UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-2737
Fidelity Summer Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210
(Address of principal executive offices) (Zip code)
Marc Bryant, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | September 30 |
|
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Date of reporting period: | March 31, 2016 |
Item 1.
Reports to Stockholders
Fidelity® Series Floating Rate High Income Fund Semi-Annual Report March 31, 2016 |
 |
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544, or for Class F, call 1-800-835-5092, to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
Top Five Holdings as of March 31, 2016
| (by issuer, excluding cash equivalents) | % of fund's net assets | % of fund's net assets 6 months ago |
| Albertson's LLC | 2.3 | 1.8 |
| Numericable LLC | 1.8 | 1.1 |
| Caesars Growth Properties Holdings, LLC | 1.4 | 1.5 |
| Valeant Pharmaceuticals International, Inc. | 1.4 | 0.4 |
| Laureate Education, Inc. | 1.3 | 1.2 |
| 8.2 |
Top Five Market Sectors as of March 31, 2016
| % of fund's net assets | % of fund's net assets 6 months ago | |
| Technology | 10.7 | 9.0 |
| Healthcare | 8.3 | 9.1 |
| Services | 6.8 | 6.3 |
| Telecommunications | 6.2 | 5.6 |
| Gaming | 5.4 | 5.6 |
Quality Diversification (% of fund's net assets)
| As of March 31, 2016 | ||
| BBB | 1.6% | |
| BB | 29.9% | |
| B | 49.9% | |
| CCC,CC,C | 7.7% | |
| D | 0.4% | |
| Not Rated | 2.4% | |
| Equities | 0.6% | |
| Short-Term Investments and Net Other Assets | 7.5% | |
| As of September 30, 2015 | ||
| BBB | 0.6% | |
| BB | 29.2% | |
| B | 51.4% | |
| CCC,CC,C | 9.1% | |
| Not Rated | 3.6% | |
| Equities | 0.5% | |
| Short-Term Investments and Net Other Assets | 5.6% | |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
| As of March 31, 2016 * | ||
| Bank Loan Obligations | 90.1% | |
| Nonconvertible Bonds | 1.8% | |
| Common Stocks | 0.6% | |
| Short-Term Investments and Net Other Assets (Liabilities) | 7.5% | |
* Foreign investments - 9.5%
| As of September 30, 2015* | ||
| Bank Loan Obligations | 91.9% | |
| Nonconvertible Bonds | 2.0% | |
| Common Stocks | 0.5% | |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.6% | |
* Foreign investments - 9.4%
Investments March 31, 2016 (Unaudited)
Showing Percentage of Net Assets
| Bank Loan Obligations - 90.1%(a) | |||
| Principal Amount | Value | ||
| Aerospace - 0.7% | |||
| Gemini HDPE LLC Tranche B, term loan 4.75% 8/7/21 (b) | $364,590 | $359,577 | |
| TransDigm, Inc.: | |||
| Tranche C, term loan 3.75% 2/28/20 (b) | 498,711 | 491,585 | |
| Tranche D, term loan 3.75% 6/4/21 (b) | 1,974,874 | 1,944,540 | |
| TOTAL AEROSPACE | 2,795,702 | ||
| Automotive & Auto Parts - 1.2% | |||
| Chrysler Group LLC term loan 3.25% 12/31/18 (b) | 389,135 | 388,407 | |
| Federal-Mogul Corp. Tranche C, term loan 4.75% 4/15/21 (b) | 1,477,500 | 1,333,976 | |
| North American Lifting Holdings, Inc.: | |||
| Tranche 1LN, term loan 5.5% 11/27/20 (b) | 1,638,052 | 1,203,968 | |
| Tranche 2LN, term loan 10% 11/27/21 (b) | 1,425,000 | 1,008,188 | |
| The Gates Corp. Tranche B 1LN, term loan 4.25% 7/3/21(b) | 480,378 | 452,459 | |
| Tower Automotive Holdings U.S.A. LLC term loan 4% 4/23/20 (b) | 604,956 | 599,662 | |
| TOTAL AUTOMOTIVE & AUTO PARTS | 4,986,660 | ||
| Broadcasting - 0.9% | |||
| Clear Channel Communications, Inc. Tranche D, term loan 7.1829% 1/30/19 (b) | 2,330,000 | 1,613,525 | |
| ION Media Networks, Inc. Tranche B, term loan 4.75% 12/18/20 (b) | 985,025 | 977,637 | |
| Univision Communications, Inc. Tranche C 4LN, term loan 4% 3/1/20 (b) | 976,839 | 966,152 | |
| TOTAL BROADCASTING | 3,557,314 | ||
| Building Materials - 1.3% | |||
| American Builders & Contractors Supply Co., Inc. Tranche B, term loan 3.5% 4/16/20 (b) | 579,877 | 579,007 | |
| GCP Applied Technologies, Inc. Tranche B, term loan 5.25% 2/3/22 (b) | 500,000 | 500,000 | |
| GYP Holdings III Corp. Tranche 2LN, term loan 7.75% 4/1/22 (b) | 1,580,000 | 1,386,450 | |
| Jeld-Wen, Inc. Tranche B, term loan 4.75% 7/1/22 (b) | 497,500 | 495,634 | |
| LBM Borrower LLC Tranche B 1LN, term loan 6.25% 8/20/22 (b) | 995,000 | 948,563 | |
| Ls Deco LLC Tranche B, term loan 5.5% 5/21/22 (b) | 838,750 | 836,653 | |
| Ply Gem Industries, Inc. Tranche B, term loan 4% 2/1/21 (b) | 591,651 | 577,848 | |
| TOTAL BUILDING MATERIALS | 5,324,155 | ||
| Cable/Satellite TV - 4.8% | |||
| Altice SA Tranche B, term loan 4.25% 12/14/22 (b) | 3,857,559 | 3,835,262 | |
| Charter Communications Operating LLC: | |||
| Tranche F, term loan 3% 1/3/21 (b) | 1,361,155 | 1,354,594 | |
| Tranche H, term loan 3.25% 8/24/21 (b) | 1,000,000 | 996,530 | |
| Tranche I, term loan 3.5% 1/24/23 (b) | 2,685,000 | 2,685,752 | |
| CSC Holdings LLC Tranche B, term loan 5% 10/9/22 (b) | 1,000,000 | 999,840 | |
| Numericable LLC: | |||
| Tranche B 1LN, term loan 4.5% 5/8/20 (b) | 2,468,593 | 2,447,931 | |
| Tranche B 1LN, term loan 4.5625% 7/20/22 (b) | 618,450 | 610,336 | |
| Tranche B 2LN, term loan 4.5% 5/8/20 (b) | 2,135,669 | 2,117,794 | |
| Tranche B 6LN, term loan 4.75% 2/10/23 (b) | 2,000,000 | 1,981,880 | |
| UPC Broadband Holding BV Tranche AH, term loan 3.3444% 6/30/21 (b) | 410,000 | 406,265 | |
| WideOpenWest Finance LLC Tranche B, term loan 4.5% 4/1/19 (b) | 990,000 | 978,160 | |
| Zayo Group LLC Tranche B 2LN, term loan 4.5% 5/6/21 (b) | 289,275 | 289,926 | |
| Ziggo B.V.: | |||
| Tranche B 1LN, term loan 3.5% 1/15/22 (b) | 554,681 | 548,901 | |
| Tranche B 2LN, term loan 3.5081% 1/15/22 (b) | 357,447 | 353,722 | |
| Tranche B 3LN, term loan 3.6013% 1/15/22 (b) | 587,872 | 581,747 | |
| TOTAL CABLE/SATELLITE TV | 20,188,640 | ||
| Capital Goods - 0.1% | |||
| SRAM LLC. Tranche B, term loan 4.0124% 4/10/20 (b) | 360,654 | 298,441 | |
| Chemicals - 3.6% | |||
| A. Schulman, Inc. Tranche B, term loan 4% 6/1/22 (b) | 1,473,863 | 1,437,016 | |
