| Corporate Bonds - 82.8% |
| | | Principal Amount (a) (000s) | Value ($) (000s) |
| Convertible Bonds - 81.7% | | | |
| COMMUNICATION SERVICES - 6.2% | | | |
| Entertainment - 1.9% | | | |
| Liberty Media Corp. 2.375% 9/30/53 (b) | | 7,757 | 8,529 |
| Liberty Media Corp. Liberty Formula One 2.25% 8/15/27 | | 8,245 | 8,919 |
| Live Nation Entertainment, Inc. 3.125% 1/15/29 | | 7,929 | 9,029 |
| Sphere Entertainment Co. 3.5% 12/1/28 (b) | | 1,073 | 1,491 |
| Zynga, Inc. 0% 12/15/26 | | 5,479 | 4,693 |
| | | | 32,661 |
| Interactive Media & Services - 1.8% | | | |
| Liberty TripAdvisor Holdings, Inc. 0.5% 6/30/51 (b) | | 2,433 | 2,279 |
| Snap, Inc.: | | | |
| 0% 5/1/27 | | 8,541 | 6,852 |
| 0.125% 3/1/28 | | 17,518 | 13,139 |
| 0.25% 5/1/25 | | 2,787 | 2,682 |
| 0.75% 8/1/26 | | 4,240 | 4,009 |
| TripAdvisor, Inc. 0.25% 4/1/26 | | 2,952 | 2,737 |
| | | | 31,698 |
| Media - 2.5% | | | |
| DISH Network Corp.: | | | |
| 0% 12/15/25 | | 15,002 | 10,869 |
| 3.375% 8/15/26 | | 27,417 | 16,210 |
| Liberty Broadband Corp. 3.125% 3/31/53 (b) | | 9,550 | 9,003 |
| Liberty Media Corp. 3.75% 3/15/28 (b) | | 5,200 | 6,323 |
| Magnite, Inc. 0.25% 3/15/26 | | 1,390 | 1,239 |
| | | | 43,644 |
TOTAL COMMUNICATION SERVICES | | | 108,003 |
| | | | |
| CONSUMER DISCRETIONARY - 10.2% | | | |
| Automobiles - 1.9% | | | |
| Ford Motor Co. 0% 3/15/26 | | 15,724 | 15,805 |
| Rivian Automotive, Inc.: | | | |
| 3.625% 10/15/30(b) | | 11,525 | 8,053 |
| 4.625% 3/15/29(b) | | 6,856 | 5,526 |
| Winnebago Industries, Inc. 3.25% 1/15/30 (b) | | 3,449 | 3,649 |
| | | | 33,033 |
| Broadline Retail - 0.7% | | | |
| Etsy, Inc.: | | | |
| 0.125% 10/1/26 | | 4,864 | 5,231 |
| 0.125% 9/1/27 | | 4,407 | 3,679 |
| 0.25% 6/15/28 | | 4,610 | 3,678 |
| | | | 12,588 |
| Diversified Consumer Services - 0.3% | | | |
| Stride, Inc. 1.125% 9/1/27 | | 3,491 | 4,432 |
| | | | |
| Hotels, Restaurants & Leisure - 4.9% | | | |
| Booking Holdings, Inc. 0.75% 5/1/25 | | 6,343 | 11,695 |
| Carnival Corp.: | | | |
| 5.75% 10/1/24 | | 3,222 | 5,284 |
| 5.75% 12/1/27 | | 8,435 | 12,442 |
| Cracker Barrel Old Country Store, Inc. 0.625% 6/15/26 | | 3,044 | 2,616 |
| DraftKings, Inc. 0% 3/15/28 | | 26,448 | 22,441 |
| NCL Corp. Ltd.: | | | |
| 5.375% 8/1/25 | | 3,500 | 4,414 |
| 6% 5/15/24 | | 1,074 | 1,537 |
| Penn Entertainment, Inc. 2.75% 5/15/26 | | 3,656 | 3,944 |
| Royal Caribbean Cruises Ltd. 6% 8/15/25 | | 8,277 | 20,986 |
| | | | 85,359 |
| Leisure Products - 1.2% | | | |
| Peloton Interactive, Inc. 0% 2/15/26 | | 16,347 | 13,159 |
| Topgolf Callaway Brands Corp. 2.75% 5/1/26 | | 7,240 | 7,743 |
| | | | 20,902 |
| Specialty Retail - 1.2% | | | |
| The RealReal, Inc.: | | | |
| 1% 3/1/28 | | 5,044 | 1,715 |
| 3% 6/15/25 | | 220 | 160 |
