Quarterly Holdings Report
for
Fidelity Advisor® Strategic Income Fund
March 31, 2023
SI-NPRT1-0523
1.799881.119
Corporate Bonds - 32.9% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Convertible Bonds - 0.2% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Hotels, Restaurants & Leisure - 0.0% | |||
New Cotai LLC 5% 2/24/27 (b) | 2,687 | 4,857 | |
ENERGY - 0.2% | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Mesquite Energy, Inc. 15% 7/15/23 (b)(c) | 1,457 | 7,962 | |
Mesquite Energy, Inc. 15% 7/15/23 (b)(c) | 2,515 | 13,743 | |
21,705 | |||
TOTAL CONVERTIBLE BONDS | 26,562 | ||
Nonconvertible Bonds - 32.7% | |||
!UNKNOWN - 0.0% | |||
!UNKNOWN - 0.0% | |||
MGIC Investment Corp. 5.25% 8/15/28 | 4,725 | 4,491 | |
COMMUNICATION SERVICES - 4.7% | |||
Diversified Telecommunication Services - 1.9% | |||
Altice France SA: | |||
5.125% 7/15/29(d) | 38,465 | 28,945 | |
5.5% 1/15/28(d) | 13,345 | 10,776 | |
5.5% 10/15/29(d) | 28,170 | 21,528 | |
8.125% 2/1/27(d) | 4,495 | 4,161 | |
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d) | 21,480 | 19,225 | |
Cablevision Lightpath LLC: | |||
3.875% 9/15/27(d) | 3,300 | 2,656 | |
5.625% 9/15/28(d) | 2,210 | 1,525 | |
Cogent Communications Group, Inc. 7% 6/15/27 (d) | 2,785 | 2,761 | |
Frontier Communications Holdings LLC: | |||
5% 5/1/28(d) | 11,730 | 10,179 | |
5.875% 10/15/27(d) | 6,300 | 5,727 | |
8.75% 5/15/30(d) | 2,785 | 2,774 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.: | |||
4.75% 4/30/27(d) | 2,800 | 2,392 | |
6% 2/15/28(d) | 2,355 | 1,742 | |
Qwest Corp. 7.25% 9/15/25 | 955 | 891 | |
Sable International Finance Ltd. 5.75% 9/7/27 (d) | 11,004 | 10,253 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 53,897 | 57,914 | |
8.75% 3/15/32 | 15,023 | 18,313 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d) | 9,200 | 8,464 | |
Virgin Media Finance PLC 5% 7/15/30 (d) | 14,025 | 11,592 | |
Windstream Escrow LLC 7.75% 8/15/28 (d) | 24,965 | 20,446 | |
Zayo Group Holdings, Inc. 4% 3/1/27 (d) | 9,545 | 7,254 | |
249,518 | |||
Entertainment - 0.0% | |||
Roblox Corp. 3.875% 5/1/30 (d) | 4,175 | 3,580 | |
Media - 2.7% | |||
Altice Financing SA: | |||
5% 1/15/28(d) | 8,025 | 6,526 | |
5.75% 8/15/29(d) | 11,895 | 9,457 | |
Block Communications, Inc. 4.875% 3/1/28 (d) | 4,405 | 3,806 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.25% 2/1/31(d) | 10,205 | 8,344 | |
4.5% 8/15/30(d) | 16,805 | 14,200 | |
4.5% 5/1/32 | 6,745 | 5,516 | |
4.75% 3/1/30(d) | 51,010 | 44,195 | |
5% 2/1/28(d) | 22,835 | 21,065 | |
5.375% 6/1/29(d) | 34,085 | 31,299 | |
6.375% 9/1/29(d) | 5,815 | 5,553 | |
7.375% 3/1/31(d) | 13,860 | 13,643 | |
Clear Channel International BV 6.625% 8/1/25 (d) | 9,800 | 9,536 | |
Clear Channel Outdoor Holdings, Inc. 7.5% 6/1/29 (d) | 5,745 | 4,083 | |
CSC Holdings LLC: | |||
4.5% 11/15/31(d) | 15,995 | 11,533 | |
5.375% 2/1/28(d) | 16,350 | 13,395 | |
6.5% 2/1/29(d) | 23,985 | 19,744 | |
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d)(e) | 24,690 | 1,358 | |
DISH DBS Corp. 5.75% 12/1/28 (d) | 6,925 | 5,168 | |
DISH Network Corp. 11.75% 11/15/27 (d) | 14,120 | 13,696 | |
Gannett Holdings LLC 6% 11/1/26 (d) | 4,000 | 3,360 | |
Gray Escrow II, Inc. 5.375% 11/15/31 (d) | 8,145 | 5,408 | |
LCPR Senior Secured Financing DAC: | |||
5.125% 7/15/29(d) | 7,310 | 6,158 | |
6.75% 10/15/27(d) | 6,107 | 5,691 | |
Nexstar Broadcasting, Inc.: | |||
4.75% 11/1/28(d) | 13,395 | 11,913 | |
5.625% 7/15/27(d) | 14,270 | 13,186 | |
Radiate Holdco LLC/Radiate Financial Service Ltd. 4.5% 9/15/26 (d) | 4,205 | 3,290 | |
Scripps Escrow II, Inc. 3.875% 1/15/29 (d) | 1,655 | 1,299 | |
Sirius XM Radio, Inc.: | |||
3.875% 9/1/31(d) | 5,645 | 4,389 | |
4% 7/15/28(d) | 4,890 | 4,200 | |
5% 8/1/27(d) | 4,610 | 4,316 | |
Townsquare Media, Inc. 6.875% 2/1/26 (d) | 3,305 | 3,127 | |
Univision Communications, Inc.: | |||
4.5% 5/1/29(d) | 5,760 | 4,838 | |
7.375% 6/30/30(d) | 8,200 | 7,753 | |
Videotron Ltd. 5.125% 4/15/27 (d) | 7,325 | 7,070 | |
VZ Secured Financing BV 5% 1/15/32 (d) | 11,130 | 9,030 | |
Ziggo Bond Co. BV: | |||
5.125% 2/28/30(d) | 3,375 | 2,714 | |
6% 1/15/27(d) | 7,930 | 7,316 | |
Ziggo BV 4.875% 1/15/30 (d) | 4,805 | 4,096 | |
351,271 | |||
Wireless Telecommunication Services - 0.1% | |||
Intelsat Jackson Holdings SA 6.5% 3/15/30 (d) | 11,675 | 10,703 | |
Millicom International Cellular SA 4.5% 4/27/31 (d) | 1,040 | 828 | |
Sprint Corp. 7.625% 3/1/26 | 3,615 | 3,823 | |
15,354 | |||
TOTAL COMMUNICATION SERVICES | 619,723 | ||
CONSUMER DISCRETIONARY - 4.6% | |||
Auto Components - 0.2% | |||
Adient Global Holdings Ltd. 7% 4/15/28 (d) | 2,805 | 2,884 | |
Allison Transmission, Inc. 5.875% 6/1/29 (d) | 4,830 | 4,702 | |
Dana, Inc. 4.5% 2/15/32 | 4,150 | 3,274 | |
Exide Technologies: | |||
11% 10/31/24 pay-in-kind(b)(d)(e)(f) | 1,280 | 0 | |
11% 10/31/24 pay-in-kind(b)(d)(e)(f) | 632 | 285 | |
Hertz Corp.: | |||
4.625% 12/1/26(d) | 2,350 | 2,128 | |
5% 12/1/29(d) | 4,560 | 3,777 | |
5.5% 10/15/24(b)(d)(e) | 6,540 | 147 | |
6% 1/15/28(b)(d)(e) | 5,785 | 340 | |
6.25% 12/31/49(b)(e) | 6,775 | 8 | |
7.125% 8/1/26(b)(d)(e) | 6,315 | 505 | |
Nesco Holdings II, Inc. 5.5% 4/15/29 (d) | 7,155 | 6,473 | |
PECF USS Intermediate Holding III Corp. 8% 11/15/29 (d) | 2,515 | 1,670 | |
26,193 | |||
Automobiles - 0.2% | |||
Ford Motor Co.: | |||
3.25% 2/12/32 | 12,660 | 9,953 | |
6.1% 8/19/32 | 5,815 | 5,616 | |
McLaren Finance PLC 7.5% 8/1/26 (d) | 3,860 | 3,175 | |
Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 10.1636% 10/15/26 (d)(f)(g) | 14,000 | 13,809 | |
32,553 | |||
Broadline Retail - 0.1% | |||
Angi Group LLC 3.875% 8/15/28 (d) | 3,385 | 2,572 | |
Macy's Retail Holdings LLC: | |||
5.875% 3/15/30(d) | 2,925 | 2,596 | |
6.125% 3/15/32(d) | 2,820 | 2,482 | |
Millennium Escrow Corp. 6.625% 8/1/26 (d) | 5,650 | 3,673 | |
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d) | 6,180 | 4,672 | |
15,995 | |||
Diversified Consumer Services - 0.2% | |||
Adtalem Global Education, Inc. 5.5% 3/1/28 (d) | 4,235 | 4,018 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d) | 5,300 | 5,142 | |
Service Corp. International 4% 5/15/31 | 5,750 | 5,060 | |
Sotheby's 7.375% 10/15/27 (d) | 2,970 | 2,809 | |
Sotheby's/Bidfair Holdings, Inc. 5.875% 6/1/29 (d) | 4,315 | 3,579 | |
TKC Holdings, Inc. 6.875% 5/15/28 (d) | 6,393 | 5,397 | |
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d) | 4,750 | 4,495 | |
30,500 | |||
Hotels, Restaurants & Leisure - 2.9% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
3.875% 1/15/28(d) | 5,685 | 5,287 | |
4% 10/15/30(d) | 23,490 | 20,143 | |
4.375% 1/15/28(d) | 6,265 | 5,784 | |
Affinity Gaming LLC 6.875% 12/15/27 (d) | 2,520 | 2,248 | |
Bloomin Brands, Inc. / OSI Restaurant Partners LLC 5.125% 4/15/29 (d) | 2,720 | 2,433 | |
Boyd Gaming Corp. 4.75% 6/15/31 (d) | 7,140 | 6,485 | |
Caesars Entertainment, Inc.: | |||
4.625% 10/15/29(d) | 8,375 | 7,324 | |
6.25% 7/1/25(d) | 25,535 | 25,536 | |
7% 2/15/30(d) | 8,450 | 8,598 | |
8.125% 7/1/27(d) | 34,045 | 34,726 | |
Caesars Resort Collection LLC 5.75% 7/1/25 (d) | 8,510 | 8,512 | |
Carnival Corp.: | |||
4% 8/1/28(d) | 14,305 | 12,309 | |
7.625% 3/1/26(d) | 10,595 | 9,674 | |
9.875% 8/1/27(d) | 10,150 | 10,436 | |
10.5% 2/1/26(d) | 7,395 | 7,698 | |
Carnival Holdings (Bermuda) Ltd. 10.375% 5/1/28 (d) | 8,655 | 9,311 | |
CDI Escrow Issuer, Inc. 5.75% 4/1/30 (d) | 2,790 | 2,695 | |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.: | |||
4.625% 1/15/29(d) | 11,750 | 10,313 | |
6.75% 1/15/30(d) | 15,885 | 13,069 | |
Garden SpinCo Corp. 8.625% 7/20/30 (d) | 2,545 | 2,719 | |
Hilton Domestic Operating Co., Inc.: | |||
3.75% 5/1/29(d) | 3,350 | 2,998 | |
4% 5/1/31(d) | 5,020 | 4,396 | |
4.875% 1/15/30 | 11,025 | 10,560 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 | 5,210 | 5,139 | |
Jacobs Entertainment, Inc. 6.75% 2/15/29 (d) | 3,955 | 3,455 | |
McDonald's Corp. 4.25% 3/7/35 (Reg. S) | EUR | 17,433 | 19,411 |
Melco Resorts Finance Ltd.: | |||
5.25% 4/26/26(d) | 5,440 | 4,903 | |
5.75% 7/21/28(d) | 2,710 | 2,333 | |
Merlin Entertainments PLC 5.75% 6/15/26 (d) | 4,580 | 4,344 | |
MGM Resorts International 4.75% 10/15/28 | 6,740 | 6,275 | |
NCL Corp. Ltd. 5.875% 2/15/27 (d) | 5,580 | 5,244 | |
Papa John's International, Inc. 3.875% 9/15/29 (d) | 2,555 | 2,217 | |
Premier Entertainment Sub LLC: | |||
5.625% 9/1/29(d) | 10,245 | 7,562 | |
5.875% 9/1/31(d) | 5,385 | 3,871 | |
Royal Caribbean Cruises Ltd.: | |||
5.375% 7/15/27(d) | 4,165 | 3,710 | |
7.25% 1/15/30(d) | 2,810 | 2,828 | |
8.25% 1/15/29(d) | 12,500 | 13,060 | |
9.25% 1/15/29(d) | 16,510 | 17,469 | |
11.5% 6/1/25(d) | 13,222 | 14,048 | |
11.625% 8/15/27(d) | 5,815 | 6,243 | |
SeaWorld Parks & Entertainment, Inc. 5.25% 8/15/29 (d) | 5,630 | 5,082 | |
Station Casinos LLC 4.625% 12/1/31 (d) | 4,155 | 3,509 | |
Studio City Finance Ltd. 5% 1/15/29 (d) | 3,255 | 2,474 | |
Vail Resorts, Inc. 6.25% 5/15/25 (d) | 3,855 | 3,864 | |