| Chromaflo Technologies Corp.: | |||
| Tranche 2LN, term loan 8.25% 6/2/20 (b) | 999,962 | 749,971 | |
| Tranche B 1LN, term loan 4.5% 12/2/19 (b) | 660,518 | 629,143 | |
| Eco Services Operations LLC Tranche B, term loan 4.75% 12/1/21 (b) | 893,675 | 866,865 | |
| Hilex Poly Co. LLC: | |||
| Tranche 2LN, term loan 9.75% 6/5/22 (b) | 1,000,000 | 925,000 | |
| Tranche B 1LN, term loan 6% 12/5/21 (b) | 986,278 | 982,580 | |
| Kraton Polymers LLC Tranche B, term loan 6% 1/6/22 (b) | 750,000 | 706,313 | |
| MacDermid, Inc.: | |||
| Tranche B 1LN, term loan 5.5% 6/7/20 (b) | 420,000 | 404,905 | |
| Tranche B 2LN, term loan 5.5% 6/7/20 (b) | 605,290 | 583,730 | |
| Tranche B 3LN, term loan 5.5% 6/7/20 (b) | 1,492,500 | 1,440,083 | |
| Royal Holdings, Inc.: | |||
| Tranche B 1LN, term loan 4.5% 6/19/22 (b) | 992,500 | 960,869 | |
| Tranche B 2LN, term loan 8.5% 6/19/23 (b) | 90,000 | 84,900 | |
| Styrolution U.S. Holding LLC Tranche B, term loan 6.5% 11/7/19 (b) | 2,089,788 | 2,095,012 | |
| The Chemours Co. LLC Tranche B, term loan 3.75% 5/12/22 (b) | 583,455 | 555,741 | |
| Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Tranche B 1LN, term loan 4.25% 11/5/21 (b) | 1,344,838 | 1,336,015 | |
| Tronox Pigments (Netherlands) B.V. Tranche B, term loan 4.5% 3/19/20 (b) | 424,282 | 391,612 | |
| U.S. Coatings Acquisition, Inc. Tranche B, term loan 3.75% 2/1/20 (b) | 515,288 | 511,640 | |
| Univar, Inc. Tranche B, term loan 4.25% 7/1/22 (b) | 572,125 | 563,188 | |
| TOTAL CHEMICALS | 15,224,583 | ||
| Consumer Products - 0.9% | |||
| Calceus Acquisition, Inc. Tranche B 1LN, term loan 5% 2/1/20 (b) | 934,178 | 674,943 | |
| Hercules Achievement, Inc. Tranche B, term loan 5% 12/11/21 (b) | 1,463,901 | 1,458,411 | |
| Revlon Consumer Products Corp. term loan 4% 8/19/19 (b) | 685,369 | 686,226 | |
| Wilsonart LLC Tranche B, term loan 4% 10/31/19 (b) | 1,072,486 | 1,055,734 | |
| TOTAL CONSUMER PRODUCTS | 3,875,314 | ||
| Containers - 2.8% | |||
| Anchor Glass Container Corp. Tranche B, term loan 4.25% 7/1/22 (b) | 935,484 | 931,199 | |
| Berlin Packaging, LLC Tranche B 1LN, term loan 4.5316% 10/1/21 (b) | 1,496,210 | 1,480,006 | |
| Berry Plastics Corp.: | |||
| Tranche E, term loan 3.75% 1/6/21 (b) | 1,213,791 | 1,208,827 | |
| Tranche F, term loan 4% 10/1/22 (b) | 2,315,179 | 2,314,021 | |
| BWAY Holding Co. Tranche B, term loan 5.5038% 8/14/20 (b) | 1,055,885 | 1,019,457 | |
| Consolidated Container Co. Tranche B, term loan 5% 7/3/19 (b) | 1,350,235 | 1,240,866 | |
| Hostess Brands LLC: | |||
| Tranche B 1LN, term loan 4.5% 8/3/22 (b) | 452,725 | 452,725 | |
| Tranche B 2LN, term loan 8.5% 8/3/23 (b) | 55,000 | 52,525 | |
| Reynolds Consumer Products Holdings, Inc. Tranche B, term loan 4.5% 12/1/18 (b) | 3,070,289 | 3,070,289 | |
| TOTAL CONTAINERS | 11,769,915 | ||
| Diversified Financial Services - 2.3% | |||
| AlixPartners LLP Tranche B, term loan 4.5% 7/28/22 (b) | 895,500 | 893,037 | |
| Assuredpartners, Inc. Tranche B 1LN, term loan 5.75% 10/22/22 (b) | 1,087,275 | 1,079,120 | |
| Delos Finance SARL Tranche B LN, term loan 3.5% 3/6/21 (b) | 1,605,000 | 1,606,605 | |
| Energy & Minerals Group Tranche B, term loan 4.75% 3/27/20 (b) | 385,384 | 296,746 | |
| Fly Funding II Sarl Tranche B, term loan 3.5% 8/9/19 (b) | 977,967 | 969,410 | |
| HarbourVest Partners LLC Tranche B, term loan 3.25% 2/4/21 (b) | 286,244 | 281,950 | |
| IBC Capital U.S. LLC: | |||
| Tranche 2LN, term loan 8% 9/11/22 (b) | 1,000,000 | 850,000 | |
| Tranche B 1LN, term loan 4.75% 9/11/21 (b) | 697,950 | 643,859 | |
| TransUnion LLC Tranche B 2LN, term loan 3.5% 4/9/21 (b) | 2,969,697 | 2,938,515 | |
| TOTAL DIVERSIFIED FINANCIAL SERVICES | 9,559,242 | ||
| Diversified Media - 0.2% | |||
| McGraw-Hill School Education Tranche B, term loan 6.25% 12/18/19 (b) | 939,198 | 929,806 | |
| Energy - 4.2% | |||
| Alon U.S.A. Partners LP term loan 9.25% 11/26/18 (b) | 1,492,184 | 1,484,723 | |
| Atlantic Power Ltd. Partnership Tranche B LN, term loan 4.75% 2/24/21 (b) | 827,074 | 824,494 | |
| Chelsea Petroleum Products I LLC Tranche B, term loan 5.25% 10/28/22 (b) | 981,176 | 912,494 | |
| Chief Exploration & Development, LLC. Tranche 2LN, term loan 7.5% 5/16/21 (b) | 1,500,000 | 876,255 | |
| Citgo Holding, Inc. Tranche B, term loan 9.5% 5/12/18 (b) | 685,809 | 685,164 | |
| CPI Acquisition, Inc. Tranche B, term loan 5.5% 8/17/22 (b) | 764,195 | 755,598 | |
| Crestwood Holdings Partners LLC Tranche B, term loan 9% 6/19/19 (b) | 1,823,407 | 887,398 | |
| Drillships Ocean Ventures, Inc. Tranche B, term loan 5.5% 7/25/21 (b) | 1,477,500 | 673,193 | |
| Empire Generating Co. LLC: | |||
| Tranche B, term loan 5.25% 3/14/21 (b) | 1,210,656 | 1,004,844 | |
| Tranche C, term loan 5.25% 3/14/21 (b) | 88,793 | 73,698 | |
| Energy Transfer Equity LP Tranche C, term loan 4% 12/2/19 (b) | 640,412 | 574,059 | |
| EP Energy LLC Tranche B 3LN, term loan 3.5% 5/24/18 (b) | 678,333 | 446,004 | |
| ExGen Renewables I, LLC Tranche B term loan 5.25% 2/6/21 (b) | 309,222 | 308,449 | |
| Expro Finservices S.a.r.l. Tranche B, term loan 5.75% 9/2/21 (b) | 1,155,582 | 776,170 | |
| Floatel International Ltd. Tranche B, term loan 6% 6/27/20 (b) | 410,155 | 184,570 | |
| Foresight Energy LLC Tranche B, term loan 7.5% 8/23/20 (b) | 925,000 | 716,875 | |
| Pacific Drilling SA Tranche B, term loan 4.5% 6/3/18 (b) | 893,316 | 277,884 | |
| Panda Sherman Power, LLC term loan 9% 9/14/18 (b) | 1,606,344 | 1,365,392 | |
| Panda Temple Power, LLC term loan 7.25% 4/3/19 (b) | 448,875 | 374,811 | |
| Seadrill Operating LP Tranche B, term loan 4% 2/21/21 (b) | 967,564 | 425,728 | |
| Targa Resources Corp. term loan 5.75% 2/27/22 (b) | 455,122 | 409,610 | |
| Terra-Gen Finance Co. LLC Tranche B, term loan 5.25% 12/9/21 (b) | 1,445,362 | 1,156,290 | |
