Quarterly Holdings Report
for
Fidelity Advisor® Strategic Income Fund
September 30, 2021
SI-NPRT3-1121
1.808792.117
Corporate Bonds - 29.3% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Convertible Bonds - 0.1% | |||
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Mesquite Energy, Inc. 15% 7/15/23 (b)(c) | 2,334 | 7,563 | |
Mesquite Energy, Inc. 15% 7/15/23 (b)(c) | 1,352 | 4,828 | |
12,391 | |||
Nonconvertible Bonds - 29.2% | |||
COMMUNICATION SERVICES - 5.7% | |||
Diversified Telecommunication Services - 2.4% | |||
Altice France SA: | |||
5.125% 7/15/29(d) | 38,465 | 37,774 | |
5.5% 1/15/28(d) | 13,345 | 13,471 | |
5.5% 10/15/29(d)(e) | 20,985 | 20,773 | |
7.375% 5/1/26(d) | 27,675 | 28,719 | |
8.125% 2/1/27(d) | 4,495 | 4,837 | |
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d) | 21,480 | 22,581 | |
Cablevision Lightpath LLC: | |||
3.875% 9/15/27(d) | 3,300 | 3,238 | |
5.625% 9/15/28(d) | 2,610 | 2,619 | |
Frontier Communications Holdings LLC: | |||
5% 5/1/28(d) | 11,730 | 12,317 | |
5.875% 10/15/27(d) | 6,300 | 6,694 | |
6.75% 5/1/29(d) | 7,510 | 7,914 | |
Lumen Technologies, Inc. 5.375% 6/15/29 (d) | 7,120 | 7,265 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.: | |||
4.75% 4/30/27(d)(e) | 2,800 | 2,800 | |
6% 2/15/28(d) | 2,355 | 2,342 | |
10.75% 6/1/28(d) | 3,695 | 4,157 | |
Qwest Corp. 7.25% 9/15/25 | 955 | 1,137 | |
Sable International Finance Ltd. 5.75% 9/7/27 (d) | 12,405 | 13,025 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 78,162 | 100,047 | |
8.75% 3/15/32 | 39,078 | 58,377 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d) | 9,200 | 9,665 | |
Virgin Media Finance PLC 5% 7/15/30 (d) | 14,025 | 14,325 | |
Windstream Escrow LLC 7.75% 8/15/28 (d) | 24,965 | 26,075 | |
Zayo Group Holdings, Inc. 4% 3/1/27 (d) | 9,545 | 9,499 | |
409,651 | |||
Entertainment - 0.1% | |||
Netflix, Inc. 4.875% 4/15/28 | 13,960 | 16,089 | |
Media - 3.0% | |||
Altice Financing SA: | |||
5% 1/15/28(d) | 6,470 | 6,239 | |
5.75% 8/15/29(d) | 11,270 | 10,956 | |
Block Communications, Inc. 4.875% 3/1/28 (d) | 4,405 | 4,504 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.25% 2/1/31(d) | 10,205 | 10,382 | |
4.5% 8/15/30(d) | 16,805 | 17,338 | |
4.5% 5/1/32 | 6,745 | 6,947 | |
4.75% 3/1/30(d) | 51,010 | 53,330 | |
5% 2/1/28(d) | 54,720 | 57,122 | |
5.125% 5/1/27(d) | 42,005 | 43,740 | |
5.375% 6/1/29(d) | 34,085 | 36,812 | |
Clear Channel International BV 6.625% 8/1/25 (d) | 9,800 | 10,204 | |
Clear Channel Outdoor Holdings, Inc. 7.5% 6/1/29 (d) | 5,745 | 5,975 | |
CSC Holdings LLC: | |||
4.5% 11/15/31(d) | 14,440 | 14,260 | |
5% 11/15/31(d) | 4,330 | 4,150 | |
5.375% 2/1/28(d) | 13,855 | 14,478 | |
5.75% 1/15/30(d) | 27,735 | 28,199 | |
6.5% 2/1/29(d) | 15,380 | 16,656 | |
7.5% 4/1/28(d) | 3,800 | 4,107 | |
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d) | 24,690 | 16,295 | |
LCPR Senior Secured Financing DAC: | |||
5.125% 7/15/29(d) | 7,310 | 7,529 | |
6.75% 10/15/27(d) | 6,785 | 7,192 | |
Nexstar Broadcasting, Inc.: | |||
4.75% 11/1/28(d) | 13,395 | 13,895 | |
5.625% 7/15/27(d) | 14,270 | 15,097 | |
Quebecor Media, Inc. 5.75% 1/15/23 | 14,205 | 15,022 | |
Radiate Holdco LLC/Radiate Financial Service Ltd. 6.5% 9/15/28 (d) | 6,500 | 6,628 | |
Scripps Escrow II, Inc. 3.875% 1/15/29 (d) | 1,655 | 1,661 | |
Sirius XM Radio, Inc.: | |||
3.125% 9/1/26(d) | 4,235 | 4,293 | |
3.875% 9/1/31(d) | 5,645 | 5,514 | |
4% 7/15/28(d) | 11,260 | 11,450 | |
5% 8/1/27(d) | 8,740 | 9,133 | |
Townsquare Media, Inc. 6.875% 2/1/26 (d) | 3,305 | 3,467 | |
Univision Communications, Inc. 4.5% 5/1/29 (d) | 5,760 | 5,854 | |
Videotron Ltd. 5.125% 4/15/27 (d) | 7,325 | 7,581 | |
Ziggo Bond Co. BV: | |||
5.125% 2/28/30(d) | 3,375 | 3,460 | |
6% 1/15/27(d) | 7,930 | 8,198 | |
Ziggo BV: | |||
4.875% 1/15/30(d) | 4,805 | 4,939 | |
5.5% 1/15/27(d) | 14,342 | 14,826 | |
507,433 | |||
Wireless Telecommunication Services - 0.2% | |||
Intelsat Jackson Holdings SA: | |||
5.5% 8/1/23(f) | 4,060 | 2,263 | |
8% 2/15/24(d) | 12,960 | 13,300 | |
Millicom International Cellular SA 4.5% 4/27/31 (d) | 1,040 | 1,092 | |
Sprint Corp. 7.625% 3/1/26 | 3,615 | 4,380 | |
T-Mobile U.S.A., Inc.: | |||
3.375% 4/15/29 | 5,905 | 6,160 | |
3.5% 4/15/31 | 5,905 | 6,228 | |
33,423 | |||
TOTAL COMMUNICATION SERVICES | 966,596 | ||
CONSUMER DISCRETIONARY - 3.7% | |||
Auto Components - 0.1% | |||
Allison Transmission, Inc. 5.875% 6/1/29 (d) | 4,830 | 5,255 | |
Exide Technologies: | |||
11% 10/31/24 pay-in-kind(c)(d)(f)(g) | 1,280 | 0 | |
11% 10/31/24 pay-in-kind(c)(d)(f)(g) | 632 | 285 | |
Nesco Holdings II, Inc. 5.5% 4/15/29 (d) | 7,155 | 7,421 | |
12,961 | |||
Automobiles - 0.0% | |||
Ford Motor Co. 7.45% 7/16/31 | 565 | 735 | |
McLaren Finance PLC 7.5% 8/1/26 (d) | 3,860 | 3,907 | |
4,642 | |||
Diversified Consumer Services - 0.2% | |||
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d) | 5,300 | 5,455 | |
Service Corp. International 4% 5/15/31 | 5,750 | 5,944 | |
Sotheby's 7.375% 10/15/27 (d) | 2,970 | 3,141 | |
Sotheby's/Bidfair Holdings, Inc. 5.875% 6/1/29 (d) | 4,315 | 4,439 | |
TKC Holdings, Inc.: | |||
6.875% 5/15/28(d) | 5,780 | 5,968 | |
10.5% 5/15/29(d) | 5,780 | 6,336 | |
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d) | 4,750 | 4,960 | |
36,243 | |||
Hotels, Restaurants & Leisure - 2.1% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
3.875% 1/15/28(d) | 5,685 | 5,741 | |
4% 10/15/30(d) | 23,490 | 23,255 | |
4.375% 1/15/28(d) | 6,265 | 6,360 | |
Affinity Gaming LLC 6.875% 12/15/27 (d) | 2,520 | 2,650 | |
Bloomin Brands, Inc. / OSI Restaurant Partners LLC 5.125% 4/15/29 (d) | 2,720 | 2,830 | |
Boyd Gaming Corp. 4.75% 6/15/31 (d) | 7,140 | 7,363 | |
Caesars Entertainment, Inc.: | |||
4.625% 10/15/29(d) | 8,375 | 8,480 | |
6.25% 7/1/25(d) | 25,535 | 26,882 | |
8.125% 7/1/27(d) | 34,045 | 38,274 | |
Caesars Resort Collection LLC 5.75% 7/1/25 (d) | 8,510 | 8,971 | |
Carnival Corp.: | |||
4% 8/1/28(d) | 8,475 | 8,560 | |
7.625% 3/1/26(d) | 5,040 | 5,380 | |
9.875% 8/1/27(d) | 10,150 | 11,714 | |
10.5% 2/1/26(d) | 7,395 | 8,573 | |
11.5% 4/1/23(d) | 3,374 | 3,766 | |
Choice Hotels International, Inc. 5.75% 7/1/22 | 2,690 | 2,788 | |
Hilton Domestic Operating Co., Inc.: | |||
3.75% 5/1/29(d) | 3,350 | 3,384 | |
4% 5/1/31(d) | 5,020 | 5,095 | |
4.875% 1/15/30 | 11,025 | 11,827 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 | 5,210 | 5,386 | |
MCE Finance Ltd.: | |||
4.875% 6/6/25(d) | 17,840 | 17,885 | |
5.25% 4/26/26(d) | 7,345 | 7,418 | |
5.375% 12/4/29(d) | 4,785 | 4,864 | |
5.75% 7/21/28(d) | 3,385 | 3,461 | |
Merlin Entertainments PLC 5.75% 6/15/26 (d) | 4,580 | 4,729 | |
MGM Resorts International 4.75% 10/15/28 | 6,740 | 7,102 | |
NCL Corp. Ltd.: | |||
5.875% 3/15/26(d) | 6,935 | 7,108 | |
12.25% 5/15/24(d) | 9,110 | 10,750 | |
NCL Finance Ltd. 6.125% 3/15/28 (d) | 2,690 | 2,791 | |
Papa John's International, Inc. 3.875% 9/15/29 (d) | 2,555 | 2,542 | |
Peninsula Pacific Entertainment LLC 8.5% 11/15/27 (d) | 6,740 | 7,237 | |
Premier Entertainment Sub LLC: | |||
5.625% 9/1/29(d) | 8,455 | 8,540 | |
5.875% 9/1/31(d) | 8,455 | 8,542 | |
Royal Caribbean Cruises Ltd.: | |||
10.875% 6/1/23(d) | 8,545 | 9,570 | |
11.5% 6/1/25(d) | 7,392 | 8,418 | |
SeaWorld Parks & Entertainment, Inc. 5.25% 8/15/29 (d) | 5,630 | 5,760 | |
Studio City Finance Ltd. 5% 1/15/29 (d) | 3,255 | 3,001 | |
Vail Resorts, Inc. 6.25% 5/15/25 (d) | 3,855 | 4,077 | |
Viking Cruises Ltd.: | |||
5.875% 9/15/27(d) | 3,395 | 3,285 | |
13% 5/15/25(d) | 5,740 | 6,608 | |
Voc Escrow Ltd. 5% 2/15/28 (d) | 6,285 | 6,201 | |
Wynn Macau Ltd. 5.125% 12/15/29 (d) | 9,840 | 9,250 | |
Yum! Brands, Inc. 4.625% 1/31/32 | 5,905 | 6,304 | |
352,722 | |||
Household Durables - 0.3% | |||
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 4/1/30 (d) | 4,105 | 4,128 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (d) | 4,370 | 4,457 | |
Century Communities, Inc. 3.875% 8/15/29 (d) | 4,225 | 4,267 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.625% 3/1/24 (d) | 775 | 836 | |
Tempur Sealy International, Inc.: | |||
3.875% 10/15/31(d) | 7,360 | 7,369 | |
4% 4/15/29(d) | 7,905 | 8,142 | |
TopBuild Corp. 3.625% 3/15/29 (d) | 3,030 | 3,053 | |
TRI Pointe Group, Inc./TRI Pointe Holdings, Inc. 5.875% 6/15/24 | 11,770 | 12,947 | |
TRI Pointe Homes, Inc. 5.7% 6/15/28 | 8,715 | 9,478 | |
54,677 | |||
Internet & Direct Marketing Retail - 0.2% | |||
Angi Group LLC 3.875% 8/15/28 (d) | 3,385 | 3,368 | |
