| Corporate Bonds - 89.4% |
| | | Principal Amount (a) | Value ($) |
| Convertible Bonds - 1.2% | | | |
| Broadcasting - 0.5% | | | |
| DISH Network Corp.: | | | |
| 2.375% 3/15/24 | | 3,506,000 | 3,357,646 |
| 3.375% 8/15/26 | | 5,466,000 | 5,087,696 |
| | | | 8,445,342 |
| Energy - 0.7% | | | |
| Mesquite Energy, Inc. 15% 7/15/23 (b)(c) | | 2,028,327 | 6,368,947 |
| Mesquite Energy, Inc. 15% 7/15/23 (b)(c) | | 1,175,827 | 4,080,120 |
| | | | 10,449,067 |
TOTAL CONVERTIBLE BONDS | | | 18,894,409 |
| Nonconvertible Bonds - 88.2% | | | |
| Aerospace - 4.8% | | | |
| Allegheny Technologies, Inc.: | | | |
| 4.875% 10/1/29 | | 2,995,000 | 2,940,581 |
| 5.875% 12/1/27 | | 12,645,000 | 12,886,203 |
| Bombardier, Inc.: | | | |
| 6% 2/15/28 (d) | | 3,555,000 | 3,441,667 |
| 7.125% 6/15/26 (d) | | 4,575,000 | 4,652,409 |
| 7.5% 3/15/25 (d) | | 5,962,000 | 6,036,525 |
| 7.875% 4/15/27 (d) | | 11,768,000 | 11,882,503 |
| BWX Technologies, Inc. 4.125% 6/30/28 (d) | | 4,397,000 | 4,336,541 |
| Kaiser Aluminum Corp.: | | | |
| 4.5% 6/1/31 (d) | | 1,920,000 | 1,824,000 |
| 4.625% 3/1/28 (d) | | 3,880,000 | 3,722,162 |
| Moog, Inc. 4.25% 12/15/27 (d) | | 3,715,000 | 3,728,188 |
| TransDigm, Inc.: | | | |
| 4.625% 1/15/29 | | 5,485,000 | 5,208,885 |
| 5.5% 11/15/27 | | 16,920,000 | 17,004,600 |
| 7.5% 3/15/27 | | 1,455,000 | 1,509,839 |
| | | | 79,174,103 |
| Automotive & Auto Parts - 0.3% | | | |
| Ford Motor Credit Co. LLC: | | | |
| 2.9% 2/10/29 | | 2,715,000 | 2,571,241 |
| 3.815% 11/2/27 | | 1,640,000 | 1,637,130 |
| | | | 4,208,371 |
| Banks & Thrifts - 0.1% | | | |
| Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (d) | | 970,000 | 950,969 |
| Broadcasting - 1.3% | | | |
| Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d) | | 9,005,000 | 4,164,813 |
| Sinclair Television Group, Inc.: | | | |
| 5.125% 2/15/27 (d) | | 3,880,000 | 3,653,408 |
| 5.5% 3/1/30 (d) | | 1,670,000 | 1,544,834 |
| Sirius XM Radio, Inc.: | | | |
| 3.125% 9/1/26 (d) | | 1,345,000 | 1,289,586 |
| 4% 7/15/28 (d) | | 2,755,000 | 2,665,463 |
| 4.125% 7/1/30 (d) | | 845,000 | 805,057 |
| Tegna, Inc.: | | | |
| 4.625% 3/15/28 | | 1,895,000 | 1,857,100 |
| 5% 9/15/29 | | 725,000 | 713,516 |
| Univision Communications, Inc.: | | | |
| 4.5% 5/1/29 (d) | | 2,170,000 | 2,149,255 |
| 6.625% 6/1/27 (d) | | 3,080,000 | 3,248,984 |
| | | | 22,092,016 |
| Building Materials - 0.7% | | | |
| Advanced Drain Systems, Inc. 5% 9/30/27 (d) | | 6,029,000 | 6,072,228 |
| Builders FirstSource, Inc. 4.25% 2/1/32 (d) | | 2,210,000 | 2,163,590 |
| SRS Distribution, Inc.: | | | |
| 4.625% 7/1/28 (d) | | 1,335,000 | 1,290,364 |
| 6% 12/1/29 (d) | | 1,230,000 | 1,194,711 |
| | | | 10,720,893 |
| Cable/Satellite TV - 4.0% | | | |
| CCO Holdings LLC/CCO Holdings Capital Corp.: | | | |
| 4.25% 2/1/31 (d) | | 3,680,000 | 3,510,646 |
| 4.5% 8/15/30 (d) | | 2,885,000 | 2,812,875 |
| 4.5% 5/1/32 | | 5,935,000 | 5,719,856 |
| 4.5% 6/1/33 (d) | | 3,195,000 | 3,038,765 |
| 4.75% 3/1/30 (d) | | 4,755,000 | 4,718,363 |
| CSC Holdings LLC: | | | |
| 4.125% 12/1/30 (d) | | 2,050,000 | 1,876,140 |
| 4.625% 12/1/30 (d) | | 7,160,000 | 6,372,400 |
| 5.375% 2/1/28 (d) | | 4,690,000 | 4,703,789 |
| 5.75% 1/15/30 (d) | | 3,435,000 | 3,236,732 |
| 7.5% 4/1/28 (d) | | 4,070,000 | 4,207,322 |
| Dolya Holdco 18 DAC 5% 7/15/28 (d) | | 1,680,000 | 1,583,400 |
| Radiate Holdco LLC/Radiate Financial Service Ltd.: | | | |
| 4.5% 9/15/26 (d) | | 6,070,000 | 5,843,468 |
| 6.5% 9/15/28 (d) | | 8,060,000 | 7,777,900 |
| Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d) | | 5,400,000 | 5,508,000 |
| Ziggo Bond Co. BV 5.125% 2/28/30 (d) | | 3,605,000 | 3,419,829 |
| Ziggo BV 4.875% 1/15/30 (d) | | 1,705,000 | 1,649,588 |
| | | | 65,979,073 |
| Capital Goods - 0.6% | | | |
| Mueller Water Products, Inc. 4% 6/15/29 (d) | | 1,905,000 | 1,866,900 |
| Vertical U.S. Newco, Inc. 5.25% 7/15/27 (d) | | 8,115,000 | 8,216,438 |
| | | | 10,083,338 |
| Chemicals - 3.7% | | | |
| Axalta Coating Systems LLC 3.375% 2/15/29 (d) | | 3,050,000 | 2,809,813 |
| Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (d) | | 4,960,000 | 5,095,792 |
| CVR Partners LP 6.125% 6/15/28 (d) | | 1,817,000 | 1,846,454 |
| Element Solutions, Inc. 3.875% 9/1/28 (d) | | 2,499,000 | 2,399,040 |
| Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.: | | | |
| 5% 12/31/26 (d) | | 4,830,000 | 4,516,050 |
