| Nonconvertible Bonds - 38.7% |
| | | Principal Amount (a) | Value ($) |
| COMMUNICATION SERVICES - 5.0% | | | |
| Diversified Telecommunication Services - 0.9% | | | |
| Altice France SA 5.5% 1/15/28 (b) | | 15,000 | 11,374 |
| C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) | | 16,000 | 13,763 |
| Cogent Communications Group, Inc. 7% 6/15/27 (b) | | 8,000 | 7,687 |
| Frontier Communications Holdings LLC 6% 1/15/30 (b) | | 13,000 | 9,123 |
| Level 3 Financing, Inc. 4.625% 9/15/27 (b) | | 41,000 | 25,620 |
| Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 10.75% 6/1/28 (b) | | 9,000 | 7,934 |
| Sprint Capital Corp.: | | | |
| 6.875% 11/15/28 | | 21,000 | 22,450 |
| 8.75% 3/15/32 | | 12,000 | 14,562 |
| Telecom Italia SpA 5.303% 5/30/24 (b) | | 16,000 | 15,608 |
| Zayo Group Holdings, Inc. 4% 3/1/27 (b) | | 14,000 | 9,783 |
| | | | 137,904 |
| Media - 3.1% | | | |
| Altice France Holding SA 6% 2/15/28 (b) | | 22,000 | 10,780 |
| Cable One, Inc. 4% 11/15/30 (b) | | 6,000 | 4,695 |
| CCO Holdings LLC/CCO Holdings Capital Corp. 4.5% 8/15/30 (b) | | 87,000 | 71,614 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 3.7% 4/1/51 | | 220,000 | 134,887 |
| Clear Channel Outdoor Holdings, Inc. 5.125% 8/15/27 (b) | | 9,000 | 7,934 |
| CSC Holdings LLC 5.5% 4/15/27 (b) | | 41,000 | 33,461 |
| DISH DBS Corp. 7.75% 7/1/26 | | 43,000 | 24,672 |
| Gray Television, Inc. 4.75% 10/15/30 (b) | | 15,000 | 9,722 |
| Radiate Holdco LLC/Radiate Financial Service Ltd.: | | | |
| 4.5% 9/15/26 (b) | | 16,000 | 12,320 |
| 6.5% 9/15/28 (b) | | 18,000 | 9,045 |
| Sirius XM Radio, Inc.: | | | |
| 4.125% 7/1/30 (b) | | 90,000 | 70,785 |
| 5% 8/1/27 (b) | | 25,000 | 22,667 |
| TEGNA, Inc. 4.75% 3/15/26 (b) | | 9,000 | 8,583 |
| Univision Communications, Inc. 4.5% 5/1/29 (b) | | 17,000 | 14,271 |
| Virgin Media Secured Finance PLC 4.5% 8/15/30 (b) | | 17,000 | 14,127 |
| | | | 449,563 |
| Wireless Telecommunication Services - 1.0% | | | |
| Millicom International Cellular SA 4.5% 4/27/31 (b) | | 200,000 | 149,980 |
TOTAL COMMUNICATION SERVICES | | | 737,447 |
| CONSUMER DISCRETIONARY - 4.3% | | | |
| Automobile Components - 0.7% | | | |
| Clarios Global LP / Clarios U.S. Finance Co. 6.75% 5/15/28 (b) | | 5,000 | 5,000 |
| Macquarie AirFinance Holdings 8.375% 5/1/28 (b) | | 5,000 | 4,926 |
| ZF Finance GmbH 2% 5/6/27 (Reg. S) | EUR | 100,000 | 93,022 |
| | | | 102,948 |
| Automobiles - 0.1% | | | |
| Ford Motor Co. 5.291% 12/8/46 | | 10,000 | 7,903 |
| Broadline Retail - 0.1% | | | |
| Cmg Media Corp. 8.875% 12/15/27 (b) | | 8,000 | 5,182 |
| Match Group Holdings II LLC 3.625% 10/1/31 (b) | | 10,000 | 8,146 |
| | | | 13,328 |
| Diversified Consumer Services - 0.3% | | | |
| GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b) | | 31,000 | 30,095 |
| Service Corp. International 5.125% 6/1/29 | | 16,000 | 15,200 |
| | | | 45,295 |
| Hotels, Restaurants & Leisure - 1.8% | | | |
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc. 4% 10/15/30 (b) | | 18,000 | 15,453 |
