + 8.000% 6.7821% 5/11/20 (b)(c)(d)(i)(k) | 5,845,187 | 5,845,187 | |
term loan 7.25% 5/11/20 (b)(c)(i) | 1,710,000 | 1,710,000 | |
TOTAL ENERGY | 42,751,588 | ||
Food & Drug Retail - 0.5% | |||
BI-LO LLC Tranche B, term loan 3 month U.S. LIBOR + 8.000% 9.7621% 5/31/24 (c)(d)(i) | 10,342,500 | 9,463,388 | |
Lannett Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.370% 6.9784% 11/25/22 (c)(d)(i) | 1,828,482 | 1,800,725 | |
Tops Markets LLC 1LN, term loan 3 month U.S. LIBOR + 8.500% 10.5% 11/19/23 (c)(d)(i) | 1,188,569 | 1,190,803 | |
TOTAL FOOD & DRUG RETAIL | 12,454,916 | ||
Gaming - 0.1% | |||
Caesars Resort Collection LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.3534% 12/22/24 (c)(d)(i) | 2,088,867 | 2,012,268 | |
Golden Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.62% 10/20/24 (c)(d)(i) | 1,244,850 | 1,216,841 | |
TOTAL GAMING | 3,229,109 | ||
Healthcare - 0.5% | |||
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.625% 6/13/26 (c)(d)(i) | 12,149,550 | 12,012,868 | |
Vizient, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.3952% 5/6/26 (c)(d)(i) | 302,713 | 302,997 | |
TOTAL HEALTHCARE | 12,315,865 | ||
Hotels - 0.1% | |||
Travelport Finance Luxembourg SARL 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.9446% 5/29/26 (c)(d)(i) | 2,591,825 | 1,966,547 | |
Insurance - 0.3% | |||
Alliant Holdings Intermediate LLC: | |||
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.6034% 5/10/25 (c)(d)(i) | 63,375 | 62,001 | |
Tranche B-2 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.9085% 5/9/25 (c)(d)(i) | 2,049,700 | 2,017,253 | |
AmWINS Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.3639% 1/25/24 (c)(d)(i) | 433,296 | 431,129 | |
Asurion LLC: | |||
Tranche B 7LN, term loan 3 month U.S. LIBOR + 3.000% 4.6034% 11/3/24 (c)(d)(i) | 3,802,100 | 3,760,923 | |
Tranche B, term loan 3 month U.S. LIBOR + 6.500% 8.1034% 8/4/25 (c)(d)(i) | 360,000 | 360,450 | |
USI, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.9446% 5/16/24 (c)(d)(i) | 449,650 | 438,409 | |
TOTAL INSURANCE | 7,070,165 | ||
Leisure - 0.0% | |||
Alterra Mountain Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.3534% 7/31/24 (c)(d)(i) | 44,100 | 43,218 | |
Services - 1.0% | |||
Almonde, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.0271% 6/13/25 (c)(d)(i) | 8,250,000 | 7,842,698 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.2771% 6/13/24 (c)(d)(i) | 3,563,611 | 3,391,381 | |
CoreCivic, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.11% 12/18/24 (c)(d)(i) | 2,215,000 | 2,187,313 | |
IRI Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.119% 11/30/25 (c)(d)(i) | 3,111,183 | 2,982,847 | |
KUEHG Corp.: | |||
Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 10.1946% 8/22/25 (c)(d)(i) | 2,230,000 | 2,209,551 | |
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.6946% 2/21/25 (c)(d)(i) | 620,550 | 609,690 | |
Sotheby's 1LN, term loan 3 month U.S. LIBOR + 5.500% 7.1585% 1/3/27 (c)(d)(i) | 4,064,115 | 4,067,936 | |
TOTAL SERVICES | 23,291,416 | ||
Super Retail - 0.3% | |||
Bass Pro Shops LLC. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.6034% 9/25/24 (c)(d)(i) | 7,153,523 | 6,831,614 | |
Technology - 1.5% | |||
Boxer Parent Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.8534% 10/2/25 (c)(d)(i) | 1,084,050 | 1,039,528 | |
Ceridian HCM Holding, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.1453% 4/30/25 (c)(d)(i) | 1,619,500 | 1,595,208 | |
Financial & Risk U.S. Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.8534% 10/1/25 (c)(d)(i) | 13,139,545 | 13,101,178 | |
