NPORT-EX 2 QTLY_38_20210731.htm US_QtlyFinancialStatementsCoverMaster
Quarterly Holdings Report
for
Fidelity® Capital & Income Fund
July 31, 2021
CAI-NPRT1-0921
1.804853.117
 
Corporate Bonds - 60.9%
 
  
Principal
Amount (a)
(000s)
 
Value ($)
(000s)
 
Convertible Bonds - 0.2%
 
  
  
Energy - 0.2%
  
  
  
Forum Energy Technologies, Inc. 9% 8/4/25
 
2,660
2,644
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
  
3,997
13,349
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
  
2,316
8,545
 
  
  
24,538
Nonconvertible Bonds - 60.7%
 
  
  
Aerospace - 3.3%
  
  
  
Bombardier, Inc.:
  
  
  
 7.125% 6/15/26 (d)
  
12,110
12,564
 7.5% 12/1/24 (d)
  
8,870
9,214
 7.5% 3/15/25 (d)
  
14,145
14,412
 7.875% 4/15/27 (d)
  
45,265
46,907
Kaiser Aluminum Corp. 4.625% 3/1/28 (d)
  
11,215
11,708
Moog, Inc. 4.25% 12/15/27 (d)
  
3,455
3,563
Rolls-Royce PLC 5.75% 10/15/27 (d)
  
10,870
11,862
Spirit Aerosystems, Inc. 7.5% 4/15/25 (d)
  
15,000
15,900
TransDigm UK Holdings PLC 6.875% 5/15/26
 
35,725
37,672
TransDigm, Inc.:
  
  
  
 4.625% 1/15/29 (d)
  
38,080
37,985
 4.875% 5/1/29 (d)
  
25,000
25,040
 5.5% 11/15/27
 
124,228
128,265
 6.25% 3/15/26 (d)
  
17,925
18,799
 6.375% 6/15/26
 
61,985
64,077
 7.5% 3/15/27
 
18,012
19,080
Wolverine Escrow LLC:
  
  
  
 8.5% 11/15/24 (d)
  
21,458
20,833
 9% 11/15/26 (d)
  
22,681
21,885
 
  
  
499,766
Air Transportation - 1.5%
  
  
  
Air Canada 3.875% 8/15/26 (d)(e)
  
9,105
9,127
Delta Air Lines, Inc. 7% 5/1/25 (d)
  
2,708
3,185
Delta Air Lines, Inc. / SkyMiles IP Ltd.:
  
  
  
 4.5% 10/20/25 (d)
  
48,285
51,906
 4.75% 10/20/28 (d)
  
39,880
44,581
Hawaiian Airlines pass-thru certificates Series 2013-1 Class B, 4.95% 7/15/23
 
1,912
1,909
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. 5.75% 1/20/26 (d)
  
22,205
23,276
Mileage Plus Holdings LLC 6.5% 6/20/27 (d)
  
34,530
37,595
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. 8% 9/20/25 (d)
  
7,779
8,732
United Airlines, Inc.:
  
  
  
 4.375% 4/15/26 (d)
  
30,025
30,892
 4.625% 4/15/29 (d)
  
18,025
18,543
 
  
  
229,746
Automotive - 0.1%
  
  
  
Ford Motor Credit Co. LLC 3.625% 6/17/31
 
15,745
16,316
Automotive & Auto Parts - 1.0%
  
  
  
Allison Transmission, Inc. 5.875% 6/1/29 (d)
  
7,960
8,694
Dana, Inc. 4.25% 9/1/30
 
8,870
9,217
Exide Technologies:
  
  
  
 11% 10/31/24 pay-in-kind (c)(d)(f)(g)
  
1,760
0
 11% 10/31/24 pay-in-kind (c)(d)(f)(g)
  
891
401
Ford Motor Co. 7.45% 7/16/31
 
1,215
1,608
Ford Motor Credit Co. LLC:
  
  
  
 3.375% 11/13/25
 
26,505
27,671
 4% 11/13/30
 
42,253
44,683
 5.113% 5/3/29
 
10,330
11,696
LCM Investments Holdings 4.875% 5/1/29 (d)
  
17,650
18,062
McLaren Finance PLC 7.5% 8/1/26 (d)(e)
  
8,290
8,414
Nesco Holdings II, Inc. 5.5% 4/15/29 (d)
  
14,525
14,989
 
  
  
145,435
Banks & Thrifts - 2.3%
  
  
  
Ally Financial, Inc.:
  
  
  
 8% 11/1/31
 
20,638
29,471
 8% 11/1/31
 
206,609
300,479
CQP Holdco LP / BIP-V Chinook Holdco LLC 5.5% 6/15/31 (d)
  
15,120
15,687
 
  
  
345,637
Broadcasting - 1.6%
  
  
  
Clear Channel Outdoor Holdings, Inc. 7.5% 6/1/29 (d)
  
12,070
12,529
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d)
  
46,565
27,008
Lions Gate Capital Holdings LLC 5.5% 4/15/29 (d)
  
8,990
9,203
Netflix, Inc.:
  
  
  
 4.875% 4/15/28
 
19,535
22,856
 5.375% 11/15/29 (d)
  
11,075
13,664
 5.875% 11/15/28
 
29,825
37,058
Nexstar Broadcasting, Inc.:
  
  
  
 4.75% 11/1/28 (d)
  
22,300
22,997
 5.625% 7/15/27 (d)
  
23,735
25,093
Scripps Escrow II, Inc. 3.875% 1/15/29 (d)
  
2,820
2,821
Sirius XM Radio, Inc.:
  
  
  
 4% 7/15/28 (d)
  
23,630
24,378
 5% 8/1/27 (d)
  
14,525
15,179
 5.375% 7/15/26 (d)
  
11,315
11,683
Townsquare Media, Inc. 6.875% 2/1/26 (d)
  
5,645
6,019
Univision Communications, Inc. 4.5% 5/1/29 (d)
  
12,060
12,089
 
  
  
242,577
Building Materials - 0.5%
  
  
  
Advanced Drain Systems, Inc. 5% 9/30/27 (d)
  
2,325
2,427
Brundage-Bone Concrete Pumping Holdings, Inc. 6% 2/1/26 (d)
  
6,555
6,850
CP Atlas Buyer, Inc. 7% 12/1/28 (d)
  
5,480
5,656
James Hardie International Finance Ltd. 5% 1/15/28 (d)
  
4,136
4,385
SRS Distribution, Inc.:
  
  
  
 4.625% 7/1/28 (d)
  
11,605
11,837
 6.125% 7/1/29 (d)
  
6,380
6,521
Summit Materials LLC/Summit Materials Finance Corp.:
  
  
  
 5.125% 6/1/25 (d)
  
5,095
5,144
 5.25% 1/15/29 (d)
  
10,525
11,170
U.S. Concrete, Inc. 5.125% 3/1/29 (d)
  
8,350
9,122
Victors Merger Corp. 6.375% 5/15/29 (d)
  
12,060
12,120
 
  
  
75,232
Cable/Satellite TV - 5.0%
  
  
  
Block Communications, Inc. 4.875% 3/1/28 (d)
  
7,830
7,928
CCO Holdings LLC/CCO Holdings Capital Corp.:
  
  
  
 4.25% 2/1/31 (d)
  
16,515
17,040
 4.5% 8/15/30 (d)
  
21,660
22,743
 4.5% 5/1/32
 
46,575
48,729
 4.75% 3/1/30 (d)
  
63,365
67,164
 5% 2/1/28 (d)
  
91,490
95,927
 5.125% 5/1/27 (d)
  
69,885
73,117
 5.375% 6/1/29 (d)
  
18,080
19,678
 5.5% 5/1/26 (d)
  
17,605
18,199
 5.75% 2/15/26 (d)
  
10,126
10,470
CSC Holdings LLC:
  
  
  
 3.375% 2/15/31 (d)
  
14,140
13,433
 4.5% 11/15/31 (d)
  
30,110
30,336
 4.625% 12/1/30 (d)
  
32,440
31,953
 5% 11/15/31 (d)
  
9,035
9,095
 5.375% 2/1/28 (d)
  
23,655
24,987
 5.75% 1/15/30 (d)
  
129,430
134,891
 6.5% 2/1/29 (d)
  
24,795
27,347
 7.5% 4/1/28 (d)
  
14,375
15,678
Dolya Holdco 18 DAC 5% 7/15/28 (d)
  
6,600
6,719
Radiate Holdco LLC/Radiate Financial Service Ltd.:
  
  
  
 4.5% 9/15/26 (d)
  
8,350
8,642
 6.5% 9/15/28 (d)
  
22,260
23,132
Virgin Media Finance PLC 5% 7/15/30 (d)
  
12,789
13,013
Ziggo Bond Co. BV:
  
  
  
 5.125% 2/28/30 (d)
  
6,000
6,165
 6% 1/15/27 (d)
  
11,435
11,865
Ziggo BV:
  
  
  
 4.875% 1/15/30 (d)
  
7,990
8,242
 5.5% 1/15/27 (d)
  
18,188
18,874
 
  
  
765,367
Capital Goods - 0.1%
  
  
  
ATS Automation Tooling System, Inc. 4.125% 12/15/28 (d)
  
7,895
8,033
Stevens Holding Co., Inc. 6.125% 10/1/26 (d)
  
3,245
3,480
 
  
  
11,513
Chemicals - 2.9%
  
  
  
CF Industries Holdings, Inc.:
  
  
  
