Quarterly Holdings Report
for
Fidelity Advisor® Strategic Income Fund
March 31, 2024
SI-NPRT1-0524
1.799881.120
Corporate Bonds - 30.3% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Convertible Bonds - 0.5% | |||
COMMUNICATION SERVICES - 0.2% | |||
Media - 0.2% | |||
DISH Network Corp.: | |||
0% 12/15/25 | 16,561 | 12,090 | |
3.375% 8/15/26 | 24,978 | 15,549 | |
27,639 | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Hotels, Restaurants & Leisure - 0.1% | |||
New Cotai LLC 5% 2/24/27 (b) | 2,824 | 6,072 | |
FINANCIALS - 0.0% | |||
Capital Markets - 0.0% | |||
Coinbase Global, Inc. 0.25% 4/1/30 (c) | 3,680 | 3,877 | |
INFORMATION TECHNOLOGY - 0.2% | |||
Semiconductors & Semiconductor Equipment - 0.2% | |||
Wolfspeed, Inc. 1.875% 12/1/29 | 46,047 | 25,699 | |
TOTAL CONVERTIBLE BONDS | 63,287 | ||
Nonconvertible Bonds - 29.8% | |||
COMMUNICATION SERVICES - 2.2% | |||
Diversified Telecommunication Services - 0.7% | |||
Altice France SA: | |||
5.125% 7/15/29(c) | 33,195 | 22,441 | |
5.5% 1/15/28(c) | 8,295 | 5,891 | |
5.5% 10/15/29(c) | 28,170 | 19,120 | |
Frontier Communications Holdings LLC: | |||
5% 5/1/28(c) | 11,730 | 10,888 | |
5.875% 10/15/27(c) | 6,300 | 6,099 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 4.75% 4/30/27 (c) | 2,800 | 2,863 | |
Qwest Corp. 7.25% 9/15/25 | 955 | 931 | |
Sable International Finance Ltd. 5.75% 9/7/27 (c) | 13,364 | 12,837 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (c) | 9,200 | 8,637 | |
Windstream Escrow LLC 7.75% 8/15/28 (c) | 6,930 | 6,414 | |
96,121 | |||
Entertainment - 0.0% | |||
Roblox Corp. 3.875% 5/1/30 (c) | 4,175 | 3,678 | |
Media - 1.2% | |||
Altice Financing SA: | |||
5% 1/15/28(c) | 8,025 | 6,605 | |
5.75% 8/15/29(c) | 11,895 | 9,531 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
5% 2/1/28(c) | 15,765 | 14,676 | |
5.375% 6/1/29(c) | 32,275 | 29,546 | |
DISH DBS Corp. 5.75% 12/1/28 (c) | 6,925 | 4,759 | |
DISH Network Corp. 11.75% 11/15/27 (c) | 19,690 | 20,102 | |
Gannett Holdings LLC 6% 11/1/26 (c) | 4,000 | 3,658 | |
LCPR Senior Secured Financing DAC: | |||
5.125% 7/15/29(c) | 7,310 | 6,122 | |
6.75% 10/15/27(c) | 6,107 | 5,732 | |
Scripps Escrow II, Inc. 3.875% 1/15/29 (c) | 1,655 | 1,316 | |
Sirius XM Radio, Inc.: | |||
3.875% 9/1/31(c) | 5,645 | 4,707 | |
4% 7/15/28(c) | 4,890 | 4,474 | |
5% 8/1/27(c) | 4,610 | 4,435 | |
Univision Communications, Inc.: | |||
4.5% 5/1/29(c) | 5,760 | 5,147 | |
7.375% 6/30/30(c) | 18,475 | 18,269 | |
Videotron Ltd. 5.125% 4/15/27 (c) | 7,325 | 7,170 | |
VZ Secured Financing BV 5% 1/15/32 (c) | 11,130 | 9,556 | |
Ziggo BV 4.875% 1/15/30 (c) | 4,805 | 4,314 | |
160,119 | |||
Wireless Telecommunication Services - 0.3% | |||
C&W Senior Finance Ltd. 6.875% 9/15/27 (c) | 18,890 | 17,898 | |
Intelsat Jackson Holdings SA 6.5% 3/15/30 (c) | 11,675 | 10,847 | |
Millicom International Cellular SA 4.5% 4/27/31 (c) | 1,040 | 884 | |
VMED O2 UK Financing I PLC 4.75% 7/15/31 (c) | 9,930 | 8,559 | |
38,188 | |||
TOTAL COMMUNICATION SERVICES | 298,106 | ||
CONSUMER DISCRETIONARY - 3.9% | |||
Automobile Components - 0.3% | |||
Adient Global Holdings Ltd. 7% 4/15/28 (c) | 2,805 | 2,866 | |
Clarios Global LP / Clarios U.S. Finance Co. 6.75% 5/15/28 (c) | 5,595 | 5,671 | |
Dana, Inc. 4.5% 2/15/32 | 4,150 | 3,587 | |
Hertz Corp.: | |||
4.625% 12/1/26(c) | 2,350 | 2,133 | |
5% 12/1/29(c) | 4,560 | 3,524 | |
5.5%(b)(c)(d) | 6,540 | 213 | |
6%(b)(c)(d) | 5,785 | 521 | |
6.25%(b)(d) | 6,775 | 220 | |
7.125%(b)(c)(d) | 6,315 | 568 | |
Macquarie AirFinance Holdings: | |||
6.4% 3/26/29(c) | 1,805 | 1,833 | |
6.5% 3/26/31(c) | 2,760 | 2,810 | |
8.125% 3/30/29(c) | 4,100 | 4,336 | |
Nesco Holdings II, Inc. 5.5% 4/15/29 (c) | 7,155 | 6,769 | |
Tenneco, Inc. 8% 11/17/28 (c) | 8,245 | 7,523 | |
42,574 | |||
Automobiles - 0.1% | |||
Aston Martin Capital Holdings Ltd. 10% 3/31/29 (c) | 3,920 | 3,979 | |
McLaren Finance PLC 7.5% 8/1/26 (c) | 3,860 | 3,406 | |
Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 11.4932% 10/15/26 (c)(e)(f) | 5,950 | 5,984 | |
13,369 | |||
Broadline Retail - 0.0% | |||
Angi Group LLC 3.875% 8/15/28 (c) | 3,385 | 2,938 | |
Distributors - 0.0% | |||
Windsor Holdings III, LLC 8.5% 6/15/30 (c) | 2,790 | 2,925 | |
Diversified Consumer Services - 0.3% | |||
Adtalem Global Education, Inc. 5.5% 3/1/28 (c) | 4,235 | 4,054 | |
GEMS MENASA Cayman Ltd./GEMS Education Delaware LLC 7.125% 7/31/26 (c) | 5,300 | 5,304 | |
Service Corp. International 4% 5/15/31 | 5,750 | 5,094 | |
Sotheby's 7.375% 10/15/27 (c) | 2,970 | 2,765 | |
Sotheby's/Bidfair Holdings, Inc. 5.875% 6/1/29 (c) | 4,315 | 3,627 | |
TKC Holdings, Inc. 6.875% 5/15/28 (c) | 9,328 | 8,854 | |
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (c) | 4,750 | 4,643 | |
34,341 | |||
Hotels, Restaurants & Leisure - 2.2% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
3.875% 1/15/28(c) | 5,685 | 5,343 | |
4% 10/15/30(c) | 23,490 | 20,930 | |
4.375% 1/15/28(c) | 6,265 | 5,926 | |
Affinity Interactive 6.875% 12/15/27 (c) | 2,520 | 2,355 | |
Bloomin Brands, Inc. / OSI Restaurant Partners LLC 5.125% 4/15/29 (c) | 2,720 | 2,523 | |
Boyd Gaming Corp. 4.75% 6/15/31 (c) | 7,140 | 6,561 | |
Caesars Entertainment, Inc. 7% 2/15/30 (c) | 8,450 | 8,674 | |
Carnival Corp.: | |||
4% 8/1/28(c) | 26,560 | 24,741 | |
7% 8/15/29(c) | 2,830 | 2,952 | |
7.625% 3/1/26(c) | 10,595 | 10,720 | |
Carnival Holdings (Bermuda) Ltd. 10.375% 5/1/28 (c) | 8,655 | 9,441 | |
Churchill Downs, Inc.: | |||
5.75% 4/1/30(c) | 6,975 | 6,733 | |
6.75% 5/1/31(c) | 5,595 | 5,626 | |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.: | |||
4.625% 1/15/29(c) | 11,750 | 10,774 | |
6.75% 1/15/30(c) | 15,885 | 14,263 | |
Garden SpinCo Corp. 8.625% 7/20/30 (c) | 2,545 | 2,742 | |
Hilton Domestic Operating Co., Inc.: | |||
3.75% 5/1/29(c) | 3,350 | 3,073 | |
4% 5/1/31(c) | 5,020 | 4,487 | |
4.875% 1/15/30 | 11,025 | 10,571 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 | 5,210 | 5,122 | |
Jacobs Entertainment, Inc. 6.75% 2/15/29 (c) | 3,955 | 3,842 | |
Light & Wonder International, Inc. 7.5% 9/1/31 (c) | 2,745 | 2,855 | |
McDonald's Corp. 4.25% 3/7/35 (Reg. S) | EUR | 17,433 | 19,829 |
Melco Resorts Finance Ltd.: | |||
5.25% 4/26/26(c) | 5,440 | 5,253 | |
5.75% 7/21/28(c) | 2,710 | 2,566 | |
Merlin Entertainments PLC 5.75% 6/15/26 (c) | 4,580 | 4,537 | |
MGM Resorts International 4.75% 10/15/28 | 6,740 | 6,410 | |
NCL Corp. Ltd. 5.875% 2/15/27 (c) | 5,580 | 5,513 | |
Ontario Gaming Gta LP/Otg Co.-I 8% 8/1/30 (c) | 5,640 | 5,809 | |
Papa John's International, Inc. 3.875% 9/15/29 (c) | 2,555 | 2,266 | |
Premier Entertainment Sub LLC: | |||
5.625% 9/1/29(c) | 5,095 | 3,890 | |
5.875% 9/1/31(c) | 1,015 | 742 | |
Royal Caribbean Cruises Ltd.: | |||
5.375% 7/15/27(c) | 4,165 | 4,106 | |
6.25% 3/15/32(c) | 5,295 | 5,337 | |
7.25% 1/15/30(c) | 2,810 | 2,920 | |
8.25% 1/15/29(c) | 12,500 | 13,233 | |
9.25% 1/15/29(c) | 16,510 | 17,708 | |
SeaWorld Parks & Entertainment, Inc. 5.25% 8/15/29 (c) | 5,630 | 5,303 | |
Station Casinos LLC 4.625% 12/1/31 (c) | 4,155 | 3,734 | |
Studio City Finance Ltd. 5% 1/15/29 (c) | 3,255 | 2,860 | |
Vail Resorts, Inc. 6.25% 5/15/25 (c) | 3,855 | 3,856 | |
Voc Escrow Ltd. 5% 2/15/28 (c) | 10,470 | 10,073 | |
Yum! Brands, Inc. 4.625% 1/31/32 | 5,905 | 5,449 | |
301,648 | |||
Household Durables - 0.4% | |||
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 4/1/30 (c) | 4,105 | 3,751 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (c) | 4,370 | 3,920 | |
Century Communities, Inc. 3.875% 8/15/29 (c) | 4,225 | 3,804 | |
LGI Homes, Inc. 8.75% 12/15/28 (c) | 2,680 | 2,828 | |
Tempur Sealy International, Inc.: | |||
3.875% 10/15/31(c) | 7,360 | 6,250 | |
4% 4/15/29(c) | 7,905 | 7,174 | |
TopBuild Corp. 3.625% 3/15/29 (c) | 3,030 | 2,752 | |
TRI Pointe Group, Inc./TRI Pointe Holdings, Inc. 5.875% 6/15/24 | 11,770 | 11,746 | |
TRI Pointe Homes, Inc. 5.7% 6/15/28 | 8,715 | 8,581 | |
50,806 | |||
Specialty Retail - 0.5% | |||
Arko Corp. 5.125% 11/15/29 (c) | 4,190 | 3,468 | |
Asbury Automotive Group, Inc.: | |||
4.5% 3/1/28 | 1,987 | 1,892 | |
4.625% 11/15/29(c) | 4,555 | 4,203 | |
4.75% 3/1/30 | 1,980 | 1,824 | |
5% 2/15/32(c) | 4,915 | 4,453 | |
Bath & Body Works, Inc.: | |||
6.625% 10/1/30(c) | 6,650 | 6,793 | |
6.75% 7/1/36 | 8,920 | 9,009 | |
7.5% 6/15/29 | 5,030 | 5,213 | |
Carvana Co.: | |||
12% 12/1/28 pay-in-kind(c)(e) | 1,848 | 1,807 | |
13% 6/1/30 pay-in-kind(c)(e) | 2,785 | 2,716 | |
14% 6/1/31 pay-in-kind(c)(e) | 3,309 | 3,326 | |
LBM Acquisition LLC 6.25% 1/15/29 (c) | 8,415 | 7,890 | |
LCM Investments Holdings 8.25% 8/1/31 (c) | 3,345 | 3,499 | |
PetSmart, Inc. / PetSmart Finance Corp.: | |||
4.75% 2/15/28(c) | 5,700 | 5,337 | |
7.75% 2/15/29(c) | 4,135 | 4,026 | |
Wand NewCo 3, Inc. 7.625% 1/30/32 (c) | 5,325 | 5,507 | |
70,963 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Crocs, Inc.: | |||
4.125% 8/15/31(c) | 2,820 | 2,443 | |
4.25% 3/15/29(c) | 4,325 | 3,954 | |
Kontoor Brands, Inc. 4.125% 11/15/29 (c) | 2,420 | 2,172 | |
8,569 | |||
TOTAL CONSUMER DISCRETIONARY | 528,133 | ||
CONSUMER STAPLES - 1.1% | |||
Beverages - 0.1% | |||
Anheuser-Busch InBev SA NV 3.95% 3/22/44 (Reg. S) | EUR | 11,708 | 12,898 |
Triton Water Holdings, Inc. 6.25% 4/1/29 (c) | 3,135 | 2,855 | |
15,753 | |||
Consumer Staples Distribution & Retail - 0.5% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.5% 3/15/29(c) | 5,285 | 4,744 | |
4.625% 1/15/27(c) | 13,797 | 13,353 | |
4.875% 2/15/30(c) | 23,423 | 22,285 | |
C&S Group Enterprises LLC 5% 12/15/28 (c) | 5,155 | 4,125 | |
KeHE Distributor / Nextwave 9% 2/15/29 (c) | 9,625 | 9,758 | |
Performance Food Group, Inc.: | |||
4.25% 8/1/29(c) | 3,955 | 3,624 | |
5.5% 10/15/27(c) | 5,345 | 5,247 | |
