Quarterly Holdings Report
for
Fidelity® Capital & Income Fund
July 31, 2023
CAI-NPRT1-0923
1.804853.119
| Corporate Bonds - 65.0% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
| Convertible Bonds - 0.3% | |||
| Broadcasting - 0.2% | |||
| DISH Network Corp. 3.375% 8/15/26 | 48,235 | 26,746 | |
| Diversified Financial Services - 0.1% | |||
| New Cotai LLC 5% 2/24/27 (b) | 4,134 | 8,579 | |
TOTAL CONVERTIBLE BONDS | 35,325 | ||
| Nonconvertible Bonds - 64.7% | |||
| Aerospace - 3.7% | |||
| ATI, Inc.: | |||
| 4.875% 10/1/29 | 6,080 | 5,533 | |
| 5.125% 10/1/31 | 5,395 | 4,842 | |
| Bombardier, Inc.: | |||
| 6% 2/15/28 (c) | 6,075 | 5,712 | |
| 7.125% 6/15/26 (c) | 12,110 | 11,965 | |
| 7.875% 4/15/27 (c) | 26,370 | 26,283 | |
| Kaiser Aluminum Corp. 4.625% 3/1/28 (c) | 11,215 | 10,066 | |
| Moog, Inc. 4.25% 12/15/27 (c) | 3,455 | 3,202 | |
| Rolls-Royce PLC 5.75% 10/15/27 (c) | 10,870 | 10,715 | |
| Spirit Aerosystems, Inc. 7.5% 4/15/25 (c) | 10,420 | 10,415 | |
| TransDigm UK Holdings PLC 6.875% 5/15/26 | 35,725 | 35,551 | |
| TransDigm, Inc.: | |||
| 4.625% 1/15/29 | 38,080 | 33,986 | |
| 4.875% 5/1/29 | 25,000 | 22,495 | |
| 5.5% 11/15/27 | 124,228 | 117,706 | |
| 6.25% 3/15/26 (c) | 17,925 | 17,828 | |
| 6.375% 6/15/26 | 61,985 | 61,351 | |
| 6.75% 8/15/28 (c) | 27,225 | 27,306 | |
| 7.5% 3/15/27 | 18,012 | 18,005 | |
| Triumph Group, Inc. 9% 3/15/28 (c) | 8,905 | 9,147 | |
| VistaJet Malta Finance PLC / XO Management Holding, Inc. 9.5% 6/1/28 (c) | 8,905 | 8,505 | |
| 440,613 | |||
| Air Transportation - 2.0% | |||
| Air Canada 3.875% 8/15/26 (c) | 9,105 | 8,449 | |
| Allegiant Travel Co. 7.25% 8/15/27 (c) | 8,870 | 8,751 | |
| American Airlines, Inc.: | |||
| 7.25% 2/15/28 (c) | 19,595 | 19,454 | |
| 11.75% 7/15/25 (c) | 13,090 | 14,427 | |
| American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.75% 4/20/29 (c) | 23,820 | 23,061 | |
| Delta Air Lines, Inc. 7% 5/1/25 (c) | 2,708 | 2,771 | |
| Delta Air Lines, Inc. / SkyMiles IP Ltd.: | |||
| 4.5% 10/20/25 (c) | 2,815 | 2,759 | |
| 4.75% 10/20/28 (c) | 39,880 | 38,574 | |
| Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. 5.75% 1/20/26 (c) | 22,205 | 20,960 | |
| Mileage Plus Holdings LLC 6.5% 6/20/27 (c) | 27,624 | 27,622 | |
| Rand Parent LLC 8.5% 2/15/30 (c) | 14,880 | 13,992 | |
| Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd.: | |||
| 8% 9/20/25 (c) | 2,960 | 2,986 | |
| 8% 9/20/25 (c) | 7,779 | 7,847 | |
| United Airlines, Inc.: | |||
| 4.375% 4/15/26 (c) | 30,025 | 28,429 | |
| 4.625% 4/15/29 (c) | 18,025 | 16,307 | |
| 236,389 | |||
| Automotive & Auto Parts - 2.1% | |||
| Adient Global Holdings Ltd. 7% 4/15/28 (c) | 5,935 | 5,978 | |
| Allison Transmission, Inc. 5.875% 6/1/29 (c) | 7,960 | 7,701 | |
| Arko Corp. 5.125% 11/15/29 (c) | 9,105 | 7,569 | |
| Clarios Global LP / Clarios U.S. Finance Co. 6.75% 5/15/28 (c) | 11,885 | 11,938 | |
| Dana, Inc.: | |||
| 4.25% 9/1/30 | 8,870 | 7,580 | |
| 4.5% 2/15/32 | 9,135 | 7,615 | |
| Exide Technologies: | |||
| 11% pay-in-kind (b)(c)(d)(e) | 1,760 | 0 | |
| 11% pay-in-kind (b)(c)(d)(e) | 891 | 0 | |
| Ford Motor Co. 3.25% 2/12/32 | 27,810 | 21,976 | |
| Ford Motor Credit Co. LLC: | |||
| 3.375% 11/13/25 | 19,245 | 17,994 | |
| 4% 11/13/30 | 42,253 | 36,297 | |
| 5.113% 5/3/29 | 10,330 | 9,646 | |
| 6.8% 5/12/28 | 11,000 | 11,102 | |
| 6.95% 6/10/26 | 11,920 | 12,015 | |
| 7.35% 11/4/27 | 23,710 | 24,297 | |
| LCM Investments Holdings 8.25% 8/1/31 (c) | 7,185 | 7,302 | |
| McLaren Finance PLC 7.5% 8/1/26 (c) | 8,290 | 7,381 | |
| Nesco Holdings II, Inc. 5.5% 4/15/29 (c) | 14,525 | 13,210 | |
| PECF USS Intermediate Holding III Corp. 8% 11/15/29 (c) | 5,530 | 3,055 | |
| Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 10.9311% 10/15/26 (c)(e)(f) | 30,350 | 30,492 | |
| 243,148 | |||
| Banks & Thrifts - 1.8% | |||
| Ally Financial, Inc.: | |||
| 8% 11/1/31 | 20,638 | 21,584 | |
| 8% 11/1/31 | 151,039 | 160,263 | |
| CQP Holdco LP / BIP-V Chinook Holdco LLC 5.5% 6/15/31 (c) | 27,225 | 24,762 | |
| Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (c) | 8,740 | 7,668 | |
| 214,277 | |||
| Broadcasting - 1.2% | |||
| DISH Network Corp. 11.75% 11/15/27 (c) | 41,575 | 41,848 | |
| Gray Escrow II, Inc. 5.375% 11/15/31 (c) | 5,445 | 3,799 | |
| Nexstar Media, Inc.: | |||
| 4.75% 11/1/28 (c) | 13,320 | 11,739 | |
| 5.625% 7/15/27 (c) | 12,730 | 11,968 | |
| Scripps Escrow II, Inc. 3.875% 1/15/29 (c) | 2,820 | 2,345 | |
| Sirius XM Radio, Inc.: | |||
| 3.875% 9/1/31 (c) | 12,130 | 9,497 | |
| 4% 7/15/28 (c) | 10,140 | 8,823 | |
| 5% 8/1/27 (c) | 8,280 | 7,693 | |
| Townsquare Media, Inc. 6.875% 2/1/26 (c) | 5,645 | 5,440 | |
| Univision Communications, Inc.: | |||
| 4.5% 5/1/29 (c) | 12,060 | 10,435 | |
| 7.375% 6/30/30 (c) | 31,950 | 31,097 | |
| 144,684 | |||
| Building Materials - 0.4% | |||
| Advanced Drain Systems, Inc.: | |||
| 5% 9/30/27 (c) | 2,325 | 2,220 | |
| 6.375% 6/15/30 (c) | 6,050 | 5,989 | |
| Brundage-Bone Concrete Pumping Holdings, Inc. 6% 2/1/26 (c) | 6,555 | 6,296 | |
| CP Atlas Buyer, Inc. 7% 12/1/28 (c) | 5,480 | 4,522 | |
| James Hardie International Finance Ltd. 5% 1/15/28 (c) | 4,136 | 3,930 | |
| MIWD Holdco II LLC / MIWD Finance Corp. 5.5% 2/1/30 (c) | 4,125 | 3,486 | |
| SRS Distribution, Inc.: | |||
| 4.625% 7/1/28 (c) | 11,605 | 10,507 | |
| 6.125% 7/1/29 (c) | 4,870 | 4,273 | |
| Summit Materials LLC/Summit Materials Finance Corp. 5.25% 1/15/29 (c) | 10,525 | 9,929 | |
| 51,152 | |||
| Cable/Satellite TV - 3.7% | |||
| Block Communications, Inc. 4.875% 3/1/28 (c) | 7,830 | 6,555 | |
| CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
| 4.25% 2/1/31 (c) | 16,515 | 13,577 | |
| 4.5% 8/15/30 (c) | 21,660 | 18,352 | |
| 4.5% 5/1/32 | 46,575 | 37,976 | |
| 4.75% 3/1/30 (c) | 63,365 | 54,923 | |
| 4.75% 2/1/32 (c) | 26,255 | 21,676 | |
| 5% 2/1/28 (c) | 62,550 | 57,804 | |
| 5.125% 5/1/27 (c) | 32,980 | 30,942 | |
| 5.375% 6/1/29 (c) | 18,080 | 16,522 | |
| 6.375% 9/1/29 (c) | 11,825 | 11,307 | |
| CSC Holdings LLC: | |||
| 3.375% 2/15/31 (c) | 14,140 | 9,795 | |
| 4.5% 11/15/31 (c) | 25,210 | 18,085 | |
| 5.375% 2/1/28 (c) | 28,895 | 24,129 | |
| 6.5% 2/1/29 (c) | 42,885 | 36,423 | |
| DISH DBS Corp. 5.75% 12/1/28 (c) | 15,220 | 11,712 | |
| Dolya Holdco 18 DAC 5% 7/15/28 (c) | 6,600 | 5,808 | |
| Radiate Holdco LLC/Radiate Financial Service Ltd. 4.5% 9/15/26 (c) | 17,280 | 14,042 | |
| VZ Secured Financing BV 5% 1/15/32 (c) | 24,310 | 19,757 | |
| Ziggo Bond Co. BV: | |||
| 5.125% 2/28/30 (c) | 6,000 | 4,740 | |
| 6% 1/15/27 (c) | 11,435 | 10,638 | |
| Ziggo BV 4.875% 1/15/30 (c) | 7,990 | 6,766 | |
| 431,529 | |||
| Capital Goods - 0.2% | |||
| ATS Corp. 4.125% 12/15/28 (c) | 7,895 | 7,062 | |
| Chart Industries, Inc. 7.5% 1/1/30 (c) | 15,680 | 16,070 | |
| 23,132 | |||
| Chemicals - 1.9% | |||
| Compass Minerals International, Inc. 6.75% 12/1/27 (c) | 24,600 | 23,965 | |
| Gpd Companies, Inc. 10.125% 4/1/26 (c) | 14,980 | 13,916 | |
| Ingevity Corp. 3.875% 11/1/28 (c) | 11,105 | 9,585 | |
| LSB Industries, Inc. 6.25% 10/15/28 (c) | 21,105 | 19,374 | |
| Olympus Water U.S. Holding Corp.: | |||
| 4.25% 10/1/28 (c) | 15,305 | 12,266 | |
| 7.125% 10/1/27 (c) | 7,080 | 6,446 | |
| 9.75% 11/15/28 (c) | 22,550 | 21,817 | |
| SCIH Salt Holdings, Inc. 4.875% 5/1/28 (c) | 7,820 | 6,997 | |
| SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (c) | 14,015 | 12,875 | |
| The Chemours Co. LLC: | |||
| 4.625% 11/15/29 (c) | 3,565 | 3,009 | |
| 5.375% 5/15/27 | 32,330 | 30,767 | |
| 5.75% 11/15/28 (c) | 17,955 | 16,474 | |