| Wayfair LLC 0.625% 10/1/25 | | 20,823 | 19,210 |
| | | | 21,085 |
TOTAL CONSUMER DISCRETIONARY | | | 177,399 |
| | | | |
| CONSUMER STAPLES - 0.9% | | | |
| Food Products - 0.4% | | | |
| Freshpet, Inc. 3% 4/1/28 (b) | | 1,700 | 2,989 |
| Post Holdings, Inc. 2.5% 8/15/27 | | 3,090 | 3,422 |
| | | | 6,411 |
| Tobacco - 0.5% | | | |
| Turning Point Brands, Inc. 2.5% 7/15/24 | | 9,442 | 9,300 |
| | | | |
TOTAL CONSUMER STAPLES | | | 15,711 |
| | | | |
| ENERGY - 3.0% | | | |
| Energy Equipment & Services - 0.3% | | | |
| Transocean, Inc.: | | | |
| 4% 12/15/25 | | 1,880 | 2,249 |
| 4.625% 9/30/29 | | 1,350 | 2,162 |
| | | | 4,411 |
| Oil, Gas & Consumable Fuels - 2.7% | | | |
| CNX Resources Corp. 2.25% 5/1/26 | | 2,524 | 4,255 |
| Northern Oil & Gas, Inc. 3.625% 4/15/29 | | 16,893 | 19,233 |
| Peabody Energy Corp. 3.25% 3/1/28 | | 2,047 | 2,933 |
| Permian Resources Operating LLC 3.25% 4/1/28 | | 2,479 | 6,557 |
| Pioneer Natural Resources Co. 0.25% 5/15/25 | | 4,525 | 11,485 |
| World Kinect Corp. 3.25% 7/1/28 (b) | | 2,580 | 2,686 |
| | | | 47,149 |
TOTAL ENERGY | | | 51,560 |
| | | | |
| FINANCIALS - 3.6% | | | |
| Capital Markets - 0.5% | | | |
| Coinbase Global, Inc. 0.5% 6/1/26 | | 9,327 | 9,243 |
| | | | |
| Consumer Finance - 1.0% | | | |
| Bread Financial Holdings, Inc. 4.25% 6/15/28 (b) | | 2,540 | 2,997 |
| LendingTree, Inc. 0.5% 7/15/25 | | 12,473 | 11,265 |
| SoFi Technologies, Inc. 0% 10/15/26 (b) | | 4,411 | 3,716 |
| | | | 17,978 |
| Financial Services - 2.1% | | | |
| Affirm Holdings, Inc. 0% 11/15/26 | | 5,457 | 4,406 |
| Block, Inc. 0.125% 3/1/25 | | 6,964 | 6,914 |
| Global Payments, Inc. 1.5% 3/1/31 (b) | | 17,580 | 17,800 |
| Shift4 Payments, Inc.: | | | |
| 0% 12/15/25 | | 3,621 | 4,300 |
| 0.5% 8/1/27 | | 2,014 | 1,973 |
| | | | 35,393 |
TOTAL FINANCIALS | | | 62,614 |
| | | | |
| HEALTH CARE - 9.8% | | | |
| Biotechnology - 3.4% | | | |
| Alnylam Pharmaceuticals, Inc. 1% 9/15/27 | | 4,620 | 4,320 |
| BridgeBio Pharma, Inc. 2.25% 2/1/29 | | 14,240 | 11,734 |
| Cytokinetics, Inc. 3.5% 7/1/27 | | 5,101 | 8,170 |
| Dynavax Technologies Corp. 2.5% 5/15/26 | | 200 | 272 |
| Exact Sciences Corp. 2% 3/1/30 (b) | | 7,298 | 7,466 |
| Immunocore Holdings PLC 2.5% 2/1/30 (b) | | 3,806 | 3,943 |
| Insmed, Inc. 0.75% 6/1/28 | | 3,200 | 3,472 |
| Mirum Pharmaceuticals, Inc. 4% 5/1/29 (b) | | 2,160 | 2,612 |
| Natera, Inc. 2.25% 5/1/27 | | 1,392 | 3,159 |
| Neurocrine Biosciences, Inc. 2.25% 5/15/24 | | 1,600 | 2,734 |
| Sarepta Therapeutics, Inc.: | | | |
| 1.25% 9/15/27 | | 8,220 | 9,504 |
| 1.5% 11/15/24 | | 760 | 1,327 |
| | | | 58,713 |
| Health Care Equipment & Supplies - 4.0% | | | |
| CONMED Corp. 2.25% 6/15/27 | | 2,740 | 2,484 |
| DexCom, Inc.: | | | |
