Quarterly Holdings Report
for
Fidelity Advisor® Strategic Income Fund
September 30, 2019
SI-QTLY-1119
1.808792.115
Schedule of Investments September 30, 2019 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 28.3% | |||
Principal Amount (000s)(a) | Value (000s) | ||
Convertible Bonds - 0.1% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Auto Components - 0.0% | |||
Exide Technologies 7.25% 4/30/27 pay-in-kind (b)(c) | $1,223 | $306 | |
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Denbury Resources, Inc. 6.375% 12/31/24 (b) | 24,702 | 14,373 | |
TOTAL CONVERTIBLE BONDS | 14,679 | ||
Nonconvertible Bonds - 28.2% | |||
COMMUNICATION SERVICES - 5.7% | |||
Diversified Telecommunication Services - 1.8% | |||
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) | 13,810 | 14,311 | |
Connect Finco SARL / Connect U.S. Finco LLC 6.75% 10/1/26 (b)(d) | 14,570 | 14,843 | |
Cumulus Media New Holdings, Inc. 6.75% 7/1/26 (b) | 3,825 | 4,011 | |
Frontier Communications Corp. 8.5% 4/1/26 (b) | 18,610 | 18,608 | |
GCI, Inc. 6.875% 4/15/25 | 8,000 | 8,420 | |
Sable International Finance Ltd. 5.75% 9/7/27 (b) | 9,165 | 9,472 | |
SFR Group SA: | |||
5.5% 1/15/28 (b) | 13,345 | 13,513 | |
7.375% 5/1/26 (b) | 62,475 | 66,986 | |
8.125% 2/1/27 (b) | 4,495 | 4,961 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 49,092 | 53,520 | |
8.75% 3/15/32 | 41,973 | 51,772 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) | 15,000 | 15,713 | |
U.S. West Communications: | |||
6.875% 9/15/33 | 4,080 | 4,080 | |
7.25% 9/15/25 | 955 | 1,080 | |
UPCB Finance IV Ltd. 5.375% 1/15/25 (b) | 8,745 | 8,985 | |
Virgin Media Finance PLC 4.875% 2/15/22 | 10,085 | 10,123 | |
300,398 | |||
Entertainment - 0.5% | |||
Lions Gate Entertainment Corp. 5.875% 11/1/24 (b) | 2,640 | 2,713 | |
Livent, Inc. 9.375% 10/15/04 (e)(f) | 300 | 0 | |
Netflix, Inc.: | |||
4.375% 11/15/26 | 3,920 | 3,971 | |
4.875% 4/15/28 | 16,980 | 17,276 | |
5.375% 11/15/29 (b) | 6,760 | 7,030 | |
5.875% 2/15/25 | 3,572 | 3,923 | |
5.875% 11/15/28 | 38,210 | 41,508 | |
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (b)(c)(e) | 19,050 | 10,096 | |
86,517 | |||
Interactive Media & Services - 0.0% | |||
Entercom Media Corp. 6.5% 5/1/27 (b) | 3,865 | 4,039 | |
Media - 3.0% | |||
Block Communications, Inc. 6.875% 2/15/25 (b) | 5,740 | 5,984 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.75% 3/1/30 (b)(d) | 21,845 | 22,145 | |
5% 2/1/28 (b) | 54,720 | 56,567 | |
5.125% 2/15/23 | 18,635 | 18,938 | |
5.125% 5/1/23 (b) | 10,230 | 10,483 | |
5.125% 5/1/27 (b) | 42,005 | 43,843 | |
5.375% 5/1/25 (b) | 10,230 | 10,614 | |
5.375% 6/1/29 (b) | 31,835 | 33,904 | |
5.5% 5/1/26 (b) | 12,355 | 12,941 | |
5.75% 9/1/23 | 4,645 | 4,738 | |
5.75% 1/15/24 | 8,170 | 8,354 | |
5.75% 2/15/26 (b) | 13,895 | 14,659 | |
5.875% 5/1/27 (b) | 10,315 | 10,908 | |
Cengage Learning, Inc. 9.5% 6/15/24 (b) | 14,580 | 13,341 | |
CSC Holdings LLC: | |||
5.125% 12/15/21 (b) | 11,900 | 11,902 | |
5.375% 2/1/28 (b) | 13,855 | 14,600 | |
5.5% 5/15/26 (b) | 31,192 | 32,826 | |
5.75% 1/15/30 (b)(d) | 32,865 | 34,348 | |
6.5% 2/1/29 (b) | 15,380 | 17,094 | |
7.5% 4/1/28 (b) | 8,475 | 9,544 | |
Getty Images, Inc. 9.75% 3/1/27 (b) | 12,745 | 12,869 | |
iHeartCommunications, Inc.: | |||
6.375% 5/1/26 | 443 | 479 | |
8.375% 5/1/27 | 804 | 868 | |
11.25% 3/1/21 (e)(f) | 7,710 | 0 | |
Liberty Media Corp.: | |||
8.25% 2/1/30 | 4,695 | 4,918 | |
8.5% 7/15/29 | 6,265 | 6,672 | |
Nexstar Escrow, Inc. 5.625% 7/15/27 (b) | 7,650 | 8,013 | |
Quebecor Media, Inc. 5.75% 1/15/23 | 14,205 | 15,448 | |
Sirius XM Radio, Inc.: | |||
4.625% 5/15/23 (b) | 4,550 | 4,637 | |
5% 8/1/27 (b) | 8,740 | 9,015 | |
5.375% 4/15/25 (b) | 8,845 | 9,166 | |
5.375% 7/15/26 (b) | 7,940 | 8,336 | |
Tegna, Inc. 5% 9/15/29 (b) | 7,290 | 7,372 | |
Videotron Ltd. 5.125% 4/15/27 (b) | 7,325 | 7,746 | |
Ziggo Bond Finance BV: | |||
5.875% 1/15/25 (b) | 825 | 848 | |
6% 1/15/27 (b) | 7,930 | 8,277 | |
Ziggo Secured Finance BV 5.5% 1/15/27 (b) | 15,855 | 16,524 | |
508,921 | |||
Wireless Telecommunication Services - 0.4% | |||
Intelsat Jackson Holdings SA: | |||
5.5% 8/1/23 | 9,170 | 8,555 | |
8.5% 10/15/24 (b) | 23,220 | 23,387 | |
9.75% 7/15/25 (b) | 26,180 | 27,345 | |
Sprint Corp. 7.625% 3/1/26 | 11,290 | 12,461 | |
Telesat Canada/Telesat LLC 6.5% 10/15/27 (b)(d) | 4,800 | 4,884 | |
76,632 | |||
TOTAL COMMUNICATION SERVICES | 976,507 | ||
CONSUMER DISCRETIONARY - 2.1% | |||
Auto Components - 0.2% | |||
Allison Transmission, Inc.: | |||
5% 10/1/24 (b) | 7,960 | 8,134 | |
5.875% 6/1/29 (b) | 4,830 | 5,241 | |
Delphi Technologies PLC 5% 10/1/25 (b) | 7,945 | 7,031 | |
Exide Technologies: | |||
10.75% 10/31/21 pay-in-kind (b)(c)(f) | 600 | 570 | |
11% 10/31/24 pay-in-kind (b)(c)(f) | 1,500 | 1,080 | |
11% 10/31/24 pay-in-kind (b)(c)(f) | 608 | 334 | |
Tenneco, Inc. 5% 7/15/26 | 5,815 | 4,768 | |
27,158 | |||
Distributors - 0.0% | |||
LKQ Corp. 4.75% 5/15/23 | 2,025 | 2,050 | |
Diversified Consumer Services - 0.1% | |||
BidFair MergeRight, Inc. 7.375% 10/15/27 (b) | 15,225 | 15,510 | |
Laureate Education, Inc. 8.25% 5/1/25 (b) | 1,685 | 1,832 | |
Service Corp. International 5.125% 6/1/29 | 3,420 | 3,655 | |
20,997 | |||
Hotels, Restaurants & Leisure - 1.3% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
3.875% 1/15/28 (b) | 5,535 | 5,570 | |
5% 10/15/25 (b) | 39,105 | 40,395 | |
Choice Hotels International, Inc. 5.75% 7/1/22 | 2,690 | 2,898 | |
FelCor Lodging LP 6% 6/1/25 | 7,895 | 8,290 | |
Golden Nugget, Inc.: | |||
6.75% 10/15/24 (b) | 14,400 | 14,760 | |
8.75% 10/1/25 (b) | 14,520 | 15,137 | |
Hilton Domestic Operating Co., Inc.: | |||
4.875% 1/15/30 (b) | 11,025 | 11,641 | |
5.125% 5/1/26 | 10,820 | 11,361 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.: | |||
4.625% 4/1/25 | 11,100 | 11,433 | |
4.875% 4/1/27 | 5,210 | 5,508 | |
KFC Holding Co./Pizza Hut Holding LLC: | |||
4.75% 6/1/27 (b) | 5,590 | 5,821 | |
5% 6/1/24 (b) | 6,145 | 6,375 | |
5.25% 6/1/26 (b) | 6,145 | 6,504 | |
LTF Merger Sub, Inc. 8.5% 6/15/23 (b) | 5,255 | 5,386 | |
Marriott Ownership Resorts, Inc. 6.5% 9/15/26 | 5,580 | 6,012 | |
MCE Finance Ltd.: | |||
4.875% 6/6/25 (b) | 17,840 | 18,023 | |
5.25% 4/26/26 (b) | 7,345 | 7,465 | |
Merlin Entertainments PLC 5.75% 6/15/26 (b) | 7,215 | 7,463 | |
Six Flags Entertainment Corp.: | |||
4.875% 7/31/24 (b) | 4,070 | 4,212 | |
5.5% 4/15/27 (b) | 2,160 | 2,303 | |
Studio City Co. Ltd. 7.25% 11/30/21 (b) | 4,230 | 4,336 | |
Viking Cruises Ltd. 5.875% 9/15/27 (b) | 3,395 | 3,597 | |
Voc Escrow Ltd. 5% 2/15/28 (b) | 6,285 | 6,490 | |
Yum! Brands, Inc. 4.75% 1/15/30 (b) | 4,590 | 4,733 | |
215,713 | |||
Household Durables - 0.3% | |||
Lennar Corp. 4.75% 11/29/27 | 7,175 | 7,695 | |
LGI Homes, Inc. 6.875% 7/15/26 (b) | 7,205 | 7,493 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (b) | 6,160 | 6,576 | |
Toll Brothers Finance Corp.: | |||
4.375% 4/15/23 | 4,998 | 5,235 | |
5.625% 1/15/24 | 2,345 | 2,550 | |
TRI Pointe Homes, Inc. 5.875% 6/15/24 | 11,770 | 12,535 | |
William Lyon Homes, Inc.: | |||
5.875% 1/31/25 | 4,625 | 4,671 | |
6% 9/1/23 | 4,385 | 4,560 | |
51,315 | |||
Internet & Direct Marketing Retail - 0.2% | |||
Zayo Group LLC/Zayo Capital, Inc.: | |||
5.75% 1/15/27 (b) | 19,125 | 19,551 | |
6% 4/1/23 | 8,385 | 8,605 | |
6.375% 5/15/25 | 1,440 | 1,483 | |
29,639 | |||
Specialty Retail - 0.0% | |||
IAA Spinco, Inc. 5.5% 6/15/27 (b) | 2,830 | 2,986 | |
Penske Automotive Group, Inc. 5.5% 5/15/26 | 5,975 | 6,249 | |
9,235 | |||
TOTAL CONSUMER DISCRETIONARY | 356,107 | ||
CONSUMER STAPLES - 1.2% | |||
Food & Staples Retailing - 0.1% | |||
KeHE Distributors LLC / KeHE Finance Corp. 8.625% 10/15/26 (b) | 5,880 | 5,998 | |
Performance Food Group, Inc. 5.5% 10/15/27 (b) | 7,625 | 8,006 | |
14,004 | |||
Food Products - 1.1% | |||
B&G Foods, Inc. 4.625% 6/1/21 | 9,715 | 9,717 | |
CF Industries Holdings, Inc.: | |||
4.95% 6/1/43 | 11,247 | 11,022 | |
5.15% 3/15/34 | 8,979 | 9,349 | |
5.375% 3/15/44 | 15,424 | 15,532 | |
JBS Investments II GmbH: | |||
5.75% 1/15/28 (b) | 6,485 | 6,754 | |
7% 1/15/26 (b) | 6,745 | 7,278 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
5.75% 6/15/25 (b) | 17,240 | 17,961 | |
6.75% 2/15/28 (b) | 10,725 | 11,878 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
5.5% 1/15/30 (b) | 12,225 | 12,958 | |
6.5% 4/15/29 (b) | 17,835 | 19,796 | |
Lamb Weston Holdings, Inc.: | |||
4.625% 11/1/24 (b) | 5,230 | 5,504 | |
4.875% 11/1/26 (b) | 5,285 | 5,536 | |
Pilgrim's Pride Corp. 5.75% 3/15/25 (b) | 12,675 | 13,119 | |
Post Holdings, Inc.: | |||
5% 8/15/26 (b) | 12,030 | 12,476 | |
5.5% 3/1/25 (b) | 6,385 | 6,688 | |
5.5% 12/15/29 (b) | 9,145 | 9,534 | |
5.75% 3/1/27 (b) | 4,885 | 5,179 | |
180,281 | |||
Personal Products - 0.0% | |||
First Quality Finance Co., Inc. 5% 7/1/25 (b) | 2,840 | 2,932 | |
TOTAL CONSUMER STAPLES | 197,217 | ||
ENERGY - 4.4% | |||
Energy Equipment & Services - 0.3% | |||
Compressco Partners LP/Compressco Finance, Inc. 7.5% 4/1/25 (b) | 3,290 | 3,232 | |
Exterran Energy Solutions LP 8.125% 5/1/25 | 3,270 | 3,258 | |
Exterran Partners LP/EXLP Finance Corp. 6% 10/1/22 | 6,090 | 6,159 | |
Forum Energy Technologies, Inc. 6.25% 10/1/21 | 10,950 | 9,089 | |
Jonah Energy LLC 7.25% 10/15/25 (b) | 10,845 | 3,633 | |
Nabors Industries, Inc. 5.75% 2/1/25 | 10,265 | 7,596 | |
NuStar Logistics LP 6% 6/1/26 | 7,285 | 7,885 | |
SESI LLC 7.75% 9/15/24 | 4,340 | 2,496 | |
Summit Midstream Holdings LLC 5.75% 4/15/25 | 5,285 | 4,462 | |