Millennium Escrow Corp. 6.625% 8/1/26 (d) | 5,650 | 5,819 | |
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d) | 23,835 | 25,203 | |
34,390 | |||
Multiline Retail - 0.1% | |||
Nordstrom, Inc.: | |||
4.25% 8/1/31 | 11,600 | 11,748 | |
4.375% 4/1/30 | 1,745 | 1,784 | |
5% 1/15/44 | 825 | 809 | |
6.95% 3/15/28 | 250 | 290 | |
14,631 | |||
Specialty Retail - 0.6% | |||
Ambience Merger Sub, Inc.: | |||
4.875% 7/15/28(d) | 2,840 | 2,840 | |
7.125% 7/15/29(d) | 4,235 | 4,198 | |
Asbury Automotive Group, Inc.: | |||
4.5% 3/1/28 | 1,987 | 2,039 | |
4.75% 3/1/30 | 1,980 | 2,067 | |
Bath & Body Works, Inc.: | |||
6.625% 10/1/30(d) | 3,355 | 3,808 | |
6.75% 7/1/36 | 15,890 | 19,704 | |
6.875% 11/1/35 | 4,345 | 5,453 | |
7.5% 6/15/29 | 5,030 | 5,712 | |
Carvana Co.: | |||
4.875% 9/1/29(d) | 9,855 | 9,759 | |
5.5% 4/15/27(d) | 5,905 | 6,027 | |
Foot Locker, Inc. 4% 10/1/29 (d) | 2,800 | 2,807 | |
Gap, Inc.: | |||
3.625% 10/1/29(d) | 5,600 | 5,614 | |
3.875% 10/1/31(d) | 5,600 | 5,600 | |
LCM Investments Holdings 4.875% 5/1/29 (d) | 3,120 | 3,201 | |
Michaels Companies, Inc.: | |||
5.25% 5/1/28(d) | 6,875 | 7,092 | |
7.875% 5/1/29(d) | 7,300 | 7,586 | |
Party City Holdings, Inc. 8.75% 2/15/26 (d) | 3,075 | 3,217 | |
Victoria's Secret & Co. 4.625% 7/15/29 (d) | 10,565 | 10,768 | |
107,492 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Crocs, Inc.: | |||
4.125% 8/15/31(d) | 2,820 | 2,841 | |
4.25% 3/15/29(d) | 4,325 | 4,451 | |
7,292 | |||
TOTAL CONSUMER DISCRETIONARY | 625,050 | ||
CONSUMER STAPLES - 1.3% | |||
Beverages - 0.0% | |||
Triton Water Holdings, Inc. 6.25% 4/1/29 (d) | 3,135 | 3,186 | |
Food & Staples Retailing - 0.5% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.5% 3/15/29(d) | 5,285 | 5,274 | |
4.625% 1/15/27(d) | 13,797 | 14,474 | |
4.875% 2/15/30(d) | 23,423 | 25,238 | |
C&S Group Enterprises LLC 5% 12/15/28 (d) | 5,155 | 4,873 | |
KeHE Distributors LLC / KeHE Finance Corp. 8.625% 10/15/26 (d) | 4,698 | 5,074 | |
Performance Food Group, Inc.: | |||
4.25% 8/1/29(d) | 3,955 | 3,965 | |
5.5% 10/15/27(d) | 5,345 | 5,596 | |
SEG Holding LLC/SEG Finance Corp. 5.625% 10/15/28 (d) | 6,735 | 7,021 | |
United Natural Foods, Inc. 6.75% 10/15/28 (d) | 4,680 | 5,066 | |
76,581 | |||
Food Products - 0.8% | |||
Chobani LLC/Finance Corp., Inc. 4.625% 11/15/28 (d) | 3,790 | 3,913 | |
Del Monte Foods, Inc. 11.875% 5/15/25 (d) | 3,895 | 4,392 | |
JBS U.S.A. Food Co.: | |||
5.75% 1/15/28(d) | 6,485 | 6,809 | |
7% 1/15/26(d) | 6,745 | 7,052 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (d) | 10,725 | 11,623 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
5.5% 1/15/30(d) | 12,225 | 13,597 | |
6.5% 4/15/29(d) | 17,835 | 19,908 | |
Lamb Weston Holdings, Inc.: | |||
4.625% 11/1/24(d) | 5,230 | 5,319 | |
4.875% 11/1/26(d) | 5,285 | 5,415 | |
Pilgrim's Pride Corp. 4.25% 4/15/31 (d) | 10,220 | 10,981 | |
Post Holdings, Inc.: | |||
4.5% 9/15/31(d) | 12,110 | 11,966 | |
4.625% 4/15/30(d) | 6,415 | 6,465 | |
5.5% 12/15/29(d) | 9,145 | 9,694 | |
5.75% 3/1/27(d) | 4,885 | 5,077 | |
Simmons Foods, Inc. 4.625% 3/1/29 (d) | 4,295 | 4,327 | |
TreeHouse Foods, Inc. 4% 9/1/28 | 2,250 | 2,202 | |
128,740 | |||
Household Products - 0.0% | |||
Diamond BC BV 4.625% 10/1/29 (d) | 3,360 | 3,410 | |
Spectrum Brands Holdings, Inc. 3.875% 3/15/31 (d) | 4,310 | 4,355 | |
7,765 | |||
TOTAL CONSUMER STAPLES | 216,272 | ||
ENERGY - 3.9% | |||
Energy Equipment & Services - 0.2% | |||
CGG SA 8.75% 4/1/27 (d) | 5,895 | 5,932 | |
Exterran Energy Solutions LP 8.125% 5/1/25 | 3,270 | 3,098 | |
Nabors Industries Ltd.: | |||
7.25% 1/15/26(d) | 6,565 | 6,385 | |
7.5% 1/15/28(d) | 5,660 | 5,363 | |
Nine Energy Service, Inc. 8.75% 11/1/23 (d) | 3,620 | 1,738 | |
NuStar Logistics LP 6% 6/1/26 | 7,285 | 7,868 | |
Summit Midstream Holdings LLC 5.75% 4/15/25 | 3,405 | 3,099 | |
33,483 | |||
Oil, Gas & Consumable Fuels - 3.7% | |||
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||
5.375% 6/15/29(d) | 4,305 | 4,434 | |
5.75% 1/15/28(d) | 10,640 | 11,026 | |
Callon Petroleum Co. 6.125% 10/1/24 | 2,855 | 2,806 | |
Cheniere Energy Partners LP: | |||
3.25% 1/31/32(d) | 4,200 | 4,214 | |
4% 3/1/31(d) | 9,070 | 9,498 | |
Cheniere Energy, Inc. 4.625% 10/15/28 | 13,395 | 14,115 | |
Chesapeake Energy Corp.: | |||
5.875% 2/1/29(d) | 3,115 | 3,328 | |
7% 10/1/24(c)(f) | 3,985 | 0 | |
8% 1/15/25(c)(f) | 1,955 | 0 | |
8% 6/15/27(c)(f) | 1,240 | 0 | |
Citgo Holding, Inc. 9.25% 8/1/24 (d) | 16,430 | 16,553 | |
Citgo Petroleum Corp.: | |||
6.375% 6/15/26(d) | 4,665 | 4,758 | |
7% 6/15/25(d) | 13,580 | 13,886 | |
CNX Midstream Partners LP 4.75% 4/15/30 (d) | 2,970 | 3,016 | |
CNX Resources Corp. 6% 1/15/29 (d) | 3,200 | 3,384 | |
Colgate Energy Partners III LLC 5.875% 7/1/29 (d) | 4,055 | 4,085 | |
Comstock Resources, Inc.: | |||
5.875% 1/15/30(d) | 11,860 | 12,334 | |
6.75% 3/1/29(d) | 8,110 | 8,759 | |
7.5% 5/15/25(d) | 2,246 | 2,335 | |
CQP Holdco LP / BIP-V Chinook Holdco LLC 5.5% 6/15/31 (d) | 7,140 | 7,594 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27(d) | 11,025 | 11,347 | |
5.75% 4/1/25 | 2,960 | 3,023 | |
6% 2/1/29(d) | 16,880 | 17,663 | |
CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (d) | 2,450 | 2,558 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25(d) | 9,740 | 9,643 | |
5.75% 2/15/28(d) | 24,505 | 24,281 | |
DCP Midstream Operating LP 5.85% 5/21/43 (d)(g) | 10,780 | 10,025 | |
DT Midstream, Inc.: | |||
4.125% 6/15/29(d) | 4,285 | 4,345 | |
4.375% 6/15/31(d) | 4,285 | 4,414 | |
EG Global Finance PLC 8.5% 10/30/25 (d) | 9,545 | 9,939 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.5% 1/30/26(d) | 4,090 | 4,263 | |
5.75% 1/30/28(d) | 10,149 | 10,682 | |
6.625% 7/15/25(d) | 3,395 | 3,577 | |
Energy Transfer LP 5.5% 6/1/27 | 12,065 | 13,262 | |
EQT Corp. 3.9% 10/1/27 | 15,848 | 17,151 | |
Hess Midstream Partners LP: | |||
4.25% 2/15/30(d) | 4,590 | 4,642 | |
5.125% 6/15/28(d) | 6,600 | 6,894 | |
5.625% 2/15/26(d) | 9,140 | 9,483 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5.75% 2/1/29(d) | 3,250 | 3,339 | |
6% 2/1/31(d) | 3,250 | 3,339 | |
6.25% 11/1/28(d) | 7,130 | 7,388 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d) | 4,350 | 4,411 | |
MEG Energy Corp. 7.125% 2/1/27 (d) | 6,490 | 6,813 | |
Mesquite Energy, Inc. 7.25% 2/15/23 (c)(d)(f) | 12,834 | 0 | |
Murphy Oil U.S.A., Inc.: | |||
4.75% 9/15/29 | 4,155 | 4,399 | |
5.625% 5/1/27 | 3,665 | 3,830 | |
New Fortress Energy, Inc.: | |||
6.5% 9/30/26(d) | 10,330 | 9,878 | |
6.75% 9/15/25(d) | 27,005 | 25,992 | |
NGL Energy Partners LP/NGL Energy Finance Corp.: | |||
6.125% 3/1/25 | 7,480 | 6,603 | |
7.5% 4/15/26 | 9,630 | 8,619 | |
NGPL PipeCo LLC 4.875% 8/15/27 (d) | 1,800 | 2,043 | |
Occidental Petroleum Corp.: | |||
3.5% 8/15/29 | 3,820 | 3,885 | |
4.4% 4/15/46 | 5,820 | 5,805 | |
4.4% 8/15/49 | 14,725 | 14,449 | |
4.625% 6/15/45 | 4,795 | 4,903 | |
5.875% 9/1/25 | 6,775 | 7,593 | |
6.2% 3/15/40 | 3,565 | 4,199 | |
6.375% 9/1/28 | 6,775 | 7,927 | |
6.45% 9/15/36 | 11,875 | 14,940 | |
6.6% 3/15/46 | 9,520 | 11,948 | |
6.625% 9/1/30 | 13,550 | 16,717 | |
7.2% 3/15/29 | 2,440 | 2,861 | |
7.5% 5/1/31 | 680 | 884 | |
Ovintiv Exploration, Inc. 5.375% 1/1/26 | 6,813 | 7,703 | |
Parkland Corp. 4.5% 10/1/29 (d) | 4,420 | 4,480 | |
PBF Holding Co. LLC/PBF Finance Corp.: | |||
6% 2/15/28 | 15,760 | 10,058 | |
7.25% 6/15/25 | 13,580 | 9,139 | |
9.25% 5/15/25(d) | 15,055 | 14,189 | |
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 | 6,110 | 5,957 | |
PDC Energy, Inc.: | |||
6.125% 9/15/24 | 2,480 | 2,517 | |
6.25% 12/1/25 | 4,370 | 4,436 | |
Renewable Energy Group, Inc. 5.875% 6/1/28 (d) | 3,025 | 3,127 | |
SM Energy Co.: | |||
5.625% 6/1/25 | 4,400 | 4,425 | |
6.625% 1/15/27 | 12,830 | 13,156 | |
6.75% 9/15/26 | 3,175 | 3,243 | |
Southwestern Energy Co.: | |||
5.375% 3/15/30 | 5,630 | 6,076 | |
6.45% 1/23/25(g) | 589 | 649 | |
7.75% 10/1/27 | 7,830 | 8,459 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 | 5,515 | 5,594 | |
5.5% 2/15/26 | 6,865 | 7,003 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
6% 9/1/31(d) | 4,225 | 4,246 | |
7.5% 10/1/25(d) | 5,035 | 5,450 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 4.875% 2/1/31 | 6,345 | 6,845 | |
Teine Energy Ltd. 6.875% 4/15/29 (d) | 4,420 | 4,486 | |
Tennessee Gas Pipeline Co. 7.625% 4/1/37 | 2,585 | 3,717 | |
Ultra Resources, Inc. 11% 7/12/24 pay-in-kind (c)(f) | 6,493 | 325 | |
Venture Global Calcasieu Pass LLC: | |||
3.875% 8/15/29(d) | 3,525 | 3,631 | |
