NPORT-EX 2 QTLY_638_20200930.htm

Quarterly Holdings Report
for

Fidelity Advisor® Strategic Income Fund

September 30, 2020







SI-QTLY-1120
1.808792.116





Schedule of Investments September 30, 2020 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 33.3%   
 Principal Amount (000s)(a) Value (000s) 
Convertible Bonds - 0.0%   
ENERGY - 0.0%   
Energy Equipment & Services - 0.0%   
Forum Energy Technologies, Inc. 9% 8/4/25 $10,950 $6,816 
Oil, Gas & Consumable Fuels - 0.0%   
Mesquite Energy, Inc. 15% 7/31/23 (b)(c) 1,163 1,163 
TOTAL ENERGY  7,979 
Nonconvertible Bonds - 33.3%   
COMMUNICATION SERVICES - 6.9%   
Diversified Telecommunication Services - 2.4%   
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d) 13,810 14,345 
Cablevision Lightpath LLC:   
3.875% 9/15/27 (d) 3,300 3,300 
5.625% 9/15/28 (d) 2,610 2,652 
Frontier Communications Corp. 8.5% 4/1/26 (d) 25,262 25,489 
GCI, Inc. 6.875% 4/15/25 8,000 8,247 
Sable International Finance Ltd. 5.75% 9/7/27 (d) 12,405 12,937 
SFR Group SA:   
5.5% 1/15/28 (d) 13,345 13,512 
7.375% 5/1/26 (d) 62,475 65,468 
8.125% 2/1/27 (d) 4,495 4,900 
Sprint Capital Corp.:   
6.875% 11/15/28 78,162 97,338 
8.75% 3/15/32 39,078 57,203 
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d) 9,200 9,660 
U.S. West Communications 7.25% 9/15/25 955 1,097 
Verizon Communications, Inc. 1.85% 5/18/40 EUR6,300 7,915 
Virgin Media Finance PLC 5% 7/15/30 (d) 14,025 13,955 
Windstream Escrow LLC 7.75% 8/15/28 (d) 19,370 19,031 
Zayo Group Holdings, Inc. 4% 3/1/27 (d) 9,545 9,394 
  366,443 
Entertainment - 0.6%   
Allen Media LLC 10.5% 2/15/28 (d) 6,415 6,190 
Lions Gate Entertainment Corp. 5.875% 11/1/24 (d) 2,640 2,594 
Livent, Inc. 9.375% 10/15/04 (c)(e) 300 0 
Netflix, Inc.:   
4.375% 11/15/26 3,920 4,268 
4.875% 4/15/28 16,980 18,975 
5.375% 11/15/29 (d) 6,760 7,968 
5.875% 11/15/28 38,210 45,592 
  85,587 
Interactive Media & Services - 0.0%   
ANGI Homeservices, Inc. 3.875% 8/15/28 (d) 3,385 3,351 
Media - 3.5%   
Altice Financing SA 5% 1/15/28 (d) 6,470 6,284 
Block Communications, Inc. 4.875% 3/1/28 (d) 4,405 4,493 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
4.25% 2/1/31 (d) 10,205 10,571 
4.5% 8/15/30 (d) 16,805 17,645 
4.75% 3/1/30 (d) 51,010 54,007 
5% 2/1/28 (d) 54,720 57,524 
5.125% 5/1/27 (d) 42,005 44,199 
5.375% 6/1/29 (d) 34,085 36,940 
5.5% 5/1/26 (d) 12,355 12,880 
5.875% 5/1/27 (d) 10,315 10,830 
Clear Channel International BV 6.625% 8/1/25 (d) 9,800 10,018 
CSC Holdings LLC:   
5.375% 2/1/28 (d) 13,855 14,634 
5.5% 5/15/26 (d) 31,192 32,440 
5.75% 1/15/30 (d) 61,690 65,559 
6.5% 2/1/29 (d) 15,380 17,053 
7.5% 4/1/28 (d) 8,475 9,363 
LCPR Senior Secured Financing DAC 6.75% 10/15/27 (d) 6,785 7,090 
Nexstar Broadcasting, Inc.:   
4.75% 11/1/28 (d) 13,395 13,663 
5.625% 7/15/27 (d) 14,270 14,969 
Quebecor Media, Inc. 5.75% 1/15/23 14,205 15,235 
Radiate Holdco LLC/Radiate Financial Service Ltd.:   
4.5% 9/15/26 (d) 5,035 5,034 
6.5% 9/15/28 (d) 13,425 13,757 
Sirius XM Radio, Inc.:   
5% 8/1/27 (d) 8,740 9,130 
5.375% 7/15/26 (d) 7,940 8,263 
Videotron Ltd. 5.125% 4/15/27 (d) 7,325 7,706 
Ziggo Bond Co. BV:   
5.125% 2/28/30 (d) 3,375 3,417 
6% 1/15/27 (d) 7,930 8,198 
Ziggo BV:   
4.875% 1/15/30 (d) 4,805 4,973 
5.5% 1/15/27 (d) 14,355 15,037 
  530,912 
Wireless Telecommunication Services - 0.4%   
Intelsat Jackson Holdings SA:   
5.5% 8/1/23 (e) 19,430 12,192 
8% 2/15/24 (d) 12,960 13,154 
8.5% 10/15/24 (d)(e) 12,990 8,379 
9.75% 7/15/25 (d)(e) 22,015 14,420 
Sprint Corp. 7.625% 3/1/26 3,615 4,368 
  52,513 
TOTAL COMMUNICATION SERVICES  1,038,806 
CONSUMER DISCRETIONARY - 3.2%   
Auto Components - 0.1%   
Allison Transmission, Inc.:   
5% 10/1/24 (d) 7,960 8,040 
5.875% 6/1/29 (d) 4,830 5,224 
Exide International Holdings LP 10.75% 10/31/21 pay-in-kind (c)(d)(f) 624 580 
Exide Technologies:   
11% 10/31/24 pay-in-kind (c)(d)(e)(f) 1,560 1,014 
11% 10/31/24 pay-in-kind (c)(d)(e)(f) 632 285 
  15,143 
Automobiles - 0.2%   
Tesla, Inc. 5.3% 8/15/25 (d) 835 864 
Volkswagen Financial Services AG 3.375% 4/6/28 (Reg. S) EUR20,119 27,358 
  28,222 
Diversified Consumer Services - 0.0%   
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d) 5,300 5,244 
Hotels, Restaurants & Leisure - 2.3%   
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:   
4% 10/15/30 (d)(g) 10,045 10,120 
4.375% 1/15/28 (d) 6,265 6,389 
5% 10/15/25 (d) 34,125 34,990 
Caesars Entertainment, Inc.:   
6.25% 7/1/25 (d) 25,535 26,620 
8.125% 7/1/27 (d) 34,045 36,088 
Caesars Resort Collection LLC 5.75% 7/1/25 (d) 8,510 8,776 
Carnival Corp.:   
9.875% 8/1/27 (d) 10,150 10,755 
10.5% 2/1/26 (d) 7,395 8,190 
11.5% 4/1/23 (d) 20,180 22,615 
Choice Hotels International, Inc. 5.75% 7/1/22 2,690 2,865 
FelCor Lodging LP 6% 6/1/25 7,895 7,777 
Hilton Domestic Operating Co., Inc.:   
4.875% 1/15/30 11,025 11,356 
5.125% 5/1/26 10,820 11,104 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.:   
4.625% 4/1/25 11,100 11,156 
4.875% 4/1/27 5,210 5,293 
MCE Finance Ltd.:   
4.875% 6/6/25 (d) 17,840 18,222 
5.25% 4/26/26 (d) 7,345 7,437 
5.375% 12/4/29 (d) 4,785 4,756 
5.75% 7/21/28 (d) 3,385 3,449 
Merlin Entertainments PLC 5.75% 6/15/26 (d) 4,580 4,362 
MGM Mirage, Inc. 6.75% 5/1/25 15,075 15,799 
NCL Corp. Ltd. 12.25% 5/15/24 (d) 9,110 10,203 
Royal Caribbean Cruises Ltd.:   
10.875% 6/1/23 (d) 8,545 9,560 
11.5% 6/1/25 (d) 12,420 14,392 
Scientific Games Corp.:   
7% 5/15/28 (d) 4,965 4,977 
7.25% 11/15/29 (d) 4,965 5,039 
SeaWorld Parks & Entertainment, Inc. 9.5% 8/1/25 (d) 5,505 5,684 
Vail Resorts, Inc. 6.25% 5/15/25 (d) 3,855 4,091 
Viking Cruises Ltd.:   
5.875% 9/15/27 (d) 3,395 2,640 
13% 5/15/25 (d) 5,740 6,644 
Voc Escrow Ltd. 5% 2/15/28 (d) 6,285 5,565 
Wynn Macau Ltd. 5.125% 12/15/29 (d) 9,840 9,441 
  346,355 
Household Durables - 0.2%   
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (d) 4,370 4,090 
Lennar Corp. 4.75% 11/29/27 7,175 8,192 
LGI Homes, Inc. 6.875% 7/15/26 (d) 7,205 7,547 
TRI Pointe Homes, Inc.:   
5.7% 6/15/28 2,010 2,201 
5.875% 6/15/24 11,770 12,712 
  34,742 
Internet & Direct Marketing Retail - 0.3%   
Expedia, Inc.:   
6.25% 5/1/25 (d) 9,105 10,033 
7% 5/1/25 (d) 8,465 9,155 
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d) 23,835 24,014 
  43,202 
Specialty Retail - 0.1%   
Asbury Automotive Group, Inc.:   
4.5% 3/1/28 (d) 1,987 1,999 
4.75% 3/1/30 (d) 1,980 1,995 
Burlington Coat Factory Warehouse Corp. 6.25% 4/15/25 (d) 2,035 2,142 
Penske Automotive Group, Inc. 5.5% 5/15/26 5,975 6,164 
  12,300 
TOTAL CONSUMER DISCRETIONARY  485,208 
CONSUMER STAPLES - 1.4%   
Beverages - 0.2%   
Anheuser-Busch InBev SA NV 3.7% 4/2/40 (Reg. S) EUR8,359 12,512 
Heineken NV 1.25% 5/7/33 (Reg. S) EUR13,600 16,489 
  29,001 
Food & Staples Retailing - 0.3%   
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:   
4.625% 1/15/27 (d) 9,415 9,633 
4.875% 2/15/30 (d) 18,930 19,735 
KeHE Distributors LLC / KeHE Finance Corp. 8.625% 10/15/26 (d) 5,880 6,365 
Performance Food Group, Inc. 5.5% 10/15/27 (d) 5,345 5,505 
  41,238 
Food Products - 0.9%   
Del Monte Foods, Inc. 11.875% 5/15/25 (d) 3,895 4,114 
JBS Investments II GmbH:   
5.75% 1/15/28 (d) 6,485 6,744 
7% 1/15/26 (d) 6,745 7,200 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:   
5.75% 6/15/25 (d) 17,240 17,771 
6.75% 2/15/28 (d) 10,725 11,663 
JBS U.S.A. Lux SA / JBS Food Co.:   
5.5% 1/15/30 (d) 12,225 13,325 
6.5% 4/15/29 (d) 17,835 19,797 
Lamb Weston Holdings, Inc.:   
