0000225322-22-000057.txt : 20221221 0000225322-22-000057.hdr.sgml : 20221221 20221221112501 ACCESSION NUMBER: 0000225322-22-000057 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 65 CONFORMED PERIOD OF REPORT: 20221031 FILED AS OF DATE: 20221221 DATE AS OF CHANGE: 20221221 EFFECTIVENESS DATE: 20221221 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY SUMMER STREET TRUST CENTRAL INDEX KEY: 0000225322 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 0430 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-02737 FILM NUMBER: 221477167 BUSINESS ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 BUSINESS PHONE: 617-563-7000 MAIL ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY HIGH INCOME FUND DATE OF NAME CHANGE: 19890309 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY AGGRESSIVE INCOME FUND DATE OF NAME CHANGE: 19810205 0000225322 S000007495 Fidelity Capital & Income Fund C000020469 Fidelity Capital & Income Fund FAGIX 0000225322 S000017689 Fidelity Focused High Income Fund C000048885 Fidelity Focused High Income Fund FHIFX 0000225322 S000017690 Fidelity High Income Fund C000048886 Fidelity High Income Fund SPHIX C000206223 Fidelity Advisor High Income Fund: Class M FGRMX C000206224 Fidelity Advisor High Income Fund: Class C FGSMX C000206225 Fidelity Advisor High Income Fund: Class I FGTMX C000206226 Fidelity Advisor High Income Fund: Class Z FGUMX C000206227 Fidelity Advisor High Income Fund: Class A FGQMX 0000225322 S000031534 Fidelity Series High Income Fund C000098085 Fidelity Series High Income Fund FSHNX 0000225322 S000032505 Fidelity Global High Income Fund C000100277 Fidelity Global High Income Fund FGHNX C000100278 Fidelity Advisor Global High Income Fund: Class A FGHAX C000100279 Fidelity Advisor Global High Income Fund: Class C FGHCX C000100280 Fidelity Advisor Global High Income Fund: Class M FGHTX C000100281 Fidelity Advisor Global High Income Fund: Class I FGHIX 0000225322 S000042758 Fidelity Short Duration High Income Fund C000132244 Fidelity Short Duration High Income Fund FSAHX C000132245 Fidelity Advisor Short Duration High Income Fund: Class I FSFHX C000132246 Fidelity Advisor Short Duration High Income Fund: Class A FSBHX C000132247 Fidelity Advisor Short Duration High Income Fund: Class M FSEHX C000132248 Fidelity Advisor Short Duration High Income Fund: Class C FSDHX C000205018 Fidelity Advisor Short Duration High Income Fund: Class Z FIJWX 0000225322 S000065255 Fidelity Women's Leadership Fund C000211258 Fidelity Advisor Women's Leadership Fund: Class Z FWOZX C000211259 Fidelity Advisor Women's Leadership Fund: Class I FWMNX C000211260 Fidelity Women's Leadership Fund FWOMX C000211261 Fidelity Advisor Women's Leadership Fund: Class M FWOEX C000211262 Fidelity Advisor Women's Leadership Fund: Class A FWOAX C000211263 Fidelity Advisor Women's Leadership Fund: Class C FWOCX 0000225322 S000066807 Fidelity U.S. Low Volatility Equity Fund C000215144 Fidelity U.S. Low Volatility Equity Fund FULVX 0000225322 S000071838 Fidelity SAI High Income Fund C000227362 Fidelity SAI High Income Fund FSHGX 0000225322 S000075973 Fidelity Healthy Future Fund C000235369 Fidelity Advisor Healthy Future Fund: Class Z FAPNX C000235370 Fidelity Advisor Healthy Future Fund: Class I FAPMX C000235371 Fidelity Healthy Future Fund FAPHX C000235372 Fidelity Advisor Healthy Future Fund: Class M FAPLX C000235373 Fidelity Advisor Healthy Future Fund: Class A FAPJX C000235374 Fidelity Advisor Healthy Future Fund: Class C FAPKX N-CSRS 1 filing5200.htm PRIMARY DOCUMENT

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549



FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES



Investment Company Act file number    811-02737



Fidelity Summer Street Trust

 (Exact name of registrant as specified in charter)



245 Summer St., Boston, MA 02210

 (Address of principal executive offices)       (Zip code)



Cynthia Lo Bessette, Secretary

245 Summer St.

Boston, Massachusetts  02210

(Name and address of agent for service)





Registrant's telephone number, including area code:

617-563-7000





Date of fiscal year end:

April 30





Date of reporting period:

October 31, 2022



Item 1.

Reports to Stockholders







Fidelity® Series High Income Fund
 
 
Semi-Annual Report
October 31, 2022

Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
 
 
Top Bond Issuers (% of Fund's net assets)
(with maturities greater than one year)
 
New Fortress Energy, Inc.
2.4
 
Mesquite Energy, Inc.
2.3
 
Uniti Group LP / Uniti Group Finance, Inc.
1.8
 
Tenet Healthcare Corp.
1.8
 
Southeastern Grocers, Inc.
1.8
 
CCO Holdings LLC/CCO Holdings Capital Corp.
1.7
 
TransDigm, Inc.
1.6
 
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.
1.5
 
Community Health Systems, Inc.
1.4
 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.
1.4
 
 
17.6
 
 
Market Sectors (% of Fund's net assets)
 
Energy
14.8
 
Healthcare
8.7
 
Telecommunications
8.4
 
Services
6.7
 
Technology
6.4
 
 
Quality Diversification (% of Fund's net assets)
 
 
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
 
Asset Allocation (% of Fund's net assets)
Foreign investments - 17.7%
Geographic Diversification (% of Fund's net assets)
 
*    Includes Short-Term investments and Net Other Assets (Liabilities).  
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
 
 
 
Showing Percentage of Net Assets
Corporate Bonds - 82.5%
 
 
Principal
Amount (a)
 
Value ($)
 
Convertible Bonds - 2.7%
 
 
 
Broadcasting - 1.1%
 
 
 
DISH Network Corp.:
 
 
 
 2.375% 3/15/24
 
4,594,000
4,166,758
 3.375% 8/15/26
 
11,882,000
8,216,403
 
 
 
12,383,161
Energy - 1.6%
 
 
 
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
 
1,175,827
6,970,067
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
 
2,028,327
12,023,517
 
 
 
18,993,584
TOTAL CONVERTIBLE BONDS
 
 
31,376,745
Nonconvertible Bonds - 79.8%
 
 
 
Aerospace - 3.0%
 
 
 
ATI, Inc.:
 
 
 
 4.875% 10/1/29
 
1,215,000
1,021,602
 5.875% 12/1/27
 
4,240,000
3,853,888
Bombardier, Inc. 7.875% 4/15/27 (d)
 
4,233,000
4,020,207
BWX Technologies, Inc. 4.125% 6/30/28 (d)
 
3,247,000
2,841,125
Kaiser Aluminum Corp.:
 
 
 
 4.5% 6/1/31 (d)
 
830,000
651,135
 4.625% 3/1/28 (d)
 
3,375,000
2,952,450
Moog, Inc. 4.25% 12/15/27 (d)
 
830,000
742,734
TransDigm, Inc.:
 
 
 
 4.625% 1/15/29
 
2,335,000
1,988,323
 5.5% 11/15/27
 
12,420,000
11,240,100
 6.25% 3/15/26 (d)
 
2,890,000
2,850,725
 7.5% 3/15/27
 
1,455,000
1,433,728
 8% 12/15/25 (d)
 
1,395,000
1,419,413
 
 
 
35,015,430
Air Transportation - 0.1%
 
 
 
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.5% 4/20/26 (d)
 
1,325,000
1,261,826
Automotive & Auto Parts - 0.3%
 
 
 
Ford Motor Credit Co. LLC:
 
 
 
 2.9% 2/10/29
 
2,715,000
2,129,517
 3.815% 11/2/27
 
1,640,000
1,408,681
 
 
 
3,538,198
Banks & Thrifts - 0.1%
 
 
 
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (d)
 
970,000
857,344
Broadcasting - 1.1%
 
 
 
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d)
 
9,005,000
1,801,000
Sinclair Television Group, Inc. 5.5% 3/1/30 (d)
 
1,670,000
1,248,776
Sirius XM Radio, Inc.:
 
 
 
 4% 7/15/28 (d)
 
2,505,000
2,153,491
 4.125% 7/1/30 (d)
 
845,000
691,454
TEGNA, Inc.:
 
 
 
 4.625% 3/15/28
 
1,895,000
1,803,794
 5% 9/15/29
 
725,000
687,371
Univision Communications, Inc.:
 
 
 
 4.5% 5/1/29 (d)
 
2,170,000
1,826,880
 6.625% 6/1/27 (d)
 
3,080,000
3,041,500
 
 
 
13,254,266
Building Materials - 0.5%
 
 
 
Advanced Drain Systems, Inc. 5% 9/30/27 (d)
 
1,934,000
1,793,282
Builders FirstSource, Inc. 4.25% 2/1/32 (d)
 
2,210,000
1,768,442
SRS Distribution, Inc.:
 
 
 
 4.625% 7/1/28 (d)
 
1,335,000
1,172,183
 6% 12/1/29 (d)
 
1,230,000
1,002,881
 
 
 
5,736,788
Cable/Satellite TV - 4.2%
 
 
 
CCO Holdings LLC/CCO Holdings Capital Corp.:
 
 
 
 4.25% 2/1/31 (d)
 
3,680,000
2,907,200
 4.25% 1/15/34 (d)
 
550,000
404,250
 4.5% 8/15/30 (d)
 
2,885,000
2,341,351
 4.5% 5/1/32
 
5,635,000
4,451,650
 4.5% 6/1/33 (d)
 
3,195,000
2,422,802
 4.75% 3/1/30 (d)
 
4,755,000
3,996,102
 4.75% 2/1/32 (d)
 
550,000
440,026
 5% 2/1/28 (d)
 
1,495,000
1,352,975
 5.375% 6/1/29 (d)
 
1,705,000
1,523,213
CSC Holdings LLC:
 
 
 
 4.125% 12/1/30 (d)
 
2,050,000
1,612,879
 4.5% 11/15/31 (d)
 
555,000
431,665
 4.625% 12/1/30 (d)
 
5,335,000
3,839,986
 5.375% 2/1/28 (d)
 
3,840,000
3,542,400
 5.75% 1/15/30 (d)
 
3,435,000
2,627,775
 7.5% 4/1/28 (d)
 
3,345,000
2,898,008
Dolya Holdco 18 DAC 5% 7/15/28 (d)
 
1,680,000
1,430,353
Radiate Holdco LLC/Radiate Financial Service Ltd.:
 
 
 
 4.5% 9/15/26 (d)
 
2,875,000
2,429,375
 6.5% 9/15/28 (d)
 
6,315,000
3,978,450
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d)
 
4,400,000
3,826,240
Ziggo Bond Co. BV 5.125% 2/28/30 (d)
 
2,090,000
1,656,158
Ziggo BV 4.875% 1/15/30 (d)
 
1,455,000
1,229,475
 
 
 
49,342,333
Capital Goods - 0.8%
 
 
 
Mueller Water Products, Inc. 4% 6/15/29 (d)
 
1,905,000
1,651,864
Vertical Holdco GmbH 7.625% 7/15/28 (d)
 
2,315,000
1,913,405
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (d)
 
5,865,000
5,256,506
 
 
 
8,821,775
Chemicals - 3.8%
 
 
 
CVR Partners LP 6.125% 6/15/28 (d)
 
2,072,000
1,874,663
Element Solutions, Inc. 3.875% 9/1/28 (d)
 
1,999,000
1,699,150
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.:
 
 
 
 5% 12/31/26 (d)
 
3,400,000
3,081,998
 7% 12/31/27 (d)
 
440,000
369,600
LSB Industries, Inc. 6.25% 10/15/28 (d)
 
3,330,000
3,023,274
Methanex Corp.:
 
 
 
 5.125% 10/15/27
 
3,800,000
3,448,804
 5.65% 12/1/44
 
2,152,000
1,479,500
NOVA Chemicals Corp.:
 
 
 
 4.25% 5/15/29 (d)
 
1,900,000
1,548,819
 4.875% 6/1/24 (d)
 
1,290,000
1,254,525
 5% 5/1/25 (d)
 
940,000
895,247
 5.25% 6/1/27 (d)
 
4,320,000
3,855,946
Nufarm Australia Ltd. 5% 1/27/30 (d)
 
2,575,000
2,178,218
Olympus Water U.S. Holding Corp.:
 
 
 
 4.25% 10/1/28 (d)
 
2,030,000
1,647,981
 6.25% 10/1/29 (d)
 
2,255,000
1,561,486
SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (d)
 
1,550,000
1,232,250
The Chemours Co. LLC:
 
 
 
 4.625% 11/15/29 (d)
 
1,645,000
1,283,100
 5.375% 5/15/27
 
2,604,000
2,331,674
 5.75% 11/15/28 (d)
 
10,255,000
8,711,623
W.R. Grace Holding LLC 5.625% 8/15/29 (d)
 
3,140,000
2,427,157
 
 
 
43,905,015
Consumer Products - 0.3%
 
 
 
Mattel, Inc.:
 
 
 
 3.375% 4/1/26 (d)
 
340,000
310,119
 3.75% 4/1/29 (d)
 
3,225,000
2,783,022
 
 
 
3,093,141
Containers - 0.8%
 
 
 
Graphic Packaging International, Inc. 3.75% 2/1/30 (d)
 
610,000
524,454
Sealed Air Corp. 5% 4/15/29 (d)
 
2,240,000
2,043,216
Trivium Packaging Finance BV:
 
 
 
 5.5% 8/15/26 (d)
 
3,574,000
3,280,700
 8.5% 8/15/27 (d)
 
3,080,000
2,896,098
 
 
 
8,744,468
Diversified Financial Services - 2.7%
 
 
 
Coinbase Global, Inc.:
 
 
 
 3.375% 10/1/28 (d)
 
3,705,000
2,421,635
 3.625% 10/1/31 (d)
 
4,210,000
2,492,903
Hightower Holding LLC 6.75% 4/15/29 (d)
 
2,245,000
1,827,716
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
 
 
 
 4.375% 2/1/29
 
3,160,000
2,638,189
 5.25% 5/15/27
 
6,865,000
6,324,381
 6.25% 5/15/26
 
4,350,000
4,186,875
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.75% 6/15/29 (d)
 
1,415,000
1,126,295
OneMain Finance Corp.:
 
 
 
 3.5% 1/15/27
 
3,265,000
2,677,815
 3.875% 9/15/28
 
4,865,000
3,788,376
 7.125% 3/15/26
 
3,970,000
3,831,050
 
 
 
31,315,235
Diversified Media - 0.5%
 
 
 
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (d)
 
6,565,000
5,584,583
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d)
 
960,000
813,600
 
 
 
6,398,183
Energy - 11.3%
 
 
 
Altus Midstream LP 5.875% 6/15/30 (d)
 
1,535,000
1,440,096
Apache Corp. 4.25% 1/15/30
 
775,000
689,529
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d)
 
2,540,000
2,152,650
CGG SA 8.75% 4/1/27 (d)
 
750,000
663,135
Citgo Petroleum Corp. 6.375% 6/15/26 (d)
 
4,285,000
4,220,125
CNX Resources Corp. 7.375% 1/15/31 (d)
 
625,000
620,419
Colgate Energy Partners III LLC:
 
 
 
 5.875% 7/1/29 (d)
 
3,318,000
3,077,445
 7.75% 2/15/26 (d)
 
860,000
855,452
Comstock Resources, Inc.:
 
 
 
 5.875% 1/15/30 (d)
 
1,550,000
1,398,751
 6.75% 3/1/29 (d)
 
4,110,000
3,935,325
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:
 
 
 
 5.625% 5/1/27 (d)
 
9,034,000
8,497,171
 5.75% 4/1/25
 
3,105,000
3,027,375
 6% 2/1/29 (d)
 
4,453,000
4,164,000
CrownRock LP/CrownRock Finance, Inc.:
 
 
 
 5% 5/1/29 (d)
 
1,295,000
1,176,412
 5.625% 10/15/25 (d)
 
230,000
222,456
CVR Energy, Inc.:
 
 
 
 5.25% 2/15/25 (d)
 
3,960,000
3,815,757
 5.75% 2/15/28 (d)
 
3,580,000
3,239,900
Delek Logistics Partners LP 7.125% 6/1/28 (d)
 
3,905,000
3,496,718
DT Midstream, Inc. 4.125% 6/15/29 (d)
 
1,140,000
985,530
EnLink Midstream LLC 5.625% 1/15/28 (d)
 
665,000
637,369
EQM Midstream Partners LP:
 
 
 
 6% 7/1/25 (d)
 
140,000
135,592
 6.5% 7/1/27 (d)
 
1,962,000
1,912,950
 7.5% 6/1/27 (d)
 
735,000
725,813
 7.5% 6/1/30 (d)
 
735,000
714,788
Global Partners LP/GLP Finance Corp. 6.875% 1/15/29
 
2,160,000
1,954,260
Harvest Midstream I LP 7.5% 9/1/28 (d)
 
1,110,000
1,064,180
Hess Midstream Partners LP:
 
 
 
 4.25% 2/15/30 (d)
 
1,115,000
953,492
 5.125% 6/15/28 (d)
 
3,025,000
2,783,000
Hilcorp Energy I LP/Hilcorp Finance Co.:
 
 
 
 5.75% 2/1/29 (d)
 
775,000
709,125
 6.25% 11/1/28 (d)
 
775,000
728,500
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d)
 
2,280,000
2,060,653
Mesquite Energy, Inc. 7.25% 2/15/23 (c)(d)(e)
 
10,580,000
1
New Fortress Energy, Inc.:
 
 
 
 6.5% 9/30/26 (d)
 
13,490,000
13,085,300
 6.75% 9/15/25 (d)
 
13,740,000
13,488,641
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (d)
 
4,110,000
3,718,064
Occidental Petroleum Corp.:
 
 
 
 7.5% 5/1/31
 
2,575,000
2,768,125
 7.875% 9/15/31
 
635,000
691,077
 8.875% 7/15/30
 
2,170,000
2,462,950
Rockies Express Pipeline LLC:
 
 
 
 4.8% 5/15/30 (d)
 
145,000
122,525
 4.95% 7/15/29 (d)
 
1,480,000
1,298,385
 6.875% 4/15/40 (d)
 
655,000
534,742
SM Energy Co. 5.625% 6/1/25
 
2,035,000
1,976,816
Southwestern Energy Co. 4.75% 2/1/32
 
1,640,000
1,415,648
Sunoco LP/Sunoco Finance Corp.:
 
 
 
 4.5% 5/15/29
 
1,670,000
1,434,363
 5.875% 3/15/28
 
875,000
832,979
Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (d)
 
1,155,000
979,014
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.:
 
 
 
 5.5% 1/15/28 (d)
 
3,125,000
2,802,000
 6% 3/1/27 (d)
 
6,240,000
5,888,512
 6% 12/31/30 (d)
 
5,130,000
4,643,779
 6% 9/1/31 (d)
 
3,695,000
3,289,078
 7.5% 10/1/25 (d)
 
1,330,000
1,343,234
Transocean Guardian Ltd. 5.875% 1/15/24 (d)
 
1,096,445
1,065,821
Transocean Phoenix 2 Ltd. 7.75% 10/15/24 (d)
 
202,000
200,901
Transocean Pontus Ltd. 6.125% 8/1/25 (d)
 
565,600
544,441
Transocean Poseidon Ltd. 6.875% 2/1/27 (d)
 
883,750
846,191
Transocean Sentry Ltd. 5.375% 5/15/23 (d)
 
1,393,799
1,369,408
Venture Global Calcasieu Pass LLC:
 
 
 
 3.875% 8/15/29 (d)
 
1,885,000
1,616,388
 4.125% 8/15/31 (d)
 
1,865,000
1,589,968
 
 
 
132,066,319
Environmental - 1.3%
 
 
 
Covanta Holding Corp. 4.875% 12/1/29 (d)
 
1,730,000
1,473,009
Darling Ingredients, Inc. 6% 6/15/30 (d)
 
910,000
875,875
Madison IAQ LLC:
 
 
 
 4.125% 6/30/28 (d)
 
3,730,000
3,086,575
 5.875% 6/30/29 (d)
 
10,110,000
6,925,350
Stericycle, Inc.:
 
 
 
 3.875% 1/15/29 (d)
 
2,775,000
2,410,337
 5.375% 7/15/24 (d)
 
575,000
566,375
 
 
 
15,337,521
Food & Drug Retail - 1.1%
 
 
 
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:
 
 
 
 3.5% 3/15/29 (d)
 
9,110,000
7,538,525
 4.875% 2/15/30 (d)
 
2,205,000
1,956,938
Emergent BioSolutions, Inc. 3.875% 8/15/28 (d)
 
4,720,000
2,829,829
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (d)
 
675,000
562,449
 
 
 
12,887,741
Food/Beverage/Tobacco - 2.1%
 
 
 
C&S Group Enterprises LLC 5% 12/15/28 (d)
 
5,435,000
4,017,773
Lamb Weston Holdings, Inc. 4.125% 1/31/30 (d)
 
3,660,000
3,195,070
Performance Food Group, Inc. 5.5% 10/15/27 (d)
 
1,505,000
1,422,556
Post Holdings, Inc.:
 
 
 
 4.625% 4/15/30 (d)
 
1,290,000
1,088,521
 5.5% 12/15/29 (d)
 
1,325,000
1,192,394
Primo Water Holdings, Inc. 4.375% 4/30/29 (d)
 
4,030,000
3,376,616
TreeHouse Foods, Inc. 4% 9/1/28
 
860,000
725,625
Triton Water Holdings, Inc. 6.25% 4/1/29 (d)
 
9,450,000
7,157,215
U.S. Foods, Inc.:
 
 
 
 4.625% 6/1/30 (d)
 
820,000
711,366
 4.75% 2/15/29 (d)
 
2,180,000
1,932,025
 
 
 
24,819,161
Gaming - 2.0%
 
 
 
Affinity Gaming LLC 6.875% 12/15/27 (d)
 
3,630,000
3,030,150
Caesars Entertainment, Inc.:
 
 
 
 6.25% 7/1/25 (d)
 
2,675,000
2,610,084
 8.125% 7/1/27 (d)
 
4,489,000
4,365,553
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. 6.75% 1/15/30 (d)
 
4,500,000
3,532,500
Golden Entertainment, Inc. 7.625% 4/15/26 (d)
 
2,355,000
2,313,788
Jacobs Entertainment, Inc. 6.75% 2/15/29 (d)
 
975,000
859,628
Premier Entertainment Sub LLC:
 
 
 
 5.625% 9/1/29 (d)
 
2,725,000
2,016,500
 5.875% 9/1/31 (d)
 
1,295,000
917,663
Station Casinos LLC 4.5% 2/15/28 (d)
 
1,665,000
1,434,398
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (d)
 
3,039,000
2,643,322
 
 
 
23,723,586
Healthcare - 8.1%
 
 
 
1375209 BC Ltd. 9% 1/30/28 (d)
 
1,306,000
1,263,555
180 Medical, Inc. 3.875% 10/15/29 (d)
 
2,065,000
1,744,925
AMN Healthcare 4% 4/15/29 (d)
 
3,205,000
2,757,832
Avantor Funding, Inc.:
 
 
 
 3.875% 11/1/29 (d)
 
2,000,000
1,687,607
 4.625% 7/15/28 (d)
 
1,750,000
1,581,493
Bausch Health Companies, Inc.:
 
 
 
 11% 9/30/28 (d)
 
2,316,000
1,783,320
 14% 10/15/30 (d)
 
461,000
263,923
Cano Health, Inc. 6.25% 10/1/28 (d)
 
1,930,000
1,549,938
Catalent Pharma Solutions 3.5% 4/1/30 (d)
 
3,245,000
2,620,338
Charles River Laboratories International, Inc.:
 
 
 
 3.75% 3/15/29 (d)
 
1,150,000
994,750
 4.25% 5/1/28 (d)
 
472,000
429,378
Community Health Systems, Inc.:
 
 
 
 4.75% 2/15/31 (d)
 
4,055,000
2,716,566
 5.25% 5/15/30 (d)
 
7,690,000
5,325,325
 5.625% 3/15/27 (d)
 
4,905,000
3,908,647
 6% 1/15/29 (d)
 
2,290,000
1,699,959
 6.125% 4/1/30 (d)
 
2,885,000
1,182,850
 6.875% 4/15/29 (d)
 
3,575,000
1,438,576
 8% 3/15/26 (d)
 
1,075,000
927,188
CTR Partnership LP/CareTrust Capital Corp. 3.875% 6/30/28 (d)
 
2,070,000
1,745,915
DaVita HealthCare Partners, Inc.:
 
 
 
 3.75% 2/15/31 (d)
 
855,000
618,191
 4.625% 6/1/30 (d)
 
7,480,000
5,831,595
Embecta Corp. 5% 2/15/30 (d)
 
860,000
737,244
Grifols Escrow Issuer SA 4.75% 10/15/28 (d)
 
3,010,000
2,351,563
HealthEquity, Inc. 4.5% 10/1/29 (d)
 
3,520,000
3,075,600
Hologic, Inc.:
 
 
 
 3.25% 2/15/29 (d)
 
3,405,000
2,893,569
 4.625% 2/1/28 (d)
 
6,000
5,610
Jazz Securities DAC 4.375% 1/15/29 (d)
 
3,880,000
3,443,500
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (d)
 
785,000
668,079
Molina Healthcare, Inc. 3.875% 11/15/30 (d)
 
1,465,000
1,244,953
Option Care Health, Inc. 4.375% 10/31/29 (d)
 
3,020,000
2,608,012
Organon & Co. / Organon Foreign Debt Co-Issuer BV:
 
 
 
 4.125% 4/30/28 (d)
 
3,935,000
3,466,027
 5.125% 4/30/31 (d)
 
2,160,000
1,834,423
Owens & Minor, Inc. 4.5% 3/31/29 (d)
 
1,010,000
782,104
Pediatrix Medical Group, Inc. 5.375% 2/15/30 (d)
 
2,290,000
1,969,400
Radiology Partners, Inc. 9.25% 2/1/28 (d)
 
2,970,000
1,571,130
RP Escrow Issuer LLC 5.25% 12/15/25 (d)
 
5,310,000
3,970,498
Teleflex, Inc. 4.25% 6/1/28 (d)
 
930,000
841,464
Tenet Healthcare Corp.:
 
 
 
 4.25% 6/1/29 (d)
 
3,290,000
2,771,825
 4.375% 1/15/30 (d)
 
1,990,000
1,669,610
 4.625% 6/15/28 (d)
 
3,350,000
2,939,607
 6.125% 10/1/28 (d)
 
9,780,000
8,464,590
 6.125% 6/15/30 (d)
 
2,820,000
2,603,255
 6.25% 2/1/27 (d)
 
2,741,000
2,615,791
 
 
 
94,599,725
Homebuilders/Real Estate - 3.9%
 
 
 
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 8/1/29 (d)
 
985,000
739,981
Howard Hughes Corp.:
 
 
 
 4.125% 2/1/29 (d)
 
1,325,000
1,035,526
 4.375% 2/1/31 (d)
 
1,325,000
995,605
Kennedy-Wilson, Inc. 4.75% 2/1/30
 
4,055,000
3,183,175
MPT Operating Partnership LP/MPT Finance Corp.:
 
 
 
 3.5% 3/15/31
 
3,265,000
2,245,896
 4.625% 8/1/29
 
1,540,000
1,220,034
 5% 10/15/27
 
11,120,000
9,522,056
Railworks Holdings LP 8.25% 11/15/28 (d)
 
2,855,000
2,623,854
TopBuild Corp. 4.125% 2/15/32 (d)
 
3,180,000
2,489,855
Uniti Group LP / Uniti Group Finance, Inc.:
 
 
 
 4.75% 4/15/28 (d)
 
6,395,000
5,227,566
 6.5% 2/15/29 (d)
 
22,416,000
16,083,480
 
 
 
45,367,028
Hotels - 0.5%
 
 
 
Hilton Domestic Operating Co., Inc.:
 
 
 
 3.625% 2/15/32 (d)
 
3,710,000
2,954,088
 3.75% 5/1/29 (d)
 
495,000
421,693
 4% 5/1/31 (d)
 
1,540,000
1,287,359
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (d)
 
1,785,000
1,571,371
 
 
 
6,234,511
Insurance - 0.6%
 
 
 
Alliant Holdings Intermediate LLC 4.25% 10/15/27 (d)
 
3,740,000
3,366,449
AmWINS Group, Inc. 4.875% 6/30/29 (d)
 
3,540,000
3,026,137
AssuredPartners, Inc. 5.625% 1/15/29 (d)
 
1,355,000
1,114,488
 
 
 
7,507,074
Leisure - 2.6%
 
 
 
Carnival Corp.:
 
 
 
 5.75% 3/1/27 (d)
 
5,650,000
3,926,750
 6% 5/1/29 (d)
 
4,475,000
2,968,122
 6.65% 1/15/28
 
300,000
190,858
 7.625% 3/1/26 (d)
 
6,815,000
5,124,539
MajorDrive Holdings IV LLC 6.375% 6/1/29 (d)
 
1,485,000
1,046,480
NCL Corp. Ltd.:
 
 
 
 3.625% 12/15/24 (d)
 
3,160,000
2,742,810
 5.875% 3/15/26 (d)
 
890,000
728,688
 7.75% 2/15/29 (d)
 
2,010,000
1,598,613
NCL Finance Ltd. 6.125% 3/15/28 (d)
 
640,000
497,600
Royal Caribbean Cruises Ltd.:
 
 
 
 4.25% 7/1/26 (d)
 
4,110,000
3,246,900
 5.375% 7/15/27 (d)
 
1,535,000
1,193,180
 5.5% 8/31/26 (d)
 
3,160,000
2,583,616
 5.5% 4/1/28 (d)
 
3,905,000
3,006,850
Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (d)
 
630,000
491,104
Voc Escrow Ltd. 5% 2/15/28 (d)
 
1,440,000
1,185,466
 
 
 
30,531,576
Metals/Mining - 0.9%
 
 
 
Eldorado Gold Corp. 6.25% 9/1/29 (d)
 
1,005,000
812,894
ERO Copper Corp. 6.5% 2/15/30 (d)
 
3,950,000
2,893,375
First Quantum Minerals Ltd. 6.875% 10/15/27 (d)
 
3,115,000
2,884,685
HudBay Minerals, Inc. 4.5% 4/1/26 (d)
 
860,000
754,448
Mineral Resources Ltd. 8.5% 5/1/30 (d)
 
1,400,000
1,377,683
PMHC II, Inc. 9% 2/15/30 (d)
 
2,130,000
1,403,453
 
 
 
10,126,538
Paper - 0.7%
 
 
 
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC:
 
 
 
 4% 9/1/29 (d)
 
1,165,000
883,757
 6% 6/15/27 (d)
 
1,985,000
1,904,746
Clydesdale Acquisition Holdings, Inc. 6.625% 4/15/29 (d)
 
815,000
773,761
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (d)
 
390,000
374,486
Glatfelter Corp. 4.75% 11/15/29 (d)
 
1,385,000
891,594
SPA Holdings 3 OY 4.875% 2/4/28 (d)
 
4,520,000
3,598,438
 
 
 
8,426,782
Publishing/Printing - 0.1%
 
 
 
News Corp. 5.125% 2/15/32 (d)
 
1,685,000
1,503,863
Railroad - 0.3%
 
 
 
First Student Bidco, Inc./First Transit Parent, Inc. 4% 7/31/29 (d)
 
4,195,000
3,408,857
Restaurants - 0.5%
 
 
 
1011778 BC Unlimited Liability Co./New Red Finance, Inc. 4% 10/15/30 (d)
 
2,680,000
2,187,550
Garden SpinCo Corp. 8.625% 7/20/30 (d)
 
550,000
565,705
Yum! Brands, Inc. 4.625% 1/31/32
 
3,225,000
2,757,472
 
 
 
5,510,727
Services - 5.9%
 
 
 
Adtalem Global Education, Inc. 5.5% 3/1/28 (d)
 
3,646,000
3,326,975
APX Group, Inc. 6.75% 2/15/27 (d)
 
1,280,000
1,248,645
Aramark Services, Inc. 5% 2/1/28 (d)
 
1,560,000
1,421,324
ASGN, Inc. 4.625% 5/15/28 (d)
 
2,280,000
2,027,444
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (d)
 
9,020,000
7,947,342
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (d)
 
6,812,000
4,897,597
CoreCivic, Inc.:
 
 
 
 4.75% 10/15/27
 
4,361,000
3,618,587
 8.25% 4/15/26
 
7,700,000
7,812,616
Fair Isaac Corp. 4% 6/15/28 (d)
 
1,535,000
1,388,929
Gartner, Inc.:
 
 
 
 3.625% 6/15/29 (d)
 
985,000
837,250
 3.75% 10/1/30 (d)
 
1,600,000
1,343,993
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d)
 
7,761,000
7,280,788
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (d)
 
5,185,000
4,536,875
PowerTeam Services LLC 9.033% 12/4/25 (d)
 
840,000
701,954
Service Corp. International:
 
 
 
 4% 5/15/31
 
2,505,000
2,079,708
 5.125% 6/1/29
 
2,272,000
2,116,277
Sotheby's 7.375% 10/15/27 (d)
 
6,200,000
5,998,500
The GEO Group, Inc. 9.5% 12/31/28 (d)
 
2,110,000
1,941,200
TriNet Group, Inc. 3.5% 3/1/29 (d)
 
3,950,000
3,273,563
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d)
 
4,717,000
4,398,455
 
 
 
68,198,022
Steel - 0.3%
 
 
 
Commercial Metals Co. 4.125% 1/15/30
 
1,140,000
957,826
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (d)
 
2,705,000
2,373,583
 
 
 
3,331,409
Super Retail - 1.7%
 
 
 
Bath & Body Works, Inc. 6.694% 1/15/27
 
625,000
589,063
Carvana Co.:
 
 
 
 4.875% 9/1/29 (d)
 
1,330,000
588,525
 5.5% 4/15/27 (d)
 
2,050,000
974,218
 5.875% 10/1/28 (d)
 
550,000
251,807
 10.25% 5/1/30 (d)
 
300,000
180,000
EG Global Finance PLC:
 
 
 
 6.75% 2/7/25 (d)
 
2,875,000
2,587,500
 8.5% 10/30/25 (d)
 
4,985,000
4,604,671
LBM Acquisition LLC 6.25% 1/15/29 (d)
 
2,315,000
1,619,296
Levi Strauss & Co. 3.5% 3/1/31 (d)
 
2,235,000
1,787,899
Michaels Companies, Inc.:
 
 
 
 5.25% 5/1/28 (d)
 
1,425,000
1,011,950
 7.875% 5/1/29 (d)
 
1,100,000
613,250
Nordstrom, Inc.:
 
 
 
 4.25% 8/1/31
 
1,630,000
1,183,380
 4.375% 4/1/30
 
1,090,000
836,575
Wolverine World Wide, Inc. 4% 8/15/29 (d)
 
3,250,000
2,567,500
 
 
 
19,395,634
Technology - 5.6%
 
 
 
Acuris Finance U.S. 5% 5/1/28 (d)
 
5,520,000
4,471,200
Athenahealth Group, Inc. 6.5% 2/15/30 (d)
 
760,000
592,800
Black Knight InfoServ LLC 3.625% 9/1/28 (d)
 
3,485,000
3,018,881
Clarivate Science Holdings Corp.:
 
 
 
 3.875% 7/1/28 (d)
 
810,000
694,639
 4.875% 7/1/29 (d)
 
820,000
683,675
Coherent Corp. 5% 12/15/29 (d)
 
3,575,000
3,066,921
CommScope, Inc.:
 
 
 
 4.75% 9/1/29 (d)
 
1,415,000
1,196,855
 6% 3/1/26 (d)
 
1,260,000
1,215,335
 7.125% 7/1/28 (d)
 
2,505,000
2,121,554
 8.25% 3/1/27 (d)
 
770,000
683,607
Elastic NV 4.125% 7/15/29 (d)
 
3,310,000
2,763,602
Entegris Escrow Corp.:
 
 
 
 4.75% 4/15/29 (d)
 
2,285,000
2,018,954
 5.95% 6/15/30 (d)
 
3,020,000
2,755,750
Gartner, Inc. 4.5% 7/1/28 (d)
 
2,505,000
2,321,459
ION Trading Technologies Ltd. 5.75% 5/15/28 (d)
 
4,095,000
3,255,525
MicroStrategy, Inc. 6.125% 6/15/28 (d)
 
4,810,000
4,121,545
onsemi 3.875% 9/1/28 (d)
 
1,875,000
1,652,063
Open Text Corp.:
 
 
 
 3.875% 2/15/28 (d)
 
2,815,000
2,409,471
 3.875% 12/1/29 (d)
 
3,245,000
2,571,663
Rackspace Hosting, Inc.:
 
 
 
 3.5% 2/15/28 (d)
 
2,710,000
1,789,582
 5.375% 12/1/28 (d)
 
19,245,000
8,100,990
Roblox Corp. 3.875% 5/1/30 (d)
 
3,450,000
2,846,250
Sensata Technologies BV 4% 4/15/29 (d)
 
1,330,000
1,120,126
TTM Technologies, Inc. 4% 3/1/29 (d)
 
6,735,000
5,624,660
Twilio, Inc. 3.875% 3/15/31
 
1,270,000
1,035,749
Uber Technologies, Inc. 8% 11/1/26 (d)
 
3,275,000
3,287,118
 
 
 
65,419,974
Telecommunications - 8.0%
 
 
 
Altice Financing SA:
 
 
 
 5% 1/15/28 (d)
 
2,610,000
2,063,619
 5.75% 8/15/29 (d)
 
13,650,000
10,777,187
Altice France Holding SA 6% 2/15/28 (d)
 
6,280,000
4,105,550
Altice France SA:
 
 
 
 5.125% 1/15/29 (d)
 
5,910,000
4,447,275
 5.125% 7/15/29 (d)
 
2,830,000
2,131,485
 5.5% 1/15/28 (d)
 
4,455,000
3,571,440
 5.5% 10/15/29 (d)
 
20,000
15,250
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d)
 
16,554,000
14,319,210
Cablevision Lightpath LLC:
 
 
 
 3.875% 9/15/27 (d)
 
765,000
650,429
 5.625% 9/15/28 (d)
 
605,000
480,999
Consolidated Communications, Inc. 5% 10/1/28 (d)
 
930,000
720,615
Frontier Communications Holdings LLC:
 
 
 
 5% 5/1/28 (d)
 
3,330,000
2,913,750
 5.875% 10/15/27 (d)
 
1,685,000
1,549,907
 5.875% 11/1/29
 
2,485,000
1,935,852
 6% 1/15/30 (d)
 
2,115,000
1,653,930
 8.75% 5/15/30 (d)
 
1,675,000
1,710,594
Intelsat Jackson Holdings SA 6.5% 3/15/30 (d)
 
3,100,000
2,845,056
Level 3 Financing, Inc.:
 
 
 
 3.625% 1/15/29 (d)
 
565,000
430,813
 4.25% 7/1/28 (d)
 
5,030,000
4,149,750
Lumen Technologies, Inc. 4.5% 1/15/29 (d)
 
6,305,000
4,444,726
Millicom International Cellular SA:
 
 
 
 4.5% 4/27/31 (d)
 
3,880,000
2,902,240
 5.125% 1/15/28 (d)
 
211,500
180,079
Sable International Finance Ltd. 5.75% 9/7/27 (d)
 
748,000
659,175
SBA Communications Corp. 3.125% 2/1/29
 
1,630,000
1,317,415
Telecom Italia Capital SA:
 
 
 
 6% 9/30/34
 
3,032,000
2,212,541
 7.2% 7/18/36
 
1,449,000
1,128,423
 7.721% 6/4/38
 
400,000
318,000
Uniti Group, Inc. 6% 1/15/30 (d)
 
5,895,000
4,022,925
Virgin Media Secured Finance PLC 4.5% 8/15/30 (d)
 
2,980,000
2,462,632
VMED O2 UK Financing I PLC 4.25% 1/31/31 (d)
 
3,745,000
2,979,985
Windstream Escrow LLC 7.75% 8/15/28 (d)
 
7,880,000
6,818,564
Zayo Group Holdings, Inc.:
 
 
 
 4% 3/1/27 (d)
 
2,600,000
2,008,500
 6.125% 3/1/28 (d)
 
1,755,000
1,167,075
 
 
 
93,094,991
Textiles/Apparel - 0.3%
 
 
 
Foot Locker, Inc. 4% 10/1/29 (d)
 
3,550,000
2,713,869
Kontoor Brands, Inc. 4.125% 11/15/29 (d)
 
580,000
465,036
 
 
 
3,178,905
Transportation Ex Air/Rail - 0.5%
 
 
 
Golar LNG Ltd. 7% 10/20/25
 
1,690,000
1,588,600
Great Lakes Dredge & Dock Corp. 5.25% 6/1/29 (d)
 
1,020,000
806,579
Seaspan Corp. 5.5% 8/1/29 (d)
 
4,095,000
3,153,883
 
 
 
5,549,062
Utilities - 3.3%
 
 
 
Clearway Energy Operating LLC 3.75% 2/15/31 (d)
 
1,750,000
1,461,250
Global Partners LP/GLP Finance Corp. 7% 8/1/27
 
3,807,000
3,619,247
InterGen NV 7% 6/30/23 (d)
 
10,532,000
10,308,195
NRG Energy, Inc.:
 
 
 
 3.375% 2/15/29 (d)
 
2,360,000
1,965,811
 5.25% 6/15/29 (d)
 
2,565,000
2,327,738
PG&E Corp.:
 
 
 
 5% 7/1/28
 
4,420,000
3,983,724
 5.25% 7/1/30
 
6,030,000
5,339,535
Pike Corp. 5.5% 9/1/28 (d)
 
5,677,000
4,847,477
Vistra Operations Co. LLC:
 
 
 
 5% 7/31/27 (d)
 
2,849,000
2,628,203
 5.625% 2/15/27 (d)
 
1,965,000
1,873,195
 
 
 
38,354,375
TOTAL NONCONVERTIBLE BONDS
 
 
929,857,383
 
TOTAL CORPORATE BONDS
  (Cost $1,140,607,526)
 
 
 
961,234,128
 
 
 
 
Common Stocks - 4.0%
 
 
Shares
Value ($)
 
Cable/Satellite TV - 0.1%
 
 
 
Altice U.S.A., Inc. Class A (f)
 
105,200
695,372
Energy - 1.6%
 
 
 
California Resources Corp. warrants 10/27/24 (f)
 
2,871
40,768
Jonah Energy Parent LLC (c)(f)
 
148,945
9,472,902
Mesquite Energy, Inc. (c)(f)
 
149,356
8,278,818
New Fortress Energy, Inc.
 
22,500
1,239,075
TOTAL ENERGY
 
 
19,031,563
Food & Drug Retail - 1.8%
 
 
 
Southeastern Grocers, Inc. (b)(c)(f)
 
963,443
20,839,259
Gaming - 0.2%
 
 
 
Caesars Entertainment, Inc. (f)
 
57,300
2,505,729
Metals/Mining - 0.0%
 
 
 
Elah Holdings, Inc. (c)(f)
 
333
24,309
Telecommunications - 0.0%
 
 
 
GTT Communications, Inc. rights (c)(f)
 
160,059
160,059
Utilities - 0.3%
 
 
 
EQT Corp.
 
69,900
2,924,616
 
TOTAL COMMON STOCKS
  (Cost $20,426,820)
 
 
 
46,180,907
 
 
 
 
Bank Loan Obligations - 5.8%
 
 
Principal
Amount (a)
 
Value ($)
 
Broadcasting - 0.2%
 
 
 
Diamond Sports Group LLC:
 
 
 
 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 11.208% 5/25/26 (g)(h)(i)
 
1,965,493
1,883,591
 2LN, term loan CME Term SOFR 1 Month Index + 3.250% 6.458% 8/24/26 (g)(h)(i)
 
4,463,270
865,874
TOTAL BROADCASTING
 
 
2,749,465
Building Materials - 0.1%
 
 
 
Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 7.3247% 5/17/28 (g)(h)(i)
 
2,143,296
1,486,461
Chemicals - 0.5%
 
 
 
Consolidated Energy Finance SA Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.3633% 5/7/25 (c)(g)(h)(i)
 
2,569,080
2,440,626
Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 1 Month Index + 4.370% 7.9683% 10/4/29 (g)(h)(i)
 
1,920,000
1,751,520
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.4375% 11/9/28 (g)(h)(i)
 
2,054,475
1,867,374
TOTAL CHEMICALS
 
 
6,059,520
Energy - 0.3%
 
 
 
EG America LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 7.6741% 2/6/25 (g)(h)(i)
 
2,376,285
2,149,943
EG Finco Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 7.6741% 2/6/25 (g)(h)(i)
 
1,594,948
1,443,030
Mesquite Energy, Inc.:
 
 
 
 1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (c)(e)(h)(i)
 
2,735,146
0
 term loan 3 month U.S. LIBOR + 0.000% 0% (c)(e)(h)(i)
 
1,217,000
0
TOTAL ENERGY
 
 
3,592,973
Healthcare - 0.6%
 
 
 
Da Vinci Purchaser Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.7041% 12/13/26 (g)(h)(i)
 
128,684
121,687
Gainwell Acquisition Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.6741% 10/1/27 (g)(h)(i)
 
6,879,962
6,524,475
TOTAL HEALTHCARE
 
 
6,646,162
Insurance - 0.4%
 
 
 
HUB International Ltd. Tranche B, term loan 1 month U.S. LIBOR + 3.000% 7.326% 4/25/25 (g)(h)(i)
 
4,387,735
4,297,699
Leisure - 0.5%
 
 
 
City Football Group Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.484% 7/21/28 (g)(h)(i)
 
5,792,979
5,372,988
Paper - 0.2%
 
 
 
Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.170% 8.0037% 4/13/29 (g)(h)(i)
 
2,044,875
1,966,761
Services - 0.8%
 
 
 
Ascend Learning LLC:
 
 
 
 2LN, term loan 1 month U.S. LIBOR + 5.750% 9.5039% 12/10/29 (g)(h)(i)
 
225,000
190,406
 Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 12/10/28 (g)(h)(i)
 
2,252,975
2,062,103
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 8.493% 6/21/24 (g)(h)(i)
 
4,730,712
4,083,219
Spin Holdco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.1441% 3/4/28 (g)(h)(i)
 
3,360,000
2,949,811
TOTAL SERVICES
 
 
9,285,539
Super Retail - 0.6%
 
 
 
Bass Pro Group LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.5039% 3/5/28 (g)(h)(i)
 
2,785,930
2,617,381
LBM Acquisition LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.1207% 12/18/27 (g)(h)(i)
 
5,480,263
4,676,035
TOTAL SUPER RETAIL
 
 
7,293,416
Technology - 0.8%
 
 
 
Athenahealth Group, Inc.:
 
 
 
 Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 6.9671% 2/15/29 (g)(h)(i)
 
5,782,898
5,272,094
 Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 2/15/29 (h)(i)(j)
 
982,609
895,815
Central Parent, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 8.1123% 7/6/29 (g)(h)(i)
 
565,000
552,406
CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 7.0039% 4/4/26 (g)(h)(i)
 
1,613,367
1,534,716
Verscend Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.7539% 8/27/25 (g)(h)(i)
 
827,467
816,089
TOTAL TECHNOLOGY
 
 
9,071,120
Telecommunications - 0.4%
 
 
 
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 10% 5/31/25 (g)(h)(i)
 
6,203,519
4,271,806
Utilities - 0.4%
 
 
 
Brookfield WEC Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 7.4787% 8/1/25 (g)(h)(i)
 
1,385,000
1,373,962
PG&E Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.8125% 6/23/25 (g)(h)(i)
 
3,960,566
3,890,266
TOTAL UTILITIES
 
 
5,264,228
 
TOTAL BANK LOAN OBLIGATIONS
  (Cost $76,436,867)
 
 
 
67,358,138
 
 
 
 
Other - 0.6%
 
 
Shares
Value ($)
 
Other - 0.6%
 
 
 
Fidelity Direct Lending Fund, LP (b)(k)
  (Cost $7,204,158)
 
 
7,123,339
 
 
 
 
Money Market Funds - 5.7%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 3.10% (l)
 
  (Cost $66,543,527)
 
 
66,530,221
66,543,527
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 98.6%
  (Cost $1,311,218,898)
 
 
 
1,148,440,039
NET OTHER ASSETS (LIABILITIES) - 1.4%  
16,657,377
NET ASSETS - 100.0%
1,165,097,416
 
 
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues).  At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $46,956,182 or 4.0% of net assets.
 
(c)
Level 3 security
 
(d)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $790,360,709 or 67.8% of net assets.
 
(e)
Non-income producing - Security is in default.
 
(f)
Non-income producing
 
(g)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(h)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(i)
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.
 
(j)
Position or a portion of the position represents an unfunded loan commitment.  At period end, the total principal amount and market value of unfunded commitments totaled $982,609 and $895,815, respectively.
 
(k)
Affiliated Fund
 
(l)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
 
 
Additional information on each restricted holding is as follows:
Security
Acquisition Date
Acquisition Cost ($)
 
Fidelity Direct Lending Fund, LP
12/09/21 - 10/31/22
7,204,158
 
 
 
Mesquite Energy, Inc. 15% 7/15/23
7/10/20 - 1/18/22
1,175,827
 
 
 
Mesquite Energy, Inc. 15% 7/15/23
11/05/20 - 1/18/22
2,028,327
 
 
 
Southeastern Grocers, Inc.
6/01/18
6,776,820
 
 
 
 
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
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 3.10%
49,396,894
233,425,906
216,279,273
623,425
-
-
66,543,527
0.1%
Fidelity Securities Lending Cash Central Fund 3.10%
-
2,155,180
2,155,180
31
-
-
-
0.0%
Total
49,396,894
235,581,086
218,434,453
623,456
-
-
66,543,527
 
 
 
 
 
 
 
 
 
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
Fidelity Direct Lending Fund, LP
4,620,231
2,588,269
-
256,891
-
(85,161)
7,123,339
 
4,620,231
2,588,269
-
256,891
-
(85,161)
7,123,339
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of October 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
 
Amounts in this Investment Valuation section exclude the value of Fidelity Direct Lending Fund, LP as presented in the Schedule of Investments. Fidelity Direct Lending Fund, LP is valued using NAV as a practical expedient.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
  Investments in Securities:
 
 
 
 
 Equities:
 
 
 
 
Communication Services
695,372
695,372
-
-
Consumer Discretionary
2,505,729
2,505,729
-
-
Consumer Staples
20,839,259
-
-
20,839,259
Energy
21,956,179
4,204,459
-
17,751,720
Information Technology
160,059
-
-
160,059
Materials
24,309
-
-
24,309
 Corporate Bonds
961,234,128
-
942,240,543
18,993,585
 Bank Loan Obligations
67,358,138
-
64,917,512
2,440,626
  Money Market Funds
66,543,527
66,543,527
-
-
 Total Investments in Securities:
1,141,316,700
73,949,087
1,007,158,055
60,209,558
 
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:
 
 
Investments in Securities:
 
Consumer Staples
 
 
 
  Beginning Balance
$
22,660,158
 
  Net Realized Gain (Loss) on Investment Securities
 
-
 
  Net Unrealized Gain (Loss) on Investment Securities
 
(1,820,899)
 
  Cost of Purchases
 
-
 
  Proceeds of Sales
 
-
 
  Amortization/Accretion
 
-
 
  Transfers into Level 3
 
-
 
  Transfers out of Level 3
 
-
 
  Ending Balance
$
20,839,259
 
  The change in unrealized gain (loss) for the period attributable to Level 3 securities held at October 31, 2022
$
(1,820,899)
 
Energy
 
 
 
  Beginning Balance
$
18,371,467
 
  Net Realized Gain (Loss) on Investment Securities
 
-
 
  Net Unrealized Gain (Loss) on Investment Securities
 
(619,747)
 
  Cost of Purchases
 
-
 
  Proceeds of Sales
 
-
 
  Amortization/Accretion
 
-
 
  Transfers into Level 3
 
-
 
  Transfers out of Level 3
 
-
 
  Ending Balance
$
17,751,720
 
  The change in unrealized gain (loss) for the period attributable to Level 3 securities held at October 31, 2022
$
(619,747)
 
Corporate Bonds
 
 
 
  Beginning Balance
$
15,498,989
 
  Net Realized Gain (Loss) on Investment Securities
 
-
 
  Net Unrealized Gain (Loss) on Investment Securities
 
3,494,596
 
  Cost of Purchases
 
-
 
  Proceeds of Sales
 
-
 
  Amortization/Accretion
 
-
 
  Transfers into Level 3
 
-
 
  Transfers out of Level 3
 
-
 
  Ending Balance
$
18,993,585
 
  The change in unrealized gain (loss) for the period attributable to Level 3 securities held at October 31, 2022
$
3,494,596
 
Other Investments in Securities
 
 
 
  Beginning Balance
$
2,845,744
 
  Net Realized Gain (Loss) on Investment Securities
 
(2,571)
 
  Net Unrealized Gain (Loss) on Investment Securities
 
(78,857)
 
  Cost of Purchases
 
-
 
  Proceeds of Sales
 
(172,650)
 
  Amortization/Accretion
 
8,353
 
  Transfers into Level 3
 
24,975
 
  Transfers out of Level 3
 
-
 
  Ending Balance
$
2,624,994
 
  The change in unrealized gain (loss) for the period attributable to Level 3 securities held at October 31, 2022
$
(78,857)
 
 
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Cost of purchases and proceeds of sales may include securities received and/or delivered through in-kind transactions. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations.
 
 
Financial Statements   (Unaudited)
Statement of Assets and Liabilities
 
 
 
October 31, 2022
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $1,237,471,213)
 
$1,074,773,173
 
 
Fidelity Central Funds (cost $66,543,527)
 
66,543,527
 
 
Other affiliated issuers (cost $7,204,158)
 
7,123,339
 
 
 
 
 
 
 
Total Investment in Securities (cost $1,311,218,898)
 
 
$
1,148,440,039
Cash
 
 
 
37,359
Receivable for investments sold
 
 
 
10,461,271
Receivable for fund shares sold
 
 
 
93,519
Dividends receivable
 
 
 
71,135
Interest receivable
 
 
 
16,468,488
Distributions receivable from Fidelity Central Funds
 
 
 
144,839
Receivable from investment adviser for expense reductions
 
 
 
46,507
  Total assets
 
 
 
1,175,763,157
Liabilities
 
 
 
 
Payable for investments purchased
 
$5,933,479
 
 
Payable for fund shares redeemed
 
4,729,332
 
 
Other payables and accrued expenses
 
2,930
 
 
  Total Liabilities
 
 
 
10,665,741
Net Assets  
 
 
$
1,165,097,416
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
1,667,542,846
Total accumulated earnings (loss)
 
 
 
(502,445,430)
Net Assets
 
 
$
1,165,097,416
Net Asset Value , offering price and redemption price per share ($1,165,097,416 ÷ 143,432,871 shares)
 
 
$
8.12
 
 
 
 
 
Statement of Operations
 
 
 
Six months ended
October 31, 2022
(Unaudited)
Investment Income
 
 
 
 
Dividends (including $256,891 earned from affiliated issuers)
 
 
$
4,897,967
Interest  
 
 
35,159,376
Income from Fidelity Central Funds (including $31 from security lending)
 
 
 
623,456
 Total Income
 
 
 
40,680,799
Expenses
 
 
 
 
Custodian fees and expenses
 
6,480
 
 
Independent trustees' fees and expenses
 
2,256
 
 
Legal
 
346,192
 
 
 Total expenses before reductions
 
354,928
 
 
 Expense reductions
 
(335,007)
 
 
 Total expenses after reductions
 
 
 
19,921
Net Investment income (loss)
 
 
 
40,660,878
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
(36,317,674)
 
 
Total net realized gain (loss)
 
 
 
(36,317,674)
Change in net unrealized appreciation (depreciation) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
(64,820,781)
 
 
   Affiliated issuers
 
(85,161)
 
 
Total change in net unrealized appreciation (depreciation)
 
 
 
(64,905,942)
Net gain (loss)
 
 
 
(101,223,616)
Net increase (decrease) in net assets resulting from operations
 
 
$
(60,562,738)
Statement of Changes in Net Assets
 
 
Six months ended
October 31, 2022
(Unaudited)
 
Year ended
April 30, 2022
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
40,660,878
$
90,508,599
Net realized gain (loss)
 
(36,317,674)
 
 
38,259,087
 
Change in net unrealized appreciation (depreciation)
 
(64,905,942)
 
(160,198,921)
 
Net increase (decrease) in net assets resulting from operations
 
(60,562,738)
 
 
(31,431,235)
 
Distributions to shareholders
 
(35,924,001)
 
 
(90,722,492)
 
Share transactions
 
 
 
 
Proceeds from sales of shares
 
38,744,940
 
116,542,416
  Reinvestment of distributions
 
35,924,001
 
 
90,722,337
 
Cost of shares redeemed
 
(287,966,584)
 
(312,390,348)
  Net increase (decrease) in net assets resulting from share transactions
 
(213,297,643)
 
 
(105,125,595)
 
Total increase (decrease) in net assets
 
(309,784,382)
 
 
(227,279,322)
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
1,474,881,798
 
1,702,161,120
 
End of period
$
1,165,097,416
$
1,474,881,798
 
 
 
 
 
Other Information
 
 
 
 
Shares
 
 
 
 
Sold
 
4,685,181
 
12,377,370
  Issued in reinvestment of distributions
 
4,345,353
 
 
9,668,837
 
Redeemed
 
(34,387,055)
 
(33,519,693)
Net increase (decrease)
 
(25,356,521)
 
(11,473,486)
 
 
 
 
 
 
 
Financial Highlights
Fidelity® Series High Income Fund
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019  
 
2018    
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
8.74
$
9.44
$
8.54
$
9.50
$
9.56
$
9.68
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
 
.267
 
.510
 
.513
 
.577
 
.607
 
.623
     Net realized and unrealized gain (loss)
 
(.652)
 
(.699)
 
.890
 
(.935)
 
(.051)
 
(.141)
  Total from investment operations
 
(.385)  
 
(.189)  
 
1.403  
 
(.358)  
 
.556
 
.482
  Distributions from net investment income
 
(.235)
 
(.511)
 
(.503)
 
(.598)
 
(.616)
 
(.602)
  Distributions from net realized gain
 
-
 
-
 
-
 
(.004)
 
-
 
-
     Total distributions
 
(.235)
 
(.511)
 
(.503)
 
(.602)
 
(.616)
 
(.602)
  Net asset value, end of period
$
8.12
$
8.74
$
9.44
$
8.54
$
9.50
$
9.56
 Total Return   C,D
 
(4.41)%
 
(2.24)%
 
16.72%
 
(4.11)%
 
6.12%
 
5.08%
 Ratios to Average Net Assets B,E,F
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.06% G
 
.02%
 
-% H
 
-% H
 
-% H
 
.06%
    Expenses net of fee waivers, if any
 
-% G,H
 
-% H
 
-% H
 
-% H
 
-% H
 
.05%
    Expenses net of all reductions
 
-% G,H
 
-% H
 
-% H
 
-% H
 
-% H
 
.05%
    Net investment income (loss)
 
6.35% G
 
5.42%
 
5.58%
 
6.20%
 
6.44%
 
6.44%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
1,165,097
$
1,474,882
$
1,702,161
$
1,491,532
$
1,510,741
$
2,883,805
    Portfolio turnover rate I
 
18% G
 
49%
 
68%
 
41% J
 
69%
 
49%
 
A Calculated based on average shares outstanding during the period.
 
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
C Total returns for periods of less than one year are not annualized.
 
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
E Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. For additional expense information related to investments in Fidelity Direct Lending Fund, LP, please refer to the Investment in Fidelity Direct Lending Fund, LP note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
G Annualized.
 
H Amount represents less than .005%.
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
J Portfolio turnover rate excludes securities received or delivered in-kind.
 
For the period ended October 31, 2022
 
1. Organization.
Fidelity Series High Income Fund (the Fund) is a fund of Fidelity Summer Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered only to certain other Fidelity funds, Fidelity managed 529 plans, and Fidelity managed collective investment trusts. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
 
 
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense Ratio A
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
 
A   Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Investment in Fidelity Direct Lending Fund, LP.
 
The Fund invests in Fidelity Direct Lending Fund, LP, which is a limited partnership available only to certain investment companies managed by the investment adviser and its affiliates. The Fund's limited partnership interest is not registered under the Securities Act of 1933, and is subject to substantial restrictions on transfer. The Fund has no redemption rights under the partnership agreement. There will be no trading market for the partnership interest, and the Fund most likely will hold its interest until Fidelity Direct Lending Fund, LP converts by operation of law to a Delaware corporation, trust, or other limited liability entity and (i) registers as a closed-end management investment company under the 1940 Act or (ii) elects to be treated as a business development company under the 1940 Act.
 
Based on its investment objective, Fidelity Direct Lending Fund, LP may invest or participate in various investments or strategies that are similar to those in which the Fund may invest or participate. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of Fidelity Direct Lending Fund, LP and thus a decline in the value of the Fund. The Fidelity Direct Lending Fund, LP intends to invest primarily in direct loans made to private U.S. companies, specifically small- and middle-market companies.
 
The Schedule of Investments lists Fidelity Direct Lending Fund, LP as an investment as of period end, but does not include the underlying holdings of Fidelity Direct Lending Fund, LP. Fidelity Direct Lending Fund, LP represented less than 5% of the Fund's net assets at period end. The Fund indirectly bears its proportionate share of the expenses of Fidelity Direct Lending Fund, LP, which commenced operations on December 8, 2021. The annualized expense ratio for Fidelity Direct Lending Fund, LP for the period ended April 30, 2022 was .07%.
4. Significant Accounting Policies.
 
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies . The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
 
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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 Fund categorizes the inputs to valuation techniques used to value its investments 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 the Fund's investments by major category are as follows:
 
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds and bank loan obligations 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. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
 
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 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. Securities, including private placements or other restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach, the income approach and cost approach, and are categorized as Level 3 in the hierarchy. The market approach considers factors including the price of recent investments in the same or a similar security or financial metrics of comparable securities. The income approach considers factors including expected future cash flows, security specific risks and corresponding discount rates. The cost approach considers factors including the value of the security's underlying assets and liabilities.
 
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
Fidelity Direct Lending Fund, LP is valued using NAV as a practical expedient in accordance with the specialized accounting guidance for investment companies.
 
The following provides information on Level 3 securities held by the Fund that were valued at period end based on unobservable inputs. These amounts exclude valuations provided by a broker   and valuations using NAV as a practical expedient.
 
Asset Type
Fair Value
Valuation Technique(s)
Unobservable Input
Amount or Range/Weighted Average
Impact to Valuation from an Increase in Input A
Equities
$38,751,052
Recovery value
Recovery value
$1.00
Increase
 
 
Market comparable
Enterprise value/EBITDA multiple (EV/EBITDA)
2.8 - 3.9 / 3.5
Increase
 
 
 
Daily production multiple ($/Barrels of oil equivilent per day)
$22,500.00
Increase
 
 
 
Enterprise Value/PV-10 multiple (EV/PV-10)
0.8
Increase
 
 
 
Enterprise Value/Proved Reserves multiple
5.8
Increase
 
 
Discounted cash flow
Discount rate
10.0%
Decrease
 
 
 
Reserve risk rate
50.0% - 95.0% / 72.5%
Increase
Corporate Bond
$18,993,585
Recovery value
Recovery value
$0.00
Increase
 
 
Market comparable
Enterprise value/EBITDA multiple (EV/EBITDA)
2.8
Increase
 
 
 
Daily production multiple ($/Barrels of oil equivilent per day)
$22,500.00
Increase
 
 
 
Enterprise Value/PV-10 multiple (EV/PV-10)
0.8
Increase
 
 
 
Enterprise Value/Proved Reserves multiple
5.8
Increase
 
 
Discounted cash flow
Discount rate
10%
Decrease
 
 
 
Reserve risk rate
50.0% - 95.0% / 72.5%
Increase
Bank Loan Obligations
$2,440,626
Recovery value
Recovery value
0.0%
Increase
 
 
Indicative market price
Evaluated bid
$95.00
Increase
 
A   Represents the directional change in the fair value of the Level 3 investments that could have resulted from an increase in the corresponding input as of period end. A decrease to the unobservable input would have had the opposite effect. Significant changes in these inputs may have resulted in a significantly higher or lower fair value measurement at period end.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of October 31, 2022, as well as a roll forward of Level 3 investments, is included at the end of the Fund's Schedule of Investments.
 
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
 
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
 
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
 
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
 
Book-tax differences are primarily due to market discount, prior period premium and discount on debt securities, capital loss carryforwards and losses deferred due to wash sales.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
 
Gross unrealized appreciation
$49,011,139
Gross unrealized depreciation
(206,403,722)
Net unrealized appreciation (depreciation)
$(157,392,583)
Tax cost
$1,305,832,622
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
 
  Short-term
$(30,226,419)
  Long-term
(285,057,339)
Total capital loss carryforward
$(315,283,758)
 
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
 
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.
 
Commitments. A commitment is an agreement to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. The amount of commitments outstanding at period end are presented in the table below. These commitments are not included in the net assets of the Fund at period end.
 
 
Investment to be Acquired
Commitment Amount
Fidelity Series High Income Fund
Fidelity Direct Lending Fund, LP
$9,795,842
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
 
Purchases ($)
Sales ($)
Fidelity Series High Income Fund
112,428,360
363,855,767
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
 
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
 
Amount
Fidelity Series High Income Fund
$37
 
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
 
Purchases ($)
Sales ($)
Realized Gain (Loss) ($)
Fidelity Series High Income Fund
-
1,277,713
26,436
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income 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. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
 
Total Security Lending Fees Paid to NFS
Security Lending Income From Securities Loaned to NFS
Value of Securities Loaned to NFS at Period End
Fidelity Series High Income Fund
$3
$-
$-
9. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .003% of average net assets. This reimbursement will remain in place through August 31, 2025. Some expenses, for example the compensation of the independent Trustees, and certain other expenses such as interest expense, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $333,454.
 
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $1,553.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
 
At the end of the period, mutual funds and accounts managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2022 to October 31, 2022).
 
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
 
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
 
 
 
Annualized Expense Ratio- A
 
Beginning Account Value May 1, 2022
 
Ending Account Value October 31, 2022
 
Expenses Paid During Period- C May 1, 2022 to October 31, 2022
 
 
 
 
 
 
 
 
 
 
Fidelity® Series High Income Fund
 
 
 
-%- D
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 955.90
 
$- E
 
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,025.21
 
$- E
 
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
D   Amount represents less than .005%.
 
E   Amount represents less than $.005.
 
 
 
 
 
Fidelity Series High Income Fund
 
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
 
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees (Committees), each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.
 
At its May 2022 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.
 
Nature, Extent, and Quality of Services Provided . The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.
 
Resources Dedicated to Investment Management and Support Services . The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to expansion of Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties, and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.  
 
Administrative Services . The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.  
 
Investment Performance . The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts, as the fund is not publicly offered as a stand-alone investment product. In this regard, the Board noted that the fund is designed to offer an investment option for other investment companies, 529 plans, and collective investment trusts managed by Fidelity and ultimately to enhance the performance of those investment companies, 529 plans, and collective investment trusts.
 
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.  
 
Competitiveness of Management Fee and Total Expense Ratio . The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR receives fees for providing services to funds that invest in the fund. The Board noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except transfer agent fees, 12b-1 fees, Independent Trustee fees and expenses, custodian fees and expenses, proxy and shareholder meeting expenses, interest, taxes, and extraordinary expenses (such as litigation expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.
 
The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.003% through August 31, 2024.
 
Based on its review, the Board considered that the fund does not pay a management fee and concluded that the total expense ratio of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.  
 
Costs of the Services and Profitability . The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.
 
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
 
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.
 
The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund with certain exceptions.
 
Economies of Scale . The Board concluded that because the fund pays no advisory fees and FMR bears all expenses of the fund with certain exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.
 
Additional Information Requested by the Board . In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) fund flow and performance trends, in particular the underperformance of certain funds and strategies, and Fidelity's long-term strategies for certain funds, including any consideration of fund liquidations or mergers; (ii) the operation of performance fees, competitor use of performance fees, and consideration of the expansion of performance fees to additional funds; (iii) Fidelity's pricing philosophy compared to competitors; (iv) fund profitability methodology and data; (v) evaluation of competitive fund data and peer group classifications and fee and expense comparisons; (vi) the management fee and expense structures for different funds and classes and information about the differences between various fee and expense structures; (vii) group fee breakpoints and related voluntary fee waivers; and (viii) information regarding other accounts managed by Fidelity and the funds' sub-advisory arrangements.
 
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable and that the fund's Advisory Contracts should be renewed.
 
1.924273.111
FSH-SANN-1222
Fidelity® Women's Leadership Fund
 
 
Semi-Annual Report
October 31, 2022
Includes Fidelity and Fidelity Advisor share classes

Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
 
Top Holdings (% of Fund's net assets)
 
Microsoft Corp.
2.8
 
Elevance Health, Inc.
2.7
 
Cigna Corp.
2.5
 
Apple, Inc.
2.4
 
CDW Corp.
2.1
 
Federal Signal Corp.
2.0
 
Progressive Corp.
1.9
 
AMETEK, Inc.
1.9
 
Bank of America Corp.
1.9
 
NASDAQ, Inc.
1.8
 
 
22.0
 
 
Market Sectors (% of Fund's net assets)
 
Information Technology
25.0
 
Health Care
14.6
 
Financials
12.9
 
Industrials
12.4
 
Consumer Discretionary
10.7
 
Communication Services
5.0
 
Consumer Staples
4.5
 
Energy
3.8
 
Materials
3.7
 
Utilities
3.3
 
Real Estate
1.7
 
 
Asset Allocation (% of Fund's net assets)
Foreign investments - 13.5%
Geographic Diversification (% of Fund's net assets)
 
*    Includes Short-Term investments and Net Other Assets (Liabilities).  
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
 
 
 
Showing Percentage of Net Assets
Common Stocks - 97.3%
 
 
Shares
Value ($)
 
COMMUNICATION SERVICES - 5.0%
 
 
 
Entertainment - 1.9%
 
 
 
Netflix, Inc. (a)
 
3,879
1,132,203
The Walt Disney Co. (a)
 
10,081
1,074,030
 
 
 
2,206,233
Interactive Media & Services - 1.4%
 
 
 
Alphabet, Inc. Class A (a)
 
6,480
612,425
Bumble, Inc. (a)
 
43,173
1,096,594
 
 
 
1,709,019
Media - 1.7%
 
 
 
Cable One, Inc.
 
498
427,996
Future PLC
 
1,944
27,154
Interpublic Group of Companies, Inc.
 
54,106
1,611,818
 
 
 
2,066,968
TOTAL COMMUNICATION SERVICES
 
 
5,982,220
CONSUMER DISCRETIONARY - 10.7%
 
 
 
Automobiles - 0.8%
 
 
 
General Motors Co.
 
23,874
937,055
Diversified Consumer Services - 1.4%
 
 
 
Adtalem Global Education, Inc. (a)
 
24,341
1,015,020
Bright Horizons Family Solutions, Inc. (a)
 
9,934
648,889
 
 
 
1,663,909
Hotels, Restaurants & Leisure - 1.5%
 
 
 
Marriott International, Inc. Class A
 
6,905
1,105,560
Vail Resorts, Inc.
 
3,069
672,510
 
 
 
1,778,070
Household Durables - 0.5%
 
 
 
Taylor Morrison Home Corp. (a)
 
24,928
656,604
Internet & Direct Marketing Retail - 1.7%
 
 
 
Amazon.com, Inc. (a)
 
12,540
1,284,598
Etsy, Inc. (a)
 
7,701
723,201
FSN E-Commerce Ventures Private Ltd.
 
459
6,392
 
 
 
2,014,191
Multiline Retail - 0.5%
 
 
 
Kohl's Corp.
 
22,242
666,148
Specialty Retail - 2.8%
 
 
 
Best Buy Co., Inc.
 
8,551
584,974
Gap, Inc.
 
51,992
585,950
Lowe's Companies, Inc.
 
6,289
1,226,041
Williams-Sonoma, Inc.
 
7,735
957,825
 
 
 
3,354,790
Textiles, Apparel & Luxury Goods - 1.5%
 
 
 
LVMH Moet Hennessy Louis Vuitton SE
 
1,111
701,035
PVH Corp.
 
6,855
351,799
Tapestry, Inc.
 
23,702
750,879
 
 
 
1,803,713
TOTAL CONSUMER DISCRETIONARY
 
 
12,874,480
CONSUMER STAPLES - 4.5%
 
 
 
Beverages - 1.0%
 
 
 
The Coca-Cola Co.
 
20,060
1,200,591
Food & Staples Retailing - 0.5%
 
 
 
Albertsons Companies, Inc.
 
28,880
592,329
Food Products - 1.3%
 
 
 
The Hershey Co.
 
6,892
1,645,603
Household Products - 0.7%
 
 
 
The Clorox Co.
 
6,091
889,530
Personal Products - 1.0%
 
 
 
Estee Lauder Companies, Inc. Class A
 
3,711
744,018
Shiseido Co. Ltd.
 
12,097
419,382
 
 
 
1,163,400
TOTAL CONSUMER STAPLES
 
 
5,491,453
ENERGY - 3.8%
 
 
 
Energy Equipment & Services - 0.3%
 
 
 
Tenaris SA
 
26,152
409,309
Oil, Gas & Consumable Fuels - 3.5%
 
 
 
EQT Corp.
 
13,915
582,204
Equinor ASA
 
22,955
836,336
Occidental Petroleum Corp.
 
13,484
978,938
Phillips 66 Co.
 
16,916
1,764,170
 
 
 
4,161,648
TOTAL ENERGY
 
 
4,570,957
FINANCIALS - 12.9%
 
 
 
Banks - 4.0%
 
 
 
Bank of America Corp.
 
63,273
2,280,359
Citigroup, Inc.
 
15,881
728,303
First Horizon National Corp.
 
29,136
714,123
First United Corp.
 
19,718
374,050
JPMorgan Chase & Co.
 
4,922
619,581
Starling Bank Ltd. Series D (a)(b)(c)
 
34,700
112,219
 
 
 
4,828,635
Capital Markets - 4.5%
 
 
 
Franklin Resources, Inc.
 
24,500
574,525
Macquarie Group Ltd.
 
8,765
950,307
Morningstar, Inc.
 
5,165
1,199,210
MSCI, Inc.
 
1,076
504,493
NASDAQ, Inc.
 
34,767
2,163,898
 
 
 
5,392,433
Insurance - 4.4%
 
 
 
Hartford Financial Services Group, Inc.
 
28,946
2,095,980
Marsh & McLennan Companies, Inc.
 
5,587
902,245
Progressive Corp.
 
18,291
2,348,564
 
 
 
5,346,789
TOTAL FINANCIALS
 
 
15,567,857
HEALTH CARE - 14.3%
 
 
 
Biotechnology - 2.3%
 
 
 
Alnylam Pharmaceuticals, Inc. (a)
 
2,881
597,116
Vertex Pharmaceuticals, Inc. (a)
 
6,484
2,023,008
Zai Lab Ltd. ADR (a)
 
6,969
155,269
 
 
 
2,775,393
Health Care Equipment & Supplies - 2.2%
 
 
 
Figs, Inc. Class A (a)
 
32,958
243,230
Hologic, Inc. (a)
 
29,213
1,980,641
Insulet Corp. (a)
 
1,131
292,714
Outset Medical, Inc. (a)
 
5,606
87,117
 
 
 
2,603,702
Health Care Providers & Services - 5.5%
 
 
 
Cigna Corp.
 
9,484
3,063,901
Elevance Health, Inc.
 
5,980
3,269,685
Guardant Health, Inc. (a)
 
7,473
369,914
 
 
 
6,703,500
Life Sciences Tools & Services - 0.5%
 
 
 
ICON PLC (a)
 
3,103
613,898
Pharmaceuticals - 3.8%
 
 
 
Eli Lilly & Co.
 
1,651
597,811
GSK PLC
 
42,776
700,718
Merck KGaA
 
6,613
1,077,688
UCB SA
 
11,794
889,542
Zoetis, Inc. Class A
 
8,763
1,321,285
 
 
 
4,587,044
TOTAL HEALTH CARE
 
 
17,283,537
INDUSTRIALS - 12.4%
 
 
 
Air Freight & Logistics - 1.1%
 
 
 
United Parcel Service, Inc. Class B
 
8,134
1,364,641
Airlines - 0.3%
 
 
 
JetBlue Airways Corp. (a)
 
39,221
315,337
Commercial Services & Supplies - 0.4%
 
 
 
Stericycle, Inc. (a)
 
3,071
136,905
Tomra Systems ASA
 
22,120
357,498
 
 
 
494,403
Electrical Equipment - 3.5%
 
 
 
AMETEK, Inc.
 
17,708
2,296,019
nVent Electric PLC
 
42,248
1,542,052
Sunrun, Inc. (a)
 
15,194
342,017
 
 
 
4,180,088
Machinery - 3.8%
 
 
 
Deere & Co.
 
3,226
1,276,915
Federal Signal Corp.
 
51,293
2,392,818
Otis Worldwide Corp.
 
13,906
982,320
 
 
 
4,652,053
Professional Services - 3.3%
 
 
 
Leidos Holdings, Inc.
 
13,259
1,346,982
Manpower, Inc.
 
