Quarterly Holdings Report
for
Fidelity Advisor® Strategic Income Fund
September 30, 2020
SI-QTLY-1120
1.808792.116
Schedule of Investments September 30, 2020 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 33.3% | |||
Principal Amount (000s)(a) | Value (000s) | ||
Convertible Bonds - 0.0% | |||
ENERGY - 0.0% | |||
Energy Equipment & Services - 0.0% | |||
Forum Energy Technologies, Inc. 9% 8/4/25 | $10,950 | $6,816 | |
Oil, Gas & Consumable Fuels - 0.0% | |||
Mesquite Energy, Inc. 15% 7/31/23 (b)(c) | 1,163 | 1,163 | |
TOTAL ENERGY | 7,979 | ||
Nonconvertible Bonds - 33.3% | |||
COMMUNICATION SERVICES - 6.9% | |||
Diversified Telecommunication Services - 2.4% | |||
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d) | 13,810 | 14,345 | |
Cablevision Lightpath LLC: | |||
3.875% 9/15/27 (d) | 3,300 | 3,300 | |
5.625% 9/15/28 (d) | 2,610 | 2,652 | |
Frontier Communications Corp. 8.5% 4/1/26 (d) | 25,262 | 25,489 | |
GCI, Inc. 6.875% 4/15/25 | 8,000 | 8,247 | |
Sable International Finance Ltd. 5.75% 9/7/27 (d) | 12,405 | 12,937 | |
SFR Group SA: | |||
5.5% 1/15/28 (d) | 13,345 | 13,512 | |
7.375% 5/1/26 (d) | 62,475 | 65,468 | |
8.125% 2/1/27 (d) | 4,495 | 4,900 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 78,162 | 97,338 | |
8.75% 3/15/32 | 39,078 | 57,203 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d) | 9,200 | 9,660 | |
U.S. West Communications 7.25% 9/15/25 | 955 | 1,097 | |
Verizon Communications, Inc. 1.85% 5/18/40 | EUR | 6,300 | 7,915 |
Virgin Media Finance PLC 5% 7/15/30 (d) | 14,025 | 13,955 | |
Windstream Escrow LLC 7.75% 8/15/28 (d) | 19,370 | 19,031 | |
Zayo Group Holdings, Inc. 4% 3/1/27 (d) | 9,545 | 9,394 | |
366,443 | |||
Entertainment - 0.6% | |||
Allen Media LLC 10.5% 2/15/28 (d) | 6,415 | 6,190 | |
Lions Gate Entertainment Corp. 5.875% 11/1/24 (d) | 2,640 | 2,594 | |
Livent, Inc. 9.375% 10/15/04 (c)(e) | 300 | 0 | |
Netflix, Inc.: | |||
4.375% 11/15/26 | 3,920 | 4,268 | |
4.875% 4/15/28 | 16,980 | 18,975 | |
5.375% 11/15/29 (d) | 6,760 | 7,968 | |
5.875% 11/15/28 | 38,210 | 45,592 | |
85,587 | |||
Interactive Media & Services - 0.0% | |||
ANGI Homeservices, Inc. 3.875% 8/15/28 (d) | 3,385 | 3,351 | |
Media - 3.5% | |||
Altice Financing SA 5% 1/15/28 (d) | 6,470 | 6,284 | |
Block Communications, Inc. 4.875% 3/1/28 (d) | 4,405 | 4,493 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.25% 2/1/31 (d) | 10,205 | 10,571 | |
4.5% 8/15/30 (d) | 16,805 | 17,645 | |
4.75% 3/1/30 (d) | 51,010 | 54,007 | |
5% 2/1/28 (d) | 54,720 | 57,524 | |
5.125% 5/1/27 (d) | 42,005 | 44,199 | |
5.375% 6/1/29 (d) | 34,085 | 36,940 | |
5.5% 5/1/26 (d) | 12,355 | 12,880 | |
5.875% 5/1/27 (d) | 10,315 | 10,830 | |
Clear Channel International BV 6.625% 8/1/25 (d) | 9,800 | 10,018 | |
CSC Holdings LLC: | |||
5.375% 2/1/28 (d) | 13,855 | 14,634 | |
5.5% 5/15/26 (d) | 31,192 | 32,440 | |
5.75% 1/15/30 (d) | 61,690 | 65,559 | |
6.5% 2/1/29 (d) | 15,380 | 17,053 | |
7.5% 4/1/28 (d) | 8,475 | 9,363 | |
LCPR Senior Secured Financing DAC 6.75% 10/15/27 (d) | 6,785 | 7,090 | |
Nexstar Broadcasting, Inc.: | |||
4.75% 11/1/28 (d) | 13,395 | 13,663 | |
5.625% 7/15/27 (d) | 14,270 | 14,969 | |
Quebecor Media, Inc. 5.75% 1/15/23 | 14,205 | 15,235 | |
Radiate Holdco LLC/Radiate Financial Service Ltd.: | |||
4.5% 9/15/26 (d) | 5,035 | 5,034 | |
6.5% 9/15/28 (d) | 13,425 | 13,757 | |
Sirius XM Radio, Inc.: | |||
5% 8/1/27 (d) | 8,740 | 9,130 | |
5.375% 7/15/26 (d) | 7,940 | 8,263 | |
Videotron Ltd. 5.125% 4/15/27 (d) | 7,325 | 7,706 | |
Ziggo Bond Co. BV: | |||
5.125% 2/28/30 (d) | 3,375 | 3,417 | |
6% 1/15/27 (d) | 7,930 | 8,198 | |
Ziggo BV: | |||
4.875% 1/15/30 (d) | 4,805 | 4,973 | |
5.5% 1/15/27 (d) | 14,355 | 15,037 | |
530,912 | |||
Wireless Telecommunication Services - 0.4% | |||
Intelsat Jackson Holdings SA: | |||
5.5% 8/1/23 (e) | 19,430 | 12,192 | |
8% 2/15/24 (d) | 12,960 | 13,154 | |
8.5% 10/15/24 (d)(e) | 12,990 | 8,379 | |
9.75% 7/15/25 (d)(e) | 22,015 | 14,420 | |
Sprint Corp. 7.625% 3/1/26 | 3,615 | 4,368 | |
52,513 | |||
TOTAL COMMUNICATION SERVICES | 1,038,806 | ||
CONSUMER DISCRETIONARY - 3.2% | |||
Auto Components - 0.1% | |||
Allison Transmission, Inc.: | |||
5% 10/1/24 (d) | 7,960 | 8,040 | |
5.875% 6/1/29 (d) | 4,830 | 5,224 | |
Exide International Holdings LP 10.75% 10/31/21 pay-in-kind (c)(d)(f) | 624 | 580 | |
Exide Technologies: | |||
11% 10/31/24 pay-in-kind (c)(d)(e)(f) | 1,560 | 1,014 | |
11% 10/31/24 pay-in-kind (c)(d)(e)(f) | 632 | 285 | |
15,143 | |||
Automobiles - 0.2% | |||
Tesla, Inc. 5.3% 8/15/25 (d) | 835 | 864 | |
Volkswagen Financial Services AG 3.375% 4/6/28 (Reg. S) | EUR | 20,119 | 27,358 |
28,222 | |||
Diversified Consumer Services - 0.0% | |||
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d) | 5,300 | 5,244 | |
Hotels, Restaurants & Leisure - 2.3% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
4% 10/15/30 (d)(g) | 10,045 | 10,120 | |
4.375% 1/15/28 (d) | 6,265 | 6,389 | |
5% 10/15/25 (d) | 34,125 | 34,990 | |
Caesars Entertainment, Inc.: | |||
6.25% 7/1/25 (d) | 25,535 | 26,620 | |
8.125% 7/1/27 (d) | 34,045 | 36,088 | |
Caesars Resort Collection LLC 5.75% 7/1/25 (d) | 8,510 | 8,776 | |
Carnival Corp.: | |||
9.875% 8/1/27 (d) | 10,150 | 10,755 | |
10.5% 2/1/26 (d) | 7,395 | 8,190 | |
11.5% 4/1/23 (d) | 20,180 | 22,615 | |
Choice Hotels International, Inc. 5.75% 7/1/22 | 2,690 | 2,865 | |
FelCor Lodging LP 6% 6/1/25 | 7,895 | 7,777 | |
Hilton Domestic Operating Co., Inc.: | |||
4.875% 1/15/30 | 11,025 | 11,356 | |
5.125% 5/1/26 | 10,820 | 11,104 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.: | |||
4.625% 4/1/25 | 11,100 | 11,156 | |
4.875% 4/1/27 | 5,210 | 5,293 | |
MCE Finance Ltd.: | |||
4.875% 6/6/25 (d) | 17,840 | 18,222 | |
5.25% 4/26/26 (d) | 7,345 | 7,437 | |
5.375% 12/4/29 (d) | 4,785 | 4,756 | |
5.75% 7/21/28 (d) | 3,385 | 3,449 | |
Merlin Entertainments PLC 5.75% 6/15/26 (d) | 4,580 | 4,362 | |
MGM Mirage, Inc. 6.75% 5/1/25 | 15,075 | 15,799 | |
NCL Corp. Ltd. 12.25% 5/15/24 (d) | 9,110 | 10,203 | |
Royal Caribbean Cruises Ltd.: | |||
10.875% 6/1/23 (d) | 8,545 | 9,560 | |
11.5% 6/1/25 (d) | 12,420 | 14,392 | |
Scientific Games Corp.: | |||
7% 5/15/28 (d) | 4,965 | 4,977 | |
7.25% 11/15/29 (d) | 4,965 | 5,039 | |
SeaWorld Parks & Entertainment, Inc. 9.5% 8/1/25 (d) | 5,505 | 5,684 | |
Vail Resorts, Inc. 6.25% 5/15/25 (d) | 3,855 | 4,091 | |
Viking Cruises Ltd.: | |||
5.875% 9/15/27 (d) | 3,395 | 2,640 | |
13% 5/15/25 (d) | 5,740 | 6,644 | |
Voc Escrow Ltd. 5% 2/15/28 (d) | 6,285 | 5,565 | |
Wynn Macau Ltd. 5.125% 12/15/29 (d) | 9,840 | 9,441 | |
346,355 | |||
Household Durables - 0.2% | |||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (d) | 4,370 | 4,090 | |
Lennar Corp. 4.75% 11/29/27 | 7,175 | 8,192 | |
LGI Homes, Inc. 6.875% 7/15/26 (d) | 7,205 | 7,547 | |
TRI Pointe Homes, Inc.: | |||
5.7% 6/15/28 | 2,010 | 2,201 | |
5.875% 6/15/24 | 11,770 | 12,712 | |
34,742 | |||
Internet & Direct Marketing Retail - 0.3% | |||
Expedia, Inc.: | |||
6.25% 5/1/25 (d) | 9,105 | 10,033 | |
7% 5/1/25 (d) | 8,465 | 9,155 | |
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d) | 23,835 | 24,014 | |
43,202 | |||
Specialty Retail - 0.1% | |||
Asbury Automotive Group, Inc.: | |||
4.5% 3/1/28 (d) | 1,987 | 1,999 | |
4.75% 3/1/30 (d) | 1,980 | 1,995 | |
Burlington Coat Factory Warehouse Corp. 6.25% 4/15/25 (d) | 2,035 | 2,142 | |
Penske Automotive Group, Inc. 5.5% 5/15/26 | 5,975 | 6,164 | |
12,300 | |||
TOTAL CONSUMER DISCRETIONARY | 485,208 | ||