 4.95% 6/1/43
 
59,882
73,760
 5.15% 3/15/34
 
26,868
33,316
 5.375% 3/15/44
 
53,336
68,590
Compass Minerals International, Inc. 6.75% 12/1/27 (d)
  
24,600
26,314
Consolidated Energy Finance SA:
  
  
  
 3 month U.S. LIBOR + 3.750% 3.8689% 6/15/22 (d)(g)(h)
  
987
979
 6.5% 5/15/26 (d)
  
53,531
54,133
 6.875% 6/15/25 (d)
  
10,765
10,927
Gpd Companies, Inc. 10.125% 4/1/26 (d)
  
14,980
16,216
Ingevity Corp. 3.875% 11/1/28 (d)
  
11,105
11,105
Kraton Polymers LLC/Kraton Polymers Capital Corp. 4.25% 12/15/25 (d)
  
7,330
7,513
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.:
  
  
  
 5% 12/31/26 (d)
  
3,835
3,889
 7% 12/31/27 (d)
  
12,385
12,104
LSB Industries, Inc. 9.625% 5/1/23 (d)
  
6,090
6,296
OCI NV 5.25% 11/1/24 (d)
  
14,870
15,269
SCIH Salt Holdings, Inc. 4.875% 5/1/28 (d)
  
18,035
18,012
The Chemours Co. LLC:
  
  
  
 5.375% 5/15/27
 
32,330
35,078
 5.75% 11/15/28 (d)
  
16,765
17,792
Tronox, Inc.:
  
  
  
 4.625% 3/15/29 (d)
  
13,295
13,511
 6.5% 5/1/25 (d)
  
8,760
9,275
Valvoline, Inc. 4.25% 2/15/30 (d)
  
8,315
8,637
 
  
  
442,716
Consumer Products - 0.9%
  
  
  
Angi Group LLC 3.875% 8/15/28 (d)
  
5,530
5,523
Foundation Building Materials, Inc. 6% 3/1/29 (d)
  
5,845
5,743
Michaels Companies, Inc.:
  
  
  
 5.25% 5/1/28 (d)
  
14,150
14,645
 7.875% 5/1/29 (d)
  
14,995
15,557
Millennium Escrow Corp. 6.625% 8/1/26 (d)
  
12,120
12,372
PetSmart, Inc. / PetSmart Finance Corp.:
  
  
  
 4.75% 2/15/28 (d)
  
10,160
10,549
 7.75% 2/15/29 (d)
  
8,880
9,735
Spectrum Brands Holdings, Inc. 3.875% 3/15/31 (d)
  
8,380
8,386
Tempur Sealy International, Inc. 4% 4/15/29 (d)
  
15,925
16,323
The Scotts Miracle-Gro Co. 4% 4/1/31 (d)
  
11,945
12,004
TKC Holdings, Inc.:
  
  
  
 6.875% 5/15/28 (d)
  
12,040
12,414
 10.5% 5/15/29 (d)
  
12,040
12,916
 
  
  
136,167
Containers - 0.3%
  
  
  
ARD Finance SA 6.5% 6/30/27 pay-in-kind (d)(g)
  
11,200
11,815
Crown Cork & Seal, Inc.:
  
  
  
 7.375% 12/15/26
 
4,845
5,955
 7.5% 12/15/96
 
12,871
14,540
Graham Packaging Co., Inc. 7.125% 8/15/28 (d)
  
6,000
6,398
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (d)
  
4,230
4,399
Trivium Packaging Finance BV 5.5% 8/15/26 (d)
  
6,930
7,242
 
  
  
50,349
Diversified Financial Services - 2.0%
  
  
  
Broadstreet Partners, Inc. 5.875% 4/15/29 (d)
  
6,970
7,057
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (d)
  
6,915
7,053
Compass Group Diversified Holdings LLC 5.25% 4/15/29 (d)
  
17,730
18,392
HCRX Investments Holdco LP 4.5% 8/1/29 (d)
  
7,190
7,334
Hightower Holding LLC 6.75% 4/15/29 (d)
  
5,945
6,034
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
  
  
  
 4.375% 2/1/29
 
11,165
11,305
 5.25% 5/15/27
 
41,665
43,696
 6.25% 5/15/26
 
24,085
25,309
 6.375% 12/15/25
 
28,275
29,088
 6.75% 2/1/24
 
10,075
10,289
LPL Holdings, Inc. 4% 3/15/29 (d)
  
17,730
17,996
MSCI, Inc. 4% 11/15/29 (d)
  
6,385
6,808
OEC Finance Ltd.:
  
  
  
 4.375% 10/25/29 pay-in-kind (d)
  
6,280
589
 5.25% 12/27/33 pay-in-kind (d)
  
5,904
553
 7.125% 12/26/46 pay-in-kind (d)
  
3,041
290
OneMain Finance Corp.:
  
  
  
 4% 9/15/30
 
5,610
5,582
 5.375% 11/15/29
 
9,400
10,326
 6.625% 1/15/28
 
7,305
8,437
 6.875% 3/15/25
 
19,480
22,097
 7.125% 3/15/26
 
38,380
45,192
Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. 4.625% 11/1/26 (d)
  
3,750
3,909
VMED O2 UK Financing I PLC 4.75% 7/15/31 (d)
  
21,200
21,650
 
  
  
308,986
Diversified Media - 0.4%
  
  
  
Allen Media LLC 10.5% 2/15/28 (d)
  
11,405
11,376
Nielsen Finance LLC/Nielsen Finance Co.:
  
  
  
 4.5% 7/15/29 (d)
  
6,050
6,095
 4.75% 7/15/31 (d)
  
6,040
6,092
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d)
  
40,645
43,462
 
  
  
67,025
Energy - 8.2%
  
  
  
Antero Midstream Partners LP/Antero Midstream Finance Corp.:
  
  
  
 5.375% 6/15/29 (d)
  
9,060
9,304
 5.75% 1/15/28 (d)
  
17,645
18,439
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d)
  
7,820
8,113
Callon Petroleum Co. 6.125% 10/1/24
 
4,090
3,825
CGG SA 8.75% 4/1/27 (d)
  
11,985
11,955
Cheniere Energy Partners LP 4% 3/1/31 (d)
  
31,040
32,834
Cheniere Energy, Inc. 4.625% 10/15/28
 
22,300
23,508
Chesapeake Energy Corp.:
  
  
  
 5.875% 2/1/29 (d)
  
5,840
6,205
 7% 10/1/24 (c)(f)
  
6,915
0
 8% 1/15/25 (c)(f)
  
3,385
0
 8% 6/15/27 (c)(f)
  
2,132
0
Citgo Holding, Inc. 9.25% 8/1/24 (d)
  
27,185
27,113
Citgo Petroleum Corp.:
  
  
  
 6.375% 6/15/26 (d)
  
8,760
8,935
 7% 6/15/25 (d)
  
22,045
22,631
CNX Midstream Partners LP 6.5% 3/15/26 (d)
  
6,675
6,900
CNX Resources Corp. 6% 1/15/29 (d)
  
5,345
5,667
Colgate Energy Partners III LLC 5.875% 7/1/29 (d)
  
8,645
8,969
Comstock Resources, Inc.:
  
  
  
 5.875% 1/15/30 (d)
  
25,285
25,438
 6.75% 3/1/29 (d)
  
20,060
20,960
 7.5% 5/15/25 (d)
  
3,722
3,852
Continental Resources, Inc.:
  
  
  
 3.8% 6/1/24
 
19,380
20,320
 4.375% 1/15/28
 
4,930
5,460
 4.5% 4/15/23
 
533
554
 4.9% 6/1/44
 
12,240
14,124
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:
  
  
  
 5.625% 5/1/27 (d)
  
18,015
18,418
 5.75% 4/1/25
 
4,790
4,903
 6% 2/1/29 (d)
  
25,785
26,816
CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (d)
  
5,055
5,276
CVR Energy, Inc.:
  
  
  
 5.25% 2/15/25 (d)
  
16,990
16,523
 5.75% 2/15/28 (d)
  
22,655
21,972
DCP Midstream Operating LP 5.85% 5/21/43 (d)(g)
  
18,335
16,960
Delek Logistics Partners LP 7.125% 6/1/28 (d)
  
17,655
18,354
DT Midstream, Inc.:
  
  
  
 4.125% 6/15/29 (d)
  
9,070
9,302
 4.375% 6/15/31 (d)
  
9,070
9,410
Endeavor Energy Resources LP/EER Finance, Inc.:
  
  
  
 5.5% 1/30/26 (d)
  
6,818
7,031
 5.75% 1/30/28 (d)
  
21,251
22,229
 6.625% 7/15/25 (d)
  
5,510
5,827
Energy Transfer LP 5.5% 6/1/27
 
16,735
18,700
EQT Corp.:
  
  
  
 3.125% 5/15/26 (d)
  
6,035
6,208
 3.625% 5/15/31 (d)
  
6,035
6,392
 3.9% 10/1/27
 
27,454
29,753
Exterran Energy Solutions LP 8.125% 5/1/25
 
11,280
9,926
Hess Midstream Partners LP:
  
  
  
 5.125% 6/15/28 (d)
  
11,235
11,769
 5.625% 2/15/26 (d)
  
15,535
16,156
Hilcorp Energy I LP/Hilcorp Finance Co.:
  
  
  
 5.75% 2/1/29 (d)
  
5,710
5,814
 6% 2/1/31 (d)
  