14,376
1,126,216
Science Applications International Corp.
 
14,201
1,538,536
 
 
 
4,011,734
TOTAL INDUSTRIALS
 
 
15,018,256
INFORMATION TECHNOLOGY - 25.0%
 
 
 
Communications Equipment - 0.7%
 
 
 
Arista Networks, Inc. (a)
 
7,490
905,241
Electronic Equipment & Components - 2.9%
 
 
 
CDW Corp.
 
14,741
2,547,392
Insight Enterprises, Inc. (a)
 
10,520
994,245
 
 
 
3,541,637
IT Services - 8.3%
 
 
 
Accenture PLC Class A
 
7,475
2,122,153
Capgemini SA
 
10,176
1,667,753
Cloudflare, Inc. (a)
 
6,216
350,085
Genpact Ltd.
 
19,988
969,418
MasterCard, Inc. Class A
 
5,492
1,802,365
PayPal Holdings, Inc. (a)
 
10,095
843,740
Twilio, Inc. Class A (a)
 
4,935
367,016
WEX, Inc. (a)
 
11,279
1,851,335
 
 
 
9,973,865
Semiconductors & Semiconductor Equipment - 2.9%
 
 
 
Advanced Micro Devices, Inc. (a)
 
13,197
792,612
Marvell Technology, Inc.
 
13,528
536,791
NVIDIA Corp.
 
9,868
1,331,884
NXP Semiconductors NV
 
6,114
893,133
 
 
 
3,554,420
Software - 7.8%
 
 
 
Adobe, Inc. (a)
 
4,247
1,352,670
Copperleaf Technologies, Inc.
 
10,431
30,014
HubSpot, Inc. (a)
 
2,171
643,832
Intuit, Inc.
 
3,812
1,629,630
Microsoft Corp.
 
14,743
3,422,287
Pagerduty, Inc. (a)
 
21,889
545,912
Salesforce.com, Inc. (a)
 
10,716
1,742,314
 
 
 
9,366,659
Technology Hardware, Storage & Peripherals - 2.4%
 
 
 
Apple, Inc.
 
18,984
2,911,007
TOTAL INFORMATION TECHNOLOGY
 
 
30,252,829
MATERIALS - 3.7%
 
 
 
Chemicals - 1.6%
 
 
 
Cabot Corp.
 
10,509
772,201
Eastman Chemical Co.
 
6,488
498,343
Valvoline, Inc.
 
21,563
633,090
 
 
 
1,903,634
Construction Materials - 0.5%
 
 
 
Summit Materials, Inc. (a)
 
21,792
574,219
Metals & Mining - 1.6%
 
 
 
Commercial Metals Co.
 
31,282
1,423,331
Schnitzer Steel Industries, Inc. Class A
 
19,938
538,127
 
 
 
1,961,458
TOTAL MATERIALS
 
 
4,439,311
REAL ESTATE - 1.7%
 
 
 
Equity Real Estate Investment Trusts (REITs) - 1.7%
 
 
 
Equity Lifestyle Properties, Inc.
 
20,737
1,326,339
Ventas, Inc.
 
19,289
754,779
 
 
 
2,081,118
UTILITIES - 3.3%
 
 
 
Electric Utilities - 2.3%
 
 
 
NextEra Energy, Inc.
 
12,863
996,883
ORSTED A/S (d)
 
12,530
1,033,797
SSE PLC
 
38,998
696,929
 
 
 
2,727,609
Water Utilities - 1.0%
 
 
 
American Water Works Co., Inc.
 
8,599
1,249,779
TOTAL UTILITIES
 
 
3,977,388
 
TOTAL COMMON STOCKS
  (Cost $116,685,190)
 
 
 
117,539,406
 
 
 
 
Convertible Preferred Stocks - 0.3%
 
 
Shares
Value ($)
 
HEALTH CARE - 0.3%
 
 
 
Health Care Providers & Services - 0.3%
 
 
 
Somatus, Inc. Series E (b)(c)
 
  (Cost $350,799)
 
 
402
371,846
 
 
 
 
Money Market Funds - 1.9%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 3.10% (e)
 
  (Cost $2,266,409)
 
 
2,265,956
2,266,409
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 99.5%
  (Cost $119,302,398)
 
 
 
120,177,661
NET OTHER ASSETS (LIABILITIES) - 0.5%  
655,951
NET ASSETS - 100.0%
120,833,612
 
 
 
 
Legend
 
(a)
Non-income producing
 
(b)
Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues).  At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $484,065 or 0.4% of net assets.
 
(c)
Level 3 security
 
(d)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,033,797 or 0.9% of net assets.
 
(e)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
 
 
Additional information on each restricted holding is as follows:
Security
Acquisition Date
Acquisition Cost ($)
 
Somatus, Inc. Series E
1/31/22
350,799
 
 
 
Starling Bank Ltd. Series D
6/18/21 - 4/05/22
68,001
 
 
 
 
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
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 3.10%
1,590,708
12,519,820
11,844,119
15,063
-
-
2,266,409
0.0%
Fidelity Securities Lending Cash Central Fund 3.10%
1,804,725
10,087,815
11,892,540
2,368
-
-
-
0.0%
Total
3,395,433
22,607,635
23,736,659
17,431
-
-
2,266,409
 
 
 
 
 
 
 
 
 
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
Investment Valuation
 
The following is a summary of the inputs used, as of October 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
  Investments in Securities:
 
 
 
 
 Equities:
 
 
 
 
Communication Services
5,982,220
5,982,220
-
-
Consumer Discretionary
12,874,480
12,173,445
701,035
-
Consumer Staples
5,491,453
5,491,453
-
-
Energy
4,570,957
3,325,312
1,245,645
-
Financials
15,567,857
15,455,638
-
112,219
Health Care
17,655,383
15,505,131
1,778,406
371,846
Industrials
15,018,256
15,018,256
-
-
Information Technology
30,252,829
28,585,076
1,667,753
-
Materials
4,439,311
4,439,311
-
-
Real Estate
2,081,118
2,081,118
-
-
Utilities
3,977,388
2,246,662
1,730,726
-
  Money Market Funds
2,266,409
2,266,409
-
-
 Total Investments in Securities:
120,177,661
112,570,031
7,123,565
484,065
Financial Statements   (Unaudited)
Statement of Assets and Liabilities
 
 
 
October 31, 2022
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $117,035,989)
 
$117,911,252
 
 
Fidelity Central Funds (cost $2,266,409)
 
2,266,409
 
 
 
 
 
 
 
Total Investment in Securities (cost $119,302,398)
 
 
$
120,177,661
Foreign currency held at value (cost $265)
 
 
 
247
Receivable for investments sold
 
 
 
436,343
Receivable for fund shares sold
 
 
 
53,218
Dividends receivable
 
 
 
309,249
Distributions receivable from Fidelity Central Funds
 
 
 
4,834
Prepaid expenses
 
 
 
190
  Total assets
 
 
 
120,981,742
Liabilities
 
 
 
 
Payable for investments purchased
 
$26,262
 
 
Payable for fund shares redeemed
 
17,235
 
 
Accrued management fee
 
46,243
 
 
Transfer agent fee payable
 
23,337
 
 
Distribution and service plan fees payable
 
2,718
 
 
Other affiliated payables
 
3,398
 
 
Audit fee payable
 
28,137
 
 
Other payables and accrued expenses
 
800
 
 
  Total Liabilities
 
 
 
148,130
Net Assets  
 
 
$
120,833,612
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
124,171,564
Total accumulated earnings (loss)
 
 
 
(3,337,952)
Net Assets
 
 
$
120,833,612
 
 
 
 
 
Net Asset Value and Maximum Offering Price
 
 
 
 
Class A :
 
 
 
 
Net Asset Value and redemption price per share ($5,453,771 ÷ 433,308 shares) (a)
 
 
$
12.59
Maximum offering price per share (100/94.25 of $12.59)
 
 
$
13.36
Class M :
 
 
 
 
Net Asset Value and redemption price per share ($1,082,970 ÷ 86,421 shares) (a)
 
 
$
12.53
Maximum offering price per share (100/96.50 of $12.53)
 
 
$
12.98
Class C :
 
 
 
 
Net Asset Value and offering price per share ($1,530,368 ÷ 123,733 shares) (a)
 
 
$
12.37
Fidelity Women's Leadership Fund :
 
 
 
 
Net Asset Value , offering price and redemption price per share ($94,361,573 ÷ 7,467,393 shares)
 
 
$
12.64
Class I :
 
 
 
 
Net Asset Value , offering price and redemption price per share ($10,990,492 ÷ 869,827 shares)
 
 
$
12.64
Class Z :
 
 
 
 
Net Asset Value , offering price and redemption price per share ($7,414,438 ÷ 584,539 shares)
 
 
$
12.68
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
 
 
 
Six months ended
October 31, 2022
(Unaudited)
Investment Income
 
 
 
 
Dividends
 
 
$
1,045,771
Interest  
 
 
233
Income from Fidelity Central Funds (including $2,368 from security lending)
 
 
 
17,431
 Total Income
 
 
 
1,063,435
Expenses
 
 
 
 
Management fee
 
 
 
 
 Basic fee
$
321,869
 
 
 Performance adjustment
 
(37,106)
 
 
Transfer agent fees
 
145,247
 
 
Distribution and service plan fees
 
16,710
 
 
Accounting fees
 
21,974
 
 
Custodian fees and expenses
 
1,545
 
 
Independent trustees' fees and expenses
 
213
 
 
Registration fees
 
29,382
 
 
Audit
 
25,911
 
 
Legal
 
988
 
 
Miscellaneous
 
336
 
 
 Total expenses before reductions
 
527,069
 
 
 Expense reductions
 
(2,233)
 
 
 Total expenses after reductions
 
 
 
524,836
Net Investment income (loss)
 
 
 
538,599
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
(3,671,458)
 
 
 Foreign currency transactions
 
(5,288)
 
 
Total net realized gain (loss)
 
 
 
(3,676,746)
Change in net unrealized appreciation (depreciation) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers (net of decrease in deferred foreign taxes of $584)  
 
(2,579,212)
 
 
 Assets and liabilities in foreign currencies
 
166
 
 
Total change in net unrealized appreciation (depreciation)
 
 
 
(2,579,046)
Net gain (loss)
 
 
 
(6,255,792)
Net increase (decrease) in net assets resulting from operations
 
 
$
(5,717,193)
Statement of Changes in Net Assets
 
 
Six months ended
October 31, 2022
(Unaudited)
 
Year ended
April 30, 2022
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
538,599
$
257,436
Net realized gain (loss)
 
(3,676,746)
 
 
1,450,283
 
Change in net unrealized appreciation (depreciation)
 
(2,579,046)
 
(19,539,713)
 
Net increase (decrease) in net assets resulting from operations
 
(5,717,193)
 
 
(17,831,994)
 
Distributions to shareholders
 
-
 
 
(3,850,676)
 
Share transactions - net increase (decrease)
 
(2,237,304)
 
 
33,890,981
 
Total increase (decrease) in net assets
 
(7,954,497)
 
 
12,208,311
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
128,788,109
 
116,579,798
 
End of period
$
120,833,612
$
128,788,109
 
 
 
 
 
 
 
 
 
 
 
 
Financial Highlights
Fidelity Advisor® Womens Leadership Fund Class A
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020   A
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
13.18
$
15.28
$
9.80
$
10.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.04
 
- D
 
- D
 
.04
     Net realized and unrealized gain (loss)
 
(.63)
 
(1.70)
 
5.49
 
(.22)
  Total from investment operations
 
(.59)  
 
(1.70)  
 
5.49  
 
(.18)  
  Distributions from net investment income
 
-
 
- D
 
(.01)
 
(.02)
  Distributions from net realized gain
 
-
 
(.40)
 
-
 
-
     Total distributions
 
-
 
(.40)
 
(.01)
 
(.02)
  Net asset value, end of period
$
12.59
$
13.18
$
15.28
$
9.80
 Total Return   E,F,G
 
(4.48)%
 
(11.46)%
 
56.03%
 
(1.84)%
 Ratios to Average Net Assets C,H,I
 
 
 
 
 
 
 
 
    Expenses before reductions
 
1.06% J
 
1.10%
 
1.28%
 
2.50%
    Expenses net of fee waivers, if any
 
1.05% J
 
1.10%
 
1.25%
 
1.25%
    Expenses net of all reductions
 
1.05% J
 
1.10%
 
1.24%
 
1.25%
    Net investment income (loss)
 
.69% J
 
(.01)%
 
(.03)%
 
.37%
 Supplemental Data
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
5,454
$
5,171
$
2,865
$
769
    Portfolio turnover rate K
 
12% J
 
48%
 
35%
 
52%
 
A For the period May 1, 2019 (commencement of operations) through April 30, 2020
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Amount represents less than $.005 per share.
 
E Total returns for periods of less than one year are not annualized.
 
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
G Total returns do not include the effect of the sales charges.
 
H Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
J Annualized
 
K Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity Advisor® Womens Leadership Fund Class M
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020   A
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
13.14
$
15.22
$
9.78
$
10.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.03
 
(.04)
 
(.04)
 
.01
     Net realized and unrealized gain (loss)
 
(.64)
 
(1.69)
 
5.48
 
(.22)
  Total from investment operations
 
(.61)  
 
(1.73)  
 
5.44  
 
(.21)  
  Distributions from net investment income
 
-
 
-
 
- D
 
(.01)
  Distributions from net realized gain
 
-
 
(.35)
 
-
 
-
     Total distributions
 
-
 
(.35)
 
- D
 
(.01)
  Net asset value, end of period
$
12.53
$
13.14
$
15.22
$
9.78
 Total Return   E,F,G
 
(4.64)%
 
(11.66)%
 
55.65%
 
(2.12)%
 Ratios to Average Net Assets C,H,I
 
 
 
 
 
 
 
 
    Expenses before reductions
 
1.33% J
 
1.35%
 
1.52%
 
2.86%
    Expenses net of fee waivers, if any
 
1.33% J
 
1.35%
 
1.50%
 
1.50%
    Expenses net of all reductions
 
1.33% J
 
1.35%
 
1.49%
 
1.50%
    Net investment income (loss)
 
.41% J
 
(.27)%
 
(.28)%
 
.12%
 Supplemental Data
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
1,083
$
1,054
$
974
$
443
    Portfolio turnover rate K
 
12% J
 
48%
 
35%
 
52%
 
A For the period May 1, 2019 (commencement of operations) through April 30, 2020
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Amount represents less than $.005 per share.
 
E Total returns for periods of less than one year are not annualized.
 
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
G Total returns do not include the effect of the sales charges.
 
H Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
J Annualized
 
K Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity Advisor® Womens Leadership Fund Class C
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020   A
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
13.00
$
15.09
$
9.74
$
10.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
- D
 
(.11)
 
(.10)
 
(.04)
     Net realized and unrealized gain (loss)
 
(.63)
 
(1.68)
 
5.45
 
(.22)
  Total from investment operations
 
(.63)  
 
(1.79)  
 
5.35  
 
(.26)  
  Distributions from net realized gain
 
-
 
(.30)
 
-
 
-
     Total distributions
 
-
 
(.30)
 
-
 
-
  Net asset value, end of period
$
12.37
$
13.00
$
15.09
$
9.74
 Total Return   E,F,G
 
(4.85)%
 
(12.12)%
 
54.93%
 
(2.60)%
 Ratios to Average Net Assets C,H,I
 
 
 
 
 
 
 
 
    Expenses before reductions
 
1.82% J
 
1.84%
 
1.99%
 
3.36%
    Expenses net of fee waivers, if any
 
1.81% J
 
1.84%
 
1.99%
 
2.00%
    Expenses net of all reductions
 
1.81% J
 
1.84%
 
1.98%
 
2.00%
    Net investment income (loss)
 
(.08)% J
 
(.75)%
 
(.77)%
 
(.38)%
 Supplemental Data
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
1,530
$
1,540
$
937
$
468
    Portfolio turnover rate K
 
12% J
 
48%
 
35%
 
52%
 
A For the period May 1, 2019 (commencement of operations) through April 30, 2020
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Amount represents less than $.005 per share.
 
E Total returns for periods of less than one year are not annualized.
 
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
G Total returns do not include the effect of the contingent deferred sales charge.
 
H Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
J Annualized
 
K Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity® Womens Leadership Fund
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020   A
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
13.22
$
15.31
$
9.81
$
10.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.06
 
.03
 
.03
 
.06
     Net realized and unrealized gain (loss)
 
(.64)
 
(1.70)
 
5.50
 
(.22)
  Total from investment operations
 
(.58)  
 
(1.67)  
 
5.53  
 
(.16)  
  Distributions from net investment income
 
-
 
(.02)
 
(.03)
 
(.03)
  Distributions from net realized gain
 
-
 
(.40)
 
-
 
-
     Total distributions
 
-
 
(.42)
 
(.03)
 
(.03)
  Net asset value, end of period
$
12.64
$
13.22
$
15.31
$
9.81
 Total Return   D,E
 
(4.39)%
 
(11.25)%
 
56.44%
 
(1.63)%
 Ratios to Average Net Assets C,F,G
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.86% H
 
.92%
 
1.10%
 
2.19%
    Expenses net of fee waivers, if any
 
.86% H
 
.90%
 
1.00%
 
1.00%
    Expenses net of all reductions
 
.86% H
 
.90%
 
.99%
 
1.00%
    Net investment income (loss)
 
.88% H
 
.18%
 
.22%
 
.62%
 Supplemental Data
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
94,362
$
101,533
$
98,888
$
22,272
    Portfolio turnover rate I
 
12% H
 
48%
 
35%
 
52%
 
A For the period May 1, 2019 (commencement of operations) through April 30, 2020
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity Advisor® Womens Leadership Fund Class I
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020   A
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
13.21
$
15.31
$
9.81
$
10.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.06
 
.04
 
.03
 
.06
     Net realized and unrealized gain (loss)
 
(.63)
 
(1.70)
 
5.51
 
(.22)
  Total from investment operations
 
(.57)  
 
(1.66)  
 
5.54  
 
(.16)  
  Distributions from net investment income
 
-
 
(.04)
 
(.04)
 
(.03)
  Distributions from net realized gain
 
-
 
(.40)
 
-
 
-
     Total distributions
 
-
 
(.44)
 
(.04)
 
(.03)
  Net asset value, end of period
$
12.64
$
13.21
$
15.31
$
9.81
 Total Return   D,E
 
(4.31)%
 
(11.20)%
 
56.52%
 
(1.63)%
 Ratios to Average Net Assets C,F,G
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.76% H
 
.81%
 
.98%
 
2.22%
    Expenses net of fee waivers, if any
 
.75% H
 
.81%
 
.98%
 
1.00%
    Expenses net of all reductions
 
.75% H
 
.81%
 
.97%
 
1.00%
    Net investment income (loss)
 
.99% H
 
.28%
 
.24%
 
.62%
 Supplemental Data
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
10,990
$
11,273
$
3,874
$
702
    Portfolio turnover rate I
 
12% H
 
48%
 
35%
 
52%
 
A For the period May 1, 2019 (commencement of operations) through April 30, 2020
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity Advisor® Womens Leadership Fund Class Z
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020   A
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
13.25
$
15.35
$
9.83
$
10.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.07
 
.06
 
.05
 
.08
     Net realized and unrealized gain (loss)
 
(.64)
 
(1.71)
 
5.51
 
(.22)
  Total from investment operations
 
(.57)  
 
(1.65)  
 
5.56  
 
(.14)  
  Distributions from net investment income
 
-
 
(.05)
 
(.04)
 
(.03)
  Distributions from net realized gain
 
-
 
(.40)
 
-
 
-
     Total distributions
 
-
 
(.45)
 
(.04)
 
(.03)
  Net asset value, end of period
$
12.68
$
13.25
$
15.35
$
9.83
 Total Return   D,E
 
(4.30)%
 
(11.13)%
 
56.63%
 
(1.43)%
 Ratios to Average Net Assets C,F,G
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.64% H
 
.69%
 
.87%
 
1.88%
    Expenses net of fee waivers, if any
 
.64% H
 
.69%
 
.85%
 
.85%
    Expenses net of all reductions
 
.64% H
 
.69%
 
.84%
 
.85%
    Net investment income (loss)
 
1.10% H
 
.40%
 
.37%
 
.76%
 Supplemental Data
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
7,414
$
8,216
$
9,043
$
2,376
    Portfolio turnover rate I
 
12% H
 
48%
 
35%
 
52%
 
A For the period May 1, 2019 (commencement of operations) through April 30, 2020
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
For the period ended October 31, 2022
 
1. Organization.
Fidelity Women's Leadership Fund (the Fund) is a fund of Fidelity Summer Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Fidelity Women's Leadership Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions. Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the Fund's exposure to certain issuers, sectors, regions, and countries and may affect the Fund's performance depending on whether certain investments are in or out of favor. The criteria related to the Fund's ESG ratings process and/or adherence to its sustainable investing exclusion criteria may result in the Fund forgoing opportunities to buy certain securities when it might otherwise be advantageous to do so, or selling securities for ESG reasons when it might be otherwise disadvantageous for it to do so. As a result, the Fund's performance may at times be better or worse than the performance of funds that do not use ESG or sustainability criteria. There are significant differences in interpretations of what it means for an issuer to have positive ESG factors. While the investment adviser believes its definitions are reasonable, the portfolio decisions it makes may differ with other investors' or advisers' views.
 
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
 
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense Ratio A
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
A   Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
 
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies . The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
 
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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 Fund categorizes the inputs to valuation techniques used to value its investments 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 the Fund's 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 foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, 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.
 
Investments in open-end mutual funds, including the Fidelity Central 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. The aggregate value of investments by input level as of October 31, 2022 is included at the end of the Fund's Schedule of Investments.
 
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
 
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
 
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
 
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
 
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.   Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets & Liabilities.
 
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
 
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
 
Book-tax differences are primarily due to foreign currency transactions and losses deferred due to wash sales and excise tax regulations.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
 
Gross unrealized appreciation
$17,943,187
Gross unrealized depreciation
(17,516,172)
Net unrealized appreciation (depreciation)
$427,015
Tax cost
$119,750,646
 
The Fund elected to defer to its next fiscal year approximately $498,552 of capital losses recognized during the period November 1, 2021 to April 30, 2022.
 
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
 
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
 
 
Purchases ($)
Sales ($)
Fidelity Women's Leadership Fund
7,163,422
10,229,257
 
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .30% of the Fund's average net assets and an annualized group fee rate that averaged .23% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. In addition, the management fee is subject to a performance adjustment (up to a maximum of +/- .10% of the Fund's average net assets over a 36 month performance period). The upward or downward adjustment to the management fee is based on the relative investment performance of Fidelity Women's Leadership Fund as compared to its benchmark index, the Russell 3000 Index, over the same 36 month performance period. For the reporting period, the total annualized management fee rate, including the performance adjustment, was .47% of the Fund's average net assets. The performance adjustment included in the management fee rate may be higher or lower than the maximum performance adjustment rate due to the difference between the average net assets for the reporting and performance periods.
 
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
 
 
Distribution Fee
Service Fee
Total Fees
Retained by FDC
Class A
- %
.25%
$6,602
$308
Class M
.25%
.25%
2,656
-
Class C
.75%
.25%
7,452
2,681
 
 
 
$16,710
$2,989
 
Sales Load. FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions.   The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.
 
For the period, sales charge amounts retained by FDC were as follows:
 
 
Retained by FDC
Class A
$4,509
Class M
163
 
$4,672
 
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class Z. FIIOC receives an asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
 
For the period, transfer agent fees for each class were as follows:
 
 
Amount
% of Class-Level Average Net Assets A
Class A
$5,551
.21
Class M
1,270
.24
Class C
1,667
.22
Fidelity Women's Leadership Fund
126,976
.26
Class I
8,181
.16
Class Z
1,602
.04
 
$145,247
 
A   Annualized
 
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annualized rates:
 
 
% of Average Net Assets
Fidelity Women's Leadership Fund
.04
 
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
 
 
Amount
Fidelity Women's Leadership Fund
$170
 
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
 
 
Purchases ($)
Sales ($)
Realized Gain (Loss) ($)
Fidelity Women's Leadership Fund
177,969
309,270
(79,354)
 
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
 
 
Amount
Fidelity Women's Leadership Fund
$112
 
7. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income 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. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
 
 
Total Security Lending Fees Paid to NFS
Security Lending Income From Securities Loaned to NFS
Value of Securities Loaned to NFS at Period End
Fidelity Women's Leadership Fund
$228
$5
$-
 
8. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $13.
 
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of fund-level operating expenses in the amount of $2,220.
 
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
 
 
Six months ended October 31, 2022
Year ended   April 30, 2022
Fidelity Women's Leadership Fund
 
 
Distributions to shareholders
 
 
Class A
$-
$111,894
Class M
-
24,841
Class C
-
28,323
Fidelity Women's Leadership Fund
-
3,101,859
Class I
-
293,915
Class Z
-
289,844
Total   
$-
$3,850,676
 
10. Share Transactions.
Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
 
 
Shares
Shares
Dollars
Dollars
 
Six months ended October 31, 2022
Year ended April 30, 2022
Six months ended October 31, 2022
Year ended April 30, 2022
Fidelity Women's Leadership Fund
 
 
 
 
Class A
 
 
 
 
Shares sold
90,422
214,342
$1,128,811
$3,271,433
Reinvestment of distributions
-
7,212
-
109,985
Shares redeemed
(49,603)
(16,599)
(615,172)
(254,825)
Net increase (decrease)
40,819
204,955
$513,639
$3,126,593
Class M
 
 
 
 
Shares sold
9,408
17,367
$117,701
$265,289
Reinvestment of distributions
-
1,635
-
24,841
Shares redeemed
(3,240)
(2,733)
(39,359)
(41,893)
Net increase (decrease)
6,168
16,269
$78,342
$248,237
Class C
 
 
 
 
Shares sold
13,156
72,426
$163,683
$1,099,839
Reinvestment of distributions
-
1,841
-
27,774
Shares redeemed
(7,904)
(17,878)
(98,953)
(249,596)
Net increase (decrease)
5,252
56,389
$64,730
$878,017
Fidelity Women's Leadership Fund
 
 
 
 
Shares sold
485,822
2,939,308
$6,145,606
$45,268,708
Reinvestment of distributions
-
191,234
-
2,919,250
Shares redeemed
(701,246)
(1,906,544)
(8,712,256)
(28,945,460)
Net increase (decrease)
(215,424)
1,223,998
$(2,566,650)
$19,242,498
Class I
 
 
 
 
Shares sold
202,846
850,923
$2,507,059
$13,354,621
Reinvestment of distributions
-
19,138
-
292,838
Shares redeemed
(186,561)
(269,624)
(2,349,791)
(3,716,366)
Net increase (decrease)
16,285
600,437
$157,268
$9,931,093
Class Z
 
 
 
 
Shares sold
107,766
298,679
$1,381,089
$4,535,147
Reinvestment of distributions
-
16,552
-
253,122
Shares redeemed
(143,272)
(284,436)
(1,865,722)
(4,323,726)
Net increase (decrease)
(35,506)
30,795
$(484,633)
$464,543
 
11. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
 
12. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2022 to October 31, 2022).
 
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
 
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
 
 
 
Annualized Expense Ratio- A
 
Beginning Account Value May 1, 2022
 
Ending Account Value October 31, 2022
 
Expenses Paid During Period- C May 1, 2022 to October 31, 2022
Fidelity® Women's Leadership Fund
 
 
 
 
 
 
 
 
 
 
Class A
 
 
 
1.05%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 955.20
 
$ 5.17
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,019.91
 
$ 5.35
Class M
 
 
 
1.33%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 953.60
 
$ 6.55
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,018.50
 
$ 6.77
Class C
 
 
 
1.81%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 951.50
 
$ 8.90
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,016.08
 
$ 9.20
Fidelity® Womens Leadership Fund
 
 
 
.86%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 956.10
 
$ 4.24
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,020.87
 
$ 4.38
Class I
 
 
 
.75%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 956.90
 
$ 3.70
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,021.42
 
$ 3.82
Class Z
 
 
 
.64%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 957.00
 
$ 3.16
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,021.98
 
$ 3.26
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
 
 
 
 
 
Fidelity Women's Leadership Fund
 
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
 
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees (Committees), each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.
 
At its May 2022 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and the total expense ratio of a representative class (retail class); (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
 
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.
 
Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.
 
Resources Dedicated to Investment Management and Support Services . The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to expansion of Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties, and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.  
 
Shareholder and Administrative Services . The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.
 
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.
 
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain target date funds and classes and index funds; (vii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (viii) rationalizing product lines and gaining increased efficiencies from fund mergers and liquidations; (ix) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (x) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.
 
Investment Performance . The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.  
 
The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance, the Board gave particular attention to information indicating changes in performance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance.  
 
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on net performance (after fees and expenses) the representative class, compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; issuer-specific information; and fund cash flows and other factors.
 
The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net total return information for the fund and an appropriate benchmark index for the most recent one-year period ended September 30, 2021, as shown below. A peer group is not shown below because the fund does not generally utilize a peer group for performance comparison purposes.
 
Fidelity Women's Leadership Fund
 
 
The Board also considered that the fund's management fee is subject to upward or downward adjustment depending upon whether, and to what extent, the fund's investment performance for the performance period (a rolling 36-month period) exceeds, or is exceeded by, a securities index, thus leading to a performance adjustment for the same period. The Board noted that the performance adjustment provides FMR with a strong economic incentive to seek to achieve superior long-term performance for the fund's shareholders and helps to more closely align the interests of FMR and the shareholders of the fund.  
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
 
Competitiveness of Management Fee and Total Expense Ratio . The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.  
 
Management Fee . The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods ended September 30 (June 30 for the period ended 2019) shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps, and without giving effect to the fund's performance adjustment, relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure without taking into account performance adjustments, if any. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked and the impact of the fund's performance adjustment, is also included in the chart and was considered by the Board.  
 
Fidelity Women's Leadership Fund
 
 
The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 12-month period ended September 30, 2021. The Board also noted the effect of the fund's performance adjustment, if any, on the fund's management fee ranking.
 
The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.
 
Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.
 
Total Expense Ratio . In its review of the total expense ratio of the representative class (retail class), the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board noted the impact of the fund's performance adjustment. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund. The fund's representative class is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure. The Board also considered a total expense ASPG comparison, which focuses on the total expenses of the representative class relative to a subset of non-Fidelity funds within the total expense similar sales load structure group. The total expense ASPG is limited to 15 larger and 15 smaller classes in fund average assets for a total of 30 classes, where possible. The total expense ASPG comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.
 
The Board noted that the total net expense ratio of the retail class ranked below the similar sales load structure group competitive median and below the ASPG competitive median for the 12-month period ended September 30, 2021.
 
The Board considered that FMR has contractually agreed to reimburse Class A, Class M, Class C, Class I, Class Z, and the retail class of the fund to the extent that total operating expenses (excluding interest, certain taxes, fees and expenses associated with a wholly owned subsidiary, if any, as well as non-operating expenses such as brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable)as a percentage of their respective average net assets, exceed 1.15%, 1.40%, 1.90%, 0.90%, 0.75%, and 0.90% through August 31, 2022.
 
Fees Charged to Other Fidelity Clients . The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.
 
Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
 
Costs of the Services and Profitability.  The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
 
On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies and the full Board approves such changes.
 
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
 
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.
 
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.
 
Economies of Scale . The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.
 
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total "group assets" increase, and for higher group fee rates as total "group assets" decrease ("group assets" as defined in the management contract). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board further considered that Fidelity agreed to impose a temporary fee waiver in the form of additional breakpoints to the current breakpoint schedule. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as "group assets" increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.  
 
The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.
 
Additional Information Requested by the Board . In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) fund flow and performance trends, in particular the underperformance of certain funds and strategies, and Fidelity's long-term strategies for certain funds, including any consideration of fund liquidations or mergers; (ii) the operation of performance fees, competitor use of performance fees, and consideration of the expansion of performance fees to additional funds; (iii) Fidelity's pricing philosophy compared to competitors; (iv) fund profitability methodology and data; (v) evaluation of competitive fund data and peer group classifications and fee and expense comparisons; (vi) the management fee and expense structures for different funds and classes and information about the differences between various fee and expense structures; (vii) group fee breakpoints and related voluntary fee waivers; and (viii) information regarding other accounts managed by Fidelity and the funds' sub-advisory arrangements.
 
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable and that the fund's Advisory Contracts should be renewed.
 
1.9893106.103
WLF-SANN-1222
Fidelity® Focused High Income Fund
 
 
Semi-Annual Report
October 31, 2022

Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
 
 
Top Bond Issuers (% of Fund's net assets)
(with maturities greater than one year)
 
Occidental Petroleum Corp.
2.9
 
Sprint Capital Corp.
2.2
 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.
2.1
 
CCO Holdings LLC/CCO Holdings Capital Corp.
2.0
 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
2.0
 
PG&E Corp.
1.8
 
Ford Motor Credit Co. LLC
1.7
 
Level 3 Financing, Inc.
1.7
 
HCA Holdings, Inc.
1.7
 
Tenet Healthcare Corp.
1.6
 
 
19.7
 
 
Market Sectors (% of Fund's net assets)
 
Energy
19.0
 
Telecommunications
7.8
 
Healthcare
7.2
 
Utilities
5.9
 
Services
5.8
 
 
Quality Diversification (% of Fund's net assets)
 
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
 
Asset Allocation (% of Fund's net assets)
Foreign investments - 11.3%
Geographic Diversification (% of Fund's net assets)
 
*    Includes Short-Term investments and Net Other Assets (Liabilities).  
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
 
 
 
Showing Percentage of Net Assets
Corporate Bonds - 89.1%
 
 
Principal
Amount (a)
 
Value ($)
 
Convertible Bonds - 0.7%
 
 
 
Broadcasting - 0.7%
 
 
 
DISH Network Corp.:
 
 
 
 2.375% 3/15/24
 
1,230,000
1,115,610
 3.375% 8/15/26
 
680,000
470,220
 
 
 
1,585,830
Nonconvertible Bonds - 88.4%
 
 
 
Aerospace - 2.9%
 
 
 
BWX Technologies, Inc. 4.125% 6/30/28 (b)
 
795,000
695,625
Howmet Aerospace, Inc. 6.75% 1/15/28
 
665,000
663,956
Kaiser Aluminum Corp. 4.625% 3/1/28 (b)
 
1,730,000
1,513,404
Moog, Inc. 4.25% 12/15/27 (b)
 
1,025,000
917,232
Rolls-Royce PLC 5.75% 10/15/27 (b)
 
1,115,000
1,009,042
Science Applications International Corp. 4.875% 4/1/28 (b)
 
150,000
136,574
TransDigm, Inc.:
 
 
 
 7.5% 3/15/27
 
145,000
142,880
 8% 12/15/25 (b)
 
1,505,000
1,531,338
 
 
 
6,610,051
Air Transportation - 0.3%
 
 
 
United Airlines, Inc. 4.375% 4/15/26 (b)
 
750,000
684,493
Automotive & Auto Parts - 2.5%
 
 
 
Allison Transmission, Inc. 3.75% 1/30/31 (b)
 
1,115,000
889,498
Dana, Inc. 4.5% 2/15/32
 
380,000
290,543
Ford Motor Credit Co. LLC:
 
 
 
 2.7% 8/10/26
 
305,000
265,350
 4% 11/13/30
 
1,495,000
1,209,126
 4.687% 6/9/25
 
2,140,000
2,033,700
 5.125% 6/16/25
 
530,000
511,344
LCM Investments Holdings 4.875% 5/1/29 (b)
 
165,000
139,181
Thor Industries, Inc. 4% 10/15/29 (b)
 
500,000
404,390
 
 
 
5,743,132
Banks & Thrifts - 0.5%
 
 
 
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (b)
 
210,000
185,611
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc. 3.625% 3/1/29 (b)
 
1,185,000
918,375
 
 
 
1,103,986
Broadcasting - 0.7%
 
 
 
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (b)
 
1,390,000
278,000
Scripps Escrow II, Inc. 3.875% 1/15/29 (b)
 
410,000
338,594
Sirius XM Radio, Inc.:
 
 
 
 3.875% 9/1/31 (b)
 
390,000
312,000
 5.5% 7/1/29 (b)
 
625,000
576,438
TEGNA, Inc. 5% 9/15/29
 
210,000
199,101
 
 
 
1,704,133
Building Materials - 1.1%
 
 
 
Advanced Drain Systems, Inc. 5% 9/30/27 (b)
 
1,320,000
1,223,957
Builders FirstSource, Inc. 4.25% 2/1/32 (b)
 
355,000
284,071
Standard Industries, Inc./New Jersey 4.375% 7/15/30 (b)
 
1,300,000
1,051,115
 
 
 
2,559,143
Cable/Satellite TV - 4.1%
 
 
 
CCO Holdings LLC/CCO Holdings Capital Corp.:
 
 
 
 4.5% 8/15/30 (b)
 
675,000
547,803
 4.5% 6/1/33 (b)
 
785,000
595,274
 5% 2/1/28 (b)
 
1,780,000
1,610,900
 5.125% 5/1/27 (b)
 
2,110,000
1,954,873
CSC Holdings LLC:
 
 
 
 4.125% 12/1/30 (b)
 
160,000
125,883
 5.375% 2/1/28 (b)
 
1,500,000
1,383,750
 5.5% 4/15/27 (b)
 
1,320,000
1,237,500
VZ Secured Financing BV 5% 1/15/32 (b)
 
1,770,000
1,420,425
Ziggo Bond Co. BV 6% 1/15/27 (b)
 
300,000
269,986
Ziggo BV 4.875% 1/15/30 (b)
 
475,000
401,375
 
 
 
9,547,769
Chemicals - 3.6%
 
 
 
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (b)
 
935,000
853,009
LSB Industries, Inc. 6.25% 10/15/28 (b)
 
235,000
213,354
Methanex Corp.:
 
 
 
 5.25% 12/15/29
 
160,000
136,922
 5.65% 12/1/44
 
991,000
681,313
NOVA Chemicals Corp. 5.25% 6/1/27 (b)
 
1,710,000
1,526,312
Nufarm Australia Ltd. 5% 1/27/30 (b)
 
865,000
731,712
Olin Corp. 5.125% 9/15/27
 
1,695,000
1,589,063
SPCM SA 3.125% 3/15/27 (b)
 
385,000
338,319
The Chemours Co. LLC:
 
 
 
 4.625% 11/15/29 (b)
 
385,000
300,300
 5.375% 5/15/27
 
1,000,000
895,420
 5.75% 11/15/28 (b)
 
505,000
428,998
Valvoline, Inc. 4.25% 2/15/30 (b)
 
255,000
245,438
W.R. Grace Holding LLC 4.875% 6/15/27 (b)
 
505,000
441,875
 
 
 
8,382,035
Consumer Products - 0.5%
 
 
 
Newell Brands, Inc. 5.625% 4/1/36 (c)
 
490,000
407,141
Prestige Brands, Inc. 3.75% 4/1/31 (b)
 
600,000
481,206
Tempur Sealy International, Inc. 3.875% 10/15/31 (b)
 
395,000
296,590
 
 
 
1,184,937
Containers - 1.2%
 
 
 
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 4.125% 8/15/26 (b)
 
50,000
43,250
Ball Corp. 3.125% 9/15/31
 
1,340,000
1,026,038
Graphic Packaging International, Inc. 3.75% 2/1/30 (b)
 
190,000
163,354
OI European Group BV 4.75% 2/15/30 (b)
 
390,000
327,600
Trivium Packaging Finance BV 5.5% 8/15/26 (b)
 
1,215,000
1,115,291
 
 
 
2,675,533
Diversified Financial Services - 5.2%
 
 
 
Coinbase Global, Inc.:
 
 
 
 3.375% 10/1/28 (b)
 
965,000
630,736
 3.625% 10/1/31 (b)
 
1,835,000
1,086,574
Hightower Holding LLC 6.75% 4/15/29 (b)
 
1,105,000
899,611
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
 
 
 
 5.25% 5/15/27
 
3,405,000
3,136,856
 6.25% 5/15/26
 
1,620,000
1,559,250
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.25% 2/1/27 (b)
 
845,000
709,682
LPL Holdings, Inc. 4% 3/15/29 (b)
 
1,520,000
1,326,641
MSCI, Inc. 3.25% 8/15/33 (b)
 
310,000
239,645
OneMain Finance Corp.:
 
 
 
 3.5% 1/15/27
 
1,145,000
939,080
 6.875% 3/15/25
 
1,105,000
1,071,850
 7.125% 3/15/26
 
500,000
482,500
 
 
 
12,082,425
Diversified Media - 0.3%
 
 
 
Lamar Media Corp. 3.625% 1/15/31
 
915,000
745,725
Energy - 18.7%
 
 
 
Altus Midstream LP 5.875% 6/15/30 (b)
 
270,000
253,307
Apache Corp.:
 
 
 
 4.25% 1/15/30
 
215,000
191,289
 5.1% 9/1/40
 
600,000
485,832
 5.25% 2/1/42
 
905,000
726,263
 5.35% 7/1/49
 
150,000
115,771
Cheniere Energy Partners LP:
 
 
 
 3.25% 1/31/32
 
385,000
299,595
 4% 3/1/31
 
1,625,000
1,370,013
Cheniere Energy, Inc. 4.625% 10/15/28
 
1,085,000
1,000,913
CNX Midstream Partners LP 4.75% 4/15/30 (b)
 
160,000
131,600
Colgate Energy Partners III LLC 5.875% 7/1/29 (b)
 
200,000
185,500
Continental Resources, Inc. 5.75% 1/15/31 (b)
 
1,630,000
1,477,849
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:
 
 
 
 5.625% 5/1/27 (b)
 
1,928,000
1,813,432
 5.75% 4/1/25
 
3,007,000
2,931,825
CVR Energy, Inc.:
 
 
 
 5.25% 2/15/25 (b)
 
640,000
616,688
 5.75% 2/15/28 (b)
 
150,000
135,750
DCP Midstream Operating LP:
 
 
 
 5.375% 7/15/25
 
640,000
625,840
 5.6% 4/1/44
 
85,000
74,494
 6.45% 11/3/36 (b)
 
380,000
358,804
 8.125% 8/16/30
 
25,000
26,721
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (b)
 
735,000
714,394
EnLink Midstream LLC 5.625% 1/15/28 (b)
 
195,000
186,898
EnLink Midstream Partners LP:
 
 
 
 5.05% 4/1/45
 
255,000
185,161
 5.45% 6/1/47
 
530,000
402,689
 5.6% 4/1/44
 
895,000
697,718
EQM Midstream Partners LP:
 
 
 
 4.75% 1/15/31 (b)
 
985,000
823,165
 5.5% 7/15/28
 
800,000
714,504
 6.5% 7/1/27 (b)
 
785,000
765,375
 6.5% 7/15/48
 
485,000
373,450
 7.5% 6/1/27 (b)
 
555,000
548,063
EQT Corp. 3.9% 10/1/27
 
1,450,000
1,303,217
Hess Midstream Partners LP:
 
 
 
 5.125% 6/15/28 (b)
 
1,070,000
984,400
 5.625% 2/15/26 (b)
 
2,310,000
2,265,579
Hilcorp Energy I LP/Hilcorp Finance Co. 6.25% 11/1/28 (b)
 
330,000
310,200
Holly Energy Partners LP/Holly Energy Finance Corp.:
 
 
 
 5% 2/1/28 (b)
 
1,360,000
1,229,161
 6.375% 4/15/27 (b)
 
270,000
259,866
New Fortress Energy, Inc. 6.5% 9/30/26 (b)
 
1,040,000
1,008,800
Occidental Petroleum Corp.:
 
 
 
 3.5% 8/15/29
 
810,000
735,075
 4.2% 3/15/48
 
530,000
420,275
 4.3% 8/15/39
 
260,000
213,971
 4.4% 4/15/46
 
815,000
663,612
 4.4% 8/15/49
 
920,000
742,906
 5.55% 3/15/26
 
1,275,000
1,294,125
 6.125% 1/1/31
 
1,310,000
1,313,445
 6.2% 3/15/40
 
255,000
245,320
 7.875% 9/15/31
 
170,000
185,013
 8.875% 7/15/30
 
580,000
658,300
Rockies Express Pipeline LLC:
 
 
 
 4.8% 5/15/30 (b)
 
1,285,000
1,085,825
 4.95% 7/15/29 (b)
 
495,000
434,257
 6.875% 4/15/40 (b)
 
190,000
155,116
Sunoco LP/Sunoco Finance Corp.:
 
 
 
 4.5% 5/15/29
 
1,140,000
979,146
 5.875% 3/15/28
 
1,695,000
1,613,599
 6% 4/15/27
 
25,000
24,495
Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (b)
 
320,000
271,242
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.:
 
 
 
 5.5% 1/15/28 (b)
 
225,000
201,744
 6% 3/1/27 (b)
 
980,000
924,798
 6% 12/31/30 (b)
 
1,190,000
1,077,212
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 5.5% 3/1/30
 
255,000
235,398
Venture Global Calcasieu Pass LLC:
 
 
 
 3.875% 8/15/29 (b)
 
480,000
411,600
 3.875% 11/1/33 (b)
 
380,000
304,950
 4.125% 8/15/31 (b)
 
460,000
392,164
Western Gas Partners LP:
 
 
 
 4.3% 2/1/30
 
2,375,000
2,089,525
 4.65% 7/1/26
 
808,000
765,580
 
 
 
43,032,819
Environmental - 1.4%
 
 
 
Darling Ingredients, Inc.:
 
 
 
 5.25% 4/15/27 (b)
 
970,000
931,200
 6% 6/15/30 (b)
 
170,000
163,625
Madison IAQ LLC 4.125% 6/30/28 (b)
 
1,630,000
1,348,825
Stericycle, Inc. 3.875% 1/15/29 (b)
 
815,000
707,901
 
 
 
3,151,551
Food & Drug Retail - 2.0%
 
 
 
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC 3.5% 3/15/29 (b)
 
3,810,000
3,152,775
BellRing Brands, Inc. 7% 3/15/30 (b)
 
350,000
330,505
Emergent BioSolutions, Inc. 3.875% 8/15/28 (b)
 
1,590,000
953,269
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (b)
 
190,000
158,319
 
 
 
4,594,868
Food/Beverage/Tobacco - 2.2%
 
 
 
JBS U.S.A. Lux SA / JBS Food Co. 5.5% 1/15/30 (b)
 
2,525,000
2,301,685
Post Holdings, Inc.:
 
 
 
 4.625% 4/15/30 (b)
 
2,135,000
1,801,545
 5.5% 12/15/29 (b)
 
590,000
530,953
 5.625% 1/15/28 (b)
 
405,000
378,635
U.S. Foods, Inc. 4.625% 6/1/30 (b)
 
180,000
156,154
 
 
 
5,168,972
Gaming - 2.6%
 
 
 
Melco Resorts Finance Ltd. 4.875% 6/6/25 (b)
 
1,225,000
872,410
MGM Resorts International 5.75% 6/15/25
 
866,000
842,852
VICI Properties LP / VICI Note Co.:
 
 
 
 4.25% 12/1/26 (b)
 
1,210,000
1,102,153
 4.5% 9/1/26 (b)
 
1,300,000
1,183,063
 4.625% 6/15/25 (b)
 
245,000
229,616
 4.625% 12/1/29 (b)
 
925,000
804,324
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b)
 
870,000
756,726
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 5.125% 10/1/29 (b)
 
380,000
302,277
 
 
 
6,093,421
Healthcare - 7.2%
 
 
 
180 Medical, Inc. 3.875% 10/15/29 (b)
 
200,000
169,000
Avantor Funding, Inc. 4.625% 7/15/28 (b)
 
1,195,000
1,079,933
Catalent Pharma Solutions 3.5% 4/1/30 (b)
 
1,700,000
1,372,750
Centene Corp.:
 
 
 
 2.45% 7/15/28
 
75,000
61,715
 2.5% 3/1/31
 
1,665,000
1,280,085
Charles River Laboratories International, Inc.:
 
 
 
 3.75% 3/15/29 (b)
 
315,000
272,475
 4.25% 5/1/28 (b)
 
90,000
81,873
DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (b)
 
365,000
284,563
Grifols Escrow Issuer SA 4.75% 10/15/28 (b)
 
200,000
156,250
HCA Holdings, Inc. 5.375% 9/1/26
 
3,960,000
3,850,318
HealthEquity, Inc. 4.5% 10/1/29 (b)
 
160,000
139,800
Hologic, Inc. 4.625% 2/1/28 (b)
 
1,650,000
1,542,750
IQVIA, Inc. 5% 5/15/27 (b)
 
820,000
781,362
Jazz Securities DAC 4.375% 1/15/29 (b)
 
350,000
310,625
Molina Healthcare, Inc. 3.875% 5/15/32 (b)
 
510,000
425,340
Organon & Co. / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/28 (b)
 
840,000
739,889
Owens & Minor, Inc. 4.5% 3/31/29 (b)
 
280,000
216,821
Teleflex, Inc. 4.25% 6/1/28 (b)
 
235,000
212,628
Tenet Healthcare Corp.:
 
 
 
 4.625% 6/15/28 (b)
 
1,810,000
1,588,265
 4.875% 1/1/26 (b)
 
595,000
562,275
 5.125% 11/1/27 (b)
 
1,200,000
1,105,500
 6.125% 6/15/30 (b)
 
465,000
429,260
 
 
 
16,663,477
Homebuilders/Real Estate - 1.6%
 
 
 
Century Communities, Inc. 3.875% 8/15/29 (b)
 
460,000
362,268
HAT Holdings I LLC/HAT Holdings II LLC 3.375% 6/15/26 (b)
 
495,000
402,445
Howard Hughes Corp. 4.375% 2/1/31 (b)
 
700,000
525,980
Kennedy-Wilson, Inc. 4.75% 2/1/30
 
770,000
604,450
Ryan Specialty Group LLC 4.375% 2/1/30 (b)
 
540,000
461,700
Service Properties Trust:
 
 
 
 3.95% 1/15/28
 
75,000
55,127
 4.95% 10/1/29
 
445,000
322,802
 5.5% 12/15/27
 
415,000
357,896
TopBuild Corp. 4.125% 2/15/32 (b)
 
810,000
634,208
 
 
 
3,726,876
Hotels - 1.8%
 
 
 
Hilton Domestic Operating Co., Inc.:
 
 
 
 3.625% 2/15/32 (b)
 
1,165,000
927,631
 4% 5/1/31 (b)
 
2,780,000
2,323,934
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27
 
445,000
422,750
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (b)
 
525,000
462,168
 
 
 
4,136,483
Insurance - 0.4%
 
 
 
Alliant Holdings Intermediate LLC 4.25% 10/15/27 (b)
 
1,075,000
967,629
Leisure - 1.6%
 
 
 
Carnival Corp.:
 
 
 
 7.625% 3/1/26 (b)
 
675,000
507,566
 10.5% 2/1/26 (b)
 
2,005,000
1,964,820
NCL Corp. Ltd. 5.875% 2/15/27 (b)
 
350,000
312,813
Royal Caribbean Cruises Ltd. 5.5% 4/1/28 (b)
 
1,200,000
924,000
 
 
 
3,709,199
Metals/Mining - 0.4%
 
 
 
FMG Resources Pty Ltd. 4.5% 9/15/27 (b)
 
15,000
13,427
Howmet Aerospace, Inc. 5.95% 2/1/37
 
45,000
41,223
HudBay Minerals, Inc. 4.5% 4/1/26 (b)
 
240,000
210,544
Mineral Resources Ltd. 8% 11/1/27 (b)
 
400,000
393,484
Novelis Corp. 3.875% 8/15/31 (b)
 
385,000
298,263
 
 
 
956,941
Paper - 0.2%
 
 
 
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC 6% 6/15/27 (b)
 
370,000
355,041
Glatfelter Corp. 4.75% 11/15/29 (b)
 
310,000
199,563
 
 
 
554,604
Restaurants - 0.2%
 
 
 
Garden SpinCo Corp. 8.625% 7/20/30 (b)
 
115,000
118,284
Yum! Brands, Inc. 3.625% 3/15/31
 
500,000
401,250
 
 
 
519,534
Services - 5.5%
 
 
 
ADT Corp.:
 
 
 
 4.125% 8/1/29 (b)
 
385,000
330,141
 4.875% 7/15/32 (b)
 
565,000
480,719
AECOM 5.125% 3/15/27
 
1,485,000
1,405,953
Aramark Services, Inc. 5% 2/1/28 (b)
 
1,685,000
1,535,212
ASGN, Inc. 4.625% 5/15/28 (b)
 
2,740,000
2,436,490
Booz Allen Hamilton, Inc. 4% 7/1/29 (b)
 
155,000
135,487
Fair Isaac Corp. 4% 6/15/28 (b)
 
450,000
407,178
Gartner, Inc. 3.625% 6/15/29 (b)
 
220,000
187,000
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b)
 
1,030,000
966,269
Iron Mountain, Inc. 4.875% 9/15/29 (b)
 
1,115,000
958,621
Prime Securities Services Borrower LLC/Prime Finance, Inc. 3.375% 8/31/27 (b)
 
2,225,000
1,925,718
Service Corp. International 5.125% 6/1/29
 
1,425,000
1,327,331
TriNet Group, Inc. 3.5% 3/1/29 (b)
 
710,000
588,413
 
 
 
12,684,532
Steel - 0.1%
 
 
 
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (b)
 
110,000
96,523
Super Retail - 1.9%
 
 
 
Asbury Automotive Group, Inc.:
 
 
 
 4.625% 11/15/29 (b)
 
245,000
201,513
 5% 2/15/32 (b)
 
260,000
209,625
Bath & Body Works, Inc. 6.625% 10/1/30 (b)
 
1,170,000
1,046,700
Gap, Inc. 3.875% 10/1/31 (b)
 
385,000
265,650
Hanesbrands, Inc. 4.875% 5/15/26 (b)
 
1,115,000
1,023,013
Levi Strauss & Co. 3.5% 3/1/31 (b)
 
630,000
503,972
Nordstrom, Inc. 4.375% 4/1/30
 
930,000
713,775
The William Carter Co. 5.625% 3/15/27 (b)
 
465,000
442,065
 
 
 
4,406,313
Technology - 3.7%
 
 
 
Block, Inc. 2.75% 6/1/26
 
380,000
338,899
Central Parent, Inc./Central Merger Sub, Inc. 7.25% 6/15/29 (b)
 
345,000
329,754
Coherent Corp. 5% 12/15/29 (b)
 
1,600,000
1,372,608
Crowdstrike Holdings, Inc. 3% 2/15/29
 
525,000
442,532
Entegris, Inc. 4.375% 4/15/28 (b)
 
730,000
642,072
Gartner, Inc. 4.5% 7/1/28 (b)
 
660,000
611,642
Match Group Holdings II LLC:
 
 
 
 3.625% 10/1/31 (b)
 
575,000
438,300
 4.125% 8/1/30 (b)
 
265,000
216,506
MicroStrategy, Inc. 6.125% 6/15/28 (b)
 
540,000
462,710
onsemi 3.875% 9/1/28 (b)
 
545,000
480,200
Open Text Holdings, Inc. 4.125% 2/15/30 (b)
 
130,000
103,513
Roblox Corp. 3.875% 5/1/30 (b)
 
935,000
771,375
Sensata Technologies, Inc. 3.75% 2/15/31 (b)
 
1,165,000
927,631
TTM Technologies, Inc. 4% 3/1/29 (b)
 
550,000
459,326
Twilio, Inc. 3.875% 3/15/31
 
350,000
285,443
Viavi Solutions, Inc. 3.75% 10/1/29 (b)
 
770,000
642,865
 
 
 
8,525,376
Telecommunications - 7.8%
 
 
 
Altice Financing SA 5% 1/15/28 (b)
 
10,000
7,907
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b)
 
1,510,000
1,306,150
Cogent Communications Group, Inc. 7% 6/15/27 (b)
 
660,000
626,602
Level 3 Financing, Inc.:
 
 
 
 4.25% 7/1/28 (b)
 
2,645,000
2,182,125
 4.625% 9/15/27 (b)
 
2,100,000
1,822,296
Millicom International Cellular SA:
 
 
 
 4.5% 4/27/31 (b)
 
490,000
366,520
 5.125% 1/15/28 (b)
 
900,000
766,294
Sable International Finance Ltd. 5.75% 9/7/27 (b)
 
2,610,000
2,300,063
SBA Communications Corp. 3.875% 2/15/27
 
750,000
675,000
Sprint Capital Corp.:
 
 
 
 6.875% 11/15/28
 
3,545,000
3,658,369
 8.75% 3/15/32
 
1,150,000
1,349,686
Telecom Italia Capital SA:
 
 
 
 6% 9/30/34
 
295,000
215,270
 7.2% 7/18/36
 
655,000
510,088
Virgin Media Finance PLC 5% 7/15/30 (b)
 
105,000
84,146
Virgin Media Secured Finance PLC 5.5% 5/15/29 (b)
 
740,000
672,453
Windstream Escrow LLC 7.75% 8/15/28 (b)
 
1,560,000
1,349,868
 
 
 
17,892,837
Textiles/Apparel - 0.3%
 
 
 
Crocs, Inc. 4.125% 8/15/31 (b)
 
405,000
306,751
Foot Locker, Inc. 4% 10/1/29 (b)
 
200,000
152,894
Kontoor Brands, Inc. 4.125% 11/15/29 (b)
 
130,000
104,232
 
 
 
563,877
Transportation Ex Air/Rail - 0.1%
 
 
 
Seaspan Corp. 5.5% 8/1/29 (b)
 
385,000
296,519
Utilities - 5.8%
 
 
 
Clearway Energy Operating LLC:
 
 
 
 3.75% 2/15/31 (b)
 
1,615,000
1,348,525
 4.75% 3/15/28 (b)
 
195,000
180,121
Global Partners LP/GLP Finance Corp. 7% 8/1/27
 
997,000
947,830
InterGen NV 7% 6/30/23 (b)
 
1,635,000
1,600,256
NextEra Energy Partners LP 4.25% 9/15/24 (b)
 
158,000
148,691
NRG Energy, Inc.:
 
 
 
 3.625% 2/15/31 (b)
 
1,666,000
1,325,753
 5.25% 6/15/29 (b)
 
625,000
567,188
 6.625% 1/15/27
 
729,000
729,328
PG&E Corp.:
 
 
 
 5% 7/1/28
 
2,685,000
2,419,977
 5.25% 7/1/30
 
2,115,000
1,872,822
TerraForm Power Operating LLC 4.75% 1/15/30 (b)
 
130,000
116,838
Vertiv Group Corp. 4.125% 11/15/28 (b)
 
945,000
822,037
Vistra Operations Co. LLC 5% 7/31/27 (b)
 
1,395,000
1,286,888
 
 
 
13,366,254
TOTAL NONCONVERTIBLE BONDS
 
 
204,131,967
 
TOTAL CORPORATE BONDS
  (Cost $235,898,178)
 
 
 
205,717,797
 
 
 
 
Common Stocks - 0.4%
 
 
Shares
Value ($)
 
Energy - 0.3%
 
 
 
Jonah Energy Parent LLC (d)(e)
 
11,874
755,186
Gaming - 0.1%
 
 
 
Caesars Entertainment, Inc. (d)
 
5,600
244,888
 
TOTAL COMMON STOCKS
  (Cost $440,063)
 
 
 
1,000,074
 
 
 
 
Bank Loan Obligations - 0.6%
 
 
Principal
Amount (a)
 
Value ($)
 
Broadcasting - 0.0%
 
 
 
Diamond Sports Group LLC 2LN, term loan CME Term SOFR 1 Month Index + 3.250% 6.458% 8/24/26 (f)(g)(h)
 
207,364
40,229
Insurance - 0.2%
 
 
 
Alliant Holdings Intermediate LLC Tranche B3 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.9799% 11/12/27 (f)(g)(h)
 
350,460
338,005
Services - 0.3%
 
 
 
ABG Intermediate Holdings 2 LLC Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 3.500% 7.3287% 12/21/28 (f)(g)(h)
 
134,662
129,108
Ascend Learning LLC:
 
 
 
 2LN, term loan 1 month U.S. LIBOR + 5.750% 9.5039% 12/10/29 (f)(g)(h)
 
50,000
42,313
 Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 12/10/28 (f)(g)(h)
 
501,212
458,750
TOTAL SERVICES
 
 
630,171
Utilities - 0.1%
 
 
 
Brookfield WEC Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 7.4787% 8/1/25 (f)(g)(h)
 
260,000
257,928
 
TOTAL BANK LOAN OBLIGATIONS
  (Cost $1,412,570)
 
 
 
1,266,333
 
 
 
 
Preferred Securities - 1.3%
 
 
Principal
Amount (a)
 
Value ($)
 
Banks & Thrifts - 1.3%
 
 
 
Ally Financial, Inc. 4.7% (f)(i)
  (Cost $4,200,000)
 
4,200,000
3,086,840
 
 
 
 
Money Market Funds - 7.3%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 3.10% (j)
 
  (Cost $16,719,310)
 
 
16,715,967
16,719,310
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 98.7%
  (Cost $258,670,121)
 
 
 
227,790,354
NET OTHER ASSETS (LIABILITIES) - 1.3%  
3,025,011
NET ASSETS - 100.0%
230,815,365
 
 
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $137,306,958 or 59.5% of net assets.
 
(c)
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.
 
(d)
Non-income producing
 
(e)
Level 3 security
 
(f)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(g)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(h)
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.
 
(i)
Security is perpetual in nature with no stated maturity date.
 
(j)
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.
 
 
 
 
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
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 3.10%
13,061,727
40,415,938
36,758,355
209,348
-
-
16,719,310
0.0%
Total
13,061,727
40,415,938
36,758,355
209,348
-
-
16,719,310
 
 
 
 
 
 
 
 
 
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of October 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
  Investments in Securities:
 
 
 
 
 Equities:
 
 
 
 
Consumer Discretionary
244,888
244,888
-
-
Energy
755,186
-
-
755,186
 Corporate Bonds
205,717,797
-
205,717,797
-
 Bank Loan Obligations
1,266,333
-
1,266,333
-
 Preferred Securities
3,086,840
-
3,086,840
-
  Money Market Funds
16,719,310
16,719,310
-
-
 Total Investments in Securities:
227,790,354
16,964,198
210,070,970
755,186
Financial Statements   (Unaudited)
Statement of Assets and Liabilities
 
 
 
October 31, 2022
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $241,950,811)
 
$211,071,044
 
 
Fidelity Central Funds (cost $16,719,310)
 
16,719,310
 
 
 
 
 
 
 
Total Investment in Securities (cost $258,670,121)
 
 
$
227,790,354
Cash
 
 
 
331,127
Receivable for fund shares sold
 
 
 
98,809
Interest receivable
 
 
 
3,092,575
Distributions receivable from Fidelity Central Funds
 
 
 
51,229
Prepaid expenses
 
 
 
396
Receivable from investment adviser for expense reductions
 
 
 
3,293
  Total assets
 
 
 
231,367,783
Liabilities
 
 
 
 
Payable for fund shares redeemed
 
$235,702
 
 
Distributions payable
 
134,484
 
 
Accrued management fee
 
105,643
 
 
Transfer agent fee payable
 
31,183
 
 
Other affiliated payables
 
7,992
 
 
Audit fee payable
 
36,949
 
 
Other payables and accrued expenses
 
465
 
 
  Total Liabilities
 
 
 
552,418
Net Assets  
 
 
$
230,815,365
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
275,825,750
Total accumulated earnings (loss)
 
 
 
(45,010,385)
Net Assets
 
 
$
230,815,365
Net Asset Value , offering price and redemption price per share ($230,815,365 ÷ 30,438,629 shares)
 
 
$
7.58
 
 
 
 
 
Statement of Operations
 
 
 
Six months ended
October 31, 2022
(Unaudited)
Investment Income
 
 
 
 
Dividends
 
 
$
452,902
Interest  
 
 
6,098,042
Income from Fidelity Central Funds  
 
 
 
209,348
 Total Income
 
 
 
6,760,292
Expenses
 
 
 
 
Management fee
$
692,541
 
 
Transfer agent fees
 
190,583
 
 
Accounting fees and expenses
 
52,415
 
 
Custodian fees and expenses
 
1,701
 
 
Independent trustees' fees and expenses
 
449
 
 
Registration fees
 
20,212
 
 
Audit
 
36,101
 
 
Legal
 
126
 
 
Miscellaneous
 
648
 
 
 Total expenses before reductions
 
994,776
 
 
 Expense reductions
 
(39,849)
 
 
 Total expenses after reductions
 
 
 
954,927
Net Investment income (loss)
 
 
 
5,805,365
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
(4,750,991)
 
 
Total net realized gain (loss)
 
 
 
(4,750,991)
Change in net unrealized appreciation (depreciation) on investment securities
 
 
 
(9,700,609)
Net gain (loss)
 
 
 
(14,451,600)
Net increase (decrease) in net assets resulting from operations
 
 
$
(8,646,235)
Statement of Changes in Net Assets
 
 
Six months ended
October 31, 2022
(Unaudited)
 
Year ended
April 30, 2022
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
5,805,365
$
13,243,987
Net realized gain (loss)
 
(4,750,991)
 
 
(2,092,913)
 
Change in net unrealized appreciation (depreciation)
 
(9,700,609)
 
(31,676,232)
 
Net increase (decrease) in net assets resulting from operations
 
(8,646,235)
 
 
(20,525,158)
 
Distributions to shareholders
 
(5,213,435)
 
 
(13,518,187)
 
Share transactions
 
 
 
 
Proceeds from sales of shares
 
8,642,384
 
48,014,625
  Reinvestment of distributions
 
4,396,646
 
 
11,416,988
 
Cost of shares redeemed
 
(46,297,281)
 
(132,087,012)
  Net increase (decrease) in net assets resulting from share transactions
 
(33,258,251)
 
 
(72,655,399)
 
Total increase (decrease) in net assets
 
(47,117,921)
 
 
(106,698,744)
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
277,933,286
 
384,632,030
 
End of period
$
230,815,365
$
277,933,286
 
 
 
 
 
Other Information
 
 
 
 
Shares
 
 
 
 
Sold
 
1,108,537
 
5,431,596
  Issued in reinvestment of distributions
 
571,789
 
 
1,308,964
 
Redeemed
 
(6,014,328)
 
(15,398,227)
Net increase (decrease)
 
(4,334,002)
 
(8,657,667)
 
 
 
 
 
 
 
Financial Highlights
Fidelity® Focused High Income Fund
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019  
 
2018    
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
7.99
$
8.86
$
8.28
$
8.65
$
8.47
$
8.67
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
 
.177
 
.317
 
.340
 
.374
 
.399
 
.380
     Net realized and unrealized gain (loss)
 
(.428)
 
(.863)
 
.574
 
(.378)
 
.190
 
(.219)
  Total from investment operations
 
(.251)  
 
(.546)  
 
.914  
 
(.004)  
 
.589
 
.161
  Distributions from net investment income
 
(.159)
 
(.324)
 
(.334)
 
(.366)
 
(.409)
 
(.362)
     Total distributions
 
(.159)
 
(.324)
 
(.334)
 
(.366)
 
(.409)
 
(.362)
  Redemption fees added to paid in capital A
 
-
 
-
 
-
 
-
 
-
 
.001
  Net asset value, end of period
$
7.58
$
7.99
$
8.86
$
8.28
$
8.65
$
8.47
 Total Return   C,D
 
(3.15)%
 
(6.41)%
 
11.16%
 
(.16)%
 
7.21%
 
1.86%
 Ratios to Average Net Assets B,E,F
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.78% G
 
.75%
 
.75%
 
.78%
 
.79%
 
.80%
    Expenses net of fee waivers, if any
 
.75% G
 
.75%
 
.75%
 
.78%
 
.79%
 
.80%
    Expenses net of all reductions
 
.75% G
 
.75%
 
.75%
 
.78%
 
.78%
 
.79%
    Net investment income (loss)
 
4.55% G
 
3.62%
 
3.88%
 
4.31%
 
4.73%
 
4.38%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
230,815
$
277,933
$
384,632
$
347,510
$
302,781
$
397,850
    Portfolio turnover rate H
 
4% G
 
20%
 
73%
 
43%
 
49%
 
47%
 
A Calculated based on average shares outstanding during the period.
 
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
C Total returns for periods of less than one year are not annualized.
 
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
E Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
G Annualized.
 
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
For the period ended October 31, 2022
 
1. Organization.
Fidelity Focused High Income Fund (the Fund) is a fund of Fidelity Summer Street Trust (the Trust) and is authorized to issue an unlimited number of shares.   Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
 
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense Ratio A
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
A   Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies . The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
 
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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 Fund categorizes the inputs to valuation techniques used to value its investments 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 the Fund's investments by major category are as follows:
 
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, 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. 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. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
 
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 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.
 
Investments in open-end mutual funds, including the Fidelity Central 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. The aggregate value of investments by input level as of October 31, 2022 is included at the end of the Fund's Schedule of Investments.
 
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
 
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
 
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
 
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
 
Book-tax differences are primarily due to market discount, prior period premium and discount on debt securities and capital loss carryforwards.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
 
Gross unrealized appreciation
$1,988,058
Gross unrealized depreciation
(31,989,928)
Net unrealized appreciation (depreciation)
$(30,001,870)
Tax cost
$257,792,224
 
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
 
  Short-term
$(9,345,990)
  Long-term
(1,470,582)
Total capital loss carryforward
$(10,816,572)
 
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
 
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
 
 
Purchases ($)
Sales ($)
Fidelity Focused High Income Fund
4,586,651
40,237,439
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .55% of the Fund's average net assets.
 
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annualized rate of .15% of average net assets.
 
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annualized rates:
 
 
% of Average Net Assets
Fidelity Focused High Income Fund
.04
 
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
 
 
Amount
Fidelity Focused High Income Fund
$237
7. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .75% of average net assets. This reimbursement will remain in place through August 31, 2023. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $37,398.
 
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $8.
 
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $2,443.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
9. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2022 to October 31, 2022).
 
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
 
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
 
 
 
Annualized Expense Ratio- A
 
Beginning Account Value May 1, 2022
 
Ending Account Value October 31, 2022
 
Expenses Paid During Period- C May 1, 2022 to October 31, 2022
 
 
 
 
 
 
 
 
 
 
Fidelity® Focused High Income Fund
 
 
 
.75%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 968.50
 
$ 3.72
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,021.42
 
$ 3.82
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
 
 
 
 
Fidelity Focused High Income Fund
 
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
 
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees (Committees), each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.
 
At its May 2022 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
 
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.
 
Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.
 
Resources Dedicated to Investment Management and Support Services. The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to expansion of Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties, and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.  
 
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.
 
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.  
 
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain target date funds and classes and index funds; (vii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (viii) rationalizing product lines and gaining increased efficiencies from fund mergers and liquidations; (ix) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (x) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.
 
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that the fund had a portfolio manager change in January 2022. The Board will continue to monitor closely the fund's performance, taking into account the portfolio manager change.
 
The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance, the Board gave particular attention to information indicating changes in performance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance.
 
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on net performance (after fees and expenses) of the fund compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; issuer-specific information; and fund cash flows and other factors.  
 
The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods ended September 30, 2021, as shown below. Returns are shown compared to the 25th percentile (top of box, 75% beaten) and 75th percentile (bottom of box, 25% beaten) of the peer universe.
Fidelity Focused High Income Fund
 
The Board considered the fund's underperformance for different time periods ended December 31, 2021 (which periods are not reflected in the charts above). The Board's discussions with FMR regarding underperformance cover topics including, but not limited to: the longer-term track record of a fund's portfolio manager(s); broader trends in the market that may adversely impact a fund's performance; and attribution reports on contributors to the fund's underperformance. The Board engages with FMR on steps that might be taken to address a fund's underperformance.
 
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
 
Competitiveness of Management Fee and Total Expense Ratio . The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.
 
Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods ended September 30 (June 30 for periods ended 2019 and 2018 and December 31 for periods prior to 2018) shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group is broader than the Lipper peer group used by the Board for performance comparisons because the Total Mapped Group combines several Lipper investment objective categories while the Lipper peer group does not. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.
 
Fidelity Focused High Income Fund
 
The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended September 30, 2021.
 
The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.
 
Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.
 
Total Expense Ratio. In its review of the fund's total expense ratio, the Board considered the fund's management fee rate as well as other fund expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure. The Board also considered a total expense ASPG comparison for the fund, which focuses on the total expenses of the fund relative to a subset of non-Fidelity funds within the total expense similar sales load structure group. The total expense ASPG is limited to 15 larger and 15 smaller classes in fund average assets for a total of 30 classes, where possible. The total expense ASPG comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.
 
The Board noted that the fund's total net expense ratio ranked below the similar sales load structure group competitive median and below the ASPG competitive median for the 12-month period ended September 30, 2021.
 
The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.75% through August 22, 2022.
 
Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.
 
Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
 
Costs of the Services and Profitability . The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering, and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
 
On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies and the full Board approves such changes.
 
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
 
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.  
 
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.
 
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.
 
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total "group assets" increase, and for higher group fee rates as total "group assets" decrease ("group assets" as defined in the management contract). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board further considered that Fidelity agreed to impose a temporary fee waiver in the form of additional breakpoints to the current breakpoint schedule. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as "group assets" increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
 
The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.
 
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) fund flow and performance trends, in particular the underperformance of certain funds and strategies, and Fidelity's long-term strategies for certain funds, including any consideration of fund liquidations or mergers; (ii) the operation of performance fees, competitor use of performance fees, and consideration of the expansion of performance fees to additional funds; (iii) Fidelity's pricing philosophy compared to competitors; (iv) fund profitability methodology and data; (v) evaluation of competitive fund data and peer group classifications and fee and expense comparisons; (vi) the management fee and expense structures for different funds and classes and information about the differences between various fee and expense structures; (vii) group fee breakpoints and related voluntary fee waivers; and (viii) information regarding other accounts managed by Fidelity and the funds' sub-advisory arrangements.
 
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable and that the fund's Advisory Contracts should be renewed.
 