| Tronox, Inc. 4.625% 3/15/29 (c) | 13,295 | 11,021 | |
| W.R. Grace Holding LLC: | |||
| 5.625% 8/15/29 (c) | 28,310 | 23,891 | |
| 7.375% 3/1/31 (c) | 5,940 | 5,916 | |
| 218,319 | |||
| Consumer Products - 1.1% | |||
| Angi Group LLC 3.875% 8/15/28 (c) | 5,530 | 4,644 | |
| Foundation Building Materials, Inc. 6% 3/1/29 (c) | 5,845 | 5,062 | |
| Gannett Holdings LLC 6% 11/1/26 (c) | 8,785 | 7,562 | |
| HFC Prestige Products, Inc./HFC Prestige International U.S. LLC 4.75% 1/15/29 (c) | 8,760 | 8,124 | |
| Millennium Escrow Corp. 6.625% 8/1/26 (c) | 12,120 | 9,031 | |
| PetSmart, Inc. / PetSmart Finance Corp.: | |||
| 4.75% 2/15/28 (c) | 16,195 | 14,850 | |
| 7.75% 2/15/29 (c) | 17,680 | 17,246 | |
| Spectrum Brands Holdings, Inc. 3.875% 3/15/31 (c) | 8,380 | 6,911 | |
| Tempur Sealy International, Inc.: | |||
| 3.875% 10/15/31 (c) | 15,965 | 12,922 | |
| 4% 4/15/29 (c) | 15,925 | 13,804 | |
| The Scotts Miracle-Gro Co. 4% 4/1/31 | 11,945 | 9,702 | |
| TKC Holdings, Inc. 6.875% 5/15/28 (c) | 13,375 | 11,774 | |
| Windsor Holdings III, LLC 8.5% 6/15/30 (c) | 5,960 | 5,990 | |
| 127,622 | |||
| Containers - 0.7% | |||
| BWAY Holding Co. 7.875% 8/15/26 (c) | 11,865 | 11,833 | |
| Crown Cork & Seal, Inc.: | |||
| 7.375% 12/15/26 | 4,845 | 5,063 | |
| 7.5% 12/15/96 | 12,871 | 15,831 | |
| Graham Packaging Co., Inc. 7.125% 8/15/28 (c) | 6,000 | 5,253 | |
| Graphic Packaging International, Inc. 3.75% 2/1/30 (c) | 7,880 | 6,823 | |
| Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (c) | 4,230 | 3,743 | |
| LABL, Inc. 5.875% 11/1/28 (c) | 14,730 | 13,436 | |
| Sealed Air Corp./Sealed Air Cor 6.125% 2/1/28 (c) | 5,935 | 5,908 | |
| Trident Holdings, Inc. 12.75% 12/31/28 (c) | 5,870 | 6,216 | |
| Trivium Packaging Finance BV 5.5% 8/15/26 (c) | 6,930 | 6,606 | |
| 80,712 | |||
| Diversified Financial Services - 2.2% | |||
| Broadstreet Partners, Inc. 5.875% 4/15/29 (c) | 15,505 | 13,846 | |
| Cargo Aircraft Management, Inc. 4.75% 2/1/28 (c) | 6,915 | 6,137 | |
| Coinbase Global, Inc.: | |||
| 3.375% 10/1/28 (c) | 29,675 | 20,774 | |
| 3.625% 10/1/31 (c) | 18,050 | 11,390 | |
| Compass Group Diversified Holdings LLC: | |||
| 5% 1/15/32 (c) | 6,090 | 5,000 | |
| 5.25% 4/15/29 (c) | 17,730 | 16,141 | |
| Hightower Holding LLC 6.75% 4/15/29 (c) | 5,945 | 5,202 | |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
| 4.375% 2/1/29 | 11,165 | 9,056 | |
| 5.25% 5/15/27 | 38,210 | 33,625 | |
| 6.25% 5/15/26 | 24,085 | 22,582 | |
| 6.375% 12/15/25 | 8,305 | 7,948 | |
| LPL Holdings, Inc. 4% 3/15/29 (c) | 17,730 | 15,893 | |
| MSCI, Inc. 4% 11/15/29 (c) | 3,245 | 2,953 | |
| OneMain Finance Corp.: | |||
| 4% 9/15/30 | 5,610 | 4,407 | |
| 5.375% 11/15/29 | 9,400 | 8,144 | |
| 6.625% 1/15/28 | 7,305 | 6,926 | |
| 6.875% 3/15/25 | 19,480 | 19,415 | |
| 7.125% 3/15/26 | 50,145 | 49,663 | |
| Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. 4.625% 11/1/26 (c) | 3,750 | 3,543 | |
| 262,645 | |||
| Diversified Media - 0.1% | |||
| Cmg Media Corp. 8.875% 12/15/27 (c) | 8,315 | 6,490 | |
| Energy - 7.9% | |||
| Altus Midstream LP 5.875% 6/15/30 (c) | 9,060 | 8,709 | |
| Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||
| 5.375% 6/15/29 (c) | 9,060 | 8,493 | |
| 5.75% 1/15/28 (c) | 17,645 | 16,967 | |
| Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (c) | 7,820 | 7,080 | |
| Centennial Resource Production LLC 5.875% 7/1/29 (c) | 8,645 | 8,213 | |
| CGG SA 8.75% 4/1/27 (c) | 11,985 | 10,130 | |
| Cheniere Energy Partners LP: | |||
| 3.25% 1/31/32 | 9,110 | 7,581 | |
| 4% 3/1/31 | 31,040 | 27,622 | |
| Chesapeake Energy Corp.: | |||
| 5.875% 2/1/29 (c) | 5,840 | 5,585 | |
| 6.75% 4/15/29 (c) | 8,995 | 8,955 | |
| 7% (b)(d) | 6,915 | 0 | |
| 8% (b)(d) | 2,132 | 0 | |
| 8% (b)(d) | 3,385 | 0 | |
| Citgo Holding, Inc. 9.25% 8/1/24 (c) | 27,185 | 27,185 | |
| Citgo Petroleum Corp.: | |||
| 6.375% 6/15/26 (c) | 8,760 | 8,497 | |
| 7% 6/15/25 (c) | 22,045 | 21,780 | |
| CNX Midstream Partners LP 4.75% 4/15/30 (c) | 6,435 | 5,578 | |
| CNX Resources Corp.: | |||
| 6% 1/15/29 (c) | 5,345 | 4,999 | |
| 7.375% 1/15/31 (c) | 5,930 | 5,880 | |
| Comstock Resources, Inc.: | |||
| 5.875% 1/15/30 (c) | 32,085 | 28,401 | |
| 6.75% 3/1/29 (c) | 20,060 | 18,711 | |
| Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
| 5.625% 5/1/27 (c) | 18,015 | 17,114 | |
| 5.75% 4/1/25 | 4,790 | 4,718 | |
| 6% 2/1/29 (c) | 25,785 | 24,302 | |
| 7.375% 2/1/31 (c) | 5,000 | 4,987 | |
| CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (c) | 5,055 | 4,753 | |
| CVR Energy, Inc.: | |||
| 5.25% 2/15/25 (c) | 16,990 | 16,500 | |
| 5.75% 2/15/28 (c) | 22,655 | 20,446 | |
| Delek Logistics Partners LP 7.125% 6/1/28 (c) | 17,655 | 16,331 | |
| DT Midstream, Inc.: | |||
| 4.125% 6/15/29 (c) | 9,070 | 8,042 | |
| 4.375% 6/15/31 (c) | 9,070 | 7,874 | |
| Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (c) | 21,251 | 20,692 | |
| Energy Transfer LP 5.5% 6/1/27 | 16,735 | 16,232 | |
| EnLink Midstream LLC 6.5% 9/1/30 (c) | 17,745 | 17,861 | |
| Hess Midstream Partners LP: | |||
| 4.25% 2/15/30 (c) | 9,875 | 8,665 | |
| 5.125% 6/15/28 (c) | 11,235 | 10,621 | |
| 5.5% 10/15/30 (c) | 6,060 | 5,696 | |
| 5.625% 2/15/26 (c) | 15,535 | 15,302 | |
| Hilcorp Energy I LP/Hilcorp Finance Co. 6.25% 11/1/28 (c) | 12,280 | 11,755 | |
| Holly Energy Partners LP/Holly Energy Finance Corp.: | |||
| 5% 2/1/28 (c) | 7,615 | 7,123 | |
| 6.375% 4/15/27 (c) | 6,050 | 6,026 | |
| Howard Midstream Energy Partners LLC 8.875% 7/15/28 (c) | 14,895 | 15,232 | |
| Jonah Energy Parent LLC 12% 11/5/25 (b)(g) | 6,742 | 6,844 | |
| MEG Energy Corp. 7.125% 2/1/27 (c) | 11,335 | 11,490 | |
| Mesquite Energy, Inc. 7.25% (b)(c)(d) | 21,977 | 0 | |
| Nabors Industries Ltd.: | |||
| 7.25% 1/15/26 (c) | 11,260 | 10,841 | |
| 7.5% 1/15/28 (c) | 9,715 | 8,911 | |
| New Fortress Energy, Inc.: | |||
| 6.5% 9/30/26 (c) | 23,915 | 21,943 | |
| 6.75% 9/15/25 (c) | 15,106 | 14,386 | |
| NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (c) | 11,090 | 10,989 | |
| Noble Finance II LLC 8% 4/15/30 (c) | 5,935 | 6,106 | |
| Northern Oil & Gas, Inc. 8.75% 6/15/31 (c) | 5,945 | 5,990 | |
| NuStar Logistics LP 6% 6/1/26 | 12,025 | 11,835 | |
| Occidental Petroleum Corp.: | |||
| 3.5% 8/15/29 | 10,085 | 8,714 | |
| 7.2% 3/15/29 | 3,964 | 4,149 | |
| PBF Holding Co. LLC/PBF Finance Corp.: | |||
| 6% 2/15/28 | 27,530 | 25,995 | |
| 7.25% 6/15/25 | 22,875 | 22,818 | |
| PDC Energy, Inc. 6.125% 9/15/24 | 1,777 | 1,773 | |
| Seadrill Finance Ltd. 8.375% 8/1/30 (c) | 11,920 | 12,129 | |
| SM Energy Co.: | |||
| 5.625% 6/1/25 | 6,330 | 6,203 | |
| 6.625% 1/15/27 | 21,320 | 20,969 | |
| 6.75% 9/15/26 | 4,550 | 4,470 | |
| Southern Natural Gas Co. LLC: | |||
| 7.35% 2/15/31 | 23,497 | 25,178 | |
| 8% 3/1/32 | 12,475 | 14,324 | |
| Southwestern Energy Co.: | |||
| 5.375% 3/15/30 | 12,145 | 11,363 | |
| 5.7% 1/23/25 (h) | 244 | 242 | |
| Suburban Propane Partners LP/Suburban Energy Finance Corp. 5% 6/1/31 (c) | 12,070 | 10,301 | |
| Summit Midstream Holdings LLC: | |||
| 5.75% 4/15/25 | 5,390 | 4,864 | |
| 9% 10/15/26 (c) | 9,110 | 8,950 | |
| Sunoco LP/Sunoco Finance Corp.: | |||
| 4.5% 5/15/29 | 10,170 | 9,132 | |
| 4.5% 4/30/30 | 12,185 | 10,803 | |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
| 5.5% 1/15/28 (c) | 595 | 547 | |
| 6% 3/1/27 (c) | 5,935 | 5,624 | |
| 6% 9/1/31 (c) | 11,485 | 9,991 | |
| 7.5% 10/1/25 (c) | 8,350 | 8,365 | |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. 4.875% 2/1/31 | 10,360 | 9,621 | |
| Teine Energy Ltd. 6.875% 4/15/29 (c) | 8,990 | 8,271 | |
