Quarterly Holdings Report
for
Strategic Advisers® Income Opportunities Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
November 30, 2021
SRQ-NPRT3-0122
1.912885.111
Corporate Bonds - 42.7% | |||
Principal Amount (a) | Value ($) | ||
Convertible Bonds - 0.1% | |||
COMMUNICATION SERVICES - 0.0% | |||
Media - 0.0% | |||
DISH Network Corp. 3.375% 8/15/26 | 540,000 | 497,746 | |
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Cheniere Energy, Inc. 4.25% 3/15/45 | 2,000,000 | 1,692,721 | |
Mesquite Energy, Inc. 15% 7/15/23 (b)(c) | 612,315 | 2,100,240 | |
Mesquite Energy, Inc. 15% 7/15/23 (b)(c) | 354,584 | 1,347,419 | |
5,140,380 | |||
TOTAL CONVERTIBLE BONDS | 5,638,126 | ||
Nonconvertible Bonds - 42.6% | |||
COMMUNICATION SERVICES - 7.5% | |||
Diversified Telecommunication Services - 2.1% | |||
Altice France SA: | |||
5.125% 1/15/29(d) | 6,602,000 | 6,251,632 | |
5.125% 7/15/29(d) | 8,575,000 | 8,149,509 | |
5.5% 1/15/28(d) | 1,940,000 | 1,920,600 | |
5.5% 10/15/29(d) | 4,170,000 | 4,024,050 | |
8.125% 2/1/27(d) | 2,000,000 | 2,133,300 | |
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d) | 12,125,000 | 12,670,625 | |
Cablevision Lightpath LLC: | |||
3.875% 9/15/27(d) | 1,527,000 | 1,483,099 | |
5.625% 9/15/28(d) | 1,575,000 | 1,539,563 | |
Connect Finco SARL / Connect U.S. Finco LLC 6.75% 10/1/26 (d) | 1,515,000 | 1,579,388 | |
Consolidated Communications, Inc.: | |||
5% 10/1/28(d) | 570,000 | 561,074 | |
6.5% 10/1/28(d) | 995,000 | 1,032,313 | |
Embarq Corp. 7.995% 6/1/36 | 825,000 | 904,357 | |
Frontier Communications Holdings LLC: | |||
5% 5/1/28(d) | 3,525,000 | 3,534,905 | |
5.875% 10/15/27(d) | 3,084,000 | 3,184,770 | |
5.875% 11/1/29 | 1,365,000 | 1,341,972 | |
6% 1/15/30(d) | 1,095,000 | 1,077,141 | |
6.75% 5/1/29(d) | 2,590,000 | 2,665,874 | |
Holdco SASU: | |||
6.5% 10/15/26(d) | 3,250,000 | 3,323,710 | |
7% 10/15/28(d) | 1,350,000 | 1,383,750 | |
Level 3 Financing, Inc.: | |||
3.625% 1/15/29(d) | 1,357,000 | 1,255,225 | |
3.75% 7/15/29(d) | 2,200,000 | 2,043,250 | |
4.25% 7/1/28(d) | 2,905,000 | 2,832,375 | |
4.625% 9/15/27(d) | 2,470,000 | 2,502,110 | |
Lumen Technologies, Inc.: | |||
4.5% 1/15/29(d) | 6,165,000 | 5,796,888 | |
5.125% 12/15/26(d) | 5,310,000 | 5,319,293 | |
5.375% 6/15/29(d) | 1,295,000 | 1,261,097 | |
6.875% 1/15/28 | 613,000 | 672,627 | |
7.6% 9/15/39 | 1,634,000 | 1,748,380 | |
7.65% 3/15/42 | 587,000 | 631,518 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.: | |||
6% 2/15/28(d) | 340,000 | 323,000 | |
10.75% 6/1/28(d) | 1,811,000 | 1,989,836 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 4,777,000 | 5,897,541 | |
8.75% 3/15/32 | 3,534,000 | 5,224,666 | |
Switch Ltd. 4.125% 6/15/29 (d) | 750,000 | 753,394 | |
Telecom Italia Capital SA: | |||
6% 9/30/34 | 1,442,000 | 1,450,710 | |
7.2% 7/18/36 | 1,003,000 | 1,092,478 | |
7.721% 6/4/38 | 250,000 | 283,808 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d) | 2,000,000 | 2,061,000 | |
Virgin Media Finance PLC 5% 7/15/30 (d) | 335,000 | 324,950 | |
Windstream Escrow LLC 7.75% 8/15/28 (d) | 3,840,000 | 4,000,550 | |
Zayo Group Holdings, Inc.: | |||
4% 3/1/27(d) | 2,230,000 | 2,124,075 | |
6.125% 3/1/28(d) | 3,353,000 | 3,156,011 | |
111,506,414 | |||
Entertainment - 0.3% | |||
AMC Entertainment Holdings, Inc. 12% 6/15/26 pay-in-kind (d)(e) | 1,802,120 | 1,831,404 | |
Cinemark U.S.A., Inc. 5.25% 7/15/28 (d) | 1,115,000 | 1,056,463 | |
Live Nation Entertainment, Inc. 4.75% 10/15/27 (d) | 705,000 | 705,000 | |
National CineMedia LLC 5.75% 8/15/26 | 475,000 | 371,688 | |
Netflix, Inc. 6.375% 5/15/29 | 6,490,000 | 8,078,330 | |
Roblox Corp. 3.875% 5/1/30 (d) | 3,080,000 | 3,087,700 | |
15,130,585 | |||
Media - 4.3% | |||
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (d) | 4,794,000 | 4,905,413 | |
Altice Financing SA: | |||
5% 1/15/28(d) | 7,935,000 | 7,417,995 | |
5.75% 8/15/29(d) | 8,170,000 | 7,781,231 | |
Altice France Holding SA 6% 2/15/28 (d) | 11,410,000 | 10,682,613 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.25% 2/1/31(d) | 11,600,000 | 11,427,044 | |
4.25% 1/15/34(d) | 1,115,000 | 1,072,630 | |
4.5% 8/15/30(d) | 6,720,000 | 6,773,390 | |
4.5% 5/1/32 | 9,704,000 | 9,664,020 | |
4.5% 6/1/33(d) | 6,715,000 | 6,614,275 | |
4.75% 3/1/30(d) | 1,506,000 | 1,543,093 | |
5% 2/1/28(d) | 3,358,000 | 3,458,740 | |
5.125% 5/1/27(d) | 1,250,000 | 1,286,606 | |
5.375% 6/1/29(d) | 4,510,000 | 4,770,768 | |
5.5% 5/1/26(d) | 1,475,000 | 1,522,495 | |
Clear Channel Outdoor Holdings, Inc.: | |||
7.5% 6/1/29(d) | 1,475,000 | 1,515,563 | |
7.75% 4/15/28(d) | 2,650,000 | 2,762,062 | |
Clear Channel Worldwide Holdings, Inc. 5.125% 8/15/27 (d) | 665,000 | 671,650 | |
CSC Holdings LLC: | |||
3.375% 2/15/31(d) | 1,020,000 | 931,648 | |
4.125% 12/1/30(d) | 3,352,000 | 3,207,763 | |
4.625% 12/1/30(d) | 11,707,000 | 10,887,510 | |
5% 11/15/31(d) | 1,805,000 | 1,687,675 | |
5.375% 2/1/28(d) | 2,840,000 | 2,900,350 | |
5.5% 4/15/27(d) | 860,000 | 882,975 | |
5.75% 1/15/30(d) | 4,805,000 | 4,705,921 | |
6.5% 2/1/29(d) | 2,635,000 | 2,785,827 | |
7.5% 4/1/28(d) | 5,500,000 | 5,836,875 | |
Diamond Sports Group LLC/Diamond Sports Finance Co.: | |||
5.375% 8/15/26(d) | 9,480,000 | 4,194,900 | |
6.625% 8/15/27(d) | 15,605,000 | 3,269,794 | |
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 8/15/27 (d) | 1,275,000 | 1,297,376 | |
DISH DBS Corp.: | |||
5% 3/15/23 | 926,000 | 940,816 | |
5.125% 6/1/29 | 4,530,000 | 3,978,020 | |
5.25% 12/1/26(d) | 1,535,000 | 1,520,279 | |
5.75% 12/1/28(d) | 2,300,000 | 2,266,259 | |
5.875% 11/15/24 | 649,000 | 656,438 | |
7.375% 7/1/28 | 2,155,000 | 2,111,900 | |
7.75% 7/1/26 | 6,324,000 | 6,497,910 | |
Dolya Holdco 18 DAC 5% 7/15/28 (d) | 2,112,000 | 2,081,334 | |
Gray Escrow II, Inc. 5.375% 11/15/31 (d) | 1,675,000 | 1,678,585 | |
Gray Television, Inc.: | |||
5.875% 7/15/26(d) | 765,000 | 787,721 | |
7% 5/15/27(d) | 1,175,000 | 1,245,500 | |
iHeartCommunications, Inc.: | |||
5.25% 8/15/27(d) | 1,490,000 | 1,512,127 | |
8.375% 5/1/27 | 12,390,000 | 13,036,139 | |
LCPR Senior Secured Financing DAC 6.75% 10/15/27 (d) | 345,000 | 357,675 | |
Midas Opco Holdings LLC 5.625% 8/15/29 (d) | 4,320,000 | 4,352,400 | |
News Corp. 3.875% 5/15/29 (d) | 1,150,000 | 1,130,168 | |
Nexstar Broadcasting, Inc.: | |||
4.75% 11/1/28(d) | 3,100,000 | 3,095,658 | |
5.625% 7/15/27(d) | 13,000 | 13,488 | |
Outfront Media Capital LLC / Corp.: | |||
4.25% 1/15/29(d) | 350,000 | 340,375 | |
6.25% 6/15/25(d) | 355,000 | 369,200 | |
Radiate Holdco LLC/Radiate Financial Service Ltd.: | |||
4.5% 9/15/26(d) | 3,597,000 | 3,574,627 | |
6.5% 9/15/28(d) | 7,560,000 | 7,330,932 | |
Scripps Escrow II, Inc.: | |||
3.875% 1/15/29(d) | 600,000 | 596,250 | |
5.375% 1/15/31(d) | 1,175,000 | 1,180,875 | |
Scripps Escrow, Inc. 5.875% 7/15/27 (d) | 200,000 | 205,190 | |
Sinclair Television Group, Inc.: | |||
5.125% 2/15/27(d) | 1,615,000 | 1,495,320 | |
5.875% 3/15/26(d) | 1,595,000 | 1,599,394 | |
Sirius XM Radio, Inc.: | |||
3.125% 9/1/26(d) | 745,000 | 733,832 | |
3.875% 9/1/31(d) | 1,335,000 | 1,264,913 | |
4% 7/15/28(d) | 3,785,000 | 3,742,419 | |
4.125% 7/1/30(d) | 2,200,000 | 2,149,224 | |
5% 8/1/27(d) | 800,000 | 823,760 | |
5.5% 7/1/29(d) | 1,895,000 | 2,010,102 | |
Tegna, Inc.: | |||
4.625% 3/15/28 | 845,000 | 841,662 | |
5% 9/15/29 | 380,000 | 380,950 | |
Townsquare Media, Inc. 6.875% 2/1/26 (d) | 1,655,000 | 1,735,516 | |
Univision Communications, Inc.: | |||
4.5% 5/1/29(d) | 4,440,000 | 4,436,936 | |
5.125% 2/15/25(d) | 2,545,000 | 2,581,406 | |
6.625% 6/1/27(d) | 4,225,000 | 4,519,483 | |
9.5% 5/1/25(d) | 1,222,000 | 1,310,595 | |
Virgin Media Secured Finance PLC: | |||
4.5% 8/15/30(d) | 1,900,000 | 1,856,927 | |
5.5% 5/15/29(d) | 860,000 | 893,549 | |
VTR Finance BV 6.375% 7/15/28 (d) | 660,000 | 686,400 | |
Ziggo Bond Co. BV 5.125% 2/28/30 (d) | 1,235,000 | 1,234,111 | |
Ziggo BV 4.875% 1/15/30 (d) | 1,570,000 | 1,588,644 | |
223,203,211 | |||
Wireless Telecommunication Services - 0.8% | |||
Digicel Group Holdings Ltd. 10% 4/1/24 pay-in-kind (f) | 324,516 | 323,908 | |
Digicel Group Ltd. 6.75% 3/1/23 (d) | 7,925,000 | 7,548,563 | |
Digicel International Finance Ltd. / Digicel International Holdings Ltd.: | |||
8% 12/31/26(d) | 1,250,000 | 1,215,625 | |
8.75% 5/25/24(d) | 5,075,000 | 5,213,928 | |
8.75% 5/25/24(d) | 1,570,000 | 1,610,526 | |
13% 12/31/25 pay-in-kind(d)(f) | 3,675,906 | 3,757,006 | |
Intelsat Jackson Holdings SA: | |||
5.5% 8/1/23(g) | 3,685,000 | 1,787,225 | |
8.5% 10/15/24(d)(g) | 7,200,000 | 3,618,000 | |
9.5% 9/30/22(d) | 3,325,000 | 3,873,625 | |
9.75% 7/15/25(d)(g) | 50,000 | 24,500 | |
Sprint Corp.: | |||
7.125% 6/15/24 | 5,175,000 | 5,798,743 | |
7.625% 2/15/25 | 2,050,000 | 2,347,250 | |
7.875% 9/15/23 | 2,675,000 | 2,939,156 | |
T-Mobile U.S.A., Inc.: | |||
2.625% 2/15/29 | 1,175,000 | 1,133,875 | |
2.875% 2/15/31 | 1,100,000 | 1,064,261 | |
Telesat Canada/Telesat LLC 6.5% 10/15/27 (d) | 865,000 | 674,441 | |
42,930,632 | |||
TOTAL COMMUNICATION SERVICES | 392,770,842 | ||
CONSUMER DISCRETIONARY - 7.2% | |||
Auto Components - 0.9% | |||
Adient Global Holdings Ltd. 4.875% 8/15/26 (d) | 2,725,000 | 2,728,406 | |
Albion Financing 1 SARL 6.125% 10/15/26 (d) | 1,560,000 | 1,517,069 | |
Albion Financing 2 SARL 8.75% 4/15/27 (d) | 780,000 | 747,583 | |
Allison Transmission, Inc.: | |||
3.75% 1/30/31(d) | 575,000 | 549,691 | |
5.875% 6/1/29(d) | 1,016,000 | 1,085,647 | |
American Axle & Manufacturing, Inc.: | |||
5% 10/1/29 | 3,125,000 | 2,964,844 | |
6.25% 3/15/26 | 1,000,000 | 1,022,500 | |
6.5% 4/1/27 | 2,855,000 | 2,960,292 | |
6.875% 7/1/28 | 550,000 | 587,675 | |
Cooper Standard Auto, Inc. 5.625% 11/15/26 (d) | 1,775,000 | 1,446,945 | |
Dana Financing Luxembourg SARL 5.75% 4/15/25 (d) | 899,000 | 918,104 | |
Dana, Inc.: | |||
4.25% 9/1/30 | 1,570,000 | 1,560,188 | |
4.5% 2/15/32 | 875,000 | 853,221 | |
5.375% 11/15/27 | 120,000 | 125,250 | |
5.625% 6/15/28 | 1,215,000 | 1,278,788 | |
Dornoch Debt Merger Sub, Inc. 6.625% 10/15/29 (d) | 925,000 | 911,125 | |
Nesco Holdings II, Inc. 5.5% 4/15/29 (d) | 1,250,000 | 1,268,375 | |
Panther BF Aggregator 2 LP / Panther Finance Co., Inc.: | |||
6.25% 5/15/26(d) | 113,000 | 117,431 | |
8.5% 5/15/27(d) | 7,420,000 | 7,809,550 | |
Patrick Industries, Inc.: | |||
4.75% 5/1/29(d) | 1,375,000 | 1,343,650 | |
7.5% 10/15/27(d) | 700,000 | 742,000 | |
Tenneco, Inc.: | |||
5% 7/15/26 | 2,300,000 | 2,195,488 | |
5.125% 4/15/29(d) | 5,545,000 | 5,364,788 | |
7.875% 1/15/29(d) | 2,640,000 | 2,821,500 | |
The Goodyear Tire & Rubber Co.: | |||
5% 7/15/29(d) | 3,100,000 | 3,235,935 | |
5.25% 4/30/31 | 1,620,000 | 1,705,747 | |
5.25% 7/15/31(d) | 1,680,000 | 1,752,341 | |
49,614,133 | |||
Automobiles - 0.5% | |||
Ford Motor Co.: | |||
3.25% 2/12/32 | 1,100,000 | 1,101,870 | |
4.75% 1/15/43 | 5,613,000 | 6,005,910 | |
5.291% 12/8/46 | 6,800,000 | 7,678,084 | |
7.45% 7/16/31 | 170,000 | 226,883 | |
9% 4/22/25 | 2,845,000 | 3,455,253 | |