| 0.25% 11/15/25 | | 2,500 | 2,521 |
| 0.375% 5/15/28(b) | | 5,597 | 5,435 |
| Enovis Corp. 3.875% 10/15/28 (b) | | 2,840 | 3,536 |
| Envista Holdings Corp. 2.375% 6/1/25 | | 3,649 | 4,126 |
| Glaukos Corp. 2.75% 6/15/27 | | 2,154 | 3,622 |
| Insulet Corp. 0.375% 9/1/26 | | 3,592 | 3,590 |
| Integer Holdings Corp. 2.125% 2/15/28 | | 6,389 | 8,817 |
| Lantheus Holdings, Inc. 2.625% 12/15/27 | | 2,990 | 3,398 |
| LivaNova U.S.A., Inc. 3% 12/15/25 | | 4,024 | 4,624 |
| Merit Medical Systems, Inc. 3% 2/1/29 (b) | | 5,903 | 6,508 |
| NuVasive, Inc. 0.375% 3/15/25 | | 3,750 | 3,529 |
| Omnicell, Inc. 0.25% 9/15/25 | | 2,491 | 2,303 |
| Shockwave Medical, Inc. 1% 8/15/28 (b) | | 9,339 | 10,497 |
| TransMedics Group, Inc. 1.5% 6/1/28 (b) | | 4,056 | 4,543 |
| | | | 69,533 |
| Health Care Providers & Services - 1.0% | | | |
| Accolade, Inc. 0.5% 4/1/26 | | 15,909 | 13,452 |
| Guardant Health, Inc. 0% 11/15/27 | | 4,885 | 3,294 |
| Opko Health, Inc. 3.75% 1/15/29 (b) | | 859 | 825 |
| | | | 17,571 |
| Health Care Technology - 0.7% | | | |
| Evolent Health, Inc. 3.5% 12/1/29 (b) | | 4,293 | 5,021 |
| Health Catalyst, Inc. 2.5% 4/15/25 | | 1,647 | 1,554 |
| Teladoc Health, Inc. 1.25% 6/1/27 | | 5,479 | 4,544 |
| Veradigm, Inc. 0.875% 1/1/27 | | 161 | 161 |
| | | | 11,280 |
| Life Sciences Tools & Services - 0.3% | | | |
| Repligen Corp. 1% 12/15/28 (b) | | 4,231 | 4,919 |
| | | | |
| Pharmaceuticals - 0.4% | | | |
| Amphastar Pharmaceuticals, Inc. 2% 3/15/29 (b) | | 2,130 | 2,168 |
| Jazz Investments I Ltd. 2% 6/15/26 | | 4,936 | 4,884 |
| | | | 7,052 |
TOTAL HEALTH CARE | | | 169,068 |
| | | | |
| INDUSTRIALS - 7.1% | | | |
| Aerospace & Defense - 1.1% | | | |
| Axon Enterprise, Inc. 0.5% 12/15/27 | | 7,390 | 10,564 |
| Rocket Lab U.S.A., Inc. 4.25% 2/1/29 (b) | | 3,235 | 3,639 |
| Spirit Aerosystems, Inc. 3.25% 11/1/28 (b) | | 4,720 | 5,756 |
| | | | 19,959 |
| Commercial Services & Supplies - 0.3% | | | |
| Tetra Tech, Inc. 2.25% 8/15/28 (b) | | 4,340 | 4,626 |
| | | | |
| Construction & Engineering - 0.6% | | | |
| Fluor Corp. 1.125% 8/15/29 (b) | | 5,528 | 5,702 |
| Granite Construction, Inc. 3.75% 5/15/28 (b) | | 4,100 | 5,211 |
| | | | 10,913 |
| Electrical Equipment - 0.5% | | | |
| Array Technologies, Inc. 1% 12/1/28 | | 2,989 | 2,627 |
| Bloom Energy Corp. NULL 3% 6/1/28 (b) | | 2,530 | 2,026 |
| Sunrun, Inc. 4% 3/1/30 (b) | | 3,880 | 3,696 |
| | | | 8,349 |
| Ground Transportation - 1.8% | | | |
| Lyft, Inc. 1.5% 5/15/25 | | 2,024 | 1,946 |
| Uber Technologies, Inc.: | | | |
| 0% 12/15/25 | | 5,200 | 5,920 |
| 0.875% 12/1/28(b) | | 18,575 | 23,284 |
| | | | 31,150 |
| Machinery - 0.6% | | | |
| John Bean Technologies Corp. 0.25% 5/15/26 | | 4,147 | 3,791 |