| Tennessee Gas Pipeline Co. 7.625% 4/1/37 | 5,445 | 6,170 | |
| Transocean Titan Finance Ltd. 8.375% 2/1/28 (c) | 12,289 | 12,688 | |
| Transocean, Inc.: | |||
| 7.5% 1/15/26 (c) | 2,980 | 2,920 | |
| 8% 2/1/27 (c) | 8,940 | 8,617 | |
| 8.75% 2/15/30 (c) | 23,635 | 24,539 | |
| Unit Corp. 0% 12/1/29 (b) | 2,202 | 0 | |
| Venture Global Calcasieu Pass LLC: | |||
| 3.875% 8/15/29 (c) | 7,585 | 6,568 | |
| 4.125% 8/15/31 (c) | 7,585 | 6,434 | |
| 6.25% 1/15/30 (c) | 23,810 | 23,282 | |
| 935,987 | |||
| Environmental - 0.7% | |||
| Clean Harbors, Inc. 6.375% 2/1/31 (c) | 4,960 | 4,984 | |
| Covanta Holding Corp.: | |||
| 4.875% 12/1/29 (c) | 18,165 | 16,042 | |
| 5% 9/1/30 | 11,060 | 9,567 | |
| Darling Ingredients, Inc. 6% 6/15/30 (c) | 13,885 | 13,676 | |
| GFL Environmental, Inc.: | |||
| 4% 8/1/28 (c) | 9,105 | 8,148 | |
| 4.75% 6/15/29 (c) | 12,095 | 11,033 | |
| Madison IAQ LLC: | |||
| 4.125% 6/30/28 (c) | 11,390 | 10,142 | |
| 5.875% 6/30/29 (c) | 9,085 | 7,620 | |
| 81,212 | |||
| Food & Drug Retail - 1.3% | |||
| Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
| 3.5% 3/15/29 (c) | 36,160 | 31,479 | |
| 4.625% 1/15/27 (c) | 25,300 | 23,976 | |
| 4.875% 2/15/30 (c) | 44,700 | 41,012 | |
| BellRing Brands, Inc. 7% 3/15/30 (c) | 14,740 | 14,796 | |
| Murphy Oil U.S.A., Inc.: | |||
| 3.75% 2/15/31 (c) | 5,300 | 4,498 | |
| 4.75% 9/15/29 | 6,860 | 6,291 | |
| 5.625% 5/1/27 | 6,030 | 5,862 | |
| Parkland Corp.: | |||
| 4.5% 10/1/29 (c) | 8,995 | 7,938 | |
| 4.625% 5/1/30 (c) | 12,175 | 10,684 | |
| SEG Holding LLC/SEG Finance Corp. 5.625% 10/15/28 (c) | 11,130 | 10,513 | |
| 157,049 | |||
| Food/Beverage/Tobacco - 1.5% | |||
| C&S Group Enterprises LLC 5% 12/15/28 (c) | 8,615 | 6,669 | |
| Chobani LLC/Finance Corp., Inc. 4.625% 11/15/28 (c) | 6,285 | 5,719 | |
| KeHE Distributors LLC / KeHE Finance Corp. 8.625% 10/15/26 (c) | 7,777 | 7,777 | |
| Lamb Weston Holdings, Inc.: | |||
| 4.125% 1/31/30 (c) | 12,150 | 10,723 | |
| 4.375% 1/31/32 (c) | 6,075 | 5,335 | |
| Performance Food Group, Inc.: | |||
| 4.25% 8/1/29 (c) | 8,495 | 7,546 | |
| 5.5% 10/15/27 (c) | 8,855 | 8,574 | |
| Pilgrim's Pride Corp. 4.25% 4/15/31 | 21,020 | 18,182 | |
| Post Holdings, Inc.: | |||
| 4.5% 9/15/31 (c) | 47,500 | 40,441 | |
| 4.625% 4/15/30 (c) | 15,630 | 13,774 | |
| 5.5% 12/15/29 (c) | 21,040 | 19,539 | |
| Simmons Foods, Inc. 4.625% 3/1/29 (c) | 8,340 | 6,964 | |
| TreeHouse Foods, Inc. 4% 9/1/28 | 3,695 | 3,227 | |
| Triton Water Holdings, Inc. 6.25% 4/1/29 (c) | 6,360 | 5,374 | |
| U.S. Foods, Inc. 4.625% 6/1/30 (c) | 7,520 | 6,764 | |
| United Natural Foods, Inc. 6.75% 10/15/28 (c) | 7,750 | 6,456 | |
| 173,064 | |||
| Gaming - 3.0% | |||
| Affinity Gaming LLC 6.875% 12/15/27 (c) | 4,295 | 3,800 | |
| Boyd Gaming Corp. 4.75% 6/15/31 (c) | 15,120 | 13,529 | |
| Caesars Entertainment, Inc.: | |||
| 4.625% 10/15/29 (c) | 18,245 | 16,061 | |
| 6.25% 7/1/25 (c) | 41,240 | 41,015 | |
| 7% 2/15/30 (c) | 17,800 | 17,978 | |
| 8.125% 7/1/27 (c) | 54,990 | 56,402 | |
| Caesars Resort Collection LLC 5.75% 7/1/25 (c) | 7,575 | 7,651 | |
| CDI Escrow Issuer, Inc. 5.75% 4/1/30 (c) | 14,970 | 13,903 | |
| Churchill Downs, Inc. 6.75% 5/1/31 (c) | 11,880 | 11,612 | |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.: | |||
| 4.625% 1/15/29 (c) | 25,865 | 22,566 | |
| 6.75% 1/15/30 (c) | 34,295 | 29,425 | |
| Jacobs Entertainment, Inc. 6.75% 2/15/29 (c) | 8,585 | 7,819 | |
| Melco Resorts Finance Ltd.: | |||
| 5.25% 4/26/26 (c) | 8,910 | 8,353 | |
| 5.75% 7/21/28 (c) | 4,420 | 3,934 | |
| MGM Resorts International 4.75% 10/15/28 | 11,125 | 10,270 | |
| Ontario Gaming GTA LP 8% 8/1/30 (c)(i) | 6,280 | 6,343 | |
| Premier Entertainment Sub LLC: | |||
| 5.625% 9/1/29 (c) | 27,640 | 20,937 | |
| 5.875% 9/1/31 (c) | 11,145 | 8,227 | |
| Station Casinos LLC 4.625% 12/1/31 (c) | 9,135 | 7,719 | |
| Studio City Finance Ltd. 5% 1/15/29 (c) | 5,700 | 4,353 | |
| VICI Properties LP / VICI Note Co.: | |||
| 3.875% 2/15/29 (c) | 11,195 | 9,925 | |
| 4.25% 12/1/26 (c) | 21,450 | 20,205 | |
| 4.625% 12/1/29 (c) | 12,240 | 11,185 | |
| 353,212 | |||
| Healthcare - 4.4% | |||
| 180 Medical, Inc. 3.875% 10/15/29 (c) | 6,495 | 5,687 | |
| Avantor Funding, Inc. 3.875% 11/1/29 (c) | 6,075 | 5,316 | |
| Cano Health, Inc. 6.25% 10/1/28 (c) | 4,050 | 2,511 | |
| Centene Corp. 4.25% 12/15/27 | 11,560 | 10,889 | |
| Charles River Laboratories International, Inc.: | |||
| 3.75% 3/15/29 (c) | 10,515 | 9,278 | |
| 4% 3/15/31 (c) | 12,085 | 10,535 | |
| 4.25% 5/1/28 (c) | 3,400 | 3,141 | |
| Community Health Systems, Inc.: | |||
| 4.75% 2/15/31 (c) | 21,790 | 16,508 | |
| 5.25% 5/15/30 (c) | 18,245 | 14,578 | |
| 5.625% 3/15/27 (c) | 7,180 | 6,389 | |
| 6% 1/15/29 (c) | 8,490 | 7,259 | |
| 6.125% 4/1/30 (c) | 21,795 | 13,738 | |
| 8% 3/15/26 (c) | 61,410 | 60,304 | |
| DaVita HealthCare Partners, Inc.: | |||
| 3.75% 2/15/31 (c) | 4,180 | 3,342 | |
| 4.625% 6/1/30 (c) | 31,515 | 26,892 | |
| Grifols SA 4.75% 10/15/28 (c) | 6,075 | 5,328 | |
| HealthEquity, Inc. 4.5% 10/1/29 (c) | 6,410 | 5,742 | |
| Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (c) | 12,050 | 12,171 | |
| IQVIA, Inc. 5% 5/15/27 (c) | 12,070 | 11,639 | |
| Jazz Securities DAC 4.375% 1/15/29 (c) | 12,305 | 10,941 | |
| ModivCare Escrow Issuer, Inc. 5% 10/1/29 (c) | 7,010 | 5,017 | |
| Modivcare, Inc. 5.875% 11/15/25 (c) | 8,105 | 7,517 | |
| Molina Healthcare, Inc.: | |||
| 3.875% 11/15/30 (c) | 10,465 | 8,952 | |
| 3.875% 5/15/32 (c) | 12,160 | 10,144 | |
| 4.375% 6/15/28 (c) | 7,525 | 6,900 | |
| Organon & Co. / Organon Foreign Debt Co-Issuer BV: | |||
| 4.125% 4/30/28 (c) | 21,010 | 18,828 | |
| 5.125% 4/30/31 (c) | 18,260 | 15,479 | |
| Owens & Minor, Inc. 4.5% 3/31/29 (c) | 8,310 | 7,145 | |
| RP Escrow Issuer LLC 5.25% 12/15/25 (c) | 10,405 | 7,095 | |
| Tenet Healthcare Corp.: | |||
| 4.25% 6/1/29 | 17,640 | 15,806 | |
| 4.375% 1/15/30 | 43,755 | 39,024 | |
| 4.875% 1/1/26 | 30,115 | 29,147 | |
| 5.125% 11/1/27 | 18,070 | 17,159 | |
| 6.125% 10/1/28 | 11,010 | 10,488 | |
| 6.125% 6/15/30 | 24,015 | 23,314 | |
| 6.25% 2/1/27 | 35,815 | 35,158 | |
| Teva Pharmaceutical Finance Netherlands III BV: | |||
| 4.75% 5/9/27 | 6,085 | 5,673 | |
| 5.125% 5/9/29 | 6,085 | 5,575 | |
| 7.875% 9/15/29 | 5,935 | 6,177 | |
| 516,786 | |||
| Homebuilders/Real Estate - 1.9% | |||
| Arcosa, Inc. 4.375% 4/15/29 (c) | 8,410 | 7,569 | |
| Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 4/1/30 (c) | 8,940 | 7,644 | |
| Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (c) | 7,775 | 6,315 | |
| Century Communities, Inc. 3.875% 8/15/29 (c) | 9,110 | 7,923 | |
| MPT Operating Partnership LP/MPT Finance Corp.: | |||
| 3.5% 3/15/31 | 11,190 | 8,060 | |
| 4.625% 8/1/29 | 18,080 | 14,361 | |
| 5% 10/15/27 | 38,043 | 33,326 | |
| Shea Homes Ltd. Partnership/Corp. 4.75% 4/1/29 | 8,020 | 7,119 | |
| Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
| 5.125% 8/1/30 (c) | 10,725 | 10,012 | |
| 5.625% 3/1/24 (c) | 1,312 | 1,306 | |
| 5.875% 6/15/27 (c) | 9,260 | 9,115 | |
| TopBuild Corp. 3.625% 3/15/29 (c) | 5,910 | 5,182 | |
| TRI Pointe Group, Inc./TRI Pointe Holdings, Inc. 5.875% 6/15/24 | 16,130 | 16,055 | |
| TRI Pointe Homes, Inc. 5.7% 6/15/28 | 14,380 | 13,805 | |
| Uniti Group LP / Uniti Group Finance, Inc.: | |||
| 4.75% 4/15/28 (c) | 31,410 | 26,203 | |
| 6.5% 2/15/29 (c) | 39,880 | 27,742 | |
| 10.5% 2/15/28 (c) | 23,750 | 23,608 | |
| Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (c) | 5,045 | 4,528 | |
| 229,873 | |||
| Hotels - 0.4% | |||