4.125% 8/15/31(d) | 3,525 | 3,675 | |
Vine Energy Holdings LLC 6.75% 4/15/29 (d) | 4,415 | 4,765 | |
623,433 | |||
TOTAL ENERGY | 656,916 | ||
FINANCIALS - 3.0% | |||
Capital Markets - 0.2% | |||
AssuredPartners, Inc.: | |||
5.625% 1/15/29(d) | 3,905 | 3,929 | |
7% 8/15/25(d) | 2,930 | 2,977 | |
Broadstreet Partners, Inc. 5.875% 4/15/29 (d) | 3,375 | 3,362 | |
Coinbase Global, Inc.: | |||
3.375% 10/1/28(d) | 4,200 | 4,035 | |
3.625% 10/1/31(d) | 4,200 | 3,993 | |
Lions Gate Capital Holdings LLC 5.5% 4/15/29 (d) | 4,420 | 4,569 | |
MSCI, Inc.: | |||
3.25% 8/15/33(d) | 4,225 | 4,273 | |
4% 11/15/29(d) | 3,780 | 4,002 | |
31,140 | |||
Consumer Finance - 1.8% | |||
Ally Financial, Inc.: | |||
8% 11/1/31 | 16,761 | 23,754 | |
8% 11/1/31 | 83,872 | 120,971 | |
Ford Motor Credit Co. LLC: | |||
3.375% 11/13/25 | 15,970 | 16,409 | |
3.625% 6/17/31 | 7,380 | 7,426 | |
4% 11/13/30 | 25,360 | 26,374 | |
5.113% 5/3/29 | 6,160 | 6,884 | |
OneMain Finance Corp.: | |||
4% 9/15/30 | 3,340 | 3,323 | |
5.375% 11/15/29 | 5,560 | 6,026 | |
6.625% 1/15/28 | 4,415 | 5,077 | |
6.875% 3/15/25 | 30,605 | 34,392 | |
7.125% 3/15/26 | 41,215 | 47,758 | |
298,394 | |||
Diversified Financial Services - 0.6% | |||
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (d) | 6,600 | 6,827 | |
HCRX Investments Holdco LP 4.5% 8/1/29 (d) | 3,350 | 3,367 | |
Hightower Holding LLC 6.75% 4/15/29 (d) | 2,870 | 2,942 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.375% 2/1/29 | 6,375 | 6,367 | |
5.25% 5/15/27 | 23,175 | 23,986 | |
6.25% 5/15/26 | 14,625 | 15,283 | |
6.375% 12/15/25 | 18,820 | 19,309 | |
6.75% 2/1/24 | 6,490 | 6,571 | |
James Hardie International Finance Ltd. 5% 1/15/28 (d) | 5,270 | 5,534 | |
OEC Finance Ltd.: | |||
4.375% 10/25/29 pay-in-kind(d) | 3,905 | 387 | |
5.25% 12/27/33 pay-in-kind(d) | 3,654 | 345 | |
7.125% 12/26/46 pay-in-kind(d) | 1,874 | 162 | |
Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. 4.625% 11/1/26 (d) | 2,265 | 2,364 | |
VMED O2 UK Financing I PLC 4.75% 7/15/31 (d) | 9,930 | 10,145 | |
103,589 | |||
Insurance - 0.4% | |||
Acrisure LLC / Acrisure Finance, Inc.: | |||
6% 8/1/29(d) | 4,230 | 4,176 | |
7% 11/15/25(d) | 20,290 | 20,661 | |
10.125% 8/1/26(d) | 6,810 | 7,593 | |
Alliant Holdings Intermediate LLC: | |||
4.25% 10/15/27(d) | 6,740 | 6,807 | |
6.75% 10/15/27(d) | 10,080 | 10,433 | |
AmWINS Group, Inc. 4.875% 6/30/29 (d) | 4,105 | 4,163 | |
HUB International Ltd. 7% 5/1/26 (d) | 6,980 | 7,216 | |
61,049 | |||
Thrifts & Mortgage Finance - 0.0% | |||
MGIC Investment Corp. 5.25% 8/15/28 | 4,725 | 5,042 | |
TOTAL FINANCIALS | 499,214 | ||
HEALTH CARE - 1.9% | |||
Biotechnology - 0.0% | |||
Grifols Escrow Issuer SA 4.75% 10/15/28 (d) | 2,795 | 2,854 | |
Health Care Equipment & Supplies - 0.1% | |||
Hologic, Inc. 4.625% 2/1/28 (d) | 2,505 | 2,637 | |
Mozart Debt Merger Sub, Inc. 0% 3/31/29 (d)(e) | 8,400 | 8,400 | |
11,037 | |||
Health Care Providers & Services - 1.5% | |||
AMN Healthcare 4.625% 10/1/27 (d) | 1,695 | 1,759 | |
Cano Health, Inc. 6.25% 10/1/28 (d) | 1,865 | 1,884 | |
Centene Corp.: | |||
4.25% 12/15/27 | 6,820 | 7,138 | |
4.625% 12/15/29 | 23,795 | 25,932 | |
Community Health Systems, Inc.: | |||
4.75% 2/15/31(d) | 8,770 | 8,825 | |
5.625% 3/15/27(d) | 3,305 | 3,461 | |
6% 1/15/29(d) | 4,940 | 5,236 | |
6.125% 4/1/30(d) | 11,530 | 11,204 | |
6.625% 2/15/25(d) | 7,415 | 7,758 | |
8% 3/15/26(d) | 37,390 | 39,651 | |
DaVita HealthCare Partners, Inc.: | |||
3.75% 2/15/31(d) | 2,075 | 2,021 | |
4.625% 6/1/30(d) | 15,850 | 16,303 | |
HealthEquity, Inc. 4.5% 10/1/29 (d) | 2,950 | 2,994 | |
Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (d) | 7,300 | 7,738 | |
Jaguar Holding Co. II/Pharmaceutical Product Development LLC 5% 6/15/28 (d) | 7,220 | 7,771 | |
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (d) | 3,250 | 3,369 | |
Molina Healthcare, Inc.: | |||
3.875% 11/15/30(d) | 6,345 | 6,631 | |
4.375% 6/15/28(d) | 4,690 | 4,879 | |
Radiology Partners, Inc. 9.25% 2/1/28 (d) | 11,755 | 12,642 | |
RP Escrow Issuer LLC 5.25% 12/15/25 (d) | 6,200 | 6,378 | |
Tenet Healthcare Corp.: | |||
4.625% 7/15/24 | 1,500 | 1,523 | |
4.625% 9/1/24(d) | 7,305 | 7,469 | |
4.875% 1/1/26(d) | 18,260 | 18,898 | |
5.125% 11/1/27(d) | 10,955 | 11,421 | |
6.125% 10/1/28(d) | 11,515 | 12,096 | |
6.25% 2/1/27(d) | 20,050 | 20,802 | |
Vizient, Inc. 6.25% 5/15/27 (d) | 1,690 | 1,766 | |
257,549 | |||
Health Care Technology - 0.0% | |||
IQVIA, Inc. 5% 5/15/27 (d) | 5,660 | 5,879 | |
Life Sciences Tools & Services - 0.1% | |||
Charles River Laboratories International, Inc.: | |||
3.75% 3/15/29(d) | 4,745 | 4,846 | |
4% 3/15/31(d) | 6,035 | 6,323 | |
4.25% 5/1/28(d) | 2,045 | 2,122 | |
Syneos Health, Inc. 3.625% 1/15/29 (d) | 5,025 | 5,011 | |
18,302 | |||
Pharmaceuticals - 0.2% | |||
180 Medical, Inc. 3.875% 10/15/29 (d) | 3,175 | 3,223 | |
Catalent Pharma Solutions: | |||
3.5% 4/1/30(d) | 2,800 | 2,800 | |
5% 7/15/27(d) | 2,295 | 2,384 | |
Organon & Co. / Organon Foreign Debt Co-Issuer BV: | |||
4.125% 4/30/28(d) | 10,200 | 10,404 | |
5.125% 4/30/31(d) | 8,890 | 9,338 | |
28,149 | |||
TOTAL HEALTH CARE | 323,770 | ||
INDUSTRIALS - 3.4% | |||
Aerospace & Defense - 1.3% | |||
Bombardier, Inc.: | |||
6% 2/15/28(d) | 2,815 | 2,847 | |
7.125% 6/15/26(d) | 5,695 | 5,994 | |
7.5% 12/1/24(d) | 5,505 | 5,725 | |
7.5% 3/15/25(d) | 9,175 | 9,370 | |
7.875% 4/15/27(d) | 28,965 | 29,979 | |
BWX Technologies, Inc. 4.125% 6/30/28 (d) | 6,400 | 6,568 | |
Moog, Inc. 4.25% 12/15/27 (d) | 2,025 | 2,081 | |
Rolls-Royce PLC 5.75% 10/15/27 (d) | 6,560 | 7,249 | |
Spirit Aerosystems, Inc. 7.5% 4/15/25 (d) | 9,205 | 9,746 | |
TransDigm UK Holdings PLC 6.875% 5/15/26 | 21,085 | 22,166 | |
TransDigm, Inc.: | |||
4.625% 1/15/29 | 9,290 | 9,244 | |
5.5% 11/15/27 | 68,140 | 70,184 | |
6.25% 3/15/26(d) | 11,120 | 11,593 | |
6.375% 6/15/26 | 20,230 | 20,870 | |
7.5% 3/15/27 | 11,028 | 11,552 | |
225,168 | |||
Air Freight & Logistics - 0.0% | |||
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (d) | 3,960 | 4,104 | |
Airlines - 0.4% | |||
Air Canada 3.875% 8/15/26 (d) | 4,230 | 4,268 | |
Delta Air Lines, Inc. 7% 5/1/25 (d) | 1,671 | 1,949 | |
Hawaiian Airlines pass-thru certificates Series 2013-1 Class B, 4.95% 7/15/23 | 1,760 | 1,759 | |
Mileage Plus Holdings LLC 6.5% 6/20/27 (d) | 20,660 | 22,466 | |
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. 8% 9/20/25 (d) | 4,670 | 5,238 | |
United Airlines, Inc.: | |||
4.375% 4/15/26(d) | 14,560 | 14,942 | |
4.625% 4/15/29(d) | 8,725 | 9,017 | |
59,639 | |||
Building Products - 0.1% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (d) | 1,400 | 1,462 | |
CP Atlas Buyer, Inc. 7% 12/1/28 (d) | 3,280 | 3,288 | |
Shea Homes Ltd. Partnership/Corp. 4.75% 4/1/29 (d) | 4,830 | 4,963 | |
Victors Merger Corp. 6.375% 5/15/29 (d) | 5,760 | 5,515 | |
15,228 | |||
Commercial Services & Supplies - 0.6% | |||
Allied Universal Holdco LLC / Allied Universal Finance Corp. 6% 6/1/29 (d) | 3,180 | 3,138 | |
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
4.625% 6/1/28(d) | 10,374 | 10,358 | |
4.625% 6/1/28(d) | 6,871 | 6,850 | |
CoreCivic, Inc. 8.25% 4/15/26 | 14,975 | 15,275 | |
Covanta Holding Corp.: | |||
5% 9/1/30 | 6,775 | 6,843 | |
5.875% 7/1/25 | 1,995 | 2,060 | |
6% 1/1/27 | 7,080 | 7,339 | |
GFL Environmental, Inc.: | |||
4% 8/1/28(d) | 4,200 | 4,169 | |
4.75% 6/15/29(d) | 5,705 | 5,862 | |
IAA, Inc. 5.5% 6/15/27 (d) | 2,830 | 2,957 | |
KAR Auction Services, Inc. 5.125% 6/1/25 (d) | 6,210 | 6,280 | |
Madison IAQ LLC: | |||
4.125% 6/30/28(d) | 5,345 | 5,345 | |
5.875% 6/30/29(d) | 4,265 | 4,297 | |
Nielsen Finance LLC/Nielsen Finance Co.: | |||
4.5% 7/15/29(d) | 2,855 | 2,792 | |
4.75% 7/15/31(d) | 2,870 | 2,792 | |
Pitney Bowes, Inc.: | |||
6.875% 3/15/27(d) | 2,960 | 3,115 | |
7.25% 3/15/29(d) | 2,960 | 3,112 | |
The Brink's Co. 4.625% 10/15/27 (d) | 7,200 | 7,477 | |
100,061 | |||
Construction & Engineering - 0.2% | |||
AECOM 5.125% 3/15/27 | 7,490 | 8,295 | |
Arcosa, Inc. 4.375% 4/15/29 (d) | 4,130 | 4,182 | |
Pike Corp. 5.5% 9/1/28 (d) | 5,315 | 5,416 | |
SRS Distribution, Inc.: | |||
4.625% 7/1/28(d) | 5,520 | 5,632 | |
6.125% 7/1/29(d) | 3,035 | 3,126 | |
26,651 | |||
Electrical Equipment - 0.0% | |||
Sensata Technologies BV 4% 4/15/29 (d) | 5,910 | 6,016 | |
Machinery - 0.0% | |||
ATS Automation Tooling System, Inc. 4.125% 12/15/28 (d) | 4,630 | 4,748 | |
Stevens Holding Co., Inc. 6.125% 10/1/26 (d) | 1,880 | 2,028 | |