4.625% 11/1/24 (d) 5,230 5,452 
4.875% 11/1/26 (d) 5,285 5,510 
Pilgrim's Pride Corp. 5.75% 3/15/25 (d) 12,675 12,913 
Post Holdings, Inc.:   
4.625% 4/15/30 (d) 6,415 6,599 
5% 8/15/26 (d) 12,030 12,331 
5.5% 12/15/29 (d) 9,145 9,785 
5.75% 3/1/27 (d) 4,885 5,135 
TreeHouse Foods, Inc. 4% 9/1/28 2,250 2,276 
  140,615 
TOTAL CONSUMER STAPLES  210,854 
ENERGY - 4.0%   
Energy Equipment & Services - 0.1%   
Diamond Offshore Drilling, Inc.:   
4.875% 11/1/43 (e) 308 28 
5.7% 10/15/39 (e) 1,585 141 
Exterran Energy Solutions LP 8.125% 5/1/25 3,270 2,792 
Jonah Energy LLC 7.25% 10/15/25 (d) 10,845 1,207 
Nabors Industries Ltd.:   
7.25% 1/15/26 (d) 6,565 3,233 
7.5% 1/15/28 (d) 5,660 2,724 
Nine Energy Service, Inc. 8.75% 11/1/23 (d) 3,620 1,086 
NuStar Logistics LP 6% 6/1/26 7,285 7,306 
SESI LLC 7.75% 9/15/24 4,340 1,063 
Summit Midstream Holdings LLC 5.75% 4/15/25 3,405 1,944 
  21,524 
Oil, Gas & Consumable Fuels - 3.9%   
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.75% 1/15/28 (d) 10,640 8,751 
Antero Resources Corp. 5.625% 6/1/23 (Reg. S) 1,645 1,193 
Callon Petroleum Co. 6.125% 10/1/24 2,855 814 
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 5,395 1,726 
Cheniere Energy, Inc. 4.625% 10/15/28 (d) 13,395 13,747 
Chesapeake Energy Corp.:   
7% 10/1/24 (e) 3,985 149 
8% 1/15/25 (e) 1,955 73 
8% 6/15/27 (e) 1,240 42 
11.5% 1/1/25 (d)(e) 14,711 1,986 
Citgo Holding, Inc. 9.25% 8/1/24 (d) 16,430 15,650 
Citgo Petroleum Corp. 7% 6/15/25 (d) 13,580 13,393 
CNX Midstream Partners LP 6.5% 3/15/26 (d) 3,935 3,984 
Comstock Resources, Inc.:   
7.5% 5/15/25 (d) 6,555 6,227 
9.75% 8/15/26 4,500 4,613 
9.75% 8/15/26 36,490 37,537 
Continental Resources, Inc.:   
3.8% 6/1/24 11,880 11,014 
4.375% 1/15/28 3,040 2,628 
4.5% 4/15/23 1,645 1,568 
4.9% 6/1/44 7,565 5,717 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:   
5.625% 5/1/27 (d) 11,025 9,848 
5.75% 4/1/25 2,960 2,694 
CVR Energy, Inc.:   
5.25% 2/15/25 (d) 9,740 8,474 
5.75% 2/15/28 (d) 24,505 20,829 
DCP Midstream LLC 5.85% 5/21/43 (d)(f) 10,780 7,869 
EG Global Finance PLC 8.5% 10/30/25 (d) 9,545 10,046 
Endeavor Energy Resources LP/EER Finance, Inc.:   
5.5% 1/30/26 (d) 5,820 5,776 
5.75% 1/30/28 (d) 10,149 10,200 
6.625% 7/15/25 (d) 3,395 3,488 
Energy Transfer Equity LP 5.5% 6/1/27 12,065 11,751 
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 5/15/26 (d)(e) 55,595 12,161 
EQT Corp. 3.9% 10/1/27 15,848 14,441 
Extraction Oil & Gas, Inc. 7.375% 5/15/24 (d)(e) 4,315 1,079 
Genesis Energy LP/Genesis Energy Finance Corp. 6.25% 5/15/26 5,405 4,501 
Global Partners LP/GLP Finance Corp. 7% 6/15/23 8,125 8,288 
Hess Midstream Partners LP:   
5.125% 6/15/28 (d) 6,600 6,585 
5.625% 2/15/26 (d) 9,140 9,311 
Hilcorp Energy I LP/Hilcorp Finance Co.:   
5% 12/1/24 (d) 7,550 6,852 
5.75% 10/1/25 (d) 8,135 7,362 
6.25% 11/1/28 (d) 7,130 6,488 
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d) 4,350 4,263 
Indigo Natural Resources LLC 6.875% 2/15/26 (d) 13,168 12,816 
Laredo Petroleum, Inc. 10.125% 1/15/28 2,595 1,531 
MEG Energy Corp. 7.125% 2/1/27 (d) 6,490 5,820 
Murphy Oil U.S.A., Inc.:   
4.75% 9/15/29 4,155 4,425 
5.625% 5/1/27 3,665 3,894 
New Fortress Energy LLC 6.75% 9/15/25 (d) 27,005 28,234 
Newfield Exploration Co. 5.375% 1/1/26 6,813 6,406 
NGL Energy Partners LP/NGL Energy Finance Corp.:   
6.125% 3/1/25 7,480 4,451 
7.5% 4/15/26 9,630 5,971 
NGPL PipeCo LLC:   
4.375% 8/15/22 (d) 1,800 1,868 
4.875% 8/15/27 (d) 1,800 1,952 
Occidental Petroleum Corp.:   
2.9% 8/15/24 8,270 7,017 
3.2% 8/15/26 515 408 
3.4% 4/15/26 670 534 
4.4% 4/15/46 5,820 4,152 
4.4% 8/15/49 14,725 10,309 
4.625% 6/15/45 4,795 3,465 
5.875% 9/1/25 6,775 6,209 
6.2% 3/15/40 3,565 2,923 
6.375% 9/1/28 6,775 6,272 
6.45% 9/15/36 11,875 10,094 
6.6% 3/15/46 9,520 8,219 
6.625% 9/1/30 13,550 12,500 
7.2% 3/15/29 2,440 2,220 
7.5% 5/1/31 680 646 
PBF Holding Co. LLC/PBF Finance Corp.:   
6% 2/15/28 (d) 15,760 10,576 
7.25% 6/15/25 13,580 10,253 
9.25% 5/15/25 (d) 10,160 10,414 
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 6,110 5,743 
PDC Energy, Inc.:   
6.125% 9/15/24 2,480 2,362 
6.25% 12/1/25 4,370 4,064 
Sabine Pass Liquefaction LLC 4.5% 5/15/30 (d) 84 95 
Sanchez Energy Corp. 7.25% 2/15/23 (c)(d)(e) 12,834 0 
SM Energy Co.:   
5.625% 6/1/25 5,060 2,277 
6.625% 1/15/27 12,830 5,699 
6.75% 9/15/26 3,175 1,413 
Southern Star Central Corp. 5.125% 7/15/22 (d) 2,700 2,707 
Southwestern Energy Co.:   
6.45% 1/23/25 (f) 1,095 1,061 
7.5% 4/1/26 12,420 12,141 
7.75% 10/1/27 7,830 7,595 
Sunoco LP/Sunoco Finance Corp.:   
4.875% 1/15/23 5,390 5,417 
5.5% 2/15/26 6,865 6,856 
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 7.5% 10/1/25 (d) 5,035 5,055 
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 4.875% 2/1/31 (d) 6,345 6,145 
Teine Energy Ltd. 6.875% 9/30/22 (d) 8,820 8,666 
Tennessee Gas Pipeline Co. 7.625% 4/1/37 2,585 3,443 
Ultra Resources, Inc. 11% 7/12/24 pay-in-kind (c)(e) 6,493 325 
Unit Corp. 6.625% 5/15/21 (c)(e) 1,660 199 
W&T Offshore, Inc. 9.75% 11/1/23 (d) 24,200 16,666 
  584,626 
TOTAL ENERGY  606,150 
FINANCIALS - 4.2%   
Banks - 0.8%   
AIB Group PLC 2.875% 5/30/31 (Reg. S) (f) EUR20,815 24,350 
Citigroup, Inc. 1.25% 7/6/26 (Reg. S) (f) EUR7,333 8,924 
Commerzbank AG 4% 3/23/26 (Reg. S) EUR12,050 15,045 
Danske Bank A/S 2.5% 6/21/29 (Reg. S) (f) EUR23,652 28,868 
HSBC Holdings PLC 7% 4/7/38 GBP10,000 18,876 
Lloyds Banking Group PLC 4.5% 3/18/30 (Reg. S) (f) EUR12,510 16,198 
UniCredit SpA 2.731% 1/15/32 (Reg. S) (f) EUR11,593 12,811 
  125,072 
Capital Markets - 0.1%   
AssuredPartners, Inc. 7% 8/15/25 (d) 2,930 2,984 
j2 Cloud Services LLC/j2 Global Communications, Inc. 6% 7/15/25 (d) 4,875 5,070 
MSCI, Inc. 4% 11/15/29 (d) 3,780 3,969 
  12,023 
Consumer Finance - 2.2%   
Ally Financial, Inc.:   
8% 11/1/31 16,761 22,320 
8% 11/1/31 155,842 213,228 
Springleaf Finance Corp.:   
5.375% 11/15/29 5,560 5,782 
6.625% 1/15/28 4,415 4,900 
6.875% 3/15/25 30,605 33,962 
7.125% 3/15/26 41,215 46,045 
  326,237 
Diversified Financial Services - 0.6%   
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (d) 6,600 6,955 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
5.25% 5/15/27 17,335 18,060 
6.25% 5/15/26 14,625 15,247 
6.375% 12/15/25 32,405 33,311 
6.75% 2/1/24 6,490 6,657 
James Hardie International Finance Ltd.:   
4.75% 1/15/25 (d) 5,220 5,331 
5% 1/15/28 (d) 5,270 5,494 
  91,055 
Insurance - 0.3%   
Acrisure LLC / Acrisure Finance, Inc.:   
7% 11/15/25 (d) 20,290 19,932 
8.125% 2/15/24 (d) 7,875 8,249 
10.125% 8/1/26 (d) 6,810 7,543 
Alliant Holdings Intermediate LLC 6.75% 10/15/27 (d) 3,340 3,504 
HUB International Ltd. 7% 5/1/26 (d) 6,980 7,233 
  46,461 
Thrifts & Mortgage Finance - 0.2%   
MGIC Investment Corp. 5.25% 8/15/28 4,725 4,889 
Nationwide Building Society 2% 7/25/29 (Reg. S) (f) EUR15,443 18,500 
  23,389 
TOTAL FINANCIALS  624,237 
HEALTH CARE - 2.6%   
Health Care Equipment & Supplies - 0.2%   
Hologic, Inc.:   
4.375% 10/15/25 (d) 3,700 3,783 
4.625% 2/1/28 (d) 2,505 2,631 
Medtronic Global Holdings SCA 1.375% 10/15/40 EUR14,138 16,912 
  23,326 
Health Care Providers & Services - 1.8%   
AMN Healthcare 4.625% 10/1/27 (d) 1,695 1,737 
Centene Corp.:   
4.25% 12/15/27 6,820 7,137 
4.625% 12/15/29 23,795 25,667 
4.75% 1/15/25 5,425 5,576 
5.25% 4/1/25 (d) 5,705 5,929 
5.375% 6/1/26 (d) 18,035 19,035 
5.375% 8/15/26 (d) 4,655 4,930 
Community Health Systems, Inc.:   
6.625% 2/15/25 (d) 7,415 7,173 