Kronos, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 8.250% 10.0133% 11/1/24 (c)(d)(i) | 9,020,000 | 9,039,754 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.7633% 11/1/23 (c)(d)(i) | 3,335,516 | 3,305,296 | |
SS&C Technologies, Inc.: | |||
Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 4/16/25 (c)(d)(i) | 1,580,915 | 1,558,513 | |
Tranche B 4LN, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 4/16/25 (c)(d)(i) | 1,128,091 | 1,112,106 | |
Ultimate Software Group, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 5/4/26 (c)(d)(i) | 713,213 | 710,046 | |
Vertafore, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.8534% 7/2/26 (c)(d)(i) | 2,300,000 | 2,297,125 | |
VM Consolidated, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.397% 2/28/25 (c)(d)(i) | 152,288 | 150,384 | |
VS Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 2/19/27 (c)(d)(i)(j) | 450,000 | 444,375 | |
Web.com Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.3894% 10/11/25 (c)(d)(i) | 263,516 | 255,829 | |
TOTAL TECHNOLOGY | 34,609,342 | ||
Telecommunications - 0.7% | |||
Intelsat Jackson Holdings SA: | |||
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.682% 11/27/23 (c)(d)(i) | 9,660,000 | 9,523,118 | |
Tranche B-4, term loan 3 month U.S. LIBOR + 4.500% 6.432% 1/2/24 (c)(d)(i) | 300,000 | 301,713 | |
Tranche B-5, term loan 6.625% 1/2/24 (i) | 300,000 | 301,500 | |
SFR Group SA: | |||
Tranche B 12LN, term loan 3 month U.S. LIBOR + 3.680% 5.346% 1/31/26 (c)(d)(i) | 3,983,313 | 3,863,813 | |
Tranche B 13LN, term loan 3 month U.S. LIBOR + 4.000% 5.6585% 8/14/26 (c)(d)(i) | 1,086,250 | 1,061,809 | |
Sprint Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.1875% 2/3/24 (c)(d)(i) | 598,088 | 592,107 | |
TOTAL TELECOMMUNICATIONS | 15,644,060 | ||
Utilities - 0.0% | |||
Pike Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.86% 7/24/26 (c)(d)(i) | 474,132 | 469,306 | |
Vertiv Group Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 7.75% 11/30/23 (c)(d)(i) | 457,380 | 454,521 | |
TOTAL UTILITIES | 923,827 | ||
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $209,117,632) | 197,681,665 | ||
Preferred Securities - 4.6% | |||
Banks & Thrifts - 4.3% | |||
Bank of America Corp.: | |||
4.3% (c)(l) | 5,780,000 | 5,606,582 | |
5.875% (c)(l) | 15,230,000 | 16,862,915 | |
6.1% (c)(l) | 3,690,000 | 4,193,422 | |
6.25% (c)(l) | 2,310,000 | 2,608,313 | |
Citigroup, Inc.: | |||
4.7% (c)(l) | 3,200,000 | 3,171,708 | |
5% (c)(l) | 6,655,000 | 6,974,367 | |
5.95% (c)(l) | 19,320,000 | 20,152,640 | |
5.95% (c)(l) | 5,000,000 | 5,085,109 | |
6.3% (c)(l) | 10,145,000 | 10,890,853 | |
JPMorgan Chase & Co.: | |||
4.6% (c)(l) | 4,890,000 | 4,937,821 | |
5% (c)(l) | 6,710,000 | 6,862,483 | |
6% (c)(l) | 11,680,000 | 12,144,633 | |
Wells Fargo & Co. 5.9% (c)(l) | 1,955,000 | 2,120,730 | |
TOTAL BANKS & THRIFTS | 101,611,576 | ||
Diversified Financial Services - 0.2% | |||
AerCap Holdings NV 5.875% 10/10/79 (c) | 4,180,000 | 4,338,649 | |
Energy - 0.1% | |||
MPLX LP 6.875% (c)(l) | 1,270,000 | 1,229,148 | |
Summit Midstream Partners LP 9.5% (c)(l) | 1,065,000 | 553,784 | |
TOTAL ENERGY | 1,782,932 | ||
TOTAL PREFERRED SECURITIES | |||
(Cost $105,483,819) | 107,733,157 | ||
Shares | Value | ||
Other - 0.0% | |||
Other - 0.0% | |||
Tribune Co. Claim (b)(g) | |||
(Cost $11,217) | 11,217 | 11,217 | |
Money Market Funds - 2.8% | |||
Fidelity Cash Central Fund 1.60% (m) | |||
(Cost $64,523,543) | 64,512,835 | 64,525,737 | |
TOTAL INVESTMENT IN SECURITIES - 97.3% | |||
(Cost $2,339,761,868) | 2,263,697,393 | ||
NET OTHER ASSETS (LIABILITIES) - 2.7% | 63,719,804 | ||
NET ASSETS - 100% | $2,327,417,197 |
Amounts shown as 0 in the Schedule of Investments may represent less than 1 share.