6,776 | |||
Marine - 0.0% | |||
Seaspan Corp. 5.5% 8/1/29 (d) | 4,240 | 4,326 | |
Professional Services - 0.1% | |||
ASGN, Inc. 4.625% 5/15/28 (d) | 5,670 | 5,868 | |
Booz Allen Hamilton, Inc.: | |||
3.875% 9/1/28(d) | 6,270 | 6,428 | |
4% 7/1/29(d) | 2,820 | 2,891 | |
TriNet Group, Inc. 3.5% 3/1/29 (d) | 4,545 | 4,556 | |
19,743 | |||
Road & Rail - 0.6% | |||
Hertz Corp.: | |||
5.5% 10/15/24(c)(d)(f) | 6,540 | 0 | |
6% 1/15/28(c)(d)(f) | 5,785 | 0 | |
6.25% 10/15/22(c)(f) | 6,775 | 0 | |
7.125% 8/1/26(c)(d)(f) | 6,315 | 0 | |
Uber Technologies, Inc.: | |||
4.5% 8/15/29(d) | 12,675 | 12,762 | |
6.25% 1/15/28(d) | 5,520 | 5,920 | |
7.5% 9/15/27(d) | 31,625 | 34,531 | |
8% 11/1/26(d) | 29,170 | 30,829 | |
XPO Logistics, Inc. 6.25% 5/1/25 (d) | 11,590 | 12,233 | |
96,275 | |||
Trading Companies & Distributors - 0.1% | |||
Foundation Building Materials, Inc. 6% 3/1/29 (d) | 3,110 | 3,048 | |
H&E Equipment Services, Inc. 3.875% 12/15/28 (d) | 10,040 | 10,001 | |
13,049 | |||
Transportation Infrastructure - 0.0% | |||
First Student Bidco, Inc./First Transit Parent, Inc. 4% 7/31/29 (d) | 4,235 | 4,177 | |
TOTAL INDUSTRIALS | 581,213 | ||
INFORMATION TECHNOLOGY - 1.1% | |||
Electronic Equipment & Components - 0.0% | |||
TTM Technologies, Inc. 4% 3/1/29 (d) | 4,540 | 4,522 | |
IT Services - 0.3% | |||
Acuris Finance U.S. 5% 5/1/28 (d) | 4,315 | 4,293 | |
Camelot Finance SA 4.5% 11/1/26 (d) | 6,365 | 6,612 | |
Gartner, Inc.: | |||
3.625% 6/15/29(d) | 4,040 | 4,071 | |
3.75% 10/1/30(d) | 6,920 | 7,122 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc.: | |||
3.5% 3/1/29(d) | 6,060 | 6,007 | |
5.25% 12/1/27(d) | 5,665 | 5,906 | |
Rackspace Hosting, Inc. 5.375% 12/1/28 (d) | 3,845 | 3,778 | |
Square, Inc. 3.5% 6/1/31 (d) | 5,745 | 5,893 | |
Unisys Corp. 6.875% 11/1/27 (d) | 3,685 | 4,026 | |
47,708 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
ON Semiconductor Corp. 3.875% 9/1/28 (d) | 6,765 | 6,985 | |
Synaptics, Inc. 4% 6/15/29 (d) | 3,500 | 3,581 | |
10,566 | |||
Software - 0.7% | |||
Ascend Learning LLC: | |||
6.875% 8/1/25(d) | 2,480 | 2,520 | |
6.875% 8/1/25(d) | 7,330 | 7,449 | |
Black Knight InfoServ LLC 3.625% 9/1/28 (d) | 6,975 | 7,010 | |
Clarivate Science Holdings Corp.: | |||
3.875% 7/1/28(d) | 5,025 | 5,025 | |
4.875% 7/1/29(d) | 4,755 | 4,764 | |
Elastic NV 4.125% 7/15/29 (d) | 8,005 | 8,045 | |
Fair Isaac Corp. 4% 6/15/28 (d) | 6,420 | 6,581 | |
ION Trading Technologies Ltd. 5.75% 5/15/28 (d) | 5,780 | 5,893 | |
MicroStrategy, Inc. 6.125% 6/15/28 (d) | 5,200 | 5,252 | |
NCR Corp.: | |||
5% 10/1/28(d) | 3,385 | 3,459 | |
5.25% 10/1/30(d) | 13,370 | 14,019 | |
5.75% 9/1/27(d) | 5,480 | 5,779 | |
6.125% 9/1/29(d) | 5,480 | 5,946 | |
NortonLifeLock, Inc. 5% 4/15/25 (d) | 6,360 | 6,461 | |
Open Text Corp.: | |||
3.875% 2/15/28(d) | 3,220 | 3,284 | |
5.875% 6/1/26(d) | 6,000 | 6,210 | |
Open Text Holdings, Inc. 4.125% 2/15/30 (d) | 3,220 | 3,309 | |
PTC, Inc.: | |||
3.625% 2/15/25(d) | 3,755 | 3,811 | |
4% 2/15/28(d) | 3,715 | 3,813 | |
Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (d) | 11,835 | 12,308 | |
120,938 | |||
TOTAL INFORMATION TECHNOLOGY | 183,734 | ||
MATERIALS - 2.3% | |||
Chemicals - 1.0% | |||
CF Industries Holdings, Inc.: | |||
4.95% 6/1/43 | 12,055 | 14,527 | |
5.375% 3/15/44 | 8,849 | 11,232 | |
Consolidated Energy Finance SA: | |||
3 month U.S. LIBOR + 3.750% 3.866% 6/15/22(d)(g)(h) | 594 | 593 | |
6.5% 5/15/26(d) | 31,160 | 32,251 | |
6.875% 6/15/25(d) | 6,400 | 6,624 | |
Gpd Companies, Inc. 10.125% 4/1/26 (d) | 8,860 | 9,591 | |
Ingevity Corp. 3.875% 11/1/28 (d) | 6,715 | 6,698 | |
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.: | |||
5% 12/31/26(d) | 2,100 | 2,097 | |
7% 12/31/27(d) | 6,250 | 5,991 | |
LSB Industries, Inc.: | |||
6.25% 10/15/28(d)(e) | 4,380 | 4,418 | |
9.625% 5/1/23(d) | 3,600 | 3,748 | |
OCI NV 5.25% 11/1/24 (d) | 9,240 | 9,504 | |
Olympus Water U.S. Holding Corp. 4.25% 10/1/28 (d) | 5,600 | 5,519 | |
SCIH Salt Holdings, Inc. 4.875% 5/1/28 (d) | 8,705 | 8,749 | |
The Chemours Co. LLC: | |||
5.375% 5/15/27 | 18,470 | 19,917 | |
5.75% 11/15/28(d) | 10,075 | 10,551 | |
The Scotts Miracle-Gro Co. 4% 4/1/31 (d) | 5,930 | 5,919 | |
Tronox, Inc. 6.5% 5/1/25 (d) | 5,410 | 5,679 | |
Valvoline, Inc. 4.25% 2/15/30 (d) | 4,680 | 4,852 | |
W.R. Grace Holding LLC 5.625% 8/15/29 (d) | 6,975 | 7,184 | |
175,644 | |||
Construction Materials - 0.0% | |||
Summit Materials LLC/Summit Materials Finance Corp. 5.25% 1/15/29 (d) | 6,525 | 6,851 | |
Containers & Packaging - 0.4% | |||
ARD Finance SA 6.5% 6/30/27 pay-in-kind (d)(g) | 6,625 | 7,031 | |
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: | |||
3.25% 9/1/28(d) | 3,025 | 3,017 | |
4% 9/1/29(d) | 6,050 | 6,118 | |
Cascades, Inc.: | |||
5.125% 1/15/26(d) | 3,310 | 3,519 | |
5.375% 1/15/28(d) | 3,310 | 3,480 | |
Crown Cork & Seal, Inc.: | |||
7.375% 12/15/26 | 16,535 | 20,421 | |
7.5% 12/15/96 | 7,695 | 9,485 | |
Graham Packaging Co., Inc. 7.125% 8/15/28 (d) | 3,720 | 3,950 | |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (d) | 2,570 | 2,694 | |
Intertape Polymer Group, Inc. 4.375% 6/15/29 (d) | 4,310 | 4,382 | |
Trivium Packaging Finance BV 5.5% 8/15/26 (d) | 4,195 | 4,393 | |
68,490 | |||
Metals & Mining - 0.9% | |||
Alcoa Nederland Holding BV: | |||
4.125% 3/31/29(d) | 7,735 | 8,049 | |
6.125% 5/15/28(d) | 2,110 | 2,287 | |
Algoma Steel SCA 0% 12/31/23 (c) | 1,518 | 1,275 | |
Allegheny Technologies, Inc.: | |||
4.875% 10/1/29 | 2,795 | 2,805 | |
5.125% 10/1/31 | 2,480 | 2,499 | |
Arconic Corp.: | |||
6% 5/15/25(d) | 4,090 | 4,295 | |
6.125% 2/15/28(d) | 9,123 | 9,671 | |
Cleveland-Cliffs, Inc.: | |||
4.625% 3/1/29(d) | 4,615 | 4,713 | |
4.875% 3/1/31(d) | 4,615 | 4,765 | |
5.875% 6/1/27 | 11,010 | 11,395 | |
Compass Minerals International, Inc. 6.75% 12/1/27 (d) | 9,315 | 9,886 | |
Eldorado Gold Corp. 6.25% 9/1/29 (d) | 4,225 | 4,188 | |
First Quantum Minerals Ltd.: | |||
6.5% 3/1/24(d) | 6,560 | 6,654 | |
6.875% 3/1/26(d) | 14,330 | 14,903 | |
7.25% 4/1/23(d) | 1,985 | 2,020 | |
7.5% 4/1/25(d) | 12,105 | 12,418 | |
FMG Resources (August 2006) Pty Ltd.: | |||
4.375% 4/1/31(d) | 4,420 | 4,569 | |
4.5% 9/15/27(d) | 5,450 | 5,763 | |
HudBay Minerals, Inc. 4.5% 4/1/26 (d) | 3,600 | 3,564 | |
Infrabuild Australia Pty Ltd. 12% 10/1/24 (d) | 6,320 | 6,683 | |
Kaiser Aluminum Corp. 4.625% 3/1/28 (d) | 6,615 | 6,830 | |
Mineral Resources Ltd. 8.125% 5/1/27 (d) | 11,025 | 11,975 | |
Murray Energy Corp.: | |||
11.25%(c)(d)(f) | 5,925 | 0 | |
12% 4/15/24 pay-in-kind(c)(d)(f)(g) | 6,364 | 0 | |
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (d)(e) | 2,015 | 2,065 | |
United States Steel Corp. 6.25% 3/15/26 | 2,747 | 2,835 | |
146,107 | |||
TOTAL MATERIALS | 397,092 | ||
REAL ESTATE - 1.4% | |||
Equity Real Estate Investment Trusts (REITs) - 1.1% | |||
Iron Mountain, Inc.: | |||
4.875% 9/15/29(d) | 14,590 | 15,283 | |
5% 7/15/28(d) | 6,370 | 6,639 | |
5.25% 7/15/30(d) | 5,915 | 6,277 | |
5.625% 7/15/32(d) | 5,915 | 6,344 | |
MGM Growth Properties Operating Partnership LP 3.875% 2/15/29 (d) | 6,695 | 7,130 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
3.5% 3/15/31 | 6,700 | 6,834 | |
4.625% 8/1/29 | 10,950 | 11,749 | |
5% 10/15/27 | 15,435 | 16,265 | |
SBA Communications Corp. 3.875% 2/15/27 | 9,720 | 10,072 | |
The GEO Group, Inc.: | |||
5.125% 4/1/23 | 7,555 | 7,102 | |
5.875% 10/15/24 | 8,575 | 7,118 | |
6% 4/15/26 | 5,755 | 4,525 | |
Uniti Group LP / Uniti Group Finance, Inc.: | |||
4.75% 4/15/28(d) | 9,350 | 9,549 | |
6.5% 2/15/29(d) | 19,535 | 20,095 | |
Uniti Group, Inc.: | |||
6% 1/15/30(d)(e) | 6,990 | 6,929 | |
7.875% 2/15/25(d) | 9,940 | 10,503 | |
VICI Properties, Inc.: | |||
4.25% 12/1/26(d) | 12,650 | 13,211 | |
4.625% 12/1/29(d) | 7,220 | 7,762 | |
173,387 | |||
Real Estate Management & Development - 0.3% | |||
DTZ U.S. Borrower LLC 6.75% 5/15/28 (d) | 6,575 | 7,134 | |
Realogy Group LLC/Realogy Co-Issuer Corp.: | |||
5.75% 1/15/29(d) | 8,505 | 8,822 | |
7.625% 6/15/25(d) | 20,305 | 21,685 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.125% 8/1/30(d) | 6,480 | 6,974 | |
5.875% 6/15/27(d) | 5,610 | 6,395 | |
Vonovia SE 1.5% 6/14/41 (Reg. S) | EUR | 1,000 | 1,142 |
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (d) | 3,045 | 3,167 | |
55,319 | |||
TOTAL REAL ESTATE | 228,706 | ||
UTILITIES - 1.5% | |||
Electric Utilities - 1.3% | |||
Clearway Energy Operating LLC: | |||
3.75% 1/15/32(d) | 2,795 | 2,792 | |