| Carnival Holdings (Bermuda) Ltd. 10.375% 5/1/28 (c) | 17,635 | 19,242 | |
| Hilton Domestic Operating Co., Inc.: | |||
| 3.75% 5/1/29 (c) | 5,595 | 4,985 | |
| 4% 5/1/31 (c) | 8,395 | 7,323 | |
| 4.875% 1/15/30 | 6,900 | 6,469 | |
| Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 | 8,435 | 8,150 | |
| 46,169 | |||
| Insurance - 1.6% | |||
| Acrisure LLC / Acrisure Finance, Inc.: | |||
| 6% 8/1/29 (c) | 9,105 | 7,807 | |
| 7% 11/15/25 (c) | 34,880 | 33,682 | |
| Alliant Holdings Intermediate LLC: | |||
| 4.25% 10/15/27 (c) | 11,125 | 10,152 | |
| 5.875% 11/1/29 (c) | 9,115 | 8,065 | |
| 6.75% 10/15/27 (c) | 16,680 | 15,799 | |
| 6.75% 4/15/28 (c) | 26,145 | 26,012 | |
| AmWINS Group, Inc. 4.875% 6/30/29 (c) | 8,805 | 8,078 | |
| AssuredPartners, Inc.: | |||
| 5.625% 1/15/29 (c) | 6,550 | 5,718 | |
| 7% 8/15/25 (c) | 4,865 | 4,804 | |
| HUB International Ltd.: | |||
| 5.625% 12/1/29 (c) | 16,260 | 14,513 | |
| 7% 5/1/26 (c) | 11,770 | 11,746 | |
| 7.25% 6/15/30 (c) | 29,810 | 30,377 | |
| MGIC Investment Corp. 5.25% 8/15/28 | 7,710 | 7,341 | |
| 184,094 | |||
| Leisure - 2.3% | |||
| Boyne U.S.A., Inc. 4.75% 5/15/29 (c) | 6,360 | 5,807 | |
| Carnival Corp.: | |||
| 4% 8/1/28 (c) | 56,090 | 49,879 | |
| 7.625% 3/1/26 (c) | 19,665 | 19,400 | |
| 9.875% 8/1/27 (c) | 16,600 | 17,355 | |
| 10.5% 2/1/26 (c) | 11,990 | 12,639 | |
| Merlin Entertainments PLC 5.75% 6/15/26 (c) | 7,725 | 7,514 | |
| NCL Corp. Ltd. 5.875% 2/15/27 (c) | 12,100 | 11,783 | |
| Royal Caribbean Cruises Ltd.: | |||
| 5.375% 7/15/27 (c) | 9,125 | 8,676 | |
| 7.25% 1/15/30 (c) | 5,940 | 6,004 | |
| 8.25% 1/15/29 (c) | 32,435 | 33,875 | |
| 9.25% 1/15/29 (c) | 34,425 | 36,649 | |
| 11.5% 6/1/25 (c) | 11,902 | 12,616 | |
| 11.625% 8/15/27 (c) | 11,825 | 12,911 | |
| SeaWorld Parks & Entertainment, Inc. 5.25% 8/15/29 (c) | 12,145 | 10,931 | |
| Vail Resorts, Inc. 6.25% 5/15/25 (c) | 6,250 | 6,267 | |
| Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (c) | 4,965 | 4,619 | |
| Voc Escrow Ltd. 5% 2/15/28 (c) | 19,690 | 18,295 | |
| 275,220 | |||
| Metals/Mining - 1.8% | |||
| Alcoa Nederland Holding BV: | |||
| 4.125% 3/31/29 (c) | 15,485 | 13,887 | |
| 6.125% 5/15/28 (c) | 3,565 | 3,512 | |
| Arsenal AIC Parent LLC 8% 10/1/30 (c)(i) | 7,040 | 7,181 | |
| Cleveland-Cliffs, Inc.: | |||
| 4.625% 3/1/29 (c) | 23,720 | 21,720 | |
| 4.875% 3/1/31 (c) | 11,440 | 10,141 | |
| 5.875% 6/1/27 | 18,030 | 17,703 | |
| 6.75% 4/15/30 (c) | 3,000 | 2,918 | |
| Eldorado Gold Corp. 6.25% 9/1/29 (c) | 13,719 | 12,330 | |
| ERO Copper Corp. 6.5% 2/15/30 (c) | 9,085 | 8,018 | |
| First Quantum Minerals Ltd.: | |||
| 6.875% 3/1/26 (c) | 28,325 | 27,739 | |
| 7.5% 4/1/25 (c) | 16,249 | 16,167 | |
| 8.625% 6/1/31 (c) | 15,340 | 15,704 | |
| FMG Resources Pty Ltd.: | |||
| 4.375% 4/1/31 (c) | 8,990 | 7,731 | |
| 4.5% 9/15/27 (c) | 9,015 | 8,427 | |
| HudBay Minerals, Inc. 4.5% 4/1/26 (c) | 7,020 | 6,657 | |
| Mineral Resources Ltd.: | |||
| 8% 11/1/27 (c) | 6,040 | 6,056 | |
| 8.125% 5/1/27 (c) | 18,015 | 18,031 | |
| 8.5% 5/1/30 (c) | 4,475 | 4,522 | |
| Murray Energy Corp.: | |||
| 11.25% (b)(c)(d) | 8,915 | 0 | |
| 12% pay-in-kind (b)(c)(d)(e) | 10,343 | 0 | |
| 208,444 | |||
| Paper - 0.8% | |||
| Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: | |||
| 3.25% 9/1/28 (c) | 5,915 | 5,110 | |
| 4% 9/1/29 (c) | 11,830 | 9,680 | |
| 6% 6/15/27 (c) | 6,045 | 5,965 | |
| Cascades, Inc.: | |||
| 5.125% 1/15/26 (c) | 5,600 | 5,376 | |
| 5.375% 1/15/28 (c) | 5,600 | 5,264 | |
| Clydesdale Acquisition Holdings, Inc.: | |||
| 6.625% 4/15/29 (c) | 7,185 | 6,874 | |
| 8.75% 4/15/30 (c) | 39,890 | 36,161 | |
| Glatfelter Corp. 4.75% 11/15/29 (c) | 9,105 | 6,294 | |
| Mercer International, Inc. 5.125% 2/1/29 | 15,060 | 12,332 | |
| 93,056 | |||
| Publishing/Printing - 0.1% | |||
| Clear Channel International BV 6.625% 8/1/25 (c) | 15,860 | 15,794 | |
| Restaurants - 0.7% | |||
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
| 3.875% 1/15/28 (c) | 12,115 | 11,095 | |
| 4% 10/15/30 (c) | 39,005 | 33,519 | |
| 4.375% 1/15/28 (c) | 10,600 | 9,794 | |
| Bloomin Brands, Inc. / OSI Restaurant Partners LLC 5.125% 4/15/29 (c) | 5,565 | 5,051 | |
| Garden SpinCo Corp. 8.625% 7/20/30 (c) | 5,205 | 5,617 | |
| Papa John's International, Inc. 3.875% 9/15/29 (c) | 5,560 | 4,752 | |
| Yum! Brands, Inc. 4.625% 1/31/32 | 11,975 | 10,845 | |
| 80,673 | |||
| Services - 3.4% | |||
| Adtalem Global Education, Inc. 5.5% 3/1/28 (c) | 9,010 | 8,382 | |
| AECOM 5.125% 3/15/27 | 11,885 | 11,473 | |
| Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
| 4.625% 6/1/28 (c) | 11,130 | 9,460 | |
| 4.625% 6/1/28 (c) | 7,690 | 6,522 | |
| Booz Allen Hamilton, Inc.: | |||
| 3.875% 9/1/28 (c) | 10,240 | 9,298 | |
| 4% 7/1/29 (c) | 5,920 | 5,357 | |
| Brand Energy & Infrastructure Services, Inc. 10.375% 8/1/30 (c) | 44,695 | 45,590 | |
| CoreCivic, Inc. 8.25% 4/15/26 | 32,260 | 32,504 | |
| Fair Isaac Corp. 4% 6/15/28 (c) | 2,910 | 2,671 | |
| Gartner, Inc.: | |||
| 3.625% 6/15/29 (c) | 8,610 | 7,587 | |
| 3.75% 10/1/30 (c) | 11,495 | 10,020 | |
| GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (c) | 8,765 | 8,469 | |
| H&E Equipment Services, Inc. 3.875% 12/15/28 (c) | 16,800 | 14,762 | |
| Hertz Corp.: | |||
| 4.625% 12/1/26 (c) | 5,180 | 4,680 | |
| 5% 12/1/29 (c) | 10,055 | 8,306 | |
| 5.5% (b)(c)(d) | 10,890 | 245 | |
| 6% (b)(c)(d) | 10,285 | 604 | |
| 6.25% (b)(d) | 11,875 | 15 | |
| 7.125% (b)(c)(d) | 10,285 | 823 | |
| Iron Mountain, Inc.: | |||
| 4.5% 2/15/31 (c) | 22,025 | 18,988 | |
| 4.875% 9/15/29 (c) | 24,110 | 21,748 | |
| Neptune BidCo U.S., Inc. 9.29% 4/15/29 (c) | 47,450 | 43,647 | |
| OpenLane, Inc. 5.125% 6/1/25 (c) | 10,355 | 10,093 | |
| Service Corp. International 4% 5/15/31 | 12,070 | 10,290 | |
| Sotheby's 7.375% 10/15/27 (c) | 4,960 | 4,394 | |
| Sotheby's/Bidfair Holdings, Inc. 5.875% 6/1/29 (c) | 9,045 | 7,010 | |
| The Brink's Co. 4.625% 10/15/27 (c) | 12,180 | 11,445 | |
| The GEO Group, Inc.: | |||
| 9.5% 12/31/28 (c) | 9,655 | 9,414 | |
| 10.5% 6/30/28 | 24,580 | 24,650 | |
| TriNet Group, Inc. 3.5% 3/1/29 (c) | 8,865 | 7,735 | |
| Uber Technologies, Inc.: | |||
| 4.5% 8/15/29 (c) | 27,335 | 25,265 | |
| 6.25% 1/15/28 (c) | 9,175 | 9,104 | |
| WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (c) | 9,760 | 9,081 | |
| 399,632 | |||
| Steel - 0.1% | |||
| Algoma Steel SCA 0% 12/31/23 (b) | 1,982 | 0 | |
| Commercial Metals Co. 3.875% 2/15/31 | 6,135 | 5,326 | |
| Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (c) | 4,375 | 3,899 | |
| 9,225 | |||
| Super Retail - 1.2% | |||
| Asbury Automotive Group, Inc.: | |||
| 4.5% 3/1/28 | 3,534 | 3,234 | |
| 4.625% 11/15/29 (c) | 10,005 | 8,851 | |
| 4.75% 3/1/30 | 3,523 | 3,111 | |
| 5% 2/15/32 (c) | 10,800 | 9,412 | |
| Bath & Body Works, Inc.: | |||
| 6.625% 10/1/30 (c) | 23,165 | 22,386 | |
| 6.75% 7/1/36 | 12,766 | 11,610 | |
| 7.5% 6/15/29 | 8,335 | 8,435 | |
| Carvana Co.: | |||
| 4.875% 9/1/29 (c) | 23,329 | 14,464 | |
| 5.875% 10/1/28 (c) | 1,438 | 872 | |
| EG Global Finance PLC: | |||
| 6.75% 2/7/25 (c) | 5,360 | 5,264 | |
| 8.5% 10/30/25 (c) | 20,450 | 20,250 | |
| LBM Acquisition LLC 6.25% 1/15/29 (c) | 17,805 | 15,352 | |
| Macy's Retail Holdings LLC: | |||
| 5.875% 3/15/30 (c) | 6,235 | 5,631 | |
| 6.125% 3/15/32 (c) | 6,015 | 5,368 | |
| Michaels Companies, Inc. 5.25% 5/1/28 (c) | 14,150 | 12,028 | |
| 146,268 | |||
| Technology - 4.1% | |||
| Acuris Finance U.S. 5% 5/1/28 (c) | 9,045 | 7,177 | |
| Black Knight InfoServ LLC 3.625% 9/1/28 (c) | 7,670 | 7,018 | |