5,710
5,959
 6.25% 11/1/28 (d)
  
12,280
12,817
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d)
  
7,615
7,720
MEG Energy Corp. 7.125% 2/1/27 (d)
  
11,335
11,893
Mesquite Energy, Inc. 7.25% 2/15/23 (c)(d)(f)
  
21,977
0
Nabors Industries Ltd.:
  
  
  
 7.25% 1/15/26 (d)
  
11,260
10,528
 7.5% 1/15/28 (d)
  
9,715
8,815
New Fortress Energy, Inc.:
  
  
  
 6.5% 9/30/26 (d)
  
20,960
21,174
 6.75% 9/15/25 (d)
  
46,001
46,922
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (d)
  
11,090
11,395
NGL Energy Partners LP/NGL Energy Finance Corp. 6.125% 3/1/25
 
11,961
10,167
Nine Energy Service, Inc. 8.75% 11/1/23 (d)
  
6,245
3,685
NuStar Logistics LP 6% 6/1/26
 
12,025
12,987
Occidental Petroleum Corp.:
  
  
  
 3.5% 8/15/29
 
14,690
14,653
 4.4% 4/15/46
 
9,300
9,124
 4.4% 8/15/49
 
23,525
22,797
 4.625% 6/15/45
 
7,660
7,686
 5.875% 9/1/25
 
11,055
12,256
 6.125% 1/1/31
 
23,465
27,720
 6.2% 3/15/40
 
5,785
6,696
 6.375% 9/1/28
 
18,145
21,139
 6.45% 9/15/36
 
19,110
23,073
 6.6% 3/15/46
 
15,305
18,828
 6.625% 9/1/30
 
22,115
26,980
 7.2% 3/15/29
 
3,964
4,539
 7.5% 5/1/31
 
1,100
1,397
 8.875% 7/15/30
 
12,405
16,737
PBF Holding Co. LLC/PBF Finance Corp.:
  
  
  
 6% 2/15/28
 
27,530
14,376
 7.25% 6/15/25
 
22,875
13,725
 9.25% 5/15/25 (d)
  
24,810
22,763
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23
 
8,455
8,191
PDC Energy, Inc.:
  
  
  
 6.125% 9/15/24
 
3,555
3,617
 6.25% 12/1/25
 
7,435
7,658
Renewable Energy Group, Inc. 5.875% 6/1/28 (d)
  
6,340
6,609
SM Energy Co.:
  
  
  
 5.625% 6/1/25
 
6,330
6,219
 6.625% 1/15/27
 
21,320
21,267
 6.75% 9/15/26
 
4,550
4,515
Southern Natural Gas Co. LLC:
  
  
  
 7.35% 2/15/31
 
23,497
32,467
 8% 3/1/32
 
12,475
18,093
Southwestern Energy Co.:
  
  
  
 6.45% 1/23/25 (g)
  
1,805
1,976
 7.5% 4/1/26
 
20,490
21,613
 7.75% 10/1/27
 
12,945
13,884
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5% 6/1/31 (d)
  
12,070
12,538
Summit Midstream Holdings LLC 5.75% 4/15/25
 
5,390
4,959
Sunoco LP/Sunoco Finance Corp.:
  
  
  
 4.5% 5/15/29
 
10,170
10,399
 5.5% 2/15/26
 
11,640
11,975
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 7.5% 10/1/25 (d)
  
8,350
9,060
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 4.875% 2/1/31 (d)
  
10,360
11,202
Teine Energy Ltd. 6.875% 4/15/29 (d)
  
8,990
9,125
Tennessee Gas Pipeline Co. 7.625% 4/1/37
 
5,445
8,019
Ultra Resources, Inc. 11% 7/12/24 pay-in-kind (c)(f)
  
10,734
537
Venture Global Calcasieu Pass LLC:
  
  
  
 3.875% 8/15/29 (d)
  
7,585
7,746
 4.125% 8/15/31 (d)
  
7,585
7,854
Vine Energy Holdings LLC 6.75% 4/15/29 (d)
  
8,995
9,377
 
  
  
1,250,296
Environmental - 0.4%
  
  
  
Covanta Holding Corp.:
  
  
  
 5% 9/1/30
 
11,060
11,869
 5.875% 7/1/25
 
3,205
3,321
 6% 1/1/27
 
12,335
12,798
GFL Environmental, Inc. 4.75% 6/15/29 (d)
  
12,095
12,502
Madison IAQ LLC:
  
  
  
 4.125% 6/30/28 (d)
  
11,390
11,407
 5.875% 6/30/29 (d)
  
9,085
9,182
 
  
  
61,079
Food & Drug Retail - 1.0%
  
  
  
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:
  
  
  
 3.5% 3/15/29 (d)
  
36,160
36,522
 4.625% 1/15/27 (d)
  
25,300
26,767
 4.875% 2/15/30 (d)
  
44,700
48,388
Murphy Oil U.S.A., Inc.:
  
  
  
 3.75% 2/15/31 (d)
  
5,300
5,287
 4.75% 9/15/29
 
6,860
7,272
 5.625% 5/1/27
 
6,030
6,354
Parkland Corp. 4.5% 10/1/29 (d)
  
8,995
9,253
SEG Holding LLC/SEG Finance Corp. 5.625% 10/15/28 (d)
  
11,130
11,700
 
  
  
151,543
Food/Beverage/Tobacco - 1.9%
  
  
  
C&S Group Enterprises LLC 5% 12/15/28 (d)
  
8,615
8,550
Chobani LLC/Finance Corp., Inc. 4.625% 11/15/28 (d)
  
6,285
6,538
Del Monte Foods, Inc. 11.875% 5/15/25 (d)
  
6,310
7,162
JBS U.S.A. Food Co.:
  
  
  
 5.75% 1/15/28 (d)
  
10,705
11,283
 7% 1/15/26 (d)
  
11,630
12,313
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (d)
  
18,350
20,093
JBS U.S.A. Lux SA / JBS Food Co.:
  
  
  
 5.5% 1/15/30 (d)
  
20,180
22,526
 6.5% 4/15/29 (d)
  
29,320
32,912
KeHE Distributors LLC / KeHE Finance Corp. 8.625% 10/15/26 (d)
  
8,761
9,517
Lamb Weston Holdings, Inc.:
  
  
  
 4.625% 11/1/24 (d)
  
7,660
7,860
 4.875% 11/1/26 (d)
  
7,740
7,986
Performance Food Group, Inc.:
  
  
  
 4.25% 8/1/29 (d)
  
8,495
8,633
 5.5% 10/15/27 (d)
  
8,855
9,224
Pilgrim's Pride Corp. 4.25% 4/15/31 (d)
  
21,020
22,350
Post Holdings, Inc.:
  
  
  
 4.5% 9/15/31 (d)
  
47,500
48,070
 4.625% 4/15/30 (d)
  
15,630
15,923
 5.5% 12/15/29 (d)
  
14,975
16,023
Simmons Foods, Inc. 4.625% 3/1/29 (d)
  
8,340
8,420
TreeHouse Foods, Inc. 4% 9/1/28
 
3,695
3,700
Triton Water Holdings, Inc. 6.25% 4/1/29 (d)
  
6,360
6,368
United Natural Foods, Inc. 6.75% 10/15/28 (d)
  
7,750
8,351
 
  
  
293,802
Gaming - 2.0%
  
  
  
Affinity Gaming LLC 6.875% 12/15/27 (d)
  
4,295
4,554
Boyd Gaming Corp. 4.75% 6/15/31 (d)
  
15,120
15,643
Caesars Entertainment, Inc.:
  
  
  
 6.25% 7/1/25 (d)
  
41,240
43,508
 8.125% 7/1/27 (d)
  
54,990
60,471
Caesars Resort Collection LLC 5.75% 7/1/25 (d)
  
13,750
14,455
MCE Finance Ltd.:
  
  
  
 4.875% 6/6/25 (d)
  
30,275
30,767
 5.25% 4/26/26 (d)
  
12,015
12,255
 5.375% 12/4/29 (d)
  
8,160
8,415
 5.75% 7/21/28 (d)
  
5,530
5,730
MGM Growth Properties Operating Partnership LP 3.875% 2/15/29 (d)
  
11,195
11,462
MGM Resorts International 4.75% 10/15/28
 
11,125
11,709
Peninsula Pacific Entertainment LLC 8.5% 11/15/27 (d)
  
19,045
20,521
Studio City Finance Ltd. 5% 1/15/29 (d)
  
5,700
5,632
VICI Properties, Inc.:
  
  
  
 4.25% 12/1/26 (d)
  
21,450
22,314
 4.625% 12/1/29 (d)
  
12,240
13,097
Wynn Macau Ltd. 5.125% 12/15/29 (d)
  
16,800
16,968
 
  
  
297,501
Healthcare - 3.9%
  
  
  
Akumin, Inc. 7% 11/1/25 (d)
  
8,475
8,645
AMN Healthcare 4.625% 10/1/27 (d)
  
2,765
2,879
Bausch Health Companies, Inc. 5% 2/15/29 (d)
  
12,130
11,462
Catalent Pharma Solutions 5% 7/15/27 (d)
  
3,765
3,939
Centene Corp.:
  
  
  
 4.25% 12/15/27
 
11,560
12,196
 5.375% 6/1/26 (d)
  
30,420
31,689
 5.375% 8/15/26 (d)
  
7,920
8,247
Charles River Laboratories International, Inc.:
  
  
  
 3.75% 3/15/29 (d)
  
