NPORT-EX 2 QTLY_38_20220131.htm US_QtlyFinancialStatementsCoverMaster
Quarterly Holdings Report
for
Fidelity® Capital & Income Fund
January 31, 2022
CAI-NPRT3-0422
1.813054.117
Corporate Bonds - 62.1%
 
  
Principal
Amount (a)
(000s)
 
Value ($)
(000s)
 
Convertible Bonds - 0.2%
 
  
  
Energy - 0.2%
  
  
  
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
  
4,306
13,520
Mesquite Energy, Inc. 15% 7/15/23 (b)(c)
  
2,495
8,658
 
  
  
22,178
Nonconvertible Bonds - 61.9%
 
  
  
Aerospace - 3.2%
  
  
  
Allegheny Technologies, Inc.:
  
  
  
 4.875% 10/1/29
 
6,080
5,970
 5.125% 10/1/31
 
5,395
5,283
Bombardier, Inc.:
  
  
  
 6% 2/15/28 (d)
  
6,075
5,881
 7.125% 6/15/26 (d)
  
12,110
12,315
 7.5% 12/1/24 (d)
  
8,870
9,181
 7.5% 3/15/25 (d)
  
14,145
14,322
 7.875% 4/15/27 (d)
  
45,265
45,705
Kaiser Aluminum Corp. 4.625% 3/1/28 (d)
  
11,215
10,759
Moog, Inc. 4.25% 12/15/27 (d)
  
3,455
3,467
Rolls-Royce PLC 5.75% 10/15/27 (d)
  
10,870
11,405
Spirit Aerosystems, Inc. 7.5% 4/15/25 (d)
  
15,000
15,558
TransDigm UK Holdings PLC 6.875% 5/15/26
 
35,725
37,035
TransDigm, Inc.:
  
  
  
 4.625% 1/15/29
 
38,080
36,163
 4.875% 5/1/29
 
25,000
24,003
 5.5% 11/15/27
 
124,228
124,849
 6.25% 3/15/26 (d)
  
17,925
18,508
 6.375% 6/15/26
 
61,985
63,070
 7.5% 3/15/27
 
18,012
18,691
 
  
  
462,165
Air Transportation - 1.5%
  
  
  
Air Canada 3.875% 8/15/26 (d)
  
9,105
8,881
Delta Air Lines, Inc. 7% 5/1/25 (d)
  
2,708
3,033
Delta Air Lines, Inc. / SkyMiles IP Ltd.:
  
  
  
 4.5% 10/20/25 (d)
  
48,285
50,095
 4.75% 10/20/28 (d)
  
39,880
42,521
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. 5.75% 1/20/26 (d)
  
22,205
22,709
Mileage Plus Holdings LLC 6.5% 6/20/27 (d)
  
34,530
36,688
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. 8% 9/20/25 (d)
  
7,779
8,428
United Airlines, Inc.:
  
  
  
 4.375% 4/15/26 (d)
  
30,025
29,803
 4.625% 4/15/29 (d)
  
18,025
17,835
 
  
  
219,993
Automotive - 0.1%
  
  
  
Ford Motor Credit Co. LLC 3.625% 6/17/31
 
15,745
15,563
Automotive & Auto Parts - 1.5%
  
  
  
Allison Transmission, Inc. 5.875% 6/1/29 (d)
  
7,960
8,385
Arko Corp. 5.125% 11/15/29 (d)
  
9,105
8,662
Dana, Inc.:
  
  
  
 4.25% 9/1/30
 
8,870
8,593
 4.5% 2/15/32
 
9,135
8,724
Exide Technologies:
  
  
  
 11% 10/31/24 pay-in-kind (c)(d)(e)(f)
  
1,760
0
 11% 10/31/24 pay-in-kind (c)(d)(e)(f)
  
891
401
Ford Motor Co. 3.25% 2/12/32
 
29,640
28,321
Ford Motor Credit Co. LLC:
  
  
  
 3.375% 11/13/25
 
26,505
26,535
 4% 11/13/30
 
42,253
42,474
 5.113% 5/3/29
 
10,330
11,056
LCM Investments Holdings 4.875% 5/1/29 (d)
  
24,415
23,515
McLaren Finance PLC 7.5% 8/1/26 (d)
  
8,290
8,456
Nesco Holdings II, Inc. 5.5% 4/15/29 (d)
  
14,525
14,380
PECF USS Intermediate Holding III Corp. 8% 11/15/29 (d)
  
5,530
5,585
Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 6.625% 10/15/26 (d)(f)(g)
  
30,350
30,654
 
  
  
225,741
Banks & Thrifts - 1.8%
  
  
  
Ally Financial, Inc.:
  
  
  
 8% 11/1/31
 
20,638
27,439
 8% 11/1/31
 
151,039
204,673
CQP Holdco LP / BIP-V Chinook Holdco LLC 5.5% 6/15/31 (d)
  
15,120
15,069
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (d)
  
8,740
8,569
 
  
  
255,750
Broadcasting - 1.4%
  
  
  
Clear Channel Outdoor Holdings, Inc. 7.5% 6/1/29 (d)
  
12,070
12,508
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d)
  
46,565
21,536
Gray Escrow II, Inc. 5.375% 11/15/31 (d)
  
18,765
18,502
Lions Gate Capital Holdings LLC 5.5% 4/15/29 (d)
  
8,990
8,935
Netflix, Inc. 4.875% 4/15/28
 
19,535
21,435
Nexstar Broadcasting, Inc.:
  
  
  
 4.75% 11/1/28 (d)
  
22,300
22,037
 5.625% 7/15/27 (d)
  
23,735
24,328
Scripps Escrow II, Inc. 3.875% 1/15/29 (d)
  
2,820
2,691
Sirius XM Radio, Inc.:
  
  
  
 3.125% 9/1/26 (d)
  
9,100
8,725
 3.875% 9/1/31 (d)
  
12,130
11,220
 4% 7/15/28 (d)
  
23,630
22,862
 5% 8/1/27 (d)
  
14,525
14,831
Townsquare Media, Inc. 6.875% 2/1/26 (d)
  
5,645
5,863
Univision Communications, Inc. 4.5% 5/1/29 (d)
  
12,060
11,945
 
  
  
207,418
Building Materials - 0.5%
  
  
  
Advanced Drain Systems, Inc. 5% 9/30/27 (d)
  
2,325
2,342
Brundage-Bone Concrete Pumping Holdings, Inc. 6% 2/1/26 (d)
  
6,555
6,635
CP Atlas Buyer, Inc. 7% 12/1/28 (d)
  
5,480
5,213
James Hardie International Finance Ltd. 5% 1/15/28 (d)
  
4,136
4,238
MIWD Holdco II LLC / MIWD Finance Corp. 5.5% 2/1/30 (d)
  
4,125
4,088
SRS Distribution, Inc.:
  
  
  
 4.625% 7/1/28 (d)
  
11,605
11,217
 6% 12/1/29 (d)
  
11,220
10,898
 6.125% 7/1/29 (d)
  
6,380
6,252
Summit Materials LLC/Summit Materials Finance Corp. 5.25% 1/15/29 (d)
  
10,525
10,742
Victors Merger Corp. 6.375% 5/15/29 (d)
  
12,060
11,061
 
  
  
72,686
Cable/Satellite TV - 4.0%
  
  
  
Block Communications, Inc. 4.875% 3/1/28 (d)
  
7,830
7,700
CCO Holdings LLC/CCO Holdings Capital Corp.:
  
  
  
 4.25% 2/1/31 (d)
  
16,515
15,755
 4.5% 8/15/30 (d)
  
21,660
21,119
 4.5% 5/1/32
 
46,575
44,887
 4.75% 3/1/30 (d)
  
63,365
62,877
 4.75% 2/1/32 (d)
  
26,255
25,827
 5% 2/1/28 (d)
  
91,490
92,606
 5.125% 5/1/27 (d)
  
69,885
71,636
 5.375% 6/1/29 (d)
  
18,080
18,631
 5.5% 5/1/26 (d)
  
8,759
8,967
CSC Holdings LLC:
  
  
  
 3.375% 2/15/31 (d)
  
14,140
12,337
 4.5% 11/15/31 (d)
  
30,110
28,055
 5.375% 2/1/28 (d)
  
23,655
23,725
 5.75% 1/15/30 (d)
  
15,150
14,276
 6.5% 2/1/29 (d)
  
24,795
25,814
DISH DBS Corp.:
  
  
  
 5.25% 12/1/26 (d)
  
15,220
14,763
 5.75% 12/1/28 (d)
  
15,220
14,564
Dolya Holdco 18 DAC 5% 7/15/28 (d)
  
6,600
6,221
Radiate Holdco LLC/Radiate Financial Service Ltd.:
  
  
  
 4.5% 9/15/26 (d)
  
8,350
8,038
 6.5% 9/15/28 (d)
  
22,260
21,481
VZ Secured Financing BV 5% 1/15/32 (d)
  
24,310
23,437
Ziggo Bond Co. BV:
  
  
  
 5.125% 2/28/30 (d)
  
6,000
5,692
 6% 1/15/27 (d)
  
11,435
11,707
Ziggo BV 4.875% 1/15/30 (d)
  
7,990
7,730
 
  
  
587,845
Capital Goods - 0.1%
  
  
  
ATS Automation Tooling System, Inc. 4.125% 12/15/28 (d)
  
7,895
7,777
Stevens Holding Co., Inc. 6.125% 10/1/26 (d)
  
3,245
3,387
 
  
  
11,164
Chemicals - 1.4%
  
  
  
Compass Minerals International, Inc. 6.75% 12/1/27 (d)
  
24,600
25,773
Gpd Companies, Inc. 10.125% 4/1/26 (d)
  
14,980
15,748
Ingevity Corp. 3.875% 11/1/28 (d)
  
11,105
10,513
Kraton Polymers LLC/Kraton Polymers Capital Corp. 4.25% 12/15/25 (d)
  
7,330
7,550
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. 5% 12/31/26 (d)
  