| Block, Inc. 3.5% 6/1/31 | 12,070 | 10,110 | |
| CA Magnum Holdings 5.375% 10/31/26 (c) | 4,870 | 4,468 | |
| Camelot Finance SA 4.5% 11/1/26 (c) | 10,590 | 9,989 | |
| Clarivate Science Holdings Corp.: | |||
| 3.875% 7/1/28 (c) | 10,695 | 9,533 | |
| 4.875% 7/1/29 (c) | 10,115 | 8,985 | |
| Cloud Software Group, Inc.: | |||
| 6.5% 3/31/29 (c) | 59,500 | 53,552 | |
| 9% 9/30/29 (c) | 8,900 | 7,971 | |
| Coherent Corp. 5% 12/15/29 (c) | 9,495 | 8,546 | |
| Crowdstrike Holdings, Inc. 3% 2/15/29 | 8,870 | 7,658 | |
| Elastic NV 4.125% 7/15/29 (c) | 24,245 | 21,035 | |
| Gen Digital, Inc. 5% 4/15/25 (c) | 10,050 | 9,906 | |
| Go Daddy Operating Co. LLC / GD Finance Co., Inc.: | |||
| 3.5% 3/1/29 (c) | 11,810 | 10,155 | |
| 5.25% 12/1/27 (c) | 9,345 | 8,924 | |
| ION Trading Technologies Ltd. 5.75% 5/15/28 (c) | 12,040 | 10,475 | |
| Iron Mountain Information Management Services, Inc. 5% 7/15/32 (c) | 9,100 | 7,875 | |
| MicroStrategy, Inc. 6.125% 6/15/28 (c) | 23,020 | 20,605 | |
| NCR Corp.: | |||
| 5% 10/1/28 (c) | 5,530 | 5,002 | |
| 5.125% 4/15/29 (c) | 8,870 | 7,932 | |
| 5.25% 10/1/30 (c) | 5,530 | 4,924 | |
| 5.75% 9/1/27 (c) | 6,625 | 6,666 | |
| 6.125% 9/1/29 (c) | 9,035 | 9,183 | |
| ON Semiconductor Corp. 3.875% 9/1/28 (c) | 11,065 | 10,022 | |
| Open Text Corp. 6.9% 12/1/27 (c) | 10,610 | 10,842 | |
| Open Text Holdings, Inc.: | |||
| 4.125% 2/15/30 (c) | 5,690 | 4,878 | |
| 4.125% 12/1/31 (c) | 5,485 | 4,547 | |
| PTC, Inc.: | |||
| 3.625% 2/15/25 (c) | 6,650 | 6,425 | |
| 4% 2/15/28 (c) | 6,575 | 6,034 | |
| Rackspace Hosting, Inc. 5.375% 12/1/28 (c) | 6,425 | 1,779 | |
| Roblox Corp. 3.875% 5/1/30 (c) | 9,120 | 7,662 | |
| Seagate HDD Cayman: | |||
| 8.25% 12/15/29 (c) | 19,590 | 20,533 | |
| 8.5% 7/15/31 (c) | 12,720 | 13,280 | |
| Sensata Technologies BV 4% 4/15/29 (c) | 11,970 | 10,578 | |
| Synaptics, Inc. 4% 6/15/29 (c) | 7,015 | 6,033 | |
| TTM Technologies, Inc. 4% 3/1/29 (c) | 8,870 | 7,562 | |
| Twilio, Inc.: | |||
| 3.625% 3/15/29 | 9,995 | 8,566 | |
| 3.875% 3/15/31 | 10,460 | 8,861 | |
| Uber Technologies, Inc.: | |||
| 7.5% 9/15/27 (c) | 35,255 | 35,985 | |
| 8% 11/1/26 (c) | 51,060 | 52,091 | |
| Unisys Corp. 6.875% 11/1/27 (c) | 6,095 | 4,976 | |
| Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (c) | 8,945 | 7,334 | |
| 485,677 | |||
| Telecommunications - 4.1% | |||
| Altice Financing SA: | |||
| 5% 1/15/28 (c) | 14,560 | 11,298 | |
| 5.75% 8/15/29 (c) | 25,600 | 19,193 | |
| Altice France SA: | |||
| 5.125% 7/15/29 (c) | 79,325 | 55,546 | |
| 5.5% 1/15/28 (c) | 24,740 | 18,149 | |
| 5.5% 10/15/29 (c) | 106,150 | 75,400 | |
| C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (c) | 42,100 | 37,890 | |
| Cablevision Lightpath LLC 3.875% 9/15/27 (c) | 5,500 | 4,564 | |
| Frontier Communications Holdings LLC: | |||
| 5% 5/1/28 (c) | 19,575 | 16,588 | |
| 5.875% 10/15/27 (c) | 10,375 | 9,503 | |
| Intelsat Jackson Holdings SA 6.5% 3/15/30 (c) | 25,303 | 23,114 | |
| LCPR Senior Secured Financing DAC: | |||
| 5.125% 7/15/29 (c) | 14,860 | 12,289 | |
| 6.75% 10/15/27 (c) | 10,157 | 9,500 | |
| Level 3 Financing, Inc.: | |||
| 3.625% 1/15/29 (c) | 24,590 | 16,234 | |
| 3.75% 7/15/29 (c) | 24,670 | 16,176 | |
| Millicom International Cellular SA 4.5% 4/27/31 (c) | 1,725 | 1,373 | |
| Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 4.75% 4/30/27 (c) | 6,070 | 5,283 | |
| Qwest Corp. 7.25% 9/15/25 | 1,480 | 1,441 | |
| Sable International Finance Ltd. 5.75% 9/7/27 (c) | 18,690 | 17,277 | |
| SBA Communications Corp.: | |||
| 3.125% 2/1/29 | 13,305 | 11,217 | |
| 3.875% 2/15/27 | 17,015 | 15,675 | |
| Sprint Corp. 7.625% 3/1/26 | 10,895 | 11,340 | |
| Uniti Group, Inc. 6% 1/15/30 (c) | 15,190 | 10,044 | |
| Virgin Media Finance PLC 5% 7/15/30 (c) | 21,860 | 17,878 | |
| VMED O2 UK Financing I PLC 4.75% 7/15/31 (c) | 21,200 | 17,895 | |
| Windstream Escrow LLC 7.75% 8/15/28 (c) | 49,560 | 41,742 | |
| Zayo Group Holdings, Inc. 4% 3/1/27 (c) | 17,180 | 12,286 | |
| 488,895 | |||
| Textiles/Apparel - 0.2% | |||
| Crocs, Inc.: | |||
| 4.125% 8/15/31 (c) | 6,075 | 4,892 | |
| 4.25% 3/15/29 (c) | 8,675 | 7,376 | |
| Foot Locker, Inc. 4% 10/1/29 (c) | 6,070 | 4,719 | |
| Kontoor Brands, Inc. 4.125% 11/15/29 (c) | 5,320 | 4,549 | |
| 21,536 | |||
| Transportation Ex Air/Rail - 0.1% | |||
| Seaspan Corp. 5.5% 8/1/29 (c) | 9,095 | 7,412 | |
| XPO, Inc. 6.25% 6/1/28 (c) | 5,950 | 5,886 | |
| 13,298 | |||
| Utilities - 2.0% | |||
| Clearway Energy Operating LLC: | |||
| 3.75% 2/15/31 (c) | 13,295 | 11,019 | |
| 3.75% 1/15/32 (c) | 6,075 | 4,965 | |
| 4.75% 3/15/28 (c) | 6,920 | 6,419 | |
| NRG Energy, Inc.: | |||
| 3.375% 2/15/29 (c) | 5,145 | 4,248 | |
| 3.625% 2/15/31 (c) | 10,215 | 8,016 | |
| 3.875% 2/15/32 (c) | 13,975 | 10,814 | |
| 5.75% 1/15/28 | 9,000 | 8,571 | |
| 6.625% 1/15/27 | 6,378 | 6,333 | |
| Pacific Gas & Electric Co.: | |||
| 3.45% 7/1/25 | 2,868 | 2,725 | |
| 3.75% 7/1/28 | 2,868 | 2,585 | |
| 3.75% 8/15/42 | 10,400 | 7,210 | |
| 3.95% 12/1/47 | 31,671 | 21,769 | |
| 4% 12/1/46 | 18,952 | 12,750 | |
| 4.25% 3/15/46 | 2,400 | 1,685 | |
| 4.3% 3/15/45 | 5,995 | 4,313 | |
| PG&E Corp.: | |||
| 5% 7/1/28 | 22,000 | 20,353 | |
| 5.25% 7/1/30 | 8,330 | 7,481 | |
| Pike Corp. 5.5% 9/1/28 (c) | 28,165 | 25,349 | |
| Vistra Operations Co. LLC: | |||
| 4.375% 5/1/29 (c) | 23,230 | 20,451 | |
| 5% 7/31/27 (c) | 22,585 | 21,277 | |
| 5.5% 9/1/26 (c) | 3,485 | 3,370 | |
| 5.625% 2/15/27 (c) | 28,195 | 27,263 | |
| 238,966 | |||
TOTAL NONCONVERTIBLE BONDS | 7,634,842 | ||
| TOTAL CORPORATE BONDS (Cost $8,366,536) | 7,670,167 | ||
| Common Stocks - 14.0% | |||
| Shares | Value ($) (000s) | ||
| Aerospace - 0.1% | |||
| TransDigm Group, Inc. | 13,200 | 11,876 | |
| Air Transportation - 0.1% | |||
| Delta Air Lines, Inc. | 146,750 | 6,789 | |
| Automotive & Auto Parts - 0.0% | |||
| Exide Technologies (b)(j) | 9,824 | 0 | |
| Exide Technologies (b)(j) | 580,031 | 0 | |
| Exide Technologies (b)(j) | 385 | 0 | |
| UC Holdings, Inc. (b)(j) | 677,217 | 1,666 | |
TOTAL AUTOMOTIVE & AUTO PARTS | 1,666 | ||
| Banks & Thrifts - 0.0% | |||
| Algoma Steel Group, Inc. | 638,696 | 4,937 | |
| Broadcasting - 0.2% | |||
| iHeartMedia, Inc. (j) | 104 | 0 | |
| Netflix, Inc. (j) | 33,300 | 14,618 | |
| Nexstar Broadcasting Group, Inc. Class A | 53,232 | 9,939 | |
TOTAL BROADCASTING | 24,557 | ||
| Building Materials - 0.4% | |||
| Builders FirstSource, Inc. (j) | 90,400 | 13,056 | |
| Carrier Global Corp. | 309,300 | 18,419 | |
| WESCO International, Inc. | 76,800 | 13,484 | |
TOTAL BUILDING MATERIALS | 44,959 | ||
| Capital Goods - 0.3% | |||
| Parker Hannifin Corp. | 33,800 | 13,858 | |
| Regal Rexnord Corp. | 141,300 | 22,068 | |
TOTAL CAPITAL GOODS | 35,926 | ||
| Chemicals - 0.6% | |||
| Celanese Corp. Class A | 195,600 | 24,526 | |
| Olin Corp. | 204,300 | 11,784 | |
| The Chemours Co. LLC | 566,310 | 20,942 | |
| Westlake Corp. | 90,100 | 12,389 | |
TOTAL CHEMICALS | 69,641 | ||
| Consumer Products - 0.3% | |||
| Reddy Ice Holdings, Inc. (b)(j) | 199,717 | 0 | |
| Tapestry, Inc. | 344,400 | 14,861 | |
| Tempur Sealy International, Inc. | 542,935 | 24,231 | |
TOTAL CONSUMER PRODUCTS | 39,092 | ||
| Containers - 0.2% | |||
| Graphic Packaging Holding Co. | 973,700 | 23,564 | |
| Diversified Financial Services - 0.7% | |||
| Apollo Global Management, Inc. | 280,900 | 22,952 | |
| Carnelian Point Holdings LP warrants (b)(j) | 931 | 3 | |
| MasterCard, Inc. Class A | 65,600 | 25,865 | |
| OneMain Holdings, Inc. | 769,000 | 34,974 | |