| Middleby Corp. 1% 9/1/25 | | 4,800 | 6,000 |
| | | | 9,791 |
| Passenger Airlines - 1.5% | | | |
| American Airlines Group, Inc. 6.5% 7/1/25 | | 7,782 | 9,124 |
| JetBlue Airways Corp. 0.5% 4/1/26 | | 9,283 | 7,841 |
| Southwest Airlines Co. 1.25% 5/1/25 | | 6,884 | 7,411 |
| Spirit Airlines, Inc. 1% 5/15/26 | | 2,155 | 996 |
| | | | 25,372 |
| Professional Services - 0.7% | | | |
| CSG Systems International, Inc. 3.875% 9/15/28 (b) | | 2,860 | 2,884 |
| Parsons Corp. 2.625% 3/1/29 (b) | | 9,482 | 10,056 |
| | | | 12,940 |
TOTAL INDUSTRIALS | | | 123,100 |
| | | | |
| INFORMATION TECHNOLOGY - 28.0% | | | |
| Communications Equipment - 0.7% | | | |
| Lumentum Holdings, Inc.: | | | |
| 0.5% 12/15/26 | | 5,074 | 4,473 |
| 0.5% 6/15/28 | | 5,800 | 4,493 |
| 1.5% 12/15/29(b) | | 3,345 | 3,183 |
| | | | 12,149 |
| Electronic Equipment, Instruments & Components - 1.1% | | | |
| Advanced Energy Industries, Inc. 2.5% 9/15/28 (b) | | 2,625 | 2,664 |
| Insight Enterprises, Inc. 0.75% 2/15/25 | | 4,330 | 11,918 |
| Par Technology Corp. 1.5% 10/15/27 | | 261 | 235 |
| Vishay Intertechnology, Inc. 2.25% 9/15/30 (b) | | 3,500 | 3,245 |
| | | | 18,062 |
| IT Services - 5.4% | | | |
| Akamai Technologies, Inc.: | | | |
| 0.125% 5/1/25 | | 8,678 | 10,379 |
| 0.375% 9/1/27 | | 9,041 | 9,621 |
| 1.125% 2/15/29(b) | | 9,537 | 9,873 |
| BigCommerce Holdings, Inc. 0.25% 10/1/26 | | 5,219 | 4,296 |
| Cloudflare, Inc. 0% 8/15/26 | | 9,299 | 8,634 |
| Digitalocean Holdings, Inc. 0% 12/1/26 | | 11,329 | 9,364 |
| Fastly, Inc. 0% 3/15/26 | | 6,880 | 6,151 |
| MongoDB, Inc. 0.25% 1/15/26 | | 8,415 | 18,029 |
| Okta, Inc.: | | | |
| 0.125% 9/1/25 | | 4,621 | 4,447 |
| 0.375% 6/15/26 | | 3,932 | 3,631 |
| Perficient, Inc. 0.125% 11/15/26 | | 4,337 | 3,681 |
| Wix.com Ltd. 0% 8/15/25 | | 6,688 | 6,123 |
| | | | 94,229 |
| Semiconductors & Semiconductor Equipment - 3.0% | | | |
| MACOM Technology Solutions Holdings, Inc. 0.25% 3/15/26 | | 3,437 | 4,090 |
| Microchip Technology, Inc. 0.125% 11/15/24 | | 6,754 | 7,020 |
| ON Semiconductor Corp.: | | | |
| 0% 5/1/27 | | 7,620 | 11,902 |
| 0.5% 3/1/29(b) | | 13,299 | 13,419 |
| Veeco Instruments, Inc. 2.875% 6/1/29 (b) | | 820 | 1,159 |
| Wolfspeed, Inc.: | | | |
| 0.25% 2/15/28 | | 7,555 | 4,174 |
| 1.75% 5/1/26 | | 2,078 | 1,839 |
| 1.875% 12/1/29 | | 17,235 | 8,979 |
| | | | 52,582 |
| Software - 15.9% | | | |
| Altair Engineering, Inc. 1.75% 6/15/27 | | 4,600 | 5,981 |
| Avalara, Inc. 0.25% 8/1/26 | | 3,525 | 3,499 |
| Bentley Systems, Inc.: | | | |
| 0.125% 1/15/26 | | 3,500 | 3,426 |
| 0.375% 7/1/27 | | 4,676 | 4,145 |
| Bill Holdings, Inc.: | | | |
| 0% 12/1/25 | | 5,355 | 4,894 |
| 0% 4/1/27 | | 9,083 | 7,534 |
| BlackLine, Inc. 0% 3/15/26 | | 14,471 | 12,879 |