| TerraForm AP Acquisition Holdings LLC Tranche B, term loan 5% 6/26/22 (b) | 1,437,962 | 1,294,166 | |
| Western Refining, Inc. Tranche B, term loan 4.25% 11/12/20 (b) | 951,542 | 922,996 | |
| TOTAL ENERGY | 17,410,865 | ||
| Entertainment/Film - 0.5% | |||
| AMC Entertainment, Inc. Tranche B, term loan 4% 12/15/22 (b) | 498,750 | 499,528 | |
| CDS U.S. Intermediate Holdings, Inc.: | |||
| Tranche B 1LN, term loan 5% 7/8/22 (b) | 582,075 | 551,516 | |
| Tranche B 2LN, term loan 9.25% 7/8/23 (b) | 215,000 | 188,663 | |
| Regal Cinemas Corp. Tranche B, term loan 3.803% 4/1/22 (b) | 883,325 | 884,844 | |
| TOTAL ENTERTAINMENT/FILM | 2,124,551 | ||
| Environmental - 1.1% | |||
| ADS Waste Holdings, Inc. Tranche B 2LN, term loan 3.75% 10/9/19 (b) | 1,301,588 | 1,289,652 | |
| Metal Services LLC Tranche B, term loan 6% 6/30/17 (b) | 951,572 | 902,804 | |
| The Brickman Group, Ltd.: | |||
| Tranche 2LN, term loan 7.5% 12/18/21 (b) | 545,000 | 521,156 | |
| Tranche B 1LN, term loan 4% 12/18/20 (b) | 1,522,289 | 1,496,410 | |
| WTG Holdings III Corp. Tranche B 1LN, term loan 4.75% 1/15/21 (b) | 385,308 | 376,639 | |
| TOTAL ENVIRONMENTAL | 4,586,661 | ||
| Food & Drug Retail - 4.2% | |||
| Albertson's LLC: | |||
| Tranche B 3LN, term loan 5.125% 8/25/19 (b) | 950,000 | 948,813 | |
| Tranche B 4LN, term loan 5.5% 8/25/21 (b) | 7,093,350 | 7,096,894 | |
| Tranche B 5LN, term loan 5.5% 12/21/22 (b) | 1,496,250 | 1,497,058 | |
| Ferrara Candy Co., Inc. Tranche B, term loan 7.5% 6/18/18 (b) | 1,699,848 | 1,699,848 | |
| GOBP Holdings, Inc. Tranche B 1LN, term loan 4.75% 10/21/21 (b) | 1,477,538 | 1,442,446 | |
| Performance Food Group, Inc. Tranche 2LN, term loan 7.2148% 11/14/19 (b) | 994,807 | 994,807 | |
| Petco Holdings, Inc. Tranche B 1LN, term loan 5.75% 1/26/23 (b) | 1,000,000 | 998,470 | |
| PRA Holdings, Inc. Tranche B, term loan 4.5% 9/23/20 (b) | 1,536,614 | 1,535,662 | |
| Smart & Final, Inc. Tranche B, term loan 4% 11/15/19 (b) | 1,235,715 | 1,223,976 | |
| TOTAL FOOD & DRUG RETAIL | 17,437,974 | ||
| Food/Beverage/Tobacco - 2.4% | |||
| AdvancePierre Foods, Inc. Tranche 2LN, term loan 9.5% 10/10/17 (b) | 1,715,000 | 1,700,714 | |
| B&G Foods, Inc. Tranche B, term loan 3.75% 10/2/22 (b) | 853,480 | 854,333 | |
| Blue Ribbon LLC: | |||
| Tranche 2LN, term loan 9.25% 11/13/22 (b) | 1,000,000 | 970,000 | |
| Tranche B 1LN, term loan 5.5% 11/13/21 (b) | 1,751,767 | 1,743,008 | |
| CTI Foods Holdings Co. LLC Tranche 1LN, term loan 4.5% 6/28/20 (b) | 930,569 | 893,346 | |
| Keurig Green Mountain, Inc. Tranche B, term loan 5.25% 3/3/23 (b) | 710,000 | 708,814 | |
| Pinnacle Foods Finance LLC Tranche I, term loan 3.75% 1/13/23 (b) | 349,125 | 350,197 | |
| Post Holdings, Inc. Tranche B, term loan 3.75% 6/2/21 (b) | 209,307 | 209,531 | |
| Shearer's Foods, Inc.: | |||
| Tranche 2LN, term loan 7.75% 6/30/22 (b) | 1,085,000 | 998,200 | |
| Tranche B 1LN, term loan 4.9375% 6/30/21 (b) | 1,763,150 | 1,736,703 | |
| TOTAL FOOD/BEVERAGE/TOBACCO | 10,164,846 | ||
| Gaming - 5.4% | |||
| American Casino & Entertainment Properties LLC Tranche B, term loan 4.75% 7/7/22 (b) | 436,928 | 436,382 | |
| Aristocrat International (Pty) Ltd. Tranche B, term loan 4.75% 10/20/21 (b) | 1,810,418 | 1,813,441 | |
| Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 7% 10/11/20 (b) | 802,166 | 738,795 | |
| Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (b) | 7,308,318 | 5,942,612 | |
| Eldorado Resorts, Inc. Tranche B, term loan 4.25% 7/23/22 (b) | 843,625 | 840,993 | |
| Golden Nugget, Inc. Tranche B, term loan: | |||
| 5.5% 11/21/19 (b) | 247,637 | 246,245 | |
| 5.5% 11/21/19(b) | 106,130 | 105,534 | |
| Graton Economic Development Authority Tranche B, term loan 4.75% 9/1/22 (b) | 2,059,589 | 2,064,738 | |
| MGM Mirage, Inc. Tranche B, term loan 3.5% 12/20/19 (b) | 913,080 | 910,469 | |
| Mohegan Tribal Gaming Authority Tranche B, term loan 5.5% 6/15/18 (b) | 2,788,178 | 2,692,349 | |
| Scientific Games Corp.: | |||
| Tranche B 2LN, term loan 6% 10/1/21 (b) | 4,430,138 | 4,277,165 | |
| Tranche B, term loan 6% 10/18/20 (b) | 557,426 | 538,964 | |
| Station Casinos LLC Tranche B, term loan 4.25% 3/1/20 (b) | 767,025 | 764,471 | |
| Tropicana Entertainment, Inc. Tranche B, term loan 4% 11/27/20 (b) | 1,152,768 | 1,145,564 | |
| Yonkers Racing Corp. Tranche B 1LN, term loan 4.25% 8/20/19 (b) | 206,363 | 201,526 | |
| TOTAL GAMING | 22,719,248 | ||
| Healthcare - 8.1% | |||
| Alere, Inc. Tranche B, term loan 4.25% 6/18/22 (b) | 846,316 | 840,231 | |
| Alvogen Pharma U.S., Inc. Tranche B 1LN, term loan 6% 4/2/22 (b) | 1,176,021 | 1,155,440 | |
| AMAG Pharmaceuticals, Inc. Tranche B, term loan 4.75% 8/17/21 (b) | 757,152 | 743,902 | |
| Community Health Systems, Inc.: | |||
| Tranche F, term loan 3.7411% 12/31/18 (b) | 990,000 | 979,239 | |
| Tranche G, term loan 3.75% 12/31/19 (b) | 1,529,036 | 1,500,152 | |
| Tranche H, term loan 4% 1/27/21 (b) | 1,698,455 | 1,668,019 | |
| Concentra, Inc. Tranche B 1LN, term loan 4% 6/1/22 (b) | 992,500 | 978,853 | |
| Concordia Healthcare Corp. Tranche B 1LN, term loan 5.25% 10/21/21 (b) | 573,563 | 557,359 | |
| DJO Finance LLC Tranche B 1LN, term loan 4.25% 6/7/20 (b) | 960,175 | 937,774 | |
| Drumm Investors LLC Tranche B, term loan 6.75% 5/4/18 (b) | 1,028,440 | 993,092 | |
| Endo Pharmaceuticals, Inc. Tranche B, term loan 3.75% 9/25/22 (b) | 1,496,250 | 1,471,936 | |
| Grifols, S.A. Tranche B, term loan 3.4329% 2/27/21 (b) | 478,947 | 478,301 | |
| HCA Holdings, Inc. Tranche B 6LN, term loan 3.6829% 3/18/23 (b) | 3,465,000 | 3,475,845 | |
| HCR Healthcare LLC Tranche B, term loan 5% 4/6/18 (b) | 1,553,568 | 1,255,795 | |
| Hill-Rom Holdings, Inc. Tranche B, term loan 3.5% 9/8/22 (b) | 536,188 | 536,793 | |
| Horizon Pharmaceuticals, Inc. Tranche B, term loan 4.5% 5/7/21 (b) | 511,138 | 488,136 | |
