UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04707
Fidelity Advisor Series II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210
(Address of principal executive offices) (Zip code)
Margaret Carey, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | December 31 |
Date of reporting period: | June 30, 2024 |
Item 1.
Reports to Stockholders
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JUNE 30, 2024 | ||
| Fidelity Advisor® Strategic Income Fund Fidelity Advisor® Strategic Income Fund Class Z : FIWDX | |
Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | ||
Class Z | $ 30 | 0.61% |
KEY FACTS | ||
Fund Size | $13,585,628,993 | |
Number of Holdings | 1,050 | |
Portfolio Turnover | 87% |
(as of June 30, 2024)
U.S. Government and U.S. Government Agency Obligations | 24.6 |
AAA | 0.6 |
AA | 1.2 |
A | 2.9 |
BBB | 9.3 |
BB | 15.0 |
B | 19.0 |
CCC,CC,C | 5.1 |
D | 0.0 |
Not Rated | 9.1 |
Equities | 7.0 |
Short-Term Investments and Net Other Assets (Liabilities) | 6.2 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
High-Yield Debt | 40.9 |
U.S. Government & Investment Grade-Debt | 30.2 |
Emerging-Markets Debt | 15.5 |
Foreign Developed-Markets Debt | 7.9 |
Floating-Rate debt | 5.4 |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1 |
ASSET ALLOCATION (% of Fund's net assets) |
United States | 74.0 |
Germany | 3.8 |
United Kingdom | 2.1 |
Mexico | 1.6 |
Canada | 1.3 |
Brazil | 1.2 |
France | 1.1 |
Saudi Arabia | 0.9 |
Turkey | 0.8 |
Others | 13.2 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
TOP HOLDINGS (% of Fund's net assets) | ||
US Treasury Notes | 17.2 | |
US Treasury Bonds | 6.1 | |
Freddie Mac Multifamily Structured Pass Through Certificates | 2.7 | |
German Federal Republic | 2.6 | |
Freddie Mac Gold Pool | 1.0 | |
TransDigm Inc | 1.0 | |
Fannie Mae Guaranteed REMICS | 0.8 | |
Republic of Turkiye/The | 0.7 | |
Bank of America Corp | 0.7 | |
Fannie Mae Mortgage pass-thru certificates | 0.6 | |
33.4 | ||
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. | ||
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9916027.100 3286-TSRS-0824 |
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JUNE 30, 2024 | ||
| Fidelity Advisor® Strategic Income Fund Fidelity Advisor® Strategic Income Fund Class C : FSRCX | |
Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | ||
Class C | $ 86 | 1.71% |
KEY FACTS | ||
Fund Size | $13,585,628,993 | |
Number of Holdings | 1,050 | |
Portfolio Turnover | 87% |
(as of June 30, 2024)
U.S. Government and U.S. Government Agency Obligations | 24.6 |
AAA | 0.6 |
AA | 1.2 |
A | 2.9 |
BBB | 9.3 |
BB | 15.0 |
B | 19.0 |
CCC,CC,C | 5.1 |
D | 0.0 |
Not Rated | 9.1 |
Equities | 7.0 |
Short-Term Investments and Net Other Assets (Liabilities) | 6.2 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
High-Yield Debt | 40.9 |
U.S. Government & Investment Grade-Debt | 30.2 |
Emerging-Markets Debt | 15.5 |
Foreign Developed-Markets Debt | 7.9 |
Floating-Rate debt | 5.4 |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1 |
ASSET ALLOCATION (% of Fund's net assets) |
United States | 74.0 |
Germany | 3.8 |
United Kingdom | 2.1 |
Mexico | 1.6 |
Canada | 1.3 |
Brazil | 1.2 |
France | 1.1 |
Saudi Arabia | 0.9 |
Turkey | 0.8 |
Others | 13.2 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
TOP HOLDINGS (% of Fund's net assets) | ||
US Treasury Notes | 17.2 | |
US Treasury Bonds | 6.1 | |
Freddie Mac Multifamily Structured Pass Through Certificates | 2.7 | |
German Federal Republic | 2.6 | |
Freddie Mac Gold Pool | 1.0 | |
TransDigm Inc | 1.0 | |
Fannie Mae Guaranteed REMICS | 0.8 | |
Republic of Turkiye/The | 0.7 | |
Bank of America Corp | 0.7 | |
Fannie Mae Mortgage pass-thru certificates | 0.6 | |
33.4 | ||
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. | ||
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9916028.100 523-TSRS-0824 |
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JUNE 30, 2024 | ||
| Fidelity Advisor® Strategic Income Fund Fidelity Advisor® Strategic Income Fund Class I : FSRIX | |
Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | ||
Class I | $ 36 | 0.71% |
KEY FACTS | ||
Fund Size | $13,585,628,993 | |
Number of Holdings | 1,050 | |
Portfolio Turnover | 87% |
(as of June 30, 2024)
U.S. Government and U.S. Government Agency Obligations | 24.6 |
AAA | 0.6 |
AA | 1.2 |
A | 2.9 |
BBB | 9.3 |
BB | 15.0 |
B | 19.0 |
CCC,CC,C | 5.1 |
D | 0.0 |
Not Rated | 9.1 |
Equities | 7.0 |
Short-Term Investments and Net Other Assets (Liabilities) | 6.2 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
High-Yield Debt | 40.9 |
U.S. Government & Investment Grade-Debt | 30.2 |
Emerging-Markets Debt | 15.5 |
Foreign Developed-Markets Debt | 7.9 |
Floating-Rate debt | 5.4 |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1 |
ASSET ALLOCATION (% of Fund's net assets) |
United States | 74.0 |
Germany | 3.8 |
United Kingdom | 2.1 |
Mexico | 1.6 |
Canada | 1.3 |
Brazil | 1.2 |
France | 1.1 |
Saudi Arabia | 0.9 |
Turkey | 0.8 |
Others | 13.2 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
TOP HOLDINGS (% of Fund's net assets) | ||
US Treasury Notes | 17.2 | |
US Treasury Bonds | 6.1 | |
Freddie Mac Multifamily Structured Pass Through Certificates | 2.7 | |
German Federal Republic | 2.6 | |
Freddie Mac Gold Pool | 1.0 | |
TransDigm Inc | 1.0 | |
Fannie Mae Guaranteed REMICS | 0.8 | |
Republic of Turkiye/The | 0.7 | |
Bank of America Corp | 0.7 | |
Fannie Mae Mortgage pass-thru certificates | 0.6 | |
33.4 | ||
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. | ||
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9916030.100 648-TSRS-0824 |
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JUNE 30, 2024 | ||
| Fidelity Advisor® Strategic Income Fund Fidelity Advisor® Strategic Income Fund Class A : FSTAX | |
Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | ||
Class A | $ 48 | 0.95% |
KEY FACTS | ||
Fund Size | $13,585,628,993 | |
Number of Holdings | 1,050 | |
Portfolio Turnover | 87% |
(as of June 30, 2024)
U.S. Government and U.S. Government Agency Obligations | 24.6 |
AAA | 0.6 |
AA | 1.2 |
A | 2.9 |
BBB | 9.3 |
BB | 15.0 |
B | 19.0 |
CCC,CC,C | 5.1 |
D | 0.0 |
Not Rated | 9.1 |
Equities | 7.0 |
Short-Term Investments and Net Other Assets (Liabilities) | 6.2 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
High-Yield Debt | 40.9 |
U.S. Government & Investment Grade-Debt | 30.2 |
Emerging-Markets Debt | 15.5 |
Foreign Developed-Markets Debt | 7.9 |
Floating-Rate debt | 5.4 |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1 |
ASSET ALLOCATION (% of Fund's net assets) |
United States | 74.0 |
Germany | 3.8 |
United Kingdom | 2.1 |
Mexico | 1.6 |
Canada | 1.3 |
Brazil | 1.2 |
France | 1.1 |
Saudi Arabia | 0.9 |
Turkey | 0.8 |
Others | 13.2 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
TOP HOLDINGS (% of Fund's net assets) | ||
US Treasury Notes | 17.2 | |
US Treasury Bonds | 6.1 | |
Freddie Mac Multifamily Structured Pass Through Certificates | 2.7 | |
German Federal Republic | 2.6 | |
Freddie Mac Gold Pool | 1.0 | |
TransDigm Inc | 1.0 | |
Fannie Mae Guaranteed REMICS | 0.8 | |
Republic of Turkiye/The | 0.7 | |
Bank of America Corp | 0.7 | |
Fannie Mae Mortgage pass-thru certificates | 0.6 | |
33.4 | ||
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. | ||
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9916025.100 260-TSRS-0824 |
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JUNE 30, 2024 | ||
| Fidelity Advisor® Strategic Income Fund Fidelity® Strategic Income Fund : FADMX | |
Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | ||
Fidelity® Strategic Income Fund | $ 33 | 0.66% |
KEY FACTS | ||
Fund Size | $13,585,628,993 | |
Number of Holdings | 1,050 | |
Portfolio Turnover | 87% |
(as of June 30, 2024)
U.S. Government and U.S. Government Agency Obligations | 24.6 |
AAA | 0.6 |
AA | 1.2 |
A | 2.9 |
BBB | 9.3 |
BB | 15.0 |
B | 19.0 |
CCC,CC,C | 5.1 |
D | 0.0 |
Not Rated | 9.1 |
Equities | 7.0 |
Short-Term Investments and Net Other Assets (Liabilities) | 6.2 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
High-Yield Debt | 40.9 |
U.S. Government & Investment Grade-Debt | 30.2 |
Emerging-Markets Debt | 15.5 |
Foreign Developed-Markets Debt | 7.9 |
Floating-Rate debt | 5.4 |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1 |
ASSET ALLOCATION (% of Fund's net assets) |
United States | 74.0 |
Germany | 3.8 |
United Kingdom | 2.1 |
Mexico | 1.6 |
Canada | 1.3 |
Brazil | 1.2 |
France | 1.1 |
Saudi Arabia | 0.9 |
Turkey | 0.8 |
Others | 13.2 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
TOP HOLDINGS (% of Fund's net assets) | ||
US Treasury Notes | 17.2 | |
US Treasury Bonds | 6.1 | |
Freddie Mac Multifamily Structured Pass Through Certificates | 2.7 | |
German Federal Republic | 2.6 | |
Freddie Mac Gold Pool | 1.0 | |
TransDigm Inc | 1.0 | |
Fannie Mae Guaranteed REMICS | 0.8 | |
Republic of Turkiye/The | 0.7 | |
Bank of America Corp | 0.7 | |
Fannie Mae Mortgage pass-thru certificates | 0.6 | |
33.4 | ||
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. | ||
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9916026.100 3082-TSRS-0824 |
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JUNE 30, 2024 | ||
| Fidelity Advisor® Strategic Income Fund Fidelity Advisor® Strategic Income Fund Class M : FSIAX | |
Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | ||
Class M | $ 48 | 0.95% |
KEY FACTS | ||
Fund Size | $13,585,628,993 | |
Number of Holdings | 1,050 | |
Portfolio Turnover | 87% |
(as of June 30, 2024)
U.S. Government and U.S. Government Agency Obligations | 24.6 |
AAA | 0.6 |
AA | 1.2 |
A | 2.9 |
BBB | 9.3 |
BB | 15.0 |
B | 19.0 |
CCC,CC,C | 5.1 |
D | 0.0 |
Not Rated | 9.1 |
Equities | 7.0 |
Short-Term Investments and Net Other Assets (Liabilities) | 6.2 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
High-Yield Debt | 40.9 |
U.S. Government & Investment Grade-Debt | 30.2 |
Emerging-Markets Debt | 15.5 |
Foreign Developed-Markets Debt | 7.9 |
Floating-Rate debt | 5.4 |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1 |
ASSET ALLOCATION (% of Fund's net assets) |
United States | 74.0 |
Germany | 3.8 |
United Kingdom | 2.1 |
Mexico | 1.6 |
Canada | 1.3 |
Brazil | 1.2 |
France | 1.1 |
Saudi Arabia | 0.9 |
Turkey | 0.8 |
Others | 13.2 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
TOP HOLDINGS (% of Fund's net assets) | ||
US Treasury Notes | 17.2 | |
US Treasury Bonds | 6.1 | |
Freddie Mac Multifamily Structured Pass Through Certificates | 2.7 | |
German Federal Republic | 2.6 | |
Freddie Mac Gold Pool | 1.0 | |
TransDigm Inc | 1.0 | |
Fannie Mae Guaranteed REMICS | 0.8 | |
Republic of Turkiye/The | 0.7 | |
Bank of America Corp | 0.7 | |
Fannie Mae Mortgage pass-thru certificates | 0.6 | |
33.4 | ||
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. | ||
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9916029.100 638-TSRS-0824 |
Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
Financial Statements and Financial Highlights for Open-End Management Investment Companies
Contents
Corporate Bonds - 28.5% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Convertible Bonds - 0.5% | |||
COMMUNICATION SERVICES - 0.2% | |||
Media - 0.2% | |||
DISH Network Corp.: | |||
0% 12/15/25 | 16,561 | 12,174 | |
3.375% 8/15/26 | 24,978 | 15,490 | |
27,664 | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Hotels, Restaurants & Leisure - 0.1% | |||
New Cotai LLC 5% 2/24/27 (b) | 2,824 | 6,099 | |
FINANCIALS - 0.0% | |||
Capital Markets - 0.0% | |||
Coinbase Global, Inc. 0.25% 4/1/30 (c) | 3,680 | 3,544 | |
INFORMATION TECHNOLOGY - 0.2% | |||
Semiconductors & Semiconductor Equipment - 0.2% | |||
Wolfspeed, Inc. 1.875% 12/1/29 | 51,247 | 28,237 | |
TOTAL CONVERTIBLE BONDS | 65,544 | ||
Nonconvertible Bonds - 28.0% | |||
COMMUNICATION SERVICES - 1.8% | |||
Diversified Telecommunication Services - 0.7% | |||
Altice France SA: | |||
5.125% 1/15/29(c) | 1,265 | 825 | |
5.125% 7/15/29(c) | 39,385 | 25,900 | |
5.5% 1/15/28(c) | 9,830 | 6,732 | |
5.5% 10/15/29(c) | 29,470 | 19,423 | |
Frontier Communications Holdings LLC: | |||
5% 5/1/28(c) | 11,730 | 11,051 | |
5.875% 10/15/27(c) | 6,300 | 6,151 | |
Qwest Corp. 7.25% 9/15/25 | 955 | 929 | |
Sable International Finance Ltd. 5.75% 9/7/27 (c) | 13,364 | 12,875 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (c) | 9,200 | 8,694 | |
92,580 | |||
Entertainment - 0.0% | |||
Roblox Corp. 3.875% 5/1/30 (c) | 4,175 | 3,709 | |
Media - 0.9% | |||
Altice Financing SA: | |||
5% 1/15/28(c) | 8,025 | 6,102 | |
5.75% 8/15/29(c) | 11,895 | 8,636 | |
DISH DBS Corp. 5.75% 12/1/28 (c) | 6,925 | 4,801 | |
DISH Network Corp. 11.75% 11/15/27 (c) | 27,490 | 26,954 | |
Gannett Holdings LLC 6% 11/1/26 (c) | 4,000 | 3,819 | |
LCPR Senior Secured Financing DAC: | |||
5.125% 7/15/29(c) | 7,310 | 6,062 | |
6.75% 10/15/27(c) | 6,107 | 5,720 | |
Scripps Escrow II, Inc. 3.875% 1/15/29 (c) | 1,655 | 1,153 | |
Sirius XM Radio, Inc.: | |||
3.875% 9/1/31(c) | 5,645 | 4,608 | |
4% 7/15/28(c) | 4,890 | 4,417 | |
5% 8/1/27(c) | 4,610 | 4,413 | |
Univision Communications, Inc.: | |||
4.5% 5/1/29(c) | 5,760 | 4,841 | |
7.375% 6/30/30(c) | 18,475 | 17,185 | |
8.5% 7/31/31(c) | 3,900 | 3,788 | |
Videotron Ltd. 5.125% 4/15/27 (c) | 7,325 | 7,212 | |
VZ Secured Financing BV 5% 1/15/32 (c) | 11,130 | 9,490 | |
Ziggo BV 4.875% 1/15/30 (c) | 4,805 | 4,272 | |
123,473 | |||
Wireless Telecommunication Services - 0.2% | |||