3,835
3,586
LSB Industries, Inc. 6.25% 10/15/28 (d)
  
15,090
15,316
Olympus Water U.S. Holding Corp. 4.25% 10/1/28 (d)
  
12,145
11,598
SCIH Salt Holdings, Inc. 4.875% 5/1/28 (d)
  
7,820
7,331
SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (d)
  
14,015
14,050
The Chemours Co. LLC:
  
  
  
 5.375% 5/15/27
 
32,330
33,233
 5.75% 11/15/28 (d)
  
16,765
17,023
Tronox, Inc.:
  
  
  
 4.625% 3/15/29 (d)
  
13,295
12,783
 6.5% 5/1/25 (d)
  
8,760
9,091
Valvoline, Inc. 4.25% 2/15/30 (d)
  
8,315
8,032
W.R. Grace Holding LLC 5.625% 8/15/29 (d)
  
15,035
14,509
 
  
  
206,136
Consumer Products - 1.3%
  
  
  
Angi Group LLC 3.875% 8/15/28 (d)
  
5,530
5,062
Diamond BC BV 4.625% 10/1/29 (d)
  
7,285
6,830
Foundation Building Materials, Inc. 6% 3/1/29 (d)
  
5,845
5,642
Gannett Holdings LLC 6% 11/1/26 (d)
  
8,785
8,895
HFC Prestige Products, Inc./HFC Prestige International U.S. LLC 4.75% 1/15/29 (d)
  
8,760
8,629
Michaels Companies, Inc. 5.25% 5/1/28 (d)
  
14,150
13,625
Millennium Escrow Corp. 6.625% 8/1/26 (d)
  
12,120
12,018
Nordstrom, Inc.:
  
  
  
 4.25% 8/1/31
 
25,145
23,251
 4.375% 4/1/30
 
3,790
3,551
 5% 1/15/44
 
1,785
1,591
 6.95% 3/15/28
 
550
598
PetSmart, Inc. / PetSmart Finance Corp.:
  
  
  
 4.75% 2/15/28 (d)
  
10,160
10,132
 7.75% 2/15/29 (d)
  
8,880
9,526
Ritchie Bros. Holdings, Inc. 4.75% 12/15/31 (d)
  
6,670
6,718
Spectrum Brands Holdings, Inc. 3.875% 3/15/31 (d)
  
8,380
7,877
Tempur Sealy International, Inc.:
  
  
  
 3.875% 10/15/31 (d)
  
15,965
14,889
 4% 4/15/29 (d)
  
15,925
15,267
The Scotts Miracle-Gro Co. 4% 4/1/31
 
11,945
11,407
TKC Holdings, Inc.:
  
  
  
 6.875% 5/15/28 (d)
  
12,040
12,100
 10.5% 5/15/29 (d)
  
12,040
12,582
 
  
  
190,190
Containers - 0.5%
  
  
  
ARD Finance SA 6.5% 6/30/27 pay-in-kind (d)(f)
  
7,963
8,043
Crown Cork & Seal, Inc.:
  
  
  
 7.375% 12/15/26
 
4,845
5,620
 7.5% 12/15/96
 
12,871
15,059
Graham Packaging Co., Inc. 7.125% 8/15/28 (d)
  
6,000
6,090
Graphic Packaging International, Inc. 3.75% 2/1/30 (d)
  
7,880
7,565
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (d)
  
4,230
4,209
LABL, Inc. 5.875% 11/1/28 (d)
  
14,730
14,583
Trivium Packaging Finance BV 5.5% 8/15/26 (d)
  
6,930
6,986
 
  
  
68,155
Diversified Financial Services - 2.1%
  
  
  
Broadstreet Partners, Inc. 5.875% 4/15/29 (d)
  
15,505
14,784
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (d)
  
6,915
6,950
Coinbase Global, Inc.:
  
  
  
 3.375% 10/1/28 (d)
  
9,110
8,170
 3.625% 10/1/31 (d)
  
9,110
7,937
Compass Group Diversified Holdings LLC:
  
  
  
 5% 1/15/32 (d)
  
6,090
6,014
 5.25% 4/15/29 (d)
  
17,730
17,500
Hightower Holding LLC 6.75% 4/15/29 (d)
  
5,945
6,064
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
  
  
  
 4.375% 2/1/29
 
11,165
10,613
 5.25% 5/15/27
 
41,665
41,821
 6.25% 5/15/26
 
24,085
24,759
 6.375% 12/15/25
 
28,275
28,781
 6.75% 2/1/24
 
10,075
10,075
LPL Holdings, Inc. 4% 3/15/29 (d)
  
17,730
17,208
MSCI, Inc.:
  
  
  
 3.25% 8/15/33 (d)
  
9,110
8,544
 4% 11/15/29 (d)
  
6,385
6,425
OEC Finance Ltd.:
  
  
  
 4.375% 10/25/29 pay-in-kind (d)
  
6,486
259
 5.25% 12/27/33 pay-in-kind (d)
  
6,136
245
OneMain Finance Corp.:
  
  
  
 4% 9/15/30
 
5,610
5,222
 5.375% 11/15/29
 
9,400
9,544
 6.625% 1/15/28
 
7,305
7,841
 6.875% 3/15/25
 
19,480
21,136
 7.125% 3/15/26
 
38,380
42,192
Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. 4.625% 11/1/26 (d)
  
3,750
3,807
 
  
  
305,891
Diversified Media - 0.4%
  
  
  
Nielsen Finance LLC/Nielsen Finance Co.:
  
  
  
 4.5% 7/15/29 (d)
  
6,050
5,642
 4.75% 7/15/31 (d)
  
6,040
5,618
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d)
  
40,645
42,901
 
  
  
54,161
Energy - 7.7%
  
  
  
Antero Midstream Partners LP/Antero Midstream Finance Corp.:
  
  
  
 5.375% 6/15/29 (d)
  
9,060
9,120
 5.75% 1/15/28 (d)
  
17,645
17,994
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d)
  
7,820
7,468
Callon Petroleum Co. 6.125% 10/1/24
 
4,090
4,090
CGG SA 8.75% 4/1/27 (d)
  
11,985
11,985
Cheniere Energy Partners LP:
  
  
  
 3.25% 1/31/32 (d)
  
9,110
8,569
 4% 3/1/31
 
31,040
30,883
Cheniere Energy, Inc. 4.625% 10/15/28
 
22,300
22,635
Chesapeake Energy Corp.:
  
  
  
 5.875% 2/1/29 (d)
  
5,840
6,089
 6.75% 4/15/29 (d)
  
8,995
9,613
 7% 10/1/24 (c)(e)
  
6,915
0
 8% 1/15/25 (c)(e)
  
3,385
0
 8% 6/15/27 (c)(e)
  
2,132
0
Citgo Holding, Inc. 9.25% 8/1/24 (d)
  
27,185
27,149
Citgo Petroleum Corp.:
  
  
  
 6.375% 6/15/26 (d)
  
8,760
8,716
 7% 6/15/25 (d)
  
22,045
22,210
CNX Midstream Partners LP 4.75% 4/15/30 (d)
  
6,435
6,284
CNX Resources Corp. 6% 1/15/29 (d)
  
5,345
5,505
Colgate Energy Partners III LLC 5.875% 7/1/29 (d)
  
8,645
8,785
Comstock Resources, Inc.:
  
  
  
 5.875% 1/15/30 (d)
  
25,285
25,129
 6.75% 3/1/29 (d)
  
20,060
20,638
 7.5% 5/15/25 (d)
  
3,722
3,786
Continental Resources, Inc. 4.9% 6/1/44
 
12,240
12,884
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:
  
  
  
 5.625% 5/1/27 (d)
  
18,015
18,060
 5.75% 4/1/25
 
4,790
4,826
 6% 2/1/29 (d)
  
25,785
25,978
CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (d)
  
5,055
5,103
CVR Energy, Inc.:
  
  
  
 5.25% 2/15/25 (d)
  
16,990
16,395
 5.75% 2/15/28 (d)
  
22,655
21,749
DCP Midstream Operating LP 5.85% 5/21/43 (d)(f)
  
18,335
17,470
Delek Logistics Partners LP 7.125% 6/1/28 (d)
  
17,655
17,911
DT Midstream, Inc.:
  
  
  
 4.125% 6/15/29 (d)
  
9,070
8,947
 4.375% 6/15/31 (d)
  
9,070
8,957
Endeavor Energy Resources LP/EER Finance, Inc.:
  
  
  
 5.75% 1/30/28 (d)
  
21,251
21,986
 6.625% 7/15/25 (d)
  
5,510
5,759
Energy Transfer LP 5.5% 6/1/27
 
16,735
18,147
Exterran Energy Solutions LP 8.125% 5/1/25
 
11,280
11,252
Hess Midstream Partners LP:
  
  
  
 4.25% 2/15/30 (d)
  
9,875
9,529
 5.125% 6/15/28 (d)
  
11,235
11,448
 5.625% 2/15/26 (d)
  
15,535
15,846
Hilcorp Energy I LP/Hilcorp Finance Co. 6.25% 11/1/28 (d)
  
12,280
12,741
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d)
  
7,615
7,411
MEG Energy Corp. 7.125% 2/1/27 (d)
  
11,335
11,805
Mesquite Energy, Inc. 7.25% 2/15/23 (c)(d)(e)
  
21,977
0
Nabors Industries Ltd.:
  
  
  
 7.25% 1/15/26 (d)
  
11,260
10,834
 7.5% 1/15/28 (d)
  
9,715
9,108
New Fortress Energy, Inc.:
  
  
  
 6.5% 9/30/26 (d)
  
20,960
19,598
 6.75% 9/15/25 (d)
  
6,896
6,534
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (d)
  
11,090
11,267
NGL Energy Partners LP/NGL Energy Finance Corp. 6.125% 3/1/25
 
11,961
10,429
Nine Energy Service, Inc. 8.75% 11/1/23 (d)
  
6,245
2,670
NuStar Logistics LP 6% 6/1/26
 
12,025
12,613
Occidental Petroleum Corp.:
  