Transocean, Inc.: | |||
7.25% 11/1/25 (b) | 7,140 | 6,292 | |
7.5% 1/15/26 (b) | 7,620 | 6,782 | |
60,884 | |||
Oil, Gas & Consumable Fuels - 4.1% | |||
American Energy-Permian Basin LLC/AEPB Finance Corp. 13% 11/30/20 (b) | 12,505 | 12,880 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||
5.375% 9/15/24 | 3,090 | 2,780 | |
5.75% 1/15/28 (b) | 11,010 | 9,138 | |
Antero Resources Corp.: | |||
5.125% 12/1/22 | 570 | 500 | |
5.625% 6/1/23 (Reg. S) | 7,956 | 6,882 | |
Antero Resources Finance Corp. 5.375% 11/1/21 | 3,965 | 3,836 | |
Callon Petroleum Co. 6.125% 10/1/24 | 2,855 | 2,812 | |
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 | 5,395 | 5,112 | |
Chesapeake Energy Corp.: | |||
8% 1/15/25 | 4,740 | 3,425 | |
8% 6/15/27 | 2,790 | 1,876 | |
Citgo Holding, Inc. 9.25% 8/1/24 (b) | 16,430 | 17,457 | |
CNX Midstream Partners LP 6.5% 3/15/26 (b) | 3,935 | 3,630 | |
Comstock Escrow Corp. 9.75% 8/15/26 | 36,490 | 30,469 | |
Consolidated Energy Finance SA: | |||
3 month U.S. LIBOR + 3.750% 5.8685% 6/15/22 (b)(c)(g) | 1,820 | 1,816 | |
6.5% 5/15/26 (b) | 7,215 | 6,999 | |
6.875% 6/15/25 (b) | 3,640 | 3,649 | |
Covey Park Energy LLC 7.5% 5/15/25 (b) | 6,555 | 5,244 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27 (b) | 11,025 | 11,256 | |
5.75% 4/1/25 | 5,550 | 5,703 | |
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 | 18,040 | 18,266 | |
DCP Midstream LLC 5.85% 5/21/43 (b)(c) | 10,780 | 9,791 | |
Denbury Resources, Inc.: | |||
7.75% 2/15/24 (b) | 26,375 | 20,375 | |
9% 5/15/21 (b) | 27,890 | 25,868 | |
9.25% 3/31/22 (b) | 4,210 | 3,684 | |
Diamondback Energy, Inc.: | |||
4.75% 11/1/24 | 6,530 | 6,685 | |
5.375% 5/31/25 | 3,090 | 3,225 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.5% 1/30/26 (b) | 5,820 | 6,053 | |
5.75% 1/30/28 (b) | 10,149 | 10,783 | |
Energy Transfer Equity LP 5.5% 6/1/27 | 12,065 | 12,990 | |
EnLink Midstream Partners LP: | |||
4.15% 6/1/25 | 5,990 | 5,556 | |
4.4% 4/1/24 | 5,980 | 5,759 | |
EP Energy LLC/Everest Acquisition Finance, Inc.: | |||
7.75% 5/15/26 (b) | 55,595 | 41,696 | |
8% 11/29/24 (b) | 9,340 | 3,573 | |
EQT Corp. 3.9% 10/1/27 | 7,284 | 6,315 | |
Extraction Oil & Gas, Inc. 7.375% 5/15/24 (b) | 4,315 | 2,826 | |
Genesis Energy LP/Genesis Energy Finance Corp. 6.25% 5/15/26 | 5,405 | 5,202 | |
Global Partners LP/GLP Finance Corp. 7% 6/15/23 | 8,125 | 8,369 | |
Hess Infrastructure Partners LP 5.625% 2/15/26 (b) | 9,140 | 9,551 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5% 12/1/24 (b) | 7,550 | 7,059 | |
5.75% 10/1/25 (b) | 8,135 | 7,566 | |
6.25% 11/1/28 (b) | 7,130 | 6,631 | |
Holly Energy Partners LP/Holly Finance Corp. 6% 8/1/24 (b) | 4,995 | 5,214 | |
Indigo Natural Resources LLC 6.875% 2/15/26 (b) | 13,168 | 11,868 | |
MEG Energy Corp. 7% 3/31/24 (b) | 705 | 680 | |
MPLX LP 6.375% 5/1/24 (b) | 3,185 | 3,341 | |
Murphy Oil U.S.A., Inc.: | |||
4.75% 9/15/29 | 4,155 | 4,248 | |
5.625% 5/1/27 | 3,665 | 3,867 | |
Newfield Exploration Co. 5.375% 1/1/26 | 6,813 | 7,401 | |
NGL Energy Partners LP/NGL Energy Finance Corp.: | |||
6.125% 3/1/25 | 7,455 | 7,101 | |
7.5% 4/15/26 (b) | 7,355 | 7,388 | |
NGPL PipeCo LLC: | |||
4.375% 8/15/22 (b) | 1,800 | 1,866 | |
4.875% 8/15/27 (b) | 1,800 | 1,930 | |
Nine Energy Service, Inc. 8.75% 11/1/23 (b) | 3,620 | 2,932 | |
Parsley Energy LLC/Parsley: | |||
5.25% 8/15/25 (b) | 4,560 | 4,627 | |
5.625% 10/15/27 (b) | 3,480 | 3,593 | |
6.25% 6/1/24 (b) | 5,070 | 5,247 | |
PBF Holding Co. LLC/PBF Finance Corp.: | |||
7% 11/15/23 | 20,663 | 21,309 | |
7.25% 6/15/25 | 13,580 | 14,072 | |
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 | 6,110 | 6,282 | |
PDC Energy, Inc. 6.125% 9/15/24 | 2,480 | 2,474 | |
QEP Resources, Inc. 5.25% 5/1/23 | 11,035 | 10,235 | |
Range Resources Corp.: | |||
4.875% 5/15/25 | 2,150 | 1,774 | |
5% 3/15/23 | 20,575 | 18,003 | |
Sanchez Energy Corp.: | |||
6.125% 1/15/23 (e) | 19,995 | 1,250 | |
7.25% 2/15/23 (b)(e) | 14,310 | 10,303 | |
SemGroup Corp.: | |||
6.375% 3/15/25 | 3,700 | 3,830 | |
7.25% 3/15/26 | 6,750 | 7,307 | |
SM Energy Co.: | |||
5.625% 6/1/25 | 5,060 | 4,338 | |
6.625% 1/15/27 | 12,225 | 10,514 | |
6.75% 9/15/26 | 3,175 | 2,778 | |
Southern Star Central Corp. 5.125% 7/15/22 (b) | 4,930 | 4,967 | |
Southwestern Energy Co.: | |||
4.1% 3/15/22 | 10,780 | 10,349 | |
6.2% 1/23/25 (c) | 1,095 | 964 | |
7.5% 4/1/26 | 8,845 | 7,695 | |
7.75% 10/1/27 | 6,915 | 6,029 | |
SRC Energy, Inc. 6.25% 12/1/25 | 4,370 | 4,326 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.875% 1/15/23 | 5,390 | 5,531 | |
5.5% 2/15/26 | 6,865 | 7,165 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
5% 1/15/28 | 7,200 | 7,281 | |
5.125% 2/1/25 | 1,885 | 1,938 | |
5.375% 2/1/27 | 1,885 | 1,949 | |
5.875% 4/15/26 | 10,820 | 11,429 | |
6.5% 7/15/27 (b) | 3,820 | 4,168 | |
6.875% 1/15/29 (b) | 6,760 | 7,386 | |
Teine Energy Ltd. 6.875% 9/30/22 (b) | 8,820 | 8,776 | |
Tennessee Gas Pipeline Co. 7.625% 4/1/37 | 2,585 | 3,482 | |
Ultra Resources, Inc. 11% 7/12/24 pay-in-kind | 6,429 | 900 | |
Unit Corp. 6.625% 5/15/21 | 1,660 | 1,262 | |
W&T Offshore, Inc. 9.75% 11/1/23 (b) | 24,200 | 23,102 | |
Whiting Petroleum Corp. 6.625% 1/15/26 | 4,965 | 3,351 | |
WPX Energy, Inc.: | |||
5.25% 9/15/24 | 6,080 | 6,230 | |
5.25% 10/15/27 | 9,110 | 9,178 | |
5.75% 6/1/26 | 5,410 | 5,545 | |
692,062 | |||
TOTAL ENERGY | 752,946 | ||
FINANCIALS - 5.1% | |||
Banks - 0.4% | |||
Danske Bank A/S 2.5% 6/21/29 (Reg. S) (c) | EUR | 22,065 | 25,310 |
HBOS PLC 4.5% 3/18/30 (c) | EUR | 16,290 | 20,229 |
UniCredit SpA 6.95% 10/31/22 (Reg. S) | EUR | 13,154 | 16,985 |
62,524 | |||
Capital Markets - 0.2% | |||
AssuredPartners, Inc. 7% 8/15/25 (b) | 2,930 | 2,930 | |
Balboa Merger Sub, Inc. 11.375% 12/1/21 (b) | 15,325 | 15,991 | |
CyrusOne LP/CyrusOne Finance Corp.: | |||
5% 3/15/24 | 1,985 | 2,054 | |
5.375% 3/15/27 | 1,700 | 1,813 | |
MSCI, Inc.: | |||
5.25% 11/15/24 (b) | 5,165 | 5,333 | |
5.75% 8/15/25 (b) | 5,060 | 5,307 | |
33,428 | |||
Consumer Finance - 2.5% | |||
Ally Financial, Inc.: | |||
8% 11/1/31 | 16,761 | 23,088 | |
8% 11/1/31 | 155,842 | 215,452 | |
Intelsat Connect Finance SA 9.5% 2/15/23 (b) | 11,010 | 10,181 | |
Navient Corp.: | |||
5.5% 1/25/23 | 29,395 | 30,350 | |
5.875% 10/25/24 | 20,960 | 21,117 | |
6.125% 3/25/24 | 10,325 | 10,709 | |
6.5% 6/15/22 | 5,655 | 6,023 | |
7.25% 1/25/22 | 22,745 | 24,508 | |
7.25% 9/25/23 | 3,440 | 3,739 | |
Springleaf Finance Corp.: | |||
6.625% 1/15/28 | 4,415 | 4,747 | |
6.875% 3/15/25 | 30,605 | 33,723 | |
7.125% 3/15/26 | 41,215 | 45,721 | |
429,358 | |||
Diversified Financial Services - 1.5% | |||
Avolon Holdings Funding Ltd.: | |||
5.125% 10/1/23 (b) | 2,050 | 2,175 | |
5.25% 5/15/24 (b) | 11,080 | 11,864 | |
5.5% 1/15/23 (b) | 3,275 | 3,494 | |
Diamond Sports Group LLC/Diamond Sports Finance Co.: | |||
5.375% 8/15/26 (b) | 14,220 | 14,753 | |
6.625% 8/15/27 (b) | 25,190 | 26,098 | |
Eagle Intermediate Global Holding BV 7.5% 5/1/25 (b) | 2,705 | 2,410 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b) | 5,300 | 5,447 | |
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc. 9.875% 5/1/24 (b) | 14,695 | 15,724 | |
Grinding Media, Inc./MC Grinding Media Canada, Inc. 7.375% 12/15/23 (b) | 4,800 | 4,584 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
6.25% 5/15/26 (b) | 14,625 | 15,320 | |
6.375% 12/15/25 | 32,405 | 34,074 | |
6.75% 2/1/24 | 6,490 | 6,750 | |
j2 Cloud Services LLC/j2 Global Communications, Inc. 6% 7/15/25 (b) | 4,875 | 5,147 | |
James Hardie International Finance Ltd.: | |||
4.75% 1/15/25 (b) | 5,220 | 5,377 | |
5% 1/15/28 (b) | 5,270 | 5,468 | |
KfW 1.125% 5/9/33 (Reg. S) | EUR | 30,350 | 38,609 |
Park Aerospace Holdings Ltd.: | |||
4.5% 3/15/23 (b) | 2,670 | 2,763 | |
5.25% 8/15/22 (b) | 5,645 | 5,949 | |
5.5% 2/15/24 (b) | 490 | 529 | |
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (b) | 21,015 | 22,215 | |
Starfruit Finco BV / Starfruit U.S. Holdco LLC 8% 10/1/26 (b) | 6,567 | 6,551 | |
Tempo Acquisition LLC 6.75% 6/1/25 (b) | 5,340 | 5,500 | |
Trivium Packaging Finance BV: | |||
5.5% 8/15/26 (b) | 4,195 | 4,410 | |
8.5% 8/15/27 (b) | 4,210 | 4,552 | |
Valvoline, Inc. 5.5% 7/15/24 | 2,920 | 3,037 | |
Venator Finance SARL/Venator Capital Management Ltd. 5.75% 7/15/25 (b) | 6,205 | 5,228 | |
258,028 | |||
Insurance - 0.4% | |||
Acrisure LLC 10.125% 8/1/26 (b) | 6,810 | 7,116 | |
Acrisure LLC / Acrisure Finance, Inc.: | |||
7% 11/15/25 (b) | 10,530 | 9,817 | |
8.125% 2/15/24 (b) | 5,335 | 5,748 | |
AmWINS Group, Inc. 7.75% 7/1/26 (b) | 3,600 | 3,870 | |
Centene Escrow Corp. 5.375% 6/1/26 (b) | 18,035 | 18,892 | |
HUB International Ltd. 7% 5/1/26 (b) | 6,980 | 7,181 | |
USIS Merger Sub, Inc. 6.875% 5/1/25 (b) | 7,305 | 7,414 | |
60,038 | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
Starwood Property Trust, Inc. 4.75% 3/15/25 | 6,855 | 7,090 | |
Thrifts & Mortgage Finance - 0.1% | |||
Nationwide Building Society 2% 7/25/29 (Reg. S) (c) | EUR | 9,855 | 10,911 |
TOTAL FINANCIALS | 861,377 | ||
HEALTH CARE - 3.3% | |||
Health Care Equipment & Supplies - 0.1% | |||
Hologic, Inc.: | |||
4.375% 10/15/25 (b) | 3,700 | 3,793 | |
4.625% 2/1/28 (b) | 2,505 | 2,590 | |
NVA Holdings, Inc. 6.875% 4/1/26 (b) | 3,860 | 4,096 | |
Teleflex, Inc. 4.625% 11/15/27 | 2,930 | 3,058 | |
13,537 | |||
Health Care Providers & Services - 2.5% | |||
BCPE Cycle Merger Sub II, Inc. 10.625% 7/15/27 (b) | 14,675 | 14,161 | |
Becton Dickinson Euro Finance SARL 1.208% 6/4/26 | EUR | 22,544 | 25,357 |