4.75% 3/15/28(d) | 4,055 | 4,293 | |
NRG Energy, Inc.: | |||
3.375% 2/15/29(d) | 3,080 | 3,040 | |
3.625% 2/15/31(d) | 6,110 | 6,002 | |
3.875% 2/15/32(d) | 7,040 | 6,961 | |
5.75% 1/15/28 | 20,240 | 21,530 | |
Pacific Gas & Electric Co.: | |||
3.75% 8/15/42 | 6,290 | 5,684 | |
3.95% 12/1/47 | 13,510 | 13,001 | |
4% 12/1/46 | 14,690 | 14,165 | |
4.25% 3/15/46 | 1,475 | 1,450 | |
4.3% 3/15/45 | 3,690 | 3,641 | |
4.55% 7/1/30 | 49,355 | 53,369 | |
PG&E Corp.: | |||
5% 7/1/28 | 13,615 | 13,870 | |
5.25% 7/1/30 | 5,150 | 5,272 | |
Vistra Operations Co. LLC: | |||
4.375% 5/1/29(d) | 11,110 | 11,138 | |
5% 7/31/27(d) | 13,800 | 14,249 | |
5.5% 9/1/26(d) | 9,975 | 10,249 | |
5.625% 2/15/27(d) | 17,455 | 18,067 | |
208,773 | |||
Gas Utilities - 0.2% | |||
Southern Natural Gas Co. LLC: | |||
7.35% 2/15/31 | 14,890 | 19,955 | |
8% 3/1/32 | 9,400 | 13,300 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5% 6/1/31 (d) | 5,750 | 5,966 | |
39,221 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d) | 3,735 | 3,860 | |
TOTAL UTILITIES | 251,854 | ||
TOTAL NONCONVERTIBLE BONDS | 4,930,417 | ||
TOTAL CORPORATE BONDS (Cost $4,643,307) | 4,942,808 | ||
U.S. Government and Government Agency Obligations - 20.1% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
U.S. Government Agency Obligations - 0.0% | |||
Fannie Mae 0.625% 4/22/25 | 2,128 | 2,124 | |
Tennessee Valley Authority: | |||
5.25% 9/15/39 | 2,106 | 2,982 | |
5.375% 4/1/56 | 3,503 | 5,611 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 10,717 | ||
U.S. Treasury Obligations - 20.0% | |||
U.S. Treasury Bonds: | |||
2% 8/15/51 | 198,644 | 195,137 | |
2.375% 5/15/51 | 53,194 | 56,768 | |
2.5% 2/15/45 (i)(j)(k) | 216,056 | 233,324 | |
3% 5/15/45 | 20,100 | 23,649 | |
3% 2/15/49 | 145,860 | 174,360 | |
4.75% 2/15/37 (i)(j) | 74,200 | 104,718 | |
5.25% 2/15/29 | 5,406 | 6,902 | |
6.125% 8/15/29 | 3,663 | 4,978 | |
U.S. Treasury Notes: | |||
0.125% 5/31/22 | 59,623 | 59,639 | |
0.125% 6/30/22 | 46,344 | 46,358 | |
0.125% 8/31/22 | 82,000 | 82,019 | |
0.125% 11/30/22 | 35,000 | 34,995 | |
0.125% 12/31/22 | 33,500 | 33,490 | |
0.125% 2/28/23 | 89,000 | 88,934 | |
0.125% 3/31/23 | 30,000 | 29,971 | |
0.125% 5/31/23 | 38,200 | 38,139 | |
0.125% 6/30/23 | 34,600 | 34,541 | |
0.125% 8/15/23 | 2,411 | 2,405 | |
0.125% 10/15/23 | 2,852 | 2,842 | |
0.25% 5/15/24 | 470 | 468 | |
0.25% 7/31/25 | 35,866 | 35,180 | |
0.25% 9/30/25 | 26,037 | 25,479 | |
0.25% 10/31/25 | 17,600 | 17,196 | |
0.375% 3/31/22 | 92,800 | 92,945 | |
0.375% 4/30/25 | 82,771 | 81,853 | |
0.375% 12/31/25 | 167,057 | 163,690 | |
0.375% 1/31/26 | 13,900 | 13,601 | |
0.625% 7/31/26 | 24,000 | 23,616 | |
0.75% 3/31/26 | 46,052 | 45,726 | |
0.75% 8/31/26 | 29,200 | 28,887 | |
0.875% 9/30/26 | 173,000 | 172,067 | |
1% 7/31/28 | 49,141 | 48,189 | |
1.125% 8/31/28 | 555,509 | 548,906 | |
1.25% 8/15/31 (l) | 162,184 | 158,256 | |
1.375% 8/31/23 | 11,000 | 11,231 | |
1.5% 10/31/24 | 480 | 494 | |
1.5% 1/31/27 | 34,389 | 35,199 | |
1.625% 11/15/22 | 14,901 | 15,152 | |
1.625% 5/31/23 | 19,717 | 20,177 | |
1.625% 9/30/26 | 3,093 | 3,189 | |
1.875% 7/31/22 | 43,433 | 44,081 | |
2.125% 3/31/24 | 56,643 | 59,053 | |
2.125% 7/31/24 | 118,408 | 123,884 | |
2.125% 5/15/25 | 12,033 | 12,646 | |
2.25% 4/30/24 | 24,428 | 25,570 | |
2.25% 3/31/26 | 34,717 | 36,784 | |
2.5% 1/15/22 | 136,816 | 137,782 | |
2.5% 2/28/26 | 38,997 | 41,737 | |
2.625% 12/31/23 | 56,283 | 59,148 | |
2.75% 6/30/25 | 197 | 212 | |
3.125% 11/15/28 | 31,330 | 35,200 | |
TOTAL U.S. TREASURY OBLIGATIONS | 3,370,767 | ||
Other Government Related - 0.1% | |||
Private Export Funding Corp. Secured 1.75% 11/15/24 | 11,520 | 11,902 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,309,441) | 3,393,386 | ||
U.S. Government Agency - Mortgage Securities - 2.0% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Ginnie Mae - 1.8% | |||
3.5% 11/20/50 | 6,174 | 6,490 | |
3.5% 10/1/51 (e) | 14,750 | 15,512 | |
3.5% 10/1/51 (e) | 25,300 | 26,607 | |
3.5% 10/1/51 (e) | 27,600 | 29,026 | |
3.5% 10/1/51 (e) | 1,150 | 1,209 | |
3.5% 10/1/51 (e) | 55,150 | 57,999 | |
3.5% 10/1/51 (e) | 11,000 | 11,568 | |
3.5% 10/1/51 (e) | 11,600 | 12,199 | |
3.5% 10/1/51 (e) | 55,300 | 58,156 | |
3.5% 10/1/51 (e) | 10,800 | 11,358 | |
3.5% 10/1/51 (e) | 16,450 | 17,300 | |
3.5% 10/1/51 (e) | 14,400 | 15,144 | |
3.5% 11/1/51 (e) | 10,800 | 11,360 | |
3.5% 11/1/51 (e) | 10,800 | 11,360 | |
3.5% 11/1/51 (e) | 10,850 | 11,413 | |
TOTAL GINNIE MAE | 296,701 | ||
Uniform Mortgage Backed Securities - 0.2% | |||
2.5% 10/1/51 (e) | 5,500 | 5,671 | |
2.5% 10/1/51 (e) | 4,000 | 4,125 | |
2.5% 10/1/51 (e) | 2,600 | 2,681 | |
2.5% 10/1/51 (e) | 3,150 | 3,248 | |
2.5% 10/1/51 (e) | 3,150 | 3,248 | |
2.5% 10/1/51 (e) | 450 | 464 | |
2.5% 10/1/51 (e) | 3,150 | 3,248 | |
2.5% 11/1/51 (e) | 1,800 | 1,852 | |
2.5% 11/1/51 (e) | 1,800 | 1,852 | |
2.5% 11/1/51 (e) | 3,950 | 4,065 | |
2.5% 11/1/51 (e) | 2,050 | 2,110 | |
3.5% 10/1/51 (e) | 2,300 | 2,434 | |
3.5% 10/1/51 (e) | 2,300 | 2,434 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 37,432 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $334,263) | 334,133 | ||
Commercial Mortgage Securities - 1.3% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Freddie Mac floater: | |||
Series 2021-F108 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.3% 2/25/31 (g)(h) | 19,100 | 19,167 | |
Series 2021-F109 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.29% 3/25/31 (g)(h) | 37,800 | 37,910 | |
Series 2021-F110 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.29% 3/25/31 (g)(h) | 18,900 | 18,953 | |
Series 2021-F111 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.29% 3/25/31 (g)(h) | 23,499 | 23,567 | |
Series 2021-F112 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.230% 0.28% 4/25/31 (g)(h) | 15,800 | 15,838 | |
Series 2021-F113 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.230% 0.28% 5/25/28 (g)(h) | 15,925 | 15,966 | |
Series 2021-F119 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.210% 0.26% 7/25/31 (g)(h) | 35,922 | 35,974 | |
Series 2021-F120 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.210% 0.25% 8/25/31 (g)(h) | 33,884 | 33,918 | |
Series 2021-F121 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.23% 8/25/28 (g)(h) | 24,766 | 24,783 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $225,651) | 226,076 | ||
Foreign Government and Government Agency Obligations - 9.3% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Australian Commonwealth 1.75% 6/21/51 (Reg. S) | AUD | 25,000 | 15,667 |
Canadian Government: | |||
0.25% 11/1/22 | CAD | 193,340 | 152,459 |
1.5% 6/1/31 | CAD | 33,000 | 26,016 |
2% 12/1/51 | CAD | 13,000 | 10,297 |
Dutch Government 0% 1/15/52 (Reg. S) (d) | EUR | 31,130 | 32,297 |
German Federal Republic: | |||
0% 9/16/22 (Reg. S) | EUR | 316,160 | 368,610 |
0% 12/15/22 (Reg. S) | EUR | 35,000 | 40,888 |
0% 6/16/23 (Reg. S) | EUR | 46,610 | 54,631 |
0% 2/15/31 (Reg. S) | EUR | 81,570 | 96,603 |
0% 8/15/31 | EUR | 242,360 | 286,149 |
0% 8/15/50 | EUR | 80,550 | 86,015 |
Israeli State (guaranteed by U.S. Government through Agency for International Development): | |||
5.5% 9/18/23 | 54,954 | 60,500 | |
5.5% 12/4/23 | 19,812 | 21,996 | |
Japan Government: | |||
0.1% 9/20/29 | JPY | 7,655,450 | 69,375 |
0.1% 12/20/30 | JPY | 8,544,650 | 77,195 |
0.4% 3/20/56 | JPY | 4,039,750 | 32,796 |
United Kingdom, Great Britain and Northern Ireland: | |||
0.375% 10/22/30 (Reg. S) | GBP | 50,000 | 63,912 |
0.625% 10/22/50 (Reg. S) | GBP | 34,000 | 37,474 |
0.875% 7/31/33 (Reg. S) | GBP | 20,074 | 26,396 |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,585,223) | 1,559,276 | ||
Common Stocks - 5.4% | |||
Shares | Value ($) (000s) | ||
COMMUNICATION SERVICES - 0.5% | |||
Entertainment - 0.0% | |||
New Cotai LLC/New Cotai Capital Corp. (b)(c) | 2,242,893 | 4,665 | |
Interactive Media & Services - 0.3% | |||
Alphabet, Inc. Class A (m) | 5,100 | 13,635 | |
Facebook, Inc. Class A (m) | 77,900 | 26,438 | |
Tencent Holdings Ltd. sponsored ADR | 120,900 | 7,226 | |
47,299 | |||
Media - 0.1% | |||
Altice U.S.A., Inc. Class A (m) | 294,130 | 6,094 | |
iHeartMedia, Inc. (m) | 26 | 1 | |
Nexstar Broadcasting Group, Inc. Class A | 115,000 | 17,475 | |
23,570 | |||
Wireless Telecommunication Services - 0.1% | |||
T-Mobile U.S., Inc. (m) | 79,900 | 10,208 | |
TOTAL COMMUNICATION SERVICES | 85,742 | ||
CONSUMER DISCRETIONARY - 0.7% | |||
