Quarterly Holdings Report
for
Strategic Advisers® Income Opportunities Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general publicMay 31, 2020
SRQ-QTLY-0720
1.912886.109
Schedule of Investments May 31, 2020 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 29.7% | |||
Principal Amount | Value | ||
Convertible Bonds - 0.1% | |||
COMMUNICATION SERVICES - 0.1% | |||
Media - 0.1% | |||
DISH Network Corp.: | |||
2.375% 3/15/24 | $2,959,000 | $2,546,589 | |
3.375% 8/15/26 | 1,350,000 | 1,189,551 | |
3,736,140 | |||
Nonconvertible Bonds - 29.6% | |||
COMMUNICATION SERVICES - 6.7% | |||
Diversified Telecommunication Services - 1.9% | |||
C&W Senior Financing Designated Activity Co.: | |||
6.875% 9/15/27 (a) | 6,295,000 | 6,211,214 | |
7.5% 10/15/26 (a) | 2,985,000 | 3,044,700 | |
Century Telephone Enterprises, Inc. 6.875% 1/15/28 | 80,000 | 83,600 | |
CenturyLink, Inc.: | |||
5.125% 12/15/26 (a) | 2,450,000 | 2,474,500 | |
5.625% 4/1/25 | 860,000 | 885,800 | |
5.8% 3/15/22 | 1,000,000 | 1,042,490 | |
6.45% 6/15/21 | 1,717,000 | 1,764,218 | |
7.6% 9/15/39 | 1,825,000 | 1,879,750 | |
7.65% 3/15/42 | 752,000 | 776,748 | |
Embarq Corp. 7.995% 6/1/36 | 528,000 | 563,434 | |
Front Range BidCo, Inc.: | |||
4% 3/1/27 (a) | 805,000 | 792,925 | |
6.125% 3/1/28 (a) | 1,465,000 | 1,446,688 | |
Frontier Communications Corp. 8% 4/1/27 (a) | 4,390,000 | 4,516,213 | |
Level 3 Financing, Inc.: | |||
5.125% 5/1/23 | 1,600,000 | 1,598,000 | |
5.25% 3/15/26 | 590,000 | 610,650 | |
5.375% 1/15/24 | 675,000 | 683,438 | |
5.375% 5/1/25 | 715,000 | 734,527 | |
Sable International Finance Ltd. 5.75% 9/7/27 (a) | 255,000 | 256,913 | |
SFR Group SA: | |||
7.375% 5/1/26 (a) | 2,610,000 | 2,747,025 | |
8.125% 2/1/27 (a) | 3,410,000 | 3,751,000 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 1,610,000 | 1,988,350 | |
8.75% 3/15/32 | 1,900,000 | 2,740,180 | |
Telecom Italia Capital SA: | |||
6% 9/30/34 | 560,000 | 603,400 | |
6.375% 11/15/33 | 315,000 | 352,013 | |
Telecom Italia SpA 5.303% 5/30/24 (a) | 2,895,000 | 3,032,020 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (a) | 2,600,000 | 2,704,000 | |
47,283,796 | |||
Entertainment - 0.2% | |||
AMC Entertainment Holdings, Inc.: | |||
5.875% 11/15/26 | 250,000 | 62,500 | |
6.125% 5/15/27 | 2,325,000 | 581,250 | |
AMC Entertainment, Inc. 5.75% 6/15/25 | 325,000 | 83,688 | |
National CineMedia LLC: | |||
5.75% 8/15/26 | 625,000 | 390,625 | |
5.875% 4/15/28 (a) | 475,000 | 380,000 | |
Netflix, Inc.: | |||
4.875% 4/15/28 | 715,000 | 763,263 | |
5.375% 11/15/29 (a) | 275,000 | 305,278 | |
5.875% 11/15/28 | 925,000 | 1,052,530 | |
6.375% 5/15/29 | 285,000 | 334,163 | |
3,953,297 | |||
Interactive Media & Services - 0.0% | |||
Match Group, Inc. 4.125% 8/1/30 (a) | 350,000 | 343,000 | |
Media - 3.0% | |||
Altice Financing SA: | |||
5% 1/15/28 (a) | 470,000 | 473,966 | |
7.5% 5/15/26 (a) | 5,535,000 | 5,827,635 | |
Altice Finco SA 7.625% 2/15/25 (a) | 1,595,000 | 1,622,913 | |
AMC Networks, Inc. 4.75% 8/1/25 | 700,000 | 705,250 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4% 3/1/23 (a) | 3,215,000 | 3,239,177 | |
4.5% 8/15/30 (a) | 895,000 | 928,563 | |
4.5% 5/1/32 (a) | 800,000 | 826,248 | |
4.75% 3/1/30 (a) | 2,024,000 | 2,115,080 | |
5% 2/1/28 (a) | 2,763,000 | 2,893,883 | |
5.125% 5/1/27 (a) | 2,805,000 | 2,945,306 | |
5.5% 5/1/26 (a) | 4,945,000 | 5,229,338 | |
Clear Channel Worldwide Holdings, Inc.: | |||
5.125% 8/15/27 (a) | 700,000 | 700,000 | |
9.25% 2/15/24 | 4,630,000 | 4,211,448 | |
CSC Holdings LLC: | |||
5.375% 7/15/23 (a) | 4,150,000 | 4,211,088 | |
5.5% 5/15/26 (a) | 1,380,000 | 1,441,686 | |
5.5% 4/15/27 (a) | 2,650,000 | 2,802,375 | |
6.75% 11/15/21 | 2,000,000 | 2,107,060 | |
7.5% 4/1/28 (a) | 1,885,000 | 2,087,638 | |
7.75% 7/15/25 (a) | 1,555,000 | 1,623,031 | |
Cumulus Media New Holdings, Inc. 6.75% 7/1/26 (a) | 675,000 | 562,154 | |
Diamond Sports Group LLC/Diamond Sports Finance Co.: | |||
5.375% 8/15/26 (a) | 750,000 | 596,250 | |
6.625% 8/15/27 (a) | 2,685,000 | 1,615,565 | |
DISH DBS Corp.: | |||
5.875% 7/15/22 | 1,975,000 | 2,029,747 | |
5.875% 11/15/24 | 1,840,000 | 1,816,614 | |
7.75% 7/1/26 | 300,000 | 311,250 | |
Entercom Media Corp. 6.5% 5/1/27 (a) | 700,000 | 616,000 | |
Gray Television, Inc. 7% 5/15/27 (a) | 675,000 | 712,969 | |
iHeartCommunications, Inc. 8.375% 5/1/27 | 700,000 | 654,500 | |
Outfront Media Capital LLC / Corp. 6.25% 6/15/25 (a) | 300,000 | 308,625 | |
Radiate Holdco LLC/Radiate Financial Service Ltd.: | |||
6.625% 2/15/25 (a) | 3,340,000 | 3,421,797 | |
6.875% 2/15/23 (a) | 1,115,000 | 1,134,278 | |
Scripps Escrow, Inc. 5.875% 7/15/27 (a) | 200,000 | 190,000 | |
Sinclair Television Group, Inc.: | |||
5.125% 2/15/27 (a) | 420,000 | 390,760 | |
5.875% 3/15/26 (a) | 925,000 | 905,344 | |
Sirius XM Radio, Inc.: | |||
4.625% 7/15/24 (a) | 750,000 | 767,925 | |
5% 8/1/27 (a) | 135,000 | 141,075 | |
5.375% 4/15/25 (a) | 2,165,000 | 2,221,571 | |
Univision Communications, Inc. 5.125% 2/15/25 (a) | 1,175,000 | 1,123,312 | |
Virgin Media Secured Finance PLC 5.5% 8/15/26 (a) | 2,970,000 | 3,096,225 | |
Ziggo Bond Co. BV: | |||
5.125% 2/28/30 (a) | 1,110,000 | 1,137,750 | |
6% 1/15/27 (a) | 2,000,000 | 2,090,220 | |
Ziggo BV 5.5% 1/15/27 (a) | 2,352,000 | 2,473,904 | |
74,309,520 | |||
Wireless Telecommunication Services - 1.6% | |||
Digicel International Finance Ltd. / Digicel Holdings Bermuda Ltd. 8.75% 5/25/24 (a) | 2,500,000 | 2,400,000 | |
Intelsat Jackson Holdings SA: | |||
5.5% 8/1/23 (b) | 4,385,000 | 2,313,088 | |
8% 2/15/24 (a) | 3,075,000 | 3,105,750 | |
8.5% 10/15/24 (a)(b) | 1,860,000 | 1,060,200 | |
Millicom International Cellular SA: | |||
6% 3/15/25 (a) | 705,000 | 712,931 | |
6.625% 10/15/26 (a) | 2,740,000 | 2,871,863 | |
Neptune Finco Corp.: | |||
6.625% 10/15/25 (a) | 750,000 | 784,013 | |
10.875% 10/15/25 (a) | 610,000 | 660,447 | |
Sprint Communications, Inc. 6% 11/15/22 | 2,575,000 | 2,735,938 | |
Sprint Corp.: | |||
7.125% 6/15/24 | 2,220,000 | 2,517,036 | |
7.875% 9/15/23 | 4,805,000 | 5,453,675 | |
T-Mobile U.S.A., Inc.: | |||
3.75% 4/15/27 (a) | 1,310,000 | 1,416,359 | |
3.875% 4/15/30 (a) | 1,310,000 | 1,420,145 | |
4.5% 2/1/26 | 1,060,000 | 1,089,542 | |
6% 4/15/24 | 400,000 | 406,708 | |
6.375% 3/1/25 | 3,030,000 | 3,124,869 | |
Xplornet Communications, Inc. 9.625% 6/1/22 pay-in-kind (a)(c) | 2,880,000 | 2,952,000 | |