C&W Senior Finance Ltd. 6.875% 9/15/27 (c) | 18,890 | 18,124 | |
Millicom International Cellular SA 4.5% 4/27/31 (c) | 1,040 | 893 | |
VMED O2 UK Financing I PLC 4.75% 7/15/31 (c) | 9,930 | 8,375 | |
27,392 | |||
TOTAL COMMUNICATION SERVICES | 247,154 | ||
CONSUMER DISCRETIONARY - 3.4% | |||
Automobile Components - 0.3% | |||
Adient Global Holdings Ltd. 7% 4/15/28 (c) | 2,805 | 2,871 | |
Clarios Global LP / Clarios U.S. Finance Co. 6.75% 5/15/28 (c) | 5,595 | 5,662 | |
Dana, Inc. 4.5% 2/15/32 | 4,150 | 3,564 | |
Hertz Corp.: | |||
4.625% 12/1/26(c) | 2,800 | 2,031 | |
5% 12/1/29(c) | 3,460 | 2,125 | |
5.5%(b)(c)(d) | 6,540 | 213 | |
6%(b)(c)(d) | 5,785 | 521 | |
6.25%(b)(d) | 6,775 | 220 | |
7.125%(b)(c)(d) | 6,315 | 568 | |
12.625% 7/15/29(c) | 1,245 | 1,287 | |
Macquarie AirFinance Holdings: | |||
6.4% 3/26/29(c) | 1,805 | 1,836 | |
6.5% 3/26/31(c) | 2,760 | 2,838 | |
8.125% 3/30/29(c) | 4,100 | 4,334 | |
Nesco Holdings II, Inc. 5.5% 4/15/29 (c) | 7,155 | 6,627 | |
Tenneco, Inc. 8% 11/17/28 (c) | 8,245 | 7,506 | |
42,203 | |||
Automobiles - 0.0% | |||
McLaren Finance PLC 7.5% 8/1/26 (c) | 3,860 | 3,355 | |
Broadline Retail - 0.0% | |||
Angi Group LLC 3.875% 8/15/28 (c) | 3,385 | 2,909 | |
Distributors - 0.0% | |||
Windsor Holdings III, LLC 8.5% 6/15/30 (c) | 2,790 | 2,912 | |
Diversified Consumer Services - 0.2% | |||
Adtalem Global Education, Inc. 5.5% 3/1/28 (c) | 4,235 | 4,074 | |
GEMS MENASA Cayman Ltd./GEMS Education Delaware LLC 7.125% 7/31/26 (c) | 5,300 | 5,267 | |
Service Corp. International 4% 5/15/31 | 5,750 | 5,121 | |
TKC Holdings, Inc. 6.875% 5/15/28 (c) | 9,328 | 9,044 | |
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (c) | 4,750 | 4,644 | |
28,150 | |||
Hotels, Restaurants & Leisure - 2.0% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
3.875% 1/15/28(c) | 5,685 | 5,325 | |
4% 10/15/30(c) | 23,490 | 20,678 | |
4.375% 1/15/28(c) | 6,265 | 5,909 | |
Bloomin Brands, Inc. / OSI Restaurant Partners LLC 5.125% 4/15/29 (c) | 2,720 | 2,449 | |
Boyd Gaming Corp. 4.75% 6/15/31 (c) | 7,140 | 6,471 | |
Carnival Corp.: | |||
4% 8/1/28(c) | 26,560 | 24,943 | |
7% 8/15/29(c) | 2,830 | 2,934 | |
7.625% 3/1/26(c) | 10,595 | 10,700 | |
Carnival Holdings (Bermuda) Ltd. 10.375% 5/1/28 (c) | 8,655 | 9,370 | |
Churchill Downs, Inc.: | |||
5.75% 4/1/30(c) | 6,975 | 6,775 | |
6.75% 5/1/31(c) | 5,595 | 5,625 | |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.: | |||
4.625% 1/15/29(c) | 11,750 | 10,700 | |
6.75% 1/15/30(c) | 15,885 | 13,950 | |
Garden SpinCo Corp. 8.625% 7/20/30 (c) | 2,545 | 2,748 | |
Hilton Domestic Operating Co., Inc.: | |||
3.75% 5/1/29(c) | 3,350 | 3,072 | |
4% 5/1/31(c) | 5,020 | 4,493 | |
4.875% 1/15/30 | 11,025 | 10,582 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 | 5,210 | 5,119 | |
Jacobs Entertainment, Inc. 6.75% 2/15/29 (c) | 3,955 | 3,668 | |
Light & Wonder International, Inc. 7.5% 9/1/31 (c) | 2,745 | 2,836 | |
McDonald's Corp. 4.25% 3/7/35 (Reg. S) | EUR | 7,433 | 8,216 |
Merlin Entertainments PLC 5.75% 6/15/26 (c) | 4,580 | 4,512 | |
MGM Resorts International 4.75% 10/15/28 | 6,740 | 6,417 | |
NCL Corp. Ltd. 5.875% 2/15/27 (c) | 5,580 | 5,507 | |
Ontario Gaming GTA LP / OTG Co. issuer, Inc. 8% 8/1/30 (c) | 5,640 | 5,788 | |
Papa John's International, Inc. 3.875% 9/15/29 (c) | 2,555 | 2,261 | |
Premier Entertainment Sub LLC: | |||
5.625% 9/1/29(c) | 5,095 | 3,664 | |
5.875% 9/1/31(c) | 1,015 | 690 | |
Royal Caribbean Cruises Ltd.: | |||
5.375% 7/15/27(c) | 4,165 | 4,101 | |
6.25% 3/15/32(c) | 5,295 | 5,339 | |
7.25% 1/15/30(c) | 2,810 | 2,910 | |
8.25% 1/15/29(c) | 12,500 | 13,198 | |
9.25% 1/15/29(c) | 16,510 | 17,625 | |
SeaWorld Parks & Entertainment, Inc. 5.25% 8/15/29 (c) | 5,630 | 5,320 | |
Station Casinos LLC 4.625% 12/1/31 (c) | 4,155 | 3,703 | |
Studio City Finance Ltd. 5% 1/15/29 (c) | 3,255 | 2,865 | |
Voc Escrow Ltd. 5% 2/15/28 (c) | 10,470 | 10,149 | |
Yum! Brands, Inc. 4.625% 1/31/32 | 5,905 | 5,431 | |
266,043 | |||
Household Durables - 0.3% | |||
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 4/1/30 (c) | 4,105 | 3,669 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (c) | 4,370 | 3,909 | |
Century Communities, Inc. 3.875% 8/15/29 (c) | 4,225 | 3,767 | |
LGI Homes, Inc. 8.75% 12/15/28 (c) | 2,680 | 2,791 | |
Tempur Sealy International, Inc.: | |||
3.875% 10/15/31(c) | 7,360 | 6,152 | |
4% 4/15/29(c) | 7,905 | 7,129 | |
TopBuild Corp. 3.625% 3/15/29 (c) | 3,030 | 2,719 | |
TRI Pointe Homes, Inc. 5.7% 6/15/28 | 8,715 | 8,547 | |
38,683 | |||
Specialty Retail - 0.5% | |||
Arko Corp. 5.125% 11/15/29 (c) | 4,190 | 3,648 | |
Asbury Automotive Group, Inc.: | |||
4.5% 3/1/28 | 1,987 | 1,883 | |
4.625% 11/15/29(c) | 4,555 | 4,210 | |
4.75% 3/1/30 | 1,980 | 1,835 | |
5% 2/15/32(c) | 4,915 | 4,453 | |
Bath & Body Works, Inc.: | |||
6.625% 10/1/30(c) | 6,650 | 6,671 | |
6.75% 7/1/36 | 8,920 | 8,881 | |
7.5% 6/15/29 | 5,030 | 5,181 | |
Carvana Co.: | |||
12% 12/1/28 pay-in-kind(c)(e) | 1,848 | 1,987 | |
13% 6/1/30 pay-in-kind(c)(e) | 2,785 | 3,048 | |
14% 6/1/31 pay-in-kind(c)(e) | 3,309 | 3,722 | |
LBM Acquisition LLC 6.25% 1/15/29 (c) | 8,415 | 7,438 | |
LCM Investments Holdings 8.25% 8/1/31 (c) | 3,345 | 3,490 | |
PetSmart, Inc. / PetSmart Finance Corp.: | |||
4.75% 2/15/28(c) | 5,700 | 5,295 | |
7.75% 2/15/29(c) | 4,135 | 4,027 | |
Wand NewCo 3, Inc. 7.625% 1/30/32 (c) | 5,325 | 5,500 | |
71,269 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Crocs, Inc.: | |||
4.125% 8/15/31(c) | 2,820 | 2,455 | |
4.25% 3/15/29(c) | 4,325 | 3,942 | |
Kontoor Brands, Inc. 4.125% 11/15/29 (c) | 2,420 | 2,191 | |
8,588 | |||
TOTAL CONSUMER DISCRETIONARY | 464,112 | ||
CONSUMER STAPLES - 1.1% | |||
Beverages - 0.1% | |||
Anheuser-Busch InBev SA NV 3.95% 3/22/44 (Reg. S) | EUR | 11,708 | 12,315 |
Triton Water Holdings, Inc. 6.25% 4/1/29 (c) | 3,135 | 3,024 | |
15,339 | |||
Consumer Staples Distribution & Retail - 0.5% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.5% 3/15/29(c) | 5,285 | 4,754 | |
4.625% 1/15/27(c) | 13,797 | 13,327 | |
4.875% 2/15/30(c) | 23,423 | 22,135 | |
C&S Group Enterprises LLC 5% 12/15/28 (c) | 5,155 | 3,710 | |
KeHE Distributor / Nextwave 9% 2/15/29 (c) | 9,625 | 9,865 | |
Performance Food Group, Inc.: | |||
4.25% 8/1/29(c) | 3,955 | 3,601 | |
5.5% 10/15/27(c) | 5,345 | 5,228 | |
U.S. Foods, Inc. 7.25% 1/15/32 (c) | 2,735 | 2,838 | |
United Natural Foods, Inc. 6.75% 10/15/28 (c) | 4,680 | 4,225 | |
69,683 | |||
Food Products - 0.4% | |||
Chobani LLC/Finance Corp., Inc. 4.625% 11/15/28 (c) | 3,790 | 3,579 | |
Darling Ingredients, Inc. 6% 6/15/30 (c) | 6,615 | 6,504 | |
Fiesta Purchaser, Inc. 7.875% 3/1/31 (c) | 5,015 | 5,182 | |
Lamb Weston Holdings, Inc.: | |||
4.125% 1/31/30(c) | 5,575 | 5,063 | |
4.375% 1/31/32(c) | 2,790 | 2,488 | |
Post Holdings, Inc.: | |||
4.5% 9/15/31(c) | 12,110 | 10,855 | |
4.625% 4/15/30(c) | 6,415 | 5,895 | |
5.5% 12/15/29(c) | 11,940 | 11,521 | |
Simmons Foods, Inc. 4.625% 3/1/29 (c) | 4,295 | 3,777 | |
54,864 | |||
Household Products - 0.0% | |||
Kronos Acquisition Holdings, Inc. 8.25% 6/30/31 (c)(f) | 5,190 | 5,195 | |
Spectrum Brands Holdings, Inc. 3.875% 3/15/31 (c) | 1,025 | 857 | |
6,052 | |||
Personal Care Products - 0.1% | |||
BellRing Brands, Inc. 7% 3/15/30 (c) | 6,925 | 7,097 | |
TOTAL CONSUMER STAPLES | 153,035 | ||
ENERGY - 4.0% | |||
Energy Equipment & Services - 0.6% | |||
Borr IHC Ltd. / Borr Finance Ltd.: | |||
10% 11/15/28(c) | 3,926 | 4,088 | |
10.375% 11/15/30(c) | 1,327 | 1,383 | |
Diamond Foreign Asset Co. / Diamond Finance, LLC 8.5% 10/1/30 (c) | 2,735 | 2,871 | |
Jonah Energy Parent LLC 12% 11/5/25 (b)(g) | 4,056 | 4,385 | |
Nabors Industries Ltd. 7.5% 1/15/28 (c) | 5,660 | 5,401 | |
Nabors Industries, Inc. 9.125% 1/31/30 (c) | 5,390 | 5,584 | |
Noble Finance II LLC 8% 4/15/30 (c) | 2,805 | 2,919 | |
NuStar Logistics LP 6% 6/1/26 | 7,285 | 7,274 | |
Seadrill Finance Ltd. 8.375% 8/1/30 (c) | 5,560 | 5,811 | |
Transocean Titan Finance Ltd. 8.375% 2/1/28 (c) | 5,815 | 6,002 | |
Transocean, Inc.: | |||
8% 2/1/27(c) | 3,591 | 3,579 | |
8.25% 5/15/29(c) | 1,955 | 1,963 | |
8.5% 5/15/31(c) | 1,955 | 1,956 | |
8.75% 2/15/30(c) | 10,062 | 10,564 | |
Valaris Ltd. 8.375% 4/30/30 (c) | 2,745 | 2,842 | |
Vallourec SA 7.5% 4/15/32 (c) | 5,325 | 5,511 | |
Viridien 8.75% 4/1/27 (c) | 5,895 | 5,618 | |
77,751 | |||
Oil, Gas & Consumable Fuels - 3.4% | |||
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||
5.375% 6/15/29(c) | 4,305 | 4,173 | |
5.75% 1/15/28(c) | 10,640 | 10,460 | |
BP Capital Markets BV 4.323% 5/12/35 (Reg. S) | EUR | 21,714 | 24,042 |
Chesapeake Energy Corp.: | |||
5.875% 2/1/29(c) | 3,115 | 3,084 | |
6.75% 4/15/29(c) | 4,415 | 4,423 | |
7%(b)(d) | 3,985 | 0 | |
8%(b)(d) | 1,240 | 0 | |
8%(b)(d) | 1,955 | 0 | |
Citgo Petroleum Corp.: | |||
6.375% 6/15/26(c) | 4,665 | 4,639 | |
7% 6/15/25(c) | 13,580 | 13,576 | |
8.375% 1/15/29(c) | 12,030 | 12,399 | |
Civitas Resources, Inc. 8.625% 11/1/30 (c) | 5,415 | 5,806 | |
CNX Midstream Partners LP 4.75% 4/15/30 (c) | 2,970 | 2,676 | |
CNX Resources Corp.: | |||
6% 1/15/29(c) | 3,200 | 3,131 | |
7.375% 1/15/31(c) | 2,885 | 2,950 | |
Comstock Resources, Inc.: | |||
5.875% 1/15/30(c) | 15,170 | 14,116 | |
6.75% 3/1/29(c) | 8,110 | 7,860 | |
CQP Holdco LP / BIP-V Chinook Holdco LLC: | |||
5.5% 6/15/31(c) | 12,715 | 12,053 | |
7.5% 12/15/33(c) | 7,110 | 7,375 | |
CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (c) | 2,450 | 2,430 | |
CVR Energy, Inc.: | |||
5.75% 2/15/28(c) | 24,505 | 22,723 | |
8.5% 1/15/29(c) | 18,735 | 18,812 | |
DT Midstream, Inc.: | |||
4.125% 6/15/29(c) | 4,285 | 3,959 | |
4.375% 6/15/31(c) | 4,285 | 3,903 | |
EG Global Finance PLC 12% 11/30/28 (c) | 41,430 | 44,110 | |
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (c) | 10,149 | 10,244 | |
Energy Transfer LP 5.5% 6/1/27 | 12,065 | 12,101 | |
EnLink Midstream LLC 6.5% 9/1/30 (c) | 8,635 | 8,838 | |
Global Partners LP/GLP Finance Corp. 8.25% 1/15/32 (c) | 3,315 | 3,407 | |
Gran Tierra Energy, Inc. 9.5% 10/15/29 (c) | 3,310 | 3,159 | |
Hess Midstream Operations LP: | |||
4.25% 2/15/30(c) | 4,590 | 4,213 | |
5.125% 6/15/28(c) | 6,600 | 6,390 | |
5.5% 10/15/30(c) | 2,775 | 2,682 | |
5.625% 2/15/26(c) | 9,140 | 9,071 | |
HF Sinclair Corp.: | |||
5% 2/1/28(c) | 4,350 | 4,214 | |
6.375% 4/15/27(c) | 2,780 | 2,786 | |
Hilcorp Energy I LP/Hilcorp Finance Co. 6.25% 11/1/28 (c) | 7,130 | 7,042 | |
Howard Midstream Energy Partners LLC 8.875% 7/15/28 (c) | 6,965 | 7,370 | |
Kinetik Holdings LP 5.875% 6/15/30 (c) | 4,180 | 4,119 | |
MEG Energy Corp. 7.125% 2/1/27 (c) | 2,520 | 2,555 | |
Mesquite Energy, Inc. 7.25% (b)(c)(d) | 12,834 | 0 | |
Murphy Oil U.S.A., Inc.: | |||
4.75% 9/15/29 | 4,155 | 3,936 | |
5.625% 5/1/27 | 3,665 | 3,623 | |
NGPL PipeCo LLC 4.875% 8/15/27 (c) | 1,800 | 1,760 | |
Northern Oil & Gas, Inc.: | |||
8.125% 3/1/28(c) | 2,715 | 2,746 | |
8.75% 6/15/31(c) | 5,510 | 5,782 | |
Occidental Petroleum Corp. 7.2% 3/15/29 | 2,440 | 2,589 | |
Parkland Corp.: | |||
4.5% 10/1/29(c) | 4,420 | 4,046 | |
4.625% 5/1/30(c) | 5,540 | 5,053 | |
PBF Holding Co. LLC/PBF Finance Corp.: | |||
6% 2/15/28 | 15,760 | 15,366 | |
7.875% 9/15/30(c) | 8,145 | 8,338 | |
Permian Resources Operating LLC 5.875% 7/1/29 (c) | 4,055 | 3,999 | |
Sitio Royalties OP / Sitio Finance Corp. 7.875% 11/1/28 (c) | 6,775 | 7,005 | |
SM Energy Co.: | |||
5.625% 6/1/25 | 4,400 | 4,381 | |
6.625% 1/15/27 | 12,830 | 12,779 | |
6.75% 9/15/26 | 3,175 | 3,176 | |
Southwestern Energy Co.: | |||
5.375% 3/15/30 | 5,630 | 5,439 | |
5.7% 1/23/25(h) | 149 | 149 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 | 5,515 | 5,158 | |
4.5% 4/30/30 | 5,550 | 5,134 | |
7% 9/15/28(c) | 2,735 | 2,803 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
5.5% 1/15/28(c) | 280 | 268 | |
6% 3/1/27(c) | 2,815 | 2,774 | |
6% 9/1/31(c) | 5,355 | 5,005 | |
Talos Production, Inc.: | |||
9% 2/1/29(c) | 2,345 | 2,461 | |
9.375% 2/1/31(c) | 2,660 | 2,808 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 4.875% 2/1/31 | 6,345 | 6,055 | |
Teine Energy Ltd. 6.875% 4/15/29 (c) | 4,420 | 4,325 | |
Unit Corp. 0% 12/1/29 (b) | 1,660 | 0 | |
Venture Global Calcasieu Pass LLC: | |||
3.875% 8/15/29(c) | 3,525 | 3,210 | |
4.125% 8/15/31(c) | 3,525 | 3,163 | |
6.25% 1/15/30(c) | 11,160 | 11,326 | |
461,548 | |||
TOTAL ENERGY | 539,299 | ||
FINANCIALS - 4.4% | |||
Banks - 0.8% | |||
AIB Group PLC 2.875% 5/30/31 (Reg. S) (e) | EUR | 5,810 | 6,032 |
Banco Santander SA 5.75% 8/23/33 (Reg. S) (e) | EUR | 17,100 | 19,098 |
Bank of Ireland Group PLC 6.75% 3/1/33 (Reg. S) (e) | EUR | 3,700 | 4,249 |
Banque Federative du Credit Mutuel SA 3.75% 2/3/34 (Reg. S) | EUR | 3,400 | 3,620 |
Barclays PLC: | |||
4.506% 1/31/33 (Reg. S)(e) | EUR | 17,677 | 19,292 |
5.262% 1/29/34 (Reg. S)(e) | EUR | 10,548 | 12,067 |
Commerzbank AG: | |||
4.625% 1/17/31 (Reg. S)(e) | EUR | 5,600 | 6,113 |
6.5% 12/6/32 (Reg. S)(e) | EUR | 2,700 | 3,052 |
6.75% 10/5/33 (Reg. S)(e) | EUR | 5,400 | 6,221 |
HSBC Holdings PLC Eur Swap Annual 5Y Index + 3.300% 6.364% 11/16/32 (Reg. S) (e)(i) | EUR | 10,572 | 12,004 |
NatWest Group PLC 5.763% 2/28/34 (Reg. S) (e) | EUR | 17,280 | 19,345 |
111,093 | |||
Capital Markets - 0.8% | |||
AssuredPartners, Inc.: | |||
5.625% 1/15/29(c) | 4,720 | 4,415 | |
7.5% 2/15/32(c) | 2,650 | 2,660 | |
Broadstreet Partners, Inc. 5.875% 4/15/29 (c) | 7,265 | 6,779 | |
Coinbase Global, Inc.: | |||
3.375% 10/1/28(c) | 13,780 | 11,814 | |
3.625% 10/1/31(c) | 8,370 | 6,711 | |
Deutsche Bank AG 4% 6/24/32 (Reg. S) (e) | EUR | 37,300 | 38,956 |
Hightower Holding LLC 6.75% 4/15/29 (c) | 2,870 | 2,685 | |