8% 3/15/26 (d) 37,390 36,713 
8.125% 6/30/24 (d) 25,507 18,620 
9.875% 6/30/23 (d) 21,652 16,780 
Encompass Health Corp. 5.75% 11/1/24 10,048 10,063 
Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (d) 7,300 7,747 
Jaguar Holding Co. II/Pharmaceutical Product Development LLC 5% 6/15/28 (d) 7,220 7,536 
Molina Healthcare, Inc. 4.375% 6/15/28 (d) 4,690 4,786 
Radiology Partners, Inc. 9.25% 2/1/28 (d) 11,755 12,225 
Tenet Healthcare Corp.:   
4.625% 7/15/24 3,640 3,649 
4.625% 9/1/24 (d) 7,305 7,364 
4.875% 1/1/26 (d) 18,260 18,534 
5.125% 5/1/25 3,640 3,644 
5.125% 11/1/27 (d) 10,955 11,268 
6.125% 10/1/28 (d) 10,130 9,864 
6.25% 2/1/27 (d) 11,115 11,473 
U.S. Renal Care, Inc. 10.625% 7/15/27 (d) 12,865 13,637 
Vizient, Inc. 6.25% 5/15/27 (d) 1,690 1,770 
  272,857 
Health Care Technology - 0.0%   
IMS Health, Inc. 5% 5/15/27 (d) 5,660 5,935 
Life Sciences Tools & Services - 0.1%   
Avantor, Inc. 6% 10/1/24 (d) 7,285 7,613 
Charles River Laboratories International, Inc. 4.25% 5/1/28 (d) 2,045 2,146 
  9,759 
Pharmaceuticals - 0.5%   
Bayer AG 1.375% 7/6/32 (Reg. S) EUR26,600 31,818 
Catalent Pharma Solutions:   
4.875% 1/15/26 (d) 2,365 2,412 
5% 7/15/27 (d) 2,295 2,387 
Mylan NV 3.125% 11/22/28 (Reg. S) EUR21,360 28,816 
Takeda Pharmaceutical Co. Ltd. 2% 7/9/40 EUR11,100 13,784 
  79,217 
TOTAL HEALTH CARE  391,094 
INDUSTRIALS - 3.5%   
Aerospace & Defense - 1.6%   
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (d) 2,610 2,636 
Bombardier, Inc.:   
6.125% 1/15/23 (d) 6,590 5,634 
7.5% 12/1/24 (d) 5,505 4,225 
7.5% 3/15/25 (d) 16,070 12,073 
7.875% 4/15/27 (d) 30,330 23,003 
BWX Technologies, Inc.:   
4.125% 6/30/28 (d) 6,400 6,544 
5.375% 7/15/26 (d) 4,990 5,183 
Moog, Inc. 4.25% 12/15/27 (d) 2,025 2,071 
Spirit Aerosystems, Inc. 7.5% 4/15/25 (d) 9,205 9,320 
TransDigm UK Holdings PLC 6.875% 5/15/26 21,085 21,188 
TransDigm, Inc.:   
5.5% 11/15/27 57,420 55,123 
6.25% 3/15/26 (d) 11,120 11,660 
6.375% 6/15/26 37,890 38,039 
6.5% 5/15/25 9,710 9,680 
7.5% 3/15/27 11,028 11,450 
Wolverine Escrow LLC:   
8.5% 11/15/24 (d) 13,041 10,694 
9% 11/15/26 (d) 13,634 11,248 
  239,771 
Air Freight & Logistics - 0.1%   
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (d) 3,960 3,999 
XPO Logistics, Inc. 6.25% 5/1/25 (d) 11,590 12,343 
  16,342 
Airlines - 0.5%   
Air Canada 2013-1 Pass Through Trust 5.375% 11/15/22 (d) 1,602 1,466 
Delta Air Lines, Inc. 7% 5/1/25 (d) 2,860 3,140 
Delta Air Lines, Inc. / SkyMiles IP Ltd.:   
4.5% 10/20/25 (d) 28,985 29,746 
4.75% 10/20/28 (d) 23,940 24,868 
Delta Air Lines, Inc. pass-thru trust certificates 8.021% 2/10/24 1,922 1,808 
Hawaiian Airlines pass-thru certificates Series 2013-1 Class B, 4.95% 7/15/23 2,950 2,661 
Mileage Plus Holdings LLC 6.5% 6/20/27 (d) 10,635 11,074 
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. 8% 9/20/25 (d) 7,805 8,270 
  83,033 
Building Products - 0.0%   
Advanced Drain Systems, Inc. 5% 9/30/27 (d) 1,400 1,463 
Shea Homes Ltd. Partnership/Corp. 4.75% 4/1/29 (d) 4,830 4,812 
  6,275 
Commercial Services & Supplies - 0.3%   
ADS Waste Holdings, Inc. 5.625% 11/15/24 (d) 6,910 7,117 
Covanta Holding Corp.:   
5% 9/1/30 6,775 6,838 
5.875% 7/1/25 1,995 2,062 
6% 1/1/27 7,080 7,363 
IAA Spinco, Inc. 5.5% 6/15/27 (d) 2,830 2,947 
KAR Auction Services, Inc. 5.125% 6/1/25 (d) 6,210 6,210 
Ritchie Bros. Auctioneers, Inc. 5.375% 1/15/25 (d) 2,315 2,382 
The Brink's Co. 4.625% 10/15/27 (d) 7,200 7,189 
  42,108 
Construction & Engineering - 0.1%   
AECOM 5.125% 3/15/27 7,490 8,090 
Odebrecht Finance Ltd.:   
4.375% 4/25/25 (d)(e) 7,474 404 
5.25% 6/27/29 (d)(e) 6,800 272 
7.125% 6/26/42 (d)(e) 3,310 171 
Pike Corp. 5.5% 9/1/28 (d) 5,315 5,348 
  14,285 
Electrical Equipment - 0.1%   
Sensata Technologies BV 5% 10/1/25 (d) 8,215 8,831 
Machinery - 0.1%   
Stevens Holding Co., Inc. 6.125% 10/1/26 (d) 1,880 2,012 
Vertical Holdco GmbH 7.625% 7/15/28 (d) 1,870 1,976 
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (d) 6,830 7,098 
  11,086 
Professional Services - 0.1%   
ASGN, Inc. 4.625% 5/15/28 (d) 5,670 5,693 
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (d) 6,270 6,436 
  12,129 
Road & Rail - 0.5%   
Hertz Corp.:   
5.5% 10/15/24 (d)(e) 5,950 2,678 
6% 1/15/28 (d)(e) 3,435 1,554 
6.25% 10/15/22 (e) 4,635 2,121 
7.125% 8/1/26 (d)(e) 6,315 2,842 
Uber Technologies, Inc.:   
6.25% 1/15/28 (d) 5,520 5,665 
7.5% 9/15/27 (d) 31,625 33,760 
8% 11/1/26 (d) 29,170 31,066 
  79,686 
Trading Companies & Distributors - 0.1%   
United Rentals North America, Inc.:   
3.875% 11/15/27 3,345 3,445 
5.5% 5/15/27 4,980 5,297 
  8,742 
TOTAL INDUSTRIALS  522,288 
INFORMATION TECHNOLOGY - 1.2%   
Electronic Equipment & Components - 0.0%   
MTS Systems Corp. 5.75% 8/15/27 (d) 1,905 1,876 
IT Services - 0.2%   
Banff Merger Sub, Inc. 9.75% 9/1/26 (d) 5,645 5,967 
Camelot Finance SA 4.5% 11/1/26 (d) 6,365 6,492 
Gartner, Inc. 3.75% 10/1/30 (d) 6,920 7,000 
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 5.25% 12/1/27 (d) 5,665 5,895 
GTT Communications, Inc. 7.875% 12/31/24 (d) 640 330 
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 10.75% 6/1/28 (d) 3,695 4,028 
RP Crown Parent, LLC 7.375% 10/15/24 (d) 2,820 2,862 
Tempo Acquisition LLC 6.75% 6/1/25 (d) 5,340 5,450 
  38,024 
Semiconductors & Semiconductor Equipment - 0.3%   
Infineon Technologies AG 2% 6/24/32 (Reg. S) EUR15,500 19,236 
ON Semiconductor Corp. 3.875% 9/1/28 (d) 6,765 6,860 
Qorvo, Inc. 5.5% 7/15/26 3,615 3,834 
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (d) 7,880 8,254 
  38,184 
Software - 0.6%   
Ascend Learning LLC:   
6.875% 8/1/25 (d) 2,480 2,551 
6.875% 8/1/25 (d) 7,330 7,460 
Black Knight InfoServ LLC 3.625% 9/1/28 (d) 6,975 7,049 
Boxer Parent Co., Inc. 7.125% 10/2/25 (d) 3,445 3,679 
Ensemble S Merger Sub, Inc. 9% 9/30/23 (d) 13,310 13,318 
Fair Isaac Corp. 4% 6/15/28 (d) 6,420 6,621 
Nortonlifelock, Inc. 5% 4/15/25 (d) 6,360 6,509 
Open Text Corp.:   
3.875% 2/15/28 (d) 3,220 3,257 
5.875% 6/1/26 (d) 6,000 6,225 
Open Text Holdings, Inc. 4.125% 2/15/30 (d) 3,220 3,312 
Parametric Technology Corp.:   
3.625% 2/15/25 (d) 3,755 3,811 
4% 2/15/28 (d) 3,715 3,818 
Veritas U.S., Inc./Veritas Bermuda Ltd.:   
7.5% 2/1/23 (d) 9,915 9,892 
7.5% 9/1/25 (d) 8,470 8,735 
  86,237 
Technology Hardware, Storage & Peripherals - 0.1%   
NCR Corp.:   
5% 10/1/28 (d) 3,385 3,381 
5.25% 10/1/30 (d) 3,385 3,385 
5.75% 9/1/27 (d) 5,480 5,729 
6.125% 9/1/29 (d) 5,480 5,790 
8.125% 4/15/25 (d) 2,910 3,216 
  21,501 
TOTAL INFORMATION TECHNOLOGY  185,822 
MATERIALS - 3.1%   
Chemicals - 1.4%   
CF Industries Holdings, Inc.:   
4.95% 6/1/43 40,343 46,987 
5.15% 3/15/34 19,208 22,696 
5.375% 3/15/44 34,489 41,503 
Consolidated Energy Finance SA:   
3 month U.S. LIBOR + 3.750% 4.0004% 6/15/22 (d)(f)(h) 1,820 1,716 
6.5% 5/15/26 (d) 31,160 27,290 
6.875% 6/15/25 (d) 6,400 5,824 
LSB Industries, Inc. 9.625% 5/1/23 (d) 3,600 3,528 
Neon Holdings, Inc. 10.125% 4/1/26 (d) 7,305 7,707 
Nouryon Holding BV 8% 10/1/26 (d) 4,977 5,268 
OCI NV:   
5.25% 11/1/24 (d) 10,040 10,358 
6.625% 4/15/23 (d) 3,185 3,293 
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.5% 6/15/25 (d) 5,880 5,304 
The Chemours Co. LLC 5.375% 5/15/27 18,470 18,378 
Tronox, Inc. 6.5% 5/1/25 (d) 5,410 5,640 
Valvoline, Inc. 4.25% 2/15/30 (d) 4,680 4,774 
  210,266 
Construction Materials - 0.1%   
Summit Materials LLC/Summit Materials Finance Corp.:   
5.125% 6/1/25 (d) 3,060 3,102 
5.25% 1/15/29 (d) 6,525 6,794 