Ypso Finance BIS SA 6% 2/15/28 (a) | 2,970,000 | 2,888,325 | |
37,912,889 | |||
TOTAL COMMUNICATION SERVICES | 163,802,502 | ||
CONSUMER DISCRETIONARY - 4.1% | |||
Auto Components - 0.2% | |||
Adient Global Holdings Ltd. 4.875% 8/15/26 (a) | 1,325,000 | 1,112,172 | |
Allison Transmission, Inc. 5.875% 6/1/29 (a) | 266,000 | 268,660 | |
American Axle & Manufacturing, Inc.: | |||
6.25% 4/1/25 | 475,000 | 447,688 | |
6.5% 4/1/27 | 850,000 | 794,750 | |
Cooper Standard Auto, Inc. 5.625% 11/15/26 (a) | 800,000 | 512,000 | |
Dana Financing Luxembourg SARL 5.75% 4/15/25 (a) | 200,000 | 198,000 | |
Dana, Inc. 5.375% 11/15/27 | 1,445,000 | 1,385,394 | |
4,718,664 | |||
Automobiles - 0.2% | |||
Ford Motor Co.: | |||
4.75% 1/15/43 | 350,000 | 267,750 | |
5.291% 12/8/46 | 2,900,000 | 2,291,609 | |
9% 4/22/25 | 950,000 | 992,750 | |
9.625% 4/22/30 | 270,000 | 299,700 | |
3,851,809 | |||
Diversified Consumer Services - 0.4% | |||
Frontdoor, Inc. 6.75% 8/15/26 (a) | 860,000 | 920,200 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (a) | 2,370,000 | 2,115,225 | |
Laureate Education, Inc. 8.25% 5/1/25 (a) | 4,940,000 | 5,217,875 | |
Service Corp. International 5.125% 6/1/29 | 735,000 | 791,963 | |
9,045,263 | |||
Hotels, Restaurants & Leisure - 2.3% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
4.25% 5/15/24 (a) | 780,000 | 789,038 | |
5% 10/15/25 (a) | 1,410,000 | 1,425,073 | |
5.75% 4/15/25 (a) | 420,000 | 446,124 | |
Aramark Services, Inc.: | |||
4.75% 6/1/26 | 2,155,000 | 2,122,675 | |
5% 2/1/28 (a) | 1,780,000 | 1,753,300 | |
6.375% 5/1/25 (a) | 2,130,000 | 2,229,663 | |
Boyd Gaming Corp.: | |||
4.75% 12/1/27 (a) | 605,000 | 557,181 | |
6% 8/15/26 | 510,000 | 495,980 | |
6.375% 4/1/26 | 1,355,000 | 1,347,819 | |
8.625% 6/1/25 (a) | 225,000 | 240,525 | |
Brinker International, Inc. 5% 10/1/24 (a) | 1,515,000 | 1,355,925 | |
Caesars Resort Collection LLC 5.25% 10/15/25 (a) | 5,050,000 | 4,491,344 | |
CEC Entertainment, Inc. 8% 2/15/22 | 875,000 | 70,000 | |
Eldorado Resorts, Inc.: | |||
6% 4/1/25 | 990,000 | 1,010,830 | |
6% 9/15/26 | 250,000 | 261,250 | |
7% 8/1/23 | 350,000 | 352,699 | |
Golden Entertainment, Inc. 7.625% 4/15/26 (a) | 3,871,000 | 3,483,900 | |
Golden Nugget, Inc.: | |||
6.75% 10/15/24 (a) | 2,975,000 | 2,402,313 | |
8.75% 10/1/25 (a) | 2,550,000 | 1,683,000 | |
Hilton Domestic Operating Co., Inc.: | |||
4.25% 9/1/24 | 670,000 | 670,000 | |
5.125% 5/1/26 | 1,255,000 | 1,258,614 | |
5.375% 5/1/25 (a) | 150,000 | 153,405 | |
5.75% 5/1/28 (a) | 150,000 | 154,875 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.: | |||
4.625% 4/1/25 | 655,000 | 650,088 | |
4.875% 4/1/27 | 390,000 | 387,075 | |
International Game Technology PLC 6.25% 1/15/27 (a) | 1,450,000 | 1,472,287 | |
Jacobs Entertainment, Inc. 7.875% 2/1/24 (a) | 1,025,000 | 779,000 | |
Marriott International, Inc.: | |||
4.625% 6/15/30 | 110,000 | 112,568 | |
5.75% 5/1/25 | 150,000 | 161,966 | |
MCE Finance Ltd. 4.875% 6/6/25 (a) | 215,000 | 212,299 | |
Merlin Entertainments PLC 5.75% 6/15/26 (a) | 200,000 | 192,076 | |
MGM Mirage, Inc.: | |||
5.5% 4/15/27 | 490,000 | 476,094 | |
6% 3/15/23 | 500,000 | 501,145 | |
6.75% 5/1/25 | 2,025,000 | 2,055,375 | |
7.75% 3/15/22 | 250,000 | 260,213 | |
Motion Bondco DAC 6.625% 11/15/27 (a) | 600,000 | 498,000 | |
NCL Corp. Ltd.: | |||
3.625% 12/15/24 (a) | 625,000 | 375,000 | |
12.25% 5/15/24 (a) | 190,000 | 204,250 | |
Penn National Gaming, Inc. 5.625% 1/15/27 (a) | 1,050,000 | 987,399 | |
Royal Caribbean Cruises Ltd.: | |||
2.65% 11/28/20 | 300,000 | 291,131 | |
5.25% 11/15/22 | 350,000 | 290,552 | |
10.875% 6/1/23 (a) | 140,000 | 146,323 | |
11.5% 6/1/25 (a) | 125,000 | 132,524 | |
Scientific Games Corp.: | |||
5% 10/15/25 (a) | 2,720,000 | 2,544,016 | |
7% 5/15/28 (a) | 645,000 | 567,600 | |
7.25% 11/15/29 (a) | 900,000 | 792,000 | |
8.25% 3/15/26 (a) | 500,000 | 458,910 | |
Six Flags Entertainment Corp. 4.875% 7/31/24 (a) | 325,000 | 305,500 | |
Stars Group Holdings BV 7% 7/15/26 (a) | 2,090,000 | 2,215,400 | |
Station Casinos LLC: | |||
4.5% 2/15/28 (a) | 625,000 | 550,781 | |
5% 10/1/25 (a) | 1,720,000 | 1,545,850 | |
Twin River Worldwide Holdings, Inc. 6.75% 6/1/27 (a) | 1,930,000 | 1,799,725 | |
Vail Resorts, Inc. 6.25% 5/15/25 (a) | 150,000 | 157,500 | |
Viking Cruises Ltd.: | |||
5.875% 9/15/27 (a) | 600,000 | 360,222 | |
13% 5/15/25 (a) | 325,000 | 351,000 | |
Wyndham Destinations, Inc. 4.625% 3/1/30 (a) | 250,000 | 216,250 | |
Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (a) | 1,340,000 | 1,273,174 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (a) | 665,000 | 616,788 | |
Wynn Macau Ltd.: | |||
4.875% 10/1/24 (a) | 1,950,000 | 1,928,672 | |
5.125% 12/15/29 (a) | 575,000 | 566,375 | |
Wynn Resorts Finance LLC / Capital Cor 5.125% 10/1/29 (a) | 500,000 | 480,155 | |
Wynn Resorts Ltd. 7.75% 4/15/25 (a) | 75,000 | 77,906 | |
Yum! Brands, Inc. 7.75% 4/1/25 (a) | 1,260,000 | 1,392,300 | |
57,141,022 | |||
Household Durables - 0.6% | |||
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co.: | |||
6.625% 1/15/28 (a) | 25,000 | 21,500 | |
6.75% 8/1/25 (a) | 1,500,000 | 1,380,000 | |
Beazer Homes U.S.A., Inc.: | |||
5.875% 10/15/27 | 450,000 | 423,000 | |
7.25% 10/15/29 | 1,500,000 | 1,485,000 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp.: | |||
4.875% 2/15/30 (a) | 475,000 | 403,608 | |
6.25% 9/15/27 (a) | 1,395,000 | 1,328,738 | |
Century Communities, Inc. 6.75% 6/1/27 | 250,000 | 255,000 | |
KB Home 6.875% 6/15/27 | 1,550,000 | 1,712,750 | |
M/I Homes, Inc. 4.95% 2/1/28 | 1,075,000 | 989,000 | |
Meritage Homes Corp. 6% 6/1/25 | 1,000,000 | 1,067,500 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | |||
5.125% 7/15/23 (a) | 1,000,000 | 1,012,500 | |
7% 7/15/24 (a) | 2,825,000 | 2,840,001 | |
TopBuild Corp. 5.625% 5/1/26 (a) | 875,000 | 892,500 | |
13,811,097 | |||
Internet & Direct Marketing Retail - 0.0% | |||
Terrier Media Buyer, Inc. 8.875% 12/15/27 (a) | 1,125,000 | 1,091,250 | |
Leisure Products - 0.1% | |||
Mattel, Inc.: | |||
5.875% 12/15/27 (a) | 50,000 | 50,875 | |
6.75% 12/31/25 (a) | 2,290,000 | 2,387,325 | |
2,438,200 | |||
Specialty Retail - 0.2% | |||
Adient U.S. LLC 9% 4/15/25 (a) | 125,000 | 133,280 | |
L Brands, Inc. 5.625% 10/15/23 | 1,975,000 | 1,875,835 | |