Viking Cruises Ltd. 13% 5/15/25 (d) | 5,740 | 6,063 | |
Voc Escrow Ltd. 5% 2/15/28 (d) | 6,285 | 5,578 | |
Yum! Brands, Inc. 4.625% 1/31/32 | 5,905 | 5,492 | |
377,428 | |||
Household Durables - 0.4% | |||
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 4/1/30 (d) | 4,105 | 3,380 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (d) | 4,370 | 3,296 | |
Century Communities, Inc. 3.875% 8/15/29 (d) | 4,225 | 3,623 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.625% 3/1/24 (d) | 775 | 770 | |
Tempur Sealy International, Inc.: | |||
3.875% 10/15/31(d) | 7,360 | 6,146 | |
4% 4/15/29(d) | 7,905 | 6,955 | |
TopBuild Corp. 3.625% 3/15/29 (d) | 3,030 | 2,592 | |
TRI Pointe Group, Inc./TRI Pointe Holdings, Inc. 5.875% 6/15/24 | 11,770 | 11,711 | |
TRI Pointe Homes, Inc. 5.7% 6/15/28 | 8,715 | 8,386 | |
46,859 | |||
Specialty Retail - 0.5% | |||
Arko Corp. 5.125% 11/15/29 (d) | 4,190 | 3,468 | |
Asbury Automotive Group, Inc.: | |||
4.5% 3/1/28 | 1,987 | 1,808 | |
4.625% 11/15/29(d) | 4,555 | 4,077 | |
4.75% 3/1/30 | 1,980 | 1,772 | |
5% 2/15/32(d) | 4,915 | 4,306 | |
Bath & Body Works, Inc.: | |||
6.625% 10/1/30(d) | 3,355 | 3,271 | |
6.75% 7/1/36 | 8,920 | 7,973 | |
7.5% 6/15/29 | 5,030 | 5,133 | |
Carvana Co.: | |||
4.875% 9/1/29(d) | 10,830 | 4,422 | |
5.875% 10/1/28(d) | 680 | 302 | |
Foot Locker, Inc. 4% 10/1/29 (d) | 2,800 | 2,336 | |
LBM Acquisition LLC 6.25% 1/15/29 (d) | 4,220 | 3,230 | |
LCM Investments Holdings 4.875% 5/1/29 (d) | 3,120 | 2,610 | |
Michaels Companies, Inc. 5.25% 5/1/28 (d) | 6,875 | 5,730 | |
Victoria's Secret & Co. 4.625% 7/15/29 (d) | 10,565 | 8,560 | |
58,998 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Crocs, Inc.: | |||
4.125% 8/15/31(d) | 2,820 | 2,323 | |
4.25% 3/15/29(d) | 4,325 | 3,794 | |
Kontoor Brands, Inc. 4.125% 11/15/29 (d) | 2,420 | 2,077 | |
8,194 | |||
TOTAL CONSUMER DISCRETIONARY | 596,720 | ||
CONSUMER STAPLES - 1.1% | |||
Beverages - 0.1% | |||
Heineken NV 4.125% 3/23/35 (Reg. S) | EUR | 5,862 | 6,503 |
Triton Water Holdings, Inc. 6.25% 4/1/29 (d) | 3,135 | 2,489 | |
8,992 | |||
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 | 4,598 | |
4.625% 1/15/27(d) | 13,797 | 13,343 | |
4.875% 2/15/30(d) | 23,423 | 21,863 | |
C&S Group Enterprises LLC 5% 12/15/28 (d) | 5,155 | 3,975 | |
KeHE Distributors LLC / KeHE Finance Corp. 8.625% 10/15/26 (d) | 4,698 | 4,675 | |
Performance Food Group, Inc.: | |||
4.25% 8/1/29(d) | 3,955 | 3,551 | |
5.5% 10/15/27(d) | 5,345 | 5,225 | |
SEG Holding LLC/SEG Finance Corp. 5.625% 10/15/28 (d) | 6,735 | 6,381 | |
United Natural Foods, Inc. 6.75% 10/15/28 (d) | 4,680 | 4,350 | |
67,961 | |||
Food Products - 0.5% | |||
Chobani LLC/Finance Corp., Inc. 4.625% 11/15/28 (d) | 3,790 | 3,454 | |
Darling Ingredients, Inc. 6% 6/15/30 (d) | 6,615 | 6,593 | |
Lamb Weston Holdings, Inc.: | |||
4.125% 1/31/30(d) | 5,575 | 5,101 | |
4.375% 1/31/32(d) | 2,790 | 2,530 | |
Pilgrim's Pride Corp. 4.25% 4/15/31 | 10,220 | 9,014 | |
Post Holdings, Inc.: | |||
4.5% 9/15/31(d) | 12,110 | 10,658 | |
4.625% 4/15/30(d) | 6,415 | 5,749 | |
5.5% 12/15/29(d) | 11,940 | 11,251 | |
5.75% 3/1/27(d) | 1,713 | 1,672 | |
Simmons Foods, Inc. 4.625% 3/1/29 (d) | 4,295 | 3,490 | |
TreeHouse Foods, Inc. 4% 9/1/28 | 2,250 | 1,989 | |
61,501 | |||
Household Products - 0.0% | |||
Spectrum Brands Holdings, Inc. 3.875% 3/15/31 (d) | 4,310 | 3,525 | |
Personal Products - 0.0% | |||
BellRing Brands, Inc. 7% 3/15/30 (d) | 6,925 | 7,015 | |
TOTAL CONSUMER STAPLES | 148,994 | ||
ENERGY - 4.0% | |||
Energy Equipment & Services - 0.4% | |||
CGG SA 8.75% 4/1/27 (d) | 5,895 | 4,914 | |
Nabors Industries Ltd.: | |||
7.25% 1/15/26(d) | 6,565 | 6,203 | |
7.5% 1/15/28(d) | 5,660 | 5,224 | |
NuStar Logistics LP 6% 6/1/26 | 7,285 | 7,141 | |
Summit Midstream Holdings LLC: | |||
5.75% 4/15/25 | 3,405 | 2,836 | |
8.5%(d)(h) | 4,185 | 4,018 | |
Transocean Titan Finance Ltd. 8.375% 2/1/28 (d) | 5,815 | 5,984 | |
Transocean, Inc. 8.75% 2/15/30 (d) | 5,905 | 6,023 | |
Vier Gas Transport GmbH 4.625% 9/26/32 (Reg. S) | EUR | 3,200 | 3,573 |
45,916 | |||
Multi Industry Energy - 0.0% | |||
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (d) | 6,600 | 6,006 | |
Oil, Gas & Consumable Fuels - 3.6% | |||
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||
5.375% 6/15/29(d) | 4,305 | 4,052 | |
5.75% 1/15/28(d) | 10,640 | 10,214 | |
Centennial Resource Production LLC 5.875% 7/1/29 (d) | 4,055 | 3,781 | |
Cheniere Energy Partners LP: | |||
3.25% 1/31/32 | 4,200 | 3,470 | |
4% 3/1/31 | 9,070 | 8,072 | |
Chesapeake Energy Corp.: | |||
5.875% 2/1/29(d) | 3,115 | 2,965 | |
6.75% 4/15/29(d) | 4,415 | 4,383 | |
7% 10/1/24(b)(e) | 3,985 | 0 | |
8% 1/15/25(b)(e) | 1,955 | 0 | |
8% 6/15/27(b)(e) | 1,240 | 0 | |
Citgo Holding, Inc. 9.25% 8/1/24 (d) | 16,430 | 16,461 | |
Citgo Petroleum Corp.: | |||
6.375% 6/15/26(d) | 4,665 | 4,548 | |
7% 6/15/25(d) | 13,580 | 13,398 | |
CNX Midstream Partners LP 4.75% 4/15/30 (d) | 2,970 | 2,554 | |
CNX Resources Corp.: | |||
6% 1/15/29(d) | 3,200 | 2,992 | |
7.375% 1/15/31(d) | 2,885 | 2,842 | |
Comstock Resources, Inc.: | |||
5.875% 1/15/30(d) | 15,170 | 13,033 | |
6.75% 3/1/29(d) | 8,110 | 7,421 | |
CQP Holdco LP / BIP-V Chinook Holdco LLC 5.5% 6/15/31 (d) | 12,715 | 11,429 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27(d) | 11,025 | 10,622 | |
5.75% 4/1/25 | 2,960 | 2,890 | |
6% 2/1/29(d) | 23,985 | 22,833 | |
CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (d) | 2,450 | 2,282 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25(d) | 9,740 | 9,350 | |
5.75% 2/15/28(d) | 24,505 | 22,487 | |
DCP Midstream Operating LP 5.85% 5/21/43 (d)(f) | 10,780 | 10,530 | |
DT Midstream, Inc.: | |||
4.125% 6/15/29(d) | 4,285 | 3,757 | |
4.375% 6/15/31(d) | 4,285 | 3,733 | |
EG Global Finance PLC 8.5% 10/30/25 (d) | 9,545 | 8,934 | |
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (d) | 10,149 | 10,073 | |
Energy Transfer LP 5.5% 6/1/27 | 12,065 | 12,010 | |
EnLink Midstream LLC 6.5% 9/1/30 (d) | 8,635 | 8,732 | |
Hess Midstream Partners LP: | |||
4.25% 2/15/30(d) | 4,590 | 4,099 | |
5.125% 6/15/28(d) | 6,600 | 6,266 | |
5.5% 10/15/30(d) | 2,775 | 2,580 | |
5.625% 2/15/26(d) | 9,140 | 9,048 | |
Hilcorp Energy I LP/Hilcorp Finance Co. 6.25% 11/1/28 (d) | 7,130 | 6,766 | |
Holly Energy Partners LP/Holly Energy Finance Corp.: | |||
5% 2/1/28(d) | 4,350 | 4,061 | |
6.375% 4/15/27(d) | 2,780 | 2,749 | |
MEG Energy Corp. 7.125% 2/1/27 (d) | 6,490 | 6,620 | |
Mesquite Energy, Inc. 7.25% 12/31/49 (b)(d)(e) | 12,834 | 0 | |
Murphy Oil U.S.A., Inc.: | |||
4.75% 9/15/29 | 4,155 | 3,785 | |
5.625% 5/1/27 | 3,665 | 3,547 | |
New Fortress Energy, Inc.: | |||
6.5% 9/30/26(d) | 11,785 | 10,842 | |
6.75% 9/15/25(d) | 12,840 | 12,359 | |
NGPL PipeCo LLC 4.875% 8/15/27 (d) | 1,800 | 1,744 | |
Occidental Petroleum Corp.: | |||
3.5% 8/15/29 | 3,820 | 3,457 | |
5.875% 9/1/25 | 6,775 | 6,833 | |
6.2% 3/15/40 | 3,565 | 3,584 | |
6.375% 9/1/28 | 6,775 | 7,015 | |
6.45% 9/15/36 | 11,875 | 12,486 | |
6.625% 9/1/30 | 13,550 | 14,270 | |
7.2% 3/15/29 | 2,440 | 2,562 | |
7.5% 5/1/31 | 680 | 750 | |
Parkland Corp.: | |||
4.5% 10/1/29(d) | 4,420 | 3,927 | |
4.625% 5/1/30(d) | 5,540 | 4,925 | |
PBF Holding Co. LLC/PBF Finance Corp.: | |||
6% 2/15/28 | 15,760 | 15,151 | |
7.25% 6/15/25 | 13,580 | 13,482 | |
PDC Energy, Inc. 6.125% 9/15/24 | 1,240 | 1,234 | |
SM Energy Co.: | |||
5.625% 6/1/25 | 4,400 | 4,266 | |
6.625% 1/15/27 | 12,830 | 12,325 | |
6.75% 9/15/26 | 3,175 | 3,114 | |
Southwestern Energy Co.: | |||
5.375% 3/15/30 | 5,630 | 5,293 | |
5.7% 1/23/25(i) | 149 | 149 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 | 5,515 | 5,062 | |
4.5% 4/30/30 | 5,550 | 5,019 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
5.5% 1/15/28(d) | 280 | 256 | |
6% 3/1/27(d) | 2,815 | 2,665 | |
6% 9/1/31(d) | 5,355 | 4,735 | |
7.5% 10/1/25(d) | 5,035 | 5,033 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 4.875% 2/1/31 | 6,345 | 5,937 | |
Teine Energy Ltd. 6.875% 4/15/29 (d) | 4,420 | 4,044 | |
Tennessee Gas Pipeline Co. 7.625% 4/1/37 | 2,585 | 2,932 | |
Unit Corp. 0% 12/1/29 (b) | 1,660 | 0 | |
Venture Global Calcasieu Pass LLC: | |||
3.875% 8/15/29(d) | 3,525 | 3,180 | |
4.125% 8/15/31(d) | 3,525 | 3,097 | |
471,097 | |||
TOTAL ENERGY | 523,019 | ||
FINANCIALS - 4.5% | |||
Banks - 0.8% | |||
AIB Group PLC 2.875% 5/30/31 (Reg. S) (f) | EUR | 5,810 | 5,700 |
Bank of Ireland Group PLC 6.75% 3/1/33 (Reg. S) (f) | EUR | 3,700 | 4,073 |
Barclays PLC 5.262% 1/29/34 (Reg. S) (f) | EUR | 17,448 | 19,218 |
CaixaBank SA 6.25% 2/23/33 (Reg. S) (f) | EUR | 17,900 | 19,739 |
Commerzbank AG 6.5% 12/6/32 (Reg. S) (f) | EUR | 2,700 | 2,894 |
HSBC Holdings PLC Eur Swap Annual 5Y Index + 3.300% 6.364% 11/16/32 (Reg. S) (f)(g) | EUR | 10,572 | 11,946 |
Intesa Sanpaolo SpA 6.184% 2/20/34 (Reg. S) (f) | EUR | 19,266 | 20,477 |
NatWest Group PLC 5.763% 2/28/34 (Reg. S) (f) | EUR | 15,372 | 16,732 |