  
  
 3.5% 8/15/29
 
14,690
14,480
 4.4% 4/15/46
 
9,300
8,894
 4.4% 8/15/49
 
23,525
22,349
 4.625% 6/15/45
 
11,935
11,562
 5.875% 9/1/25
 
11,055
11,815
 6.125% 1/1/31
 
23,465
27,084
 6.2% 3/15/40
 
5,785
6,696
 6.375% 9/1/28
 
18,145
20,640
 6.45% 9/15/36
 
19,110
23,213
 6.6% 3/15/46
 
11,465
14,414
 6.625% 9/1/30
 
22,115
25,952
 7.2% 3/15/29
 
3,964
4,519
 7.5% 5/1/31
 
1,100
1,359
 8.875% 7/15/30
 
12,405
16,079
PBF Holding Co. LLC/PBF Finance Corp.:
  
  
  
 6% 2/15/28
 
27,530
19,340
 7.25% 6/15/25
 
22,875
18,150
 9.25% 5/15/25 (d)
  
24,810
24,190
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23
 
8,455
8,307
PDC Energy, Inc. 6.125% 9/15/24
 
1,777
1,795
Renewable Energy Group, Inc. 5.875% 6/1/28 (d)
  
6,340
6,364
SM Energy Co.:
  
  
  
 5.625% 6/1/25
 
6,330
6,283
 6.625% 1/15/27
 
21,320
21,906
 6.75% 9/15/26
 
4,550
4,596
Southern Natural Gas Co. LLC:
  
  
  
 7.35% 2/15/31
 
23,497
29,729
 8% 3/1/32
 
12,475
16,879
Southwestern Energy Co.:
  
  
  
 5.375% 3/15/30
 
12,145
12,444
 5.95% 1/23/25 (f)
  
244
258
 7.75% 10/1/27
 
12,945
13,791
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5% 6/1/31 (d)
  
12,070
11,889
Summit Midstream Holdings LLC:
  
  
  
 5.75% 4/15/25
 
5,390
4,813
 8.5% (d)(h)
  
9,110
9,335
Sunoco LP/Sunoco Finance Corp.:
  
  
  
 4.5% 5/15/29
 
10,170
9,956
 4.5% 4/30/30 (d)
  
12,185
11,965
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.:
  
  
  
 6% 9/1/31 (d)
  
9,110
8,679
 7.5% 10/1/25 (d)
  
8,350
8,782
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 4.875% 2/1/31
 
10,360
10,826
Teine Energy Ltd. 6.875% 4/15/29 (d)
  
8,990
9,170
Tennessee Gas Pipeline Co. 7.625% 4/1/37
 
5,445
7,365
Ultra Resources, Inc. 11% 7/12/24 pay-in-kind (c)(e)
  
10,734
537
Venture Global Calcasieu Pass LLC:
  
  
  
 3.875% 8/15/29 (d)
  
7,585
7,572
 4.125% 8/15/31 (d)
  
7,585
7,634
 
  
  
1,125,516
Environmental - 0.5%
  
  
  
Covanta Holding Corp.:
  
  
  
 4.875% 12/1/29 (d)
  
18,165
18,045
 5% 9/1/30
 
11,060
10,949
GFL Environmental, Inc.:
  
  
  
 4% 8/1/28 (d)
  
9,105
8,483
 4.75% 6/15/29 (d)
  
12,095
11,732
Madison IAQ LLC:
  
  
  
 4.125% 6/30/28 (d)
  
11,390
10,849
 5.875% 6/30/29 (d)
  
9,085
8,396
 
  
  
68,454
Food & Drug Retail - 1.1%
  
  
  
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:
  
  
  
 3.5% 3/15/29 (d)
  
36,160
34,141
 4.625% 1/15/27 (d)
  
25,300
25,895
 4.875% 2/15/30 (d)
  
44,700
45,538
Murphy Oil U.S.A., Inc.:
  
  
  
 3.75% 2/15/31 (d)
  
5,300
4,994
 4.75% 9/15/29
 
6,860
6,963
 5.625% 5/1/27
 
6,030
6,218
Parkland Corp.:
  
  
  
 4.5% 10/1/29 (d)
  
8,995
8,648
 4.625% 5/1/30 (d)
  
12,175
11,688
SEG Holding LLC/SEG Finance Corp. 5.625% 10/15/28 (d)
  
11,130
11,575
 
  
  
155,660
Food/Beverage/Tobacco - 2.0%
  
  
  
C&S Group Enterprises LLC 5% 12/15/28 (d)
  
8,615
7,906
Chobani LLC/Finance Corp., Inc. 4.625% 11/15/28 (d)
  
6,285
6,284
Del Monte Foods, Inc. 11.875% 5/15/25 (d)
  
6,310
6,973
JBS U.S.A. Food Co. 5.75% 1/15/28 (d)
  
10,705
11,160
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (d)
  
18,350
19,566
JBS U.S.A. Lux SA / JBS Food Co.:
  
  
  
 5.5% 1/15/30 (d)
  
20,180
21,403
 6.5% 4/15/29 (d)
  
29,320
31,849
KeHE Distributors LLC / KeHE Finance Corp. 8.625% 10/15/26 (d)
  
7,777
8,224
Lamb Weston Holdings, Inc.:
  
  
  
 4.125% 1/31/30 (d)
  
12,150
12,003
 4.375% 1/31/32 (d)
  
6,075
5,991
Performance Food Group, Inc.:
  
  
  
 4.25% 8/1/29 (d)
  
8,495
7,971
 5.5% 10/15/27 (d)
  
8,855
9,059
Pilgrim's Pride Corp. 4.25% 4/15/31 (d)
  
21,020
20,740
Post Holdings, Inc.:
  
  
  
 4.5% 9/15/31 (d)
  
47,500
45,206
 4.625% 4/15/30 (d)
  
15,630
15,063
 5.5% 12/15/29 (d)
  
21,040
21,624
Simmons Foods, Inc. 4.625% 3/1/29 (d)
  
8,340
7,996
TreeHouse Foods, Inc. 4% 9/1/28
 
3,695
3,455
Triton Water Holdings, Inc. 6.25% 4/1/29 (d)
  
6,360
5,963
U.S. Foods, Inc. 4.625% 6/1/30 (d)
  
7,520
7,313
United Natural Foods, Inc. 6.75% 10/15/28 (d)
  
7,750
8,225
 
  
  
283,974
Gaming - 2.9%
  
  
  
Affinity Gaming LLC 6.875% 12/15/27 (d)
  
4,295
4,359
Boyd Gaming Corp. 4.75% 6/15/31 (d)
  
15,120
14,841
Caesars Entertainment, Inc.:
  
  
  
 4.625% 10/15/29 (d)
  
18,245
17,468
 6.25% 7/1/25 (d)
  
41,240
42,674
 8.125% 7/1/27 (d)
  
54,990
59,183
Caesars Resort Collection LLC 5.75% 7/1/25 (d)
  
13,750
14,158
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.:
  
  
  
 4.625% 1/15/29 (d)
  
18,300
17,834
 6.75% 1/15/30 (d)
  
24,400
23,709
Jacobs Entertainment, Inc. 6.75% 2/15/29 (d)
  
8,585
8,671
Melco Resorts Finance Ltd.:
  
  
  
 4.875% 6/6/25 (d)
  
30,275
29,691
 5.25% 4/26/26 (d)
  
12,015
11,715
 5.375% 12/4/29 (d)
  
8,160
7,701
 5.75% 7/21/28 (d)
  
5,530
5,309
MGM Growth Properties Operating Partnership LP 3.875% 2/15/29 (d)
  
11,195
11,503
MGM Resorts International 4.75% 10/15/28
 
11,125
11,034
Peninsula Pacific Entertainment LLC 8.5% 11/15/27 (d)
  
19,045
20,420
Premier Entertainment Sub LLC:
  
  
  
 5.625% 9/1/29 (d)
  
35,005
32,989
 5.875% 9/1/31 (d)
  
24,325
22,925
Station Casinos LLC 4.625% 12/1/31 (d)
  
9,135
8,678
Studio City Finance Ltd. 5% 1/15/29 (d)
  
5,700
4,930
VICI Properties, Inc.:
  
  
  
 4.25% 12/1/26 (d)
  
21,450
21,691
 4.625% 12/1/29 (d)
  
12,240
12,598
Wynn Macau Ltd. 5.125% 12/15/29 (d)
  
16,800
15,036
 
  
  
419,117
Healthcare - 4.4%
  
  
  
180 Medical, Inc. 3.875% 10/15/29 (d)
  
6,495
6,316
AMN Healthcare 4.625% 10/1/27 (d)
  
2,765
2,792
Avantor Funding, Inc. 3.875% 11/1/29 (d)
  
6,075
5,832
Cano Health, Inc. 6.25% 10/1/28 (d)
  
4,050
3,888
Catalent Pharma Solutions:
  
  
  
 3.5% 4/1/30 (d)
  
6,070
5,683
 5% 7/15/27 (d)
  
3,765
3,836
Centene Corp. 4.25% 12/15/27
 
11,560
11,841
Charles River Laboratories International, Inc.:
  
  
  
 3.75% 3/15/29 (d)
  
9,500
9,165
 4% 3/15/31 (d)
  
12,085
11,632
 4.25% 5/1/28 (d)
  
3,400
3,382
Community Health Systems, Inc.:
  
  
  
 4.75% 2/15/31 (d)
  
16,055
15,353
 5.25% 5/15/30 (d)(i)
  
18,245
18,167
 5.625% 3/15/27 (d)
  
5,640
5,671
 6% 1/15/29 (d)
  
8,490
8,646
 6.125% 4/1/30 (d)
  
24,105
22,953
 6.625% 2/15/25 (d)
  
13,150
13,609
 8% 3/15/26 (d)
  
61,410
63,924
DaVita HealthCare Partners, Inc.:
  
  
  
 3.75% 2/15/31 (d)
  
4,180
3,840
 4.625% 6/1/30 (d)
  