| Penson Worldwide, Inc. Class A (b)(j) | 10,322,034 | 0 | |
| PJT Partners, Inc. | 5,092 | 404 | |
TOTAL DIVERSIFIED FINANCIAL SERVICES | 84,198 | ||
| Energy - 1.9% | |||
| Antero Resources Corp. (j) | 306,925 | 8,210 | |
| California Resources Corp. | 1,062,738 | 56,697 | |
| California Resources Corp. warrants 10/27/24 (j) | 57,076 | 1,033 | |
| Canadian Natural Resources Ltd. | 209,100 | 12,713 | |
| Chaparral Energy, Inc.: | |||
| Series A warrants 10/1/24 (b)(j) | 392 | 0 | |
| Series B warrants 10/1/25 (b)(j) | 392 | 0 | |
| Cheniere Energy, Inc. | 205,700 | 33,295 | |
| Chesapeake Energy Corp. (k) | 270,287 | 22,796 | |
| Chesapeake Energy Corp. (g)(j) | 22,818 | 1,924 | |
| Civitas Resources, Inc. | 60,298 | 4,514 | |
| Diamond Offshore Drilling, Inc. (j) | 118,485 | 1,876 | |
| Diamondback Energy, Inc. | 88,600 | 13,053 | |
| EP Energy Corp. (b)(j) | 841,775 | 5,067 | |
| Forbes Energy Services Ltd. (b)(j) | 193,218 | 0 | |
| Halliburton Co. | 207,600 | 8,113 | |
| Mesquite Energy, Inc. (b)(j) | 317,026 | 45,189 | |
| PureWest Energy (b)(j) | 17,812 | 33 | |
| PureWest Energy rights (b)(j) | 10,734 | 0 | |
| Superior Energy Services, Inc. Class A (b)(j) | 110,370 | 8,314 | |
| Unit Corp. | 37,978 | 1,785 | |
TOTAL ENERGY | 224,612 | ||
| Entertainment/Film - 0.0% | |||
| New Cotai LLC/New Cotai Capital Corp. (b)(g)(j) | 3,366,626 | 2,592 | |
| Food & Drug Retail - 0.2% | |||
| Southeastern Grocers, Inc. (b)(g)(j) | 793,345 | 20,889 | |
| Food/Beverage/Tobacco - 0.2% | |||
| JBS SA | 4,652,100 | 18,476 | |
| Gaming - 0.7% | |||
| Boyd Gaming Corp. | 453,873 | 31,009 | |
| Caesars Entertainment, Inc. (j) | 711,236 | 41,977 | |
| Studio City International Holdings Ltd.: | |||
| ADR (c)(j) | 631,958 | 4,487 | |
| (NYSE) ADR (j) | 695,700 | 4,939 | |
TOTAL GAMING | 82,412 | ||
| Healthcare - 0.7% | |||
| Charles River Laboratories International, Inc. (j) | 26,900 | 5,637 | |
| Encompass Health Corp. | 34 | 2 | |
| Enhabit Home Health & Hospice (j) | 17 | 0 | |
| Humana, Inc. | 21,400 | 9,776 | |
| IQVIA Holdings, Inc. (j) | 151,200 | 33,833 | |
| Tenet Healthcare Corp. (j) | 105,498 | 7,884 | |
| UnitedHealth Group, Inc. | 42,700 | 21,622 | |
TOTAL HEALTHCARE | 78,754 | ||
| Homebuilders/Real Estate - 0.4% | |||
| Arthur J. Gallagher & Co. | 57,500 | 12,351 | |
| TopBuild Corp. (j) | 43,700 | 11,971 | |
| Willscot Mobile Mini Holdings (j) | 426,900 | 20,470 | |
TOTAL HOMEBUILDERS/REAL ESTATE | 44,792 | ||
| Metals/Mining - 0.2% | |||
| Elah Holdings, Inc. (j) | 906 | 43 | |
| First Quantum Minerals Ltd. | 626,700 | 18,587 | |
| Freeport-McMoRan, Inc. | 245,900 | 10,979 | |
TOTAL METALS/MINING | 29,609 | ||
| Restaurants - 0.1% | |||
| Domino's Pizza, Inc. | 30,300 | 12,021 | |
| Services - 0.5% | |||
| Airbnb, Inc. Class A (j) | 45,700 | 6,955 | |
| ASGN, Inc. (j) | 97,930 | 7,474 | |
| Penhall Acquisition Co.: | |||
| Class A (b)(j) | 26,163 | 3,647 | |
| Class B (b)(j) | 8,721 | 1,216 | |
| Visa, Inc. Class A | 153,900 | 36,587 | |
TOTAL SERVICES | 55,879 | ||
| Steel - 0.0% | |||
| Algoma Steel SCA (b)(j) | 198,162 | 0 | |
| Super Retail - 0.7% | |||
| Amazon.com, Inc. (j) | 89,600 | 11,978 | |
| Arena Brands Holding Corp. Class B (b)(g)(j) | 659,302 | 8,637 | |
| Booking Holdings, Inc. (j) | 4,600 | 13,666 | |
| Dick's Sporting Goods, Inc. | 145,600 | 20,530 | |
| Lowe's Companies, Inc. | 55,100 | 12,908 | |
| Williams-Sonoma, Inc. | 76,303 | 10,579 | |
TOTAL SUPER RETAIL | 78,298 | ||
| Technology - 5.0% | |||
| Adobe, Inc. (j) | 57,400 | 31,350 | |
| Advanced Micro Devices, Inc. (j) | 88,700 | 10,147 | |
| Alphabet, Inc. Class A (j) | 277,000 | 36,763 | |
| AMETEK, Inc. | 78,500 | 12,450 | |
| Arista Networks, Inc. (j) | 115,900 | 17,975 | |
| ASML Holding NV (depository receipt) | 21,300 | 15,260 | |
| CDW Corp. | 50,600 | 9,466 | |
| Dynatrace, Inc. (j) | 335,700 | 18,359 | |
| Eaton Corp. PLC | 58,000 | 11,909 | |
| Enphase Energy, Inc. (j) | 62,500 | 9,489 | |
| Fiserv, Inc. (j) | 248,700 | 31,388 | |
| Gen Digital, Inc. | 606,400 | 11,794 | |
| Global Payments, Inc. | 79,224 | 8,734 | |
| Marvell Technology, Inc. | 410,200 | 26,716 | |
| Meta Platforms, Inc. Class A (j) | 215,300 | 68,595 | |
| Microchip Technology, Inc. | 316,631 | 29,744 | |
| Microsoft Corp. | 129,400 | 43,468 | |
| NVIDIA Corp. | 122,600 | 57,290 | |
| NXP Semiconductors NV | 93,600 | 20,871 | |
| ON Semiconductor Corp. (j) | 523,203 | 56,375 | |
| Oracle Corp. | 208,200 | 24,407 | |
| Salesforce, Inc. (j) | 51,600 | 11,611 | |
| Splunk, Inc. (j) | 112,300 | 12,165 | |
| Synopsys, Inc. (j) | 32,000 | 14,458 | |
TOTAL TECHNOLOGY | 590,784 | ||
| Telecommunications - 0.1% | |||
| GTT Communications, Inc. (b) | 85,487 | 1,056 | |
| Palo Alto Networks, Inc. (j) | 65,700 | 16,422 | |
TOTAL TELECOMMUNICATIONS | 17,478 | ||
| Textiles/Apparel - 0.1% | |||
| LVMH Moet Hennessy Louis Vuitton SE | 11,800 | 10,959 | |
| Transportation Ex Air/Rail - 0.0% | |||
| Tricer Holdco SCA: | |||
| Class A1 (b)(g)(j) | 598,287 | 0 | |
| Class A2 (b)(g)(j) | 598,287 | 0 | |
| Class A3 (b)(g)(j) | 598,287 | 0 | |
| Class A4 (b)(g)(j) | 598,287 | 0 | |
| Class A5 (b)(g)(j) | 598,287 | 0 | |
| Class A6 (b)(g)(j) | 598,287 | 0 | |
| Class A7 (b)(g)(j) | 598,287 | 0 | |
| Class A8 (b)(g)(j) | 598,287 | 0 | |
| Class A9 (b)(g)(j) | 598,287 | 0 | |
TOTAL TRANSPORTATION EX AIR/RAIL | 0 | ||
| Utilities - 0.3% | |||
| PG&E Corp. (j) | 2,097,796 | 36,942 | |
| Portland General Electric Co. | 14,817 | 706 | |
TOTAL UTILITIES | 37,648 | ||
| TOTAL COMMON STOCKS (Cost $1,240,304) | 1,652,408 | ||
| Nonconvertible Preferred Stocks - 0.0% | |||
| Shares | Value ($) (000s) | ||
| Automotive & Auto Parts - 0.0% | |||
| Exide Technologies (b)(j) | 858 | 0 | |
| Transportation Ex Air/Rail - 0.0% | |||
| Tricer Holdco SCA (b)(g)(j) | 287,159,690 | 3 | |
| TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $11,049) | 3 | ||
| Bank Loan Obligations - 6.1% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
| Air Transportation - 0.3% | |||
| Air Canada Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 8.8391% 8/11/28 (e)(f)(l) | 9,014 | 9,003 | |
| Dynasty Acquisition Co., Inc.: | |||
| Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.9187% 4/8/26 (e)(f)(l) | 2,545 | 2,539 | |
| Tranche B2 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.9187% 4/4/26 (e)(f)(l) | 1,368 | 1,365 | |
| SkyMiles IP Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0761% 10/20/27 (e)(f)(l) | 2,967 | 3,082 | |
| United Airlines, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 9.2919% 4/21/28 (e)(f)(l) | 20,617 | 20,622 | |
TOTAL AIR TRANSPORTATION | 36,611 | ||
| Automotive & Auto Parts - 0.2% | |||
| Clarios Global LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0687% 4/20/30 (e)(f)(l) | 2,645 | 2,642 | |
| PECF USS Intermediate Holding III Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.6831% 12/17/28 (e)(f)(l) | 2,275 | 1,818 | |
| Wand NewCo 3, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 8.1687% 2/5/26 (e)(f)(l) | 17,756 | 17,722 | |
TOTAL AUTOMOTIVE & AUTO PARTS | 22,182 | ||
| Banks & Thrifts - 0.1% | |||
| Citadel Securities LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.717% 2/2/28 (e)(f)(l) | 9,623 | 9,555 | |
| Broadcasting - 0.1% | |||
| Diamond Sports Group LLC 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 15.2534% 8/24/26 (e)(f)(l) | 6,761 | 5,116 | |
| Univision Communications, Inc.: | |||
| 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.4919% 6/24/29 (e)(f)(l) | 747 | 745 | |
| Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 8.443% 1/31/29 (e)(f)(l) | 7,406 | 7,304 | |
TOTAL BROADCASTING | 13,165 | ||
| Building Materials - 0.4% | |||
| Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.7535% 5/17/28 (e)(f)(l) | 23,530 | 20,189 | |
| Hunter Douglas, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.6662% 2/25/29 (e)(f)(l) | 22,527 | 21,373 | |
| SRS Distribution, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.9331% 6/4/28 (e)(f)(l) | 6,375 | 6,279 | |
TOTAL BUILDING MATERIALS | 47,841 | ||
| Capital Goods - 0.0% | |||
| Chart Industries, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1046% 3/17/30 (e)(f)(l) | 1,711 | 1,711 | |
| Chemicals - 0.2% | |||
| Avient Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6156% 8/29/29 (e)(f)(l) | 552 | 553 | |
| Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.370% 9.6169% 10/4/29 (e)(f)(l) | 17,950 | 17,481 | |
| Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 9.2535% 11/9/28 (e)(f)(l) | 3,649 | 3,491 | |
| W.R. Grace Holding LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 9.3125% 9/22/28 (e)(f)(l) | 2,743 | 2,735 | |
TOTAL CHEMICALS | 24,260 | ||
| Consumer Products - 0.2% | |||
| Kronos Acquisition Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 9.2535% 12/22/26 (e)(f)(l) | 19,897 | 19,479 | |
| Containers - 0.0% | |||
| Kloeckner Pentaplast of America, Inc. Tranche B 1LN, term loan CME TERM SOFR 6 MONTH INDEX + 4.750% 10.1043% 2/9/26 (e)(f)(l) | 1,471 | 1,387 | |
| Energy - 0.0% | |||
| Forbes Energy Services LLC Tranche B, term loan 0% (b)(d)(e)(l) | 1,810 | 0 | |
| Mesquite Energy, Inc.: | |||
| 1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (b)(d)(f)(l) | 5,861 | 0 | |
| term loan 3 month U.S. LIBOR + 0.000% 0% (b)(d)(f)(l) | 2,528 | 0 | |
TOTAL ENERGY | 0 | ||
| Environmental - 0.0% | |||
| Covanta Holding Corp.: | |||
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.8187% 11/30/28 (e)(f)(l) | 2,186 | 2,181 | |
| Tranche C 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.8187% 11/30/28 (e)(f)(l) | 166 | 165 | |
| Madison IAQ LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 8.3023% 6/21/28 (e)(f)(l) | 2,969 | 2,909 | |
TOTAL ENVIRONMENTAL | 5,255 | ||
| Food/Beverage/Tobacco - 0.0% | |||
| Bengal Debt Merger Sub LLC 1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.5921% 1/24/29 (e)(f)(l) | 2,262 | 2,130 | |
| Gaming - 0.2% | |||
| Fertitta Entertainment LLC NV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3187% 1/27/29 (e)(f)(l) | 15,632 | 15,449 | |
| Scientific Games Corp. 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3022% 4/14/29 (e)(f)(l) | 2,361 | 2,354 | |
TOTAL GAMING | 17,803 | ||
| Healthcare - 0.4% | |||
| Gainwell Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 9.3419% 10/1/27 (e)(f)(l) | 17,452 | 17,142 | |
| Jazz Financing Lux SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.9331% 5/5/28 (e)(f)(l) | 6,178 | 6,170 | |
| Organon & Co. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.000% 8.2569% 6/2/28 (e)(f)(l) | 14,878 | 14,815 | |
| Phoenix Newco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 8.467% 11/15/28 (e)(f)(l) | 7,105 | 7,071 | |
| PRA Health Sciences, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.250% 7.7535% 7/3/28 (e)(f)(l) | 1,629 | 1,630 | |
TOTAL HEALTHCARE | 46,828 | ||
| Homebuilders/Real Estate - 0.2% | |||
| Breakwater Energy Tranche B 1LN, term loan 11% 9/1/26 (b)(e)(l) | 18,099 | 17,194 | |
| Hotels - 0.1% | |||
| Carnival Finance LLC Tranche B 1LN, term loan 6 month U.S. LIBOR + 3.250% 8.6831% 10/18/28 (e)(f)(l) | 7,934 | 7,900 | |
| Insurance - 0.2% | |||
| Acrisure LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.6831% 2/15/27 (e)(f)(l) | 1,423 | 1,411 | |
| Alliant Holdings Intermediate LLC Tranche B3 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.9199% 11/12/27 (e)(f)(l) | 13,283 | 13,241 | |
| HUB International Ltd. Tranche B 1LN, term loan: | |||
| CME Term SOFR 1 Month Index + 4.000% 9.0722% 11/10/29 (e)(f)(l) | 925 | 927 | |
| CME Term SOFR 1 Month Index + 4.250% 9.5835% 6/8/30 (e)(f)(l) | 9,253 | 9,287 | |
TOTAL INSURANCE | 24,866 | ||
| Leisure - 0.1% | |||
| Delta 2 SARL Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3187% 1/15/30 (e)(f)(l) | 3,445 | 3,445 | |
| Topgolf Callaway Brands Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9187% 3/9/30 (e)(f)(l) | 2,918 | 2,911 | |
TOTAL LEISURE | 6,356 | ||
| Metals/Mining - 0.0% | |||
| Arsenal AIC Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 7/27/30 (f)(l)(m) | 1,640 | 1,638 | |
| Paper - 0.2% | |||
| Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.170% 9.5937% 4/13/29 (e)(f)(l) | 23,735 | 23,500 | |
| Services - 0.9% | |||
| ABG Intermediate Holdings 2 LLC: | |||
| Tranche B 2LN, term loan CME Term SOFR 1 Month Index + 6.000% 11.2025% 12/20/29 (e)(f)(l) | 1,145 | 1,114 | |
| Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.7025% 12/21/28 (e)(f)(l) | 5,376 | 5,366 | |
| Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.2025% 12/21/28 (e)(f)(l) | 11,183 | 11,188 | |
| Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 12/21/28 (f)(l)(n) | 3,667 | 3,668 | |
| Ascend Learning LLC: | |||
| 2LN, term loan 1 month U.S. LIBOR + 5.750% 11.1687% 12/10/29 (e)(f)(l) | 15,190 | 12,927 | |
| Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.9187% 12/10/28 (e)(f)(l) | 24,142 | 22,670 | |
| Brand Energy & Infrastructure Services, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 7/25/30 (f)(l)(m) | 6,020 | 5,829 | |
| Neptune BidCo U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.3985% 4/11/29 (e)(f)(l) | 15,641 | 13,823 | |
| Sabert Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 9.9331% 12/10/26 (e)(f)(l) | 5,751 | 5,737 | |
| Sotheby's Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.9224% 1/15/27 (e)(f)(l) | 10,836 | 10,549 | |
| Spin Holdco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 9.2303% 3/4/28 (e)(f)(l) | 17,876 | 15,078 | |
TOTAL SERVICES | 107,949 | ||
| Specialty Retailing - 0.0% | |||
| New SK Holdco Sub LLC 1LN, term loan CME Term SOFR 1 Month Index + 8.350% 13.6136% 6/30/27 (e)(f)(l) | 885 | 806 | |
| Super Retail - 0.4% | |||
| LBM Acquisition LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.1687% 12/18/27 (e)(f)(l) | 48,538 | 46,986 | |
| Michaels Companies, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 9.7535% 4/15/28 (e)(f)(l) | 5,449 | 5,014 | |
TOTAL SUPER RETAIL | 52,000 | ||
| Technology - 1.5% | |||
| Acuris Finance U.S., Inc. 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.3919% 2/16/28 (e)(f)(l) | 1,131 | 1,122 | |
| Athenahealth Group, Inc.: | |||
| Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8054% 2/15/29 (e)(f)(l) | 29,337 | 28,431 | |
| Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 3.5% 2/15/29 (e)(f)(l)(n) | 3,613 | 3,502 | |
| Boxer Parent Co., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.1831% 10/2/25 (e)(f)(l) | 31,423 | 31,333 | |
| Camelot Finance SA Tranche B, term loan 1 month U.S. LIBOR + 3.000% 8.4331% 10/31/26 (e)(f)(l) | 938 | 937 | |
| DG Investment Intermediate Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.967% 3/31/28 (e)(f)(l) | 1,989 | 1,965 | |
| Hunter U.S. Bidco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 9.5919% 8/19/28 (e)(f)(l) | 11,516 | 11,502 | |
| Icon Luxembourg Sarl Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.250% 7.7535% 7/3/28 (e)(f)(l) | 6,539 | 6,541 | |
| MH Sub I LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.3525% 5/3/28 (e)(f)(l) | 17,825 | 17,162 | |