1.801609.119
FFH-SANN-1222
Fidelity® Short Duration High Income Fund
 
 
Semi-Annual Report
October 31, 2022
Includes Fidelity and Fidelity Advisor share classes

Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
 
 
Top Bond Issuers (% of Fund's net assets)
(with maturities greater than one year)
 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
2.5
 
CCO Holdings LLC/CCO Holdings Capital Corp.
2.2
 
TransDigm, Inc.
1.9
 
Ford Motor Credit Co. LLC
1.7
 
Occidental Petroleum Corp.
1.6
 
Tenet Healthcare Corp.
1.5
 
Caesars Entertainment, Inc.
1.5
 
American Airlines, Inc. / AAdvantage Loyalty IP Ltd.
1.3
 
OneMain Finance Corp.
1.3
 
Community Health Systems, Inc.
1.3
 
 
16.8
 
 
Market Sectors (% of Fund's net assets)
 
Energy
12.4
 
Telecommunications
9.0
 
Healthcare
6.1
 
Gaming
5.4
 
Diversified Financial Services
5.3
 
 
Quality Diversification (% of Fund's net assets)
 
 
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
 
Asset Allocation (% of Fund's net assets)
Foreign investments - 15.5%
Geographic Diversification (% of Fund's net assets)
 
*    Includes Short-Term investments and Net Other Assets (Liabilities).  
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
 
 
 
Showing Percentage of Net Assets
Corporate Bonds - 76.8%
 
 
Principal
Amount (a)
 
Value ($)
 
Convertible Bonds - 1.0%
 
 
 
Broadcasting - 0.9%
 
 
 
DISH Network Corp.:
 
 
 
 2.375% 3/15/24
 
510,000
462,570
 3.375% 8/15/26
 
4,500,000
3,111,750
 
 
 
3,574,320
Energy - 0.1%
 
 
 
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
 
15,159
89,860
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
 
26,231
155,492
 
 
 
245,352
TOTAL CONVERTIBLE BONDS
 
 
3,819,672
Nonconvertible Bonds - 75.8%
 
 
 
Aerospace - 3.4%
 
 
 
Bombardier, Inc.:
 
 
 
 6% 2/15/28 (d)
 
125,000
111,238
 7.125% 6/15/26 (d)
 
4,000,000
3,786,509
Spirit Aerosystems, Inc.:
 
 
 
 5.5% 1/15/25 (d)
 
100,000
96,500
 7.5% 4/15/25 (d)
 
1,750,000
1,700,195
TransDigm, Inc.:
 
 
 
 5.5% 11/15/27
 
1,735,000
1,570,175
 6.25% 3/15/26 (d)
 
5,765,000
5,686,654
 7.5% 3/15/27
 
25,000
24,635
 
 
 
12,975,906
Air Transportation - 2.0%
 
 
 
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.5% 4/20/26 (d)
 
5,300,000
5,047,305
United Airlines, Inc. 4.375% 4/15/26 (d)
 
2,600,000
2,372,911
Western Global Airlines LLC 10.375% 8/15/25 (d)
 
250,000
210,000
 
 
 
7,630,216
Automotive & Auto Parts - 1.7%
 
 
 
Ford Motor Credit Co. LLC:
 
 
 
 2.3% 2/10/25
 
540,000
491,994
 3.375% 11/13/25
 
5,900,000
5,352,539
 4.687% 6/9/25
 
455,000
432,399
 5.125% 6/16/25
 
250,000
241,200
Real Hero Merger Sub 2 6.25% 2/1/29 (d)
 
30,000
21,508
 
 
 
6,539,640
Banks & Thrifts - 0.8%
 
 
 
Ally Financial, Inc.:
 
 
 
 3.875% 5/21/24
 
970,000
936,718
 5.75% 11/20/25
 
1,895,000
1,823,140
VistaJet Malta Finance PLC / XO Management Holding, Inc. 7.875% 5/1/27 (d)
 
235,000
212,842
 
 
 
2,972,700
Broadcasting - 1.1%
 
 
 
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d)
 
410,000
82,000
Sirius XM Radio, Inc. 3.125% 9/1/26 (d)
 
2,995,000
2,676,332
Univision Communications, Inc. 6.625% 6/1/27 (d)
 
1,375,000
1,357,813
 
 
 
4,116,145
Building Materials - 0.1%
 
 
 
Advanced Drain Systems, Inc. 5% 9/30/27 (d)
 
245,000
227,174
Global Infrastructure Solutions, Inc. 5.625% 6/1/29 (d)
 
185,000
136,797
SRS Distribution, Inc. 4.625% 7/1/28 (d)
 
95,000
83,414
 
 
 
447,385
Cable/Satellite TV - 4.2%
 
 
 
CCO Holdings LLC/CCO Holdings Capital Corp.:
 
 
 
 4% 3/1/23 (d)
 
3,315,000
3,290,082
 5.125% 5/1/27 (d)
 
5,250,000
4,864,020
CSC Holdings LLC:
 
 
 
 5.25% 6/1/24
 
1,000,000
970,000
 5.5% 4/15/27 (d)
 
2,300,000
2,156,250
DISH DBS Corp.:
 
 
 
 5.25% 12/1/26 (d)
 
300,000
260,625
 5.875% 11/15/24
 
3,100,000
2,862,540
 7.75% 7/1/26
 
650,000
548,464
Radiate Holdco LLC/Radiate Financial Service Ltd. 4.5% 9/15/26 (d)
 
1,595,000
1,347,775
 
 
 
16,299,756
Capital Goods - 0.6%
 
 
 
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (d)
 
2,525,000
2,263,031
Chemicals - 2.0%
 
 
 
INEOS Quattro Finance 2 PLC 3.375% 1/15/26 (d)
 
250,000
211,430
LSB Industries, Inc. 6.25% 10/15/28 (d)
 
1,990,000
1,806,701
NOVA Chemicals Corp.:
 
 
 
 4.875% 6/1/24 (d)
 
300,000
291,750
 5% 5/1/25 (d)
 
3,205,000
3,052,410
Rhodia Acetow Management GmbH 10.5% 2/15/27 (d)
 
130,000
105,241
SPCM SA 3.125% 3/15/27 (d)
 
395,000
347,106
The Chemours Co. LLC 5.375% 5/15/27
 
2,000,000
1,790,840
 
 
 
7,605,478
Consumer Products - 1.2%
 
 
 
Coty, Inc. 5% 4/15/26 (d)
 
1,700,000
1,594,284
Gannett Holdings LLC 6% 11/1/26 (d)
 
75,000
56,101
Mattel, Inc. 5.875% 12/15/27 (d)
 
1,210,000
1,174,160
Newell Brands, Inc. 4.45% 4/1/26
 
1,800,000
1,674,990
 
 
 
4,499,535
Containers - 2.7%
 
 
 
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:
 
 
 
 4.125% 8/15/26 (d)
 
610,000
527,650
 5.25% 8/15/27 (d)
 
500,000
350,445
 5.25% 8/15/27 (d)
 
3,000,000
2,102,670
Ball Corp.:
 
 
 
 4% 11/15/23
 
400,000
391,694
 5.25% 7/1/25
 
1,900,000
1,875,319
Berry Global, Inc. 4.875% 7/15/26 (d)
 
1,175,000
1,103,913
Trivium Packaging Finance BV:
 
 
 
 5.5% 8/15/26 (d)
 
220,000
201,946
 8.5% 8/15/27 (d)
 
4,050,000
3,808,181
 
 
 
10,361,818
Diversified Financial Services - 4.7%
 
 
 
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (d)
 
225,000
199,688
Coinbase Global, Inc. 3.625% 10/1/31 (d)
 
705,000
417,458
Freedom Mortgage Corp. 6.625% 1/15/27 (d)
 
250,000
186,600
Hightower Holding LLC 6.75% 4/15/29 (d)
 
400,000
325,651
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
 
 
 
 4.75% 9/15/24
 
1,840,000
1,790,559
 5.25% 5/15/27
 
535,000
492,869
 6.25% 5/15/26
 
7,690,000
7,401,611
Navient Corp.:
 
 
 
 6.125% 3/25/24
 
2,000,000
1,962,171
 6.75% 6/15/26
 
250,000
235,938
OneMain Finance Corp.:
 
 
 
 3.5% 1/15/27
 
235,000
192,737
 6.125% 3/15/24
 
750,000
732,765
 6.875% 3/15/25
 
4,090,000
3,967,300
 
 
 
17,905,347
Diversified Media - 0.4%
 
 
 
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (d)
 
1,660,000
1,412,096
Energy - 12.3%
 
 
 
Berry Petroleum Co. LLC 7% 2/15/26 (d)
 
100,000
89,500
Buckeye Partners LP 4.125% 3/1/25 (d)
 
1,400,000
1,319,514
California Resources Corp. 7.125% 2/1/26 (d)
 
250,000
245,203
Calumet Specialty Products Partners LP/Calumet Finance Corp. 11% 4/15/25 (d)
 
10,000
10,395
Chesapeake Energy Corp. 5.5% 2/1/26 (d)
 
505,000
489,471
Chord Energy Corp. 6.375% 6/1/26 (d)
 
100,000
97,690
Citgo Holding, Inc. 9.25% 8/1/24 (d)
 
1,850,000
1,851,711
Citgo Petroleum Corp. 6.375% 6/15/26 (d)
 
1,450,000
1,428,047
Colgate Energy Partners III LLC 5.875% 7/1/29 (d)
 
70,000
64,925
Comstock Resources, Inc. 6.75% 3/1/29 (d)
 
120,000
114,900
Continental Resources, Inc.:
 
 
 
 2.268% 11/15/26 (d)
 
300,000
255,045
 4.5% 4/15/23
 
300,000
298,752
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6% 2/1/29 (d)
 
1,860,000
1,739,286
CrownRock LP/CrownRock Finance, Inc. 5.625% 10/15/25 (d)
 
2,300,000
2,224,560
CVR Energy, Inc. 5.25% 2/15/25 (d)
 
1,615,000
1,556,174
DCP Midstream Operating LP 5.375% 7/15/25
 
1,400,000
1,369,025
Delek Logistics Partners LP 7.125% 6/1/28 (d)
 
80,000
71,636
Energy Ventures GoM LLC / EnVen Finance Corp. 11.75% 4/15/26 (d)
 
74,800
76,807
EnLink Midstream Partners LP 4.85% 7/15/26
 
1,400,000
1,319,598
EQM Midstream Partners LP:
 
 
 
 6% 7/1/25 (d)
 
147,000
142,372
 7.5% 6/1/27 (d)
 
2,550,000
2,518,125
EQT Corp. 3.125% 5/15/26 (d)
 
500,000
453,745
Genesis Energy LP/Genesis Energy Finance Corp. 8% 1/15/27
 
1,145,000
1,108,406
Gulfport Energy Corp. 8% 5/17/26
 
100,000
99,700
Hess Midstream Partners LP 5.625% 2/15/26 (d)
 
2,450,000
2,402,887
Holly Energy Partners LP/Holly Energy Finance Corp. 6.375% 4/15/27 (d)
 
105,000
101,059
Magnolia Oil & Gas Operating LLC 6% 8/1/26 (d)
 
1,300,000
1,262,674
Mesquite Energy, Inc. 7.25% 2/15/23 (c)(d)(e)
 
135,000
0
Murphy Oil Corp. 5.75% 8/15/25
 
116,000
114,363
Nabors Industries, Inc. 5.75% 2/1/25
 
2,550,000
2,454,375
New Fortress Energy, Inc.:
 
 
 
 6.5% 9/30/26 (d)
 
2,515,000
2,439,550
 6.75% 9/15/25 (d)
 
1,290,000
1,266,401
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (d)
 
1,450,000
1,311,726
NuStar Logistics LP 6% 6/1/26
 
400,000
387,840
Occidental Petroleum Corp.:
 
 
 
 5.875% 9/1/25
 
5,250,000
5,289,375
 6.95% 7/1/24
 
900,000
922,149
PBF Holding Co. LLC/PBF Finance Corp. 7.25% 6/15/25
 
350,000
346,283
PDC Energy, Inc. 5.75% 5/15/26
 
1,750,000
1,677,655
Precision Drilling Corp. 7.125% 1/15/26 (d)
 
1,660,000
1,630,801
Range Resources Corp. 4.875% 5/15/25
 
250,000
241,149
Southwestern Energy Co. 5.7% 1/23/25 (f)
 
28,000
27,677
Sunnova Energy Corp. 5.875% 9/1/26 (d)
 
210,000
184,800
Sunoco LP/Sunoco Finance Corp.:
 
 
 
 5.875% 3/15/28
 
60,000
57,119
 6% 4/15/27
 
1,010,000
989,598
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 6% 3/1/27 (d)
 
2,000,000
1,887,344
Transocean Proteus Ltd. 6.25% 12/1/24 (d)
 
285,750
278,606
Western Gas Partners LP 4.65% 7/1/26
 
3,500,000
3,316,250
 
 
 
47,534,268
Entertainment/Film - 0.3%
 
 
 
Live Nation Entertainment, Inc. 4.75% 10/15/27 (d)
 
1,500,000
1,334,880
Environmental - 0.4%
 
 
 
Madison IAQ LLC 4.125% 6/30/28 (d)
 
1,900,000
1,572,250
Food & Drug Retail - 1.1%
 
 
 
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC 3.25% 3/15/26 (d)
 
4,600,000
4,128,132
Food/Beverage/Tobacco - 0.9%
 
 
 
Post Holdings, Inc.:
 
 
 
 5.625% 1/15/28 (d)
 
1,625,000
1,519,213
 5.75% 3/1/27 (d)
 
596,000
576,129
Turning Point Brands, Inc. 5.625% 2/15/26 (d)
 
100,000
87,418
U.S. Foods, Inc. 6.25% 4/15/25 (d)
 
1,275,000
1,268,868
United Natural Foods, Inc. 6.75% 10/15/28 (d)
 
95,000
91,758
 
 
 
3,543,386
Gaming - 4.9%
 
 
 
Affinity Gaming LLC 6.875% 12/15/27 (d)
 
1,030,000
859,795
Caesars Entertainment, Inc.:
 
 
 
 6.25% 7/1/25 (d)
 
4,950,000
4,829,874
 8.125% 7/1/27 (d)
 
900,000
875,250
Caesars Resort Collection LLC 5.75% 7/1/25 (d)
 
495,000
483,506
Carnival Corp. 10.5% 6/1/30 (d)
 
245,000
189,875
Golden Entertainment, Inc. 7.625% 4/15/26 (d)
 
500,000
491,250
International Game Technology PLC 4.125% 4/15/26 (d)
 
2,200,000
2,041,600
Melco Resorts Finance Ltd. 5.25% 4/26/26 (d)
 
200,000
126,953
MGM Resorts International 6% 3/15/23
 
1,000,000
999,499
Raptor Acquisition Corp. / Raptor Co-Issuer LLC 4.875% 11/1/26 (d)
 
95,000
83,838
Studio City Finance Ltd. 5% 1/15/29 (d)
 
225,000
93,263
VICI Properties LP / VICI Note Co.:
 
 
 
 3.5% 2/15/25 (d)
 
3,715,000
3,454,860
 4.625% 6/15/25 (d)
 
300,000
281,162
 5.625% 5/1/24 (d)
 
1,000,000
987,260
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.:
 
 
 
 4.25% 5/30/23 (d)
 
500,000
492,500
 5.5% 3/1/25 (d)
 
2,800,000
2,650,144
 
 
 
18,940,629
Healthcare - 5.4%
 
 
 
1375209 BC Ltd. 9% 1/30/28 (d)
 
562,000
543,735
Bausch Health Companies, Inc.:
 
 
 
 11% 9/30/28 (d)
 
2,000,000
1,540,000
 14% 10/15/30 (d)
 
197,000
112,783
Community Health Systems, Inc.:
 
 
 
 5.625% 3/15/27 (d)
 
6,050,000
4,821,064
 6.875% 4/15/29 (d)
 
120,000
48,288
HCA Holdings, Inc. 5.875% 2/15/26
 
1,750,000
1,733,102
IQVIA, Inc. 5% 5/15/27 (d)
 
4,500,000
4,287,960
Owens & Minor, Inc. 4.5% 3/31/29 (d)
 
65,000
50,333
RP Escrow Issuer LLC 5.25% 12/15/25 (d)
 
200,000
149,548
Surgery Center Holdings, Inc. 6.75% 7/1/25 (d)
 
1,755,000
1,649,882
Tenet Healthcare Corp.:
 
 
 
 4.625% 7/15/24
 
86,000
83,850
 5.125% 11/1/27 (d)
 
6,200,000
5,711,750
 
 
 
20,732,295
Homebuilders/Real Estate - 2.3%
 
 
 
Brookfield Property REIT, Inc./BPR Nimbus LLC/BPR Cumulus LLC/GGSI Sellco LLC 5.75% 5/15/26 (d)
 
250,000
232,048
MPT Operating Partnership LP/MPT Finance Corp. 5.25% 8/1/26
 
4,000,000
3,607,680
Railworks Holdings LP 8.25% 11/15/28 (d)
 
230,000
211,379
Service Properties Trust:
 
 
 
 4.35% 10/1/24
 
400,000
367,312
 7.5% 9/15/25
 
3,000,000
2,925,000
Starwood Property Trust, Inc. 4.75% 3/15/25
 
1,500,000
1,405,269
 
 
 
8,748,688
Insurance - 0.3%
 
 
 
Acrisure LLC / Acrisure Finance, Inc. 7% 11/15/25 (d)
 
1,020,000
958,697
Alliant Holdings Intermediate LLC 6.75% 10/15/27 (d)
 
30,000
27,375
Enact Holdings, Inc. 6.5% 8/15/25 (d)
 
200,000
197,020
 
 
 
1,183,092
Leisure - 2.5%
 
 
 
Carnival Corp. 7.625% 3/1/26 (d)
 
4,900,000
3,684,555
NCL Corp. Ltd.:
 
 
 
 5.875% 3/15/26 (d)
 
400,000
327,500
 5.875% 2/15/27 (d)
 
2,025,000
1,809,844
Royal Caribbean Cruises Ltd.:
 
 
 
 5.375% 7/15/27 (d)
 
120,000
93,278
 5.5% 8/31/26 (d)
 
885,000
723,576
 11.625% 8/15/27 (d)
 
1,500,000
1,458,300
Six Flags Entertainment Corp. 5.5% 4/15/27 (d)
 
1,500,000
1,350,000
Viking Cruises Ltd. 13% 5/15/25 (d)
 
235,000
252,625
 
 
 
9,699,678
Metals/Mining - 2.3%
 
 
 
First Quantum Minerals Ltd. 6.875% 3/1/26 (d)
 
2,610,000
2,442,738
Howmet Aerospace, Inc.:
 
 
 
 5.125% 10/1/24
 
250,000
246,875
 6.875% 5/1/25
 
3,708,000
3,774,188
HudBay Minerals, Inc. 4.5% 4/1/26 (d)
 
1,055,000
925,515
Novelis Corp. 3.25% 11/15/26 (d)
 
1,650,000
1,444,141
 
 
 
8,833,457
Paper - 0.0%
 
 
 
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC 6% 6/15/27 (d)
 
200,000
191,914
Restaurants - 1.0%
 
 
 
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:
 
 
 
 3.875% 1/15/28 (d)
 
1,800,000
1,582,065
 5.75% 4/15/25 (d)
 
1,000,000
996,250
Garden SpinCo Corp. 8.625% 7/20/30 (d)
 
55,000
56,571
Yum! Brands, Inc. 3.875% 11/1/23
 
1,225,000
1,203,563
 
 
 
3,838,449
Services - 2.7%
 
 
 
Aramark Services, Inc. 5% 4/1/25 (d)
 
2,800,000
2,706,741
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (d)
 
806,000
579,487
CoreCivic, Inc.:
 
 
 
 4.75% 10/15/27
 
35,000
29,042
 8.25% 4/15/26
 
250,000
253,656
Diebold Nixdorf, Inc. 9.375% 7/15/25 (d)
 
100,000
74,370
Life Time, Inc. 5.75% 1/15/26 (d)
 
1,125,000
1,046,250
PowerTeam Services LLC 9.033% 12/4/25 (d)
 
120,000
100,279
Prime Securities Services Borrower LLC/Prime Finance, Inc. 5.75% 4/15/26 (d)
 
2,350,000
2,287,371
Sabre GLBL, Inc. 7.375% 9/1/25 (d)
 
2,200,000
2,065,096
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d)
 
1,240,000
1,156,261
 
 
 
10,298,553
Steel - 0.0%
 
 
 
Infrabuild Australia Pty Ltd. 12% 10/1/24 (d)
 
150,000
139,125
Super Retail - 2.1%
 
 
 
At Home Group, Inc. 4.875% 7/15/28 (d)
 
60,000
43,623
Carvana Co. 5.5% 4/15/27 (d)
 
200,000
95,046
EG Global Finance PLC:
 
 
 
 6.75% 2/7/25 (d)
 
3,700,000
3,330,000
 8.5% 10/30/25 (d)
 
800,000
738,964
Hanesbrands, Inc. 4.875% 5/15/26 (d)
 
2,400,000
2,202,000
Rent-A-Center, Inc. 6.375% 2/15/29 (d)
 
30,000
23,371
Staples, Inc. 7.5% 4/15/26 (d)
 
1,900,000
1,650,302
 
 
 
8,083,306
Technology - 2.3%
 
 
 
Camelot Finance SA 4.5% 11/1/26 (d)
 
2,600,000
2,429,788
CommScope, Inc. 6% 3/1/26 (d)
 
2,100,000
2,025,559
MicroStrategy, Inc. 6.125% 6/15/28 (d)
 
85,000
72,834
MoneyGram International, Inc. 5.375% 8/1/26 (d)
 
250,000
245,513
Sensata Technologies BV 5% 10/1/25 (d)
 
2,300,000
2,228,474
Uber Technologies, Inc. 7.5% 9/15/27 (d)
 
1,500,000
1,499,653
Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (d)
 
400,000
336,672
Virtusa Corp. 7.125% 12/15/28 (d)
 
50,000
35,866
 
 
 
8,874,359
Telecommunications - 8.0%
 
 
 
Altice France SA 8.125% 2/1/27 (d)
 
3,410,000
3,124,413
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d)
 
25,000
21,625
Cogent Communications Group, Inc. 7% 6/15/27 (d)
 
1,800,000
1,708,915
Consolidated Communications, Inc. 5% 10/1/28 (d)
 
1,060,000
821,346
Lumen Technologies, Inc.:
 
 
 
 4% 2/15/27 (d)
 
4,000,000
3,400,800
 5.125% 12/15/26 (d)
 
1,000,000
856,250
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 4.75% 4/30/27 (d)
 
95,000
85,399
Sable International Finance Ltd. 5.75% 9/7/27 (d)
 
2,402,000
2,116,763
Sabre GLBL, Inc. 9.25% 4/15/25 (d)
 
200,000
193,679
SBA Communications Corp. 3.875% 2/15/27
 
3,200,000
2,880,000
Sprint Corp. 7.875% 9/15/23
 
2,280,000
2,317,399
T-Mobile U.S.A., Inc.:
 
 
 
 2.25% 2/15/26
 
3,810,000
3,429,114
 2.625% 4/15/26
 
320,000
288,790
Telecom Italia SpA 5.303% 5/30/24 (d)
 
2,150,000
2,022,656
Uniti Group, Inc. 7.875% 2/15/25 (d)
 
4,705,000
4,657,974
Windstream Escrow LLC 7.75% 8/15/28 (d)
 
570,000
493,221
Zayo Group Holdings, Inc. 4% 3/1/27 (d)
 
3,200,000
2,472,000
 
 
 
30,890,344
Transportation Ex Air/Rail - 0.0%
 
 
 
Great Lakes Dredge & Dock Corp. 5.25% 6/1/29 (d)
 
70,000
55,353
Utilities - 2.1%
 
 
 
Global Partners LP/GLP Finance Corp. 7% 8/1/27
 
2,157,000
2,050,621
InterGen NV 7% 6/30/23 (d)
 
200,000
195,750
NextEra Energy Partners LP:
 
 
 
 4.25% 7/15/24 (d)
 
1,500,000
1,454,280
 4.25% 9/15/24 (d)
 
41,000
38,584
PG&E Corp. 5% 7/1/28
 
1,210,000
1,090,567
Solaris Midstream Holdings LLC 7.625% 4/1/26 (d)
 
120,000
114,300
Vistra Operations Co. LLC:
 
 
 
 5% 7/31/27 (d)
 
225,000
207,563
 5.625% 2/15/27 (d)
 
3,005,000
2,864,606
 
 
 
8,016,271
TOTAL NONCONVERTIBLE BONDS
 
 
291,667,482
 
TOTAL CORPORATE BONDS
  (Cost $302,382,306)
 
 
 
295,487,154
 
 
 
 
Common Stocks - 0.1%
 
 
Shares
Value ($)
 
Diversified Financial Services - 0.0%
 
 
 
Lime Tree Bay Ltd. (c)
 
80
2,698
Energy - 0.0%
 
 
 
California Resources Corp. warrants 10/27/24 (g)
 
2
28
Forbes Energy Services Ltd. (c)(g)
 
6,468
0
Mesquite Energy, Inc. (c)(g)
 
1,922
106,555
TOTAL ENERGY
 
 
106,583
Utilities - 0.1%
 
 
 
EQT Corp.
 
3,400
142,256
 
TOTAL COMMON STOCKS
  (Cost $479,224)
 
 
 
251,537
 
 
 
 
Bank Loan Obligations - 11.2%
 
 
Principal
Amount (a)
 
Value ($)
 
Broadcasting - 0.6%
 
 
 
Diamond Sports Group LLC 2LN, term loan CME Term SOFR 1 Month Index + 3.250% 6.458% 8/24/26 (h)(i)(j)
 
197,490
38,313
Univision Communications, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.0039% 1/31/29 (h)(i)(j)
 
2,359,700
2,262,362
TOTAL BROADCASTING
 
 
2,300,675
Building Materials - 1.0%
 
 
 
Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 7.3247% 5/17/28 (h)(i)(j)
 
1,682,688
1,167,011
Oscar AcquisitionCo LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 8.1532% 4/29/29 (h)(i)(j)
 
500,000
451,305
SRS Distribution, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 6/4/28 (h)(i)(j)
 
2,348,504
2,178,238
TOTAL BUILDING MATERIALS
 
 
3,796,554
Chemicals - 0.5%
 
 
 
Consolidated Energy Finance SA Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.3633% 5/7/25 (c)(h)(i)(j)
 
286,375
272,056
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.4375% 11/9/28 (h)(i)(j)
 
29,775
27,063
SCIH Salt Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 8.4147% 3/16/27 (h)(i)(j)
 
32,476
30,497
W.R. Grace Holding LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 7.4375% 9/22/28 (h)(i)(j)
 
1,524,813
1,461,441
TOTAL CHEMICALS
 
 
1,791,057
Consumer Products - 0.0%
 
 
 
Conair Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.4241% 5/17/28 (h)(i)(j)
 
24,750
20,708
Diamond BC BV Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 7.1631% 9/29/28 (h)(i)(j)
 
19,850
18,525
TKC Holdings, Inc. 1LN, term loan 12% 2/14/27 (h)(j)
 
200,000
170,000
TOTAL CONSUMER PRODUCTS
 
 
209,233
Diversified Financial Services - 0.6%
 
 
 
Broadstreet Partners, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.0039% 1/27/27 (h)(i)(j)
 
344,697
329,130
Hightower Holding LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 8.2776% 4/21/28 (h)(i)(j)
 
2,309,900
2,136,658
TOTAL DIVERSIFIED FINANCIAL SERVICES
 
 
2,465,788
Energy - 0.0%
 
 
 
DT Midstream, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.000% 5.8125% 6/12/28 (h)(i)(j)
 
15,973
15,971
Forbes Energy Services LLC Tranche B, term loan 0% 12/31/49 (c)(e)(h)(j)
 
60,604
0
Mesquite Energy, Inc.:
 
 
 
 1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (c)(e)(i)(j)
 
35,876
0
 term loan 3 month U.S. LIBOR + 0.000% 0% (c)(e)(i)(j)
 
15,000
0
TOTAL ENERGY
 
 
15,971
Environmental - 0.2%
 
 
 
LRS Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 8.0039% 6/28/28 (h)(i)(j)
 
694,750
663,486
Food/Beverage/Tobacco - 0.0%
 
 
 
Triton Water Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.1741% 3/31/28 (h)(i)(j)
 
54,313
48,142
Gaming - 0.5%
 
 
 
Fertitta Entertainment LLC NV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 7.7287% 1/27/29 (h)(i)(j)
 
322,458
301,820
Golden Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 6.6% 10/20/24 (h)(i)(j)
 
1,736,501
1,719,136
TOTAL GAMING
 
 
2,020,956
Healthcare - 0.7%
 
 
 
Confluent Health LLC:
 
 
 
 Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.7539% 11/30/28 (h)(i)(j)
 
12,283
11,009
 Tranche DD 1LN, term loan 1 month U.S. LIBOR + 4.000% 5.3383% 11/30/28 (h)(i)(j)(k)
 
2,655
2,379
Insulet Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.0039% 5/4/28 (h)(i)(j)
 
19,750
19,281
Jazz Financing Lux SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 5/5/28 (h)(i)(j)
 
48,990
48,347
Medical Solutions Holdings, Inc.:
 
 
 
 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.3769% 11/1/28 (h)(i)(j)
 
343,100
330,234
 Tranche DD 1LN, term loan 1 month U.S. LIBOR + 3.250% 11/1/28 (i)(j)(k)
 
55,200
53,130
Mozart Borrower LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.0039% 10/23/28 (h)(i)(j)
 
114,425
105,080
Organon & Co. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.1875% 6/2/28 (h)(i)(j)
 
1,621,008
1,578,457
Packaging Coordinators Midco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 7.4241% 11/30/27 (h)(i)(j)
 
14,849
14,325
Phoenix Newco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.0039% 11/15/28 (h)(i)(j)
 
59,700
57,409
RadNet Management, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.7539% 4/23/28 (h)(i)(j)
 
345,625
334,824
U.S. Anesthesia Partners, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 7.3779% 10/1/28 (h)(i)(j)
 
29,700
28,141
TOTAL HEALTHCARE
 
 
2,582,616
Hotels - 0.0%
 
 
 
Hilton Grand Vacations Borrower LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.7539% 8/2/28 (h)(i)(j)
 
49,500
48,696
Insurance - 0.8%
 
 
 
Alliant Holdings Intermediate LLC:
 
 
 
 Tranche B, term loan 1 month U.S. LIBOR + 3.250% 7.0039% 5/10/25 (h)(i)(j)
 
295,373
286,559
 Tranche B3 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.9799% 11/12/27 (h)(i)(j)
 
1,603,950
1,546,946
AssuredPartners, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 2/13/27 (h)(i)(j)
 
1,344,684
1,280,811
TOTAL INSURANCE
 
 
3,114,316
Leisure - 0.1%
 
 
 
Hayward Industries, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 6.2539% 5/28/28 (h)(i)(j)
 
395,000
370,561
MajorDrive Holdings IV LLC 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.125% 5/12/28 (h)(i)(j)
 
24,688
22,686
TOTAL LEISURE
 
 
393,247
Paper - 0.4%
 
 
 
Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.170% 8.0037% 4/13/29 (h)(i)(j)
 
1,579,800
1,519,452
Services - 1.6%
 
 
 
ABG Intermediate Holdings 2 LLC Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 3.500% 7.3287% 12/21/28 (h)(i)(j)
 
49,875
47,818
Allied Universal Holdco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.5039% 5/14/28 (h)(i)(j)
 
2,269,800
2,055,599
Ascend Learning LLC:
 
 
 
 2LN, term loan 1 month U.S. LIBOR + 5.750% 9.5039% 12/10/29 (h)(i)(j)
 
20,000
16,925
 Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 12/10/28 (h)(i)(j)
 
2,433,613
2,227,437
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 8.493% 6/21/24 (h)(i)(j)
 
1,500,000
1,294,695
CHG Healthcare Services, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.0039% 9/30/28 (h)(i)(j)
 
14,850
14,389
CoreLogic, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.3125% 6/2/28 (h)(i)(j)
 
49,500
36,369
Spin Holdco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.1441% 3/4/28 (h)(i)(j)
 
638,625
560,662
TOTAL SERVICES
 
 
6,253,894
Super Retail - 0.9%
 
 
 
Bass Pro Group LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.5039% 3/5/28 (h)(i)(j)
 
3,138,030
2,948,179
Empire Today LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.000% 8.3003% 4/1/28 (h)(i)(j)
 
494,987
363,816
TOTAL SUPER RETAIL
 
 
3,311,995
Technology - 0.9%
 
 
 
Acuris Finance U.S., Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 7.7032% 2/16/28 (h)(i)(j)
 
10,156
9,915
Aptean, Inc. 2LN, term loan 1 month U.S. LIBOR + 7.000% 10.0696% 4/23/27 (h)(i)(j)
 
200,000
183,000
Athenahealth Group, Inc.:
 
 
 
 Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 6.9671% 2/15/29 (h)(i)(j)
 
2,255,859
2,056,599
 Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 2/15/29 (i)(j)(k)
 
383,307
349,450
DG Investment Intermediate Holdings, Inc.:
 
 
 
 2LN, term loan 1 month U.S. LIBOR + 6.750% 10.5039% 3/31/29 (h)(i)(j)
 
80,000
74,400
 Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.5039% 3/31/28 (h)(i)(j)
 
14,813
13,969
Electro Rent Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 9.2776% 1/31/24 (h)(i)(j)
 
393,734
369,125
Maverick Bidco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.1647% 5/18/28 (h)(i)(j)
 
297,019
280,683
Park Place Technologies LLC 1LN, term loan 1 month U.S. LIBOR + 5.000% 8.8287% 11/10/27 (h)(i)(j)
 
344,750
326,220
TOTAL TECHNOLOGY
 
 
3,663,361
Telecommunications - 1.0%
 
 
 
Cablevision Lightpath LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.6621% 11/30/27 (h)(i)(j)
 
1,343,860
1,309,591
Consolidated Communications, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.25% 10/2/27 (h)(i)(j)
 
700,000
582,967
Intelsat Jackson Holdings SA 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 7.4449% 2/1/29 (h)(i)(j)
 
1,427,628
1,373,207
Northwest Fiber LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.9766% 4/30/27 (h)(i)(j)
 
152,675
147,255
Windstream Services LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 6.250% 10.0039% 9/21/27 (h)(i)(j)
 
344,634
308,234
TOTAL TELECOMMUNICATIONS
 
 
3,721,254
Textiles/Apparel - 0.1%
 
 
 
Tory Burch LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.7539% 4/14/28 (h)(i)(j)
 
296,250
270,236
Utilities - 1.3%
 
 
 
Brookfield WEC Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 7.4787% 8/1/25 (h)(i)(j)
 
1,620,000
1,607,089
Limetree Bay Terminals LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 8.8148% 2/15/24 (h)(i)(j)
 
458,588
313,940
PG&E Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.8125% 6/23/25 (h)(i)(j)
 
3,024,560
2,970,874
TOTAL UTILITIES
 
 
4,891,903
 
TOTAL BANK LOAN OBLIGATIONS
  (Cost $44,441,051)
 
 
 
43,082,832
 
 
 
 
Money Market Funds - 17.0%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 3.10% (l)
 
  (Cost $65,575,673)
 
 
65,562,600
65,575,712
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 105.1%
  (Cost $412,878,254)
 
 
 
404,397,235
NET OTHER ASSETS (LIABILITIES) - (5.1)%  
(19,552,665)
NET ASSETS - 100.0%
384,844,570
 
 
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues).  At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $245,352 or 0.1% of net assets.
 
(c)
Level 3 security
 
(d)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $205,200,044 or 53.3% of net assets.
 
(e)
Non-income producing - Security is in default.
 
(f)
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.
 
(g)
Non-income producing
 
(h)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(i)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(j)
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.
 
(k)
Position or a portion of the position represents an unfunded loan commitment.  At period end, the total principal amount and market value of unfunded commitments totaled $440,205 and $404,102, respectively.
 
(l)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
 
 
Additional information on each restricted holding is as follows:
Security
Acquisition Date
Acquisition Cost ($)
 
Mesquite Energy, Inc. 15% 7/15/23
7/10/20 - 1/18/22
15,159
 
 
 
Mesquite Energy, Inc. 15% 7/15/23
11/05/20 - 1/18/22
26,231
 
 
 
 
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
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 3.10%
6,370,650
306,512,727
247,307,665
148,634
-
-
65,575,712
0.1%
Total
6,370,650
306,512,727
247,307,665
148,634
-
-
65,575,712
 
 
 
 
 
 
 
 
 
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of October 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
  Investments in Securities:
 
 
 
 
 Equities:
 
 
 
 
Energy
248,839
142,284
-
106,555
Financials
2,698
-
-
2,698
 Corporate Bonds
295,487,154
-
295,241,802
245,352
 Bank Loan Obligations
43,082,832
-
42,810,776
272,056
  Money Market Funds
65,575,712
65,575,712
-
-
 Total Investments in Securities:
404,397,235
65,717,996
338,052,578
626,661
Financial Statements   (Unaudited)
Statement of Assets and Liabilities
 
 
 
October 31, 2022
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $347,302,581)
 
$338,821,523
 
 
Fidelity Central Funds (cost $65,575,673)
 
65,575,712
 
 
 
 
 
 
 
Total Investment in Securities (cost $412,878,254)
 
 
$
404,397,235
Cash
 
 
 
356,933
Receivable for investments sold
 
 
 
27,435
Receivable for fund shares sold
 
 
 
11,632,983
Interest receivable
 
 
 
4,760,810
Distributions receivable from Fidelity Central Funds
 
 
 
94,050
Prepaid expenses
 
 
 
185
Receivable from investment adviser for expense reductions
 
 
 
44,522
  Total assets
 
 
 
421,314,153
Liabilities
 
 
 
 
Payable for investments purchased
 
$36,190,053
 
 
Payable for fund shares redeemed
 
51,421
 
 
Distributions payable
 
76,061
 
 
Accrued management fee
 
78,998
 
 
Distribution and service plan fees payable
 
7,457
 
 
Other affiliated payables
 
25,810
 
 
Other payables and accrued expenses
 
39,783
 
 
  Total Liabilities
 
 
 
36,469,583
Net Assets  
 
 
$
384,844,570
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
402,967,818
Total accumulated earnings (loss)
 
 
 
(18,123,248)
Net Assets
 
 
$
384,844,570
 
 
 
 
 
Net Asset Value and Maximum Offering Price
 
 
 
 
Class A :
 
 
 
 
Net Asset Value and redemption price per share ($21,740,730 ÷ 2,547,170 shares) (a)
 
 
$
8.54
Maximum offering price per share (100/96.00 of $8.54)
 
 
$
8.90
Class M :
 
 
 
 
Net Asset Value and redemption price per share ($2,526,948 ÷ 296,090 shares) (a)
 
 
$
8.53
Maximum offering price per share (100/96.00 of $8.53)
 
 
$
8.89
Class C :
 
 
 
 
Net Asset Value and offering price per share ($2,979,204 ÷ 348,997 shares) (a)
 
 
$
8.54
Short Duration High Income :
 
 
 
 
Net Asset Value , offering price and redemption price per share ($341,841,376 ÷ 40,048,117 shares)
 
 
$
8.54
Class I :
 
 
 
 
Net Asset Value , offering price and redemption price per share ($5,296,205 ÷ 620,447 shares)
 
 
$
8.54
Class Z :
 
 
 
 
Net Asset Value , offering price and redemption price per share ($10,460,107 ÷ 1,224,986 shares)
 
 
$
8.54
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
 
 
 
Six months ended
October 31, 2022
(Unaudited)
Investment Income
 
 
 
 
Dividends
 
 
$
510
Interest  
 
 
3,363,015
Income from Fidelity Central Funds  
 
 
 
148,634
 Total Income
 
 
 
3,512,159
Expenses
 
 
 
 
Management fee
$
356,866
 
 
Transfer agent fees
 
76,428
 
 
Distribution and service plan fees
 
46,949
 
 
Accounting fees and expenses
 
26,659
 
 
Custodian fees and expenses
 
5,096
 
 
Independent trustees' fees and expenses
 
208
 
 
Registration fees
 
81,711
 
 
Audit
 
34,540
 
 
Legal
 
6,717
 
 
Miscellaneous
 
327
 
 
 Total expenses before reductions
 
635,501
 
 
 Expense reductions
 
(94,733)
 
 
 Total expenses after reductions
 
 
 
540,768
Net Investment income (loss)
 
 
 
2,971,391
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
(1,965,028)
 
 
Total net realized gain (loss)
 
 
 
(1,965,028)
Change in net unrealized appreciation (depreciation) on investment securities
 
 
 
(2,462,650)
Net gain (loss)
 
 
 
(4,427,678)
Net increase (decrease) in net assets resulting from operations
 
 
$
(1,456,287)
Statement of Changes in Net Assets
 
 
Six months ended
October 31, 2022
(Unaudited)
 
Year ended
April 30, 2022
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
2,971,391
$
4,424,773
Net realized gain (loss)
 
(1,965,028)
 
 
118,598
 
Change in net unrealized appreciation (depreciation)
 
(2,462,650)
 
(7,771,418)
 
Net increase (decrease) in net assets resulting from operations
 
(1,456,287)
 
 
(3,228,047)
 
Distributions to shareholders
 
(2,713,986)
 
 
(4,340,504)
 
Share transactions - net increase (decrease)
 
261,515,211
 
 
19,732,716
 
Total increase (decrease) in net assets
 
257,344,938
 
 
12,164,165
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
127,499,632
 
115,335,467
 
End of period
$
384,844,570
$
127,499,632
 
 
 
 
 
 
 
 
 
 
 
 
Financial Highlights
Fidelity Advisor® Short Duration High Income Fund Class A
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019  
 
2018    
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
8.98
$
9.52
$
8.87
$
9.44
$
9.42
$
9.57
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
 
.190
 
.307
 
.300
 
.348
 
.409
 
.381
     Net realized and unrealized gain (loss)
 
(.457)
 
(.546)
 
.651
 
(.571)
 
.004
 
(.159)
  Total from investment operations
 
(.267)  
 
(.239)  
 
.951  
 
(.223)  
 
.413
 
.222
  Distributions from net investment income
 
(.173)
 
(.301)
 
(.301)
 
(.347)
 
(.393)
 
(.373)
     Total distributions
 
(.173)
 
(.301)
 
(.301)
 
(.347)
 
(.393)
 
(.373)
  Redemption fees added to paid in capital A
 
-
 
-
 
-
 
-
 
-
 
.001
  Net asset value, end of period
$
8.54
$
8.98
$
9.52
$
8.87
$
9.44
$
9.42
 Total Return   C,D,E
 
(2.98)%
 
(2.60)%
 
10.83%
 
(2.47)%
 
4.52%
 
2.36%
 Ratios to Average Net Assets B,F,G
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
1.17% H
 
1.13%
 
1.15%
 
1.15%
 
1.15%
 
1.16%
    Expenses net of fee waivers, if any
 
1.01% H
 
1.01%
 
1.05%
 
1.05%
 
1.05%
 
1.05%
    Expenses net of all reductions
 
1.01% H
 
1.01%
 
1.05%
 
1.05%
 
1.05%
 
1.05%
    Net investment income (loss)
 
4.35% H
 
3.27%
 
3.21%
 
3.74%
 
4.37%
 
4.00%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
21,741
$
22,554
$
17,126
$
12,603
$
15,050
$
12,351
    Portfolio turnover rate I
 
25% H
 
42%
 
74%
 
77%
 
33%
 
65%
 
A Calculated based on average shares outstanding during the period.
 
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
C Total returns for periods of less than one year are not annualized.
 
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
E Total returns do not include the effect of the sales charges.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity Advisor® Short Duration High Income Fund Class M
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019  
 
2018    
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
8.98
$
9.52
$
8.86
$
9.44
$
9.42
$
9.57
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
 
.190
 
.307
 
.300
 
.348
 
.408
 
.382
     Net realized and unrealized gain (loss)
 
(.467)
 
(.546)
 
.661
 
(.581)
 
.005
 
(.160)
  Total from investment operations
 
(.277)  
 
(.239)  
 
.961  
 
(.233)  
 
.413
 
.222
  Distributions from net investment income
 
(.173)
 
(.301)
 
(.301)
 
(.347)
 
(.393)
 
(.373)
     Total distributions
 
(.173)
 
(.301)
 
(.301)
 
(.347)
 
(.393)
 
(.373)
  Redemption fees added to paid in capital A
 
-
 
-
 
-
 
-
 
-
 
.001
  Net asset value, end of period
$
8.53
$
8.98
$
9.52
$
8.86
$
9.44
$
9.42
 Total Return   C,D,E
 
(3.09)%
 
(2.60)%
 
10.96%
 
(2.58)%
 
4.52%
 
2.36%
 Ratios to Average Net Assets B,F,G
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
1.17% H
 
1.13%
 
1.17%
 
1.16%
 
1.16%
 
1.16%
    Expenses net of fee waivers, if any
 
1.01% H
 
1.01%
 
1.05%
 
1.05%
 
1.05%
 
1.05%
    Expenses net of all reductions
 
1.01% H
 
1.01%
 
1.05%
 
1.05%
 
1.05%
 
1.05%
    Net investment income (loss)
 
4.35% H
 
3.27%
 
3.21%
 
3.74%
 
4.37%
 
4.00%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
2,527
$
2,812
$
2,289
$
2,106
$
2,537
$
2,081
    Portfolio turnover rate I
 
25% H
 
42%
 
74%
 
77%
 
33%
 
65%
 
A Calculated based on average shares outstanding during the period.
 
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
C Total returns for periods of less than one year are not annualized.
 
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
E Total returns do not include the effect of the sales charges.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity Advisor® Short Duration High Income Fund Class C
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019  
 
2018    
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
8.98
$
9.52
$
8.87
$
9.44
$
9.42
$
9.57
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
 
.158
 
.237
 
.230
 
.278
 
.338
 
.310
     Net realized and unrealized gain (loss)
 
(.458)
 
(.546)
 
.651
 
(.571)
 
.005
 
(.159)
  Total from investment operations
 
(.300)  
 
(.309)  
 
.881  
 
(.293)  
 
.343
 
.151
  Distributions from net investment income
 
(.140)
 
(.231)
 
(.231)
 
(.277)
 
(.323)
 
(.302)
     Total distributions
 
(.140)
 
(.231)
 
(.231)
 
(.277)
 
(.323)
 
(.302)
  Redemption fees added to paid in capital A
 
-
 
-
 
-
 
-
 
-
 
.001
  Net asset value, end of period
$
8.54
$
8.98
$
9.52
$
8.87
$
9.44
$
9.42
 Total Return   C,D,E
 
(3.34)%
 
(3.33)%
 
10.01%
 
(3.20)%
 
3.74%
 
1.59%
 Ratios to Average Net Assets B,F,G
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
1.95% H
 
1.91%
 
1.94%
 
1.93%
 
1.92%
 
1.93%
    Expenses net of fee waivers, if any
 
1.76% H
 
1.76%
 
1.80%
 
1.80%
 
1.80%
 
1.80%
    Expenses net of all reductions
 
1.76% H
 
1.76%
 
1.80%
 
1.80%
 
1.80%
 
1.80%
    Net investment income (loss)
 
3.60% H
 
2.52%
 
2.46%
 
2.99%
 
3.61%
 
3.25%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
2,979
$
3,884
$
4,018
$
4,017
$
4,541
$
5,146
    Portfolio turnover rate I
 
25% H
 
42%
 
74%
 
77%
 
33%
 
65%
 
A Calculated based on average shares outstanding during the period.
 
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
C Total returns for periods of less than one year are not annualized.
 
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
E Total returns do not include the effect of the contingent deferred sales charge.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity® Short Duration High Income Fund
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019  
 
2018    
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
8.98
$
9.52
$
8.87
$
9.44
$
9.42
$
9.57
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
 
.196
 
.331
 
.323
 
.372
 
.431
 
.405
     Net realized and unrealized gain (loss)
 
(.452)
 
(.546)
 
.651
 
(.572)
 
.006
 
(.159)
  Total from investment operations
 
(.256)  
 
(.215)  
 
.974  
 
(.200)  
 
.437
 
.246
  Distributions from net investment income
 
(.184)
 
(.325)
 
(.324)
 
(.370)
 
(.417)
 
(.397)
     Total distributions
 
(.184)
 
(.325)
 
(.324)
 
(.370)
 
(.417)
 
(.397)
  Redemption fees added to paid in capital A
 
-
 
-
 
-
 
-
 
-
 
.001
  Net asset value, end of period
$
8.54
$
8.98
$
9.52
$
8.87
$
9.44
$
9.42
 Total Return   C,D
 
(2.85)%
 
(2.35)%
 
11.11%
 
(2.23)%
 
4.78%
 
2.61%
 Ratios to Average Net Assets B,E,F
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.89% G
 
.83%
 
.87%
 
.86%
 
.86%
 
.86%
    Expenses net of fee waivers, if any
 
.76% G
 
.75%
 
.80%
 
.80%
 
.80%
 
.80%
    Expenses net of all reductions
 
.76% G
 
.75%
 
.80%
 
.80%
 
.80%
 
.80%
    Net investment income (loss)
 
4.60% G
 
3.52%
 
3.46%
 
3.99%
 
4.61%
 
4.25%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
341,841
$
87,949
$
83,066
$
63,703
$
88,429
$
83,652
    Portfolio turnover rate H
 
25% G
 
42%
 
74%
 
77%
 
33%
 
65%
 
A Calculated based on average shares outstanding during the period.
 
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
C Total returns for periods of less than one year are not annualized.
 
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
E Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
G Annualized
 
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity Advisor® Short Duration High Income Fund Class I
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019  
 
2018    
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
8.98
$
9.52
$
8.87
$
9.44
$
9.42
$
9.57
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
 
.201
 
.331
 
.323
 
.372
 
.430
 
.406
     Net realized and unrealized gain (loss)
 
(.457)
 
(.546)
 
.651
 
(.572)
 
.007
 
(.160)
  Total from investment operations
 
(.256)  
 
(.215)  
 
.974  
 
(.200)  
 
.437
 
.246
  Distributions from net investment income
 
(.184)
 
(.325)
 
(.324)
 
(.370)
 
(.417)
 
(.397)
     Total distributions
 
(.184)
 
(.325)
 
(.324)
 
(.370)
 
(.417)
 
(.397)
  Redemption fees added to paid in capital A
 
-
 
-
 
-
 
-
 
-
 
.001
  Net asset value, end of period
$
8.54
$
8.98
$
9.52
$
8.87
$
9.44
$
9.42
 Total Return   C,D
 
(2.85)%
 
(2.35)%
 
11.11%
 
(2.23)%
 
4.78%
 
2.61%
 Ratios to Average Net Assets B,E,F
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.92% G
 
.88%
 
.92%
 
.89%
 
.89%
 
.91%
    Expenses net of fee waivers, if any
 
.76% G
 
.76%
 
.80%
 
.80%
 
.80%
 
.80%
    Expenses net of all reductions
 
.76% G
 
.76%
 
.80%
 
.80%
 
.80%
 
.80%
    Net investment income (loss)
 
4.60% G
 
3.52%
 
3.46%
 
3.99%
 
4.60%
 
4.25%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
5,296
$
5,055
$
5,023
$
3,950
$
4,060
$
4,686
    Portfolio turnover rate H
 
25% G
 
42%
 
74%
 
77%
 
33%
 
65%
 
A Calculated based on average shares outstanding during the period.
 
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
C Total returns for periods of less than one year are not annualized.
 
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
E Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
G Annualized
 
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity Advisor® Short Duration High Income Fund Class Z
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019   A
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
8.98
$
9.52
$
8.87
$
9.45
$
9.46
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.203
 
.339
 
.331
 
.378
 
.261
     Net realized and unrealized gain (loss)
 
(.455)
 
(.546)
 
.652
 
(.579)
 
(.016)
  Total from investment operations
 
(.252)  
 
(.207)  
 
.983  
 
(.201)  
 
.245
  Distributions from net investment income
 
(.188)
 
(.333)
 
(.333)
 
(.379)
 
(.255)
     Total distributions
 
(.188)
 
(.333)
 
(.333)
 
(.379)
 
(.255)
  Net asset value, end of period
$
8.54
$
8.98
$
9.52
$
8.87
$
9.45
 Total Return   D,E
 
(2.81)%
 
(2.27)%
 
11.21%
 
(2.24)%
 
2.67%
 Ratios to Average Net Assets C,F,G
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.84% H
 
.78%
 
.80%
 
.80%
 
.82% H
    Expenses net of fee waivers, if any
 
.67% H
 
.66%
 
.71%
 
.71%
 
.71% H
    Expenses net of all reductions
 
.67% H
 
.66%
 
.71%
 
.71%
 
.71% H
    Net investment income (loss)
 
4.69% H
 
3.61%
 
3.55%
 
4.08%
 
4.86% H
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
10,460
$
5,246
$
3,815
$
2,031
$
425
    Portfolio turnover rate I
 
25% H
 
42%
 
74%
 
77%
 
33%
 
A For the period October 2, 2018 (commencement of sale of shares) through April 30, 2019.
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
For the period ended October 31, 2022
 
1. Organization.
Fidelity Short Duration High Income Fund (the Fund) is a fund of Fidelity Summer Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Short Duration High Income, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.
 
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
 
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense Ratio A
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
 
A   Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
 
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies . The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
 
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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 Fund categorizes the inputs to valuation techniques used to value its investments 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 the Fund's investments by major category are as follows:
 
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds and bank loan obligations 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. 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. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
 
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 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.
 
Investments in open-end mutual funds, including the Fidelity Central 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. The aggregate value of investments by input level as of October 31, 2022 is included at the end of the Fund's Schedule of Investments.
 
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
 
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
 
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
 
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
 
Book-tax differences are primarily due to   market discount, capital loss carryforwards and   losses deferred due to wash sales.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
 
Gross unrealized appreciation
$   2,953,431
Gross unrealized depreciation
(11,052,163)
Net unrealized appreciation (depreciation)
$(8,098,732)
Tax cost
$412,495,967
 
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
 
  Short-term
$(3,792,571)
  Long-term
(4,386,800)
Total capital loss carryforward
$(8,179,371)
 
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
 
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
 
 
Purchases ($)
Sales ($)
Fidelity Short Duration High Income Fund
241,762,360
18,417,271
 
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .55% of the Fund's average net assets.
 
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
 
 
Distribution Fee
Service Fee
Total Fees
Retained by FDC
Class A
- %
.25%
$26,671
$2,242
Class M
- %
.25%
3,402
-
Class C
.75%
.25%
16,876
3,578
 
 
 
$46,949
$5,820
 
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.
For the period, sales charge amounts retained by FDC were as follows:
 
 
Retained by FDC
Class A
$3,102
Class M
1,010
Class C A
550
 
$4,662
 
A   When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
 
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class Z. FIIOC receives an asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
 
For the period, transfer agent fees for each class were as follows:
 
 
Amount
% of Class-Level Average Net Assets A
Class A
$14,915
.14
Class M
1,899
.14
Class C
3,075
.18
Short Duration High Income
51,336
.11
Class I
3,331
.14
Class Z
1,872
.05
 
$76,428
 
 
A   Annualized
 
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annualized rates:
 
 
% of Average Net Assets
Fidelity Short Duration High Income Fund
.04
 
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
 
 
Amount
Fidelity Short Duration High Income Fund
$108
 
7. Expense Reductions.
The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through August 31, 2023. Some expenses, for example   the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.
 
The following classes were in reimbursement during the period:
 
 
Expense Limitations
Reimbursement
Class A
1.00%
$17,254
Class M
1.00%
2,175
Class C
1.75%
3,283
Short Duration High Income
.75%
60,141
Class I
.75%
3,951
Class Z
.66%
6,295
 
 
$93,099
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $498.
 
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of fund-level operating expenses in the amount of $1,136.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
 
 
Six months ended
October 31, 2022
Year ended
April 30, 2022
Fidelity Short Duration High Income Fund
 
 
Distributions to shareholders
 
 
Class A
$426,075
$614,597
Class M
54,298
77,641
Class C
54,563
95,717
Short Duration High Income
1,912,188
3,213,389
Class I
103,890
183,793
Class Z
162,972
155,367
Total   
$2,713,986
$4,340,504
 
9. Share Transactions.
Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
 
 
Shares
Shares
Dollars
Dollars
 
Six months ended October 31, 2022
Year ended April 30, 2022
Six months ended October 31, 2022
Year ended April 30, 2022
Fidelity Short Duration High Income Fund
 
 
 
 
Class A
 
 
 
 
Shares sold
461,406
1,205,485
$   4,013,624
$   11,197,038
Reinvestment of distributions
48,114
64,152
414,791
601,003
Shares redeemed
(474,292)
(557,369)
(4,118,719)
(5,198,452)
Net increase (decrease)
35,228
712,268
$309,696
$6,599,589
Class M
 
 
 
 
Shares sold
68,864
108,902
$   595,002
$   1,014,540
Reinvestment of distributions
6,029
8,107
52,018
75,921
Shares redeemed
(91,932)
(44,415)
(790,641)
(417,836)
Net increase (decrease)
(17,039)
72,594
$(143,621)
$672,625
Class C
 
 
 
 
Shares sold
39,230
163,595
$   340,305
$   1,533,455
Reinvestment of distributions
6,267
10,112
54,092
94,817
Shares redeemed
(128,896)
(163,460)
(1,118,628)
(1,537,583)
Net increase (decrease)
(83,399)
10,247
$(724,231)
$90,689
Short Duration High Income
 
 
 
 
Shares sold
32,777,061
6,342,757
$   277,930,549
$   59,798,674
Reinvestment of distributions
190,655
287,476
1,643,764
2,695,908
Shares redeemed
(2,715,265)
(5,563,233)
(23,598,444)
(52,159,083)
Net increase (decrease)
30,252,451
1,067,000
$255,975,869
$10,335,499
Class I
 
 
 
 
Shares sold
169,345
206,284
$   1,464,888
$   1,943,410
Reinvestment of distributions
10,843
18,034
93,498
169,177
Shares redeemed
(122,560)
(189,184)
(1,059,579)
(1,770,381)
Net increase (decrease)
57,628
35,134
$498,807
$342,206
Class Z
 
 
 
 
Shares sold
737,046
448,784
$   6,426,249
$   4,184,309
Reinvestment of distributions
13,157
14,784
113,330
138,688
Shares redeemed
(109,462)
(280,177)
(940,888)
(2,630,889)
Net increase (decrease)
640,741
183,391
$5,598,691
$1,692,108
 
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
 
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2022 to October 31, 2022).
 
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
 
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
 
 
 
Annualized Expense Ratio- A
 
Beginning Account Value May 1, 2022
 
Ending Account Value October 31, 2022
 
Expenses Paid During Period- C May 1, 2022 to October 31, 2022
Fidelity® Short Duration High Income Fund
 
 
 
 
 
 
 
 
 
 
Class A
 
 
 
1.01%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 970.20
 
$ 5.02
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,020.11
 
$ 5.14
Class M
 
 
 
1.01%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 969.10
 
$ 5.01
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,020.11
 
$ 5.14
Class C
 
 
 
1.76%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 966.60
 
$ 8.72
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,016.33
 
$ 8.94
Fidelity® Short Duration High Income Fund
 
 
 
.76%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 971.50
 
$ 3.78
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,021.37
 
$ 3.87
Class I
 
 
 
.76%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 971.50
 
$ 3.78
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,021.37
 
$ 3.87
Class Z
 
 
 
.67%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 971.90
 
$ 3.33
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,021.83
 
$ 3.41
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
 
 
 
 
Fidelity Short Duration High Income Fund
 
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
 
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees (Committees), each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.
 
At its May 2022 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and the total expense ratio of a representative class (retail class); (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
 
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.
 
Nature, Extent, and Quality of Services Provided . The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.
 
Resources Dedicated to Investment Management and Support Services . The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to expansion of Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties, and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.  
 
Shareholder and Administrative Services . The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.  
 
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials, and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.
 
Investment in a Large Fund Family . The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain target date funds and classes and index funds; (vii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (viii) rationalizing product lines and gaining increased efficiencies from fund mergers and liquidations; (ix) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (x) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.
 
Investment Performance . The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that the fund had a portfolio manager change in June 2019, June 2020, and January 2022. The Board will continue to monitor closely the fund's performance, taking into account the portfolio management changes.
 
The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance, the Board gave particular attention to information indicating changes in performance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance.
 
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on net performance (after fees and expenses) of the representative class, compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; issuer-specific information; and fund cash flows and other factors.
 
The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative total return information for the fund and an appropriate benchmark index for the most recent one-, three-, and five-year periods ended September 30, 2021, as shown below. A peer group is not shown below because the fund does not generally utilize a peer group for performance comparison purposes.
Fidelity Short Duration High Income Fund  
 
The Board considered the fund's underperformance for different time periods ended September 30, 2021 and for different time periods ended December 31, 2021 (which periods are not reflected in the chart above). The Board noted that the fund's underperformance has continued since the Board approved the management contract in January 2020 and May 2021. The Board's discussions with FMR regarding underperformance cover topics including, but not limited to: the longer-term track record of a fund's portfolio manager(s); broader trends in the market that may adversely impact a fund's performance; and attribution reports on contributors to the fund's underperformance. The Board engages with FMR on steps that might be taken to address a fund's underperformance. For a fund with underperformance over longer periods of time, the Board typically monitors the fund's performance more closely.
 
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
 
Competitiveness of Management Fee and Total Expense Ratio . The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.
 
Management Fee . The Board considered two proprietary management fee comparisons for the 12-month periods ended September 30 (June 30 for periods ended 2019 and 2018 and December 31 for periods prior to 2018) shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.
Fidelity Short Duration High Income Fund  
 
The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended September 30, 2021.
 
The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.
 
Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.
 
Total Expense Ratio . In its review of the total expense ratio of the representative class (retail class), the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund. The fund's representative class is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure. The Board also considered a total expense ASPG comparison, which focuses on the total expenses of the representative class relative to a subset of non-Fidelity funds within the total expense similar sales load structure group. The total expense ASPG is limited to 15 larger and 15 smaller classes in fund average assets for a total of 30 classes, where possible. The total expense ASPG comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.
 
The Board noted that the total net expense ratio of the retail class ranked below the similar sales load structure group competitive median and below the ASPG competitive median for the 12-month period ended September 30, 2021.
 
The Board further considered that FMR has contractually agreed to reimburse Class A, Class M, Class C, Class I, Class Z and the retail class of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of their respective average net assets, exceed 1.00%, 1.00%, 1.75%, 0.75%, 0.66% and 0.75% through August 31, 2022.
 
Fees Charged to Other Fidelity Clients . The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.
 
Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.  
 
Costs of the Services and Profitability . The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
 
On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies and the full Board approves such changes.
 
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
 
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.
 
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.
 
Economies of Scale . The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.
 
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total "group assets" increase, and for higher group fee rates as total "group assets" decrease ("group assets" as defined in the management contract). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board further considered that Fidelity agreed to impose a temporary fee waiver in the form of additional breakpoints to the current breakpoint schedule. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as "group assets" increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
 
The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.  
 
Additional Information Requested by the Board . In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) fund flow and performance trends, in particular the underperformance of certain funds and strategies, and Fidelity's long-term strategies for certain funds, including any consideration of fund liquidations or mergers; (ii) the operation of performance fees, competitor use of performance fees, and consideration of the expansion of performance fees to additional funds; (iii) Fidelity's pricing philosophy compared to competitors; (iv) fund profitability methodology and data; (v) evaluation of competitive fund data and peer group classifications and fee and expense comparisons; (vi) the management fee and expense structures for different funds and classes and information about the differences between various fee and expense structures; (vii) group fee breakpoints and related voluntary fee waivers; and (viii) information regarding other accounts managed by Fidelity and the funds' sub-advisory arrangements.
 
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
 
1.969437.108
SDH-SANN-1222
Fidelity® High Income Fund
 
 
Semi-Annual Report
October 31, 2022
Includes Fidelity and Fidelity Advisor share classes

Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
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Top Bond Issuers (% of Fund's net assets)
(with maturities greater than one year)
 
New Fortress Energy, Inc.
2.4
 
Uniti Group LP / Uniti Group Finance, Inc.
2.1
 
Tenet Healthcare Corp.
1.8
 
TransDigm, Inc.
1.8
 
CCO Holdings LLC/CCO Holdings Capital Corp.
1.7
 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
1.6
 
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.
1.6
 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.
1.6
 
Community Health Systems, Inc.
1.6
 
PG&E Corp.
1.5
 
 
17.7
 
 
Market Sectors (% of Fund's net assets)
 
Energy
13.7
 
Telecommunications
8.6
 
Healthcare
8.5
 
Services
6.3
 
Technology
6.1
 
 
Quality Diversification (% of Fund's net assets)
 
 
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
 
Asset Allocation (% of Fund's net assets)
Foreign investments - 18.1%
Geographic Diversification (% of Fund's net assets)
 
*    Includes Short-Term investments and Net Other Assets (Liabilities).  
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
 
 
 
Showing Percentage of Net Assets
Corporate Bonds - 83.9%
 
 
Principal
Amount (a)
(000s)
 
Value ($)
(000s)
 
Convertible Bonds - 1.9%
 
 
 
Broadcasting - 1.0%
 
 
 
DISH Network Corp.:
 
 
 
 2.375% 3/15/24
 
11,320
10,267
 3.375% 8/15/26
 
30,171
20,863
 
 
 
31,130
Energy - 0.9%
 
 
 
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
 
1,681
9,966
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
 
2,898
17,178
 
 
 
27,144
TOTAL CONVERTIBLE BONDS
 
 
58,274
Nonconvertible Bonds - 82.0%
 
 
 
Aerospace - 3.3%
 
 
 
ATI, Inc.:
 
 
 
 4.875% 10/1/29
 
2,320
1,951
 5.875% 12/1/27
 
9,900
8,998
Bombardier, Inc. 7.875% 4/15/27 (d)
 
10,977
10,425
BWX Technologies, Inc. 4.125% 6/30/28 (d)
 
13,223
11,570
Kaiser Aluminum Corp.:
 
 
 
 4.5% 6/1/31 (d)
 
2,155
1,691
 4.625% 3/1/28 (d)
 
11,680
10,218
Moog, Inc. 4.25% 12/15/27 (d)
 
462
413
TransDigm, Inc.:
 
 
 
 4.625% 1/15/29
 
5,930
5,050
 5.5% 11/15/27
 
38,717
35,039
 6.25% 3/15/26 (d)
 
7,455
7,354
 7.5% 3/15/27
 
1,582
1,559
 8% 12/15/25 (d)
 
3,605
3,668
 
 
 
97,936
Air Transportation - 0.1%
 
 
 
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.5% 4/20/26 (d)
 
3,130
2,981
Automotive & Auto Parts - 0.3%
 
 
 
Ford Motor Credit Co. LLC:
 
 
 
 2.9% 2/10/29
 
6,905
5,416
 3.815% 11/2/27
 
4,080
3,505
 
 
 
8,921
Banks & Thrifts - 0.1%
 
 
 
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (d)
 
2,430
2,148
Broadcasting - 1.2%
 
 
 
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d)
 
22,770
4,554
Sinclair Television Group, Inc. 5.5% 3/1/30 (d)
 
4,065
3,040
Sirius XM Radio, Inc.:
 
 
 
 4% 7/15/28 (d)
 
5,800
4,986
 4.125% 7/1/30 (d)
 
2,105
1,722
 5.5% 7/1/29 (d)
 
6,685
6,166
TEGNA, Inc.:
 
 
 
 4.625% 3/15/28
 
4,880
4,645
 5% 9/15/29
 
1,775
1,683
Univision Communications, Inc.:
 
 
 
 4.5% 5/1/29 (d)
 
5,615
4,727
 6.625% 6/1/27 (d)
 
3,655
3,609
 
 
 
35,132
Building Materials - 0.5%
 
 
 
Advanced Drain Systems, Inc. 5% 9/30/27 (d)
 
4,541
4,211
Builders FirstSource, Inc. 4.25% 2/1/32 (d)
 
5,595
4,477
SRS Distribution, Inc.:
 
 
 
 4.625% 7/1/28 (d)
 
3,455
3,034
 6% 12/1/29 (d)
 
3,095
2,524
 
 
 
14,246
Cable/Satellite TV - 4.2%
 
 
 
CCO Holdings LLC/CCO Holdings Capital Corp.:
 
 
 
 4.25% 2/1/31 (d)
 
11,784
9,309
 4.25% 1/15/34 (d)
 
1,415
1,040
 4.5% 8/15/30 (d)
 
14,630
11,873
 4.5% 5/1/32
 
12,236
9,666
 4.5% 6/1/33 (d)
 
8,145
6,176
 4.75% 3/1/30 (d)
 
5,630
4,731
 4.75% 2/1/32 (d)
 
1,415
1,132
 5% 2/1/28 (d)
 
3,840
3,475
 5.375% 6/1/29 (d)
 
4,390
3,922
CSC Holdings LLC:
 
 
 
 3.375% 2/15/31 (d)
 
5,000
3,625
 4.125% 12/1/30 (d)
 
2,939
2,312
 4.5% 11/15/31 (d)
 
1,430
1,112
 4.625% 12/1/30 (d)
 
17,824
12,829
 5.375% 2/1/28 (d)
 
15,430
14,234
 5.75% 1/15/30 (d)
 
3,475
2,658
 7.5% 4/1/28 (d)
 
2,935
2,543
Dolya Holdco 18 DAC 5% 7/15/28 (d)
 
4,188
3,566
Radiate Holdco LLC/Radiate Financial Service Ltd.:
 
 
 
 4.5% 9/15/26 (d)
 
4,479
3,785
 6.5% 9/15/28 (d)
 
19,428
12,240
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d)
 
7,800
6,783
Ziggo Bond Co. BV 5.125% 2/28/30 (d)
 
4,250
3,368
Ziggo BV 4.875% 1/15/30 (d)
 
5,505
4,652
 
 
 
125,031
Capital Goods - 0.8%
 
 
 
Mueller Water Products, Inc. 4% 6/15/29 (d)
 
4,685
4,062
Vertical Holdco GmbH 7.625% 7/15/28 (d)
 
5,610
4,637
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (d)
 
18,314
16,414
 
 
 
25,113
Chemicals - 4.0%
 
 
 
CVR Partners LP 6.125% 6/15/28 (d)
 
5,120
4,632
Element Solutions, Inc. 3.875% 9/1/28 (d)
 
6,534
5,554
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.:
 
 
 
 5% 12/31/26 (d)
 
11,080
10,044
 7% 12/31/27 (d)
 
1,080
907
LSB Industries, Inc. 6.25% 10/15/28 (d)
 
10,150
9,215
Methanex Corp.:
 
 
 
 5.125% 10/15/27
 
11,101
10,075
 5.65% 12/1/44
 
4,229
2,907
NOVA Chemicals Corp.:
 
 
 
 4.25% 5/15/29 (d)
 
5,020
4,092
 4.875% 6/1/24 (d)
 
4,330
4,211
 5% 5/1/25 (d)
 
2,270
2,162
 5.25% 6/1/27 (d)
 
12,500
11,157
Nufarm Australia Ltd. 5% 1/27/30 (d)
 
6,520
5,515
Olympus Water U.S. Holding Corp.:
 
 
 
 4.25% 10/1/28 (d)
 
5,155
4,185
 6.25% 10/1/29 (d)
 
5,435
3,763
SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (d)
 
3,935
3,128
The Chemours Co. LLC:
 
 
 
 4.625% 11/15/29 (d)
 
7,595
5,924
 5.375% 5/15/27
 
10,144
9,083
 5.75% 11/15/28 (d)
 
19,200
16,310
W.R. Grace Holding LLC 5.625% 8/15/29 (d)
 
8,100
6,261
 
 
 
119,125
Consumer Products - 0.3%
 
 
 
Mattel, Inc.:
 
 
 
 3.375% 4/1/26 (d)
 
2,870
2,618
 3.75% 4/1/29 (d)
 
8,300
7,163
 
 
 
9,781
Containers - 0.8%
 
 
 
Graphic Packaging International, Inc. 3.75% 2/1/30 (d)
 
2,160
1,857
Sealed Air Corp. 5% 4/15/29 (d)
 
5,450
4,971
Trivium Packaging Finance BV:
 
 
 
 5.5% 8/15/26 (d)
 
8,787
8,066
 8.5% 8/15/27 (d)
 
9,951
9,357
 
 
 
24,251
Diversified Financial Services - 3.4%
 
 
 
Coinbase Global, Inc.:
 
 
 
 3.375% 10/1/28 (d)
 
11,430
7,471
 3.625% 10/1/31 (d)
 
12,385
7,334
Hightower Holding LLC 6.75% 4/15/29 (d)
 
5,410
4,404
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
 
 
 
 4.375% 2/1/29
 
7,160
5,978
 5.25% 5/15/27
 
30,900
28,467
 6.25% 5/15/26
 
14,341
13,803
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.75% 6/15/29 (d)
 
3,635
2,893
OneMain Finance Corp.:
 
 
 
 3.5% 1/15/27
 
8,300
6,807
 3.875% 9/15/28
 
14,215
11,069
 6.875% 3/15/25
 
4,415
4,283
 7.125% 3/15/26
 
11,800
11,387
 
 
 
103,896
Diversified Media - 0.6%
 
 
 
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (d)
 
19,948
16,969
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d)
 
2,212
1,875
 
 
 
18,844
Energy - 11.6%
 
 
 
Altus Midstream LP 5.875% 6/15/30 (d)
 
3,635
3,410
Apache Corp. 4.25% 1/15/30
 
1,960
1,744
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d)
 
6,465
5,479
Citgo Petroleum Corp. 6.375% 6/15/26 (d)
 
11,308
11,137
CNX Resources Corp. 7.375% 1/15/31 (d)
 
1,580
1,568
Colgate Energy Partners III LLC:
 
 
 
 5.875% 7/1/29 (d)
 
7,855
7,286
 7.75% 2/15/26 (d)
 
660
657
Comstock Resources, Inc.:
 
 
 
 5.875% 1/15/30 (d)
 
6,180
5,577
 6.75% 3/1/29 (d)
 
10,655
10,202
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:
 
 
 
 5.625% 5/1/27 (d)
 
27,398
25,770
 5.75% 4/1/25
 
9,497
9,260
 6% 2/1/29 (d)
 
12,181
11,390
CrownRock LP/CrownRock Finance, Inc.:
 
 
 
 5% 5/1/29 (d)
 
2,510
2,280
 5.625% 10/15/25 (d)
 
560
542
CVR Energy, Inc.:
 
 
 
 5.25% 2/15/25 (d)
 
10,329
9,953
 5.75% 2/15/28 (d)
 
6,813
6,166
Delek Logistics Partners LP 7.125% 6/1/28 (d)
 
12,355
11,063
DT Midstream, Inc. 4.125% 6/15/29 (d)
 
4,090
3,536
EnLink Midstream LLC 5.625% 1/15/28 (d)
 
1,630
1,562
EQM Midstream Partners LP:
 
 
 
 6% 7/1/25 (d)
 
355
344
 6.5% 7/1/27 (d)
 
4,947
4,823
 7.5% 6/1/27 (d)
 
1,735
1,713
 7.5% 6/1/30 (d)
 
1,735
1,687
Global Partners LP/GLP Finance Corp. 6.875% 1/15/29
 
4,610
4,171
Harvest Midstream I LP 7.5% 9/1/28 (d)
 
2,365
2,267
Hess Midstream Partners LP:
 
 
 
 4.25% 2/15/30 (d)
 
1,880
1,608
 5.125% 6/15/28 (d)
 
7,610
7,001
Hilcorp Energy I LP/Hilcorp Finance Co.:
 
 
 
 5.75% 2/1/29 (d)
 
1,960
1,793
 6.25% 11/1/28 (d)
 
1,960
1,842
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d)
 
4,080
3,687
Mesquite Energy, Inc. 7.25% 2/15/23 (c)(d)(e)
 
28,768
0
New Fortress Energy, Inc.:
 
 
 
 6.5% 9/30/26 (d)
 
34,475
33,441
 6.75% 9/15/25 (d)
 
35,507
34,857
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (d)
 
10,365
9,377
Occidental Petroleum Corp.:
 
 
 
 5.5% 12/1/25
 
1,000
1,003
 7.5% 5/1/31
 
6,195
6,660
 7.875% 9/15/31
 
1,135
1,235
 8% 7/15/25
 
1,000
1,056
 8.875% 7/15/30
 
4,715
5,352
Rockies Express Pipeline LLC:
 
 
 
 4.8% 5/15/30 (d)
 
1,900
1,606
 4.95% 7/15/29 (d)
 
4,294
3,767
 6.875% 4/15/40 (d)
 
1,598
1,305
SM Energy Co. 5.625% 6/1/25
 
5,210
5,061
Southwestern Energy Co. 4.75% 2/1/32
 
3,580
3,090
Sunoco LP/Sunoco Finance Corp.:
 
 
 
 4.5% 5/15/29
 
5,094
4,375
 5.875% 3/15/28
 
4,990
4,750
Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (d)
 
2,990
2,534
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.:
 
 
 
 5.5% 1/15/28 (d)
 
9,865
8,845
 6% 3/1/27 (d)
 
19,467
18,370
 6% 12/31/30 (d)
 
8,825
7,989
 6% 9/1/31 (d)
 
9,425
8,390
 7.5% 10/1/25 (d)
 
3,260
3,292
Transocean Guardian Ltd. 5.875% 1/15/24 (d)
 
2,679
2,604
Transocean Phoenix 2 Ltd. 7.75% 10/15/24 (d)
 
494
491
Transocean Pontus Ltd. 6.125% 8/1/25 (d)
 
1,380
1,329
Transocean Poseidon Ltd. 6.875% 2/1/27 (d)
 
2,157
2,065
Transocean Proteus Ltd. 6.25% 12/1/24 (d)
 
612
597
Transocean Sentry Ltd. 5.375% 5/15/23 (d)
 
5,762
5,661
Venture Global Calcasieu Pass LLC:
 
 
 
 3.875% 8/15/29 (d)
 
5,530
4,742
 4.125% 8/15/31 (d)
 
5,475
4,668
 
 
 
348,030
Environmental - 1.3%
 
 
 
Covanta Holding Corp. 4.875% 12/1/29 (d)
 
5,180
4,411
Darling Ingredients, Inc. 6% 6/15/30 (d)
 
2,155
2,074
Madison IAQ LLC:
 
 
 
 4.125% 6/30/28 (d)
 
10,535
8,718
 5.875% 6/30/29 (d)
 
24,280
16,632
Stericycle, Inc.:
 
 
 
 3.875% 1/15/29 (d)
 
6,570
5,707
 5.375% 7/15/24 (d)
 
1,385
1,364
 
 
 
38,906
Food & Drug Retail - 1.0%
 
 
 
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:
 
 
 
 3.5% 3/15/29 (d)
 
22,063
18,257
 4.875% 2/15/30 (d)
 
6,320
5,609
Emergent BioSolutions, Inc. 3.875% 8/15/28 (d)
 
10,274
6,160
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (d)
 
1,435
1,196
 
 
 
31,222
Food/Beverage/Tobacco - 2.0%
 
 
 
C&S Group Enterprises LLC 5% 12/15/28 (d)
 
15,865
11,728
Lamb Weston Holdings, Inc. 4.125% 1/31/30 (d)
 
11,855
10,349
Performance Food Group, Inc. 5.5% 10/15/27 (d)
 
542
512
Post Holdings, Inc.:
 
 
 
 4.625% 4/15/30 (d)
 
3,666
3,093
 5.5% 12/15/29 (d)
 
3,587
3,228
Primo Water Holdings, Inc. 4.375% 4/30/29 (d)
 
11,870
9,946
TreeHouse Foods, Inc. 4% 9/1/28
 
2,065
1,742
Triton Water Holdings, Inc. 6.25% 4/1/29 (d)
 
20,435
15,477
U.S. Foods, Inc.:
 
 
 
 4.625% 6/1/30 (d)
 
2,045
1,774
 4.75% 2/15/29 (d)
 
2,520
2,233
 
 
 
60,082
Gaming - 2.0%
 
 
 
Affinity Gaming LLC 6.875% 12/15/27 (d)
 
10,355
8,644
Caesars Entertainment, Inc. 8.125% 7/1/27 (d)
 
17,724
17,237
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. 6.75% 1/15/30 (d)
 
11,230
8,816
Golden Entertainment, Inc. 7.625% 4/15/26 (d)
 
6,091
5,984
Jacobs Entertainment, Inc. 6.75% 2/15/29 (d)
 
2,400
2,116
Premier Entertainment Sub LLC:
 
 
 
 5.625% 9/1/29 (d)
 
6,920
5,121
 5.875% 9/1/31 (d)
 
3,290
2,331
Station Casinos LLC 4.5% 2/15/28 (d)
 
4,745
4,088
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (d)
 
5,156
4,485
 
 
 
58,822
Healthcare - 8.2%
 
 
 
1375209 BC Ltd. 9% 1/30/28 (d)
 
3,606
3,489
180 Medical, Inc. 3.875% 10/15/29 (d)
 