31,515
30,661
Encompass Health Corp. 5.125% 3/15/23
 
2,146
2,143
Grifols Escrow Issuer SA 4.75% 10/15/28 (d)
  
6,075
6,045
HealthEquity, Inc. 4.5% 10/1/29 (d)
  
6,410
6,266
Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (d)
  
12,050
12,487
IQVIA, Inc. 5% 5/15/27 (d)
  
12,070
12,344
Jazz Securities DAC 4.375% 1/15/29 (d)
  
12,305
12,149
Minerva Merger Sub, Inc. 6.5% 2/15/30 (d)(i)
  
12,105
12,075
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (d)
  
7,010
6,790
Modivcare, Inc. 5.875% 11/15/25 (d)
  
8,105
8,409
Molina Healthcare, Inc.:
  
  
  
 3.875% 11/15/30 (d)
  
10,465
10,321
 3.875% 5/15/32 (d)
  
12,160
11,734
 4.375% 6/15/28 (d)
  
7,525
7,545
Option Care Health, Inc. 4.375% 10/31/29 (d)
  
6,680
6,508
Organon & Co. / Organon Foreign Debt Co-Issuer BV:
  
  
  
 4.125% 4/30/28 (d)
  
21,010
20,674
 5.125% 4/30/31 (d)
  
18,260
18,260
Owens & Minor, Inc. 4.5% 3/31/29 (d)
  
8,310
8,073
Radiology Partners, Inc. 9.25% 2/1/28 (d)
  
20,865
20,761
RP Escrow Issuer LLC 5.25% 12/15/25 (d)
  
10,405
10,108
Syneos Health, Inc. 3.625% 1/15/29 (d)
  
8,395
7,957
Tenet Healthcare Corp.:
  
  
  
 4.25% 6/1/29 (d)
  
17,640
17,007
 4.375% 1/15/30 (d)
  
43,755
42,165
 4.625% 7/15/24
 
2,495
2,505
 4.625% 9/1/24 (d)
  
12,045
12,179
 4.875% 1/1/26 (d)
  
30,115
30,251
 5.125% 11/1/27 (d)
  
18,070
18,110
 6.125% 10/1/28 (d)
  
19,415
19,478
 6.25% 2/1/27 (d)
  
35,815
36,646
Teva Pharmaceutical Finance Netherlands III BV:
  
  
  
 4.75% 5/9/27
 
6,085
5,904
 5.125% 5/9/29
 
6,085
5,849
Vizient, Inc. 6.25% 5/15/27 (d)
  
2,760
2,829
 
  
  
640,763
Homebuilders/Real Estate - 2.2%
  
  
  
Arcosa, Inc. 4.375% 4/15/29 (d)
  
8,410
8,179
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co. 4.625% 4/1/30 (d)
  
8,940
8,816
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (d)
  
7,775
7,554
Century Communities, Inc. 3.875% 8/15/29 (d)
  
9,110
8,743
DTZ U.S. Borrower LLC 6.75% 5/15/28 (d)
  
10,555
11,149
MPT Operating Partnership LP/MPT Finance Corp.:
  
  
  
 3.5% 3/15/31
 
11,190
10,756
 4.625% 8/1/29
 
18,080
18,591
 5% 10/15/27
 
25,968
26,682
Realogy Group LLC/Realogy Co-Issuer Corp.:
  
  
  
 5.75% 1/15/29 (d)
  
36,785
36,134
 7.625% 6/15/25 (d)
  
33,090
35,102
Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25% 4/15/30 (d)
  
12,170
11,653
Shea Homes Ltd. Partnership/Corp. 4.75% 4/1/29 (d)
  
8,020
7,876
Taylor Morrison Communities, Inc./Monarch Communities, Inc.:
  
  
  
 5.125% 8/1/30 (d)
  
10,725
11,116
 5.625% 3/1/24 (d)
  
1,312
1,384
 5.875% 6/15/27 (d)
  
9,260
9,931
TopBuild Corp. 3.625% 3/15/29 (d)
  
5,910
5,721
TRI Pointe Group, Inc./TRI Pointe Holdings, Inc. 5.875% 6/15/24
 
16,130
17,046
TRI Pointe Homes, Inc. 5.7% 6/15/28
 
14,380
15,244
Uniti Group LP / Uniti Group Finance, Inc.:
  
  
  
 4.75% 4/15/28 (d)
  
31,410
30,451
 6.5% 2/15/29 (d)
  
39,880
37,726
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (d)
  
5,045
4,962
 
  
  
324,816
Hotels - 0.2%
  
  
  
Choice Hotels International, Inc. 5.75% 7/1/22
 
3,035
3,069
Hilton Domestic Operating Co., Inc.:
  
  
  
 3.75% 5/1/29 (d)
  
5,595
5,452
 4% 5/1/31 (d)
  
8,395
8,250
 4.875% 1/15/30
 
6,900
7,121
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27
 
8,435
8,604
 
  
  
32,496
Insurance - 0.9%
  
  
  
Acrisure LLC / Acrisure Finance, Inc.:
  
  
  
 6% 8/1/29 (d)
  
9,105
8,650
 7% 11/15/25 (d)
  
34,880
34,821
Alliant Holdings Intermediate LLC:
  
  
  
 4.25% 10/15/27 (d)
  
11,125
10,819
 5.875% 11/1/29 (d)
  
9,115
8,933
 6.75% 10/15/27 (d)
  
16,680
16,486
AmWINS Group, Inc. 4.875% 6/30/29 (d)
  
8,805
8,618
AssuredPartners, Inc.:
  
  
  
 5.625% 1/15/29 (d)
  
6,550
6,089
 7% 8/15/25 (d)
  
4,865
4,858
HUB International Ltd.:
  
  
  
 5.625% 12/1/29 (d)
  
13,275
13,043
 7% 5/1/26 (d)
  
11,770
12,082
MGIC Investment Corp. 5.25% 8/15/28
 
7,710
7,971
 
  
  
132,370
Leisure - 1.3%
  
  
  
Boyne U.S.A., Inc. 4.75% 5/15/29 (d)
  
6,360
6,387
Carnival Corp.:
  
  
  
 4% 8/1/28 (d)
  
18,190
17,304
 7.625% 3/1/26 (d)
  
8,415
8,583
 9.875% 8/1/27 (d)
  
16,600
18,613
 10.5% 2/1/26 (d)
  
11,990
13,465
Merlin Entertainments PLC 5.75% 6/15/26 (d)
  
7,725
8,015
NCL Corp. Ltd.:
  
  
  
 5.875% 3/15/26 (d)
  
12,585
11,987
 12.25% 5/15/24 (d)
  
9,554
11,128
NCL Finance Ltd. 6.125% 3/15/28 (d)
  
5,265
4,979
Royal Caribbean Cruises Ltd.:
  
  
  
 5.375% 7/15/27 (d)
  
9,125
8,818
 10.875% 6/1/23 (d)
  
13,720
14,690
 11.5% 6/1/25 (d)
  
11,874
13,121
SeaWorld Parks & Entertainment, Inc. 5.25% 8/15/29 (d)
  
12,145
11,833
Vail Resorts, Inc. 6.25% 5/15/25 (d)
  
6,250
6,469
Viking Cruises Ltd.:
  
  
  
 5.875% 9/15/27 (d)
  
11,595
10,580
 13% 5/15/25 (d)
  
9,250
10,337
Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (d)
  
4,965
4,853
Voc Escrow Ltd. 5% 2/15/28 (d)
  
10,755
10,437
 
  
  
191,599
Metals/Mining - 1.6%
  
  
  
Alcoa Nederland Holding BV:
  
  
  
 4.125% 3/31/29 (d)
  
15,485
15,554
 6.125% 5/15/28 (d)
  
3,565
3,790
Arconic Corp.:
  
  
  
 6% 5/15/25 (d)
  
6,630
6,829
 6.125% 2/15/28 (d)
  
16,695
17,320
Cleveland-Cliffs, Inc.:
  
  
  
 4.625% 3/1/29 (d)
  
23,720
23,144
 4.875% 3/1/31 (d)
  
11,440
11,211
 5.875% 6/1/27
 
18,030
18,660
Eldorado Gold Corp. 6.25% 9/1/29 (d)
  
13,719
13,738
ERO Copper Corp. 6.5% 2/15/30 (d)
  
9,085
8,949
First Quantum Minerals Ltd.:
  
  
  
 6.5% 3/1/24 (d)
  
10,955
11,143
 6.875% 3/1/26 (d)
  
28,325
29,246
 7.25% 4/1/23 (d)
  
3,457
3,485
 7.5% 4/1/25 (d)
  
20,585
21,048
FMG Resources (August 2006) Pty Ltd.:
  
  
  
 4.375% 4/1/31 (d)
  
8,990
9,046
 4.5% 9/15/27 (d)
  
9,015
9,234
 5.125% 5/15/24 (d)
  
9,780
10,122
HudBay Minerals, Inc. 4.5% 4/1/26 (d)
  
7,020
6,911
Mineral Resources Ltd. 8.125% 5/1/27 (d)
  
18,015
19,277
Murray Energy Corp.:
  
  
  
 11.25% 4/15/21 (c)(d)(e)
  
8,915
0
 12% 4/15/24 pay-in-kind (c)(d)(e)(f)
  
10,343
0
 
  
  
238,707
Paper - 0.5%
  
  
  
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC:
  
  
  
 3.25% 9/1/28 (d)
  
5,915
5,604
 4% 9/1/29 (d)
  
11,830
11,268
Cascades, Inc.:
  
  
  
 5.125% 1/15/26 (d)
  
5,600
5,670
 5.375% 1/15/28 (d)
  
5,600
5,656
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (d)
  
11,230
11,602
Glatfelter Corp. 4.75% 11/15/29 (d)
  
9,105
9,176
Intertape Polymer Group, Inc. 4.375% 6/15/29 (d)
  
9,050
8,937
Mercer International, Inc. 5.125% 2/1/29
 
15,060
14,853
 
  
  
72,766
Publishing/Printing - 0.1%
  
  
  