Community Health Systems, Inc.: | |||
8% 3/15/26 (b) | 33,025 | 32,942 | |
8.125% 6/30/24 (b) | 41,342 | 32,867 | |
8.625% 1/15/24 (b) | 28,810 | 29,746 | |
9.875% 6/30/23 (b) | 21,652 | 18,404 | |
Encompass Health Corp. 5.75% 11/1/24 | 15,790 | 15,955 | |
HCA Holdings, Inc.: | |||
4.75% 5/1/23 | 11,330 | 12,137 | |
5.25% 4/15/25 | 25,000 | 27,806 | |
5.25% 6/15/26 | 9,875 | 10,998 | |
5.375% 2/1/25 | 14,275 | 15,595 | |
5.375% 9/1/26 | 7,690 | 8,449 | |
5.625% 9/1/28 | 18,590 | 20,715 | |
5.875% 5/1/23 | 11,900 | 13,090 | |
5.875% 2/15/26 | 17,697 | 19,785 | |
5.875% 2/1/29 | 21,185 | 23,701 | |
Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (b) | 7,300 | 7,592 | |
MPH Acquisition Holdings LLC 7.125% 6/1/24 (b) | 4,280 | 3,943 | |
Polaris Intermediate Corp. 8.5% 12/1/22 pay-in-kind (b)(c) | 17,655 | 15,007 | |
Sabra Health Care LP/Sabra Capital Corp. 5.375% 6/1/23 | 4,550 | 4,636 | |
Tenet Healthcare Corp.: | |||
4.625% 7/15/24 | 3,640 | 3,741 | |
4.625% 9/1/24 (b) | 7,305 | 7,515 | |
4.875% 1/1/26 (b) | 18,260 | 18,739 | |
5.125% 5/1/25 | 3,640 | 3,690 | |
5.125% 11/1/27 (b) | 10,955 | 11,320 | |
6.25% 2/1/27 (b) | 11,115 | 11,558 | |
Vizient, Inc. 6.25% 5/15/27 (b) | 1,690 | 1,813 | |
Wellcare Health Plans, Inc.: | |||
5.25% 4/1/25 | 5,705 | 5,940 | |
5.375% 8/15/26 (b) | 4,655 | 4,968 | |
West Street Merger Sub, Inc. 6.375% 9/1/25 (b) | 3,635 | 3,344 | |
425,514 | |||
Health Care Technology - 0.0% | |||
IMS Health, Inc. 5% 5/15/27 (b) | 7,290 | 7,636 | |
Pharmaceuticals - 0.7% | |||
Catalent Pharma Solutions: | |||
4.875% 1/15/26 (b) | 2,365 | 2,433 | |
5% 7/15/27 (b) | 2,295 | 2,381 | |
Inventiv Group Holdings, Inc. / Investment 7.5% 10/1/24 (b) | 2,805 | 2,903 | |
Mylan NV 3.125% 11/22/28 (Reg. S) | EUR | 16,550 | 20,366 |
Valeant Pharmaceuticals International, Inc.: | |||
5.5% 11/1/25 (b) | 44,585 | 46,652 | |
5.75% 8/15/27 (b) | 1,925 | 2,081 | |
5.875% 5/15/23 (b) | 775 | 785 | |
7% 1/15/28 (b) | 14,595 | 15,720 | |
7.25% 5/30/29 (b) | 7,295 | 7,968 | |
8.5% 1/31/27 (b) | 13,035 | 14,629 | |
115,918 | |||
TOTAL HEALTH CARE | 562,605 | ||
INDUSTRIALS - 1.7% | |||
Aerospace & Defense - 1.0% | |||
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (b) | 2,610 | 2,741 | |
Bombardier, Inc.: | |||
6.125% 1/15/23 (b) | 6,640 | 6,763 | |
7.5% 12/1/24 (b) | 1,850 | 1,856 | |
7.5% 3/15/25 (b) | 28,995 | 28,959 | |
7.875% 4/15/27 (b) | 20,865 | 20,778 | |
BWX Technologies, Inc. 5.375% 7/15/26 (b) | 4,990 | 5,246 | |
DAE Funding LLC 4% 8/1/20 (b) | 3,095 | 3,116 | |
TransDigm UK Holdings PLC 6.875% 5/15/26 | 21,085 | 22,666 | |
TransDigm, Inc.: | |||
6.25% 3/15/26 (b) | 11,120 | 11,940 | |
6.375% 6/15/26 | 37,890 | 39,832 | |
6.5% 5/15/25 | 9,710 | 10,074 | |
7.5% 3/15/27 | 11,028 | 11,993 | |
165,964 | |||
Airlines - 0.1% | |||
Air Canada 2013-1 Pass Through Trust 5.375% 11/15/22 (b) | 1,848 | 1,900 | |
Continental Airlines, Inc. pass-thru certificates 6.903% 4/19/22 | 265 | 274 | |
Delta Air Lines, Inc. pass-thru trust certificates 8.021% 2/10/24 | 2,392 | 2,650 | |
Hawaiian Airlines pass-thru certificates Series 2013-1 Class B, 4.95% 7/15/23 | 3,203 | 3,260 | |
U.S. Airways pass-thru certificates: | |||
Series 2011-1 Class A, 7.125% 10/22/23 | 5,220 | 5,876 | |
Series 2012-2 Class B, 6.75% 6/3/21 | 2,423 | 2,551 | |
Series 2013-1 Class B, 5.375% 11/15/21 | 3,194 | 3,331 | |
19,842 | |||
Building Products - 0.0% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (b) | 1,400 | 1,419 | |
Commercial Services & Supplies - 0.3% | |||
ADS Waste Holdings, Inc. 5.625% 11/15/24 (b) | 6,910 | 7,212 | |
Covanta Holding Corp.: | |||
5.875% 3/1/24 | 5,895 | 6,072 | |
5.875% 7/1/25 | 1,995 | 2,080 | |
6% 1/1/27 | 7,080 | 7,452 | |
KAR Auction Services, Inc. 5.125% 6/1/25 (b) | 6,210 | 6,427 | |
Kissner Holdings LP/Kissner Milling Co. Ltd./BSC Holding, Inc./Kissner U.S.A. 8.375% 12/1/22 (b) | 6,490 | 6,766 | |
Ritchie Bros. Auctioneers, Inc. 5.375% 1/15/25 (b) | 2,315 | 2,416 | |
Tervita Escrow Corp. 7.625% 12/1/21 (b) | 3,225 | 3,277 | |
The Brink's Co. 4.625% 10/15/27 (b) | 7,200 | 7,241 | |
48,943 | |||
Construction & Engineering - 0.1% | |||
AECOM 5.125% 3/15/27 | 7,490 | 7,865 | |
JMC Steel Group, Inc. 9.875% 6/15/23 (b) | 2,090 | 2,202 | |
Odebrecht Finance Ltd.: | |||
4.375% 4/25/25 (b)(e) | 7,474 | 773 | |
5.25% 6/27/29 (b)(e) | 6,800 | 733 | |
7.125% 6/26/42 (b)(e) | 3,310 | 344 | |
11,917 | |||
Electrical Equipment - 0.0% | |||
Sensata Technologies BV 5% 10/1/25 (b) | 8,215 | 8,780 | |
Machinery - 0.0% | |||
Stevens Holding Co., Inc. 6.125% 10/1/26 (b) | 1,880 | 2,000 | |
Marine - 0.1% | |||
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (b) | 2,000 | 1,525 | |
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (b) | 7,680 | 7,469 | |
8,994 | |||
Professional Services - 0.0% | |||
IHS Markit Ltd.: | |||
4% 3/1/26 (b) | 3,175 | 3,343 | |
4.75% 2/15/25 (b) | 2,675 | 2,902 | |
6,245 | |||
Trading Companies & Distributors - 0.1% | |||
Avantor, Inc. 6% 10/1/24 (b) | 7,285 | 7,806 | |
FLY Leasing Ltd. 5.25% 10/15/24 | 5,695 | 5,866 | |
United Rentals North America, Inc. 5.5% 5/15/27 | 4,980 | 5,279 | |
18,951 | |||
TOTAL INDUSTRIALS | 293,055 | ||
INFORMATION TECHNOLOGY - 0.9% | |||
Electronic Equipment & Components - 0.0% | |||
MTS Systems Corp. 5.75% 8/15/27 (b) | 1,905 | 1,981 | |
Internet Software & Services - 0.0% | |||
Camelot Finance SA 7.875% 10/15/24 (b) | 3,540 | 3,682 | |
IT Services - 0.3% | |||
Banff Merger Sub, Inc. 9.75% 9/1/26 (b) | 21,010 | 20,054 | |
CDW LLC/CDW Finance Corp. 5% 9/1/25 | 3,980 | 4,147 | |
Fidelity National Information Services, Inc. 1.5% 5/21/27 | EUR | 16,359 | 19,097 |
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 5.25% 12/1/27 (b) | 5,665 | 5,955 | |
Grubhub Holdings, Inc. 5.5% 7/1/27 (b) | 2,890 | 2,948 | |
52,201 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
Qorvo, Inc. 5.5% 7/15/26 | 3,615 | 3,818 | |
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (b) | 7,880 | 8,392 | |
Versum Materials, Inc. 5.5% 9/30/24 (b) | 4,105 | 4,372 | |
16,582 | |||
Software - 0.4% | |||
Ascend Learning LLC: | |||
6.875% 8/1/25 (b) | 2,480 | 2,567 | |
6.875% 8/1/25 (b) | 7,330 | 7,623 | |
CDK Global, Inc. 5.875% 6/15/26 | 2,670 | 2,840 | |
Ensemble S Merger Sub, Inc. 9% 9/30/23 (b) | 13,310 | 13,626 | |
JDA Escrow LLC/JDA Bond Finance, Inc. 7.375% 10/15/24 (b) | 2,820 | 2,933 | |
Open Text Corp. 5.875% 6/1/26 (b) | 6,000 | 6,406 | |
Parametric Technology Corp. 6% 5/15/24 | 2,430 | 2,545 | |
Symantec Corp. 5% 4/15/25 (b) | 6,360 | 6,430 | |
Veritas U.S., Inc./Veritas Bermuda Ltd.: | |||
7.5% 2/1/23 (b) | 9,915 | 9,800 | |
10.5% 2/1/24 (b) | 18,170 | 17,171 | |
71,941 | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
NCR Corp.: | |||
5.75% 9/1/27 (b) | 5,480 | 5,672 | |
6.125% 9/1/29 (b) | 5,480 | 5,776 | |
11,448 | |||
TOTAL INFORMATION TECHNOLOGY | 157,835 | ||
MATERIALS - 1.5% | |||
Chemicals - 0.3% | |||
Element Solutions, Inc. 5.875% 12/1/25 (b) | 10,955 | 11,466 | |
Hexion, Inc. 7.875% 7/15/27 (b) | 5,390 | 5,323 | |
LSB Industries, Inc. 9.625% 5/1/23 (b) | 3,600 | 3,798 | |
Neon Holdings, Inc. 10.125% 4/1/26 (b) | 7,305 | 7,360 | |
NOVA Chemicals Corp.: | |||
4.875% 6/1/24 (b) | 9,095 | 9,353 | |
5.25% 6/1/27 (b) | 7,795 | 8,113 | |
OCI NV 6.625% 4/15/23 (b) | 3,185 | 3,332 | |
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.5% 6/15/25 (b) | 5,880 | 5,233 | |
53,978 | |||
Construction Materials - 0.1% | |||
Holcim Finance Luxembourg SA 2.25% 5/26/28 (Reg. S) | EUR | 10,177 | 12,533 |
Summit Materials LLC/Summit Materials Finance Corp. 5.125% 6/1/25 (b) | 3,060 | 3,137 | |
U.S. Concrete, Inc. 6.375% 6/1/24 | 3,885 | 4,040 | |
19,710 | |||
Containers & Packaging - 0.3% | |||
Crown Cork & Seal, Inc.: | |||
7.375% 12/15/26 | 16,535 | 20,090 | |
7.5% 12/15/96 | 7,695 | 8,580 | |
Flex Acquisition Co., Inc. 6.875% 1/15/25 (b) | 3,410 | 3,110 | |
Labl Escrow Issuer LLC: | |||
6.75% 7/15/26 (b) | 11,010 | 11,444 | |
10.5% 7/15/27 (b) | 7,340 | 7,413 | |
50,637 | |||
Metals & Mining - 0.7% | |||
Alcoa Nederland Holding BV: | |||
6.125% 5/15/28 (b) | 2,110 | 2,247 | |
6.75% 9/30/24 (b) | 5,350 | 5,624 | |
7% 9/30/26 (b) | 4,430 | 4,807 | |
Aleris International, Inc. 6% 6/1/20 (b)(f) | 63 | 63 | |
Algoma Steel SCA 0% 12/31/23 (f) | 1,518 | 1,078 | |
ArcelorMittal SA 2.25% 1/17/24 (Reg. S) | EUR | 9,700 | 11,144 |
Cleveland-Cliffs, Inc.: | |||
4.875% 1/15/24 (b) | 7,215 | 7,341 | |
5.75% 3/1/25 | 1,889 | 1,856 | |
5.875% 6/1/27 (b) | 11,010 | 10,428 | |
Commercial Metals Co. 5.75% 4/15/26 | 5,405 | 5,567 | |
First Quantum Minerals Ltd.: | |||
6.5% 3/1/24 (b) | 1,275 | 1,222 | |
6.875% 3/1/26 (b) | 11,285 | 10,719 | |
7.5% 4/1/25 (b) | 1,095 | 1,072 | |
FMG Resources (August 2006) Pty Ltd.: | |||
4.5% 9/15/27 (b) | 5,450 | 5,322 | |
4.75% 5/15/22 (b) | 4,780 | 4,905 | |
5.125% 3/15/23 (b) | 7,615 | 7,853 | |
5.125% 5/15/24 (b) | 5,885 | 6,120 | |
Freeport-McMoRan, Inc. 5.45% 3/15/43 | 3,585 | 3,228 | |
Infrabuild Australia Pty Ltd. 12% 10/1/24 (b)(d) | 5,460 | 5,610 | |
Joseph T Ryerson & Son, Inc. 11% 5/15/22 (b) | 4,505 | 4,747 | |
Mineral Resources Ltd. 8.125% 5/1/27 (b) | 11,025 | 11,348 | |
Murray Energy Corp.: | |||
11.25% 4/15/21 (b) | 5,925 | 119 | |
12% 4/15/24 pay-in-kind (b)(c) | 6,364 | 64 | |
United States Steel Corp. 6.25% 3/15/26 | 7,180 | 6,031 | |
118,515 | |||
Paper & Forest Products - 0.1% | |||
Boise Cascade Co. 5.625% 9/1/24 (b) | 1,355 | 1,401 | |