CONSUMER STAPLES - 1.4% | |||
Beverages - 0.2% | |||
Anheuser-Busch InBev SA NV 3.7% 4/2/40 (Reg. S) | EUR | 8,359 | 12,512 |
Heineken NV 1.25% 5/7/33 (Reg. S) | EUR | 13,600 | 16,489 |
29,001 | |||
Food & Staples Retailing - 0.3% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
4.625% 1/15/27 (d) | 9,415 | 9,633 | |
4.875% 2/15/30 (d) | 18,930 | 19,735 | |
KeHE Distributors LLC / KeHE Finance Corp. 8.625% 10/15/26 (d) | 5,880 | 6,365 | |
Performance Food Group, Inc. 5.5% 10/15/27 (d) | 5,345 | 5,505 | |
41,238 | |||
Food Products - 0.9% | |||
Del Monte Foods, Inc. 11.875% 5/15/25 (d) | 3,895 | 4,114 | |
JBS Investments II GmbH: | |||
5.75% 1/15/28 (d) | 6,485 | 6,744 | |
7% 1/15/26 (d) | 6,745 | 7,200 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
5.75% 6/15/25 (d) | 17,240 | 17,771 | |
6.75% 2/15/28 (d) | 10,725 | 11,663 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
5.5% 1/15/30 (d) | 12,225 | 13,325 | |
6.5% 4/15/29 (d) | 17,835 | 19,797 | |
Lamb Weston Holdings, Inc.: | |||
4.625% 11/1/24 (d) | 5,230 | 5,452 | |
4.875% 11/1/26 (d) | 5,285 | 5,510 | |
Pilgrim's Pride Corp. 5.75% 3/15/25 (d) | 12,675 | 12,913 | |
Post Holdings, Inc.: | |||
4.625% 4/15/30 (d) | 6,415 | 6,599 | |
5% 8/15/26 (d) | 12,030 | 12,331 | |
5.5% 12/15/29 (d) | 9,145 | 9,785 | |
5.75% 3/1/27 (d) | 4,885 | 5,135 | |
TreeHouse Foods, Inc. 4% 9/1/28 | 2,250 | 2,276 | |
140,615 | |||
TOTAL CONSUMER STAPLES | 210,854 | ||
ENERGY - 4.0% | |||
Energy Equipment & Services - 0.1% | |||
Diamond Offshore Drilling, Inc.: | |||
4.875% 11/1/43 (e) | 308 | 28 | |
5.7% 10/15/39 (e) | 1,585 | 141 | |
Exterran Energy Solutions LP 8.125% 5/1/25 | 3,270 | 2,792 | |
Jonah Energy LLC 7.25% 10/15/25 (d) | 10,845 | 1,207 | |
Nabors Industries Ltd.: | |||
7.25% 1/15/26 (d) | 6,565 | 3,233 | |
7.5% 1/15/28 (d) | 5,660 | 2,724 | |
Nine Energy Service, Inc. 8.75% 11/1/23 (d) | 3,620 | 1,086 | |
NuStar Logistics LP 6% 6/1/26 | 7,285 | 7,306 | |
SESI LLC 7.75% 9/15/24 | 4,340 | 1,063 | |
Summit Midstream Holdings LLC 5.75% 4/15/25 | 3,405 | 1,944 | |
21,524 | |||
Oil, Gas & Consumable Fuels - 3.9% | |||
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.75% 1/15/28 (d) | 10,640 | 8,751 | |
Antero Resources Corp. 5.625% 6/1/23 (Reg. S) | 1,645 | 1,193 | |
Callon Petroleum Co. 6.125% 10/1/24 | 2,855 | 814 | |
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 | 5,395 | 1,726 | |
Cheniere Energy, Inc. 4.625% 10/15/28 (d) | 13,395 | 13,747 | |
Chesapeake Energy Corp.: | |||
7% 10/1/24 (e) | 3,985 | 149 | |
8% 1/15/25 (e) | 1,955 | 73 | |
8% 6/15/27 (e) | 1,240 | 42 | |
11.5% 1/1/25 (d)(e) | 14,711 | 1,986 | |
Citgo Holding, Inc. 9.25% 8/1/24 (d) | 16,430 | 15,650 | |
Citgo Petroleum Corp. 7% 6/15/25 (d) | 13,580 | 13,393 | |
CNX Midstream Partners LP 6.5% 3/15/26 (d) | 3,935 | 3,984 | |
Comstock Resources, Inc.: | |||
7.5% 5/15/25 (d) | 6,555 | 6,227 | |
9.75% 8/15/26 | 4,500 | 4,613 | |
9.75% 8/15/26 | 36,490 | 37,537 | |
Continental Resources, Inc.: | |||
3.8% 6/1/24 | 11,880 | 11,014 | |
4.375% 1/15/28 | 3,040 | 2,628 | |
4.5% 4/15/23 | 1,645 | 1,568 | |
4.9% 6/1/44 | 7,565 | 5,717 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27 (d) | 11,025 | 9,848 | |
5.75% 4/1/25 | 2,960 | 2,694 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (d) | 9,740 | 8,474 | |
5.75% 2/15/28 (d) | 24,505 | 20,829 | |
DCP Midstream LLC 5.85% 5/21/43 (d)(f) | 10,780 | 7,869 | |
EG Global Finance PLC 8.5% 10/30/25 (d) | 9,545 | 10,046 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.5% 1/30/26 (d) | 5,820 | 5,776 | |
5.75% 1/30/28 (d) | 10,149 | 10,200 | |
6.625% 7/15/25 (d) | 3,395 | 3,488 | |
Energy Transfer Equity LP 5.5% 6/1/27 | 12,065 | 11,751 | |
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 5/15/26 (d)(e) | 55,595 | 12,161 | |
EQT Corp. 3.9% 10/1/27 | 15,848 | 14,441 | |
Extraction Oil & Gas, Inc. 7.375% 5/15/24 (d)(e) | 4,315 | 1,079 | |
Genesis Energy LP/Genesis Energy Finance Corp. 6.25% 5/15/26 | 5,405 | 4,501 | |
Global Partners LP/GLP Finance Corp. 7% 6/15/23 | 8,125 | 8,288 | |
Hess Midstream Partners LP: | |||
5.125% 6/15/28 (d) | 6,600 | 6,585 | |
5.625% 2/15/26 (d) | 9,140 | 9,311 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5% 12/1/24 (d) | 7,550 | 6,852 | |
5.75% 10/1/25 (d) | 8,135 | 7,362 | |
6.25% 11/1/28 (d) | 7,130 | 6,488 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d) | 4,350 | 4,263 | |
Indigo Natural Resources LLC 6.875% 2/15/26 (d) | 13,168 | 12,816 | |
Laredo Petroleum, Inc. 10.125% 1/15/28 | 2,595 | 1,531 | |
MEG Energy Corp. 7.125% 2/1/27 (d) | 6,490 | 5,820 | |
Murphy Oil U.S.A., Inc.: | |||
4.75% 9/15/29 | 4,155 | 4,425 | |
5.625% 5/1/27 | 3,665 | 3,894 | |
New Fortress Energy LLC 6.75% 9/15/25 (d) | 27,005 | 28,234 | |
Newfield Exploration Co. 5.375% 1/1/26 | 6,813 | 6,406 | |
NGL Energy Partners LP/NGL Energy Finance Corp.: | |||
6.125% 3/1/25 | 7,480 | 4,451 | |
7.5% 4/15/26 | 9,630 | 5,971 | |
NGPL PipeCo LLC: | |||
4.375% 8/15/22 (d) | 1,800 | 1,868 | |
4.875% 8/15/27 (d) | 1,800 | 1,952 | |
Occidental Petroleum Corp.: | |||
2.9% 8/15/24 | 8,270 | 7,017 | |
3.2% 8/15/26 | 515 | 408 | |
3.4% 4/15/26 | 670 | 534 | |
4.4% 4/15/46 | 5,820 | 4,152 | |
4.4% 8/15/49 | 14,725 | 10,309 | |
4.625% 6/15/45 | 4,795 | 3,465 | |
5.875% 9/1/25 | 6,775 | 6,209 | |
6.2% 3/15/40 | 3,565 | 2,923 | |
6.375% 9/1/28 | 6,775 | 6,272 | |
6.45% 9/15/36 | 11,875 | 10,094 | |
6.6% 3/15/46 | 9,520 | 8,219 | |
6.625% 9/1/30 | 13,550 | 12,500 | |
7.2% 3/15/29 | 2,440 | 2,220 | |
7.5% 5/1/31 | 680 | 646 | |
PBF Holding Co. LLC/PBF Finance Corp.: | |||
6% 2/15/28 (d) | 15,760 | 10,576 | |
7.25% 6/15/25 | 13,580 | 10,253 | |
9.25% 5/15/25 (d) | 10,160 | 10,414 | |
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 | 6,110 | 5,743 | |
PDC Energy, Inc.: | |||
6.125% 9/15/24 | 2,480 | 2,362 | |
6.25% 12/1/25 | 4,370 | 4,064 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 (d) | 84 | 95 | |
Sanchez Energy Corp. 7.25% 2/15/23 (c)(d)(e) | 12,834 | 0 | |
SM Energy Co.: | |||
5.625% 6/1/25 | 5,060 | 2,277 | |
6.625% 1/15/27 | 12,830 | 5,699 | |
6.75% 9/15/26 | 3,175 | 1,413 | |
Southern Star Central Corp. 5.125% 7/15/22 (d) | 2,700 | 2,707 | |
Southwestern Energy Co.: | |||
6.45% 1/23/25 (f) | 1,095 | 1,061 | |
7.5% 4/1/26 | 12,420 | 12,141 | |
7.75% 10/1/27 | 7,830 | 7,595 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.875% 1/15/23 | 5,390 | 5,417 | |
5.5% 2/15/26 | 6,865 | 6,856 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 7.5% 10/1/25 (d) | 5,035 | 5,055 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 4.875% 2/1/31 (d) | 6,345 | 6,145 | |
Teine Energy Ltd. 6.875% 9/30/22 (d) | 8,820 | 8,666 | |
Tennessee Gas Pipeline Co. 7.625% 4/1/37 | 2,585 | 3,443 | |
Ultra Resources, Inc. 11% 7/12/24 pay-in-kind (c)(e) | 6,493 | 325 | |
Unit Corp. 6.625% 5/15/21 (c)(e) | 1,660 | 199 | |
W&T Offshore, Inc. 9.75% 11/1/23 (d) | 24,200 | 16,666 | |
584,626 | |||
TOTAL ENERGY | 606,150 | ||
FINANCIALS - 4.2% | |||
Banks - 0.8% | |||
AIB Group PLC 2.875% 5/30/31 (Reg. S) (f) | EUR | 20,815 | 24,350 |
Citigroup, Inc. 1.25% 7/6/26 (Reg. S) (f) | EUR | 7,333 | 8,924 |
Commerzbank AG 4% 3/23/26 (Reg. S) | EUR | 12,050 | 15,045 |
Danske Bank A/S 2.5% 6/21/29 (Reg. S) (f) | EUR | 23,652 | 28,868 |
HSBC Holdings PLC 7% 4/7/38 | GBP | 10,000 | 18,876 |
Lloyds Banking Group PLC 4.5% 3/18/30 (Reg. S) (f) | EUR | 12,510 | 16,198 |
UniCredit SpA 2.731% 1/15/32 (Reg. S) (f) | EUR | 11,593 | 12,811 |
125,072 | |||
Capital Markets - 0.1% | |||