| 7% 12/31/27 (d) | | 440,000 | 398,200 |
| LSB Industries, Inc. 6.25% 10/15/28 (d) | | 3,280,000 | 3,329,200 |
| Methanex Corp.: | | | |
| 5.125% 10/15/27 | | 4,800,000 | 4,861,824 |
| 5.65% 12/1/44 | | 2,847,000 | 2,718,885 |
| NOVA Chemicals Corp.: | | | |
| 4.25% 5/15/29 (d) | | 1,900,000 | 1,809,750 |
| 5.25% 6/1/27 (d) | | 3,545,000 | 3,579,493 |
| Nufarm Australia Ltd. 5% 1/27/30 (d) | | 2,575,000 | 2,562,125 |
| Olympus Water U.S. Holding Corp. 4.25% 10/1/28 (d) | | 2,030,000 | 1,938,569 |
| SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (d) | | 1,550,000 | 1,553,875 |
| The Chemours Co. LLC: | | | |
| 4.625% 11/15/29 (d) | | 1,645,000 | 1,566,863 |
| 5.375% 5/15/27 | | 3,599,000 | 3,699,556 |
| 5.75% 11/15/28 (d) | | 12,755,000 | 12,951,172 |
| W.R. Grace Holding LLC 5.625% 8/15/29 (d) | | 3,140,000 | 3,030,100 |
| | | | 60,666,761 |
| Consumer Products - 0.5% | | | |
| Diamond BC BV 4.625% 10/1/29 (d) | | 3,625,000 | 3,398,583 |
| Michaels Companies, Inc.: | | | |
| 5.25% 5/1/28 (d) | | 1,425,000 | 1,372,175 |
| 7.875% 5/1/29 (d) | | 1,100,000 | 1,006,500 |
| Nordstrom, Inc.: | | | |
| 4.25% 8/1/31 | | 1,630,000 | 1,507,228 |
| 4.375% 4/1/30 | | 1,090,000 | 1,021,210 |
| | | | 8,305,696 |
| Containers - 0.7% | | | |
| Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 4.125% 8/15/26 (d) | | 160,000 | 158,752 |
| Graphic Packaging International, Inc. 3.75% 2/1/30 (d) | | 860,000 | 825,600 |
| OI European Group BV 4.75% 2/15/30 (d) | | 2,040,000 | 1,981,462 |
| Trivium Packaging Finance BV: | | | |
| 5.5% 8/15/26 (d) | | 4,574,000 | 4,611,141 |
| 8.5% 8/15/27 (d) | | 4,080,000 | 4,208,112 |
| | | | 11,785,067 |
| Diversified Financial Services - 2.2% | | | |
| Coinbase Global, Inc. 3.375% 10/1/28 (d) | | 4,505,000 | 4,040,039 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | | | |
| 4.375% 2/1/29 | | 3,160,000 | 3,003,722 |
| 4.75% 9/15/24 | | 2,080,000 | 2,109,910 |
| 5.25% 5/15/27 | | 8,475,000 | 8,506,781 |
| 6.25% 5/15/26 | | 3,535,000 | 3,633,980 |
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.: | | | |
| 4.25% 2/1/27 (d) | | 1,525,000 | 1,484,649 |
| 4.75% 6/15/29 (d) | | 2,920,000 | 2,857,687 |
| OneMain Finance Corp.: | | | |
| 3.5% 1/15/27 | | 3,265,000 | 3,109,913 |
| 3.875% 9/15/28 | | 5,940,000 | 5,532,100 |
| 6.125% 3/15/24 | | 1,100,000 | 1,152,250 |
| 7.125% 3/15/26 | | 660,000 | 725,560 |
| | | | 36,156,591 |
| Diversified Media - 1.1% | | | |
| Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (d) | | 8,065,000 | 8,004,513 |
| Nielsen Finance LLC/Nielsen Finance Co.: | | | |
| 4.5% 7/15/29 (d) | | 1,905,000 | 1,776,413 |
| 5.625% 10/1/28 (d) | | 3,100,000 | 3,095,040 |
| 5.875% 10/1/30 (d) | | 1,610,000 | 1,612,946 |
| Terrier Media Buyer, Inc. 8.875% 12/15/27 (d) | | 3,540,000 | 3,736,470 |
| | | | 18,225,382 |
| Energy - 13.6% | | | |
| Apache Corp.: | | | |
| 4.25% 1/15/30 | | 775,000 | 784,300 |
| 4.375% 10/15/28 | | 885,000 | 910,842 |
| Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d) | | 2,540,000 | 2,425,700 |
| Cheniere Energy Partners LP 3.25% 1/31/32 (d) | | 1,745,000 | 1,641,312 |
| Cheniere Energy, Inc. 4.625% 10/15/28 | | 3,725,000 | 3,780,875 |
| Citgo Petroleum Corp.: | | | |
| 6.375% 6/15/26 (d) | | 11,475,000 | 11,417,625 |
| 7% 6/15/25 (d) | | 7,970,000 | 8,029,775 |
| Colgate Energy Partners III LLC 5.875% 7/1/29 (d) | | 1,640,000 | 1,666,650 |
| Comstock Resources, Inc.: | | | |
| 5.875% 1/15/30 (d) | | 4,250,000 | 4,223,863 |
| 6.75% 3/1/29 (d) | | 4,930,000 | 5,071,935 |
| 7.5% 5/15/25 (d) | | 739,000 | 751,711 |
| Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | | | |
| 5.625% 5/1/27 (d) | | 12,109,000 | 12,139,273 |
| 5.75% 4/1/25 | | 5,685,000 | 5,727,638 |
| 6% 2/1/29 (d) | | 7,923,000 | 7,982,423 |
| CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (d) | | 340,000 | 343,203 |
| CVR Energy, Inc.: | | | |
| 5.25% 2/15/25 (d) | | 9,370,000 | 9,042,050 |
| 5.75% 2/15/28 (d) | | 7,100,000 | 6,816,000 |
| Delek Logistics Partners LP 7.125% 6/1/28 (d) | | 4,755,000 | 4,823,948 |
| DT Midstream, Inc. 4.125% 6/15/29 (d) | | 1,640,000 | 1,617,844 |
| Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (d) | | 483,000 | 499,697 |
| EnLink Midstream LLC 5.625% 1/15/28 (d) | | 665,000 | 682,756 |
| EQM Midstream Partners LP 6.5% 7/1/27 (d) | | 1,412,000 | 1,475,540 |