5,715
4,829
AMN Healthcare 4% 4/15/29 (d)
 
8,354
7,188
Avantor Funding, Inc.:
 
 
 
 3.875% 11/1/29 (d)
 
10,440
8,809
 4.625% 7/15/28 (d)
 
3,355
3,032
Bausch Health Companies, Inc.:
 
 
 
 11% 9/30/28 (d)
 
6,396
4,925
 14% 10/15/30 (d)
 
1,272
728
Cano Health, Inc. 6.25% 10/1/28 (d)
 
4,803
3,857
Catalent Pharma Solutions 3.5% 4/1/30 (d)
 
10,850
8,761
Charles River Laboratories International, Inc.:
 
 
 
 3.75% 3/15/29 (d)
 
2,975
2,573
 4.25% 5/1/28 (d)
 
768
699
Community Health Systems, Inc.:
 
 
 
 4.75% 2/15/31 (d)
 
10,365
6,944
 5.25% 5/15/30 (d)
 
19,665
13,618
 5.625% 3/15/27 (d)
 
13,825
11,017
 6% 1/15/29 (d)
 
6,140
4,558
 6.125% 4/1/30 (d)
 
7,445
3,052
 6.875% 4/15/29 (d)
 
9,010
3,626
 8% 3/15/26 (d)
 
3,135
2,704
CTR Partnership LP/CareTrust Capital Corp. 3.875% 6/30/28 (d)
 
5,375
4,533
DaVita HealthCare Partners, Inc.:
 
 
 
 3.75% 2/15/31 (d)
 
2,170
1,569
 4.625% 6/1/30 (d)
 
17,405
13,569
Embecta Corp. 5% 2/15/30 (d)
 
2,745
2,353
Grifols Escrow Issuer SA 4.75% 10/15/28 (d)
 
7,652
5,978
HealthEquity, Inc. 4.5% 10/1/29 (d)
 
3,705
3,237
Hologic, Inc.:
 
 
 
 3.25% 2/15/29 (d)
 
6,190
5,260
 4.625% 2/1/28 (d)
 
134
125
Jazz Securities DAC 4.375% 1/15/29 (d)
 
13,450
11,937
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (d)
 
2,030
1,728
Molina Healthcare, Inc. 3.875% 11/15/30 (d)
 
3,370
2,864
Option Care Health, Inc. 4.375% 10/31/29 (d)
 
8,310
7,176
Organon & Co. / Organon Foreign Debt Co-Issuer BV:
 
 
 
 4.125% 4/30/28 (d)
 
17,765
15,648
 5.125% 4/30/31 (d)
 
820
696
Owens & Minor, Inc. 4.5% 3/31/29 (d)
 
2,610
2,021
Pediatrix Medical Group, Inc. 5.375% 2/15/30 (d)
 
5,590
4,807
Radiology Partners, Inc. 9.25% 2/1/28 (d)
 
6,485
3,431
RP Escrow Issuer LLC 5.25% 12/15/25 (d)
 
13,345
9,979
Teleflex, Inc. 4.25% 6/1/28 (d)
 
1,540
1,393
Tenet Healthcare Corp.:
 
 
 
 4.25% 6/1/29 (d)
 
10,395
8,758
 4.375% 1/15/30 (d)
 
4,965
4,166
 4.625% 6/15/28 (d)
 
8,758
7,685
 6.125% 10/1/28 (d)
 
27,845
24,100
 6.125% 6/15/30 (d)
 
6,675
6,162
 6.25% 2/1/27 (d)
 
3,134
2,991
 
 
 
246,575
Homebuilders/Real Estate - 4.2%
 
 
 
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 8/1/29 (d)
 
2,515
1,889
Howard Hughes Corp.:
 
 
 
 4.125% 2/1/29 (d)
 
3,300
2,579
 4.375% 2/1/31 (d)
 
3,300
2,480
Kennedy-Wilson, Inc. 4.75% 2/1/30
 
13,055
10,248
MPT Operating Partnership LP/MPT Finance Corp.:
 
 
 
 3.5% 3/15/31
 
8,490
5,840
 4.625% 8/1/29
 
3,950
3,129
 5% 10/15/27
 
28,110
24,071
Railworks Holdings LP 8.25% 11/15/28 (d)
 
7,220
6,635
TopBuild Corp. 4.125% 2/15/32 (d)
 
9,350
7,321
Uniti Group LP / Uniti Group Finance, Inc.:
 
 
 
 4.75% 4/15/28 (d)
 
19,235
15,724
 6.5% 2/15/29 (d)
 
65,180
46,772
 
 
 
126,688
Hotels - 0.5%
 
 
 
Hilton Domestic Operating Co., Inc.:
 
 
 
 3.625% 2/15/32 (d)
 
9,245
7,361
 3.75% 5/1/29 (d)
 
215
183
 4% 5/1/31 (d)
 
4,375
3,657
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (d)
 
4,395
3,869
 
 
 
15,070
Insurance - 0.8%
 
 
 
Alliant Holdings Intermediate LLC 4.25% 10/15/27 (d)
 
12,485
11,238
AmWINS Group, Inc. 4.875% 6/30/29 (d)
 
11,105
9,493
AssuredPartners, Inc. 5.625% 1/15/29 (d)
 
3,295
2,710
 
 
 
23,441
Leisure - 2.9%
 
 
 
Carnival Corp.:
 
 
 
 5.75% 3/1/27 (d)
 
17,425
12,110
 6% 5/1/29 (d)
 
13,860
9,193
 6.65% 1/15/28
 
750
477
 7.625% 3/1/26 (d)
 
19,060
14,332
MajorDrive Holdings IV LLC 6.375% 6/1/29 (d)
 
3,585
2,526
NCL Corp. Ltd.:
 
 
 
 3.625% 12/15/24 (d)
 
9,685
8,406
 5.875% 3/15/26 (d)
 
2,175
1,781
 7.75% 2/15/29 (d)
 
4,840
3,849
NCL Finance Ltd. 6.125% 3/15/28 (d)
 
1,660
1,291
Royal Caribbean Cruises Ltd.:
 
 
 
 4.25% 7/1/26 (d)
 
10,620
8,390
 5.375% 7/15/27 (d)
 
3,900
3,032
 5.5% 8/31/26 (d)
 
10,740
8,781
 5.5% 4/1/28 (d)
 
12,495
9,621
Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (d)
 
1,605
1,251
Voc Escrow Ltd. 5% 2/15/28 (d)
 
3,550
2,923
 
 
 
87,963
Metals/Mining - 1.0%
 
 
 
Eldorado Gold Corp. 6.25% 9/1/29 (d)
 
1,505
1,217
ERO Copper Corp. 6.5% 2/15/30 (d)
 
12,060
8,834
First Quantum Minerals Ltd.:
 
 
 
 6.875% 3/1/26 (d)
 
2,210
2,068
 6.875% 10/15/27 (d)
 
9,420
8,724
 7.5% 4/1/25 (d)
 
2,205
2,123
HudBay Minerals, Inc. 4.5% 4/1/26 (d)
 
2,225
1,952
Mineral Resources Ltd. 8.5% 5/1/30 (d)
 
3,355
3,302
PMHC II, Inc. 9% 2/15/30 (d)
 
5,155
3,397
 
 
 
31,617
Paper - 0.7%
 
 
 
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC:
 
 
 
 4% 9/1/29 (d)
 
3,020
2,291
 6% 6/15/27 (d)
 
4,690
4,500
Clydesdale Acquisition Holdings, Inc. 6.625% 4/15/29 (d)
 
1,950
1,851
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (d)
 
1,010
970
Glatfelter Corp. 4.75% 11/15/29 (d)
 
3,520
2,266
SPA Holdings 3 OY 4.875% 2/4/28 (d)
 
11,670
9,291
 
 
 
21,169
Publishing/Printing - 0.1%
 
 
 
News Corp. 5.125% 2/15/32 (d)
 
4,070
3,632
Railroad - 0.4%
 
 
 
First Student Bidco, Inc./First Transit Parent, Inc. 4% 7/31/29 (d)
 
13,385
10,877
Restaurants - 0.5%
 
 
 
1011778 BC Unlimited Liability Co./New Red Finance, Inc. 4% 10/15/30 (d)
 
7,316
5,972
Garden SpinCo Corp. 8.625% 7/20/30 (d)
 
1,415
1,455
Yum! Brands, Inc. 4.625% 1/31/32
 
8,980
7,678
 
 
 
15,105
Services - 5.5%
 
 
 
ADT Corp. 4.125% 8/1/29 (d)
 
3,320
2,847
Adtalem Global Education, Inc. 5.5% 3/1/28 (d)
 
7,028
6,413
APX Group, Inc. 6.75% 2/15/27 (d)
 
2,720
2,653
ASGN, Inc. 4.625% 5/15/28 (d)
 
4,615
4,104
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (d)
 
8,250
7,269
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (d)
 
20,855
14,994
CoreCivic, Inc.:
 
 
 
 4.75% 10/15/27
 
12,799
10,620
 8.25% 4/15/26
 
24,050
24,402
Fair Isaac Corp. 4% 6/15/28 (d)
 
5,065
4,583
Gartner, Inc.:
 
 
 
 3.625% 6/15/29 (d)
 
2,550
2,168
 3.75% 10/1/30 (d)
 
1,885
1,583
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d)
 
21,299
19,981
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (d)
 
11,295
9,883
Service Corp. International:
 
 
 
 4% 5/15/31
 
6,490
5,388
 5.125% 6/1/29
 
5,213
4,856
Sotheby's 7.375% 10/15/27 (d)
 
18,225
17,633
The GEO Group, Inc. 9.5% 12/31/28 (d)
 
3,435
3,160
TriNet Group, Inc. 3.5% 3/1/29 (d)
 
8,560
7,094
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d)
 
15,507
14,460
 
 
 
164,091
Steel - 0.3%
 
 
 
Commercial Metals Co. 4.125% 1/15/30
 
4,160
3,495
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (d)
 
7,505
6,585
 
 
 
10,080
Super Retail - 1.5%
 
 
 
Bath & Body Works, Inc. 6.694% 1/15/27
 
1,315
1,239
Carvana Co.:
 
 
 
 4.875% 9/1/29 (d)
 
3,275
1,449
 5.5% 4/15/27 (d)
 
4,845
2,302
 5.875% 10/1/28 (d)
 
1,360
623
 10.25% 5/1/30 (d)
 
715
429
EG Global Finance PLC:
 
 
 
 6.75% 2/7/25 (d)
 
8,108
7,297
 8.5% 10/30/25 (d)
 
9,878
9,124
LBM Acquisition LLC 6.25% 1/15/29 (d)
 
5,580
3,903
Levi Strauss & Co. 3.5% 3/1/31 (d)
 
5,730
4,584
Michaels Companies, Inc.:
 
 
 
 5.25% 5/1/28 (d)
 
3,550
2,521
 7.875% 5/1/29 (d)
 
2,730
1,522
Nordstrom, Inc.:
 
 
 
 4.25% 8/1/31
 
4,150
3,013
 4.375% 4/1/30
 
2,760
2,118
Wolverine World Wide, Inc. 4% 8/15/29 (d)
 
8,395
6,632
 
 
 
46,756
Technology - 5.3%
 
 
 
Acuris Finance U.S. 5% 5/1/28 (d)
 
13,710
11,105
Athenahealth Group, Inc. 6.5% 2/15/30 (d)
 
1,845
1,439
Black Knight InfoServ LLC 3.625% 9/1/28 (d)
 
8,405
7,281
Clarivate Science Holdings Corp.:
 
 
 
 3.875% 7/1/28 (d)
 
1,955
1,677
 4.875% 7/1/29 (d)
 
1,975
1,647
Coherent Corp. 5% 12/15/29 (d)
 
9,975
8,557
CommScope, Inc.:
 
 
 
 4.75% 9/1/29 (d)
 
3,600
3,045
 7.125% 7/1/28 (d)
 
6,360
5,386
 8.25% 3/1/27 (d)
 
1,925
1,709
Elastic NV 4.125% 7/15/29 (d)
 
9,900
8,266
Entegris Escrow Corp.:
 
 
 
 4.75% 4/15/29 (d)
 
5,560
4,913
 5.95% 6/15/30 (d)
 
7,700
7,026
Gartner, Inc. 4.5% 7/1/28 (d)
 
4,490
4,161
ION Trading Technologies Ltd. 5.75% 5/15/28 (d)
 
12,845
10,212
MicroStrategy, Inc. 6.125% 6/15/28 (d)
 
11,700
10,025
onsemi 3.875% 9/1/28 (d)
 
3,675
3,238
Open Text Corp. 3.875% 12/1/29 (d)
 
10,960
8,686
Rackspace Hosting, Inc.:
 
 
 
 3.5% 2/15/28 (d)
 
7,610
5,025
 5.375% 12/1/28 (d)
 
51,444
21,655
Roblox Corp. 3.875% 5/1/30 (d)
 
4,035
3,329
Sensata Technologies BV 4% 4/15/29 (d)
 
3,440
2,897
TTM Technologies, Inc. 4% 3/1/29 (d)
 
18,640
15,567
Twilio, Inc. 3.875% 3/15/31
 
3,285
2,679
Uber Technologies, Inc. 8% 11/1/26 (d)
 
9,595
9,631
 
 
 
159,156
Telecommunications - 8.2%
 
 
 
Altice Financing SA:
 
 
 
 5% 1/15/28 (d)
 
7,363
5,822
 5.75% 8/15/29 (d)
 
33,610
26,536
Altice France Holding SA 6% 2/15/28 (d)
 
15,943
10,423
Altice France SA:
 
 
 
 5.125% 1/15/29 (d)
 
18,614
14,007
 5.125% 7/15/29 (d)
 
8,655
6,519
 5.5% 1/15/28 (d)
 
5,700
4,570
 5.5% 10/15/29 (d)
 
50
38
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d)
 
50,907
44,035
Cablevision Lightpath LLC:
 
 
 
 3.875% 9/15/27 (d)
 
2,199
1,870
 5.625% 9/15/28 (d)
 
1,290
1,026
Consolidated Communications, Inc. 5% 10/1/28 (d)
 
2,395
1,856
Frontier Communications Holdings LLC:
 
 
 
 5% 5/1/28 (d)
 
5,510
4,821
 5.875% 10/15/27 (d)
 
3,283
3,020
 5.875% 11/1/29
 
6,414
4,996
 6% 1/15/30 (d)
 
5,455
4,266
 8.75% 5/15/30 (d)
 
4,055
4,141
Intelsat Jackson Holdings SA 6.5% 3/15/30 (d)
 
8,320
7,636
Level 3 Financing, Inc.:
 
 
 
 3.625% 1/15/29 (d)
 
4,904
3,739
 4.25% 7/1/28 (d)
 
17,615
14,532
Lumen Technologies, Inc. 4.5% 1/15/29 (d)
 
20,685
14,582
Millicom International Cellular SA:
 
 
 
 4.5% 4/27/31 (d)
 
7,907
5,914
 5.125% 1/15/28 (d)
 
3,560
3,031
Sable International Finance Ltd. 5.75% 9/7/27 (d)
 
1,577
1,390
SBA Communications Corp. 3.125% 2/1/29
 
4,140
3,346
Telecom Italia Capital SA:
 
 
 
 6% 9/30/34
 
3,477
2,537
 7.2% 7/18/36
 
5,009
3,901
 7.721% 6/4/38
 
995
791
Uniti Group, Inc. 6% 1/15/30 (d)
 
17,315
11,816
Virgin Media Secured Finance PLC 4.5% 8/15/30 (d)
 
12,830
10,603
VMED O2 UK Financing I PLC 4.25% 1/31/31 (d)
 
1,079
859
Windstream Escrow LLC 7.75% 8/15/28 (d)
 
22,945
19,854
Zayo Group Holdings, Inc.:
 
 
 
 4% 3/1/27 (d)
 
4,245
3,279
 6.125% 3/1/28 (d)
 
3,438
2,286
 
 
 
248,042
Textiles/Apparel - 0.3%
 
 
 
Foot Locker, Inc. 4% 10/1/29 (d)
 
9,010
6,888
Kontoor Brands, Inc. 4.125% 11/15/29 (d)
 
1,460
1,171
 
 
 
8,059
Transportation Ex Air/Rail - 0.6%
 
 
 
Golar LNG Ltd. 7% 10/20/25
 
4,050
3,807
Great Lakes Dredge & Dock Corp. 5.25% 6/1/29 (d)
 
2,635
2,084
Seaspan Corp. 5.5% 8/1/29 (d)
 
14,205
10,940
 
 
 
16,831
Utilities - 3.5%
 
 
 
Clearway Energy Operating LLC:
 
 
 
 3.75% 2/15/31 (d)
 
4,505
3,762
 4.75% 3/15/28 (d)
 
1,540
1,422
Global Partners LP/GLP Finance Corp. 7% 8/1/27
 
8,471
8,053
InterGen NV 7% 6/30/23 (d)
 
19,797
19,376
NRG Energy, Inc.:
 
 
 
 3.375% 2/15/29 (d)
 
6,240
5,198
 5.25% 6/15/29 (d)
 
5,350
4,855
PG&E Corp.:
 
 
 
 5% 7/1/28
 
14,760
13,303
 5.25% 7/1/30
 
23,760
21,039
Pike Corp. 5.5% 9/1/28 (d)
 
17,227
14,710
Vistra Operations Co. LLC:
 
 
 
 5% 7/31/27 (d)
 
8,646
7,976
 5.625% 2/15/27 (d)
 
6,375
6,077
 
 
 
105,771
TOTAL NONCONVERTIBLE BONDS
 
 
2,465,390
 
TOTAL CORPORATE BONDS
  (Cost $3,043,703)
 
 
 
2,523,664
 
 
 
 
Common Stocks - 2.3%
 
 
Shares
Value ($)
(000s)
 
Cable/Satellite TV - 0.1%
 
 
 
Altice U.S.A., Inc. Class A (f)
 
267,294
1,767
Energy - 0.9%
 
 
 
California Resources Corp. warrants 10/27/24 (f)
 
4,683
66
Forbes Energy Services Ltd. (c)(f)
 
47,062
0
Jonah Energy Parent LLC (c)(f)
 
212,612
13,522
Mesquite Energy, Inc. (c)(f)
 
213,506
11,835
New Fortress Energy, Inc.
 
53,705
2,958
TOTAL ENERGY
 
 
28,381
Food & Drug Retail - 0.9%
 
 
 
Southeastern Grocers, Inc. (b)(c)(f)
 
1,235,303
26,720
Gaming - 0.2%
 
 
 
Caesars Entertainment, Inc. (f)
 
138,186
6,043
Telecommunications - 0.0%
 
 
 
CUI Acquisition Corp. Class E (c)(f)
 
1
24
GTT Communications, Inc. rights (c)(f)
 
447,381
447
TOTAL TELECOMMUNICATIONS
 
 
471
Utilities - 0.2%
 
 
 
EQT Corp.
 
167,700
7,017
 
TOTAL COMMON STOCKS
  (Cost $40,697)
 
 
 
70,399
 
 
 
 
Bank Loan Obligations - 5.4%
 
 
Principal
Amount (a)
(000s)
 
Value ($)
(000s)
 
Broadcasting - 0.2%
 
 
 
Diamond Sports Group LLC:
 
 
 
 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 11.208% 5/25/26 (g)(h)(i)
 
5,004
4,795
 2LN, term loan CME Term SOFR 1 Month Index + 3.250% 6.458% 8/24/26 (g)(h)(i)
 
11,511
2,233
TOTAL BROADCASTING
 
 
7,028
Building Materials - 0.1%
 
 
 
Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 7.3247% 5/17/28 (g)(h)(i)
 
5,443
3,775
Chemicals - 0.5%
 
 
 
Consolidated Energy Finance SA Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.3633% 5/7/25 (c)(g)(h)(i)
 
6,614
6,283
Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 1 Month Index + 4.370% 7.9683% 10/4/29 (g)(h)(i)
 
4,955
4,520
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.4375% 11/9/28 (g)(h)(i)
 
5,229
4,753
TOTAL CHEMICALS
 
 
15,556
Energy - 0.3%
 
 
 
EG America LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 7.6741% 2/6/25 (g)(h)(i)
 
6,006
5,433
EG Finco Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 7.6741% 2/6/25 (g)(h)(i)
 
4,117
3,725
Mesquite Energy, Inc.:
 
 
 
 1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (c)(e)(h)(i)
 
3,958
0
 term loan 3 month U.S. LIBOR + 0.000% 0% (c)(e)(h)(i)
 
1,690
0
TOTAL ENERGY
 
 
9,158
Healthcare - 0.3%
 
 
 
Da Vinci Purchaser Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.7041% 12/13/26 (g)(h)(i)
 
346
328
Gainwell Acquisition Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.6741% 10/1/27 (g)(h)(i)
 
8,606
8,161
TOTAL HEALTHCARE
 
 
8,489
Insurance - 0.3%
 
 
 
HUB International Ltd. Tranche B, term loan 1 month U.S. LIBOR + 3.000% 7.326% 4/25/25 (g)(h)(i)
 
9,004
8,820
Leisure - 0.5%
 
 
 
City Football Group Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.484% 7/21/28 (g)(h)(i)
 
14,834
13,759
Paper - 0.2%
 
 
 
Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.170% 8.0037% 4/13/29 (g)(h)(i)
 
5,112
4,917
Services - 0.8%
 
 
 
Ascend Learning LLC:
 
 
 
 2LN, term loan 1 month U.S. LIBOR + 5.750% 9.5039% 12/10/29 (g)(h)(i)
 
610
516
 Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 12/10/28 (g)(h)(i)
 
5,616
5,141
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 8.493% 6/21/24 (g)(h)(i)
 
11,726
10,121
Spin Holdco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.1441% 3/4/28 (g)(h)(i)
 
8,745
7,677
TOTAL SERVICES
 
 
23,455
Super Retail - 0.5%
 
 
 
Bass Pro Group LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.5039% 3/5/28 (g)(h)(i)
 
6,681
6,277
LBM Acquisition LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.1207% 12/18/27 (g)(h)(i)
 
11,491
9,804
TOTAL SUPER RETAIL
 
 
16,081
Technology - 0.8%
 
 
 
Athenahealth Group, Inc.:
 
 
 
 Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 6.9671% 2/15/29 (g)(h)(i)
 
14,214
12,959
 Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 2/15/29 (h)(i)(j)
 
2,415
2,202
CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 7.0039% 4/4/26 (g)(h)(i)
 
4,111
3,910
Ultimate Software Group, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.9983% 5/3/26 (g)(h)(i)
 
4,404
4,243
Verscend Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.7539% 8/27/25 (g)(h)(i)
 
1,959
1,932
TOTAL TECHNOLOGY
 
 
25,246
Telecommunications - 0.4%
 
 
 
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 10% 5/31/25 (g)(h)(i)
 
17,149
11,809
Utilities - 0.5%
 
 
 
Brookfield WEC Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 7.4787% 8/1/25 (g)(h)(i)
 
3,270
3,244
PG&E Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.8125% 6/23/25 (g)(h)(i)
 
10,329
10,145
TOTAL UTILITIES
 
 
13,389
 
TOTAL BANK LOAN OBLIGATIONS
  (Cost $181,281)
 
 
 
161,482
 
 
 
 
Other - 0.7%
 
 
Shares
Value ($)
(000s)
 
Other - 0.7%
 
 
 
Fidelity Direct Lending Fund, LP (b)(k)
  (Cost $23,313)
 
 
23,052
 
 
 
 
Money Market Funds - 5.9%
 
 
Shares
Value ($)
(000s)
 
Fidelity Cash Central Fund 3.10% (l)
 
  (Cost $177,204)
 
 
177,168,644
177,204
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 98.2%
  (Cost $3,466,198)
 
 
 
2,955,801
NET OTHER ASSETS (LIABILITIES) - 1.8%  
52,694
NET ASSETS - 100.0%
3,008,495
 
 
 
 
 
Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues).  At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $76,916,000 or 2.6% of net assets.
 
(c)
Level 3 security
 
(d)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,063,494,000 or 68.6% of net assets.
 
(e)
Non-income producing - Security is in default.
 
(f)
Non-income producing
 
(g)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(h)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(i)
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.
 
(j)
Position or a portion of the position represents an unfunded loan commitment.  At period end, the total principal amount and market value of unfunded commitments totaled $2,415,000 and $2,202,000, respectively.
 
(k)
Affiliated Fund
 
(l)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
 
 
Additional information on each restricted holding is as follows:
Security
Acquisition Date
Acquisition Cost ($)
(000s)
Fidelity Direct Lending Fund, LP
12/09/21 - 10/31/22
23,313
 
 
 
Mesquite Energy, Inc. 15% 7/15/23
7/10/20 - 1/18/22
1,682
 
 
 
Mesquite Energy, Inc. 15% 7/15/23
11/05/20 - 1/18/22
2,899
 
 
 
Southeastern Grocers, Inc.
6/01/18
8,689
 
 
 
 
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 3.10%
69,623
568,779
461,198
1,346
-
-
177,204
0.4%
Total
69,623
568,779
461,198
1,346
-
-
177,204
 
 
 
 
 
 
 
 
 
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
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 ($)
Fidelity Direct Lending Fund, LP
14,951
8,376
-
831
-
(275)
23,052
 
14,951
8,376
-
831
-
(275)
23,052
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of October 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
 
Amounts in this Investment Valuation section exclude the value of Fidelity Direct Lending Fund, LP as presented in the Schedule of Investments. Fidelity Direct Lending Fund, LP is valued using NAV as a practical expedient.
 
Valuation Inputs at Reporting Date:
Description
(Amounts in thousands)
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
  Investments in Securities:
 
 
 
 
 Equities:
 
 
 
 
Communication Services
1,791
1,767
-
24
Consumer Discretionary
6,043
6,043
-
-
Consumer Staples
26,720
-
-
26,720
Energy
35,398
10,041
-
25,357
Information Technology
447
-
-
447
 Corporate Bonds
2,523,664
-
2,496,520
27,144
 Bank Loan Obligations
161,482
-
155,199
6,283
  Money Market Funds
177,204
177,204
-
-
 Total Investments in Securities:
2,932,749
195,055
2,651,719
85,975
 
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:
 
(Amounts in thousands)
 
Investments in Securities:
 
  Beginning Balance
$
84,840
 
  Net Realized Gain (Loss) on Investment Securities
 
(7)
 
  Net Unrealized Gain (Loss) on Investment Securities
 
1,574
 
  Cost of Purchases
 
-
 
  Proceeds of Sales
 
(454)
 
  Amortization/Accretion
 
22
 
  Transfers into Level 3
 
-
 
  Transfers out of Level 3
 
-
 
  Ending Balance
$
85,975
 
  The change in unrealized gain (loss) for the period attributable to Level 3 securities held at October 31, 2022
$
1,574
 
 
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Cost of purchases and proceeds of sales may include securities received and/or delivered through in-kind transactions. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations.
 
 
Financial Statements   (Unaudited)
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts)
 
 
 
October 31, 2022
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $3,265,681)
 
$2,755,545
 
 
Fidelity Central Funds (cost $177,204)
 
177,204
 
 
Other affiliated issuers (cost $23,313)
 
23,052
 
 
 
 
 
 
 
Total Investment in Securities (cost $3,466,198)
 
 
$
2,955,801
Cash
 
 
 
121
Receivable for investments sold
 
 
 
29,786
Receivable for fund shares sold
 
 
 
1,826
Dividends receivable
 
 
 
230
Interest receivable
 
 
 
43,708
Distributions receivable from Fidelity Central Funds
 
 
 
381
Prepaid expenses
 
 
 
5
  Total assets
 
 
 
3,031,858
Liabilities
 
 
 
 
Payable for investments purchased
 
$15,326
 
 
Payable for fund shares redeemed
 
3,747
 
 
Distributions payable
 
2,455
 
 
Accrued management fee
 
1,353
 
 
Distribution and service plan fees payable
 
41
 
 
Other affiliated payables
 
392
 
 
Other payables and accrued expenses
 
49
 
 
  Total Liabilities
 
 
 
23,363
Net Assets  
 
 
$
3,008,495
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
3,977,024
Total accumulated earnings (loss)
 
 
 
(968,529)
Net Assets
 
 
$
3,008,495
 
 
 
 
 
Net Asset Value and Maximum Offering Price
 
 
 
 
Class A :
 
 
 
 
Net Asset Value and redemption price per share ($119,478 ÷ 16,342 shares) (a)
 
 
$
7.31
Maximum offering price per share (100/96.00 of $7.31)
 
 
$
7.61
Class M :
 
 
 
 
Net Asset Value and redemption price per share ($27,598 ÷ 3,775 shares) (a)
 
 
$
7.31
Maximum offering price per share (100/96.00 of $7.31)
 
 
$
7.61
Class C :
 
 
 
 
Net Asset Value and offering price per share ($13,394 ÷ 1,831 shares) (a)(b)
 
 
$
7.31
Fidelity High Income Fund :
 
 
 
 
Net Asset Value , offering price and redemption price per share ($2,694,659 ÷ 368,552 shares)
 
 
$
7.31
Class I :
 
 
 
 
Net Asset Value , offering price and redemption price per share ($94,239 ÷ 12,884 shares)
 
 
$
7.31
Class Z :
 
 
 
 
Net Asset Value , offering price and redemption price per share ($59,127 ÷ 8,086 shares)
 
 
$
7.31
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
(b)Corresponding Net Asset Value does not calculate due to rounding of fractional net assets and/or units
Statement of Operations
Amounts in thousands
 
 
 
Six months ended
October 31, 2022
(Unaudited)
Investment Income
 
 
 
 
Dividends (including $831 earned from affiliated issuers)
 
 
$
7,649
Interest  
 
 
87,093
Income from Fidelity Central Funds  
 
 
 
1,346
 Total Income
 
 
 
96,088
Expenses
 
 
 
 
Management fee
$
8,756
 
 
Transfer agent fees
 
1,979
 
 
Distribution and service plan fees
 
264
 
 
Accounting fees and expenses
 
509
 
 
Custodian fees and expenses
 
11
 
 
Independent trustees' fees and expenses
 
6
 
 
Registration fees
 
50
 
 
Audit
 
53
 
 
Legal
 
500
 
 
Miscellaneous
 
12
 
 
 Total expenses before reductions
 
12,140
 
 
 Expense reductions
 
(56)
 
 
 Total expenses after reductions
 
 
 
12,084
Net Investment income (loss)
 
 
 
84,004
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
(82,652)
 
 
Total net realized gain (loss)
 
 
 
(82,652)
Change in net unrealized appreciation (depreciation) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
(180,176)
 
 
   Affiliated issuers
 
(275)
 
 
Total change in net unrealized appreciation (depreciation)
 
 
 
(180,451)
Net gain (loss)
 
 
 
(263,103)
Net increase (decrease) in net assets resulting from operations
 
 
$
(179,099)
Statement of Changes in Net Assets
 
Amount in thousands
 
Six months ended
October 31, 2022
(Unaudited)
 
Year ended
April 30, 2022
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
84,004
$
220,892
Net realized gain (loss)
 
(82,652)
 
 
211,004
 
Change in net unrealized appreciation (depreciation)
 
(180,451)
 
(556,211)
 
Net increase (decrease) in net assets resulting from operations
 
(179,099)
 
 
(124,315)
 
Distributions to shareholders
 
(78,128)
 
 
(240,456)
 
Share transactions - net increase (decrease)
 
(313,082)
 
 
(4,669,187)
 
Total increase (decrease) in net assets
 
(570,309)
 
 
(5,033,958)
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
3,578,804
 
8,612,762
 
End of period
$
3,008,495
$
3,578,804
 
 
 
 
 
 
 
 
 
 
 
 
Financial Highlights
Fidelity Advisor® High Income Fund Class A
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019   A
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
7.91
$
8.71
$
7.93
$
8.83
$
8.56
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.187
 
.345
 
.368
 
.438
 
.192
     Net realized and unrealized gain (loss)
 
(.614)
 
(.760)
 
.772
 
(.908)
 
.286
  Total from investment operations
 
(.427)  
 
(.415)  
 
1.140  
 
(.470)  
 
.478
  Distributions from net investment income
 
(.173)
 
(.385)
 
(.360)
 
(.430)
 
(.208)
     Total distributions
 
(.173)
 
(.385)
 
(.360)
 
(.430)
 
(.208)
  Net asset value, end of period
$
7.31
$
7.91
$
8.71
$
7.93
$
8.83
 Total Return   D,E,F
 
(5.41)%
 
(5.02)%
 
14.56%
 
(5.63)%
 
5.68%
 Ratios to Average Net Assets C,G,H
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
1.02% I
 
.99%
 
.98%
 
.98%
 
.99% I
    Expenses net of fee waivers, if any
 
1.02% I
 
.99%
 
.98%
 
.98%
 
.99% I
    Expenses net of all reductions
 
1.01% I
 
.99%
 
.98%
 
.98%
 
.99% I
    Net investment income (loss)
 
4.95% I
 
4.02%
 
4.32%
 
5.04%
 
5.60% I
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
119  
$
132
$
148
$
144
$
170
    Portfolio turnover rate J
 
20% I
 
54% K
 
62%
 
44% K
 
62% L
 
A For the period December 4, 2018 (commencement of sale of shares) through April 30, 2019.
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Total returns do not include the effect of the sales charges.
 
G Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. For additional expense information related to investments in Fidelity Direct Lending Fund, LP, please refer to the Investment in Fidelity Direct Lending Fund, LP note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
I Annualized
 
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
K Portfolio turnover rate excludes securities received or delivered in-kind.
 
L The portfolio turnover rate does not include the assets acquired in the merger.
 
Fidelity Advisor® High Income Fund Class M
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019   A
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
7.91
$
8.71
$
7.93
$
8.83
$
8.56
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.187
 
.345
 
.367
 
.438
 
.191
     Net realized and unrealized gain (loss)
 
(.614)
 
(.761)
 
.772
 
(.909)
 
.286
  Total from investment operations
 
(.427)  
 
(.416)  
 
1.139  
 
(.471)  
 
.477
  Distributions from net investment income
 
(.173)
 
(.384)
 
(.359)
 
(.429)
 
(.207)
     Total distributions
 
(.173)
 
(.384)
 
(.359)
 
(.429)
 
(.207)
  Net asset value, end of period
$
7.31
$
7.91
$
8.71
$
7.93
$
8.83
 Total Return   D,E,F
 
(5.42)%
 
(5.03)%
 
14.55%
 
(5.64)%
 
5.68%
 Ratios to Average Net Assets C,G,H
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
1.03% I
 
1.00%
 
.99%
 
.99%
 
1.01% I
    Expenses net of fee waivers, if any
 
1.02% I
 
1.00%
 
.99%
 
.99%
 
1.01% I
    Expenses net of all reductions
 
1.02% I
 
1.00%
 
.99%
 
.99%
 
1.01% I
    Net investment income (loss)
 
4.94% I
 
4.01%
 
4.31%
 
5.02%
 
5.59% I
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
28  
$
30
$
36
$
40
$
50
    Portfolio turnover rate J
 
20% I
 
54% K
 
62%
 
44% K
 
62% L
 
A For the period December 4, 2018 (commencement of sale of shares) through April 30, 2019.
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Total returns do not include the effect of the sales charges.
 
G Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. For additional expense information related to investments in Fidelity Direct Lending Fund, LP, please refer to the Investment in Fidelity Direct Lending Fund, LP note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
I Annualized
 
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
K Portfolio turnover rate excludes securities received or delivered in-kind.
 
L The portfolio turnover rate does not include the assets acquired in the merger.
 
Fidelity Advisor® High Income Fund Class C
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019   A
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
7.91
$
8.71
$
7.93
$
8.83
$
8.56
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.159
 
.281
 
.302
 
.372
 
.166
     Net realized and unrealized gain (loss)
 
(.614)
 
(.763)
 
.772
 
(.909)
 
.285
  Total from investment operations
 
(.455)  
 
(.482)  
 
1.074  
 
(.537)  
 
.451
  Distributions from net investment income
 
(.145)
 
(.318)
 
(.294)
 
(.363)
 
(.181)
     Total distributions
 
(.145)
 
(.318)
 
(.294)
 
(.363)
 
(.181)
  Net asset value, end of period
$
7.31
$
7.91
$
8.71
$
7.93
$
8.83
 Total Return   D,E,F
 
(5.78)%
 
(5.75)%
 
13.68%
 
(6.35)%
 
5.36%
 Ratios to Average Net Assets C,G,H
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
1.78% I
 
1.76%
 
1.75%
 
1.75%
 
1.77% I
    Expenses net of fee waivers, if any
 
1.78% I
 
1.76%
 
1.75%
 
1.75%
 
1.77% I
    Expenses net of all reductions
 
1.78% I
 
1.76%
 
1.75%
 
1.75%
 
1.77% I
    Net investment income (loss)
 
4.18% I
 
3.25%
 
3.55%
 
4.27%
 
4.84% I
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
13  
$
17
$
30
$
36
$
52
    Portfolio turnover rate J
 
20% I
 
54% K
 
62%
 
44% K
 
62% L
 
A For the period December 4, 2018 (commencement of sale of shares) through April 30, 2019.
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Total returns do not include the effect of the contingent deferred sales charge.
 
G Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. For additional expense information related to investments in Fidelity Direct Lending Fund, LP, please refer to the Investment in Fidelity Direct Lending Fund, LP note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
I Annualized
 
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
K Portfolio turnover rate excludes securities received or delivered in-kind.
 
L The portfolio turnover rate does not include the assets acquired in the merger.
 
Fidelity® High Income Fund
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019  
 
2018    
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
7.91
$
8.71
$
7.93
$
8.83
$
8.83
$
8.94
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
 
.198
 
.371
 
.392
 
.464
 
.493
 
.513
     Net realized and unrealized gain (loss)
 
(.614)
 
(.761)
 
.772
 
(.909)
 
- C
 
(.137)
  Total from investment operations
 
(.416)  
 
(.390)  
 
1.164  
 
(.445)  
 
.493
 
.376
  Distributions from net investment income
 
(.184)
 
(.410)
 
(.384)
 
(.455)
 
(.493)
 
(.486)
     Total distributions
 
(.184)
 
(.410)
 
(.384)
 
(.455)
 
(.493)
 
(.486)
  Redemption fees added to paid in capital A
 
-
 
-
 
-
 
-
 
-
 
- C
  Net asset value, end of period
$
7.31
$
7.91
$
8.71
$
7.93
$
8.83
$
8.83
 Total Return   D,E
 
(5.28)%
 
(4.75)%
 
14.89%
 
(5.35)%
 
5.83%
 
4.27%
 Ratios to Average Net Assets B,F,G
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.73% H
 
.70%
 
.69%
 
.69%
 
.70%
 
.70%
    Expenses net of fee waivers, if any
 
.73% H
 
.70%
 
.69%
 
.69%
 
.70%
 
.70%
    Expenses net of all reductions
 
.73% H
 
.70%
 
.69%
 
.69%
 
.70%
 
.70%
    Net investment income (loss)
 
5.23% H
 
4.31%
 
4.61%
 
5.33%
 
5.66%
 
5.73%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
2,695  
$
3,181
$
4,139
$
3,871
$
4,392
$
4,324
    Portfolio turnover rate I
 
20% H
 
54% J
 
62%
 
44% J
 
62% K
 
51%
 
A Calculated based on average shares outstanding during the period.
 
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
C Amount represents less than $.0005 per share.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. For additional expense information related to investments in Fidelity Direct Lending Fund, LP, please refer to the Investment in Fidelity Direct Lending Fund, LP note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
J Portfolio turnover rate excludes securities received or delivered in-kind.
 
K The portfolio turnover rate does not include the assets acquired in the merger.
 
Fidelity Advisor® High Income Fund Class I
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019   A
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
7.91
$
8.71
$
7.93
$
8.83
$
8.56
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.195
 
.390
 
.390
 
.458
 
.199
     Net realized and unrealized gain (loss)
 
(.613)
 
(.774)
 
.771
 
(.907)
 
.286
  Total from investment operations
 
(.418)  
 
(.384)  
 
1.161  
 
(.449)  
 
.485
  Distributions from net investment income
 
(.182)
 
(.416)
 
(.381)
 
(.451)
 
(.215)
     Total distributions
 
(.182)
 
(.416)
 
(.381)
 
(.451)
 
(.215)
  Net asset value, end of period
$
7.31
$
7.91
$
8.71
$
7.93
$
8.83
 Total Return   D,E
 
(5.30)%
 
(4.68)%
 
14.85%
 
(5.40)%
 
5.77%
 Ratios to Average Net Assets C,F,G
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.84% H
 
.72%
 
.73%
 
.74%
 
.78% H
    Expenses net of fee waivers, if any
 
.79% H
 
.71%
 
.73%
 
.74%
 
.78% H
    Expenses net of all reductions
 
.79% H
 
.71%
 
.73%
 
.74%
 
.78% H
    Net investment income (loss)
 
5.17% H
 
4.29%
 
4.57%
 
5.28%
 
5.81% H
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
94  
$
85
$
4,010
$
558
$
448
    Portfolio turnover rate I
 
20% H
 
54% J
 
62%
 
44% J
 
62% K
 
A For the period December 4, 2018 (commencement of sale of shares) through April 30, 2019.
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. For additional expense information related to investments in Fidelity Direct Lending Fund, LP, please refer to the Investment in Fidelity Direct Lending Fund, LP note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
J Portfolio turnover rate excludes securities received or delivered in-kind.
 
K The portfolio turnover rate does not include the assets acquired in the merger.
 
Fidelity Advisor® High Income Fund Class Z
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019   A
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
7.91
$
8.71
$
7.93
$
8.83
$
8.56
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.202
 
.378
 
.399
 
.464
 
.201
     Net realized and unrealized gain (loss)
 
(.615)
 
(.763)
 
.770
 
(.904)
 
.289
  Total from investment operations
 
(.413)  
 
(.385)  
 
1.169  
 
(.440)  
 
.490
  Distributions from net investment income
 
(.187)
 
(.415)
 
(.389)
 
(.460)
 
(.220)
     Total distributions
 
(.187)
 
(.415)
 
(.389)
 
(.460)
 
(.220)
  Net asset value, end of period
$
7.31
$
7.91
$
8.71
$
7.93
$
8.83
 Total Return   D,E
 
(5.24)%
 
(4.68)%
 
14.96%
 
(5.30)%
 
5.83%
 Ratios to Average Net Assets C,F,G
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.66% H
 
.64%
 
.63%
 
.63%
 
.64% H
    Expenses net of fee waivers, if any
 
.66% H
 
.63%
 
.63%
 
.63%
 
.64% H
    Expenses net of all reductions
 
.66% H
 
.63%
 
.62%
 
.63%
 
.63% H
    Net investment income (loss)
 
5.30% H
 
4.37%
 
4.67%
 
5.39%
 
5.85% H
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
59  
$
133
$
250
$
61
$
13
    Portfolio turnover rate I
 
20% H
 
54% J
 
62%
 
44% J
 
62% K
 
A For the period December 4, 2018 (commencement of sale of shares) through April 30, 2019.
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. For additional expense information related to investments in Fidelity Direct Lending Fund, LP, please refer to the Investment in Fidelity Direct Lending Fund, LP note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
J Portfolio turnover rate excludes securities received or delivered in-kind.
 
K The portfolio turnover rate does not include the assets acquired in the merger.
 
For the period ended October 31, 2022
( Amounts in thousands except percentages)
 
1. Organization.
Fidelity High Income Fund (the Fund) is a fund of Fidelity Summer Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Fidelity High Income Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
 
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense Ratio A
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
 
A   Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Investment in Fidelity Direct Lending Fund, LP.
 
The Fund invests in Fidelity Direct Lending Fund, LP, which is a limited partnership available only to certain investment companies managed by the investment adviser and its affiliates. The Fund's limited partnership interest is not registered under the Securities Act of 1933, and is subject to substantial restrictions on transfer. The Fund has no redemption rights under the partnership agreement. There will be no trading market for the partnership interest, and the Fund most likely will hold its interest until Fidelity Direct Lending Fund, LP converts by operation of law to a Delaware corporation, trust, or other limited liability entity and (i) registers as a closed-end management investment company under the 1940 Act or (ii) elects to be treated as a business development company under the 1940 Act.
 
Based on its investment objective, Fidelity Direct Lending Fund, LP may invest or participate in various investments or strategies that are similar to those in which the Fund may invest or participate. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of Fidelity Direct Lending Fund, LP and thus a decline in the value of the Fund. The Fidelity Direct Lending Fund, LP intends to invest primarily in direct loans made to private U.S. companies, specifically small- and middle-market companies.
 
The Schedule of Investments lists Fidelity Direct Lending Fund, LP as an investment as of period end, but does not include the underlying holdings of Fidelity Direct Lending Fund, LP. Fidelity Direct Lending Fund, LP represented less than 5% of the Fund's net assets at period end. The Fund indirectly bears its proportionate share of the expenses of Fidelity Direct Lending Fund, LP, which commenced operations on December 8, 2021. The annualized expense ratio for Fidelity Direct Lending Fund, LP for the period ended April 30, 2022 was .07%.
4. Significant Accounting Policies.
 
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies . The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
 
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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 Fund categorizes the inputs to valuation techniques used to value its investments 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 the Fund's investments by major category are as follows:
 
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds and bank loan obligations 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. 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. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
 
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 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. Securities, including private placements or other restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach, the income approach and cost approach, and are categorized as Level 3 in the hierarchy. The market approach considers factors including the price of recent investments in the same or a similar security or financial metrics of comparable securities. The income approach considers factors including expected future cash flows, security specific risks and corresponding discount rates. The cost approach considers factors including the value of the security's underlying assets and liabilities.
 
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
Fidelity Direct Lending Fund, LP is valued using NAV as a practical expedient in accordance with the specialized accounting guidance for investment companies.
 
The following provides information on Level 3 securities held by the Fund that were valued at period end based on unobservable inputs. These amounts exclude valuations provided by a broker   and valuations using NAV as a practical expedient.
 
Asset Type
Fair Value
Valuation Technique(s)
Unobservable Input
Amount or Range/Weighted Average
Impact to Valuation from an Increase in Input A
Equities
$52,548
Recovery value
Recovery value
$1.00 - $45,228.15 / $2,280.86
Increase
 
 
Market comparable
Enterprise value/EBITDA multiple (EV/EBITDA)
2.8 - 3.9 / 3.5
Increase
 
 
 
Daily production multiple ($/Barrels of oil equivilent per day)
$22,500.00
Increase
 
 
 
Enterprise Value/PV-10 multiple (EV/PV-10)
0.8
Increase
 
 
 
Enterprise Value/Proved Reserves multiple
5.9
Increase
 
 
Discounted cash flow
Discount rate
10.0%
Decrease
 
 
 
Reserve risk rate
50.0%
Increase
Corporate Bond
$27,144
Recovery value
Recovery value
$0.00
Increase
 
 
Market comparable
Enterprise value/EBITDA multiple (EV/EBITDA)
2.8
Increase
 
 
 
Daily production multiple ($/Barrels of oil equivilent per day)
$22,500.00
Increase
 
 
 
Enterprise Value/PV-10 multiple (EV/PV-10)
0.8%
Increase
 
 
 
Enterprise Value/Proved Reserves multiple
5.9%
Increase
 
 
Discounted cash flow
Discount rate
10%
Decrease
 
 
 
Reserve risk rate
50.0% - 95.0% / 72.5%
Increase
Bank Loan Obligations
$6,283
Recovery value
Recovery value
0.0%
Increase
 
 
Indicative market price
Evaluated bid
$95.00
Increase
 
A   Represents the directional change in the fair value of the Level 3 investments that could have resulted from an increase in the corresponding input as of period end. A decrease to the unobservable input would have had the opposite effect. Significant changes in these inputs may have resulted in a significantly higher or lower fair value measurement at period end.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of October 31, 2022, as well as a roll forward of Level 3 investments, is included at the end of the Fund's Schedule of Investments.
 
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost   and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
 
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.  
 
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
 
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
 
Book-tax differences are primarily due to prior period premium and discount on debt securities, market discount, redemptions in kind, partnerships, capital loss carryforwards and losses deferred due to wash sales.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
 
Gross unrealized appreciation
$66,449
Gross unrealized depreciation
(568,351)
Net unrealized appreciation (depreciation)
$(501,902)
Tax cost
$3,457,703
 
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
 
  Short-term
$(94,633)
  Long-term
(294,252)
Total capital loss carryforward
$(388,885)
 
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
 
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.
 
Commitments. A commitment is an agreement to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. The amount of commitments outstanding at period end are presented in the table below. These commitments are not included in the net assets of the Fund at period end.
 
 
Investment to be Acquired
Commitment Amount
Fidelity High Income Fund
Fidelity Direct Lending Fund, LP
$31,687
 
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
 
Purchases ($)
Sales ($)
Fidelity High Income Fund
310,686
758,842
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .55% of the Fund's average net assets.
 
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
 
Distribution Fee
Service Fee
Total Fees
Retained by FDC
Class A
- %
.25%
$153
$- A
Class M
- %
.25%
36
-
Class C
.75%
.25%
75
6
 
 
 
$264
$6
A In the amount represents less than $500.
 
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.
For the period, sales charge amounts retained by FDC were as follows:
 
 
Retained by FDC
Class A
$4
Class C A
1
 
$5
 
A   When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
 
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class Z. FIIOC receives an asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
For the period, transfer agent fees for each class were as follows:
 
 
Amount
% of Class-Level Average Net Assets A
Class A
$97
.16
Class M
24
.16
Class C
13
.18
Fidelity High Income Fund
1,718
.12
Class I
108
.23
Class Z
19
.05
 
$1,979
 
During the period, the investment adviser or its affiliates waived a portion of these fees.
 
A   Annualized
 
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annualized rates:
 
% of Average Net Assets
Fidelity High Income Fund
.03
 
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
 
 
Amount
Fidelity High Income Fund
$- A
 
A   In the amount represents less than $500.
 
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
 
Purchases ($)
Sales ($)
Realized Gain (Loss) ($)
Fidelity High Income Fund
-
3,084
81
 
Prior Fiscal Year Affiliated Redemptions In-Kind. Shares that were redeemed in-kind for investments, including accrued interest and cash, if any, are shown in the table below; along with realized gain or loss on investments delivered through in-kind redemptions. The amount of the in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets. There was no gain or loss for federal income tax purposes.
 
Shares
Total net realized gain or loss
($)
Total Proceeds
($)
Participating classes
Fidelity High Income Fund
479,966
172,034
4,188,784
Class I & Class Z
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
 
Amount
Fidelity High Income Fund
$3
8. Expense Reductions.
FIIOC voluntarily agreed to waive Class I transfer agent fees to the extent that they exceeded certain levels of class-level average net assets as noted in the table below. This waiver will remain in place through June 30, 2023.
 
 
Transfer Agent Fees Limitation
Waiver
Class I
.15%/.19% A
$23
 
A   Transfer agent fees limitation effective July 1, 2022.
 
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $2.
 
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of fund-level operating expenses in the amount of $31.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
 
Six months ended
October 31, 2022
Year ended
April 30, 2022
Fidelity High Income Fund
 
 
Distributions to shareholders
 
 
Class A
$2,850
$6,554
Class M
661
1,513
Class C
288
831
Fidelity High Income Fund
70,197
178,412
Class I
2,290
31,049
Class Z
1,842
22,097
Total   
$78,128
$240,456
10. Share Transactions.
Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
 
Shares
Shares
Dollars
Dollars
 
Six months ended October 31, 2022
Year ended April 30, 2022
Six months ended October 31, 2022
Year ended April 30, 2022
Fidelity High Income Fund
 
 
 
 
Class A
 
 
 
 
Shares sold
934
2,452
$7,068
$21,067
Reinvestment of distributions
351
699
2,612
5,992
Shares redeemed
(1,629)
(3,491)
(12,255)
(29,901)
Net increase (decrease)
(344)
(340)
$(2,575)
$(2,842)
Class M
 
 
 
 
Shares sold
187
322
$1,435
$2,710
Reinvestment of distributions
78
158
578
1,351
Shares redeemed
(314)
(812)
(2,363)
(6,983)
Net increase (decrease)
(49)
(332)
$(350)
$(2,922)
Class C
 
 
 
 
Shares sold
59
356
$445
$3,077
Reinvestment of distributions
36
90
271
771
Shares redeemed
(417)
(1,717)
(3,121)
(14,804)
Net increase (decrease)
(322)
(1,271)
$(2,405)
$(10,956)
Fidelity High Income Fund
 
 
 
 
Shares sold
18,771
80,328
$141,405
$693,806
Reinvestment of distributions
7,561
16,883
56,363
144,797
Shares redeemed
(60,119)
(170,267)
(454,493)
(1,465,748)
Net increase (decrease)
(33,787)
(73,056)
$(256,725)
$(627,145)
Class I
 
 
 
 
Shares sold
10,323
31,952
$78,151
$277,895
Reinvestment of distributions
288
3,376
2,145
29,375
Shares redeemed
(8,449)
(485,210)
(63,838)
(4,252,953)
Net increase (decrease)
2,162
(449,882)
$16,458
$(3,945,683)
Class Z
 
 
 
 
Shares sold
2,315
51,130
$16,933
$445,549
Reinvestment of distributions
219
2,488
1,646
21,382
Shares redeemed
(11,332)
(65,393)
(86,064)
(546,569)
Net increase (decrease)
(8,798)
(11,775)
$(67,485)
$(79,638)
11. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
12. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer.
 
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2022 to October 31, 2022).
 
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
 
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
 
 
 
Annualized Expense Ratio- A
 
Beginning Account Value May 1, 2022
 
Ending Account Value October 31, 2022
 
Expenses Paid During Period- C May 1, 2022 to October 31, 2022
Fidelity® High Income Fund
 
 
 
 
 
 
 
 
 
 
Class A
 
 
 
1.02%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 945.90
 
$ 5.00
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,020.06
 
$ 5.19
Class M
 
 
 
1.02%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 945.80
 
$ 5.00
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,020.06
 
$ 5.19
Class C
 
 
 
1.78%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 942.20
 
$ 8.71
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,016.23
 
$ 9.05
Fidelity® High Income Fund
 
 
 
.73%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 947.20
 
$ 3.58
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,021.53
 
$ 3.72
Class I
 
 
 
.79%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 947.00
 
$ 3.88
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,021.22
 
$ 4.02
Class Z
 
 
 
.66%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 947.60
 
$ 3.24
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,021.88
 
$ 3.36
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
 
 
 
 
Fidelity High Income Fund
 
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
 
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees (Committees), each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.
 
At its May 2022 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and the total expense ratio of a representative class (retail class); (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
 
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.
 
Nature, Extent, and Quality of Services Provided . The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.
 
Resources Dedicated to Investment Management and Support Services . The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to expansion of Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties, and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.  
 
Shareholder and Administrative Services . The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.  
 
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials, and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.
 
Investment in a Large Fund Family . The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain target date funds and classes and index funds; (vii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (viii) rationalizing product lines and gaining increased efficiencies from fund mergers and liquidations; (ix) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (x) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.
 
Investment Performance . The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that the fund had a portfolio manager change in January 2022. The Board will continue to monitor closely the fund's performance, taking into account the portfolio manager change.
 
The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance, the Board gave particular attention to information indicating changes in performance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance.  
 
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on net performance (after fees and expenses) of the representative class, compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; issuer-specific information; and fund cash flows and other factors.  
 
The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods ended September 30, 2021, as shown below. Returns are shown compared to the 25th percentile (top of box, 75% beaten) and 75th percentile (bottom of box, 25% beaten) of the peer universe.
Fidelity High Income Fund
The Board considered the fund's underperformance for different time periods ended September 30, 2021 and for different time periods ended December 31, 2021 (which periods are not reflected in the chart above). The Board noted that the fund's underperformance has continued since the Board approved the management contract in May 2021. The Board's discussions with FMR regarding underperformance cover topics including, but not limited to: the longer-term track record of a fund's portfolio manager(s); broader trends in the market that may adversely impact a fund's performance; and attribution reports on contributors to the fund's underperformance. The Board engages with FMR on steps that might be taken to address a fund's underperformance. For a fund with underperformance over longer periods of time, the Board typically monitors the fund's performance more closely.
 
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
 
Competitiveness of Management Fee and Total Expense Ratio . The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.
 
Management Fee . The Board considered two proprietary management fee comparisons for the 12-month periods ended September 30 (June 30 for periods ended 2019 and 2018 and December 31 for periods prior to 2018) shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group is broader than the Lipper peer group used by the Board for performance comparisons because the Total Mapped Group combines several Lipper investment objective categories while the Lipper peer group does not. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.
 
Fidelity High Income Fund  
The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and equal to the median of its ASPG for the 12-month period ended September 30, 2021.
 
The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.
 
Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.
 
Total Expense Ratio . In its review of the total expense ratio of the representative class (retail class), the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund. The fund's representative class is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure. The Board also considered a total expense ASPG comparison, which focuses on the total expenses of the representative class relative to a subset of non-Fidelity funds within the total expense similar sales load structure group. The total expense ASPG is limited to 15 larger and 15 smaller classes in fund average assets for a total of 30 classes, where possible. The total expense ASPG comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.
 
The Board noted that the total net expense ratio of the retail class ranked below the similar sales load structure group competitive median and below the ASPG competitive median for the 12-month period ended September 30, 2021.  
 
Fees Charged to Other Fidelity Clients . The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.
 
Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
 
Costs of the Services and Profitability . The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
 
On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies and the full Board approves such changes.
 
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
 
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.
 
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.
 
Economies of Scale . The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.
 
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total "group assets" increase, and for higher group fee rates as total "group assets" decrease ("group assets" as defined in the management contract). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board further considered that Fidelity agreed to impose a temporary fee waiver in the form of additional breakpoints to the current breakpoint schedule. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as "group assets" increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
 
The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.
 
Additional Information Requested by the Board . In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) fund flow and performance trends, in particular the underperformance of certain funds and strategies, and Fidelity's long-term strategies for certain funds, including any consideration of fund liquidations or mergers; (ii) the operation of performance fees, competitor use of performance fees, and consideration of the expansion of performance fees to additional funds; (iii) Fidelity's pricing philosophy compared to competitors; (iv) fund profitability methodology and data; (v) evaluation of competitive fund data and peer group classifications and fee and expense comparisons; (vi) the management fee and expense structures for different funds and classes and information about the differences between various fee and expense structures; (vii) group fee breakpoints and related voluntary fee waivers; and (viii) information regarding other accounts managed by Fidelity and the funds' sub-advisory arrangements.
 
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable and that the fund's Advisory Contracts should be renewed.
 
1.538299.125
SPH-SANN-1222
Fidelity® Global High Income Fund
 
 
Semi-Annual Report
October 31, 2022
Includes Fidelity and Fidelity Advisor share classes

Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

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This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
 
 
Top Bond Issuers (% of Fund's net assets)
(with maturities greater than one year)
 
German Federal Republic
2.1
 
Occidental Petroleum Corp.
1.5
 
InterGen NV
1.1
 
Tenet Healthcare Corp.
1.1
 
DISH Network Corp.
1.0
 
Pacific Gas & Electric Co.
0.9
 
Community Health Systems, Inc.
0.9
 
Mesquite Energy, Inc.
0.9
 
Sprint Capital Corp.
0.9
 
CCO Holdings LLC/CCO Holdings Capital Corp.
0.8
 
 
11.2
 
 
Market Sectors (% of Fund's net assets)
 
Energy
16.5
 
Telecommunications
7.6
 
Utilities
6.3
 
Healthcare
5.4
 
Banks & Thrifts
4.8
 
 
Quality Diversification (% of Fund's net assets)
 
 
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
 
Asset Allocation (% of Fund's net assets)
Foreign investments - 41.9%
Geographic Diversification (% of Fund's net assets)
 
*    Includes Short-Term investments and Net Other Assets (Liabilities).  
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
 
 
 
Showing Percentage of Net Assets
Corporate Bonds - 80.6%
 
 
Principal
Amount (a)
 
Value ($)
 
Convertible Bonds - 1.9%
 
 
 
Broadcasting - 1.0%
 
 
 
DISH Network Corp.:
 
 
 
 0% 12/15/25
 
86,000
57,895
 2.375% 3/15/24
 
210,000
190,470
 3.375% 8/15/26
 
646,000
446,709
 
 
 
695,074
Diversified Financial Services - 0.2%
 
 
 
New Cotai LLC 5% 2/24/27 (b)
 
146,985
142,576
Energy - 0.6%
 
 
 
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
 
27,566
163,406
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
 
47,694
282,720
 
 
 
446,126
Telecommunications - 0.1%
 
 
 
Cellnex Telecom SA 0.75% 11/20/31 (Reg. S)
EUR
100,000
67,285
TOTAL CONVERTIBLE BONDS
 
 
1,351,061
Nonconvertible Bonds - 78.7%
 
 
 
Aerospace - 1.4%
 
 
 
ATI, Inc.:
 
 
 
 4.875% 10/1/29
 
35,000
29,429
 5.125% 10/1/31
 
25,000
20,610
 5.875% 12/1/27
 
70,000
63,626
Bombardier, Inc.:
 
 
 
 6% 2/15/28 (d)
 
110,000
97,889
 7.875% 4/15/27 (d)
 
170,000
161,454
Embraer Netherlands Finance BV 5.05% 6/15/25
 
75,000
70,481
Moog, Inc. 4.25% 12/15/27 (d)
 
20,000
17,897
Rolls-Royce PLC 5.75% 10/15/27 (d)
 
55,000
49,773
TransDigm, Inc.:
 
 
 
 4.875% 5/1/29
 
200,000
171,051
 5.5% 11/15/27
 
335,000
303,175
Wesco Aircraft Holdings, Inc. 8.5% 11/15/24 (d)
 
45,000
23,400
 
 
 
1,008,785
Air Transportation - 0.7%
 
 
 
Air Canada 3.875% 8/15/26 (d)
 
65,000
57,513
Allegiant Travel Co. 7.25% 8/15/27 (d)
 
40,000
37,602
Azul Investments LLP 5.875% 10/26/24 (d)
 
200,000
149,500
Mileage Plus Holdings LLC 6.5% 6/20/27 (d)
 
52,250
51,655
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. 8% 9/20/25 (d)
 
38,896
39,511
United Airlines, Inc.:
 
 
 
 4.375% 4/15/26 (d)
 
80,000
73,013
 4.625% 4/15/29 (d)
 
50,000
42,765
Western Global Airlines LLC 10.375% 8/15/25 (d)
 
60,000
50,400
 
 
 
501,959
Automotive - 0.2%
 
 
 
Ford Motor Credit Co. LLC 3.625% 6/17/31
 
200,000
155,535
Automotive & Auto Parts - 2.2%
 
 
 
Albion Financing 1 SARL 5.25% 10/15/26 (Reg. S)
EUR
119,000
100,397
Dana, Inc. 4.25% 9/1/30
 
40,000
32,038
Faurecia SA:
 
 
 
 2.375% 6/15/29 (Reg. S)
EUR
100,000
74,435
 2.75% 2/15/27 (Reg. S)
EUR
136,000
114,896
Ford Motor Co. 3.25% 2/12/32
 
140,000
104,843
Ford Motor Credit Co. LLC:
 
 
 
 1.355% 2/7/25
EUR
100,000
90,425
 2.9% 2/16/28
 
50,000
40,571
 3.25% 9/15/25
EUR
100,000
92,658
 5.125% 6/16/25
 
170,000
164,016
Jaguar Land Rover Automotive PLC:
 
 
 
 4.5% 1/15/26 (Reg. S)
EUR
100,000
83,743
 6.875% 11/15/26 (Reg. S)
EUR
100,000
84,866
LCM Investments Holdings 4.875% 5/1/29 (d)
 
70,000
59,046
Nesco Holdings II, Inc. 5.5% 4/15/29 (d)
 
45,000
39,446
PECF USS Intermediate Holding III Corp. 8% 11/15/29 (d)
 
25,000
16,742
Real Hero Merger Sub 2 6.25% 2/1/29 (d)
 
20,000
14,339
Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 10.1636% 10/15/26 (d)(e)(f)
 
305,000
289,750
Thor Industries, Inc. 4% 10/15/29 (d)
 
100,000
80,878
Winnebago Industries, Inc. 6.25% 7/15/28 (d)
 
45,000
41,875
ZF Finance GmbH 2% 5/6/27 (Reg. S)
EUR
100,000
79,933
 
 
 
1,604,897
Banks & Thrifts - 2.8%
 
 
 
Access Bank PLC 6.125% 9/21/26 (d)
 
200,000
145,400
Ally Financial, Inc.:
 
 
 
 8% 11/1/31
 
155,000
156,379
 8% 11/1/31
 
118,000
121,022
Banca Monte dei Paschi di Siena SpA 5.375% 1/18/28 (e)
EUR
100,000
72,636
Banco Comercial Portugues SA 1.75% 4/7/28 (Reg. S) (e)
EUR
100,000
71,370
Banco de Credito Social Cooperativo SA 8% 9/22/26 (Reg. S) (e)
EUR
100,000
98,212
Banco de Reservas de La Republica Dominicana 7% 2/1/23 (d)
 
150,000
149,016
Banco de Sabadell SA 5.625% 5/6/26 (Reg. S)
EUR
100,000
95,213
BankMuscat SAOG 4.75% 3/17/26 (Reg. S)
 
200,000
188,475
Cliffton Ltd. 6.25% 10/25/25 (Reg. S)
 
250,000
220,625
CQP Holdco LP / BIP-V Chinook Holdco LLC 5.5% 6/15/31 (d)
 
250,000
221,875
Ibercaja Banco SA 3.75% 6/15/25 (Reg. S) (e)
EUR
100,000
96,429
Kasikornbank PCL 3.343% 10/2/31 (Reg. S) (e)
 
200,000
163,940
Mongolian Mortgage Corp. HFC LLC 8.85% 2/8/24 (Reg. S)
 
200,000
118,022
VistaJet Malta Finance PLC / XO Management Holding, Inc. 6.375% 2/1/30 (d)
 
130,000
107,945
 
 
 
2,026,559
Broadcasting - 1.8%
 
 
 
Cable Onda SA 4.5% 1/30/30 (d)
 
200,000
162,600
Clear Channel Outdoor Holdings, Inc.:
 
 
 
 7.5% 6/1/29 (d)
 
75,000
58,954
 7.75% 4/15/28 (d)
 
35,000
28,562
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d)
 
70,000
14,000
Gray Escrow II, Inc. 5.375% 11/15/31 (d)
 
90,000
72,225
Nexstar Broadcasting, Inc. 5.625% 7/15/27 (d)
 
75,000
70,838
Scripps Escrow II, Inc.:
 
 
 
 3.875% 1/15/29 (d)
 
50,000
41,292
 5.375% 1/15/31 (d)
 
25,000
20,313
Scripps Escrow, Inc. 5.875% 7/15/27 (d)
 
60,000
54,357
Sirius XM Radio, Inc.:
 
 
 
 4% 7/15/28 (d)
 
315,000
270,798
 4.125% 7/1/30 (d)
 
65,000
53,189
Summer (BC) Holdco A SARL 9.25% 10/31/27 (Reg. S)
EUR
90,105
69,087
Summer (BC) Holdco B SARL 5.75% 10/31/26 (Reg. S)
EUR
100,000
85,450
TEGNA, Inc. 5% 9/15/29
 
85,000
80,588
TV Azteca SA de CV 8.25% 8/9/24 (Reg. S) (g)
 
200,000
96,702
Univision Communications, Inc. 6.625% 6/1/27 (d)
 
110,000
108,625
 
 
 
1,287,580
Building Materials - 1.2%
 
 
 
Advanced Drain Systems, Inc. 5% 9/30/27 (d)
 
115,000
106,633
CEMEX S.A.B. de CV 5.45% 11/19/29 (d)
 
200,000
174,110
James Hardie International Finance Ltd. 3.625% 10/1/26 (Reg. S)
EUR
100,000
89,683
MIWD Holdco II LLC / MIWD Finance Corp. 5.5% 2/1/30 (d)
 
20,000
15,427
PGT Innovations, Inc. 4.375% 10/1/29 (d)
 
365,000
302,713
SRS Distribution, Inc.:
 
 
 
 4.625% 7/1/28 (d)
 
55,000
48,292
 6% 12/1/29 (d)
 
55,000
44,844
 6.125% 7/1/29 (d)
 
30,000
24,395
Victors Merger Corp. 6.375% 5/15/29 (d)
 
100,000
51,407
 
 
 
857,504
Cable/Satellite TV - 2.7%
 
 
 
Altice France Holding SA 8% 5/15/27 (d)
EUR
175,000
125,817
CCO Holdings LLC/CCO Holdings Capital Corp.:
 
 
 
 4.25% 2/1/31 (d)
 
100,000
79,000
 4.25% 1/15/34 (d)
 
115,000
84,525
 4.5% 8/15/30 (d)
 
195,000
158,254
 4.5% 6/1/33 (d)
 
120,000
90,997
 5.125% 5/1/27 (d)
 
225,000
208,458
CSC Holdings LLC:
 
 
 
 4.5% 11/15/31 (d)
 
65,000
50,555
 4.625% 12/1/30 (d)
 
75,000
53,983
 5% 11/15/31 (d)
 
65,000
46,329
 5.75% 1/15/30 (d)
 
100,000
76,500
 7.5% 4/1/28 (d)
 
230,000
199,265
DISH DBS Corp.:
 
 
 
 5% 3/15/23
 
250,000
247,215
 5.75% 12/1/28 (d)
 
45,000
36,281
Radiate Holdco LLC/Radiate Financial Service Ltd.:
 
 
 
 4.5% 9/15/26 (d)
 
150,000
126,750
 6.5% 9/15/28 (d)
 
110,000
69,300
UPCB Finance VII Ltd. 3.625% 6/15/29 (Reg. S)
EUR
100,000
83,473
Ziggo Bond Co. BV:
 
 
 
 5.125% 2/28/30 (d)
 
35,000
27,735
 6% 1/15/27 (d)
 
160,000
143,992
Ziggo BV 4.875% 1/15/30 (d)
 
50,000
42,250
 
 
 
1,950,679
Capital Goods - 0.1%
 
 
 
Tk Elevator Midco GmbH 4.375% 7/15/27 (Reg. S)
EUR
100,000
83,547
Chemicals - 2.8%
 
 
 
CF Industries Holdings, Inc.:
 
 
 
 5.15% 3/15/34
 
45,000
40,592
 5.375% 3/15/44
 
80,000
67,984
CVR Partners LP 6.125% 6/15/28 (d)
 
90,000
81,428
ENN Clean Energy International Investment Ltd.:
 
 
 
 3.375% 5/12/26 (d)
 
200,000
155,913
 3.375% 5/12/26 (Reg. S)
 
200,000
155,913
Kobe U.S. Midco 2, Inc. 9.25% 11/1/26 pay-in-kind (d)(e)
 
185,000
138,750
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.:
 
 
 
 5% 12/31/26 (d)
 
10,000
9,065
 7% 12/31/27 (d)
 
15,000
12,600
LSB Industries, Inc. 6.25% 10/15/28 (d)
 
20,000
18,158
MEGlobal Canada, Inc. 5% 5/18/25 (d)
 
200,000
192,850
NOVA Chemicals Corp. 4.25% 5/15/29 (d)
 
75,000
61,138
OCP SA:
 
 
 
 3.75% 6/23/31 (d)
 
200,000
148,225
 4.5% 10/22/25 (d)
 
200,000
190,060
Sasol Financing U.S.A. LLC 4.375% 9/18/26
 
200,000
174,788
SCIH Salt Holdings, Inc.:
 
 
 
 4.875% 5/1/28 (d)
 
70,000
60,760
 6.625% 5/1/29 (d)
 
45,000
36,119
The Chemours Co. LLC:
 
 
 
 4.625% 11/15/29 (d)
 
70,000
54,600
 5.375% 5/15/27
 
200,000
179,084
 5.75% 11/15/28 (d)
 
130,000
110,435
Tronox, Inc. 4.625% 3/15/29 (d)
 
55,000
42,476
W.R. Grace Holding LLC:
 
 
 
 4.875% 6/15/27 (d)
 
70,000
61,250
 5.625% 8/15/29 (d)
 
70,000
54,109
 
 
 
2,046,297
Consumer Products - 1.2%
 
 
 
B2W Digital Lux SARL 4.375% 12/20/30 (d)
 
100,000
68,456
Central Garden & Pet Co. 4.125% 10/15/30
 
35,000
28,930
Ferrellgas LP/Ferrellgas Finance Corp.:
 
 
 
 5.375% 4/1/26 (d)
 
45,000
40,838
 5.875% 4/1/29 (d)
 
45,000
37,710
Gannett Holdings LLC 6% 11/1/26 (d)
 
45,000
33,660
Kernel Holding SA 6.75% 10/27/27 (d)
 
100,000
31,019
Mattel, Inc. 3.375% 4/1/26 (d)
 
20,000
18,242
Meituan 2.125% 10/28/25 (d)
 
200,000
163,880
Natura Cosmeticos SA 4.125% 5/3/28 (d)
 
100,000
77,550
PetSmart, Inc. / PetSmart Finance Corp. 7.75% 2/15/29 (d)
 
75,000
70,422
Prosus NV 4.027% 8/3/50 (d)
 
200,000
107,038
Tempur Sealy International, Inc.:
 
 
 
 3.875% 10/15/31 (d)
 
75,000
56,315
 4% 4/15/29 (d)
 
60,000
48,250
The Scotts Miracle-Gro Co. 4% 4/1/31
 
40,000
30,644
TKC Holdings, Inc. 10.5% 5/15/29 (d)
 
75,000
53,256
 
 
 
866,210
Containers - 0.7%
 
 
 
ARD Finance SA 6.5% 6/30/27 pay-in-kind (d)(e)
 
70,000
50,225
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 2.125% 8/15/26 (Reg. S)
EUR
100,000
80,852
Ball Corp. 4.875% 3/15/26
 
85,000
81,560
Berry Global, Inc. 4.875% 7/15/26 (d)
 
40,000
37,580
CANPACK SA and Eastern PA Land Investment Holding LLC 2.375% 11/1/27 (Reg. S)
EUR
100,000
80,295
Graham Packaging Co., Inc. 7.125% 8/15/28 (d)
 
30,000
24,588
Graphic Packaging International, Inc. 3.75% 2/1/30 (d)
 
35,000
30,092
Huhtamaki Oyj 4.25% 6/9/27 (Reg. S)
EUR
100,000
95,119
Trivium Packaging Finance BV 5.5% 8/15/26 (d)
 
40,000
36,717
 
 
 
517,028
Diversified Financial Services - 3.2%
 
 
 
Broadstreet Partners, Inc. 5.875% 4/15/29 (d)
 
30,000
24,077
Coinbase Global, Inc.:
 
 
 
 3.375% 10/1/28 (d)
 
300,000
196,084
 3.625% 10/1/31 (d)
 
185,000
109,546
Dovalue SpA 3.375% 7/31/26 (Reg. S)
EUR
125,000
101,450
FLY Leasing Ltd. 7% 10/15/24 (d)
 
105,000
82,556
Fortune Star (BVI) Ltd. 6.85% 7/2/24 (Reg. S)
 
200,000
90,500
Hightower Holding LLC 6.75% 4/15/29 (d)
 
25,000
20,353
HTA Group Ltd. 7% 12/18/25 (d)
 
200,000
175,600
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
 
 
 
 4.375% 2/1/29
 
165,000
137,754
 4.75% 9/15/24
 
90,000
87,582
 6.375% 12/15/25
 
295,000
286,371
Intertrust Group BV 3.375% 11/15/25 (Reg. S)
EUR
100,000
98,617
Lincoln Financing SARL 3.625% 4/1/24 (Reg. S)
EUR
100,000
95,663
Nexi SpA 2.125% 4/30/29 (Reg. S)
EUR
100,000
78,813
OneMain Finance Corp.:
 
 
 
 4% 9/15/30
 
165,000
124,575
 7.125% 3/15/26
 
200,000
193,000
Park Aerospace Holdings Ltd. 4.5% 3/15/23 (d)
 
20,000
19,908
Qtel International Finance Ltd. 2.625% 4/8/31 (d)
 
200,000
164,760
Verisure Holding AB:
 
 
 
 3.25% 2/15/27 (Reg. S)
EUR
100,000
83,937
 3.875% 7/15/26 (Reg. S)
EUR
125,000
110,218
Yihua Overseas Investment Ltd. 8.5% 12/31/49 (Reg. S) (b)(g)
 
200,000
20,100
 
 
 
2,301,464
Diversified Media - 0.3%
 
 
 
Allen Media LLC 10.5% 2/15/28 (d)
 
220,000
89,155
Lamar Media Corp. 4.875% 1/15/29
 
45,000
40,712
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d)
 
90,000
76,275
 
 
 
206,142
Energy - 13.5%
 
 
 
Antero Midstream Partners LP/Antero Midstream Finance Corp.:
 
 
 
 5.75% 3/1/27 (d)
 
140,000
133,322
 5.75% 1/15/28 (d)
 
60,000
56,528
Archrock Partners LP / Archrock Partners Finance Corp. 6.25% 4/1/28 (d)
 
70,000
65,093
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d)
 
200,000
169,500
California Resources Corp. 7.125% 2/1/26 (d)
 
95,000
93,177
Canacol Energy Ltd. 5.75% 11/24/28 (d)
 
200,000
149,725
CGG SA 7.75% 4/1/27 (Reg. S)
EUR
100,000
86,225
Cheniere Energy, Inc. 4.625% 10/15/28
 
95,000
87,638
Citgo Holding, Inc. 9.25% 8/1/24 (d)
 