9.625% 4/22/30 | 1,175,000 | 1,706,688 | |
PM General Purchaser LLC 9.5% 10/1/28 (d) | 3,305,000 | 3,383,874 | |
23,558,562 | |||
Diversified Consumer Services - 0.4% | |||
Adtalem Global Education, Inc. 5.5% 3/1/28 (d) | 6,395,000 | 6,159,728 | |
Carriage Services, Inc. 4.25% 5/15/29 (d) | 700,000 | 686,000 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d) | 2,875,000 | 2,942,023 | |
Service Corp. International: | |||
3.375% 8/15/30 | 1,890,000 | 1,804,950 | |
4% 5/15/31 | 1,505,000 | 1,501,238 | |
5.125% 6/1/29 | 460,000 | 489,900 | |
Sotheby's 7.375% 10/15/27 (d) | 3,660,000 | 3,824,700 | |
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d) | 3,775,000 | 3,888,250 | |
21,296,789 | |||
Hotels, Restaurants & Leisure - 3.5% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
3.5% 2/15/29(d) | 825,000 | 792,990 | |
3.875% 1/15/28(d) | 200,000 | 197,462 | |
4% 10/15/30(d) | 5,884,000 | 5,622,397 | |
Affinity Gaming LLC 6.875% 12/15/27 (d) | 2,195,000 | 2,249,875 | |
Aramark Services, Inc. 5% 2/1/28 (d) | 2,755,000 | 2,768,775 | |
Boyd Gaming Corp.: | |||
4.75% 12/1/27 | 1,220,000 | 1,238,300 | |
4.75% 6/15/31(d) | 725,000 | 721,013 | |
8.625% 6/1/25(d) | 345,000 | 369,150 | |
Brinker International, Inc. 5% 10/1/24 (d) | 2,315,000 | 2,436,538 | |
Caesars Entertainment, Inc.: | |||
4.625% 10/15/29(d) | 3,310,000 | 3,227,250 | |
6.25% 7/1/25(d) | 3,104,000 | 3,227,477 | |
8.125% 7/1/27(d) | 3,665,000 | 4,021,055 | |
Caesars Resort Collection LLC 5.75% 7/1/25 (d) | 770,000 | 799,791 | |
Carnival Corp.: | |||
4% 8/1/28(d) | 2,990,000 | 2,898,895 | |
5.75% 3/1/27(d) | 6,075,000 | 5,911,886 | |
6% 5/1/29(d) | 4,035,000 | 3,924,038 | |
6.65% 1/15/28 | 110,000 | 113,367 | |
7.625% 3/1/26(d) | 7,540,000 | 7,730,611 | |
9.875% 8/1/27(d) | 1,340,000 | 1,508,291 | |
Carrols Restaurant Group, Inc. 5.875% 7/1/29 (d) | 1,425,000 | 1,221,966 | |
CCM Merger, Inc. 6.375% 5/1/26 (d) | 1,450,000 | 1,508,000 | |
Cedar Fair LP 5.25% 7/15/29 | 915,000 | 939,275 | |
Cedar Fair LP/Canada's Wonderland Co. 5.375% 4/15/27 | 1,130,000 | 1,149,775 | |
Churchill Downs, Inc. 5.5% 4/1/27 (d) | 875,000 | 901,382 | |
Cirsa Finance International SARL 4.5% 3/15/27 (d) | EUR | 770,000 | 836,310 |
Dave & Buster's, Inc. 7.625% 11/1/25 (d) | 1,892,000 | 2,005,520 | |
Everi Holdings, Inc. 5% 7/15/29 (d) | 300,000 | 299,696 | |
Golden Entertainment, Inc. 7.625% 4/15/26 (d) | 4,256,000 | 4,426,240 | |
Golden Nugget, Inc. 6.75% 10/15/24 (d) | 2,175,000 | 2,185,875 | |
Hilton Domestic Operating Co., Inc.: | |||
3.625% 2/15/32(d) | 2,725,000 | 2,645,076 | |
3.75% 5/1/29(d) | 425,000 | 421,060 | |
4% 5/1/31(d) | 1,930,000 | 1,933,874 | |
5.375% 5/1/25(d) | 330,000 | 341,306 | |
5.75% 5/1/28(d) | 640,000 | 676,948 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 | 785,000 | 805,606 | |
International Game Technology PLC: | |||
4.125% 4/15/26(d) | 620,000 | 630,850 | |
5.25% 1/15/29(d) | 3,550,000 | 3,692,817 | |
6.25% 1/15/27(d) | 4,671,000 | 5,138,100 | |
Jacobs Entertainment, Inc. 7.875% 2/1/24 (d) | 2,745,000 | 2,799,900 | |
Marriott International, Inc. 5.75% 5/1/25 | 53,000 | 59,816 | |
Melco Resorts Finance Ltd.: | |||
5.375% 12/4/29(d) | 1,105,000 | 1,077,850 | |
5.75% 7/21/28(d) | 975,000 | 957,938 | |
Merlin Entertainments PLC 5.75% 6/15/26 (d) | 400,000 | 413,000 | |
MGM China Holdings Ltd.: | |||
4.75% 2/1/27(d) | 1,015,000 | 984,550 | |
5.875% 5/15/26(d) | 820,000 | 822,973 | |
MGM Resorts International: | |||
4.75% 10/15/28 | 5,188,000 | 5,292,331 | |
5.5% 4/15/27 | 2,259,000 | 2,353,652 | |
6.75% 5/1/25 | 1,875,000 | 1,952,344 | |
Midwest Gaming Borrower LLC / Midwest Gaming Financial Corp. 4.875% 5/1/29 (d) | 2,715,000 | 2,690,429 | |
Motion Bondco DAC 6.625% 11/15/27 (d) | 3,400,000 | 3,391,500 | |
NCL Corp. Ltd.: | |||
3.625% 12/15/24(d) | 1,742,000 | 1,598,947 | |
5.875% 3/15/26(d) | 2,780,000 | 2,709,444 | |
10.25% 2/1/26(d) | 631,000 | 722,495 | |
NCL Finance Ltd. 6.125% 3/15/28 (d) | 1,235,000 | 1,203,520 | |
Peninsula Pacific Entertainment LLC 8.5% 11/15/27 (d) | 5,250,000 | 5,677,875 | |
Penn National Gaming, Inc.: | |||
4.125% 7/1/29(d) | 650,000 | 613,405 | |
5.625% 1/15/27(d) | 3,025,000 | 3,095,422 | |
Premier Entertainment Sub LLC: | |||
5.625% 9/1/29(d) | 2,010,000 | 2,010,000 | |
5.875% 9/1/31(d) | 2,185,000 | 2,193,194 | |
Raptor Acquisition Corp. / Raptor Co-Issuer LLC 4.875% 11/1/26 (d) | 290,000 | 293,666 | |
Royal Caribbean Cruises Ltd.: | |||
4.25% 7/1/26(d) | 2,640,000 | 2,490,127 | |
5.5% 8/31/26(d) | 4,045,000 | 3,943,875 | |
5.5% 4/1/28(d) | 5,070,000 | 4,930,575 | |
9.125% 6/15/23(d) | 190,000 | 201,524 | |
10.875% 6/1/23(d) | 1,065,000 | 1,158,124 | |
Scientific Games Corp.: | |||
5% 10/15/25(d) | 400,000 | 410,500 | |
7% 5/15/28(d) | 345,000 | 366,626 | |
7.25% 11/15/29(d) | 3,780,000 | 4,170,569 | |
8.25% 3/15/26(d) | 5,405,000 | 5,689,465 | |
8.625% 7/1/25(d) | 2,769,000 | 2,947,960 | |
SeaWorld Parks & Entertainment, Inc. 5.25% 8/15/29 (d) | 2,510,000 | 2,501,215 | |
Studio City Finance Ltd. 5% 1/15/29 (d) | 2,135,000 | 1,921,233 | |
Viking Cruises Ltd.: | |||
5.875% 9/15/27(d) | 675,000 | 626,252 | |
7% 2/15/29(d) | 1,555,000 | 1,516,125 | |
13% 5/15/25(d) | 465,000 | 524,288 | |
Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (d) | 845,000 | 813,313 | |
Voc Escrow Ltd. 5% 2/15/28 (d) | 850,000 | 814,938 | |
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (d) | 715,000 | 722,404 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (d) | 3,185,000 | 3,122,192 | |
Wynn Macau Ltd.: | |||
5.125% 12/15/29(d) | 1,275,000 | 1,131,563 | |
5.5% 1/15/26(d) | 945,000 | 884,638 | |
5.5% 10/1/27(d) | 3,235,000 | 2,986,309 | |
5.625% 8/26/28(d) | 3,250,000 | 2,978,422 | |
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.: | |||
5.125% 10/1/29(d) | 2,130,000 | 2,082,075 | |
7.75% 4/15/25(d) | 1,004,000 | 1,046,188 | |
Yum! Brands, Inc.: | |||
4.625% 1/31/32 | 1,480,000 | 1,508,490 | |
5.35% 11/1/43 | 1,755,000 | 1,908,273 | |
6.875% 11/15/37 | 2,560,000 | 3,212,800 | |
7.75% 4/1/25(d) | 770,000 | 811,626 | |
181,854,777 | |||
Household Durables - 0.6% | |||
Apex Tool Group LLC / BC Mountain Finance, Inc. 9% 2/15/23 (d) | 810,000 | 785,700 | |
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co.: | |||
4.625% 8/1/29(d) | 400,000 | 396,000 | |
4.625% 4/1/30(d) | 450,000 | 440,550 | |
6.625% 1/15/28(d) | 2,000,000 | 2,105,000 | |
Beazer Homes U.S.A., Inc. 7.25% 10/15/29 | 7,175,000 | 7,867,746 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp.: | |||
4.875% 2/15/30(d) | 1,579,000 | 1,572,854 | |
5% 6/15/29(d) | 2,080,000 | 2,067,000 | |
6.25% 9/15/27(d) | 2,113,000 | 2,186,955 | |
CD&R Smokey Buyer, Inc. 6.75% 7/15/25 (d) | 170,000 | 177,438 | |
Century Communities, Inc. 3.875% 8/15/29 (d) | 275,000 | 270,912 | |
KB Home: | |||
4% 6/15/31 | 2,025,000 | 2,045,027 | |
4.8% 11/15/29 | 2,225,000 | 2,366,844 | |
M/I Homes, Inc. 4.95% 2/1/28 | 1,335,000 | 1,375,050 | |
Picasso Finance Sub, Inc. 6.125% 6/15/25 (d) | 421,000 | 437,314 | |
STL Holding Co. LLC 7.5% 2/15/26 (d) | 1,250,000 | 1,306,250 | |
SWF Escrow Issuer Corp. 6.5% 10/1/29 (d) | 1,975,000 | 1,896,000 | |
Tempur Sealy International, Inc. 4% 4/15/29 (d) | 700,000 | 694,883 | |
TopBuild Corp.: | |||
3.625% 3/15/29(d) | 1,000,000 | 991,250 | |
4.125% 2/15/32(d) | 2,600,000 | 2,604,901 | |
TRI Pointe Homes, Inc.: | |||
5.25% 6/1/27 | 975,000 | 1,043,250 | |
5.7% 6/15/28 | 1,080,000 | 1,161,000 | |
33,791,924 | |||
Internet & Direct Marketing Retail - 0.3% | |||
Match Group Holdings II LLC: | |||
3.625% 10/1/31(d) | 1,325,000 | 1,249,078 | |
4.125% 8/1/30(d) | 399,000 | 395,509 | |
Millennium Escrow Corp. 6.625% 8/1/26 (d) | 875,000 | 873,906 | |
Photo Holdings Merger Sub, Inc. 8.5% 10/1/26 (d) | 2,960,000 | 2,969,886 | |
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d) | 10,149,000 | 10,754,895 | |
16,243,274 | |||
Leisure Products - 0.1% | |||
Mattel, Inc.: | |||
5.45% 11/1/41 | 380,000 | 447,876 | |
5.875% 12/15/27(d) | 600,000 | 639,000 | |
6.2% 10/1/40 | 610,000 | 779,397 | |
Vista Outdoor, Inc. 4.5% 3/15/29 (d) | 1,425,000 | 1,421,438 | |
3,287,711 | |||
Multiline Retail - 0.0% | |||
LSF9 Atlantis Holdings LLC / Victra Finance Corp. 7.75% 2/15/26 (d) | 1,220,000 | 1,224,868 | |
Nordstrom, Inc.: | |||
4.25% 8/1/31 | 740,000 | 708,517 | |
4.375% 4/1/30 | 495,000 | 485,768 | |
2,419,153 | |||
Specialty Retail - 0.7% | |||
Adient U.S. LLC 9% 4/15/25 (d) | 900,000 | 954,000 | |
Ambience Merger Sub, Inc.: | |||
4.875% 7/15/28(d) | 250,000 | 247,500 | |
7.125% 7/15/29(d) | 2,695,000 | 2,607,413 | |
Asbury Automotive Group, Inc.: | |||
4.625% 11/15/29(d) | 780,000 | 784,926 | |
5% 2/15/32(d) | 905,000 | 910,760 | |
Bath & Body Works, Inc.: | |||
5.25% 2/1/28 | 240,000 | 257,400 | |
6.625% 10/1/30(d) | 2,135,000 | 2,368,484 | |
6.694% 1/15/27 | 780,000 | 879,450 | |
6.95% 3/1/33 | 720,000 | 818,381 | |
7.5% 6/15/29 | 745,000 | 830,101 | |
Constellation Automotive Financing PLC 4.875% 7/15/27 (d) | GBP | 360,000 | 464,610 |
Foot Locker, Inc. 4% 10/1/29 (d) | 2,950,000 | 2,920,500 | |
Gap, Inc.: | |||
3.625% 10/1/29(d) | 325,000 | 310,954 | |
3.875% 10/1/31(d) | 975,000 | 933,095 | |
Jaguar Land Rover Automotive PLC: | |||
5.875% 1/15/28(d) | 845,000 | 855,017 | |
7.75% 10/15/25(d) | 2,485,000 | 2,656,639 | |
LBM Acquisition LLC 6.25% 1/15/29 (d) | 1,550,000 | 1,483,660 | |
LCM Investments Holdings 4.875% 5/1/29 (d) | 2,730,000 | 2,719,435 | |
Metis Merger Sub LLC 6.5% 5/15/29 (d) | 4,540,000 | 4,437,850 | |
Park River Holdings, Inc. 5.625% 2/1/29 (d) | 3,800,000 | 3,600,500 | |
PetSmart, Inc. / PetSmart Finance Corp.: | |||
4.75% 2/15/28(d) | 250,000 | 253,026 | |
7.75% 2/15/29(d) | 3,500,000 | 3,740,625 | |
Rent-A-Center, Inc. 6.375% 2/15/29 (d) | 345,000 | 353,773 | |
Sally Holdings LLC 8.75% 4/30/25 (d) | 800,000 | 854,000 | |
Specialty Building Products Holdings LLC 6.375% 9/30/26 (d) | 1,140,000 | 1,181,416 | |
37,423,515 | |||
Textiles, Apparel & Luxury Goods - 0.2% | |||
Kontoor Brands, Inc. 4.125% 11/15/29 (d) | 930,000 | 927,694 | |
Levi Strauss & Co. 3.5% 3/1/31 (d) | 1,565,000 | 1,590,431 | |
The William Carter Co.: | |||
5.5% 5/15/25(d) | 1,150,000 | 1,194,781 | |
5.625% 3/15/27(d) | 1,030,000 | 1,060,426 | |
Wolverine World Wide, Inc. 4% 8/15/29 (d) | 3,180,000 | 3,084,600 | |
7,857,932 | |||
TOTAL CONSUMER DISCRETIONARY | 377,347,770 | ||
CONSUMER STAPLES - 1.8% | |||
Beverages - 0.2% | |||
Primo Water Holdings, Inc. 4.375% 4/30/29 (d) | 2,725,000 | 2,696,987 | |
Triton Water Holdings, Inc. 6.25% 4/1/29 (d) | 5,760,000 | 5,593,536 | |
8,290,523 | |||
Food & Staples Retailing - 0.5% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.5% 3/15/29(d) | 6,125,000 | 6,070,181 | |
4.875% 2/15/30(d) | 2,500,000 | 2,657,075 | |
5.875% 2/15/28(d) | 3,210,000 | 3,378,878 | |
7.5% 3/15/26(d) | 350,000 | 373,604 | |
C&S Group Enterprises LLC 5% 12/15/28 (d) | 5,010,000 | 4,667,817 | |
Iceland Bondco PLC 4.625% 3/15/25 (Reg. S) | GBP | 1,055,000 | 1,276,818 |