U.S. Foods, Inc. 7.25% 1/15/32 (c) | 2,735 | 2,846 | |
United Natural Foods, Inc. 6.75% 10/15/28 (c) | 4,680 | 3,887 | |
69,869 | |||
Food Products - 0.4% | |||
Chobani LLC/Finance Corp., Inc. 4.625% 11/15/28 (c) | 3,790 | 3,534 | |
Darling Ingredients, Inc. 6% 6/15/30 (c) | 6,615 | 6,555 | |
Fiesta Purchaser, Inc. 7.875% 3/1/31 (c) | 5,015 | 5,179 | |
Lamb Weston Holdings, Inc.: | |||
4.125% 1/31/30(c) | 5,575 | 5,083 | |
4.375% 1/31/32(c) | 2,790 | 2,502 | |
Post Holdings, Inc.: | |||
4.5% 9/15/31(c) | 12,110 | 10,893 | |
4.625% 4/15/30(c) | 6,415 | 5,889 | |
5.5% 12/15/29(c) | 11,940 | 11,538 | |
Simmons Foods, Inc. 4.625% 3/1/29 (c) | 4,295 | 3,796 | |
54,969 | |||
Household Products - 0.0% | |||
Spectrum Brands Holdings, Inc. 3.875% 3/15/31 (c) | 4,310 | 4,152 | |
Personal Care Products - 0.1% | |||
BellRing Brands, Inc. 7% 3/15/30 (c) | 6,925 | 7,133 | |
TOTAL CONSUMER STAPLES | 151,876 | ||
ENERGY - 4.0% | |||
Energy Equipment & Services - 0.6% | |||
Borr IHC Ltd. / Borr Finance Ltd.: | |||
10% 11/15/28(c) | 4,075 | 4,238 | |
10.375% 11/15/30(c) | 1,360 | 1,414 | |
CGG SA 8.75% 4/1/27 (c) | 5,895 | 5,340 | |
Diamond Foreign Asset Co. / Diamond Finance, LLC 8.5% 10/1/30 (c) | 2,735 | 2,887 | |
Jonah Energy Parent LLC 12% 11/5/25 (b)(g) | 4,056 | 4,329 | |
Nabors Industries Ltd. 7.5% 1/15/28 (c) | 5,660 | 5,309 | |
Nabors Industries, Inc. 9.125% 1/31/30 (c) | 5,390 | 5,604 | |
Noble Finance II LLC 8% 4/15/30 (c) | 2,805 | 2,922 | |
NuStar Logistics LP 6% 6/1/26 | 7,285 | 7,252 | |
Seadrill Finance Ltd. 8.375% 8/1/30 (c) | 5,560 | 5,833 | |
Transocean Titan Finance Ltd. 8.375% 2/1/28 (c) | 5,815 | 6,052 | |
Transocean, Inc.: | |||
7.5% 1/15/26(c) | 1,390 | 1,381 | |
8% 2/1/27(c) | 4,185 | 4,154 | |
8.75% 2/15/30(c) | 10,062 | 10,491 | |
11.5% 1/30/27(c) | 5,420 | 5,649 | |
Valaris Ltd. 8.375% 4/30/30 (c) | 2,745 | 2,832 | |
75,687 | |||
Oil, Gas & Consumable Fuels - 3.4% | |||
Altus Midstream LP 5.875% 6/15/30 (c) | 4,180 | 4,089 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||
5.375% 6/15/29(c) | 4,305 | 4,140 | |
5.75% 1/15/28(c) | 10,640 | 10,476 | |
BP Capital Markets BV 4.323% 5/12/35 (Reg. S) | EUR | 21,714 | 24,760 |
Chesapeake Energy Corp.: | |||
5.875% 2/1/29(c) | 3,115 | 3,089 | |
6.75% 4/15/29(c) | 4,415 | 4,462 | |
7%(b)(d) | 3,985 | 0 | |
8%(b)(d) | 1,240 | 0 | |
8%(b)(d) | 1,955 | 0 | |
Citgo Petroleum Corp.: | |||
6.375% 6/15/26(c) | 4,665 | 4,679 | |
7% 6/15/25(c) | 13,580 | 13,563 | |
8.375% 1/15/29(c) | 12,030 | 12,639 | |
Civitas Resources, Inc. 8.625% 11/1/30 (c) | 5,415 | 5,815 | |
CNX Midstream Partners LP 4.75% 4/15/30 (c) | 2,970 | 2,647 | |
CNX Resources Corp.: | |||
6% 1/15/29(c) | 3,200 | 3,133 | |
7.375% 1/15/31(c) | 2,885 | 2,938 | |
Comstock Resources, Inc.: | |||
5.875% 1/15/30(c) | 15,170 | 13,738 | |
6.75% 3/1/29(c) | 8,110 | 7,734 | |
CQP Holdco LP / BIP-V Chinook Holdco LLC: | |||
5.5% 6/15/31(c) | 12,715 | 12,017 | |
7.5% 12/15/33(c) | 7,110 | 7,318 | |
CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (c) | 2,450 | 2,420 | |
CVR Energy, Inc.: | |||
5.75% 2/15/28(c) | 24,505 | 22,979 | |
8.5% 1/15/29(c) | 18,735 | 18,970 | |
DT Midstream, Inc.: | |||
4.125% 6/15/29(c) | 4,285 | 3,939 | |
4.375% 6/15/31(c) | 4,285 | 3,881 | |
EG Global Finance PLC 12% 11/30/28 (c) | 33,630 | 35,747 | |
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (c) | 10,149 | 10,231 | |
Energy Transfer LP 5.5% 6/1/27 | 12,065 | 12,140 | |
EnLink Midstream LLC 6.5% 9/1/30 (c) | 8,635 | 8,884 | |
Global Partners LP/GLP Finance Corp. 8.25% 1/15/32 (c) | 3,315 | 3,438 | |
Gran Tierra Energy, Inc. 9.5% 10/15/29 (c) | 3,310 | 3,079 | |
Hess Midstream Operations LP: | |||
4.25% 2/15/30(c) | 4,590 | 4,218 | |
5.125% 6/15/28(c) | 6,600 | 6,387 | |
5.5% 10/15/30(c) | 2,775 | 2,689 | |
5.625% 2/15/26(c) | 9,140 | 9,067 | |
HF Sinclair Corp.: | |||
5% 2/1/28(c) | 4,350 | 4,226 | |
6.375% 4/15/27(c) | 2,780 | 2,796 | |
Hilcorp Energy I LP/Hilcorp Finance Co. 6.25% 11/1/28 (c) | 7,130 | 7,122 | |
Howard Midstream Energy Partners LLC 8.875% 7/15/28 (c) | 6,965 | 7,350 | |
MEG Energy Corp. 7.125% 2/1/27 (c) | 3,854 | 3,905 | |
Mesquite Energy, Inc. 7.25% (b)(c)(d) | 12,834 | 0 | |
Murphy Oil U.S.A., Inc.: | |||
4.75% 9/15/29 | 4,155 | 3,941 | |
5.625% 5/1/27 | 3,665 | 3,631 | |
New Fortress Energy, Inc. 6.75% 9/15/25 (c) | 4,508 | 4,477 | |
NGPL PipeCo LLC 4.875% 8/15/27 (c) | 1,800 | 1,756 | |
Northern Oil & Gas, Inc.: | |||
8.125% 3/1/28(c) | 2,715 | 2,756 | |
8.75% 6/15/31(c) | 5,510 | 5,818 | |
Occidental Petroleum Corp. 7.2% 3/15/29 | 2,440 | 2,594 | |
Parkland Corp.: | |||
4.5% 10/1/29(c) | 4,420 | 4,088 | |
4.625% 5/1/30(c) | 5,540 | 5,107 | |
PBF Holding Co. LLC/PBF Finance Corp.: | |||
6% 2/15/28 | 15,760 | 15,508 | |
7.875% 9/15/30(c) | 8,145 | 8,449 | |
Permian Resources Operating LLC 5.875% 7/1/29 (c) | 4,055 | 3,974 | |
Sitio Royalties OP / Sitio Finance Corp. 7.875% 11/1/28 (c) | 6,775 | 7,007 | |
SM Energy Co.: | |||
5.625% 6/1/25 | 4,400 | 4,379 | |
6.625% 1/15/27 | 12,830 | 12,819 | |
6.75% 9/15/26 | 3,175 | 3,178 | |
Southwestern Energy Co.: | |||
5.375% 3/15/30 | 5,630 | 5,419 | |
5.7% 1/23/25(h) | 149 | 148 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 | 5,515 | 5,126 | |
4.5% 4/30/30 | 5,550 | 5,082 | |
7% 9/15/28(c) | 2,735 | 2,794 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
5.5% 1/15/28(c) | 280 | 270 | |
6% 3/1/27(c) | 2,815 | 2,771 | |
6% 9/1/31(c) | 5,355 | 4,998 | |
Talos Production, Inc.: | |||
9% 2/1/29(c) | 2,345 | 2,490 | |
9.375% 2/1/31(c) | 2,660 | 2,836 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 4.875% 2/1/31 | 6,345 | 6,074 | |
Teine Energy Ltd. 6.875% 4/15/29 (c) | 4,420 | 4,298 | |
Unit Corp. 0% 12/1/29 (b) | 1,660 | 0 | |
Venture Global Calcasieu Pass LLC: | |||
3.875% 8/15/29(c) | 3,525 | 3,173 | |
4.125% 8/15/31(c) | 3,525 | 3,134 | |
6.25% 1/15/30(c) | 11,160 | 11,228 | |
460,028 | |||
TOTAL ENERGY | 535,715 | ||
FINANCIALS - 4.9% | |||
Banks - 0.9% | |||
AIB Group PLC 2.875% 5/30/31 (Reg. S) (e) | EUR | 5,810 | 6,051 |
Banco Santander SA 5.75% 8/23/33 (Reg. S) (e) | EUR | 17,100 | 19,359 |
Bank of Ireland Group PLC 6.75% 3/1/33 (Reg. S) (e) | EUR | 3,700 | 4,264 |
Banque Federative du Credit Mutuel SA 3.75% 2/3/34 (Reg. S) | EUR | 3,400 | 3,714 |
Barclays PLC: | |||
4.506% 1/31/33 (Reg. S)(e) | EUR | 17,677 | 19,542 |
5.262% 1/29/34 (Reg. S)(e) | EUR | 17,448 | 20,302 |
Commerzbank AG: | |||
4.625% 1/17/31 (Reg. S)(e) | EUR | 5,600 | 6,190 |
6.5% 12/6/32 (Reg. S)(e) | EUR | 2,700 | 3,067 |
6.75% 10/5/33 (Reg. S)(e) | EUR | 5,400 | 6,260 |
HSBC Holdings PLC Eur Swap Annual 5Y Index + 3.300% 6.364% 11/16/32 (Reg. S) (e)(f) | EUR | 10,572 | 12,173 |
Intesa Sanpaolo SpA 6.184% 2/20/34 (Reg. S) (e) | EUR | 2,163 | 2,478 |
NatWest Group PLC 5.763% 2/28/34 (Reg. S) (e) | EUR | 17,280 | 19,658 |
123,058 | |||
Capital Markets - 0.8% | |||
AssuredPartners, Inc.: | |||
5.625% 1/15/29(c) | 4,720 | 4,348 | |
7.5% 2/15/32(c) | 2,650 | 2,604 | |
Broadstreet Partners, Inc. 5.875% 4/15/29 (c) | 7,265 | 6,724 | |
Coinbase Global, Inc.: | |||
3.375% 10/1/28(c) | 13,780 | 11,807 | |
3.625% 10/1/31(c) | 8,370 | 6,759 | |
Deutsche Bank AG 4% 6/24/32 (Reg. S) (e) | EUR | 37,300 | 38,945 |
Hightower Holding LLC 6.75% 4/15/29 (c) | 2,870 | 2,697 | |
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (c) | 3,985 | 3,687 | |
MSCI, Inc. 4% 11/15/29 (c) | 1,920 | 1,775 | |
UBS Group AG: | |||
4.125% 6/9/33 (Reg. S)(e) | EUR | 14,826 | 16,221 |
4.75% 3/17/32 (Reg. S)(e) | EUR | 12,713 | 14,425 |
VistaJet Malta Finance PLC / XO Management Holding, Inc. 9.5% 6/1/28 (c) | 4,205 | 3,576 | |
113,568 | |||
Consumer Finance - 1.0% | |||
Ally Financial, Inc.: | |||
8% 11/1/31 | 16,761 | 18,587 | |
8% 11/1/31 | 51,348 | 57,196 | |
OneMain Finance Corp.: | |||
4% 9/15/30 | 3,340 | 2,859 | |
5.375% 11/15/29 | 5,560 | 5,228 | |
6.625% 1/15/28 | 4,415 | 4,429 | |
6.875% 3/15/25 | 8,300 | 8,387 | |
7.125% 3/15/26 | 32,900 | 33,497 | |
7.875% 3/15/30 | 2,675 | 2,759 | |
132,942 | |||
Financial Services - 0.6% | |||
Block, Inc. 3.5% 6/1/31 | 5,745 | 5,000 | |
Compass Group Diversified Holdings LLC 5% 1/15/32 (c) | 2,765 | 2,471 | |
CRH SMW Finance DAC 4.25% 7/11/35 (Reg. S) | EUR | 16,057 | 18,142 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.375% 2/1/29 | 6,375 | 5,435 | |
5.25% 5/15/27 | 18,665 | 17,265 | |
6.25% 5/15/26 | 9,630 | 9,296 | |
6.375% 12/15/25 | 5,065 | 5,024 | |
James Hardie International Finance Ltd. 5% 1/15/28 (c) | 5,270 | 5,134 | |
MGIC Investment Corp. 5.25% 8/15/28 | 4,725 | 4,590 | |
NCR Atleos Corp. 9.5% 4/1/29 (c) | 4,090 | 4,375 | |
76,732 | |||
Insurance - 1.6% | |||
Acrisure LLC / Acrisure Finance, Inc.: | |||
6% 8/1/29(c) | 4,230 | 3,879 | |
8.25% 2/1/29(c) | 12,510 | 12,566 | |
10.125% 8/1/26(c) | 7,630 | 7,921 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer: | |||
4.25% 10/15/27(c) | 6,740 | 6,345 | |
5.875% 11/1/29(c) | 4,180 | 3,883 | |
6.75% 10/15/27(c) | 19,655 | 19,365 | |
6.75% 4/15/28(c) | 16,406 | 16,522 | |
7% 1/15/31(c) | 4,590 | 4,636 | |
AmWINS Group, Inc. 4.875% 6/30/29 (c) | 4,105 | 3,832 | |
ASR Nederland NV 7% 12/7/43 (Reg. S) (e) | EUR | 27,852 | 34,638 |
GTCR AP Finance, Inc. 8% 5/15/27 (c) | 2,715 | 2,716 | |
HUB International Ltd.: | |||
5.625% 12/1/29(c) | 16,470 | 15,443 | |
7.25% 6/15/30(c) | 17,925 | 18,421 | |
7.375% 1/31/32(c) | 6,655 | 6,700 | |
MAPFRE SA 2.875% 4/13/30 (Reg. S) | EUR | 12,900 | 12,965 |
National Financial Partners Corp.: | |||
4.875% 8/15/28(c) | 5,425 | 5,437 | |
6.875% 8/15/28(c) | 10,925 | 11,064 | |
8.5% 10/1/31(c) | 3,545 | 3,901 | |
NN Group NV 6% 11/3/43 (Reg. S) (e) | EUR | 11,341 | 13,329 |