AssuredPartners, Inc. 7% 8/15/25 (d) | 2,930 | 2,984 | |
j2 Cloud Services LLC/j2 Global Communications, Inc. 6% 7/15/25 (d) | 4,875 | 5,070 | |
MSCI, Inc. 4% 11/15/29 (d) | 3,780 | 3,969 | |
12,023 | |||
Consumer Finance - 2.2% | |||
Ally Financial, Inc.: | |||
8% 11/1/31 | 16,761 | 22,320 | |
8% 11/1/31 | 155,842 | 213,228 | |
Springleaf Finance Corp.: | |||
5.375% 11/15/29 | 5,560 | 5,782 | |
6.625% 1/15/28 | 4,415 | 4,900 | |
6.875% 3/15/25 | 30,605 | 33,962 | |
7.125% 3/15/26 | 41,215 | 46,045 | |
326,237 | |||
Diversified Financial Services - 0.6% | |||
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (d) | 6,600 | 6,955 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
5.25% 5/15/27 | 17,335 | 18,060 | |
6.25% 5/15/26 | 14,625 | 15,247 | |
6.375% 12/15/25 | 32,405 | 33,311 | |
6.75% 2/1/24 | 6,490 | 6,657 | |
James Hardie International Finance Ltd.: | |||
4.75% 1/15/25 (d) | 5,220 | 5,331 | |
5% 1/15/28 (d) | 5,270 | 5,494 | |
91,055 | |||
Insurance - 0.3% | |||
Acrisure LLC / Acrisure Finance, Inc.: | |||
7% 11/15/25 (d) | 20,290 | 19,932 | |
8.125% 2/15/24 (d) | 7,875 | 8,249 | |
10.125% 8/1/26 (d) | 6,810 | 7,543 | |
Alliant Holdings Intermediate LLC 6.75% 10/15/27 (d) | 3,340 | 3,504 | |
HUB International Ltd. 7% 5/1/26 (d) | 6,980 | 7,233 | |
46,461 | |||
Thrifts & Mortgage Finance - 0.2% | |||
MGIC Investment Corp. 5.25% 8/15/28 | 4,725 | 4,889 | |
Nationwide Building Society 2% 7/25/29 (Reg. S) (f) | EUR | 15,443 | 18,500 |
23,389 | |||
TOTAL FINANCIALS | 624,237 | ||
HEALTH CARE - 2.6% | |||
Health Care Equipment & Supplies - 0.2% | |||
Hologic, Inc.: | |||
4.375% 10/15/25 (d) | 3,700 | 3,783 | |
4.625% 2/1/28 (d) | 2,505 | 2,631 | |
Medtronic Global Holdings SCA 1.375% 10/15/40 | EUR | 14,138 | 16,912 |
23,326 | |||
Health Care Providers & Services - 1.8% | |||
AMN Healthcare 4.625% 10/1/27 (d) | 1,695 | 1,737 | |
Centene Corp.: | |||
4.25% 12/15/27 | 6,820 | 7,137 | |
4.625% 12/15/29 | 23,795 | 25,667 | |
4.75% 1/15/25 | 5,425 | 5,576 | |
5.25% 4/1/25 (d) | 5,705 | 5,929 | |
5.375% 6/1/26 (d) | 18,035 | 19,035 | |
5.375% 8/15/26 (d) | 4,655 | 4,930 | |
Community Health Systems, Inc.: | |||
6.625% 2/15/25 (d) | 7,415 | 7,173 | |
8% 3/15/26 (d) | 37,390 | 36,713 | |
8.125% 6/30/24 (d) | 25,507 | 18,620 | |
9.875% 6/30/23 (d) | 21,652 | 16,780 | |
Encompass Health Corp. 5.75% 11/1/24 | 10,048 | 10,063 | |
Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (d) | 7,300 | 7,747 | |
Jaguar Holding Co. II/Pharmaceutical Product Development LLC 5% 6/15/28 (d) | 7,220 | 7,536 | |
Molina Healthcare, Inc. 4.375% 6/15/28 (d) | 4,690 | 4,786 | |
Radiology Partners, Inc. 9.25% 2/1/28 (d) | 11,755 | 12,225 | |
Tenet Healthcare Corp.: | |||
4.625% 7/15/24 | 3,640 | 3,649 | |
4.625% 9/1/24 (d) | 7,305 | 7,364 | |
4.875% 1/1/26 (d) | 18,260 | 18,534 | |
5.125% 5/1/25 | 3,640 | 3,644 | |
5.125% 11/1/27 (d) | 10,955 | 11,268 | |
6.125% 10/1/28 (d) | 10,130 | 9,864 | |
6.25% 2/1/27 (d) | 11,115 | 11,473 | |
U.S. Renal Care, Inc. 10.625% 7/15/27 (d) | 12,865 | 13,637 | |
Vizient, Inc. 6.25% 5/15/27 (d) | 1,690 | 1,770 | |
272,857 | |||
Health Care Technology - 0.0% | |||
IMS Health, Inc. 5% 5/15/27 (d) | 5,660 | 5,935 | |
Life Sciences Tools & Services - 0.1% | |||
Avantor, Inc. 6% 10/1/24 (d) | 7,285 | 7,613 | |
Charles River Laboratories International, Inc. 4.25% 5/1/28 (d) | 2,045 | 2,146 | |
9,759 | |||
Pharmaceuticals - 0.5% | |||
Bayer AG 1.375% 7/6/32 (Reg. S) | EUR | 26,600 | 31,818 |
Catalent Pharma Solutions: | |||
4.875% 1/15/26 (d) | 2,365 | 2,412 | |
5% 7/15/27 (d) | 2,295 | 2,387 | |
Mylan NV 3.125% 11/22/28 (Reg. S) | EUR | 21,360 | 28,816 |
Takeda Pharmaceutical Co. Ltd. 2% 7/9/40 | EUR | 11,100 | 13,784 |
79,217 | |||
TOTAL HEALTH CARE | 391,094 | ||
INDUSTRIALS - 3.5% | |||
Aerospace & Defense - 1.6% | |||
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (d) | 2,610 | 2,636 | |
Bombardier, Inc.: | |||
6.125% 1/15/23 (d) | 6,590 | 5,634 | |
7.5% 12/1/24 (d) | 5,505 | 4,225 | |
7.5% 3/15/25 (d) | 16,070 | 12,073 | |
7.875% 4/15/27 (d) | 30,330 | 23,003 | |
BWX Technologies, Inc.: | |||
4.125% 6/30/28 (d) | 6,400 | 6,544 | |
5.375% 7/15/26 (d) | 4,990 | 5,183 | |
Moog, Inc. 4.25% 12/15/27 (d) | 2,025 | 2,071 | |
Spirit Aerosystems, Inc. 7.5% 4/15/25 (d) | 9,205 | 9,320 | |
TransDigm UK Holdings PLC 6.875% 5/15/26 | 21,085 | 21,188 | |
TransDigm, Inc.: | |||
5.5% 11/15/27 | 57,420 | 55,123 | |
6.25% 3/15/26 (d) | 11,120 | 11,660 | |
6.375% 6/15/26 | 37,890 | 38,039 | |
6.5% 5/15/25 | 9,710 | 9,680 | |
7.5% 3/15/27 | 11,028 | 11,450 | |
Wolverine Escrow LLC: | |||
8.5% 11/15/24 (d) | 13,041 | 10,694 | |
9% 11/15/26 (d) | 13,634 | 11,248 | |
239,771 | |||
Air Freight & Logistics - 0.1% | |||
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (d) | 3,960 | 3,999 | |
XPO Logistics, Inc. 6.25% 5/1/25 (d) | 11,590 | 12,343 | |
16,342 | |||
Airlines - 0.5% | |||
Air Canada 2013-1 Pass Through Trust 5.375% 11/15/22 (d) | 1,602 | 1,466 | |
Delta Air Lines, Inc. 7% 5/1/25 (d) | 2,860 | 3,140 | |
Delta Air Lines, Inc. / SkyMiles IP Ltd.: | |||
4.5% 10/20/25 (d) | 28,985 | 29,746 | |
4.75% 10/20/28 (d) | 23,940 | 24,868 | |
Delta Air Lines, Inc. pass-thru trust certificates 8.021% 2/10/24 | 1,922 | 1,808 | |
Hawaiian Airlines pass-thru certificates Series 2013-1 Class B, 4.95% 7/15/23 | 2,950 | 2,661 | |
Mileage Plus Holdings LLC 6.5% 6/20/27 (d) | 10,635 | 11,074 | |
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. 8% 9/20/25 (d) | 7,805 | 8,270 | |
83,033 | |||
Building Products - 0.0% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (d) | 1,400 | 1,463 | |
Shea Homes Ltd. Partnership/Corp. 4.75% 4/1/29 (d) | 4,830 | 4,812 | |
6,275 | |||
Commercial Services & Supplies - 0.3% | |||
ADS Waste Holdings, Inc. 5.625% 11/15/24 (d) | 6,910 | 7,117 | |
Covanta Holding Corp.: | |||
5% 9/1/30 | 6,775 | 6,838 | |
5.875% 7/1/25 | 1,995 | 2,062 | |
6% 1/1/27 | 7,080 | 7,363 | |
IAA Spinco, Inc. 5.5% 6/15/27 (d) | 2,830 | 2,947 | |
KAR Auction Services, Inc. 5.125% 6/1/25 (d) | 6,210 | 6,210 | |
Ritchie Bros. Auctioneers, Inc. 5.375% 1/15/25 (d) | 2,315 | 2,382 | |
The Brink's Co. 4.625% 10/15/27 (d) | 7,200 | 7,189 | |
42,108 | |||
Construction & Engineering - 0.1% | |||
AECOM 5.125% 3/15/27 | 7,490 | 8,090 | |
Odebrecht Finance Ltd.: | |||
4.375% 4/25/25 (d)(e) | 7,474 | 404 | |
5.25% 6/27/29 (d)(e) | 6,800 | 272 | |
7.125% 6/26/42 (d)(e) | 3,310 | 171 | |
Pike Corp. 5.5% 9/1/28 (d) | 5,315 | 5,348 | |
14,285 | |||
Electrical Equipment - 0.1% | |||
Sensata Technologies BV 5% 10/1/25 (d) | 8,215 | 8,831 | |
Machinery - 0.1% | |||
Stevens Holding Co., Inc. 6.125% 10/1/26 (d) | 1,880 | 2,012 | |
Vertical Holdco GmbH 7.625% 7/15/28 (d) | 1,870 | 1,976 | |
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (d) | 6,830 | 7,098 | |
11,086 | |||
Professional Services - 0.1% | |||
ASGN, Inc. 4.625% 5/15/28 (d) | 5,670 | 5,693 | |
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (d) | 6,270 | 6,436 | |
12,129 | |||
Road & Rail - 0.5% | |||
Hertz Corp.: | |||
5.5% 10/15/24 (d)(e) | 5,950 | 2,678 | |
6% 1/15/28 (d)(e) | 3,435 | 1,554 | |
6.25% 10/15/22 (e) | 4,635 | 2,121 | |
7.125% 8/1/26 (d)(e) | 6,315 | 2,842 | |
Uber Technologies, Inc.: | |||
6.25% 1/15/28 (d) | 5,520 | 5,665 | |
7.5% 9/15/27 (d) | 31,625 | 33,760 | |
8% 11/1/26 (d) | 29,170 | 31,066 | |
79,686 | |||
Trading Companies & Distributors - 0.1% | |||
United Rentals North America, Inc.: | |||
3.875% 11/15/27 | 3,345 | 3,445 | |
5.5% 5/15/27 | 4,980 | 5,297 | |
8,742 | |||