U.S. Concrete, Inc.:   
5.125% 3/1/29 (d) 5,035 5,048 
6.375% 6/1/24 3,885 4,006 
  18,950 
Containers & Packaging - 0.5%   
ARD Finance SA 6.5% 6/30/27 pay-in-kind (d)(f) 6,625 6,591 
Cascades, Inc.:   
5.125% 1/15/26 (d) 3,310 3,468 
5.375% 1/15/28 (d) 3,310 3,480 
Crown Cork & Seal, Inc.:   
7.375% 12/15/26 16,535 19,658 
7.5% 12/15/96 7,695 8,302 
Graham Packaging Co., Inc. 7.125% 8/15/28 (d) 3,720 3,873 
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (d) 2,570 2,606 
Labl Escrow Issuer LLC 6.75% 7/15/26 (d) 11,010 11,616 
Trivium Packaging Finance BV:   
5.5% 8/15/26 (d) 4,195 4,344 
8.5% 8/15/27 (d) 7,180 7,742 
  71,680 
Metals & Mining - 1.1%   
Alcoa Nederland Holding BV:   
6.125% 5/15/28 (d) 2,110 2,223 
6.75% 9/30/24 (d) 5,350 5,517 
7% 9/30/26 (d) 4,430 4,640 
Algoma Steel SCA 0% 12/31/23 (c) 1,518 926 
Arconic Rolled Products Corp.:   
6% 5/15/25 (d) 4,090 4,368 
6.125% 2/15/28 (d) 9,123 9,368 
Cleveland-Cliffs, Inc.:   
4.875% 1/15/24 (d) 7,215 7,107 
5.75% 3/1/25 1,889 1,757 
5.875% 6/1/27 11,010 10,239 
Commercial Metals Co. 5.75% 4/15/26 5,405 5,621 
Compass Minerals International, Inc. 6.75% 12/1/27 (d) 14,455 15,611 
First Quantum Minerals Ltd.:   
6.5% 3/1/24 (d) 6,560 6,335 
6.875% 3/1/26 (d) 14,330 13,828 
7.25% 5/15/22 (d) 4,105 4,097 
7.25% 4/1/23 (d) 1,985 1,962 
7.5% 4/1/25 (d) 12,105 11,984 
FMG Resources (August 2006) Pty Ltd.:   
4.5% 9/15/27 (d) 5,450 5,818 
4.75% 5/15/22 (d) 4,780 4,894 
5.125% 3/15/23 (d) 7,615 7,946 
5.125% 5/15/24 (d) 5,885 6,282 
Infrabuild Australia Pty Ltd. 12% 10/1/24 (d) 5,460 5,242 
Kaiser Aluminum Corp. 4.625% 3/1/28 (d) 6,615 6,168 
Mineral Resources Ltd. 8.125% 5/1/27 (d) 11,025 11,964 
Murray Energy Corp.:   
11.25% 4/15/21 (d)(e) 5,925 0 
12% 4/15/24 pay-in-kind (c)(d)(e)(f) 6,364 0 
United States Steel Corp. 6.25% 3/15/26 7,180 4,864 
  158,761 
TOTAL MATERIALS  459,657 
REAL ESTATE - 1.0%   
Equity Real Estate Investment Trusts (REITs) - 0.8%   
Iron Mountain, Inc.:   
4.875% 9/15/29 (d) 14,590 14,845 
5% 7/15/28 (d) 6,370 6,529 
5.25% 7/15/30 (d) 5,915 6,166 
5.625% 7/15/32 (d) 5,915 6,246 
MPT Operating Partnership LP/MPT Finance Corp.:   
4.625% 8/1/29 10,950 11,393 
5% 10/15/27 15,435 16,094 
SBA Communications Corp. 3.875% 2/15/27 (d) 9,720 9,866 
The GEO Group, Inc.:   
5.125% 4/1/23 7,555 6,138 
5.875% 10/15/24 8,575 6,560 
6% 4/15/26 5,755 4,115 
Uniti Group, Inc. 7.875% 2/15/25 (d) 9,940 10,533 
VICI Properties, Inc.:   
4.25% 12/1/26 (d) 12,650 12,709 
4.625% 12/1/29 (d) 7,220 7,375 
  118,569 
Real Estate Management & Development - 0.2%   
DTZ U.S. Borrower LLC 6.75% 5/15/28 (d) 6,575 6,826 
Realogy Group LLC/Realogy Co-Issuer Corp. 7.625% 6/15/25 (d) 20,305 21,269 
Taylor Morrison Communities, Inc./Monarch Communities, Inc.:   
5.625% 3/1/24 (d) 775 825 
5.875% 6/15/27 (d) 5,610 6,185 
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (d) 3,045 3,075 
  38,180 
TOTAL REAL ESTATE  156,749 
UTILITIES - 2.2%   
Electric Utilities - 1.9%   
Clearway Energy Operating LLC 4.75% 3/15/28 (d) 4,055 4,207 
NextEra Energy Partners LP:   
4.25% 7/15/24 (d) 4,030 4,202 
4.25% 9/15/24 (d) 2,830 2,950 
NRG Energy, Inc.:   
5.75% 1/15/28 20,240 21,834 
6.625% 1/15/27 15,685 16,587 
Pacific Gas & Electric Co.:   
3.45% 7/1/25 1,675 1,752 
3.75% 7/1/28 1,675 1,740 
3.75% 8/15/42 6,290 5,831 
3.95% 12/1/47 32,835 30,311 
4% 12/1/46 14,690 13,748 
4.25% 3/15/46 1,475 1,422 
4.3% 3/15/45 3,690 3,621 
4.55% 7/1/30 49,355 53,468 
4.95% 7/1/50 49,355 52,677 
PG&E Corp.:   
5% 7/1/28 13,615 13,207 
5.25% 7/1/30 5,150 4,983 
Vistra Operations Co. LLC:   
5% 7/31/27 (d) 13,800 14,493 
5.5% 9/1/26 (d) 9,975 10,411 
5.625% 2/15/27 (d) 17,455 18,419 
  275,863 
Gas Utilities - 0.2%   
Southern Natural Gas Co.:   
7.35% 2/15/31 14,890 19,742 
8% 3/1/32 9,400 13,326 
  33,068 
Independent Power and Renewable Electricity Producers - 0.1%   
TerraForm Power Operating LLC:   
4.25% 1/31/23 (d) 3,700 3,792 
4.75% 1/15/30 (d) 6,690 7,108 
5% 1/31/28 (d) 3,715 4,067 
The AES Corp. 4.5% 3/15/23 2,769 2,783 
  17,750 
TOTAL UTILITIES  326,681 
TOTAL NONCONVERTIBLE BONDS  5,007,546 
TOTAL CORPORATE BONDS   
(Cost $4,903,358)  5,015,525 
U.S. Government and Government Agency Obligations - 17.2%   
U.S. Government Agency Obligations - 0.1%   
Fannie Mae 0.625% 4/22/25 2,128 2,152 
Tennessee Valley Authority:   
5.25% 9/15/39 $2,106 $3,246 
5.375% 4/1/56 3,503 5,985 
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS  11,383 
U.S. Treasury Obligations - 16.7%   
U.S. Treasury Bonds:   
1.25% 5/15/50 (i) 12,710 12,045 
1.375% 8/15/50 9,390 9,188 
2% 2/15/50 7,810 8,834 
2.5% 2/15/45 (j)(k) 216,056 265,909 
3% 5/15/45 20,100 26,910 
3% 2/15/49 145,860 199,384 
4.75% 2/15/37 (j)(k) 74,200 116,914 
5.25% 2/15/29 (j) 5,406 7,487 
6.125% 8/15/29 (j) 3,663 5,426 
U.S. Treasury Notes:   
0.125% 5/31/22 66,923 66,907 
0.125% 6/30/22 46,344 46,333 
0.125% 8/31/22 82,000 81,978 
0.125% 8/15/23 3,014 3,011 
0.25% 7/31/25 35,866 35,832 
0.25% 9/30/25 23,087 23,056 
0.375% 3/31/22 92,800 93,112 
0.375% 4/30/25 82,771 83,246 
0.375% 9/30/27 104,901 104,196 
0.5% 8/31/27 116,481 116,754 
0.625% 8/15/30 96,105 95,549 
1.375% 8/31/23 11,000 11,389 
1.5% 8/31/21 22,000 22,271 
1.5% 9/30/21 25,180 25,516 
1.5% 10/31/24 480 505 
1.5% 1/31/27 34,389 36,744 
1.625% 11/15/22 14,901 15,367 
1.625% 5/31/23 19,717 20,491 
1.625% 9/30/26 3,093 3,322 
1.75% 7/31/21 9,325 9,449 
1.875% 7/31/22 43,433 44,814 
2.125% 3/31/24 56,643 60,469 
2.125% 7/31/24 118,408 127,076 
2.125% 5/15/25 (j) 12,033 13,064 
2.25% 3/31/21 9,900 10,004 
2.25% 7/31/21 52,019 52,929 
2.25% 4/30/24 24,428 26,220 
2.25% 3/31/26 34,717 38,343 
2.375% 4/15/21 74,550 75,450 
2.5% 12/31/20 80,000 80,471 
2.5% 1/31/21 42,832 43,163 
2.5% 2/28/21 90,000 90,868 
2.5% 1/15/22 136,816 140,969 
2.5% 2/28/26 38,997 43,556 
2.625% 12/31/23 69,183 74,658 
2.75% 6/30/25 197 220 
3.125% 11/15/28 31,330 37,737 
TOTAL U.S. TREASURY OBLIGATIONS  2,507,136 
Other Government Related - 0.4%   
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) 49,900 50,986 
Private Export Funding Corp. Secured 1.75% 11/15/24 11,520 12,143 
TOTAL OTHER GOVERNMENT RELATED  63,129 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $2,376,363)  2,581,648 
Foreign Government and Government Agency Obligations - 7.3%   
Australian Commonwealth:   
1.75% 6/21/51 (Reg. S) AUD$36,406 $26,186 
3% 3/21/47 AUD58,350 54,028 
Buoni del Tesoro Poliennali 2.45% 9/1/50 (Reg. S) (d) EUR9,339 12,724 
Canadian Government:   
1.25% 3/1/25 CAD74,000 57,832 
1.25% 6/1/30 CAD35,890 28,688 
2.25% 2/1/21 CAD125,180 94,669 
German Federal Republic:   
0% 3/12/21 (Reg. S) EUR99,750 117,267 
0% 2/15/30 (Reg. S) EUR51,700 63,843 
0% 8/15/50 EUR8,100 9,766 
0.25% 2/15/29 EUR213,900 269,435 
Israeli State (guaranteed by U.S. Government through Agency for International Development):   
5.5% 9/18/23 57,646 66,361 
5.5% 12/4/23 19,812 22,852 
Japan Government:   
0.1% 9/20/29 JPY7,655,450 73,341 
0.4% 3/20/56 JPY4,039,750 35,671 
0.9% 6/20/22 JPY6,450,000 62,256 
Ukraine Government 1.471% 9/29/21 6,753 6,837 
United Kingdom, Great Britain and Northern Ireland:   
0.875% 10/22/29 (Reg. S) GBP29,450 40,368 
1.5% 1/22/21 GBP24,210 31,382 
United Kingdom, Great Britain and Northern Ireland Treasury GILT 2.5% 7/22/65 (Reg. S) GBP13,940 30,368 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,049,395)  1,103,874 
 Shares Value (000s) 
Common Stocks - 6.4%   
COMMUNICATION SERVICES - 0.8%   