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 $1,196,072,702 or 51.4% of net assets.
(b) Level 3 security
(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(d) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(e) Non-income producing - Security is in default.
(f) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(g) Non-income producing
(h) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $30 or 0.0% of net assets.
(i) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.
(j) The coupon rate will be determined upon settlement of the loan after period end.
(k) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $1,880,935 and $1,880,935, respectively.
(l) Security is perpetual in nature with no stated maturity date.
(m) 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.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
Tops Markets Corp. (Escrow) | 4/26/19 | $30 |
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 | $982,288 |
Total | $982,288 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of February 29, 2020, 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: | ||||
Equities: | ||||
Communication Services | $730,514 | $590,493 | $123,956 | $16,065 |
Consumer Discretionary | 10,871,952 | 10,340,268 | -- | 531,684 |
Consumer Staples | 7,293,589 | -- | -- | 7,293,589 |
Energy | 2,171,789 | 981,753 | 584,820 | 605,216 |
Financials | 237,487 | 237,487 | -- | -- |
Industrials | 2,305,152 | 2,305,152 | -- | -- |
Information Technology | 2,080,380 | 2,080,380 | -- | -- |
Materials | 698,372 | 698,372 | -- | -- |
Real Estate | 5,646,288 | 5,646,288 | -- | -- |
Utilities | 8,910,663 | 8,910,663 | -- | -- |
Corporate Bonds | 1,852,799,431 | -- | 1,852,799,431 | -- |
Bank Loan Obligations | 197,681,665 | -- | 187,918,251 | 9,763,414 |
Preferred Securities | 107,733,157 | -- | 107,733,157 | -- |
Other | 11,217 | -- | -- | 11,217 |
Money Market Funds | 64,525,737 | 64,525,737 | -- | -- |
Total Investments in Securities: | $2,263,697,393 | $96,316,593 | $2,149,159,615 | $18,221,185 |
Other Information
Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):
United States of America | 80.0% |
Canada | 3.9% |
Netherlands | 3.5% |
Luxembourg | 3.4% |
Multi-National | 2.8% |
Cayman Islands | 1.7% |
France | 1.3% |
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, 2020 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $2,275,238,325) | $2,199,171,656 | |
Fidelity Central Funds (cost $64,523,543) | 64,525,737 | |
Total Investment in Securities (cost $2,339,761,868) | $2,263,697,393 | |
Cash | 38,780 | |
Receivable for investments sold | 52,827,673 | |
Receivable for fund shares sold | 58 | |
Dividends receivable | 28,278 | |
Interest receivable | 33,556,536 | |
Distributions receivable from Fidelity Central Funds | 107,491 | |
Total assets | 2,350,256,209 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $16,384,779 | |
Delayed delivery | 5,950,000 | |
Payable for fund shares redeemed | 469,698 | |
Other payables and accrued expenses | 34,535 | |
Total liabilities | 22,839,012 | |
Net Assets | $2,327,417,197 | |
Net Assets consist of: | ||
Paid in capital | $2,389,645,531 | |
Total accumulated earnings (loss) | (62,228,334) | |
Net Assets | $2,327,417,197 | |
Net Asset Value, offering price and redemption price per share ($2,327,417,197 ÷ 21,379,943 shares) | $108.86 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended February 29, 2020 (Unaudited) | ||
Investment Income | ||
Dividends | $2,801,475 | |
Interest | 73,717,529 | |
Income from Fidelity Central Funds | 982,288 | |
Total income | 77,501,292 | |
Expenses | ||
Custodian fees and expenses | $6,269 | |