| Box, Inc. 0% 1/15/26 | | 2,533 | 2,833 |
| Confluent, Inc. 0% 1/15/27 | | 5,296 | 4,553 |
| CyberArk Software Ltd. 0% 11/15/24 | | 2,489 | 4,216 |
| Datadog, Inc. 0.125% 6/15/25 | | 5,010 | 7,445 |
| Dropbox, Inc.: | | | |
| 0% 3/1/26 | | 1,969 | 1,846 |
| 0% 3/1/28 | | 2,025 | 1,866 |
| Everbridge, Inc.: | | | |
| 0% 3/15/26 | | 3,157 | 3,072 |
| 0.125% 12/15/24 | | 4,904 | 4,776 |
| Five9, Inc. 1% 3/15/29 (b) | | 11,535 | 11,789 |
| Guidewire Software, Inc. 1.25% 3/15/25 | | 2,797 | 3,249 |
| HubSpot, Inc. 0.375% 6/1/25 | | 3,258 | 7,181 |
| InterDigital, Inc. 3.5% 6/1/27 | | 3,270 | 4,719 |
| LivePerson, Inc. 0% 12/15/26 | | 6,227 | 3,409 |
| MicroStrategy, Inc.: | | | |
| 0% 2/15/27 | | 10,537 | 10,891 |
| 0.75% 12/15/25 | | 3,219 | 8,323 |
| Pagerduty, Inc.: | | | |
| 1.25% 7/1/25 | | 1,647 | 1,584 |
| 1.5% 10/15/28(b) | | 3,330 | 3,655 |
| Palo Alto Networks, Inc. 0.375% 6/1/25 | | 11,062 | 34,527 |
| Pegasystems, Inc. 0.75% 3/1/25 | | 10,916 | 10,485 |
| Progress Software Corp.: | | | |
| 1% 4/15/26 | | 3,982 | 4,153 |
| 3.5% 3/1/30(b) | | 5,450 | 5,534 |
| Q2 Holdings, Inc. 0.75% 6/1/26 | | 2,453 | 2,290 |
| Rapid7, Inc.: | | | |
| 0.25% 3/15/27 | | 213 | 192 |
| 1.25% 3/15/29(b) | | 4,420 | 4,955 |
| RingCentral, Inc. 0% 3/15/26 | | 8,484 | 7,540 |
| Splunk, Inc.: | | | |
| 1.125% 9/15/25 | | 6,242 | 7,041 |
| 1.125% 6/15/27 | | 9,600 | 9,461 |
| Tyler Technologies, Inc. 0.25% 3/15/26 | | 5,401 | 5,514 |
| Unity Software, Inc. 0% 11/15/26 | | 31,727 | 26,635 |
| Varonis Systems, Inc. 1.25% 8/15/25 | | 3,772 | 6,402 |
| Workiva, Inc. 1.25% 8/15/28 (b) | | 10,088 | 9,397 |
| Zscaler, Inc. 0.125% 7/1/25 | | 8,480 | 13,924 |
| | | | 275,815 |
| Technology Hardware, Storage & Peripherals - 1.9% | | | |
| Seagate HDD Cayman 3.5% 6/1/28 (b) | | 11,380 | 14,258 |
| Super Micro Computer, Inc. 0% 3/1/29 (b) | | 2,566 | 2,609 |
| Western Digital Corp. 3% 11/15/28 (b) | | 12,600 | 16,632 |
| | | | 33,499 |
TOTAL INFORMATION TECHNOLOGY | | | 486,336 |
| | | | |
| MATERIALS - 0.9% | | | |
| Chemicals - 0.1% | | | |
| Livent Corp. 4.125% 7/15/25 | | 1,084 | 1,674 |
| | | | |
| Metals & Mining - 0.8% | | | |
| ATI, Inc. 3.5% 6/15/25 | | 1,077 | 3,432 |
| Equinox Gold Corp. 4.75% 10/15/28 (b) | | 1,910 | 1,861 |
| MP Materials Corp. 0.25% 4/1/26 (b) | | 3,129 | 2,690 |
| United States Steel Corp. 5% 11/1/26 | | 1,447 | 5,118 |
| | | | 13,101 |
TOTAL MATERIALS | | | 14,775 |
| | | | |
| REAL ESTATE - 3.2% | | | |
| Equity Real Estate Investment Trusts (REITs) - 1.6% | | | |
| Federal Realty OP LP 3.25% 1/15/29 (b) | | 1,611 | 1,559 |
| Ventas Realty LP 3.75% 6/1/26 (b) | | 13,928 | 13,844 |
| Welltower OP LLC 2.75% 5/15/28 (b) | | 12,150 | 13,387 |
| | | | 28,790 |