70,000
70,065
Citgo Petroleum Corp.:
 
 
 
 6.375% 6/15/26 (d)
 
70,000
68,940
 7% 6/15/25 (d)
 
130,000
128,005
CNX Resources Corp. 6% 1/15/29 (d)
 
25,000
23,337
Colgate Energy Partners III LLC 5.875% 7/1/29 (d)
 
80,000
74,200
Comstock Resources, Inc.:
 
 
 
 5.875% 1/15/30 (d)
 
50,000
45,121
 6.75% 3/1/29 (d)
 
90,000
86,175
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6% 2/1/29 (d)
 
285,000
266,504
CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (d)
 
25,000
22,711
CVR Energy, Inc.:
 
 
 
 5.25% 2/15/25 (d)
 
140,000
134,901
 5.75% 2/15/28 (d)
 
115,000
104,075
DCP Midstream Operating LP:
 
 
 
 5.85% 5/21/43 (d)(e)
 
60,000
58,054
 8.125% 8/16/30
 
5,000
5,344
Delek Logistics Partners LP 7.125% 6/1/28 (d)
 
45,000
40,295
Delek Overriding Royalty Levia 7.494% 12/30/23 (Reg. S) (d)
 
110,000
109,313
DT Midstream, Inc.:
 
 
 
 4.125% 6/15/29 (d)
 
75,000
64,838
 4.375% 6/15/31 (d)
 
75,000
63,188
EDP Finance BV 1.875% 9/21/29 (Reg. S)
EUR
100,000
86,484
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (d)
 
125,000
121,496
Energean Israel Finance Ltd.:
 
 
 
 4.5% 3/30/24 (Reg. S) (d)
 
40,000
38,121
 4.875% 3/30/26 (Reg. S) (d)
 
40,000
35,900
EnfraGen Energia Sur SA 5.375% 12/30/30 (d)
 
200,000
103,361
EnLink Midstream LLC 5.625% 1/15/28 (d)
 
25,000
23,961
EQM Midstream Partners LP 6.5% 7/1/27 (d)
 
70,000
68,250
EQT Corp.:
 
 
 
 3.125% 5/15/26 (d)
 
50,000
45,374
 3.625% 5/15/31 (d)
 
50,000
41,594
 5% 1/15/29
 
55,000
51,093
GeoPark Ltd. 5.5% 1/17/27 (d)
 
200,000
161,350
Global Partners LP/GLP Finance Corp. 6.875% 1/15/29
 
55,000
49,761
Harvest Midstream I LP 7.5% 9/1/28 (d)
 
135,000
129,427
Hess Midstream Partners LP:
 
 
 
 4.25% 2/15/30 (d)
 
50,000
42,758
 5.125% 6/15/28 (d)
 
80,000
73,600
 5.5% 10/15/30 (d)
 
30,000
27,066
 5.625% 2/15/26 (d)
 
100,000
98,077
India Clean Energy Holdings 4.5% 4/18/27 (Reg. S)
 
200,000
139,000
Investment Energy Resources Ltd. 6.25% 4/26/29 (d)
 
200,000
168,100
KLX Energy Services Holdings, Inc. 11.5% 11/1/25 (d)
 
95,000
77,737
Kosmos Energy Ltd. 7.125% 4/4/26 (d)
 
160,000
133,200
Leeward Renewable Energy LLC 4.25% 7/1/29 (d)
 
170,000
137,700
Leviathan Bond Ltd. 6.125% 6/30/25 (Reg. S) (d)
 
150,000
142,398
MC Brazil Downstream Trading SARL 7.25% 6/30/31 (d)
 
320,000
242,912
Medco Laurel Tree PTE Ltd. 6.95% 11/12/28 (Reg. S)
 
200,000
154,538
Medco Oak Tree Pte Ltd. 7.375% 5/14/26 (d)
 
200,000
178,000
MEG Energy Corp. 5.875% 2/1/29 (d)
 
110,000
105,012
Nabors Industries, Inc. 5.75% 2/1/25
 
105,000
101,063
New Fortress Energy, Inc. 6.75% 9/15/25 (d)
 
55,000
53,994
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (d)
 
190,000
171,881
Northern Oil & Gas, Inc. 8.125% 3/1/28 (d)
 
90,000
87,300
Nostrum Oil & Gas Finance BV 8% 12/31/49 (d)(g)
 
400,000
106,104
Occidental Petroleum Corp.:
 
 
 
 5.5% 12/1/25
 
35,000
35,105
 5.875% 9/1/25
 
40,000
40,300
 6.125% 1/1/31
 
80,000
80,210
 6.375% 9/1/28
 
145,000
147,156
 6.6% 3/15/46
 
55,000
54,136
 6.625% 9/1/30
 
195,000
202,811
 6.95% 7/1/24
 
65,000
66,600
 7.5% 5/1/31
 
230,000
247,250
 8.875% 7/15/30
 
145,000
164,575
Oleoducto Central SA 4% 7/14/27 (d)
 
200,000
162,725
Oman Oil Co. 5.125% 5/6/28 (d)
 
200,000
180,100
PBF Holding Co. LLC/PBF Finance Corp.:
 
 
 
 6% 2/15/28
 
160,000
145,400
 7.25% 6/15/25
 
70,000
69,257
Petroleos Mexicanos:
 
 
 
 4.25% 1/15/25
 
185,000
171,275
 4.875% 2/21/28 (Reg. S)
EUR
100,000
76,268
 6.49% 1/23/27
 
175,000
152,845
 7.69% 1/23/50
 
75,000
48,352
Petrorio Luxembourg SARL 6.125% 6/9/26 (d)
 
100,000
90,488
Repsol International Finance BV 4.5% 3/25/75 (Reg. S) (e)
EUR
100,000
94,378
Rio Oil Finance Trust 9.25% 7/6/24 (d)
 
30,891
30,868
Saudi Arabian Oil Co.:
 
 
 
 1.625% 11/24/25 (d)
 
200,000
178,700
 3.5% 4/16/29 (d)
 
200,000
177,300
SM Energy Co.:
 
 
 
 6.5% 7/15/28
 
25,000
24,250
 6.625% 1/15/27
 
65,000
63,700
 6.75% 9/15/26
 
25,000
24,625
Southwestern Energy Co.:
 
 
 
 4.75% 2/1/32
 
65,000
56,108
 5.375% 2/1/29
 
115,000
107,238
 8.375% 9/15/28
 
60,000
62,063
SUEK Securities DAC 3.375% 9/15/26 (d)(g)
 
95,000
31,881
Sunoco LP/Sunoco Finance Corp.:
 
 
 
 4.5% 5/15/29
 
50,000
42,945
 6% 4/15/27
 
175,000
171,465
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 6% 12/31/30 (d)
 
55,000
49,787
Tengizchevroil Finance Co. International Ltd. 3.25% 8/15/30 (d)
 
100,000
63,950
Termocandelaria Power Ltd. 7.875% 1/30/29 (d)
 
170,000
144,319
Transocean Sentry Ltd. 5.375% 5/15/23 (d)
 
63,524
62,413
Transportadora de Gas del Sur SA 6.75% 5/2/25 (d)
 
70,000
60,127
Tullow Oil PLC:
 
 
 
 7% 3/1/25 (d)
 
200,000
131,500
 10.25% 5/15/26 (d)
 
358,000
305,195
U.S.A. Compression Partners LP 6.875% 4/1/26
 
35,000
33,595
Valaris Ltd. 8.25% 4/30/28 pay-in-kind (e)
 
10,000
9,838
Venture Global Calcasieu Pass LLC:
 
 
 
 3.875% 8/15/29 (d)
 
70,000
60,025
 4.125% 8/15/31 (d)
 
70,000
59,677
YPF SA 8.5% 3/23/25 (d)
 
231,875
186,080
 
 
 
9,769,766
Entertainment/Film - 0.1%
 
 
 
Live Nation Entertainment, Inc. 4.75% 10/15/27 (d)
 
80,000
71,194
Environmental - 0.4%
 
 
 
Covanta Holding Corp. 4.875% 12/1/29 (d)
 
40,000
34,058
Madison IAQ LLC:
 
 
 
 4.125% 6/30/28 (d)
 
55,000
45,513
 5.875% 6/30/29 (d)
 
85,000
58,225
Paprec Holding SA 3.5% 7/1/28 (Reg. S)
EUR
113,000
88,779
Stericycle, Inc. 3.875% 1/15/29 (d)
 
35,000
30,401
 
 
 
256,976
Food & Drug Retail - 1.0%
 
 
 
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:
 
 
 
 3.5% 3/15/29 (d)
 
35,000
28,963
 4.625% 1/15/27 (d)
 
130,000
120,472
 4.875% 2/15/30 (d)
 
275,000
244,063
BellRing Brands, Inc. 7% 3/15/30 (d)
 
25,000
23,608
Camposol SA 6% 2/3/27 (d)
 
200,000
140,975
Casino Guichard Perrachon SA 4.048% 8/5/26 (Reg. S) (e)
EUR
100,000
42,124
Emergent BioSolutions, Inc. 3.875% 8/15/28 (d)
 
35,000
20,984
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (d)
 
25,000
20,831
SEG Holding LLC/SEG Finance Corp. 5.625% 10/15/28 (d)
 
100,000
92,414
 
 
 
734,434
Food/Beverage/Tobacco - 1.7%
 
 
 
Adecoagro SA 6% 9/21/27 (d)
 
150,000
135,094
C&S Group Enterprises LLC 5% 12/15/28 (d)
 
40,000
29,570
Central American Bottling Corp. 5.25% 4/27/29 (d)
 
200,000
176,225
Chobani LLC/Finance Corp., Inc.:
 
 
 
 4.625% 11/15/28 (d)
 
30,000
26,057
 7.5% 4/15/25 (d)
 
15,000
14,173
JBS U.S.A. Lux SA / JBS Food Co. 5.5% 1/15/30 (d)
 
120,000
109,387
KeHE Distributors LLC / KeHE Finance Corp. 8.625% 10/15/26 (d)
 
48,000
47,760
Kraft Heinz Foods Co.:
 
 
 
 4.375% 6/1/46
 
15,000
11,701
 4.875% 10/1/49
 
85,000
70,613
 5.5% 6/1/50
 
25,000
22,808
Lamb Weston Holdings, Inc. 4.125% 1/31/30 (d)
 
70,000
61,108
MARB BondCo PLC 3.95% 1/29/31 (d)
 
100,000
73,500
MHP SA 7.75% 5/10/24 (d)
 
100,000
47,644
NBM U.S. Holdings, Inc. 6.625% 8/6/29 (d)
 
85,000
78,614
Performance Food Group, Inc.:
 
 
 
 4.25% 8/1/29 (d)
 
40,000
33,887
 5.5% 10/15/27 (d)
 
100,000
94,522
Post Holdings, Inc. 4.625% 4/15/30 (d)
 
34,000
28,690
TreeHouse Foods, Inc. 4% 9/1/28
 
20,000
16,875
Triton Water Holdings, Inc. 6.25% 4/1/29 (d)
 
30,000
22,721
U.S. Foods, Inc.:
 
 
 
 4.625% 6/1/30 (d)
 
35,000
30,363
 4.75% 2/15/29 (d)
 
80,000
70,900
United Natural Foods, Inc. 6.75% 10/15/28 (d)
 
40,000
38,635
 
 
 
1,240,847
Gaming - 2.8%
 
 
 
Affinity Gaming LLC 6.875% 12/15/27 (d)
 
20,000
16,695
Caesars Entertainment, Inc.:
 
 
 
 4.625% 10/15/29 (d)
 
90,000
72,000
 6.25% 7/1/25 (d)
 
110,000
107,331
CDI Escrow Issuer, Inc. 5.75% 4/1/30 (d)
 
135,000
121,839
Cirsa Finance International SARL:
 
 
 
 6.25% 12/20/23 (Reg. S)
EUR
84,917
83,699
 10.375% 11/30/27 (Reg. S) (h)
EUR
100,000
98,949
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.:
 
 
 
 4.625% 1/15/29 (d)
 
90,000
78,273
 6.75% 1/15/30 (d)
 
160,000
125,600
GENM Capital Labuan Ltd. 3.882% 4/19/31 (d)
 
200,000
119,163
GLP Capital LP/GLP Financing II, Inc.:
 
 
 
 5.25% 6/1/25
 
95,000
91,612
 5.375% 4/15/26
 
30,000
28,637
Jacobs Entertainment, Inc. 6.75% 2/15/29 (d)
 
40,000
35,267
Melco Resorts Finance Ltd. 5.375% 12/4/29 (Reg. S)
 
200,000
111,200
MGM China Holdings Ltd. 4.75% 2/1/27 (Reg. S)
 
200,000
148,000
NagaCorp Ltd. 7.95% 7/6/24 (Reg. S)
 
200,000
171,475
Peninsula Pacific Entertainment LLC 8.5% 11/15/27 (d)
 
70,000
75,163
Station Casinos LLC 4.625% 12/1/31 (d)
 
115,000
91,370
Studio City Finance Ltd.:
 
 
 
 5% 1/15/29 (Reg. S)
 
200,000
82,900
 6.5% 1/15/28 (d)
 
110,000
45,877
 6.5% 1/15/28 (Reg. S)
 
200,000
83,413
VICI Properties LP / VICI Note Co. 5.75% 2/1/27 (d)
 
70,000
66,130
Wynn Macau Ltd. 5.125% 12/15/29 (Reg. S)
 
250,000
146,250
 
 
 
2,000,843
Healthcare - 5.3%
 
 
 
1375209 BC Ltd. 9% 1/30/28 (d)
 
14,000
13,545
AHP Health Partners, Inc. 5.75% 7/15/29 (d)
 
80,000
61,200
Avantor Funding, Inc. 3.875% 11/1/29 (d)
 
70,000
59,066
Bausch Health Companies, Inc.:
 
 
 
 11% 9/30/28 (d)
 
25,000
19,250
 14% 10/15/30 (d)
 
4,000
2,290
Bayer AG:
 
 
 
 3.125% 11/12/79 (Reg. S) (e)
EUR
100,000
82,398
 5.375% 3/25/82 (Reg. S) (e)
EUR
200,000
170,473
Catalent Pharma Solutions 5% 7/15/27 (d)
 
20,000
18,803
Centene Corp.:
 
 
 
 3.375% 2/15/30
 
160,000
132,928
 4.25% 12/15/27
 
70,000
64,575
 4.625% 12/15/29
 
105,000
95,025
Charles River Laboratories International, Inc.:
 
 
 
 3.75% 3/15/29 (d)
 
20,000
17,300
 4% 3/15/31 (d)
 
55,000
46,268
Community Health Systems, Inc.:
 
 
 
 4.75% 2/15/31 (d)
 
75,000
50,245
 5.25% 5/15/30 (d)
 
155,000
107,338
 6% 1/15/29 (d)
 
140,000
103,928
 6.125% 4/1/30 (d)
 
170,000
69,700
 6.875% 4/15/29 (d)
 
75,000
30,180
 8% 3/15/26 (d)
 
335,000
288,938
DaVita HealthCare Partners, Inc.:
 
 
 
 3.75% 2/15/31 (d)
 
60,000
43,382
 4.625% 6/1/30 (d)
 
160,000
124,740
Encompass Health Corp. 5.75% 9/15/25
 
15,000
14,863
Eurofins Scientific SA 2.125% 7/25/24 (Reg. S)
EUR
100,000
96,097
Grifols Escrow Issuer SA 4.75% 10/15/28 (d)
 
200,000
156,250
HealthEquity, Inc. 4.5% 10/1/29 (d)
 
30,000
26,213
Hologic, Inc. 3.25% 2/15/29 (d)
 
55,000
46,739
Jazz Securities DAC 4.375% 1/15/29 (d)
 
55,000
48,813
Molina Healthcare, Inc.:
 
 
 
 3.875% 11/15/30 (d)
 
50,000
42,490
 3.875% 5/15/32 (d)
 
100,000
83,400
 4.375% 6/15/28 (d)
 
40,000
35,874
Option Care Health, Inc. 4.375% 10/31/29 (d)
 
30,000
25,907
Organon & Co. / Organon Foreign Debt Co-Issuer BV:
 
 
 
 2.875% 4/30/28 (Reg. S)
EUR
147,000
122,038
 4.125% 4/30/28 (d)
 
80,000
70,466
 5.125% 4/30/31 (d)
 
80,000
67,942
Owens & Minor, Inc. 6.625% 4/1/30 (d)
 
115,000
95,600
Radiology Partners, Inc. 9.25% 2/1/28 (d)
 
145,000
76,705
RP Escrow Issuer LLC 5.25% 12/15/25 (d)
 
50,000
37,387
Surgery Center Holdings, Inc.:
 
 
 
 6.75% 7/1/25 (d)
 
30,000
28,203
 10% 4/15/27 (d)
 
70,000
67,921
Teleflex, Inc. 4.625% 11/15/27
 
30,000
28,271
Tenet Healthcare Corp.:
 
 
 
 4.25% 6/1/29 (d)
 
250,000
210,625
 4.375% 1/15/30 (d)
 
210,000
176,190
 4.625% 7/15/24
 
32,000
31,200
 6.125% 10/1/28 (d)
 
210,000
181,755
 6.25% 2/1/27 (d)
 
195,000
186,092
 6.875% 11/15/31
 
10,000
8,488
Teva Pharmaceutical Finance Netherlands III BV:
 
 
 
 1.625% 10/15/28 (Reg. S)
EUR
100,000
71,945
 3.15% 10/1/26
 
75,000
63,375
 4.1% 10/1/46
 
200,000
121,024
 
 
 
3,823,445
Homebuilders/Real Estate - 2.2%
 
 
 
ADLER Real Estate AG 1.875% 4/27/23 (Reg. S)
EUR
100,000
78,072
Arcosa, Inc. 4.375% 4/15/29 (d)
 
40,000
34,485
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co.:
 
 
 
 4.625% 8/1/29 (d)
 
40,000
30,050
 6.625% 1/15/28 (d)
 
5,000
4,245
China Aoyuan Group Ltd.:
 
 
 
 5.88% 3/1/27 (Reg. S) (g)
 
200,000
6,000
 6.2% 3/24/26 (Reg. S) (g)
 
200,000
6,000
China Evergrande Group 8.25% 3/23/22 (Reg. S) (g)
 
200,000
7,000
China SCE Property Holdings Ltd.:
 
 
 
 7.25% 4/19/23 (Reg. S)
 
200,000
29,975
 7.375% 4/9/24 (Reg. S)
 
200,000
26,788
CIFI Holdings Group Co. Ltd. 4.375% 4/12/27 (Reg. S)
 
200,000
13,000
Easy Tactic Ltd. 7.5% 7/11/28 pay-in-kind (e)
 
208,266
16,661
Jinke Properties Group Co. Ltd. 6.85% 5/28/24 (Reg. S)
 
200,000
38,350
Kaisa Group Holdings Ltd. 11.5% 1/30/23 (Reg. S) (g)
 
200,000
13,500
Kennedy-Wilson, Inc.:
 
 
 
 4.75% 3/1/29
 
55,000
44,601
 5% 3/1/31
 
55,000
43,120
KWG Group Holdings Ltd. 6% 1/14/24
 
190,000
47,493
Modernland Overseas Pte Ltd.:
 
 
 
 3% 4/30/27 pay-in-kind (Reg. S) (e)
 
2,803
1,193
 3% 4/30/27 pay-in-kind (e)
 
106,828
45,455
New Home Co., Inc. 7.25% 10/15/25 (d)
 
35,000
27,108
New Metro Global Ltd. 4.8% 12/15/24 (Reg. S)
 
285,000
71,393
Powerlong Real Estate Holding Ltd. 5.95% 4/30/25 (Reg. S)
 
200,000
14,038
Realogy Group LLC/Realogy Co-Issuer Corp. 5.75% 1/15/29 (d)
 
30,000
21,326
Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25% 4/15/30 (d)
 
110,000
76,276
Redsun Properties Group Ltd. 9.7% 4/16/23 (Reg. S) (g)
 
220,000
11,550
RKPF Overseas 2020 A Ltd. 5.125% 7/26/26 (Reg. S)
 
200,000
61,000
Scenery Journey Ltd. 11.5% 10/24/22 (Reg. S) (g)
 
200,000
5,000
Starwood Property Trust, Inc. 4.75% 3/15/25
 
75,000
70,263
Sunac China Holdings Ltd.:
 
 
 
 6.5% 7/9/23 (Reg. S) (g)
 
200,000
11,500
 7.5% 2/1/24 (Reg. S) (g)
 
200,000
11,500
Taylor Morrison Communities, Inc./Monarch Communities, Inc.:
 
 
 
 5.75% 1/15/28 (d)
 
80,000
73,326
 5.875% 6/15/27 (d)
 
55,000
51,576
Theta Capital Pte Ltd. 6.75% 10/31/26 (Reg. S)
 
200,000
105,413
Times China Holdings Ltd. 6.75% 7/8/25 (Reg. S)
 
200,000
13,000
TRI Pointe Homes, Inc. 5.7% 6/15/28
 
15,000
12,996
Uniti Group LP / Uniti Group Finance, Inc.:
 
 
 
 4.75% 4/15/28 (d)
 
55,000
44,960
 6.5% 2/15/29 (d)
 
85,000
60,988
VICI Properties LP / VICI Note Co. 3.75% 2/15/27 (d)
 
205,000
179,603
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (d)
 
25,000
20,136
Yango Justice International Ltd.:
 
 
 
 8.25% 11/25/23 (Reg. S) (g)
 
220,000
3,300
 10% 2/12/23 (Reg. S) (g)
 
200,000
5,000
Yanlord Land Group Ltd. 6.8% 2/27/24 (Reg. S)
 
250,000
147,625
 
 
 
1,584,865
Hotels - 0.3%
 
 
 
Carnival Holdings (Bermuda) Ltd. 10.375% 5/1/28 (d)
 
125,000
126,573
Hilton Domestic Operating Co., Inc.:
 
 
 
 3.625% 2/15/32 (d)
 
40,000
31,850
 3.75% 5/1/29 (d)
 
35,000
29,817
Lindblad Expeditions LLC 6.75% 2/15/27 (d)
 
65,000
57,824
 
 
 
246,064
Insurance - 1.6%
 
 
 
Acrisure LLC / Acrisure Finance, Inc.:
 
 
 
 7% 11/15/25 (d)
 
250,000
234,975
 10.125% 8/1/26 (d)
 
35,000
34,685
Alliant Holdings Intermediate LLC:
 
 
 
 5.875% 11/1/29 (d)
 
90,000
75,828
 6.75% 10/15/27 (d)
 
225,000
205,313
AmWINS Group, Inc. 4.875% 6/30/29 (d)
 
40,000
34,194
AssuredPartners, Inc. 5.625% 1/15/29 (d)
 
30,000
24,675
HUB International Ltd.:
 
 
 
 5.625% 12/1/29 (d)
 
60,000
51,449
 7% 5/1/26 (d)
 
190,000
187,625
MGIC Investment Corp. 5.25% 8/15/28
 
40,000
36,289
USI, Inc. 6.875% 5/1/25 (d)
 
275,000
266,746
 
 
 
1,151,779
Leisure - 1.7%
 
 
 
Carnival Corp.:
 
 
 
 5.75% 3/1/27 (d)
 
135,000
93,825
 9.875% 8/1/27 (d)
 
210,000
195,825
 10.5% 2/1/26 (d)
 
75,000
73,497
NCL Corp. Ltd.:
 
 
 
 5.875% 3/15/26 (d)
 
20,000
16,375
 5.875% 2/15/27 (d)
 
90,000
80,438
 7.75% 2/15/29 (d)
 
80,000
63,626
NCL Finance Ltd. 6.125% 3/15/28 (d)
 
25,000
19,438
Royal Caribbean Cruises Ltd.:
 
 
 
 4.25% 7/1/26 (d)
 
130,000
102,700
 5.375% 7/15/27 (d)
 
60,000
46,639
 5.5% 8/31/26 (d)
 
135,000
110,376
 11.5% 6/1/25 (d)
 
30,000
32,250
 11.625% 8/15/27 (d)
 
220,000
213,884
Studio City Co. Ltd. 7% 2/15/27 (d)
 
75,000
60,375
Vail Resorts, Inc. 6.25% 5/15/25 (d)
 
35,000
34,825
Viking Cruises Ltd. 13% 5/15/25 (d)
 
50,000
53,750
 
 
 
1,197,823
Metals/Mining - 3.1%
 
 
 
Alcoa Nederland Holding BV 4.125% 3/31/29 (d)
 
70,000
59,278
Alpha Natural Resources, Inc. 9.75% 4/15/18 (b)(g)
 
210,000
0
Antofagasta PLC 2.375% 10/14/30 (d)
 
200,000
146,500
Cleveland-Cliffs, Inc.:
 
 
 
 4.625% 3/1/29 (d)
 
40,000
34,442
 4.875% 3/1/31 (d)
 
40,000
33,784
Endeavour Mining PLC 5% 10/14/26 (d)
 
200,000
155,350
ERO Copper Corp. 6.5% 2/15/30 (d)
 
230,000
168,475
First Quantum Minerals Ltd.:
 
 
 
 6.875% 3/1/26 (d)
 
105,000
98,271
 6.875% 10/15/27 (d)
 
80,000
74,085
 7.5% 4/1/25 (d)
 
130,000
125,190
FMG Resources Pty Ltd.:
 
 
 
 4.375% 4/1/31 (d)
 
40,000
31,588
 5.875% 4/15/30 (d)
 
130,000
115,375
Gcm Mining Corp. 6.875% 8/9/26 (d)
 
200,000
138,966
Howmet Aerospace, Inc. 5.95% 2/1/37
 
45,000
41,223
HudBay Minerals, Inc. 6.125% 4/1/29 (d)
 
105,000
86,888
Industrias Penoles SA de CV 4.75% 8/6/50 (d)
 
200,000
142,038
Mineral Resources Ltd.:
 
 
 
 8% 11/1/27 (d)
 
85,000
83,615
 8.5% 5/1/30 (d)
 
20,000
19,681
Novelis Corp. 3.875% 8/15/31 (d)
 
115,000
89,092
PT Freeport Indonesia 5.315% 4/14/32 (d)
 
200,000
166,750
Stillwater Mining Co. 4% 11/16/26 (d)
 
200,000
163,725
VM Holding SA 6.5% 1/18/28 (d)
 
200,000
183,600
Volcan Compania Minera SAA 4.375% 2/11/26 (d)
 
100,000
83,250
 
 
 
2,241,166
Paper - 0.6%
 
 
 
Berry Global, Inc. 5.625% 7/15/27 (d)
 
35,000
33,196
Clydesdale Acquisition Holdings, Inc.:
 
 
 
 6.625% 4/15/29 (d)
 
35,000
33,229
 8.75% 4/15/30 (d)
 
200,000
175,750
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (d)
 
90,000
86,420
Mercer International, Inc. 5.125% 2/1/29
 
55,000
45,169
SPA Holdings 3 OY 4.875% 2/4/28 (d)
 
45,000
35,825
 
 
 
409,589
Restaurants - 0.6%
 
 
 
1011778 BC Unlimited Liability Co./New Red Finance, Inc. 4% 10/15/30 (d)
 
160,000
130,600
CEC Entertainment LLC 6.75% 5/1/26 (d)
 
60,000
56,122
Papa John's International, Inc. 3.875% 9/15/29 (d)
 
25,000
20,311
Yum! Brands, Inc.:
 
 
 
 4.625% 1/31/32
 
70,000
59,852
 4.75% 1/15/30 (d)
 
200,000
178,750
 
 
 
445,635
Services - 3.2%
 
 
 
Adtalem Global Education, Inc. 5.5% 3/1/28 (d)
 
146,000
133,225
Allied Universal Holdco LLC / Allied Universal Finance Corp. 6% 6/1/29 (d)
 
30,000
20,829
APCOA Parking Holdings GmbH 4.625% 1/15/27 (Reg. S)
EUR
100,000
79,611
ASGN, Inc. 4.625% 5/15/28 (d)
 
160,000
142,277
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp. 4.625% 6/1/28 (d)
 
38,000
31,071
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.375% 3/1/29 (d)
 
40,000
34,633
Booz Allen Hamilton, Inc.:
 
 
 
 3.875% 9/1/28 (d)
 
55,000
48,459
 4% 7/1/29 (d)
 
30,000
26,223
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (d)
 
440,000
316,345
CoreCivic, Inc. 8.25% 4/15/26
 
100,000
101,463
Elis SA 1.625% 4/3/28 (Reg. S)
EUR
100,000
82,019
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d)
 
520,000
487,825
H&E Equipment Services, Inc. 3.875% 12/15/28 (d)
 
90,000
76,047
Hertz Corp.:
 
 
 
 4.625% 12/1/26 (d)
 
55,000
46,888
 5% 12/1/29 (d)
 
70,000
55,451
 5.5% 10/15/24 (b)(d)(g)
 
65,000
1,463
 6% 1/15/28 (b)(d)(g)
 
85,000
4,994
 6.25% 12/31/49 (b)(g)
 
60,000
75
 7.125% 8/1/26 (b)(d)(g)
 
85,000
3,400
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (d)
 
35,000
30,625
PeopleCert Wisdom Issuer PLC 5.75% 9/15/26 (Reg. S)
EUR
114,000
100,921
Sabre GLBL, Inc. 7.375% 9/1/25 (d)
 
60,000
56,321
Service Corp. International 5.125% 6/1/29
 
35,000
32,601
The Bidvest Group UK PLC 3.625% 9/23/26 (d)
 
200,000
168,538
The GEO Group, Inc.:
 
 
 
 9.5% 12/31/28 (d)
 
170,000
156,400
 10.5% 6/30/28
 
67,000
67,000
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d)
 
45,000
41,961
 
 
 
2,346,665
Steel - 0.8%
 
 
 
Big River Steel LLC/BRS Finance Corp. 6.625% 1/31/29 (d)
 
132,000
124,140
Commercial Metals Co. 3.875% 2/15/31
 
30,000
24,300
Infrabuild Australia Pty Ltd. 12% 10/1/24 (d)
 
155,000
143,763
JSW Steel Ltd. 3.95% 4/5/27 (d)
 
200,000
146,000
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (d)
 
20,000
17,550
TMK Capital SA 4.3% 2/12/27 (Reg. S) (b)(g)
 
200,000
40,000
Vallourec SA 8.5% 6/30/26 (Reg. S)
EUR
100,000
94,364
 
 
 
590,117
Super Retail - 1.3%
 
 
 
Academy Ltd. 6% 11/15/27 (d)
 
75,000
70,406
Asbury Automotive Group, Inc.:
 
 
 
 4.5% 3/1/28
 
21,000
18,206
 4.625% 11/15/29 (d)
 
45,000
37,013
 4.75% 3/1/30
 
20,000
16,385
 5% 2/15/32 (d)
 
45,000
36,281
At Home Group, Inc.:
 
 
 
 4.875% 7/15/28 (d)
 
35,000
25,447
 7.125% 7/15/29 (d)
 
45,000
25,425
Bath & Body Works, Inc. 6.625% 10/1/30 (d)
 
110,000
98,408
Carvana Co. 4.875% 9/1/29 (d)
 
55,000
24,338
EG Global Finance PLC:
 
 
 
 6.75% 2/7/25 (d)
 
250,000
225,000
 8.5% 10/30/25 (d)
 
50,000
46,185
Group 1 Automotive, Inc. 4% 8/15/28 (d)
 
200,000
164,478
Macy's Retail Holdings LLC:
 
 
 
 5.875% 3/15/30 (d)
 
30,000
25,187
 6.125% 3/15/32 (d)
 
35,000
29,080
Michaels Companies, Inc.:
 
 
 
 5.25% 5/1/28 (d)
 
65,000
46,159
 7.875% 5/1/29 (d)
 
95,000
52,963
 
 
 
940,961
Technology - 3.8%
 
 
 
Acuris Finance U.S. 5% 5/1/28 (d)
 
170,000
137,700
Arches Buyer, Inc.:
 
 
 
 4.25% 6/1/28 (d)
 
35,000
28,713
 6.125% 12/1/28 (d)
 
10,000
7,710
Athenahealth Group, Inc. 6.5% 2/15/30 (d)
 
265,000
206,700
Black Knight InfoServ LLC 3.625% 9/1/28 (d)
 
60,000
51,975
Block, Inc.:
 
 
 
 2.75% 6/1/26
 
75,000
66,888
 3.5% 6/1/31
 
75,000
60,375
CA Magnum Holdings 5.375% (d)(i)
 
400,000
335,000
Camelot Finance SA 4.5% 11/1/26 (d)
 
150,000
140,180
CDW LLC/CDW Finance Corp. 4.25% 4/1/28
 
80,000
70,496
Cellnex Finance Co. SA 1% 9/15/27 (Reg. S)
EUR
100,000
80,163
Central Parent, Inc./Central Merger Sub, Inc. 7.25% 6/15/29 (d)
 
120,000
114,697
Coherent Corp. 5% 12/15/29 (d)
 
45,000
38,605
Crowdstrike Holdings, Inc. 3% 2/15/29
 
70,000
59,004
Elastic NV 4.125% 7/15/29 (d)
 
40,000
33,397
Energizer Gamma Acquistion BV 3.5% 6/30/29 (Reg. S)
EUR
124,000
89,171
Lenovo Group Ltd. 3.421% 11/2/30 (d)
 
200,000
138,288
Match Group Holdings II LLC:
 
 
 
 4.125% 8/1/30 (d)
 
100,000
81,701
 5.625% 2/15/29 (d)
 
65,000
57,592
MicroStrategy, Inc. 6.125% 6/15/28 (d)
 
235,000
201,364
NCR Corp. 5.125% 4/15/29 (d)
 
45,000
37,767
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 10.75% 6/1/28 (d)
 
30,000
28,163
onsemi 3.875% 9/1/28 (d)
 
70,000
61,677
Qorvo, Inc. 4.375% 10/15/29
 
45,000
38,480
Rackspace Hosting, Inc.:
 
 
 
 3.5% 2/15/28 (d)
 
100,000
66,036
 5.375% 12/1/28 (d)
 
30,000
12,628
Roblox Corp. 3.875% 5/1/30 (d)
 
185,000
152,625
Sensata Technologies BV 4% 4/15/29 (d)
 
65,000
54,743
Synaptics, Inc. 4% 6/15/29 (d)
 
30,000
24,780
TTM Technologies, Inc. 4% 3/1/29 (d)
 
60,000
50,108
Twilio, Inc.:
 
 
 
 3.625% 3/15/29
 
45,000
37,159
 3.875% 3/15/31
 
45,000
36,700
Uber Technologies, Inc. 7.5% 9/15/27 (d)
 
90,000
89,979
Unisys Corp. 6.875% 11/1/27 (d)
 
30,000
25,099
 
 
 
2,715,663
Telecommunications - 7.1%
 
 
 
Altice France Holding SA 6% 2/15/28 (d)
 
75,000
49,031
Altice France SA:
 
 
 
 4.25% 10/15/29 (Reg. S)
EUR
120,000
90,128
 5.125% 1/15/29 (d)
 
50,000
37,625
 5.125% 7/15/29 (d)
 
120,000
90,381
 5.5% 1/15/28 (d)
 
130,000
104,217
AXIAN Telecom 7.375% 2/16/27 (d)
 
200,000
172,000
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d)
 
340,000
294,100
Cablevision Lightpath LLC:
 
 
 
 3.875% 9/15/27 (d)
 
30,000
25,507
 5.625% 9/15/28 (d)
 
20,000
15,901
Cellnex Telecom SA 1.75% 10/23/30 (Reg. S)
EUR
100,000
73,299
Cogent Communications Group, Inc. 3.5% 5/1/26 (d)
 
50,000
45,125
Consolidated Communications, Inc. 5% 10/1/28 (d)
 
135,000
104,605
CT Trust 5.125% 2/3/32 (d)
 
200,000
159,225
Digicel Group Ltd. 6.75% 3/1/23 (d)
 
150,000
75,000
Frontier Communications Holdings LLC:
 
 
 
 5% 5/1/28 (d)
 
55,000
48,125
 5.875% 10/15/27 (d)
 
50,000
45,991
 5.875% 11/1/29
 
14,771
11,507
 6% 1/15/30 (d)
 
95,000
74,290
 6.75% 5/1/29 (d)
 
60,000
49,425
 8.75% 5/15/30 (d)
 
65,000
66,381
Holdco SASU 5.125% 10/15/26 (Reg. S)
EUR
115,000
105,580
IHS Netherlands Holdco BV 8% 9/18/27 (d)
 
200,000
153,750
Intelsat Jackson Holdings SA:
 
 
 
 5.5% 8/1/23 (b)(g)
 
200,000
0
 6.5% 3/15/30 (d)
 
135,000
123,898
 8.5% 10/15/24 (b)(d)(g)
 
45,000
0
LCPR Senior Secured Financing DAC:
 
 
 
 5.125% 7/15/29 (d)
 
400,000
337,000
 6.75% 10/15/27 (d)
 
90,000
83,930
Level 3 Financing, Inc.:
 
 
 
 3.75% 7/15/29 (d)
 
95,000
72,175
 4.25% 7/1/28 (d)
 
75,000
61,875
Liquid Telecommunications Financing PLC 5.5% 9/4/26 (d)
 
200,000
135,000
Millicom International Cellular SA 5.125% 1/15/28 (d)
 
225,000
191,573
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.:
 
 
 
 4.75% 4/30/27 (d)
 
50,000
44,947
 6% 2/15/28 (d)
 
20,000
15,691
Sable International Finance Ltd. 5.75% 9/7/27 (d)
 
180,000
158,625
Sabre GLBL, Inc. 9.25% 4/15/25 (d)
 
45,000
43,578
Sprint Capital Corp. 8.75% 3/15/32
 
530,000
622,029
Telecom Italia SpA 2.75% 4/15/25 (Reg. S)
EUR
100,000
90,229
Telefonica Celular del Paraguay SA 5.875% 4/15/27 (d)
 
200,000
180,663
Turk Telekomunikasyon A/S 6.875% 2/28/25 (d)
 
200,000
173,788
Turkcell Iletisim Hizmet A/S 5.8% 4/11/28 (d)
 
200,000
158,475
Uniti Group, Inc. 6% 1/15/30 (d)
 
210,000
143,310
VTR Comunicaciones SpA 5.125% 1/15/28 (d)
 
176,000
111,573
Windstream Escrow LLC 7.75% 8/15/28 (d)
 
295,000
255,264
WP/AP Telecom Holdings III BV 5.5% 1/15/30 (Reg. S)
EUR
131,000
100,256
Zayo Group Holdings, Inc.:
 
 
 
 4% 3/1/27 (d)
 
115,000
88,838
 6.125% 3/1/28 (d)
 
60,000
39,900
 
 
 
5,123,810
Textiles/Apparel - 0.3%
 
 
 
Crocs, Inc.:
 
 
 
 4.125% 8/15/31 (d)
 
75,000
56,806
 4.25% 3/15/29 (d)
 
40,000
31,900
CT Investment GmbH 5.5% 4/15/26 (Reg. S)
EUR
100,000
81,129
Victoria's Secret & Co. 4.625% 7/15/29 (d)
 
50,000
39,775
 
 
 
209,610
Transportation Ex Air/Rail - 0.7%
 
 
 
Autostrade per L'italia SpA:
 
 
 
 1.625% 6/12/23
EUR
115,000
112,616
 1.75% 6/26/26 (Reg. S)
EUR
100,000
88,448
 1.875% 9/26/29 (Reg. S)
EUR
100,000
78,566
Great Lakes Dredge & Dock Corp. 5.25% 6/1/29 (d)
 
40,000
31,631
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 10.75% 7/1/25 (d)
 
110,000
100,650
Seaspan Corp. 5.5% 8/1/29 (d)
 
110,000
84,720
 
 
 
496,631
Utilities - 5.3%
 
 
 
Clearway Energy Operating LLC 4.75% 3/15/28 (d)
 
40,000
36,948
ContourGlobal Power Holdings SA 3.125% 1/1/28 (Reg. S)
EUR
121,000
87,997
DPL, Inc.:
 
 
 
 4.125% 7/1/25
 
180,000
169,924
 4.35% 4/15/29
 
215,000
183,825
Eskom Holdings SOC Ltd. 6.75% 8/6/23 (d)
 
100,000
97,563
Greenko Investment Co. 4.875% 8/16/23 (Reg. S)
 
200,000
191,038
InterGen NV 7% 6/30/23 (d)
 
820,000
802,575
Mong Duong Finance Holdings BV 5.125% 5/7/29 (d)
 
100,000
69,300
NextEra Energy Partners LP 4.25% 9/15/24 (d)
 
4,000
3,764
NRG Energy, Inc.:
 
 
 
 3.875% 2/15/32 (d)
 
45,000
35,480
 5.25% 6/15/29 (d)
 
60,000
54,450
Pacific Gas & Electric Co.:
 
 
 
 3.75% 8/15/42
 
10,000
6,333
 3.95% 12/1/47
 
55,000
35,466
 4.55% 7/1/30
 
415,000
363,482
 4.95% 7/1/50
 
415,000
309,361
PG&E Corp. 5% 7/1/28
 
375,000
337,986
Pike Corp. 5.5% 9/1/28 (d)
 
240,000
204,931
PT Cikarang Listrindo Tbk 4.95% 9/14/26 (Reg. S)
 
200,000
173,850
Solaris Midstream Holdings LLC 7.625% 4/1/26 (d)
 
70,000
66,675
Star Energy Geothermal Wayang Windu Ltd. 6.75% 4/24/33 (Reg. S)
 
162,160
143,441
Teollisuuden Voima Oyj 1.375% 6/23/28 (Reg. S)
EUR
198,000
161,264
TerraForm Global, Inc. 6.125% 3/1/26 (d)
 
160,000
147,266
Vertiv Group Corp. 4.125% 11/15/28 (d)
 
95,000
82,639
Vistra Operations Co. LLC 5.625% 2/15/27 (d)
 
60,000
57,197
 
 
 
3,822,755
TOTAL NONCONVERTIBLE BONDS
 
 
56,834,824
 
TOTAL CORPORATE BONDS
  (Cost $73,382,241)
 
 
 
58,185,885
 
 
 
 
Government Obligations - 2.7%
 
 
Principal
Amount (a)
 
Value ($)
 
Germany - 2.1%
 
 
 
German Federal Republic 0% 9/15/23 (Reg. S)
EUR
1,605,000
1,559,354
Sri Lanka - 0.2%
 
 
 
Democratic Socialist Republic of Sri Lanka:
 
 
 
 6.2% 5/11/27 (Reg. S) (g)
 
200,000
42,522
 7.55% 3/28/30 (Reg. S) (g)
 
200,000
43,663
 7.85% 3/14/29(Reg. S) (g)
 
200,000
43,350
TOTAL SRI LANKA
 
 
129,535
United States of America - 0.4%
 
 
 
U.S. Treasury Bonds 2.875% 5/15/52
 
336,000
260,768
 
TOTAL GOVERNMENT OBLIGATIONS
  (Cost $2,470,011)
 
 
 
1,949,657
 
 
 
 
Common Stocks - 2.7%
 
 
Shares
Value ($)
 
Automotive & Auto Parts - 0.0%
 
 
 
UC Holdings, Inc. (b)(j)
 
3,510
15,233
Energy - 2.1%
 
 
 
California Resources Corp.
 
5,929
267,457
California Resources Corp. warrants 10/27/24 (j)
 
530
7,526
Chesapeake Energy Corp.
 
2,294
234,607
Chesapeake Energy Corp. (c)(j)
 
85
8,693
Denbury, Inc. (j)
 
2,860
261,433
Denbury, Inc. warrants 9/18/25 (j)
 
1,038
65,269
EP Energy Corp. (b)(j)
 
7,975
66,751
Jonah Energy Parent LLC (b)(j)
 
3,631
230,932
Mesquite Energy, Inc. (b)(j)
 
3,543
196,405
Noble Corp. PLC (j)
 
204
7,352
Noble Corp. PLC:
 
 
 
 warrants 2/4/28 (j)
 
600
11,460
 warrants 2/4/28 (j)
 
600
10,200
PureWest Energy (b)
 
105
0
PureWest Energy rights (b)(j)
 
63
0
Superior Energy Services, Inc. Class A (b)(j)
 
609
46,083
Tidewater, Inc. warrants 11/14/42 (j)
 
1,897
70,730
TOTAL ENERGY
 
 
1,484,898
Entertainment/Film - 0.0%
 
 
 
New Cotai LLC/New Cotai Capital Corp. (b)(c)(j)
 
125,816
1
Food & Drug Retail - 0.2%
 
 
 
Northeast Grocery, Inc. (b)(c)
 
12,754
14,157
Southeastern Grocers, Inc. (b)(c)(j)
 
7,744
167,503
TOTAL FOOD & DRUG RETAIL
 
 
181,660
Telecommunications - 0.0%
 
 
 
Intelsat Jackson Holdings SA:
 
 
 
 Series A rights (b)(j)
 
240
2,090
 Series B rights (b)(j)
 
240
7,706
TOTAL TELECOMMUNICATIONS
 
 
9,796
Textiles/Apparel - 0.2%
 
 
 
Intelsat Emergence SA (b)
 
2,304
110,684
Utilities - 0.2%
 
 
 
Vistra Corp.
 
6,495
149,190
 
TOTAL COMMON STOCKS
  (Cost $1,330,490)
 
 
 
1,951,462
 
 
 
 
Convertible Preferred Stocks - 0.3%
 
 
Shares
Value ($)
 
Utilities - 0.3%
 
 
 
PG&E Corp.
  (Cost $152,083)
 
1,400
188,067
 
 
 
 
Bank Loan Obligations - 4.2%
 
 
Principal
Amount (a)
 
Value ($)
 
Aerospace - 0.1%
 
 
 
TransDigm, Inc. Tranche F 1LN, term loan 1 month U.S. LIBOR + 2.250% 5.9241% 12/9/25 (e)(f)(k)
 
76,056
74,199
Air Transportation - 0.6%
 
 
 
Echo Global Logistics, Inc.:
 
 
 
 1LN, term loan 3 month U.S. LIBOR + 4.750% 8.5039% 11/23/28 (b)(e)(f)(k)
 
193,000
185,917
 2LN, term loan 3 month U.S. LIBOR + 8.000% 12.4147% 11/23/29 (b)(e)(f)(k)
 
257,000
247,568
TOTAL AIR TRANSPORTATION
 
 
433,485
Banks & Thrifts - 0.0%
 
 
 
First Eagle Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 6.1741% 2/1/27 (e)(f)(k)
 
28,402
27,353
Broadcasting - 0.0%
 
 
 
Diamond Sports Group LLC 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 11.208% 5/25/26 (e)(f)(k)
 
10,190
9,765
Building Materials - 0.1%
 
 
 
Hunter Douglas, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 6.3399% 2/25/29 (e)(f)(k)
 
49,875
41,261
Cable/Satellite TV - 0.5%
 
 
 
Numericable LLC Tranche B 12LN, term loan 3 month U.S. LIBOR + 3.680% 7.7666% 1/31/26 (e)(f)(k)
 
370,976
332,721
Chemicals - 0.4%
 
 
 
Consolidated Energy Finance SA Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.3633% 5/7/25 (b)(e)(f)(k)
 
167,875
159,481
Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 1 Month Index + 4.370% 7.9683% 10/4/29 (e)(f)(k)
 
80,000
72,980
Starfruit U.S. Holdco LLC Tranche B, term loan 1 month U.S. LIBOR + 2.750% 7.1647% 10/1/25 (e)(f)(k)
 
33,289
31,313
TOTAL CHEMICALS
 
 
263,774
Consumer Products - 0.1%
 
 
 
The Golub Corp. 2LN, term loan 3 month U.S. LIBOR + 13.500% 16.37% 5/8/26 (b)(e)(f)(k)
 
79,091
79,091
Diversified Financial Services - 0.5%
 
 
 
BCP Renaissance Parent LLC Tranche B3 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 7.0532% 10/31/26 (e)(f)(k)
 
12,980
12,686
HarbourVest Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 5.6621% 3/1/25 (e)(f)(k)
 
15,212
14,950
Softbank SVF II Cayman LP 1LN, term loan 3 month U.S. LIBOR + 5.000% 5% 12/31/24 (b)(e)(f)(k)
 
325,030
325,030
TOTAL DIVERSIFIED FINANCIAL SERVICES
 
 
352,666
Energy - 0.2%
 
 
 
Citgo Petroleum Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 6.250% 10.0039% 3/28/24 (e)(f)(k)
 
136,355
136,253
Mesquite Energy, Inc.:
 
 
 
 1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (b)(f)(g)(k)
 
65,772
0
 term loan 3 month U.S. LIBOR + 0.000% 0% (b)(f)(g)(k)
 
28,000
0
TOTAL ENERGY
 
 
136,253
Gaming - 0.0%
 
 
 
Scientific Games Holdings LP term loan CME Term SOFR 1 Month Index + 3.500% 7.0974% 4/4/29 (e)(f)(k)
 
15,000
14,106
Healthcare - 0.1%
 
 
 
Electron BidCo, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.7539% 11/1/28 (e)(f)(k)
 
9,950
9,605
Phoenix Newco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.0039% 11/15/28 (e)(f)(k)
 
34,825
33,489
TOTAL HEALTHCARE
 
 
43,094
Hotels - 0.0%
 
 
 
Travelport Finance Luxembourg SARL 1LN, term loan 3 month U.S. LIBOR + 6.750% 10.4241% 5/30/26 (e)(f)(k)
 
37,343
25,043
Insurance - 0.1%
 
 
 
Acrisure LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 8.0039% 2/15/27 (e)(f)(k)
 
4,963
4,700
Alliant Holdings Intermediate LLC:
 
 
 
 Tranche B, term loan 1 month U.S. LIBOR + 3.250% 7.0039% 5/10/25 (e)(f)(k)
 
4,739
4,598
 Tranche B-2 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.0039% 5/9/25 (e)(f)(k)
 
62,888
61,001
TOTAL INSURANCE
 
 
70,299
Leisure - 0.0%
 
 
 
Alterra Mountain Co. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 8/17/28 (e)(f)(k)
 
4,777
4,660
Railroad - 0.1%
 
 
 
Einstein Merger Sub, Inc. 2LN, term loan 3 month U.S. LIBOR + 7.000% 11.0231% 11/23/29 (b)(e)(f)(k)
 
30,000
29,850
Services - 0.4%
 
 
 
ABG Intermediate Holdings 2 LLC Tranche B 2LN, term loan CME Term SOFR 1 Month Index + 6.000% 9.8287% 12/20/29 (e)(f)(k)
 
5,000
4,600
Ascend Learning LLC 2LN, term loan 1 month U.S. LIBOR + 5.750% 9.5039% 12/10/29 (e)(f)(k)
 
10,000
8,463
Finastra U.S.A., Inc. Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 10.6207% 6/13/25 (e)(f)(k)
 
220,000
161,014
KUEHG Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 12.0039% 8/22/25 (e)(f)(k)
 
95,000
91,472
Maverick Purchaser Sub LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.7977% 1/23/27 (e)(f)(k)
 
14,663
14,186
Spin Holdco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.1441% 3/4/28 (e)(f)(k)
 
39,300
34,502
TOTAL SERVICES
 
 
314,237
Super Retail - 0.2%
 
 
 
Bass Pro Group LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.5039% 3/5/28 (e)(f)(k)
 
157,212
147,701
Michaels Companies, Inc. 1LN, term loan 1 month U.S. LIBOR + 4.250% 7.9241% 4/15/28 (e)(f)(k)
 
24,688
18,932
TOTAL SUPER RETAIL
 
 
166,633
Technology - 0.8%
 
 
 
Anastasia Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 7.4241% 8/10/25 (e)(f)(k)
 
115,125
86,471
Athenahealth Group, Inc.:
 
 
 
 Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 6.9671% 2/15/29 (e)(f)(k)
 
85,293
77,760
 Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 2/15/29 (f)(k)(l)
 
14,493
13,213
MH Sub I LLC 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.5039% 9/15/24 (e)(f)(k)
 
14,848
14,276
UKG, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.750% 7.5039% 5/4/26 (e)(f)(k)
 
19,400
18,838
Ultimate Software Group, Inc.:
 
 
 
 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.9983% 5/3/26 (e)(f)(k)
 
197,757
190,533
 2LN, term loan 1 month U.S. LIBOR + 5.250% 8.9983% 5/3/27 (e)(f)(k)
 
186,989
171,563
VS Buyer LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.7539% 2/28/27 (e)(f)(k)
 
14,625
14,198
TOTAL TECHNOLOGY
 
 
586,852
 
TOTAL BANK LOAN OBLIGATIONS
  (Cost $3,259,508)
 
 
 
3,005,342
 
 
 
 
Preferred Securities - 4.6%
 
 
Principal
Amount (a)
 
Value ($)
 
Automotive & Auto Parts - 0.1%
 
 
 
Volkswagen International Finance NV 4.375% (Reg. S) (e)(i)
EUR
100,000
82,853
Banks & Thrifts - 2.0%
 
 
 
AIB Group PLC 5.25% (Reg. S) (e)(i)
EUR
200,000
177,008
Axis Bank GIFT City 4.1% (Reg. S) (e)(i)
 
200,000
161,223
Bangkok Bank Ltd. PCL 5% (Reg. S) (e)(i)
 
200,000
177,227
Bank of America Corp.:
 
 
 
 4.3% (e)(i)
 
60,000
50,338
 5.875% (e)(i)
 
190,000
164,992
Emirates NBD Bank PJSC 6.125% (Reg. S) (e)(i)
 
200,000
190,396
HDFC Bank Ltd. 3.7% (Reg. S) (e)(i)
 
200,000
160,868
Keb Hana Bank 3.5% (Reg. S) (e)(i)
 
200,000
154,087
Tinkoff Credit Systems 6% (d)(e)(i)
 
100,000
35,692
Woori Bank 4.25% (Reg. S) (e)(i)
 
200,000
174,654
TOTAL BANKS & THRIFTS
 
 
1,446,485
Building Materials - 0.2%
 
 
 
CEMEX S.A.B. de CV 5.125% (d)(e)(i)
 
200,000
165,639
Diversified Financial Services - 0.6%
 
 
 
CAS Capital No 1 Ltd. 4% (Reg. S) (e)(i)
 
400,000
257,030
LeasePlan Corp. NV 7.375% (Reg. S) (e)(i)
EUR
200,000
193,481
TOTAL DIVERSIFIED FINANCIAL SERVICES
 
 
450,511
Energy - 0.1%
 
 
 
Repsol International Finance BV 4.247% (e)(i)
EUR
100,000
88,444
Homebuilders/Real Estate - 0.4%
 
 
 
Abertis Infraestructuras Finance BV 3.248% (Reg. S) (e)(i)
EUR
100,000
84,015
CIFI Holdings Group Co. Ltd. 11.581% (Reg. S) (e)(f)(i)
 
200,000
12,818
CPI Property Group SA 4.875% (Reg. S) (e)(i)
EUR
200,000
113,006
RKI Overseas Finance 2017 (A) 7% (Reg. S) (i)
 
200,000
59,173
Yuzhou Properties Co. U.S. TREASURY 5 YEAR INDEX + 8.520% 5.375% (Reg. S) (e)(f)(g)(i)
 
200,000
4,000
TOTAL HOMEBUILDERS/REAL ESTATE
 
 
273,012
Technology - 0.3%
 
 
 
Network i2i Ltd. 5.65% (Reg. S) (e)(i)
 
200,000
178,315
Telecommunications - 0.4%
 
 
 
Telefonica Europe BV:
 
 
 
 3.875% (Reg. S) (e)(i)
EUR
200,000
177,874
 4.375% (Reg. S) (e)(i)
EUR
100,000
97,126
TOTAL TELECOMMUNICATIONS
 
 
275,000
Utilities - 0.5%
 
 
 
Electricite de France SA:
 
 
 
 3.375% (e)(i)
EUR
200,000
129,331
 4% (Reg. S) (e)(i)
EUR
100,000
87,022
 5% (Reg. S) (e)(i)
EUR
100,000
87,805
Veolia Environnement SA 2.5% (Reg. S) (e)(i)
EUR
100,000
77,669
TOTAL UTILITIES
 
 
381,827
 
TOTAL PREFERRED SECURITIES
  (Cost $4,746,820)
 
 
 
3,342,086
 
 
 
 
Money Market Funds - 3.5%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 3.10% (m)
 
  (Cost $2,538,540)
 
 
2,538,125
2,538,633
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 98.6%
  (Cost $87,879,693)
 
 
 
71,161,132
NET OTHER ASSETS (LIABILITIES) - 1.4%  
1,035,275
NET ASSETS - 100.0%
72,196,407
 
 
 
 
Currency Abbreviations
         EUR
-
European Monetary Unit
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Level 3 security
 
(c)
Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues).  At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $636,480 or 0.9% of net assets.
 
(d)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $38,845,226 or 53.8% of net assets.
 
(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)
Non-income producing - Security is in default.
 
(h)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
 
(i)
Security is perpetual in nature with no stated maturity date.
 
(j)
Non-income producing
 
(k)
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.
 
(l)
Position or a portion of the position represents an unfunded loan commitment.  At period end, the total principal amount and market value of unfunded commitments totaled $14,493 and $13,213, respectively.
 
(m)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
 
 
Additional information on each restricted holding is as follows:
Security
Acquisition Date
Acquisition Cost ($)
 
Chesapeake Energy Corp.
2/10/21
805
 
 
 
Mesquite Energy, Inc. 15% 7/15/23
7/10/20 - 1/18/22
27,566
 
 
 
Mesquite Energy, Inc. 15% 7/15/23
11/05/20 - 1/18/22
47,694
 
 
 
New Cotai LLC/New Cotai Capital Corp.
9/11/20
623,261
 
 
 
Northeast Grocery, Inc.
11/08/21
5,075
 
 
 
Southeastern Grocers, Inc.
6/01/18
54,475
 
 
 
 
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
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 3.10%
3,385,473
24,385,146
25,231,986
38,729
-
-
2,538,633
0.0%
Fidelity Securities Lending Cash Central Fund 3.10%
3,300
26,877
30,177
1
-
-
-
0.0%
Total
3,388,773
24,412,023
25,262,163
38,730
-
-
2,538,633
 
 
 
 
 
 
 
 
 
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
Investment Valuation
 
The following is a summary of the inputs used, as of October 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
  Investments in Securities:
 
 
 
 
 Equities:
 
 
 
 
Communication Services
120,481
-
-
120,481
Consumer Discretionary
15,233
-
-
15,233
Consumer Staples
181,660
-
-
181,660
Energy
1,484,898
873,997
70,730
540,171
Utilities
337,257
149,190
188,067
-
 Corporate Bonds
58,185,885
-
57,527,151
658,734
 Government Obligations
1,949,657
-
1,949,657
-
 Bank Loan Obligations
3,005,342
-
1,978,405
1,026,937
 Preferred Securities
3,342,086
-
3,342,086
-
  Money Market Funds
2,538,633
2,538,633
-
-
 Total Investments in Securities:
71,161,132
3,561,820
65,056,096
2,543,216
 
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:
 
 
Investments in Securities:
 
Bank Loan Obligations
 
 
 
  Beginning Balance
$
600,731
 
  Net Realized Gain (Loss) on Investment Securities
 
16
 
  Net Unrealized Gain (Loss) on Investment Securities
 
(5,416)
 
  Cost of Purchases
 
439,352
 
  Proceeds of Sales
 
(8,533)
 
  Amortization/Accretion
 
787
 
  Transfers into Level 3
 
-
 
  Transfers out of Level 3
 
-
 
  Ending Balance
$
1,026,937
 
  The change in unrealized gain (loss) for the period attributable to Level 3 securities held at October 31, 2022
$
(5,416)
 
Other Investments in Securities
 
 
 
  Beginning Balance
$
1,362,928
 
  Net Realized Gain (Loss) on Investment Securities
 
-
 
  Net Unrealized Gain (Loss) on Investment Securities
 
120,103
 
  Cost of Purchases
 
2,432
 
  Proceeds of Sales
 
-
 
  Amortization/Accretion
 
816
 
  Transfers into Level 3
 
30,000
 
  Transfers out of Level 3
 
-
 
  Ending Balance
$
1,516,279
 
  The change in unrealized gain (loss) for the period attributable to Level 3 securities held at October 31, 2022
$
120,103
 
 
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Cost of purchases and proceeds of sales may include securities received and/or delivered through in-kind transactions. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations.
 
 
Financial Statements   (Unaudited)
Statement of Assets and Liabilities
 
 
 
October 31, 2022
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $85,341,153)
 
$68,622,499
 
 
Fidelity Central Funds (cost $2,538,540)
 
2,538,633
 
 
 
 
 
 
 
Total Investment in Securities (cost $87,879,693)
 
 
$
71,161,132
Cash
 
 
 
69,481
Foreign currency held at value (cost $1,796)
 
 
 
1,789
Receivable for investments sold
 
 
 
100,833
Receivable for fund shares sold
 
 
 
41,826
Dividends receivable
 
 
 
1,633
Interest receivable
 
 
 
1,151,589
Distributions receivable from Fidelity Central Funds
 
 
 
11,843
Prepaid expenses
 
 
 
126
Receivable from investment adviser for expense reductions
 
 
 
8,439
  Total assets
 
 
 
72,548,691
Liabilities
 
 
 
 
Payable for investments purchased
 
 
 
 
Regular delivery
 
$59,243
 
 
Delayed delivery
 
96,952
 
 
Payable for fund shares redeemed
 
32,734
 
 
Distributions payable
 
54,887
 
 
Accrued management fee
 
42,980
 
 
Distribution and service plan fees payable
 
3,552
 
 
Other affiliated payables
 
13,432
 
 
Other payables and accrued expenses
 
48,504
 
 
  Total Liabilities
 
 
 
352,284
Net Assets  
 
 
$
72,196,407
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
98,258,383
Total accumulated earnings (loss)
 
 
 
(26,061,976)
Net Assets
 
 
$
72,196,407
 
 
 
 
 
Net Asset Value and Maximum Offering Price
 
 
 
 
Class A :
 
 
 
 
Net Asset Value and redemption price per share ($7,569,655 ÷ 969,301 shares) (a)
 
 
$
7.81
Maximum offering price per share (100/96.00 of $7.81)
 
 
$
8.14
Class M :
 
 
 
 
Net Asset Value and redemption price per share ($2,486,791 ÷ 318,486 shares) (a)
 
 
$
7.81
Maximum offering price per share (100/96.00 of $7.81)
 
 
$
8.14
Class C :
 
 
 
 
Net Asset Value and offering price per share ($1,772,076 ÷ 226,922 shares) (a)
 
 
$
7.81
Global High Income :
 
 
 
 
Net Asset Value , offering price and redemption price per share ($57,643,926 ÷ 7,381,700 shares)
 
 
$
7.81
Class I :
 
 
 
 
Net Asset Value , offering price and redemption price per share ($2,723,959 ÷ 348,784 shares)
 
 
$
7.81
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
 
 
 
Six months ended
October 31, 2022
(Unaudited)
Investment Income
 
 
 
 
Dividends
 
 
$
274,063
Interest  
 
 
2,311,560
Income from Fidelity Central Funds (including $1 from security lending)
 
 
 
38,730
 Total Income
 
 
 
2,624,353
Expenses
 
 
 
 
Management fee
$
289,379
 
 
Transfer agent fees
 
67,651
 
 
Distribution and service plan fees
 
24,478
 
 
Accounting fees
 
17,197
 
 
Custodian fees and expenses
 
6,617
 
 
Independent trustees' fees and expenses
 
147
 
 
Registration fees
 
23,746
 
 
Audit
 
46,428
 
 
Legal
 
11,736
 
 
Miscellaneous
 
266
 
 
 Total expenses before reductions
 
487,645
 
 
 Expense reductions
 
(75,559)
 
 
 Total expenses after reductions
 
 
 
412,086
Net Investment income (loss)
 
 
 
2,212,267
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
(3,569,465)
 
 
 Foreign currency transactions
 
(15,647)
 
 
Total net realized gain (loss)
 
 
 
(3,585,112)
Change in net unrealized appreciation (depreciation) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
(5,793,028)
 
 
 Assets and liabilities in foreign currencies
 
5,573
 
 
Total change in net unrealized appreciation (depreciation)
 
 
 
(5,787,455)
Net gain (loss)
 
 
 
(9,372,567)
Net increase (decrease) in net assets resulting from operations
 
 
$
(7,160,300)
Statement of Changes in Net Assets
 
 
Six months ended
October 31, 2022
(Unaudited)
 
Year ended
April 30, 2022
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
2,212,267
$
4,646,873
Net realized gain (loss)
 
(3,585,112)
 
 
(53,257)
 
Change in net unrealized appreciation (depreciation)
 
(5,787,455)
 
(12,743,194)
 
Net increase (decrease) in net assets resulting from operations
 
(7,160,300)
 
 
(8,149,578)
 
Distributions to shareholders
 
(1,971,469)
 
 
(4,704,486)
 
Share transactions - net increase (decrease)
 
(14,917,954)
 
 
(3,075,785)
 
Total increase (decrease) in net assets
 
(24,049,723)
 
 
(15,929,849)
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
96,246,130
 
112,175,979
 
End of period
$
72,196,407
$
96,246,130
 
 
 
 
 
 
 
 
 
 
 
 
Financial Highlights
Fidelity Advisor® Global High Income Fund Class A
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019  
 
2018    
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
8.69
$
9.79
$
8.38
$
9.48
$
9.61
$
9.54
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
 
.212
 
.367
 
.391
 
.445
 
.468
 
.462
     Net realized and unrealized gain (loss)
 
(.906)
 
(1.089)
 
1.394
 
(1.120)
 
(.115)
 
.006
  Total from investment operations
 
(.694)  
 
(.722)  
 
1.785  
 
(.675)  
 
.353
 
.468
  Distributions from net investment income
 
(.186)
 
(.378)
 
(.375)
 
(.425)
 
(.457)
 
(.399)
  Distributions from net realized gain
 
-
 
-
 
-
 
-
 
(.026)
 
-
     Total distributions
 
(.186)
 
(.378)
 
(.375)
 
(.425)
 
(.483)
 
(.399)
  Redemption fees added to paid in capital A
 
-
 
-
 
-
 
-
 
-
 
.001
  Net asset value, end of period
$
7.81
$
8.69
$
9.79
$
8.38
$
9.48
$
9.61
 Total Return   C,D,E
 
(8.05)%
 
(7.64)%
 
21.59%
 
(7.44)%
 
3.88%
 
4.94%
 Ratios to Average Net Assets B,F,G
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
1.37% H
 
1.37%
 
1.34%
 
1.34%
 
1.32%
 
1.31%
    Expenses net of fee waivers, if any
 
1.17% H
 
1.16%
 
1.25%
 
1.25%
 
1.25%
 
1.25%
    Expenses net of all reductions
 
1.17% H
 
1.16%
 
1.25%
 
1.25%
 
1.25%
 
1.25%
    Net investment income (loss)
 
5.10% H
 
3.89%
 
4.17%
 
4.77%
 
5.00%
 
4.75%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
7,570
$
15,467
$
8,582
$
5,927
$
7,365
$
8,712
    Portfolio turnover rate I
 
19% H
 
45%
 
53%
 
54%
 
44%
 
48%
 
A Calculated based on average shares outstanding during the period.
 
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
C Total returns for periods of less than one year are not annualized.
 
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
E Total returns do not include the effect of the sales charges.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity Advisor® Global High Income Fund Class M
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019  
 
2018    
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
8.69
$
9.79
$
8.38
$
9.48
$
9.61
$
9.54
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
 
.210
 
.372
 
.389
 
.445
 
.467
 
.462
     Net realized and unrealized gain (loss)
 
(.904)
 
(1.094)
 
1.396
 
(1.120)
 
(.114)
 
.006
  Total from investment operations
 
(.694)  
 
(.722)  
 
1.785  
 
(.675)  
 
.353
 
.468
  Distributions from net investment income
 
(.186)
 
(.378)
 
(.375)
 
(.425)
 
(.457)
 
(.399)
  Distributions from net realized gain
 
-
 
-
 
-
 
-
 
(.026)
 
-
     Total distributions
 
(.186)
 
(.378)
 
(.375)
 
(.425)
 
(.483)
 
(.399)
  Redemption fees added to paid in capital A
 
-
 
-
 
-
 
-
 
-
 
.001
  Net asset value, end of period
$
7.81
$
8.69
$
9.79
$
8.38
$
9.48
$
9.61
 Total Return   C,D,E
 
(8.05)%
 
(7.64)%
 
21.59%
 
(7.44)%
 
3.88%
 
4.94%
 Ratios to Average Net Assets B,F,G
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
1.44% H
 
1.41%
 
1.41%
 
1.41%
 
1.40%
 
1.40%
    Expenses net of fee waivers, if any
 
1.18% H
 
1.16%
 
1.25%
 
1.25%
 
1.25%
 
1.25%
    Expenses net of all reductions
 
1.18% H
 
1.16%
 
1.25%
 
1.25%
 
1.25%
 
1.25%
    Net investment income (loss)
 
5.10% H
 
3.89%
 
4.16%
 
4.77%
 
5.00%
 
4.75%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
2,487
$
3,118
$
3,164
$
2,928
$
3,971
$
4,301
    Portfolio turnover rate I
 
19% H
 
45%
 
53%
 
54%
 
44%
 
48%
 
A Calculated based on average shares outstanding during the period.
 
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
C Total returns for periods of less than one year are not annualized.
 
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
E Total returns do not include the effect of the sales charges.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity Advisor® Global High Income Fund Class C
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019  
 
2018    
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
8.69
$
9.79
$
8.38
$
9.48
$
9.61
$
9.54
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
 
.180
 
.301
 
.319
 
.375
 
.398
 
.390
     Net realized and unrealized gain (loss)
 
(.905)
 
(1.094)
 
1.396
 
(1.119)
 
(.115)
 
.005
  Total from investment operations
 
(.725)  
 
(.793)  
 
1.715  
 
(.744)  
 
.283
 
.395
  Distributions from net investment income
 
(.155)
 
(.307)
 
(.305)
 
(.356)
 
(.387)
 
(.326)
  Distributions from net realized gain
 
-
 
-
 
-
 
-
 
(.026)
 
-
     Total distributions
 
(.155)
 
(.307)
 
(.305)
 
(.356)
 
(.413)
 
(.326)
  Redemption fees added to paid in capital A
 
-
 
-
 
-
 
-
 
-
 
.001
  Net asset value, end of period
$
7.81
$
8.69
$
9.79
$
8.38
$
9.48
$
9.61
 Total Return   C,D,E
 
(8.40)%
 
(8.33)%
 
20.69%
 
(8.13)%
 
3.10%
 
4.16%
 Ratios to Average Net Assets B,F,G
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
2.18% H
 
2.12%
 
2.14%
 
2.11%
 
2.08%
 
2.08%
    Expenses net of fee waivers, if any
 
1.93% H
 
1.91%
 
2.00%
 
2.00%
 
2.00%
 
2.00%
    Expenses net of all reductions
 
1.93% H
 
1.91%
 
2.00%
 
2.00%
 
2.00%
 
2.00%
    Net investment income (loss)
 
4.35% H
 
3.14%
 
3.41%
 
4.02%
 
4.25%
 
4.00%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
1,772
$
2,246
$
3,249
$
2,684
$
3,723
$
4,420
    Portfolio turnover rate I
 
19% H
 
45%
 
53%
 
54%
 
44%
 
48%
 
A Calculated based on average shares outstanding during the period.
 
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
C Total returns for periods of less than one year are not annualized.
 
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
E Total returns do not include the effect of the contingent deferred sales charge.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity® Global High Income Fund
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019  
 
2018    
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
8.69
$
9.79
$
8.38
$
9.48
$
9.62
$
9.54
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
 
.221
 
.397
 
.413
 
.468
 
.491
 
.487
     Net realized and unrealized gain (loss)
 
(.905)
 
(1.094)
 
1.395
 
(1.119)
 
(.125)
 
.015
  Total from investment operations
 
(.684)  
 
(.697)  
 
1.808  
 
(.651)  
 
.366
 
.502
  Distributions from net investment income
 
(.196)
 
(.403)
 
(.398)
 
(.449)
 
(.480)
 
(.423)
  Distributions from net realized gain
 
-
 
-
 
-
 
-
 
(.026)
 
-
     Total distributions
 
(.196)
 
(.403)
 
(.398)
 
(.449)
 
(.506)
 
(.423)
  Redemption fees added to paid in capital A
 
-
 
-
 
-
 
-
 
-
 
.001
  Net asset value, end of period
$
7.81
$
8.69
$
9.79
$
8.38
$
9.48
$
9.62
 Total Return   C,D
 
(7.93)%
 
(7.40)%
 
21.89%
 
(7.21)%
 
4.03%
 
5.31%
 Ratios to Average Net Assets B,E,F
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
1.10% G
 
1.04%
 
1.04%
 
1.03%
 
1.01%
 
1.02%
    Expenses net of fee waivers, if any
 
.93% G
 
.91%
 
1.00%
 
1.00%
 
1.00%
 
1.00%
    Expenses net of all reductions
 
.93% G
 
.91%
 
1.00%
 
1.00%
 
1.00%
 
1.00%
    Net investment income (loss)
 
5.35% G
 
4.15%
 
4.41%
 
5.02%
 
5.25%
 
5.00%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
57,644
$
72,441
$
89,338
$
73,039
$
97,619
$
125,192
    Portfolio turnover rate H
 
19% G
 
45%
 
53%
 
54%
 
44%
 
48%
 
A Calculated based on average shares outstanding during the period.
 
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
C Total returns for periods of less than one year are not annualized.
 
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
E Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
G Annualized
 
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity Advisor® Global High Income Fund Class I
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019  
 
2018    
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
8.69
$
9.79
$
8.38
$
9.48
$
9.62
$
9.54
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
 
.220
 
.400
 
.411
 
.473
 
.491
 
.485
     Net realized and unrealized gain (loss)
 
(.904)
 
(1.097)
 
1.397
 
(1.124)
 
(.125)
 
.017
  Total from investment operations
 
(.684)  
 
(.697)  
 
1.808  
 
(.651)  
 
.366
 
.502
  Distributions from net investment income
 
(.196)
 
(.403)
 
(.398)
 
(.449)
 
(.480)
 
(.423)
  Distributions from net realized gain
 
-
 
-
 
-
 
-
 
(.026)
 
-
     Total distributions
 
(.196)
 
(.403)
 
(.398)
 
(.449)
 
(.506)
 
(.423)
  Redemption fees added to paid in capital A
 
-
 
-
 
-
 
-
 
-
 
.001
  Net asset value, end of period
$
7.81
$
8.69
$
9.79
$
8.38
$
9.48
$
9.62
 Total Return   C,D
 
(7.93)%
 
(7.40)%
 
21.89%
 
(7.21)%
 
4.03%
 
5.31%
 Ratios to Average Net Assets B,E,F
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
1.14% G
 
1.05%
 
1.05%
 
1.03%
 
1.05%
 
1.03%
    Expenses net of fee waivers, if any
 
.93% G
 
.91%
 
1.00%
 
1.00%
 
1.00%
 
1.00%
    Expenses net of all reductions
 
.93% G
 
.91%
 
1.00%
 
1.00%
 
1.00%
 
1.00%
    Net investment income (loss)
 
5.35% G
 
4.14%
 
4.42%
 
5.02%
 
5.25%
 
5.00%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
2,724
$
2,975
$
7,844
$
4,350
$
7,352
$
9,999
    Portfolio turnover rate H
 
19% G
 
45%
 
53%
 
54%
 
44%
 
48%
 
A Calculated based on average shares outstanding during the period.
 
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
C Total returns for periods of less than one year are not annualized.
 
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
E Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
G Annualized
 
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
For the period ended October 31, 2022
 
1. Organization.
Fidelity Global High Income Fund (the Fund) is a fund of Fidelity Summer Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Global High Income, and Class I shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions. The Fund's investments in emerging markets can be subject to social, economic, regulatory, and political uncertainties and can be extremely volatile.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
 
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense Ratio A
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
 
A   Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies . The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
 
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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 Fund categorizes the inputs to valuation techniques used to value its investments 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 the Fund's investments by major category are as follows:
 
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, foreign government and government agency 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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
 
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 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. Securities, including private placements or other restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach, the income approach and cost approach, and are categorized as Level 3 in the hierarchy. The market approach considers factors including the price of recent investments in the same or a similar security or financial metrics of comparable securities. The income approach considers factors including expected future cash flows, security specific risks and corresponding discount rates. The cost approach considers factors including the value of the security's underlying assets and liabilities.
 
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
The following provides information on Level 3 securities held by the Fund that were valued at period end based on unobservable inputs. These amounts exclude valuations provided by a broker.
 