UniCredit SpA 2.731% 1/15/32 (Reg. S) (f) | EUR | 1,676 | 1,548 |
102,327 | |||
Capital Markets - 0.5% | |||
AssuredPartners, Inc.: | |||
5.625% 1/15/29(d) | 3,905 | 3,374 | |
7% 8/15/25(d) | 2,930 | 2,851 | |
Broadstreet Partners, Inc. 5.875% 4/15/29 (d) | 7,265 | 6,144 | |
Coinbase Global, Inc.: | |||
3.375% 10/1/28(d) | 4,060 | 2,505 | |
3.625% 10/1/31(d) | 4,200 | 2,352 | |
Deutsche Bank AG 4% 6/24/32 (Reg. S) (f) | EUR | 20,600 | 19,324 |
Hightower Holding LLC 6.75% 4/15/29 (d) | 2,870 | 2,430 | |
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (d) | 3,985 | 3,567 | |
Lions Gate Capital Holdings LLC 5.5% 4/15/29 (d) | 4,420 | 2,906 | |
MSCI, Inc.: | |||
3.25% 8/15/33(d) | 4,225 | 3,460 | |
4% 11/15/29(d) | 3,780 | 3,449 | |
UBS Group AG 4.75% 3/17/32 (Reg. S) (f) | EUR | 14,013 | 15,241 |
67,603 | |||
Consumer Finance - 1.6% | |||
Ally Financial, Inc.: | |||
8% 11/1/31 | 53,672 | 56,333 | |
8% 11/1/31 | 16,761 | 17,542 | |
Ford Motor Credit Co. LLC: | |||
3.375% 11/13/25 | 11,600 | 10,873 | |
4% 11/13/30 | 25,360 | 21,549 | |
5.113% 5/3/29 | 6,160 | 5,783 | |
7.35% 11/4/27 | 11,295 | 11,634 | |
OneMain Finance Corp.: | |||
4% 9/15/30 | 3,340 | 2,505 | |
5.375% 11/15/29 | 5,560 | 4,677 | |
6.625% 1/15/28 | 4,415 | 4,048 | |
6.875% 3/15/25 | 30,605 | 29,656 | |
7.125% 3/15/26 | 41,215 | 39,620 | |
204,220 | |||
Diversified Financial Services - 0.8% | |||
Altus Midstream LP 5.875% 6/15/30 (d) | 4,180 | 4,023 | |
Compass Group Diversified Holdings LLC 5% 1/15/32 (d) | 2,765 | 2,238 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.375% 2/1/29 | 6,375 | 5,483 | |
5.25% 5/15/27 | 23,175 | 21,727 | |
6.25% 5/15/26 | 14,625 | 14,392 | |
6.375% 12/15/25 | 18,820 | 18,485 | |
James Hardie International Finance Ltd. 5% 1/15/28 (d) | 5,270 | 4,940 | |
Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. 4.625% 11/1/26 (d) | 2,265 | 2,129 | |
Temasek Financial Ltd. 3.5% 2/15/33 (Reg. S) | EUR | 15,195 | 16,449 |
VMED O2 UK Financing I PLC 4.75% 7/15/31 (d) | 9,930 | 8,512 | |
98,378 | |||
Financial Services - 0.0% | |||
Block, Inc. 3.5% 6/1/31 | 5,745 | 4,718 | |
Insurance - 0.8% | |||
Acrisure LLC / Acrisure Finance, Inc.: | |||
6% 8/1/29(d) | 4,230 | 3,495 | |
7% 11/15/25(d) | 20,290 | 19,016 | |
10.125% 8/1/26(d) | 6,810 | 6,772 | |
Alliant Holdings Intermediate LLC: | |||
4.25% 10/15/27(d) | 6,740 | 6,037 | |
5.875% 11/1/29(d) | 4,180 | 3,525 | |
6.75% 10/15/27(d) | 10,080 | 9,349 | |
6.75% 4/15/28(d) | 5,620 | 5,557 | |
AmWINS Group, Inc. 4.875% 6/30/29 (d) | 4,105 | 3,633 | |
ASR Nederland NV 7% 12/7/43 (Reg. S) (f) | EUR | 26,752 | 30,009 |
HUB International Ltd.: | |||
5.625% 12/1/29(d) | 6,030 | 5,254 | |
7% 5/1/26(d) | 6,980 | 6,860 | |
MAPFRE SA 2.875% 4/13/30 (Reg. S) | EUR | 3,400 | 3,083 |
Sampo Oyj 2.5% 9/3/52 (Reg. S) (f) | EUR | 2,579 | 2,155 |
104,745 | |||
TOTAL FINANCIALS | 581,991 | ||
HEALTH CARE - 2.3% | |||
Biotechnology - 0.0% | |||
Grifols Escrow Issuer SA 4.75% 10/15/28 (d) | 2,795 | 2,288 | |
Health Care Equipment & Supplies - 0.0% | |||
Avantor Funding, Inc. 3.875% 11/1/29 (d) | 2,790 | 2,497 | |
Hologic, Inc. 4.625% 2/1/28 (d) | 2,505 | 2,432 | |
4,929 | |||
Health Care Providers & Services - 1.7% | |||
180 Medical, Inc. 3.875% 10/15/29 (d) | 2,995 | 2,648 | |
Cano Health, Inc. 6.25% 10/1/28 (d) | 1,865 | 1,021 | |
Centene Corp.: | |||
4.25% 12/15/27 | 6,820 | 6,571 | |
4.625% 12/15/29 | 23,795 | 22,373 | |
Community Health Systems, Inc.: | |||
4.75% 2/15/31(d) | 11,430 | 8,438 | |
5.25% 5/15/30(d) | 8,305 | 6,515 | |
5.625% 3/15/27(d) | 4,015 | 3,525 | |
6% 1/15/29(d) | 4,940 | 4,179 | |
6.125% 4/1/30(d) | 10,425 | 6,281 | |
8% 3/15/26(d) | 37,390 | 36,137 | |
DaVita HealthCare Partners, Inc.: | |||
3.75% 2/15/31(d) | 2,075 | 1,637 | |
4.625% 6/1/30(d) | 15,850 | 13,529 | |
HealthEquity, Inc. 4.5% 10/1/29 (d) | 2,950 | 2,621 | |
Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (d) | 7,300 | 7,410 | |
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (d) | 3,250 | 2,759 | |
Molina Healthcare, Inc.: | |||
3.875% 11/15/30(d) | 6,345 | 5,536 | |
3.875% 5/15/32(d) | 5,560 | 4,673 | |
4.375% 6/15/28(d) | 4,690 | 4,363 | |
Option Care Health, Inc. 4.375% 10/31/29 (d) | 3,060 | 2,702 | |
Radiology Partners, Inc. 9.25% 2/1/28 (d) | 9,515 | 5,257 | |
RP Escrow Issuer LLC 5.25% 12/15/25 (d) | 6,200 | 4,697 | |
Tenet Healthcare Corp.: | |||
4.625% 7/15/24 | 1,500 | 1,480 | |
4.625% 9/1/24 | 7,305 | 7,176 | |
4.875% 1/1/26 | 18,260 | 17,901 | |
5.125% 11/1/27 | 10,955 | 10,517 | |
6.125% 10/1/28 | 6,535 | 6,263 | |
6.125% 6/15/30(d) | 11,235 | 11,083 | |
6.25% 2/1/27 | 20,050 | 19,717 | |
227,009 | |||
Health Care Technology - 0.1% | |||
IQVIA, Inc. 5% 5/15/27 (d) | 5,660 | 5,561 | |
Life Sciences Tools & Services - 0.1% | |||
Charles River Laboratories International, Inc.: | |||
3.75% 3/15/29(d) | 5,245 | 4,656 | |
4% 3/15/31(d) | 6,035 | 5,281 | |
4.25% 5/1/28(d) | 2,045 | 1,914 | |
11,851 | |||
Pharmaceuticals - 0.4% | |||
AstraZeneca PLC 3.75% 3/3/32 (Reg. S) | EUR | 12,156 | 13,427 |
Bayer AG 5.375% 3/25/82 (Reg. S) (f) | EUR | 8,400 | 8,346 |
Catalent Pharma Solutions: | |||
3.5% 4/1/30(d) | 2,800 | 2,461 | |
5% 7/15/27(d) | 2,295 | 2,241 | |
Organon & Co. / Organon Foreign Debt Co-Issuer BV: | |||
4.125% 4/30/28(d) | 10,200 | 9,324 | |
5.125% 4/30/31(d) | 8,890 | 7,891 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
4.75% 5/9/27 | 2,775 | 2,590 | |
5.125% 5/9/29 | 2,775 | 2,512 | |
7.875% 9/15/29 | 2,805 | 2,938 | |
51,730 | |||
TOTAL HEALTH CARE | 303,368 | ||
INDUSTRIALS - 4.5% | |||
Aerospace & Defense - 1.4% | |||
Bombardier, Inc.: | |||
6% 2/15/28(d) | 2,815 | 2,741 | |
7.125% 6/15/26(d) | 5,695 | 5,716 | |
7.875% 4/15/27(d) | 13,015 | 13,183 | |
BWX Technologies, Inc. 4.125% 6/30/28 (d) | 6,400 | 5,763 | |
Moog, Inc. 4.25% 12/15/27 (d) | 2,025 | 1,874 | |
Rolls-Royce PLC 5.75% 10/15/27 (d) | 6,560 | 6,535 | |
Spirit Aerosystems, Inc. 7.5% 4/15/25 (d) | 9,205 | 9,205 | |
TransDigm UK Holdings PLC 6.875% 5/15/26 | 21,085 | 20,769 | |
TransDigm, Inc.: | |||
4.625% 1/15/29 | 9,290 | 8,259 | |
5.5% 11/15/27 | 68,140 | 63,881 | |
6.25% 3/15/26(d) | 11,120 | 11,130 | |
6.375% 6/15/26 | 20,230 | 19,775 | |
6.75% 8/15/28(d) | 3,045 | 3,075 | |
7.5% 3/15/27 | 11,028 | 11,000 | |
Triumph Group, Inc. 9% 3/15/28 (d) | 4,210 | 4,214 | |
187,120 | |||
Air Freight & Logistics - 0.1% | |||
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (d) | 3,960 | 3,485 | |
Rand Parent LLC 8.5% 2/15/30 (d) | 2,810 | 2,641 | |
6,126 | |||
Airlines - 0.5% | |||
Air Canada 3.875% 8/15/26 (d) | 4,230 | 3,841 | |
Allegiant Travel Co. 7.25% 8/15/27 (d) | 4,365 | 4,345 | |
American Airlines, Inc. 7.25% 2/15/28 (d) | 4,215 | 4,099 | |
Delta Air Lines, Inc. 7% 5/1/25 (d) | 1,671 | 1,713 | |
Mileage Plus Holdings LLC 6.5% 6/20/27 (d) | 17,561 | 17,504 | |
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd.: | |||
8% 9/20/25(d) | 1,420 | 1,429 | |
8% 9/20/25(d) | 4,670 | 4,682 | |
United Airlines, Inc.: | |||
4.375% 4/15/26(d) | 14,560 | 13,930 | |
4.625% 4/15/29(d) | 8,725 | 7,892 | |
59,435 | |||
Building Products - 0.1% | |||
Advanced Drain Systems, Inc.: | |||
5% 9/30/27(d) | 1,400 | 1,330 | |
6.375% 6/15/30(d) | 2,780 | 2,724 | |
CP Atlas Buyer, Inc. 7% 12/1/28 (d) | 3,280 | 2,436 | |
MIWD Holdco II LLC / MIWD Finance Corp. 5.5% 2/1/30 (d) | 1,865 | 1,576 | |
Oscar Acquisition Co. LLC / Oscar Finance, Inc. 9.5% 4/15/30 (d) | 4,185 | 3,599 | |
Shea Homes Ltd. Partnership/Corp. 4.75% 4/1/29 | 4,830 | 4,214 | |
15,879 | |||
Commercial Services & Supplies - 0.9% | |||
Allied Universal Holdco LLC / Allied Universal Finance Corp. 6% 6/1/29 (d) | 3,995 | 2,982 | |
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
4.625% 6/1/28(d) | 10,374 | 8,779 | |
4.625% 6/1/28(d) | 6,871 | 5,767 | |
Clean Harbors, Inc. 6.375% 2/1/31 (d) | 2,350 | 2,398 | |
CoreCivic, Inc. 8.25% 4/15/26 | 14,975 | 15,095 | |
Covanta Holding Corp.: | |||
4.875% 12/1/29(d) | 4,300 | 3,826 | |
5% 9/1/30 | 6,775 | 5,828 | |
GFL Environmental, Inc.: | |||
4% 8/1/28(d) | 4,200 | 3,816 | |
4.75% 6/15/29(d) | 5,705 | 5,329 | |
KAR Auction Services, Inc. 5.125% 6/1/25 (d) | 6,210 | 6,132 | |
Madison IAQ LLC: | |||
4.125% 6/30/28(d) | 5,345 | 4,623 | |
5.875% 6/30/29(d) | 4,265 | 3,295 | |
Neptune BidCo U.S., Inc. 9.29% 4/15/29 (d) | 16,955 | 15,719 | |
The Brink's Co. 4.625% 10/15/27 (d) | 7,200 | 6,784 | |
The GEO Group, Inc.: | |||
9.5% 12/31/28(d) | 5,755 | 5,556 | |
10.5% 6/30/28 | 16,764 | 16,937 | |
112,866 | |||
Construction & Engineering - 0.4% | |||
AECOM 5.125% 3/15/27 | 7,490 | 7,419 | |
Arcosa, Inc. 4.375% 4/15/29 (d) | 4,130 | 3,673 | |
Bouygues SA 5.375% 6/30/42 (Reg. S) | EUR | 18,400 | 21,665 |
Pike Corp. 5.5% 9/1/28 (d) | 14,255 | 12,473 | |
SRS Distribution, Inc.: | |||
4.625% 7/1/28(d) | 5,520 | 4,902 | |
6.125% 7/1/29(d) | 2,315 | 1,953 | |
52,085 | |||
Electrical Equipment - 0.0% | |||
Sensata Technologies BV 4% 4/15/29 (d) | 5,910 | 5,340 | |