Independent directors' fees and expenses | 6,924 | |
Total expenses before reductions | 13,193 | |
Expense reductions | (7,904) | |
Total expenses after reductions | 5,289 | |
Net investment income (loss) | 77,496,003 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 25,703,708 | |
Total net realized gain (loss) | 25,703,708 | |
Change in net unrealized appreciation (depreciation) on investment securities | (74,204,618) | |
Net gain (loss) | (48,500,910) | |
Net increase (decrease) in net assets resulting from operations | $28,995,093 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended February 29, 2020 (Unaudited) | Year ended August 31, 2019 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $77,496,003 | $97,300,852 |
Net realized gain (loss) | 25,703,708 | (8,030,347) |
Change in net unrealized appreciation (depreciation) | (74,204,618) | 2,726,231 |
Net increase (decrease) in net assets resulting from operations | 28,995,093 | 91,996,736 |
Distributions to shareholders | (81,382,809) | (99,543,146) |
Affiliated share transactions | ||
Proceeds from sales of shares | 170,800,820 | 1,387,879,227 |
Net asset value of shares issued in exchange for the net assets of Fidelity High Income Central Fund 1 (note 8) | – | 507,027,494 |
Reinvestment of distributions | 81,374,464 | 97,089,383 |
Cost of shares redeemed | (473,140,924) | (268,010,095) |
Net increase (decrease) in net assets resulting from share transactions | (220,965,640) | 1,723,986,009 |
Total increase (decrease) in net assets | (273,353,356) | 1,716,439,599 |
Net Assets | ||
Beginning of period | 2,600,770,553 | 884,330,954 |
End of period | $2,327,417,197 | $2,600,770,553 |
Other Information | ||
Shares | ||
Sold | 1,693,309 | 12,477,372 |
Issued in exchange for the shares of Fidelity High Income Central Fund 1 (note 8) | – | 4,582,266 |
Issued in reinvestment of distributions | 733,058 | 881,458 |
Redeemed | (4,398,270) | (2,463,785) |
Net increase (decrease) | (1,971,903) | 15,477,311 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity High Income Central Fund
Six months ended (Unaudited) February 29, | Years endedAugust 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $111.37 | $112.30 | $113.78 | $110.82 | $109.78 | $118.45 |
Income from Investment Operations | ||||||
Net investment income (loss)A | 3.382 | 7.276 | 7.336 | 7.352 | 7.278 | 7.064 |
Net realized and unrealized gain (loss) | (2.343) | (.267) | (1.497) | 2.982 | .631 | (8.871) |
Total from investment operations | 1.039 | 7.009 | 5.839 | 10.334 | 7.909 | (1.807) |
Distributions from net investment income | (3.535) | (7.089) | (7.240) | (7.374) | (6.869) | (6.863) |
Distributions from net realized gain | (.014) | (.850) | (.079) | – | – | – |
Total distributions | (3.549) | (7.939) | (7.319) | (7.374) | (6.869) | (6.863) |
Net asset value, end of period | $108.86 | $111.37 | $112.30 | $113.78 | $110.82 | $109.78 |
Total ReturnB,C | .91% | 6.59% | 5.29% | 9.60% | 7.75% | (1.58)% |
Ratios to Average Net AssetsD,E | ||||||
Expenses before reductions | - %F,G | - %G | - %G | .01% | - %G | - %G |
Expenses net of fee waivers, if any | - %F,G | - %G | - %G | .01% | - %G | - %G |
Expenses net of all reductions | - %F,G | - %G | - %G | .01% | - %G | - %G |
Net investment income (loss) | 6.09%F | 6.70% | 6.49% | 6.54% | 6.93% | 6.19% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $2,327,417 | $2,600,771 | $884,331 | $885,301 | $852,409 | $792,221 |
Portfolio turnover rate | 48%F,H | 39%H,I | 57% | 46% | 47% | 40% |
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 Fund. 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 Fund 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 Fund.