Asset Type
Fair Value
Valuation Technique(s)
Unobservable Input
Amount or Range/Weighted Average
Impact to Valuation from an Increase in Input A
Equities
$857,545
Recovery value
Recovery value
$0.00
Increase
 
 
Market comparable
Enterprise value/EBITDA multiple (EV/EBITDA)
2.8 - 8.1 / 4.0
Increase
 
 
 
Discount rate
3.5%
Decrease
 
 
 
Enterprise value/Revenue multiple (EV/R)
0.3
Increase
 
 
 
Daily production multiple ($/Barrels of oil equivalent per day)
$22,500.00
Increase
 
 
 
Enterprise Value/PV-10 multiple (EV/PV-10)
0.8
Increase
 
 
 
Enterprise Value/Proved Reserves multiple
5.9
Increase
 
 
 
Discount for lack of marketability
20.0%
Decrease
 
 
Discounted cash flow
Discount rate
10.0% - 13.5% / 10.9%
Decrease
 
 
 
Reserve risk rate
50.0% - 95.0% / 72.5%
Increase
 
 
Book value
Book value multiple
1.0
Increase
Corporate Bonds
$658,734
Recovery value
Recovery value
$0.00
Increase
 
 
Market comparable
Enterprise value/EBITDA multiple (EV/EBITDA)
2.8
Increase
 
 
 
Daily production multiple ($/Barrels of oil equivalent per day)
$22,500.00
Increase
 
 
 
Enterprise Value/PV-10 multiple (EV/PV-10)
0.8
Increase
 
 
 
Enterprise Value/Proved Reserves multiple
5.9
Increase
 
 
Discounted cash flow
Discount rate
10.0%
Decrease
 
 
 
Reserve risk rate
50.0% - 95.0% / 72.5%
Increase
 
 
Indicative market price
Evaluated bid
$0.13 - $20.00 / $14.97
Increase
 
 
Book value
Book value multiple
1.0
Increase
Bank Loan Obligations
$1,026,937
Recovery value
Recovery value
$0.00
Increase
 
 
Market approach
Transaction price
$99.5 - $100.00 / $99.97
Increase
 
 
Discounted cash flow
Discount rate
10.6% - 14.3% / 12.7%
Decrease
 
 
Indicative market price
Evaluated bid
$95.00
Increase
 
A   Represents the directional change in the fair value of the Level 3 investments that could have resulted from an increase in the corresponding input as of period end. A decrease to the unobservable input would have had the opposite effect. Significant changes in these inputs may have resulted in a significantly higher or lower fair value measurement at period end.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of October 31, 2022, as well as a roll forward of Level 3 investments, is included at the end of the Fund's Schedule of Investments.
 
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
 
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
 
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
 
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost   and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
 
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.   Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
 
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
 
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
 
Book-tax differences are primarily due to foreign currency transactions, defaulted bonds, market discount, certain conversion ratio adjustments, capital loss carryforwards and losses deferred due to wash sales.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
 
Gross unrealized appreciation
$1,973,525
Gross unrealized depreciation
(18,412,195)
Net unrealized appreciation (depreciation)
$(16,438,670)
Tax cost
$87,599,802
 
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
 
Short-term
$(832,705)
Long-term
(5,249,310)
Total capital loss carryforward
$(6,082,015)
 
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
 
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
 
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
 
 
Purchases ($)
Sales ($)
Fidelity Global High Income Fund
7,003,686
20,702,497
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .60% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .69% of the Fund's average net assets.
 
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
 
 
Distribution Fee
Service Fee
Total Fees
Retained by FDC
Class A
- %
.25%
$11,449
$1,787
Class M
- %
.25%
3,333
-
Class C
.75%
.25%
9,696
368
 
 
 
$24,478
$2,155
 
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.
 
For the period, sales charge amounts retained by FDC were as follows:
 
 
Retained by FDC
Class A
$355
Class M
43
 
$398
 
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
 
For the period, transfer agent fees for each class were as follows:
 
 
Amount
% of Class-Level Average Net Assets A
Class A
$8,172
.18
Class M
3,384
.25
Class C
2,431
.25
Global High Income
50,839
.15
Class I
2,825
.19
 
$67,651
 
A   Annualized
 
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annualized rates:
 
 
% of Average Net Assets
Fidelity Global High Income Fund
.04
 
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
 
 
Amount
Fidelity Global High Income Fund
$5
 
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
 
 
Purchases ($)
Sales ($)
Realized Gain (Loss) ($)
Fidelity Global High Income Fund
-
31,584
5,992
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
 
 
Amount
Fidelity Global High Income Fund
$77
7. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income 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. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
 
 
Total Security Lending Fees Paid to NFS
Security Lending Income From Securities Loaned to NFS
Value of Securities Loaned to NFS at Period End
Fidelity Global High Income Fund
$-
$-
$-
8. Expense Reductions.
The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through August 31, 2023. Some expenses, for example   the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.
 
The following classes were in reimbursement during the period:
 
 
Expense Limitations
Reimbursement
Class A
1.15%
$8,985
Class M
1.15%
3,592
Class C
1.90%
2,516
Global High Income
.90%
56,610
Class I
.90%
3,056
 
 
$74,759
 
 
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of fund-level operating expenses in the amount of $800.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
 
 
Six months ended
October 31, 2022
Year ended
April 30, 2022
Fidelity Global High Income Fund
 
 
Distributions to shareholders
 
 
Class A
$206,423
$427,363
Class M
60,624
136,678
Class C
36,759
87,509
Global High Income
1,596,968
3,787,445
Class I
70,695
265,491
Total   
$1,971,469
$4,704,486
10. Share Transactions.
Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
 
 
Shares
Shares
Dollars
Dollars
 
Six months ended October 31, 2022
Year ended April 30, 2022
Six months ended October 31, 2022
Year ended April 30, 2022
Fidelity Global High Income Fund
 
 
 
 
Class A
 
 
 
 
Shares sold
48,212
994,468
$394,464
$9,310,968
Reinvestment of distributions
24,706
44,175
201,402
415,544
Shares redeemed
(883,645)
(135,230)
(7,460,198)
(1,259,170)
Net increase (decrease)
(810,727)
903,413
$(6,864,332)
$8,467,342
Class M
 
 
 
 
Shares sold
8,586
91,576
$70,819
$895,377
Reinvestment of distributions
7,357
14,136
59,621
134,232
Shares redeemed
(56,355)
(70,038)
(470,993)
(666,034)
Net increase (decrease)
(40,412)
35,674
$(340,553)
$363,575
Class C
 
 
 
 
Shares sold
4,852
18,127
$38,834
$174,518
Reinvestment of distributions
4,493
9,080
36,414
86,380
Shares redeemed
(40,870)
(100,614)
(336,967)
(966,704)
Net increase (decrease)
(31,525)
(73,407)
$(261,719)
$(705,806)
Global High Income
 
 
 
 
Shares sold
581,880
3,066,135
$4,828,675
$29,769,948
Reinvestment of distributions
154,669
326,573
1,253,041
3,111,366
Shares redeemed
(1,690,896)
(4,181,161)
(13,597,792)
(39,815,297)
Net increase (decrease)
(954,347)
(788,453)
$(7,516,076)
$(6,933,983)
Class I
 
 
 
 
Shares sold
68,291
209,270
$568,958
$2,024,964
Reinvestment of distributions
7,013
24,069
56,800
230,486
Shares redeemed
(68,814)
(692,191)
(561,032)
(6,522,363)
Net increase (decrease)
6,490
(458,852)
$64,726
$(4,266,913)
11. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
12. 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.
13. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2022 to October 31, 2022).
 
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
 
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
 
 
 
Annualized Expense Ratio- A
 
Beginning Account Value May 1, 2022
 
Ending Account Value October 31, 2022
 
Expenses Paid During Period- C May 1, 2022 to October 31, 2022
Fidelity® Global High Income Fund
 
 
 
 
 
 
 
 
 
 
Class A
 
 
 
1.17%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 919.50
 
$ 5.66
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,019.31
 
$ 5.96
Class M
 
 
 
1.18%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 919.50
 
$ 5.71
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,019.26
 
$ 6.01
Class C
 
 
 
1.93%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 916.00
 
$ 9.32
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,015.48
 
$ 9.80
Fidelity® Global High Income Fund
 
 
 
.93%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 920.70
 
$ 4.50
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,020.52
 
$ 4.74
Class I
 
 
 
.93%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 920.70
 
$ 4.50
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,020.52
 
$ 4.74
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
 
 
 
 
Fidelity Global High Income Fund
 
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
 
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees (Committees), each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.
 
At its May 2022 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and the total expense ratio of a representative class (retail class); (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
 
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.  
 
Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.
 
Resources Dedicated to Investment Management and Support Services . The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to expansion of Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties, and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.
 
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.  
 
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials, and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.  
 
Investment in a Large Fund Family . The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain target date funds and classes and index funds; (vii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (viii) rationalizing product lines and gaining increased efficiencies from fund mergers and liquidations; (ix) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (x) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.  
 
Investment Performance . The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that the fund had a portfolio manager change in June 2019, October 2019, June 2020, and September 2020. The Board will continue to monitor closely the fund's performance, taking into account the portfolio management changes.  
 
The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance, the Board gave particular attention to information indicating changes in performance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance.  
 
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on net performance (after fees and expenses) of the representative class compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; issuer-specific information; and fund cash flows and other factors.
 
The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative total return information for the fund and an appropriate benchmark index for the most recent one-, three-, and five-year periods ended September 30, 2021, as shown below. A peer group is not shown below because the fund does not generally utilize a peer group for performance comparison purposes.
 
Fidelity Global High Income Fund
 
 
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
 
Competitiveness of Management Fee and Total Expense Ratio . The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.
 
Management Fee . The Board considered two proprietary management fee comparisons for the 12-month periods ended September 30 (June 30 for periods ended 2019 and 2018 and December 31 for periods prior to 2018) shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.
 
Fidelity Global High Income Fund
 
 
The Board noted that the fund's management fee rate ranked above the median of its Total Mapped Group and above the median of its ASPG for the 12-month period ended September 30,2021. The Board considered that the fund invests a greater portion of its assets internationally than other funds in its Total Mapped Group, which consists primarily of domestic high income funds, and also that the fund invests in an asset allocation strategy on top of its global allocation, and, as such, competitive rankings are less meaningful.
 
The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.
 
Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.
 
Total Expense Ratio . In its review of the total expense ratio of the representative class (retail class), the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund. The fund's representative class is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure. The Board also considered a total expense ASPG comparison for the representative class, which focuses on the total expenses of the representative class relative to a subset of non-Fidelity funds within the total expense similar sales load structure group. The total expense ASPG is limited to 15 larger and 15 smaller classes in fund average assets for a total of 30 classes, where possible. The total expense ASPG comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.
 
The Board noted that the total net expense ratio of the retail class ranked above the similar sales load structure group competitive median and above the ASPG competitive median for the 12-month period ended September 30, 2021. The Board considered that, in general, various factors can affect total expense ratios. The Board noted that the total expense ratio of the retail class was above the competitive median due to the fund's higher than standard management fee, which reflects the fund's specialized investment strategy as discussed above. The Board noted that the fund offers multiple classes, each of which has a different sales load and 12b-1 fee structure, and that the multiple structures are intended to offer a range of pricing options for the intermediary market. The Board also noted that the total expense ratios of the classes vary primarily by the level of their 12b-1 fees, although differences in transfer agent fees may also cause expenses to vary from class to class.
 
The Board further considered that FMR has contractually agreed to reimburse Class A, Class M, Class C, Class I, and the retail class of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of their respective average net assets, exceed 1.15%, 1.15%, 1.90%, 0.90%, and 0.90% through August 31, 2022.
 
Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.
 
Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.  
 
Costs of the Services and Profitability . The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
 
On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies and the full Board approves such changes.
 
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
 
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.
 
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.
 
Economies of Scale . The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.
 
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total "group assets" increase, and for higher group fee rates as total "group assets" decrease ("group assets" as defined in the management contract). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board further considered that Fidelity agreed to impose a temporary fee waiver in the form of additional breakpoints to the current breakpoint schedule. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as "group assets" increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
 
The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.
 
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) fund flow and performance trends, in particular the underperformance of certain funds and strategies, and Fidelity's long-term strategies for certain funds, including any consideration of fund liquidations or mergers; (ii) the operation of performance fees, competitor use of performance fees, and consideration of the expansion of performance fees to additional funds; (iii) Fidelity's pricing philosophy compared to competitors; (iv) fund profitability methodology and data; (v) evaluation of competitive fund data and peer group classifications and fee and expense comparisons; (vi) the management fee and expense structures for different funds and classes and information about the differences between various fee and expense structures; (vii) group fee breakpoints and related voluntary fee waivers; and (viii) information regarding other accounts managed by Fidelity and the funds' sub-advisory arrangements.  
 
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable and that the fund's Advisory Contracts should be renewed.
 
1.926252.111
GHI-SANN-1222
Fidelity Healthy Future Fund
 
 
Semi-Annual Report
October 31, 2022
Includes Fidelity and Fidelity Advisor share classes

Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
 
 
Top Holdings (% of Fund's net assets)
 
UnitedHealth Group, Inc.
9.9
 
Procter & Gamble Co.
7.5
 
Nestle SA (Reg. S)
6.3
 
Thermo Fisher Scientific, Inc.
4.9
 
Tesla, Inc.
4.5
 
NVIDIA Corp.
3.9
 
Enphase Energy, Inc.
2.3
 
Chipotle Mexican Grill, Inc.
2.0
 
Church & Dwight Co., Inc.
2.0
 
Ulta Beauty, Inc.
2.0
 
 
45.3
 
 
Market Sectors (% of Fund's net assets)
 
Health Care
35.3
 
Consumer Staples
24.2
 
Consumer Discretionary
16.6
 
Information Technology
9.2
 
Financials
4.2
 
Utilities
2.8
 
Industrials
2.0
 
Real Estate
0.6
 
 
Asset Allocation (% of Fund's net assets)
Foreign investments - 17.2%
Geographic Diversification (% of Fund's net assets)
 
*    Includes Short-Term investments and Net Other Assets (Liabilities).  
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
 
 
 
Showing Percentage of Net Assets
Common Stocks - 94.9%
 
 
Shares
Value ($)
 
CONSUMER DISCRETIONARY - 16.6%
 
 
 
Automobiles - 4.5%
 
 
 
Tesla, Inc. (a)
 
528
120,141
Hotels, Restaurants & Leisure - 3.9%
 
 
 
Chipotle Mexican Grill, Inc. (a)
 
37
55,438
Planet Fitness, Inc. (a)
 
646
42,300
Sweetgreen, Inc. Class A
 
436
8,110
 
 
 
105,848
Internet & Direct Marketing Retail - 1.1%
 
 
 
Uber Technologies, Inc. (a)
 
1,125
29,891
Multiline Retail - 1.2%
 
 
 
Dollar General Corp.
 
128
32,646
Specialty Retail - 4.3%
 
 
 
Dick's Sporting Goods, Inc.
 
208
23,662
Ulta Beauty, Inc. (a)
 
128
53,679
Warby Parker, Inc. (a)
 
2,358
37,846
 
 
 
115,187
Textiles, Apparel & Luxury Goods - 1.6%
 
 
 
Crocs, Inc. (a)
 
402
28,442
NIKE, Inc. Class B
 
76
7,044
On Holding AG (a)
 
428
7,529
 
 
 
43,015
TOTAL CONSUMER DISCRETIONARY
 
 
446,728
CONSUMER STAPLES - 24.2%
 
 
 
Food & Staples Retailing - 1.6%
 
 
 
Costco Wholesale Corp.
 
58
29,087
U.S. Foods Holding Corp. (a)
 
500
14,880
 
 
 
43,967
Food Products - 8.6%
 
 
 
Darling Ingredients, Inc. (a)
 
472
37,043
Freshpet, Inc. (a)
 
200
11,790
Nestle SA (Reg. S)
 
1,541
167,751
TreeHouse Foods, Inc. (a)
 
289
14,519
 
 
 
231,103
Household Products - 11.4%
 
 
 
Church & Dwight Co., Inc.
 
727
53,893
Kimberly-Clark Corp.
 
410
51,029
Procter & Gamble Co.
 
1,495
201,332
 
 
 
306,254
Personal Products - 2.6%
 
 
 
Estee Lauder Companies, Inc. Class A
 
108
21,653
L'Oreal SA
 
133
41,763
Olaplex Holdings, Inc.
 
1,510
6,644
 
 
 
70,060
TOTAL CONSUMER STAPLES
 
 
651,384
FINANCIALS - 4.2%
 
 
 
Capital Markets - 1.1%
 
 
 
BlackRock, Inc. Class A
 
46
29,712
Insurance - 3.1%
 
 
 
AIA Group Ltd.
 
5,159
39,078
Marsh & McLennan Companies, Inc.
 
188
30,360
Trupanion, Inc. (a)
 
250
12,618
 
 
 
82,056
TOTAL FINANCIALS
 
 
111,768
HEALTH CARE - 35.3%
 
 
 
Biotechnology - 3.4%
 
 
 
Argenx SE (a)
 
18
6,989
Regeneron Pharmaceuticals, Inc. (a)
 
58
43,428
Vertex Pharmaceuticals, Inc. (a)
 
130
40,560
 
 
 
90,977
Health Care Equipment & Supplies - 1.4%
 
 
 
Boston Scientific Corp. (a)
 
854
36,816
IDEXX Laboratories, Inc. (a)
 
1
360
 
 
 
37,176
Health Care Providers & Services - 15.4%
 
 
 
agilon health, Inc. (a)
 
2,672
53,039
Guardant Health, Inc. (a)
 
164
8,118
LifeStance Health Group, Inc. (a)
 
4,960
37,448
Molina Healthcare, Inc. (a)
 
42
15,072
Oak Street Health, Inc. (a)
 
1,465
29,637
Surgery Partners, Inc. (a)
 
119
3,236
UnitedHealth Group, Inc.
 
479
265,913
 
 
 
412,463
Life Sciences Tools & Services - 8.5%
 
 
 
Danaher Corp.
 
193
48,572
Lonza Group AG
 
96
49,419
Thermo Fisher Scientific, Inc.
 
254
130,548
 
 
 
228,539
Pharmaceuticals - 6.6%
 
 
 
Dechra Pharmaceuticals PLC
 
737
22,144
Eli Lilly & Co.
 
112
40,554
Roche Holding AG (participation certificate)
 
146
48,443
UCB SA
 
436
32,885
Zoetis, Inc. Class A
 
226
34,076
 
 
 
178,102
TOTAL HEALTH CARE
 
 
947,257
INDUSTRIALS - 2.0%
 
 
 
Electrical Equipment - 2.0%
 
 
 
Sensata Technologies, Inc. PLC
 
789
31,726
Sunrun, Inc. (a)
 
1,036
23,320
 
 
 
55,046
INFORMATION TECHNOLOGY - 9.2%
 
 
 
Semiconductors & Semiconductor Equipment - 7.1%
 
 
 
Enphase Energy, Inc. (a)
 
205
62,935
NVIDIA Corp.
 
780
105,277
SolarEdge Technologies, Inc. (a)
 
101
23,233
 
 
 
191,445
Technology Hardware, Storage & Peripherals - 2.1%
 
 
 
Apple, Inc.
 
302
46,309
Samsung Electronics Co. Ltd. GDR (Reg. S)
 
9
9,302
 
 
 
55,611
TOTAL INFORMATION TECHNOLOGY
 
 
247,056
REAL ESTATE - 0.6%
 
 
 
Equity Real Estate Investment Trusts (REITs) - 0.6%
 
 
 
Welltower Op
 
242
14,772
UTILITIES - 2.8%
 
 
 
Electric Utilities - 1.7%
 
 
 
NextEra Energy, Inc.
 
580
44,950
Water Utilities - 1.1%
 
 
 
American Water Works Co., Inc.
 
204
29,649
TOTAL UTILITIES
 
 
74,599
 
TOTAL COMMON STOCKS
  (Cost $2,640,350)
 
 
 
2,548,610
 
 
 
 
Money Market Funds - 1.3%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 3.10% (b)
 
  (Cost $35,020)
 
 
35,013
35,020
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 96.2%
  (Cost $2,675,370)
 
 
 
2,583,630
NET OTHER ASSETS (LIABILITIES) - 3.8%  
103,129
NET ASSETS - 100.0%
2,686,759
 
 
 
 
Legend
 
(a)
Non-income producing
 
(b)
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.
 
 
 
 
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
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 3.10%
-
2,191,119
2,156,099
620
-
-
35,020
0.0%
Total
-
2,191,119
2,156,099
620
-
-
35,020
 
 
 
 
 
 
 
 
 
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of October 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
  Investments in Securities:
 
 
 
 
 Equities:
 
 
 
 
Consumer Discretionary
446,728
446,728
-
-
Consumer Staples
651,384
441,870
209,514
-
Financials
111,768
72,690
39,078
-
Health Care
947,257
842,406
104,851
-
Industrials
55,046
55,046
-
-
Information Technology
247,056
247,056
-
-
Real Estate
14,772
14,772
-
-
Utilities
74,599
74,599
-
-
  Money Market Funds
35,020
35,020
-
-
 Total Investments in Securities:
2,583,630
2,230,187
353,443
-
Financial Statements   (Unaudited)
Statement of Assets and Liabilities
 
 
 
October 31, 2022
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $2,640,350)
 
$2,548,610
 
 
Fidelity Central Funds (cost $35,020)
 
35,020
 
 
 
 
 
 
 
Total Investment in Securities (cost $2,675,370)
 
 
$
2,583,630
Cash
 
 
 
9,484
Foreign currency held at value (cost $7)
 
 
 
7
Receivable for investments sold
 
 
 
40,832
Receivable for fund shares sold
 
 
 
4,591
Dividends receivable
 
 
 
1,833
Distributions receivable from Fidelity Central Funds
 
 
 
159
Prepaid expenses
 
 
 
60,464
Receivable from investment adviser for expense reductions
 
 
 
13,678
  Total assets
 
 
 
2,714,678
Liabilities
 
 
 
 
Payable for investments purchased
 
$10,715
 
 
Payable for fund shares redeemed
 
150
 
 
Accrued management fee
 
1,427
 
 
Distribution and service plan fees payable
 
148
 
 
Other affiliated payables
 
549
 
 
Audit fee payable
 
13,075
 
 
Custody fee payable
 
1,855
 
 
  Total Liabilities
 
 
 
27,919
Net Assets  
 
 
$
2,686,759
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
2,835,080
Total accumulated earnings (loss)
 
 
 
(148,321)
Net Assets
 
 
$
2,686,759
 
 
 
 
 
Net Asset Value and Maximum Offering Price
 
 
 
 
Class A :
 
 
 
 
Net Asset Value and redemption price per share ($151,152 ÷ 15,977 shares) (a)
 
 
$
9.46
Maximum offering price per share (100/94.25 of $9.46)
 
 
$
10.04
Class M :
 
 
 
 
Net Asset Value and redemption price per share ($95,685 ÷ 10,126 shares) (a)
 
 
$
9.45
Maximum offering price per share (100/96.50 of $9.45)
 
 
$
9.79
Class C :
 
 
 
 
Net Asset Value and offering price per share ($99,880 ÷ 10,593 shares) (a)
 
 
$
9.43
Fidelity Healthy Future Fund :
 
 
 
 
Net Asset Value , offering price and redemption price per share ($2,148,436 ÷ 226,835 shares)
 
 
$
9.47
Class I :
 
 
 
 
Net Asset Value , offering price and redemption price per share ($96,146 ÷ 10,152 shares)
 
 
$
9.47
Class Z :
 
 
 
 
Net Asset Value , offering price and redemption price per share ($95,460 ÷ 10,073 shares)
 
 
$
9.48
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
 
 
 
For the period May 24, 2022 (commencement of operations) through October 31, 2022
(Unaudited)
Investment Income
 
 
 
 
Dividends
 
 
$
7,200
Income from Fidelity Central Funds  
 
 
 
620
 Total Income
 
 
 
7,820
Expenses
 
 
 
 
Management fee
$
5,882
 
 
Transfer agent fees
 
2,044
 
 
Distribution and service plan fees
 
775
 
 
Accounting fees and expenses
 
308
 
 
Custodian fees and expenses
 
2,946
 
 
Independent trustees' fees and expenses
 
2
 
 
Registration fees
 
57,390
 
 
Audit
 
14,080
 
 
Miscellaneous
 
134
 
 
 Total expenses before reductions
 
83,561
 
 
 Expense reductions
 
(73,746)
 
 
 Total expenses after reductions
 
 
 
9,815
Net Investment income (loss)
 
 
 
(1,995)
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
(54,503)
 
 
 Foreign currency transactions
 
(107)
 
 
Total net realized gain (loss)
 
 
 
(54,610)
Change in net unrealized appreciation (depreciation) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
(91,740)
 
 
 Assets and liabilities in foreign currencies
 
24
 
 
Total change in net unrealized appreciation (depreciation)
 
 
 
(91,716)
Net gain (loss)
 
 
 
(146,326)
Net increase (decrease) in net assets resulting from operations
 
 
$
(148,321)
Statement of Changes in Net Assets
 
 
For the period May 24, 2022 (commencement of operations) through October 31, 2022
(Unaudited)
Increase (Decrease) in Net Assets
 
 
Operations
 
Net investment income (loss)
$
(1,995)
Net realized gain (loss)
 
(54,610)
 
Change in net unrealized appreciation (depreciation)
 
(91,716)
Net increase (decrease) in net assets resulting from operations
 
(148,321)
 
Share transactions - net increase (decrease)
 
2,835,080
 
Total increase (decrease) in net assets
 
2,686,759
 
 
 
 
Net Assets
 
 
Beginning of period
 
-
End of period
$
2,686,759
 
 
 
 
 
 
 
 
Financial Highlights
Fidelity Advisor Healthy Future Fund Class A
 
 
Six months ended
(Unaudited) October 31, 2022 A
  Selected Per-Share Data  
 
 
  Net asset value, beginning of period
$
10.00
  Income from Investment Operations
 
 
     Net investment income (loss) B,C
 
(.02)
     Net realized and unrealized gain (loss)
 
(.52)
  Total from investment operations
 
(.54)  
  Net asset value, end of period
$
9.46
 Total Return   D,E,F
 
(5.40)%
 Ratios to Average Net Assets C,G,H
 
 
    Expenses before reductions
 
10.15% I
    Expenses net of fee waivers, if any
 
1.30% I
    Expenses net of all reductions
 
1.29% I
    Net investment income (loss)
 
(.40)% I
 Supplemental Data
 
 
    Net assets, end of period (000 omitted)
$
151
    Portfolio turnover rate J
 
25% K
 
A For the period May 24, 2022 (commencement of operations) through October 31, 2022
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Total returns do not include the effect of the sales charges.
 
G Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
I Annualized
 
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
K Amount not annualized.
 
Fidelity Advisor Healthy Future Fund Class M
 
 
Six months ended
(Unaudited) October 31, 2022 A
  Selected Per-Share Data  
 
 
  Net asset value, beginning of period
$
10.00
  Income from Investment Operations
 
 
     Net investment income (loss) B,C
 
(.03)
     Net realized and unrealized gain (loss)
 
(.52)
  Total from investment operations
 
(.55)  
  Net asset value, end of period
$
9.45
 Total Return   D,E,F
 
(5.50)%
 Ratios to Average Net Assets C,G,H
 
 
    Expenses before reductions
 
10.63% I
    Expenses net of fee waivers, if any
 
1.55% I
    Expenses net of all reductions
 
1.55% I
    Net investment income (loss)
 
(.65)% I
 Supplemental Data
 
 
    Net assets, end of period (000 omitted)
$
96
    Portfolio turnover rate J
 
25% K
 
A For the period May 24, 2022 (commencement of operations) through October 31, 2022
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Total returns do not include the effect of the sales charges.
 
G Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
I Annualized
 
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
K Amount not annualized.
 
Fidelity Advisor Healthy Future Fund Class C
 
 
Six months ended
(Unaudited) October 31, 2022 A
  Selected Per-Share Data  
 
 
  Net asset value, beginning of period
$
10.00
  Income from Investment Operations
 
 
     Net investment income (loss) B,C
 
(.05)
     Net realized and unrealized gain (loss)
 
(.52)
  Total from investment operations
 
(.57)  
  Net asset value, end of period
$
9.43
 Total Return   D,E,F
 
(5.70)%
 Ratios to Average Net Assets C,G,H
 
 
    Expenses before reductions
 
11.09% I
    Expenses net of fee waivers, if any
 
2.05% I
    Expenses net of all reductions
 
2.04% I
    Net investment income (loss)
 
(1.15)% I
 Supplemental Data
 
 
    Net assets, end of period (000 omitted)
$
100
    Portfolio turnover rate J
 
25% K
 
A For the period May 24, 2022 (commencement of operations) through October 31, 2022
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Total returns do not include the effect of the contingent deferred sales charge.
 
G Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
I Annualized
 
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
K Amount not annualized.
 
Fidelity Healthy Future Fund
 
 
Six months ended
(Unaudited) October 31, 2022 A
  Selected Per-Share Data  
 
 
  Net asset value, beginning of period
$
10.00
  Income from Investment Operations
 
 
     Net investment income (loss) B,C
 
(.01)
     Net realized and unrealized gain (loss)
 
(.52)
  Total from investment operations
 
(.53)  
  Net asset value, end of period
$
9.47
 Total Return   D,E
 
(5.30)%
 Ratios to Average Net Assets C,F,G
 
 
    Expenses before reductions
 
9.30% H
    Expenses net of fee waivers, if any
 
1.05% H
    Expenses net of all reductions
 
1.04% H
    Net investment income (loss)
 
(.15)% H
 Supplemental Data
 
 
    Net assets, end of period (000 omitted)
$
2,148
    Portfolio turnover rate I
 
25% J
 
A For the period May 24, 2022 (commencement of operations) through October 31, 2022
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
J Amount not annualized.
 
Fidelity Advisor Healthy Future Fund Class I
 
 
Six months ended
(Unaudited) October 31, 2022 A
  Selected Per-Share Data  
 
 
  Net asset value, beginning of period
$
10.00
  Income from Investment Operations
 
 
     Net investment income (loss) B,C
 
(.01)
     Net realized and unrealized gain (loss)
 
(.52)
  Total from investment operations
 
(.53)  
  Net asset value, end of period
$
9.47
 Total Return   D,E
 
(5.30)%
 Ratios to Average Net Assets C,F,G
 
 
    Expenses before reductions
 
10.14% H
    Expenses net of fee waivers, if any
 
1.05% H
    Expenses net of all reductions
 
1.04% H
    Net investment income (loss)
 
(.15)% H
 Supplemental Data
 
 
    Net assets, end of period (000 omitted)
$
96
    Portfolio turnover rate I
 
25% J
 
A For the period May 24, 2022 (commencement of operations) through October 31, 2022
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
J Amount not annualized.
 
Fidelity Advisor Healthy Future Fund Class Z
 
 
Six months ended
(Unaudited) October 31, 2022 A
  Selected Per-Share Data  
 
 
  Net asset value, beginning of period
$
10.00
  Income from Investment Operations
 
 
     Net investment income (loss) B,C
 
- D
     Net realized and unrealized gain (loss)
 
(.52)
  Total from investment operations
 
(.52)  
  Net asset value, end of period
$
9.48
 Total Return   E,F
 
(5.20)%
 Ratios to Average Net Assets C,G,H
 
 
    Expenses before reductions
 
10.05% I
    Expenses net of fee waivers, if any
 
.90% I
    Expenses net of all reductions
 
.90% I
    Net investment income (loss)
 
-% I,J
 Supplemental Data
 
 
    Net assets, end of period (000 omitted)
$
95
    Portfolio turnover rate K
 
25% L
 
A For the period May 24, 2022 (commencement of operations) through October 31, 2022
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Amount represents less than $.005 per share.
 
E Total returns for periods of less than one year are not annualized.
 
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
G Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
I Annualized
 
J Amount represents less than .005%.
 
K Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
L Amount not annualized.
 
For the period ended October 31, 2022
 
1. Organization.
Fidelity Healthy Future Fund (the Fund) is a non-diversified fund of Fidelity Summer Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Fidelity Healthy Future Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions. Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect the Fund's exposure to certain issuers, sectors, regions, and countries and may affect the Fund's performance depending on whether certain investments are in or out of favor. The criteria related to the Fund's ESG ratings process and/or adherence to its sustainable investing exclusion criteria may result in the Fund forgoing opportunities to buy certain securities when it might otherwise be advantageous to do so, or selling securities for ESG reasons when it might be otherwise disadvantageous for it to do so. As a result, the Fund's performance may at times be better or worse than the performance of funds that do not use ESG or sustainability criteria. There are significant differences in interpretations of what it means for an issuer to have positive ESG factors. While the investment adviser believes its definitions are reasonable, the portfolio decisions it makes may differ with other investors' or advisers' views.
 
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
 
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense Ratio A
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
A   Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
 
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies . The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
 
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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 Fund categorizes the inputs to valuation techniques used to value its investments 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 the Fund's 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 foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, 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.
 
Investments in open-end mutual funds, including the Fidelity Central 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. The aggregate value of investments by input level as of October 31, 2022 is included at the end of the Fund's Schedule of Investments.
 
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
 
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
 
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
 
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
 
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.   Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
 
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
 
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
 
Gross unrealized appreciation
$98,368
Gross unrealized depreciation
(197,816)
Net unrealized appreciation (depreciation)
$(99,448)
Tax cost
$2,683,078
 
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
 
 
Purchases ($)
Sales ($)
Fidelity Healthy Future Fund
3,163,640
468,730
 
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .23% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .67% of the Fund's average net assets.
 
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
 
 
Distribution Fee
Service Fee
Total Fees
Retained by FDC
Class A
- %
.25%
$122
$115
Class M
.25%
.25%
216
216
Class C
.75%
.25%
437
437
 
 
 
$775
$768
 
Sales Load. FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares. For the period, there were no sales charge amounts retained by FDC.
 
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class Z. FIIOC receives an asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
 
For the period, transfer agent fees for each class were as follows:
 
 
Amount
% of Class-Level Average Net Assets A
Class A
$84
.17
Class M
50
.12
Class C
53
.12
Fidelity Healthy Future Fund
1,778
.27
Class I
61
.14
Class Z
18
.04
 
$2,044
 
 
A   Annualized
 
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annualized rates:
 
 
% of Average Net Assets
Fidelity Healthy Future Fund
.04
 
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
 
 
Amount
Fidelity Healthy Future Fund
$19
 
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
 
 
Purchases ($)
Sales ($)
Realized Gain (Loss) ($)
Fidelity Healthy Future Fund
67,401
32,186
(1,470)
 
6. Expense Reductions.
The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through August 31, 2023. Some expenses, for example   the compensation of the independent Trustees are excluded from this reimbursement.
 
The following classes were in reimbursement during the period:
 
 
Expense Limitations
Reimbursement
Class A
1.30%
$4,311
Class M
1.55%
3,911
Class C
2.05%
3,956
Fidelity Healthy Future Fund
1.05%
53,630
Class I
1.05%
3,948
Class Z
.90%
3,953
 
 
$73,709
 
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $15.
 
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of fund-level operating expenses in the amount of $22.
 
7. Share Transactions.
Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
 
 
Shares
Dollars
 
Six months ended October 31, 2022 A
Six months ended October 31, 2022 A
Fidelity Healthy Future Fund
 
 
Class A
 
 
Shares sold
17,219
$170,185
Shares redeemed
(1,242)
(12,793)
Net increase (decrease)
15,977
$157,392
Class M
 
 
Shares sold
10,126
$101,200
Net increase (decrease)
10,126
$101,200
Class C
 
 
Shares sold
10,593
$106,102
Net increase (decrease)
10,593
$106,102
Fidelity Healthy Future Fund
 
 
Shares sold
241,634
$2,411,524
Shares redeemed
(14,799)
(143,338)
Net increase (decrease)
226,835
$2,268,186
Class I
 
 
Shares sold
10,152
$101,500
Net increase (decrease)
10,152
$101,500
Class Z
 
 
Shares sold
10,073
$100,700
Net increase (decrease)
10,073
$100,700
A   For the period May 24, 2022 (commencement of operations) through October 31, 2022.
 
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
 
At the end of the period, the investment adviser or its affiliates were owners of record of more than 10% of the outstanding shares as follows:
 
Fund
Affiliated %
Fidelity Healthy Future Fund
35%
 
9. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 24, 2022 to October 31, 2022). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (May 1, 2022 to October 31, 2022).
 
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
 
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
 
 
 
Annualized Expense Ratio- A
 
Beginning Account Value
 
Ending Account Value October 31, 2022
 
Expenses Paid During Period
Fidelity Healthy Future Fund
 
 
 
 
 
 
 
 
 
 
Class A
 
 
 
1.30%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 946.00
 
$ 5.58 C
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,018.65
 
$ 6.61 D
Class M
 
 
 
1.55%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 945.00
 
$ 6.65 C
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,017.39
 
$ 7.88 D
Class C
 
 
 
2.05%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 943.00
 
$ 8.78 C
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,014.87
 
$ 10.41 D
Fidelity Healthy Future Fund
 
 
 
1.05%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 947.00
 
$ 4.51 C
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,019.91
 
$ 5.35 D
Class I
 
 
 
1.05%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 947.00
 
$ 4.51 C
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,019.91
 
$ 5.35 D
Class Z
 
 
 
.90%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 948.00
 
$ 3.87 C
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,020.67
 
$ 4.58 D
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Actual expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 161 / 365 (to reflect the period May 24, 2022 to October 31, 2022).
 
D   Hypothetical expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
 
 
 
 
 
Fidelity Healthy Future Fund

At its January 2022 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements with affiliates of FMR (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are collectively referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.  
 
Nature, Extent, and Quality of Services Provided . The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.  
 
Resources Dedicated to Investment Management and Support Services . The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.
 
Shareholder and Administrative Services . The Board considered the nature, extent, quality, and cost of advisory, administrative, and shareholder services to be performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund. The Board also considered the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors.  
 
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.
 
Investment Performance . The fund is a new fund and therefore had no historical performance for the Board to review at the time it approved the fund's Advisory Contracts. The Board considered the Investment Advisers' strength in fundamental, research-driven security selection, which the Board is familiar with through its supervision of other Fidelity funds.
Based on its review, the Board concluded that the nature, extent, and quality of services to be provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.
 
Competitiveness of Management Fee and Total Expense Ratio . In reviewing the Advisory Contracts, the Board considered the fund's proposed management fee rate and the projected total expense ratio of each class of the fund. The Board noted that the fund's proposed management fee rate is lower than the median fee rate of funds with similar Lipper investment objective categories and comparable investment mandates, regardless of whether their management fee structures are comparable. The Board also considered that the projected total expense ratio of the retail class and Class Z of the fund is below the median of those funds and classes used by the Board for management fee comparisons that have a similar sales load structure. The Board noted that the projected total expense ratio for each other class of the fund was above the median of those funds and classes used by the Board for management fee comparisons that have a similar sales load structure primarily as the result of low estimated asset levels.  
 
The Board also noted that FMR has contractually agreed to reimburse each class of the fund to the extent that total operating expenses (excluding interest, certain taxes, fees and expenses of the Independent Trustees, proxy and shareholder meeting expenses, extraordinary expenses, and acquired fund fees and expenses (including fees and expenses associated with a wholly owned subsidiary), if any, as well as non-operating expenses such as brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable), as a percentage of their respective average net assets exceed a certain limit through August 31, 2023.  
 
Based on its review, the Board concluded that the management fee and the projected total expense ratio of each class of the fund were reasonable in light of the services that the fund and its shareholders will receive and the other factors considered.  
 
Costs of the Services and Profitability . The fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of the fund at the time it approved the Advisory Contracts. In connection with its future renewal of the fund's Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
 
Economies of Scale . The Board will consider economies of scale when there is operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee was at a level normally associated, by comparison with competitors, with very high fund net assets, and Fidelity asserted to the Board that the level of the fee anticipated economies of scale at lower asset levels even before, if ever, economies of scale are achieved. The Board also noted that the fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.
 
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be approved.
 
1.9904958.100
HWF-SANN-1222
Fidelity® Capital & Income Fund
 
 
Semi-Annual Report
October 31, 2022

Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
 
 
Top Bond Issuers (% of Fund's net assets)
(with maturities greater than one year)
 
CCO Holdings LLC/CCO Holdings Capital Corp.
2.9
 
TransDigm, Inc.
2.4
 
Bank of America Corp.
1.9
 
Tenet Healthcare Corp.
1.6
 
Ally Financial, Inc.
1.6
 
JPMorgan Chase & Co.
1.6
 
Altice France SA
1.5
 
Caesars Entertainment, Inc.
1.4
 
Citigroup, Inc.
1.3
 
Occidental Petroleum
1.2
 
 
17.4
 
 
Market Sectors (% of Fund's net assets)
 
Energy
12.8
 
Banks & Thrifts
10.2
 
Technology
7.2
 
Telecommunications
6.3
 
Healthcare
5.7
 
 
Quality Diversification (% of Fund's net assets)
 
 
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
 
Asset Allocation (% of Fund's net assets)
 
Foreign investments - 12.5%
Geographic Diversification (% of Fund's net assets)
 
*    Includes Short-Term investments and Net Other Assets (Liabilities).  
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
 
 
 
Showing Percentage of Net Assets
Corporate Bonds - 67.7%
 
 
Principal
Amount (a)
(000s)
 
Value ($)
(000s)
 
Convertible Bonds - 0.4%
 
 
 
Diversified Financial Services - 0.0%
 
 
 
New Cotai LLC 5% 2/24/27 (b)
 
3,932
3,814
Energy - 0.4%
 
 
 
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
 
2,495
14,790
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
 
4,306
25,524
 
 
 
40,314
TOTAL CONVERTIBLE BONDS
 
 
44,128
Nonconvertible Bonds - 67.3%
 
 
 
Aerospace - 3.5%
 
 
 
ATI, Inc.:
 
 
 
 4.875% 10/1/29
 
6,080
5,112
 5.125% 10/1/31
 
5,395
4,448
Bombardier, Inc.:
 
 
 
 6% 2/15/28 (d)
 
6,075
5,406
 7.125% 6/15/26 (d)
 
12,110
11,464
 7.5% 3/15/25 (d)
 
12,259
12,049
 7.875% 4/15/27 (d)
 
26,370
25,044
Kaiser Aluminum Corp. 4.625% 3/1/28 (d)
 
11,215
9,811
Moog, Inc. 4.25% 12/15/27 (d)
 
3,455
3,092
Rolls-Royce PLC 5.75% 10/15/27 (d)
 
10,870
9,837
Spirit Aerosystems, Inc. 7.5% 4/15/25 (d)
 
15,000
14,573
TransDigm UK Holdings PLC 6.875% 5/15/26
 
35,725
34,868
TransDigm, Inc.:
 
 
 
 4.625% 1/15/29
 
38,080
32,426
 4.875% 5/1/29
 
25,000
21,381
 5.5% 11/15/27
 
124,228
112,426
 6.25% 3/15/26 (d)
 
17,925
17,681
 6.375% 6/15/26
 
61,985
59,816
 7.5% 3/15/27
 
18,012
17,749
 
 
 
397,183
Air Transportation - 1.8%
 
 
 
Air Canada 3.875% 8/15/26 (d)
 
9,105
8,056
Allegiant Travel Co. 7.25% 8/15/27 (d)
 
8,870
8,338
Delta Air Lines, Inc. 7% 5/1/25 (d)
 
2,708
2,745
Delta Air Lines, Inc. / SkyMiles IP Ltd.:
 
 
 
 4.5% 10/20/25 (d)
 
48,285
47,051
 4.75% 10/20/28 (d)
 
39,880
37,065
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. 5.75% 1/20/26 (d)
 
22,205
20,443
Mileage Plus Holdings LLC 6.5% 6/20/27 (d)
 
32,804
32,430
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. 8% 9/20/25 (d)
 
7,779
7,902
United Airlines, Inc.:
 
 
 
 4.375% 4/15/26 (d)
 
30,025
27,403
 4.625% 4/15/29 (d)
 
18,025
15,417
 
 
 
206,850
Automotive - 0.2%
 
 
 
Ford Motor Co. 6.1% 8/19/32
 
11,825
10,856
Ford Motor Credit Co. LLC 3.625% 6/17/31
 
15,745
12,244
 
 
 
23,100
Automotive & Auto Parts - 1.6%
 
 
 
Allison Transmission, Inc. 5.875% 6/1/29 (d)
 
7,960
7,423
Arko Corp. 5.125% 11/15/29 (d)
 
9,105
7,209
Dana, Inc.:
 
 
 
 4.25% 9/1/30
 
8,870
7,105
 4.5% 2/15/32
 
9,135
6,984
Exide Technologies:
 
 
 
 11% 10/31/24 pay-in-kind (b)(d)(e)(f)
 
1,760
0
 11% 10/31/24 pay-in-kind (b)(d)(e)(f)
 
891
401
Ford Motor Co. 3.25% 2/12/32
 
29,640
22,197
Ford Motor Credit Co. LLC:
 
 
 
 3.375% 11/13/25
 
19,245
17,459
 4% 11/13/30
 
42,253
34,173
 5.113% 5/3/29
 
10,330
9,235
LCM Investments Holdings 4.875% 5/1/29 (d)
 
24,415
20,595
McLaren Finance PLC 7.5% 8/1/26 (d)
 
8,290
6,570
Nesco Holdings II, Inc. 5.5% 4/15/29 (d)
 
14,525
12,732
PECF USS Intermediate Holding III Corp. 8% 11/15/29 (d)
 
5,530
3,703
Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 10.1636% 10/15/26 (d)(f)(g)
 
30,350
28,833
 
 
 
184,619
Banks & Thrifts - 1.9%
 
 
 
Ally Financial, Inc.:
 
 
 
 8% 11/1/31
 
20,638
20,822
 8% 11/1/31
 
151,039
154,907
CQP Holdco LP / BIP-V Chinook Holdco LLC 5.5% 6/15/31 (d)
 
27,225
24,162
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (d)
 
8,740
7,725
 
 
 
207,616
Broadcasting - 1.5%
 
 
 
Clear Channel Outdoor Holdings, Inc. 7.5% 6/1/29 (d)
 
12,070
9,488
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d)
 
46,565
9,313
Gray Escrow II, Inc. 5.375% 11/15/31 (d)
 
18,765
15,059
Lions Gate Capital Holdings LLC 5.5% 4/15/29 (d)
 
8,990
6,823
Nexstar Broadcasting, Inc.:
 
 
 
 4.75% 11/1/28 (d)
 
22,300
19,570
 5.625% 7/15/27 (d)
 
23,735
22,418
Scripps Escrow II, Inc. 3.875% 1/15/29 (d)
 
2,820
2,329
Sirius XM Radio, Inc.:
 
 
 
 3.125% 9/1/26 (d)
 
9,100
8,132
 3.875% 9/1/31 (d)
 
12,130
9,704
 4% 7/15/28 (d)
 
23,630
20,314
 5% 8/1/27 (d)
 
14,525
13,363
Townsquare Media, Inc. 6.875% 2/1/26 (d)
 
5,645
5,330
Univision Communications, Inc.:
 
 
 
 4.5% 5/1/29 (d)
 
12,060
10,153
 7.375% 6/30/30 (d)
 
17,095
16,539
 
 
 
168,535
Building Materials - 0.5%
 
 
 
Advanced Drain Systems, Inc.:
 
 
 
 5% 9/30/27 (d)
 
2,325
2,156
 6.375% 6/15/30 (d)
 
6,050
5,847
Brundage-Bone Concrete Pumping Holdings, Inc. 6% 2/1/26 (d)
 
6,555
5,932
CP Atlas Buyer, Inc. 7% 12/1/28 (d)
 
5,480
3,946
James Hardie International Finance Ltd. 5% 1/15/28 (d)
 
4,136
3,740
MIWD Holdco II LLC / MIWD Finance Corp. 5.5% 2/1/30 (d)
 
4,125
3,182
Oscar Acquisition Co. LLC / Oscar Finance, Inc. 9.5% 4/15/30 (d)
 
9,050
7,664
SRS Distribution, Inc.:
 
 
 
 4.625% 7/1/28 (d)
 
11,605
10,190
 6.125% 7/1/29 (d)
 
4,870
3,960
Summit Materials LLC/Summit Materials Finance Corp. 5.25% 1/15/29 (d)
 
10,525
9,612
 
 
 
56,229
Cable/Satellite TV - 4.5%
 
 
 
Block Communications, Inc. 4.875% 3/1/28 (d)
 
7,830
6,805
CCO Holdings LLC/CCO Holdings Capital Corp.:
 
 
 
 4.25% 2/1/31 (d)
 
16,515
13,047
 4.5% 8/15/30 (d)
 
21,660
17,578
 4.5% 5/1/32
 
46,575
36,794
 4.75% 3/1/30 (d)
 
63,365
53,252
 4.75% 2/1/32 (d)
 
26,255
21,005
 5% 2/1/28 (d)
 
91,490
82,798
 5.125% 5/1/27 (d)
 
69,885
64,747
 5.375% 6/1/29 (d)
 
18,080
16,152
 5.5% 5/1/26 (d)
 
8,759
8,431
 6.375% 9/1/29 (d)
 
11,825
10,897
CSC Holdings LLC:
 
 
 
 3.375% 2/15/31 (d)
 
14,140
10,252
 4.5% 11/15/31 (d)
 
30,110
23,419
 5.375% 2/1/28 (d)
 
23,655
21,822
 6.5% 2/1/29 (d)
 
24,795
23,369
DISH DBS Corp.:
 
 
 
 5.25% 12/1/26 (d)
 
15,220
13,222
 5.75% 12/1/28 (d)
 
15,220
12,271
Dolya Holdco 18 DAC 5% 7/15/28 (d)
 
6,600
5,619
Radiate Holdco LLC/Radiate Financial Service Ltd.:
 
 
 
 4.5% 9/15/26 (d)
 
8,350
7,056
 6.5% 9/15/28 (d)
 
22,260
14,024
VZ Secured Financing BV 5% 1/15/32 (d)
 
24,310
19,509
Ziggo Bond Co. BV:
 
 
 
 5.125% 2/28/30 (d)
 
6,000
4,755
 6% 1/15/27 (d)
 
11,435
10,291
Ziggo BV 4.875% 1/15/30 (d)
 
7,990
6,752
 
 
 
503,867
Capital Goods - 0.1%
 
 
 
ATS Automation Tooling System, Inc. 4.125% 12/15/28 (d)
 
7,895
6,750
Stevens Holding Co., Inc. 6.125% 10/1/26 (d)
 
3,245
3,249
 
 
 
9,999
Chemicals - 1.6%
 
 
 
Cheever Escrow Issuer LLC 7.125% 10/1/27 (d)
 
5,915
5,430
Compass Minerals International, Inc. 6.75% 12/1/27 (d)
 
24,600
23,142
Gpd Companies, Inc. 10.125% 4/1/26 (d)
 
14,980
13,393
Ingevity Corp. 3.875% 11/1/28 (d)
 
11,105
9,374
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. 5% 12/31/26 (d)
 
3,835
3,476
LSB Industries, Inc. 6.25% 10/15/28 (d)
 
21,105
19,161
Olympus Water U.S. Holding Corp. 4.25% 10/1/28 (d)
 
12,145
9,859
SCIH Salt Holdings, Inc. 4.875% 5/1/28 (d)
 
7,820
6,788
SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (d)
 
14,015
11,142
The Chemours Co. LLC:
 
 
 
 5.375% 5/15/27
 
32,330
28,949
 5.75% 11/15/28 (d)
 
16,765
14,242
Tronox, Inc. 4.625% 3/15/29 (d)
 
13,295
10,268
Valvoline, Inc. 4.25% 2/15/30 (d)
 
8,315
8,003
W.R. Grace Holding LLC 5.625% 8/15/29 (d)
 
28,310
21,883
 
 
 
185,110
Consumer Products - 0.9%
 
 
 
Angi Group LLC 3.875% 8/15/28 (d)
 
5,530
4,051
Diamond BC BV 4.625% 10/1/29 (d)
 
7,285
5,352
Foundation Building Materials, Inc. 6% 3/1/29 (d)
 
5,845
4,038
Gannett Holdings LLC 6% 11/1/26 (d)
 
8,785
6,571
HFC Prestige Products, Inc./HFC Prestige International U.S. LLC 4.75% 1/15/29 (d)
 
8,760
7,607
Millennium Escrow Corp. 6.625% 8/1/26 (d)
 
12,120
8,726
PetSmart, Inc. / PetSmart Finance Corp.:
 
 
 
 4.75% 2/15/28 (d)
 
10,160
9,275
 7.75% 2/15/29 (d)
 
8,880
8,338
Spectrum Brands Holdings, Inc. 3.875% 3/15/31 (d)
 
8,380
6,180
Tempur Sealy International, Inc.:
 
 
 
 3.875% 10/15/31 (d)
 
15,965
11,987
 4% 4/15/29 (d)
 
15,925
12,806
The Scotts Miracle-Gro Co. 4% 4/1/31
 
11,945
9,151
TKC Holdings, Inc. 6.875% 5/15/28 (d)
 
13,375
11,101
 
 
 
105,183
Containers - 0.5%
 
 
 
Crown Cork & Seal, Inc.:
 
 
 
 7.375% 12/15/26
 
4,845
4,897
 7.5% 12/15/96
 
12,871
12,785
Graham Packaging Co., Inc. 7.125% 8/15/28 (d)
 
6,000
4,918
Graphic Packaging International, Inc. 3.75% 2/1/30 (d)
 
7,880
6,775
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (d)
 
4,230
3,147
LABL, Inc. 5.875% 11/1/28 (d)
 
14,730
12,795
Trivium Packaging Finance BV 5.5% 8/15/26 (d)
 
6,930
6,361
 
 
 
51,678
Diversified Financial Services - 2.3%
 
 
 
Broadstreet Partners, Inc. 5.875% 4/15/29 (d)
 
15,505
12,444
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (d)
 
6,915
6,137
Coinbase Global, Inc.:
 
 
 
 3.375% 10/1/28 (d)
 
9,110
5,954
 3.625% 10/1/31 (d)
 
9,110
5,394
Compass Group Diversified Holdings LLC:
 
 
 
 5% 1/15/32 (d)
 
6,090
4,439
 5.25% 4/15/29 (d)
 
17,730
15,248
Hightower Holding LLC 6.75% 4/15/29 (d)
 
5,945
4,840
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
 
 
 
 4.375% 2/1/29
 
11,165
9,321
 5.25% 5/15/27
 
41,665
38,384
 6.25% 5/15/26
 
24,085
23,182
 6.375% 12/15/25
 
28,275
27,448
LPL Holdings, Inc. 4% 3/15/29 (d)
 
17,730
15,475
MSCI, Inc.:
 
 
 
 3.25% 8/15/33 (d)
 
9,110
7,042
 4% 11/15/29 (d)
 
6,385
5,544
OEC Finance Ltd.:
 
 
 
 4.375% 10/25/29 pay-in-kind (d)
 
6,919
165
 5.25% 12/27/33 pay-in-kind (d)
 
3,388
68
OneMain Finance Corp.:
 
 
 
 4% 9/15/30
 
5,610
4,236
 5.375% 11/15/29
 
9,400
7,708
 6.625% 1/15/28
 
7,305
6,636
 6.875% 3/15/25
 
19,480
18,896
 7.125% 3/15/26
 
38,380
37,037
Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. 4.625% 11/1/26 (d)
 
3,750
3,457
 
 
 
259,055
Diversified Media - 0.3%
 
 
 
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d)
 
40,645
34,447
Energy - 8.8%
 
 
 
Altus Midstream LP 5.875% 6/15/30 (d)
 
9,060
8,500
Antero Midstream Partners LP/Antero Midstream Finance Corp.:
 
 
 
 5.375% 6/15/29 (d)
 
9,060
8,265
 5.75% 1/15/28 (d)
 
17,645
16,624
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d)
 
7,820
6,627
CGG SA 8.75% 4/1/27 (d)
 
11,985
10,597
Cheniere Energy Partners LP:
 
 
 
 3.25% 1/31/32
 
9,110
7,089
 4% 3/1/31
 
31,040
26,169
Cheniere Energy, Inc. 4.625% 10/15/28
 
22,300
20,572
Chesapeake Energy Corp.:
 
 
 
 5.875% 2/1/29 (d)
 
5,840
5,518
 6.75% 4/15/29 (d)
 
8,995
8,810
 7% 10/1/24 (b)(e)
 
6,915
0
 8% 1/15/25 (b)(e)
 
3,385
0
 8% 6/15/27 (b)(e)
 
2,132
0
Citgo Holding, Inc. 9.25% 8/1/24 (d)
 
27,185
27,210
Citgo Petroleum Corp.:
 
 
 
 6.375% 6/15/26 (d)
 
8,760
8,627
 7% 6/15/25 (d)
 
22,045
21,707
CNX Midstream Partners LP 4.75% 4/15/30 (d)
 
6,435
5,293
CNX Resources Corp.:
 
 
 
 6% 1/15/29 (d)
 
5,345
4,990
 7.375% 1/15/31 (d)
 
5,930
5,887
Colgate Energy Partners III LLC 5.875% 7/1/29 (d)
 
8,645
8,018
Comstock Resources, Inc.:
 
 
 
 5.875% 1/15/30 (d)
 
32,085
28,954
 6.75% 3/1/29 (d)
 
20,060
19,207
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:
 
 
 
 5.625% 5/1/27 (d)
 
18,015
16,944
 5.75% 4/1/25
 
4,790
4,670
 6% 2/1/29 (d)
 
25,785
24,112
CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (d)
 
5,055
4,592
CVR Energy, Inc.:
 
 
 
 5.25% 2/15/25 (d)
 
16,990
16,371
 5.75% 2/15/28 (d)
 
22,655
20,503
DCP Midstream Operating LP 5.85% 5/21/43 (d)(f)
 
18,335
17,740
Delek Logistics Partners LP 7.125% 6/1/28 (d)
 
17,655
15,809
DT Midstream, Inc.:
 
 
 
 4.125% 6/15/29 (d)
 
9,070
7,841
 4.375% 6/15/31 (d)
 
9,070
7,641
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (d)
 
21,251
20,655
Energy Transfer LP 5.5% 6/1/27
 
16,735
16,145
EnLink Midstream LLC 6.5% 9/1/30 (d)
 
11,825
11,618
Hess Midstream Partners LP:
 
 
 
 4.25% 2/15/30 (d)
 
9,875
8,445
 5.125% 6/15/28 (d)
 
11,235
10,336
 5.5% 10/15/30 (d)
 
6,060
5,467
 5.625% 2/15/26 (d)
 
15,535
15,236
Hilcorp Energy I LP/Hilcorp Finance Co. 6.25% 11/1/28 (d)
 
12,280
11,543
Holly Energy Partners LP/Holly Energy Finance Corp.:
 
 
 
 5% 2/1/28 (d)
 
7,615
6,882
 6.375% 4/15/27 (d)
 
6,050
5,823
MEG Energy Corp. 7.125% 2/1/27 (d)
 
11,335
11,534
Mesquite Energy, Inc. 7.25% 2/15/23 (b)(d)(e)
 
21,977
0
Nabors Industries Ltd.:
 
 
 
 7.25% 1/15/26 (d)
 
11,260
10,866
 7.5% 1/15/28 (d)
 
9,715
9,011
New Fortress Energy, Inc.:
 
 
 
 6.5% 9/30/26 (d)
 
23,915
23,198
 6.75% 9/15/25 (d)
 
15,106
14,830
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (d)
 
11,090
10,032
Nine Energy Service, Inc. 8.75% 11/1/23 (d)
 
6,245
5,448
NuStar Logistics LP 6% 6/1/26
 
12,025
11,659
Occidental Petroleum Corp.:
 
 
 
 3.5% 8/15/29
 
14,690
13,331
 5.875% 9/1/25
 
11,055
11,138
 6.125% 1/1/31
 
23,465
23,527
 6.2% 3/15/40
 
5,785
5,565
 6.375% 9/1/28
 
18,145
18,415
 6.45% 9/15/36
 
19,110
18,957
 6.6% 3/15/46
 
11,465
11,285
 6.625% 9/1/30
 
22,115
23,001
 7.2% 3/15/29
 
3,964
4,063
 7.5% 5/1/31
 
1,100
1,183
 8.875% 7/15/30
 
12,405
14,080
PBF Holding Co. LLC/PBF Finance Corp.:
 
 
 
 6% 2/15/28
 
27,530
25,018
 7.25% 6/15/25
 
22,875
22,632
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23
 
8,455
8,459
PDC Energy, Inc. 6.125% 9/15/24
 
1,777
1,759
SM Energy Co.:
 
 
 
 5.625% 6/1/25
 
6,330
6,149
 6.625% 1/15/27
 
21,320
20,894
 6.75% 9/15/26
 
4,550
4,482
Southern Natural Gas Co. LLC:
 
 
 
 7.35% 2/15/31
 
23,497
24,119
 8% 3/1/32
 
12,475
13,236
Southwestern Energy Co.:
 
 
 
 5.375% 3/15/30
 
12,145
11,234
 5.7% 1/23/25 (h)
 
244
241
 7.75% 10/1/27
 
12,945
13,316
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5% 6/1/31 (d)
 
12,070
10,146
Summit Midstream Holdings LLC:
 
 
 
 5.75% 4/15/25
 
5,390
4,514
 8.5% (d)(i)
 
9,110
8,746
Sunoco LP/Sunoco Finance Corp.:
 
 
 
 4.5% 5/15/29
 
10,170
8,735
 4.5% 4/30/30
 
12,185
10,362
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.:
 
 
 
 6% 9/1/31 (d)
 
9,110
8,109
 7.5% 10/1/25 (d)
 
8,350
8,433
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 4.875% 2/1/31
 
10,360
9,141
Teine Energy Ltd. 6.875% 4/15/29 (d)
 
8,990
8,019
Tennessee Gas Pipeline Co. 7.625% 4/1/37
 
5,445
5,643
Venture Global Calcasieu Pass LLC:
 
 
 
 3.875% 8/15/29 (d)
 
7,585
6,504
 4.125% 8/15/31 (d)
 
7,585
6,466
 
 
 
984,517
Environmental - 0.6%
 
 
 
Covanta Holding Corp.:
 
 
 
 4.875% 12/1/29 (d)
 
18,165
15,467
 5% 9/1/30
 
11,060
9,211
Darling Ingredients, Inc. 6% 6/15/30 (d)
 
13,885
13,364
GFL Environmental, Inc.:
 
 
 
 4% 8/1/28 (d)
 
9,105
7,879
 4.75% 6/15/29 (d)
 
12,095
10,542
Madison IAQ LLC:
 
 
 
 4.125% 6/30/28 (d)
 
11,390
9,425
 5.875% 6/30/29 (d)
 
9,085
6,223
 
 
 
72,111
Food & Drug Retail - 1.3%
 
 
 
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:
 
 
 
 3.5% 3/15/29 (d)
 
36,160
29,922
 4.625% 1/15/27 (d)
 
25,300
23,446
 4.875% 2/15/30 (d)
 
44,700
39,671
BellRing Brands, Inc. 7% 3/15/30 (d)
 
14,740
13,919
Murphy Oil U.S.A., Inc.:
 
 
 
 3.75% 2/15/31 (d)
 
5,300
4,416
 4.75% 9/15/29
 
6,860
6,174
 5.625% 5/1/27
 
6,030
5,787
Parkland Corp.:
 
 
 
 4.5% 10/1/29 (d)
 
8,995
7,574
 4.625% 5/1/30 (d)
 
12,175
10,127
SEG Holding LLC/SEG Finance Corp. 5.625% 10/15/28 (d)
 
11,130
10,286
 
 
 
151,322
Food/Beverage/Tobacco - 1.7%
 
 
 
C&S Group Enterprises LLC 5% 12/15/28 (d)
 
8,615
6,369
Chobani LLC/Finance Corp., Inc. 4.625% 11/15/28 (d)
 
6,285
5,459
JBS U.S.A. Lux SA / JBS Food Co. 5.5% 1/15/30 (d)
 
20,180
18,395
KeHE Distributors LLC / KeHE Finance Corp. 8.625% 10/15/26 (d)
 
7,777
7,738
Lamb Weston Holdings, Inc.:
 
 
 
 4.125% 1/31/30 (d)
 
12,150
10,607
 4.375% 1/31/32 (d)
 
6,075
5,217
Performance Food Group, Inc.:
 
 
 
 4.25% 8/1/29 (d)
 
8,495
7,197
 5.5% 10/15/27 (d)
 
8,855
8,370
Pilgrim's Pride Corp. 4.25% 4/15/31 (d)
 
21,020
17,506
Post Holdings, Inc.:
 
 
 
 4.5% 9/15/31 (d)
 
47,500
39,292
 4.625% 4/15/30 (d)
 
15,630
13,189
 5.5% 12/15/29 (d)
 
21,040
18,934
Simmons Foods, Inc. 4.625% 3/1/29 (d)
 
8,340
6,959
TreeHouse Foods, Inc. 4% 9/1/28
 
3,695
3,118
Triton Water Holdings, Inc. 6.25% 4/1/29 (d)
 
6,360
4,817
U.S. Foods, Inc. 4.625% 6/1/30 (d)
 
7,520
6,524
United Natural Foods, Inc. 6.75% 10/15/28 (d)
 
7,750
7,485
 
 
 
187,176
Gaming - 2.9%
 
 
 
Affinity Gaming LLC 6.875% 12/15/27 (d)
 
4,295
3,585
Boyd Gaming Corp. 4.75% 6/15/31 (d)
 
15,120
12,772
Caesars Entertainment, Inc.:
 
 
 
 4.625% 10/15/29 (d)
 
18,245
14,596
 6.25% 7/1/25 (d)
 
41,240
40,239
 8.125% 7/1/27 (d)
 
54,990
53,478
Caesars Resort Collection LLC 5.75% 7/1/25 (d)
 
13,750
13,431
CDI Escrow Issuer, Inc. 5.75% 4/1/30 (d)
 
6,040
5,451
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.:
 
 
 
 4.625% 1/15/29 (d)
 
25,865
22,495
 6.75% 1/15/30 (d)
 
34,295
26,922
Jacobs Entertainment, Inc. 6.75% 2/15/29 (d)
 
8,585
7,569
Melco Resorts Finance Ltd.:
 
 
 
 5.25% 4/26/26 (d)
 
8,910
5,656
 5.75% 7/21/28 (d)
 
4,420
2,542
MGM Resorts International 4.75% 10/15/28
 
11,125
9,646
Peninsula Pacific Entertainment LLC 8.5% 11/15/27 (d)
 
19,045
20,450
Premier Entertainment Sub LLC:
 
 
 
 5.625% 9/1/29 (d)
 
31,840
23,562
 5.875% 9/1/31 (d)
 
24,325
17,237
Station Casinos LLC 4.625% 12/1/31 (d)
 
9,135
7,258
Studio City Finance Ltd. 5% 1/15/29 (d)
 
5,700
2,363
VICI Properties LP / VICI Note Co.:
 
 
 
 3.875% 2/15/29 (d)
 
11,195
9,427
 4.25% 12/1/26 (d)
 
21,450
19,538
 4.625% 12/1/29 (d)
 
12,240
10,643
 
 
 
328,860
Healthcare - 4.7%
 
 
 
180 Medical, Inc. 3.875% 10/15/29 (d)
 
6,495
5,488
Avantor Funding, Inc. 3.875% 11/1/29 (d)
 
6,075
5,126
Cano Health, Inc. 6.25% 10/1/28 (d)
 
4,050
3,252
Catalent Pharma Solutions:
 
 
 
 3.5% 4/1/30 (d)
 
6,070
4,902
 5% 7/15/27 (d)
 
3,765
3,540
Centene Corp. 4.25% 12/15/27
 
11,560
10,664
Charles River Laboratories International, Inc.:
 
 
 
 3.75% 3/15/29 (d)
 
10,515
9,095
 4% 3/15/31 (d)
 
12,085
10,166
 4.25% 5/1/28 (d)
 
3,400
3,093
Community Health Systems, Inc.:
 
 
 
 4.75% 2/15/31 (d)
 
21,790
14,598
 5.25% 5/15/30 (d)
 
18,245
12,635
 5.625% 3/15/27 (d)
 
7,180
5,722
 6% 1/15/29 (d)
 
8,490
6,302
 6.125% 4/1/30 (d)
 
21,795
8,936
 8% 3/15/26 (d)
 
61,410
52,966
DaVita HealthCare Partners, Inc.:
 
 
 
 3.75% 2/15/31 (d)
 
4,180
3,022
 4.625% 6/1/30 (d)
 
31,515
24,570
Grifols Escrow Issuer SA 4.75% 10/15/28 (d)
 
6,075
4,746
HealthEquity, Inc. 4.5% 10/1/29 (d)
 
6,410
5,601
Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (d)
 
12,050
11,598
IQVIA, Inc. 5% 5/15/27 (d)
 
12,070
11,501
Jazz Securities DAC 4.375% 1/15/29 (d)
 
12,305
10,921
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (d)
 
7,010
5,966
Modivcare, Inc. 5.875% 11/15/25 (d)
 
8,105
7,699
Molina Healthcare, Inc.:
 
 
 
 3.875% 11/15/30 (d)
 
10,465
8,893
 3.875% 5/15/32 (d)
 
12,160
10,141
 4.375% 6/15/28 (d)
 
7,525
6,749
Option Care Health, Inc. 4.375% 10/31/29 (d)
 
6,680
5,769
Organon & Co. / Organon Foreign Debt Co-Issuer BV:
 
 
 
 4.125% 4/30/28 (d)
 
21,010
18,506
 5.125% 4/30/31 (d)
 
18,260
15,508
Owens & Minor, Inc. 4.5% 3/31/29 (d)
 
8,310
6,435
Radiology Partners, Inc. 9.25% 2/1/28 (d)
 
20,865
11,038
RP Escrow Issuer LLC 5.25% 12/15/25 (d)
 
10,405
7,780
Syneos Health, Inc. 3.625% 1/15/29 (d)
 
8,395
6,953
Tenet Healthcare Corp.:
 
 
 
 4.25% 6/1/29 (d)
 
17,640
14,862
 4.375% 1/15/30 (d)
 
43,755
36,710
 4.625% 7/15/24
 
2,495
2,433
 4.625% 9/1/24 (d)
 
12,045
11,627
 4.875% 1/1/26 (d)
 
30,115
28,459
 5.125% 11/1/27 (d)
 
18,070
16,647
 6.125% 10/1/28 (d)
 
11,010
9,529
 6.125% 6/15/30 (d)
 
24,015
22,169
 6.25% 2/1/27 (d)
 
35,815
34,179
Teva Pharmaceutical Finance Netherlands III BV:
 
 
 
 4.75% 5/9/27
 
6,085
5,370
 5.125% 5/9/29
 
6,085
5,222
 
 
 
527,088
Homebuilders/Real Estate - 2.2%
 
 
 
Arcosa, Inc. 4.375% 4/15/29 (d)
 
8,410
7,251
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 4/1/30 (d)
 
8,940
6,634
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (d)
 
7,775
5,978
Century Communities, Inc. 3.875% 8/15/29 (d)
 
9,110
7,174
DTZ U.S. Borrower LLC 6.75% 5/15/28 (d)
 
10,555
10,037
MPT Operating Partnership LP/MPT Finance Corp.:
 
 
 
 3.5% 3/15/31
 
11,190
7,697
 4.625% 8/1/29
 
18,080
14,324
 5% 10/15/27
 
38,043
32,576
Realogy Group LLC/Realogy Co-Issuer Corp. 5.75% 1/15/29 (d)
 
36,785
26,150
Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25% 4/15/30 (d)
 
12,170
8,439
Shea Homes Ltd. Partnership/Corp. 4.75% 4/1/29 (d)
 
8,020
6,538
Taylor Morrison Communities, Inc./Monarch Communities, Inc.:
 
 
 
 5.125% 8/1/30 (d)
 
10,725
8,898
 5.625% 3/1/24 (d)
 
1,312
1,284
 5.875% 6/15/27 (d)
 
9,260
8,684
TopBuild Corp. 3.625% 3/15/29 (d)
 
5,910
4,696
TRI Pointe Group, Inc./TRI Pointe Holdings, Inc. 5.875% 6/15/24
 
16,130
15,852
TRI Pointe Homes, Inc. 5.7% 6/15/28
 
14,380
12,459
Uniti Group LP / Uniti Group Finance, Inc.:
 
 
 
 4.75% 4/15/28 (d)
 
31,410
25,676
 6.5% 2/15/29 (d)
 
39,880
28,614
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (d)
 
5,045
4,064
 
 
 
243,025
Hotels - 0.4%
 
 
 
Carnival Holdings (Bermuda) Ltd. 10.375% 5/1/28 (d)
 
17,635
17,857
Hilton Domestic Operating Co., Inc.:
 
 
 
 3.75% 5/1/29 (d)
 
5,595
4,766
 4% 5/1/31 (d)
 
8,395
7,018
 4.875% 1/15/30
 
6,900
6,184
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27
 
8,435
8,013
 
 
 
43,838
Insurance - 1.1%
 
 
 
Acrisure LLC / Acrisure Finance, Inc.:
 
 
 
 6% 8/1/29 (d)
 
9,105
7,548
 7% 11/15/25 (d)
 
34,880
32,784
Alliant Holdings Intermediate LLC:
 
 
 
 4.25% 10/15/27 (d)
 
11,125
10,014
 5.875% 11/1/29 (d)
 
9,115
7,680
 6.75% 10/15/27 (d)
 
16,680
15,221
AmWINS Group, Inc. 4.875% 6/30/29 (d)
 
8,805
7,527
AssuredPartners, Inc.:
 
 
 
 5.625% 1/15/29 (d)
 
6,550
5,387
 7% 8/15/25 (d)
 
4,865
4,662
HUB International Ltd.:
 
 
 
 5.625% 12/1/29 (d)
 
13,275
11,383
 7% 5/1/26 (d)
 
11,770
11,623
MGIC Investment Corp. 5.25% 8/15/28
 
7,710
6,995
 
 
 
120,824
Leisure - 1.8%
 
 
 
Boyne U.S.A., Inc. 4.75% 5/15/29 (d)
 
6,360
5,565
Carnival Corp.:
 
 
 
 4% 8/1/28 (d)
 
29,990
24,162
 7.625% 3/1/26 (d)
 
19,665
14,787
 9.875% 8/1/27 (d)
 
16,600
15,480
 10.5% 2/1/26 (d)
 
11,990
11,750
Merlin Entertainments PLC 5.75% 6/15/26 (d)
 
7,725
7,183
NCL Corp. Ltd. 5.875% 2/15/27 (d)
 
12,100
10,814
Royal Caribbean Cruises Ltd.:
 
 
 
 5.375% 7/15/27 (d)
 
9,125
7,093
 8.25% 1/15/29 (d)
 
14,800
14,752
 9.25% 1/15/29 (d)
 
14,800
15,009
 11.5% 6/1/25 (d)
 
23,674
25,450
 11.625% 8/15/27 (d)
 
11,825
11,496
SeaWorld Parks & Entertainment, Inc. 5.25% 8/15/29 (d)
 
12,145
10,446
Vail Resorts, Inc. 6.25% 5/15/25 (d)
 
6,250
6,219
Viking Cruises Ltd. 13% 5/15/25 (d)
 
9,250
9,944
Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (d)
 
4,965
3,870
Voc Escrow Ltd. 5% 2/15/28 (d)
 
10,755
8,854
 
 
 
202,874
Metals/Mining - 2.0%
 
 
 
Alcoa Nederland Holding BV:
 
 
 
 4.125% 3/31/29 (d)
 
15,485
13,113
 6.125% 5/15/28 (d)
 
3,565
3,373
Arconic Corp.:
 
 
 
 6% 5/15/25 (d)
 
6,630
6,565
 6.125% 2/15/28 (d)
 
16,695
15,650
Cleveland-Cliffs, Inc.:
 
 
 
 4.625% 3/1/29 (d)
 
23,720
20,424
 4.875% 3/1/31 (d)
 
11,440
9,662
 5.875% 6/1/27
 
18,030
16,768
Eldorado Gold Corp. 6.25% 9/1/29 (d)
 
13,719
11,097
ERO Copper Corp. 6.5% 2/15/30 (d)
 
9,085
6,655
First Quantum Minerals Ltd.:
 
 
 
 6.5% 3/1/24 (d)
 
10,955
10,687
 6.875% 3/1/26 (d)
 
28,325
26,510
 7.5% 4/1/25 (d)
 
20,585
19,823
FMG Resources Pty Ltd.:
 
 
 
 4.375% 4/1/31 (d)
 
8,990
7,099
 4.5% 9/15/27 (d)
 
9,015
8,070
 5.125% 5/15/24 (d)
 
9,780
9,538
HudBay Minerals, Inc. 4.5% 4/1/26 (d)
 
7,020
6,158
Mineral Resources Ltd.:
 
 
 
 8% 11/1/27 (d)
 
6,040
5,942
 8.125% 5/1/27 (d)
 
18,015
17,925
 8.5% 5/1/30 (d)
 
4,475
4,404
Murray Energy Corp.:
 
 
 
 11.25% 12/31/49 (b)(d)(e)
 
8,915
0
 12% 4/15/24 pay-in-kind (b)(d)(e)(f)
 
10,343
0
 
 
 
219,463
Paper - 0.8%
 
 
 
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC:
 
 
 
 3.25% 9/1/28 (d)
 
5,915
4,850
 4% 9/1/29 (d)
 
11,830
8,974
 6% 6/15/27 (d)
 
6,045
5,801
Cascades, Inc.:
 
 
 
 5.125% 1/15/26 (d)
 
5,600
5,029
 5.375% 1/15/28 (d)
 
5,600
4,789
Clydesdale Acquisition Holdings, Inc.:
 
 
 
 6.625% 4/15/29 (d)
 
7,185
6,821
 8.75% 4/15/30 (d)
 
28,015
24,618
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (d)
 
11,230
10,783
Glatfelter Corp. 4.75% 11/15/29 (d)
 
9,105
5,861
Mercer International, Inc. 5.125% 2/1/29
 
15,060
12,368
 
 
 
89,894
Publishing/Printing - 0.1%
 
 
 
Clear Channel International BV 6.625% 8/1/25 (d)
 
15,860
15,114
Railroad - 0.1%
 
 
 
First Student Bidco, Inc./First Transit Parent, Inc. 4% 7/31/29 (d)
 