Entertainment - 0.1%   
New Cotai LLC/New Cotai Capital Corp. (b)(c) 2,242,893 11,111 
Interactive Media & Services - 0.3%   
Alphabet, Inc. Class A (l) 13,900 20,372 
Facebook, Inc. Class A (l) 92,900 24,331 
  44,703 
Media - 0.2%   
Altice U.S.A., Inc. Class A (l) 482,800 12,553 
iHeartMedia, Inc. warrants 5/1/39 (l) 26 0 
Nexstar Broadcasting Group, Inc. Class A 137,200 12,338 
  24,891 
Wireless Telecommunication Services - 0.2%   
T-Mobile U.S., Inc. 346,800 39,660 
TOTAL COMMUNICATION SERVICES  120,365 
CONSUMER DISCRETIONARY - 1.0%   
Auto Components - 0.0%   
Exide Technologies (c)(l) 7,093 7 
Exide Technologies (c)(l) 418,807 0 
UC Holdings, Inc. (c)(l) 560,355 6,220 
  6,227 
Hotels, Restaurants & Leisure - 0.6%   
Boyd Gaming Corp. 449,600 13,798 
Caesars Entertainment, Inc. (l) 696,800 39,063 
MGM Mirage, Inc. (i) 241,800 5,259 
Penn National Gaming, Inc. (l) 343,406 24,966 
Studio City International Holdings Ltd. ADR (l) 133,400 2,170 
  85,256 
Household Durables - 0.1%   
Tempur Sealy International, Inc. (l) 183,762 16,390 
Internet & Direct Marketing Retail - 0.2%   
Alibaba Group Holding Ltd. sponsored ADR (l) 40,500 11,906 
Amazon.com, Inc. (l) 4,900 15,429 
  27,335 
Specialty Retail - 0.1%   
Lowe's Companies, Inc. 86,800 14,397 
TOTAL CONSUMER DISCRETIONARY  149,605 
CONSUMER STAPLES - 0.3%   
Food & Staples Retailing - 0.1%   
Southeastern Grocers, Inc. (c)(l) 134,915 9,293 
Food Products - 0.2%   
Darling Ingredients, Inc. (l) 489,800 17,647 
JBS SA 4,515,500 16,620 
Reddy Ice Holdings, Inc. (c)(l) 331,236 0 
Reddy Ice Holdings, Inc. (c)(l) 133,255 7 
  34,274 
TOTAL CONSUMER STAPLES  43,567 
ENERGY - 0.3%   
Energy Equipment & Services - 0.0%   
Forbes Energy Services Ltd. (l) 135,187 13 
Oil, Gas & Consumable Fuels - 0.3%   
Chaparral Energy, Inc. Class A (l) 108,327 3 
Denbury, Inc. (l) 2,016,335 35,487 
Denbury, Inc. warrants 9/18/25 (l) 288,114 2 
Goodrich Petroleum Corp. (l) 90,737 698 
Harvest Oil & Gas Corp. 19,388 679 
Sanchez Energy Corp. (c) 65,312 1,698 
Ultra Petroleum Corp. warrants 7/14/25 (l) 127,890 0 
Whiting Petroleum Corp. (l) 77,283 1,336 
  39,903 
TOTAL ENERGY  39,916 
FINANCIALS - 0.1%   
Capital Markets - 0.0%   
Motors Liquidation Co. GUC Trust (l) 5,066 7 
Penson Worldwide, Inc. Class A (c)(l) 7,403,098 0 
  7 
Consumer Finance - 0.1%   
OneMain Holdings, Inc. 374,300 11,697 
Diversified Financial Services - 0.0%   
ACNR Holdings, Inc. (c) 25,225 174 
Insurance - 0.0%   
Arthur J. Gallagher & Co. 80,700 8,520 
TOTAL FINANCIALS  20,398 
HEALTH CARE - 0.7%   
Biotechnology - 0.0%   
Regeneron Pharmaceuticals, Inc. (l) 900 504 
Health Care Providers & Services - 0.3%   
HCA Holdings, Inc. 101,300 12,630 
Humana, Inc. 37,500 15,521 
Rotech Healthcare, Inc. (c)(l) 129,242 1,345 
UnitedHealth Group, Inc. 51,300 15,994 
  45,490 
Life Sciences Tools & Services - 0.4%   
Charles River Laboratories International, Inc. (l) 66,800 15,127 
IQVIA Holdings, Inc. (l) 139,300 21,958 
Thermo Fisher Scientific, Inc. 39,200 17,308 
  54,393 
TOTAL HEALTH CARE  100,387 
INDUSTRIALS - 0.6%   
Air Freight & Logistics - 0.1%   
XPO Logistics, Inc. (l) 100,100 8,474 
Airlines - 0.1%   
Air Canada (l) 1,136,900 13,396 
Building Products - 0.1%   
Carrier Global Corp. 459,000 14,018 
Commercial Services & Supplies - 0.0%   
Novus Holdings Ltd. 48,111 2 
Machinery - 0.1%   
Allison Transmission Holdings, Inc. 151,000 5,306 
Fortive Corp. 134,900 10,281 
  15,587 
Marine - 0.0%   
U.S. Shipping Partners Corp. (c)(l) 22,876 0 
U.S. Shipping Partners Corp. warrants 12/31/29 (c)(l) 214,176 0 
  0 
Professional Services - 0.0%   
ASGN, Inc. (l) 101,200 6,432 
Trading Companies & Distributors - 0.2%   
HD Supply Holdings, Inc. (l) 358,700 14,793 
Penhall Acquisition Co.:   
Class A (c)(l) 11,553 866 
Class B (c)(l) 3,850 289 
United Rentals, Inc. (l) 77,070 13,449 
  29,397 
Transportation Infrastructure - 0.0%   
Tricer Holdco SCA:   
Class A1 (b)(c)(l) 403,760 0 
Class A2 (b)(c)(l) 403,760 0 
Class A3 (b)(c)(l) 403,760 0 
Class A4 (b)(c)(l) 403,760 0 
Class A5 (b)(c)(l) 403,760 0 
Class A6 (b)(c)(l) 403,760 0 
Class A7 (b)(c)(l) 403,760 0 
Class A8 (b)(c)(l) 403,760 0 
Class A9 (b)(c)(l) 403,760 0 
  0 
TOTAL INDUSTRIALS  87,306 
INFORMATION TECHNOLOGY - 2.1%   
Electronic Equipment & Components - 0.2%   
CDW Corp. 60,900 7,279 
Zebra Technologies Corp. Class A (l) 123,100 31,078 
  38,357 
IT Services - 0.8%   
EPAM Systems, Inc. (l) 85,100 27,511 
Global Payments, Inc. 122,500 21,754 
GoDaddy, Inc. (l) 113,400 8,615 
MasterCard, Inc. Class A 54,900 18,566 
PayPal Holdings, Inc. (l) 128,000 25,220 
Snowflake Computing, Inc. 200 50 
Visa, Inc. Class A 84,900 16,977 
  118,693 
Semiconductors & Semiconductor Equipment - 0.3%   
Lam Research Corp. 60,200 19,971 
Microchip Technology, Inc. 76,000 7,810 
Micron Technology, Inc. (l) 134,200 6,302 
ON Semiconductor Corp. (l) 357,100 7,745 
  41,828 
Software - 0.8%   
Adobe, Inc. (l) 93,600 45,904 
Microsoft Corp. 191,700 40,320 
Palo Alto Networks, Inc. (l) 42,900 10,500 
SS&C Technologies Holdings, Inc. 193,939 11,737 
VMware, Inc. Class A (i)(l) 43,200 6,207 
  114,668 
TOTAL INFORMATION TECHNOLOGY  313,546 
MATERIALS - 0.3%   
Chemicals - 0.1%   
CF Industries Holdings, Inc. 269,200 8,267 
The Chemours Co. LLC 481,210 10,062 
  18,329 
Containers & Packaging - 0.2%   
Berry Global Group, Inc. (l) 247,500 11,959 
WestRock Co. 279,900 9,724 
  21,683 
Metals & Mining - 0.0%   
Algoma Steel GP (c)(l) 151,792 3 
Algoma Steel SCA (c)(l) 151,792 21 
Elah Holdings, Inc. (l) 517 40 
First Quantum Minerals Ltd. 709,700 6,327 
  6,391 
TOTAL MATERIALS  46,403 
UTILITIES - 0.2%   
Electric Utilities - 0.1%   
NRG Energy, Inc. 329,000 10,113 
PG&E Corp. (l) 901,968 8,469 
Portland General Electric Co. 13,962 496 
  19,078 
Independent Power and Renewable Electricity Producers - 0.1%   
Vistra Corp. 845,400 15,944 
TOTAL UTILITIES  35,022 
TOTAL COMMON STOCKS   
(Cost $754,788)  956,515 
Nonconvertible Preferred Stocks - 0.0%   
FINANCIALS - 0.0%   
Diversified Financial Services - 0.0%   
ACNR Holdings, Inc. (c) 8,779 9 
INDUSTRIALS - 0.0%   
Transportation Infrastructure - 0.0%   
Tricer Holdco SCA (b)(c)(l) 193,792,711 65 
TOTAL NONCONVERTIBLE PREFERRED STOCKS   
(Cost $8,005)  74 
 Principal Amount (000s) Value (000s) 
Bank Loan Obligations - 2.3%   
COMMUNICATION SERVICES - 0.2%   
Diversified Telecommunication Services - 0.1%   
Connect Finco Sarl Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/11/26 (f)(h)(m) 5,438 5,264 
Zayo Group Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1466% 3/9/27 (f)(h)(m) 4,856 4,706 
  9,970 
Entertainment - 0.1%   
Allen Media LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 5.7204% 2/10/27 (f)(h)(m) 4,785 4,631 
Media - 0.0%   
LCPR Loan Financing LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.1524% 10/22/26 (f)(h)(m) 1,285 1,282 
Nexstar Broadcasting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.9051% 9/19/26 (f)(h)(m) 2,603 2,543 
  3,825 
Wireless Telecommunication Services - 0.0%   
Intelsat Jackson Holdings SA Tranche DD 1LN, term loan 3 month U.S. LIBOR + 5.500% 5.05% 7/13/21 (f)(h)(m)(n) 3,215 3,265 
TOTAL COMMUNICATION SERVICES  21,691 
CONSUMER DISCRETIONARY - 0.2%   
Diversified Consumer Services - 0.1%   
KUEHG Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.25% 8/22/25 (f)(h)(m) 3,640 3,194 
Sotheby's 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.5% 1/3/27 (f)(h)(m) 6,746 6,704 