New Albertsons LP: | |||
7.45% 8/1/29 | 615,000 | 704,175 | |
8% 5/1/31 | 415,000 | 493,850 | |
Performance Food Group, Inc. 5.5% 10/15/27 (d) | 2,219,000 | 2,285,570 | |
Sigma Holdco BV 7.875% 5/15/26 (d) | 505,000 | 488,966 | |
U.S. Foods, Inc.: | |||
4.625% 6/1/30(d) | 1,235,000 | 1,241,175 | |
4.75% 2/15/29(d) | 1,985,000 | 2,009,614 | |
United Natural Foods, Inc. 6.75% 10/15/28 (d) | 890,000 | 953,413 | |
26,601,136 | |||
Food Products - 0.9% | |||
B&G Foods, Inc. 5.25% 9/15/27 | 3,305,000 | 3,358,706 | |
Chobani LLC/Finance Corp., Inc.: | |||
4.625% 11/15/28(d) | 1,200,000 | 1,218,000 | |
7.5% 4/15/25(d) | 1,575,000 | 1,628,156 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (d) | 50,000 | 53,925 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
3.75% 12/1/31(d) | 2,385,000 | 2,409,327 | |
5.5% 1/15/30(d) | 2,775,000 | 2,976,715 | |
6.5% 4/15/29(d) | 6,255,000 | 6,849,225 | |
Kraft Heinz Foods Co.: | |||
4.375% 6/1/46 | 2,250,000 | 2,604,010 | |
4.875% 10/1/49 | 2,035,000 | 2,537,150 | |
5% 6/4/42 | 825,000 | 1,007,979 | |
5.2% 7/15/45 | 650,000 | 827,285 | |
5.5% 6/1/50 | 1,325,000 | 1,796,723 | |
6.5% 2/9/40 | 400,000 | 569,819 | |
6.875% 1/26/39 | 690,000 | 1,010,280 | |
7.125% 8/1/39(d) | 525,000 | 787,921 | |
Lamb Weston Holdings, Inc.: | |||
4.125% 1/31/30(d) | 3,215,000 | 3,205,982 | |
4.375% 1/31/32(d) | 1,100,000 | 1,093,928 | |
Pilgrim's Pride Corp. 5.875% 9/30/27 (d) | 3,865,000 | 4,058,250 | |
Post Holdings, Inc.: | |||
4.5% 9/15/31(d) | 3,335,000 | 3,218,342 | |
4.625% 4/15/30(d) | 3,304,000 | 3,262,700 | |
5.5% 12/15/29(d) | 2,114,000 | 2,186,848 | |
5.625% 1/15/28(d) | 690,000 | 710,224 | |
5.75% 3/1/27(d) | 580,000 | 597,441 | |
TreeHouse Foods, Inc. 4% 9/1/28 | 850,000 | 805,894 | |
48,774,830 | |||
Household Products - 0.1% | |||
Central Garden & Pet Co.: | |||
4.125% 10/15/30 | 47,000 | 46,965 | |
4.125% 4/30/31(d) | 750,000 | 751,875 | |
Diamond BC BV 4.625% 10/1/29 (d) | 2,040,000 | 1,994,100 | |
Energizer Holdings, Inc.: | |||
4.375% 3/31/29(d) | 500,000 | 474,380 | |
4.75% 6/15/28(d) | 559,000 | 551,266 | |
Spectrum Brands Holdings, Inc.: | |||
5% 10/1/29(d) | 480,000 | 505,258 | |
5.5% 7/15/30(d) | 10,000 | 10,654 | |
4,334,498 | |||
Personal Products - 0.0% | |||
Prestige Brands, Inc. 3.75% 4/1/31 (d) | 1,357,000 | 1,300,176 | |
Tobacco - 0.1% | |||
Vector Group Ltd. 5.75% 2/1/29 (d) | 3,500,000 | 3,329,375 | |
TOTAL CONSUMER STAPLES | 92,630,538 | ||
ENERGY - 5.6% | |||
Energy Equipment & Services - 0.3% | |||
Archrock Partners LP / Archrock Partners Finance Corp. 6.875% 4/1/27 (d) | 865,000 | 899,600 | |
Exterran Energy Solutions LP 8.125% 5/1/25 | 575,000 | 533,313 | |
Nabors Industries Ltd.: | |||
7.25% 1/15/26(d) | 1,420,000 | 1,221,200 | |
7.5% 1/15/28(d) | 3,400,000 | 2,890,000 | |
Nabors Industries, Inc.: | |||
5.75% 2/1/25 | 2,300,000 | 1,922,294 | |
7.375% 5/15/27(d) | 75,000 | 73,500 | |
Precision Drilling Corp.: | |||
6.875% 1/15/29(d) | 525,000 | 510,563 | |
7.125% 1/15/26(d) | 1,000,000 | 1,006,690 | |
Transocean Guardian Ltd. 5.875% 1/15/24 (d) | 894,450 | 840,783 | |
Transocean Phoenix 2 Ltd. 7.75% 10/15/24 (d) | 519,999 | 519,999 | |
Transocean Pontus Ltd. 6.125% 8/1/25 (d) | 1,015,050 | 995,652 | |
Transocean Poseidon Ltd. 6.875% 2/1/27 (d) | 665,000 | 631,750 | |
Transocean Proteus Ltd. 6.25% 12/1/24 (d) | 668,250 | 661,568 | |
Transocean Sentry Ltd. 5.375% 5/15/23 (d) | 887,314 | 847,385 | |
Transocean, Inc.: | |||
7.5% 1/15/26(d) | 1,676,000 | 1,189,960 | |
8% 2/1/27(d) | 625,000 | 425,000 | |
11.5% 1/30/27(d) | 500,000 | 470,000 | |
U.S.A. Compression Partners LP: | |||
6.875% 4/1/26 | 780,000 | 793,650 | |
6.875% 9/1/27 | 580,000 | 594,842 | |
17,027,749 | |||
Oil, Gas & Consumable Fuels - 5.3% | |||
Aethon United BR LP / Aethon United Finance Corp. 8.25% 2/15/26 (d) | 2,640,000 | 2,791,800 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||
5.375% 6/15/29(d) | 1,521,000 | 1,537,685 | |
5.75% 3/1/27(d) | 1,775,000 | 1,784,745 | |
5.75% 1/15/28(d) | 1,710,000 | 1,757,196 | |
7.875% 5/15/26(d) | 525,000 | 562,217 | |
Antero Resources Corp.: | |||
5% 3/1/25 | 2,890,000 | 2,904,450 | |
5.375% 3/1/30(d) | 1,750,000 | 1,804,688 | |
7.625% 2/1/29(d) | 1,272,000 | 1,394,875 | |
8.375% 7/15/26(d) | 529,000 | 586,529 | |
Apache Corp.: | |||
5.1% 9/1/40 | 875,000 | 948,728 | |
5.25% 2/1/42 | 125,000 | 138,125 | |
5.35% 7/1/49 | 200,000 | 228,030 | |
7.75% 12/15/29 | 625,000 | 771,875 | |
Ascent Resources - Utica LLC/ARU Finance Corp.: | |||
7% 11/1/26(d) | 955,000 | 969,325 | |
9% 11/1/27(d) | 836,000 | 1,124,420 | |
Cheniere Energy Partners LP: | |||
3.25% 1/31/32(d) | 885,000 | 859,556 | |
4% 3/1/31(d) | 2,375,000 | 2,422,500 | |
Cheniere Energy, Inc. 4.625% 10/15/28 | 7,026,000 | 7,236,780 | |
Chesapeake Energy Corp.: | |||
5.5% 2/1/26(d) | 750,000 | 778,125 | |
5.875% 2/1/29(d) | 775,000 | 821,500 | |
Citgo Holding, Inc. 9.25% 8/1/24 (d) | 5,285,000 | 5,152,875 | |
Citgo Petroleum Corp.: | |||
6.375% 6/15/26(d) | 4,261,000 | 4,261,000 | |
7% 6/15/25(d) | 10,073,000 | 10,173,730 | |
CNX Midstream Partners LP 4.75% 4/15/30 (d) | 350,000 | 344,750 | |
CNX Resources Corp. 7.25% 3/14/27 (d) | 2,621,000 | 2,766,885 | |
Comstock Resources, Inc.: | |||
5.875% 1/15/30(d) | 4,485,000 | 4,492,041 | |
6.75% 3/1/29(d) | 5,375,000 | 5,590,000 | |
7.5% 5/15/25(d) | 468,000 | 479,700 | |
Continental Resources, Inc.: | |||
4.9% 6/1/44 | 285,000 | 316,119 | |
5.75% 1/15/31(d) | 1,445,000 | 1,683,107 | |
Coronado Finance Pty Ltd. 10.75% 5/15/26 (d) | 923,000 | 996,563 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27(d) | 7,624,000 | 7,624,000 | |
5.75% 4/1/25 | 648,000 | 649,915 | |
6% 2/1/29(d) | 2,605,000 | 2,634,306 | |
CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (d) | 1,000,000 | 1,005,920 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25(d) | 1,694,000 | 1,613,704 | |
5.75% 2/15/28(d) | 4,322,000 | 4,082,086 | |
DCP Midstream Operating LP: | |||
5.125% 5/15/29 | 920,000 | 1,020,188 | |
5.625% 7/15/27 | 1,960,000 | 2,189,104 | |
6.75% 9/15/37(d) | 1,350,000 | 1,782,000 | |
8.125% 8/16/30 | 1,540,000 | 2,059,750 | |
Delek Logistics Partners LP 7.125% 6/1/28 (d) | 2,015,000 | 2,085,525 | |
DT Midstream, Inc. 4.125% 6/15/29 (d) | 250,000 | 248,438 | |
EG Global Finance PLC: | |||
6.75% 2/7/25(d) | 4,685,000 | 4,720,138 | |
8.5% 10/30/25(d) | 4,239,000 | 4,358,243 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.75% 1/30/28(d) | 4,602,000 | 4,786,080 | |
6.625% 7/15/25(d) | 600,000 | 630,750 | |
EnLink Midstream LLC 5.625% 1/15/28 (d) | 390,000 | 399,750 | |
EQM Midstream Partners LP: | |||
4.125% 12/1/26 | 475,000 | 475,000 | |
5.5% 7/15/28 | 50,000 | 53,000 | |
6.5% 7/1/27(d) | 1,967,000 | 2,124,360 | |
EQT Corp.: | |||
3.9% 10/1/27 | 2,338,000 | 2,437,459 | |
6.625% 2/1/25(f) | 1,115,000 | 1,240,315 | |
7.5% 2/1/30 | 2,297,000 | 2,898,837 | |
Global Partners LP/GLP Finance Corp.: | |||
6.875% 1/15/29 | 2,145,000 | 2,198,625 | |
7% 8/1/27 | 1,212,000 | 1,248,360 | |
Gulfport Energy Corp. 8% 5/17/26 (d) | 1,200,000 | 1,290,000 | |
Harvest Midstream I LP 7.5% 9/1/28 (d) | 1,525,000 | 1,580,251 | |
Hess Midstream Partners LP: | |||
4.25% 2/15/30(d) | 315,000 | 304,778 | |
5.125% 6/15/28(d) | 1,220,000 | 1,247,450 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5.75% 2/1/29(d) | 1,120,000 | 1,101,912 | |
6% 2/1/31(d) | 1,190,000 | 1,183,039 | |
6.25% 11/1/28(d) | 2,000,000 | 2,030,000 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d) | 1,800,000 | 1,791,000 | |
Independence Energy Finance LLC 7.25% 5/1/26 (d) | 1,630,000 | 1,690,310 | |
Magnolia Oil & Gas Operating LLC 6% 8/1/26 (d) | 3,630,000 | 3,712,546 | |
MEG Energy Corp.: | |||
5.875% 2/1/29(d) | 1,830,000 | 1,815,726 | |
7.125% 2/1/27(d) | 2,732,000 | 2,793,470 | |
Mesquite Energy, Inc. 7.25% 2/15/23 (c)(d)(g) | 3,242,000 | 0 | |
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (d) | 425,000 | 409,341 | |
New Fortress Energy, Inc.: | |||
6.5% 9/30/26(d) | 4,735,000 | 4,476,138 | |
6.75% 9/15/25(d) | 5,109,000 | 4,905,917 | |
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (d) | 9,850,000 | 9,779,523 | |
NGL Energy Partners LP/NGL Energy Finance Corp. 7.5% 11/1/23 | 2,315,000 | 2,205,871 | |
Occidental Petroleum Corp.: | |||
3% 2/15/27 | 1,572,000 | 1,519,401 | |
4.1% 2/15/47 | 500,000 | 476,250 | |
4.4% 4/15/46 | 400,000 | 393,064 | |
4.625% 6/15/45 | 225,000 | 227,216 | |
5.5% 12/1/25 | 100,000 | 106,921 | |
5.55% 3/15/26 | 150,000 | 160,355 | |
5.875% 9/1/25 | 225,000 | 241,686 | |
6.125% 1/1/31 | 3,010,000 | 3,507,553 | |
6.375% 9/1/28 | 680,000 | 775,200 | |
6.45% 9/15/36 | 855,000 | 1,061,688 | |
6.625% 9/1/30 | 335,000 | 401,889 | |
7.15% 5/15/28 | 1,325,000 | 1,523,750 | |
7.5% 5/1/31 | 4,115,000 | 5,186,690 | |
7.875% 9/15/31 | 700,000 | 911,750 | |
7.95% 6/15/39 | 1,225,000 | 1,592,500 | |
8.5% 7/15/27 | 1,640,000 | 1,990,222 | |
8.875% 7/15/30 | 5,600,000 | 7,353,780 | |
Ovintiv, Inc.: | |||
6.5% 8/15/34 | 160,000 | 204,127 | |
6.5% 2/1/38 | 550,000 | 700,690 | |
Parkland Corp.: | |||
4.5% 10/1/29(d) | 1,075,000 | 1,056,317 | |
4.625% 5/1/30(d) | 950,000 | 936,387 | |
PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (d) | 4,948,000 | 4,576,900 | |
Petroleos Mexicanos: | |||
6.625% 6/15/35 | 1,460,000 | 1,342,561 | |
7.69% 1/23/50 | 1,795,000 | 1,610,671 | |
Range Resources Corp.: | |||
4.875% 5/15/25 | 1,800,000 | 1,836,378 | |
5% 3/15/23 | 1,104,000 | 1,119,158 | |
8.25% 1/15/29(d) | 520,000 | 573,227 | |
9.25% 2/1/26 | 1,275,000 | 1,369,694 | |
Rockcliff Energy II LLC 5.5% 10/15/29 (d) | 880,000 | 888,219 | |
Rockies Express Pipeline LLC: | |||
3.6% 5/15/25(d) | 435,000 | 445,832 | |
4.8% 5/15/30(d) | 100,000 | 103,500 | |
4.95% 7/15/29(d) | 1,070,000 | 1,122,163 | |
6.875% 4/15/40(d) | 385,000 | 429,275 | |
7.5% 7/15/38(d) | 2,800,000 | 3,094,000 | |
SM Energy Co.: | |||
5.625% 6/1/25 | 895,000 | 886,050 | |
6.5% 7/15/28 | 920,000 | 929,200 | |
6.75% 9/15/26 | 290,000 | 290,725 | |
Southwestern Energy Co.: | |||
5.375% 2/1/29 | 300,000 | 309,000 | |
5.375% 3/15/30 | 2,800,000 | 2,915,500 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 | 2,535,000 | 2,500,778 | |
4.5% 4/30/30(d) | 1,225,000 | 1,212,750 | |
5.875% 3/15/28 | 140,000 | 146,300 | |
6% 4/15/27 | 200,000 | 207,254 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
5.5% 1/15/28(d) | 2,398,000 | 2,341,048 | |
6% 3/1/27(d) | 8,970,000 | 9,194,250 | |
6% 12/31/30(d) | 5,885,000 | 5,815,189 | |
6% 9/1/31(d) | 2,605,000 | 2,520,338 | |
7.5% 10/1/25(d) | 1,875,000 | 1,987,500 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
4% 1/15/32(d) | 4,690,000 | 4,844,864 | |
4.875% 2/1/31 | 2,110,000 | 2,262,975 | |
5% 1/15/28 | 250,000 | 258,473 | |
5.375% 2/1/27 | 3,800,000 | 3,885,500 | |
6.5% 7/15/27 | 1,585,000 | 1,685,996 | |
6.875% 1/15/29 | 3,505,000 | 3,882,418 | |
Venture Global Calcasieu Pass LLC: | |||
3.875% 8/15/29(d) | 2,870,000 | 2,881,911 | |