9,095
7,391
Restaurants - 0.7%
 
 
 
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:
 
 
 
 3.875% 1/15/28 (d)
 
12,115
10,648
 4% 10/15/30 (d)
 
39,005
31,838
 4.375% 1/15/28 (d)
 
10,600
9,298
Bloomin Brands, Inc. / OSI Restaurant Partners LLC 5.125% 4/15/29 (d)
 
5,565
4,734
Garden SpinCo Corp. 8.625% 7/20/30 (d)
 
5,205
5,354
Papa John's International, Inc. 3.875% 9/15/29 (d)
 
5,560
4,517
Yum! Brands, Inc. 4.625% 1/31/32
 
11,975
10,239
 
 
 
76,628
Services - 3.0%
 
 
 
Adtalem Global Education, Inc. 5.5% 3/1/28 (d)
 
9,010
8,222
AECOM 5.125% 3/15/27
 
11,885
11,252
Allied Universal Holdco LLC / Allied Universal Finance Corp. 6% 6/1/29 (d)
 
17,735
12,313
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.:
 
 
 
 4.625% 6/1/28 (d)
 
21,690
18,144
 4.625% 6/1/28 (d)
 
14,365
11,746
Booz Allen Hamilton, Inc.:
 
 
 
 3.875% 9/1/28 (d)
 
10,240
9,022
 4% 7/1/29 (d)
 
5,920
5,175
CoreCivic, Inc. 8.25% 4/15/26
 
32,260
32,732
Fair Isaac Corp. 4% 6/15/28 (d)
 
2,910
2,633
Gartner, Inc.:
 
 
 
 3.625% 6/15/29 (d)
 
8,610
7,319
 3.75% 10/1/30 (d)
 
11,495
9,656
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d)
 
8,765
8,223
H&E Equipment Services, Inc. 3.875% 12/15/28 (d)
 
16,800
14,195
Hertz Corp.:
 
 
 
 4.625% 12/1/26 (d)
 
5,180
4,416
 5% 12/1/29 (d)
 
10,055
7,965
 5.5% 10/15/24 (b)(d)(e)
 
10,890
245
 6% 1/15/28 (b)(d)(e)
 
10,285
604
 6.25% 12/31/49 (b)(e)
 
11,875
15
 7.125% 8/1/26 (b)(d)(e)
 
10,285
411
IAA, Inc. 5.5% 6/15/27 (d)
 
4,680
4,380
Iron Mountain, Inc.:
 
 
 
 4.5% 2/15/31 (d)
 
22,025
17,840
 4.875% 9/15/29 (d)
 
24,110
20,729
KAR Auction Services, Inc. 5.125% 6/1/25 (d)
 
10,355
9,971
Service Corp. International 4% 5/15/31
 
12,070
10,021
Sotheby's 7.375% 10/15/27 (d)
 
4,960
4,799
Sotheby's/Bidfair Holdings, Inc. 5.875% 6/1/29 (d)
 
9,045
7,559
The Brink's Co. 4.625% 10/15/27 (d)
 
12,180
11,262
The GEO Group, Inc.:
 
 
 
 9.5% 12/31/28 (d)
 
9,655
8,883
 10.5% 6/30/28
 
24,580
24,580
TriNet Group, Inc. 3.5% 3/1/29 (d)
 
8,865
7,347
Uber Technologies, Inc.:
 
 
 
 4.5% 8/15/29 (d)
 
27,335
23,432
 6.25% 1/15/28 (d)
 
9,175
8,716
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d)
 
9,760
9,101
 
 
 
332,908
Steel - 0.2%
 
 
 
Algoma Steel SCA 0% 12/31/23 (b)
 
1,982
0
Commercial Metals Co. 3.875% 2/15/31
 
6,135
4,969
Infrabuild Australia Pty Ltd. 12% 10/1/24 (d)
 
10,980
10,184
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (d)
 
4,375
3,839
 
 
 
18,992
Super Retail - 1.1%
 
 
 
Asbury Automotive Group, Inc.:
 
 
 
 4.5% 3/1/28
 
3,534
3,064
 4.625% 11/15/29 (d)
 
10,005
8,229
 4.75% 3/1/30
 
3,523
2,886
 5% 2/15/32 (d)
 
10,800
8,708
Bath & Body Works, Inc.:
 
 
 
 6.625% 10/1/30 (d)
 
5,555
4,970
 6.75% 7/1/36
 
12,766
10,548
 7.5% 6/15/29
 
8,335
7,881
Carvana Co. 4.875% 9/1/29 (d)
 
21,255
9,405
EG Global Finance PLC 8.5% 10/30/25 (d)
 
16,085
14,858
Lithia Motors, Inc. 3.875% 6/1/29 (d)
 
13,230
10,659
Macy's Retail Holdings LLC:
 
 
 
 5.875% 3/15/30 (d)
 
6,235
5,235
 6.125% 3/15/32 (d)
 
6,015
4,998
Michaels Companies, Inc. 5.25% 5/1/28 (d)
 
14,150
10,048
Nordstrom, Inc.:
 
 
 
 4.25% 8/1/31
 
25,145
18,255
 4.375% 4/1/30
 
3,790
2,909
 5% 1/15/44
 
1,785
1,129
 6.95% 3/15/28
 
550
511
 
 
 
124,293
Technology - 3.6%
 
 
 
Acuris Finance U.S. 5% 5/1/28 (d)
 
9,045
7,326
Black Knight InfoServ LLC 3.625% 9/1/28 (d)
 
11,390
9,867
Block, Inc. 3.5% 6/1/31
 
12,070
9,716
CA Magnum Holdings 5.375% (d)(i)
 
4,870
4,079
Camelot Finance SA 4.5% 11/1/26 (d)
 
10,590
9,897
Central Parent, Inc./Central Merger Sub, Inc. 7.25% 6/15/29 (d)
 
9,005
8,607
Clarivate Science Holdings Corp.:
 
 
 
 3.875% 7/1/28 (d)
 
10,695
9,172
 4.875% 7/1/29 (d)
 
10,115
8,433
Coherent Corp. 5% 12/15/29 (d)
 
9,495
8,146
Crowdstrike Holdings, Inc. 3% 2/15/29
 
8,870
7,477
Elastic NV 4.125% 7/15/29 (d)
 
17,090
14,269
Go Daddy Operating Co. LLC / GD Finance Co., Inc.:
 
 
 
 3.5% 3/1/29 (d)
 
11,810
9,794
 5.25% 12/1/27 (d)
 
9,345
8,749
ION Trading Technologies Ltd. 5.75% 5/15/28 (d)
 
12,040
9,572
Iron Mountain Information Management Services, Inc. 5% 7/15/32 (d)
 
9,100
7,505
MicroStrategy, Inc. 6.125% 6/15/28 (d)
 
23,020
19,725
NCR Corp.:
 
 
 
 5% 10/1/28 (d)
 
5,530
4,647
 5.125% 4/15/29 (d)
 
8,870
7,444
 5.25% 10/1/30 (d)
 
5,530
4,465
 5.75% 9/1/27 (d)
 
9,035
8,719
 6.125% 9/1/29 (d)
 
9,035
8,611
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 10.75% 6/1/28 (d)
 
5,930
5,567
NortonLifeLock, Inc. 5% 4/15/25 (d)
 
10,050
9,753
onsemi 3.875% 9/1/28 (d)
 
11,065
9,749
Open Text Corp.:
 
 
 
 3.875% 2/15/28 (d)
 
5,690
4,870
 3.875% 12/1/29 (d)
 
6,700
5,310
Open Text Holdings, Inc.:
 
 
 
 4.125% 2/15/30 (d)
 
5,690
4,531
 4.125% 12/1/31 (d)
 
5,485
4,127
Pitney Bowes, Inc. 7.25% 3/15/29 (d)
 
5,980
3,831
PTC, Inc.:
 
 
 
 3.625% 2/15/25 (d)
 
6,650
6,338
 4% 2/15/28 (d)
 
6,575
5,955
Rackspace Hosting, Inc. 5.375% 12/1/28 (d)
 
6,425
2,705
Roblox Corp. 3.875% 5/1/30 (d)
 
9,120
7,524
Sensata Technologies BV 4% 4/15/29 (d)
 
11,970
10,081
Synaptics, Inc. 4% 6/15/29 (d)
 
7,015
5,795
TTM Technologies, Inc. 4% 3/1/29 (d)
 
8,870
7,408
Twilio, Inc.:
 
 
 
 3.625% 3/15/29
 
9,995
8,253
 3.875% 3/15/31
 
10,460
8,531
Uber Technologies, Inc.:
 
 
 
 7.5% 9/15/27 (d)
 
35,255
35,247
 8% 11/1/26 (d)
 
51,060
51,249
Unisys Corp. 6.875% 11/1/27 (d)
 
6,095
5,099
Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (d)
 
19,400
16,329
 
 
 
404,472
Telecommunications - 6.0%
 
 
 
Altice Financing SA:
 
 
 
 5% 1/15/28 (d)
 
11,280
8,919
 5.75% 8/15/29 (d)
 
24,290
19,178
Altice France SA:
 
 
 
 5.125% 7/15/29 (d)
 
79,325
59,746
 5.5% 1/15/28 (d)
 
24,740
19,833
 5.5% 10/15/29 (d)
 
106,150
80,939
 8.125% 2/1/27 (d)
 
7,635
6,996
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d)
 
42,100
36,417
Cablevision Lightpath LLC:
 
 
 
 3.875% 9/15/27 (d)
 
5,500
4,676
 5.625% 9/15/28 (d)
 
4,350
3,458
Cogent Communications Group, Inc. 7% 6/15/27 (d)
 
6,050
5,744
Frontier Communications Holdings LLC:
 
 
 
 5% 5/1/28 (d)
 
19,575
17,128
 5.875% 10/15/27 (d)
 
10,375
9,543
 6% 1/15/30 (d)
 
6,090
4,762
 6.75% 5/1/29 (d)
 
6,940
5,717
 8.75% 5/15/30 (d)
 
6,045
6,173
Intelsat Jackson Holdings SA 6.5% 3/15/30 (d)
 
25,303
23,222
LCPR Senior Secured Financing DAC:
 
 
 
 5.125% 7/15/29 (d)
 
14,860
12,520
 6.75% 10/15/27 (d)
 
10,157
9,472
Level 3 Financing, Inc.:
 
 
 
 3.625% 1/15/29 (d)
 
24,590
18,750
 3.75% 7/15/29 (d)
 
24,670
18,743
Millicom International Cellular SA 4.5% 4/27/31 (d)
 
1,725
1,290
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.:
 
 
 
 4.75% 4/30/27 (d)
 
6,070
5,457
 6% 2/15/28 (d)
 
4,490
3,523
Qwest Corp. 7.25% 9/15/25
 
1,480
1,495
Sable International Finance Ltd. 5.75% 9/7/27 (d)
 
18,690
16,471
SBA Communications Corp.:
 
 
 
 3.125% 2/1/29
 
13,305
10,754
 3.875% 2/15/27
 
17,015
15,314
Sprint Capital Corp.:
 
 
 
 6.875% 11/15/28
 
70,044
72,284
 8.75% 3/15/32
 
21,176
24,853
Sprint Corp. 7.625% 3/1/26
 
10,895
11,372
T-Mobile U.S.A., Inc. 3.5% 4/15/31
 
4,490
3,775
Uniti Group, Inc.:
 
 
 
 6% 1/15/30 (d)
 
15,190
10,366
 7.875% 2/15/25 (d)
 
17,650
17,474
Virgin Media Finance PLC 5% 7/15/30 (d)
 
21,860
17,518
VMED O2 UK Financing I PLC 4.75% 7/15/31 (d)
 
21,200
17,131
Windstream Escrow LLC 7.75% 8/15/28 (d)
 
61,245
52,995
Zayo Group Holdings, Inc. 4% 3/1/27 (d)
 
17,180
13,272
 
 
 
667,280
Textiles/Apparel - 0.3%
 
 
 
Crocs, Inc.:
 
 
 
 4.125% 8/15/31 (d)
 
6,075
4,601
 4.25% 3/15/29 (d)
 
8,675
6,918
Foot Locker, Inc. 4% 10/1/29 (d)
 
6,070
4,640
Kontoor Brands, Inc. 4.125% 11/15/29 (d)
 
5,320
4,266
Victoria's Secret & Co. 4.625% 7/15/29 (d)
 
22,560
17,946
 
 
 
38,371
Transportation Ex Air/Rail - 0.1%
 
 
 
Seaspan Corp. 5.5% 8/1/29 (d)
 
9,095
7,005
Utilities - 2.6%
 
 
 
Clearway Energy Operating LLC:
 
 
 
 3.75% 2/15/31 (d)
 
13,295
11,101
 3.75% 1/15/32 (d)
 
6,075
4,813
 4.75% 3/15/28 (d)
 
6,920
6,392
NRG Energy, Inc.:
 
 
 
 3.375% 2/15/29 (d)
 
5,145
4,286
 3.625% 2/15/31 (d)
 
10,215
8,129
 3.875% 2/15/32 (d)
 
15,190
11,977
 5.75% 1/15/28
 
9,410
8,975
 6.625% 1/15/27
 
8,283
8,287
Pacific Gas & Electric Co.:
 
 
 
 3.45% 7/1/25
 
2,868
2,665
 3.75% 7/1/28
 
2,868
2,447
 3.75% 8/15/42
 
10,400
6,587
 3.95% 12/1/47
 
53,930
34,776
 4% 12/1/46
 
24,380
15,502
 4.25% 3/15/46
 
2,400
1,597
 4.3% 3/15/45
 
5,995
4,038
 4.55% 7/1/30
 
44,763
39,206
PG&E Corp.:
 
 
 
 5% 7/1/28
 
22,000
19,828
 5.25% 7/1/30
 
8,330
7,376
Pike Corp. 5.5% 9/1/28 (d)
 
28,165
24,050
Vistra Operations Co. LLC:
 
 
 
 4.375% 5/1/29 (d)
 
23,230
19,868
 5% 7/31/27 (d)
 
22,585
20,835
 5.5% 9/1/26 (d)
 
3,485
3,346
 5.625% 2/15/27 (d)
 
28,195
26,878
 
 
 
292,959
TOTAL NONCONVERTIBLE BONDS
 
 
7,549,876
 
TOTAL CORPORATE BONDS
  (Cost $8,653,021)
 
 
 
7,594,004
 
 
 
 
Common Stocks - 9.5%
 
 
Shares
Value ($)
(000s)
 
Automotive & Auto Parts - 0.0%
 
 
 
Exide Technologies (b)(j)
 
9,824
10
Exide Technologies (b)(j)
 
580,031
0
Exide Technologies (b)(j)
 
385
250
UC Holdings, Inc. (b)(j)
 
677,217
2,939
TOTAL AUTOMOTIVE & AUTO PARTS
 
 
3,199
Banks & Thrifts - 0.0%
 
 
 
Algoma Steel Group, Inc.
 
638,696
4,350
Broadcasting - 0.3%
 
 
 
iHeartMedia, Inc. (j)
 
104
1
Nexstar Broadcasting Group, Inc. Class A
 
169,632
29,058
TOTAL BROADCASTING
 
 
29,059
Building Materials - 0.1%
 
 
 
Builders FirstSource, Inc. (j)
 
117,400
7,239
Cable/Satellite TV - 0.0%
 
 
 
Altice U.S.A., Inc. Class A (j)
 
330,500
2,185
Chemicals - 0.3%
 
 
 
CF Industries Holdings, Inc.
 
199,202
21,167
The Chemours Co. LLC
 
566,310
16,213
TOTAL CHEMICALS
 
 
37,380
Consumer Products - 0.3%
 
 
 
Reddy Ice Holdings, Inc. (b)(j)
 
199,717
11
Tapestry, Inc.
 
344,400
10,911
Tempur Sealy International, Inc.
 
651,018
17,506
TOTAL CONSUMER PRODUCTS
 
 
28,428
Containers - 0.4%
 
 
 
Berry Global Group, Inc. (j)
 
220,155
10,418
Graphic Packaging Holding Co.
 
973,700
22,356
WestRock Co.
 
302,400
10,300
TOTAL CONTAINERS
 
 
43,074
Diversified Financial Services - 0.4%
 
 
 
MasterCard, Inc. Class A
 
35,400
11,618
OneMain Holdings, Inc.
 
777,400
29,977
PJT Partners, Inc.
 
5,092
379
TOTAL DIVERSIFIED FINANCIAL SERVICES
 
 
41,974
Energy - 2.3%
 
 
 
Antero Resources Corp. (j)
 
306,925
11,252
California Resources Corp.
 
1,898,638
85,648
California Resources Corp. warrants 10/27/24 (j)
 
57,076
810
Chaparral Energy, Inc.:
 
 
 
 Series A warrants 10/1/24 (b)(j)
 
392
1
 Series B warrants 10/1/25 (b)(j)
 
392
1
Cheniere Energy, Inc.
 
173,100
30,537
Chesapeake Energy Corp.
 
423,272
43,288
Chesapeake Energy Corp. (c)(j)
 
22,818
2,334
Civitas Resources, Inc.
 
60,298
4,215
Diamond Offshore Drilling, Inc. (j)(k)
 
118,485
1,167
Diamondback Energy, Inc.
 
123,300
19,372
EP Energy Corp. (b)(j)
 
841,775
7,046
Forbes Energy Services Ltd. (b)(j)
 
193,218
0
Jonah Energy Parent LLC (b)(j)
 
304,505
19,367
Mesquite Energy, Inc. (b)(j)
 
317,026
17,573
PureWest Energy (b)
 
17,812
0
PureWest Energy rights (b)(j)
 
10,734
0
Superior Energy Services, Inc. Class A (b)(j)
 
110,370
8,352
Unit Corp. (j)(k)
 
37,978
2,240
TOTAL ENERGY
 
 
253,203
Entertainment/Film - 0.0%
 
 
 
New Cotai LLC/New Cotai Capital Corp. (b)(c)(j)
 
3,366,626
0
Environmental - 0.1%
 
 
 
Darling Ingredients, Inc. (j)
 
144,616
11,349
Food & Drug Retail - 0.2%
 
 
 
Southeastern Grocers, Inc. (b)(c)(j)
 
793,345
17,160
Food/Beverage/Tobacco - 0.2%
 
 
 
JBS SA
 
4,652,100
22,479
Gaming - 0.7%
 
 
 
Boyd Gaming Corp.
 
453,873
26,216
Caesars Entertainment, Inc. (j)
 
1,038,736
45,424
Studio City International Holdings Ltd.:
 
 
 
 ADR (d)
 
631,958
1,264
 (NYSE) ADR (j)
 
695,700
1,391
TOTAL GAMING
 
 
74,295
Healthcare - 0.6%
 
 
 
Charles River Laboratories International, Inc. (j)
 
56,900
12,077
Encompass Health Corp.
 
34
2
Enhabit Home Health & Hospice (j)
 
17
0
IQVIA Holdings, Inc. (j)
 
151,200
31,702
Tenet Healthcare Corp. (j)
 
105,498
4,680
UnitedHealth Group, Inc.
 
42,700
23,705
TOTAL HEALTHCARE
 
 
72,166
Metals/Mining - 0.1%
 
 
 
Elah Holdings, Inc. (b)(j)
 
906
66
First Quantum Minerals Ltd.
 
626,700
11,054
TOTAL METALS/MINING
 
 
11,120
Services - 0.4%
 
 
 
ASGN, Inc. (j)
 
306,000
25,943
Penhall Acquisition Co.:
 
 
 
 Class A (b)(j)
 
26,163
2,796
 Class B (b)(j)
 
8,721
932
Visa, Inc. Class A
 
56,200
11,642
TOTAL SERVICES
 
 
41,313
Steel - 0.0%
 
 
 
Algoma Steel SCA (b)(j)
 
198,162
0
Super Retail - 0.5%
 
 
 
Amazon.com, Inc. (j)
 
87,800
8,994
Arena Brands Holding Corp. Class B (b)(c)(j)
 
659,302
6,626
Dick's Sporting Goods, Inc.
 
99,600
11,330
Lowe's Companies, Inc.
 
122,100
23,803
Williams-Sonoma, Inc. (k)
 
76,303
9,449
TOTAL SUPER RETAIL
 
 
60,202
Technology - 2.2%
 
 
 
Adobe, Inc. (j)
 
33,800
10,765
Advanced Micro Devices, Inc. (j)
 
170,100
10,216
CDW Corp.
 
165,200
28,548
Fiserv, Inc. (j)
 
169,000
17,363
Global Payments, Inc.
 
169,524
19,370
Lam Research Corp.
 
28,900
11,698
Marvell Technology, Inc.
 
551,400
21,880
Microchip Technology, Inc.
 
502,600
31,031
Microsoft Corp.
 
111,400
25,859
NVIDIA Corp.
 
81,500
11,000
NXP Semiconductors NV
 
44,900
6,559
onsemi (j)
 
556,703
34,198
Salesforce.com, Inc. (j)
 
71,937
11,696
SS&C Technologies Holdings, Inc.
 
126,516
6,505
TOTAL TECHNOLOGY
 
 
246,688
Telecommunications - 0.0%
 
 
 
GTT Communications, Inc. rights (b)(j)
 
472,864
473
Textiles/Apparel - 0.0%
 
 
 
Victoria's Secret & Co. (j)
 
99,633
3,746
Transportation Ex Air/Rail - 0.0%
 
 
 
Tricer Holdco SCA:
 
 
 
 Class A1 (b)(c)(j)
 
598,287
0
 Class A2 (b)(c)(j)
 
598,287
0
 Class A3 (b)(c)(j)
 
598,287
0
 Class A4 (b)(c)(j)
 
598,287
0
 Class A5 (b)(c)(j)
 
598,287
0
 Class A6 (b)(c)(j)
 
598,287
0
 Class A7 (b)(c)(j)
 
598,287
0
 Class A8 (b)(c)(j)
 
598,287
0
 Class A9 (b)(c)(j)
 
598,287
0
TOTAL TRANSPORTATION EX AIR/RAIL
 
 
0
Utilities - 0.4%
 
 
 
NRG Energy, Inc.
 
373,900
16,601
PG&E Corp. (j)
 
2,097,796
31,320
Portland General Electric Co.
 
14,817
666
TOTAL UTILITIES
 
 
48,587
 
TOTAL COMMON STOCKS
  (Cost $792,439)
 
 
 
1,059,669
 
 
 
 
Nonconvertible Preferred Stocks - 0.0%
 
 
Shares
Value ($)
(000s)
 
Automotive & Auto Parts - 0.0%
 
 
 
Exide Technologies (b)(j)
 
858
799
Transportation Ex Air/Rail - 0.0%
 
 
 
Tricer Holdco SCA (b)(c)(j)
 
287,159,690
3
 
TOTAL NONCONVERTIBLE PREFERRED STOCKS
  (Cost $11,049)
 
 
 
802
 
 
 
 
Bank Loan Obligations - 5.2%
 
 
Principal
Amount (a)
(000s)
 
Value ($)
(000s)
 
Air Transportation - 0.4%
 
 
 
Air Canada Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.421% 8/11/28 (f)(g)(l)
 
9,082
8,855
Dynasty Acquisition Co., Inc.:
 
 
 
 Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 4/8/26 (f)(g)(l)
 
2,565
2,402
 Tranche B2 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 4/4/26 (f)(g)(l)
 
1,379
1,291
SkyMiles IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 7.9926% 10/20/27 (f)(g)(l)
 
3,490
3,518
United Airlines, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.1084% 4/21/28 (f)(g)(l)
 
26,103
25,428
TOTAL AIR TRANSPORTATION
 
 
41,494
Automotive & Auto Parts - 0.2%
 
 
 
PECF USS Intermediate Holding III Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 8.0039% 12/17/28 (f)(g)(l)
 
2,293
1,760
Wand NewCo 3, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.7539% 2/5/26 (f)(g)(l)
 
17,894
16,754
TOTAL AUTOMOTIVE & AUTO PARTS
 
 
18,514
Banks & Thrifts - 0.1%
 
 
 
Citadel Securities LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 6.3432% 2/27/28 (f)(g)(l)
 
9,697
9,602
Broadcasting - 0.1%
 
 
 
Diamond Sports Group LLC 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 11.208% 5/25/26 (f)(g)(l)
 
6,778
6,496
Nexstar Broadcasting, Inc. Tranche B, term loan 1 month U.S. LIBOR + 2.500% 6.2539% 9/19/26 (f)(g)(l)
 
2,493
2,465
Univision Communications, Inc.:
 
 
 
 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 7.7896% 6/10/29 (f)(g)(l)
 
753
736
 Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.0039% 1/31/29 (f)(g)(l)
 
7,463
7,155
TOTAL BROADCASTING
 
 
16,852
Building Materials - 0.4%
 
 
 
Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 7.3247% 5/17/28 (f)(g)(l)
 
23,710
16,444
Hunter Douglas, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 6.3399% 2/25/29 (f)(g)(l)
 
22,698
18,778
SRS Distribution, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 6/4/28 (f)(g)(l)
 
6,424
5,958
TOTAL BUILDING MATERIALS
 
 
41,180
Chemicals - 0.2%
 
 
 
Avient Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 7.3442% 8/29/29 (f)(g)(l)
 
785
780
Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 1 Month Index + 4.370% 7.9683% 10/4/29 (f)(g)(l)
 
18,040
16,457
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.4375% 11/9/28 (f)(g)(l)
 
3,677
3,342
W.R. Grace Holding LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 7.4375% 9/22/28 (f)(g)(l)
 
2,764
2,649
TOTAL CHEMICALS
 
 
23,228
Consumer Products - 0.2%
 
 
 
Kronos Acquisition Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 6.8196% 12/22/26 (f)(g)(l)
 
20,050
18,911
Containers - 0.0%
 
 
 
Kloeckner Pentaplast of America, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 8.2592% 2/9/26 (f)(g)(l)
 
1,482
1,238
Energy - 0.0%
 
 
 
Forbes Energy Services LLC Tranche B, term loan 0% 12/31/49 (b)(e)(f)(l)
 
1,810
0
Mesquite Energy, Inc.:
 
 
 
 1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (b)(e)(g)(l)
 
5,861
0
 term loan 3 month U.S. LIBOR + 0.000% 0% (b)(e)(g)(l)
 
2,528
0
TOTAL ENERGY
 
 
0
Environmental - 0.0%
 
 
 
Covanta Holding Corp.:
 
 
 
 Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 6.2287% 11/30/28 (f)(g)(l)
 
2,203
2,171
 Tranche C 1LN, term loan 1 month U.S. LIBOR + 2.500% 6.2287% 11/30/28 (f)(g)(l)
 
166
163
Madison IAQ LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.8153% 6/21/28 (f)(g)(l)
 
2,992
2,700
TOTAL ENVIRONMENTAL
 
 
5,034
Food/Beverage/Tobacco - 0.0%
 
 
 
Bengal Debt Merger Sub LLC 1LN, term loan CME TERM SOFR 3 MONTH INDEX + 3.250% 6.9032% 1/24/29 (f)(g)(l)
 
2,279
2,077
Gaming - 0.0%
 
 
 
Fertitta Entertainment LLC NV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 7.7287% 1/27/29 (f)(g)(l)
 
3,846
3,600
Scientific Games Corp. 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 6.4024% 4/7/29 (f)(g)(l)
 
2,379
2,343
TOTAL GAMING
 
 
5,943
Healthcare - 0.4%
 
 
 
Gainwell Acquisition Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.6741% 10/1/27 (f)(g)(l)
 
17,586
16,678
Jazz Financing Lux SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 5/5/28 (f)(g)(l)
 
6,231
6,149
Organon & Co. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.1875% 6/2/28 (f)(g)(l)
 
16,341
15,912
Phoenix Newco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.0039% 11/15/28 (f)(g)(l)
 
7,159
6,884
PRA Health Sciences, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 5.9375% 7/3/28 (f)(g)(l)
 
1,886
1,865
TOTAL HEALTHCARE
 
 
47,488
Hotels - 0.1%
 
 
 
Carnival Finance LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.1269% 10/18/28 (f)(g)(l)
 
7,995
7,310
Insurance - 0.2%
 
 
 
Acrisure LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 8.0039% 2/15/27 (f)(g)(l)
 
1,434
1,358
Alliant Holdings Intermediate LLC Tranche B3 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.9799% 11/12/27 (f)(g)(l)
 
13,385
12,909
HUB International Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.5268% 4/25/25 (f)(g)(l)
 
5,677
5,569
TOTAL INSURANCE
 
 
19,836
Paper - 0.1%
 
 
 
Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.170% 8.0037% 4/13/29 (f)(g)(l)
 
9,037
8,692
Services - 0.9%
 
 
 
ABG Intermediate Holdings 2 LLC:
 
 
 
 Tranche B 2LN, term loan CME Term SOFR 1 Month Index + 6.000% 9.8287% 12/20/29 (f)(g)(l)
 
1,145
1,053
 Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 3.500% 7.3287% 12/21/28 (f)(g)(l)
 
5,416
5,193
Ascend Learning LLC:
 
 
 
 2LN, term loan 1 month U.S. LIBOR + 5.750% 9.5039% 12/10/29 (f)(g)(l)
 
15,190
12,855
 Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 12/10/28 (f)(g)(l)
 
43,422
39,743
KUEHG Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 12.0039% 8/22/25 (f)(g)(l)
 
6,055
5,830
Sabert Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 8.3125% 12/10/26 (b)(f)(g)(l)
 
7,173
7,012
Sotheby's Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 8.5791% 1/15/27 (f)(g)(l)
 
10,919
10,660
Spin Holdco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.1441% 3/4/28 (f)(g)(l)
 
17,968
15,774
TOTAL SERVICES
 
 
98,120
Specialty Retailing - 0.0%
 
 
 
New SK Holdco Sub LLC 1LN, term loan CME Term SOFR 1 Month Index + 8.350% 11.7257% 6/30/27 (f)(g)(l)
 
882
790
Super Retail - 0.0%
 
 
 
Michaels Companies, Inc. 1LN, term loan 1 month U.S. LIBOR + 4.250% 7.9241% 4/15/28 (f)(g)(l)
 
5,491
4,211
Technology - 1.4%
 
 
 
Acuris Finance U.S., Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 7.7032% 2/16/28 (f)(g)(l)
 
1,131
1,104
Athenahealth Group, Inc.:
 
 
 
 Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 6.9671% 2/15/29 (f)(g)(l)
 
28,352
25,847
 Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 2/15/29 (g)(l)(m)
 
4,817
4,392
Boxer Parent Co., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.5039% 10/2/25 (f)(g)(l)
 
31,701
30,425
Camelot Finance SA Tranche B, term loan 1 month U.S. LIBOR + 3.000% 6.7539% 10/31/26 (f)(g)(l)
 
998
980
DG Investment Intermediate Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.5039% 3/31/28 (f)(g)(l)
 
2,005
1,891
Hunter U.S. Bidco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 7.9241% 8/19/28 (f)(g)(l)
 
11,516
11,055
Icon Luxembourg Sarl Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 5.9375% 7/3/28 (f)(g)(l)
 
7,571
7,485
onsemi Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.000% 5.7539% 9/19/26 (f)(g)(l)
 
5,224
5,225
Peraton Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.5039% 2/1/28 (f)(g)(l)
 
13,738
13,203
Polaris Newco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.6741% 6/2/28 (f)(g)(l)
 
6,707
6,113
Proofpoint, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.3196% 8/31/28 (f)(g)(l)
 
6,555
6,228
RealPage, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.7539% 4/22/28 (f)(g)(l)
 
5,970
5,600
STG-Fairway Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 6.5039% 1/31/27 (f)(g)(l)
 
3,110
3,064
Ultimate Software Group, Inc.:
 
 
 
 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.9983% 5/3/26 (f)(g)(l)
 
28,182
27,153
 2LN, term loan 1 month U.S. LIBOR + 5.250% 8.9983% 5/3/27 (f)(g)(l)
 
4,000
3,670
VS Buyer LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.7539% 2/28/27 (f)(g)(l)
 
2,296
2,229
TOTAL TECHNOLOGY
 
 
155,664
Telecommunications - 0.3%
 
 
 
Connect U.S. Finco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.26% 12/12/26 (f)(g)(l)
 
8,824
8,515
Frontier Communications Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.4375% 5/1/28 (f)(g)(l)
 
5,097
4,806
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 10% 5/31/25 (f)(g)(l)
 
12,942
8,912
Securus Technologies Holdings Tranche B, term loan 3 month U.S. LIBOR + 4.500% 8.1741% 11/1/24 (f)(g)(l)
 
6,934
5,757
Zayo Group Holdings, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.7539% 3/9/27 (f)(g)(l)
 
7,821
6,319
TOTAL TELECOMMUNICATIONS
 
 
34,309
Utilities - 0.2%
 
 
 
PG&E Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.8125% 6/23/25 (f)(g)(l)
 
26,886
26,409
 
TOTAL BANK LOAN OBLIGATIONS
  (Cost $636,573)
 
 
 
586,902
 
 
 
 
Preferred Securities - 8.0%
 
 
Principal
Amount (a)
(000s)
 
Value ($)
(000s)
 
Banks & Thrifts - 6.7%
 
 
 
Ally Financial, Inc. 4.7% (f)(i)
 
7,055
4,815
Bank of America Corp.:
 
 
 
 5.125% (f)(i)
 
36,030
34,661
 5.2% (f)(i)
 
61,440
61,086
 5.875% (f)(i)
 
102,630
89,122
 6.25% (f)(i)
 
28,555
28,073
Citigroup, Inc.:
 
 
 
 4.7% (f)(i)
 
15,285
12,447
 5% (f)(i)
 
60,300
54,065
 5.9% (f)(i)
 
27,015
27,086
 5.95% (f)(i)
 
51,015
51,459
 6.3% (f)(i)
 
5,610
5,394
Goldman Sachs Group, Inc.:
 
 
 
 4.4% (f)(i)
 
8,035
6,674
 4.95% (f)(i)
 
13,335
12,171
 5% (f)(i)
 
70,565
67,473
Huntington Bancshares, Inc. 5.7% (f)(i)
 
12,990
11,855
JPMorgan Chase & Co.:
 
 
 
 4% (f)(i)
 
34,340
28,705
 4.6% (f)(i)
 
23,365
21,120
 5% (f)(i)
 
30,845
28,803
 6% (f)(i)
 
69,385
69,385
 6.125% (f)(i)
 
17,585
17,319
 6.75% (f)(i)
 
8,330
8,471
Wells Fargo & Co.:
 
 
 
 5.875% (f)(i)
 
50,420
49,528
 5.9% (f)(i)
 
63,075
58,614
TOTAL BANKS & THRIFTS
 
 
748,326
Diversified Financial Services - 0.0%
 
 
 
OEC Finance Ltd. 7.5% pay-in-kind (d)(i)
 
35
2
Energy - 1.3%
 
 
 
DCP Midstream Partners LP 7.375% (f)(i)
 
15,260
15,459
Energy Transfer LP:
 
 
 
 6.25% (f)(i)
 
81,527
68,889
 6.625% (f)(i)
 
30,505
22,278
 7.125% (f)(i)
 
9,130
7,871
MPLX LP 6.875% (f)(i)
 
30,450
30,132
Summit Midstream Partners LP 9.5% (f)(i)
 
2,912
2,165
TOTAL ENERGY
 
 
146,794
 
TOTAL PREFERRED SECURITIES
  (Cost $969,245)
 
 
 
895,122
 
 
 
 
Other - 1.5%
 
 
Shares
Value ($)
(000s)
 
Other - 1.5%
 
 
 
Fidelity Direct Lending Fund, LP (c)(n)
  (Cost $164,436)
 
 
162,569
 
 
 
 
Money Market Funds - 7.0%
 
 
Shares
Value ($)
(000s)
 
Fidelity Cash Central Fund 3.10% (o)
 
783,919,698
784,076
Fidelity Securities Lending Cash Central Fund 3.10% (o)(p)
 
618,713
619
 
TOTAL MONEY MARKET FUNDS
  (Cost $784,649)
 
 
784,695
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 98.9%
  (Cost $12,011,412)
 
 
 
11,083,763
NET OTHER ASSETS (LIABILITIES) - 1.1%  
126,885
NET ASSETS - 100.0%
11,210,648
 
 
 
 
 
Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Level 3 security
 
(c)
Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues).  At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $229,006,000 or 2.0% of net assets.
 
(d)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $5,623,767,000 or 50.2% of net assets.
 
(e)
Non-income producing - Security is in default.
 
(f)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(g)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(h)
Security 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 is perpetual in nature with no stated maturity date.
 
(j)
Non-income producing
 
(k)
Security or a portion of the security is on loan at period end.
 
(l)
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.
 
(m)
Position or a portion of the position represents an unfunded loan commitment.  At period end, the total principal amount and market value of unfunded commitments totaled $4,817,000 and $4,392,000, respectively.
 
(n)
Affiliated Fund
 
(o)
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.
 
(p)
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)
Arena Brands Holding Corp. Class B
6/18/97 - 1/12/99
21,592
 
 
 
Chesapeake Energy Corp.
2/10/21
216
 
 
 
Fidelity Direct Lending Fund, LP
12/09/21 - 10/31/22
164,427
 
 
 
Mesquite Energy, Inc. 15% 7/15/23
7/10/20 - 1/18/22
2,496
 
 
 
Mesquite Energy, Inc. 15% 7/15/23
11/05/20 - 1/18/22
4,307
 
 
 
New Cotai LLC/New Cotai Capital Corp.
9/11/20
16,677
 
 
 
Southeastern Grocers, Inc.
6/01/18
5,580
 
 
 
Tricer Holdco SCA
10/16/09 - 12/30/17
10,250
 
 
 
Tricer Holdco SCA Class A1
10/16/09 - 10/29/09
1,653
 
 
 
Tricer Holdco SCA Class A2
10/16/09 - 10/29/09
1,653
 
 
 
Tricer Holdco SCA Class A3
10/16/09 - 10/29/09
1,653
 
 
 
Tricer Holdco SCA Class A4
10/16/09 - 10/29/09
1,653
 
 
 
Tricer Holdco SCA Class A5
10/16/09 - 10/29/09
1,653
 
 
 
Tricer Holdco SCA Class A6
10/16/09 - 10/29/09
1,653
 
 
 
Tricer Holdco SCA Class A7
10/16/09 - 10/29/09
1,653
 
 
 
Tricer Holdco SCA Class A8
10/16/09 - 10/29/09
1,653
 
 
 
Tricer Holdco SCA Class A9
10/16/09 - 10/29/09
1,654
 
 
 
 
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 3.10%
1,558,265
962,664
1,736,853
8,607
-
-
784,076
1.6%
Fidelity Securities Lending Cash Central Fund 3.10%
36,678
130,983
167,042
16
-
-
619
0.0%
Total
1,594,943
1,093,647
1,903,895
8,623
-
-
784,695
 
 
 
 
 
 
 
 
 
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
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 ($)
Fidelity Direct Lending Fund, LP
105,967
58,569
-
5,857
-
(1,967)
162,569
 
105,967
58,569
-
5,857
-
(1,967)
162,569
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of October 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
 
Amounts in this Investment Valuation section exclude the value of Fidelity Direct Lending Fund, LP as presented in the Schedule of Investments. Fidelity Direct Lending Fund, LP is valued using NAV as a practical expedient.
 
Valuation Inputs at Reporting Date:
Description
(Amounts in thousands)
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
  Investments in Securities:
 
 
 
 
 Equities:
 
 
 
 
Communication Services
31,244
31,244
-
-
Consumer Discretionary
170,658
160,034
-
10,624
Consumer Staples
50,999
33,828
-
17,171
Energy
253,203
200,863
-
52,340
Financials
30,356
30,356
-
-
Health Care
72,166
72,166
-
-
Industrials
36,913
33,182
-
3,731
Information Technology
270,421
269,948
-
473
Materials
95,924
95,858
-
66
Utilities
48,587
48,587
-
-
 Corporate Bonds
7,594,004
-
7,548,200
45,804
 Bank Loan Obligations
586,902
-
579,890
7,012
 Preferred Securities
895,122
-
895,122
-
  Money Market Funds
784,695
784,695
-
-
 Total Investments in Securities:
10,921,194
1,760,761
9,023,212
137,221
 
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:
 
(Amounts in thousands)
 
Investments in Securities:
 
  Beginning Balance
$
117,399
 
  Net Realized Gain (Loss) on Investment Securities
 
321
 
  Net Unrealized Gain (Loss) on Investment Securities
 
13,071
 
  Cost of Purchases
 
65
 
  Proceeds of Sales
 
(1,008)
 
  Amortization/Accretion
 
19
 
  Transfers into Level 3
 
7,354
 
  Transfers out of Level 3
 
-
 
  Ending Balance
$
137,221
 
  The change in unrealized gain (loss) for the period attributable to Level 3 securities held at October 31, 2022
$
13,071
 
 
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Cost of purchases and proceeds of sales may include securities received and/or delivered through in-kind transactions. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations.
 
 
Financial Statements   (Unaudited)
Statement of Assets and Liabilities
Amounts in thousands (except per-share amount)
 
 
 
October 31, 2022
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  (including  securities loaned of $610) - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $11,062,327)
 
$10,136,499
 
 
Fidelity Central Funds (cost $784,649)
 
784,695
 
 
Other affiliated issuers (cost $164,436)
 
162,569
 
 
 
 
 
 
 
Total Investment in Securities (cost $12,011,412)
 
 
$
11,083,763
Cash
 
 
 
1,394
Receivable for investments sold
 
 
 
10,851
Receivable for fund shares sold
 
 
 
5,057
Dividends receivable
 
 
 
2,298
Interest receivable
 
 
 
134,273
Distributions receivable from Fidelity Central Funds
 
 
 
2,110
Prepaid expenses
 
 
 
18
Other receivables
 
 
 
408
  Total assets
 
 
 
11,240,172
Liabilities
 
 
 
 
Payable for investments purchased
 
$6,441
 
 
Payable for fund shares redeemed
 
10,358
 
 
Distributions payable
 
5,387
 
 
Accrued management fee
 
5,065
 
 
Other affiliated payables
 
1,189
 
 
Other payables and accrued expenses
 
465
 
 
Collateral on securities loaned
 
619
 
 
  Total Liabilities
 
 
 
29,524
Net Assets  
 
 
$
11,210,648
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
11,979,171
Total accumulated earnings (loss)
 
 
 
(768,523)
Net Assets
 
 
$
11,210,648
Net Asset Value , offering price and redemption price per share ($11,210,648 ÷ 1,231,756 shares)
 
 
$
9.10
 
 
 
 
 
Statement of Operations
Amounts in thousands
 
 
 
Six months ended
October 31, 2022
(Unaudited)
Investment Income
 
 
 
 
Dividends (including $5,857 earned from affiliated issuers)
 
 
$
54,913
Interest  
 
 
268,356
Income from Fidelity Central Funds (including $16 from security lending)
 
 
 
8,623
 Total Income
 
 
 
331,892
Expenses
 
 
 
 
Management fee
$
32,350
 
 
Transfer agent fees
 
6,595
 
 
Accounting fees
 
725
 
 
Custodian fees and expenses
 
4
 
 
Independent trustees' fees and expenses
 
21
 
 
Registration fees
 
75
 
 
Audit
 
56
 
 
Legal
 
744
 
 
Miscellaneous
 
34
 
 
 Total expenses before reductions
 
40,604
 
 
 Expense reductions
 
(117)
 
 
 Total expenses after reductions
 
 
 
40,487
Net Investment income (loss)
 
 
 
291,405
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
106,707
 
 
 Foreign currency transactions
 
(115)
 
 
Total net realized gain (loss)
 
 
 
106,592
Change in net unrealized appreciation (depreciation) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
(852,796)
 
 
   Affiliated issuers
 
(1,967)
 
 
Total change in net unrealized appreciation (depreciation)
 
 
 
(854,763)
Net gain (loss)
 
 
 
(748,171)
Net increase (decrease) in net assets resulting from operations
 
 
$
(456,766)
Statement of Changes in Net Assets
 
Amount in thousands
 
Six months ended
October 31, 2022
(Unaudited)
 
Year ended
April 30, 2022
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
291,405
$
517,994
Net realized gain (loss)
 
106,592
 
 
935,331
 
Change in net unrealized appreciation (depreciation)
 
(854,763)
 
(1,879,441)
 
Net increase (decrease) in net assets resulting from operations
 
(456,766)
 
 
(426,116)
 
Distributions to shareholders
 
(900,016)
 
 
(986,974)
 
Share transactions
 
 
 
 
Proceeds from sales of shares
 
793,662
 
3,210,567
  Reinvestment of distributions
 
805,307
 
 
888,209
 
Cost of shares redeemed
 
(2,108,539)
 
(4,283,042)
  Net increase (decrease) in net assets resulting from share transactions
 
(509,570)
 
 
(184,266)
 
Total increase (decrease) in net assets
 
(1,866,352)
 
 
(1,597,356)
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
13,077,000
 
14,674,356
 
End of period
$
11,210,648
$
13,077,000
 
 
 
 
 
Other Information
 
 
 
 
Shares
 
 
 
 
Sold
 
83,527
 
287,825
  Issued in reinvestment of distributions
 
85,873
 
 
80,218
 
Redeemed
 
(222,974)
 
(388,533)
Net increase (decrease)
 
(53,574)
 
(20,490)
 
 
 
 
 
 
 
Financial Highlights
Fidelity® Capital & Income Fund
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020  
 
2019  
 
2018    
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
10.17
$
11.24
$
8.92
$
10.08
$
10.12
$
10.09
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
 
.232
 
.387
 
.386
 
.426
 
.432
 
.482
     Net realized and unrealized gain (loss)
 
(.578)
 
(.714)
 
2.442
 
(1.085)
 
.207
 
.065
  Total from investment operations
 
(.346)  
 
(.327)  
 
2.828  
 
(.659)  
 
.639
 
.547
  Distributions from net investment income
 
(.208)
 
(.390)
 
(.390)
 
(.425)
 
(.487)
 
(.410)
  Distributions from net realized gain
 
(.516)
 
(.353)
 
(.118)
 
(.076)
 
(.192)
 
(.107)
     Total distributions
 
(.724)
 
(.743)
 
(.508)
 
(.501)
 
(.679)
 
(.517)
  Redemption fees added to paid in capital A
 
-
 
-
 
-
 
-
 
-
 
- C
  Net asset value, end of period
$
9.10
$
10.17
$
11.24
$
8.92
$
10.08
$
10.12
 Total Return   D,E
 
(3.49)%
 
(3.27)%
 
32.35%
 
(6.89)%
 
6.74%
 
5.51%
 Ratios to Average Net Assets B,F,G
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.68% H
 
.67%
 
.68%
 
.67%
 
.69%
 
.67%
    Expenses net of fee waivers, if any
 
.68% H
 
.67%
 
.68%
 
.67%
 
.69%
 
.67%
    Expenses net of all reductions
 
.68% H
 
.67%
 
.68%
 
.67%
 
.69%
 
.67%
    Net investment income (loss)
 
4.90% H
 
3.49%
 
3.75%
 
4.32%
 
4.37%
 
4.71%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
11,211  
$
13,077
$
14,674
$
10,228
$
11,631
$
12,053
    Portfolio turnover rate I
 
17% H
 
28%
 
37%
 
46%
 
43%
 
39%
 
A Calculated based on average shares outstanding during the period.
 
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
C Amount represents less than $.0005 per share.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. For additional expense information related to investments in Fidelity Direct Lending Fund, LP, please refer to the Investment in Fidelity Direct Lending Fund, LP note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized.
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
For the period ended October 31, 2022
( Amounts in thousands except percentages)
 
1. Organization.
Fidelity Capital & Income Fund (the Fund) is a fund of Fidelity Summer Street Trust (the Trust) and is authorized to issue an unlimited number of shares.   Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
 
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense Ratio A
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
 
A   Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Investment in Fidelity Direct Lending Fund, LP.
The Fund invests in Fidelity Direct Lending Fund, LP, which is a limited partnership available only to certain investment companies managed by the investment adviser and its affiliates. The Fund's limited partnership interest is not registered under the Securities Act of 1933, and is subject to substantial restrictions on transfer. The Fund has no redemption rights under the partnership agreement. There will be no trading market for the partnership interest, and the Fund most likely will hold its interest until Fidelity Direct Lending Fund, LP converts by operation of law to a Delaware corporation, trust, or other limited liability entity and (i) registers as a closed-end management investment company under the 1940 Act or (ii) elects to be treated as a business development company under the 1940 Act.
 
Based on its investment objective, Fidelity Direct Lending Fund, LP may invest or participate in various investments or strategies that are similar to those in which the Fund may invest or participate. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of Fidelity Direct Lending Fund, LP and thus a decline in the value of the Fund. The Fidelity Direct Lending Fund, LP intends to invest primarily in direct loans made to private U.S. companies, specifically small- and middle-market companies.
 
The Schedule of Investments lists Fidelity Direct Lending Fund, LP as an investment as of period end, but does not include the underlying holdings of Fidelity Direct Lending Fund, LP. Fidelity Direct Lending Fund, LP represented less than 5% of the Fund's net assets at period end. The Fund indirectly bears its proportionate share of the expenses of Fidelity Direct Lending Fund, LP, which commenced operations on December 8, 2021. The annualized expense ratio for Fidelity Direct Lending Fund, LP for the period ended April 30, 2022 was .07%.
4. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies . The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
 
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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 Fund categorizes the inputs to valuation techniques used to value its investments 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 the Fund's investments by major category are as follows:
 
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, 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. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
 
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 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. Securities, including private placements or other restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach, the income approach and cost approach, and are categorized as Level 3 in the hierarchy. The market approach considers factors including the price of recent investments in the same or a similar security or financial metrics of comparable securities. The income approach considers factors including expected future cash flows, security specific risks and corresponding discount rates. The cost approach considers factors including the value of the security's underlying assets and liabilities.
 
ETFs are valued at their last 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 but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
 
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
Fidelity Direct Lending Fund, LP is valued using NAV as a practical expedient in accordance with the specialized accounting guidance for investment companies.
 
The following provides information on Level 3 securities held by the Fund that were valued at period end based on unobservable inputs. These amounts exclude valuations provided by a broker and valuations using NAV as a practical expedient.
 
Asset Type
Fair Value
Valuation Technique(s)
Unobservable Input
Amount or Range/Weighted Average
Impact to Valuation from an Increase in Input A
Equities
$84,336
Recovery value
Recovery value
$0.00 - $1.00 / $0.97
Increase
 
 
Market comparable
Enterprise value/EBITDA multiple (EV/EBITDA)
2.8 - 5.8 /3.7
Increase
 
 
 
Enterprise value/Revenue multiple (EV/R)
0.3
Increase
 
 
 
Daily production multiple ($/Barrels of oil equivalent per day)
$22,500.00
Increase
 
 
 
Enterprise Value/PV-10 multiple (EV/PV-10)
0.8
Increase
 
 
 
Enterprise Value/Proved Reserves multiple
5.9
Increase
 
 
 
Discount for lack of marketability
20.0%
Decrease
 
 
Market approach
Parity Price
$1.66 - $930.75 / $862.69
Increase
 
 
Discounted cash flow
Discount rate
10.0% - 13.5% / 11.0%
Decrease
 
 
 
Reserve risk rate
50.0% - 95.0% / 72.5%
Increase
 
 
Book value
Book value multiple
1.0
Increase
Corporate Bonds
$45,804
Recovery value
Recovery value
$0.00
Increase
 
 
Market comparable
Enterprise value/EBITDA multiple (EV/EBITDA)
2.8
Increase
 
 
 
Daily production multiple ($/Barrels of oil equivalent per day)
$22,500.00
Increase
 
 
 
Enterprise Value/PV-10 multiple (EV/PV-10)
0.8
Increase
 
 
 
Enterprise Value/Proved Reserves multiple
5.9
Increase
 
 
Market approach
Parity Price
$45.00
Increase
 
 
Discounted cash flow
Discount rate
10.0%
Decrease
 
 
 
Reserve risk rate
50.0% - 95.0% / 72.5%
Increase
 
 
Indicative market price
Evaluated bid
$0.13 - $5.88 / $4.51
Increase
 
 
Book value
Book value multiple
1.0
Increase
Bank Loan Obligations
$7,012
Recovery value
Recovery value
$0.00
Increase
 
 
Indicative market price
Evaluated bid
$97.75
Increase
 
A   Represents the directional change in the fair value of the Level 3 investments that could have resulted from an increase in the corresponding input as of period end. A decrease to the unobservable input would have had the opposite effect. Significant changes in these inputs may have resulted in a significantly higher or lower fair value measurement at period end.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of October 31, 2022, as well as a roll forward of Level 3 investments, is included at the end of the Fund's Schedule of Investments.
 
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
 
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
 
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
 
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost   and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
 
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
 
Fidelity Capital & Income Fund
$408
 
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.   Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
 
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
 
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
 
Book-tax differences are primarily due to foreign currency transactions, defaulted bonds, market discount, partnerships and losses deferred due to wash sales.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
 
Gross unrealized appreciation
$537,342
Gross unrealized depreciation
(1,438,822)
Net unrealized appreciation (depreciation)
$(901,480)
Tax cost
$11,985,243
 
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
 
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.
 
Commitments. A commitment is an agreement to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. The amount of commitments outstanding at period end are presented in the table below. These commitments are not included in the net assets of the Fund at period end.
 
 
Investment to be Acquired
Commitment Amount
Fidelity Capital & Income Fund
Fidelity Direct Lending Fund, LP
$229,432
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
 
 
Purchases ($)
Sales ($)
Fidelity Capital & Income Fund
937,280
1,377,709
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .54% of the Fund's average net assets.
 
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annualized rate of .11% of average net assets.
 
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annualized rates:
 
 
% of Average Net Assets
Fidelity Capital & Income Fund
.01
 
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
 
 
Amount
Fidelity Capital & Income Fund
$7
 
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
 
 
Purchases ($)
Sales ($)
Realized Gain (Loss) ($)
Fidelity Capital & Income Fund
35,512
31,927
2,055
 
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
 
 
Amount ($)
Fidelity Capital & Income Fund
23
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
 
 
Amount
Fidelity Capital & Income Fund
$11
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income 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. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
 
 
Total Security Lending Fees Paid to NFS
Security Lending Income From Securities Loaned to NFS
Value of Securities Loaned to NFS at Period End
Fidelity Capital & Income Fund
$2
$-
$-
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $4.
 
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $113.
11. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
12. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2022 to October 31, 2022).
 
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
 
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
 
 
 
Annualized Expense Ratio- A
 
Beginning Account Value May 1, 2022
 
Ending Account Value October 31, 2022
 
Expenses Paid During Period- C May 1, 2022 to October 31, 2022
 
 
 
 
 
 
 
 
 
 
Fidelity® Capital & Income Fund
 
 
 
.68%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 965.10
 
$ 3.37
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,021.78
 
$ 3.47
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
 
 
 
 
Fidelity Capital & Income Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
 
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees (Committees), each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.
 
At its May 2022 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.
 
Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.
 
Resources Dedicated to Investment Management and Support Services. The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to expansion of Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties, and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.
 
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.
 
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials, and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.
 
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain target date funds and classes and index funds; (vii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (viii) rationalizing product lines and gaining increased efficiencies from fund mergers and liquidations; (ix) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (x) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.
 
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that the fund had a portfolio manager change in October 2019. The Board will continue to monitor closely the fund's performance, taking into account the portfolio manager change.
 
The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance, the Board gave particular attention to information indicating changes in performance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance.
 
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on net performance (after fees and expenses) of the fund compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; issuer-specific information; and fund cash flows and other factors.
 
The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods ended September 30, 2021, as shown below. Returns are shown compared to the 25th percentile (top of box, 75% beaten) and 75th percentile (bottom of box, 25% beaten) of the peer universe.
Fidelity Capital & Income Fund
 
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
 
Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.
 
Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods ended September 30 (June 30 for periods ended 2019 and 2018 and December 31 for periods prior to 2018) shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group is broader than the Lipper peer group used by the Board for performance comparisons because the Total Mapped Group combines several Lipper investment objective categories while the Lipper peer group does not. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.
 
Fidelity Capital & Income Fund
 
The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and equal to the median of its ASPG for the 12-month period ended September, 30 2021.
The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.
Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.
 
Total Expense Ratio. In its review of the fund's total expense ratio, the Board considered the fund's management fee rate as well as other fund expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure. The Board also considered a total expense ASPG comparison for the fund, which focuses on the total expenses of the fund relative to a subset of non-Fidelity funds within the total expense similar sales load structure group. The total expense ASPG is limited to 15 larger and 15 smaller classes in fund average assets for a total of 30 classes, where possible. The total expense ASPG comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.
 
The Board noted that the fund's total net expense ratio ranked below the similar sales load structure group competitive median and below the ASPG competitive median for the 12-month period ended September 30, 2021.
 
Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.
 
Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
 
Costs of the Services and Profitability.  The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
 
On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies and the full Board approves such changes.
 
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.
 
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.
 
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.
 
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total "group assets" increase, and for higher group fee rates as total "group assets" decrease ("group assets" as defined in the management contract). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board further considered that Fidelity agreed to impose a temporary fee waiver in the form of additional breakpoints to the current breakpoint schedule. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as "group assets" increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
 
The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.
 
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) fund flow and performance trends, in particular the underperformance of certain funds and strategies, and Fidelity's long-term strategies for certain funds, including any consideration of fund liquidations or mergers; (ii) the operation of performance fees, competitor use of performance fees and consideration of the expansion of performance fees to additional funds; (iii) Fidelity's pricing philosophy compared to competitors; (iv) fund profitability methodology and data; (v) evaluation of competitive fund data and peer group classifications and fee and expense comparisons; (vi) the management fee and expense structures for different funds and classes and information about the differences between various fee and expense structures; (vii) group fee breakpoints and related voluntary fee waivers; and (viii) information regarding other accounts managed by Fidelity and the funds' sub-advisory arrangements.
 
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable and that the fund's Advisory Contracts should be renewed.
 
1.538653.125
CAI-SANN-1222
Fidelity® U.S. Low Volatility Equity Fund
 
 
Semi-Annual Report
October 31, 2022

Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
 
 
Top Holdings (% of Fund's net assets)
 
UnitedHealth Group, Inc.
1.2
 
Dollar General Corp.
1.2
 
Regeneron Pharmaceuticals, Inc.
1.2
 
Dollar Tree, Inc.
1.1
 
TreeHouse Foods, Inc.
1.1
 
Vertex Pharmaceuticals, Inc.
1.1
 
Merck & Co., Inc.
1.1
 
Humana, Inc.
1.1
 
Eli Lilly & Co.
1.1
 
Northrop Grumman Corp.
1.0
 
 
11.2
 
 
Market Sectors (% of Fund's net assets)
 
Health Care
18.9
 
Consumer Staples
16.8
 
Information Technology
15.5
 
Financials
11.3
 
Utilities
11.0
 
Industrials
10.8
 
Consumer Discretionary
4.6
 
Communication Services
4.1
 
Materials
2.9
 
Energy
1.8
 
Real Estate
1.3
 
Investment Companies
0.6
 
 
Asset Allocation (% of Fund's net assets)
Foreign investments - 10.2%
Geographic Diversification (% of Fund's net assets)
 
*    Includes Short-Term investments and Net Other Assets (Liabilities).  
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
 
 
 
Showing Percentage of Net Assets
Common Stocks - 99.0%
 
 
Shares
Value ($)
 
COMMUNICATION SERVICES - 4.1%
 
 
 
Diversified Telecommunication Services - 1.1%
 
 
 
AT&T, Inc.
 
91,386
1,665,967
Verizon Communications, Inc.
 
44,960
1,680,155
 
 
 
3,346,122
Entertainment - 1.5%
 
 
 
Activision Blizzard, Inc.
 
29,830
2,171,624
Electronic Arts, Inc.
 
17,324
2,182,131
 
 
 
4,353,755
Media - 0.5%
 
 
 
Comcast Corp. Class A
 
43,800
1,390,212
Wireless Telecommunication Services - 1.0%
 
 
 
T-Mobile U.S., Inc. (a)
 
20,514
3,109,102
TOTAL COMMUNICATION SERVICES
 
 
12,199,191
CONSUMER DISCRETIONARY - 4.6%
 
 
 
Hotels, Restaurants & Leisure - 1.5%
 
 
 
Domino's Pizza, Inc.
 
5,967
1,982,476
McDonald's Corp.
 
8,994
2,452,304
 
 
 
4,434,780
Multiline Retail - 2.3%
 
 
 
Dollar General Corp.
 
14,076
3,590,084
Dollar Tree, Inc. (a)
 
21,034
3,333,889
 
 
 
6,923,973
Specialty Retail - 0.8%
 
 
 
Murphy U.S.A., Inc.
 
7,707
2,423,929
TOTAL CONSUMER DISCRETIONARY
 
 
13,782,682
CONSUMER STAPLES - 16.8%
 
 
 
Beverages - 3.4%
 
 
 
Constellation Brands, Inc. Class A (sub. vtg.)
 
9,440
2,332,435
Keurig Dr. Pepper, Inc.
 
64,966
2,523,279
Monster Beverage Corp. (a)
 
32,025
3,001,383
The Coca-Cola Co.
 
38,517
2,305,242
 
 
 
10,162,339
Food & Staples Retailing - 2.8%
 
 
 
Albertsons Companies, Inc.
 
66,880
1,371,709
BJ's Wholesale Club Holdings, Inc. (a)
 
25,504
1,974,010
Sprouts Farmers Market LLC (a)
 
88,877
2,621,872
Walmart, Inc.
 
16,653
2,370,221
 
 
 
8,337,812
Food Products - 6.4%
 
 
 
Bunge Ltd.
 
25,557
2,522,476
Ingredion, Inc.
 
25,664
2,287,176
McCormick & Co., Inc. (non-vtg.)
 
25,023
1,967,809
Mondelez International, Inc.
 
40,085
2,464,426
Nestle SA (Reg. S)
 
16,293
1,773,636
The Hershey Co.
 
10,953
2,615,248
The J.M. Smucker Co.
 
15,365
2,314,891
TreeHouse Foods, Inc. (a)
 
64,207
3,225,760
 
 
 
19,171,422
Household Products - 3.4%
 
 
 
Kimberly-Clark Corp.
 
19,280
2,399,589
Procter & Gamble Co.
 
17,175
2,312,957
Reynolds Consumer Products, Inc.
 
88,787
2,711,555
The Clorox Co. (b)
 
17,276
2,522,987
 
 
 
9,947,088
Tobacco - 0.8%
 
 
 
Philip Morris International, Inc.
 
26,804
2,461,947
TOTAL CONSUMER STAPLES
 
 
50,080,608
ENERGY - 1.8%
 
 
 
Oil, Gas & Consumable Fuels - 1.8%
 
 
 
Chevron Corp.
 
14,504
2,623,774
Exxon Mobil Corp.
 
24,290
2,691,575
 
 
 
5,315,349
FINANCIALS - 11.3%
 
 
 
Banks - 2.9%
 
 
 
1st Source Corp.
 
12,201
709,610
First Horizon National Corp.
 
100,221
2,456,417
First Interstate Bancsystem, Inc.
 
51,416
2,345,084
Heartland Financial U.S.A., Inc.
 
14,800
729,936
Preferred Bank, Los Angeles
 
13,700
1,053,119
QCR Holdings, Inc.
 
11,500
583,165
Trico Bancshares
 
14,861
860,601
 
 
 
8,737,932
Capital Markets - 3.1%
 
 
 
Cboe Global Markets, Inc.
 
23,242
2,893,629
Intercontinental Exchange, Inc.
 
21,641
2,068,230
NASDAQ, Inc.
 
45,845
2,853,393
Virtu Financial, Inc. Class A
 
61,843
1,384,046
 
 
 
9,199,298
Diversified Financial Services - 0.9%
 
 
 
Berkshire Hathaway, Inc. Class B (a)
 
9,214
2,718,959
Insurance - 4.4%
 
 
 
Arthur J. Gallagher & Co.
 
8,927
1,670,063
Assurant, Inc.
 
14,807
2,011,679
Brown & Brown, Inc.
 
32,866
1,932,192
Marsh & McLennan Companies, Inc.
 
16,666
2,691,392
Selective Insurance Group, Inc.
 
20,284
1,989,455
The Travelers Companies, Inc.
 
14,835
2,736,464
 
 
 
13,031,245
TOTAL FINANCIALS
 
 
33,687,434
HEALTH CARE - 18.9%
 
 
 
Biotechnology - 4.4%
 
 
 
Amgen, Inc.
 
11,414
3,085,775
Incyte Corp. (a)
 
31,525
2,343,569
Regeneron Pharmaceuticals, Inc. (a)
 
4,767
3,569,291
United Therapeutics Corp. (a)
 
4,200
968,226
Vertex Pharmaceuticals, Inc. (a)
 
10,304
3,214,848
 
 
 
13,181,709
Health Care Equipment & Supplies - 1.7%
 
 
 
Abbott Laboratories
 
18,688
1,848,991
Becton, Dickinson & Co.
 
9,035
2,131,989
Hologic, Inc. (a)
 
17,546
1,189,619
 
 
 
5,170,599
Health Care Providers & Services - 4.4%
 
 
 
AmerisourceBergen Corp.
 
6,800
1,069,096
Chemed Corp.
 
4,893
2,284,395
Cigna Corp.
 
9,082
2,934,031
Humana, Inc.
 
5,677
3,168,220
UnitedHealth Group, Inc.
 
6,760
3,752,809
 
 
 
13,208,551
Life Sciences Tools & Services - 1.8%
 
 
 
Danaher Corp.
 
10,103
2,542,622
Thermo Fisher Scientific, Inc.
 
5,710
2,934,769
 
 
 
5,477,391
Pharmaceuticals - 6.6%
 
 
 
AstraZeneca PLC (United Kingdom)
 
18,906
2,218,282
Bristol-Myers Squibb Co.
 
35,353
2,738,797
Eli Lilly & Co.
 
8,699
3,149,821
Merck & Co., Inc.
 
31,435
3,181,222
Roche Holding AG (participation certificate)
 
6,021
1,997,757
Royalty Pharma PLC
 
53,220
2,252,270
Sanofi SA sponsored ADR
 
56,988
2,463,591
Zoetis, Inc. Class A
 
10,549
1,590,578
 
 
 
19,592,318
TOTAL HEALTH CARE
 
 
56,630,568
INDUSTRIALS - 10.8%
 
 
 
Aerospace & Defense - 1.9%
 
 
 
Lockheed Martin Corp.
 
5,219
2,539,983
Northrop Grumman Corp.
 
5,679
3,117,828
 
 
 
5,657,811
Air Freight & Logistics - 1.4%
 
 
 
C.H. Robinson Worldwide, Inc.
 
23,242
2,271,208
United Parcel Service, Inc. Class B
 
11,754
1,971,969
 
 
 
4,243,177
Commercial Services & Supplies - 1.8%
 
 
 
Republic Services, Inc.
 
18,968
2,515,536
Waste Connections, Inc. (United States)
 
22,663
2,989,476
 
 
 
5,505,012
Machinery - 0.9%
 
 
 
IDEX Corp.
 
12,285
2,731,078
Professional Services - 3.3%
 
 
 
Booz Allen Hamilton Holding Corp. Class A
 
27,862
3,032,779
CACI International, Inc. Class A (a)
 
4,491
1,365,399
FTI Consulting, Inc. (a)
 
19,502
3,035,096
Verisk Analytics, Inc.
 
12,791
2,338,579
 
 
 
9,771,853
Road & Rail - 1.5%
 
 
 
J.B. Hunt Transport Services, Inc.
 
9,651
1,650,997
Landstar System, Inc.
 
17,960
2,805,711
 
 
 
4,456,708
TOTAL INDUSTRIALS
 
 
32,365,639
INFORMATION TECHNOLOGY - 15.5%
 
 
 
Communications Equipment - 0.7%
 
 
 
Cisco Systems, Inc.
 
48,623
2,208,943
Electronic Equipment & Components - 1.4%
 
 
 
Insight Enterprises, Inc. (a)
 
25,258
2,387,134
Keyence Corp.
 
4,421
1,673,349
 
 
 
4,060,483
IT Services - 7.2%
 
 
 
Accenture PLC Class A
 
10,363
2,942,056
Akamai Technologies, Inc. (a)
 
22,985
2,030,265
Amdocs Ltd.
 
27,250
2,351,948
Cognizant Technology Solutions Corp. Class A
 
33,962
2,114,135
Fidelity National Information Services, Inc.
 
13,968
1,159,204
Genpact Ltd.
 
56,816
2,755,576
MasterCard, Inc. Class A
 
6,706
2,200,775
Maximus, Inc.
 
36,272
2,236,894
VeriSign, Inc. (a)
 
8,016
1,606,887
Visa, Inc. Class A
 
10,860
2,249,758
 
 
 
21,647,498
Software - 5.0%
 
 
 
Black Knight, Inc. (a)
 
31,410
1,899,363
Check Point Software Technologies Ltd. (a)
 
17,543
2,267,082
Microsoft Corp.
 
11,127
2,582,911
NortonLifeLock, Inc.
 
95,466
2,150,849
Roper Technologies, Inc.
 
5,967
2,473,560
Salesforce.com, Inc. (a)
 
7,835
1,273,893
SAP SE sponsored ADR
 
11,100
1,066,266
VMware, Inc. Class A
 
10,651
1,198,557
 
 
 
14,912,481
Technology Hardware, Storage & Peripherals - 1.2%
 
 
 
Apple, Inc.
 
17,097
2,621,654
FUJIFILM Holdings Corp. ADR
 
22,200
1,011,210
 
 
 
3,632,864
TOTAL INFORMATION TECHNOLOGY
 
 
46,462,269
MATERIALS - 2.9%
 
 
 
Chemicals - 0.7%
 
 
 
CF Industries Holdings, Inc.
 
19,336
2,054,643
Metals & Mining - 2.2%
 
 
 
Barrick Gold Corp. (Canada)
 
105,910
1,592,906
Newmont Corp.
 
47,084
1,992,595
Royal Gold, Inc.
 
22,199
2,108,017
Wheaton Precious Metals Corp. (b)
 
32,208
1,052,880
 
 
 
6,746,398
TOTAL MATERIALS
 
 
8,801,041
REAL ESTATE - 1.3%
 
 
 
Equity Real Estate Investment Trusts (REITs) - 1.3%
 
 
 
American Tower Corp.
 
9,690
2,007,671
Digital Realty Trust, Inc.
 
10,007
1,003,202
SBA Communications Corp. Class A
 
3,578
965,702
 
 
 
3,976,575
UTILITIES - 11.0%
 
 
 
Electric Utilities - 6.5%
 
 
 
Entergy Corp.
 
21,550
2,308,867
Evergy, Inc.
 
31,673
1,936,170
FirstEnergy Corp.
 
51,315
1,935,089
IDACORP, Inc.
 
21,908
2,293,768
NextEra Energy, Inc.
 
22,590
1,750,725
OGE Energy Corp.
 
57,795
2,117,031
PNM Resources, Inc.
 
53,342
2,478,803
PPL Corp.
 
77,922
2,064,154
Southern Co.
 
38,382
2,513,253
 
 
 
19,397,860
Multi-Utilities - 4.5%
 
 
 
CenterPoint Energy, Inc.
 
74,271
2,124,893
Dominion Energy, Inc.
 
33,296
2,329,721
NiSource, Inc.
 
98,404
2,527,999
NorthWestern Energy Corp.
 
38,916
2,055,932
Public Service Enterprise Group, Inc.
 
39,540
2,217,008
Sempra Energy
 
15,317
2,311,948
 
 
 
13,567,501
TOTAL UTILITIES
 
 
32,965,361
 
TOTAL COMMON STOCKS
  (Cost $272,025,213)
 
 
 
296,266,717
 
 
 
 
Money Market Funds - 1.3%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 3.10% (c)
 
534,331
534,437
Fidelity Securities Lending Cash Central Fund 3.10% (c)(d)
 
3,289,596
3,289,925
 
TOTAL MONEY MARKET FUNDS
  (Cost $3,824,362)
 
 
3,824,362
 
 
 
 
Equity Funds - 0.6%
 
 
Shares
Value ($)
 
Domestic Equity Funds - 0.6%
 
 
 
iShares MSCI USA Minimum Volatility ETF
  (Cost $1,735,500)
 
25,177
1,792,351
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 100.9%
  (Cost $277,585,075)
 
 
 
301,883,430
NET OTHER ASSETS (LIABILITIES) - (0.9)%  
(2,784,429)
NET ASSETS - 100.0%
299,099,001
 
 
 
 
Security Type Abbreviations
ETF
-
EXCHANGE-TRADED FUND
 
Legend
 
(a)
Non-income producing
 
(b)
Security or a portion of the security is on loan at period end.
 
(c)
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.
 
(d)
Investment made with cash collateral received from securities on loan.
 
 
 
 
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
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 3.10%
1,011,280
20,921,273
21,398,116
6,101
-
-
534,437
0.0%
Fidelity Securities Lending Cash Central Fund 3.10%
8,840,657
42,741,888
48,292,620
3,939
-
-
3,289,925
0.0%
Total
9,851,937
63,663,161
69,690,736
10,040
-
-
3,824,362
 
 
 
 
 
 
 
 
 
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
Investment Valuation
 
The following is a summary of the inputs used, as of October 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
  Investments in Securities:
 
 
 
 
 Equities:
 
 
 
 
Communication Services
12,199,191
12,199,191
-
-
Consumer Discretionary
13,782,682
13,782,682
-
-
Consumer Staples
50,080,608
48,306,972
1,773,636
-
Energy
5,315,349
5,315,349
-
-
Financials
33,687,434
33,687,434
-
-
Health Care
56,630,568
52,414,529
4,216,039
-
Industrials
32,365,639
32,365,639
-
-
Information Technology
46,462,269
46,462,269
-
-
Materials
8,801,041
8,801,041
-
-
Real Estate
3,976,575
3,976,575
-
-
Utilities
32,965,361
32,965,361
-
-
 Money Market Funds
3,824,362
3,824,362
-
-
  Equity Funds
1,792,351
1,792,351
-
-
 Total Investments in Securities:
301,883,430
295,893,755
5,989,675
-
Financial Statements   (Unaudited)
Statement of Assets and Liabilities
 
 
 
October 31, 2022
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  (including  securities loaned of $3,168,957) - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $273,760,713)
 
$298,059,068
 
 
Fidelity Central Funds (cost $3,824,362)
 
3,824,362
 
 
 
 
 
 
 
Total Investment in Securities (cost $277,585,075)
 
 
$
301,883,430
Receivable for fund shares sold
 
 
 
55,144
Dividends receivable
 
 
 
733,343
Distributions receivable from Fidelity Central Funds
 
 
 
2,401
Prepaid expenses
 
 
 
530
  Total assets
 
 
 
302,674,848
Liabilities
 
 
 
 
Payable for fund shares redeemed
 
$108,623
 
 
Accrued management fee
 
102,456
 
 
Other affiliated payables
 
54,137
 
 
Other payables and accrued expenses
 
20,706
 
 
Collateral on securities loaned
 
3,289,925
 
 
  Total Liabilities
 
 
 
3,575,847
Net Assets  
 
 
$
299,099,001
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
278,468,627
Total accumulated earnings (loss)
 
 
 
20,630,374
Net Assets
 
 
$
299,099,001
Net Asset Value , offering price and redemption price per share ($299,099,001 ÷ 29,432,396 shares)
 
 
$
10.16
 
 
 
 
 
Statement of Operations
 
 
 
Six months ended
October 31, 2022
(Unaudited)
Investment Income
 
 
 
 
Dividends
 
 
$
3,365,095
Income from Fidelity Central Funds (including $3,939 from security lending)
 
 
 
10,040
 Total Income
 
 
 
3,375,135
Expenses
 
 
 
 
Management fee
$
705,457
 
 
Transfer agent fees
 
287,700
 
 
Accounting fees
 
59,459
 
 
Custodian fees and expenses
 
4,443
 
 
Independent trustees' fees and expenses
 
584
 
 
Registration fees
 
23,323
 
 
Audit
 
18,035
 
 
Legal
 
160
 
 
Miscellaneous
 
779
 
 
 Total expenses before reductions
 
1,099,940
 
 
 Expense reductions
 
(6,021)
 
 
 Total expenses after reductions
 
 
 
1,093,919
Net Investment income (loss)
 
 
 
2,281,216
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
(5,338,027)
 
 
 Foreign currency transactions
 
(39,178)
 
 
Total net realized gain (loss)
 
 
 
(5,377,205)
Change in net unrealized appreciation (depreciation) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
(9,426,109)
 
 
 Assets and liabilities in foreign currencies
 
(905)
 
 
Total change in net unrealized appreciation (depreciation)
 
 
 
(9,427,014)
Net gain (loss)
 
 
 
(14,804,219)
Net increase (decrease) in net assets resulting from operations
 
 
$
(12,523,003)
Statement of Changes in Net Assets
 
 
Six months ended
October 31, 2022
(Unaudited)
 
Year ended
April 30, 2022
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
2,281,216
$
2,633,389
Net realized gain (loss)
 
(5,377,205)
 
 
29,002,514
 
Change in net unrealized appreciation (depreciation)
 
(9,427,014)
 
(31,327,349)
 
Net increase (decrease) in net assets resulting from operations
 
(12,523,003)
 
 
308,554
 
Distributions to shareholders
 
(13,261,223)
 
 
(19,895,445)
 
Share transactions
 
 
 
 
Proceeds from sales of shares
 
36,159,262
 
30,830,702
  Reinvestment of distributions
 
13,173,352
 
 
19,794,049
 
Cost of shares redeemed
 
(81,280,641)
 
(35,905,930)
  Net increase (decrease) in net assets resulting from share transactions
 
(31,948,027)
 
 
14,718,821
 
Total increase (decrease) in net assets
 
(57,732,253)
 
 
(4,868,070)
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
356,831,254
 
361,699,324
 
End of period
$
299,099,001
$
356,831,254
 
 
 
 
 
Other Information
 
 
 
 
Shares
 
 
 
 
Sold
 
3,508,959
 
2,648,227
  Issued in reinvestment of distributions
 
1,314,706
 
 
1,709,270
 
Redeemed
 
(8,137,559)
 
(3,086,354)
Net increase (decrease)
 
(3,313,894)
 
1,271,143
 
 
 
 
 
 
 
Financial Highlights
Fidelity® U.S. Low Volatility Equity Fund
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022  
 
2021    
 
2020   A
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
10.90
$
11.49
$
9.23
$
10.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.07
 
.08
 
.08
 
.05
     Net realized and unrealized gain (loss)
 
(.40)
 
(.03)
 
2.25
 
(.79)
  Total from investment operations
 
(.33)  
 
.05  
 
2.33  
 
(.74)  
  Distributions from net investment income
 
(.02)
 
(.08)
 
(.07)
 
(.03)
  Distributions from net realized gain
 
(.38)
 
(.56)
 
-
 
-
     Total distributions
 
(.41) D
 
(.64)
 
(.07)
 
(.03)
  Net asset value, end of period
$
10.16
$
10.90
$
11.49
$
9.23
 Total Return   E,F
 
(3.00)%
 
.12%
 
25.27%
 
(7.44)%
 Ratios to Average Net Assets C,G,H
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.67% I
 
.73%
 
.77%
 
2.28% I
    Expenses net of fee waivers, if any
 
.66% I
 
.72%
 
.77%
 
.95% I
    Expenses net of all reductions
 
.66% I
 
.72%
 
.77%
 
.95% I
    Net investment income (loss)
 
1.38% I
 
.71%
 
.79%
 
1.46% I
 Supplemental Data
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
299,099
$
356,831
$
361,699
$
294,690
    Portfolio turnover rate J
 
53% I
 
46%
 
39%
 
101% K,L
 
A For the period November 5, 2019 (commencement of operations) through April 30, 2020.
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total distributions per share do not sum due to rounding.
 