Michaels Stores, Inc. 8% 7/15/27 (a) | 1,103,000 | 887,915 | |
PetSmart, Inc. 5.875% 6/1/25 (a) | 920,000 | 920,000 | |
Sally Holdings LLC: | |||
5.625% 12/1/25 | 2,000,000 | 1,952,600 | |
8.75% 4/30/25 (a) | 200,000 | 217,000 | |
5,986,630 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Hanesbrands, Inc. 5.375% 5/15/25 (a) | 135,000 | 138,375 | |
The William Carter Co.: | |||
5.5% 5/15/25 (a) | 225,000 | 231,750 | |
5.625% 3/15/27 (a) | 880,000 | 898,911 | |
Wolverine World Wide, Inc.: | |||
5% 9/1/26 (a) | 275,000 | 260,563 | |
6.375% 5/15/25 (a) | 1,550,000 | 1,604,250 | |
3,133,849 | |||
TOTAL CONSUMER DISCRETIONARY | 101,217,784 | ||
CONSUMER STAPLES - 1.4% | |||
Food & Staples Retailing - 0.2% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC 4.875% 2/15/30 (a) | 675,000 | 699,469 | |
ESAL GmbH 6.25% 2/5/23 (a) | 570,000 | 575,415 | |
Performance Food Group, Inc.: | |||
5.5% 10/15/27 (a) | 75,000 | 73,510 | |
6.875% 5/1/25 (a) | 1,335,000 | 1,398,413 | |
Rite Aid Corp. 6.125% 4/1/23 (a) | 600,000 | 558,000 | |
U.S. Foods, Inc.: | |||
5.875% 6/15/24 (a) | 800,000 | 774,000 | |
6.25% 4/15/25 (a) | 890,000 | 922,263 | |
5,001,070 | |||
Food Products - 1.0% | |||
B&G Foods, Inc.: | |||
5.25% 4/1/25 | 1,000,000 | 1,027,500 | |
5.25% 9/15/27 | 525,000 | 539,159 | |
Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (a) | 230,000 | 228,850 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
5.75% 6/15/25 (a) | 5,005,000 | 5,130,125 | |
5.875% 7/15/24 (a) | 5,915,000 | 6,011,119 | |
6.75% 2/15/28 (a) | 525,000 | 568,218 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
5.5% 1/15/30 (a) | 2,400,000 | 2,490,000 | |
6.5% 4/15/29 (a) | 4,850,000 | 5,274,375 | |
Pilgrim's Pride Corp. 5.875% 9/30/27 (a) | 1,275,000 | 1,326,000 | |
Post Holdings, Inc.: | |||
4.625% 4/15/30 (a) | 180,000 | 177,525 | |
5% 8/15/26 (a) | 810,000 | 830,250 | |
5.5% 12/15/29 (a) | 1,150,000 | 1,201,750 | |
5.625% 1/15/28 (a) | 540,000 | 565,650 | |
25,370,521 | |||
Household Products - 0.1% | |||
Spectrum Brands Holdings, Inc.: | |||
5% 10/1/29 (a) | 500,000 | 488,125 | |
5.75% 7/15/25 | 500,000 | 514,900 | |
1,003,025 | |||
Personal Products - 0.0% | |||
Prestige Brands, Inc. 6.375% 3/1/24 (a) | 500,000 | 514,375 | |
Tobacco - 0.1% | |||
Vector Group Ltd. 6.125% 2/1/25 (a) | 2,500,000 | 2,443,750 | |
TOTAL CONSUMER STAPLES | 34,332,741 | ||
ENERGY - 3.4% | |||
Energy Equipment & Services - 0.2% | |||
Diamond Offshore Drilling, Inc. 7.875% 8/15/25 (b) | 675,000 | 75,094 | |
Jonah Energy LLC 7.25% 10/15/25 (a) | 1,840,000 | 92,000 | |
Nabors Industries Ltd.: | |||
7.25% 1/15/26 (a) | 175,000 | 99,750 | |
7.5% 1/15/28 (a) | 1,675,000 | 921,250 | |
Precision Drilling Corp.: | |||
5.25% 11/15/24 | 500,000 | 256,875 | |
7.125% 1/15/26 (a) | 1,000,000 | 500,000 | |
Summit Midstream Holdings LLC 5.75% 4/15/25 | 1,485,000 | 635,149 | |
Transocean, Inc.: | |||
7.5% 1/15/26(a) | 1,676,000 | 905,040 | |
8% 2/1/27 (a) | 675,000 | 364,500 | |
U.S.A. Compression Partners LP 6.875% 9/1/27 | 435,000 | 414,338 | |
Valaris PLC 7.75% 2/1/26 | 1,500,000 | 110,535 | |
Weatherford International Ltd. 11% 12/1/24 (a) | 893,000 | 597,194 | |
4,971,725 | |||
Oil, Gas & Consumable Fuels - 3.2% | |||
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.75% 1/15/28 (a) | 1,160,000 | 906,888 | |
Antero Resources Corp.: | |||
5.125% 12/1/22 | 525,000 | 367,500 | |
5.625% 6/1/23 (Reg. S) | 1,258,000 | 729,640 | |
Antero Resources Finance Corp. 5.375% 11/1/21 | 1,066,000 | 954,603 | |
Ascent Resources - Utica LLC/ARU Finance Corp.: | |||
7% 11/1/26 (a) | 930,000 | 629,629 | |
10% 4/1/22 (a) | 1,334,000 | 1,167,250 | |
Cheniere Energy Partners LP: | |||
5.25% 10/1/25 | 5,180,000 | 5,231,800 | |
5.625% 10/1/26 | 615,000 | 625,947 | |
Chesapeake Energy Corp.: | |||
4.875% 4/15/22 | 500,000 | 15,000 | |
7% 10/1/24 | 440,000 | 16,500 | |
8% 1/15/25 | 2,345,000 | 35,175 | |
8% 6/15/27 | 2,075,000 | 31,125 | |
Citgo Holding, Inc. 9.25% 8/1/24 (a) | 1,650,000 | 1,588,125 | |
Citgo Petroleum Corp. 6.25% 8/15/22 (a) | 1,797,000 | 1,761,060 | |
CNX Resources Corp. 5.875% 4/15/22 | 1,825,000 | 1,811,641 | |
Comstock Resources, Inc. 9.75% 8/15/26 | 670,000 | 623,100 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27 (a) | 1,255,000 | 1,091,850 | |
5.75% 4/1/25 | 2,170,000 | 2,018,100 | |
6.25% 4/1/23 | 2,580,000 | 2,457,450 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (a) | 1,650,000 | 1,485,000 | |
5.75% 2/15/28 (a) | 210,000 | 186,638 | |
DCP Midstream LLC 4.75% 9/30/21 (a) | 300,000 | 294,000 | |
DCP Midstream Operating LP: | |||
5.125% 5/15/29 | 1,700,000 | 1,547,000 | |
5.375% 7/15/25 | 1,785,000 | 1,726,220 | |
Denbury Resources, Inc.: | |||
7.75% 2/15/24 (a) | 1,690,000 | 692,900 | |
9.25% 3/31/22 (a) | 4,230,000 | 1,692,000 | |
EG Global Finance PLC: | |||
6.75% 2/7/25 (a) | 1,100,000 | 1,113,519 | |
8.5% 10/30/25 (a) | 2,733,000 | 2,849,153 | |
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (a) | 700,000 | 683,375 | |
Extraction Oil & Gas, Inc. 5.625% 2/1/26 (a) | 1,875,000 | 112,500 | |
Global Partners LP/GLP Finance Corp.: | |||
7% 6/15/23 | 800,000 | 758,000 | |
7% 8/1/27 | 1,200,000 | 1,043,640 | |
Hess Midstream Partners LP: | |||
5.125% 6/15/28 (a) | 935,000 | 883,575 | |
5.625% 2/15/26 (a) | 2,840,000 | 2,740,600 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5% 12/1/24 (a) | 265,000 | 233,200 | |
5.75% 10/1/25 (a) | 850,000 | 765,000 | |
6.25% 11/1/28 (a) | 375,000 | 320,625 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (a) | 1,875,000 | 1,846,875 | |
MEG Energy Corp. 7.125% 2/1/27 (a) | 1,630,000 | 1,484,311 | |
NGPL PipeCo LLC: | |||
4.875% 8/15/27 (a) | 425,000 | 462,249 | |
7.768% 12/15/37 (a) | 310,000 | 370,493 | |
Occidental Petroleum Corp.: | |||
2.7% 8/15/22 | 200,000 | 182,940 | |
2.7% 2/15/23 | 100,000 | 85,780 | |
2.9% 8/15/24 | 2,070,000 | 1,645,650 | |
3.4% 4/15/26 | 230,000 | 169,625 | |
4.3% 8/15/39 | 330,000 | 195,525 | |
4.4% 4/15/46 | 475,000 | 285,594 | |
4.4% 8/15/49 | 250,000 | 148,125 | |
4.85% 3/15/21 | 25,000 | 24,500 | |
5.55% 3/15/26 | 1,505,000 | 1,279,250 | |
6.2% 3/15/40 | 320,000 | 218,400 | |
6.45% 9/15/36 | 1,360,000 | 975,800 | |
7.5% 5/1/31 | 2,075,000 | 1,701,500 | |
PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (a) | 1,945,000 | 2,105,890 | |