Clear Channel International BV 6.625% 8/1/25 (d)
  
15,860
16,296
Railroad - 0.1%
  
  
  
First Student Bidco, Inc./First Transit Parent, Inc. 4% 7/31/29 (d)
  
9,095
8,618
Restaurants - 0.6%
  
  
  
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:
  
  
  
 3.875% 1/15/28 (d)
  
12,115
11,810
 4% 10/15/30 (d)
  
39,005
36,106
 4.375% 1/15/28 (d)
  
10,600
10,401
Bloomin Brands, Inc. / OSI Restaurant Partners LLC 5.125% 4/15/29 (d)
  
5,565
5,509
Papa John's International, Inc. 3.875% 9/15/29 (d)
  
5,560
5,296
Yum! Brands, Inc. 4.625% 1/31/32
 
11,975
11,918
 
  
  
81,040
Services - 2.5%
  
  
  
AECOM 5.125% 3/15/27
 
11,885
12,375
Allied Universal Holdco LLC / Allied Universal Finance Corp. 6% 6/1/29 (d)
  
17,735
16,811
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.:
  
  
  
 4.625% 6/1/28 (d)
  
21,690
20,827
 4.625% 6/1/28 (d)
  
14,365
13,578
Booz Allen Hamilton, Inc.:
  
  
  
 3.875% 9/1/28 (d)
  
10,240
10,050
 4% 7/1/29 (d)
  
5,920
5,846
CoreCivic, Inc. 8.25% 4/15/26
 
32,260
33,712
Fair Isaac Corp. 4% 6/15/28 (d)
  
2,910
2,881
Gartner, Inc.:
  
  
  
 3.625% 6/15/29 (d)
  
8,610
8,352
 3.75% 10/1/30 (d)
  
11,495
11,150
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d)
  
8,765
8,972
H&E Equipment Services, Inc. 3.875% 12/15/28 (d)
  
16,800
15,951
Hertz Corp.:
  
  
  
 4.625% 12/1/26 (d)
  
5,180
5,026
 5% 12/1/29 (d)
  
10,055
9,682
 5.5% 10/15/24 (c)(d)(e)
  
10,890
14
 6% 1/15/28 (c)(d)(e)
  
10,285
566
 6.25% 10/15/22 (c)(e)
  
11,875
15
 7.125% 8/1/26 (c)(d)(e)
  
10,285
566
IAA, Inc. 5.5% 6/15/27 (d)
  
4,680
4,803
Iron Mountain, Inc.:
  
  
  
 4.5% 2/15/31 (d)
  
22,025
20,884
 4.875% 9/15/29 (d)
  
24,110
23,800
KAR Auction Services, Inc. 5.125% 6/1/25 (d)
  
10,355
10,355
Service Corp. International 4% 5/15/31
 
12,070
11,693
Sotheby's 7.375% 10/15/27 (d)
  
4,960
5,153
Sotheby's/Bidfair Holdings, Inc. 5.875% 6/1/29 (d)
  
9,045
9,158
The Brink's Co. 4.625% 10/15/27 (d)
  
12,180
12,334
The GEO Group, Inc.:
  
  
  
 5.125% 4/1/23
 
9,625
9,289
 5.875% 10/15/24
 
14,053
12,367
 6% 4/15/26
 
9,655
7,941
TriNet Group, Inc. 3.5% 3/1/29 (d)
  
8,865
8,418
Uber Technologies, Inc.:
  
  
  
 4.5% 8/15/29 (d)
  
27,335
26,515
 6.25% 1/15/28 (d)
  
9,175
9,519
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d)
  
9,760
9,882
 
  
  
358,485
Steel - 0.1%
  
  
  
Algoma Steel SCA 0% 12/31/23 (c)
  
1,982
0
Commercial Metals Co. 3.875% 2/15/31
 
6,135
5,854
Infrabuild Australia Pty Ltd. 12% 10/1/24 (d)
  
10,980
11,255
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (d)
  
4,375
4,331
 
  
  
21,440
Super Retail - 1.2%
  
  
  
Asbury Automotive Group, Inc.:
  
  
  
 4.5% 3/1/28
 
3,534
3,507
 4.625% 11/15/29 (d)
  
10,005
9,845
 4.75% 3/1/30
 
3,523
3,472
 5% 2/15/32 (d)
  
10,800
10,715
At Home Group, Inc.:
  
  
  
 4.875% 7/15/28 (d)
  
6,055
5,787
 7.125% 7/15/29 (d)
  
9,035
8,470
Bath & Body Works, Inc.:
  
  
  
 6.625% 10/1/30 (d)
  
5,555
5,962
 6.75% 7/1/36
 
27,016
30,697
 6.875% 11/1/35
 
7,304
8,400
 7.5% 6/15/29
 
8,335
9,101
Carvana Co.:
  
  
  
 4.875% 9/1/29 (d)
  
21,255
18,893
 5.5% 4/15/27 (d)
  
11,975
11,154
EG Global Finance PLC 8.5% 10/30/25 (d)
  
16,085
16,307
Gap, Inc.:
  
  
  
 3.625% 10/1/29 (d)
  
12,145
11,297
 3.875% 10/1/31 (d)
  
12,145
11,271
Lithia Motors, Inc. 3.875% 6/1/29 (d)
  
13,230
12,998
 
  
  
177,876
Technology - 3.1%
  
  
  
Acuris Finance U.S. 5% 5/1/28 (d)
  
9,045
8,649
Black Knight InfoServ LLC 3.625% 9/1/28 (d)
  
11,390
10,925
Block, Inc. 3.5% 6/1/31 (d)
  
12,070
11,497
CA Magnum Holdings 5.375% (d)(h)
  
4,870
4,966
Camelot Finance SA 4.5% 11/1/26 (d)
  
10,590
10,737
Clarivate Science Holdings Corp.:
  
  
  
 3.875% 7/1/28 (d)
  
10,695
10,202
 4.875% 7/1/29 (d)
  
10,115
9,635
Crowdstrike Holdings, Inc. 3% 2/15/29
 
8,870
8,316
Elastic NV 4.125% 7/15/29 (d)
  
17,090
15,979
Go Daddy Operating Co. LLC / GD Finance Co., Inc.:
  
  
  
 3.5% 3/1/29 (d)
  
11,810
11,014
 5.25% 12/1/27 (d)
  
9,345
9,579
II-VI, Inc. 5% 12/15/29 (d)
  
9,495
9,476
ION Trading Technologies Ltd. 5.75% 5/15/28 (d)
  
12,040
12,100
Iron Mountain Information Management Services, Inc. 5% 7/15/32 (d)
  
9,100
8,895
MicroStrategy, Inc. 6.125% 6/15/28 (d)
  
23,020
21,984
NCR Corp.:
  
  
  
 5% 10/1/28 (d)
  
5,530
5,494
 5.125% 4/15/29 (d)
  
8,870
8,851
 5.25% 10/1/30 (d)
  
5,530
5,437
 5.75% 9/1/27 (d)
  
9,035
9,177
 6.125% 9/1/29 (d)
  
9,035
9,496
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 10.75% 6/1/28 (d)
  
5,930
6,439
NortonLifeLock, Inc. 5% 4/15/25 (d)
  
10,050
10,079
onsemi 3.875% 9/1/28 (d)
  
11,065
10,996
Open Text Corp.:
  
  
  
 3.875% 2/15/28 (d)
  
5,690
5,576
 3.875% 12/1/29 (d)
  
6,700
6,435
Open Text Holdings, Inc.:
  
  
  
 4.125% 2/15/30 (d)
  
5,690
5,559
 4.125% 12/1/31 (d)
  
5,485
5,293
Pitney Bowes, Inc.:
  
  
  
 6.875% 3/15/27 (d)
  
5,980
5,904
 7.25% 3/15/29 (d)
  
5,980
5,995
PTC, Inc.:
  
  
  
 3.625% 2/15/25 (d)
  
6,650
6,675
 4% 2/15/28 (d)
  
6,575
6,517
Rackspace Hosting, Inc. 5.375% 12/1/28 (d)
  
6,425
5,991
Roblox Corp. 3.875% 5/1/30 (d)
  
9,120
8,824
Sensata Technologies BV 4% 4/15/29 (d)
  
11,970
11,763
Synaptics, Inc. 4% 6/15/29 (d)
  
7,015
6,879
TTM Technologies, Inc. 4% 3/1/29 (d)
  
8,870
8,476
Twilio, Inc.:
  
  
  
 3.625% 3/15/29
 
9,995
9,589
 3.875% 3/15/31
 
10,460
10,015
Uber Technologies, Inc.:
  
  
  
 7.5% 9/15/27 (d)
  
35,255
37,540
 8% 11/1/26 (d)
  
51,060
54,145
Unisys Corp. 6.875% 11/1/27 (d)
  
6,095
6,491
Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (d)
  
19,400
19,788
 
  
  
457,378
Telecommunications - 6.3%
  
  
  
Altice Financing SA:
  
  
  
 5% 1/15/28 (d)
  
11,280
10,494
 5.75% 8/15/29 (d)
  
24,290
22,692
Altice France SA:
  
  
  
 5.125% 7/15/29 (d)
  
79,325
73,447
 5.5% 1/15/28 (d)
  
24,740
23,599
 5.5% 10/15/29 (d)
  
106,150
100,597
 8.125% 2/1/27 (d)
  
7,635
8,072
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d)
  
42,100
43,731
Cablevision Lightpath LLC:
  
  
  
 3.875% 9/15/27 (d)
  
5,500
5,157
 5.625% 9/15/28 (d)
  
4,350
4,152
Frontier Communications Holdings LLC:
  
  
  
 5% 5/1/28 (d)
  
19,575
19,379
 5.875% 10/15/27 (d)
  
10,375
10,683
 6% 1/15/30 (d)
  
12,185
11,761
 6.75% 5/1/29 (d)
  
12,535
12,566
Intelsat Jackson Holdings SA:
  
  
  
 6.5% 1/27/30 (c)(d)
  