| Jaguar Holding Co. II/Pharmaceutical Product Development LLC Tranche B, term loan 4.25% 8/18/22 (b) | 1,333,283 | 1,320,510 | |
| Kindred Healthcare, Inc. Tranche B, term loan 4.25% 4/9/21 (b) | 898,568 | 871,611 | |
| Onex Schumacher Finance LP Tranche B 1LN, term loan 5% 7/31/22 (b) | 995,000 | 980,075 | |
| Patheon, Inc. Tranche B, term loan 4.25% 3/11/21 (b) | 1,974,874 | 1,900,402 | |
| Surgery Center Holdings, Inc. Tranche B 1LN, term loan 5.25% 11/3/20 (b) | 701,125 | 691,485 | |
| U.S. Renal Care, Inc.: | |||
| Tranche 2LN, term loan 9% 12/31/23 (b) | 1,000,000 | 982,500 | |
| Tranche B 1LN, term loan 5.25% 12/31/22 (b) | 1,995,000 | 1,985,863 | |
| Valeant Pharmaceuticals International, Inc.: | |||
| Tranche A 3LN, term loan 2.89% 10/20/18 (b) | 209,997 | 201,072 | |
| Tranche B, term loan 4% 4/1/22 (b) | 5,869,931 | 5,534,876 | |
| Vizient, Inc. Tranche B, term loan 6.25% 2/11/23 (b) | 1,500,000 | 1,508,745 | |
| TOTAL HEALTHCARE | 34,038,006 | ||
| Homebuilders/Real Estate - 1.5% | |||
| Communications Sales & Leasing, Inc. Tranche B, term loan 5% 10/24/22 (b) | 498,744 | 482,066 | |
| DTZ U.S. Borrower LLC: | |||
| Tranche 2LN, term loan 9.25% 11/4/22 (b) | 1,000,000 | 980,000 | |
| Tranche B 1LN, term loan 4.25% 11/4/21 (b) | 1,968,894 | 1,949,205 | |
| Realogy Corp. Credit-Linked Deposit 4.6795% 10/10/16 (b) | 82,504 | 81,679 | |
| Realogy Group LLC Tranche B, term loan 3.75% 3/5/20 (b) | 2,838,306 | 2,833,566 | |
| TOTAL HOMEBUILDERS/REAL ESTATE | 6,326,516 | ||
| Hotels - 1.6% | |||
| Four Seasons Holdings, Inc.: | |||
| Tranche 2LN, term loan 6.25% 12/27/20 (b) | 1,810,000 | 1,788,877 | |
| Tranche B 1LN, term loan 3.5% 6/27/20 (b) | 500,000 | 495,780 | |
| Hilton Worldwide Finance, LLC Tranche B, term loan 3.5% 10/25/20 (b) | 2,327,032 | 2,326,310 | |
| La Quinta Intermediate Holdings LLC Tranche B LN, term loan 3.75% 4/14/21 (b) | 1,335,857 | 1,310,249 | |
| Playa Resorts Holding BV Tranche B, term loan 4% 8/9/19 (b) | 877,541 | 855,602 | |
| TOTAL HOTELS | 6,776,818 | ||
| Insurance - 1.2% | |||
| Alliant Holdings Intermediate LLC Tranche B, term loan 4.5% 8/14/22 (b) | 992,500 | 979,349 | |
| Asurion LLC: | |||
| Tranche B 1LN, term loan 5% 5/24/19 (b) | 1,015,967 | 1,000,727 | |
| Tranche B 2LN, term loan 8.5% 3/3/21 (b) | 175,000 | 163,480 | |
| Tranche B 4LN, term loan 5% 8/4/22 (b) | 1,713,216 | 1,675,748 | |
| HUB International Ltd. Tranche B 1LN, term loan 4% 10/2/20 (b) | 1,290,215 | 1,254,734 | |
| TOTAL INSURANCE | 5,074,038 | ||
| Leisure - 1.7% | |||
| 24 Hour Fitness Worldwide, Inc. Tranche B, term loan 4.75% 5/30/21 (b) | 2,115,542 | 2,022,098 | |
| ClubCorp Club Operations, Inc. Tranche B, term loan 4.25% 12/15/22 (b) | 500,000 | 498,540 | |
| Equinox Holdings, Inc. Tranche B 1LN, term loan 5% 2/1/20 (b) | 868,201 | 863,426 | |
| LTF Merger Sub, Inc. Tranche B, term loan 4.25% 6/10/22 (b) | 1,488,750 | 1,468,652 | |
| Planet Fitness Holdings, LLC. Tranche B, term loan 4.5% 3/31/21 (b) | 1,205,138 | 1,196,099 | |
| SMG Tranche B 1LN, term loan 4.5518% 2/27/20 (b) | 1,134,644 | 1,086,422 | |
| TOTAL LEISURE | 7,135,237 | ||
| Metals/Mining - 1.9% | |||
| American Rock Salt Co. LLC Tranche B 1LN, term loan 4.75% 5/20/21 (b) | 483,826 | 443,044 | |
| Ameriforge Group, Inc.: | |||
| Tranche B 1LN, term loan 5% 12/19/19 (b) | 1,269,101 | 574,268 | |
| Tranche B 2LN, term loan 8.75% 12/19/20 (b) | 1,870,000 | 329,588 | |
| Doncasters Group, LLC Tranche B 1LN, term loan 4.5% 4/9/20 (b) | 1,087,991 | 999,135 | |
| Fortescue Metals Group Ltd. Tranche B, term loan 4.25% 6/30/19 (b) | 2,626,931 | 2,212,454 | |
| Murray Energy Corp.: | |||
| Tranche B 1LN, term loan 7% 4/16/17 (b) | 649,047 | 399,164 | |
| Tranche B 2LN, term loan 7.5% 4/16/20 (b) | 2,515,706 | 1,272,947 | |
| Oxbow Carbon LLC Tranche 2LN, term loan 8% 1/19/20 (b) | 955,000 | 740,918 | |
| Peabody Energy Corp. Tranche B, term loan 4.25% 9/24/20 (b) | 911,898 | 331,703 | |
| Walter Energy, Inc. Tranche B, term loan 0% 4/1/18 (c) | 3,825,000 | 487,688 | |
| TOTAL METALS/MINING | 7,790,909 | ||
| Paper - 0.2% | |||
| Caraustar Industries, Inc. Tranche B, term loan 8% 5/1/19 (b) | 304,214 | 296,100 | |
| Xerium Technologies, Inc. Tranche B, term loan 6.25% 5/17/19 (b) | 500,000 | 481,875 | |
| TOTAL PAPER | 777,975 | ||
| Publishing/Printing - 2.2% | |||
| Cengage Learning Acquisitions, Inc. Tranche 1LN, term loan 7% 3/31/20 (b) | 2,022,092 | 2,010,546 | |
| Getty Images, Inc. Tranche B, term loan 4.75% 10/18/19 (b) | 2,133,804 | 1,580,167 | |
| Houghton Mifflin Harcourt Publishing, Inc. Tranche B, term loan 4% 5/29/21 (b) | 1,488,750 | 1,453,392 | |
| McGraw-Hill Global Education Holdings, LLC Tranche B, term loan 4.9118% 3/22/19 (b) | 329,537 | 328,162 | |
| Merrill Communications LLC Tranche B, term loan 6.25% 6/1/22 (b) | 1,239,020 | 994,313 | |
| Proquest LLC Tranche B, term loan 5.75% 10/24/21 (b) | 994,954 | 960,130 | |
| Springer Science+Business Media Deutschland GmbH Tranche B 9LN, term loan 4.75% 8/14/20 (b) | 1,980,000 | 1,915,650 | |
| TOTAL PUBLISHING/PRINTING | 9,242,360 | ||
| Restaurants - 1.3% | |||
| Burger King Worldwide, Inc. Tranche B, term loan 3.75% 12/12/21 (b) | 1,270,552 | 1,268,785 | |
| Landry's Restaurants, Inc. Tranche B, term loan 4% 4/24/18 (b) | 1,301,927 | 1,297,448 | |
| Red Lobster Hospitality LLC Tranche B, term loan 6.25% 7/28/21 (b) | 1,635,100 | 1,623,523 | |
| TGI Friday's, Inc. Tranche B 1LN, term loan 5.25% 7/15/20(b) | 1,406,690 | 1,404,932 | |
| TOTAL RESTAURANTS | 5,594,688 | ||
| Services - 6.8% | |||
| Acosta, Inc. Tranche B, term loan 4.25% 9/26/21 (b) | 1,269,720 | 1,237,291 | |
| Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 4.75% 11/26/20 (b) | 1,598,646 | 1,548,016 | |
| Bright Horizons Family Solutions, Inc. Tranche B, term loan 3.7501% 1/30/20 (b) | 591,872 | 590,765 | |
| Cactus Wellhead LLC Tranche B, term loan 7% 7/31/20 (b) | 3,290,833 | 1,151,792 | |