Mercer International, Inc. 7.375% 1/15/25 (b)(d) | 7,280 | 7,583 | |
NewPage Corp.: | |||
3 month U.S. LIBOR + 6.250% 6.7159% 5/1/12 (c)(e)(f)(g) | 4,230 | 0 | |
11.375% 12/31/2014 (e)(f) | 8,220 | 0 | |
8,984 | |||
TOTAL MATERIALS | 251,824 | ||
REAL ESTATE - 0.5% | |||
Equity Real Estate Investment Trusts (REITs) - 0.3% | |||
Equinix, Inc. 5.375% 5/15/27 | 2,765 | 2,981 | |
Iron Mountain, Inc. 4.875% 9/15/29 (b) | 14,590 | 14,813 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
4.625% 8/1/29 | 10,950 | 11,279 | |
5% 10/15/27 | 15,435 | 16,168 | |
5.25% 8/1/26 | 4,830 | 5,061 | |
6.375% 3/1/24 | 2,335 | 2,448 | |
52,750 | |||
Real Estate Management & Development - 0.2% | |||
Grand City Properties SA 1.375% 8/3/26 (Reg. S) | EUR | 12,800 | 14,519 |
Howard Hughes Corp. 5.375% 3/15/25 (b) | 7,940 | 8,258 | |
Mattamy Group Corp. 6.875% 12/15/23 (b) | 5,775 | 6,006 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.625% 3/1/24 (b) | 775 | 829 | |
5.875% 6/15/27 (b) | 5,610 | 6,157 | |
35,769 | |||
TOTAL REAL ESTATE | 88,519 | ||
UTILITIES - 1.8% | |||
Electric Utilities - 0.9% | |||
Enel SpA 3.375% 11/24/81 (Reg. S) (c) | EUR | 4,801 | 5,630 |
Pacific Gas & Electric Co.: | |||
3.75% 8/15/42 (e) | 4,645 | 4,471 | |
3.95% 12/1/47 (e) | 21,580 | 20,879 | |
4% 12/1/46 (e) | 1,315 | 1,278 | |
4.25% 3/15/46 (e) | 1,475 | 1,479 | |
4.3% 3/15/45 (e) | 3,690 | 3,718 | |
6.05% 3/1/34 (e) | 66,805 | 75,824 | |
Vistra Operations Co. LLC: | |||
5% 7/31/27 (b) | 13,800 | 14,210 | |
5.5% 9/1/26 (b) | 9,975 | 10,436 | |
5.625% 2/15/27 (b) | 17,455 | 18,366 | |
156,291 | |||
Gas Utilities - 0.2% | |||
Southern Natural Gas Co.: | |||
7.35% 2/15/31 | 14,890 | 19,510 | |
8% 3/1/32 | 9,400 | 13,235 | |
32,745 | |||
Independent Power and Renewable Electricity Producers - 0.6% | |||
NextEra Energy Partners LP: | |||
4.25% 7/15/24 (b) | 7,335 | 7,555 | |
4.25% 9/15/24 (b) | 4,825 | 4,976 | |
4.5% 9/15/27 (b) | 3,355 | 3,430 | |
NRG Energy, Inc.: | |||
5.75% 1/15/28 | 20,240 | 21,758 | |
6.625% 1/15/27 | 15,685 | 16,992 | |
Pattern Energy Group, Inc. 5.875% 2/1/24 (b) | 3,540 | 3,624 | |
Talen Energy Supply LLC: | |||
6.625% 1/15/28 (b) | 7,310 | 7,182 | |
7.25% 5/15/27 (b) | 18,620 | 18,924 | |
TerraForm Power Operating LLC: | |||
4.25% 1/31/23 (b) | 3,700 | 3,774 | |
5% 1/31/28 (b) | 3,715 | 3,864 | |
6.625% 6/15/25 (b)(c) | 5,560 | 5,860 | |
The AES Corp. 4.5% 3/15/23 | 3,065 | 3,134 | |
101,073 | |||
Multi-Utilities - 0.1% | |||
RWE AG 5.75% 2/14/33 (Reg. S) | EUR | 3,350 | 5,929 |
TOTAL UTILITIES | 296,038 | ||
TOTAL NONCONVERTIBLE BONDS | 4,794,030 | ||
TOTAL CORPORATE BONDS | |||
(Cost $4,659,901) | 4,808,709 | ||
U.S. Government and Government Agency Obligations - 16.1% | |||
U.S. Government Agency Obligations - 0.1% | |||
Tennessee Valley Authority: | |||
5.25% 9/15/39 | $2,106 | $2,985 | |
5.375% 4/1/56 | 3,503 | 5,608 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 8,593 | ||
U.S. Treasury Obligations - 15.7% | |||
U.S. Treasury Bonds: | |||
2.25% 8/15/49 | 6,060 | 6,239 | |
2.5% 2/15/45 (h)(i)(j) | 216,056 | 232,665 | |
2.875% 5/15/49 | 7,100 | 8,285 | |
3% 2/15/49 | 185,540 | 221,401 | |
4.75% 2/15/37 (h)(i) | 74,200 | 106,393 | |
5.25% 2/15/29 (h) | 5,406 | 7,084 | |
6.125% 8/15/29 (h)(i) | 3,663 | 5,141 | |
7.5% 11/15/24�� | 5,690 | 7,348 | |
U.S. Treasury Notes: | |||
1.375% 2/29/20 | 10,262 | 10,240 | |
1.375% 4/30/20 | 45,349 | 45,218 | |
1.375% 8/31/23 | 11,000 | 10,921 | |
1.5% 4/15/20 | 64,333 | 64,207 | |
1.5% 7/15/20 | 70,638 | 70,439 | |
1.5% 8/31/21 | 22,000 | 21,935 | |
1.5% 9/30/24 | 21,290 | 21,239 | |
1.625% 6/30/20 | 1,783 | 1,780 | |
1.625% 8/31/22 | 27,162 | 27,186 | |
1.625% 5/31/23 | 19,717 | 19,757 | |
1.625% 9/30/26 | 41,597 | 41,605 | |
1.75% 7/31/21 | 9,325 | 9,338 | |
1.875% 7/31/22 | 43,433 | 43,762 | |
2% 1/31/20 | 8,000 | 8,002 | |
2% 9/30/20 | 25,149 | 25,194 | |
2% 8/15/25 | 10,027 | 10,250 | |
2.125% 12/31/22 | 3,561 | 3,622 | |
2.125% 3/31/24 | 56,643 | 58,019 | |
2.125% 7/31/24 | 118,408 | 121,461 | |
2.125% 5/15/25 | 17,843 | 18,350 | |
2.25% 2/29/20 | 25,500 | 25,535 | |
2.25% 3/31/21 | 9,900 | 9,973 | |
2.25% 7/31/21 | 52,019 | 52,541 | |
2.25% 4/30/24 | 24,428 | 25,168 | |
2.25% 12/31/24 | 103,948 | 107,460 | |
2.25% 3/31/26 | 34,717 | 36,074 | |
2.375% 4/15/21 | 74,550 | 75,255 | |
2.375% 5/15/29 | 18,763 | 19,931 | |
2.5% 12/31/20 | 150,000 | 151,295 | |
2.5% 1/31/21 | 42,832 | 43,237 | |
2.5% 2/28/21 | 90,000 | 90,921 | |
2.5% 1/15/22 | 242,316 | 247,011 | |
2.5% 1/31/24 | 10,640 | 11,053 | |
2.5% 2/28/26 | 105,297 | 110,953 | |
2.625% 8/31/20 | 30,000 | 30,210 | |
2.625% 12/31/23 | 69,183 | 72,175 | |
2.625% 2/15/29 | 74,289 | 80,424 | |
2.75% 9/30/20 | 79,581 | 80,302 | |
2.75% 6/30/25 | 82,937 | 88,153 | |
2.875% 11/30/25 | 46,425 | 49,856 | |
3.125% 11/15/28 | 31,330 | 35,183 | |
TOTAL U.S. TREASURY OBLIGATIONS | 2,669,791 | ||
Other Government Related - 0.3% | |||
National Credit Union Administration Guaranteed Notes: | |||
Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 2.399% 12/7/20 (NCUA Guaranteed) (c)(g) | 1,645 | 1,644 | |
Series 2011-R1 Class 1A, 1 month U.S. LIBOR + 0.450% 2.5073% 1/8/20 (NCUA Guaranteed) (c)(g) | 1,937 | 1,938 | |
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) | 49,900 | 51,087 | |
TOTAL OTHER GOVERNMENT RELATED | 54,669 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $2,593,025) | 2,733,053 | ||
U.S. Government Agency - Mortgage Securities - 3.8% | |||
Fannie Mae - 0.5% | |||
12 month U.S. LIBOR + 1.365% 3.961% 10/1/35 (c)(g) | 29 | 30 | |
12 month U.S. LIBOR + 1.495% 4.509% 1/1/35 (c)(g) | 111 | 115 | |
12 month U.S. LIBOR + 1.553% 4.337% 6/1/36 (c)(g) | 19 | 20 | |
12 month U.S. LIBOR + 1.565% 4.69% 3/1/37 (c)(g) | 44 | 46 | |
12 month U.S. LIBOR + 1.617% 4.582% 3/1/33 (c)(g) | 75 | 79 | |
12 month U.S. LIBOR + 1.645% 4.693% 6/1/47 (c)(g) | 92 | 97 | |
12 month U.S. LIBOR + 1.655% 4.539% 11/1/36 (c)(g) | 20 | 21 | |
12 month U.S. LIBOR + 1.711% 4.595% 6/1/42 (c)(g) | 164 | 171 | |
12 month U.S. LIBOR + 1.745% 4.746% 7/1/35 (c)(g) | 102 | 107 | |
12 month U.S. LIBOR + 1.760% 4.84% 2/1/37 (c)(g) | 299 | 312 | |
12 month U.S. LIBOR + 1.800% 4.492% 7/1/41 (c)(g) | 193 | 202 | |
12 month U.S. LIBOR + 1.800% 4.786% 1/1/42 (c)(g) | 387 | 401 | |
12 month U.S. LIBOR + 1.818% 4.531% 7/1/41 (c)(g) | 115 | 120 | |
12 month U.S. LIBOR + 1.818% 4.553% 9/1/41 (c)(g) | 65 | 68 | |
12 month U.S. LIBOR + 1.818% 4.932% 2/1/42 (c)(g) | 460 | 478 | |
12 month U.S. LIBOR + 1.830% 4.657% 10/1/41 (c)(g) | 67 | 70 | |
12 month U.S. LIBOR + 1.851% 4.58% 5/1/36 (c)(g) | 16 | 17 | |
12 month U.S. LIBOR + 1.885% 4.926% 4/1/36 (c)(g) | 256 | 269 | |
12 month U.S. LIBOR + 1.901% 4.772% 8/1/35 (c)(g) | 126 | 132 | |
6 month U.S. LIBOR + 1.550% 4.067% 9/1/33 (c)(g) | 303 | 313 | |
6 month U.S. LIBOR + 1.550% 4.274% 11/1/35 (c)(g) | 172 | 178 | |
3% 5/1/33 to 7/1/33 | 6,846 | 7,052 | |
3.5% 7/1/32 | 11,576 | 12,065 | |
4% 5/1/29 | 3,397 | 3,545 | |
4.5% 11/1/25 | 1,340 | 1,388 | |
5% 2/1/22 to 5/1/22 | 9 | 9 | |
5.5% 12/1/39 to 5/1/44 | 21,837 | 24,173 | |
6% 1/1/34 to 6/1/36 | 2,573 | 2,927 | |
6.5% 2/1/22 to 8/1/36 | 3,835 | 4,380 | |
7.5% 1/1/28 | 23 | 26 | |
2.5% 6/1/22 to 10/1/26 | 30,613 | 30,880 | |
TOTAL FANNIE MAE | 89,691 | ||
Freddie Mac - 0.4% | |||
12 month U.S. LIBOR + 1.325% 4.175% 1/1/36 (c)(g) | 54 | 56 | |
12 month U.S. LIBOR + 1.600% 4.35% 7/1/35 (c)(g) | 51 | 53 | |
12 month U.S. LIBOR + 1.754% 4.222% 9/1/41 (c)(g) | 1,115 | 1,156 | |
12 month U.S. LIBOR + 1.793% 4.695% 4/1/37 (c)(g) | 62 | 65 | |
12 month U.S. LIBOR + 1.877% 4.789% 4/1/41 (c)(g) | 84 | 88 | |
12 month U.S. LIBOR + 1.880% 4.274% 9/1/41 (c)(g) | 86 | 90 | |
12 month U.S. LIBOR + 1.880% 4.713% 10/1/41 (c)(g) | 629 | 652 | |
12 month U.S. LIBOR + 1.883% 4.502% 10/1/42 (c)(g) | 557 | 580 | |
12 month U.S. LIBOR + 1.910% 4.66% 6/1/41 (c)(g) | 81 | 85 | |
12 month U.S. LIBOR + 1.910% 4.729% 6/1/41 (c)(g) | 170 | 177 | |
12 month U.S. LIBOR + 1.910% 4.785% 5/1/41 (c)(g) | 145 | 152 | |
12 month U.S. LIBOR + 1.910% 4.808% 5/1/41 (c)(g) | 170 | 177 | |
12 month U.S. LIBOR + 2.045% 4.785% 7/1/36 (c)(g) | 103 | 108 | |
6 month U.S. LIBOR + 1.445% 4.195% 3/1/35 (c)(g) | 67 | 69 | |
6 month U.S. LIBOR + 1.661% 4.199% 2/1/37 (c)(g) | 54 | 56 | |
6 month U.S. LIBOR + 1.711% 4.22% 1/1/37 (c)(g) | 187 | 194 | |
6 month U.S. LIBOR + 1.720% 4.247% 8/1/37 (c)(g) | 92 | 96 | |
6 month U.S. LIBOR + 1.746% 4.58% 5/1/37 (c)(g) | 24 | 25 | |
6 month U.S. LIBOR + 1.843% 4.416% 10/1/36 (c)(g) | 254 | 265 | |
6 month U.S. LIBOR + 1.912% 4.408% 10/1/35 (c)(g) | 161 | 168 | |
6 month U.S. LIBOR + 2.010% 4.635% 5/1/37 (c)(g) | 91 | 95 | |
6 month U.S. LIBOR + 2.010% 4.731% 5/1/37 (c)(g) | 121 | 126 | |
6 month U.S. LIBOR + 2.020% 4.6% 6/1/37 (c)(g) | 46 | 48 | |
6 month U.S. LIBOR + 2.040% 4.665% 6/1/37 (c)(g) | 69 | 72 | |
6 month U.S. LIBOR + 2.276% 4.955% 10/1/35 (c)(g) | 20 | 21 | |
U.S. TREASURY 1 YEAR INDEX + 2.035% 4.581% 6/1/33 (c)(g) | 221 | 232 | |
U.S. TREASURY 1 YEAR INDEX + 2.239% 4.865% 2/1/36 (c)(g) | 2 | 2 | |
U.S. TREASURY 1 YEAR INDEX + 2.548% 4.956% 7/1/35 (c)(g) | 165 | 174 | |
2.5% 3/1/22 to 10/1/34 | 30,838 | 31,118 | |
3% 4/1/33 to 11/1/33 | 21,231 | 21,881 | |
3.5% 7/1/32 | 4,162 | 4,340 | |
6% 1/1/24 | 551 | 578 | |
6.5% 9/1/21 to 3/1/22 | 123 | 127 | |
TOTAL FREDDIE MAC | 63,126 | ||
Ginnie Mae - 2.6% | |||
6% 6/15/36 | 3,341 | 3,796 | |
7% 9/15/25 to 8/15/31 | 9 | 10 | |