9,500
9,749
 4% 3/15/31 (d)
  
12,085
12,715
 4.25% 5/1/28 (d)
  
3,400
3,549
Community Health Systems, Inc.:
  
  
  
 4.75% 2/15/31 (d)
  
16,055
16,296
 5.625% 3/15/27 (d)
  
5,640
5,971
 6% 1/15/29 (d)
  
8,490
9,031
 6.125% 4/1/30 (d)
  
24,105
24,419
 6.625% 2/15/25 (d)
  
13,150
13,789
 8% 3/15/26 (d)
  
61,410
65,839
DaVita HealthCare Partners, Inc.:
  
  
  
 3.75% 2/15/31 (d)
  
4,180
4,054
 4.625% 6/1/30 (d)
  
31,515
32,579
Encompass Health Corp. 5.125% 3/15/23
 
2,146
2,157
Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (d)
  
12,050
12,782
IQVIA, Inc. 5% 5/15/27 (d)
  
12,070
12,583
Jaguar Holding Co. II/Pharmaceutical Product Development LLC 5% 6/15/28 (d)
  
11,590
12,488
Jazz Securities DAC 4.375% 1/15/29 (d)
  
12,305
12,825
Modivcare, Inc. 5.875% 11/15/25 (d)
  
8,105
8,601
Molina Healthcare, Inc.:
  
  
  
 3.875% 11/15/30 (d)
  
10,465
11,080
 4.375% 6/15/28 (d)
  
7,525
7,873
Organon & Co. / Organon Foreign Debt Co-Issuer BV:
  
  
  
 4.125% 4/30/28 (d)
  
21,010
21,544
 5.125% 4/30/31 (d)
  
18,260
18,808
Owens & Minor, Inc. 4.5% 3/31/29 (d)
  
8,310
8,518
Radiology Partners, Inc. 9.25% 2/1/28 (d)
  
20,865
22,482
RP Escrow Issuer LLC 5.25% 12/15/25 (d)
  
10,405
10,639
Syneos Health, Inc. 3.625% 1/15/29 (d)
  
8,395
8,332
Tenet Healthcare Corp.:
  
  
  
 4.25% 6/1/29 (d)
  
17,640
17,993
 4.625% 7/15/24
 
6,055
6,131
 4.625% 9/1/24 (d)
  
12,045
12,316
 4.875% 1/1/26 (d)
  
30,115
31,094
 5.125% 11/1/27 (d)
  
18,070
18,928
 6.125% 10/1/28 (d)
  
19,415
20,677
 6.25% 2/1/27 (d)
  
35,815
37,292
Vizient, Inc. 6.25% 5/15/27 (d)
  
2,760
2,888
 
  
  
595,079
Homebuilders/Real Estate - 1.9%
  
  
  
Arcosa, Inc. 4.375% 4/15/29 (d)
  
8,410
8,599
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (d)
  
7,775
7,757
DTZ U.S. Borrower LLC 6.75% 5/15/28 (d)
  
10,555
11,344
MPT Operating Partnership LP/MPT Finance Corp.:
  
  
  
 3.5% 3/15/31
 
11,190
11,481
 4.625% 8/1/29
 
18,080
19,463
 5% 10/15/27
 
25,968
27,488
Realogy Group LLC/Realogy Co-Issuer Corp.:
  
  
  
 5.75% 1/15/29 (d)
  
36,785
38,578
 7.625% 6/15/25 (d)
  
33,090
35,654
Shea Homes Ltd. Partnership/Corp. 4.75% 4/1/29 (d)
  
8,020
8,221
Taylor Morrison Communities, Inc./Monarch Communities, Inc.:
  
  
  
 5.125% 8/1/30 (d)
  
10,725
11,663
 5.625% 3/1/24 (d)
  
1,312
1,419
 5.875% 6/15/27 (d)
  
9,260
10,450
TopBuild Corp. 3.625% 3/15/29 (d)
  
5,910
5,912
TRI Pointe Group, Inc./TRI Pointe Holdings, Inc. 5.875% 6/15/24
 
16,130
17,874
TRI Pointe Homes, Inc. 5.7% 6/15/28
 
14,380
15,927
Uniti Group LP / Uniti Group Finance, Inc.:
  
  
  
 4.75% 4/15/28 (d)
  
12,060
12,096
 6.5% 2/15/29 (d)
  
37,500
38,009
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (d)
  
5,045
5,217
 
  
  
287,152
Hotels - 0.3%
  
  
  
Choice Hotels International, Inc. 5.75% 7/1/22
 
3,035
3,170
Hilton Domestic Operating Co., Inc.:
  
  
  
 3.75% 5/1/29 (d)
  
5,595
5,655
 4% 5/1/31 (d)
  
8,395
8,592
 4.875% 1/15/30
 
6,900
7,401
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27
 
8,435
8,730
NCL Finance Ltd. 6.125% 3/15/28 (d)
  
5,265
5,318
Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (d)
  
4,965
4,965
 
  
  
43,831
Insurance - 0.7%
  
  
  
Acrisure LLC / Acrisure Finance, Inc.:
  
  
  
 6% 8/1/29 (d)(e)
  
9,105
9,059
 7% 11/15/25 (d)
  
34,880
35,403
Alliant Holdings Intermediate LLC:
  
  
  
 4.25% 10/15/27 (d)
  
11,125
11,057
 6.75% 10/15/27 (d)
  
16,680
17,410
AmWINS Group, Inc. 4.875% 6/30/29 (d)
  
8,805
8,981
AssuredPartners, Inc.:
  
  
  
 5.625% 1/15/29 (d)
  
6,550
6,502
 7% 8/15/25 (d)
  
4,865
4,950
HUB International Ltd. 7% 5/1/26 (d)
  
11,770
12,184
MGIC Investment Corp. 5.25% 8/15/28
 
7,710
8,196
 
  
  
113,742
Leisure - 1.3%
  
  
  
Boyne U.S.A., Inc. 4.75% 5/15/29 (d)
  
6,360
6,559
Carnival Corp.:
  
  
  
 4% 8/1/28 (d)
  
18,190
18,145
 7.625% 3/1/26 (d)
  
8,415
8,888
 9.875% 8/1/27 (d)
  
16,600
19,006
 10.5% 2/1/26 (d)
  
11,990
13,728
 11.5% 4/1/23 (d)
  
5,448
6,143
Merlin Entertainments PLC 5.75% 6/15/26 (d)
  
7,725
8,053
NCL Corp. Ltd.:
  
  
  
 5.875% 3/15/26 (d)
  
12,585
12,679
 12.25% 5/15/24 (d)
  
14,720
17,370
Royal Caribbean Cruises Ltd.:
  
  
  
 10.875% 6/1/23 (d)
  
13,720
15,572
 11.5% 6/1/25 (d)
  
19,950
22,893
SeaWorld Parks & Entertainment, Inc. 9.5% 8/1/25 (d)
  
7,976
8,614
Vail Resorts, Inc. 6.25% 5/15/25 (d)
  
6,250
6,638
Viking Cruises Ltd.:
  
  
  
 5.875% 9/15/27 (d)
  
11,595
11,015
 13% 5/15/25 (d)
  
9,250
10,730
Voc Escrow Ltd. 5% 2/15/28 (d)
  
10,755
10,674
 
  
  
196,707
Metals/Mining - 1.4%
  
  
  
Alcoa Nederland Holding BV:
  
  
  
 4.125% 3/31/29 (d)
  
15,485
16,279
 6.125% 5/15/28 (d)
  
3,565
3,899
 7% 9/30/26 (d)
  
6,385
6,664
Arconic Corp.:
  
  
  
 6% 5/15/25 (d)
  
6,630
7,011
 6.125% 2/15/28 (d)
  
16,695
17,780
Cleveland-Cliffs, Inc.:
  
  
  
 4.625% 3/1/29 (d)
  
8,810
9,350
 4.875% 3/1/31 (d)
  
8,810
9,515
 5.875% 6/1/27
 
18,030
19,022
First Quantum Minerals Ltd.:
  
  
  
 6.5% 3/1/24 (d)
  
10,955
11,163
 6.875% 3/1/26 (d)
  
28,325
29,582
 7.25% 4/1/23 (d)
  
3,465
3,531
 7.5% 4/1/25 (d)
  
20,585
21,351
FMG Resources (August 2006) Pty Ltd.:
  
  
  
 4.375% 4/1/31 (d)
  
8,990
9,788
 4.5% 9/15/27 (d)
  
9,015
9,838
 5.125% 5/15/24 (d)
  
9,780
10,562
HudBay Minerals, Inc. 4.5% 4/1/26 (d)
  
7,020
7,143
Mineral Resources Ltd. 8.125% 5/1/27 (d)
  
18,015
19,712
Murray Energy Corp.:
  
  
  
 11.25% (c)(d)(f)
  
8,915
0
 12% 4/15/24 pay-in-kind (c)(d)(f)(g)
  
10,343
0
 
  
  
212,190
Paper - 0.4%
  
  
  
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC:
  
  
  
 3.25% 9/1/28 (d)
  
5,915
5,922
 4% 9/1/29 (d)
  
11,830
11,845
Cascades, Inc.:
  
  
  
 5.125% 1/15/26 (d)
  
5,600
5,922
 5.375% 1/15/28 (d)
  
5,600
5,894
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (d)
  
11,230
11,630
Intertape Polymer Group, Inc. 4.375% 6/15/29 (d)
  