TOTAL INDUSTRIALS | 522,288 | ||
INFORMATION TECHNOLOGY - 1.2% | |||
Electronic Equipment & Components - 0.0% | |||
MTS Systems Corp. 5.75% 8/15/27 (d) | 1,905 | 1,876 | |
IT Services - 0.2% | |||
Banff Merger Sub, Inc. 9.75% 9/1/26 (d) | 5,645 | 5,967 | |
Camelot Finance SA 4.5% 11/1/26 (d) | 6,365 | 6,492 | |
Gartner, Inc. 3.75% 10/1/30 (d) | 6,920 | 7,000 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 5.25% 12/1/27 (d) | 5,665 | 5,895 | |
GTT Communications, Inc. 7.875% 12/31/24 (d) | 640 | 330 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 10.75% 6/1/28 (d) | 3,695 | 4,028 | |
RP Crown Parent, LLC 7.375% 10/15/24 (d) | 2,820 | 2,862 | |
Tempo Acquisition LLC 6.75% 6/1/25 (d) | 5,340 | 5,450 | |
38,024 | |||
Semiconductors & Semiconductor Equipment - 0.3% | |||
Infineon Technologies AG 2% 6/24/32 (Reg. S) | EUR | 15,500 | 19,236 |
ON Semiconductor Corp. 3.875% 9/1/28 (d) | 6,765 | 6,860 | |
Qorvo, Inc. 5.5% 7/15/26 | 3,615 | 3,834 | |
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (d) | 7,880 | 8,254 | |
38,184 | |||
Software - 0.6% | |||
Ascend Learning LLC: | |||
6.875% 8/1/25 (d) | 2,480 | 2,551 | |
6.875% 8/1/25 (d) | 7,330 | 7,460 | |
Black Knight InfoServ LLC 3.625% 9/1/28 (d) | 6,975 | 7,049 | |
Boxer Parent Co., Inc. 7.125% 10/2/25 (d) | 3,445 | 3,679 | |
Ensemble S Merger Sub, Inc. 9% 9/30/23 (d) | 13,310 | 13,318 | |
Fair Isaac Corp. 4% 6/15/28 (d) | 6,420 | 6,621 | |
Nortonlifelock, Inc. 5% 4/15/25 (d) | 6,360 | 6,509 | |
Open Text Corp.: | |||
3.875% 2/15/28 (d) | 3,220 | 3,257 | |
5.875% 6/1/26 (d) | 6,000 | 6,225 | |
Open Text Holdings, Inc. 4.125% 2/15/30 (d) | 3,220 | 3,312 | |
Parametric Technology Corp.: | |||
3.625% 2/15/25 (d) | 3,755 | 3,811 | |
4% 2/15/28 (d) | 3,715 | 3,818 | |
Veritas U.S., Inc./Veritas Bermuda Ltd.: | |||
7.5% 2/1/23 (d) | 9,915 | 9,892 | |
7.5% 9/1/25 (d) | 8,470 | 8,735 | |
86,237 | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
NCR Corp.: | |||
5% 10/1/28 (d) | 3,385 | 3,381 | |
5.25% 10/1/30 (d) | 3,385 | 3,385 | |
5.75% 9/1/27 (d) | 5,480 | 5,729 | |
6.125% 9/1/29 (d) | 5,480 | 5,790 | |
8.125% 4/15/25 (d) | 2,910 | 3,216 | |
21,501 | |||
TOTAL INFORMATION TECHNOLOGY | 185,822 | ||
MATERIALS - 3.1% | |||
Chemicals - 1.4% | |||
CF Industries Holdings, Inc.: | |||
4.95% 6/1/43 | 40,343 | 46,987 | |
5.15% 3/15/34 | 19,208 | 22,696 | |
5.375% 3/15/44 | 34,489 | 41,503 | |
Consolidated Energy Finance SA: | |||
3 month U.S. LIBOR + 3.750% 4.0004% 6/15/22 (d)(f)(h) | 1,820 | 1,716 | |
6.5% 5/15/26 (d) | 31,160 | 27,290 | |
6.875% 6/15/25 (d) | 6,400 | 5,824 | |
LSB Industries, Inc. 9.625% 5/1/23 (d) | 3,600 | 3,528 | |
Neon Holdings, Inc. 10.125% 4/1/26 (d) | 7,305 | 7,707 | |
Nouryon Holding BV 8% 10/1/26 (d) | 4,977 | 5,268 | |
OCI NV: | |||
5.25% 11/1/24 (d) | 10,040 | 10,358 | |
6.625% 4/15/23 (d) | 3,185 | 3,293 | |
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.5% 6/15/25 (d) | 5,880 | 5,304 | |
The Chemours Co. LLC 5.375% 5/15/27 | 18,470 | 18,378 | |
Tronox, Inc. 6.5% 5/1/25 (d) | 5,410 | 5,640 | |
Valvoline, Inc. 4.25% 2/15/30 (d) | 4,680 | 4,774 | |
210,266 | |||
Construction Materials - 0.1% | |||
Summit Materials LLC/Summit Materials Finance Corp.: | |||
5.125% 6/1/25 (d) | 3,060 | 3,102 | |
5.25% 1/15/29 (d) | 6,525 | 6,794 | |
U.S. Concrete, Inc.: | |||
5.125% 3/1/29 (d) | 5,035 | 5,048 | |
6.375% 6/1/24 | 3,885 | 4,006 | |
18,950 | |||
Containers & Packaging - 0.5% | |||
ARD Finance SA 6.5% 6/30/27 pay-in-kind (d)(f) | 6,625 | 6,591 | |
Cascades, Inc.: | |||
5.125% 1/15/26 (d) | 3,310 | 3,468 | |
5.375% 1/15/28 (d) | 3,310 | 3,480 | |
Crown Cork & Seal, Inc.: | |||
7.375% 12/15/26 | 16,535 | 19,658 | |
7.5% 12/15/96 | 7,695 | 8,302 | |
Graham Packaging Co., Inc. 7.125% 8/15/28 (d) | 3,720 | 3,873 | |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (d) | 2,570 | 2,606 | |
Labl Escrow Issuer LLC 6.75% 7/15/26 (d) | 11,010 | 11,616 | |
Trivium Packaging Finance BV: | |||
5.5% 8/15/26 (d) | 4,195 | 4,344 | |
8.5% 8/15/27 (d) | 7,180 | 7,742 | |
71,680 | |||
Metals & Mining - 1.1% | |||
Alcoa Nederland Holding BV: | |||
6.125% 5/15/28 (d) | 2,110 | 2,223 | |
6.75% 9/30/24 (d) | 5,350 | 5,517 | |
7% 9/30/26 (d) | 4,430 | 4,640 | |
Algoma Steel SCA 0% 12/31/23 (c) | 1,518 | 926 | |
Arconic Rolled Products Corp.: | |||
6% 5/15/25 (d) | 4,090 | 4,368 | |
6.125% 2/15/28 (d) | 9,123 | 9,368 | |
Cleveland-Cliffs, Inc.: | |||
4.875% 1/15/24 (d) | 7,215 | 7,107 | |
5.75% 3/1/25 | 1,889 | 1,757 | |
5.875% 6/1/27 | 11,010 | 10,239 | |
Commercial Metals Co. 5.75% 4/15/26 | 5,405 | 5,621 | |
Compass Minerals International, Inc. 6.75% 12/1/27 (d) | 14,455 | 15,611 | |
First Quantum Minerals Ltd.: | |||
6.5% 3/1/24 (d) | 6,560 | 6,335 | |
6.875% 3/1/26 (d) | 14,330 | 13,828 | |
7.25% 5/15/22 (d) | 4,105 | 4,097 | |
7.25% 4/1/23 (d) | 1,985 | 1,962 | |
7.5% 4/1/25 (d) | 12,105 | 11,984 | |
FMG Resources (August 2006) Pty Ltd.: | |||
4.5% 9/15/27 (d) | 5,450 | 5,818 | |
4.75% 5/15/22 (d) | 4,780 | 4,894 | |
5.125% 3/15/23 (d) | 7,615 | 7,946 | |
5.125% 5/15/24 (d) | 5,885 | 6,282 | |
Infrabuild Australia Pty Ltd. 12% 10/1/24 (d) | 5,460 | 5,242 | |
Kaiser Aluminum Corp. 4.625% 3/1/28 (d) | 6,615 | 6,168 | |
Mineral Resources Ltd. 8.125% 5/1/27 (d) | 11,025 | 11,964 | |
Murray Energy Corp.: | |||
11.25% 4/15/21 (d)(e) | 5,925 | 0 | |
12% 4/15/24 pay-in-kind (c)(d)(e)(f) | 6,364 | 0 | |
United States Steel Corp. 6.25% 3/15/26 | 7,180 | 4,864 | |
158,761 | |||
TOTAL MATERIALS | 459,657 | ||
REAL ESTATE - 1.0% | |||
Equity Real Estate Investment Trusts (REITs) - 0.8% | |||
Iron Mountain, Inc.: | |||
4.875% 9/15/29 (d) | 14,590 | 14,845 | |
5% 7/15/28 (d) | 6,370 | 6,529 | |
5.25% 7/15/30 (d) | 5,915 | 6,166 | |
5.625% 7/15/32 (d) | 5,915 | 6,246 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
4.625% 8/1/29 | 10,950 | 11,393 | |
5% 10/15/27 | 15,435 | 16,094 | |
SBA Communications Corp. 3.875% 2/15/27 (d) | 9,720 | 9,866 | |
The GEO Group, Inc.: | |||
5.125% 4/1/23 | 7,555 | 6,138 | |
5.875% 10/15/24 | 8,575 | 6,560 | |
6% 4/15/26 | 5,755 | 4,115 | |
Uniti Group, Inc. 7.875% 2/15/25 (d) | 9,940 | 10,533 | |
VICI Properties, Inc.: | |||
4.25% 12/1/26 (d) | 12,650 | 12,709 | |
4.625% 12/1/29 (d) | 7,220 | 7,375 | |
118,569 | |||
Real Estate Management & Development - 0.2% | |||
DTZ U.S. Borrower LLC 6.75% 5/15/28 (d) | 6,575 | 6,826 | |
Realogy Group LLC/Realogy Co-Issuer Corp. 7.625% 6/15/25 (d) | 20,305 | 21,269 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.625% 3/1/24 (d) | 775 | 825 | |
5.875% 6/15/27 (d) | 5,610 | 6,185 | |
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (d) | 3,045 | 3,075 | |
38,180 | |||
TOTAL REAL ESTATE | 156,749 | ||
UTILITIES - 2.2% | |||
Electric Utilities - 1.9% | |||
Clearway Energy Operating LLC 4.75% 3/15/28 (d) | 4,055 | 4,207 | |
NextEra Energy Partners LP: | |||
4.25% 7/15/24 (d) | 4,030 | 4,202 | |
4.25% 9/15/24 (d) | 2,830 | 2,950 | |
NRG Energy, Inc.: | |||
5.75% 1/15/28 | 20,240 | 21,834 | |
6.625% 1/15/27 | 15,685 | 16,587 | |
Pacific Gas & Electric Co.: | |||
3.45% 7/1/25 | 1,675 | 1,752 | |
3.75% 7/1/28 | 1,675 | 1,740 | |
3.75% 8/15/42 | 6,290 | 5,831 | |
3.95% 12/1/47 | 32,835 | 30,311 | |
4% 12/1/46 | 14,690 | 13,748 | |
4.25% 3/15/46 | 1,475 | 1,422 | |
4.3% 3/15/45 | 3,690 | 3,621 | |
4.55% 7/1/30 | 49,355 | 53,468 | |
4.95% 7/1/50 | 49,355 | 52,677 | |
PG&E Corp.: | |||
5% 7/1/28 | 13,615 | 13,207 | |
5.25% 7/1/30 | 5,150 | 4,983 | |
Vistra Operations Co. LLC: | |||
5% 7/31/27 (d) | 13,800 | 14,493 | |