F Annualized
G Amount represents less than .005%.
H Portfolio turnover rate excludes securities received or delivered in-kind.
I The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 29, 2020
1. Organization.
Fidelity High Income Central Fund (the Fund) is a fund of Fidelity Central Investment Portfolios LLC (the LLC) and is authorized to issue an unlimited number of shares. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company LLC (FMR), or its affiliates (the Investing Funds). The LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company.
Effective January 1, 2020:
Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Management & Research Company LLC".
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 the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
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 Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. 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 Directors (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. 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 loan obligations, and preferred securities 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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
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, 2020 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 include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
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.
Distributions 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 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 foreign currency transactions, equity-debt classifications, certain conversion ratio adjustments, capital loss carryforwards, partnerships and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $65,172,538 |
Gross unrealized depreciation | (141,349,423) |
Net unrealized appreciation (depreciation) | $(76,176,885) |
Tax cost | $2,339,874,278 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(2,887,395) |
Long-term | (8,826,278) |
Total capital loss carryforward | $(11,713,673) |
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation. The Fund also invests in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Fund's Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity High Income Central Fund | 563,975,654 | 755,436,836 |
5. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Management & Research Company LLC (the investment adviser) provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract, the investment adviser receives a monthly management fee that represents a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, the investment adviser also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Directors, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
Amount | |
Fidelity High Income Central Fund | $43 |
Interfund Trades. Funds 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.
Affiliated Exchanges In-Kind. During the period, the Fund received investments valued at $2,794,550 in exchange for 25,160 shares of the Fund. The amount of in-kind exchanges is included in share transactions in the accompanying Statement of Changes in Net Assets.
Prior Fiscal Year Affiliated Exchanges In-Kind. During the prior period, the Fund received investments, including accrued interest, and cash valued at $1,384,937,686 in exchange for 12,414,285 shares of the Fund. The amount of in-kind exchanges is included in share transactions in the accompanying Statement of Changes in Net Assets.
6. 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 by $7,904.
7. Other.
The Fund's organizational documents provide former and current directors 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, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
8. Prior Fiscal Year Merger Information.
On May 17, 2019, the Fund acquired all of the assets and assumed all of the liabilities of Fidelity High Income Central Fund 1 ("Target Fund") pursuant to an Agreement and Plan of Reorganization approved by the Board of Directors ("The Board"). The acquisition was accomplished by an exchange of shares of the Fund for shares then outstanding of the Target Fund at its respective net asset value on the acquisition date. The reorganization provides shareholders of the Target Fund access to a larger portfolio with a similar investment objective. The reorganization qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the funds or their shareholders. The Target Fund's net assets of $507,027,494, including securities of $501,946,164 and unrealized depreciation of $1,105,945, was combined with the Fund's net assets of $2,287,103,192 for total net assets after the acquisition of $2,794,130,686.
Pro forma results of operations of the combined entity for the entire period ended August 31, 2019, as though the acquisition had occurred as of the beginning of the year (rather than on the actual acquisition date), are as follows:
Net investment income (loss) | $118,454,465 |
Total net realized gain (loss) | (10,983,066) |
Total change in net unrealized appreciation (depreciation) | 4,346,858 |
Net increase (decrease) in net assets resulting from operations | $111,818,257 |
Because the combined investment portfolios have been managed as a single portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the acquired fund that has been included in the Fund's Statement of Operations since May 17, 2019.
9. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including 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, 2019 to February 29, 2020).