9,050
9,250
Mercer International, Inc. 5.125% 2/1/29
 
15,060
15,342
 
  
  
65,805
Publishing/Printing - 0.1%
  
  
  
Clear Channel International BV 6.625% 8/1/25 (d)
  
15,860
16,633
Railroad - 0.1%
  
  
  
First Student Bidco, Inc./First Transit Parent, Inc. 4% 7/31/29 (d)
  
9,095
9,106
Restaurants - 0.5%
  
  
  
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:
  
  
  
 3.875% 1/15/28 (d)
  
12,115
12,219
 4% 10/15/30 (d)
  
39,005
38,901
 4.375% 1/15/28 (d)
  
10,600
10,746
Bloomin Brands, Inc. / OSI Restaurant Partners LLC 5.125% 4/15/29 (d)
  
5,565
5,718
Yum! Brands, Inc. 4.625% 1/31/32
 
11,975
12,858
 
  
  
80,442
Services - 2.1%
  
  
  
AECOM 5.125% 3/15/27
 
11,885
13,222
Allied Universal Holdco LLC / Allied Universal Finance Corp. 6% 6/1/29 (d)
  
6,650
6,658
Ascend Learning LLC:
  
  
  
 6.875% 8/1/25 (d)
  
4,115
4,192
 6.875% 8/1/25 (d)
  
11,865
12,087
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.:
  
  
  
 4.625% 6/1/28 (d)
  
21,690
21,771
 4.625% 6/1/28 (d)
  
14,365
14,365
BidFair Holdings, Inc. 5.875% 6/1/29 (d)
  
9,045
9,396
Booz Allen Hamilton, Inc.:
  
  
  
 3.875% 9/1/28 (d)
  
10,240
10,445
 4% 7/1/29 (d)
  
5,920
6,080
CoreCivic, Inc. 8.25% 4/15/26
 
12,105
12,831
Fair Isaac Corp. 4% 6/15/28 (d)
  
2,910
3,040
Gartner, Inc.:
  
  
  
 3.625% 6/15/29 (d)
  
8,610
8,814
 3.75% 10/1/30 (d)
  
11,495
11,811
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d)
  
8,765
9,039
H&E Equipment Services, Inc. 3.875% 12/15/28 (d)
  
16,800
16,653
Hertz Corp.:
  
  
  
 5.5% 10/15/24 (c)(d)(f)
  
10,890
0
 6% 1/15/28 (c)(d)(f)
  
10,285
0
 6.25% 10/15/22 (c)(f)
  
11,875
0
 7.125% 8/1/26 (c)(d)(f)
  
10,285
0
IAA, Inc. 5.5% 6/15/27 (d)
  
4,680
4,908
Iron Mountain, Inc.:
  
  
  
 4.5% 2/15/31 (d)
  
22,025
22,521
 4.875% 9/15/29 (d)
  
24,110
25,255
KAR Auction Services, Inc. 5.125% 6/1/25 (d)
  
10,355
10,601
Service Corp. International 4% 5/15/31
 
12,070
12,460
Sotheby's 7.375% 10/15/27 (d)
  
4,960
5,298
The Brink's Co. 4.625% 10/15/27 (d)
  
12,180
12,647
The GEO Group, Inc.:
  
  
  
 5.125% 4/1/23
 
9,625
9,048
 5.875% 10/15/24
 
14,053
12,507
 6% 4/15/26
 
9,655
7,856
TriNet Group, Inc. 3.5% 3/1/29 (d)
  
8,865
8,876
Uber Technologies, Inc. 6.25% 1/15/28 (d)
  
9,175
9,900
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d)
  
9,760
10,211
 
  
  
312,492
Steel - 0.2%
  
  
  
Algoma Steel SCA 0% 12/31/23 (c)
  
1,982
1,665
Commercial Metals Co. 3.875% 2/15/31
 
6,135
6,181
Infrabuild Australia Pty Ltd. 12% 10/1/24 (d)
  
10,980
11,694
United States Steel Corp. 6.25% 3/15/26
 
12,205
12,571
 
  
  
32,111
Super Retail - 0.9%
  
  
  
Ambience Merger Sub, Inc.:
  
  
  
 4.875% 7/15/28 (d)
  
6,055
6,078
 7.125% 7/15/29 (d)
  
9,035
9,148
Asbury Automotive Group, Inc.:
  
  
  
 4.5% 3/1/28
 
3,534
3,662
 4.75% 3/1/30
 
3,523
3,730
Bath & Body Works, Inc.:
  
  
  
 6.625% 10/1/30 (d)
  
5,555
6,402
 6.75% 7/1/36
 
27,016
34,445
 6.875% 11/1/35
 
7,304
9,395
 7.5% 6/15/29
 
8,335
9,658
Carvana Co. 5.5% 4/15/27 (d)
  
11,975
12,394
EG Global Finance PLC 8.5% 10/30/25 (d)
  
16,085
16,849
Lithia Motors, Inc. 3.875% 6/1/29 (d)
  
13,230
13,931
Party City Holdings, Inc. 8.75% 2/15/26 (d)
  
5,875
6,220
 
  
  
131,912
Technology - 3.0%
  
  
  
Acuris Finance U.S. 5% 5/1/28 (d)
  
9,045
8,955
Banff Merger Sub, Inc. 9.75% 9/1/26 (d)
  
9,608
10,100
Black Knight InfoServ LLC 3.625% 9/1/28 (d)
  
11,390
11,413
Camelot Finance SA 4.5% 11/1/26 (d)
  
10,590
11,040
Clarivate Science Holdings Corp.:
  
  
  
 3.875% 6/30/28 (d)
  
10,695
10,783
 4.875% 6/30/29 (d)
  
10,115
10,187
Crowdstrike Holdings, Inc. 3% 2/15/29
 
8,870
8,992
Elastic NV 4.125% 7/15/29 (d)
  
17,090
17,155
Go Daddy Operating Co. LLC / GD Finance Co., Inc.:
  
  
  
 3.5% 3/1/29 (d)
  
11,810
11,825
 5.25% 12/1/27 (d)
  
9,345
9,802
ION Trading Technologies Ltd. 5.75% 5/15/28 (d)
  
12,040
12,461
MicroStrategy, Inc. 6.125% 6/15/28 (d)
  
11,065
11,106
NCR Corp.:
  
  
  
 5% 10/1/28 (d)
  
5,530
5,695
 5.125% 4/15/29 (d)
  
8,870
9,232
 5.25% 10/1/30 (d)
  
5,530
5,820
 5.75% 9/1/27 (d)
  
9,035
9,532
 6.125% 9/1/29 (d)
  
9,035
9,799
 8.125% 4/15/25 (d)
  
4,675
5,078
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 10.75% 6/1/28 (d)
  
5,930
6,671
NortonLifeLock, Inc. 5% 4/15/25 (d)
  
10,050
10,189
ON Semiconductor Corp. 3.875% 9/1/28 (d)
  
11,065
11,526
Open Text Corp.:
  
  
  
 3.875% 2/15/28 (d)
  
5,690
5,875
 5.875% 6/1/26 (d)
  
8,535
8,813
Open Text Holdings, Inc. 4.125% 2/15/30 (d)
  
5,690
5,875
Pitney Bowes, Inc.:
  
  
  
 6.875% 3/15/27 (d)
  
5,980
6,350
 7.25% 3/15/29 (d)
  
5,980
6,414
PTC, Inc.:
  
  
  
 3.625% 2/15/25 (d)
  
6,650
6,833
 4% 2/15/28 (d)
  
6,575
6,797
Rackspace Hosting, Inc. 5.375% 12/1/28 (d)
  
6,425
6,541
Sensata Technologies BV 4% 4/15/29 (d)
  
11,970
12,284
Square, Inc.:
  
  
  
 2.75% 6/1/26 (d)
  
9,050
9,254
 3.5% 6/1/31 (d)
  
12,070
12,542
Synaptics, Inc. 4% 6/15/29 (d)
  
7,015
7,112
TTM Technologies, Inc. 4% 3/1/29 (d)
  
8,870
8,925
Twilio, Inc.:
  
  
  
 3.625% 3/15/29
 
9,995
10,233
 3.875% 3/15/31
 
10,460
10,940
Uber Technologies, Inc.:
  
  
  
 7.5% 9/15/27 (d)
  
35,255
38,523
 8% 11/1/26 (d)
  
51,060
54,698
Unisys Corp. 6.875% 11/1/27 (d)
  
6,095
6,635
Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (d)
  
19,400
20,079
 
  
  
452,084
Telecommunications - 5.5%
  
  
  
Altice Financing SA 5% 1/15/28 (d)
  
11,280
11,083
Altice France SA:
  
  
  
 5.125% 7/15/29 (d)
  
79,325
79,913
 5.5% 1/15/28 (d)
  
22,110
22,663
 7.375% 5/1/26 (d)
  
44,469
46,248
 8.125% 2/1/27 (d)
  
7,635
8,267
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d)
  
42,100
44,563
Cablevision Lightpath LLC:
  
  
  
 3.875% 9/15/27 (d)
  
5,500
5,459
 5.625% 9/15/28 (d)
  
4,350
4,426
Frontier Communications Holdings LLC:
  
  
  
 5% 5/1/28 (d)
  
19,575
20,248
 5.875% 10/15/27 (d)
  
10,375
11,087
 6.75% 5/1/29 (d)
  
12,535
13,350
Intelsat Jackson Holdings SA:
  
  
  