| Aramark Services, Inc. 5% 2/1/28 (b) | | 12,000 | 11,341 |
| Boyd Gaming Corp. 4.75% 6/15/31 (b) | | 12,000 | 10,672 |
| Caesars Entertainment, Inc. 8.125% 7/1/27 (b) | | 36,000 | 36,684 |
| Carnival Corp.: | | | |
| 10.5% 2/1/26 (b) | | 23,000 | 23,901 |
| 10.5% 6/1/30 (b) | | 12,000 | 12,042 |
| Churchill Downs, Inc. 6.75% 5/1/31 (b) | | 10,000 | 9,863 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. 4.625% 1/15/29 (b) | | 17,000 | 14,838 |
| Golden Entertainment, Inc. 7.625% 4/15/26 (b) | | 15,000 | 15,019 |
| Melco Resorts Finance Ltd. 5.375% 12/4/29 (b) | | 7,000 | 5,591 |
| MGM Resorts International 4.75% 10/15/28 | | 17,000 | 15,493 |
| NCL Corp. Ltd. 5.875% 2/15/27 (b) | | 26,000 | 24,660 |
| Royal Caribbean Cruises Ltd.: | | | |
| 5.375% 7/15/27 (b) | | 18,000 | 16,586 |
| 7.25% 1/15/30 (b) | | 5,000 | 5,045 |
| Station Casinos LLC 4.5% 2/15/28 (b) | | 9,000 | 8,009 |
| Viking Cruises Ltd. 13% 5/15/25 (b) | | 14,000 | 14,713 |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b) | | 16,000 | 15,048 |
| Yum! Brands, Inc.: | | | |
| 3.625% 3/15/31 | | 9,000 | 7,679 |
| 4.625% 1/31/32 | | 5,000 | 4,543 |
| | | | 267,180 |
| Household Durables - 1.0% | | | |
| Tempur Sealy International, Inc. 4% 4/15/29 (b) | | 5,000 | 4,254 |
| Toll Brothers Finance Corp. 4.875% 3/15/27 | | 150,000 | 147,076 |
| | | | 151,330 |
| Specialty Retail - 0.2% | | | |
| Bath & Body Works, Inc. 6.625% 10/1/30 (b) | | 15,000 | 14,293 |
| LBM Acquisition LLC 6.25% 1/15/29 (b) | | 7,000 | 5,543 |
| Michaels Companies, Inc. 7.875% 5/1/29 (b) | | 7,000 | 4,301 |
| | | | 24,137 |
| Textiles, Apparel & Luxury Goods - 0.1% | | | |
| Crocs, Inc. 4.125% 8/15/31 (b) | | 9,000 | 7,324 |
| The William Carter Co. 5.625% 3/15/27 (b) | | 5,000 | 4,882 |
| Wolverine World Wide, Inc. 4% 8/15/29 (b) | | 7,000 | 5,584 |
| | | | 17,790 |
TOTAL CONSUMER DISCRETIONARY | | | 629,911 |
| CONSUMER STAPLES - 0.8% | | | |
| Beverages - 0.1% | | | |
| Triton Water Holdings, Inc. 6.25% 4/1/29 (b) | | 14,000 | 11,678 |
| Consumer Staples Distribution & Retail - 0.3% | | | |
| Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | | | |
| 3.5% 3/15/29 (b) | | 17,000 | 14,781 |
| 6.5% 2/15/28 (b) | | 5,000 | 4,969 |
| C&S Group Enterprises LLC 5% 12/15/28 (b) | | 14,000 | 10,869 |
| Performance Food Group, Inc. 5.5% 10/15/27 (b) | | 16,000 | 15,384 |
| | | | 46,003 |
| Food Products - 0.4% | | | |
| Darling Ingredients, Inc. 6% 6/15/30 (b) | | 8,000 | 7,872 |
| JBS U.S.A. Lux SA / JBS Food Co. 5.5% 1/15/30 (b) | | 24,000 | 22,802 |
| Post Holdings, Inc. 4.625% 4/15/30 (b) | | 17,000 | 14,887 |
| TreeHouse Foods, Inc. 4% 9/1/28 | | 13,000 | 11,187 |
| | | | 56,748 |
TOTAL CONSUMER STAPLES | | | 114,429 |
| ENERGY - 6.4% | | | |
| Energy Equipment & Services - 0.2% | | | |
| Transocean Poseidon Ltd. 6.875% 2/1/27 (b) | | 30,063 | 29,349 |
| Oil, Gas & Consumable Fuels - 6.2% | | | |
| Apache Corp. 5.1% 9/1/40 | | 9,000 | 7,403 |
| Buckeye Partners LP 3.95% 12/1/26 | | 12,000 | 10,697 |
| Cheniere Energy Partners LP 3.25% 1/31/32 | | 10,000 | 8,182 |