  9,898 
Hotels, Restaurants & Leisure - 0.0%   
Travelport Finance Luxembourg SARL 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.2203% 5/30/26 (f)(h)(m) 5,741 4,306 
Specialty Retail - 0.1%   
Academy Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5% 7/2/22 (f)(h)(m) 10,168 9,918 
Wand NewCo 3, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1466% 2/5/26 (f)(h)(m) 11,266 10,854 
  20,772 
TOTAL CONSUMER DISCRETIONARY  34,976 
ENERGY - 0.8%   
Energy Equipment & Services - 0.0%   
Forbes Energy Services LLC Tranche B, term loan 18% 4/13/21 (c)(f)(m) 1,434 1,445 
Oil, Gas & Consumable Fuels - 0.8%   
California Resources Corp.:   
2LN, term loan 3 month U.S. LIBOR + 9.000% 10% 1/15/21 (c)(f)(h)(m) 41,382 41,382 
Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 11.375% 12/31/21 (e)(f)(h)(m) 59,940 1,149 
Tranche B, term loan 3 month U.S. LIBOR + 4.750% 5.75% 12/31/22 (e)(f)(h)(m) 71,920 25,871 
Chesapeake Energy Corp. term loan 3 month U.S. LIBOR + 8.000% 9% 6/9/24 (e)(f)(h)(m) 57,825 40,460 
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 8% 8/1/23 (f)(h)(m) 842 788 
EG America LLC 2LN, term loan 3 month U.S. LIBOR + 8.000% 9% 3/23/26 (f)(h)(m) 3,290 3,156 
Epic Crude Services LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.26% 3/1/26 (f)(h)(m) 9,860 6,951 
Sanchez Energy Corp.:   
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% 12/31/49 (c)(e)(f)(h)(m) 3,423 0 
term loan 0% 12/31/49 (c)(e)(f)(m) 1,476 0 
  119,757 
TOTAL ENERGY  121,202 
FINANCIALS - 0.1%   
Capital Markets - 0.0%   
Citadel Securities LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.8966% 2/27/26 (f)(h)(m) 2,200 2,184 
Diversified Financial Services - 0.1%   
ACNR Holdings, Inc. term loan 14% 9/21/27 (c)(f)(m) 3,594 3,594 
New Cotai LLC 1LN, term loan 3 month U.S. LIBOR + 12.000% 14% 9/9/25 (c)(f)(h)(m) 585 585 
RPI Intermediate Finance Trust Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8966% 2/11/27 (f)(h)(m) 2,821 2,809 
  6,988 
TOTAL FINANCIALS  9,172 
HEALTH CARE - 0.2%   
Health Care Providers & Services - 0.2%   
Milano Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 8/17/27 (f)(h)(m)(o) 3,745 3,698 
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.1466% 6/13/26 (f)(h)(m) 26,275 25,559 
  29,257 
Pharmaceuticals - 0.0%   
Valeant Pharmaceuticals International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1511% 6/1/25 (f)(h)(m) 1,046 1,024 
TOTAL HEALTH CARE  30,281 
INDUSTRIALS - 0.1%   
Air Freight & Logistics - 0.0%   
Dynasty Acquisition Co., Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7204% 4/8/26 (f)(h)(m) 1,541 1,355 
Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7204% 4/4/26 (f)(h)(m) 828 728 
  2,083 
Airlines - 0.0%   
SkyMiles IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 9/16/27 (f)(h)(m)(o) 2,095 2,109 
Building Products - 0.0%   
ACProducts, Inc. 1LN, term loan 3 month U.S. LIBOR + 6.500% 7.5% 8/13/25 (f)(h)(m) 2,622 2,622 
Commercial Services & Supplies - 0.1%   
Maverick Purchaser Sub LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6466% 1/23/27 (f)(h)(m) 1,252 1,230 
Sabert Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/10/26 (f)(h)(m) 4,826 4,737 
  5,967 
Construction & Engineering - 0.0%   
Traverse Midstream Partners Ll Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5% 9/27/24 (f)(h)(m) 1,759 1,612 
TOTAL INDUSTRIALS  14,393 
INFORMATION TECHNOLOGY - 0.6%   
Communications Equipment - 0.0%   
Radiate Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 9/10/26 (f)(h)(m)(o) 3,380 3,317 
Electronic Equipment & Components - 0.0%   
Curie Merger Sub LLC 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.3966% 11/4/26 (f)(h)(m) 358 356 
IT Services - 0.2%   
Camelot Finance SA Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1466% 10/31/26 (f)(h)(m) 685 671 
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.97% 5/31/25 (f)(h)(m) 15,539 13,324 
Web.com Group, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 7.750% 7.9011% 10/11/26 (f)(h)(m) 9,150 8,624 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.9011% 10/11/25 (f)(h)(m) 6,574 6,339 
  28,958 
Semiconductors & Semiconductor Equipment - 0.0%   
ON Semiconductor Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1466% 9/19/26 (f)(h)(m) 4,688 4,609 
Software - 0.4%   
Boxer Parent Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 4.3966% 10/2/25 (f)(h)(m) 21,718 21,032 
Landesk Group, Inc. term loan:   
3 month U.S. LIBOR + 4.250% 5.25% 1/20/24 (f)(h)(m) 1,977 1,962 
3 month U.S. LIBOR + 9.000% 10% 1/20/25 (f)(h)(m) 6,500 6,251 
McAfee LLC Tranche B, term loan:   
3 month U.S. LIBOR + 3.750% 3.8961% 9/29/24 (f)(h)(m) 2,744 2,720 
3 month U.S. LIBOR + 8.500% 9.5% 9/29/25 (f)(h)(m) 14,801 14,875 
Ultimate Software Group, Inc.:   
1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 5/3/26 (f)(h)(m) 6,805 6,780 
2LN, term loan 3 month U.S. LIBOR + 6.750% 7.5% 5/3/27 (f)(h)(m) 1,430 1,454 
VS Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3966% 2/28/27 (f)(h)(m) 1,303 1,278 
  56,352 
TOTAL INFORMATION TECHNOLOGY  93,592 
UTILITIES - 0.1%   
Electric Utilities - 0.1%   
Pacific Gas & Electric Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 6/23/25 (f)(h)(m) 16,972 16,697 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $450,513)  342,004 
 Shares Value (000s) 
Fixed-Income Funds - 26.2%   
Fidelity Emerging Markets Debt Central Fund (p) 261,206,949 2,345,638 
Fidelity Floating Rate Central Fund (p) 15,204,361 1,465,244 
Fidelity Mortgage Backed Securities Central Fund (p) 1,223,858 138,504 
TOTAL FIXED-INCOME FUNDS   
(Cost $4,175,993)  3,949,386 
 Principal Amount (000s) Value (000s) 
Preferred Securities - 4.6%   
ENERGY - 0.4%   
Oil, Gas & Consumable Fuels - 0.4%   
DCP Midstream Partners LP 7.375% (f)(q) 8,965 5,872 
Energy Transfer Partners LP:   
6.25% (f)(q) 40,712 26,565 
6.625% (f)(q) 15,640 10,631 
MPLX LP 6.875% (f)(q) 18,000 14,740 
Summit Midstream Partners LP 9.5% (f)(q) 8,965 1,165 
  58,973 
FINANCIALS - 4.2%   
Banks - 3.6%   
Bank of America Corp.:   
5.125% (f)(q) 22,020 22,580 
5.2% (f)(q) 48,090 48,377 
5.875% (f)(q) 60,475 65,207 
6.25% (f)(q) 18,480 19,797 
Citigroup, Inc.:   
4.7% (f)(q) 8,755 8,460 
5% (f)(q) 36,455 36,273 
5.9% (f)(q) 25,875 26,495 
5.95% (f)(q) 46,925 48,145 
6.3% (f)(q) 4,120 4,316 
Huntington Bancshares, Inc. 5.7% (f)(q) 7,660 7,165 
JPMorgan Chase & Co.:   
3 month U.S. LIBOR + 3.320% 3.6161% (f)(h)(q) 30,810 28,505 
4% (f)(q) 19,100 18,050 
4.051% (f)(h)(q) 12,280 12,150 
4.6% (f)(q) 13,385 13,117 
5% (f)(q) 18,675 18,643 
6% (f)(q) 54,840 56,211 
6.125% (f)(q) 12,865 13,362 
6.75% (f)(q) 6,270 6,787 
Wells Fargo & Co.:   
5.875% (f)(q) 36,775 39,621 
5.9% (f)(q) 46,445 47,471 
  540,732 
Capital Markets - 0.6%   
Goldman Sachs Group, Inc.:   
4.1653% (f)(h)(q) 22,175 21,794 
4.4% (f)(q) 4,530 4,309 
4.95% (f)(q) 7,885 7,887 
5% (f)(q) 50,754 48,641 
  82,631 
Insurance - 0.0%   
MAPFRE SA 4.375% 3/31/47 (Reg. S) (f) EUR3,400 4,455 
TOTAL FINANCIALS  627,818 
INDUSTRIALS - 0.0%   
Construction & Engineering - 0.0%   
Odebrecht Finance Ltd. 7.5% (d)(e)(q) 1,825 101 
TOTAL PREFERRED SECURITIES   
(Cost $711,749)  686,892 
 Shares Value (000s) 
Money Market Funds - 1.5%   
Fidelity Cash Central Fund 0.10% (r) 206,929,454 206,971 
Fidelity Securities Lending Cash Central Fund 0.10% (r)(s) 17,289,670 17,291 
TOTAL MONEY MARKET FUNDS   
(Cost $224,219)  224,262 