7.5% 2/15/22 to 8/15/28 | 28 | 31 | |
8% 12/15/26 | 0 | 0 | |
3% 10/1/49 (d) | 37,900 | 38,898 | |
3% 10/1/49 (d) | 29,850 | 30,636 | |
3% 10/1/49 (d) | 15,150 | 15,549 | |
3% 10/1/49 (d) | 36,700 | 37,666 | |
3% 10/1/49 (d) | 32,300 | 33,150 | |
3% 10/1/49 (d) | 28,600 | 29,353 | |
3% 10/1/49 (d) | 15,750 | 16,165 | |
3% 10/1/49 (d) | 15,350 | 15,754 | |
3% 10/1/49 (d) | 8,000 | 8,211 | |
3% 10/1/49 (d) | 4,400 | 4,516 | |
3% 11/1/49 (d) | 45,900 | 47,071 | |
3.5% 8/20/42 to 2/20/47 | 34,507 | 36,412 | |
3.5% 10/1/49 (d) | 10,100 | 10,464 | |
3.5% 10/1/49 (d) | 36,000 | 37,296 | |
3.5% 10/1/49 (d) | 21,900 | 22,688 | |
4% 10/20/43 to 7/20/47 | 17,719 | 18,595 | |
4.469% 2/20/62 (c)(k) | 451 | 456 | |
4.5% 6/20/48 | 25,112 | 26,431 | |
4.573% 2/20/62 (c)(k) | 84 | 84 | |
4.98% 1/20/62 (c)(k) | 459 | 465 | |
5% 4/20/48 | 889 | 950 | |
5.47% 8/20/59 (c)(k) | 8 | 8 | |
TOTAL GINNIE MAE | 434,655 | ||
Uniform Mortgage Backed Securities - 0.3% | |||
2.5% 10/1/34 (d) | 1,400 | 1,412 | |
3% 10/1/49 (d) | 10,500 | 10,658 | |
3% 10/1/49 (d) | 10,350 | 10,506 | |
3% 10/1/49 (d) | 10,450 | 10,608 | |
3% 10/1/49 (d) | 7,950 | 8,070 | |
3% 10/1/49 (d) | 7,950 | 8,070 | |
3% 10/1/49 (d) | 8,000 | 8,121 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 57,445 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $642,391) | 644,917 | ||
Asset-Backed Securities - 0.1% | |||
ALG Student Loan Trust Series 2017-1A Class A3, 3 month U.S. LIBOR + 0.090% 2.3458% 6/28/23(b)(c)(g) | $ | ||
(Cost $11,483) | 11,533 | 11,460 | |
Collateralized Mortgage Obligations - 2.1% | |||
U.S. Government Agency - 2.1% | |||
Fannie Mae: | |||
floater Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 2.9484% 6/25/36 (c)(g) | 3,545 | 3,592 | |
planned amortization class: | |||
Series 2003-70 Class BJ, 5% 7/25/33 | 375 | 412 | |
Series 2005-19 Class PA, 5.5% 7/25/34 | 234 | 236 | |
Series 2005-64 Class PX, 5.5% 6/25/35 | 735 | 780 | |
Series 2005-68 Class CZ, 5.5% 8/25/35 | 3,763 | 4,248 | |
Series 2010-118 Class PB, 4.5% 10/25/40 | 3,524 | 3,791 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 872 | 864 | |
Class GA, 1.75% 6/25/42 | 914 | 898 | |
sequential payer: | |||
Series 2003-117 Class MD, 5% 12/25/23 | 495 | 513 | |
Series 2004-91 Class Z, 5% 12/25/34 | 3,035 | 3,337 | |
Series 2005-117 Class JN, 4.5% 1/25/36 | 464 | 498 | |
Series 2005-14 Class ZB, 5% 3/25/35 | 1,183 | 1,301 | |
Series 2006-72 Class CY, 6% 8/25/26 | 822 | 876 | |
Series 2009-59 Class HB, 5% 8/25/39 | 1,706 | 1,876 | |
Series 2009-85 Class IB, 4.5% 8/25/24 (l) | 6 | 0 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (l) | 1,549 | 114 | |
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 2.9384% 3/25/36 (c)(g) | 2,236 | 2,281 | |
Series 2010-97 Class CI, 4.5% 8/25/25 (l) | 153 | 2 | |
Series 2011-67 Class AI, 4% 7/25/26 (l) | 456 | 33 | |
Series 2012-27 Class EZ, 4.25% 3/25/42 | 5,642 | 6,251 | |
Series 2016-26 Class CG, 3% 5/25/46 | 7,767 | 7,872 | |
Freddie Mac: | |||
floater Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 2.9275% 2/15/33 (c)(g) | 1,052 | 1,067 | |
floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 2.4275% 3/15/34 (c)(g) | 1,425 | 1,424 | |
planned amortization class: | |||
Series 2101 Class PD, 6% 11/15/28 | 38 | 41 | |
Series 2996 Class MK, 5.5% 6/15/35 | 89 | 96 | |
Series 3415 Class PC, 5% 12/15/37 | 472 | 516 | |
Series 3857 Class ZP, 5% 5/15/41 | 2,379 | 2,903 | |
Series 4135 Class AB, 1.75% 6/15/42 | 682 | 675 | |
sequential payer: | |||
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 5,992 | 6,767 | |
Series 2303 Class ZV, 6% 4/15/31 | 110 | 121 | |
Series 2877 Class ZD, 5% 10/15/34 | 3,812 | 4,193 | |
Series 3745 Class KV, 4.5% 12/15/26 | 4,368 | 4,622 | |
Series 3843 Class PZ, 5% 4/15/41 | 2,412 | 2,875 | |
Freddie Mac Multi-family Structured pass-thru certificates sequential payer: | |||
Series 4335 Class AL, 4.25% 3/15/40 | 2,368 | 2,453 | |
Series 4341 Class ML, 3.5% 11/15/31 | 4,225 | 4,439 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 2.5443% 7/20/37 (c)(g) | 738 | 741 | |
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 2.5243% 1/20/38 (c)(g) | 193 | 193 | |
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 2.9043% 8/20/38 (c)(g) | 1,267 | 1,286 | |
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 2.9443% 9/20/38 (c)(g) | 1,047 | 1,069 | |
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 2.6275% 11/16/39 (c)(g) | 800 | 805 | |
Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 2.5575% 12/16/39 (c)(g) | 613 | 616 | |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 2.4695% 7/20/60 (c)(g)(k) | 6,059 | 6,033 | |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 2.5285% 9/20/60 (c)(g)(k) | 7,113 | 7,080 | |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 2.5285% 8/20/60 (c)(g)(k) | 8,118 | 8,081 | |
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 2.6085% 12/20/60 (c)(g)(k) | 2,851 | 2,844 | |
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 2.7285% 12/20/60 (c)(g)(k) | 4,233 | 4,235 | |
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 2.7285% 2/20/61 (c)(g)(k) | 8,598 | 8,602 | |
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 2.7185% 2/20/61 (c)(g)(k) | 10,362 | 10,364 | |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 2.7285% 4/20/61 (c)(g)(k) | 3,501 | 3,502 | |
Series 2011-H14: | |||
Class FB, 1 month U.S. LIBOR + 0.500% 2.7285% 5/20/61 (c)(g)(k) | 4,356 | 4,358 | |
Class FC, 1 month U.S. LIBOR + 0.500% 2.7285% 5/20/61 (c)(g)(k) | 4,009 | 4,011 | |
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 2.7585% 6/20/61 (c)(g)(k) | 4,849 | 4,855 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 2.8285% 10/20/61 (c)(g)(k) | 5,371 | 5,386 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 2.9285% 11/20/61 (c)(g)(k) | 4,862 | 4,886 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 2.9285% 1/20/62 (c)(g)(k) | 3,194 | 3,210 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 2.8585% 1/20/62 (c)(g)(k) | 4,658 | 4,674 | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 2.8585% 3/20/62 (c)(g)(k) | 2,929 | 2,933 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 2.8785% 5/20/61 (c)(g)(k) | 84 | 84 | |
Series 2013-H19: | |||
Class FC, 1 month U.S. LIBOR + 0.600% 2.8285% 8/20/63 (c)(g)(k) | 863 | 865 | |
Class FD, 1 month U.S. LIBOR + 0.600% 2.8285% 8/20/63 (c)(g)(k) | 2,260 | 2,264 | |
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 2.5085% 5/20/63 (c)(g)(k) | 740 | 740 | |
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 2.4285% 4/20/63 (c)(g)(k) | 690 | 688 | |
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 2.2943% 10/20/47 (c)(g) | 4,867 | 4,822 | |
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 2.3443% 5/20/48 (c)(g) | 6,012 | 5,964 | |
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 2.3443% 6/20/48 (c)(g) | 6,932 | 6,874 | |
planned amortization class: | |||
Series 2010-31 Class BP, 5% 3/20/40 | 3,810 | 4,380 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (l) | 1,017 | 83 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 937 | 948 | |
sequential payer: | |||
Series 2011-69 Class GX, 4.5% 5/16/40 | 9,450 | 10,093 | |
Series 2013-H06 Class HA, 1.65% 1/20/63 (k) | 976 | 972 | |
Series 2014-H04 Class HA, 2.75% 2/20/64 (k) | 14,896 | 15,043 | |
Series 2014-H12 Class KA, 2.75% 5/20/64 (k) | 3,319 | 3,338 | |
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 2.7285% 9/20/62 (c)(g)(k) | 3,736 | 3,737 | |
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 2.8785% 11/20/65 (c)(g)(k) | 466 | 467 | |
Series 2017-139 Class BA, 3% 9/20/47 | 12,848 | 12,945 | |
Series 2018-H12 Class HA, 3.25% 8/20/68 (k) | 8,867 | 9,279 | |
Series 2004-22 Class M1, 5.5% 4/20/34 | 622 | 792 | |
Series 2010-169 Class Z, 4.5% 12/20/40 | 5,232 | 5,827 | |
Series 2010-H15 Class TP, 5.15% 8/20/60 (k) | 1,816 | 1,823 | |
Series 2010-H16 Class BA, 3.55% 7/20/60 (k) | 2,585 | 2,612 | |
Series 2010-H17 Class XP, 5.2855% 7/20/60 (c)(k) | 1,401 | 1,405 | |
Series 2010-H18 Class PL, 5.01% 9/20/60 (c)(k) | 1,757 | 1,765 | |
Series 2010-H22 Class LA, 3.75% 10/20/60 (k) | 1,617 | 1,618 | |
Series 2010-H28 Class KA, 3.75% 12/20/60 (k) | 5,376 | 5,388 | |
Series 2012-64 Class KI, 3.5% 11/20/36 (l) | 602 | 22 | |
Series 2013-124: | |||
Class ES, 8.667% - 1 month U.S. LIBOR 5.941% 4/20/39 (c)(m) | 1,750 | 1,800 | |
Class ST, 8.800% - 1 month U.S. LIBOR 6.0743% 8/20/39 (c)(m) | 6,102 | 6,321 | |
Series 2013-H07 Class JA, 1.75% 3/20/63 (k) | 9,421 | 9,381 | |
Series 2013-H08 Class MA, 3% 3/20/63 (k) | 12,386 | 12,408 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (k) | 4,516 | 4,513 | |
Series 2015-H21: | |||
Class HA, 2.5% 6/20/63 (k) | 5,757 | 5,750 | |
Class JA, 2.5% 6/20/65 (k) | 1,014 | 1,014 | |
Series 2015-H30 Class HA, 1.75% 9/20/62 (c)(k) | 7,591 | 7,560 | |
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 2.44% 5/20/66 (c)(g)(k) | 11,652 | 11,653 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 2.29% 8/20/66 (c)(g)(k) | 13,157 | 13,121 | |
Series 2090-118 Class XZ, 5% 12/20/39 | 11,620 | 13,292 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $352,531) | 353,382 | ||
Commercial Mortgage Securities - 0.1% | |||
Freddie Mac: | |||
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 | 4,392 | 4,477 | |
sequential payer: | |||
Series K006 Class A2, 4.251% 1/25/20 | 14,238 | 14,261 | |
Series K712 Class A2, 1.869% 11/25/19 | 5,228 | 5,220 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $24,034) | 23,958 | ||