| Peraton Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1687% 2/1/28 (e)(f)(l) | 13,631 | 13,504 | |
| Polaris Newco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 9.5379% 6/2/28 (e)(f)(l) | 6,656 | 6,275 | |
| Proofpoint, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 8.6831% 8/31/28 (e)(f)(l) | 6,506 | 6,404 | |
| RealPage, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 8.4331% 4/22/28 (e)(f)(l) | 5,924 | 5,815 | |
| STG-Fairway Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 8.1831% 1/31/27 (e)(f)(l) | 3,110 | 3,103 | |
| Ultimate Software Group, Inc.: | |||
| 1LN, term loan 1 month U.S. LIBOR + 3.250% 8.6184% 5/3/26 (e)(f)(l) | 27,969 | 27,798 | |
| 2LN, term loan CME Term SOFR 3 Month Index + 5.250% 10.6184% 5/3/27 (e)(f)(l) | 4,000 | 3,943 | |
| Veritas U.S., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 10.4331% 9/1/25 (e)(f)(l) | 5,945 | 4,984 | |
| VS Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.6687% 2/28/27 (e)(f)(l) | 2,278 | 2,258 | |
TOTAL TECHNOLOGY | 176,579 | ||
| Telecommunications - 0.2% | |||
| Aventiv Technologies LLC Tranche B, term loan 3 month U.S. LIBOR + 4.500% 10.0379% 11/1/24 (e)(f)(l) | 6,880 | 5,504 | |
| Connect U.S. Finco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.8187% 12/12/26 (e)(f)(l) | 8,756 | 8,724 | |
| GTT Communications, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 9.000% 14.3419% 6/30/28 (e)(f)(l) | 3,473 | 1,938 | |
| Gtt Remainco LLC 1LN, term loan CME Term SOFR 1 Month Index + 7.000% 12.2025% 12/30/27 (e)(f)(l) | 4,341 | 3,603 | |
| Zayo Group Holdings, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.000% 8.4331% 3/9/27 (e)(f)(l) | 7,821 | 5,941 | |
TOTAL TELECOMMUNICATIONS | 25,710 | ||
| Utilities - 0.2% | |||
| PG&E Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4331% 6/23/25 (e)(f)(l) | 26,680 | 26,587 | |
| TOTAL BANK LOAN OBLIGATIONS (Cost $744,564) | 719,292 | ||
| Preferred Securities - 7.4% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
| Banks & Thrifts - 6.5% | |||
| Ally Financial, Inc. 4.7% (e)(o) | 7,055 | 4,937 | |
| Bank of America Corp.: | |||
| 5.125% (e)(o) | 36,030 | 35,332 | |
| 5.875% (e)(o) | 102,630 | 95,708 | |
| 6.25% (e)(o) | 28,555 | 28,289 | |
| 8.631% (e)(f)(o) | 61,440 | 61,594 | |
| Citigroup, Inc.: | |||
| 4.7% (e)(o) | 15,285 | 13,572 | |
| 5% (e)(o) | 60,300 | 57,110 | |
| 6.3% (e)(o) | 5,610 | 5,491 | |
| 9.5507% (e)(f)(o) | 27,015 | 27,037 | |
| 9.6987% (e)(f)(o) | 51,015 | 51,357 | |
| Goldman Sachs Group, Inc.: | |||
| 3 month U.S. LIBOR + 2.870% 8.2109% (e)(f)(o) | 70,565 | 69,859 | |
| 4.4% (e)(o) | 8,035 | 6,942 | |
| 4.95% (e)(o) | 13,335 | 12,576 | |
| JPMorgan Chase & Co.: | |||
| 4% (e)(o) | 34,340 | 31,709 | |
| 4.6% (e)(o) | 23,365 | 22,080 | |
| 5% (e)(o) | 30,845 | 30,159 | |
| 6% (e)(f)(o) | 69,385 | 69,552 | |
| 6.125% (e)(o) | 17,585 | 17,454 | |
| 6.75% (e)(o) | 8,330 | 8,325 | |
| Wells Fargo & Co.: | |||
| 5.875% (e)(o) | 50,420 | 49,286 | |
| 5.9% (e)(o) | 63,075 | 62,425 | |
TOTAL BANKS & THRIFTS | 760,794 | ||
| Diversified Financial Services - 0.0% | |||
| OEC Finance Ltd. 7.5% pay-in-kind (c)(o) | 38 | 3 | |
| Energy - 0.9% | |||
| Energy Transfer LP: | |||
| 3 month U.S. LIBOR + 4.020% 9.3487% (e)(f)(o) | 81,527 | 73,782 | |
| 6.625% (e)(o) | 30,505 | 24,175 | |
| 7.125% (e)(o) | 9,130 | 8,019 | |
| Summit Midstream Partners LP 3 month U.S. LIBOR + 7.430% 12.982% (d)(e)(f)(o) | 2,912 | 1,958 | |
TOTAL ENERGY | 107,934 | ||
| TOTAL PREFERRED SECURITIES (Cost $906,159) | 868,731 | ||
| Other - 2.9% | |||
| Shares | Value ($) (000s) | ||
| Other - 2.9% | |||
Fidelity Private Credit Central Fund LLC (g) (Cost $335,151) | 33,697,051 | 338,655 | |
| Money Market Funds - 3.9% | |||
| Shares | Value ($) (000s) | ||
| Fidelity Cash Central Fund 5.32% (p) | 456,321,153 | 456,412 | |
| Fidelity Securities Lending Cash Central Fund 5.32% (p)(q) | 7,477,127 | 7,478 | |
| TOTAL MONEY MARKET FUNDS (Cost $463,844) | 463,890 | ||
| TOTAL INVESTMENT IN SECURITIES - 99.3% (Cost $12,067,607) | 11,713,146 |
NET OTHER ASSETS (LIABILITIES) - 0.7% | 77,010 |
| NET ASSETS - 100.0% | 11,790,156 |
Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | Level 3 security |
| (c) | 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 $5,798,103,000 or 49.2% of net assets. |
| (d) | Non-income producing - Security is in default. |
| (e) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (f) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (g) | Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $379,544,000 or 3.2% of net assets. |
| (h) | Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
| (i) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (j) | Non-income producing |
| (k) | Security or a portion of the security is on loan at period end. |
| (l) | 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. |
| (m) | The coupon rate will be determined upon settlement of the loan after period end. |
| (n) | Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $7,280,000 and $7,170,000, respectively. |
| (o) | Security is perpetual in nature with no stated maturity date. |
| (p) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
| (q) | Investment made with cash collateral received from securities on loan. |
| Additional information on each restricted holding is as follows: | ||
| Security | Acquisition Date | Acquisition Cost ($) (000s) |
| Arena Brands Holding Corp. Class B | 6/18/97 - 1/12/99 | 21,592 |
| Chesapeake Energy Corp. | 2/10/21 | 216 |
| Fidelity Private Credit Central Fund LLC | 4/15/22 - 7/07/23 | 335,150 |
| Jonah Energy Parent LLC 12% 11/5/25 | 5/05/23 | 6,608 |
| New Cotai LLC/New Cotai Capital Corp. | 9/11/20 | 16,677 |
| Southeastern Grocers, Inc. | 6/01/18 | 5,580 |
| Tricer Holdco SCA | 10/16/09 - 12/30/17 | 10,248 |
| Tricer Holdco SCA Class A1 | 10/16/09 - 10/29/09 | 1,653 |
| Tricer Holdco SCA Class A2 | 10/16/09 - 10/29/09 | 1,653 |
| Tricer Holdco SCA Class A3 | 10/16/09 - 10/29/09 | 1,653 |
| Tricer Holdco SCA Class A4 | 10/16/09 - 10/29/09 | 1,653 |
| Tricer Holdco SCA Class A5 | 10/16/09 - 10/29/09 | 1,653 |
| Tricer Holdco SCA Class A6 | 10/16/09 - 10/29/09 | 1,653 |
| Tricer Holdco SCA Class A7 | 10/16/09 - 10/29/09 | 1,653 |
| Tricer Holdco SCA Class A8 | 10/16/09 - 10/29/09 | 1,653 |
| Tricer Holdco SCA Class A9 | 10/16/09 - 10/29/09 | 1,655 |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate (Amounts in thousands) | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.32% | 597,099 | 555,585 | 696,272 | 7,291 | - | - | 456,412 | 1.1% |
| Fidelity Private Credit Central Fund LLC | 324,274 | 341,490 | 331,470 | 6,045 | - | 4,361 | 338,655 | 53.2% |
| Fidelity Securities Lending Cash Central Fund 5.32% | - | 24,027 | 16,549 | - | - | - | 7,478 | 0.0% |
| Total | 921,373 | 921,102 | 1,044,291 | 13,336 | - | 4,361 | 802,545 | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
Amounts in the dividend income column 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.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate Bonds, Bank Loan Obligations and Preferred Securities are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. 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.
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 Private Credit Central Fund LLC is valued at its net asset value (NAV) each month end and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
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.