Purchased Swaptions - 0.0%    
 Expiration Date Notional Amount (000s) Value (000s) 
Put Options - 0.0%    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.7375% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/20/24 55,600 $501 
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.3275% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/11/24 19,200 72 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4025% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 20,100 319 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.57125% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/5/24 19,800 212 
TOTAL PUT OPTIONS   1,104 
Call Options - 0.0%    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.7375% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/20/24 55,600 2,693 
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.3275% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/11/24 19,200 1,431 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4025% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 20,100 715 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.57125% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/5/24 19,800 838 
TOTAL CALL OPTIONS   5,677 
TOTAL PURCHASED SWAPTIONS    
(Cost $6,470)   6,781 
TOTAL INVESTMENT IN SECURITIES - 98.8%    
(Cost $14,660,853)   14,866,961 
NET OTHER ASSETS (LIABILITIES) - 1.2%   176,293 
NET ASSETS - 100%   $15,043,254 

Written Swaptions    
 Expiration Date Notional Amount Value (000s) 
Put Swaptions    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.57% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/20/25 36,100 $(478) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.89% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2029 12/9/24 1,800 (15) 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.27% and receive quarterly a floating rate based on 3-month LIBOR, expiring March 2030 3/18/25 32,000 (594) 
TOTAL PUT SWAPTIONS   (1,087) 
Call Swaptions    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.57% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/20/25 36,100 (1,487) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.89% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2029 12/9/24 1,800 (97) 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.27% and pay quarterly a floating rate based on 3-month LIBOR, expiring March 2030 3/18/25 32,000 (1,005) 
TOTAL CALL SWAPTIONS   (2,589) 
TOTAL WRITTEN SWAPTIONS   $(3,676) 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount (000s) Value (000s) Unrealized Appreciation/(Depreciation) (000s) 
Purchased      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 1,075 Dec. 2020 $149,996 $110 $110 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 542 Dec. 2020 119,761 14 14 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 430 Dec. 2020 54,193 1 1 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 109 Dec. 2020 19,215 98 98 
TOTAL FUTURES CONTRACTS     $223 