Ground Transportation - 0.0% | |||
XPO, Inc. 6.25% 5/1/25 (d) | 5,220 | 5,176 | |
Industrial Conglomerates - 0.2% | |||
Honeywell International, Inc. 4.125% 11/2/34 | EUR | 17,254 | 18,960 |
Machinery - 0.1% | |||
ATS Automation Tooling System, Inc. 4.125% 12/15/28 (d) | 4,630 | 4,106 | |
Chart Industries, Inc. 7.5% 1/1/30 (d) | 7,420 | 7,666 | |
11,772 | |||
Marine - 0.0% | |||
Seaspan Corp. 5.5% 8/1/29 (d) | 4,240 | 3,306 | |
Professional Services - 0.1% | |||
ASGN, Inc. 4.625% 5/15/28 (d) | 5,670 | 5,291 | |
Booz Allen Hamilton, Inc.: | |||
3.875% 9/1/28(d) | 6,270 | 5,722 | |
4% 7/1/29(d) | 2,820 | 2,545 | |
TriNet Group, Inc. 3.5% 3/1/29 (d) | 4,545 | 3,886 | |
17,444 | |||
Trading Companies & Distributors - 0.1% | |||
Foundation Building Materials, Inc. 6% 3/1/29 (d) | 3,110 | 2,465 | |
H&E Equipment Services, Inc. 3.875% 12/15/28 (d) | 10,040 | 8,798 | |
11,263 | |||
Transportation - 0.6% | |||
Uber Technologies, Inc.: | |||
4.5% 8/15/29(d) | 12,675 | 11,550 | |
6.25% 1/15/28(d) | 5,520 | 5,506 | |
7.5% 9/15/27(d) | 31,625 | 32,609 | |
8% 11/1/26(d) | 29,170 | 29,906 | |
79,571 | |||
TOTAL INDUSTRIALS | 586,343 | ||
INFORMATION TECHNOLOGY - 1.2% | |||
Electronic Equipment & Components - 0.1% | |||
Coherent Corp. 5% 12/15/29 (d) | 4,370 | 3,967 | |
TTM Technologies, Inc. 4% 3/1/29 (d) | 4,540 | 3,950 | |
7,917 | |||
IT Services - 0.3% | |||
Acuris Finance U.S. 5% 5/1/28 (d) | 4,315 | 3,387 | |
CA Magnum Holdings 5.375% (d)(h) | 2,230 | 1,968 | |
Camelot Finance SA 4.5% 11/1/26 (d) | 6,365 | 6,015 | |
Gartner, Inc.: | |||
3.625% 6/15/29(d) | 4,040 | 3,605 | |
3.75% 10/1/30(d) | 6,920 | 6,212 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc.: | |||
3.5% 3/1/29(d) | 6,060 | 5,240 | |
5.25% 12/1/27(d) | 5,665 | 5,513 | |
Rackspace Hosting, Inc. 5.375% 12/1/28 (d) | 3,845 | 1,470 | |
Unisys Corp. 6.875% 11/1/27 (d) | 3,685 | 2,349 | |
35,759 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
onsemi 3.875% 9/1/28 (d) | 6,765 | 6,087 | |
Synaptics, Inc. 4% 6/15/29 (d) | 3,500 | 3,014 | |
9,101 | |||
Software - 0.7% | |||
Alteryx, Inc. 8.75% 3/15/28 (d) | 2,805 | 2,823 | |
Black Knight InfoServ LLC 3.625% 9/1/28 (d) | 6,975 | 6,339 | |
Central Parent, Inc./Central Merger Sub, Inc. 7.25% 6/15/29 (d) | 4,225 | 4,153 | |
Clarivate Science Holdings Corp.: | |||
3.875% 7/1/28(d) | 5,025 | 4,485 | |
4.875% 7/1/29(d) | 4,755 | 4,300 | |
Elastic NV 4.125% 7/15/29 (d) | 8,005 | 6,834 | |
Fair Isaac Corp. 4% 6/15/28 (d) | 6,420 | 5,955 | |
Gen Digital, Inc. 5% 4/15/25 (d) | 6,360 | 6,245 | |
ION Trading Technologies Ltd. 5.75% 5/15/28 (d) | 5,780 | 4,616 | |
MicroStrategy, Inc. 6.125% 6/15/28 (d) | 9,960 | 8,840 | |
NCR Corp.: | |||
5% 10/1/28(d) | 3,385 | 2,975 | |
5.25% 10/1/30(d) | 13,370 | 10,915 | |
5.75% 9/1/27(d) | 5,480 | 5,385 | |
6.125% 9/1/29(d) | 5,480 | 5,405 | |
Open Text Corp. 6.9% 12/1/27 (d) | 5,000 | 5,158 | |
Open Text Holdings, Inc.: | |||
4.125% 2/15/30(d) | 3,220 | 2,762 | |
4.125% 12/1/31(d) | 2,490 | 2,054 | |
PTC, Inc.: | |||
3.625% 2/15/25(d) | 3,755 | 3,621 | |
4% 2/15/28(d) | 3,715 | 3,472 | |
96,337 | |||
TOTAL INFORMATION TECHNOLOGY | 149,114 | ||
MATERIALS - 2.6% | |||
Chemicals - 0.9% | |||
Air Products & Chemicals, Inc. 4% 3/3/35 | EUR | 8,899 | 9,700 |
BASF AG 4.25% 3/8/32 (Reg. S) | EUR | 16,900 | 18,982 |
Gpd Companies, Inc. 10.125% 4/1/26 (d) | 8,860 | 8,056 | |
Ingevity Corp. 3.875% 11/1/28 (d) | 6,715 | 5,753 | |
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. 5% 12/31/26 (d) | 2,100 | 1,920 | |
LSB Industries, Inc. 6.25% 10/15/28 (d) | 9,723 | 8,653 | |
Olympus Water U.S. Holding Corp.: | |||
4.25% 10/1/28(d) | 5,600 | 4,633 | |
7.125% 10/1/27(d) | 2,905 | 2,728 | |
SCIH Salt Holdings, Inc. 4.875% 5/1/28 (d) | 3,770 | 3,361 | |
SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (d) | 6,435 | 5,879 | |
The Chemours Co. LLC: | |||
5.375% 5/15/27 | 18,470 | 17,108 | |
5.75% 11/15/28(d) | 10,075 | 8,994 | |
The Scotts Miracle-Gro Co. 4% 4/1/31 | 5,930 | 4,730 | |
W.R. Grace Holding LLC: | |||
5.625% 8/15/29(d) | 13,095 | 11,098 | |
7.375% 3/1/31(d) | 2,810 | 2,821 | |
114,416 | |||
Construction Materials - 0.0% | |||
Summit Materials LLC/Summit Materials Finance Corp. 5.25% 1/15/29 (d) | 6,525 | 6,166 | |
Containers & Packaging - 0.6% | |||
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: | |||
3.25% 9/1/28(d) | 3,025 | 2,620 | |
4% 9/1/29(d) | 6,050 | 4,734 | |
6% 6/15/27(d) | 2,785 | 2,760 | |
BWAY Holding Co. 7.875% 8/15/26 (d) | 5,635 | 5,635 | |
Cascades, Inc.: | |||
5.125% 1/15/26(d) | 3,310 | 3,111 | |
5.375% 1/15/28(d) | 3,310 | 3,144 | |
Clydesdale Acquisition Holdings, Inc.: | |||
6.625% 4/15/29(d) | 3,315 | 3,191 | |
8.75% 4/15/30(d) | 19,065 | 17,325 | |
Crown Cork & Seal, Inc.: | |||
7.375% 12/15/26 | 16,535 | 17,472 | |
7.5% 12/15/96 | 7,695 | 8,118 | |
Graham Packaging Co., Inc. 7.125% 8/15/28 (d) | 3,720 | 3,217 | |
Graphic Packaging International, Inc. 3.75% 2/1/30 (d) | 3,585 | 3,112 | |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (d) | 2,570 | 2,210 | |
Sealed Air Corp./Sealed Air Cor 6.125% 2/1/28 (d) | 2,815 | 2,846 | |
Trivium Packaging Finance BV 5.5% 8/15/26 (d) | 4,195 | 4,019 | |
83,514 | |||
Metals & Mining - 1.0% | |||
Alcoa Nederland Holding BV: | |||
4.125% 3/31/29(d) | 7,735 | 6,886 | |
6.125% 5/15/28(d) | 2,110 | 2,113 | |
Algoma Steel SCA 0% 12/31/23 (b) | 1,518 | 0 | |
Arconic Corp.: | |||
6% 5/15/25(d) | 4,090 | 4,090 | |
6.125% 2/15/28(d) | 9,123 | 8,974 | |
ATI, Inc.: | |||
4.875% 10/1/29 | 2,795 | 2,544 | |
5.125% 10/1/31 | 2,480 | 2,257 | |
Cleveland-Cliffs, Inc.: | |||
4.625% 3/1/29(d) | 4,615 | 4,235 | |
4.875% 3/1/31(d) | 4,615 | 4,195 | |
5.875% 6/1/27 | 11,010 | 10,900 | |
Compass Minerals International, Inc. 6.75% 12/1/27 (d) | 9,315 | 8,868 | |
Eldorado Gold Corp. 6.25% 9/1/29 (d) | 4,225 | 3,919 | |
ERO Copper Corp. 6.5% 2/15/30 (d) | 4,180 | 3,639 | |
First Quantum Minerals Ltd.: | |||
6.875% 3/1/26(d) | 14,330 | 13,849 | |
7.5% 4/1/25(d) | 12,105 | 12,027 | |
FMG Resources Pty Ltd.: | |||
4.375% 4/1/31(d) | 4,420 | 3,876 | |
4.5% 9/15/27(d) | 5,450 | 5,234 | |
HudBay Minerals, Inc. 4.5% 4/1/26 (d) | 3,600 | 3,324 | |
Infrabuild Australia Pty Ltd. 12% 10/1/24 (d) | 6,295 | 6,020 | |
Kaiser Aluminum Corp. 4.625% 3/1/28 (d) | 6,615 | 5,887 | |
Mineral Resources Ltd.: | |||
8% 11/1/27(d) | 2,785 | 2,864 | |
8.125% 5/1/27(d) | 11,025 | 11,190 | |
8.5% 5/1/30(d) | 2,065 | 2,119 | |
Murray Energy Corp.: | |||
11.25% 12/31/49(b)(d)(e) | 5,925 | 0 | |
12% 4/15/24 pay-in-kind(b)(d)(e)(f) | 6,364 | 0 | |
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (d) | 2,015 | 1,799 | |
130,809 | |||
Paper & Forest Products - 0.1% | |||
Glatfelter Corp. 4.75% 11/15/29 (d) | 4,190 | 2,766 | |
LABL, Inc. 5.875% 11/1/28 (d) | 6,750 | 5,998 | |
8,764 | |||
TOTAL MATERIALS | 343,669 | ||
REAL ESTATE - 1.3% | |||
Equity Real Estate Investment Trusts (REITs) - 1.1% | |||
Iron Mountain Information Management Services, Inc. 5% 7/15/32 (d) | 4,190 | 3,598 | |
Iron Mountain, Inc.: | |||
4.875% 9/15/29(d) | 14,590 | 13,112 | |
5% 7/15/28(d) | 6,370 | 5,927 | |
5.25% 7/15/30(d) | 5,915 | 5,333 | |
5.625% 7/15/32(d) | 5,915 | 5,404 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
3.5% 3/15/31 | 6,700 | 4,462 | |
4.625% 8/1/29 | 10,950 | 8,089 | |
5% 10/15/27 | 21,010 | 17,281 | |
Prologis International Funding II SA 4.625% 2/21/35 (Reg. S) | EUR | 8,863 | 8,950 |
SBA Communications Corp. 3.875% 2/15/27 | 9,720 | 9,176 | |
Uniti Group LP / Uniti Group Finance, Inc.: | |||
4.75% 4/15/28(d) | 9,350 | 7,227 | |
6.5% 2/15/29(d) | 19,535 | 11,917 | |
10.5% 2/15/28(d) | 11,245 | 10,908 | |
Uniti Group, Inc. 6% 1/15/30 (d) | 6,990 | 4,089 | |
VICI Properties LP / VICI Note Co.: | |||
3.875% 2/15/29(d) | 6,695 | 5,953 | |
4.25% 12/1/26(d) | 12,650 | 11,803 | |
4.625% 12/1/29(d) | 7,220 | 6,572 | |
139,801 | |||
Real Estate Management & Development - 0.2% | |||
DTZ U.S. Borrower LLC 6.75% 5/15/28 (d) | 6,575 | 5,886 | |
Realogy Group LLC/Realogy Co-Issuer Corp. 5.75% 1/15/29 (d) | 8,505 | 6,347 | |
Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25% 4/15/30 (d) | 5,555 | 4,049 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.125% 8/1/30(d) | 6,480 | 5,982 | |
5.875% 6/15/27(d) | 5,610 | 5,504 | |
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (d) | 3,045 | 2,567 | |
30,335 | |||
TOTAL REAL ESTATE | 170,136 | ||
UTILITIES - 1.9% | |||
Electric Utilities - 1.2% | |||
Clearway Energy Operating LLC: | |||
3.75% 1/15/32(d) | 2,795 | 2,323 | |
4.75% 3/15/28(d) | 4,055 | 3,873 | |
Electricite de France SA 4.625% 1/25/43 (Reg. S) | EUR | 13,200 | 13,506 |
Energias de Portugal SA: | |||
1.875% 3/14/82 (Reg. S)(f) | EUR | 5,600 | 4,507 |
5.943% 4/23/83 (Reg. S)(f) | EUR | 900 | 957 |
NRG Energy, Inc.: | |||
3.375% 2/15/29(d) | 3,080 | 2,549 | |
3.625% 2/15/31(d) | 6,110 | 4,899 | |
3.875% 2/15/32(d) | 6,475 | 5,180 | |
5.75% 1/15/28 | 19,350 | 18,976 | |