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (c) | 3,985 | 3,738 | |
MSCI, Inc. 4% 11/15/29 (c) | 1,920 | 1,794 | |
UBS Group AG: | |||
4.125% 6/9/33 (Reg. S)(e) | EUR | 7,926 | 8,563 |
4.75% 3/17/32 (Reg. S)(e) | EUR | 12,713 | 14,231 |
102,346 | |||
Consumer Finance - 0.9% | |||
Ally Financial, Inc.: | |||
8% 11/1/31 | 16,761 | 18,474 | |
8% 11/1/31 | 51,348 | 56,667 | |
OneMain Finance Corp.: | |||
4% 9/15/30 | 3,340 | 2,867 | |
5.375% 11/15/29 | 5,560 | 5,214 | |
6.625% 1/15/28 | 4,415 | 4,431 | |
7.125% 3/15/26 | 32,900 | 33,431 | |
7.875% 3/15/30 | 2,675 | 2,758 | |
123,842 | |||
Financial Services - 0.5% | |||
Block, Inc. 3.5% 6/1/31 | 5,745 | 4,956 | |
Compass Group Diversified Holdings LLC 5% 1/15/32 (c) | 2,765 | 2,502 | |
CRH SMW Finance DAC 4.25% 7/11/35 (Reg. S) | EUR | 16,057 | 17,543 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.375% 2/1/29 | 6,375 | 5,451 | |
5.25% 5/15/27 | 18,665 | 17,522 | |
6.25% 5/15/26 | 9,630 | 9,554 | |
James Hardie International Finance Ltd. 5% 1/15/28 (c) | 5,270 | 5,084 | |
MGIC Investment Corp. 5.25% 8/15/28 | 4,725 | 4,600 | |
NCR Atleos Corp. 9.5% 4/1/29 (c) | 4,090 | 4,420 | |
71,632 | |||
Insurance - 1.4% | |||
Acrisure LLC / Acrisure Finance, Inc.: | |||
6% 8/1/29(c) | 4,230 | 3,903 | |
7.5% 11/6/30(c) | 2,605 | 2,607 | |
8.25% 2/1/29(c) | 12,510 | 12,571 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer: | |||
4.25% 10/15/27(c) | 6,740 | 6,311 | |
5.875% 11/1/29(c) | 4,180 | 3,911 | |
6.75% 10/15/27(c) | 19,655 | 19,387 | |
6.75% 4/15/28(c) | 16,406 | 16,432 | |
7% 1/15/31(c) | 4,590 | 4,637 | |
AmWINS Group, Inc. 4.875% 6/30/29 (c) | 4,105 | 3,819 | |
ASR Nederland NV 7% 12/7/43 (Reg. S) (e) | EUR | 27,852 | 33,665 |
GTCR AP Finance, Inc. 8% 5/15/27 (c) | 2,715 | 2,721 | |
HUB International Ltd.: | |||
5.625% 12/1/29(c) | 16,470 | 15,576 | |
7.25% 6/15/30(c) | 17,925 | 18,375 | |
7.375% 1/31/32(c) | 6,655 | 6,749 | |
MAPFRE SA 2.875% 4/13/30 (Reg. S) | EUR | 12,900 | 12,809 |
NN Group NV 6% 11/3/43 (Reg. S) (e) | EUR | 11,341 | 13,112 |
Panther Escrow Issuer LLC 7.125% 6/1/31 (c) | 9,115 | 9,219 | |
Sampo Oyj 2.5% 9/3/52 (Reg. S) (e) | EUR | 2,579 | 2,377 |
USI, Inc. 7.5% 1/15/32 (c) | 3,540 | 3,595 | |
191,776 | |||
TOTAL FINANCIALS | 600,689 | ||
HEALTH CARE - 1.6% | |||
Biotechnology - 0.0% | |||
Grifols SA 4.75% 10/15/28 (c) | 2,795 | 2,412 | |
Health Care Equipment & Supplies - 0.1% | |||
Avantor Funding, Inc. 3.875% 11/1/29 (c) | 2,790 | 2,537 | |
Bausch + Lomb Corp. 8.375% 10/1/28 (c) | 5,470 | 5,600 | |
Hologic, Inc. 4.625% 2/1/28 (c) | 2,505 | 2,397 | |
10,534 | |||
Health Care Providers & Services - 0.9% | |||
180 Medical, Inc. 3.875% 10/15/29 (c) | 2,995 | 2,711 | |
Cano Health, Inc. 6.25% 10/1/28 (c)(d) | 1,865 | 2 | |
CHS/Community Health Systems, Inc.: | |||
4.75% 2/15/31(c) | 11,430 | 8,987 | |
5.25% 5/15/30(c) | 8,305 | 6,847 | |
6% 1/15/29(c) | 4,940 | 4,360 | |
6.125% 4/1/30(c) | 10,425 | 7,295 | |
10.875% 1/15/32(c) | 8,565 | 8,914 | |
DaVita, Inc.: | |||
3.75% 2/15/31(c) | 2,075 | 1,770 | |
4.625% 6/1/30(c) | 15,850 | 14,323 | |
HealthEquity, Inc. 4.5% 10/1/29 (c) | 2,950 | 2,757 | |
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (c) | 3,250 | 2,290 | |
Molina Healthcare, Inc.: | |||
3.875% 11/15/30(c) | 6,345 | 5,641 | |
3.875% 5/15/32(c) | 5,560 | 4,818 | |
4.375% 6/15/28(c) | 4,690 | 4,414 | |
Tenet Healthcare Corp.: | |||
5.125% 11/1/27 | 10,955 | 10,721 | |
6.125% 6/15/30 | 13,945 | 13,847 | |
6.25% 2/1/27 | 20,050 | 20,037 | |
6.75% 5/15/31 | 2,715 | 2,756 | |
122,490 | |||
Health Care Technology - 0.0% | |||
IQVIA, Inc. 5% 5/15/27 (c) | 5,660 | 5,522 | |
Life Sciences Tools & Services - 0.1% | |||
Charles River Laboratories International, Inc.: | |||
4% 3/15/31(c) | 6,035 | 5,383 | |
4.25% 5/1/28(c) | 2,045 | 1,930 | |
7,313 | |||
Pharmaceuticals - 0.5% | |||
Bausch Health Companies, Inc.: | |||
4.875% 6/1/28(c) | 7,635 | 5,714 | |
5.75% 8/15/27(c) | 8,145 | 6,465 | |
6.125% 2/1/27(c) | 14,026 | 11,677 | |
11% 9/30/28(c) | 2,275 | 2,025 | |
Bayer AG: | |||
5.375% 3/25/82 (Reg. S)(e) | EUR | 3,300 | 3,362 |
6.625% 9/25/83 (Reg. S)(e) | EUR | 1,700 | 1,840 |
7% 9/25/83 (Reg. S)(e) | EUR | 10,100 | 11,157 |
Organon & Co. / Organon Foreign Debt Co-Issuer BV: | |||
4.125% 4/30/28(c) | 10,200 | 9,473 | |
5.125% 4/30/31(c) | 8,890 | 7,985 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
4.75% 5/9/27 | 2,775 | 2,674 | |
5.125% 5/9/29 | 2,775 | 2,669 | |
7.875% 9/15/29 | 2,805 | 3,014 | |
68,055 | |||
TOTAL HEALTH CARE | 216,326 | ||
INDUSTRIALS - 4.5% | |||
Aerospace & Defense - 1.2% | |||
Bombardier, Inc.: | |||
6% 2/15/28(c) | 2,815 | 2,783 | |
7.125% 6/15/26(c) | 1,458 | 1,479 | |
7.25% 7/1/31(c) | 2,610 | 2,680 | |
7.875% 4/15/27(c) | 6,429 | 6,445 | |
8.75% 11/15/30(c) | 4,055 | 4,383 | |
BWX Technologies, Inc. 4.125% 6/30/28 (c) | 6,400 | 5,974 | |
Moog, Inc. 4.25% 12/15/27 (c) | 2,025 | 1,917 | |
Rolls-Royce PLC 5.75% 10/15/27 (c) | 6,560 | 6,590 | |
TransDigm, Inc.: | |||
4.625% 1/15/29 | 9,290 | 8,668 | |
5.5% 11/15/27 | 68,140 | 66,862 | |
6.375% 3/1/29(c) | 8,150 | 8,191 | |
6.625% 3/1/32(c) | 2,650 | 2,677 | |
6.75% 8/15/28(c) | 12,760 | 12,888 | |
6.875% 12/15/30(c) | 21,975 | 22,433 | |
7.125% 12/1/31(c) | 5,390 | 5,554 | |
Triumph Group, Inc. 9% 3/15/28 (c) | 3,376 | 3,539 | |
VistaJet Malta Finance PLC / XO Management Holding, Inc. 9.5% 6/1/28 (c) | 4,205 | 3,686 | |
166,749 | |||
Air Freight & Logistics - 0.1% | |||
Rand Parent LLC 8.5% 2/15/30 (c) | 6,985 | 7,072 | |
Building Products - 0.2% | |||
Advanced Drain Systems, Inc.: | |||
5% 9/30/27(c) | 1,400 | 1,369 | |
6.375% 6/15/30(c) | 2,780 | 2,790 | |
Carrier Global Corp. 4.5% 11/29/32 | EUR | 10,150 | 11,363 |
MITER Brands Acquisition Holdco, Inc. / MIWD Borrower LLC 6.75% 4/1/32 (c) | 3,920 | 3,948 | |
MIWD Holdco II LLC / MIWD Finance Corp. 5.5% 2/1/30 (c) | 1,865 | 1,721 | |
Shea Homes Ltd. Partnership/Corp. 4.75% 4/1/29 | 4,830 | 4,492 | |
25,683 | |||
Commercial Services & Supplies - 1.1% | |||
Artera Services LLC 8.5% 2/15/31 (c) | 11,060 | 11,386 | |
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
4.625% 6/1/28(c) | 5,414 | 4,938 | |
4.625% 6/1/28(c) | 3,736 | 3,404 | |
Brand Industrial Services, Inc. 10.375% 8/1/30 (c) | 20,835 | 22,516 | |
Clean Harbors, Inc. 6.375% 2/1/31 (c) | 2,350 | 2,356 | |
CoreCivic, Inc. 8.25% 4/15/29 | 14,760 | 15,257 | |
Covanta Holding Corp.: | |||
4.875% 12/1/29(c) | 9,642 | 8,801 | |
5% 9/1/30 | 8,005 | 7,235 | |
GFL Environmental, Inc.: | |||
4% 8/1/28(c) | 4,200 | 3,904 | |
4.75% 6/15/29(c) | 5,705 | 5,384 | |
6.75% 1/15/31(c) | 3,980 | 4,060 | |
Madison IAQ LLC: | |||
4.125% 6/30/28(c) | 5,345 | 4,985 | |
5.875% 6/30/29(c) | 4,265 | 3,968 | |
Neptune BidCo U.S., Inc. 9.29% 4/15/29 (c) | 22,560 | 21,658 | |
OpenLane, Inc. 5.125% 6/1/25 (c) | 6,210 | 6,119 | |
The Brink's Co. 4.625% 10/15/27 (c) | 7,200 | 6,896 | |
The GEO Group, Inc.: | |||
8.625% 4/15/29(c) | 9,115 | 9,336 | |
10.25% 4/15/31(c) | 6,505 | 6,806 | |
Williams Scotsman, Inc. 7.375% 10/1/31 (c) | 2,735 | 2,815 | |
151,824 | |||
Construction & Engineering - 0.4% | |||
AECOM 5.125% 3/15/27 | 7,490 | 7,360 | |
Arcosa, Inc. 4.375% 4/15/29 (c) | 4,130 | 3,835 | |
Bouygues SA 5.375% 6/30/42 (Reg. S) | EUR | 18,400 | 22,207 |
Pike Corp.: | |||
5.5% 9/1/28(c) | 18,325 | 17,583 | |
8.625% 1/31/31(c) | 6,710 | 7,108 | |
58,093 | |||
Electrical Equipment - 0.1% | |||
Sensata Technologies BV 4% 4/15/29 (c) | 5,910 | 5,426 | |
Ground Transportation - 0.7% | |||
Uber Technologies, Inc.: | |||
4.5% 8/15/29(c) | 12,675 | 12,077 | |
6.25% 1/15/28(c) | 5,520 | 5,526 | |
7.5% 9/15/27(c) | 31,625 | 32,245 | |
8% 11/1/26(c) | 29,170 | 29,423 | |
XPO, Inc.: | |||
6.25% 6/1/28(c) | 2,790 | 2,798 | |
7.125% 2/1/32(c) | 4,015 | 4,115 | |
86,184 | |||
Machinery - 0.1% | |||
Allison Transmission, Inc. 5.875% 6/1/29 (c) | 4,830 | 4,764 | |
ATS Corp. 4.125% 12/15/28 (c) | 4,630 | 4,219 | |
Chart Industries, Inc. 7.5% 1/1/30 (c) | 7,420 | 7,668 | |
16,651 | |||
Marine Transportation - 0.0% | |||
Seaspan Corp. 5.5% 8/1/29 (c) | 4,240 | 3,784 | |
Passenger Airlines - 0.5% | |||
Air Canada 3.875% 8/15/26 (c) | 4,230 | 4,024 | |
Allegiant Travel Co. 7.25% 8/15/27 (c) | 4,365 | 4,154 | |
American Airlines, Inc.: | |||
7.25% 2/15/28(c) | 9,260 | 9,266 | |
8.5% 5/15/29(c) | 8,875 | 9,221 | |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.75% 4/20/29 (c) | 13,870 | 13,494 | |
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd.: | |||
8% 9/20/25(c) | 4,670 | 3,409 | |
8% 9/20/25(c) | 1,420 | 1,037 | |
United Airlines, Inc.: | |||
4.375% 4/15/26(c) | 14,560 | 14,065 | |
4.625% 4/15/29(c) | 8,725 | 8,126 | |
66,796 | |||
Professional Services - 0.0% | |||
TriNet Group, Inc. 3.5% 3/1/29 (c) | 4,545 | 4,045 | |
Trading Companies & Distributors - 0.1% | |||
Fortress Transportation & Infrastructure Investors LLC 7.875% 12/1/30 (c) | 4,040 | 4,226 | |
Foundation Building Materials, Inc. 6% 3/1/29 (c) | 3,110 | 2,760 | |
H&E Equipment Services, Inc. 3.875% 12/15/28 (c) | 10,040 | 9,059 | |
16,045 | |||
TOTAL INDUSTRIALS | 608,352 | ||
INFORMATION TECHNOLOGY - 1.5% | |||
Electronic Equipment, Instruments & Components - 0.1% | |||
Coherent Corp. 5% 12/15/29 (c) | 4,370 | 4,136 | |
CPI CG, Inc. 10% 7/15/29 (c)(f) | 2,595 | 2,692 | |
TTM Technologies, Inc. 4% 3/1/29 (c) | 4,540 | 4,166 | |
10,994 | |||
IT Services - 0.2% | |||
Acuris Finance U.S. 5% 5/1/28 (c) | 4,315 | 3,832 | |
ASGN, Inc. 4.625% 5/15/28 (c) | 5,670 | 5,347 | |
CA Magnum Holdings 5.375% 10/31/26 (c) | 2,230 | 2,133 | |
Camelot Finance SA 4.5% 11/1/26 (c) | 6,365 | 6,153 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc.: | |||
3.5% 3/1/29(c) | 6,060 | 5,473 | |
5.25% 12/1/27(c) | 5,665 | 5,547 | |
Unisys Corp. 6.875% 11/1/27 (c) | 3,685 | 3,234 | |
31,719 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
ON Semiconductor Corp. 3.875% 9/1/28 (c) | 6,765 | 6,243 | |
Synaptics, Inc. 4% 6/15/29 (c) | 3,500 | 3,171 | |
9,414 | |||
Software - 1.0% | |||
Clarivate Science Holdings Corp.: | |||
3.875% 7/1/28(c) | 5,025 | 4,667 | |
4.875% 7/1/29(c) | 4,755 | 4,413 | |
Cloud Software Group, Inc. 6.5% 3/31/29 (c) | 46,745 | 44,890 | |
Elastic NV 4.125% 7/15/29 (c) | 11,340 | 10,354 | |
Fair Isaac Corp. 4% 6/15/28 (c) | 6,420 | 6,005 | |
Gen Digital, Inc. 5% 4/15/25 (c) | 6,360 | 6,316 | |
ION Trading Technologies Ltd.: | |||
5.75% 5/15/28(c) | 5,780 | 5,282 | |
9.5% 5/30/29(c) | 3,900 | 3,976 | |
MicroStrategy, Inc. 6.125% 6/15/28 (c) | 9,960 | 9,654 | |
NCR Voyix Corp.: | |||
5% 10/1/28(c) | 3,385 | 3,196 | |
5.25% 10/1/30(c) | 13,370 | 12,220 | |
Open Text Corp. 6.9% 12/1/27 (c) | 5,000 | 5,189 | |
Open Text Holdings, Inc.: | |||
4.125% 2/15/30(c) | 3,220 | 2,904 | |
4.125% 12/1/31(c) | 2,490 | 2,189 | |
PTC, Inc.: | |||
3.625% 2/15/25(c) | 3,755 | 3,709 | |
4% 2/15/28(c) | 3,715 | 3,497 | |
UKG, Inc. 6.875% 2/1/31 (c) | 3,980 | 4,030 | |
Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (c) | 8,925 | 7,718 | |
140,209 | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
Seagate HDD Cayman: | |||
8.25% 12/15/29 | 9,200 | 9,867 | |
8.5% 7/15/31 | 5,975 | 6,435 | |
16,302 | |||
TOTAL INFORMATION TECHNOLOGY | 208,638 | ||
MATERIALS - 2.3% | |||
Chemicals - 0.7% | |||
Air Products & Chemicals, Inc. 4% 3/3/35 | EUR | 8,899 | 9,674 |
BASF AG 4.25% 3/8/32 (Reg. S) | EUR | 13,500 | 15,013 |
Consolidated Energy Finance SA 12% 2/15/31 (c) | 4,240 | 4,373 | |
Ingevity Corp. 3.875% 11/1/28 (c) | 6,715 | 6,093 | |
LSB Industries, Inc. 6.25% 10/15/28 (c) | 9,723 | 9,377 | |
NOVA Chemicals Corp. 8.5% 11/15/28 (c) | 3,635 | 3,857 | |
Olympus Water U.S. Holding Corp.: | |||
4.25% 10/1/28(c) | 7,070 | 6,431 | |
7.125% 10/1/27(c) | 3,445 | 3,458 | |
9.75% 11/15/28(c) | 13,941 | 14,749 | |
SCIH Salt Holdings, Inc. 4.875% 5/1/28 (c) | 3,770 | 3,503 | |
SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (c) | 6,435 | 6,222 | |
The Scotts Miracle-Gro Co. 4% 4/1/31 | 5,930 | 5,116 | |
W.R. Grace Holding LLC: | |||
5.625% 8/15/29(c) | 7,105 | 6,549 | |
7.375% 3/1/31(c) | 2,810 | 2,848 | |
97,263 | |||
Construction Materials - 0.2% | |||
Smyrna Ready Mix Concrete LLC 8.875% 11/15/31 (c) | 10,810 | 11,469 | |
Summit Materials LLC/Summit Materials Finance Corp.: | |||
5.25% 1/15/29(c) | 6,525 | 6,285 | |
7.25% 1/15/31(c) | 4,060 | 4,197 | |
21,951 | |||
Containers & Packaging - 0.6% | |||
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: | |||
3.25% 9/1/28(c) | 3,025 | 2,658 | |
4% 9/1/29(c) | 6,050 | 5,120 | |
6% 6/15/27(c) | 2,785 | 2,737 | |
Cascades, Inc.: | |||
5.125% 1/15/26(c) | 3,310 | 3,259 | |
5.375% 1/15/28(c) | 3,310 | 3,186 | |
Clydesdale Acquisition Holdings, Inc. 8.75% 4/15/30 (c) | 21,190 | 20,738 | |
Crown Cork & Seal, Inc.: | |||
7.375% 12/15/26 | 16,535 | 17,084 | |
7.5% 12/15/96 | 7,695 | 8,176 | |
Graham Packaging Co., Inc. 7.125% 8/15/28 (c) | 3,720 | 3,514 | |
Graphic Packaging International, Inc. 3.75% 2/1/30 (c) | 3,585 | 3,200 | |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (c) | 2,570 | 2,485 | |
Mauser Packaging Solutions Holding Co. 7.875% 4/15/27 (c) | 5,635 | 5,748 | |
Sealed Air Corp./Sealed Air Corp. U.S. 6.125% 2/1/28 (c) | 2,815 | 2,808 | |
Trident TPI Holdings, Inc. 12.75% 12/31/28 (c) | 2,765 | 3,020 | |
83,733 | |||
Metals & Mining - 0.8% | |||
Alcoa Nederland Holding BV: | |||
4.125% 3/31/29(c) | 7,735 | 7,174 | |
6.125% 5/15/28(c) | 2,110 | 2,101 | |
7.125% 3/15/31(c) | 2,135 | 2,194 | |
Algoma Steel SCA 0% 12/31/24 (b) | 1,518 | 0 | |
Arsenal AIC Parent LLC 8% 10/1/30 (c) | 3,285 | 3,447 | |