| Coinmach Service Corp. Tranche B, term loan 4.25% 11/14/19 (b) | 2,327,357 | 2,263,936 | |
| Creative Artists Agency LLC Tranche B, term loan 5.5% 12/17/21 (b) | 2,048,203 | 2,043,083 | |
| GCA Services Group, Inc. Tranche B 1LN, term loan 5.75% 3/1/23 (b) | 750,000 | 751,875 | |
| KAR Auction Services, Inc. Tranche B 3LN, term loan 4.25% 3/9/23 (b) | 740,000 | 741,539 | |
| Karman Buyer Corp.: | |||
| Tranche 1LN, term loan 4.25% 7/25/21 (b) | 574,171 | 563,227 | |
| Tranche 2LN, term loan 7.5% 7/25/22 (b) | 1,060,000 | 952,675 | |
| KC Mergersub, Inc.: | |||
| Tranche 1LN, term loan 6% 8/13/22 (b) | 995,000 | 981,319 | |
| Tranche L 2LN, term loan 10.25% 8/13/23 (b) | 1,000,000 | 950,000 | |
| Laureate Education, Inc. Tranche B, term loan 5% 6/16/18 (b) | 6,303,202 | 5,420,754 | |
| Lineage Logistics Holdings, LLC. Tranche B, term loan 4.5% 4/7/21 (b) | 1,879,258 | 1,573,879 | |
| Nord Anglia Education Tranche B, term loan 5% 3/31/21 (b) | 2,450,113 | 2,408,779 | |
| Research Now Group, Inc.: | |||
| Tranche 2LN, term loan 9.75% 3/18/22 (b) | 245,000 | 235,200 | |
| Tranche B 1LN, term loan 5.5% 3/18/21 (b) | 732,600 | 714,285 | |
| Science Applications International Corp. Tranche B, term loan 3.75% 5/4/22 (b) | 466,864 | 467,886 | |
| The ServiceMaster Co. Tranche B, term loan 4.25% 7/1/21 (b) | 1,751,169 | 1,749,418 | |
| Wash Multifamily Acquisition, Inc.: | |||
| Tranche B 1LN, term loan 4.25% 5/14/22 (b) | 1,011,674 | 986,383 | |
| Tranche B 2LN, term loan 8% 5/14/23 (b) | 305,000 | 286,700 | |
| Western Digital Corp. Tranche B, term loan 3/30/23 (d) | 750,000 | 740,393 | |
| TOTAL SERVICES | 28,359,195 | ||
| Steel - 0.3% | |||
| Essar Steel Algoma, Inc. Tranche B, term loan 0% 8/16/19 (c) | 1,970,050 | 295,508 | |
| JMC Steel Group, Inc. term loan 4.75% 4/1/17 (b) | 824,661 | 818,823 | |
| TOTAL STEEL | 1,114,331 | ||
| Super Retail - 4.9% | |||
| Academy Ltd. Tranche B, term loan 5% 7/2/22 (b) | 1,406,558 | 1,336,005 | |
| Bass Pro Group LLC Tranche B, term loan 4% 6/5/20 (b) | 443,879 | 419,466 | |
| BJ's Wholesale Club, Inc.: | |||
| Tranche 2LN, term loan 8.5% 3/31/20 (b) | 965,000 | 886,295 | |
| Tranche B 1LN, term loan 4.5% 9/26/19 (b) | 1,934,468 | 1,880,458 | |
| Davids Bridal, Inc. Tranche B, term loan 5.25% 10/11/19 (b) | 360,000 | 322,200 | |
| Dollar Tree, Inc. Tranche B 1LN, term loan 3.5% 7/6/22 (b) | 1,037,955 | 1,041,068 | |
| J. Crew Group, Inc. Tranche B LN, term loan 4% 3/5/21 (b) | 1,528,907 | 1,186,570 | |
| JC Penney Corp., Inc. Tranche B, term loan 6% 5/22/18 (b) | 5,344,998 | 5,350,343 | |
| Party City Holdings, Inc. Tranche B, term loan 4.25% 8/19/22(b) | 1,547,139 | 1,532,952 | |
| PetSmart, Inc. Tranche B, term loan 4.25% 3/11/22 (b) | 2,481,250 | 2,469,464 | |
| Sears Holdings Corp. Tranche ABL, term loan 5.5% 6/30/18 (b) | 2,125,825 | 2,019,534 | |
| Sports Authority, Inc. Tranche B, term loan 7.5% 11/16/17 (b) | 2,081,346 | 208,135 | |
| Staples, Inc. Tranche B 1LN, term loan 4.75% 2/2/22 (b) | 2,000,000 | 1,996,940 | |
| TOTAL SUPER RETAIL | 20,649,430 | ||
| Technology - 10.7% | |||
| Applied Systems, Inc.: | |||
| Tranche B 1LN, term loan 4.308% 1/23/21 (b) | 290,600 | 287,270 | |
| Tranche B 2LN, term loan 7.5% 1/23/22 (b) | 335,000 | 315,319 | |
| Avago Technologies Cayman Finance Ltd. Tranche B, term loan 4.25% 2/1/23 (b) | 2,500,000 | 2,486,075 | |
| Blue Coat Systems, Inc. Tranche B, term loan 4.5% 5/22/22 (b) | 2,067,050 | 2,030,877 | |
| BMC Software Finance, Inc. Tranche B, term loan: | |||
| 5% 9/10/20 (b) | 842,202 | 699,028 | |
| 5% 9/10/20 (b) | 3,650,097 | 3,053,526 | |
| Ceridian HCM Holding, Inc. Tranche B 2LN, term loan 4.5% 9/15/20 (b) | 1,488,693 | 1,432,867 | |
| Datapipe, Inc. Tranche B 1LN, term loan 5.25% 3/15/19 (b) | 1,456,440 | 1,423,219 | |
| Dell International LLC Tranche B 2LN, term loan 4% 4/29/20 (b) | 3,970,000 | 3,965,752 | |
| Epicor Software Corp. Tranche B, term loan 4.75% 6/1/22 (b) | 1,309,202 | 1,238,283 | |
| First Data Corp.: | |||
| Tranche B, term loan 3.9315% 9/24/18 (b) | 2,000,000 | 1,995,840 | |
| Tranche B, term loan 4.1815% 7/10/22 (b) | 3,000,000 | 2,979,000 | |
| G.I. Peak Merger Sub Corp.: | |||
| Tranche 2LN, term loan 8.25% 6/17/22 (b) | 460,000 | 368,000 | |
| Tranche B 1LN, term loan 5% 6/17/21 (b) | 306,976 | 298,534 | |
| Global Payments, Inc. Tranche B, term loan 3/31/23 (d) | 750,000 | 753,128 | |
| Infor U.S., Inc. Tranche B 5LN, term loan 3.75% 6/3/20 (b) | 893,122 | 864,792 | |
| Informatica Corp. Tranche B, term loan 4.5% 8/6/22 (b) | 157,554 | 154,403 | |
| Kronos, Inc.: | |||
| Tranche 2LN, term loan 9.75% 4/30/20 (b) | 2,414,310 | 2,398,206 | |
| Tranche B 1LN, term loan 4.5% 10/30/19 (b) | 1,877,201 | 1,868,998 | |
| Lux FinCo U.S. SPV: | |||
| Tranche 2LN, term loan 9.5% 10/16/23 (b) | 480,000 | 436,800 | |
| Tranche B 1LN, term loan 5% 10/16/22 (b) | 653,763 | 643,139 | |
| Microsemi Corp. Tranche B, term loan 5.25% 1/15/23 (b) | 926,471 | 930,093 | |
| NXP BV Tranche B 2LN, term loan 3.75% 12/7/20 (b) | 1,995,000 | 1,998,112 | |
| Oberthur Technologies Tranche B 2LN, term loan 4.5% 10/18/19 (b) | 1,674,826 | 1,643,725 | |
| Renaissance Learning, Inc.: | |||
| Tranche 1LN, term loan 4.5% 4/9/21 (b) | 1,699,575 | 1,645,409 | |
| Tranche 2LN, term loan 8% 4/9/22 (b) | 750,000 | 663,750 | |
| SolarWinds, Inc. Tranche B, term loan 6.5% 2/5/23 (b) | 500,000 | 494,165 | |
| Solera LLC Tranche B, term loan 5.75% 3/3/23 (b) | 500,000 | 499,020 | |
| Sophia L.P. Tranche B, term loan 4.75% 9/30/22 (b) | 2,985,000 | 2,936,494 | |
| SS&C Technologies, Inc.: | |||
| Tranche B 1LN, term loan 4.0069% 7/8/22 (b) | 953,373 | 954,717 | |
| Tranche B 2LN, term loan 4.018% 7/8/22 (b) | 138,197 | 138,392 | |
| Transfirst, Inc.: | |||
| Tranche 2LN, term loan 10.5% 11/12/22 (b) | 925,000 | 924,427 | |