ORSTED A/S 5.25% 12/8/22 (Reg. S) (f) | EUR | 5,900 | 6,310 |
Pacific Gas & Electric Co.: | |||
3.75% 8/15/42 | 6,290 | 4,453 | |
3.95% 12/1/47 | 7,933 | 5,639 | |
4% 12/1/46 | 11,420 | 8,061 | |
4.25% 3/15/46 | 1,475 | 1,087 | |
4.3% 3/15/45 | 3,690 | 2,776 | |
PG&E Corp.: | |||
5% 7/1/28 | 13,615 | 12,849 | |
5.25% 7/1/30 | 5,150 | 4,781 | |
Vistra Operations Co. LLC: | |||
4.375% 5/1/29(d) | 11,110 | 9,834 | |
5% 7/31/27(d) | 13,800 | 13,048 | |
5.5% 9/1/26(d) | 9,975 | 9,684 | |
5.625% 2/15/27(d) | 17,455 | 16,938 | |
152,230 | |||
Gas Utilities - 0.2% | |||
Southern Natural Gas Co. LLC: | |||
7.35% 2/15/31 | 14,890 | 15,984 | |
8% 3/1/32 | 9,400 | 10,948 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5% 6/1/31 (d) | 5,750 | 5,024 | |
31,956 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d) | 3,735 | 3,352 | |
RWE AG: | |||
2.75% 5/24/30 (Reg. S) | EUR | 7,651 | 7,707 |
4.125% 2/13/35 (Reg. S) | EUR | 9,787 | 10,371 |
21,430 | |||
Multi-Utilities - 0.1% | |||
E.ON SE 3.875% 1/12/35 (Reg. S) | EUR | 797 | 856 |
National Grid PLC 4.275% 1/16/35 (Reg. S) | EUR | 13,049 | 13,962 |
14,818 | |||
Water Utilities - 0.2% | |||
Suez SACA 2.375% 5/24/30 (Reg. S) | EUR | 5,700 | 5,526 |
Thames Water Utility Finance PLC: | |||
1.25% 1/31/32 (Reg. S) | EUR | 14,395 | 12,055 |
4.375% 1/18/31 (Reg. S) | EUR | 13,738 | 14,892 |
32,473 | |||
TOTAL UTILITIES | 252,907 | ||
TOTAL NONCONVERTIBLE BONDS | 4,280,475 | ||
TOTAL CORPORATE BONDS (Cost $4,629,155) | 4,307,037 | ||
U.S. Government and Government Agency Obligations - 27.1% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
U.S. Government Agency Obligations - 0.2% | |||
Fannie Mae 0.625% 4/22/25 | 2,128 | 1,979 | |
Freddie Mac 4% 11/25/24 | 21,100 | 20,855 | |
Tennessee Valley Authority: | |||
5.25% 9/15/39 | 2,106 | 2,247 | |
5.375% 4/1/56 | 3,503 | 3,959 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 29,040 | ||
U.S. Treasury Obligations - 26.8% | |||
U.S. Treasury Bills, yield at date of purchase 4.55% to 4.73% 4/13/23 to 5/18/23 (j) | 8,740 | 8,701 | |
U.S. Treasury Bonds: | |||
2% 8/15/51 | 148,344 | 104,345 | |
2.25% 2/15/52 | 115,400 | 86,054 | |
2.5% 2/15/45 | 216,056 | 172,397 | |
3% 5/15/45 | 20,100 | 17,502 | |
3% 2/15/49 | 128,820 | 112,768 | |
3.625% 2/15/53 | 105,586 | 104,827 | |
4.75% 2/15/37 | 74,200 | 84,611 | |
5.25% 2/15/29 | 5,406 | 5,860 | |
6.125% 8/15/29 | 3,663 | 4,184 | |
U.S. Treasury Notes: | |||
0.125% 6/30/23 | 34,600 | 34,223 | |
0.125% 8/15/23 | 2,411 | 2,370 | |
0.25% 5/15/24 | 470 | 448 | |
0.25% 7/31/25 | 22,796 | 20,934 | |
0.25% 9/30/25 | 26,037 | 23,827 | |
0.25% 10/31/25 | 17,600 | 16,047 | |
0.375% 4/30/25 | 82,771 | 76,770 | |
0.375% 12/31/25 | 167,057 | 152,270 | |
0.375% 1/31/26 | 13,900 | 12,618 | |
0.625% 7/31/26 | 24,000 | 21,649 | |
0.75% 3/31/26 | 46,052 | 42,132 | |
0.75% 8/31/26 | 29,200 | 26,390 | |
0.875% 9/30/26 | 143,800 | 130,229 | |
1% 7/31/28 | 49,141 | 42,952 | |
1.125% 10/31/26 | 17,300 | 15,779 | |
1.125% 8/31/28 | 410,429 | 360,395 | |
1.25% 12/31/26 | 52,353 | 47,821 | |
1.25% 9/30/28 | 38,280 | 33,779 | |
1.375% 8/31/23 | 11,000 | 10,849 | |
1.375% 10/31/28 | 8,911 | 7,906 | |
1.5% 2/29/24 | 286,900 | 278,865 | |
1.5% 10/31/24 | 480 | 460 | |
1.5% 1/31/27 | 40,989 | 37,735 | |
1.5% 11/30/28 | 6,930 | 6,182 | |
1.625% 5/31/23 | 19,717 | 19,619 | |
1.625% 9/30/26 | 3,093 | 2,879 | |
1.75% 1/31/29 | 41,434 | 37,402 | |
1.875% 2/28/27 | 280,000 | 261,264 | |
2.125% 7/31/24 | 96,008 | 93,188 | |
2.125% 5/15/25 | 12,033 | 11,568 | |
2.25% 4/30/24 | 78,844 | 76,898 | |
2.25% 3/31/26 | 34,717 | 33,202 | |
2.375% 3/31/29 | 7,500 | 7,002 | |
2.5% 2/28/26 | 38,997 | 37,568 | |
2.5% 3/31/27 | 7,200 | 6,877 | |
2.625% 5/31/27 | 90 | 86 | |
2.625% 7/31/29 | 25,965 | 24,557 | |
2.75% 2/15/24 | 165,714 | 162,937 | |
2.75% 6/30/25 | 197 | 192 | |
2.75% 7/31/27 | 18,600 | 17,913 | |
2.75% 5/31/29 | 18,541 | 17,671 | |
2.75% 8/15/32 | 66,322 | 62,415 | |
2.875% 5/15/32 | 36,400 | 34,640 | |
3.125% 11/15/28 | 28,930 | 28,202 | |
3.5% 1/31/28 | 20,540 | 20,432 | |
3.5% 2/15/33 | 49,310 | 49,387 | |
3.625% 3/31/28 | 34,500 | 34,557 | |
3.625% 3/31/30 | 28,600 | 28,736 | |
3.875% 11/30/27 | 14,110 | 14,257 | |
3.875% 12/31/27 | 51,100 | 51,642 | |
3.875% 11/30/29 | 23,340 | 23,744 | |
4% 2/15/26 | 49,100 | 49,303 | |
4% 10/31/29 | 19,300 | 19,765 | |
4.125% 10/31/27 | 8,800 | 8,969 | |
4.125% 11/15/32 | 27,677 | 29,082 | |
4.25% 12/31/24 | 58,900 | 58,953 | |
4.625% 2/28/25 (k) | 3,300 | 3,332 | |
4.625% 3/15/26 | 77,510 | 79,278 | |
TOTAL U.S. TREASURY OBLIGATIONS | 3,511,396 | ||
Other Government Related - 0.1% | |||
Private Export Funding Corp. Secured 1.75% 11/15/24 | 11,520 | 10,969 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,850,034) | 3,551,405 | ||
U.S. Government Agency - Mortgage Securities - 4.1% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Fannie Mae - 0.9% | |||
1.5% 11/1/40 to 11/1/41 | 40,739 | 33,574 | |
2% 2/1/28 to 7/1/35 | 19,480 | 17,718 | |
2.5% 1/1/28 to 2/1/52 | 36,281 | 32,898 | |
3% 11/1/34 to 2/1/52 (j) | 12,295 | 11,504 | |
3.5% 3/1/52 | 500 | 467 | |
4% 9/1/52 | 2,151 | 2,065 | |
5% 5/1/52 to 12/1/52 | 16,176 | 16,399 | |
TOTAL FANNIE MAE | 114,625 | ||
Freddie Mac - 0.8% | |||
1.5% 12/1/40 to 4/1/41 | 11,305 | 9,349 | |
2% 6/1/35 | 14,485 | 13,121 | |
2.5% 1/1/28 to 1/1/52 | 31,535 | 28,720 | |
3% 9/1/34 | 3,770 | 3,592 | |
3.5% 5/1/51 to 3/1/52 (j) | 41,364 | 38,657 | |
5% 5/1/52 to 12/1/52 | 12,925 | 13,097 | |
TOTAL FREDDIE MAC | 106,536 | ||
Ginnie Mae - 0.8% | |||
2% 2/20/51 | 600 | 511 | |
2% 4/1/53 (l) | 6,000 | 5,094 | |
2% 4/1/53 (l) | 2,350 | 1,995 | |
2% 4/1/53 (l) | 37,800 | 32,095 | |
2% 4/1/53 (l) | 28,700 | 24,369 | |
2% 5/1/53 (l) | 2,350 | 1,997 | |
2% 5/1/53 (l) | 35,200 | 29,918 | |
2% 6/1/53 (l) | 2,500 | 2,128 | |
TOTAL GINNIE MAE | 98,107 | ||
Uniform Mortgage Backed Securities - 1.6% | |||
2% 4/1/53 (l) | 6,000 | 4,958 | |
2% 4/1/53 (l) | 6,000 | 4,958 | |
2% 4/1/53 (l) | 28,700 | 23,714 | |
2% 4/1/53 (l) | 28,700 | 23,714 | |
2.5% 4/1/38 (l) | 5,700 | 5,286 | |
3% 4/1/53 (l) | 8,500 | 7,622 | |
3% 4/1/53 (l) | 2,900 | 2,600 | |
3% 4/1/53 (l) | 4,250 | 3,811 | |
3% 4/1/53 (l) | 2,900 | 2,600 | |
3% 4/1/53 (l) | 4,250 | 3,811 | |
3% 4/1/53 (l) | 8,300 | 7,443 | |
3% 5/1/53 (l) | 4,250 | 3,814 | |
3% 5/1/53 (l) | 4,250 | 3,814 | |
3.5% 4/1/53 (l) | 10,550 | 9,798 | |
3.5% 4/1/53 (l) | 5,800 | 5,387 | |
3.5% 4/1/53 (l) | 4,750 | 4,412 | |
4% 4/1/53 (l) | 10,350 | 9,898 | |
4% 4/1/53 (l) | 12,550 | 12,002 | |
4% 4/1/53 (l) | 14,800 | 14,154 | |
4% 4/1/53 (l) | 750 | 717 | |
4% 4/1/53 (l) | 2,350 | 2,247 | |
4% 4/1/53 (l) | 10,350 | 9,898 | |
4% 5/1/53 (l) | 13,450 | 12,868 | |
4% 5/1/53 (l) | 12,450 | 11,911 | |
5.5% 5/1/53 (l) | 7,700 | 7,775 | |
5.5% 5/1/53 (l) | 7,900 | 7,977 | |
5.5% 6/1/53 (l) | 3,000 | 3,028 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 210,217 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $541,986) | 529,485 | ||
Commercial Mortgage Securities - 0.5% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Freddie Mac: | |||
sequential payer: | |||
Series 2015-K049 Class A2, 3.01% 7/25/25 | 339 | 327 | |
Series 2015-K050 Class A2, 3.334% 8/25/25 (f) | 13,656 | 13,291 | |
Series 2015-K051 Class A2, 3.308% 9/25/25 | 536 | 520 | |
Series 2016-K052 Class A2, 3.151% 11/25/25 | 15,387 | 14,896 | |
Series 2021-K136 Class A2, 2.127% 11/25/31 | 2,200 | 1,866 | |
Series 2022-150 Class A2, 3.71% 9/25/32 | 2,600 | 2,493 | |
Series 2017-K727 Class A2, 2.946% 7/25/24 | 15,616 | 15,246 | |
Freddie Mac Multi-family Structured pass-thru certificates Series K044 Class A2, 2.811% 1/25/25 | 22,011 | 21,343 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $70,361) | 69,982 | ||
Foreign Government and Government Agency Obligations - 4.4% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Australian Commonwealth: | |||
1.75% 11/21/32 (Reg. S) | AUD | 15,000 | 8,810 |
1.75% 6/21/51 (Reg. S) | AUD | 81,080 | 34,891 |
Canadian Government: | |||
0.5% 11/1/23 | CAD | 53,800 | 38,935 |
0.75% 2/1/24 | CAD | 26,500 | 19,040 |
1.25% 3/1/27 | CAD | 30,000 | 20,648 |
German Federal Republic: | |||
0% 6/16/23 (Reg. S) | EUR | 40,480 | 43,652 |
0% 12/15/23(Reg. S) | EUR | 14,825 | 15,768 |
0% 2/15/32 (Reg. S) | EUR | 7,250 | 6,463 |
1.7% 8/15/32(Reg. S) | EUR | 277,530 | 287,222 |
1.8% 8/15/53(Reg. S) | EUR | 25,000 | 23,844 |
2.3% 2/15/33(Reg. S) | EUR | 20,000 | 21,707 |
Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23 | 54,954 | 55,061 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $572,880) | 576,041 | ||
Common Stocks - 3.3% | |||
Shares | Value ($) (000s) | ||
COMMUNICATION SERVICES - 0.2% | |||
Interactive Media & Services - 0.2% | |||
Alphabet, Inc. Class A (m) | 57,400 | 5,954 | |
Meta Platforms, Inc. Class A (m) | 57,800 | 12,250 | |
18,204 | |||
Media - 0.0% | |||
iHeartMedia, Inc. (m) | 26 | 0 | |
Nexstar Broadcasting Group, Inc. Class A | 23,627 | 4,079 | |