4.125% 8/15/31(d) | 3,140,000 | 3,211,152 | |
Vine Energy Holdings LLC 6.75% 4/15/29 (d) | 4,180,000 | 4,451,700 | |
Western Gas Partners LP: | |||
4.35% 2/1/25(e) | 500,000 | 517,500 | |
5.3% 2/1/30 | 2,600,000 | 2,798,380 | |
5.45% 4/1/44 | 75,000 | 86,625 | |
5.5% 8/15/48 | 1,025,000 | 1,183,875 | |
6.5% 2/1/50 | 350,000 | 399,714 | |
277,009,023 | |||
TOTAL ENERGY | 294,036,772 | ||
FINANCIALS - 2.6% | |||
Capital Markets - 0.2% | |||
AssuredPartners, Inc. 5.625% 1/15/29 (d) | 790,000 | 758,400 | |
Broadstreet Partners, Inc. 5.875% 4/15/29 (d) | 800,000 | 776,000 | |
Coinbase Global, Inc. 3.375% 10/1/28 (d) | 1,360,000 | 1,278,400 | |
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (d) | 1,645,000 | 1,642,533 | |
Jefferies Finance LLC/JFIN Co-Issuer Corp. 5% 8/15/28 (d) | 2,050,000 | 2,050,000 | |
Lions Gate Capital Holdings LLC 5.5% 4/15/29 (d) | 590,000 | 597,375 | |
LPL Holdings, Inc.: | |||
4% 3/15/29(d) | 4,600,000 | 4,619,274 | |
4.375% 5/15/31(d) | 240,000 | 241,200 | |
MSCI, Inc.: | |||
3.25% 8/15/33(d) | 655,000 | 653,140 | |
4% 11/15/29(d) | 875,000 | 906,719 | |
13,523,041 | |||
Consumer Finance - 0.7% | |||
Cobra AcquisitionCo LLC 6.375% 11/1/29 (d) | 1,170,000 | 1,155,375 | |
Ford Motor Credit Co. LLC 5.125% 6/16/25 | 1,575,000 | 1,702,386 | |
goeasy Ltd.: | |||
4.375% 5/1/26(d) | 1,075,000 | 1,099,188 | |
5.375% 12/1/24(d) | 100,000 | 102,444 | |
LFS Topco LLC 5.875% 10/15/26 (d) | 475,000 | 491,563 | |
Navient Corp.: | |||
4.875% 3/15/28 | 1,680,000 | 1,634,606 | |
5% 3/15/27 | 3,230,000 | 3,241,725 | |
5.5% 3/15/29 | 2,890,000 | 2,850,552 | |
6.125% 3/25/24 | 2,435,000 | 2,552,099 | |
6.75% 6/25/25 | 1,255,000 | 1,352,263 | |
6.75% 6/15/26 | 700,000 | 756,350 | |
OneMain Finance Corp.: | |||
3.5% 1/15/27 | 1,485,000 | 1,433,025 | |
3.875% 9/15/28 | 2,350,000 | 2,267,750 | |
4% 9/15/30 | 875,000 | 844,375 | |
5.375% 11/15/29 | 2,865,000 | 3,014,968 | |
6.125% 3/15/24 | 880,000 | 924,000 | |
6.625% 1/15/28 | 3,701,000 | 4,099,487 | |
6.875% 3/15/25 | 1,405,000 | 1,545,500 | |
7.125% 3/15/26 | 3,119,000 | 3,507,011 | |
PROG Holdings, Inc. 6% 11/15/29 (d) | 1,920,000 | 1,896,595 | |
SLM Corp. 4.2% 10/29/25 | 700,000 | 729,645 | |
37,200,907 | |||
Diversified Financial Services - 0.8% | |||
Cosan Luxembourg SA 7% 1/20/27 (d) | 1,315,000 | 1,360,450 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.375% 2/1/29 | 2,000,000 | 1,935,000 | |
5.25% 5/15/27 | 7,146,000 | 7,271,055 | |
6.25% 5/15/26 | 4,725,000 | 4,854,938 | |
MidCap Financial Issuer Trust: | |||
5.625% 1/15/30(d) | 1,305,000 | 1,233,225 | |
6.5% 5/1/28(d) | 2,570,000 | 2,621,400 | |
MPH Acquisition Holdings LLC 5.5% 9/1/28 (d) | 2,350,000 | 2,276,234 | |
P&L Development LLC/PLD Finance Corp. 7.75% 11/15/25 (d) | 1,665,000 | 1,677,488 | |
United Shore Financial Services LLC: | |||
5.5% 4/15/29(d) | 870,000 | 828,318 | |
5.75% 6/15/27(d) | 1,175,000 | 1,154,438 | |
Venator Finance SARL/Venator Capital Management Ltd.: | |||
5.75% 7/15/25(d) | 3,625,000 | 3,353,125 | |
9.5% 7/1/25(d) | 825,000 | 901,313 | |
Verscend Escrow Corp. 9.75% 8/15/26 (d) | 5,265,000 | 5,529,277 | |
VMED O2 UK Financing I PLC: | |||
4.25% 1/31/31(d) | 1,692,000 | 1,618,787 | |
4.75% 7/15/31(d) | 3,550,000 | 3,514,500 | |
40,129,548 | |||
Insurance - 0.5% | |||
Acrisure LLC / Acrisure Finance, Inc.: | |||
6% 8/1/29(d) | 1,875,000 | 1,793,419 | |
7% 11/15/25(d) | 1,160,000 | 1,149,850 | |
10.125% 8/1/26(d) | 4,035,000 | 4,357,800 | |
Alliant Holdings Intermediate LLC: | |||
4.25% 10/15/27(d) | 2,279,000 | 2,221,501 | |
5.875% 11/1/29(d) | 780,000 | 759,845 | |
6.75% 10/15/27(d) | 7,935,000 | 8,017,445 | |
AmWINS Group, Inc. 4.875% 6/30/29 (d) | 4,165,000 | 4,098,277 | |
GTCR AP Finance, Inc. 8% 5/15/27 (d) | 1,035,000 | 1,058,883 | |
HUB International Ltd. 5.625% 12/1/29 (d) | 1,915,000 | 1,910,940 | |
25,367,960 | |||
Thrifts & Mortgage Finance - 0.4% | |||
Enact Holdings, Inc. 6.5% 8/15/25 (d) | 1,565,000 | 1,701,617 | |
Freedom Mortgage Corp.: | |||
6.625% 1/15/27(d) | 1,300,000 | 1,222,000 | |
7.625% 5/1/26(d) | 1,575,000 | 1,520,285 | |
Home Point Capital, Inc. 5% 2/1/26 (d) | 3,350,000 | 3,100,660 | |
LD Holdings Group LLC: | |||
6.125% 4/1/28(d) | 1,625,000 | 1,491,588 | |
6.5% 11/1/25(d) | 675,000 | 645,104 | |
MGIC Investment Corp. 5.25% 8/15/28 | 70,000 | 72,275 | |
Nationstar Mortgage Holdings, Inc.: | |||
5.125% 12/15/30(d) | 2,015,000 | 1,936,919 | |
5.5% 8/15/28(d) | 2,530,000 | 2,520,513 | |
6% 1/15/27(d) | 1,837,000 | 1,896,758 | |
PennyMac Financial Services, Inc.: | |||
4.25% 2/15/29(d) | 3,460,000 | 3,183,200 | |
5.375% 10/15/25(d) | 2,210,000 | 2,221,050 | |
21,511,969 | |||
TOTAL FINANCIALS | 137,733,425 | ||
HEALTH CARE - 3.8% | |||
Biotechnology - 0.1% | |||
Emergent BioSolutions, Inc. 3.875% 8/15/28 (d) | 647,000 | 614,456 | |
Grifols Escrow Issuer SA 4.75% 10/15/28 (d) | 1,470,000 | 1,455,300 | |
2,069,756 | |||
Health Care Equipment & Supplies - 0.5% | |||
AdaptHealth LLC: | |||
4.625% 8/1/29(d) | 2,463,000 | 2,413,284 | |
5.125% 3/1/30(d) | 1,255,000 | 1,241,684 | |
6.125% 8/1/28(d) | 785,000 | 829,745 | |
Avantor Funding, Inc. 3.875% 11/1/29 (d) | 1,980,000 | 1,977,525 | |
Hologic, Inc.: | |||
3.25% 2/15/29(d) | 1,035,000 | 1,015,594 | |
4.625% 2/1/28(d) | 110,000 | 114,125 | |
Mozart Debt Merger Sub, Inc.: | |||
3.875% 4/1/29(d) | 8,585,000 | 8,477,688 | |
5.25% 10/1/29(d) | 9,495,000 | 9,483,131 | |
Teleflex, Inc. 4.25% 6/1/28 (d) | 270,000 | 272,700 | |
25,825,476 | |||
Health Care Providers & Services - 2.0% | |||
180 Medical, Inc. 3.875% 10/15/29 (d) | 1,230,000 | 1,207,811 | |
AMN Healthcare: | |||
4% 4/15/29(d) | 1,897,000 | 1,911,228 | |
4.625% 10/1/27(d) | 640,000 | 657,600 | |
Cano Health, Inc. 6.25% 10/1/28 (d) | 2,580,000 | 2,529,638 | |
Centene Corp. 3.375% 2/15/30 | 1,695,000 | 1,707,106 | |
Community Health Systems, Inc.: | |||
4.75% 2/15/31(d) | 1,465,000 | 1,443,029 | |
5.625% 3/15/27(d) | 4,385,000 | 4,494,625 | |
6% 1/15/29(d) | 3,145,000 | 3,270,800 | |
6.125% 4/1/30(d) | 4,145,000 | 3,968,838 | |
6.875% 4/15/29(d) | 3,120,000 | 3,066,562 | |
8% 3/15/26(d) | 3,080,000 | 3,218,600 | |
8% 12/15/27(d) | 2,945,000 | 3,149,766 | |
DaVita HealthCare Partners, Inc.: | |||
3.75% 2/15/31(d) | 2,445,000 | 2,267,065 | |
4.625% 6/1/30(d) | 9,705,000 | 9,583,688 | |
HCA Holdings, Inc.: | |||
3.5% 9/1/30 | 2,850,000 | 2,966,779 | |
5.625% 9/1/28 | 275,000 | 318,313 | |
5.875% 2/1/29 | 680,000 | 798,150 | |
7.05% 12/1/27 | 515,000 | 634,897 | |
HealthEquity, Inc. 4.5% 10/1/29 (d) | 2,720,000 | 2,686,000 | |
LifePoint Health, Inc.: | |||
4.375% 2/15/27(d) | 624,000 | 614,316 | |
6.75% 4/15/25(d) | 800,000 | 831,000 | |
MEDNAX, Inc. 6.25% 1/15/27 (d) | 2,525,000 | 2,635,343 | |
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (d) | 435,000 | 431,738 | |
Molina Healthcare, Inc. 3.875% 11/15/30 (d) | 855,000 | 859,275 | |
Option Care Health, Inc. 4.375% 10/31/29 (d) | 2,835,000 | 2,821,392 | |
Prime Healthcare Services 7.25% 11/1/25 (d) | 3,050,000 | 3,210,735 | |
Radiology Partners, Inc. 9.25% 2/1/28 (d) | 2,010,000 | 2,049,436 | |
Regionalcare Hospital Partners 9.75% 12/1/26 (d) | 2,823,000 | 2,960,621 | |
RegionalCare Hospital Partners Holdings, Inc. 5.375% 1/15/29 (d) | 875,000 | 842,713 | |
RP Escrow Issuer LLC 5.25% 12/15/25 (d) | 2,855,000 | 2,819,313 | |
Select Medical Corp. 6.25% 8/15/26 (d) | 770,000 | 808,431 | |
Tenet Healthcare Corp.: | |||
4.25% 6/1/29(d) | 4,425,000 | 4,380,750 | |
4.375% 1/15/30(d)(h) | 5,205,000 | 5,187,719 | |
4.625% 7/15/24 | 1,388,000 | 1,400,089 | |
4.625% 6/15/28(d) | 1,614,000 | 1,646,942 | |
4.875% 1/1/26(d) | 800,000 | 818,000 | |
6.125% 10/1/28(d) | 12,790,000 | 13,063,706 | |
6.25% 2/1/27(d) | 3,850,000 | 3,989,563 | |
6.875% 11/15/31 | 2,695,000 | 3,072,300 | |
7.5% 4/1/25(d) | 2,150,000 | 2,260,768 | |
Vizient, Inc. 6.25% 5/15/27 (d) | 75,000 | 78,188 | |
106,662,833 | |||
Life Sciences Tools & Services - 0.0% | |||
Charles River Laboratories International, Inc.: | |||
3.75% 3/15/29(d) | 625,000 | 617,969 | |
4.25% 5/1/28(d) | 120,000 | 121,646 | |
739,615 | |||
Pharmaceuticals - 1.2% | |||
Bausch Health Companies, Inc.: | |||
4.875% 6/1/28(d) | 3,510,000 | 3,457,350 | |
5% 1/30/28(d) | 6,245,000 | 5,553,554 | |
5% 2/15/29(d) | 1,025,000 | 878,938 | |
5.25% 1/30/30(d) | 4,992,000 | 4,280,640 | |
5.25% 2/15/31(d) | 959,000 | 823,023 | |
6.25% 2/15/29(d) | 7,623,000 | 6,909,678 | |
7% 1/15/28(d) | 2,295,000 | 2,214,675 | |
7.25% 5/30/29(d) | 2,275,000 | 2,158,406 | |
Catalent Pharma Solutions: | |||
3.125% 2/15/29(d) | 675,000 | 643,579 | |
3.5% 4/1/30(d) | 3,125,000 | 3,035,625 | |
Endo Luxembourg Finance Co. I SARL / Endo U.S., Inc. 6.125% 4/1/29 (d) | 650,000 | 636,708 | |
Jazz Securities DAC 4.375% 1/15/29 (d) | 4,925,000 | 5,017,689 | |
Organon & Co. / Organon Foreign Debt Co-Issuer BV: | |||
4.125% 4/30/28(d) | 3,590,000 | 3,581,761 | |
5.125% 4/30/31(d) | 5,925,000 | 6,050,906 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
4.75% 5/9/27 | 1,565,000 | 1,562,120 | |
5.125% 5/9/29 | 1,420,000 | 1,387,624 | |
6% 4/15/24 | 390,000 | 405,501 | |
6.75% 3/1/28 | 1,500,000 | 1,605,923 | |
7.125% 1/31/25 | 2,850,000 | 3,042,375 | |
Valeant Pharmaceuticals International, Inc.: | |||
8.5% 1/31/27(d) | 6,204,000 | 6,380,070 | |
9.25% 4/1/26(d) | 2,385,000 | 2,498,264 | |
62,124,409 | |||
TOTAL HEALTH CARE | 197,422,089 | ||
INDUSTRIALS - 5.1% | |||
Aerospace & Defense - 1.4% | |||
Bombardier, Inc.: | |||
6% 2/15/28(d) | 4,315,000 | 4,282,638 | |
7.125% 6/15/26(d) | 2,350,000 | 2,424,378 | |
7.5% 12/1/24(d) | 3,050,000 | 3,164,375 | |
7.5% 3/15/25(d) | 8,628,000 | 8,793,744 | |
7.875% 4/15/27(d) | 13,490,000 | 13,881,480 | |
BWX Technologies, Inc. 4.125% 6/30/28 (d) | 3,295,000 | 3,295,000 | |
Moog, Inc. 4.25% 12/15/27 (d) | 2,642,000 | 2,683,413 | |
Spirit Aerosystems, Inc. 7.5% 4/15/25 (d) | 1,700,000 | 1,778,625 | |
The Boeing Co.: | |||
5.15% 5/1/30 | 3,230,000 | 3,746,776 | |
5.805% 5/1/50 | 3,610,000 | 4,869,204 | |
5.93% 5/1/60 | 2,425,000 | 3,351,944 | |
TransDigm, Inc.: | |||
4.625% 1/15/29 | 4,515,000 | 4,325,505 | |
5.5% 11/15/27 | 8,359,000 | 8,411,244 | |
6.25% 3/15/26(d) | 4,840,000 | 5,021,500 | |
7.5% 3/15/27 | 950,000 | 990,375 | |
8% 12/15/25(d) | 1,815,000 | 1,912,556 | |
72,932,757 | |||
Airlines - 0.5% | |||
Air Canada 4.625% 8/15/29 (d) | CAD | 720,000 | 562,755 |
American Airlines Group, Inc. 3.75% 3/1/25 (d) | 980,000 | 872,200 | |
American Airlines, Inc. 11.75% 7/15/25 (d) | 3,160,000 | 3,831,500 | |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd.: | |||
5.5% 4/20/26(d) | 2,760,000 | 2,818,650 | |
5.75% 4/20/29(d) | 5,395,000 | 5,626,365 | |
Delta Air Lines, Inc.: | |||
7% 5/1/25(d) | 1,055,000 | 1,212,112 | |
7.375% 1/15/26 | 1,450,000 | 1,677,522 | |
Delta Air Lines, Inc. / SkyMiles IP Ltd. 4.75% 10/20/28 (d) | 1,030,000 | 1,128,901 | |
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. 5.75% 1/20/26 (d) | 1,815,000 | 1,854,694 | |