ATI, Inc.: | |||
4.875% 10/1/29 | 2,795 | 2,613 | |
5.125% 10/1/31 | 2,480 | 2,292 | |
7.25% 8/15/30 | 2,745 | 2,834 | |
Cleveland-Cliffs, Inc.: | |||
4.625% 3/1/29(c) | 4,615 | 4,367 | |
4.875% 3/1/31(c) | 4,615 | 4,069 | |
6.75% 4/15/30(c) | 9,035 | 8,939 | |
Compass Minerals International, Inc. 6.75% 12/1/27 (c) | 9,315 | 8,902 | |
Eldorado Gold Corp. 6.25% 9/1/29 (c) | 4,225 | 4,032 | |
ERO Copper Corp. 6.5% 2/15/30 (c) | 4,180 | 4,033 | |
First Quantum Minerals Ltd.: | |||
8.625% 6/1/31(c) | 7,775 | 7,728 | |
9.375% 3/1/29(c) | 6,235 | 6,515 | |
FMG Resources August 2006 Pty Ltd.: | |||
4.375% 4/1/31(c) | 4,420 | 3,950 | |
4.5% 9/15/27(c) | 5,450 | 5,208 | |
HudBay Minerals, Inc. 4.5% 4/1/26 (c) | 3,600 | 3,522 | |
Kaiser Aluminum Corp. 4.625% 3/1/28 (c) | 6,615 | 6,189 | |
Mineral Resources Ltd.: | |||
8% 11/1/27(c) | 2,785 | 2,849 | |
8.125% 5/1/27(c) | 11,025 | 11,111 | |
8.5% 5/1/30(c) | 2,065 | 2,138 | |
9.25% 10/1/28(c) | 4,830 | 5,069 | |
Murray Energy Corp.: | |||
11.25%(b)(c)(d) | 5,925 | 0 | |
12% pay-in-kind(b)(c)(d)(e) | 6,364 | 0 | |
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (c) | 2,015 | 1,854 | |
113,130 | |||
TOTAL MATERIALS | 316,077 | ||
REAL ESTATE - 1.3% | |||
Equity Real Estate Investment Trusts (REITs) - 1.1% | |||
Iron Mountain Information Management Services, Inc. 5% 7/15/32 (c) | 4,190 | 3,827 | |
Iron Mountain, Inc.: | |||
4.875% 9/15/29(c) | 14,590 | 13,749 | |
5% 7/15/28(c) | 6,370 | 6,102 | |
5.25% 7/15/30(c) | 5,915 | 5,622 | |
5.625% 7/15/32(c) | 5,915 | 5,617 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
3.5% 3/15/31 | 6,700 | 4,366 | |
4.625% 8/1/29 | 10,950 | 7,948 | |
5% 10/15/27 | 21,010 | 17,352 | |
Prologis International Funding II SA: | |||
3.125% 6/1/31 (Reg. S) | EUR | 22,000 | 22,250 |
4.625% 2/21/35 (Reg. S) | EUR | 8,863 | 9,763 |
SBA Communications Corp. 3.875% 2/15/27 | 9,720 | 9,263 | |
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC 6% 1/15/30 (c) | 3,390 | 2,050 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC: | |||
4.75% 4/15/28(c) | 9,350 | 7,645 | |
6.5% 2/15/29(c) | 5,660 | 3,609 | |
10.5% 2/15/28(c) | 1,075 | 1,053 | |
VICI Properties LP / VICI Note Co.: | |||
3.875% 2/15/29(c) | 6,695 | 6,188 | |
4.25% 12/1/26(c) | 12,650 | 12,200 | |
4.625% 12/1/29(c) | 7,220 | 6,833 | |
145,437 | |||
Real Estate Management & Development - 0.2% | |||
Greystar Real Estate Partners 7.75% 9/1/30 (c) | 2,435 | 2,564 | |
SELP Finance SARL: | |||
0.875% 5/27/29 (Reg. S) | EUR | 5,520 | 5,078 |
3.75% 8/10/27 (Reg. S) | EUR | 10,184 | 10,854 |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.125% 8/1/30(c) | 6,480 | 6,205 | |
5.875% 6/15/27(c) | 5,610 | 5,585 | |
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (c) | 3,045 | 2,820 | |
33,106 | |||
TOTAL REAL ESTATE | 178,543 | ||
UTILITIES - 2.1% | |||
Electric Utilities - 1.3% | |||
Clearway Energy Operating LLC: | |||
3.75% 1/15/32(c) | 2,795 | 2,376 | |
4.75% 3/15/28(c) | 4,055 | 3,875 | |
Electricite de France SA: | |||
4.625% 1/25/43 (Reg. S) | EUR | 13,200 | 13,986 |
4.75% 6/17/44 (Reg. S) | EUR | 9,900 | 10,605 |
EnBW International Finance BV 4.3% 5/23/34 (Reg. S) | EUR | 16,104 | 17,822 |
Energias de Portugal SA: | |||
1.875% 3/14/82 (Reg. S)(e) | EUR | 5,600 | 5,203 |
5.943% 4/23/83 (Reg. S)(e) | EUR | 900 | 1,004 |
NextEra Energy Partners LP 7.25% 1/15/29 (c) | 2,675 | 2,743 | |
NRG Energy, Inc.: | |||
3.375% 2/15/29(c) | 3,080 | 2,740 | |
3.625% 2/15/31(c) | 6,110 | 5,240 | |
3.875% 2/15/32(c) | 582 | 500 | |
5.75% 1/15/28 | 19,350 | 19,199 | |
ORSTED A/S 5.25% 12/8/22 (Reg. S) (e) | EUR | 5,900 | 6,405 |
Pacific Gas & Electric Co.: | |||
3.95% 12/1/47 | 2,711 | 1,941 | |
4% 12/1/46 | 8,299 | 5,961 | |
4.3% 3/15/45 | 3,690 | 2,836 | |
PG&E Corp.: | |||
5% 7/1/28 | 13,615 | 13,100 | |
5.25% 7/1/30 | 5,150 | 4,918 | |
Vistra Operations Co. LLC: | |||
4.375% 5/1/29(c) | 11,110 | 10,345 | |
5% 7/31/27(c) | 13,800 | 13,349 | |
5.5% 9/1/26(c) | 9,975 | 9,837 | |
5.625% 2/15/27(c) | 17,455 | 17,162 | |
7.75% 10/15/31(c) | 5,470 | 5,696 | |
176,843 | |||
Gas Utilities - 0.3% | |||
Southern Natural Gas Co. LLC: | |||
7.35% 2/15/31 | 14,890 | 15,868 | |
8% 3/1/32 | 9,400 | 10,674 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5% 6/1/31 (c) | 5,750 | 5,178 | |
31,720 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (c) | 3,735 | 3,655 | |
RWE AG 4.125% 2/13/35 (Reg. S) | EUR | 9,787 | 10,644 |
Sunnova Energy Corp.: | |||
5.875% 9/1/26(c) | 1,350 | 1,050 | |
11.75% 10/1/28(c) | 8,050 | 5,756 | |
21,105 | |||
Multi-Utilities - 0.2% | |||
E.ON SE 4.125% 3/25/44 (Reg. S) | EUR | 7,017 | 7,425 |
Engie SA 4.25% 3/6/44 (Reg. S) | EUR | 9,500 | 9,875 |
National Grid PLC 4.275% 1/16/35 (Reg. S) | EUR | 13,049 | 14,171 |
31,471 | |||
Water Utilities - 0.1% | |||
Suez SACA 2.375% 5/24/30 (Reg. S) | EUR | 16,800 | 16,568 |
TOTAL UTILITIES | 277,707 | ||
TOTAL NONCONVERTIBLE BONDS | 3,809,932 | ||
TOTAL CORPORATE BONDS (Cost $3,969,633) | 3,875,476 | ||
U.S. Government and Government Agency Obligations - 22.7% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
U.S. Government Agency Obligations - 0.0% | |||
Tennessee Valley Authority: | |||
5.25% 9/15/39 | 2,106 | 2,183 | |
5.375% 4/1/56 | 3,503 | 3,668 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 5,851 | ||
U.S. Treasury Obligations - 22.6% | |||
U.S. Treasury Bills, yield at date of purchase 5.32% to 5.33% 7/25/24 to 8/1/24 (j) | 11,430 | 11,381 | |
U.S. Treasury Bonds: | |||
2% 8/15/51 | 136,164 | 81,794 | |
2.25% 2/15/52 | 115,400 | 73,513 | |
2.5% 2/15/45 | 216,056 | 154,117 | |
3% 5/15/45 | 20,100 | 15,623 | |
3% 2/15/49 | 128,820 | 97,576 | |
3.625% 2/15/53 | 105,566 | 89,805 | |
3.625% 5/15/53 | 11,450 | 9,744 | |
4.125% 8/15/53 | 56,659 | 52,761 | |
4.25% 2/15/54 | 54,910 | 52,285 | |
4.375% 8/15/43 | 56,431 | 54,469 | |
4.75% 2/15/37 | 74,200 | 77,011 | |
5.25% 2/15/29 | 5,406 | 5,618 | |
U.S. Treasury Notes: | |||
0.375% 12/31/25 | 158,357 | 148,095 | |
0.375% 1/31/26 | 13,900 | 12,955 | |
0.625% 7/31/26 | 24,000 | 22,078 | |
0.75% 3/31/26 | 46,052 | 42,947 | |
0.75% 8/31/26 | 139,549 | 128,341 | |
1% 7/31/28 | 49,141 | 42,924 | |
1.125% 10/31/26 | 17,300 | 15,965 | |
1.125% 8/31/28 | 339,517 | 297,457 | |
1.25% 12/31/26 | 33,922 | 31,271 | |
1.25% 9/30/28 | 38,280 | 33,639 | |
1.375% 10/31/28 | 8,911 | 7,858 | |
1.5% 1/31/27 | 40,989 | 37,934 | |
1.5% 11/30/28 | 6,930 | 6,133 | |
1.625% 9/30/26 | 3,093 | 2,895 | |
1.75% 1/31/29 | 41,434 | 36,944 | |
1.875% 2/28/27 | 242,560 | 226,282 | |
2.125% 5/15/25 | 12,033 | 11,721 | |
2.375% 3/31/29 | 7,500 | 6,861 | |
2.5% 2/28/26 | 38,997 | 37,544 | |
2.5% 3/31/27 | 7,200 | 6,825 | |
2.625% 5/31/27 | 90 | 85 | |
2.625% 7/31/29 | 23,875 | 22,000 | |
2.75% 7/31/27 | 5,670 | 5,384 | |
2.75% 5/31/29 | 18,541 | 17,224 | |
2.75% 8/15/32 | 83,642 | 74,432 | |
2.875% 5/15/32 | 30,472 | 27,455 | |
3.125% 11/15/28 | 28,930 | 27,471 | |
3.125% 8/31/29 | 3,948 | 3,723 | |
3.375% 5/15/33 | 7,260 | 6,728 | |
3.5% 1/31/28 | 20,540 | 19,893 | |
3.5% 2/15/33 | 49,310 | 46,217 | |
3.625% 5/15/26 | 35,540 | 34,810 | |
3.625% 3/31/28 | 34,500 | 33,530 | |
3.625% 3/31/30 | 21,930 | 21,114 | |
3.75% 5/31/30 | 12,660 | 12,260 | |
3.875% 11/30/27 | 14,110 | 13,842 | |
3.875% 12/31/27 | 51,100 | 50,122 | |
3.875% 8/15/33 | 16,114 | 15,502 | |
4% 1/15/27 | 61,280 | 60,390 | |
4% 10/31/29 | 19,300 | 18,974 | |
4% 7/31/30 | 23,420 | 22,974 | |
4% 1/31/31 | 6,420 | 6,291 | |
4.125% 2/15/27 | 129,860 | 128,369 | |
4.125% 10/31/27 | 8,800 | 8,701 | |
4.125% 7/31/28 | 15,000 | 14,841 | |
4.125% 8/31/30 | 31,870 | 31,464 | |
4.125% 3/31/31 | 27,900 | 27,533 | |
4.125% 11/15/32 | 27,677 | 27,211 | |
4.25% 12/31/25 | 52,462 | 51,954 | |
4.25% 3/15/27 | 89,660 | 88,942 | |
4.25% 2/28/31 | 35,790 | 35,579 | |
4.375% 11/30/28 | 32,510 | 32,505 | |
4.375% 11/30/30 | 24,163 | 24,183 | |
4.5% 3/31/26 | 33,798 | 33,621 | |
4.625% 3/15/26 | 10,990 | 10,952 | |
4.625% 11/15/26 | 32,750 | 32,735 | |
4.625% 9/30/28 | 21,630 | 21,813 | |
4.875% 10/31/30 | 25,780 | 26,508 | |
TOTAL U.S. TREASURY OBLIGATIONS | 3,069,698 | ||
Other Government Related - 0.1% | |||
Private Export Funding Corp. Secured 1.75% 11/15/24 | 11,520 | 11,353 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,418,373) | 3,086,902 | ||
U.S. Government Agency - Mortgage Securities - 3.5% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Fannie Mae - 0.9% | |||
1.5% 11/1/40 to 11/1/41 | 37,125 | 30,146 | |
2% 2/1/28 to 12/1/41 (k) | 40,889 | 34,458 | |
2.5% 1/1/30 to 5/1/42 | 18,579 | 16,612 | |
3% 11/1/34 to 2/1/52 | 15,658 | 14,199 | |
3.5% 9/1/33 to 3/1/52 | 3,212 | 3,026 | |
5% 5/1/52 to 12/1/52 (l) | 14,690 | 14,370 | |
6% 6/1/53 to 3/1/54 | 8,997 | 9,114 | |
6.5% 3/1/54 | 698 | 711 | |
TOTAL FANNIE MAE | 122,636 | ||
Freddie Mac - 1.0% | |||
1.5% 12/1/40 to 4/1/41 | 10,285 | 8,363 | |
2% 6/1/35 to 7/1/41 | 27,694 | 23,816 | |
2.5% 1/1/30 to 2/1/42 (k)(m) | 58,216 | 51,203 | |
3% 9/1/34 | 3,064 | 2,867 | |
3.5% 5/1/51 to 3/1/52 (j)(l) | 26,388 | 23,543 | |
5% 5/1/52 to 12/1/52 (j)(l) | 11,741 | 11,478 | |
5.5% 9/1/52 | 6,273 | 6,237 | |
6% 9/1/53 to 11/1/53 | 529 | 533 | |
6.5% 10/1/53 | 7,288 | 7,517 | |
TOTAL FREDDIE MAC | 135,557 | ||
Ginnie Mae - 0.5% | |||
Ginnie Mae: | |||
2% 8/1/54 (f) | 2,050 | 1,661 | |
2% 8/1/54 (f) | 12,450 | 10,090 | |
2% 10/20/50 to 2/20/51 | 8,862 | 7,181 | |
2% 7/1/54 (f) | 12,650 | 10,243 | |
2% 7/1/54 (f) | 15,700 | 12,713 | |
2% 7/1/54 (f) | 5,025 | 4,069 | |
2% 7/1/54 (f) | 1,550 | 1,255 | |
2% 7/1/54 (f) | 8,275 | 6,701 | |
2.5% 8/20/51 to 12/20/51 | 12,267 | 10,171 | |
TOTAL GINNIE MAE | 64,084 | ||
Uniform Mortgage Backed Securities - 1.1% | |||
2% 7/1/54 (f) | 14,800 | 11,575 | |
2% 7/1/54 (f) | 14,800 | 11,575 | |
2.5% 7/1/54 (f) | 30,700 | 25,073 | |
2.5% 7/1/54 (f) | 30,675 | 25,053 | |
5% 7/1/54 (f) | 24,400 | 23,581 | |
5.5% 7/1/54 (f) | 55,000 | 54,246 | |
6% 7/1/54 (f) | 200 | 201 | |
6% 7/1/54 (f) | 50 | 50 | |
6% 7/1/54 (f) | 75 | 75 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 151,429 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $488,061) | 473,706 | ||
Collateralized Mortgage Obligations - 1.3% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
U.S. Government Agency - 1.3% | |||
Fannie Mae: | |||
planned amortization class: | |||
Series 2021-65 Class MA, 2% 8/25/51 | 7,289 | 6,222 | |
Series 2022-2 Class TH, 2.5% 2/25/52 | 1,164 | 1,034 | |
sequential payer: | |||
Series 2020-101 Class BA, 1.5% 9/25/45 | 3,090 | 2,620 | |
Series 2020-49 Class JA, 2% 8/25/44 | 1,092 | 985 | |
Series 2020-51 Class BA, 2% 6/25/46 | 4,407 | 3,756 | |
Series 2020-67 Class KZ, 3.25% 9/25/40 | 1,890 | 1,708 | |
Series 2020-75 Class HA, 1.5% 12/25/44 | 11,954 | 10,322 | |
Series 2021-68 Class A, 2% 7/25/49 | 2,299 | 1,787 | |
Series 2021-85 Class L, 2.5% 8/25/48 | 1,254 | 1,079 | |
Series 2021-96 Class HA, 2.5% 2/25/50 | 2,014 | 1,731 | |
Series 2022-1 Class KA, 3% 5/25/48 | 2,000 | 1,786 | |
Series 2022-13 Class MA, 3% 5/25/44 | 8,409 | 7,792 | |
Series 2022-3: | |||
Class G, 2% 11/25/47 | 8,434 | 7,237 | |
Class N, 2% 10/25/47 | 16,135 | 13,843 | |
Series 2022-4 Class B, 2.5% 5/25/49 | 1,470 | 1,267 | |
Series 2022-49 Class TE, 4.5% 12/25/48 | 14,995 | 14,402 | |
Series 2022-5: | |||
Class 0, 2.5% 6/25/48 | 2,052 | 1,792 | |
Class BA, 2.5% 12/25/49 | 2,160 | 1,824 | |
Series 2022-65 Class GA, 5% 4/25/46 | 15,211 | 14,687 | |
Series 2022-7 Class A, 3% 5/25/48 | 2,850 | 2,545 | |
Series 2020-45 Class JL, 3% 7/25/40 | 310 | 277 | |
Series 2021-59 Class H, 2% 6/25/48 | 1,295 | 1,035 | |
Series 2021-66: | |||
Class DA, 2% 1/25/48 | 1,388 | 1,114 | |
Class DM, 2% 1/25/48 | 1,475 | 1,184 | |
Freddie Mac: | |||
planned amortization class: | |||
Series 2021-5122 Class TE, 1.5% 6/25/51 | 4,650 | 3,757 | |
Series 2022-5213 Class JM, 3.5% 9/25/51 | 7,064 | 6,646 | |
Series 2022-5214 Class CG, 3.5% 4/25/52 | 2,358 | 2,187 | |
Series 2022-5220 Class PK, 3.5% 1/25/51 | 3,176 | 2,924 | |
Series 2022-5224 Class DQ, 3.75% 8/25/44 | 4,002 | 3,771 | |
sequential payer: | |||
Series 2020-5018: | |||
Class LC, 3% 10/25/40 | 2,092 | 1,868 | |
Class LT, 3.25% 10/25/40 | 1,943 | 1,772 | |
Class LY, 3% 10/25/40 | 1,590 | 1,420 | |
Series 2021-5175 Class CB, 2.5% 4/25/50 | 7,271 | 6,232 | |
Series 2021-5180 Class KA, 2.5% 10/25/47 | 1,445 | 1,273 | |
Series 2022-5189 Class DA, 2.5% 5/25/49 | 1,532 | 1,301 | |
Series 2022-5190 Class BA, 2.5% 11/25/47 | 1,478 | 1,301 | |
Series 2022-5191 Class CA, 2.5% 4/25/50 | 1,701 | 1,449 | |
Series 2022-5197 Class DA, 2.5% 11/25/47 | 1,122 | 989 | |
Series 2022-5198 Class BA, 2.5% 11/25/47 | 5,475 | 4,838 | |
Series 2022-5200 Class LA, 3% 10/25/48 | 2,835 | 2,541 | |
Series 2022-5202 Class LB, 2.5% 10/25/47 | 1,202 | 1,050 | |
Series 2020-5041 Class LB, 3% 11/25/40 | 3,565 | 3,186 | |
Series 2021-5083 Class VA, 1% 8/15/38 | 14,110 | 13,161 | |
Series 2021-5176 Class AG, 2% 1/25/47 | 5,448 | 4,639 | |
Series 2021-5182 Class A, 2.5% 10/25/48 | 9,458 | 8,153 | |
Freddie Mac Multi-family Structured pass-thru certificates sequential payer Series 2021-5159 Class GC, 2% 11/25/47 | 1,158 | 997 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $177,727) | 177,484 | ||
Commercial Mortgage Securities - 2.9% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Fannie Mae Series 2022-66, Class KA, 5% 10/25/52 | 2,846 | 2,801 | |
Freddie Mac: | |||
floater Series 2024-K523 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.550% 5.8743% 5/25/29 (e)(i) | 21,200 | 21,200 | |
sequential payer: | |||