5.5% 9/1/26 (d) | 9,975 | 10,411 | |
5.625% 2/15/27 (d) | 17,455 | 18,419 | |
275,863 | |||
Gas Utilities - 0.2% | |||
Southern Natural Gas Co.: | |||
7.35% 2/15/31 | 14,890 | 19,742 | |
8% 3/1/32 | 9,400 | 13,326 | |
33,068 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
TerraForm Power Operating LLC: | |||
4.25% 1/31/23 (d) | 3,700 | 3,792 | |
4.75% 1/15/30 (d) | 6,690 | 7,108 | |
5% 1/31/28 (d) | 3,715 | 4,067 | |
The AES Corp. 4.5% 3/15/23 | 2,769 | 2,783 | |
17,750 | |||
TOTAL UTILITIES | 326,681 | ||
TOTAL NONCONVERTIBLE BONDS | 5,007,546 | ||
TOTAL CORPORATE BONDS | |||
(Cost $4,903,358) | 5,015,525 | ||
U.S. Government and Government Agency Obligations - 17.2% | |||
U.S. Government Agency Obligations - 0.1% | |||
Fannie Mae 0.625% 4/22/25 | 2,128 | 2,152 | |
Tennessee Valley Authority: | |||
5.25% 9/15/39 | $2,106 | $3,246 | |
5.375% 4/1/56 | 3,503 | 5,985 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 11,383 | ||
U.S. Treasury Obligations - 16.7% | |||
U.S. Treasury Bonds: | |||
1.25% 5/15/50 (i) | 12,710 | 12,045 | |
1.375% 8/15/50 | 9,390 | 9,188 | |
2% 2/15/50 | 7,810 | 8,834 | |
2.5% 2/15/45 (j)(k) | 216,056 | 265,909 | |
3% 5/15/45 | 20,100 | 26,910 | |
3% 2/15/49 | 145,860 | 199,384 | |
4.75% 2/15/37 (j)(k) | 74,200 | 116,914 | |
5.25% 2/15/29 (j) | 5,406 | 7,487 | |
6.125% 8/15/29 (j) | 3,663 | 5,426 | |
U.S. Treasury Notes: | |||
0.125% 5/31/22 | 66,923 | 66,907 | |
0.125% 6/30/22 | 46,344 | 46,333 | |
0.125% 8/31/22 | 82,000 | 81,978 | |
0.125% 8/15/23 | 3,014 | 3,011 | |
0.25% 7/31/25 | 35,866 | 35,832 | |
0.25% 9/30/25 | 23,087 | 23,056 | |
0.375% 3/31/22 | 92,800 | 93,112 | |
0.375% 4/30/25 | 82,771 | 83,246 | |
0.375% 9/30/27 | 104,901 | 104,196 | |
0.5% 8/31/27 | 116,481 | 116,754 | |
0.625% 8/15/30 | 96,105 | 95,549 | |
1.375% 8/31/23 | 11,000 | 11,389 | |
1.5% 8/31/21 | 22,000 | 22,271 | |
1.5% 9/30/21 | 25,180 | 25,516 | |
1.5% 10/31/24 | 480 | 505 | |
1.5% 1/31/27 | 34,389 | 36,744 | |
1.625% 11/15/22 | 14,901 | 15,367 | |
1.625% 5/31/23 | 19,717 | 20,491 | |
1.625% 9/30/26 | 3,093 | 3,322 | |
1.75% 7/31/21 | 9,325 | 9,449 | |
1.875% 7/31/22 | 43,433 | 44,814 | |
2.125% 3/31/24 | 56,643 | 60,469 | |
2.125% 7/31/24 | 118,408 | 127,076 | |
2.125% 5/15/25 (j) | 12,033 | 13,064 | |
2.25% 3/31/21 | 9,900 | 10,004 | |
2.25% 7/31/21 | 52,019 | 52,929 | |
2.25% 4/30/24 | 24,428 | 26,220 | |
2.25% 3/31/26 | 34,717 | 38,343 | |
2.375% 4/15/21 | 74,550 | 75,450 | |
2.5% 12/31/20 | 80,000 | 80,471 | |
2.5% 1/31/21 | 42,832 | 43,163 | |
2.5% 2/28/21 | 90,000 | 90,868 | |
2.5% 1/15/22 | 136,816 | 140,969 | |
2.5% 2/28/26 | 38,997 | 43,556 | |
2.625% 12/31/23 | 69,183 | 74,658 | |
2.75% 6/30/25 | 197 | 220 | |
3.125% 11/15/28 | 31,330 | 37,737 | |
TOTAL U.S. TREASURY OBLIGATIONS | 2,507,136 | ||
Other Government Related - 0.4% | |||
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) | 49,900 | 50,986 | |
Private Export Funding Corp. Secured 1.75% 11/15/24 | 11,520 | 12,143 | |
TOTAL OTHER GOVERNMENT RELATED | 63,129 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $2,376,363) | 2,581,648 | ||
Foreign Government and Government Agency Obligations - 7.3% | |||
Australian Commonwealth: | |||
1.75% 6/21/51 (Reg. S) | AUD | $36,406 | $26,186 |
3% 3/21/47 | AUD | 58,350 | 54,028 |
Buoni del Tesoro Poliennali 2.45% 9/1/50 (Reg. S) (d) | EUR | 9,339 | 12,724 |
Canadian Government: | |||
1.25% 3/1/25 | CAD | 74,000 | 57,832 |
1.25% 6/1/30 | CAD | 35,890 | 28,688 |
2.25% 2/1/21 | CAD | 125,180 | 94,669 |
German Federal Republic: | |||
0% 3/12/21 (Reg. S) | EUR | 99,750 | 117,267 |
0% 2/15/30 (Reg. S) | EUR | 51,700 | 63,843 |
0% 8/15/50 | EUR | 8,100 | 9,766 |
0.25% 2/15/29 | EUR | 213,900 | 269,435 |
Israeli State (guaranteed by U.S. Government through Agency for International Development): | |||
5.5% 9/18/23 | 57,646 | 66,361 | |
5.5% 12/4/23 | 19,812 | 22,852 | |
Japan Government: | |||
0.1% 9/20/29 | JPY | 7,655,450 | 73,341 |
0.4% 3/20/56 | JPY | 4,039,750 | 35,671 |
0.9% 6/20/22 | JPY | 6,450,000 | 62,256 |
Ukraine Government 1.471% 9/29/21 | 6,753 | 6,837 | |
United Kingdom, Great Britain and Northern Ireland: | |||
0.875% 10/22/29 (Reg. S) | GBP | 29,450 | 40,368 |
1.5% 1/22/21 | GBP | 24,210 | 31,382 |
United Kingdom, Great Britain and Northern Ireland Treasury GILT 2.5% 7/22/65 (Reg. S) | GBP | 13,940 | 30,368 |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $1,049,395) | 1,103,874 | ||
Shares | Value (000s) | ||
Common Stocks - 6.4% | |||
COMMUNICATION SERVICES - 0.8% | |||
Entertainment - 0.1% | |||
New Cotai LLC/New Cotai Capital Corp. (b)(c) | 2,242,893 | 11,111 | |
Interactive Media & Services - 0.3% | |||
Alphabet, Inc. Class A (l) | 13,900 | 20,372 | |
Facebook, Inc. Class A (l) | 92,900 | 24,331 | |
44,703 | |||
Media - 0.2% | |||
Altice U.S.A., Inc. Class A (l) | 482,800 | 12,553 | |
iHeartMedia, Inc. warrants 5/1/39 (l) | 26 | 0 | |
Nexstar Broadcasting Group, Inc. Class A | 137,200 | 12,338 | |
24,891 | |||
Wireless Telecommunication Services - 0.2% | |||
T-Mobile U.S., Inc. | 346,800 | 39,660 | |
TOTAL COMMUNICATION SERVICES | 120,365 | ||
CONSUMER DISCRETIONARY - 1.0% | |||
Auto Components - 0.0% | |||
Exide Technologies (c)(l) | 7,093 | 7 | |
Exide Technologies (c)(l) | 418,807 | 0 | |
UC Holdings, Inc. (c)(l) | 560,355 | 6,220 | |
6,227 | |||
Hotels, Restaurants & Leisure - 0.6% | |||
Boyd Gaming Corp. | 449,600 | 13,798 | |
Caesars Entertainment, Inc. (l) | 696,800 | 39,063 | |
MGM Mirage, Inc. (i) | 241,800 | 5,259 | |
Penn National Gaming, Inc. (l) | 343,406 | 24,966 | |
Studio City International Holdings Ltd. ADR (l) | 133,400 | 2,170 | |
85,256 | |||
Household Durables - 0.1% | |||
Tempur Sealy International, Inc. (l) | 183,762 | 16,390 | |
Internet & Direct Marketing Retail - 0.2% | |||
Alibaba Group Holding Ltd. sponsored ADR (l) | 40,500 | 11,906 | |
Amazon.com, Inc. (l) | 4,900 | 15,429 | |
27,335 | |||
Specialty Retail - 0.1% | |||
Lowe's Companies, Inc. | 86,800 | 14,397 | |
TOTAL CONSUMER DISCRETIONARY | 149,605 | ||
CONSUMER STAPLES - 0.3% | |||
Food & Staples Retailing - 0.1% | |||
Southeastern Grocers, Inc. (c)(l) | 134,915 | 9,293 | |
Food Products - 0.2% | |||
Darling Ingredients, Inc. (l) | 489,800 | 17,647 | |
JBS SA | 4,515,500 | 16,620 | |
Reddy Ice Holdings, Inc. (c)(l) | 331,236 | 0 | |
Reddy Ice Holdings, Inc. (c)(l) | 133,255 | 7 | |
34,274 | |||
TOTAL CONSUMER STAPLES | 43,567 | ||
ENERGY - 0.3% | |||
Energy Equipment & Services - 0.0% | |||
Forbes Energy Services Ltd. (l) | 135,187 | 13 | |
Oil, Gas & Consumable Fuels - 0.3% | |||
Chaparral Energy, Inc. Class A (l) | 108,327 | 3 | |
Denbury, Inc. (l) | 2,016,335 | 35,487 | |
Denbury, Inc. warrants 9/18/25 (l) | 288,114 | 2 | |
Goodrich Petroleum Corp. (l) | 90,737 | 698 | |
Harvest Oil & Gas Corp. | 19,388 | 679 | |
Sanchez Energy Corp. (c) | 65,312 | 1,698 | |
Ultra Petroleum Corp. warrants 7/14/25 (l) | 127,890 | 0 | |
Whiting Petroleum Corp. (l) | 77,283 | 1,336 | |
39,903 | |||
TOTAL ENERGY | 39,916 | ||
FINANCIALS - 0.1% | |||
Capital Markets - 0.0% | |||
Motors Liquidation Co. GUC Trust (l) | 5,066 | 7 | |
Penson Worldwide, Inc. Class A (c)(l) | 7,403,098 | 0 | |
7 | |||
Consumer Finance - 0.1% | |||
OneMain Holdings, Inc. | 374,300 | 11,697 | |
Diversified Financial Services - 0.0% | |||
ACNR Holdings, Inc. (c) | 25,225 | 174 | |
Insurance - 0.0% | |||
Arthur J. Gallagher & Co. | 80,700 | 8,520 | |
TOTAL FINANCIALS | 20,398 | ||
HEALTH CARE - 0.7% | |||
Biotechnology - 0.0% | |||