| EQT Corp.: | | | |
| 3.9% 10/1/27 | | 885,000 | 891,000 |
| 5% 1/15/29 | | 1,325,000 | 1,394,563 |
| Global Partners LP/GLP Finance Corp. 6.875% 1/15/29 | | 3,460,000 | 3,574,284 |
| Harvest Midstream I LP 7.5% 9/1/28 (d) | | 3,085,000 | 3,212,935 |
| Hess Midstream Partners LP: | | | |
| 4.25% 2/15/30 (d) | | 1,115,000 | 1,075,975 |
| 5.125% 6/15/28 (d) | | 3,025,000 | 3,082,445 |
| Hilcorp Energy I LP/Hilcorp Finance Co.: | | | |
| 5.75% 2/1/29 (d) | | 775,000 | 790,500 |
| 6.25% 11/1/28 (d) | | 775,000 | 804,063 |
| Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d) | | 4,665,000 | 4,540,025 |
| MEG Energy Corp.: | | | |
| 5.875% 2/1/29 (d) | | 1,860,000 | 1,890,225 |
| 7.125% 2/1/27 (d) | | 1,810,000 | 1,885,025 |
| Mesquite Energy, Inc. 7.25% 2/15/23 (c)(d)(e) | | 10,580,000 | 1 |
| New Fortress Energy, Inc.: | | | |
| 6.5% 9/30/26 (d) | | 12,170,000 | 11,378,950 |
| 6.75% 9/15/25 (d) | | 12,800,000 | 12,128,000 |
| NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (d) | | 11,365,000 | 11,546,840 |
| NGL Energy Partners LP/NGL Energy Finance Corp. 7.5% 11/1/23 | | 2,185,000 | 2,129,720 |
| Occidental Petroleum Corp.: | | | |
| 6.125% 1/1/31 | | 2,315,000 | 2,672,089 |
| 6.45% 9/15/36 | | 1,745,000 | 2,119,652 |
| 7.5% 5/1/31 | | 6,540,000 | 8,079,516 |
| 7.875% 9/15/31 | | 635,000 | 801,688 |
| 8.875% 7/15/30 | | 2,170,000 | 2,812,689 |
| PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (d) | | 10,065,000 | 9,813,375 |
| Rockies Express Pipeline LLC: | | | |
| 4.8% 5/15/30 (d) | | 145,000 | 144,638 |
| 4.95% 7/15/29 (d) | | 1,730,000 | 1,777,575 |
| 6.875% 4/15/40 (d) | | 655,000 | 694,300 |
| SM Energy Co.: | | | |
| 5.625% 6/1/25 | | 2,035,000 | 2,019,738 |
| 6.5% 7/15/28 | | 1,720,000 | 1,776,760 |
| 6.75% 9/15/26 | | 475,000 | 479,750 |
| Southwestern Energy Co. 4.75% 2/1/32 | | 1,640,000 | 1,637,228 |
| Sunoco LP/Sunoco Finance Corp.: | | | |
| 4.5% 5/15/29 | | 1,920,000 | 1,879,622 |
| 5.875% 3/15/28 | | 875,000 | 907,209 |
| Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (d) | | 1,155,000 | 1,156,733 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | | | |
| 5.5% 1/15/28 (d) | | 3,875,000 | 3,704,500 |
| 6% 3/1/27 (d) | | 8,315,000 | 8,459,847 |
| 6% 12/31/30 (d) | | 3,525,000 | 3,366,375 |
| 6% 9/1/31 (d) | | 3,020,000 | 2,877,154 |
| 7.5% 10/1/25 (d) | | 365,000 | 383,889 |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | | | |
| 4% 1/15/32 (d) | | 1,425,000 | 1,418,445 |
| 4.875% 2/1/31 | | 1,870,000 | 1,954,150 |
| Transocean Guardian Ltd. 5.875% 1/15/24 (d) | | 1,224,922 | 1,177,787 |
| Transocean Phoenix 2 Ltd. 7.75% 10/15/24 (d) | | 252,500 | 253,762 |
| Transocean Pontus Ltd. 6.125% 8/1/25 (d) | | 676,700 | 666,550 |
| Transocean Poseidon Ltd. 6.875% 2/1/27 (d) | | 1,010,000 | 979,700 |
| Transocean Sentry Ltd. 5.375% 5/15/23 (d) | | 1,345,551 | 1,298,457 |
| Venture Global Calcasieu Pass LLC: | | | |
| 3.875% 8/15/29 (d) | | 2,135,000 | 2,131,242 |
| 4.125% 8/15/31 (d) | | 2,115,000 | 2,128,727 |
| | | | 221,752,658 |
| Environmental - 0.8% | | | |
| Madison IAQ LLC: | | | |
| 4.125% 6/30/28 (d) | | 4,080,000 | 3,886,200 |
| 5.875% 6/30/29 (d) | | 6,705,000 | 6,196,795 |
| Stericycle, Inc. 3.875% 1/15/29 (d) | | 2,775,000 | 2,636,250 |
| | | | 12,719,245 |
| Food & Drug Retail - 0.9% | | | |
| Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | | | |
| 3.5% 3/15/29 (d) | | 10,010,000 | 9,451,042 |
| 4.875% 2/15/30 (d) | | 2,455,000 | 2,501,031 |
| Emergent BioSolutions, Inc. 3.875% 8/15/28 (d) | | 1,605,000 | 1,476,600 |
| Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (d) | | 675,000 | 636,066 |
| | | | 14,064,739 |
| Food/Beverage/Tobacco - 2.7% | | | |
| C&S Group Enterprises LLC 5% 12/15/28 (d) | | 6,635,000 | 6,088,807 |
| JBS U.S.A. Lux SA / JBS Food Co.: | | | |
| 5.5% 1/15/30 (d) | | 4,490,000 | 4,762,094 |
| 6.5% 4/15/29 (d) | | 4,136,000 | 4,492,730 |
| Lamb Weston Holdings, Inc. 4.125% 1/31/30 (d) | | 4,660,000 | 4,603,637 |
| Performance Food Group, Inc.: | | | |
| 4.25% 8/1/29 (d) | | 965,000 | 905,469 |
| 5.5% 10/15/27 (d) | | 3,085,000 | 3,156,140 |
| Post Holdings, Inc.: | | | |
| 4.625% 4/15/30 (d) | | 1,290,000 | 1,243,238 |
| 5.5% 12/15/29 (d) | | 2,445,000 | 2,512,849 |
| Primo Water Holdings, Inc. 4.375% 4/30/29 (d) | | 5,030,000 | 4,801,537 |
| TreeHouse Foods, Inc. 4% 9/1/28 | | 2,445,000 | 2,286,075 |