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 | 1,945,000 | 1,852,613 | |
Range Resources Corp.: | |||
4.875% 5/15/25 | 200,000 | 167,250 | |
5% 8/15/22 | 200,000 | 186,810 | |
5% 3/15/23 | 1,265,000 | 1,144,306 | |
9.25% 2/1/26 (a) | 625,000 | 584,188 | |
Rockies Express Pipeline LLC 7.5% 7/15/38 (a) | 1,175,000 | 1,136,813 | |
Sanchez Energy Corp. 7.25% 2/15/23 (a)(b) | 3,242,000 | 32,420 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.875% 1/15/23 | 885,000 | 898,001 | |
5.5% 2/15/26 | 1,600,000 | 1,608,000 | |
5.875% 3/15/28 | 265,000 | 268,313 | |
6% 4/15/27 | 35,000 | 35,927 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
5.5% 9/15/24 (a) | 1,600,000 | 1,528,000 | |
5.5% 1/15/28 (a) | 900,000 | 804,771 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
4.25% 11/15/23 | 750,000 | 733,268 | |
5.125% 2/1/25 | 680,000 | 677,246 | |
5.375% 2/1/27 | 3,000,000 | 2,981,250 | |
6.75% 3/15/24 | 1,500,000 | 1,525,313 | |
Viper Energy Partners LP 5.375% 11/1/27 (a) | 1,300,000 | 1,290,250 | |
Western Gas Partners LP: | |||
3.1% 2/1/25 | 490,000 | 456,004 | |
3.95% 6/1/25 | 400,000 | 371,880 | |
4% 7/1/22 | 250,000 | 245,780 | |
4.05% 2/1/30 | 1,975,000 | 1,771,970 | |
4.65% 7/1/26 | 280,000 | 261,162 | |
5.25% 2/1/50 | 170,000 | 137,649 | |
5.3% 3/1/48 | 490,000 | 382,200 | |
WPX Energy, Inc.: | |||
5.25% 9/15/24 | 1,300,000 | 1,290,250 | |
5.75% 6/1/26 | 892,000 | 892,000 | |
77,635,469 | |||
TOTAL ENERGY | 82,607,194 | ||
FINANCIALS - 2.1% | |||
Banks - 0.1% | |||
CIT Group, Inc.: | |||
5% 8/1/23 | 525,000 | 526,202 | |
6.125% 3/9/28 | 625,000 | 646,875 | |
1,173,077 | |||
Capital Markets - 0.1% | |||
Argos Merger Sub, Inc. 7.125% 3/15/23 (a) | 1,250,000 | 1,212,500 | |
LPL Holdings, Inc. 5.75% 9/15/25 (a) | 500,000 | 519,820 | |
MSCI, Inc. 4.75% 8/1/26 (a) | 1,775,000 | 1,850,438 | |
3,582,758 | |||
Consumer Finance - 0.7% | |||
Ally Financial, Inc.: | |||
3.875% 5/21/24 | 840,000 | 848,476 | |
5.75% 11/20/25 | 4,685,000 | 4,872,400 | |
8% 11/1/31 | 770,000 | 971,632 | |
Ford Motor Credit Co. LLC 2.343% 11/2/20 | 275,000 | 273,042 | |
Navient Corp.: | |||
6.5% 6/15/22 | 2,610,000 | 2,561,846 | |
7.25% 1/25/22 | 1,015,000 | 1,009,925 | |
7.25% 9/25/23 | 325,000 | 312,000 | |
Springleaf Finance Corp.: | |||
6.875% 3/15/25 | 2,266,000 | 2,236,995 | |
7.125% 3/15/26 | 3,045,000 | 2,999,325 | |
16,085,641 | |||
Diversified Financial Services - 0.6% | |||
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (a) | 600,000 | 634,500 | |
Fairstone Financial, Inc. 7.875% 7/15/24 (a) | 550,000 | 547,938 | |
Financial & Risk U.S. Holdings, Inc. 8.25% 11/15/26 (a) | 5,125,000 | 5,599,063 | |
Five Point Operation Co. LP 7.875% 11/15/25 (a) | 952,000 | 932,960 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.75% 9/15/24 | 1,530,000 | 1,476,450 | |
6.375% 12/15/25 | 1,080,000 | 1,090,897 | |
MPH Acquisition Holdings LLC 7.125% 6/1/24 (a) | 1,915,000 | 1,809,675 | |
Venator Finance SARL/Venator Capital Management Ltd.: | |||
5.75% 7/15/25 (a) | 900,000 | 576,630 | |
9.5% 7/1/25 (a) | 325,000 | 326,625 | |
Verscend Escrow Corp. 9.75% 8/15/26 (a) | 1,075,000 | 1,155,625 | |
14,150,363 | |||
Insurance - 0.4% | |||
Alliant Holdings Intermediate LLC 6.75% 10/15/27 (a) | 2,995,000 | 3,054,720 | |
AmWINS Group, Inc. 7.75% 7/1/26 (a) | 2,715,000 | 2,912,924 | |
HUB International Ltd. 7% 5/1/26 (a) | 1,200,000 | 1,232,484 | |
USI, Inc. 6.875% 5/1/25 (a) | 2,985,000 | 3,058,401 | |
10,258,529 | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
Starwood Property Trust, Inc. 4.75% 3/15/25 | 515,000 | 442,900 | |
Thrifts & Mortgage Finance - 0.2% | |||
Nationstar Mortgage Holdings, Inc.: | |||
6% 1/15/27 (a) | 1,862,000 | 1,675,800 | |
9.125% 7/15/26 (a) | 2,600,000 | 2,665,000 | |
Quicken Loans, Inc. 5.25% 1/15/28 (a) | 1,470,000 | 1,483,509 | |
5,824,309 | |||
TOTAL FINANCIALS | 51,517,577 | ||
HEALTH CARE - 2.4% | |||
Health Care Equipment & Supplies - 0.1% | |||
Hologic, Inc.: | |||
4.375% 10/15/25 (a) | 980,000 | 1,001,844 | |
4.625% 2/1/28 (a) | 185,000 | 191,475 | |
Teleflex, Inc.: | |||
4.25% 6/1/28 (a) | 295,000 | 303,850 | |
4.875% 6/1/26 | 1,750,000 | 1,802,500 | |
3,299,669 | |||
Health Care Providers & Services - 1.7% | |||
Acadia Healthcare Co., Inc.: | |||
5.625% 2/15/23 | 100,000 | 100,250 | |
6.5% 3/1/24 | 100,000 | 101,094 | |
AMN Healthcare 4.625% 10/1/27 (a) | 300,000 | 289,614 | |
BCPE Cycle Merger Sub II, Inc. 10.625% 7/15/27 (a) | 315,000 | 327,600 | |
Centene Corp.: | |||
4.25% 12/15/27 | 485,000 | 506,641 | |
5.25% 4/1/25 (a) | 1,095,000 | 1,127,160 | |
Community Health Systems, Inc.: | |||
6.25% 3/31/23 | 1,775,000 | 1,721,750 | |
8% 3/15/26 (a) | 2,080,000 | 2,031,900 | |
8.625% 1/15/24 (a) | 1,445,000 | 1,452,225 | |
DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (a)(d) | 1,545,000 | 1,541,138 | |
HCA Holdings, Inc.: | |||
3.5% 9/1/30 | 600,000 | 590,896 | |
5% 3/15/24 | 1,500,000 | 1,652,581 | |
5.375% 2/1/25 | 500,000 | 548,845 | |
5.875% 2/1/29 | 1,600,000 | 1,860,000 | |
MEDNAX, Inc. 5.25% 12/1/23 (a) | 1,250,000 | 1,225,000 | |
Polaris Intermediate Corp. 8.5% 12/1/22 pay-in-kind (a)(c) | 2,090,000 | 1,830,067 | |
Regionalcare Hospital Partners 9.75% 12/1/26 (a) | 1,555,000 | 1,683,288 | |
Surgery Center Holdings, Inc. 10% 4/15/27 (a) | 875,000 | 870,625 | |
Tenet Healthcare Corp.: | |||
4.875% 1/1/26 (a) | 795,000 | 817,029 | |
5.125% 5/1/25 | 1,515,000 | 1,537,422 | |
6.25% 2/1/27 (a) | 5,440,000 | 5,630,400 | |
6.75% 6/15/23 | 2,620,000 | 2,744,450 | |
6.875% 11/15/31 | 500,000 | 457,500 | |
7% 8/1/25 | 2,950,000 | 2,964,131 | |
7.5% 4/1/25 (a) | 1,310,000 | 1,427,900 | |
8.125% 4/1/22 | 5,455,000 | 5,700,475 | |
Vizient, Inc. 6.25% 5/15/27 (a) | 125,000 | 131,141 | |
40,871,122 | |||
Health Care Technology - 0.0% | |||
IMS Health, Inc. 5% 5/15/27 (a) | 1,425,000 | 1,485,563 | |
Life Sciences Tools & Services - 0.1% | |||
Avantor, Inc. 6% 10/1/24 (a) | 780,000 | 818,836 | |
Charles River Laboratories International, Inc.: | |||
4.25% 5/1/28 (a) | 145,000 | 146,224 | |
5.5% 4/1/26 (a) | 735,000 | 767,480 | |
1,732,540 | |||
Pharmaceuticals - 0.5% | |||
Catalent Pharma Solutions 4.875% 1/15/26 (a) | 1,355,000 | 1,385,488 | |
Valeant Pharmaceuticals International, Inc.: | |||
5.5% 11/1/25 (a) | 780,000 | 805,756 | |
5.875% 5/15/23 (a) | 21,000 | 20,987 | |