Panther Escrow Issuer LLC 7.125% 6/1/31 (c)(i) | 9,115 | 9,267 | |
Sampo Oyj 2.5% 9/3/52 (Reg. S) (e) | EUR | 2,579 | 2,403 |
USI, Inc. 7.5% 1/15/32 (c) | 3,540 | 3,547 | |
218,780 | |||
TOTAL FINANCIALS | 665,080 | ||
HEALTH CARE - 1.6% | |||
Biotechnology - 0.0% | |||
Grifols SA 4.75% 10/15/28 (c) | 2,795 | 2,312 | |
Health Care Equipment & Supplies - 0.1% | |||
Avantor Funding, Inc. 3.875% 11/1/29 (c) | 2,790 | 2,515 | |
Bausch + Lomb Corp. 8.375% 10/1/28 (c) | 5,470 | 5,660 | |
Hologic, Inc. 4.625% 2/1/28 (c) | 2,505 | 2,412 | |
10,587 | |||
Health Care Providers & Services - 1.0% | |||
180 Medical, Inc. 3.875% 10/15/29 (c) | 2,995 | 2,702 | |
Cano Health, Inc. 6.25% (c)(d) | 1,865 | 1 | |
Community Health Systems, Inc.: | |||
4.75% 2/15/31(c) | 11,430 | 8,821 | |
5.25% 5/15/30(c) | 8,305 | 6,772 | |
6% 1/15/29(c) | 4,940 | 4,316 | |
6.125% 4/1/30(c) | 10,425 | 7,518 | |
8% 3/15/26(c) | 7,241 | 7,226 | |
10.875% 1/15/32(c) | 8,565 | 8,822 | |
DaVita, Inc.: | |||
3.75% 2/15/31(c) | 2,075 | 1,737 | |
4.625% 6/1/30(c) | 15,850 | 14,190 | |
HealthEquity, Inc. 4.5% 10/1/29 (c) | 2,950 | 2,722 | |
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (c) | 3,250 | 2,357 | |
Molina Healthcare, Inc.: | |||
3.875% 11/15/30(c) | 6,345 | 5,641 | |
3.875% 5/15/32(c) | 5,560 | 4,841 | |
4.375% 6/15/28(c) | 4,690 | 4,409 | |
Radiology Partners, Inc. 5% 1/31/29 pay-in-kind (c)(e) | 5,558 | 5,157 | |
Tenet Healthcare Corp.: | |||
5.125% 11/1/27 | 10,955 | 10,715 | |
6.125% 6/15/30 | 13,945 | 13,913 | |
6.25% 2/1/27 | 20,050 | 20,043 | |
6.75% 5/15/31(c) | 2,715 | 2,764 | |
134,667 | |||
Health Care Technology - 0.0% | |||
IQVIA, Inc. 5% 5/15/27 (c) | 5,660 | 5,527 | |
Life Sciences Tools & Services - 0.1% | |||
Charles River Laboratories International, Inc.: | |||
4% 3/15/31(c) | 6,035 | 5,393 | |
4.25% 5/1/28(c) | 2,045 | 1,929 | |
7,322 | |||
Pharmaceuticals - 0.4% | |||
Bausch Health Companies, Inc.: | |||
4.875% 6/1/28(c) | 7,635 | 4,166 | |
5.75% 8/15/27(c) | 8,145 | 4,701 | |
6.125% 2/1/27(c) | 14,026 | 8,739 | |
11% 9/30/28(c) | 2,275 | 1,519 | |
Bayer AG: | |||
5.375% 3/25/82 (Reg. S)(e) | EUR | 3,300 | 3,302 |
6.625% 9/25/83 (Reg. S)(e) | EUR | 1,700 | 1,821 |
7% 9/25/83 (Reg. S)(e) | EUR | 10,100 | 10,955 |
Organon & Co. / Organon Foreign Debt Co-Issuer BV: | |||
4.125% 4/30/28(c) | 10,200 | 9,505 | |
5.125% 4/30/31(c) | 8,890 | 7,904 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
4.75% 5/9/27 | 2,775 | 2,686 | |
5.125% 5/9/29 | 2,775 | 2,667 | |
7.875% 9/15/29 | 2,805 | 3,011 | |
60,976 | |||
TOTAL HEALTH CARE | 221,391 | ||
INDUSTRIALS - 4.8% | |||
Aerospace & Defense - 1.4% | |||
Bombardier, Inc.: | |||
6% 2/15/28(c) | 2,815 | 2,769 | |
7.125% 6/15/26(c) | 4,418 | 4,482 | |
7.25% 7/1/31(c)(i) | 2,610 | 2,615 | |
7.875% 4/15/27(c) | 11,323 | 11,331 | |
8.75% 11/15/30(c) | 4,055 | 4,330 | |
BWX Technologies, Inc. 4.125% 6/30/28 (c) | 6,400 | 5,967 | |
Moog, Inc. 4.25% 12/15/27 (c) | 2,025 | 1,906 | |
Rolls-Royce PLC 5.75% 10/15/27 (c) | 6,560 | 6,578 | |
TransDigm, Inc.: | |||
4.625% 1/15/29 | 9,290 | 8,621 | |
5.5% 11/15/27 | 68,140 | 66,522 | |
6.375% 3/1/29(c) | 8,150 | 8,175 | |
6.625% 3/1/32(c) | 2,650 | 2,677 | |
6.75% 8/15/28(c) | 12,760 | 12,920 | |
6.875% 12/15/30(c) | 21,975 | 22,401 | |
7.125% 12/1/31(c) | 5,390 | 5,555 | |
7.5% 3/15/27 | 11,028 | 11,037 | |
Triumph Group, Inc. 9% 3/15/28 (c) | 3,788 | 3,993 | |
181,879 | |||
Air Freight & Logistics - 0.1% | |||
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (c) | 3,960 | 3,579 | |
Rand Parent LLC 8.5% 2/15/30 (c) | 6,985 | 6,917 | |
10,496 | |||
Building Products - 0.2% | |||
Advanced Drain Systems, Inc.: | |||
5% 9/30/27(c) | 1,400 | 1,358 | |
6.375% 6/15/30(c) | 2,780 | 2,794 | |
Carrier Global Corp. 4.5% 11/29/32 | EUR | 10,150 | 11,610 |
MITER Brands Acquisition Holdco, Inc. / MIWD Borrower LLC 6.75% 4/1/32 (c) | 3,920 | 3,933 | |
MIWD Holdco II LLC / MIWD Finance Corp. 5.5% 2/1/30 (c) | 1,865 | 1,716 | |
Shea Homes Ltd. Partnership/Corp. 4.75% 4/1/29 | 4,830 | 4,552 | |
25,963 | |||
Commercial Services & Supplies - 1.2% | |||
Artera Services LLC 8.5% 2/15/31 (c) | 11,060 | 11,339 | |
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
4.625% 6/1/28(c) | 5,414 | 4,944 | |
4.625% 6/1/28(c) | 3,736 | 3,396 | |
Brand Industrial Services, Inc. 10.375% 8/1/30 (c) | 20,835 | 22,557 | |
Clean Harbors, Inc. 6.375% 2/1/31 (c) | 2,350 | 2,367 | |
CoreCivic, Inc. 8.25% 4/15/29 | 14,760 | 15,439 | |
Covanta Holding Corp.: | |||
4.875% 12/1/29(c) | 9,642 | 8,642 | |
5% 9/1/30 | 8,005 | 7,055 | |
GFL Environmental, Inc.: | |||
4% 8/1/28(c) | 4,200 | 3,871 | |
4.75% 6/15/29(c) | 5,705 | 5,365 | |
6.75% 1/15/31(c) | 3,980 | 4,079 | |
Madison IAQ LLC: | |||
4.125% 6/30/28(c) | 5,345 | 4,944 | |
5.875% 6/30/29(c) | 4,265 | 3,902 | |
Neptune BidCo U.S., Inc. 9.29% 4/15/29 (c) | 22,560 | 21,291 | |
OpenLane, Inc. 5.125% 6/1/25 (c) | 6,210 | 6,111 | |
The Brink's Co. 4.625% 10/15/27 (c) | 7,200 | 6,836 | |
The GEO Group, Inc.: | |||
9.5% 12/31/28(c) | 5,755 | 5,798 | |
10.5% 6/30/28 | 16,764 | 17,078 | |
Williams Scotsman, Inc. 7.375% 10/1/31 (c) | 2,735 | 2,843 | |
157,857 | |||
Construction & Engineering - 0.5% | |||
AECOM 5.125% 3/15/27 | 7,490 | 7,358 | |
Arcosa, Inc. 4.375% 4/15/29 (c) | 4,130 | 3,806 | |
Bouygues SA 5.375% 6/30/42 (Reg. S) | EUR | 18,400 | 23,488 |
Pike Corp.: | |||
5.5% 9/1/28(c) | 18,325 | 17,540 | |
8.625% 1/31/31(c) | 6,710 | 7,130 | |
SRS Distribution, Inc.: | |||
4.625% 7/1/28(c) | 5,520 | 5,560 | |
6.125% 7/1/29(c) | 2,315 | 2,361 | |
67,243 | |||
Electrical Equipment - 0.0% | |||
Sensata Technologies BV 4% 4/15/29 (c) | 5,910 | 5,396 | |
Ground Transportation - 0.6% | |||
Uber Technologies, Inc.: | |||
4.5% 8/15/29(c) | 12,675 | 12,026 | |
6.25% 1/15/28(c) | 5,520 | 5,543 | |
7.5% 9/15/27(c) | 31,625 | 32,384 | |
8% 11/1/26(c) | 29,170 | 29,521 | |
XPO, Inc.: | |||
6.25% 6/1/28(c) | 2,790 | 2,813 | |
7.125% 2/1/32(c) | 4,015 | 4,132 | |
86,419 | |||
Industrial Conglomerates - 0.0% | |||
Honeywell International, Inc. 4.125% 11/2/34 | EUR | 4,282 | 4,871 |
Machinery - 0.1% | |||
Allison Transmission, Inc. 5.875% 6/1/29 (c) | 4,830 | 4,782 | |
ATS Corp. 4.125% 12/15/28 (c) | 4,630 | 4,244 | |
Chart Industries, Inc. 7.5% 1/1/30 (c) | 7,420 | 7,705 | |
16,731 | |||
Marine Transportation - 0.0% | |||
Seaspan Corp. 5.5% 8/1/29 (c) | 4,240 | 3,697 | |
Passenger Airlines - 0.5% | |||
Air Canada 3.875% 8/15/26 (c) | 4,230 | 4,037 | |
Allegiant Travel Co. 7.25% 8/15/27 (c) | 4,365 | 4,342 | |
American Airlines, Inc.: | |||
7.25% 2/15/28(c) | 9,260 | 9,404 | |
8.5% 5/15/29(c) | 8,875 | 9,376 | |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.75% 4/20/29 (c) | 13,870 | 13,634 | |
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd.: | |||
8% 9/20/25(c) | 1,420 | 1,078 | |
8% 9/20/25(c) | 4,670 | 3,545 | |
United Airlines, Inc.: | |||
4.375% 4/15/26(c) | 14,560 | 14,076 | |
4.625% 4/15/29(c) | 8,725 | 8,114 | |
67,606 | |||
Professional Services - 0.1% | |||
ASGN, Inc. 4.625% 5/15/28 (c) | 5,670 | 5,334 | |
TriNet Group, Inc. 3.5% 3/1/29 (c) | 4,545 | 4,076 | |
9,410 | |||
Trading Companies & Distributors - 0.1% | |||
Fortress Transportation & Infrastructure Investors LLC 7.875% 12/1/30 (c) | 4,040 | 4,242 | |
Foundation Building Materials, Inc. 6% 3/1/29 (c) | 3,110 | 2,860 | |
H&E Equipment Services, Inc. 3.875% 12/15/28 (c) | 10,040 | 9,191 | |
16,293 | |||
TOTAL INDUSTRIALS | 653,861 | ||
INFORMATION TECHNOLOGY - 1.5% | |||
Electronic Equipment, Instruments & Components - 0.1% | |||
Coherent Corp. 5% 12/15/29 (c) | 4,370 | 4,116 | |
TTM Technologies, Inc. 4% 3/1/29 (c) | 4,540 | 4,118 | |
8,234 | |||
IT Services - 0.2% | |||
Acuris Finance U.S. 5% 5/1/28 (c) | 4,315 | 3,921 | |
CA Magnum Holdings 5.375% 10/31/26 (c) | 2,230 | 2,141 | |
Camelot Finance SA 4.5% 11/1/26 (c) | 6,365 | 6,124 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc.: | |||
3.5% 3/1/29(c) | 6,060 | 5,466 | |
5.25% 12/1/27(c) | 5,665 | 5,540 | |
Unisys Corp. 6.875% 11/1/27 (c) | 3,685 | 3,275 | |
26,467 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
ON Semiconductor Corp. 3.875% 9/1/28 (c) | 6,765 | 6,215 | |
Synaptics, Inc. 4% 6/15/29 (c) | 3,500 | 3,150 | |
9,365 | |||
Software - 1.0% | |||
Clarivate Science Holdings Corp.: | |||
3.875% 7/1/28(c) | 5,025 | 4,649 | |
4.875% 7/1/29(c) | 4,755 | 4,399 | |
Cloud Software Group, Inc. 6.5% 3/31/29 (c) | 46,745 | 44,359 | |
Elastic NV 4.125% 7/15/29 (c) | 11,340 | 10,205 | |
Fair Isaac Corp. 4% 6/15/28 (c) | 6,420 | 5,997 | |
Gen Digital, Inc. 5% 4/15/25 (c) | 6,360 | 6,322 | |
ION Trading Technologies Ltd. 5.75% 5/15/28 (c) | 5,780 | 5,303 | |
MicroStrategy, Inc. 6.125% 6/15/28 (c) | 9,960 | 9,609 | |
NCR Voyix Corp.: | |||
5% 10/1/28(c) | 3,385 | 3,155 | |
5.25% 10/1/30(c) | 13,370 | 12,097 | |
Open Text Corp. 6.9% 12/1/27 (c) | 5,000 | 5,170 | |
Open Text Holdings, Inc.: | |||
4.125% 2/15/30(c) | 3,220 | 2,885 | |
4.125% 12/1/31(c) | 2,490 | 2,185 | |
PTC, Inc.: | |||
3.625% 2/15/25(c) | 3,755 | 3,677 | |
4% 2/15/28(c) | 3,715 | 3,472 | |
UKG, Inc. 6.875% 2/1/31 (c) | 3,980 | 4,055 | |
Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (c) | 8,925 | 8,183 | |
135,722 | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
Seagate HDD Cayman: | |||
8.25% 12/15/29(c) | 9,200 | 9,885 | |
8.5% 7/15/31(c) | 5,975 | 6,457 | |
16,342 | |||
TOTAL INFORMATION TECHNOLOGY | 196,130 | ||
MATERIALS - 2.4% | |||
Chemicals - 0.8% | |||
Air Products & Chemicals, Inc. 4% 3/3/35 | EUR | 8,899 | 10,046 |
BASF AG 4.25% 3/8/32 (Reg. S) | EUR | 13,500 | 15,344 |
Consolidated Energy Finance SA 12% 2/15/31 (c) | 4,240 | 4,428 | |
Ingevity Corp. 3.875% 11/1/28 (c) | 6,715 | 6,065 | |