 5.5% 8/1/23 (f)
  
31,470
17,230
 8% 2/15/24 (d)
  
20,755
21,430
LCPR Senior Secured Financing DAC:
  
  
  
 5.125% 7/15/29 (d)
  
14,860
15,194
 6.75% 10/15/27 (d)
  
11,285
12,041
Level 3 Financing, Inc.:
  
  
  
 3.625% 1/15/29 (d)
  
24,590
23,886
 3.75% 7/15/29 (d)
  
24,670
24,177
Lumen Technologies, Inc. 5.375% 6/15/29 (d)
  
15,130
15,508
Millicom International Cellular SA 4.5% 4/27/31 (d)
  
1,725
1,794
NGL Energy Partners LP/NGL Energy Finance Corp. 7.5% 4/15/26
 
15,705
13,233
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 6% 2/15/28 (d)
  
4,490
4,411
Qwest Corp. 7.25% 9/15/25
 
1,480
1,750
Sable International Finance Ltd. 5.75% 9/7/27 (d)
  
20,710
21,731
SBA Communications Corp.:
  
  
  
 3.125% 2/1/29 (d)
  
13,305
13,067
 3.875% 2/15/27
 
17,015
17,547
Sprint Capital Corp.:
  
  
  
 6.875% 11/15/28
 
76,454
98,634
 8.75% 3/15/32
 
66,716
102,834
Sprint Corp. 7.625% 3/1/26
 
10,895
13,308
T-Mobile U.S.A., Inc.:
  
  
  
 2.625% 2/15/29
 
16,895
16,898
 2.875% 2/15/31
 
26,040
26,185
 3.375% 4/15/29
 
11,975
12,468
 3.5% 4/15/31
 
11,975
12,559
Telesat Canada/Telesat LLC 5.625% 12/6/26 (d)
  
17,665
16,384
Uniti Group, Inc. 7.875% 2/15/25 (d)
  
17,650
18,797
Windstream Escrow LLC 7.75% 8/15/28 (d)
  
31,630
32,263
Zayo Group Holdings, Inc. 4% 3/1/27 (d)
  
17,180
17,094
 
  
  
837,730
Textiles/Apparel - 0.2%
  
  
  
Crocs, Inc. 4.25% 3/15/29 (d)
  
8,675
8,935
Victoria's Secret & Co. 4.625% 7/15/29 (d)
  
22,560
22,591
 
  
  
31,526
Transportation Ex Air/Rail - 0.1%
  
  
  
Seaspan Corp. 5.5% 8/1/29 (d)
  
9,095
9,070
Utilities - 2.7%
  
  
  
Clearway Energy Operating LLC:
  
  
  
 3.75% 2/15/31 (d)
  
13,295
13,295
 4.75% 3/15/28 (d)
  
6,920
7,335
NextEra Energy Partners LP 4.25% 9/15/24 (d)
  
428
450
NRG Energy, Inc.:
  
  
  
 3.375% 2/15/29 (d)
  
5,145
5,119
 3.625% 2/15/31 (d)
  
10,215
10,292
 5.75% 1/15/28
 
9,410
9,998
 6.625% 1/15/27
 
26,747
27,688
Pacific Gas & Electric Co.:
  
  
  
 3.45% 7/1/25
 
2,868
2,991
 3.75% 7/1/28
 
2,868
2,999
 3.75% 8/15/42
 
10,400
9,523
 3.95% 12/1/47
 
53,930
50,687
 4% 12/1/46
 
24,380
22,792
 4.25% 3/15/46
 
2,400
2,315
 4.3% 3/15/45
 
5,995
5,676
 4.55% 7/1/30
 
60,820
64,905
 4.95% 7/1/50
 
60,820
62,831
PG&E Corp.:
  
  
  
 5% 7/1/28
 
22,000
21,423
 5.25% 7/1/30
 
8,330
8,132
Pike Corp. 5.5% 9/1/28 (d)
  
8,695
8,872
Vistra Operations Co. LLC:
  
  
  
 4.375% 5/1/29 (d)
  
23,230
23,811
 5% 7/31/27 (d)
  
22,585
23,319
 5.5% 9/1/26 (d)
  
3,485
3,590
 5.625% 2/15/27 (d)
  
28,195
29,252
 
  
  
417,295
TOTAL NONCONVERTIBLE BONDS
  
  
9,235,960
TOTAL CORPORATE BONDS
 (Cost $8,739,568)
  
  
  
9,260,498
 
Common Stocks - 20.3%
 
  
Shares
Value ($)
(000s)
 
Air Transportation - 0.1%
 
  
  
Air Canada (i)
  
511,000
10,231
 
  
  
  
Automotive & Auto Parts - 0.1%
 
  
  
Allison Transmission Holdings, Inc.
 
249,600
9,962
Exide Technologies (c)(i)
  
580,031
0
Exide Technologies (c)
  
385
250
Exide Technologies (c)(i)
  
9,824
10
UC Holdings, Inc. (c)(i)
  
677,217
7,124
TOTAL AUTOMOTIVE & AUTO PARTS
  
  
17,346
Broadcasting - 0.3%
 
  
  
iHeartMedia, Inc. (i)
  
104
3
Nexstar Broadcasting Group, Inc. Class A
 
329,429
48,449
TOTAL BROADCASTING
  
  
48,452
Building Materials - 0.4%
 
  
  
Carrier Global Corp.
 
981,100
54,206
 
  
  
  
Cable/Satellite TV - 0.2%
 
  
  
Altice U.S.A., Inc. Class A (i)
  
1,146,900
35,244
 
  
  
  
Capital Goods - 0.7%
 
  
  
Thermo Fisher Scientific, Inc.
 
98,300
53,083
Zebra Technologies Corp. Class A (i)
  
88,400
48,839
TOTAL CAPITAL GOODS
  
  
101,922
Chemicals - 0.4%
 
  
  
CF Industries Holdings, Inc.
 
608,800
28,766
The Chemours Co. LLC
 
1,144,240
38,046
TOTAL CHEMICALS
  
  
66,812
Consumer Products - 0.7%
 
  
  
BJ's Wholesale Club Holdings, Inc. (i)
  
381,436
19,316
Reddy Ice Holdings, Inc. (c)(i)
  
199,717
11
Reddy Ice Holdings, Inc. (c)(i)
  
496,439
0
Tempur Sealy International, Inc.
 
2,160,700
93,493
TOTAL CONSUMER PRODUCTS
  
  
112,820
Containers - 0.4%
 
  
  
Berry Global Group, Inc. (i)
  
342,000
21,987
WestRock Co.
 
660,100
32,484
TOTAL CONTAINERS
  
  
54,471
Diversified Financial Services - 0.6%
 
  
  
Axis Energy Services, LLC Class A (c)
  
11,616
4
MasterCard, Inc. Class A
 
97,500
37,629
OneMain Holdings, Inc.
 
806,800
49,215
Penson Worldwide, Inc. Class A (c)(i)
  
10,322,034
0
PJT Partners, Inc.
 
5,092
398
TOTAL DIVERSIFIED FINANCIAL SERVICES
  
  
87,246
Energy - 3.0%
 
  
  
Array Technologies, Inc.
 
208,059
2,817
California Resources Corp. (i)(j)
  
5,089,439
143,064
California Resources Corp. warrants 10/27/24 (i)(j)
  
57,076
310
Chaparral Energy, Inc.:
  
  
  
 Series A warrants 10/1/24 (c)(i)
  
392
1
 Series B warrants 10/1/25 (c)(i)
  
392
1
Cheniere Energy, Inc. (i)
  
349,900
29,717
Chesapeake Energy Corp. (k)
  
1,769,800
95,658
Chesapeake Energy Corp. (b)
  
22,818
1,233
Chesapeake Energy Corp.:
  
  
  
 warrants 2/9/26 (i)
  
117,493
3,337
 warrants 2/9/26 (i)
  
130,548
3,264
 warrants 2/9/26 (i)
  
81,798
1,764
Denbury, Inc. (i)
  
729,017
47,904
Denbury, Inc. warrants 9/18/25 (i)
  
439,788
14,614
Diamond Offshore Drilling, Inc. (c)(i)
  
118,485
605
EP Energy Corp. (c)
  
841,775
75,549
Extraction Oil & Gas, Inc. (i)
  
50,742
2,258
Forbes Energy Services Ltd. (i)
  
193,218
15
Jonah Energy Parent LLC (c)
  
304,505
13,992
Mesquite Energy, Inc. (c)(i)
  
317,026
11,277
Superior Energy Services, Inc. Class A (c)
  
110,370
2,826
Unit Corp. (i)
  
35,664
678
Whiting Petroleum Corp. (i)
  
130,440
6,118
TOTAL ENERGY
  
  
457,002
Entertainment/Film - 0.1%
 
  
  
New Cotai LLC/New Cotai Capital Corp. (b)(c)
  
3,366,626
8,888
 
  
  
  
Environmental - 0.4%
 
  
  
Darling Ingredients, Inc. (i)
  
909,117
62,793
 
  
  
  
Food & Drug Retail - 0.1%
 
  
  
Southeastern Grocers, Inc. (b)(c)(i)
  
793,345
14,867
 
  
  
  
Food/Beverage/Tobacco - 0.5%
 
  
  
JBS SA
 
12,343,900
75,961
 
  
  
  
Gaming - 1.5%
 
  
  
Boyd Gaming Corp. (i)
  
1,088,300
62,033
Caesars Entertainment, Inc. (i)
  
1,335,236
116,646
Penn National Gaming, Inc. (i)
  
654,000
44,721
Studio City International Holdings Ltd. ADR (i)
  
695,700
6,807
TOTAL GAMING
  
  
230,207
Healthcare - 1.8%
 
  
  
Bristol-Myers Squibb Co.
 