Series 2015-K043 Class A2, 3.062% 12/25/24 | 14,753 | 14,569 | |
Series 2015-K049 Class A2, 3.01% 7/25/25 | 5,413 | 5,285 | |
Series 2015-K050 Class A2, 3.334% 8/25/25 (e) | 13,656 | 13,360 | |
Series 2015-K051 Class A2, 3.308% 9/25/25 | 20,226 | 19,757 | |
Series 2015-KPLB Class A, 2.77% 5/25/25 | 11,355 | 11,073 | |
Series 2016-K052 Class A2, 3.151% 11/25/25 | 26,167 | 25,466 | |
Series 2016-K055 Class A2, 2.673% 3/25/26 | 19,600 | 18,828 | |
Series 2017-K066 Class A2, 3.117% 6/25/27 | 2,710 | 2,579 | |
Series 2017-K729 Class A2, 3.136% 10/25/24 | 8,535 | 8,459 | |
Series 2018-K731 Class A2, 3.6% 2/25/25 | 3,038 | 3,000 | |
Series 2018-K732 Class A2, 3.7% 5/25/25 | 15,808 | 15,574 | |
Series 2018-K733 Class A2, 3.75% 8/25/25 | 17,609 | 17,285 | |
Series 2019-K735 Class A2, 2.862% 5/25/26 | 12,733 | 12,240 | |
Series 2019-K736 Class A2, 2.282% 7/25/26 | 8,700 | 8,271 | |
Series 2022-K747 Class A2, 2.05% 11/25/28 | 4,800 | 4,280 | |
Series K058 Class A2, 2.653% 8/25/26 | 12,500 | 11,906 | |
Series K073 Class A2, 3.35% 1/25/28 | 2,900 | 2,759 | |
Series 2016-K059 Class A2, 3.12% 9/25/26 (e) | 2,500 | 2,403 | |
Series 2017-K727 Class A2, 2.946% 7/25/24 | 7,522 | 7,493 | |
Series K047 Class A2, 3.329% 5/25/25 | 12,896 | 12,663 | |
Series K053 Class A2, 2.995% 12/25/25 | 35,493 | 34,419 | |
Series K056 Class A2, 2.525% 5/25/26 | 48,300 | 46,154 | |
Series K063 Class A2, 3.43% 1/25/27 | 1,800 | 1,735 | |
Series K734 Class A2, 3.208% 2/25/26 | 8,300 | 8,064 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
sequential payer Series 2015 K045 Class A2, 3.023% 1/25/25 | 3,310 | 3,259 | |
Series K044 Class A2, 2.811% 1/25/25 | 21,397 | 21,073 | |
FREMF 2015-KPLB Mortgage Trust Series 2015-KPLB Class B, 2.5% 5/25/25 (c) | 39,000 | 37,743 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $394,830) | 393,698 | ||
Foreign Government and Government Agency Obligations - 3.6% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Australian Commonwealth: | |||
1.75% 11/21/32 (Reg. S) | AUD | 15,000 | 8,237 |
1.75% 6/21/51 (Reg. S) | AUD | 81,080 | 29,926 |
Canadian Government 1.25% 3/1/27 | CAD | 30,000 | 20,580 |
German Federal Republic: | |||
1.8% 8/15/53(Reg. S) | EUR | 23,070 | 20,393 |
2.2% 12/12/24(Reg. S) | EUR | 66,340 | 70,686 |
2.4% 10/19/28(Reg. S) | EUR | 25,900 | 27,627 |
2.6% 8/15/33(Reg. S) | EUR | 217,350 | 235,365 |
United Kingdom, Great Britain and Northern Ireland 3.25% 1/31/33(Reg. S) | GBP | 59,800 | 70,842 |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $502,230) | 483,656 | ||
Common Stocks - 6.8% | |||
Shares | Value ($) (000s) | ||
COMMUNICATION SERVICES - 0.5% | |||
Interactive Media & Services - 0.4% | |||
Alphabet, Inc. Class A | 42,600 | 7,760 | |
Meta Platforms, Inc. Class A | 81,300 | 40,993 | |
Pinterest, Inc. Class A (n) | 199,300 | 8,783 | |
57,536 | |||
Media - 0.1% | |||
EchoStar Corp. Class A (n) | 338,100 | 6,022 | |
iHeartMedia, Inc. (n) | 26 | 0 | |
6,022 | |||
TOTAL COMMUNICATION SERVICES | 63,558 | ||
CONSUMER DISCRETIONARY - 1.0% | |||
Automobile Components - 0.0% | |||
UC Holdings, Inc. (b)(n) | 560,355 | 459 | |
Automobiles - 0.1% | |||
BYD Co. Ltd. (H Shares) | 522,500 | 15,518 | |
Broadline Retail - 0.1% | |||
Amazon.com, Inc. (n) | 95,100 | 18,378 | |
Hotels, Restaurants & Leisure - 0.3% | |||
Airbnb, Inc. Class A (n) | 58,500 | 8,870 | |
Booking Holdings, Inc. | 2,200 | 8,715 | |
Boyd Gaming Corp. | 123,800 | 6,821 | |
Domino's Pizza, Inc. | 9,900 | 5,112 | |
New Cotai LLC/New Cotai Capital Corp. (b)(g)(n) | 2,242,893 | 1,660 | |
Studio City International Holdings Ltd.: | |||
ADR (c)(n) | 121,177 | 709 | |
(NYSE) ADR (n) | 133,400 | 780 | |
32,667 | |||
Household Durables - 0.1% | |||
TopBuild Corp. (n) | 39,500 | 15,218 | |
Specialty Retail - 0.2% | |||
Dick's Sporting Goods, Inc. | 50,200 | 10,785 | |
Lowe's Companies, Inc. | 27,200 | 5,997 | |
Williams-Sonoma, Inc. | 24,000 | 6,777 | |
23,559 | |||
Textiles, Apparel & Luxury Goods - 0.2% | |||
Crocs, Inc. (n) | 108,700 | 15,864 | |
LVMH Moet Hennessy Louis Vuitton SE | 4,400 | 3,378 | |
Tapestry, Inc. | 91,100 | 3,898 | |
23,140 | |||
TOTAL CONSUMER DISCRETIONARY | 128,939 | ||
CONSUMER STAPLES - 0.1% | |||
Beverages - 0.0% | |||
Celsius Holdings, Inc. (n) | 104,700 | 5,977 | |
Consumer Staples Distribution & Retail - 0.1% | |||
Southeastern Grocers, Inc. rights (b)(n) | 584,047 | 642 | |
U.S. Foods Holding Corp. (n) | 119,700 | 6,342 | |
6,984 | |||
Personal Care Products - 0.0% | |||
elf Beauty, Inc. (n) | 30,000 | 6,322 | |
TOTAL CONSUMER STAPLES | 19,283 | ||
ENERGY - 0.5% | |||
Energy Equipment & Services - 0.1% | |||
Forbes Energy Services Ltd. (b)(n) | 135,187 | 0 | |
Superior Energy Services, Inc. Class A (b) | 66,115 | 4,518 | |
4,518 | |||
Oil, Gas & Consumable Fuels - 0.4% | |||
Antero Resources Corp. (n) | 127,900 | 4,173 | |
California Resources Corp. warrants 10/27/24 (n) | 34,633 | 618 | |
Canvas Energy, Inc.: | |||
Series A warrants 10/1/24 (b)(n) | 289 | 0 | |
Series B warrants 10/1/25 (b)(n) | 289 | 0 | |
Cheniere Energy, Inc. | 75,400 | 13,182 | |
EP Energy Corp. (b)(n) | 611,545 | 832 | |
Mesquite Energy, Inc. (b)(n) | 185,122 | 15,439 | |
Permian Resource Corp. Class A | 1,422,000 | 22,965 | |
Unit Corp. | 28,630 | 1,045 | |
58,254 | |||
TOTAL ENERGY | 62,772 | ||
FINANCIALS - 1.0% | |||
Capital Markets - 0.2% | |||
Ares Management Corp. Class A, | 41,400 | 5,518 | |
Blue Owl Capital, Inc. Class A | 313,500 | 5,565 | |
Coinbase Global, Inc. (n) | 41,400 | 9,200 | |
Moody's Corp. | 14,800 | 6,230 | |
26,513 | |||
Consumer Finance - 0.1% | |||
OneMain Holdings, Inc. | 299,100 | 14,503 | |
Financial Services - 0.5% | |||
Apollo Global Management, Inc. | 189,500 | 22,374 | |
Block, Inc. Class A (n) | 92,100 | 5,940 | |
Carnelian Point Holdings LP warrants (b)(n) | 544 | 2 | |
Fiserv, Inc. (n) | 54,100 | 8,063 | |
MasterCard, Inc. Class A | 27,600 | 12,176 | |
Visa, Inc. Class A | 82,700 | 21,706 | |
70,261 | |||
Insurance - 0.2% | |||
Arthur J. Gallagher & Co. | 81,300 | 21,082 | |
TOTAL FINANCIALS | 132,359 | ||
HEALTH CARE - 0.0% | |||
Health Care Providers & Services - 0.0% | |||
Tenet Healthcare Corp. (n) | 36,700 | 4,882 | |
INDUSTRIALS - 1.0% | |||
Aerospace & Defense - 0.1% | |||
TransDigm Group, Inc. | 4,900 | 6,260 | |
Building Products - 0.2% | |||
Builders FirstSource, Inc. (n) | 31,700 | 4,388 | |
Carlisle Companies, Inc. | 26,500 | 10,738 | |
Fortune Brands Innovations, Inc. | 106,400 | 6,910 | |
Trane Technologies PLC | 33,500 | 11,019 | |
33,055 | |||
Construction & Engineering - 0.2% | |||
Comfort Systems U.S.A., Inc. | 35,500 | 10,796 | |
EMCOR Group, Inc. | 17,800 | 6,498 | |
Willscot Mobile Mini Holdings (n) | 267,000 | 10,050 | |
27,344 | |||
Electrical Equipment - 0.4% | |||
Eaton Corp. PLC | 60,500 | 18,970 | |
Nextracker, Inc. Class A (n) | 177,900 | 8,340 | |
nVent Electric PLC | 114,000 | 8,734 | |
Vertiv Holdings Co. | 187,600 | 16,241 | |
52,285 | |||
Machinery - 0.1% | |||
Deere & Co. | 6,700 | 2,503 | |
Parker Hannifin Corp. | 20,300 | 10,268 | |
12,771 | |||
Passenger Airlines - 0.0% | |||
Air Canada (n) | 800 | 10 | |
Delta Air Lines, Inc. | 48,600 | 2,306 | |
2,316 | |||
Trading Companies & Distributors - 0.0% | |||
Core & Main, Inc. (n) | 101,000 | 4,943 | |
Penhall Acquisition Co. (b) | 15,403 | 0 | |
4,943 | |||
Transportation Infrastructure - 0.0% | |||
Tricer Holdco SCA: | |||
Class A1 (b)(g)(n) | 403,760 | 0 | |
Class A2 (b)(g)(n) | 403,760 | 0 | |
Class A3 (b)(g)(n) | 403,760 | 0 | |
Class A4 (b)(g)(n) | 403,760 | 0 | |
Class A5 (b)(g)(n) | 403,760 | 0 | |
Class A6 (b)(g)(n) | 403,760 | 0 | |
Class A7 (b)(g)(n) | 403,760 | 0 | |
Class A8 (b)(g)(n) | 403,760 | 0 | |
Class A9 (b)(g)(n) | 403,760 | 0 | |
0 | |||
TOTAL INDUSTRIALS | 138,974 | ||
INFORMATION TECHNOLOGY - 2.0% | |||
Communications Equipment - 0.1% | |||
Arista Networks, Inc. (n) | 34,200 | 11,986 | |
IT Services - 0.0% | |||
Accenture PLC Class A | 16,700 | 5,067 | |
GTT Communications, Inc. (b)(n) | 51,638 | 1,647 | |
6,714 | |||
Semiconductors & Semiconductor Equipment - 1.2% | |||
ASML Holding NV (depository receipt) | 8,500 | 8,693 | |
KLA Corp. | 18,700 | 15,418 | |
Lam Research Corp. | 16,400 | 17,464 | |
Marvell Technology, Inc. | 86,600 | 6,053 | |
Micron Technology, Inc. | 48,900 | 6,432 | |
NVIDIA Corp. | 626,000 | 77,336 | |
NXP Semiconductors NV | 19,800 | 5,328 | |
ON Semiconductor Corp. (n) | 247,091 | 16,938 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 39,900 | 6,935 | |
160,597 | |||
Software - 0.6% | |||
Adobe, Inc. (n) | 28,564 | 15,868 | |
Autodesk, Inc. (n) | 21,700 | 5,370 | |
Gen Digital, Inc. | 197,900 | 4,944 | |
Microsoft Corp. | 60,500 | 27,040 | |
Oracle Corp. | 73,000 | 10,308 | |
Palo Alto Networks, Inc. (n) | 18,800 | 6,373 | |
Salesforce, Inc. | 37,200 | 9,564 | |
UiPath, Inc. Class A (n) | 293,700 | 3,724 | |
83,191 | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
Dell Technologies, Inc. | 54,700 | 7,544 | |
TOTAL INFORMATION TECHNOLOGY | 270,032 | ||
MATERIALS - 0.3% | |||
Chemicals - 0.1% | |||
Olin Corp. | 149,500 | 7,049 | |
The Chemours Co. LLC | 293,779 | 6,631 | |
Westlake Corp. | 20,100 | 2,911 | |
16,591 | |||
Construction Materials - 0.1% | |||
Eagle Materials, Inc. | 48,600 | 10,569 | |
Martin Marietta Materials, Inc. | 10,000 | 5,418 | |
15,987 | |||
Containers & Packaging - 0.1% | |||
Graphic Packaging Holding Co. | 332,500 | 8,715 | |
Metals & Mining - 0.0% | |||
Algoma Steel SCA (b)(n) | 151,792 | 0 | |
Elah Holdings, Inc. (n)(o) | 517 | 19 | |
19 | |||
TOTAL MATERIALS | 41,312 | ||
UTILITIES - 0.4% | |||
Electric Utilities - 0.2% | |||
Constellation Energy Corp. | 120,700 | 24,173 | |
PG&E Corp. | 475,968 | 8,310 | |
Portland General Electric Co. | 13,962 | 604 | |
33,087 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
PureWest Energy (b)(n) | 10,774 | 2 | |
Vistra Corp. | 287,300 | 24,702 | |
24,704 | |||
TOTAL UTILITIES | 57,791 | ||
TOTAL COMMON STOCKS (Cost $687,188) | 919,902 | ||
Nonconvertible Preferred Stocks - 0.0% | |||
Shares | Value ($) (000s) | ||
INDUSTRIALS - 0.0% | |||
Transportation Infrastructure - 0.0% | |||
Tricer Holdco SCA (b)(g)(n) (Cost $6,908) | 193,792,711 | 2 | |
Bank Loan Obligations - 3.8% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
COMMUNICATION SERVICES - 0.1% | |||
Diversified Telecommunication Services - 0.1% | |||
Aventiv Technologies LLC: | |||
1LN, term loan: | |||
CME Term SOFR 1 Month Index + 7.500% 13.0962% 7/31/25 (e)(i)(p) | 111 | 112 | |
CME Term SOFR 3 Month Index + 5.090% 10.6862% 7/31/25 (e)(i)(p) | 4,210 | 3,417 | |
Tranche FLSO 1LN, term loan CME Term SOFR 1 Month Index + 7.500% 7/31/25 (b)(i)(p)(q) | 254 | 254 | |
Connect U.S. Finco LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8439% 9/13/29 (e)(i)(p) | 5,247 | 4,937 | |
Gtt Remainco LLC 1LN, term loan CME Term SOFR 1 Month Index + 7.000% 12.4439% 12/30/27 (e)(i)(p) | 2,833 | 2,634 | |
11,354 | |||
Media - 0.0% | |||
Diamond Sports Group LLC 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 15.4292% 8/24/26 (e)(i)(p) | 1,594 | 1,487 | |
Univision Communications, Inc.: | |||
1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.5846% 6/24/29 (e)(i)(p) | 348 | 347 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.7084% 1/31/29 (e)(i)(p) | 3,499 | 3,412 | |
5,246 | |||
TOTAL COMMUNICATION SERVICES | 16,600 | ||
CONSUMER DISCRETIONARY - 0.7% | |||
Automobile Components - 0.0% | |||
Clarios Global LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.3439% 5/6/30 (e)(i)(p) | 1,247 | 1,248 | |
Broadline Retail - 0.0% | |||
Great Outdoors Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.2084% 3/5/28 (e)(i)(p) | 1,318 | 1,316 | |
Diversified Consumer Services - 0.2% | |||
Sotheby's Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 10.0902% 1/15/27 (e)(i)(p) | 2,398 | 2,194 | |
Spin Holdco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.6001% 3/4/28 (e)(i)(p) | 8,180 | 6,932 | |
TKC Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 11.109% 5/14/28 (e)(i)(p) | 11,534 | 11,503 | |
20,629 | |||
Hotels, Restaurants & Leisure - 0.2% | |||
Carnival Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0939% 10/18/28 (e)(i)(p) | 5,519 | 5,525 | |
Fertitta Entertainment LLC NV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.0808% 1/27/29 (e)(i)(p) | 13,044 | 13,052 | |
Light & Wonder International, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0805% 4/16/29 (e)(i)(p) | 1,079 | 1,078 | |
Ontario Gaming GTA LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5846% 8/1/30 (e)(i)(p) | 2,701 | 2,711 | |
22,366 | |||
Specialty Retail - 0.3% | |||
LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1775% 6/6/31 (e)(i)(p) | 45,390 | 44,583 | |
Wand NewCo 3, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0939% 1/20/31 (e)(i)(p) | 980 | 986 | |
45,569 | |||
TOTAL CONSUMER DISCRETIONARY | 91,128 | ||
CONSUMER STAPLES - 0.0% | |||
Beverages - 0.0% | |||
Naked Juice LLC 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6846% 1/24/29 (e)(i)(p) | 1,019 | 944 | |
Food Products - 0.0% | |||
Fiesta Purchaser, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3439% 2/12/31 (e)(i)(p) | 940 | 946 | |
TOTAL CONSUMER STAPLES | 1,890 | ||
ENERGY - 0.1% | |||
Energy Equipment & Services - 0.0% | |||
Forbes Energy Services LLC Tranche B, term loan 0% (b)(d)(e)(p) | 1,267 | 0 | |
Oil, Gas & Consumable Fuels - 0.1% | |||
EG America LLC Tranche BC 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 11.0716% 2/7/28 (e)(i)(p) | 20,337 | 20,040 | |