6.125% 4/15/25 (a) | 785,000 | 796,610 | |
6.25% 2/15/29 (a) | 475,000 | 486,875 | |
7% 3/15/24 (a) | 2,500,000 | 2,586,975 | |
7% 1/15/28 (a) | 630,000 | 663,863 | |
8.5% 1/31/27 (a) | 2,000,000 | 2,185,700 | |
9.25% 4/1/26 (a) | 2,190,000 | 2,431,710 | |
11,363,964 | |||
TOTAL HEALTH CARE | 58,752,858 | ||
INDUSTRIALS - 2.9% | |||
Aerospace & Defense - 1.2% | |||
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (a) | 2,530,000 | 2,401,451 | |
Bombardier, Inc.: | |||
7.5% 12/1/24 (a) | 225,000 | 137,158 | |
7.5% 3/15/25 (a) | 4,430,000 | 2,691,225 | |
7.875% 4/15/27 (a) | 2,800,000 | 1,687,000 | |
8.75% 12/1/21 (a) | 2,100,000 | 1,521,177 | |
BWX Technologies, Inc. 5.375% 7/15/26 (a) | 1,925,000 | 1,978,669 | |
Howmet Aerospace, Inc. 6.875% 5/1/25 | 225,000 | 239,068 | |
Moog, Inc. 4.25% 12/15/27 (a) | 1,170,000 | 1,116,227 | |
Spirit Aerosystems, Inc. 7.5% 4/15/25 (a) | 775,000 | 770,645 | |
The Boeing Co.: | |||
5.15% 5/1/30 | 1,175,000 | 1,254,704 | |
5.805% 5/1/50 | 1,500,000 | 1,697,879 | |
TransDigm UK Holdings PLC 6.875% 5/15/26 | 495,000 | 459,301 | |
TransDigm, Inc.: | |||
5.5% 11/15/27 (a) | 5,290,000 | 4,800,675 | |
6.25% 3/15/26 (a) | 2,770,000 | 2,832,325 | |
6.5% 7/15/24 | 725,000 | 710,500 | |
6.5% 5/15/25 | 2,030,000 | 1,964,025 | |
7.5% 3/15/27 | 455,000 | 447,775 | |
8% 12/15/25 (a) | 2,250,000 | 2,430,000 | |
29,139,804 | |||
Air Freight & Logistics - 0.2% | |||
Aercap Global Aviation Trust 6.5% 6/15/45 (a)(c) | 2,950,000 | 2,193,325 | |
XPO Logistics, Inc.: | |||
6.25% 5/1/25 (a) | 1,740,000 | 1,815,864 | |
6.75% 8/15/24 (a) | 1,635,000 | 1,700,400 | |
5,709,589 | |||
Building Products - 0.3% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (a) | 1,950,000 | 1,950,000 | |
Building Materials Corp. of America: | |||
4.75% 1/15/28 (a) | 1,846,000 | 1,858,091 | |
5% 2/15/27 (a) | 180,000 | 185,323 | |
Griffon Corp. 5.75% 3/1/28 | 1,000,000 | 993,300 | |
Jeld-Wen, Inc.: | |||
4.625% 12/15/25 (a) | 200,000 | 189,500 | |
6.25% 5/15/25 (a) | 125,000 | 128,750 | |
Masonite International Corp. 5.375% 2/1/28 (a) | 800,000 | 808,000 | |
NCI Building Systems, Inc. 8% 4/15/26 (a) | 1,000,000 | 956,190 | |
Patrick Industries, Inc. 7.5% 10/15/27 (a) | 325,000 | 325,813 | |
7,394,967 | |||
Commercial Services & Supplies - 0.4% | |||
Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
6.625% 7/15/26 (a) | 600,000 | 630,000 | |
9.75% 7/15/27 (a) | 665,000 | 706,563 | |
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (a) | 1,030,000 | 908,975 | |
Core & Main Holdings LP 8.625% 9/15/24 pay-in-kind (a) | 725,000 | 692,375 | |
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (a) | 1,800,000 | 1,759,878 | |
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (a) | 1,135,000 | 1,139,256 | |
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (a) | 2,135,000 | 2,131,691 | |
PowerTeam Services LLC 9.033% 12/4/25 (a) | 325,000 | 329,875 | |
West Corp. 8.5% 10/15/25 (a) | 2,500,000 | 1,812,500 | |
10,111,113 | |||
Construction & Engineering - 0.2% | |||
AECOM: | |||
5.125% 3/15/27 | 1,741,000 | 1,847,305 | |
5.875% 10/15/24 | 905,000 | 969,889 | |
Amsted Industries, Inc. 5.625% 7/1/27 (a) | 805,000 | 817,622 | |
Cloud Crane LLC 10.125% 8/1/24 (a) | 1,325,000 | 1,291,875 | |
4,926,691 | |||
Electrical Equipment - 0.1% | |||
Sensata Technologies BV 5% 10/1/25 (a) | 715,000 | 741,813 | |
Wesco Distribution, Inc.: | |||
7.125% 6/15/25 (a)(d) | 375,000 | 375,000 | |
7.25% 6/15/28 (a)(d) | 515,000 | 511,107 | |
1,627,920 | |||
Machinery - 0.1% | |||
Navistar International Corp.: | |||
6.625% 11/1/25 (a) | 1,225,000 | 1,145,375 | |
9.5% 5/1/25 (a) | 375,000 | 403,125 | |
Titan International, Inc. 6.5% 11/30/23 | 675,000 | 366,188 | |
1,914,688 | |||
Professional Services - 0.0% | |||
ASGN, Inc. 4.625% 5/15/28 (a) | 550,000 | 524,079 | |
Dun & Bradstreet Corp. 6.875% 8/15/26 (a) | 400,000 | 434,000 | |
958,079 | |||
Trading Companies & Distributors - 0.4% | |||
Beacon Roofing Supply, Inc. 4.875% 11/1/25 (a) | 500,000 | 472,350 | |
FLY Leasing Ltd.: | |||
5.25% 10/15/24 | 2,075,000 | 1,618,500 | |
6.375% 10/15/21 | 1,500,000 | 1,314,375 | |
H&E Equipment Services, Inc. 5.625% 9/1/25 | 575,000 | 561,942 | |
United Rentals North America, Inc.: | |||
4% 7/15/30 | 400,000 | 389,748 | |
4.875% 1/15/28 | 2,775,000 | 2,859,083 | |
5.25% 1/15/30 | 1,900,000 | 1,980,750 | |
9,196,748 | |||
TOTAL INDUSTRIALS | 70,979,599 | ||
INFORMATION TECHNOLOGY - 1.5% | |||
Communications Equipment - 0.1% | |||
CommScope, Inc.: | |||
6% 3/1/26 (a) | 1,050,000 | 1,104,138 | |
8.25% 3/1/27 (a) | 845,000 | 880,913 | |
SSL Robotics LLC 9.75% 12/31/23 (a) | 800,000 | 868,000 | |
2,853,051 | |||
Electronic Equipment & Components - 0.1% | |||
TTM Technologies, Inc. 5.625% 10/1/25 (a) | 2,835,000 | 2,857,708 | |
IT Services - 0.7% | |||
Alliance Data Systems Corp. 4.75% 12/15/24 (a) | 575,000 | 514,453 | |
Banff Merger Sub, Inc. 9.75% 9/1/26 (a) | 4,868,000 | 4,885,963 | |
Camelot Finance SA 4.5% 11/1/26 (a) | 1,250,000 | 1,255,875 | |
Everi Payments, Inc. 7.5% 12/15/25 (a) | 900,000 | 823,500 | |
Gartner, Inc. 5.125% 4/1/25 (a) | 350,000 | 357,144 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 10.75% 6/1/28 (a)(d) | 390,000 | 409,500 | |
Rackspace Hosting, Inc. 8.625% 11/15/24 (a) | 4,200,000 | 4,389,000 | |
Tempo Acquisition LLC: | |||
5.75% 6/1/25 (a) | 920,000 | 960,250 | |
6.75% 6/1/25 (a) | 2,435,000 | 2,422,825 | |
16,018,510 | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
Entegris, Inc. 4.375% 4/15/28 (a) | 985,000 | 1,006,690 | |
Microchip Technology, Inc. 4.25% 9/1/25 (a) | 210,000 | 211,430 | |
1,218,120 | |||
Software - 0.6% | |||
Ascend Learning LLC: | |||
6.875% 8/1/25 (a) | 1,355,000 | 1,348,225 | |
6.875% 8/1/25 (a) | 185,000 | 183,651 | |
Boxer Parent Co., Inc. 7.125% 10/2/25 (a)(d) | 460,000 | 480,700 | |
CDK Global, Inc.: | |||
4.875% 6/1/27 | 485,000 | 503,192 | |
5.25% 5/15/29 (a) | 240,000 | 244,800 | |
5.875% 6/15/26 | 985,000 | 1,036,713 | |
Ensemble S Merger Sub, Inc. 9% 9/30/23 (a) | 2,258,000 | 2,283,403 | |
Fair Isaac Corp. 5.25% 5/15/26 (a) | 2,365,000 | 2,549,896 | |
Nortonlifelock, Inc. 5% 4/15/25 (a) | 260,000 | 265,200 | |
Nuance Communications, Inc. 5.625% 12/15/26 | 1,085,000 | 1,150,404 | |
Open Text Corp. 3.875% 2/15/28 (a) | 875,000 | 863,564 | |