Mileage Plus Holdings LLC 6.5% 6/20/27 (d) | 1,430,000 | 1,526,525 | |
United Airlines, Inc.: | |||
4.375% 4/15/26(d) | 1,400,000 | 1,405,572 | |
4.625% 4/15/29(d) | 1,180,000 | 1,173,722 | |
23,690,518 | |||
Building Products - 0.3% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (d) | 1,250,000 | 1,292,400 | |
Cornerstone Building Brands, Inc. 6.125% 1/15/29 (d) | 1,500,000 | 1,563,750 | |
CP Atlas Buyer, Inc. 7% 12/1/28 (d) | 245,000 | 235,200 | |
Griffon Corp. 5.75% 3/1/28 | 2,550,000 | 2,628,094 | |
Jeld-Wen, Inc.: | |||
4.625% 12/15/25(d) | 450,000 | 453,938 | |
4.875% 12/15/27(d) | 1,276,000 | 1,304,710 | |
Masonite International Corp.: | |||
3.5% 2/15/30(d) | 725,000 | 701,829 | |
5.375% 2/1/28(d) | 100,000 | 104,125 | |
New Enterprise Stone & Lime Co., Inc. 5.25% 7/15/28 (d) | 785,000 | 783,038 | |
PGT Innovations, Inc. 4.375% 10/1/29 (d) | 1,124,000 | 1,114,165 | |
Shea Homes Ltd. Partnership/Corp. 4.75% 2/15/28 (d) | 2,250,000 | 2,244,375 | |
Standard Industries, Inc./New Jersey: | |||
3.375% 1/15/31(d) | 950,000 | 875,188 | |
4.375% 7/15/30(d) | 2,520,000 | 2,479,050 | |
4.75% 1/15/28(d) | 1,856,000 | 1,869,920 | |
5% 2/15/27(d) | 180,000 | 184,529 | |
17,834,311 | |||
Commercial Services & Supplies - 1.3% | |||
ACCO Brands Corp. 4.25% 3/15/29 (d) | 1,800,000 | 1,759,500 | |
ADT Corp. 4.125% 8/1/29 (d) | 2,850,000 | 2,773,406 | |
Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
6% 6/1/29(d) | 4,630,000 | 4,398,500 | |
6.625% 7/15/26(d) | 3,654,000 | 3,755,216 | |
9.75% 7/15/27(d) | 3,310,000 | 3,467,225 | |
APi Escrow Corp. 4.75% 10/15/29 (d) | 675,000 | 683,438 | |
APX Group, Inc. 6.75% 2/15/27 (d) | 1,060,000 | 1,101,923 | |
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
4.625% 6/1/28(d) | 2,615,000 | 2,530,013 | |
4.625% 6/1/28(d) | 2,835,000 | 2,742,863 | |
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (d) | 3,719,000 | 3,663,215 | |
CoreCivic, Inc. 8.25% 4/15/26 | 5,020,000 | 5,168,040 | |
GFL Environmental, Inc.: | |||
4% 8/1/28(d) | 450,000 | 436,536 | |
4.375% 8/15/29(d) | 2,170,000 | 2,111,063 | |
4.75% 6/15/29(d) | 1,515,000 | 1,514,803 | |
Intrado Corp. 8.5% 10/15/25 (d) | 1,417,000 | 1,332,051 | |
IPD BV 5.5% 12/1/25 (d) | EUR | 245,000 | 283,481 |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (d) | 2,315,000 | 2,337,456 | |
Madison IAQ LLC: | |||
4.125% 6/30/28(d) | 4,270,000 | 4,131,225 | |
5.875% 6/30/29(d) | 4,240,000 | 4,079,092 | |
Nielsen Finance LLC/Nielsen Finance Co.: | |||
4.5% 7/15/29(d) | 1,470,000 | 1,421,549 | |
4.75% 7/15/31(d) | 600,000 | 582,000 | |
5.625% 10/1/28(d) | 3,524,000 | 3,597,229 | |
5.875% 10/1/30(d) | 2,139,000 | 2,225,373 | |
PowerTeam Services LLC 9.033% 12/4/25 (d) | 1,050,000 | 1,055,250 | |
Prime Securities Services Borrower LLC/Prime Finance, Inc.: | |||
3.375% 8/31/27(d) | 47,000 | 44,474 | |
5.75% 4/15/26(d) | 1,137,000 | 1,202,378 | |
6.25% 1/15/28(d) | 1,845,000 | 1,874,668 | |
Staples, Inc.: | |||
7.5% 4/15/26(d) | 3,015,000 | 2,993,624 | |
10.75% 4/15/27(d) | 2,495,000 | 2,270,450 | |
Stericycle, Inc. 3.875% 1/15/29 (d) | 1,140,000 | 1,111,500 | |
The Brink's Co. 4.625% 10/15/27 (d) | 850,000 | 867,000 | |
Verde Bidco SpA 4.625% 10/1/26 (d) | EUR | 215,000 | 247,840 |
67,762,381 | |||
Construction & Engineering - 0.3% | |||
Amsted Industries, Inc.: | |||
4.625% 5/15/30(d) | 1,490,000 | 1,501,175 | |
5.625% 7/1/27(d) | 1,605,000 | 1,657,163 | |
Cloud Crane LLC 10.125% 8/1/24 (d) | 3,462,000 | 3,561,533 | |
Great Lakes Dredge & Dock Corp. 5.25% 6/1/29 (d) | 525,000 | 536,062 | |
Pike Corp. 5.5% 9/1/28 (d) | 3,569,000 | 3,601,194 | |
Railworks Holdings LP 8.25% 11/15/28 (d) | 1,290,000 | 1,312,575 | |
SRS Distribution, Inc.: | |||
4.625% 7/1/28(d) | 695,000 | 696,644 | |
6% 12/1/29(d) | 2,695,000 | 2,664,735 | |
15,531,081 | |||
Electrical Equipment - 0.1% | |||
Sensata Technologies BV 4% 4/15/29 (d) | 1,705,000 | 1,728,870 | |
Wesco Distribution, Inc.: | |||
7.125% 6/15/25(d) | 1,975,000 | 2,086,232 | |
7.25% 6/15/28(d) | 1,015,000 | 1,103,813 | |
4,918,915 | |||
Industrial Conglomerates - 0.0% | |||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.: | |||
4.25% 2/1/27(d) | 815,000 | 810,192 | |
4.75% 6/15/29(d) | 1,500,000 | 1,492,500 | |
2,302,692 | |||
Machinery - 0.3% | |||
Hillenbrand, Inc.: | |||
3.75% 3/1/31 | 445,000 | 437,346 | |
5% 9/15/26(f) | 25,000 | 27,756 | |
5.75% 6/15/25 | 155,000 | 162,445 | |
Meritor, Inc. 6.25% 6/1/25 (d) | 735,000 | 763,481 | |
Mueller Water Products, Inc. 4% 6/15/29 (d) | 1,615,000 | 1,615,000 | |
Terex Corp. 5% 5/15/29 (d) | 1,475,000 | 1,502,656 | |
Titan International, Inc. 7% 4/30/28 | 1,325,000 | 1,361,438 | |
Vertical Holdco GmbH 7.625% 7/15/28 (d) | 3,170,000 | 3,310,526 | |
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (d) | 6,415,000 | 6,523,606 | |
Wabash National Corp. 4.5% 10/15/28 (d) | 775,000 | 755,625 | |
16,459,879 | |||
Marine - 0.1% | |||
Seaspan Corp. 5.5% 8/1/29 (d) | 2,945,000 | 2,922,029 | |
Professional Services - 0.2% | |||
ASGN, Inc. 4.625% 5/15/28 (d) | 620,000 | 635,934 | |
Booz Allen Hamilton, Inc.: | |||
3.875% 9/1/28(d) | 4,335,000 | 4,356,718 | |
4% 7/1/29(d) | 390,000 | 391,950 | |
CoreLogic, Inc. 4.5% 5/1/28 (d) | 695,000 | 680,231 | |
Science Applications International Corp. 4.875% 4/1/28 (d) | 1,845,000 | 1,886,513 | |
TriNet Group, Inc. 3.5% 3/1/29 (d) | 2,100,000 | 2,074,800 | |
10,026,146 | |||
Road & Rail - 0.2% | |||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | |||
4.75% 4/1/28(d) | 525,000 | 533,531 | |
5.75% 7/15/27(d) | 1,450,000 | 1,493,500 | |
Hertz Corp.: | |||
4.625% 12/1/26(d) | 425,000 | 418,897 | |
5% 12/1/29(d) | 800,000 | 784,000 | |
Uber Technologies, Inc. 7.5% 9/15/27 (d) | 3,635,000 | 3,943,975 | |
Watco Companies LLC / Watco Finance Corp. 6.5% 6/15/27 (d) | 1,595,000 | 1,671,337 | |
8,845,240 | |||
Trading Companies & Distributors - 0.4% | |||
Alta Equipment Group, Inc. 5.625% 4/15/26 (d) | 1,000,000 | 1,021,550 | |
Fortress Transportation & Infrastructure Investors LLC 5.5% 5/1/28 (d) | 1,725,000 | 1,690,500 | |
Foundation Building Materials, Inc. 6% 3/1/29 (d) | 1,625,000 | 1,552,119 | |
H&E Equipment Services, Inc. 3.875% 12/15/28 (d) | 5,935,000 | 5,768,850 | |
United Rentals North America, Inc.: | |||
3.75% 1/15/32 | 940,000 | 925,900 | |
3.875% 2/15/31 | 2,550,000 | 2,558,307 | |
4% 7/15/30 | 3,350,000 | 3,413,181 | |
4.875% 1/15/28 | 1,410,000 | 1,476,975 | |
5.25% 1/15/30 | 2,400,000 | 2,586,798 | |
20,994,180 | |||
Transportation Infrastructure - 0.0% | |||
First Student Bidco, Inc./First Transit Parent, Inc. 4% 7/31/29 (d) | 2,740,000 | 2,603,575 | |
TOTAL INDUSTRIALS | 266,823,704 | ||
INFORMATION TECHNOLOGY - 1.7% | |||
Communications Equipment - 0.3% | |||
Commscope Technologies LLC 6% 6/15/25 (d) | 1,040,000 | 1,003,600 | |
CommScope, Inc.: | |||
4.75% 9/1/29(d) | 645,000 | 624,038 | |
6% 3/1/26(d) | 4,603,000 | 4,708,593 | |
7.125% 7/1/28(d) | 990,000 | 920,700 | |
8.25% 3/1/27(d) | 200,000 | 196,000 | |
Hughes Satellite Systems Corp. 6.625% 8/1/26 | 3,210,000 | 3,563,100 | |
SSL Robotics LLC 9.75% 12/31/23 (d) | 1,581,000 | 1,704,318 | |
ViaSat, Inc.: | |||
5.625% 9/15/25(d) | 2,625,000 | 2,652,904 | |
5.625% 4/15/27(d) | 1,155,000 | 1,179,809 | |
6.5% 7/15/28(d) | 355,000 | 361,557 | |
Viavi Solutions, Inc. 3.75% 10/1/29 (d) | 1,050,000 | 1,026,375 | |
17,940,994 | |||
Electronic Equipment & Components - 0.1% | |||
Brightstar Escrow Corp. 9.75% 10/15/25 (d) | 2,085,000 | 2,228,344 | |
Sensata Technologies, Inc. 3.75% 2/15/31 (d) | 750,000 | 736,875 | |
TTM Technologies, Inc. 4% 3/1/29 (d) | 4,485,000 | 4,351,257 | |
7,316,476 | |||
IT Services - 0.7% | |||
Acuris Finance U.S. 5% 5/1/28 (d) | 3,635,000 | 3,607,738 | |
Alliance Data Systems Corp. 4.75% 12/15/24 (d) | 1,775,000 | 1,799,406 | |
Arches Buyer, Inc.: | |||
4.25% 6/1/28(d) | 2,160,000 | 2,138,400 | |
6.125% 12/1/28(d) | 1,440,000 | 1,453,968 | |
CA Magnum Holdings 5.375% (d)(i) | 250,000 | 255,313 | |
CDW LLC/CDW Finance Corp. 3.25% 2/15/29 | 1,605,000 | 1,604,759 | |
Gartner, Inc.: | |||
3.625% 6/15/29(d) | 2,225,000 | 2,211,094 | |
3.75% 10/1/30(d) | 1,520,000 | 1,516,200 | |
4.5% 7/1/28(d) | 1,185,000 | 1,231,571 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (d) | 1,075,000 | 1,022,411 | |
Presidio Holdings, Inc.: | |||
4.875% 2/1/27(d) | 660,000 | 667,286 | |
8.25% 2/1/28(d) | 865,000 | 898,519 | |
Rackspace Hosting, Inc.: | |||
3.5% 2/15/28(d) | 2,825,000 | 2,647,053 | |
5.375% 12/1/28(d) | 11,645,000 | 11,237,425 | |
Sabre GLBL, Inc.: | |||
7.375% 9/1/25(d) | 660,000 | 683,100 | |
9.25% 4/15/25(d) | 820,000 | 912,250 | |
Tempo Acquisition LLC 5.75% 6/1/25 (d) | 1,505,000 | 1,563,319 | |
Twilio, Inc. 3.875% 3/15/31 | 705,000 | 699,713 | |
36,149,525 | |||
Software - 0.6% | |||
Ascend Learning LLC: | |||
6.875% 8/1/25(d) | 490,000 | 498,835 | |
6.875% 8/1/25(d) | 1,085,000 | 1,104,563 | |
Black Knight InfoServ LLC 3.625% 9/1/28 (d) | 6,080,000 | 5,934,080 | |
Clarivate Science Holdings Corp.: | |||
3.875% 7/1/28(d) | 2,505,000 | 2,462,490 | |
4.875% 7/1/29(d) | 1,945,000 | 1,904,641 | |
Elastic NV 4.125% 7/15/29 (d) | 2,225,000 | 2,180,500 | |
Fair Isaac Corp. 5.25% 5/15/26 (d) | 1,225,000 | 1,345,969 | |
ION Trading Technologies Ltd. 5.75% 5/15/28 (d) | 3,105,000 | 3,181,694 | |
LogMeIn, Inc. 5.5% 9/1/27 (d) | 480,000 | 477,600 | |
MicroStrategy, Inc. 6.125% 6/15/28 (d) | 1,065,000 | 1,067,663 | |
NCR Corp.: | |||
5% 10/1/28(d) | 675,000 | 681,750 | |
5.125% 4/15/29(d) | 1,725,000 | 1,743,199 | |
5.25% 10/1/30(d) | 1,805,000 | 1,830,577 | |
NortonLifeLock, Inc. 5% 4/15/25 (d) | 1,300,000 | 1,313,000 | |
Open Text Corp.: | |||
3.875% 2/15/28(d) | 550,000 | 544,500 | |
3.875% 12/1/29(d) | 1,980,000 | 1,968,278 | |
5.875% 6/1/26(d) | 325,000 | 334,588 | |
Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (d) | 1,285,000 | 1,323,550 | |
29,897,477 | |||
TOTAL INFORMATION TECHNOLOGY | 91,304,472 | ||
MATERIALS - 3.5% | |||
Chemicals - 1.3% | |||
Avient Corp. 5.75% 5/15/25 (d) | 100,000 | 103,627 | |
Axalta Coating Systems LLC 3.375% 2/15/29 (d) | 1,385,000 | 1,315,965 | |
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (d) | 1,285,000 | 1,327,983 | |
Consolidated Energy Finance SA 6.5% 5/15/26 (d) | 570,000 | 585,675 | |
Cornerstone Chemical Co. 6.75% 8/15/24 (d) | 2,050,000 | 1,804,000 | |
CVR Partners LP 6.125% 6/15/28 (d) | 2,070,000 | 2,148,039 | |
Element Solutions, Inc. 3.875% 9/1/28 (d) | 1,177,000 | 1,165,230 | |
EverArc Escrow SARL 5% 10/30/29 (d) | 765,000 | 745,875 | |
Gpd Companies, Inc. 10.125% 4/1/26 (d) | 1,535,000 | 1,630,938 | |
GrafTech Finance, Inc. 4.625% 12/15/28 (d) | 1,985,000 | 2,009,217 | |
Hexion, Inc. 7.875% 7/15/27 (d) | 1,550,000 | 1,643,186 | |
Ingevity Corp. 3.875% 11/1/28 (d) | 250,000 | 239,448 | |
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.: | |||
5% 12/31/26(d) | 3,150,000 | 3,124,430 | |
7% 12/31/27(d) | 2,160,000 | 2,073,600 | |