| Cheniere Energy, Inc. 4.625% 10/15/28 | | 6,000 | 5,631 |
| Citgo Petroleum Corp. 6.375% 6/15/26 (b) | | 6,000 | 5,775 |
| Comstock Resources, Inc. 6.75% 3/1/29 (b) | | 12,000 | 10,488 |
| Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6% 2/1/29 (b) | | 38,000 | 35,155 |
| CVR Energy, Inc. 5.75% 2/15/28 (b) | | 16,000 | 13,448 |
| EG Global Finance PLC 6.75% 2/7/25 (b) | | 16,000 | 15,377 |
| EQM Midstream Partners LP 6.5% 7/1/27 (b) | | 15,000 | 14,653 |
| Global Partners LP/GLP Finance Corp. 6.875% 1/15/29 | | 13,000 | 11,949 |
| Hess Midstream Partners LP 4.25% 2/15/30 (b) | | 17,000 | 14,731 |
| Hilcorp Energy I LP/Hilcorp Finance Co. 6% 4/15/30 (b) | | 12,000 | 10,817 |
| Kinder Morgan, Inc. 3.6% 2/15/51 | | 200,000 | 134,455 |
| MEG Energy Corp. 7.125% 2/1/27 (b) | | 15,000 | 15,268 |
| MPLX LP: | | | |
| 5% 3/1/33 | | 50,000 | 48,106 |
| 5.65% 3/1/53 | | 50,000 | 45,617 |
| NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (b) | | 12,000 | 11,466 |
| Northern Oil & Gas, Inc. 8.75% 6/15/31 (b) | | 5,000 | 4,891 |
| Occidental Petroleum Corp. 8.875% 7/15/30 | | 77,000 | 88,735 |
| PBF Holding Co. LLC/PBF Finance Corp. 6% 2/15/28 | | 12,000 | 11,160 |
| Petroleos Mexicanos 7.69% 1/23/50 | | 200,000 | 128,950 |
| Range Resources Corp. 4.875% 5/15/25 | | 15,000 | 14,704 |
| SM Energy Co. 6.625% 1/15/27 | | 15,000 | 14,417 |
| Southwestern Energy Co. 4.75% 2/1/32 | | 20,000 | 17,304 |
| Sunoco LP/Sunoco Finance Corp. 4.5% 5/15/29 | | 17,000 | 15,133 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 6% 12/31/30 (b) | | 26,000 | 22,587 |
| Targa Resources Corp. 4.2% 2/1/33 | | 160,000 | 141,216 |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. 5.5% 3/1/30 | | 6,000 | 5,765 |
| Western Gas Partners LP: | | | |
| 4.3% 2/1/30 | | 16,000 | 14,225 |
| 5.3% 3/1/48 | | 9,000 | 7,290 |
| | | | 905,595 |
TOTAL ENERGY | | | 934,944 |
| FINANCIALS - 9.7% | | | |
| Banks - 5.0% | | | |
| AIB Group PLC 2.875% 5/30/31 (Reg. S) (c) | EUR | 100,000 | 97,042 |
| Bank of America Corp. 2.299% 7/21/32 (c) | | 90,000 | 71,718 |
| BNP Paribas SA 0.5% 1/19/30 (Reg. S) (c) | EUR | 100,000 | 86,192 |
| BPCE SA 1.5% 1/13/42 (Reg. S) (c) | EUR | 200,000 | 180,260 |
| HSBC Holdings PLC 3% 7/22/28 (c) | GBP | 100,000 | 109,175 |
| Intesa Sanpaolo SpA 5.71% 1/15/26 (b) | | 200,000 | 190,382 |
| | | | 734,769 |
| Capital Markets - 0.8% | | | |
| Credit Suisse Group AG 2.125% 11/15/29 (Reg. S) (c) | GBP | 100,000 | 97,915 |
| Hightower Holding LLC 6.75% 4/15/29 (b) | | 18,000 | 15,513 |
| MSCI, Inc. 4% 11/15/29 (b) | | 9,000 | 8,079 |
| | | | 121,507 |
| Consumer Finance - 2.0% | | | |
| Capital One Financial Corp.: | | | |
| 5.468% 2/1/29 (c) | | 9,000 | 8,741 |
| 5.817% 2/1/34 (c) | | 15,000 | 14,562 |
| Ford Motor Credit Co. LLC: | | | |
| 3.375% 11/13/25 | | 200,000 | 184,469 |
| 4% 11/13/30 | | 52,000 | 43,695 |
| OneMain Finance Corp. 6.875% 3/15/25 | | 37,000 | 35,651 |
| | | | 287,118 |
| Financial Services - 0.8% | | | |
| Altus Midstream LP 5.875% 6/15/30 (b) | | 5,000 | 4,738 |