LSB Industries, Inc. 6.25% 10/15/28 (c) | 9,723 | 9,358 | |
NOVA Chemicals Corp. 8.5% 11/15/28 (c) | 3,635 | 3,869 | |
Olympus Water U.S. Holding Corp.: | |||
4.25% 10/1/28(c) | 7,070 | 6,414 | |
7.125% 10/1/27(c) | 3,445 | 3,480 | |
9.75% 11/15/28(c) | 13,941 | 14,850 | |
SCIH Salt Holdings, Inc. 4.875% 5/1/28 (c) | 3,770 | 3,512 | |
SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (c) | 6,435 | 6,245 | |
The Scotts Miracle-Gro Co. 4% 4/1/31 | 5,930 | 5,114 | |
W.R. Grace Holding LLC: | |||
5.625% 8/15/29(c) | 13,095 | 11,719 | |
7.375% 3/1/31(c) | 2,810 | 2,845 | |
103,289 | |||
Construction Materials - 0.2% | |||
Smyrna Ready Mix Concrete LLC 8.875% 11/15/31 (c) | 10,810 | 11,555 | |
Summit Materials LLC/Summit Materials Finance Corp.: | |||
5.25% 1/15/29(c) | 6,525 | 6,358 | |
7.25% 1/15/31(c) | 4,060 | 4,207 | |
22,120 | |||
Containers & Packaging - 0.6% | |||
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: | |||
3.25% 9/1/28(c) | 3,025 | 2,613 | |
4% 9/1/29(c) | 6,050 | 4,877 | |
6% 6/15/27(c) | 2,785 | 2,704 | |
Cascades, Inc.: | |||
5.125% 1/15/26(c) | 3,310 | 3,244 | |
5.375% 1/15/28(c) | 3,310 | 3,178 | |
Clydesdale Acquisition Holdings, Inc. 8.75% 4/15/30 (c) | 21,190 | 20,820 | |
Crown Cork & Seal, Inc.: | |||
7.375% 12/15/26 | 16,535 | 17,347 | |
7.5% 12/15/96 | 7,695 | 8,311 | |
Graham Packaging Co., Inc. 7.125% 8/15/28 (c) | 3,720 | 3,373 | |
Graphic Packaging International, Inc. 3.75% 2/1/30 (c) | 3,585 | 3,188 | |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (c) | 2,570 | 2,437 | |
Mauser Packaging Solutions Holding Co. 7.875% 8/15/26 (c) | 5,635 | 5,741 | |
Sealed Air Corp./Sealed Air Corp. U.S. 6.125% 2/1/28 (c) | 2,815 | 2,821 | |
Trident TPI Holdings, Inc. 12.75% 12/31/28 (c) | 2,765 | 2,950 | |
83,604 | |||
Metals & Mining - 0.8% | |||
Alcoa Nederland Holding BV: | |||
4.125% 3/31/29(c) | 7,735 | 7,101 | |
6.125% 5/15/28(c) | 2,110 | 2,113 | |
7.125% 3/15/31(c) | 2,135 | 2,175 | |
Algoma Steel SCA 0% 12/31/24 (b) | 1,518 | 0 | |
Arsenal AIC Parent LLC 8% 10/1/30 (c) | 3,285 | 3,449 | |
ATI, Inc.: | |||
4.875% 10/1/29 | 2,795 | 2,630 | |
5.125% 10/1/31 | 2,480 | 2,298 | |
7.25% 8/15/30 | 2,745 | 2,837 | |
Cleveland-Cliffs, Inc.: | |||
4.625% 3/1/29(c) | 4,615 | 4,302 | |
4.875% 3/1/31(c) | 4,615 | 4,181 | |
6.75% 4/15/30(c) | 9,035 | 9,061 | |
Compass Minerals International, Inc. 6.75% 12/1/27 (c) | 9,315 | 9,005 | |
Eldorado Gold Corp. 6.25% 9/1/29 (c) | 4,225 | 4,024 | |
ERO Copper Corp. 6.5% 2/15/30 (c) | 4,180 | 3,966 | |
First Quantum Minerals Ltd.: | |||
8.625% 6/1/31(c) | 7,775 | 7,542 | |
9.375% 3/1/29(c) | 6,235 | 6,459 | |
FMG Resources Pty Ltd.: | |||
4.375% 4/1/31(c) | 4,420 | 3,949 | |
4.5% 9/15/27(c) | 5,450 | 5,235 | |
HudBay Minerals, Inc. 4.5% 4/1/26 (c) | 3,600 | 3,487 | |
Kaiser Aluminum Corp. 4.625% 3/1/28 (c) | 6,615 | 6,207 | |
Mineral Resources Ltd.: | |||
8% 11/1/27(c) | 2,785 | 2,842 | |
8.125% 5/1/27(c) | 11,025 | 11,153 | |
8.5% 5/1/30(c) | 2,065 | 2,127 | |
9.25% 10/1/28(c) | 4,830 | 5,087 | |
Murray Energy Corp.: | |||
11.25%(b)(c)(d) | 5,925 | 0 | |
12% pay-in-kind(b)(c)(d)(e) | 6,364 | 0 | |
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (c) | 2,015 | 1,845 | |
113,075 | |||
TOTAL MATERIALS | 322,088 | ||
REAL ESTATE - 1.4% | |||
Equity Real Estate Investment Trusts (REITs) - 1.1% | |||
Iron Mountain Information Management Services, Inc. 5% 7/15/32 (c) | 4,190 | 3,827 | |
Iron Mountain, Inc.: | |||
4.875% 9/15/29(c) | 14,590 | 13,688 | |
5% 7/15/28(c) | 6,370 | 6,094 | |
5.25% 7/15/30(c) | 5,915 | 5,595 | |
5.625% 7/15/32(c) | 5,915 | 5,587 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
3.5% 3/15/31 | 6,700 | 4,600 | |
4.625% 8/1/29 | 10,950 | 8,404 | |
5% 10/15/27 | 21,010 | 17,596 | |
Prologis International Funding II SA: | |||
3.125% 6/1/31 (Reg. S) | EUR | 22,000 | 22,618 |
4.625% 2/21/35 (Reg. S) | EUR | 8,863 | 10,031 |
SBA Communications Corp. 3.875% 2/15/27 | 9,720 | 9,245 | |
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC 6% 1/15/30 (c) | 3,390 | 2,528 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC: | |||
4.75% 4/15/28(c) | 9,350 | 8,164 | |
6.5% 2/15/29(c) | 5,660 | 4,387 | |
10.5% 2/15/28(c) | 1,075 | 1,114 | |
VICI Properties LP / VICI Note Co.: | |||
3.875% 2/15/29(c) | 6,695 | 6,162 | |
4.25% 12/1/26(c) | 12,650 | 12,163 | |
4.625% 12/1/29(c) | 7,220 | 6,828 | |
148,631 | |||
Real Estate Management & Development - 0.3% | |||
Greystar Real Estate Partners 7.75% 9/1/30 (c) | 2,435 | 2,520 | |
SELP Finance SARL: | |||
0.875% 5/27/29 (Reg. S) | EUR | 5,520 | 5,126 |
3.75% 8/10/27 (Reg. S) | EUR | 10,184 | 10,920 |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.125% 8/1/30(c) | 6,480 | 6,188 | |
5.875% 6/15/27(c) | 5,610 | 5,604 | |
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (c) | 3,045 | 2,815 | |
33,173 | |||
TOTAL REAL ESTATE | 181,804 | ||
UTILITIES - 2.0% | |||
Electric Utilities - 1.3% | |||
Clearway Energy Operating LLC: | |||
3.75% 1/15/32(c) | 2,795 | 2,350 | |
4.75% 3/15/28(c) | 4,055 | 3,854 | |
Electricite de France SA 4.625% 1/25/43 (Reg. S) | EUR | 13,200 | 14,824 |
EnBW International Finance BV 4.3% 5/23/34 (Reg. S) | EUR | 16,104 | 18,247 |
Energias de Portugal SA: | |||
1.875% 3/14/82 (Reg. S)(e) | EUR | 5,600 | 5,194 |
5.943% 4/23/83 (Reg. S)(e) | EUR | 900 | 1,014 |
NextEra Energy Partners LP 7.25% 1/15/29 (c) | 2,675 | 2,737 | |
NRG Energy, Inc.: | |||
3.375% 2/15/29(c) | 3,080 | 2,736 | |
3.625% 2/15/31(c) | 6,110 | 5,273 | |
3.875% 2/15/32(c) | 582 | 499 | |
5.75% 1/15/28 | 19,350 | 19,243 | |
ORSTED A/S 5.25% 12/8/22 (Reg. S) (e) | EUR | 5,900 | 6,478 |
Pacific Gas & Electric Co.: | |||
3.95% 12/1/47 | 2,711 | 2,028 | |
4% 12/1/46 | 8,299 | 6,219 | |
4.3% 3/15/45 | 3,690 | 2,916 | |
PG&E Corp.: | |||
5% 7/1/28 | 13,615 | 13,112 | |
5.25% 7/1/30 | 5,150 | 4,894 | |
Vistra Operations Co. LLC: | |||
4.375% 5/1/29(c) | 11,110 | 10,292 | |
5% 7/31/27(c) | 13,800 | 13,363 | |
5.5% 9/1/26(c) | 9,975 | 9,821 | |
5.625% 2/15/27(c) | 17,455 | 17,187 | |
7.75% 10/15/31(c) | 5,470 | 5,729 | |
168,010 | |||
Gas Utilities - 0.2% | |||
Southern Natural Gas Co. LLC: | |||
7.35% 2/15/31 | 14,890 | 15,855 | |
8% 3/1/32 | 9,400 | 10,809 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5% 6/1/31 (c) | 5,750 | 5,242 | |
31,906 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (c) | 3,735 | 3,432 | |
RWE AG 4.125% 2/13/35 (Reg. S) | EUR | 9,787 | 10,957 |
Sunnova Energy Corp.: | |||
5.875% 9/1/26(c) | 1,350 | 1,051 | |
11.75% 10/1/28(c) | 8,050 | 6,282 | |
21,722 | |||
Multi-Utilities - 0.2% | |||
E.ON SE 4.125% 3/25/44 (Reg. S) | EUR | 7,017 | 7,745 |
Engie SA 3.875% 3/6/36 (Reg. S) | EUR | 9,600 | 10,551 |
National Grid PLC 4.275% 1/16/35 (Reg. S) | EUR | 13,049 | 14,509 |
32,805 | |||
Water Utilities - 0.1% | |||
Suez SACA 2.375% 5/24/30 (Reg. S) | EUR | 16,800 | 16,930 |
TOTAL UTILITIES | 271,373 | ||
TOTAL NONCONVERTIBLE BONDS | 4,025,557 | ||
TOTAL CORPORATE BONDS (Cost $4,163,371) | 4,088,844 | ||
U.S. Government and Government Agency Obligations - 23.4% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
U.S. Government Agency Obligations - 0.0% | |||
Tennessee Valley Authority: | |||
5.25% 9/15/39 | 2,106 | 2,206 | |
5.375% 4/1/56 | 3,503 | 3,763 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 5,969 | ||
U.S. Treasury Obligations - 23.3% | |||
U.S. Treasury Bills, yield at date of purchase 5.28% to 5.28% 4/25/24 to 5/2/24 (j) | 11,820 | 11,770 | |
U.S. Treasury Bonds: | |||
2% 8/15/51 | 136,164 | 84,363 | |
2.25% 2/15/52 | 115,400 | 75,907 | |
2.5% 2/15/45 | 216,056 | 157,983 | |
3% 5/15/45 | 20,100 | 16,025 | |
3% 2/15/49 | 128,820 | 100,434 | |
3.625% 2/15/53 | 105,566 | 92,700 | |
3.625% 5/15/53 | 11,450 | 10,060 | |
4.125% 8/15/53 | 61,060 | 58,684 | |
4.375% 8/15/43 | 121,720 | 120,275 | |
4.75% 2/15/37 | 74,200 | 78,919 | |
5.25% 2/15/29 | 5,406 | 5,645 | |
6.125% 8/15/29 | 3,663 | 3,991 | |
U.S. Treasury Notes: | |||
0.25% 9/30/25 | 26,037 | 24,331 | |
0.25% 10/31/25 | 5,880 | 5,477 | |
0.375% 12/31/25 | 158,357 | 146,876 | |
0.375% 1/31/26 | 13,900 | 12,852 | |
0.625% 7/31/26 | 24,000 | 21,934 | |
0.75% 3/31/26 | 46,052 | 42,670 | |
0.75% 8/31/26 | 177,019 | 161,813 | |
1% 7/31/28 | 49,141 | 42,818 | |
1.125% 10/31/26 | 17,300 | 15,889 | |
1.125% 8/31/28 | 339,517 | 296,875 | |
1.25% 12/31/26 | 33,922 | 31,142 | |
1.25% 9/30/28 | 38,280 | 33,586 | |
1.375% 10/31/28 | 8,911 | 7,849 | |
1.5% 1/31/27 | 40,989 | 37,800 | |
1.5% 11/30/28 | 6,930 | 6,130 | |
1.625% 9/30/26 | 3,093 | 2,885 | |
1.75% 1/31/29 | 41,434 | 36,957 | |
1.875% 2/28/27 | 242,560 | 225,695 | |
2.125% 5/15/25 | 12,033 | 11,661 | |
2.25% 3/31/26 | 34,717 | 33,153 | |
2.375% 3/31/29 | 7,500 | 6,874 | |
2.5% 2/28/26 | 38,997 | 37,458 | |
2.5% 3/31/27 | 7,200 | 6,817 | |
2.625% 5/31/27 | 90 | 85 | |
2.625% 7/31/29 | 23,875 | 22,059 | |
2.75% 6/30/25 | 197 | 192 | |
2.75% 7/31/27 | 5,670 | 5,385 | |
2.75% 5/31/29 | 18,541 | 17,271 | |
2.75% 8/15/32 | 83,642 | 75,020 | |
2.875% 5/15/32 | 30,472 | 27,666 | |
3.125% 11/15/28 | 28,930 | 27,555 | |
3.375% 5/15/33 | 7,260 | 6,801 | |
3.5% 1/31/28 | 20,540 | 19,939 | |
3.5% 2/15/33 | 49,310 | 46,700 | |
3.625% 5/15/26 | 35,540 | 34,837 | |
3.625% 3/31/28 | 34,500 | 33,632 | |
3.625% 3/31/30 | 21,930 | 21,228 | |
3.75% 5/31/30 | 12,660 | 12,328 | |
3.875% 11/30/27 | 14,110 | 13,882 | |
3.875% 12/31/27 | 51,100 | 50,288 | |
3.875% 8/15/33 | 16,114 | 15,686 | |
4% 2/15/26 | 49,100 | 48,490 | |
4% 1/15/27 | 61,280 | 60,548 | |
4% 10/31/29 | 19,300 | 19,072 | |
4% 7/31/30 | 23,420 | 23,114 | |
4% 1/31/31 | 6,420 | 6,336 | |
4.125% 2/15/27 | 129,860 | 128,764 | |
4.125% 10/31/27 | 8,800 | 8,730 | |
4.125% 7/31/28 | 15,000 | 14,906 | |