4,079 | |||
TOTAL COMMUNICATION SERVICES | 22,283 | ||
CONSUMER DISCRETIONARY - 0.5% | |||
Auto Components - 0.0% | |||
Exide Technologies (b)(m) | 7,093 | 7 | |
Exide Technologies (b)(m) | 418,807 | 0 | |
Exide Technologies (b)(m) | 280 | 182 | |
UC Holdings, Inc. (b)(m) | 560,355 | 3,323 | |
3,512 | |||
Hotels, Restaurants & Leisure - 0.2% | |||
Booking Holdings, Inc. (m) | 2,200 | 5,835 | |
Boyd Gaming Corp. | 123,800 | 7,938 | |
Caesars Entertainment, Inc. (m) | 281,300 | 13,730 | |
New Cotai LLC/New Cotai Capital Corp. (b)(c)(m) | 2,242,893 | 1,525 | |
Studio City International Holdings Ltd.: | |||
ADR (d) | 121,177 | 807 | |
(NYSE) ADR (m) | 133,400 | 888 | |
30,723 | |||
Household Durables - 0.1% | |||
Tempur Sealy International, Inc. | 255,148 | 10,076 | |
Specialty Retail - 0.2% | |||
Dick's Sporting Goods, Inc. | 52,100 | 7,392 | |
Lowe's Companies, Inc. | 40,300 | 8,059 | |
Williams-Sonoma, Inc. | 24,000 | 2,920 | |
18,371 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Tapestry, Inc. | 91,100 | 3,927 | |
TOTAL CONSUMER DISCRETIONARY | 66,609 | ||
CONSUMER STAPLES - 0.1% | |||
Food & Staples Retailing - 0.1% | |||
Southeastern Grocers, Inc. (b)(c)(m) | 584,047 | 14,344 | |
Food Products - 0.0% | |||
Darling Ingredients, Inc. (m) | 49,300 | 2,879 | |
JBS SA | 1,108,000 | 3,902 | |
Reddy Ice Holdings, Inc. (b)(m) | 133,255 | 7 | |
6,788 | |||
TOTAL CONSUMER STAPLES | 21,132 | ||
ENERGY - 0.6% | |||
Energy Equipment & Services - 0.1% | |||
Diamond Offshore Drilling, Inc. (m) | 66,694 | 803 | |
Forbes Energy Services Ltd. (b)(m) | 135,187 | 0 | |
Halliburton Co. | 4,034 | 128 | |
Jonah Energy Parent LLC (b)(m) | 183,159 | 8,242 | |
Superior Energy Services, Inc. Class A (b)(m) | 66,115 | 4,262 | |
13,435 | |||
Oil, Gas & Consumable Fuels - 0.5% | |||
Antero Resources Corp. (m) | 127,900 | 2,953 | |
California Resources Corp. | 419,806 | 16,163 | |
California Resources Corp. warrants 10/27/24 (m) | 34,633 | 294 | |
Chaparral Energy, Inc.: | |||
Series A warrants 10/1/24 (b)(m) | 289 | 0 | |
Series B warrants 10/1/25 (b)(m) | 289 | 0 | |
Cheniere Energy, Inc. | 75,500 | 11,899 | |
Chesapeake Energy Corp. | 110,303 | 8,387 | |
Chesapeake Energy Corp. (c)(m) | 15,902 | 1,209 | |
Civitas Resources, Inc. | 36,312 | 2,482 | |
Diamondback Energy, Inc. | 22,492 | 3,040 | |
EP Energy Corp. (b)(m) | 611,545 | 3,993 | |
Mesquite Energy, Inc. (b)(m) | 185,122 | 9,460 | |
Unit Corp. | 28,630 | 1,250 | |
61,130 | |||
TOTAL ENERGY | 74,565 | ||
FINANCIALS - 0.3% | |||
Capital Markets - 0.0% | |||
Penson Worldwide, Inc. Class A (b)(m) | 7,403,098 | 0 | |
Consumer Finance - 0.1% | |||
OneMain Holdings, Inc. | 299,100 | 11,091 | |
Diversified Financial Services - 0.0% | |||
Apollo Global Management, Inc. | 52,100 | 3,291 | |
Financial Services - 0.2% | |||
Fiserv, Inc. (m) | 66,600 | 7,528 | |
Global Payments, Inc. | 61,700 | 6,493 | |
MasterCard, Inc. Class A | 12,100 | 4,397 | |
Visa, Inc. Class A | 26,900 | 6,065 | |
24,483 | |||
Insurance - 0.0% | |||
Arthur J. Gallagher & Co. | 19,100 | 3,654 | |
TOTAL FINANCIALS | 42,519 | ||
HEALTH CARE - 0.2% | |||
Health Care Providers & Services - 0.1% | |||
Humana, Inc. | 6,100 | 2,961 | |
Tenet Healthcare Corp. (m) | 36,700 | 2,181 | |
UnitedHealth Group, Inc. | 10,400 | 4,915 | |
10,057 | |||
Life Sciences Tools & Services - 0.1% | |||
Charles River Laboratories International, Inc. (m) | 10,500 | 2,119 | |
IQVIA Holdings, Inc. (m) | 47,000 | 9,348 | |
11,467 | |||
TOTAL HEALTH CARE | 21,524 | ||
INDUSTRIALS - 0.2% | |||
Airlines - 0.0% | |||
Delta Air Lines, Inc. (m) | 48,600 | 1,697 | |
Building Products - 0.0% | |||
Builders FirstSource, Inc. (m) | 55,600 | 4,936 | |
Electrical Equipment - 0.1% | |||
Regal Rexnord Corp. | 49,200 | 6,924 | |
Professional Services - 0.1% | |||
ASGN, Inc. (m) | 70,000 | 5,787 | |
SS&C Technologies Holdings, Inc. | 54,139 | 3,057 | |
8,844 | |||
Trading Companies & Distributors - 0.0% | |||
Penhall Acquisition Co.: | |||
Class A (b)(m) | 11,553 | 1,478 | |
Class B (b)(m) | 3,850 | 492 | |
1,970 | |||
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 | 24,371 | ||
INFORMATION TECHNOLOGY - 0.8% | |||
Communications Equipment - 0.0% | |||
Arista Networks, Inc. (m) | 26,500 | 4,448 | |
Electronic Equipment & Components - 0.1% | |||
CDW Corp. | 40,300 | 7,854 | |
IT Services - 0.0% | |||
GTT Communications, Inc. (b) | 51,638 | 638 | |
Semiconductors & Semiconductor Equipment - 0.5% | |||
Advanced Micro Devices, Inc. (m) | 55,900 | 5,479 | |
ASML Holding NV (depository receipt) | 8,500 | 5,786 | |
Lam Research Corp. | 7,200 | 3,817 | |
Marvell Technology, Inc. | 128,500 | 5,564 | |
Microchip Technology, Inc. | 127,400 | 10,674 | |
NVIDIA Corp. | 31,300 | 8,694 | |
NXP Semiconductors NV | 36,000 | 6,713 | |
onsemi (m) | 169,691 | 13,969 | |
60,696 | |||
Software - 0.2% | |||
Adobe, Inc. (m) | 18,464 | 7,115 | |
Microsoft Corp. | 56,300 | 16,231 | |
Palo Alto Networks, Inc. (m) | 18,800 | 3,755 | |
Synopsys, Inc. (m) | 10,600 | 4,094 | |
31,195 | |||
TOTAL INFORMATION TECHNOLOGY | 104,831 | ||
MATERIALS - 0.3% | |||
Chemicals - 0.1% | |||
CF Industries Holdings, Inc. | 64,100 | 4,647 | |
Olin Corp. | 47,800 | 2,653 | |
The Chemours Co. LLC | 214,479 | 6,422 | |
13,722 | |||
Containers & Packaging - 0.1% | |||
Berry Global Group, Inc. | 60,939 | 3,589 | |
Graphic Packaging Holding Co. | 332,500 | 8,475 | |
WestRock Co. | 111,900 | 3,410 | |
15,474 | |||
Metals & Mining - 0.1% | |||
Algoma Steel Group, Inc. | 489,241 | 3,953 | |
Algoma Steel SCA (b)(m) | 151,792 | 0 | |
Elah Holdings, Inc. (m) | 517 | 31 | |
First Quantum Minerals Ltd. | 217,300 | 4,996 | |
Freeport-McMoRan, Inc. | 83,000 | 3,396 | |
12,376 | |||
TOTAL MATERIALS | 41,572 | ||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
PG&E Corp. (m) | 606,468 | 9,807 | |
Portland General Electric Co. | 13,962 | 683 | |
10,490 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
PureWest Energy (b)(m) | 10,774 | 105 | |
PureWest Energy rights (b)(m) | 6,493 | 0 | |
105 | |||
TOTAL UTILITIES | 10,595 | ||
TOTAL COMMON STOCKS (Cost $348,383) | 430,001 | ||
Nonconvertible Preferred Stocks - 0.0% | |||
Shares | Value ($) (000s) | ||
CONSUMER DISCRETIONARY - 0.0% | |||
Auto Components - 0.0% | |||
Exide Technologies (b)(m) | 624 | 581 | |
INDUSTRIALS - 0.0% | |||
Transportation Infrastructure - 0.0% | |||
Tricer Holdco SCA (b)(c)(m) | 193,792,711 | 2 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $7,489) | 583 | ||
Bank Loan Obligations - 2.0% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
COMMUNICATION SERVICES - 0.2% | |||
Diversified Telecommunication Services - 0.1% | |||
Aventiv Technologies LLC Tranche B, term loan 3 month U.S. LIBOR + 4.500% 9.6591% 11/1/24 (f)(g)(n) | 4,170 | 2,953 | |
Connect U.S. Finco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.14% 12/12/26 (f)(g)(n) | 5,301 | 5,261 | |
Frontier Communications Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 8.625% 5/1/28 (f)(g)(n) | 2,650 | 2,510 | |
GTT Communications BV 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 7.000% 11.907% 1/3/28 (f)(g)(n) | 2,492 | 1,999 | |
CME TERM SOFR 3 MONTH INDEX + 9.000% 13.9983% 6/3/28 (f)(g)(n) | 1,958 | 1,005 | |
Zayo Group Holdings, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.8403% 3/9/27 (f)(g)(n) | 4,347 | 3,520 | |
17,248 | |||
Media - 0.1% | |||
Diamond Sports Group LLC 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 12.7755% 5/25/26 (f)(g)(n) | 3,585 | 3,355 | |
Nexstar Broadcasting, Inc. Tranche B, term loan 1 month U.S. LIBOR + 2.500% 7.3403% 9/19/26 (f)(g)(n) | 1,380 | 1,376 | |
Univision Communications, Inc.: | |||
1LN, term loan CME TERM SOFR 3 MONTH INDEX + 4.250% 9.1483% 6/10/29 (f)(g)(n) | 352 | 349 | |
Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 8.0903% 1/31/29 (f)(g)(n) | 3,544 | 3,471 | |
8,551 | |||
TOTAL COMMUNICATION SERVICES | 25,799 | ||
CONSUMER DISCRETIONARY - 0.4% | |||
Auto Components - 0.0% | |||
PECF USS Intermediate Holding III Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.0903% 12/17/28 (f)(g)(n) | 1,037 | 869 | |
Diversified Consumer Services - 0.1% | |||
KUEHG Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 13.4091% 8/22/25 (f)(g)(n) | 3,640 | 3,488 | |
Sotheby's Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 9.3297% 1/15/27 (f)(g)(n) | 6,576 | 6,527 | |
Spin Holdco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 8.9857% 3/4/28 (f)(g)(n) | 8,285 | 6,927 | |
16,942 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
Delta 2 SARL Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.057% 1/15/30 (f)(g)(n) | 1,625 | 1,626 | |
Fertitta Entertainment LLC NV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 8.807% 1/27/29 (f)(g)(n) | 7,321 | 7,195 | |
Scientific Games Corp. 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 7.9603% 4/14/29 (f)(g)(n) | 1,087 | 1,077 | |