| Triton Water Holdings, Inc. 6.25% 4/1/29 (d) | | 7,285,000 | 6,829,688 |
| U.S. Foods, Inc.: | | | |
| 4.625% 6/1/30 (d) | | 820,000 | 797,450 |
| 4.75% 2/15/29 (d) | | 2,180,000 | 2,139,561 |
| | | | 44,619,275 |
| Gaming - 2.4% | | | |
| Affinity Gaming LLC 6.875% 12/15/27 (d) | | 4,130,000 | 4,191,950 |
| Caesars Entertainment, Inc.: | | | |
| 4.625% 10/15/29 (d) | | 2,035,000 | 1,948,314 |
| 6.25% 7/1/25 (d) | | 2,675,000 | 2,768,010 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. 6.75% 1/15/30 (d) | | 3,270,000 | 3,177,459 |
| Golden Entertainment, Inc. 7.625% 4/15/26 (d) | | 7,980,000 | 8,289,225 |
| Jacobs Entertainment, Inc. 6.75% 2/15/29 (d) | | 975,000 | 984,750 |
| Melco Resorts Finance Ltd.: | | | |
| 5.375% 12/4/29 (d) | | 1,610,000 | 1,519,438 |
| 5.75% 7/21/28 (d) | | 2,420,000 | 2,323,200 |
| Premier Entertainment Sub LLC: | | | |
| 5.625% 9/1/29 (d) | | 2,725,000 | 2,568,067 |
| 5.875% 9/1/31 (d) | | 1,295,000 | 1,220,447 |
| Station Casinos LLC 4.5% 2/15/28 (d) | | 1,665,000 | 1,616,648 |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (d) | | 3,289,000 | 3,235,784 |
| Wynn Macau Ltd.: | | | |
| 4.875% 10/1/24 (d) | | 3,137,000 | 2,983,601 |
| 5.5% 10/1/27 (d) | | 2,575,000 | 2,394,750 |
| | | | 39,221,643 |
| Healthcare - 8.6% | | | |
| 180 Medical, Inc. 3.875% 10/15/29 (d) | | 2,565,000 | 2,494,463 |
| AMN Healthcare 4% 4/15/29 (d) | | 3,205,000 | 3,180,001 |
| Avantor Funding, Inc.: | | | |
| 3.875% 11/1/29 (d) | | 4,360,000 | 4,185,600 |
| 4.625% 7/15/28 (d) | | 4,885,000 | 4,872,788 |
| Bausch Health Companies, Inc.: | | | |
| 4.875% 6/1/28 (d) | | 2,290,000 | 2,170,554 |
| 5% 1/30/28 (d) | | 2,480,000 | 2,089,400 |
| 7% 1/15/28 (d) | | 4,015,000 | 3,598,444 |
| Cano Health, Inc. 6.25% 10/1/28 (d) | | 2,010,000 | 1,929,600 |
| Catalent Pharma Solutions 3.5% 4/1/30 (d) | | 4,245,000 | 3,974,381 |
| Charles River Laboratories International, Inc.: | | | |
| 3.75% 3/15/29 (d) | | 1,150,000 | 1,109,405 |
| 4.25% 5/1/28 (d) | | 472,000 | 469,498 |
| Community Health Systems, Inc.: | | | |
| 4.75% 2/15/31 (d) | | 3,505,000 | 3,351,656 |
| 5.25% 5/15/30 (d)(f) | | 3,850,000 | 3,833,445 |
| 5.625% 3/15/27 (d) | | 10,035,000 | 10,089,289 |
| 6% 1/15/29 (d) | | 3,665,000 | 3,732,399 |
| 6.125% 4/1/30 (d) | | 2,885,000 | 2,747,111 |
| 6.875% 4/15/29 (d) | | 3,575,000 | 3,534,781 |
| CTR Partnership LP/CareTrust Capital Corp. 3.875% 6/30/28 (d) | | 2,070,000 | 2,049,300 |
| DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (d) | | 8,715,000 | 8,478,735 |
| Embecta Corp. 5% 2/15/30 (d)(f) | | 1,110,000 | 1,111,388 |
| Grifols Escrow Issuer SA 4.75% 10/15/28 (d) | | 3,010,000 | 2,994,950 |
| HealthEquity, Inc. 4.5% 10/1/29 (d) | | 5,330,000 | 5,210,075 |
| Hologic, Inc.: | | | |
| 3.25% 2/15/29 (d) | | 3,405,000 | 3,226,238 |
| 4.625% 2/1/28 (d) | | 6,000 | 6,225 |
| Jazz Securities DAC 4.375% 1/15/29 (d) | | 5,380,000 | 5,311,943 |
| Minerva Merger Sub, Inc. 6.5% 2/15/30 (d)(f) | | 1,670,000 | 1,665,825 |
| ModivCare Escrow Issuer, Inc. 5% 10/1/29 (d) | | 785,000 | 760,327 |
| Molina Healthcare, Inc. 3.875% 11/15/30 (d) | | 1,465,000 | 1,444,856 |
| Mozart Debt Merger Sub, Inc.: | | | |
| 3.875% 4/1/29 (d) | | 2,975,000 | 2,867,008 |
| 5.25% 10/1/29 (d) | | 1,470,000 | 1,429,575 |
| Option Care Health, Inc. 4.375% 10/31/29 (d) | | 3,270,000 | 3,186,026 |
| Organon & Co. / Organon Foreign Debt Co-Issuer BV: | | | |
| 4.125% 4/30/28 (d) | | 5,435,000 | 5,348,149 |
| 5.125% 4/30/31 (d) | | 2,160,000 | 2,160,000 |
| Owens & Minor, Inc. 4.5% 3/31/29 (d) | | 1,010,000 | 981,142 |
| Radiology Partners, Inc. 9.25% 2/1/28 (d) | | 3,750,000 | 3,731,250 |
| RP Escrow Issuer LLC 5.25% 12/15/25 (d) | | 5,310,000 | 5,158,506 |
| Teleflex, Inc. 4.25% 6/1/28 (d) | | 930,000 | 922,774 |
| Tenet Healthcare Corp.: | | | |
| 4.25% 6/1/29 (d) | | 4,015,000 | 3,870,851 |
| 4.375% 1/15/30 (d) | | 5,480,000 | 5,280,851 |
| 4.625% 6/15/28 (d) | | 4,250,000 | 4,209,795 |
| 6.125% 10/1/28 (d) | | 7,860,000 | 7,885,702 |
| 6.25% 2/1/27 (d) | | 2,741,000 | 2,804,619 |
| Valeant Pharmaceuticals International, Inc. 8.5% 1/31/27 (d) | | 1,155,000 | 1,167,994 |
| Vizient, Inc. 6.25% 5/15/27 (d) | | 385,000 | 394,625 |
| | | | 141,021,544 |
| Homebuilders/Real Estate - 3.2% | | | |
| Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 8/1/29 (d) | | 985,000 | 970,225 |