E Total returns for periods of less than one year are not annualized.
 
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
G Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
I Annualized
 
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
K Amount not annualized.
 
L Portfolio turnover rate excludes securities received or delivered in-kind.
 
For the period ended October 31, 2022
 
1. Organization.
Fidelity U.S. Low Volatility Equity Fund (the Fund) is a fund of Fidelity Summer Street Trust (the Trust) and is authorized to issue an unlimited number of shares.   Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
 
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense Ratio A
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
 
A   Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies . The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
 
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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 Fund categorizes the inputs to valuation techniques used to value its investments 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 the Fund's 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 foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, 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.
 
ETFs are valued at their last 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 but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
 
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (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. The aggregate value of investments by input level as of October 31, 2022 is included at the end of the Fund's Schedule of Investments.
 
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
 
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
 
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
 
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost.   Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
 
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.   Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
 
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
 
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
 
Book-tax differences are primarily due to   foreign currency transactions, capital loss carryforwards and   losses deferred due to wash sales.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
 
Gross unrealized appreciation
$42,841,196
Gross unrealized depreciation
(19,350,304)
Net unrealized appreciation (depreciation)
$23,490,892
Tax cost
$278,392,538
 
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
 
  Short-term
$(140,458)
Total capital loss carryforward
$(140,458)
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
 
 
Purchases ($)
Sales ($)
Fidelity U.S. Low Volatility Equity Fund
86,427,776
126,944,791
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .23% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .43% of the Fund's average net assets.
 
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annualized rate of .17% of average net assets.
 
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annualized rates:
 
% of Average Net Assets
Fidelity U.S. Low Volatility Equity Fund
.04
 
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
 
 
Amount
Fidelity U.S. Low Volatility Equity Fund
$   2,045
 
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.   Interfund trades during the period are noted in the table below.
 
 
Purchases ($)
Sales ($)
Realized Gain (Loss) ($)
Fidelity U.S. Low Volatility Equity Fund
157,554
4,075,005
(1,178,898)
 
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
 
 
Amount
Fidelity U.S. Low Volatility Equity Fund
$306
7. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income 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. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
 
 
Total Security Lending Fees Paid to NFS
Security Lending Income From Securities Loaned to NFS
Value of Securities Loaned to NFS at Period End
Fidelity U.S. Low Volatility Equity Fund
$385
$-
$-
8. Expense Reductions.
During the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $6,021.
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
 
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
 
 
VIP FundsManager 50% Portfolio
VIP FundsManager 60% Portfolio
VIP FundsManager 70% Portfolio
Fidelity U.S. Low Volatility Equity Fund
31%
39%
12%
 
Mutual funds managed by the investment adviser or its affiliates, in aggregate, were the owners of record of more than 20% of the total outstanding shares.
 
Fund
% of shares held
Fidelity U.S. Low Volatility Equity Fund
94%
10. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2022 to October 31, 2022).
 
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
 
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
 
 
 
Annualized Expense Ratio- A
 
Beginning Account Value May 1, 2022
 
Ending Account Value October 31, 2022
 
Expenses Paid During Period- C May 1, 2022 to October 31, 2022
 
 
 
 
 
 
 
 
 
 
Fidelity® U.S. Low Volatility Equity Fund
 
 
 
.66%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 970.00
 
$ 3.28
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,021.88
 
$ 3.36
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
 
 
 
 
Fidelity U.S. Low Volatility Equity Fund
 
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
 
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees (Committees), each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.
 
At its May 2022 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
 
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.
 
Nature, Extent, and Quality of Services Provided . The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.
 
Resources Dedicated to Investment Management and Support Services . The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to expansion of Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties, and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.
 
Shareholder and Administrative Services . The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.
 
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials, and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.
 
Investment in a Large Fund Family . The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain target date funds and classes and index funds; (vii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (viii) rationalizing product lines and gaining increased efficiencies from fund mergers and liquidations; (ix) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (x) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.
 
Investment Performance . The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and performance history.  
 
The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance, the Board gave particular attention to information indicating changes in performance certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance.
 
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on net performance (after fees and expenses) of the fund compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; issuer-specific information; and fund cash flows and other factors.
 
The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net total return information for the fund and an appropriate benchmark index for the most recent one-year period ended September 30, 2021, as shown below. A peer group is not shown below because the fund does not generally utilize a peer group for performance comparison purposes.  
Fidelity U.S. Low Volatility Equity Fund  
 
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
 
Competitiveness of Management Fee and Total Expense Ratio .  The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.
 
Management Fee . The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods  ended September 30 shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.  
Fidelity U.S. Low Volatility Equity Fund  
 
 
The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 12-month period ended September 30, 2021.  
 
The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.
 
Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.
 
Total Expense Ratio . In its review of the fund's total expense ratio, the Board considered the fund's management fee rate as well as other fund expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure The Board also considered a total expense ASPG comparison for the fund, which focuses on the total expenses of the fund relative to a subset of non-Fidelity funds within the total expense similar sales load structure group. The total expense ASPG is limited to 15 larger and 15 smaller classes in fund average assets for a total of 30 classes, where possible. The total expense ASPG comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.
 
The Board noted that the fund's total net expense ratio ranked below the similar sales load structure competitive median and below the ASPG competitive median for the 12-month period ended September 30, 2021.
 
The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.80% through August 31, 2022.
 
Fees Charged to Other Fidelity Clients . The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.
 
Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
 
Costs of the Services and Profitability . The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the Fidelity funds and servicing the Fidelity funds' shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
 
On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the Fidelity funds. Fidelity calculates profitability information for each Fidelity fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies and the full Board approves such changes.
 
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
 
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.
 
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the Fidelity funds and was satisfied that the profitability was not excessive.
 
Economies of Scale . The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.
 
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total "group assets" increase, and for higher group fee rates as total "group assets" decrease ("group assets" as defined in the management contract). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board further considered that Fidelity agreed to impose a temporary fee waiver in the form of additional breakpoints to the current breakpoint schedule. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as "group assets" increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
 
The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.
 
Additional Information Requested by the Board . In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) fund flow and performance trends, in particular the underperformance of certain funds and strategies, and Fidelity's long-term strategies for certain funds, including any consideration of fund liquidations or mergers; (ii) the operation of performance fees, competitor use of performance fees, and consideration of the expansion of performance fees to additional funds; (iii) Fidelity's pricing philosophy compared to competitors; (iv) fund profitability methodology and data; (v) evaluation of competitive fund data and peer group classifications and fee and expense comparisons; (vi) the management fee and expense structures for different funds and classes and information about the differences between various fee and expense structures; (vii) group fee breakpoints and related voluntary fee waivers; and (viii) information regarding other accounts managed by Fidelity and the funds' sub-advisory arrangements.
 
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable and that the fund's Advisory Contracts should be renewed.
 
1.9896229.102
USL-SANN-1222
Fidelity® SAI High Income Fund
 
 
Semi-Annual Report
October 31, 2022
 
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity ®   SAI is a product name of Fidelity ® funds dedicated to certain programs affiliated with Strategic Advisers.

Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
 
 
Top Bond Issuers (% of Fund's net assets)
(with maturities greater than one year)
 
New Fortress Energy, Inc.
2.9
 
Mesquite Energy, Inc.
2.4
 
Uniti Group LP / Uniti Group Finance, Inc.
2.3
 
Tenet Healthcare Corp.
1.9
 
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.
1.8
 
Southeastern Grocers, Inc.
1.7
 
CCO Holdings LLC/CCO Holdings Capital Corp.
1.6
 
Community Health Systems, Inc.
1.6
 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
1.4
 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.
1.3
 
 
18.9
 
 
Market Sectors (% of Fund's net assets)
 
Energy
16.7
 
Telecommunications
8.9
 
Healthcare
8.0
 
Services
6.2
 
Technology
5.9
 
 
Quality Diversification (% of Fund's net assets)
 
 
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
 
Asset Allocation (% of Fund's net assets)
Foreign investments - 17.8%
Geographic Diversification (% of Fund's net assets)
 
*    Includes Short-Term investments and Net Other Assets (Liabilities).  
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
 
 
 
Showing Percentage of Net Assets
Corporate Bonds - 83.0%
 
 
Principal
Amount (a)
 
Value ($)
 
Convertible Bonds - 2.9%
 
 
 
Broadcasting - 1.2%
 
 
 
DISH Network Corp.:
 
 
 
 2.375% 3/15/24
 
9,045,000
8,203,815
 3.375% 8/15/26
 
16,374,000
11,322,621
 
 
 
19,526,436
Energy - 1.7%
 
 
 
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
 
1,610,553
9,547,036
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
 
2,784,113
16,503,665
 
 
 
26,050,701
TOTAL CONVERTIBLE BONDS
 
 
45,577,137
Nonconvertible Bonds - 80.1%
 
 
 
Aerospace - 2.2%
 
 
 
ATI, Inc.:
 
 
 
 4.875% 10/1/29
 
2,015,000
1,694,261
 5.875% 12/1/27
 
4,788,000
4,351,985
Bombardier, Inc. 7.875% 4/15/27 (d)
 
5,710,000
5,422,958
BWX Technologies, Inc. 4.125% 6/30/28 (d)
 
4,790,000
4,191,250
Kaiser Aluminum Corp.:
 
 
 
 4.5% 6/1/31 (d)
 
1,680,000
1,317,960
 4.625% 3/1/28 (d)
 
4,630,000
4,050,324
Moog, Inc. 4.25% 12/15/27 (d)
 
960,000
859,066
TransDigm, Inc.:
 
 
 
 4.625% 1/15/29
 
4,390,000
3,738,217
 5.5% 11/15/27
 
4,520,000
4,090,600
 6.25% 3/15/26 (d)
 
595,000
586,914
 7.5% 3/15/27
 
1,925,000
1,896,857
 8% 12/15/25 (d)
 
1,985,000
2,019,738
 
 
 
34,220,130
Air Transportation - 0.1%
 
 
 
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.5% 4/20/26 (d)
 
1,955,000
1,861,789
Automotive & Auto Parts - 0.4%
 
 
 
Ford Motor Credit Co. LLC:
 
 
 
 2.9% 2/10/29
 
4,310,000
3,380,559
 3.815% 11/2/27
 
3,500,000
3,006,331
 
 
 
6,386,890
Banks & Thrifts - 0.1%
 
 
 
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (d)
 
2,015,000
1,780,978
Broadcasting - 1.1%
 
 
 
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d)
 
12,645,000
2,529,000
Sinclair Television Group, Inc. 5.5% 3/1/30 (d)
 
335,000
250,503
Sirius XM Radio, Inc.:
 
 
 
 4% 7/15/28 (d)
 
4,490,000
3,859,951
 4.125% 7/1/30 (d)
 
1,555,000
1,272,439
 5.5% 7/1/29 (d)
 
620,000
571,826
TEGNA, Inc.:
 
 
 
 4.625% 3/15/28
 
3,285,000
3,126,893
 5% 9/15/29
 
1,395,000
1,322,597
Univision Communications, Inc.:
 
 
 
 4.5% 5/1/29 (d)
 
1,735,000
1,460,662
 6.625% 6/1/27 (d)
 
3,185,000
3,145,188
 
 
 
17,539,059
Building Materials - 0.6%
 
 
 
Advanced Drain Systems, Inc. 5% 9/30/27 (d)
 
2,550,000
2,364,462
Builders FirstSource, Inc. 4.25% 2/1/32 (d)
 
3,750,000
3,000,750
SRS Distribution, Inc.:
 
 
 
 4.625% 7/1/28 (d)
 
2,715,000
2,383,879
 6% 12/1/29 (d)
 
2,595,000
2,115,833
 
 
 
9,864,924
Cable/Satellite TV - 3.7%
 
 
 
CCO Holdings LLC/CCO Holdings Capital Corp.:
 
 
 
 4.25% 2/1/31 (d)
 
5,510,000
4,352,900
 4.25% 1/15/34 (d)
 
725,000
532,875
 4.5% 8/15/30 (d)
 
5,705,000
4,629,950
 4.5% 5/1/32
 
7,039,000
5,560,810
 4.5% 6/1/33 (d)
 
6,515,000
4,940,394
 4.75% 3/1/30 (d)
 
4,700,000
3,949,880
 4.75% 2/1/32 (d)
 
725,000
580,034
CSC Holdings LLC:
 
 
 
 4.125% 12/1/30 (d)
 
3,395,000
2,671,084
 4.5% 11/15/31 (d)
 
745,000
579,442
 4.625% 12/1/30 (d)
 
6,930,000
4,988,023
 5.375% 2/1/28 (d)
 
3,690,000
3,404,025
 5.75% 1/15/30 (d)
 
2,120,000
1,621,800
 7.5% 4/1/28 (d)
 
2,580,000
2,235,235
Dolya Holdco 18 DAC 5% 7/15/28 (d)
 
1,585,000
1,349,470
Radiate Holdco LLC/Radiate Financial Service Ltd.:
 
 
 
 4.5% 9/15/26 (d)
 
4,020,000
3,396,900
 6.5% 9/15/28 (d)
 
5,430,000
3,420,900
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d)
 
4,400,000
3,826,240
Ziggo Bond Co. BV 5.125% 2/28/30 (d)
 
3,720,000
2,947,802
Ziggo BV 4.875% 1/15/30 (d)
 
1,730,000
1,461,850
 
 
 
56,449,614
Capital Goods - 0.8%
 
 
 
Mueller Water Products, Inc. 4% 6/15/29 (d)
 
2,785,000
2,414,929
Vertical Holdco GmbH 7.625% 7/15/28 (d)
 
3,810,000
3,149,060
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (d)
 
6,595,000
5,910,769
 
 
 
11,474,758
Chemicals - 3.9%
 
 
 
CVR Partners LP 6.125% 6/15/28 (d)
 
3,455,000
3,125,946
Element Solutions, Inc. 3.875% 9/1/28 (d)
 
3,615,000
3,072,750
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.:
 
 
 
 5% 12/31/26 (d)
 
4,550,000
4,124,439
 7% 12/31/27 (d)
 
1,040,000
873,600
LSB Industries, Inc. 6.25% 10/15/28 (d)
 
4,590,000
4,167,215
Methanex Corp.:
 
 
 
 5.125% 10/15/27
 
3,705,000
3,362,584
 5.65% 12/1/44
 
2,410,000
1,656,875
NOVA Chemicals Corp.:
 
 
 
 4.25% 5/15/29 (d)
 
3,365,000
2,743,040
 4.875% 6/1/24 (d)
 
1,735,000
1,687,288
 5% 5/1/25 (d)
 
250,000
238,098
 5.25% 6/1/27 (d)
 
4,930,000
4,400,419
Nufarm Australia Ltd. 5% 1/27/30 (d)
 
4,635,000
3,920,793
Olympus Water U.S. Holding Corp.:
 
 
 
 4.25% 10/1/28 (d)
 
4,620,000
3,750,576
 6.25% 10/1/29 (d)
 
4,505,000
3,119,510
SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (d)
 
3,235,000
2,571,825
The Chemours Co. LLC:
 
 
 
 4.625% 11/15/29 (d)
 
6,160,000
4,804,800
 5.375% 5/15/27
 
1,160,000
1,038,687
 5.75% 11/15/28 (d)
 
10,225,000
8,686,138
W.R. Grace Holding LLC 5.625% 8/15/29 (d)
 
4,430,000
3,424,301
 
 
 
60,768,884
Consumer Products - 0.3%
 
 
 
Mattel, Inc.:
 
 
 
 3.375% 4/1/26 (d)
 
455,000
415,013
 3.75% 4/1/29 (d)
 
4,320,000
3,727,955
 
 
 
4,142,968
Containers - 0.7%
 
 
 
Graphic Packaging International, Inc. 3.75% 2/1/30 (d)
 
1,325,000
1,139,182
Sealed Air Corp. 5% 4/15/29 (d)
 
3,940,000
3,593,871
Trivium Packaging Finance BV:
 
 
 
 5.5% 8/15/26 (d)
 
2,400,000
2,203,044
 8.5% 8/15/27 (d)
 
4,095,000
3,850,495
 
 
 
10,786,592
Diversified Financial Services - 3.2%
 
 
 
Coinbase Global, Inc.:
 
 
 
 3.375% 10/1/28 (d)
 
6,405,000
4,186,390
 3.625% 10/1/31 (d)
 
7,085,000
4,195,302
Hightower Holding LLC 6.75% 4/15/29 (d)
 
4,525,000
3,683,927
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
 
 
 
 4.375% 2/1/29
 
5,140,000
4,291,232
 5.25% 5/15/27
 
13,865,000
12,773,131
 6.25% 5/15/26
 
5,530,000
5,322,625
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.75% 6/15/29 (d)
 
2,550,000
2,029,719
OneMain Finance Corp.:
 
 
 
 3.5% 1/15/27
 
5,220,000
4,281,223
 3.875% 9/15/28
 
7,518,000
5,854,267
 7.125% 3/15/26
 
3,425,000
3,305,125
 
 
 
49,922,941
Diversified Media - 0.5%
 
 
 
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (d)
 
6,915,000
5,882,314
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d)
 
1,490,000
1,262,775
 
 
 
7,145,089
Energy - 12.7%
 
 
 
Altus Midstream LP 5.875% 6/15/30 (d)
 
2,270,000
2,129,654
Apache Corp. 4.25% 1/15/30
 
1,575,000
1,401,300
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d)
 
4,200,000
3,559,500
Citgo Petroleum Corp. 6.375% 6/15/26 (d)
 
4,810,000
4,737,177
CNX Resources Corp. 7.375% 1/15/31 (d)
 
855,000
848,733
Colgate Energy Partners III LLC:
 
 
 
 5.875% 7/1/29 (d)
 
3,025,000
2,805,688
 7.75% 2/15/26 (d)
 
1,150,000
1,143,918
Comstock Resources, Inc.:
 
 
 
 5.875% 1/15/30 (d)
 
2,175,000
1,962,764
 6.75% 3/1/29 (d)
 
3,515,000
3,365,613
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:
 
 
 
 5.625% 5/1/27 (d)
 
11,785,000
11,084,698
 5.75% 4/1/25
 
1,685,000
1,642,875
 6% 2/1/29 (d)
 
8,235,000
7,700,549
CrownRock LP/CrownRock Finance, Inc.:
 
 
 
 5% 5/1/29 (d)
 
2,495,000
2,266,523
 5.625% 10/15/25 (d)
 
395,000
382,044
CVR Energy, Inc.:
 
 
 
 5.25% 2/15/25 (d)
 
5,915,000
5,699,546
 5.75% 2/15/28 (d)
 
6,090,000
5,511,450
Delek Logistics Partners LP 7.125% 6/1/28 (d)
 
3,445,000
3,084,813
DT Midstream, Inc. 4.125% 6/15/29 (d)
 
2,490,000
2,152,605
EnLink Midstream LLC 5.625% 1/15/28 (d)
 
1,365,000
1,308,284
EQM Midstream Partners LP:
 
 
 
 6% 7/1/25 (d)
 
185,000
179,175
 6.5% 7/1/27 (d)
 
2,745,000
2,676,375
 7.5% 6/1/27 (d)
 
1,085,000
1,071,438
 7.5% 6/1/30 (d)
 
1,085,000
1,055,163
Global Partners LP/GLP Finance Corp. 6.875% 1/15/29
 
2,245,000
2,031,164
Harvest Midstream I LP 7.5% 9/1/28 (d)
 
1,690,000
1,620,238
Hess Midstream Partners LP:
 
 
 
 4.25% 2/15/30 (d)
 
1,330,000
1,137,350
 5.125% 6/15/28 (d)
 
1,650,000
1,518,000
Hilcorp Energy I LP/Hilcorp Finance Co.:
 
 
 
 5.75% 2/1/29 (d)
 
1,575,000
1,441,125
 6.25% 11/1/28 (d)
 
1,575,000
1,480,500
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d)
 
3,270,000
2,955,410
New Fortress Energy, Inc.:
 
 
 
 6.5% 9/30/26 (d)
 
25,595,000
24,827,150
 6.75% 9/15/25 (d)
 
17,725,000
17,400,739
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (d)
 
5,925,000
5,359,983
Occidental Petroleum Corp.:
 
 
 
 7.5% 5/1/31
 
2,790,000
2,999,250
 7.875% 9/15/31
 
945,000
1,028,453
 8.875% 7/15/30
 
2,720,000
3,087,200
Rockies Express Pipeline LLC:
 
 
 
 4.8% 5/15/30 (d)
 
2,185,000
1,846,325
 4.95% 7/15/29 (d)
 
3,370,000
2,956,457
 6.875% 4/15/40 (d)
 
330,000
269,412
SM Energy Co. 5.625% 6/1/25
 
3,245,000
3,152,219
Southwestern Energy Co. 4.75% 2/1/32
 
3,505,000
3,025,516
Sunoco LP/Sunoco Finance Corp.:
 
 
 
 4.5% 5/15/29
 
2,585,000
2,220,257
 5.875% 3/15/28
 
2,780,000
2,646,492
Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (d)
 
2,010,000
1,703,738
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.:
 
 
 
 5.5% 1/15/28 (d)
 
4,880,000
4,375,603
 6% 3/1/27 (d)
 
8,956,000
8,451,524
 6% 12/31/30 (d)
 
11,005,000
9,961,946
 6% 9/1/31 (d)
 
4,865,000
4,330,545
 7.5% 10/1/25 (d)
 
1,210,000
1,222,040
Transocean Guardian Ltd. 5.875% 1/15/24 (d)
 
2,572,845
2,500,986
Transocean Phoenix 2 Ltd. 7.75% 10/15/24 (d)
 
471,999
469,431
Transocean Pontus Ltd. 6.125% 8/1/25 (d)
 
1,327,200
1,277,549
Transocean Poseidon Ltd. 6.875% 2/1/27 (d)
 
1,242,500
1,189,694
Transocean Proteus Ltd. 6.25% 12/1/24 (d)
 
589,500
574,763
Transocean Sentry Ltd. 5.375% 5/15/23 (d)
 
3,060,380
3,006,823
Venture Global Calcasieu Pass LLC:
 
 
 
 3.875% 8/15/29 (d)
 
2,745,000
2,353,838
 4.125% 8/15/31 (d)
 
4,690,000
3,998,366
 
 
 
196,189,971
Environmental - 1.4%
 
 
 
Covanta Holding Corp. 4.875% 12/1/29 (d)
 
2,920,000
2,486,234
Darling Ingredients, Inc. 6% 6/15/30 (d)
 
1,345,000
1,294,563
Madison IAQ LLC:
 
 
 
 4.125% 6/30/28 (d)
 
5,950,000
4,923,625
 5.875% 6/30/29 (d)
 
12,150,000
8,322,750
Stericycle, Inc.:
 
 
 
 3.875% 1/15/29 (d)
 
4,405,000
3,826,139
 5.375% 7/15/24 (d)
 
990,000
975,150
 
 
 
21,828,461
Food & Drug Retail - 1.1%
 
 
 
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:
 
 
 
 3.5% 3/15/29 (d)
 
9,750,000
8,068,125
 4.875% 2/15/30 (d)
 
4,560,000
4,047,000
Emergent BioSolutions, Inc. 3.875% 8/15/28 (d)
 
6,235,000
3,738,132
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (d)
 
1,170,000
974,911
 
 
 
16,828,168
Food/Beverage/Tobacco - 1.9%
 
 
 
C&S Group Enterprises LLC 5% 12/15/28 (d)
 
5,500,000
4,065,824
Lamb Weston Holdings, Inc. 4.125% 1/31/30 (d)
 
4,645,000
4,054,946
Performance Food Group, Inc. 5.5% 10/15/27 (d)
 
335,000
316,649
Post Holdings, Inc.:
 
 
 
 4.625% 4/15/30 (d)
 
2,035,000
1,717,164
 5.5% 12/15/29 (d)
 
2,055,000
1,849,336
Primo Water Holdings, Inc. 4.375% 4/30/29 (d)
 
3,395,000
2,844,569
TreeHouse Foods, Inc. 4% 9/1/28
 
1,265,000
1,067,344
Triton Water Holdings, Inc. 6.25% 4/1/29 (d)
 
12,745,000
9,652,773
U.S. Foods, Inc.:
 
 
 
 4.625% 6/1/30 (d)
 
1,725,000
1,496,472
 4.75% 2/15/29 (d)
 
1,695,000
1,502,194
 
 
 
28,567,271
Gaming - 2.0%
 
 
 
Affinity Gaming LLC 6.875% 12/15/27 (d)
 
4,930,000
4,115,328
Caesars Entertainment, Inc. 8.125% 7/1/27 (d)
 
8,054,000
7,832,515
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. 6.75% 1/15/30 (d)
 
6,725,000
5,279,125
Golden Entertainment, Inc. 7.625% 4/15/26 (d)
 
3,110,000
3,055,575
Jacobs Entertainment, Inc. 6.75% 2/15/29 (d)
 
2,000,000
1,763,340
MGM Resorts International:
 
 
 
 4.75% 10/15/28
 
175,000
151,731
 5.5% 4/15/27
 
175,000
162,314
Premier Entertainment Sub LLC:
 
 
 
 5.625% 9/1/29 (d)
 
4,710,000
3,485,400
 5.875% 9/1/31 (d)
 
2,720,000
1,927,448
Station Casinos LLC 4.5% 2/15/28 (d)
 
390,000
335,985
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (d)
 
3,020,000
2,626,796
 
 
 
30,735,557
Healthcare - 8.0%
 
 
 
1375209 BC Ltd. 9% 1/30/28 (d)
 
2,883,000
2,789,303
180 Medical, Inc. 3.875% 10/15/29 (d)
 
2,880,000
2,433,600
AMN Healthcare 4% 4/15/29 (d)
 
4,020,000
3,459,122
Avantor Funding, Inc.:
 
 
 
 3.875% 11/1/29 (d)
 
2,435,000
2,054,661
 4.625% 7/15/28 (d)
 
280,000
253,039
Bausch Health Companies, Inc.:
 
 
 
 11% 9/30/28 (d)
 
5,113,000
3,937,010
 14% 10/15/30 (d)
 
1,017,000
582,233
Cano Health, Inc. 6.25% 10/1/28 (d)
 
3,356,000
2,695,125
Catalent Pharma Solutions 3.5% 4/1/30 (d)
 
3,195,000
2,579,963
Charles River Laboratories International, Inc.:
 
 
 
 3.75% 3/15/29 (d)
 
1,300,000
1,124,500
 4.25% 5/1/28 (d)
 
385,000
350,235
Community Health Systems, Inc.:
 
 
 
 4.75% 2/15/31 (d)
 
5,905,000
3,955,937
 5.25% 5/15/30 (d)
 
11,150,000
7,721,375
 5.625% 3/15/27 (d)
 
5,260,000
4,191,536
 6% 1/15/29 (d)
 
3,600,000
2,672,424
 6.125% 4/1/30 (d)
 
5,790,000
2,373,900
 6.875% 4/15/29 (d)
 
5,670,000
2,281,601
 8% 3/15/26 (d)
 
1,150,000
991,875
CTR Partnership LP/CareTrust Capital Corp. 3.875% 6/30/28 (d)
 
3,610,000
3,044,808
DaVita HealthCare Partners, Inc.:
 
 
 
 3.75% 2/15/31 (d)
 
1,280,000
925,478
 4.625% 6/1/30 (d)
 
9,570,000
7,461,011
Embecta Corp. 5% 2/15/30 (d)
 
1,680,000
1,440,197
Grifols Escrow Issuer SA 4.75% 10/15/28 (d)
 
3,780,000
2,953,125
HealthEquity, Inc. 4.5% 10/1/29 (d)
 
1,600,000
1,398,000
Hologic, Inc.:
 
 
 
 3.25% 2/15/29 (d)
 
3,095,000
2,630,131
 4.625% 2/1/28 (d)
 
125,000
116,875
Jazz Securities DAC 4.375% 1/15/29 (d)
 
4,810,000
4,268,875
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (d)
 
1,910,000
1,625,516
Molina Healthcare, Inc. 3.875% 11/15/30 (d)
 
1,385,000
1,176,969
Option Care Health, Inc. 4.375% 10/31/29 (d)
 
3,500,000
3,022,530
Organon & Co. / Organon Foreign Debt Co-Issuer BV:
 
 
 
 4.125% 4/30/28 (d)
 
5,440,000
4,791,661
 5.125% 4/30/31 (d)
 
795,000
675,170
Owens & Minor, Inc. 4.5% 3/31/29 (d)
 
215,000
166,487
Pediatrix Medical Group, Inc. 5.375% 2/15/30 (d)
 
3,330,000
2,863,800
Radiology Partners, Inc. 9.25% 2/1/28 (d)
 
4,365,000
2,309,085
RP Escrow Issuer LLC 5.25% 12/15/25 (d)
 
6,140,000
4,591,122
Teleflex, Inc. 4.25% 6/1/28 (d)
 
1,275,000
1,153,620
Tenet Healthcare Corp.:
 
 
 
 4.25% 6/1/29 (d)
 
4,025,000
3,391,063
 4.375% 1/15/30 (d)
 
3,835,000
3,217,565
 4.625% 6/15/28 (d)
 
10,120,000
8,880,246
 6.125% 10/1/28 (d)
 
11,225,000
9,715,238
 6.125% 6/15/30 (d)
 
4,165,000
3,844,878
 6.25% 2/1/27 (d)
 
1,405,000
1,340,820
 
 
 
123,451,709
Homebuilders/Real Estate - 4.3%
 
 
 
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 8/1/29 (d)
 
2,060,000
1,547,575
Howard Hughes Corp.:
 
 
 
 4.125% 2/1/29 (d)
 
2,570,000
2,008,530
 4.375% 2/1/31 (d)
 
2,570,000
1,931,098
Kennedy-Wilson, Inc. 4.75% 2/1/30
 
4,055,000
3,183,175
MPT Operating Partnership LP/MPT Finance Corp.:
 
 
 
 3.5% 3/15/31
 
4,520,000
3,109,172
 4.625% 8/1/29
 
1,490,000
1,180,423
 5% 10/15/27
 
11,855,000
10,151,437
Railworks Holdings LP 8.25% 11/15/28 (d)
 
3,870,000
3,556,678
TopBuild Corp. 4.125% 2/15/32 (d)
 
4,805,000
3,762,187
Uniti Group LP / Uniti Group Finance, Inc.:
 
 
 
 4.75% 4/15/28 (d)
 
10,260,000
8,386,994
 6.5% 2/15/29 (d)
 
39,190,000
28,118,804
 
 
 
66,936,073
Hotels - 0.5%
 
 
 
Hilton Domestic Operating Co., Inc.:
 
 
 
 3.625% 2/15/32 (d)
 
3,220,000
2,563,925
 3.75% 5/1/29 (d)
 
10,000
8,519
 4% 5/1/31 (d)
 
2,890,000
2,415,889
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (d)
 
2,965,000
2,610,149
 
 
 
7,598,482
Insurance - 0.6%
 
 
 
Alliant Holdings Intermediate LLC 4.25% 10/15/27 (d)
 
3,940,000
3,546,473
AmWINS Group, Inc. 4.875% 6/30/29 (d)
 
3,835,000
3,278,315
AssuredPartners, Inc. 5.625% 1/15/29 (d)
 
2,915,000
2,397,588
 
 
 
9,222,376
Leisure - 2.8%
 
 
 
Carnival Corp.:
 
 
 
 5.75% 3/1/27 (d)
 
5,535,000
3,846,825
 6% 5/1/29 (d)
 
6,090,000
4,039,299
 6.65% 1/15/28
 
720,000
458,058
 7.625% 3/1/26 (d)
 
10,780,000
8,106,021
MajorDrive Holdings IV LLC 6.375% 6/1/29 (d)
 
295,000
207,887
NCL Corp. Ltd.:
 
 
 
 3.625% 12/15/24 (d)
 
3,145,000
2,729,791
 5.875% 3/15/26 (d)
 
1,585,000
1,297,719
 7.75% 2/15/29 (d)
 
4,040,000
3,213,133
NCL Finance Ltd. 6.125% 3/15/28 (d)
 
1,390,000
1,080,725
Royal Caribbean Cruises Ltd.:
 
 
 
 4.25% 7/1/26 (d)
 
5,935,000
4,688,650
 5.375% 7/15/27 (d)
 
2,775,000
2,157,052
 5.5% 8/31/26 (d)
 
4,870,000
3,981,712
 5.5% 4/1/28 (d)
 
5,285,000
4,069,450
Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (d)
 
1,545,000
1,204,374
Voc Escrow Ltd. 5% 2/15/28 (d)
 
2,365,000
1,946,963
 
 
 
43,027,659
Metals/Mining - 0.9%
 
 
 
Eldorado Gold Corp. 6.25% 9/1/29 (d)
 
125,000
101,106
ERO Copper Corp. 6.5% 2/15/30 (d)
 
6,975,000
5,109,188
First Quantum Minerals Ltd. 6.875% 10/15/27 (d)
 
2,385,000
2,208,659
HudBay Minerals, Inc. 4.5% 4/1/26 (d)
 
1,485,000
1,302,739
Mineral Resources Ltd. 8.5% 5/1/30 (d)
 
2,310,000
2,273,177
PMHC II, Inc. 9% 2/15/30 (d)
 
4,255,000
2,803,612
 
 
 
13,798,481
Paper - 0.8%
 
 
 
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC:
 
 
 
 4% 9/1/29 (d)
 
1,040,000
788,934
 6% 6/15/27 (d)
 
2,930,000
2,811,540
Clydesdale Acquisition Holdings, Inc. 6.625% 4/15/29 (d)
 
1,405,000
1,333,907
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (d)
 
515,000
494,513
Glatfelter Corp. 4.75% 11/15/29 (d)
 
2,885,000
1,857,219
SPA Holdings 3 OY 4.875% 2/4/28 (d)
 
7,020,000
5,588,724
 
 
 
12,874,837
Publishing/Printing - 0.2%
 
 
 
News Corp. 5.125% 2/15/32 (d)
 
3,130,000
2,793,525
Railroad - 0.2%
 
 
 
First Student Bidco, Inc./First Transit Parent, Inc. 4% 7/31/29 (d)
 
4,610,000
3,746,086
Restaurants - 0.4%
 
 
 
1011778 BC Unlimited Liability Co./New Red Finance, Inc. 4% 10/15/30 (d)
 
3,170,000
2,587,513
Garden SpinCo Corp. 8.625% 7/20/30 (d)
 
740,000
761,131
Yum! Brands, Inc. 4.625% 1/31/32
 
3,255,000
2,783,123
 
 
 
6,131,767
Services - 5.3%
 
 
 
Adtalem Global Education, Inc. 5.5% 3/1/28 (d)
 
5,149,000
4,698,463
APX Group, Inc. 6.75% 2/15/27 (d)
 
2,660,000
2,594,840
Aramark Services, Inc. 5% 2/1/28 (d)
 
760,000
692,440
ASGN, Inc. 4.625% 5/15/28 (d)
 
3,260,000
2,898,890
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (d)
 
3,855,000
3,396,563
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (d)
 
9,930,000
7,139,333
CoreCivic, Inc.:
 
 
 
 4.75% 10/15/27
 
6,520,000
5,410,040
 8.25% 4/15/26
 
13,298,000
13,492,490
Fair Isaac Corp. 4% 6/15/28 (d)
 
3,295,000
2,981,448
Gartner, Inc.:
 
 
 
 3.625% 6/15/29 (d)
 
1,645,000
1,398,250
 3.75% 10/1/30 (d)
 
2,345,000
1,969,790
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d)
 
8,310,000
7,795,819
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (d)
 
4,635,000
4,055,625
PowerTeam Services LLC 9.033% 12/4/25 (d)
 
1,215,000
1,015,327
Service Corp. International:
 
 
 
 4% 5/15/31
 
2,375,000
1,971,779
 5.125% 6/1/29
 
4,160,000
3,874,874
Sotheby's 7.375% 10/15/27 (d)
 
4,605,000
4,455,338
The GEO Group, Inc. 9.5% 12/31/28 (d)
 
3,300,000
3,036,000
TriNet Group, Inc. 3.5% 3/1/29 (d)
 
4,635,000
3,841,256
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d)
 
5,720,000
5,333,721
 
 
 
82,052,286
Steel - 0.4%
 
 
 
Commercial Metals Co. 4.125% 1/15/30
 
2,495,000
2,096,296
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (d)
 
4,570,000
4,010,084
 
 
 
6,106,380
Super Retail - 1.7%
 
 
 
Bath & Body Works, Inc. 6.694% 1/15/27
 
1,123,000
1,058,428
Carvana Co.:
 
 
 
 4.875% 9/1/29 (d)
 
2,755,000
1,219,088
 5.5% 4/15/27 (d)
 
3,025,000
1,437,566
 5.875% 10/1/28 (d)
 
1,165,000
533,372
EG Global Finance PLC:
 
 
 
 6.75% 2/7/25 (d)
 
4,830,000
4,347,000
 8.5% 10/30/25 (d)
 
2,825,000
2,609,467
LBM Acquisition LLC 6.25% 1/15/29 (d)
 
2,405,000
1,682,249
Levi Strauss & Co. 3.5% 3/1/31 (d)
 
3,995,000
3,195,820
Michaels Companies, Inc.:
 
 
 
 5.25% 5/1/28 (d)
 
2,095,000
1,487,743
 7.875% 5/1/29 (d)
 
1,315,000
733,113
Nordstrom, Inc.:
 
 
 
 4.25% 8/1/31
 
3,440,000
2,497,440
 4.375% 4/1/30
 
2,295,000
1,761,413
Wolverine World Wide, Inc. 4% 8/15/29 (d)
 
4,356,000
3,441,240
 
 
 
26,003,939
Technology - 5.0%
 
 
 
Acuris Finance U.S. 5% 5/1/28 (d)
 
5,565,000
4,507,650
Athenahealth Group, Inc. 6.5% 2/15/30 (d)
 
1,080,000
842,400
Black Knight InfoServ LLC 3.625% 9/1/28 (d)
 
3,665,000
3,174,806
Clarivate Science Holdings Corp.:
 
 
 
 3.875% 7/1/28 (d)
 
1,195,000
1,024,807
 4.875% 7/1/29 (d)
 
1,210,000
1,008,838
Coherent Corp. 5% 12/15/29 (d)
 
4,115,000
3,530,176
CommScope, Inc.:
 
 
 
 4.75% 9/1/29 (d)
 
2,985,000
2,524,815
 6% 3/1/26 (d)
 
1,445,000
1,393,777
 7.125% 7/1/28 (d)
 
5,020,000
4,251,577
 8.25% 3/1/27 (d)
 
1,610,000
1,429,361
Elastic NV 4.125% 7/15/29 (d)
 
4,568,000
3,813,937
Entegris Escrow Corp.:
 
 
 
 4.75% 4/15/29 (d)
 
4,020,000
3,551,946
 5.95% 6/15/30 (d)
 
4,375,000
3,992,188
Gartner, Inc. 4.5% 7/1/28 (d)
 
3,750,000
3,475,238
ION Trading Technologies Ltd. 5.75% 5/15/28 (d)
 
5,045,000
4,010,775
MicroStrategy, Inc. 6.125% 6/15/28 (d)
 
5,400,000
4,627,098
onsemi 3.875% 9/1/28 (d)
 
305,000
268,736
Open Text Corp.:
 
 
 
 3.875% 2/15/28 (d)
 
2,350,000
2,011,459
 3.875% 12/1/29 (d)
 
905,000
717,213
Rackspace Hosting, Inc.:
 
 
 
 3.5% 2/15/28 (d)
 
2,435,000
1,607,983
 5.375% 12/1/28 (d)
 
28,245,000
11,889,450
Roblox Corp. 3.875% 5/1/30 (d)
 
3,335,000
2,751,375
Sensata Technologies BV 4% 4/15/29 (d)
 
2,060,000
1,734,932
TTM Technologies, Inc. 4% 3/1/29 (d)
 
4,365,000
3,645,381
Twilio, Inc. 3.875% 3/15/31
 
1,550,000
1,264,103
Uber Technologies, Inc. 8% 11/1/26 (d)
 
4,365,000
4,381,151
 
 
 
77,431,172
Telecommunications - 8.3%
 
 
 
Altice Financing SA:
 
 
 
 5% 1/15/28 (d)
 
3,785,000
2,992,643
 5.75% 8/15/29 (d)
 
13,520,000
10,674,547
Altice France Holding SA 6% 2/15/28 (d)
 
8,935,000
5,841,256
Altice France SA:
 
 
 
 5.125% 1/15/29 (d)
 
8,120,000
6,110,300
 5.125% 7/15/29 (d)
 
8,025,000
6,044,229
 5.5% 1/15/28 (d)
 
2,115,000
1,695,532
 5.5% 10/15/29 (d)
 
30,000
22,875
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d)
 
23,047,000
19,935,655
Cablevision Lightpath LLC:
 
 
 
 3.875% 9/15/27 (d)
 
2,555,000
2,172,349
 5.625% 9/15/28 (d)
 
4,730,000
3,760,539
Consolidated Communications, Inc. 5% 10/1/28 (d)
 
2,005,000
1,553,584
Frontier Communications Holdings LLC:
 
 
 
 5% 5/1/28 (d)
 
1,595,000
1,395,625
 5.875% 10/15/27 (d)
 
2,480,000
2,281,169
 5.875% 11/1/29
 
3,385,000
2,636,966
 6% 1/15/30 (d)
 
4,935,000
3,859,170
 8.75% 5/15/30 (d)
 
2,825,000
2,885,031
Intelsat Jackson Holdings SA 6.5% 3/15/30 (d)
 
2,815,000
2,583,494
Level 3 Financing, Inc.:
 
 
 
 3.625% 1/15/29 (d)
 
4,705,000
3,587,563
 4.25% 7/1/28 (d)
 
4,140,000
3,415,500
Lumen Technologies, Inc. 4.5% 1/15/29 (d)
 
7,070,000
4,984,014
Millicom International Cellular SA:
 
 
 
 4.5% 4/27/31 (d)
 
2,230,000
1,668,040
 5.125% 1/15/28 (d)
 
531,000
452,113
Sable International Finance Ltd. 5.75% 9/7/27 (d)
 
130,000
114,563
SBA Communications Corp. 3.125% 2/1/29
 
3,520,000
2,844,970
Telecom Italia Capital SA:
 
 
 
 6% 9/30/34
 
2,740,000
1,999,460
 7.2% 7/18/36
 
3,910,000
3,044,952
 7.721% 6/4/38
 
850,000
675,750
Uniti Group, Inc. 6% 1/15/30 (d)
 
8,570,000
5,848,426
Virgin Media Secured Finance PLC 4.5% 8/15/30 (d)
 
4,685,000
3,871,621
VMED O2 UK Financing I PLC 4.25% 1/31/31 (d)
 
4,595,000
3,656,350
Windstream Escrow LLC 7.75% 8/15/28 (d)
 
11,260,000
9,743,278
Zayo Group Holdings, Inc.:
 
 
 
 4% 3/1/27 (d)
 
3,320,000
2,564,700
 6.125% 3/1/28 (d)
 
3,695,000
2,457,175
 
 
 
127,373,439
Textiles/Apparel - 0.3%
 
 
 
Foot Locker, Inc. 4% 10/1/29 (d)
 
5,130,000
3,921,731
Kontoor Brands, Inc. 4.125% 11/15/29 (d)
 
1,230,000
986,198
 
 
 
4,907,929
Transportation Ex Air/Rail - 0.6%
 
 
 
Golar LNG Ltd. 7% 10/20/25
 
2,910,000
2,735,400
Great Lakes Dredge & Dock Corp. 5.25% 6/1/29 (d)
 
2,085,000
1,648,743
Seaspan Corp. 5.5% 8/1/29 (d)
 
6,300,000
4,852,127
 
 
 
9,236,270
Utilities - 3.1%
 
 
 
Clearway Energy Operating LLC:
 
 
 
 3.75% 2/15/31 (d)
 
2,655,000
2,216,925
 4.75% 3/15/28 (d)
 
1,280,000
1,182,332
Global Partners LP/GLP Finance Corp. 7% 8/1/27
 
2,770,000
2,633,389
InterGen NV 7% 6/30/23 (d)
 
13,335,000
13,051,631
NRG Energy, Inc.:
 
 
 
 3.375% 2/15/29 (d)
 
2,565,000
2,136,570
 3.625% 2/15/31 (d)
 
120,000
95,492
 5.25% 6/15/29 (d)
 
2,640,000
2,395,800
PG&E Corp.:
 
 
 
 5% 7/1/28
 
4,410,000
3,974,711
 5.25% 7/1/30
 
8,455,000
7,486,860
Pike Corp. 5.5% 9/1/28 (d)
 
9,140,000
7,804,463
Vistra Operations Co. LLC:
 
 
 
 5% 7/31/27 (d)
 
2,395,000
2,209,388
 5.625% 2/15/27 (d)
 
2,950,000
2,812,176
 
 
 
47,999,737
TOTAL NONCONVERTIBLE BONDS
 
 
1,237,186,191
 
TOTAL CORPORATE BONDS
  (Cost $1,533,859,060)
 
 
 
1,282,763,328
 
 
 
 
Common Stocks - 4.0%
 
 
Shares
Value ($)
 
Cable/Satellite TV - 0.1%
 
 
 
Altice U.S.A., Inc. Class A (e)
 
224,406
1,483,324
Energy - 1.7%
 
 
 
California Resources Corp. warrants 10/27/24 (e)
 
4,491
63,772
Jonah Energy Parent LLC (c)(e)
 
203,925
12,969,630
Mesquite Energy, Inc. (c)(e)
 
204,784
11,351,177
New Fortress Energy, Inc.
 
41,905
2,307,708
TOTAL ENERGY
 
 
26,692,287
Food & Drug Retail - 1.7%
 
 
 
Southeastern Grocers, Inc. (b)(c)(e)
 
1,184,833
25,627,938
Gaming - 0.3%
 
 
 
Caesars Entertainment, Inc. (e)
 
88,814
3,883,836
Telecommunications - 0.0%
 
 
 
GTT Communications, Inc. rights (c)(e)
 
366,387
366,387
Utilities - 0.2%
 
 
 
EQT Corp.
 
77,300
3,234,232
 
TOTAL COMMON STOCKS
  (Cost $54,099,325)
 
 
 
61,288,004
 
 
 
 
Bank Loan Obligations - 6.7%
 
 
Principal
Amount (a)
 
Value ($)
 
Broadcasting - 0.4%
 
 
 
Diamond Sports Group LLC:
 
 
 
 1LN, term loan CME Term SOFR 1 Month Index + 8.000% 11.208% 5/25/26 (f)(g)(h)
 
4,602,224
4,410,449
 2LN, term loan CME Term SOFR 1 Month Index + 3.250% 6.458% 8/24/26 (f)(g)(h)
 
7,341,306
1,424,213
TOTAL BROADCASTING
 
 
5,834,662
Building Materials - 0.2%
 
 
 
Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 7.3247% 5/17/28 (f)(g)(h)
 
4,635,352
3,214,802
Chemicals - 0.6%
 
 
 
Consolidated Energy Finance SA Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.3633% 5/7/25 (c)(f)(g)(h)
 
5,119,400
4,863,430
Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 1 Month Index + 4.370% 7.9683% 10/4/29 (f)(g)(h)
 
2,580,000
2,353,605
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.4375% 11/9/28 (f)(g)(h)
 
2,700,632
2,454,686
TOTAL CHEMICALS
 
 
9,671,721
Energy - 0.6%
 
 
 
EG America LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 7.6741% 2/6/25 (f)(g)(h)
 
5,764,715
5,215,626
EG Finco Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 7.6741% 2/6/25 (f)(g)(h)
 
3,956,451
3,579,599
Mesquite Energy, Inc.:
 
 
 
 1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (c)(g)(h)(i)
 
3,800,000
0
 term loan 3 month U.S. LIBOR + 0.000% 0% (c)(g)(h)(i)
 
1,620,000
0
TOTAL ENERGY
 
 
8,795,225
Healthcare - 0.0%
 
 
 
Da Vinci Purchaser Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.7041% 12/13/26 (f)(g)(h)
 
242,519
229,333
Gainwell Acquisition Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.6741% 10/1/27 (f)(g)(h)
 
711,380
674,623
TOTAL HEALTHCARE
 
 
903,956
Insurance - 0.4%
 
 
 
HUB International Ltd. Tranche B, term loan 1 month U.S. LIBOR + 3.000% 7.326% 4/25/25 (f)(g)(h)
 
7,009,338
6,865,507
Leisure - 0.8%
 
 
 
City Football Group Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.484% 7/21/28 (f)(g)(h)
 
13,163,274
12,208,936
Paper - 0.2%
 
 
 
Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.170% 8.0037% 4/13/29 (f)(g)(h)
 
3,142,125
3,022,096
Services - 0.9%
 
 
 
Ascend Learning LLC:
 
 
 
 2LN, term loan 1 month U.S. LIBOR + 5.750% 9.5039% 12/10/29 (f)(g)(h)
 
425,000
359,656
 Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.2539% 12/10/28 (f)(g)(h)
 
4,725,457
4,325,116
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 8.493% 6/21/24 (f)(g)(h)
 
5,384,201
4,647,266
Spin Holdco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.1441% 3/4/28 (f)(g)(h)
 
4,655,000
4,086,718
TOTAL SERVICES
 
 
13,418,756
Super Retail - 0.6%
 
 
 
Bass Pro Group LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.5039% 3/5/28 (f)(g)(h)
 
3,044,623
2,860,423
LBM Acquisition LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.1207% 12/18/27 (f)(g)(h)
 
7,423,090
6,333,752
TOTAL SUPER RETAIL
 
 
9,194,175
Technology - 0.9%
 
 
 
Athenahealth Group, Inc.:
 
 
 
 Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 6.9671% 2/15/29 (f)(g)(h)
 
8,175,380
7,453,249
 Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 2/15/29 (g)(h)(j)
 
1,389,130
1,266,429
Central Parent, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 8.1123% 7/6/29 (f)(g)(h)
 
880,000
860,385
CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 7.0039% 4/4/26 (f)(g)(h)
 
3,401,675
3,235,843
Verscend Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.7539% 8/27/25 (f)(g)(h)
 
1,221,261
1,204,469
TOTAL TECHNOLOGY
 
 
14,020,375
Telecommunications - 0.6%
 
 
 
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 10% 5/31/25 (f)(g)(h)
 
13,526,933
9,314,781
Utilities - 0.5%
 
 
 
Brookfield WEC Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 7.4787% 8/1/25 (f)(g)(h)
 
2,040,000
2,023,741
PG&E Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.8125% 6/23/25 (f)(g)(h)
 
5,434,890
5,338,420
TOTAL UTILITIES
 
 
7,362,161
 
TOTAL BANK LOAN OBLIGATIONS
  (Cost $114,821,272)
 
 
 
103,827,153
 
 
 
 
Other - 0.5%
 
 
Shares
Value ($)
 
Other - 0.5%
 
 
 
Fidelity Direct Lending Fund, LP (b)(k)
  (Cost $8,478,269)
 
 
8,383,145
 
 
 
 
Money Market Funds - 4.1%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 3.10% (l)
 
  (Cost $62,513,387)
 
 
62,500,886
62,513,387
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 98.3%
  (Cost $1,773,771,313)
 
 
 
1,518,775,017
NET OTHER ASSETS (LIABILITIES) - 1.7%  
26,316,412
NET ASSETS - 100.0%
1,545,091,429
 
 
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues).  At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $60,061,784 or 3.9% of net assets.
 
(c)
Level 3 security
 
(d)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,056,190,508 or 68.4% of net assets.
 
(e)
Non-income producing
 
(f)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(g)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(h)
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.
 
(i)
Non-income producing - Security is in default.
 
(j)
Position or a portion of the position represents an unfunded loan commitment.  At period end, the total principal amount and market value of unfunded commitments totaled $1,389,130 and $1,266,429, respectively.
 
(k)
Affiliated Fund
 
(l)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
 
 
Additional information on each restricted holding is as follows:
Security
Acquisition Date
Acquisition Cost ($)
 
Fidelity Direct Lending Fund, LP
12/09/21 - 10/31/22
8,478,269
 
 
 
Mesquite Energy, Inc. 15% 7/15/23
6/25/21 - 4/01/22
6,243,973
 
 
 
Mesquite Energy, Inc. 15% 7/15/23
6/25/21 - 4/01/22
9,777,984
 
 
 
Southeastern Grocers, Inc.
6/25/21 - 4/01/22
22,540,546
 
 
 
 
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
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 3.10%
119,265,405
525,332,303
582,084,321
866,897
-
-
62,513,387
0.1%
Fidelity Securities Lending Cash Central Fund 3.10%
63,228,550
29,854,703
93,083,253
50,159
-
-
-
0.0%
Total
182,493,955
555,187,006
675,167,574
917,056
-
-
62,513,387
 
 
 
 
 
 
 
 
 
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
Fidelity Direct Lending Fund, LP
5,437,758
3,045,619
-
302,288
-
(100,232)
8,383,145
 
5,437,758
3,045,619
-
302,288
-
(100,232)
8,383,145
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of October 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
 
Amounts in this Investment Valuation section exclude the value of Fidelity Direct Lending Fund, LP as presented in the Schedule of Investments. Fidelity Direct Lending Fund, LP is valued using NAV as a practical expedient.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
  Investments in Securities:
 
 
 
 
 Equities:
 
 
 
 
Communication Services
1,483,324
1,483,324
-
-
Consumer Discretionary
3,883,836
3,883,836
-
-
Consumer Staples
25,627,938
-
-
25,627,938
Energy
29,926,519
5,605,712
-
24,320,807
Information Technology
366,387
-
-
366,387
 Corporate Bonds
1,282,763,328
-
1,256,712,627
26,050,701
 Bank Loan Obligations
103,827,153
-
98,963,723
4,863,430
  Money Market Funds
62,513,387
62,513,387
-
-
 Total Investments in Securities:
1,510,391,872
73,486,259
1,355,676,350
81,229,263
 
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:
 
 
Investments in Securities:
 
Consumer Staples
 
 
 
  Beginning Balance
$
27,867,272
 
  Net Realized Gain (Loss) on Investment Securities
 
-
 
  Net Unrealized Gain (Loss) on Investment Securities
 
(2,239,334)
 
  Cost of Purchases
 
-
 
  Proceeds of Sales
 
-
 
  Amortization/Accretion
 
-
 
  Transfers into Level 3
 
-
 
  Transfers out of Level 3
 
-
 
  Ending Balance
$
25,627,938
 
  The change in unrealized gain (loss) for the period attributable to Level 3 securities held at October 31, 2022
$
(2,239,334)
 
Energy
 
 
 
  Beginning Balance
$
25,169,419
 
  Net Realized Gain (Loss) on Investment Securities
 
-
 
  Net Unrealized Gain (Loss) on Investment Securities
 
(848,612)
 
  Cost of Purchases
 
-
 
  Proceeds of Sales
 
-
 
  Amortization/Accretion
 
-
 
  Transfers into Level 3
 
-
 
  Transfers out of Level 3
 
-
 
  Ending Balance
$
24,320,807
 
  The change in unrealized gain (loss) for the period attributable to Level 3 securities held at October 31, 2022
$
(848,612)
 
Corporate Bonds
 
 
 
  Beginning Balance
$
21,256,578
 
  Net Realized Gain (Loss) on Investment Securities
 
-
 
  Net Unrealized Gain (Loss) on Investment Securities
 
4,794,123
 
  Cost of Purchases
 
-
 
  Proceeds of Sales
 
-
 
  Amortization/Accretion
 
-
 
  Transfers into Level 3
 
-
 
  Transfers out of Level 3
 
-
 
  Ending Balance
$
26,050,701
 
  The change in unrealized gain (loss) for the period attributable to Level 3 securities held at October 31, 2022
$
4,794,123
 
Other Investments in Securities
 
 
 
  Beginning Balance
$
5,724,228
 
  Net Realized Gain (Loss) on Investment Securities
 
(12,299)
 
  Net Unrealized Gain (Loss) on Investment Securities
 
(158,784)
 
  Cost of Purchases
 
7,000
 
  Proceeds of Sales
 
(350,042)
 
  Amortization/Accretion
 
19,714
 
  Transfers into Level 3
 
-
 
  Transfers out of Level 3
 
-
 
  Ending Balance
$
5,229,817
 
  The change in unrealized gain (loss) for the period attributable to Level 3 securities held at October 31, 2022
$
(158,784)
 
 
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Cost of purchases and proceeds of sales may include securities received and/or delivered through in-kind transactions. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations.
 
 
Financial Statements   (Unaudited)
Statement of Assets and Liabilities
 
 
 
October 31, 2022
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $1,702,779,657)
 
$1,447,878,485
 
 
Fidelity Central Funds (cost $62,513,387)
 
62,513,387
 
 
Other affiliated issuers (cost $8,478,269)
 
8,383,145
 
 
 
 
 
 
 
Total Investment in Securities (cost $1,773,771,313)
 
 
$
1,518,775,017
Cash
 
 
 
46,664
Receivable for investments sold
 
 
 
11,959,102
Receivable for fund shares sold
 
 
 
1,213,727
Dividends receivable
 
 
 
83,716
Interest receivable
 
 
 
22,391,099
Distributions receivable from Fidelity Central Funds
 
 
 
139,278
Prepaid expenses
 
 
 
2,553
  Total assets
 
 
 
1,554,611,156
Liabilities
 
 
 
 
Payable for investments purchased
 
$8,218,359
 
 
Payable for fund shares redeemed
 
553,130
 
 
Distributions payable
 
12,298
 
 
Accrued management fee
 
694,834
 
 
Other payables and accrued expenses
 
41,106
 
 
  Total Liabilities
 
 
 
9,519,727
Net Assets  
 
 
$
1,545,091,429
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
1,964,017,647
Total accumulated earnings (loss)
 
 
 
(418,926,218)
Net Assets
 
 
$
1,545,091,429
Net Asset Value , offering price and redemption price per share ($1,545,091,429 ÷ 181,381,457 shares)
 
 
$
8.52
 
 
 
 
 
Statement of Operations
 
 
 
Six months ended
October 31, 2022
(Unaudited)
Investment Income
 
 
 
 
Dividends (including $302,288 earned from affiliated issuers)
 
 
$
7,158,579
Interest  
 
 
46,814,425
Income from Fidelity Central Funds (including $50,159 from security lending)
 
 
 
917,056
 Total Income
 
 
 
54,890,060
Expenses
 
 
 
 
Management fee
$
4,898,755
 
 
Custodian fees and expenses
 
8,978
 
 
Independent trustees' fees and expenses
 
3,302
 
 
Registration fees
 
39,851
 
 
Audit
 
45,114
 
 
Legal
 
476,098
 
 
Miscellaneous
 
8,304
 
 
 Total expenses before reductions
 
5,480,402
 
 
 Expense reductions
 
(19,454)
 
 
 Total expenses after reductions
 
 
 
5,460,948
Net Investment income (loss)
 
 
 
49,429,112
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
(111,628,260)
 
 
Total net realized gain (loss)
 
 
 
(111,628,260)
Change in net unrealized appreciation (depreciation) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers
 
(43,944,537)
 
 
   Affiliated issuers
 
(100,232)
 
 
 Assets and liabilities in foreign currencies
 
1
 
 
Total change in net unrealized appreciation (depreciation)
 
 
 
(44,044,768)
Net gain (loss)
 
 
 
(155,673,028)
Net increase (decrease) in net assets resulting from operations
 
 
$
(106,243,916)
Statement of Changes in Net Assets
 
 
Six months ended
October 31, 2022
(Unaudited)
 
For the period May 13, 2021 (commencement of operations) through April 30, 2022
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
49,429,112
$
111,531,249
Net realized gain (loss)
 
(111,628,260)
 
 
(57,116,764)
 
Change in net unrealized appreciation (depreciation)
 
(44,044,768)
 
(210,951,527)
 
Net increase (decrease) in net assets resulting from operations
 
(106,243,916)
 
 
(156,537,042)
 
Distributions to shareholders
 
(43,439,102)
 
 
(112,706,158)
 
Share transactions
 
 
 
 
Proceeds from sales of shares
 
176,643,835
 
5,413,238,176
  Reinvestment of distributions
 
43,358,542
 
 
112,444,143
 
Cost of shares redeemed
 
(1,006,593,339)
 
(2,775,073,710)
  Net increase (decrease) in net assets resulting from share transactions
 
(786,590,962)
 
 
2,750,608,609
 
Total increase (decrease) in net assets
 
(936,273,980)
 
 
2,481,365,409
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
2,481,365,409
 
-
 
End of period
$
1,545,091,429
$
2,481,365,409
 
 
 
 
 
Other Information
 
 
 
 
Shares
 
 
 
 
Sold
 
20,196,413
 
543,016,881
  Issued in reinvestment of distributions
 
4,997,877
 
 
11,438,350
 
Redeemed
 
(114,892,062)
 
(283,376,002)
Net increase (decrease)
 
(89,697,772)
 
271,079,229
 
 
 
 
 
 
 
Financial Highlights
Fidelity® SAI High Income Fund
 
 
Six months ended
(Unaudited) October 31, 2022  
 
Years ended April 30, 2022   A
  Selected Per-Share Data  
 
 
 
 
  Net asset value, beginning of period
$
9.15
$
10.00
  Income from Investment Operations
 
 
 
 
     Net investment income (loss) B,C
 
.242
 
.388
     Net realized and unrealized gain (loss)
 
(.659)
 
(.879)
  Total from investment operations
 
(.417)  
 
(.491)  
  Distributions from net investment income
 
(.213)
 
(.345)
  Distributions from net realized gain
 
-
 
(.014)
     Total distributions
 
(.213)
 
(.359)
  Net asset value, end of period
$
8.52
$
9.15
 Total Return   D,E
 
(4.57)%
 
(5.10)%
 Ratios to Average Net Assets C,F,G
 
 
 
 
    Expenses before reductions
 
.61% H
 
.60% H
    Expenses net of fee waivers, if any
 
.61% H
 
.60% H
    Expenses net of all reductions
 
.61% H
 
.60% H
    Net investment income (loss)
 
5.48% H
 
4.06% H
 Supplemental Data
 
 
 
 
    Net assets, end of period (000 omitted)
$
1,545,091
$
2,481,365
    Portfolio turnover rate I
 
15% H
 
59% H,J
 
A For the period May 13, 2021 (commencement of operations) through April 30, 2022.
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. For additional expense information related to investments in Fidelity Direct Lending Fund, LP, please refer to the Investment in Fidelity Direct Lending Fund, LP note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
H Annualized.
 
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
J Portfolio turnover rate excludes securities received or delivered in-kind.
 
For the period ended October 31, 2022
 
1. Organization.
Fidelity SAI High Income Fund (the Fund) is a fund of Fidelity Summer Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense Ratio A
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
 
A   Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Investment in Fidelity Direct Lending Fund, LP.
The Fund invests in Fidelity Direct Lending Fund, LP, which is a limited partnership available only to certain investment companies managed by the investment adviser and its affiliates. The Fund's limited partnership interest is not registered under the Securities Act of 1933, and is subject to substantial restrictions on transfer. The Fund has no redemption rights under the partnership agreement. There will be no trading market for the partnership interest, and the Fund most likely will hold its interest until Fidelity Direct Lending Fund, LP converts by operation of law to a Delaware corporation, trust, or other limited liability entity and (i) registers as a closed-end management investment company under the 1940 Act or (ii) elects to be treated as a business development company under the 1940 Act.
 
Based on its investment objective, Fidelity Direct Lending Fund, LP may invest or participate in various investments or strategies that are similar to those in which the Fund may invest or participate. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of Fidelity Direct Lending Fund, LP and thus a decline in the value of the Fund. The Fidelity Direct Lending Fund, LP intends to invest primarily in direct loans made to private U.S. companies, specifically small- and middle-market companies.
 
The Schedule of Investments lists Fidelity Direct Lending Fund, LP as an investment as of period end, but does not include the underlying holdings of Fidelity Direct Lending Fund, LP. Fidelity Direct Lending Fund, LP represented less than 5% of the Fund's net assets at period end. The Fund indirectly bears its proportionate share of the expenses of Fidelity Direct Lending Fund, LP, which commenced operations on December 8, 2021. The annualized expense ratio for Fidelity Direct Lending Fund, LP for the period ended April 30, 2022 was .07%.
4. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies . The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. 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 Fund categorizes the inputs to valuation techniques used to value its investments 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 the Fund's investments by major category are as follows:
 
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds and bank loan obligations 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. 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. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
 
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 foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, 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. Securities, including private placements or other restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach, the income approach and cost approach, and are categorized as Level 3 in the hierarchy. The market approach considers factors including the price of recent investments in the same or a similar security or financial metrics of comparable securities. The income approach considers factors including expected future cash flows, security specific risks and corresponding discount rates. The cost approach considers factors including the value of the security's underlying assets and liabilities.
 
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
Fidelity Direct Lending Fund, LP is valued using NAV as a practical expedient in accordance with the specialized accounting guidance for investment companies.
 
The following provides information on Level 3 securities held by the Fund that were valued at period end based on unobservable inputs. These amounts exclude valuations provided by a broker   and valuations using NAV as a practical expedient.
Asset Type
Fair Value
Valuation Technique(s)
Unobservable Input
Amount or Range/Weighted Average
Impact to Valuation from an Increase in Input A
Equities
$50,315,132
Recovery value
Recovery value
$1.00
Increase
 
 
Market comparable
Enterprise value/EBITDA multiple (EV/EBITDA)
2.8-3.9/3.5
Increase
 
 
 
Daily production multiple ($/Million cubic feet per day)
$22,500.00
Increase
 
 
 
Enterprise Value/PV-10 multiple (EV/PV-10)
0.8
Increase
 
 
 
Enterprise Value/Proved Reserves multiple
5.9
Increase
 
 
Discounted cash flow
Discount rate
10.0%
Decrease
 
 
 
Reverse risk rate
50.0%-95.0%/72.5%
Increase
Corporate Bonds
$26,050,701
Market comparable
Enterprise value/EBITDA multiple (EV/EBITDA)
2.8
Increase
 
 
 
Daily production multiple ($/Million cubic feet per day)
$22,500.00
Increase
 
 
 
Enterprise Value/PV-10 multiple (EV/PV-10)
0.8
Increase
 
 
 
Enterprise Value/Proved Reserves multiple
5.9
Increase
 
 
Discounted cash flow
Discount rate
10.0%
Decrease
 
 
 
Reserve risk rate
50.0%-95.0%/72.5%
Increase
Bank Loan Obligations
$4,863,430
Recovery value
Recovery Value
$0.00
Increase
 
 
Indicative market price
Evaluated bid
$95.00
Increase
A   Represents the directional change in the fair value of the Level 3 investments that could have resulted from an increase in the corresponding input as of period end. A decrease to the unobservable input would have had the opposite effect. Significant changes in these inputs may have resulted in a significantly higher or lower fair value measurement at period end.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of October 31, 2022, as well as a roll forward of Level 3 investments, is included at the end of the Fund's Schedule of Investments.
 
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
 
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
 
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
 
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
 
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.   Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
 
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
 
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
 
Book-tax differences are primarily due to market discount and losses deferred due to wash sales and excise tax regulations.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
 
Gross unrealized appreciation
$22,932,905
Gross unrealized depreciation
(273,933,326)
Net unrealized appreciation (depreciation)
$(251,000,421)
Tax cost
$1,769,775,438
The Fund elected to defer to its next fiscal year approximately $61,630,581 of capital losses recognized during the period November 1, 2021 to April 30, 2022.
 
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
 
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.
 
Commitments. A commitment is an agreement to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. The amount of commitments outstanding at period end are presented in the table below. These commitments are not included in the net assets of the Fund at period end.
 
 
Investment to be Acquired
Commitment Amount
Fidelity SAI High Income Fund
Fidelity Direct Lending Fund, LP
$11,521,731
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
 
 
Purchases ($)
Sales ($)
Fidelity SAI High Income Fund
124,321,400
851,609,155
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .54% of the Fund's average net assets.
 
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
 
 
Amount
Fidelity SAI High Income Fund
$55
 
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
 
 
Purchases ($)
Sales ($)
Realized Gain (Loss) ($)
Fidelity SAI High Income Fund
-
1,406,756
60,742
 
Prior Fiscal Year Affiliated Exchanges In-Kind. Shares that were exchanged for investments, including accrued interest and cash, if any, are shown in the table below. The amount of in-kind exchanges is included in share transactions in the accompanying Statement of Changes in Net Assets.
 
 
Shares
Total Proceeds
($)
Fidelity SAI High Income Fund
418,596,053
4,188,784,329
 
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
 
 
 
Amount
Fidelity SAI High Income Fund
$1,741
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income 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. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
 
 
Total Security Lending Fees Paid to NFS
Security Lending Income From Securities Loaned to NFS
Value of Securities Loaned to NFS at Period End
Fidelity SAI High Income Fund
$4,985
$-
$-
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $1,649.
 
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $17,805.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
 
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
 
 
Strategic Advisers Fidelity Core Income Fund
Fidelity SAI High Income Fund
24%
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer.
 
 
 
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2022 to October 31, 2022).
 
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
 
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
 
 
 
Annualized Expense Ratio- A
 
Beginning Account Value May 1, 2022
 
Ending Account Value October 31, 2022
 
Expenses Paid During Period- C May 1, 2022 to October 31, 2022
 
 
 
 
 
 
 
 
 
 
Fidelity® SAI High Income Fund
 
 
 
.61%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 954.30
 
$ 3.00
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,022.13
 
$ 3.11
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
 
 
 
 
Fidelity SAI High Income Fund
 
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
 
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees (Committees), each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.
 
At its May 2022 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
 
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.  
 
Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.
 
Resources Dedicated to Investment Management and Support Services . The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to expansion of Fidelity's global investment organization, and that Fidelity's analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties, and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.
 
Shareholder and Administrative Services . The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.
 
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials, and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.
 
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain target date funds and classes and index funds; (vii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (viii) rationalizing product lines and gaining increased efficiencies from fund mergers and liquidations; (ix) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (x) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.
 
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. As the fund recently commenced operations, the Board did not believe that it was appropriate to assign significant weight to its investment performance.
 
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
 
Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.
 
Management Fee. The Board considered two proprietary management fee comparisons for the  period of the fund's operations ended September 30, 2021 shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group is broader than the Lipper peer group used by the Board for performance comparisons because the Total Mapped Group combines several Lipper investment objective categories while the Lipper peer group does not. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Sized Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.
 
Fidelity SAI High Income Fund
 
The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ending September 30, 2021.  
 
The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.
 
Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.
 
Total Expense Ratio . In its review of the fund's total expense ratio, the Board considered the fund's management fee rate as well as other fund expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure. The Board also considered a total expense ASPG comparison for the fund, which focuses on the total expenses of the fund relative to a subset of non-Fidelity funds within the total expense similar sales load structure group. The total expense ASPG is limited to 15 larger and 15 smaller classes in fund average assets for a total of 30 classes, where possible. The total expense ASPG comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.
 
The Board noted that the total net expense ratio of the fund ranked below the similar sales load structure group competitive median and above the ASPG competitive median for the 12-month period ended September 30, 2021. The Board considered that, in general, various factors can affect total expense ratios. The fund's mapped group is dominated by domestic high income funds, while the fund has a global high yield objective. When the fund is compared to an ASPG of funds with a similar global high yield objective, the fund is below the ASPG median.
 
Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.
 
Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
 
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
 
On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies and the full Board approves such changes.
 
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
 
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.
 
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profit was not excessive.
 
Economies of Scale . The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.
 
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total "group assets" increase, and for higher group fee rates as total "group assets" decrease ("group assets" as defined in the management contract). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board further considered that Fidelity agreed to impose a temporary fee waiver in the form of additional breakpoints to the current breakpoint schedule. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as "group assets" increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
 
The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.
 
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) fund flow and performance trends, in particular the underperformance of certain funds and strategies, and Fidelity's long-term strategies for certain funds, including any consideration of fund liquidations or mergers; (ii) the operation  of performance fees, competitor use of performance fees, and consideration of the expansion of performance fees to additional funds; (iii) Fidelity's pricing philosophy compared to competitors; (iv) fund profitability methodology and data; (v) evaluation of competitive fund data and peer group classifications and fee and expense comparisons; (vi) the management fee and expense structures for different funds and classes and information about the differences between various fee and expense structures; (vii) group fee breakpoints and related voluntary fee waivers; and (viii) information regarding other accounts managed by Fidelity and the funds' sub-advisory arrangements.
 
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable and that the fund's Advisory Contracts should be renewed.
 
1.9901442.101
SAH-SANN-1222

Item 2.

Code of Ethics


Not applicable.

 

Item 3.

Audit Committee Financial Expert


Not applicable.


Item 4.

Principal Accountant Fees and Services


Not applicable.


Item 5.

Audit Committee of Listed Registrants


Not applicable.


Item 6.  

Investments


(a)

Not applicable.


(b)

Not applicable


Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies


Not applicable.


Item 8.

Portfolio Managers of Closed-End Management Investment Companies


Not applicable.


Item 9.  

Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers


Not applicable.


Item 10.

Submission of Matters to a Vote of Security Holders


There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Summer Street Trusts Board of Trustees.


Item 11.

Controls and Procedures


(a)(i)  The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Summer Street Trusts (the Trust) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable



assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.


(a)(ii)  There was no change in the Trusts internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trusts internal control over financial reporting.


Item 12.

Disclosure of Securities Lending Activities for Closed-End Management

Investment Companies


Not applicable.



Item 13.

Exhibits


(a)

(1)

Not applicable.

(a)

(2)

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

(a)

(3)

Not applicable.

(b)


Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.




SIGNATURES


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Fidelity Summer Street Trust



By:

/s/Stacie M. Smith


Stacie M. Smith


President and Treasurer



Date:

December 21, 2022


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.



By:

/s/Stacie M. Smith


Stacie M. Smith


President and Treasurer



Date:

December 21, 2022



By:

/s/John J. Burke III


John J. Burke III


Chief Financial Officer



Date:

December 21, 2022

 






EX-99.CERT 2 ex99cert.htm EX99CERT.HTM Form of Certification required from Principal Executive Officer and Principal Financial Officer in connection with each Form N

                                                       Exhibit EX-99.CERT

     

I, Stacie M. Smith, certify that:



1.

I have reviewed this report on Form N-CSR of Fidelity Summer Street Trust;

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.

The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c.

Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d.

Disclosed in this report any change in the registrant s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant s internal control over financial reporting; and





5.

The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.



Date:

 December 21, 2022

/s/Stacie M. Smith

Stacie M. Smith

President and Treasurer









I, John J. Burke III, certify that:

1.

I have reviewed this report on Form N-CSR of Fidelity Summer Street Trust;

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.

The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c.

Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d.

Disclosed in this report any change in the registrant s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant s internal control over financial reporting; and

5.

The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):





a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.



Date:

December 21, 2022

/s/John J. Burke III

John J. Burke III

Chief Financial Officer















EX-99.906 CERT 3 ex99906cert.htm EX99906CERT.HTM Exhibit 99

Exhibit EX-99.906CERT





Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)



In connection with the attached Report of Fidelity Summer Street Trust (the Trust ) on Form N-CSR to be filed with the Securities and Exchange Commission (the Report ), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer s knowledge:



1.

The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.



Dated: December 21, 2022





/s/Stacie M. Smith

Stacie M. Smith

President and Treasurer





 

Dated: December 21, 2022





/s/John J. Burke III

John J. Burke III

Chief Financial Officer







A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.







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