Regeneron Pharmaceuticals, Inc. (l) | 900 | 504 | |
Health Care Providers & Services - 0.3% | |||
HCA Holdings, Inc. | 101,300 | 12,630 | |
Humana, Inc. | 37,500 | 15,521 | |
Rotech Healthcare, Inc. (c)(l) | 129,242 | 1,345 | |
UnitedHealth Group, Inc. | 51,300 | 15,994 | |
45,490 | |||
Life Sciences Tools & Services - 0.4% | |||
Charles River Laboratories International, Inc. (l) | 66,800 | 15,127 | |
IQVIA Holdings, Inc. (l) | 139,300 | 21,958 | |
Thermo Fisher Scientific, Inc. | 39,200 | 17,308 | |
54,393 | |||
TOTAL HEALTH CARE | 100,387 | ||
INDUSTRIALS - 0.6% | |||
Air Freight & Logistics - 0.1% | |||
XPO Logistics, Inc. (l) | 100,100 | 8,474 | |
Airlines - 0.1% | |||
Air Canada (l) | 1,136,900 | 13,396 | |
Building Products - 0.1% | |||
Carrier Global Corp. | 459,000 | 14,018 | |
Commercial Services & Supplies - 0.0% | |||
Novus Holdings Ltd. | 48,111 | 2 | |
Machinery - 0.1% | |||
Allison Transmission Holdings, Inc. | 151,000 | 5,306 | |
Fortive Corp. | 134,900 | 10,281 | |
15,587 | |||
Marine - 0.0% | |||
U.S. Shipping Partners Corp. (c)(l) | 22,876 | 0 | |
U.S. Shipping Partners Corp. warrants 12/31/29 (c)(l) | 214,176 | 0 | |
0 | |||
Professional Services - 0.0% | |||
ASGN, Inc. (l) | 101,200 | 6,432 | |
Trading Companies & Distributors - 0.2% | |||
HD Supply Holdings, Inc. (l) | 358,700 | 14,793 | |
Penhall Acquisition Co.: | |||
Class A (c)(l) | 11,553 | 866 | |
Class B (c)(l) | 3,850 | 289 | |
United Rentals, Inc. (l) | 77,070 | 13,449 | |
29,397 | |||
Transportation Infrastructure - 0.0% | |||
Tricer Holdco SCA: | |||
Class A1 (b)(c)(l) | 403,760 | 0 | |
Class A2 (b)(c)(l) | 403,760 | 0 | |
Class A3 (b)(c)(l) | 403,760 | 0 | |
Class A4 (b)(c)(l) | 403,760 | 0 | |
Class A5 (b)(c)(l) | 403,760 | 0 | |
Class A6 (b)(c)(l) | 403,760 | 0 | |
Class A7 (b)(c)(l) | 403,760 | 0 | |
Class A8 (b)(c)(l) | 403,760 | 0 | |
Class A9 (b)(c)(l) | 403,760 | 0 | |
0 | |||
TOTAL INDUSTRIALS | 87,306 | ||
INFORMATION TECHNOLOGY - 2.1% | |||
Electronic Equipment & Components - 0.2% | |||
CDW Corp. | 60,900 | 7,279 | |
Zebra Technologies Corp. Class A (l) | 123,100 | 31,078 | |
38,357 | |||
IT Services - 0.8% | |||
EPAM Systems, Inc. (l) | 85,100 | 27,511 | |
Global Payments, Inc. | 122,500 | 21,754 | |
GoDaddy, Inc. (l) | 113,400 | 8,615 | |
MasterCard, Inc. Class A | 54,900 | 18,566 | |
PayPal Holdings, Inc. (l) | 128,000 | 25,220 | |
Snowflake Computing, Inc. | 200 | 50 | |
Visa, Inc. Class A | 84,900 | 16,977 | |
118,693 | |||
Semiconductors & Semiconductor Equipment - 0.3% | |||
Lam Research Corp. | 60,200 | 19,971 | |
Microchip Technology, Inc. | 76,000 | 7,810 | |
Micron Technology, Inc. (l) | 134,200 | 6,302 | |
ON Semiconductor Corp. (l) | 357,100 | 7,745 | |
41,828 | |||
Software - 0.8% | |||
Adobe, Inc. (l) | 93,600 | 45,904 | |
Microsoft Corp. | 191,700 | 40,320 | |
Palo Alto Networks, Inc. (l) | 42,900 | 10,500 | |
SS&C Technologies Holdings, Inc. | 193,939 | 11,737 | |
VMware, Inc. Class A (i)(l) | 43,200 | 6,207 | |
114,668 | |||
TOTAL INFORMATION TECHNOLOGY | 313,546 | ||
MATERIALS - 0.3% | |||
Chemicals - 0.1% | |||
CF Industries Holdings, Inc. | 269,200 | 8,267 | |
The Chemours Co. LLC | 481,210 | 10,062 | |
18,329 | |||
Containers & Packaging - 0.2% | |||
Berry Global Group, Inc. (l) | 247,500 | 11,959 | |
WestRock Co. | 279,900 | 9,724 | |
21,683 | |||
Metals & Mining - 0.0% | |||
Algoma Steel GP (c)(l) | 151,792 | 3 | |
Algoma Steel SCA (c)(l) | 151,792 | 21 | |
Elah Holdings, Inc. (l) | 517 | 40 | |
First Quantum Minerals Ltd. | 709,700 | 6,327 | |
6,391 | |||
TOTAL MATERIALS | 46,403 | ||
UTILITIES - 0.2% | |||
Electric Utilities - 0.1% | |||
NRG Energy, Inc. | 329,000 | 10,113 | |
PG&E Corp. (l) | 901,968 | 8,469 | |
Portland General Electric Co. | 13,962 | 496 | |
19,078 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Vistra Corp. | 845,400 | 15,944 | |
TOTAL UTILITIES | 35,022 | ||
TOTAL COMMON STOCKS | |||
(Cost $754,788) | 956,515 | ||
Nonconvertible Preferred Stocks - 0.0% | |||
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
ACNR Holdings, Inc. (c) | 8,779 | 9 | |
INDUSTRIALS - 0.0% | |||
Transportation Infrastructure - 0.0% | |||
Tricer Holdco SCA (b)(c)(l) | 193,792,711 | 65 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
(Cost $8,005) | 74 | ||
Principal Amount (000s) | Value (000s) | ||
Bank Loan Obligations - 2.3% | |||
COMMUNICATION SERVICES - 0.2% | |||
Diversified Telecommunication Services - 0.1% | |||
Connect Finco Sarl Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/11/26 (f)(h)(m) | 5,438 | 5,264 | |
Zayo Group Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1466% 3/9/27 (f)(h)(m) | 4,856 | 4,706 | |
9,970 | |||
Entertainment - 0.1% | |||
Allen Media LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 5.7204% 2/10/27 (f)(h)(m) | 4,785 | 4,631 | |
Media - 0.0% | |||
LCPR Loan Financing LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.1524% 10/22/26 (f)(h)(m) | 1,285 | 1,282 | |
Nexstar Broadcasting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.9051% 9/19/26 (f)(h)(m) | 2,603 | 2,543 | |
3,825 | |||
Wireless Telecommunication Services - 0.0% | |||
Intelsat Jackson Holdings SA Tranche DD 1LN, term loan 3 month U.S. LIBOR + 5.500% 5.05% 7/13/21 (f)(h)(m)(n) | 3,215 | 3,265 | |
TOTAL COMMUNICATION SERVICES | 21,691 | ||
CONSUMER DISCRETIONARY - 0.2% | |||
Diversified Consumer Services - 0.1% | |||
KUEHG Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.25% 8/22/25 (f)(h)(m) | 3,640 | 3,194 | |
Sotheby's 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.5% 1/3/27 (f)(h)(m) | 6,746 | 6,704 | |
9,898 | |||
Hotels, Restaurants & Leisure - 0.0% | |||
Travelport Finance Luxembourg SARL 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.2203% 5/30/26 (f)(h)(m) | 5,741 | 4,306 | |
Specialty Retail - 0.1% | |||
Academy Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5% 7/2/22 (f)(h)(m) | 10,168 | 9,918 | |
Wand NewCo 3, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1466% 2/5/26 (f)(h)(m) | 11,266 | 10,854 | |
20,772 | |||
TOTAL CONSUMER DISCRETIONARY | 34,976 | ||
ENERGY - 0.8% | |||
Energy Equipment & Services - 0.0% | |||
Forbes Energy Services LLC Tranche B, term loan 18% 4/13/21 (c)(f)(m) | 1,434 | 1,445 | |
Oil, Gas & Consumable Fuels - 0.8% | |||
California Resources Corp.: | |||
2LN, term loan 3 month U.S. LIBOR + 9.000% 10% 1/15/21 (c)(f)(h)(m) | 41,382 | 41,382 | |
Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 11.375% 12/31/21 (e)(f)(h)(m) | 59,940 | 1,149 | |
Tranche B, term loan 3 month U.S. LIBOR + 4.750% 5.75% 12/31/22 (e)(f)(h)(m) | 71,920 | 25,871 | |
Chesapeake Energy Corp. term loan 3 month U.S. LIBOR + 8.000% 9% 6/9/24 (e)(f)(h)(m) | 57,825 | 40,460 | |
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 8% 8/1/23 (f)(h)(m) | 842 | 788 | |
EG America LLC 2LN, term loan 3 month U.S. LIBOR + 8.000% 9% 3/23/26 (f)(h)(m) | 3,290 | 3,156 | |
Epic Crude Services LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.26% 3/1/26 (f)(h)(m) | 9,860 | 6,951 | |
Sanchez Energy Corp.: | |||
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% 12/31/49 (c)(e)(f)(h)(m) | 3,423 | 0 | |
term loan 0% 12/31/49 (c)(e)(f)(m) | 1,476 | 0 | |
119,757 | |||
TOTAL ENERGY | 121,202 | ||
FINANCIALS - 0.1% | |||
Capital Markets - 0.0% | |||
Citadel Securities LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.8966% 2/27/26 (f)(h)(m) | 2,200 | 2,184 | |
Diversified Financial Services - 0.1% | |||
ACNR Holdings, Inc. term loan 14% 9/21/27 (c)(f)(m) | 3,594 | 3,594 | |