| Howard Hughes Corp.: | | | |
| 4.125% 2/1/29 (d) | | 1,325,000 | 1,273,630 |
| 4.375% 2/1/31 (d) | | 1,325,000 | 1,260,406 |
| Kennedy-Wilson, Inc. 4.75% 2/1/30 | | 5,055,000 | 4,966,538 |
| Railworks Holdings LP 8.25% 11/15/28 (d) | | 2,855,000 | 2,960,635 |
| Realogy Group LLC/Realogy Co-Issuer Corp. 5.75% 1/15/29 (d) | | 4,680,000 | 4,597,164 |
| TopBuild Corp. 4.125% 2/15/32 (d) | | 3,680,000 | 3,565,331 |
| Uniti Group LP / Uniti Group Finance, Inc.: | | | |
| 4.75% 4/15/28 (d) | | 8,545,000 | 8,284,121 |
| 6.5% 2/15/29 (d) | | 25,741,000 | 24,350,729 |
| | | | 52,228,779 |
| Hotels - 0.5% | | | |
| Hilton Domestic Operating Co., Inc.: | | | |
| 3.625% 2/15/32 (d) | | 3,710,000 | 3,520,530 |
| 3.75% 5/1/29 (d) | | 495,000 | 482,318 |
| 4% 5/1/31 (d) | | 1,790,000 | 1,759,140 |
| Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (d) | | 1,785,000 | 1,771,077 |
| | | | 7,533,065 |
| Insurance - 1.5% | | | |
| Alliant Holdings Intermediate LLC: | | | |
| 4.25% 10/15/27 (d) | | 4,740,000 | 4,609,650 |
| 6.75% 10/15/27 (d) | | 14,690,000 | 14,519,302 |
| AmWINS Group, Inc. 4.875% 6/30/29 (d) | | 4,315,000 | 4,223,306 |
| AssuredPartners, Inc. 5.625% 1/15/29 (d) | | 1,355,000 | 1,259,662 |
| | | | 24,611,920 |
| Leisure - 2.8% | | | |
| Carnival Corp.: | | | |
| 4% 8/1/28 (d) | | 4,020,000 | 3,824,146 |
| 5.75% 3/1/27 (d) | | 6,900,000 | 6,624,000 |
| 6% 5/1/29 (d) | | 5,450,000 | 5,242,900 |
| 6.65% 1/15/28 | | 300,000 | 298,425 |
| 7.625% 3/1/26 (d) | | 7,515,000 | 7,665,300 |
| NCL Corp. Ltd.: | | | |
| 3.625% 12/15/24 (d) | | 3,860,000 | 3,542,708 |
| 5.875% 3/15/26 (d) | | 890,000 | 847,725 |
| NCL Finance Ltd. 6.125% 3/15/28 (d) | | 640,000 | 605,248 |
| Royal Caribbean Cruises Ltd.: | | | |
| 4.25% 7/1/26 (d) | | 4,110,000 | 3,834,733 |
| 5.375% 7/15/27 (d) | | 1,535,000 | 1,483,424 |
| 5.5% 8/31/26 (d) | | 4,160,000 | 4,056,000 |
| 5.5% 4/1/28 (d) | | 4,905,000 | 4,759,272 |
| Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (d) | | 630,000 | 615,825 |
| Voc Escrow Ltd. 5% 2/15/28 (d) | | 1,950,000 | 1,892,397 |
| | | | 45,292,103 |
| Metals/Mining - 0.7% | | | |
| ERO Copper Corp. 6.5% 2/15/30 (d) | | 4,410,000 | 4,343,850 |
| First Quantum Minerals Ltd. 6.875% 10/15/27 (d) | | 3,790,000 | 4,026,875 |
| FMG Resources (August 2006) Pty Ltd.: | | | |
| 4.375% 4/1/31 (d) | | 1,630,000 | 1,640,188 |
| 4.5% 9/15/27 (d) | | 65,000 | 66,579 |
| HudBay Minerals, Inc. 4.5% 4/1/26 (d) | | 860,000 | 846,601 |
| | | | 10,924,093 |
| Paper - 0.7% | | | |
| Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC 4% 9/1/29 (d) | | 2,845,000 | 2,709,863 |
| Glatfelter Corp. 4.75% 11/15/29 (d) | | 1,385,000 | 1,395,872 |
| Intertape Polymer Group, Inc. 4.375% 6/15/29 (d) | | 3,450,000 | 3,406,875 |
| SPA Holdings 3 OY 4.875% 2/4/28 (d) | | 4,520,000 | 4,356,376 |
| | | | 11,868,986 |
| Railroad - 0.3% | | | |
| First Student Bidco, Inc./First Transit Parent, Inc. 4% 7/31/29 (d) | | 5,195,000 | 4,922,263 |
| Restaurants - 0.4% | | | |
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc. 4% 10/15/30 (d) | | 2,680,000 | 2,480,796 |
| Yum! Brands, Inc. 4.625% 1/31/32 | | 3,475,000 | 3,458,390 |
| | | | 5,939,186 |
| Services - 6.5% | | | |
| ADT Corp. 4.125% 8/1/29 (d) | | 4,060,000 | 3,818,917 |
| Adtalem Global Education, Inc. 5.5% 3/1/28 (d) | | 7,215,000 | 7,092,994 |
| Allied Universal Holdco LLC / Allied Universal Finance Corp.: | | | |
| 6% 6/1/29 (d) | | 3,975,000 | 3,767,922 |
| 6.625% 7/15/26 (d) | | 620,000 | 636,656 |
| APX Group, Inc. 6.75% 2/15/27 (d) | | 1,280,000 | 1,314,470 |
| Aramark Services, Inc. 5% 2/1/28 (d) | | 8,560,000 | 8,495,800 |
| ASGN, Inc. 4.625% 5/15/28 (d) | | 2,280,000 | 2,277,720 |
| Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.: | | | |
| 4.625% 6/1/28 (d) | | 1,461,000 | 1,402,838 |
| 4.625% 6/1/28 (d) | | 3,979,000 | 3,761,070 |
| Booz Allen Hamilton, Inc.: | | | |
| 3.875% 9/1/28 (d) | | 9,795,000 | 9,613,107 |
| 4% 7/1/29 (d) | | 690,000 | 681,375 |
| Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (d) | | 8,652,000 | 8,132,880 |
| CoreCivic, Inc.: | | | |
| 4.75% 10/15/27 | | 1,980,000 | 1,773,130 |
| 8.25% 4/15/26 | | 8,520,000 | 8,903,400 |
| Fair Isaac Corp. 4% 6/15/28 (d) | | 2,035,000 | 2,014,650 |
| Gartner, Inc.: | | | |
| 3.625% 6/15/29 (d) | | 985,000 | 955,450 |
| 3.75% 10/1/30 (d) | | 1,600,000 | 1,552,000 |
| GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d) | | 9,121,000 | 9,336,484 |
| Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (d) | | 5,185,000 | 5,165,556 |
| PowerTeam Services LLC 9.033% 12/4/25 (d) | | 840,000 | 858,900 |
| Service Corp. International: | | | |
| 4% 5/15/31 | | 2,505,000 | 2,426,850 |
| 5.125% 6/1/29 | | 2,272,000 | 2,379,920 |
| Sotheby's 7.375% 10/15/27 (d) | | 7,700,000 | 7,999,761 |
| The GEO Group, Inc. 6% 4/15/26 | | 2,110,000 | 1,735,475 |
| TriNet Group, Inc. 3.5% 3/1/29 (d) | | 3,950,000 | 3,750,999 |
| WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d) | | 5,967,000 | 6,041,588 |
| | | | 105,889,912 |
| Steel - 0.3% | | | |
| Commercial Metals Co. 4.125% 1/15/30 | | 1,640,000 | 1,627,700 |
| Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (d) | | 2,955,000 | 2,925,095 |
| | | | 4,552,795 |
| Super Retail - 1.4% | | | |
| Bath & Body Works, Inc.: | | | |
| 5.25% 2/1/28 | | 400,000 | 420,000 |
| 6.625% 10/1/30 (d) | | 610,000 | 654,646 |
| 6.694% 1/15/27 | | 1,430,000 | 1,605,175 |
| Carvana Co.: | | | |
| 4.875% 9/1/29 (d) | | 985,000 | 875,557 |
| 5.5% 4/15/27 (d) | | 2,175,000 | 2,025,795 |
| 5.625% 10/1/25 (d) | | 2,500,000 | 2,371,825 |
| 5.875% 10/1/28 (d) | | 550,000 | 516,995 |
| EG Global Finance PLC: | | | |
| 6.75% 2/7/25 (d) | | 3,560,000 | 3,547,985 |
| 8.5% 10/30/25 (d) | | 6,085,000 | 6,169,125 |
| Levi Strauss & Co. 3.5% 3/1/31 (d) | | 2,235,000 | 2,157,803 |
| Wolverine World Wide, Inc. 4% 8/15/29 (d) | | 3,250,000 | 3,122,031 |
| | | | 23,466,937 |
| Technology - 5.8% | | | |
| Acuris Finance U.S. 5% 5/1/28 (d) | | 6,070,000 | 5,804,438 |
| Arches Buyer, Inc.: | | | |
| 4.25% 6/1/28 (d) | | 3,220,000 | 3,040,614 |
| 6.125% 12/1/28 (d) | | 4,250,000 | 4,127,813 |
| Black Knight InfoServ LLC 3.625% 9/1/28 (d) | | 4,235,000 | 4,062,127 |
| Clarivate Science Holdings Corp.: | | | |
| 3.875% 7/1/28 (d) | | 1,230,000 | 1,173,359 |
| 4.875% 7/1/29 (d) | | 1,160,000 | 1,104,900 |
| CommScope, Inc.: | | | |
| 4.75% 9/1/29 (d) | | 1,415,000 | 1,355,471 |
| 6% 3/1/26 (d) | | 3,920,000 | 3,969,943 |
| 7.125% 7/1/28 (d) | | 2,505,000 | 2,335,913 |
| 8.25% 3/1/27 (d) | | 770,000 | 753,353 |
| Elastic NV 4.125% 7/15/29 (d) | | 4,035,000 | 3,772,725 |
| Gartner, Inc. 4.5% 7/1/28 (d) | | 2,505,000 | 2,553,146 |
| II-VI, Inc. 5% 12/15/29 (d) | | 4,350,000 | 4,341,518 |
| ION Trading Technologies Ltd. 5.75% 5/15/28 (d) | | 5,595,000 | 5,622,975 |
| MicroStrategy, Inc. 6.125% 6/15/28 (d) | | 2,350,000 | 2,244,250 |
| Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 10.75% 6/1/28 (d) | | 2,385,000 | 2,589,776 |
| onsemi 3.875% 9/1/28 (d) | | 1,875,000 | 1,863,229 |
| Open Text Corp.: | | | |
| 3.875% 2/15/28 (d) | | 2,815,000 | 2,758,644 |
| 3.875% 12/1/29 (d) | | 4,370,000 | 4,196,861 |
| Rackspace Hosting, Inc.: | | | |
| 3.5% 2/15/28 (d) | | 3,210,000 | 2,995,604 |
| 5.375% 12/1/28 (d) | | 21,145,000 | 19,717,713 |
| Roblox Corp. 3.875% 5/1/30 (d) | | 4,200,000 | 4,063,500 |
| Sensata Technologies BV 4% 4/15/29 (d) | | 1,740,000 | 1,709,933 |
| TTM Technologies, Inc. 4% 3/1/29 (d) | | 7,385,000 | 7,057,328 |
| Twilio, Inc. 3.875% 3/15/31 | | 1,270,000 | 1,216,025 |
| | | | 94,431,158 |
| Telecommunications - 10.9% | | | |
| Altice Financing SA: | | | |
| 5% 1/15/28 (d) | | 6,530,000 | 6,074,728 |
| 5.75% 8/15/29 (d) | | 15,000,000 | 14,013,225 |
| Altice France Holding SA 6% 2/15/28 (d) | | 7,170,000 | 6,542,625 |
| Altice France SA: | | | |
| 5.125% 1/15/29 (d) | | 7,210,000 | 6,705,300 |
| 5.125% 7/15/29 (d) | | 6,050,000 | 5,601,695 |
| 5.5% 1/15/28 (d) | | 8,350,000 | 7,965,065 |
| 5.5% 10/15/29 (d) | | 6,400,000 | 6,065,216 |
| C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d) | | 22,054,000 | 22,908,593 |
| Cablevision Lightpath LLC: | | | |
| 3.875% 9/15/27 (d) | | 765,000 | 717,310 |
| 5.625% 9/15/28 (d) | | 605,000 | 577,466 |
| Consolidated Communications, Inc. 5% 10/1/28 (d) | | 930,000 | 901,124 |
| Frontier Communications Holdings LLC: | | | |
| 5% 5/1/28 (d) | | 7,905,000 | 7,825,950 |
| 5.875% 10/15/27 (d) | | 3,130,000 | 3,222,961 |
| 5.875% 11/1/29 | | 3,685,000 | 3,547,955 |
| 6% 1/15/30 (d) | | 2,115,000 | 2,041,398 |
| 6.75% 5/1/29 (d) | | 3,940,000 | 3,949,850 |
| Intelsat Jackson Holdings SA 6.5% 1/27/30 (c)(d) | | 3,350,000 | 3,350,000 |