Auto Components - 0.0% | |||
Exide Technologies (c) | 280 | 182 | |
Exide Technologies (c)(m) | 7,093 | 7 | |
Exide Technologies (c)(m) | 418,807 | 0 | |
UC Holdings, Inc. (c)(m) | 560,355 | 5,329 | |
5,518 | |||
Hotels, Restaurants & Leisure - 0.4% | |||
Boyd Gaming Corp. (m) | 229,500 | 14,518 | |
Caesars Entertainment, Inc. (m) | 290,400 | 32,606 | |
Penn National Gaming, Inc. (m) | 183,906 | 13,326 | |
Studio City International Holdings Ltd. ADR (m) | 133,400 | 1,090 | |
61,540 | |||
Household Durables - 0.1% | |||
Tempur Sealy International, Inc. | 555,048 | 25,760 | |
Internet & Direct Marketing Retail - 0.1% | |||
Alibaba Group Holding Ltd. sponsored ADR (m) | 40,500 | 5,996 | |
Amazon.com, Inc. (m) | 4,100 | 13,469 | |
19,465 | |||
Specialty Retail - 0.1% | |||
Lowe's Companies, Inc. | 72,800 | 14,768 | |
TOTAL CONSUMER DISCRETIONARY | 127,051 | ||
CONSUMER STAPLES - 0.3% | |||
Food & Staples Retailing - 0.1% | |||
Southeastern Grocers, Inc. (b)(c) | 584,047 | 12,884 | |
Food Products - 0.2% | |||
Darling Ingredients, Inc. (m) | 202,700 | 14,574 | |
JBS SA | 3,785,700 | 25,770 | |
Reddy Ice Holdings, Inc. (c)(m) | 133,255 | 7 | |
Reddy Ice Holdings, Inc. (c)(m) | 331,236 | 0 | |
40,351 | |||
TOTAL CONSUMER STAPLES | 53,235 | ||
ENERGY - 1.2% | |||
Energy Equipment & Services - 0.0% | |||
Diamond Offshore Drilling, Inc. (c) | 66,694 | 341 | |
Forbes Energy Services Ltd. (m) | 135,187 | 18 | |
Jonah Energy Parent LLC (c) | 183,159 | 8,462 | |
Superior Energy Services, Inc. Class A (c)(m) | 66,115 | 1,693 | |
10,514 | |||
Oil, Gas & Consumable Fuels - 1.2% | |||
California Resources Corp. (m) | 1,346,574 | 55,210 | |
California Resources Corp. warrants 10/27/24 (m) | 34,633 | 416 | |
Chaparral Energy, Inc.: | |||
Series A warrants 10/1/24 (c)(m) | 289 | 0 | |
Series B warrants 10/1/25 (c)(m) | 289 | 0 | |
Cheniere Energy, Inc. | 89,200 | 8,712 | |
Chesapeake Energy Corp. | 461,378 | 28,416 | |
Chesapeake Energy Corp. (b) | 15,902 | 979 | |
Chesapeake Energy Corp.: | |||
warrants 2/9/26 (m) | 70,147 | 2,540 | |
warrants 2/9/26 (m) | 77,942 | 2,484 | |
warrants 2/9/26 (m) | 48,655 | 1,423 | |
Denbury, Inc. (m) | 212,935 | 14,959 | |
Denbury, Inc. warrants 9/18/25 (m) | 288,114 | 12,824 | |
EP Energy Corp. (c)(m) | 611,545 | 54,886 | |
Extraction Oil & Gas, Inc. (m) | 30,558 | 1,725 | |
Mesquite Energy, Inc. (c)(m) | 185,122 | 6,376 | |
Unit Corp. (m) | 26,886 | 820 | |
Whiting Petroleum Corp. (m) | 77,283 | 4,514 | |
196,284 | |||
TOTAL ENERGY | 206,798 | ||
FINANCIALS - 0.2% | |||
Capital Markets - 0.0% | |||
Penson Worldwide, Inc. Class A (c)(m) | 7,403,098 | 0 | |
Consumer Finance - 0.1% | |||
OneMain Holdings, Inc. | 308,300 | 17,058 | |
Diversified Financial Services - 0.0% | |||
Axis Energy Services, LLC Class A (c) | 8,127 | 3 | |
Insurance - 0.1% | |||
Arthur J. Gallagher & Co. | 67,600 | 10,049 | |
TOTAL FINANCIALS | 27,110 | ||
HEALTH CARE - 0.6% | |||
Biotechnology - 0.0% | |||
Regeneron Pharmaceuticals, Inc. (m) | 900 | 545 | |
Health Care Providers & Services - 0.3% | |||
HCA Holdings, Inc. | 84,900 | 20,607 | |
Humana, Inc. | 31,400 | 12,219 | |
Rotech Healthcare, Inc. (c)(m) | 129,242 | 1,345 | |
UnitedHealth Group, Inc. | 43,000 | 16,802 | |
50,973 | |||
Life Sciences Tools & Services - 0.3% | |||
Charles River Laboratories International, Inc. (m) | 17,600 | 7,263 | |
IQVIA Holdings, Inc. (m) | 73,200 | 17,534 | |
Thermo Fisher Scientific, Inc. | 32,800 | 18,740 | |
43,537 | |||
TOTAL HEALTH CARE | 95,055 | ||
INDUSTRIALS - 0.4% | |||
Air Freight & Logistics - 0.0% | |||
GXO Logistics, Inc. (m) | 83,900 | 6,581 | |
Airlines - 0.0% | |||
Air Canada (m) | 182,000 | 3,324 | |
Building Products - 0.1% | |||
Builders FirstSource, Inc. (m) | 134,500 | 6,959 | |
Carrier Global Corp. | 183,000 | 9,472 | |
16,431 | |||
Commercial Services & Supplies - 0.0% | |||
Novus Holdings Ltd. | 48,111 | 8 | |
Electrical Equipment - 0.0% | |||
Array Technologies, Inc. | 500 | 9 | |
Machinery - 0.0% | |||
Allison Transmission Holdings, Inc. | 122,400 | 4,323 | |
Professional Services - 0.1% | |||
ASGN, Inc. (m) | 84,800 | 9,594 | |
Road & Rail - 0.1% | |||
XPO Logistics, Inc. (m) | 83,900 | 6,677 | |
Trading Companies & Distributors - 0.1% | |||
Penhall Acquisition Co.: | |||
Class A (c)(m) | 11,553 | 1,598 | |
Class B (c)(m) | 3,850 | 532 | |
United Rentals, Inc. (m) | 33,870 | 11,886 | |
14,016 | |||
Transportation Infrastructure - 0.0% | |||
Tricer Holdco SCA: | |||
Class A1 (b)(c)(m) | 403,760 | 0 | |
Class A2 (b)(c)(m) | 403,760 | 0 | |
Class A3 (b)(c)(m) | 403,760 | 0 | |
Class A4 (b)(c)(m) | 403,760 | 0 | |
Class A5 (b)(c)(m) | 403,760 | 0 | |
Class A6 (b)(c)(m) | 403,760 | 0 | |
Class A7 (b)(c)(m) | 403,760 | 0 | |
Class A8 (b)(c)(m) | 403,760 | 0 | |
Class A9 (b)(c)(m) | 403,760 | 0 | |
0 | |||
TOTAL INDUSTRIALS | 60,963 | ||
INFORMATION TECHNOLOGY - 1.1% | |||
Electronic Equipment & Components - 0.1% | |||
CDW Corp. | 51,000 | 9,283 | |
Zebra Technologies Corp. Class A (m) | 28,000 | 14,432 | |
23,715 | |||
IT Services - 0.3% | |||
Global Payments, Inc. | 102,700 | 16,183 | |
GoDaddy, Inc. (m) | 95,100 | 6,628 | |
MasterCard, Inc. Class A | 19,500 | 6,780 | |
PayPal Holdings, Inc. (m) | 27,300 | 7,104 | |
Visa, Inc. Class A | 29,900 | 6,660 | |
43,355 | |||
Semiconductors & Semiconductor Equipment - 0.2% | |||
Lam Research Corp. | 32,400 | 18,440 | |
Microchip Technology, Inc. | 63,700 | 9,777 | |
ON Semiconductor Corp. (m) | 201,800 | 9,236 | |
37,453 | |||
Software - 0.5% | |||
Adobe, Inc. (m) | 47,400 | 27,289 | |
Microsoft Corp. | 73,900 | 20,834 | |
Palo Alto Networks, Inc. (m) | 36,000 | 17,244 | |
SS&C Technologies Holdings, Inc. | 162,539 | 11,280 | |
76,647 | |||
TOTAL INFORMATION TECHNOLOGY | 181,170 | ||
MATERIALS - 0.3% | |||
Chemicals - 0.1% | |||
CF Industries Holdings, Inc. | 225,700 | 12,599 | |
The Chemours Co. LLC | 403,410 | 11,723 | |
24,322 | |||
Containers & Packaging - 0.1% | |||
Berry Global Group, Inc. (m) | 207,500 | 12,633 | |
WestRock Co. | 234,700 | 11,695 | |
24,328 | |||
Metals & Mining - 0.1% | |||
Algoma Steel GP (c)(m) | 151,792 | 2 | |
Algoma Steel SCA (c)(m) | 151,792 | 12 | |
Elah Holdings, Inc. (m) | 517 | 54 | |
First Quantum Minerals Ltd. | 595,000 | 11,016 | |
11,084 | |||
TOTAL MATERIALS | 59,734 | ||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
NRG Energy, Inc. | 275,800 | 11,261 | |
PG&E Corp. (m) | 756,168 | 7,259 | |
Portland General Electric Co. | 13,962 | 656 | |
19,176 | |||
TOTAL COMMON STOCKS (Cost $538,613) | 916,034 | ||
Nonconvertible Preferred Stocks - 0.0% | |||
Shares | Value ($) (000s) | ||
CONSUMER DISCRETIONARY - 0.0% | |||
Auto Components - 0.0% | |||
Exide Technologies (c)(m) | 624 | 581 | |
INDUSTRIALS - 0.0% | |||
Transportation Infrastructure - 0.0% | |||
Tricer Holdco SCA (b)(c)(m) | 193,792,711 | 65 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $7,489) | 646 | ||
Bank Loan Obligations - 1.4% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
COMMUNICATION SERVICES - 0.2% | |||
Diversified Telecommunication Services - 0.1% | |||
Connect Finco SARL Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 12/12/26 (g)(h)(n) | 5,383 | 5,385 | |
Frontier Communications Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 5/1/28 (g)(h)(n) | 2,691 | 2,685 | |
Securus Technologies Holdings Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.1934% 11/1/24 (g)(h)(n) | 4,236 | 4,026 | |
Zayo Group Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.0841% 3/9/27 (g)(h)(n) | 4,347 | 4,306 | |
16,402 | |||
Media - 0.1% | |||
Nexstar Broadcasting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 2.586% 9/19/26 (g)(h)(n) | 2,338 | 2,335 | |
Univision Communications, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 5/6/28 (h)(n)(o) | 3,580 | 3,572 | |
5,907 | |||
Wireless Telecommunication Services - 0.0% | |||
Intelsat Jackson Holdings SA Tranche DD 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.3917% 7/13/22 (g)(h)(n)(p) | 5,633 | 5,666 | |
TOTAL COMMUNICATION SERVICES | 27,975 | ||
CONSUMER DISCRETIONARY - 0.2% | |||
Auto Components - 0.0% | |||
Midas Intermediate Holdco II LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.750% 7.5% 12/16/25 (g)(h)(n) | 506 | 481 | |
Diversified Consumer Services - 0.0% | |||
KUEHG Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.25% 8/22/25 (g)(h)(n) | 3,640 | 3,638 | |
Sotheby's Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 5% 1/15/27 (g)(h)(n) | 6,676 | 6,693 | |