Mesquite Energy, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (b)(d)(i)(p) | 3,423 | 0 | |
term loan 0% (b)(d)(e)(p) | 1,476 | 0 | |
20,040 | |||
TOTAL ENERGY | 20,040 | ||
FINANCIALS - 0.3% | |||
Capital Markets - 0.1% | |||
Citadel Securities LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.5939% 7/29/30 (e)(i)(p) | 5,202 | 5,216 | |
Insurance - 0.2% | |||
Acrisure LLC: | |||
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9437% 2/15/27 (e)(i)(p) | 8,122 | 8,110 | |
Tranche B6 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5936% 11/6/30 (e)(i)(p) | 3,317 | 3,311 | |
Alliant Holdings Intermediate LLC Tranche B6 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8387% 11/6/30 (e)(i)(p) | 5,178 | 5,189 | |
HUB International Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5746% 6/20/30 (e)(i)(p) | 2,095 | 2,098 | |
Truist Insurance Holdings LLC: | |||
2L, term loan CME Term SOFR 1 Month Index + 4.750% 10.0859% 3/8/32 (e)(i)(p) | 11,040 | 11,238 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5846% 5/6/31 (e)(i)(p) | 2,105 | 2,107 | |
32,053 | |||
TOTAL FINANCIALS | 37,269 | ||
HEALTH CARE - 0.4% | |||
Health Care Equipment & Supplies - 0.1% | |||
Medline Borrower LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0939% 10/23/28 (e)(i)(p) | 10,003 | 10,017 | |
Health Care Providers & Services - 0.1% | |||
Gainwell Acquisition Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.4346% 10/1/27 (e)(i)(p) | 9,554 | 9,239 | |
Phoenix Newco, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.7084% 11/15/28 (e)(i)(p) | 3,260 | 3,265 | |
12,504 | |||
Health Care Technology - 0.2% | |||
Athenahealth Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.5939% 2/15/29 (e)(i)(p) | 13,423 | 13,364 | |
Cotiviti, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5792% 5/1/31 (e)(i)(p) | 15,716 | 15,617 | |
28,981 | |||
TOTAL HEALTH CARE | 51,502 | ||
INDUSTRIALS - 0.5% | |||
Building Products - 0.1% | |||
Hunter Douglas, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.8359% 2/25/29 (e)(i)(p) | 10,378 | 10,278 | |
MIWD Holdco II LLC Tranche B2, term loan CME Term SOFR 1 Month Index + 3.500% 8.8439% 3/28/31 (e)(i)(p) | 335 | 337 | |
10,615 | |||
Commercial Services & Supplies - 0.3% | |||
ABG Intermediate Holdings 2 LLC Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9292% 12/21/28 (e)(i)(p) | 8,294 | 8,294 | |
Artera Services LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8346% 2/10/31 (e)(i)(p) | 2,768 | 2,778 | |
Bifm California Buyer, Inc. Tranche 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5939% 5/31/28 (e)(i)(p) | 633 | 636 | |
Brand Industrial Services, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8268% 8/1/30 (e)(i)(p) | 14,021 | 14,060 | |
Madison IAQ LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.0936% 6/21/28 (e)(i)(p) | 1,381 | 1,381 | |
Neptune BidCo U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.4059% 4/11/29 (e)(i)(p) | 7,306 | 6,865 | |
Sabert Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1952% 12/16/26 (e)(i)(p) | 2,938 | 2,947 | |
The GEO Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.5939% 4/14/29 (e)(i)(p) | 1,995 | 2,032 | |
38,993 | |||
Machinery - 0.0% | |||
Chart Industries, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6775% 3/17/30 (e)(i)(p) | 743 | 744 | |
STS Operating, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4439% 3/25/31 (e)(i)(p) | 2,633 | 2,638 | |
3,382 | |||
Passenger Airlines - 0.0% | |||
SkyMiles IP Ltd. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.0746% 10/20/27 (e)(i)(p) | 899 | 920 | |
United Airlines, Inc. Tranche 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0936% 2/24/31 (e)(i)(p) | 1,192 | 1,193 | |
2,113 | |||
Professional Services - 0.1% | |||
Galaxy U.S. Opco, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0795% 4/29/29 (e)(i)(p) | 10,568 | 8,534 | |
TOTAL INDUSTRIALS | 63,637 | ||
INFORMATION TECHNOLOGY - 1.2% | |||
Electronic Equipment, Instruments & Components - 0.0% | |||
DG Investment Intermediate Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1937% 3/31/28 (e)(i)(p) | 970 | 966 | |
IT Services - 0.0% | |||
Acuris Finance U.S., Inc. 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.4846% 2/16/28 (e)(i)(p) | 603 | 602 | |
GTT Communications, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 9.000% 14.4346% 6/30/28 (e)(i)(p) | 2,335 | 1,693 | |
2,295 | |||
Software - 1.2% | |||
Applied Systems, Inc.: | |||
Tranche 2LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.5594% 2/23/32 (e)(i)(p) | 95 | 98 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8346% 2/24/31 (e)(i)(p) | 5,170 | 5,205 | |
Boxer Parent Co., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.3439% 12/29/28 (e)(i)(p) | 18,617 | 18,634 | |
ConnectWise LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 9.0962% 9/30/28 (e)(i)(p) | 7,982 | 7,912 | |
McAfee Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5792% 3/1/29 (e)(i)(p) | 14,061 | 14,029 | |
MH Sub I LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5939% 5/3/28 (e)(i)(p) | 8,327 | 8,313 | |
Modena Buyer LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 4/21/31 (i)(p)(q) | 12,720 | 12,398 | |
Polaris Newco LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.5911% 6/2/28 (e)(i)(p) | 3,097 | 3,094 | |
Project Alpha Intermediate Holding, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.072% 10/28/30 (e)(i)(p) | 5,430 | 5,442 | |
Proofpoint, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3439% 8/31/28 (e)(i)(p) | 35,165 | 35,178 | |
RealPage, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4584% 4/22/28 (e)(i)(p) | 3,027 | 2,939 | |
UKG, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.5763% 2/10/31 (e)(i)(p) | 31,294 | 31,395 | |
Veritas U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.4584% 9/1/25 (e)(i)(p) | 4,570 | 3,964 | |
VS Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5808% 4/14/31 (e)(i)(p) | 16,065 | 16,085 | |
164,686 | |||
TOTAL INFORMATION TECHNOLOGY | 167,947 | ||
MATERIALS - 0.5% | |||
Chemicals - 0.2% | |||
Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8439% 11/15/30 (e)(i)(p) | 5,287 | 5,136 | |
Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.370% 9.6813% 10/4/29 (e)(i)(p) | 19,211 | 19,161 | |
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.321% 11/9/28 (e)(i)(p) | 1,672 | 1,673 | |
W.R. Grace Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 8.5939% 9/22/28 (e)(i)(p) | 6,631 | 6,652 | |
32,622 | |||
Containers & Packaging - 0.3% | |||
Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.670% 9.1189% 4/13/29 (e)(i)(p) | 32,080 | 32,130 | |
Kloeckner Pentaplast of America, Inc. Tranche B 1LN, term loan CME Term SOFR 6 Month Index + 4.750% 10.2675% 2/9/26 (e)(i)(p) | 774 | 722 | |
32,852 | |||
Metals & Mining - 0.0% | |||
Arsenal AIC Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0939% 8/19/30 (e)(i)(p) | 759 | 763 | |
TOTAL MATERIALS | 66,237 | ||
UTILITIES - 0.0% | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Talen Energy Supply LLC: | |||
Tranche TLB-EXIT 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 8.8267% 5/17/30 (e)(i)(p) | 241 | 243 | |
Tranche TLC-EXIT 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 8.8267% 5/17/30 (e)(i)(p) | 158 | 160 | |
403 | |||
TOTAL BANK LOAN OBLIGATIONS (Cost $521,129) | 516,653 | ||
Fixed-Income Funds - 21.0% | |||
Shares | Value ($) (000s) | ||
Fidelity Emerging Markets Debt Central Fund (r) | 265,795,075 | 2,110,413 | |
Fidelity Floating Rate Central Fund (r) | 7,599,679 | 744,541 | |
TOTAL FIXED-INCOME FUNDS (Cost $3,222,398) | 2,854,954 | ||
Preferred Securities - 2.3% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
COMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
Orange SA 5.375% (Reg. S) (e)(s) | EUR | 6,100 | 6,833 |
CONSUMER DISCRETIONARY - 0.2% | |||
Automobiles - 0.2% | |||
Volkswagen International Finance NV: | |||
4.375% (Reg. S) (e)(s) | EUR | 20,600 | 20,549 |
7.875% (Reg. S) (e)(s) | EUR | 2,800 | 3,581 |
24,130 | |||
ENERGY - 0.2% | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Energy Transfer LP: | |||
6.625% (e)(s) | 17,100 | 17,021 | |
7.125% (e)(s) | 11,723 | 11,719 | |
Summit Midstream Partners LP 3 month U.S. LIBOR + 7.430% 13.0308% (d)(e)(i)(s) | 1,711 | 2,122 | |
30,862 | |||
FINANCIALS - 1.8% | |||
Banks - 1.6% | |||
Bank of America Corp.: | |||
5.875% (e)(s) | 60,475 | 61,186 | |
6.25% (e)(s) | 18,480 | 18,774 | |
Citigroup, Inc.: | |||
CME Term SOFR 3 Month Index + 3.420% 9.007% (e)(i)(s) | 4,120 | 4,157 | |
5% (e)(s) | 36,455 | 36,769 | |
Citigroup, Inc. 4.7% (e)(s) | 8,755 | 8,730 | |
JPMorgan Chase & Co.: | |||
4% (e)(s) | 19,100 | 18,756 | |
4.6% (e)(s) | 13,385 | 13,454 | |
5% (e)(s) | 18,675 | 19,007 | |
Wells Fargo & Co. 5.875% (e)(s) | 36,775 | 36,690 | |
217,523 | |||
Capital Markets - 0.2% | |||
Goldman Sachs Group, Inc. CME Term SOFR 3 Month Index + 3.130% 8.4612% (e)(i)(s) | 29,914 | 30,333 | |
Financial Services - 0.0% | |||
OEC Finance Ltd. 7.5% pay-in-kind (c)(s) | 26 | 2 | |
TOTAL FINANCIALS | 247,858 | ||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
Enel SpA 6.625% (Reg. S) (e)(s) | EUR | 5,957 | 7,284 |
TOTAL PREFERRED SECURITIES (Cost $314,245) | 316,967 | ||
Money Market Funds - 4.6% | |||
Shares | Value ($) (000s) | ||
Fidelity Cash Central Fund 5.38% (t) | 630,507,779 | 630,634 | |
Fidelity Securities Lending Cash Central Fund 5.38% (t)(u) | 7,799 | 8 | |
TOTAL MONEY MARKET FUNDS (Cost $630,606) | 630,642 | ||
Purchased Swaptions - 0.1% | ||||
Expiration Date | Notional Amount (a) (000s) | Value ($) (000s) | ||
Put Options - 0.1% | ||||
Option on an interest rate swap with Citibank N.A. to receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index and pay a fixed rate of 3.694%, expiring December 2033. | 12/12/28 | 63,500 | 2,624 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.3525% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/03/25 | 19,700 | 1,026 | |
TOTAL PUT OPTIONS | 3,650 | |||
Call Options - 0.0% | ||||
Option on an interest rate swap with Citibank N.A. to receive annually a fixed rate of 3.694% and pay a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring December 2033. | 12/12/28 | 63,500 | 2,397 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive annually a fixed rate of 3.3525% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/03/25 | 19,700 | 234 | |
TOTAL CALL OPTIONS | 2,631 | |||
TOTAL PURCHASED SWAPTIONS (Cost $6,566) | 6,281 |
TOTAL INVESTMENT IN SECURITIES - 101.1% (Cost $14,339,894) | 13,736,323 |
NET OTHER ASSETS (LIABILITIES) - (1.1)% | (150,694) |
NET ASSETS - 100.0% | 13,585,629 |
TBA Sale Commitments | ||
Principal Amount (a) (000s) | Value ($) (000s) | |
Ginnie Mae | ||
Ginnie Mae 2.5% 7/1/54 | (12,700) | (10,681) |
2% 7/1/54 | (14,800) | (11,985) |
2% 7/1/54 | (2,050) | (1,660) |
2% 7/1/54 | (12,450) | (10,081) |
2% 7/1/54 | (450) | (364) |
TOTAL GINNIE MAE | (34,771) | |
Uniform Mortgage Backed Securities | ||
2% 7/1/54 | (13,400) | (10,480) |
2% 7/1/54 | (14,800) | (11,575) |
2% 7/1/54 | (14,800) | (11,575) |
2.5% 7/1/54 | (30,675) | (25,053) |
2.5% 7/1/54 | (30,675) | (25,053) |
5% 7/1/54 | (24,400) | (23,581) |
5% 8/1/54 | (24,400) | (23,588) |
5.5% 7/1/54 | (55,000) | (54,246) |
5.5% 8/1/54 | (55,000) | (54,250) |
6% 7/1/54 | (325) | (326) |
Uniform Mortgage Backed Securities 2.5% 8/1/54 | (30,700) | (25,096) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (264,823) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $300,897) | (299,594) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) (000s) | Value ($) (000s) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
Purchased | |||||
Bond Index Contracts | |||||
Eurex Euro-Bund Contracts (Germany) | 779 | Sep 2024 | 109,807 | 1,348 | 1,348 |
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 9,771 | Sep 2024 | 1,074,657 | 6,270 | 6,270 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 2,009 | Sep 2024 | 410,275 | 669 | 669 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 272 | Sep 2024 | 32,181 | 244 | 244 |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 33 | Sep 2024 | 4,136 | 27 | 27 |
TOTAL TREASURY CONTRACTS | 7,210 | ||||
TOTAL PURCHASED | 8,558 | ||||
Sold | |||||
Bond Index Contracts | |||||
Eurex Euro-BTP Contracts (Germany) | 860 | Sep 2024 | 106,184 | 951 | 951 |
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 157 | Sep 2024 | 16,733 | (105) | (105) |
TOTAL SOLD | 846 | ||||
TOTAL FUTURES CONTRACTS | 9,404 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 11.9% | |||||
The notional amount of futures sold as a percentage of Net Assets is 0.9% |
Forward Foreign Currency Contracts | ||||||
Currency Purchased (000s) | Currency Sold (000s) | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) (000s) | ||
USD | 1,060 | EUR | 989 | State Street Bank and Trust Co | 7/01/24 | 1 |
EUR | 4,370 | USD | 4,691 | HSBC Bank | 7/19/24 | (7) |
USD | 39,637 | AUD | 59,881 | Bank of America, N.A. | 7/19/24 | (329) |
USD | 20,056 | CAD | 27,566 | State Street Bank and Trust Co | 7/19/24 | (102) |
USD | 3,014 | EUR | 2,810 | Citibank, N. A. | 7/19/24 | 3 |
USD | 5,998 | EUR | 5,605 | Royal Bank of Canada | 7/19/24 | (10) |
USD | 2,895 | EUR | 2,698 | Royal Bank of Canada | 7/19/24 | 3 |
USD | 925,039 | EUR | 865,107 | State Street Bank and Trust Co | 7/19/24 | (2,213) |
USD | 73,058 | GBP | 57,420 | Brown Brothers Harriman & Co | 7/19/24 | 466 |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | (2,188) | |||||