| Tranche B 1LN, term loan 6.25% 11/12/21 (b) | 824,578 | 823,547 | |
| TTM Technologies, Inc. Tranche B 1LN, term loan 6% 5/31/21 (b) | 1,696,436 | 1,607,373 | |
| TOTAL TECHNOLOGY | 44,952,280 | ||
| Telecommunications - 5.9% | |||
| Altice Financing SA Tranche B, term loan 5.5% 6/24/19 (b) | 4,260,731 | 4,267,122 | |
| Digicel International Finance Ltd.: | |||
| Tranche D 1LN, term loan 4.125% 3/31/17 (b) | 129,820 | 123,978 | |
| Tranche D 2LN, term loan 4.1031% 3/31/19 (b) | 1,843,475 | 1,760,519 | |
| FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (b) | 3,250,529 | 3,216,658 | |
| Integra Telecom Holdings, Inc. Tranche B 1LN, term loan 5.25% 8/14/20 (b) | 1,485,000 | 1,396,643 | |
| Intelsat Jackson Holdings SA Tranche B 2LN, term loan 3.75% 6/30/19 (b) | 2,845,000 | 2,648,382 | |
| Level 3 Financing, Inc. Tranche B 2LN, term loan 3.5% 5/31/22 (b) | 3,000,000 | 2,991,870 | |
| LTS Buyer LLC: | |||
| Tranche 2LN, term loan 8% 4/12/21 (b) | 471,213 | 450,399 | |
| Tranche B 1LN, term loan 4% 4/11/20 (b) | 2,030,379 | 2,005,000 | |
| Mitel U.S. Holdings, Inc. Tranche B, term loan 5.5% 4/29/22 (b) | 462,525 | 461,803 | |
| Sable International Finance Ltd.: | |||
| Tranche B 1LN, term loan 12/2/22 (d) | 550,000 | 547,839 | |
| Tranche B 2LN, term loan 12/2/22 (d) | 450,000 | 448,232 | |
| Securus Technologies Holdings, Inc.: | |||
| Tranche 2LN, term loan 9% 4/30/21 (b) | 1,980,000 | 1,628,550 | |
| Tranche B2 1LN, term loan 5.25% 4/30/20 (b) | 997,500 | 922,688 | |
| T-Mobile U.S.A., Inc. Tranche B, term loan 3.5% 11/9/22 (b) | 997,500 | 1,000,931 | |
| TCH-2 Holdings, LLC. Tranche B 1LN, term loan 5.5% 5/12/21 (b) | 636,589 | 604,760 | |
| TOTAL TELECOMMUNICATIONS | 24,475,374 | ||
| Transportation Ex Air/Rail - 0.6% | |||
| American Commercial Barge Line Tranche B 1LN, term loan 9.75% 11/12/20 (b) | 1,000,000 | 890,000 | |
| Navios Partners Finance (U.S.), Inc. Tranche B, term loan 5.25% 6/27/18 (b) | 1,213,607 | 1,055,838 | |
| YRC Worldwide, Inc. Tranche B, term loan 8% 2/13/19 (b) | 938,017 | 741,971 | |
| TOTAL TRANSPORTATION EX AIR/RAIL | 2,687,809 | ||
| Utilities - 4.6% | |||
| Alfred Fueling Systems, Inc. Tranche B 1LN, term loan 4.75% 6/20/21 (b) | 769,443 | 728,409 | |
| Alinta Energy Finance Pty. Ltd. Tranche B, term loan: | |||
| 6.375% 8/13/18 (b) | 86,150 | 82,651 | |
| 6.375% 8/13/19 (b) | 1,296,166 | 1,243,516 | |
| Calpine Corp. Tranche B 3LN, term loan 4% 10/9/19 (b) | 2,155,538 | 2,144,760 | |
| Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 12/19/16 (b) | 1,240,000 | 1,238,066 | |
| Essential Power LLC Tranche B, term loan 4.75% 8/8/19 (b) | 1,741,984 | 1,672,304 | |
| Exgen Texas Power LLC Tranche B, term loan 5.75% 9/18/21 (b) | 1,284,181 | 831,507 | |
| Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 6.5% 11/13/21 (b) | 1,620,000 | 1,506,600 | |
| Houston Fuel Oil Terminal Co. Tranche B, term loan 4.25% 8/19/21 (b) | 2,457,550 | 2,211,795 | |
| InterGen NV Tranche B, term loan 5.5% 6/13/20 (b) | 2,067,790 | 1,845,502 | |
| Longview Power LLC Tranche B, term loan 7% 4/13/21 (b) | 992,500 | 875,881 | |
| Moxie Patriot LLC Tranche B, term loan 6.75% 12/19/20 (b) | 2,490,000 | 2,234,775 | |
| Southcross Energy Partners LP Tranche B, term loan 5.25% 8/4/21 (b) | 673,013 | 471,109 | |
| Southcross Holdings Borrower LP Tranche B, term loan 7.5% 8/4/21 (b) | 1,405,416 | 144,055 | |
| Tempus Public Foundation Generation Holdings LLC Tranche B, term loan 4.75% 12/31/17 (b) | 1,228,063 | 1,151,309 | |
| USIC Holdings, Inc. Tranche B, term loan 4% 7/10/20 (b) | 231,730 | 227,095 | |
| Veresen Midstream LP Tranche B, term loan 5.25% 3/31/22 (b) | 732,600 | 676,739 | |
| TOTAL UTILITIES | 19,286,073 | ||
| TOTAL BANK LOAN OBLIGATIONS | |||
| (Cost $407,840,693) | 377,234,956 | ||
| Nonconvertible Bonds - 1.8% | |||
| Broadcasting - 0.2% | |||
| Clear Channel Communications, Inc. 9% 12/15/19 | 1,183,000 | 875,420 | |
| Containers - 0.7% | |||
| Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 3.6339% 12/15/19 (b)(e) | 2,945,000 | 2,900,825 | |
| Energy - 0.2% | |||
| American Energy-Permian Basin LLC/AEPB Finance Corp. 7.1186% 8/1/19 (b)(e) | 2,250,000 | 686,250 | |
| Healthcare - 0.2% | |||
| Tenet Healthcare Corp. 4.1339% 6/15/20 (b)(e) | 1,000,000 | 992,500 | |
| Metals/Mining - 0.0% | |||
| Murray Energy Corp. 11.25% 4/15/21 (e) | 1,000,000 | 132,500 | |
| Publishing/Printing - 0.3% | |||
| Cenveo Corp. 6% 8/1/19 (e) | 920,000 | 669,300 | |
| McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (b) | 430,000 | 466,550 | |
| TOTAL PUBLISHING/PRINTING | 1,135,850 | ||
| Telecommunications - 0.2% | |||
| Altice Financing SA 7.875% 12/15/19 (e) | 650,000 | 679,250 | |
| TOTAL NONCONVERTIBLE BONDS | |||
| (Cost $10,182,998) | 7,402,595 | ||
| Shares | Value | ||
| Common Stocks - 0.6% | |||
| Chemicals - 0.4% | |||
| LyondellBasell Industries NV Class A | 18,200 | 1,557,556 | |
| Diversified Financial Services - 0.0% | |||
| Coal Acquisition LLC Class B (f) | 6,010 | 6,010 | |
| Publishing/Printing - 0.1% | |||
| Tribune Media Co. Class A | 6,975 | 267,491 | |
| Telecommunications - 0.1% | |||
| FairPoint Communications, Inc. (g) | 34,000 | 505,920 | |
| TOTAL COMMON STOCKS | |||
| (Cost $1,288,937) | 2,336,977 | ||
| Other - 0.0% | |||
| Other - 0.0% | |||
| Tribune Co. Claim (g) | |||
| (Cost $29,756) | 29,778 | 29,778 | |
| Money Market Funds - 7.2% | |||
| Fidelity Cash Central Fund, 0.39% (h) | |||
| (Cost $30,356,740) | 30,356,740 | 30,356,740 | |
| TOTAL INVESTMENT PORTFOLIO - 99.7% | |||
| (Cost $449,699,124) | 417,361,046 | ||
| NET OTHER ASSETS (LIABILITIES) - 0.3% | 1,199,874 | ||
| NET ASSETS - 100% | $418,560,920 |
Legend
(a) 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.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Non-income producing - Security is in default.