4.125% 3/31/29 | 9,050 | 9,011 | |
4.125% 8/31/30 | 31,870 | 31,666 | |
4.125% 11/15/32 | 27,677 | 27,488 | |
4.25% 3/15/27 | 89,660 | 89,247 | |
4.25% 2/28/31 | 35,790 | 35,852 | |
4.375% 11/30/28 | 32,510 | 32,681 | |
4.375% 11/30/30 | 24,163 | 24,364 | |
4.625% 3/15/26 | 10,990 | 10,981 | |
4.625% 11/15/26 | 32,750 | 32,856 | |
4.625% 9/30/28 | 21,630 | 21,942 | |
4.875% 10/31/30 | 25,780 | 26,718 | |
TOTAL U.S. TREASURY OBLIGATIONS | 3,149,618 | ||
Other Government Related - 0.1% | |||
Private Export Funding Corp. Secured 1.75% 11/15/24 | 11,520 | 11,265 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,479,804) | 3,166,852 | ||
U.S. Government Agency - Mortgage Securities - 4.8% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Fannie Mae - 1.3% | |||
1.5% 11/1/40 to 11/1/41 | 37,876 | 30,810 | |
2% 2/1/28 to 5/1/42 | 83,428 | 71,300 | |
2.5% 1/1/28 to 5/1/42 | 27,363 | 24,879 | |
3% 11/1/34 to 2/1/52 | 16,265 | 14,827 | |
3.5% 9/1/33 to 3/1/52 | 3,373 | 3,211 | |
5% 5/1/52 to 12/1/52 (k) | 14,967 | 14,797 | |
6% 6/1/53 to 3/1/54 | 9,205 | 9,397 | |
6.5% 3/1/54 | 699 | 716 | |
TOTAL FANNIE MAE | 169,937 | ||
Freddie Mac - 1.1% | |||
1.5% 12/1/40 to 4/1/41 | 10,490 | 8,586 | |
2% 6/1/35 to 7/1/41 | 38,388 | 33,517 | |
2.5% 1/1/28 to 2/1/42 | 61,012 | 54,146 | |
3% 9/1/34 | 3,267 | 3,075 | |
3.5% 5/1/51 to 3/1/52 (j)(k) | 27,264 | 24,602 | |
5% 5/1/52 to 12/1/52 (j)(k) | 11,988 | 11,844 | |
5.5% 9/1/52 | 6,415 | 6,442 | |
6% 9/1/53 to 11/1/53 | 545 | 553 | |
6.5% 10/1/53 | 7,441 | 7,714 | |
TOTAL FREDDIE MAC | 150,479 | ||
Ginnie Mae - 1.7% | |||
2% 4/1/54 (i) | 8,000 | 6,555 | |
2% 4/1/54 (i) | 6,250 | 5,121 | |
2% 4/1/54 (i) | 625 | 512 | |
2% 4/1/54 (i) | 275 | 225 | |
2% 4/1/54 (i) | 3,200 | 2,622 | |
2% 4/1/54 (i) | 15,175 | 12,433 | |
2% 4/1/54 (i) | 30,375 | 24,887 | |
2% 4/1/54 (i) | 1,125 | 922 | |
2% 5/1/54 (i) | 7,300 | 5,988 | |
2% 5/1/54 (i) | 3,600 | 2,953 | |
2% 5/1/54 (i) | 10,750 | 8,819 | |
2% 5/1/54 (i) | 14,250 | 11,690 | |
2.5% 8/20/51 to 12/20/51 | 12,593 | 10,581 | |
6% 4/1/54 (i) | 2,850 | 2,876 | |
6% 4/1/54 (i) | 2,850 | 2,876 | |
6% 4/1/54 (i) | 1,750 | 1,766 | |
6% 4/1/54 (i) | 2,875 | 2,901 | |
6% 4/1/54 (i) | 5,275 | 5,322 | |
6.5% 4/1/54 (i) | 9,300 | 9,455 | |
6.5% 4/1/54 (i) | 28,000 | 28,465 | |
6.5% 4/1/54 (i) | 14,000 | 14,233 | |
6.5% 4/1/54 (i) | 28,200 | 28,669 | |
6.5% 5/1/54 (i) | 20,500 | 20,819 | |
6.5% 5/1/54 (i) | 17,150 | 17,417 | |
TOTAL GINNIE MAE | 228,107 | ||
Uniform Mortgage Backed Securities - 0.7% | |||
2% 4/1/54 (i) | 4,600 | 3,639 | |
2% 4/1/54 (i) | 2,300 | 1,820 | |
2% 4/1/54 (i) | 4,200 | 3,323 | |
2% 4/1/54 (i) | 7,000 | 5,538 | |
2% 4/1/54 (i) | 7,000 | 5,538 | |
5.5% 4/1/54 (i) | 55,000 | 54,736 | |
6.5% 4/1/54 (i) | 13,800 | 14,096 | |
6.5% 4/1/54 (i) | 10,050 | 10,266 | |
6.5% 4/1/54 (i) | 150 | 153 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 99,109 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $657,938) | 647,632 | ||
Collateralized Mortgage Obligations - 1.4% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
U.S. Government Agency - 1.4% | |||
Fannie Mae: | |||
planned amortization class: | |||
Series 2021-65 Class MA, 2% 8/25/51 | 7,464 | 6,382 | |
Series 2022-2 Class TH, 2.5% 2/25/52 | 1,210 | 1,074 | |
sequential payer: | |||
Series 2020-101 Class BA, 1.5% 9/25/45 | 3,163 | 2,683 | |
Series 2020-49 Class JA, 2% 8/25/44 | 1,131 | 1,017 | |
Series 2020-51 Class BA, 2% 6/25/46 | 4,513 | 3,858 | |
Series 2020-67 Class KZ, 3.25% 9/25/40 | 1,946 | 1,766 | |
Series 2020-75 Class HA, 1.5% 12/25/44 | 12,259 | 10,467 | |
Series 2021-68 Class A, 2% 7/25/49 | 2,332 | 1,826 | |
Series 2021-85 Class L, 2.5% 8/25/48 | 1,285 | 1,102 | |
Series 2021-96 Class HA, 2.5% 2/25/50 | 2,049 | 1,761 | |
Series 2022-1 Class KA, 3% 5/25/48 | 2,071 | 1,865 | |
Series 2022-13 Class MA, 3% 5/25/44 | 8,804 | 8,161 | |
Series 2022-3: | |||
Class G, 2% 11/25/47 | 8,683 | 7,382 | |
Class N, 2% 10/25/47 | 16,671 | 14,274 | |
Series 2022-4 Class B, 2.5% 5/25/49 | 1,503 | 1,301 | |
Series 2022-49 Class TE, 4.5% 12/25/48 | 15,610 | 15,064 | |
Series 2022-5: | |||
Class 0, 2.5% 6/25/48 | 2,144 | 1,869 | |
Class BA, 2.5% 12/25/49 | 2,225 | 1,889 | |
Series 2022-65 Class GA, 5% 4/25/46 | 15,720 | 15,227 | |
Series 2022-7 Class A, 3% 5/25/48 | 2,954 | 2,659 | |
Series 2020-45 Class JL, 3% 7/25/40 | 318 | 285 | |
Series 2021-59 Class H, 2% 6/25/48 | 1,315 | 1,058 | |
Series 2021-66: | |||
Class DA, 2% 1/25/48 | 1,426 | 1,152 | |
Class DM, 2% 1/25/48 | 1,515 | 1,222 | |
Freddie Mac: | |||
planned amortization class: | |||
Series 2021-5122 Class TE, 1.5% 6/25/51 | 4,776 | 3,867 | |
Series 2022-5213 Class JM, 3.5% 9/25/51 | 7,402 | 6,962 | |
Series 2022-5214 Class CG, 3.5% 4/25/52 | 2,447 | 2,264 | |
Series 2022-5220 Class PK, 3.5% 1/25/51 | 3,289 | 3,073 | |
Series 2022-5224 Class DQ, 3.75% 8/25/44 | 4,154 | 3,923 | |
sequential payer: | |||
Series 2020-5018: | |||
Class LC, 3% 10/25/40 | 2,138 | 1,920 | |
Class LT, 3.25% 10/25/40 | 2,015 | 1,823 | |
Class LY, 3% 10/25/40 | 1,625 | 1,459 | |
Series 2021-5175 Class CB, 2.5% 4/25/50 | 7,393 | 6,370 | |
Series 2021-5180 Class KA, 2.5% 10/25/47 | 1,488 | 1,304 | |
Series 2022-5189 Class DA, 2.5% 5/25/49 | 1,570 | 1,339 | |
Series 2022-5190 Class BA, 2.5% 11/25/47 | 1,522 | 1,329 | |
Series 2022-5191 Class CA, 2.5% 4/25/50 | 1,758 | 1,504 | |
Series 2022-5197 Class DA, 2.5% 11/25/47 | 1,156 | 1,013 | |
Series 2022-5198 Class BA, 2.5% 11/25/47 | 5,610 | 4,979 | |
Series 2022-5200 Class LA, 3% 10/25/48 | 2,916 | 2,636 | |
Series 2022-5202 Class LB, 2.5% 10/25/47 | 1,235 | 1,084 | |
Series 2020-5041 Class LB, 3% 11/25/40 | 3,642 | 3,272 | |
Series 2021-5083 Class VA, 1% 8/15/38 | 15,697 | 14,644 | |
Series 2021-5176 Class AG, 2% 1/25/47 | 5,557 | 4,760 | |
Series 2021-5182 Class A, 2.5% 10/25/48 | 9,664 | 8,387 | |
Freddie Mac Multi-family Structured pass-thru certificates sequential payer Series 2021-5159 Class GC, 2% 11/25/47 | 1,191 | 1,005 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $184,121) | 184,261 | ||
Commercial Mortgage Securities - 2.1% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Fannie Mae Series 2022-66, Class KA, 5% 10/25/52 | 3,092 | 3,041 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2015-K043 Class A2, 3.062% 12/25/24 | 14,829 | 14,574 | |
Series 2015-K049 Class A2, 3.01% 7/25/25 | 339 | 330 | |
Series 2015-K050 Class A2, 3.334% 8/25/25 (e) | 13,656 | 13,334 | |
Series 2015-KPLB Class A, 2.77% 5/25/25 | 11,355 | 11,032 | |
Series 2016-K052 Class A2, 3.151% 11/25/25 | 15,387 | 14,963 | |
Series 2016-K055 Class A2, 2.673% 3/25/26 | 19,600 | 18,800 | |
Series 2017-K066 Class A2, 3.117% 6/25/27 | 2,710 | 2,589 | |
Series 2017-K729 Class A2, 3.136% 10/25/24 | 8,924 | 8,799 | |
Series 2018-K731 Class A2, 3.6% 2/25/25 | 3,442 | 3,392 | |
Series 2018-K732 Class A2, 3.7% 5/25/25 | 15,885 | 15,619 | |
Series 2018-K733 Class A2, 3.75% 8/25/25 | 17,729 | 17,390 | |
Series 2019-K735 Class A2, 2.862% 5/25/26 | 2,439 | 2,347 | |
Series 2019-K736 Class A2, 2.282% 7/25/26 | 8,700 | 8,254 | |
Series 2021-K746 Class A2, 2.031% 9/25/28 | 7,700 | 6,897 | |
Series 2022-K747 Class A2, 2.05% 11/25/28 | 4,800 | 4,290 | |
Series K058 Class A2, 2.653% 8/25/26 | 12,500 | 11,905 | |
Series K065 Class A2, 3.243% 4/25/27 | 3,400 | 3,263 | |
Series K073 Class A2, 3.35% 1/25/28 | 2,900 | 2,775 | |
Series 2016-K059 Class A2, 3.12% 9/25/26 (e) | 2,500 | 2,405 | |
Series 2017-K068 Class A2, 3.244% 8/25/27 | 3,500 | 3,347 | |
Series 2017-K727 Class A2, 2.946% 7/25/24 | 22,218 | 22,053 | |
Series K053 Class A2, 2.995% 12/25/25 | 22,133 | 21,435 | |
Series K056 Class A2, 2.525% 5/25/26 | 1,300 | 1,241 | |
Series K063 Class A2, 3.43% 1/25/27 | 1,800 | 1,740 | |
Series K090 Class A2, 3.422% 2/25/29 | 5,300 | 5,034 | |
Series K734 Class A2, 3.208% 2/25/26 | 8,300 | 8,062 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
sequential payer Series 2015 K045 Class A2, 3.023% 1/25/25 | 3,328 | 3,263 | |
Series K044 Class A2, 2.811% 1/25/25 | 21,521 | 21,089 | |
FREMF 2015-KPLB Mortgage Trust Series 2015-KPLB Class B, 2.5% 5/25/25 (c) | 39,000 | 37,484 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $291,149) | 290,747 | ||
Foreign Government and Government Agency Obligations - 3.3% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Australian Commonwealth: | |||
1.75% 11/21/32 (Reg. S) | AUD | 15,000 | 8,224 |
1.75% 6/21/51 (Reg. S) | AUD | 81,080 | 30,949 |
Canadian Government 1.25% 3/1/27 | CAD | 30,000 | 20,617 |
German Federal Republic: | |||
1.8% 8/15/53(Reg. S) | EUR | 25,000 | 23,338 |
2.2% 12/12/24(Reg. S) | EUR | 67,090 | 71,730 |
2.4% 10/19/28(Reg. S) | EUR | 23,780 | 25,704 |
2.6% 8/15/33(Reg. S) | EUR | 170,000 | 188,371 |
United Kingdom, Great Britain and Northern Ireland 3.25% 1/31/33(Reg. S) | GBP | 59,800 | 71,986 |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $450,841) | 440,919 | ||
Common Stocks - 6.6% | |||
Shares | Value ($) (000s) | ||
COMMUNICATION SERVICES - 0.4% | |||
Interactive Media & Services - 0.3% | |||
Alphabet, Inc. Class A (l) | 42,600 | 6,430 | |
Meta Platforms, Inc. Class A | 81,300 | 39,478 | |
45,908 | |||
Media - 0.1% | |||
EchoStar Corp. Class A (l)(m) | 338,100 | 4,818 | |
iHeartMedia, Inc. (l) | 26 | 0 | |
Nexstar Media Group, Inc. Class A | 23,627 | 4,071 | |
8,889 | |||
TOTAL COMMUNICATION SERVICES | 54,797 | ||
CONSUMER DISCRETIONARY - 1.0% | |||
Automobile Components - 0.0% | |||
UC Holdings, Inc. (b)(l) | 560,355 | 560 | |
Automobiles - 0.1% | |||
BYD Co. Ltd. (H Shares) | 522,500 | 13,379 | |
Broadline Retail - 0.1% | |||
Amazon.com, Inc. (l) | 95,100 | 17,154 | |
Hotels, Restaurants & Leisure - 0.3% | |||