| Real Estate Management & Development - 1.6% | | | |
| Redfin Corp.: | | | |
| 0% 10/15/25 | | 2,410 | 2,036 |
| 0.5% 4/1/27 | | 16,564 | 9,457 |
| Zillow Group, Inc.: | | | |
| 0.75% 9/1/24 | | 4,458 | 5,844 |
| 1.375% 9/1/26 | | 7,320 | 9,749 |
| | | | 27,086 |
TOTAL REAL ESTATE | | | 55,876 |
| | | | |
| UTILITIES - 8.8% | | | |
| Electric Utilities - 6.7% | | | |
| Alliant Energy Corp. 3.875% 3/15/26 (b) | | 2,600 | 2,521 |
| Duke Energy Corp. 4.125% 4/15/26 (b) | | 22,045 | 21,626 |
| Evergy, Inc. 4.5% 12/15/27 (b) | | 13,500 | 13,366 |
| FirstEnergy Corp. 4% 5/1/26 (b) | | 13,330 | 13,090 |
| NextEra Energy Capital Holdings, Inc. 3% 3/1/27 (b) | | 6,018 | 6,033 |
| NRG Energy, Inc. 2.75% 6/1/48 | | 6,911 | 9,454 |
| PG&E Corp. 4.25% 12/1/27 (b) | | 21,152 | 21,131 |
| PPL Capital Funding, Inc. 2.875% 3/15/28 | | 7,740 | 7,305 |
| Southern Co. 3.875% 12/15/25 (b) | | 21,975 | 21,536 |
| | | | 116,062 |
| Independent Power and Renewable Electricity Producers - 0.9% | | | |
| NextEra Energy Partners LP 0% 11/15/25 (b) | | 15,350 | 13,526 |
| Ormat Technologies, Inc. 2.5% 7/15/27 | | 1,700 | 1,623 |
| | | | 15,149 |
| Multi-Utilities - 0.7% | | | |
| CenterPoint Energy, Inc. 4.25% 8/15/26 (b) | | 6,974 | 6,876 |
| CMS Energy Corp. 3.375% 5/1/28 (b) | | 6,460 | 6,263 |
| | | | 13,139 |
| Water Utilities - 0.5% | | | |
| American Water Capital Corp. 3.625% 6/15/26 (b) | | 8,918 | 8,650 |
| | | | |
TOTAL UTILITIES | | | 153,000 |
| | | | |
| TOTAL CONVERTIBLE BONDS | | | 1,417,442 |
| Nonconvertible Bonds - 1.1% | | | |
| COMMUNICATION SERVICES - 0.5% | | | |
| Media - 0.5% | | | |
| Gannett Holdings LLC 6% 11/1/26 (b) | | 9,985 | 9,023 |
| | | | |
| CONSUMER DISCRETIONARY - 0.5% | | | |
| Broadline Retail - 0.5% | | | |
| Match Group Holdings II LLC 3.625% 10/1/31 (b) | | 8,840 | 7,448 |
| | | | |
| INFORMATION TECHNOLOGY - 0.1% | | | |
| Software - 0.1% | | | |
| Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (b) | | 2,055 | 1,884 |
| | | | |
| TOTAL NONCONVERTIBLE BONDS | | | 18,355 |
| TOTAL CORPORATE BONDS (Cost $1,321,209) | | | 1,435,797 |
| | | | |
Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
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.
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
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 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.
Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy.
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
Equity Risk - Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.
The Fund used exchange-traded options to manage its exposure to the stock market.
Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
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.