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (a) | 1,485,000 | 1,509,131 | |
SS&C Technologies, Inc. 5.5% 9/30/27 (a) | 1,850,000 | 1,943,074 | |
14,361,953 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
NCR Corp. 8.125% 4/15/25 (a) | 175,000 | 188,344 | |
TOTAL INFORMATION TECHNOLOGY | 37,497,686 | ||
MATERIALS - 2.2% | |||
Chemicals - 0.9% | |||
Alpha 2 BV 8.75% 6/1/23 pay-in-kind (a)(c) | 975,000 | 975,000 | |
Alpha 3 BV / Alpha U.S. BidCo I 6.25% 2/1/25 (a) | 425,000 | 421,932 | |
CF Industries Holdings, Inc. 5.15% 3/15/34 | 75,000 | 79,125 | |
Consolidated Energy Finance SA 3 month U.S. LIBOR + 3.750% 4.4905% 6/15/22 (a)(c)(e) | 1,615,000 | 1,392,840 | |
Cornerstone Chemical Co. 6.75% 8/15/24 (a) | 750,000 | 626,408 | |
Element Solutions, Inc. 5.875% 12/1/25 (a) | 2,365,000 | 2,429,588 | |
Hexion, Inc. 7.875% 7/15/27 (a) | 950,000 | 853,756 | |
Nufarm Australia Ltd. 5.75% 4/30/26 (a) | 1,795,000 | 1,747,307 | |
Olin Corp.: | |||
5.125% 9/15/27 | 1,495,000 | 1,330,550 | |
9.5% 6/1/25 (a) | 375,000 | 409,219 | |
PolyOne Corp. 5.75% 5/15/25 (a) | 100,000 | 104,770 | |
Rain CII Carbon LLC/CII Carbon Corp. 7.25% 4/1/25 (a) | 800,000 | 728,000 | |
The Chemours Co. LLC: | |||
5.375% 5/15/27 | 1,965,000 | 1,765,926 | |
6.625% 5/15/23 | 1,600,000 | 1,604,000 | |
7% 5/15/25 | 2,115,000 | 2,056,838 | |
The Scotts Miracle-Gro Co. 4.5% 10/15/29 | 1,055,000 | 1,081,375 | |
TPC Group, Inc. 10.5% 8/1/24 (a) | 600,000 | 514,500 | |
Tronox, Inc.: | |||
6.5% 5/1/25 (a) | 350,000 | 360,500 | |
6.5% 4/15/26 (a) | 1,410,000 | 1,334,128 | |
Valvoline, Inc.: | |||
4.25% 2/15/30 (a) | 525,000 | 523,688 | |
4.375% 8/15/25 | 1,025,000 | 1,040,375 | |
21,379,825 | |||
Construction Materials - 0.1% | |||
Summit Materials LLC/Summit Materials Finance Corp. 6.5% 3/15/27 (a) | 525,000 | 531,563 | |
U.S. Concrete, Inc. 6.375% 6/1/24 | 1,420,000 | 1,423,550 | |
1,955,113 | |||
Containers & Packaging - 0.6% | |||
ARD Finance SA 6.5% 6/30/27 pay-in-kind (a)(c) | 750,000 | 740,903 | |
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.125% 8/15/26 (a) | 250,000 | 250,863 | |
5.25% 8/15/27 (a) | 525,000 | 517,125 | |
6% 2/15/25 (a) | 2,260,000 | 2,329,947 | |
Berry Global, Inc. 4.875% 7/15/26 (a) | 1,105,000 | 1,155,079 | |
Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 | 670,000 | 696,217 | |
Flex Acquisition Co., Inc.: | |||
6.875% 1/15/25 (a) | 1,985,000 | 2,002,408 | |
7.875% 7/15/26 (a) | 895,000 | 895,000 | |
OI European Group BV 4% 3/15/23 (a) | 1,445,000 | 1,426,938 | |
Owens-Brockway Glass Container, Inc.: | |||
5.375% 1/15/25 (a) | 2,000,000 | 2,005,000 | |
6.375% 8/15/25 (a) | 650,000 | 680,875 | |
Silgan Holdings, Inc. 4.75% 3/15/25 | 695,000 | 710,638 | |
Trivium Packaging Finance BV: | |||
5.5% 8/15/26 (a) | 1,785,000 | 1,872,590 | |
8.5% 8/15/27 (a) | 315,000 | 332,325 | |
15,615,908 | |||
Metals & Mining - 0.6% | |||
Allegheny Technologies, Inc. 5.875% 12/1/27 | 2,000,000 | 1,640,000 | |
Cleveland-Cliffs, Inc.: | |||
6.75% 3/15/26 (a) | 150,000 | 136,500 | |
9.875% 10/17/25 (a) | 695,000 | 724,538 | |
Constellium NV: | |||
5.875% 2/15/26 (a) | 500,000 | 504,945 | |
6.625% 3/1/25 (a) | 825,000 | 838,423 | |
Eldorado Gold Corp. 9.5% 6/1/24 (a) | 975,000 | 1,039,243 | |
First Quantum Minerals Ltd.: | |||
6.5% 3/1/24 (a) | 200,000 | 180,813 | |
6.875% 3/1/26 (a) | 1,650,000 | 1,480,545 | |
7.25% 5/15/22 (a) | 565,000 | 535,691 | |
7.25% 4/1/23 (a) | 2,395,000 | 2,206,394 | |
7.5% 4/1/25 (a) | 200,000 | 181,174 | |
FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (a) | 20,000 | 20,174 | |
Freeport-McMoRan, Inc.: | |||
3.55% 3/1/22 | 63,000 | 63,630 | |
3.875% 3/15/23 | 1,645,000 | 1,658,028 | |
Hecla Mining Co. 7.25% 2/15/28 | 550,000 | 558,591 | |
IAMGOLD Corp. 7% 4/15/25 (a) | 750,000 | 766,245 | |
New Gold, Inc. 6.25% 11/15/22 (a) | 1,000,000 | 1,003,280 | |
Novelis Corp. 5.875% 9/30/26 (a) | 1,399,000 | 1,432,842 | |
14,971,056 | |||
TOTAL MATERIALS | 53,921,902 | ||
REAL ESTATE - 1.2% | |||
Equity Real Estate Investment Trusts (REITs) - 0.7% | |||
CoreCivic, Inc.: | |||
4.625% 5/1/23 | 275,000 | 266,750 | |
5% 10/15/22 | 802,000 | 785,960 | |
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 1,170,000 | 1,199,250 | |
ESH Hospitality, Inc. 5.25% 5/1/25 (a) | 800,000 | 778,000 | |
GLP Capital LP/GLP Financing II, Inc.: | |||
5.25% 6/1/25 | 1,325,000 | 1,330,804 | |
5.375% 4/15/26 | 50,000 | 50,000 | |
MGM Growth Properties Operating Partnership LP: | |||
4.5% 9/1/26 | 3,050,000 | 2,996,625 | |
4.5% 1/15/28 | 925,000 | 897,250 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
5% 10/15/27 | 675,000 | 697,781 | |
5.25% 8/1/26 | 1,035,000 | 1,060,875 | |
5.5% 5/1/24 | 1,500,000 | 1,518,750 | |
Park Intermediate Holdings LLC 7.5% 6/1/25 (a) | 575,000 | 592,250 | |
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 | 50,000 | 46,386 | |
Ryman Hospitality Properties, Inc. 4.75% 10/15/27 (a) | 250,000 | 212,188 | |
Senior Housing Properties Trust 9.75% 6/15/25 | 375,000 | 382,031 | |
The GEO Group, Inc.: | |||
5.875% 10/15/24 | 350,000 | 289,625 | |
6% 4/15/26 | 1,290,000 | 1,006,200 | |
VICI Properties, Inc.: | |||
3.5% 2/15/25 (a) | 630,000 | 606,375 | |
4.25% 12/1/26 (a) | 1,480,000 | 1,466,236 | |
4.625% 12/1/29 (a) | 1,660,000 | 1,656,116 | |
17,839,452 | |||
Real Estate Management & Development - 0.5% | |||
Forestar Group, Inc.: | |||
5% 3/1/28 (a) | 300,000 | 285,000 | |
8% 4/15/24 (a) | 650,000 | 682,500 | |
Greystar Real Estate Partners 5.75% 12/1/25 (a) | 1,500,000 | 1,410,000 | |
Howard Hughes Corp. 5.375% 3/15/25 (a) | 3,045,000 | 2,892,750 | |
Hunt Companies, Inc. 6.25% 2/15/26 (a) | 1,300,000 | 1,144,000 | |
Mattamy Group Corp.: | |||
4.625% 3/1/30 (a) | 500,000 | 460,000 | |
5.25% 12/15/27 (a) | 725,000 | 703,250 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.625% 3/1/24 (a) | 250,000 | 246,250 | |
5.75% 1/15/28 (a) | 3,000,000 | 2,955,000 | |
5.875% 1/31/25 (a) | 150,000 | 151,875 | |
5.875% 6/15/27 (a) | 800,000 | 790,000 | |
11,720,625 | |||
TOTAL REAL ESTATE | 29,560,077 | ||
UTILITIES - 1.7% | |||
Electric Utilities - 1.0% | |||
Clearway Energy Operating LLC: | |||
4.75% 3/15/28 (a) | 290,000 | 299,425 | |
5.75% 10/15/25 | 900,000 | 958,032 | |
InterGen NV 7% 6/30/23 (a) | 3,045,000 | 2,968,875 | |
NextEra Energy Partners LP: | |||
4.25% 9/15/24 (a) | 1,365,000 | 1,409,363 | |