25,303
25,303
 8% 2/15/24 (d)
  
20,755
21,040
LCPR Senior Secured Financing DAC:
  
  
  
 5.125% 7/15/29 (d)
  
14,860
14,573
 6.75% 10/15/27 (d)
  
10,157
10,555
Level 3 Financing, Inc.:
  
  
  
 3.625% 1/15/29 (d)
  
24,590
22,377
 3.75% 7/15/29 (d)
  
24,670
22,511
Lumen Technologies, Inc. 5.375% 6/15/29 (d)
  
15,130
14,345
Millicom International Cellular SA 4.5% 4/27/31 (d)
  
1,725
1,672
NGL Energy Partners LP/NGL Energy Finance Corp. 7.5% 4/15/26
 
15,705
13,710
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.:
  
  
  
 4.75% 4/30/27 (d)
  
6,070
5,782
 6% 2/15/28 (d)
  
4,490
4,222
Qwest Corp. 7.25% 9/15/25
 
1,480
1,676
Sable International Finance Ltd. 5.75% 9/7/27 (d)
  
18,690
19,064
SBA Communications Corp.:
  
  
  
 3.125% 2/1/29
 
13,305
12,400
 3.875% 2/15/27
 
17,015
17,185
Sprint Capital Corp.:
  
  
  
 6.875% 11/15/28
 
70,044
83,317
 8.75% 3/15/32
 
42,306
58,911
Sprint Corp. 7.625% 3/1/26
 
10,895
12,475
T-Mobile U.S.A., Inc.:
  
  
  
 2.625% 2/15/29
 
16,895
15,847
 2.875% 2/15/31
 
26,040
24,478
 3.375% 4/15/29
 
11,975
11,727
 3.5% 4/15/31
 
11,975
11,682
Telesat Canada/Telesat LLC 5.625% 12/6/26 (d)
  
10,820
9,153
Uniti Group, Inc.:
  
  
  
 6% 1/15/30 (d)
  
15,190
13,899
 7.875% 2/15/25 (d)
  
17,650
18,382
Virgin Media Finance PLC 5% 7/15/30 (d)
  
21,860
20,576
VMED O2 UK Financing I PLC 4.75% 7/15/31 (d)
  
21,200
20,260
Windstream Escrow LLC 7.75% 8/15/28 (d)
  
43,795
44,165
Zayo Group Holdings, Inc. 4% 3/1/27 (d)
  
17,180
16,222
 
  
  
913,839
Textiles/Apparel - 0.3%
  
  
  
Crocs, Inc.:
  
  
  
 4.125% 8/15/31 (d)
  
6,075
5,422
 4.25% 3/15/29 (d)
  
8,675
7,984
Foot Locker, Inc. 4% 10/1/29 (d)
  
6,070
5,853
Kontoor Brands, Inc. 4.125% 11/15/29 (d)
  
5,320
5,101
Victoria's Secret & Co. 4.625% 7/15/29 (d)
  
22,560
21,739
 
  
  
46,099
Transportation Ex Air/Rail - 0.1%
  
  
  
Seaspan Corp. 5.5% 8/1/29 (d)
  
9,095
8,995
Utilities - 2.4%
  
  
  
Clearway Energy Operating LLC:
  
  
  
 3.75% 2/15/31 (d)
  
13,295
12,517
 3.75% 1/15/32 (d)
  
6,075
5,764
 4.75% 3/15/28 (d)
  
6,920
7,123
NRG Energy, Inc.:
  
  
  
 3.375% 2/15/29 (d)
  
5,145
4,753
 3.625% 2/15/31 (d)
  
10,215
9,474
 3.875% 2/15/32 (d)
  
15,190
14,282
 5.75% 1/15/28
 
9,410
9,739
 6.625% 1/15/27
 
8,283
8,563
Pacific Gas & Electric Co.:
  
  
  
 3.45% 7/1/25
 
2,868
2,926
 3.75% 7/1/28
 
2,868
2,888
 3.75% 8/15/42
 
10,400
9,091
 3.95% 12/1/47
 
53,930
48,345
 4% 12/1/46
 
24,380
22,314
 4.25% 3/15/46
 
2,400
2,271
 4.3% 3/15/45
 
5,995
5,619
 4.55% 7/1/30
 
60,820
63,290
PG&E Corp.:
  
  
  
 5% 7/1/28
 
22,000
22,000
 5.25% 7/1/30
 
8,330
8,259
Pike Corp. 5.5% 9/1/28 (d)
  
17,850
17,448
Vistra Operations Co. LLC:
  
  
  
 4.375% 5/1/29 (d)
  
23,230
22,417
 5% 7/31/27 (d)
  
22,585
22,763
 5.5% 9/1/26 (d)
  
3,485
3,555
 5.625% 2/15/27 (d)
  
28,195
28,760
 
  
  
354,161
TOTAL NONCONVERTIBLE BONDS
  
  
9,013,323
 
TOTAL CORPORATE BONDS
 (Cost $8,974,516)
  
  
  
9,035,501
 
  
  
  
Common Stocks - 17.9%
 
  
Shares
Value ($)
(000s)
 
Air Transportation - 0.2%
 
  
  
Air Canada (j)
  
511,000
9,190
GXO Logistics, Inc. (j)
  
176,900
14,366
TOTAL AIR TRANSPORTATION
  
  
23,556
Automotive & Auto Parts - 0.1%
 
  
  
Allison Transmission Holdings, Inc.
 
241,300
9,167
Exide Technologies (c)(j)
  
385
250
Exide Technologies (c)(j)
  
9,824
10
Exide Technologies (c)(j)
  
580,031
0
UC Holdings, Inc. (c)(j)
  
677,217
4,002
TOTAL AUTOMOTIVE & AUTO PARTS
  
  
13,429
Broadcasting - 0.5%
 
  
  
iHeartMedia, Inc. (j)
  
104
2
Nexstar Broadcasting Group, Inc. Class A
 
462,829
76,543
TOTAL BROADCASTING
  
  
76,545
Building Materials - 0.3%
 
  
  
Builders FirstSource, Inc. (j)
  
435,000
29,576
Carrier Global Corp.
 
319,800
15,248
TOTAL BUILDING MATERIALS
  
  
44,824
Capital Goods - 0.7%
 
  
  
Thermo Fisher Scientific, Inc.
 
98,300
57,142
Zebra Technologies Corp. Class A (j)
  
88,400
45,006
TOTAL CAPITAL GOODS
  
  
102,148
Chemicals - 0.6%
 
  
  
CF Industries Holdings, Inc.
 
619,002
42,631
The Chemours Co. LLC
 
1,144,240
37,428
TOTAL CHEMICALS
  
  
80,059
Consumer Products - 0.9%
 
  
  
BJ's Wholesale Club Holdings, Inc. (j)
  
454,100
27,914
Reddy Ice Holdings, Inc. (c)(j)
  
199,717
11
Tapestry, Inc.
 
344,400
13,070
Tempur Sealy International, Inc.
 
2,160,700
86,017
TOTAL CONSUMER PRODUCTS
  
  
127,012
Containers - 0.4%
 
  
  
Berry Global Group, Inc. (j)
  
342,000
23,058
WestRock Co.
 
660,100
30,470
TOTAL CONTAINERS
  
  
53,528
Diversified Financial Services - 0.3%
 
  
  
Axis Energy Services, LLC Class A (c)
  
11,616
4
OneMain Holdings, Inc.
 
777,400
40,160
PJT Partners, Inc.
 
5,092
353
TOTAL DIVERSIFIED FINANCIAL SERVICES
  
  
40,517
Energy - 2.9%
 
  
  
Array Technologies, Inc. (j)
  
208,059
2,193
California Resources Corp.
 
3,670,238
156,426
California Resources Corp. warrants 10/27/24 (j)
  
57,076
856
Chaparral Energy, Inc.:
  
  
  
 Series A warrants 10/1/24 (c)(j)
  
392
1
 Series B warrants 10/1/25 (c)(j)
  
392
1
Cheniere Energy, Inc.
 
349,900
39,154
Chesapeake Energy Corp. (k)
  
1,144,903
78,048
Chesapeake Energy Corp. (b)
  
22,818
1,556
Chesapeake Energy Corp.:
  
  
  
 Series A warrants 2/9/26 (j)
  
117,493
4,983
 Series B warrants 2/9/26 (j)
  
130,548
5,131
 Series C warrants 2/9/26 (j)
  
84,388
2,973
Civitas Resources, Inc.
 
60,298
3,286
Denbury, Inc. warrants 9/18/25 (j)
  
439,788
18,920
Diamond Offshore Drilling, Inc. (c)(j)
  
118,485
605
EP Energy Corp. (c)(j)
  
841,775
74,884
Forbes Energy Services Ltd. (j)
  
193,218
0
Jonah Energy Parent LLC (c)(j)
  
304,505
19,564
Mesquite Energy, Inc. (c)(j)
  
317,026
11,407
Superior Energy Services, Inc. Class A (c)
  
110,370
2,826
Unit Corp. (j)
  
37,978
1,756
TOTAL ENERGY
  
  
424,570
Entertainment/Film - 0.0%
 
  
  
New Cotai LLC/New Cotai Capital Corp. (b)(c)(j)
  
3,366,626
5,185
Environmental - 0.4%
 
  
  
Darling Ingredients, Inc. (j)
  
909,117
57,974
Food & Drug Retail - 0.1%
 
  
  
Southeastern Grocers, Inc. (b)(c)(j)
  
793,345
18,112
Food/Beverage/Tobacco - 0.5%
 
  
  
JBS SA
 
11,593,100
76,609
Gaming - 1.2%
 
  
  
Boyd Gaming Corp.
 
1,088,300
64,710
Caesars Entertainment, Inc. (j)
  
1,335,236
101,665
Studio City International Holdings Ltd. ADR (j)
  
695,700
3,931
TOTAL GAMING
  
  
170,306
Healthcare - 1.2%
 
  
  
Charles River Laboratories International, Inc. (j)
  
56,800
18,730
Encompass Health Corp.
 