LSB Industries, Inc. 6.25% 10/15/28 (d) | 275,000 | 283,954 | |
Methanex Corp.: | |||
5.125% 10/15/27 | 3,311,000 | 3,459,995 | |
5.25% 12/15/29 | 565,000 | 590,425 | |
5.65% 12/1/44 | 1,567,000 | 1,580,993 | |
NOVA Chemicals Corp.: | |||
4.25% 5/15/29(d) | 865,000 | 847,700 | |
4.875% 6/1/24(d) | 800,000 | 829,000 | |
5.25% 6/1/27(d) | 2,575,000 | 2,703,750 | |
Olympus Water U.S. Holding Corp.: | |||
4.25% 10/1/28(d) | 2,055,000 | 1,983,075 | |
6.25% 10/1/29(d) | 600,000 | 575,994 | |
Rain CII Carbon LLC/CII Carbon Corp. 7.25% 4/1/25 (d) | 2,575,000 | 2,620,063 | |
SCIH Salt Holdings, Inc. 6.625% 5/1/29 (d) | 575,000 | 530,363 | |
SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (d) | 705,000 | 711,183 | |
SPCM SA 3.375% 3/15/30 (d) | 600,000 | 573,000 | |
The Chemours Co. LLC: | |||
4.625% 11/15/29(d) | 2,665,000 | 2,575,056 | |
5.375% 5/15/27 | 1,300,000 | 1,358,767 | |
5.75% 11/15/28(d) | 7,395,000 | 7,579,875 | |
The Scotts Miracle-Gro Co.: | |||
4% 4/1/31(d) | 1,275,000 | 1,239,447 | |
4.375% 2/1/32(d) | 650,000 | 644,001 | |
4.5% 10/15/29 | 705,000 | 727,913 | |
TPC Group, Inc.: | |||
10.5% 8/1/24(d) | 4,960,000 | 3,521,600 | |
10.875% 8/1/24(d) | 911,763 | 964,189 | |
Tronox, Inc.: | |||
4.625% 3/15/29(d) | 4,250,000 | 4,122,500 | |
6.5% 5/1/25(d) | 1,700,000 | 1,778,625 | |
Unifrax Escrow Issuer Corp.: | |||
5.25% 9/30/28(d) | 625,000 | 614,298 | |
7.5% 9/30/29(d) | 400,000 | 388,000 | |
Univar Solutions U.S.A., Inc. 5.125% 12/1/27 (d) | 1,510,000 | 1,577,950 | |
Valvoline, Inc.: | |||
3.625% 6/15/31(d) | 750,000 | 718,125 | |
4.25% 2/15/30(d) | 1,389,000 | 1,377,055 | |
W.R. Grace Holding LLC: | |||
4.875% 6/15/27(d) | 720,000 | 714,375 | |
5.625% 8/15/29(d) | 4,050,000 | 4,072,397 | |
71,180,881 | |||
Construction Materials - 0.2% | |||
SRM Escrow Issuer LLC 6% 11/1/28 (d) | 3,950,000 | 4,087,539 | |
Summit Materials LLC/Summit Materials Finance Corp.: | |||
5.25% 1/15/29(d) | 1,130,000 | 1,176,127 | |
6.5% 3/15/27(d) | 2,375,000 | 2,467,031 | |
White Cap Buyer LLC 6.875% 10/15/28 (d) | 1,745,000 | 1,779,900 | |
9,510,597 | |||
Containers & Packaging - 0.5% | |||
ARD Finance SA 6.5% 6/30/27 pay-in-kind (d)(f) | 3,805,000 | 3,890,613 | |
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC 4% 9/1/29 (d) | 1,240,000 | 1,205,296 | |
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.125% 8/15/26(d) | 605,000 | 611,843 | |
5.25% 8/15/27(d) | 610,000 | 597,800 | |
5.25% 8/15/27(d) | 1,884,000 | 1,846,320 | |
BWAY Holding Co.: | |||
7.25% 4/15/25(d) | 885,000 | 867,893 | |
8.5% 4/15/24(d) | 400,000 | 412,000 | |
Graham Packaging Co., Inc. 7.125% 8/15/28 (d) | 970,000 | 989,400 | |
Graphic Packaging International, Inc. 3.75% 2/1/30 (d) | 1,275,000 | 1,267,184 | |
Intelligent Packaging Holdco I 9% 1/15/26 pay-in-kind (d)(f) | 1,066,000 | 1,105,975 | |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (d) | 1,287,000 | 1,303,088 | |
Intertape Polymer Group, Inc. 4.375% 6/15/29 (d) | 1,470,000 | 1,455,300 | |
OI European Group BV 4.75% 2/15/30 (d) | 1,525,000 | 1,523,445 | |
Owens-Brockway Glass Container, Inc.: | |||
6.375% 8/15/25(d) | 650,000 | 700,375 | |
6.625% 5/13/27(d) | 1,775,000 | 1,857,116 | |
Pactiv Evergreen Group Issuer, Inc. 4.375% 10/15/28 (d) | 1,100,000 | 1,069,750 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA 4% 10/15/27 (d) | 125,000 | 120,000 | |
TriMas Corp. 4.125% 4/15/29 (d) | 625,000 | 625,000 | |
Trivium Packaging Finance BV: | |||
5.5% 8/15/26(d) | 1,839,000 | 1,898,436 | |
8.5% 8/15/27(d) | 2,547,000 | 2,661,615 | |
26,008,449 | |||
Metals & Mining - 1.4% | |||
Alcoa Nederland Holding BV: | |||
5.5% 12/15/27(d) | 1,340,000 | 1,421,847 | |
6.125% 5/15/28(d) | 940,000 | 1,001,100 | |
Allegheny Technologies, Inc.: | |||
4.875% 10/1/29 | 2,020,000 | 1,995,821 | |
5.125% 10/1/31 | 825,000 | 814,770 | |
5.875% 12/1/27 | 3,335,000 | 3,471,968 | |
Arconic Corp. 6.125% 2/15/28 (d) | 1,550,000 | 1,611,721 | |
Big River Steel LLC/BRS Finance Corp. 6.625% 1/31/29 (d) | 3,476,000 | 3,728,010 | |
Compass Minerals International, Inc. 6.75% 12/1/27 (d) | 690,000 | 704,663 | |
Constellium NV: | |||
3.75% 4/15/29(d) | 975,000 | 926,250 | |
5.875% 2/15/26(d) | 879,000 | 888,994 | |
Eldorado Gold Corp. 6.25% 9/1/29 (d) | 2,850,000 | 2,868,155 | |
First Quantum Minerals Ltd.: | |||
6.5% 3/1/24(d) | 2,185,000 | 2,217,775 | |
6.875% 3/1/26(d) | 1,080,000 | 1,119,150 | |
6.875% 10/15/27(d) | 4,470,000 | 4,699,646 | |
7.25% 4/1/23(d) | 4,405,000 | 4,482,308 | |
7.5% 4/1/25(d) | 1,081,000 | 1,107,539 | |
FMG Resources (August 2006) Pty Ltd.: | |||
4.375% 4/1/31(d) | 1,355,000 | 1,366,734 | |
4.5% 9/15/27(d) | 20,000 | 20,724 | |
Freeport-McMoRan, Inc.: | |||
4.375% 8/1/28 | 1,175,000 | 1,225,208 | |
4.55% 11/14/24 | 900,000 | 962,577 | |
4.625% 8/1/30 | 775,000 | 818,373 | |
5.4% 11/14/34 | 2,215,000 | 2,635,850 | |
5.45% 3/15/43 | 2,840,000 | 3,500,044 | |
Hecla Mining Co. 7.25% 2/15/28 | 4,830,000 | 5,168,100 | |
HudBay Minerals, Inc.: | |||
4.5% 4/1/26(d) | 2,005,000 | 1,969,913 | |
6.125% 4/1/29(d) | 3,619,000 | 3,754,713 | |
IAMGOLD Corp. 5.75% 10/15/28 (d) | 1,025,000 | 997,120 | |
Joseph T. Ryerson & Son, Inc. 8.5% 8/1/28 (d) | 930,000 | 1,016,025 | |
Kaiser Aluminum Corp.: | |||
4.5% 6/1/31(d) | 1,625,000 | 1,578,281 | |
4.625% 3/1/28(d) | 1,264,000 | 1,238,000 | |
New Gold, Inc.: | |||
6.375% 5/15/25(d) | 823,000 | 839,460 | |
7.5% 7/15/27(d) | 3,365,000 | 3,520,631 | |
Novelis Corp.: | |||
3.875% 8/15/31(d) | 750,000 | 723,750 | |
4.75% 1/30/30(d) | 2,085,000 | 2,105,183 | |
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (d) | 2,815,000 | 2,808,666 | |
TMS International Corp. 6.25% 4/15/29 (d) | 325,000 | 326,625 | |
United States Steel Corp. 6.875% 3/1/29 | 1,910,000 | 2,000,725 | |
Warrior Met Coal, Inc. 7.875% 12/1/28 (d)(h) | 375,000 | 378,540 | |
72,014,959 | |||
Paper & Forest Products - 0.1% | |||
Glatfelter Corp. 4.75% 11/15/29 (d) | 625,000 | 632,813 | |
LABL, Inc.: | |||
5.875% 11/1/28(d) | 625,000 | 617,578 | |
8.25% 11/1/29(d) | 650,000 | 620,750 | |
Mercer International, Inc.: | |||
5.125% 2/1/29 | 870,000 | 859,125 | |
5.5% 1/15/26 | 160,000 | 161,200 | |
SPA Holdings 3 OY 4.875% 2/4/28 (d) | 2,175,000 | 2,144,768 | |
5,036,234 | |||
TOTAL MATERIALS | 183,751,120 | ||
REAL ESTATE - 2.1% | |||
Equity Real Estate Investment Trusts (REITs) - 1.1% | |||
CTR Partnership LP/CareTrust Capital Corp. 3.875% 6/30/28 (d) | 850,000 | 833,000 | |
MGM Growth Properties Operating Partnership LP: | |||
3.875% 2/15/29(d) | 950,000 | 997,500 | |
4.5% 1/15/28 | 2,400,000 | 2,580,000 | |
5.75% 2/1/27 | 660,000 | 747,450 | |
MPT Operating Partnership LP/MPT Finance Corp. 5% 10/15/27 | 2,589,000 | 2,706,748 | |
Park Intermediate Holdings LLC: | |||
4.875% 5/15/29(d) | 1,005,000 | 1,001,231 | |
5.875% 10/1/28(d) | 665,000 | 685,612 | |
7.5% 6/1/25(d) | 4,769,000 | 5,007,450 | |
RHP Hotel Properties LP/RHP Finance Corp. 4.5% 2/15/29 (d) | 650,000 | 632,882 | |
RLJ Lodging Trust LP 3.75% 7/1/26 (d) | 520,000 | 513,500 | |
Senior Housing Properties Trust: | |||
4.375% 3/1/31 | 2,050,000 | 1,916,791 | |
4.75% 5/1/24 | 825,000 | 842,325 | |
4.75% 2/15/28 | 1,650,000 | 1,561,973 | |
9.75% 6/15/25 | 3,280,000 | 3,542,400 | |
The GEO Group, Inc. 6% 4/15/26 | 650,000 | 559,000 | |
Uniti Group LP / Uniti Group Finance, Inc.: | |||
4.75% 4/15/28(d) | 7,485,000 | 7,297,875 | |
6.5% 2/15/29(d) | 13,580,000 | 13,056,152 | |
Uniti Group, Inc.: | |||
6% 1/15/30(d) | 2,785,000 | 2,603,975 | |
7.875% 2/15/25(d) | 7,830,000 | 8,187,205 | |
VICI Properties, Inc.: | |||
4.125% 8/15/30(d) | 375,000 | 391,875 | |
4.625% 12/1/29(d) | 1,796,000 | 1,907,819 | |
XHR LP 4.875% 6/1/29 (d) | 505,000 | 508,788 | |
58,081,551 | |||
Real Estate Management & Development - 1.0% | |||
Country Garden Holdings Co. Ltd.: | |||
5.125% 1/14/27 (Reg. S) | 2,255,000 | 2,063,325 | |
5.625% 1/14/30 (Reg. S) | 665,000 | 610,138 | |
DTZ U.S. Borrower LLC 6.75% 5/15/28 (d) | 2,320,000 | 2,482,400 | |
Five Point Operation Co. LP 7.875% 11/15/25 (d) | 3,019,000 | 3,129,254 | |
Forestar Group, Inc.: | |||
3.85% 5/15/26(d) | 1,850,000 | 1,836,125 | |
5% 3/1/28(d) | 1,677,000 | 1,704,251 | |
Greystar Real Estate Partners 5.75% 12/1/25 (d) | 1,871,000 | 1,899,233 | |
Howard Hughes Corp.: | |||
4.125% 2/1/29(d) | 3,340,000 | 3,291,871 | |
4.375% 2/1/31(d) | 2,880,000 | 2,847,830 | |
5.375% 8/1/28(d) | 3,640,000 | 3,803,800 | |
Hunt Companies, Inc. 5.25% 4/15/29 (d) | 3,075,000 | 2,990,438 | |
Kennedy-Wilson, Inc. 4.75% 2/1/30 | 1,940,000 | 1,949,700 | |
Mattamy Group Corp.: | |||
4.625% 3/1/30(d) | 2,675,000 | 2,651,754 | |
5.25% 12/15/27(d) | 1,500,000 | 1,557,570 | |
Realogy Group LLC/Realogy Co-Issuer Corp.: | |||
5.75% 1/15/29(d) | 2,015,000 | 2,037,669 | |
7.625% 6/15/25(d) | 255,000 | 269,025 | |
9.375% 4/1/27(d) | 975,000 | 1,052,571 | |
Shimao Property Holdings Ltd.: | |||
5.2% 1/16/27 (Reg. S) | 960,000 | 664,320 | |
5.6% 7/15/26 (Reg. S) | 2,150,000 | 1,505,000 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.125% 8/1/30(d) | 3,758,000 | 4,030,455 | |
5.75% 1/15/28(d) | 4,020,000 | 4,408,071 | |
6.625% 7/15/27(d) | 2,498,000 | 2,616,655 | |
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (d) | 280,000 | 288,212 | |
49,689,667 | |||
TOTAL REAL ESTATE | 107,771,218 | ||
UTILITIES - 1.7% | |||
Electric Utilities - 1.1% | |||
Clearway Energy Operating LLC: | |||
3.75% 2/15/31(d) | 725,000 | 716,605 | |
4.75% 3/15/28(d) | 265,000 | 278,250 | |
FirstEnergy Corp. 7.375% 11/15/31 | 600,000 | 802,446 | |
NextEra Energy Partners LP 4.5% 9/15/27 (d) | 1,025,000 | 1,084,583 | |
NRG Energy, Inc.: | |||
3.375% 2/15/29(d) | 1,845,000 | 1,780,573 | |
3.625% 2/15/31(d) | 2,255,000 | 2,142,250 | |
3.875% 2/15/32(d) | 1,050,000 | 1,007,843 | |
5.25% 6/15/29(d) | 3,572,000 | 3,702,735 | |
5.75% 1/15/28 | 325,000 | 339,625 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (d) | 886,127 | 943,725 | |
Pattern Energy Operations LP 4.5% 8/15/28 (d) | 220,000 | 223,835 | |
PG&E Corp.: | |||
5% 7/1/28 | 7,901,000 | 8,138,030 | |
5.25% 7/1/30 | 12,010,000 | 12,310,250 | |
Vistra Operations Co. LLC: | |||
4.375% 5/1/29(d) | 6,455,000 | 6,333,323 | |
5% 7/31/27(d) | 4,553,000 | 4,601,080 | |
5.625% 2/15/27(d) | 9,092,000 | 9,336,529 | |
53,741,682 | |||
Gas Utilities - 0.2% | |||
AmeriGas Partners LP/AmeriGas Finance Corp.: | |||
5.5% 5/20/25 | 990,000 | 1,059,300 | |
5.75% 5/20/27 | 2,655,000 | 2,867,400 | |
5.875% 8/20/26 | 2,475,000 | 2,700,869 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp.: | |||
5% 6/1/31(d) | 775,000 | 765,313 | |
5.875% 3/1/27 | 1,915,000 | 1,962,875 | |
Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (d) | 1,305,000 | 1,329,926 | |
10,685,683 | |||
Independent Power and Renewable Electricity Producers - 0.4% | |||
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d) | 1,365,000 | 1,372,122 | |
Calpine Corp.: | |||
4.5% 2/15/28(d) | 2,857,000 | 2,841,444 | |