New Cotai LLC 1LN, term loan 3 month U.S. LIBOR + 12.000% 14% 9/9/25 (c)(f)(h)(m) | 585 | 585 | |
RPI Intermediate Finance Trust Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8966% 2/11/27 (f)(h)(m) | 2,821 | 2,809 | |
6,988 | |||
TOTAL FINANCIALS | 9,172 | ||
HEALTH CARE - 0.2% | |||
Health Care Providers & Services - 0.2% | |||
Milano Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 8/17/27 (f)(h)(m)(o) | 3,745 | 3,698 | |
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.1466% 6/13/26 (f)(h)(m) | 26,275 | 25,559 | |
29,257 | |||
Pharmaceuticals - 0.0% | |||
Valeant Pharmaceuticals International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1511% 6/1/25 (f)(h)(m) | 1,046 | 1,024 | |
TOTAL HEALTH CARE | 30,281 | ||
INDUSTRIALS - 0.1% | |||
Air Freight & Logistics - 0.0% | |||
Dynasty Acquisition Co., Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7204% 4/8/26 (f)(h)(m) | 1,541 | 1,355 | |
Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7204% 4/4/26 (f)(h)(m) | 828 | 728 | |
2,083 | |||
Airlines - 0.0% | |||
SkyMiles IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 9/16/27 (f)(h)(m)(o) | 2,095 | 2,109 | |
Building Products - 0.0% | |||
ACProducts, Inc. 1LN, term loan 3 month U.S. LIBOR + 6.500% 7.5% 8/13/25 (f)(h)(m) | 2,622 | 2,622 | |
Commercial Services & Supplies - 0.1% | |||
Maverick Purchaser Sub LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6466% 1/23/27 (f)(h)(m) | 1,252 | 1,230 | |
Sabert Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/10/26 (f)(h)(m) | 4,826 | 4,737 | |
5,967 | |||
Construction & Engineering - 0.0% | |||
Traverse Midstream Partners Ll Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5% 9/27/24 (f)(h)(m) | 1,759 | 1,612 | |
TOTAL INDUSTRIALS | 14,393 | ||
INFORMATION TECHNOLOGY - 0.6% | |||
Communications Equipment - 0.0% | |||
Radiate Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 9/10/26 (f)(h)(m)(o) | 3,380 | 3,317 | |
Electronic Equipment & Components - 0.0% | |||
Curie Merger Sub LLC 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.3966% 11/4/26 (f)(h)(m) | 358 | 356 | |
IT Services - 0.2% | |||
Camelot Finance SA Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1466% 10/31/26 (f)(h)(m) | 685 | 671 | |
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.97% 5/31/25 (f)(h)(m) | 15,539 | 13,324 | |
Web.com Group, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 7.750% 7.9011% 10/11/26 (f)(h)(m) | 9,150 | 8,624 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.9011% 10/11/25 (f)(h)(m) | 6,574 | 6,339 | |
28,958 | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
ON Semiconductor Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1466% 9/19/26 (f)(h)(m) | 4,688 | 4,609 | |
Software - 0.4% | |||
Boxer Parent Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 4.3966% 10/2/25 (f)(h)(m) | 21,718 | 21,032 | |
Landesk Group, Inc. term loan: | |||
3 month U.S. LIBOR + 4.250% 5.25% 1/20/24 (f)(h)(m) | 1,977 | 1,962 | |
3 month U.S. LIBOR + 9.000% 10% 1/20/25 (f)(h)(m) | 6,500 | 6,251 | |
McAfee LLC Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.750% 3.8961% 9/29/24 (f)(h)(m) | 2,744 | 2,720 | |
3 month U.S. LIBOR + 8.500% 9.5% 9/29/25 (f)(h)(m) | 14,801 | 14,875 | |
Ultimate Software Group, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 5/3/26 (f)(h)(m) | 6,805 | 6,780 | |
2LN, term loan 3 month U.S. LIBOR + 6.750% 7.5% 5/3/27 (f)(h)(m) | 1,430 | 1,454 | |
VS Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3966% 2/28/27 (f)(h)(m) | 1,303 | 1,278 | |
56,352 | |||
TOTAL INFORMATION TECHNOLOGY | 93,592 | ||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
Pacific Gas & Electric Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 6/23/25 (f)(h)(m) | 16,972 | 16,697 | |
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $450,513) | 342,004 | ||
Shares | Value (000s) | ||
Fixed-Income Funds - 26.2% | |||
Fidelity Emerging Markets Debt Central Fund (p) | 261,206,949 | 2,345,638 | |
Fidelity Floating Rate Central Fund (p) | 15,204,361 | 1,465,244 | |
Fidelity Mortgage Backed Securities Central Fund (p) | 1,223,858 | 138,504 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $4,175,993) | 3,949,386 | ||
Principal Amount (000s) | Value (000s) | ||
Preferred Securities - 4.6% | |||
ENERGY - 0.4% | |||
Oil, Gas & Consumable Fuels - 0.4% | |||
DCP Midstream Partners LP 7.375% (f)(q) | 8,965 | 5,872 | |
Energy Transfer Partners LP: | |||
6.25% (f)(q) | 40,712 | 26,565 | |
6.625% (f)(q) | 15,640 | 10,631 | |
MPLX LP 6.875% (f)(q) | 18,000 | 14,740 | |
Summit Midstream Partners LP 9.5% (f)(q) | 8,965 | 1,165 | |
58,973 | |||
FINANCIALS - 4.2% | |||
Banks - 3.6% | |||
Bank of America Corp.: | |||
5.125% (f)(q) | 22,020 | 22,580 | |
5.2% (f)(q) | 48,090 | 48,377 | |
5.875% (f)(q) | 60,475 | 65,207 | |
6.25% (f)(q) | 18,480 | 19,797 | |
Citigroup, Inc.: | |||
4.7% (f)(q) | 8,755 | 8,460 | |
5% (f)(q) | 36,455 | 36,273 | |
5.9% (f)(q) | 25,875 | 26,495 | |
5.95% (f)(q) | 46,925 | 48,145 | |
6.3% (f)(q) | 4,120 | 4,316 | |
Huntington Bancshares, Inc. 5.7% (f)(q) | 7,660 | 7,165 | |
JPMorgan Chase & Co.: | |||
3 month U.S. LIBOR + 3.320% 3.6161% (f)(h)(q) | 30,810 | 28,505 | |
4% (f)(q) | 19,100 | 18,050 | |
4.051% (f)(h)(q) | 12,280 | 12,150 | |
4.6% (f)(q) | 13,385 | 13,117 | |
5% (f)(q) | 18,675 | 18,643 | |
6% (f)(q) | 54,840 | 56,211 | |
6.125% (f)(q) | 12,865 | 13,362 | |
6.75% (f)(q) | 6,270 | 6,787 | |
Wells Fargo & Co.: | |||
5.875% (f)(q) | 36,775 | 39,621 | |
5.9% (f)(q) | 46,445 | 47,471 | |
540,732 | |||
Capital Markets - 0.6% | |||
Goldman Sachs Group, Inc.: | |||
4.1653% (f)(h)(q) | 22,175 | 21,794 | |
4.4% (f)(q) | 4,530 | 4,309 | |
4.95% (f)(q) | 7,885 | 7,887 | |
5% (f)(q) | 50,754 | 48,641 | |
82,631 | |||
Insurance - 0.0% | |||
MAPFRE SA 4.375% 3/31/47 (Reg. S) (f) | EUR | 3,400 | 4,455 |
TOTAL FINANCIALS | 627,818 | ||
INDUSTRIALS - 0.0% | |||
Construction & Engineering - 0.0% | |||
Odebrecht Finance Ltd. 7.5% (d)(e)(q) | 1,825 | 101 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $711,749) | 686,892 | ||
Shares | Value (000s) | ||
Money Market Funds - 1.5% | |||
Fidelity Cash Central Fund 0.10% (r) | 206,929,454 | 206,971 | |
Fidelity Securities Lending Cash Central Fund 0.10% (r)(s) | 17,289,670 | 17,291 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $224,219) | 224,262 |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount (000s) | Value (000s) | ||
Put 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 | $501 | |
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 | 19,200 | 72 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4025% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 | 2/26/25 | 20,100 | 319 | |
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 | 212 | |
TOTAL PUT OPTIONS | 1,104 | |||
Call Options - 0.0% | ||||
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 | 2,693 | |
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 | 19,200 | 1,431 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4025% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 | 2/26/25 | 20,100 | 715 | |
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 | 838 | |
TOTAL CALL OPTIONS | 5,677 | |||
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $6,470) | 6,781 | |||
TOTAL INVESTMENT IN SECURITIES - 98.8% | ||||
(Cost $14,660,853) | 14,866,961 | |||
NET OTHER ASSETS (LIABILITIES) - 1.2% | 176,293 | |||
NET ASSETS - 100% | $15,043,254 |