| Blackstone Private Credit Fund 4.7% 3/24/25 | | 80,000 | 77,200 |
| GGAM Finance Ltd. 7.75% 5/15/26 (b)(d) | | 10,000 | 9,923 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. 5.25% 5/15/27 | | 40,000 | 32,900 |
| | | | 124,761 |
| Insurance - 1.1% | | | |
| Acrisure LLC / Acrisure Finance, Inc. 6% 8/1/29 (b) | | 18,000 | 15,057 |
| Alliant Holdings Intermediate LLC: | | | |
| 4.25% 10/15/27 (b) | | 16,000 | 14,392 |
| 6.75% 10/15/27 (b) | | 12,000 | 11,184 |
| Demeter Investments BV 2.75% 2/19/49 (Reg. S) (c) | EUR | 100,000 | 94,031 |
| HUB International Ltd. 7% 5/1/26 (b) | | 15,000 | 14,775 |
| USI, Inc. 6.875% 5/1/25 (b) | | 12,000 | 11,798 |
| | | | 161,237 |
TOTAL FINANCIALS | | | 1,429,392 |
| HEALTH CARE - 2.0% | | | |
| Health Care Equipment & Supplies - 0.0% | | | |
| Avantor Funding, Inc. 4.625% 7/15/28 (b) | | 9,000 | 8,325 |
| Health Care Providers & Services - 1.6% | | | |
| Centene Corp.: | | | |
| 3.375% 2/15/30 | | 17,000 | 14,658 |
| 4.625% 12/15/29 | | 80,000 | 74,192 |
| Community Health Systems, Inc.: | | | |
| 4.75% 2/15/31 (b) | | 31,000 | 22,274 |
| 6.125% 4/1/30 (b) | | 24,000 | 12,964 |
| DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (b) | | 18,000 | 15,416 |
| HCA Holdings, Inc. 3.5% 9/1/30 | | 17,000 | 15,031 |
| Molina Healthcare, Inc. 3.875% 11/15/30 (b) | | 9,000 | 7,699 |
| Surgery Center Holdings, Inc. 6.75% 7/1/25 (b) | | 11,000 | 10,929 |
| Tenet Healthcare Corp. 4.875% 1/1/26 | | 62,000 | 59,974 |
| | | | 233,137 |
| Health Care Technology - 0.1% | | | |
| Athenahealth Group, Inc. 6.5% 2/15/30 (b) | | 16,000 | 13,179 |
| Pharmaceuticals - 0.3% | | | |
| Bausch Health Companies, Inc. 5.5% 11/1/25 (b) | | 28,000 | 24,851 |
| Organon & Co. / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/28 (b) | | 16,000 | 14,244 |
| | | | 39,095 |
TOTAL HEALTH CARE | | | 293,736 |
| INDUSTRIALS - 3.4% | | | |
| Aerospace & Defense - 0.6% | | | |
| Bombardier, Inc. 7.125% 6/15/26 (b) | | 15,000 | 14,710 |
| Howmet Aerospace, Inc. 5.95% 2/1/37 | | 11,000 | 11,004 |
| Moog, Inc. 4.25% 12/15/27 (b) | | 5,000 | 4,662 |
| TransDigm, Inc. 7.5% 3/15/27 | | 60,000 | 59,832 |
| | | | 90,208 |
| Air Freight & Logistics - 0.1% | | | |
| Cargo Aircraft Management, Inc. 4.75% 2/1/28 (b) | | 7,000 | 6,055 |
| Rand Parent LLC 8.5% 2/15/30 (b) | | 5,000 | 4,316 |
| | | | 10,371 |
| Building Products - 0.1% | | | |
| Advanced Drain Systems, Inc. 6.375% 6/15/30 (b) | | 11,000 | 10,846 |
| Commercial Services & Supplies - 0.5% | | | |
| ADT Corp. 4.125% 8/1/29 (b) | | 17,000 | 14,833 |
| APX Group, Inc. 6.75% 2/15/27 (b) | | 6,000 | 5,910 |
| Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (b) | | 15,000 | 13,803 |
| CoreCivic, Inc. 8.25% 4/15/26 | | 15,000 | 15,004 |
| Madison IAQ LLC 4.125% 6/30/28 (b) | | 17,000 | 14,689 |
| Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b) | | 5,000 | 4,575 |
| Stericycle, Inc. 3.875% 1/15/29 (b) | | 7,000 | 6,174 |
| | | | 74,988 |
| Construction & Engineering - 0.3% | | | |