10,331 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
Bally's Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 8/6/28 (n)(o) | 7,040 | 7,035 | |
Travelport Finance Luxembourg SARL 1LN, term loan: | |||
3 month U.S. LIBOR + 2.500% 9.75% 2/28/25 (g)(h)(n) | 309 | 320 | |
3 month U.S. LIBOR + 6.250% 6.8815% 5/29/26 (g)(h)(n) | 5,694 | 4,880 | |
12,235 | |||
Specialty Retail - 0.1% | |||
Michaels Companies, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 5% 4/15/28 (g)(h)(n) | 2,703 | 2,704 | |
Wand NewCo 3, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.0841% 2/5/26 (g)(h)(n) | 11,180 | 11,073 | |
13,777 | |||
TOTAL CONSUMER DISCRETIONARY | 36,824 | ||
ENERGY - 0.0% | |||
Energy Equipment & Services - 0.0% | |||
Forbes Energy Services LLC Tranche B, term loan 0% (c)(f)(g)(n) | 1,532 | 0 | |
Oil, Gas & Consumable Fuels - 0.0% | |||
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 8% 8/1/23 (g)(h)(n) | 833 | 821 | |
Mesquite Energy, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (c)(f)(h)(n) | 3,423 | 0 | |
term loan 3 month U.S. LIBOR + 0.000% 0% (c)(f)(h)(n) | 1,476 | 0 | |
821 | |||
TOTAL ENERGY | 821 | ||
FINANCIALS - 0.1% | |||
Capital Markets - 0.0% | |||
Citadel Securities LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.5841% 2/27/28 (g)(h)(n) | 5,348 | 5,297 | |
Diversified Financial Services - 0.0% | |||
New Cotai LLC 1LN, term loan 3 month U.S. LIBOR + 12.000% 14% 9/9/25 (c)(g)(h)(n) | 676 | 676 | |
Insurance - 0.1% | |||
Alliant Holdings Intermediate LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.25% 11/5/27 (g)(h)(n) | 6,496 | 6,498 | |
TOTAL FINANCIALS | 12,471 | ||
HEALTH CARE - 0.3% | |||
Health Care Equipment & Supplies - 0.1% | |||
CPI Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8341% 11/4/26 (g)(h)(n) | 355 | 354 | |
Mozart Borrower LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 9/30/28 (h)(n)(o) | 5,980 | 5,950 | |
6,304 | |||
Health Care Providers & Services - 0.2% | |||
Gainwell Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 10/1/27 (g)(h)(n) | 9,826 | 9,840 | |
Phoenix Newco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8/10/28 (h)(n)(o) | 3,335 | 3,336 | |
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.0841% 6/13/26 (g)(h)(n) | 26,009 | 25,952 | |
39,128 | |||
Pharmaceuticals - 0.0% | |||
Valeant Pharmaceuticals International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.0841% 6/1/25 (g)(h)(n) | 844 | 842 | |
TOTAL HEALTH CARE | 46,274 | ||
INDUSTRIALS - 0.2% | |||
Air Freight & Logistics - 0.0% | |||
Dynasty Acquisition Co., Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6315% 4/8/26 (g)(h)(n) | 1,525 | 1,490 | |
Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6315% 4/4/26 (g)(h)(n) | 820 | 801 | |
2,291 | |||
Airlines - 0.1% | |||
Air Canada Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4.25% 8/11/28 (g)(h)(n) | 4,230 | 4,244 | |
SkyMiles IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 10/20/27 (g)(h)(n) | 2,095 | 2,227 | |
6,471 | |||
Building Products - 0.1% | |||
Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.75% 5/17/28 (g)(h)(n) | 11,431 | 11,405 | |
Commercial Services & Supplies - 0.0% | |||
Madison IAQ LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 6/21/28 (g)(h)(n) | 1,420 | 1,418 | |
Sabert Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/10/26 (g)(h)(n) | 4,654 | 4,660 | |
6,078 | |||
Construction & Engineering - 0.0% | |||
SRS Distribution, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 6/4/28 (g)(h)(n) | 3,095 | 3,094 | |
TOTAL INDUSTRIALS | 29,339 | ||
INFORMATION TECHNOLOGY - 0.3% | |||
Electronic Equipment & Components - 0.0% | |||
DG Investment Intermediate Holdings, Inc.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 3/31/28 (g)(h)(n) | 825 | 828 | |
Tranche DD 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.4425% 3/31/28 (g)(h)(n)(p) | 173 | 173 | |
1,001 | |||
IT Services - 0.1% | |||
Acuris Finance U.S., Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.5% 2/16/28 (g)(h)(n) | 603 | 604 | |
Camelot Finance SA Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.0841% 10/31/26 (g)(h)(n) | 678 | 676 | |
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 0.000% 2.88% 5/31/25 (f)(g)(h)(n) | 8,143 | 6,872 | |
Hunter U.S. Bidco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.75% 8/19/28 (g)(h)(n) | 8,450 | 8,482 | |
16,634 | |||
Software - 0.2% | |||
Boxer Parent Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8815% 10/2/25 (g)(h)(n) | 19,153 | 19,037 | |
ConnectWise LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 9/24/28 (h)(n)(o) | 1,660 | 1,656 | |
McAfee LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.8368% 9/29/24 (g)(h)(n) | 2,292 | 2,292 | |
Polaris Newco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 4.5% 6/2/28 (g)(h)(n) | 3,185 | 3,191 | |
Proofpoint, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 6/9/28 (g)(h)(n) | 3,105 | 3,088 | |
RealPage, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.75% 4/22/28 (g)(h)(n) | 3,105 | 3,094 | |
UKG, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 6.750% 7.5% 5/3/27 (g)(h)(n) | 1,430 | 1,453 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4% 5/4/26 (g)(h)(n) | 6,737 | 6,746 | |
VS Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.0841% 2/28/27 (g)(h)(n) | 1,294 | 1,292 | |
41,849 | |||
TOTAL INFORMATION TECHNOLOGY | 59,484 | ||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 9/21/28 (h)(n)(o) | 1,710 | 1,708 | |
W.R. Grace Holding LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8/12/28 (h)(n)(o) | 1,290 | 1,294 | |
3,002 | |||
Containers & Packaging - 0.0% | |||
Kloeckner Pentaplast of America, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.25% 2/12/26 (g)(h)(n) | 796 | 797 | |
TOTAL MATERIALS | 3,799 | ||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
PG&E Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.5% 6/23/25 (g)(h)(n) | 16,802 | 16,503 | |
TOTAL BANK LOAN OBLIGATIONS (Cost $238,273) | 233,490 | ||
Fixed-Income Funds - 24.1% | |||
Shares | Value ($) (000s) | ||
Fidelity Emerging Markets Debt Central Fund (q) | 282,040,672 | 2,572,211 | |
Fidelity Floating Rate Central Fund (q) | 14,752,363 | 1,488,513 | |
Fidelity Mortgage Backed Securities Central Fund (q) | 194 | 22 | |
TOTAL FIXED-INCOME FUNDS (Cost $4,168,406) | 4,060,746 | ||
Preferred Securities - 4.1% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
ENERGY - 0.5% | |||
Oil, Gas & Consumable Fuels - 0.5% | |||
DCP Midstream Partners LP 7.375% (g)(r) | 8,965 | 8,718 | |
Energy Transfer LP: | |||
6.25% (g)(r) | 40,712 | 36,425 | |
6.625% (g)(r) | 15,640 | 15,210 | |
MPLX LP 6.875% (g)(r) | 18,000 | 18,270 | |
Repsol International Finance BV 4.247% (g)(r) | EUR | 300 | 381 |
Summit Midstream Partners LP 9.5% (g)(r) | 1,711 | 1,420 | |
Total SA 2.125% (Reg. S) (g)(r) | EUR | 2,922 | 3,309 |
83,733 | |||
FINANCIALS - 3.6% | |||
Banks - 3.2% | |||
Bank of America Corp.: | |||
5.2% (g)(r) | 48,090 | 49,473 | |
5.875% (g)(r) | 60,475 | 69,023 | |
6.25% (g)(r) | 18,480 | 20,328 | |
Citigroup, Inc.: | |||
4.7% (g)(r) | 8,755 | 8,952 | |
5% (g)(r) | 36,455 | 38,076 | |
5.9% (g)(r) | 25,875 | 26,975 | |
5.95% (g)(r) | 46,925 | 48,919 | |
6.3% (g)(r) | 4,120 | 4,448 | |
Huntington Bancshares, Inc. 5.7% (g)(r) | 7,660 | 7,844 | |
JPMorgan Chase & Co.: | |||
3 month U.S. LIBOR + 3.320% 3.4649% (g)(h)(r) | 30,810 | 30,926 | |
3 month U.S. LIBOR + 3.800% 3.9258% (g)(h)(r) | 12,280 | 12,294 | |
4% (g)(r) | 19,100 | 19,181 | |
4.6% (g)(r) | 13,385 | 13,686 | |
5% (g)(r) | 18,675 | 19,492 | |
6% (g)(r) | 54,840 | 57,856 | |
6.125% (g)(r) | 12,865 | 13,846 | |
6.75% (g)(r) | 6,270 | 6,881 | |
Wells Fargo & Co.: | |||
5.875% (g)(r) | 36,775 | 40,986 | |
5.9% (g)(r) | 46,445 | 49,986 | |
539,172 | |||
Capital Markets - 0.4% | |||
Goldman Sachs Group, Inc.: | |||
4.4% (g)(r) | 4,530 | 4,683 | |
4.95% (g)(r) | 7,885 | 8,358 | |
5% (g)(r) | 50,754 | 51,262 | |
64,303 | |||
Diversified Financial Services - 0.0% | |||
OEC Finance Ltd. 7.5% pay-in-kind (d)(r) | 1,056 | 85 | |
TOTAL FINANCIALS | 603,560 | ||
TOTAL PREFERRED SECURITIES (Cost $660,202) | 687,293 | ||
Money Market Funds - 6.9% | |||
Shares | Value ($) (000s) | ||
Fidelity Cash Central Fund 0.06% (s) | 1,005,291,828 | 1,005,493 | |
Fidelity Securities Lending Cash Central Fund 0.06% (s)(t) | 153,288,301 | 153,304 | |