34
2
HCA Holdings, Inc.
 
154,200
37,016
Humana, Inc.
 
87,800
34,462
IQVIA Holdings, Inc. (j)
  
344,400
84,344
TOTAL HEALTHCARE
  
  
174,554
Homebuilders/Real Estate - 0.5%
 
  
  
Arthur J. Gallagher & Co.
 
196,100
30,972
Lennar Corp. Class A
 
209,300
20,116
PulteGroup, Inc.
 
365,200
19,242
TOTAL HOMEBUILDERS/REAL ESTATE
  
  
70,330
Metals/Mining - 0.3%
 
  
  
Elah Holdings, Inc. (j)
  
906
73
First Quantum Minerals Ltd.
 
1,544,300
38,038
TOTAL METALS/MINING
  
  
38,111
Services - 0.6%
 
  
  
ASGN, Inc. (j)
  
226,400
26,007
Penhall Acquisition Co.:
  
  
  
 Class A (c)(j)
  
26,163
3,618
 Class B (c)(j)
  
8,721
1,206
United Rentals, Inc. (j)
  
98,494
31,530
Visa, Inc. Class A
 
126,540
28,620
TOTAL SERVICES
  
  
90,981
Steel - 0.0%
 
  
  
Algoma Steel GP
 
425,798
3,632
Algoma Steel SCA (c)(j)
  
198,162
0
TOTAL STEEL
  
  
3,632
Super Retail - 1.1%
 
  
  
Amazon.com, Inc. (j)
  
4,600
13,761
Arena Brands Holding Corp. Class B (b)(c)(j)
  
659,302
2,136
Bath & Body Works, Inc.
 
298,900
16,759
eBay, Inc.
 
434,500
26,100
Lowe's Companies, Inc.
 
187,000
44,384
PVH Corp.
 
210,600
20,009
RH (j)
  
35,500
14,300
Williams-Sonoma, Inc.
 
121,600
19,522
TOTAL SUPER RETAIL
  
  
156,971
Technology - 4.4%
 
  
  
Adobe, Inc. (j)
  
92,700
49,530
Alphabet, Inc. Class A (j)
  
36,500
98,772
CDW Corp.
 
131,500
24,860
EPAM Systems, Inc. (j)
  
73,200
34,853
Global Payments, Inc.
 
309,624
46,406
Lam Research Corp.
 
109,100
64,360
Marvell Technology, Inc.
 
551,400
39,370
Meta Platforms, Inc. Class A (j)
  
271,400
85,019
Microchip Technology, Inc.
 
502,600
38,941
NVIDIA Corp.
 
107,800
26,396
NXP Semiconductors NV
 
100,000
20,544
onsemi (j)
  
748,538
44,164
PayPal Holdings, Inc. (j)
  
177,000
30,433
SS&C Technologies Holdings, Inc.
 
426,282
34,047
TOTAL TECHNOLOGY
  
  
637,695
Telecommunications - 0.1%
 
  
  
GTT Communications, Inc. rights (c)(j)
  
472,864
473
T-Mobile U.S., Inc. (j)
  
176,000
19,038
TOTAL TELECOMMUNICATIONS
  
  
19,511
Textiles/Apparel - 0.0%
 
  
  
Victoria's Secret & Co. (j)
  
99,633
5,563
Transportation Ex Air/Rail - 0.1%
 
  
  
Tricer Holdco SCA:
  
  
  
 Class A1 (b)(c)(j)
  
598,287
1
 Class A2 (b)(c)(j)
  
598,287
1
 Class A3 (b)(c)(j)
  
598,287
1
 Class A4 (b)(c)(j)
  
598,287
1
 Class A5 (b)(c)(j)
  
598,287
1
 Class A6 (b)(c)(j)
  
598,287
1
 Class A7 (b)(c)(j)
  
598,287
1
 Class A8 (b)(c)(j)
  
598,287
1
 Class A9 (b)(c)(j)
  
598,287
1
XPO Logistics, Inc. (j)
  
176,900
11,705
TOTAL TRANSPORTATION EX AIR/RAIL
  
  
11,714
Utilities - 0.5%
 
  
  
NRG Energy, Inc.
 
863,100
34,464
PG&E Corp. (j)
  
3,288,096
42,055
Portland General Electric Co.
 
14,817
778
TOTAL UTILITIES
  
  
77,297
 
TOTAL COMMON STOCKS
 (Cost $1,501,256)
  
  
  
2,600,733
 
  
  
  
Nonconvertible Preferred Stocks - 0.0%
 
  
Shares
Value ($)
(000s)
 
Automotive & Auto Parts - 0.0%
 
  
  
Exide Technologies (c)(j)
  
858
799
Transportation Ex Air/Rail - 0.0%
 
  
  
Tricer Holdco SCA (b)(c)(j)
  
287,159,690
97
 
TOTAL NONCONVERTIBLE PREFERRED STOCKS
 (Cost $11,049)
  
  
  
896
 
  
  
  
Bank Loan Obligations - 4.2%
 
  
Principal
Amount (a)
(000s)
 
Value ($)
(000s)
 
Air Transportation - 0.3%
 
  
  
Air Canada Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4.25% 8/11/28 (f)(g)(l)
  
9,105
9,124
Dynasty Acquisition Co., Inc.:
  
  
  
 Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7238% 4/8/26 (f)(g)(l)
  
2,585
2,526
 Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7238% 4/4/26 (f)(g)(l)
  
1,390
1,358
SkyMiles IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 10/20/27 (f)(g)(l)
  
3,490
3,682
United Airlines, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 4/21/28 (f)(g)(l)
  
26,301
26,290
TOTAL AIR TRANSPORTATION
  
  
42,980
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 (f)(g)(l)
  
874
819
PECF USS Intermediate Holding III Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.75% 12/17/28 (f)(g)(l)
  
2,310
2,311
Wand NewCo 3, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1754% 2/5/26 (f)(g)(l)
  
18,032
17,747
TOTAL AUTOMOTIVE & AUTO PARTS
  
  
20,877
Banks & Thrifts - 0.1%
 
  
  
Citadel Securities LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.605% 2/27/28 (f)(g)(l)
  
9,771
9,675
Broadcasting - 0.1%
 
  
  
Nexstar Broadcasting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 2.6019% 9/19/26 (f)(g)(l)
  
3,835
3,821
Univision Communications, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 5/21/28 (g)(l)(m)
  
7,500
7,486
TOTAL BROADCASTING
  
  
11,307
Building Materials - 0.2%
 
  
  
Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.75% 5/17/28 (f)(g)(l)
  
23,890
23,736
SRS Distribution, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 6/4/28 (f)(g)(l)
  
6,472
6,463
TOTAL BUILDING MATERIALS
  
  
30,199
Chemicals - 0.0%
 
  
  
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 11/9/28 (f)(g)(l)
  
3,705
3,698
W.R. Grace Holding LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 9/22/28 (f)(g)(l)
  
2,785
2,785
TOTAL CHEMICALS
  
  
6,483
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 (f)(g)(l)
  
21,978
21,264
Michaels Companies, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 5% 4/15/28 (f)(g)(l)
  
5,532
5,449
TOTAL CONSUMER PRODUCTS
  
  
26,713
Containers - 0.0%
 
  
  
Kloeckner Pentaplast of America, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.25% 2/9/26 (f)(g)(l)
  
1,494
1,484
Diversified Financial Services - 0.0%
 
  
  
New Cotai LLC 1LN, term loan 3 month U.S. LIBOR + 12.000% 14% 9/9/25 (c)(f)(g)(l)
  
1,066
1,066
Energy - 0.0%
 
  
  
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 8% 8/1/23 (f)(g)(l)
  
1,373
1,356
Forbes Energy Services LLC Tranche B, term loan 0% 4/13/21 (c)(e)(l)(m)
  
1,810
0
Mesquite Energy, Inc.:
  
  
  
 1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (c)(e)(g)(l)(m)
  
5,861
0
 term loan 3 month U.S. LIBOR + 0.000% 0% (c)(e)(g)(l)(m)
  
2,528
0
TOTAL ENERGY
  
  
1,356
Environmental - 0.0%
 
  
  
Covanta Holding Corp.:
  
  
  
 Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 3% 11/30/28 (f)(g)(l)
  
2,214
2,213
 Tranche C 1LN, term loan 1 month U.S. LIBOR + 2.500% 3% 11/30/28 (f)(g)(l)
  
166
166
Madison IAQ LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 6/21/28 (f)(g)(l)
  
3,015
3,002
TOTAL ENVIRONMENTAL
  
  
5,381
Food/Beverage/Tobacco - 0.0%
 
  
  
Bengal Debt Merger Sub LLC:
  
  
  
 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.250% 1/20/29 (g)(l)(m)
  
2,160
2,156
 Tranche DD 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.250% 1/20/29 (g)(l)(m)
  
125
124
TOTAL FOOD/BEVERAGE/TOBACCO
  
  
2,280
Gaming - 0.1%
 
  
  
Bally's Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 10/1/28 (f)(g)(l)
  
15,190
15,169
Golden Nugget LLC Tranche B 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 4.000% 4.5% 1/13/29 (f)(g)(l)
  
3,865
3,876
TOTAL GAMING
  
  
19,045
Healthcare - 0.7%
 
  
  
Gainwell Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 10/1/27 (f)(g)(l)
  
17,720
17,726
Jazz Financing Lux SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 5/5/28 (f)(g)(l)
  
6,960
6,959
Organon & Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.5% 6/2/28 (f)(g)(l)
  
16,926
16,896
Phoenix Newco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 11/15/28 (f)(g)(l)
  
7,195
7,192
PRA Health Sciences, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 2.75% 7/1/28 (f)(g)(l)
  
2,143
2,137
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.1043% 6/13/26 (f)(g)(l)
  
42,697
42,103
Valeant Pharmaceuticals International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1043% 6/1/25 (f)(g)(l)
  
1,437
1,425
TOTAL HEALTHCARE
  
  
94,438
Hotels - 0.1%
 
  
  