The notional amount of futures purchased as a percentage of Net Assets is 2.3%

Forward Foreign Currency Contracts       
Currency Purchased Currency Sold Counterparty Settlement Date Unrealized Appreciation/(Depreciation) (000s) 
AUD 1,992 USD 1,427 JPMorgan Chase Bank, N.A. 11/12/20 $0 
CAD 1,969 USD 1,507 BNP Paribas 11/12/20 (28) 
EUR 2,760 USD 3,275 Brown Brothers Harriman & Co. 11/12/20 (36) 
EUR 859 USD 1,031 CIBC World Markets 11/12/20 (23) 
EUR 54,850 USD 65,194 Hsbc Bank Plc 11/12/20 (830) 
EUR 1,700 USD 1,991 Hsbc Bank Plc 11/12/20 4 
EUR 1,728 USD 2,051 JPMorgan Chase Bank, N.A. 11/12/20 (23) 
EUR 1,381 USD 1,628 JPMorgan Chase Bank, N.A. 11/12/20 (8) 
EUR 19,132 USD 22,591 JPMorgan Chase Bank, N.A. 11/12/20 (141) 
EUR 4,798 USD 5,675 National Australia Bank 11/12/20 (44) 
EUR 1,292 USD 1,541 Societe Generale SA 11/12/20 (25) 
GBP 1,209 USD 1,609 BNP Paribas 11/12/20 (49) 
GBP 6,659 USD 8,726 Hsbc Bank Plc 11/12/20 (132) 
GBP 87 USD 114 JPMorgan Chase Bank, N.A. 11/12/20 (2) 
USD 79,083 AUD 109,999 National Australia Bank 11/12/20 289 
USD 182,106 CAD 241,785 Royal Bank Of Canada 11/12/20 502 
USD 2,587 EUR 2,194 BNP Paribas 11/12/20 13 
USD 268,400 EUR 226,000 Bank Of America NA 11/12/20 3,197 
USD 4,404 EUR 3,695 Citibank NA 11/12/20 68 
USD 267,235 EUR 225,000 Citibank NA 11/12/20 3,206 
USD 3,420 EUR 2,891 Hsbc Bank Plc 11/12/20 27 
USD 54,210 EUR 46,513 Morgan Stanley 11/12/20 (372) 
USD 2,186 EUR 1,846 National Australia Bank 11/12/20 20 
USD 1,113 EUR 943 National Australia Bank 11/12/20 7 
USD 2,236 EUR 1,866 National Australia Bank 11/12/20 46 
USD 2,838 EUR 2,393 National Australia Bank 11/12/20 30 
USD 5,459 EUR 4,672 Royal Bank Of Canada 11/12/20 (24) 
USD 269,548 EUR 227,029 Societe Generale SA 11/12/20 3,138 
USD 1,304 EUR 1,113 Societe Generale SA 11/12/20 (2) 
USD 129,288 GBP 98,108 Royal Bank Of Canada 11/12/20 2,668 
USD 2,121 GBP 1,600 Societe Generale SA 11/12/20 56 
USD 158,645 JPY 16,734,383 Citibank NA 11/12/20 (101) 
USD 3,374 JPY 356,242 Societe Generale SA 11/12/20 (6) 
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS      $11,425 
     Unrealized Appreciation 13,271 
     Unrealized Depreciation (1,846) 

Swaps

Payment Received Payment Frequency Payment Paid Payment Frequency Clearinghouse / Counterparty(1) Maturity Date Notional Amount (000s) Value (000s) Upfront Premium Received/(Paid) (000s)(2) Unrealized Appreciation/(Depreciation) (000s) 
Interest Rate Swaps          
0.25% Semi - annual 3-month LIBOR(3) Quarterly LCH Mar. 2023 $24,210 $(9) $0 $(9) 
0.5% Semi - annual 3-month LIBOR(3) Quarterly LCH Mar. 2026 5,942 (8) 0 (8) 
3-month LIBOR(3) Quarterly 0.5% Semi - annual LCH Mar. 2028 10,329 21 0 21 
3-month LIBOR(3) Quarterly 0.75% Semi - annual LCH Mar. 2031 17,227 60 0 60 
1% Semi - annual 3-month LIBOR(3) Quarterly LCH Mar. 2051 465 (8) 0 (8) 
TOTAL INTEREST RATE SWAPS       $56 $0 $56 

 (1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.

 (2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

 (3) Represents floating rate.

Currency Abbreviations

AUD – Australian dollar

CAD – Canadian dollar

EUR – European Monetary Unit

GBP – British pound

JPY – Japanese yen

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 $12,343,000 or 0.1% of net assets.

 (c) Level 3 security

 (d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,922,627,000 or 19.4% 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) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

 (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) Security or a portion of the security is on loan at period end.

 (j) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,471,000.

 (k) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,110,000.

 (l) Non-income producing

 (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 $1,607,000 and $1,633,000, respectively.

 (o) The coupon rate will be determined upon settlement of the loan after period end.

 (p) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

 (q) Security is perpetual in nature with no stated maturity date.

 (r) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

 (s) Investment made with cash collateral received from securities on loan.

Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost (000s) 
Mesquite Energy, Inc. 15% 7/31/23 7/10/20 $1,163 
New Cotai LLC/New Cotai Capital Corp. 9/11/20 $11,111 
Tricer Holdco SCA 10/16/09 - 12/30/17 $6,909 
Tricer Holdco SCA Class A1 10/16/09 - 10/29/09 $1,097 
Tricer Holdco SCA Class A2 10/16/09 - 10/29/09 $1,097 
Tricer Holdco SCA Class A3 10/16/09 - 10/29/09 $1,097 
Tricer Holdco SCA Class A4 10/16/09 - 10/29/09 $1,097 
Tricer Holdco SCA Class A5 10/16/09 - 10/29/09 $1,097 
Tricer Holdco SCA Class A6 10/16/09 - 10/29/09 $1,097 
Tricer Holdco SCA Class A7 10/16/09 - 10/29/09 $1,097 
Tricer Holdco SCA Class A8 10/16/09 - 10/29/09 $1,097 
Tricer Holdco SCA Class A9 10/16/09 - 10/29/09 $1,100 

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund Income earned 
 (Amounts in thousands) 
Fidelity Cash Central Fund $2,499 
Fidelity Emerging Markets Debt Central Fund 91,988 
Fidelity Floating Rate Central Fund 54,725 
Fidelity Mortgage Backed Securities Central Fund 199 
Fidelity Securities Lending Cash Central Fund 13 
Total $149,424 

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.

Fiscal year to date information regarding the Fund’s investments in non-Money Market Central Funds, including the ownership percentage, is presented below.

Fund (Amounts in thousands) Value, beginning of period Purchases Sales Proceeds Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Emerging Markets Debt Central Fund $2,613,139 $91,988 $240,219 $(3,022) $(116,248) $2,345,638 88.0% 
Fidelity Floating Rate Central Fund 1,518,627 106,227 87,225 (3,762) (68,623) 1,465,244 76.9% 
Fidelity Mortgage Backed Securities Central Fund -- 384,884 246,300 6 (86) 138,504 5.1% 
Total $4,131,766 $583,099 $573,744 $(6,778) $(184,957) $3,949,386  

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 Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: 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). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, foreign government and government agency obligations, preferred securities U.S. government and government agency obligations 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.

Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates.

When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific market events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

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 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.

The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor and are categorized as Level 2 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

Other Information

Credit Risk.

The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.





The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.

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