Foreign Government and Government Agency Obligations - 10.5% | |||
Australian Commonwealth: | |||
1.75% 11/21/20 | AUD | 38,950 | 26,571 |
2.25% 11/21/22 | AUD | 93,650 | 66,170 |
Buoni del Tesoro Poliennali 3.85% 9/1/49 (b) | EUR | 55,450 | 87,204 |
Canadian Government: | |||
1.25% 11/1/19 | CAD | 49,800 | 37,576 |
2.25% 6/1/29 | CAD | 94,300 | 76,838 |
Danish Kingdom 1.75% 11/15/25 | DKK | 109,900 | 18,552 |
Dutch Government: | |||
0% 1/15/24(Reg. S) (b) | EUR | 98,000 | 110,163 |
0.25% 7/15/29(Reg. S) (b) | EUR | 62,450 | 72,690 |
French Government 0% 2/25/20 | EUR | 1,350 | 1,475 |
German Federal Republic: | |||
0% 3/13/20 | EUR | 10,150 | 11,095 |
0% 6/12/20 | EUR | 56,436 | 61,797 |
0% 9/11/20(Reg. S) | EUR | 11,900 | 13,056 |
0% 4/5/24 | EUR | 218,950 | 247,302 |
0.25% 2/15/29 | EUR | 119,750 | 141,299 |
Hong Kong Government SAR 1.32% 12/23/19 | HKD | 24,400 | 3,109 |
Israeli State (guaranteed by U.S. Government through Agency for International Development): | |||
5.5% 9/18/23 | 57,646 | 66,059 | |
5.5% 12/4/23 | 19,812 | 22,745 | |
Japan Government: | |||
0.1% 6/20/28 | JPY | 15,990,000 | 153,214 |
0.4% 3/20/56 | JPY | 6,285,300 | 57,933 |
0.9% 6/20/22 | JPY | 17,154,050 | 164,051 |
Jordanian Kingdom 3% 6/30/25 | 16,691 | 17,692 | |
Kingdom of Norway 3.75% 5/25/21 (b) | NOK | 60,000 | 6,868 |
New Zealand Government 6% 5/15/21 | NZD | 12,000 | 8,141 |
Republic of Singapore 3.25% 9/1/20 | SGD | 53,350 | 39,152 |
Sweden Kingdom 5% 12/1/20 | SEK | 280,600 | 30,372 |
Switzerland Confederation 2.25% 7/6/20(Reg. S) | CHF | 38,950 | 39,951 |
Ukraine Government 1.471% 9/29/21 | 6,753 | 6,726 | |
United Kingdom, Great Britain and Northern Ireland: | |||
0.75% 7/22/23(Reg. S) | GBP | 40,000 | 50,037 |
4.25% 12/7/27 | GBP | 65,900 | 106,807 |
4.75% 3/7/20 | GBP | 2,900 | 3,630 |
United Kingdom, Great Britain and Northern Ireland Treasury GILT 2.5% 7/22/65 (Reg. S) | GBP | 23,575 | 46,764 |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $1,758,521) | 1,795,039 | ||
Supranational Obligations - 0.2% | |||
European Financial Stability Facility 0.875% 4/10/35 (Reg. S) | EUR | 16,368 | 20,129 |
European Investment Bank 0.05% 10/13/34 (Reg. S) | EUR | 13,019 | 14,306 |
TOTAL SUPRANATIONAL OBLIGATIONS | |||
(Cost $33,899) | 34,435 | ||
Shares | Value (000s) | ||
Common Stocks - 5.0% | |||
COMMUNICATION SERVICES - 0.7% | |||
Interactive Media & Services - 0.2% | |||
Alphabet, Inc. Class A (n) | 18,000 | 21,981 | |
Facebook, Inc. Class A (n) | 78,700 | 14,015 | |
35,996 | |||
Media - 0.3% | |||
Altice U.S.A., Inc. Class A (n) | 675,200 | 19,365 | |
Comcast Corp. Class A | 366,100 | 16,504 | |
iHeartMedia, Inc. (n) | 78,392 | 1,176 | |
iHeartMedia, Inc. warrants 5/1/39 (n) | 26 | 0 | |
Nexstar Broadcasting Group, Inc. Class A | 57,600 | 5,893 | |
Sinclair Broadcast Group, Inc. Class A | 146,500 | 6,261 | |
49,199 | |||
Wireless Telecommunication Services - 0.2% | |||
T-Mobile U.S., Inc. (n) | 346,800 | 27,317 | |
TOTAL COMMUNICATION SERVICES | 112,512 | ||
CONSUMER DISCRETIONARY - 0.5% | |||
Auto Components - 0.1% | |||
Chassix Holdings, Inc. warrants 7/29/20 (f)(n) | 30,337 | 127 | |
Exide Technologies (f)(n) | 7,093 | 7 | |
Exide Technologies (f)(n) | 23,645 | 0 | |
Exide Technologies (f)(o) | 105,497 | 940 | |
UC Holdings, Inc. (f)(n) | 560,355 | 10,389 | |
11,463 | |||
Hotels, Restaurants & Leisure - 0.3% | |||
Boyd Gaming Corp. | 596,400 | 14,284 | |
Eldorado Resorts, Inc. (n) | 90,400 | 3,604 | |
Melco Crown Entertainment Ltd. sponsored ADR | 528,200 | 10,252 | |
Penn National Gaming, Inc. (n) | 322,900 | 6,014 | |
Royal Caribbean Cruises Ltd. | 70,200 | 7,605 | |
Studio City International Holdings Ltd. ADR | 133,400 | 2,681 | |
44,440 | |||
Internet & Direct Marketing Retail - 0.1% | |||
Amazon.com, Inc. (n) | 8,900 | 15,450 | |
Specialty Retail - 0.0% | |||
Ulta Beauty, Inc. (n) | 26,400 | 6,617 | |
TOTAL CONSUMER DISCRETIONARY | 77,970 | ||
CONSUMER STAPLES - 0.2% | |||
Food & Staples Retailing - 0.0% | |||
Southeastern Grocers, Inc. (f)(n) | 134,915 | 5,197 | |
Food Products - 0.2% | |||
Darling International, Inc. (n) | 489,800 | 9,370 | |
JBS SA | 2,756,800 | 21,756 | |
Reddy Ice Holdings, Inc. (f) | 133,255 | 40 | |
Reddy Ice Holdings, Inc. (f)(n) | 331,236 | 0 | |
31,166 | |||
TOTAL CONSUMER STAPLES | 36,363 | ||
ENERGY - 0.0% | |||
Energy Equipment & Services - 0.0% | |||
Forbes Energy Services Ltd. (n) | 135,187 | 81 | |
Oil, Gas & Consumable Fuels - 0.0% | |||
Chaparral Energy, Inc. Class A (n) | 108,327 | 145 | |
Goodrich Petroleum Corp. (n) | 90,737 | 965 | |
Harvest Oil & Gas Corp. (n) | 193,888 | 2,530 | |
MEG Energy Corp. (n) | 870,000 | 3,809 | |
Ultra Petroleum Corp. warrants 7/14/25 (n) | 127,890 | 0 | |
VNR Finance Corp. (f)(n) | 83,865 | 0 | |
VNR Finance Corp.(b)(f)(n) | 403,886 | 0 | |
7,449 | |||
TOTAL ENERGY | 7,530 | ||
FINANCIALS - 0.2% | |||
Banks - 0.1% | |||
Bank of America Corp. | 296,000 | 8,634 | |
JPMorgan Chase & Co. | 115,500 | 13,593 | |
22,227 | |||
Capital Markets - 0.0% | |||
Motors Liquidation Co. GUC Trust (n) | 5,066 | 52 | |
Penson Worldwide, Inc. Class A (f)(n) | 7,403,098 | 0 | |
52 | |||
Consumer Finance - 0.1% | |||
American Express Co. | 80,400 | 9,510 | |
OneMain Holdings, Inc. | 262,600 | 9,632 | |
19,142 | |||
TOTAL FINANCIALS | 41,421 | ||
HEALTH CARE - 0.4% | |||
Biotechnology - 0.0% | |||
Alexion Pharmaceuticals, Inc. (n) | 67,800 | 6,640 | |
Health Care Providers & Services - 0.1% | |||
Humana, Inc. | 37,500 | 9,588 | |
Rotech Healthcare, Inc. (f)(n) | 129,242 | 1,339 | |
UnitedHealth Group, Inc. | 51,300 | 11,149 | |
22,076 | |||
Life Sciences Tools & Services - 0.2% | |||
IQVIA Holdings, Inc. (n) | 139,300 | 20,809 | |
Thermo Fisher Scientific, Inc. | 39,200 | 11,418 | |
32,227 | |||
Pharmaceuticals - 0.1% | |||
Jazz Pharmaceuticals PLC (n) | 77,000 | 9,867 | |
TOTAL HEALTH CARE | 70,810 | ||
INDUSTRIALS - 0.7% | |||
Airlines - 0.3% | |||
Air Canada (n) | 1,531,900 | 49,963 | |
Commercial Services & Supplies - 0.0% | |||
Novus Holdings Ltd. | 48,111 | 9 | |
Machinery - 0.1% | |||
Allison Transmission Holdings, Inc. | 151,000 | 7,105 | |
Marine - 0.0% | |||
U.S. Shipping Partners Corp. (f)(n) | 22,876 | 0 | |
U.S. Shipping Partners Corp. warrants 12/31/29 (f)(n) | 214,176 | 0 | |
0 | |||
Trading Companies & Distributors - 0.3% | |||
Air Lease Corp. Class A | 222,822 | 9,318 | |
HD Supply Holdings, Inc. (n) | 531,900 | 20,837 | |
Penhall Acquisition Co.: | |||
Class A (f)(n) | 11,553 | 758 | |
Class B (f)(n) | 3,850 | 253 | |
United Rentals, Inc. (n) | 188,670 | 23,516 | |
54,682 | |||
Transportation Infrastructure - 0.0% | |||
Tricer Holdco SCA: | |||
Class A1 (f)(n)(o) | 403,760 | 0 | |
Class A2 (f)(n)(o) | 403,760 | 0 | |
Class A3 (f)(n)(o) | 403,760 | 0 | |
Class A4 (f)(n)(o) | 403,760 | 0 | |
Class A5 (f)(n)(o) | 403,760 | 0 | |
Class A6 (f)(n)(o) | 403,760 | 0 | |
Class A7 (f)(n)(o) | 403,760 | 0 | |
Class A8 (f)(n)(o) | 403,760 | 0 | |
Class A9 (f)(n)(o) | 403,760 | 0 | |
0 | |||
TOTAL INDUSTRIALS | 111,759 | ||
INFORMATION TECHNOLOGY - 1.8% | |||
Electronic Equipment & Components - 0.2% | |||
CDW Corp. | 96,400 | 11,880 | |
Dell Technologies, Inc. (n) | 113,400 | 5,881 | |
Zebra Technologies Corp. Class A (n) | 42,900 | 8,853 | |
26,614 | |||
IT Services - 0.8% | |||
EPAM Systems, Inc. (n) | 101,000 | 18,414 | |
Fiserv, Inc. (n) | 112,625 | 11,667 | |
Global Payments, Inc. | 180,300 | 28,668 | |
GoDaddy, Inc. (n) | 113,400 | 7,482 | |
MasterCard, Inc. Class A | 114,600 | 31,122 | |
PayPal Holdings, Inc. (n) | 226,100 | 23,422 | |
Verra Mobility Corp. (n) | 237,600 | 3,410 | |
Visa, Inc. Class A | 98,400 | 16,926 | |
141,111 | |||
Semiconductors & Semiconductor Equipment - 0.3% | |||
Advanced Micro Devices, Inc. (n) | 291,300 | 8,445 | |
Lam Research Corp. | 60,200 | 13,913 | |
Microchip Technology, Inc. | 273,100 | 25,374 | |
ON Semiconductor Corp. (n) | 460,400 | 8,844 | |
56,576 | |||
Software - 0.5% | |||
Adobe, Inc. (n) | 93,600 | 25,857 | |
Microsoft Corp. | 191,700 | 26,652 | |
Palo Alto Networks, Inc. (n) | 42,900 | 8,744 | |
Salesforce.com, Inc. (n) | 56,400 | 8,372 | |
SS&C Technologies Holdings, Inc. | 128,139 | 6,608 | |
VMware, Inc. Class A | 43,200 | 6,483 | |
82,716 | |||
TOTAL INFORMATION TECHNOLOGY | 307,017 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
CF Industries Holdings, Inc. | 142,800 | 7,026 | |
Hexion U.S. Finance Corp. (n) | 58,097 | 654 | |
The Chemours Co. LLC | 278,110 | 4,155 | |
11,835 | |||
Metals & Mining - 0.0% | |||
Aleris Corp. (f)(n) | 72,811 | 0 | |
Algoma Steel GP (f) | 151,792 | 3 | |
Algoma Steel SCA (f) | 151,792 | 24 | |
Elah Holdings, Inc. (n) | 517 | 31 | |
First Quantum Minerals Ltd. | 709,700 | 5,962 | |
6,020 | |||
TOTAL MATERIALS | 17,855 | ||
REAL ESTATE - 0.1% | |||
Equity Real Estate Investment Trusts (REITs) - 0.1% | |||
Crown Castle International Corp. | 103,000 | 14,318 | |
UTILITIES - 0.3% | |||
Electric Utilities - 0.2% | |||
PG&E Corp. (n) | 795,100 | 7,951 | |
Portland General Electric Co. | 13,962 | 787 | |
Vistra Energy Corp. | 1,019,600 | 27,254 | |
35,992 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
NRG Energy, Inc. | 329,000 | 13,028 | |
TOTAL UTILITIES | 49,020 | ||
TOTAL COMMON STOCKS | |||
(Cost $717,484) | 846,575 | ||
Nonconvertible Preferred Stocks - 0.0% | |||
INDUSTRIALS - 0.0% | |||
Transportation Infrastructure - 0.0% | |||