4.5% 9/15/27 (a) | 250,000 | 265,000 | |
NRG Energy, Inc.: | |||
5.25% 6/15/29 (a) | 2,920,000 | 3,182,800 | |
6.625% 1/15/27 | 1,910,000 | 2,034,150 | |
NRG Yield Operating LLC 5% 9/15/26 | 885,000 | 904,913 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (a) | 1,499,953 | 1,514,952 | |
Vistra Operations Co. LLC: | |||
5% 7/31/27 (a) | 3,390,000 | 3,546,788 | |
5.5% 9/1/26 (a) | 3,566,000 | 3,744,300 | |
5.625% 2/15/27 (a) | 3,020,000 | 3,209,384 | |
24,037,982 | |||
Gas Utilities - 0.3% | |||
AmeriGas Partners LP/AmeriGas Finance Corp. 5.875% 8/20/26 | 2,725,000 | 2,889,863 | |
Ferrellgas LP/Ferrellgas Finance Corp. 6.75% 6/15/23 (c) | 1,125,000 | 902,813 | |
Ferrellgas Partners LP / Ferrellgas Partners Finance Corp.: | |||
8.625% 6/15/20 | 2,650,000 | 795,000 | |
8.625% 6/15/20 | 300,000 | 90,000 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5.875% 3/1/27 | 1,375,000 | 1,361,250 | |
Superior Plus LP / Superior General Partner, Inc. 7% 7/15/26 (a) | 975,000 | 994,500 | |
7,033,426 | |||
Independent Power and Renewable Electricity Producers - 0.4% | |||
Calpine Corp.: | |||
5.125% 3/15/28 (a) | 5,900,000 | 5,988,500 | |
5.75% 1/15/25 | 2,000,000 | 2,045,000 | |
Talen Energy Supply LLC 10.5% 1/15/26 (a) | 565,000 | 446,350 | |
TerraForm Power Operating LLC: | |||
4.25% 1/31/23 (a) | 500,000 | 508,750 | |
5% 1/31/28 (a) | 560,000 | 596,400 | |
The AES Corp.: | |||
4.5% 3/15/23 | 755,000 | 769,194 | |
6% 5/15/26 | 630,000 | 666,225 | |
11,020,419 | |||
TOTAL UTILITIES | 42,091,827 | ||
TOTAL NONCONVERTIBLE BONDS | 726,281,747 | ||
TOTAL CORPORATE BONDS | |||
(Cost $768,335,013) | 730,017,887 | ||
U.S. Government Agency - Mortgage Securities - 0.0% | |||
Race Point IX CLO Ltd. - 0.0% | |||
3 month U.S. LIBOR + 1.210% 2.4289% 10/15/30 (a)(c)(e) | |||
(Cost $651,331) | 750,000 | 727,455 | |
Asset-Backed Securities - 0.8% | |||
AGL Core CLO 2 Ltd. / AGL Core CLO 2 LLC Series 2019-2A Class A1, 3 month U.S. LIBOR + 1.390% 2.5253% 4/20/32 (a)(c)(e) | $1,000,000 | $973,946 | |
Allegro CLO VII Ltd./LLC Series 2018-1A Class A, 3 month U.S. LIBOR + 1.100% 2.3189% 6/13/31 (a)(c)(e) | 6,000,000 | 5,752,662 | |
Carlyle Global Market Strategies CLO Series 2018-3RA Class A1A, 3 month U.S. LIBOR + 1.050% 2.0414% 7/27/31 (a)(c)(e) | 2,976,249 | 2,912,893 | |
Greenwood Park CLO, Ltd. Series 2018-1A Class A2, 3 month U.S. LIBOR + 1.010% 2.2289% 4/15/31 (a)(c)(e) | 1,852,000 | 1,801,151 | |
Greywolf CLO VI, Ltd. Series 2018-1A Class A1, 3 month U.S. LIBOR + 1.030% 2.0214% 4/26/31 (a)(c)(e) | 1,500,000 | 1,451,741 | |
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 2.0176% 1/22/28 (a)(c)(e) | 1,500,000 | 1,473,707 | |
OZLM XI, Ltd. Series 2017-11A Class A1R, 3 month U.S. LIBOR + 1.250% 2.0101% 10/30/30 (a)(c)(e) | 1,988,215 | 1,930,760 | |
Race Point VIII CLO, Ltd. Series 2020-8A Class AR2, 3 month U.S. LIBOR + 1.040% 1.4166% 2/20/30 (a)(c)(e) | 2,986,193 | 2,879,454 | |
Sound Point CLO XVII, Ltd. Series 2017-3A Class A1B, 3 month U.S. LIBOR + 1.220% 2.3553% 10/20/30 (a)(c)(e) | 1,500,000 | 1,440,776 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $21,148,712) | 20,617,090 | ||
Shares | Value | ||
Common Stocks - 0.0% | |||
ENERGY - 0.0% | |||
Energy Equipment & Services - 0.0% | |||
Weatherford International PLC (f) | |||
(Cost $152,055) | 6,540 | 13,080 | |
Principal Amount | Value | ||
Bank Loan Obligations - 0.9% | |||
COMMUNICATION SERVICES - 0.2% | |||
Media - 0.1% | |||
iHeartCommunications, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1736% 5/1/26 (c)(e)(g) | 748,125 | 697,627 | |
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.25% 8/19/23 (c)(e)(g) | 1,452,750 | 1,399,361 | |
2,096,988 | |||
Wireless Telecommunication Services - 0.1% | |||
Intelsat Jackson Holdings SA: | |||
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6% 11/27/23 (c)(e)(g) | 1,690,000 | 1,697,740 | |
Tranche B-4, term loan 3 month U.S. LIBOR + 4.500% 6.75% 1/2/24 (c)(e)(g) | 150,000 | 150,563 | |
Xplornet Communications, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.750% 5/28/27 (e)(g)(h) | 1,000,000 | 950,000 | |
2,798,303 | |||
TOTAL COMMUNICATION SERVICES | 4,895,291 | ||
CONSUMER DISCRETIONARY - 0.1% | |||
Hotels, Restaurants & Leisure - 0.1% | |||
Golden Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.75% 10/20/24 (c)(e)(g) | 1,312,400 | 1,128,664 | |
Playtika Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.000% 7.072% 12/10/24 (c)(e)(g) | 740,625 | 739,833 | |
1,868,497 | |||
Specialty Retail - 0.0% | |||
Sally Holdings LLC Tranche B 2LN, term loan 4.5% 7/5/24 (c)(g) | 500,000 | 472,500 | |
TOTAL CONSUMER DISCRETIONARY | 2,340,997 | ||
ENERGY - 0.2% | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Chesapeake Energy Corp. term loan 3 month U.S. LIBOR + 8.000% 9% 6/9/24 (c)(e)(g) | 1,900,000 | 1,003,827 | |
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 8% 8/1/23 (c)(e)(g) | 374,060 | 338,173 | |
Citgo Petroleum Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6% 3/28/24 (c)(e)(g) | 748,111 | 711,640 | |
Gavilan Resources LLC Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 6.9894% 3/1/24 (b)(c)(e)(g) | 2,475,000 | 210,375 | |
Sanchez Energy Corp.: | |||
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% 5/11/20 (b)(e)(g)(i) | 864,602 | 691,681 | |
term loan 7.25% 5/11/20 (b)(c)(g)(i) | 373,000 | 298,400 | |
3,254,096 | |||
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
MPH Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.2001% 6/7/23 (c)(e)(g) | 300,000 | 287,562 | |
HEALTH CARE - 0.0% | |||
Health Care Providers & Services - 0.0% | |||
RegionalCare Hospital Partners Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.9236% 11/16/25 (c)(e)(g) | 335,000 | 320,046 | |
Pharmaceuticals - 0.0% | |||
Mallinckrodt International Finance S.A. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 9/24/24 (e)(g)(h) | 498,715 | 339,749 | |
TOTAL HEALTH CARE | 659,795 | ||
INDUSTRIALS - 0.1% | |||
Commercial Services & Supplies - 0.1% | |||
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.4549% 6/21/24 (c)(e)(g) | 1,449,025 | 1,304,804 | |
West Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.5678% 10/10/24 (c)(e)(g) | 1,147,066 | 930,397 | |
2,235,201 | |||
Construction & Engineering - 0.0% | |||