Actual Expenses
The first line of the accompanying table 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 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 provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2019 | Ending Account Value February 29, 2020 | Expenses Paid During Period-B September 1, 2019 to February 29, 2020 | |
Actual | .0010% | $1,000.00 | $1,009.10 | $--C |
Hypothetical-D | $1,000.00 | $1,024.86 | $.01 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
C Amount represents less than $.005.
D 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity High Income Central Fund
Each year, the Board of Directors, including the Independent Directors (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Directors' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.Approval of Amended and Restated Advisory Contracts. At its November 2019 meeting, the Board unanimously determined to approve an amended and restated management contract and sub-advisory agreements (Amended and Restated Contracts) for a stub period of January 1, 2020 through January 31, 2020 in connection with a consolidation of certain of Fidelity's advisory businesses. The Board considered that, on or about January 1, 2020, FMR Co., Inc. (FMRC) expected to merge with and into FMR and, after the merger, FMR expected to redomicile as a Delaware limited liability company. The Board noted that the Amended and Restated Contracts will reflect the replacement of FMRC with FMR and will take effect upon the completion of the merger. The Board noted that references to FMR in the Amended and Restated Contracts would be updated to reflect FMR's new form of organization and domicile. The Board also noted Fidelity's assurance that neither the planned consolidation nor the Amended and Restated Contracts will change the investment processes, the level or nature of services provided, the resources and personnel allocated, trading and compliance operations, or any fees paid by the fund.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 various standing committees (Committees), each composed of and chaired by Independent Directors with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. 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 review 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 joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its January 2020 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Directors' 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 the fact that no fee is payable under the management contract was fair and reasonable.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 Directors also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.Resources Dedicated to Investment Management and Support Services. The Board and the Fund Oversight and Research Committees 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.Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by 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 also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, and the use of "soft" commission dollars to pay for research services.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. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts, as the fund is not publicly offered as a stand-alone investment product. In this regard, the Board noted that the fund is designed to offer a liquid investment option for other investment companies managed by Fidelity and ultimately to enhance the performance of those investment companies.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered that while the fund does not pay a management fee, FMR receives fees for providing services to funds that invest in the fund. The Board also noted that FMR bears all expenses of the fund with certain exceptions. Based on its review, the Board concluded that the management fee paid on behalf of the fund and the fund's total expense ratio were 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 level of Fidelity's profits in respect of all the Fidelity funds, as well as the profitability of the funds that invest in the fund.PricewaterhouseCoopers LLP (PwC), 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 the fund profitability information 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 potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses. The Board considered that a joint ad hoc committee created by it and the boards of other Fidelity funds had recently been established, and met periodically, to evaluate potential fall-out benefits (PFOB Committee). The Board noted that the PFOB Committee, among other things: (i) discussed the legal framework surrounding potential fall-out benefits; (ii) reviewed the Board's responsibilities and approach to potential fall-out benefits; and (iii) reviewed practices employed by competitor funds regarding the review of potential fall-out benefits.The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund with certain exceptions.Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR bears all expenses of the fund with certain exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contract.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) fund flow and performance trends, in particular the underperformance of certain funds and strategies, and Fidelity's long-term strategies for certain funds; (ii) consideration of performance fees for additional funds; (iii) changes in Fidelity's non-fund businesses and the impact of such changes on the funds; (iv) metrics for evaluating index fund and ETF performance and information about ETF trading characteristics; (v) the methodology with respect to evaluating competitive fund data and peer group classifications and fee comparisons; (vi) the expense structures for different funds and classes; (vii) information regarding other accounts managed by Fidelity, including collective investment trusts and separately managed accounts; and (viii) Fidelity's philosophies and strategies for evaluating funds and classes with lower or declining asset levels.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 arrangements are fair and reasonable, and that the fund's Amended and Restated Contracts should be approved and the fund's Advisory Contracts should be renewed.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot not be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
HICII-SANN-0420
1.861965.111
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 Central Investment Portfolios LLC’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 Central Investment Portfolios LLC’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 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.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
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 Central Investment Portfolios LLC
By: | /s/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer | |
Date: | April 23, 2020 |
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/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer | |
Date: | April 23, 2020 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | April 23, 2020 |