Tricer Holdco SCA (f)(n)(o) | |||
(Cost $6,908) | 193,792,711 | 65 | |
Principal Amount (000s)(a) | Value (000s) | ||
Bank Loan Obligations - 2.0% | |||
COMMUNICATION SERVICES - 0.1% | |||
Diversified Telecommunication Services - 0.0% | |||
Triton Bidco Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 9/23/26 (g)(p) | 5,465 | 5,375 | |
Media - 0.1% | |||
CSC Holdings LLC Tranche B4 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.0275% 4/15/27 (c)(g) | 11,062 | 11,062 | |
Nexstar Broadcasting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.807% 6/19/26 (c)(g) | 2,710 | 2,721 | |
13,783 | |||
Wireless Telecommunication Services - 0.0% | |||
iHeartMedia Capital I LLC 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.1002% 5/1/26 (c)(g) | 1,530 | 1,539 | |
TOTAL COMMUNICATION SERVICES | 20,697 | ||
CONSUMER DISCRETIONARY - 0.2% | |||
Diversified Consumer Services - 0.0% | |||
BidFair MergeRight, Inc. 1LN, term loan 3 month U.S. LIBOR + 5.500% 1/23/27 (g)(p) | 7,285 | 7,199 | |
KUEHG Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 10.3544% 8/22/25 (c)(g) | 3,640 | 3,615 | |
10,814 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
Travelport Finance Luxembourg SARL Tranche B 2LN, term loan 3 month U.S. LIBOR + 9.000% 11.1044% 5/28/27 (c)(g) | 14,795 | 12,724 | |
Specialty Retail - 0.1% | |||
Wand NewCo 3, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.5421% 2/5/26 (c)(g) | 11,092 | 11,144 | |
TOTAL CONSUMER DISCRETIONARY | 34,682 | ||
ENERGY - 0.8% | |||
Energy Equipment & Services - 0.0% | |||
BCP Raptor II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.7935% 11/3/25 (c)(g) | 3,521 | 3,154 | |
Forbes Energy Services LLC Tranche B, term loan 16% 4/13/21 (c)(f) | 1,273 | 1,283 | |
4,437 | |||
Oil, Gas & Consumable Fuels - 0.8% | |||
BCP Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.2935% 6/22/24 (c)(g) | 5,313 | 4,869 | |
California Resources Corp.: | |||
Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 12.4185% 12/31/21 (c)(g) | 54,980 | 47,730 | |
Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.7935% 12/31/22 (c)(g) | 57,315 | 50,771 | |
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 9.0435% 8/1/23 (c)(g) | 850 | 865 | |
Epic Crude Services LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 7.04% 3/1/26 (c)(g) | 22,150 | 20,959 | |
Sanchez Energy Corp. 1LN, term loan 3 month U.S. LIBOR + 8.000% 10.057% 5/11/20 (c)(f)(g)(q) | 6,295 | 5,980 | |
131,174 | |||
TOTAL ENERGY | 135,611 | ||
FINANCIALS - 0.0% | |||
Capital Markets - 0.0% | |||
Citadel Securities LP Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.5435% 2/27/26 (c)(g) | 1,836 | 1,840 | |
Insurance - 0.0% | |||
HUB International Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.2663% 4/25/25 (c)(g) | 3,180 | 3,140 | |
TOTAL FINANCIALS | 4,980 | ||
HEALTH CARE - 0.1% | |||
Health Care Providers & Services - 0.1% | |||
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 7.0625% 6/13/26 (c)(g) | 22,005 | 20,740 | |
Pharmaceuticals - 0.0% | |||
Valeant Pharmaceuticals International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.0386% 6/1/25 (c)(g) | 1,176 | 1,180 | |
TOTAL HEALTH CARE | 21,920 | ||
INDUSTRIALS - 0.0% | |||
Air Freight & Logistics - 0.0% | |||
Dynasty Acquisition Co., Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.1044% 4/4/26 (c)(g) | 741 | 744 | |
Tranche B 2LN, term loan 3 month U.S. LIBOR + 4.000% 6.1044% 4/4/26 (c)(g) | 399 | 400 | |
1,144 | |||
Construction & Engineering - 0.0% | |||
Traverse Midstream Partners Ll Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.05% 9/27/24 (c)(g) | 1,777 | 1,559 | |
TOTAL INDUSTRIALS | 2,703 | ||
INFORMATION TECHNOLOGY - 0.7% | |||
Internet Software & Services - 0.1% | |||
McAfee LLC Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.750% 5.7935% 9/29/24 (c)(g) | 2,772 | 2,777 | |
3 month U.S. LIBOR + 8.500% 10.5435% 9/29/25 (c)(g) | 14,801 | 14,921 | |
17,698 | |||
IT Services - 0.1% | |||
Web.com Group, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 7.750% 9.7775% 10/11/26 (c)(g) | 13,620 | 13,211 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.7775% 10/11/25 (c)(g) | 6,574 | 6,460 | |
19,671 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
ON Semiconductor Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 9/19/26 (g)(p) | 4,735 | 4,755 | |
Software - 0.4% | |||
Almonde, Inc. Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.4463% 6/13/25 (c)(g) | 25,816 | 24,606 | |
Boxer Parent Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.2935% 10/2/25 (c)(g) | 21,939 | 21,090 | |
Kronos, Inc. 2LN, term loan 3 month U.S. LIBOR + 8.250% 10.5031% 11/1/24 (c)(g) | 13,470 | 13,655 | |
Landesk Group, Inc. term loan: | |||
3 month U.S. LIBOR + 4.250% 6.3% 1/20/24 (c)(g) | 1,997 | 1,988 | |
3 month U.S. LIBOR + 9.000% 11.05% 1/20/25 (c)(g) | 6,500 | 6,394 | |
Ultimate Software Group, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.7935% 5/4/26 (c)(g) | 2,170 | 2,181 | |
69,914 | |||
TOTAL INFORMATION TECHNOLOGY | 112,038 | ||
MATERIALS - 0.1% | |||
Containers & Packaging - 0.1% | |||
Flex Acquisition Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.5689% 6/29/25 (c)(g) | 10,074 | 9,687 | |
Metals & Mining - 0.0% | |||
Murray Energy Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.3544% 10/17/22 (c)(g) | 14,942 | 5,611 | |
TOTAL MATERIALS | 15,298 | ||
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $375,783) | 347,929 | ||
Shares | Value (000s) | ||
Fixed-Income Funds - 23.8% | |||
Fidelity Emerging Markets Debt Central Fund (r) | 275,111,846 | 2,564,042 | |
Fidelity Floating Rate Central Fund (r) | 14,727,942 | 1,493,119 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $4,134,870) | 4,057,161 | ||
Principal Amount (000s)(a) | Value (000s) | ||
Preferred Securities - 4.3% | |||
ENERGY - 0.5% | |||
Oil, Gas & Consumable Fuels - 0.5% | |||
DCP Midstream Partners LP 7.375% (c)(s) | 8,965 | 8,517 | |
Energy Transfer Partners LP: | |||
6.25% (c)(s) | 40,712 | 37,760 | |
6.625% (c)(s) | 15,640 | 14,780 | |
MPLX LP 6.875% (c)(s) | 18,000 | 17,978 | |
Summit Midstream Partners LP 9.5% (c)(s) | 8,965 | 6,455 | |
85,490 | |||
FINANCIALS - 3.8% | |||
Banks - 3.3% | |||
Bank of America Corp.: | |||
3 month U.S. LIBOR + 3.387% 5.5264% (c)(g)(s) | 3,829 | 3,834 | |
5.125% (c)(s) | 22,020 | 22,818 | |
5.2% (c)(s) | 48,090 | 49,653 | |
5.875% (c)(s) | 60,475 | 65,470 | |
6.25% (c)(s) | 18,480 | 20,106 | |
Citigroup, Inc.: | |||
5% (c)(s) | 36,455 | 36,900 | |
5.8% (c)(s) | 16,945 | 16,958 | |
5.9% (c)(s) | 25,875 | 26,910 | |
5.95% (c)(s) | 46,925 | 48,802 | |
6.25% (c)(s) | 12,015 | 13,382 | |
6.3% (c)(s) | 4,120 | 4,377 | |
Credit Agricole SA 7.875% (b)(c)(s) | 2,530 | 2,821 | |
Huntington Bancshares, Inc. 5.7% (c)(s) | 7,660 | 7,802 | |
JPMorgan Chase & Co.: | |||
3 month U.S. LIBOR + 3.320% 5.4186% (c)(g)(s) | 30,810 | 30,810 | |
5% (c)(s) | 18,675 | 19,189 | |
5.3% (c)(s) | 12,280 | 12,402 | |
6% (c)(s) | 54,840 | 58,600 | |
6.125% (c)(s) | 12,865 | 13,940 | |
6.75% (c)(s) | 6,270 | 6,960 | |
Wells Fargo & Co.: | |||
5.875% (c)(s) | 36,775 | 40,533 | |
5.9% (c)(s) | 46,445 | 49,856 | |
552,123 | |||
Capital Markets - 0.5% | |||
Goldman Sachs Group, Inc.: | |||
3 month U.S. LIBOR + 3.884% 6.065% (c)(g)(s) | 19,097 | 19,169 | |
5% (c)(s) | 50,754 | 49,825 | |
5.375% (c)(s) | 22,175 | 22,341 | |
91,335 | |||
TOTAL FINANCIALS | 643,458 | ||
INDUSTRIALS - 0.0% | |||
Construction & Engineering - 0.0% | |||
Odebrecht Finance Ltd. 7.5% (b)(e)(s) | 1,825 | 202 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $708,781) | 729,150 | ||
Shares | Value (000s) | ||
Money Market Funds - 6.3% | |||
Fidelity Cash Central Fund 1.96% (t) | |||
(Cost $1,072,225) | 1,072,053,856 | 1,072,268 |
Purchased Swaptions - 0.2% | ||||
Expiration Date | Notional Amount (000s) | Value (000s) | ||
Call Options - 0.0% | ||||
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 1.7375% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/20/24 | 55,600 | $1,484 | |
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.3275% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 | 6/11/24 | 31,200 | 490 | |
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.58% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/25/22 | 30,100 | 248 | |
Option on an interest rate swap with Citibank, N.A. to pay semi-annually a fixed rate of 2.54% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/5/22 | 70,200 | 590 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.495% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/5/20 | 38,200 | 83 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.63% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/25/22 | 27,700 | 214 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.7875% and receive quarterly a floating rate based on 3-month LIBOR, expiring January 2028 | 1/25/21 | 22,300 | 45 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.815% and receive quarterly a floating rate based on 3-month LIBOR, expiring March 2029 | 3/7/22 | 72,000 | 405 | |
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to pay semi-annually a fixed rate of 1.57125% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/5/24 | 19,800 | 598 | |
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to pay semi-annually a fixed rate of 2.5340% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2027 | 12/8/20 | 18,200 | 48 | |