4.625% 2/1/29(d) | 425,000 | 406,938 | |
5% 2/1/31(d) | 4,105,000 | 3,949,626 | |
5.125% 3/15/28(d) | 12,213,000 | 12,090,381 | |
5.25% 6/1/26(d) | 396,000 | 405,129 | |
TerraForm Global, Inc. 6.125% 3/1/26 (d) | 1,180,000 | 1,203,600 | |
22,269,240 | |||
Water Utilities - 0.0% | |||
Solaris Midstream Holdings LLC 7.625% 4/1/26 (d) | 825,000 | 862,307 | |
TOTAL UTILITIES | 87,558,912 | ||
TOTAL NONCONVERTIBLE BONDS | 2,229,150,862 | ||
TOTAL CORPORATE BONDS (Cost $2,230,187,279) | 2,234,788,988 | ||
U.S. Treasury Obligations - 0.0% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 0.07% 5/19/22 (j) (Cost $349,892) | 350,000 | 349,855 | |
Municipal Securities - 0.1% | |||
Principal Amount (a) | Value ($) | ||
Puerto Rico Commonwealth Pub. Impt. Gen. Oblig.: | |||
Series 2006 E, 5.25% 7/1/25 | 640,000 | 632,800 | |
Series 2011 E, 5.5% 7/1/31 | 450,000 | 441,000 | |
Series 2012 A, 5.25% 7/1/23 | 250,000 | 234,375 | |
Series 2014 A, 8% 7/1/35 | 3,610,000 | 3,118,138 | |
TOTAL MUNICIPAL SECURITIES (Cost $4,027,176) | 4,426,313 | ||
Common Stocks - 0.5% | |||
Shares | Value ($) | ||
COMMUNICATION SERVICES - 0.0% | |||
Wireless Telecommunication Services - 0.0% | |||
T-Mobile U.S., Inc. (k) | 16,000 | 1,740,960 | |
ENERGY - 0.3% | |||
Energy Equipment & Services - 0.1% | |||
Jonah Energy Parent LLC (c) | 29,131 | 1,508,112 | |
Oil, Gas & Consumable Fuels - 0.2% | |||
Chesapeake Energy Corp. | 112,011 | 6,669,135 | |
Chesapeake Energy Corp. (b) | 644 | 38,344 | |
Civitas Resources, Inc. | 48,551 | 2,481,442 | |
Mesquite Energy, Inc. (c)(k) | 46,770 | 1,808,610 | |
10,997,531 | |||
TOTAL ENERGY | 12,505,643 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
IT Services - 0.0% | |||
GTT Communications, Inc. rights (c)(k) | 106,083 | 106,083 | |
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
TPC Group, Inc. rights (c)(k) | 2,592,104 | 26 | |
Metals & Mining - 0.0% | |||
Constellium NV (k) | 90,000 | 1,581,300 | |
TOTAL MATERIALS | 1,581,326 | ||
UTILITIES - 0.2% | |||
Gas Utilities - 0.1% | |||
Ferrellgas Partners LP Class B | 23,547 | 5,698,374 | |
Independent Power and Renewable Electricity Producers - 0.1% | |||
Vistra Corp. | 93,700 | 1,862,756 | |
TOTAL UTILITIES | 7,561,130 | ||
TOTAL COMMON STOCKS (Cost $13,574,277) | 23,495,142 | ||
Convertible Preferred Stocks - 0.2% | |||
Shares | Value ($) | ||
HEALTH CARE - 0.1% | |||
Life Sciences Tools & Services - 0.1% | |||
Avantor, Inc. Series A, 6.25% | 22,655 | 2,736,951 | |
Danaher Corp. Series B, 5.00% (k) | 1,525 | 2,606,240 | |
5,343,191 | |||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
American Electric Power Co., Inc.: | |||
6.125% | 23,550 | 1,162,193 | |
6.125% | 16,200 | 789,426 | |
NextEra Energy, Inc. 5.279% (k) | 58,200 | 3,149,784 | |
Southern Co. 6.75% | 33,100 | 1,663,181 | |
6,764,584 | |||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $10,145,349) | 12,107,775 | ||
Bank Loan Obligations - 3.4% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 0.4% | |||
Diversified Telecommunication Services - 0.0% | |||
Northwest Fiber LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8393% 4/30/27 (f)(l)(m) | 1,726,325 | 1,713,913 | |
Media - 0.1% | |||
Diamond Sports Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.35% 8/24/26 (f)(l)(m) | 3,110,491 | 1,300,185 | |
iHeartCommunications, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.0904% 5/1/26 (f)(l)(m) | 665,323 | 656,594 | |
1,956,779 | |||
Wireless Telecommunication Services - 0.3% | |||
Crown Subsea Communications Holding, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.000% 5.75% 4/20/27 (f)(l)(m) | 1,343,897 | 1,348,372 | |
Intelsat Jackson Holdings SA: | |||
term loan 3 month U.S. LIBOR + 4.750% 7/13/22 (l)(m)(n) | 1,490,000 | 1,492,801 | |
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 8% 11/27/23 (f)(l)(m) | 4,465,000 | 4,471,965 | |
Tranche B-4, term loan 3 month U.S. LIBOR + 5.500% 8.75% 1/2/24 (f)(l)(m) | 3,131,000 | 3,135,697 | |
Tranche B-5, term loan 8.625% 1/2/24 (m) | 1,549,000 | 1,551,912 | |
Tranche DD 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.3917% 7/13/22 (f)(l)(m)(o) | 1,719,416 | 1,722,648 | |
Xplornet Communications, Inc.: | |||
1LN, term loan 1 month U.S. LIBOR + 4.000% 9/30/28 (l)(m)(n) | 2,800,000 | 2,784,600 | |
2LN, term loan 1 month U.S. LIBOR + 7.000% 9/30/29 (l)(m)(n) | 575,000 | 573,563 | |
17,081,558 | |||
TOTAL COMMUNICATION SERVICES | 20,752,250 | ||
CONSUMER DISCRETIONARY - 0.2% | |||
Auto Components - 0.0% | |||
Clarios Global LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3404% 4/30/26 (f)(l)(m) | 361,801 | 356,826 | |
Hotels, Restaurants & Leisure - 0.1% | |||
City Football Group Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 7/21/28 (f)(l)(m) | 3,140,000 | 3,112,525 | |
Golden Nugget LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.25% 10/4/23 (f)(l)(m) | 2,178,450 | 2,158,038 | |
Life Time, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.75% 12/15/24 (f)(l)(m) | 797,477 | 802,892 | |
6,073,455 | |||
Household Durables - 0.1% | |||
Sunset Debt Merger Sub, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 9/17/28 (l)(m)(n) | 1,720,000 | 1,694,200 | |
Internet & Direct Marketing Retail - 0.0% | |||
Bass Pro Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5% 3/5/28 (f)(l)(m) | 1,563,188 | 1,561,234 | |
Specialty Retail - 0.0% | |||
Mavis Tire Express Services TopCo LP 1LN, term loan 3 month U.S. LIBOR + 4.000% 5/4/28 (l)(m)(n) | 731,913 | 731,100 | |
TOTAL CONSUMER DISCRETIONARY | 10,416,815 | ||
CONSUMER STAPLES - 0.0% | |||
Food & Staples Retailing - 0.0% | |||
Kouti BV Tranche B 1LN, term loan 3 month EURIBOR + 3.750% 7/1/28 (l)(m)(n) | EUR | 510,000 | 576,656 |
Food Products - 0.0% | |||
BellRing Brands LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 10/21/24 (f)(l)(m) | 882,673 | 882,197 | |
TOTAL CONSUMER STAPLES | 1,458,853 | ||
ENERGY - 0.3% | |||
Oil, Gas & Consumable Fuels - 0.3% | |||
Ascent Resources - Utica LLC/ARU Finance Corp. 2LN, term loan 3 month U.S. LIBOR + 9.000% 11/1/25 (l)(m)(n) | 3,503,000 | 3,791,998 | |
BCP Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.25% 6/24/24 (f)(l)(m) | 5,934,807 | 5,923,709 | |
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 8% 8/1/23 (f)(l)(m) | 368,421 | 364,431 | |
Citgo Petroleum Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.250% 7.25% 3/28/24 (f)(l)(m) | 671,657 | 669,306 | |
EG America LLC Tranche B 1LN, term loan: | |||
3 month U.S. LIBOR + 4.000% 4.1315% 2/6/25 (f)(l)(m) | 1,661,397 | 1,645,481 | |
3 month U.S. LIBOR + 4.250% 4.75% 3/10/26 (f)(l)(m) | 864,131 | 861,435 | |
EG Finco Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 4.1315% 2/6/25 (f)(l)(m) | 1,109,253 | 1,098,626 | |
Mesquite Energy, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (c)(g)(l)(m) | 864,602 | 0 | |
term loan 3 month U.S. LIBOR + 0.000% 0% (c)(g)(l)(m) | 373,000 | 0 | |
Prairie ECI Acquiror LP 1LN, term loan 3 month U.S. LIBOR + 4.750% 3/11/26 (l)(m)(n) | 765,000 | 736,527 | |
Stonepeak Lonestar Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 4.7178% 10/19/26 (f)(l)(m) | 787,481 | 788,607 | |
15,880,120 | |||
FINANCIALS - 0.5% | |||
Insurance - 0.5% | |||
Alliant Holdings Intermediate LLC Tranche B3 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 11/6/27 (f)(l)(m) | 1,426,000 | 1,417,344 | |
Asurion LLC: | |||
Tranche B3 2LN, term loan 3 month U.S. LIBOR + 5.250% 5.3404% 1/31/28 (f)(l)(m) | 7,288,677 | 7,219,435 | |
Tranche B4 2LN, term loan 1 month U.S. LIBOR + 5.250% 5.3404% 1/20/29 (f)(l)(m) | 13,930,000 | 13,782,063 | |
Tranche B9 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3404% 7/31/27 (f)(l)(m) | 2,213,875 | 2,181,774 | |
HUB International Ltd. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.8748% 4/25/25 (f)(l)(m) | 698,627 | 684,969 | |
25,285,585 | |||
HEALTH CARE - 0.2% | |||
Health Care Providers & Services - 0.2% | |||
ADMI Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 12/23/27 (l)(m)(n) | 1,998,550 | 1,966,493 | |
Gainwell Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 10/1/27 (f)(l)(m) | 5,855,789 | 5,844,838 | |
U.S. Radiology Specialists, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.25% 12/15/27 (f)(l)(m) | 1,042,125 | 1,040,447 | |
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.0904% 6/13/26 (f)(l)(m) | 406,631 | 394,566 | |
9,246,344 | |||
INDUSTRIALS - 0.5% | |||
Air Freight & Logistics - 0.0% | |||
Dynasty Acquisition Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6315% 4/8/26 (f)(l)(m) | 1,479,899 | 1,435,043 | |
Airlines - 0.2% | |||
AAdvantage Loyalty IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.5% 4/20/28 (f)(l)(m) | 3,550,000 | 3,641,697 | |
Mileage Plus Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 6.25% 7/2/27 (f)(l)(m) | 3,420,000 | 3,563,230 | |
United Airlines, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 4/21/28 (f)(l)(m) | 4,581,975 | 4,562,868 | |
11,767,795 | |||
Building Products - 0.0% | |||
Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.75% 5/17/28 (f)(l)(m) | 980,000 | 966,525 | |
Commercial Services & Supplies - 0.1% | |||
Allied Universal Holdco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 5/14/28 (f)(l)(m) | 970,000 | 960,785 | |
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.25% 6/21/24 (f)(l)(m) | 1,426,675 | 1,404,162 | |
CoreCivic, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/18/24 (f)(l)(m) | 166,215 | 164,553 | |
Intrado Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.5678% 10/10/24 (f)(l)(m) | 5,259,089 | 5,002,130 | |
7,531,630 | |||
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 (f)(l)(m) | 35,863 | 38,015 | |
Machinery - 0.1% | |||
Apex Tool Group, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 8/21/24 (l)(m)(n) | 2,798,371 | 2,772,878 | |
Professional Services - 0.1% | |||
CoreLogic, Inc. 2LN, term loan 0% 4/13/29 (f)(m) | 755,000 | 756,888 | |
Dun & Bradstreet Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 2/8/26 (l)(m)(n) | 2,720,036 | 2,690,578 | |
3,447,466 | |||
TOTAL INDUSTRIALS | 27,959,352 | ||
INFORMATION TECHNOLOGY - 1.2% | |||
Communications Equipment - 0.0% | |||
CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3404% 4/4/26 (f)(l)(m) | 740,000 | 720,116 | |
IT Services - 0.3% | |||
Acuris Finance U.S., Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.5% 2/16/28 (f)(l)(m) | 694,010 | 691,623 | |
Camelot Finance SA Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4% 10/31/26 (f)(l)(m) | 1,583,038 | 1,580,394 | |
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 4.88% 5/31/25 (f)(l)(m) | 2,903,341 | 2,433,871 | |
Peraton Corp.: | |||
2LN, term loan 0% 2/1/29 (f)(m) | 550,000 | 555,044 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 2/1/28 (f)(l)(m) | 5,930,027 | 5,908,857 | |
Tempo Acquisition LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.75% 10/31/26 (f)(l)(m) | 2,707,581 | 2,707,581 | |