(d) The coupon rate will be determined upon settlement of the loan after period end.
(e) 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 $6,060,625 or 1.4% of net assets.
(f) Restricted securities - 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 $6,010 or 0.0% of net assets.
(g) Non-income producing
(h) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Additional information on each restricted holding is as follows:
| Security | Acquisition Date | Acquisition Cost |
| Coal Acquisition LLC Class B | 1/28/16 | $6,010 |
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
| Fund | Income earned |
| Fidelity Cash Central Fund | $50,812 |
Investment Valuation
The following is a summary of the inputs used, as of March 31, 2016, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: | ||||
| Description | Total | Level 1 | Level 2 | Level 3 |
| Investments in Securities: | ||||
| Equities: | ||||
| Consumer Discretionary | $267,491 | $267,491 | $-- | $-- |
| Financials | 6,010 | -- | -- | 6,010 |
| Materials | 1,557,556 | 1,557,556 | -- | -- |
| Telecommunication Services | 505,920 | 505,920 | -- | -- |
| Bank Loan Obligations | 377,234,956 | -- | 373,085,160 | 4,149,796 |
| Corporate Bonds | 7,402,595 | -- | 7,402,595 | -- |
| Other | 29,778 | -- | -- | 29,778 |
| Money Market Funds | 30,356,740 | 30,356,740 | -- | -- |
| Total Investments in Securities: | $417,361,046 | $32,687,707 | $380,487,755 | $4,185,584 |
The following is a reconciliation of Investments in Securities and Derivative Instruments for which Level 3 inputs were used in determining value:
| Investments in Securities: | |
| Bank Loan Obligations | |
| Beginning Balance | $4,630,472 |
| Net Realized Gain (Loss) on Investment Securities | (39,422) |
| Net Unrealized Gain (Loss) on Investment Securities | (224,545) |
| Cost of Purchases | 1,011,052 |
| Proceeds of Sales | (1,559,992) |
| Amortization/Accretion | 11,393 |
| Transfers into Level 3 | 320,838 |
| Transfers out of Level 3 | -- |
| Ending Balance | $4,149,796 |
| The change in unrealized gain (loss) for the period attributable to Level 3 securities held at March 31, 2016 | $(209,405) |
| Other Investments in Securities | |
| Beginning Balance | $29,756 |
| Net Realized Gain (Loss) on Investment Securities | -- |
| Net Unrealized Gain (Loss) on Investment Securities | 22 |
| Cost of Purchases | 8,414 |
| Proceeds of Sales | (2,404) |
| Amortization/Accretion | -- |
| Transfers into Level 3 | -- |
| Transfers out of Level 3 | -- |
| Ending Balance | $35,788 |
| The change in unrealized gain (loss) for the period attributable to Level 3 securities held at March 31, 2016 | $22 |
The information used in the above reconciliations represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliations are included in Net Gain (Loss) on the Fund's Statement of Operations.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| March 31, 2016 (Unaudited) | ||
| Assets | ||
| Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $419,342,384) | $387,004,306 | |
| Fidelity Central Funds (cost $30,356,740) | 30,356,740 | |
| Total Investments (cost $449,699,124) | $417,361,046 | |
| Cash | 590,718 | |
| Receivable for investments sold | 4,108,394 | |
| Receivable for fund shares sold | 234,028 | |
| Interest receivable | 3,642,315 | |
| Distributions receivable from Fidelity Central Funds | 10,701 | |
| Prepaid expenses | 211 | |
| Total assets | 425,947,413 | |
| Liabilities | ||
| Payable for investments purchased | $6,783,653 | |
| Payable for fund shares redeemed | 327,120 | |
| Accrued management fee | 192,694 | |
| Other affiliated payables | 34,481 | |
| Other payables and accrued expenses | 48,545 | |
| Total liabilities | 7,386,493 | |
| Net Assets | $418,560,920 | |
| Net Assets consist of: | ||
| Paid in capital | $462,717,365 | |
| Undistributed net investment income | 1,372,060 | |
| Accumulated undistributed net realized gain (loss) on investments | (13,190,427) | |
| Net unrealized appreciation (depreciation) on investments | (32,338,078) | |
| Net Assets | $418,560,920 | |
| Series Floating Rate High Income: | ||
| Net Asset Value, offering price and redemption price per share ($196,333,882 ÷ 21,859,152 shares) | $8.98 | |
| Class F: | ||
| Net Asset Value, offering price and redemption price per share ($222,227,038 ÷ 24,742,865 shares) | $8.98 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Six months ended March 31, 2016 (Unaudited) | ||
| Investment Income | ||
| Dividends | $31,879 | |
| Interest | 11,750,784 | |
| Income from Fidelity Central Funds | 50,812 | |
| Total income | 11,833,475 | |
| Expenses | ||
| Management fee | $1,167,745 | |
| Transfer agent fees | 108,038 | |
| Accounting fees and expenses | 102,398 | |
| Custodian fees and expenses | 13,522 | |
| Independent trustees' compensation | 894 | |
| Audit | 44,513 | |
| Legal | 13,931 | |
| Miscellaneous | 2,007 | |
| Total expenses before reductions | 1,453,048 | |
| Expense reductions | (2,975) | 1,450,073 |
| Net investment income (loss) | 10,383,402 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | (9,260,340) | |
| Total net realized gain (loss) | (9,260,340) | |
| Change in net unrealized appreciation (depreciation) on investment securities | (11,416,718) | |
| Net gain (loss) | (20,677,058) | |
| Net increase (decrease) in net assets resulting from operations | $(10,293,656) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Six months ended March 31, 2016 (Unaudited) | Year ended September 30, 2015 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $10,383,402 | $34,304,697 |
| Net realized gain (loss) | (9,260,340) | (7,044,347) |
| Change in net unrealized appreciation (depreciation) | (11,416,718) | (22,891,918) |
| Net increase (decrease) in net assets resulting from operations | (10,293,656) | 4,368,432 |
| Distributions to shareholders from net investment income | (11,525,987) | (32,859,724) |
| Distributions to shareholders from net realized gain | – | (30,634,400) |
| Total distributions | (11,525,987) | (63,494,124) |
| Share transactions - net increase (decrease) | 9,977,887 | (391,270,610) |
| Total increase (decrease) in net assets | (11,841,756) | (450,396,302) |
| Net Assets | ||
| Beginning of period | 430,402,676 | 880,798,978 |
| End of period (including undistributed net investment income of $1,372,060 and undistributed net investment income of $2,514,645, respectively) | $418,560,920 | $430,402,676 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Series Floating Rate High Income Fund
| Six months ended March 31, (Unaudited) | Years ended September 30, | ||||
| 2016 | 2015 | 2014 | 2013 | 2012 A | |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $9.46 | $10.33 | $10.58 | $10.69 | $10.00 |
| Income from Investment Operations | |||||
| Net investment income (loss)B | .224 | .457 | .468 | .538 | .517 |
| Net realized and unrealized gain (loss) | (.456) | (.534) | .002 | .083 | .625 |
| Total from investment operations | (.232) | (.077) | .470 | .621 | 1.142 |
| Distributions from net investment income | (.248) | (.434) | (.439) | (.460) | (.430) |
| Distributions from net realized gain | – | (.359) | (.281) | (.271) | (.022) |
| Total distributions | (.248) | (.793) | (.720) | (.731) | (.452) |
| Net asset value, end of period | $8.98 | $9.46 | $10.33 | $10.58 | $10.69 |
| Total ReturnC,D | (2.43)% | (.80)% | 4.58% | 6.04% | 11.65% |
| Ratios to Average Net AssetsE,F | |||||
| Expenses before reductions | .76%G | .72% | .72% | .72% | .75%G |