Airbnb, Inc. Class A (l) | 58,500 | 9,650 | |
Booking Holdings, Inc. | 2,200 | 7,981 | |
Boyd Gaming Corp. | 123,800 | 8,334 | |
Domino's Pizza, Inc. | 9,900 | 4,919 | |
New Cotai LLC/New Cotai Capital Corp. (b)(g)(l) | 2,242,893 | 1,637 | |
Studio City International Holdings Ltd.: | |||
ADR (c)(l) | 121,177 | 840 | |
(NYSE) ADR (l) | 133,400 | 924 | |
34,285 | |||
Household Durables - 0.1% | |||
TopBuild Corp. (l) | 39,500 | 17,409 | |
Specialty Retail - 0.2% | |||
Dick's Sporting Goods, Inc. | 50,200 | 11,288 | |
Lowe's Companies, Inc. | 27,200 | 6,929 | |
Williams-Sonoma, Inc. | 24,000 | 7,621 | |
25,838 | |||
Textiles, Apparel & Luxury Goods - 0.2% | |||
Crocs, Inc. (l) | 108,700 | 15,631 | |
LVMH Moet Hennessy Louis Vuitton SE | 4,400 | 3,959 | |
Tapestry, Inc. | 91,100 | 4,325 | |
23,915 | |||
TOTAL CONSUMER DISCRETIONARY | 132,540 | ||
CONSUMER STAPLES - 0.2% | |||
Beverages - 0.1% | |||
Celsius Holdings, Inc. (l) | 104,700 | 8,682 | |
Consumer Staples Distribution & Retail - 0.1% | |||
Southeastern Grocers, Inc. rights (b)(l) | 584,047 | 642 | |
U.S. Foods Holding Corp. (l) | 119,700 | 6,460 | |
7,102 | |||
Food Products - 0.0% | |||
JBS SA | 840,000 | 3,601 | |
TOTAL CONSUMER STAPLES | 19,385 | ||
ENERGY - 0.5% | |||
Energy Equipment & Services - 0.1% | |||
Diamond Offshore Drilling, Inc. (l) | 66,694 | 910 | |
Forbes Energy Services Ltd. (l) | 135,187 | 0 | |
Superior Energy Services, Inc. Class A (b) | 66,115 | 4,264 | |
5,174 | |||
Oil, Gas & Consumable Fuels - 0.4% | |||
Antero Resources Corp. (l) | 127,900 | 3,709 | |
California Resources Corp. warrants 10/27/24 (l) | 34,633 | 677 | |
Canvas Energy, Inc.: | |||
Series A warrants 10/1/24 (b)(l) | 289 | 0 | |
Series B warrants 10/1/25 (b)(l) | 289 | 0 | |
Cheniere Energy, Inc. | 75,400 | 12,161 | |
EP Energy Corp. (b)(l) | 611,545 | 1,070 | |
Mesquite Energy, Inc. (b)(l) | 185,122 | 15,102 | |
Permian Resource Corp. Class A (m) | 1,422,000 | 25,113 | |
Unit Corp. | 28,630 | 1,059 | |
58,891 | |||
TOTAL ENERGY | 64,065 | ||
FINANCIALS - 0.9% | |||
Capital Markets - 0.1% | |||
Coinbase Global, Inc. (l) | 41,400 | 10,976 | |
Moody's Corp. | 14,800 | 5,817 | |
16,793 | |||
Consumer Finance - 0.1% | |||
OneMain Holdings, Inc. | 299,100 | 15,281 | |
Financial Services - 0.6% | |||
Apollo Global Management, Inc. | 164,400 | 18,487 | |
Block, Inc. Class A (l) | 68,400 | 5,785 | |
Carnelian Point Holdings LP warrants (b)(l) | 544 | 2 | |
Fiserv, Inc. (l) | 90,000 | 14,384 | |
MasterCard, Inc. Class A | 27,600 | 13,291 | |
Visa, Inc. Class A | 82,700 | 23,080 | |
75,029 | |||
Insurance - 0.1% | |||
Arthur J. Gallagher & Co. | 81,300 | 20,328 | |
TOTAL FINANCIALS | 127,431 | ||
HEALTH CARE - 0.0% | |||
Health Care Providers & Services - 0.0% | |||
Tenet Healthcare Corp. (l) | 36,700 | 3,858 | |
INDUSTRIALS - 1.1% | |||
Aerospace & Defense - 0.1% | |||
TransDigm Group, Inc. | 4,900 | 6,035 | |
Building Products - 0.3% | |||
Builders FirstSource, Inc. (l) | 31,700 | 6,611 | |
Carlisle Companies, Inc. | 26,500 | 10,384 | |
Fortune Brands Innovations, Inc. | 106,400 | 9,009 | |
Trane Technologies PLC | 33,500 | 10,057 | |
36,061 | |||
Construction & Engineering - 0.2% | |||
Comfort Systems U.S.A., Inc. | 35,500 | 11,279 | |
EMCOR Group, Inc. | 17,800 | 6,234 | |
Willscot Mobile Mini Holdings (l) | 267,000 | 12,416 | |
29,929 | |||
Electrical Equipment - 0.4% | |||
AMETEK, Inc. | 16,100 | 2,945 | |
Eaton Corp. PLC | 60,500 | 18,917 | |
Nextracker, Inc. Class A (l) | 104,900 | 5,903 | |
nVent Electric PLC | 114,000 | 8,596 | |
Vertiv Holdings Co. | 187,600 | 15,321 | |
51,682 | |||
Machinery - 0.1% | |||
Deere & Co. | 6,700 | 2,752 | |
Parker Hannifin Corp. | 20,300 | 11,283 | |
14,035 | |||
Passenger Airlines - 0.0% | |||
Air Canada (l) | 800 | 12 | |
Delta Air Lines, Inc. | 48,600 | 2,326 | |
2,338 | |||
Trading Companies & Distributors - 0.0% | |||
Core & Main, Inc. (l) | 101,000 | 5,782 | |
Penhall Acquisition Co. (b) | 15,403 | 160 | |
Penhall Acquisition Co. (b) | 15,403 | 0 | |
5,942 | |||
Transportation Infrastructure - 0.0% | |||
Tricer Holdco SCA: | |||
Class A1 (b)(g)(l) | 403,760 | 0 | |
Class A2 (b)(g)(l) | 403,760 | 0 | |
Class A3 (b)(g)(l) | 403,760 | 0 | |
Class A4 (b)(g)(l) | 403,760 | 0 | |
Class A5 (b)(g)(l) | 403,760 | 0 | |
Class A6 (b)(g)(l) | 403,760 | 0 | |
Class A7 (b)(g)(l) | 403,760 | 0 | |
Class A8 (b)(g)(l) | 403,760 | 0 | |
Class A9 (b)(g)(l) | 403,760 | 0 | |
0 | |||
TOTAL INDUSTRIALS | 146,022 | ||
INFORMATION TECHNOLOGY - 1.8% | |||
Communications Equipment - 0.1% | |||
Arista Networks, Inc. (l) | 34,200 | 9,917 | |
Electronic Equipment, Instruments & Components - 0.0% | |||
CDW Corp. | 24,000 | 6,139 | |
IT Services - 0.1% | |||
Accenture PLC Class A | 16,700 | 5,788 | |
GTT Communications, Inc. (b)(l) | 51,638 | 2,160 | |
7,948 | |||
Semiconductors & Semiconductor Equipment - 0.9% | |||
ASML Holding NV (depository receipt) | 8,500 | 8,249 | |
KLA Corp. | 18,700 | 13,063 | |
Lam Research Corp. | 16,400 | 15,934 | |
Marvell Technology, Inc. | 86,600 | 6,138 | |
NVIDIA Corp. | 62,600 | 56,563 | |
NXP Semiconductors NV | 19,800 | 4,906 | |
ON Semiconductor Corp. (l) | 247,091 | 18,174 | |
123,027 | |||
Software - 0.7% | |||
Adobe, Inc. (l) | 28,564 | 14,413 | |
Autodesk, Inc. (l) | 21,700 | 5,651 | |
Dynatrace, Inc. (l) | 214,400 | 9,957 | |
Gen Digital, Inc. | 197,900 | 4,433 | |
Microsoft Corp. | 60,500 | 25,454 | |
Oracle Corp. | 73,000 | 9,170 | |
Palo Alto Networks, Inc. (l) | 18,800 | 5,342 | |
Salesforce, Inc. | 37,200 | 11,204 | |
Synopsys, Inc. (l) | 10,600 | 6,058 | |
UiPath, Inc. Class A (l) | 293,700 | 6,658 | |
98,340 | |||
TOTAL INFORMATION TECHNOLOGY | 245,371 | ||
MATERIALS - 0.3% | |||
Chemicals - 0.1% | |||
Olin Corp. | 149,500 | 8,791 | |
The Chemours Co. LLC | 293,779 | 7,715 | |
Westlake Corp. | 20,100 | 3,071 | |
19,577 | |||
Construction Materials - 0.1% | |||
Eagle Materials, Inc. | 48,600 | 13,207 | |
Containers & Packaging - 0.1% | |||
Graphic Packaging Holding Co. | 332,500 | 9,702 | |
Metals & Mining - 0.0% | |||
Algoma Steel SCA (b)(l) | 151,792 | 0 | |
Elah Holdings, Inc. (l)(m) | 517 | 15 | |
15 | |||
TOTAL MATERIALS | 42,501 | ||
UTILITIES - 0.4% | |||
Electric Utilities - 0.2% | |||
Constellation Energy Corp. | 120,700 | 22,311 | |
PG&E Corp. | 475,968 | 7,977 | |
Portland General Electric Co. | 13,962 | 586 | |
30,874 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
PureWest Energy (b) | 10,774 | 2 | |
PureWest Energy rights (b)(l) | 6,493 | 0 | |
Vistra Corp. | 287,300 | 20,010 | |
20,012 | |||
TOTAL UTILITIES | 50,886 | ||
TOTAL COMMON STOCKS (Cost $659,140) | 886,856 | ||
Nonconvertible Preferred Stocks - 0.0% | |||
Shares | Value ($) (000s) | ||
INDUSTRIALS - 0.0% | |||
Transportation Infrastructure - 0.0% | |||
Tricer Holdco SCA (b)(g)(l) (Cost $6,908) | 193,792,711 | 2 | |
Bank Loan Obligations - 3.8% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
COMMUNICATION SERVICES - 0.1% | |||
Diversified Telecommunication Services - 0.1% | |||
Aventiv Technologies LLC Tranche 1LN, term loan CME Term SOFR 1 Month Index + 4.890% 10.4998% 11/1/24 (e)(f)(n) | 4,178 | 3,089 | |
Connect U.S. Finco LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8263% 12/12/26 (e)(f)(n) | 5,260 | 5,251 | |
Gtt Remainco LLC 1LN, term loan CME Term SOFR 1 Month Index + 7.000% 12.4302% 12/30/27 (e)(f)(n) | 2,791 | 2,539 | |
10,879 | |||
Media - 0.0% | |||
Diamond Sports Group LLC 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 15.4256% 8/24/26 (e)(f)(n) | 1,594 | 1,518 | |
Univision Communications, Inc.: | |||
1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.5594% 6/24/29 (e)(f)(n) | 349 | 349 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6946% 1/31/29 (e)(f)(n) | 3,508 | 3,496 | |
5,363 | |||
TOTAL COMMUNICATION SERVICES | 16,242 | ||
CONSUMER DISCRETIONARY - 0.8% | |||
Automobile Components - 0.1% | |||
Clarios Global LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.3302% 5/6/30 (e)(f)(n) | 1,247 | 1,249 | |
PECF USS Intermediate Holding III Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.8243% 12/17/28 (e)(f)(n) | 7,379 | 5,596 | |
6,845 | |||
Broadline Retail - 0.0% | |||
Great Outdoors Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1946% 3/5/28 (e)(f)(n) | 1,322 | 1,321 | |
Diversified Consumer Services - 0.1% | |||
Sotheby's Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 10.0756% 1/15/27 (e)(f)(n) | 6,510 | 6,374 | |
Spin Holdco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.5854% 3/4/28 (e)(f)(n) | 8,201 | 7,563 | |
TKC Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 10.9418% 5/14/28 (e)(f)(n) | 4,429 | 4,376 | |
18,313 | |||
Hotels, Restaurants & Leisure - 0.2% | |||
Caesars Entertainment, Inc. Tranche B1 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0405% 2/6/31 (e)(f)(n) | 5,280 | 5,280 | |
Carnival Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6946% 10/18/28 (e)(f)(n) | 7,097 | 7,098 | |
Fertitta Entertainment LLC NV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.0767% 1/27/29 (e)(f)(n) | 13,077 | 13,102 | |
Light & Wonder International, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0754% 4/16/29 (e)(f)(n) | 1,079 | 1,080 | |
Ontario Gaming GTA LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5594% 8/1/30 (e)(f)(n) | 2,708 | 2,716 | |
29,276 | |||
Specialty Retail - 0.4% | |||
LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1773% 12/18/27 (e)(f)(n) | 45,390 | 45,282 | |
Wand NewCo 3, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0763% 1/20/31 (e)(f)(n) | 980 | 982 | |
46,264 | |||
TOTAL CONSUMER DISCRETIONARY | 102,019 | ||
CONSUMER STAPLES - 0.0% | |||
Beverages - 0.0% | |||