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to pay semi-annually a fixed rate of 2.5575% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/6/20 | 19,400 | 37 | |
TOTAL CALL OPTIONS | 4,242 | |||
Put Options - 0.2% | ||||
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 1.7375% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/20/24 | 55,600 | 1,744 | |
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.3275% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 | 6/11/24 | 31,200 | 1,497 | |
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.58% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/25/22 | 30,100 | 2,243 | |
Option on an interest rate swap with Citibank, N.A. to receive semi-annually a fixed rate of 2.54% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/5/22 | 70,200 | 5,080 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.495% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/5/20 | 38,200 | 2,616 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.63% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/25/22 | 27,700 | 2,139 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.7875% and pay quarterly a floating rate based on 3-month LIBOR, expiring January 2028 | 1/25/21 | 22,300 | 1,934 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.815% and pay quarterly a floating rate based on 3-month LIBOR, expiring March 2029 | 3/7/22 | 72,000 | 6,311 | |
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to receive semi-annually a fixed rate of 1.57125% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/5/24 | 19,800 | 544 | |
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to receive semi-annually a fixed rate of 2.5340% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2027 | 12/8/20 | 18,200 | 1,293 | |
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to receive semi-annually a fixed rate of 2.5575% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027 | 10/6/20 | 19,400 | 1,403 | |
TOTAL PUT OPTIONS | 26,804 | |||
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $23,558) | 31,046 | |||
TOTAL INVESTMENT IN SECURITIES - 102.8% | ||||
(Cost $17,115,394) | 17,489,147 | |||
NET OTHER ASSETS (LIABILITIES) - (2.8)% | (468,258) | |||
NET ASSETS - 100% | $17,020,889 |
TBA Sale Commitments | ||
Principal Amount (000s) | Value (000s) | |
Ginnie Mae | ||
3% 10/1/49 | $(59,500) | $(61,067) |
3% 10/1/49 | (16,000) | (16,421) |
3% 10/1/49 | (12,300) | (12,624) |
3% 10/1/49 | (45,900) | (47,108) |
3% 10/1/49 | (6,100) | (6,261) |
3.5% 10/1/49 | (11,800) | (12,225) |
3.5% 10/1/49 | (700) | (725) |
3.5% 10/1/49 | (800) | (829) |
3.5% 10/1/49 | (1,400) | (1,450) |
3.5% 10/1/49 | (53,300) | (55,219) |
TOTAL GINNIE MAE | (213,929) | |
Uniform Mortgage Backed Securities | ||
2.5% 10/1/34 | (28,600) | (28,845) |
2.5% 10/1/34 | (21,800) | (21,986) |
3% 10/1/49 | (75,900) | (77,045) |
3% 10/1/49 | (31,000) | (31,468) |
3.5% 10/1/49 | (76,100) | (78,061) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (237,405) | |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $451,245) | $(451,334) |
Written Swaptions | |||
Expiration Date | Notional Amount | Value (000s) | |
Put Swaptions | |||
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 1.45% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/4/24 | 20,300 | $(671) |
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 1.97% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2029 | 8/1/24 | 10,000 | (217) |
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.26% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 | 5/31/22 | 23,000 | (301) |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.6875% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2030 | 9/17/20 | 60,000 | (1,198) |
TOTAL PUT SWAPTIONS | (2,387) | ||
Call Swaptions | |||
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 1.45% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/4/24 | 20,300 | (505) |
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 1.97% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2029 | 8/1/24 | 10,000 | (373) |
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.26% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 | 5/31/22 | 23,000 | (1,342) |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.6875% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2030 | 9/17/20 | 60,000 | (1,893) |
TOTAL CALL SWAPTIONS | (4,113) | ||
TOTAL WRITTEN SWAPTIONS | $(6,500) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount (000s) | Value (000s) | Unrealized Appreciation/(Depreciation) (000s) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 697 | Dec. 2019 | $90,828 | $(502) | $(502) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 2,554 | Dec. 2019 | 550,387 | (816) | (816) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 999 | Dec. 2019 | 119,029 | (374) | (374) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 101 | Dec. 2019 | 16,394 | 125 | 125 |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 500 | Dec. 2019 | 71,203 | (184) | (184) |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 434 | Dec. 2019 | 83,287 | (2,369) | (2,369) |
TOTAL FUTURES CONTRACTS | $(4,120) |
The notional amount of futures purchased as a percentage of Net Assets is 5.5%
Swaps
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount (000s) | Value (000s) | Upfront Premium Received/(Paid) (000s)(2) | Unrealized Appreciation/(Depreciation) (000s) |
Interest Rate Swaps | |||||||||
1.5% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Dec. 2021 | $14,645 | $(62) | $0 | $(62) |
3-month LIBOR(3) | Quarterly | 1.75% | Semi - annual | LCH | Dec. 2026 | 24,035 | 311 | 0 | 311 |
3-month LIBOR(3) | Quarterly | 1.5% | Semi - annual | LCH | Dec. 2029 | 106,630 | 2,115 | 0 | 2,115 |
TOTAL INTEREST RATE SWAPS | $2,364 | $0 | $2,364 | ||||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3) Represents floating rate.
Currency Abbreviations
AUD – Australian dollar
CAD – Canadian dollar
CHF – Swiss franc
DKK – Danish krone
EUR – European Monetary Unit
GBP – British pound
HKD – Hong Kong dollar
JPY – Japanese yen
NOK – Norwegian krone
NZD – New Zealand dollar
SEK – Swedish krona
SGD – Singapore dollar
Values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
Amounts shown as 0 in the Schedule of Investments may represent less than 1 share.
Legend
(a) Amount is stated in United States dollars unless otherwise noted.
(b) 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 $2,958,675,000 or 17.4% of net assets.
(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) Non-income producing - Security is in default.
(f) Level 3 security
(g) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(h) 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 $6,671,000.
(i) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $6,777,000.
(j) 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 $598,000.
(k) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(l) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(m) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(n) Non-income producing
(o) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,009,000 or 0.0% of net assets.
(p) The coupon rate will be determined upon settlement of the loan after period end.
(q) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $4,497,000 and $4,272,000, respectively.
(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.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost (000s) |
Exide Technologies | 4/30/15 - 6/1/19 | $1,709 |
Tricer Holdco SCA | 10/16/09 - 12/30/17 | $6,909 |
Tricer Holdco SCA Class A1 | 10/16/09 - 10/29/09 | $1,100 |
Tricer Holdco SCA Class A2 | 10/16/09 - 10/29/09 | $1,100 |
Tricer Holdco SCA Class A3 | 10/16/09 - 10/29/09 | $1,100 |
Tricer Holdco SCA Class A4 | 10/16/09 - 10/29/09 | $1,100 |
Tricer Holdco SCA Class A5 | 10/16/09 - 10/29/09 | $1,100 |
Tricer Holdco SCA Class A6 | 10/16/09 - 10/29/09 | $1,100 |
Tricer Holdco SCA Class A7 | 10/16/09 - 10/29/09 | $1,100 |
Tricer Holdco SCA Class A8 | 10/16/09 - 10/29/09 | $1,100 |
Tricer Holdco SCA Class A9 | 10/16/09 - 10/29/09 | $1,100 |
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
(Amounts in thousands) | |
Fidelity Cash Central Fund | $17,228 |
Fidelity Emerging Markets Debt Central Fund | 67,103 |
Fidelity Floating Rate Central Fund | 65,994 |
Fidelity Securities Lending Cash Central Fund | 24 |
Total | $150,349 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Fiscal year to date information regarding the Fund’s investments in non-Money Market Central Funds, including the ownership percentage, is presented below.
Fund (Amounts in thousands) | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Emerging Markets Debt Central Fund | $-- | $2,601,748 | $-- | $(4,850) | $(32,856) | $2,564,042 | 88.6% |
Fidelity Floating Rate Central Fund | 1,430,579 | 70,694 | 50,332 | (934) | 43,112 | 1,493,119 | 76.7% |
Total | $1,430,579 | $2,672,442 | $50,332 | $(5,784) | $10,256 | $4,057,161 |
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, foreign government and government agency obligations, preferred securities, supranational obligations and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.
Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Other Information
Credit Risk.
The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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