| Level 3 Financing, Inc.: | | | |
| 3.625% 1/15/29 (d) | | 565,000 | 514,150 |
| 4.25% 7/1/28 (d) | | 6,130,000 | 5,848,330 |
| Lumen Technologies, Inc.: | | | |
| 4.5% 1/15/29 (d) | | 8,430,000 | 7,725,083 |
| 5.125% 12/15/26 (d) | | 7,605,000 | 7,656,030 |
| 6.875% 1/15/28 | | 260,000 | 278,200 |
| Millicom International Cellular SA 4.5% 4/27/31 (d) | | 2,550,000 | 2,471,524 |
| Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 6% 2/15/28 (d) | | 560,000 | 526,568 |
| Sable International Finance Ltd. 5.75% 9/7/27 (d) | | 748,000 | 762,960 |
| SBA Communications Corp. 3.125% 2/1/29 | | 1,630,000 | 1,519,079 |
| Sprint Capital Corp.: | | | |
| 6.875% 11/15/28 | | 3,535,000 | 4,204,883 |
| 8.75% 3/15/32 | | 7,100,000 | 9,886,750 |
| Telecom Italia Capital SA: | | | |
| 6% 9/30/34 | | 3,032,000 | 2,986,520 |
| 7.2% 7/18/36 | | 1,449,000 | 1,535,940 |
| 7.721% 6/4/38 | | 400,000 | 433,820 |
| Uniti Group, Inc.: | | | |
| 6% 1/15/30 (d) | | 7,010,000 | 6,414,150 |
| 7.875% 2/15/25 (d) | | 2,770,000 | 2,884,955 |
| Virgin Media Secured Finance PLC 4.5% 8/15/30 (d) | | 3,280,000 | 3,116,033 |
| VMED O2 UK Financing I PLC 4.25% 1/31/31 (d) | | 3,745,000 | 3,473,488 |
| Windstream Escrow LLC 7.75% 8/15/28 (d) | | 9,420,000 | 9,499,599 |
| Zayo Group Holdings, Inc.: | | | |
| 4% 3/1/27 (d) | | 2,600,000 | 2,454,946 |
| 6.125% 3/1/28 (d) | | 1,755,000 | 1,655,667 |
| | | | 177,859,136 |
| Textiles/Apparel - 0.4% | | | |
| Foot Locker, Inc. 4% 10/1/29 (d) | | 5,860,000 | 5,650,681 |
| Kontoor Brands, Inc. 4.125% 11/15/29 (d) | | 580,000 | 556,075 |
| | | | 6,206,756 |
| Transportation Ex Air/Rail - 0.4% | | | |
| Great Lakes Dredge & Dock Corp. 5.25% 6/1/29 (d) | | 1,020,000 | 1,042,950 |
| Seaspan Corp. 5.5% 8/1/29 (d) | | 5,595,000 | 5,533,343 |
| | | | 6,576,293 |
| Utilities - 3.4% | | | |
| Clearway Energy Operating LLC 3.75% 2/15/31 (d) | | 1,750,000 | 1,647,573 |
| DCP Midstream Operating LP 5.125% 5/15/29 | | 614,000 | 650,840 |
| Global Partners LP/GLP Finance Corp. 7% 8/1/27 | | 4,632,000 | 4,782,540 |
| InterGen NV 7% 6/30/23 (d) | | 10,532,000 | 10,321,360 |
| NRG Energy, Inc.: | | | |
| 3.375% 2/15/29 (d) | | 2,610,000 | 2,411,027 |
| 3.625% 2/15/31 (d) | | 1,390,000 | 1,289,225 |
| 5.25% 6/15/29 (d) | | 3,365,000 | 3,462,585 |
| NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (d) | | 1,792,124 | 1,899,652 |
| PG&E Corp.: | | | |
| 5% 7/1/28 | | 4,670,000 | 4,670,000 |
| 5.25% 7/1/30 | | 7,980,000 | 7,911,611 |
| Pike Corp. 5.5% 9/1/28 (d) | | 10,577,000 | 10,339,018 |
| Vistra Operations Co. LLC: | | | |
| 5% 7/31/27 (d) | | 3,349,000 | 3,375,457 |
| 5.625% 2/15/27 (d) | | 2,465,000 | 2,514,374 |
| | | | 55,275,262 |
TOTAL NONCONVERTIBLE BONDS | | | 1,439,326,008 |
| TOTAL CORPORATE BONDS (Cost $1,495,594,553) | | | 1,458,220,417 |
| | | | |
| Bank Loan Obligations - 4.1% |
| | | Principal Amount (a) | Value ($) |
| Broadcasting - 0.1% | | | |
| Diamond Sports Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.36% 8/24/26 (h)(i)(j) | | 4,496,997 | 1,823,173 |
| Building Materials - 0.1% | | | |
| Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.75% 5/17/28 (h)(i)(j) | | 2,159,574 | 2,145,688 |
| Chemicals - 0.3% | | | |
| Consolidated Energy Finance SA Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4% 5/7/25 (c)(h)(i)(j) | | 2,754,425 | 2,706,223 |
| Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 11/9/28 (h)(i)(j) | | 2,545,000 | 2,540,241 |
TOTAL CHEMICALS | | | 5,246,464 |
| Consumer Products - 0.1% | | | |
| Michaels Companies, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 5% 4/15/28 (h)(i)(j) | | 1,640,877 | 1,616,264 |
| Energy - 0.3% | | | |
| EG America LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.2238% 2/6/25 (h)(i)(j) | | 2,394,935 | 2,386,505 |
| EG Finco Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 4.2238% 2/6/25 (h)(i)(j) | | 1,607,474 | 1,601,816 |
| Mesquite Energy, Inc.: | | | |
| 1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (c)(e)(i)(j)(k) | | 2,735,146 | 0 |
| term loan 3 month U.S. LIBOR + 0.000% 0% (c)(e)(i)(j)(k) | | 1,217,000 | 0 |
TOTAL ENERGY | | | 3,988,321 |
| Gaming - 0.6% | | | |
| Golden Nugget LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.25% 10/4/23 (h)(i)(j) | | 9,325,276 | 9,350,548 |
| Healthcare - 0.6% | | | |
| Da Vinci Purchaser Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5% 12/13/26 (h)(i)(j) | | 129,671 | 129,671 |