Unrealized Appreciation | 473 | |||||
Unrealized Depreciation | (2,661) |
Interest Rate Swaps | ||||||||||
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount (000s)(2) | Value ($) (000s) | Upfront Premium Received/ (Paid) ($) (000s)(3) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
3.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Sep 2026 | 13,755 | (6) | 0 | (6) | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.5% | Annual | LCH | Sep 2027 | 285,483 | 929 | 0 | 929 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.5% | Annual | LCH | Sep 2031 | 79,108 | 726 | 0 | 726 | |
3.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Sep 2034 | 5,116 | (64) | 0 | (64) | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.75% | Annual | LCH | Sep 2044 | 4,489 | 94 | 0 | 94 | |
TOTAL INTEREST RATE SWAPS | 1,679 | 0 | 1,679 |
AUD | - | Australian dollar |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound sterling |
USD | - | U.S. dollar |
(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 $2,664,124,000 or 19.6% 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) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(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 $6,047,000 or 0.0% 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) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(j) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $24,205,000. |
(k) | Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $1,209,000. |
(l) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $9,541,000. |
(m) | Security or a portion of the security has been segregated as collateral for open options. At period end, the value of securities pledged amounted to $269,000. |
(n) | Non-income producing |
(o) | Security or a portion of the security is on loan at period end. |
(p) | Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
(q) | The coupon rate will be determined upon settlement of the loan after period end. |
(r) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(s) | Security is perpetual in nature with no stated maturity date. |
(t) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(u) | Investment made with cash collateral received from securities on loan. |
Additional information on each restricted holding is as follows: | ||
Security | Acquisition Date | Acquisition Cost ($) (000s) |
Jonah Energy Parent LLC 12% 11/5/25 | 5/05/23 | 3,974 |
New Cotai LLC/New Cotai Capital Corp. | 9/11/20 | 11,111 |
Tricer Holdco SCA | 10/16/09 - 12/30/17 | 6,909 |
Tricer Holdco SCA Class A1 | 10/16/09 - 10/29/09 | 1,097 |
Tricer Holdco SCA Class A2 | 10/16/09 - 10/29/09 | 1,097 |
Tricer Holdco SCA Class A3 | 10/16/09 - 10/29/09 | 1,097 |
Tricer Holdco SCA Class A4 | 10/16/09 - 10/29/09 | 1,097 |
Tricer Holdco SCA Class A5 | 10/16/09 - 10/29/09 | 1,097 |
Tricer Holdco SCA Class A6 | 10/16/09 - 10/29/09 | 1,097 |
Tricer Holdco SCA Class A7 | 10/16/09 - 10/29/09 | 1,097 |
Tricer Holdco SCA Class A8 | 10/16/09 - 10/29/09 | 1,097 |
Tricer Holdco SCA Class A9 | 10/16/09 - 10/29/09 | 1,100 |
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 ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.38% | 288,239 | 1,732,659 | 1,390,265 | 8,030 | 3 | (2) | 630,634 | 1.2% |
Fidelity Emerging Markets Debt Central Fund | 2,017,290 | 108,069 | 33,000 | 58,719 | (1,084) | 19,138 | 2,110,413 | 99.7% |
Fidelity Floating Rate Central Fund | 703,674 | 55,138 | 10,000 | 34,135 | 51 | (4,322) | 744,541 | 49.3% |
Fidelity Securities Lending Cash Central Fund 5.38% | - | 430,573 | 430,565 | 8 | - | - | 8 | 0.0% |
Total | 3,009,203 | 2,326,439 | 1,863,830 | 100,892 | (1,030) | 14,814 | 3,485,596 | |
Valuation Inputs at Reporting Date: | ||||
Description (Amounts in thousands) | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | 63,558 | 63,558 | - | - |
Consumer Discretionary | 128,939 | 107,924 | 18,896 | 2,119 |
Consumer Staples | 19,283 | 18,641 | - | 642 |
Energy | 62,772 | 41,983 | - | 20,789 |
Financials | 132,359 | 132,357 | - | 2 |
Health Care | 4,882 | 4,882 | - | - |
Industrials | 138,976 | 138,974 | - | 2 |
Information Technology | 270,032 | 268,385 | - | 1,647 |
Materials | 41,312 | 41,312 | - | - |
Utilities | 57,791 | 57,789 | - | 2 |
Corporate Bonds | 3,875,476 | - | 3,863,470 | 12,006 |
U.S. Government and Government Agency Obligations | 3,086,902 | - | 3,086,902 | - |
U.S. Government Agency - Mortgage Securities | 473,706 | - | 473,706 | - |
Collateralized Mortgage Obligations | 177,484 | - | 177,484 | - |
Commercial Mortgage Securities | 393,698 | - | 393,698 | - |
Foreign Government and Government Agency Obligations | 483,656 | - | 483,656 | - |
Bank Loan Obligations | 516,653 | - | 516,399 | 254 |
Fixed-Income Funds | 2,854,954 | 2,854,954 | - | - |
Preferred Securities | 316,967 | - | 316,967 | - |
Money Market Funds | 630,642 | 630,642 | - | - |
Purchased Swaptions | 6,281 | - | 6,281 | - |
Total Investments in Securities: | 13,736,323 | 4,361,401 | 9,337,459 | 37,463 |
Derivative Instruments: Assets | ||||
Futures Contracts | 9,509 | 9,509 | - | - |
Forward Foreign Currency Contracts | 473 | - | 473 | - |
Swaps | 1,749 | - | 1,749 | - |
Total Assets | 11,731 | 9,509 | 2,222 | - |
Liabilities | ||||
Futures Contracts | (105) | (105) | - | - |
Forward Foreign Currency Contracts | (2,661) | - | (2,661) | - |
Swaps | (70) | - | (70) | - |
Total Liabilities | (2,836) | (105) | (2,731) | - |
Total Derivative Instruments: | 8,895 | 9,404 | (509) | - |
Other Financial Instruments: | ||||
TBA Sale Commitments | (299,594) | - | (299,594) | - |
Total Other Financial Instruments: | (299,594) | - | (299,594) | - |
Primary Risk Exposure / Derivative Type | Value | |
(Amounts in thousands) | Asset ($) | Liability ($) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts (a) | 473 | (2,661) |
Total Foreign Exchange Risk | 473 | (2,661) |
Interest Rate Risk | ||
Futures Contracts (b) | 9,509 | (105) |
Purchased Swaptions (c) | 6,281 | 0 |
Swaps (d) | 1,749 | (70) |
Total Interest Rate Risk | 17,539 | (175) |
Total Value of Derivatives | 18,012 | (2,836) |
Statement of Assets and Liabilities | ||||
Amounts in thousands (except per-share amounts) | June 30, 2024 (Unaudited) | |||
Assets | ||||
Investment in securities, at value (including securities loaned of $7) - See accompanying schedule: | ||||
Unaffiliated issuers (cost $10,486,890) | $ | 10,250,727 | ||
Fidelity Central Funds (cost $3,853,004) | 3,485,596 | |||
Total Investment in Securities (cost $14,339,894) | $ | 13,736,323 | ||
Segregated cash with brokers for derivative instruments | 1,979 | |||
Cash | 17,039 | |||
Foreign currency held at value (cost $19) | 19 | |||
Receivable for investments sold | 4,255 | |||
Receivable for TBA sale commitments | 300,897 | |||
Unrealized appreciation on forward foreign currency contracts | 473 | |||
Receivable for fund shares sold | 8,935 | |||
Dividends receivable | 1,260 | |||
Interest receivable | 113,783 | |||
Distributions receivable from Fidelity Central Funds | 2,217 | |||
Receivable for daily variation margin on centrally cleared swaps | 340 | |||
Other receivables | 127 | |||
Total assets | 14,187,647 | |||
Liabilities | ||||
Payable for investments purchased | ||||
Regular delivery | $ | 60,597 | ||
Delayed delivery | 207,096 | |||
TBA sale commitments, at value | 299,594 | |||
Unrealized depreciation on forward foreign currency contracts | 2,661 | |||
Payable for fund shares redeemed | 16,386 | |||
Distributions payable | 4,161 | |||
Accrued management fee | 7,531 | |||
Distribution and service plan fees payable | 607 | |||
Payable for daily variation margin on futures contracts | 3,146 | |||
Other payables and accrued expenses | 231 | |||
Collateral on securities loaned | 8 | |||
Total liabilities | 602,018 | |||
Net Assets | $ | 13,585,629 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 14,682,502 | ||
Total accumulated earnings (loss) | (1,096,873) | |||
Net Assets | $ | 13,585,629 | ||
Net Asset Value and Maximum Offering Price | ||||
Class A : | ||||
Net Asset Value and redemption price per share ($1,609,402 ÷ 142,667 shares)(a) | $ | 11.28 | ||
Maximum offering price per share (100/96.00 of $11.28) | $ | 11.75 | ||
Class M : | ||||
Net Asset Value and redemption price per share ($608,135 ÷ 53,938 shares)(a) | $ | 11.27 | ||
Maximum offering price per share (100/96.00 of $11.27) | $ | 11.74 | ||
Class C : | ||||
Net Asset Value and offering price per share ($171,757 ÷ 15,269 shares)(a) | $ | 11.25 | ||
Fidelity Strategic Income Fund : | ||||
Net Asset Value, offering price and redemption price per share ($5,291,265 ÷ 462,306 shares) | $ | 11.45 | ||
Class I : | ||||
Net Asset Value, offering price and redemption price per share ($4,781,705 ÷ 417,742 shares) | $ | 11.45 | ||
Class Z : | ||||
Net Asset Value, offering price and redemption price per share ($1,123,365 ÷ 98,095 shares) | $ | 11.45 | ||
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
Statement of Operations | ||||
Amounts in thousands | Six months ended June 30, 2024 (Unaudited) | |||
Investment Income | ||||
Dividends | $ | 23,331 | ||
Interest | 232,297 | |||
Income from Fidelity Central Funds (including $8 from security lending) | 100,892 | |||
Total income | 356,520 | |||
Expenses | ||||
Management fee | $ | 41,848 | ||
Transfer agent fees | 2,821 | |||
Distribution and service plan fees | 3,654 | |||
Accounting fees | 274 | |||
Custodian fees and expenses | 22 | |||
Independent trustees' fees and expenses | 18 | |||
Registration fees | 205 | |||
Audit | 62 | |||
Legal | 38 | |||
Miscellaneous | 80 | |||
Total expenses before reductions | 49,022 | |||
Expense reductions | (338) | |||
Total expenses after reductions | 48,684 | |||
Net Investment income (loss) | 307,836 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 28,312 | |||
Fidelity Central Funds | (1,030) | |||
Forward foreign currency contracts | 26,890 | |||
Foreign currency transactions | (215) | |||
Futures contracts | (16,525) | |||
Swaps | 4,953 | |||
Total net realized gain (loss) | 42,385 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (29,288) | |||
Fidelity Central Funds | 14,814 | |||
Forward foreign currency contracts | 10,392 | |||
Assets and liabilities in foreign currencies | (514) | |||
Futures contracts | (26,716) | |||
Swaps | 8,009 | |||
TBA Sale commitments | 5,216 | |||
Total change in net unrealized appreciation (depreciation) | (18,087) | |||
Net gain (loss) | 24,298 | |||
Net increase (decrease) in net assets resulting from operations | $ | 332,134 |
Statement of Changes in Net Assets | ||||
Amount in thousands | Six months ended June 30, 2024 (Unaudited) | Year ended December 31, 2023 | ||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 307,836 | $ | 570,209 |
Net realized gain (loss) | 42,385 | (336,674) | ||
Change in net unrealized appreciation (depreciation) | (18,087) | 933,015 | ||
Net increase (decrease) in net assets resulting from operations | 332,134 | 1,166,550 | ||
Distributions to shareholders | (280,015) | (566,783) | ||
Share transactions - net increase (decrease) | 241,790 | (142,156) | ||
Total increase (decrease) in net assets | 293,909 | 457,611 | ||
Net Assets | ||||
Beginning of period | 13,291,720 | 12,834,109 | ||
End of period | $ | 13,585,629 | $ | 13,291,720 |
Fidelity Advisor® Strategic Income Fund Class A |
Six months ended (Unaudited) June 30, 2024 | Years ended December 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.24 | $ | 10.73 | $ | 12.51 | $ | 12.61 | $ | 12.29 | $ | 11.56 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .246 | .456 | .359 | .303 | .367 | .412 | ||||||
Net realized and unrealized gain (loss) | .016 | .507 | (1.764) | .143 | .497 | .818 | ||||||
Total from investment operations | .262 | .963 | (1.405) | .446 | .864 | 1.230 | ||||||
Distributions from net investment income | (.222) | (.453) | (.361) | (.305) | (.386) | (.390) | ||||||
Distributions from net realized gain | - | - | (.014) | (.241) | (.158) | (.110) | ||||||
Total distributions | (.222) | (.453) | (.375) | (.546) | (.544) | (.500) | ||||||
Net asset value, end of period | $ | 11.28 | $ | 11.24 | $ | 10.73 | $ | 12.51 | $ | 12.61 | $ | 12.29 |
Total Return C,D,E | 2.36 % | 9.19% | (11.29)% | 3.58% | 7.19% | 10.74% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions | .96% H | .97% | .98% | .97% | .97% | .98% | ||||||
Expenses net of fee waivers, if any | .95 % H | .97% | .97% | .96% | .97% | .97% | ||||||
Expenses net of all reductions | .95% H | .97% | .97% | .96% | .97% | .97% | ||||||
Net investment income (loss) | 4.41% H | 4.19% | 3.18% | 2.39% | 3.02% | 3.38% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (in millions) | $ | 1,609 | $ | 1,619 | $ | 1,637 | $ | 2,072 | $ | 1,904 | $ | 1,918 |
Portfolio turnover rate I | 87 % H | 72% | 69% | 94% | 96% | 138% J |
Fidelity Advisor® Strategic Income Fund Class M |
Six months ended (Unaudited) June 30, 2024 | Years ended December 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.23 | $ | 10.72 | $ | 12.51 | $ | 12.61 | $ | 12.28 | $ | 11.55 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .246 | .457 | .360 | .304 | .368 | .412 | ||||||
Net realized and unrealized gain (loss) | .016 | .507 | (1.774) | .142 | .506 | .818 | ||||||
Total from investment operations | .262 | .964 | (1.414) | .446 | .874 | 1.230 | ||||||
Distributions from net investment income | (.222) | (.454) | (.362) | (.305) | (.386) | (.390) | ||||||