Carnival Finance LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 4% 10/18/28 (f)(g)(l)
  
8,055
7,974
Insurance - 0.1%
 
  
  
Acrisure LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.75% 2/15/27 (f)(g)(l)
  
1,445
1,444
Alliant Holdings Intermediate LLC Tranche B3 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 11/6/27 (f)(g)(l)
  
13,486
13,461
HUB International Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4% 4/25/25 (f)(g)(l)
  
5,721
5,707
TOTAL INSURANCE
  
  
20,612
Services - 0.6%
 
  
  
ABG Intermediate Holdings 2 LLC:
  
  
  
 Tranche B 2LN, term loan 3 month U.S. LIBOR + 6.000% 6.5% 12/20/29 (f)(g)(l)
  
1,145
1,156
 Tranche B1 LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 12/21/28 (g)(l)(m)
  
648
646
 Tranche B2 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 1/31/29 (g)(l)(m)
  
4,133
4,120
 Tranche B3 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 12/21/28 (g)(l)(m)
  
648
646
Ascend Learning LLC:
  
  
  
 2LN, term loan 1 month U.S. LIBOR + 5.750% 6.25% 12/10/29 (f)(g)(l)
  
15,190
15,261
 Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 12/10/28 (f)(g)(l)
  
43,750
43,695
KUEHG Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.25% 8/22/25 (f)(g)(l)
  
6,055
6,019
Sabert Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/10/26 (f)(g)(l)
  
7,731
7,707
Sotheby's Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.500% 5% 1/15/27 (f)(g)(l)
  
11,002
11,020
TOTAL SERVICES
  
  
90,270
Technology - 1.1%
 
  
  
Acuris Finance U.S., Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.5% 2/16/28 (f)(g)(l)
  
1,131
1,130
athenahealth, Inc.:
  
  
  
 Tranche B 1LN, term loan:
 
  
  
3 month U.S. LIBOR + 4.250% 4.3994% 2/11/26 (f)(g)(l)
 
  
2,208
2,207
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 1/27/29 (g)(l)(m)
 
  
10,346
10,297
 Tranche DD 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 3.500% 1/27/29 (g)(l)(m)
  
1,754
1,745
Boxer Parent Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.9738% 10/2/25 (f)(g)(l)
  
31,979
31,850
Camelot Finance SA Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.105% 10/31/26 (f)(g)(l)
  
1,127
1,123
DG Investment Intermediate Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 3/31/28 (f)(g)(l)
  
2,020
2,020
Hunter U.S. Bidco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 4.75% 8/19/28 (f)(g)(l)
  
11,516
11,502
Icon Luxembourg Sarl Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 2.75% 7/1/28 (f)(g)(l)
  
8,603
8,579
McAfee LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.8591% 9/29/24 (f)(g)(l)
  
3,790
3,786
onsemi Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.105% 9/19/26 (f)(g)(l)
  
7,668
7,671
Peraton Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 2/1/28 (f)(g)(l)
  
14,098
14,075
Polaris Newco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 4.5% 6/2/28 (f)(g)(l)
  
6,758
6,753
Proofpoint, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 8/31/28 (f)(g)(l)
  
6,605
6,568
RealPage, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.75% 4/22/28 (f)(g)(l)
  
6,015
5,982
STG-Fairway Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.855% 1/31/27 (f)(g)(l)
  
3,110
3,094
Ultimate Software Group, Inc.:
  
  
  
 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 5/3/26 (f)(g)(l)
  
28,395
28,301
 2LN, term loan 1 month U.S. LIBOR + 5.250% 5.75% 5/3/27 (f)(g)(l)
  
4,000
4,028
VS Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.105% 2/28/27 (f)(g)(l)
  
2,314
2,301
TOTAL TECHNOLOGY
  
  
153,012
Telecommunications - 0.3%
 
  
  
Connect U.S. Finco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 12/12/26 (f)(g)(l)
  
8,892
8,884
Frontier Communications Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 5/1/28 (f)(g)(l)
  
5,136
5,122
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 7% 5/31/25 (f)(g)(l)
  
12,942
11,104
Intelsat Jackson Holdings SA Tranche DD 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.3917% 7/13/22 (f)(g)(l)(n)
  
9,044
9,044
Securus Technologies Holdings Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.5% 11/1/24 (f)(g)(l)
  
6,989
6,805
Zayo Group Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.105% 3/9/27 (f)(g)(l)
  
7,821
7,705
TOTAL TELECOMMUNICATIONS
  
  
48,664
Utilities - 0.2%
 
  
  
PG&E Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.5% 6/23/25 (f)(g)(l)
  
27,092
26,551
 
TOTAL BANK LOAN OBLIGATIONS
 (Cost $626,620)
  
  
  
620,367
 
  
  
  
Preferred Securities - 7.2%
 
  
Principal
Amount (a)
(000s)
 
Value ($)
(000s)
 
Banks & Thrifts - 6.1%
 
  
  
Ally Financial, Inc. 4.7% (f)(h)
  
17,635
17,459
Bank of America Corp.:
  
  
  
 5.125% (f)(h)
  
36,030
37,201
 5.2% (f)(h)
  
61,440
62,976
 5.875% (f)(h)
  
102,630
108,531
 6.25% (f)(h)
  
28,555
30,268
Citigroup, Inc.:
  
  
  
 4.7% (f)(h)
  
15,285
15,305
 5% (f)(h)
  
60,300
60,972
 5.9% (f)(h)
  
27,015
27,657
 5.95% (f)(h)
  
51,015
52,163
 6.3% (f)(h)
  
5,610
5,769
Goldman Sachs Group, Inc.:
  
  
  
 4.4% (f)(h)
  
8,035
7,854
 4.95% (f)(h)
  
13,335
13,718
 5% (f)(h)
  
70,565
69,193
Huntington Bancshares, Inc. 5.7% (f)(h)
  
12,990
13,055
JPMorgan Chase & Co.:
  
  
  
 3 month U.S. LIBOR + 3.320% 3.5344% (f)(g)(h)
  
43,545
43,523
 3 month U.S. LIBOR + 3.800% 3.9316% (f)(g)(h)
  
16,855
16,855
 4% (f)(h)
  
34,340
33,645
 4.6% (f)(h)
  
23,365
23,309
 5% (f)(h)
  
30,845
31,385
 6% (f)(h)
  
69,385
72,065
 6.125% (f)(h)
  
17,585
18,288
 6.75% (f)(h)
  
8,330
8,919
Wells Fargo & Co.:
  
  
  
 5.875% (f)(h)
  
50,420
53,902
 5.9% (f)(h)
  
63,075
64,652
TOTAL BANKS & THRIFTS
  
  
888,664
Diversified Financial Services - 0.0%
 
  
  
OEC Finance Ltd. 7.5% pay-in-kind (d)(h)
  
1,749
70
Energy - 1.1%
 
  
  
DCP Midstream Partners LP 7.375% (f)(h)
  
15,260
14,620
Energy Transfer LP:
  
  
  
 6.25% (f)(h)
  
81,527
71,948
 6.625% (f)(h)
  
30,505
28,827
 7.125% (f)(h)
  
9,130
9,284
MPLX LP 6.875% (f)(h)
  
30,450
30,298
Summit Midstream Partners LP 9.5% (f)(h)
  
2,912
2,513
TOTAL ENERGY
  
  
157,490
 
TOTAL PREFERRED SECURITIES
 (Cost $1,036,907)
  
  
  
1,046,224
 
  
  
  
Fixed-Income Funds - 0.4%
 
  
Shares
Value ($)
(000s)
 
Fidelity Direct Lending Fund, LP (b)(c)(o)
 
 (Cost $54,527)
 
  
5,452,651
54,527
 
  
  
  
Money Market Funds - 8.2%
 
  
Shares
Value ($)
(000s)
 
Fidelity Cash Central Fund 0.08% (p)
  
1,138,877,690
1,139,105
Fidelity Securities Lending Cash Central Fund 0.08% (p)(q)
  
60,333,967
60,340
 
TOTAL MONEY MARKET FUNDS
 (Cost $1,199,399)
  
  
1,199,445
 
  
  
  
 
TOTAL INVESTMENT IN SECURITIES - 100.0%
 (Cost $13,404,274)
 
  
 
14,557,693
NET OTHER ASSETS (LIABILITIES) - 0.0%  
(4,846)
NET ASSETS - 100.0%
14,552,847
 
  
 
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 $103,800,000 or 0.7% 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 $6,566,113,000 or 45.1% of net assets.
 
(e)
Non-income producing - Security is in default.
 
(f)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(g)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(h)
Security is perpetual in nature with no stated maturity date.
 
(i)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
 
(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)
The coupon rate will be determined upon settlement of the loan after period end.
 
(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 $1,507,000 and $1,507,000, respectively.
 
(o)
Affiliated Fund
 
(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
Fidelity Direct Lending Fund, LP
12/09/21 - 1/31/22
54,526
Mesquite Energy, Inc. 15% 7/15/23
11/05/20 - 1/18/22
4,307
Mesquite Energy, Inc. 15% 7/15/23
7/10/20 - 1/18/22
2,496
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
10,248
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
1,655
 
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 0.08%
1,367,979
2,838,772
3,067,646
532
-
-
1,139,105
2.0%
Fidelity Securities Lending Cash Central Fund 0.08%
-
360,982
300,642
19
-
-
60,340
0.2%
Total
1,367,979
3,199,754
3,368,288
551
-
-
1,199,445
  
 
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.
 
 
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 Fund 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
-
54,527
-
145
-
-
54,527
 
-
54,527
-
145
-
-
54,527
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
 
 
 
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
-
57,766
651
(12,672)
106,244
-
California Resources Corp. warrants 10/27/24
228
-
-
-
-
628
-
Total
120,848
-
57,766
651
(12,672)
106,872
-
 
 
 
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 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
Valuation techniques used to value investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing 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.
 
Fidelity Direct Lending Fund, LP is valued using NAV as a practical expedient in accordance with the specialized accounting guidance for investment companies and is categorized as Level 3 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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