| Gainwell Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 10/1/27 (h)(i)(j) | | 6,932,481 | 6,934,630 |
| U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.1043% 6/13/26 (h)(i)(j) | | 2,153,578 | 2,123,622 |
TOTAL HEALTHCARE | | | 9,187,923 |
| Insurance - 0.3% | | | |
| HUB International Ltd. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.017% 4/25/25 (h)(i)(j) | | 4,422,104 | 4,370,056 |
| Leisure - 0.3% | | | |
| City Football Group Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 7/21/28 (h)(i)(j) | | 5,135,000 | 5,109,325 |
| Services - 0.3% | | | |
| ABG Intermediate Holdings 2 LLC: | | | |
| Tranche B 2LN, term loan 3 month U.S. LIBOR + 6.000% 6.5% 12/20/29 (h)(i)(j) | | 130,000 | 131,300 |
| Tranche B1 LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 12/21/28 (i)(j)(k) | | 72,836 | 72,609 |
| Tranche B2 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 1/31/29 (i)(j)(k) | | 464,328 | 462,880 |
| Tranche B3 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 12/21/28 (i)(j)(k) | | 72,836 | 72,609 |
| Allied Universal Holdco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 5/14/28 (h)(i)(j) | | 1,401,488 | 1,397,045 |
| Ascend Learning LLC: | | | |
| 2LN, term loan 1 month U.S. LIBOR + 5.750% 6.25% 12/10/29 (h)(i)(j) | | 225,000 | 226,055 |
| Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 12/10/28 (h)(i)(j) | | 2,270,000 | 2,267,163 |
| CoreCivic, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/18/24 (h)(i)(j) | | 251,624 | 250,472 |
TOTAL SERVICES | | | 4,880,133 |
| Technology - 0.2% | | | |
| Acuris Finance U.S., Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.5% 2/16/28 (h)(i)(j) | | 1,005,469 | 1,004,966 |
| CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.355% 4/4/26 (h)(i)(j) | | 1,625,842 | 1,596,040 |
| Rackspace Technology Global, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.5% 2/15/28 (h)(i)(j) | | 1,343,233 | 1,329,237 |
TOTAL TECHNOLOGY | | | 3,930,243 |
| Telecommunications - 0.8% | | | |
| GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 7% 5/31/25 (h)(i)(j) | | 6,203,519 | 5,322,620 |
| Intelsat Jackson Holdings SA Tranche DD 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.3917% 7/13/22 (i)(j)(l) | | 4,993,729 | 4,993,729 |
| Northwest Fiber LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.863% 4/30/27 (h)(i)(j) | | 2,471,325 | 2,459,586 |
TOTAL TELECOMMUNICATIONS | | | 12,775,935 |
| Utilities - 0.1% | | | |
| PG&E Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.5% 6/23/25 (h)(i)(j) | | 1,640,835 | 1,608,019 |
| TOTAL BANK LOAN OBLIGATIONS (Cost $69,006,436) | | | 66,032,092 |
| | | | |
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Fund changes its name, the name presented below is the name in effect at period end.
Amounts in the 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. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 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)
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Securities, including private placements or other restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach, the income approach and cost approach, and are categorized as Level 3 in the hierarchy. The market approach considers factors including the price of recent investments in the same or a similar security or financial metrics of comparable securities. The income approach considers factors including expected future cash flows, security specific risks and corresponding discount rates. The cost approach considers factors including the value of the security's underlying assets and liabilities.
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.
Exchange-Traded Funds (ETFs) and Exchange-Traded Notes (ETNs) are valued at their last 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 but the exchange reports a closing bid level, ETFs and ETNs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs and ETNs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 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.
Fidelity Direct Lending Fund, LP is valued using NAV as a practical expedient in accordance with the specialized accounting guidance for investment companies and is categorized as Level 3 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.