Verscend Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.0904% 8/27/25 (f)(l)(m) | 992,411 | 989,930 | |
14,867,300 | |||
Software - 0.9% | |||
Ascend Learning LLC: | |||
2LN, term loan 1 month U.S. LIBOR + 5.750% 11/18/29 (l)(m)(n) | 2,395,000 | 2,399,000 | |
Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 11/18/28 (l)(m)(n) | 2,845,000 | 2,826,337 | |
BMC Software, Inc. Tranche B 2LN, term loan 1 month U.S. LIBOR + 5.500% 3/23/26 (l)(m)(n) | 1,050,000 | 1,058,663 | |
Boxer Parent Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8815% 10/2/25 (f)(l)(m) | 549,484 | 543,303 | |
Finastra U.S.A., Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.25% 6/13/25 (f)(l)(m) | 2,450,000 | 2,440,053 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 6/13/24 (f)(l)(m) | 1,417,627 | 1,403,450 | |
Greeneden U.S. Holdings II LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 12/1/27 (f)(l)(m) | 1,414,312 | 1,410,182 | |
McAfee LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.8416% 9/29/24 (f)(l)(m) | 3,838,043 | 3,832,976 | |
Polaris Newco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 4.5% 6/2/28 (f)(l)(m) | 1,845,000 | 1,836,771 | |
Proofpoint, Inc.: | |||
2LN, term loan 0% 5/27/29 (f)(m) | 520,000 | 525,850 | |
Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 8/31/28 (f)(l)(m) | 1,295,000 | 1,281,687 | |
Rackspace Technology Global, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.5% 2/15/28 (f)(l)(m) | 2,280,395 | 2,245,939 | |
RealPage, Inc. 2LN, term loan 3 month U.S. LIBOR + 0.000% 2/17/29 (l)(m)(n) | 1,475,000 | 1,498,349 | |
Renaissance Holding Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 7.0904% 5/31/26 (f)(l)(m) | 690,000 | 690,863 | |
Skillsoft Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 7/16/28 (l)(m)(n) | 2,025,000 | 2,028,382 | |
TIBCO Software, Inc. Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.750% 7/3/26 (l)(m)(n) | 3,853,609 | 3,805,439 | |
UKG, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 6.750% 7.5% 5/3/27 (f)(l)(m) | 4,520,000 | 4,553,900 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4% 5/4/26 (f)(l)(m) | 4,384,727 | 4,358,682 | |
Ultimate Software Group, Inc.: | |||
1LN, term loan 1 month U.S. LIBOR + 3.250% 5/3/26 (l)(m)(n) | 305,000 | 303,188 | |
2LN, term loan 1 month U.S. LIBOR + 5.250% 5/3/27 (l)(m)(n) | 5,200,000 | 5,214,612 | |
44,257,626 | |||
TOTAL INFORMATION TECHNOLOGY | 59,845,042 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Consolidated Energy Finance SA Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4% 5/7/25 (c)(f)(l)(m) | 2,633,400 | 2,567,565 | |
Hexion, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.64% 7/1/26 (f)(l)(m) | 1,331,711 | 1,330,885 | |
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 11/9/28 (f)(l)(m) | 1,300,000 | 1,287,975 | |
5,186,425 | |||
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 (l)(m)(n) | 962,103 | 945,671 | |
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Heritage Power LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 6/28/26 (l)(m)(n) | 1,712,853 | 1,421,668 | |
PG&E Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.5% 6/23/25 (f)(l)(m) | 745,000 | 735,457 | |
2,157,125 | |||
TOTAL BANK LOAN OBLIGATIONS (Cost $179,647,065) | 179,133,582 | ||
Fixed-Income Funds - 51.7% | |||
Shares | Value ($) | ||
High Yield Fixed-Income Funds - 51.7% | |||
Artisan High Income Fund Investor Shares | 61,860,168 | 611,178,382 | |
BlackRock High Yield Bond Portfolio Class K | 66,922,859 | 517,982,930 | |
Eaton Vance Income Fund of Boston Class A | 37,222,737 | 205,469,510 | |
Fidelity Capital & Income Fund (p) | 52,730,155 | 591,632,334 | |
MainStay High Yield Corporate Bond Fund Class A | 71,160,888 | 394,942,927 | |
Vanguard High-Yield Corporate Fund Admiral Shares | 65,715,802 | 385,751,760 | |
TOTAL FIXED-INCOME FUNDS (Cost $2,520,800,466) | 2,706,957,843 | ||
Preferred Securities - 0.2% | |||
Principal Amount (a) | Value ($) | ||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
DCP Midstream Partners LP 7.375% (f)(i) | 700,000 | 693,000 | |
FINANCIALS - 0.1% | |||
Banks - 0.1% | |||
Banco Do Brasil SA 9% (Reg. S) (f)(i) | 1,600,000 | 1,675,200 | |
Citigroup, Inc. 3.875% (f)(i) | 1,625,000 | 1,608,750 | |
Itau Unibanco Holding SA 6.125% (d)(f)(i) | 1,515,000 | 1,478,261 | |
4,762,211 | |||
UTILITIES - 0.1% | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Vistra Corp. 8% (d)(f)(i) | 5,995,000 | 6,279,763 | |
Multi-Utilities - 0.0% | |||
NiSource, Inc. 5.65% (f)(i) | 795,000 | 816,863 | |
TOTAL UTILITIES | 7,096,626 | ||
TOTAL PREFERRED SECURITIES (Cost $12,102,500) | 12,551,837 | ||
Money Market Funds - 0.6% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 0.06% (q) | 6,719,230 | 6,720,574 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 0.03% (r) | 27,131,624 | 27,131,624 | |
TOTAL MONEY MARKET FUNDS (Cost $33,852,053) | 33,852,198 | ||
TOTAL INVESTMENT IN SECURITIES - 99.4% (Cost $5,004,686,057) | 5,207,663,533 |
NET OTHER ASSETS (LIABILITIES) - 0.6% (s)(t) | 30,590,508 |
NET ASSETS - 100.0% | 5,238,254,041 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 99 | Mar 2022 | 12,950,438 | 140,351 | 140,351 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 154 | Mar 2022 | 33,685,094 | 56,707 | 56,707 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 509 | Mar 2022 | 61,791,805 | 399,434 | 399,434 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 53 | Mar 2022 | 8,592,625 | 203,548 | 203,548 |
TOTAL PURCHASED | 800,040 | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 47 | Mar 2022 | 9,426,438 | (294,355) | (294,355) |
TOTAL FUTURES CONTRACTS | 505,685 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 2.2% | |||||
The notional amount of futures sold as a percentage of Net Assets is 0.2% |
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) | ||
USD | 1,875,341 | GBP | 1,366,055 | HSBC Bank USA | 1/21/22 | 56,995 |
EUR | 229,317 | USD | 261,383 | Bank Of America NA | 2/25/22 | (638) |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | 56,357 | |||||
Unrealized Appreciation | 56,995 | |||||
Unrealized Depreciation | (638) |
Credit Default Swaps | ||||||||||
Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty(2) | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount(3)(4) | Value ($)(1) | Upfront Premium Received/ (Paid) ($)(5) | Unrealized Appreciation/ (Depreciation) ($) | |
Buy Protection | ||||||||||
5-Year CDX N.A. HY Series 37 | Dec 2026 | ICE | (5%) | Quarterly | 3,450,000 | 40,822 | 0 | 40,822 | ||
Sell Protection | ||||||||||
American Airlines Group, Inc. | Caa1 | Dec 2021 | Citibank, N.A. | 5% | Quarterly | 1,265,000 | 13,818 | 385 | 14,203 | |
American Airlines Group, Inc. | Caa1 | Jun 2023 | ICE | 5% | Quarterly | 349,000 | 9,956 | 0 | 9,956 | |
Royal Caribbean Cruises Ltd. | B2 | Dec 2023 | Citibank, N.A. | 5% | Quarterly | 860,000 | 35,015 | 16,531 | 51,546 | |
TOTAL SELL PROTECTION | 58,789 | 16,916 | 75,705 | |||||||
TOTAL CREDIT DEFAULT SWAPS | 99,611 | 16,916 | 116,527 |
(1)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
(2)Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.
(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.
(4)Notional amount is stated in U.S. Dollars unless otherwise noted
(5)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).
Currency Abbreviations
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
USD | - | U.S. dollar |
Legend
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | 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 $3,486,003 or 0.1% of net assets. |
(c) | Level 3 security |
(d) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,759,781,764 or 33.6% of net assets. |
(e) | Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(f) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(g) | Non-income producing - Security is in default. |
(h) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) | Security is perpetual in nature with no stated maturity date. |
(j) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $286,772. |
(k) | Non-income producing |
(l) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(m) | 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. |
(n) | The coupon rate will be determined upon settlement of the loan after period end. |
(o) | 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 $261,935 and $262,428, respectively. |
(p) | Affiliated Fund |
(q) | 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. |
(r) | The rate quoted is the annualized seven-day yield of the fund at period end. |
(s) | Includes $890,000 of cash collateral to cover margin requirements for futures contracts. |
(t) | Includes $415,000 of cash collateral segregated for open centrally cleared OTC swaps |
Additional information on each restricted holding is as follows: | ||
Security | Acquisition Date | Acquisition Cost ($) |
Chesapeake Energy Corp. | 2/10/21 | 6,099 |
Mesquite Energy, Inc. 15% 7/15/23 | 11/05/20 - 10/15/21 | 612,315 |
Mesquite Energy, Inc. 15% 7/15/23 | 7/10/20 - 10/15/21 | 354,584 |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | %ownership, end of period |
Fidelity Cash Central Fund 0.06% | 17,438,712 | 526,034,354 | 536,752,492 | 10,454 | - | - | 6,720,574 | 0.0% |
Total | 17,438,712 | 526,034,354 | 536,752,492 | 10,454 | - | - | 6,720,574 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Fund changes its name, the name presented below is the name in effect at period end.
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Capital & Income Fund | 630,675,085 | 162,537,599 | 216,770,095 | 26,567,819 | 4,596,650 | 10,593,095 | 591,632,334 |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% | - | 195,000,000 | 195,000,000 | - | - | - | - |
630,675,085 | 357,537,599 | 411,770,095 | 26,567,819 | 4,596,650 | 10,593,095 | 591,632,334 |
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 inputs to valuation techniques used to value investments are categorized 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 investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate Bonds, U.S. Treasury Obligations, Municipal Securities, 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.
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, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Swaps 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.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor and are categorized as Level 2 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 any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV 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.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.
The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.
Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.
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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