Landry's Finance Acquisition Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 12.000% 13% 10/4/23 (c)(e)(g) | 475,000 | 488,063 | |
TOTAL INDUSTRIALS | 2,723,264 | ||
INFORMATION TECHNOLOGY - 0.2% | |||
Communications Equipment - 0.0% | |||
Radiate Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.75% 2/1/24 (c)(e)(g) | 402,552 | 390,528 | |
Software - 0.2% | |||
Almonde, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.25% 6/13/25 (c)(e)(g) | 805,000 | 706,726 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 6/13/24 (c)(e)(g) | 240,122 | 217,711 | |
Boxer Parent Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 4.4236% 10/2/25 (c)(e)(g) | 198,864 | 187,578 | |
Informatica Corp. Tranche B 1LN, term loan: | |||
3 month U.S. LIBOR + 3.250% 2/14/27 (e)(g)(h) | 525,000 | 499,627 | |
7.125% 2/14/25 (g) | 300,000 | 295,500 | |
McAfee LLC Tranche B, term loan 3 month U.S. LIBOR + 8.500% 9.5% 9/29/25 (c)(e)(g) | 2,250,000 | 2,244,375 | |
TIBCO Software, Inc. 2LN, term loan 3 month U.S. LIBOR + 7.750% 2/14/28 (e)(g)(h) | 1,000,000 | 962,500 | |
5,114,017 | |||
TOTAL INFORMATION TECHNOLOGY | 5,504,545 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Solenis International LP Tranche 1LN, term loan 3 month U.S. LIBOR + 4.000% 12/18/23 (e)(g)(h) | 997,462 | 933,874 | |
Starfruit U.S. Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.2216% 10/1/25 (c)(e)(g) | 997,415 | 949,539 | |
1,883,413 | |||
REAL ESTATE - 0.0% | |||
Real Estate Management & Development - 0.0% | |||
Brookfield Retail Holdings VII Sub 3 LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 8/24/25 (e)(g)(h) | 997,468 | 754,156 | |
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $25,491,682) | 22,303,119 | ||
Shares | Value | ||
Fixed-Income Funds - 66.5% | |||
High Yield Fixed-Income Funds - 66.5% | |||
Artisan High Income Fund Investor Shares | 26,106,694 | 236,004,515 | |
BlackRock High Yield Bond Portfolio Institutional Class | 26,358,574 | 188,727,387 | |
Eaton Vance Income Fund of Boston Class A | 17,345,122 | 90,714,990 | |
Fidelity Capital & Income Fund (j) | 13,060,381 | 122,636,975 | |
iShares iBoxx $ High Yield Corporate Bond ETF | 175,000 | 14,423,500 | |
MainStay High Yield Corporate Bond Fund Class A | 56,685,114 | 297,596,846 | |
SPDR Lehman High Yield Bond ETF | 100,000 | 10,155,000 | |
T. Rowe Price High Yield Fund Advisor Class | 41,171,811 | 254,030,076 | |
Vanguard High-Yield Corporate Fund Admiral Shares | 74,348,697 | 417,839,626 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $1,621,982,975) | 1,632,128,915 | ||
Principal Amount | Value | ||
Preferred Securities - 0.7% | |||
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
MPLX LP 6.875% (c)(k) | 2,055,000 | 1,755,011 | |
FINANCIALS - 0.5% | |||
Banks - 0.5% | |||
Bank of America Corp.: | |||
5.2% (c)(k) | 1,200,000 | 1,155,000 | |
6.25% (c)(k) | 4,000,000 | 4,165,000 | |
Barclays PLC 7.875% (Reg. S) (c)(k) | 1,535,000 | 1,554,188 | |
Citigroup, Inc. 4.7% (c)(k) | 1,075,000 | 935,250 | |
JPMorgan Chase & Co. 4.6% (c)(k) | 2,440,000 | 2,163,792 | |
Royal Bank of Scotland Group PLC 7.5% (c)(k) | 1,060,000 | 1,038,143 | |
Wells Fargo & Co. 5.9% (c)(k) | 2,250,000 | 2,236,748 | |
13,248,121 | |||
INDUSTRIALS - 0.1% | |||
Trading Companies & Distributors - 0.1% | |||
AerCap Holdings NV 5.875% 10/10/79 (c) | 2,530,000 | 1,737,806 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $18,248,932) | 16,740,938 | ||
Shares | Value | ||
Money Market Funds - 2.3% | |||
Fidelity Cash Central Fund 0.11% (l) | 20,645,553 | 20,649,682 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .12% (m) | 35,240,162 | 35,240,162 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $55,889,700) | 55,889,844 | ||
TOTAL INVESTMENT IN SECURITIES - 100.9% | |||
(Cost $2,511,900,400) | 2,478,438,328 | ||
NET OTHER ASSETS (LIABILITIES) - (0.9)%(n)(o) | (21,900,098) | ||
NET ASSETS - 100% | $2,456,538,230 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 108 | Sept. 2020 | $15,018,750 | $36,067 | $36,067 |
The notional amount of futures purchased as a percentage of Net Assets is 0.6%
Swaps
Underlying Reference | Maturity Date | Clearinghouse / Counterparty(1) | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount | Value | Upfront Premium Received/(Paid)(2) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | ||||||||
Buy Protection | ||||||||
CDX HY CDSI Series 34 5Y PRC Corp. | Jun. 2025 | ICE | (5%) | Quarterly | $17,622,000 | $(797,558) | $0 | $(797,558) |
(1) Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
Security Type Abbreviations
ETF – Exchange-Traded Fund
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 $513,825,004 or 20.9% of net assets.
(b) Non-income producing - Security is in default.
(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(f) Non-income producing
(g) 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.
(h) The coupon rate will be determined upon settlement of the loan after period end.
(i) Level 3 security
(j) Affiliated Fund
(k) Security is perpetual in nature with no stated maturity date.
(l) 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.
(m) The rate quoted is the annualized seven-day yield of the fund at period end.
(n) Includes $350,000 of cash collateral to cover margin requirements for futures contracts.
(o) Includes $1,320,000 of cash collateral to cover margin requirements for centrally cleared OTC swaps.
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 | $21,760 |
Total | $21,760 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Capital & Income Fund | $147,684,574 | $101,052,338 | $114,005,045 | $1,050,322 | $566,512 | $(12,661,404) | $122,636,975 |
Total | $147,684,574 | $101,052,338 | $114,005,045 | $1,050,322 | $566,512 | $(12,661,404) | $122,636,975 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (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: 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). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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. Asset backed securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.
Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
If an unaffiliated Underlying Fund's net asset value is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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