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 1.57% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 | 2/20/25 | 36,100 | $(478) |
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.89% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2029 | 12/9/24 | 1,800 | (15) |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.27% and receive quarterly a floating rate based on 3-month LIBOR, expiring March 2030 | 3/18/25 | 32,000 | (594) |
TOTAL PUT SWAPTIONS | (1,087) | ||
Call Swaptions | |||
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.57% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 | 2/20/25 | 36,100 | (1,487) |
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.89% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2029 | 12/9/24 | 1,800 | (97) |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.27% and pay quarterly a floating rate based on 3-month LIBOR, expiring March 2030 | 3/18/25 | 32,000 | (1,005) |
TOTAL CALL SWAPTIONS | (2,589) | ||
TOTAL WRITTEN SWAPTIONS | $(3,676) |
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) | 1,075 | Dec. 2020 | $149,996 | $110 | $110 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 542 | Dec. 2020 | 119,761 | 14 | 14 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 430 | Dec. 2020 | 54,193 | 1 | 1 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 109 | Dec. 2020 | 19,215 | 98 | 98 |
TOTAL FUTURES CONTRACTS | $223 |
The notional amount of futures purchased as a percentage of Net Assets is 2.3%
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/(Depreciation) (000s) | ||
AUD | 1,992 | USD | 1,427 | JPMorgan Chase Bank, N.A. | 11/12/20 | $0 |
CAD | 1,969 | USD | 1,507 | BNP Paribas | 11/12/20 | (28) |
EUR | 2,760 | USD | 3,275 | Brown Brothers Harriman & Co. | 11/12/20 | (36) |
EUR | 859 | USD | 1,031 | CIBC World Markets | 11/12/20 | (23) |
EUR | 54,850 | USD | 65,194 | Hsbc Bank Plc | 11/12/20 | (830) |
EUR | 1,700 | USD | 1,991 | Hsbc Bank Plc | 11/12/20 | 4 |
EUR | 1,728 | USD | 2,051 | JPMorgan Chase Bank, N.A. | 11/12/20 | (23) |
EUR | 1,381 | USD | 1,628 | JPMorgan Chase Bank, N.A. | 11/12/20 | (8) |
EUR | 19,132 | USD | 22,591 | JPMorgan Chase Bank, N.A. | 11/12/20 | (141) |
EUR | 4,798 | USD | 5,675 | National Australia Bank | 11/12/20 | (44) |
EUR | 1,292 | USD | 1,541 | Societe Generale SA | 11/12/20 | (25) |
GBP | 1,209 | USD | 1,609 | BNP Paribas | 11/12/20 | (49) |
GBP | 6,659 | USD | 8,726 | Hsbc Bank Plc | 11/12/20 | (132) |
GBP | 87 | USD | 114 | JPMorgan Chase Bank, N.A. | 11/12/20 | (2) |
USD | 79,083 | AUD | 109,999 | National Australia Bank | 11/12/20 | 289 |
USD | 182,106 | CAD | 241,785 | Royal Bank Of Canada | 11/12/20 | 502 |
USD | 2,587 | EUR | 2,194 | BNP Paribas | 11/12/20 | 13 |
USD | 268,400 | EUR | 226,000 | Bank Of America NA | 11/12/20 | 3,197 |
USD | 4,404 | EUR | 3,695 | Citibank NA | 11/12/20 | 68 |
USD | 267,235 | EUR | 225,000 | Citibank NA | 11/12/20 | 3,206 |
USD | 3,420 | EUR | 2,891 | Hsbc Bank Plc | 11/12/20 | 27 |
USD | 54,210 | EUR | 46,513 | Morgan Stanley | 11/12/20 | (372) |
USD | 2,186 | EUR | 1,846 | National Australia Bank | 11/12/20 | 20 |
USD | 1,113 | EUR | 943 | National Australia Bank | 11/12/20 | 7 |
USD | 2,236 | EUR | 1,866 | National Australia Bank | 11/12/20 | 46 |
USD | 2,838 | EUR | 2,393 | National Australia Bank | 11/12/20 | 30 |
USD | 5,459 | EUR | 4,672 | Royal Bank Of Canada | 11/12/20 | (24) |
USD | 269,548 | EUR | 227,029 | Societe Generale SA | 11/12/20 | 3,138 |
USD | 1,304 | EUR | 1,113 | Societe Generale SA | 11/12/20 | (2) |
USD | 129,288 | GBP | 98,108 | Royal Bank Of Canada | 11/12/20 | 2,668 |
USD | 2,121 | GBP | 1,600 | Societe Generale SA | 11/12/20 | 56 |
USD | 158,645 | JPY | 16,734,383 | Citibank NA | 11/12/20 | (101) |
USD | 3,374 | JPY | 356,242 | Societe Generale SA | 11/12/20 | (6) |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | $11,425 | |||||
Unrealized Appreciation | 13,271 | |||||
Unrealized Depreciation | (1,846) |
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 | |||||||||
0.25% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2023 | $24,210 | $(9) | $0 | $(9) |
0.5% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2026 | 5,942 | (8) | 0 | (8) |
3-month LIBOR(3) | Quarterly | 0.5% | Semi - annual | LCH | Mar. 2028 | 10,329 | 21 | 0 | 21 |
3-month LIBOR(3) | Quarterly | 0.75% | Semi - annual | LCH | Mar. 2031 | 17,227 | 60 | 0 | 60 |
1% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2051 | 465 | (8) | 0 | (8) |
TOTAL INTEREST RATE SWAPS | $56 | $0 | $56 | ||||||
(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
EUR – European Monetary Unit
GBP – British pound
JPY – Japanese yen
Values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
Legend
(a) Amount is stated in United States dollars unless otherwise noted.
(b) 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 $12,343,000 or 0.1% of net assets.
(c) Level 3 security
(d) 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 $2,922,627,000 or 19.4% of net assets.
(e) Non-income producing - Security is in default.
(f) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(g) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(h) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(i) Security or a portion of the security is on loan at period end.
(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 $2,471,000.
(k) 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 $1,110,000.
(l) Non-income producing
(m) 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.
(n) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $1,607,000 and $1,633,000, respectively.
(o) The coupon rate will be determined upon settlement of the loan after period end.
(p) 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.
(q) Security is perpetual in nature with no stated maturity date.
(r) 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.
(s) 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) |
Mesquite Energy, Inc. 15% 7/31/23 | 7/10/20 | $1,163 |
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 |
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 | $2,499 |
Fidelity Emerging Markets Debt Central Fund | 91,988 |
Fidelity Floating Rate Central Fund | 54,725 |
Fidelity Mortgage Backed Securities Central Fund | 199 |
Fidelity Securities Lending Cash Central Fund | 13 |
Total | $149,424 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Fiscal year to date information regarding the Fund’s investments in 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 | $2,613,139 | $91,988 | $240,219 | $(3,022) | $(116,248) | $2,345,638 | 88.0% |
Fidelity Floating Rate Central Fund | 1,518,627 | 106,227 | 87,225 | (3,762) | (68,623) | 1,465,244 | 76.9% |
Fidelity Mortgage Backed Securities Central Fund | -- | 384,884 | 246,300 | 6 | (86) | 138,504 | 5.1% |
Total | $4,131,766 | $583,099 | $573,744 | $(6,778) | $(184,957) | $3,949,386 |
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 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.
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. For foreign debt securities, when significant market or security specific market events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. 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.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor and are categorized as Level 2 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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