9,898 | |||
Leisure Products - 0.0% | |||
Topgolf Callaway Brands Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.2595% 3/9/30 (f)(g)(n) | 1,380 | 1,370 | |
Specialty Retail - 0.2% | |||
LBM Acquisition LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.3849% 12/18/27 (f)(g)(n) | 11,546 | 10,844 | |
Michaels Companies, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 9.4091% 4/15/28 (f)(g)(n) | 2,663 | 2,438 | |
New SK Holdco Sub LLC 1LN, term loan CME Term SOFR 1 Month Index + 8.350% 13.1062% 6/30/27 (f)(g)(n) | 516 | 418 | |
Wand NewCo 3, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 7.5903% 2/5/26 (f)(g)(n) | 11,010 | 10,783 | |
24,483 | |||
TOTAL CONSUMER DISCRETIONARY | 53,562 | ||
CONSUMER STAPLES - 0.0% | |||
Beverages - 0.0% | |||
Bengal Debt Merger Sub LLC 1LN, term loan CME TERM SOFR 3 MONTH INDEX + 3.250% 8.2483% 1/24/29 (f)(g)(n) | 1,032 | 905 | |
ENERGY - 0.0% | |||
Energy Equipment & Services - 0.0% | |||
Forbes Energy Services LLC Tranche B, term loan 0% (b)(e)(f)(n) | 1,267 | 0 | |
Oil, Gas & Consumable Fuels - 0.0% | |||
Mesquite Energy, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (b)(e)(g)(n) | 3,423 | 0 | |
term loan 3 month U.S. LIBOR + 0.000% 0% (b)(e)(g)(n) | 1,476 | 0 | |
0 | |||
TOTAL ENERGY | 0 | ||
FINANCIALS - 0.1% | |||
Capital Markets - 0.0% | |||
Citadel Securities LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 7.4215% 2/27/28 (f)(g)(n) | 5,268 | 5,212 | |
Insurance - 0.1% | |||
Acrisure LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.0903% 2/15/27 (f)(g)(n) | 647 | 632 | |
Alliant Holdings Intermediate LLC Tranche B3 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.2793% 11/12/27 (f)(g)(n) | 6,383 | 6,301 | |
HUB International Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 8.7279% 11/10/29 (f)(g)(n) | 449 | 447 | |
7,380 | |||
TOTAL FINANCIALS | 12,592 | ||
HEALTH CARE - 0.2% | |||
Health Care Providers & Services - 0.1% | |||
Gainwell Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 8.9983% 10/1/27 (f)(g)(n) | 9,678 | 9,218 | |
Phoenix Newco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.8849% 11/15/28 (f)(g)(n) | 3,302 | 3,260 | |
12,478 | |||
Health Care Technology - 0.1% | |||
Athenahealth Group, Inc.: | |||
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.2592% 2/15/29 (f)(g)(n) | 13,594 | 12,710 | |
Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 2/15/29 (f)(g)(n)(o) | 1,670 | 1,561 | |
14,271 | |||
TOTAL HEALTH CARE | 26,749 | ||
INDUSTRIALS - 0.5% | |||
Air Freight & Logistics - 0.0% | |||
Dynasty Acquisition Co., Inc.: | |||
Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.407% 4/8/26 (f)(g)(n) | 1,502 | 1,465 | |
Tranche B2 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.407% 4/4/26 (f)(g)(n) | 807 | 787 | |
2,252 | |||
Airlines - 0.1% | |||
Air Canada Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 8.3694% 8/11/28 (f)(g)(n) | 4,209 | 4,192 | |
SkyMiles IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 8.5577% 10/20/27 (f)(g)(n) | 1,990 | 2,060 | |
6,252 | |||
Building Products - 0.1% | |||
Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 9.4091% 5/17/28 (f)(g)(n) | 11,259 | 8,907 | |
Hunter Douglas, Inc. Tranche B 1LN, term loan CME TERM SOFR 3 MONTH INDEX + 3.500% 8.3733% 2/25/29 (f)(g)(n) | 10,511 | 9,409 | |
18,316 | |||
Commercial Services & Supplies - 0.2% | |||
ABG Intermediate Holdings 2 LLC: | |||
Tranche B 2LN, term loan CME Term SOFR 1 Month Index + 6.000% 10.907% 12/20/29 (f)(g)(n) | 525 | 483 | |
Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.407% 12/21/28 (f)(g)(n) | 2,481 | 2,440 | |
Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4067% 12/21/28 (f)(g)(n) | 5,275 | 5,207 | |
Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 12/21/28 (f)(g)(n)(o) | 1,730 | 1,707 | |
Madison IAQ LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 8.3023% 6/21/28 (f)(g)(n) | 1,395 | 1,325 | |
Neptune BidCo U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 9.735% 4/11/29 (f)(g)(n) | 7,380 | 6,624 | |
Sabert Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 9.375% 12/10/26 (f)(g)(n) | 3,708 | 3,690 | |
21,476 | |||
Construction & Engineering - 0.1% | |||
Breakwater Energy Tranche B 1LN, term loan 11% 9/1/26 (b)(f)(n) | 9,783 | 9,294 | |
SRS Distribution, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 8.3403% 6/4/28 (f)(g)(n) | 3,049 | 2,938 | |
12,232 | |||
Machinery - 0.0% | |||
Chart Industries, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.5934% 12/8/29 (f)(g)(n) | 815 | 812 | |
TOTAL INDUSTRIALS | 61,340 | ||
INFORMATION TECHNOLOGY - 0.3% | |||
Electronic Equipment & Components - 0.0% | |||
DG Investment Intermediate Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.557% 3/31/28 (f)(g)(n) | 983 | 952 | |
IT Services - 0.0% | |||
Acuris Finance U.S., Inc. 1LN, term loan CME TERM SOFR 3 MONTH INDEX + 4.000% 9.0483% 2/16/28 (f)(g)(n) | 603 | 580 | |
Camelot Finance SA Tranche B, term loan 1 month U.S. LIBOR + 3.000% 7.8403% 10/31/26 (f)(g)(n) | 569 | 567 | |
Hunter U.S. Bidco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 9.4091% 8/19/28 (f)(g)(n) | 5,339 | 5,219 | |
6,366 | |||
Software - 0.3% | |||
Boxer Parent Co., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.5903% 10/2/25 (f)(g)(n) | 18,821 | 18,556 | |
Polaris Newco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 9.1591% 6/2/28 (f)(g)(n) | 3,137 | 2,854 | |
Proofpoint, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 8.0903% 8/31/28 (f)(g)(n) | 3,066 | 2,992 | |
RealPage, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.8403% 4/22/28 (f)(g)(n) | 3,058 | 2,961 | |
Ultimate Software Group, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.250% 8.0319% 5/3/26 (f)(g)(n) | 6,653 | 6,473 | |
VS Buyer LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.000% 7.6997% 2/28/27 (f)(g)(n) | 1,271 | 1,256 | |
35,092 | |||
TOTAL INFORMATION TECHNOLOGY | 42,410 | ||
MATERIALS - 0.2% | |||
Chemicals - 0.1% | |||
Avient Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7.926% 8/29/29 (f)(g)(n) | 271 | 271 | |
Discovery Purchaser Corp. 1LN, term loan CME TERM SOFR 3 MONTH INDEX + 4.370% 8.9625% 10/4/29 (f)(g)(n) | 8,858 | 8,374 | |
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 8.9375% 11/9/28 (f)(g)(n) | 1,689 | 1,596 | |
W.R. Grace Holding LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 8.9375% 9/22/28 (f)(g)(n) | 1,274 | 1,261 | |
11,502 | |||
Containers & Packaging - 0.1% | |||
Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.170% 9.082% 4/13/29 (f)(g)(n) | 11,141 | 10,865 | |
Kloeckner Pentaplast of America, Inc. Tranche B 1LN, term loan CME TERM SOFR 6 MONTH INDEX + 4.750% 10.1293% 2/9/26 (f)(g)(n) | 784 | 719 | |
11,584 | |||
TOTAL MATERIALS | 23,086 | ||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
PG&E Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.875% 6/23/25 (f)(g)(n) | 16,547 | 16,475 | |
TOTAL BANK LOAN OBLIGATIONS (Cost $276,792) | 262,918 | ||
Fixed-Income Funds - 21.0% | |||
Shares | Value ($) (000s) | ||
Fidelity Emerging Markets Debt Central Fund (p) | 260,600,388 | 1,972,745 | |
Fidelity Floating Rate Central Fund (p) | 8,004,109 | 770,636 | |
TOTAL FIXED-INCOME FUNDS (Cost $3,247,943) | 2,743,381 | ||
Preferred Securities - 4.3% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
CONSUMER DISCRETIONARY - 0.1% | |||
Automobiles - 0.1% | |||
Volkswagen International Finance NV 4.375% (Reg. S) (f)(h) | EUR | 20,600 | 18,654 |
ENERGY - 0.5% | |||
Oil, Gas & Consumable Fuels - 0.5% | |||
Energy Transfer LP: | |||
3 month U.S. LIBOR + 4.020% 8.8916% (f)(g)(h) | 45,897 | 40,821 | |
6.625% (f)(h) | 17,100 | 12,736 | |
7.125% (f)(h) | 4,160 | 3,499 | |
Summit Midstream Partners LP 3 month U.S. LIBOR + 7.430% 12.2963% (e)(f)(g)(h) | 1,711 | 1,279 | |
58,335 | |||
FINANCIALS - 3.6% | |||
Banks - 3.3% | |||
Bank of America Corp.: | |||
5.2% (f)(h) | 48,090 | 46,617 | |
5.875% (f)(h) | 60,475 | 54,412 | |
6.25% (f)(h) | 18,480 | 18,041 | |
Citigroup, Inc.: | |||
4.7% (f)(h) | 8,755 | 7,661 | |
5% (f)(h) | 36,455 | 34,085 | |
6.3% (f)(h) | 4,120 | 3,914 | |
8.8704% (f)(g)(h) | 46,925 | 46,573 | |
9.0936% (f)(g)(h) | 15,875 | 15,776 | |
Huntington Bancshares, Inc. 5.7% (f)(h) | 7,660 | 6,565 | |
JPMorgan Chase & Co.: | |||
4% (f)(h) | 19,100 | 16,972 | |
4.6% (f)(h) | 13,385 | 12,448 | |
5% (f)(h) | 18,675 | 17,930 | |
6% (f)(h) | 54,840 | 53,675 | |
6.125% (f)(h) | 12,865 | 12,524 | |
6.75% (f)(h) | 6,270 | 6,292 | |
Wells Fargo & Co.: | |||
5.875% (f)(h) | 36,775 | 36,131 | |
5.9% (f)(h) | 46,445 | 44,032 | |
433,648 | |||
Capital Markets - 0.3% | |||
Goldman Sachs Group, Inc.: | |||
3 month U.S. LIBOR + 2.870% 7.7333% (f)(g)(h) | 29,914 | 29,014 | |
4.4% (f)(h) | 4,530 | 3,889 | |
4.95% (f)(h) | 7,885 | 7,221 | |
40,124 | |||
Diversified Financial Services - 0.0% | |||
OEC Finance Ltd. 7.5% pay-in-kind (d)(h) | 23 | 1 | |