| Expenses net of fee waivers, if any | .76%G | .72% | .72% | .72% | .75%G |
| Expenses net of all reductions | .75%G | .72% | .72% | .72% | .75%G |
| Net investment income (loss) | 4.93%G | 4.61% | 4.46% | 5.07% | 5.34%G |
| Supplemental Data | |||||
| Net assets, end of period (000 omitted) | $196,334 | $205,782 | $430,191 | $781,842 | $833,111 |
| Portfolio turnover rateH | 32%G | 42% | 61% | 87% | 39%G,I |
A For the period October 20, 2011 (commencement of operations) to September 30, 2012.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
I Portfolio turnover ratio excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Series Floating Rate High Income Fund Class F
| Six months ended March 31, (Unaudited) | Years ended September 30, | ||||
| 2016 | 2015 | 2014 | 2013 | 2012 A | |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $9.46 | $10.33 | $10.58 | $10.69 | $10.00 |
| Income from Investment Operations | |||||
| Net investment income (loss)B | .228 | .467 | .479 | .549 | .530 |
| Net realized and unrealized gain (loss) | (.455) | (.534) | .003 | .084 | .623 |
| Total from investment operations | (.227) | (.067) | .482 | .633 | 1.153 |
| Distributions from net investment income | (.253) | (.444) | (.451) | (.472) | (.441) |
| Distributions from net realized gain | – | (.359) | (.281) | (.271) | (.022) |
| Total distributions | (.253) | (.803) | (.732) | (.743) | (.463) |
| Net asset value, end of period | $8.98 | $9.46 | $10.33 | $10.58 | $10.69 |
| Total ReturnC,D | (2.38)% | (.70)% | 4.69% | 6.16% | 11.77% |
| Ratios to Average Net AssetsE,F | |||||
| Expenses before reductions | .65%G | .62% | .61% | .61% | .63%G |
| Expenses net of fee waivers, if any | .65%G | .62% | .61% | .61% | .63%G |
| Expenses net of all reductions | .64%G | .62% | .61% | .61% | .63%G |
| Net investment income (loss) | 5.04%G | 4.71% | 4.56% | 5.18% | 5.45%G |
| Supplemental Data | |||||
| Net assets, end of period (000 omitted) | $222,227 | $224,621 | $450,608 | $732,099 | $573,596 |
| Portfolio turnover rateH | 32%G | 42% | 61% | 87% | 39%G,I |
A For the period October 20, 2011 (commencement of operations) to September 30, 2012.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended March 31, 2016
1. Organization.
Fidelity Series Floating Rate High Income Fund (the Fund) is a fund of Fidelity Summer Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares of the Fund are only available for purchase by mutual funds for which Fidelity Management & Research Company (FMR) or an affiliate serves as an investment manager. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Series Floating Rate High Income and Class F shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the FMR Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds and bank loan obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For 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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of March 31, 2016, as well as a roll forward of Level 3 investments, is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured. The Fund earns certain fees in connection with its floating rate loan purchasing activities. These fees are in addition to interest payments earned and may include amendment fees, consent fees and prepayment fees. These fees are recorded as Interest in the accompanying financial statements.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to market discount and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
| Gross unrealized appreciation | $3,517,685 |
| Gross unrealized depreciation | (34,362,834) |
| Net unrealized appreciation (depreciation) on securities | $(30,845,149) |
| Tax cost | $448,206,195 |
The Fund elected to defer to its next fiscal year approximately $4,147,371 of capital losses recognized during the period November 1, 2014 to September 30, 2015.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.
4. Purchase and Sales of Investments.
Purchases and sales of securities (including principal repayments of bank loan obligations), other than short-term securities, aggregated $62,798,927 and $62,037,534, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .56% of the Fund's average net assets.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of Series Floating Rate High Income. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
For the period, transfer agent fees for each applicable class were as follows:
| Amount | % of Class-Level Average Net Assets(a) | |
| Series Floating Rate High Income | $108,038 | .11 |
(a) Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.
Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $465 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
7. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $2,123.
In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $852.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| Six months ended March 31, 2016 | Year ended September 30, 2015 | |
| From net investment income | ||
| Series Floating Rate High Income | $5,406,802 | $15,710,527 |
| Class F | 6,119,185 | 17,149,197 |
| Total | $11,525,987 | $32,859,724 |
| From net realized gain | ||
| Series Floating Rate High Income | $– | $14,830,619 |
| Class F | – | 15,803,781 |
| Total | $– | $30,634,400 |
9. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Shares | Dollars | Dollars | |
| Six months ended March 31, 2016 | Year ended September 30, 2015 | Six months ended March 31, 2016 | Year ended September 30, 2015 | |
| Series Floating Rate High Income | ||||
| Shares sold | 723,741 | 1,970,259 | $6,548,358 | $19,414,098 |
| Reinvestment of distributions | 598,608 | 3,101,475 | 5,406,802 | 30,541,146 |
| Shares redeemed | (1,216,507) | (24,963,783) | (11,019,779) | (245,757,422) |
| Net increase (decrease) | 105,842 | (19,892,049) | $935,381 | $(195,802,178) |
| Class F | ||||
| Shares sold | 1,442,030 | 3,827,292 | $13,043,013 | $37,783,500 |
| Reinvestment of distributions | 677,543 | 3,346,623 | 6,119,185 | 32,952,978 |
| Shares redeemed | (1,122,267) | (27,050,196) | (10,119,692) | (266,204,910) |
| Net increase (decrease) | 997,306 | (19,876,281) | $9,042,506 | $(195,468,432) |
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Funds.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2015 to March 31, 2016).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized Expense Ratio-A | Beginning Account Value October 1, 2015 | Ending Account Value March 31, 2016 | Expenses Paid During Period-B October 1, 2015 to March 31, 2016 | |
| Series Floating Rate High Income | .76% | |||
| Actual | $1,000.00 | $975.70 | $3.75 | |
| Hypothetical-C | $1,000.00 | $1,021.20 | $3.84 | |
| Class F | .65% | |||
| Actual | $1,000.00 | $976.20 | $3.21 | |
| Hypothetical-C | $1,000.00 | $1,021.75 | $3.29 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
C 5% return per year before expenses
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
SFR-SANN-0516
1.924293.104
Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Summer Street Trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Summer Street Trust’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12.
Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Summer Street Trust
By: | /s/Stacie M. Smith |
| Stacie M. Smith |
| President and Treasurer |
|
|
Date: | May 25, 2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Stacie M. Smith |
| Stacie M. Smith |
| President and Treasurer |
|
|
Date: | May 25, 2016 |
By: | /s/Howard J. Galligan III |
| Howard J. Galligan III |
| Chief Financial Officer |
|
|
Date: | May 25, 2016 |