| AECOM 5.125% 3/15/27 | | 23,000 | 22,195 |
| Pike Corp. 5.5% 9/1/28 (b) | | 17,000 | 15,173 |
| SRS Distribution, Inc. 4.625% 7/1/28 (b) | | 7,000 | 6,177 |
| | | | 43,545 |
| Ground Transportation - 0.9% | | | |
| National Express Group PLC 2.375% 11/20/28 (Reg. S) | GBP | 100,000 | 103,683 |
| Uber Technologies, Inc. 4.5% 8/15/29 (b) | | 27,000 | 24,629 |
| XPO, Inc. 6.25% 6/1/28 (b) | | 5,000 | 4,921 |
| | | | 133,233 |
| Marine Transportation - 0.1% | | | |
| Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 10.75% 7/1/25 (b) | | 11,000 | 10,643 |
| Passenger Airlines - 0.0% | | | |
| American Airlines, Inc. 7.25% 2/15/28 (b) | | 5,000 | 4,893 |
| Professional Services - 0.1% | | | |
| ASGN, Inc. 4.625% 5/15/28 (b) | | 11,000 | 9,912 |
| CoreLogic, Inc. 4.5% 5/1/28 (b) | | 10,000 | 8,043 |
| | | | 17,955 |
| Transportation Infrastructure - 0.7% | | | |
| Heathrow Funding Ltd. 2.625% 3/16/28 (Reg. S) | GBP | 100,000 | 103,059 |
TOTAL INDUSTRIALS | | | 499,741 |
| INFORMATION TECHNOLOGY - 1.4% | | | |
| Communications Equipment - 0.1% | | | |
| CommScope, Inc. 4.75% 9/1/29 (b) | | 13,000 | 10,239 |
| Electronic Equipment, Instruments & Components - 0.1% | | | |
| Coherent Corp. 5% 12/15/29 (b) | | 16,000 | 14,229 |
| IT Services - 0.0% | | | |
| Arches Buyer, Inc. 4.25% 6/1/28 (b) | | 6,000 | 5,080 |
| Semiconductors & Semiconductor Equipment - 0.1% | | | |
| Entegris, Inc. 4.375% 4/15/28 (b) | | 17,000 | 15,624 |
| Software - 1.1% | | | |
| Black Knight InfoServ LLC 3.625% 9/1/28 (b) | | 20,000 | 17,925 |
| Clarivate Science Holdings Corp. 4.875% 7/1/29 (b) | | 17,000 | 14,600 |
| Cloud Software Group, Inc. 9% 9/30/29 (b) | | 15,000 | 12,750 |
| Fair Isaac Corp. 4% 6/15/28 (b) | | 5,000 | 4,600 |
| MicroStrategy, Inc. 6.125% 6/15/28 (b) | | 4,000 | 3,480 |
| Open Text Corp. 3.875% 12/1/29 (b) | | 24,000 | 19,989 |
| Oracle Corp. 3.85% 4/1/60 | | 100,000 | 67,427 |
| SS&C Technologies, Inc. 5.5% 9/30/27 (b) | | 16,000 | 15,272 |
| | | | 156,043 |
| Technology Hardware, Storage & Peripherals - 0.0% | | | |
| Seagate HDD Cayman 8.25% 12/15/29 (b) | | 5,000 | 5,113 |
TOTAL INFORMATION TECHNOLOGY | | | 206,328 |
| MATERIALS - 2.1% | | | |
| Chemicals - 0.8% | | | |
| Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (b) | | 6,000 | 5,670 |
| LSB Industries, Inc. 6.25% 10/15/28 (b) | | 10,000 | 9,050 |
| Methanex Corp. 5.125% 10/15/27 | | 16,000 | 14,897 |
| NOVA Chemicals Corp. 5.25% 6/1/27 (b) | | 12,000 | 10,830 |
| Nufarm Australia Ltd. 5% 1/27/30 (b) | | 9,000 | 8,101 |
| Olin Corp. 5% 2/1/30 | | 16,000 | 14,574 |
| Olympus Water U.S. Holding Corp. 4.25% 10/1/28 (b) | | 18,000 | 14,434 |
| The Chemours Co. LLC 5.75% 11/15/28 (b) | | 39,000 | 34,332 |
| W.R. Grace Holding LLC: | | | |
| 4.875% 6/15/27 (b) | | 6,000 | 5,565 |
| 7.375% 3/1/31 (b) | | 5,000 | 4,900 |
| | | | 122,353 |
| Containers & Packaging - 0.8% | | | |
| Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 4.125% 8/15/26 (b) | | 26,000 | 24,284 |
| Ball Corp. 6% 6/15/29 | | 5,000 | 5,010 |