Naked Juice LLC 1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.6594% 1/24/29 (e)(f)(n) | 1,022 | 954 | |
Food Products - 0.0% | |||
Fiesta Purchaser, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.3274% 2/12/31 (e)(f)(n) | 940 | 941 | |
TOTAL CONSUMER STAPLES | 1,895 | ||
ENERGY - 0.1% | |||
Energy Equipment & Services - 0.0% | |||
Forbes Energy Services LLC Tranche B, term loan 0% (b)(d)(e)(n) | 1,267 | 0 | |
Oil, Gas & Consumable Fuels - 0.1% | |||
EG America LLC Tranche BC 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 11.2383% 2/7/28 (e)(f)(n) | 15,147 | 15,033 | |
Mesquite Energy, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (b)(d)(f)(n) | 3,423 | 0 | |
term loan 0% (b)(d)(e)(n) | 1,476 | 0 | |
15,033 | |||
TOTAL ENERGY | 15,033 | ||
FINANCIALS - 0.3% | |||
Capital Markets - 0.1% | |||
Citadel Securities LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.5773% 7/29/30 (e)(f)(n) | 5,215 | 5,208 | |
Insurance - 0.2% | |||
Acrisure LLC: | |||
Tranche B 1LN, term loan: | |||
CME Term SOFR 1 Month Index + 3.500% 8.9446% 2/15/27 (e)(f)(n) | 8,122 | 8,104 | |
CME Term SOFR 1 Month Index + 4.250% 9.6946% 2/15/27 (e)(f)(n) | 640 | 641 | |
Tranche B5 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8302% 11/6/30 (e)(f)(n) | 1,397 | 1,400 | |
Alliant Holdings Intermediate LLC Tranche B6 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8267% 11/6/30 (e)(f)(n) | 5,191 | 5,210 | |
HUB International Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5741% 6/20/30 (e)(f)(n) | 2,095 | 2,095 | |
Truist Insurance Holdings LLC: | |||
2L, term loan CME Term SOFR 1 Month Index + 4.750% 3/8/32 (f)(n)(o) | 11,040 | 11,095 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 3/22/31 (f)(n)(o) | 2,105 | 2,101 | |
30,646 | |||
TOTAL FINANCIALS | 35,854 | ||
HEALTH CARE - 0.4% | |||
Health Care Equipment & Supplies - 0.1% | |||
Medline Borrower LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4407% 10/23/28 (e)(f)(n) | 10,028 | 10,050 | |
Health Care Providers & Services - 0.1% | |||
Gainwell Acquisition Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.4094% 10/1/27 (e)(f)(n) | 9,579 | 9,143 | |
Phoenix Newco, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6918% 11/15/28 (e)(f)(n) | 3,268 | 3,275 | |
12,418 | |||
Health Care Technology - 0.2% | |||
Athenahealth Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.5802% 2/15/29 (e)(f)(n) | 13,457 | 13,312 | |
Cotiviti, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 2/21/31 (f)(n)(o) | 15,755 | 15,716 | |
29,028 | |||
TOTAL HEALTH CARE | 51,496 | ||
INDUSTRIALS - 0.6% | |||
Building Products - 0.2% | |||
Acproducts Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8135% 5/17/28 (e)(f)(n) | 10,282 | 9,350 | |
Hunter Douglas, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 8.8238% 2/25/29 (e)(f)(n) | 10,405 | 10,267 | |
Miwd Holdco Ii LLC Tranche B2, term loan CME Term SOFR 1 Month Index + 3.500% 3/20/31 (f)(n)(o) | 335 | 336 | |
19,953 | |||
Commercial Services & Supplies - 0.3% | |||
ABG Intermediate Holdings 2 LLC Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9273% 12/21/28 (e)(f)(n) | 8,294 | 8,321 | |
Artera Services LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8094% 2/10/31 (e)(f)(n) | 2,775 | 2,783 | |
Bifm California Buyer, Inc. Tranche 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5707% 5/31/28 (e)(f)(n) | 635 | 637 | |
Brand Industrial Services, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 10.8064% 8/1/30 (e)(f)(n) | 14,021 | 14,068 | |
Madison IAQ LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6933% 6/21/28 (e)(f)(n) | 1,381 | 1,378 | |
Neptune BidCo U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.4234% 4/11/29 (e)(f)(n) | 7,325 | 6,744 | |
Sabert Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1832% 12/16/26 (e)(f)(n) | 2,950 | 2,956 | |
The GEO Group, Inc. Tranche 1B 1LN, term loan CME Term SOFR 1 Month Index + 7.120% 12.2052% 3/23/27 (e)(f)(n) | 1,270 | 1,304 | |
38,191 | |||
Construction & Engineering - 0.0% | |||
SRS Distribution, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9446% 6/4/28 (e)(f)(n) | 3,018 | 3,036 | |
Machinery - 0.0% | |||
Chart Industries, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6726% 3/17/30 (e)(f)(n) | 743 | 744 | |
Sts Operating, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 3/15/31 (f)(n)(o) | 2,640 | 2,645 | |
3,389 | |||
Passenger Airlines - 0.0% | |||
SkyMiles IP Ltd. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.0678% 10/20/27 (e)(f)(n) | 1,571 | 1,619 | |
United Airlines, Inc. Tranche 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0757% 2/24/31 (e)(f)(n) | 1,195 | 1,195 | |
2,814 | |||
Professional Services - 0.1% | |||
Galaxy U.S. Opco, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0627% 4/29/29 (e)(f)(n) | 10,578 | 9,547 | |
TOTAL INDUSTRIALS | 76,930 | ||
INFORMATION TECHNOLOGY - 1.1% | |||
Electronic Equipment, Instruments & Components - 0.0% | |||
DG Investment Intermediate Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1946% 3/31/28 (e)(f)(n) | 973 | 970 | |
IT Services - 0.0% | |||
Acuris Finance U.S., Inc. 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.4519% 2/16/28 (e)(f)(n) | 603 | 601 | |
GTT Communications, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 9.000% 14.4094% 6/30/28 (e)(f)(n) | 2,335 | 1,634 | |
2,235 | |||
Software - 1.1% | |||
Applied Systems, Inc.: | |||
Tranche 2LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.5594% 2/23/32 (e)(f)(n) | 95 | 98 | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8094% 2/24/31 (e)(f)(n) | 5,170 | 5,199 | |
Boxer Parent Co., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5802% 12/29/28 (e)(f)(n) | 18,664 | 18,769 | |
ConnectWise LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 9.0635% 9/30/28 (e)(f)(n) | 8,002 | 7,995 | |
McAfee Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1756% 3/1/29 (e)(f)(n) | 14,061 | 14,017 | |
MH Sub I LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5802% 5/3/28 (e)(f)(n) | 8,327 | 8,268 | |
Polaris Newco LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.5743% 6/2/28 (e)(f)(n) | 3,105 | 3,074 | |
Project Alpha Intermediate Holding, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0627% 10/26/30 (e)(f)(n) | 5,430 | 5,456 | |
Proofpoint, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6946% 8/31/28 (e)(f)(n) | 35,165 | 35,165 | |
RealPage, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4407% 4/22/28 (e)(f)(n) | 3,027 | 2,943 | |
UKG, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8143% 2/10/31 (e)(f)(n) | 28,689 | 28,825 | |
Veritas U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.4446% 9/1/25 (e)(f)(n) | 4,582 | 4,228 | |
VS Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.5751% 2/28/27 (e)(f)(n) | 16,065 | 16,055 | |
150,092 | |||
TOTAL INFORMATION TECHNOLOGY | 153,297 | ||
MATERIALS - 0.4% | |||
Chemicals - 0.2% | |||
Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8273% 11/15/30 (e)(f)(n) | 5,300 | 5,113 | |
Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.370% 9.7052% 10/4/29 (e)(f)(n) | 8,769 | 8,756 | |
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.321% 11/9/28 (e)(f)(n) | 1,672 | 1,671 | |
W.R. Grace Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.321% 9/22/28 (e)(f)(n) | 6,648 | 6,648 | |
22,188 | |||
Containers & Packaging - 0.2% | |||
Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.670% 9.1052% 4/13/29 (e)(f)(n) | 32,161 | 32,194 | |
Kloeckner Pentaplast of America, Inc. Tranche B 1LN, term loan CME Term SOFR 6 Month Index + 4.750% 10.2675% 2/9/26 (e)(f)(n) | 776 | 728 | |
32,922 | |||
Metals & Mining - 0.0% | |||
Arsenal AIC Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0802% 8/19/30 (e)(f)(n) | 761 | 763 | |
TOTAL MATERIALS | 55,873 | ||
TOTAL BANK LOAN OBLIGATIONS (Cost $512,626) | 508,639 | ||
Fixed-Income Funds - 21.0% | |||
Shares | Value ($) (000s) | ||
Fidelity Emerging Markets Debt Central Fund (p) | 263,322,517 | 2,093,414 | |
Fidelity Floating Rate Central Fund (p) | 7,477,181 | 737,624 | |
TOTAL FIXED-INCOME FUNDS (Cost $3,191,809) | 2,831,038 | ||
Preferred Securities - 3.9% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
COMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
Orange SA 5.375% (Reg. S) (e)(q) | EUR | 6,100 | 6,848 |
CONSUMER DISCRETIONARY - 0.2% | |||
Automobiles - 0.2% | |||
Volkswagen International Finance NV: | |||
4.375% (Reg. S) (e)(q) | EUR | 20,600 | 20,388 |
7.875% (Reg. S) (e)(q) | EUR | 2,800 | 3,403 |
23,791 | |||
ENERGY - 0.6% | |||
Oil, Gas & Consumable Fuels - 0.6% | |||
Energy Transfer LP: | |||
3 month U.S. LIBOR + 4.020% 9.5966% (e)(f)(q) | 52,337 | 52,114 | |
6.625% (e)(q) | 17,100 | 15,970 | |
7.125% (e)(q) | 11,723 | 11,445 | |
Summit Midstream Partners LP 3 month U.S. LIBOR + 7.430% 13.0209% (d)(e)(f)(q) | 1,711 | 1,779 | |
81,308 | |||
FINANCIALS - 3.1% | |||
Banks - 2.9% | |||
Bank of America Corp.: | |||
CME Term SOFR 3 Month Index + 3.390% 8.7379% (e)(f)(q) | 48,090 | 48,272 | |
5.875% (e)(q) | 60,475 | 59,550 | |
6.25% (e)(q) | 18,480 | 18,501 | |
Citigroup, Inc.: | |||
5% (e)(q) | 36,455 | 36,230 | |
6.3% (e)(q) | 4,120 | 4,104 | |
Citigroup, Inc. 4.7% (e)(q) | 8,755 | 8,540 | |
JPMorgan Chase & Co.: | |||
CME Term SOFR 3 Month Index + 3.560% 8.868% (e)(f)(q) | 54,840 | 54,746 | |
4% (e)(q) | 19,100 | 18,563 | |
4.6% (e)(q) | 13,385 | 13,159 | |
5% (e)(q) | 18,675 | 18,614 | |
6.125% (e)(q) | 12,865 | 12,827 | |
9.348% (e)(f)(q) | 6,270 | 6,277 | |
Wells Fargo & Co.: | |||
5.875% (e)(q) | 36,775 | 36,694 | |
5.9% (e)(q) | 46,445 | 46,249 | |
382,326 | |||
Capital Markets - 0.2% | |||