274,100
18,603
Charles River Laboratories International, Inc. (i)
  
56,800
23,113
Encompass Health Corp.
 
34
3
HCA Holdings, Inc.
 
154,200
38,272
Humana, Inc.
 
87,800
37,391
IQVIA Holdings, Inc. (i)
  
344,400
85,308
Regeneron Pharmaceuticals, Inc. (i)
  
63,600
36,545
Rotech Healthcare, Inc. (c)(i)
  
185,710
1,933
UnitedHealth Group, Inc.
 
92,600
38,172
TOTAL HEALTHCARE
  
  
279,340
Homebuilders/Real Estate - 0.5%
 
  
  
Arthur J. Gallagher & Co.
 
196,100
27,319
Lennar Corp. Class A
 
209,300
22,008
PulteGroup, Inc.
 
365,200
20,039
TOTAL HOMEBUILDERS/REAL ESTATE
  
  
69,366
Metals/Mining - 0.2%
 
  
  
Elah Holdings, Inc. (i)
  
906
90
First Quantum Minerals Ltd.
 
1,544,300
33,074
TOTAL METALS/MINING
  
  
33,164
Services - 0.6%
 
  
  
ASGN, Inc. (i)
  
226,400
22,896
Novus Holdings Ltd.
 
100,408
20
Penhall Acquisition Co.:
  
  
  
 Class A (c)(i)
  
26,163
3,041
 Class B (c)(i)
  
8,721
1,014
United Rentals, Inc. (i)
  
98,494
32,459
Visa, Inc. Class A
 
158,440
39,038
TOTAL SERVICES
  
  
98,468
Steel - 0.0%
 
  
  
Algoma Steel GP (c)(i)
  
198,162
2
Algoma Steel SCA (c)(i)
  
198,162
16
TOTAL STEEL
  
  
18
Super Retail - 1.0%
 
  
  
Amazon.com, Inc. (i)
  
9,600
31,945
Arena Brands Holding Corp. Class B (b)(c)(i)
  
659,302
2,472
Bath & Body Works, Inc.
 
298,900
23,933
eBay, Inc.
 
434,500
29,637
Lowe's Companies, Inc.
 
187,000
36,033
RH (i)
  
35,500
23,575
TOTAL SUPER RETAIL
  
  
147,595
Technology - 4.9%
 
  
  
Adobe, Inc. (i)
  
134,800
83,796
Alphabet, Inc. Class A (i)
  
36,500
98,350
CDW Corp.
 
131,500
24,111
EPAM Systems, Inc. (i)
  
73,200
40,977
Facebook, Inc. Class A (i)
  
271,400
96,700
Global Payments, Inc.
 
227,524
44,005
GoDaddy, Inc. (i)
  
246,400
20,661
Lam Research Corp.
 
134,500
85,732
Microchip Technology, Inc.
 
251,300
35,966
Micron Technology, Inc.
 
287,700
22,320
Microsoft Corp.
 
308,500
87,895
ON Semiconductor Corp. (i)
  
748,538
29,238
PayPal Holdings, Inc. (i)
  
177,000
48,769
SS&C Technologies Holdings, Inc.
 
426,282
33,416
TOTAL TECHNOLOGY
  
  
751,936
Telecommunications - 1.0%
 
  
  
Alibaba Group Holding Ltd. sponsored ADR (i)
  
109,200
21,315
Palo Alto Networks, Inc. (i)
  
103,500
41,302
T-Mobile U.S., Inc. (i)
  
505,300
72,773
Tencent Holdings Ltd. sponsored ADR
 
332,900
20,373
TOTAL TELECOMMUNICATIONS
  
  
155,763
Transportation Ex Air/Rail - 0.2%
 
  
  
Tricer Holdco SCA:
  
  
  
 Class A1 (b)(c)(i)
  
598,287
1
 Class A2 (b)(c)(i)
  
598,287
1
 Class A3 (b)(c)(i)
  
598,287
1
 Class A4 (b)(c)(i)
  
598,287
1
 Class A5 (b)(c)(i)
  
598,287
1
 Class A6 (b)(c)(i)
  
598,287
1
 Class A7 (b)(c)(i)
  
598,287
1
 Class A8 (b)(c)(i)
  
598,287
1
 Class A9 (b)(c)(i)
  
598,287
1
U.S. Shipping Partners Corp. (c)(i)
  
51,736
0
U.S. Shipping Partners Corp. warrants 12/31/29 (c)(i)
  
484,379
0
XPO Logistics, Inc. (i)
  
176,900
24,534
TOTAL TRANSPORTATION EX AIR/RAIL
  
  
24,543
Utilities - 0.6%
 
  
  
NRG Energy, Inc.
 
863,100
35,594
PG&E Corp. (i)
  
3,288,096
28,902
Portland General Electric Co.
 
14,817
725
Vistra Corp.
 
1,139,700
21,825
TOTAL UTILITIES
  
  
87,046
TOTAL COMMON STOCKS
 (Cost $1,751,013)
  
  
  
3,085,707
 
Nonconvertible Preferred Stocks - 0.0%
 
  
Shares
Value ($)
(000s)
 
Automotive & Auto Parts - 0.0%
 
  
  
Exide Technologies (c)
  
858
799
 
  
  
  
Transportation Ex Air/Rail - 0.0%
 
  
  
Tricer Holdco SCA (b)(c)(i)
  
287,159,690
97
 
  
  
  
TOTAL NONCONVERTIBLE PREFERRED STOCKS
 (Cost $11,049)
  
  
  
896
 
Bank Loan Obligations - 3.1%
 
  
Principal
Amount (a)
(000s)
 
Value ($)
(000s)
 
Air Transportation - 0.3%
 
  
  
Air Canada Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7/27/28 (h)(l)(m)
  
9,105
9,120
Dynasty Acquisition Co., Inc.:
  
  
  
 Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6473% 4/8/26 (g)(h)(m)
  
2,598
2,506
 Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6473% 4/4/26 (g)(h)(m)
  
1,397
1,347
SkyMiles IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 10/20/27 (g)(h)(m)
  
3,490
3,683
United Airlines, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 4/14/28 (g)(h)(m)
  
26,434
26,444
TOTAL AIR TRANSPORTATION
  
  
43,100
Automotive & Auto Parts - 0.1%
 
  
  
Midas Intermediate Holdco II LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.750% 7.5% 12/16/25 (g)(h)(m)
  
861
825
Wand NewCo 3, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.092% 2/5/26 (g)(h)(m)
  
18,124
17,859
TOTAL AUTOMOTIVE & AUTO PARTS
  
  
18,684
Banks & Thrifts - 0.0%
 
  
  
Citadel Securities LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.592% 2/27/28 (g)(h)(m)
  
9,820
9,645
 
  
  
  
Broadcasting - 0.1%
 
  
  
Nexstar Broadcasting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.6003% 9/19/26 (g)(h)(m)
  
3,835
3,796
Univision Communications, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 5/6/28 (h)(l)(m)
  
7,500
7,473
TOTAL BROADCASTING
  
  
11,269
Building Materials - 0.2%
 
  
  
Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.75% 5/17/28 (g)(h)(m)
  
24,010
23,834
SRS Distribution, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 5/20/28 (g)(h)(m)
  
6,505
6,455
TOTAL BUILDING MATERIALS
  
  
30,289
Consumer Products - 0.2%
 
  
  
Kronos Acquisition Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.25% 12/22/26 (g)(h)(m)
  
22,089
21,821
Michaels Companies, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 5% 4/15/28 (g)(h)(m)
  
5,560
5,560
TOTAL CONSUMER PRODUCTS
  
  
27,381
Containers - 0.0%
 
  
  
Kloeckner Pentaplast of America, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.25% 2/4/26 (g)(h)(m)
  
1,501
1,500
 
  
  
  
Diversified Financial Services - 0.0%
 
  
  
New Cotai LLC 1LN, term loan 3 month U.S. LIBOR + 12.000% 14% 9/9/25 (c)(g)(h)(m)
  
991
991
 
  
  
  
Energy - 0.0%
 
  
  
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 8% 8/1/23 (g)(h)(m)
  
1,380
1,359
Forbes Energy Services LLC Tranche B, term loan 0% (c)(g)(m)
  
2,190
0
Mesquite Energy, Inc.:
  
  
  
 1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (c)(f)(h)(m)
  
5,861
0
 term loan 3 month U.S. LIBOR + 0.000% 0% (c)(f)(h)(m)
  
2,528
0
TOTAL ENERGY
  
  
1,359
Environmental - 0.0%
 
  
  
Madison IAQ LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 6/21/28 (g)(h)(m)
  
3,030
3,002
 
  
  
  
Healthcare - 0.6%
 
  
  
CPI Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8543% 11/4/26 (g)(h)(m)
  
593
591
Gainwell Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 10/1/27 (g)(h)(m)
  
17,810
17,793
Indigo Merger Sub, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 3% 7/1/28 (g)(h)(m)
  
2,364
2,358
Jazz Financing Lux SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 5/5/28 (g)(h)(m)
  
6,995
7,002
Organon & Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.5% 6/2/28 (g)(h)(m)
  