TOTAL MONEY MARKET FUNDS (Cost $1,158,754) | 1,158,797 | ||
TOTAL INVESTMENT IN SECURITIES - 103.9% (Cost $16,869,622) | 17,512,685 |
NET OTHER ASSETS (LIABILITIES) - (3.9)% | (658,667) |
NET ASSETS - 100.0% | 16,854,018 |
TBA Sale Commitments | ||
Principal Amount (a) (000s) | Value ($) (000s) | |
Ginnie Mae | ||
3.5% 10/1/51 | (10,800) | (11,358) |
3.5% 10/1/51 | (10,800) | (11,358) |
3.5% 10/1/51 | (10,850) | (11,410) |
TOTAL GINNIE MAE | (34,126) | |
Uniform Mortgage Backed Securities | ||
2.5% 10/1/51 | (1,800) | (1,856) |
2.5% 10/1/51 | (1,800) | (1,856) |
2.5% 10/1/51 | (450) | (464) |
2.5% 10/1/51 | (3,150) | (3,248) |
2.5% 10/1/51 | (3,950) | (4,073) |
2.5% 10/1/51 | (2,050) | (2,114) |
3.5% 10/1/51 | (2,300) | (2,434) |
3.5% 10/1/51 | (2,300) | (2,434) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (18,479) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $52,593) | (52,605) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) (000s) | Value ($) (000s) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 1,601 | Dec 2021 | 210,707 | (3,226) | (3,226) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 998 | Dec 2021 | 219,615 | (142) | (142) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 404 | Dec 2021 | 49,588 | (364) | (364) |
TOTAL FUTURES CONTRACTS | (3,732) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 2.9% |
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) (000s) | ||
EUR | 10,273 | USD | 11,885 | CIBC World Markets | 10/01/21 | 15 |
EUR | 29,894 | USD | 34,712 | State Street Bank | 10/01/21 | (84) |
CAD | 33,272 | USD | 26,093 | Hsbc Bank Plc | 10/04/21 | 176 |
EUR | 22,922 | USD | 26,905 | Barclays Bank PLC | 11/18/21 | (330) |
EUR | 3,395 | USD | 3,989 | Brown Brothers Harriman & Co. | 11/18/21 | (53) |
EUR | 6,218 | USD | 7,324 | Hsbc Bank Plc | 11/18/21 | (115) |
EUR | 24,088 | USD | 28,222 | Hsbc Bank Plc | 11/18/21 | (295) |
EUR | 17,517 | USD | 20,730 | Morgan Stanley | 11/18/21 | (422) |
EUR | 3,387 | USD | 4,021 | National Australia Bank | 11/18/21 | (94) |
EUR | 3,624 | USD | 4,231 | National Australia Bank | 11/18/21 | (29) |
EUR | 14,977 | USD | 17,599 | State Street Bank | 11/18/21 | (235) |
GBP | 2,923 | USD | 3,951 | Morgan Stanley | 11/18/21 | (12) |
USD | 10,096 | AUD | 13,831 | National Australia Bank | 11/18/21 | 94 |
USD | 6,683 | AUD | 9,205 | State Street Bank | 11/18/21 | 27 |
USD | 162,699 | CAD | 203,995 | BNP Paribas | 11/18/21 | 1,652 |
USD | 28,112 | CAD | 35,850 | Hsbc Bank Plc | 11/18/21 | (190) |
USD | 149,173 | EUR | 127,085 | Barclays Bank PLC | 11/18/21 | 1,833 |
USD | 12,952 | EUR | 11,185 | CIBC World Markets | 11/18/21 | (16) |
USD | 3,741 | EUR | 3,154 | CIBC World Markets | 11/18/21 | 85 |
USD | 40,785 | EUR | 34,375 | Hsbc Bank Plc | 11/18/21 | 932 |
USD | 22,095 | EUR | 18,874 | Hsbc Bank Plc | 11/18/21 | 213 |
USD | 150,222 | EUR | 127,975 | JPMorgan Chase Bank, N.A. | 11/18/21 | 1,850 |
USD | 16,477 | EUR | 13,975 | JPMorgan Chase Bank, N.A. | 11/18/21 | 275 |
USD | 400,551 | EUR | 341,268 | Morgan Stanley | 11/18/21 | 4,893 |
USD | 15,620 | EUR | 13,323 | Morgan Stanley | 11/18/21 | 174 |
USD | 200,298 | EUR | 170,634 | Royal Bank Of Canada | 11/18/21 | 2,469 |
USD | 31,268 | EUR | 26,710 | Royal Bank Of Canada | 11/18/21 | 301 |
USD | 19,897 | EUR | 16,803 | State Street Bank | 11/18/21 | 416 |
USD | 34,789 | EUR | 29,933 | State Street Bank | 11/18/21 | 86 |
USD | 110,007 | GBP | 79,643 | Barclays Bank PLC | 11/18/21 | 2,693 |
USD | 25,988 | GBP | 19,020 | CIBC World Markets | 11/18/21 | 359 |
USD | 180,349 | JPY | 19,961,515 | JPMorgan Chase Bank, N.A. | 11/18/21 | 935 |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | 17,603 | |||||
Unrealized Appreciation | 19,478 | |||||
Unrealized Depreciation | (1,875) |
Interest Rate Swaps | ||||||||||
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount (000s)(2) | Value ($) (000s) | Upfront Premium Received/ (Paid) ($) (000s)(3) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
1.25% | Semi - annual | 3-month LIBOR(4) | Quarterly | LCH | Dec 2026 | 5,740 | (54) | 0 | (54) | |
1.75% | Semi - annual | 3-month LIBOR(4) | Quarterly | LCH | Dec 2031 | 2,212 | (45) | 0 | (45) | |
2% | Semi - annual | 3-month LIBOR(4) | Quarterly | LCH | Dec 2051 | 408 | (18) | 0 | (18) | |
TOTAL INTEREST RATE SWAPS | (117) | 0 | (117) |
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted
(3)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).
(4)Represents floating rate.
Currency Abbreviations
AUD | - | Australian dollar |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
JPY | - | Japanese yen |
USD | - | U.S. dollar |
Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
Legend
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | 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 $30,984,000 or 0.2% 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 $3,436,977,000 or 20.4% of net assets. |
(e) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(f) | Non-income producing - Security is in default. |
(g) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(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 was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $3,063,000. |
(j) | 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 $303,000. |
(k) | Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $204,000. |
(l) | Security or a portion of the security is on loan at period end. |
(m) | Non-income producing |
(n) | 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. |
(o) | The coupon rate will be determined upon settlement of the loan after period end. |
(p) | 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 $952,000 and $958,000, respectively. |
(q) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(r) | Security is perpetual in nature with no stated maturity date. |
(s) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(t) | Investment made with cash collateral received from securities on loan. |
Additional information on each restricted holding is as follows: | ||
Security | Acquisition Date | Acquisition Cost ($) (000s) |
Chesapeake Energy Corp. | 2/10/21 | 151 |
Mesquite Energy, Inc. 15% 7/15/23 | 11/05/20 - 7/15/21 | 2,334 |
Mesquite Energy, Inc. 15% 7/15/23 | 7/10/20 - 7/15/21 | 1,353 |
New Cotai LLC/New Cotai Capital Corp. | 9/11/20 | 11,111 |
Southeastern Grocers, Inc. | 6/01/18 | 4,108 |
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
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate (Amounts in thousands) | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | %ownership, end of period |
Fidelity Cash Central Fund 0.06% | 449,606 | 4,276,321 | 3,720,436 | 356 | 2 | - | 1,005,493 | 1.5% |
Fidelity Emerging Markets Debt Central Fund | 2,402,741 | 277,597 | 43,967 | 77,532 | (880) | (63,280) | 2,572,211 | 93.7% |
Fidelity Floating Rate Central Fund | 1,336,213 | 133,494 | 7,000 | 42,025 | 19 | 25,787 | 1,488,513 | 53.7% |
Fidelity Mortgage Backed Securities Central Fund | 29 | 38,684 | 38,599 | 23 | (92) | - | 22 | 0.0% |
Fidelity Securities Lending Cash Central Fund 0.06% | 331 | 2,958,144 | 2,805,171 | 147 | - | - | 153,304 | 0.4% |
Total | 4,188,920 | 7,684,240 | 6,615,173 | 120,083 | (951) | (37,493) | 5,219,543 |
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.
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 inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
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)
Valuation techniques used to value investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing 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 any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities.Corporate Bonds, U.S. Government and Government Agency Obligations, Foreign Government and Government Agency Obligations, Bank Loan Obligations and Preferred Securities 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.U.S. Government Agency - Mortgage Securities and Commercial 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.When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. 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.
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.
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.
The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
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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