| BWAY Holding Co. 7.875% 8/15/26 (b) | | 5,000 | 4,956 |
| Clydesdale Acquisition Holdings, Inc. 6.625% 4/15/29 (b) | | 35,000 | 33,144 |
| Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 | | 8,000 | 7,782 |
| Owens-Brockway Glass Container, Inc. 7.25% 5/15/31 (b) | | 5,000 | 5,088 |
| Sealed Air Corp./Sealed Air Cor 6.125% 2/1/28 (b) | | 5,000 | 4,954 |
| Trivium Packaging Finance BV: | | | |
| 5.5% 8/15/26 (b) | | 16,000 | 15,202 |
| 8.5% 8/15/27 (b) | | 11,000 | 10,358 |
| | | | 110,778 |
| Metals & Mining - 0.5% | | | |
| Cleveland-Cliffs, Inc. 6.75% 4/15/30 (b) | | 5,000 | 4,723 |
| First Quantum Minerals Ltd. 6.875% 3/1/26 (b) | | 24,000 | 23,250 |
| FMG Resources Pty Ltd. 4.5% 9/15/27 (b) | | 13,000 | 12,309 |
| Mineral Resources Ltd. 8% 11/1/27 (b) | | 14,000 | 14,041 |
| Novelis Corp. 3.875% 8/15/31 (b) | | 18,000 | 14,781 |
| | | | 69,104 |
TOTAL MATERIALS | | | 302,235 |
| REAL ESTATE - 1.4% | | | |
| Equity Real Estate Investment Trusts (REITs) - 0.8% | | | |
| MPT Operating Partnership LP/MPT Finance Corp. 3.5% 3/15/31 | | 42,000 | 28,346 |
| SBA Communications Corp. 3.875% 2/15/27 | | 25,000 | 23,043 |
| Service Properties Trust 4.95% 2/15/27 | | 10,000 | 8,327 |
| Uniti Group LP / Uniti Group Finance, Inc. 4.75% 4/15/28 (b) | | 44,000 | 35,285 |
| VICI Properties LP / VICI Note Co. 4.125% 8/15/30 (b) | | 33,000 | 28,924 |
| | | | 123,925 |
| Real Estate Management & Development - 0.6% | | | |
| Blackstone Property Partners Europe LP 1% 5/4/28 (Reg. S) | EUR | 100,000 | 80,448 |
TOTAL REAL ESTATE | | | 204,373 |
| UTILITIES - 2.2% | | | |
| Electric Utilities - 2.2% | | | |
| DPL, Inc. 4.35% 4/15/29 | | 160,000 | 141,639 |
| EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/81 (Reg. S) (c) | EUR | 100,000 | 84,391 |
| NRG Energy, Inc. 5.25% 6/15/29 (b) | | 17,000 | 15,329 |
| PG&E Corp. 5% 7/1/28 | | 73,000 | 67,337 |
| Vistra Operations Co. LLC 5% 7/31/27 (b) | | 16,000 | 15,036 |
| | | | 323,732 |
| TOTAL NONCONVERTIBLE BONDS (Cost $5,927,084) | | | 5,676,268 |
| | | | |
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
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)
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Nonconvertible Bonds, U.S. Treasury Obligations, Foreign Government and Government Agency Obligations, Bank Loan Obligations and Preferred Securities are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.Asset-Backed Securities and Commercial Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.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 services. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service 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.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
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):
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.
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.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual 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.
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