Goldman Sachs Group, Inc. CME Term SOFR 3 Month Index + 3.130% 8.437% (e)(f)(q) | 29,914 | 29,921 | |
Financial Services - 0.0% | |||
OEC Finance Ltd. 7.5% pay-in-kind (c)(q) | 25 | 2 | |
TOTAL FINANCIALS | 412,249 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Enel SpA 6.625% (Reg. S) (e)(q) | EUR | 5,957 | 6,990 |
TOTAL PREFERRED SECURITIES (Cost $532,417) | 531,186 | ||
Money Market Funds - 1.9% | |||
Shares | Value ($) (000s) | ||
Fidelity Cash Central Fund 5.39% (r) | 257,942,352 | 257,994 | |
Fidelity Securities Lending Cash Central Fund 5.39% (r)(s) | 2,464,915 | 2,465 | |
TOTAL MONEY MARKET FUNDS (Cost $260,423) | 260,459 | ||
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount (a) (000s) | Value ($) (000s) | ||
Put Options - 0.0% | ||||
Option on an interest rate swap with Citibank N.A. to receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index and pay a fixed rate of 3.694%, expiring December 2033. | 12/12/28 | 63,500 | 2,401 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.3525% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/03/25 | 19,700 | 907 | |
TOTAL PUT OPTIONS | 3,308 | |||
Call Options - 0.0% | ||||
Option on an interest rate swap with Citibank N.A. to receive annually a fixed rate of 3.694% and pay a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring December 2033. | 12/12/28 | 63,500 | 2,514 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive annually a fixed rate of 3.3525% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/03/25 | 19,700 | 361 | |
TOTAL CALL OPTIONS | 2,875 | |||
TOTAL PURCHASED SWAPTIONS (Cost $6,566) | 6,183 |
TOTAL INVESTMENT IN SECURITIES - 102.5% (Cost $14,397,113) | 13,843,618 |
NET OTHER ASSETS (LIABILITIES) - (2.5)% | (337,839) |
NET ASSETS - 100.0% | 13,505,779 |
TBA Sale Commitments | ||
Principal Amount (a) (000s) | Value ($) (000s) | |
Ginnie Mae | ||
2% 4/1/54 | (25) | (20) |
2% 4/1/54 | (7,300) | (5,981) |
2% 4/1/54 | (3,600) | (2,950) |
2% 4/1/54 | (10,750) | (8,808) |
2% 4/1/54 | (14,250) | (11,675) |
2.5% 4/1/54 | (12,700) | (10,816) |
6.5% 4/1/54 | (20,500) | (20,841) |
6.5% 4/1/54 | (17,150) | (17,435) |
6.5% 4/1/54 | (150) | (152) |
TOTAL GINNIE MAE | (78,678) | |
Uniform Mortgage Backed Securities | ||
2% 4/1/54 | (61,200) | (48,418) |
2.5% 4/1/54 | (62,150) | (51,373) |
3.5% 4/1/54 | (26,175) | (23,419) |
5% 4/1/54 | (14,400) | (14,055) |
5% 4/1/54 | (10,000) | (9,760) |
5.5% 4/1/54 | (5,000) | (4,976) |
5.5% 4/1/54 | (50,000) | (49,760) |
5.5% 5/1/54 | (55,000) | (54,734) |
6% 4/1/54 | (8,000) | (8,076) |
6.5% 4/1/54 | (8,150) | (8,325) |
6.5% 4/1/54 | (4,150) | (4,239) |
6.5% 4/1/54 | (11,700) | (11,951) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (289,086) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $367,752) | (367,764) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) (000s) | Value ($) (000s) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
Purchased | |||||
Bond Index Contracts | |||||
Eurex Euro-Bund Contracts (Germany) | 934 | Jun 2024 | 134,400 | 1,104 | 1,104 |
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 8,133 | Jun 2024 | 901,111 | 6,041 | 6,041 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 2,463 | Jun 2024 | 503,645 | (379) | (379) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 242 | Jun 2024 | 29,146 | 422 | 422 |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 34 | Jun 2024 | 4,386 | 101 | 101 |
TOTAL TREASURY CONTRACTS | 6,185 | ||||
TOTAL PURCHASED | 7,289 | ||||
Sold | |||||
Bond Index Contracts | |||||
Eurex Euro-BTP Contracts (Germany) | 860 | Jun 2024 | 110,419 | (1,612) | (1,612) |
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 228 | Jun 2024 | 24,400 | 4 | 4 |
TOTAL SOLD | (1,608) | ||||
TOTAL FUTURES CONTRACTS | 5,681 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 11.6% | |||||
The notional amount of futures sold as a percentage of Net Assets is 1.0% |
Forward Foreign Currency Contracts | ||||||
Currency Purchased (000s) | Currency Sold (000s) | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) (000s) | ||
EUR | 14,307 | USD | 15,449 | Morgan Stanley Cap. Group, Inc | 4/03/24 | (13) |
EUR | 6,166 | USD | 6,697 | Barclays Bank PLC | 4/22/24 | (40) |
EUR | 2,616 | USD | 2,841 | Canadian Imperial Bk. of Comm. | 4/22/24 | (16) |
EUR | 2,677 | USD | 2,933 | HSBC Bank | 4/22/24 | (43) |
EUR | 6,707 | USD | 7,283 | Morgan Stanley Cap. Group, Inc | 4/22/24 | (41) |
EUR | 2,765 | USD | 3,018 | State Street Bank and Trust Co | 4/22/24 | (32) |
USD | 39,680 | AUD | 59,881 | State Street Bank and Trust Co | 4/22/24 | 636 |
USD | 20,476 | CAD | 27,566 | Morgan Stanley Cap. Group, Inc | 4/22/24 | 119 |
USD | 3,090 | EUR | 2,827 | BNP Paribas S.A. | 4/22/24 | 38 |
USD | 5,060 | EUR | 4,690 | BNP Paribas S.A. | 4/22/24 | (4) |
USD | 2,699 | EUR | 2,488 | Bank of America, N.A. | 4/22/24 | 13 |
USD | 7,509 | EUR | 6,935 | HSBC Bank | 4/22/24 | 22 |
USD | 7,562 | EUR | 6,953 | Morgan Stanley Cap. Group, Inc | 4/22/24 | 55 |
USD | 15,459 | EUR | 14,306 | Morgan Stanley Cap. Group, Inc | 4/22/24 | 12 |
USD | 923,663 | EUR | 843,003 | Royal Bank of Canada | 4/22/24 | 13,461 |
USD | 73,582 | GBP | 57,420 | Citibank, N. A. | 4/22/24 | 1,102 |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | 15,269 | |||||
Unrealized Appreciation | 15,458 | |||||
Unrealized Depreciation | (189) |
Interest Rate Swaps | ||||||||||
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount (000s)(2) | Value ($) (000s) | Upfront Premium Received/ (Paid) ($) (000s)(3) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4% | Annual | LCH | Jun 2026 | 15,082 | 28 | 0 | 28 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4% | Annual | LCH | Jun 2027 | 273,821 | 614 | 0 | 614 | |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.75% | Annual | LCH | Jun 2031 | 77,624 | 243 | 0 | 243 | |
TOTAL INTEREST RATE SWAPS | 885 | 0 | 885 |
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted.
(3)Any premiums for centrally cleared 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 sterling |
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) | 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 $2,808,590,000 or 20.8% of net assets. |
(d) | Non-income producing - Security is in default. |
(e) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(f) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(g) | Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $5,968,000 or 0.0% of net assets. |
(h) | Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(i) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(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 $22,330,000. |
(k) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $10,622,000. |
(l) | Non-income producing |
(m) | Security or a portion of the security is on loan at period end. |
(n) | Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
(o) | The coupon rate will be determined upon settlement of the loan after period end. |
(p) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(q) | Security is perpetual in nature with no stated maturity date. |
(r) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(s) | Investment made with cash collateral received from securities on loan. |
Additional information on each restricted holding is as follows: | ||
Security | Acquisition Date | Acquisition Cost ($) (000s) |
Jonah Energy Parent LLC 12% 11/5/25 | 5/05/23 | 3,974 |
New Cotai LLC/New Cotai Capital Corp. | 9/11/20 | 11,111 |
Tricer Holdco SCA | 10/16/09 - 12/30/17 | 6,909 |
Tricer Holdco SCA Class A1 | 10/16/09 - 10/29/09 | 1,097 |
Tricer Holdco SCA Class A2 | 10/16/09 - 10/29/09 | 1,097 |
Tricer Holdco SCA Class A3 | 10/16/09 - 10/29/09 | 1,097 |
Tricer Holdco SCA Class A4 | 10/16/09 - 10/29/09 | 1,097 |
Tricer Holdco SCA Class A5 | 10/16/09 - 10/29/09 | 1,097 |
Tricer Holdco SCA Class A6 | 10/16/09 - 10/29/09 | 1,097 |
Tricer Holdco SCA Class A7 | 10/16/09 - 10/29/09 | 1,097 |
Tricer Holdco SCA Class A8 | 10/16/09 - 10/29/09 | 1,097 |
Tricer Holdco SCA Class A9 | 10/16/09 - 10/29/09 | 1,100 |
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 5.39% | 288,239 | 818,306 | 848,551 | 3,146 | 2 | (2) | 257,994 | 0.5% |
Fidelity Emerging Markets Debt Central Fund | 2,017,290 | 73,687 | 18,000 | 28,719 | (257) | 20,694 | 2,093,414 | 93.8% |
Fidelity Floating Rate Central Fund | 703,674 | 38,112 | 5,000 | 17,114 | 43 | 795 | 737,624 | 50.2% |
Fidelity Securities Lending Cash Central Fund 5.39% | - | 285,992 | 283,527 | 7 | - | - | 2,465 | 0.0% |
Total | 3,009,203 | 1,216,097 | 1,155,078 | 48,986 | (212) | 21,487 | 3,091,497 | |
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, Collateralized Mortgage Obligations 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.
Swaps are marked-to-market daily based on valuations from third party pricing services, 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 services. 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 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.
Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 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. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. 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 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.
Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.
The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and/or potential credit events.
Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
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 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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