17,555
17,500
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.125% 6/13/26 (g)(h)(m)
  
42,916
42,923
Valeant Pharmaceuticals International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1043% 6/1/25 (g)(h)(m)
  
1,680
1,667
TOTAL HEALTHCARE
  
  
89,834
Hotels - 0.0%
 
  
  
Travelport Finance Luxembourg SARL 1LN, term loan:
  
  
  
 3 month U.S. LIBOR + 6.250% 6.8973% 5/29/26 (g)(h)(m)
  
9,199
7,834
 3 month U.S. LIBOR + 8.000% 9% 2/28/25 (g)(h)(m)
  
492
499
TOTAL HOTELS
  
  
8,333
Insurance - 0.1%
 
  
  
Alliant Holdings Intermediate LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.25% 11/5/27 (g)(h)(m)
  
13,551
13,531
 
  
  
  
Services - 0.2%
 
  
  
KUEHG Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.25% 8/22/25 (g)(h)(m)
  
6,055
5,896
Sabert Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/10/26 (g)(h)(m)
  
7,936
7,936
Sotheby's Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.5% 1/15/27 (g)(h)(m)
  
11,057
11,052
TOTAL SERVICES
  
  
24,884
Technology - 0.7%
 
  
  
Acuris Finance U.S., Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.5% 2/16/28 (g)(h)(m)
  
1,131
1,133
athenahealth, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.4099% 2/11/26 (g)(h)(m)
  
2,219
2,217
Boxer Parent Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.842% 10/2/25 (g)(h)(m)
  
32,164
31,874
Camelot Finance SA Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.092% 10/31/26 (g)(h)(m)
  
1,133
1,121
DG Investment Intermediate Holdings, Inc.:
  
  
  
 Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 3/31/28 (g)(h)(m)
  
1,678
1,677
 Tranche DD 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.32% 3/31/28 (g)(h)(m)(n)
  
352
351
Icon Luxembourg Sarl Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 3% 7/1/28 (g)(h)(m)
  
9,486
9,463
McAfee LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.8401% 9/29/24 (g)(h)(m)
  
4,068
4,062
ON Semiconductor Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.092% 9/19/26 (g)(h)(m)
  
7,708
7,625
Peraton Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 2/1/28 (g)(h)(m)
  
14,169
14,147
Polaris Newco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 4.5% 6/2/28 (g)(h)(m)
  
6,775
6,767
Proofpoint, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 6/9/28 (h)(l)(m)
  
6,605
6,536
RealPage, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.75% 4/22/28 (g)(h)(m)
  
6,030
5,989
STG-Fairway Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.842% 1/31/27 (g)(h)(m)
  
3,110
3,083
UKG, Inc.:
  
  
  
 2LN, term loan 3 month U.S. LIBOR + 6.750% 7.5% 5/3/27 (g)(h)(m)
  
2,310
2,344
 Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4% 5/4/26 (g)(h)(m)
  
10,923
10,910
VS Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.092% 2/28/27 (g)(h)(m)
  
2,326
2,302
TOTAL TECHNOLOGY
  
  
111,601
Telecommunications - 0.4%
 
  
  
Connect Finco SARL Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 12/12/26 (g)(h)(m)
  
8,937
8,929
Frontier Communications Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 5/1/28 (g)(h)(m)
  
5,162
5,152
GTT Communications, Inc.:
  
  
  
 1LN, term loan 3 month U.S. LIBOR + 5.000% 8.5% 5/31/25 (g)(h)(m)
  
1,731
1,745
 Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.9% 5/31/25 (g)(h)(m)
  
25,528
20,039
 Tranche DD 1LN, term loan 3 month U.S. LIBOR + 5.000% 8.5% 12/31/21 (g)(h)(m)
  
2,131
2,148
Intelsat Jackson Holdings SA Tranche DD 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.5% 7/13/22 (g)(h)(m)
  
5,148
5,182
Securus Technologies Holdings Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.5% 11/1/24 (g)(h)(m)
  
7,025
6,523
Zayo Group Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.092% 3/9/27 (g)(h)(m)
  
7,821
7,688
TOTAL TELECOMMUNICATIONS
  
  
57,406
Utilities - 0.2%
 
  
  
PG&E Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.5% 6/23/25 (g)(h)(m)
  
27,230
26,504
 
  
  
  
TOTAL BANK LOAN OBLIGATIONS
 (Cost $487,635)
  
  
  
479,313
 
Preferred Securities - 7.0%
 
  
Principal
Amount (a)
(000s)
 
Value ($)
(000s)
 
Banks & Thrifts - 6.1%
 
  
  
Ally Financial, Inc. 4.7% (g)(o)
  
17,635
18,358
Bank of America Corp.:
  
  
  
 5.125% (g)(o)
  
36,030
38,418
 5.2% (g)(o)
  
61,440
63,667
 5.875% (g)(o)
  
102,630
117,896
 6.25% (g)(o)
  
28,555
31,553
Citigroup, Inc.:
  
  
  
 4.7% (g)(o)
  
15,285
15,831
 5% (g)(o)
  
60,300
63,414
 5.9% (g)(o)
  
27,015
28,350
 5.95% (g)(o)
  
51,015
53,610
 6.3% (g)(o)
  
5,610
6,042
Goldman Sachs Group, Inc.:
  
  
  
 4.4% (g)(o)
  
8,035
8,336
 4.95% (g)(o)
  
13,335
14,331
 5% (g)(o)
  
70,565
71,157
Huntington Bancshares, Inc./Ohio 5.7% (g)(o)
  
12,990
13,514
JPMorgan Chase & Co.:
  
  
  
 3 month U.S. LIBOR + 3.320% 3.4649% (g)(h)(o)
  
43,545
43,510
 3 month U.S. LIBOR + 3.800% 3.9756% (g)(h)(o)
  
16,855
16,936
 4% (g)(o)
  
34,340
34,683
 4.6% (g)(o)
  
23,365
24,183
 5% (g)(o)
  
30,845
32,559
 6% (g)(o)
  
69,385
73,375
 6.125% (g)(o)
  
17,585
19,154
 6.75% (g)(o)
  
8,330
9,200
Wells Fargo & Co.:
  
  
  
 5.875% (g)(o)
  
50,420
57,101
 5.9% (g)(o)
  
63,075
67,994
TOTAL BANKS & THRIFTS
  
  
923,172
Diversified Financial Services - 0.0%
 
  
  
OEC Finance Ltd. 7.5% pay-in-kind (d)(o)
  
1,655
166
 
  
  
  
Energy - 0.9%
 
  
  
DCP Midstream Partners LP 7.375% (g)(o)
  
15,260
14,833
Energy Transfer LP:
  
  
  
 6.25% (g)(o)
  
70,123
63,164
 6.625% (g)(o)
  
27,290
26,810
MPLX LP 6.875% (g)(o)
  
30,450
30,983
Summit Midstream Partners LP 9.5% (g)(o)
  
2,912
2,417
TOTAL ENERGY
  
  
138,207
TOTAL PREFERRED SECURITIES
 (Cost $1,013,742)
  
  
  
1,061,545
 
Money Market Funds - 8.3%
 
  
Shares
Value ($)
(000s)
 
Fidelity Cash Central Fund 0.06% (p)
  
1,233,725,251
1,233,972
Fidelity Securities Lending Cash Central Fund 0.06% (p)(q)
  
27,134,237
27,137
 
TOTAL MONEY MARKET FUNDS
 (Cost $1,261,063)
  
  
1,261,109
 
 
 
TOTAL INVESTMENT IN SECURITIES - 99.6%
 (Cost $13,264,070)
 
  
15,149,068
NET OTHER ASSETS (LIABILITIES) - 0.4%  
56,886
NET ASSETS - 100.0%
15,205,954
 
  
 
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 $49,460,000 or 0.3% 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 $6,372,976,000 or 41.9% of net assets.
 
(e)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
 
(f)
Non-income producing - Security is in default.
 
(g)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(h)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(i)
Non-income producing
 
(j)
Affiliated company
 
(k)
Security or a portion of the security is on loan at period end.
 
(l)
The coupon rate will be determined upon settlement of the loan after period end.
 
(m)
Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower.  Such prepayments cannot be predicted with certainty.
 
(n)
Position or a portion of the position represents an unfunded loan commitment.  At period end, the total principal amount and market value of unfunded commitments totaled $84,000 and $84,000, respectively.
 
(o)
Security is perpetual in nature with no stated maturity date.
 
(p)
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.
 
(q)
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
Mesquite Energy, Inc. 15% 7/15/23
11/05/20 - 7/15/21
3,997
Mesquite Energy, Inc. 15% 7/15/23
7/10/20 - 7/15/21
2,315
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 0.06%
1,367,979
897,150
1,031,157
143
-
-
1,233,972
1.8%
Fidelity Securities Lending Cash Central Fund 0.06%
-
83,417
56,280
3
-
-
27,137
0.1%
Total
1,367,979
980,567
1,087,437
146
-
-
1,261,109
  
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
 
Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
 
Other Affiliated Issuers
An affiliated company is a company in which the Fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows:
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 ($)
California Resources Corp.
120,620
-
-
-
-
22,444
143,064
California Resources Corp. warrants 10/27/24
228
-
-
-
-
82
310
Total
120,848
-
-
-
-
22,526
143,374
 
 
 
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.   
 
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
Valuation techniques used to value investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
 
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.
 
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate Bonds, Bank Loan Obligations and Preferred Securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. 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.
 
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
 
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
 
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
 
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