TOTAL FINANCIALS | 473,773 | ||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
Enel SpA 6.625% (Reg. S) (f)(h) | EUR | 5,957 | 6,501 |
TOTAL PREFERRED SECURITIES (Cost $593,472) | 557,263 | ||
Money Market Funds - 2.8% | |||
Shares | Value ($) (000s) | ||
Fidelity Cash Central Fund 4.86% (q) | 364,533,970 | 364,607 | |
Fidelity Securities Lending Cash Central Fund 4.87% (q)(r) | 3,259,034 | 3,259 | |
TOTAL MONEY MARKET FUNDS (Cost $367,829) | 367,866 | ||
TOTAL INVESTMENT IN SECURITIES - 102.4% (Cost $14,506,324) | 13,395,962 |
NET OTHER ASSETS (LIABILITIES) - (2.4)% | (312,922) |
NET ASSETS - 100.0% | 13,083,040 |
TBA Sale Commitments | ||
Principal Amount (a) (000s) | Value ($) (000s) | |
Ginnie Mae | ||
2% 4/1/53 | (2,350) | (1,995) |
2% 4/1/53 | (2,350) | (1,995) |
2% 4/1/53 | (600) | (509) |
2% 4/1/53 | (2,500) | (2,123) |
2% 4/1/53 | (35,200) | (29,888) |
TOTAL GINNIE MAE | (36,510) | |
Uniform Mortgage Backed Securities | ||
2% 4/1/53 | (6,000) | (4,958) |
2% 4/1/53 | (6,000) | (4,958) |
2% 4/1/53 | (28,700) | (23,714) |
2% 4/1/53 | (28,700) | (23,714) |
3% 4/1/53 | (200) | (179) |
3% 4/1/53 | (4,250) | (3,811) |
3% 4/1/53 | (11,200) | (10,043) |
3% 4/1/53 | (2,900) | (2,600) |
3% 4/1/53 | (4,250) | (3,811) |
3% 4/1/53 | (8,300) | (7,443) |
3% 5/1/53 | (4,250) | (3,814) |
3% 5/1/53 | (4,250) | (3,814) |
3.5% 4/1/53 | (4,750) | (4,412) |
3.5% 4/1/53 | (5,800) | (5,387) |
3.5% 4/1/53 | (5,800) | (5,387) |
3.5% 4/1/53 | (4,750) | (4,412) |
4% 4/1/53 | (13,450) | (12,863) |
4% 4/1/53 | (12,450) | (11,906) |
4% 4/1/53 | (750) | (717) |
4% 4/1/53 | (10,350) | (9,898) |
4% 4/1/53 | (2,350) | (2,247) |
5.5% 5/1/53 | (7,700) | (7,775) |
5.5% 5/1/53 | (3,000) | (3,029) |
5.5% 5/1/53 | (4,900) | (4,948) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (165,840) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $(201,989)) | (202,350) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) (000s) | Value ($) (000s) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
Purchased | |||||
Bond Index Contracts | |||||
Eurex Euro-Bund Contracts (Germany) | 800 | Jun 2023 | 117,855 | (993) | (993) |
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 2,248 | Jun 2023 | 258,344 | 7,547 | 7,547 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 2,090 | Jun 2023 | 431,487 | 4,731 | 4,731 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 326 | Jun 2023 | 42,757 | 1,638 | 1,638 |
TOTAL TREASURY CONTRACTS | 13,916 | ||||
TOTAL PURCHASED | 12,923 | ||||
Sold | |||||
Bond Index Contracts | |||||
Eurex Long-Term Euro-BTP Contracts (Germany) | 980 | Jun 2023 | 122,595 | (233) | (233) |
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 7 | Jun 2023 | 767 | 1 | 1 |
TOTAL SOLD | (232) | ||||
TOTAL FUTURES CONTRACTS | 12,691 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 6.5% | |||||
The notional amount of futures sold as a percentage of Net Assets is 0.9% |
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) (000s) | ||
USD | 271 | EUR | 249 | Brown Brothers Harriman & Co | 4/03/23 | 1 |
EUR | 1,578 | USD | 1,716 | Brown Brothers Harriman & Co | 4/04/23 | (5) |
EUR | 9,736 | USD | 10,375 | BNP Paribas S.A. | 4/11/23 | 188 |
EUR | 16,271 | USD | 17,589 | BNP Paribas S.A. | 4/11/23 | 64 |
EUR | 5,639 | USD | 6,104 | BNP Paribas S.A. | 4/11/23 | 14 |
EUR | 15,368 | USD | 16,330 | Bank of America, N.A. | 4/11/23 | 343 |
EUR | 7,352 | USD | 7,918 | Barclays Bank PLC | 4/11/23 | 58 |
EUR | 2,355 | USD | 2,505 | Brown Brothers Harriman & Co | 4/11/23 | 50 |
EUR | 9,510 | USD | 10,075 | Brown Brothers Harriman & Co | 4/11/23 | 242 |
EUR | 7,113 | USD | 7,606 | Brown Brothers Harriman & Co | 4/11/23 | 111 |
EUR | 4,618 | USD | 5,028 | Brown Brothers Harriman & Co | 4/11/23 | (18) |
EUR | 2,551 | USD | 2,765 | State Street Bank and Trust Co | 4/11/23 | 3 |
GBP | 14,595 | USD | 17,757 | BNP Paribas S.A. | 4/11/23 | 250 |
GBP | 78,152 | USD | 94,653 | Morgan Stanley Cap. Group, Inc | 4/11/23 | 1,769 |
JPY | 721,186 | USD | 5,434 | Brown Brothers Harriman & Co | 4/11/23 | 3 |
USD | 9,569 | AUD | 14,328 | BNP Paribas S.A. | 4/11/23 | (11) |
USD | 33,452 | AUD | 49,453 | National Australia Bank | 4/11/23 | 387 |
USD | 77,215 | CAD | 104,742 | Royal Bank of Canada | 4/11/23 | (293) |
USD | 5,148 | EUR | 4,830 | BNP Paribas S.A. | 4/11/23 | (92) |
USD | 3,497 | EUR | 3,224 | BNP Paribas S.A. | 4/11/23 | (1) |
USD | 11,342 | EUR | 10,697 | Bank of America, N.A. | 4/11/23 | (263) |
USD | 7,774 | EUR | 7,165 | Bank of America, N.A. | 4/11/23 | 1 |
USD | 2,654 | EUR | 2,512 | Brown Brothers Harriman & Co | 4/11/23 | (71) |
USD | 10,498 | EUR | 9,760 | Brown Brothers Harriman & Co | 4/11/23 | (91) |
USD | 3,688 | EUR | 3,486 | Canadian Imperial Bk. of Comm. | 4/11/23 | (94) |
USD | 4,065 | EUR | 3,804 | Canadian Imperial Bk. of Comm. | 4/11/23 | (62) |
USD | 6,043 | EUR | 5,651 | Canadian Imperial Bk. of Comm. | 4/11/23 | (88) |
USD | 23,306 | EUR | 22,048 | Canadian Imperial Bk. of Comm. | 4/11/23 | (614) |
USD | 19,397 | EUR | 18,244 | Canadian Imperial Bk. of Comm. | 4/11/23 | (396) |
USD | 85,284 | EUR | 80,239 | JPMorgan Chase Bank, N.A. | 4/11/23 | (1,770) |
USD | 5,221 | EUR | 4,847 | Morgan Stanley Cap. Group, Inc | 4/11/23 | (38) |
USD | 16,244 | EUR | 15,203 | Royal Bank of Canada | 4/11/23 | (250) |
USD | 12,839 | EUR | 11,953 | Royal Bank of Canada | 4/11/23 | (129) |
USD | 664,497 | EUR | 624,635 | State Street Bank and Trust Co | 4/11/23 | (13,185) |
USD | 8,309 | EUR | 7,743 | State Street Bank and Trust Co | 4/11/23 | (92) |
USD | 7,992 | EUR | 7,483 | State Street Bank and Trust Co | 4/11/23 | (127) |
USD | 7,333 | EUR | 6,823 | State Street Bank and Trust Co | 4/11/23 | (69) |
USD | 111,293 | GBP | 92,705 | Morgan Stanley Cap. Group, Inc | 4/11/23 | (3,085) |
USD | 5,278 | JPY | 715,401 | Citibank, N. A. | 4/11/23 | (116) |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | (17,476) | |||||
Unrealized Appreciation | 3,484 | |||||
Unrealized Depreciation | (20,960) |
Currency Abbreviations
AUD | - | Australian dollar |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound sterling |
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) | Level 3 security |
(c) | 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 $38,785,000 or 0.3% of net assets. |
(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 $2,783,815,000 or 21.3% 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) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(h) | Security is perpetual in nature with no stated maturity date. |
(i) | Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(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 $9,708,000. |
(k) | Security or a portion of the security is on loan at period end. |
(l) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(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) | 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 $3,400,000 and $3,269,000, respectively. |
(p) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(q) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(r) | Investment made with cash collateral received from securities on loan. |
Additional information on each restricted holding is as follows: | ||
Security | Acquisition Date | Acquisition Cost ($) (000s) |
Chesapeake Energy Corp. | 2/10/21 | 151 |
Mesquite Energy, Inc. 15% 7/15/23 | 7/10/20 - 1/18/22 | 1,457 |
Mesquite Energy, Inc. 15% 7/15/23 | 11/05/20 - 1/18/22 | 2,515 |
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 4.86% | 260,091 | 941,277 | 836,761 | 3,556 | - | - | 364,607 | 0.9% |
Fidelity Emerging Markets Debt Central Fund | 2,029,576 | 28,203 | 95,200 | 28,203 | (17,491) | 27,657 | 1,972,745 | 93.5% |
Fidelity Floating Rate Central Fund | 1,010,843 | 19,644 | 273,087 | 19,643 | (18,227) | 31,463 | 770,636 | 41.2% |
Fidelity Securities Lending Cash Central Fund 4.87% | 74,125 | 708,341 | 779,207 | 75 | - | - | 3,259 | 0.0% |
Total | 3,374,635 | 1,697,465 | 1,984,255 | 51,477 | (35,718) | 59,120 | 3,111,247 | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - Unadjusted 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 service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate Bonds, U.S. Government and Government Agency Obligations, Foreign Government and Government Agency Obligations, Bank Loan Obligations and Preferred Securities are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.U.S. Government Agency - Mortgage Securities and Commercial Mortgage Securities are valued by pricing services 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 services. 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.
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 forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service 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.
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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