Distributions from net realized gain | - | - | (.014) | (.241) | (.158) | (.110) | ||||||
Total distributions | (.222) | (.454) | (.376) | (.546) | (.544) | (.500) | ||||||
Net asset value, end of period | $ | 11.27 | $ | 11.23 | $ | 10.72 | $ | 12.51 | $ | 12.61 | $ | 12.28 |
Total Return C,D,E | 2.36 % | 9.20% | (11.37)% | 3.59% | 7.29% | 10.75% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions | .95% H | .97% | .97% | .96% | .96% | .97% | ||||||
Expenses net of fee waivers, if any | .95 % H | .96% | .97% | .96% | .96% | .97% | ||||||
Expenses net of all reductions | .95% H | .96% | .97% | .96% | .96% | .97% | ||||||
Net investment income (loss) | 4.41% H | 4.20% | 3.19% | 2.39% | 3.03% | 3.39% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (in millions) | $ | 608 | $ | 616 | $ | 630 | $ | 797 | $ | 792 | $ | 806 |
Portfolio turnover rate I | 87 % H | 72% | 69% | 94% | 96% | 138% J |
Fidelity Advisor® Strategic Income Fund Class C |
Six months ended (Unaudited) June 30, 2024 | Years ended December 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.21 | $ | 10.70 | $ | 12.48 | $ | 12.58 | $ | 12.26 | $ | 11.53 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .203 | .373 | .275 | .208 | .276 | .320 | ||||||
Net realized and unrealized gain (loss) | .017 | .507 | (1.765) | .142 | .496 | .818 | ||||||
Total from investment operations | .220 | .880 | (1.490) | .350 | .772 | 1.138 | ||||||
Distributions from net investment income | (.180) | (.370) | (.276) | (.209) | (.294) | (.298) | ||||||
Distributions from net realized gain | - | - | (.014) | (.241) | (.158) | (.110) | ||||||
Total distributions | (.180) | (.370) | (.290) | (.450) | (.452) | (.408) | ||||||
Net asset value, end of period | $ | 11.25 | $ | 11.21 | $ | 10.70 | $ | 12.48 | $ | 12.58 | $ | 12.26 |
Total Return C,D,E | 1.98 % | 8.39% | (11.99)% | 2.81% | 6.41% | 9.94% | ||||||
Ratios to Average Net Assets B,F,G | ||||||||||||
Expenses before reductions | 1.71% H | 1.73% | 1.73% | 1.72% | 1.72% | 1.72% | ||||||
Expenses net of fee waivers, if any | 1.71 % H | 1.73% | 1.73% | 1.72% | 1.72% | 1.72% | ||||||
Expenses net of all reductions | 1.71% H | 1.73% | 1.73% | 1.72% | 1.72% | 1.72% | ||||||
Net investment income (loss) | 3.66% H | 3.43% | 2.43% | 1.64% | 2.27% | 2.63% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (in millions) | $ | 172 | $ | 184 | $ | 222 | $ | 354 | $ | 572 | $ | 678 |
Portfolio turnover rate I | 87 % H | 72% | 69% | 94% | 96% | 138% J |
Fidelity® Strategic Income Fund |
Six months ended (Unaudited) June 30, 2024 | Years ended December 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.40 | $ | 10.88 | $ | 12.70 | $ | 12.79 | $ | 12.46 | $ | 11.72 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .266 | .495 | .399 | .346 | .410 | .454 | ||||||
Net realized and unrealized gain (loss) | .026 | .517 | (1.805) | .153 | .504 | .827 | ||||||
Total from investment operations | .292 | 1.012 | (1.406) | .499 | .914 | 1.281 | ||||||
Distributions from net investment income | (.242) | (.492) | (.400) | (.348) | (.426) | (.431) | ||||||
Distributions from net realized gain | - | - | (.014) | (.241) | (.158) | (.110) | ||||||
Total distributions | (.242) | (.492) | (.414) | (.589) | (.584) | (.541) | ||||||
Net asset value, end of period | $ | 11.45 | $ | 11.40 | $ | 10.88 | $ | 12.70 | $ | 12.79 | $ | 12.46 |
Total Return C,D | 2.60 % | 9.54% | (11.14)% | 3.96% | 7.53% | 11.04% | ||||||
Ratios to Average Net Assets B,E,F | ||||||||||||
Expenses before reductions | .66% G | .68% | .68% | .66% | .67% | .68% | ||||||
Expenses net of fee waivers, if any | .66 % G | .67% | .68% | .66% | .67% | .68% | ||||||
Expenses net of all reductions | .66% G | .67% | .68% | .66% | .67% | .68% | ||||||
Net investment income (loss) | 4.71% G | 4.49% | 3.48% | 2.69% | 3.32% | 3.68% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (in millions) | $ | 5,291 | $ | 5,417 | $ | 5,457 | $ | 7,245 | $ | 6,823 | $ | 8,139 |
Portfolio turnover rate H | 87 % G | 72% | 69% | 94% | 96% | 138% I |
Fidelity Advisor® Strategic Income Fund Class I |
Six months ended (Unaudited) June 30, 2024 | Years ended December 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.40 | $ | 10.88 | $ | 12.70 | $ | 12.79 | $ | 12.46 | $ | 11.72 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .263 | .490 | .394 | .340 | .404 | .449 | ||||||
Net realized and unrealized gain (loss) | .027 | .518 | (1.805) | .153 | .505 | .827 | ||||||
Total from investment operations | .290 | 1.008 | (1.411) | .493 | .909 | 1.276 | ||||||
Distributions from net investment income | (.240) | (.488) | (.395) | (.342) | (.421) | (.426) | ||||||
Distributions from net realized gain | - | - | (.014) | (.241) | (.158) | (.110) | ||||||
Total distributions | (.240) | (.488) | (.409) | (.583) | (.579) | (.536) | ||||||
Net asset value, end of period | $ | 11.45 | $ | 11.40 | $ | 10.88 | $ | 12.70 | $ | 12.79 | $ | 12.46 |
Total Return C,D | 2.57 % | 9.49% | (11.18)% | 3.91% | 7.48% | 11.00% | ||||||
Ratios to Average Net Assets B,E,F | ||||||||||||
Expenses before reductions | .71% G | .72% | .72% | .71% | .71% | .72% | ||||||
Expenses net of fee waivers, if any | .71 % G | .72% | .72% | .71% | .71% | .72% | ||||||
Expenses net of all reductions | .71% G | .72% | .72% | .71% | .71% | .72% | ||||||
Net investment income (loss) | 4.66% G | 4.44% | 3.44% | 2.64% | 3.28% | 3.64% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (in millions) | $ | 4,782 | $ | 4,401 | $ | 3,986 | $ | 5,460 | $ | 4,890 | $ | 4,899 |
Portfolio turnover rate H | 87 % G | 72% | 69% | 94% | 96% | 138% I |
Fidelity Advisor® Strategic Income Fund Class Z |
Six months ended (Unaudited) June 30, 2024 | Years ended December 31, 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 11.41 | $ | 10.89 | $ | 12.70 | $ | 12.80 | $ | 12.47 | $ | 11.72 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) A,B | .269 | .502 | .405 | .352 | .417 | .461 | ||||||
Net realized and unrealized gain (loss) | .017 | .517 | (1.794) | .143 | .504 | .837 | ||||||
Total from investment operations | .286 | 1.019 | (1.389) | .495 | .921 | 1.298 | ||||||
Distributions from net investment income | (.246) | (.499) | (.407) | (.354) | (.433) | (.438) | ||||||
Distributions from net realized gain | - | - | (.014) | (.241) | (.158) | (.110) | ||||||
Total distributions | (.246) | (.499) | (.421) | (.595) | (.591) | (.548) | ||||||
Net asset value, end of period | $ | 11.45 | $ | 11.41 | $ | 10.89 | $ | 12.70 | $ | 12.80 | $ | 12.47 |
Total Return C,D | 2.54 % | 9.60% | (11.00)% | 3.92% | 7.59% | 11.19% | ||||||
Ratios to Average Net Assets B,E,F | ||||||||||||
Expenses before reductions | .61% G | .62% | .62% | .61% | .61% | .62% | ||||||
Expenses net of fee waivers, if any | .61 % G | .61% | .62% | .61% | .61% | .62% | ||||||
Expenses net of all reductions | .60% G | .61% | .62% | .61% | .61% | .62% | ||||||
Net investment income (loss) | 4.76% G | 4.55% | 3.54% | 2.74% | 3.38% | 3.74% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (in millions) | $ | 1,123 | $ | 1,054 | $ | 902 | $ | 1,058 | $ | 662 | $ | 587 |
Portfolio turnover rate H | 87 % G | 72% | 69% | 94% | 96% | 138% I |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Emerging Markets Debt Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks high total return by normally investing in debt securities of issuers in emerging markets and other debt investments that are tied economically to emerging markets. | Delayed Delivery & When Issued Securities Foreign Securities Futures Restricted Securities | .02% |
Fidelity Floating Rate Central Fund | Fidelity Management & Research Company LLC (FMR) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments Restricted Securities | .01% |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Fidelity Advisor Strategic Income Fund | $125 |
Gross unrealized appreciation | $480,165 |
Gross unrealized depreciation | (1,058,163) |
Net unrealized appreciation (depreciation) | $(577,998) |
Tax cost | $14,324,518 |
Short-term | $(241,468) |
Long-term | (222,948) |
Total capital loss carryforward | $(464,416) |
Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
Fidelity Advisor Strategic Income Fund | ||
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts | 26,890 | 10,392 |
Total Foreign Exchange Risk | 26,890 | 10,392 |
Interest Rate Risk | ||
Futures Contracts | (16,525) | (26,716) |
Purchased Options | - | (407) |
Swaps | 4,953 | 8,009 |
Total Interest Rate Risk | (11,572) | (19,114) |
Totals | 15,318 | (8,722) |
Purchases ($) | Sales ($) | |
Fidelity Advisor Strategic Income Fund | 3,657,249 | 3,899,944 |
Maximum Management Fee Rate % | |
Class A | .70 |
Class M | .69 |
Class C | .70 |
Fidelity Strategic Income Fund | .65 |
Class I | .69 |
Class Z | .59 |
Total Management Fee Rate % | |
Class A | .69 |
Class M | .69 |
Class C | .69 |
Fidelity Strategic Income Fund | .65 |
Class I | .69 |
Class Z | .59 |
Distribution Fee | Service Fee | Total Fees ($) | Retained by FDC ($) | |
Class A | - % | .25% | 2,007 | 53 |
Class M | - % | .25% | 761 | 9 |
Class C | .75% | .25% | 886 | 97 |
3,654 | 159 |
Retained by FDC ($) | |
Class A | 49 |
Class M | 7 |
Class C A | 1 |
57 |
Amount ($) | % of Class-Level Average Net Assets | ||
Class A | 419 | .1564 | |
Class M | 151 | .1486 | |
Class C | 49 | .1638 | |
Fidelity Strategic Income Fund | 972 | .1089 | |
Class I | 1,143 | .1539 | |
Class Z | 87 | .0500 | |
2,821 | |||
% of Average Net Assets | |
Fidelity Advisor Strategic Income Fund | .0124 |
Amount ($) | |
Fidelity Advisor Strategic Income Fund | 2 |
Purchases ($) | Sales ($) | Realized Gain (Loss)($) | |
Fidelity Advisor Strategic Income Fund | 16,990 | 11,722 | 1,423 |
Amount ($) | |
Fidelity Advisor Strategic Income Fund | 12 |
Total Security Lending Fees Paid to NFS ($) | Security Lending Income From Securities Loaned to NFS ($) | Value of Securities Loaned to NFS at Period End ($) | |
Fidelity Advisor Strategic Income Fund | 1 | - | - |
Six months ended June 30, 2024 | Year ended December 31, 2023 | |
Fidelity Advisor Strategic Income Fund | ||
Distributions to shareholders | ||
Class A | $31,868 | $67,298 |
Class M | 12,080 | 25,593 |
Class C | 2,849 | 6,777 |
Fidelity Strategic Income Fund | 112,788 | 240,046 |
Class I | 97,158 | 183,592 |
Class Z | 23,272 | 43,477 |
Total | $280,015 | $566,783 |
Shares | Shares | Dollars | Dollars | |
Six months ended June 30, 2024 | Year ended December 31, 2023 | Six months ended June 30, 2024 | Year ended December 31, 2023 | |
Fidelity Advisor Strategic Income Fund | ||||
Class A | ||||
Shares sold | 9,243 | 15,738 | $103,574 | $171,190 |
Reinvestment of distributions | 2,718 | 5,894 | 30,476 | 64,318 |
Shares redeemed | (13,333) | (30,202) | (149,395) | (328,277) |
Net increase (decrease) | (1,372) | (8,570) | $(15,345) | $(92,769) |
Class M | ||||
Shares sold | 3,001 | 5,068 | $33,638 | $55,110 |
Reinvestment of distributions | 1,056 | 2,296 | 11,830 | 25,043 |
Shares redeemed | (4,986) | (11,236) | (55,826) | (122,103) |
Net increase (decrease) | (929) | (3,872) | $(10,358) | $(41,950) |
Class C | ||||
Shares sold | 1,448 | 1,887 | $16,179 | $20,525 |
Reinvestment of distributions | 248 | 605 | 2,774 | 6,584 |
Shares redeemed | (2,865) | (6,830) | (32,001) | (74,051) |
Net increase (decrease) | (1,169) | (4,338) | $(13,048) | $(46,942) |
Fidelity Strategic Income Fund | ||||
Shares sold | 32,561 | 55,288 | $370,166 | $611,273 |
Reinvestment of distributions | 8,695 | 19,106 | 98,908 | 211,514 |
Shares redeemed | (54,081) | (100,696) | (614,014) | (1,110,551) |
Net increase (decrease) | (12,825) | (26,302) | $(144,940) | $(287,764) |
Class I | ||||
Shares sold | 73,461 | 119,335 | $834,981 | $1,318,952 |
Reinvestment of distributions | 8,147 | 15,754 | 92,719 | 174,425 |
Shares redeemed | (49,866) | (115,366) | (567,044) | (1,272,517) |
Net increase (decrease) | 31,742 | 19,723 | $360,656 | $220,860 |
Class Z | ||||
Shares sold | 16,630 | 36,757 | $189,113 | $406,571 |
Reinvestment of distributions | 1,627 | 3,150 | 18,523 | 34,900 |
Shares redeemed | (12,563) | (30,338) | (142,811) | (335,062) |
Net increase (decrease) | 5,694 | 9,569 | $64,825 | $106,409 |
Item 8.
Changes in and Disagreements with Accountants for Open-End Management Investment Companies
See Item 7.
Item 9.
Proxy Disclosures for Open-End Management Investment Companies
See Item 7.
Item 10.
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
See Item 7.
Item 11.
Statement Regarding Basis for Approval of Investment Advisory Contract
See Item 7.
Item 12.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 13.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 14.
Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 15.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series II’s Board of Trustees.
Item 16.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 17.
Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 18.
Recovery of Erroneously Awarded Compensation
(a)
Not applicable.
(b)
Not applicable.
Item 19.
Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Advisor Series II
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer (Principal Executive Officer) | |
Date: | August 22, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer (Principal Executive Officer) | |
Date: | August 22, 2024 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer (Principal Financial Officer) | |
Date: | August 22, 2024 |